UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-05028

PIMCO Funds

(Exact name of registrant as specified in charter)

840 Newport Center Drive, Newport Beach, CA 92660

(Address of principal executive offices)

John P. Hardaway

Treasurer

PIMCO Funds

840 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

Copies to:

Brendan C. Fox

Dechert LLP

1775 I Street, N.W.

Washington, D.C. 20006

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

Date of fiscal year end: March 31, 2007

Date of reporting period: October 1, 2006 – December 31, 2006

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

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

Item 1. Schedule of Investments.

PIMCO Funds
All Asset All Authority Fund	Low Duration Fund III
All Asset Fund	Moderate Duration Fund
California Intermediate Municipal Bond Fund	Money Market Fund
California Short Duration Municipal Income Fund	Municipal Bond Fund
CommodityRealReturn Strategy Fund®	New York Municipal Bond Fund
Convertible Fund	Real Return Asset Fund
Developing Local Markets Fund	Real Return Fund
Diversified Income Fund	RealEstateRealReturn Strategy Fund
Emerging Local Bond Fund	Short Duration Municipal Income Fund
Emerging Markets Bond Fund	Short-Term Fund
European StocksPLUS® TR Strategy Fund	Small Cap StocksPLUS® TR Fund
Extended Duration Fund	StocksPLUS® Fund
Far East (ex-Japan) StocksPLUS® TR Strategy Fund	StocksPLUS® Total Return Fund
Floating Income Fund	StocksPLUS® TR Short Strategy Fund
Foreign Bond Fund (U.S. Dollar-Hedged)	Total Return Fund
Foreign Bond Fund (Unhedged)	Total Return Fund II
Fundamental IndexPLUSTM Fund	Total Return Fund III
Fundamental IndexPLUSTM TR Fund	Total Return Mortgage Fund
Global Bond Fund (U.S. Dollar-Hedged)
Global Bond Fund (Unhedged)	Asset-Backed Securities Portfolio
GNMA Fund	Developing Local Markets Portfolio
High Yield Fund	Emerging Markets Portfolio
High Yield Municipal Bond Fund	High Yield Portfolio
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)	International Portfolio
International StocksPLUS® TR Strategy Fund (Unhedged)	Investment Grade Corporate Portfolio
Investment Grade Corporate Bond Fund	Mortgage Portfolio
Japanese StocksPLUS® TR Strategy Fund	Municipal Sector Portfolio
Long Duration Total Return Fund	Real Return Portfolio
Long-Term U.S. Government Fund	Short-Term Portfolio
Low Duration Fund	Short-Term Portfolio II
Low Duration Fund II	U.S. Government Sector Portfolio

Schedule of Investments

All Asset All Authority Fund (a)

December 31, 2006 (Unaudited)

		Shares		Value (000s)
PIMCO FUNDS (b) 128.7%
CommodityRealReturn Strategy Fund		8,295,281	$	115,802
Convertible Fund		37,236		493
Developing Local Markets Fund		9,975,132		107,033
Diversified Income Fund		1,614,660		17,939
Emerging Markets Bond Fund		3,614,893		39,945
European StocksPLUS® TR Strategy Fund		447,660		4,575
Far East (ex-Japan) StocksPLUS® TR Strategy Fund		1,244,346		14,994
Floating Income Fund		22,622,959		239,125
Fundamental IndexPLUTM Fund		2,484,524		26,634
Fundamental IndexPLUSTM TR Fund		3,068,072		31,356
Global Bond Fund (Unhedged)		24,035		236
High Yield Fund		1,444,597		14,287
Japanese StocksPLUS® TR Strategy Fund		3,563,214		46,001
Long-Term U.S. Government Fund		396,674		4,209
Low Duration Fund		608,209		6,027
Real Return Asset Fund		4,690,608		51,784
Real Return Fund		4,741,964		50,502
RealEstateRealReturn Strategy Fund		152,749		1,130
StocksPLUS® Fund		522,824		5,820
StocksPLUS® Total Return Fund		80		1
StocksPLUS® TR Short Strategy Fund		16,973,784		139,694
Total Return Fund		338,237		3,511
Total Return Mortgage Fund		16,666		177
Total PIMCO Funds (Cost $930,639)				921,275
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 0.5%
Repurchase Agreements 0.5%
State Street Bank and Trust Co.
4.900% due 01/02/2007	$	3,280		3,280
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $3,348. Repurchase proceeds are $3,280.)
Total Short-Term Instruments (Cost $3,280)				3,280
Total Investments 129.2% (Cost $933,919)			$	924,555
Other Assets and Liabilities (Net) (29.2%)				(208,885	)
Net Assets 100.0%			$	715,670

Notes to Schedule of Investments:

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

(b) Institutional Class Shares of each affiliated PIMCO Fund.

See accompanying notes

Schedule of Investments

All Asset Fund (a)

December 31, 2006 (Unaudited)

		Shares		Value (000s)
PIMCO FUNDS (b) 100.1%
CommodityRealReturn Strategy Fund®		125,423,169	$	1,750,907
Convertible Fund		3,598,429		47,679
Developing Local Markets Fund		135,751,692		1,456,616
Diversified Income Fund		15,012,181		166,785
Emerging Markets Bond Fund		58,192,706		643,029
Floating Income Fund		296,491,065		3,133,911
Foreign Bond Fund (Unhedged)		3,762,161		38,299
Fundamental IndexPLUS™ Fund		28,629,439		306,908
Fundamental IndexPLUS™ TR Fund		42,731,641		436,717
GNMA Fund		7,751,645		85,501
High Yield Fund International StocksPLUS®		44,703,464		442,117
TR Strategy Fund (U.S. Dollar-Hedged)		40,453,222		479,775
Long-Term U.S. Government Fund		17,171,606		182,191
Low Duration Fund		19,412,709		192,380
International StocksPLUS® TR Strategy Fund (Unhedged)		5,187,863		50,997
Real Return Asset Fund		134,218,429		1,481,770
Real Return Fund		75,143,767		800,281
RealEstateRealReturn Strategy Fund		8,736,930		64,653
Short-Term Fund		764,734		7,617
Small Cap StocksPLUS® TR Strategy Fund		568,518		5,861
StocksPLUS® Fund		1,791,069		19,935
StocksPLUS® Total Return Fund		7,413,746		87,260
Total Return Fund		29,001,890		301,040
Total Return Mortgage Fund		14,831,921		157,812
Total PIMCO Funds (Cost $12,282,580)				12,340,041
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 0.1%
Tri-Party Repurchase Agreements 0.1%
State Street Bank and Trust Co.
4.900% due 01/02/2007	$	6,023		6,023
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.000% due 03/10/2008 valued at $6,147. Repurchase proceeds are $6,023.)
Total Short-Term Instruments (Cost $6,023)				6,023
Total Investments 100.2% (Cost $12,288,603)			$	12,346,064
Other Assets and Liabilities (Net) (0.2%)				(16,569	)
Net Assets 100.0%			$	12,329,495

Notes to Schedule of Investments:

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

(b) Institutional Class Shares of each affiliated PIMCO Fund.

See accompanying notes

Schedule of Investments

California Intermediate Municipal Bond Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 97.3%
Arkansas 0.7%
Jefferson County, Arkansas Pollution Revenue Bonds, Series 2006
4.600% due 10/01/2017	$	1,000	$	1,014
California 80.0%
Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998
5.500% due 09/02/2012		1,180		1,205
Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997
0.000% due 09/01/2035		1,000		277
Antioch, California Public Financing Authority Revenue Notes, Series 1998
5.500% due 09/02/2008		465		476
Banning, California Unified School District General Obligation Notes, (FSA Insured), Series 2003
4.000% due 08/01/2012		225		230
Burbank, California Community Facilities District Special Tax Revenue Notes, Series 2006
4.000% due 12/01/2009		100		100
California Educational Facilities Authority Revenue Bonds, Series 1997
5.700% due 10/01/2015		135		140
California Educational Facilities Authority Revenue Notes, Series 2006
5.000% due 11/01/2014		750		804
California Housing Finance Agency Revenue Notes, (FGIC Insured), Series 2006
4.500% due 08/01/2012		1,400		1,423
California Mobilehome Park Financing Authority Revenue Bonds, Series 2006
4.500% due 12/15/2036		1,000		976
5.500% due 12/15/2041		165		167
California Pollution Control Financing Authority Revenue Bonds, Series 2002
5.000% due 01/01/2022		2,000		2,084
California State Association of Bay Area Governments Financing Authority for Non-Profit Corporations Revenue Bonds, (California Mortgage Insured), Series 2001
5.250% due 04/01/2026		2,000		2,086
California State Association of Bay Area Governments Financing Authority for Non-Profit Corporations Revenue Bonds, Series 2003
5.200% due 11/15/2022		2,000		2,102
California State Department of Water Resources Revenue Bonds, Series 1997
5.000% due 12/01/2022		125		128
California State Educational Facilities Authority Revenue Bonds, (MBIA Insured), Series 2001
0.000% due 10/01/2014		500		371
California State Educational Facilities Authority Revenue Notes, Series 2005
5.000% due 10/01/2012		540		570
5.000% due 10/01/2013		570		605
California State Encinitas Union School District General Obligation Bonds, (MBIA Insured), Series 1996
0.000% due 08/01/2018		1,500		926
California State for Precious Veterans General Obligation Bonds, Series 2000
5.700% due 12/01/2032		160		163
California State Health Facilities Financing Authority Revenue Notes, (California Mortgage Insured), Series 2000
5.000% due 09/01/2010		350		363
California State Health Facilities Financing Authority Revenue Notes, Series 2005
5.000% due 07/01/2010		500		518
California State Hollister Joint Powers Financing Authority Revenue Bonds, (FSA Insured), Series 2006
4.500% due 06/01/2037		1,250		1,246
California State Housing Finance Agency Revenue Bonds, (AMBAC FHA Insured), Series 1996
5.950% due 02/01/2011		35		36
California State Infrastructure & Economic Development Bank Revenue Notes, Series 2005
5.000% due 03/01/2013		1,000		1,071
California State Public Works Board Revenue Bonds, (FGIC Insured), Series 2006
5.000% due 10/01/2016		2,500		2,738
California State Public Works Board Revenue Bonds, Series 2005
5.000% due 04/01/2017		2,000		2,158
California State Sierra Kings Health Care District Revenue Bonds, Series 2006
6.000% due 12/01/2036		545		543
California Statewide Communities Development Authority Revenue Bonds, (California Mortgage Insured), Series 2001
5.000% due 10/01/2018		2,000		2,077
California Statewide Communities Development Authority Revenue Bonds, Series 1998
5.100% due 05/15/2025		2,000		2,042
5.250% due 05/15/2025		1,000		1,021
California Statewide Communities Development Authority Revenue Bonds, Series 2002
5.500% due 08/15/2034		1,000		1,068
6.750% due 07/01/2032 (g)		1,300		1,411
California Statewide Communities Development Authority Revenue Notes, Series 2005
5.000% due 07/01/2013		850		902
California Statewide Financing Authority Revenue Notes, Series 2002
4.600% due 05/01/2012		1,030		1,053
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2043		1,000		1,083
California State Tobacco Securitization Agency Revenue Bonds, Series 2006
0.000% due 06/01/2028 (b)		4,500		3,843
California Statewide Communities Development Authority Revenue Bonds, (XLCA Insured), Series 2006
4.100% due 04/01/2028		1,000		1,017
California Statewide Communities Development Authority Revenue Bonds, Series 2006
4.875% due 11/15/2036		400		407
Campbell, California Redevelopment Agency Tax Allocation Notes, Series 2002
4.700% due 10/01/2011		505		520
Capistrano, California Unified School District Community Facilities District No. 87-1 Special Tax Notes, (AMBAC Insured), Series 2006
5.000% due 09/01/2014		730		794
Capistrano, California Unified School District Special Tax Bonds, Series 1999
5.700% due 09/01/2020		1,500		1,606
Capistrano, California Unified School District Special Tax Bonds, Series 2003
5.250% due 09/01/2016		700		728
5.375% due 09/01/2017		800		833
Chico, California Public Financing Authority Tax Allocation Bonds, (FSA Insured), Series 1996
5.200% due 04/01/2011		485		492
Chula Vista, California Special Tax Bonds, Series 2000
6.350% due 09/01/2017		230		245
6.400% due 09/01/2018		120		128
Contra Costa County, California Public Financing Authority Tax Allocation Bonds, Series 2003
5.625% due 08/01/2033		2,000		2,122
Corona, California Community Facilities District Special Tax Bonds, Series 1998
5.875% due 09/01/2023		1,000		1,035
Desert Sands, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 06/01/2014		3,000		2,247
El Monte, California School District General Obligation Notes, (FGIC Insured), Series 2005
0.000% due 05/01/2012		1,555		1,272
El Monte, California School District General Obligation Notes, (FGIC Insured), Series 2006
0.000% due 06/01/2013		1,195		935
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021		3,810		3,823
Irvine, California Special Tax Notes, Series 2006
3.950% due 09/01/2007		225		225
Lancaster, California Financing Authority Tax Allocation Revenue Bonds, (MBIA Insured), Series 2003
5.250% due 02/01/2015		1,150		1,267
Los Altos, California School District General Obligation Bonds, Series 2001
5.000% due 08/01/2016		200		212
Los Angeles, California Department of Airports Revenue Bonds, (MBIA Insured), Series 2006
5.000% due 05/15/2016		1,000		1,076
Los Angeles, California Department of Water & Power Revenue Bonds, (MBIA Insured), Series 2001
5.250% due 07/01/2013		1,500		1,602
Los Angeles, California State Building Authority Revenue Notes, Series 1999
4.600% due 10/01/2007		150		151
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2003
5.000% due 07/01/2016		2,285		2,455
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 1999
4.750% due 07/01/2010		30		31
Lucia Mar, California Unified School District General Obligation Bonds, (FSA Insured), Series 2002
5.000% due 08/01/2022		1,215		1,287
Metropolitan Water District of Southern California General Obligation Bonds, Series 1993
7.250% due 03/01/2007		150		151
Modesto, California Irrigation District Certificates of Participation Notes, (AMBAC Insured), Series 2006
5.000% due 10/01/2015		3,545		3,881
Modesto, California Wastewater Revenue Bonds, (FSA Insured), Series 2005
5.000% due 11/01/2015		1,270		1,391
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2016		500		339
Murrieta Valley, California Unified School District Public Financing Authority Special Tax Bonds, (Assured Guarantee Insured), Series 2006
4.750% due 09/01/2036		2,100		2,152
Oakland, California Redevelopment Agency Tax Allocation Bonds, (FGIC Insured), Series 2003
5.500% due 09/01/2015		2,250		2,475
Orange County, California Community Facilities District Special Tax Bonds, Series 2000
5.600% due 08/15/2011		455		469
5.700% due 08/15/2012		485		501
5.800% due 08/15/2013		600		621
6.200% due 08/15/2018		1,025		1,067
Orange County, California Local Transportation Authority Revenue Bonds, (AMBAC-TCRS Insured), Series 1992
6.200% due 02/14/2011		3,250		3,523
Placer County, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2006
4.750% due 08/01/2036		1,350		1,391
Poway, California Unified School District Special Tax Bonds, Series 2005
5.125% due 09/01/2028		1,000		1,027
Redding, California Redevelopment Agency Tax Allocation Bonds, Series 2006
5.000% due 09/01/2036		1,250		1,286
Rio Vista, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 09/01/2009		170		170
Riverside County, California Asset Leasing Corp. Revenue Bonds, (MBIA Insured), Series 2000
5.200% due 11/01/2010		250		264
Sacramento, California County Sanitation District Revenue Bonds, (FGIC Insured), Series 2006
5.000% due 12/01/2017		1,000		1,099
Sacramento, California Municipal Utility District Revenue Bonds, Series 1983
9.000% due 04/01/2013		755		876
Sacramento, California Municipal Utility District Revenue Notes, (MBIA Insured), Series 2006
5.000% due 07/01/2014		1,000		1,089
San Diego County, California Certificates of Participation Notes, Series 2006
5.000% due 09/01/2013		1,340		1,410
San Fernando, California Redevelopment Agency Revenue Bonds, Series 2006
4.500% due 09/15/2017		1,425		1,468
San Francisco, California City & County Airport Commission Revenue Bonds, (FSA Insured), Series 1998
5.500% due 05/01/2015		300		309
San Francisco, California City & County Unified School District General Obligation Notes, (FSA Insured), Series 2005
5.000% due 06/15/2015		1,100		1,192
San Joaquin, California Delta Community College District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2014		2,000		1,488
San Jose, California Multi-Family Housing Revenue Bonds, Series 1999
4.950% due 06/01/2039		945		959
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 1993
6.000% due 08/01/2010		600		648
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2002
5.000% due 08/01/2022		2,000		2,116
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2017		1,000		1,082
San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979
8.000% due 10/01/2011		80		87
San Ramon Valley, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 07/01/2018		6,500		4,027
South San Francisco, California School District Revenue Notes, (MBIA Insured), Series 2006
5.000% due 09/15/2014		500		546
South Tahoe, California Joint Powers Financing Authority Revenue Notes, Series 2003
5.125% due 10/01/2009		500		501
Sulphur Springs, California Union School District General Obligation Bonds, (MBIA Insured), Series 1991
0.000% due 09/01/2009		1,485		1,348
University of California Revenue Bonds, (FSA Insured), Series 2005
5.000% due 05/15/2016		3,240		3,499
				108,968
Colorado 0.3%
Black Hawk, Colorado Revenue Bonds, Series 2006
5.000% due 12/01/2021		400		406
Florida 0.4%
Escambia County, Florida Environmental Improvement Revenue Bonds, Series 2006
5.000% due 08/01/2026		500		504
Louisiana 0.8%
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		1,000		1,076
Michigan 0.4%
Michigan State Solid Waste Disposal Revenue Notes, Series 2004
4.500% due 12/01/2013		500		505
Montana 0.4%
Hardin, Montana Tax Increment Infrastructure Development Revenue Bonds, Series 2006
0.000% due 09/01/2031 (b)		830		544
New Jersey 0.3%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998		245		281
6.800% due 04/01/2018
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.125% due 06/01/2024		150		163
				444
New York 0.8%
New York City, New York Industrial Development Agency Revenue Bonds, Series 2005
5.500% due 01/01/2016		1,000		1,100
Puerto Rico 8.5%
Commonwealth of Puerto Rico General Obligation Bonds, (Assured Guarantee Insured), Series 2006
5.231% due 07/01/2020		1,000		1,000
Commonwealth of Puerto Rico General Obligation Bonds, Series 2006
5.000% due 07/01/2035		1,000		1,049
Commonwealth of Puerto Rico Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2014		2,500		2,673
Commonwealth of Puerto Rico Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998
5.250% due 07/01/2010		150		155
Puerto Rico Children’s Trust Fund Revenue Notes, Series 2002
5.000% due 05/15/2009		1,000		1,023
Puerto Rico Public Buildings Authority Revenue Bonds, (Commonwealth Insured), Series 2004
5.000% due 07/01/2028		2,150		2,262
Puerto Rico Public Finance Corporations Revenue Bonds, Series 2004
5.750% due 08/01/2027		3,250		3,510
				11,672
Texas 0.3%
Arlington, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
5.820% due 02/15/2024		250		261
Houston, Texas Airport Systems Revenue Bonds, Series 1997
6.125% due 07/15/2017		100		100
				361
Virgin Islands 4.4%
Virgin Islands Public Finance Authority Revenue Bonds, Series 1998
5.500% due 10/01/2008	$	3,000	$	3,072
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		1,250		1,377
Virgin Islands Public Finance Authority Revenue Notes, Series 1998
5.500% due 10/01/2007		1,500		1,517
				5,966
Total Municipal Bonds & Notes (Cost $128,517)				132,560
SHORT-TERM INSTRUMENTS 0.6%
Repurchase Agreements 0.0%
State Street Bank and Trust Co.
4.900% due 01/02/2007		17		17
(Dated 12/29/2006. Collateralized by Fannie Mae     5.750% due 02/15/2008 valued at $21. Repurchase proceeds are $17.)
U.S. Treasury Bills 0.6%
4.815% due 03/01/2007 - 03/15/2007 (a)(c)(d)		820		811
Total Short-Term Instruments (Cost $830)				828
Total Investments 97.9% (Cost $129,347)			$	133,388
Written Options (f) (0.0%) (Premiums $58)				(15	)
Other Assets and Liabilities (Net) 2.1%				2,808
Net Assets 100.0%			$	136,181

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

(a) Coupon represents a weighted average rate.

(b) Security becomes interest bearing at a future date.

(c) Securities with an aggregate market value of $494 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(d) Securities with an aggregate market value of $317 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	25	$	4
90-Day Eurodollar June Futures	Long	06/2007	25		(12	)
90-Day Eurodollar March Futures	Long	03/2008	25		8
90-Day Eurodollar September Futures	Long	09/2007	125		(61	)
U.S. Treasury 5-Year Note March Futures	Long	03/2007	58		(29	)
				$	(90	)

(e) Swap agreements outstanding on December 31, 2006:

Total Return Swaps

Counterparty	Pay		Receive Total Return	Expiration Date		Notional Amount		Unrealized (Depreciation)
Citibank N.A.	4.090	%	30-Year Municipal Market Data Index	2/16/2007	$	5,000	$	(15	)

(f) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	4.750	%	2/1/2007	$	19,400	$	28	$	5
Put - OTC 5-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.350	%	2/1/2007		19,400		30		10
									$	58	$	15

(g) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
California Statewide Communities Development Authority Revenue Bonds, Series 2002	6.750	%	7/1/2032	2/7/2002	$	1,300	$	1,411	1.04	%

See accompanying notes

Schedule of Investments

California Short Duration Municipal Income Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 95.7%
California 85.8%
California Health Facilities Financing Authority Revenue Bonds, Series 2004
3.730% due 07/01/2033	$	100	$	100
California Housing Finance Agency Revenue Bonds, (FSA Insured), Series 2000
3.500% due 08/01/2015		100		100
California State Bay Area Toll Authority Revenue Bonds, (AMBAC Insured), Series 2001
3.800% due 04/01/2036		100		100
California State Department of Water Resources Revenue Notes, Series 2005
3.840% due 05/01/2011		150		150
California State Economic Recovery Revenue Bonds, (XLCA-ST-GTD Insured), Series 2004
3.630% due 07/01/2023		110		110
California Statewide Communities Development Authority Revenue Notes, (MBIA Insured), Series 2005
5.000% due 05/01/2015		150		163
Fresno, California Revenue Bonds, Series 2000
3.850% due 12/01/2030		150		150
Golden State, California Tobacco Securitization Corporations, (FGIC-TCRS Insured), Series 2003
5.625% due 06/01/2038		100		111
Lincoln, California Unified School District Special Tax Notes, (AMBAC Insured), Series 2006
5.000% due 09/01/2015		185		202
Los Angeles County, California Revenue Bonds, (AMBAC Insured), Series 1996
3.710% due 06/30/2007		100		100
Los Angeles, California Department of Water & Power Revenue Bonds, Series 2001
3.820% due 07/01/2034		150		150
Metropolitan Water District of Southern California Revenue Bonds, Series 2004
3.800% due 07/01/2023		150		150
Pittsburg, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2002
5.250% due 08/01/2013		100		109
Pleasanton, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 08/01/2015		150		164
Redding, California Redevelopment Agency Tax Allocation Bonds, Series 2006
4.375% due 09/01/2016		215		216
Rio Vista, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 09/01/2009		100		100
Santa Ana, California Certificates of Participation Bonds, (AMBAC Insured), Series 2003
5.000% due 06/01/2015		195		209
Turlock, California Health Facilities Certificates of Participation Notes, Series 2004
3.750% due 10/15/2007		140		139
Upland, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 2002
4.600% due 10/01/2016		100		105
				2,628
Delaware 3.3%
Delaware State Economic Development Authority Revenue Bonds, Series 1985
3.880% due 12/01/2015		100		100
Texas 3.3%
Texas State Municipal Power Agency Revenue Notes, Series 2006
4.500% due 08/31/2007		100		101
Washington 3.3%
King County, Washington Sewer Revenue Bonds, Series 2006
3.920% due 01/01/2032		100		100
Total Municipal Bonds & Notes (Cost $2,923)				2,929
SHORT-TERM INSTRUMENTS 3.5%
Repurchase Agreements 3.2%
State Street Bank and Trust Co.
4.900% due 01/02/2007		99		99
(Dated 12/29/2006. Collateralized by Fannie Mae 5.750% due 02/15/2008 valued at $103. Repurchase proceeds are $99.)
U.S. Treasury Bills 0.3%
4.905% due 03/01/2007 (a)		10		10
Total Short-Term Instruments (Cost $109)				109
Total Investments 99.2% (Cost $3,032)			$	3,038
Other Assets and Liabilities (Net) 0.8%				26
Net Assets 100.0%			$	3,064

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

(a) Securities with an aggregate market value of $10 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
U.S. Treasury 10-Year Note March Futures	Short	03/2007	2	$	3

See accompanying notes

Consolidated Schedule of Investments

CommodityRealReturn Strategy Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.3%
Georgia-Pacific Corp.
7.300% due 12/20/2012	$	8,381	$	8,430
7.350% due 12/20/2012		524		527
7.367% due 12/20/2012		2,013		2,024
HCA, Inc.
8.114% due 11/14/2013		19,900		20,144
Shackleton Re Ltd.
12.968% due 08/01/2008		5,000		5,000
13.468% due 08/01/2008		3,000		3,045
Total Bank Loan Obligations (Cost $38,767)				39,170
CORPORATE BONDS & NOTES 7.2%
Banking & Finance 5.9%
Abbey National Treasury Services PLC
5.276% due 07/02/2008 (b)		112,700		112,651
American Express Centurion Bank
5.350% due 05/07/2008		7,000		7,003
Atlantic & Western Re Ltd.
11.372% due 01/09/2007		29,300		29,316
11.622% due 01/09/2009		18,000		17,378
Bank of America Corp.
5.378% due 11/06/2009		9,600		9,607
C5 Capital SPV Ltd.
6.196% due 12/01/2049		5,000		5,005
C10 Capital SPV Ltd.
6.722% due 12/01/2049		1,000		1,001
Calabash Re II Ltd.
13.746% due 01/08/2010 (b)		4,900		4,903
14.946% due 01/08/2010 (b)		2,500		2,502
16.246% due 01/08/2010 (b)		2,400		2,401
Caterpillar Financial Services Corp.
5.435% due 05/18/2009		2,400		2,404
CIT Group, Inc.
5.000% due 11/24/2008		24,000		23,892
Citigroup, Inc.
5.416% due 01/30/2009		11,200		11,210
Danske Bank A/S
5.914% due 12/29/2049		3,000		3,019
Export-Import Bank of Korea
5.590% due 10/04/2011		15,200		15,216
Ford Motor Credit Co.
5.700% due 01/15/2010		600		576
6.192% due 09/28/2007		1,200		1,199
6.315% due 03/21/2007		11,100		11,098
7.875% due 06/15/2010		5,400		5,449
8.000% due 12/15/2016		200		198
Fortis Bank
5.265% due 04/28/2008		28,000		28,008
Foundation Re II Ltd.
12.123% due 11/26/2010		10,500		10,499
General Electric Capital Corp.
5.380% due 10/24/2008		8,800		8,807
5.396% due 12/12/2008		10,200		10,214
5.410% due 10/26/2009		10,700		10,704
HBOS Treasury Services PLC
5.414% due 07/17/2009		4,600		4,606
HSBC Finance Corp.
5.375% due 05/21/2008		400		400
5.420% due 10/21/2009		600		601
Kamp Re 2005 Ltd.
5.450% due 12/14/2007 (a)		5,000		3
Lehman Brothers Holdings, Inc.
5.415% due 12/23/2008		5,500		5,502
Merrill Lynch & Co., Inc.
5.414% due 10/23/2008		26,300		26,317
Morgan Stanley
5.390% due 11/21/2008		3,100		3,102
5.614% due 01/22/2009		3,000		3,003
Mystic Re Ltd.
11.670% due 12/05/2008		6,600		6,597
14.370% due 12/05/2008		1,000		999
Nordea Bank Finland
5.292% due 03/31/2008		3,600		3,600
Osiris Capital PLC
10.360% due 01/15/2010		1,700		1,710
Phoenix Quake Wind Ltd.
7.820% due 07/03/2008		2,000		2,011
Phoenix Quake Wind II Ltd.
8.870% due 07/03/2008		240		221
Rabobank Nederland
5.394% due 01/15/2009		9,200		9,207
Redwood Capital IX Ltd.
7.764% due 01/09/2008		2,400		2,400
12.114% due 01/09/2008		4,300		4,303
13.114% due 01/09/2008		300		300
Royal Bank of Scotland Group PLC
5.424% due 07/21/2008		4,000		4,004
Santander U.S. Debt S.A. Unipersonal
5.425% due 09/19/2008		4,900		4,909
Shackleton Re Ltd.
13.376% due 02/07/2008		5,500		5,539
Societe Generale NY
5.299% due 06/30/2008		192,600		192,512
Travelers Property Casualty Corp.
3.750% due 03/15/2008		100		98
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		20,000		20,010
Unicredito Italiano NY
5.360% due 05/06/2008		14,500		14,499
Vita Capital Ltd.
6.710% due 01/01/2007		6,200		6,200
6.772% due 01/01/2010		5,500		5,530
Vita Capital II Ltd.
6.486% due 01/01/2012		8,000		7,998
Vita Capital III Ltd.
6.466% due 01/01/2011		300		300
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		19,000		19,033
Wachovia Bank N.A.
5.440% due 12/02/2010		27,200		27,240
World Savings Bank FSB
5.495% due 03/02/2009		2,700		2,709
				719,723
Industrials 0.9%
Allied Waste North America, Inc.
8.500% due 12/01/2008		2,000		2,112
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		2,050		2,063
Caesars Entertainment, Inc.
8.875% due 09/15/2008		9,800		10,241
CSC Holdings, Inc.
7.250% due 07/15/2008		1,400		1,419
7.875% due 12/15/2007		7,600		7,714
EchoStar DBS Corp.
5.750% due 10/01/2008		7,800		7,790
6.375% due 10/01/2011		8,000		7,970
El Paso Corp.
6.950% due 12/15/2007		1,000		1,014
7.625% due 08/16/2007		1,700		1,725
7.625% due 09/01/2008		1,300		1,345
HCA, Inc.
9.125% due 11/15/2014		1,600		1,714
9.250% due 11/15/2016		3,400		3,651
Mandalay Resort Group
9.500% due 08/01/2008		1,100		1,160
10.250% due 08/01/2007		2,400		2,469
MGM Mirage
9.750% due 06/01/2007		5,385		5,479
Pemex Project Funding Master Trust
7.375% due 12/15/2014		250		276
8.625% due 02/01/2022		200		248
9.250% due 03/30/2018		8,300		10,487
Reynolds American, Inc.
6.500% due 06/01/2007		9,100		9,158
Royal Caribbean Cruises Ltd.
7.000% due 10/15/2007		1,900		1,927
Service Corp. International
6.500% due 03/15/2008		3,455		3,490
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/2007		3,500		3,515
Williams Cos., Inc.
6.375% due 10/01/2010		20,000		20,225
				107,192
Utilities 0.4%
Citizens Communications Co.
7.625% due 08/15/2008		2,000		2,080
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		100		103
CMS Energy Corp.
7.500% due 01/15/2009		13,000		13,471
Dominion Resources, Inc.
5.554% due 11/14/2008		1,800		1,801
El Paso Corp.
6.375% due 02/01/2009		5,600		5,684
Embarq Corp.
7.082% due 06/01/2016		4,200		4,283
Midwest Generation LLC
8.300% due 07/02/2009		14,579		15,007
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		1,500		1,511
				43,940
Total Corporate Bonds & Notes (Cost $874,030)				870,855
MUNICIPAL BONDS & NOTES 0.2%
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Bonds, Series 2002
6.375% due 06/01/2032		1,200		1,312
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		1,375		1,389
Chicago, Illinois General Obligation Revenue Bonds, (FSA Insured), Series A
4.750% due 01/01/2030 (h)		3,800		3,924
4.750% due 01/01/2036 (h)		2,190		2,243
Chicago, Illinois General Obligation Revenue Notes, (FSA Insured), Series 2006
5.861% due 01/01/2014		4		3
Kansas City, Kansas Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 09/01/2013		1,600		1,715
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		1,140		1,226
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2042		445		486
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.750% due 06/01/2039		2,300		2,631
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series D
4.750% due 06/15/2038 (h)		3,800		3,914
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
5.902% due 12/15/2013		3		3
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2032		1,200		1,285
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2028		1,000		1,076
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		3,185		3,523
Total Municipal Bonds & Notes (Cost $22,247)				24,730
COMMODITY INDEX-LINKED NOTES 31.5%
ABN AMRO Bank NV
5.172% due 03/12/2007		102,500		102,435
AIG-Fp Matched Funding Corp.
0.000% due 02/28/2007		103,000		108,987
0.000% due 11/08/2007		155,200		155,315
Bank of America N.A.
5.195% due 10/22/2007		222,000		260,307
Barclays Bank PLC
4.794% due 03/22/2007		20,000		19,476
5.270% due 05/04/2007		100,000		104,137
5.270% due 05/07/2007		150,000		154,616
Bear Stearns Cos., Inc.
0.000% due 10/12/2007 (m)		182,000		198,180
Caylon N.A. LLC
0.000% due 07/16/2007		117,000		106,545
Commonwealth Bank of Australia
0.000% due 06/28/2007		184,000		185,101
Credit Suisse First Boston
4.676% due 05/07/2007		50,000		53,943
Credit Suisse/New York NY
5.275% due 12/20/2007		205,000		192,404
Deutsche Bank AG
0.000% due 07/27/2007 (m)		20,000		22,454
Eksportfinans A/S
0.000% due 05/18/2007		221,500		212,250
Goldman Sachs Group, Inc.
0.000% due 10/24/2007		40,000		43,539
IXIS Financial Products, Inc.
5.118% due 04/09/2007		98,000		100,802
5.130% due 04/30/2007		100,000		112,098
JPMorgan Chase Bank
4.570% due 02/12/2007		100,000		96,899
4.679% due 04/30/2007		124,000		125,954
LBBW
0.000% due 10/25/2007		222,000		253,914
Lehman Brothers Treasury Co. BV
0.000% due 05/08/2007		100,000		106,638
Merrill Lynch Mortgage Investors, Inc.
4.738% due 03/19/2007		98,000		104,284
Morgan Stanley
0.000% due 05/01/2007		98,000		103,681
4.729% due 02/01/2007		100,000		101,638
Rabobank Nederland
0.000% due 06/21/2007		231,000		238,666
Svensk ExportKredit AB
0.000% due 04/18/2007		98,000		101,581
5.137% due 10/25/2007		125,000		142,958
TD NY LLC
0.000% due 06/22/2007		232,000		209,891
UBS AG
5.264% due 02/20/2007		97,000		91,103
Total Commodity Index-Linked Notes (Cost $3,695,200)				3,809,796
U.S. GOVERNMENT AGENCIES 6.4%
Fannie Mae
4.659% due 05/01/2035		1,501		1,488
4.673% due 04/01/2035		675		673
5.000% due 07/01/2035 - 03/01/2036		30,262		29,235
5.480% due 03/25/2036		4,833		4,839
5.500% due 01/01/2034 - 01/01/2037		503,441		497,625
5.950% due 02/25/2044		14,093		14,076
5.958% due 07/01/2044 - 10/01/2044		9,377		9,453
6.000% due 06/01/2031 - 02/01/2037		193,738		195,064
Freddie Mac
5.000% due 01/15/2018 - 08/15/2020		17,437		17,250
5.750% due 11/15/2016 - 03/15/2017		3,875		3,896
Total U.S. Government Agencies (Cost $777,368)				773,599
U.S. TREASURY OBLIGATIONS 122.8%
Treasury Inflation Protected Securities (d)
0.875% due 04/15/2010		1,976,123		1,874,076
1.625% due 01/15/2015		231,382		217,861
1.875% due 07/15/2013		564,752		545,781
1.875% due 07/15/2015		888,491		851,737
2.000% due 01/15/2014		647,201		628,897
2.000% due 01/15/2026		682,875		644,578
2.000% due 07/15/2014		764,065		741,830
2.000% due 01/15/2016		363,299		350,896
2.375% due 04/15/2011		415,145		413,621
2.375% due 01/15/2025		1,374,443		1,368,806
2.500% due 07/15/2016		819,311		825,776
3.000% due 07/15/2012		1,082,721		1,114,569
3.375% due 01/15/2007		478,732		478,059
3.375% due 01/15/2012		5,398		5,638
3.375% due 04/15/2032		55,822		67,448
3.500% due 01/15/2011		462,917		482,049
3.625% due 01/15/2008		1,086,617		1,098,545
3.625% due 04/15/2028		903,763		1,091,471
3.875% due 01/15/2009		386,163		396,903
3.875% due 04/15/2029		653,143		822,706
4.250% due 01/15/2010		417,047		439,073
U.S. Treasury Bonds
4.500% due 02/15/2036		25,600		24,352
6.250% due 08/15/2023		3,000		3,454
8.875% due 08/15/2017		20,000		26,761
U.S. Treasury Notes
3.875% due 09/15/2010		29,640		28,821
4.500% due 02/28/2011		45,400		45,079
4.500% due 11/15/2015		1,500		1,477
4.875% due 04/30/2011		230,200		231,765
4.875% due 08/15/2016		8,500		8,604
5.125% due 05/15/2016		28,900		29,777
Total U.S. Treasury Obligations (Cost $15,169,963)				14,860,410
MORTGAGE-BACKED SECURITIES 2.7%
American Home Mortgage Investment Trust
5.500% due 09/25/2035		2,125		2,127
Arkle Master Issuer PLC
5.330% due 11/19/2007		14,400		14,425
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		11,639		11,659
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		2,709		2,691
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		6,908		6,999
Countrywide Alternative Loan Trust
5.430% due 09/20/2046		11,600		11,602
5.530% due 02/20/2047		17,091		17,151
5.630% due 12/25/2035		1,322		1,326
Countrywide Home Loan Mortgage Pass-Through Trust
5.500% due 01/25/2046 (b)		7,100		7,112
5.690% due 06/25/2035		8,398		8,387
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.430% due 02/25/2037		2,000		2,002
5.450% due 10/25/2036		15,179		15,194
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		8,345		8,352
GSR Mortgage Loan Trust
4.540% due 09/25/2035		25,960		25,517
Harborview Mortgage Loan Trust
5.440% due 12/19/2036		6,490		6,501
5.570% due 05/19/2035		4,316		4,329
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		5,181		5,186
Indymac Index Mortgage Loan Trust
5.440% due 11/25/2046		12,703		12,748
Residential Accredit Loans, Inc.
5.650% due 08/25/2035		5,069		5,078
Securitized Asset Sales, Inc.
7.612% due 11/26/2023		123		122
Structured Asset Mortgage Investments, Inc.
5.420% due 08/25/2036		10,288		10,297
Structured Asset Securities Corp.
5.345% due 10/25/2035		9,127		9,114
5.400% due 05/25/2036		948		949
TBW Mortgage-Backed Pass-Through Certificates
5.450% due 09/25/2036		2,521		2,523
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		1,983		1,982
5.440% due 08/25/2036		26,296		26,263
5.460% due 04/25/2036		1,246		1,247
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		55,446		55,483
Washington Mutual, Inc.
5.568% due 12/25/2046		4,629		4,645
5.777% due 07/25/2046		23,352		23,473
5.882% due 11/25/2046		3,444		3,464
6.027% due 11/25/2042		2,113		2,122
Wells Fargo Mortgage-Backed Securities Trust
3.539% due 09/25/2034		5,878		5,690
4.109% due 06/25/2035		10,600		10,515
Total Mortgage-Backed Securities (Cost $326,035)				326,275
ASSET-BACKED SECURITIES 3.9%
Aames Mortgage Investment Trust
5.410% due 04/25/2036		1,417		1,418
ACE Securities Corp.
5.370% due 07/25/2036		7,433		7,438
Argent Securities, Inc.
5.370% due 10/25/2036		12,724		12,732
Asset-Backed Funding Certificates
5.380% due 11/25/2036		1,951		1,952
5.700% due 06/25/2034		16,974		17,002
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		2,432		2,433
Bank One Issuance Trust
5.460% due 12/15/2010		1,700		1,704
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		1,640		1,641
5.400% due 10/25/2036		1,947		1,947
5.680% due 01/25/2036		2,275		2,277
5.800% due 03/25/2043		191		191
Chase Credit Card Master Trust
5.450% due 10/15/2009		4,100		4,105
5.470% due 02/15/2010		3,100		3,105
Chase Issuance Trust
5.360% due 12/15/2010		3,960		3,964
Citibank Credit Card Issuance Trust
5.435% due 03/20/2009		27,600		27,623
Citigroup Mortgage Loan Trust, Inc.
5.400% due 11/25/2036		5,901		5,904
5.650% due 11/25/2034		445		446
Countrywide Asset-Backed Certificates
5.370% due 03/25/2037		9,570		9,576
5.380% due 01/25/2046		19,225		19,239
5.400% due 01/25/2037		12,844		12,859
5.410% due 09/25/2046		7,195		7,200
5.460% due 10/25/2046		14,568		14,576
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		24,871		24,887
First NLC Trust
5.470% due 02/25/2036		4,994		4,998
Fremont Home Loan Trust
5.370% due 10/25/2036		2,181		2,182
5.410% due 01/25/2037		1,900		1,899
5.520% due 01/25/2036		3,000		3,003
GSAMP Trust
5.360% due 10/25/2036		4,304		4,307
5.390% due 10/25/2036		3,029		3,031
GSR Mortgage Loan Trust
5.450% due 11/25/2030		763		763
Honda Auto Receivables Owner Trust
5.342% due 11/15/2007		12,564		12,570
HSI Asset Securitization Corp. Trust
5.370% due 10/25/2036		2,491		2,493
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		3,522		3,524
Indymac Residential Asset-Backed Trust
5.370% due 11/25/2036		5,675		5,679
JPMorgan Mortgage Acquisition Corp.
5.360% due 08/25/2036		2,850		2,852
5.370% due 07/25/2036		5,596		5,599
5.370% due 08/25/2036		13,934		13,942
5.420% due 11/25/2036		3,281		3,283
5.560% due 06/25/2035		1,079		1,081
Lehman XS Trust
5.430% due 07/25/2046		12,460		12,467
5.430% due 11/25/2046		14,630		14,637
Long Beach Mortgage Loan Trust
5.360% due 11/25/2036		2,050		2,051
5.380% due 06/25/2036		985		986
MASTR Asset-Backed Securities Trust
5.380% due 10/25/2036		1,119		1,119
5.430% due 01/25/2036		1,651		1,653
MBNA Credit Card Master Note Trust
5.450% due 12/15/2011		1,300		1,304
5.519% due 09/15/2010		2,000		2,006
Merrill Lynch Mortgage Investors, Inc.
5.390% due 07/25/2037		7,878		7,883
5.400% due 05/25/2037		9,370		9,376
5.410% due 04/25/2037		1,221		1,222
5.430% due 01/25/2037		4,267		4,270
5.440% due 10/25/2037		7,133		7,138
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		8,919		8,916
5.370% due 09/25/2036		7,845		7,850
5.380% due 06/25/2036		857		858
5.390% due 06/25/2036		1,716		1,717
5.430% due 12/25/2035		794		794
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		2,008		2,009
Option One Mortgage Loan Trust
5.360% due 02/25/2037		1,225		1,226
5.400% due 07/25/2036		1,416		1,417
Park Place Securities, Inc.
5.610% due 09/25/2035		1,078		1,080
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		4,008		4,010
Residential Asset Securities Corp.
5.390% due 11/25/2036		3,943		3,945
5.420% due 04/25/2036		1,621		1,623
5.420% due 11/25/2036		21,193		21,209
5.440% due 01/25/2036		1,969		1,971
Securitized Asset-Backed Receivables LLC Trust
5.370% due 09/25/2036		3,145		3,147
SLM Student Loan Trust
5.323% due 07/25/2013		2,300		2,300
5.345% due 10/25/2012		10,500		10,498
5.392% due 04/25/2012		5,700		5,699
5.467% due 10/25/2013		838		839
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		12,927		12,935
5.380% due 11/25/2036		6,319		6,317
5.420% due 02/25/2036		936		937
5.420% due 03/25/2036		525		526
5.420% due 10/25/2036		4,497		4,500
5.450% due 12/25/2035		1,680		1,682
5.580% due 06/25/2035		3,606		3,610
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		1,315		1,316
5.395% due 11/25/2037		1,443		1,442
Structured Asset Investment Loan Trust
5.370% due 07/25/2036		1,318		1,318
Structured Asset Securities Corp.
5.370% due 10/25/2036		13,546		13,555
5.430% due 11/25/2035		4,117		4,120
Triad Auto Receivables Owner Trust
5.341% due 11/13/2007		5,733		5,738
Wachovia Auto Owner Trust
5.358% due 11/09/2007		2,515		2,517
WFS Financial Owner Trust
3.590% due 10/19/2009		4,899		4,859
Total Asset-Backed Securities (Cost $467,755)				468,017
SOVEREIGN ISSUES 0.1%
Mexico Government International Bond
5.625% due 01/15/2017		300		301
Russia Government International Bond
10.000% due 06/26/2007		4,000		4,095
Total Sovereign Issues (Cost $4,390)				4,396
FOREIGN CURRENCY-DENOMINATED ISSUES 0.6%
Canadian Government Bond
3.000% due 12/01/2036 (d)		CAD 21,378		23,649
France Government Bond
3.000% due 07/25/2012 (d)	EUR	11,024		15,517
3.150% due 07/25/2032 (d)		1,081		1,806
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (d)		4,270		5,726
Province of Quebec Canada
5.000% due 12/01/2038		CAD 3,000		2,701
Pylon Ltd.
5.179% due 12/18/2008 (m)	EUR	3,700		4,912
7.579% due 12/18/2008		4,300		5,718
Republic of Germany
5.625% due 01/04/2028		8,400		13,429
Sweden Government Bond
3.500% due 12/01/2015	SEK	12,000		2,244
Total Foreign Currency-Denominated Issues (Cost $68,730)				75,702
		Shares
PREFERRED STOCKS 0.0%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		2,700		2,754
Total Preferred Stocks (Cost $2,775)				2,754
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 4.8%
Certificates of Deposit 0.2%

Barclays Bank PLC
5.271% due 01/29/2007	$	6,400		6,400
Skandinaviska Enskilda Banken AB
5.272% due 07/06/2007		2,400		2,400
5.272% due 10/03/2007		14,500		14,500
				23,300
Commercial Paper 3.0%
Abbey National N.A. LLC
5.225% due 03/07/2007		12,000		11,881
ASB Finance Ltd.
5.250% due 02/12/2007		2,000		1,988
5.260% due 02/05/2007		11,900		11,843
Bank of America Corp.
5.225% due 03/27/2007		300		296
5.230% due 03/09/2007		100		99
5.245% due 01/17/2007		7,600		7,584
5.250% due 01/24/2007		800		798
5.250% due 03/15/2007		1,700		1,681
5.250% due 03/19/2007		2,400		2,372
Bank of Ireland
5.250% due 02/16/2007		11,200		11,128
5.260% due 03/15/2007		1,300		1,286
Barclays U.S. Funding Corp.
5.250% due 01/12/2007		600		599
5.250% due 01/17/2007		400		399
5.250% due 03/14/2007		1,000		989
5.260% due 03/26/2007		9,400		9,281
BNP Paribas Finance
5.230% due 03/07/2007		6,000		5,941
5.240% due 01/19/2007		7,300		7,283
Calyon N.A. LLC
5.225% due 03/09/2007		1,300		1,287
5.240% due 02/08/2007		12,100		12,037
Cox Communications, Inc.
5.619% due 01/16/2007		12,300		12,300
Danske Corp.
5.225% due 03/12/2007		600		594
5.240% due 01/30/2007		10,900		10,857
5.255% due 01/18/2007		1,900		1,896
5.260% due 01/04/2007		600		600
Dexia Delaware LLC
5.240% due 01/18/2007		4,700		4,690
DnB NORBank ASA
5.240% due 03/07/2007		11,900		11,782
Federal Home Loan Bank
4.800% due 01/02/2007		6,500		6,500
Fortis Funding LLC
5.265% due 01/02/2007		11,900		11,900
General Electric Capital Corp.
5.230% due 03/07/2007		11,400		11,287
5.240% due 02/08/2007		800		796
5.250% due 01/16/2007		1,800		1,797
HBOS Treasury Services PLC
5.250% due 02/16/2007		1,700		1,689
5.250% due 03/15/2007		700		692
5.260% due 03/21/2007		6,100		6,027
ING U.S. Funding LLC
5.240% due 02/20/2007		11,400		11,320
IXIS Commercial Paper Corp.
5.230% due 03/05/2007		900		891
5.250% due 02/05/2007		10,400		10,350
5.260% due 02/02/2007		2,000		1,991
Nordea N.A., Inc.
5.245% due 01/08/2007		6,500		6,495
Rabobank USA Financial Corp.
5.280% due 01/02/2007		11,300		11,300
San Paolo IMI U.S. Financial Co.
5.290% due 01/02/2007		5,300		5,300
Skandinaviska Enskilda Banken AB
5.240% due 02/21/2007		1,000		993
5.250% due 01/26/2007		11,300		11,262
Societe Generale NY
5.230% due 02/09/2007		10,500		10,444
5.230% due 03/08/2007		1,200		1,188
5.235% due 02/16/2007		1,600		1,590
Spintab AB
5.240% due 02/15/2007		9,750		9,689
Svenska Handelsbanken, Inc.
5.235% due 03/05/2007		2,500		2,476
Swedbank
5.240% due 02/12/2007		3,700		3,678
Time Warner, Inc.
5.390% due 01/25/2007		7,200		7,176
Toyota Motor Credit Corp.
5.230% due 02/23/2007		11,700		11,613
UBS Finance Delaware LLC
5.185% due 04/02/2007		400		395
5.205% due 01/26/2007		9,900		9,867
5.225% due 03/08/2007		500		495
5.240% due 01/08/2007		1,800		1,799
5.240% due 01/22/2007		1,300		1,296
Unicredito Italiano SpA
5.255% due 01/16/2007		10,900		10,879
Viacom, Inc.
5.594% due 05/29/2007		19,800		19,800
5.600% due 03/22/2007		19,700		19,700
Westpac Capital Corp.
5.210% due 03/29/2007		1,800		1,776
5.215% due 02/05/2007		10,100		10,052
5.240% due 01/03/2007		1,500		1,500
5.245% due 01/17/2007		500		499
Westpac Trust Securities NZ Ltd.
5.245% due 01/25/2007		900		897
				358,890
Repurchase Agreements 0.2%
Credit Suisse Securities (USA) LLC
4.800% due 01/02/2007		13,600		13,600
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 4.875% due 04/30/2008 valued at $13,972. Repurchase proceeds are $13,607.)
Lehman Brothers, Inc.
4.850% due 01/02/2007		2,000		2,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 4.500% due 02/28/2011 valued at $2,045. Repurchase proceeds are $2,001.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		14,591		14,591
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $772 and Freddie Mac 5.500% due 01/18/2008 valued at $14,114. Repurchase proceeds are $14,599.)
				30,191
Germany Treasury Bills 0.2%
3.090% due 01/17/2007	EUR	17,400		22,942
U.S. Treasury Bills 1.2%
4.814% due 03/01/2007 - 03/15/2007 (c)(e)(f)(i)	$	144,698		143,151
Total Short-Term Instruments (Cost $577,556)				578,474
Purchased Options (k) (0.0%) (Cost $2,842)				1,297
Total Investments (g) 180.5% (Cost $22,027,658)			$	21,835,475
Written Options (l) (0.2%) (Premiums $19,218)				(18,659	)
Other Assets and Liabilities (Net) (80.3%)				(9,719,081	)
Net Assets 100.0%			$	12,097,735

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

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

(a) Security is in default.

(b) When-issued security.

(c) Coupon represents a weighted average rate.

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

(e) Securities with an aggregate market value of $16,568 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(f) Securities with an aggregate market value of $107,180 have been pledged as collateral for delayed-delivery securities on December 31, 2006.

(g) As of December 31, 2006, portfolio securities with an aggregate value of $4,374,933 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(h) Residual Interest Bonds Held in Trust—Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Portfolio acquired the residual interest certificates. These securities serve as collateral in a financing transaction.

(i) Securities with an aggregate market value of $19,155 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Short	12/2007	354	$	182
90-Day Eurodollar December Futures	Long	12/2008	622		280
90-Day Eurodollar June Futures	Long	06/2007	1,122		(849	)
90-Day Eurodollar June Futures	Short	06/2008	3,083		1,047
90-Day Eurodollar June Futures	Long	06/2009	622		350
90-Day Eurodollar March Futures	Short	03/2008	2,206		953
90-Day Eurodollar March Futures	Long	03/2009	622		319
90-Day Eurodollar September Futures	Long	09/2007	629		(92	)
90-Day Eurodollar September Futures	Short	09/2008	2,461		575
Euro-Bund 10-Year Note March Futures	Short	03/2007	768		2,895
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	2,500		(1,387	)
U.S. Treasury 5-Year Note March Futures	Long	03/2007	6,740		(3,329	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	6,208		(6,144	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	754		1,454
				$	(3,746	)

(j) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
ABN AMRO Bank, N. V.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.100	%	6/20/2007	$	3,000	$	42
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.100	%	6/20/2011		3,500		299
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		9,600		28
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		26,000		24
Barclays Bank PLC	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.350	%	12/20/2008		17,700		(6	)
Barclays Bank PLC	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.330	%	12/20/2008		17,700		14
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		3,000		(3	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.780	%	12/20/2008		17,700		10
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	6/20/2007		3,000		61
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	6/20/2007		3,000		67
Citibank N.A.	Morgan Stanley 6.600% due 04/01/2012	Buy	(0.068	%)	6/20/2007		99,000		(7	)
Deutsche Bank AG	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.260	%	12/20/2007		13,000		2
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.510	%	12/20/2008		36,000		84
Deutsche Bank AG	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.325	%	12/20/2008		18,800		13
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		7,000		(5	)
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.790	%	12/20/2008		18,800		14
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.000	%	6/20/2007		2,000		27
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.500	%	6/20/2007		1,000		21
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.700	%	6/20/2007		2,600		45
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.300	%	9/20/2007		6,200		84
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.450	%	9/20/2007		10,400		152
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.670	%	6/20/2007		1,000		12
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.680	%	6/20/2007		500		6
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.700	%	6/20/2007		700		8
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	6/20/2007		1,000		20
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.350	%	9/20/2007		1,600		22
HSBC Bank USA	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.280	%	11/20/2007		14,000		8
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	6/20/2007		5,000		112
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	6/20/2007		3,100		58
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	6/20/2007		1,000		22
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.550	%	6/20/2007		1,000		17
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		2,000		(2	)
Lehman Brothers, Inc.	Peru Government International Bond 9.125% due 02/21/2012	Sell	0.370	%	12/20/2008		17,100		1
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		5,400		77
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.550	%	6/20/2007		5,000		107
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.250	%	9/20/2007		3,000		39
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.260	%	12/20/2007		11,000		2
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		8,800		8
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		5,000		0
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.600	%	6/20/2007		2,000		33
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	6/20/2007		1,000		22
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		1,200		17
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.250	%	9/20/2007		4,400		158
UBS AG	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.620	%	6/20/2011		1,000		106
								$	1,819

(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	3-Month Canadian Bank Bill	Receive	5.000	%	6/15/2015	CAD	32,000	$	(505	)
Bank of America	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027		3,000		(36	)
Deutsche Bank AG	3-Month Canadian Bank Bill	Pay	5.500	%	6/15/2035		22,100		(576	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2025		9,000		11
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027		16,300		(261	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.500	%	6/15/2035		41,300		(1,061	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027		18,600		(135	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	4,900		80
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.138	%	1/19/2016		32,700		234
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	9/14/2010		30,000		310
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		32,700		601
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.040	%	2/21/2011		21,200		229
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.988	%	12/15/2011		71,500		(10	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.150	%	1/19/2016		45,000		563
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		66,900		139
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.028	%	10/15/2011		25,900		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		46,200		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		25,000		136
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	6/15/2017		32,400		885
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		23,700		405
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.095	%	10/15/2011		39,400		527
UBS AG	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275	%	10/15/2016		26,000		(35	)
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		26,000		137
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2008	GBP	7,000		(34	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2009		193,200		(1,583	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		41,300		(1,726	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		13,700		16
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,100		(1	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	6/12/2036		29,500		1,738
UBS AG	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2008		8,800		(41	)
UBS AG	United Kingdom RPI Index	Pay	2.548	%	11/14/2016		35,000		155
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016	MXN	167,000		983
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	314,200		7,191
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		51,200		(171	)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		306,000		6,441
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2021		72,500		(2,999	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		76,800		(4,223	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		75,000		(1,914	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		136,150		(455	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		74,100		645
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		4,800		110
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2012		113,100		1,242
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		155,700		3,564
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2037		78,700		1,710
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		170,000		(568	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		95,900		2,190
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2037		68,600		1,489
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/18/2009		793,000		2,416
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		154,400		(509	)
								$	17,304

Total Return Swaps

Counterparty	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized (Depreciation)
AIG International Inc.	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	1/17/2007	268,054	$	(1,026	)
Barclays Bank PLC	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	1/17/2007	820,154		(2,999	)
Goldman Sachs & Co.	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	1/17/2007	339,979		(1,243	)
JPMorgan Chase & Co.	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	1/17/2007	168,127		(615	)
Lehman Brothers, Inc.	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	1/17/2007	788,971		(2,884	)
Morgan Stanley	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	1/17/2007	1,521,891		(5,885	)
					$	(14,652	)

(k) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CBOT U.S. Treasury 5-Year Note March Futures	$	102.000	2/23/2007	5,700	$	108	$	108
Put - CBOT U.S. Treasury 10-Year Note March Futures		103.000	2/23/2007	5,106		96		96
Put - CME 90-Day Eurodollar June Futures		91.250	6/18/2007	2,676		26		0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	3,614		34		0
Put - CME 90-Day Eurodollar March Futures		92.250	3/19/2007	3,055		29		0
					$	293	$	204

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007	$	499,000	$	2,196	$	2,928
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		96,000		353		563
									$	2,549	$	3,491

Straddle Options

Description	Counterparty		Exercise Price	(2)	Expiration Date		Notional Amount		Cost	(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Bank of America	$	0.000		3/20/2007	$	88,700	$	0		$	(892	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.		0.000		3/20/2007		122,700		0			(1,233	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	JPMorgan Chase & Co.		0.000		3/20/2007		28,200		0			(273	)
								$	0		$	(2,398	)

(2) Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(l) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	115.000	2/23/2007	1,176	$	599	$	184
Call - OTC Dow Jones - AIG Commodity Index Total Return Futures		193.000	10/19/2007	50,000,000		1,395		1,150
Call - OTC Dow Jones - AIG Commodity Index Total Return Futures		230.000	10/19/2010	68,000,000		3,401		3,096
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	1,176		356		606
Put - OTC Dow Jones - AIG Commodity Index Total Return Futures		151.000	10/19/2007	50,000,000		1,770		1,630
Put -OTC Dow Jones - AIG Commodity Index Total Return Futures		150.000	10/19/2010	68,000,000		5,656		5,759
Put - OTC Goldman Sachs - Commodity Index Total Return Futures		82.000	12/19/2008	89,000,000		178		178
					$	13,355	$	12,603

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.300	%	1/2/2007	$	213,000	$	1,108	$	1,889
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		107,000		1,214		0
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	6.100	%	1/2/2007		106,000		697		0
Call - OTC 5-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	4.750	%	2/1/2007		100,000		140		26
Put - OTC 5-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.350	%	2/1/2007		100,000		160		53
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		215,000		2,187		3,436
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.325	%	6/7/2007		42,000		357		652
									$	5,863	$	6,056

(m) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Bear Stearns Cos., Inc.	0.000	%	10/12/2007	9/12/2006	$	182,000	$	198,180	1.64	%
Deutsche Bank AG	0.000	%	7/27/2007	10/6/2006		20,000		22,454	0.18	%
Pylon Ltd.	5.179	%	12/18/2008	12/11/2003 - 11/14/2006		4,575		4,912	0.04	%
					$	206,575	$	225,546	1.86	%

(n) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(3)
U.S. Treasury Notes	3.000	%	11/15/2007	$	1,000	$	985	$	987
U.S. Treasury Notes	3.375	%	2/15/2008		75,000		73,985		74,739
U.S. Treasury Notes	4.750	%	5/15/2014		110,200		112,630		111,343
						$	187,600	$	187,069

(3) Market value includes $3,868 of interest payable on short sales.

(o) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	CAD	259	01/2007	$	0	$	(2	)	$	(2	)
Sell		33,372	01/2007		705		0			705
Buy	CNY	341,558	09/2007		960		0			960
Buy	EUR	78,272	01/2007		754		0			754
Sell		64,173	01/2007		0		(415	)		(415	)
Sell	GBP	6,474	01/2007		0		(77	)		(77	)
Buy	JPY	1,163,545	01/2007		0		(61	)		(61	)
Sell		8,420,487	01/2007		83		0			83
Buy		35,801,377	02/2007		0		(4,037	)		(4,037	)
Buy	PLN	2,748	04/2007		31		0			31
Buy	RUB	23,123	03/2007		9		0			9
Sell	SEK	15,677	03/2007		0		(1	)		(1	)
				$	2,542	$	(4,593	)	$	(2,051	)

See accompanying notes

Schedule of Investments

Convertible Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 5.4%
Banking & Finance 0.8%
Ford Motor Credit Co.
4.950% due 01/15/2008	$	450	$	443
				443
Industrials 3.0%
CCO Holdings LLC
8.750% due 11/15/2013		400		417
Charter Communications Holdings II LLC
10.250% due 09/15/2010		80		84
Charter Communications Operating LLC
8.375% due 04/30/2014		250		262
Continental Airlines, Inc.
9.798% due 04/01/2021		239		263
CSC Holdings, Inc.
7.250% due 07/15/2008		100		101
JetBlue Airways Corp.
9.610% due 03/15/2008		202		205
Owens Brockway Glass Container, Inc.
6.750% due 12/01/2014		250		244
Windstream Corp.
8.625% due 08/01/2016		125		138
				1,714
Utilities 1.6%
LCI International, Inc.
7.250% due 06/15/2007		100		101
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		500		525
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		250		256
				882
Total Corporate Bonds & Notes (Cost $2,880)				3,039
CONVERTIBLE BONDS & NOTES 69.3%
Banking & Finance 9.9%
American Equity Investment Life Holding Co.
5.250% due 12/06/2024		250		298
AngloGold Ashanti Holdings PLC
2.375% due 02/27/2009		100		103
Deutsche Bank AG
0.000% due 05/28/2008		550		602
0.950% due 01/26/2010 (a)		600		599
2.000% due 10/07/2009		300		286
ERP Operating LP
3.850% due 08/15/2026		250		258
Forest City Enterprises, Inc.
3.625% due 10/15/2011		500		534
Goldman Sachs Group, Inc.
3.439% due 09/20/2011		250		231
Host Marriott LP
3.250% due 04/15/2024		375		558
IXIS Financial Products, Inc.
0.800% due 06/15/2009		150		146
1.875% due 06/15/2009		150		150
Lehman Brothers Holdings, Inc.
1.383% due 06/15/2009		500		565
Merrill Lynch & Co., Inc.
0.000% due 03/13/2032		350		466
Prudential Financial, Inc.
2.614% due 11/15/2035		125		128
U.S. Bancorp
3.615% due 09/20/2036		500		507
3.893% due 12/11/2035		175		179
				5,610
Industrials 53.2%
Actuant Corp.
2.000% due 11/15/2023		90		119
Alliant Techsystems, Inc.
2.750% due 02/15/2024		300		331
Allied Waste North America, Inc.
4.250% due 04/15/2034		250		240
Alza Corp.
0.000% due 07/28/2020		298		272
Amazon.com, Inc.
4.750% due 02/01/2009		141		139
American Tower Corp.
3.000% due 08/15/2012		350		667
Amgen, Inc.
0.000% due 03/01/2032		1,025		773
0.125% due 02/01/2011		800		784
Amkor Technology, Inc.
2.500% due 05/15/2011		250		238
Amylin Pharmaceuticals, Inc.
2.500% due 04/15/2011		100		126
Armor Holdings, Inc.
2.000% due 11/01/2024		430		520
ArvinMeritor, Inc.
4.625% due 03/01/2026		250		282
Bausch & Lomb, Inc.
6.048% due 08/01/2023		225		262
Bristol-Myers Squibb Co.
4.860% due 09/15/2023		250		251
Caesars Entertainment, Inc.
5.374% due 04/15/2024		250		325
Carnival Corp.
2.000% due 04/15/2021		400		514
Cephalon, Inc.
0.000% due 06/15/2033		175		234
Ceradyne, Inc.
2.875% due 12/15/2035		250		301
Charter Communications, Inc.
5.875% due 11/16/2009		28		40
Chesapeake Energy Corp.
2.750% due 11/15/2035		250		254
Connetics Corp.
2.000% due 03/30/2015		325		324
Costco Wholesale Corp.
0.000% due 08/19/2017		100		121
Diamond Offshore Drilling, Inc.
1.500% due 04/15/2031		125		205
Edwards Lifesciences Corp.
3.875% due 05/15/2033		275		282
Electronic Data Systems Corp.
3.875% due 07/15/2023		150		160
Fisher Scientific International, Inc.
2.500% due 10/01/2023		255		505
Flextronics International Ltd.
1.000% due 08/01/2010		200		197
Fluor Corp.
1.500% due 02/15/2024		275		412
Ford Motor Co.
4.250% due 12/15/2036		900		966
Four Seasons Hotels, Inc.
1.875% due 07/30/2024		400		494
Genzyme Corp.
1.250% due 12/01/2023		350		366
Gilead Sciences, Inc.
0.625% due 05/01/2013		300		309
Goodyear Tire & Rubber Co.
4.000% due 06/15/2034		200		362
Hanover Compressor Co.
4.750% due 01/15/2014		200		287
Headwaters, Inc.
2.875% due 06/01/2016		100		103
Hilton Hotels Corp.
3.375% due 04/15/2023		452		716
ImClone Systems, Inc.
1.375% due 05/15/2024		200		182
Intel Corp.
2.950% due 12/15/2035		450		410
International Game Technology
0.000% due 01/29/2033		640		627
Interpublic Group of Cos., Inc.
4.500% due 03/15/2023		225		268
Invitrogen Corp.
2.000% due 08/01/2023		250		251
Juniper Networks, Inc.
0.000% due 06/15/2008		200		217
Keane, Inc.
2.000% due 06/15/2013		140		136
Lamar Advertising Co.
2.875% due 12/31/2010		260		354
Lockheed Martin Corp.
5.124% due 08/15/2033		775		1,032
Logix Communications Enterprises
1.500% due 10/01/2025		300		328
Lowe’s Cos., Inc.
0.000% due 02/16/2021		200		206
0.000% due 10/19/2021		100		109
Macrovision Corp.
2.625% due 08/15/2011		200		243
Magnum Hunter Resources, Inc.
5.360% due 12/15/2023		200		280
Manor Care, Inc.
2.625% due 04/15/2023		325		503
Masco Corp.
0.000% due 07/20/2031		275		130
Medtronic, Inc.
1.250% due 09/15/2021		550		553
1.625% due 04/15/2013		825		884
Millipore Corp.
3.750% due 06/01/2026		250		258
Nabors Industries, Inc.
0.000% due 06/15/2023		250		264
Nortel Networks Corp.
4.250% due 09/01/2008		250		243
Novell, Inc.
7.830% due 07/15/2024		150		146
Omnicare, Inc.
3.250% due 12/15/2035		250		218
Open Solutions, Inc.
1.467% due 02/02/2035		500		393
Placer Dome, Inc.
2.750% due 10/15/2023		120		165
Pride International, Inc.
3.250% due 05/01/2033		200		252
Qwest Communications International, Inc.
3.500% due 11/15/2025		250		392
Red Hat, Inc.
0.500% due 01/15/2024		450		483
RF Micro Devices, Inc.
1.500% due 07/01/2010		125		133
Roper Industries, Inc.
1.481% due 01/15/2034 (i)		450		295
SanDisk Corp.
1.000% due 05/15/2013		250		222
Schlumberger Ltd.
1.500% due 06/01/2023		355		628
SCI Systems, Inc.
3.000% due 03/15/2007		528		527
Scientific Games Corp.
0.750% due 12/01/2024		525		603
Sinclair Broadcast Group, Inc.
4.875% due 07/15/2018		450		413
Solectron Corp.
0.500% due 02/15/2034		325		268
St. Jude Medical, Inc.
2.800% due 12/15/2035		250		250
Symantec Corp.
1.000% due 06/15/2013		500		611
Synaptics, Inc.
0.750% due 12/01/2024		250		230
Teva Pharmaceutical Finance Co. BV
1.750% due 02/01/2026		1,000		926
Transocean, Inc.
1.500% due 05/15/2021		250		293
UtStarcom, Inc.
0.875% due 03/01/2008		350		330
Walt Disney Co.
2.125% due 04/15/2023		675		824
Wyeth
5.109% due 01/15/2024		401		437
Wynn Resorts Ltd.
6.000% due 07/15/2015		125		512
Yahoo!, Inc.
0.000% due 04/01/2008		195		254
YRC Worldwide, Inc.
3.375% due 11/25/2023		304		347
				30,111
Utilities 6.2%
CenterPoint Energy, Inc.
3.750% due 05/15/2023		225		328
CMS Energy Corp.
3.375% due 07/15/2023		450		728
Commonwealth Telephone Enterprises, Inc.
3.250% due 07/15/2023		250		271
Duke Energy Corp.
1.750% due 05/15/2023		300		436
Lucent Technologies, Inc.
2.750% due 06/15/2023		489		528
Nextel Communications, Inc.
5.250% due 01/15/2010		125		123
PPL Energy Supply LLC
2.625% due 05/15/2023		525		758
Time Warner Telecom, Inc.
2.375% due 04/01/2026		250		316
				3,488
Total Convertible Bonds & Notes (Cost $34,382)				39,209
	Shares
COMMON STOCKS 7.5%
Capital Goods 0.4%
Tyco International Ltd.		7,200		219
Communications 0.5%
Citizens Communications Co.		10,000		144
Windstream Corp.		9,800		139
				283
Consumer Discretionary 0.3%
Xerox Corp. (b)		9,000		152
Consumer Services 2.0%
News Corp. ‘B’		24,800		552
Time Warner, Inc.		26,500		577
				1,129
Energy 1.0%
Ferrellgas Partners LP		7,400		158
Pioneer Natural Resources Co.		5,000		199
Suburban Propane Partners LP		5,200		198
				555
Healthcare 0.5%
Amylin
Pharmaceuticals, Inc. (b)		3,500		126
Triad Hospitals, Inc. (b)		3,800		159
				285
Technology 0.7%
Advanced Micro
Devices, Inc. (b)		7,600		155
Corning, Inc. (b)		5,000		94
Nortel Networks Corp. (b)		6,000		160
				409
Utilities 2.1%
Public Service Enterprise
Group, Inc.		4,090		272
Reliant Energy, Inc. (b)		14,149		201
TXU Corp.		2,600		141
Williams Cos., Inc.		21,800		569
				1,183
Total Common Stocks (Cost $3,504)				4,215
CONVERTIBLE PREFERRED STOCKS 13.8%
Communications 0.4%
Comcast Corp.
2.000% due 11/15/2029		6		240
Consumer Discretionary 3.8%
Celanese Corp.
4.250% due 12/31/2049		10,000		363
General Motors Corp.
5.250% due 03/06/2032		44,000		932
6.250% due 07/15/2033		27,000		614
Huntsman Corp.
5.000% due 02/16/2008		5,500		230
				2,139
Consumer Services 4.5%
Allied Waste Industries, Inc.
6.250% due 03/01/2008		2,000		660
Aspen Insurance Holdings Ltd.
5.625% due 12/31/2049		5,500		299
Fannie Mae
5.375% due 12/31/2049		3		300
Ford Motor Co. Capital Trust II
6.500% due 01/15/2032		12,500		427
Lehman Brothers Holdings, Inc.
6.250% due 10/15/2007		4,500		124
MetLife, Inc.
6.375% due 08/15/2008		11,200		343
Washington Mutual Capital Trust
5.375% due 05/03/2041		7,400		417
				2,570
Energy 4.0%
Chesapeake Energy Corp.
4.500% due 12/31/2049		5,000		466
El Paso Corp.
4.990% due 12/31/2049		550		730
Entergy Corp.
7.625% due 02/17/2009		8,000		476
NRG Energy, Inc.
4.000% due 12/31/2049		210		311
5.750% due 03/16/2009		1,000		270
				2,253
Healthcare 0.6%
Schering-Plough Corp.
6.000% due 09/14/2007		6,500		370
Utilities 0.5%
PNM Resources, Inc.
6.750% due 05/16/2008		5,000		264
Total Convertible Preferred Stocks (Cost $7,034)				7,836
Exchange-Traded Funds 1.0%
Standard & Poors Depository Receipts Trust Series I		4,100		581
Total Exchange-Traded Funds (Cost $560)				581
SHORT-TERM INSTRUMENTS 3.5%
Commercial Paper 1.9%
ING U.S. Funding LLC
5.240% due 01/29/2007		900		897
Spintab AB
5.250% due 01/30/2007		200		199
				1,096
Repurchase Agreements 1.5%
State Street Bank and Trust Co.
4.900% due 01/02/2007		865		865
(Dated 12/29/2006. Collateralized by Fannie Mae 5.750% due 02/15/2008 valued at $884. Repurchase proceeds are $865.)
U.S. Treasury Bills 0.1%
4.798% due 03/15/2007 (c)(e)		35		34
Total Short-Term Instruments (Cost $1,995)				1,995
Purchased Options (g) 0.1% (Cost $101)				39
Total Investments (d) 100.6% (Cost $50,456)				56,914
Written Options (h) (0.0%) (Premiums $14)				0
Other Assets and Liabilities (Net) (0.6%)				(353	)
Net Assets 100.0%			$	56,561

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

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

(a) When-issued security.

(b) Non-income producing security.

(c) Coupon represents a weighted average rate.

(d) As of December 31, 2006, portfolio securities with an aggregate value of $941 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $34 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
U.S. Treasury 30-Year Bond March Futures	Long	03/2007	9	$	(22	)

(f) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Owens-Illinois, Inc. 7.800% due 05/15/2018	Buy	(3.550	%)	9/20/2011	$	135	$	(6	)
Bear Stearns & Co., Inc.	Cablevision Systems Corp. 8.000% due 04/15/2012	Buy	(2.530	%)	6/20/2011		600		1
Citibank N.A.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.530	%	6/20/2007		150		0
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.120	%	12/20/2008		250		3
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Buy	(1.670	%)	12/20/2012		90		(3	)
Credit Suisse First Boston	Tenet Healthcare Corp. 6.375% due 12/01/2011	Buy	(1.750	%)	12/20/2008		250		(2	)
Credit Suisse First Boston	Freescale Semiconductor, Inc. 7.125% due 07/15/2014	Buy	(2.250	%)	12/20/2009		1,000		(24	)
Credit Suisse First Boston	Tenet Healthcare Corp. 6.375% due 12/01/2011	Sell	3.650	%	12/20/2010		250		9
Credit Suisse First Boston	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	3.600	%	12/20/2011		250		8
Credit Suisse First Boston	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(4.300	%)	12/20/2016		250		(9	)
Deutsche Bank AG	JetBlue Airways Corp. 3.500% due 07/15/2033	Buy	(3.300	%)	3/20/2008		250		0
Deutsche Bank AG	Freescale Semiconductor, Inc. 7.125% due 07/15/2014	Sell	2.600	%	12/20/2009		1,000		34
JPMorgan Chase & Co.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.900	%)	12/20/2008		250		(4	)
JPMorgan Chase & Co.	Tenet Healthcare Corp. 6.375% due 12/01/2011	Sell	3.650	%	12/20/2010		250		9
JPMorgan Chase & Co.	Cablevision Systems Corp. 8.000% due 04/15/2012	Sell	2.730	%	6/20/2011		600		3
JPMorgan Chase & Co.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	3.600	%	12/20/2011		250		8
JPMorgan Chase & Co.	Tenet Healthcare Corp. 6.375% due 12/01/2011	Buy	(4.700	%)	12/20/2012		250		(8	)
Merrill Lynch & Co., Inc.	AES Corp. 8.750% due 06/15/2008	Sell	0.950	%	6/20/2007		200		1
Merrill Lynch & Co., Inc.	Ford Motor Corp. 7.450% due 07/16/2031	Sell	4.830	%	12/20/2010		500		6
Royal Bank of Scotland Group PLC	Ford Motor Corp. 7.450% due 07/16/2031	Buy	(2.750	%)	12/20/2008		500		(4	)
								$	22

(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

(g) Purchased options outstanding on December 31, 2006:

Options on Securities	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - AMEX Ford Motor Co.	$	10.000	1/19/2008	$	45	$	87	$	32
Call - AMEX JetBlue Airways Corp.		23.375	1/19/2008		1,800		14		7
						$	101	$	39

(h) Written options outstanding on December 31, 2006:

Options on Securities	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Call—AMEX Amylin Pharmaceuticals, Inc.	$	50.000	1/20/2007	$	4	$	14	$	0

(i) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Roper Industries, Inc.	1.481	%	1/15/2034	3/8/2005	$	226	$	295	0.52	%

See accompanying notes

Schedule of Investments

Developing Local Markets Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 44.5%
Banking & Finance 29.8%
American Express Bank FSB
5.410% due 06/22/2009	$	1,900	$	1,902
American Express Centurion Bank
5.350% due 05/07/2008		1,700		1,701
5.410% due 04/17/2009		10,000		10,010
American Express Credit Corp.
5.410% due 05/19/2009		1,400		1,401
American International Group, Inc.
5.365% due 06/23/2008		2,300		2,301
Banco Nacional de Comercio Exterior SNC
3.875% due 01/21/2009		6,780		6,568
Banco Nacional de Desenvolvimento Economico e Social
5.167% due 06/16/2008		13,375		13,275
Banco Santander Chile
5.703% due 12/09/2009		12,000		12,055
Bank of America Corp.
5.372% due 09/25/2009		23,000		23,021
5.378% due 11/06/2009		3,200		3,202
Bank of America N.A.
5.361% due 12/18/2008		4,900		4,900
5.377% due 07/25/2008		15,000		15,013
Bank of Ireland
5.415% due 12/18/2009		19,700		19,674
Banque Centrale de Tunisie
7.500% due 09/19/2007		12,650		12,865
Bear Stearns Cos., Inc.
5.454% due 03/30/2009		10,750		10,768
5.606% due 01/31/2011		13,500		13,557
5.676% due 01/30/2009		9,900		9,950
Caterpillar Financial Services Corp.
5.422% due 10/09/2009		22,900		22,925
5.423% due 03/10/2009		7,100		7,110
5.426% due 08/11/2009		9,000		9,005
5.435% due 05/18/2009		13,200		13,224
Charter One Bank N.A.
5.430% due 04/24/2009		9,000		9,012
CIT Group, Inc.
5.435% due 12/19/2007		17,500		17,525
5.526% due 01/30/2009		27,000		27,079
Citigroup, Inc.
5.392% due 12/28/2009		19,000		19,011
5.406% due 12/26/2008		2,900		2,903
5.465% due 05/18/2011		8,900		8,911
5.525% due 05/18/2010		12,800		12,846
Commonwealth Bank of Australia
5.390% due 06/08/2009		1,600		1,601
DnB NORBank ASA
5.443% due 10/13/2009		1,500		1,501
Export-Import Bank of Korea
4.125% due 02/10/2009		2,900		2,836
4.250% due 11/27/2007		29,617		29,302
4.250% due 11/06/2008		1,404		1,377
4.500% due 08/12/2009		5,100		5,003
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		600		618
General Electric Capital Corp.
5.410% due 10/26/2009		2,600		2,601
5.480% due 12/15/2009		13,400		13,447
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		3,000		3,001
5.455% due 12/22/2008		20,200		20,234
5.456% due 06/23/2009		9,000		9,012
5.464% due 11/10/2008		11,700		11,724
5.476% due 07/29/2008		18,900		18,940
5.570% due 03/02/2010		14,500		14,556
HBOS Treasury Services PLC
5.350% due 07/17/2008		1,500		1,501
5.410% due 12/08/2010		20,100		20,115
5.414% due 07/17/2009		15,300		15,320
HSBC Bank USA N.A.
5.426% due 07/28/2008		1,400		1,403
5.490% due 12/14/2009		1,750		1,757
HSBC Finance Corp.
5.375% due 05/21/2008		1,700		1,701
5.420% due 10/21/2009		2,400		2,402
5.490% due 09/15/2008		13,000		13,039
5.655% due 11/16/2009		8,700		8,762
6.538% due 11/13/2007		5,800		5,838
Hutchison Whampoa Finance CI Ltd.
6.950% due 08/01/2007		500		504
Industry & Construction Bank St. Petersburg OJSC
6.875% due 07/29/2008		4,700		4,784
International Lease Finance Corp.
5.590% due 05/24/2010		9,000		9,041
5.714% due 04/20/2009		3,900		3,919
5.774% due 01/15/2010		5,000		5,044
John Deere Capital Corp.
5.424% due 04/15/2008		12,010		12,023
5.424% due 07/15/2008		9,000		9,008
JPMorgan Chase & Co.
5.400% due 06/26/2009		1,500		1,502
5.446% due 06/25/2010		19,700		19,728
5.562% due 10/02/2009		8,100		8,140
Lehman Brothers Holdings, Inc.
5.400% due 11/24/2008		1,700		1,701
5.415% due 12/23/2008		1,425		1,426
5.464% due 10/22/2008		6,500		6,511
5.464% due 01/23/2009		9,000		9,016
5.475% due 08/21/2009		22,000		22,027
5.576% due 12/23/2010		5,900		5,921
Malaysia Global Sukuk, Inc.
6.590% due 07/03/2007		22,100		22,261
MBNA Europe Funding PLC
5.450% due 09/07/2007		3,300		3,303
Merrill Lynch & Co., Inc.
5.395% due 12/22/2008		1,600		1,600
5.414% due 10/23/2008		3,500		3,502
5.461% due 06/16/2008		3,000		3,006
5.464% due 08/14/2009		11,700		11,713
5.466% due 01/30/2009		9,500		9,515
Morgan Stanley
5.390% due 11/21/2008		1,400		1,401
5.485% due 02/09/2009		9,000		9,020
5.499% due 02/15/2007		1,400		1,400
5.614% due 01/22/2009		8,900		8,908
National Australia Bank Ltd.
5.393% due 09/11/2009		23,400		23,423
Pemex Finance Ltd.
9.690% due 08/15/2009		6,951		7,515
Petroleum Export Ltd.
4.633% due 06/15/2010		1,073		1,057
5.265% due 06/15/2011		4,180		4,087
Royal Bank of Scotland Group PLC
5.365% due 12/21/2007		8,500		8,509
5.424% due 07/21/2008		1,900		1,902
Santander U.S. Debt S.A. Unipersonal
5.375% due 09/21/2007		1,500		1,502
5.425% due 09/19/2008		1,800		1,803
5.426% due 11/20/2009		9,000		9,006
5.428% due 02/06/2009		15,000		15,024
Skandinaviska Enskilda Banken AB
5.330% due 02/04/2008		1,800		1,801
SLM Corp.
5.517% due 07/27/2009		31,700		31,778
5.577% due 01/26/2009		4,300		4,318
Societe Generale NY
5.258% due 06/11/2007		1,300		1,300
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		16,085		16,093
Universal City Florida Holding Co. I
10.121% due 05/01/2010		6,500		6,744
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		22,300		22,339
6.115% due 09/21/2007		49,600		49,747
8.276% due 07/30/2007		3,000		3,051
Wachovia Bank N.A.
5.430% due 05/25/2010		9,000		9,010
5.440% due 12/02/2010		9,000		9,013
Wachovia Corp.
5.410% due 12/01/2009		19,500		19,513
5.426% due 10/28/2008		6,000		6,010
5.480% due 03/15/2011		9,000		9,021
5.506% due 10/15/2011		22,800		22,844
Wells Fargo & Co.
5.426% due 03/23/2010		26,400		26,441
5.460% due 09/15/2009		3,700		3,709
Westpac Banking Corp.
5.310% due 06/06/2008		3,500		3,501
World Savings Bank FSB
5.415% due 06/20/2008		1,600		1,603
5.415% due 05/08/2009		500		500
5.495% due 03/02/2009		5,650		5,669
				1,043,062
Industrials 10.2%
Allied Waste North America, Inc.
8.500% due 12/01/2008		2,300		2,429
Anadarko Petroleum Corp.
5.760% due 09/15/2009		22,900		23,011
Cablevision Systems Corp.
9.870% due 04/01/2009		5,000		5,300
Cisco Systems, Inc.
5.451% due 02/20/2009		2,700		2,704
Comcast Corp.
5.674% due 07/14/2009		9,000		9,026
Cox Communications, Inc.
5.910% due 12/14/2007		9,000		9,040
CSC Holdings, Inc.
7.875% due 12/15/2007		4,100		4,162
CSN Iron S.A.
9.125% due 06/01/2007		4,200		4,252
CSN Islands VII Corp.
10.750% due 09/12/2008		4,800		5,196
DaimlerChrysler N.A. Holding Corp.
5.790% due 03/13/2009		8,500		8,513
5.820% due 08/03/2009		9,300		9,322
EchoStar DBS Corp.
5.750% due 10/01/2008		8,750		8,739
El Paso Corp.
6.950% due 12/15/2007		4,700		4,765
7.625% due 08/16/2007		1,300		1,320
7.625% due 09/01/2008		2,300		2,380
Empresa Brasileira de Telecom S.A.
11.000% due 12/15/2008		2,298		2,528
FedEx Corp.
5.455% due 08/08/2007		5,900		5,908
Hewlett-Packard Co.
5.496% due 05/22/2009		1,700		1,704
Hilton Hotels Corp.
7.950% due 04/15/2007		2,000		2,019
HJ Heinz Co.
6.428% due 12/01/2008		4,300		4,379
Home Depot, Inc.
5.490% due 12/16/2009		1,800		1,801
Intelsat Subsidiary Holding Co. Ltd.
10.484% due 01/15/2012		3,000		3,041
JC Penney Corp., Inc.
7.600% due 04/01/2007		2,108		2,118
Mandalay Resort Group
10.250% due 08/01/2007		7,400		7,613
MGM Mirage
9.750% due 06/01/2007		15,350		15,619
Mirage Resorts, Inc.
6.750% due 08/01/2007		2,300		2,320
6.750% due 02/01/2008		1,350		1,365
Mobile Telesystems Finance S.A.
9.750% due 01/30/2008		5,900		6,131
Oracle Corp.
5.603% due 01/13/2009		9,000		9,018
Pemex Project Funding Master Trust
7.174% due 10/15/2009		12,088		12,523
8.500% due 02/15/2008		11,120		11,468
8.850% due 09/15/2007		15,976		16,367
9.375% due 12/02/2008		300		322
Qwest Communications International, Inc.
8.874% due 02/15/2009		5,900		6,003
Reynolds American, Inc.
6.500% due 06/01/2007		1,600		1,610
Royal Caribbean Cruises Ltd.
7.000% due 10/15/2007		5,000		5,070
Safeway, Inc.
5.716% due 03/27/2009		2,000		2,007
Salomon Brothers AG for OAO Gazprom
9.125% due 04/25/2007		33,525		34,041
Salomon Brothers AG for OAO Siberian Oil Co.
11.500% due 02/13/2007		26,500		26,779
Salomon Brothers AG for Tyumen Oil Co.
11.000% due 11/06/2007		15,870		16,600
Siemens Financieringsmaatschappij NV
5.424% due 08/14/2009		5,600		5,604
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/2007		3,300		3,314
Telefonos de Mexico S.A. de C.V.
4.500% due 11/19/2008		3,222		3,180
Time Warner, Inc.
5.606% due 11/13/2009		8,000		8,012
Transocean, Inc.
5.566% due 09/05/2008		9,000		9,010
United Technologies Corp.
5.439% due 06/01/2009		1,700		1,703
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		3,800		3,800
Walt Disney Co.
5.453% due 09/10/2009		19,000		19,034
Williams Cos., Inc.
5.935% due 02/16/2007		1,600		1,604
Xerox Corp.
6.111% due 12/18/2009		3,600		3,672
				357,446
Utilities 4.5%
America Movil S.A. de C.V.
5.466% due 06/27/2008		19,000		18,987
6.005% due 04/27/2007		10,000		10,040
AT&T, Inc.
4.214% due 06/05/2021		8,900		8,875
5.464% due 05/15/2008		6,200		6,206
5.584% due 11/14/2008		4,600		4,616
BellSouth Corp.
5.474% due 08/15/2008		15,300		15,316
CMS Energy Corp.
7.500% due 01/15/2009		900		933
8.900% due 07/15/2008		1,400		1,470
9.875% due 10/15/2007		1,500		1,554
Deutsche Telekom International Finance BV
5.546% due 03/23/2009		3,300		3,307
8.000% due 06/15/2010		500		542
Dominion Resources, Inc.
5.554% due 11/14/2008		1,600		1,601
5.662% due 09/28/2007		4,800		4,803
Entergy Gulf States, Inc.
6.100% due 12/08/2008		6,300		6,317
Florida Power Corp.
5.774% due 11/14/2008		8,400		8,420
Korea Electric Power Corp.
4.250% due 09/12/2007		11,000		10,903
6.115% due 12/20/2007		1,200		1,207
Pemex Project Funding Master Trust
6.125% due 08/15/2008		7,000		7,073
Qwest Corp.
5.625% due 11/15/2008		2,900		2,918
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		3,990		3,897
Rogers Wireless, Inc.
8.485% due 12/15/2010		5,000		5,112
Romanian Thermal Power Plants
9.120% due 12/23/2007		5,514		5,669
Telefonica Emisones SAU
5.665% due 06/19/2009		5,000		5,010
Verizon Global Funding Corp.
5.504% due 08/15/2007		9,500		9,500
Vodafone Group PLC
5.424% due 06/29/2007		13,500		13,503
				157,779
Total Corporate Bonds & Notes (Cost $1,554,989)				1,558,288
U.S. GOVERNMENT AGENCIES 0.9%
Fannie Mae
5.410% due 12/25/2036		1,600		1,604
5.958% due 06/01/2043 - 09/01/2044		6,872		6,923
Federal Home Loan Bank
5.500% due 06/30/2008		1,800		1,801
Freddie Mac
4.493% due 08/01/2035		148		147
4.500% due 04/15/2019		621		618
5.000% due 08/15/2016		5,172		5,119
5.500% due 06/12/2008		6,000		6,001
5.610% due 08/25/2031		660		663
5.630% due 09/25/2031		674		675
5.700% due 12/15/2030		1,346		1,349
5.958% due 02/25/2045		5,488		5,481
Total U.S. Government Agencies (Cost $30,395)				30,381
MORTGAGE-BACKED SECURITIES 3.7%
American Home Mortgage Investment Trust
5.500% due 09/25/2035		962		963
Arkle Master Issuer PLC
5.330% due 11/19/2007		1,900		1,903
Bear Stearns Alt-A Trust
5.510% due 02/25/2034		1,500		1,501
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		1,500		1,518
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		1,120		1,122
Commercial Mortgage Pass-Through Certificates
5.450% due 04/15/2017		2,113		2,115
6.455% due 05/15/2032		1,654		1,676
Countrywide Alternative Loan Trust
5.420% due 10/25/2046		4,963		4,967
5.530% due 02/20/2047		2,998		3,008
Countrywide Home Loan Mortgage Pass-Through Trust
5.500% due 01/25/2046		2,400		2,404
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.430% due 02/25/2037		1,600		1,601
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		2,782		2,784
5.430% due 01/25/2047		1,500		1,500
5.620% due 11/25/2045		670		671
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		1,229		1,230
Harborview Mortgage Loan Trust
5.440% due 12/19/2036		1,797		1,800
5.540% due 12/19/2036		4,697		4,705
5.590% due 03/19/2037		3,516		3,523
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		1,662		1,663
Indymac Index Mortgage Loan Trust
5.440% due 11/25/2046		1,681		1,687
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		8,369		8,374
Merrill Lynch Floating Trust
5.420% due 06/15/2022		1,634		1,635
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		1,842		1,842
5.650% due 08/25/2035		1,495		1,497
Sequoia Mortgage Trust
4.082% due 04/20/2035		993		973
Structured Asset Mortgage Investments, Inc.
5.420% due 08/25/2036		5,318		5,323
5.510% due 06/25/2036		1,291		1,292
5.570% due 05/25/2036		4,256		4,263
Structured Asset Securities Corp.
5.345% due 10/25/2035		1,711		1,709
TBW Mortgage-Backed Pass-Through Certificates
5.450% due 09/25/2036		1,339		1,341
5.460% due 12/25/2036		1,700		1,702
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		2,876		2,875
5.440% due 08/25/2036		14,145		14,127
5.470% due 04/25/2036		1,500		1,497
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		22,549		22,564
Washington Mutual, Inc.
5.557% due 01/25/2047		1,600		1,603
5.568% due 12/25/2046		1,736		1,742
5.640% due 08/25/2045		648		649
5.770% due 09/25/2046		4,852		4,883
5.777% due 10/25/2046		2,451		2,467
5.827% due 02/25/2046		2,525		2,543
6.027% due 11/25/2042		1,530		1,537
Total Mortgage-Backed Securities (Cost $128,647)				128,779
ASSET-BACKED SECURITIES 14.3%
Accredited Mortgage Loan Trust
5.510% due 09/25/2035		1,500		1,501
ACE Securities Corp.
5.370% due 08/25/2036		3,124		3,126
5.370% due 12/25/2036		1,531		1,532
5.400% due 10/25/2036		3,490		3,492
5.420% due 12/25/2035		1,784		1,785
5.460% due 10/25/2035		914		915
American Express Credit Account Master Trust
5.460% due 09/15/2010		1,600		1,603
Ameriquest Mortgage Securities, Inc.
5.430% due 01/25/2036		789		789
5.430% due 03/25/2036		558		558
Argent Securities, Inc.
5.370% due 09/25/2036		3,542		3,545
5.370% due 10/25/2036		7,118		7,123
5.390% due 06/25/2036		781		782
5.420% due 04/25/2036		663		664
5.430% due 03/25/2036		3,872		3,875
5.450% due 11/25/2035		331		331
5.470% due 10/25/2035		84		84
Asset-Backed Funding Certificates
5.360% due 09/25/2036		5,364		5,367
5.380% due 10/25/2036		3,103		3,105
5.380% due 11/25/2036		1,219		1,220
5.380% due 01/25/2037		1,376		1,377
5.700% due 06/25/2034		9,622		9,638
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		1,556		1,557
Bank One Issuance Trust
5.380% due 10/15/2009		1,700		1,701
5.460% due 02/15/2011		700		702
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		1,447		1,448
5.400% due 10/25/2036		1,558		1,558
5.420% due 02/25/2036		262		262
5.430% due 12/25/2035		894		895
5.440% due 04/25/2036		1,337		1,338
5.550% due 09/25/2034		1,242		1,244
Capital One Auto Finance Trust
5.340% due 12/14/2007		1,200		1,201
Carrington Mortgage Loan Trust
5.390% due 05/25/2036		1,276		1,277
5.400% due 01/25/2037		1,400		1,402
Chase Credit Card Master Trust
5.450% due 10/15/2009		1,700		1,702
5.460% due 10/15/2010		1,600		1,604
5.460% due 02/15/2011		1,500		1,504
5.470% due 02/15/2010		2,425		2,429
Chase Issuance Trust
5.360% due 12/15/2010		1,700		1,702
5.370% due 02/15/2012		1,155		1,157
Citibank Credit Card Issuance Trust
5.435% due 03/20/2009		15,300		15,313
5.474% due 01/15/2010		1,400		1,403
Citigroup Mortgage Loan Trust, Inc.
5.390% due 08/25/2036		4,410		4,413
5.400% due 11/25/2036		1,800		1,801
Countrywide Asset-Backed Certificates
5.370% due 12/26/2036		1,600		1,602
5.370% due 03/25/2037		5,160		5,164
5.370% due 05/25/2037		2,980		2,982
5.370% due 12/25/2046		4,467		4,470
5.370% due 03/25/2047		5,893		5,897
5.380% due 03/25/2037		4,858		4,861
5.380% due 01/25/2046		11,248		11,256
5.400% due 01/25/2037		3,635		3,639
5.400% due 05/25/2037		1,500		1,500
5.410% due 09/25/2046		1,301		1,302
5.420% due 06/25/2036		1,878		1,879
5.420% due 07/25/2036		1,453		1,455
5.420% due 12/25/2036		1,400		1,401
5.430% due 06/25/2037		1,500		1,501
5.450% due 01/25/2036		5		4
5.460% due 10/25/2046		7,592		7,596
5.480% due 07/25/2036		1,490		1,491
5.510% due 02/25/2036		2,034		2,035
5.540% due 01/25/2036		1,250		1,251
Credit-Based Asset Servicing & Securitization LLC
5.410% due 11/25/2036		1,373		1,374
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		2,700		2,701
5.329% due 12/08/2007		1,500		1,501
FBR Securitization Trust
5.460% due 10/25/2035		212		212
5.530% due 09/25/2035		1,234		1,235
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		11,367		11,374
5.370% due 12/25/2036		1,164		1,165
5.420% due 01/25/2036		1,261		1,262
5.420% due 12/25/2037		1,500		1,501
5.440% due 01/25/2036		2,607		2,609
5.490% due 05/25/2035		682		683
Fremont Home Loan Trust
5.370% due 10/25/2036		1,396		1,397
5.390% due 02/25/2037		8,659		8,664
5.410% due 01/25/2037		1,600		1,599
5.440% due 01/25/2036		951		952
5.520% due 01/25/2036		1,800		1,802
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		2,380		2,382
GSAMP Trust
5.390% due 09/25/2036		3,918		3,921
5.390% due 10/25/2036		2,203		2,204
5.440% due 11/25/2035		1,155		1,156
5.460% due 11/25/2035		404		404
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		1,400		1,402
Home Equity Asset Trust
5.440% due 10/25/2035		1,111		1,112
5.460% due 02/25/2036		1,082		1,083
Home Equity Mortgage Trust
5.440% due 05/25/2036		771		772
5.460% due 02/25/2036		563		564
Honda Auto Receivables Owner Trust
5.342% due 11/15/2007		1,561		1,562
HSI Asset Securitization Corp. Trust
5.370% due 10/25/2036		1,629		1,630
5.400% due 12/25/2036		3,846		3,838
5.430% due 12/25/2035		1,647		1,649
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		1,349		1,349
Indymac Residential Asset-Backed Trust
5.370% due 11/25/2036		3,063		3,065
5.390% due 08/25/2036		1,362		1,363
5.410% due 04/25/2037		1,400		1,397
5.440% due 03/25/2036		3,962		3,965
IXIS Real Estate Capital Trust
5.410% due 08/25/2036		3,488		3,491
JPMorgan Mortgage Acquisition Corp.
5.370% due 07/25/2036		1,651		1,652
5.370% due 08/25/2036		7,228		7,232
5.400% due 08/25/2036		3,348		3,350
5.400% due 10/25/2036		1,643		1,644
5.420% due 03/25/2036		1,967		1,968
5.420% due 11/25/2036		1,554		1,555
5.430% due 08/25/2036		5,200		5,203
5.560% due 06/25/2035		1,483		1,487
Lehman XS Trust
5.420% due 05/25/2046		1,074		1,074
5.430% due 04/25/2046		5,458		5,462
5.430% due 08/25/2046		6,846		6,852
5.430% due 11/25/2046		6,935		6,938
5.440% due 05/25/2046		5,163		5,163
5.470% due 11/25/2036		5,244		5,246
Long Beach Mortgage Loan Trust
5.360% due 07/25/2036		2,068		2,070
5.360% due 11/25/2036		1,464		1,465
5.380% due 06/25/2036		985		986
5.380% due 10/25/2036		2,439		2,441
5.410% due 04/25/2036		2,347		2,349
5.420% due 03/25/2036		4,008		4,011
5.430% due 02/25/2036		2,589		2,591
5.440% due 01/25/2036		1,999		2,000
5.550% due 11/25/2034		258		258
5.630% due 10/25/2034		8,450		8,459
MASTR Asset-Backed Securities Trust
5.380% due 10/25/2036		1,549		1,550
5.400% due 03/25/2036		2,215		2,217
5.410% due 11/25/2036		1,600		1,602
5.430% due 01/25/2036		4,603		4,607
5.500% due 11/25/2035		3,069		3,072
MBNA Credit Card Master Note Trust
5.460% due 08/17/2009		3,750		3,753
5.470% due 08/16/2010		1,800		1,804
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		919		919
5.390% due 07/25/2037		4,489		4,491
5.400% due 05/25/2037		5,069		5,072
5.400% due 09/25/2037		7,040		7,043
5.420% due 08/25/2036		5,300		5,305
5.420% due 02/25/2037		1,730		1,731
5.440% due 10/25/2037		1,646		1,647
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		1,726		1,726
5.370% due 09/25/2036		3,362		3,364
5.370% due 10/25/2036		1,600		1,600
5.390% due 06/25/2036		1,167		1,167
5.410% due 03/25/2036		2,752		2,754
5.430% due 12/25/2035		539		540
Morgan Stanley Capital I
5.420% due 02/25/2036		5,496		5,500
5.470% due 02/25/2036		1,400		1,402
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		1,530		1,531
Nelnet Student Loan Trust
5.338% due 09/25/2012		1,500		1,500
New Century Home Equity Loan Trust
5.420% due 08/25/2036		4,216		4,218
5.460% due 09/25/2035		131		131
5.470% due 10/25/2035		292		292
Newcastle Mortgage Securities Trust
5.420% due 03/25/2036		991		991
Nissan Auto Lease Trust
5.347% due 12/14/2007		1,326		1,327
Nomura Home Equity Loan, Inc.
5.430% due 02/25/2036		586		586
Option One Mortgage Loan Trust
5.400% due 07/25/2036		1,204		1,204
5.450% due 11/25/2035		370		371
Park Place Securities, Inc.
5.510% due 09/25/2035		464		464
Renaissance Home Equity Loan Trust
5.500% due 11/25/2035		66		66
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		1,639		1,640
5.400% due 02/25/2036		2,466		2,468
5.400% due 10/25/2036		4,870		4,873
5.450% due 08/25/2046		1,400		1,401
5.460% due 05/25/2025		243		244
Residential Asset Securities Corp.
5.360% due 06/25/2036		3,087		3,089
5.360% due 08/25/2036		3,976		3,979
5.390% due 11/25/2036		1,731		1,732
5.400% due 10/25/2036		4,036		4,039
5.410% due 04/25/2036		3,405		3,407
5.420% due 02/25/2036		2,010		2,011
5.420% due 07/25/2036		6,114		6,118
5.420% due 11/25/2036		2,973		2,975
5.430% due 01/25/2036		2,339		2,341
5.460% due 10/25/2035		292		292
Residential Funding Mortgage Securities II, Inc.
5.490% due 09/25/2035		691		691
SACO I, Inc.
5.430% due 04/25/2036		491		491
5.460% due 11/25/2020		126		126
5.460% due 12/25/2035		154		154
Saxon Asset Securities Trust
5.380% due 11/25/2036		7,641		7,645
Securitized Asset-Backed Receivables LLC Trust
5.370% due 09/25/2036		1,617		1,618
5.410% due 03/25/2036		1,430		1,430
5.430% due 11/25/2036		1,400		1,401
SG Mortgage Securities Trust
5.450% due 10/25/2035		220		220
SLC Student Loan Trust
5.330% due 12/15/2010		770		770
SLM Student Loan Trust
5.323% due 07/25/2013		1,600		1,600
5.345% due 10/25/2012		5,200		5,199
5.392% due 04/25/2012		3,000		3,000
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		6,870		6,875
5.380% due 11/25/2036		3,500		3,499
5.410% due 12/25/2036		1,500		1,501
5.410% due 01/25/2037		1,500		1,501
5.420% due 05/25/2036		2,084		2,085
5.420% due 10/25/2036		1,652		1,653
5.460% due 11/25/2035		288		289
5.520% due 04/25/2035		371		371
5.580% due 06/25/2035		1,572		1,574
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		1,315		1,316
5.395% due 11/25/2037		1,635		1,634
5.410% due 02/25/2037		949		949
Structured Asset Investment Loan Trust
5.370% due 07/25/2036		1,098		1,099
5.440% due 07/25/2035		271		271
Structured Asset Securities Corp.
4.900% due 04/25/2035		809		782
5.370% due 10/25/2036		6,123		6,128
5.430% due 11/25/2035		1,385		1,386
Triad Auto Receivables Owner Trust
5.341% due 11/13/2007		2,010		2,012
Wachovia Auto Owner Trust
5.358% due 11/09/2007		1,257		1,258
Washington Mutual Asset-Backed Certificates
5.410% due 10/25/2036		1,456		1,457
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		1,500		1,502
Total Asset-Backed Securities (Cost $500,490)				500,750
SOVEREIGN ISSUES 9.7%
Chile Government International Bond
5.625% due 07/23/2007		405		407
5.776% due 01/28/2008		12,100		12,151
Development Bank of Kazakhstan JSC
7.125% due 10/10/2007		1,800		1,829
El Salvador Government International Bond
10.000% due 01/15/2007		3,200		3,214
Guatemala Government Bond
8.500% due 08/03/2007		4,450		4,542
Korea Development Bank
3.875% due 03/02/2009		7,470		7,256
4.250% due 11/13/2007		3,225		3,191
4.750% due 07/20/2009		26,500		26,179
5.496% due 10/31/2008		6,300		6,294
5.774% due 10/20/2009		51,513		51,886
Mexico Government International Bond
4.625% due 10/08/2008		1,500		1,483
6.073% due 01/13/2009		82,800		83,649
Panama Government International Bond
8.250% due 04/22/2008		7,283		7,502
Russia Government International Bond
8.250% due 03/31/2010		22,089		23,147
10.000% due 06/26/2007		76,375		78,185
Ukraine Government International Bond
8.902% due 08/05/2009		16,500		17,546
11.000% due 03/15/2007		10,046		10,168
Venezuela Government International Bond
6.250% due 03/30/2007		238		239
6.250% due 12/18/2007		738		740
9.125% due 06/18/2007		3,000		3,045
Total Sovereign Issues (Cost $342,006)				342,653
FOREIGN CURRENCY-DENOMINATED ISSUES 1.6%
America Movil S.A. de C.V.
8.460% due 12/18/2036	MXN	42,900		3,930
Argentina Bonos
2.000% due 09/30/2014	ARS	2,000		720
Aries Vermoegensverwaltungs GmbH
6.919% due 10/25/2007	EUR	9,500		12,900
Brazilian Government International Bond
6.000% due 05/15/2045	BRL	11,250		7,157
12.500% due 01/05/2022		16,940		9,027
Telefonos de Mexico S.A. de C.V.
8.750% due 01/31/2016	MXN	224,500		21,768
Total Foreign Currency-Denominated Issues (Cost $52,710)				55,502
SHORT-TERM INSTRUMENTS 22.4%
Certificates of Deposit 0.9%
Barclays Bank PLC
5.295% due 01/29/2007	$	3,300		3,300
BNP Paribas
5.292% due 05/28/2008		4,500		4,501
Fortis Bank
5.265% due 04/28/2008		1,800		1,800
Nordea Bank Finland
5.262% due 03/31/2008		1,800		1,800
5.308% due 05/28/2008		4,500		4,502
Skandinaviska Enskilda Banken AB
5.270% due 10/03/2007		1,800		1,800
5.272% due 07/06/2007		3,200		3,200
Societe Generale NY
5.258% due 06/20/2007		1,400		1,400
Unicredito Italiano NY
5.360% due 05/06/2008		4,800		4,800
5.370% due 05/29/2008		4,400		4,401
				31,504
Commercial Paper 20.7%
Abbey National N.A. LLC
5.245% due 01/08/2007		5,100		5,096
ASB Finance Ltd.
5.250% due 01/26/2007		500		498
5.250% due 02/27/2007		93,800		93,048
Bank of America Corp.
5.250% due 01/12/2007		6,100		6,092
Bank of Ireland
5.245% due 01/30/2007		93,700		93,331
Barclays U.S. Funding Corp.
5.250% due 01/30/2007		72,600		72,314
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		4,100		3,997
Danske Corp.
5.255% due 01/18/2007		16,600		16,564
5.260% due 01/04/2007		72,200		72,189
DnB NORBank ASA
5.250% due 01/16/2007		58,700		58,589
General Electric Capital Corp.
5.250% due 01/17/2007		84,800		84,627
Nordea N.A., Inc.
5.240% due 02/02/2007		22,900		22,800
Rabobank USA Financial Corp.
5.280% due 01/02/2007		45,700		45,700
Societe Generale NY
5.245% due 01/08/2007		5,000		4,996
Time Warner, Inc.
5.360% due 04/12/2007		1,700		1,674
UBS Finance Delaware LLC
5.185% due 04/02/2007		55,100		54,347
5.205% due 01/26/2007		12,100		12,060
5.240% due 01/22/2007		35,600		35,502
5.245% due 01/08/2007		5,800		5,796
Viacom, Inc.
5.620% due 05/29/2007		13,400		13,400
Westpac Trust Securities NZ Ltd.
5.245% due 01/18/2007		20,300		20,256
5.245% due 01/25/2007		1,800		1,794
				724,670
Repurchase Agreements 0.3%
Lehman Brothers, Inc.
4.850% due 01/02/2007		12,000		12,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 04/15/2029 valued at $12,295. Repurchase proceeds are $12,006.)
Tri-Party Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 01/02/2007		9,096		9,096
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $9,279. Repurchase proceeds are $9,101.)
Egypt Treasury Bills 0.3%
8.197% due 01/30/2007	EGP	54,000		9,402
Total Short-Term Instruments (Cost $786,665)				786,672
Total Investments (a) 97.1% (Cost $3,395,902)			$	3,403,025
Other Assets and Liabilities (Net) 2.9%				102,501
Net Assets 100.0%			$	3,505,526

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

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

(a) As of December 31, 2006, portfolio securities with an aggregate value of $98,903 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(b) Swap agreements outstanding on December 31, 2006:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Barclays Bank PLC	BRL-CDI-Compounded	Pay	15.060	%	1/2/2009	BRL	13,200	$	253
Barclays Bank PLC	BRL-CDI-Compounded	Pay	15.125	%	1/2/2009		8,400		165
Barclays Bank PLC	BRL-CDI-Compounded	Pay	14.120	%	1/4/2010		17,000		260
Barclays Bank PLC	BRL-CDI-Compounded	Pay	14.190	%	1/4/2010		34,000		542
JPMorgan Chase & Co.	BRL-CDI-Compounded	Pay	15.370	%	1/2/2009		31,000		669
JPMorgan Chase & Co.	BRL-CDI-Compounded	Pay	16.230	%	1/2/2009		25,000		707
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	15.160	%	1/2/2009		7,300		146
Morgan Stanley	BRL-CDI-Compounded	Pay	16.120	%	7/2/2007		12,900		127
Morgan Stanley	BRL-CDI-Compounded	Pay	14.630	%	1/2/2009		50,100		772
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	8/3/2016	MXN	17,100		104
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	10.160	%	6/2/2016		80,000		1,178
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	8/3/2016		17,100		101
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		115,000		657
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		30,000		158
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	9/12/2016		200,000		1,297
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	4/17/2009		80,700		179
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	10.280	%	6/7/2016		57,000		906
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	9.920	%	8/12/2015		7,000		90
								$	8,311

(c) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	82,433	01/2007	$	811	$	0		$	811
Sell		4,300	01/2007		0		(11	)		(11	)
Buy		237,783	05/2007		1,688		0			1,688
Sell		11,080	05/2007		0		(82	)		(82	)
Buy		8,011	06/2007		73		0			73
Sell		4,300	06/2007		0		(21	)		(21	)
Buy	CLP	27,346,332	01/2007		0		(2,003	)		(2,003	)
Buy		23,625,530	02/2007		287		(201	)		86
Buy		16,756,280	05/2007		0		(376	)		(376	)
Buy		11,800,712	06/2007		0		(227	)		(227	)
Buy	CNY	134,169	02/2007		142		0			142
Sell		155,408	02/2007		4		(33	)		(29	)
Buy		146,653	03/2007		109		0			109
Buy		77,887	05/2007		169		0			169
Buy		683,513	07/2007		1,709		0			1,709
Sell		70,849	07/2007		0		(138	)		(138	)
Buy		100,337	09/2007		294		0			294
Sell		22,893	09/2007		0		(48	)		(48	)
Buy		762	11/2007		2		0			2
Sell		37,640	11/2007		0		(41	)		(41	)
Buy		12,803	12/2007		1		0			1
Buy	COP	33,409,000	01/2007		1,074		0			1,074
Sell		4,580,000	01/2007		0		(43	)		(43	)
Buy		37,687,980	04/2007		888		0			888
Buy		60,940,000	06/2007		601		0			601
Buy	CZK	3,956,324	04/2007		14,695		0			14,695
Sell		104,880	04/2007		0		(80	)		(80	)
Buy		2,793,011	05/2007		636		0			636
Buy	EUR	23,256	01/2007		224		0			224
Sell		190	01/2007		0		0			0
Buy	GBP	140	01/2007		2		0			2
Buy	HKD	1,023,284	01/2007		0		(171	)		(171	)
Sell		1,023,284	01/2007		106		0			106
Buy		790,352	02/2007		0		(61	)		(61	)
Buy	IDR	285,025,325	01/2007		1,611		0			1,611
Sell		285,025,000	01/2007		0		(448	)		(448	)
Buy		293,711,800	02/2007		1,012		0			1,012
Buy		268,050,000	04/2007		1,131		0			1,131
Buy		257,530,000	07/2007		207		0			207
Buy	ILS	273,162	03/2007		0		(367	)		(367	)
Buy		113,575	04/2007		385		0			385
Buy	INR	1,067,161	02/2007		832		0			832
Sell		134,700	02/2007		0		(19	)		(19	)
Buy		1,641,827	04/2007		1,219		0			1,219
Buy		1,339,010	05/2007		463		0			463
Buy	JPY	3,119,640	01/2007		0		(101	)		(101	)
Sell		1,838,179	01/2007		65		0			65
Buy		4,635,028	02/2007		0		(528	)		(528	)
Buy	KRW	48,384,530	01/2007		686		0			686
Sell		48,384,530	01/2007		247		(20	)		227
Buy		108,914,039	02/2007		2,219		(17	)		2,202
Buy		20,655,973	03/2007		460		(1	)		459
Sell		4,767,500	03/2007		0		(135	)		(135	)
Buy		31,901,705	04/2007		112		(88	)		24
Buy	KZT	1,180,855	01/2007		58		0			58
Buy		37,890	05/2007		0		(1	)		(1	)
Buy	MXN	1,283,032	01/2007		2,835		0			2,835
Sell		238,441	01/2007		0		(55	)		(55	)
Buy		1,591,016	04/2007		2,648		(10	)		2,638
Buy		1,292,188	05/2007		76		0			76
Sell		32,889	05/2007		0		(27	)		(27	)
Buy	MYR	151,319	01/2007		1,157		0			1,157
Sell		151,319	01/2007		0		(232	)		(232	)
Buy		142,180	03/2007		1,125		0			1,125
Buy		151,319	07/2007		132		0			132
Buy	PLN	386,362	04/2007		4,836		(5	)		4,831
Sell		8,969	04/2007		0		(101	)		(101	)
Buy		305,443	05/2007		5,175		0			5,175
Buy		465,602	06/2007		0		(2,055	)		(2,055	)
Buy	RUB	1,503,563	01/2007		534		0			534
Buy		804,895	02/2007		1,574		0			1,574
Sell		48,788	03/2007		0		(19	)		(19	)
Buy		935,693	05/2007		398		0			398
Buy		1,301,516	08/2007		577		0			577
Sell		111,725	09/2007		19		0			19
Buy		235,665	12/2007		0		(31	)		(31	)
Buy	SGD	229,994	01/2007		3,907		0			3,907
Sell		185,974	01/2007		0		(614	)		(614	)
Buy		324,867	02/2007		3,289		0			3,289
Buy		5,148	03/2007		61		0			61
Sell		108	03/2007		0		0			0
Buy		197,098	04/2007		894		0			894
Buy	SKK	2,005,030	04/2007		8,448		0			8,448
Sell		53,320	04/2007		0		(49	)		(49	)
Buy		1,199,956	05/2007		4,104		0			4,104
Buy	THB	1,188,638	02/2007		1,206		0			1,206
Buy		636,538	03/2007		306		0			306
Buy	TRY	83,423	01/2007		5,702		0			5,702
Buy		11,740	04/2007		462		0			462
Buy		103,749	05/2007		2,900		0			2,900
Sell		10,777	05/2007		0		(239	)		(239	)
Buy		89,818	07/2007		2,769		0			2,769
Buy	TWD	1,253,335	01/2007		270		0			270
Sell		1,253,335	01/2007		26		(14	)		12
Buy		1,751,670	02/2007		707		(107	)		600
Sell		161,800	02/2007		13		0			13
Buy		829,830	03/2007		0		(36	)		(36	)
Buy	ZAR	775,192	05/2007		7,584		0			7,584
Buy		569,508	06/2007		414		0			414
				$	98,370	$	(8,855	)	$	89,515

See accompanying notes

Schedule of Investments

Diversified Income Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 2.5%
Allied Waste North America, Inc.
5.322% due 01/15/2012	$	1,107		$	1,111
7.120% due 01/15/2012		475			476
7.130% due 01/15/2012		452			453
7.170% due 01/15/2012		1,299			1,303
7.270% due 01/15/2012		565			566
Amadeus Global Travel Distribution S.A.
8.117% due 04/08/2013		2,500			2,522
8.617% due 04/08/2014		2,500			2,531
Appleton Papers, Inc.
7.640% due 06/11/2010		121			121
7.650% due 06/11/2010		121			121
Charter Communications Operating LLC
8.005% due 04/25/2013		3,500			3,527
CSC Holdings, Inc.
7.072% due 03/29/2013		110			110
7.080% due 02/24/2013		5			5
7.120% due 03/29/2013		573			574
7.122% due 03/29/2013		458			459
7.126% due 02/24/2013		849			850
Ford Motor Co.
8.360% due 11/29/2013		1,000			1,001
General Motors Acceptance Corp.
7.745% due 11/27/2013		1,000			1,002
Georgia-Pacific Corp.
7.300% due 12/20/2012		6,095			6,131
7.350% due 12/20/2012		381			383
7.367% due 12/20/2012		1,464			1,472
HCA, Inc.
8.114% due 11/14/2013		2,500			2,531
Hertz Corp.
5.390% due 12/21/2012		222			224
7.350% due 12/21/2012		4			4
7.380% due 12/21/2012		76			76
7.580% due 12/21/2012		506			510
7.600% due 12/20/2012		489			493
7.700% due 12/21/2012		185			186
7.730% due 12/21/2012		506			510
Ineos Group Holdings PLC
7.339% due 10/07/2013		1,500			1,518
7.339% due 10/07/2014		1,500			1,524
Kingdom of Morocco
5.688% due 01/05/2009		37			37
Lukoil Finance Ltd.
6.050% due 01/11/2009		5,000			4,974
Metro-Goldwyn-Mayer, Inc.
7.749% due 04/08/2011		3,951			3,915
7.749% due 04/08/2012		1,995			1,979
Reynolds American, Inc.
7.104% due 05/31/2012		1,371			1,382
7.188% due 05/31/2012		1,048			1,057
7.250% due 05/31/2012		74			75
Shackleton Re Ltd.
12.968% due 08/01/2008		1,500			1,500
13.468% due 08/01/2008		500			508
Total Bank Loan Obligations (Cost $47,576)					47,721
CORPORATE BONDS & NOTES 49.0%
Banking & Finance 12.9%
ABX Financing Co.
6.350% due 10/15/2036		2,100			2,097
AES El Salvador Trust
6.750% due 02/01/2016		11,800			11,797
AES Ironwood LLC
8.857% due 11/30/2025		1,628			1,836
AES Red Oak LLC
8.540% due 11/30/2019		2,692			2,941
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		220			253
American Honda Finance Corp.
4.500% due 05/26/2009		500			492
American International Group, Inc.
2.875% due 05/15/2008		1,000			968
5.365% due 06/23/2008		1,000			1,001
Asahi Finance Cayman Ltd.
5.700% due 12/31/2049		1,000			1,006
Atlantic & Western Re Ltd.
11.372% due 01/09/2007		5,500			5,503
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014		1,980			1,993
Banco Santander Chile
5.703% due 12/09/2009		5,000			5,023
Bank of America Corp.
3.875% due 01/15/2008		920			906
BankAmerica Instit-A
8.070% due 12/31/2026		500			521
Banque Centrale de Tunisie
7.375% due 04/25/2012		3,375			3,672
7.500% due 09/19/2007		2,500			2,542
8.250% due 09/19/2027		570			705
BCP Crystal U.S. Holdings Corp.
9.625% due 06/15/2014		2,600			2,886
Bear Stearns Cos., Inc.
4.500% due 10/28/2010		1,000			976
Berkshire Hathaway Finance Corp.
4.625% due 10/15/2013		500			481
Bluewater Finance Ltd.
10.250% due 02/15/2012		2,050			2,158
C5 Capital SPV Ltd.
6.196% due 12/01/2049		200			200
C10 Capital SPV Ltd.
6.722% due 12/01/2049		2,000			2,002
Calabash Re II Ltd.
16.246% due 01/08/2010 (a)		1,000			1,001
Caterpillar Financial Services Corp.
4.500% due 06/15/2009		1,000			984
Citicorp
6.375% due 11/15/2008		400			408
Citigroup Capital II
7.750% due 12/01/2036		100			103
Citigroup, Inc.
6.000% due 02/21/2012		650			671
Columbia University
6.875% due 12/15/2015		500			541
Commonwealth Bank of Australia
6.024% due 03/29/2049		3,400			3,446
Desarrolladora Homex S.A. de C.V.
7.500% due 09/28/2015		7,032			7,208
Export-Import Bank of China
4.875% due 07/21/2015		2,050			1,983
5.250% due 07/29/2014		6,625			6,606
Ferrellgas Escrow LLC
6.750% due 05/01/2014		2,000			1,955
First Empire Capital Trust II
8.277% due 06/01/2027		500			525
Ford Motor Credit Co.
7.250% due 10/25/2011		1,400			1,372
8.000% due 12/15/2016		12,100			11,977
Forest City Enterprises, Inc.
6.500% due 02/01/2017		1,000			985
7.625% due 06/01/2015		375			384
Foundation Re II Ltd.
12.123% due 11/26/2010		1,800			1,800
Frank Russell Co.
5.625% due 01/15/2009		500			504
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		1,400			1,441
General Electric Capital Corp.
5.450% due 01/15/2013		5,000			5,054
5.875% due 02/15/2012		500			515
General Motors Acceptance Corp.
6.274% due 01/16/2007		300			300
6.750% due 12/01/2014		600			617
7.000% due 02/01/2012		100			103
7.250% due 03/02/2011		5,250			5,465
8.000% due 11/01/2031		5,800			6,678
General RE Corp.
9.000% due 09/12/2009		500			545
Goldman Sachs Group, Inc.
4.750% due 07/15/2013		1,225			1,184
5.250% due 10/15/2013		2,400			2,386
5.700% due 09/01/2012		165			168
5.704% due 07/23/2009		2,150			2,165
6.125% due 02/15/2033		45			46
7.350% due 10/01/2009		500			528
GPB Eurobond Finance PLC for Gazprombank
6.500% due 09/23/2015		1,500			1,505
HBOS PLC
5.920% due 09/29/2049		5,000			4,913
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		2,900			3,067
HSBC Bank USA N.A.
4.625% due 04/01/2014		400			382
HSBC Capital Funding LP
4.610% due 12/29/2049		4,700			4,389
HSBC Finance Corp.
4.125% due 12/15/2008		500			490
4.750% due 07/15/2013		120			117
6.400% due 06/17/2008		950			965
HSBC Holdings PLC
6.500% due 05/02/2036		5,800			6,261
Idearc, Inc.
8.000% due 11/15/2016		2,800			2,856
Industrial Bank of Korea
4.000% due 05/19/2014		30			29
Intergas Finance BV
6.875% due 11/04/2011		1,800			1,865
International Lease Finance Corp.
5.774% due 01/15/2010		3,000			3,027
J. Paul Getty Trust
5.875% due 10/01/2033		1,000			1,000
JPMorgan Chase & Co.
5.416% due 06/26/2009		500			501
Kazkommerts International BV
8.500% due 04/16/2013		350			375
KRATON Polymers LLC
8.125% due 01/15/2014		2,000			2,010
Lehman Brothers Holdings, Inc.
5.464% due 10/22/2008		2,000			2,003
M&I Capital Trust A
7.650% due 12/01/2026		500			518
Majapahit Holding BV
7.250% due 10/17/2011		8,200			8,456
7.750% due 10/17/2016		600			638
MBNA Capital B
6.171% due 02/01/2027		3,000			2,997
MetLife, Inc.
5.375% due 12/15/2012		45			45
Mizuho JGB Investment LLC
9.870% due 12/29/2049		600			636
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		3,450			3,586
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		2,400			2,440
Mystic Re Ltd.
11.670% due 12/05/2008		1,100			1,100
14.370% due 12/05/2008		850			849
National Rural Utilities Cooperative Finance Corp.
4.750% due 03/01/2014		750			725
7.250% due 03/01/2012		2,315			2,518
Nationwide Mutual Insurance Co.
8.250% due 12/01/2031		500			615
Pemex Finance Ltd.
8.020% due 05/15/2007		139			139
9.690% due 08/15/2009		798			863
Petroleum Export Ltd.
5.265% due 06/15/2011		8,174			7,992
Petroleum Export Ltd. II
6.340% due 06/20/2011		4,084			4,012
Rabobank Capital Funding II
5.260% due 12/29/2049		860			842
Residential Capital Corp.
6.375% due 06/30/2010		750			759
Rotech Healthcare, Inc.
9.500% due 04/01/2012		1,775			1,748
Royal Bank of Scotland Group PLC
5.770% due 07/06/2012		1,500			1,501
9.118% due 03/31/2049		500			554
RSHB Capital AG S.A. for OJSC Russian Agricultural Bank
6.875% due 11/29/2010		1,000			1,028
7.175% due 05/16/2013		2,350			2,482
Sally Holdings LLC
9.250% due 11/15/2014		1,000			1,024
Shackleton Re Ltd.
13.376% due 02/07/2008		500			504
Socgen Real Estate Co. LLC
7.640% due 12/29/2049		500			508
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		2,100			2,056
Swiss Bank Corp. NY
7.000% due 10/15/2015		500			555
Tenneco, Inc.
8.625% due 11/15/2014		2,650			2,716
10.250% due 07/15/2013		2,700			2,970
TNB Capital Ltd.
5.250% due 05/05/2015		570			563
TNK-BP Finance S.A.
7.500% due 07/18/2016		6,850			7,328
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,500			1,526
UFJ Finance Aruba AEC
6.750% due 07/15/2013		250			267
Universal City Development Partners
11.750% due 04/01/2010		500			538
Universal City Florida Holding Co. I
8.375% due 05/01/2010		500			515
Ventas Realty LP
6.500% due 06/01/2016		400			412
6.750% due 04/01/2017		1,785			1,852
8.750% due 05/01/2009		750			801
9.000% due 05/01/2012		800			908
Vita Capital III Ltd.
6.466% due 01/01/2011		3,150			3,149
VTB Capital S.A. for Vneshtorgbank
6.115% due 09/21/2007		10,100			10,130
8.276% due 07/30/2007		1,400			1,424
Wachovia Corp.
5.250% due 08/01/2014		500			495
Wells Fargo Capital X
5.950% due 12/15/2036		700			688
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		1,000			1,142
					246,476
Industrials 26.8%
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		2,900			2,770
Albertson’s, Inc.
7.750% due 06/15/2026		2,150			2,155
Allied Waste North America, Inc.
7.250% due 03/15/2015		3,500			3,522
8.500% due 12/01/2008		995			1,051
American Greetings Corp.
7.375% due 06/01/2016		3,500			3,614
AmeriGas Partners LP
7.125% due 05/20/2016		3,200			3,216
7.250% due 05/20/2015		500			509
Anheuser-Busch Cos., Inc.
6.000% due 04/15/2011		500			513
Argo-Tech Corp.
9.250% due 06/01/2011		10			11
Armor Holdings, Inc.
8.250% due 08/15/2013		325			340
ArvinMeritor, Inc.
8.750% due 03/01/2012		2,500			2,581
AstraZeneca PLC
5.400% due 06/01/2014		500			503
Atlantic Richfield Co.
8.530% due 02/27/2012		500			572
Barrick Gold Finance Co.
4.875% due 11/15/2014		1,000			949
BHP Billiton Finance USA Ltd.
5.250% due 12/15/2015		7,300			7,197
6.750% due 11/01/2013		1,500			1,612
Boise Cascade LLC
8.249% due 10/15/2012		500			504
Bombardier, Inc.
8.000% due 11/15/2014		2,300			2,369
Bon-Ton Stores, Inc.
10.250% due 03/15/2014		1,725			1,772
Bowater Canada Finance
7.950% due 11/15/2011		1,500			1,478
Boyd Gaming Corp.
7.125% due 02/01/2016		1,000			1,000
Brinker International, Inc.
5.750% due 06/01/2014		500			487
Buhrmann U.S., Inc.
7.875% due 03/01/2015		700			686
8.250% due 07/01/2014		1,850			1,845
Caesars Entertainment, Inc.
7.000% due 04/15/2013		500			512
7.500% due 09/01/2009		5,000			5,191
8.875% due 09/15/2008		335			350
CanWest Media, Inc.
8.000% due 09/15/2012		1,803			1,891
CBS Corp.
5.625% due 08/15/2012		3,500			3,457
CCO Holdings LLC
8.750% due 11/15/2013		1,750			1,827
CDRV Investors, Inc.
9.860% due 12/01/2011		725			711
CenterPoint Energy Resources Corp.
7.750% due 02/15/2011		1,500			1,618
Chart Industries, Inc.
9.125% due 10/15/2015		700			742
Charter Communications Holdings II LLC
10.250% due 09/15/2010		1,000			1,051
Charter Communications Operating LLC
8.375% due 04/30/2014		2,100			2,202
Chesapeake Energy Corp.
6.625% due 01/15/2016		2,250			2,247
6.875% due 01/15/2016		2,760			2,798
Citizens Communications Co.
7.875% due 01/15/2027		1,750			1,776
Coca-Cola Enterprises, Inc.
4.250% due 09/15/2010		500			484
CODELCO, Inc.
5.625% due 09/21/2035		2,000			1,912
6.150% due 10/24/2036		2,100			2,160
Colorado Interstate Gas Co.
6.800% due 11/15/2015		2,300			2,403
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		315			359
Comcast Cable Communications, Inc.
6.200% due 11/15/2008		100			102
6.875% due 06/15/2009		1,095			1,133
7.125% due 06/15/2013		2,130			2,298
Comcast Corp.
5.300% due 01/15/2014		2,000			1,962
5.500% due 03/15/2011		500			503
5.900% due 03/15/2016		2,900			2,913
6.500% due 01/15/2015		100			104
7.050% due 03/15/2033		200			215
Communications & Power Industries, Inc.
8.000% due 02/01/2012		500			510
Complete Production Services, Inc.
8.000% due 12/15/2016		600			618
ConocoPhillips Canada Funding Co.
5.300% due 04/15/2012		2,800			2,801
Cox Communications, Inc.
7.125% due 10/01/2012		725			774
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		425			440
7.750% due 11/15/2015		525			547
CSC Holdings, Inc.
7.625% due 04/01/2011		2,300			2,355
7.875% due 02/15/2018		275			276
8.125% due 08/15/2009		25			26
DaimlerChrysler N.A. Holding Corp.
5.600% due 03/07/2007		5,100			5,101
5.833% due 09/10/2007		1,632			1,636
DaVita, Inc.
7.250% due 03/15/2015		3,400			3,485
Delhaize America, Inc.
8.050% due 04/15/2027		600			652
9.000% due 04/15/2031		3,400			4,054
Dex Media West LLC
9.875% due 08/15/2013		5,555			6,083
DirecTV Holdings LLC
6.375% due 06/15/2015		650			626
8.375% due 03/15/2013		2,600			2,717
Dow Chemical Co.
5.750% due 12/15/2008		105			106
6.000% due 10/01/2012		250			257
DRS Technologies, Inc.
7.625% due 02/01/2018		3,500			3,623
EchoStar DBS Corp.
7.125% due 02/01/2016		3,000			3,015
Education Management LLC
10.250% due 06/01/2016		1,600			1,700
El Paso Corp.
6.950% due 06/01/2028		500			500
7.750% due 06/15/2010		300			319
7.875% due 06/15/2012		620			668
8.050% due 10/15/2030		2,550			2,843
El Paso Natural Gas Co.
7.625% due 08/01/2010		200			210
El Paso Production Holding Co.
7.750% due 06/01/2013		10,425			10,959
Embraer Overseas Ltd.
6.375% due 01/24/2017		1,400			1,404
Enterprise Products Operating LP
4.000% due 10/15/2007		700			692
4.625% due 10/15/2009		1,100			1,078
4.950% due 06/01/2010		600			590
Ferrellgas Partners LP
8.750% due 06/15/2012		3,320			3,420
Fisher Communications, Inc.
8.625% due 09/15/2014		500			532
Ford Motor Co.
7.450% due 07/16/2031		14,325			11,317
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		500			501
10.125% due 12/15/2016		2,500			2,516
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		1,260			1,326
Fund American Cos., Inc.
5.875% due 05/15/2013		1,000			995
Gaz Capital for Gazprom
6.212% due 11/22/2016		6,000			6,057
8.625% due 04/28/2034		9,250			11,909
Gazprom International S.A.
7.201% due 02/01/2020		5,350			5,655
Gazstream S.A. for OAO Gazprom
5.625% due 07/22/2013		2,757			2,741
General Motors Corp.
8.250% due 07/15/2023		5,325			4,979
Georgia-Pacific Corp.
7.125% due 01/15/2017		1,150			1,153
8.000% due 01/15/2024		5,720			5,834
8.125% due 05/15/2011		800			844
Greif, Inc.
8.875% due 08/01/2012		495			522
Grupo Transportacion Ferroviaria Mexicana S.A. de C.V.
9.375% due 05/01/2012		600			644
Hanover Compressor Co.
8.625% due 12/15/2010		500			525
Hanover Equipment Trust
8.500% due 09/01/2008		443			451
8.750% due 09/01/2011		2,000			2,095
HCA, Inc.
6.750% due 07/15/2013		4,450			4,005
7.190% due 11/15/2015		1,700			1,467
9.625% due 11/15/2016		4,000			4,310
Hertz Corp.
8.875% due 01/01/2014		1,300			1,368
Hess Corp.
6.650% due 08/15/2011		810			844
7.300% due 08/15/2031		425			476
Hewlett-Packard Co.
6.500% due 07/01/2012		500			531
HJ Heinz Co.
6.428% due 12/01/2008		5,100			5,193
Horizon Lines LLC
9.000% due 11/01/2012		1,182			1,247
Hospira, Inc.
4.950% due 06/15/2009		500			490
Host Marriott LP
7.000% due 08/15/2012		2,250			2,295
Hyundai Motor Manufacturing Alabama LLC
5.300% due 12/19/2008		3,000			2,981
Ineos Group Holdings PLC
8.500% due 02/15/2016		1,800			1,728
Ingles Markets, Inc.
8.875% due 12/01/2011		2,525			2,645
Intelsat Bermuda Ltd.
9.250% due 06/15/2016		5,400			5,832
Intelsat Subsidiary Holding Co. Ltd.
8.250% due 01/15/2013		1,000			1,020
Invensys PLC
9.875% due 03/15/2011		96			103
Jefferson Smurfit Corp. U.S.
8.250% due 10/01/2012		279			273
L-3 Communications Corp.
6.375% due 10/15/2015		1,500			1,492
Lyondell Chemical Co.
8.000% due 09/15/2014		2,500			2,606
Mandalay Resort Group
9.375% due 02/15/2010		1,534			1,649
9.500% due 08/01/2008		750			791
10.250% due 08/01/2007		100			103
Marathon Oil Corp.
6.000% due 07/01/2012		500			514
MGM Mirage
8.375% due 02/01/2011		3,500			3,649
9.750% due 06/01/2007		230			234
Miller Brewing Co.
5.500% due 08/15/2013		1,000			990
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		31,580			37,789
Nalco Co.
7.750% due 11/15/2011		2,825			2,903
8.875% due 11/15/2013		400			426
Norfolk Southern Corp.
5.640% due 05/17/2029		164			159
7.800% due 05/15/2027		6			7
Nortel Networks Ltd.
10.125% due 07/15/2013		900			976
10.750% due 07/15/2016		300			330
Northwest Airlines, Inc.
7.691% due 04/01/2017		997			993
Novelis, Inc.
8.250% due 02/15/2015		2,800			2,723
OPTI Canada, Inc.
8.250% due 12/15/2014		1,400			1,446
Oracle Corp.
5.000% due 01/15/2011		10,000			9,908
5.603% due 01/13/2009		8,000			8,016
Owens Brockway Glass Container, Inc.
6.750% due 12/01/2014		2,000			1,950
8.750% due 11/15/2012		750			799
8.875% due 02/15/2009		659			677
Peabody Energy Corp.
7.375% due 11/01/2016		1,300			1,391
Pemex Project Funding Master Trust
5.750% due 12/15/2015		10,110			10,052
5.970% due 12/03/2012		7,100			7,130
6.660% due 06/15/2010		700			718
7.174% due 10/15/2009		3,500			3,626
7.375% due 12/15/2014		13,006			14,352
8.000% due 11/15/2011		1,800			1,984
8.625% due 02/01/2022		517			640
9.125% due 10/13/2010		500			562
9.250% due 03/30/2018		4,068			5,140
9.375% due 12/02/2008		203			218
Petrobras International Finance Co.
7.750% due 09/15/2014		500			559
Petronas Capital Ltd.
7.000% due 05/22/2012		250			270
Pioneer Natural Resources Co.
6.875% due 05/01/2018		2,000			1,944
Premark International, Inc.
6.875% due 11/15/2008		500			514
Quiksilver, Inc.
6.875% due 04/15/2015		2,810			2,775
Qwest Communications International, Inc.
7.250% due 02/15/2011		4,975			5,112
7.500% due 02/15/2014		13,375			13,843
Reynolds American, Inc.
7.625% due 06/01/2016		4,300			4,577
RH Donnelley Corp.
8.875% due 01/15/2016		2,850			3,007
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		1,000			1,012
Royal Caribbean Cruises Ltd.
7.250% due 03/15/2018		1,300			1,320
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		500			566
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		5,000			5,501
Sanmina-SCI Corp.
8.125% due 03/01/2016		3,125			3,039
SEACOR Holdings, Inc.
5.875% due 10/01/2012		500			482
SemGroup LP
8.750% due 11/15/2015		4,350			4,394
Seneca Gaming Corp.
7.250% due 05/01/2012		1,500			1,534
Service Corp. International
7.625% due 10/01/2018		400			426
Sheraton Holding Corp.
7.375% due 11/15/2015		3,410			3,497
Sino-Forest Corp.
9.125% due 08/17/2011		1,000			1,086
Smurfit Capital Funding PLC
7.500% due 11/20/2025		1,500			1,440
Smurfit Kappa Funding PLC
9.625% due 10/01/2012		2,260			2,407
Smurfit-Stone Container Enterprises, Inc.
8.375% due 07/01/2012		5,150			5,073
9.750% due 02/01/2011		301			312
Southern Natural Gas Co.
6.700% due 10/01/2007		1,000			1,012
Starwood Hotels & Resorts Worldwide, Inc.
7.875% due 05/01/2012		500			529
Station Casinos, Inc.
6.500% due 02/01/2014		700			626
6.875% due 03/01/2016		3,000			2,708
7.750% due 08/15/2016		1,500			1,519
Sungard Data Systems, Inc.
9.125% due 08/15/2013		3,400			3,587
Superior Essex Communications LLC
9.000% due 04/15/2012		1,000			1,045
SUPERVALU, Inc.
7.375% due 02/01/2013		625			577
7.500% due 11/15/2014		2,000			2,095
Target Corp.
4.875% due 05/15/2018		250			237
Tenet Healthcare Corp.
6.375% due 12/01/2011		300			276
9.875% due 07/01/2014		750			767
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		3,400			3,420
Time Warner, Inc.
6.750% due 04/15/2011		4,000			4,191
6.875% due 05/01/2012		2,625			2,777
7.700% due 05/01/2032		200			226
Triad Hospitals, Inc.
7.000% due 11/15/2013		3,350			3,388
Trinity Industries, Inc.
6.500% due 03/15/2014		800			790
TRW Automotive, Inc.
9.375% due 02/15/2013		4,341			4,677
Tyco International Group S.A.
6.375% due 10/15/2011		445			466
6.750% due 02/15/2011		500			528
UGS Corp.
10.000% due 06/01/2012		950			1,040
United Airlines, Inc.
6.201% due 03/01/2010		659			664
Vale Overseas Ltd.
6.250% due 01/11/2016		3,200			3,247
6.250% due 01/23/2017		1,300			1,312
6.875% due 11/21/2036		2,000			2,061
Verso Paper Holdings LLC
9.125% due 08/01/2014		1,700			1,781
Viacom, Inc.
5.750% due 04/30/2011		5,300			5,308
VWR International, Inc.
8.000% due 04/15/2014		1,500			1,552
Wal-Mart Stores, Inc.
4.125% due 02/15/2011		1,000			963
8.800% due 12/30/2014		500			602
Walt Disney Co.
6.200% due 06/20/2014		500			524
6.375% due 03/01/2012		640			671
Waste Management, Inc.
7.375% due 08/01/2010		900			958
7.650% due 03/15/2011		270			291
Williams Cos., Inc.
6.375% due 10/01/2010		1,500			1,517
7.500% due 01/15/2031		3,500			3,649
7.625% due 07/15/2019		1,500			1,612
7.750% due 06/15/2031		115			121
7.875% due 09/01/2021		5,000			5,388
Williams Partners LP
7.250% due 02/01/2017		600			615
Windstream Corp.
8.625% due 08/01/2016		1,150			1,265
Wyeth
6.450% due 02/01/2024		300			322
Wynn Las Vegas LLC
6.625% due 12/01/2014		4,530			4,524
					512,727
Utilities 9.3%
AES Corp.
8.750% due 05/15/2013		6,040			6,501
America Movil S.A. de C.V.
5.500% due 03/01/2014		3,380			3,312
5.750% due 01/15/2015		15,400			15,275
American Cellular Corp.
10.000% due 08/01/2011		1,425			1,514
AT&T Corp.
6.000% due 03/15/2009		260			264
7.300% due 11/15/2011		947			1,026
Beaver Valley II Funding
9.000% due 06/01/2017		325			366
Boston Edison Co.
7.800% due 05/15/2010		500			538
British Telecommunications PLC
8.625% due 12/15/2010		2,240			2,502
Carolina Power & Light Co.
5.125% due 09/15/2013		750			738
Cincinnati Bell, Inc.
8.375% due 01/15/2014		4,200			4,336
Citizens Communications Co.
7.000% due 11/01/2025		400			364
9.000% due 08/15/2031		2,770			3,019
CMS Energy Corp.
6.875% due 12/15/2015		1,450			1,504
Constellation Energy Group, Inc.
7.000% due 04/01/2012		655			703
Consumers Energy Co.
5.000% due 02/15/2012		1,500			1,465
Dayton Power & Light Co.
5.125% due 10/01/2013		1,480			1,457
Dominion Resources, Inc.
5.687% due 05/15/2008		2,600			2,605
5.700% due 09/17/2012		260			263
Duke Energy Corp.
5.300% due 10/01/2015		1,500			1,488
5.625% due 11/30/2012		225			229
Dynegy Holdings, Inc.
8.375% due 05/01/2016		1,570			1,656
Entergy Arkansas, Inc.
4.500% due 06/01/2010		4,500			4,372
Entergy Gulf States, Inc.
5.700% due 06/01/2015		100			98
5.769% due 12/01/2009		2,600			2,596
6.100% due 12/08/2008		3,500			3,509
Florida Power Corp.
5.774% due 11/14/2008		5,000			5,012
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		2,450			2,468
Homer City Funding LLC
8.734% due 10/01/2026		1,466			1,694
Insight Midwest LP
9.750% due 10/01/2009		260			265
IPALCO Enterprises, Inc.
8.375% due 11/14/2008		3,200			3,336
8.625% due 11/14/2011		4,125			4,507
KT Corp.
4.875% due 07/15/2015		3,000			2,868
MidAmerican Energy Holdings Co.
5.875% due 10/01/2012		300			306
Midwest Generation LLC
8.560% due 01/02/2016		355			391
8.750% due 05/01/2034		3,750			4,088
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		1,000			1,050
MSW Energy Holdings LLC
8.500% due 09/01/2010		900			941
Nevada Power Co.
5.875% due 01/15/2015		450			450
6.500% due 05/15/2018		8,025			8,359
New Cingular Wireless Services, Inc.
8.125% due 05/01/2012		2,175			2,450
Nextel Communications, Inc.
6.875% due 10/31/2013		3,000			3,034
7.375% due 08/01/2015		6,625			6,800
NiSource Finance Corp.
5.940% due 11/23/2009		7,000			7,008
Northwest Pipeline Corp.
7.000% due 06/15/2016		5,000			5,250
NRG Energy, Inc.
7.250% due 02/01/2014		1,700			1,717
7.375% due 02/01/2016		5,500			5,541
Ohio Edison Co.
5.647% due 06/15/2009		1,500			1,503
Pedernales Electric Cooperative
5.952% due 11/15/2022		500			510
Progress Energy, Inc.
7.000% due 10/30/2031		170			190
7.100% due 03/01/2011		4,796			5,112
PSEG Energy Holdings LLC
8.500% due 06/15/2011		1,200			1,296
PSEG Power LLC
3.750% due 04/01/2009		3,000			2,899
5.500% due 12/01/2015		900			882
6.950% due 06/01/2012		270			286
7.750% due 04/15/2011		1,000			1,082
Qwest Corp.
7.500% due 10/01/2014		5,000			5,325
8.875% due 03/15/2012		1,790			2,003
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		1,140			1,111
Reliant Energy, Inc.
6.750% due 12/15/2014		2,725			2,677
9.500% due 07/15/2013		50			54
Rogers Wireless, Inc.
6.375% due 03/01/2014		500			509
Rural Cellular Corp.
9.875% due 02/01/2010		1,800			1,924
Sierra Pacific Power Co.
6.000% due 05/15/2016		1,700			1,712
South Point Energy Center LLC
8.400% due 05/30/2012		1,060			1,024
Suncom Wireless, Inc.
8.500% due 06/01/2013		2,050			1,973
TECO Energy, Inc.
6.750% due 05/01/2015		6,750			7,088
7.500% due 06/15/2010		1,300			1,391
Telefonos de Mexico S.A. de C.V.
5.500% due 01/27/2015		1,850			1,810
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		1,700			1,787
Verizon Global Funding Corp.
4.375% due 06/01/2013		500			472
5.504% due 08/15/2007		1,900			1,900
Verizon New England, Inc.
6.500% due 09/15/2011		625			643
Verizon New York, Inc.
6.875% due 04/01/2012		25			26
Verizon Pennsylvania, Inc.
5.650% due 11/15/2011		500			502
Virginia Electric & Power Co.
4.750% due 03/01/2013		245			236
					177,162
Total Corporate Bonds & Notes (Cost $927,940)					936,365
MUNICIPAL BONDS & NOTES 0.1%
Connecticut State Housing Finance Authority Revenue Bonds, Series 1997
6.880% due 11/15/2011		500			510
Kentucky State Property & Buildings Commission Revenue Bonds, (MBIA Insured), Series 2003
5.020% due 10/01/2014		500			491
New York State Urban Development Corporations Revenue Notes, Series 2003
4.970% due 12/15/2012		500			491
San Antonio, Texas Electricity & Gas Revenue Bonds, Series 2000
7.410% due 02/01/2021		500			572
Total Municipal Bonds & Notes (Cost $2,117)					2,064
U.S. GOVERNMENT AGENCIES 9.9%
Fannie Mae
4.263% due 02/01/2035		798			794
5.000% due 12/01/2013 - 03/01/2021		8,268			8,139
5.500% due 12/01/2032 - 06/01/2036		86,066			85,140
5.958% due 03/01/2044		357			360
6.000% due 01/01/2037		80,500			81,053
6.278% due 03/01/2011		423			437
6.500% due 08/01/2011		86			88
8.000% due 06/01/2008		66			68
Farm Credit Bank
7.561% due 11/29/2049		500			535
Federal Home Loan Bank
4.060% due 08/25/2009		325			316
Freddie Mac
4.000% due 04/15/2022		1,200			1,187
5.000% due 06/15/2016 - 09/15/2024		2,587			2,577
5.500% due 09/15/2017		648			650
5.958% due 10/25/2044 - 02/25/2045		607			610
6.500% due 07/25/2043		27			28
Government National Mortgage Association
2.876% due 06/16/2012		193			192
3.956% due 09/16/2021		523			513
4.045% due 07/16/2020		748			733
4.385% due 08/16/2030		1,500			1,475
5.153% due 06/16/2023		535			536
6.569% due 09/16/2026		1,000			1,056
7.000% due 09/20/2007		8			8
8.000% due 09/15/2007 - 11/15/2007		5			6
9.000% due 10/15/2008 - 11/15/2008		6			6
9.250% due 12/20/2019 - 06/20/2021		23			24
9.500% due 07/15/2009 - 12/20/2020		12			13
10.000% due 07/15/2013		20			22
New Valley Generation
7.299% due 03/15/2019		850			934
Private Export Funding Corp.
4.550% due 05/15/2015		750			730
5.750% due 01/15/2008		500			503
Small Business Administration
4.340% due 03/01/2024		311			297
4.504% due 02/01/2014		140			136
5.130% due 09/01/2023		60			60
5.886% due 09/01/2011		536			547
Total U.S. Government Agencies (Cost $190,007)					189,773
U.S. TREASURY OBLIGATIONS 0.0%
Treasury Inflation Protected Securities (c)
2.000% due 07/15/2014		214			208
U.S. Treasury Notes
5.125% due 05/15/2016		465			479
Total U.S. Treasury Obligations (Cost $696)					687
MORTGAGE-BACKED SECURITIES 3.6%
Banc of America Large Loan
5.470% due 01/15/2019		715			715
Bear Stearns Adjustable Rate Mortgage Trust
4.636% due 01/25/2034		63			63
4.781% due 01/25/2034		28			28
Chase Commercial Mortgage Securities
7.631% due 07/15/2032		500			536
Citicorp Mortgage Securities, Inc.
5.500% due 10/25/2033		162			161
Countrywide Alternative Loan Trust
6.000% due 10/25/2032		8			8
Countrywide Home Loan Mortgage Pass-Through Trust
3.825% due 10/19/2032		36			36
5.580% due 05/25/2035		573			574
5.620% due 05/25/2034		4			4
Credit Suisse Mortgage Capital Certificates
5.556% due 02/15/2039		5,000			5,067
CS First Boston Mortgage Securities Corp.
4.666% due 03/15/2036		11,500			11,203
5.435% due 09/15/2034		525			529
General Electric Capital Assurance Co.
5.254% due 05/12/2035		1,000			999
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		12,000			12,258
GS Mortgage Securities Corp. II
6.620% due 10/18/2030		408			414
JPMorgan Chase Commercial Mortgage Securities Corp.
5.050% due 12/12/2034		14,800			14,638
5.506% due 12/12/2044		4,985			5,030
MASTR Adjustable Rate Mortgages Trust
5.039% due 11/25/2033		128			128
5.121% due 08/25/2034		263			260
Morgan Stanley Capital I
5.332% due 12/15/2043		10,000			9,975
Structured Asset Mortgage Investments, Inc.
5.570% due 05/25/2036		4,612			4,619
Vendee Mortgage Trust
6.000% due 12/15/2030		1,000			1,010
Washington Mutual, Inc.
4.816% due 10/25/2032		7			7
5.596% due 02/27/2034		29			29
5.620% due 12/25/2027		744			744
Total Mortgage-Backed Securities (Cost $69,090)					69,035
ASSET-BACKED SECURITIES 0.9%
ACE Securities Corp.
5.430% due 02/25/2036		658			659
Argent Securities, Inc.
5.430% due 03/25/2036		796			797
5.490% due 02/25/2036		858			858
Chase Manhattan Auto Owner Trust
4.770% due 03/15/2008		161			161
CPL Transition Funding LLC
6.250% due 01/15/2017		750			804
Detroit Edison Securitization Funding LLC
6.420% due 03/01/2015		750			798
First NLC Trust
5.470% due 02/25/2036		1,394			1,395
Fremont Home Loan Trust
5.440% due 01/25/2036		220			220
GE-WMC Mortgage Securities LLC
5.450% due 12/25/2035		44			44
JCP&L Transition Funding LLC
6.160% due 06/05/2019		650			694
Long Beach Mortgage Loan Trust
5.420% due 03/25/2036		745			745
5.440% due 01/25/2036		705			705
Massachusetts RRB Special Purpose Trust
3.780% due 09/15/2010		665			658
MASTR Asset-Backed Securities Trust
5.460% due 11/25/2035		1,380			1,381
Morgan Stanley Capital I
5.420% due 02/25/2036		1,930			1,932
Nelnet Student Loan Trust
5.370% due 08/23/2011		519			520
Public Service New Hampshire Funding LLC
5.730% due 11/01/2010		225			226
Residential Asset Mortgage Products, Inc.
5.400% due 02/25/2036		925			925
Residential Asset Securities Corp.
5.420% due 07/25/2036		1,491			1,492
5.430% due 01/25/2036		837			838
Structured Asset Securities Corp.
5.480% due 12/25/2035		768			769
West Penn Funding LLC Transition Bonds
6.980% due 12/26/2008		641			649
Total Asset-Backed Securities (Cost $17,212)					17,270
SOVEREIGN ISSUES 19.2%
Argentina Bonos
5.590% due 08/03/2012		14,915			10,903
Brazilian Government International Bond
6.000% due 01/17/2017		500			494
7.125% due 01/20/2037		3,335			3,592
7.875% due 03/07/2015		5,640			6,297
8.000% due 01/15/2018		33,250			37,057
8.250% due 01/20/2034		12,970			15,759
8.750% due 02/04/2025		2,830			3,502
8.875% due 10/14/2019		8,400			10,269
8.875% due 04/15/2024		2,907			3,629
10.000% due 08/07/2011		4,939			5,840
10.125% due 05/15/2027		650			915
10.250% due 06/17/2013		1,100			1,361
10.500% due 07/14/2014		2,600			3,296
11.000% due 01/11/2012		15,275			18,826
11.000% due 08/17/2040		43,900			58,222
Chile Government International Bond
5.500% due 01/15/2013		635			641
7.125% due 01/11/2012		1,157			1,249
China Development Bank
5.000% due 10/15/2015		500			488
Colombia Government International Bond
7.375% due 01/27/2017		2,400			2,586
7.375% due 09/18/2037		1,900			2,044
8.250% due 12/22/2014		5,200			5,928
9.750% due 04/23/2009		45			49
10.000% due 01/23/2012		941			1,110
10.375% due 01/28/2033		275			395
10.750% due 01/15/2013		8,800			10,934
11.750% due 02/25/2020		725			1,057
Croatia Government International Bond
6.375% due 07/31/2010		111			112
Ecuador Government International Bond
9.375% due 12/15/2015		4,000			3,240
Guatemala Government Bond
9.250% due 08/01/2013		1,845			2,169
10.250% due 11/08/2011		1,000			1,184
Hong Kong Government International Bond
5.125% due 08/01/2014		4,200			4,204
Indonesia Government International Bond
6.875% due 03/09/2017		5,700			6,071
Korea Development Bank
4.750% due 07/20/2009		2,250			2,223
5.651% due 11/22/2012		7,500			7,524
5.750% due 09/10/2013		385			395
5.774% due 10/20/2009		2,300			2,317
Korea Highway Corp.
4.875% due 04/07/2014		1,540			1,492
5.125% due 05/20/2015		750			736
Malaysia Government International Bond
7.500% due 07/15/2011		899			979
8.750% due 06/01/2009		255			275
Mexico Government International Bond
5.625% due 01/15/2017		1,010			1,014
7.500% due 04/08/2033		840			993
8.000% due 09/24/2022		45			55
8.125% due 12/30/2019		715			871
8.300% due 08/15/2031		4,868			6,236
9.875% due 02/01/2010		115			130
11.375% due 09/15/2016		30			43
11.500% due 05/15/2026		1,000			1,620
Pakistan Government International Bond
7.125% due 03/31/2016		3,600			3,781
Panama Government International Bond
6.700% due 01/26/2036		6,424			6,713
7.250% due 03/15/2015		2,325			2,528
8.875% due 09/30/2027		500			638
9.375% due 07/23/2012		1,843			2,170
9.375% due 04/01/2029		75			100
9.625% due 02/08/2011		442			506
Peru Government International Bond
5.000% due 03/07/2017		334			334
8.375% due 05/03/2016		3,300			3,935
8.750% due 11/21/2033		1,000			1,320
9.125% due 02/21/2012		1,586			1,840
Poland Government International Bond
4.000% due 10/27/2024		55			50
Republic of Korea
4.875% due 09/22/2014		2,100			2,040
Russia Government International Bond
5.000% due 03/31/2030		12,126			13,718
11.000% due 07/24/2018		500			723
12.750% due 06/24/2028		500			904
Socialist Republic of Vietnam
3.750% due 03/12/2028		5,000			4,316
South Africa Government International Bond
6.500% due 06/02/2014		7,500			7,903
7.375% due 04/25/2012		2,730			2,942
9.125% due 05/19/2009		750			812
Ukraine Government International Bond
6.875% due 03/04/2011		780			803
7.650% due 06/11/2013		16,725			18,045
8.902% due 08/05/2009		1,700			1,808
11.000% due 03/15/2007		93			95
Uruguay Government International Bond
7.625% due 03/21/2036		1,000			1,105
8.000% due 11/18/2022		7,471			8,517
9.250% due 05/17/2017		100			123
Venezuela Government International Bond
5.375% due 08/07/2010		6,000			5,910
6.000% due 12/09/2020		5,000			4,688
6.374% due 04/20/2011		1,500			1,495
8.500% due 10/08/2014		2,000			2,268
9.250% due 09/15/2027		2,590			3,309
9.375% due 01/13/2034		6,100			8,067
10.750% due 09/19/2013		1,980			2,465
Total Sovereign Issues (Cost $347,635)					366,297
FOREIGN CURRENCY-DENOMINATED ISSUES 12.2%
Altadis Finance BV
5.125% due 10/02/2013	EUR	3,400			4,606
America Movil S.A. de C.V.
8.460% due 12/18/2036	MXN	10,900			999
Argentina Bonos
2.000% due 09/30/2014	ARS	47,900			17,245
Atlas Reinsurance PLC
7.717% due 01/10/2010	EUR	1,500			1,974
Banque Centrale de Tunisie
6.250% due 02/20/2013		2,820			4,038
BCM Ireland Finance Ltd.
8.587% due 08/15/2016		1,900			2,608
BNP Paribas Capital Trust VI
5.868% due 01/29/2049		4,870			6,858
Brazilian Government International Bond
6.000% due 05/15/2045	BRL	4,000			2,545
12.500% due 01/05/2022		8,200			4,369
Canadian Government Bond
4.500% due 06/01/2015	CAD	4,700			4,148
Chesapeake Energy Corp.
6.250% due 01/15/2017	EUR	525			712
Deutsche Telekom International Finance BV
8.125% due 05/29/2012		2,334			3,597
El Paso Corp.
7.125% due 05/06/2009		600			830
Enterprise Inns PLC
6.500% due 12/06/2018	GBP	900			1,889
France Telecom S.A.
6.750% due 03/14/2008	EUR	2,414			3,283
Gaz Capital for Gazprom
5.875% due 06/01/2015		14,000			19,403
7.800% due 09/27/2010		3,500			5,119
General Electric Capital Corp.
4.625% due 09/15/2066		5,700			7,573
HBOS Capital Funding LP
6.461% due 11/29/2049	GBP	1,560			3,220
HBOS PLC
4.875% due 03/29/2049	EUR	3,480			4,642
HSBC Holdings PLC
5.375% due 12/20/2012		2,298			3,206
Ineos Group Holdings PLC
7.875% due 02/15/2016		1,900			2,395
International Endesa BV
6.125% due 07/05/2012	GBP	1,080			2,163
JSG Holding PLC
5.741% due 11/29/2013	EUR	229			305
5.800% due 01/12/2014		63			83
5.835% due 01/12/2013		126			167
5.850% due 01/12/2013		73			97
5.946% due 01/12/2013		94			125
5.964% due 11/29/2013		566			752
5.971% due 11/29/2014		229			306
6.062% due 01/12/2014		94			125
6.157% due 01/12/2014		27			36
6.350% due 01/12/2014		46			61
6.464% due 11/29/2014		566			752
6.494% due 01/12/2013		63			83
6.686% due 01/12/2014	EUR	126			168
10.125% due 10/01/2012		2,000			2,878
Lecta S.A.
5.876% due 03/13/2009		2,514			3,235
Lighthouse International Co. S.A.
8.000% due 04/30/2014		5,300			7,687
Mexican Bonos
8.000% due 12/17/2015	MXN	11,000			1,055
Mitchells & Butlers Finance PLC
6.469% due 09/15/2030	GBP	1,700			3,820
Mizuho Bank Ltd.
1.317% due 11/24/2049	JPY	100,000			840
Mizuho Finance Aruba AEC
1.883% due 12/31/2049		100,000			854
Nordic Telephone Co. Holdings ApS
5.207% due 11/30/2014	EUR	2,100			2,801
5.939% due 11/30/2014		2,100			2,813
8.250% due 05/01/2016		3,300			4,814
NTL Cable PLC
8.750% due 04/15/2014		2,300			3,268
Pylon Ltd.
5.179% due 12/18/2008 (j)		1,500			1,991
QBE International Holdings PLC
8.328% due 08/03/2020	AUD	3,000			2,377
Republic of Germany
4.750% due 07/04/2028	EUR	7,900			11,380
Rogers Cable, Inc.
7.250% due 12/15/2011	CAD	3,000			2,782
Rogers Wireless, Inc.
7.625% due 12/15/2011		500			473
Royal Bank of Scotland Group PLC
6.000% due 06/29/2049	GBP	1,620			3,220
Shaw Communications, Inc.
7.500% due 11/20/2013	CAD	1,000			936
South Africa Government International Bond
5.250% due 05/16/2013	EUR	1,050			1,433
Sumitomo Mitsui Banking Corp.
0.950% due 06/02/2049	JPY	100,000			831
4.375% due 10/27/2014	EUR	3,500			4,619
Telecom Italia Finance S.A.
6.575% due 07/30/2009		4,870			6,749
Telefonos de Mexico S.A. de C.V.
8.750% due 01/31/2016	MXN	99,600			9,658
Telenet Communications NV
9.000% due 12/15/2013	EUR	2,241			3,261
Ukraine Government International Bond
10.000% due 03/15/2007		1,881			2,518
UPC Broadband Holding BV
4.988% due 03/31/2013		1,855			2,459
6.103% due 12/31/2013		2,100			2,784
UPC Holding BV
7.750% due 01/15/2014		2,300			3,059
Uruguay Government International Bond
6.875% due 01/19/2016		10,000			14,389
Veolia Environnement
4.875% due 05/28/2013		3,460			4,651
Weather Investments II SARL
4.955% due 06/17/2012		2,100			2,777
6.298% due 06/17/2013		1,050			1,393
6.798% due 06/17/2014		1,050			1,398
Wind Acquisition Finance S.A.
9.750% due 12/01/2015		2,300			3,499
Total Foreign Currency-Denominated Issues (Cost $221,796)					233,184
		Shares
PREFERRED STOCKS 0.1%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		1,335		$	1,362
Total Preferred Stocks (Cost $1,437)					1,362
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS 7.3%
Commercial Paper 4.4%
Rabobank USA Financial Corp.
5.280% due 01/02/2007	$	42,300			42,300
UBS Finance Delaware LLC
5.185% due 04/02/2007		42,000			41,426
					83,726
Repurchase Agreements 2.0%
Lehman Brothers, Inc.
4.850% due 01/02/2007		38,000			38,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Bonds 6.250% due 08/15/2023 valued at $38,893. Repurchase proceeds are $38,020.)
Tri-Party Repurchase Agreements 0.1%
State Street Bank and Trust Co.
4.900% due 01/02/2007		3,043			3,043
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $3,107. Repurchase proceeds are $3,045.)
U.S. Treasury Bills 0.8%
4.804% due 03/01/2007 - 03/15/2007 (b)(d)(f)		14,830			14,667
Total Short-Term Instruments (Cost $139,494)					139,436
Purchased Options (h) 0.0% (Cost $40)					0
Total Investments (e) 104.8% (Cost $1,965,040)				$	2,003,194
Written Options (i) (0.0%) (Premiums $21)					(17	)
Other Assets and Liabilities (Net) (4.8%)					(91,485	)
Net Assets 100.0%				$	1,911,692

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

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

(d) Securities with an aggregate market value of $1,731 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(e) As of December 31, 2006, portfolio securities with an aggregate value of $36,903 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $10,711 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	996	$	216
90-Day Eurodollar December Futures	Long	12/2008	101		30
90-Day Eurodollar June Futures	Long	06/2007	2,333		747
90-Day Eurodollar June Futures	Long	06/2008	313		130
90-Day Eurodollar March Futures	Long	03/2008	759		316
90-Day Eurodollar March Futures	Long	03/2009	101		38
90-Day Eurodollar September Futures	Long	09/2007	2,271		(443	)
90-Day Eurodollar September Futures	Long	09/2008	211		27
Euro-Bund 10-Year Note March Futures	Long	03/2007	342		(1,226	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	1,245		(152	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	1,448		(430	)
				$	(747	)

(g) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	Dow Jones ITRAX 5X0V Index	Sell	2.900	%	6/20/2011	EUR	4,900	$	247
Deutsche Bank AG	Dow Jones CDX N.A. XO6 Index	Sell	2.800	%	12/20/2011		20,000		944
JPMorgan Chase & Co.	Dow Jones ITRAX 5X0V Index	Sell	2.900	%	6/20/2011		6,975		347
Morgan Stanley	Dow Jones ITRAX 4EU2 Index	Sell	0.350	%	12/20/2010		43,600		402
Morgan Stanley	Dow Jones ITRAX 5EU2 Index	Sell	0.400	%	6/20/2011		2,500		15
UBS AG	France Telecom S.A. 7.250% due 01/28/2013	Sell	0.330	%	9/20/2011		3,900		21
UBS AG	Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.525	%	9/20/2011		3,900		(1	)
Wachovia Bank N.A.	France Telecom S.A. 7.250% due 01/28/2013	Sell	0.325	%	9/20/2011		3,900		19
Wachovia Bank N.A.	Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.520	%	9/20/2011		3,900		0
Barclays Bank PLC	Argentina Government International Bond 8.280% due 12/31/2033	Buy	(0.940	%)	8/20/2008	$	2,000		(17	)
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		3,100		9
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.880	%	4/20/2011		11,500		158
Barclays Bank PLC	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.650	%	7/20/2011		3,900		152
Barclays Bank PLC	Argentina Government International Bond 8.280% due 12/31/2033	Sell	2.540	%	8/20/2011		4,000		154
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	8/20/2011		6,000		145
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	8/20/2011		6,000		147
Barclays Bank PLC	Celestica, Inc. 7.875% due 07/01/2011	Sell	2.850	%	9/20/2011		2,100		11
Barclays Bank PLC	Dow Jones CDX N.A. IG4 Index	Buy	(0.650	%)	6/20/2015		12,900		(154	)
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.200	%	4/20/2016		3,900		132
Barclays Bank PLC	Argentina Government International Bond 8.280% due 12/31/2033	Buy	(3.700	%)	8/20/2016		2,000		(123	)
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.170	%)	8/20/2016		3,000		(161	)
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.150	%)	8/20/2016		3,000		(156	)
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	12/20/2016		3,000		103
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.350	%	6/20/2007		6,300		96
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.480	%	6/20/2009		4,000		77
BNP Paribas Bank	Wachovia Corp. 5.625% due 12/15/2008	Sell	0.160	%	6/20/2011		17,200		55
Credit Suisse First Boston	Citizens Communications Co. 9.250% due 05/15/2011	Buy	(0.720	%)	3/20/2008		1,000		(5	)
Credit Suisse First Boston	Citizens Communications Co. 9.250% due 05/15/2011	Sell	1.910	%	3/20/2011		3,000		122
Credit Suisse First Boston	Solectron Global Finance Ltd. 8.000% due 03/15/2006	Sell	3.300	%	9/20/2011		1,000		20
Credit Suisse First Boston	Citizens Communications Co. 9.250% due 05/15/2011	Buy	(2.290	%)	3/20/2013		2,000		(85	)
Deutsche Bank AG	NAK Naftogaz Ukrainy 8.125% due 09/30/2009	Sell	4.200	%	5/20/2009		1,000		(21	)
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.850	%	6/20/2011		7,200		283
Deutsche Bank AG	Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	6/20/2011		17,000		50
Deutsche Bank AG	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.840	%	6/20/2011		23,500		437
Deutsche Bank AG	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		21,000		117
Goldman Sachs & Co.	Dow Jones CDX N.A. IG5 Index	Sell	0.450	%	12/20/2010		15,000		109
Goldman Sachs & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	3.000	%	9/4/2013		810		120
Goldman Sachs & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.950	%	9/5/2013		350		51
Goldman Sachs & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.750	%	9/17/2013		200		26
Goldman Sachs & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	2.050	%	9/20/2013		210		20
JPMorgan Chase & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		3,300		236
JPMorgan Chase & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	6/20/2010		6,900		552
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.390	%	8/20/2011		6,000		153
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	3.150	%	8/19/2013		200		31
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	3/20/2016		650		15
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.190	%)	8/20/2016		3,000		(165	)
JPMorgan Chase & Co.	Cemex SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016		1,500		27
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	6/20/2010		3,000		235
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.750	%	4/20/2011		9,200		152
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.050	%	4/20/2011		6,000		98
Lehman Brothers, Inc.	Telefonos de Mexico S.A. de C.V. 4.500% due 11/19/2008	Buy	(0.550	%)	4/20/2011		9,200		(108	)
Lehman Brothers, Inc.	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.170	%	6/20/2011		4,200		18
Lehman Brothers, Inc.	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.170	%	6/20/2011		7,300		31
Lehman Brothers, Inc.	JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.220	%	6/20/2011		5,600		11
Lehman Brothers, Inc.	Ecuador Government International Bond 10.000% due 08/15/2030	Buy	(5.650	%)	10/20/2011		9,200		1,496
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		42,000		870
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		5,500		57
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.520	%	12/20/2011		3,000		48
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG4 Index	Sell	0.650	%	6/20/2015		1,500		40
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG6 Index	Buy	(0.650	%)	6/20/2016		28,900		(90	)
Merrill Lynch & Co., Inc.	Citizens Communications Co. 9.250% due 05/15/2011	Buy	(0.750	%)	3/20/2008		1,000		(5	)
Merrill Lynch & Co., Inc.	Citizens Communications Co. 9.250% due 05/15/2011	Sell	1.950	%	3/20/2011		3,000		126
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.850	%	6/20/2011		1,800		71
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		36,000		(2	)
Merrill Lynch & Co., Inc.	Citizens Communications Co. 9.250% due 05/15/2011	Buy	(2.310	%)	3/20/2013		2,000		(87	)
Merrill Lynch & Co., Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.310	%	1/21/2014		4,500		511
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.450	%	6/20/2007		4,300		68
Morgan Stanley	Mexico Government International Bond 11.500% due 05/15/2026	Sell	1.280	%	2/20/2009		900		24
Morgan Stanley	JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.720	%	3/20/2011		5,000		55
Morgan Stanley	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.163	%	6/20/2011		12,000		47
Morgan Stanley	Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	6/20/2011		1,000		5
Morgan Stanley	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.070	%	9/20/2013		530		51
Morgan Stanley	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.170	%	9/20/2013		120		12
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.960	%	10/20/2016		600		25
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		5,000		52
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011		3,000		49
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.385	%	9/20/2016		700		28
UBS AG	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.160	%	6/20/2011		12,000		46
UBS AG	JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.210	%	6/20/2011		12,000		19
UBS AG	Multiple Reference Entities of Gazprom	Sell	0.945	%	10/20/2011		4,800		51
								$	8,719

(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	14.280	%	1/4/2010	BRL	36,900	$	644
JPMorgan Chase & Co.	BRL-CDI-Compounded	Pay	15.370	%	1/2/2009		15,000		323
JPMorgan Chase & Co.	BRL-CDI-Compounded	Pay	16.230	%	1/2/2009		12,000		339
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	14.360	%	1/4/2010		2,600		46
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	1/4/2010		9,300		28
Royal Bank of Canada	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027	CAD	2,100		(22	)
Citibank N.A.	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010	EUR	40,200		(1,668	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		56,400		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		23,000		0
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		11,700		65
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035	GBP	17,300		378
Barclays Bank PLC	6-Month HUF-LIBOR	Receive	7.540	%	9/27/2016	HUF	950,000		(92	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.505	%	9/26/2016		3,500,000		(885	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.530	%	9/27/2016		1,500,000		(393	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.540	%	9/27/2016		4,750,000		(1,088	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2011	JPY	3,650,000		(35	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	8/3/2016	MXN	52,500		319
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	8/3/2016		52,500		316
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		76,000		432
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	9/12/2016		262,000		1,730
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	4/17/2009		82,700		184
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.910	%	7/26/2016		45,000		308
								$	929

(h) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar June Futures	$	91.250	6/18/2007	1,027	$	10	$	0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	828		8		0
Put - CME 90-Day Eurodollar March Futures		92.250	3/19/2007	1,483		14		0
Put - CME 90-Day Eurodollar September Futures		90.750	9/17/2007	890		8		0
					$	40	$	0

(i) Written options outstanding on December 31, 2006:

Credit Default Swaptions

Description	Counterparty	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC British Telecom SP 7.125% due 02/15/2011	Morgan Stanley	Receive	0.450	%	6/20/2008	$	3,920	$	21	$	17

(j) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Pylon Ltd.	5.179	%	12/18/2008	11/14/2006	$	1,933	$	1,991	0.10	%

(k) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
Ecuador Government International Bond	9.375	%	12/15/2015	$	4,000	$	3,808	$	3,319
Ecuador Government International Bond	10.000	%	8/15/2030		23,085		20,434		17,634
						$	24,242	$	20,953

(2) Market value includes $515 of interest payable on short sales.

(I) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	3,160	01/2007	$	0	$	(37	)	$	(37	)
Buy	BRL	8,267	01/2007		90		0			90
Buy		4,425	05/2007		37		0			37
Buy		8,916	06/2007		82		0			82
Sell	CAD	8,576	01/2007		233		0			233
Buy	CLP	113,763	02/2007		2		0			2
Buy		283,000	05/2007		0		(6	)		(6	)
Buy		1,935,085	06/2007		0		(37	)		(37	)
Buy	CNY	296,147	03/2007		112		(1	)		111
Buy		29,231	05/2007		23		0			23
Buy		72,587	08/2007		210		0			210
Buy		2,189	09/2007		7		0			7
Sell	EUR	118,161	01/2007		37		(1,145	)		(1,108	)
Buy		3,800	03/2007		208		0			208
Sell	GBP	10,172	01/2007		0		(121	)		(121	)
Sell	HUF	2,546,400	01/2007		0		(712	)		(712	)
Sell		1,052,410	03/2007		0		(667	)		(667	)
Buy	INR	113,071	02/2007		126		0			126
Buy		15,704	03/2007		13		0			13
Buy		8,564	05/2007		2		0			2
Buy	JPY	3,521,919	02/2007		0		(397	)		(397	)
Buy	KRW	322,090	02/2007		10		0			10
Buy		3,050,230	03/2007		67		(1	)		66
Buy	MXN	14,496	01/2007		34		0			34
Buy		42,766	04/2007		94		0			94
Buy	MYR	45,145	01/2007		304		0			304
Sell		45,145	01/2007		0		(400	)		(400	)
Buy	PLN	13,743	04/2007		157		0			157
Buy	RUB	22,916	01/2007		10		0			10
Buy		166,957	02/2007		392		0			392
Buy		107,308	03/2007		41		0			41
Buy		137,435	09/2007		61		(1	)		60
Buy	SGD	5,395	01/2007		44		0			44
Buy		397	03/2007		7		0			7
Buy	THB	474,625	01/2007		474		0			474
Sell		474,625	01/2007		0		(838	)		(838	)
Buy	TWD	23,097	02/2007		1		(6	)		(5	)
Buy	ZAR	26,261	01/2007		43		0			43
Sell		26,261	01/2007		0		(7	)		(7	)
Buy		36,190	05/2007		104		0			104
Buy		1,173	06/2007		1		0			1
				$	3,026	$	(4,376	)	$	(1,350	)

See accompanying notes

Schedule of Investments

Emerging Local Bond Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
COLOMBIA 2.2%
Colombia Government International Bond
12.000% due 10/22/2015	COP	125,000	$	66
Total Colombia (Cost $66)				66
HUNGARY 6.6%
Hungary Government Bond
5.500% due 02/12/2014	HUF	41,000		197
Total Hungary (Cost $197)				197
PERU 0.8%
Peru Government International Bond
9.910% due 05/05/2015	PEN	60		23
Total Peru (Cost $23)				23
POLAND 11.8%
Poland Government Bond
5.750% due 03/24/2010	PLN	1,000		355
Total Poland (Cost $355)				355
SOUTH AFRICA 17.1%
South Africa Government International Bond
7.500% due 01/15/2014	ZAR	3,660		512
Total South Africa (Cost $512)				512
TURKEY 21.8%
Turkey Government Bond
0.000% due 08/13/2008	TRY	1,260		654
Total Turkey (Cost $654)				654
Total Investments 60.3% (Cost $1,807)			$	1,807
Other Assets and Liabilities (Net) 39.7%				1,192
Net Assets 100.0%			$	2,999

Notes to Schedule of Investments (amounts in thousands*)

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

(a) Swap agreements outstanding on December 31, 2006:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
JPMorgan Chase & Co.	BRL-CDI-Compounded	Pay	12.360	%	1/4/2010	BRL	700	$	0
Barclays Bank PLC	6-Month CZK-LIBOR	Pay	3.400	%	1/3/2012	CZK	6,550		0
Barclays Bank PLC	6-Month SKK-LIBOR	Pay	4.150	%	1/3/2012	SKK	2,150		0
Barclays Bank PLC	6-Month USD-LIBOR	Pay	0.000	%	10/17/2014	$	176		0
Deutsche Bank AG	6-Month USD-LIBOR	Pay	0.000	%	5/5/2011		401		0
								$	0

(b) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	860	02/2007	$	0	$	0	$	0
Sell	CLP	14,918	11/2007		0		0		0
Buy		31,709	11/2010		0		0		0
Buy	COP	68,351	02/2007		0		0		0
Buy	CZK	6,791	07/2007		0		0		0
Sell	IDR	103,615	02/2007		0		0		0
Sell	MXN	609	04/2007		0		0		0
Sell	MYR	313	02/2007		0		0		0
Sell	PLN	58	02/2007		0		0		0
Buy	RUB	2,129	01/2008		0		0		0
Buy	SKK	3,641	07/2007		0		0		0
Sell	TRY	57	02/2007		0		0		0
Buy	ZAR	385	02/2007		0		0		0
				$	0	$	0	$	0

See accompanying notes

Schedule of Investments

Emerging Markets Bond Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARGENTINA 1.9%
Argentina Bonos
5.590% due 08/03/2012	$	68,530	$	50,096
Total Argentina (Cost $48,086)				50,096
BRAZIL 19.9%
Brazilian Government International Bond
6.000% due 05/15/2045	BRL	6,000		3,817
7.125% due 01/20/2037	$	17,365		18,702
7.875% due 03/07/2015		7,550		8,430
8.000% due 01/15/2018		5,644		6,290
8.250% due 01/20/2034		50,480		61,333
8.500% due 09/24/2012	EUR	13,600		21,208
8.750% due 02/04/2025	$	23,075		28,555
8.875% due 10/14/2019		25,375		31,021
8.875% due 04/15/2024		21,160		26,415
10.125% due 05/15/2027		42,810		60,255
10.250% due 06/17/2013		7,500		9,281
10.500% due 07/14/2014		65,230		82,679
11.000% due 08/17/2040		72,626		96,320
12.500% due 01/05/2022	BRL	14,094		7,510
12.750% due 01/15/2020	$	3,750		5,859
Centrais Eletricas Brasileiras S.A.
7.750% due 11/30/2015		2,000		2,125
Cia de Saneamento Basico do Estado de Sao Paulo
7.500% due 11/03/2016		8,925		9,427
CSN Islands VII Corp.
10.750% due 09/12/2008		9,975		10,798
CSN Islands VIII Corp.
9.750% due 12/16/2013		9,000		10,220
Embraer Overseas Ltd.
6.375% due 01/24/2017		3,800		3,810
Vale Overseas Ltd.
6.250% due 01/23/2017		6,200		6,259
6.875% due 11/21/2036		9,000		9,276
8.250% due 01/17/2034		750		892
Total Brazil (Cost $456,620)				520,482
CHILE 0.8%
AES Gener S.A.
7.500% due 03/25/2014		1,000		1,061
Banco Santander Chile
5.375% due 12/09/2014		3,000		2,960
Chile Government International Bond
5.776% due 01/28/2008		24		24
7.125% due 01/11/2012		160		173
CODELCO, Inc.
5.625% due 09/21/2035		6,800		6,500
6.150% due 10/24/2036		2,300		2,365
Empresa Nacional de Electricidad S.A.
8.350% due 08/01/2013		5,800		6,589
Enersis S.A.
7.375% due 01/15/2014		1,098		1,184
7.400% due 12/01/2016		600		661
Total Chile (Cost $21,350)				21,517
CHINA 0.7%
China Development Bank
5.000% due 10/15/2015		1,000		975
Export-Import Bank of China
5.250% due 07/29/2014		10,118		10,089
Sino-Forest Corp.
9.125% due 08/17/2011		5,700		6,192
Total China (Cost $17,093)				17,256
COLOMBIA 3.3%
Colombia Government International Bond
7.375% due 01/27/2017		9,600		10,344
7.375% due 09/18/2037		9,400		10,115
8.250% due 12/22/2014		32,030		36,514
10.000% due 01/23/2012		3,150		3,717
10.375% due 01/28/2033		1,050		1,509
10.750% due 01/15/2013		15,535		19,302
11.750% due 02/25/2020		3,047		4,441
Total Colombia (Cost $83,514)				85,942
EGYPT 0.3%
Petroleum Export Ltd.
5.265% due 06/15/2011		7,657		7,487
Total Egypt (Cost $7,522)				7,487
EL SALVADOR 0.6%
AES El Salvador Trust
6.750% due 02/01/2016		10,260		10,257
El Salvador Government International Bond
8.500% due 07/25/2011		4,515		5,016
Total El Salvador (Cost $14,953)				15,273
GUATEMALA 0.4%
Guatemala Government Bond
9.250% due 08/01/2013		7,581		8,911
10.250% due 11/08/2011		771		913
Total Guatemala (Cost $9,708)				9,824
HONG KONG 0.0%
Hong Kong Government International Bond
5.125% due 08/01/2014		250		250
Total Hong Kong (Cost $248)				250
INDIA 0.4%
NTPC Ltd.
5.875% due 03/02/2016		2,736		2,702
Vedanta Resources PLC
6.625% due 02/22/2010		7,000		6,928
Total India (Cost $9,507)				9,630
INDONESIA 1.2%
Indonesia Government International Bond
6.875% due 03/09/2017		21,000		22,365
Majapahit Holding BV
7.250% due 10/17/2011		8,105		8,358
7.750% due 10/17/2016		950		1,011
Total Indonesia (Cost $30,181)				31,734
KAZAKHSTAN 1.1%
ATF Bank JSC
9.000% due 05/11/2016		3,325		3,244
Intergas Finance BV
6.875% due 11/04/2011		2,980		3,088
Kazkommerts International BV
7.000% due 11/03/2009		3,500		3,558
8.500% due 04/16/2013		1,300		1,392
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		16,895		16,995
Total Kazakhstan (Cost $28,156)				28,277
LUXEMBOURG 0.5%
Gaz Capital for Gazprom
6.212% due 11/22/2016		6,000		6,057
TNK-BP Finance S.A.
7.500% due 07/18/2016		7,800		8,365
Total Luxembourg (Cost $14,123)				14,422
MALAYSIA 1.3%
Petroliam Nasional Bhd.
7.625% due 10/15/2026		2,600		3,211
7.750% due 08/15/2015		1,690		1,980
Petronas Capital Ltd.
7.000% due 05/22/2012		16,560		17,871
7.875% due 05/22/2022		3,000		3,711
TNB Capital Ltd.
5.250% due 05/05/2015		8,300		8,184
Total Malaysia (Cost $34,780)				34,957
MEXICO 11.9%
America Movil S.A. de C.V.
5.500% due 03/01/2014		500		490
5.750% due 01/15/2015		4,200		4,166
8.460% due 12/18/2036	MXN	10,900		999
Cablemas S.A. de C.V.
9.375% due 11/15/2015	$	3,000		3,315
Desarrolladora Homex S.A. de C.V.
7.500% due 09/28/2015		2,250		2,306
Grupo Transportacion Ferroviaria Mexicana S.A. de C.V.
9.375% due 05/01/2012		3,850		4,129
12.500% due 06/15/2012		1,000		1,085
Mexico Government International Bond
6.073% due 01/13/2009		24		24
7.500% due 04/08/2033		24,685		29,190
8.000% due 09/24/2022		26,180		32,057
8.125% due 12/30/2019		22,775		27,729
8.300% due 08/15/2031		22,950		29,399
11.500% due 05/15/2026		10,000		16,200
	Shares
Mexico Government International Bond Rights
0.000% due 06/30/2007		18,575,000		269
	Principal Amount (000s)
Pemex Finance Ltd.
9.030% due 02/15/2011	$	51		54
Pemex Project Funding Master Trust
5.750% due 12/15/2015		52,450		52,149
6.625% due 06/15/2035		8,075		8,271
7.375% due 12/15/2014		15,649		17,269
8.000% due 11/15/2011		8,500		9,371
8.625% due 02/01/2022		40,033		49,581
9.125% due 10/13/2010		4,565		5,131
9.250% due 03/30/2018		11,877		15,007
9.375% due 12/02/2008		500		536
Telefonos de Mexico S.A. de C.V.
5.500% due 01/27/2015		1,000		978
8.750% due 01/31/2016	MXN	10,000		970
Total Mexico (Cost $296,513)				310,675
MOROCCO 0.1%
Kingdom of Morocco
5.688% due 01/05/2009	$	2,202		2,220
Total Morocco (Cost $2,177)				2,220
NETHERLANDS 0.1%
HSBK Europe BV
7.750% due 05/13/2013		2,450		2,597
Total Netherlands (Cost $2,444)				2,597
PAKISTAN 0.4%
Pakistan Government International Bond
7.125% due 03/31/2016		10,985		11,537
Total Pakistan (Cost $10,920)				11,537
PANAMA 3.2%
AES Panama S.A.
6.350% due 12/21/2016		8,780		8,660
Panama Government International Bond
6.700% due 01/26/2036		4,158		4,345
7.125% due 01/29/2026		22,425		24,331
7.250% due 03/15/2015		120		130
9.375% due 07/23/2012		19,773		23,283
9.625% due 02/08/2011		20,439		23,403
Total Panama (Cost $80,745)				84,152
PERU 1.6%
Peru Government International Bond
5.000% due 03/07/2017		20,653		20,602
8.750% due 11/21/2033		4,795		6,329
9.125% due 02/21/2012		6,401		7,425
Southern Copper Corp.
6.375% due 07/27/2015		1,000		1,023
7.500% due 07/27/2035		6,500		7,080
Total Peru (Cost $38,112)				42,459
QATAR 0.0%
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		513		500
Total Qatar (Cost $506)				500
RUSSIA 11.4%
Gaz Capital for Gazprom
5.875% due 06/01/2015	EUR	7,550		10,464
8.625% due 04/28/2034	$	28,800		37,080
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		6,100		6,279
Gazprom International S.A.
7.201% due 02/01/2020		14,750		15,606
GPB Eurobond Finance PLC for Gazprombank
6.500% due 09/23/2015		5,200		5,218
Lukoil Finance Ltd.
6.050% due 01/11/2009		10,000		9,947
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		3,500		3,675
8.375% due 10/14/2010		1,000		1,056
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		61,960		74,141
RSHB Capital AG S.A. for OJSC Russian Agricultural Bank
6.875% due 11/29/2010		600		617
7.175% due 05/16/2013		6,400		6,760
Russia Government International Bond
5.000% due 03/31/2030		72,967		82,549
11.000% due 07/24/2018		2,700		3,907
12.750% due 06/24/2028		13,275		24,012
Salomon Brothers AG for OAO Gazprom
9.125% due 04/25/2007		1,000		1,015
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		1,000		1,100
TNK-BP Finance S.A.
6.875% due 07/18/2011		4,000		4,145
7.500% due 07/18/2016		3,150		3,359
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.375% due 10/22/2011		450		481
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,000		1,017
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		5,000		5,009
Total Russia (Cost $285,179)				297,437
SOUTH AFRICA 1.8%
South Africa Government International Bond
5.250% due 05/16/2013	EUR	12,160		16,600
6.500% due 06/02/2014	$	14,500		15,279
7.375% due 04/25/2012		5,950		6,411
8.500% due 06/23/2017		2,140		2,600
9.125% due 05/19/2009		5,690		6,160
Total South Africa (Cost $43,837)				47,050
TUNISIA 1.2%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	5,500		6,952
4.750% due 04/07/2011		450		599
7.375% due 04/25/2012	$	20,212		21,991
8.250% due 09/19/2027		1,680		2,078
Total Tunisia (Cost $30,804)				31,620
UKRAINE 2.5%
Dresdner Bank AG for Kyivstar GSM
7.750% due 04/27/2012		1,500		1,555
10.375% due 08/17/2009		800		874
Ukraine Government International Bond
4.950% due 10/13/2015	EUR	1,700		2,159
6.875% due 03/04/2011	$	33,350		34,352
7.650% due 06/11/2013		16,685		18,001
8.902% due 08/05/2009		5,150		5,477
11.000% due 03/15/2007		2,993		3,030
Total Ukraine (Cost $63,859)				65,448
UNITED STATES 1.6%
Corporate Bonds & Notes 0.3%
C5 Capital SPV Ltd.
6.196% due 12/01/2049		1,100		1,101
C10 Capital SPV Ltd.
6.722% due 12/01/2049		8,500		8,509
				9,610
U.S. Government Agencies 0.5%
Fannie Mae
5.500% due 01/01/2037		13,000		12,850
U.S. Treasury Obligations 0.8%
U.S. Treasury Notes
3.625% due 05/15/2013		19,500		18,380
5.125% due 05/15/2016		1,890		1,947
				20,327
Total United States (Cost $42,901)				42,787
URUGUAY 0.9%
Uruguay Government International Bond
8.000% due 11/18/2022		16,397		18,693
9.250% due 05/17/2017		3,900		4,787
Total Uruguay (Cost $21,903)				23,480
VENEZUELA 6.4%
Venezuela Government International Bond
5.375% due 08/07/2010		33,550		33,047
6.000% due 12/09/2020		42,450		39,797
6.374% due 04/20/2011		16,450		16,393
7.000% due 12/01/2018		5,000		5,175
7.650% due 04/21/2025		8,500		9,286
8.500% due 10/08/2014		2,000		2,268
9.250% due 09/15/2027		10,880		13,899
9.375% due 01/13/2034		23,650		31,277
10.750% due 09/19/2013		12,280		15,289
	Shares
Venezuela Government International Bond Rights
0.000% due 04/15/2020		3,500		123
Total Venezuela (Cost $154,976)				166,554
	Principal Amount (000s)
VIETNAM 0.2%
Socialist Republic of Vietnam
3.750% due 03/12/2028	$	5,000		4,317
6.875% due 01/15/2016		1,000		1,082
Total Vietnam (Cost $5,221)				5,399
SHORT-TERM INSTRUMENTS 27.1%
Commercial Paper 25.6%
Bank of America Corp.
5.200% due 04/02/2007		67,700		66,775
5.225% due 03/01/2007		700		694
5.250% due 01/12/2007		7,700		7,690
5.250% due 01/24/2007		1,800		1,794
Bank of Ireland
5.245% due 01/30/2007		9,200		9,164
Barclays U.S. Funding Corp.
5.220% due 03/05/2007		2,200		2,179
5.250% due 01/30/2007		9,800		9,761
CBA (de) Finance
5.245% due 01/31/2007		71,600		71,308
Danske Corp.
5.225% due 03/12/2007		67,700		66,980
5.255% due 01/18/2007		7,100		7,084
5.260% due 01/04/2007		2,000		2,000
IXIS Commercial Paper Corp.
5.240% due 02/16/2007		69,800		69,353
Rabobank USA Financial Corp.
5.280% due 01/02/2007		71,800		71,800
Skandinaviska Enskilda Banken AB
5.220% due 03/06/2007		71,600		70,900
Societe Generale NY
5.225% due 03/01/2007		5,700		5,653
5.245% due 01/08/2007		600		600
5.270% due 01/02/2007		52,700		52,700
UBS Finance Delaware LLC
5.245% due 01/08/2007		600		600
5.270% due 01/05/2007		77,100		77,077
Westpac Capital Corp.
5.245% due 01/17/2007		68,700		68,560
Westpac Trust Securities NZ Ltd.
5.250% due 02/06/2007		8,300		8,259
				670,931
Repurchase Agreements 1.0%
Lehman Brothers, Inc.
4.850% due 01/02/2007		27,000		27,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 4.500% due 02/28/2011 valued at $27,611. Repurchase proceeds are $27,015.)
Tri-Party Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 01/02/2007		5,605		5,605
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.000% due 03/10/2008 valued at $5,718. Repurchase proceeds are $5,608.)
U.S. Treasury Bills 0.3%
4.810% due 03/01/2007 - 03/15/2007 (a)(c)		6,482		6,412
Total Short-Term Instruments (Cost $710,122)				709,948
Purchased Options (e) 0.0% (Cost $40)				0
Total Investments (b) 102.8% (Cost $2,566,100)			$	2,691,010
Other Assets and Liabilities (Net) (2.8%)				(72,364	)
Net Assets 100.0%			$	2,618,646

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

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

(a) Coupon represents a weighted average rate.

(b) As of December 31, 2006, portfolio securities with an aggregate value of $18,242 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $6,412 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day HUFodollar December Futures	Long	12/2008	94	$	54
90-Day HUFodollar June Futures	Long	06/2009	943		285
90-Day HUFodollar September Futures	Long	09/2008	1,074		448
U.S. Treasury 5-Year Note March Futures	Long	03/2007	7,573		(4,001	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	568		(656	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	789		1,595
				$	(2,275	)

(d) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
ABN AMRO Bank, N.V.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.990	%	8/24/2014	$	8,125	$	1,308
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		4,600		13
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	8/20/2011		25,000		605
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	8/20/2011		25,000		614
Barclays Bank PLC	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.920	%	3/20/2013		5,000		230
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.170	%)	8/20/2016		14,000		(749	)
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.150	%)	8/20/2016		15,000		(783	)
Citibank N.A.	Multiple Reference Entities of Gazprom	Sell	1.060	%	4/20/2011		7,000		117
Citibank N.A.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011		4,550		77
Citibank N.A.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.580	%	12/20/2011		6,200		115
Citibank N.A.	Multiple Reference Entities of Gazprom	Sell	1.350	%	8/20/2016		10,000		264
Citibank N.A.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.290	%	12/20/2016		1,300		42
Credit Suisse First Boston	Brazilian Government International Bond 10.125% due 05/15/2027	Sell	8.250	%	3/11/2009		4,000		749
Credit Suisse First Boston	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.800	%	1/16/2013		4,000		535
Credit Suisse First Boston	Multiple Reference Entities of Gazprom	Sell	1.450	%	6/20/2013		5,500		167
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011		2,650		45
Goldman Sachs & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.700	%	3/20/2007		2,450		8
Goldman Sachs & Co.	RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	1.380	%	10/20/2011		5,000		70
Goldman Sachs & Co.	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.450	%	4/8/2013		3,500		389
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.320	%	2/20/2007		1,750		1
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.770	%	5/20/2007		2,700		9
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	1.000	%	4/20/2011		14,600		208
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.390	%	8/20/2011		25,000		636
JPMorgan Chase & Co.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.720	%	9/20/2011		5,300		138
JPMorgan Chase & Co.	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.840	%	1/4/2013		5,400		737
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.320	%	1/21/2014		12,000		1,371
JPMorgan Chase & Co.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.130	%	4/20/2016		51,250		1,133
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.190	%)	8/20/2016		14,000		(770	)
JPMorgan Chase & Co.	Cemex SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016		6,600		119
Lehman Brothers, Inc.	Philippine Government International Bond 8.250% due 01/15/2014	Buy	(2.850	%)	3/20/2008		5,000		(154	)
Lehman Brothers, Inc.	Philippine Government International Bond 8.250% due 01/15/2014	Buy	(2.470	%)	9/20/2008		10,000		(343	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.770	%	6/20/2011		7,250		262
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.430	%	7/20/2011		5,600		203
Lehman Brothers, Inc.	Ecuador Government International Bond 10.000% due 08/15/2030	Buy	(4.650	%)	10/20/2011		7,200		1,381
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.090	%	11/20/2011		9,800		103
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		72,350		729
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		16,500		171
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.840	%	8/20/2012		3,500		158
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.250	%	6/20/2013		5,600		176
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	2.020	%	7/20/2013		870		46
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.210	%	10/20/2013		32,000		603
Lehman Brothers, Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.550	%	3/20/2014		3,700		466
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.330	%	3/20/2016		2,500		59
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.220	%	4/20/2016		7,500		216
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.280	%	5/20/2016		7,400		132
Merrill Lynch & Co., Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.310	%	1/21/2014		1,350		153
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	4/20/2016		16,500		555
Morgan Stanley	Ecuador Government International Bond 10.000% due 08/15/2030	Buy	(2.420	%)	9/20/2008		13,300		2,096
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.410	%	11/20/2010		15,000		92
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	4/20/2011		41,800		983
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.770	%	4/20/2011		10,000		170
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.140	%	7/20/2011		700		16
Morgan Stanley	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.640	%	8/20/2011		6,200		197
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.040	%	10/20/2011		8,500		129
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.220	%	10/20/2011		6,350		113
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	3.050	%	6/18/2013		20,000		2,775
Morgan Stanley	Mexico Government International Bond 11.500% due 05/15/2026	Sell	1.770	%	12/20/2013		12,500		930
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.480	%	4/20/2016		19,000		637
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.350	%	8/20/2016		18,500		489
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.960	%	10/20/2016		3,000		123
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.410	%	12/20/2016		3,950		93
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.555	%	9/20/2011		2,000		38
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		19,000		196
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011		7,000		114
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.620	%	12/20/2011		8,000		163
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.360	%	9/20/2016		14,900		575
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.385	%	9/20/2016		3,100		125
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.480	%	9/20/2016		2,000		94
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.345	%	12/20/2016		16,575		602
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.430	%	12/20/2016		2,000		85
UBS AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.870	%	6/20/2011		4,600		185
								$	23,334

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount			Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	15.060	%	1/2/2009	BRL	12,500	$	240
Barclays Bank PLC	BRL-CDI-Compounded	Pay	15.125	%	1/2/2009		8,500		167
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	14.280	%	1/4/2010		16,200		283
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	15.160	%	1/2/2009		8,100		162
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	13.840	%	1/4/2010		63,500		834
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	14.360	%	1/4/2010		15,900		284
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	1/4/2010		168,200		515
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.720	%	10/6/2016	HUF	4,240,000		(1,389	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	8/3/2016	MXN	11,400		68
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	8/3/2016		11,400		67
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		1,305,600		6,333
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	9/22/2016		421,500		2,627
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		331,000		1,070
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	9/12/2016		20,000		130
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	4/17/2009		122,600		262
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		144,000		628
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	9.920	%	8/12/2015		69,000		868
								$	13,149

(e) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day HUFodollar March Futures	$	92.250	3/19/2007	4,221	$	40	$	0

(f) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	18,206	05/2007	$	159	$	0		$	159
Buy		39,952	06/2007		366		0			366
Buy	CLP	853,250	02/2007		16		0			16
Buy		633,000	05/2007		0		(14	)		(14	)
Buy		265,700	06/2007		0		(5	)		(5	)
Buy	CNY	95,437	03/2007		22		(1	)		21
Buy		24,681	09/2007		76		0			76
Sell	HUF	43,247	01/2007		0		(494	)		(494	)
Buy	IDR	60,156,000	02/2007		224		0			224
Buy	INR	131,630	03/2007		108		0			108
Buy		31,302	05/2007		6		0			6
Buy	JPY	1,780,705	01/2007		0		(49	)		(49	)
Sell		890,352	01/2007		16		0			16
Buy		3,874,947	02/2007		0		(437	)		(437	)
Buy	KRW	2,195,834	02/2007		58		0			58
Buy		9,647,787	03/2007		186		(6	)		180
Buy	MXN	7,802	01/2007		18		0			18
Buy		4,087	04/2007		9		0			9
Buy	PLN	30,702	04/2007		350		0			350
Buy	RUB	108,914	01/2007		50		0			50
Buy		12,875	03/2007		5		0			5
Buy		335,626	09/2007		74		(28	)		46
Buy		259,231	12/2007		0		(34	)		(34	)
Buy	SGD	6,349	01/2007		43		0			43
Buy		3,810	02/2007		31		0			31
Buy	TWD	86,110	01/2007		6		0			6
Sell		86,110	01/2007		3		0			3
Buy		91,177	02/2007		0		(34	)		(34	)
Buy		86,110	03/2007		0		(4	)		(4	)
Buy	ZAR	7,974	06/2007		6		0			6
				$	1,832	$	(1,106	)	$	726

See accompanying notes

Schedule of Investments

European StocksPLUS^® TR Strategy Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 6.3%
Banking & Finance 1.6%
Banque Centrale de Tunisie
7.375% due 04/25/2012	$	12	$	13
Merrill Lynch & Co., Inc.
5.464% due 08/14/2009		100		100
				113
Industrials 1.4%
Caesars Entertainment, Inc.
9.375% due 02/15/2007		100		101
Utilities 3.3%
BellSouth Corp.
5.474% due 08/15/2008		100		100
Embarq Corp.
6.738% due 06/01/2013		100		103
PSEG Energy Holdings LLC
8.625% due 02/15/2008		41		42
				245
Total Corporate Bonds & Notes (Cost $455)				459
U.S. GOVERNMENT AGENCIES 91.7%
Fannie Mae
4.000% due 08/01/2013		51		49
4.591% due 08/01/2035		69		69
4.638% due 10/01/2035		74		74
4.654% due 10/01/2035		75		75
4.724% due 10/01/2035		74		74
4.727% due 12/01/2034		56		55
4.843% due 02/01/2034		42		42
4.880% due 12/01/2035		81		81
5.000% due 03/01/2020 - 10/01/2020		1,358		1,336
5.497% due 07/01/2032		42		42
5.500% due 01/01/2037		700		692
5.958% due 06/01/2043		36		36
6.000% due 02/01/2037		2,500		2,516
6.500% due 01/01/2037		1,000		1,019
6.625% due 11/25/2023		87		90
Freddie Mac
3.000% due 05/15/2022		100		97
3.500% due 05/15/2022		74		73
4.000% due 06/15/2022		51		50
4.500% due 11/15/2013		100		99
5.000% due 12/15/2023		87		87
5.500% due 08/15/2030		1		1
5.550% due 10/15/2020		36		36
6.158% due 07/25/2044		47		47
Total U.S. Government Agencies (Cost $6,747)				6,740
MORTGAGE-BACKED SECURITIES 14.4%
Citigroup Mortgage Loan Trust, Inc.
4.900% due 10/25/2035		90		89
Countrywide Alternative Loan Trust
5.430% due 09/20/2046		83		83
Harborview Mortgage Loan Trust
5.570% due 05/19/2035		100		101
JPMorgan Chase Commercial Mortgage Securities Corp.
3.175% due 01/12/2037		1		1
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		93		93
Structured Asset Mortgage Investments, Inc.
5.420% due 08/25/2036		90		90
Washington Mutual, Inc.
5.610% due 11/25/2045		75		75
5.620% due 12/25/2027		43		43
5.770% due 09/25/2046		99		100
5.777% due 07/25/2046		95		95
5.777% due 08/25/2046		97		98
5.807% due 06/25/2046		92		93
Wells Fargo Mortgage-Backed Securities Trust
4.320% due 07/25/2035		100		98
Total Mortgage-Backed Securities (Cost $1,054)				1,059
ASSET-BACKED SECURITIES 16.7%
Ameriquest Mortgage Securities, Inc.
5.680% due 06/25/2034		34		34
Carrington Mortgage Loan Trust
5.390% due 05/25/2036		64		64
Citibank Credit Card Issuance Trust
5.435% due 03/20/2009		100		100
Citigroup Mortgage Loan Trust, Inc.
5.420% due 08/25/2036		61		61
5.650% due 11/25/2034		6		6
Countrywide Asset-Backed Certificates
5.370% due 12/25/2046		89		89
5.460% due 10/25/2046		95		95
Credit-Based Asset Servicing & Securitization LLC
5.450% due 08/25/2035		56		55
GSAMP Trust
5.420% due 02/25/2036		55		55
Home Equity Asset Trust
5.460% due 02/25/2036		36		36
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		87		87
Lehman XS Trust
5.430% due 07/25/2046		82		83
5.430% due 08/25/2046		86		86
Long Beach Mortgage Loan Trust
5.630% due 10/25/2034		47		47
Merrill Lynch Mortgage Investors, Inc.
5.410% due 04/25/2037		68		68
Newcastle Mortgage Securities Trust
5.420% due 03/25/2036		55		55
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		90		90
Structured Asset Securities Corp.
4.900% due 04/25/2035		62		60
Wachovia Student Loan Trust
5.357% due 10/25/2013		55		55
Total Asset-Backed Securities (Cost $1,222)				1,226
SOVEREIGN ISSUES 0.4%
Mexico Government International Bond
10.375% due 02/17/2009		20		22
Panama Government International Bond
9.625% due 02/08/2011		8		9
Total Sovereign Issues (Cost $31)				31
		Shares
PREFERRED STOCKS 0.2%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		17		17
Total Preferred Stocks (Cost $17)				17
EXCHANGE-TRADED FUNDS 0.8%
streetTRACKS Dow Jones EURO STOXX
50 Fund		1,108		60
Total Exchange-Traded Funds (Cost $50)				60
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 26.8%
Commercial Paper 23.1%
Bank of America Corp.
5.245% due 01/17/2007	$	100		100
5.250% due 03/15/2007		100		99
Barclays U.S. Funding Corp.
5.250% due 01/17/2007		100		100
CBA (de) Finance
5.250% due 03/07/2007		200		198
Dexia Delaware LLC
5.240% due 01/18/2007		100		100
Federal Home Loan Bank
4.800% due 01/02/2007		200		200
General Electric Capital Corp.
5.240% due 02/08/2007		300		298
Rabobank USA Financial Corp.
5.280% due 01/02/2007		200		200
Societe Generale NY
5.270% due 01/02/2007		300		300
Spintab AB
5.250% due 01/30/2007		100		99
				1,694
Repurchase Agreements 3.2%
State Street Bank and Trust Co.
4.900% due 01/02/2007		237		237
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.875% due 05/15/2007 valued at $246. Repurchase proceeds are $237.)
U.S. Treasury Bills 0.5%
4.801% due 03/15/2007 (a)(c)		35		35
Total Short-Term Instruments (Cost $1,966)				1,966
Purchased Options (e) 0.0% (Cost $0)				0
Total Investments (b) 157.3% (Cost $11,542)			$	11,558
Written Options (f) 0.0% (Premiums $2)				0
Other Assets and Liabilities (Net) (57.3%)				(4,210	)
Net Assets 100.0%			$	7,348

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

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

(a) Coupon represents a weighted average rate.

(b) As of December 31, 2006, portfolio securities with an aggregate value of $192 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $35 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Euribor September Futures	Long	09/2007	1	$	(1	)
90-Day Eurodollar December Futures	Long	12/2007	2		0
90-Day Eurodollar June Futures	Long	06/2007	3		0
90-Day Eurodollar June Futures	Long	06/2008	1		(1	)
90-Day Eurodollar September Futures	Long	09/2007	8		0
90-Day Eurodollar September Futures	Long	09/2008	1		(1	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	6		(4	)
				$	(7	)

(d) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate	Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	Dow Jones CDX N.A. IG7 Index	Buy	(0.400%)	12/20/2011	$	200	$	0
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055%	3/20/2008		100		0
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650%)	12/20/2016		100		0
							$	0

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	700	$	(3	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	12.860	%	1/4/2010	BRL	800		(1	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010		200		1
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016	MXN	1,000		3
Citibank N.A.	3-Month New Zealand Bank Bill	Pay	7.250	%	6/15/2009	NZD	700		(1	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	400		9
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		200		(2	)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		300		6
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2014		600		(5	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		200		4
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		700		(8	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		600		(8	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/18/2009		2,200		7
								$	2

Total Return Swaps

Counterparty	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized Appreciation
Goldman Sachs & Co.	Fresco Dow Jones Euro STOXX 50 ETF	1-Month USD-LIBOR less 0.250%	11/15/2007	134,861	$	39

(e) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CME 90-Day Eurodollar March Futures	$	92.250	3/19/2007	7	$	0	$	0

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 6.000% due 02/01/2037	$	86.750	2/5/2007	$	1,300	$	0	$	0

(f) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.600	%	1/2/2007	$	100	$	1	$	0
Put - OTC 10-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		100		1		0
									$	2	$	0

(g) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Notes	4.250	%	11/15/2013	$	300	$	297	$	294
U.S. Treasury Notes	4.750	%	5/15/2014		200		204		202
						$	501	$	496

⁽²⁾ Market value includes $4 of interest payable on short sales.

(h) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	4	02/2007	$	0	$	0		$	0
Buy	BRL	100	01/2007		1		0			1
Sell		100	01/2007		0		0			0
Buy		100	06/2007		0		0			0
Sell	CAD	57	01/2007		1		0			1
Buy	CNY	2,815	05/2007		1		0			1
Sell		1,423	05/2007		0		(3	)		(3	)
Sell	EUR	5,562	01/2007		2		(61	)		(59	)
Sell	GBP	22	01/2007		0		0			0
Buy	JPY	2,121	01/2007		0		0			0
Sell		4,413	01/2007		1		0			1
Buy		12,132	02/2007		0		(2	)		(2	)
Buy	MXN	308	01/2007		0		0			0
				$	6	$	(66	)	$	(60	)

See Accompanying Notes

Schedule of Investments

Extended Duration Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 4.7%
ABX Financing Co.
6.350% due 10/15/2036	$	10	$	10
American Express Centurion Bank
5.350% due 05/07/2008		30		30
Citigroup, Inc.
5.406% due 12/26/2008		10		10
Georgia-Pacific Corp.
7.750% due 11/15/2029		30		30
Intelsat Bermuda Ltd.
11.250% due 06/15/2016		30		33
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		30		31
Total Corporate Bonds & Notes (Cost $141)				144
U.S. GOVERNMENT AGENCIES 13.9%
Fannie Mae
4.000% due 02/25/2019		100		90
5.000% due 08/25/2033		35		29
5.500% due 04/25/2033 - 08/25/2035		76		73
6.000% due 12/25/2034		113		111
Federal Farm Credit Bank
5.750% due 12/07/2028		80		86
Freddie Mac
5.750% due 01/15/2033		3		3
8.250% due 06/01/2016		30		37
Total U.S. Government Agencies (Cost $423)				429
U.S. TREASURY OBLIGATIONS 108.7%
U.S. Treasury Strips
0.000% due 08/15/2023		700		310
0.000% due 02/15/2026		2,000		787
0.000% due 08/15/2026		800		306
0.000% due 11/15/2026		1,200		455
0.000% due 02/15/2027		1,000		375
0.000% due 08/15/2027		1,000		367
0.000% due 11/15/2027		1,000		363
0.000% due 08/15/2029		1,000		335
0.000% due 02/15/2036		200		51
Total U.S. Treasury Obligations (Cost $3,362)				3,349
MORTGAGE-BACKED SECURITIES 2.1%
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		26		26
Washington Mutual, Inc.
5.557% due 01/25/2047		10		10
5.777% due 10/25/2046		30		30
Total Mortgage-Backed Securities (Cost $66)				66
ASSET-BACKED SECURITIES 4.4%
Argent Securities, Inc.
5.370% due 10/25/2036		27		27
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		29		29
Bank One Issuance Trust
5.380% due 10/15/2009		10		10
Bear Stearns Asset-Backed Securities, Inc.
5.487% due 07/25/2036		28		28
Chase Credit Card Master Trust
5.460% due 10/15/2010		20		20
SLM Student Loan Trust
5.323% due 07/25/2013		20		20
Total Asset-Backed Securities (Cost $134)				134
SHORT-TERM INSTRUMENTS 7.3%
Certificates of Deposit 1.0%
Skandinaviska Enskilda Banken AB
5.272% due 07/06/2007		30		30
Repurchase Agreements 4.5%
State Street Bank and Trust Co.
4.900% due 01/02/2007		139		139
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $146. Repurchase proceeds are $139.)
U.S. Treasury Bills 1.8%
4.845% due 03/01/2007 - 03/15/2007 (a)(c)		55		55
Total Short-Term Instruments (Cost $223)				224
Purchased Options (d) 0.0% (Cost $2)				1
Total Investments (b) 141.1% (Cost $4,351)			$	4,347
Written Options (e) (0.2%) (Premiums $8)				(6	)
Other Assets and Liabilities (Net) (40.9%)				(1,259	)
Net Assets 100.0%			$	3,082

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

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

(a) Coupon represents a weighted average rate.

(b) As of December 31, 2006, portfolio securities with an aggregate value of $40 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $55 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2008	8	$	(3	)
90-Day Eurodollar September Futures	Long	09/2008	4		(1	)
U.S. Treasury 5-Year Note March Futures	Short	03/2007	12		8
U.S. Treasury 30-Year Bond March Futures	Long	03/2007	2		(5	)
				$	(1	)

(d) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 5-Year Note March Futures	$	108.500	2/23/2007	3	$	0	$	0
Call - CME 90-Day Eurodollar December Futures		95.500	12/17/2007	1		1		0
Call - CME 90-Day Eurodollar December Futures		96.250	12/17/2007	10		1		1
Put - CME 90-Day Eurodollar December Futures		94.500	12/17/2007	1		0		0
					$	2	$	1

(e) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	1	$	1	$	0
Call - CME 90-Day Eurodollar December Futures		95.250	12/17/2007	10		6		5
Call - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	1		0		0
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	1		0		1
Put - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	1		1		0
					$	8	$	6

(f) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(1)
U.S. Treasury Bonds	4.500	%	2/15/2036	$	180	$	173	$	175

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

(g) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized (Depreciation)
Buy	CNY	223	12/2007	$	0	$	0		$	0
Buy	EUR	23	01/2007		0		0			0
Buy	JPY	8,787	02/2007		0		(1	)		(1	)
				$	0	$	(1	)	$	(1	)

See accompanying notes

Schedule of Investments

East (ex-Japan) StocksPLUS^® TR Strategy Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 10.6%
Banking & Finance 6.3%
Bank of America Corp.
5.640% due 10/14/2016	$	100	$	101
Banque Centrale de Tunisie
7.375% due 04/25/2012		12		13
BNP Paribas
5.292% due 05/28/2008		100		100
Citigroup, Inc.
5.406% due 12/26/2008		100		100
Ford Motor Credit Co.
7.250% due 10/25/2011		50		49
Goldman Sachs Group, Inc.
5.455% due 12/22/2008		100		101
HSBC Finance Corp.
5.420% due 10/21/2009		100		100
JPMorgan Chase & Co.
5.416% due 06/26/2009		100		100
Morgan Stanley
5.499% due 02/15/2007		100		100
Nordea Bank Finland
5.308% due 05/28/2008		100		100
Rabobank Nederland
5.394% due 01/15/2009		100		100
Santander U.S. Debt S.A. Unipersonal
5.426% due 11/20/2009		100		100
5.428% due 02/06/2009		100		100
				1,164
Industrials 1.6%
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		100		101
Omnicom Group, Inc.
5.900% due 04/15/2016		100		101
Xerox Capital Trust I
8.000% due 02/01/2027		100		102
				304
Utilities 2.7%
BellSouth Corp.
5.474% due 08/15/2008		200		200
Embarq Corp.
6.738% due 06/01/2013		200		205
NRG Energy, Inc.
7.375% due 02/01/2016		100		101
				506
Total Corporate Bonds & Notes (Cost $1,966)				1,974
U.S. GOVERNMENT AGENCIES 119.3%
Fannie Mae
4.000% due 08/01/2013		101		98
4.190% due 11/01/2034		73		72
4.591% due 08/01/2035		68		69
4.638% due 10/01/2035		74		74
4.654% due 10/01/2035		75		75
4.707% due 09/01/2035		89		88
4.724% due 10/01/2035		74		73
4.843% due 02/01/2034		42		41
4.880% due 12/01/2035		162		162
5.000% due 01/01/2020 - 01/01/2022		1,341		1,319
5.497% due 07/01/2032		42		42
5.500% due 02/01/2034 - 04/01/2036		4,552		4,502
5.700% due 05/25/2042 - 09/25/2042		170		171
5.958% due 09/01/2044 - 10/01/2044		396		399
6.000% due 02/01/2037		10,000		10,066
6.500% due 01/01/2037		4,000		4,076
6.625% due 11/25/2023		87		90
Freddie Mac
3.500% due 01/15/2023		282		277
4.742% due 09/01/2035		86		85
5.000% due 08/15/2020		400		396
5.500% due 08/15/2030		1		1
5.550% due 10/15/2020		36		36
Total U.S. Government Agencies (Cost $22,226)				22,212
U.S. TREASURY OBLIGATIONS 0.7%
U.S. Treasury Bonds
8.125% due 08/15/2019		100		131
Total U.S. Treasury Obligations (Cost $135)				131
MORTGAGE-BACKED SECURITIES 15.0%
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		88		87
Bear Stearns Alt-A Trust
5.840% due 11/25/2036		96		96
Citigroup Mortgage Loan Trust, Inc.
4.900% due 10/25/2035		269		266
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		64		63
5.510% due 02/25/2047		99		100
5.560% due 03/20/2046		85		85
5.630% due 02/25/2037		89		89
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		85		84
CSAB Mortgage-Backed Trust
5.450% due 06/25/2036		109		110
Downey Savings & Loan Association Mortgage Loan Trust
6.953% due 07/19/2044		25		26
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		88		88
GSR Mortgage Loan Trust
5.500% due 11/25/2035		78		78
Harborview Mortgage Loan Trust
5.590% due 03/19/2037		95		95
JPMorgan Chase Commercial Mortgage Securities Corp.
3.175% due 01/12/2037		1		1
LB-UBS Commercial Mortgage Trust
2.720% due 03/15/2027		49		48
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		186		186
Mellon Residential Funding Corp.
5.700% due 11/15/2031		106		106
5.790% due 12/15/2030		79		79
Structured Adjustable Rate Mortgage Loan Trust
6.227% due 01/25/2035		67		68
Structured Asset Mortgage Investments, Inc.
5.570% due 05/25/2036		95		95
5.630% due 02/25/2036		88		88
Structured Asset Securities Corp.
5.000% due 12/25/2034		131		130
Washington Mutual, Inc.
5.557% due 01/25/2047		100		100
5.777% due 07/25/2046		190		191
5.777% due 08/25/2046		194		195
5.807% due 06/25/2046		184		185
5.954% due 05/25/2041		49		49
Total Mortgage-Backed Securities (Cost $2,780)				2,788
ASSET-BACKED SECURITIES 26.7%
ACE Securities Corp.
5.420% due 12/25/2035		47		47
5.430% due 02/25/2036		55		55
5.500% due 12/25/2035		100		100
Ameriquest Mortgage Securities, Inc.
5.430% due 03/25/2036		27		27
Argent Securities, Inc.
5.390% due 06/25/2036		112		112
5.430% due 03/25/2036		44		44
Asset-Backed Funding Certificates
5.380% due 01/25/2037		98		98
Bank One Issuance Trust
5.380% due 10/15/2009		100		100
5.460% due 01/15/2010		100		100
Bear Stearns Asset-Backed Securities, Inc.
5.420% due 02/25/2036		14		14
5.430% due 12/25/2035		31		31
Carrington Mortgage Loan Trust
5.400% due 01/25/2037		100		100
Centex Home Equity
5.400% due 06/25/2036		134		134
5.460% due 10/25/2035		11		11
Citigroup Mortgage Loan Trust, Inc.
5.420% due 08/25/2036		121		121
5.430% due 12/25/2035		39		39
Countrywide Asset-Backed Certificates
5.370% due 12/26/2036		100		100
5.380% due 01/25/2046		160		160
5.400% due 01/25/2037		162		162
5.400% due 05/25/2037		198		198
5.480% due 07/25/2036		53		53
5.510% due 02/25/2036		45		45
Credit-Based Asset Servicing & Securitization LLC
5.410% due 11/25/2036		98		98
5.450% due 08/25/2035		83		83
DaimlerChrysler Auto Trust
5.329% due 12/08/2007		100		100
First Franklin Mortgage Loan Asset-Backed Certificates
5.420% due 01/25/2036		55		55
First NLC Trust
5.470% due 02/25/2036		155		155
GSAMP Trust
5.420% due 01/25/2036		46		46
5.440% due 11/25/2035		50		50
GSR Mortgage Loan Trust
5.450% due 11/25/2030		38		38
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		100		100
5.700% due 09/20/2033		23		24
Home Equity Asset Trust
5.430% due 05/25/2036		60		60
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		99		99
5.430% due 12/25/2035		55		55
Indymac Residential Asset-Backed Trust
5.410% due 04/25/2037		100		100
5.440% due 03/25/2036		53		53
JPMorgan Mortgage Acquisition Corp.
5.360% due 08/25/2036		142		143
5.400% due 10/25/2036		97		97
5.420% due 05/25/2035		16		16
Lehman XS Trust
5.430% due 07/25/2046		165		165
5.440% due 05/25/2046		76		76
Long Beach Mortgage Loan Trust
5.410% due 04/25/2036		52		52
5.440% due 01/25/2036		93		93
5.630% due 10/25/2034		94		94
MASTR Asset-Backed Securities Trust
5.410% due 11/25/2036		100		100
5.460% due 11/25/2035		39		40
MBNA Credit Card Master Note Trust
5.460% due 08/17/2009		100		100
Merrill Lynch Mortgage Investors, Inc.
5.420% due 08/25/2036		100		100
Morgan Stanley ABS Capital I
5.390% due 07/25/2036		157		157
Nelnet Student Loan Trust
5.338% due 09/25/2012		100		100
5.370% due 08/23/2011		52		52
Newcastle Mortgage Securities Trust
5.420% due 03/25/2036		110		110
Popular ABS Mortgage Pass-Through Trust
5.460% due 09/25/2035		22		22
Residential Asset Mortgage Products, Inc.
5.430% due 01/25/2036		86		86
Residential Asset Securities Corp.
5.430% due 01/25/2036		51		51
5.440% due 01/25/2036		41		41
Securitized Asset-Backed Receivables LLC Trust
5.420% due 10/25/2035		32		32
5.470% due 01/25/2036		5		5
Soundview Home Equity Loan Trust
5.410% due 01/25/2037		100		100
5.420% due 02/25/2036		22		22
Structured Asset Securities Corp.
4.900% due 04/25/2035		62		60
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		100		100
Total Asset-Backed Securities (Cost $4,979)				4,981
SOVEREIGN ISSUES 0.2%
Mexico Government International Bond
10.375% due 02/17/2009		20		22
Panama Government International Bond
9.625% due 02/08/2011		8		9
Ukraine Government International Bond
11.000% due 03/15/2007		2		2
Total Sovereign Issues (Cost $33)				33
FOREIGN CURRENCY-DENOMINATED ISSUES 0.5%
Province of Quebec Canada
5.000% due 12/01/2038	CAD	100		90
Total Foreign Currency-Denominated Issues (Cost $91)				90
	Shares
PREFERRED STOCKS 0.2%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		44		45
Total Preferred Stocks (Cost $45)				45
EXCHANGE-TRADED FUNDS 2.1%
iShares MSCI Hong Kong Index Fund		7,509		120
iShares MSCI Malaysia Index Fund		1,317		12
iShares MSCI Singapore Index Fund		835		9
iShares MSCI South Korea Index Fund		822		41
iShares MSCI Taiwan Index Fund		14,392		209
Total Exchange-Traded Funds (Cost $329)				391
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 5.1%
Commercial Paper 2.7%
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007	$	100		97
UBS Finance Delaware LLC
5.225% due 03/08/2007		400		396
				493
Repurchase Agreements 1.8%
State Street Bank and Trust Co.
4.900% due 01/02/2007		341		341
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $352. Repurchase proceeds are $341.)
U.S. Treasury Bills 0.6%
4.813% due 03/15/2007 (a)(c)		115		114
Total Short-Term Instruments (Cost $949)				948
Purchased Options (e) 0.0% (Cost $3)				1
Total Investments (b) 180.4% (Cost $33,536)			$	33,594
Written Options (f) (0.0%) (Premiums $6)				(1	)
Other Assets and Liabilities (Net) (80.4%)				(14,967	)
Net Assets 100.0%			$	18,626

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

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

(a) Coupon represents a weighted average rate.

(b) As of December 31, 2006, portfolio securities with an aggregate value of $1,053 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $114 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor September Futures	Long	09/2007	3	$	(3	)
90-Day Eurodollar December Futures	Long	12/2007	11		(1	)
90-Day Eurodollar June Futures	Long	06/2007	3		0
90-Day Eurodollar June Futures	Long	06/2008	2		(1	)
90-Day Eurodollar September Futures	Long	09/2007	20		(1	)
90-Day Eurodollar September Futures	Long	09/2008	2		(1	)
Euro-Bobl 5-Year Note March Futures	Short	03/2007	2		4
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	23		(18	)
				$	(21	)

(d) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008	$	100	$	0
Citibank N.A.	Bank of America Corp. floating rate based on 3-Month USD-LIBOR plus 0.260% due 10/14/2016	Buy	(0.170	%)	12/20/2016		100		0
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		100		0
Deutsche Bank AG	Dow Jones CDX N.A. IG7 Index	Buy	(0.400	%)	12/20/2011		400		0
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Buy	(0.143	%)	12/20/2012		300		0
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Sell	0.458	%	12/20/2015		200		0
Morgan Stanley	Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.390	%)	6/20/2016		100		(1	)
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		300		1
								$	0

(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	2,100	$	(9	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	12.860	%	1/4/2010	BRL	1,700		(3	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010		1,200		6
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014	EUR	300		(3	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		200		11
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035	GBP	200		5
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016	MXN	3,000		8
Citibank N.A.	3-Month New Zealand Bank Bill	Pay	7.250	%	6/15/2009	NZD	2,000		(4	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012	$	200		(2	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		1,800		(20	)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		600		13
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2014		1,200		(10	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		100		(1	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		200		(4	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		100		(2	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		800		(9	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		700		(14	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/18/2009		3,600		11
								$	(27	)

Total Return Swaps

Counterparty	Receive Total Return	Pay	Expiration Date	# of Units		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	iShares MSCI Hong Kong Index Fund	1-Month USD-LIBOR less 0.250%	11/15/2007	286,630	$	74
Goldman Sachs & Co.	iShares MSCI Malaysia Index Fund	1-Month USD-LIBOR less 0.250%	11/15/2007	161,137		(10	)
Goldman Sachs & Co.	iShares MSCI Singapore Index Fund	1-Month USD-LIBOR less 0.250%	11/15/2007	188,263		33
Goldman Sachs & Co.	iShares MSCI South Korea Index Fund	1-Month USD-LIBOR less 0.250%	11/15/2007	99,575		(27	)
Goldman Sachs & Co.	iShares MSCI Taiwan Index Fund	1-Month USD-LIBOR less 0.250%	11/15/2007	203,231		89
					$	159

(e) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Cost

Value

Call - OTC 1-Year Interest Rate Swap

Royal Bank of Scotland Group PLC

3-Month USD-LIBOR

Pay

4.850

%

7/2/2007

$

1,100

$

3

$

1

(f) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.600	%	1/2/2007	$	200	$	2	$	0
Put - OTC 10-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		200		2		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		200		2		1
									$	6	$	1

(g) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	1/1/2037	$	4,000	$	3,990	$	3,954
Fannie Mae	6.000	%	1/1/2037		5,000		5,039		5,035
U.S. Treasury Notes	4.250	%	11/15/2013		300		298		294
U.S. Treasury Notes	4.750	%	5/15/2014		200		204		202
						$	9,531	$	9,485

(2) Market value includes $4 of interest payable on short sales.

(h) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	10	02/2007	$	0	$	0		$	0
Buy	BRL	300	01/2007		2		0			2
Sell		300	01/2007		0		(1	)		(1	)
Buy		300	06/2007		1		0			1
Sell	CAD	273	01/2007		4		0			4
Buy	CNY	6,264	05/2007		2		0			2
Sell		2,962	05/2007		0		(6	)		(6	)
Buy		1,214	11/2007		1		0			1
Sell	EUR	5	01/2007		0		0			0
Sell	GBP	66	01/2007		0		0			0
Buy	HKD	46,560	01/2007		0		(5	)		(5	)
Sell		87,052	01/2007		10		0			10
Buy	JPY	5,531	01/2007		0		0			0
Sell		11,838	01/2007		1		0			1
Buy		31,447	02/2007		0		(4	)		(4	)
Buy	KRW	2,975,000	02/2007		73		0			73
Sell		8,103,795	02/2007		1		(238	)		(237	)
Buy	MXN	914	01/2007		2		0			2
Sell	MYR	5,406	02/2007		0		(45	)		(45	)
Buy	SGD	510	01/2007		1		0			1
Sell		4,044	01/2007		0		(11	)		(11	)
Buy	TWD	62,400	02/2007		3		(5	)		(2	)
Sell		174,155	02/2007		55		(5	)		50
				$	156	$	(320	)	$	(164	)

See accompanying notes

Schedule of Investments

Floating Income Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 4.2%
AES Corp.
6.750% due 04/30/2008	$	1,000		$	1,003
7.500% due 08/10/2011		1,000			1,003
AGCO Corp.
7.117% due 06/15/2009		631			633
Alderwoods Group, Inc.
7.320% due 09/17/2008		868			869
Allied Waste North America, Inc.
5.322% due 01/15/2012		1,655			1,660
7.120% due 01/15/2012		706			707
7.130% due 01/15/2012		605			606
7.170% due 01/15/2012		2,067			2,072
7.270% due 01/15/2012		706			708
Appleton Papers, Inc.
7.640% due 06/11/2010		121			121
7.650% due 06/11/2010		114			115
Bantan Corp.
7.110% due 11/20/2013		1,000			1,002
Celanese Corp.
5.320% due 07/27/2009		2,000			2,015
7.367% due 04/06/2011		926			929
Centennial Cellular Operating Co. LLC
7.617% due 02/09/2011		857			865
7.620% due 01/20/2011		66			67
Charter Communications Operating LLC
8.005% due 04/25/2013		1,000			1,008
Cognis Deutschland GmbH & Co. KG
7.670% due 05/12/2011		855			856
Cooper Standard Automotive, Inc.
7.875% due 12/31/2011		2,367			2,373
Covanta Energy Corp.
5.371% due 06/24/2012		520			525
7.570% due 06/30/2012		41			41
7.621% due 06/30/2012		331			335
DaVita, Inc.
7.350% due 10/05/2012		429			431
7.370% due 10/05/2012		92			92
7.380% due 10/05/2012		1,668			1,679
7.690% due 10/05/2012		390			393
DirecTV Holdings LLC
6.850% due 04/08/2013		992			995
Dresser-Rand Group, Inc.
7.350% due 10/29/2011		235			237
7.360% due 10/29/2011		252			254
El Paso Corp.
5.650% due 06/15/2009		2,000			1,970
Energy Transfer Equity LP
7.100% due 11/01/2012		5,000			5,002
Ford Motor Co.
8.360% due 11/29/2013		15,000			15,009
Freescale Semiconductor, Inc.
7.369% due 11/28/2013		3,000			3,002
General Motors Acceptance Corp.
7.745% due 11/27/2013		2,000			2,004
Georgia-Pacific Corp.
7.300% due 12/20/2012		5,333			5,364
7.350% due 12/20/2012		333			335
7.367% due 12/20/2012		1,281			1,288
Goodyear Tire & Rubber Co.
7.954% due 04/30/2010		5,000			5,068
Hanesbrands, Inc.
7.600% due 10/15/2013		571			578
7.688% due 10/15/2013		3,429			3,465
HCA, Inc.
8.114% due 11/14/2013		10,000			10,122
Headwaters, Inc.
7.500% due 04/30/2011		1,161			1,156
HealthSouth Corp.
8.580% due 02/02/2013		3,483			3,510
Hercules, Inc.
6.867% due 10/08/2010		23			23
6.870% due 10/08/2010		564			565
Hertz Corp.
5.390% due 12/21/2012		447			451
7.350% due 12/21/2012		3,553			3,581
Idearc, Inc.
7.320% due 11/09/2014		3,000			3,019
Ineos Group Holdings PLC
7.339% due 10/07/2013		2,228			2,254
7.339% due 10/07/2014		2,228			2,263
7.615% due 10/07/2013		23			23
8.115% due 10/07/2014		23			23
Jarden Corp.
7.367% due 01/21/2012		4,055			4,066
Jean Coutu Group, Inc.
7.938% due 07/30/2011		1,794			1,799
K&F Acquisition, Inc.
7.320% due 11/18/2012		775			779
7.350% due 11/18/2012		445			447
Kinetic Concepts, Inc.
7.120% due 08/11/2010		687			689
Lukoil Finance Ltd.
6.050% due 01/11/2009		10,000			9,947
Masonite International Corp.
7.364% due 04/06/2013		3			3
7.367% due 04/06/2013		5			5
7.380% due 04/06/2013		1,468			1,442
Mediacom Communications Corp.
6.870% due 02/28/2014		545			544
7.020% due 02/28/2014		727			725
7.120% due 02/28/2014		727			725
Metro-Goldwyn-Mayer, Inc.
7.749% due 04/08/2011		2,976			2,949
7.749% due 04/08/2012		5,970			5,921
Nalco Co.
7.100% due 11/01/2010		432			434
7.110% due 11/04/2010		480			482
7.300% due 11/01/2010		416			418
Neiman-Marcus Group, Inc.
7.600% due 04/06/2013		344			347
7.602% due 04/06/2013		2,884			2,907
Nortek, Inc.
7.360% due 08/24/2011		1,965			1,964
Novelis, Inc.
7.620% due 01/07/2012		1,005			1,008
NRG Energy, Inc.
7.325% due 02/01/2013		1,000			1,006
7.367% due 02/01/2013		2,000			2,013
PanAmSat Corp.
7.633% due 06/30/2011		792			796
8.008% due 01/03/2014		1,648			1,666
Penn National Gaming, Inc.
7.020% due 05/26/2012		619			623
7.120% due 05/26/2012		52			53
7.130% due 05/26/2012		2,291			2,305
PP Acquisition Corp.
8.320% due 11/12/2011		443			447
Primedia, Inc.
7.570% due 09/30/2013		1,188			1,186
Qwest Corp.
6.950% due 06/30/2010		2,000			2,048
Reliant Energy, Inc.
5.000% due 12/01/2010		857			864
7.725% due 12/01/2010		1,143			1,152
Renal Advantage, Inc.
7.890% due 10/06/2012		4,000			4,030
Rental Service Corp.
7.100% due 11/21/2013		1,920			1,931
7.110% due 11/21/2013		160			160
7.120% due 11/21/2013		1,920			1,931
Rexel S.A.
6.904% due 11/03/2013		1,365			1,376
7.741% due 04/10/2014		1,365			1,382
Reynolds American, Inc.
7.104% due 05/31/2012		1,371			1,382
7.188% due 05/31/2012		1,048			1,057
7.250% due 05/31/2012		68			69
RH Donnelley, Inc.
6.850% due 06/30/2011		233			232
6.860% due 06/30/2011		243			243
6.870% due 06/30/2011		442			442
6.890% due 06/30/2011		146			146
6.900% due 06/30/2011		292			291
Roundy’s Supermarket, Inc.
7.870% due 11/01/2011		2,500			2,526
8.330% due 11/01/2011		2,450			2,475
8.350% due 10/27/2011		12			13
Shackleton Re Ltd.
12.968% due 08/01/2008		2,000			2,000
13.468% due 08/01/2008		500			507
Simmons Bedding Co.
6.875% due 12/19/2011		463			466
7.375% due 12/19/2011		332			334
7.812% due 12/19/2011		66			67
Smurfit-Stone Container Enterprises, Inc.
5.234% due 11/01/2010		87			88
7.625% due 11/01/2010		68			68
7.625% due 11/01/2011		494			498
Solar Capital Corp.
7.875% due 02/11/2013		2,962			2,995
Telcordia Technologies, Inc.
8.110% due 09/09/2012		8			7
8.120% due 09/09/2012		2,948			2,902
Tenneco, Inc.
7.320% due 12/12/2010		656			661
7.360% due 12/12/2010		1,656			1,667
Travelport
8.367% due 08/01/2013		446			448
8.367% due 08/22/2013		4,554			4,571
UGS Corp.
7.485% due 03/31/2012		2,035			2,036
Universal City Development Partners
7.350% due 06/09/2012		6			6
7.360% due 06/09/2012		11			11
7.380% due 06/09/2012		364			365
7.510% due 06/09/2012		545			548
UPC Financing Partnership
7.640% due 03/31/2013		1,000			1,002
7.640% due 12/31/2013		1,000			1,002
VNU/Nielson Finance LLC
8.125% due 08/08/2013		5,000			5,041
Warner Chilcott Corp.
7.617% due 01/18/2012		762			767
7.860% due 01/18/2012		73			73
7.968% due 01/18/2012		581			584
WMG Acquisition Corp.
7.370% due 02/27/2011		1,459			1,466
7.374% due 02/28/2011		139			140
7.376% due 02/27/2011		274			275
7.409% due 02/27/2011		87			87
Worldspan LP
8.125% due 02/11/2010		93			94
8.125% due 02/16/2010		17			17
8.188% due 02/11/2010		743			745
8.375% due 02/16/2010		33			33
Xerium Technologies, Inc.
7.617% due 05/18/2012		1,361			1,360
Total Bank Loan Obligations					198,046
(Cost $197,752)
CORPORATE BONDS & NOTES 33.7%
Banking & Finance 19.2%
American Express Bank FSB
5.410% due 06/22/2009		2,400			2,402
American Express Centurion Bank
5.350% due 05/07/2008		3,500			3,502
American Express Credit Corp.
5.410% due 05/19/2009		1,950			1,952
American International Group, Inc.
5.365% due 06/23/2008		6,400			6,404
5.484% due 10/18/2011		5,000			5,011
Asahi Finance Cayman Ltd.
5.700% due 12/31/2049		2,000			2,013
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014		500			497
Banco Nacional de Comercio Exterior SNC
3.875% due 01/21/2009		2,630			2,548
Banco Nacional de Desenvolvimento Economico e Social
5.167% due 06/16/2008		12,750			12,654
Banco Santander Chile
5.703% due 12/09/2009		5,500			5,525
Bank of America Corp.
5.372% due 09/25/2009		11,000			11,010
5.378% due 11/06/2009		3,300			3,302
Bank of America N.A.
5.361% due 12/18/2008		12,900			12,900
5.377% due 07/25/2008		17,100			17,115
Bank of Ireland
5.415% due 12/18/2009		16,000			15,979
Banque Centrale de Tunisie
7.500% due 09/19/2007		3,000			3,051
Bear Stearns Cos., Inc.
5.454% due 03/30/2009		14,300			14,324
5.606% due 01/31/2011		7,500			7,532
5.623% due 09/09/2009		1,680			1,689
5.676% due 01/30/2009		15,600			15,679
5.966% due 09/27/2007		650			653
BNP Paribas
5.292% due 05/28/2008		20,800			20,804
C5 Capital SPV Ltd.
6.196% due 12/01/2049		500			501
C10 Capital SPV Ltd.
6.722% due 12/01/2049		4,400			4,405
Calabash Re II Ltd.
16.246% due 01/08/2010 (a)		3,000			3,002
Caterpillar Financial Services Corp.
5.422% due 10/09/2009		10,000			10,011
5.426% due 08/11/2009		4,400			4,402
5.435% due 05/18/2009		5,000			5,009
CIT Group, Inc.
5.435% due 12/19/2007		5,100			5,107
5.526% due 01/30/2009		11,350			11,383
5.595% due 05/18/2007		100			100
5.595% due 09/20/2007		7,000			7,013
Citigroup, Inc.
5.392% due 12/28/2009		25,000			25,014
5.406% due 12/26/2008		6,600			6,607
5.465% due 05/18/2011		5,000			5,006
DnB NORBank ASA
5.443% due 10/13/2009		5,800			5,802
El Paso Performance-Linked Trust
7.750% due 07/15/2011		2,300			2,444
Export-Import Bank of Korea
4.125% due 02/10/2009		3,149			3,079
4.250% due 11/27/2007		9,042			8,946
4.250% due 11/06/2008		1,714			1,681
4.500% due 08/12/2009		5,500			5,395
5.615% due 11/16/2010		2,500			2,504
Ford Motor Credit Co.
6.944% due 01/15/2010		2,500			2,447
7.250% due 10/25/2011		15,000			14,704
7.375% due 02/01/2011		7,890			7,817
8.000% due 12/15/2016		11,710			11,591
8.110% due 01/13/2012		5,000			4,961
8.371% due 11/02/2007		5,000			5,079
Fortis Bank
5.265% due 04/28/2008		4,600			4,601
Foundation Re II Ltd.
12.123% due 11/26/2010		3,700			3,700
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		7,000			7,205
General Electric Capital Corp.
5.410% due 03/04/2008		2,500			2,503
5.410% due 10/26/2009		4,700			4,702
5.430% due 10/06/2010		25,000			25,023
5.434% due 05/10/2010		8,500			8,510
5.474% due 10/21/2010		4,500			4,510
5.476% due 04/30/2009		1,500			1,503
5.555% due 11/21/2011		2,000			2,010
5.620% due 09/15/2014		450			454
General Motors Acceptance Corp.
6.125% due 08/28/2007		4,000			4,001
6.274% due 01/16/2007		2,500			2,500
Genworth Global Funding Trusts
5.420% due 02/10/2009		2,400			2,403
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		8,500			8,503
5.455% due 12/22/2008		9,700			9,717
5.455% due 11/16/2009		9,000			9,009
5.456% due 06/23/2009		4,700			4,706
5.464% due 03/30/2007		1,500			1,501
5.464% due 11/10/2008		4,000			4,008
5.476% due 07/29/2008		6,300			6,313
5.704% due 07/23/2009		4,135			4,164
5.770% due 10/07/2011		2,000			2,023
HBOS Treasury Services PLC
5.350% due 07/17/2008		2,000			2,001
5.410% due 12/08/2010		35,000			35,026
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		8,075			8,547
HSBC Bank USA N.A.
5.435% due 09/21/2007		1,400			1,402
HSBC Finance Corp.
5.375% due 05/21/2008		6,300			6,303
5.420% due 10/21/2009		6,400			6,406
5.490% due 09/15/2008		3,000			3,009
5.525% due 02/09/2007		125			125
5.624% due 05/10/2010		10,000			10,056
5.655% due 11/16/2009		4,500			4,532
6.538% due 11/13/2007		3,200			3,221
Hutchison Whampoa Finance CI Ltd.
6.950% due 08/01/2007		1,500			1,513
Industry & Construction Bank St Petersburg OJSC
6.875% due 07/29/2008		2,100			2,138
Intergas Finance BV
6.875% due 11/04/2011		900			933
International Lease Finance Corp.
5.774% due 01/15/2010		4,500			4,540
John Deere Capital Corp.
5.424% due 04/15/2008		5,300			5,306
JPMorgan Chase & Co.
5.400% due 06/26/2009		3,300			3,303
5.446% due 06/25/2010		13,500			13,519
Lehman Brothers Holdings, Inc.
5.415% due 12/23/2008		11,600			11,605
5.464% due 10/22/2008		3,000			3,005
5.464% due 01/23/2009		4,400			4,408
5.475% due 11/16/2009		7,000			7,005
Majapahit Holding BV
7.250% due 10/17/2011		2,100			2,166
Malaysia Global Sukuk, Inc.
6.590% due 07/03/2007		6,700			6,749
MBNA Europe Funding PLC
5.450% due 09/07/2007		5,000			5,004
Merrill Lynch & Co., Inc.
5.395% due 12/22/2008		4,900			4,901
5.414% due 10/23/2008		4,300			4,303
5.464% due 08/14/2009		12,000			12,013
5.466% due 01/30/2009		4,900			4,908
Morgan Stanley
5.390% due 11/21/2008		5,500			5,503
5.499% due 02/15/2007		5,600			5,601
5.499% due 01/18/2008		2,000			2,004
5.512% due 01/12/2007		442			442
5.614% due 01/22/2009		10,500			10,510
5.624% due 01/18/2011		5,000			5,021
5.654% due 01/15/2010		3,500			3,521
Mystic Re Ltd.
11.670% due 12/05/2008		2,500			2,499
14.370% due 12/05/2008		1,900			1,899
National Australia Bank Ltd.
5.393% due 09/11/2009		10,400			10,410
Nordea Bank Finland
5.308% due 05/28/2008		20,800			20,807
Osiris Capital PLC
10.360% due 01/15/2010		2,000			2,011
Pemex Finance Ltd.
8.020% due 05/15/2007		833			835
8.450% due 02/15/2007		90			91
9.690% due 08/15/2009		715			773
Petroleum Export Ltd.
5.265% due 06/15/2011		4,891			4,783
Petroleum Export Ltd. II
6.340% due 06/20/2011		2,701			2,654
RBS Capital Trust III
5.512% due 09/29/2049		3,700			3,663
Redwood Capital IX Ltd.
12.114% due 01/09/2008		4,100			4,103
RSHB Capital AG S.A. for OJSC Russian Agricultural Bank
6.875% due 11/29/2010		1,000			1,028
Santander U.S. Debt S.A. Unipersonal
5.425% due 09/19/2008		1,100			1,102
5.426% due 11/20/2009		7,000			7,005
Shackleton Re Ltd.
13.376% due 02/07/2008		500			504
Sistema Finance S.A.
10.250% due 04/14/2008		1,500			1,577
Skandinav Enskilda BK
5.330% due 02/04/2008		3,000			3,001
SLM Corp.
5.457% due 01/25/2008		9,000			9,011
5.577% due 01/26/2009		5,700			5,723
5.587% due 07/25/2008		500			502
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,500			1,526
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		7,900			7,904
Unicredito Italiano NY
5.360% due 05/06/2008		6,500			6,500
5.370% due 05/29/2008		17,300			17,305
Universal City Florida Holding Co. I
10.121% due 05/01/2010		3,200			3,320
Ventas Realty LP
6.750% due 06/01/2010		3,000			3,105
8.750% due 05/01/2009		5,758			6,147
Vita Capital III Ltd.
6.466% due 01/01/2011		9,300			9,298
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		8,900			8,916
6.115% due 09/21/2007		32,300			32,396
8.276% due 07/30/2007		2,200			2,237
Wachovia Corp.
5.426% due 10/28/2008		2,000			2,003
5.480% due 03/15/2011		5,000			5,012
5.506% due 10/15/2011		8,700			8,717
Wells Fargo & Co.
5.426% due 03/23/2010		5,000			5,008
5.460% due 09/15/2009		4,900			4,912
5.472% due 01/12/2011		6,900			6,912
Wells Fargo Capital X
5.950% due 12/15/2036		1,700			1,672
Westpac Banking Corp.
5.310% due 06/06/2008		7,800			7,802
World Savings Bank FSB
5.415% due 06/20/2008		2,000			2,004
5.495% due 03/02/2009		5,800			5,819
					897,170
Industrials 9.7%
Abitibi-Consolidated, Inc.
8.860% due 06/15/2011		2,350			2,244
Albertson’s, Inc.
6.950% due 08/01/2009		10,000			10,256
Allied Waste North America, Inc.
8.500% due 12/01/2008		7,284			7,694
Anadarko Petroleum Corp.
5.760% due 09/15/2009		11,000			11,053
Boise Cascade LLC
8.249% due 10/15/2012		3,000			3,022
Bowater, Inc.
8.360% due 03/15/2010		2,500			2,538
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		1,000			1,006
Cablevision Systems Corp.
9.870% due 04/01/2009		6,600			6,996
Caesars Entertainment, Inc.
7.500% due 09/01/2009		5,000			5,191
8.875% due 09/15/2008		4,500			4,702
9.375% due 02/15/2007		430			432
CCO Holdings LLC
9.485% due 12/15/2010		4,000			4,100
Comcast Cable Communications, Inc.
6.750% due 01/30/2011		5,000			5,244
Comcast Corp.
5.900% due 03/15/2016		2,900			2,913
Cox Communications, Inc.
5.910% due 12/14/2007		6,000			6,027
CSC Holdings, Inc.
7.250% due 07/15/2008		1,450			1,470
7.875% due 12/15/2007		351			356
CSN Iron S.A.
9.125% due 06/01/2007		1,000			1,012
CSN Islands VII Corp.
10.750% due 09/12/2008		5,986			6,480
DaimlerChrysler N.A. Holding Corp.
5.600% due 03/07/2007		4,000			4,001
5.790% due 03/13/2009		4,300			4,307
5.820% due 08/03/2009		4,400			4,410
5.833% due 09/10/2007		800			802
Dex Media West LLC
9.875% due 08/15/2013		2,600			2,847
DirecTV Holdings LLC
8.375% due 03/15/2013		9,598			10,030
Dura Operating Corp.
8.625% due 04/15/2012		500			172
EchoStar DBS Corp.
6.375% due 10/01/2011		9,100			9,066
El Paso Corp.
6.500% due 06/01/2008		4,300			4,359
6.950% due 12/15/2007		13,250			13,432
7.625% due 08/16/2007		16,525			16,773
7.625% due 09/01/2008		13,431			13,901
7.750% due 06/15/2010		650			691
Empresa Brasileira de Telecom S.A.
11.000% due 12/15/2008		2,600			2,860
Enterprise Products Operating LP
4.000% due 10/15/2007		250			247
Equistar Chemicals LP
8.750% due 02/15/2009		5,000			5,262
10.125% due 09/01/2008		2,000			2,135
FedEx Corp.
5.455% due 08/08/2007		4,200			4,206
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		1,600			1,602
9.125% due 12/15/2014 (b)		2,400			2,397
9.244% due 12/15/2014		15,000			14,944
Fund American Cos., Inc.
5.875% due 05/15/2013		1,000			995
Gazstream S.A. for OAO Gazprom
5.625% due 07/22/2013		2,757			2,741
General Electric Co.
5.393% due 12/09/2008		6,000			6,007
Georgia-Pacific Corp.
7.000% due 01/15/2015		4,650			4,662
7.700% due 06/15/2015		3,875			3,967
Goodyear Tire & Rubber Co.
9.140% due 12/01/2009		3,000			3,026
Hanesbrands, Inc.
8.735% due 12/15/2014		7,000			7,158
HCA, Inc.
9.125% due 11/15/2014		900			964
Hilton Hotels Corp.
7.625% due 05/15/2008		2,000			2,060
HJ Heinz Co.
6.428% due 12/01/2008		900			916
Home Depot, Inc.
5.490% due 12/16/2009		2,500			2,502
Intelsat Subsidiary Holding Co. Ltd.
10.484% due 01/15/2012		4,500			4,562
JC Penney Corp., Inc.
7.950% due 04/01/2017		2,400			2,698
JetBlue Airways Corp.
8.474% due 05/15/2010		1,663			1,673
Mandalay Resort Group
9.500% due 08/01/2008		1,100			1,160
10.250% due 08/01/2007		2,000			2,058
Meritor Automotive, Inc.
6.800% due 02/15/2009		1,087			1,068
MGM Mirage
8.375% due 02/01/2011		2,500			2,606
9.750% due 06/01/2007		8,975			9,132
Mirage Resorts, Inc.
6.750% due 08/01/2007		500			504
6.750% due 02/01/2008		1,500			1,517
Mobile Telesystems Finance S.A.
9.750% due 01/30/2008		2,500			2,598
Mosaic Co.
7.375% due 12/01/2014		450			464
7.625% due 12/01/2016		550			573
Newfield Exploration Co.
7.450% due 10/15/2007		1,500			1,524
Nortel Networks Ltd.
9.624% due 07/15/2011		4,400			4,658
Oracle Corp.
5.603% due 01/13/2009		2,000			2,004
Owens Brockway Glass Container, Inc.
8.750% due 11/15/2012		1,750			1,864
8.875% due 02/15/2009		5,839			6,000
Pemex Project Funding Master Trust
5.970% due 12/03/2012		1,200			1,205
6.660% due 06/15/2010		22,000			22,577
7.174% due 10/15/2009		100			104
8.500% due 02/15/2008		4,800			4,950
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		865			888
Qwest Communications International, Inc.
7.250% due 02/15/2011		1,000			1,028
8.874% due 02/15/2009		7,850			7,987
Roseton
7.270% due 11/08/2010		1,500			1,535
Royal Caribbean Cruises Ltd.
7.000% due 10/15/2007		2,000			2,028
Salomon Brothers AG for OAO Gazprom
9.125% due 04/25/2007		8,100			8,225
10.500% due 10/21/2009		500			566
Salomon Brothers AG for OAO Siberian Oil Co.
11.500% due 02/13/2007		16,900			17,078
Salomon Brothers AG for Tyumen Oil Co.
11.000% due 11/06/2007		3,200			3,347
Service Corp. International
6.500% due 03/15/2008		2,115			2,136
Siemens Financieringsmaatschappij NV
5.424% due 08/14/2009		3,200			3,202
Sonat, Inc.
6.750% due 10/01/2007		1,000			1,012
Southern Natural Gas Co.
6.700% due 10/01/2007		1,700			1,721
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		900			905
Time Warner, Inc.
5.606% due 11/13/2009		14,400			14,421
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		7,000			7,061
6.654% due 04/15/2008		1,000			1,005
Transocean, Inc.
5.566% due 09/05/2008		3,300			3,304
TRW Automotive, Inc.
9.375% due 02/15/2013		5,000			5,388
United Airlines, Inc.
6.071% due 09/01/2014		1,093			1,099
6.201% due 03/01/2010		2,439			2,456
Vale Overseas Ltd.
6.250% due 01/23/2017		2,900			2,928
8.625% due 03/08/2007		250			252
Verso Paper Holdings LLC and Verson Paper, Inc.
9.121% due 08/01/2014		6,000			6,120
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		10,300			10,301
Walt Disney Co.
5.453% due 09/10/2009		6,000			6,011
Williams Cos., Inc.
6.375% due 10/01/2010		22,250			22,500
Xerox Corp.
6.111% due 12/18/2009		3,000			3,060
9.750% due 01/15/2009		5,000			5,425
					454,666
Utilities 4.8%
AES Corp.
8.750% due 05/15/2013		15,740			16,940
AES Panama S.A.
6.350% due 12/21/2016		5,000			4,932
Alabama Power Co.
5.624% due 04/23/2007		100			100
America Movil S.A. de C.V.
5.466% due 06/27/2008		19,600			19,586
5.500% due 03/01/2014		875			857
5.750% due 01/15/2015		850			843
American Electric Power Co., Inc.
4.709% due 08/16/2007		4,000			3,981
Appalachian Power Co.
5.694% due 06/29/2007		400			400
AT&T Corp.
7.300% due 11/15/2011		473			513
AT&T, Inc.
5.464% due 05/15/2008		6,000			6,006
BellSouth Corp.
5.474% due 08/15/2008		15,000			15,016
Citizens Communications Co.
7.625% due 08/15/2008		6,480			6,739
CMS Energy Corp.
7.500% due 01/15/2009		5,000			5,181
8.900% due 07/15/2008		2,190			2,299
9.875% due 10/15/2007		600			622
ConocoPhillips Australia Funding Co.
5.468% due 04/09/2009		6,000			6,009
Deutsche Telekom International Finance BV
5.546% due 03/23/2009		3,500			3,508
Dominion Resources, Inc.
5.554% due 11/14/2008		2,000			2,001
5.662% due 09/28/2007		5,000			5,003
5.687% due 05/15/2008		2,400			2,404
Entergy Gulf States, Inc.
3.600% due 06/01/2008		5,000			4,870
5.769% due 12/01/2009		7,400			7,390
6.100% due 12/08/2008		3,000			3,008
Florida Power Corp.
5.774% due 11/14/2008		5,000			5,012
IPALCO Enterprises, Inc.
8.375% due 11/14/2008		5,425			5,656
8.625% due 11/14/2011		1,100			1,202
Korea Electric Power Corp.
4.250% due 09/12/2007		6,900			6,839
6.115% due 12/20/2007		500			503
Midwest Generation LLC
8.300% due 07/02/2009		4,506			4,638
NiSource Finance Corp.
5.940% due 11/23/2009		3,500			3,504
Pemex Project Funding Master Trust
8.850% due 09/15/2007		2,800			2,869
Progress Energy, Inc.
7.100% due 03/01/2011		1,585			1,689
PSEG Energy Holdings LLC
8.625% due 02/15/2008		4,023			4,144
10.000% due 10/01/2009		3,000			3,300
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		6,520			6,569
7.000% due 08/03/2009		10,000			10,225
Qwest Corp.
5.625% due 11/15/2008		7,000			7,044
7.500% due 06/15/2023		1,500			1,519
8.610% due 06/15/2013		1,500			1,631
8.875% due 03/15/2012		2,000			2,237
Rogers Wireless, Inc.
8.485% due 12/15/2010		9,750			9,969
Sierra Pacific Power Co.
6.000% due 05/15/2016		1,800			1,813
8.000% due 06/01/2008		4,600			4,751
Southern California Edison Co.
5.435% due 12/13/2007		3,000			3,003
Sprint Capital Corp.
8.375% due 03/15/2012		5,000			5,563
TECO Energy, Inc.
7.500% due 06/15/2010		3,846			4,115
Telefonos de Mexico S.A. de C.V.
5.500% due 01/27/2015		850			832
Verizon Global Funding Corp.
5.504% due 08/15/2007		1,800			1,800
6.875% due 06/15/2012		5,000			5,346
					223,981
Total Corporate Bonds & Notes					1,575,817
(Cost $1,569,850)
U.S. GOVERNMENT AGENCIES 9.0%
Fannie Mae
4.263% due 02/01/2035		798			794
5.490% due 04/25/2035		158			159
5.500% due 12/01/2033 - 05/01/2036		3,011			2,977
5.958% due 06/01/2043		4,652			4,677
6.000% due 10/01/2035 - 11/01/2036		140,648			141,644
Federal Home Loan Bank
5.201% due 03/18/2008		250,000			250,091
Freddie Mac
4.000% due 04/15/2022 - 12/15/2024		3,300			3,249
4.500% due 07/15/2018		2,936			2,874
5.000% due 06/15/2016 - 09/15/2024		4,831			4,803
5.958% due 10/25/2044		10,125			10,182
Total U.S. Government Agencies					421,450
(Cost $420,774)
MORTGAGE-BACKED SECURITIES 3.9%
American Home Mortgage Investment Trust
5.500% due 09/25/2035		882			883
Banc of America Large Loan
5.470% due 01/15/2019		1,012			1,012
Bear Stearns Alt-A Trust
5.510% due 02/25/2034		4,300			4,303
Bear Stearns Commercial Mortgage Securities
3.688% due 11/11/2041		1,101			1,082
Commercial Mortgage Pass-Through Certificates
5.450% due 04/15/2017		8,400			8,406
Countrywide Alternative Loan Trust
5.420% due 10/25/2046		3,533			3,536
5.510% due 02/25/2047		1,987			1,990
Countrywide Home Loan Mortgage Pass-Through Trust
5.500% due 01/25/2046 (a)		5,200			5,209
5.580% due 05/25/2035		573			574
CS First Boston Mortgage Securities Corp.
2.611% due 08/15/2036		55			55
4.666% due 03/15/2036		12,000			11,691
4.938% due 12/15/2040		1,744			1,732
CSAB Mortgage-Backed Trust
5.450% due 06/25/2036		1,205			1,205
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.430% due 02/25/2037		3,300			3,303
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		18,000			18,387
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		4,272			4,275
5.430% due 01/25/2047		5,000			5,000
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		23,708			23,726
Harborview Mortgage Loan Trust
5.440% due 12/19/2036		2,296			2,300
5.540% due 12/19/2036		5,697			5,707
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		3,519			3,522
Indymac Index Mortgage Loan Trust
5.440% due 11/25/2046		1,401			1,406
5.450% due 01/25/2037		1,966			1,968
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		12,646			12,655
Structured Asset Mortgage Investments, Inc.
5.570% due 05/25/2036		4,918			4,926
TBW Mortgage-Backed Pass-Through Certificates
5.450% due 09/25/2036		1,575			1,577
5.460% due 01/25/2037		5,000			5,005
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		8,428			8,425
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		31,237			31,258
Washington Mutual, Inc.
5.557% due 01/25/2047		2,100			2,103
5.660% due 01/25/2045		442			443
5.827% due 02/25/2046		5,485			5,524
6.027% due 11/25/2042		1,151			1,156
Total Mortgage-Backed Securities (Cost $184,019)					184,344
ASSET-BACKED SECURITIES 4.8%
ACE Securities Corp.
5.430% due 02/25/2036		482			483
Ameriquest Mortgage Securities, Inc.
5.430% due 01/25/2036		352			352
Argent Securities, Inc.
5.370% due 10/25/2036		3,203			3,205
5.390% due 06/25/2036		1,507			1,507
5.420% due 04/25/2036		1,563			1,564
5.430% due 03/25/2036		625			625
5.490% due 02/25/2036		576			576
Asset-Backed Funding Certificates
5.360% due 09/25/2036		1,411			1,412
5.380% due 01/25/2037		5,896			5,900
5.700% due 06/25/2034		6,219			6,230
Bank One Issuance Trust
5.380% due 10/15/2009		2,000			2,001
Bear Stearns Asset-Backed Securities, Inc.
5.420% due 12/25/2036		2,000			2,000
5.430% due 12/25/2035		617			617
Carrington Mortgage Loan Trust
5.400% due 01/25/2037		2,700			2,703
5.415% due 07/25/2036		1,230			1,231
Citibank Credit Card Issuance Trust
5.435% due 03/20/2009		5,900			5,905
5.474% due 01/15/2010		2,000			2,004
Citigroup Mortgage Loan Trust, Inc.
5.390% due 08/25/2036		3,185			3,187
Countrywide Asset-Backed Certificates
5.370% due 12/26/2036		4,500			4,506
5.370% due 03/25/2037		1,595			1,596
5.370% due 12/25/2046		4,467			4,470
5.370% due 03/25/2047		2,946			2,948
5.380% due 03/25/2037		2,096			2,097
5.400% due 01/25/2037		4,766			4,772
5.400% due 05/25/2037		11,772			11,768
5.410% due 09/25/2046		3,292			3,294
5.420% due 06/25/2036		1,316			1,318
5.420% due 07/25/2036		1,118			1,119
5.420% due 08/25/2036		1,161			1,161
5.430% due 06/25/2037		2,500			2,502
Credit-Based Asset Servicing & Securitization LLC
5.410% due 11/25/2036		2,747			2,749
DaimlerChrysler Auto Trust
5.329% due 12/08/2007		4,200			4,204
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		4,469			4,472
5.420% due 12/25/2037		3,300			3,302
5.490% due 05/25/2035		975			976
First NLC Trust
5.470% due 02/25/2036		1,432			1,433
Ford Credit Auto Owner Trust
5.405% due 09/15/2007		819			820
Fremont Home Loan Trust
5.410% due 01/25/2037		3,200			3,198
5.440% due 01/25/2036		220			220
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		1,763			1,764
GSAMP Trust
5.360% due 10/25/2036		956			957
5.440% due 11/25/2035		1,005			1,005
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		2,400			2,403
Home Equity Mortgage Trust
5.440% due 05/25/2036		450			450
5.460% due 02/25/2036		634			634
Honda Auto Receivables Owner Trust
5.342% due 11/15/2007		1,717			1,718
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		2,268			2,264
5.430% due 12/25/2035		1,098			1,099
Indymac Residential Asset-Backed Trust
5.410% due 04/25/2037		4,600			4,591
5.450% due 03/25/2036		814			814
JPMorgan Mortgage Acquisition Corp.
5.360% due 08/25/2036		1,069			1,070
5.400% due 10/25/2036		3,866			3,868
Lehman XS Trust
5.420% due 05/25/2046		3,651			3,653
5.430% due 08/25/2046		5,135			5,139
Long Beach Mortgage Loan Trust
5.360% due 07/25/2036		1,477			1,478
5.420% due 03/25/2036		668			669
5.440% due 01/25/2036		604			605
5.630% due 10/25/2034		2,723			2,726
MASTR Asset-Backed Securities Trust
5.410% due 11/25/2036		4,600			4,606
5.460% due 11/25/2035		1,380			1,381
MBNA Credit Card Master Note Trust
5.460% due 08/17/2009		4,000			4,004
Merrill Lynch Mortgage Investors, Inc.
5.400% due 09/25/2037		5,207			5,210
5.410% due 04/25/2037		1,356			1,357
5.420% due 08/25/2036		16,000			16,015
5.420% due 02/25/2037		1,101			1,101
Morgan Stanley ABS Capital I
5.370% due 10/25/2036		4,536			4,535
Morgan Stanley Capital I
5.420% due 02/25/2036		1,623			1,624
5.470% due 02/25/2036		3,300			3,304
Nelnet Student Loan Trust
5.338% due 09/25/2012		4,800			4,800
5.370% due 08/23/2011		519			520
Nomura Home Equity Loan, Inc.
5.430% due 02/25/2036		836			837
Residential Asset Mortgage Products, Inc.
5.400% due 02/25/2036		731			731
5.430% due 01/25/2036		735			736
5.450% due 08/25/2046		2,900			2,902
Residential Asset Securities Corp.
5.360% due 08/25/2036		2,876			2,878
5.420% due 07/25/2036		1,491			1,492
5.420% due 11/25/2036		3,069			3,071
5.430% due 01/25/2036		763			763
5.440% due 01/25/2036		1,108			1,109
Saxon Asset Securities Trust
5.380% due 11/25/2036		2,547			2,549
Securitized Asset-Backed Receivables LLC Trust
5.430% due 11/25/2036		3,000			3,001
SLM Student Loan Trust
5.323% due 07/25/2013		4,000			4,000
Soundview Home Equity Loan Trust
5.360% due 11/25/2036		1,353			1,354
5.410% due 01/25/2037		4,250			4,253
Structured Asset Securities Corp.
5.480% due 12/25/2035		883			884
Washington Mutual Asset-Backed Certificates
5.410% due 10/25/2036		2,038			2,040
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		3,100			3,104
Total Asset-Backed Securities (Cost $225,375)					225,495
SOVEREIGN ISSUES 6.3%
Argentina Bonos
5.590% due 08/03/2012		82,500			60,308
Brazilian Government International Bond
7.875% due 03/07/2015		175			195
8.875% due 10/14/2019		50			61
10.000% due 08/07/2011		1,950			2,306
10.500% due 07/14/2014		1,150			1,458
Chile Government International Bond
5.776% due 01/28/2008		6,461			6,488
Ecuador Government International Bond
9.375% due 12/15/2015		6,000			4,860
Guatemala Government Bond
8.500% due 08/03/2007		1,700			1,735
Kazakhstan Government International Bond
11.125% due 05/11/2007		750			764
Korea Development Bank
3.875% due 03/02/2009		8,195			7,960
4.250% due 11/13/2007		3,565			3,527
4.750% due 07/20/2009		10,300			10,175
5.496% due 10/31/2008		5,400			5,395
5.651% due 11/22/2012		7,500			7,524
5.774% due 10/20/2009		30,950			31,174
Mexico Government International Bond
6.073% due 01/13/2009		33,661			34,006
Pakistan Government International Bond
7.125% due 03/31/2016		3,400			3,571
Peru Government International Bond
5.000% due 03/07/2017		6,125			6,110
Republic of Korea
4.875% due 09/22/2014		2,000			1,943
Russia Government International Bond
8.250% due 03/31/2010		4,667			4,890
10.000% due 06/26/2007		3,000			3,071
12.750% due 06/24/2028		100			181
Ukraine Government International Bond
6.875% due 03/04/2011		250			258
8.902% due 08/05/2009		25,950			27,595
11.000% due 03/15/2007		2,007			2,032
Venezuela Government International Bond
5.375% due 08/07/2010		2,500			2,463
6.374% due 04/20/2011		62,300			62,082
Total Sovereign Issues (Cost $286,066)					292,132
FOREIGN CURRENCY-DENOMINATED
Issues 3.6%
Amadeus Global Travel Distribution S.A.
5.813% due 04/08/2013	EUR	2,000			2,676
6.628% due 04/08/2014		2,000			2,673
Atlas Reinsurance PLC
7.717% due 01/10/2010		3,100			4,079
Basell NV
5.558% due 09/15/2013		253			338
5.646% due 09/15/2013		576			770
5.704% due 09/15/2013		231			309
5.804% due 09/15/2013		511			683
5.876% due 09/15/2013		282			377
6.554% due 09/15/2014		1,276			1,712
6.626% due 09/15/2014		894			1,199
Bombardier, Inc.
6.709% due 11/15/2013		3,250			4,337
Brazilian Government International Bond
6.000% due 05/15/2045	BRL	10,000			6,362
12.500% due 01/05/2022		7,500			3,996
Gaz Capital for Gazprom
5.875% due 06/01/2015	EUR	15,000			20,789
7.800% due 09/27/2010		3,000			4,387
JSG Holding PLC
5.741% due 11/29/2013		1,122			1,494
5.800% due 01/12/2014		112			149
5.835% due 01/12/2013		621			827
5.850% due 01/12/2013		359			477
5.946% due 01/12/2013		461			613
5.964% due 11/29/2013	EUR	707			940
5.964% due 11/29/2013		424			564
5.971% due 11/29/2014		409			546
6.062% due 01/12/2014		168			223
6.157% due 01/12/2014		51			68
6.350% due 01/12/2014		82			109
6.464% due 11/29/2014		449			596
6.494% due 01/12/2013		307			409
6.686% due 01/12/2014		230			308
Lecta S.A.
5.876% due 03/13/2009		2,514			3,235
Mizuho Bank Ltd.
1.317% due 11/24/2049	JPY	500,000			4,198
Mizuho Finance Aruba AEC
1.883% due 12/31/2049		600,000			5,123
M-Real Serla OYJ
7.277% due 12/15/2010	EUR	8,000			10,683
Nordic Telephone Co. Holdings ApS
5.207% due 11/30/2014		4,600			6,135
5.939% due 11/30/2014		4,393			5,885
6.036% due 11/30/2015		207			277
8.250% due 05/01/2016		1,400			2,042
Pirelli Cable
6.000% due 06/23/2014		3,900			5,180
Pylon Ltd.
5.179% due 12/18/2008 (j)		4,000			5,311
Rhodia S.A.
6.242% due 10/15/2013		10,000			13,189
Seat Pagine Gialle SpA
3.531% due 05/25/2012		2,000			2,645
SigmaKalon
5.991% due 09/19/2012		2,000			2,663
6.449% due 09/19/2013		2,000			2,674
Sumitomo Mitsui Banking Corp.
0.950% due 06/02/2049	JPY	700,000			5,816
Telefonos de Mexico S.A. de C.V.
8.750% due 01/31/2016	MXN	97,600			9,464
UPC Broadband Holding BV
4.988% due 03/31/2013	EUR	1,767			2,342
6.103% due 12/31/2013		2,000			2,651
Uruguay Government International Bond
6.875% due 01/19/2016		6,500			9,353
Weather Investments II SARL
4.955% due 06/17/2012		2,100			2,777
6.298% due 06/17/2013		1,050			1,393
6.798% due 06/17/2014		1,050			1,398
Total Foreign Currency-Denominated Issues (Cost $161,533)					166,444
		Shares
PREFERRED STOCKS 0.1%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		4,610			4,702
Total Preferred Stocks (Cost $4,726)					4,702
EXCHANGE-TRADED FUNDS 0.1%
Western Asset 2008 Worldwide Dollar Government Term Trust, Inc.		297,200			3,115
Total Exchange-Traded Funds (Cost $3,236)					3,115
		Principal Amount (000s	)		Value (000s	)
SHORT-TERM INSTRUMENTS 32.8%
Certificates of Deposit 0.3%
Barclays Bank PLC
5.265% due 01/29/2007	$	3,200			3,200
Skandinaviska Enskilda Banken AB
5.272% due 10/03/2007		3,000			3,000
5.272% due 07/06/2007		3,400			3,400
Societe Generale NY
5.258% due 06/20/2007		3,700			3,700
					13,300
COMMERCIAL PAPER 28.7%
Fannie Mae
5.064% due 01/17/2007		41,600			41,517
5.130% due 02/14/2007		3,700			3,678
5.130% due 03/07/2007		8,000			7,921
5.140% due 02/21/2007		15,000			14,895
5.140% due 03/14/2007		10,000			9,891
5.142% due 03/20/2007		500			494
5.145% due 03/21/2007		7,000			6,916
5.150% due 02/07/2007		216,000			214,918
5.155% due 03/06/2007		11,000			10,892
5.160% due 01/19/2007		21,000			20,952
5.200% due 01/31/2007		44,100			43,924
5.227% due 01/10/2007		38,500			38,462
5.237% due 01/17/2007		14,800			14,771
5.239% due 01/24/2007		56,400			56,231
5.264% due 01/31/2007		176,300			175,597
5.269% due 01/10/2007		30,000			29,970
Freddie Mac
5.055% due 04/10/2007		20,000			19,704
5.063% due 02/06/2007		39,500			39,308
5.090% due 02/16/2007		4,000			3,975
5.122% due 03/30/2007		60,000			59,206
5.125% due 01/24/2007		120,000			119,641
5.140% due 01/08/2007		190,600			190,464
5.140% due 02/08/2007		2,000			1,990
5.140% due 02/20/2007		56,080			55,696
5.140% due 03/09/2007		45,900			45,432
5.150% due 01/09/2007		60,812			60,760
5.185% due 01/23/2007		10,000			9,971
5.274% due 01/23/2007		42,700			42,578
Statens Bostadsfin Bank
5.255% due 01/29/2007		2,500			2,490
					1,342,244
REPURCHASE AGREEMENTS 2.9%
Credit Suisse Securities (USA) LLC
4.800% due 01/02/2007		132,900			132,900
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 4.625% due 02/29/2008 valued at $136,492. Repurchase proceeds are $132,971.)
Lehman Brothers, Inc.
4.850% due 01/02/2007		3,000			3,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 1.625% due 01/15/2015 valued at $3,067. Repurchase proceeds are $3,002.)
					135,900
Tri-Party Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 01/02/2007		11,243			11,243
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $11,471. Repurchase proceeds are $11,249.)
Germany Treasury Bills 0.5%
3.090% due 01/17/2007	EUR	17,500			23,074
U.S. Treasury Bills 0.1%
4.824% due 03/01/2007 - 03/15/2007 (c)(d)(f)	$	5,450			5,394
Total Short-Term Instruments (Cost $1,530,142)					1,531,155
Purchased Options (h) 0.0% (Cost $99)					50
Total Investments (e) 98.5% (Cost $4,583,572)				$	4,602,750
Written Options (i) (0.0%) (Premiums $21)					(17	)
Other Assets and Liabilities (Net) 1.5%					70,746
Net Assets 100.0%				$	4,673,479

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

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

(a) When-issued security.

(b) Payment in-kind bond security.

(c) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $248 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(e) As of December 31, 2006, portfolio securities with an aggregate value of $219,639 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $4,154 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	149	$	62
90-Day Eurodollar June Futures	Long	06/2008	190		150
90-Day Eurodollar March Futures	Long	03/2008	310		211
Euro-Bund 10-Year Note March Futures	Long	03/2007	652		(2,337	)
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 112.000	Long	03/2007	665		0
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	1,929		(220	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	1,991		(609	)
				$	(2,743	)

(g) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Credit Suisse First Boston	Aries Vermoegensverwaltungs GmbH 9.600% due 10/25/2014	Sell	0.280	%	10/20/2007	EUR	42,500	$	150
Deutsche Bank AG	Dow Jones ITRAX 5X0V Index	Sell	2.900	%	6/20/2011		4,500		180
Deutsche Bank AG	Dow Jones CDX N.A. XO6 Index	Sell	2.800	%	12/20/2011		30,000		1,137
JPMorgan Chase & Co.	Dow Jones ITRAX 5X0V Index	Sell	2.900	%	6/20/2011		62,425		2,072
UBS AG	France Telecom S.A. 7.250% due 01/28/2013	Sell	0.330	%	9/20/2011		5,300		21
UBS AG	Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.525	%	9/20/2011		5,300		(13	)
Wachovia Bank N.A.	France Telecom S.A. 7.250% due 01/28/2013	Sell	0.325	%	9/20/2011		5,700		28
Wachovia Bank N.A.	Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.520	%	9/20/2011		5,700		0
Bank of America	Allied Waste North America, Inc. 6.500% due 11/15/2010	Sell	2.750	%	9/20/2009	$	400		18
Bank of America	Williams Cos., Inc. 7.125% due 09/01/2011	Sell	2.050	%	9/20/2009		125		4
Bank of America	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		30,000		17
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		7,700		22
Barclays Bank PLC	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	6/20/2010		6,000		368
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.880	%	4/20/2011		18,500		254
Barclays Bank PLC	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.650	%	7/20/2011		4,800		188
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	8/20/2011		8,000		194
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	8/20/2011		8,000		196
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.690	%	8/20/2011		25,000		181
Barclays Bank PLC	Celestica, Inc. 7.875% due 07/01/2011	Sell	2.850	%	9/20/2011		3,200		8
Barclays Bank PLC	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		134,500		1,981
Barclays Bank PLC	Dow Jones CDX N.A. IG4 Index	Buy	(0.650	%)	6/20/2015		12,900		(154	)
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.170	%)	8/20/2016		4,000		(214	)
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.150	%)	8/20/2016		4,000		(209	)
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	12/20/2016		7,500		259
Bear Stearns & Co., Inc.	Allied Waste North America, Inc. 5.750% due 02/15/2011	Sell	1.850	%	12/20/2007		1,500		22
Bear Stearns & Co., Inc.	ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	1.140	%	12/20/2007		1,500		6
Bear Stearns & Co., Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.240	%	9/20/2009		300		5
Bear Stearns & Co., Inc.	Host Marriott LP 7.125% due 11/01/2013	Sell	1.950	%	9/20/2009		300		11
Bear Stearns & Co., Inc.	Dynegy Holdings, Inc. 9.875% due 07/15/2010	Sell	2.350	%	12/20/2009		1,500		39
Bear Stearns & Co., Inc.	Smurfit-Stone Container Enterprises, Inc. 9.750% due 02/01/2011	Sell	1.760	%	12/20/2009		1,500		(9	)
Bear Stearns & Co., Inc.	Wells Fargo & Co. 6.250% due 04/15/2008	Sell	0.160	%	6/20/2011		10,000		45
Bear Stearns & Co., Inc.	El Paso Corp. 7.875% due 06/15/2012	Sell	1.780	%	9/20/2011		10,000		228
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		40,000		488
BNP Paribas Bank	Wachovia Corp. 5.625% due 12/15/2008	Sell	0.160	%	6/20/2011		14,700		41
Citibank N.A.	Host Marriott LP 7.125% due 11/01/2013	Sell	1.900	%	9/20/2007		100		2
Citibank N.A.	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		8,995		162
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.180	%	12/20/2011		16,300		152
Credit Suisse First Boston	Citizens Communications Co. 9.250% due 05/15/2011	Buy	(0.720	%)	3/20/2008		1,000		(5	)
Credit Suisse First Boston	Select Aggregate Market Index (SAMI)	Sell	2.450	%	9/20/2008		420		5
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.200	%	12/20/2008		25,000		433
Credit Suisse First Boston	AES Corp. 9.500% due 06/01/2009	Sell	3.850	%	9/20/2009		250		17
Credit Suisse First Boston	Allied Waste North America, Inc. 6.125% due 02/15/2014	Sell	2.460	%	9/20/2009		125		5
Credit Suisse First Boston	Delhaize America, Inc. 8.125% due 04/15/2011	Sell	1.400	%	9/20/2009		125		3
Credit Suisse First Boston	TECO Energy, Inc. 7.200% due 05/01/2011	Sell	2.050	%	9/20/2009		100		5
Credit Suisse First Boston	AT&T Corp. 9.050% due 11/15/2011	Sell	1.300	%	12/20/2009		1,000		36
Credit Suisse First Boston	Select Aggregate Market Index (SAMI)	Sell	2.150	%	12/20/2009		540		8
Credit Suisse First Boston	Citizens Communications Co. 9.250% due 05/15/2011	Sell	1.910	%	3/20/2011		3,000		122
Credit Suisse First Boston	Edison Mission Energy 7.730% due 06/15/2009	Sell	1.800	%	9/20/2011		10,000		222
Credit Suisse First Boston	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	2.200	%	9/20/2011		15,000		413
Credit Suisse First Boston	Solectron Global Finance Ltd. 8.000% due 03/15/2006	Sell	3.300	%	9/20/2011		1,500		30
Credit Suisse First Boston	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		58,000		378
Credit Suisse First Boston	Citizens Communications Co. 9.250% due 05/15/2011	Buy	(2.290	%)	3/20/2013		2,000		(85	)
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.150	%	12/20/2008		25,000		410
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.350	%	12/20/2008		25,000		504
Deutsche Bank AG	NAK Naftogaz Ukrainy 8.125% due 09/30/2009	Sell	4.200	%	5/20/2009		17,000		(350	)
Deutsche Bank AG	Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	6/20/2011		4,500		13
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.840	%	7/20/2011		25,000		1,199
Deutsche Bank AG	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.760	%	7/20/2011		1,000		11
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.340	%	8/20/2011		25,000		584
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.460	%	8/20/2011		25,000		722
Deutsche Bank AG	El Paso Corp. 7.875% due 06/15/2012	Sell	1.820	%	9/20/2011		5,000		122
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.130	%	9/20/2011		25,000		1,413
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011		25,000		148
Deutsche Bank AG	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		124,000		745
Deutsche Bank AG	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		67,000		676
Deutsche Bank AG	Dow Jones CDX N.A. HY7 Index	Sell	3.000	%	12/20/2011		70,000		1,131
Deutsche Bank AG	Dow Jones CDX N.A. HY7 Index	Sell	3.250	%	12/20/2011		11,500		251
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.710	%	11/20/2016		25,000		322
Goldman Sachs & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.700	%	3/20/2007		975		3
Goldman Sachs & Co.	TECO Energy, Inc. 7.000% due 05/01/2012	Sell	1.690	%	9/20/2009		300		11
Goldman Sachs & Co.	TRW Automotive, Inc. 9.375% due 02/15/2013	Sell	2.150	%	9/20/2009		250		10
Goldman Sachs & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	6/20/2010		15,000		982
Goldman Sachs & Co.	Host Marriott LP 7.125% due 11/01/2013	Sell	1.770	%	12/20/2010		1,700		56
Goldman Sachs & Co.	Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	6/20/2011		69,200		279
Goldman Sachs & Co.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	2.200	%	9/20/2011		10,000		275
Goldman Sachs & Co.	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		25,000		(1	)
Goldman Sachs & Co.	Dow Jones CDX N.A. HY7 Index	Sell	3.000	%	12/20/2011		36,000		(15	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Sell	0.400	%	12/20/2011		75,000		41
HSBC Bank USA	Ford Motor Corp. 7.450% due 07/16/2031	Sell	2.410	%	6/20/2007		600		6
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.770	%	5/20/2007		900		3
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	6/20/2007		3,200		60
JPMorgan Chase & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		5,850		326
JPMorgan Chase & Co.	Stone Container Finance 7.375% due 07/15/2014	Sell	2.300	%	12/20/2009		300		3
JPMorgan Chase & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	6/20/2010		12,000		959
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.420	%	4/20/2011		12,000		306
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.390	%	8/20/2011		8,000		204
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	0.890	%	11/20/2011		5,000		39
JPMorgan Chase & Co.	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		80,000		1,061
JPMorgan Chase & Co.	Dow Jones CDX N.A. HY7 Index	Sell	3.000	%	12/20/2011		25,000		381
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.190	%)	8/20/2016		4,000		(220	)
JPMorgan Chase & Co.	Cemex SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016		2,900		52
Lehman Brothers, Inc.	Extendicare Health Services, Inc. floating rate based on 1-Month USD-LIBOR plus 2.500% due 06/28/2009	Sell	2.100	%	9/20/2009		400		4
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	6/20/2010		6,350		498
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.220	%	3/20/2011		40,000		763
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.750	%	4/20/2011		7,900		131
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.050	%	4/20/2011		32,100		522
Lehman Brothers, Inc.	Telefonos de Mexico S.A. de C.V. 4.500% due 11/19/2008	Buy	(0.550	%)	4/20/2011		7,900		(69	)
Lehman Brothers, Inc.	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.170	%	6/20/2011		4,600		20
Lehman Brothers, Inc.	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.170	%	6/20/2011		4,700		20
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	6/20/2011		11,200		58
Lehman Brothers, Inc.	JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.220	%	6/20/2011		4,900		10
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.190	%	8/20/2011		50,000		793
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.450	%	8/20/2011		25,000		711
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.980	%	8/20/2011		25,000		363
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.990	%	8/20/2011		25,000		382
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.010	%	8/20/2011		25,000		400
Lehman Brothers, Inc.	Duke Energy Corp. 6.250% due 01/15/2012	Sell	0.290	%	9/20/2011		10,000		62
Lehman Brothers, Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	2.420	%	9/20/2011		10,000		387
Lehman Brothers, Inc.	Ecuador Government International Bond 10.000% due 08/15/2030	Buy	(5.650	%)	10/20/2011		15,200		2,472
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.730	%	10/20/2011		50,000		385
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		831,805		9,638
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		110,000		828
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY7 Index	Sell	3.000	%	12/20/2011		40,000		709
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		25,000		258
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.520	%	12/20/2011		8,000		128
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.720	%	11/20/2016		20,000		273
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.730	%	11/20/2016		50,000		705
Lehman Brothers, Inc.	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.860	%	11/20/2016		10,000		109
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.730	%	11/20/2016		20,000		109
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.200	%	11/20/2016		10,000		115
Lehman Brothers, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.400	%	11/20/2016		10,000		82
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.600	%	11/20/2016		10,000		119
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.340	%	11/20/2016		10,000		200
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.840	%	12/20/2016		10,000		(5	)
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2016		25,000		362
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.550	%	1/20/2017		10,000		2
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.660	%	1/20/2017		11,000		1
Lehman Brothers, Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.620	%	1/20/2017		11,000		1
Merrill Lynch & Co., Inc.	Citizens Communications Co. 9.250% due 05/15/2011	Buy	(0.750	%)	3/20/2008		1,000		(5	)
Merrill Lynch & Co., Inc.	NAK Naftogaz Ukrainy 8.125% due 09/30/2009	Sell	3.300	%	4/20/2009		2,000		(110	)
Merrill Lynch & Co., Inc.	SPX Corp. 7.500% due 01/01/2013	Sell	2.250	%	9/20/2009		100		3
Merrill Lynch & Co., Inc.	SPX Corp. 7.500% due 01/01/2013	Sell	2.250	%	9/20/2009		150		4
Merrill Lynch & Co., Inc.	Williams Cos., Inc. 8.125% due 03/15/2012	Sell	1.710	%	9/20/2009		300		7
Merrill Lynch & Co., Inc.	ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	2.250	%	12/20/2009		500		3
Merrill Lynch & Co., Inc.	CMS Energy Corp. 7.500% due 01/15/2009	Sell	1.850	%	12/20/2009		1,500		56
Merrill Lynch & Co., Inc.	Citizens Communications Co. 9.250% due 05/15/2011	Sell	1.950	%	3/20/2011		3,000		126
Merrill Lynch & Co., Inc.	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.160	%	6/20/2011		11,900		46
Merrill Lynch & Co., Inc.	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.160	%	6/20/2011		11,900		46
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	6/20/2011		31,800		164
Merrill Lynch & Co., Inc.	Wachovia Corp. 5.625% due 12/15/2008	Sell	0.160	%	6/20/2011		7,900		19
Merrill Lynch & Co., Inc.	CMS Energy Corp. 6.875% due 12/15/2015	Sell	1.500	%	9/20/2011		10,000		283
Merrill Lynch & Co., Inc.	El Paso Corp. 7.875% due 06/15/2012	Sell	1.800	%	9/20/2011		15,000		354
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		155,200		530
Merrill Lynch & Co., Inc.	Citizens Communications Co. 9.250% due 05/15/2011	Buy	(2.310	%)	3/20/2013		2,000		(88	)
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.450	%	6/20/2007		5,700		90
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.510	%	8/20/2007		15,000		54
Morgan Stanley	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.630	%	9/20/2009		100		3
Morgan Stanley	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		41,500		1,946
Morgan Stanley	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	6/20/2010		37,500		2,983
Morgan Stanley	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.163	%	6/20/2011		11,000		43
Morgan Stanley	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.650	%	8/20/2011		20,000		643
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.890	%	11/20/2011		4,200		33
Morgan Stanley	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		23,000		1
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	9/20/2011		20,000		370
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.350	%	12/20/2011		25,000		234
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011		7,000		114
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.150	%	9/20/2008		10,000		339
UBS AG	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		8,300		482
UBS AG	Dow Jones CDX N.A. IG5 Index	Sell	0.450	%	12/20/2010		29,000		202
UBS AG	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.160	%	6/20/2011		11,000		42
UBS AG	Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	6/20/2011		14,000		31
UBS AG	JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.210	%	6/20/2011		11,000		18
UBS AG	Multiple Reference Entities of Gazprom	Sell	0.945	%	10/20/2011		13,700		146
UBS AG	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		8,000		88
Wachovia Bank N.A.	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.130	%	9/20/2011		25,000		53
Wachovia Bank N.A.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.140	%	9/20/2011		25,000		37
								$	53,125

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	BRL-CDI-Compounded	Pay	13.690	%	1/2/2009	BRL	150,000	$	1,267
JPMorgan Chase & Co.	BRL-CDI-Compounded	Pay	15.370	%	1/2/2009		16,000		345
JPMorgan Chase & Co.	BRL-CDI-Compounded	Pay	16.230	%	1/2/2009		13,000		368
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	13.290	%	1/4/2010		210,000		1,687
Morgan Stanley	BRL-CDI-Compounded	Pay	13.700	%	1/2/2009		137,000		1,254
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2011	EUR	93,800		(1,310	)
Citibank N.A.	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		13,300		(526	)
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	6/15/2017		20,300		(487	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		127,900		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		52,200		0
Barclays Bank PLC	6-Month HUF-LIBOR	Receive	7.540	%	9/27/2016	HUF	2,100,000		(204	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.505	%	9/26/2016		3,500,000		(888	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.530	%	9/27/2016		2,500,000		(656	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.540	%	9/27/2016		8,300,000		(1,821	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2011	JPY	6,050,000		(31	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.710	%	11/24/2009	MXN	1,100,000		841
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.180	%	9/13/2011		280,000		704
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.220	%	9/13/2011		550,000		1,466
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		1,029,000		3,226
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016		55,000		122
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	4/17/2009		73,500		157
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.710	%	11/24/2009		1,100,000		264
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.200	%	9/13/2011		250,000		648
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		20,000		89
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	84,550		1,780
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		28,600		639
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		238,300		4,252
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		21,000		481
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2012		52,100		578
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		9,800		224
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		28,200		382
								$	14,851

(h) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	115.000	2/23/2007	1,645	$	31	$	26
Put - CBOT U.S. Treasury 10-Year Note March Futures		103.000	2/23/2007	1,532		29		24
Put - CME 90-Day Eurodollar June Futures		91.250	6/18/2007	440		4		0
Put - CME 90-Day Eurodollar March Futures		91.750	3/19/2007	1,085		10		0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	316		3		0
Put - CME 90-Day Eurodollar September Futures		91.000	9/17/2007	185		2		0
Put - OTC United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	GBP	92.750	9/19/2007	300		4		0
					$	83	$	50

Options on Securities

		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 6.000% due 02/01/2037	$	88.000	2/5/2007	$	142,000	$	16	$	0

(i) Written options outstanding on December 31, 2006:

Credit Default Swaptions

Description	Counterparty	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC British Telecom SP 7.125% due 02/15/2011	Morgan Stanley	Receive	0.450	%	6/20/2008	$	3,850	$	21	$	17

(j) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Pylon Ltd.	5.179	%	12/18/2008	11/14/2006	$	5,155	$	5,311	0.11	%

(k) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
Ecuador Government International Bond	9.375	%	12/15/2015	$	6,000	$	5,712	$	4,979
Ecuador Government International Bond	10.000	%	8/15/2030		28,200		25,467		21,809
Fannie Mae	6.000	%	1/1/2037		141,000		142,454		141,969
						$	173,633	$	168,757

⁽²⁾ Market value includes $919 of interest payable on short sales.

(l) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	7,689	01/2007	$	84	$	0		$	84
Buy		22,903	05/2007		324		0			324
Buy		19,462	06/2007		178		0			178
Buy	CLP	1,754,935	06/2007		0		(34	)		(34	)
Buy	CNY	266,249	03/2007		97		0			97
Buy		274,903	08/2007		797		0			797
Buy		240,681	11/2007		609		0			609
Buy	EUR	68,890	01/2007		839		(17	)		822
Sell		174,573	01/2007		78		(1,341	)		(1,263	)
Buy		13,700	03/2007		749		0			749
Sell	GBP	13,559	01/2007		0		(108	)		(108	)
Sell	HUF	2,572,925	01/2007		0		(720	)		(720	)
Sell		3,794,215	03/2007		0		(2,404	)		(2,404	)
Buy	INR	180,160	01/2007		68		0			68
Sell		180,160	01/2007		0		(45	)		(45	)
Buy		105,312	02/2007		117		0			117
Buy		180,160	04/2007		30		0			30
Buy	JPY	2,167,435	01/2007		0		(114	)		(114	)
Sell		193,590	02/2007		22		0			22
Buy	KRW	25888782	03/2007		483		0			483
Buy	MXN	276,856	01/2007		107		0			107
Buy		236,643	04/2007		522		0			522
Buy		525,648	05/2007		374		0			374
Buy	MYR	45,145	01/2007		304		0			304
Sell		45,145	01/2007		0		(400	)		(400	)
Buy	PLN	11,870	04/2007		120		0			120
Buy	RUB	225,883	02/2007		530		0			530
Buy		93,263	03/2007		36		0			36
Buy		462,161	09/2007		221		0			221
Buy		72,009	11/2007		40		0			40
Buy	SGD	3,853	01/2007		33		0			33
Buy	THB	474,625	01/2007		474		0			474
Sell		474,625	01/2007		0		(838	)		(838	)
Buy	ZAR	73,814	01/2007		120		0			120
Sell		73,814	01/2007		0		(20	)		(20	)
Buy		83,132	05/2007		111		0			111
				$	7,467	$	(6,041	)	$	1,426

See accompanying notes

Schedule of Investments

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

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARUBA 0.3%
Mizuho Finance Aruba AEC
2.144% due 05/29/2049	JPY	500,000	$	4,299
Mizuho Trust & Banking Co. Ltd.
2.405% due 04/27/2009		200,000		1,729
Total Aruba (Cost $6,148)				6,028
AUSTRALIA 0.1%
Australia Government Bond
8.750% due 08/15/2008	AUD	600		492
Medallion Trust
5.602% due 07/12/2031	$	732		733
Total Australia (Cost $1,184)				1,225
AUSTRIA 0.7%
Austria Government Bond
5.000% due 07/15/2012	EUR	12,700		17,624
Total Austria (Cost $13,802)				17,624
BELGIUM 0.6%
Belgium Government Bond
7.500% due 07/29/2008	EUR	10,500		14,600
Total Belgium (Cost $9,940)				14,600
CANADA 0.4%
Province of Ontario
6.200% due 06/02/2031	CAD	2,200		2,334
Province of Quebec Canada
5.000% due 12/01/2038		3,900		3,512
5.750% due 12/01/2036		2,600		2,605
Rogers Wireless, Inc.
7.625% due 12/15/2011		2,100		1,988
Total Canada (Cost $10,449)				10,439
CAYMAN ISLANDS 2.1%
Asahi Finance Cayman Ltd.
1.654% due 02/28/2049	JPY	1,200,000		10,087
Foundation Re II Ltd.
12.123% due 11/26/2010	$	1,650		1,650
Mizuho Finance Cayman Ltd.
1.168% due 09/28/2049	JPY	400,000		3,375
1.815% due 12/31/2049		300,000		2,575
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049	$	10,700		10,879
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	3,300		4,260
Mystic Re Ltd.
11.670% due 12/05/2008	$	750		750
Pylon Ltd.
7.579% due 12/18/2008	EUR	1,350		1,795
Redwood Capital IX Ltd.
11.614% due 01/09/2008	$	1,000		1,001
12.114% due 01/09/2008		2,000		2,001
SHL Corp. Ltd.
1.128% due 12/25/2024	JPY	14,142		120
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049	$	6,000		5,956
Vita Capital Ltd.
6.710% due 01/01/2007		3,900		3,900
Vita Capital III Ltd.
6.466% due 01/01/2011		4,000		3,999
Total Cayman Islands (Cost $52,346)				52,348
DENMARK 0.5%
Nordea Kredit Realkreditaktieselskab
6.000% due 07/01/2029	DKK	1,119		207
Nykredit Realkredit A/S
4.158% due 10/01/2038		12,000		2,076
6.000% due 10/01/2029		1,779		330
Realkredit Danmark A/S
4.510% due 10/01/2038		56,000		9,701
Total Denmark (Cost $12,154)				12,314
FRANCE 12.7%
Axa S.A.
3.750% due 01/01/2017	EUR	828		1,580
France Government Bond
4.000% due 04/25/2009		8,050		10,648
4.000% due 10/25/2009		30,070		39,802
4.000% due 04/25/2014		39,700		52,522
4.000% due 10/25/2014		111,700		147,720
4.000% due 04/25/2055		600		782
4.750% due 04/25/2035		1,100		1,603
5.250% due 04/25/2008		26,800		35,967
5.750% due 10/25/2032		10,300		17,048
6.000% due 10/25/2025		3,400		5,600
Total France (Cost $287,364)				313,272
GERMANY 25.8%
DSL Bank AG
7.250% due 08/07/2007	GBP	3,000		5,929
Hypothekenbank in Essen AG
5.500% due 02/20/2007	EUR	1,690		2,235
Landesbank Baden-Wurttemberg
5.500% due 04/02/2007		440		583
LRP Landesbank Rheinland-Pfalz
4.750% due 04/04/2008		1,430		1,906
Republic of Germany
4.000% due 07/04/2009		2,900		3,837
4.250% due 01/04/2014		63,452		85,249
4.250% due 07/04/2014		81,490		109,596
4.750% due 07/04/2034		4,300		6,279
5.000% due 07/04/2011		100		138
5.000% due 01/04/2012		12,700		17,563
5.250% due 07/04/2010		33,500		46,104
5.250% due 01/04/2011		28,400		39,288
5.375% due 01/04/2010		4,100		5,632
5.500% due 01/04/2031		15,400		24,565
5.625% due 01/04/2028		39,370		62,940
6.250% due 01/04/2024		7,600		12,691
6.250% due 01/04/2030		23,950		41,500
6.500% due 07/04/2027		95,560		167,523
Total Germany (Cost $587,408)				633,558
ICELAND 0.1%
Landsbanki Islands Hf
6.070% due 08/25/2009	$	2,400		2,420
Total Iceland (Cost $2,417)				2,420
IRELAND 0.3%
Atlas Reinsurance PLC
7.717% due 01/10/2010	EUR	2,000		2,631
Celtic Residential Irish Mortgage Securitisation
3.880% due 06/13/2035		1,665		2,204
Emerald Mortgages PLC
3.913% due 04/15/2028		1,575		2,086
3.913% due 01/15/2035		429		569
Osiris Capital PLC
10.360% due 01/15/2010	$	1,000		1,006
Total Ireland (Cost $7,492)				8,496
ITALY 0.3%
Italy Buoni Poliennali Del Tesoro
5.250% due 08/01/2011	EUR	3,400		4,722
5.500% due 11/01/2010		1,700		2,366
Siena Mortgages SpA
3.846% due 02/05/2037		908		1,201
Total Italy (Cost $8,097)				8,289
JAPAN 24.9%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	300		382
Development Bank of Japan
4.250% due 06/09/2015	$	7,300		6,909
Japan Government Bond
0.700% due 09/20/2008	JPY	2,980,000		25,029
1.500% due 03/20/2011		12,710,000		108,459
1.500% due 03/20/2014		6,810,000		57,325
1.500% due 03/20/2015		5,200,000		43,462
1.600% due 06/20/2014		8,010,000		67,801
1.600% due 09/20/2014		5,710,000		48,233
2.300% due 05/20/2030		700,300		6,011
2.300% due 06/20/2035		7,380,000		62,281
2.400% due 03/20/2034		2,470,000		21,303
2.500% due 09/20/2035		4,060,000		35,724
2.500% due 06/20/2036		3,900,000		34,216
Japanese Government CPI Linked Bond (b)
1.007% due 06/10/2016		3,484,220		28,723
1.100% due 12/10/2016		6,000,000		50,108
Resona Bank Ltd.
5.850% due 09/29/2049	$	5,700		5,576
Sumitomo Mitsui Banking Corp.
1.348% due 09/29/2049	JPY	400,000		3,388
1.445% due 12/01/2049		600,000		5,074
1.466% due 09/29/2049		100,000		850
5.625% due 07/29/2049	$	1,300		1,273
Total Japan (Cost $644,424)				612,127
JERSEY, CHANNEL ISLANDS 0.3%
Haus Ltd.
3.925% due 12/10/2037	EUR	3,802		5,022
Lloyds TSB Capital
7.375% due 02/07/2049		500		744
SRM Investment Ltd.
3.838% due 08/26/2034		415		549
Total Jersey, Channel Islands (Cost $4,578)				6,315
LUXEMBOURG 0.0%
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008	$	900		900
Total Luxembourg (Cost $900)				900
MEXICO 0.0%
Pemex Project Funding Master Trust
8.850% due 09/15/2007		40		41
Total Mexico (Cost $40)				41
NETHERLAND ANTILLES 0.1%
BTM Curacao Holdings NV
1.020% due 12/31/2049	JPY	200,000		1,681
Total Netherland Antilles (Cost $1,703)				1,681
NETHERLANDS 0.7%
Delphinus BV
3.806% due 04/25/2093	EUR	1,500		1,943
Dutch Mortgage Portfolio Loans BV
3.848% due 11/20/2035		1,223		1,623
Dutch Mortgage-Backed Securities BV
3.693% due 10/02/2079		2,906		3,854
Holland Euro-Denominated Mortgage-Backed Series
3.772% due 04/18/2012		835		1,104
Netherlands Government Bond
3.750% due 07/15/2014		2,500		3,258
Siemens Financieringsmaatschappij NV
5.424% due 08/14/2009	$	4,400		4,403
Total Netherlands (Cost $15,708)				16,185
NEW ZEALAND 0.1%
New Zealand Government Bond
4.500% due 02/15/2016	NZD	2,006		1,941
Total New Zealand (Cost $1,230)				1,941
RUSSIA 0.2%
Gaz Capital for Gazprom
5.875% due 06/01/2015	EUR	700		970
VTB Capital S.A. for Vneshtorgbank
6.115% due 09/21/2007	$	3,800		3,811
Total Russia (Cost $4,679)				4,781
SPAIN 3.0%
Hipotebansa Mortgage Securitization Fund
3.672% due 07/18/2022	EUR	1,004		1,325
Spain Government Bond
4.200% due 07/30/2013		2,200		2,943
4.200% due 01/31/2037		2,300		3,068
5.150% due 07/30/2009		37,730		51,293
5.350% due 10/31/2011		11,100		15,529
Total Spain (Cost $55,338)				74,158
TUNISIA 0.2%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	4,600		5,814
Total Tunisia (Cost $5,561)				5,814
UNITED KINGDOM 7.6%
Bauhaus Securities Ltd.
3.868% due 10/30/2052	EUR	2,419		3,201
Dolerite Funding PLC
5.655% due 08/20/2032	$	481		481
HBOS PLC
5.920% due 09/29/2049		5,900		5,797
HSBC Holdings PLC
6.500% due 05/02/2036		23,800		25,691
National Grid PLC
4.980% due 06/22/2011 (j)	CAD	4,900		4,266
Royal Bank of Scotland Group PLC
5.365% due 12/21/2007	$	6,500		6,507
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		1,500		1,413
United Kingdom Gilt
4.000% due 03/07/2009	GBP	14,900		28,480
4.750% due 06/07/2010		27,900		54,022
5.000% due 03/07/2012		12,830		25,156
8.000% due 09/27/2013		14,100		32,486
Total United Kingdom (Cost $180,939)				187,500
UNITED STATES 85.4%
Asset-Backed Securities 0.8%
Amresco Residential Securities Mortgage Loan Trust
6.290% due 06/25/2029	$	305		314
Argent Securities, Inc.
5.450% due 11/25/2035		606		606
Bear Stearns Asset-Backed Securities, Inc.
5.680% due 10/25/2032		107		107
5.750% due 10/27/2032		210		211
CS First Boston Mortgage Securities Corp.
5.660% due 01/25/2032		122		123
FBR Securitization Trust
5.470% due 10/25/2035		246		246
5.470% due 11/25/2035		785		786
First Alliance Mortgage Loan Trust
5.580% due 12/20/2027		26		26
First NLC Trust
5.470% due 02/25/2036		1,161		1,162
Fremont Home Loan Trust
5.440% due 01/25/2036		352		353
GE-WMC Mortgage Securities LLC
5.450% due 12/25/2035		1,049		1,050
GSAMP Trust
5.460% due 11/25/2035		377		377
Home Equity Mortgage Trust
5.460% due 02/25/2036		422		423
Indymac Residential Asset-Backed Trust
5.450% due 03/25/2036		651		652
Mesa Trust Asset-Backed Certificates
5.750% due 12/25/2031		567		569
Quest Trust
5.910% due 06/25/2034		635		637
Residential Asset Securities Corp.
5.440% due 01/25/2036		410		411
5.450% due 11/25/2035		489		490
5.600% due 07/25/2032		508		508
SG Mortgage Securities Trust
5.450% due 10/25/2035		191		191
Soundview Home Equity Loan Trust
5.450% due 12/25/2035		437		437
Wells Fargo Home Equity Trust
5.580% due 10/25/2035		10,876		10,892
				20,571
Bank Loan Obligations 0.5%
Ford Motor Co.
8.360% due 11/29/2013		2,200		2,201
Georgia-Pacific Corp.
7.300% due 12/20/2012		3,810		3,832
7.350% due 12/20/2012		238		239
7.367% due 12/20/2012		915		920
HCA, Inc.
8.114% due 11/14/2013		4,800		4,859
				12,051
Corporate Bonds & Notes 7.3%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		1,400		1,429
AT&T, Inc.
5.584% due 11/14/2008		500		502
Atlantic & Western Re Ltd.
11.372% due 01/09/2007		6,500		6,504
AutoZone, Inc.
5.875% due 10/15/2012		2,000		2,006
Bank of America Corp.
5.378% due 11/06/2009		7,500		7,506
BellSouth Corp.
5.200% due 09/15/2014		3,000		2,932
Boston Scientific Corp.
5.450% due 06/15/2014		1,500		1,442
6.000% due 06/15/2011		4,700		4,748
6.400% due 06/15/2016		4,300		4,359
C10 Capital SPV Ltd.
6.722% due 12/01/2049		3,200		3,204
Charter One Bank N.A.
5.430% due 04/24/2009		13,550		13,568
CIT Group, Inc.
5.493% due 08/17/2009		7,800		7,813
CMS Energy Corp.
8.900% due 07/15/2008		1,100		1,155
CNA Financial Corp.
6.000% due 08/15/2011		3,600		3,662
CVS Corp.
5.750% due 08/15/2011		900		912
DaimlerChrysler N.A. Holding Corp.
4.875% due 06/15/2010		1,000		976
5.750% due 09/08/2011		1,500		1,498
EchoStar DBS Corp.
6.375% due 10/01/2011		700		697
El Paso Corp.
7.625% due 08/16/2007		1,000		1,015
7.625% due 09/01/2008		300		310
Exelon Corp.
6.750% due 05/01/2011		900		941
General Electric Capital Corp.
4.625% due 09/15/2066	EUR	700		930
5.396% due 12/12/2008	$	4,800		4,806
General Motors Acceptance Corp.
6.000% due 04/01/2011		6,700		6,663
Genworth Financial, Inc.
1.600% due 06/20/2011	JPY	520,000		4,356
GMAC LLC
6.000% due 12/15/2011	$	4,000		3,987
Goldman Sachs Group, Inc.
5.815% due 03/22/2016		2,900		2,922
Harrah’s Operating Co., Inc.
5.975% due 02/08/2008		4,600		4,609
Health Care Property Investors, Inc.
5.950% due 09/15/2011		1,000		1,010
HSBC Finance Corp.
6.538% due 11/13/2007		4,600		4,630
International Lease Finance Corp.
5.400% due 02/15/2012		2,700		2,706
JPMorgan & Co., Inc.
9.604% due 02/15/2012		4,670		4,849
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/29/2036		4,800		4,973
Lennar Corp.
5.950% due 10/17/2011		900		906
Loews Corp.
5.250% due 03/15/2016		1,200		1,171
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		2,200		2,163
Masco Corp.
5.875% due 07/15/2012		1,000		1,002
May Department Stores Co.
4.800% due 07/15/2009		900		886
Merrill Lynch & Co., Inc.
5.464% due 08/14/2009		3,800		3,804
Mizuho JGB Investment LLC
9.870% due 12/29/2049		1,200		1,272
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		1,400		1,465
Morgan Stanley
5.854% due 10/15/2015		5,100		5,156
NiSource Finance Corp.
5.400% due 07/15/2014		1,200		1,165
Rabobank Capital Funding Trust
5.254% due 12/29/2049		3,900		3,767
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		1,200		1,148
SB Treasury Co. LLC
9.400% due 12/29/2049		6,600		6,949
Time Warner, Inc.
5.606% due 11/13/2009		3,400		3,405
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		3,530		3,745
Toyota Motor Credit Corp.
5.346% due 10/12/2007		11,800		11,805
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		500		504
U.S. Bancorp
5.380% due 04/28/2009		8,200		8,209
Viacom, Inc.
5.750% due 04/30/2011		6,100		6,109
				178,251
Mortgage-Backed Securities 3.4%
Banc of America Mortgage Securities
5.000% due 05/25/2034		5,540		5,454
Bear Stearns Alt-A Trust
5.837% due 11/25/2036		8,694		8,744
Citigroup Mortgage Loan Trust, Inc.
4.900% due 10/25/2035		17,939		17,766
4.900% due 12/25/2035		985		978
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		2,800		3,036
Countrywide Home Loan Mortgage Pass-Through Trust
5.670% due 03/25/2035		93		93
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		611		606
5.570% due 11/15/2019		820		821
5.629% due 05/25/2032		91		91
5.900% due 08/25/2033		511		513
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		3,581		3,557
Greenpoint Mortgage Funding Trust
5.620% due 11/25/2045		721		723
GSR Mortgage Loan Trust
4.540% due 09/25/2035		2,232		2,194
Impac CMB Trust
5.750% due 07/25/2033		232		232
JPMorgan Chase Commercial Mortgage Securities Corp.
6.465% due 11/15/2035		10,100		10,604
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		577		574
MASTR Asset Securitization Trust
5.500% due 11/25/2017		959		949
MLCC Mortgage Investors, Inc.
5.730% due 03/15/2025		875		879
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		444		446
Washington Mutual, Inc.
5.114% due 10/25/2032		474		472
5.596% due 02/27/2034		1,532		1,536
5.610% due 11/25/2045		1,790		1,797
5.620% due 12/25/2027		5,432		5,434
5.660% due 01/25/2045		2,433		2,439
5.954% due 05/25/2041		64		64
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		13,476		13,324
				83,326
Municipal Bonds & Notes 0.8%
Chicago, Illinois General Obligation Revenue Bonds, (FSA Insured), Series 2006
4.750% due 01/01/2030 (e)		2,490		2,571
District of Columbia Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
6.500% due 05/15/2033		1,115		1,334
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
6.250% due 06/01/2033		2,400		2,685
Harris County, Texas Revenue Bonds, Series 2003
5.000% due 08/01/2033		820		832
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		1,435		1,499
Illinois State Regional Transportation Authority Revenue Bonds, (FSA Insured), Series 1999
5.750% due 06/01/2014		20		22
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
5.300% due 06/01/2025		3,105		3,290
6.500% due 06/01/2023		1,780		1,773
Louisville & Jefferson Counties, Kentucky Metro Sewer District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		200		210
Metropolitan Water District of Southern California Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 10/01/2036		530		559
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038 (e)		1,800		1,854
New York State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
5.500% due 06/01/2014		300		312
5.500% due 06/01/2017		600		641
	Shares
New York State Tobacco Settlement Financing Corporations Revenue Notes, Series 2003
5.250% due 06/01/2013		3,500		3,577
				21,159
Preferred Stocks 0.3%
DG Funding Trust
7.614% due 12/31/2049		640		6,744
	Principal Amount (000s)
U.S. Government Agencies 68.1%
Fannie Mae
4.190% due 11/01/2034	$	11,981		11,866
4.951% due 12/01/2034		2,238		2,224
5.000% due 11/25/2032 - 01/01/2037		34,819		33,519
5.147% due 11/01/2022		19		19
5.470% due 03/25/2034		411		412
5.500% due 11/01/2028 - 10/01/2035		76,044		75,299
5.649% due 04/01/2032		161		161
6.000% due 10/01/2035 - 07/25/2044		1,318,083		1,326,842
6.450% due 01/01/2023		63		64
6.500% due 02/01/2026 - 01/01/2037		158,642		161,682
6.962% due 08/01/2023		218		221
7.362% due 12/01/2030		44		45
Federal Home Loan Bank
4.300% due 05/12/2008		10,000		9,895
Freddie Mac
4.400% due 09/01/2035		1,022		1,010
5.000% due 12/15/2031 - 08/15/2035		8,499		7,807
5.700% due 12/15/2030		1,238		1,241
5.958% due 10/25/2044		12,750		12,822
6.816% due 06/01/2022		321		329
9.050% due 06/15/2019		6		6
Government National Mortgage Association
5.125% due 11/20/2021 - 11/20/2030		359		364
5.375% due 05/20/2022 - 05/20/2030		2,039		2,059
5.750% due 07/20/2022 - 08/20/2027		844		855
6.000% due 08/20/2034		6,195		6,363
Small Business Administration
5.980% due 05/01/2022		5,556		5,717
6.344% due 08/01/2011		1,825		1,884
6.640% due 02/01/2011		882		915
Tennessee Valley Authority
5.880% due 04/01/2036		8,145		8,988
5.980% due 04/01/2036		1,855		2,066
				1,674,675
U.S. Treasury Obligations 4.2%
Treasury Inflation Protected Securities (b)
0.875% due 04/15/2010		11,413		10,823
1.625% due 01/15/2015		1,056		994
1.875% due 07/15/2015		2,798		2,682
2.000% due 01/15/2014		327		318
2.000% due 07/15/2014		8,662		8,410
2.000% due 01/15/2026		1,219		1,147
3.625% due 04/15/2028		1,234		1,490
U.S. Treasury Bonds
5.500% due 08/15/2028		1,270		1,372
6.125% due 11/15/2027		500		580
8.125% due 08/15/2019		32,600		42,602
8.125% due 05/15/2021		13,800		18,379
U.S. Treasury Notes
4.375% due 12/15/2010		15,600		15,425
				104,222
Total United States (Cost $2,105,565)				2,100,999
SHORT-TERM INSTRUMENTS 6.0%
Certificates of Deposit 0.5%
Countrywide Funding Corp.
5.350% due 08/16/2007	$	12,100		12,100
Commercial Paper 2.6%
Rabobank USA Financial Corp.
5.280% due 01/02/2007		54,100		54,100
Time Warner, Inc.
5.390% due 01/25/2007		9,200		9,170
				63,270
Repurchase Agreements 1.2%
Lehman Brothers, Inc.
4.850% due 01/02/2007		29,000		29,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Bonds 6.250% due 08/15/2023 valued at $29,684. Repurchase proceeds are $29,016.)
Tri-Party Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 01/02/2007		8,308		8,308
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $8,477. Repurchase proceeds are $8,313.)
U.S. Treasury Bills 1.4%
4.830% due 03/01/2007 - 03/15/2007 (a)(c)(f)		34,205		33,865
Total Short-Term Instruments (Cost $146,578)				146,543
Purchased Options (h) 0.4% (Cost $18,517)				11,008
Total Investments (d) 172.8% (Cost $4,184,561)			$	4,250,606
Written Options (i) (0.6%) (Premiums $16,942)				(15,794	)
Other Assets and Liabilities (Net) (72.2%)				(1,775,105	)
Net Assets 100.0%			$	2,459,707

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

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

(a) Coupon represents a weighted average rate.

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

(c) Securities with an aggregate market value of $15,353 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(d) As of December 31, 2006, portfolio securities with an aggregate value of $132,598 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Residual Interest Bonds Held in Trust - Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Portfolio acquired the residual interest certificates. These securities serve as collateral in a financing transaction.

(f) Securities with an aggregate market value of $14,049 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	1,779	$	(284	)
90-Day Eurodollar December Futures	Long	12/2008	312		300
90-Day Eurodollar June Futures	Long	06/2007	1,568		3
90-Day Eurodollar June Futures	Long	06/2008	263		0
90-Day Eurodollar March Futures	Long	03/2008	754		(243	)
90-Day Eurodollar March Futures	Long	03/2009	89		91
90-Day Eurodollar September Futures	Long	09/2007	920		488
90-Day Eurodollar September Futures	Long	09/2008	575		296
Euro-Bund 10-Year Note March Futures	Long	03/2007	1,854		(6,719	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 118.500	Short	03/2007	170		27
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	1,049		346
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.500	Short	03/2007	510		189
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 109.500	Long	03/2007	973		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 112.000	Long	03/2007	891		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 112.500	Long	03/2007	849		11
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 114.500	Short	03/2007	40		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 115.000	Short	03/2007	53		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 115.500	Short	03/2007	170		(54	)
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	118		(81	)
Japan Government 10-Year Note March Futures	Long	03/2007	307		(948	)
U.S. Treasury 5-Year Note March Futures	Long	03/2007	118		(12	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	399		(309	)
U.S. Treasury 30-Year Bond March Futures	Long	03/2007	419		(701	)
				$	(7,600	)

(g) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016	EUR	7,000	$	9
BNP Paribas Bank	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		5,200		5
Deutsche Bank AG	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		5,700		0
Goldman Sachs & Co.	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		1,700		1
HSBC Bank USA	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		1,800		1
JPMorgan Chase & Co.	Dow Jones ITRAX 6HIVOL Index	Buy	(0.850	%)	12/20/2016		2,700		2
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	840,000		55
Bank of America	May Department Stores Co. 4.800% due 07/15/2009	Buy	(0.190	%)	9/20/2009	$	900		0
Bank of America	Exelon Corp. 6.750% due 05/01/2011	Buy	(0.330	%)	6/20/2011		900		(1	)
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		64,600		22
Bank of America	Pampelonne CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 11/11/2051	Buy	(1.750	%)	11/11/2051		4,000		(5	)
Barclays Bank PLC	National Grid PLC	Buy	(0.208	%)	6/20/2011		4,300		6
Barclays Bank PLC	International Lease Finance Corp. 5.400% due 02/15/2012	Buy	(0.170	%)	3/20/2012		2,700		(3	)
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		12,300		7
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 4.875% due 06/15/2010	Buy	(0.520	%)	6/20/2010		1,000		(5	)
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	6/20/2011		2,400		3
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	9/20/2011		3,800		(30	)
Bear Stearns & Co., Inc.	NiSource Finance Corp. 5.400% due 07/15/2014	Buy	(0.620	%)	9/20/2014		1,150		(7	)
Bear Stearns & Co., Inc.	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.285	%)	12/20/2015		2,500		5
Bear Stearns & Co., Inc.	Goldman Sachs Group, Inc. floating rate based on 3-Month USD-LIBOR plus 0.450% due 03/22/2016	Buy	(0.330	%)	3/20/2016		2,900		(5	)
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.330	%)	3/20/2016		1,150		(9	)
Citibank N.A.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012		2,100		(25	)
Deutsche Bank AG	Lennar Corp. 5.950% due 10/17/2011	Buy	(0.785	%)	12/20/2011		900		(11	)
Deutsche Bank AG	ACE INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	6/20/2014		1,400		(14	)
Deutsche Bank AG	Boston Scientific Corp. 5.450% due 06/15/2014	Buy	(0.620	%)	6/20/2014		1,500		9
Deutsche Bank AG	Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014		1,400		(17	)
Goldman Sachs & Co.	JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.990	%	9/20/2010		500		11
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		73,600		(159	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.320	%	2/20/2007		1,000		1
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	6/20/2007		500		11
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.345	%	8/20/2011		19,900		465
JPMorgan Chase & Co.	Health Care Property Investors, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	9/20/2011		1,000		(9	)
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.135	%)	8/20/2016		11,100		(563	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	6/20/2007		700		16
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	8/20/2011		29,600		602
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	8/20/2011		8,100		199
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	9/20/2014		3,000		(3	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.160	%)	8/20/2016		4,600		(242	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.065	%)	8/20/2016		4,300		(194	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.050	%)	8/20/2016		12,100		(535	)
Merrill Lynch & Co., Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.410	%	6/20/2007		9,500		10
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	3/20/2010		2,976		27
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 6.000% due 04/01/2011	Buy	(1.290	%)	6/20/2011		6,700		(102	)
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.340	%	8/20/2011		15,600		360
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.130	%)	8/20/2016		8,700		(438	)
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.550	%	6/20/2007		1,400		30
Morgan Stanley	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	3/20/2010		15,872		145
Morgan Stanley	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.700	%)	9/20/2010		900		(52	)
Morgan Stanley	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	6/20/2011		1,000		(5	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	8/20/2011		21,700		542
Morgan Stanley	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	6/20/2012		1,200		(6	)
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	9/20/2012		1,000		(2	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.180	%)	8/20/2016		12,100		(656	)
Royal Bank of Scotland Group PLC	Landsbanki Islands Hf floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	9/20/2009		2,400		(4	)
Royal Bank of Scotland Group PLC	CVS Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	9/20/2011		1,000		0
Royal Bank of Scotland Group PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.620	%)	9/20/2011		1,500		(9	)
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.295	%)	12/20/2015		2,600		3
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	6/20/2007		1,000		22
UBS AG	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		12,000		5
								$	(537	)

(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	6/15/2010	AUD	70,250	$	(1,477	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.000	%	6/15/2015		39,700		1,137
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009		45,600		(121	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/15/2012		9,800		(62	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.000	%	6/15/2017		5,600		72
HSBC Bank USA	6-Month Australian Bank Bill	Pay	6.000	%	6/15/2012		9,000		(61	)
HSBC Bank USA	6-Month Australian Bank Bill	Receive	6.000	%	6/15/2017		5,200		70
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009		30,300		(115	)
UBS AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009		49,100		(186	)
UBS AG	6-Month Australian Bank Bill	Pay	6.000	%	6/15/2010		71,300		(1,530	)
UBS AG	6-Month Australian Bank Bill	Receive	6.000	%	6/15/2015		40,900		1,261
Bank of America	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027	CAD	2,900		(34	)
Citibank N.A.	3-Month Canadian Bank Bill	Receive	5.000	%	6/15/2015		10,000		16
Deutsche Bank AG	3-Month Canadian Bank Bill	Pay	5.500	%	6/15/2035		1,900		91
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.000	%	6/15/2015		7,300		265
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010	EUR	2,300		(112	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		19,000		330
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		43,800		(231	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		16,000		279
Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	6/17/2012		46,100		2,114
Credit Suisse First Boston	6-Month EUR-LIBOR	Receive	4.000	%	6/15/2017		37,050		858
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		91,330		(819	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.435	%	6/18/2034		6,900		182
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	6/21/2036		3,800		(100	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		78,000		1,068
HSBC Bank USA	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		13,620		(137	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		4,770		(195	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Receive	5.000	%	6/17/2012		29,500		1,354
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		2,600		38
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		9,400		84
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		2,100		(64	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		700		(34	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		4,000		61
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		3,100		(128	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		5,300		(2	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	6/15/2017		59,550		1,378
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		29,200		(171	)
UBS AG	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		85,200		(1,067	)
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		20,500		374
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010	GBP	74,450		(3,112	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		800		(15	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.500	%	9/15/2017		27,900		(103	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/18/2034		10,100		468
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		14,600		122
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.250	%	6/12/2036		6,900		410
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		3,500		(89	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		6,600		(150	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	6/18/2034		15,000		731
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,200		29
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.250	%	6/12/2036		4,300		255
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		17,100		(253	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		27,500		(541	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.250	%	6/12/2036		21,900		(259	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		3,700		(105	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	6/18/2034		5,600		128
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		3,900		91
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		10,500		(235	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		11,300		(480	)
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2009		10,000		(91	)
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		4,100		51
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.322	%	9/14/2009		100		1
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		16,500		(398	)
Barclays Bank PLC	6-Month HUF-LIBOR	Receive	7.540	%	9/27/2016	HUF	366,000		(63	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.540	%	9/27/2016		2,137,000		(474	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.720	%	10/6/2016		1,072,000		(351	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.720	%	10/10/2016		408,000		(134	)
JPMorgan Chase & Co.	6-Month HUF-LIBOR	Receive	7.720	%	10/10/2016		272,000		(89	)
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016	JPY	1,800,000		(118	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	9/18/2008		26,670,000		194
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		4,170,000		(209	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	1.000	%	3/18/2008		34,500,000		484
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.300	%	9/21/2011		2,008,000		18
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		8,000,000		(112	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		22,630,000		(1,375	)
JPMorgan Chase & Co.	6-Month JPY-LIBOR	Receive	1.000	%	6/24/2011		500,000		(4	)
Lehman Brothers, Inc.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		3,455,000		(669	)
Merrill Lynch & Co., Inc.	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		3,310,000		(125	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	0.390	%	6/18/2007		525,000		29
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	9/18/2008		10,500,000		37
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		7,490,000		(490	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.980	%	9/27/2016		4,800,000		(852	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016	MXN	85,000		283
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	9/22/2016		116,000		787
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	9/23/2016		21,000		134
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016		598,700		323
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	9/23/2016		14,000		93
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		41,000		136
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012	$	17,400		(191	)
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		16,700		249
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		35,500		308
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		8,200		179
Credit Suisse First Boston	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		29,700		521
Deutsche Bank AG	Difference in Constant Maturity Swap 10-Year vs. 2-Year	Receive	0.288	%	12/7/2007		22,800		(86	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		8,200		71
Goldman Sachs & Co.	Difference in Constant Maturity Swap 10-Year vs. 2-Year	Receive	0.288	%	12/7/2007		21,900		(60	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		54,100		471
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2008		42,400		124
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		21,600		494
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		129,100		1,125
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		26,200		600
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2009		34,000		114
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		19,900		224
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		10,000		(217	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2007		73,800		(37	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		15,600		(171	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		9,800		85
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		99,500		1,954
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		21,600		(297	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		13,300		(146	)
UBS AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		18,000		(995	)
								$	2,613

(h) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	114.000	2/23/2007	1,122	$	21	$	18
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	1,483		14		0
					$	35	$	18

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007	GBP	43,300	$	224	$	19
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		49,000		253		41
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	5/11/2007		21,000		115		5
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.150	%	9/14/2007		45,500		234		111
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007		88,000		408		73
Call - OTC 2-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	5/17/2007		64,000		350		17
Call - OTC 2-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	6/6/2007		16,200		87		6
Call - OTC 2-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007		63,900		336		53
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.150	%	9/14/2007		94,500		532		230
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.188	%	9/14/2007		108,500		620		301
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.201	%	9/14/2007		35,000		200		102
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	238,000		881		711
Call - OTC 2-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		198,000		772		279
Call - OTC 1-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		731,000		1,741		542
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		511,700		2,060		2,382
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2007		211,100		1,368		1,288
Call - OTC 30-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.750	%	4/27/2009		9,700		502		864
Put - OTC 30-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	6.250	%	4/27/2009		9,700		676		177
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		62,000		290		87
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		106,700		359		319
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.150	%	5/8/2007		833,700		3,150		3,406
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.190	%	5/9/2007		193,700		385		301
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		108,000		447		220
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		169,600		441		167
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		435,000		1,653		614
									$	18,084	$	12,315

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	116.000	12/5/2007	$	28,000	$	282	$	505
Options on Securities
Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Fannie Mae 5.000% due 03/01/2037	$	106.000	3/6/2007	$	100,000	$	12	$	3
Put - OTC Fannie Mae 5.500% due 02/01/2037		87.000	2/5/2007		20,000		2		0
Put - OTC Fannie Mae 6.000% due 03/01/2037		91.000	3/6/2007		446,000		52		34
Put - OTC Fannie Mae 6.000% due 03/01/2037		91.375	3/6/2007		198,000		23		16
Put - OTC Fannie Mae 6.000% due 03/01/2037		91.688	3/6/2007		84,000		10		5
Put - OTC Fannie Mae 6.000% due 03/01/2037		92.219	3/6/2007		145,000		17		6
						$	116	$	64

Straddle Options

Description	Counterparty	Exercise Price(2)		Expiration Date	Notional Amount		Cost(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Bank of America	$	0.000	2/13/2007	$	58,100	$	0	$	(750	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.		0.000	5/10/2007		40,000		0		(174	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	JPMorgan Chase & Co.		0.000	3/20/2007		4,000		0		(29	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	UBS AG		0.000	1/17/2007		44,000		0		(601	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	UBS AG		0.000	3/20/2007		35,100		0		(340	)
							$	0	$	(1,894	)

⁽²⁾ Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(i) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 8-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	27,000	$	459	$	130
Call - OTC 8-Year Interest Rate Swap	Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		13,000		239		119
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		25,100		459		121
Call - OTC 8-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.850	%	6/6/2007		4,600		93		19
Call - OTC 8-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		18,500		314		89
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		27,000		543		247
Call - OTC 8-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		41,000		820		376
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	104,000		853		846
Call - OTC 5-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		85,000		808		391
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		222,500		2,080		3,182
Call - OTC 10-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.250	%	5/16/2007		30,000		335		466
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.150	%	12/20/2007		91,800		1,326		1,395
Call - OTC 10-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.250	%	5/16/2007		9,900		129		154
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		25,000		278		115
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		46,400		367		501
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.280	%	5/8/2007		362,200		3,213		4,781
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		43,400		402		621
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.750	%	7/2/2007		161,200		1,572		673
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		36,500		394		262
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		47,300		494		385
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		187,000		1,692		861
									$	16,870	$	15,734

Credit Default Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call - OTC British Telecom SP 7.125% due 02/15/2011

Morgan Stanley

3-Month USD-LIBOR

Receive

0.450

%

6/20/2008

$

13,650

$

72

$

60

(j) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
National Grid PLC	4.980	%	6/22/2011	11/3/2006	$	4,393	$	4,266	0.17	%

(k) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	1/1/2037	$	211,000	$	205,493	$	203,747
Fannie Mae	5.000	%	2/1/2037		88,000		84,947		84,975
Fannie Mae	5.500	%	1/1/2037		82,000		81,555		81,052
Fannie Mae	5.500	%	2/1/2037		42,000		41,785		41,501
Fannie Mae	6.000	%	10/1/2036		60,000		60,345		60,094
U.S. Treasury Notes	3.000	%	2/15/2009		16,300		15,820		15,925
U.S. Treasury Notes	4.000	%	4/15/2010		25,000		24,661		24,707
U.S. Treasury Notes	4.000	%	2/15/2015		7,600		7,306		7,376
U.S. Treasury Notes	4.125	%	5/15/2015		5,000		4,886		4,839
U.S. Treasury Notes	4.250	%	11/15/2013		13,800		13,685		13,531
U.S. Treasury Notes	4.250	%	11/15/2014		25,100		24,568		24,563
U.S. Treasury Notes	4.500	%	2/15/2016		25,700		25,736		25,805
U.S. Treasury Notes	4.625	%	11/15/2016		119,800		120,641		120,000
U.S. Treasury Notes	4.875	%	5/31/2011		4,500		4,590		4,558
U.S. Treasury Notes	5.125	%	5/15/2016		115,690		121,235		120,332
U.S. Treasury Notes	5.500	%	5/15/2009		13,500		13,814		13,859
						$	851,067	$	846,864

(3) Market value includes $3,650 of interest payable on short sales.

(l) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	AUD	66,546	01/2007	$	759	$	0		$	759
Sell		26	01/2007		0		0			0
Buy		8,842	02/2007		50		0			50
Buy	BRL	2,588	05/2007		31		0			31
Buy		9,864	06/2007		90		0			90
Buy	CAD	3,124	01/2007		0		(62	)		(62	)
Sell		30,017	01/2007		653		0			653
Buy	CLP	296,000	05/2007		0		(7	)		(7	)
Buy		203,300	06/2007		0		(4	)		(4	)
Buy	CNY	33,886	03/2007		1		0			1
Buy		135,733	05/2007		45		0			45
Buy		113,995	08/2007		318		0			318
Buy		193,360	09/2007		344		0			344
Buy		97,896	11/2007		35		0			35
Sell	DKK	77,434	03/2007		12		(34	)		(22	)
Buy	EUR	236,049	01/2007		19		(1,448	)		(1,429	)
Sell		766,072	01/2007		10,921		(27	)		10,894
Buy	GBP	284	01/2007		0		(3	)		(3	)
Sell		82,641	01/2007		27		(941	)		(914	)
Sell	HKD	1,587	03/2007		0		0			0
Buy	INR	21,887	02/2007		24		0			24
Buy	JPY	21,500	01/2007		0		(1	)		(1	)
Sell		7,463,871	01/2007		1,094		(4	)		1,090
Sell		57,004,356	02/2007		6,428		0			6,428
Buy	KRW	5,133,125	02/2007		165		0			165
Buy		1,676,148	03/2007		28		(1	)		27
Buy	MXN	80,392	01/2007		66		0			66
Buy		7,900	04/2007		17		0			17
Buy	NOK	21,052	01/2007		0		(80	)		(80	)
Buy		21,172	03/2007		0		(57	)		(57	)
Sell	NZD	77,103	01/2007		0		(2,717	)		(2,717	)
Sell		13,345	02/2007		0		(225	)		(225	)
Buy	PLN	484	04/2007		6		0			6
Buy	RUB	16,234	01/2007		7		0			7
Buy		15,372	09/2007		0		(3	)		(3	)
Buy	SGD	9,419	01/2007		79		0			79
Sell		756	02/2007		0		(7	)		(7	)
Buy	TWD	235,908	02/2007		0		(92	)		(92	)
Sell		69,047	02/2007		0		(9	)		(9	)
				$	21,219	$	(5,722	)	$	15,497

See Accompanying Notes

Schedule of Investments

Foreign Bond Fund (Unhedged)

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARUBA 0.1%
Mizuho Trust & Banking Co. Ltd.
2.405% due 04/27/2009	JPY	200,000	$	1,729
Total Aruba (Cost $1,757)				1,729
CANADA 0.4%
DaimlerChrysler Canada Finance, Inc.
4.850% due 03/30/2009	CAD	2,400		2,060
Province of Ontario Canada
6.200% due 06/02/2031		5,500		5,834
Province of Quebec Canada
5.750% due 12/01/2036		2,300		2,305
Total Canada (Cost $10,568)				10,199
CAYMAN ISLANDS 2.0%
Asahi Finance Cayman Ltd.
1.654% due 02/28/2049	JPY	1,700,000		14,290
ASIF II
4.439% due 06/15/2007	CAD	400		343
Calabash Re II Ltd. (a)
13.746% due 01/08/2010	$	3,100		3,102
Foundation Re II Ltd.
12.123% due 11/26/2010		1,500		1,500
Mizuho Finance Cayman Ltd.
1.007% due 09/28/2049	JPY	300,000		2,531
1.466% due 12/31/2049		100,000		858
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049	$	4,700		4,778
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	1,800		2,324
Mystic Re Ltd.
14.370% due 12/05/2008	$	500		500
Redwood Capital IX Ltd.
11.614% due 01/09/2008		1,000		1,001
12.114% due 01/09/2008		2,000		2,001
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		5,600		5,559
Vita Capital Ltd.
6.710% due 01/01/2007		1,100		1,100
Vita Capital III Ltd.
6.466% due 01/01/2011		4,000		3,999
Total Cayman Islands (Cost $44,157)				43,886
DENMARK 0.5%
Nykredit Realkredit A/S
4.158% due 10/01/2038	DKK	23,000		3,978
Realkredit Danmark A/S
4.510% due 10/01/2038		32,000		5,535
4.510% due 10/01/2038		15,000		2,610
Total Denmark (Cost $12,187)				12,123
FINLAND 0.4%
Nordea Bank Finland
5.308% due 05/28/2008	$	8,000		8,003
Total Finland (Cost $7,995)				8,003
FRANCE 6.9%
France Government Bond
4.000% due 10/25/2009	EUR	4,500		5,956
4.000% due 04/25/2014		300		397
4.000% due 10/25/2014		92,900		122,857
4.000% due 04/25/2055		300		391
4.750% due 10/25/2012		100		137
5.500% due 04/25/2029	EUR	4,200	$	6,644
5.750% due 10/25/2032		10,100		16,717
Total France (Cost $147,984)				153,099
GERMANY 18.1%
Republic of Germany
3.750% due 01/04/2015	EUR	39,000		50,768
4.000% due 07/04/2009		300		397
4.250% due 01/04/2014		27,340		36,732
4.250% due 07/04/2014		27,000		36,312
4.750% due 07/04/2034		400		584
5.000% due 01/04/2012		2,000		2,766
5.000% due 07/04/2012		16,700		23,168
5.250% due 07/04/2010		8,700		11,973
5.250% due 01/04/2011		79,300		109,703
5.375% due 01/04/2010		300		412
5.500% due 01/04/2031		300		479
5.625% due 01/04/2028		41,700		66,665
6.250% due 01/04/2024		9,800		16,365
6.250% due 01/04/2030		22,640		39,230
6.500% due 07/04/2027		2,260		3,962
Total Germany (Cost $393,420)				399,516
ICELAND 0.3%
Glitnir Banki Hf
5.800% due 01/21/2011	$	3,000		3,004
Kaupthing Bank Hf
5.750% due 10/04/2011		2,900		2,900
Total Iceland (Cost $5,885)				5,904
IRELAND 0.5%
Atlas Reinsurance PLC
7.717% due 01/10/2010	EUR	2,000		2,632
Bank of Ireland
5.375% due 12/19/2008	$	7,000		7,003
Osiris Capital PLC
10.360% due 01/15/2010		1,000		1,005
Total Ireland (Cost $10,617)				10,640
ITALY 0.1%
Italy Buoni Poliennali Del Tesoro
3.000% due 04/15/2009	EUR	700		907
4.500% due 05/01/2009		1,000		1,337
Total Italy (Cost $2,189)				2,244
JAPAN 17.3%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	300		382
Japan Government Bond
0.700% due 09/20/2008	JPY	1,790,000		15,034
1.500% due 03/20/2011		5,150,000		43,947
1.500% due 03/20/2014		1,520,000		12,795
1.500% due 03/20/2015		3,850,000		32,178
1.600% due 09/20/2013		1,660,000		14,117
1.600% due 06/20/2014		3,970,000		33,604
1.600% due 09/20/2014		1,650,000		13,938
2.300% due 05/20/2030		1,347,700		11,568
2.300% due 06/20/2035		3,530,000		29,790
2.400% due 03/20/2034		580,000		5,002
2.500% due 09/20/2035		6,210,000		54,643
2.500% due 06/20/2036		4,291,000		37,646
Japanese Government CPI Linked Bond (c)
1.100% due 12/10/2016		5,200,000		43,427
1.168% due 06/10/2016		2,688,690		22,164
Resona Bank Ltd.
5.850% due 09/29/2049	$	3,500	$	3,424
Sumitomo Mitsui Banking Corp.
1.348% due 12/31/2049	JPY	300,000		2,541
1.445% due 12/01/2049		400,000		3,383
1.466% due 09/29/2049		300,000		2,549
Total Japan (Cost $396,871)				382,132
JERSEY, CHANNEL ISLANDS 0.0%
SRM Investment Ltd.
3.838% due 08/26/2034	EUR	83		110
Total Jersey, Channel Islands (Cost $100)				110
KOREA 0.1%
Export-Import Bank of Korea
4.250% due 11/27/2007	$	1,704		1,686
Korea Development Bank
4.250% due 11/13/2007		670		663
Total Korea (Cost $2,354)				2,349
LUXEMBOURG 0.1%
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008	$	3,100		3,102
Total Luxembourg (Cost $3,100)				3,102
MEXICO 0.0%
Pemex Project Funding Master Trust
5.750% due 12/15/2015	$	100		99
Total Mexico (Cost $99)				99
NETHERLAND ANTILLES 0.1%
BTM Curacao Holdings NV
1.020% due 12/31/2049	JPY	300,000		2,522
Total Netherland Antilles (Cost $2,554)				2,522
NETHERLANDS 0.2%
Netherlands Government Bond
3.750% due 07/15/2014	EUR	1,200		1,564
4.250% due 07/15/2013		400		537
Siemens Financieringsmaatschappij NV
5.424% due 08/14/2009	$	1,400		1,401
Total Netherlands (Cost $3,466)				3,502
RUSSIA 0.4%
Gaz Capital for Gazprom
5.875% due 06/01/2015	EUR	600		832
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008	$	5,900		5,910
6.115% due 09/21/2007		1,600		1,605
Total Russia (Cost $8,254)				8,347
SPAIN 5.0%
Santander U.S. Debt S.A. Unipersonal
5.426% due 11/20/2009	$	4,000		4,003
Spain Government Bond
4.200% due 01/31/2037	EUR	900		1,201
4.400% due 01/31/2015		42,000		56,991
5.400% due 07/30/2011		20,800		29,080
5.750% due 07/30/2032		11,150		18,385
6.150% due 01/31/2013		1,000		1,473
Total Spain (Cost $114,362)				111,133
TUNISIA 0.2%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	3,000	$	3,792
Total Tunisia (Cost $3,627)				3,792
UKRAINE 0.1%
Ukraine Government International Bond
4.950% due 10/13/2015	EUR	1,000		1,270
Total Ukraine (Cost $1,210)				1,270
UNITED KINGDOM 5.9%
Arkle Master Issuer PLC
5.330% due 11/19/2007		7,300		7,313
HBOS PLC
5.920% due 09/29/2049		3,300		3,243
HBOS Treasury Services PLC
5.350% due 07/17/2008		2,300		2,302
HSBC Holdings PLC
6.500% due 05/02/2036		17,300		18,674
Royal Bank of Scotland Group PLC
5.365% due 12/21/2007		3,500		3,504
5.770% due 07/06/2012		4,100		4,104
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		1,100		1,036
United Kingdom Gilt
4.000% due 03/07/2009	GBP	11,400		21,790
4.750% due 06/07/2010		12,900		24,978
5.000% due 03/07/2012		2,030		3,980
5.000% due 09/07/2014		35		69
5.750% due 12/07/2009		3,900		7,761
9.000% due 07/12/2011		11,900		26,991
Vodafone Group PLC
5.424% due 06/29/2007	$	3,500		3,501
XL Capital Europe PLC
6.500% due 01/15/2012		500		521
Total United Kingdom (Cost $128,260)				129,767
UNITED STATES 97.5%
Asset-backed Securities 10.4%
ACE Securities Corp.
5.380% due 10/25/2036	$	5,486		5,489
Amortizing Residential Collateral Trust
5.640% due 07/25/2032		1		1
5.700% due 10/25/2031		7		7
Argent Securities, Inc.
5.370% due 10/25/2036		7,830		7,835
5.410% due 05/25/2036		163		163
5.450% due 11/25/2035		319		320
5.470% due 10/25/2035		11		11
5.490% due 02/25/2036		58		58
Asset-Backed Funding Certificates
5.380% due 10/25/2036		5,895		5,899
5.700% due 06/25/2034		8,725		8,740
Bear Stearns Asset-Backed Securities, Inc.
5.520% due 12/25/2042		75		75
5.800% due 03/25/2043		10		10
Carrington Mortgage Loan Trust
5.415% due 07/25/2036		1,723		1,724
Chase Credit Card Master Trust
5.460% due 02/15/2011		1,450		1,454
CIT Group Home Equity Loan Trust
5.640% due 03/25/2033		15		15
Countrywide Asset-Backed Certificates
5.370% due 03/25/2047		8,103		8,108
5.410% due 09/25/2046		2,373		2,374
5.830% due 12/25/2031		5		5
CS First Boston Mortgage Securities Corp.
5.660% due 01/25/2032		4		4
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		3,700		3,701
FBR Securitization Trust
5.470% due 10/25/2035		123		123
5.470% due 11/25/2035		449		449
First NLC Trust
5.470% due 02/25/2036		658		659
Fremont Home Loan Trust
5.390% due 02/25/2037		11,054		11,060
5.440% due 01/25/2036		159		159
GE-WMC Mortgage Securities LLC
5.450% due 12/25/2035		544		544
GSAMP Trust
5.460% due 09/25/2035		7		7
5.460% due 11/25/2035		188		189
5.640% due 03/25/2034		56		56
HFC Home Equity Loan Asset-Backed Certificates
5.700% due 09/20/2033		985		989
Home Equity Asset Trust
5.460% due 02/25/2036		35		36
Home Equity Mortgage Trust
5.460% due 02/25/2036		235		235
Indymac Residential Asset-Backed Trust
5.450% due 03/25/2036		366		367
IXIS Real Estate Capital Trust
5.410% due 08/25/2036		2,165		2,167
JPMorgan Mortgage Acquisition Corp.
5.420% due 03/25/2036		3,126		3,128
Lehman XS Trust
5.400% due 06/25/2046		966		966
5.430% due 07/25/2046		6,184		6,187
5.430% due 11/25/2046		11,305		11,310
Long Beach Mortgage Loan Trust
5.470% due 09/25/2035		3		3
5.550% due 11/25/2034		31		31
5.630% due 10/25/2034		3,646		3,650
Merrill Lynch Mortgage Investors, Inc.
5.390% due 07/25/2037		9,710		9,716
5.400% due 05/25/2037		461		461
5.400% due 09/25/2037		9,900		9,905
5.420% due 08/25/2036		11,000		11,010
5.507% due 06/25/2036		143		143
Morgan Stanley Capital I
5.460% due 02/25/2036		5,700		5,707
New Century Home Equity Loan Trust
5.460% due 09/25/2035		9		9
Newcastle Mortgage Securities Trust
5.420% due 03/25/2036		4,732		4,736
Option One Mortgage Loan Trust
5.450% due 11/25/2035		114		114
Quest Trust
5.790% due 09/25/2034		52		52
Renaissance Home Equity Loan Trust
5.700% due 08/25/2032		2		2
5.850% due 12/25/2033		1,320		1,331
Residential Asset Mortgage Products, Inc.
5.400% due 10/25/2036		11,443		11,449
5.450% due 05/25/2035		320		320
Residential Asset Securities Corp.
5.400% due 10/25/2036		10,043		10,050
5.420% due 07/25/2036		3,653		3,656
5.440% due 01/25/2036		205		205
5.600% due 07/25/2032		27		27
5.620% due 04/25/2032		23		24
SACO I, Inc.
5.410% due 05/25/2036		1,945		1,947
Saxon Asset Securities Trust
5.380% due 11/25/2036		13,462		13,471
5.610% due 08/25/2032		3		3
SBI HELOC Trust
5.490% due 08/25/2036		9,445		9,445
Securitized Asset-Backed Receivables LLC Trust
5.410% due 03/25/2036		617		617
SG Mortgage Securities Trust
5.450% due 10/25/2035		103		103
SLM Student Loan Trust
5.345% due 10/25/2012		10,600		10,598
Soundview Home Equity Loan Trust
5.410% due 06/25/2036		105		106
5.450% due 12/25/2035		235		235
Structured Asset Investment Loan Trust
5.440% due 01/25/2036		5,655		5,659
Structured Asset Securities Corp.
5.750% due 05/25/2034		17		17
Wells Fargo Home Equity Trust
5.470% due 12/25/2035		8,543		8,549
5.580% due 10/25/2035		10,147		10,162
5.590% due 11/25/2035		12,000		12,031
				230,168
Bank Loan Obligations 0.5%
Ford Motor Co.
8.360% due 11/29/2013		1,100		1,101
Georgia-Pacific Corp.
7.300% due 12/20/2012		2,286		2,299
7.350% due 12/20/2012		143		144
7.367% due 12/20/2012		549		552
HCA, Inc.
8.114% due 11/14/2013		4,100		4,150
Reynolds American, Inc.
7.104% due 05/31/2012		1,258		1,268
7.188% due 05/31/2012		1,645		1,658
7.250% due 05/31/2012		89		90
				11,262
CORPORATE BONDS & NOTES 11.3%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		1,000		1,021
American Express Centurion Bank
5.350% due 05/07/2008		6,500		6,503
AT&T, Inc.
5.584% due 11/14/2008		1,000		1,003
Atlantic & Western Re Ltd.
11.372% due 01/09/2007		3,300		3,302
AutoZone, Inc.
5.875% due 10/15/2012		1,600		1,605
Bank of America Corp.
5.378% due 11/06/2009		4,100		4,103
5.640% due 10/14/2016		1,600		1,610
Bank of America N.A.
5.361% due 12/18/2008		2,600		2,600

BellSouth Corp.
5.200% due 09/15/2014		1,400		1,368
5.474% due 08/15/2008		3,900		3,904
Boston Scientific Corp.
5.450% due 06/15/2014		1,100		1,058
6.000% due 06/15/2011		2,900		2,930
6.400% due 06/15/2016		2,700		2,737
C5 Capital SPV Ltd.
6.196% due 12/01/2049		3,000		3,003
Caesars Entertainment, Inc.
9.375% due 02/15/2007		1,500		1,506
CenterPoint Energy, Inc.
5.875% due 06/01/2008		1,700		1,704
Charter One Bank N.A.
5.430% due 04/24/2009		9,000		9,012
CIT Group, Inc.
5.460% due 06/08/2009		7,500		7,513
5.580% due 05/23/2008		3,500		3,511
Citigroup, Inc.
5.406% due 12/26/2008		5,200		5,206
CMS Energy Corp.
7.500% due 01/15/2009		2,700		2,798
8.900% due 07/15/2008		1,200		1,260
9.875% due 10/15/2007		400		414
CNA Financial Corp.
6.000% due 08/15/2011		2,000		2,035
Comcast Corp.
5.674% due 07/14/2009		7,600		7,622
ConocoPhillips Australia Funding Co.
5.468% due 04/09/2009		7,300		7,310
CVS Corp.
5.750% due 08/15/2011		700		709
DaimlerChrysler N.A. Holding Corp.
4.875% due 06/15/2010		700		683
5.750% due 09/08/2011		1,100		1,098
5.833% due 09/10/2007		400		401
Dominion Resources, Inc.
5.662% due 09/28/2007		700		700
EchoStar DBS Corp.
6.375% due 10/01/2011		700		697
El Paso Corp.
7.625% due 08/16/2007		800		812
Exelon Corp.
4.900% due 06/15/2015		2,300		2,173
Ford Motor Credit Co.
6.315% due 03/21/2007		400		400
7.875% due 06/15/2010		2,200		2,220
Fortis Bank
5.265% due 04/28/2008		5,300		5,302
General Electric Capital Corp.
5.380% due 10/24/2008		3,200		3,203
5.396% due 12/12/2008		2,500		2,503
5.410% due 10/26/2009		5,400		5,402
5.460% due 06/15/2009		3,300		3,309
GMAC LLC
6.000% due 12/15/2011		3,600		3,588
Goldman Sachs Group, Inc.
5.250% due 06/01/2016 (k)	CAD	4,800		4,224
Harrah’s Operating Co., Inc.
5.975% due 02/08/2008	$	2,400		2,405
Health Care Property Investors, Inc.
5.950% due 09/15/2011		700		707
HJ Heinz Co.
6.428% due 12/01/2008		6,400		6,517
HJ Heinz Finance Co.
6.000% due 03/15/2012		800		813
Home Depot, Inc.
5.490% due 12/16/2009		5,700		5,704
HSBC Finance Corp.
5.500% due 01/19/2016		5,500		5,536
6.538% due 11/13/2007		2,500		2,516
International Lease Finance Corp.
5.400% due 02/15/2012		2,400		2,405
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	3,100		2,688
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/29/2036	$	3,000		3,108
Lennar Corp.
5.950% due 10/17/2011		700		705
Loews Corp.
5.250% due 03/15/2016		800		781
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		1,900		1,868
Masco Corp.
5.875% due 07/15/2012		700		702
May Department Stores Co.
4.800% due 07/15/2009		700		689
Maytag Corp.
5.000% due 05/15/2015		2,200		2,080
Merck & Co., Inc.
4.750% due 03/01/2015		2,200		2,099
Merrill Lynch & Co., Inc.
5.414% due 10/23/2008		4,300		4,303
5.464% due 08/14/2009		1,000		1,001
Mizuho JGB Investment LLC
9.870% due 12/29/2049		2,300		2,445
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		1,200		1,256
Morgan Stanley
5.390% due 11/21/2008		3,100		3,102
5.499% due 01/18/2008		900		902
5.824% due 10/18/2016		2,200		2,216
NiSource Finance Corp.
5.400% due 07/15/2014		800		776
Rabobank Capital Funding Trust
5.254% due 12/29/2049		2,000		1,932
Raychem Corp.
7.200% due 10/15/2008		200		206
SB Treasury Co. LLC
9.400% due 12/29/2049		5,100		5,373
Sealed Air Corp.
5.625% due 07/15/2013		2,300		2,279
Skandinav Enskilda BK
5.330% due 02/04/2008		5,500		5,503
Time Warner, Inc.
5.606% due 11/13/2009		8,500		8,512
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		3,500		3,718
Toyota Motor Credit Corp.
5.346% due 10/12/2007		6,800		6,803
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		500		504
6.654% due 04/15/2008		1,000		1,005
U.S. Bancorp
5.380% due 04/28/2009		4,300		4,304
Unicredito Italiano NY
5.358% due 12/13/2007		3,900		3,900
5.370% due 12/03/2007		3,500		3,502
5.370% due 05/29/2008		2,600		2,601
Viacom, Inc.
5.750% due 04/30/2011		2,800		2,804
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		5,600		5,601
Westpac Banking Corp.
5.310% due 06/06/2008		5,400		5,401
Wyeth
6.950% due 03/15/2011		1,900		2,020
Xerox Credit Corp.
2.000% due 06/06/2007	JPY	300,000		2,526
				249,880
Mortgage-Backed Securities 7.8%
American Home Mortgage Investment Trust
4.290% due 10/25/2034	$	1,620		1,592
5.500% due 09/25/2035		1,083		1,083
Banc of America Mortgage Securities
5.000% due 05/25/2034		3,462		3,409
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		9,295		9,136
Bear Stearns Alt-A Trust
5.600% due 07/25/2034		4		4
5.837% due 11/25/2036		8,158		8,205
5.840% due 11/25/2036		4,608		4,624
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		2,863		2,868
Citigroup Mortgage Loan Trust, Inc.
4.900% due 10/25/2035		13,275		13,147
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		3,892		3,943
Countrywide Alternative Loan Trust
5.530% due 05/25/2035		2,517		2,521
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		2,722		2,700
5.630% due 08/25/2034		1		1
5.640% due 04/25/2035		561		563
5.670% due 03/25/2035		4,044		4,056
5.680% due 02/25/2035		320		321
5.690% due 02/25/2035		484		486
CS First Boston Mortgage Securities Corp.
5.570% due 11/15/2019		970		970
CSAB Mortgage-Backed Trust
5.450% due 06/25/2036		1,971		1,973
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.450% due 10/25/2036		7,812		7,819
First Horizon Asset Securities, Inc.
6.250% due 08/25/2017		2,629		2,628
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		2,209		2,193
Greenpoint Mortgage Funding Trust
5.570% due 06/25/2045		1,526		1,533
5.620% due 11/25/2045		361		361
GS Mortgage Securities Corp. II
6.620% due 10/18/2030		4,819		4,881
GSR Mortgage Loan Trust
4.540% due 09/25/2035		1,157		1,138
Harborview Mortgage Loan Trust
5.440% due 12/19/2036		6,590		6,601
5.540% due 12/19/2036		10,994		11,013
5.570% due 05/19/2035		3,062		3,070
5.720% due 02/19/2034		47		47
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		330		328
MASTR Asset Securitization Trust
5.500% due 11/25/2017		527		522
Mellon Residential Funding Corp.
5.790% due 12/15/2030		26		26
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		686		681
Structured Asset Mortgage Investments, Inc.
5.570% due 05/25/2036		6,715		6,725
5.580% due 05/25/2045		1,893		1,899
Thornburg Mortgage Securities Trust
5.440% due 08/25/2036		6,740		6,732
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		10,152		10,159
Washington Mutual, Inc.
5.580% due 04/25/2045		4,958		4,974
5.590% due 12/25/2045		3,379		3,391
5.610% due 11/25/2045		969		973
5.620% due 12/25/2027		345		345
5.660% due 01/25/2045		929		931
5.670% due 01/25/2045		714		717
5.777% due 07/25/2046		2,278		2,290
5.777% due 10/25/2046		4,314		4,342
5.807% due 06/25/2046		6,634		6,667
6.227% due 06/25/2042		1,028		1,029
6.227% due 08/25/2042		23		23
Wells Fargo Mortgage-Backed Securities Trust
4.109% due 06/25/2035		5,300		5,258
4.950% due 03/25/2036		7,375		7,292
5.227% due 04/25/2036		3,271		3,284
				171,474
Municipal Bonds & Notes 0.3%
Chicago, Illinois General Obligation Revenue Bonds, (FSA Insured), Series 2006
4.750% due 01/01/2030 (f)		1,890		1,951
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		990		986
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038 (f)		990		1,020
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.625% due 06/01/2037		1,350		1,436
				5,393
U.S. Government Agencies 64.5%
Fannie Mae
4.190% due 11/01/2034		7,261		7,192
4.951% due 12/01/2034		320		318
5.000% due 11/25/2032		4,000		3,782
5.440% due 09/25/2035		196		197
5.470% due 03/25/2034		65		65
5.500% due 10/01/2028 - 01/01/2037		88,774		87,897
5.600% due 06/25/2044		44		44
5.750% due 06/25/2029		47		47
6.000% due 06/01/2031 - 07/25/2044		1,201,877		1,210,171
6.500% due 09/01/2036 - 06/25/2044		71,483		72,848
Federal Home Loan Bank
5.500% due 06/30/2008		11,000		11,007
Freddie Mac
4.400% due 09/01/2035		472		466
4.500% due 07/15/2018		3,538		3,463
5.000% due 11/15/2021 - 12/15/2031		15,643		15,459
5.610% due 08/25/2031		104		104
5.700% due 12/15/2030		700		701
5.800% due 12/15/2031		239		240
Government National Mortgage Association
6.000% due 08/20/2034		4,025		4,134
Small Business Administration
4.625% due 02/01/2025		1,087		1,051
4.754% due 08/10/2014		85		83
5.110% due 04/01/2025		2,249		2,237
				1,421,506
U.S. Treasury Obligations 2.7%
Treasury Inflation Protected Securities (c)
0.875% due 04/15/2010		5,440		5,159
1.875% due 07/15/2015		10,377		9,947
2.000% due 01/15/2014		3,987		3,874
2.000% due 01/15/2026		609		573
3.375% due 01/15/2007		15,931		15,909
U.S. Treasury Notes
3.875% due 05/15/2010		600		585
4.375% due 12/15/2010		24,700		24,423
				60,470
Total United States (Cost $2,156,010)				2,150,153
SHORT-TERM INSTRUMENTS 6.1%
Certificates of Deposit 0.7%
Countrywide Funding Corp.
5.350% due 08/16/2007		8,100		8,099
Skandinaviska Enskilda Banken AB
5.330% due 10/03/2007		6,400		6,399
				14,498
Commercial Paper 2.9%
DnB NORBank ASA
5.265% due 02/20/2007		13,200		13,107
Rabobank USA Financial Corp.
5.280% due 01/02/2007		7,500		7,500
Societe Generale NY
5.225% due 03/01/2007		11,200		11,107
Time Warner, Inc.
5.390% due 01/25/2007		8,500		8,472
UBS Finance Delaware LLC
5.225% due 03/08/2007		24,300		24,056
				64,242
Repurchase Agreements 1.1%
Lehman Brothers, Inc.
4.850% due 01/02/2007		24,000		24,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 1.625% due 01/15/2015 valued at $24,528. Repurchase proceeds are $24,013.)
Tri-Party Repurchase Agreements 0.1%
State Street Bank and Trust Co.
4.900% due 01/02/2007		2,167		2,167
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $2,212. Repurchase proceeds are $2,168.)
U.S. Treasury Bills 1.3%
4.826% due 03/01/2007 - 03/15/2007 (b)(d)(g)		29,304		29,012
Total Short-Term Instruments (Cost $133,969)				133,919
Purchased Options (i) 0.3% (Cost $11,187)				5,616
Total Investments (e) 162.6% (Cost $3,602,182)			$	3,585,156
Written Options (j) (0.4%) (Premiums $11,329)				(9,486	)
Other Assets and Liabilities (Net) (62.2%)				(1,370,895	)
Net Assets 100.0%			$	2,204,775

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

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

(d) Securities with an aggregate market value of $9,898 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(e) As of December 31, 2006, portfolio securities with an aggregate value of $175,014 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Residual Interest Bonds Held in Trust - Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Portfolio acquired the residual interest certificates. These securities serve as collateral in a financing transaction.

(g) Securities with an aggregate market value of $15,150 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	1,107	$	(574	)
90-Day Eurodollar December Futures	Long	12/2008	229		125
90-Day Eurodollar June Futures	Long	06/2009	236		141
90-Day Eurodollar March Futures	Long	03/2008	2,664		(909	)
90-Day Eurodollar March Futures	Long	03/2009	236		134
90-Day Eurodollar September Futures	Long	09/2008	177		155
Euro-Bobl 5-Year Note March Futures	Long	03/2007	449		(840	)
Euro-Bobl 5-Year Note March Futures Put Options Strike @ EUR 107.000	Long	03/2007	980		0
Euro-Bund 10-Year Note March Futures	Long	03/2007	5,021		(11,183	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 118.500	Short	03/2007	146		23
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	967		310
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.500	Short	03/2007	397		147
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 109.500	Long	03/2007	144		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 112.000	Long	03/2007	2,017		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 114.500	Short	03/2007	42		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 115.000	Short	03/2007	41		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 115.500	Short	03/2007	146		(46	)
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	185		(127	)
Japan Government 10-Year Bond March Futures	Long	03/2007	327		(568	)
U.S. Treasury 5-Year Note March Futures	Long	03/2007	832		(1	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	651		(592	)
U.S. Treasury 30-Year Bond March Futures	Long	03/2007	125		(251	)
				$	(14,056	)

(h) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016	EUR	6,200	$	8
BNP Paribas Bank	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		4,400		4
Deutsche Bank AG	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		5,500		0
Goldman Sachs & Co.	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		1,500		1
HSBC Bank USA	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		1,600		1
JPMorgan Chase & Co.	Dow Jones ITRAX 6HIVOL Index	Buy	(0.850	%)	12/20/2016		2,500		2
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	619,000		41
Bank of America	May Department Stores Co. 4.800% due 07/15/2009	Buy	(0.190	%)	9/20/2009	$	700		0
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		56,500		19
Bank of America	Pampelonne CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 11/11/2051	Buy	(1.750	%)	11/11/2051		4,000		(5	)
Barclays Bank PLC	International Lease Finance Corp. 5.400% due 02/15/2012	Buy	(0.170	%)	3/20/2012		2,400		(3	)
Barclays Bank PLC	XL Capital Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	3/20/2012		500		(4	)
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		16,300		12
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 4.875% due 06/15/2010	Buy	(0.520	%)	6/20/2010		700		(3	)
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	9/20/2011		2,000		(16	)
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	3/20/2012		800		0
Bear Stearns & Co., Inc.	NiSource Finance Corp. 5.400% due 07/15/2014	Buy	(0.620	%)	9/20/2014		800		(5	)
Bear Stearns & Co., Inc.	Maytag Corp. 5.000% due 05/15/2015	Buy	(0.460	%)	6/20/2015		2,200		26
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.330	%)	3/20/2016		800		(6	)
Citibank N.A.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012		1,600		(19	)
Citibank N.A.	Bank of America Corp. floating rate based on 3-Month USD-LIBOR plus 0.260% due 10/14/2016	Buy	(0.170	%)	12/20/2016		1,600		0
Credit Suisse First Boston	CenterPoint Energy, Inc. 5.875% due 06/01/2008	Buy	(0.170	%)	6/20/2008		1,800		(2	)
Credit Suisse First Boston	Sealed Air Corp. 5.625% due 07/15/2013	Buy	(0.500	%)	9/20/2013		2,300		(1	)
Deutsche Bank AG	Lennar Corp. 5.950% due 10/17/2011	Buy	(0.785	%)	12/20/2011		700		(8	)
Deutsche Bank AG	ACE INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	6/20/2014		1,000		(10	)
Deutsche Bank AG	Boston Scientific Corp. 5.450% due 06/15/2014	Buy	(0.620	%)	6/20/2014		1,100		7
Deutsche Bank AG	Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014		1,000		(12	)
Goldman Sachs & Co.	JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.990	%	9/20/2010		500		11
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		59,900		(68	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.320	%	2/20/2007		800		0
JPMorgan Chase & Co.	Glitnir Banki Hf floating rate based on 3-Month USD-LIBOR plus 0.440% due 01/21/2011	Buy	(0.340	%)	3/20/2011		3,000		(5	)
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.260	%	8/20/2011		4,200		81
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.345	%	8/20/2011		7,600		177
JPMorgan Chase & Co.	Health Care Property Investors, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	9/20/2011		700		(6	)
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.135	%)	8/20/2016		4,200		(213	)
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.055	%)	8/20/2016		2,400		(106	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.875% due 06/15/2010	Buy	(2.310	%)	6/20/2010		2,200		(12	)
Lehman Brothers, Inc.	Wyeth 6.950% due 03/15/2011	Buy	(0.100	%)	3/20/2011		2,100		(2	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	8/20/2011		25,700		523
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.350	%	8/20/2011		11,700		880
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	8/20/2011		5,300		130
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	9/20/2014		1,400		(2	)
Lehman Brothers, Inc.	Merck & Co., Inc. 4.750% due 03/01/2015	Buy	(0.135	%)	3/20/2015		2,200		(1	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.160	%)	8/20/2016		2,900		(153	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.140	%)	8/20/2016		6,500		(332	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.060	%)	8/20/2016		14,300		(643	)
Merrill Lynch & Co., Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.410	%	6/20/2007		4,900		16
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	3/20/2010		1,984		18
Merrill Lynch & Co., Inc.	Exelon Corp. 4.900% due 06/15/2015	Buy	(0.520	%)	6/20/2015		2,300		(13	)
Morgan Stanley	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	3/20/2010		9,920		91
Morgan Stanley	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.700	%)	9/20/2010		400		(23	)
Morgan Stanley	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	6/20/2011		700		(4	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	8/20/2011		11,200		279
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	9/20/2012		700		(2	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.180	%)	8/20/2016		6,200		(336	)
Royal Bank of Canada	DaimlerChrysler Canada Finance, Inc. 4.850% due 03/30/2009	Buy	(0.350	%)	6/20/2009		2,000		(2	)
Royal Bank of Canada	JPMorgan Chase & Co. 6.750% due 02/01/2011	Buy	(0.310	%)	3/20/2016		1,900		1
Royal Bank of Scotland Group PLC	CVS Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	9/20/2011		700		0
Royal Bank of Scotland Group PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.620	%)	9/20/2011		1,100		(7	)
Royal Bank of Scotland Group PLC	Kaupthing Bank Hf 5.750% due 10/04/2011	Buy	(0.490	%)	12/20/2011		2,900		0
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016		2,200		4
UBS AG	Goldman Sachs Group, Inc. 5.250% due 06/01/2016	Buy	(0.310	%)	6/20/2016		4,200		2
UBS AG	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		10,600		4
								$	314

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	49,700	$	(188	)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	12/15/2010		60,000		(1,761	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.000	%	12/15/2015		34,200		1,547
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/15/2012		27,900		(178	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.000	%	6/15/2017		15,800		203
HSBC Bank USA	6-Month Australian Bank Bill	Pay	6.000	%	6/15/2012		26,600		(181	)
HSBC Bank USA	6-Month Australian Bank Bill	Receive	6.000	%	6/15/2017		15,300		207
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009		52,100		(198	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.000	%	6/15/2015	CAD	3,000		109
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010	EUR	200		(10	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		15,000		262
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		10,000		171
Citibank N.A.	6-Month EUR-LIBOR	Receive	4.000	%	6/16/2014		1,120		33
Credit Suisse First Boston	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		9,400		47
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		131,300		1,220
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		400		(16	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		8,600		127
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		109,800		923
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		18,300		173
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		46,700		(1,949	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		44,000		676
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		33,700		125
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		200		(8	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		200		0
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		7,400		130
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	6/15/2017		135,800		3,143
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		7,300		(133	)
UBS AG	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		500		(23	)
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		17,300		312
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015	GBP	1,600		(32	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.500	%	9/15/2017		9,900		(36	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/18/2034		4,500		188
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		19,300		181
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		7,100		(180	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		18,000		(281	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		3,700		(73	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	6/18/2034		10,000		488
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		38,500		(586	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		16,000		(345	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.250	%	6/12/2036		11,700		(138	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		29,350		(804	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		9,100		(458	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	6/18/2034		1,300		35
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		5,300		124
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		9,000		(202	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		13,700		(282	)
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2009		33,200		(302	)
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		3,400		38
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.322	%	9/14/2009		100		1
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		3,600		(94	)
Barclays Bank PLC	6-Month HUF-LIBOR	Receive	7.540	%	9/27/2016	HUF	295,000		(51	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.540	%	9/27/2016		1,820,000		(374	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.720	%	10/6/2016		1,474,000		(483	)
JPMorgan Chase & Co.	6-Month HUF-LIBOR	Receive	7.720	%	10/10/2016		272,000		(89	)
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016	JPY	1,250,000		(82	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	9/18/2008		38,920,000		283
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		8,170,000		(114	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		24,860,000		(1,511	)
Merrill Lynch & Co., Inc.	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		1,530,000		(58	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	3/18/2008		40,400,000		762
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	9/18/2008		7,300,000		26
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.500	%	12/20/2010		10,200,000		(1,284	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		1,110,000		(73	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.980	%	9/27/2016		3,200,000		(568	)
UBS AG	6-Month JPY-LIBOR	Receive	2.000	%	6/15/2012		130,000		(21	)
UBS AG	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		2,490,000		85
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016	MXN	88,000		293
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	9/22/2016		90,000		612
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	9/23/2016		29,000		186
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016		559,100		268
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	9/23/2016		14,000		90
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		36,000		126
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	4,600		105
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		3,600		(39	)
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		3,800		57
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		13,800		120
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		63,000		1,337
Credit Suisse First Boston	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		22,400		393
Deutsche Bank AG	Difference in Constant Maturity Swap 10-Year vs. 2-Year	Receive	0.288	%	12/7/2007		18,500		(70	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	9/19/2008		61,300		(20	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		3,200		28
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		3,600		80
Goldman Sachs & Co.	Difference in Constant Maturity Swap 10-Year vs. 2-Year	Receive	0.288	%	12/7/2007		22,000		(63	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		11,600		101
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		22,300		268
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		2,800		(31	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		124,800		1,087
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		7,000		160
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		10,200		(222	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2009		85,000		284
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		52,800		479
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		28,000		(422	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2007		141,500		(72	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		74,400		(817	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		6,100		53
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		154,900		3,218
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		9,400		(129	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		9,400		(103	)
UBS AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		2,000		(110	)
								$	5,700

(i) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	115.000	2/23/2007	705	$	14	$	11
Put - CBOT U.S. Treasury 10-Year Note March Futures		103.000	2/23/2007	791		15		12
Put - CBOT U.S. Treasury 30-Year Bond March Futures		104.000	2/23/2007	425		8		7
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	1,375		13		0
Put - CME 90-Day Eurodollar September Futures		90.500	9/17/2007	550		5		0
					$	55	$	30

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007	GBP	23,200		120		10
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		66,500		343		56
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	5/11/2007		16,000		88		4
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.150	%	9/14/2007		38,500		198		94
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007		68,800		319		57
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.170	%	9/14/2007		91,000		514		237
Call - OTC 2-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	5/17/2007		34,900		191		9
Call - OTC 2-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	6/6/2007		16,500		89		6
Call - OTC 2-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007		54,700		288		46
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.150	%	9/14/2007		80,500		454		196
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.201	%	9/14/2007		31,500		180		92
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	208,000		770		621
Call - OTC 2-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		74,000		289		104
Call - OTC 1-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		572,000		1,362		424
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		17,500		70		81
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2007		183,700		1,190		1,121
Call - OTC 2-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		182,100		816		1,068
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		21,000		98		30
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		52,900		178		158
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.150	%	5/8/2007		211,900		820		866
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.190	%	5/9/2007		371,400		737		577
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		20,000		83		41
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		121,800		317		120
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.170	%	2/1/2007		111,200		286		205
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		175,000		665		247
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		64,000		235		375
									$	10,700	$	6,845

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Euro versus U.S. dollar	EUR	1.240	1/9/2007	EUR	100,000	$	13	$	0
Put - OTC Euro versus U.S. dollar		1.200	1/11/2007		100,000	$	13	$	0
Call - OTC U.S. dollar versus Japanese yen	JPY	116.000	12/5/2007	$	22,300		224		403
						$	250	$	403

Options on Securities		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Spanish Government Bond 4.400% due 01/31/2015	EUR	95.600	2/21/2007	EUR	42,000	$	5	$	0
Call - OTC Fannie Mae 5.000% due 03/01/2037	$	104.500	3/6/2007	$	161,000		19		6
Call - OTC Fannie Mae 5.000% due 03/01/2037		106.000	3/6/2007		100,000		12		3
Put - OTC Fannie Mae 5.000% due 02/01/2037		81.000	2/5/2007		27,000		3		0
Put - OTC Fannie Mae 5.500% due 02/01/2037		84.000	2/5/2007		75,000		9		0
Put - OTC Fannie Mae 6.000% due 02/01/2037		83.750	2/5/2007		32,000		4		0
Put - OTC Fannie Mae 6.000% due 02/01/2037		85.000	2/5/2007		44,000		5		0
Put - OTC Fannie Mae 6.000% due 02/01/2037		87.000	2/5/2007		2,000,000		0		0
Put - OTC Fannie Mae 6.000% due 02/01/2037		87.500	2/5/2007		80,000		9		0
Put - OTC Fannie Mae 6.000% due 02/01/2037		87.750	2/5/2007		35,000		4		0
Put - OTC Fannie Mae 6.500% due 02/01/2037		91.000	2/5/2007		57,000		7		0
Put - OTC Fannie Mae 6.500% due 02/01/2037		93.500	2/5/2007		15,000		2		0
Put - OTC Fannie Mae 6.000% due 03/01/2037		90.000	3/6/2007		20,000		2		1
Put - OTC Fannie Mae 6.000% due 03/01/2037		91.000	3/6/2007		425,000		50		34
Put - OTC Fannie Mae 6.000% due 03/01/2037		91.375	3/6/2007		275,000		32		22
Put - OTC Fannie Mae 6.000% due 03/01/2037		91.688	3/6/2007		90,000		11		5
Put - OTC Fannie Mae 6.000% due 03/01/2037		93.375	3/6/2007		72,000		8		9
						$	182	$	80

Straddle Options

Description	Counterparty		Exercise Price	(2)	Expiration Date		Notional Amount		Cost	(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Bank of America	$	0.000		2/13/2007	$	40,900	$	0		$	(528	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.		0.000		5/10/2007		11,300		0			(49	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.		0.000		3/19/2007		50,200		0			(501	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	JPMorgan Chase & Co.		0.000		3/20/2007		4,900		0			(35	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	UBS AG		0.000		1/17/2007		28,000		0			(383	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	UBS AG		0.000		3/20/2007		25,400		0			(246	)
								$	0		$	(1,742	)

(2) Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(j) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 8-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	26,000	$	442	$	125
Call - OTC 8-Year Interest Rate Swap	Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		11,000		202		101
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		19,600		358		94
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		26,000		518		238
Call - OTC 8-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.850	%	6/6/2007		4,700		95		19
Call - OTC 8-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		15,900		271		76
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		23,000		462		211
Call - OTC 8-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		9,000		180		82
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	91,000		746		740
Put - OTC 10-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		23,600		241		0
Call - OTC 5-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		33,000		313		152
Put - OTC 10-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		38,700		395		0
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		7,600		71		109
Call - OTC 10-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.250	%	5/16/2007		16,200		180		252
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.150	%	12/20/2007		79,800		1,153		1,213
Call - OTC 10-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.250	%	5/16/2007		7,500		98		117
Call - OTC 5-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		79,200		852		1,266
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		9,000		100		41
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		23,000		182		249
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.280	%	5/8/2007		92,100		828		1,216
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		83,100		769		1,188
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.750	%	7/2/2007		126,200		1,231		527
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		26,200		283		188
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		8,800		92		71
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.240	%	2/1/2007		48,100		296		397
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		76,000		688		350
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.325	%	6/7/2007		27,000		230		419
									$	11,276	$	9,441

Credit Default Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call - OTC British Telecom SP 7.125% due 02/15/2011

Morgan Stanley

3-Month USD-LIBOR

Receive

0.450

%

6/20/2008

$

10,080

$

53

$

44

(k) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Goldman Sachs Group, Inc.	5.250	%	6/1/2016	11/3/2006	$	4,347	$	4,224	0.19	%

(l) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(3)
Fannie Mae	5.000	%	1/1/2037	$	244,000	$	237,650	$	235,612
Fannie Mae	5.000	%	2/1/2037		17,000		16,410		16,416
Fannie Mae	5.500	%	1/1/2037		55,000		54,721		54,364
Fannie Mae	5.500	%	2/1/2037		38,000		37,806		37,549
U.S. Treasury Notes	3.000	%	2/15/2009		100		97		98
U.S. Treasury Notes	4.125	%	5/15/2015		5,500		5,355		5,322
U.S. Treasury Notes	4.250	%	11/15/2013		2,800		2,777		2,745
U.S. Treasury Notes	4.250	%	11/15/2014		2,000		1,958		1,957
U.S. Treasury Notes	4.500	%	2/15/2016		48,000		48,068		48,195
U.S. Treasury Notes	4.625	%	11/15/2016		65,600		66,060		65,710
U.S. Treasury Notes	4.875	%	5/31/2011		2,800		2,856		2,836
U.S. Treasury Notes	5.125	%	5/15/2016		32,000		33,537		33,284
						$	507,295	$	504,088

(3) Market value includes $1,869 of interest payable on short sales.

(m) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	AUD	54,325	01/2007	$	620	$	0		$	620
Buy		21,451	02/2007		122		0			122
Buy	BRL	2,208	05/2007		26		0			26
Buy		8,418	06/2007		77		0			77
Buy	CAD	44,774	01/2007		0		(1,214	)		(1,214	)
Sell		12,486	01/2007		162		0			162
Buy	CLP	402,000	05/2007		0		(9	)		(9	)
Buy		77,200	06/2007		0		(1	)		(1	)
Buy	CNY	16,478	03/2007		1		0			1
Buy		79,422	05/2007		26		0			26
Buy		90,741	08/2007		253		0			253
Buy		225,538	09/2007		351		0			351
Buy		105,305	11/2007		57		0			57
Buy	DKK	129,721	03/2007		0		(63	)		(63	)
Sell		69,645	03/2007		7		(48	)		(41	)
Buy	EUR	525,976	01/2007		65		(7,445	)		(7,380	)
Sell		81,523	01/2007		606		(27	)		579
Buy	GBP	72,067	01/2007		799		(18	)		781
Sell		3,168	01/2007		24		0			24
Buy	INR	5,506	02/2007		6		0			6
Buy		1,310	03/2007		1		0			1
Buy	JPY	54,316,876	01/2007		0		(8,851	)		(8,851	)
Buy		2,466,108	02/2007		0		(701	)		(701	)
Buy	KRW	7,006,708	02/2007		106		0			106
Sell		379,400	02/2007		0		(8	)		(8	)
Buy	MXN	64,875	01/2007		49		0			49
Buy		7,985	04/2007		18		0			18
Buy	NOK	18,897	01/2007		0		(72	)		(72	)
Buy		19,012	03/2007		0		(51	)		(51	)
Sell	NZD	52,293	01/2007		0		(1,776	)		(1,776	)
Sell		25,882	02/2007		0		(437	)		(437	)
Buy	PLN	390	04/2007		5		0			5
Buy	SEK	149,662	03/2007		8		0			8
Buy	SGD	4,164	01/2007		32		0			32
Buy		219	03/2007		4		0			4
Buy	TWD	95,427	02/2007		0		(39	)		(39	)
Sell		1,559	02/2007		0		0			0
Buy	ZAR	8,983	06/2007		7		0			7
				$	3,432	$	(20,760	)	$	(17,328	)

See accompanying notes

Schedule of Investments

Fundamental IndexPLUS^TM Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.7%
Allied Waste North America, Inc.
5.322% due 01/15/2012	$	400	$	401
7.120% due 01/15/2012		187		187
7.130% due 01/15/2012		160		161
7.170% due 01/15/2012		548		549
7.270% due 01/15/2012		187		188
HCA, Inc.
8.114% due 11/14/2013		1,800		1,822
Reynolds American, Inc.
7.188% due 05/31/2012		4,464		4,500
7.250% due 05/31/2012		30		30
Total Bank Loan Obligations (Cost $7,807)				7,838
CORPORATE BONDS & NOTES 27.4%
Banking & Finance 19.3%
Allstate Life Global Funding Trusts
5.406% due 03/23/2009		500		501
American Express Centurion Bank
5.350% due 05/07/2008		700		700
5.410% due 04/17/2009		900		901
American Express Credit Corp.
5.370% due 12/12/2007		100		100
5.410% due 03/02/2009		10		10
5.410% due 11/09/2009		800		801
American Honda Finance Corp.
5.413% due 03/09/2009		400		401
American International Group, Inc.
5.365% due 06/23/2008		2,400		2,401
5.400% due 06/16/2009		800		806
ANZ National International Ltd.
5.415% due 08/07/2009		700		700
Bank of America Corp.
5.375% due 06/19/2009		1,300		1,302
5.378% due 11/06/2009		400		400
5.451% due 09/18/2009		300		301
Bank of Scotland
5.871% due 11/22/2012		4,100		4,114
Bear Stearns Cos., Inc.
5.454% due 03/30/2009		800		801
5.526% due 04/29/2008		500		501
5.676% due 01/30/2009		800		804
BNP Paribas
5.292% due 05/28/2008		700		700
Caterpillar Financial Services Corp.
5.423% due 03/10/2009		1,200		1,202
CIT Group, Inc.
5.000% due 11/24/2008		100		100
5.440% due 08/24/2007		100		100
5.526% due 01/30/2009		100		100
5.580% due 05/23/2008		800		803
5.660% due 11/03/2010		200		201
Citigroup Funding, Inc.
5.342% due 12/08/2008		200		200
Citigroup, Inc.
5.392% due 12/28/2009		100		100
5.406% due 12/26/2008		2,700		2,703
5.416% due 01/30/2009		1,100		1,101
5.493% due 06/09/2009		200		201
DnB NORBank ASA
5.412% due 02/25/2008		1,100		1,103
5.443% due 10/13/2009		800		800
Export-Import Bank of Korea
5.590% due 10/04/2011		1,000		1,001
Ford Motor Credit Co.
5.560% due 03/13/2007		200		199
6.192% due 09/28/2007		300		300
6.315% due 03/21/2007		100		100
Foundation Re II Ltd.
12.123% due 11/26/2010		1,000		1,000
General Electric Capital Corp.
5.410% due 10/26/2009		900		900
5.444% due 01/20/2010		400		401
General Motors Acceptance Corp.
6.150% due 04/05/2007		800		800
6.516% due 09/23/2008		400		402
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		400		400
5.455% due 12/22/2008		1,000		1,002
5.455% due 11/16/2009		2,200		2,202
5.464% due 11/10/2008		600		601
5.495% due 10/05/2007		100		100
5.704% due 07/23/2009		200		201
HBOS Treasury Services PLC
5.414% due 07/17/2009		500		501
HSBC Finance Corp.
5.420% due 10/21/2009		600		601
5.490% due 09/15/2008		600		602
6.538% due 11/13/2007		500		503
International Lease Finance Corp.
5.590% due 05/24/2010		1,200		1,205
John Deere Capital Corp.
5.424% due 04/15/2008		200		200
5.424% due 07/15/2008		200		200
JPMorgan Chase & Co.
5.400% due 06/26/2009		600		601
5.415% due 12/22/2008		1,500		1,503
5.416% due 06/26/2009		2,500		2,504
Lehman Brothers Holdings, Inc.
5.400% due 11/24/2008		100		100
5.460% due 04/03/2009		800		801
5.464% due 10/22/2008		500		501
5.464% due 01/23/2009		600		601
5.475% due 08/21/2009		100		100
5.475% due 11/16/2009		2,300		2,302
5.594% due 07/18/2011		200		201
MBNA Corp.
5.798% due 05/05/2008		1,000		1,007
Merrill Lynch & Co., Inc.
5.395% due 12/22/2008		800		800
5.414% due 10/23/2008		300		300
5.450% due 12/04/2009		1,000		1,001
5.461% due 06/16/2008		1,200		1,203
5.464% due 08/14/2009		1,300		1,301
Morgan Stanley
5.390% due 11/21/2008		700		700
5.485% due 02/09/2009		100		100
5.499% due 02/15/2007		2,400		2,401
5.614% due 01/22/2009		1,200		1,201
5.624% due 01/18/2011		200		201
Mystic Re Ltd.
11.670% due 12/05/2008		1,200		1,199
National Australia Bank Ltd.
5.393% due 09/11/2009		300		300
Nordea Bank Finland
5.267% due 03/31/2008		300		300
5.308% due 05/28/2008		700		700
Osiris Capital PLC
8.210% due 01/15/2010		1,400		1,404
Pricoa Global Funding I
5.450% due 06/03/2008		700		701
5.457% due 01/25/2008		400		401
Royal Bank of Scotland Group PLC
5.365% due 12/21/2007		200		200
5.424% due 07/21/2008		300		300
Santander U.S. Debt S.A. Unipersonal
5.375% due 09/21/2007		800		801
5.376% due 11/20/2008		300		300
5.425% due 09/19/2008		3,100		3,105
SLM Corp.
5.517% due 07/27/2009		450		451
5.587% due 07/25/2008		1,200		1,205
Societe Generale NY
5.258% due 06/11/2007		700		700
5.271% due 03/28/2008		300		300
U.S. Bank N.A.
5.309% due 03/31/2008		4,700		4,702
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		200		200
Unicredito Italiano NY
5.370% due 12/03/2007		1,100		1,101
5.370% due 05/29/2008		4,300		4,301
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		400		401
Wachovia Bank N.A.
5.406% due 03/23/2009		400		400
Wachovia Corp.
5.426% due 10/28/2008		2,100		2,104
Wells Fargo & Co.
5.393% due 03/10/2008		800		801
5.460% due 09/15/2009		600		601
Westpac Banking Corp.
5.310% due 06/06/2008		600		600
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		2,300		2,352
World Savings Bank FSB
5.350% due 05/08/2008		900		901
5.415% due 05/08/2009		1,100		1,101
				89,740
Industrials 4.9%
Allied Waste North America, Inc.
8.500% due 12/01/2008		2,000		2,112
Anadarko Petroleum Corp.
5.760% due 09/15/2009		1,300		1,306
Comcast Corp.
5.674% due 07/14/2009		400		401
Constellation Brands, Inc.
8.000% due 02/15/2008		1,300		1,336
CSC Holdings, Inc.
7.250% due 07/15/2008		800		811
DaimlerChrysler N.A. Holding Corp.
5.790% due 03/13/2009		300		301
5.820% due 08/03/2009		200		200
5.833% due 09/10/2007		200		201
Diageo Capital PLC
5.474% due 11/10/2008		500		501
El Paso Corp.
6.500% due 06/01/2008		400		406
7.625% due 08/16/2007		100		102
Home Depot, Inc.
5.490% due 12/16/2009		900		901
Mandalay Resort Group
6.500% due 07/31/2009		800		813
10.250% due 08/01/2007		100		103
MGM Mirage
9.750% due 06/01/2007		2,180		2,218
Mirage Resorts, Inc.
6.750% due 02/01/2008		100		101
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		10		12
Oracle Corp.
5.603% due 01/13/2009		300		301
Pemex Project Funding Master Trust
5.970% due 12/03/2012		200		201
7.375% due 12/15/2014		100		110
Reynolds American, Inc.
6.500% due 06/01/2007		500		503
Safeway, Inc.
5.716% due 03/27/2009		700		702
Siemens Financieringsmaatschappij NV
5.424% due 08/14/2009		600		600
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/2007		200		201
Telecom Italia Capital S.A.
5.851% due 02/01/2011		500		498
Time Warner, Inc.
5.606% due 11/13/2009		4,600		4,607
Transcontinental Gas Pipe Line Corp.
6.654% due 04/15/2008		200		201
Transocean, Inc.
5.566% due 09/05/2008		300		300
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		2,000		2,000
Williams Cos., Inc.
5.935% due 02/16/2007		400		401
Xerox Corp.
9.750% due 01/15/2009		100		108
				22,558
Utilities 3.2%
America Movil S.A. de C.V.
5.466% due 06/27/2008		1,200		1,199
AT&T, Inc.
4.214% due 06/05/2021		400		399
5.584% due 11/14/2008		780		783
BellSouth Corp.
5.499% due 11/15/2007		2,300		2,303
CMS Energy Corp.
7.500% due 01/15/2009		300		311
8.900% due 07/15/2008		3,683		3,867
9.875% due 10/15/2007		200		207
Dominion Resources, Inc.
5.554% due 11/14/2008		2,000		2,001
5.662% due 09/28/2007		100		100
Entergy Gulf States, Inc.
6.100% due 12/08/2008		200		201
Florida Power Corp.
5.774% due 11/14/2008		100		100
NiSource Finance Corp.
5.940% due 11/23/2009		200		200
Public Service Enterprise Group, Inc.
5.740% due 09/21/2008		100		100
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		1,300		1,310
Sierra Pacific Power Co.
8.000% due 06/01/2008		400		413
Southern California Edison Co.
5.471% due 02/02/2009		700		702
Telecom Italia Capital S.A.
5.984% due 07/18/2011		400		400
Telefonica Emisones SAU
5.665% due 06/19/2009		400		401
				14,997
Total Corporate Bonds & Notes (Cost $127,054)				127,295
U.S. GOVERNMENT AGENCIES 3.6%
Fannie Mae
3.689% due 07/01/2034		48		48
4.351% due 11/01/2034		120		119
4.403% due 10/01/2034		47		47
4.405% due 07/01/2034		61		61
4.474% due 05/01/2035		118		117
4.493% due 07/01/2035		329		327
4.496% due 05/01/2035		134		132
4.534% due 09/01/2035		150		149
4.559% due 11/01/2035		236		235
4.626% due 09/01/2035		494		492
4.678% due 12/01/2033		144		144
4.996% due 06/01/2035		452		452
5.000% due 07/15/2020 - 05/01/2021		4,368		4,340
5.410% due 12/25/2036		596		597
5.450% due 01/25/2021		1,349		1,347
5.700% due 09/25/2042		173		174
5.750% due 05/25/2031		208		209
5.958% due 06/01/2043 - 07/01/2044		1,242		1,249
6.000% due 01/01/2037		1,000		1,007
6.722% due 11/01/2035		64		65
Federal Home Loan Bank
5.500% due 06/30/2008		2,000		2,001
Freddie Mac
3.500% due 01/15/2017		64		64
4.400% due 09/01/2035		236		233
4.559% due 09/01/2035		341		339
4.713% due 08/01/2035		428		426
4.714% due 06/01/2035		323		319
5.000% due 04/15/2012 - 07/15/2024		541		539
5.610% due 08/25/2031		61		61
5.700% due 12/15/2030		54		54
5.750% due 06/15/2018		35		35
5.958% due 02/25/2045		175		175
6.000% due 01/01/2037		1,000		1,008
Government National Mortgage Association
4.000% due 07/16/2027		24		24
Total U.S. Government Agencies (Cost $16,597)				16,589
MORTGAGE-BACKED SECURITIES 10.4%
Arkle Master Issuer PLC
5.330% due 11/19/2007		1,000		1,002
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		379		375
Bear Stearns Alt-A Trust
5.510% due 02/25/2034		1,100		1,101
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		373		374
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		82		82
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		382		377
5.510% due 02/25/2047		2,285		2,288
5.530% due 02/20/2047		500		501
5.630% due 02/25/2037		533		533
Countrywide Home Loan Mortgage Pass-Through Trust
5.500% due 01/25/2046 (a)		700		701
5.590% due 04/25/2035		167		168
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.430% due 02/25/2037		4,900		4,904
GMAC Mortgage Corp. Loan Trust
5.008% due 11/19/2035		76		75
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		894		895
5.430% due 01/25/2047		1,000		1,000
5.620% due 11/25/2045		52		52
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		4,039		4,042
Harborview Mortgage Loan Trust
5.440% due 12/19/2036		699		700
5.540% due 12/19/2036		700		701
5.570% due 05/19/2035		100		101
HSI Asset Securitization Corp. Trust
5.480% due 07/25/2035		801		802
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		684		685
Indymac Index Mortgage Loan Trust
5.440% due 11/25/2046		374		375
5.450% due 01/25/2037		590		590
Lehman Brothers Floating Rate Commercial
Mortgage Trust
5.430% due 09/15/2021		279		279
Mellon Residential Funding Corp.
5.790% due 12/15/2030		445		447
Merrill Lynch Floating Trust
5.420% due 06/15/2022		2,814		2,816
Structured Asset Mortgage Investments, Inc.
5.630% due 02/25/2036		88		88
Structured Asset Securities Corp.
5.345% due 10/25/2035		475		475
5.400% due 05/25/2036		1,094		1,095
TBW Mortgage-Backed Pass-Through Certificates
5.460% due 01/25/2037		4,600		4,604
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		1,983		1,982
5.440% due 08/25/2036		570		569
5.460% due 04/25/2036		959		960
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		976		977
Washington Mutual, Inc.
5.540% due 04/25/2045		377		378
5.557% due 01/25/2047		500		501
5.590% due 12/25/2045		64		65
5.640% due 10/25/2045		64		64
5.665% due 11/25/2034		34		34
5.670% due 12/25/2027		1,835		1,837
5.777% due 10/25/2046		588		592
5.827% due 02/25/2046		4,876		4,910
5.882% due 12/25/2046		3,079		3,103
5.954% due 05/25/2041		44		44
6.027% due 11/25/2042		204		205
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		182		180
Total Mortgage-Backed Securities (Cost $48,563)				48,629
ASSET-BACKED SECURITIES 29.9%
ACE Securities Corp.
5.370% due 12/25/2036		478		479
5.380% due 10/25/2036		366		366
5.400% due 10/25/2036		184		184
5.410% due 05/25/2036		326		326
5.450% due 10/25/2036		4,600		4,603
5.460% due 10/25/2035		111		111
American Express Credit Account Master Trust
5.460% due 12/15/2009		1,000		1,001
Ameriquest Mortgage Securities, Inc.
5.680% due 06/25/2034		191		192
Argent Securities, Inc.
5.430% due 01/25/2036		423		423
5.470% due 10/25/2035		6		6
5.490% due 02/25/2036		46		46
Asset-Backed Funding Certificates
5.380% due 11/25/2036		731		732
5.380% due 01/25/2037		884		885
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		875		876
5.625% due 09/25/2034		170		170
Bank One Issuance Trust
5.380% due 10/15/2009		400		400
5.460% due 12/15/2010		6,600		6,615
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		1,158		1,159
5.400% due 10/25/2036		487		487
5.550% due 09/25/2034		20		20
Capital One Auto Finance Trust
5.340% due 12/14/2007		700		701
Carrington Mortgage Loan Trust
5.400% due 01/25/2037		4,600		4,605
5.415% due 02/25/2036		195		195
5.500% due 09/25/2035		799		799
Chase Credit Card Master Trust
5.390% due 09/15/2009		3,675		3,678
5.450% due 06/15/2009		900		901
5.460% due 02/15/2011		1,300		1,304
Chase Issuance Trust
5.340% due 07/15/2011		1,300		1,302
5.360% due 12/15/2010		3,000		3,003
5.360% due 02/15/2011		2,300		2,303
Chase Manhattan Auto Owner Trust
4.770% due 03/15/2008		124		124
Citigroup Mortgage Loan Trust, Inc.
5.400% due 11/25/2036		1,180		1,181
5.450% due 07/25/2035		6		6
5.650% due 11/25/2034		52		52
Countrywide Asset-Backed Certificates
5.370% due 12/26/2036		4,600		4,606
5.370% due 05/25/2037		1,588		1,590
5.370% due 03/25/2047		276		276
5.380% due 03/25/2037		381		381
5.400% due 01/25/2037		404		404
5.400% due 05/25/2037		5,342		5,340
5.420% due 12/25/2036		900		901
5.430% due 06/25/2037		800		800
5.460% due 10/25/2046		285		285
5.520% due 11/25/2035		32		32
Credit-Based Asset Servicing & Securitization LLC
5.410% due 11/25/2036		883		883
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		400		400
5.329% due 12/08/2007		600		601
FBR Securitization Trust
5.460% due 10/25/2035		32		32
5.470% due 11/25/2035		247		247
5.490% due 09/25/2035		23		23
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		1,360		1,361
5.370% due 12/25/2036		970		970
5.380% due 06/25/2036		1,064		1,065
5.420% due 12/25/2037		4,600		4,603
5.440% due 11/25/2036		54		54
5.490% due 05/25/2035		439		439
Ford Credit Auto Owner Trust
4.240% due 03/15/2008		32		32
Fremont Home Loan Trust
5.370% due 10/25/2036		2,879		2,881
5.390% due 02/25/2037		276		277
5.410% due 01/25/2037		800		799
5.440% due 01/25/2036		9		9
GSAMP Trust
5.360% due 10/25/2036		670		670
5.390% due 09/25/2036		226		226
5.460% due 09/25/2035		19		19
5.460% due 11/25/2035		27		27
GSR Mortgage Loan Trust
5.450% due 11/25/2030		38		38
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		2,000		2,002
Home Equity Mortgage Trust
5.460% due 02/25/2036		47		47
HSI Asset Securitization Corp. Trust
5.370% due 10/25/2036		2,108		2,109
5.400% due 12/25/2036		592		591
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		974		975
Indymac Residential Asset-Backed Trust
5.410% due 04/25/2037		700		699
5.450% due 03/25/2036		41		41
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		174		174
5.400% due 10/25/2036		4,446		4,449
5.420% due 11/25/2036		1,036		1,037
Lehman XS Trust
5.420% due 05/25/2046		501		501
Long Beach Mortgage Loan Trust
5.360% due 11/25/2036		3,416		3,418
5.380% due 06/25/2036		2,032		2,033
5.430% due 02/25/2036		129		130
5.440% due 01/25/2036		93		93
5.470% due 09/25/2035		7		7
5.500% due 08/25/2035		413		414
5.550% due 11/25/2034		31		31
5.630% due 10/25/2034		63		63
MASTR Asset-Backed Securities Trust
5.410% due 11/25/2036		1,200		1,202
MBNA Credit Card Master Note Trust
5.450% due 12/15/2011		2,100		2,107
5.460% due 08/17/2009		4,600		4,604
5.470% due 08/16/2010		2,100		2,105
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		766		766
5.420% due 08/25/2036		4,600		4,604
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		288		288
5.370% due 10/25/2036		483		482
5.380% due 06/25/2036		989		990
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		765		765
Nelnet Student Loan Trust
5.338% due 09/25/2012		700		700
New Century Home Equity Loan Trust
5.460% due 09/25/2035		9		9
Newcastle Mortgage Securities Trust
5.420% due 03/25/2036		440		441
Nissan Auto Lease Trust
5.347% due 12/14/2007		442		442
Nissan Auto Receivables Owner Trust
4.140% due 01/15/2008		26		26
Option One Mortgage Loan Trust
5.360% due 02/25/2037		1,602		1,603
5.400% due 07/25/2036		708		708
5.450% due 11/25/2035		85		86
Park Place Securities, Inc.
5.510% due 09/25/2035		206		206
5.610% due 09/25/2035		663		665
5.662% due 10/25/2034		821		822
Quest Trust
5.430% due 12/25/2035		3		3
Renaissance Home Equity Loan Trust
5.500% due 11/25/2035		5		5
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		1,184		1,185
5.400% due 10/25/2036		378		378
5.450% due 08/25/2046		4,600		4,602
5.460% due 05/25/2025		37		37
5.460% due 09/25/2035		70		70
Residential Asset Securities Corp.
5.360% due 08/25/2036		169		169
5.390% due 11/25/2036		866		866
5.410% due 10/25/2036		835		836
5.420% due 11/25/2036		575		576
5.460% due 10/25/2035		23		23
Residential Funding Mortgage Securities II, Inc.
5.490% due 09/25/2035		86		86
SACO I, Inc.
5.460% due 11/25/2020		10		10
5.460% due 09/25/2035		32		32
Saxon Asset Securities Trust
5.380% due 11/25/2036		182		182
SBI HELOC Trust
5.490% due 08/25/2036		183		183
Securitized Asset-Backed Receivables LLC Trust
5.370% due 09/25/2036		899		899
SLM Student Loan Trust
5.323% due 07/25/2013		4,600		4,600
5.377% due 01/25/2016		392		393
5.387% due 01/26/2015		56		56
5.392% due 04/25/2012		500		500
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		271		271
5.410% due 06/25/2036		316		317
5.410% due 12/25/2036		1,200		1,201
5.410% due 01/25/2037		4,600		4,603
5.420% due 10/25/2036		826		827
5.450% due 12/25/2035		34		34
5.460% due 11/25/2035		44		44
Specialty Underwriting & Residential Finance
5.395% due 11/25/2037		1,058		1,058
Structured Asset Securities Corp.
5.450% due 07/25/2035		143		143
5.480% due 12/25/2035		115		115
Wachovia Auto Owner Trust
4.820% due 02/20/2009		106		106
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		2,400		2,403
5.470% due 12/25/2035		361		361
Total Asset-Backed Securities (Cost $139,034)				139,115
SOVEREIGN ISSUES 0.0%
Korea Development Bank
5.651% due 11/22/2012		100		100
Total Sovereign Issues (Cost $100)				100
SHORT-TERM INSTRUMENTS 26.9%
Certificates of Deposit 0.3%
Barclays Bank PLC
5.265% due 01/29/2007		700		700
Skandinaviska Enskilda Banken AB
5.272% due 07/06/2007		500		500
				1,200
Commercial Paper 25.4%
Abbey National N.A. LLC
5.225% due 03/07/2007		900		891
Bank of America Corp.
5.225% due 03/01/2007		5,100		5,058
5.230% due 03/20/2007		1,200		1,186
5.235% due 03/13/2007		700		692
Barclays U.S. Funding Corp.
5.250% due 02/14/2007		600		596
BNP Paribas Finance
5.230% due 03/07/2007		10,000		9,901
Calyon N.A. LLC
5.225% due 03/09/2007		2,100		2,079
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		3,400		3,315
Danske Corp.
5.225% due 03/12/2007		5,800		5,738
Dexia Delaware LLC
5.240% due 02/20/2007		20,400		20,257
DnB NORBank ASA
5.240% due 03/07/2007		9,800		9,703
General Electric Capital Corp.
5.230% due 03/07/2007		9,200		9,109
HBOS Treasury Services PLC
5.250% due 02/16/2007		9,400		9,340
HSBC Bank USA N.A.
5.176% due 07/28/2008		100		100
ING U.S. Funding LLC
5.240% due 02/20/2007		9,700		9,632
IXIS Commercial Paper Corp.
5.230% due 03/05/2007		3,700		3,664
5.245% due 02/16/2007		1,100		1,093
Societe Generale NY
5.225% due 03/01/2007		8,400		8,331
5.230% due 03/08/2007		1,500		1,485
Time Warner, Inc.
5.360% due 04/12/2007		4,700		4,629
Toyota Motor Credit Corp.
5.230% due 02/23/2007		5,500		5,459
UBS Finance Delaware LLC
5.225% due 03/08/2007		5,800		5,742
Viacom, Inc.
5.600% due 03/22/2007		250		250
				118,250
Repurchase Agreements 0.8%
Lehman Brothers, Inc.
4.850% due 01/02/2007		1,000		1,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.500% due 01/15/2011 valued at $1,025. Repurchase proceeds are $1,001.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		2,712		2,712
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% - 4.250% due 02/23/2007 - 04/16/2007 valued at $2,774. Repurchase proceeds are $2,713.)
				3,712
U.S. Treasury Bills 0.4%
4.838% due 03/01/2007 - 03/15/2007 (b)(d)		2,021		2,001
Total Short-Term Instruments (Cost $125,205)				125,163
Purchased Options (f) 0.1% (Cost $149)				282
Total Investments (c) 100.0% (Cost $464,509)				$465,011
Written Options (g) (0.1%) (Premiums $206)				(397	)
Other Assets and Liabilities (Net) 0.1%				425
Net Assets 100.0%			$	465,039

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

(c) As of December 31, 2006, portfolio securities with an aggregate value of $66,167 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $1,257 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	2	$	(2	)
90-Day Euribor June Futures	Long	06/2007	7		(3	)
90-Day Euribor June Futures Put Options Strike @ EUR 96.125	Short	06/2007	181		(69	)
90-Day Euribor September Futures	Long	09/2007	9		(7	)
90-Day Eurodollar December Futures	Long	12/2007	1,064		(414	)
90-Day Eurodollar June Futures	Long	06/2007	49		(25	)
90-Day Eurodollar March Futures	Long	03/2008	1		0
90-Day Eurodollar September Futures	Long	09/2007	277		(41	)
90-Day Euroyen December Futures	Long	12/2007	27		(4	)
90-Day Euroyen September Futures	Long	09/2007	45		(6	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	15		2
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	15		(10	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	10		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2007	4		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	13		(5	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	100		(139	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	166		110
				$	(619	)

(e) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	10,000	$	1
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.240	%	11/20/2007	$	2,100		1
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008		4,000		0
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		2,000		(2	)
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 6.500% due 11/15/2013	Sell	0.225	%	3/20/2008		1,900		0
Credit Suisse First Boston	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.180	%	11/20/2007		1,100		0
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.063	%	12/20/2007		100		0
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.063	%	12/20/2007		100		0
Deutsche Bank AG	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008		4,000		(3	)
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	1.000	%	10/20/2011		400		5
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.320	%	2/20/2007		2,400		2
HSBC Bank USA	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.280	%	11/20/2007		6,600		4
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.530	%	12/20/2007		2,100		(1	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.100	%	6/20/2007		4,000		17
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		500		0
Lehman Brothers, Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.310	%	12/20/2008		500		0
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		1,300		6
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.250	%	9/20/2007		200		3
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.250	%	11/20/2007		1,900		2
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.420	%	11/20/2007		1,100		2
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.290	%	11/20/2007		4,100		3
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.310	%	12/20/2007		2,300		3
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.320	%	12/20/2007		1,900		3
UBS AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.065	%	12/20/2007		1,400		0
								$	46

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	1,300	$	(3	)
Merrill Lynch & Co., Inc.	BRL-CDI Compounded	Pay	12.948	%	1/4/2010	BRL	800		3
Morgan Stanley	BRL-CDI Compounded	Pay	12.780	%	1/4/2010		900		2
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007	GBP	200		(3	)
								$	(1	)

Total Return Swaps

Counterparty	Receive Total Return	Pay	Expiration Date	# of Units		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.350%	10/15/2007	56,427	$	(360	)
Credit Suisse First Boston	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.350%	10/15/2007	154,401		(538	)
Merrill Lynch & Co., Inc.	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	10/15/2007	895,584		3,422
					$	2,524

(f) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		GBP 500	$	2	$	0
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		300		2		0
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007	$	2,000		8		3
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.500	%	7/9/2007		13,700		68		134
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		2,300		8		7
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		14,300		61		138
									$	149	$	282

(g) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	130	$	24	$	10
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	130		28		67
Put - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	4		2		1
					$	54	$	78

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 8-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		GBP 100	$	2	$	0
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		100		2		0
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007	$	1,000		10		5
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.620	%	7/9/2007		4,500		68		146
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		1,000		8		11
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		6,200		62		157
									$	152	$	319

(h) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	438	01/2007	$	1	$	0		$	1
Sell		438	01/2007		0		(2	)		(2	)
Buy		1,616	05/2007		6		0			6
Buy		1,007	06/2007		7		0			7
Buy	CAD	408	01/2007		0		(11	)		(11	)
Sell		328	01/2007		7		0			7
Buy	CNY	604	03/2007		0		0			0
Buy		192	09/2007		1		0			1
Buy		4,265	11/2007		7		0			7
Buy	EUR	700	01/2007		3		0			3
Sell		288	01/2007		1		(2	)		(1	)
Sell	GBP	16	01/2007		0		0			0
Buy	JPY	35,671	01/2007		0		0			0
Sell		390,802	01/2007		13		(2	)		11
Buy		512,567	02/2007		0		(58	)		(58	)
Sell		38,935	02/2007		4		0			4
Buy	KRW	23,856	02/2007		1		0			1
Buy		169,970	05/2007		2		0			2
Buy	MXN	2,463	04/2007		0		0			0
Buy	PHP	18,956	03/2007		0		(2	)		(2	)
Buy	RUB	3,353	03/2007		1		0			1
Buy		5,200	11/2007		0		0			0
Buy		5,217	12/2007		0		0			0
Buy	SGD	110	01/2007		1		0			1
Buy		1,167	07/2007		1		0			1
Buy	TWD	2,235	02/2007		0		(1	)		(1	)
				$	56	$	(78	)	$	(22	)

See Accompanying Notes

Schedule of Investments

Fundamental IndexPLUS^TM TR Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.8%
HCA, Inc.
8.114% due 11/14/2013	$	2,500	$	2,531
Idearc, Inc.
7.320% due 11/09/2014		2,500		2,515
Total Bank Loan Obligations (Cost $5,000)				5,046
CORPORATE BONDS & NOTES 26.4%
Banking & Finance 20.5%
AIG-Fp Matched Funding Corp.
5.361% due 06/16/2008		1,100		1,114
Allstate Life Global Funding Trusts
5.406% due 03/23/2009		600		601
American Express Centurion Bank
5.410% due 04/17/2009		4,200		4,204
American Express Credit Corp.
5.410% due 11/09/2009		400		400
American International Group, Inc.
5.050% due 10/01/2015		100		97
5.365% due 06/23/2008		3,500		3,502
5.400% due 06/16/2009		1,300		1,309
ANZ National International Ltd.
5.415% due 08/07/2009		2,200		2,200
Bank of America Corp.
5.372% due 09/25/2009		2,200		2,202
5.378% due 11/06/2009		600		600
5.451% due 09/18/2009		200		200
Bank of America N.A.
5.377% due 07/25/2008		1,600		1,601
6.000% due 10/15/2036		300		310
Bank of Ireland
5.415% due 12/18/2009		3,100		3,096
Bear Stearns Cos., Inc.
5.526% due 04/29/2008		3,400		3,410
BNP Paribas
5.292% due 05/28/2008		1,000		1,000
C10 Capital SPV Ltd.
6.722% due 12/01/2049		800		801
Calabash Re II Ltd. (a)
13.746% due 01/08/2010		1,600		1,601
14.946% due 01/08/2010		1,600		1,601
CIT Group, Inc.
5.493% due 08/17/2009		300		301
5.515% due 12/19/2008		500		501
5.524% due 08/15/2008		1,000		1,003
5.526% due 01/30/2009		600		602
5.660% due 11/03/2010		1,400		1,408
Citigroup Funding, Inc.
5.342% due 12/08/2008		200		200
Citigroup, Inc.
5.392% due 12/28/2009		200		200
5.406% due 12/26/2008		3,600		3,604
5.421% due 05/02/2008		5,000		5,008
DnB NORBank ASA
5.412% due 02/25/2008		1,500		1,504
5.443% due 10/13/2009		1,000		1,000
Export-Import Bank of China
4.875% due 07/21/2015		100		97
Ford Motor Credit Co.
6.315% due 03/21/2007		1,000		1,000
Foundation Re II Ltd.
12.123% due 11/26/2010		1,400		1,400
General Electric Capital Corp.
5.410% due 01/05/2009		1,800		1,802
5.410% due 10/26/2009		500		500
5.444% due 01/20/2010		1,700		1,704
GMAC LLC
6.000% due 12/15/2011		200		199
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		500		500
5.455% due 12/22/2008		2,200		2,204
5.455% due 11/16/2009		1,300		1,301
5.456% due 06/23/2009		1,100		1,101
5.476% due 07/29/2008		700		701
5.704% due 07/23/2009		300		302
HBOS PLC
5.920% due 09/29/2049		100		98
HSBC Bank USA N.A.
5.426% due 07/28/2008		3,100		3,106
HSBC Finance Corp.
5.420% due 10/21/2009		800		801
5.490% due 09/15/2008		300		301
HSBC Holdings PLC
6.500% due 05/02/2036		1,900		2,051
John Deere Capital Corp.
5.424% due 04/15/2008		600		601
5.424% due 07/15/2008		700		701
JPMorgan Chase & Co.
5.400% due 06/26/2009		800		801
5.416% due 06/26/2009		2,200		2,204
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/29/2036		100		104
Lehman Brothers Holdings, Inc.
5.400% due 11/24/2008		2,200		2,202
5.415% due 12/23/2008		200		200
5.460% due 04/03/2009		600		601
5.475% due 11/16/2009		1,900		1,901
5.576% due 12/23/2010		900		903
5.624% due 11/10/2009		500		503
MBNA Corp.
5.798% due 05/05/2008		4,465		4,494
Merrill Lynch & Co., Inc.
5.395% due 12/22/2008		3,000		3,001
5.450% due 12/04/2009		1,400		1,401
5.464% due 08/14/2009		1,900		1,902
MetLife, Inc.
6.400% due 12/15/2036		400		403
Morgan Stanley
5.390% due 11/21/2008		900		900
5.485% due 02/09/2009		700		702
5.499% due 02/15/2007		2,100		2,100
5.614% due 01/22/2009		2,600		2,602
Mystic Re Ltd.
11.670% due 12/05/2008		1,500		1,499
National Australia Bank Ltd.
5.393% due 09/11/2009		800		801
Nordea Bank Finland
5.292% due 03/31/2008		700		700
5.308% due 05/28/2008		1,000		1,000
Petroleum Export Ltd.
5.265% due 06/15/2011		89		87
Pricoa Global Funding I
5.457% due 01/25/2008		1,300		1,302
RBS Capital Trust III
5.512% due 09/29/2049		1,200		1,188
Resona Bank Ltd.
5.850% due 09/29/2049		200		196
Royal Bank of Scotland Group PLC
5.365% due 12/21/2007		1,200		1,201
5.770% due 07/06/2012		1,700		1,702
Santander U.S. Debt S.A. Unipersonal
5.376% due 11/20/2008		500		500
5.425% due 09/19/2008		5,000		5,009
SLM Corp.
5.517% due 07/27/2009		600		602
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		1,000		993
Societe Generale NY
5.258% due 06/11/2007		900		900
Unicredito Italiano NY
5.360% due 05/06/2008		5,100		5,100
5.370% due 05/29/2008		2,500		2,501
USB Capital IX
6.189% due 04/15/2049		200		204
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		900		902
Wachovia Corp.
5.426% due 10/28/2008		1,300		1,302
Wells Fargo & Co.
5.393% due 03/10/2008		3,400		3,404
Westpac Banking Corp.
5.310% due 06/06/2008		800		800
World Savings Bank FSB
5.415% due 05/08/2009		2,200		2,201
				126,668
Industrials 3.8%
Anadarko Petroleum Corp.
5.760% due 09/15/2009		3,900		3,919
Comcast Corp.
5.875% due 02/15/2018		300		297
6.450% due 03/15/2037		300		301
Corp. Nacional del Cobre de Chile - CODELCO
6.150% due 10/24/2036		100		103
Cox Communications, Inc.
5.875% due 12/01/2016		200		199
DaimlerChrysler N.A. Holding Corp.
5.790% due 03/13/2009		200		200
5.833% due 09/10/2007		4,700		4,711
Gaz Capital for Gazprom
6.212% due 11/22/2016		200		202
HJ Heinz Co.
6.428% due 12/01/2008		100		102
Home Depot, Inc.
5.250% due 12/16/2013		100		99
Oracle Corp.
5.603% due 01/13/2009		1,200		1,202
Pemex Project Funding Master Trust
5.750% due 12/15/2015		400		398
Siemens Financieringsmaatschappij NV
5.424% due 08/14/2009		1,100		1,101
Time Warner, Inc.
5.606% due 11/13/2009		4,100		4,106
5.875% due 11/15/2016		2,100		2,099
Transocean, Inc.
5.566% due 09/05/2008		700		701
Viacom, Inc.
5.750% due 04/30/2011		200		200
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		2,700		2,700
Williams Cos., Inc.
6.375% due 10/01/2010		700		708
				23,348
Utilities 2.1%
AT&T, Inc.
4.214% due 06/05/2021		1,400		1,396
Dominion Resources, Inc.
5.554% due 11/14/2008		2,800		2,802
Embarq Corp.
6.738% due 06/01/2013		3,400		3,484
Florida Power Corp.
5.774% due 11/14/2008		3,300		3,308
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		600		607
Peabody Energy Corp.
7.875% due 11/01/2026		400		432
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		250		241
Southern California Edison Co.
5.471% due 02/02/2009		800		802
Sprint Nextel Corp.
6.000% due 12/01/2016		200		195
				13,267
Total Corporate Bonds & Notes (Cost $162,848)				163,283
MUNICIPAL BONDS & NOTES 0.4%
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		295		294
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.750% due 06/01/2039		600		686
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.625% due 06/01/2037		1,500		1,595
Total Municipal Bonds & Notes (Cost $2,503)				2,575
U.S. GOVERNMENT AGENCIES 48.7%
Fannie Mae
4.349% due 03/01/2035		345		347
4.403% due 10/01/2034		422		420
4.425% due 07/01/2034		1,445		1,430
4.437% due 01/01/2035		1,634		1,613
4.493% due 07/01/2035		1,775		1,763
4.500% due 08/01/2035		2,069		2,041
4.534% due 09/01/2035		973		968
4.565% due 07/01/2035		1,316		1,311
4.626% due 09/01/2035		2,222		2,215
4.648% due 10/01/2035		942		939
4.673% due 12/01/2033		939		932
4.677% due 05/25/2035		200		198
4.678% due 12/01/2033		751		751
4.835% due 06/01/2035		2,119		2,100
4.996% due 06/01/2035		2,032		2,034
5.000% due 06/25/2027 - 03/01/2036		31,318		30,281
5.410% due 12/25/2036		800		802
5.500% due 07/01/2035 - 01/01/2037		103,526		102,335
5.700% due 09/25/2042		1,270		1,277
5.958% due 06/01/2043 - 07/01/2044		1,742		1,752
6.000% due 01/01/2037 - 02/01/2037		125,100		125,957
6.722% due 11/01/2035		509		522
Federal Home Loan Bank
5.500% due 06/30/2008		2,700		2,702
Freddie Mac
4.400% due 09/01/2035		1,022		1,010
4.500% due 10/15/2022		1,802		1,788
4.713% due 08/01/2035		2,007		1,997
4.714% due 06/01/2035		2,507		2,474
4.821% due 10/01/2035		1,430		1,427
4.924% due 11/01/2034		1,417		1,409
5.000% due 04/15/2012 - 01/15/2024		3,192		3,180
5.610% due 08/25/2031		318		320
5.750% due 06/15/2018		209		209
5.958% due 02/25/2045		175		175
6.000% due 01/01/2037		3,000		3,022
Government National Mortgage Association
4.000% due 07/16/2027		146		145
Total U.S. Government Agencies (Cost $302,938)				301,846
U.S. TREASURY OBLIGATIONS 2.3%
Treasury Inflation Protected Securities (c)
2.000% due 01/15/2026		4,780		4,497
2.375% due 01/15/2025		1,071		1,066
3.625% due 04/15/2028		250		302
U.S. Treasury Notes
4.625% due 12/31/2011		8,500		8,470
Total U.S. Treasury Obligations (Cost $14,324)				14,335
MORTGAGE-BACKED SECURITIES 9.9%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		384		378
Arkle Master Issuer PLC
5.330% due 11/19/2007		2,300		2,304
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		2,049		2,027
Bear Stearns Alt-A Trust
5.510% due 02/25/2034		1,500		1,501
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		360		355
4.900% due 12/25/2035		821		815
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		2,990		2,956
5.530% due 02/20/2047		900		903
5.630% due 02/25/2037		4,082		4,085
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		255		253
5.500% due 01/25/2046 (a)		900		902
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		698		693
5.570% due 11/15/2019		559		560
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.430% due 02/25/2037		6,100		6,106
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		1,291		1,293
5.430% due 01/25/2047		1,300		1,300
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		5,532		5,536
GSR Mortgage Loan Trust
4.540% due 09/25/2035		2,232		2,194
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		977		978
Indymac Index Mortgage Loan Trust
5.191% due 01/25/2036		1,208		1,216
5.440% due 11/25/2046		841		844
5.450% due 01/25/2037		786		787
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		824		820
Mellon Residential Funding Corp.
5.790% due 12/15/2030		3,275		3,289
Merrill Lynch Floating Trust
5.420% due 06/15/2022		4,448		4,451
Morgan Stanley Capital I
5.440% due 07/15/2019		777		778
Structured Adjustable Rate Mortgage Loan Trust
5.343% due 08/25/2034		1,439		1,436
6.227% due 01/25/2035		1,074		1,083
Structured Asset Mortgage Investments, Inc.
5.630% due 02/25/2036		440		440
Structured Asset Securities Corp.
5.450% due 09/25/2035		1,478		1,480
TBW Mortgage-Backed Pass-Through Certificates
5.460% due 01/25/2037		260		260
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		1,289		1,289
5.440% due 08/25/2036		1,804		1,801
5.460% due 04/25/2036		1,438		1,439
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		2,831		2,833
Washington Mutual, Inc.
5.640% due 10/25/2045		192		193
5.954% due 05/25/2041		318		320
6.027% due 11/25/2042		306		307
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		1,457		1,440
Total Mortgage-Backed Securities (Cost $61,632)				61,645
ASSET-BACKED SECURITIES 22.9%
ACE Securities Corp.
5.370% due 12/25/2036		574		574
5.400% due 10/25/2036		643		643
5.460% due 10/25/2035		720		721
Argent Securities, Inc.
5.470% due 10/25/2035		39		39
5.490% due 02/25/2036		230		231
Asset-Backed Funding Certificates
5.380% due 11/25/2036		1,057		1,057
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		1,264		1,265
5.625% due 09/25/2034		557		557
Bank One Issuance Trust
5.460% due 12/15/2010		7,800		7,818
5.470% due 09/15/2010		5,859		5,870
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		1,737		1,738
5.400% due 10/25/2036		584		584
5.550% due 09/25/2034		99		100
Capital One Auto Finance Trust
5.340% due 12/14/2007		1,000		1,001
Carrington Mortgage Loan Trust
5.500% due 09/25/2035		1,355		1,356
Chase Credit Card Master Trust
5.450% due 06/15/2009		2,900		2,902
5.460% due 02/15/2011		1,800		1,805
Chase Issuance Trust
5.340% due 07/15/2011		1,800		1,803
Chase Manhattan Auto Owner Trust
5.280% due 10/15/2009		1,800		1,801
Citigroup Mortgage Loan Trust, Inc.
5.400% due 11/25/2036		590		590
5.450% due 07/25/2035		17		17
Countrywide Asset-Backed Certificates
5.370% due 05/25/2037		2,185		2,185
5.370% due 03/25/2047		921		921
5.380% due 03/25/2037		1,238		1,239
5.400% due 05/25/2037		7,221		7,219
5.420% due 12/25/2036		1,300		1,301
5.430% due 06/25/2037		1,100		1,101
5.450% due 01/25/2036		2		3
5.460% due 10/25/2046		949		950
Credit-Based Asset Servicing & Securitization LLC
5.410% due 03/25/2036		393		394
5.410% due 11/25/2036		1,177		1,178
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		1,000		1,000
5.329% due 12/08/2007		900		901
FBR Securitization Trust
5.460% due 10/25/2035		138		138
5.470% due 10/25/2035		231		231
5.490% due 09/25/2035		117		117
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		1,943		1,944
5.370% due 12/25/2036		1,455		1,456
5.380% due 06/25/2036		3,274		3,277
5.490% due 05/25/2035		292		293
Ford Credit Auto Owner Trust
4.240% due 03/15/2008		143		143
Fremont Home Loan Trust
5.370% due 10/25/2036		4,362		4,365
5.390% due 02/25/2037		737		737
5.410% due 01/25/2037		1,000		999
5.440% due 01/25/2036		88		88
GSAMP Trust
5.390% due 09/25/2036		829		829
5.460% due 09/25/2035		101		101
5.460% due 11/25/2035		162		162
GSR Mortgage Loan Trust
5.450% due 11/25/2030		381		382
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		1,500		1,502
Home Equity Asset Trust
5.460% due 02/25/2036		1,304		1,305
5.470% due 01/25/2036		1,938		1,939
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		789		787
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		1,049		1,050
Indymac Residential Asset-Backed Trust
5.410% due 04/25/2037		1,000		998
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		435		436
5.400% due 10/25/2036		5,895		5,899
5.420% due 11/25/2036		345		346
Lehman XS Trust
5.420% due 05/25/2046		644		645
Long Beach Mortgage Loan Trust
5.360% due 11/25/2036		4,977		4,981
5.380% due 06/25/2036		3,078		3,081
5.440% due 01/25/2036		558		558
5.470% due 09/25/2035		30		30
5.500% due 08/25/2035		597		598
5.550% due 11/25/2034		195		195
5.630% due 10/25/2034		172		172
MBNA Credit Card Master Note Trust
5.450% due 12/15/2011		2,900		2,910
5.470% due 08/16/2010		3,150		3,157
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		1,072		1,073
5.420% due 08/25/2036		6,300		6,306
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		575		575
5.370% due 10/25/2036		676		675
5.380% due 06/25/2036		1,451		1,452
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		1,052		1,052
Nelnet Student Loan Trust
5.338% due 09/25/2012		1,000		1,000
New Century Home Equity Loan Trust
5.460% due 09/25/2035		39		39
Nissan Auto Lease Trust
5.347% due 12/14/2007		530		531
Nissan Auto Receivables Owner Trust
4.140% due 01/15/2008		157		157
Option One Mortgage Loan Trust
5.360% due 02/25/2037		2,262		2,263
5.400% due 07/25/2036		1,062		1,063
Park Place Securities, Inc.
5.662% due 10/25/2034		2,539		2,542
Quest Trust
5.430% due 12/25/2035		15		15
Renaissance Home Equity Loan Trust
5.500% due 11/25/2035		42		42
Residential Asset Mortgage Products, Inc.
5.400% due 10/25/2036		1,135		1,135
5.460% due 05/25/2025		187		187
5.460% due 09/25/2035		420		421
Residential Asset Securities Corp.
5.410% due 10/25/2036		2,413		2,415
5.420% due 11/25/2036		1,151		1,152
Residential Funding Mortgage Securities II, Inc.
5.490% due 09/25/2035		302		302
SACO I, Inc.
5.460% due 11/25/2020		78		78
5.460% due 09/25/2035		147		147
Saxon Asset Securities Trust
5.380% due 11/25/2036		546		546
SBI HELOC Trust
5.490% due 08/25/2036		642		642
SLM Student Loan Trust
5.323% due 07/25/2013		5,900		5,900
5.387% due 01/26/2015		430		431
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		814		814
5.410% due 01/25/2037		6,300		6,304
5.460% due 11/25/2035		288		289
Specialty Underwriting & Residential Finance
5.395% due 11/25/2037		1,539		1,538
Structured Asset Securities Corp.
5.370% due 10/25/2036		1,206		1,207
5.450% due 07/25/2035		358		358
5.480% due 12/25/2035		845		845
Wachovia Auto Owner Trust
4.820% due 02/20/2009		586		585
Wells Fargo Home Equity Trust
5.470% due 12/25/2035		1,082		1,082
Total Asset-Backed Securities (Cost $141,812)				141,878
SOVEREIGN ISSUES 0.0%
China Development Bank
5.000% due 10/15/2015		100		97
Total Sovereign Issues (Cost $99)				97
FOREIGN CURRENCY-DENOMINATED ISSUES 0.2%
Province of Quebec Canada
5.000% due 12/01/2038	CAD	1,300		1,171
Total Foreign Currency-Denominated Issues (Cost $1,184)				1,171
		Shares
PREFERRED STOCKS 0.4%
DG Funding Trust
7.614% due 12/31/2049		243		2,561
Total Preferred Stocks (Cost $2,585)				2,561
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 23.7%
Certificates of Deposit 0.7%
Skandinaviska Enskilda Banken AB
5.272% due 07/06/2007	$	1,500		1,500
5.272% due 10/03/2007		2,700		2,699
				4,199
Commercial Paper 18.8%
Abbey National N.A. LLC
5.200% due 04/02/2007		13,100		12,921
ASB Finance Ltd.
5.225% due 03/06/2007		17,200		17,032
Barclays U.S. Funding Corp.
5.220% due 03/05/2007		14,100		13,964
Cox Communications, Inc.
5.600% due 01/16/2007		300		300
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		1,200		1,170
HBOS Treasury Services PLC
5.240% due 03/06/2007		18,500		18,319
Societe Generale NY
5.200% due 04/02/2007		17,900		17,656
Swedbank, Inc.
5.225% due 03/07/2007		17,200		17,030
Viacom, Inc.
5.594% due 05/29/2007		500		500
5.787% due 03/22/2007		300		300
Westpac Capital Corp.
5.210% due 04/02/2007		17,800		17,557
				116,749
Repurchase Agreements 2.8%
Lehman Brothers, Inc.
4.850% due 01/02/2007
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 0.875% due 04/15/2010 valued at $14,313. Repurchase proceeds are $14,008.)		14,000		14,000
State Street Bank and Trust Co.
4.900% due 01/02/2007
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $3,328. Repurchase proceeds are $3,263.)		3,261		3,261
				17,261
U.S. Treasury Bills 1.4%
4.822% due 03/01/2007 - 03/15/2007 (b)(d)(f)		8,471		8,382
Total Short-Term Instruments (Cost $146,691)				146,591
Purchased Options (h) 0.2% (Cost $1,238)				1,083
Total Investments (e) 135.9% (Cost $842,854)			$	842,111
Written Options (i) (0.3%) (Premiums $1,352)				(1,502	)
Other Assets and Liabilities (Net) (35.6%)				(220,837	)
Net Assets 100.0%			$	619,772

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

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

(d) Securities with an aggregate market value of $3,214 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(e) As of December 31, 2006, portfolio securities with an aggregate value of $51,915 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $3,433 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	44	$	(43	)
90-Day Euribor June Futures	Long	06/2007	105		(77	)
90-Day Euribor June Futures	Long	06/2008	11		(8	)
90-Day Euribor March Futures	Long	03/2008	22		(15	)
90-Day Euribor September Futures	Long	09/2007	74		(68	)
90-Day Eurodollar December Futures	Long	12/2007	1,007		(73	)
90-Day Eurodollar June Futures	Long	06/2007	693		(578	)
90-Day Eurodollar March Futures	Long	03/2007	129		(145	)
90-Day Eurodollar March Futures	Long	03/2008	169		(94	)
90-Day Eurodollar September Futures	Long	09/2007	1,171		(473	)
90-Day Euroyen December Futures	Long	12/2007	16		0
90-Day Euroyen September Futures	Long	09/2007	21		(1	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 119.000	Short	03/2007	22		2
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	62		8
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 114.500	Short	03/2007	8		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 115.000	Short	03/2007	8		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	84		(48	)
S&P 500 Index March Futures	Long	03/2007	12		35
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	45		(23	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2007	13		(8	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	7		(5	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	10		(7	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	31		(15	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	11		(8	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	695		(709	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	71		150
				$	(2,203	)

(g) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	29,000	$	3
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.240	%	11/20/2007	$	2,700		2
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		200		1
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.063	%	12/20/2007		1,400		0
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.063	%	12/20/2007		1,300		0
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	3/20/2008		500		0
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.000	%	3/20/2007		100		0
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	0.415	%	11/20/2007		3,800		5
JPMorgan Chase & Co.	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.050	%	12/20/2007		2,600		1
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.100	%	6/20/2007		5,800		25
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.240	%	11/20/2007		2,600		2
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.500	%	11/20/2007		2,800		(1	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		300		1
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		400		0
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		4,100		35
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	4/20/2016		300		10
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.250	%	9/20/2007		700		9
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.290	%	11/20/2007		5,600		4
								$	97

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	1,800	$	(5	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010	BRL	1,100		5
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	1/4/2010		2,700		7
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027	CAD	500		(8	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027		600		(7	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010	EUR	2,400		39
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		1,700		83
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036	GBP	300		10
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		5,100		(94	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		700		28
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		500		(1	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,400		62
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016	JPY	626,000		(4	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.500	%	12/20/2026		190,000		(7	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		339,000		18
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		113,000		7
UBS AG	6-Month JPY-LIBOR	Pay	1.000	%	3/19/2008		4,300,000		0
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016	MXN	2,200		7
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009	$	6,500		(22	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		4,000		(99	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		34,500		(286	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		5,600		(61	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		1,500		(33	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		128,600		(962	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		300		(7	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		116,500		(384	)
								$	(1,714	)

Total Return Swaps

Counterparty	Receive Total Return	Pay	Expiration Date	# of Units		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.350%	10/15/2007	622,772	$	(659	)
Credit Suisse First Boston	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.350%	10/15/2007	1,187,129		(829	)
Merrill Lynch & Co., Inc.	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	10/15/2007	1,945,070		4,381
					$	2,893

(h) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar June Futures	$	91.000	6/18/2007	148	$	1	$	0
Put - CME 90-Day Eurodollar June Futures		91.250	6/18/2007	1,284		12		0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	494		5		0
Put - CME 90-Day Eurodollar March Futures		92.250	3/19/2007	264		3		0
Put - CME 90-Day Eurodollar September Futures		90.250	9/17/2007	238		2		0
					$	23	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007	EUR	3,000	$	14	$	5
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007		8,000		46		13
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.100	%	7/2/2007		7,000		39		20
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007		6,000		29		10
Call - OTC 2-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007	GBP	1,500		7		1
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		1,000		6		1
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	31,000		115		93
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	8/8/2007		14,000		57		39
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		14,000		56		20
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	8/8/2007		17,000		38		15
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		7,000		33		10
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		9,200		31		27
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		27,200		118		127
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		23,000		101		135
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		16,000		77		154
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		32,000		78		24
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		20,000		52		20
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		41,000		216		260
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	10/25/2007		15,000		60		69
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.170	%	2/1/2007		12,200		31		22
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		3,000		11		18
									$	1,215	$	1,083

(i) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	184	$	77	$	14
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	184		39		95
Put - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	18		10		5
Put - CME 90-Day Eurodollar March Futures		95.250	3/19/2007	7		6		10
					$	132	$	124

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007	EUR	1,000	$	12	$	8
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007		4,000		55		31
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.230	%	7/2/2007		3,000		39		35
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007		3,000		34		23
Call - OTC 8-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	400		6		2
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		300		6		1
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	13,000		107		106
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	8/8/2007		6,000		53		43
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		6,000		58		28
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	8/8/2007		3,000		41		22
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		3,000		33		14
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		4,000		32		43
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		11,900		123		170
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		10,000		102		160
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		7,000		77		177
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.750	%	7/2/2007		7,000		72		29
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		4,400		47		32
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		18,000		218		317
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.010	%	10/25/2007		7,000		64		78
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.240	%	2/1/2007		5,300		33		44
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.325	%	6/7/2007		1,000		8		15
									$	1,220	$	1,378

(k) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	1,001	01/2007	$	2	$	0		$	2
Sell		1,001	01/2007		0		(4	)		(4	)
Buy		3,667	05/2007		13		0			13
Buy		2,278	06/2007		16		0			16
Buy	CAD	1,772	01/2007		0		(48	)		(48	)
Sell		3,005	01/2007		49		0			49
Buy	CNY	3,997	03/2007		1		0			1
Buy		576	09/2007		2		0			2
Buy		5,761	11/2007		9		0			9
Buy	EUR	623	01/2007		0		(9	)		(9	)
Sell		557	01/2007		0		(6	)		(6	)
Sell	GBP	211	01/2007		1		(1	)		0
Sell	JPY	995,233	01/2007		30		(4	)		26
Buy		1,154,573	02/2007		0		(130	)		(130	)
Sell		89,720	02/2007		9		0			9
Buy	KRW	71,569	02/2007		2		0			2
Buy		728,645	05/2007		8		0			8
Buy	MXN	5,631	04/2007		0		(1	)		(1	)
Buy	PHP	43,357	03/2007		0		(5	)		(5	)
Buy	RUB	9,820	03/2007		4		0			4
Buy		11,662	11/2007		0		0			0
Buy		22,575	12/2007		0		(2	)		(2	)
Buy	SGD	427	01/2007		4		0			4
Buy		2,669	07/2007		2		0			2
Buy	TWD	8,619	02/2007		1		(2	)		(1	)
				$	153	$	(212	)	$	(59	)

See accompanying notes

Schedule of Investments

Global Bond Fund (U.S. Dollar-Hedged)

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
AUSTRALIA 0.1%
Medallion Trust
5.602% due 07/12/2031	$	124	$	124
Total Australia (Cost $124)				124
BELGIUM 0.2%
Belgium Government Bond
7.500% due 07/29/2008	EUR	250		348
Total Belgium (Cost $237)				348
CANADA 0.3%
Province of Quebec Canada
5.000% due 12/01/2038	CAD	300		270
Rogers Wireless, Inc.
7.625% due 12/15/2011		300		284
Total Canada (Cost $525)				554
CAYMAN ISLANDS 1.2%
Asahi Finance Cayman Ltd.
1.654% due 02/28/2049	JPY	100,000		841
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049	$	800		813
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	300		387
SHL Corp. Ltd.
1.246% due 12/25/2024	JPY	930		8
Vita Capital Ltd.
6.710% due 01/01/2007	$	400		400
Total Cayman Islands (Cost $2,419)				2,449
DENMARK 1.3%
Nordea Kredit Realkreditaktieselskab
6.000% due 07/01/2029	DKK	41		8
Nykredit Realkredit A/S
6.000% due 10/01/2029		250		46
Realkredit Danmark A/S
4.510% due 10/01/2038		15,000		2,600
Total Denmark (Cost $2,642)				2,654
FRANCE 9.3%
Axa S.A.
3.750% due 01/01/2017	EUR	50		95
France Government Bond
4.000% due 10/25/2009		2,260		2,991
4.000% due 04/25/2014		9,300		12,303
4.000% due 10/25/2014		700		926
4.750% due 04/25/2035		100		146
5.750% due 10/25/2032		1,300		2,152
Total France (Cost $17,772)				18,613
GERMANY 22.7%
Landesbank Baden-Wurttemberg
5.500% due 04/02/2007	EUR	90		119
LRP Landesbank Rheinland-Pfalz
4.750% due 04/04/2008		210		280
Republic of Germany
3.500% due 10/09/2009		1,000		1,307
4.000% due 07/04/2009		100		133
4.250% due 01/04/2014		3,800		5,105
4.250% due 07/04/2014		6,900		9,280
4.750% due 07/04/2034		700		1,022
5.000% due 01/04/2012		100		138
5.250% due 07/04/2010		1,300		1,789
5.250% due 01/04/2011		6,600	$	9,130
5.625% due 01/04/2028		4,740		7,578
6.250% due 01/04/2024		600		1,002
6.250% due 01/04/2030		400		693
6.500% due 07/04/2027		4,340		7,608
Total Germany (Cost $44,403)				45,184
ICELAND 0.2%
Kaupthing Bank Hf
5.750% due 10/04/2011	$	200		200
Landsbanki Islands Hf
6.070% due 08/25/2009		200		202
Total Iceland (Cost $400)				402
IRELAND 1.4%
Atlas Reinsurance PLC
7.717% due 01/10/2010	EUR	2,000		2,631
Emerald Mortgages PLC
3.913% due 01/15/2035		54		71
Lusitano Mortgages PLC
3.954% due 12/15/2035		128		170
Total Ireland (Cost $2,820)				2,872
ITALY 2.1%
Italy Buoni Poliennali Del Tesoro
4.500% due 05/01/2009	EUR	1,280		1,711
5.500% due 11/01/2010		400		557
Siena Mortgages SpA
3.909% due 12/16/2038		1,367		1,812
Total Italy (Cost $3,887)				4,080
JAPAN 22.0%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	200		255
Japan Government Bond
0.700% due 09/20/2008	JPY	310,000		2,604
1.400% due 09/20/2011		270,000		2,290
1.500% due 03/20/2011		910,000		7,765
1.500% due 03/20/2014		190,000		1,599
1.500% due 03/20/2015		100,000		836
1.600% due 06/20/2014		600,000		5,079
1.600% due 09/20/2014		490,000		4,139
2.300% due 05/20/2030		40,000		343
2.300% due 06/20/2035		440,000		3,713
2.400% due 03/20/2034		180,000		1,552
2.500% due 09/20/2035		440,000		3,872
2.500% due 06/20/2036		290,000		2,544
Japanese Government CPI Linked Bond (b)
1.100% due 12/10/2016		400,000		3,341
1.168% due 06/10/2016		302,100		2,490
Resona Bank Ltd.
5.850% due 09/29/2049	$	500		489
Sumitomo Mitsui Banking Corp.
1.348% due 12/31/2049	JPY	100,000		847
5.625% due 07/29/2049	$	100		98
Total Japan (Cost $46,111)				43,856
JERSEY, CHANNEL ISLANDS 0.4%
Haus Ltd.
3.925% due 12/10/2037	EUR	607		801
Total Jersey, Channel Islands (Cost $586)				801
MEXICO 0.0%
Pemex Project Funding Master Trust
8.850% due 09/15/2007	$	40	$	41
Total Mexico (Cost $39)				41
NETHERLANDS 1.9%
Delphinus BV
3.806% due 04/25/2093	EUR	500		648
3.914% due 11/28/2031		500		662
3.984% due 06/25/2066		191		253
Dutch Mortgage-Backed Securities BV
3.693% due 10/02/2079		969		1,285
Holland Euro-Denominated Mortgage-Backed Series
3.772% due 04/18/2012		119		158
Netherlands Government Bond
3.750% due 07/15/2014		200		261
5.000% due 07/15/2011		200		275
Siemens Financieringsmaatschappij NV
5.424% due 08/14/2009	$	200		200
Total Netherlands (Cost $3,536)				3,742
RUSSIA 0.1%
VTB Capital S.A. for Vneshtorgbank
6.115% due 09/21/2007	$	200		201
Total Russia (Cost $200)				201
SPAIN 1.8%
Hipotebansa Mortgage Securitization Fund
3.672% due 07/18/2022	EUR	186		246
Spain Government Bond
4.200% due 07/30/2013		400		535
5.150% due 07/30/2009		1,990		2,705
Total Spain (Cost $2,564)				3,486
TUNISIA 0.2%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	300		379
Total Tunisia (Cost $363)				379
UNITED KINGDOM 5.1%
Bauhaus Securities Ltd.
3.868% due 10/30/2052	EUR	302		400
Dolerite Funding PLC
5.655% due 08/20/2032	$	34		34
HBOS PLC
5.920% due 09/29/2049		500		491
HSBC Holdings PLC
6.500% due 05/02/2036		2,100		2,267
Lloyds TSB Bank PLC
5.625% due 07/15/2049	EUR	590		802
Royal Bank of Scotland Group PLC
5.365% due 12/21/2007	$	600		601
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		100		94
United Kingdom Gilt
4.000% due 03/07/2009	GBP	60		115
5.000% due 03/07/2008		800		1,563
5.000% due 03/07/2012		900		1,765
8.000% due 09/27/2013		790		1,820
XL Capital Europe PLC
6.500% due 01/15/2012	$	200		208
Total United Kingdom (Cost $9,671)				10,160
UNITED STATES 92.3%
Asset-Backed Securities 0.9%
AFC Home Equity Loan Trust
6.060% due 12/22/2027	$	21		21
Amortizing Residential Collateral Trust
5.700% due 10/25/2031		17		17
Amresco Residential Securities Mortgage Loan Trust
6.290% due 06/25/2029		12		12
Bear Stearns Asset-Backed Securities, Inc.
5.680% due 10/25/2032		8		8
5.800% due 03/25/2043		29		29
CS First Boston Mortgage Securities Corp.
5.660% due 01/25/2032		13		13
FBR Securitization Trust
5.470% due 11/25/2035		90		90
First Alliance Mortgage Loan Trust
5.580% due 12/20/2027		71		71
First NLC Trust
5.470% due 02/25/2036		77		78
Fremont Home Loan Trust
5.440% due 01/25/2036		26		26
GSAMP Trust
5.460% due 11/25/2035		27		27
5.640% due 03/25/2034		214		214
Quest Trust
5.910% due 06/25/2034		72		72
Renaissance Home Equity Loan Trust
5.850% due 12/25/2033		54		54
Residential Asset Mortgage Products, Inc.
5.630% due 06/25/2032		12		12
Residential Asset Securities Corp.
5.440% due 01/25/2036		103		103
5.600% due 07/25/2032		57		57
Structured Asset Securities Corp.
5.750% due 05/25/2034		69		70
Wells Fargo Home Equity Trust
5.580% due 10/25/2035		862		863
				1,837
Corporate Bonds & Notes 7.0%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		100		102
Atlantic & Western Re Ltd.
11.372% due 01/09/2007		500		500
AutoZone, Inc.
5.875% due 10/15/2012		100		100
Bank of America Corp.
5.378% due 11/06/2009		500		500
BellSouth Corp.
5.200% due 09/15/2014		200		196
Boston Scientific Corp.
5.450% due 06/15/2014		100		96
6.000% due 06/15/2011		500		505
6.400% due 06/15/2016		300		304
CenterPoint Energy, Inc.
5.875% due 06/01/2008		200		201
Charter One Bank N.A.
5.430% due 04/24/2009		1,000		1,001
CIT Group, Inc.
5.493% due 08/17/2009		600		601
CNA Financial Corp.
6.000% due 08/15/2011		300		305
ConocoPhillips Australia Funding Co.
5.468% due 04/09/2009		1,000		1,002
CVS Corp.
5.750% due 08/15/2011		200		203
DaimlerChrysler N.A. Holding Corp.
5.750% due 09/08/2011		100		100
DR Horton, Inc.
6.000% due 04/15/2011		200		201
El Paso Corp.
7.625% due 09/01/2008		400		414
General Electric Capital Corp.
5.396% due 12/12/2008		300		300
General Motors Acceptance Corp.
6.000% due 04/01/2011		500		497
Genworth Financial, Inc.
1.600% due 06/20/2011	JPY	90,000		754
Goldman Sachs Group, Inc.
5.250% due 06/01/2016 (i)	CAD	500		440
HJ Heinz Finance Co.
6.000% due 03/15/2012	$	200		203
JPMorgan & Co., Inc.
9.604% due 02/15/2012		100		104
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	200		173
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/29/2036	$	300		311
Merrill Lynch & Co., Inc.
5.464% due 08/14/2009		100		100
Mizuho JGB Investment LLC
9.870% due 12/29/2049		400		427
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		300		314
Morgan Stanley
5.824% due 10/18/2016		200		202
Sabre Holdings Corp.
7.350% due 08/01/2011		200		194
SB Treasury Co. LLC
9.400% due 12/29/2049		900		948
Sealed Air Corp.
5.625% due 07/15/2013		200		198
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		300		319
Toyota Motor Credit Corp.
5.346% due 10/12/2007		800		800
U.S. Bancorp
5.380% due 04/28/2009		600		601
Viacom, Inc.
5.750% due 04/30/2011		200		200
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		500		500
				13,916
Mortgage-Backed Securities 3.7%
Banc of America Mortgage Securities
5.000% due 05/25/2034		441		434
Bear Stearns Alt-A Trust
5.837% due 11/25/2036		949		954
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		300		325
Countrywide Home Loan Mortgage Pass-Through Trust
5.730% due 09/25/2034		264		264
CS First Boston Mortgage Securities Corp.
6.500% due 04/25/2033		34		34
GMAC Commercial Mortgage Securities, Inc.
6.420% due 05/15/2035		630		638
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		299		296
Greenpoint Mortgage Funding Trust
5.620% due 11/25/2045		52		52
GSR Mortgage Loan Trust
3.393% due 06/25/2034		361		360
Impac CMB Trust
5.750% due 07/25/2033		39		39
JPMorgan Chase Commercial Mortgage Securities Corp.
6.465% due 11/15/2035		600		630
MLCC Mortgage Investors, Inc.
5.730% due 03/15/2025		91		92
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		30		30
Sequoia Mortgage Trust
5.700% due 07/20/2033		432		433
Structured Asset Mortgage Investments, Inc.
5.640% due 07/19/2034		109		109
Washington Mutual, Inc.
5.114% due 10/25/2032		33		33
5.596% due 02/27/2034		137		138
5.620% due 12/25/2027		517		518
5.660% due 01/25/2045		221		222
5.954% due 05/25/2041		73		74
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		1,002		990
5.227% due 04/25/2036		655		658
				7,323
Municipal Bonds & Notes 0.7%
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
6.250% due 06/01/2033		200		224
Harris County, Texas Revenue Bonds, Series 2003
5.000% due 08/01/2033		100		101
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		380		397
Louisville & Jefferson Counties, Kentucky Metro Sewer District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		100		105
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		200		206
New York State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
5.250% due 06/01/2013		400		409
				1,442
		Shares
Preferred Stocks 0.9%
DG Funding Trust
7.614% due 12/31/2049		172		1,813
	Principal Amount (000s)
U.S. Government Agencies 70.5%
Fannie Mae
4.190% due 11/01/2034	$	726		719
4.951% due 12/01/2034		266		265
5.000% due 08/01/2035		1,358		1,312
5.450% due 01/25/2021		382		381
5.500% due 10/01/2016 - 10/01/2035		13,090		12,961
5.600% due 06/25/2044		175		175
6.000% due 07/01/2036 - 07/25/2044		110,318		111,077
6.470% due 09/25/2012		1,000		1,072
6.500% due 09/01/2036 - 01/01/2037		6,827		6,958
Federal Home Loan Bank
5.750% due 08/15/2011		1,000		1,033
Freddie Mac
5.958% due 10/25/2044		700		704
Government National Mortgage Association
5.125% due 11/20/2021 - 12/20/2026		57		58
5.250% due 01/20/2030		56		56
5.375% due 05/20/2028 - 06/20/2030		222		225
5.750% due 07/20/2022 - 09/20/2026		132		133
5.950% due 02/16/2030		95		96
6.000% due 02/16/2030 - 08/20/2034		667		684
Small Business Administration
6.640% due 02/01/2011		120		125
Tennessee Valley Authority
5.880% due 04/01/2036		1,000		1,103
7.140% due 05/23/2012		1,000		1,098
				140,235
U.S. Treasury Obligations 8.6%
Treasury Inflation Protected Securities (b)
0.875% due 04/15/2010		1,172		1,111
2.000% due 01/15/2014		437		425
2.000% due 07/15/2014		535		520
2.000% due 01/15/2026		102		96
3.000% due 07/15/2012		1,010		1,040
3.500% due 01/15/2011		1,276		1,328
U.S. Treasury Bonds
7.500% due 11/15/2016		50		61
8.125% due 08/15/2019		2,000		2,613
8.750% due 05/15/2017		1,800		2,382
8.875% due 02/15/2019		5,400		7,385
U.S. Treasury Notes
4.375% due 12/15/2010		100		99
				17,060
Total United States (Cost $184,794)				183,626
SHORT-TERM INSTRUMENTS 3.9%
Certificates of Deposit 0.5%
Countrywide Funding Corp.
5.350% due 08/16/2007	$	900		900
Commercial Paper 0.5%
San Paolo IMI U.S. Financial Co.
5.290% due 01/02/2007		500		500
Time Warner, Inc.
5.390% due 01/25/2007		500		498
				998
Repurchase Agreements 1.6%
State Street Bank and Trust Co.
4.900% due 01/02/2007		3,259		3,259
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $3,328. Repurchase proceeds are $3,261.)
U.S. Treasury Bills 1.3%
4.822% due 03/01/2007 - 03/15/2007 (a)(c)(e)		2,595		2,569
Total Short-Term Instruments (Cost $7,729)				7,726
Purchased Options (g) 0.4% (Cost $1,340)				829
Total Investments (d) 166.9% (Cost $332,162)			$	332,127
Written Options (h) (0.6%) (Premiums $1,269)				(1,241	)
Other Assets and Liabilities (Net) (66.3%)				(131,868	)
Net Assets 100.0%			$	199,018

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

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

(a) Coupon represents a weighted average rate.

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

(c) Securities with an aggregate market value of $991 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(d) As of December 31, 2006, portfolio securities with an aggregate value of $11,457 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $1,578 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	39	$	(2	)
90-Day Eurodollar December Futures	Long	12/2008	38		37
90-Day Eurodollar June Futures	Long	06/2008	89		(16	)
90-Day Eurodollar March Futures	Long	03/2008	54		(6	)
90-Day Eurodollar March Futures	Long	03/2009	25		26
90-Day Eurodollar September Futures	Long	09/2007	94		(23	)
90-Day Eurodollar September Futures	Long	09/2008	84		37
Euro-Bund 10-Year Note March Futures	Long	03/2007	123		(445	)
Euro-Bund 10-Year Note March Futures	Short	03/2007	159		24
Japan Government 10-Year Bond March Futures	Long	03/2007	22		(22	)
U.S. Treasury 5-Year Note March Futures	Long	03/2007	476		(253	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	133		(117	)
U.S. Treasury 30-Year Bond March Futures	Long	03/2007	15		(16	)
				$	(776	)

(f) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016	EUR	600	$	1
BNP Paribas Bank	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		500		0
Deutsche Bank AG	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		500		0
Goldman Sachs & Co.	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		100		0
HSBC Bank USA	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		100		0
JPMorgan Chase & Co.	Dow Jones ITRAX 6HIVOL Index	Buy	(0.850	%)	12/20/2016		200		0
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	59,000		4
Bank of America	DR Horton, Inc. 6.000% due 04/15/2011	Buy	(0.890	%)	6/20/2011	$	200		(2	)
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		3,700		0
Barclays Bank PLC	XL Capital Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	3/20/2012		200		(1	)
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		1,500		1
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	6/20/2011		200		0
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	9/20/2011		100		(1	)
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	3/20/2012		200		0
Citibank N.A.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012		100		(1	)
Credit Suisse First Boston	CenterPoint Energy, Inc. 5.875% due 06/01/2008	Buy	(0.170	%)	6/20/2008		200		0
Credit Suisse First Boston	Sealed Air Corp. 5.625% due 07/15/2013	Buy	(0.500	%)	9/20/2013		200		0
Deutsche Bank AG	ACE INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	6/20/2014		100		(1	)
Deutsche Bank AG	Boston Scientific Corp. 5.450% due 06/15/2014	Buy	(0.620	%)	6/20/2014		100		1
Deutsche Bank AG	Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014		100		(1	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		6,700		(10	)
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.345	%	8/20/2011		2,000		47
JPMorgan Chase & Co.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	9/20/2011		200		(2	)
JPMorgan Chase & Co.	Sabre Holdings Corp. 7.350% due 08/01/2011	Buy	(0.930	%)	9/20/2011		200		15
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.135	%)	8/20/2016		1,100		(56	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	8/20/2011		3,600		73
Lehman Brothers, Inc.	CVS Corp. 5.750% due 08/15/2011	Buy	(0.210	%)	9/20/2011		200		0
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	9/20/2014		200		0
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.065	%)	8/20/2016		2,000		(90	)
Merrill Lynch & Co., Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.410	%	6/20/2007		600		2
Merrill Lynch & Co., Inc.	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.510	%)	6/20/2011		200		(1	)
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 6.000% due 04/01/2011	Buy	(1.290	%)	6/20/2011		500		(7	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	8/20/2011		2,100		52
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.180	%)	8/20/2016		1,200		(65	)
Royal Bank of Canada	JPMorgan Chase & Co. 6.750% due 02/01/2011	Buy	(0.310	%)	3/20/2016		200		0
Royal Bank of Scotland Group PLC	Landsbanki Islands Hf floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	9/20/2009		200		0
Royal Bank of Scotland Group PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.620	%)	9/20/2011		100		(1	)
Royal Bank of Scotland Group PLC	Kaupthing Bank Hf 5.750% due 10/04/2011	Buy	(0.490	%)	12/20/2011		200		0
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016		200		0
UBS AG	Goldman Sachs Group, Inc. 5.250% due 06/01/2016	Buy	(0.310	%)	6/20/2016		400		0
UBS AG	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		1,000		0
								$	(43	)

(1) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	7,800	$	(29	)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	6/15/2010		6,900		(143	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.000	%	6/15/2015		3,900		109
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/15/2012		1,400		(9	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.000	%	6/15/2017		800		10
HSBC Bank USA	6-Month Australian Bank Bill	Pay	6.000	%	6/15/2012		1,000		(7	)
HSBC Bank USA	6-Month Australian Bank Bill	Receive	6.000	%	6/15/2017		600		8
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009		4,900		(19	)
UBS AG	6-Month Australian Bank Bill	Pay	6.000	%	6/15/2010		6,300		(138	)
UBS AG	6-Month Australian Bank Bill	Receive	6.000	%	6/15/2015		3,500		109
Citibank N.A.	3-Month Canadian Bank Bill	Receive	5.000	%	6/15/2015	CAD	800		1
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.000	%	6/15/2015		600		22
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010	EUR	200		(10	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		6,300		110
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		300		(1	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		3,000		51
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2011		300		(4	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		20,170		(158	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		8,900		65
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		500		(21	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		800		9
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		100		(5	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		500		9
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		300		(12	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	6/15/2017		2,500		75
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		1,100		(34	)
UBS AG	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		800		(36	)
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		3,500		64
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010	GBP	1,100		(23	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.500	%	9/15/2017		2,100		(8	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/18/2034		100		6
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		2,100		21
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.250	%	6/12/2036		100		5
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		100		(2	)
Citibank N.A.	6-Month GBP-LIBOR	Receive	5.000	%	12/16/2019		200		(3	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		2,300		(36	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		400		(8	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.250	%	6/12/2036		300		18
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		100		(2	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		800		(19	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		7,800		(314	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		400		(11	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		300		7
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		800		(18	)
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		300		3
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.322	%	9/14/2009		200		1
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		400		(10	)
Royal Bank of Scotland Group PLC	6-Month HUF-LIBOR	Receive	7.540	%	9/27/2016	HUF	33,000		(6	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.540	%	9/27/2016		186,000		(41	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.720	%	10/6/2016		67,000		(22	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.720	%	10/10/2016		58,000		(19	)
JPMorgan Chase & Co.	6-Month HUF-LIBOR	Receive	7.720	%	10/10/2016		19,000		(6	)
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016	JPY	150,000		(10	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	3/18/2008		300,000		5
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		60,000		(3	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	1.000	%	3/18/2008		900,000		12
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2010		200,000		(11	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.300	%	9/21/2011		340,000		3
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		1,730,000		(105	)
Lehman Brothers, Inc.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		110,000		(21	)
Merrill Lynch & Co., Inc.	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		270,000		(10	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	9/18/2008		900,000		3
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		990,000		(65	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.980	%	9/27/2016		500,000		(89	)
UBS AG	6-Month JPY-LIBOR	Receive	0.800	%	3/20/2012		540,000		(28	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016	MXN	6,000		21
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	9/22/2016		9,000		60
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	9/23/2016		3,000		19
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016		40,300		25
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	9/23/2016		1,000		6
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		4,000		14
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	12,600		288
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2012		24,500		269
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		1,100		16
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		1,200		26
Credit Suisse First Boston	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		2,700		47
Deutsche Bank AG	Difference in Constant Maturity Swap 10-Year vs. 2-Year	Receive	0.288	%	12/7/2007		1,700		(6	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		10,400		91
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		1,000		23
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		9,300		81
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		1,600		37
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		2,600		(56	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2012		13,800		153
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		3,100		53
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		16,600		(360	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		6,000		124
UBS AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		300		(16	)
								$	125

(g) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CBOT U.S. Treasury 5-Year Note March Futures	$	102.500	2/23/2007	381	$	7	$	6
Put - CBOT U.S. Treasury 5-Year Note March Futures		103.000	2/23/2007	28		0		1
Put - CME 90-Day Eurodollar March Futures		91.500	3/19/2007	70		1		0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	74		1		0
Put - CME 90-Day Eurodollar March Futures		92.250	3/19/2007	63		1		0
					$	10	$	7

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007	GBP	5,400	$	28	$	2
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		3,500		18		3
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	5/11/2007		3,000		17		1
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.150	%	9/14/2007		3,500		18		8
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007		4,900		23		4
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.170	%	9/14/2007		7,000		40		18
Call - OTC 2-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	5/17/2007		4,000		22		1
Call - OTC 2-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	6/6/2007		3,500		19		1
Call - OTC 2-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007		3,500		20		3
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.150	%	9/14/2007		7,000		39		17
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.201	%	9/14/2007		3,500		20		10
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	16,000		59		48
Call - OTC 2-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		12,000		47		17
Call - OTC 1-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		52,600		125		39
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		54,400		219		253
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2007		17,500		113		107
Call - OTC 30-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.750	%	4/27/2009		400		21		36
Put - OTC 30-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	6.250	%	4/27/2009		400		28		7
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		2,000		9		3
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		9,200		31		28
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.150	%	5/8/2007		72,700		272		297
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		28,000		106		40
									$	1,294	$	943

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	116.000	12/5/2007	$	2,000	$	20	$	36

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Fannie Mae 5.000% due 03/01/2037	$	102.000	3/6/2007	$	9,000	$	1	$	0
Call - OTC Fannie Mae 5.000% due 03/01/2037		106.000	3/6/2007		20,000		2		1
Put - OTC Fannie Mae 6.000% due 02/01/2037		93.063	2/5/2007		13,000		1		0
Put - OTC Fannie Mae 6.000% due 03/01/2037		91.000	3/6/2007		65,000		8		6
Put - OTC Fannie Mae 6.000% due 03/01/2037		91.688	3/6/2007		10,000		1		0
Put - OTC Fannie Mae 6.000% due 03/01/2037		91.875	3/6/2007		13,000		2		1
Put - OTC Fannie Mae 6.000% due 03/01/2037		92.219	3/6/2007		5,000		1		0
						$	16	$	8

Straddle Options

Description	Counterparty	Exercise Price(2)		Expiration Date	Notional Amount		Cost(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Bank of America	$	0.000	2/13/2007	$	5,200	$	0	$	(67	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.		0.000	5/10/2007		1,700		0		(8	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	UBS AG		0.000	1/17/2007		3,000		0		(41	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	UBS AG		0.000	3/20/2007		5,100		0		(49	)
							$	0	$	(165	)

(2) Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(h) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 8-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	2,600	$	44	$	13
Call - OTC 8-Year Interest Rate Swap	Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		1,000		18		9
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		1,400		26		7
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		2,000		40		18
Call - OTC 8-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.850	%	6/6/2007		1,000		20		4
Call - OTC 8-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		1,000		18		5
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		2,000		40		18
Call - OTC 8-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		1,000		20		9
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	7,000		57		57
Put - OTC 10-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		1,800		18		0
Call - OTC 5-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		5,000		48		23
Put - OTC 10-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		100		1		0
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		23,700		222		339
Call - OTC 10-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.250	%	5/16/2007		1,900		21		30
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.150	%	12/20/2007		7,600		110		116
Call - OTC 10-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.250	%	5/16/2007		1,400		18		22
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		1,000		11		5
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		4,000		32		43
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.280	%	5/8/2007		31,600		279		417
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.750	%	7/2/2007		11,600		113		48
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		12,000		109		55
									$	1,265	$	1,238

Credit Default Swaptions

Description	Counterparty	Exercise Rate	Expiration Date	Notional Amount		Premium		Value
Call - OTC British Telecom SP 7.125% due 02/15/2011	Morgan Stanley	0.450%	6/20/2008	$	700	$	4	$	3

(i) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Goldman Sachs Group, Inc.	5.250	%	6/1/2016	11/3/2006	$	453	$	440	0.22	%

(j) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	1/1/2037	$	23,000	$	22,392	$	22,209
Fannie Mae	5.000	%	2/1/2037		11,000		10,618		10,622
Fannie Mae	5.500	%	1/1/2037		5,950		5,930		5,881
U.S. Treasury Bonds	4.500	%	2/15/2036		7,000		6,744		6,791
U.S. Treasury Notes	3.000	%	2/15/2009		300		291		293
U.S. Treasury Notes	4.625	%	11/15/2016		9,100		9,164		9,115
U.S. Treasury Notes	4.875	%	5/31/2011		300		306		304
U.S. Treasury Notes	5.125	%	5/15/2016		6,200		6,498		6,449
						$	61,943	$	61,664

(3) Market value includes $270 of interest payable on short sales.

(k) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	4,280	01/2007	$	48	$	0		$	48
Sell		29	01/2007		0		0			0
Buy		1,839	02/2007		11		0			11
Buy	BRL	212	05/2007		3		0			3
Buy		809	06/2007		7		0			7
Sell	CAD	2,161	01/2007		52		0			52
Buy	CLP	18,098	02/2007		0		0			0
Buy		8,300	06/2007		0		0			0
Buy	CNY	15,689	05/2007		6		0			6
Buy		8,337	08/2007		23		0			23
Buy		7,880	09/2007		23		0			23
Buy		15,578	11/2007		9		0			9
Sell	DKK	15,856	03/2007		1		(5	)		(4	)
Buy	EUR	650	01/2007		1		0			1
Sell		49,405	01/2007		697		(27	)		670
Sell	GBP	2,193	01/2007		2		(23	)		(21	)
Sell	JPY	593,002	01/2007		64		0			64
Sell		3,933,053	02/2007		444		0			444
Buy	KRW	393,702	02/2007		13		0			13
Buy		210,326	03/2007		4		0			4
Buy	MXN	6,301	01/2007		5		0			5
Buy		1,060	04/2007		2		0			2
Buy	NOK	1,741	01/2007		0		(7	)		(7	)
Buy		1,753	03/2007		0		(5	)		(5	)
Sell	NZD	5,089	01/2007		0		(177	)		(177	)
Sell		2,139	02/2007		0		(36	)		(36	)
Sell	PLN	80	04/2007		0		(1	)		(1	)
Buy		102	06/2007		0		0			0
Buy	RUB	1,394	01/2007		1		0			1
Buy		1,037	09/2007		0		0			0
Buy	SGD	743	01/2007		6		0			6
Buy	TWD	20,164	02/2007		0		(8	)		(8	)
Sell		5,049	02/2007		0		(1	)		(1	)
Buy	ZAR	216	06/2007		0		0			0
				$	1,422	$	(290	)	$	1,132

See accompanying notes

Schedule of Investments

Global Bond Fund (Unhedged)

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARUBA 0.2%
Mizuho Finance Aruba Ltd.
2.005% due 04/27/2049	JPY	100,000	$	852
Mizuho Trust & Banking Co. Ltd.
2.405% due 04/27/2009		100,000		865
Total Aruba (Cost $1,756)				1,717
AUSTRALIA 0.0%
Medallion Trust
5.602% due 07/12/2031	$	409		410
Total Australia (Cost $410)				410
AUSTRIA 0.5%
Austria Government Bond
5.000% due 01/15/2008	EUR	3,000		4,005
5.500% due 01/15/2010		600		827
Total Austria (Cost $3,468)				4,832
CANADA 0.3%
DaimlerChrysler Canada Finance, Inc.
4.850% due 03/30/2009	CAD	1,100		944
Province of Ontario Canada
6.200% due 06/02/2031		200		212
Province of Quebec Canada
5.000% due 12/01/2038		1,500		1,351
5.750% due 12/01/2036		900		902
Total Canada (Cost $3,485)				3,409
CAYMAN ISLANDS 2.3%
Asahi Finance Cayman Ltd.
1.654% due 02/28/2049	JPY	300,000		2,522
ASIF II
4.439% due 06/15/2007	CAD	4,400		3,773
Foundation Re II Ltd.
12.123% due 11/26/2010	$	500		500
Mizuho Finance Cayman Ltd.
1.007% due 09/28/2049	JPY	100,000		844
1.581% due 12/31/2049		300,000		2,575
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049	$	2,900		2,948
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	1,100		1,420
Mystic Re Ltd.
11.670% due 12/05/2008	$	250		250
14.370% due 12/05/2008		350		350
Pylon Ltd.
7.579% due 12/18/2008	EUR	1,500		1,995
SHL Corp. Ltd.
1.128% due 12/25/2024	JPY	21,679		184
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049	$	2,100		2,084
Vita Capital Ltd.
6.710% due 01/01/2007		1,500		1,500
Vita Capital III Ltd.
6.466% due 01/01/2011		2,300		2,299
Total Cayman Islands (Cost $23,142)				23,244
DENMARK 0.5%
Nordea Kredit Realkreditaktieselskab
6.000% due 07/01/2029	DKK	144		27
Nykredit Realkredit A/S
4.158% due 10/01/2038		11,000		1,902
6.000% due 10/01/2029		936		173
Realkredit Danmark A/S
4.510% due 10/01/2038		15,000		2,600
Total Denmark (Cost $4,652)				4,702
FRANCE 3.3%
Axa S.A.
3.750% due 01/01/2017	EUR	397		759
France Government Bond
4.000% due 04/25/2009		560		741
4.000% due 10/25/2009		80		106
4.000% due 04/25/2014		600		794
4.000% due 10/25/2014		3,100		4,099
4.000% due 04/25/2055		400		521
4.750% due 04/25/2035		700		1,020
5.750% due 10/25/2032		4,100		6,786
French Treasury Notes
3.500% due 01/12/2009		13,800		18,080
Total France (Cost $32,589)				32,906
GERMANY 27.0%
Hypothekenbank in Essen AG
5.500% due 02/20/2007	EUR	1,350		1,785
Landesbank Baden-Wurttemberg
5.500% due 04/02/2007		520		689
LRP Landesbank Rheinland-Pfalz
4.750% due 04/04/2008		530		706
Republic of Germany
4.000% due 07/04/2009		2,200		2,911
4.250% due 01/04/2014		26,500		35,603
4.250% due 07/04/2014		45,400		61,058
4.500% due 01/04/2013		3,040		4,132
4.750% due 07/04/2028		1,300		1,873
4.750% due 07/04/2034		4,100		5,987
5.000% due 01/04/2012		3,200		4,425
5.000% due 07/04/2012		5,900		8,185
5.250% due 07/04/2010		15,100		20,781
5.250% due 01/04/2011		15,200		21,028
5.375% due 01/04/2010		1,900		2,610
5.500% due 01/04/2031		6,200		9,890
5.625% due 01/04/2028		35,800		57,233
6.250% due 01/04/2024		5,200		8,683
6.250% due 01/04/2030		5,200		9,011
6.500% due 07/04/2027		5,980		10,483
Total Germany (Cost $259,489)				267,073
ICELAND 0.1%
Kaupthing Bank Hf
5.750% due 10/04/2011	$	900		900
Total Iceland (Cost $895)				900
IRELAND 0.9%
Atlas Reinsurance PLC
7.717% due 01/10/2010	EUR	2,000		2,632
Bank of Ireland
5.375% due 12/19/2008	$	2,400		2,401
Celtic Residential Irish Mortgage Securitisation
3.880% due 06/13/2035	EUR	2,497		3,306
Osiris Capital PLC
10.360% due 01/15/2010	$	500		503
Total Ireland (Cost $8,517)				8,842
ITALY 1.6%
Italy Buoni Poliennali Del Tesoro
4.250% due 11/01/2009	EUR	2,470		3,288
4.500% due 05/01/2009		4,150		5,548
5.500% due 11/01/2010		1,400		1,948
Siena Mortgages SpA
3.909% due 12/16/2038		3,760		4,983
Total Italy (Cost $15,013)				15,767
JAPAN 27.0%
Development Bank of Japan
4.250% due 06/09/2015	$	2,300		2,177
Japan Government Bond
0.700% due 09/20/2008	JPY	630,000		5,291
1.500% due 03/20/2011		6,530,000		55,723
1.500% due 03/20/2014		2,330,000		19,613
1.500% due 03/20/2015		1,800,000		15,044
1.600% due 09/20/2013		1,030,000		8,759
1.600% due 06/20/2014		4,900,000		41,477
1.600% due 09/20/2014		3,110,000		26,271
2.300% due 05/20/2030		400,000		3,433
2.300% due 06/20/2035		2,440,000		20,592
2.400% due 03/20/2034		590,000		5,089
2.500% due 09/20/2035		1,620,000		14,255
2.500% due 06/20/2036		1,430,000		12,546
Japanese Government CPI Linked Bond (b)
1.100% due 12/10/2016		2,000,000		16,703
1.168% due 06/10/2016		1,520,570		12,535
Resona Bank Ltd.
5.850% due 09/29/2049	$	3,800		3,717
Sumitomo Mitsui Banking Corp.
1.348% due 12/31/2049	JPY	100,000		847
1.445% due 12/01/2049		200,000		1,691
5.625% due 07/29/2049	$	900		881
Total Japan (Cost $283,114)				266,644
JERSEY, CHANNEL ISLANDS 0.3%
Haus Ltd.
3.925% due 12/10/2037	EUR	1,699		2,244
SRM Investment Ltd.
3.838% due 08/26/2034		748		989
Total Jersey, Channel Islands (Cost $2,516)				3,233
NETHERLAND ANTILLES 0.1%
BTM Curacao Holdings NV
1.020% due 12/31/2049	JPY	100,000		841
Total Netherland Antilles (Cost $851)				841
NETHERLANDS 2.3%
Delphinus BV
3.806% due 04/25/2093	EUR	2,000		2,591
3.914% due 11/28/2031		5,000		6,622
Dutch Mortgage Portfolio Loans BV
3.848% due 11/20/2035		2,447		3,245
Dutch Mortgage-Backed Securities BV
3.693% due 10/02/2079		969		1,285
3.804% due 11/02/2035		294		389
3.824% due 07/02/2077		598		791
Holland Euro-Denominated Mortgage-Backed Series
3.772% due 04/18/2012		477		631
Netherlands Government Bond
3.750% due 07/15/2014		2,700		3,518
5.000% due 07/15/2011		2,100		2,893
Siemens Financieringsmaatschappij NV
5.424% due 08/14/2009	$	800		801
Total Netherlands (Cost $20,332)				22,766
NEW ZEALAND 0.1%
New Zealand Government Bond
4.500% due 02/15/2016	NZD	907		878
Total New Zealand (Cost $421)				878
RUSSIA 0.1%
VTB Capital S.A. for Vneshtorgbank
6.115% due 09/21/2007	$	1,500		1,504
Total Russia (Cost $1,500)				1,504
SPAIN 1.6%
Spain Government Bond
4.000% due 01/31/2010	EUR	980		1,297
4.200% due 07/30/2013		2,900		3,879
4.200% due 01/31/2037		1,300		1,734
5.150% due 07/30/2009		6,140		8,347
5.750% due 07/30/2032		30		50
Total Spain (Cost $12,314)				15,307
TUNISIA 0.3%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	2,600		3,286
Total Tunisia (Cost $3,143)				3,286
UNITED KINGDOM 3.1%
Bauhaus Securities Ltd.
3.868% due 10/30/2052	EUR	6,249		8,270
Dolerite Funding PLC
5.655% due 08/20/2032	$	198		198
HBOS PLC
5.920% due 09/29/2049		3,900		3,832
Holmes Financing PLC
3.734% due 10/15/2009	EUR	1,800		2,377
3.754% due 07/15/2010		3,200		4,228
HSBC Holdings PLC
6.500% due 05/02/2036	$	4,600		4,965
Lloyds TSB Bank PLC
5.625% due 07/15/2049	EUR	2,410		3,275
Royal Bank of Scotland Group PLC
5.365% due 12/21/2007	$	2,600		2,603
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		400		377
XL Capital Europe PLC
6.500% due 01/15/2012		300		313
Total United Kingdom (Cost $27,976)				30,438
UNITED STATES 94.0%
Asset-Backed Securities 1.0%
AFC Home Equity Loan Trust
6.060% due 12/22/2027	$	42		42
Amortizing Residential Collateral Trust
5.700% due 10/25/2031		51		51
Amresco Residential Securities Mortgage Loan Trust
6.290% due 06/25/2029		74		77
Bear Stearns Asset-Backed Securities, Inc.
5.680% due 10/25/2032		49		50
5.750% due 10/27/2032		105		106
5.800% due 03/25/2043		76		77
Citibank Credit Card Master Trust I
5.750% due 07/16/2009	EUR	1,000		681
CS First Boston Mortgage Securities Corp.
5.660% due 01/25/2032	$	40		40
FBR Securitization Trust
5.470% due 10/25/2035		138		139
5.470% due 11/25/2035		269		269
First NLC Trust
5.470% due 02/25/2036		542		542
Fremont Home Loan Trust
5.440% due 01/25/2036		132		132
GE-WMC Mortgage Securities LLC
5.450% due 12/25/2035		389		389
Indymac Residential Asset-Backed Trust
5.450% due 03/25/2036		285		285
Quest Trust
5.910% due 06/25/2034		373		374
Residential Asset Mortgage Products, Inc.
5.630% due 06/25/2032		37		37
Residential Asset Securities Corp.
5.450% due 11/25/2035		299		299
5.600% due 07/25/2032		214		214
Saxon Asset Securities Trust
5.620% due 01/25/2032		116		116
Soundview Home Equity Loan Trust
5.450% due 12/25/2035		235		235
Wells Fargo Home Equity Trust
5.580% due 10/25/2035		5,317		5,325
				9,480
Bank Loan Obligations 0.5%
Ford Motor Co.
8.360% due 11/29/2013		1,000		1,000
Georgia-Pacific Corp.
7.300% due 12/20/2012		1,524		1,533
7.350% due 12/20/2012		95		96
7.367% due 12/20/2012		366		368
HCA, Inc.
8.114% due 11/14/2013		1,900		1,923
				4,920
Corporate Bonds & Notes 8.0%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		500		510
Atlantic & Western Re Ltd.
11.372% due 01/09/2007		2,700		2,702
AutoZone, Inc.
5.875% due 10/15/2012		800		803
Bank of America N.A.
5.361% due 12/18/2008		3,750		3,750
Boston Scientific Corp.
5.450% due 06/15/2014		400		385
6.000% due 06/15/2011		2,800		2,829
6.400% due 06/15/2016		1,700		1,723
C10 Capital SPV Ltd.
6.722% due 12/01/2049		1,200		1,201
Charter One Bank N.A.
5.430% due 04/24/2009		4,500		4,506
CMS Energy Corp.
8.900% due 07/15/2008		900		945
9.875% due 10/15/2007		300		311
CNA Financial Corp.
6.000% due 08/15/2011		800		814
CVS Corp.
5.750% due 08/15/2011		300		304
DaimlerChrysler N.A. Holding Corp.
4.875% due 06/15/2010		300		293
5.600% due 03/07/2007		6,700		6,701
5.750% due 09/08/2011		400		399
El Paso Corp.
7.625% due 08/16/2007		200		203
Ford Motor Credit Co.
7.875% due 06/15/2010		1,000		1,009
General Electric Capital Corp.
4.625% due 09/15/2066	EUR	1,000		1,329
5.396% due 12/12/2008	$	1,700		1,702
General Motors Acceptance Corp.
6.000% due 04/01/2011		2,600		2,586
7.430% due 12/01/2021		71		72
Goldman Sachs Group, Inc.
5.250% due 06/01/2016 (j)	CAD	2,200		1,936
Harrah’s Operating Co., Inc.
5.975% due 02/08/2008	$	2,000		2,004
Health Care Property Investors, Inc.
5.950% due 09/15/2011		300		303
HJ Heinz Finance Co.
6.000% due 03/15/2012		900		915
HSBC Finance Corp.
5.500% due 01/19/2016		5,400		5,435
Johnson Controls, Inc.
5.250% due 01/15/2011		900		894
JPMorgan & Co., Inc.
9.604% due 02/15/2012		760		789
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	1,800		1,561
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/29/2036	$	1,300		1,347
Lennar Corp.
5.950% due 10/17/2011		900		906
Loews Corp.
5.250% due 03/15/2016		300		293
Masco Corp.
5.875% due 07/15/2012		300		301
May Department Stores Co.
4.800% due 07/15/2009		300		295
Merrill Lynch & Co., Inc.
5.464% due 08/14/2009		400		400
Mirage Resorts, Inc.
6.750% due 08/01/2007		900		908
Mizuho JGB Investment LLC
9.870% due 12/29/2049		400		424
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		500		523
Morgan Stanley
5.499% due 01/18/2008		2,100		2,104
Nationwide Health Properties, Inc.
6.500% due 07/15/2011		900		920
NiSource Finance Corp.
5.400% due 07/15/2014		300		291
Ryder System, Inc.
3.500% due 03/15/2009		1,000		956
SB Treasury Co. LLC
9.400% due 12/29/2049		2,900		3,055
Sealed Air Corp.
6.950% due 05/15/2009		800		825
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		2,800		2,974
Toyota Motor Credit Corp.
5.346% due 10/12/2007		7,300		7,303
Viacom, Inc.
5.750% due 04/30/2011		2,000		2,003
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		2,400		2,400
Xerox Credit Corp.
2.000% due 06/06/2007	JPY	200,000		1,684
				78,826
Mortgage-Backed Securities 4.4%
American Home Mortgage Investment Trust
4.290% due 10/25/2034	$	1,620		1,592
Banc of America Mortgage Securities
5.000% due 05/25/2034		3,714		3,657
Bear Stearns Alt-A Trust
5.837% due 11/25/2036		6,450		6,488
Citicorp Real Estate, Inc.
7.430% due 01/01/2024		49		49
Citigroup Mortgage Loan Trust, Inc.
4.900% due 10/25/2035		8,431		8,350
Countrywide Home Loan Mortgage Pass-Through Trust
5.670% due 03/25/2035		4,665		4,679
5.680% due 02/25/2035		959		963
CS First Boston Mortgage Securities Corp.
5.570% due 11/15/2019		410		411
5.629% due 05/25/2032		35		35
6.500% due 04/25/2033		172		172
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		2,388		2,371
JPMorgan Chase Commercial Mortgage Securities Corp.
6.465% due 11/15/2035		2,300		2,415
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		247		246
Mellon Residential Funding Corp.
5.790% due 12/15/2030		1,153		1,158
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		138		139
Sequoia Mortgage Trust
5.700% due 10/19/2026		705		706
5.700% due 07/20/2033		1,726		1,732
Structured Asset Mortgage Investments, Inc.
5.640% due 07/19/2034		543		543
Washington Mutual, Inc.
5.114% due 10/25/2032		136		135
5.580% due 04/25/2045		2,700		2,709
5.610% due 11/25/2045		1,044		1,048
5.620% due 12/25/2027		3,061		3,062
5.660% due 01/25/2045		1,239		1,242
				43,902
Municipal Bonds & Notes 0.9%
Chicago, Illinois General Obligation Revenue Notes, (FSA Insured), Series 2006
5.861% due 01/01/2014		270		296
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
6.250% due 06/01/2033		900		1,007
6.750% due 06/01/2039		300		344
Harris County, Texas Revenue Bonds, Series 2003
5.000% due 08/01/2033		400		406
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		285		298
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		790		787
Los Angeles, California Wastewater System Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 06/01/2027		900		948
Louisville & Jefferson Counties, Kentucky Metro Sewer District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		100		105
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2037		1,000		1,085
New York City, New York Municipal Finance Authority Water and Sewer Systems Revenue Bonds, Series 2006
4.750% due 06/15/2038 (e)		1,100		1,133
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2003
5.000% due 06/15/2035		1,200		1,253
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
5.902% due 12/15/2013		3		3
New York State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
5.250% due 06/01/2013		1,400		1,431
5.500% due 06/01/2017		200		214
				9,310
	Shares
Preferred Stocks 0.1%
DG Funding Trust
7.614% due 12/31/2049		130		1,370
	Principal Amount (000s)
U.S. Government Agencies 66.8%
Fannie Mae
0.000% due 06/01/2017	$	30,300		17,855
4.190% due 11/01/2034		8,350		8,271
4.951% due 12/01/2034		1,279		1,271
5.000% due 07/01/2018 - 03/01/2036		17,585		16,915
5.500% due 10/01/2017 - 11/01/2033		27,304		27,036
6.000% due 01/01/2037		502,000		505,451
6.470% due 09/25/2012		1,000		1,073
6.500% due 06/01/2034 - 01/01/2037		34,735		35,399
6.565% due 03/01/2024		24		25
7.438% due 11/01/2023		15		16
9.000% due 04/01/2016		19		20
15.750% due 12/01/2011		1		1
Federal Farm Credit Bank
7.530% due 04/15/2009		475		501
Federal Home Loan Bank
4.300% due 05/12/2008		10,000		9,895
5.750% due 08/15/2011		500		516
Federal Housing Administration
7.400% due 02/01/2021		290		292
Freddie Mac
4.500% due 02/15/2020		11,030		10,715
5.000% due 12/15/2031		3,600		3,453
5.700% due 12/15/2030		754		755
5.958% due 10/25/2044		8,000		8,045
6.678% due 05/01/2023		96		98
6.742% due 02/01/2029		470		480
Government National Mortgage Association
5.125% due 12/20/2023 - 12/20/2026		104		106
5.250% due 01/20/2030		137		137
5.375% due 05/20/2022 - 05/20/2030		575		581
5.750% due 07/20/2022 - 09/20/2026		221		223
5.950% due 02/16/2030		334		338
6.000% due 08/20/2034		4,025		4,134
8.500% due 12/15/2029 - 02/15/2031		302		324
Small Business Administration
6.640% due 02/01/2011		461		478
7.640% due 03/01/2010		78		82
Tennessee Valley Authority
5.880% due 04/01/2036		3,900		4,304
7.140% due 05/23/2012		1,000		1,098
				659,888
U.S. Treasury Obligations 12.3%
Treasury Inflation Protected Securities (b)
0.875% due 04/15/2010		4,155		3,941
1.875% due 07/15/2015		208		199
2.000% due 01/15/2014		6,773		6,581
2.000% due 07/15/2014		6,425		6,238
2.000% due 01/15/2026		508		478
3.000% due 07/15/2012		9,205		9,476
3.500% due 01/15/2011		2,899		3,019
3.625% due 04/15/2028		250		301
U.S. Treasury Bonds
6.125% due 11/15/2027		500		580
6.625% due 02/15/2027		1,000		1,219
8.000% due 11/15/2021		8,300		11,005
8.125% due 05/15/2021		9,300		12,386
8.875% due 02/15/2019		29,300		40,072
U.S. Treasury Notes
3.500% due 02/15/2010		18,500		17,855
U.S. Treasury Strips
0.000% due 02/15/2019		11,200		6,243
0.000% due 08/15/2024		3,500		1,469
				121,062
Total United States (Cost $931,596)				928,758
SHORT-TERM INSTRUMENTS 6.9%
Certificates of Deposit 0.5%
Countrywide Funding Corp.
5.360% due 08/16/2007	$	4,700		4,699
Commercial Paper 3.1%
Rabobank USA Financial Corp.
5.280% due 01/02/2007		22,800		22,800
Time Warner, Inc.
5.390% due 01/25/2007		3,300		3,289
UBS Finance Delaware LLC
5.225% due 03/08/2007		4,600		4,554
				30,643
Repurchase Agreements 0.6%
Lehman Brothers, Inc.
4.850% due 01/02/2007		6,000		6,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 04/15/2029 valued at $6,147. Repurchase proceeds are $6,003.)
Tri-Party Repurchase Agreements 0.9%
State Street Bank and Trust Co.
4.900% due 01/02/2007		8,690		8,690
(Dated 12/29/2006. Collateralized by Fannie Mae 3.530% due 09/05/2008 valued at $8,867. Repurchase proceeds are $8,695.)
U.S. Treasury Bills 1.8%
4.826% due 03/01/2007 - 03/15/2007 (a)(c)(f)		17,945		17,763
Total Short-Term Instruments (Cost $67,820)				67,795
Purchased Options (h) 0.5% (Cost $6,691)				4,723
Total Investments (d) 173.0% (Cost $1,711,690)			$	1,709,975
Written Options (i) (0.7%) (Premiums $6,940)				(7,283	)
Other Assets and Liabilities (Net) (72.3%)				(714,222	)
Net Assets 100.0%			$	988,470

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

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

(a) Coupon represents a weighted average rate.

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

(c) Securities with an aggregate market value of $11,382 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(d) As of December 31, 2006, portfolio securities with an aggregate value of $51,731 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Residual Interest Bonds Held in Trust - Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Portfolio acquired the residual interest certificates. These securities serve as collateral in a financing transaction.

(f) Securities with an aggregate market value of $4,645 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	110	$	(7	)
90-Day Eurodollar December Futures	Long	12/2008	20		(14	)
90-Day Eurodollar June Futures	Long	06/2007	563		(5	)
90-Day Eurodollar June Futures	Long	06/2008	143		0
90-Day Eurodollar June Futures	Long	06/2009	51		21
90-Day Eurodollar March Futures	Long	03/2008	185		(30	)
90-Day Eurodollar September Futures	Long	09/2007	651		(163	)
90-Day Eurodollar September Futures	Long	09/2008	276		129
Euro-Bund 10-Year Note March Futures	Long	03/2007	1,359		(1,979	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 118.500	Short	03/2007	51		8
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	365		115
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.500	Short	03/2007	175		65
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 112.000	Long	03/2007	807		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 114.500	Short	03/2007	19		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 115.000	Short	03/2007	18		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 115.500	Short	03/2007	51		(16	)
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	82		(56	)
Japan Government 10-Year Bond March Futures	Long	03/2007	40		(57	)
U.S. Treasury 5-Year Note March Futures	Short	03/2007	127		89
U.S. Treasury 10-Year Note March Futures	Long	03/2007	632		(743	)
U.S. Treasury 30-Year Bond March Futures	Long	03/2007	291		(549	)
				$	(3,192	)

(g) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016	EUR	2,700	$	3
BNP Paribas Bank	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		2,300		2
Deutsche Bank AG	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		2,500		1
Goldman Sachs & Co.	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		600		0
HSBC Bank USA	Dow Jones ITRAX 6HI4 Index	Buy	(0.850	%)	12/20/2016		700		0
JPMorgan Chase & Co.	Dow Jones ITRAX 6HIVOL Index	Buy	(0.850	%)	12/20/2016		800		1
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	259,000		17
Bank of America	May Department Stores Co. 4.800% due 07/15/2009	Buy	(0.190	%)	9/20/2009	$	300		0
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		14,900		4
Barclays Bank PLC	Ryder System, Inc. 3.500% due 03/15/2009	Buy	(0.110	%)	3/20/2009		1,000		0
Barclays Bank PLC	Sealed Air Corp. 6.950% due 05/15/2009	Buy	(0.200	%)	6/20/2009		900		(1	)
Barclays Bank PLC	XL Capital Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	3/20/2012		400		(3	)
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		10,000		8
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 4.875% due 06/15/2010	Buy	(0.520	%)	6/20/2010		300		(1	)
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	6/20/2011		800		1
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	9/20/2011		800		(6	)
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	3/20/2012		1,000		0
Bear Stearns & Co., Inc.	NiSource Finance Corp. 5.400% due 07/15/2014	Buy	(0.620	%)	9/20/2014		300		(2	)
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.330	%)	3/20/2016		300		(2	)
Citibank N.A.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012		800		(10	)
Credit Suisse First Boston	Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.240	%)	3/20/2011		900		(1	)
Deutsche Bank AG	Nationwide Health Properties, Inc. 6.500% due 07/15/2011	Buy	(0.620	%)	9/20/2011		1,100		(3	)
Deutsche Bank AG	ACE INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	6/20/2014		500		(5	)
Deutsche Bank AG	Boston Scientific Corp. 5.450% due 06/15/2014	Buy	(0.620	%)	6/20/2014		400		2
Deutsche Bank AG	Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014		400		(5	)
Goldman Sachs & Co.	JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.990	%	9/20/2010		500		11
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		31,900		(44	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.320	%	2/20/2007		700		0
JPMorgan Chase & Co.	Health Care Property Investors, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	9/20/2011		300		(3	)
JPMorgan Chase & Co.	Lennar Corp. 5.950% due 10/17/2011	Buy	(0.660	%)	12/20/2011		900		(5	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.875% due 06/15/2010	Buy	(2.310	%)	6/20/2010		1,000		(6	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	8/20/2011		8,100		164
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.350	%	8/20/2011		6,600		156
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	8/20/2011		3,100		76
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.160	%)	8/20/2016		1,700		(90	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.140	%)	8/20/2016		3,700		(189	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.060	%)	8/20/2016		4,500		(202	)
Merrill Lynch & Co., Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.410	%	6/20/2007		2,400		8
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	3/20/2010		1,984		18
Merrill Lynch & Co., Inc.	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.510	%)	6/20/2011		1,000		(4	)
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 6.000% due 04/01/2011	Buy	(1.290	%)	6/20/2011		2,600		(39	)
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.340	%	8/20/2011		9,000		208
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.130	%)	8/20/2016		5,000		(252	)
Morgan Stanley	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	3/20/2010		10,912		100
Morgan Stanley	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.700	%)	9/20/2010		500		(30	)
Morgan Stanley	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	6/20/2011		300		(2	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	8/20/2011		6,500		162
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	9/20/2012		300		(1	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.180	%)	8/20/2016		3,600		(195	)
Royal Bank of Canada	DaimlerChrysler Canada Finance Inc. 4.850% due 03/30/2009	Buy	(0.350	%)	6/20/2009		1,000		(1	)
Royal Bank of Canada	JPMorgan Chase & Co. 6.750% due 02/01/2011	Buy	(0.310	%)	3/20/2016		1,600		1
Royal Bank of Scotland Group PLC	CVS Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	9/20/2011		300		0
Royal Bank of Scotland Group PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.620	%)	9/20/2011		400		(2	)
Royal Bank of Scotland Group PLC	Kaupthing Bank Hf 5.750% due 10/04/2011	Buy	(0.490	%)	12/20/2011		900		0
UBS AG	Goldman Sachs Group, Inc. 5.250% due 06/01/2016	Buy	(0.310	%)	6/20/2016		1,900		1
UBS AG	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		4,700		2
								$	(158	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	6/15/2010	AUD	38,900	$	(821	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.000	%	6/15/2015		22,300		639
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009		41,400		(110	)
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009		22,900		(87	)
UBS AG	6-Month Australian Bank Bill	Pay	6.000	%	6/15/2010		52,400		(1,114	)
UBS AG	6-Month Australian Bank Bill	Receive	6.000	%	6/15/2015		29,900		917
Citibank N.A.	3-Month Canadian Bank Bill	Receive	5.000	%	6/15/2015	CAD	2,300		4
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010	EUR	1,400		(63	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		17,000		296
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		9,000		158
Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	6/17/2012		27,100		1,243
Credit Suisse First Boston	6-Month EUR-LIBOR	Receive	4.000	%	6/15/2017		30,300		701
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		39,200		(100	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		400		(3	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		20,500		149
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		20		(1	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		15,900		210
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		500		(16	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		400		(18	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		1,900		33
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		1,000		(15	)
UBS AG	6-Month EUR-LIBOR	Pay	4.000	%	6/17/2010		3,400		(155	)
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		14,200		265
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010	GBP	5,900		(128	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		1,500		(30	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.500	%	9/15/2017		41,600		(153	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/18/2034		1,800		44
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		13,100		169
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	4.250	%	6/12/2036		1,000		(16	)
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		2,200		(56	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		9,100		(143	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		1,800		(36	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2009		27,400		(204	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		18,200		(236	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		4,800		(108	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		8,000		(161	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		700		(20	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	6/18/2034		500		14
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,600		37
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		3,900		(87	)
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,500		23
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2015		400		(11	)
Barclays Bank PLC	6-Month HUF-LIBOR	Receive	7.540	%	9/27/2016	HUF	131,000		(23	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.540	%	9/27/2016		858,000		(187	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.720	%	10/6/2016		341,000		(112	)
Citibank N.A.	6-Month HUF-LIBOR	Receive	7.720	%	10/10/2016		214,000		(70	)
JPMorgan Chase & Co.	6-Month HUF-LIBOR	Receive	7.720	%	10/10/2016		58,000		(19	)
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016	JPY	1,110,000		(73	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	3/18/2008		6,300,000		100
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	1.000	%	3/18/2008		4,000,000		49
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.035	%	5/18/2010		360,000		(94	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2010		2,000,000		(106	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.300	%	9/21/2011		1,040,000		10
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		8,310,000		(505	)
Lehman Brothers, Inc.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		755,000		(146	)
Merrill Lynch & Co., Inc.	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		1,800,000		(68	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	9/18/2008		4,200,000		15
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016		4,730,000		(310	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.980	%	9/27/2016		1,900,000		(337	)
UBS AG	6-Month JPY-LIBOR	Receive	0.800	%	3/20/2012		770,000		(40	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016	MXN	31,000		106
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	9/22/2016		44,000		298
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	9/23/2016		11,000		70
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016		199,300		129
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	9/23/2016		3,000		20
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		16,000		53
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012	$	8,400		(92	)
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		24,500		561
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		51,900		450
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		22,000		471
Credit Suisse First Boston	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		5,800		102
Deutsche Bank AG	Difference in Constant Maturity Swap 10-Year vs. 2-Year	Receive	0.288	%	12/7/2007		8,100		(31	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		15,200		132
Goldman Sachs & Co.	Difference in Constant Maturity Swap 10-Year vs. 2-Year	Receive	0.288	%	12/7/2007		8,500		(26	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		28,300		246
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	6.000	%	12/17/2031		13,400		(1,553	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		43,600		(479	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		73,200		638
Morgan Stanley	3-Month USD-LIBOR	Receive	6.000	%	12/17/2031		5,500		(850	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2037		500		11
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		47,100		(517	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		8,500		74
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		31,600		662
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		32,700		(450	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		10,500		(115	)
								$	(996	)

(h) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CBOT U.S. Treasury 10-Year Note March Futures	$	104.000	2/23/2007	386	$	8	$	12
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	976		9		0
					$	17	$	12

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007	GBP	14,100	$	73	$	6
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		21,000		108		18
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	5/11/2007		13,000		72		3
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.150	%	9/14/2007		17,500		90		43
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007		29,000		134		24
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.170	%	9/14/2007		42,000		237		110
Call - OTC 2-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	5/17/2007		16,600		91		4
Call - OTC 2-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	6/6/2007		6,300		34		2
Call - OTC 2-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007		20,900		106		17
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.150	%	9/14/2007		35,000		197		85
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.201	%	9/14/2007		3,500		20		10
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	73,000		270		218
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	8/8/2007		34,000		138		96
Call - OTC 2-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		51,000		199		72
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		270,800		1,090		1,261
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2007		78,500		509		479
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		14,000		66		20
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		62,100		209		186
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.150	%	5/8/2007		468,200		1,768		1,913
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/23/2007		71,100		311		352
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		79,700		330		162
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		121,000		460		171
									$	6,512	$	5,252

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Euro versus U.S. dollar	EUR	1.240	1/9/2007	EUR	30,000	$	4	$	0
Call - OTC U.S. dollar versus Japanese yen	JPY	116.000	12/5/2007	$	9,800		98		177
						$	102	$	177

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Fannie Mae 5.000% due 03/01/2037	$	102.000	3/6/2007	$	47,000	$	5	$	1
Put - OTC Fannie Mae 6.000% due 02/01/2037		83.750	2/5/2007		16,000		2		0
Put - OTC Fannie Mae 6.000% due 02/01/2037		88.000	2/5/2007		25,000		3		0
Put - OTC Fannie Mae 6.000% due 02/01/2037		93.063	2/5/2007		18,000		2		0
Put - OTC Fannie Mae 6.000% due 02/01/2037		93.750	2/5/2007		34,000		4		1
Put - OTC Fannie Mae 6.000% due 03/01/2037		90.000	3/6/2007		40,000		5		2
Put - OTC Fannie Mae 6.000% due 03/01/2037		91.000	3/6/2007		270		32		20
Put - OTC Fannie Mae 6.000% due 03/01/2037		91.375	3/6/2007		63,000		7		5
						$	60	$	29

Straddle Options

Description	Counterparty		Exercise Price(2)	Expiration Date		Notional Amount		Cost(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Bank of America	$	0.000	2/13/2007	$	22,900	$	0	$	(296	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.		0.000	3/19/2007		4,200		0		(42	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.		0.000	5/10/2007		11,100		0		(48	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	JPMorgan Chase & Co.		0.000	3/20/2007		1,100		0		(8	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	JPMorgan Chase & Co.		0.000	3/20/2007		15,300		0		(148	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	UBS AG		0.000	1/17/2007		15,000		0		(205	)
							$	0	$	(747	)

⁽²⁾ Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(i) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 8-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	10,200	$	173	$	49
Call - OTC 8-Year Interest Rate Swap	Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		5,000		92		46
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		8,300		151		40
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		12,000		239		110
Call - OTC 8-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.850	%	6/6/2007		1,800		36		7
Call - OTC 8-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		6,100		101		29
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		10,000		201		92
Call - OTC 8-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	9/14/2007		1,000		20		9
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	32,000		262		260
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	8/8/2007		15,000		132		109
Put - OTC 10-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		20,200		206		0
Call - OTC 5-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		22,000		209		101
Put - OTC 10-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		8,600		88		0
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		117,800		1,102		1,685
Call - OTC 10-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.250	%	5/16/2007		7,800		87		121
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.150	%	12/20/2007		34,100		493		518
Call - OTC 10-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.250	%	5/16/2007		6,100		80		95
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		6,000		67		28
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		27,000		213		292
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.280	%	5/8/2007		203,600		1,806		2,688
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.300	%	5/23/2007		32,300		323		462
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		34,300		358		279
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		52,000		471		239
									$	6,910	$	7,259

Credit Default Swaptions

Description	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC British Telecom SP 7.125% due 02/15/2011	Morgan Stanley	0.450	%	6/20/2008	$	5,600	$	30	$	24

(j) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Goldman Sachs Group, Inc.	5.250	%	6/1/2016	11/3/2006	$	1,992	$	1,936	0.20	%

(k) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	1/1/2037	$	88,000	$	85,659	$	84,975
Fannie Mae	5.500	%	1/1/2037		98,900		98,239		97,757
U.S. Treasury Notes	4.250	%	11/15/2013		25,200		24,990		24,708
U.S. Treasury Notes	4.500	%	11/15/2015		29,000		28,966		28,808
U.S. Treasury Notes	4.500	%	2/15/2016		2,500		2,503		2,510
U.S. Treasury Notes	4.875	%	5/31/2011		1,800		1,836		1,823
U.S. Treasury Notes	5.125	%	5/15/2016		32,100		33,642		33,388
						$	275,835	$	273,969

⁽³⁾ Market value includes $784 of interest payable on short sales.

(l) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	25,153	01/2007	$	284	$	0		$	284
Buy		9,023	02/2007		51		0			51
Buy	BRL	998	05/2007		12		0			12
Buy		3,805	06/2007		35		0			35
Buy	CAD	11,493	01/2007		0		(311	)		(311	)
Sell		6,007	01/2007		76		0			76
Buy	CLP	66,358	02/2007		1		0			1
Sell		83,585	06/2007		2		0			2
Buy	CNY	11,218	03/2007		0		0			0
Buy		52,322	05/2007		17		0			17
Buy		45,620	08/2007		127		0			127
Buy		36,587	09/2007		109		0			109
Buy		82,336	11/2007		49		0			49
Buy	DKK	41,924	03/2007		0		(20	)		(20	)
Sell		25,889	03/2007		7		(19	)		(12	)
Buy	EUR	139,706	01/2007		0		(1,955	)		(1,955	)
Sell		19,342	01/2007		201		(27	)		174
Buy	GBP	32,113	01/2007		382		0			382
Sell		1,398	01/2007		11		0			11
Sell	HKD	1,019	03/2007		0		0			0
Buy	INR	4,488	02/2007		5		0			5
Buy	JPY	5,437,150	01/2007		0		(303	)		(303	)
Sell		2,175,174	01/2007		289		0			289
Buy		1,250,083	02/2007		0		(185	)		(185	)
Buy	KRW	1,283,213	02/2007		30		0			30
Buy		895,425	03/2007		15		(1	)		14
Buy	MXN	30,380	01/2007		26		0			26
Buy		3,366	04/2007		7		0			7
Buy	NOK	8,346	01/2007		0		(31	)		(31	)
Buy		8,390	03/2007		0		(23	)		(23	)
Sell	NZD	25,435	01/2007		0		(882	)		(882	)
Sell		10,552	02/2007		0		(178	)		(178	)
Sell	PLN	226	04/2007		0		(3	)		(3	)
Buy		371	06/2007		0		(2	)		(2	)
Buy	RUB	9,554	01/2007		4		0			4
Buy		9,320	09/2007		0		(1	)		(1	)
Buy	SEK	56,961	03/2007		3		0			3
Buy	SGD	3,894	01/2007		32		0			32
Sell		958	02/2007		0		(9	)		(9	)
Buy	TWD	73,828	02/2007		0		(30	)		(30	)
Sell		12,781	02/2007		0		(2	)		(2	)
Buy	ZAR	2,858	06/2007		2		0			2
				$	1,777	$	(3,982	)	$	(2,205	)

See accompanying notes

Schedule of Investments

GNMA Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
U.S. GOVERNMENT AGENCIES 152.2%
Fannie Mae
4.500% due 02/01/2020	$	7,854	$	7,580
5.000% due 01/01/2018 - 03/01/2021		3,405		3,356
5.500% due 01/01/2037		5,000		4,942
5.798% due 03/01/2018		15		15
6.000% due 02/01/2037		12,000		12,079
6.313% due 07/01/2011		5,718		5,696
6.500% due 01/01/2037		17,000		17,324
9.000% due 07/01/2018		11		12
Federal Housing Administration
8.137% due 09/01/2040		47		47
Freddie Mac
5.000% due 12/01/2035 - 01/01/2037		5,120		4,941
5.247% due 06/01/2030		29		29
5.266% due 05/01/2019		16		16
6.675% due 05/01/2031		27		28
7.500% due 08/15/2029 (a)		39		8
Government National Mortgage Association
3.500% due 02/20/2026		12,783		12,604
4.000% due 01/20/2021 - 08/20/2028		2,259		2,251
4.500% due 08/20/2033		2,010		1,887
5.000% due 07/20/2035 - 01/01/2037		45,439		44,201
5.125% due 12/20/2017 - 10/20/2030		19		19
5.250% due 02/20/2030 (d)		1,999		2,007
5.375% due 06/20/2021 - 05/20/2032		5,075		5,124
5.375% due 05/20/2029 - 04/20/2032 (d)		12,657		12,765
5.500% due 04/15/2025 - 01/01/2037		83,607		83,356
5.500% due 07/15/2033 (d)		50,928		50,774
5.550% due 01/16/2031 - 02/16/2032		4,990		4,998
5.600% due 08/16/2032		1,057		1,060
5.625% due 02/20/2018 - 03/20/2018		27		27
5.650% due 12/16/2026 - 08/16/2031		902		905
5.750% due 07/20/2018 - 06/16/2027		926		928
5.850% due 07/16/2028		178		180
5.875% due 05/20/2016 - 05/16/2027		115		116
5.900% due 04/16/2032		347		350
6.000% due 06/15/2009 - 01/01/2037		81,628		82,782
6.500% due 12/15/2023 - 01/01/2037		41,868		42,962
7.500% due 10/15/2022 - 06/15/2033		6,055		6,318
Small Business Administration
7.449% due 08/01/2010		48		50
Total U.S. Government Agencies (Cost $410,866)				411,737
MORTGAGE-BACKED SECURITIES 0.2%
CS First Boston Mortgage Securities Corp.
5.601% due 03/25/2032		143		142
5.900% due 08/25/2033		182		183
Structured Asset Mortgage Investments, Inc.
5.680% due 09/19/2032		255		256
Total Mortgage-Backed Securities (Cost $581)				581
ASSET-BACKED SECURITIES 0.7%
Amortizing Residential Collateral Trust
5.640% due 07/25/2032		19		19
Centex Home Equity
5.650% due 01/25/2032		56		56
CIT Group Home Equity Loan Trust
5.620% due 06/25/2033		97		98
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		2,000		1,671
Home Equity Asset Trust
5.650% due 11/25/2032		3		3
Saxon Asset Securities Trust
5.610% due 08/25/2032		16		16
Structured Asset Securities Corp.
5.610% due 01/25/2033		86		86
Total Asset-Backed Securities (Cost $1,926)				1,949
SHORT-TERM INSTRUMENTS 9.2%
Commercial Paper 8.6%
Bank of America Corp.
5.200% due 04/27/2007		2,700		2,653
5.225% due 03/27/2007		10,000		9,872
DnB NORBank ASA
5.200% due 03/26/2007		3,500		3,456
Societe Generale NY
5.200% due 04/02/2007		4,600		4,537
UBS Finance Delaware LLC
5.270% due 01/02/2007		2,700		2,700
				23,218
Repurchase Agreements 0.6%
State Street Bank and Trust Co.
4.900% due 01/02/2007		1,475		1,475
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $1,508. Repurchase proceeds are $1,476.)
U.S. Treasury Bills 0.0%
4.801% due 03/15/2007 (b)(e)		115		114
Total Short-Term Instruments (Cost $24,823)				24,807
Purchased Options (g) 0.0% (Cost $51)				0
Total Investments (c) 162.3% (Cost $438,247)				439,074
Written Options (h) (0.0%) (Premiums $52)				(2	)
Other Assets and Liabilities (Net) (62.3%)				(168,536	)
Net Assets 100.0%			$	270,536

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

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

(a) Interest only security.

(b) Coupon represents a weighted average rate.

(c) As of December 31, 2006, portfolio securities with an aggregate value of $230 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) The average amount of borrowing outstanding during the period ended December 31, 2006 was $22,527 at a weighted average interest rate of 5.230%. On December 31, 2006, securities valued at $65,546 were pledged as collateral for reverse repurchase agreements.

(e) Securities with an aggregate market value of $114 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
90-Day Eurodollar June Futures	Long	06/2007	105	$	2
90-Day Eurodollar March Futures	Long	03/2007	28		18
90-Day Eurodollar September Futures	Long	09/2007	8		1
				$	21

(f) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Camber floating rate based on 3-Month USD-LIBOR plus 1.330% due 07/12/2043	Buy	(1.400	%)	6/28/2046	$	1,000	$	(10	)
Bear Stearns & Co., Inc.	Bear Stearns Asset-Backed Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.000% due 12/25/2035	Sell	2.550	%	12/25/2035		2,000		29
JPMorgan Chase & Co.	TABS Ltd. floating rate based on 1-Month USD-LIBOR plus 1.450% due 10/08/2046	Buy	(1.650	%)	10/8/2046		2,000		(2	)
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 2.000% due 06/25/2038	Buy	(2.500	%)	6/25/2038		1,500		80
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800	%)	6/25/2046		1,500		27
UBS AG	Bear Stearns Asset-Backed Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.000% due 12/25/2035	Buy	(2.250	%)	12/25/2035		2,000		(5	)
								$	119

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	4,000	$	84
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2014		4,300		(37	)
Lehman Brothers, Inc.	3-Month USD-LIBOR with 6.940% interest rate cap	Receive	Premium amount of $316		7/1/2011		8,000		(289	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2014		6,100		(53	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		3,500		80
								$	(215	)

(g) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Cost

Value

Call - OTC 2-Year Interest Rate Swap

Wachovia Bank N.A.

3-Month USD-LIBOR

Pay

4.730

%

2/1/2007

$

14,900

$

51

$

0

(h) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call - OTC 5-Year Interest Rate Swap

Wachovia Bank N.A.

3-Month USD-LIBOR

Receive

4.780

%

2/1/2007

$

6,400

$

52

$

2

(i) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	5.000	%	1/1/2037	$	3,500	$	3,413	$	3,380
Fannie Mae	5.000	%	2/1/2037		2,500		2,414		2,414
Fannie Mae	5.500	%	1/1/2037		33,500		33,391		33,113
Government National Mortgage Association	5.500	%	1/1/2037		32,000		31,980		31,850
Government National Mortgage Association	6.500	%	1/1/2037		10,000		10,275		10,259
						$	81,473	$	81,016

See Accompanying Notes

Schedule of Investments

High Yield Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 4.2%
Amadeus Global Travel Distribution S.A.
7.614% due 04/08/2012	$	7,044	$	7,055
8.117% due 04/08/2013		1,994		2,012
8.617% due 04/08/2014		1,970		1,995
Centennial Cellular Operating Co. LLC
7.617% due 02/09/2011		8,091		8,161
7.620% due 01/20/2011		626		631
Charter Communications Operating LLC
8.005% due 04/25/2013		24,250		24,436
Delphi Corp.
13.750% due 06/13/2011		2,890		2,901
Ferrellgas Partners LP
7.240% due 08/01/2010 (n)		26,000		26,015
Ford Motor Co.
8.360% due 11/29/2013		29,750		29,769
Goodyear Tire & Rubber Co.
7.954% due 04/30/2010		9,000		9,122
HCA, Inc.
8.114% due 11/14/2013		17,750		17,967
Headwaters, Inc.
7.380% due 04/30/2011		1,463		1,457
7.500% due 04/30/2011		10,690		10,643
HealthSouth Corp.
8.580% due 02/02/2013		29,104		29,336
8.620% due 02/02/2013		73		74
Hertz Corp.
5.390% due 12/21/2012		1,000		1,008
7.350% due 12/21/2012		20		20
7.380% due 12/21/2012		340		342
7.580% due 12/21/2012		2,276		2,294
7.600% due 12/20/2012		2,201		2,219
7.700% due 12/21/2012		832		839
7.730% due 12/21/2012		2,276		2,294
Ineos Group Holdings PLC
7.339% due 10/07/2012		14,220		14,291
7.339% due 10/07/2013		1,238		1,252
7.339% due 10/07/2014		1,238		1,257
7.615% due 10/07/2012		1,580		1,588
7.615% due 10/07/2013		13		13
8.115% due 10/07/2014		13		13
JSG Holding PLC
8.245% due 11/29/2013		700		705
8.382% due 11/29/2014		700		705
Metro-Goldwyn-Mayer, Inc.
7.749% due 04/08/2011		6,463		6,405
7.749% due 04/08/2012		8,984		8,911
Northwest Airlines, Inc.
7.850% due 08/22/2008		4,500		4,489
NTL Investment
7.360% due 01/06/2013		4,000		4,021
Primedia, Inc.
7.570% due 09/30/2013		2,000		1,997
Reliant Energy, Inc.
5.000% due 12/01/2010		2,357		2,377
7.725% due 12/01/2010		3,143		3,169
Rexel S.A.
6.904% due 11/03/2013		2,000		2,016
7.741% due 04/10/2014		2,000		2,025
Sandridge Energy
9.853% due 11/30/2007		13,412		13,546
11.000% due 11/30/2007		5,588		5,644
Rite Aid Corp.
9.000% due 11/08/2013		16,000		15,882
Riverdeep Interactive
11.066% due 12/21/2007		10,000		9,953
Roundy’s Supermarket, Inc.
7.870% due 11/01/2011		5,375		5,430
8.330% due 11/01/2011		5,268		5,321
VNU/Nielson Finance LLC
8.125% due 08/08/2013		5,500		5,545
Weather Investments II SARL
11.520% due 10/26/2014		3,000		3,142
Wind Acquisition Finance S.A.
10.000% due 12/21/2011		6,500		6,496
Worldspan LP
6.250% due 12/07/2013		2,000		2,000
10.000% due 12/07/2014		1,000		1,002
Total Bank Loan Obligations (Cost $308,687)				309,785
CORPORATE BONDS & NOTES 82.1%
Banking & Finance 11.2%
AES Ironwood LLC
8.857% due 11/30/2025		48,492		54,675
AES Red Oak LLC
8.540% due 11/30/2019		14,449		15,786
BCP Crystal U.S. Holdings Corp.
9.625% due 06/15/2014		40,704		45,181
Bluewater Finance Ltd.
10.250% due 02/15/2012		30,715		32,328
C5 Capital SPV Ltd.
6.196% due 12/01/2049		5,000		5,005
C10 Capital SPV Ltd.
6.722% due 12/01/2049		5,500		5,506
Consolidated Communications Illinois
9.750% due 04/01/2012		33		35
Credit & Repackaged Securities Ltd.
8.900% due 04/01/2007		5,000		5,035
El Paso Performance-Linked Trust
7.750% due 07/15/2011		11,500		12,219
Ferrellgas Escrow LLC
6.750% due 05/01/2014		1,580		1,544
Ford Motor Credit Co.
7.000% due 10/01/2013		4,300		4,112
7.250% due 10/25/2011		24,300		23,820
7.375% due 02/01/2011		144,244		142,917
7.875% due 06/15/2010		46,695		47,118
8.000% due 12/15/2016		12,950		12,818
8.625% due 11/01/2010		8,265		8,514
Forest City Enterprises, Inc.
7.625% due 06/01/2015		10,525		10,788
General Motors Acceptance Corp.
6.000% due 04/01/2011		19,412		19,305
6.750% due 12/01/2014		6,675		6,867
6.875% due 08/28/2012		21,890		22,503
7.000% due 02/01/2012		19,400		20,036
7.250% due 03/02/2011		15,694		16,335
8.000% due 11/01/2031		6,200		7,139
Idearc, Inc.
8.000% due 11/15/2016		23,200		23,664
K&F Acquisition, Inc.
7.750% due 11/15/2014		12,950		13,403
KRATON Polymers LLC
8.125% due 01/15/2014		25,045		25,170
Petroleum Export Ltd. II
6.340% due 06/20/2011		18,010		17,692
Rotech Healthcare, Inc.
9.500% due 04/01/2012		54,257		53,443
RSHB Capital AG S.A. for OJSC Russian Agricultural Bank
6.875% due 11/29/2010		2,500		2,570
7.175% due 05/16/2013		3,000		3,169
Sally Holdings LLC
9.250% due 11/15/2014		16,000		16,380
Sets Trust
8.850% due 04/02/2007		5,000		5,035
Tenneco, Inc.
8.625% due 11/15/2014		12,395		12,705
10.250% due 07/15/2013		30,680		33,748
TNK-BP Finance S.A.
7.500% due 07/18/2016		12,750		13,595
Universal City Development Partners
11.750% due 04/01/2010		24,617		26,494
Universal City Florida Holding Co. I
8.375% due 05/01/2010		7,900		8,137
10.121% due 05/01/2010		1,133		1,176
Ventas Realty LP
6.500% due 06/01/2016		500		515
6.750% due 04/01/2017		9,750		10,116
7.125% due 06/01/2015		8,975		9,469
8.750% due 05/01/2009		14,890		15,895
Wilmington Trust Co. (n)
10.210% due 01/01/2009		203		204
10.732% due 01/01/2013		4,960		5,152
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		14,570		16,646
				833,964
Industrials 56.2%
Abitibi-Consolidated Co. of Canada
8.375% due 04/01/2015		6,525		5,677
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		12,125		11,579
8.850% due 08/01/2030		18,930		15,617
Albertson’s, Inc.
7.450% due 08/01/2029		19,100		18,756
7.750% due 06/15/2026		6,000		6,015
Allied Waste North America, Inc.
7.125% due 05/15/2016		200		199
7.250% due 03/15/2015		43,551		43,823
7.875% due 04/15/2013		50,571		52,404
American Stores Co.
8.000% due 06/01/2026		12,400		13,096
AmeriGas Partners LP
7.125% due 05/20/2016		42,470		42,682
7.250% due 05/20/2015		25,320		25,763
ANR Pipeline Co.
8.875% due 03/15/2010		2,040		2,150
Arco Chemical Co.
10.250% due 11/01/2010		1,445		1,604
Armor Holdings, Inc.
8.250% due 08/15/2013		6,490		6,782
Arvin Capital I
9.500% due 02/01/2027		1,500		1,532
ArvinMeritor, Inc.
8.750% due 03/01/2012		28,765		29,700
Bombardier, Inc.
8.000% due 11/15/2014		5,900		6,077
Bon-Ton Stores, Inc.
10.250% due 03/15/2014		20,625		21,192
Bowater Canada Finance
7.950% due 11/15/2011		27,140		26,733
Boyd Gaming Corp.
7.125% due 02/01/2016		14,895		14,895
Buhrmann U.S., Inc.
7.875% due 03/01/2015		13,790		13,514
8.250% due 07/01/2014		14,890		14,853
Cablemas S.A. de C.V.
9.375% due 11/15/2015		5,000		5,525
CanWest Media, Inc.
8.000% due 09/15/2012		25,883		27,145
Cascades, Inc.
7.250% due 02/15/2013		12,980		13,012
CCO Holdings LLC
8.750% due 11/15/2013		74,080		77,321
CDRV Investors, Inc.
0.000% due 01/01/2015 (f)		15,150		11,817
Celestica, Inc.
7.625% due 07/01/2013		10,245		10,040
7.875% due 07/01/2011		10,650		10,597
Chart Industries, Inc.
9.125% due 10/15/2015		7,165		7,595
Charter Communications Operating LLC
8.375% due 04/30/2014		15,425		16,177
Chesapeake Energy Corp.
6.625% due 01/15/2016		15,575		15,556
6.875% due 01/15/2016		18,395		18,648
7.000% due 08/15/2014		26,015		26,568
7.500% due 09/15/2013		500		523
7.500% due 06/15/2014		18,395		19,200
7.750% due 01/15/2015		6,000		6,278
Choctaw Resort Development Enterprise
7.250% due 11/15/2019		7,099		7,134
Chukchansi Economic Development Authority
8.000% due 11/15/2013		675		705
Citizens Communications Co.
7.875% due 01/15/2027		14,025		14,235
Colorado Interstate Gas Co.
6.800% due 11/15/2015		9,100		9,508
Community Health Systems, Inc.
10.000% due 03/13/2007		3,500		3,531
Complete Production Services, Inc.
8.000% due 12/15/2016		8,250		8,497
Continental Airlines, Inc.
6.920% due 04/02/2013 (n)		20,677		20,800
7.373% due 06/15/2017		1,152		1,170
7.566% due 09/15/2021		2,950		2,981
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		21,640		19,530
Corrections Corp. of America
6.750% due 01/31/2014		6,500		6,597
7.500% due 05/01/2011		3,000		3,105
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		9,800		10,143
7.750% due 11/15/2015		24,845		25,901
CSC Holdings, Inc.
6.750% due 04/15/2012		6,515		6,385
6.750% due 04/15/2012 (b)		625		612
7.625% due 04/01/2011		65,005		66,549
7.875% due 02/15/2018		725		727
DaVita, Inc.
7.250% due 03/15/2015		51,915		53,213
Delhaize America, Inc.
9.000% due 04/15/2031		32,670		38,953
Dex Media East LLC
9.875% due 11/15/2009		1,700		1,785
Dex Media West LLC
9.875% due 08/15/2013		43,213		47,318
DirecTV Holdings LLC
6.375% due 06/15/2015		27,565		26,566
8.375% due 03/15/2013		14,253		14,894
Dresser-Rand Group, Inc.
7.375% due 11/01/2014		7,391		7,483
DRS Technologies, Inc.
7.625% due 02/01/2018		5,275		5,460
Dynegy Holdings, Inc.
8.375% due 05/01/2016		8,450		8,915
EchoStar DBS Corp.
6.375% due 10/01/2011		17,825		17,758
6.625% due 10/01/2014		12,760		12,473
7.000% due 10/01/2013		8,775		8,808
7.125% due 02/01/2016		53,370		53,637
El Paso Corp.
7.375% due 12/15/2012		10,200		10,786
7.420% due 02/15/2037		2,000		2,095
7.750% due 01/15/2032		2,850		3,135
7.800% due 08/01/2031		38,422		42,168
8.050% due 10/15/2030		6,710		7,482
9.625% due 05/15/2012		3,469		3,955
10.750% due 10/01/2010		21,200		24,486
El Paso Natural Gas Co.
8.625% due 01/15/2022		7,000		8,513
El Paso Production Holding Co.
7.750% due 06/01/2013		43,345		45,566
Ferrellgas Partners LP
7.120% due 08/01/2008 (n)		11,000		10,953
8.750% due 06/15/2012		13,843		14,258
8.780% due 08/01/2007 (n)		14,000		14,114
8.870% due 08/01/2009 (n)		7,300		7,579
Ford Motor Co.
7.450% due 07/16/2031		24,603		19,436
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		19,500		19,524
9.125% due 12/15/2014 (c)		22,675		22,647
9.244% due 12/15/2014		10,000		9,962
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		32,580		34,290
Gaylord Entertainment Co.
8.000% due 11/15/2013		14,720		15,346
General Motors Corp.
8.250% due 07/15/2023		40,160		37,550
Georgia-Pacific Corp.
7.000% due 01/15/2015		11,000		11,028
7.125% due 01/15/2017		12,950		12,982
7.250% due 06/01/2028		15,200		14,820
7.375% due 12/01/2025		33,685		33,011
7.700% due 06/15/2015		2,650		2,713
7.750% due 11/15/2029		5,900		5,915
8.000% due 01/15/2024		47,475		48,424
9.500% due 12/01/2011		625		687
Goodyear Tire & Rubber Co.
8.625% due 12/01/2011		9,000		9,338
9.000% due 07/01/2015		21,765		22,908
Grupo Transportacion Ferroviaria Mexicana S.A. de C.V.
9.375% due 05/01/2012		9,380		10,060
Hanover Compressor Co.
8.625% due 12/15/2010		6,700		7,035
Hanover Equipment Trust
8.500% due 09/01/2008		19,273		19,610
HCA, Inc.
6.250% due 02/15/2013		3,528		3,131
6.750% due 07/15/2013		41,143		37,029
6.950% due 05/01/2012		10,000		9,500
7.190% due 11/15/2015		29,328		25,302
7.500% due 12/15/2023		3,500		2,866
7.690% due 06/15/2025		12,025		10,013
8.360% due 04/15/2024		1,890		1,672
9.000% due 12/15/2014		7,936		7,732
9.125% due 11/15/2014		11,130		11,923
9.250% due 11/15/2016		57,100		61,311
9.625% due 11/15/2016		16,550		17,833
Herbst Gaming, Inc.
7.000% due 11/15/2014		18,570		17,827
8.125% due 06/01/2012		7,575		7,764
Hertz Corp.
8.875% due 01/01/2014		48,000		50,520
Horizon Lines LLC
9.000% due 11/01/2012		5,448		5,748
Host Marriott LP
6.750% due 06/01/2016		7,825		7,874
7.000% due 08/15/2012		3,000		3,060
7.125% due 11/01/2013		37,180		38,202
Ineos Group Holdings PLC
8.500% due 02/15/2016		41,300		39,648
Ingles Markets, Inc.
8.875% due 12/01/2011		18,110		18,970
Intelsat Bermuda Ltd.
9.250% due 06/15/2016		21,850		23,598
Intelsat Corp.
9.000% due 06/15/2016		5,000		5,319
Intelsat Subsidiary Holding Co. Ltd.
8.250% due 01/15/2013		15,840		16,157
8.625% due 01/15/2015		45,805		47,866
10.484% due 01/15/2012		9,300		9,428
Invensys PLC
9.875% due 03/15/2011		1,015		1,094
Jefferson Smurfit Corp. U.S.
7.500% due 06/01/2013		4,020		3,799
8.250% due 10/01/2012		5,873		5,756
JET Equipment Trust (a)
7.630% due 08/15/2012		3,000		2,220
9.410% due 06/15/2010		815		804
10.000% due 06/15/2012		6,129		6,014
L-3 Communications Corp.
6.375% due 10/15/2015		19,905		19,805
7.625% due 06/15/2012		29,420		30,597
Legrand France
8.500% due 02/15/2025		16,775		19,375
Lyondell Chemical Co.
8.000% due 09/15/2014		12,875		13,422
8.250% due 09/15/2016		15,375		16,221
Mandalay Resort Group
9.375% due 02/15/2010		25,633		27,555
MGM Mirage
6.625% due 07/15/2015		26,780		25,642
6.875% due 04/01/2016		9,775		9,433
8.375% due 02/01/2011		21,660		22,581
Mirage Resorts, Inc.
7.250% due 08/01/2017		7,625		7,692
Mosaic Co.
7.375% due 12/01/2014		3,150		3,248
7.625% due 12/01/2016		2,800		2,916
NAK Naftogaz Ukrainy
8.125% due 09/30/2009		500		491
Nalco Co.
7.750% due 11/15/2011		15,000		15,412
8.875% due 11/15/2013		22,850		24,307
Newfield Exploration Co.
6.625% due 09/01/2014		6,400		6,432
6.625% due 04/15/2016		15,100		15,100
Norampac, Inc.
6.750% due 06/01/2013		12,679		12,394
Nordic Telephone Co. Holdings ApS
8.875% due 05/01/2016		10,600		11,395
Nortel Networks Ltd.
10.125% due 07/15/2013		12,375		13,427
10.750% due 07/15/2016		7,175		7,884
Northwest Pipeline Corp.
7.125% due 12/01/2025		4,300		4,381
Novelis, Inc.
8.250% due 02/15/2015		18,435		17,928
OPTI Canada, Inc.
8.250% due 12/15/2014		16,500		17,036
Owens Brockway Glass Container, Inc.
6.750% due 12/01/2014		25,025		24,399
7.750% due 05/15/2011		7,350		7,589
8.750% due 11/15/2012		15,285		16,279
8.875% due 02/15/2009		2,000		2,055
Peabody Energy Corp.
6.875% due 03/15/2013		23,960		24,679
7.375% due 11/01/2016		2,000		2,140
Pogo Producing Co.
7.875% due 05/01/2013		17,760		18,115
PQ Corp.
7.500% due 02/15/2013		15,150		14,998
Premier Entertainment Biloxi LLC
10.750% due 02/01/2012		2,800		2,898
Primedia, Inc.
8.000% due 05/15/2013		11,850		11,524
8.875% due 05/15/2011		5,400		5,535
Quiksilver, Inc.
6.875% due 04/15/2015		47,495		46,901
Qwest Communications International, Inc.
7.250% due 02/15/2011		20,000		20,550
7.500% due 02/15/2014		148,856		154,066
Range Resources Corp.
7.500% due 05/15/2016		1,600		1,648
Reynolds American, Inc.
7.625% due 06/01/2016		16,395		17,453
7.750% due 06/01/2018		33,895		36,151
RH Donnelley Corp.
6.875% due 01/15/2013		9,125		8,794
8.875% due 01/15/2016		55,085		58,115
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		14,725		14,909
Rocky River Realty
8.810% due 04/14/2007 (n)		295		297
Rogers Cable, Inc.
6.750% due 03/15/2015		23,305		24,129
8.750% due 05/01/2032		7,100		8,662
Roseton
7.270% due 11/08/2010		35,650		36,474
7.670% due 11/08/2016		38,885		40,319
Royal Caribbean Cruises Ltd.
7.250% due 03/15/2018		17,500		17,775
Sanmina-SCI Corp.
8.125% due 03/01/2016		23,895		23,238
SemGroup LP
8.750% due 11/15/2015		28,325		28,608
Seneca Gaming Corp.
7.250% due 05/01/2012		11,855		12,122
Sensata Technologies BV
8.250% due 05/01/2014		26,625		25,693
Service Corp. International
7.375% due 10/01/2014		7,050		7,402
7.625% due 10/01/2018		11,550		12,301
Smurfit Capital Funding PLC
7.500% due 11/20/2025		5,300		5,088
Smurfit Kappa Funding PLC
9.625% due 10/01/2012		48,873		52,050
Smurfit-Stone Container Enterprises, Inc.
8.375% due 07/01/2012		37,575		37,011
9.750% due 02/01/2011		16,742		17,349
Solectron Global Finance Ltd.
8.000% due 03/15/2016		12,775		12,999
Sonat, Inc.
7.000% due 02/01/2018		7,109		7,287
7.625% due 07/15/2011		16,475		17,546
Station Casinos, Inc.
6.500% due 02/01/2014		9,015		8,057
6.875% due 03/01/2016		24,675		22,269
7.750% due 08/15/2016		30,260		30,638
Suburban Propane Partners LP
6.875% due 12/15/2013		33,480		32,978
Sungard Data Systems, Inc.
9.125% due 08/15/2013		51,210		54,027
Superior Essex Communications LLC
9.000% due 04/15/2012		7,895		8,250
SUPERVALU, Inc.
7.375% due 02/01/2013		40,935		37,814
7.500% due 11/15/2014		25,000		26,193
Telenet Group Holding NV
0.000% due 06/15/2014 (f)		981		889
Tenet Healthcare Corp.
9.875% due 07/01/2014		560		573
Tennessee Gas Pipeline Co.
7.500% due 04/01/2017		2,750		3,014
Tesoro Petroleum Corp.
7.466% due 07/17/2012 (n)		10,000		10,074
TransDigm, Inc.
7.750% due 07/15/2014		3,000		3,105
Triad Hospitals, Inc.
7.000% due 11/15/2013		39,198		39,639
Trinity Industries, Inc.
6.500% due 03/15/2014		6,950		6,863
TRW Automotive, Inc.
9.375% due 02/15/2013		34,828		37,527
UGS Corp.
10.000% due 06/01/2012		4,000		4,380
United Airlines, Inc.
6.071% due 09/01/2014		5,020		5,048
6.201% due 03/01/2010		3,691		3,717
6.602% due 03/01/2015		4,626		4,693
Unity Media GmbH
10.375% due 02/15/2015		11,350		11,080
U.S. Airways Group, Inc.
9.330% due 01/01/2049		3,121		25
Valero Energy Corp.
7.800% due 06/14/2010		3,550		3,794
Verso Paper Holdings LLC and Verson Paper, Inc.
9.125% due 08/01/2014		34,755		36,406
VWR International, Inc.
6.875% due 04/15/2012		12,440		12,580
8.000% due 04/15/2014		42,913		44,415
Williams Cos., Inc.
7.500% due 01/15/2031		4,800		5,004
7.625% due 07/15/2019		43,005		46,230
7.750% due 06/15/2031		1,771		1,868
7.875% due 09/01/2021		91,028		98,083
8.750% due 03/15/2032		1,000		1,135
Windstream Corp.
8.625% due 08/01/2016		20,975		23,072
Wynn Las Vegas LLC
6.625% due 12/01/2014		99,000		98,876
Xerox Capital Trust I
8.000% due 02/01/2027		24,530		25,174
				4,165,686
Utilities 14.7%
AES Corp.
8.750% due 05/15/2013		37,290		40,133
American Cellular Corp.
10.000% due 08/01/2011		23,705		25,187
Cincinnati Bell, Inc.
7.250% due 07/15/2013		21,375		22,230
8.375% due 01/15/2014		40,460		41,775
Cincinnati Bell Telephone Co.
6.300% due 12/01/2028		2,000		1,810
Citizens Communications Co.
7.000% due 11/01/2025		1,650		1,502
7.450% due 07/01/2035		5,460		5,050
9.000% due 08/15/2031		20,510		22,356
CMS Energy Corp.
6.875% due 12/15/2015		16,950		17,586
Dynegy Holdings, Inc.
7.125% due 05/15/2018		10,200		9,996
Edison Mission Energy
7.500% due 06/15/2013		1,845		1,937
7.750% due 06/15/2016		11,865		12,636
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		28,285		28,497
10.889% due 05/01/2013		5,100		5,126
Homer City Funding LLC
8.734% due 10/01/2026		11,828		13,661
Insight Midwest LP
9.750% due 10/01/2009		14,923		15,203
LCI International, Inc.
7.250% due 06/15/2007		3,090		3,113
Midwest Generation LLC
8.560% due 01/02/2016		77,682		85,693
8.750% due 05/01/2034		22,510		24,536
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		7,600		7,980
8.375% due 10/14/2010		7,300		7,707
MSW Energy Holdings LLC
8.500% due 09/01/2010		600		627
Nextel Communications, Inc.
7.375% due 08/01/2015		39,605		40,651
NRG Energy, Inc.
7.250% due 02/01/2014		27,750		28,028
7.375% due 02/01/2016		68,515		69,029
7.375% due 01/15/2017		15,025		15,100
PSEG Energy Holdings LLC
8.500% due 06/15/2011		61,955		66,911
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		25,000		25,656
7.625% due 08/03/2021		75		74
7.750% due 02/15/2031		275		271
7.900% due 08/15/2010		23,360		24,440
Qwest Corp.
7.200% due 11/10/2026		21,626		21,896
7.500% due 06/15/2023		24,006		24,306
7.625% due 06/15/2015		4,860		5,224
8.875% due 03/15/2012		43,820		49,024
Reliant Energy, Inc.
6.750% due 12/15/2014		47,340		46,512
9.250% due 07/15/2010		35,295		37,236
Rogers Wireless, Inc.
6.375% due 03/01/2014		14,600		14,856
7.500% due 03/15/2015		24,475		26,678
Rural Cellular Corp.
9.875% due 02/01/2010		26,665		28,498
Sierra Pacific Resources
6.750% due 08/15/2017		17,230		16,986
7.803% due 06/15/2012		15,562		16,362
8.625% due 03/15/2014		15,942		17,196
South Point Energy Center LLC
8.400% due 05/30/2012		23,463		22,657
TECO Energy, Inc.
6.750% due 05/01/2015		12,825		13,466
Tenaska Alabama Partners LP
7.000% due 06/30/2021		20,688		20,650
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		48,874		52,478
Williams Partners LP
7.250% due 02/01/2017		6,125		6,278
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (n)		3,046		3,158
				1,087,962
Total Corporate Bonds & Notes (Cost $5,918,033)				6,087,612
CONVERTIBLE BONDS & NOTES 1.1%
Allied Waste North America, Inc.
4.250% due 04/15/2034		904		868
Chesapeake Energy Corp.
2.750% due 11/15/2035		7,275		7,393
CMS Energy Corp.
2.875% due 12/01/2024		14,250		18,240
Deutsche Bank AG
0.000% due 05/28/2008		4,100		4,486
0.950% due 01/26/2010 (b)		8,150		8,132
1.800% due 05/29/2009		5,000		4,872
2.000% due 10/07/2009		9,825		9,370
EchoStar Communications Corp.
5.750% due 05/15/2008		8,000		8,190
IXIS Financial Products, Inc.
0.800% due 06/15/2009		5,000		4,874
1.650% due 06/15/2009		4,950		5,082
1.875% due 06/15/2009		5,000		4,993
Lehman Brothers Holdings, Inc.
1.383% due 06/15/2009 (i)		4,650		5,259
Total Convertible Bonds & Notes (Cost $79,377)				81,759
MUNICIPAL BONDS & NOTES 0.1%
Bell, California Public Financing Authority Notes, Series 2006
7.400% due 11/01/2007		4,600		4,604
Total Municipal Bonds & Notes (Cost $4,600)				4,604
U.S. GOVERNMENT AGENCIES 0.0%
Fannie Mae
5.500% due 09/01/2017		30		30
Total U.S. Government Agencies (Cost $31)				30
MORTGAGE-BACKED SECURITIES 0.0%
RMF Commercial Mortgage Pass-Through Certificates
9.150% due 11/28/2027		691		670
Total Mortgage-Backed Securities (Cost $655)				670
FOREIGN CURRENCY-DENOMINATED ISSUES 5.0%
Amadeus Global Travel Distribution S.A.
5.813% due 04/08/2013	EUR	460		616
6.628% due 04/08/2014		460		615
Bombardier, Inc.
7.250% due 11/15/2016		29,075		39,388
Cablecom GmbH
3.650% due 04/15/2011	CHF	22,376		18,387
JSG Holding PLC
5.741% due 11/29/2013	EUR	2,652		3,532
5.800% due 01/12/2014		726		965
5.835% due 01/12/2013		1,413		1,882
5.850% due 01/12/2013		820		1,090
5.946% due 01/12/2013		1,090		1,449
5.971% due 11/29/2014		2,652		3,546
6.062% due 01/12/2014		1,090		1,448
6.157% due 01/12/2014		286		380
6.350% due 01/12/2014		534		710
6.494% due 01/12/2013		726		966
6.686% due 01/12/2014		1,413		1,889
10.125% due 10/01/2012		26,675		38,381
11.500% due 10/01/2015 (c)		10,758		14,877
Lighthouse International Co. S.A.
8.000% due 04/30/2014		35,025		50,799
Nordic Telephone Co. Holdings ApS
5.207% due 11/30/2014	EUR	12,300		16,404
5.939% due 11/30/2014		12,176		16,310
6.036% due 11/30/2015		124		166
8.250% due 05/01/2016		18,975		27,678
NTL Cable PLC
8.750% due 04/15/2014		18,000		25,573
Royal Bank of Scotland Group PLC
6.000% due 04/06/2011	GBP	7,500		14,663
SigmaKalon
5.722% due 06/30/2012	EUR	1,480		1,952
Telenet Communications NV
9.000% due 12/15/2013		9,076		13,209
UPC Broadband Holding BV
4.988% due 03/31/2013		6,468		8,574
6.103% due 12/31/2013		7,613		10,092
UPC Holding BV
7.750% due 01/15/2014		8,025		10,673
8.625% due 01/15/2014		14,375		19,829
Weather Investments II SARL
4.955% due 06/17/2012		4,200		5,555
6.298% due 06/17/2013		5,900		7,825
6.798% due 06/17/2014		5,900		7,853
Total Foreign Currency-Denominated Issues (Cost $326,298)				367,276
		Shares
COMMON STOCKS 0.0%
Reliant Resources, Inc. - Warrants Exp. 08/25/2008 (n)		65,885		630
US Airways Group, Inc. ‘A’		12,224		0
Total Common Stocks (Cost $0)				630
CONVERTIBLE PREFERRED STOCKS 0.0%
Chesapeake Energy Corp.
4.500% due 12/31/2049		37,600		3,506
Total Convertible Preferred Stocks (Cost $3,627)				3,506
PREFERRED STOCKS 0.4%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		25,808		26,324
Total Preferred Stocks (Cost $26,540)				26,324
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 6.9%
Certificates of Deposit 1.0%
Unicredito Italiano SpA
5.330% due 03/20/2007	$	77,600		77,600
Commercial Paper 4.7%
Citigroup Funding, Inc.
5.250% due 02/14/2007		50,000		49,694
Danske Corp.
5.260% due 01/04/2007		59,800		59,791
Rabobank USA Financial Corp.
5.280% due 01/02/2007		207,300		207,300
Societe Generale NY
5.270% due 01/02/2007		31,900		31,900
				348,685
Repurchase Agreements 0.6%
Lehman Brothers, Inc.
4.850% due 01/02/2007		40,000		40,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 1.625% due 01/15/2015 valued at $40,880. Repurchase proceeds are $40,022.)
5.050% due 07/01/2010 (e)		6,998		6,998
(Dated 12/22/2006. Collateralized by Sabine Pall LNG LP 7.500% due 11/30/2016 valued $7,067. Repurchase proceeds are $6,998.)
				46,998
Tri-party Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 01/02/2007		10,989		10,989
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $11,213. Repurchase proceeds are $10,995.)
U.S. Treasury Bills 0.4%
4.836% due 03/01/2007 - 03/15/2007 (d)(g)(j)		26,596		26,345
Total Short-Term Instruments (Cost $510,636)				510,617
Purchased Options (l) 0.0% (Cost $31)				0
Total Investments (h) 99.8% (Cost $7,178,515)			$	7,392,813
Written Options (m) (0.0%) (Premiums $682)				(407	)
Other Assets and Liabilities (Net) 0.2%				18,380
Net Assets 100.0%			$	7,410,786

See Accompanying Notes

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

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

(a) Security is in default.

(b) When-issued security.

(c) Payment in-kind bond security.

(d) Coupon represents a weighted average rate.

(e) Security matures on demand. Interest rate resets daily. Interest rate shown is rate in effect at December 31, 2006.

(f) Security becomes interest bearing at a future date.

(g) Securities with an aggregate market value of $10,392 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(h) As of December 31, 2006, portfolio securities with an aggregate value of $263,585 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(i) The average amount of borrowing outstanding during the period ended December 31, 2006 was $10,470 at a weighted average interest rate of 5.450%. On December 31, 2006, securities valued at $5,259 were pledged as collateral for reverse repurchase agreements.

(j) Securities with an aggregate market value of $14,715 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	7,659	$	(5,649	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	4,134		(3,719	)
				$	(9,368	)

(k) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	3,974,000	$	261
Bank of America	Abitibi-Consolidated, Inc. 8.550% due 08/01/2010	Sell	2.350	%	3/20/2007	$	5,000		14
Bank of America	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	6/20/2007		10,000		219
Bank of America	Dow Jones CDX N.A. HY7 Index	Buy	(3.250	%)	12/20/2011		85,350		(1,508	)
Barclays Bank PLC	Domtar, Inc. 7.875% due 10/15/2011	Sell	1.500	%	9/20/2007		5,900		53
Barclays Bank PLC	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.450	%)	12/20/2008		2,500		(22	)
Barclays Bank PLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.870	%	9/20/2011		5,000		233
Barclays Bank PLC	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	3.350	%	12/20/2011		5,000		129
Barclays Bank PLC	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(4.030	%)	12/20/2016		2,500		(50	)
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	6/20/2007		4,000		81
Bear Stearns & Co., Inc.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	1.300	%	9/20/2007		1,300		6
Bear Stearns & Co., Inc.	CSC Holdings, Inc. 6.750% due 04/15/2012	Sell	2.150	%	12/20/2007		2,000		33
Bear Stearns & Co., Inc.	Williams Cos., Inc. 7.125% due 09/01/2011	Sell	1.250	%	12/20/2007		3,000		24
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. HY7 Index	Buy	(3.250	%)	12/20/2011		93,500		(2,097	)
Bear Stearns & Co., Inc.	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Buy	(2.820	%)	12/20/2011		5,000		(16	)
Bear Stearns & Co., Inc.	Roundy’s Supermarket, Inc. 0.000% due 10/27/2010	Sell	1.550	%	3/20/2012		2,000		1
Citibank N.A.	Abitibi-Consolidated, Inc. 8.550% due 08/01/2010	Sell	1.500	%	3/20/2007		5,000		2
Citibank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.000	%	9/20/2007		15,125		170
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.100	%)	9/20/2007		1,300		(5	)
Citibank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.800	%	12/20/2008		10,000		101
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.120	%	12/20/2008		10,650		106
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Buy	(1.670	%)	12/20/2012		4,050		(121	)
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.700	%	6/20/2007		24,350		40
Credit Suisse First Boston	Reliant Energy, Inc. 9.250% due 07/15/2010	Sell	3.000	%	12/20/2007		2,000		47
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.450	%	12/20/2008		12,000		44
Credit Suisse First Boston	Goodyear Tire & Rubber Co. 7.857% due 08/15/2011	Buy	(2.340	%)	12/20/2009		4,000		(48	)
Credit Suisse First Boston	DirecTV Holdings LLC 8.375% due 03/15/2013	Buy	(1.680	%)	12/20/2011		7,000		6
Deutsche Bank AG	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.440	%	6/20/2007		52,950		65
Deutsche Bank AG	Dow Jones CDX N.A. HY7 Index	Buy	(3.250	%)	12/20/2011		128,800		(2,808	)
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.950	%	6/20/2007		2,000		26
Goldman Sachs & Co.	Goodyear Tire & Rubber Co. 7.857% due 08/15/2011	Buy	(2.340	%)	12/20/2009		5,000		(61	)
Goldman Sachs & Co.	Host Marriott LP 7.125% due 11/01/2013	Sell	1.770	%	12/20/2010		5,900		194
Goldman Sachs & Co.	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Buy	(2.820	%)	12/20/2011		5,000		(16	)
Goldman Sachs & Co.	Directv Holdings LLC 8.375% due 03/15/2013	Buy	(1.800	%)	3/20/2012		5,000		(3	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.320	%	2/20/2007		8,900		6
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	6/20/2007		2,000		41
JPMorgan Chase & Co.	Lear Corp. 8.110% due 05/15/2009	Sell	7.750	%	3/20/2007		5,100		96
JPMorgan Chase & Co.	Lear Corp. 8.110% due 05/15/2009	Sell	7.800	%	3/20/2007		3,000		57
JPMorgan Chase & Co.	Abitibi-Consolidated Co. of Canada 8.375% due 04/01/2015	Sell	1.500	%	6/20/2007		3,000		0
JPMorgan Chase & Co.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	1.430	%	9/20/2007		5,400		32
Lehman Brothers, Inc.	Primedia, Inc. 8.875% due 05/15/2011	Sell	2.500	%	3/20/2007		5,000		12
Lehman Brothers, Inc.	HCA, Inc. 6.950% due 05/01/2012	Buy	(1.050	%)	12/20/2008		15,000		(42	)
Lehman Brothers, Inc.	ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	2.350	%	12/20/2009		2,000		19
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	8/20/2011		30,600		750
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY7 Index	Buy	(3.250	%)	12/20/2011		91,300		(1,971	)
Lehman Brothers, Inc.	HCA, Inc. 6.950% due 05/01/2012	Sell	3.500	%	12/20/2011		7,500		142
Lehman Brothers, Inc.	Solectron Global Finance Ltd. 8.000% due 03/15/2016	Sell	3.100	%	3/20/2012		7,400		41
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.160	%)	8/20/2016		17,000		(896	)
Merrill Lynch & Co., Inc.	AES Corp. 8.750% due 06/15/2008	Sell	0.950	%	6/20/2007		31,650		119
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.000	%	9/20/2007		10,000		112
Merrill Lynch & Co., Inc.	Ford Motor Corp. 7.450% due 07/16/2031	Buy	(2.850	%)	12/20/2008		18,000		(193	)
Merrill Lynch & Co., Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.630	%	9/20/2009		10,000		271
Merrill Lynch & Co., Inc.	Lyondell Chemical Co. 10.500% due 06/01/2013	Sell	2.950	%	12/20/2009		5,000		300
Merrill Lynch & Co., Inc.	Ford Motor Corp. 7.450% due 07/16/2031	Sell	4.830	%	12/20/2010		2,000		25
Merrill Lynch & Co., Inc.	Ford Motor Corp. 7.450% due 07/16/2031	Sell	4.850	%	12/20/2010		18,000		237
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY7 Index	Buy	(3.250	%)	12/20/2011		82,750		(1,200	)
Morgan Stanley	Abitibi-Consolidated, Inc. 8.550% due 08/01/2010	Sell	1.820	%	6/20/2007		5,000		8
Morgan Stanley	Bombardier, Inc. 6.750% due 05/01/2012	Sell	2.450	%	9/20/2007		5,000		76
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.440	%	10/20/2007		10,000		18
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.050	%	4/20/2011		15,500		252
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.070	%	4/20/2011		25,000		427
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	8/20/2011		30,600		764
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.180	%)	8/20/2016		17,000		(921	)
Royal Bank of Scotland Group PLC	ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	1.650	%	3/20/2007		5,000		16
Royal Bank of Scotland Group PLC	Ford Motor Corp. 7.450% due 07/16/2031	Buy	(2.750	%)	12/20/2008		2,000		(18	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		33,000		341
								$	(5,979	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

(l) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar June Futures	$	91.250	6/18/2007	3,254	$	31	$	0

(m) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Put - CBOT U.S. Treasury 10-Year Note March Futures	$	106.000	2/23/2007	2,004	$	682	$	407

(n) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Continental Airlines, Inc.	6.920	%	4/2/2013	7/1/2003	$	18,984	$	20,800	0.28	%
Ferrellgas Partners LP	8.780	%	8/1/2007	6/30/2003		14,237		14,114	0.19	%
Ferrellgas Partners LP	7.120	%	8/1/2008	04/30/2002 - 01/15/2004		11,053		10,953	0.15	%
Ferrellgas Partners LP	8.870	%	8/1/2009	6/30/2003		7,744		7,579	0.10	%
Ferrellgas Partners LP	7.240	%	8/1/2010	10/17/2001 - 04/24/2006		25,968		26,015	0.35	%
Reliant Resources, Inc. - Warrants Exp. 08/25/2008	0.000	%	8/25/2008	7/15/2004		0		630	0.01	%
Rocky River Realty	8.810	%	4/14/2007	11/22/2000 - 01/13/2005		296		297	0.00	%
Tesoro Petroleum Corp.	7.466	%	7/17/2012	11/17/2004		9,960		10,074	0.14	%
Wilmington Trust Co.	10.210	%	1/1/2009	6/29/1993		202		204	0.00	%
Wilmington Trust Co.	10.732	%	1/1/2013	01/07/1993 - 05/16/2003		4,866		5,152	0.07	%
Wilmington Trust Co. - Tucson Electric	10.732	%	1/1/2013	05/09/1995 - 05/16/2003		3,029		3,157	0.04	%
					$	96,339	$	98,975	1.34	%

(o) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	CHF	22,505	03/2007	$	399	$	0		$	399
Buy	EUR	33,765	01/2007		6		0			6
Sell		290,919	01/2007		0		(2,741	)		(2,741	)
Sell	GBP	7,190	01/2007		0		(85	)		(85	)
Buy	JPY	13,407,145	02/2007		0		(1,512	)		(1,512	)
				$	405	$	(4,338	)	$	(3,933	)

Schedule of Investments

High Yield Municipal Bond Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 99.1%
Alabama 0.3%
Butler, Alabama Industrial Development Board Revenue Bonds, Series 1993
5.900% due 12/01/2012	$	50	$	50
Arizona 0.5%
Yavapai County, Arizona Industrial Development Authority Revenue Bonds, Series 1998
5.450% due 06/01/2033		80		81
California 3.9%
California State Sierra Kings Health Care District Revenue Bonds, Series 2006
6.000% due 12/01/2036		200		199
Los Angeles, California Regional Airports Improvement Corp. Revenue Bonds, Series 2002
7.500% due 12/01/2024		250		283
Moreno Valley, California Unified School District Community Facilities District Special Tax Bonds, Series 2005
5.200% due 09/01/2036		150		154
				636
Colorado 3.1%
Copperleaf, Colorado Metropolitan District No. 2 General Obligation Bonds, Series 2006
5.950% due 12/01/2036		500		510
Georgia 1.5%
Fulton County, Georgia Revenue Bonds, Series 2006
5.125% due 07/01/2042		250		244
Illinois 1.3%
Illinois Finance Authority Revenue Bonds, Series 2006
5.875% due 02/15/2038		200		210
Indiana 0.7%
East Chicago, Indiana Revenue Bonds, Series 1999
6.375% due 08/01/2029		100		106
Iowa 2.3%
Iowa Finance Authority Revenue Bonds, Series 2006
5.450% due 11/01/2026		175		175
Iowa State Higher Education Loan Authority Revenue Bonds, Series 2006
5.100% due 10/01/2036		200		205
				380
Maryland 6.1%
Maryland Health & Higher Educational Facilities Authority Revenue Bonds, Series 2007
5.300% due 01/01/2037 (a)		500		496
Maryland State Economic Development Corp. Revenue Bonds, Series 2006
5.000% due 12/01/2031		500		504
				1,000
Michigan 6.5%
Crescent Academy, Michigan Certificate of Participation Bonds, Series 2006
5.750% due 12/01/2036		500		501
Doctor Charles Drew Academy, Michigan Certificate of Participation Bonds, Series 2006
5.700% due 11/01/2036		450		450
Hillsdale, Michigan Hospital Finance Authority Revenue Bonds, Series 1998
5.000% due 05/15/2013		100		101
				1,052
Minnesota 13.9%
Buffalo, Minnesota Revenue Bonds, Series 2006
5.500% due 09/01/2033		250		256
City of Oronoco, Minnesota Revenue Bonds, Series 2006
5.400% due 06/01/2041		250		247
Cottage Grove, Minnesota Revenue Bonds, Series 2006
5.000% due 12/01/2031		250		249
Minneapolis, Minnesota Tax Allocation Bonds, Series 2006
5.350% due 02/01/2030		200		203
Mora, Minnesota Revenue Bonds, Series 2006
5.625% due 07/01/2033		500		506
Orono, Minnesota Revenue Bonds, Series 2006
5.400% due 11/01/2041		300		300
Spicer, Minnesota Revenue Bonds, Series 2006
5.500% due 07/01/2033		500		492
				2,253
Missouri 12.1%
Cottleville, Missouri Certificates of Participation Bonds, Series 2006
5.250% due 08/01/2031		250		256
Grindstone Plaza, Missouri Transportation Development District Sales Tax Revenue Bonds, Series 2006
5.500% due 10/01/2031		250		254
5.550% due 10/01/2036		250		254
Missouri State Development Finance Board Revenue Bonds, Series 2004
3.980% due 12/01/2033		200		200
Township of Jennings, Missouri Revenue Bonds, Series 2006
5.000% due 11/01/2023		500		500
University Place, Missouri Transportation Development District Special Assessment Bonds, Series 2007
5.000% due 03/01/2032 (a)		500		503
				1,967
Montana 3.3%
Hardin, Montana Tax Increment Infrastructure Development Revenue Bonds, Series 2006
0.000% due 09/01/2031 (c)		830		544
New Jersey 3.5%
New Jersey Economic Development Authority Revenue Bonds, Series 2000
7.000% due 11/15/2030		60		64
New Jersey Economic Development Authority Revenue Bonds, Series 2006
5.375% due 11/01/2036		500		502
				566
New York 6.4%
East Rochester, New York Housing Authority Revenue Bonds, Series 2006
5.500% due 08/01/2033		200		205
Erie County, New York Industrial Development Agency Revenue Bonds, Series 2006
6.000% due 11/15/2036		150		159
New York City, New York Industrial Development Agency Revenue Bonds, Series 2005
7.750% due 08/01/2031		150		185
New York City, New York Industrial Development Agency Revenue Bonds, Series 2006
5.125% due 05/15/2030		500		495
				1,044
North Carolina 4.8%
Charlotte, North Carolina Revenue Bonds, Series 1998
5.600% due 07/01/2027		150		151
Charlotte, North Carolina Revenue Bonds, Series 2000
7.750% due 02/01/2028		60		65
North Carolina Medical Care Commission Revenue Bonds, Series 2006
5.100% due 10/01/2030		550		557
				773
Pennsylvania 9.2%
Harrisburg, Pennsylvania Authority Revenue Bonds, Series 2007
6.000% due 09/01/2036 (a)		500		506
Montgomery County, Pennsylvania Higher Education & Health Authority Revenue Bonds, Series 2006
5.250% due 01/01/2036		150		152
Pennsylvania Economic Development Financing Authority Revenue Bonds, Series 2003
6.750% due 12/01/2036		250		276
Washington County, Pennsylvania Redevelopment Authority Revenue Bonds, Series 2006
5.450% due 07/01/2035		550		564
				1,498
Rhode Island 1.8%
Rhode Island State Health & Educational Building Corporations Revenue Bonds, Series 1998
5.400% due 07/01/2013		185		186
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2032		100		107
				293
South Carolina 1.0%
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2030		145		169
Tennessee 0.9%
Maury County, Tennessee Industrial Development Board Revenue Bonds, (Guarantee Agreement GM Insured), Series 1994
6.500% due 09/01/2024		150		153
Texas 8.2%
City of Houston, Texas Revenue Bonds, Series 1997
6.125% due 07/15/2027		45		45
City of Houston, Texas Revenue Bonds, Series 2001
6.750% due 07/01/2021		100		108
Gulf Coast Industrial Development Authority, Texas Revenue Bonds, Series 2006
7.000% due 12/01/2036		500		517
HFDC of Central Texas, Inc. Revenue Bonds, Series 2006
5.500% due 02/15/2037		500		512
Houston, Texas Apartment System Revenue Bonds, Series 1997
6.125% due 07/15/2017		100		101
Trinity River Authority, Texas Revenue Bonds, Series 2000
6.250% due 05/01/2028		50		55
				1,338
Utah 6.2%
Spanish Fork City, Utah Revenue Bonds, Series 2006
5.550% due 11/15/2026		500		503
5.700% due 11/15/2036		500		504
				1,007
Virginia 0.6%
Bedford County, Virginia Industrial Development Authority Revenue Bonds, Series 1999
6.550% due 12/01/2025		100		104
Wisconsin 1.0%
Waukesha, Wisconsin Redevelopment Authority Revenue Bonds, Series 2006
5.250% due 07/01/2026		150		155
Total Municipal Bonds & Notes (Cost $15,866)				16,133
SHORT-TERM INSTRUMENTS 9.5%
Repurchase Agreements 9.3%
State Street Bank and Trust Co.
4.900% due 01/02/2007		1,512		1,512
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $1,548. Repurchase proceeds are $1,513.)
U.S. Treasury Bills 0.2%
4.868% due 03/01/2007 - 03/15/2007 (b)(e)		30		30
Total Short-Term Instruments (Cost $1,542)				1,542
Total Investments (d) 108.6% (Cost $17,408)				17,675
Other Assets and Liabilities (Net) (8.6%)				(1,399	)
Net Assets 100.0%			$	16,276

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

(c) Security becomes interest bearing at a future date.

(d) As of December 31, 2006, portfolio securities with an aggregate value of $492 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $30 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	6	$	10

See Accompanying Notes

Schedule of Investments

International StocksPLUS^® TR Strategy Fund (U.S. Dollar-Hedged)

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.3%
Georgia-Pacific Corp.
7.300% due 12/20/2012	$	2,286	$	2,299
7.350% due 12/20/2012		143		143
7.367% due 12/20/2012		549		552
HCA, Inc.
8.114% due 11/14/2013		2,600		2,632
Reynolds American, Inc.
7.104% due 05/31/2012		1,097		1,106
7.188% due 05/31/2012		839		845
7.250% due 05/31/2012		59		60
Total Bank Loan Obligations (Cost $7,572)				7,637
CORPORATE BONDS & NOTES 7.5%
Banking & Finance 4.5%
Banque Centrale de Tunisie
7.375% due 04/25/2012		39		43
Citigroup, Inc.
5.406% due 12/26/2008		2,800		2,803
HSBC Finance Corp.
5.375% due 05/21/2008		2,800		2,801
Loews Corp.
5.250% due 03/15/2016		2,800		2,733
Merrill Lynch & Co., Inc.
5.464% due 08/14/2009		4,000		4,005
Rabobank Nederland
5.394% due 01/15/2009		1,900		1,901
Santander U.S. Debt S.A. Unipersonal
5.426% due 11/20/2009		2,800		2,802
5.428% due 02/06/2009		2,300		2,304
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		1,200		1,202
Wells Fargo Bank N.A.
4.750% due 02/09/2015		5,000		4,795
				25,389
Industrials 1.3%
CODELCO, Inc.
6.150% due 10/24/2036		1,200		1,234
Cox Communications, Inc.
5.910% due 12/14/2007		500		502
DaimlerChrysler N.A. Holding Corp.
5.833% due 09/10/2007		900		902
Goodrich Corp.
6.290% due 07/01/2016		2,100		2,163
Vale Overseas Ltd.
6.250% due 01/23/2017		1,500		1,514
Williams Cos., Inc.
6.375% due 10/01/2010		200		202
Xerox Corp.
9.750% due 01/15/2009		1,100		1,194
				7,711
Utilities 1.7%
AT&T, Inc.
4.125% due 09/15/2009		500		486
BellSouth Corp.
5.200% due 09/15/2014		1,200		1,173
5.474% due 08/15/2008		3,900		3,904
Embarq Corp.
6.738% due 06/01/2013		2,000		2,050
NRG Energy, Inc.
7.375% due 02/01/2016		1,100		1,108
PSEG Energy Holdings LLC
8.625% due 02/15/2008		1,144		1,178
				9,899
Total Corporate Bonds & Notes (Cost $42,913)				42,999
MUNICIPAL BONDS & NOTES 1.5%
New York City, New York Municipal Water Finance
Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038 (e)		6,794		6,997
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		300		306
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.625% due 06/01/2037		900		957
Total Municipal Bonds & Notes (Cost $8,025)				8,260
U.S. GOVERNMENT AGENCIES 116.8%
Fannie Mae
3.500% due 04/25/2017		55		55
3.785% due 08/01/2010		376		359
4.190% due 11/01/2034		1,380		1,367
4.383% due 02/01/2035		993		988
4.500% due 06/01/2010 - 09/25/2020		16,164		15,857
4.591% due 08/01/2035		1,028		1,030
4.638% due 10/01/2035		1,041		1,039
4.654% due 10/01/2035		1,053		1,051
4.666% due 07/01/2035		2,072		2,056
4.724% due 10/01/2035		1,038		1,035
4.843% due 02/01/2034		919		913
4.850% due 09/01/2035		1,734		1,719
5.000% due 12/01/2018 - 08/01/2035		49,349		48,493
5.135% due 03/01/2036		3,700		3,698
5.267% due 02/01/2036		7,896		7,911
5.298% due 08/01/2036		1,930		1,935
5.470% due 03/25/2034		43		43
5.480% due 03/25/2036		4,402		4,407
5.497% due 07/01/2032		126		126
5.500% due 02/01/2024 - 12/01/2036		40,757		40,362
5.600% due 06/25/2044		153		153
5.700% due 09/25/2042		1,010		1,016
5.958% due 09/01/2044 - 10/01/2044		8,337		8,406
6.000% due 12/01/2036 - 02/01/2037		343,000		345,745
6.500% due 07/01/2036 - 01/01/2037		104,315		106,304
6.625% due 11/25/2023		305		314
6.875% due 04/25/2024		248		254
7.099% due 09/01/2031		4		4
Freddie Mac
3.500% due 01/15/2022 - 01/15/2023		3,857		3,795
4.000% due 11/01/2013 - 05/15/2016		7,641		7,435
4.400% due 09/01/2035		2,829		2,797
4.500% due 02/15/2017 - 09/15/2020		7,799		7,664
5.000% due 11/15/2017 - 09/01/2035		27,571		27,317
5.349% due 09/01/2035		2,943		2,948
5.500% due 08/15/2030 - 05/01/2035		4,076		4,036
5.550% due 10/15/2020		1,078		1,080
5.700% due 06/15/2031		1,844		1,847
5.750% due 11/15/2016 - 05/15/2029		9,743		9,797
5.958% due 10/25/2044		349		351
Government National Mortgage Association
5.125% due 11/20/2024		130		132
5.750% due 03/16/2032		50		51
Total U.S. Government Agencies (Cost $666,253)				665,890
U.S. TREASURY OBLIGATIONS 0.5%
Treasury Inflation Protected Securities (b)
3.375% due 01/15/2007		255		254
3.625% due 01/15/2008		1,249		1,263
U.S. Treasury Bonds
8.125% due 08/15/2019		900		1,176
Total U.S. Treasury Obligations (Cost $2,731)				2,693
MORTGAGE-BACKED SECURITIES 10.6%
Banc of America Funding Corp.
4.621% due 02/20/2036		1,274		1,257
Banc of America Mortgage Securities
5.000% due 05/25/2034		252		248
5.800% due 01/25/2034		262		263
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		1,151		1,131
4.750% due 10/25/2035		531		526
Bear Stearns Alt-A Trust
5.390% due 05/25/2035		613		614
5.840% due 11/25/2036		2,105		2,113
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		1,709		1,686
4.900% due 10/25/2035		5,202		5,152
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		827		818
5.560% due 11/20/2035		608		609
5.560% due 03/20/2046		2,203		2,206
5.630% due 02/25/2037		1,154		1,155
Countrywide Home Loan Mortgage Pass-Through Trust
5.620% due 05/25/2034		12		12
5.630% due 08/25/2034		5		5
5.640% due 04/25/2035		524		526
5.670% due 03/25/2035		478		480
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.430% due 02/25/2037		2,800		2,803
Downey Savings & Loan Association Mortgage
Loan Trust
5.610% due 08/19/2045		2,132		2,140
6.953% due 07/19/2044		255		260
First Horizon Alternative Mortgage Securities
4.472% due 03/25/2035		521		516
First Republic Mortgage Loan Trust
5.700% due 11/15/2031		160		160
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		239		237
GSR Mortgage Loan Trust
4.540% due 09/25/2035		579		569
5.500% due 11/25/2035		855		854
GSRPM Mortgage Loan Trust
6.050% due 01/25/2032		32		32
Harborview Mortgage Loan Trust
5.590% due 03/19/2037		1,995		1,999
Indymac Index Mortgage Loan Trust
5.450% due 01/25/2037		2,457		2,460
JPMorgan Chase Commercial Mortgage Securities Corp.
3.175% due 01/12/2037		12		12
LB-UBS Commercial Mortgage Trust
2.720% due 03/15/2027		491		480
Residential Accredit Loans, Inc.
5.560% due 04/25/2046		2,805		2,799
5.750% due 03/25/2033		209		210
Residential Asset Securitization Trust
5.750% due 05/25/2033		355		356
Structured Adjustable Rate Mortgage Loan Trust
6.227% due 01/25/2035		605		611
Structured Asset Mortgage Investments, Inc.
5.570% due 05/25/2036		2,743		2,747
5.630% due 02/25/2036		1,055		1,057
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		2,800		2,799
Washington Mutual, Inc.
5.620% due 12/25/2027		948		949
5.660% due 01/25/2045		442		443
5.670% due 01/25/2045		446		448
5.777% due 07/25/2046		3,512		3,530
5.777% due 08/25/2046		3,695		3,714
Wells Fargo Mortgage-Backed Securities Trust
3.989% due 12/25/2034		826		810
4.320% due 07/25/2035		2,700		2,643
4.362% due 05/25/2035		492		483
4.500% due 11/25/2018		1,652		1,607
4.950% due 03/25/2036		4,097		4,051
Total Mortgage-Backed Securities (Cost $60,474)				60,580
ASSET-BACKED SECURITIES 23.7%
ACE Securities Corp.
5.370% due 12/25/2036		2,679		2,681
5.420% due 12/25/2035		798		799
5.430% due 02/25/2036		1,350		1,351
5.460% due 10/25/2035		194		194
5.500% due 12/25/2035		1,700		1,702
American Express Credit Account Master Trust
5.530% due 11/15/2010		2,800		2,809
Ameriquest Mortgage Securities, Inc.
5.430% due 03/25/2036		717		718
Amortizing Residential Collateral Trust
5.640% due 07/25/2032		1		1
Argent Securities, Inc.
5.370% due 09/25/2036		3,140		3,142
5.410% due 05/25/2036		379		380
5.420% due 04/25/2036		1,421		1,422
5.430% due 03/25/2036		973		974
Bear Stearns Asset-Backed Securities, Inc.
5.379% due 10/25/2036		2,676		2,665
5.400% due 10/25/2036		2,726		2,726
5.420% due 02/25/2036		372		372
5.430% due 12/25/2035		555		555
5.550% due 09/25/2034		398		398
Carrington Mortgage Loan Trust
5.415% due 07/25/2036		1,230		1,231
Chase Credit Card Master Trust
5.470% due 01/17/2011		2,160		2,167
Citibank Credit Card Issuance Trust
5.435% due 03/20/2009		3,900		3,903
Citigroup Mortgage Loan Trust, Inc.
5.390% due 08/25/2036		3,185		3,187
5.430% due 12/25/2035		748		748
Countrywide Asset-Backed Certificates
5.370% due 12/25/2046		1,698		1,699
5.380% due 01/25/2046		2,952		2,954
5.400% due 01/25/2037		2,989		2,992
5.400% due 05/25/2037		5,800		5,798
5.420% due 06/25/2036		1,603		1,604
5.420% due 07/25/2036		1,621		1,622
5.420% due 08/25/2036		1,683		1,684
5.480% due 07/25/2036		1,171		1,172
DaimlerChrysler Auto Trust
5.329% due 12/08/2007		2,800		2,803
First Franklin Mortgage Loan Asset-Backed Certificates
5.350% due 07/25/2036		2,853		2,855
Ford Credit Auto Owner Trust
5.405% due 09/15/2007		328		328
Fremont Home Loan Trust
5.410% due 01/25/2037		2,800		2,798
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		617		618
GSAMP Trust
5.420% due 01/25/2036		1,013		1,014
5.420% due 02/25/2036		1,593		1,594
5.440% due 11/25/2035		553		553
5.640% due 03/25/2034		187		188
Home Equity Asset Trust
5.430% due 05/25/2036		961		961
Home Equity Mortgage Trust
5.440% due 05/25/2036		803		804
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		2,761		2,756
5.430% due 12/25/2035		1,263		1,264
Indymac Residential Asset-Backed Trust
5.440% due 03/25/2036		1,109		1,110
JPMorgan Mortgage Acquisition Corp.
5.360% due 08/25/2036		1,924		1,925
5.400% due 10/25/2036		3,286		3,288
5.420% due 05/25/2035		319		319
5.420% due 02/25/2036		533		533
Lehman XS Trust
5.430% due 04/25/2046		2,139		2,140
5.430% due 07/25/2046		3,133		3,135
5.430% due 08/25/2046		3,337		3,340
Long Beach Mortgage Loan Trust
5.420% due 03/25/2036		1,291		1,292
5.440% due 01/25/2036		1,115		1,116
5.630% due 10/25/2034		1,878		1,880
MASTR Asset-Backed Securities Trust
5.430% due 01/25/2036		2,557		2,559
5.460% due 11/25/2035		1,025		1,026
MBNA Credit Card Master Note Trust
5.850% due 03/15/2010		3,000		3,012
Morgan Stanley ABS Capital I
5.370% due 10/25/2036		2,702		2,702
5.390% due 07/25/2036		2,826		2,827
Morgan Stanley Capital I
5.420% due 03/25/2036		1,827		1,828
Nelnet Student Loan Trust
5.338% due 09/25/2012		2,900		2,900
5.370% due 08/23/2011		1,506		1,507
5.467% due 10/25/2016		2,638		2,639
New Century Home Equity Loan Trust
5.420% due 08/25/2036		429		429
Quest Trust
5.910% due 06/25/2034		85		85
Residential Asset Mortgage Products, Inc.
5.430% due 01/25/2036		1,849		1,850
Residential Asset Securities Corp.
5.360% due 06/25/2036		2,635		2,637
5.420% due 03/25/2036		1,017		1,017
5.420% due 04/25/2036		1,737		1,739
5.420% due 07/25/2036		2,759		2,761
5.430% due 01/25/2036		915		916
SACO I, Inc.
5.430% due 04/25/2036		714		715
Securitized Asset-Backed Receivables LLC Trust
5.420% due 10/25/2035		322		322
Soundview Home Equity Loan Trust
5.360% due 11/25/2036		2,931		2,934
5.420% due 02/25/2036		794		794
5.420% due 03/25/2036		927		928
5.420% due 05/25/2036		1,963		1,965
Structured Asset Securities Corp.
4.900% due 04/25/2035		995		962
Susquehanna Auto Lease Trust
4.991% due 04/16/2007		282		285
Truman Capital Mortgage Loan Trust
5.690% due 01/25/2034		11		11
USAA Auto Owner Trust
5.030% due 11/17/2008		1,624		1,624
Total Asset-Backed Securities (Cost $135,188)				135,238
SOVEREIGN ISSUES 0.2%
Hong Kong Government International Bond
5.125% due 08/01/2014		500		501
Mexico Government International Bond
10.375% due 02/17/2009		298		329
Panama Government International Bond
9.625% due 02/08/2011		258		295
Total Sovereign Issues (Cost $1,116)				1,125
FOREIGN CURRENCY-DENOMINATED ISSUES 0.8%
Province of Quebec Canada
5.000% due 12/01/2038		CAD 1,600		1,441
Republic of Germany
5.500% due 01/04/2031		EUR 200		319
Weather Investments II SARL
4.955% due 06/17/2012		1,000		1,322
6.298% due 06/17/2013		500		663
6.798% due 06/17/2014		500		666
Total Foreign Currency-Denominated Issues (Cost $4,324)				4,411
		Shares		Value (000s	)
EXCHANGE-TRADED FUNDS 2.2%
iShares MSCI EAFE
Index Fund		172,236	$	12,611
Total Exchange-Traded Funds (Cost $10,076)				12,611
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 15.5%
Certificates of Deposit 1.4%
BNP Paribas
5.292% due 05/28/2008	$	2,800		2,801
Countrywide Funding Corp.
5.350% due 04/25/2007		2,100		2,100
Nordea Bank Finland
5.308% due 05/28/2008		2,800		2,801
				7,702
Commercial Paper 9.6%
Bank of America Corp.
5.230% due 03/20/2007		16,700		16,503
San Paolo IMI U.S. Financial Co.
5.290% due 01/02/2007		3,400		3,400
Societe Generale NY
5.225% due 03/01/2007		2,200		2,182
Svenska Handelsbanken, Inc.
5.240% due 02/21/2007		12,300		12,212
UBS Finance Delaware LLC
5.225% due 03/08/2007		11,000		10,889
5.280% due 01/02/2007		5,900		5,900
Viacom, Inc.
5.594% due 05/29/2007		3,800		3,800
				54,886
Repurchase Agreements 3.4%
Lehman Brothers, Inc.
4.850% due 01/02/2007		17,000		17,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.625% due 04/15/2028 valued at $17,399. Repurchase proceeds are $17,009.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		2,310		2,310
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $2,358. Repurchase proceeds are $2,311.)
				19,310
U.S. Treasury Bills 1.1%
4.809% due 03/01/2007 - 03/15/2007 (a)(c)(f)		6,381		6,311
Total Short-Term Instruments (Cost $88,235)				88,209
Purchased Options (h) 0.4% (Cost $2,468)				2,290
Total Investments (d) 181.0% (Cost $1,029,375)			$	1,031,943
Written Options (i) (0.5%)			$	(2,811	)
(Premiums $2,520)
Other Assets and Liabilities (Net) (80.5%)				(459,005	)
Net Assets 100.0%			$	570,127

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

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

(a) Coupon represents a weighted average rate.

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

(c) Securities with an aggregate market value of $3,708 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(d) As of December 31, 2006, portfolio securities with an aggregate value of $2,885 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Residual Interest Bonds Held in Trust - Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Portfolio acquired the residual interest certificates. These securities serve as collateral in a financing transaction.

(f) Securities with an aggregate market value of $2,355 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Euribor September Futures	Long	09/2007	78	$	(68	)
90-Day Eurodollar December Futures	Long	12/2007	343		(31	)
90-Day Eurodollar June Futures	Long	06/2007	69		(6	)
90-Day Eurodollar June Futures	Long	06/2008	68		(42	)
90-Day Eurodollar March Futures	Long	03/2008	1,018		(775	)
90-Day Eurodollar September Futures	Long	09/2007	567		8
90-Day Eurodollar September Futures	Long	09/2008	68		(40	)
Euro-Bund 10-Year Note March Futures	Long	03/2007	2		(7	)
Japan 10-Year Note Futures	Long	03/2007	1		0
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	629		(464	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	3		(3	)
				$	(1,428	)

(g) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008	$	500	$	0
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		2,800		0
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	3/20/2016		2,800		(11	)
Bear Stearns & Co., Inc.	ABS Home Equity Index	Buy	(0.540	%)	7/25/2045		3,100		(11	)
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		2,600		1
Deutsche Bank AG	Dow Jones CDX N.A. IG7 Index	Buy	(0.400	%)	12/20/2011		11,400		(2	)
Deutsche Bank AG	Goodrich Corp. 6.290% due 07/01/2016	Buy	(0.510	%)	9/20/2016		2,200		(12	)
Goldman Sachs & Co.	Wells Fargo Bank N.A. 4.750% due 02/09/2015	Buy	(0.140	%)	3/20/2015		5,000		(6	)
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.770	%	5/20/2007		200		1
JPMorgan Chase & Co.	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.050	%	12/20/2007		2,600		1
Lehman Brothers, Inc.	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.110	%)	10/20/2010		100		(3	)
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	9/20/2014		1,200		(1	)
Merrill Lynch & Co., Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.610	%	3/20/2007		500		1
Morgan Stanley	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.200	%)	10/20/2010		100		(4	)
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Buy	(0.143	%)	12/20/2012		7,800		(3	)
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Sell	0.463	%	12/20/2015		5,600		4
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		9,300		18
								$	(27	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	55,200	$	(247	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	12.860	%	1/4/2010	BRL	43,000		(68	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010		29,100		148
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	14.360	%	1/4/2010		3,700		66
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014	EUR	1,900		(11	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		1,000		(10	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		2,000		113
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035	GBP	300		12
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,800		65
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		5,100		99
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013	JPY	128,000		(2	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.860	%	9/12/2016	MXN	22,000		145
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016		36,700		77
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016		18,100		47
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016		3,000		8
Citibank N.A.	3-Month New Zealand Bank Bill	Pay	7.250	%	6/15/2009	NZD	58,300		(108	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	5,800		133
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		11,300		(124	)
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		7,200		165
Citibank N.A.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		1,200		(30	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2014		2,400		(21	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/15/2035		9,600		(129	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		5,700		130
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		5,200		(58	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		800		(17	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		21,600		(237	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		21,000		(436	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/18/2009		77,800		238
								$	(52	)

Total Return Swaps

Counterparty	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation
Barclays Bank PLC	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.100%	4/12/2007	3,788,796	$	3,646
Goldman Sachs & Co.	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	11/15/2007	175,721		132
Merrill Lynch & Co., Inc.	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	4/12/2007	2,962,436		2,733
					$	6,511

(h) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007	EUR	82,300	$	449	$	133
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007	GBP	11,800		49		5
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007		8,000		29		7
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month GBP-LIBOR	Pay	5.063	%	6/15/2007		3,500		15		3
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	35,400		131		106
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	8/8/2007		12,900		53		36
Call - OTC 1-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		61,000		145		45
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.500	%	7/9/2007		50,300		249		492
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	8/8/2007		19,300		43		17
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2007		28,700		186		175
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	3/26/2007		53,000		74		10
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		3,000		10		9
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		41,400		177		399
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		10,000		42		20
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		29,900		78		30
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		113,200		596		719
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	10/25/2007		18,000		73		83
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	4.730	%	2/1/2007		20,200		69		1
									$	2,468	$	2,290

(i) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Citibank N.A.	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007	EUR	35,000	$	443	$	271
Call - OTC 8-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	3,400		63		16
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		2,000		30		10
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		1,000		15		5
Call - OTC 10-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.600	%	1/2/2007	$	3,600		37		0
Put - OTC 10-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		3,600		23		0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		15,400		126		125
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	8/8/2007		5,600		49		41
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.620	%	7/9/2007		16,500		249		535
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	8/8/2007		3,200		44		23
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.150	%	12/20/2007		12,500		181		190
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.850	%	3/26/2007		12,600		84		33
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		1,300		10		14
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		18,000		181		455
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.750	%	7/2/2007		13,400		131		56
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		6,400		69		46
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		4,500		47		37
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		49,200		595		865
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.010	%	10/25/2007		7,800		72		87
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	4.780	%	2/1/2007		8,700		71		2
									$	2,520	$	2,811

(j) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	12/1/2036	$	6,600	$	6,518	$	6,573
Fannie Mae	5.500	%	1/1/2037		31,600		31,505		31,235
Fannie Mae	6.000	%	12/1/2036		98,000		99,167		99,103
U.S. Treasury Notes	4.750	%	5/15/2014		300		306		303
						$	137,496	$	137,214

⁽²⁾ Market value includes $2 of interest payable on short sales.

(k) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	13,560	01/2007	$	2	$	0		$	2
Sell		49,038	01/2007		0		(577	)		(577	)
Buy		258	02/2007		2		0			2
Buy	BRL	4,184	01/2007		28		0			28
Sell		4,184	01/2007		0		(18	)		(18	)
Buy		716	05/2007		8		0			8
Buy		6,914	06/2007		45		0			45
Sell	CAD	6,033	01/2007		87		0			87
Sell	CHF	45,135	03/2007		802		0			802
Buy	CLP	8,500	06/2007		0		0			0
Buy	CNY	83,155	05/2007		28		0			28
Buy		23,612	11/2007		18		0			18
Sell	DKK	21,583	03/2007		10		0			10
Sell	EUR	146,335	01/2007		114		(1,575	)		(1,461	)
Buy	GBP	310	01/2007		0		(7	)		(7	)
Sell		70,226	01/2007		9		(815	)		(806	)
Sell	HKD	61,591	01/2007		6		(1	)		5
Buy	JPY	7,261,485	01/2007		0		(490	)		(490	)
Sell		21,713,112	01/2007		3,319		(14	)		3,305
Sell		96,549	02/2007		24		0			24
Buy	MXN	22,905	01/2007		39		0			39
Sell	NOK	37,660	03/2007		68		0			68
Sell	NZD	323	01/2007		0		(12	)		(12	)
Sell	SEK	109,630	03/2007		0		(6	)		(6	)
Sell	SGD	7,458	01/2007		0		(21	)		(21	)
				$	4,609	$	(3,536	)	$	1,073

See accompanying notes

Schedule of Investments

International StocksPLUS^® TR Strategy Fund (Unhedged)

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 16.8%
Banking & Finance 15.3%
Allstate Life Global Funding Trusts
5.406% due 03/23/2009	$	100	$	100
Bank of America Corp.
5.471% due 08/02/2010		540		541
Bank of Ireland
5.415% due 12/18/2009		300		300
Bank of Scotland
5.871% due 11/22/2012		500		502
C10 Capital SPV Ltd.
6.722% due 12/01/2049		100		100
Citigroup Funding, Inc.
5.342% due 12/08/2008		200		200
Citigroup, Inc.
5.525% due 05/18/2010		730		733
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		200		200
5.455% due 11/16/2009		290		290
HSBC Finance Corp.
5.455% due 06/19/2009		750		751
HSBC Holdings PLC
6.500% due 05/02/2036		200		216
International Lease Finance Corp.
5.516% due 06/26/2009		370		371
JPMorgan Chase & Co.
5.400% due 06/26/2009		290		290
Morgan Stanley
5.485% due 02/09/2009		340		341
5.499% due 02/15/2007		200		200
SLM Corp.
5.587% due 07/25/2008		500		502
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		100		99
U.S. Bank N.A.
5.309% due 03/31/2008		500		500
Unicredito Italiano NY
5.370% due 05/29/2008		600		600
Wachovia Corp.
5.410% due 12/01/2009		200		200
Wells Fargo & Co.
5.426% due 03/23/2010		630		631
World Savings Bank FSB
5.415% due 06/20/2008		300		301
				7,968
Industrials 1.5%
Home Depot, Inc.
5.490% due 12/16/2009		100		100
Time Warner, Inc.
5.606% due 11/13/2009		500		501
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		200		200
				801
Total Corporate Bonds & Notes (Cost $8,770)				8,769
U.S. GOVERNMENT AGENCIES 60.3%
Fannie Mae
5.000% due 07/15/2020		378		377
5.958% due 06/01/2043		108		109
6.000% due 01/01/2037 - 02/01/2037		28,600		28,791
Federal Home Loan Bank
5.500% due 06/30/2008		200		200
Freddie Mac
6.000% due 01/01/2037		2,000		2,015
Total U.S. Government Agencies (Cost $31,564)				31,492
U.S. TREASURY OBLIGATIONS 26.2%
U.S. Treasury Notes
4.625% due 12/31/2011		2,200		2,193
4.750% due 12/31/2008		11,500		11,490
Total U.S. Treasury Obligations (Cost $13,689)				13,683
MORTGAGE-BACKED SECURITIES 6.8%
Bear Stearns Alt-A Trust
5.510% due 02/25/2034		500		500
Countrywide Alternative Loan Trust
5.510% due 02/25/2047		298		299
Greenpoint Mortgage Funding Trust
5.430% due 01/25/2047		100		100
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		439		439
MASTR Asset-Backed Securities Trust
5.410% due 11/25/2036		400		401
TBW Mortgage-Backed Pass-Through Certificates
5.460% due 01/25/2037		500		500
Washington Mutual, Inc.
5.557% due 01/25/2047		100		100
5.670% due 12/25/2027		340		340
5.827% due 02/25/2046		871		877
Total Mortgage-Backed Securities (Cost $3,551)				3,556
ASSET-BACKED SECURITIES 8.9%
Asset-Backed Funding Certificates
5.380% due 01/25/2037		98		98
Carrington Mortgage Loan Trust
5.400% due 01/25/2037		500		501
Chase Issuance Trust
5.360% due 12/15/2010		300		300
5.360% due 02/15/2011		300		300
Countrywide Asset-Backed Certificates
5.370% due 12/26/2036		500		501
5.420% due 12/25/2036		100		100
5.430% due 06/25/2037		500		500
DaimlerChrysler Auto Trust
5.329% due 12/08/2007		500		501
First Franklin Mortgage Loan Asset-Backed Certificates
5.490% due 05/25/2035		49		49
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		500		501
MBNA Credit Card Master Note Trust
5.460% due 08/17/2009		500		500
Merrill Lynch Mortgage Investors, Inc.
5.420% due 08/25/2036		500		501
Soundview Home Equity Loan Trust
5.410% due 12/25/2036		300		300
Total Asset-Backed Securities (Cost $4,648)				4,652
FOREIGN CURRENCY-DENOMINATED ISSUES 0.2%
Province of Quebec Canada
5.000% due 12/01/2038	CAD	100	$	90
Total Foreign Currency-Denominated Issues (Cost $91)				90
SHORT-TERM INSTRUMENTS 65.0%
Commercial Paper 58.2%
Bank of America Corp.
5.230% due 03/09/2007	$	2,400		2,375
Bank of Ireland
5.260% due 03/15/2007		1,200		1,187
Barclays U.S. Funding Corp.
5.220% due 03/05/2007		2,400		2,377
CBA (de) Finance
5.245% due 01/31/2007		1,400		1,394
5.250% due 03/07/2007		100		99
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		500		487
Dexia Delaware LLC
5.300% due 01/02/2007		2,400		2,400
Fortis Funding LLC
5.265% due 01/02/2007		1,400		1,400
HBOS Treasury Services PLC
5.225% due 03/06/2007		2,400		2,377
IXIS Commercial Paper Corp.
5.260% due 02/02/2007		1,400		1,394
Rabobank USA Financial Corp.
5.280% due 01/02/2007		300		300
San Paolo IMI U.S. Financial Co.
5.290% due 01/02/2007		1,400		1,400
Skandinaviska Enskilda Banken AB
5.220% due 03/06/2007		1,400		1,386
Societe Generale NY
5.200% due 04/02/2007		2,400		2,367
Stadshypoket Delaware, Inc.
5.250% due 02/02/2007		1,400		1,394
Statens Bostadsfin Bank
5.250% due 02/08/2007		1,400		1,393
Swedbank, Inc.
5.225% due 03/07/2007		1,400		1,386
TotalFinaElf Capital S.A.
5.300% due 01/02/2007		1,400		1,400
UBS Finance Delaware LLC
5.185% due 04/02/2007		2,400		2,367
Westpac Trust Securities NZ Ltd.
5.330% due 01/18/2007		1,500		1,497
				30,380
Repurchase Agreements 5.6%
Lehman Brothers, Inc.
4.850% due 01/02/2007		1,000		1,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.625% due 04/15/2028 valued at $1,028. Repurchase proceeds are $1,001.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		1,937		1,937
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $1,981. Repurchase proceeds are $1,938.)
				2,937
U.S. Treasury Bills 1.2%
4.809% due 03/01/2007 - 03/15/2007 (a)(c)		650		644
Total Short-Term Instruments (Cost $33,974)				33,961
Purchased Options (e) 0.0% (Cost $31)				14
Total Investments (b) 184.2% (Cost $96,318)			$	96,217
Written Options (f) (0.0%) (Premiums $36)				(23	)
Other Assets and Liabilities (Net) (84.2%)				(43,962	)
Net Assets 100.0%			$	52,232

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

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

(a) Coupon represents a weighted average rate.

(b) As of December 31, 2006, portfolio securities with an aggregate value of $19,162 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $644 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	90	$	(93	)
90-Day Eurodollar June Futures	Long	06/2008	85		(90	)
90-Day Eurodollar March Futures	Long	03/2008	85		(91	)
90-Day Eurodollar September Futures	Long	09/2007	5		(6	)
90-Day Eurodollar September Futures	Long	09/2008	85		(87	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 119.000	Short	03/2007	2		0
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	5		1
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 114.500	Short	03/2007	1		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 115.000	Short	03/2007	1		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	7		(4	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	82		(167	)
				$	(537	)

(d) Swap agreements outstanding on December 31, 2006:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	100	$	0
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010	BRL	100		0
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009	$	1,500		(11	)
								$	(11	)

Total Return Swaps

Counterparty	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation
Goldman Sachs & Co.	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	11/15/2007	703,934	$	455

(e) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CBOT U.S. Treasury 10-Year Note March Futures	$	104.000	2/23/2007	57	$	1	$	2

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	8/8/2007	$	2,000	$	8	$	5
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		9,000		22		7
									$	30	$	12

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 6.000% due 03/01/2037	$	91.656	3/6/2007	$	2,000	$	0	$	0

(f) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	12	$	5	$	1
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	12		2		6
					$	7	$	7

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	8/8/2007	$	1,000	$	9	$	7
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.750	%	7/2/2007		2,000		20		9
									$	29	$	16

(g) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	6.000	%	1/1/2037	$	1,500	$	1,515	$	1,510

(h) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	43	01/2007	$	0	$	0		$	0
Sell		43	01/2007		0		0			0
Buy		147	05/2007		0		0			0
Buy		43	06/2007		0		0			0
Sell	CAD	106	01/2007		1		0			1
Buy	EUR	138	01/2007		1		0			1
Sell		286	01/2007		0		(2	)		(2	)
Sell	JPY	28,108	01/2007		2		0			2
Buy	MXN	488	04/2007		0		0			0
Buy	PHP	741	03/2007		0		0			0
Buy	RUB	420	11/2007		0		0			0
Buy		315	12/2007		0		0			0
Buy	SGD	46	07/2007		0		0			0
				$	4	$	(2	)	$	2

See accompanying notes

Schedule of Investments

Investment Grade Corporate Bond Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 83.0%
Banking & Finance 35.3%
ABX Financing Co.
5.750% due 10/15/2016	$	200	$	199
AIG SunAmerica Global Financing VII
5.850% due 08/01/2008		200		202
Allstate Corp.
7.200% due 12/01/2009		200		211
American International Group, Inc.
2.875% due 05/15/2008		300		290
5.050% due 10/01/2015		200		195
6.250% due 05/01/2036		200		213
Anadarko Finance Co.
6.750% due 05/01/2011		200		210
Archstone-Smith Trust
7.900% due 02/15/2016		25		28
AvalonBay Communities, Inc.
6.125% due 11/01/2012		50		52
BAE Systems Holdings, Inc.
5.200% due 08/15/2015		200		191
Bank of America Corp.
3.875% due 01/15/2008		50		49
4.750% due 08/01/2015		500		481
Bank One Corp.
5.250% due 01/30/2013		100		99
7.600% due 05/01/2007		60		60
9.875% due 03/01/2009		50		54
BB&T Corp.
6.500% due 08/01/2011		30		32
Bear Stearns Cos., Inc.
5.700% due 01/15/2007		300		300
5.700% due 11/15/2014		200		203
BellSouth Capital Funding Corp.
7.875% due 02/15/2030		200		233
BNP Paribas
5.186% due 06/29/2049		700		673
C10 Capital SPV Ltd.
6.722% due 12/01/2049		400		400
Canadian Oil Sands Ltd.
4.800% due 08/10/2009		245		241
CIT Group, Inc.
7.750% due 04/02/2012		240		265
Citigroup Capital II
7.750% due 12/01/2036		500		517
Citigroup, Inc.
5.000% due 09/15/2014		200		196
5.625% due 08/27/2012		400		406
6.000% due 02/21/2012		190		196
6.125% due 08/25/2036		100		105
Commonwealth Bank of Australia
6.024% due 03/29/2049		250		253
Fleet National Bank
5.750% due 01/15/2009		175		177
Ford Motor Credit Co.
7.875% due 06/15/2010		100		101
General Electric Capital Corp.
5.000% due 01/08/2016		100		98
5.450% due 01/15/2013		350		354
5.474% due 10/21/2010		500		501
6.750% due 03/15/2032		500		575
General Motors Acceptance Corp.
6.875% due 09/15/2011		50		51
Goldman Sachs Group LP
4.500% due 06/15/2010		250		245
Goldman Sachs Group, Inc.
5.250% due 10/15/2013		300		298
5.455% due 12/22/2008		200		200
5.700% due 09/01/2012		300		306
6.125% due 02/15/2033		100		102
6.600% due 01/15/2012		100		106
HBOS Capital Funding LP
6.071% due 06/29/2049		300		305
HBOS PLC
5.920% due 09/29/2049		100		98
HSBC Capital Funding LP
4.610% due 12/29/2049		1,330		1,242
HSBC Finance Corp.
4.125% due 03/11/2008		200		197
4.125% due 12/15/2008		100		98
HSBC Holdings PLC
6.500% due 05/02/2036		200		216
International Lease Finance Corp.
4.875% due 09/01/2010		150		148
JPMorgan & Co., Inc.
5.750% due 10/15/2008		100		101
JPMorgan Chase & Co.
4.750% due 03/01/2015		300		289
5.125% due 09/15/2014		100		99
6.625% due 03/15/2012		350		370
7.125% due 06/15/2009		100		104
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/29/2036		400		414
KFW International Finance
5.750% due 01/15/2008		30		30
Lehman Brothers Holdings, Inc.
4.800% due 03/13/2014		300		289
6.625% due 01/18/2012		30		32
MBNA America Bank N.A.
7.125% due 11/15/2012		145		158
Merrill Lynch & Co., Inc.
4.250% due 02/08/2010		100		97
5.480% due 04/26/2007		70		70
Mizuho Financial Group Cayman Ltd.
5.790% due 04/15/2014		150		151
Mizuho JGB Investment LLC
9.870% due 12/29/2049		100		106
Morgan Stanley
4.750% due 04/01/2014		400		383
5.300% due 03/01/2013		325		324
5.375% due 10/15/2015		250		248
6.600% due 04/01/2012		100		106
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		250		254
National Rural Utilities Cooperative Finance Corp.
7.250% due 03/01/2012		200		218
Preferred Term Securities XII
5.911% due 03/24/2034		100		100
Prudential Financial, Inc.
5.510% due 06/13/2008		100		100
Prudential Insurance Co. of America
7.650% due 07/01/2007		250		253
Rabobank Capital Funding II
5.260% due 12/29/2049		50		49
Rabobank Capital Funding Trust
5.254% due 12/29/2049		700		676
Resona Bank Ltd.
5.850% due 09/29/2049		100		98
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		280		310
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		300		294
UBS Preferred Funding Trust V
6.243% due 05/29/2049		500		519
United Overseas Bank Ltd.
5.375% due 09/03/2019		100		99
USB Capital IX
6.189% due 04/15/2049		975		997
Ventas Realty LP
6.750% due 06/01/2010		200		207
VTB Capital S.A. for Vneshtorgbank
6.115% due 09/21/2007		200		201
Wachovia Bank N.A.
5.000% due 08/15/2015		300		291
7.800% due 08/18/2010		30		32
Wachovia Capital Trust III
5.800% due 03/15/2042		1,100		1,110
Washington Mutual, Inc.
5.250% due 09/15/2017		250		242
Wells Fargo & Co.
5.426% due 03/23/2010		75		75
5.472% due 01/12/2011		200		200
Wells Fargo Bank N.A.
6.450% due 02/01/2011		30		31
Wells Fargo Capital X
5.950% due 12/15/2036		1,500		1,475
Westfield Group
5.700% due 10/01/2016		100		101
Xstrata Finance Canada Ltd.
5.800% due 11/15/2016		300		300
				23,575
Industrials 30.1%
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		100		96
Allied Waste North America, Inc.
6.500% due 11/15/2010		300		302
American Airlines, Inc.
6.978% due 10/01/2012		81		82
7.858% due 10/01/2011		50		55
American Greetings Corp.
7.375% due 06/01/2016		100		103
Anadarko Petroleum Corp.
5.950% due 09/15/2016		200		201
6.450% due 09/15/2036		200		203
Barrick Gold Corp.
5.800% due 11/15/2034		100		93
Barrick Gold Finance Co.
4.875% due 11/15/2014		100		95
Beckman Coulter, Inc.
6.875% due 11/15/2011		30		31
Boston Scientific Corp.
5.450% due 06/15/2014		100		96
6.000% due 06/15/2011		100		101
Canadian National Railway Co.
4.400% due 03/15/2013		80		76
Canadian Natural Resources Ltd.
5.450% due 10/01/2012		100		99
5.850% due 02/01/2035		200		185
6.000% due 08/15/2016		100		101
Cardinal Health, Inc.
5.640% due 10/02/2009		200		200
CBS Corp.
5.625% due 08/15/2012		500		494
CenterPoint Energy Resources Corp.
7.875% due 04/01/2013		150		167
Chesapeake Energy Corp.
6.375% due 06/15/2015		300		299
7.000% due 08/15/2014		23		24
7.500% due 06/15/2014		200		209
Cisco Systems, Inc.
5.451% due 02/20/2009		60		60
Clorox Co.
5.485% due 12/14/2007		30		30
CODELCO, Inc.
6.150% due 10/24/2036		100		103
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		100		114
Comcast Cable Communications, Inc.
6.750% due 01/30/2011		300		315
8.875% due 05/01/2017		35		42
Comcast Corp.
5.300% due 01/15/2014		100		98
5.850% due 01/15/2010		200		203
5.875% due 02/15/2018		100		99
5.900% due 03/15/2016		100		100
6.450% due 03/15/2037		200		201
7.050% due 03/15/2033		100		107
ConocoPhillips Australia Funding Co.
5.468% due 04/09/2009		200		200
ConocoPhillips Canada Funding Co.
5.625% due 10/15/2016		400		403
Continental Airlines, Inc.
6.320% due 11/01/2008		50		51
6.503% due 06/15/2011		100		103
Coventry Health Care, Inc.
5.875% due 01/15/2012		100		99
Cox Communications, Inc.
4.625% due 06/01/2013		160		151
5.910% due 12/14/2007		100		100
6.750% due 03/15/2011		100		105
7.125% due 10/01/2012		100		107
7.750% due 11/01/2010		130		140
CSC Holdings, Inc.
8.125% due 07/15/2009		50		52
8.125% due 08/15/2009		50		52
CSX Corp.
5.300% due 02/15/2014		250		247
Cyprus Amax Minerals Co.
7.375% due 05/15/2007		30		30
DaimlerChrysler N.A. Holding Corp.
5.833% due 09/10/2007		200		200
7.300% due 01/15/2012		100		106
Delhaize America, Inc.
8.125% due 04/15/2011		250		271
Devon Energy Corp.
7.950% due 04/15/2032		100		122
Devon Financing Corp. ULC
7.875% due 09/30/2031		200		241
Duke Energy Field Services LLC
5.375% due 10/15/2015		100		97
EchoStar DBS Corp.
6.375% due 10/01/2011		200		199
Embraer Overseas Ltd.
6.375% due 01/24/2017		100		100
Enbridge Energy Partners LP
5.875% due 12/15/2016		200		198
EnCana Corp.
4.750% due 10/15/2013		100		95
Enterprise Products Operating LP
5.000% due 03/01/2015		200		189
Fund American Cos., Inc.
5.875% due 05/15/2013		150		149
Gaz Capital for Gazprom
8.625% due 04/28/2034		200		258
Gazprom International S.A.
7.201% due 02/01/2020		100		106
Georgia-Pacific Corp.
7.125% due 01/15/2017		700		702
8.125% due 05/15/2011		100		106
HCA, Inc.
6.950% due 05/01/2012		200		190
Hess Corp.
7.875% due 10/01/2029		200		234
Hilton Hotels Corp.
8.250% due 02/15/2011		230		248
HJ Heinz Co.
6.428% due 12/01/2008		200		204
Humana, Inc.
6.450% due 06/01/2016		200		206
Hutchison Whampoa International Ltd.
6.500% due 02/13/2013		140		147
Hyundai Motor Manufacturing Alabama LLC
5.300% due 12/19/2008		100		99
International Business Machines Corp.
8.375% due 11/01/2019		30		38
JC Penney Corp., Inc.
8.000% due 03/01/2010		100		107
JetBlue Airways Corp.
9.610% due 03/15/2008		58		58
Kern River Funding Corp.
4.893% due 04/30/2018		67		65
Kinder Morgan Energy Partners LP
5.000% due 12/15/2013		200		190
7.125% due 03/15/2012		350		372
7.300% due 08/15/2033		150		163
Kroger Co.
5.500% due 02/01/2013		200		198
MGM Mirage
6.625% due 07/15/2015		100		96
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		500		599
Motorola, Inc.
7.600% due 01/01/2007		200		200
Newmont Mining Corp.
5.875% due 04/01/2035		100		93
News America Holdings, Inc.
9.250% due 02/01/2013		400		470
Norfolk Southern Corp.
7.250% due 02/15/2031		100		117
Northrop Grumman Corp.
7.750% due 02/15/2031		100		124
Oracle Corp.
5.000% due 01/15/2011		150		149
Pemex Project Funding Master Trust
5.750% due 12/15/2015		200		199
8.000% due 11/15/2011		260		287
Phelps Dodge Corp.
8.750% due 06/01/2011		200		223
9.500% due 06/01/2031		200		239
Pioneer Natural Resources Co.
5.875% due 07/15/2016		200		185
Plum Creek Timberlands LP
5.875% due 11/15/2015		200		197
Premcor Refining Group, Inc.
6.750% due 02/01/2011		100		104
Qwest Communications International, Inc.
7.250% due 02/15/2011		200		206
Reynolds American, Inc.
7.750% due 06/01/2018		100		107
Rogers Cable, Inc.
5.500% due 03/15/2014		100		96
Safeway, Inc.
5.716% due 03/27/2009		200		201
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		200		220
Starwood Hotels & Resorts Worldwide, Inc.
7.875% due 05/01/2012		100		106
Systems 2001 Asset Trust LLC
6.664% due 09/15/2013		60		63
Time Warner, Inc.
5.500% due 11/15/2011		100		100
6.750% due 04/15/2011		25		26
6.875% due 05/01/2012		500		529
7.700% due 05/01/2032		100		113
Transcontinental Gas Pipe Line Corp.
8.875% due 07/15/2012		30		34
Transocean, Inc.
7.500% due 04/15/2031		190		216
Tyson Foods, Inc.
6.850% due 04/01/2016		335		346
Union Pacific Corp.
6.625% due 02/01/2029		50		55
United Airlines, Inc.
10.125% due 03/22/2015 (a)		96		45
USX Corp.
6.850% due 03/01/2008		30		30
Vale Overseas Ltd.
6.250% due 01/11/2016		100		101
6.250% due 01/23/2017		100		101
Valero Energy Corp.
3.500% due 04/01/2009		100		96
6.125% due 04/15/2007		100		100
7.500% due 04/15/2032		100		114
Viacom, Inc.
5.750% due 04/30/2011		100		100
6.250% due 04/30/2016		200		199
Wal-Mart Stores, Inc.
6.875% due 08/10/2009		30		31
Walt Disney Co.
5.453% due 09/10/2009		100		100
6.375% due 03/01/2012		100		105
Waste Management, Inc.
7.100% due 08/01/2026		10		11
WellPoint, Inc.
4.250% due 12/15/2009		100		97
Weyerhaeuser Co.
6.125% due 03/15/2007		38		38
Williams Cos., Inc.
6.375% due 10/01/2010		100		101
Wyeth
4.375% due 03/01/2008		100		99
Wynn Las Vegas LLC
6.625% due 12/01/2014		100		100
Xerox Corp.
6.111% due 12/18/2009		100		102
XTO Energy, Inc.
6.100% due 04/01/2036		100		98
6.250% due 04/15/2013		100		103
7.500% due 04/15/2012		100		109
Yum! Brands, Inc.
8.875% due 04/15/2011		140		157
				20,119
Utilities 17.6%
Appalachian Power Co.
3.600% due 05/15/2008		100		98
AT&T Corp.
7.300% due 11/15/2011		447		484
AT&T, Inc.
5.100% due 09/15/2014		300		292
BellSouth Corp.
5.200% due 09/15/2014		300		293
5.200% due 12/15/2016		100		96
British Telecommunications PLC
8.625% due 12/15/2010		100		112
9.125% due 12/15/2030		100		134
CenturyTel, Inc.
8.375% due 10/15/2010		100		109
Cingular Wireless LLC
6.500% due 12/15/2011		50		52
Constellation Energy Group, Inc.
7.000% due 04/01/2012		100		107
Consumers Energy Co.
5.000% due 02/15/2012		100		98
5.375% due 04/15/2013		100		99
5.500% due 08/15/2016		350		344
Deutsche Telekom International Finance BV
8.000% due 06/15/2010		330		358
Duke Energy Corp.
6.250% due 01/15/2012		130		136
6.450% due 10/15/2032		200		215
Embarq Corp.
7.082% due 06/01/2016		200		204
Energy East Corp.
6.750% due 07/15/2036		100		106
Energy Transfer Partners LP
6.125% due 02/15/2017		500		508
Entergy Gulf States, Inc.
3.600% due 06/01/2008		150		146
4.875% due 11/01/2011		100		96
Entergy Louisiana LLC
5.560% due 09/01/2015		50		49
Exelon Corp.
4.900% due 06/15/2015		200		189
FirstEnergy Corp.
6.450% due 11/15/2011		100		104
Florida Power Corp.
5.774% due 11/14/2008		50		50
France Telecom S.A.
7.750% due 03/01/2011		230		251
GTE South, Inc.
6.125% due 06/15/2007		30		30
Indianapolis Power & Light
6.300% due 07/01/2013		150		154
IPALCO Enterprises, Inc.
8.375% due 11/14/2008		150		156
MidAmerican Energy Holdings Co.
7.630% due 10/15/2007		200		203
Nevada Power Co.
6.500% due 05/15/2018		150		156
Niagara Mohawk Power Corp.
7.750% due 10/01/2008		30		31
NiSource Finance Corp.
7.875% due 11/15/2010		100		108
Ohio Edison Co.
5.450% due 05/01/2015		100		98
5.647% due 06/15/2009		100		100
Pacific Gas & Electric Co.
6.050% due 03/01/2034		300		304
Plains All American Pipeline LP
6.125% due 01/15/2017		400		403
PPL Capital Funding Trust I
4.330% due 03/01/2009		200		195
Progress Energy, Inc.
6.850% due 04/15/2012		200		213
7.100% due 03/01/2011		94		100
PSEG Power LLC
6.950% due 06/01/2012		200		212
8.625% due 04/15/2031		100		128
Public Service Co. of Oklahoma
6.150% due 08/01/2016		150		152
Qwest Corp.
8.610% due 06/15/2013		100		109
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		43		42
Sierra Pacific Power Co.
6.000% due 05/15/2016		200		201
Southern California Edison Co.
5.000% due 01/15/2014		200		195
Sprint Capital Corp.
6.875% due 11/15/2028		100		100
8.375% due 03/15/2012		500		556
8.750% due 03/15/2032		200		241
System Energy Resources, Inc.
4.875% due 10/01/2007		100		99
TECO Energy, Inc.
6.750% due 05/01/2015		200		210
7.000% due 05/01/2012		100		106
Telecom Italia Capital S.A.
4.000% due 01/15/2010		200		191
5.250% due 11/15/2013		100		95
5.984% due 07/18/2011		200		200
Telefonica Emisones SAU
5.984% due 06/20/2011		100		102
Telus Corp.
8.000% due 06/01/2011		30		33
The Toledo Edison Co.
6.150% due 05/15/2037		200		198
TXU Energy Co. LLC
7.000% due 03/15/2013		200		210
Verizon Communications, Inc.
5.350% due 02/15/2011		200		201
Verizon Global Funding Corp.
7.750% due 12/01/2030		200		235
Verizon New England, Inc.
6.500% due 09/15/2011		200		206
Virginia Electric & Power Co.
5.375% due 02/01/2007		80		80
5.400% due 01/15/2016		500		494
Vodafone Group PLC
3.950% due 01/30/2008		30		30
5.424% due 06/29/2007		50		50
7.750% due 02/15/2010		30		32
Xcel Energy, Inc.
6.500% due 07/01/2036		100		106
				11,795
Total Corporate Bonds & Notes (Cost $55,884)				55,489
CONVERTIBLE BONDS & NOTES 0.3%
ERP Operating LP
3.850% due 08/15/2026		200		206
Total Convertible Bonds & Notes (Cost $202)				206
U.S. GOVERNMENT AGENCIES 6.6%
Fannie Mae
5.500% due 07/01/2036 - 12/01/2036		2,670		2,639
6.000% due 04/01/2036 - 10/01/2036		1,735		1,748
Total U.S. Government Agencies (Cost $4,370)				4,387
SOVEREIGN ISSUES 1.8%
Brazilian Government International Bond
8.000% due 01/15/2018		126		140
Croatia Government International Bond
6.375% due 07/31/2010		27		28
Korea Development Bank
4.750% due 07/20/2009		300		296
Mexico Government International Bond
5.625% due 01/15/2017		150		151
8.300% due 08/15/2031		80		103
Panama Government International Bond
9.625% due 02/08/2011		100		114
Russia Government International Bond
5.000% due 03/31/2030		150		170
10.000% due 06/26/2007		83		85
South Africa Government International Bond
7.375% due 04/25/2012		90		97
9.125% due 05/19/2009		30		32
Total Sovereign Issues (Cost $1,147)				1,216
FOREIGN CURRENCY-DENOMINATED ISSUES 3.2%
BAT International Finance PLC
3.625% due 06/29/2012	EUR	325		411
Credit Logement S.A.
4.604% due 03/29/2049		300		394
Deutsche Telekom International Finance BV
8.125% due 05/29/2012		100		154
France Telecom S.A.
6.750% due 03/14/2008		90		123
HSBC Holdings PLC
5.375% due 12/20/2012		60		84
RBS Capital Trust A
6.467% due 12/29/2049		325		468
Rogers Cable, Inc.
7.250% due 12/15/2011	CAD	50		46
Rogers Wireless, Inc.
7.625% due 12/15/2011		50		47
Telefonica Europe BV
5.125% due 02/14/2013	EUR	325		439
Total Foreign Currency-Denominated Issues (Cost $1,988)				2,166
		Shares
PREFERRED STOCKS 0.2%
Goldman Sachs Group, Inc.
6.124% due 12/31/2049		4,000		105
Total Preferred Stocks (Cost $100)				105
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 2.8%
Commercial Paper 0.7%
San Paolo IMI U.S. Financial Co.
5.290% due 01/02/2007	$	500		500
Repurchase Agreements 1.7%
State Street Bank and Trust Co.
4.900% due 01/02/2007		1,112		1,112
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $1,136. Repurchase proceeds are $1,113.)
U.S. Treasury Bills 0.4%
4.820% due 03/01/2007 - 03/15/2007 (b)(d)		250		248
Total Short-Term Instruments (Cost $1,860)				1,860
Purchased Options (f) 0.0% (Cost $3)				3
Total Investments (c) 97.9% (Cost $65,554)			$	65,432
Written Options (g) (0.0%) (Premiums $2)				(4	)
Other Assets and Liabilities (Net) 2.1%				1,381
Net Assets 100.0%			$	66,809

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

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

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(c) As of December 31, 2006, portfolio securities with an aggregate value of $546 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $248 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Eurodollar December Futures	Long	12/2007	72	$	9
90-Day Eurodollar December Futures	Long	12/2008	2		2
90-Day Eurodollar June Futures	Long	06/2008	58		70
90-Day Eurodollar June Futures	Long	06/2009	2		2
90-Day Eurodollar March Futures	Long	03/2008	85		61
90-Day Eurodollar March Futures	Long	03/2009	2		2
90-Day Eurodollar September Futures	Short	09/2008	9		(4	)
Euro-Bund 10-Year Note March Futures Call Option Strike @ EUR 119.000	Short	03/2007	15		1
Euro-Bund 10-Year Note March Futures Put Option Strike @ EUR 116.000	Short	03/2007	15		(6	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	62		(24	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	29		(40	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	10		29
				$	102

(e) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Dow Jones CDX N.A. IG7 Index	Sell	0.400	%	12/20/2011	$	1,000	$	0
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		1,000		0
Bear Stearns & Co., Inc.	EnCana Corp. 4.750% due 10/15/2013	Sell	0.530	%	9/20/2009		200		2
Bear Stearns & Co., Inc.	CenturyTel, Inc. 7.875% due 08/15/2012	Buy	(0.355	%)	6/20/2010		100		0
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.600	%	6/20/2010		100		11
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.265	%	3/20/2011		200		1
BNP Paribas Bank	Union Pacific Corp. 6.125% due 01/15/2012	Buy	(0.215	%)	6/20/2011		100		0
BNP Paribas Bank	Masco Corp. 5.875% due 07/15/2012	Buy	(0.950	%)	3/20/2017		100		0
Citibank N.A.	Raytheon Co. 7.200% due 08/15/2027	Buy	(0.090	%)	6/20/2009		100		0
Citibank N.A.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	3/20/2010		298		3
Citibank N.A.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Buy	(1.170	%)	12/20/2011		200		0
Citibank N.A.	Dominion Resources, Inc. 5.200% due 01/15/2016	Sell	0.670	%	6/20/2015		100		2
Credit Suisse First Boston	International Game Technology 0.000% convertible until 01/29/2033	Sell	0.350	%	3/20/2010		200		1
Credit Suisse First Boston	Lennar Corp. 5.950% due 03/01/2013	Buy	(0.950	%)	3/20/2017		100		0
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	9/20/2011		300		23
Deutsche Bank AG	General Motors Acceptance Corp. 6.875% due 08/28/2012	Buy	(2.500	%)	9/20/2011		300		(19	)
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	3/20/2008		100		0
Goldman Sachs & Co.	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.180	%)	6/20/2011		100		0
Goldman Sachs & Co.	Southwest Airlines Co. 6.500% due 03/01/2012	Buy	(0.290	%)	6/20/2011		100		0
Goldman Sachs & Co.	Phelps Dodge Corp. 8.750% due 06/01/2011	Buy	(0.520	%)	9/20/2011		200		1
Goldman Sachs & Co.	Washington Mutual, Inc. 4.000% due 01/15/2009	Buy	(0.385	%)	6/20/2016		250		(1	)
Goldman Sachs & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(0.849	%)	3/20/2017		100		0
Goldman Sachs & Co.	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(0.859	%)	3/20/2017		100		0
Goldman Sachs & Co.	Weyerhaeuser Co. 6.75 due 03/15/2012	Buy	(1.018	%)	3/20/2017		100		0
JPMorgan Chase & Co.	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.350	%	6/20/2010		50		1
JPMorgan Chase & Co.	Altria Group, Inc. 7.000% due 11/04/2013	Sell	1.100	%	9/20/2010		300		10
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG3 Index	Buy	(0.250	%)	3/20/2007		298		0
Lehman Brothers, Inc.	Union Pacific Corp. 6.650% due 01/15/2011	Sell	0.280	%	3/20/2010		100		1
Lehman Brothers, Inc.	Starwood Hotels & Resorts Worldwide, Inc. 7.875% 05/01/2012	Sell	1.010	%	9/20/2011		200		0
Lehman Brothers, Inc.	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(1.200	%)	3/20/2017		100		0
Merrill Lynch & Co., Inc.	XTO Energy, Inc. 6.250% due 04/15/2013	Sell	0.380	%	3/20/2010		200		1
Merrill Lynch & Co., Inc.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.300	%	6/20/2010		200		1
Morgan Stanley	ConocoPhillips 4.750% due 10/15/2012	Sell	0.230	%	3/20/2011		300		1
Morgan Stanley	Walt Disney Co. 6.375% due 03/01/2012	Buy	(0.180	%)	6/20/2011		100		0
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Sell	0.400	%	12/20/2011		2,200		6
Morgan Stanley	Inco Ltd. 7.750% due 05/15/2012	Buy	(0.500	%)	12/20/2011		500		(1	)
Morgan Stanley	Vale Overseas Ltd. 8.250% due 01/17/2034	Sell	0.700	%	12/20/2011		500		0
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		1,300		(4	)
Morgan Stanley	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.780	%)	3/20/2017		100		0
Royal Bank of Scotland Group PLC	ERP Operating LP 3.850% due 08/15/2026	Buy	(0.255	%)	9/20/2011		200		0
								$	40

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Receive	4.500	%	12/15/2007	CAD	13,800	$	(5	)
Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	6/17/2012	EUR	200		9
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035	GBP	400		5
UBS AG	6-Month JPY-LIBOR	Receive	2.000	%	6/20/2016	JPY	130,000		(9	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	400		9
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		5,800		(64	)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		5,040		106
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		10,200		(11	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		500		(12	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		1,900		(2	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	6/18/2009		4,300		14
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		1,000		9
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		200		5
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	6.000	%	6/15/2025		2,000		(28	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		1,000		(22	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		500		(1	)
								$	3

(f) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CME 90-Day Eurodollar March Futures	$	92.000	3/19/2007	45	$	1	$	0
Put - CME 90-Day Eurodollar September Futures		90.250	9/17/2007	22		0		0
					$	1	$	0

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Cost

Value

Call - OTC 2-Year Interest Rate Swap

Royal Bank of Scotland Group PLC

3-Month USD-LIBOR

Pay

5.250

%

7/2/2007

$

500

$

2

$

3

(g) Written options outstanding on December 31, 2006: Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call - OTC 5-Year Interest Rate Swap

Royal Bank of Scotland Group PLC

3-Month USD-LIBOR

Receive

5.370

%

7/2/2007

$

200

$

2

$

4

(h) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	BRL	58	01/2007	$	1	$	0		$	1
Buy		426	05/2007		2		0			2
Sell	CAD	100	01/2007		3		0			3
Buy	CLP	13,000	05/2007		0		0			0
Buy		14,495	06/2007		0		0			0
Sell	EUR	1,299	01/2007		0		(13	)		(13	)
Sell	GBP	149	01/2007		0		(2	)		(2	)
Buy	INR	1,109	02/2007		1		0			1
Buy		911	03/2007		1		0			1
Buy	JPY	97,463	02/2007		0		(11	)		(11	)
Buy	KRW	8,246	02/2007		0		0			0
Buy		57,869	03/2007		1		0			1
Buy		157,505	04/2007		0		0			0
Buy	MXN	339	01/2007		1		0			1
Buy		2,225	04/2007		2		0			2
Buy	PLN	635	04/2007		2		(1	)		1
Buy	RUB	346	01/2007		0		0			0
Buy		5,475	03/2007		0		0			0
Buy		2,765	09/2007		0		0			0
Buy	SGD	70	01/2007		1		0			1
Buy		18	03/2007		0		0			0
Buy		261	04/2007		1		0			1
Buy	TWD	576	02/2007		0		0			0
Buy	ZAR	153	05/2007		1		0			1
				$	17	$	(27	)	$	(10	)

See accompanying notes

Schedule of Investments

Japanese StocksPLUS^® TR Strategy Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 8.9%
Banking & Finance 5.2%
Bank of Ireland
5.375% due 12/19/2008	$	200	$	200
Banque Centrale de Tunisie
7.375% due 04/25/2012		12		13
BNP Paribas
5.292% due 05/28/2008		200		200
Citigroup, Inc.
5.406% due 12/26/2008		200		200
DnB NORBank ASA
5.412% due 02/25/2008		100		100
Goldman Sachs Group, Inc.
5.455% due 12/22/2008		200		201
HBOS Treasury Services PLC
5.350% due 07/17/2008		200		200
HSBC Finance Corp.
5.375% due 05/21/2008		100		100
JPMorgan Chase & Co.
5.416% due 06/26/2009		200		201
Loews Corp.
5.250% due 03/15/2016		200		195
Morgan Stanley
5.499% due 02/15/2007		100		100
Nordea Bank Finland
5.308% due 05/28/2008		200		200
Rabobank Nederland
5.394% due 01/15/2009		200		200
Santander U.S. Debt S.A. Unipersonal
5.428% due 02/06/2009		200		200
Unicredito Italiano NY
5.370% due 05/29/2008		200		200
				2,510
Industrials 2.5%
Boston Scientific Corp.
6.000% due 06/15/2011		100		101
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		200		201
El Paso Corp.
6.375% due 02/01/2009		100		102
Time Warner, Inc.
5.500% due 11/15/2011		400		400
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		200		200
Xerox Capital Trust I
8.000% due 02/01/2027		200		205
				1,209
Utilities 1.2%
BellSouth Corp.
5.200% due 09/15/2014		200		196
Embarq Corp.
6.738% due 06/01/2013		300		307
NRG Energy, Inc.
7.375% due 02/01/2016		100		101
				604
Total Corporate Bonds & Notes (Cost $4,315)				4,323
U.S. GOVERNMENT AGENCIES 82.1%
Fannie Mae
3.851% due 10/01/2033		747		738
4.000% due 08/01/2013		253		245
4.190% due 11/01/2034		73		72
4.340% due 08/01/2033		187		184
4.880% due 12/01/2035		244		243
5.000% due 09/01/2020 - 01/01/2037		2,675		2,606
5.038% due 07/01/2035		257		257
5.410% due 12/25/2036		584		586
5.450% due 01/25/2021		382		381
5.497% due 07/01/2032		42		42
5.500% due 02/01/2035 - 01/01/2037		14,942		14,770
5.700% due 05/25/2042 - 09/25/2042		255		256
5.958% due 06/01/2043 - 10/01/2044		1,359		1,369
6.000% due 01/01/2037 - 02/01/2037		11,000		11,075
6.500% due 01/01/2037		4,000		4,076
6.625% due 11/25/2023		87		90
Federal Home Loan Bank
5.500% due 06/30/2008		200		200
Freddie Mac
4.500% due 10/15/2013 - 07/15/2018		814		798
4.742% due 09/01/2035		258		255
5.000% due 08/15/2020		800		791
5.500% due 08/15/2030 - 05/01/2035		464		459
5.550% due 10/15/2020		36		36
5.958% due 02/25/2045		350		350
Total U.S. Government Agencies (Cost $39,984)				39,879
U.S. TREASURY OBLIGATIONS 0.3%
Treasury Inflation Protected Securities (b)
3.625% due 01/15/2008		125		126
Total U.S. Treasury Obligations (Cost $126)				126
MORTGAGE-BACKED SECURITIES 16.3%
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		177		174
Bear Stearns Alt-A Trust
5.840% due 11/25/2036		96		96
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		200		202
Countrywide Alternative Loan Trust
5.430% due 09/20/2046		334		334
5.510% due 02/25/2047		199		199
5.550% due 05/25/2036		259		259
5.560% due 03/20/2046		169		170
5.630% due 02/25/2037		177		178
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		166		165
CSAB Mortgage-Backed Trust
5.450% due 06/25/2036		164		164
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.430% due 02/25/2037		200		200
Downey Savings & Loan Association Mortgage Loan Trust
5.610% due 08/19/2045		147		148
Greenpoint Mortgage Funding Trust
5.430% due 01/25/2047		200		200
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		176		176
Harborview Mortgage Loan Trust
5.570% due 05/19/2035		251		252
5.590% due 03/19/2037		190		190
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		98		98
JPMorgan Chase Commercial Mortgage Securities Corp.
3.175% due 01/12/2037		1		1
Mellon Residential Funding Corp.
5.700% due 11/15/2031		191		191
5.790% due 12/15/2030		105		105
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		194		194
5.560% due 04/25/2046		280		280
Structured Adjustable Rate Mortgage Loan Trust
6.227% due 01/25/2035		67		68
Structured Asset Mortgage Investments, Inc.
5.420% due 08/25/2036		361		361
5.570% due 05/25/2036		189		189
5.630% due 02/25/2036		176		176
TBW Mortgage-Backed Pass-Through Certificates
5.460% due 12/25/2036		200		200
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		198		198
Washington Mutual, Inc.
3.801% due 06/25/2034		400		386
5.557% due 01/25/2047		200		200
5.590% due 12/25/2045		129		129
5.620% due 12/25/2027		43		43
5.777% due 08/25/2046		292		293
5.807% due 06/25/2046		276		278
5.827% due 02/25/2046		261		263
5.846% due 05/25/2046		241		241
5.954% due 05/25/2041		73		74
Wells Fargo Mortgage-Backed Securities Trust
4.320% due 07/25/2035		300		294
4.500% due 11/25/2018		118		115
4.950% due 03/25/2036		364		360
5.387% due 08/25/2035		80		79
Total Mortgage-Backed Securities (Cost $7,909)				7,923
ASSET-BACKED SECURITIES 23.2%
Accredited Mortgage Loan Trust
5.510% due 09/25/2035		200		200
ACE Securities Corp.
5.370% due 12/25/2036		191		192
5.420% due 12/25/2035		94		94
American Express Credit Account Master Trust
5.460% due 11/15/2010		200		201
Ameriquest Mortgage Securities, Inc.
5.430% due 03/25/2036		53		53
Argent Securities, Inc.
5.390% due 06/25/2036		167		168
5.420% due 04/25/2036		189		190
5.430% due 03/25/2036		88		89
Asset-Backed Funding Certificates
5.380% due 11/25/2036		81		81
5.380% due 01/25/2037		197		197
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		97		97
Bank One Issuance Trust
5.380% due 10/15/2009		200		200
5.460% due 01/15/2010		200		200
5.460% due 12/15/2010		100		100
Basic Asset-Backed Securities Trust
5.430% due 04/25/2036		158		158
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		96		97
5.379% due 10/25/2036		191		190
5.420% due 02/25/2036		28		28
5.430% due 12/25/2035		62		62
5.440% due 04/25/2036		127		127
Capital One Auto Finance Trust
5.340% due 12/14/2007		100		100
Carrington Mortgage Loan Trust
5.400% due 01/25/2037		200		200
Chase Credit Card Master Trust
5.460% due 02/15/2011		100		100
5.470% due 01/17/2011		200		201
Chase Issuance Trust
5.340% due 07/15/2011		100		100
Chase Manhattan Auto Owner Trust
4.770% due 03/15/2008		83		83
Citibank Credit Card Issuance Trust
5.435% due 03/20/2009		200		200
Citigroup Mortgage Loan Trust, Inc.
5.430% due 12/25/2035		79		79
Countrywide Asset-Backed Certificates
5.370% due 12/26/2036		200		200
5.370% due 05/25/2037		199		199
5.420% due 06/25/2036		114		115
5.420% due 12/25/2036		200		200
5.510% due 02/25/2036		90		90
Credit-Based Asset Servicing & Securitization LLC
5.410% due 11/25/2036		196		196
DaimlerChrysler Auto Trust
5.329% due 12/08/2007		200		200
FBR Securitization Trust
5.470% due 10/25/2035		15		15
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 12/25/2036		97		97
5.420% due 01/25/2036		110		110
5.490% due 05/25/2035		195		195
Fremont Home Loan Trust
5.410% due 01/25/2037		200		200
5.440% due 01/25/2036		18		18
GE-WMC Mortgage Securities LLC
5.450% due 12/25/2035		78		78
GSAMP Trust
5.420% due 01/25/2036		92		92
5.440% due 11/25/2035		100		101
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		200		200
5.700% due 09/20/2033		23		24
Home Equity Asset Trust
5.430% due 05/25/2036		120		120
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		197		197
5.430% due 12/25/2035		110		110
Indymac Residential Asset-Backed Trust
5.410% due 04/25/2037		200		200
5.440% due 03/25/2036		106		106
JPMorgan Mortgage Acquisition Corp.
5.420% due 05/25/2035		32		32
Lehman XS Trust
5.420% due 05/25/2046		72		72
5.430% due 04/25/2046		221		221
5.430% due 07/25/2046		330		330
5.440% due 05/25/2046		228		228
Long Beach Mortgage Loan Trust
5.500% due 08/25/2035		138		138
MASTR Asset-Backed Securities Trust
5.370% due 11/25/2036		98		98
5.410% due 11/25/2036		200		200
5.460% due 11/25/2035		79		79
MBNA Credit Card Master Note Trust
5.450% due 12/15/2011		100		100
5.460% due 08/17/2009		200		200
5.850% due 03/15/2010		200		201
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		153		153
5.420% due 08/25/2036		200		200
Midwest Generation LLC
8.300% due 07/02/2009		99		102
Morgan Stanley ABS Capital I
5.370% due 10/25/2036		193		193
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		96		96
Nelnet Student Loan Trust
5.338% due 09/25/2012		200		200
New Century Home Equity Loan Trust
5.610% due 06/25/2035		84		84
Nomura Home Equity Loan, Inc.
5.430% due 02/25/2036		209		209
Option One Mortgage Loan Trust
5.360% due 02/25/2037		94		94
Popular ABS Mortgage Pass-Through Trust
5.460% due 09/25/2035		44		44
Residential Asset Mortgage Products, Inc.
5.430% due 01/25/2036		159		159
Residential Asset Securities Corp.
5.360% due 06/25/2036		75		75
5.430% due 01/25/2036		102		102
5.440% due 01/25/2036		41		41
Securitized Asset-Backed Receivables LLC Trust
5.420% due 10/25/2035		64		64
Soundview Home Equity Loan Trust
5.410% due 12/25/2036		200		200
5.420% due 02/25/2036		44		44
5.420% due 05/25/2036		80		80
Specialty Underwriting & Residential Finance
5.395% due 11/25/2037		96		96
Structured Asset Securities Corp.
4.900% due 04/25/2035		62		60
Wachovia Auto Owner Trust
4.820% due 02/20/2009		53		53
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		200		200
Total Asset-Backed Securities (Cost $11,293)				11,298
SOVEREIGN ISSUES 0.1%
Mexico Government International Bond
10.375% due 02/17/2009		20		22
Panama Government International Bond
9.625% due 02/08/2011		14		16
Total Sovereign Issues (Cost $38)				38
		Shares
EXCHANGE-TRADED FUNDS 3.4%
iShares MSCI Japan
Index Fund		116,689		1,658
Total Exchange-Traded Funds (Cost $1,728)				1,658
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 21.8%
Certificates of Deposit 1.0%
Barclays Bank PLC
5.295% due 01/29/2007	$	100		100
Societe Generale NY
5.288% due 06/20/2007		400		400
				500
Commercial Paper 17.9%
Abbey National N.A. LLC
5.225% due 03/07/2007		700		693
Bank of America Corp.
5.230% due 03/09/2007		300		297
5.230% due 03/20/2007		500		494
Barclays U.S. Funding Corp.
5.220% due 03/05/2007		1,200		1,188
BNP Paribas Finance
5.230% due 03/07/2007		700		693
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		200		195
Danske Corp.
5.225% due 03/12/2007		400		396
DnB NORBank ASA
5.240% due 03/07/2007		700		693
General Electric Capital Corp.
5.230% due 03/07/2007		700		693
IXIS Commercial Paper Corp.
5.230% due 03/05/2007		700		693
Societe Generale NY
5.225% due 03/01/2007		500		496
5.230% due 03/08/2007		400		396
UBS Finance Delaware LLC
5.225% due 03/08/2007		1,400		1,386
Westpac Capital Corp.
5.210% due 03/29/2007		400		395
				8,708
Tri-Party Repurchase Agreements 2.4%
State Street Bank and Trust Co.
4.900% due 01/02/2007		1,157		1,157
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $1,181. Repurchase proceeds are $1,158.)
U.S. Treasury Bills 0.5%
4.804% due 03/01/2007 - 03/15/2007 (a)(e)		235		233
Total Short-Term Instruments (Cost $10,604)				10,598
Purchased Options (g) 0.1% (Cost $43)				49
Total Investments (c) 156.2% (Cost $76,040)			$	75,892
Written Options (h) (0.1%) (Premiums $45)				(60	)
Other Assets and Liabilities (Net) (56.1%)				(27,242	)
Net Assets 100.0%			$	48,590

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

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

(a) Coupon represents a weighted average rate.

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

(c) As of December 31, 2006, portfolio securities with an aggregate value of $3,689 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) The average amount of borrowing outstanding during the period ended December 31, 2006 was $3,770 at a weighted average interest rate of 5.300%. On December 31, 2006, there were not any reverse repurchase agreements outstanding.

(e) Securities with an aggregate market value of $233 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor September Futures	Long	09/2007	4	$	(3	)
90-Day Eurodollar June Futures	Long	06/2007	11		(1	)
90-Day Eurodollar June Futures	Long	06/2008	5		(3	)
90-Day Eurodollar March Futures	Long	03/2008	86		(49	)
90-Day Eurodollar September Futures	Long	09/2007	22		1
90-Day Eurodollar September Futures	Long	09/2008	5		(3	)
Euro-Bobl 5-Year Notes March Futures	Short	03/2007	4		7
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	64		(49	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	49		(56	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	21		42
				$	(114	)

(f) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Time Warner, Inc. 5.500% due 11/15/2011	Buy	(0.310	%)	12/20/2011	$	400	$	0
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		200		0
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	3/20/2016		200		(1	)
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		200		0
Deutsche Bank AG	Dow Jones CDX N.A. IG7 Index	Buy	(0.400	%)	12/20/2011		700		0
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	3/20/2008		500		0
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	9/20/2014		200		0
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Buy	(0.140	%)	12/20/2012		600		0
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Sell	0.460	%	12/20/2015		400		0
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		500		1
UBS AG	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.500	%)	6/20/2011		100		0
								$	0

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	3,900	$	(17	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	12.860	%	1/4/2010	BRL	3,700		(5	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010		2,400		12
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014	EUR	300		(2	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		300		17
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035	GBP	200		5
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		400		8
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.250	%	6/12/2036		100		(2	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013	JPY	2,000		0
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016	MXN	6,000		16
Citibank N.A.	3-Month New Zealand Bank Bill	Pay	7.250	%	6/15/2009	NZD	4,600		(9	)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	400		8
Citibank N.A.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		500		(12	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2014		3,500		(30	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		200		5
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		200		(4	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		900		(20	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		800		(18	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/18/2009		6,500		20
								$	(28	)

Total Return Swaps

Counterparty	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation
Goldman Sachs & Co.	iShares MSCI Japan Index	1-Month USD-LIBOR less 0.250%	11/15/2007	3,883,662	$	424

(g) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	124.000	2/23/2007	19	$	1	$	0
Put - CBOT U.S. Treasury 10-Year Note March Futures		104.000	2/23/2007	3		0		0
Put - CME 90-Day Eurodollar June Futures		91.250	6/18/2007	16		0		0
Put - CME 90-Day Eurodollar September Futures		90.750	9/17/2007	25		0		0
					$	1	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007	$	1,200	$	3	$	1
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		7,500		39		48
									$	42	$	49

(h) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.600	%	1/2/2007	$	100	$	1	$	0
Put - OTC 10-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		100		1		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		300		3		2
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		3,300		40		58
									$	45	$	60

(i) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
U.S. Treasury Notes	4.750	%	5/15/2014	$	100	$	102	$	101

⁽²⁾ Market value includes $1 of interest payable on short sales.

(j) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	19	02/2007	$	0	$	0		$	0
Buy	BRL	601	01/2007		4		0			4
Sell		601	01/2007		0		(2	)		(2	)
Buy		601	06/2007		3		0			3
Sell	CAD	336	01/2007		6		0			6
Buy	CNY	7,109	05/2007		3		0			3
Sell		2,705	05/2007		0		(6	)		(6	)
Buy		3,854	11/2007		3		0			3
Sell	GBP	249	01/2007		1		(1	)		0
Buy	JPY	135,000	01/2007		0		(20	)		(20	)
Sell		5,769,804	01/2007		870		(6	)		864
Buy	MXN	1,828	01/2007		3		0			3
				$	893	$	(35	)	$	858

See Accompanying Notes

Schedule of Investments

Long Duration Total Return Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 26.6%
Banking & Finance 3.4%
ABX Financing Co.
6.350% due 10/15/2036	$	10	$	10
American Express Centurion Bank
5.350% due 05/07/2008		30		30
BAC Capital Trust VI
5.625% due 03/08/2035		15		14
Citigroup, Inc.
5.406% due 12/26/2008		10		10
RBS Capital Trust II
6.425% due 12/29/2049		30		31
Wachovia Corp.
5.500% due 08/01/2035		10		10
				105
Industrials 13.2%
Canadian Natural Resources Ltd.
5.850% due 02/01/2035		30		28
Comcast Corp.
7.050% due 03/15/2033		20		21
Conoco Funding Co.
7.250% due 10/15/2031		10		12
Devon Financing Corp. ULC
7.875% due 09/30/2031		30		36
Georgia-Pacific Corp.
7.750% due 11/15/2029		30		30
Intelsat Bermuda Ltd.
11.250% due 06/15/2016		30		33
Kraft Foods, Inc.
6.500% due 11/01/2031		30		32
Lockheed Martin Corp.
7.750% due 05/01/2026		7		8
Norfolk Southern Corp.
7.250% due 02/15/2031		10		12
Time Warner, Inc.
7.700% due 05/01/2032		40		45
Valero Energy Corp.
7.500% due 04/15/2032		30		34
8.750% due 06/15/2030		25		32
Viacom, Inc.
6.875% due 04/30/2036		50		50
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		30		31
				404
Utilities 10.0%
Anadarko Petroleum Corp.
6.450% due 09/15/2036		25		26
AT&T Corp.
8.000% due 11/15/2031		50		62
BellSouth Corp.
6.550% due 06/15/2034		15		16
British Telecommunications PLC
9.125% due 12/15/2030		10		14
Canadian Natural Resources Ltd.
6.500% due 02/15/2037		25		25
Deutsche Telekom International Finance BV
8.250% due 06/15/2030		30		37
Duke Energy Corp.
6.450% due 10/15/2032		30		32
France Telecom S.A.
8.500% due 03/01/2031		20		26
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		20		20
Pacific Gas & Electric Co.
6.050% due 03/01/2034		20		20
Verizon Global Funding Corp.
5.850% due 09/15/2035		32		31
				309
Total Corporate Bonds & Notes (Cost $803)				818
U.S. GOVERNMENT AGENCIES 79.1%
Fannie Mae
4.000% due 02/25/2019		100		90
4.300% due 08/18/2010		10		10
5.000% due 08/25/2033		36		29
5.500% due 04/25/2033 - 01/01/2037		780		773
5.850% due 02/25/2032		30		30
6.000% due 12/25/2034 - 01/01/2037		1,136		1,141
7.125% due 01/15/2030		200		252
Federal Farm Credit Bank
4.125% due 04/15/2010		15		15
5.750% due 12/07/2028		20		22
Federal Home Loan Bank
4.000% due 05/15/2009		10		10
4.180% due 09/22/2010		15		15
4.875% due 02/15/2007		10		10
Freddie Mac
5.750% due 01/15/2033		3		3
8.250% due 06/01/2016		30		37
Total U.S. Government Agencies (Cost $2,436)				2,437
U.S. TREASURY OBLIGATIONS 23.0%
Treasury Inflation Protected Securities (b)
3.625% due 01/15/2008		38		38
U.S. Treasury Bonds
4.500% due 02/15/2036		30		28
5.375% due 02/15/2031		600		643
Total U.S. Treasury Obligations (Cost $722)				709
MORTGAGE-BACKED SECURITIES 2.2%
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		26		26
Washington Mutual, Inc.
5.557% due 01/25/2047		10		10
5.777% due 10/25/2046		29		30
Total Mortgage-Backed Securities (Cost $66)				66
ASSET-BACKED SECURITIES 4.4%
Argent Securities, Inc.
5.370% due 10/25/2036		27		27
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		29		29
Bank One Issuance Trust
5.380% due 10/15/2009		10		10
Bear Stearns Asset-Backed Securities, Inc.
5.487% due 07/25/2036		28		28
Chase Credit Card Master Trust
5.460% due 10/15/2010		20		20
SLM Student Loan Trust
5.323% due 07/25/2013		20		20
Total Asset-Backed Securities (Cost $134)				134
FOREIGN CURRENCY-DENOMINATED ISSUES 6.3%
General Electric Capital Corp.
5.500% due 09/15/2066	GBP	100		195
Total Foreign Currency-Denominated Issues (Cost $187)				195
SHORT-TERM INSTRUMENTS 12.0%
Certificates of Deposit 1.0%
Skandinaviska Enskilda Banken AB
5.272% due 07/06/2007	$	30		30
Repurchase Agreements 9.4%
Lehman Brothers, Inc.
4.850% due 01/02/2007		100		100
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 04/15/2029 valued at $109. Repurchase proceeds are $100.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		190		190
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $197. Repurchase proceeds are $190.)
				290
U.S. Treasury Bills 1.6%
4.850% due 03/01/2007 - 03/15/2007 (a)(d)		50		50
Total Short-Term Instruments (Cost $369)				370
Purchased Options (e) 0.0% (Cost $2)				1
Total Investments (c) 153.6% (Cost $4,719)			$	4,730
Written Options (f) (0.2%) (Premiums $8)				(6	)
Other Assets and Liabilities (Net) (53.4%)				(1,645	)
Net Assets 100.0%			$	3,079

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

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

(a) Coupon represents a weighted average rate.

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

(c) As of December 31, 2006, portfolio securities with an aggregate value of $40 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $50 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar June Futures	Long	06/2008	7	$	(3	)
90-Day Eurodollar September Futures	Long	09/2008	4		(1	)
U.S. Treasury 5-Year Note March Futures	Long	03/2007	1		(1	)
				$	(5	)

(e) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CME 90-Day Eurodollar December Futures	$	95.500	12/17/2007	1	$	1	$	0
Call - CME 90-Day Eurodollar December Futures		96.250	12/17/2007	10		1		1
Put - CME 90-Day Eurodollar December Futures		94.500	12/17/2007	1		0		0
					$	2	$	1

(f) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	1	$	1	$	0
Call - CME 90-Day Eurodollar December Futures		95.250	12/17/2007	10		7		5
Call - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	1		0		0
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	1		0		1
Put - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	1		0		0
					$	8	$	6

(g) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	1/1/2037	$	700	$	698	$	697

(h) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	CNY	223	12/2007	$	0	$	0		$	0
Buy	EUR	23	01/2007		0		0			0
Sell	GBP	100	01/2007		0		(1	)		(1	)
Buy	JPY	8,787	02/2007		0		(1	)		(1	)
				$	0	$	(2	)	$	(2	)

See accompanying notes

Schedule of Investments

Long-Term U.S. Government Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 14.5%
Banking & Finance 11.1%
Allstate Financial Global Funding
5.250% due 02/01/2007	$	100	$	100
Allstate Life Global Funding Trusts
5.437% due 01/25/2008		2,200		2,204
Bank of America Corp.
5.640% due 10/14/2016		5,000		5,032
Bayerische Landesbank
6.625% due 06/25/2007		250		251
CIT Group, Inc.
5.493% due 08/17/2009		6,000		6,010
Citigroup, Inc.
5.416% due 01/30/2009		13,800		13,813
Countrywide Financial Corp.
6.250% due 05/15/2016		5,000		5,105
General Electric Capital Corp.
5.410% due 03/04/2008		10,000		10,011
5.410% due 10/26/2009		2,000		2,001
Goldman Sachs Group, Inc.
5.662% due 06/28/2010		2,300		2,316
HSBC Finance Corp.
5.490% due 09/15/2008		15,000		15,045
5.610% due 01/15/2014		5,000		5,014
5.799% due 06/01/2016		3,000		3,039
Inter-American Development Bank
6.625% due 03/07/2007		340		341
International Lease Finance Corp.
5.250% due 01/10/2013		2,900		2,874
JPMorgan Chase & Co.
5.250% due 05/30/2007		50		50
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/29/2036		4,200		4,351
Lehman Brothers Holdings, Inc.
5.464% due 01/23/2009		9,200		9,217
Loews Corp.
5.250% due 03/15/2016		3,000		2,928
Morgan Stanley
5.485% due 02/09/2009		8,000		8,017
5.800% due 04/01/2007		100		100
5.824% due 10/18/2016		9,400		9,470
5.854% due 10/15/2015		3,000		3,033
Pricoa Global Funding I
5.457% due 01/25/2008		2,200		2,204
RBS Capital Trust II
6.425% due 12/29/2049		700		724
U.S. Trade Funding Corp.
4.260% due 11/15/2014		6,797		6,627
Wells Fargo & Co.
5.125% due 02/15/2007		250		250
5.426% due 03/23/2010		10,800		10,817
Wells Fargo Bank N.A.
4.750% due 02/09/2015		5,000		4,795
				135,739
Industrials 2.1%
Avon Products, Inc.
5.125% due 01/15/2011		2,800		2,776
DaimlerChrysler N.A. Holding Corp.
5.790% due 03/13/2009		11,800		11,818
Gannett Co., Inc.
5.750% due 06/01/2011		2,200		2,217
Johnson Controls, Inc.
5.250% due 01/15/2011		4,000		3,972
Kraft Foods, Inc.
5.625% due 11/01/2011		2,000		2,023
Omnicom Group, Inc.
5.900% due 04/15/2016		1,500		1,519
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		900		861
				25,186
Utilities 1.3%
BellSouth Corp.
5.200% due 09/15/2014		6,000		5,865
GTE Corp.
7.510% due 04/01/2009		100		104
Verizon Global Funding Corp.
5.504% due 08/15/2007		9,500		9,500
				15,469
Total Corporate Bonds & Notes (Cost $176,253)				176,394
U.S. GOVERNMENT AGENCIES 50.6%
Fannie Mae
0.000% due 03/25/2009 (c)		335		318
4.211% due 11/01/2034		995		990
4.493% due 07/01/2035		1,315		1,306
4.500% due 12/15/2019 - 09/01/2035		16,952		15,657
5.000% due 11/25/2015 - 08/25/2036		20,787		18,468
5.125% due 07/16/2018		500		480
5.380% due 07/01/2033		2,456		2,428
5.430% due 07/25/2035		3,130		3,133
5.440% due 09/25/2035		7,364		7,371
5.500% due 01/01/2033-01/01/2037		18,080		17,640
5.550% due 03/18/2031		1,347		1,349
5.800% due 02/09/2026		15,000		14,881
5.950% due 10/25/2017		291		295
5.958% due 06/01/2043 - 03/01/2044		4,471		4,498
6.000% due 05/17/2027 - 01/01/2037		42,451		42,758
6.081% due 04/01/2028		129		131
6.250% due 12/25/2013 - 04/25/2032		265		272
6.293% due 10/01/2024		185		185
6.500% due 11/25/2023 - 07/25/2031		5,656		5,848
6.625% due 11/15/2030		25,000		29,929
6.750% due 06/25/2032		5,385		5,484
6.822% due 12/01/2027		211		214
6.900% due 05/25/2023		327		339
6.950% due 07/25/2020		101		104
6.997% due 11/01/2023		434		435
7.000% due 06/25/2022 - 05/18/2027		4,612		4,831
7.095% due 08/01/2026		20		20
7.317% due 05/01/2025		61		62
7.326% due 02/01/2028		26		26
7.500% due 07/01/2032		11		12
7.800% due 10/25/2022		45		48
7.886% due 10/01/2024		3		3
9.000% due 08/01/2021 - 06/01/2027		153		166
Farmer Mac
7.277% due 07/25/2011		2,351		2,357
Federal Farm Credit Bank
4.375% due 06/16/2015		20,000		19,193
5.125% due 07/09/2029		675		668
5.150% due 03/25/2020		1,000		994
5.750% due 12/07/2028		500		535
Federal Home Loan Bank
5.120% due 01/10/2013		6,500		6,399
5.250% due 07/24/2018		15,000		14,419
5.300% due 06/26/2023		2,000		1,876
Federal Housing Administration
4.918% due 11/01/2019		8		8
6.896% due 07/01/2020		1,631		1,635
7.000% due 11/25/2019		401		402
7.430% due 02/25/2023 - 06/01/2024		929		936
Freddie Mac
0.000% due 12/11/2025		34,600		12,956
4.000% due 11/15/2018		12,632		11,389
4.160% due 10/25/2023		125		125
4.375% due 11/16/2007		10,000		9,929
4.500% due 12/15/2019 - 07/15/2035		33,320		29,058
4.750% due 01/19/2016		19,400		19,109
5.000% due 03/18/2014 - 09/15/2035		51,673		48,193
5.400% due 03/17/2021		20,000		19,806
5.500% due 06/15/2034 - 07/15/2036		26,169		25,260
5.625% due 11/23/2035		21,800		21,078
5.750% due 01/15/2033		741		748
5.850% due 06/15/2030 - 12/15/2032		992		1,006
5.900% due 06/15/2031		330		335
5.952% due 01/01/2028		53		54
5.958% due 10/25/2044		16,500		16,593
5.981% due 01/01/2028		250		251
6.000% due 04/15/2034 - 05/15/2036		85,453		84,776
6.158% due 07/25/2044		4,709		4,735
6.250% due 09/15/2023		5,000		5,072
6.500% due 11/15/2008 (b)		43		1
6.500% due 05/01/2022 - 10/25/2043		2,984		3,053
6.518% due 09/01/2027		110		110
6.855% due 06/01/2022		11		12
6.971% due 10/01/2026		62		63
7.000% due 07/15/2022 - 01/15/2024		829		850
7.000% due 12/15/2023 (b)		43		4
7.444% due 02/01/2028		298		304
7.663% due 12/01/2024		64		65
Government National Mortgage Association
5.000% due 09/20/2035		25,781		22,892
5.125% due 12/20/2017 - 11/20/2027		460		466
5.375% due 02/20/2017 - 05/20/2030		2,568		2,593
5.500% due 03/20/2021 - 02/20/2033		2,026		2,017
5.750% due 09/20/2017 - 09/20/2026		768		776
5.875% due 05/20/2032		578		579
6.000% due 08/20/2033		2,457		2,481
6.300% due 03/20/2031		1,766		1,791
7.000% due 03/16/2029		430		443
Overseas Private Investment Corp.
4.736% due 03/15/2022		4,300		4,111
5.140% due 08/15/2007		905		905
Private Export Funding Corp.
5.000% due 12/15/2016		7,200		7,203
Small Business Administration
5.240% due 08/01/2023		6,626		6,650
Tennessee Valley Authority
5.375% due 04/01/2056		18,000		18,394
Total U.S. Government Agencies (Cost $614,768)				615,339
U.S. TREASURY OBLIGATIONS 48.8%
Treasury Inflation Protected Securities (f)
2.000% due 01/15/2026		13,525		12,724
2.375% due 01/15/2025		10,708		10,664
3.375% due 01/15/2007		48,365		48,297
3.625% due 01/15/2008		20,924		21,154
U.S. Treasury Bonds
4.500% due 02/15/2036		13,525		198,878
5.375% due 02/15/2031		10,708		235,780
U.S. Treasury Strips
0.000% due 02/15/2032		22,500		6,734
0.000% due 08/15/2032		22,500		6,574
0.000% due 02/15/2033		38,400		10,954
0.000% due 02/15/2036		166,000		42,063
Total U.S. Treasury Obligations (Cost $606,037)				593,822
MORTGAGE-BACKED SECURITIES 10.0%
Banc of America Funding Corp.
4.621% due 02/20/2036		10,011		9,875
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		12,293		12,112
4.781% due 01/25/2034		680		673
5.328% due 02/25/2033		197		196
5.381% due 04/25/2033		662		657
Bear Stearns Mortgage Securities, Inc.
6.246% due 06/25/2030		76		78
Countrywide Alternative Loan Trust
5.500% due 10/25/2033		5,976		5,629
5.530% due 05/25/2035		2,517		2,521
Countrywide Home Loan Mortgage Pass-Through Trust
5.500% due 01/25/2046 (d)		2,000		2,003
5.640% due 04/25/2035		1,052		1,055
5.670% due 03/25/2035		4,029		4,040
5.690% due 06/25/2035		2,776		2,773
CS First Boston Mortgage Securities Corp.
5.900% due 04/25/2033		100		100
First Republic Mortgage Loan Trust
5.670% due 06/25/2030		432		433
Harborview Mortgage Loan Trust
5.440% due 12/19/2036		1,997		2,000
5.570% due 05/19/2035		2,158		2,164
Impac CMB Trust
5.249% due 09/25/2034		3,754		3,721
5.600% due 10/25/2035		13,682		13,699
MASTR Asset Securitization Trust
5.500% due 09/25/2033		809		797
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		9,066		9,002
Residential Accredit Loans, Inc.
5.650% due 08/25/2035		1,690		1,693
5.750% due 01/25/2033		303		304
5.750% due 03/25/2033		731		734
Sequoia Mortgage Trust
5.700% due 07/20/2033		2,398		2,406
Structured Asset Mortgage Investments, Inc.
5.560% due 04/25/2036		12,140		12,170
5.570% due 05/25/2036		473		474
5.770% due 10/19/2033		617		620
Structured Asset Securities Corp.
7.213% due 01/25/2032		9		9
TBW Mortgage-Backed Pass-Through Certificates
5.450% due 09/25/2036		1,575		1,577
Washington Mutual, Inc.
5.568% due 12/25/2046		1,929		1,935
5.580% due 04/25/2045		1,865		1,872
5.610% due 11/25/2045		149		150
5.620% due 12/25/2027		1,940		1,941
5.640% due 10/25/2045		3,203		3,209
5.660% due 01/25/2045		3,539		3,547
5.777% due 08/25/2046		1,264		1,271
5.827% due 02/25/2046		4,789		4,822
5.954% due 05/25/2041		635		640
6.227% due 06/25/2042		354		354
Wells Fargo Mortgage-Backed Securities Trust
5.088% due 03/25/2036		8,195		8,145
Total Mortgage-Backed Securities (Cost $121,260)				121,401
ASSET-BACKED SECURITIES 12.6%
ACE Securities Corp.
5.370% due 07/25/2036		2,747		2,749
5.400% due 10/25/2036		1,377		1,378
5.430% due 02/25/2036		966		966
5.460% due 10/25/2035		4,460		4,463
American Express Credit Account Master Trust
5.460% due 09/15/2010		1,100		1,102
Ameriquest Mortgage Securities, Inc.
5.430% due 03/25/2036		372		372
5.490% due 03/25/2036		3,000		3,003
Amortizing Residential Collateral Trust
5.640% due 07/25/2032		23		23
Argent Securities, Inc.
5.370% due 09/25/2036		2,093		2,095
5.370% due 10/25/2036		3,239		3,241
5.390% due 06/25/2036		1,116		1,116
5.450% due 11/25/2035		331		331
5.470% due 10/25/2035		480		481
5.490% due 02/25/2036		150		150
Asset-Backed Securities Corp. Home Equity
5.410% due 07/25/2036		1,465		1,466
5.460% due 05/25/2036		3,000		3,002
Bank One Issuance Trust
5.460% due 12/15/2010		2,000		2,005
Bear Stearns Asset-Backed Securities, Inc.
5.550% due 09/25/2034		1,392		1,393
5.600% due 06/25/2035		278		279
5.620% due 09/25/2035		2,339		2,341
5.680% due 10/25/2032		330		330
5.850% due 11/25/2042		2,217		2,223
Carrington Mortgage Loan Trust
5.390% due 05/25/2036		1,276		1,277
5.415% due 07/25/2036		615		616
Chase Funding Mortgage Loan Asset-Backed Certificates
5.850% due 10/25/2031		148		149
CIT Group Home Equity Loan Trust
5.620% due 06/25/2033		122		122
Citigroup Mortgage Loan Trust, Inc.
5.420% due 08/25/2036		1,212		1,213
Countrywide Asset-Backed Certificates
5.370% due 03/25/2037		4,973		4,976
5.380% due 01/25/2046		3,989		3,991
5.400% due 01/25/2037		565		566
5.450% due 01/25/2036		772		773
5.460% due 10/25/2046		949		949
5.480% due 11/25/2036		1,295		1,295
5.510% due 02/25/2036		1,221		1,221
5.540% due 01/25/2036		1,800		1,801
5.560% due 10/25/2035		679		680
Credit-Based Asset Servicing & Securitization LLC
5.410% due 11/25/2036		589		589
CS First Boston Mortgage Securities Corp.
5.600% due 01/25/2043		2,021		2,024
DaimlerChrysler Auto Trust
5.329% due 12/08/2007		2,000		2,002
FBR Securitization Trust
5.460% due 10/25/2035		393		393
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		1,457		1,458
Fremont Home Loan Trust
5.410% due 01/25/2037		2,000		1,999
GSAMP Trust
5.470% due 12/25/2035		937		937
GSR Mortgage Loan Trust
5.450% due 11/25/2030		1,106		1,107
GSRPM Mortgage Loan Trust
5.470% due 03/25/2035		920		920
Home Equity Asset Trust
5.460% due 02/25/2036		2,094		2,095
Home Equity Mortgage Trust
5.440% due 05/25/2036		386		386
5.530% due 05/25/2036		14,500		14,520
Indymac Residential Asset-Backed Trust
5.500% due 03/25/2036		7,000		7,007
IXIS Real Estate Capital Trust
5.460% due 12/25/2035		180		180
5.500% due 09/25/2035		609		610
LA Arena Funding LLC
7.656% due 12/15/2026		86		93
Long Beach Mortgage Loan Trust
5.380% due 10/25/2036		1,876		1,877
5.410% due 04/25/2036		1,825		1,827
5.470% due 09/25/2035		7		7
5.550% due 11/25/2034		1,397		1,398
MASTR Asset-Backed Securities Trust
5.380% due 10/25/2036		1,721		1,722
5.460% due 11/25/2035		1,972		1,973
MBNA Credit Card Master Note Trust
5.850% due 03/15/2010		3,900		3,916
Merrill Lynch Mortgage Investors, Inc.
5.410% due 03/25/2037		258		258
5.507% due 06/25/2036		3,573		3,575
Morgan Stanley ABS Capital I
5.450% due 04/25/2036		2,000		2,002
Nelnet Student Loan Trust
5.338% due 09/25/2012		2,200		2,200
5.370% due 08/23/2011		1,038		1,039
NPF XII, Inc.
2.232% due 10/01/2003 (a)		3,000		180
Option One Mortgage Loan Trust
5.450% due 11/25/2035		1,852		1,853
Renaissance Home Equity Loan Trust
5.500% due 11/25/2035		69		69
Residential Asset Mortgage Products, Inc.
5.430% due 02/25/2036		2,856		2,859
5.460% due 05/25/2025		337		337
Residential Asset Securities Corp.
5.390% due 11/25/2036		1,346		1,347
5.420% due 07/25/2036		3,728		3,731
5.620% due 04/25/2032		323		323
SACO I, Inc.
5.460% due 11/25/2020		486		486
5.530% due 05/25/2036		10,000		10,006
5.730% due 11/25/2035		4,052		4,056
SMS Student Loan Trust
5.604% due 10/27/2025		467		466
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		904		905
5.380% due 11/25/2036		1,944		1,944
5.450% due 12/25/2035		672		673
5.490% due 02/25/2036		6,100		6,104
Structured Asset Securities Corp.
5.370% due 10/25/2036		1,855		1,857
5.430% due 11/25/2035		1,539		1,540
Terwin Mortgage Trust
5.530% due 07/25/2036		856		857
Washington Mutual Asset-Backed Certificates
5.410% due 10/25/2036		1,941		1,943
Total Asset-Backed Securities (Cost $155,450)				153,788
SHORT-TERM INSTRUMENTS 10.0%
Certificates of Deposit 1.0%
Countrywide Financial Corp.
5.320% due 04/25/2007		12,300		12,300
Commercial Paper 2.8%
Federal Home Loan Bank
4.800% due 01/02/2007		33,500		33,500
Repurchase Agreements 3.8%
Lehman Brothers, Inc.
4.850% due 01/02/2007		46,000		46,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 1.625% due 01/15/2015 valued at $47,010. Repurchase proceeds are $46,006.)
Tri-Party Repurchase Agreements 0.5%
State Street Bank and Trust Co.
4.900% due 01/02/2007		6,015		6,015
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $6,136. Repurchase proceeds are $6,018.)
U.S. Treasury Bills 1.9%
4.813% due 03/01/2007 - 03/15/2007 (e)(g)(h)(j)		23,827		23,570
Total Short-Term Instruments (Cost $121,419)				121,385
Purchased Options (l) 0.1% (Cost $1,154)				1,529
Total Investments (i) 146.6% (Cost $1,796,341)			$	1,783,658
Written Options (m) (0.2%) (Premiums $2,965)				(2,661	)
Other Assets and Liabilities (Net) (46.4%)				(564,714	)
Net Assets 100.0%			$	1,216,283

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

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

(a) Security is in default.

(b) Interest only security.

(c) Principal only security.

(d) When-issued security.

(e) Coupon represents a weighted average rate.

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

(g) Securities with an aggregate market value of $3,957 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(h) Securities with an aggregate market value of $5,044 have been pledged as collateral for delayed-delivery securities on December 31, 2006.

(i) As of December 31, 2006, portfolio securities with an aggregate value of $21,296 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(j) Securities with an aggregate market value of $10,860 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2008	8,793	$	(3,389	)
U.S. Treasury 5-Year Note March Futures	Long	03/2007	32		(18	)
U.S. Treasury 10-Year Note March Futures	Short	03/2007	594		815
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	968		2,260
				$	(332	)

(k) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.240	%)	03/20/2011	$	4,000	$	(5	)
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016		3,000		(11	)
Bear Stearns & Co., Inc.	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	06/20/2016		5,000		48
Bear Stearns & Co., Inc.	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.430% due 06/01/2016	Buy	(0.220	%)	06/20/2016		3,000		(15	)
BNP Paribas Bank	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.250% due 01/15/2014	Buy	(0.165	%)	12/20/2013		5,000		0
Credit Suisse First Boston	Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.160	%)	03/20/2011		2,800		0
Goldman Sachs & Co.	International Lease Finance Corp. 5.250% due 01/10/2013	Buy	(0.200	%)	03/20/2013		2,900		(6	)
Goldman Sachs & Co.	Wells Fargo Bank N.A. 4.750% due 02/09/2015	Buy	(0.140	%)	03/20/2015		5,000		(6	)
JPMorgan Chase & Co.	Gannett Co., Inc. 5.750% due 06/01/2011	Buy	(0.330	%)	06/20/2011		2,350		0
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		6,000		(7	)
Lehman Brothers, Inc.	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.340	%)	12/20/2016		5,000		0
Merrill Lynch & Co., Inc.	Bank of America Corp. floating rate based on 3-Month USD-LIBOR plus 0.260% due 10/14/2016	Buy	(0.170	%)	12/20/2016		5,000		2
Morgan Stanley	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012		900		(4	)
Morgan Stanley	Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.390	%)	06/20/2016		1,500		(5	)
Royal Bank of Scotland Group PLC	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011		2,000		(1	)
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.275	%)	12/20/2015		3,000		8
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016		4,400		7
								$	5

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012	$	24,500	$	(269	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2026		75,000		3,654
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2037		77,200		1,909
								$	5,294

(l) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CME 90-Day Eurodollar December Futures	$	95.500	12/17/2007	343	$	130	$	105
Call - CME 90-Day Eurodollar December Futures		96.250	12/17/2007	428		44		29
Put - CME 90-Day Eurodollar December Futures		94.500	12/17/2007	343		121		69
Put - CME 90-Day Eurodollar March Futures		92.000	03/17/2008	37		0		0
					$	295	$	203

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007	$	77,300	$	371	$	745
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		91,500		488		581
									$	859	$	1,326

(m) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	290	$	162	$	23
Call - CME 90-Day Eurodollar December Futures		95.250	12/17/2007	428		277		211
Call - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	343		72		26
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	290		72		149
Put - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	343		127		86
					$	710	$	495

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.500	%	5/2/2008	$	6,900	$	138	$	43
Put - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.500	%	5/2/2008		6,900		164		79
Call - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	4.500	%	5/2/2008		14,400		318		89
Put - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.500	%	5/2/2008		14,400		341		165
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	4.500	%	5/2/2008		6,900		138		43
Put - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.500	%	5/2/2008		6,900		163		79
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		33,500		370		848
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		39,700		493		698
Call - OTC 7-Year Interest Rate Swap	UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.420	%	8/28/2009		2,200		65		73
Put - OTC 7-Year Interest Rate Swap	UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.420	%	8/28/2009		2,200		65		49
									$	2,255	$	2,166

(n) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	1/1/2037	$	9,375	$	9,349	$	9,267
U.S. Treasury Notes	4.625	%	11/15/2016		4,100		4,072		4,099
						$	13,421	$	13,366

⁽²⁾ Market value includes $25 of interest payable on short sales.

See accompanying notes

Schedule of Investments

Low Duration Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.5%
Idearc, Inc.
7.320% due 11/09/2014	$	49,400	$	49,707
Total Bank Loan Obligations (Cost $49,400)				49,707
CORPORATE BONDS & NOTES 20.5%
Banking & Finance 16.5%
Abbey National Treasury Services PLC
5.276% due 07/02/2008 (c)		17,100		17,093
American Express Bank FSB
5.410% due 10/20/2009		23,800		23,817
American Express Centurion Bank
5.350% due 05/07/2008		21,000		21,010
American Express Credit Corp.
5.410% due 11/09/2009		32,600		32,622
American General Finance Corp.
5.406% due 03/23/2007		8,700		8,703
ANZ National International Ltd.
5.415% due 08/07/2009		5,700		5,699
Atlantic & Western Re Ltd.
11.372% due 01/09/2007		2,700		2,701
Bank of America Corp.
5.372% due 09/25/2009		61,900		61,955
5.378% due 11/06/2009		3,200		3,202
Bank of America N.A.
5.377% due 07/25/2008		42,600		42,637
Bear Stearns Cos., Inc.
5.390% due 03/08/2007		81,250		81,278
5.454% due 03/30/2009		20,800		20,835
5.465% due 08/21/2009		9,200		9,215
BNP Paribas
5.292% due 05/28/2008		17,400		17,403
Calabash Re II Ltd. (c)
13.746% due 01/08/2010		6,500		6,504
14.946% due 01/08/2010		8,750		8,755
16.246% due 01/08/2010		4,500		4,503
Caterpillar Financial Services Corp.
2.625% due 01/30/2007		150		150
CIT Group, Inc.
5.493% due 08/17/2009		27,200		27,244
5.515% due 12/19/2008		31,200		31,288
5.580% due 05/23/2008		9,200		9,229
5.595% due 09/20/2007		9,200		9,217
5.656% due 07/28/2011		27,400		27,458
Citigroup Funding, Inc.
5.342% due 12/08/2008		23,100		23,106
Citigroup, Inc.
5.100% due 09/29/2011		1,500		1,495
5.392% due 12/28/2009		15,900		15,909
5.421% due 05/02/2008		33,000		33,054
5.431% due 11/01/2007		3,600		3,605
DnB NORBank ASA
5.443% due 10/13/2009		18,900		18,908
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (a)		8,300		6,889
Export-Import Bank of Korea
7.100% due 03/15/2007		6,700		6,721
Ford Motor Credit Co.
6.315% due 03/21/2007		3,459		3,459
7.200% due 06/15/2007		4,600		4,604
7.250% due 10/25/2011		500		490
7.750% due 02/15/2007		13,700		13,717
Fortis Bank
5.295% due 04/28/2008		48,300		48,314
General Electric Capital Corp.
5.401% due 03/16/2009		10,000		10,009
5.410% due 01/05/2009		24,400		24,427
5.430% due 10/06/2010		12,200		12,211
5.444% due 01/20/2010		39,800		39,887
5.445% due 01/15/2008		22,700		22,734
General Motors Acceptance Corp.
7.430% due 12/01/2021		143		144
GMAC LLC
6.000% due 12/15/2011		3,500		3,488
Goldman Sachs Group, Inc.
5.455% due 12/22/2008		36,400		36,462
5.456% due 06/23/2009		14,200		14,218
5.464% due 11/10/2008		31,800		31,864
5.476% due 07/29/2008		21,600		21,645
5.495% due 10/05/2007		3,000		3,005
HSBC Bank USA N.A.
5.426% due 07/28/2008		22,400		22,444
5.493% due 06/10/2009		9,200		9,236
HSBC Finance Capital Trust IX
5.911% due 11/30/2035		8,000		8,053
HSBC Finance Corp.
5.410% due 10/04/2007		48,200		48,256
5.490% due 09/15/2008		16,600		16,650
International Lease Finance Corp.
3.125% due 05/03/2007		300		298
John Deere Capital Corp.
4.500% due 08/25/2008		900		889
Lehman Brothers Holdings, Inc.
5.460% due 04/03/2009		10,900		10,918
5.464% due 10/22/2008		29,970		30,022
5.475% due 08/21/2009		50,600		50,662
5.624% due 11/10/2009		15,000		15,075
Merrill Lynch & Co., Inc.
5.414% due 10/23/2008		25,500		25,517
5.450% due 12/04/2009		21,000		21,014
5.464% due 08/14/2009		23,000		23,026
5.505% due 07/27/2007		7,200		7,209
5.577% due 07/25/2011		32,700		32,795
Morgan Stanley
5.390% due 11/21/2008		16,460		16,468
5.485% due 02/09/2009		28,800		28,863
5.499% due 01/18/2008		12,100		12,122
Mystic Re Ltd.
11.670% due 12/05/2008		26,900		26,888
National Australia Bank Ltd.
5.393% due 09/11/2009		23,500		23,523
Nordea Bank Finland
5.308% due 05/28/2008		16,800		16,806
Osiris Capital PLC
8.210% due 01/15/2010		11,000		11,032
Phoenix Quake Ltd.
7.820% due 07/03/2008		6,500		6,551
Phoenix Quake Wind Ltd.
7.820% due 07/03/2008		6,400		6,436
Phoenix Quake Wind II Ltd.
8.870% due 07/03/2008		3,000		2,759
Pricoa Global Funding I
5.430% due 03/03/2009		22,000		22,034
5.436% due 09/12/2008		10,000		10,017
Royal Bank of Scotland Group PLC
5.424% due 07/21/2008		49,100		49,152
Santander U.S. Debt S.A. Unipersonal
5.375% due 09/21/2007		82,600		82,684
5.376% due 11/20/2008		4,700		4,702
Skandinav Enskilda BK
5.330% due 02/04/2008		61,200		61,231
SLM Corp.
5.517% due 07/27/2009		16,200		16,240
Societe Generale NY
5.299% due 06/30/2008		90,200		90,159
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		9,945		10,551
Vita Capital Ltd.
6.710% due 01/01/2007		3,800		3,800
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		20,500		20,536
Wachovia Bank N.A.
5.406% due 03/23/2009		17,600		17,613
Wachovia Corp.
5.410% due 12/01/2009		25,600		25,617
5.426% due 10/28/2008		21,900		21,938
Westpac Banking Corp.
5.310% due 06/06/2008		13,300		13,304
				1,795,973
Industrials 2.1%
Altria Group, Inc.
7.650% due 07/01/2008		7,500		7,735
DaimlerChrysler N.A. Holding Corp.
4.050% due 06/04/2008		80		78
5.600% due 03/07/2007		25,600		25,605
5.820% due 08/03/2009		23,000		23,054
5.833% due 09/10/2007		10,500		10,525
El Paso Corp.
7.625% due 09/01/2008		1,075		1,113
FedEx Corp.
5.455% due 08/08/2007		23,350		23,383
Historic TW, Inc.
8.180% due 08/15/2007		5,000		5,083
Kroger Co.
7.800% due 08/15/2007		955		968
Oracle Corp.
5.603% due 01/13/2009		46,470		46,563
Pemex Project Funding Master Trust
9.375% due 12/02/2008		8,900		9,545
Service Corp. International
7.700% due 04/15/2009		3,000		3,128
Sonat, Inc.
6.750% due 10/01/2007		3,815		3,863
Transocean, Inc.
5.566% due 09/05/2008		22,400		22,424
TXU Electric Delivery Co.
5.000% due 09/01/2007		2,600		2,590
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		47,000		47,005
				232,662
Utilities 1.9%
AT&T, Inc.
4.214% due 06/05/2021		34,300		34,205
BellSouth Corp.
5.474% due 08/15/2008		38,350		38,390
Dominion Resources, Inc.
5.662% due 09/28/2007		10,755		10,761
Entergy Mississippi, Inc.
4.350% due 04/01/2008		34,480		34,480
Pepco Holdings, Inc.
5.500% due 08/15/2007		5,600		5,596
Southern California Edison Co.
5.471% due 02/02/2009		20,470		20,510
Telecom Italia Capital S.A.
5.984% due 07/18/2011		24,000		23,993
Telefonica Emisones SAU
5.665% due 06/19/2009		33,000		33,063
				200,998
Total Corporate Bonds & Notes (Cost $2,228,166)				2,229,633
U.S. GOVERNMENT AGENCIES 26.8%
Fannie Mae
0.950% due 03/25/2009 (b)		676		6
4.000% due 05/01/2011		269		260
4.231% due 04/01/2034		4,476		4,444
4.250% due 05/25/2033		11,676		11,249
4.349% due 03/01/2035		10,020		10,067
4.500% due 06/01/2011 - 08/01/2035		5,729		5,646
4.535% due 09/01/2035		15,483		15,404
4.659% due 05/01/2035		13,534		13,414
4.666% due 07/01/2035		17,518		17,381
4.674% due 07/01/2035		15,629		15,467
4.693% due 01/01/2035		20,206		19,989
4.717% due 03/01/2035		2,699		2,667
4.749% due 03/01/2035		22,356		21,850
4.875% due 07/01/2017		63		63
4.919% due 10/01/2035		9,619		9,541
5.000% due 12/01/2013 - 03/01/2036		1,446,894		1,424,027
5.031% due 06/01/2035		4,524		4,495
5.373% due 11/01/2017		45		45
5.410% due 12/25/2036		13,808		13,841
5.500% due 10/01/2008 - 01/01/2037		407,927		404,374
5.502% due 09/01/2032		2,617		2,638
5.520% due 08/01/2017		8		8
5.527% due 12/01/2017 - 02/01/2028		204		206
5.554% due 01/01/2021		37		37
5.630% due 06/01/2017		23		24
5.653% due 04/01/2018		1,288		1,298
5.674% due 07/25/2017		691		704
5.700% due 03/25/2044		1,244		1,246
5.750% due 05/25/2031 - 06/25/2032		3,760		3,773
5.958% due 07/01/2042 - 07/01/2044		31,481		31,751
5.975% due 04/25/2022		22		23
6.000% due 03/01/2009 - 02/01/2037		100,333		101,676
6.008% due 09/01/2041		32,228		32,597
6.158% due 10/01/2030 - 11/01/2039		2,717		2,767
6.284% due 08/01/2029		1,176		1,190
6.288% due 07/01/2017		74		74
6.426% due 11/01/2017		86		86
6.500% due 03/25/2009 (b)		158		8
6.500% due 7/25/2031- 12/25/2042		32,692		33,870
6.661% due 01/01/2024		334		343
6.670% due 11/01/2018		5		5
6.685% due 01/01/2024		17		17
6.716% due 06/01/2022		10		10
6.807% due 04/01/2024		283		288
6.865% due 05/01/2022		1		1
7.000% due 01/01/2008 - 01/01/2032		6,048		6,085
7.229% due 11/01/2027		139		140
7.245% due 07/01/2023		95		98
7.326% due 02/01/2028		348		352
7.500% due 02/01/2013		6		6
7.654% due 10/01/2024		297		302
8.000% due 02/01/2030 - 11/01/2031		4,332		4,570
8.500% due 02/01/2017 - 04/01/2025		222		237
8.800% due 01/25/2019		129		138
9.000% due 03/25/2021 - 01/01/2025		456		494
9.250% due 10/25/2018		8		9
9.500% due 03/25/2020 - 11/01/2025		1,075		1,177
10.000% due 10/01/2009 - 05/01/2022		77		81
10.500% due 07/01/2014 - 12/01/2024		8		9
11.000% due 11/01/2020		7		8
11.250% due 10/01/2015		8		9
11.500% due 11/01/2019 - 02/01/2020		8		9
11.750% due 02/01/2016		11		12
12.000% due 01/01/2015		3		3
13.000% due 07/01/2015		3		4
13.250% due 09/01/2011		3		3
15.500% due 10/01/2012 - 12/01/2012		1		1
15.750% due 12/01/2011		3		4
16.000% due 09/01/2012 - 12/01/2012		2		2
256.000% due 11/01/2008		0		1
Federal Home Loan Bank
0.000% due 02/05/2007		11,100		10,906
Federal Housing Administration
7.421% due 11/01/2019		37		37
7.430% due 10/01/2020 - 11/01/2025		5,999		6,044
Freddie Mac
3.000% due 02/15/2023		2,531		2,508
4.000% due 09/15/2015		295		288
4.000% due 01/15/2024 (b)		4,547		595
4.500% due 02/15/2017 - 06/01/2018		56,131		55,084
4.508% due 03/01/2035		7,002		6,834
4.610% due 04/01/2035		14,844		14,551
4.642% due 04/01/2035		11,493		11,301
4.713% due 08/01/2035		112,581		112,024
4.714% due 06/01/2035		67,108		66,232
4.722% due 03/01/2035		13,048		12,847
4.802% due 08/01/2035		28,010		27,879
4.895% due 04/01/2035		3,667		3,625
4.916% due 07/01/2035		28,486		28,254
4.960% due 03/01/2035		2,626		2,602
5.000% due 04/15/2016 - 07/15/2024		78,691		78,274
5.061% due 04/01/2035		5,486		5,460
5.500% due 02/15/2014 - 07/15/2034		32,553		32,624
5.610% due 08/25/2031		6,266		6,298
5.612% due 02/01/2020		457		460
5.630% due 09/25/2031		11,272		11,280
5.650% due 05/15/2036		18,290		18,302
5.677% due 08/15/2032		1,079		1,080
5.700% due 12/15/2030		18,248		18,289
5.750% due 06/15/2018		5,982		5,990
5.800% due 11/15/2030		14		14
5.875% due 01/01/2017 - 03/01/2017		50		50
5.898% due 11/01/2022		307		312
5.990% due 01/01/2024		381		389
6.000% due 03/01/2011 - 01/01/2037		19,891		20,176
6.325% due 10/15/2020		84		84
6.375% due 03/15/2021		53		53
6.430% due 11/01/2023		48		48
6.500% due 03/15/2029 - 07/25/2043		79,668		81,429
6.561% due 10/01/2027		50		51
6.625% due 02/01/2023		4		4
6.631% due 06/01/2024		93		95
6.710% due 03/01/2024		18		19
6.754% due 01/01/2024		147		151
6.897% due 09/01/2023		38		38
6.964% due 10/01/2023		182		184
7.000% due 01/01/2030 - 04/01/2032		103		106
7.004% due 12/01/2022		60		60
7.157% due 07/01/2018		83		85
7.500% due 07/15/2030		809		821
8.000% due 04/01/2007 - 12/01/2024		474		494
8.500% due 01/01/2007 - 11/01/2025		1,055		1,131
9.000% due 12/15/2020 - 08/01/2022		456		474
9.500% due 03/01/2010 - 09/01/2021		142		150
9.750% due 11/01/2008		31		32
10.000% due 03/01/2016 - 05/15/2020		67		72
10.500% due 10/01/2010 - 02/01/2016		3		3
10.750% due 09/01/2009 - 08/01/2011		17		18
11.500% due 10/01/2015 - 01/01/2016		4		4
11.750% due 08/01/2015		1		1
14.000% due 09/01/2012 - 04/01/2016		2		2
14.500% due 12/01/2010		0		1
15.000% due 08/01/2011 - 12/01/2011		1		1
Government National Mortgage Association
4.000% due 07/16/2027		4,710		4,677
5.000% due 01/20/2032 - 02/20/2032		9,899		9,910
5.125% due 10/20/2023 - 12/20/2027		4,202		4,255
5.375% due 04/20/2016 - 05/20/2030		9,493		9,601
5.500% due 07/20/2030 - 03/20/2031		422		424
5.625% due 03/20/2019		38		38
5.750% due 08/20/2022 - 07/20/2027		5,644		5,714
5.900% due 12/16/2025		208		210
6.000% due 01/15/2029 - 10/15/2032		346		350
6.500% due 09/15/2032 - 05/15/2034		62		64
7.000% due 03/15/2011 - 10/15/2011		23		24
7.500% due 03/15/2022 - 09/15/2031		316		329
8.000% due 05/15/2016 - 06/20/2031		2,999		3,164
8.500% due 12/15/2021 - 08/15/2030		88		95
9.000% due 03/15/2017 - 11/15/2030		309		335
9.500% due 10/15/2016 - 06/15/2025		29		31
9.750% due 08/15/2017		22		24
10.000% due 10/15/2013 - 11/15/2020		8		9
10.500% due 11/15/2019 - 02/15/2021		1		1
11.000% due 09/15/2010		1		1
11.500% due 08/15/2018		6		6
11.750% due 08/15/2013		4		5
12.000% due 06/20/2015		1		2
13.000% due 10/15/2013		4		5
13.500% due 05/15/2011 - 11/15/2012		6		7
16.000% due 02/15/2012		8		9
Small Business Administration
7.640% due 03/01/2010		359		377
Total U.S. Government Agencies (Cost $2,937,305)				2,908,511
MORTGAGE-BACKED SECURITIES 15.4%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		65,214		64,077
4.390% due 02/25/2045		19,854		19,532
4.440% due 02/25/2045		62,648		61,425
Banc of America Commercial Mortgage, Inc.
3.366% due 07/11/2043		2,201		2,187
Banc of America Funding Corp.
4.114% due 05/25/2035		297,779		291,032
Banc of America Mortgage Securities
6.500% due 10/25/2031		11,490		11,651
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		66,129		64,994
4.750% due 10/25/2035		194,915		191,811
4.781% due 01/25/2034		19,947		19,729
5.056% due 04/25/2033		12,580		12,613
5.328% due 02/25/2033		3,613		3,602
5.451% due 04/25/2033		27,046		26,863
5.625% due 02/25/2033		2,457		2,449
6.259% due 11/25/2030		228		228
Bear Stearns Alt-A Trust
5.280% due 03/25/2035		40,911		40,870
5.390% due 05/25/2035		42,170		42,250
Citicorp Mortgage Securities, Inc.
5.375% due 12/25/2019		10		9
5.750% due 02/25/2033		137		136
Countrywide Alternative Loan Trust
5.530% due 02/20/2047		21,829		21,904
6.500% due 06/25/2033		6,706		6,701
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		36,232		36,083
5.500% due 01/25/2046 (c)		16,000		16,028
5.640% due 04/25/2035		7,334		7,362
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		19,013		18,882
5.601% due 03/25/2032		5,915		5,906
5.900% due 08/25/2033		173		174
6.067% due 06/25/2032		449		448
DLJ Acceptance Trust
11.000% due 08/01/2019		96		103
DLJ Commercial Mortgage Corp.
7.300% due 06/10/2032		195		203
Drexel Burnham Lambert CMO Trust
6.099% due 05/01/2016		4		4
First Horizon Alternative Mortgage Securities
4.752% due 06/25/2034		23,438		23,289
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		26,243		26,266
5.430% due 01/25/2047		23,200		23,198
GSR Mortgage Loan Trust
4.540% due 09/25/2035		112,936		111,007
4.549% due 09/25/2035		15,607		15,442
6.000% due 03/25/2032		1,557		1,536
Impac CMB Trust
5.850% due 04/25/2034		8,019		8,025
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		18,049		18,067
Imperial Savings Association
8.429% due 02/25/2018		70		69
Indymac Index Mortgage Loan Trust
5.440% due 11/25/2046		19,801		19,872
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		23,976		23,860
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		24,548		24,565
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		11,819		11,485
MASTR Asset Securitization Trust
5.500% due 09/25/2033		28,198		27,766
Mellon Residential Funding Corp.
5.830% due 06/15/2030		28,020		28,021
6.406% due 07/25/2029		976		977
Merrill Lynch Mortgage Investors, Inc.
4.489% due 02/25/2035		36,616		36,037
Nationslink Funding Corp.
5.700% due 11/10/2030		370		371
Prime Mortgage Trust
5.750% due 02/25/2019		1,983		1,987
5.750% due 02/25/2034		8,908		8,939
Prudential-Bache CMO Trust
8.400% due 03/20/2021		306		306
Resecuritization Mortgage Trust
5.600% due 04/26/2021		45		44
Residential Asset Mortgage Products, Inc.
5.000% due 09/25/2034		2,641		2,621
Salomon Brothers Mortgage Securities VII
8.000% due 09/25/2030		29		29
Sears Mortgage Securities
12.000% due 02/25/2014		10		10
Structured Asset Mortgage Investments, Inc.
5.630% due 02/25/2036		9,232		9,250
5.680% due 09/19/2032		11,067		11,085
9.527% due 06/25/2029		815		879
Structured Asset Securities Corp.
6.150% due 07/25/2032		698		703
7.213% due 01/25/2032		423		422
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		22,082		22,075
Vendee Mortgage Trust
6.500% due 05/15/2029		45,440		46,519
Washington Mutual MSC Mortgage Pass-Through Certificates
5.390% due 02/25/2033		384		383
6.944% due 02/25/2033		793		795
Washington Mutual, Inc.
4.816% due 10/25/2032		98		97
5.557% due 01/25/2047		13,000		13,020
5.568% due 12/25/2046		60,760		60,960
5.596% due 02/27/2034		14,628		14,669
5.640% due 10/25/2045		11,017		11,039
5.770% due 09/25/2046		22,379		22,519
6.027% due 11/25/2042		7,147		7,177
6.227% due 06/25/2042		13,088		13,104
6.227% due 08/25/2042		8,640		8,657
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		38,515		38,081
5.387% due 08/25/2035		9,949		9,830
Total Mortgage-Backed Securities (Cost $1,688,162)				1,674,309
ASSET-BACKED SECURITIES 6.7%
ACE Securities Corp.
5.370% due 12/25/2036		9,932		9,938
5.460% due 10/25/2035		36,630		36,658
Amortizing Residential Collateral Trust
5.640% due 07/25/2032		744		746
Argent Securities, Inc.
5.370% due 09/25/2036		13,122		13,131
5.470% due 10/25/2035		1,939		1,940
5.490% due 02/25/2036		10,493		10,500
Asset-Backed Funding Certificates
5.380% due 01/25/2037		18,874		18,886
Asset-Backed Securities Corp. Home Equity
5.870% due 06/15/2031		7		7
Bank One Issuance Trust
5.380% due 10/15/2009		10,000		10,007
Bear Stearns Asset-Backed Securities, Inc.
5.400% due 10/25/2036		11,335		11,335
5.550% due 09/25/2034		6,461		6,469
5.800% due 03/25/2043		6,928		6,946
Capital One Auto Finance Trust
5.340% due 12/14/2007		17,930		17,945
Chase Funding Mortgage Loan Asset-Backed Certificates
5.990% due 11/25/2031		3,503		3,506
CIT Group Home Equity Loan Trust
5.620% due 06/25/2033		2,469		2,477
Community Program Loan Trust
4.500% due 10/01/2018		5,449		5,365
Countrywide Asset-Backed Certificates
5.370% due 12/25/2046		13,581		13,589
5.370% due 03/25/2047		28,820		28,838
5.400% due 05/25/2037		17,846		17,840
5.450% due 01/25/2036		137		137
DaimlerChrysler Auto Trust
5.329% due 12/08/2007		15,600		15,615
Equity One Asset-Backed Securities, Inc.
5.630% due 11/25/2032		11,217		11,234
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		53,656		53,691
Fremont Home Loan Trust
5.410% due 01/25/2037		16,200		16,190
5.440% due 01/25/2036		2,669		2,671
GSAMP Trust
5.460% due 11/25/2035		7,565		7,571
HFC Home Equity Loan Asset-Backed Certificates
5.700% due 09/20/2033		10,464		10,505
Honda Auto Receivables Owner Trust
5.342% due 11/15/2007		83,264		83,308
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		13,706		13,680
Indymac Residential Asset-Backed Trust
5.410% due 04/25/2037		17,400		17,367
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		14,021		14,029
Lehman XS Trust
5.420% due 05/25/2046		12,623		12,628
Long Beach Mortgage Loan Trust
5.440% due 01/25/2036		15,012		15,024
5.470% due 09/25/2035		1,586		1,587
5.630% due 10/25/2034		5,962		5,969
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		12,631		12,627
5.370% due 10/25/2036		11,340		11,338
Nelnet Student Loan Trust
5.338% due 09/25/2012		17,500		17,500
5.407% due 01/25/2016		54		54
New Century Home Equity Loan Trust
5.460% due 09/25/2035		2,975		2,977
Quest Trust
5.430% due 12/25/2035		718		718
Renaissance Home Equity Loan Trust
5.700% due 08/25/2032		334		335
Residential Asset Securities Corp.
5.360% due 08/25/2036		19,410		19,424
5.420% due 11/25/2036		28,865		28,886
5.580% due 06/25/2031		6		6
SACO I, Inc.
5.460% due 09/25/2035		7,250		7,254
Soundview Home Equity Loan Trust
5.450% due 12/25/2035		5,646		5,650
5.460% due 11/25/2035		14,969		14,980
Structured Asset Securities Corp.
4.930% due 01/25/2035		870		851
5.370% due 10/25/2036		28,132		28,152
5.450% due 07/25/2035		8,674		8,681
5.610% due 01/25/2033		754		756
Wachovia Auto Owner Trust
4.820% due 02/20/2009		18,898		18,882
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		17,500		17,525
5.470% due 12/25/2035		30,945		30,969
WMC Mortgage Loan Pass-Through Certificates
6.030% due 05/15/2030		300		300
Total Asset-Backed Securities (Cost $724,629)				725,194
SOVEREIGN ISSUES 0.2%
Korea Development Bank
5.651% due 11/22/2012		2,200		2,207
Panama Government International Bond
9.375% due 07/23/2012		480		565
Russia Government International Bond
10.000% due 06/26/2007		19,800		20,269
Total Sovereign Issues (Cost $23,069)				23,041
FOREIGN CURRENCY-DENOMINATED ISSUES 0.0%
JSG Holding PLC
5.800% due 01/12/2014	EUR	434		576
5.971% due 11/29/2014		1,583		2,117
6.062% due 01/12/2014		651		864
6.157% due 01/12/2014		171		227
6.350% due 01/12/2014		319		424
6.686% due 01/12/2014		843		1,128
Total Foreign Currency-Denominated Issues (Cost $4,745)				5,336
		Shares
PREFERRED STOCKS 1.4%
DG Funding Trust
7.614% due 12/31/2049		10,229		107,788
Home Ownership Funding Corp.
13.331% due 12/31/2049		8,625		1,294
TECO Energy, Inc.
5.934% due 01/15/2007		1,600,000		40,575
Total Preferred Stocks (Cost $154,170)				149,657
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 29.7%
Certificates of Deposit 2.0%
Barclays Bank PLC
5.265% due 01/29/2007	$	125,400		125,399
Citibank New York N.A.
5.325% due 01/30/2007		80,000		80,000
Societe Generale NY
5.288% due 06/11/2007		17,300		17,300
				222,699
Commercial Paper 22.5%
Abbey National N.A. LLC
5.290% due 01/04/2007		300,000		299,956
ABN AMRO N.A. Finance
5.240% due 01/12/2007		33,100		33,057
ASB Finance Ltd.
5.250% due 02/15/2007		15,000		14,906
Bank of America Corp.
5.200% due 04/03/2007		50,000		49,309
5.235% due 03/09/2007		230,400		228,050
Bank of Ireland
5.250% due 02/02/2007		100,000		99,562
Barclays U.S. Funding Corp.
5.240% due 02/02/2007		62,000		61,729
5.250% due 02/20/2007		33,000		32,769
5.255% due 04/02/2007		28,000		27,617
Cox Communications, Inc.
5.449% due 01/16/2007		18,100		18,100
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		41,900		40,846
Danske Corp.
5.225% due 03/29/2007		4,800		4,737
Dexia Delaware LLC
5.240% due 01/17/2007		21,600		21,556
5.250% due 02/08/2007		200,000		198,950
HBOS Treasury Services PLC
5.240% due 01/30/2007		1,647		1,641
5.245% due 01/04/2007		5,900		5,899
5.250% due 02/12/2007		51,000		50,702
5.250% due 03/21/2007		4,500		4,446
5.255% due 03/21/2007		6,100		6,027
ING U.S. Funding LLC
5.240% due 01/26/2007		36,675		36,552
5.240% due 01/31/2007		36,400		36,252
Intesa Funding LLC
5.310% due 01/04/2007		150,000		149,978
Nordea N.A., Inc.
5.230% due 01/03/2007		4,100		4,100
5.240% due 02/02/2007		20,000		19,913
5.280% due 01/19/2007		2,600		2,594
Rabobank USA Financial Corp.
5.280% due 01/02/2007		179,200		179,200
San Paolo IMI U.S. Financial Co.
5.240% due 01/23/2007		12,247		12,211
Santander Hispano Finance Delaware
5.245% due 01/05/2007		2,200		2,199
5.270% due 02/08/2007		500		497
Skandinaviska Enskilda Banken AB
5.230% due 01/04/2007		8,500		8,499
5.260% due 01/08/2007		50,000		49,964
Societe Generale NY
5.270% due 02/09/2007		1,360		1,353
Spintab AB
5.240% due 01/29/2007		1,600		1,594
Stadshypoket Delaware, Inc.
5.245% due 02/21/2007		8,900		8,837
5.300% due 02/02/2007		500		498
Svenska Handelsbanken, Inc.
5.250% due 01/26/2007		18,500		18,438
Swedbank, Inc.
5.240% due 01/08/2007		1,400		1,399
5.260% due 01/31/2007		6,500		6,473
Time Warner, Inc.
5.360% due 04/12/2007		36,600		36,047
UBS Finance Delaware LLC
5.230% due 01/08/2007		2,600		2,598
5.230% due 03/07/2007		7,800		7,723
5.240% due 01/22/2007		264,649		263,917
5.240% due 01/26/2007		200		199
Unicredito Italiano SpA
5.250% due 01/05/2007		600		600
5.250% due 01/22/2007		40,000		39,889
5.250% due 01/25/2007		9,500		9,470
5.260% due 01/08/2007		125,800		125,708
Viacom, Inc.
5.590% due 05/29/2007		22,900		22,900
5.600% due 03/22/2007		8,200		8,200
Westpac Capital Corp.
5.240% due 01/16/2007		150,000		149,716
5.245% due 02/08/2007		31,200		31,036
Westpac Trust Securities NZ Ltd.
5.245% due 01/18/2007		3,800		3,792
				2,442,205
Repurchase Agreements 4.3%
Credit Suisse Securities (USA) LLC
4.800% due 01/02/2007		463,000		463,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 3.375% - 4.875% due 05/15/2008 - 02/15/2012 valued at $476,121. Repurchase proceeds are $463,247.)
Tri-Party Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 01/02/2007		24,839		24,839
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $25,338. Repurchase proceeds are $24,853.)
U.S. Treasury Bills 0.7%
4.803% due 03/01/2007 - 03/15/2007 (d)(e)(g)		73,573		72,760
Total Short-Term Instruments (Cost $3,225,876)				3,225,503
Purchased Options (i) 0.1% (Cost $19,195)				15,321
Total Investments (f) 101.3% (Cost $11,054,717)			$	11,006,212
Written Options (j) (0.2%) (Premiums $19,266)				(20,856	)
Other Assets and Liabilities (Net) (1.1%)				(116,456	)
Net Assets 100.0%			$	10,868,900

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

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

(a) Security is in default.

(b) Interest only security.

(c) When-issued security.

(d) Coupon represents a weighted average rate.

(e) Securities with an aggregate market value of $9,644 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(f) As of December 31, 2006, portfolio securities with an aggregate value of $316,019 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Securities with an aggregate market value of $62,128 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	717	$	(782	)
90-Day Euribor June Futures	Long	06/2007	1,444		(995	)
90-Day Euribor September Futures	Long	09/2007	1,590		(1,471	)
90-Day Eurodollar December Futures	Long	12/2007	36,270		(10,152	)
90-Day Eurodollar June Futures	Long	06/2007	18,138		(20,405	)
90-Day Eurodollar March Futures	Long	03/2007	6,948		(9,524	)
90-Day Eurodollar March Futures	Long	03/2008	5,815		(3,421	)
90-Day Eurodollar September Futures	Long	09/2007	26,296		(16,758	)
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	333		(221	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	333		39
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	630		(314	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2007	422		(249	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	900		(449	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	5,855		10,930
				$	(53,772	)

(h) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	SOFTBANK Corp. 1.75% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	869,000	$	57
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008	$	8,000		(8	)
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	6/20/2007		8,900		195
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	6/20/2007		8,000		177
Goldman Sachs & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.640	%	3/20/2007		25,000		75
Goldman Sachs & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.700	%	3/20/2007		9,500		31
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	6/20/2007		5,000		109
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		4,000		57
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.680	%	6/20/2007		3,200		38
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	4.480	%	6/20/2007		12,000		219
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.000	%	3/20/2007		300		2
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.625	%	3/20/2007		50,000		145
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.690	%	3/20/2007		40,300		131
Lehman Brothers, Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.630	%	3/20/2007		25,000		73
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	6/20/2007		1,500		34
Lehman Brothers, Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	7.200	%	6/20/2008		2,000		168
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		7,200		1
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	12/20/2008		6,000		(7	)
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011		4,900		29
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.400	%	6/20/2007		5,000		77
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.570	%	7/20/2007		24,400		103
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		4,200		60
Morgan Stanley	General Motors Corp. 7.125% due 07/15/2013	Sell	7.570	%	6/20/2008		5,000		446
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.305	%	12/20/2008		6,000		1
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011		38,400		239
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.310	%	12/20/2011		4,900		34
UBS AG	Ford Motor Corp. 7.450% due 07/16/2031	Sell	5.750	%	3/20/2007		20,000		302
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.350	%	6/20/2007		1,500		23
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	6/20/2007		5,000		109
Wachovia Bank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.410	%	6/20/2007		5,000		78
								$	2,998

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	30,300	$	(81	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010	BRL	19,300		84
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	1/4/2010		21,200		49
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010	EUR	23,900		383
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		9,100		176
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007	GBP	181,700		(2,500	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		55,700		(1,030	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	9/20/2009		98,400		(3,340	)
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016	MXN	48,800		170
								$	(6,089	)

(i) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar June Futures	$	91.250	6/18/2007	11,632	$	110	$	0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	26,527		252		0
Put - CME 90-Day Eurodollar March Futures		92.250	3/19/2007	2,693		26		0
Put - CME 90-Day Eurodollar September Futures		90.750	9/17/2007	650		6		0
					$	394	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007		EUR 96,000	$	442	$	156
Call - OTC 2-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		GBP 45,000		208		38
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		29,500		168		25
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	647,000		2,394		1,932
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		365,000		1,460		515
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		184,000		861		260
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		469,200		1,578		1,405
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		648,200		2,826		3,017
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		566,000		2,490		3,321
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		347,200		1,437		707
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		530,000		1,378		522
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		528,000		2,809		3,352
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.170	%	2/1/2007		291,300		750		536
									$	18,801	$	15,786

Straddle Options

Description	Counterparty		Exercise Price	(2)	Expiration Date		Notional Amount		Cost	(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Bank of America	$	0.000		1/17/2007	$	34,000	$	0		$	(465	)

⁽²⁾ Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(j) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Put - CME 90-Day Eurodollar March Futures	$	94.750	3/19/2007	400	$	219	$	100

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007	EUR	37,000	$	443	$	287
Call - OTC 8-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	12,900		209		62
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		8,400		168		40
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	281,000		2,304		2,285
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		157,000		1,515		723
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		79,000		879		364
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		204,000		1,612		2,205
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		283,600		2,925		4,056
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		246,000		2,502		3,931
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		118,200		1,277		848
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		152,600		1,595		1,241
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		230,000		2,843		4,045
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.240	%	2/1/2007		126,100		775		1,041
									$	19,047	$	21,128

Straddle Options

Description	Counterparty		Exercise Price	(3)	Expiration Date		Notional Amount		Premium	(3)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.	$	0.000		1/17/2007	$	34,000	$	0		$	(372	)

⁽³⁾ Exercise price and final premium determined on a future date, based upon implied volatility parameters.

(k) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	212	01/2007	$	1	$	0		$	1
Buy	BRL	25,986	01/2007		90		0			90
Sell		21,841	01/2007		0		(92	)		(92	)
Buy		45,318	05/2007		189		0			189
Buy		49,868	06/2007		362		0			362
Buy	CAD	39,258	01/2007		0		(1,064	)		(1,064	)
Sell		36,968	01/2007		830		0			830
Buy	CLP	2,725,640	05/2007		0		(61	)		(61	)
Buy		18,230	06/2007		0		0			0
Buy	CNY	101,102	03/2007		25		0			25
Buy		10,373	09/2007		31		0			31
Buy		107,816	11/2007		175		0			175
Buy	EUR	377,180	01/2007		4,176		0			4,176
Sell		349,258	01/2007		349		(3,137	)		(2,788	)
Sell	GBP	2,842	01/2007		8		(25	)		(17	)
Buy	INR	154,626	03/2007		126		0			126
Sell	JPY	22,621,075	01/2007		1,414		(28	)		1,386
Buy		25,296,886	02/2007		0		(2,853	)		(2,853	)
Sell		1,916,626	02/2007		191		0			191
Buy	KRW	4,329,910	02/2007		134		0			134
Buy		6,301,067	03/2007		9		(12	)		(3	)
Buy		16,432,682	05/2007		171		0			171
Buy	MXN	38,210	01/2007		89		0			89
Buy		52,980	04/2007		32		(3	)		29
Buy	PHP	292,587	03/2007		0		(33	)		(33	)
Buy	PLN	13,603	04/2007		155		0			155
Buy	RUB	87,616	01/2007		41		0			41
Buy		400,569	03/2007		166		0			166
Buy		256,662	11/2007		0		(5	)		(5	)
Buy		560,992	12/2007		0		(41	)		(41	)
Buy	SGD	8,910	01/2007		75		0			75
Buy		5,850	03/2007		106		0			106
Buy		18,011	07/2007		14		0			14
Buy	TWD	180,072	02/2007		20		(49	)		(29	)
Buy	ZAR	1,509	06/2007		1		0			1
				$	8,980	$	(7,403	)	$	1,577

See accompanying notes

Schedule of Investments

Low Duration Fund II

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 15.4%
Banking & Finance 12.5%
Allstate Life Global Funding Trusts
5.406% due 03/23/2009	$	300	$	300
American Express Centurion Bank
5.350% due 05/07/2008		700		700
American Express Credit Corp.
5.410% due 11/09/2009		1,000		1,001
American General Finance Corp.
5.406% due 03/23/2007		300		300
Bank of America Corp.
5.378% due 11/06/2009		400		400
Bank of America N.A.
5.377% due 07/25/2008		1,400		1,401
Bear Stearns Cos., Inc.
5.465% due 08/21/2009		500		501
CIT Group, Inc.
5.515% due 12/19/2008		500		501
5.526% due 01/30/2009		2,900		2,909
Citigroup Funding, Inc.
5.342% due 12/08/2008		600		600
Citigroup, Inc.
5.392% due 12/28/2009		500		500
5.406% due 12/26/2008		1,400		1,402
General Electric Capital Corp.
5.410% due 10/26/2009		1,500		1,501
5.444% due 01/20/2010		1,400		1,403
Goldman Sachs Group, Inc.
5.476% due 07/29/2008		900		902
5.704% due 07/23/2009		3,700		3,726
HSBC Finance Corp.
5.490% due 09/15/2008		3,500		3,511
Lehman Brothers Holdings, Inc.
5.464% due 10/22/2008		5,800		5,810
Merrill Lynch & Co., Inc.
5.395% due 12/22/2008		1,500		1,500
5.414% due 10/23/2008		900		901
5.450% due 12/04/2009		800		801
5.464% due 08/14/2009		200		200
Morgan Stanley
5.390% due 11/21/2008		500		500
5.485% due 02/09/2009		700		702
Pricoa Global Funding I
5.430% due 07/27/2009		2,500		2,503
Santander U.S. Debt S.A. Unipersonal
5.375% due 09/21/2007		3,000		3,003
Wachovia Corp.
5.426% due 10/28/2008		900		902
5.506% due 10/15/2011		2,700		2,705
				41,085
Industrials 1.9%
Altria Group, Inc.
7.650% due 07/01/2008		4,500		4,641
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		1,500		1,500
				6,141
Utilities 1.0%
AT&T, Inc.
4.214% due 06/05/2021		1,100		1,097
5.464% due 05/15/2008		2,200		2,202
				3,299
Total Corporate Bonds & Notes (Cost $50,509)				50,525
U.S. GOVERNMENT AGENCIES 31.7%
Fannie Mae
4.666% due 07/01/2035		786		780
4.693% due 01/01/2035		870		861
4.891% due 12/01/2034		4,141		4,142
4.996% due 06/01/2035		4,388		4,393
5.000% due 11/01/2017 - 10/01/2021		55,101		54,242
5.500% due 02/01/2009 - 01/01/2037		9,527		9,468
5.527% due 09/01/2028		288		290
5.800% due 10/25/2030		236		238
5.958% due 07/01/2042		965		974
6.000% due 03/01/2016 - 01/01/2037		5,015		5,082
6.008% due 09/01/2041		1,327		1,342
6.158% due 08/01/2030 - 10/01/2030		680		692
6.500% due 09/01/2012 - 12/25/2042		454		462
8.000% due 11/25/2023		272		287
9.250% due 10/25/2018		8		9
10.500% due 05/01/2012		107		117
Federal Home Loan Bank
0.000% due 02/05/2007		500		491
Federal Housing Administration
7.430% due 07/01/2024		968		975
Freddie Mac
4.916% due 07/01/2035		1,103		1,094
5.000% due 11/01/2018 - 07/15/2024		3,875		3,846
5.500% due 06/12/2008		4,000		4,000
5.700% due 12/15/2030		807		809
5.750% due 06/15/2018		244		244
5.958% due 02/25/2045		1,632		1,630
6.000% due 02/01/2016 - 01/01/2037		1,420		1,434
6.500% due 07/25/2043		2,113		2,158
7.215% due 07/01/2023		90		92
8.500% due 06/01/2009 - 06/01/2025		19		20
Government National Mortgage Association
5.125% due 10/20/2025		578		586
5.375% due 04/20/2022 - 05/20/2027		1,246		1,257
5.500% due 07/20/2030		484		485
5.750% due 07/20/2023 - 07/20/2025		706		715
5.850% due 09/20/2030		72		72
7.000% due 11/15/2022		168		174
7.500% due 02/15/2022 - 03/15/2024		307		320
7.750% due 01/17/2030		36		36
8.000% due 03/15/2023 - 05/15/2024		87		92
9.000% due 07/20/2016 - 09/15/2030		160		172
Total U.S. Government Agencies (Cost $104,640)				104,081
MORTGAGE-BACKED SECURITIES 17.0%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		2,823		2,774
4.390% due 02/25/2045		878		863
Banc of America Funding Corp.
4.114% due 05/25/2035		13,424		13,119
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		4,553		4,505
4.781% due 01/25/2034		737		729
5.328% due 02/25/2033		203		203
5.451% due 04/25/2033		1,295		1,286
5.625% due 02/25/2033		129		129
Bear Stearns Alt-A Trust
5.390% due 05/25/2035		1,716		1,719
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		1,058		1,060
Countrywide Alternative Loan Trust
5.510% due 02/25/2047		1,788		1,791
6.500% due 06/25/2033		279		278
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		1,538		1,531
CS First Boston Mortgage Securities Corp.
5.601% due 03/25/2032		357		356
5.900% due 08/25/2033		356		357
6.067% due 06/25/2032		19		19
First Horizon Alternative Mortgage Securities
4.752% due 06/25/2034		1,006		1,000
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		894		895
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		2,985		2,988
GSR Mortgage Loan Trust
3.393% due 06/25/2034		2,860		2,853
4.540% due 09/25/2035		4,961		4,876
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		684		685
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		1,071		1,066
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		837		837
Merrill Lynch Mortgage Investors, Inc.
4.489% due 02/25/2035		1,640		1,614
Nationslink Funding Corp.
5.700% due 11/10/2030		115		115
Prime Mortgage Trust
5.750% due 02/25/2019		93		94
5.750% due 02/25/2034		452		453
Salomon Brothers Mortgage Securities VII
7.115% due 11/25/2022		15		15
Structured Asset Mortgage Investments, Inc.
5.680% due 09/19/2032		613		614
9.527% due 06/25/2029		505		546
Structured Asset Securities Corp.
6.150% due 07/25/2032		39		39
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		694		694

Washington Mutual, Inc.
4.816% due 10/25/2032		979		974
5.557% due 01/25/2047		400		401
5.590% due 12/25/2045		707		710
5.596% due 02/27/2034		1,178		1,181
5.640% due 10/25/2045		448		449
6.027% due 11/25/2042		219		220
6.227% due 06/25/2042		530		531
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		1,457		1,440
Total Mortgage-Backed Securities (Cost $56,385)				56,009
ASSET-BACKED SECURITIES 11.3%
ACE Securities Corp.
5.460% due 10/25/2035		1,579		1,580
Amortizing Residential Collateral Trust
5.640% due 07/25/2032		43		43
Argent Securities, Inc.
5.470% due 10/25/2035		84		84
5.490% due 02/25/2036		46		46
Asset-Backed Funding Certificates
5.380% due 01/25/2037		688		688
Asset-Backed Securities Corp. Home Equity
5.625% due 09/25/2034		557		557
7.000% due 03/15/2032		885		887
Bank One Issuance Trust
5.380% due 10/15/2009		300		300
Bear Stearns Asset-Backed Securities, Inc.
5.550% due 09/25/2034		298		299
Capital One Auto Finance Trust
5.340% due 12/14/2007		600		600
Carrington Mortgage Loan Trust
5.400% due 01/25/2037		1,700		1,702
Chase Credit Card Master Trust
5.450% due 06/15/2009		2,000		2,002
5.450% due 10/15/2009		3,090		3,094
Chase Issuance Trust
5.360% due 02/15/2011		1,700		1,702
Chase Manhattan Auto Owner Trust
4.770% due 03/15/2008		1,154		1,155
CIT Group Home Equity Loan Trust
5.620% due 06/25/2033		141		142
Countrywide Asset-Backed Certificates
5.370% due 12/26/2036		3,400		3,404
5.400% due 05/25/2037		1,781		1,780
5.830% due 12/25/2031		276		276
Credit-Based Asset Servicing & Securitization LLC
5.410% due 11/25/2036		687		687
DaimlerChrysler Auto Trust
5.329% due 12/08/2007		500		500
FBR Securitization Trust
5.460% due 10/25/2035		308		308
Fremont Home Loan Trust
5.410% due 01/25/2037		600		600
5.440% due 01/25/2036		115		115
GSAMP Trust
5.460% due 11/25/2035		323		323
GSR Mortgage Loan Trust
5.450% due 11/25/2030		420		420
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		800		801
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		394		394
Indymac Residential Asset-Backed Trust
5.410% due 04/25/2037		600		599
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		435		436
Lehman XS Trust
5.420% due 05/25/2046		430		430
Long Beach Mortgage Loan Trust
5.630% due 10/25/2034		188		188
MASTR Asset-Backed Securities Trust
5.410% due 11/25/2036		800		801
MBNA Credit Card Master Note Trust
5.460% due 08/17/2009		3,330		3,333
Nelnet Student Loan Trust
5.338% due 09/25/2012		600		600
New Century Home Equity Loan Trust
5.460% due 09/25/2035		131		131
Park Place Securities, Inc.
5.662% due 10/25/2034		2,439		2,442
Quest Trust
5.430% due 12/25/2035		37		37
SACO I, Inc.
5.460% due 09/25/2035		394		394
Soundview Home Equity Loan Trust
5.450% due 12/25/2035		269		269
5.460% due 11/25/2035		643		644
Structured Asset Securities Corp.
5.610% due 01/25/2033		47		47
Wachovia Auto Owner Trust
4.820% due 02/20/2009		852		851
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		600		601
5.470% due 12/25/2035		1,021		1,022
Total Asset-Backed Securities (Cost $37,294)				37,314
		Shares
PREFERRED STOCKS 1.6%
DG Funding Trust
7.614% due 12/31/2049		510		5,374
Total Preferred Stocks (Cost $5,100)				5,374
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 24.4%
Certificates of Deposit 2.4%
Citibank New York N.A.
5.325% due 01/30/2007	$	8,000		8,000
Commercial Paper 16.1%
Bank of America Corp.
5.235% due 03/09/2007		5,000		4,949
5.245% due 01/17/2007		8,300		8,283
Federal Home Loan Bank
4.800% due 01/02/2007		3,100		3,100
Freddie Mac
5.140% due 01/26/2007		35,200		35,084
General Electric Capital Corp.
5.240% due 02/09/2007		1,400		1,392
				52,808
Repurchase Agreements 5.2%
Lehman Brothers, Inc.
4.850% due 01/02/2007		12,000		12,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 4.500% due 02/28/2011 valued at $12,273. Repurchase proceeds are $12,006.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		5,154		5,154
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $5,258. Repurchase proceeds are $5,157.)
				17,154
U.S. Treasury Bills 0.7%
4.802% due 03/15/2007 (a)(c)		2,386		2,360
Total Short-Term Instruments (Cost $80,330)				80,322
Purchased Options (e) 0.2% (Cost $639)				527
Total Investments (b) 101.6% (Cost $334,897)			$	334,152
Written Options (f) (0.2%) (Premiums $624)				(698	)
Other Assets and Liabilities (Net) (1.4%)				(4,719	)
Net Assets 100.0%			$	328,735

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

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

(a) Coupon represents a weighted average rate.

(b) As of December 31, 2006, portfolio securities with an aggregate value of $10,206 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $2,360 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	1,123	$	(314	)
90-Day Eurodollar June Futures	Long	06/2007	681		(784	)
90-Day Eurodollar March Futures	Long	03/2008	335		(189	)
90-Day Eurodollar September Futures	Long	09/2007	734		(482	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	284		552
				$	(1,217	)

(d) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	6/20/2007	$	1,900	$	42

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

(e) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar June Futures	$	91.250	6/18/2007	707	$	7	$	0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	348		3		0
Put - CME 90-Day Eurodollar March Futures		92.500	3/19/2007	60		0		0
Put - CME 90-Day Eurodollar September Futures		91.000	9/17/2007	186		2		0
					$	12	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	21,000	$	78	$	63
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		14,000		56		20
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		7,000		33		10
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		18,400		62		55
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		21,500		94		100
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		18,000		79		105
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		14,000		58		28
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		20,000		52		20
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		17,000		90		108
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.170	%	2/1/2007		9,700		25		18
									$	627	$	527

(f) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	9,000	$	74	$	73
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		6,000		58		28
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		3,000		33		14
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		8,000		63		86
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		9,400		97		134
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		8,000		81		128
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		3,900		42		28
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		6,000		63		49
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		7,000		87		123
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.240	%	2/1/2007		4,200		26		35
									$	624	$	698

See accompanying notes

Schedule of Investments

Low Duration Fund III

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 17.8%
Banking & Finance 16.6%
American Express Credit Corp.
5.370% due 12/12/2007	$	200	$	200
American General Finance Corp.
5.406% due 03/23/2007		100		100
ANZ National International Ltd.
5.415% due 08/07/2009		300		300
Bank of America Corp.
5.375% due 06/19/2009		600		601
Bank of America N.A.
5.361% due 12/18/2008		500		500
5.377% due 07/25/2008		500		501
Bear Stearns Cos., Inc.
5.526% due 04/29/2008		900		903
Calabash Re II Ltd. (a)
13.746% due 01/08/2010		300		300
14.946% due 01/08/2010		250		250
16.246% due 01/08/2010		300		300
CIT Group, Inc.
5.524% due 08/15/2008		500		501
5.656% due 07/28/2011		300		301
5.660% due 11/03/2010		400		402
Citigroup Global Markets Holdings, Inc.
5.390% due 03/07/2008		500		501
Citigroup, Inc.
4.200% due 12/20/2007		400		396
5.406% due 12/26/2008		300		300
Ford Motor Credit Co.
6.315% due 03/21/2007		100		100
7.200% due 06/15/2007		100		100
7.750% due 02/15/2007		100		100
General Electric Capital Corp.
5.425% due 05/19/2008		3,000		3,005
Goldman Sachs Group, Inc.
5.455% due 12/22/2008		300		301
5.464% due 11/10/2008		100		100
5.495% due 10/05/2007		200		200
5.704% due 07/23/2009		600		604
HSBC Finance Corp.
5.410% due 02/28/2007		800		800
5.490% due 09/15/2008		100		100
5.506% due 12/05/2008		200		201
Lehman Brothers Holdings, Inc.
5.460% due 04/03/2009		200		200
5.475% due 08/21/2009		400		401
5.475% due 11/16/2009		300		300
5.576% due 12/23/2010		200		201
Merrill Lynch & Co., Inc.
5.450% due 12/04/2009		300		300
5.464% due 08/14/2009		200		200
5.466% due 01/30/2009		300		301
5.577% due 07/25/2011		300		301
Morgan Stanley
5.485% due 02/09/2009		300		301
5.624% due 01/18/2011		400		402
Mystic Re Ltd.
11.670% due 12/05/2008		300		300
Royal Bank of Scotland Group PLC
5.365% due 12/21/2007		300		300
Santander U.S. Debt S.A. Unipersonal
5.375% due 09/21/2007		400		400
5.425% due 09/19/2008		900		902
SLM Corp.
5.517% due 07/27/2009		200		200
Wachovia Corp.
5.426% due 10/28/2008		100		100
Wells Fargo & Co.
5.393% due 03/10/2008		1,100		1,101
Westpac Banking Corp.
5.310% due 06/06/2008		100		100
				18,277
Industrials 1.0%
DaimlerChrysler N.A. Holding Corp.
5.820% due 08/03/2009		300		301
FedEx Corp.
5.455% due 08/08/2007		300		300
Oracle Corp.
5.603% due 01/13/2009		300		301
Transocean, Inc.
5.566% due 09/05/2008		200		200
				1,102
Utilities 0.2%
Entergy Mississippi, Inc.
4.350% due 04/01/2008		200		200
Total Corporate Bonds & Notes (Cost $19,551)				19,579
U.S. GOVERNMENT AGENCIES 33.1%
Fannie Mae
4.349% due 03/01/2035		58		58
4.351% due 11/01/2034		180		178
4.474% due 05/01/2035		177		176
4.500% due 08/01/2035		716		707
4.559% due 11/01/2035		314		313
4.666% due 07/01/2035		143		142
5.000% due 03/25/2017 - 07/01/2021		19,982		19,653
5.450% due 01/25/2021		1,781		1,778
5.500% due 02/01/2009 - 06/01/2035		6,570		6,504
5.565% due 08/01/2029		326		328
5.700% due 09/25/2042		346		348
5.750% due 05/25/2031		277		278
5.865% due 02/01/2031		88		89
5.958% due 07/01/2042		177		179
6.000% due 03/01/2017 - 11/01/2017		576		585
6.008% due 09/01/2041		241		244
6.158% due 09/01/2040		85		87
6.500% due 12/25/2042		25		26
6.722% due 11/01/2035		127		130
Freddie Mac
4.713% due 08/01/2035		758		755
4.714% due 06/01/2035		716		707
4.916% due 07/01/2035		236		234
5.000% due 04/15/2012 - 07/15/2024		807		802
5.700% due 12/15/2030		108		108
5.750% due 06/15/2018		70		70
5.800% due 11/15/2030		17		17
5.958% due 02/25/2045		234		233
6.000% due 03/01/2016 - 01/01/2037		1,120		1,130
6.500% due 07/25/2043		259		265
Government National Mortgage Association
4.000% due 07/16/2027		37		36
5.000% due 02/20/2032		101		101
5.375% due 06/20/2027 - 05/20/2030		172		173
8.500% due 10/20/2026		19		20
Total U.S. Government Agencies (Cost $36,425)				36,454
U.S. TREASURY OBLIGATIONS 0.1%
Treasury Inflation Protected Securities (c)
3.375% due 01/15/2007 (e)		127		127
Total U.S. Treasury Obligations (Cost $127)				127
MORTGAGE-BACKED SECURITIES 12.1%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		509		500
4.390% due 02/25/2045		110		108
Banc of America Funding Corp.
4.114% due 05/25/2035		2,542		2,484
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		683		676
4.781% due 01/25/2034		113		112
5.328% due 02/25/2033		20		20
5.451% due 04/25/2033		159		158
5.625% due 02/25/2033		13		13
Bear Stearns Alt-A Trust
5.390% due 05/25/2035		306		307
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		90		89
4.900% due 12/25/2035		164		163
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		827		818
5.630% due 02/25/2037		1,065		1,066
6.500% due 06/25/2033		32		32
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		243		242
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		174		173
6.067% due 06/25/2032		2		2
GMAC Mortgage Corp. Loan Trust
5.008% due 11/19/2035		151		151
Greenpoint Mortgage Funding Trust
5.430% due 01/25/2047		200		200
GSR Mortgage Loan Trust
3.393% due 06/25/2034		406		405
4.540% due 09/25/2035		744		731
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		247		246
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		279		279
Mellon Residential Funding Corp.
5.790% due 12/15/2030		865		868
Morgan Stanley Capital I
5.440% due 07/15/2019		320		320
Prime Mortgage Trust
5.750% due 02/25/2019		23		23
5.750% due 02/25/2034		50		50
Structured Adjustable Rate Mortgage Loan Trust
4.580% due 02/25/2034		327		326
5.343% due 08/25/2034		405		404
6.227% due 01/25/2035		302		305
Structured Asset Mortgage Investments, Inc.
5.630% due 02/25/2036		88		88
Structured Asset Securities Corp.
7.213% due 01/25/2032		12		12
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		198		198
Washington Mutual MSC Mortgage Pass-Through Certificates
5.390% due 02/25/2033		69		69
Washington Mutual, Inc.
5.557% due 01/25/2047		100		100
5.590% due 12/25/2045		129		129
5.640% due 10/25/2045		64		64
5.745% due 11/25/2034		460		462
5.770% due 09/25/2046		198		199
5.954% due 05/25/2041		83		84
6.227% due 06/25/2042		254		255
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		364		360
Total Mortgage-Backed Securities (Cost $13,347)				13,291
ASSET-BACKED SECURITIES 6.5%
Accredited Mortgage Loan Trust
5.390% due 09/25/2036		878		879
ACE Securities Corp.
5.460% due 10/25/2035		222		222
Argent Securities, Inc.
5.470% due 10/25/2035		11		11
5.490% due 02/25/2036		69		69
Asset-Backed Funding Certificates
5.380% due 01/25/2037		197		197
Chase Manhattan Auto Owner Trust
4.770% due 03/15/2008		166		166
Citigroup Mortgage Loan Trust, Inc.
5.390% due 08/25/2036		245		245
Countrywide Asset-Backed Certificates
5.400% due 01/25/2037		485		485
5.400% due 05/25/2037		1,088		1,088
5.520% due 11/25/2035		65		65
5.830% due 12/25/2031		46		46
FBR Securitization Trust
5.460% due 10/25/2035		42		42
Ford Credit Auto Owner Trust
4.240% due 03/15/2008		48		48
Fremont Home Loan Trust
5.440% due 01/25/2036		26		26
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		176		176
GSAMP Trust
5.460% due 11/25/2035		54		54
5.470% due 12/25/2035		281		281
5.640% due 03/25/2034		134		134
GSR Mortgage Loan Trust
5.450% due 11/25/2030		114		115
Home Equity Mortgage Trust
5.460% due 02/25/2036		47		47
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		99		98
Indymac Residential Asset-Backed Trust
5.450% due 03/25/2036		81		81
Long Beach Mortgage Loan Trust
5.440% due 01/25/2036		139		140
5.630% due 10/25/2034		63		63
Park Place Securities, Inc.
5.510% due 09/25/2035		232		232
Quest Trust
5.430% due 12/25/2035		6		6
Residential Asset Securities Corp.
5.360% due 08/25/2036		169		169
Residential Funding Mortgage Securities II, Inc.
5.490% due 09/25/2035		86		86
SACO I, Inc.
5.460% due 09/25/2035		63		63
SLM Student Loan Trust
5.387% due 01/26/2015		112		112
Soundview Home Equity Loan Trust
5.410% due 01/25/2037		1,100		1,101
5.450% due 12/25/2035		34		34
Structured Asset Securities Corp.
5.480% due 12/25/2035		230		231
Truman Capital Mortgage Loan Trust
5.690% due 01/25/2034		86		86
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		200		200
Total Asset-Backed Securities (Cost $7,094)				7,098
		Shares
Preferred Stocks 0.6%
DG Funding Trust
7.614% due 12/31/2049		65		685
Total Preferred Stocks (Cost $687)				685
SHORT-TERM INSTRUMENTS 30.5%
Certificates of Deposit 2.8%
Barclays Bank PLC
4.530% due 01/29/2007		1,000		1,000
BNP Paribas Finance
5.262% due 05/28/2008		200		200
Nordea Bank Finland
5.308% due 05/28/2008		200		200
Unicredito Italiano NY
5.360% due 05/06/2008		1,100		1,100
5.370% due 05/29/2008		200		200
Wachovia Bank N.A.
5.406% due 03/23/2009		400		400
				3,100
Commercial Paper 21.5%
Calyon N.A. LLC
5.240% due 02/08/2007		3,000		2,984
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		700		682
Danske Corp.
5.255% due 01/18/2007		1,300		1,297
HBOS Treasury Services PLC
5.250% due 02/07/2007		2,800		2,786
ING U.S. Funding LLC
5.240% due 01/29/2007		500		498
IXIS Commercial Paper Corp.
5.245% due 01/26/2007		1,500		1,495
San Paolo IMI U.S. Financial Co.
5.290% due 01/02/2007		600		600
Societe Generale NY
5.230% due 02/09/2007		2,300		2,288
Svenska Handelsbanken, Inc.
5.235% due 03/05/2007		700		693
Swedbank, Inc.
5.240% due 02/21/2007		1,500		1,489
Time Warner, Inc.
5.360% due 04/12/2007		500		493
UBS Finance Delaware LLC
5.225% due 03/08/2007		5,100		5,049
Westpac Capital Corp.
5.215% due 02/05/2007		3,300		3,284
				23,638
Repurchase Agreements 5.7%
Lehman Brothers, Inc.
4.850% due 01/02/2007		5,000		5,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 1.625% due 01/15/2015 valued at $5,114. Repurchase proceeds are $5,003.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		1,244		1,244
(Dated 12/29/2006. Collateralized by Fannie Mae 5.750% due 02/15/2008 valued at $1,269. Repurchase proceeds are $1,245.)
				6,244
U.S. Treasury Bills 0.5%
4.801% due 03/01/2007 - 03/15/2007 (b)(e)		579		573
Total Short-Term Instruments (Cost $33,560)				33,555
Purchased Options (g) 0.1% (Cost $180)				145
Total Investments (d) 100.8% (Cost $110,971)			$	110,934
Written Options (h) (0.2%) (Premiums $173)				(191	)
Other Assets and Liabilities (Net) (0.6%)				(722	)
Net Assets 100.0%			$	110,021

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

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

(d) As of December 31, 2006, portfolio securities with an aggregate value of $3,256 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $700 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	16	$	(17	)
90-Day Euribor June Futures	Long	06/2007	39		(28	)
90-Day Euribor September Futures	Long	09/2007	34		(32	)
90-Day Eurodollar December Futures	Long	12/2007	427		(72	)
90-Day Eurodollar June Futures	Long	06/2007	155		(169	)
90-Day Eurodollar March Futures	Long	03/2008	95		(46	)
90-Day Eurodollar September Futures	Long	09/2007	307		(131	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	3		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	3		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	6		(3	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2007	4		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	9		(4	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	119		194
				$	(312	)

(f) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	8,000	$	1
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	6/20/2007	$	200		4
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.690	%	3/20/2007		400		1
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		100		0
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		100		0
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		900		8
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.460	%	6/20/2007		100		0
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011		400		3
								$	17

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount	Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	300	$	(1	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010	BRL	200		1
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	1/4/2010		200		0
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007	GBP	300		(4	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	9/20/2009		800		(27	)
								$	(31	)

(g) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CME 90-Day Eurodollar June Futures	$	91.250	6/18/2007	216	$	2	$	0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	167		2		0
Put - CME 90-Day Eurodollar September Futures		90.250	9/17/2007	49		0		0
					$	4	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Credit Suisse First Boston	3-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		GBP 400	$	2	$	0
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		300		2		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	6,000		22		18
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		5,000		20		7
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		2,000		9		3
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		2,300		8		7
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		5,900		26		28
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		5,000		22		29
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		10,000		26		10
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		6,000		32		38
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.170	%	2/1/2007		2,800		7		5
									$	176	$	145

(h) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Put - CME 90-Day Eurodollar March Futures	$	94.750	3/19/2007	4	$	2	$	1

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 8-Year Interest Rate Swap	Credit Suisse First Boston	3-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		GBP 100	$	2	$	0
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		100		2		0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	3,000		25		24
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		2,000		19		9
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		1,000		11		5
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		1,000		8		11
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		2,600		27		37
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		2,000		20		32
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		1,200		13		9
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		3,000		37		53
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.240	%	2/1/2007		1,200		7		10
									$	171	$	190

(i) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	186	01/2007	$	1	$	0		$	1
Sell		107	01/2007		0		0			0
Buy		391	05/2007		1		0			1
Buy		245	06/2007		2		0			2
Buy	CAD	391	01/2007		0		(11	)		(11	)
Sell		370	01/2007		8		0			8
Buy	CLP	35,403	05/2007		0		(1	)		(1	)
Buy	CNY	1,137	03/2007		0		0			0
Buy		192	09/2007		1		0			1
Buy		4,195	10/2007		11		0			11
Buy		554	11/2007		1		0			1
Buy	EUR	320	01/2007		3		0			3
Sell		467	01/2007		7		0			7
Sell	GBP	11	01/2007		0		0			0
Buy	INR	229	02/2007		0		0			0
Buy		1,457	03/2007		1		0			1
Sell	JPY	102,447	01/2007		3		0			3
Buy		124,233	02/2007		0		(14	)		(14	)
Sell		9,382	02/2007		1		0			1
Buy	KRW	520,905	01/2007		11		0			11
Buy		64,939	02/2007		2		0			2
Buy		51,414	03/2007		1		0			1
Buy		167,160	05/2007		2		0			2
Buy	MXN	563	01/2007		1		0			1
Buy		674	04/2007		0		0			0
Buy	PHP	4,602	03/2007		0		(1	)		(1	)
Buy	PLN	157	04/2007		2		0			2
Buy	RUB	130	01/2007		0		0			0
Buy		4,244	03/2007		2		0			2
Buy		300	09/2007		0		0			0
Buy		1,261	11/2007		0		0			0
Buy		4,484	12/2007		0		0			0
Buy	SGD	965	01/2007		12		0			12
Buy		87	03/2007		2		0			2
Buy		283	07/2007		0		0			0
Buy	TWD	18,172	01/2007		10		0			10
Buy		2,491	02/2007		1		0			1
Sell		242	02/2007		0		0			0
Buy	ZAR	37	05/2007		0		0			0
Buy		18	06/2007		0		0			0
				$	86	$	(27	)	$	59

See accompanying notes

Schedule of Investments

Moderate Duration Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 12.4%
Banking & Finance 11.2%
American General Finance Corp.
5.406% due 03/23/2007	$	1,200	$	1,200
ANZ National International Ltd.
5.415% due 08/07/2009		3,200		3,199
Atlantic & Western Re Ltd.
11.372% due 01/09/2007		400		400
Bank of America Corp.
5.378% due 11/06/2009		2,000		2,002
Bank of America N.A.
5.377% due 07/25/2008		6,300		6,306
BNP Paribas
5.292% due 05/28/2008		2,600		2,601
Citigroup Funding, Inc.
5.342% due 12/08/2008		3,100		3,101
Citigroup Global Markets Holdings, Inc.
5.461% due 03/17/2009		20,700		20,731
Citigroup, Inc.
5.392% due 12/28/2009		2,100		2,101
6.200% due 03/15/2009		110		112
Ford Motor Credit Co.
6.315% due 03/21/2007		10,700		10,699
7.750% due 02/15/2007		4,326		4,331
Fortis Bank
5.265% due 04/28/2008		6,400		6,402
General Electric Capital Corp.
5.410% due 01/05/2009		12,000		12,013
5.430% due 10/06/2010		5,300		5,305
5.444% due 01/20/2010		3,700		3,708
6.500% due 12/10/2007		100		101
GMAC LLC
6.000% due 12/15/2011		500		498
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		12,300		12,305
HSBC Finance Corp.
5.420% due 10/21/2009		2,300		2,302
Lehman Brothers Holdings, Inc.
5.400% due 11/24/2008		4,600		4,603
5.464% due 01/23/2009		2,000		2,004
5.475% due 11/16/2009		9,600		9,607
Merrill Lynch & Co., Inc.
5.395% due 12/22/2008		12,500		12,504
5.450% due 12/04/2009		3,700		3,702
Mystic Re Ltd.
11.670% due 12/05/2008		4,100		4,098
Nordea Bank Finland
5.308% due 05/28/2008		2,500		2,501
Osiris Capital PLC
10.360% due 01/15/2010		1,600		1,609
Petroleum Export Ltd.
5.265% due 06/15/2011		623		609
Phoenix Quake Ltd.
7.820% due 07/03/2008		700		706
Phoenix Quake Wind Ltd.
7.820% due 07/03/2008		600		603
Phoenix Quake Wind II Ltd.
8.870% due 07/03/2008		300		276
Santander U.S. Debt S.A. Unipersonal
5.376% due 11/20/2008		1,500		1,501
5.425% due 09/19/2008		12,600		12,622
Unicredito Italiano NY
5.360% due 05/06/2008		16,200		16,199
Vita Capital Ltd.
6.710% due 01/01/2007		400		400
Wachovia Corp.
5.410% due 12/01/2009		6,000		6,004
Westpac Banking Corp.
5.310% due 06/06/2008		2,000		2,001
				180,966
Industrials 0.9%
HJ Heinz Co.
6.428% due 12/01/2008		800		815
Home Depot, Inc.
5.250% due 12/16/2013		400		397
Pemex Project Funding Master Trust
9.500% due 09/15/2027		600		808
Tennessee Gas Pipeline Co.
7.000% due 03/15/2027		7,800		8,259
Transocean, Inc.
5.566% due 09/05/2008		3,400		3,404
				13,683
Utilities 0.3%
AT&T, Inc.
4.214% due 06/05/2021		5,300		5,286
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		461		473
				5,759
Total Corporate Bonds & Notes (Cost $199,825)				200,408
MUNICIPAL BONDS & NOTES 0.1%
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.250% due 06/01/2019		1,500		1,576
Total Municipal Bonds & Notes (Cost $1,493)				1,576
U.S. GOVERNMENT AGENCIES 58.1%
Fannie Mae
4.835% due 06/01/2035		16,216		16,070
5.000% due 12/01/2013 - 03/01/2036		522,674		514,164
5.500% due 06/01/2007 - 01/01/2037		305,547		302,700
5.547% due 01/01/2027		118		119
5.750% due 11/25/2032		12		12
6.000% due 09/25/2016 - 02/01/2037		13,758		13,911
6.130% due 10/01/2008		151		152
6.325% due 04/01/2008		278		279
6.500% due 01/01/2013 - 06/25/2044		13,959		14,440
7.000% due 05/01/2012 - 05/01/2032		307		316
7.500% due 03/01/2015 - 07/25/2041		435		452
8.000% due 09/01/2008 - 08/01/2031		119		125
12.000% due 05/01/2016		3		4
Federal Home Loan Bank
0.000% due 02/05/2007		1,600		1,572
Federal Housing Administration
7.430% due 04/01/2022 - 06/01/2023		319		321
Freddie Mac
4.000% due 05/01/2019		148		140
4.500% due 05/01/2018 - 05/01/2034		1,080		1,041
5.000% due 04/15/2016 - 09/01/2035		16,722		16,496
5.500% due 06/01/2017 - 10/01/2034		2,490		2,478
6.000% due 09/01/2013 - 01/01/2037		3,463		3,497
6.500% due 07/25/2043		7		7
7.000% due 04/01/2032		50		52
7.500% due 05/01/2015		3		3
8.000% due 01/01/2012		12		12
8.500% due 04/15/2025		382		383
Government National Mortgage Association
5.000% due 09/15/2017 - 12/15/2017		168		166
5.125% due 11/20/2017 - 11/20/2025		86		87
5.375% due 03/20/2020 - 03/20/2028		452		458
5.500% due 01/15/2017 - 09/20/2034		13,163		12,965
5.800% due 10/16/2030		63		63
5.950% due 02/16/2030		864		875
6.000% due 07/20/2015 - 08/20/2034		791		801
6.500% due 01/20/2034 - 08/20/2034		151		155
7.000% due 07/15/2031 - 12/15/2032		142		147
7.500% due 03/15/2008 - 01/15/2031		656		686
8.000% due 04/15/2017 - 11/15/2022		1,564		1,645
8.500% due 02/15/2008		8		8
9.000% due 06/15/2009 - 10/15/2017		79		81
9.500% due 08/15/2021 - 12/15/2021		23		25
Housing Urban Development
5.070% due 08/01/2015		2,000		1,980
5.290% due 08/01/2017		5,000		4,957
Small Business Administration
4.340% due 03/01/2024		78		74
4.504% due 02/01/2014		78		76
4.750% due 07/01/2025		18,977		18,466
5.130% due 09/01/2023		20		20
6.090% due 07/01/2011		102		104
6.640% due 02/01/2011		3,207		3,327
7.449% due 08/01/2010		1,431		1,495
Total U.S. Government Agencies (Cost $950,013)				937,407
U.S. TREASURY OBLIGATIONS 0.2%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2026		1,322		1,244
3.375% due 01/15/2007 (e)		2,293		2,290
Total U.S. Treasury Obligations (Cost $3,619)				3,534
MORTGAGE-BACKED SECURITIES 1.8%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		2,962		2,914
Banc of America Funding Corp.
4.114% due 05/25/2035		3,971		3,881
Bear Stearns Adjustable Rate Mortgage Trust
5.328% due 02/25/2033		374		372
5.625% due 02/25/2033		323		322
Bear Stearns Alt-A Trust
5.390% due 05/25/2035		5,884		5,895
Countrywide Alternative Loan Trust
6.000% due 10/25/2032		3		3
Countrywide Home Loan Mortgage Pass-Through Trust
5.620% due 05/25/2034		1		1
5.640% due 04/25/2035		771		774
CS First Boston Mortgage Securities Corp.
5.601% due 03/25/2032		178		178
Indymac ARM Trust
6.607% due 01/25/2032		162		161
Prime Mortgage Trust
5.750% due 02/25/2019		210		210
5.750% due 02/25/2034		928		932
Structured Asset Securities Corp.
6.100% due 02/25/2032		59		59
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		3,371		3,370
Washington Mutual, Inc.
4.816% due 10/25/2032		3		4
5.114% due 10/25/2032		375		374
5.596% due 02/27/2034		10		10
5.640% due 10/25/2045		1,665		1,669
6.027% due 11/25/2042		991		995
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		6,192		6,122
Total Mortgage-Backed Securities (Cost $28,381)				28,246
ASSET-BACKED SECURITIES 0.5%
Asset-Backed Funding Certificates
5.380% due 01/25/2037		3,243		3,245
Brazos Student Finance Corp.
5.960% due 06/01/2023		1,186		1,193
Fremont Home Loan Owner Trust
6.140% due 12/25/2029		321		321
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		2,071		2,067
Long Beach Mortgage Loan Trust
5.630% due 10/25/2034		876		877
Total Asset-Backed Securities (Cost $7,693)				7,703
SOVEREIGN ISSUES 0.5%
Hydro Quebec
5.562% due 09/29/2049		5,000		4,724
	Shares
Mexico Government International Bond Rights
0.000% due 06/30/2007		22,000,000		319
	Principal Amount (000s)
Panama Government International Bond
8.875% due 09/30/2027	$	700		893
Peru Government International Bond
9.125% due 01/15/2008		2,545		2,654
Total Sovereign Issues (Cost $7,850)				8,590
FOREIGN CURRENCY-DENOMINATED ISSUES 0.7%
Banque Centrale de Tunisie
7.500% due 08/06/2009	EUR	6,000		8,550
JSG Holding PLC
5.800% due 01/12/2014		108		144
5.971% due 11/29/2014		396		529
6.062% due 01/12/2014		163		216
6.157% due 01/12/2014		43		57
6.350% due 01/12/2014		80		106
6.686% due 01/12/2014		211		282
New Zealand Government Bond
4.500% due 02/15/2016	NZD	800		774
Total Foreign Currency-Denominated Issues (Cost $7,786)				10,658
	Shares
PREFERRED STOCKS 0.6%
DG Funding Trust
7.614% due 12/31/2049		912		9,610
Total Preferred Stocks (Cost $9,440)				9,610
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 24.8%
Certificates of Deposit 1.9%
Unicredito Italiano SpA
5.325% due 02/16/2007	$	30,000		30,000
Commercial Paper 17.0%
Abbey National N.A. LLC
5.225% due 03/07/2007		16,000		15,841
Bank of America Corp.
5.225% due 03/01/2007		4,600		4,562
5.250% due 01/12/2007		43,900		43,842
Cox Communications, Inc.
1.000% due 01/16/2007		2,600		2,600
Danske Corp.
5.225% due 03/12/2007		76,600		75,785
DnB NORBank ASA
5.265% due 02/20/2007		17,300		17,179
Rabobank USA Financial Corp.
5.280% due 01/02/2007		700		700
Skandinaviska Enskilda Banken AB
5.250% due 01/26/2007		44,350		44,201
Societe Generale NY
5.225% due 03/01/2007		21,600		21,421
UBS Finance Delaware LLC
5.225% due 03/08/2007		3,200		3,168
5.245% due 01/08/2007		39,800		39,771
5.250% due 01/11/2007		900		899
Viacom, Inc.
5.594% due 05/29/2007		2,600		2,600
5.780% due 03/22/2007		1,400		1,400
				273,969
Repurchase Agreements 4.2%
Lehman Brothers, Inc.
4.850% due 01/02/2007		68,000		68,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Bonds 6.250% due 08/15/2023 valued at $69,595. Repurchase proceeds are $68,037.)
Tri-party Repurchase Agreements 0.9%
State Street Bank and Trust Co.
4.900% due 01/02/2007		15,282		15,282
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $15,591. Repurchase proceeds are $15,290.)
U.S. Treasury Bills 0.8%
4.814% due 03/01/2007 - 03/15/2007 (a)(c)(e)		12,204		12,075
Total Short-Term Instruments (Cost $399,417)				399,326
Purchased Options (g) 0.1% (Cost $2,904)				2,341
Total Investments (d) 99.8% (Cost $1,618,421)			$	1,609,399
Written Options (h) (0.2%) (Premiums $2,905)				(3,161	)
Other Assets and Liabilities (Net) 0.4%				6,867
Net Assets 100.0%			$	1,613,105

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

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

(a) Coupon represents a weighted average rate.

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

(c) Securities with an aggregate market value of $494 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(d) As of December 31, 2006, portfolio securities with an aggregate value of $6,028 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $13,870 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	289	$	(315	)
90-Day Euribor June Futures	Long	06/2007	620		(449	)
90-Day Euribor September Futures	Long	09/2007	601		(569	)
90-Day Eurodollar December Futures	Long	12/2007	5,022		94
90-Day Eurodollar June Futures	Long	06/2007	3,149		(1,300	)
90-Day Eurodollar March Futures	Long	03/2008	1,143		(609	)
90-Day Eurodollar September Futures	Long	09/2007	5,537		(759	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	51		6
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	51		(34	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	96		(48	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2007	65		(38	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	138		(69	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	1,201		2,778
				$	(1,312	)

(f) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008	$	4,000	$	(4	)
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	6/20/2007		5,500		120
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		900		3
Credit Suisse First Boston	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.650	%	9/20/2010		1,000		121
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.000	%	3/20/2007		1,100		6
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.690	%	3/20/2007		7,100		23
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.600	%	6/20/2007		2,300		50
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		1,800		7
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		1,100		0
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	12/20/2008		3,000		(4	)
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.460	%	6/20/2007		400		0
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011		5,700		36
								$	358

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	4,600	$	(12	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010	BRL	2,900		13
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	1/4/2010		3,200		7
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010	EUR	5,100		82
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,400		27
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007	GBP	8,200		(152	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	9/20/2009		4,100		(139	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016	JPY	40,000		0
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037	$	200		(5	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		3,300		(82	)
								$	(261	)

(g) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar March Futures	$	92.000	3/19/2007	1,266	$	12	$	0
Put - CME 90-Day Eurodollar March Futures		92.250	3/19/2007	494		5		0
Put - CME 90-Day Eurodollar September Futures		90.250	9/17/2007	660		6		0
Put - CME 90-Day Eurodollar September Futures		91.000	9/17/2007	824		8		0
					$	31	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007	EUR	15,000	$	69	$	24
Call - OTC 2-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007	GBP	6,800		31		6
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		4,500		26		4
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	97,000		359		290
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		58,000		232		82
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		30,000		140		42
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		69,000		232		207
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		99,900		436		465
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		87,000		383		510
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		51,000		211		104
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		80,000		208		79
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		81,000		431		514
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.170	%	2/1/2007		44,800		115		82
									$	2,873	$	2,409

Straddle Options

Description	Counterparty		Exercise Price(2)	Expiration Date		Notional Amount		Cost(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Bank of America	$	0.000	1/17/2007	$	5,000	$	0	$	(68	)

⁽²⁾ Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(h) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007	EUR	6,000	$	72	$	47
Call - OTC 8-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	1,900		31		9
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		1,300		26		6
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	42,000		344		342
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		25,000		241		115
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		13,000		145		60
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		30,000		237		324
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		43,700		451		625
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		38,000		386		607
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		17,700		191		127
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		21,900		229		178
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		35,000		433		616
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.240	%	2/1/2007		19,400		119		160
									$	2,905	$	3,216

Straddle Options

Description	Counterparty		Exercise Price(3)	Expiration Date		Notional Amount		Premium(3)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.	$	0.000	1/17/2007	$	5,000	$	0	$	(55	)

⁽³⁾ Exercise price and final premium determined on a future date, based upon implied volatility parameters.

(i) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	1/1/2037	$	1,000	$	997	$	988

(j) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	4,702	01/2007	$	22	$	0		$	22
Sell		3,274	01/2007		0		(14	)		(14	)
Buy		6,827	05/2007		28		0			28
Buy		7,458	06/2007		54		0			54
Buy	CAD	5,970	01/2007		0		(162	)		(162	)
Sell		5,571	01/2007		125		0			125
Buy	CLP	324,000	05/2007		0		(7	)		(7	)
Buy		125,507	06/2007		0		(2	)		(2	)
Buy	CNY	16,396	03/2007		4		0			4
Buy		2,113	09/2007		6		0			6
Buy		16,425	11/2007		27		0			27
Sell	EUR	9,711	01/2007		122		(16	)		106
Sell	GBP	279	01/2007		3		0			3
Buy	INR	5,393	02/2007		6		0			6
Buy		26,630	03/2007		22		0			22
Sell	JPY	3,052,715	01/2007		210		0			210
Buy		3,791,986	02/2007		0		(428	)		(428	)
Sell		286,260	02/2007		28		0			28
Buy	KRW	262,419	02/2007		8		0			8
Sell		267,575	02/2007		0		(9	)		(9	)
Buy		1,404,093	03/2007		19		(2	)		17
Buy		2,505,652	05/2007		26		0			26
Buy	MXN	4,496	01/2007		11		0			11
Buy		9,918	04/2007		9		0			9
Buy	PHP	44,457	03/2007		0		(5	)		(5	)
Buy	PLN	2,043	04/2007		23		0			23
Buy	RUB	10,091	01/2007		5		0			5
Buy		56,782	03/2007		24		0			24
Buy		1,955	09/2007		0		0			0
Buy		38,504	11/2007		0		(1	)		(1	)
Buy		87,802	12/2007		0		(7	)		(7	)
Buy	SGD	1,498	01/2007		13		0			13
Buy		688	03/2007		13		0			13
Buy		2,737	07/2007		2		0			2
Buy	TWD	29,706	02/2007		4		(7	)		(3	)
Buy	ZAR	548	05/2007		5		0			5
Buy		504	06/2007		0		0			0
				$	819	$	(660	)	$	159

See Accompanying Notes

Schedule of Investments

Money Market Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
SHORT-TERM INSTRUMENTS 100.0%
Certificates of Deposit 7.7%
Citibank New York N.A.
5.325% due 03/28/2007	$	13,600	$	13,600
Skandinaviska Enskilda Banken AB
5.272% due 07/06/2007		4,700		4,699
Societe Generale NY
5.295% due 09/21/2007		3,200		3,199
Svenska Handelsbanken, Inc.
5.290% due 02/28/2007		4,700		4,700
				26,198
Commercial Paper 92.0%
Abbey National N.A. LLC
5.225% due 03/07/2007		3,400		3,369
ANZ National International Ltd.
5.245% due 02/20/2007		17,000		16,881
ASB Finance Ltd.
5.235% due 03/13/2007		8,000		7,920
Bank of America Corp.
5.225% due 02/08/2007		3,700		3,681
Bank of Ireland
5.225% due 03/29/2007		14,600		14,420
Barclays U.S. Funding Corp.
5.250% due 01/17/2007		1,600		1,597
BNP Paribas Finance
5.230% due 03/07/2007		17,700		17,538
Calyon N.A. LLC
5.225% due 03/09/2007		12,000		11,887
Danske Corp.
5.410% due 02/01/2007		15,635		15,567
DnB NORBank ASA
5.230% due 03/19/2007		7,100		7,023
Fannie Mae
5.280% due 01/10/2007		19,300		19,280
5.456% due 01/24/2007		7,200		7,178
Fortis Funding LLC
5.265% due 01/02/2007		15,000		15,000
Freddie Mac
5.050% due 05/29/2007		9,900		9,697
5.275% due 01/23/2007		36,800		36,692
General Electric Capital Corp.
5.240% due 02/09/2007		1,600		1,591
HBOS Treasury Services PLC
5.235% due 03/14/2007		7,500		7,424
5.240% due 01/16/2007		1,050		1,048
Intesa Funding LLC
5.245% due 01/30/2007		14,000		13,945
IXIS Commercial Paper Corp.
5.300% due 01/18/2007		13,600		13,570
Morgan Stanley
5.499% due 02/15/2007		3,000		3,000
Nordea N.A., Inc.
5.390% due 01/10/2007		7,300		7,292
Oesterreichische
5.205% due 04/25/2007		3,000		2,951
5.220% due 04/25/2007		1,000		984
Rabobank USA Financial Corp.
5.280% due 01/02/2007		16,300		16,300
San Paolo IMI U.S. Financial Co.
5.300% due 01/30/2007		3,100		3,088
Societe Generale NY
5.235% due 02/16/2007		10,000		9,936
5.240% due 01/08/2007		100		100
Spintab AB
5.240% due 02/15/2007		15,000		14,906
5.250% due 01/31/2007		600		598
TotalFinaElf Capital S.A.
5.300% due 01/02/2007		3,200		3,200
UBS Finance Delaware LLC
5.160% due 06/12/2007		14,000		13,679
Unicredit Delaware, Inc.
5.170% due 05/24/2007		3,100		3,037
5.180% due 03/19/2007		8,000		7,914
Westpac Trust Securities NZ Ltd.
5.330% due 01/18/2007		1,600		1,596
				313,889
Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 01/02/2007		1,188		1,188
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.875% due 05/15/2007 valued at $1,215. Repurchase proceeds are $1,188.)
Total Short-Term Instruments (Cost $341,275)				341,275
Total Investments 100.0% (Cost $341,275)			$	341,275
Other Assets and Liabilities (Net) 0.0%				13
Net Assets 100.0%			$	341,288

See accompanying notes

34

Schedule of Investments

Municipal Bond Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 1.1%
Mystic Re Ltd.
11.670% due 12/05/2008	$	4,500	$	4,498
Total Corporate Bonds & Notes (Cost $4,500)				4,498
MUNICIPAL BONDS & NOTES 98.5%
Alabama 1.4%
Alabama 21st Century Authority Revenue Bonds, Series 2001
5.750% due 12/01/2018		2,295		2,440
Jefferson County, Alabama Limited Obligation Revenue Bonds, Series 2004
5.250% due 01/01/2019		3,300		3,545
				5,985
Alaska 0.5%
Alaska State Housing Finance Corporations Revenue Bonds, (MBIA Insured), Series 2002
5.250% due 06/01/2032		540		553
Anchorage, Alaska General Obligation Bonds, (FGIC Insured), Series 2006
5.000% due 10/01/2018		1,480		1,604
				2,157
Arizona 1.5%
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2005
4.750% due 01/01/2035		2,000		2,068
Arizona Water Infrastructure Finance Authority Revenue Bonds, Series 2004
5.000% due 10/01/2014		3,000		3,261
Phoenix, Arizona Industrial Development Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2000
5.875% due 06/01/2016		20		20
Pima County, Arizona Industrial Development Authority Revenue Bonds, (HUD Sector 8 Insured), Series 1998
5.375% due 06/01/2010		1,035		1,079
				6,428
Arkansas 0.5%
Jefferson County, Arkansas Pollution Revenue Bonds, Series 2006
4.600% due 10/01/2017		2,000		2,029
California 8.1%
Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997
0.000% due 09/01/2035		4,000		1,108
Bakersfield, California Certificates of Participation Bonds, Series 1991
0.000% due 04/15/2021		5,000		2,708
California State Association of Bay Area Governments Financing Authority for Non-Profit Corporations Revenue Bonds, Series 2003
5.200% due 11/15/2022		2,565		2,696
California Statewide Communities Development Authority Revenue Bonds, (California Mortgage Insured), Series 2001
5.000% due 10/01/2018		1,500		1,558
Culver, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2023		630		668
Foothill, California Eastern Transportation Corridor Agency Revenue Bonds, (MAIA-IBC Insured), Series 1999
0.000% due 01/15/2026 (c)		1,565		1,516
Foothill, California Eastern Transportation Corridor Agency Revenue Bonds, Series 1995
0.000% due 01/01/2026		1,000		441
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.500% due 06/01/2043		3,800		4,182
Hacienda La Puente, California Unified School District General Obligation Bonds, (FGIC Insured), Series 2005
5.000% due 08/01/2022		1,480		1,643
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2031		3,010		984
Indian Wells, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2006
4.750% due 09/01/2034		5,850		6,047
Metropolitan Water District of Southern California Revenue Bonds, Series 2006
4.750% due 07/01/2036		3,000		3,100
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2015		2,890		2,058
0.000% due 08/01/2016		1,400		950
Poway, California Unified School District Special Tax Bonds, Series 2005
4.700% due 09/01/2016		940		963
4.800% due 09/01/2017		875		898
Poway, California Unified School District Special Tax Notes, Series 2005
4.600% due 09/01/2015		420		429
San Ramon Valley, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 07/01/2018		2,385		1,478
South Tahoe, California Joint Powers Financing Authority Revenue Notes, Series 2003
5.125% due 10/01/2009		1,000		1,002
				34,429
Colorado 1.0%
Black Hawk, Colorado Revenue Bonds, Series 2006
5.000% due 12/01/2021		200		203
Colorado Health Facilities Authority Revenue Bonds, Series 2006
5.250% due 06/01/2036		1,000		1,054
Colorado State Housing & Finance Authority Revenue Bonds, (FHA/VA Mortgages Insured), Series 2000
5.700% due 10/01/2022		45		45
Colorado State Housing & Finance Authority Revenue Bonds, Series 2000
6.700% due 10/01/2016		30		30
6.750% due 04/01/2015		50		50
Denver, Colorado Health & Hospital Authority Revenue Bonds, Series 1998
5.000% due 12/01/2009		1,390		1,408
Larimer County, Colorado Sales & Use Tax Revenue Bonds, (MBIA Insured), Series 2002
4.625% due 12/15/2012		1,325		1,395
				4,185
Connecticut 1.5%
Connecticut State General Obligation Notes, Series 2001
7.213% due 06/15/2010		5,000		5,964
Hartford, Connecticut General Obligation Notes, (MBIA Insured), Series 2005
5.000% due 09/01/2013		500		537
				6,501
Florida 2.8%
Florida State Board of Education General Obligation Bonds, (ST-GTD Insured), Series 2005
4.750% due 06/01/2035		4,370		4,480
Orange County, Florida Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1996
6.250% due 10/01/2011		290		320
Orange County, Florida Health Facilities Authority Revenue Bonds, Series 2002
5.625% due 11/15/2032		5,000		5,546
Orlando, Florida Waste Water System Revenue Bonds, Series 1997
4.193% due 10/01/2015		500		502
Tampa, Florida Guaranteed Entitlement Revenue Bonds, (AMBAC Insured), Series 2001
6.000% due 10/01/2018		800		959
				11,807
Georgia 0.9%
Atlanta, Georgia Metropolitan Rapid Transit Authority Revenue Notes, (AMBAC Insured), Series 2006
5.000% due 07/01/2014		2,050		2,224
Georgia State Municipal Electric Authority Revenue Bonds, (FGIC-TCRS Insured), Series 1993
5.500% due 01/01/2012		1,255		1,328
Georgia State Municipal Electric Authority Revenue Bonds, (MBIA-IBC Insured), Series 1997
6.500% due 01/01/2012		200		215
				3,767
Hawaii 1.5%
Hawaii State Housing Financial & Development Corporations Revenue Bonds, (FNMA Insured), Series 1998
4.850% due 07/01/2029		85		85
Honolulu, Hawaii City & County General Obligation Bonds, (MBIA-IBC Insured), Series 1993
5.450% due 09/11/2008		1,000		1,030
Honolulu, Hawaii City & County General Obligation Notes, (MBIA Insured), Series 2005
5.000% due 07/01/2014		5,000		5,418
				6,533
Illinois 7.3%
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2020		1,000		554
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1999
0.000% due 12/01/2031		1,000		329
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001
0.000% due 01/01/2020 (c)		1,290		1,173
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2005
5.000% due 01/01/2015		7,000		7,594
Cook County, Illinois Community School District No. 97-Oak Park General Obligation Bonds, (FGIC Insured), Series 1999
9.000% due 12/01/2012		1,000		1,270
Cook County, Illinois School District No. 122-Oak Lawn General Obligation Bonds, (FGIC Insured), Series 2000
0.000% due 12/01/2016		2,570		1,719
Cook County, Illinois Township High School District No. 225-Northfield General Obligation Bonds, Series 2002
0.000% due 12/01/2012		135		106
0.000% due 12/01/2014		255		182
0.000% due 12/01/2015		1,885		1,288
Cook County, Illinois Township High School District No. 225-Northfield General Obligation Notes, Series 2002
0.000% due 12/01/2011		125		102
Fox Lake, Illinois Water & Sewer Revenue Bonds, (AMBAC Insured), Series 1996
5.750% due 05/01/2013		315		315
Illinois State Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1992
6.250% due 09/01/2021		695		821
Kane, McHenry, Cook & De Kalb Counties, Illinois Unit School District No. 300 General Obligation Bonds, (AMBAC Insured), Series 2002
0.000% due 12/01/2020		1,290		714
Kendall, Kane & Will Counties, Illinois High School Districts General Obligation Notes, (FSA Insured), Series 2003
0.000% due 10/01/2012		3,000		2,407
Lake, Cook, Kane & McHenry Counties, Illinois Community Unit School Districts General Obligation Notes, (MBIA Insured), Series 2004
5.000% due 12/01/2011		2,760		2,922
Lake County, Illinois Community High School District No.127-Grayslake General Obligation Bonds, (FGIC Insured), Series 2002
0.000% due 02/01/2017		5,420		3,587
9.000% due 02/01/2009		650		717
9.000% due 02/01/2011		690		825
9.000% due 02/01/2012		1,065		1,316
Sangamon County, Illinois School District No. 186 Springfield General Obligation Notes, (FGIC Insured), Series 2004
0.000% due 10/01/2009		1,000		891
Will County, Illinois Community Unit School District No. 365 Valley View General Obligation Bonds, (FSA Insured), Series 2002
0.000% due 11/01/2019		3,400		1,980
				30,812
Indiana 3.7%
Brownsburg, Indiana 1999 School Building Corporations Revenue Bonds, (AMBAC Insured), Series 2002
5.375% due 02/01/2023		1,395		1,506
Danville, Indiana Multi-School Building Corporation General Obligation Bonds, (FSA State Aid Withholding Insured), Series 2001
4.400% due 01/15/2012		170		175
Danville, Indiana Multi-School Building Corporation General Obligation Bonds, (FSA State Aid Withholding Insured), Series 2002
4.500% due 01/15/2013		190		196
Danville, Indiana Multi-School Building Corporation General Obligation Bonds, (FSA State Aid Withholding Insured), Series 2003
4.650% due 01/15/2014		210		217
Danville, Indiana Multi-School Building Corporation General Obligation Bonds, (FSA State Aid Withholding Insured), Series 2004
4.750% due 01/15/2015		235		243
Danville, Indiana Multi-School Building Corporation General Obligation Bonds, (FSA State Aid Withholding Insured), Series 2005
4.850% due 01/15/2016		295		306
Danville, Indiana Multi-School Building Corporation General Obligation Notes, (FSA State Aid Withholding Insured), Series 2001
4.750% due 07/15/2009		200		204
Danville, Indiana Multi-School Building Corporation General Obligation Notes, (FSA State Aid Withholding Insured), Series 2002
5.000% due 07/15/2010		180		186
Danville, Indiana Multi-School Building Corporation General Obligation Notes, (FSA State Aid Withholding Insured), Series 2003
4.250% due 07/15/2011		290		296
Hamilton, Indiana Southeastern Consolidated School Building Revenue Notes, (FSA State Aid Withholding Insured), Series 2001
5.000% due 07/15/2010		760		784
Indiana State Development Finance Authority Revenue Bonds, Series 2005
5.000% due 06/01/2022		1,590		1,680
Indiana State Health Facility Financing Authority Revenue Notes, Series 2005
5.000% due 11/01/2010		5,300		5,536
Indianapolis, Indiana Local Public Improvement Revenue Bonds, Series 1992
6.750% due 02/01/2014		1,000		1,134
Mishawaka, Indiana School Building Corp. Revenue Bonds, (FSA Insured), Series 2006
4.250% due 01/15/2026		1,325		1,281
South Bend, Indiana Redevelopment Authority Revenue Bonds, Series 2000
5.100% due 02/01/2011		405		425
5.200% due 02/01/2012		230		243
5.500% due 02/01/2015		180		193
Tri-Creek School Building Corp., Indiana Revenue Bonds, (FSA Insured), Series 2007
4.250% due 07/15/2020 (a)		1,000		992
				15,597
Kentucky 0.2%
Kentucky State Development Finance Authority Hospital Revenue Bonds, Series 1989
6.000% due 10/01/2019		680		759
Louisiana 3.5%
Louisiana State General Obligation Bonds, (FGIC Insured), Series 2002
5.000% due 04/01/2019 (e)		5,700		5,986
Louisiana State Local Government Environmental Facilities & Community Development Authority Revenue Bonds, (MBIA Insured), Series 2000
5.700% due 01/01/2010		165		172
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		2,000		2,152
5.875% due 05/15/2039 (e)		5,902		6,349
7.388% due 11/15/2031		285		324
				14,983
Maryland 1.0%
Maryland Health & Higher Educational Facilities Authority Revenue Bonds, 2007
5.000% due 07/01/2027 (a)		4,000		4,162
Massachusetts 1.1%
Commonwealth of Massachusetts Revenue Bonds, (FGIC Insured), Series 2004
5.594% due 01/01/2017		1,000		1,069
Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 2005
5.000% due 03/01/2035		1,000		1,029
Massachusetts State Development Finance Agency Revenue Bonds, Series 1998
4.800% due 11/01/2008		90		91
Massachusetts State Development Finance Agency Revenue Notes, (ACA Insured), Series 1999
4.600% due 03/01/2009		250		253
Massachusetts State Development Finance Agency Revenue Notes, Series 1998
4.700% due 11/01/2007		210		211
Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2001
6.000% due 07/01/2014		500		554
Massachusetts State School Building Authority Revenue Notes, (FSA Insured), Series 2005
5.000% due 08/15/2014		1,280		1,388
				4,595
Michigan 2.2%
Lake Fenton, Michigan Community Schools General Obligation Bonds, (Q-SBLF Insured), Series 2002
5.000% due 05/01/2022		2,720		2,853
Michigan State General Obligation Bonds, Series 1992
6.250% due 11/01/2012		3,100		3,394
Michigan State Hospital Finance Authority Revenue Bonds, Series 1999
6.125% due 11/15/2026		50		54
Michigan State Public Power Agency Revenue Bonds, (AMBAC Insured), Series 2001
5.250% due 01/01/2015		1,000		1,074
Rochester, Michigan Community School District General Obligation Bonds, (MBIA Q-SBLF Insured), Series 1997
5.000% due 05/01/2019		750		829
Rochester, Michigan Community School District General Obligation Notes, (FSA Q-SBLF Insured), Series 2004
5.000% due 05/01/2012		1,000		1,064
				9,268
Minnesota 1.2%
Rochester, Minnesota Revenue Bonds, Series 2006
5.000% due 11/15/2036		5,000		5,259
Missouri 2.7%
Lees Summit, Missouri Strother Interchange Transportation Development District Revenue Bonds, Series 2006
5.000% due 05/01/2024		500		508
Missouri State Environmental Improvement & Energy Resources Revenue Bonds, Series 2000
5.750% due 07/01/2014		350		374
Missouri State Housing Development Commission Revenue Bonds, (FHA Insured), Series 2001
5.250% due 12/01/2016		555		580
Springfield, Missouri Revenue Bonds, (FGIC Insured), Series 2006
4.750% due 08/01/2034		8,200		8,454
St. Louis County, Missouri Industrial Development Authority Revenue Bonds, Series 2005
5.000% due 11/01/2024		1,250		1,265
				11,181
Nevada 1.6%
Clark County, Nevada School District General Obligation Bonds, (FSA Insured), Series 2004
5.000% due 06/15/2014		5,180		5,587
Nevada State General Obligation Notes, (MBIA Insured), Series 2006
5.000% due 07/01/2016		1,000		1,093
				6,680
New Jersey 8.2%
Camden County, New Jersey Improvement Authority Revenue Notes, Series 2005
5.250% due 02/15/2009		550		561
5.250% due 02/15/2010		570		587
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
0.000% due 04/01/2013		1,595		1,248
5.600% due 01/01/2012		1,000		1,004
6.000% due 11/01/2028		3,500		3,555
6.375% due 04/01/2018		1,500		1,750
6.375% due 04/01/2031		10,000		11,668
6.500% due 04/01/2031		2,115		2,516
6.625% due 09/15/2012		3,500		3,782
6.800% due 04/01/2018		730		838
New Jersey State General Obligation Bonds, Series 1992
6.000% due 02/15/2011		510		555
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.125% due 06/01/2024		3,500		3,791
6.375% due 06/01/2032		1,000		1,123
New Jersey State Transportation Trust Fund Authority Revenue Bonds, (MBIA Insured), Series 2004
5.500% due 12/15/2015		1,500		1,692
				34,670
New Mexico 0.1%
Santa Fe County, New Mexico Revenue Notes, Series 1998
5.250% due 05/15/2007		315		315
New York 12.5%
Hudson Yards Infrastructure Corp., New York Revenue Bonds, Series 2006
5.000% due 02/15/2047		2,215		2,337
Hudson Yards Infrastructure Corp., New York Revenue Bonds, (MBIA Insured), Series 2006
4.500% due 02/15/2047		13,785		13,796
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
4.811% due 09/01/2015		3,000		3,004
New York City, New York General Obligation Bonds, Series 2006
5.000% due 08/01/2022		4,000		4,273
New York City, New York General Obligation Revenue Bonds, (MBIA Insured), Series 2001
5.250% due 11/01/2015		2,000		2,153
New York City, New York General Obligation Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2018		1,150		1,244
New York City, New York General Obligation Revenue Bonds, Series 2004
5.000% due 08/01/2015		2,000		2,146
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
5.025% due 03/01/2022		3,500		3,508
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.250% due 02/01/2029		5,275		5,561
New York State Dormitory Authority Revenue Bonds, (ACA Insured), Series 2000
5.850% due 07/01/2010		820		859
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.250% due 08/15/2015		2,500		2,834
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		3,800		4,190
New York State Dormitory Authority Revenue Bonds, Series 2006
5.000% due 12/15/2017		3,560		3,902
New York State Urban Development Corp. Revenue Bonds, Series 2002
5.500% due 01/01/2017		3,000		3,189
				52,996
North Carolina 2.7%
Durham, North Carolina General Obligation Bonds, Series 2002
5.000% due 04/01/2021		550		582
North Carolina Medical Care Commission Revenue Bonds, Series 2006
5.000% due 11/01/2039		3,000		3,150
North Carolina State Eastern Municipal Power Agency Revenue Bonds, Series 1993
7.000% due 01/01/2008		1,000		1,030
North Carolina State Eastern Municipal Power Agency Revenue Notes, Series 2003
5.500% due 01/01/2012		4,000		4,263
North Carolina State General Obligation Notes, Series 2006
5.000% due 06/01/2015		2,050		2,244
				11,269
Ohio 2.1%
Ohio State General Obligation Bonds, Series 2003
5.000% due 03/15/2014		5,255		5,667
Ohio State Water Development Authority Revenue Bonds, Series 2002
5.375% due 12/01/2020		1,100		1,190
5.375% due 12/01/2021		1,750		1,893
				8,750
Oklahoma 1.1%
Oklahoma State Development Finance Authority Revenue Bonds, Series 1999
5.625% due 08/15/2029		4,100		4,331
Oklahoma State Housing Finance Agency Single-Family Revenue Bonds, Series 2001
0.000% due 09/01/2032		985		236
				4,567
Pennsylvania 0.4%
Allegheny County, Pennsylvania Hospital Development Authority Revenue Notes, Series 2005
4.500% due 04/01/2015		790		794
Delaware County, Pennsylvania Authority Hospital Revenue Bonds, Series 1998
4.900% due 12/01/2008		100		102
Delaware County, Pennsylvania Industrial Development Authority Revenue Bonds, Series 1997
6.500% due 01/01/2008		725		743
				1,639
Puerto Rico 0.6%
Puerto Rico Children’s Trust Fund Revenue Bonds, Series 2000
6.000% due 07/01/2026		150		162
Puerto Rico Children’s Trust Fund Revenue Notes, Series 2000
5.750% due 07/01/2010		750		801
Puerto Rico Commonwealth Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2008		1,500		1,529
				2,492
Rhode Island 2.1%
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2032		2,300		2,463
6.250% due 06/01/2042		6,025		6,445
				8,908
South Carolina 1.1%
Greenville County, South Carolina School District Revenue Bonds, (FSA Insured), Series 2006
5.000% due 12/01/2020		2,395		2,602
South Carolina State General Obligation Notes, Series 2005
5.000% due 08/01/2014		1,065		1,159
South Carolina State Medical University Hospital Facilities Revenue Bonds, Series 1999
5.700% due 07/01/2012		1,000		1,056
				4,817
Tennessee 2.4%
Nashville & Davidson County, Tennessee Metropolitan Government Health & Educational Revenue Notes, (RADIAN Insured), Series 1998
4.450% due 08/01/2007		1,000		1,003
Shelby County, Tennessee General Obligation Bonds, Series 2001
5.000% due 04/01/2023		1,000		1,053
Sullivan County, Tennessee Health Educational & Housing Facilities Board Revenue Bonds, Series 2002
6.250% due 09/01/2022		1,000		1,135
Sullivan County, Tennessee Industrial Development Board Revenue Bonds, (GNMA Insured), Series 1995
6.250% due 07/20/2015		695		710
Tennessee Energy Acquisition Corporations Revenue Notes, Series 2006
5.000% due 09/01/2015		6,000		6,449
				10,350
Texas 12.8%
Bastrop, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
5.650% due 02/15/2035		2,765		3,022
Bexar County, Texas Housing Finance Corporations Multi-Family Revenue Bonds, Series 2001
4.875% due 06/15/2011		585		609
Brazos River, Texas Authority Revenue Bonds, (MBIA Insured), Series 1998
4.900% due 10/01/2015		1,500		1,621
Harris County, Texas General Obligation Bonds, (MBIA-IBC Insured), Series 1997
5.100% due 08/15/2015		250		252
Houston, Texas Airport Systems Revenue Bonds, (FGIC Insured), Series 2000
5.790% due 07/01/2025		2,500		2,549
Houston, Texas Airport Systems Revenue Bonds, Series 2001
6.750% due 07/01/2029		1,000		1,080
Houston, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
5.250% due 02/15/2018		355		367
Houston, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2005
0.000% due 02/15/2015		8,640		6,241
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2005
5.000% due 11/15/2035		4,730		4,968
Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 2001
5.500% due 12/01/2017		1,000		1,079
Houston, Texas Water Conveyance System Certificates of Participation Bonds, (AMBAC Insured), Series 1993
6.250% due 12/15/2012		5,000		5,655
Lower Colorado River Authority, Texas Revenue Bonds, (MBIA Insured) Series 2006
4.750% due 05/15/2029		8,000		8,268
Midlothian, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
0.000% due 02/15/2018		1,000		506
Municipal Securities Trust Certificates, Texas Revenue Bonds, Series 2006
4.719% due 04/01/2024		1,255		1,465
North Texas State Health Facilities Development Corporations Revenue Bonds, (AMBAC Insured), Series 2002
5.500% due 08/15/2017		1,000		1,093
North Texas State University Revenue Bonds, (FSA Insured), Series 1999
5.375% due 04/15/2014		250		260
Pasadena, Texas General Obligation Bonds, (FGIC Insured), Series 2002
5.125% due 04/01/2024		1,750		1,851
Red River, Texas Education Finance Revenue Bonds, Series 2000
5.750% due 05/15/2017		750		800
Rio Grande, Texas Consolidated Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
5.875% due 08/15/2018		1,825		1,963
Sabine River, Texas Pollution Control Authority Revenue Bonds, Series 2001
5.500% due 05/01/2022		1,000		1,051
San Antonio, Texas Electricity & Gas Revenue Bonds, Series 1997
5.500% due 02/01/2015		975		1,091
San Jacinto, Texas Community College District General Obligation Bonds, (FGIC Insured), Series 2001
5.000% due 02/15/2021		225		233
Tarrant County, Texas College District General Obligation Revenue Notes, Series 2005
5.000% due 02/15/2014		3,360		3,618
Texas Alliance Airport Authority Revenue Bonds, Series 2006
4.850% due 04/01/2021		1,000		1,019
Texas State Leander Independent School District General Obligation Revenue Bonds, (FGIC Insured), Series 2005
0.000% due 08/15/2023		1,195		535
Travis County, Texas Health Facilities Development Corporations Revenue Bonds, Series 1993
6.000% due 11/15/2022 (i)		1,400		1,565
University of Texas Revenue Notes, Series 2004
5.250% due 08/15/2012		1,000		1,077
Waxahachie, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
0.000% due 08/15/2022		1,000		508
				54,346
Virgin Islands 0.4%
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		1,500		1,652
Virginia 1.5%
Virginia State Housing Development Authority Revenue Bonds, (MBIA Insured), Series 2001
5.350% due 07/01/2031		1,000		1,043
Virginia State Public Building Authority Revenue Notes, Series 2005
5.000% due 08/01/2014		4,790		5,198
				6,241
Washington 3.2%
Snohomish County, Washington School District No. 2 Everett General Obligation Bonds, (FGIC Insured), Series 2006
5.000% due 12/01/2017		1,845		2,011
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2019		2,520		1,474
Washington State General Obligation Notes, (AMBAC Insured), Series 2004
0.000% due 12/01/2011		5,435		4,471
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.625% due 06/01/2032		5,000		5,547
				13,503
West Virginia 0.7%
Berkeley, Brooke & Fayette Counties, West Virginia Revenue Bonds, Series 1983
0.000% due 12/01/2014		4,115		2,976
Wisconsin 2.4%
Hudson, Wisconsin School District General Obligation Bonds, (FGIC Insured), Series 2002
5.000% due 10/01/2017		1,420		1,513
5.000% due 10/01/2019		1,040		1,108
South Milwaukee, Wisconsin School District General Obligation Notes, (FGIC Insured), Series 2002
3.750% due 04/01/2011		385		385
Wisconsin State Clean Water Revenue Bonds, Series 2002
5.000% due 06/01/2018		100		105
5.000% due 06/01/2019		100		105
5.000% due 06/01/2020		100		105
5.100% due 06/01/2021		100		106
5.100% due 06/01/2022		100		106
5.100% due 06/01/2023		100		105
5.250% due 06/01/2016		50		54
5.250% due 06/01/2017		50		54
Wisconsin State General Obligation Bonds, (FSA Insured), Series 2001
5.250% due 05/01/2020		3,000		3,220
Wisconsin State Housing & Economic Development Revenue Bonds, (MBIA Insured), Series 2002
4.700% due 11/01/2012		1,230		1,286
Wisconsin State Housing & Economic Development Revenue Notes, (MBIA Insured), Series 2002
4.700% due 05/01/2012		1,985		2,063
				10,315
Total Municipal Bonds & Notes (Cost $402,294)				416,923
SHORT-TERM INSTRUMENTS 1.6%
Repurchase Agreements 1.4%
State Street Bank and Trust Co.
4.900% due 01/02/2007		6,153		6,153
(Dated 12/29/2006. Collateralized by Fannie Mae 5.750% due 02/15/2008 valued at $6,279. Repurchase proceeds are $6,156.)
U.S. Treasury Bills 0.2%
4.796% due 03/15/2007 (b)(f)		690		682
Total Short-Term Instruments (Cost $6,837)				6,835
Total Investments (d) 101.2% (Cost $413,631)			$	428,256
Written Options (h) (0.0%) (Premiums $75)				(14	)
Other Assets and Liabilities (Net) (1.2%)				(5,168	)
Net Assets 100.0%			$	423,074

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

(c) Security becomes interest bearing at a future date.

(d) As of December 31, 2006, portfolio securities with an aggregate value of $4,498 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Residual Interest Bonds Held in Trust - Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Portfolio acquired the residual interest certificates. These securities serve as collateral in a financing transaction.

(f) Securities with an aggregate market value of $682 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
U.S. Treasury 10-Year Note March Futures	Long	03/2007	52	$	0
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	32		46
				$	46

(g) Swap agreements outstanding on December 31, 2006:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/15/2014	$	52,800	$	2,803

(h) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	110.000	2/23/2007	180	$	75	$	14

(i) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Travis County, Texas Health Facilities Development Corporations Revenue Bonds, Series 1993	6.000	%	11/15/2022	9/20/2002	$	1,503	$	1,565	0.37	%

See accompanying notes

Schedule of Investments

New York Municipal Bond Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 0.9%
Mystic Re Ltd.
11.670% due 12/05/2008	$	500	$	500
Total Corporate Bonds & Notes (Cost $500)				500
MUNICIPAL BONDS & NOTES 92.6%
Alabama 1.3%
Montgomery, Alabama Medical Clinic Board Revenue Bonds, Series 2006
4.750% due 03/01/2036		750		734
Arkansas 0.5%
University of Arkansas Revenue Bonds, (MBIA Insured), Series 2004
5.000% due 11/01/2034		250		264
California 2.9%
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2029		1,490		536
Indian Wells Redevelopment Agency, California Tax Allocation Bonds, (AMBAC Insured), Series 2006
4.750% due 09/01/2034		1,000		1,034
				1,570
Illinois 0.9%
Will County, Illinois Community Unit School District No. 365 Valley View General Obligation Bonds, (FSA Insured), Series 2002
0.000% due 11/01/2019		900		524
Indiana 0.9%
Mishawaka, Indiana School Building Corp. Revenue Bonds, (FSA Insured), Series 2006
4.250% due 01/15/2026		500		483
New York 75.7%
Amherst, New York General Obligation Notes, (FGIC Insured), Series 1999
5.500% due 12/01/2008		150		154
Buffalo, New York Fiscal Stability Authority Revenue Notes, (MBIA Insured), Series 2005
5.000% due 09/01/2014		1,040		1,129
Buffalo, New York Municipal Water Systems Finance Authority Revenue Bonds, (FSA Insured), Series 2002
5.000% due 07/01/2027		500		535
East Rochester, New York Housing Authority Revenue Bonds, Series 2006
5.500% due 08/01/2033		100		102
Erie County, New York Industrial Development Agency Revenue Bonds, (FSA Insured), Series 2004
5.750% due 05/01/2025		1,000		1,122
Hudson Yards Infrastructure Corp., New York Revenue Bonds, (MBIA Insured), Series 2006
4.500% due 02/15/2047		3,000		3,002
Jay Street Development Corp., New York Revenue Bonds, Series 2005
3.920% due 05/01/2022		1,200		1,200
Liberty, New York Development Corporations Revenue Bonds, Series 2005
5.250% due 10/01/2035		525		608
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
4.811% due 09/01/2015		500		501
New York City, New York General Obligation Bonds, Series 1993
3.850% due 08/01/2017		1,000		1,000
New York City, New York General Obligation Bonds, Series 1997
5.250% due 08/01/2021		100		102
New York City, New York General Obligation Bonds, Series 2006
5.000% due 08/01/2022		1,000		1,068
New York City, New York General Obligation Notes, (MBIA-IBC Insured), Series 2002
5.750% due 08/01/2011		250		272
New York City, New York General Obligation Notes, Series 2005
5.000% due 04/01/2011		250		262
New York City, New York General Obligation Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2018		500		541
New York City, New York Industrial Development Agency Revenue Bonds, (AMBAC Insured), Series 2006
5.000% due 02/01/2036		500		531
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
5.025% due 03/01/2022		1,400		1,403
New York City, New York Industrial Development Agency Revenue Bonds, Series 2001
5.500% due 07/01/2028		250		259
New York City, New York Industrial Development Agency Revenue Bonds, Series 2002
6.450% due 07/01/2032		250		264
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.500% due 06/15/2037		1,000		990
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2000
5.500% due 11/01/2029		500		534
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
3.980% due 11/01/2022		1,000		1,000
5.000% due 08/01/2024		525		552
5.250% due 02/01/2029		500		527
New York City, New York Transitional Finance Authority Revenue Notes, Series 2002
5.250% due 11/01/2011		600		642
New York City, New York Transitional Finance Authority Revenue Notes, Series 2003
5.000% due 08/01/2010		395		413
New York Sales Tax Asset Receivables Corporations Revenue Bonds, (MBIA Insured), Series 2004
5.250% due 10/15/2018		1,000		1,095
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.250% due 08/15/2015		250		283
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000
5.340% due 08/15/2022		250		262
New York State Dormitory Authority Revenue Bonds, (MBIA State Aid Withholding Insured), Series 2002
5.000% due 10/01/2030		750		790
New York State Dormitory Authority Revenue Bonds, Series 1997
3.890% due 07/01/2012		265		265
New York State Dormitory Authority Revenue Bonds, Series 2000
6.000% due 07/01/2010		150		160
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		400		441
New York State Dormitory Authority Revenue Bonds, Series 2005
5.000% due 03/15/2035		750		793
New York State Dormitory Authority Revenue Bonds, Series 2006
5.000% due 12/15/2017		1,000		1,096
5.000% due 07/01/2026		500		517
New York State Dormitory Authority Revenue Notes, (FGIC FHA 242 Insured), Series 2005
5.000% due 02/01/2013		965		1,028
New York State Dormitory Authority Revenue Notes, (FSA Insured), Series 1998
4.750% due 07/01/2008		150		153
New York State Dormitory Authority Revenue Notes, (FSA Insured), Series 2001
5.000% due 07/01/2011		455		479
New York State Dormitory Authority Revenue Notes, (MBIA Insured), Series 2003
5.000% due 07/01/2011		250		264
New York State Dormitory Authority Revenue Notes, (MBIA State Aid Withholding Insured), Series 2002
5.000% due 10/01/2012		500		535
New York State Dormitory Authority Revenue Notes, Series 2001
5.250% due 07/01/2010		860		890
New York State Environmental Facilities Corporations Revenue Bonds, Series 2002
4.550% due 05/01/2012		500		503
5.000% due 06/15/2014		400		427
New York State Environmental Facilities Corporations Revenue Notes, Series 2002
5.000% due 06/15/2012		500		534
New York State Housing Finance Agency Revenue Bonds, (FGIC Insured), Series 2005
5.000% due 09/15/2030		1,000		1,059
New York State Local Government Assistance Corporations Revenue Bonds, (FGIC Insured), Series 2003
3.790% due 04/01/2021		500		500
New York State Local Government Assistance Corporations Revenue Bonds, (General Obligations Insured), Series 1993
6.000% due 04/01/2014		320		359
New York State Local Government Assistance Corporations Revenue Bonds, (MBIA Insured), Series 1997
5.125% due 04/01/2013		150		154
New York State Metropolitan Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 11/15/2032		200		211
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2006
5.000% due 11/15/2035		1,000		1,055
New York State Mortgage Agency Homeowner Mortgage Revenue Bonds, Series 2006
4.700% due 10/01/2031		500		504
New York State Power Authority Revenue Bonds, (FGIC Insured), Series 2006
5.000% due 11/15/2020		500		540
New York State Thruway Authority Highway & Bridge Trust Revenue Notes, (FSA Insured), Series 2003
5.000% due 04/01/2010		250		261
New York State Thruway Authority Highway & Bridge Trust Revenue Notes, (FSA Insured), Series 2005
5.000% due 04/01/2014		500		541
5.000% due 04/01/2015		500		544
New York State Thruway Authority Highway & Bridge Trust Revenue Notes, (MBIA Insured), Series 2002
5.250% due 04/01/2011		500		532
New York State Thruway Authority Revenue Bonds, (FSA Insured), Series 2005
4.750% due 01/01/2030		1,000		1,040
New York State Triborough Bridge & Tunnel Authority Revenue Notes, (MBIA-IBC Insured), Series 2002
5.000% due 11/15/2010		500		525
New York State TSASC, Inc. Revenue Bonds, Series 2002
5.000% due 07/15/2014		750		801
New York State Urban Development Corp. Revenue Bonds, Series 2002
5.500% due 01/01/2017		500		531
New York State Urban Development Corp. Revenue Notes, Series 2003
5.000% due 03/15/2011		495		521
Niagara County, New York Industrial Development Agency Revenue Bonds, (GMNA Insured), Series 2006
5.000% due 07/20/2038		500		506
Orange County, New York General Obligation Notes, Series 2005
5.000% due 07/15/2013		500		538
Schenectady, New York Industrial Development Agency Revenue Bonds, Series 2001
5.500% due 07/01/2016		500		548
Spencerport, New York Central School District General Obligation Bonds, (MBIA State Aid Withholding Insured), Series 2002
5.000% due 06/15/2019		250		264
Troy, New York Industrial Development Agency Revenue Bonds, Series 2002
5.500% due 09/01/2015		500		544
				41,306
Puerto Rico 7.9%
Commonwealth of Puerto Rico General Obligation Bonds, (Assured Guarantee Insured), Series 2006
5.231% due 07/01/2020		1,000		1,000
Commonwealth of Puerto Rico General Obligation Bonds, Series 2006
5.000% due 07/01/2035		250		262
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.500% due 07/01/2013		200		221
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2002
5.750% due 07/01/2041		1,000		1,107
Puerto Rico Children’s Trust Fund Revenue Bonds, Series 2000
6.000% due 07/01/2026		100		108
Puerto Rico Commonwealth Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2008		1,000		1,020
Puerto Rico Public Finance Corporations Revenue Bonds, Series 2004
5.750% due 08/01/2027		550		594
				4,312
Texas 2.0%
Coppell, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
0.000% due 08/15/2016		805		544
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2005
4.750% due 11/15/2030		400		413
Waco, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
5.000% due 08/15/2021		120		127
				1,084
Virgin Islands 0.5%
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		250		275
Total Municipal Bonds & Notes (Cost $50,048)				50,552
SHORT-TERM INSTRUMENTS 4.2%
Repurchase Agreements 3.9%
State Street Bank and Trust Co.
4.900% due 01/02/2007		2,124		2,124
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $2,167. Repurchase proceeds are $2,125.)
U.S. Treasury Bills 0.3%
4.795% due 03/15/2007 (b)		145		143
Total Short-Term Instruments (Cost $2,268)				2,267
Total Investments (a) 97.7% (Cost $52,816)			$	53,319
Written Options (c) (0.0%) (Premiums $8)				(2	)
Other Assets and Liabilities (Net) 2.3%				1,260
Net Assets 100.0%			$	54,577

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

(a) As of December 31, 2006, portfolio securities with an aggregate value of $500 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(b) Securities with an aggregate market value of $143 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized (Depreciation	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	10	$	(2	)

(c) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	110.000	2/23/2007	20	$	8	$	2

See accompanying notes

Schedule of Investments

Real Return Asset Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.4%
Georgia-Pacific Corp.
7.300% due 12/20/2012	$	1,524	$	1,533
7.350% due 12/20/2012		95		96
7.367% due 12/20/2012		366		368
Shackleton Re Ltd.
12.968% due 08/01/2008		3,000		3,000
13.468% due 08/01/2008		1,500		1,522
Total Bank Loan Obligations (Cost $6,461)				6,519
CORPORATE BONDS & NOTES 7.2%
Banking & Finance 4.5%
Atlantic & Western Re Ltd.
11.372% due 01/09/2007		3,000		3,002
11.622% due 01/09/2009		1,900		1,834
C10 Capital SPV Ltd.
6.722% due 12/01/2049		1,000		1,001
Calabash Re II Ltd. (a)
13.746% due 01/08/2010		700		700
14.946% due 01/08/2010		400		400
16.246% due 01/08/2010		300		300
Citigroup, Inc.
5.416% due 01/30/2009		1,700		1,701
Export-Import Bank of Korea
5.590% due 10/04/2011		4,500		4,505
Ford Motor Credit Co.
6.315% due 03/21/2007		1,000		1,000
7.875% due 06/15/2010		7,500		7,568
Foundation Re II Ltd.
12.123% due 11/26/2010		2,000		2,000
General Electric Capital Corp.
5.396% due 12/12/2008		1,500		1,502
General Motors Acceptance Corp.
6.875% due 09/15/2011		1,600		1,643
6.875% due 08/28/2012		2,500		2,570
Mystic Re Ltd.
14.370% due 12/05/2008		1,500		1,499
Phoenix Quake Wind Ltd.
7.820% due 07/03/2008		1,750		1,760
Rabobank Nederland
5.394% due 01/15/2009		1,400		1,401
Redwood Capital IX Ltd.
7.764% due 01/09/2008		900		901
11.614% due 01/09/2008		400		400
Shackleton Re Ltd.
13.376% due 02/07/2008		3,000		3,021
Societe Generale NY
5.299% due 06/30/2008		21,700		21,690
Travelers Property Casualty Corp.
3.750% due 03/15/2008		100		98
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		5,100		5,102
Vita Capital II Ltd.
6.486% due 01/01/2012		1,600		1,600
Vita Capital Ltd.
6.710% due 01/01/2007		700		700
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		4,200		4,207
Wachovia Bank N.A.
5.440% due 12/02/2010		5,200		5,208
				77,313
Industrials 1.7%
Caesars Entertainment, Inc.
8.875% due 09/15/2008		1,600		1,672
CSC Holdings, Inc.
7.875% due 12/15/2007		1,600		1,624
EchoStar DBS Corp.
5.750% due 10/01/2008		1,300		1,299
6.375% due 10/01/2011		2,000		1,992
El Paso Corp.
6.950% due 12/15/2007		200		203
7.625% due 08/16/2007		300		304
Mandalay Resort Group
10.250% due 08/01/2007		2,900		2,983
MGM Mirage
9.750% due 06/01/2007		6,750		6,868
Mirage Resorts, Inc.
6.750% due 02/01/2008		1,000		1,011
Pemex Project Funding Master Trust
8.625% due 02/01/2022		100		124
9.500% due 09/15/2027		500		673
Reynolds American, Inc.
6.500% due 06/01/2007		7,800		7,850
Royal Caribbean Cruises Ltd.
7.000% due 10/15/2007		400		406
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/2007		1,050		1,055
				28,064
Utilities 1.0%
America Movil S.A. de C.V.
5.466% due 06/27/2008		10,000		9,993
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		100		102
CMS Energy Corp.
7.500% due 01/15/2009		1,000		1,036
8.900% due 07/15/2008		3,000		3,150
Embarq Corp.
7.082% due 06/01/2016		800		816
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		2,500		2,519
				17,616
Total Corporate Bonds & Notes (Cost $121,785)				122,993
MUNICIPAL BONDS & NOTES 0.1%
Chicago, Illinois General Obligation Revenue Notes, (FSA Insured), Series 2006
5.861% due 01/01/2014		200		219
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		500		538
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.750% due 06/01/2039		250		286
New York City, New York Municipal Finance Authority Water and Sewer Systems, Series 2006
4.750% due 06/15/2038 (g)		600		618
Total Municipal Bonds & Notes (Cost $1,472)				1,661
COMMODITY INDEX-LINKED NOTES 0.9%
AIG - Fp Matched Funding Corp.
5.508% due 06/15/2007		17,000		15,856
Total Commodity Index-Linked Notes (Cost $17,000)				15,856
U.S. GOVERNMENT AGENCIES 10.4%
Fannie Mae
5.500% due 12/01/2033 - 01/01/2037		161,202		159,356
5.958% due 09/01/2044 - 10/01/2044		1,137		1,147
6.000% due 10/01/2036 - 01/01/2037		18,100		18,224
Freddie Mac
5.630% due 09/25/2031		212		212
Total U.S. Government Agencies (Cost $179,958)				178,939
U.S. TREASURY OBLIGATIONS 119.0%
Treasury Inflation Protected Securities (c)
0.875% due 04/15/2010		38,145		36,175
1.625% due 01/15/2015		4,863		4,579
1.875% due 07/15/2013		22,195		21,449
1.875% due 07/15/2015		104		100
2.000% due 01/15/2026		108,182		101,776
2.375% due 04/15/2011		1,118		1,114
2.375% due 01/15/2025		679,817		677,029
2.500% due 07/15/2016		11,791		11,884
3.375% due 01/15/2007		122,275		122,103
3.375% due 04/15/2032		2,274		2,747
3.625% due 01/15/2008		500		505
3.625% due 04/15/2028		523,988		632,818
3.875% due 01/15/2009		1,600		1,644
3.875% due 04/15/2029		308,665		388,797
U.S. Treasury Notes
4.250% due 08/15/2013		29,900		29,160
4.875% due 04/30/2011		9,200		9,263
Total U.S. Treasury Obligations (Cost $2,073,038)				2,041,143
MORTGAGE-BACKED SECURITIES 0.3%
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		410		407
Countrywide Home Loan Mortgage Pass-Through Trust
5.690% due 06/25/2035		625		624
GSR Mortgage Loan Trust
4.540% due 09/25/2035		3,390		3,332
Total Mortgage-Backed Securities (Cost $4,403)				4,363
ASSET-BACKED SECURITIES 0.3%
Lehman XS Trust
5.430% due 07/25/2046		3,628		3,630
Merrill Lynch Mortgage Investors, Inc.
5.410% due 04/25/2037		407		407
5.430% due 01/25/2037		647		647
Residential Asset Securities Corp.
5.420% due 04/25/2036		289		290
Soundview Home Equity Loan Trust
5.420% due 02/25/2036		152		152
5.420% due 03/25/2036		93		93
Total Asset-Backed Securities (Cost $5,216)				5,219
SOVEREIGN ISSUES 0.0%
Russia Government International Bond
5.000% due 03/31/2030		100		113
Total Sovereign Issues (Cost $103)				113
FOREIGN CURRENCY-DENOMINATED ISSUES 0.6%
Canadian Government Bond
3.000% due 12/01/2036 (c)	CAD	317		351
Pylon Ltd.
5.179% due 12/18/2008 (l)	EUR	700		929
7.579% due 12/18/2008		1,200		1,596
Sweden Government Bond
3.500% due 12/01/2028	SEK	37,000		8,148
Total Foreign Currency-Denominated Issues (Cost $9,978)				11,024
SHORT-TERM INSTRUMENTS 9.4%
Certificates of Deposit 1.0%
Abbey National Treasury Services PLC
5.276% due 07/02/2008	$	17,300		17,300
Commercial Paper 4.5%
Bank of America Corp.
5.230% due 03/09/2007		57,600		57,012
Cox Communications, Inc.
5.449% due 01/16/2007		900		900
HBOS Treasury Services PLC
5.225% due 03/06/2007		13,764		13,630
Viacom, Inc.
5.594% due 05/29/2007		6,700		6,700
				78,242
Repurchase Agreements 0.1%
Lehman Brothers, Inc.
4.850% due 01/02/2007		1,000		1,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 04/15/2029 valued at $1,025. Repurchase proceeds are $1,001.)
Tri-Party Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 01/02/2007		5,708		5,708
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.000% due 03/10/2008 valued at $5,823. Repurchase proceeds are $5,711.)
Germany Treasury Bills 1.8%
3.090% due 01/17/2007	EUR	23,200		30,589
U.S. Treasury Bills 1.7%
4.819% due 03/01/2007 - 03/15/2007 (b)(d)(e)(h)	$	29,011		28,697
Total Short-Term Instruments (Cost $160,064)				161,536
Purchased Options (j) 0.0% (Cost $653)				159
Total Investments (f) 148.6% (Cost $2,580,131)			$	2,549,525
Written Options (k) (0.1%) (Premiums $1,765)				(1,779	)
Other Assets and Liabilities (Net) (48.5%)				(832,467	)
Net Assets 100.0%			$	1,715,279

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

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

(d) Securities with an aggregate market value of $1,731 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(e) Securities with an aggregate market value of $24,432 have been pledged as collateral for delayed-delivery securities on December 31, 2006.

(f) As of December 31, 2006, portfolio securities with an aggregate value of $40,196 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Residual Interest Bonds Held in Trust - Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Portfolio acquired the residual interest certificates. These securities serve as collateral in a financing transaction.

(h) Securities with an aggregate market value of $2,038 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Eurodollar December Futures	Long	12/2007	66	$	1
90-Day Eurodollar December Futures	Long	12/2008	81		36
90-Day Eurodollar June Futures	Long	06/2007	73		(47	)
90-Day Eurodollar June Futures	Short	06/2008	85		29
90-Day Eurodollar June Futures	Long	06/2009	81		46
90-Day Eurodollar March Futures	Long	03/2008	67		13
90-Day Eurodollar March Futures	Long	03/2009	81		41
90-Day Eurodollar September Futures	Long	09/2007	151		(46	)
90-Day Eurodollar September Futures	Short	09/2008	4		1
U.S. Treasury 5-Year Note March Futures	Long	03/2007	407		(224	)
U.S. Treasury 10-Year Note March Futures	Short	03/2007	359		476
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	647		1,000
				$	1,326

(i) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008	$	1,800	$	5
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		4,600		4
Barclays Bank PLC	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.350	%	12/20/2008		3,200		(1)
Barclays Bank PLC	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.330	%	12/20/2008		3,200		2
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.780	%	12/20/2008		3,200		2
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.510	%	12/20/2008		6,400		15
Deutsche Bank AG	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.325	%	12/20/2008		3,000		2
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.790	%	12/20/2008		3,000		2
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.950	%	6/20/2007		2,000		27
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.700	%	6/20/2007		200		4
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.400	%	6/20/2011		1,900		184
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.680	%	6/20/2007		100		1
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	6/20/2007		1,000		20
HSBC Bank USA	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.280	%	11/20/2007		3,000		2
Lehman Brothers, Inc.	Peru Government International Bond 9.125% due 02/21/2012	Sell	0.370	%	12/20/2008		3,000		0
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		1,600		2
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.250	%	9/20/2007		3,000		107
								$	378

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Deutsche Bank AG	3-Month Canadian Bank Bill	Pay	5.500	%	6/15/2035	CAD	3,900	$	(102	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.500	%	6/15/2035		7,300		(187	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	3,700		71
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.138	%	1/19/2016		10,700		77
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		3,800		60
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.040	%	2/21/2011		3,400		37
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.261	%	7/14/2011		100		2
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.028	%	10/15/2011		7,600		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		7,200		39
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	6/15/2017		6,800		203
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		5,500		100
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.095	%	10/15/2011		32,400		433
UBS AG	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Pay	2.275	%	10/15/2016		8,100		(11	)
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		8,100		43
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2009	GBP	59,900		(491	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	6/12/2036		4,800		283
UBS AG	United Kingdom RPI Index	Pay	2.548	%	11/14/2016		7,500		33
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016	MXN	53,000		301
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	7,800		179
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		2,800		(31	)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		15,700		330
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2021		5,500		(229	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		5,900		(326	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		2,300		(8	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		9,500		83
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		11,200		256
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		15,200		348
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		300		7
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2037		5,200		113
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		2,100		(23	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/18/2009		150,000		457
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		1,500		(5	)
								$	2,042

(j) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007	$	125,000	$	550	$	734
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		28,000		103		164
									$	653	$	898

Straddle Options

Description	Counterparty		Exercise Price	(2)	Expiration Date		Notional Amount		Cost	(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.	$	0.000		3/20/2007	$	65,100	$	0		$	(655	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	JPMorgan Chase & Co.		0.000		3/20/2007		8,700		0			(84	)
								$	0		$	(739	)

⁽²⁾ Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(k) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	115.000	2/23/2007	281	$	155	$	44
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	281		97		145
					$	252	$	189

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.300	%	1/2/2007	$	61,000	$	317	$	541
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		30,000		341		0
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	6.100	%	1/2/2007		31,000		204		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		54,000		549		863
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.325	%	6/7/2007		12,000		102		186
									$	1,513	$	1,590

(l) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Pylon Ltd.	5.179	%	12/18/2008	12/11/2003	$	850	$	929	0.05	%

(m) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(3)
Treasury Inflation Protected Securities	2.000	%	1/15/2014	$	24,038	$	23,915	$	23,590
U.S. Treasury Notes	4.250	%	11/15/2013		7,000		6,942		6,864
U.S. Treasury Notes	4.750	%	5/15/2014		800		818		808
						$	31,675	$	31,262

⁽³⁾ Market value includes $285 of interest payable on short sales.

(n) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Sell	CAD	2,206	01/2007	$	34	$	0		$	34
Buy	EUR	3,634	01/2007		32		(5	)		27
Sell		12,649	01/2007		0		(84	)		(84	)
Buy	GBP	174	01/2007		2		0			2
Sell	JPY	3,511,081	01/2007		43		0			43
Buy		9,275,170	02/2007		0		(1,093	)		(1,093	)
Buy	PLN	165	04/2007		2		0			2
Buy	RUB	1,409	03/2007		1		0			1
Sell	SEK	55,674	03/2007		0		(3	)		(3	)
				$	114	$	(1,185	)	$	(1,071	)

See accompanying notes

Schedule of Investments

Real Return Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 0.3%
Ford Motor Co.
8.360% due 11/29/2013	$	5,000		$	5,003
Georgia-Pacific Corp.
7.300% due 12/20/2012		10,667			10,729
7.350% due 12/20/2012		667			670
7.367% due 12/20/2012		2,562			2,577
Shackleton Re Ltd.
12.968% due 08/01/2008		9,000			9,000
13.468% due 08/01/2008		3,000			3,045
Total Bank Loan Obligations (Cost $30,848)					31,024
CORPORATE BONDS & NOTES 5.1%
Banking & finance 3.4%
C10 Capital SPV Ltd.
6.722% due 12/01/2049		6,000			6,007
Calabash Re II Ltd. (b)
13.746% due 01/08/2010		5,700			5,704
14.946% due 01/08/2010		2,500			2,501
16.246% due 01/08/2010		2,500			2,501
CIT Group, Inc.
5.000% due 11/24/2008		25,000			24,887
Citigroup, Inc.
5.416% due 01/30/2009		16,200			16,215
5.421% due 05/02/2008		14,100			14,123
Danske Bank A/S
5.914% due 12/29/2049		7,000			7,044
Export-Import Bank of Korea
5.590% due 10/04/2011		18,200			18,219
Ford Motor Credit Co.
6.192% due 09/28/2007		10,000			9,989
6.315% due 03/21/2007		20,900			20,897
Foundation Re II Ltd.
12.123% due 11/26/2010		10,300			10,299
General Electric Capital Corp.
5.396% due 12/12/2008		12,700			12,717
5.476% due 07/28/2008		3,500			3,508
General Motors Acceptance Corp.
6.125% due 08/28/2007		870			870
Kamp Re 2005 Ltd.
5.450% due 12/14/2007 (a)		5,000			3
Mystic Re Ltd.
11.670% due 12/05/2008		6,900			6,897
14.370% due 12/05/2008		3,300			3,297
Osiris Capital PLC
10.360% due 01/15/2010		1,700			1,709
Parametric Re Ltd.
7.450% due 11/19/2007		11,500			11,658
9.690% due 05/19/2008		1,500			1,514
Phoenix Quake Ltd.
7.820% due 07/03/2008		50,550			50,944
Phoenix Quake Wind Ltd.
7.820% due 07/03/2008		9,000			9,050
Phoenix Quake Wind II Ltd.
8.870% due 07/03/2008		13,750			12,644
Rabobank Nederland
5.394% due 01/15/2009		11,300			11,308
Redwood Capital IX Ltd.
7.764% due 01/09/2008		2,300			2,302
13.114% due 01/09/2008		2,200			2,202
Shackleton Re Ltd.
13.376% due 02/07/2008		5,500			5,539
Travelers Property Casualty Corp.
3.750% due 03/15/2008		7,000			6,840
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		22,000			22,011
Vita Capital Ltd.
6.710% due 01/01/2007		34,200			34,200
6.772% due 01/01/2010		5,000			5,028
Vita Capital II Ltd.
6.486% due 01/01/2012		7,900			7,898
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		20,100			20,135
Wachovia Bank N.A.
5.440% due 12/02/2010		30,500			30,545
Wells Fargo Capital X
5.950% due 12/15/2036		15,000			14,752
					415,957
Industrials 1.3%
Allied Waste North America, Inc.
8.500% due 12/01/2008		5,875			6,205
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		4,000			4,025
Caesars Entertainment, Inc.
8.875% due 09/15/2008		5,930			6,197
CSC Holdings, Inc.
7.250% due 07/15/2008		3,510			3,558
7.875% due 12/15/2007		8,200			8,323
EchoStar DBS Corp.
5.750% due 10/01/2008		10,600			10,587
6.375% due 10/01/2011		2,000			1,992
El Paso Corp.
6.950% due 12/15/2007		2,630			2,666
7.625% due 08/16/2007		4,300			4,364
General Electric Co.
5.393% due 12/09/2008		6,000			6,007
HJ Heinz Co.
6.428% due 12/01/2008		20,000			20,366
Mandalay Resort Group
9.500% due 08/01/2008		2,700			2,848
10.250% due 08/01/2007		11,500			11,831
Pemex Project Funding Master Trust
7.375% due 12/15/2014		22,000			24,277
8.625% due 02/01/2022		6,900			8,546
9.500% due 09/15/2027		14,850			19,996
Reynolds American, Inc.
6.500% due 06/01/2007		1,701			1,712
Royal Caribbean Cruises Ltd.
7.000% due 10/15/2007		2,000			2,028
Service Corp. International
7.700% due 04/15/2009		6,533			6,811
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/2007		1,700			1,707
Weyerhaeuser Co.
6.125% due 03/15/2007		521			521
					154,567
Utilities 0.4%
Citizens Communications Co.
7.625% due 08/15/2008		5,000			5,200
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		7,000			7,161
CMS Energy Corp.
7.500% due 01/15/2009		12,650			13,109
Embarq Corp.
7.082% due 06/01/2016		4,600			4,691
Midwest Generation LLC
8.300% due 07/02/2009		14,594			15,022
Ohio Edison Co.
4.000% due 05/01/2008		10,000			9,817
					55,000
Total Corporate Bonds & Notes (Cost $623,643)					625,524
MUNICIPAL BONDS & NOTES 0.6%
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		3,385			3,420
Chicago, Illinois General Obligation Revenue Notes, (FSA Insured), Series 2006
5.861% due 01/01/2014		1,570			1,723
5.862% due 01/01/2014		930			998
Connecticut State Health & Educational Facilities Authority Revenue Notes, (FSA Insured), Series 2004
5.000% due 11/01/2013		4,000			4,316
District of Columbia Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
6.250% due 05/15/2024		8,640			9,240
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021		2,475			2,484
6.250% due 06/01/2033		25,000			27,971
6.625% due 06/01/2040		380			433
6.750% due 06/01/2039		1,445			1,657
Kansas City, Kansas Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 09/01/2013		3,870			4,148
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2042		1,365			1,489
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.375% due 06/01/2032		6,000			6,737
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006 Series 2006
4.750% due 06/15/2038 (h)		4,700			4,840
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
5.902% due 12/15/2013		3			3
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2023		750			797
6.125% due 06/01/2032		740			793
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		415			459
Total Municipal Bonds & Notes (Cost $63,411)					71,508
U.S. GOVERNMENT AGENCIES 6.8%
Fannie Mae
4.294% due 08/01/2035		474			471
4.588% due 07/01/2035		653			654
4.659% due 05/01/2035		1,876			1,860
4.673% due 04/01/2035		1,350			1,346
4.841% due 06/01/2033		392			395
5.000% due 06/25/2027 - 03/01/2036		26,392			25,765
5.480% due 03/25/2036		5,826			5,833
5.500% due 02/01/2033 - 01/01/2037		521,637			515,620
5.958% due 09/01/2044 - 10/01/2044		9,942			10,023
6.000% due 01/01/2037		241,000			242,657
7.199% due 10/01/2031		668			677
Federal Housing Administration
7.430% due 12/01/2020		101			102
Freddie Mac
5.000% due 01/15/2024		7,028			7,000
5.630% due 09/25/2031		2,440			2,442
5.700% due 12/15/2030		7,751			7,769
5.958% due 10/25/2044		15,150			15,235
6.500% due 01/25/2028		79			81
7.000% due 10/15/2030		362			363
Government National Mortgage Association
6.500% due 05/15/2028 - 04/15/2031		1,397			1,437
Total U.S. Government Agencies (Cost $843,918)					839,730
U.S. TREASURY OBLIGATIONS 123.0%
Treasury Inflation Protected Securities (d)
0.875% due 04/15/2010		1,249,560			1,185,032
1.625% due 01/15/2015		361,936			340,786
1.875% due 07/15/2013		828,340			800,514
1.875% due 07/15/2015		760,200			728,753
2.000% due 01/15/2014		1,231,544			1,196,715
2.000% due 07/15/2014		488,384			474,171
2.000% due 01/15/2016		55,819			53,913
2.000% due 01/15/2026		575,903			541,799
2.375% due 04/15/2011		80,186			79,892
2.375% due 01/15/2025		1,149,321			1,144,608
2.500% due 07/15/2016		438,671			442,132
3.000% due 07/15/2012		1,551,308			1,596,940
3.375% due 01/15/2007 (h)		405,425			404,855
3.375% due 01/15/2012		65,287			68,181
3.375% due 04/15/2032		26,262			31,732
3.500% due 01/15/2011		790,360			823,025
3.625% due 01/15/2008		1,108,740			1,120,911
3.625% due 04/15/2028		964,145			1,164,394
3.875% due 01/15/2009		551,785			567,132
3.875% due 04/15/2029		686,974			865,320
4.250% due 01/15/2010		734,325			773,107
U.S. Treasury Bonds
4.500% due 02/15/2036		77,200			73,437
6.250% due 08/15/2023		600			691
6.625% due 02/15/2027		23,700			28,892
7.625% due 02/15/2025		100			132
8.875% due 08/15/2017		12,100			16,190
U.S. Treasury Notes
3.875% due 09/15/2010		109,090			106,077
3.875% due 02/15/2013		20,100			19,243
4.000% due 11/15/2012		6,000			5,795
4.250% due 11/15/2013		4,400			4,285
4.250% due 11/15/2014		2,600			2,523
4.375% due 01/31/2008		1,000			994
4.500% due 02/28/2011		50,700			50,342
4.500% due 11/15/2015		1,900			1,871
4.875% due 04/30/2011		350,000			352,379
5.125% due 05/15/2016		29,400			30,292
Total U.S. Treasury Obligations (Cost $15,263,169)					15,097,055
MORTGAGE-BACKED SECURITIES 1.1%
Banc of America Funding Corp.
4.621% due 02/20/2036		48,774			48,114
Bear Stearns Adjustable Rate Mortgage Trust
4.636% due 01/25/2034		4,497			4,486
4.781% due 01/25/2034		2,692			2,662
6.259% due 11/25/2030		570			570
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		3,120			3,098
Countrywide Home Loan Mortgage Pass-Through Trust
5.690% due 06/25/2035		14,575			14,557
GSR Mortgage Loan Trust
4.540% due 09/25/2035		37,287			36,650
Harborview Mortgage Loan Trust
5.590% due 03/19/2037		2,851			2,856
5.690% due 06/20/2035		1,882			1,890
Mellon Residential Funding Corp.
5.790% due 12/15/2030		812			816
5.840% due 10/20/2029		503			509
Merrill Lynch Floating Trust
5.420% due 06/15/2022		3,268			3,270
Washington Mutual, Inc.
5.596% due 02/27/2034		3,927			3,938
5.610% due 11/25/2045		11,410			11,455
Total Mortgage-Backed Securities (Cost $135,279)					134,871
ASSET-BACKED SECURITIES 1.4%
Ameriquest Mortgage Securities, Inc.
5.680% due 06/25/2034		3,255			3,258
Argent Securities, Inc.
5.450% due 11/25/2035		408			408
5.470% due 10/25/2035		39			39
Bear Stearns Asset-Backed Securities, Inc.
5.680% due 01/25/2036		2,739			2,742
5.800% due 03/25/2043		200			201
Chase Manhattan Auto Owner Trust
4.770% due 03/15/2008		2,648			2,649
Equity One Asset-Backed Securities, Inc.
5.650% due 04/25/2034		211			212
First NLC Trust
5.470% due 02/25/2036		6,620			6,625
Ford Credit Auto Owner Trust
5.405% due 09/15/2007		3,440			3,443
GSAMP Trust
5.470% due 12/25/2035		4,543			4,544
GSR Mortgage Loan Trust
5.450% due 11/25/2030		2,746			2,748
Indymac Residential Asset-Backed Trust
5.440% due 03/25/2036		3,222			3,225
IXIS Real Estate Capital Trust
5.410% due 08/25/2036		8,721			8,726
Lehman XS Trust
5.430% due 07/25/2046		15,830			15,839
5.440% due 05/25/2046		3,493			3,493
Long Beach Mortgage Loan Trust
5.410% due 04/25/2036		9,335			9,342
5.440% due 01/25/2036		4,834			4,837
5.470% due 09/25/2035		325			325
MASTR Asset-Backed Securities Trust
5.430% due 01/25/2036		2,064			2,066
Merrill Lynch Mortgage Investors, Inc.
5.350% due 05/25/2037		14,062			14,072
5.410% due 04/25/2037		1,560			1,561
5.430% due 01/25/2037		5,086			5,089
Morgan Stanley Capital I
5.420% due 03/25/2036		8,191			8,197
New Century Home Equity Loan Trust
5.420% due 08/25/2036		14,433			14,443
Residential Asset Securities Corp.
5.420% due 04/25/2036		2,027			2,028
5.420% due 07/25/2036		18,342			18,355
5.430% due 01/25/2036		6,000			6,005
5.440% due 01/25/2036		2,584			2,587
5.450% due 10/25/2035		320			320
5.450% due 11/25/2035		2,147			2,148
Residential Funding Mortgage Securities II, Inc.
5.490% due 09/25/2035		561			562
SACO I, Inc.
5.410% due 05/25/2036		7,458			7,462
5.460% due 11/25/2020		393			393
SLC Student Loan Trust
5.330% due 12/15/2010		859			859
SLM Student Loan Trust
5.387% due 01/26/2015		2,115			2,117
Soundview Home Equity Loan Trust
5.410% due 12/25/2036		2,000			2,002
5.420% due 02/25/2036		1,175			1,176
5.420% due 03/25/2036		649			649
5.450% due 12/25/2035		2,319			2,321
Specialty Underwriting & Residential Finance
5.430% due 12/25/2036		6,819			6,825
Total Asset-Backed Securities (Cost $173,774)					173,893
SOVEREIGN ISSUES 0.1%
Mexico Government International Bond
5.625% due 01/15/2017		5,500			5,519
Russia Government International Bond
10.000% due 06/26/2007		7,000			7,166
Total Sovereign Issues (Cost $12,420)					12,685
FOREIGN CURRENCY-DENOMINATED ISSUES 1.6%
Canadian Government Bond
3.000% due 12/01/2036 (d)	CAD	20,426			22,595
4.250% due 12/01/2021		2,624			2,974
France Government Bond
1.600% due 07/25/2011	EUR	6,334			8,236
1.600% due 07/25/2015		3,136			4,076
3.150% due 07/25/2032 (d)		6,702			11,200
General Electric Capital Corp.
4.625% due 09/15/2066		4,450			5,913
5.500% due 09/15/2066	GBP	12,450			24,267
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (d)	EUR	2,135			2,863
4.250% due 08/01/2014		1,700			2,270
New Zealand Government Bond
4.500% due 02/15/2016	NZD	10,000			9,676
Province of Quebec Canada
5.000% due 12/01/2038	CAD	2,000			1,801
Pylon Ltd.
5.179% due 12/18/2008 (m)	EUR	21,850			29,009
7.579% due 12/18/2008		40,700			54,118
Sweden Government Bond
3.500% due 12/01/2028	SEK	26,500			5,835
4.000% due 12/01/2008		37,000			6,593
United Kingdom Gilt Inflation Linked
2.000% due 01/26/2035 (d)	GBP	200			551
Total Foreign Currency-Denominated Issues (Cost $173,657)					191,977
		Shares
PREFERRED STOCKS 0.0%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		2,825			2,882
Total Preferred Stocks (Cost $2,904)					2,882
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS 4.5%
Certificates of Deposit 2.3%
Abbey National Treasury Services PLC
5.276% due 07/02/2008	$	119,600			119,548
Societe Generale NY
5.299% due 06/30/2008		162,900			162,825
					282,373
Commercial Paper 0.4%
Cox Communications, Inc.
5.619% due 01/16/2007		18,200			18,200
Time Warner, Inc.
5.390% due 01/25/2007		8,400			8,372
Viacom, Inc.
5.594% due 05/29/2007		26,500			26,500
					53,072
Repurchase Agreements 0.5%
Lehman Brothers, Inc.
4.850% due 01/02/2007		58,000			58,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 2.375% due 04/15/2011 valued at $59,276. Repurchase proceeds are $58,031.)
Germany Treasury Bills 1.0%
3.133% due 01/17/2007	EUR	93,000			122,620
U.S. Treasury Bills 0.3%
4.805% due 03/01/2007 - 03/15/2007 (c)(e)(f)(i)	$	38,678			38,274
Total Short-Term Instruments (Cost $549,672)					554,339
Purchased Options (k) 0.0% (Cost $3,000)					1,173
Total Investments (g) 144.5% (Cost $17,875,695)				$	17,736,661
Written Options (l) (0.1%) (Premiums $7,123)					(7,618	)
Other Assets and Liabilities (Net) (44.4%)					(5,454,320	)
Net Assets 100.0%				$	12,274,723

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

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

(a) Security is in default.

(b) When-issued security.

(c) Coupon represents a weighted average rate.

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

(e) Securities with an aggregate market value of $8,160 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(f) Securities with an aggregate market value of $6,743 have been pledged as collateral for delayed-delivery securities on December 31, 2006.

(g) As of December 31, 2006, portfolio securities with an aggregate value of $158,751 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(h) Residual Interest Bonds Held in Trust - Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Portfolio acquired the residual interest certificates. These securities serve as collateral in a financing transaction.

(i) Securities with an aggregate market value of $22,569 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	354	$	(23	)
90-Day Eurodollar December Futures	Long	12/2008	609		274
90-Day Eurodollar June Futures	Long	06/2007	1,023		(882	)
90-Day Eurodollar June Futures	Short	06/2008	2,275		1,435
90-Day Eurodollar June Futures	Long	06/2009	609		342
90-Day Eurodollar March Futures	Long	03/2007	127		(167	)
90-Day Eurodollar March Futures	Short	03/2008	1,634		1,304
90-Day Eurodollar March Futures	Long	03/2009	609		312
90-Day Eurodollar September Futures	Long	09/2007	1,188		(174	)
90-Day Eurodollar September Futures	Short	09/2008	1,666		1,101
Euro-Bund 10-Year Note March Futures	Short	03/2007	30		29
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	2,500		(1,387	)
U.S. Treasury 5-Year Note March Futures	Long	03/2007	9,529		(5,065	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	8,695		(8,384	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	4,798		9,411
				$	(1,874	)

(j) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.350	%	9/20/2007	$	20,000	$	277
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		11,000		31
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		26,300		24
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		7,000		0
Barclays Bank PLC	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.350	%	12/20/2008		17,900		(6	)
Barclays Bank PLC	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.330	%	12/20/2008		17,900		14
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.780	%	12/20/2008		17,900		10
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.510	%	12/20/2008		36,500		86
Deutsche Bank AG	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008		4,000		0
Deutsche Bank AG	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.325	%	12/20/2008		19,000		13
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.790	%	12/20/2008		19,000		14
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.000	%	6/20/2007		2,000		27
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.300	%	9/20/2007		8,300		112
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		5,000		71
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.400	%	6/20/2011		1,100		107
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.320	%	2/20/2007		15,000		10
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	3.750	%	6/20/2007		2,000		29
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.350	%	9/20/2007		3,600		50
HSBC Bank USA	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.280	%	11/20/2007		14,000		8
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	6/20/2007		2,000		44
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	6/20/2007		2,000		38
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	6.400	%	6/20/2007		1,500		42
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.500	%	9/20/2007		2,700		41
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		4,000		0
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		4,000		(4	)
Lehman Brothers, Inc.	Peru Government International Bond 9.125% due 02/21/2012	Sell	0.370	%	12/20/2008		17,300		1
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		3,600		51
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.550	%	6/20/2007		2,000		43
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.250	%	9/20/2007		5,000		66
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		8,900		8
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		23,800		339
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.250	%	9/20/2007		9,800		351
UBS AG	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.620	%	6/20/2011		5,000		528
								$	2,425

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
HSBC Bank USA	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2025	CAD	7,000	$	(71	)
JPMorgan Chase & Co.	3-Month Canadian Bank Bill	Receive	5.500	%	12/16/2014		10,000		(131	)
JPMorgan Chase & Co.	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2025		3,300		23
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2025		9,000		11
Royal Bank of Canada	3-Month Canadian Bank Bill	Pay	5.500	%	6/15/2035		141,700		(3,874	)
UBS AG	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2025		4,700		31
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.040	%	3/15/2010	EUR	50,000		634
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		8,800		146
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	9/14/2010		60,000		1,012
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		52,200		952
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.040	%	2/21/2011		33,900		366
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.988	%	12/15/2011		72,600		(10	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.150	%	1/19/2016		75,000		938
Deutsche Bank AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.100	%	3/13/2011		4,800		66
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		40,900		85
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.028	%	10/15/2011		31,400		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		6,900		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		30,000		163
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	6/15/2017		104,450		2,417
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		22,700		428
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.095	%	10/15/2011		27,800		372
UBS AG	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275	%	10/15/2016		33,900		(46	)
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		33,900		179
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2008	GBP	13,000		(63	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2009		277,600		(2,275	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	9/15/2010		56,100		(2,345	)
Barclays Bank PLC	United Kingdom RPI Index	Pay	3.100	%	11/14/2016		40,000		186
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	6/12/2036		35,600		1,910
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2008		27,000		(212	)
UBS AG	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2008		20,000		(93	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	0.100	%	6/15/2007	JPY	2,200,000		58
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016	MXN	210,000		1,236
Barclays Bank PLC	3-Month SEK-LIBOR	Pay	4.500	%	6/17/2008	SEK	168,000		266
JPMorgan Chase & Co.	3-Month SEK-LIBOR	Pay	4.500	%	6/17/2008		46,000		62
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	197,800		4,527
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		118,950		(397	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		41,500		(455	)
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		148,600		3,401
BNP Paribas Bank	U.S. CPI Urban Counsumers NSA Index	Pay	2.790	%	10/7/2015		50,000		958
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		213,600		4,496
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2021		114,500		(4,768	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		146,500		(8,096	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		75,000		(1,914	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	6/20/2037		6,600		163
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		126,700		(423	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014		301,300		2,623
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		98,800		2,261
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2037		148,200		3,219
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		121,200		2,768
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2037		93,700		2,033
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		34,000		(373	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/18/2009		2,061,000		6,289
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		151,200		(499	)
UBS AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		59,600		(3,294	)
								$	14,940

(k) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007	$	584,000	$	2,570	$	3,426
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		117,000		430		687
									$	3,000	$	4,113

Straddle Options

Description	Counterparty	Exercise Price(2)		Expiration Date	Notional Amount		Cost(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Bank of America	$	0.000	3/20/2007	$	141,400	$	0	$	(1,421	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.		0.000	3/20/2007		24,600		0		(247	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	JPMorgan Chase & Co.		0.000	3/20/2007		35,300		0		(342	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	UBS AG		0.000	3/20/2007		100,000		0		(930	)
							$	0	$	(2,940	)

⁽²⁾ Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(l) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	115.000	2/23/2007	1,230	$	543	$	192
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	1,230		343		634
					$	886	$	826

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.300	%	1/2/2007	$	207,000	$	1,076	$	1,836
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		73,000		829		0
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	6.100	%	1/2/2007		134,000		881		0
Call - OTC 10-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Receive	4.800	%	2/1/2007		31,500		85		4
Put - OTC 10-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Pay	5.400	%	2/1/2007		31,500		96		34
Call - OTC 5-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	4.750	%	2/1/2007		84,300		118		22
Put - OTC 5-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.350	%	2/1/2007		84,300		135		45
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		254,000		2,583		4,059
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.325	%	6/7/2007		51,000		434		792
									$	6,237	$	6,792

(m) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Pylon Ltd.	5.179	%	12/18/2008	12/11/2003 -11/14/2006	$	26,617	$	29,009	0.24	%

(n) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Republic of Germany	5.625	%	1/4/2028	EUR	8,400	$	13,700	$	13,475
U.S. Treasury Notes	3.125	%	9/15/2008	$	177,200		172,807		174,100
U.S. Treasury Notes	3.250	%	8/15/2007		127,800		126,479		128,105
U.S. Treasury Notes	3.375	%	2/15/2008		147,500		145,504		146,986
U.S. Treasury Notes	3.625	%	5/15/2013		21,600		20,595		20,476
U.S. Treasury Notes	4.500	%	2/15/2016		108,600		108,753		109,041
U.S. Treasury Notes	4.750	%	5/15/2014		310,200		317,040		313,417
U.S. Treasury Notes	4.875	%	8/15/2016		55,000		56,814		56,768
						$	961,692	$	962,368

⁽³⁾ Market value includes $11,136 of interest payable on short sales.

(o) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	CAD	44,592	01/2007	$	750	$	0		$	750
Buy	CNY	427,717	09/2007		1,202		0			1,202
Buy	EUR	6,390	01/2007		87		0			87
Sell		103,361	01/2007		0		(817	)		(817	)
Sell	GBP	20,946	01/2007		0		(249	)		(249	)
Sell	JPY	13,725,004	01/2007		173		0			173
Buy		41,387,377	02/2007		0		(4,877	)		(4,877	)
Sell	NZD	9,977	01/2007		0		(366	)		(366	)
Buy	PLN	4,834	04/2007		55		0			55
Buy	RUB	40,606	03/2007		16		0			16
Sell	SEK	86,597	03/2007		0		(5	)		(5	)
				$	2,283	$	(6,314	)	$	(4,031	)

See accompanying notes

Schedule of Investments

RealEstateRealReturn Strategy Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 4.4%
Atlantic & Western Re Ltd.
11.372% due 01/09/2007	$	1,300	$	1,301
11.622% due 01/09/2009		700		676
C10 Capital SPV Ltd.
6.722% due 12/01/2049		100		100
Canadian Natural Resources Ltd.
6.000% due 08/15/2016		100		101
Citigroup, Inc.
5.416% due 01/30/2009		500		500
CSC Holdings, Inc.
7.875% due 12/15/2007		200		203
DaimlerChrysler N.A. Holding Corp.
5.833% due 09/10/2007		3,200		3,208
El Paso Corp.
7.625% due 08/16/2007		100		101
Embarq Corp.
7.082% due 06/01/2016		100		102
Ford Motor Credit Co.
7.875% due 06/15/2010		400		404
General Electric Capital Corp.
5.396% due 12/12/2008		500		501
Rabobank Nederland
5.394% due 01/15/2009		400		400
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		400		400
Vita Capital II Ltd.
6.486% due 01/01/2012		300		300
Wachovia Bank N.A.
5.440% due 12/02/2010		800		801
Total Corporate Bonds & Notes (Cost $9,092)				9,098
MUNICIPAL BONDS & NOTES 0.5%
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		200		206
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2023		500		531
6.125% due 06/01/2032		400		429
Total Municipal Bonds & Notes (Cost $992)				1,166
U.S. GOVERNMENT AGENCIES 8.9%
Fannie Mae
5.000% due 08/01/2035		908		877
5.500% due 03/01/2034 - 01/01/2037		16,090		15,910
5.958% due 09/01/2044 - 10/01/2044		297		300
6.000% due 09/01/2036 - 01/01/2037		1,197		1,205
Freddie Mac
4.500% due 05/15/2017		78		76
Total U.S. Government Agencies (Cost $18,526)				18,368
U.S. TREASURY OBLIGATIONS 128.7%
Treasury Inflation Protected Securities (b)
0.875% due 04/15/2010		5,320		5,045
1.625% due 01/15/2015		2,431		2,289
1.875% due 07/15/2013		27,876		26,940
1.875% due 07/15/2015		20,750		19,891
2.000% due 01/15/2014		29,836		28,992
2.000% due 07/15/2014		24,506		23,793
2.000% due 01/15/2026		25,418		23,913
2.375% due 04/15/2011		1,322		1,317
2.375% due 01/15/2025		8,992		8,955
2.500% due 07/15/2016		24,881		25,078
3.000% due 07/15/2012		21,412		22,042
3.375% due 01/15/2007		6,878		6,868
3.375% due 04/15/2032		909		1,099
3.625% due 01/15/2008		8,367		8,459
3.625% due 04/15/2028		26,451		31,945
3.875% due 04/15/2029		14,730		18,555
4.250% due 01/15/2010		5,038		5,304
U.S. Treasury Bonds
4.500% due 02/15/2036		1,800		1,712
6.625% due 02/15/2027		1,100		1,341
U.S. Treasury Notes
4.500% due 02/28/2011		100		99
4.500% due 11/15/2015		1,700		1,674
5.125% due 05/15/2016		600		618
Total U.S. Treasury Obligations (Cost $270,606)				265,929
MORTGAGE-BACKED SECURITIES 1.0%
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		82		82
Countrywide Home Loan Mortgage Pass-Through Trust
5.690% due 06/25/2035		625		624
GSR Mortgage Loan Trust
4.540% due 09/25/2035		1,406		1,381
Total Mortgage-Backed Securities (Cost $2,104)				2,087
ASSET-BACKED SECURITIES 0.3%
Lehman XS Trust
5.430% due 07/25/2046		247		247
Merrill Lynch Mortgage Investors, Inc.
5.430% due 01/25/2037		172		172
Residential Asset Securities Corp.
5.420% due 04/25/2036		58		58
Soundview Home Equity Loan Trust
5.420% due 02/25/2036		44		44
5.420% due 03/25/2036		31		31
Total Asset-Backed Securities (Cost $552)				552
FOREIGN CURRENCY-DENOMINATED ISSUES 1.7%
Canadian Government Bond
3.000% due 12/01/2036 (b)	CAD	212		234
France Government Bond
3.000% due 07/25/2012 (b)	EUR	1,819		2,560
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (b)		534		716
Total Foreign Currency-Denominated Issues (Cost $3,557)				3,510
SHORT-TERM INSTRUMENTS 7.7%
Certificates of Deposit 1.0%
Abbey National Treasury Services PLC
5.276% due 07/02/2008	$	2,000		1,999
Commercial Paper 0.4%
Cox Communications, Inc.
5.619% due 01/16/2007		800		800
Repurchase Agreements 1.6%
State Street Bank and Trust Co.
4.900% due 01/02/2007		3,354		3,354
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $3,424. Repurchase proceeds are $3,356.)
U.S. Treasury Bills 4.7%
4.809% due 03/01/2007 - 03/15/2007 (a)(c)(e)		9,808		9,701
Total Short-Term Instruments (Cost $15,869)				15,854
Purchased Options (g) (0.0%) (Cost $6)				(43	)
Total Investments (d) 153.2% (Cost $321,304)			$	316,521
Written Options (h) (0.0%) (Premiums $40)				(27	)
Other Assets and Liabilities (Net) (53.2%)				(109,896	)
Net Assets 100.0%			$	206,598

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

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

(a) Coupon represents a weighted average rate.

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

(c) Securities with an aggregate market value of $8,902 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(d) As of December 31, 2006, portfolio securities with an aggregate value of $400 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $799 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	78	$	(4	)
90-Day Eurodollar June Futures	Long	06/2007	35		(22	)
90-Day Eurodollar June Futures	Short	06/2008	14		15
90-Day Eurodollar March Futures	Long	03/2008	36		8
90-Day Eurodollar September Futures	Long	09/2007	72		(39	)
90-Day Eurodollar September Futures	Short	09/2008	14		14
Euro-Bund 10-Year Note March Futures	Short	03/2007	20		20
U.S. Treasury 5-Year Note March Futures	Long	03/2007	348		(199	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	452		(432	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	139		231
				$	(408	)

(f) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.700	%	6/20/2007	$	200	$	3
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.680	%	6/20/2007		100		1
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.550	%	6/20/2007		1,000		17
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.450	%	6/20/2007		1,000		16
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.750	%	6/20/2007		1,000		17
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.350	%	6/20/2007		1,000		15
Wachovia Bank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.410	%	6/20/2007		1,000		16
								$	85

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	3-Month Canadian Bank Bill	Receive	5.000	%	6/15/2015	CAD	18,000	$	(283	)
Bank of America	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027		2,500		(30	)
Deutsche Bank AG	3-Month Canadian Bank Bill	Pay	5.500	%	6/15/2035		500		(13	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.500	%	6/15/2035		800		(21	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027		4,000		(28	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Pay	5.500	%	6/15/2035		2,100		(57	)
Barclays Bank PLC	5-year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	1,400		27
Barclays Bank PLC	5-year French CPI Ex Tobacco Daily Reference Index	Pay	2.138	%	1/19/2016		2,000		14
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		5,600		100
JPMorgan Chase & Co.	5-year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		500		3
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	6/15/2017		4,100		122
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,500		29
UBS AG	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Pay	2.275	%	10/15/2016		500		(1	)
UBS AG	5-year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		500		3
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2009	GBP	4,000		(33	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		900		(1	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	6/12/2036		1,100		65
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	6/21/2011	$	3,900		(14	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	6/21/2016		13,400		35
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	6/21/2013		4,300		19
Citibank N.A.	3-Month USD-LIBOR	Pay	5.000	%	6/21/2008		300		1
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	6/21/2008		1,000		(4	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	6/21/2011		2,200		(8	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/21/2016		3,300		9
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/21/2016		11,200		30
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/21/2013		9,500		98
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/21/2016		10,200		(175	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/21/2008		10,700		(46	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/18/2009		11,000		34
UBS AG	3-Month USD-LIBOR	Receive	5.000	%	6/21/2016		3,800		(21	)
								$	(146	)

Total Return Swaps

Counterparty	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized (Depreciation)
Bear Stearns & Co., Inc.	Wilshire REIT Total Return Index	1-Month USD-LIBOR plus 0.350%	7/31/2007	17,666	$	(2,952	)
Credit Suisse First Boston	Wilshire REIT Total Return Index	1-Month USD-LIBOR plus 0.350%	7/31/2007	18,473		(3,089	)
					$	(6,041	)

(g) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CBOT U.S. Treasury 10-Year Note March Futures	$	104.000	2/23/2007	211	$	4	$	7
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	16		0		0
Put - CME 90-Day Eurodollar March Futures		92.250	3/19/2007	170		2		0
					$	6	$	7

Straddle Options

Description	Counterparty		Exercise Price	(1)	Expiration Date		Notional Amount		Cost	(1)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.	$	0.000		3/20/2007	$	4,400	$	0		$	(44	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	JPMorgan Chase & Co.		0.000		3/20/2007		600		0			(6	)
								$	0		$	(50	)

⁽¹⁾ Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(h) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	115.000	2/23/2007	40	$	25	$	6
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	40		15		21
					$	40	$	27

(i) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(1)
Treasury Inflation Protected Securities	2.000	%	1/15/2014	$	10,909	$	10,746	$	10,606
U.S. Treasury Notes	4.250	%	11/15/2013		8,200		8,131		8,040
						$	18,877	$	18,646

⁽¹⁾ Market value includes $60 of interest payable on short sales.

(j) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	CAD	680	01/2007	$	0	$	(17	)	$	(17	)
Sell		592	01/2007		8		0			8
Buy	EUR	614	01/2007		0		(9	)		(9	)
Sell		1,181	01/2007		0		(8	)		(8	)
Buy	JPY	120,290	01/2007		0		(6	)		(6	)
Sell		241,411	01/2007		3		0			3
Buy		607,739	02/2007		0		(72	)		(72	)
Buy	PLN	133	04/2007		2		0			2
Buy	RUB	1,128	03/2007		0		0			0
				$	13	$	(112	)	$	(99	)

See accompanying notes

Schedule of Investments

Short Duration Municipal Income Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 93.0%
Alabama 2.8%
Daphne, Alabama Special Care Facilities Financing Authority Revenue Bonds, Series 1988
0.000% due 08/15/2028	$	3,500	$	3,293
Jefferson County, Alabama Limited Obligation Revenue Notes, Series 2004
5.000% due 01/01/2009		1,100		1,127
5.250% due 01/01/2013		4,350		4,687
				9,107
Alaska 0.4%
North Slope Boro, Alaska General Obligation Notes, (MBIA Insured), Series 2000
0.000% due 06/30/2008		1,345		1,273
Arizona 4.1%
Arizona State Greater Arizona Development Authority Infrastructure Revenue Notes, (MBIA Insured), Series 2005
5.000% due 08/01/2011		2,195		2,321
5.000% due 08/01/2012		2,305		2,462
Arizona Water Infrastructure Finance Authority Revenue Bonds, Series 2004
5.000% due 10/01/2014		2,000		2,173
Maricopa, Arizona Hospital Revenue Notes, Series 2005
5.000% due 04/01/2010		2,000		2,061
Nogales, Arizona Revenue Bonds, Series 2006
3.750% due 10/01/2046		1,000		1,000
Phoenix, Arizona Civic Improvement Corp. Revenue Bonds, (MBIA Insured), Series 2004
5.000% due 07/01/2015		3,000		3,249
				13,266
California 4.3%
Culver, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2023		620		658
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021		6,340		6,362
6.250% due 06/01/2033		2,285		2,557
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2030		2,275		780
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2014		3,595		2,675
Pittsburg, California Redevelopment Agency Tax Allocation Notes, (MBIA Insured), Series 2003
5.000% due 08/01/2011		825		872
				13,904
Connecticut 0.2%
New Britain, Connecticut General Obligation Notes, Series 2003
4.000% due 04/15/2007		560		560
Florida 3.0%
Collier, Florida Multi-Family Housing Finance Authority Revenue Notes, Series 2002
4.600% due 08/15/2011		665		690
Dade County, Florida Guaranteed Entitlement Revenue Bonds, (MBIA Insured), Series 1995
0.000% due 02/01/2018		2,000		1,054
Florida State Board of Education General Obligation Bonds, (ST-GTD Insured), Series 2005
4.750% due 06/01/2035		6,500		6,663
Gulf Breeze, Florida Revenue Bonds, (MBIA Insured), Series 1997
5.359% due 12/01/2017		500		545
Hillsborough County, Florida Utility Revenue Bonds, Series 1978
6.200% due 12/01/2008		170		174
Orlando, Florida Waste Water System Revenue Bonds, Series 1997
7.276% due 10/01/2015		750		753
				9,879
Illinois 9.0%
Chicago, Illinois Board of Education Certificates of Participation Bonds, (MBIA Insured), Series 1992
6.250% due 01/01/2011		3,000		3,281
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2005
5.000% due 01/01/2015		13,000		14,104
De Kalb County, Illinois Community Unit School District No. 424 General Obligation Bonds, (AMBAC Insured), Series 2001
0.000% due 01/01/2018		2,000		1,268
Geneva, Illinois Revenue Bonds, (FSA Insured), Series 2003
5.000% due 05/01/2016		1,425		1,512
Illinois State Finance Authority Revenue Notes, Series 2004
5.250% due 11/15/2012		1,000		1,066
Illinois State General Obligation Notes, (MBIA Insured), Series 2002
5.250% due 08/01/2011		2,000		2,133
Illinois State Sales Tax Revenue Notes, Series 2004
5.000% due 06/15/2011		1,225		1,290
Kane County, Illinois Community Unit School District No. 304 Geneva General Obligation Notes, (FGIC Insured), Series 2004
0.000% due 01/01/2014		1,000		758
Kendall, Kane & Will Counties, Illinois High School Districts General Obligation Notes, (FSA Insured), Series 2003
0.000% due 10/01/2012		2,000		1,605
McHenry & Kane Counties, Illinois Community Consolidated School District No. 158 General Obligation Notes, (FGIC Insured), Series 2004
0.000% due 01/01/2009		1,390		1,289
Sangamon County, Illinois School District No. 186 Springfield General Obligation Notes, (FGIC Insured), Series 2004
0.000% due 10/01/2008		1,225		1,138
0.000% due 10/01/2010		15		13
Western Springs, Illinois Special Assessment Bonds, Series 2006
3.940% due 12/01/2025		7		7
				29,464
Indiana 1.2%
Indiana State Health Facility Financing Authority Revenue Notes, Series 2005
5.000% due 11/01/2010		3,700		3,865
Kansas 0.1%
Wichita, Kansas Water & Sewer Utility Revenue Notes, (FGIC Insured), Series 2003
5.000% due 10/01/2010		355		372
Massachusetts 6.0%
Commonwealth of Massachusetts General Obligation Bonds, (MBIA-IBC Insured), Series 1996
6.000% due 11/01/2011		1,500		1,655
Commonwealth of Massachusetts General Obligation Bonds, Series 1998
5.250% due 04/01/2011		1,000		1,030
Commonwealth of Massachusetts Revenue Bonds, (FGIC Insured), Series 2004
5.634% due 01/01/2016		3,200		3,404
Massachusetts State Bay Transportation Authority Revenue Bonds, Series 2004
4.674% due 07/01/2020		7,005		7,014
Massachusetts State Municipal Wholesale Electric Co. Revenue Bonds, (AMBAC Insured), Series 1993
5.450% due 07/01/2018		1,400		1,422
Massachusetts State Municipal Wholesale Electric Co. Revenue Notes, (MBIA Insured), Series 2001
5.000% due 07/01/2010		1,000		1,042
Massachusetts State Port Authority Revenue Bonds, (FSA-CR Insured), Series 1998
5.500% due 07/01/2014		1,000		1,037
Worcester, Massachusetts General Obligation Bonds, (FGIC Insured), Series 2001
5.500% due 10/01/2012		2,635		2,836
				19,440
Michigan 1.2%
Clintondale, Michigan Community Schools General Obligation Notes, (FGIC Q-SBLF Insured), Series 2004
5.000% due 05/01/2011		960		1,011
Michigan State General Obligation Bonds, Series 1992
6.250% due 11/01/2012		2,750		3,011
				4,022
Minnesota 1.6%
Rochester, Minnesota Revenue Bonds, Series 2006
5.000% due 11/15/2036		5,000		5,259
Missouri 2.1%
Springfield, Missouri Revenue Bonds, (FGIC Insured), Series 2006
4.750% due 08/01/2034		6,500		6,702
Nevada 2.3%
Clark County, Nevada General Obligation Bonds, (AMBAC Insured), Series 2004
5.000% due 12/01/2015		3,910	$	4,225
Nevada State General Obligation Notes, (MBIA Insured), Series 2006
5.000% due 07/01/2016		3,020		3,302
				7,527
New Jersey 0.7%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.375% due 04/01/2018		500		583
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.125% due 06/01/2024		1,500		1,625
				2,208
New York 12.0%
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
4.811% due 09/01/2015		5,000		5,006
New York City, New York General Obligation Bonds, (FGIC Insured), Series 1998
5.250% due 08/01/2010		2,505		2,595
New York City, New York General Obligation Bonds, Series 2001
5.250% due 08/01/2012		1,350		1,438
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
5.025% due 03/01/2022		8,000		8,019
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.500% due 11/01/2026		100		107
New York City, New York Transitional Finance Authority Revenue Notes, (FSA Insured), Series 2003
5.250% due 02/01/2012		2,405		2,582
New York City, New York Transitional Finance Authority Revenue Notes, Series 2005
5.000% due 11/01/2011		1,400		1,483
New York State Dormitory Authority Revenue Bonds, (FGIC-TCRS Insured), Series 1993
5.750% due 07/01/2009		8,085		8,370
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		800		882
New York State Local Government Assistance Corporations Revenue Notes, (FSA Insured), Series 2003
5.000% due 04/01/2012		500		532
New York State Tobacco Settlement Financing Corporations Revenue Notes, Series 2003
5.250% due 06/01/2012		4,000		4,003
New York State TSASC, Inc. Revenue Bonds, Series 2002
5.000% due 07/15/2014		2,000		2,135
New York State Urban Development Corp. Revenue Bonds, Series 2002
5.500% due 01/01/2017		2,000		2,126
				39,278
North Carolina 0.9%
North Carolina State Eastern Municipal Power Agency Revenue Bonds, Series 1993
7.000% due 01/01/2008		1,000		1,030
North Carolina State General Obligation Notes, Series 2006
5.000% due 06/01/2015		1,750		1,916
				2,946
Ohio 2.8%
Ohio State Air Quality Development Authority Revenue Bonds, Series 1995
5.000% due 11/01/2015		1,000		1,058
Ohio State General Obligation Bonds, Series 2003
5.000% due 03/15/2014		3,500		3,774
Ohio State Revenue Notes, (AMBAC Insured), Series 2004
5.000% due 08/01/2011		4,190		4,415
				9,247
Oklahoma 1.9%
Oklahoma City, Oklahoma General Obligation Bonds, Series 1999
5.000% due 07/01/2011		100		103
Oklahoma State Development Finance Authority Revenue Bonds, Series 1999
5.625% due 08/15/2029		5,900		6,233
				6,336
Oregon 0.4%
Oregon State Facilities Authority Revenue Notes, Series 2005
5.000% due 10/01/2011		795		823
5.000% due 10/01/2012		435		453
				1,276
Puerto Rico 3.9%
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 07/01/2035		1,400		1,458
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, (FSA Insured), Series 2003
5.000% due 07/01/2026		2,600		2,707
Puerto Rico Children's Trust Fund Revenue Notes, Series 2000
5.750% due 07/01/2010		250		267
Puerto Rico Commonwealth Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2008		8,000		8,157
				12,589
Tennessee 1.6%
Nashville & Davidson Counties, Tennessee Health & Educational Facilities Revenue Bonds, Series 1977
6.100% due 07/01/2010		275		286
Tennessee Energy Acquisition Corporations Revenue Notes, Series 2006
5.000% due 09/01/2015		4,600		4,944
				5,230
Texas 14.1%
Dallas, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2004
5.000% due 02/15/2012		2,450		2,599
Fort Worth, Texas Water & Sewer Revenue Notes, (FSA Insured), Series 2003
5.000% due 02/15/2012		2,500		2,652
Houston, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2005
0.000% due 02/15/2015		16,000		11,557
Houston, Texas Water Conveyance System Certificates of Participation Bonds, (AMBAC Insured), Series 1993
6.125% due 12/15/2009		1,000		1,068
6.800% due 12/15/2011		3,000		3,401
Lower Colorado River Authority, Texas Revenue Bonds, (FSA Insured), Series 1999
6.000% due 05/15/2010		400		424
Lower Colorado River Authority, Texas Revenue Bonds, (MBIA Insured) Series 2006
4.750% due 05/15/2029		5,665		5,855
Montgomery County, Texas General Obligation Bonds (FSA Insured), Series 2006
5.000% due 03/01/2029		4,000		4,161
Sabine River, Texas Pollution Control Authority Revenue Bonds, Series 2001
5.500% due 05/01/2022		1,000		1,051
San Antonio, Texas Electricity & Gas Revenue Bonds, Series 2005
3.550% due 12/01/2027		1,500		1,498
Southeast Texas State Hospital Financing Agency Revenue Bonds, Series 1979
7.500% due 12/01/2009		455		485
Texas State Municipal Power Agency Revenue Bonds, (AMBAC Insured), Series 1989
0.000% due 09/01/2008		1,200		1,129
University of Texas Revenue Notes, Series 2004
5.250% due 08/15/2013		9,355		10,181
				46,061
Virginia 1.9%
Virginia State Public Building Authority Revenue Bonds, (MBIA Insured), Series 2004
5.250% due 08/01/2014		5,000		5,515
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.250% due 06/01/2019		750		788
				6,303
Washington 7.9%
Everett, Washington Water & Sewer Revenue Notes, (MBIA Insured), Series 2003
4.500% due 07/01/2011		1,495		1,543
Pierce County, Washington School District No. 3 Puyallup General Obligation Notes, (FSA School Bond Insured), Series 2004
5.000% due 06/01/2011		5,990		6,301
Washington State Energy Northwest Revenue Notes, (AMBAC Insured), Series 2004
5.250% due 07/01/2009		2,250		2,334
Washington State Energy Northwest Revenue Notes, (MBIA Insured), Series 2003
5.500% due 07/01/2012		1,500		1,632
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2019	$	2,960	$	1,731
Washington State General Obligation Bonds, Series 2001
5.000% due 01/01/2012		2,000		2,095
Washington State General Obligation Notes, (AMBAC Insured), Series 2004
0.000% due 12/01/2008		1,775		1,642
Washington State Tobacco Settlement Authority Revenue Notes, Series 2002
5.250% due 06/01/2010		8,245		8,559
				25,837
West Virginia 0.0%
Kanawha County, West Virginia Residential Mortgage Revenue Bonds, (FGIC Insured), Series 1979
7.375% due 09/01/2010		90		96
Wisconsin 6.6%
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Notes, Series 2002
5.000% due 06/01/2008		2,240		2,275
Milwaukee County, Wisconsin General Obligation Notes, (MBIA Insured), Series 2005
5.000% due 10/01/2013		10,000		10,738
Wisconsin State General Obligation Notes, (MBIA Insured), Series 2004
5.000% due 05/01/2012		3,000		3,193
Wisconsin State Housing & Economic Development Revenue Notes, (MBIA Insured), Series 2002
4.500% due 05/01/2010		2,050		2,097
4.500% due 11/01/2010		2,080		2,135
Wisconsin State Petroleum Revenue Notes, (FSA Insured), Series 2004
5.000% due 07/01/2012		1,000		1,049
				21,487
Total Municipal Bonds & Notes (Cost $302,609)				303,534
SHORT-TERM INSTRUMENTS 2.7%
Repurchase Agreements 2.6%
State Street Bank and Trust Co.
4.900% due 01/02/2007		2,616		2,616
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $2,669. Repurchase proceeds are $2,617.)
U.S. Treasury Bills 0.1%
4.827% due 03/01/2007 - 03/15/2007 (a)(b)		480		475
Total Short-Term Instruments (Cost $3,091)				3,091
Total Investments 95.7% (Cost $305,700)				306,625
Written Options (d) (0.0%) (Premiums $63)				(12	)
Other Assets and Liabilities (Net) 4.3%				19,927
Net Assets 100.0%			$	326,540

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

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $475 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar March Futures	Long	03/2007	476	$	(319	)
U.S. Treasury 10-Year Note March Futures	Short	03/2007	61		72
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	200		321
				$	74

(c) Swap agreements outstanding on December 31, 2006:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	109,200	$	2,499

(d) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	110.000	2/23/2007	150	$	63	$	12

See accompanying notes

Schedule of Investments

Short-Term Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.1%
HCA, Inc.
8.114% due 11/14/2013	$	2,500	$	2,531
Total Bank Loan Obligations (Cost $2,500)				2,531
CORPORATE BONDS & NOTES 20.2%
Banking & Finance 11.6%
American International Group, Inc.
5.365% due 06/23/2008		6,300		6,304
Bank of America N.A.
5.361% due 12/18/2008		2,600		2,600
5.377% due 07/25/2008		400		400
Bank of Ireland
5.375% due 12/19/2008		12,800		12,805
Bank of Scotland
5.871% due 11/22/2012		2,000		2,007
Calabash Re II Ltd.
16.246% due 01/08/2010 (b)		2,300		2,301
CIT Group, Inc.
5.526% due 01/30/2009		17,100		17,150
5.610% due 11/23/2007		75		75
Citigroup, Inc.
5.406% due 12/26/2008		9,700		9,711
5.416% due 01/30/2009		31,900		31,929
5.421% due 05/02/2008		5,300		5,309
Ford Motor Credit Co.
5.560% due 03/13/2007		708		704
6.192% due 09/28/2007		2,000		1,998
6.315% due 03/21/2007		1,000		1,000
7.875% due 06/15/2010		3,300		3,330
Fortis Bank
5.265% due 04/28/2008		4,200		4,201
General Electric Capital Corp.
5.430% due 10/06/2010		13,800		13,812
5.434% due 05/10/2010		16,500		16,520
General Motors Acceptance Corp.
6.225% due 03/20/2007		4,450		4,451
6.274% due 01/16/2007		7,422		7,422
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		900		900
5.455% due 12/22/2008		5,200		5,209
5.456% due 06/23/2009		41,910		41,964
5.662% due 06/28/2010		5,260		5,297
5.704% due 07/23/2009		1,000		1,007
HSBC Bank USA N.A.
5.426% due 07/28/2008		1,200		1,202
HSBC Finance Corp.
5.300% due 08/15/2007		3,300		3,300
5.414% due 05/10/2007		8,380		8,384
5.420% due 10/21/2009		5,000		5,005
5.490% due 09/15/2008		10,280		10,311
Lehman Brothers Holdings, Inc.
5.576% due 12/23/2010		9,700		9,735
MBNA Corp.
5.798% due 05/05/2008		6,320		6,361
MBNA Europe Funding PLC
5.450% due 09/07/2007		22,900		22,919
Morgan Stanley
5.485% due 02/09/2009		10,100		10,122
National Australia Bank Ltd.
5.393% due 09/11/2009		8,900		8,909
Rabobank Nederland
5.394% due 01/15/2009		14,800		14,811
Redwood Capital IX Ltd.
11.614% due 01/09/2008		2,000		2,001
Riggs Capital Trust
8.875% due 03/15/2027		6,146		6,453
Royal Bank of Scotland Group PLC
5.380% due 04/11/2008		4,100		4,105
Santander U.S. Debt S.A. Unipersonal
5.425% due 09/19/2008		6,000		6,010
5.428% due 02/06/2009		19,200		19,231
SLM Corp.
5.497% due 01/25/2007		870		870
Societe Generale NY
5.258% due 06/11/2007		5,700		5,700
5.299% due 06/30/2008		5,400		5,398
Unicredito Italiano NY
5.370% due 05/29/2008		1,500		1,500
Vita Capital Ltd.
6.710% due 01/01/2007		3,000		3,000
Vita Capital III Ltd.
6.466% due 01/01/2011		2,200		2,199
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		17,200		17,230
Wachovia Bank N.A.
5.406% due 03/23/2009		3,300		3,302
World Savings Bank FSB
5.415% due 06/20/2008		2,000		2,004
				378,468
Industrials 4.5%
Comcast Corp.
5.674% due 07/14/2009		2,100		2,106
CSC Holdings, Inc.
7.250% due 07/15/2008		300		304
DaimlerChrysler N.A. Holding Corp.
5.600% due 03/07/2007		9,000		9,002
5.833% due 09/10/2007		22,000		22,052
EchoStar DBS Corp.
5.750% due 10/01/2008		3,500		3,496
6.375% due 10/01/2011		5,800		5,778
El Paso Corp.
6.500% due 06/01/2008		3,000		3,041
7.625% due 08/16/2007		10,000		10,150
Enterprise Products Operating LP
4.000% due 10/15/2007		2,260		2,233
Historic TW, Inc.
8.180% due 08/15/2007		5,381		5,470
HJ Heinz Co.
6.428% due 12/01/2008		13,500		13,747
JC Penney Corp., Inc.
6.500% due 12/15/2007		5,953		5,999
Mandalay Resort Group
10.250% due 08/01/2007		400		411
MGM Mirage
9.750% due 06/01/2007		3,300		3,358
Mirage Resorts, Inc.
6.750% due 08/01/2007		3,530		3,561
Royal Caribbean Cruises Ltd.
7.000% due 10/15/2007		7,890		8,001
Service Corp. International
6.500% due 03/15/2008		8,575		8,661
Southern Natural Gas Co.
6.125% due 09/15/2008		1,730		1,748
6.700% due 10/01/2007		4,136		4,186
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/2007		900		904
Transcontinental Gas Pipe Line Corp.
6.654% due 04/15/2008		1,650		1,658
Transocean, Inc.
5.566% due 09/05/2008		4,500		4,505
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		6,500		6,501
Williams Cos., Inc.
5.935% due 02/16/2007		2,000		2,005
6.375% due 10/01/2010		7,000		7,079
Xerox Corp.
6.111% due 12/18/2009		2,000		2,040
9.750% due 01/15/2009		6,415		6,960
				144,956
Utilities 4.1%
AT&T, Inc.
5.584% due 11/14/2008		2,000		2,007
BellSouth Corp.
5.474% due 08/15/2008		1,400		1,401
CMS Energy Corp.
7.500% due 01/15/2009		10,000		10,362
8.900% due 07/15/2008		3,300		3,465
9.875% due 10/15/2007		4,100		4,249
ConocoPhillips
5.370% due 04/11/2007		3,800		3,801
Dominion Resources, Inc.
5.662% due 09/28/2007		14,000		14,009
Entergy Gulf States, Inc.
3.600% due 06/01/2008		5,635		5,488
6.100% due 12/08/2008		9,600		9,626
Florida Power Corp.
5.774% due 11/14/2008		17,400		17,442
Midwest Generation LLC
8.300% due 07/02/2009		8,331		8,575
Ohio Edison Co.
4.000% due 05/01/2008		22,678		22,263
PSEG Energy Holdings LLC
8.625% due 02/15/2008		817		842
Public Service Enterprise Group, Inc.
5.740% due 09/21/2008		4,800		4,805
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		3,400		3,426
Qwest Corp.
5.625% due 11/15/2008		2,000		2,012
Verizon Global Funding Corp.
5.504% due 08/15/2007		19,400		19,400
Virginia Electric & Power Co.
5.375% due 02/01/2007		385		385
				133,558
Total Corporate Bonds & Notes (Cost $656,177)				656,982
U.S. GOVERNMENT AGENCIES 22.4%
Fannie Mae
3.500% due 04/25/2011 - 04/25/2017		2,242		2,228
3.612% due 07/01/2034		91		92
3.747% due 06/01/2034		61		62
4.626% due 09/01/2035		1,317		1,312
5.036% due 01/01/2036		663		664
5.410% due 12/25/2036		1,500		1,504
5.475% due 01/01/2032		1,502		1,509
5.480% due 03/25/2036		1,036		1,037
5.500% due 02/01/2014 - 08/25/2034		3,999		4,004
5.527% due 11/01/2025		28		28
5.550% due 11/25/2032		1,652		1,653
5.560% due 05/01/2036		348		351
5.561% due 05/01/2036		18,950		19,109
5.630% due 02/01/2018		33		34
5.632% due 05/01/2021 - 04/01/2029		346		349
5.650% due 03/25/2036		4,842		4,858
5.700% due 09/25/2042 - 03/25/2044		3,448		3,455
5.800% due 10/25/2030		10		10
5.950% due 10/25/2017		463		469
5.958% due 06/01/2043 - 10/01/2044		28,625		28,815
6.000% due 02/25/2008 - 02/01/2037		368,600		371,083
6.012% due 07/01/2029		457		463
6.299% due 10/15/2007		11		11
6.500% due 10/25/2023 (a)		57		5
6.500% due 11/01/2028 - 10/25/2042		1,393		1,418
6.876% due 08/01/2029		2,665		2,693
7.000% due 03/01/2013		60		62
7.095% due 08/01/2026		20		20
7.129% due 12/01/2040		875		888
7.500% due 10/01/2023		38		39
8.973% due 06/25/2032		987		1,034
Federal Home Loan Bank
2.620% due 04/23/2007		2,390		2,372
3.500% due 05/13/2008 - 12/12/2008		3,135		3,055
4.000% due 07/30/2008 - 04/20/2009		51,400		50,379
4.020% due 06/30/2009		2,000		1,956
4.150% due 01/12/2009		1,950		1,916
4.250% due 09/26/2008		2,600		2,566
4.330% due 03/16/2010		2,500		2,452
4.400% due 02/08/2010		22,340		21,913
4.500% due 06/22/2010		12,400		12,241
5.200% due 02/09/2007		27,200		27,202
Federal Housing Administration
7.350% due 04/01/2019		179		180
7.430% due 09/01/2022		87		88
7.435% due 02/01/2019		299		301
Freddie Mac
3.000% due 12/15/2021		1,344		1,323
3.500% due 01/15/2013		503		502
4.000% due 11/15/2022		6,160		6,078
4.250% due 04/05/2007		58,000		57,867
4.500% due 08/15/2027		10,310		10,257
5.000% due 01/15/2018		562		558
5.500% due 05/01/2013 - 08/01/2014		7,454		7,483
5.750% due 06/15/2031		552		555
5.958% due 10/25/2044 - 02/25/2045		15,923		15,993
6.158% due 07/25/2044		20,744		20,855
6.500% due 08/15/2008 - 07/25/2043		2,546		2,553
Government National Mortgage Association
5.000% due 02/20/2032		1,397		1,399
5.125% due 10/20/2017 - 10/20/2027		1,363		1,381
5.250% due 03/20/2029 - 03/20/2030		1,465		1,470
5.375% due 05/20/2021 - 05/20/2030		7,544		7,616
5.500% due 08/20/2029 - 09/20/2029		4,175		4,179
5.625% due 02/20/2019		30		30
5.750% due 07/20/2022 - 09/20/2027		816		827
5.850% due 02/16/2030		85		85
6.000% due 02/16/2030 - 03/20/2032		8,167		8,205
6.300% due 03/20/2031		294		298
7.500% due 02/20/2030		216		224
8.000% due 12/15/2030 - 03/15/2032		240		254
8.500% due 06/20/2027		195		209
Small Business Administration
7.540% due 08/10/2009		165		171
Total U.S. Government Agencies (Cost $727,245)				726,252
U.S. TREASURY OBLIGATIONS 0.6%
Treasury Inflation Protected Securities (d)
3.375% due 01/15/2007 (g)		127		127
3.500% due 01/15/2011		464		483
U.S. Treasury Notes
3.875% due 09/15/2010		12,735		12,383
4.000% due 03/15/2010		3,900		3,820
5.125% due 06/30/2011		2,900		2,950
Total U.S. Treasury Obligations (Cost $19,887)				19,763
MORTGAGE-BACKED SECURITIES 10.4%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		2,962		2,911
Arkle Master Issuer PLC
5.330% due 11/19/2007		5,300		5,309
Banc of America Funding Corp.
4.621% due 02/20/2036		10,648		10,504
Banc of America Mortgage Securities
6.500% due 09/25/2033		1,446		1,460
6.954% due 07/20/2032		328		332
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		32,709		32,358
6.259% due 11/25/2030		570		570
Bear Stearns Alt-A Trust
5.510% due 02/25/2034		3,700		3,702
5.837% due 11/25/2036		6,640		6,679
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		800		810
Countrywide Alternative Loan Trust
5.530% due 02/20/2047		9,394		9,426
5.630% due 02/25/2037		6,834		6,839
Countrywide Home Loan Mortgage Pass-Through Trust
3.897% due 11/19/2033		291		292
5.500% due 01/25/2046 (b)		8,200		8,214
5.580% due 05/25/2035		249		250
5.620% due 05/25/2034		178		178
5.690% due 06/25/2035		16,380		16,359
6.524% due 07/19/2031		10		10
CS First Boston Mortgage Securities Corp.
5.601% due 03/25/2032		89		89
5.900% due 08/25/2033		3,257		3,267
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.430% due 02/25/2037		3,900		3,904
First Republic Mortgage Loan Trust
5.650% due 08/15/2032		11,285		11,310
5.670% due 06/25/2030		1,247		1,248
5.700% due 11/15/2031		666		668
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		11,600		11,610
5.430% due 01/25/2047		8,400		8,399
Greenwich Capital Acceptance, Inc.
7.889% due 06/25/2024		21		22
GSR Mortgage Loan Trust
4.540% due 09/25/2035		11,179		10,988
GSRPM Mortgage Loan Trust
5.750% due 11/25/2031		4,133		4,141
Harborview Mortgage Loan Trust
5.570% due 05/19/2035		3,011		3,020
5.590% due 03/19/2037		2,851		2,856
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		5,800		5,806
Indymac ARM Trust
6.607% due 01/25/2032		6		7
6.713% due 01/25/2032		13		13
Indymac Index Mortgage Loan Trust
5.440% due 11/25/2046		4,804		4,822
MASTR Asset Securitization Trust
5.500% due 09/25/2033		1,788		1,761
MASTR Seasoned Securities Trust
6.198% due 09/25/2017		785		796
Mellon Residential Funding Corp.
5.790% due 12/15/2030		3,825		3,842
5.840% due 10/20/2029		6,288		6,357
Merrill Lynch Floating Trust
5.420% due 06/15/2022		3,541		3,543
MLCC Mortgage Investors, Inc.
5.730% due 03/15/2025		966		970
Residential Accredit Loans, Inc.
5.650% due 08/25/2035		3,185		3,190
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		365		367
Sequoia Mortgage Funding Co.
0.800% due 10/21/2008 (a)		67,642		215
Sequoia Mortgage Trust
5.700% due 07/20/2033		8,210		8,239
5.730% due 10/20/2027		3,729		3,734
Structured Asset Mortgage Investments, Inc.
5.570% due 05/25/2036		14,509		14,530
5.680% due 09/19/2032		170		171
5.700% due 03/19/2034		1,720		1,723
Structured Asset Securities Corp.
5.345% due 10/25/2035		2,567		2,563
6.100% due 02/25/2032		505		504
6.150% due 07/25/2032		1,139		1,148
TBW Mortgage-Backed Pass-Through Certificates
5.460% due 12/25/2036		8,900		8,908
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		11,600		11,596
5.470% due 04/25/2036		2,100		2,096
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		8,883		8,889
Washington Mutual, Inc.
5.114% due 10/25/2032		1,685		1,677
5.540% due 04/25/2045		348		349
5.557% due 01/25/2047		1,300		1,302
5.568% due 12/25/2046		4,726		4,741
5.620% due 12/25/2027		10,002		10,006
5.670% due 12/25/2027		5,029		5,035
5.777% due 08/25/2046		16,626		16,714
5.827% due 02/25/2046		8,968		9,031
5.882% due 12/25/2046		2,703		2,724
6.027% due 11/25/2042		2,696		2,708
6.227% due 06/25/2042		4,097		4,102
6.227% due 08/25/2042		3,501		3,508
Washington Mutual MSC Mortgage Pass-Through Certificates
5.390% due 02/25/2033		724		721
Wells Fargo Mortgage-Backed Securities Trust
3.989% due 12/25/2034		10,289		10,085
Total Mortgage-Backed Securities (Cost $336,403)				336,218
ASSET-BACKED SECURITIES 10.7%
Accredited Mortgage Loan Trust
5.510% due 09/25/2035		2,000		2,002
ACE Securities Corp.
5.370% due 12/25/2036		2,009		2,011
5.420% due 12/25/2035		1,784		1,785
5.430% due 02/25/2036		579		580
5.450% due 10/25/2036		2,100		2,101
Advanta Mortgage Loan Trust
5.725% due 11/25/2029		95		95
Aegis Asset-Backed Securities Trust
5.460% due 10/25/2035		15		15
Ameriquest Mortgage Securities, Inc.
5.430% due 03/25/2036		531		531
Amortizing Residential Collateral Trust
5.640% due 07/25/2032		13		13
5.700% due 10/25/2031		762		764
5.700% due 08/25/2032		138		138
Argent Securities, Inc.
5.410% due 05/25/2036		325		325
5.420% due 04/25/2036		1,374		1,375
5.430% due 03/25/2036		1,902		1,903
5.450% due 11/25/2035		1,333		1,334
5.490% due 02/25/2036		1,578		1,579
Asset-Backed Funding Certificates
5.380% due 11/25/2036		2,601		2,603
5.380% due 01/25/2037		5,601		5,605
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		1,600		1,601
5.410% due 03/25/2036		111		111
5.460% due 11/25/2035		234		234
Bank One Issuance Trust
5.380% due 10/15/2009		700		700
5.460% due 12/15/2010		2,000		2,005
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		700		700
5.400% due 10/25/2036		682		681
5.420% due 02/25/2036		317		317
5.420% due 12/25/2036		2,000		2,000
5.430% due 12/25/2035		62		62
5.440% due 04/25/2036		638		639
5.600% due 06/25/2035		579		579
5.680% due 10/25/2032		1,601		1,605
5.750% due 10/27/2032		121		122
5.800% due 03/25/2043		1,734		1,739
Brazos Student Finance Corp.
5.960% due 06/01/2023		2,373		2,387
Capital One Auto Finance Trust
5.340% due 12/14/2007		4,900		4,904
Centex Home Equity
5.460% due 10/25/2035		21		21
Chase Credit Card Master Trust
5.460% due 02/15/2011		3,700		3,711
Chase Manhattan Auto Owner Trust
4.770% due 03/15/2008		3,724		3,725
CIT Group Home Equity Loan Trust
5.620% due 06/25/2033		66		66
Citibank Credit Card Issuance Trust
5.435% due 03/20/2009		11,500		11,509
5.474% due 01/15/2010		1,040		1,042
Citigroup Mortgage Loan Trust, Inc.
5.400% due 11/25/2036		700		700
5.430% due 12/25/2035		2,086		2,088
Countrywide Asset-Backed Certificates
5.370% due 12/26/2036		1,000		1,001
5.370% due 05/25/2037		2,900		2,902
5.400% due 05/25/2037		9,400		9,397
5.420% due 06/25/2036		1,202		1,203
5.420% due 07/25/2036		335		336
5.420% due 08/25/2036		290		290
5.420% due 09/25/2036		107		107
5.430% due 06/25/2037		1,800		1,801
5.480% due 07/25/2036		1,437		1,438
5.510% due 02/25/2036		1,944		1,944
5.520% due 11/25/2035		178		178
5.720% due 05/25/2032		181		181
5.830% due 12/25/2031		97		97
Credit-Based Asset Servicing & Securitization LLC
5.410% due 11/25/2036		491		491
DaimlerChrysler Auto Trust
5.329% due 12/08/2007		2,300		2,302
Delta Funding Home Equity Loan Trust
6.170% due 09/15/2029		47		47
EMC Mortgage Loan Trust
5.720% due 05/25/2040		235		236
Equity One Asset-Backed Securities, Inc.
5.650% due 04/25/2034		816		820
FBR Securitization Trust
5.460% due 10/25/2035		902		903
5.470% due 10/25/2035		123		123
5.530% due 09/25/2035		3,228		3,230
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		7,675		7,680
5.370% due 12/25/2036		400		400
5.380% due 05/25/2036		7,185		7,190
5.420% due 01/25/2036		603		604
5.420% due 12/25/2037		2,100		2,101
5.440% due 01/25/2036		3,828		3,831
First NLC Trust
5.470% due 02/25/2036		968		968
Fremont Home Loan Trust
5.370% due 10/25/2036		2,879		2,881
5.410% due 04/25/2036		566		566
5.410% due 01/25/2037		3,100		3,098
5.440% due 01/25/2036		361		361
GSAMP Trust
5.390% due 10/25/2036		2,802		2,803
5.420% due 01/25/2036		3,730		3,732
5.440% due 11/25/2035		1,041		1,042
5.460% due 11/25/2035		215		216
5.470% due 12/25/2035		562		562
5.640% due 03/25/2034		107		107
5.670% due 07/25/2032		14		14
Home Equity Asset Trust
5.430% due 05/25/2036		961		961
Home Equity Mortgage Trust
5.440% due 05/25/2036		64		64
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		14,791		14,763
5.430% due 12/25/2035		1,340		1,341
Indymac Residential Asset-Backed Trust
5.410% due 04/25/2037		2,700		2,695
5.440% due 03/25/2036		3,925		3,927
Irwin Home Equity
5.890% due 07/25/2032		495		496
JPMorgan Mortgage Acquisition Corp.
5.370% due 07/25/2036		3,358		3,360
5.400% due 10/25/2036		3,800		3,802
5.420% due 05/25/2035		1,075		1,076
Lehman XS Trust
5.420% due 05/25/2046		2,005		2,006
5.430% due 08/25/2046		1,797		1,799
5.430% due 11/25/2046		3,135		3,136
5.440% due 05/25/2046		78		78
Long Beach Mortgage Loan Trust
5.360% due 11/25/2036		1,400		1,401
5.380% due 06/25/2036		1,354		1,355
5.410% due 04/25/2036		104		104
5.420% due 03/25/2036		1,514		1,515
5.430% due 02/25/2036		1,034		1,035
5.440% due 01/25/2036		1,259		1,260
5.470% due 09/25/2035		199		199
5.550% due 11/25/2034		710		711
5.630% due 10/25/2034		3,934		3,939
5.700% due 03/25/2032		117		120
MASTR Asset-Backed Securities Trust
5.370% due 11/25/2036		3,000		3,002
5.430% due 01/25/2036		3,272		3,275
5.460% due 11/25/2035		3,431		3,434
MBNA Credit Card Master Note Trust
5.450% due 12/15/2011		2,000		2,007
Merrill Lynch Mortgage Investors, Inc.
5.350% due 05/25/2037		744		745
5.350% due 06/25/2037		1,072		1,073
5.420% due 08/25/2036		14,300		14,313
5.420% due 02/25/2037		734		734
5.430% due 01/25/2037		4,529		4,532
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		2,500		2,499
5.370% due 10/25/2036		3,100		3,099
5.380% due 06/25/2036		1,319		1,320
5.390% due 06/25/2036		2,265		2,266
Morgan Stanley Capital I
5.420% due 02/25/2036		4,554		4,557
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		2,900		2,901
Nelnet Student Loan Trust
5.338% due 09/25/2012		2,000		2,000
5.370% due 08/23/2011		208		208
New Century Home Equity Loan Trust
5.410% due 05/25/2036		3,355		3,358
5.420% due 08/25/2036		715		715
Nissan Auto Lease Trust
5.347% due 12/14/2007		1,900		1,902
Option One Mortgage Loan Trust
5.360% due 02/25/2037		387		387
5.400% due 07/25/2036		1,982		1,984
5.890% due 06/25/2032		95		95
5.890% due 08/25/2032		474		475
Park Place Securities, Inc.
5.610% due 09/25/2035		1,493		1,496
Quest Trust
5.910% due 06/25/2034		1,119		1,123
Renaissance Home Equity Loan Trust
5.500% due 11/25/2035		900		901
5.710% due 11/25/2034		90		90
5.790% due 08/25/2033		1,332		1,336
5.850% due 12/25/2033		215		217
Residential Asset Mortgage Products, Inc.
5.400% due 02/25/2036		2,176		2,177
5.430% due 01/25/2036		5,499		5,503
5.450% due 05/25/2035		107		107
5.450% due 08/25/2046		1,600		1,601
5.630% due 06/25/2032		12		12
Residential Asset Securities Corp.
5.360% due 06/25/2036		2,344		2,346
5.390% due 11/25/2036		3,556		3,558
5.420% due 03/25/2036		113		113
5.420% due 04/25/2036		1,563		1,565
5.420% due 11/25/2036		9,494		9,501
5.430% due 01/25/2036		1,256		1,257
5.440% due 01/25/2036		1,723		1,724
5.450% due 10/25/2035		286		286
Residential Funding Mortgage Securities II, Inc.
5.490% due 09/25/2035		345		346
SACO I, Inc.
5.410% due 05/25/2036		1,891		1,892
5.430% due 04/25/2036		299		300
5.450% due 01/25/2036		146		146
5.460% due 12/25/2035		183		183
Salomon Brothers Mortgage Securities VII
5.650% due 03/25/2032		254		255
Securitized Asset-Backed Receivables LLC Trust
5.410% due 03/25/2036		561		561
SG Mortgage Securities Trust
5.450% due 10/25/2035		117		117
SLM Student Loan Trust
5.323% due 07/25/2013		2,200		2,200
Soundview Home Equity Loan Trust
5.410% due 12/25/2036		2,000		2,002
5.410% due 01/25/2037		4,300		4,303
5.420% due 02/25/2036		1,771		1,772
5.420% due 03/25/2036		656		657
5.420% due 05/25/2036		1,042		1,043
5.460% due 11/25/2035		22		22
5.520% due 04/25/2035		90		90
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		1,702		1,703
5.395% due 11/25/2037		400		400
5.430% due 12/25/2036		1,165		1,166
5.690% due 01/25/2034		82		82
Structured Asset Investment Loan Trust
5.370% due 07/25/2036		439		439
5.440% due 07/25/2035		144		145
Structured Asset Securities Corp.
4.900% due 04/25/2035		5,224		5,052
5.450% due 07/25/2035		179		179
5.480% due 12/25/2035		154		154
5.610% due 01/25/2033		1,629		1,634
Trinity Industries Leasing Co.
7.755% due 02/15/2009		2,985		3,049
USAA Auto Owner Trust
5.310% due 03/16/2009		6,700		6,704
Wachovia Auto Owner Trust
4.820% due 02/20/2009		4,472		4,468
Washington Mutual Asset-Backed Certificates
5.390% due 04/25/2036		369		370
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		1,900		1,903
5.460% due 11/25/2035		4,887		4,890
5.590% due 10/25/2035		17,300		17,335
Total Asset-Backed Securities (Cost $347,620)				347,689
FOREIGN CURRENCY-DENOMINATED ISSUES 0.3%
Atlas Reinsurance PLC
7.717% due 01/10/2010	EUR	2,300		3,027
BTM Curacao Holdings NV
1.195% due 11/29/2049	JPY	100,000		832
Sumitomo Mitsui Banking Corp.
1.151% due 06/29/2049		600,000		5,043
Total Foreign Currency-Denominated Issues (Cost $8,962)				8,902
		Shares
PREFERRED STOCKS 0.2%
DG Funding Trust
7.614% due 12/31/2049		328		3,456
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		4,100		4,182
Total Preferred Stocks (Cost $7,698)				7,638
SHORT-TERM INSTRUMENTS 46.1%
Certificates Of Deposit 1.5%
Countrywide Bank N.A.
5.350% due 04/25/2007		3,800		3,800
Societe Generale NY
5.295% due 09/21/2007		15,800		15,802
Unicredito Italiano SpA
5.325% due 02/16/2007		30,000		30,000
				49,602
Commercial Paper 42.8%
Abbey National N.A. LLC
5.290% due 01/04/2007		90,000		89,987
ABN AMRO N.A. Finance
5.240% due 01/12/2007		11,100		11,085
ASB Finance Ltd.
5.235% due 03/13/2007		58,900		58,265
Bank of America Corp.
5.200% due 04/02/2007		28,100		27,716
5.250% due 03/20/2007		18,000		17,788
Bank of Ireland
5.245% due 01/30/2007		84,200		83,869
Barclays U.S. Funding Corp.
5.250% due 01/17/2007		94,800		94,606
BNP Paribas Finance
5.240% due 01/19/2007		99,200		98,969
Calyon N.A. LLC
5.240% due 02/08/2007		94,000		93,507
CBA (de) Finance
5.250% due 03/15/2007		900		890
Citigroup Funding, Inc.
5.250% due 02/14/2007		71,000		70,565
Cox Communications, Inc.
5.449% due 01/16/2007		11,547		11,547
5.449% due 03/15/2007		8,800		8,800
Danske Corp.
5.260% due 01/04/2007		13,800		13,798
Dexia Delaware LLC
5.240% due 01/17/2007		6,800		6,786
General Electric Capital Corp.
5.240% due 02/08/2007		72,000		71,623
IXIS Commercial Paper Corp.
5.220% due 03/27/2007		15,000		14,808
Nordea N.A., Inc.
5.240% due 02/02/2007		21,400		21,307
Rabobank USA Financial Corp.
5.280% due 01/02/2007		83,300		83,300
Skandinaviska Enskilda Banken AB
5.220% due 03/06/2007		93,100		92,190
Societe Generale NY
5.235% due 02/16/2007		2,700		2,683
5.245% due 01/08/2007		86,300		86,237
Spintab AB
5.250% due 01/31/2007		100,000		99,592
Time Warner, Inc.
5.390% due 01/22/2007		16,000		15,954
5.390% due 01/25/2007		4,300		4,286
UBS Finance Delaware LLC
5.245% due 01/08/2007		103,000		102,925
5.250% due 01/11/2007		6,400		6,393
Unicredit Delaware, Inc.
5.240% due 03/19/2007		1,000		988
Unicredito Italiano SpA
5.250% due 01/16/2007		25,000		24,953
Viacom, Inc.
5.594% due 05/29/2007		8,100		8,100
5.600% due 03/22/2007		5,700		5,700
5.620% due 05/29/2007		1,800		1,800
Westpac Capital Corp.
5.245% due 01/17/2007		60,100		59,977
				1,390,994
Repurchase Agreements 1.3%
Credit Suisse Securities (USA) LLC
4.800% due 01/02/2007	$	3,100	$	3,100
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 4.000% due 06/15/2009 valued at $3,187. Repurchase proceeds are $3,102.)
Lehman Brothers, Inc.
4.850% due 01/02/2007		30,000		30,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.625% due 04/15/2028 valued at $30,699. Repurchase proceeds are $30,016.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		7,655		7,655
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $7,808. Repurchase proceeds are $7,659.)
				40,755
U.S. Treasury Bills 0.5%
4.801% due 03/01/2007 - 03/15/2007 (c)(e)(g)		17,415		17,224
Total Short-Term Instruments (Cost $1,498,762)				1,498,575
Purchased Options (i) 0.2% (Cost $4,913)				7,775
Total Investments (f) 111.2% (Cost $3,610,167)			$	3,612,325
Written Options (j) (0.3%)				(9,571	)
(Premiums $5,292)
Other Assets and Liabilities (Net) (10.9%)				(353,435	)
Net Assets 100.0%			$	3,249,319

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

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

(a) Interest only security.

(b) When-issued security.

(c) Coupon represents a weighted average rate.

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

(e) Securities with an aggregate market value of $4,698 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(f) As of December 31, 2006, portfolio securities with an aggregate value of $116,308 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Securities with an aggregate market value of $9,191 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	2,104	$	(72	)
90-Day Eurodollar March Futures	Long	03/2007	3,400		(1,700	)
90-Day Eurodollar March Futures	Long	03/2008	2,082		8
90-Day Eurodollar September Futures	Long	09/2007	57		56
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	1,769		(812	)
U.S. Treasury 5-Year Note March Futures	Long	03/2007	540		(304	)
U.S. Treasury 10-Year Note March Futures	Short	03/2007	1,410		1,726
				$	(1,098	)

(h) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/ Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008	$	1,600	$	0
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		4,000		0
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		3,900		(4	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		1,600		(1	)
Bear Stearns & Co., Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.620	%	3/20/2007		4,800		14
Deutsche Bank AG	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.260	%	12/20/2007		8,000		1
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		1,600		1
Deutsche Bank AG	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008		2,200		0
Deutsche Bank AG	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008		1,600		(1	)
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		3,900		(3	)
HSBC Bank USA	Ford Motor Corp. 7.450% due 07/16/2031	Sell	2.410	%	6/20/2007		750		7
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.680	%	6/20/2007		1,000		12
HSBC Bank USA	General Motors Corp. 7.125% due 07/15/2013	Sell	3.750	%	6/20/2007		1,500		22
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.770	%	5/20/2007		2,000		6
JPMorgan Chase & Co.	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.050	%	12/20/2007		13,600		5
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		4,000		0
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		1,700		0
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		4,000		(4	)
Lehman Brothers, Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.310	%	12/20/2008		1,700		1
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.450	%	6/20/2007		500		8
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.500	%	6/20/2007		2,000		42
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.750	%	6/20/2007		1,000		17
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.440	%	10/20/2007		4,500		8
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.260	%	12/20/2007		8,000		1
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		4,200		0
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.350	%	6/20/2007		1,000		15
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.600	%	6/20/2007		2,000		33
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.650	%	6/20/2007		1,000		22
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		5,000		71
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		5,000		71
Wachovia Bank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.410	%	6/20/2007		1,000		16
								$	360

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000%	6/20/2009	$	61,500	$	(205	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000%	6/20/2012		7,100		(78	)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000%	6/20/2017		47,400		998
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000%	6/20/2009		27,500		(92	)
UBS AG	3-Month USD-LIBOR	Pay	4.000%	6/21/2007		410,000		2,092
							$	2,715

(i) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007	GBP	29,400	$	123	$	13
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007		28,000		103		23
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.063	%	6/15/2007		28,000		121		21
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.500	%	7/9/2007	$	190,600		943		1,866
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		124,000		417		371
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		464,700		2,101		4,481
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		112,200		464		229
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		121,400		641		771
									$	4,913	$	7,775

(j) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 8-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		GBP 8,400	$	155	$	40
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		7,000		105		34
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		8,000		121		39
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.620	%	7/9/2007	$	62,500		943		2,025
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		53,900		426		583
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		204,000		2,147		5,161
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		49,200		514		400
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		73,300		881		1,289
									$	5,292	$	9,571

(k) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
U.S. Treasury Notes	4.250	%	8/15/2015	$	75,800	$	74,152	$	74,720
U.S. Treasury Notes	5.500	%	5/15/2009		6,625		6,779		6,801
						$	80,931	$	81,521

⁽²⁾ Market value includes $1,412 of interest payable on short sales.

(l) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	280	01/2007	$	3	$	0		$	3
Buy		22,060	05/2007		65		0			65
Buy	CLP	2,447,604	01/2007		0		(52	)		(52	)
Buy		63,745	06/2007		0		(1	)		(1	)
Buy	CNY	226,774	03/2007		273		0			273
Buy	EUR	67,700	01/2007		923		0			923
Sell		78,368	01/2007		0		(755	)		(755	)
Sell	GBP	6,296	01/2007		0		(75	)		(75	)
Buy	JPY	7,307,019	02/2007		0		(824	)		(824	)
Buy	KRW	9,461,871	02/2007		0		(63	)		(63	)
Buy	MXN	110,230	01/2007		15		(3	)		12
Buy	PLN	27,358	04/2007		18		(64	)		(46	)
Buy	RUB	3,190	01/2007		1		0			1
Buy		294,981	03/2007		10		(12	)		(2	)
Buy		7,380	09/2007		0		(1	)		(1	)
Buy	SGD	12,490	04/2007		40		0			40
Buy	ZAR	22,036	05/2007		4		(8	)		(4	)
Buy		1,750	06/2007		1		0			1
				$	1,353	$	(1,858	)	$	(505	)

See accompanying notes

Schedule of Investments

Small Cap StocksPLUS^® TR Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 16.5%
Banking & Finance 14.0%
American Express Credit Corp.
5.410% due 03/02/2009	$	30	$	30
American Honda Finance Corp.
5.413% due 03/09/2009		30		30
ANZ National International Ltd.
5.415% due 08/07/2009		20		20
Bank of America Corp.
5.375% due 06/19/2009		30		30
5.471% due 08/02/2010		140		141
Bear Stearns Cos., Inc.
5.623% due 09/09/2009		30		30
BNP Paribas
5.186% due 06/29/2049		30		29
Caterpillar Financial Services Corp.
5.422% due 10/09/2009		10		10
5.435% due 05/18/2009		20		20
CIT Group, Inc.
5.580% due 05/23/2008		30		30
Citigroup Global Markets Holdings, Inc.
5.491% due 08/03/2009		20		20
Citigroup, Inc.
5.493% due 06/09/2009		10		10
5.525% due 05/18/2010		140		141
General Electric Capital Corp.
5.430% due 10/06/2010		10		10
5.466% due 04/28/2011		30		30
Goldman Sachs Group, Inc.
5.455% due 11/16/2009		110		110
5.704% due 07/23/2009		30		30
HSBC Finance Corp.
5.455% due 06/19/2009		110		110
International Lease Finance Corp.
5.516% due 06/26/2009		110		110
5.590% due 05/24/2010		20		20
John Deere Capital Corp.
5.424% due 07/15/2008		30		30
JPMorgan Chase & Co.
5.400% due 06/26/2009		80		80
5.562% due 10/02/2009		20		20
Lehman Brothers Holdings, Inc.
5.400% due 11/24/2008		10		10
5.460% due 04/03/2009		30		30
Merrill Lynch & Co., Inc.
5.460% due 06/16/2008		10		10
5.461% due 06/16/2008		20		20
Morgan Stanley
5.407% due 04/25/2008		30		30
5.485% due 02/09/2009		100		101
Nordea Bank Finland
5.292% due 03/31/2008		30		30
Santander U.S. Debt S.A. Unipersonal
5.425% due 09/19/2008		20		20
SLM Corp.
5.587% due 07/25/2008		20		20
Societe Generale NY
5.271% due 03/28/2008		30		30
Wachovia Corp.
5.426% due 10/28/2008		30		30
Wells Fargo & Co.
5.393% due 03/10/2008		20		20
				1,442
Industrials 1.6%
Anadarko Petroleum Corp.
5.760% due 09/15/2009		20		20
DaimlerChrysler N.A. Holding Corp.
5.600% due 03/07/2007		30		30
Diageo Capital PLC
5.474% due 11/10/2008		20		20
El Paso Corp.
6.950% due 12/15/2007		20		21
FedEx Corp.
5.455% due 08/08/2007		20		20
Home Depot, Inc.
5.490% due 12/16/2009		20		20
Safeway, Inc.
5.716% due 03/27/2009		30		30
Transocean, Inc.
5.566% due 09/05/2008		10		10
				171
Utilities 0.9%
AT&T, Inc.
5.584% due 11/14/2008		20		20
BellSouth Corp.
5.474% due 08/15/2008		20		20
Dominion Resources, Inc.
5.554% due 11/14/2008		40		40
Telecom Italia Capital S.A.
5.984% due 07/18/2011		10		10
				90
Total Corporate Bonds & Notes (Cost $1,700)				1,703
U.S. GOVERNMENT AGENCIES 57.5%
Fannie Mae
5.500% due 01/01/2037		1,500		1,483
6.000% due 01/01/2037		4,400		4,430
Total U.S. Government Agencies (Cost $5,938)				5,913
U.S. TREASURY OBLIGATIONS 61.1%
U.S. Treasury Notes
4.625% due 12/31/2011		2,600		2,591
4.750% due 12/31/2008		3,700		3,697
Total U.S. Treasury Obligations (Cost $6,289)				6,288
MORTGAGE-BACKED SECURITIES 5.5%
American Home Mortgage Investment Trust
5.500% due 09/25/2035		12		12
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		19		19
Countrywide Alternative Loan Trust
5.510% due 02/25/2047		99		99
5.530% due 02/20/2047		30		30
HSI Asset Securitization Corp. Trust
5.480% due 07/25/2035		27		27
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		39		39
Indymac Index Mortgage Loan Trust
5.440% due 11/25/2046		28		28
LB-UBS Commercial Mortgage Trust
4.904% due 06/15/2026		30		30
Structured Asset Securities Corp.
5.345% due 10/25/2035		28		28
5.400% due 05/25/2036		29		29
TBW Mortgage-Backed Pass-Through Certificates
5.450% due 09/25/2036		24		24
Washington Mutual, Inc.
5.557% due 01/25/2047		100		100
5.670% due 12/25/2027		68		68
5.770% due 09/25/2046		10		10
5.777% due 10/25/2046		24		25
Total Mortgage-Backed Securities (Cost $568)				568
ASSET-BACKED SECURITIES 17.8%
ACE Securities Corp.
5.380% due 10/25/2036		26		26
5.400% due 10/25/2036		18		18
5.410% due 05/25/2036		11		11
Ameriquest Mortgage Securities, Inc.
5.680% due 06/25/2034		8		8
Asset-Backed Funding Certificates
5.380% due 10/25/2036		8		8
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		39		39
5.625% due 09/25/2034		4		4
Bank One Issuance Trust
5.380% due 10/15/2009		75		75
5.460% due 12/15/2010		80		80
Bear Stearns Asset-Backed Securities, Inc.
5.400% due 10/25/2036		39		39
Capital One Auto Finance Trust
5.340% due 12/14/2007		40		40
Chase Credit Card Master Trust
5.390% due 09/15/2009		20		20
5.450% due 06/15/2009		20		20
5.450% due 10/15/2009		50		50
5.460% due 02/15/2011		10		10
Chase Issuance Trust
5.360% due 02/15/2011		100		100
Citigroup Mortgage Loan Trust, Inc.
5.390% due 08/25/2036		16		16
5.400% due 11/25/2036		29		30
5.650% due 11/25/2034		2		2
Countrywide Asset-Backed Certificates
5.370% due 05/25/2037		79		79
5.370% due 03/25/2047		18		18
5.380% due 03/25/2037		19		19
5.400% due 01/25/2037		16		16
5.400% due 05/25/2037		40		40
5.460% due 10/25/2046		9		9
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		10		10
5.329% due 12/08/2007		100		100
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		29		29
5.380% due 06/25/2036		25		25
5.440% due 01/25/2036		17		17
5.440% due 11/25/2036		13		13
Fremont Home Loan Trust
5.390% due 02/25/2037		23		23
5.400% due 05/25/2036		14		14
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		18		18
GSAMP Trust
5.390% due 09/25/2036		19		19
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		100		100
Home Equity Asset Trust
5.470% due 01/25/2036		21		21
Lehman XS Trust
5.420% due 05/25/2046		29		29
5.430% due 11/25/2046		28		28
5.470% due 11/25/2036		10		10
Long Beach Mortgage Loan Trust
5.380% due 10/25/2036		28		28
MBNA Credit Card Master Note Trust
5.450% due 12/15/2011		35		35
Merrill Lynch Mortgage Investors, Inc.
5.440% due 10/25/2037		27		27
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		29		29
5.370% due 09/25/2036		28		28
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		38		38
Option One Mortgage Loan Trust
5.360% due 02/25/2037		38		38
Park Place Securities, Inc.
5.662% due 10/25/2034		25		25
Residential Asset Mortgage Products, Inc.
5.400% due 10/25/2036		24		24
Residential Asset Securities Corp.
5.360% due 08/25/2036		17		17
5.420% due 11/25/2036		29		29
Saxon Asset Securities Trust
5.380% due 11/25/2036		18		18
SBI HELOC Trust
5.490% due 08/25/2036		18		18
SLM Student Loan Trust
5.345% due 10/25/2012		20		20
Soundview Home Equity Loan Trust
5.410% due 12/25/2036		100		100
5.580% due 06/25/2035		28		28
Specialty Underwriting & Residential Finance
5.395% due 11/25/2037		38		38
Structured Asset Securities Corp.
5.370% due 10/25/2036		28		28
5.450% due 07/25/2035		11		11
Triad Auto Receivables Owner Trust
5.341% due 11/13/2007		22		22
Total Asset-Backed Securities (Cost $1,833)				1,834
		Shares
PREFERRED STOCKS 0.2%
DG Funding Trust
7.614% due 12/31/2049		2		21
Total Preferred Stocks (Cost $21)				21
		Principal Amount (000s)		Value (000s)
SHORT-TERM INSTRUMENTS 60.7%
Certificates of Deposit 0.4%
Barclays Bank PLC
5.265% due 01/29/2007	$	40		40
Commercial Paper 42.5%
Abbey National N.A. LLC
5.200% due 04/02/2007		200		197
Bank of America Corp.
5.210% due 03/28/2007		200		197
Barclays U.S. Funding Corp.
5.250% due 03/14/2007		200		198
Calyon N.A. LLC
5.240% due 02/08/2007		100		100
CBA (de) Finance
5.240% due 02/21/2007		100		99
5.250% due 03/07/2007		200		198
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		100		98
Dexia Delaware LLC
5.240% due 02/20/2007		200		199
Freddie Mac
5.150% due 01/09/2007		1,800		1,798
HBOS Treasury Services PLC
5.225% due 03/06/2007		400		396
Societe Generale NY
5.200% due 04/02/2007		200		197
UBS Finance Delaware LLC
5.270% due 01/05/2007		400		400
Westpac Capital Corp.
5.210% due 03/29/2007		300		296
				4,373
Repurchase Agreements 13.0%
Lehman Brothers, Inc.
4.850% due 01/02/2007		1,000		1,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 4.500% due 02/28/2011 valued at $1,025. Repurchase proceeds are $1,001.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		337		337
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $348. Repurchase proceeds are $337.)
				1,337
U.S. Treasury Bills 4.8%
4.851% due 03/01/2007 - 03/15/2007 (a)(c)		501		496
Total Short-Term Instruments (Cost $6,248)				6,246
Purchased Options (e) 0.0% (Cost $15)				5
Total Investments (b) 219.3% (Cost $22,612)			$	22,578
Written Options (f) (0.0%) (Premiums $10)				(4	)
Other Assets and Liabilities (Net) (119.3%)				(12,283	)
Net Assets 100.0%			$	10,291

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

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

(a) Coupon represents a weighted average rate.

(b) As of December 31, 2006, portfolio securities with an aggregate value of $6,856 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $496 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	19	$	(7	)
90-Day Eurodollar June Futures	Long	06/2007	8		(1	)
90-Day Eurodollar June Futures	Long	06/2008	10		(9	)
90-Day Eurodollar March Futures	Long	03/2008	10		(10	)
90-Day Eurodollar September Futures	Long	09/2007	4		0
90-Day Eurodollar September Futures	Long	09/2008	10		(8	)
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 112.5000	Long	03/2007	8		0
Russell 2000 Emini Index March Futures	Long	03/2007	76		(60	)
Russell 2000 Index March Futures	Long	03/2007	11		(67	)
U.S. Treasury 10-Year Note March Futures	Short	03/2007	4		5
				$	(157	)

(d) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
JPMorgan Chase & Co.	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.050	%	12/20/2007	$	10	$	0
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.100	%	6/20/2007		100		1
								$	1

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009	$	2,500	$	(21	)

(e) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CBOT U.S. Treasury 10-Year Note March Futures	$	103.000	2/23/2007	16	$	0	$	0
Put - CME 90-Day Eurodollar September Futures		90.500	9/17/2007	1		0		0
Put - OTC Mini S&P March Futures		510.000	3/17/2007	58		2		0
					$	2	$	0

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Cost

Value

Call - OTC 1-Year Interest Rate Swap

Royal Bank of Scotland Group PLC

3-Month USD-LIBOR

Pay

4.750

%

7/2/2007

$

5,000

$

12

$

4

Options on Securities		StrikePrice	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 03/01/2037	$	$87.969	3/6/2007	$	1,500	$	0	$	0
Put - OTC Fannie Mae 6.000% due 03/01/2037		90.750	3/6/2007		4,400		1		1
Put - OTC Fannie Mae 6.500% due 03/01/2037		93.000	3/6/2007		4,400		0		0
						$	1	$	1

(f) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call - OTC 5-Year Interest Rate Swap

Royal Bank of Scotland Group PLC

3-Month USD-LIBOR

Receive

4.750

%

7/2/2007

$

1,000

$

10

$

4

(g) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	2	05/2007	$	0	$	0		$	0
Buy		7	06/2007		0		0			0
Buy	CAD	11	01/2007		0		(1	)		(1	)
Sell		10	01/2007		1		0			1
Buy	CNY	23	11/2007		0		0			0
Buy	EUR	15	01/2007		0		0			0
Sell		25	01/2007		0		0			0
Buy	GBP	4	01/2007		0		0			0
Sell	JPY	2,859	01/2007		0		0			0
Buy		7,331	02/2007		0		(1	)		(1	)
Sell		470	02/2007		0		0			0
Buy	KRW	3,907	05/2007		0		0			0
Buy	PHP	395	03/2007		0		0			0
Buy	RUB	80	03/2007		0		0			0
Buy	SGD	2	01/2007		0		0			0
Buy		24	07/2007		0		0			0
Buy	TWD	34	02/2007		0		0			0
				$	1	$	(2	)	$	(1	)

See accompanying notes

Schedule of Investments

StocksPLUS^® Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 1.2%
Allied Waste North America, Inc.
5.322% due 01/15/2012	$	431		$	432
7.170% due 01/15/2012		1,069			1,072
Fresenius Medical Care Capital Trust
6.742% due 03/22/2013		983			979
Reynolds American, Inc.
7.188% due 05/31/2012		8,710			8,779
7.250% due 05/31/2012		268			270
Total Bank Loan Obligations (Cost $11,463)					11,532
CORPORATE BONDS & NOTES 33.3%
Banking & Finance 20.6%
American Express Bank FSB
5.410% due 10/20/2009		2,100			2,102
American Express Centurion Bank
5.350% due 05/07/2008		1,900			1,901
American Express Credit Corp.
5.350% due 06/12/2007		2,700			2,701
5.410% due 11/09/2009		2,100			2,101
American General Finance Corp.
5.406% due 03/23/2007		900			900
American International Group, Inc.
5.365% due 06/23/2008		8,600			8,605
Atlantic & Western Re Ltd.
11.372% due 01/09/2007		300			300
Bank of America Corp.
5.375% due 06/19/2009		9,600			9,611
5.378% due 11/06/2009		500			500
Bank of America N.A.
5.361% due 12/18/2008		4,100			4,100
5.377% due 07/25/2008		100			100
Bank of Ireland
5.415% due 12/18/2009		5,100			5,093
Bear Stearns Cos., Inc.
5.465% due 08/21/2009		3,000			3,005
5.676% due 01/30/2009		2,300			2,312
BNP Paribas
5.292% due 05/28/2008		1,600			1,600
Caterpillar Financial Services Corp.
5.446% due 10/28/2008		400			401
CIT Group, Inc.
5.000% due 11/24/2008		1,700			1,692
5.515% due 12/19/2008		1,500			1,504
Citigroup Global Markets Holdings, Inc.
5.390% due 03/07/2008		7,100			7,108
5.461% due 03/17/2009		2,000			2,003
Citigroup, Inc.
5.406% due 12/26/2008		1,600			1,602
5.416% due 01/30/2009		1,000			1,001
DnB NORBank ASA
5.443% due 10/13/2009		1,800			1,801
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (a)		1,100			913
Export-Import Bank of Korea
5.615% due 11/16/2010		5,900			5,909
Ford Motor Credit Co.
5.560% due 03/13/2007		2,700			2,683
6.192% due 09/28/2007		2,600			2,597
6.315% due 03/21/2007		8,500			8,499
7.200% due 06/15/2007		900			901
7.375% due 10/28/2009		600			602
Fortis Bank
5.265% due 04/28/2008		4,500			4,501
Foundation Re II Ltd.
12.123% due 11/26/2010		2,500			2,500
General Electric Capital Corp.
5.410% due 01/05/2009		100			100
5.430% due 10/06/2010		2,400			2,402
General Motors Acceptance Corp.
6.516% due 09/23/2008		7,400			7,446
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		500			500
5.455% due 12/22/2008		3,600			3,606
5.456% due 06/23/2009		3,100			3,104
5.464% due 03/30/2007		2,200			2,201
5.495% due 10/05/2007		700			701
HSBC Finance Corp.
5.490% due 09/15/2008		1,400			1,404
6.538% due 11/13/2007		10,100			10,166
JPMorgan Chase & Co.
5.400% due 06/26/2009		1,500			1,502
Lehman Brothers Holdings, Inc.
5.415% due 12/23/2008		200			200
5.475% due 08/21/2009		2,000			2,002
5.475% due 11/16/2009		4,200			4,203
5.576% due 12/23/2010		2,500			2,509
5.624% due 11/10/2009		1,300			1,307
Merrill Lynch & Co., Inc.
5.395% due 12/22/2008		5,500			5,502
5.414% due 10/23/2008		2,400			2,402
5.450% due 12/04/2009		2,300			2,302
Morgan Stanley
5.390% due 11/21/2008		1,600			1,601
5.485% due 02/09/2009		2,800			2,806
5.624% due 01/18/2011		3,300			3,314
Nordea Bank Finland
5.267% due 03/31/2008		1,500			1,500
5.308% due 05/28/2008		1,600			1,601
Osiris Capital PLC
8.210% due 01/15/2010		5,000			5,014
Phoenix Quake Ltd.
7.820% due 07/03/2008		500			504
Phoenix Quake Wind Ltd.
7.820% due 07/03/2008		600			603
Prudential Financial, Inc.
5.510% due 06/13/2008		4,400			4,413
Royal Bank of Scotland Group PLC
5.365% due 12/21/2007		3,400			3,404
5.424% due 07/21/2008		1,600			1,602
Santander U.S. Debt S.A. Unipersonal
5.375% due 09/21/2007		5,800			5,806
5.425% due 09/19/2008		6,500			6,511
Societe Generale NY
5.258% due 06/11/2007		1,600			1,600
5.299% due 06/30/2008		2,000			1,999
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		9,900			9,905
Vita Capital Ltd.
6.710% due 01/01/2007		300			300
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		1,900			1,903
Wachovia Corp.
5.426% due 10/28/2008		4,170			4,177
5.506% due 10/15/2011		5,700			5,711
Westpac Banking Corp.
5.310% due 06/06/2008		1,200			1,200
					210,181
Industrials 7.5%
Anadarko Petroleum Corp.
5.760% due 09/15/2009		2,000			2,010
Cox Communications, Inc.
5.910% due 12/14/2007		1,300			1,306
DaimlerChrysler N.A. Holding Corp.
5.600% due 03/07/2007		2,900			2,901
5.833% due 09/10/2007		1,800			1,804
El Paso Corp.
7.625% due 08/16/2007		2,360			2,395
General Electric Co.
5.393% due 12/09/2008		9,600			9,611
Home Depot, Inc.
5.490% due 12/16/2009		2,000			2,001
JC Penney Corp., Inc.
7.375% due 08/15/2008		700			717
Mandalay Resort Group
10.250% due 08/01/2007		2,500			2,572
MGM Mirage
9.750% due 06/01/2007		5,200			5,291
Northwest Pipeline Corp.
6.625% due 12/01/2007		1,372			1,382
Oracle Corp.
5.603% due 01/13/2009		3,800			3,808
Pemex Project Funding Master Trust
5.970% due 12/03/2012		3,600			3,615
Reynolds American, Inc.
6.500% due 06/01/2007		3,000			3,019
Southern Natural Gas Co.
6.700% due 10/01/2007		2,200			2,227
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/2007		4,000			4,017
Telecom Italia Capital S.A.
5.851% due 02/01/2011		1,300			1,295
Time Warner, Inc.
5.606% due 11/13/2009		10,100			10,114
Transcontinental Gas Pipe Line Corp.
6.654% due 04/15/2008		5,400			5,427
Transocean, Inc.
5.566% due 09/05/2008		2,400			2,403
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		4,400			4,400
Williams Cos., Inc.
5.935% due 02/16/2007		4,300			4,311
					76,626
Utilities 5.2%
America Movil S.A. de C.V.
5.466% due 06/27/2008		2,700			2,698
AT&T, Inc.
4.214% due 06/05/2021		2,900			2,892
5.584% due 11/14/2008		2,000			2,007
CMS Energy Corp.
9.875% due 10/15/2007		6,400			6,632
Dominion Resources, Inc.
5.554% due 11/14/2008		4,460			4,463
5.662% due 09/28/2007		3,000			3,002
Entergy Gulf States, Inc.
6.100% due 12/08/2008		3,000			3,008
Florida Power Corp.
5.774% due 11/14/2008		1,900			1,905
Mission Energy Holdings International, Inc.
13.500% due 07/15/2008		1,700			1,883
NiSource Finance Corp.
5.940% due 11/23/2009		600			601
Progress Energy, Inc.
5.824% due 01/15/2010		1,500			1,506
Public Service Enterprise Group, Inc.
5.740% due 09/21/2008		1,800			1,802
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		2,900			2,922
Qwest Corp.
8.610% due 06/15/2013		3,400			3,697
Sierra Pacific Power Co.
8.000% due 06/01/2008		8,593			8,874
Southern California Edison Co.
5.471% due 02/02/2009		2,000			2,004
Telefonica Emisones SAU
5.665% due 06/19/2009		2,600			2,605
					52,501
Total Corporate Bonds & Notes (Cost $338,595)					339,308
MUNICIPAL BONDS & NOTES 0.2%
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021		1,835			1,841
Total Municipal Bonds & Notes (Cost $1,827)					1,841
U.S. GOVERNMENT AGENCIES 16.1%
Fannie Mae
4.626% due 09/01/2035		9,372			9,343
4.678% due 12/01/2033		3,148			3,149
4.785% due 04/01/2035		7,389			7,322
5.000% due 11/01/2019 - 04/25/2033		36,957			36,317
5.470% due 03/25/2034		2,099			2,102
5.500% due 09/01/2033 - 01/01/2037		43,296			42,819
5.527% due 07/01/2018 - 11/01/2028		530			535
5.528% due 02/01/2027		7			7
5.632% due 04/01/2018		56			57
5.680% due 08/01/2029		44			44
5.750% due 05/25/2031 - 11/25/2032		6,560			6,590
5.958% due 07/01/2044		742			748
6.000% due 01/01/2017 - 01/01/2037		3,489			3,525
6.187% due 09/01/2034		2,213			2,234
6.339% due 12/01/2036		2,234			2,257
6.500% due 09/25/2008 (b)		4			0
6.722% due 11/01/2035		1,465			1,500
7.000% due 02/01/2015 - 03/01/2015		1,576			1,622
7.095% due 05/01/2022		9			9
7.500% due 09/01/2015 - 05/01/2016		1,147			1,188
8.000% due 03/01/2030 - 07/01/2031		251			265
Federal Home Loan Bank
0.000% due 02/05/2007		1,100			1,081
2.125% due 02/27/2012		2,400			2,224
5.500% due 06/30/2008		4,400			4,403
Freddie Mac
4.714% due 06/01/2035		6,368			6,285
5.000% due 07/15/2024		5,439			5,415
5.363% due 07/01/2019		680			693
5.500% due 08/15/2030		94			93
5.700% due 12/15/2030 - 02/15/2031		1,695			1,699
5.750% due 06/15/2018		591			592
5.958% due 02/25/2045		3,380			3,376
6.000% due 03/01/2016 - 01/01/2037		8,325			8,401
6.391% due 12/01/2022		64			65
6.500% due 10/25/2043		2,884			2,946
6.687% due 06/01/2022		29			30
8.500% due 04/01/2025 - 06/01/2025		25			27
Government National Mortgage Association
4.000% due 07/16/2027		475			471
5.125% due 12/20/2022 - 12/20/2027		515			522
5.375% due 02/20/2026 - 02/20/2028		1,273			1,287
5.750% due 07/20/2018 - 09/20/2030		2,753			2,785
8.000% due 04/20/2030		242			256
Total U.S. Government Agencies (Cost $165,205)					164,284
U.S. TREASURY OBLIGATIONS 1.5%
Treasury Inflation Protected Securities (e)
3.625% due 01/15/2008 (g)		15,367			15,535
Total U.S. Treasury Obligations (Cost $15,855)					15,535
MORTGAGE-BACKED SECURITIES 12.0%
Arkle Master Issuer PLC
5.330% due 11/19/2007		5,100			5,109
Banc of America Funding Corp.
4.114% due 05/25/2035		2,303			2,251
Banc of America Mortgage Securities
6.500% due 10/25/2031		1,177			1,194
Bank Mart
4.567% due 03/01/2019 (k)		727			709
Bear Stearns Adjustable Rate Mortgage Trust
4.636% due 01/25/2034		2,704			2,698
4.750% due 10/25/2035		8,803			8,709
5.056% due 04/25/2033		832			834
5.328% due 02/25/2033		308			307
5.583% due 01/25/2034		584			587
Bear Stearns Alt-A Trust
5.510% due 02/25/2034		2,500			2,502
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		2,988			2,993
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		2,299			2,283
Countrywide Alternative Loan Trust
5.530% due 02/20/2047		2,099			2,106
6.000% due 10/25/2033		1,766			1,746
Countrywide Home Loan Mortgage Pass-Through Trust
5.500% due 01/25/2046 (c)		1,900			1,903
CS First Boston Mortgage Securities Corp.
5.601% due 03/25/2032		945			943
6.067% due 06/25/2032		70			70
7.031% due 06/25/2032		78			79
Fund America Investors Corp. II
6.613% due 06/25/2023		18			18
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		2,384			2,386
5.620% due 11/25/2045		1,339			1,342
GSR Mortgage Loan Trust
5.700% due 01/25/2034		552			552
Harborview Mortgage Loan Trust
5.540% due 12/19/2036		4,997			5,006
Impac CMB Trust
5.750% due 07/25/2033		2,188			2,189
5.850% due 04/25/2034		836			837
6.110% due 10/25/2033		142			142
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		1,955			1,957
Indymac Index Mortgage Loan Trust
5.440% due 11/25/2046		1,868			1,875
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		1,674			1,675
MASTR Asset Securitization Trust
5.500% due 09/25/2033		2,306			2,271
Mellon Residential Funding Corp.
5.830% due 06/15/2030		5,102			5,102
Merrill Lynch Floating Trust
5.420% due 06/15/2022		6,809			6,813
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		774			767
MLCC Mortgage Investors, Inc.
6.994% due 01/25/2029		1,856			1,869
Prime Mortgage Trust
5.750% due 02/25/2019		210			210
5.750% due 02/25/2034		903			906
Resecuritization Mortgage Trust
5.600% due 04/26/2021		1			1
Residential Accredit Loans, Inc.
5.650% due 08/25/2035		3,250			3,255
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		828			833
Salomon Brothers Mortgage Securities VII
7.262% due 12/25/2030		1,035			1,033
Structured Asset Mortgage Investments, Inc.
5.630% due 02/25/2036		1,143			1,145
9.527% due 06/25/2029		1,029			1,110
TBW Mortgage-Backed Pass-Through Certificates
5.460% due 01/25/2037		10,200			10,210
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		2,082			2,082
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		7,516			7,521
Washington Mutual, Inc.
5.590% due 12/25/2045		1,672			1,678
5.596% due 02/27/2034		2,376			2,382
5.640% due 10/25/2045		897			898
5.665% due 11/25/2034		972			973
5.827% due 02/25/2046		8,881			8,944
6.027% due 11/25/2042		627			629
6.227% due 06/25/2042		2,707			2,711
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		3,733			3,691
Total Mortgage-Backed Securities (Cost $122,240)					122,036
ASSET-BACKED SECURITIES 6.5%
AFC Home Equity Loan Trust
5.900% due 06/25/2028		531			532
Argent Securities, Inc.
5.420% due 04/25/2036		995			995
5.470% due 10/25/2035		168			168
5.490% due 02/25/2036		944			945
Asset-Backed Funding Certificates
5.380% due 01/25/2037		2,064			2,065
Asset-Backed Securities Corp. Home Equity
5.510% due 05/25/2035		2,012			2,014
Capital One Auto Finance Trust
5.340% due 12/14/2007		1,700			1,701
Chase Funding Mortgage Loan Asset-Backed Certificates
5.720% due 10/25/2032		437			437
Citigroup Mortgage Loan Trust, Inc.
5.400% due 11/25/2036		1,377			1,378
5.450% due 07/25/2035		68			68
Countrywide Asset-Backed Certificates
5.420% due 12/25/2036		2,100			2,102
CS First Boston Mortgage Securities Corp.
5.660% due 01/25/2032		466			467
Fremont Home Loan Trust
5.370% due 10/25/2036		5,322			5,325
5.440% due 01/25/2036		264			265
GSAMP Trust
5.470% due 12/25/2035		2,670			2,670
GSR Mortgage Loan Trust
5.450% due 11/25/2030		1,106			1,107
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		1,282			1,279
JPMorgan Mortgage Acquisition Corp.
5.420% due 11/25/2036		777			778
Lehman XS Trust
5.420% due 05/25/2046		1,146			1,146
Long Beach Mortgage Loan Trust
5.440% due 01/25/2036		1,441			1,442
5.550% due 11/25/2034		827			828
5.630% due 10/25/2034		501			501
Merrill Lynch Mortgage Investors, Inc.
5.420% due 08/25/2036		10,200			10,210
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		1,247			1,246
New Century Home Equity Loan Trust
5.460% due 09/25/2035		66			66
Residential Asset Mortgage Products, Inc.
5.450% due 05/25/2035		899			900
Residential Asset Securities Corp.
5.420% due 11/25/2036		2,685			2,687
5.460% due 10/25/2035		841			842
Saxon Asset Securities Trust
5.380% due 11/25/2036		1,364			1,365
SG Mortgage Securities Trust
5.450% due 10/25/2035		865			865
SLM Student Loan Trust
5.392% due 04/25/2012		6,400			6,399
Soundview Home Equity Loan Trust
5.450% due 12/25/2035		504			505
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		3,945			3,948
Structured Asset Securities Corp.
5.450% due 07/25/2035		824			824
5.480% due 12/25/2035		2,227			2,229
Wachovia Auto Owner Trust
4.820% due 02/20/2009		1,757			1,755
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		1,700			1,702
5.470% due 12/25/2035		2,764			2,766
Total Asset-Backed Securities (Cost $66,483)					66,522
SOVEREIGN ISSUES 0.8%
Hydro Quebec
5.562% due 09/29/2049		1,200			1,134
Korea Development Bank
5.651% due 11/22/2012		2,200			2,207
Mexico Government International Bond
6.073% due 01/13/2009		4,700			4,748
Total Sovereign Issues (Cost $7,925)					8,089
FOREIGN CURRENCY-DENOMINATED ISSUES 0.9%
New Zealand Government Bond
4.500% due 02/15/2016	NZD	9,750			9,434
Total Foreign Currency-Denominated Issues (Cost $6,677)					9,434
		Shares
PREFERRED STOCKS 1.0%
DG Funding Trust
7.614% due 12/31/2049		913			9,621
Total Preferred Stocks (Cost $9,564)					9,621
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS 28.1%
Certificates of Deposit 1.3%
Skandinav Enskilda BK
5.272% due 07/06/2007	$	2,700			2,627
5.300% due 10/03/2007		6,200			6,199
Societe Generale NY
5.258% due 06/20/2007		4,400			4,290
					13,116
Commercial Paper 17.8%
Bank of America Corp.
5.250% due 01/12/2007		300			300
5.250% due 01/18/2007		800			798
Barclays U.S. Funding Corp.
5.250% due 01/12/2007		100			100
5.250% due 01/17/2007		300			299
Cox Communications, Inc.
5.449% due 01/16/2007		1,200			1,200
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		4,900			4,777
Danske Corp.
5.255% due 01/18/2007		1,600			1,597
Dexia Delaware LLC
5.240% due 01/18/2007		27,300			27,241
Rabobank USA Financial Corp.
5.280% due 01/02/2007		28,000			28,000
Societe Generale NY
5.225% due 03/01/2007		900			893
5.230% due 02/09/2007		700			696
5.235% due 02/16/2007		300			298
5.245% due 01/08/2007		2,400			2,398
5.270% due 01/02/2007		12,800			12,800
Time Warner, Inc.
5.360% due 04/12/2007		10,400			10,243
UBS Finance Delaware LLC
5.205% due 01/26/2007		9,000			8,970
5.225% due 03/08/2007		600			594
5.240% due 01/08/2007		500			500
5.245% due 01/08/2007		20,600			20,585
Unicredito Italiano SpA
5.255% due 01/16/2007		27,200			27,148
Viacom, Inc.
5.594% due 05/29/2007		1,500			1,467
5.600% due 03/22/2007		800			790
Westpac Capital Corp.
5.240% due 01/03/2007		27,000			27,000
5.245% due 01/17/2007		3,000			2,994
					181,688
Repurchase Agreements 4.2%
Lehman Brothers, Inc.
4.850% due 01/02/2007		36,000			36,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.500% due 01/15/2011 valued at $36,806. Repurchase proceeds are $36,019.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		7,026			7,026
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $7,170. Repurchase proceeds are $7,030.)
					43,026
U.S. Treasury Bills 4.8%
4.820% due 03/01/2007 - 03/15/2007 (d)(g)		49,323			48,813
Total Short-Term Instruments (Cost $286,931)					286,643
Purchased Options (i) 0.1% (Cost $1,098)					1,169
Total Investments (f) 101.7% (Cost $1,033,863)				$	1,036,014
Written Options (j) (0.2%) (Premiums $1,169)					(1,594	)
Other Assets and Liabilities (Net) (1.5%)					(15,278	)
Net Assets 100.0%				$	1,019,142

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

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

(a) Security is in default.

(b) Interest only security.

(c) When-issued security.

(d) Coupon represents a weighted average rate.

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

(f) As of December 31, 2006, portfolio securities with an aggregate value of $81,793 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Securities with an aggregate market value of $64,348 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	45	$	(49	)
90-Day Euribor June Futures	Long	06/2007	60		(34	)
90-Day Euribor June Futures Put Options Strike @ EUR 96.125	Short	06/2007	403		(153	)
90-Day Euribor September Futures	Long	09/2007	105		(96	)
90-Day Eurodollar December Futures	Long	12/2007	1,720		(579	)
90-Day Eurodollar June Futures	Long	06/2007	261		(175	)
90-Day Eurodollar March Futures	Long	03/2008	111		(52	)
90-Day Eurodollar September Futures	Long	09/2007	1,937		(856	)
90-Day Euroyen December Futures	Long	12/2007	59		(8	)
90-Day Euroyen September Futures	Long	09/2007	100		(13	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	32		4
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	32		(21	)
S&P 500 Emini Index March Futures	Long	03/2007	9,256		4,377
S&P 500 Index March Futures	Long	03/2007	969		2,610
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	56		(28	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2007	37		(22	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	79		(39	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	672		1,328
				$	6,194

(h) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	76,000	$	5
Barclays Bank PLC	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.610	%	3/20/2007	$	2,800		8
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 6.500% due 11/15/2013	Sell	0.225	%	3/20/2008		4,200		1
Credit Suisse First Boston	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.180	%	11/20/2007		3,200		0
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.063	%	12/20/2007		3,200		0
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.063	%	12/20/2007		2,600		0
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	1.000	%	10/20/2011		3,200		42
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.320	%	2/20/2007		4,000		3
HSBC Bank USA	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.610	%	3/20/2007		2,800		8
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.530	%	12/20/2007		5,200		(2	)
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.000	%	3/20/2007		900		5
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.770	%	5/20/2007		1,500		5
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	6/20/2007		2,000		44
Lehman Brothers, Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.610	%	3/20/2007		17,500		50
Lehman Brothers, Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.870	%	4/20/2007		200		1
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	6/20/2007		1,500		34
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		1,200		0
Lehman Brothers, Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.310	%	12/20/2008		1,200		0
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		3,900		18
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.250	%	11/20/2007		5,300		4
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.420	%	11/20/2007		3,200		4
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.310	%	12/20/2007		4,800		5
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.320	%	12/20/2007		5,300		6
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.900	%	6/20/2007		2,500		58
UBS AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.065	%	12/20/2007		3,200		(1	)
Wachovia Bank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.800	%	6/20/2007		1,000		12
								$	310

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	2,900	$	(8	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010	BRL	1,800		8
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	1/4/2010		2,000		5
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010	EUR	2,300		37
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,000		19
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007	GBP	4,700		(87	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	9/20/2009		800		(27	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016	JPY	10,000		0
								$	(53	)

Total Return Swaps

Counterparty	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized (Depreciation)
Credit Suisse First Boston	S&P 500 Index	1-Month USD-LIBOR plus 0.030%	5/15/2007	8	$	(191	)

(i) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar March Futures	$	92.000	3/19/2007	2,486	$	24	$	0
Put - CME S&P March Futures		900.000	3/16/2007	1,934		55		0
					$	79	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007	EUR	8,000	$	37	$	13
Call - OTC 2-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007	GBP	3,900		18		3
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		2,600		15		2
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007	$	35,000		140		49
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.500	%	7/9/2007		88,700		439		868
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		19,000		89		27
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		41,400		139		124
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		7,100		30		69
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		27,000		112		55
									$	1,019	$	1,210

Straddle Options

Description	Counterparty		Exercise Price(2)	Expiration Date		Notional Amount		Cost(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Bank of America	$	0.000	1/17/2007	$	3,000	$	0	$	(41	)

⁽²⁾ Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(j) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	286	$	53	$	22
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	286		62		148
Put - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	35		19		9
					$	134	$	179

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007	EUR	3,000	$	36	$	23
Call - OTC 8-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	1,100		18		5
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		700		14		3
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007	$	15,000		144		69
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.620	%	7/9/2007		29,100		440		943
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		8,000		89		37
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		18,000		142		195
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		3,100		31		79
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		11,600		121		94
									$	1,035	$	1,448

Straddle Options

Description	Counterparty		Exercise Price(3)	Expiration Date		Notional Amount		Premium	(3)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.	$	0.000	1/17/2007	$	3,000	$	0		$	33

⁽³⁾ Exercise price and final premium determined on a future date, based upon implied volatility parameters.

(k) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date(s)		Cost		Market Value	Market Value as Percentage of Net Assets
Bank Mart	4.567	%	3/1/2019	07/07/1995 - 06/12/1997	$	729	$	709	0.07	%

(l) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	1/1/2037	$	1,000	$	998	$	988

(m) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	2,066	01/2007	$	4	$	0		$	4
Sell		2,066	01/2007		0		(9	)		(9	)
Buy		4,306	05/2007		18		0			18
Buy		4,706	06/2007		34		0			34
Buy	CNY	9,454	03/2007		2		0			2
Buy		960	09/2007		3		0			3
Buy		10,360	11/2007		17		0			17
Buy	EUR	32,300	01/2007		440		0			440
Sell		30,176	01/2007		21		(277	)		(256	)
Buy	GBP	412	01/2007		5		0			5
Sell		295	01/2007		3		0			3
Sell	JPY	2,289,200	01/2007		135		(3	)		132
Buy		2,388,664	02/2007		0		(269	)		(269	)
Sell		180,599	02/2007		18		0			18
Buy	KRW	119,281	02/2007		3		0			3
Buy		1,391,621	05/2007		15		0			15
Buy	MXN	3,678	04/2007		0		0			0
Sell	NZD	11,459	01/2007		0		(421	)		(421	)
Buy	PHP	28,187	03/2007		0		(3	)		(3	)
Buy	RUB	25,708	03/2007		11		0			11
Buy		24,216	11/2007		0		0			0
Buy		45,515	12/2007		0		(5	)		(5	)
Buy	SGD	196	01/2007		2		0			2
Buy		1,735	07/2007		1		0			1
Buy	TWD	4,111	02/2007		2		0			2
				$	734	$	(987	)	$	(253	)

See accompanying notes

Schedule of Investments

StocksPLUS^® Total Return Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 13.8%
Banking & Finance 12.0%
American Express Credit Corp.
5.410% due 11/09/2009	$	1,200	$	1,201
American General Finance Corp.
5.406% due 03/23/2007		300		300
American International Group, Inc.
5.050% due 10/01/2015		100		97
Bank of America Corp.
5.378% due 11/06/2009		400		400
5.451% due 09/18/2009		800		801
Bank of America N.A.
5.377% due 07/25/2008		900		901
Bank of Ireland
5.415% due 12/18/2009		1,500		1,498
Bear Stearns Cos., Inc.
5.676% due 01/30/2009		700		704
BNP Paribas
5.186% due 06/29/2049		1,200		1,154
5.292% due 05/28/2008		500		500
Calabash Re II Ltd. (a)
13.746% due 01/08/2010		1,000		1,001
14.946% due 01/08/2010		1,000		1,001
16.246% due 01/08/2010		800		800
Citigroup Global Markets Holdings, Inc.
5.461% due 03/17/2009		600		601
Citigroup, Inc.
5.392% due 12/28/2009		700		700
5.406% due 12/26/2008		900		901
5.416% due 01/30/2009		1,200		1,201
6.125% due 08/25/2036		1,200		1,254
DnB NORBank ASA
5.443% due 10/13/2009		600		600
Export-Import Bank of China
4.875% due 07/21/2015		100		97
General Electric Capital Corp.
5.410% due 10/26/2009		2,100		2,101
GMAC LLC
6.000% due 12/15/2011		100		100
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		500		500
5.455% due 12/22/2008		1,500		1,503
5.455% due 11/16/2009		800		801
5.456% due 06/23/2009		1,000		1,001
HBOS PLC
5.920% due 09/29/2049		100		98
JPMorgan Chase & Co.
5.400% due 06/26/2009		500		500
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/29/2036		100		104
Lehman Brothers Holdings, Inc.
5.460% due 04/03/2009		2,400		2,404
5.464% due 01/23/2009		900		902
Merrill Lynch & Co., Inc.
5.414% due 10/23/2008		1,000		1,001
5.461% due 08/22/2008		400		401
5.464% due 08/14/2009		1,200		1,201
MetLife, Inc.
6.400% due 12/15/2036		300		302
Morgan Stanley
5.390% due 11/21/2008		500		500
5.499% due 02/15/2007		3,400		3,401
Mystic Re Ltd.
11.670% due 12/05/2008		800		800
Nordea Bank Finland
5.267% due 03/31/2008	$	500	$	500
5.308% due 05/28/2008		500		500
Petroleum Export Ltd.
5.265% due 06/15/2011		89		87
Resona Bank Ltd.
5.850% due 09/29/2049		200		196
Royal Bank of Scotland Group PLC
5.424% due 07/21/2008		500		500
Santander U.S. Debt S.A. Unipersonal
5.425% due 09/19/2008		3,300		3,306
SLM Corp.
5.517% due 07/27/2009		400		401
Societe Generale NY
5.258% due 06/11/2007		500		500
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		1,100		1,077
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		2,600		2,601
USB Capital IX
6.189% due 04/15/2049		100		102
Wachovia Corp.
5.410% due 12/01/2009		200		200
5.426% due 10/28/2008		1,700		1,703
5.506% due 10/15/2011		1,500		1,503
				46,508
Industrials 1.0%
Anadarko Petroleum Corp.
5.760% due 09/15/2009		800		804
CODELCO, Inc.
6.150% due 10/24/2036		100		103
Cox Communications, Inc.
5.875% due 12/01/2016		100		99
HJ Heinz Co.
6.428% due 12/01/2008		100		102
Home Depot, Inc.
5.250% due 12/16/2013		100		99
Peabody Energy Corp.
7.875% due 11/01/2026		200		216
Pemex Project Funding Master Trust
5.750% due 12/15/2015		200		199
7.375% due 12/15/2014		10		11
Transocean, Inc.
5.566% due 09/05/2008		500		501
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		1,700		1,700
				3,834
Utilities 0.8%
AT&T, Inc.
4.214% due 06/05/2021		700		698
IPALCO Enterprises, Inc.
8.625% due 11/14/2011		600		656
Qwest Corp.
7.625% due 06/15/2015		600		645
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		300		289
Telefonica Emisones SAU
5.665% due 06/19/2009		700		701
				2,989
Total Corporate Bonds & Notes (Cost $53,233)				53,331
MUNICIPAL BONDS & NOTES 0.9%
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021	$	15	$	15
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
5.750% due 06/01/2032		3,000		3,217
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		400		408
Total Municipal Bonds & Notes (Cost $3,188)				3,640
U.S. GOVERNMENT AGENCIES 48.9%
Fannie Mae
4.677% due 05/25/2035		100		99
5.000% due 11/01/2017 - 03/01/2036		19,852		19,496
5.410% due 12/25/2036		397		398
5.470% due 03/25/2034		346		347
5.500% due 05/01/2032 - 01/01/2037		82,391		81,530
5.561% due 05/01/2036		17		17
5.700% due 03/25/2044		1,050		1,051
5.750% due 11/25/2032		94		95
5.958% due 07/01/2044		231		233
6.000% due 01/01/2037		81,100		81,658
6.187% due 09/01/2034		89		89
6.339% due 12/01/2036		78		78
7.000% due 09/01/2013		12		13
8.000% due 12/01/2030		3		3
Freddie Mac
4.500% due 10/01/2007		42		42
5.500% due 08/15/2030		13		13
5.700% due 02/15/2031		2		2
5.958% due 02/25/2045		117		116
6.000% due 01/01/2037		1,000		1,007
6.102% due 02/01/2024		20		21
8.000% due 01/01/2017		46		48
Government National Mortgage Association
5.375% due 03/20/2027		5		5
8.000% due 02/15/2030		2		2
Small Business Administration
4.750% due 07/01/2025		1,254		1,220
5.520% due 06/01/2024		1,340		1,360
Total U.S. Government Agencies (Cost $190,782)				188,943
U.S. TREASURY OBLIGATIONS 14.8%
Treasury Inflation Protected Securities (c)
2.000% due 01/15/2026		2,847		2,678
2.375% due 01/15/2025		1,178		1,173
U.S. Treasury Notes
4.625% due 12/31/2011		26,400		26,308
4.750% due 12/31/2008		27,000		26,977
Total U.S. Treasury Obligations (Cost $57,238)				57,136
MORTGAGE-BACKED SECURITIES 5.1%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		384		378
Arkle Master Issuer PLC
5.330% due 11/19/2007		1,600		1,603
Banc of America Funding Corp.
4.114% due 05/25/2035		556		543
Banc of America Mortgage Securities
6.500% due 10/25/2031		196		199
6.500% due 09/25/2033		58		58
Bear Stearns Adjustable Rate Mortgage Trust
4.636% due 01/25/2034		189		188
5.056% due 04/25/2033		8		8
5.328% due 02/25/2033		1		1
5.583% due 01/25/2034		37		37
Bear Stearns Alt-A Trust
5.390% due 05/25/2035		1,348		1,351
5.510% due 02/25/2034		900		901
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		180		177
Countrywide Alternative Loan Trust
6.000% due 10/25/2033		161		159
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		170		169
5.500% due 01/25/2046 (a)		600		601
5.620% due 05/25/2034		179		179
CS First Boston Mortgage Securities Corp.
5.629% due 05/25/2032		2		2
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.430% due 02/25/2037		3,200		3,203
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		795		795
5.430% due 01/25/2047		800		800
GSR Mortgage Loan Trust
3.393% due 06/25/2034		1,174		1,171
6.000% due 03/25/2032		1		1
Impac CMB Trust
5.750% due 07/25/2033		101		101
5.850% due 04/25/2034		134		135
MASTR Asset Securitization Trust
5.500% due 09/25/2033		40		40
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		20		20
MLCC Mortgage Investors, Inc.
6.994% due 01/25/2029		192		193
Morgan Stanley Capital I
5.500% due 04/25/2017		1		1
Prime Mortgage Trust
5.750% due 02/25/2019		23		23
5.750% due 02/25/2034		125		126
Residential Accredit Loans, Inc.
5.650% due 08/25/2035		975		977
Salomon Brothers Mortgage Securities VII
4.000% due 12/25/2018		634		598
Structured Asset Securities Corp.
5.345% due 10/25/2035		856		854
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		694		694
Washington Mutual, Inc.
5.596% due 02/27/2034		79		79
5.640% due 10/25/2045		192		193
5.670% due 12/25/2027		1,563		1,565
5.827% due 02/25/2046		697		701
6.027% due 11/25/2042		204		205
6.227% due 08/25/2042		128		129
Washington Mutual MSC Mortgage Pass-Through Certificates
5.390% due 02/25/2033		2		2
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		728		720
Total Mortgage-Backed Securities (Cost $19,917)				19,880
ASSET-BACKED SECURITIES 17.9%
ACE Securities Corp.
5.370% due 12/25/2036		287		287
5.450% due 10/25/2036		3,900		3,902
Amortizing Residential Collateral Trust
5.640% due 07/25/2032		18		18
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		778		779
5.510% due 05/25/2035		539		540
Bank One Issuance Trust
5.460% due 12/15/2010		4,400		4,410
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		1,061		1,062
5.400% due 10/25/2036		389		389
Capital One Auto Finance Trust
5.340% due 12/14/2007		600		601
Carrington Mortgage Loan Trust
5.400% due 01/25/2037		3,900		3,904
Chase Credit Card Master Trust
5.460% due 02/15/2011		1,000		1,003
Countrywide Asset-Backed Certificates
5.370% due 12/26/2036		3,900		3,905
5.370% due 05/25/2037		498		498
5.400% due 05/25/2037		3,858		3,857
5.430% due 06/25/2037		700		700
5.830% due 12/25/2031		138		138
CS First Boston Mortgage Securities Corp.
5.660% due 01/25/2032		23		23
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		1,263		1,264
5.370% due 12/25/2036		873		873
5.420% due 12/25/2037		3,900		3,902
Fremont Home Loan Trust
5.370% due 10/25/2036		2,879		2,881
5.410% due 01/25/2037		600		600
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		900		901
JPMorgan Mortgage Acquisition Corp.
5.370% due 07/25/2036		1,468		1,469
5.400% due 10/25/2036		3,189		3,191
Lehman XS Trust
5.420% due 05/25/2046		358		358
Long Beach Mortgage Loan Trust
5.360% due 11/25/2036		3,123		3,125
5.380% due 06/25/2036		2,032		2,033
5.630% due 10/25/2034		125		125
MASTR Asset-Backed Securities Trust
5.410% due 11/25/2036		900		901
MBNA Credit Card Master Note Trust
5.460% due 08/17/2009		3,900		3,904
5.470% due 08/16/2010		2,200		2,205
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		689		690
5.420% due 08/25/2036		3,900		3,904
Morgan Stanley ABS Capital I
5.370% due 10/25/2036		386		386
Option One Mortgage Loan Trust
5.400% due 07/25/2036		708		709
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		1,822		1,823
5.450% due 08/25/2046		3,900		3,902
Soundview Home Equity Loan Trust
5.410% due 01/25/2037		3,900		3,902
Truman Capital Mortgage Loan Trust
5.690% due 01/25/2034		172		172
Total Asset-Backed Securities (Cost $69,192)				69,236
SOVEREIGN ISSUES 0.0%
China Development Bank
5.000% due 10/15/2015		100		98
Total Sovereign Issues (Cost $99)				98
FOREIGN CURRENCY-DENOMINATED ISSUES 0.3%
Ford Motor Credit Co.
6.750% due 01/14/2008	EUR	200		268
Province of Quebec Canada
5.000% due 12/01/2038	CAD	800		720
Total Foreign Currency-Denominated Issues (Cost $979)				988
	Shares
PREFERRED STOCKS 0.4%
DG Funding Trust
7.614% due 12/31/2049		153		1,612
Total Preferred Stocks (Cost $1,618)				1,612
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 34.5%
Certificates of Deposit 0.9%
Skandinaviska Enskilda Banken AB
5.272% due 07/06/2007	$	1,000		1,000
5.300% due 10/03/2007		1,900		1,900
Unicredito Italiano SpA
5.358% due 05/06/2008		600		600
				3,500
Commercial Paper 22.2%
Bank of America Corp.
5.230% due 03/09/2007		6,300		6,236
Bank of Ireland
5.225% due 03/07/2007		800		792
Barclays U.S. Funding Corp.
5.220% due 03/05/2007		9,600		9,508
CBA (de) Finance
5.245% due 01/31/2007		2,100		2,091
Cox Communications, Inc.
5.449% due 01/16/2007		400		400
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		3,400		3,315
General Electric Capital Corp.
5.240% due 02/09/2007		1,800		1,790
HBOS Treasury Services PLC
5.220% due 03/12/2007		500		495
Skandinaviska Enskilda Banken AB
5.220% due 03/06/2007		5,100		5,050
Societe Generale NY
5.185% due 04/02/2007		300		296
5.200% due 04/02/2007		2,600		2,565
5.225% due 03/01/2007		1,900		1,884
5.230% due 02/09/2007		1,500		1,492
Stadshypoket Delaware, Inc.
5.250% due 02/02/2007		10,500		10,454
Statens Bostadsfin Bank
5.250% due 02/08/2007		10,600		10,544
Svenska Handelsbanken, Inc.
5.235% due 03/05/2007		3,500		3,466
Swedbank, Inc.
5.225% due 03/07/2007		10,600		10,495
Toyota Motor Credit Corp.
5.230% due 02/23/2007		8,500		8,437
UBS Finance Delaware LLC
5.185% due 04/02/2007		5,900		5,819
Viacom, Inc.
5.594% due 05/29/2007		400		391
5.600% due 03/22/2007		250		247
				85,767
REPURCHASE AGREEMENTS 5.6%
Lehman Brothers, Inc.
4.850% due 01/02/2007		18,000		18,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.500% due 01/15/2011 valued at $18,403. Repurchase proceeds are $18,010.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		3,422		3,422
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $3,494. Repurchase proceeds are $3,424.)
				21,422
U.S. TREASURY BILLS 5.8%
4.805% due 03/01/2007 - 03/15/2007 (b)(d)(f)		22,810		22,566
Total Short-Term Instruments (Cost $133,334)				133,255
Purchased Options (h) 0.2% (Cost $779)				657
Total Investments (e) 136.8% (Cost $530,359)			$	528,776
Written Options (i) (0.2%) (Premiums $820)				(923	)
Other Assets and Liabilities (Net) (36.6%)				(141,259	)
Net Assets 100.0%			$	386,594

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

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

(d) Securities with an aggregate market value of $247 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(e) As of December 31, 2006, portfolio securities with an aggregate value of $84,763 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $22,318 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	19	$	(18	)
90-Day Euribor June Futures	Long	06/2007	17		(9	)
90-Day Euribor June Futures	Long	06/2008	7		(5	)
90-Day Euribor March Futures	Long	03/2008	14		(10	)
90-Day Euribor September Futures	Long	09/2007	29		(26	)
90-Day Eurodollar December Futures	Long	12/2007	820		(314	)
90-Day Eurodollar June Futures	Long	06/2007	313		(281	)
90-Day Eurodollar June Futures	Long	06/2008	100		(90	)
90-Day Eurodollar March Futures	Long	03/2007	128		(158	)
90-Day Eurodollar March Futures	Long	03/2008	207		(158	)
90-Day Eurodollar September Futures	Long	09/2007	690		(373	)
90-Day Eurodollar September Futures	Long	09/2008	100		(84	)
90-Day Euroyen December Futures	Long	12/2007	10		0
90-Day Euroyen September Futures	Long	09/2007	12		0
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 119.000	Short	03/2007	14		1
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	26		4
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 114.500	Short	03/2007	5		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 115.000	Short	03/2007	5		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	40		(22	)
S&P 500 Emini Index March Futures	Long	03/2007	718		351
S&P 500 Index March Futures	Long	03/2007	954		2,834
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	32		(16	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2007	10		(6	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	5		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	7		(5	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	21		(10	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	7		(5	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	531		(518	)
U.S. Treasury 30-Year Bond March Futures	Long	03/2007	1		(2	)
				$	1,076

(g) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	SOFTBANK Corp. 1.75% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	20,000	$	1
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007	$	100		1
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.063	%	12/20/2007		700		0
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.063	%	12/20/2007		2,500		0
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	3/20/2008		300		0
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.770	%	6/20/2007		500		6
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	0.415	%	11/20/2007		2,300		3
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.100	%	6/20/2007		2,500		11
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.240	%	11/20/2007		1,600		1
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.500	%	11/20/2007		1,600		(1	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		200		1
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		300		0
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		2,700		23
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.980	%	3/20/2016		1,500		57
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.460	%	6/20/2007		100		0
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.570	%	7/20/2007		2,400		10
Wachovia Bank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.800	%	6/20/2007		500		6
								$	119

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	1,100	$	(3	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010	BRL	700		3
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	1/4/2010		1,700		5
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027	CAD	300		(5	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027		500		(6	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010	EUR	1,100		18
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		1,200		59
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036	GBP	200		7
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		5,400		(100	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		400		17
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	9/20/2009		5,900		(200	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		200		0
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		900		41
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016	JPY	340,000		12
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.500	%	12/20/2026		150,000		(5	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		225,000		12
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		75,000		5
UBS AG	6-Month JPY-LIBOR	Pay	1.000	%	3/19/2008		2,600,000		0
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016	MXN	1,200		2
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037	$	400		(10	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		1,800		(15	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		400		(9	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		600		(15	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		6,200		(21	)
								$	(208	)

(h) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CBOT U.S. Treasury 10-Year Note March Futures	$	102.000	2/23/2007	298	$	6	$	5
Put - CBOT U.S. Treasury 10-Year Note March Futures		104.000	2/23/2007	190		3		6
Put - CME 90-Day Eurodollar June Futures		91.000	6/18/2007	117		1		0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	1,561		15		0
Put - CME 90-Day Eurodollar September Futures		90.500	9/17/2007	102		1		0
Put - CME 90-Day Eurodollar September Futures		90.750	9/17/2007	98		1		0
Put - CME S&P 500 Index March Futures		800.000	3/15/2007	245		4		0
Put - CME S&P 500 Index March Futures		900.000	3/16/2007	752		22		0
					$	53	$	11

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007	EUR	2,000	$	9	$	3
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007		6,000		34		10
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.100	%	7/2/2007		5,000		28		15
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007		4,000		19		6
Call - OTC 2-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007	GBP	1,000		5		1
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		700		4		1
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	19,000		70		57
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	8/8/2007		9,000		37		25
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		7,000		28		10
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	8/8/2007		11,000		24		10
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		5,000		23		7
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		9,200		31		28
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		13,000		57		60
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		12,000		53		70
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		11,000		53		106
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		18,000		44		13
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		10,000		26		10
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		30,000		158		190
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.170	%	2/1/2007		5,800		15		11
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		2,000		7		12
									$	725	$	645

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 6.000% due 03/01/2037	$	91.656	3/6/2007	$	10,000	$	1	$	1

(i) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	88	$	36	$	7
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	88		19		45
Put - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	8		4		2
Put - CME 90-Day Eurodollar March Futures		95.250	3/19/2007	10		9		14
					$	68	$	68

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007	EUR	1,000	$	12	$	8
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007		3,000		41		23
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.230	%	7/2/2007		2,000		26		23
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007		2,000		23		16
Call - OTC 8-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		GBP 300		5		1
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		200		4		1
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	8,000		66		65
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	8/8/2007		4,000		35		29
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		3,000		29		14
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	8/8/2007		2,000		27		14
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		2,000		22		9
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		4,000		32		43
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		5,700		59		82
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		5,000		51		80
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		5,000		55		126
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.750	%	7/2/2007		4,000		41		17
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		2,900		31		21
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		14,000		169		246
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.240	%	2/1/2007		2,500		15		21
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.325	%	6/7/2007		1,000		9		16
									$	752	$	855

(j) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	729	01/2007	$	2	$	0		$	2
Sell		636	01/2007		0		(3	)		(3	)
Buy		2,317	05/2007		8		0			8
Buy		1,447	06/2007		10		0			10
Buy	CAD	896	01/2007		0		(24	)		(24	)
Sell		1,673	01/2007		26		0			26
Buy	CLP	64,260	05/2007		0		(1	)		(1	)
Buy	CNY	1,888	03/2007		1		0			1
Buy		384	09/2007		1		0			1
Buy		1,502	11/2007		1		0			1
Sell	EUR	547	01/2007		8		0			8
Sell	GBP	144	01/2007		1		0			1
Buy	INR	2,915	03/2007		2		0			2
Sell	JPY	639,129	01/2007		20		(3	)		17
Buy		731,638	02/2007		0		(83	)		(83	)
Sell		57,051	02/2007		6		0			6
Buy	KRW	196,986	02/2007		6		0			6
Sell		10,850	03/2007		0		0			0
Buy		322,648	05/2007		3		0			3
Buy	MXN	1,125	01/2007		3		0			3
Buy		3,558	04/2007		0		0			0
Sell		70	04/2007		0		0			0
Buy	PHP	27,360	03/2007		0		(3	)		(3	)
Buy	PLN	344	04/2007		4		0			4
Buy	RUB	9,685	03/2007		4		0			4
Buy		7,407	11/2007		0		0			0
Buy		10,300	12/2007		0		(1	)		(1	)
Buy	SGD	207	01/2007		2		0			2
Buy		172	03/2007		3		0			3
Buy		1,684	07/2007		1		0			1
Buy	TWD	4,396	02/2007		1		(1	)		0
Buy	ZAR	39	06/2007		0		0			0
				$	113	$	(119	)	$	(6	)

See accompanying notes

Schedule of Investments

StocksPLUS^® TR Short Strategy Fund

December 31, 2006 (Unaudited)

	Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 0.7%
HCA, Inc.
8.114% due 11/14/2013	$	1,000		$	1,012
Total Bank Loan Obligations (Cost $1,000)					1,012
CORPORATE BONDS & NOTES 34.9%
Banking & Finance 24.9%
American Express Centurion Bank
5.410% due 04/17/2009		1,200			1,201
American Honda Finance Corp.
5.413% due 03/09/2009		500			501
ANZ National International Ltd.
5.415% due 08/07/2009		1,100			1,100
Bank of America Corp.
5.375% due 06/19/2009		1,700			1,702
Bear Stearns Cos., Inc.
5.454% due 03/30/2009		400			401
5.465% due 08/21/2009		200			200
5.526% due 04/29/2008		900			903
BNP Paribas
5.186% due 06/29/2049		200			192
5.292% due 05/28/2008		200			200
C10 Capital SPV Ltd.
6.722% due 12/01/2049		200			200
Calabash Re II Ltd.
13.746% due 01/08/2010 (a)		400			400
14.946% due 01/08/2010 (a)		400			400
CIT Group, Inc.
5.515% due 12/19/2008		100			100
5.526% due 01/30/2009		1,100			1,103
5.580% due 05/23/2008		100			100
5.660% due 11/03/2010		300			302
Citigroup Funding, Inc.
5.342% due 12/08/2008		100			100
Citigroup Global Markets Holdings, Inc.
5.390% due 03/07/2008		25			25
Citigroup, Inc.
4.200% due 12/20/2007		300			297
5.406% due 12/26/2008		600			601
5.416% due 01/30/2009		800			801
6.125% due 08/25/2036		100			104
Ford Motor Credit Co.
5.560% due 03/13/2007		200			199
Fortis Bank
5.265% due 04/28/2008		700			700
Foundation Re II Ltd.
12.123% due 11/26/2010		400			400
General Electric Capital Corp.
5.410% due 10/26/2009		1,100			1,100
5.444% due 01/20/2010		500			501
General Motors Acceptance Corp.
6.274% due 01/16/2007		100			100
Goldman Sachs Group, Inc.
5.455% due 12/22/2008		200			200
5.464% due 11/10/2008		300			301
5.476% due 07/29/2008		400			401
5.495% due 10/05/2007		700			701
5.704% due 07/23/2009		20			20
HBOS Treasury Services PLC
5.414% due 07/17/2009		600			601
HSBC Bank USA N.A.
5.493% due 06/10/2009		300			301
HSBC Finance Corp.
5.420% due 10/21/2009		200			200
5.490% due 09/15/2008		1,000			1,003
HSBC Holdings PLC
6.500% due 05/02/2036		400			432
International Lease Finance Corp.
5.590% due 05/24/2010		1,500			1,507
JPMorgan Chase & Co.
5.562% due 10/02/2009		500			503
Lehman Brothers Holdings, Inc.
5.460% due 04/03/2009		300			301
5.464% due 10/22/2008		500			501
5.576% due 12/23/2010		200			201
5.594% due 07/18/2011		300			301
5.624% due 11/10/2009		200			201
MBNA Corp.
5.798% due 05/05/2008		1,100			1,107
Merrill Lynch & Co., Inc.
5.461% due 06/16/2008		1,600			1,603
MetLife, Inc.
6.400% due 12/15/2036		100			101
Morgan Stanley
5.485% due 02/09/2009		900			902
5.500% due 11/09/2007		600			601
5.614% due 01/22/2009		100			100
Mystic Re Ltd.
11.670% due 12/05/2008		300			300
National Australia Bank Ltd.
5.393% due 09/11/2009		400			400
Nordea Bank Finland
5.308% due 05/28/2008		200			200
Pricoa Global Funding I
5.457% due 01/25/2008		600			601
Royal Bank of Scotland Group PLC
5.365% due 12/21/2007		200			200
5.424% due 07/21/2008		300			300
Santander U.S. Debt S.A. Unipersonal
5.375% due 09/21/2007		200			200
5.425% due 09/19/2008		700			701
5.434% due 10/21/2008		600			601
SLM Corp.
5.587% due 07/25/2008		1,300			1,305
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		200			199
Societe Generale NY
5.299% due 06/30/2008		400			400
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		100			98
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		200			200
Unicredito Italiano NY
5.370% due 12/03/2007		1,400			1,401
Wachovia Bank N.A.
5.406% due 03/23/2009		800			801
Wachovia Corp.
5.426% due 10/28/2008		600			601
5.506% due 10/15/2011		200			200
Wells Fargo & Co.
5.393% due 03/10/2008		800			801
5.426% due 03/23/2010		800			801
					36,332
Industrials 6.2%
Anadarko Petroleum Corp.
5.760% due 09/15/2009		500			502
Comcast Corp.
5.674% due 07/14/2009		400			401
CSC Holdings, Inc.
7.250% due 07/15/2008		1,000			1,014
DaimlerChrysler N.A. Holding Corp.
5.790% due 03/13/2009		300			301
5.820% due 08/03/2009		300			301
Diageo Capital PLC
5.474% due 11/10/2008		600			601
Gaz Capital for Gazprom
6.212% due 11/22/2016		100			101
General Electric Co.
5.393% due 12/09/2008		400			401
Oracle Corp.
5.603% due 01/13/2009		200			200
Peabody Energy Corp.
7.375% due 11/01/2016		100			107
Pemex Project Funding Master Trust
5.750% due 12/15/2015		100			99
Safeway, Inc.
5.716% due 03/27/2009		1,300			1,304
Siemens Financieringsmaatschappij NV
5.424% due 08/14/2009		500			500
5.500% due 02/16/2012		700			708
Time Warner, Inc.
5.606% due 11/13/2009		1,500			1,502
Transocean, Inc.
5.566% due 09/05/2008		300			300
Viacom, Inc.
5.750% due 04/30/2011		50			50
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		600			600
Williams Cos., Inc.
6.375% due 10/01/2010		100			101
					9,093
Utilities 3.8%
AT&T, Inc.
5.464% due 05/15/2008		200			200
5.584% due 11/14/2008		1,300			1,305
BellSouth Corp.
5.474% due 08/15/2008		400			400
5.499% due 11/15/2007		500			501
Embarq Corp.
7.995% due 06/01/2036		900			939
Florida Power Corp.
5.774% due 11/14/2008		700			702
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		100			101
Qwest Corp.
7.625% due 06/15/2015		100			108
Southern California Edison Co.
5.471% due 02/02/2009		200			200
Telefonica Emisones SAU
5.665% due 06/19/2009		1,000			1,002
					5,458
Total Corporate Bonds & Notes (Cost $50,729)					50,883
MUNICIPAL BONDS & NOTES 0.4%
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		100			99
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		25			27
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.250% due 06/01/2043		35			39
6.375% due 06/01/2032		125			140
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.625% due 06/01/2037		200			213
Total Municipal Bonds & Notes (Cost $485)					518
U.S. GOVERNMENT AGENCIES 47.2%
Fannie Mae
4.349% due 03/01/2035		58			58
4.403% due 10/01/2034		47			47
4.467% due 09/01/2035		325			318
4.493% due 07/01/2035		263			261
4.626% due 09/01/2035		329			328
4.673% due 12/01/2033		139			138
4.678% due 12/01/2033		116			116
4.835% due 06/01/2035		326			323
4.996% due 06/01/2035		301			301
5.000% due 10/01/2035 - 03/01/2036		9,262			8,948
5.500% due 04/01/2034 - 01/01/2037		29,173			28,839
5.700% due 09/25/2042		260			261
6.000% due 01/01/2037 - 02/01/2037		24,800			24,969
6.722% due 11/01/2035		64			65
Federal Home Loan Bank
5.500% due 06/30/2008		600			600
Freddie Mac
4.714% due 06/01/2035		566			559
4.924% due 11/01/2034		218			217
5.000% due 12/15/2020 - 01/15/2024		357			356
5.500% due 08/15/2030		1			1
5.750% due 06/15/2018		35			35
6.000% due 01/01/2037		2,000			2,015
Small Business Administration
5.520% due 06/01/2024		21			21
Total U.S. Government Agencies (Cost $68,988)					68,776
U.S. TREASURY OBLIGATIONS 1.2%
Treasury Inflation Protected Securities (c)
2.000% due 01/15/2026		1,729			1,626
2.375% due 01/15/2025		107			107
Total U.S. Treasury Obligations (Cost $1,746)					1,733
MORTGAGE-BACKED SECURITIES 7.0%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		55			54
Banc of America Funding Corp.
4.114% due 05/25/2035		79			78
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		228			225
5.583% due 01/25/2034		1			1
Bear Stearns Alt-A Trust
5.390% due 05/25/2035		15			15
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		90			89
4.900% due 12/25/2035		164			163
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		636			629
5.630% due 02/25/2037		888			888
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		85			84
5.590% due 04/25/2035		191			192
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		87			87
GSR Mortgage Loan Trust
4.540% due 09/25/2035		248			244
Harborview Mortgage Loan Trust
5.440% due 12/19/2036		1,997			2,000
5.570% due 05/19/2035		100			101
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		165			164
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		372			372
Mellon Residential Funding Corp.
5.790% due 12/15/2030		681			684
5.830% due 06/15/2030		9			9
Structured Adjustable Rate Mortgage Loan Trust
4.580% due 02/25/2034		238			237
5.343% due 08/25/2034		315			314
6.227% due 01/25/2035		235			237
Structured Asset Mortgage Investments, Inc.
5.630% due 02/25/2036		88			88
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		297			297
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		1,269			1,270
Washington Mutual, Inc.
5.540% due 04/25/2045		406			407
5.777% due 10/25/2046		882			888
6.027% due 11/25/2042		87			88
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		364			360
Total Mortgage-Backed Securities (Cost $10,260)					10,265
ASSET-BACKED SECURITIES 8.9%
ACE Securities Corp.
5.380% due 10/25/2036		457			457
5.460% due 10/25/2035		111			111
Ameriquest Mortgage Securities, Inc.
5.680% due 06/25/2034		216			216
Argent Securities, Inc.
5.370% due 09/25/2036		161			161
5.430% due 01/25/2036		488			488
5.470% due 10/25/2035		6			6
5.490% due 02/25/2036		46			46
Asset-Backed Securities Corp. Home Equity
5.510% due 05/25/2035		36			36
5.625% due 09/25/2034		263			263
Carrington Mortgage Loan Trust
5.415% due 02/25/2036		195			195
Chase Credit Card Master Trust
5.450% due 06/15/2009		1,300			1,301
Citigroup Mortgage Loan Trust, Inc.
5.650% due 11/25/2034		58			58
Countrywide Asset-Backed Certificates
5.370% due 03/25/2047		460			461
5.420% due 12/25/2036		300			300
5.830% due 12/25/2031		2			2
FBR Securitization Trust
5.470% due 11/25/2035		359			359
GSR Mortgage Loan Trust
5.450% due 11/25/2030		76			76
Home Equity Asset Trust
5.460% due 02/25/2036		284			284
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		197			197
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		174			174
Long Beach Mortgage Loan Trust
5.380% due 10/25/2036		1,501			1,502
5.430% due 02/25/2036		129			130
5.440% due 01/25/2036		139			140
5.550% due 11/25/2034		23			23
5.630% due 10/25/2034		94			94
Newcastle Mortgage Securities Trust
5.420% due 03/25/2036		495			496
Park Place Securities, Inc.
5.662% due 10/25/2034		1,132			1,134
Quest Trust
5.430% due 12/25/2035		3			3
Renaissance Home Equity Loan Trust
5.500% due 11/25/2035		5			5
Residential Asset Mortgage Products, Inc.
5.400% due 10/25/2036		473			473
5.460% due 05/25/2025		19			19
Residential Asset Securities Corp.
5.420% due 11/25/2036		384			384
SACO I, Inc.
5.460% due 11/25/2020		10			10
SLM Student Loan Trust
5.377% due 01/25/2016		491			491
5.377% due 01/25/2018		157			157
5.387% due 01/26/2015		94			94
5.392% due 04/25/2012		1,100			1,100
Soundview Home Equity Loan Trust
5.410% due 06/25/2036		422			422
Structured Asset Securities Corp.
5.370% due 10/25/2036		464			464
5.480% due 12/25/2035		192			192
Wells Fargo Home Equity Trust
5.470% due 12/25/2035		481			481
Total Asset-Backed Securities (Cost $12,999)					13,005
SOVEREIGN ISSUES 0.3%
Brazilian Government International Bond
7.875% due 03/07/2015		400			447
Russia Government International Bond
8.250% due 03/31/2010		16			16
Total Sovereign Issues (Cost $421)					463
FOREIGN CURRENCY-DENOMINATED ISSUES 0.3%
Ford Motor Credit Co.
6.750% due 01/14/2008	EUR	300			402
Total Foreign Currency-Denominated Issues (Cost $375)					402
		Shares
PREFERRED STOCKS 0.6%
DG Funding Trust
7.614% due 12/31/2049		85			896
Total Preferred Stocks (Cost $904)					896
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS 28.7%
Certificates Of Deposit 0.3%
Barclays Bank PLC
4.485% due 01/29/2007	$	400			400
Commercial Paper 7.3%
Societe Generale NY
5.235% due 02/16/2007		1,100			1,093
UBS Finance Delaware LLC
5.185% due 04/02/2007		6,300			6,214
Viacom, Inc.
5.700% due 03/22/2007		250			250
Westpac Capital Corp.
5.210% due 03/29/2007		1,600			1,579
5.245% due 01/24/2007		1,600			1,595
					10,731
Repurchase Agreements 7.9%
Lehman Brothers, Inc.
4.850% due 01/02/2007		6,000			6,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 04/15/2029 valued at $6,147. Repurchase proceeds are $6,003.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		5,599			5,599
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $5,714. Repurchase proceeds are $5,602.)
					11,599
Germany Treasury Bills 0.1%
3.090% due 01/17/2007	EUR	100			132
U.S. Treasury Bills 13.1%
4.810% due 03/01/2007 - 03/15/2007 (b)(e)	$	19,255			19,073
Total Short-Term Instruments (Cost $41,951)					41,935
Purchased Options (g) 0.2% (Cost $333)					287
Total Investments (d) 130.4% (Cost $190,191)				$	190,175
Written Options (h) (0.3%) (Premiums $336)					(381	)
Other Assets and Liabilities (Net) (30.1%)					(43,931	)
Net Assets 100.0%				$	145,863

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

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

(d) As of December 31, 2006, portfolio securities with an aggregate value of $5,727 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $19,073 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	12	$	(12	)
90-Day Euribor June Futures	Long	06/2007	30		(22	)
90-Day Euribor June Futures	Long	06/2008	3		(2	)
90-Day Euribor March Futures	Long	03/2008	6		(4	)
90-Day Euribor September Futures	Long	09/2007	20		(18	)
90-Day Eurodollar December Futures	Long	12/2007	500		37
90-Day Eurodollar June Futures	Long	06/2007	198		(34	)
90-Day Eurodollar March Futures	Long	03/2008	23		(11	)
90-Day Eurodollar September Futures	Long	09/2007	678		30
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 119.000	Short	03/2007	5		0
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	15		2
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 114.500	Short	03/2007	2		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 115.000	Short	03/2007	2		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	20		(12	)
S&P 500 Emini Index March Futures	Long	03/2007	180		97
S&P 500 Index March Futures	Short	03/2007	443		(645	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	20		(11	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2007	7		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	3		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	4		(3	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	14		(7	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	5		(4	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	29		(25	)
U.S. Treasury 30-Year Bond March Futures	Long	03/2007	22		(54	)
				$	(704	)

(f) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	9/20/2007		JPY 13,000	$	1
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.620	%	8/20/2011	$	500		2
Barclays Bank PLC	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.495	%	8/20/2011		500		2
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.063	%	12/20/2007		200		0
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.063	%	12/20/2007		200		0
JPMorgan Chase & Co.	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.050	%	12/20/2007		200		0
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.100	%	6/20/2007		1,100		5
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.240	%	11/20/2007		700		0
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.500	%	11/20/2007		700		0
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		100		0
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		1,200		10
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	8/20/2016		500		18
								$	38

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000%	6/20/2009	AUD	400	$	(1	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948%	1/4/2010	BRL	300		1
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780%	1/4/2010		600		2
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500%	6/15/2027	CAD	100		(2	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Pay	4.500%	6/15/2027		100		(1	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090%	10/15/2010	EUR	200		3
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000%	6/18/2034		300		11
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000%	12/15/2036	GBP	100		3
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500%	12/20/2007		400		(7	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000%	12/15/2036		200		8
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000%	12/15/2035		200		0
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000%	12/15/2036		500		21
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000%	12/20/2016	JPY	116,000		(2	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.500%	12/20/2026		20,000		(1	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	2.000%	12/20/2016		114,000		6
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Pay	2.000%	12/20/2016		38,000		2
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170%	11/4/2016	MXN	500		1
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000%	6/20/2037	$	100		(2	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000%	6/20/2009		1,200		(10	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000%	6/20/2009		3,500		(26	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000%	6/20/2037		1,000		(25	)
UBS AG	3-Month USD-LIBOR	Pay	5.000%	6/20/2009		4,000		(13	)
							$	(32	)

(g) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT S&P 500 Index March Futures	$	1,750.000	3/16/2007	416	$	7	$	0
Put - CME 90-Day Eurodollar June Futures		91.250	6/18/2007	1,251		12		0
Put - CME 90-Day Eurodollar June Futures		91.750	6/18/2007	10		0		0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	129		1		0
Put - CME 90-Day Eurodollar March Futures		92.250	3/19/2007	250		3		0
					$	23	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month EUR-LIBOR	Pay	4.100	%	7/2/2007	EUR	3,000	$	17	$	9
Call - OTC 2-Year Interest Rate Swap	Credit Suisse First Boston	3-Month GBP-LIBOR	Pay	5.080	%	6/15/2007	GBP	700		3		1
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		400		2		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	9,000		33		27
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	8/8/2007		2,000		8		6
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		5,000		20		7
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	8/8/2007		4,000		9		3
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		2,000		9		3
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		2,300		8		7
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		9,100		40		42
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		9,000		40		53
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		8,000		38		77
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		9,000		22		7
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		10,000		26		10
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	10/25/2007		6,000		24		27
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.170	%	2/1/2007		4,200		11		8
									$	310	$	287

(h) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	41	$	17	$	3
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	41		9		21
Put - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	4		2		1
Put - CME 90-Day Eurodollar March Futures		95.250	3/19/2007	3		3		5
					$	31	$	30

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month EUR-LIBOR	Receive	4.230	%	7/2/2007	EUR	1,000	$	13	$	12
Call - OTC 8-Year Interest Rate Swap	Credit Suisse First Boston	3-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	200		3		1
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		100		2		0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	4,000		33		33
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	8/8/2007		1,000		9		7
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		2,000		19		9
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	8/8/2007		1,000		14		7
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		1,000		11		5
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		1,000		8		11
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		4,000		41		57
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		4,000		41		64
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		3,000		33		76
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.750	%	7/2/2007		2,000		20		8
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		1,800		19		13
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.010	%	10/25/2007		3,000		28		33
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.240	%	2/1/2007		1,800		11		15
									$	305	$	351

(i) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	1/1/2037	$	1,000	$	998	$	988

(j) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	258	01/2007	$	1	$	0		$	1
Sell		258	01/2007		0		(1	)		(1	)
Buy		944	05/2007		3		0			3
Buy		587	06/2007		4		0			4
Buy	CAD	463	01/2007		0		(13	)		(13	)
Sell		432	01/2007		10		0			10
Buy	CNY	1,014	03/2007		0		0			0
Buy		192	09/2007		1		0			1
Buy		13,542	11/2007		6		0			6
Buy	EUR	1,000	01/2007		3		0			3
Sell		1,367	01/2007		5		(10	)		(5	)
Sell	GBP	201	01/2007		1		(1	)		0
Sell	JPY	280,843	01/2007		23		0			23
Buy		296,725	02/2007		0		(33	)		(33	)
Sell		23,318	02/2007		2		0			2
Buy	KRW	23,856	02/2007		1		0			1
Buy		224,526	05/2007		2		0			2
Buy	MXN	1,454	04/2007		0		0			0
Buy	RUB	4,471	03/2007		2		0			2
Buy		2,994	11/2007		0		0			0
Buy		6,502	12/2007		0		0			0
Buy	SGD	120	01/2007		1		0			1
Buy	TWD	2,427	02/2007		1		(1	)		0
				$	66	$	(59	)	$	7

See Accompanying Notes

Schedule of Investments

Total Return Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.3%
Allied Waste North America, Inc.
5.322% due 01/15/2012	$	4,882	$	4,898
7.120% due 01/15/2012		1,354		1,357
7.130% due 01/15/2012		1,161		1,164
7.170% due 01/15/2012		7,577		7,596
7.270% due 01/15/2012		1,354		1,357
CSC Holdings, Inc.
7.072% due 03/29/2013		2,085		2,089
7.110% due 03/29/2013		95		96
7.120% due 03/29/2013		10,904		10,920
7.122% due 03/29/2013		8,723		8,736
7.126% due 02/24/2013		16,166		16,189
Ford Motor Co.
8.360% due 11/29/2013		33,000		33,021
General Motors Acceptance Corp.
7.745% due 11/27/2013		17,000		17,033
Georgia-Pacific Corp.
7.300% due 12/20/2012		38,967		39,194
7.350% due 12/20/2012		1,909		1,920
7.367% due 12/20/2012		7,336		7,378
NRG Energy, Inc.
7.367% due 02/01/2013		24,898		25,057
Reynolds American, Inc.
7.188% due 05/31/2012		50,960		51,366
7.250% due 05/31/2012		1,475		1,487
Yell Group PLC
7.320% due 02/10/2013		33,000		33,246
Total Bank Loan Obligations (Cost $263,426)				264,104
CORPORATE BONDS & NOTES 22.6%
Banking & Finance 17.0%
ABX Financing Co.
5.750% due 10/15/2016		10,000		9,963
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		10,000		11,483
AIG-Fp Matched Funding Corp.
5.361% due 06/16/2008		100,000		101,231
Allstate Life Global Funding Trusts
5.406% due 03/23/2009		50,000		50,069
American Express Centurion Bank
5.410% due 04/17/2009		89,100		89,193
American Express Credit Corp.
5.350% due 06/12/2007		500		500
5.400% due 12/19/2008		10,000		10,012
5.410% due 03/02/2009		2,480		2,483
American General Corp.
7.500% due 08/11/2010		250		268
American General Finance Corp.
2.750% due 06/15/2008		500		483
4.500% due 11/15/2007		8,946		8,896
5.406% due 03/23/2007		50,100		50,115
5.426% due 06/27/2007		13,000		13,011
5.485% due 08/16/2007		35,715		35,756
5.494% due 01/18/2008		23,150		23,188
5.496% due 06/27/2008		49,940		50,075
American Honda Finance Corp.
5.413% due 03/09/2009		59,680		59,782
5.436% due 05/12/2009		94,600		94,684
American International Group, Inc.
5.050% due 10/01/2015		41,300		40,229
5.365% due 06/23/2008		53,600		53,634
5.375% due 10/18/2011		1,000		1,007
5.400% due 06/16/2009		15,000		15,108
6.250% due 05/01/2036		100,000		106,616
Anadarko Finance Co.
6.750% due 05/01/2011		10,000		10,492
ANZ National International Ltd.
5.415% due 08/07/2009		45,000		44,991
Asahi Finance Cayman Ltd.
5.700% due 12/31/2049		10,000		10,064
Asian Development Bank
5.820% due 06/16/2028		1,100		1,165
ASIF Global Financing
5.410% due 05/03/2007		80,500		80,536
ASIF Global Financing XXI
5.660% due 03/14/2008		35,000		35,076
Atlantic & Western Re Ltd.
11.372% due 01/09/2007		19,400		19,411
Australia & New Zealand Banking Group Ltd.
5.435% due 02/18/2008		50,000		50,019
Bank of America Corp.
4.750% due 08/15/2013		500		484
5.372% due 09/25/2009		102,700		102,792
5.375% due 08/15/2011		8,000		8,063
5.376% due 03/24/2009		47,300		47,375
5.378% due 11/06/2009		123,100		123,191
5.381% due 11/24/2008		21,300		21,308
5.523% due 02/17/2009		11,000		11,039
5.626% due 02/11/2009		20,000		20,103
5.640% due 10/14/2016		40,000		40,254
Bank of America N.A.
5.361% due 12/18/2008		98,100		98,104
5.377% due 07/25/2008		23,900		23,921
6.000% due 10/15/2036		76,900		79,452
Bank One Corp.
2.625% due 06/30/2008		500		481
BankAmerica Corp.
6.625% due 10/15/2007		1,000		1,008
Banque Centrale de Tunisie
7.375% due 04/25/2012		4,220		4,591
BBVA U.S. Senior S.A. Unipersonal
5.444% due 04/17/2009		200,000		200,264
Bear Stearns Cos., Inc.
2.875% due 07/02/2008		500		483
5.454% due 03/30/2009		201,700		202,038
5.465% due 08/21/2009		10,000		10,017
5.505% due 02/08/2008		27,350		27,415
5.526% due 04/29/2008		152,605		153,049
5.534% due 01/16/2007		400		400
5.606% due 01/31/2011		50,000		50,212
5.623% due 09/09/2009		19,980		20,086
5.676% due 01/30/2009		201,500		202,524
7.625% due 12/07/2009		80		85
BFC Finance Corp.
7.375% due 12/01/2017		1,000		1,121
BNP Paribas
5.186% due 06/29/2049		300		289
Boeing Capital Corp.
7.375% due 09/27/2010		135		145
C5 Capital SPV Ltd.
6.196% due 12/01/2049		15,000		15,016
C10 Capital SPV Ltd.
6.722% due 12/01/2049		39,500		39,543
Calabash Re II Ltd.
16.246% due 01/08/2010 (c)		2,650		2,652
Capital One Financial Corp.
5.700% due 09/15/2011		10,000		10,159
Caterpillar Financial Services Corp.
3.625% due 11/15/2007		500		493
5.423% due 03/10/2009		28,560		28,600
5.435% due 05/18/2009		101,000		101,182
5.445% due 08/20/2007		12,138		12,151
Charter One Bank N.A.
5.430% due 04/24/2009		100,000		100,130
CIT Group, Inc.
5.435% due 12/19/2007		82,400		82,517
5.445% due 02/21/2008		25,000		25,036
5.460% due 06/08/2009		50,000		50,084
5.493% due 08/17/2009		12,000		12,019
5.500% due 11/30/2007		180		180
5.515% due 12/19/2008		20,000		20,057
5.524% due 08/15/2008		8,400		8,421
5.526% due 01/30/2009		226,275		226,940
5.574% due 02/15/2007		3,000		3,001
5.580% due 05/23/2008		159,355		159,858
5.595% due 05/18/2007		7,090		7,098
5.595% due 09/20/2007		49,455		49,549
5.610% due 11/23/2007		58,936		59,092
7.750% due 04/02/2012		555		613
CitiFinancial, Inc.
6.625% due 06/01/2015		10,000		10,760
Citigroup Funding, Inc.
5.342% due 12/08/2008		173,000		173,043
Citigroup Global Markets Holdings, Inc.
5.491% due 08/03/2009		39,980		40,087
Citigroup, Inc.
4.200% due 12/20/2007		110,800		109,649
5.100% due 09/29/2011		3,000		2,990
5.125% due 02/14/2011		4,600		4,591
5.392% due 12/28/2009		119,300		119,366
5.406% due 12/26/2008		49,830		49,886
5.416% due 01/30/2009		185,000		185,169
5.421% due 05/02/2008		157,585		157,843
5.430% due 06/04/2007		3,800		3,802
5.465% due 05/18/2011		100,000		100,125
5.493% due 06/09/2009		102,559		102,897
5.525% due 05/18/2010		182,550		183,212
6.125% due 08/25/2036		10,000		10,449
CNA Financial Corp.
5.850% due 12/15/2014		20,500		20,616
6.000% due 08/15/2011		25,000		25,434
Commonwealth Bank of Australia
5.390% due 06/08/2009		96,300		96,371
Countrywide Financial Corp.
6.250% due 05/15/2016		35,000		35,736
Countrywide Home Loans, Inc.
4.250% due 12/19/2007		205		203
Credit Suisse USA, Inc.
5.483% due 12/09/2008		26,380		26,440
Den Norske Bank ASA
5.453% due 03/10/2008		20,000		20,010
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (a)		3,200		2,656
Export-Import Bank of China
4.875% due 07/21/2015		28,200		27,275
Export-Import Bank of Korea
5.590% due 10/04/2011		88,600		88,691
FNBC 1993-A Pass-Through Trust
8.080% due 01/05/2018		231		261
Ford Motor Credit Co.
5.560% due 03/13/2007		9,500		9,441
6.192% due 09/28/2007		28,830		28,797
6.315% due 03/21/2007		35,700		35,695
6.625% due 06/16/2008		37,000		36,987
6.944% due 01/15/2010		20,300		19,868
7.250% due 10/25/2011		10,300		10,097
7.875% due 06/15/2010		62,528		63,094
Fortis Bank
5.265% due 04/28/2008		3,700		3,701
Foundation Re II Ltd.
12.123% due 11/26/2010		40,850		40,846
General Electric Capital Corp.
3.250% due 06/15/2009		10,000		9,568
4.250% due 06/15/2012		1,450		1,382
5.396% due 12/12/2008		44,000		44,058
5.401% due 03/16/2009		124,100		124,211
5.410% due 03/04/2008		57,600		57,663
5.410% due 05/19/2008		6,000		6,008
5.410% due 01/05/2009		197,550		197,771
5.420% due 08/22/2008		37,500		37,556
5.425% due 06/22/2007		20,015		20,032
5.425% due 05/19/2008		183,796		184,093
5.430% due 10/06/2010		30,000		30,027
5.434% due 05/10/2010		129,600		129,754
5.444% due 01/20/2010		197,600		198,030
5.460% due 06/15/2009		144,965		145,380
5.466% due 04/28/2011		49,970		50,072
5.474% due 10/21/2010		98,800		99,021
5.476% due 07/28/2008		4,005		4,014
5.476% due 04/30/2009		10,479		10,499
5.480% due 12/15/2009		267,290		268,237
5.500% due 04/28/2011		6,000		6,077
5.505% due 06/22/2009		29,760		29,887
5.521% due 02/02/2009		102,768		103,062
5.570% due 01/08/2016		82,800		83,021
5.748% due 05/05/2026		29,950		30,019
6.125% due 02/22/2011		1,100		1,138
8.125% due 05/15/2012		250		283
8.310% due 04/13/2009		41,300		44,054
General Motors Acceptance Corp.
6.000% due 04/01/2011		15,000		14,917
6.225% due 03/20/2007		67,300		67,309
6.274% due 01/16/2007		41,120		41,120
6.324% due 07/16/2007		17,518		17,535
7.430% due 12/01/2021		828		834
Genworth Global Funding Trusts
5.420% due 02/10/2009		50,000		50,060
Glitnir Banki Hf
5.800% due 01/21/2011		10,000		10,014
GMAC LLC
6.000% due 12/15/2011		32,600		32,492
Goldman Sachs Group LP
6.075% due 02/09/2009		10,000		10,115
Goldman Sachs Group, Inc.
3.875% due 01/15/2009		420		409
4.750% due 07/15/2013		500		483
5.000% due 01/15/2011		10,000		9,925
5.250% due 10/15/2013		665		661
5.406% due 12/23/2008		102,900		102,942
5.455% due 12/22/2008		209,375		209,732
5.455% due 11/16/2009		32,480		32,514
5.456% due 06/23/2009		100,000		100,129
5.464% due 03/30/2007		4,100		4,102
5.464% due 11/10/2008		41,000		41,083
5.476% due 07/29/2008		244,670		245,182
5.495% due 10/05/2007		180,100		180,377
5.510% due 01/09/2007		720		720
5.570% due 03/02/2010		68,584		68,850
5.662% due 06/28/2010		15,000		15,104
5.700% due 09/01/2012		1,550		1,580
5.815% due 03/22/2016		10,000		10,077
6.000% due 12/31/2007 (o)		2,045		2,006
6.125% due 02/15/2033		20,000		20,446
6.875% due 01/15/2011		100		106
7.350% due 10/01/2009		150		158
HBOS Capital Funding LP
6.071% due 06/29/2049		10,000		10,155
HBOS PLC
5.920% due 09/29/2049		37,900		37,241
HBOS Treasury Services PLC
5.350% due 07/17/2008		25,100		25,117
5.414% due 07/17/2009		49,000		49,065
Health Care Property Investors, Inc.
5.950% due 09/15/2011		12,350		12,473
6.300% due 09/15/2016		13,000		13,231
HSBC Bank USA N.A.
5.176% due 07/28/2008		50,500		50,577
5.426% due 07/28/2008		24,300		24,348
5.435% due 09/21/2007		800		801
5.490% due 12/14/2009		9,700		9,737
HSBC Capital Funding LP
9.547% due 12/29/2049		43,400		48,933
10.176% due 12/29/2049		66,160		98,038
HSBC Finance Capital Trust IX
5.911% due 11/30/2035		10,000		10,067
HSBC Finance Corp.
5.375% due 05/21/2008		96,900		96,941
5.404% due 08/10/2007		43,000		43,043
5.410% due 02/28/2007		92,400		92,420
5.414% due 05/10/2007		16,000		16,007
5.420% due 10/21/2009		56,500		56,551
5.455% due 06/19/2009		158,250		158,548
5.490% due 09/15/2008		174,850		175,380
5.506% due 12/05/2008		48,900		49,065
5.515% due 05/09/2008		9,350		9,375
5.525% due 02/09/2007		2,400		2,401
5.530% due 07/27/2007		10,000		10,014
5.610% due 01/15/2014		15,000		15,041
5.624% due 05/10/2010		10,000		10,056
5.655% due 11/16/2009		52,979		53,356
5.750% due 01/30/2007		1,750		1,751
5.799% due 06/01/2016		10,000		10,130
6.538% due 11/13/2007		7,500		7,549
7.000% due 05/15/2012		200		216
HSBC Holdings PLC
6.500% due 05/02/2036		191,500		206,711
7.500% due 07/15/2009		33,000		34,798
Infrastructure Finance Corp. Ltd. AID Bonds
5.378% due 03/26/2009		2,000		2,030
International Lease Finance Corp.
5.250% due 01/10/2013		15,000		14,868
5.400% due 02/15/2012		20,000		20,040
5.590% due 05/24/2010		43,180		43,376
5.702% due 07/11/2011		50,000		50,425
5.714% due 04/20/2009		6,500		6,531
5.774% due 01/15/2010		34,630		34,936
iStar Financial, Inc.
5.150% due 03/01/2012		10,000		9,736
5.950% due 10/15/2013		10,000		10,064
Jenkins-Empire Associates
6.840% due 08/01/2008		703		697
John Deere Capital Corp.
4.500% due 08/22/2007		1,000		995
4.500% due 08/25/2008		5,100		5,037
5.424% due 04/15/2008		114,360		114,480
5.424% due 07/15/2008		1,000		1,001
JPMorgan & Co., Inc.
9.604% due 02/15/2012		600		623
JPMorgan Chase & Co.
4.500% due 01/15/2012		1,000		965
4.875% due 03/15/2014		500		486
5.415% due 12/22/2008		15,200		15,232
5.447% due 01/25/2008		20,248		20,284
5.533% due 03/09/2009		10,000		10,040
5.562% due 10/02/2009		52,700		52,963
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/29/2036		37,600		38,955
Kaupthing Bank Hf
5.750% due 10/04/2011		30,000		29,998
Landsbanki Islands Hf
6.070% due 08/25/2009		18,000		18,147
6.100% due 08/25/2011		10,000		10,177
Lehman Brothers Holdings, Inc.
5.400% due 05/29/2008		49,600		49,660
5.415% due 12/23/2008		478,200		478,395
5.460% due 04/03/2009		157,080		157,342
5.464% due 10/22/2008		28,100		28,149
5.464% due 01/23/2009		108,600		108,798
5.750% due 01/03/2017		25,000		25,368
Loews Corp.
5.250% due 03/15/2016		30,000		29,282
MBNA Capital B
6.171% due 02/01/2027		7,000		6,992
MBNA Corp.
5.798% due 05/05/2008		10,000		10,065
MBNA Europe Funding PLC
5.450% due 09/07/2007		11,500		11,509
Merrill Lynch & Co., Inc.
4.250% due 02/08/2010		2,000		1,945
5.395% due 12/22/2008		99,900		99,931
5.440% due 06/26/2009		5,000		5,005
5.460% due 06/16/2008		75,000		75,150
5.461% due 06/16/2008		86,655		86,840
5.461% due 08/22/2008		102,575		102,736
5.466% due 01/30/2009		50,000		50,081
5.470% due 10/27/2008		82,000		82,127
5.490% due 03/19/2007		1,220		1,221
5.505% due 07/27/2007		66,923		67,008
5.618% due 02/06/2009		78,400		78,757
5.834% due 06/30/2008		6,300		6,347
MetLife, Inc.
6.400% due 12/15/2036		69,800		70,355
Metropolitan Life Global Funding I
5.125% due 11/09/2011		4,325		4,297
Morgan Stanley
3.625% due 04/01/2008		500		490
4.250% due 05/15/2010		2,500		2,418
4.750% due 04/01/2014		160		153
5.375% due 10/15/2015		500		496
5.407% due 04/25/2008		49,970		50,015
5.485% due 02/09/2009		27,385		27,445
5.499% due 01/18/2008		307,047		307,600
5.500% due 11/09/2007		49,400		49,483
5.505% due 07/27/2007		38,370		38,408
5.512% due 01/12/2007		7,280		7,280
5.614% due 01/22/2009		302,300		302,588
5.624% due 01/18/2011		600		603
5.625% due 01/09/2012		1,000		1,018
5.774% due 05/14/2008		85,800		86,090
5.824% due 10/18/2016		60,000		60,446
5.854% due 10/15/2015		10,000		10,110
6.750% due 04/15/2011		200		212
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		32,800		33,348
Mystic Re Ltd.
11.670% due 12/05/2008		4,250		4,248
14.370% due 12/05/2008		32,100		32,076
Natexis AMBS Co. LLC
8.440% due 12/29/2049		14,000		14,584
Nationwide Health Properties, Inc.
6.500% due 07/15/2011		13,000		13,295
Nordea Bank Sweden AB
8.950% due 11/29/2049		28,000		30,418
ORIX Corp.
5.480% due 11/22/2011		20,000		19,987
Osiris Capital PLC
8.210% due 01/15/2010		12,600		12,637
Pemex Finance Ltd.
8.020% due 05/15/2007		433		434
Petroleum Export Ltd.
5.265% due 06/15/2011		29,526		28,870
Phoenix Quake Ltd.
7.820% due 07/03/2008		36,600		36,885
Phoenix Quake Wind Ltd.
7.820% due 07/03/2008		36,600		36,803
Phoenix Quake Wind II Ltd.
8.870% due 07/03/2008		13,700		12,598
PMI Group, Inc.
6.000% due 09/15/2016		15,000		15,291
Popular North America, Inc.
5.770% due 04/06/2009		25,000		25,084
Premium Asset Trust
5.725% due 09/08/2007		34,900		34,990
Pricoa Global Funding I
5.436% due 09/12/2008		30,000		30,052
Prudential Financial, Inc.
5.510% due 06/13/2008		11,030		11,062
Rabobank Capital Funding II
5.260% due 12/29/2049		5,120		5,014
Rabobank Capital Funding Trust
5.254% due 12/29/2049		120		116
Rabobank Nederland
5.394% due 01/15/2009		75,000		75,055
Racers, Series 1997
5.674% due 08/15/2007		4,500		4,516
Redwood Capital IX Ltd.
11.614% due 01/09/2008		23,000		23,017
12.114% due 01/09/2008		21,000		21,016
13.114% due 01/09/2008		5,000		5,004
Residential Capital Corp.
6.000% due 02/22/2011		10,000		9,990
Resona Bank Ltd.
5.850% due 09/29/2049		37,800		36,975
Royal Bank of Scotland Group PLC
5.365% due 12/21/2007		48,700		48,751
5.380% due 04/11/2008		200,000		200,223
5.424% due 07/21/2008		38,000		38,040
7.648% due 08/29/2049		10,195		12,006
9.118% due 03/31/2049		74,200		82,259
Santander U.S. Debt S.A. Unipersonal
5.375% due 09/21/2007		1,200		1,201
5.376% due 11/20/2008		80,300		80,341
5.425% due 09/19/2008		107,680		107,868
5.426% due 11/20/2009		130,300		130,390
5.428% due 02/06/2009		91,200		91,347
5.434% due 10/21/2008		43,100		43,139
Simon Property Group LP
4.600% due 06/15/2010		8,000		7,809
5.600% due 09/01/2011		5,000		5,045
SLM Corp.
5.457% due 01/25/2008		70,798		70,885
5.497% due 01/25/2007		2,700		2,700
5.517% due 07/27/2009		118,815		119,108
5.560% due 03/15/2011		60,000		60,115
5.577% due 01/26/2009		115,250		115,724
5.587% due 07/25/2008		115,665		116,105
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		92,700		92,015
Sun Life Canada US Capital Trust
8.526% due 05/29/2049		550		578
Textron Financial Corp.
5.460% due 11/07/2008		16,500		16,517
Toll Brothers Finance Corp.
5.950% due 09/15/2013		10,000		9,800
Toyota Motor Credit Corp.
4.250% due 03/15/2010		500		488
Travelers Property Casualty Corp.
5.000% due 03/15/2013		70		68
6.375% due 03/15/2033		33		35
U.S. Bancorp
5.380% due 04/28/2009		50,000		50,052
UBS Preferred Funding Trust I
8.622% due 10/29/2049		58,900		65,116
UBS Preferred Funding Trust II
7.247% due 06/29/2049		8,000		8,561
UBS Preferred Funding Trust V
6.243% due 05/29/2049		20,000		20,746
UFJ Finance Aruba AEC
6.750% due 07/15/2013		4,700		5,022
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		98,900		98,948
Unicredito Italiano NY
5.323% due 09/11/2007		47,500		47,516
5.370% due 12/03/2007		19,500		19,511
USB Capital IX
6.189% due 04/15/2049		30,400		31,076
USB Realty Corp.
6.091% due 12/22/2049		38,000		37,379
Ventas Realty LP
8.750% due 05/01/2009		3,000		3,202
Vita Capital Ltd.
6.710% due 01/01/2007		19,600		19,600
Wachovia Bank N.A.
5.356% due 06/27/2008		100,000		100,093
5.406% due 03/23/2009		154,900		155,016
5.430% due 05/25/2010		21,100		21,124
5.440% due 12/02/2010		125,000		125,184
Wachovia Corp.
5.410% due 12/01/2009		151,400		151,500
5.426% due 10/28/2008		81,945		82,086
5.480% due 03/15/2011		36,600		36,687
5.519% due 06/01/2010		17,600		17,678
5.625% due 10/15/2016		71,600		72,357
Wells Fargo & Co.
5.125% due 02/15/2007		3,500		3,499
5.393% due 03/10/2008		25,871		25,900
5.426% due 03/23/2010		100,150		100,306
5.460% due 09/15/2009		329,749		330,557
5.472% due 01/12/2011		10,000		10,018
Wells Fargo Bank N.A.
4.750% due 02/09/2015		30,000		28,770
Wells Fargo Capital X
5.950% due 12/15/2086		10,000		9,835
Westpac Banking Corp.
5.310% due 06/06/2008		123,900		123,933
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		3,000		3,068
Wilmington Trust Corp.
10.500% due 07/01/2008 (o)		173		172
World Savings Bank FSB
5.400% due 09/14/2009		45,985		46,027
XL Capital Europe PLC
6.500% due 01/15/2012		10,000		10,428
				17,016,538
Industrials 4.1%
Allied Waste North America, Inc.
8.500% due 12/01/2008		19,350		20,438
Altria Group, Inc.
7.200% due 02/01/2007		37,000		37,030
America West Airlines, Inc.
6.870% due 01/02/2017		1,530		1,542
American Airlines, Inc.
6.978% due 10/01/2012		16,456		16,837
AmerisourceBergen Corp.
5.625% due 09/15/2012		10,000		9,881
AutoZone, Inc.
5.500% due 11/15/2015		10,000		9,616
Avon Products, Inc.
5.125% due 01/15/2011		10,000		9,914
Boston Scientific Corp.
6.000% due 06/15/2011		10,000		10,102
6.400% due 06/15/2016		10,000		10,137
BP Canada Finance Co.
3.625% due 01/15/2009		500		486
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		7,000		7,044
Caesars Entertainment, Inc.
7.500% due 09/01/2009		200		208
8.875% due 09/15/2008		35,719		37,326
9.375% due 02/15/2007		8,483		8,515
Canadian Natural Resources Ltd.
5.450% due 10/01/2012		10,000		9,896
6.500% due 02/15/2037		25,000		25,163
Cardinal Health, Inc.
5.800% due 10/15/2016		13,000		12,993
CBS Corp.
5.625% due 08/15/2012		15,000		14,815
Chesapeake Energy Corp.
6.875% due 01/15/2016		5,000		5,069
Cisco Systems, Inc.
5.451% due 02/20/2009		73,800		73,915
Coca-Cola Bottling Co. Consolidated
6.850% due 11/01/2007		500		504
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		300		342
Comcast Cable Communications, Inc.
7.125% due 06/15/2013		400		432
8.375% due 05/01/2007		17,050		17,209
Comcast Corp.
5.300% due 01/15/2014		26,500		25,993
5.674% due 07/14/2009		7,500		7,522
5.850% due 01/15/2010		420		426
5.875% due 02/15/2018		33,700		33,405
5.900% due 03/15/2016		15,000		15,069
6.450% due 03/15/2037		32,000		32,123
7.050% due 03/15/2033		125		134
ConocoPhillips Australia Funding Co.
5.468% due 04/09/2009		215,000		215,308
Continental Airlines, Inc.
6.503% due 06/15/2011		9,220		9,502
6.820% due 05/01/2018		5,389		5,490
7.056% due 09/15/2009		40,459		41,599
7.487% due 10/02/2010		1,215		1,285
7.707% due 10/02/2022		2,983		3,238
CODELCO, Inc.
6.150% due 10/24/2036		23,100		23,755
Cox Communications, Inc.
5.875% due 12/01/2016		20,500		20,392
5.910% due 12/14/2007		118,475		119,002
6.450% due 12/01/2036		15,000		14,813
CSC Holdings, Inc.
6.750% due 04/15/2012		12,000		11,760
7.250% due 07/15/2008		20,710		20,995
7.875% due 12/15/2007		14,314		14,529
CVS Corp.
5.750% due 08/15/2011		16,000		16,209
DaimlerChrysler N.A. Holding Corp.
4.750% due 01/15/2008		9,720		9,634
4.875% due 06/15/2010		10,000		9,756
5.600% due 03/07/2007		199,320		199,362
5.750% due 09/08/2011		25,000		24,962
5.790% due 03/13/2009		109,750		109,922
5.820% due 08/03/2009		10,000		10,023
5.833% due 09/10/2007		72,268		72,439
5.875% due 03/15/2011		20,000		20,094
5.901% due 10/31/2008		1,200		1,205
Dell, Inc.
6.550% due 04/15/2008		80		81
EchoStar DBS Corp.
5.750% due 10/01/2008		104,484		104,353
El Paso Corp.
6.375% due 02/01/2009		26,230		26,623
6.500% due 06/01/2008		58,832		59,641
6.750% due 05/15/2009		31,669		32,500
6.950% due 12/15/2007		30,600		31,021
7.000% due 05/15/2011		12,000		12,510
7.420% due 02/15/2037		9,000		9,427
7.625% due 08/16/2007		16,250		16,494
7.625% due 09/01/2008		31,341		32,438
7.750% due 06/15/2010		15,500		16,469
7.750% due 01/15/2032		110,810		121,891
7.800% due 08/01/2031		17,100		18,767
7.875% due 06/15/2012		28,600		30,816
8.050% due 10/15/2030		12,000		13,380
9.625% due 05/15/2012		12,700		14,478
Enterprise Products Operating LP
4.000% due 10/15/2007		200		198
4.950% due 06/01/2010		50		49
First Data Corp.
4.700% due 08/01/2013		500		476
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		5,000		5,262
Gannett Co., Inc.
5.750% due 06/01/2011		10,000		10,075
Gaz Capital for Gazprom
6.212% due 11/22/2016		37,600		37,957
General Electric Co.
5.393% due 12/09/2008		117,775		117,909
General Mills, Inc.
6.000% due 02/15/2012		10,000		10,254
Harrah's Operating Co., Inc.
7.125% due 06/01/2007		9,160		9,204
HCA, Inc.
9.125% due 11/15/2014		2,500		2,678
9.250% due 11/15/2016		25,500		27,381
Hess Corp.
6.650% due 08/15/2011		200		208
Hewlett-Packard Co.
5.496% due 05/22/2009		100,000		100,225
Hilton Hotels Corp.
7.625% due 05/15/2008		6,304		6,493
Historic TW, Inc.
8.180% due 08/15/2007		180		183
HJ Heinz Co.
6.428% due 12/01/2008		39,300		40,019
HJ Heinz Finance Co.
6.000% due 03/15/2012		23,000		23,386
Home Depot, Inc.
4.625% due 08/15/2010		215		211
5.250% due 12/16/2013		23,400		23,259
Honeywell International, Inc.
5.420% due 03/13/2009		48,600		48,669
International Business Machines Corp.
5.375% due 02/01/2009		100		100
Johnson Controls, Inc.
5.500% due 01/15/2016		20,000		19,644
Kraft Foods, Inc.
5.625% due 11/01/2011		20,000		20,234
Kroger Co.
5.500% due 02/01/2013		5,000		4,952
Lennar Corp.
5.950% due 10/17/2011		9,000		9,063
Mandalay Resort Group
6.500% due 07/31/2009		2,500		2,541
9.500% due 08/01/2008		17,920		18,906
10.250% due 08/01/2007		18,754		19,293
Marathon Oil Corp.
5.375% due 06/01/2007		250		250
Masco Corp.
5.875% due 07/15/2012		5,000		5,011
7.125% due 08/15/2013		10,000		10,579
Mattel, Inc.
6.125% due 06/15/2011		10,000		10,177
May Department Stores Co.
4.800% due 07/15/2009		15,000		14,769
Maytag Corp.
5.000% due 05/15/2015		10,000		9,453
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (o)		490		488
Mazda Motor Corp.
10.500% due 07/01/2008 (o)		54		53
MDC Holdings, Inc.
7.000% due 12/01/2012		10,000		10,307
MGM Mirage
9.750% due 06/01/2007		33,250		33,832
Miller Brewing Co.
5.500% due 08/15/2013		15,000		14,854
Mirage Resorts, Inc.
6.750% due 02/01/2008		27,000		27,304
Norfolk Southern Corp.
6.750% due 02/15/2011		150		158
Northrop Grumman Space & Mission Systems Corp.
6.250% due 01/15/2010		5,000		5,093
Northwest Pipeline Corp.
6.625% due 12/01/2007		5,000		5,037
Omnicom Group, Inc.
5.900% due 04/15/2016		9,600		9,719
ONEOK Partners LP
6.150% due 10/01/2016		10,000		10,165
Oracle Corp.
5.603% due 01/13/2009		137,050		137,325
Packaging Corp. of America
5.750% due 08/01/2013		10,000		9,683
Parker Hannifin Employee Stock Ownership Trust
6.340% due 07/15/2008		222		223
Peabody Energy Corp.
7.375% due 11/01/2016		59,500		63,665
7.875% due 11/01/2026		30,000		32,400
Pemex Project Funding Master Trust
5.750% due 12/15/2015		27,490		27,332
6.625% due 06/15/2035		46,000		47,116
7.375% due 12/15/2014		22,380		24,696
7.875% due 02/01/2009		3,770		3,960
8.000% due 11/15/2011		100,650		110,967
8.625% due 02/01/2022		38,977		48,273
8.850% due 09/15/2007		1,800		1,844
9.125% due 10/13/2010		85		96
9.250% due 03/30/2018		2,000		2,527
9.375% due 12/02/2008		51,650		55,395
9.500% due 09/15/2027		31,000		41,742
Plains All American Pipeline LP
5.625% due 12/15/2013		10,000		9,854
Qwest Communications International, Inc.
7.500% due 11/01/2008		16,227		16,552
7.500% due 02/15/2014		20,783		21,510
RadioShack Corp.
7.375% due 05/15/2011		10,000		10,166
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		5,000		4,781
Reynolds American, Inc.
6.500% due 06/01/2007		8,000		8,051
7.625% due 06/01/2016		5,000		5,323
Royal Caribbean Cruises Ltd.
6.750% due 03/15/2008		3,250		3,296
Ryder System, Inc.
5.950% due 05/02/2011		5,000		5,061
Ryland Group, Inc.
5.375% due 06/01/2008		2,500		2,484
SABMiller PLC
5.672% due 07/01/2009		25,000		25,040
Safeway, Inc.
5.716% due 03/27/2009		13,000		13,044
Sealed Air Corp.
6.950% due 05/15/2009		10,000		10,313
Service Corp. International
6.500% due 03/15/2008		3,000		3,030
7.700% due 04/15/2009		3,000		3,128
Siemens Financieringsmaatschappij NV
5.424% due 08/14/2009		91,200		91,268
Sonat, Inc.
6.750% due 10/01/2007		4,800		4,860
7.625% due 07/15/2011		23,220		24,729
Southern Natural Gas Co.
6.700% due 10/01/2007		4,000		4,049
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/2007		5,500		5,523
Systems 2001 Asset Trust LLC
7.156% due 12/15/2011		19,911		20,595
Target Corp.
5.400% due 10/01/2008		200		201
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028		14,800		15,701
Time Warner, Inc.
5.606% due 11/13/2009		58,200		58,284
5.875% due 11/15/2016		12,000		11,992
6.150% due 05/01/2007		6,100		6,113
6.500% due 11/15/2036		20,000		19,972
6.875% due 05/01/2012		350		370
7.625% due 04/15/2031		120		134
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		9,000		9,079
Transocean, Inc.
5.566% due 09/05/2008		13,780		13,795
TXU Eastern Funding Co.
6.450% due 05/15/2005 (a)		15,270		611
Tyson Foods, Inc.
6.850% due 04/01/2016		19,200		19,811
United Airlines, Inc.
6.071% due 09/01/2014		4,429		4,454
6.201% due 03/01/2010		9,558		9,624
6.602% due 03/01/2015		6,057		6,144
8.030% due 07/01/2011 (a)		465		507
9.060% due 06/17/2015 (a)		3,822		277
9.200% due 03/22/2008 (a)		3,134		1,473
9.210% due 01/21/2017 (a)		9,820		982
10.020% due 03/22/2014 (a)		11,034		5,186
10.125% due 03/22/2015 (a)		13,670		6,493
10.360% due 11/13/2012 (a)		4,000		130
10.850% due 07/05/2014 (a)		34,111		1,109
10.850% due 02/19/2015 (a)		3,000		1,365
11.080% due 05/27/2024 (a)(o)		8,225		1,314
United Technologies Corp.
5.439% due 06/01/2009		107,000		107,186
United Telecom, Inc.
6.890% due 07/01/2008 (o)		700		699
Vale Overseas Ltd.
6.250% due 01/23/2017		39,800		40,180
6.875% due 11/21/2036		39,800		41,020
Valero Energy Corp.
7.800% due 06/14/2010		10,000		10,687
Viacom, Inc.
5.750% due 04/30/2011		47,450		47,519
Wal-Mart Stores, Inc.
5.250% due 09/01/2035		1,600		1,474
Waste Management, Inc.
7.375% due 08/01/2010		100		106
WellPoint, Inc.
5.000% due 01/15/2011		11,000		10,876
Weyerhaeuser Co.
6.125% due 03/15/2007		17		17
Whirlpool Corp.
6.125% due 06/15/2011		12,000		12,228
Williams Cos., Inc.
6.375% due 10/01/2010		14,200		14,360
Wyeth
5.500% due 03/15/2013		10,000		10,078
Xerox Corp.
6.111% due 12/18/2009		1,200		1,224
9.750% due 01/15/2009		15,850		17,197
Yum! Brands, Inc.
7.650% due 05/15/2008		3,000		3,085
				4,109,285
Utilities 1.5%
Alabama Power Co.
5.560% due 08/25/2009		17,000		17,073
American Electric Power Co., Inc.
4.709% due 08/16/2007		4,100		4,080
AT&T, Inc.
4.125% due 09/15/2009		250		243
4.214% due 06/05/2021		285,000		284,207
5.464% due 05/15/2008		71,100		71,166
5.584% due 11/14/2008		16,400		16,456
BellSouth Corp.
4.200% due 09/15/2009		5,000		4,864
5.200% due 09/15/2014		35,000		34,210
5.474% due 08/15/2008		98,850		98,953
5.499% due 11/15/2007		24,598		24,632
British Telecommunications PLC
8.625% due 12/15/2010		200		223
9.125% due 12/15/2030		250		343
CenterPoint Energy, Inc.
5.875% due 06/01/2008		10,000		10,023
Cingular Wireless LLC
6.500% due 12/15/2011		80		84
Citizens Communications Co.
7.625% due 08/15/2008		11,500		11,960
CMS Energy Corp.
7.500% due 01/15/2009		24,800		25,699
8.900% due 07/15/2008		27,627		29,008
9.875% due 10/15/2007		10,000		10,362
Consolidated Edison, Inc.
3.625% due 08/01/2008		50		49
Deutsche Telekom International Finance BV
3.875% due 07/22/2008		29,459		28,843
5.546% due 03/23/2009		14,000		14,030
Dominion Resources, Inc.
5.200% due 01/15/2016		15,300		14,783
5.662% due 09/28/2007		600		600
5.700% due 09/17/2012		100		101
DPL, Inc.
8.000% due 03/31/2009		28,000		29,452
El Paso Natural Gas Co.
8.375% due 06/15/2032		20,520		24,951
Entergy Gulf States, Inc.
5.700% due 06/01/2015		50		49
5.769% due 12/01/2009		15,000		14,980
6.100% due 12/08/2008		24,140		24,204
Exelon Corp.
4.900% due 06/15/2015		10,000		9,448
6.750% due 05/01/2011		200		209
Florida Power Corp.
5.774% due 11/14/2008		7,900		7,919
France Telecom S.A.
7.750% due 03/01/2011		870		949
Georgia Power Co.
5.553% due 02/17/2009		14,550		14,607
IPALCO Enterprises, Inc.
8.625% due 11/14/2011		50,858		55,562
KT Corp.
4.875% due 07/15/2015		100		96
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		43,600		44,101
Mountain States Telephone & Telegraph Co.
6.000% due 08/01/2007		2,070		2,070
New Cingular Wireless Services, Inc.
8.125% due 05/01/2012		250		282
Nextel Communications, Inc.
7.375% due 08/01/2015		20,000		20,528
Niagara Mohawk Power Corp.
7.750% due 10/01/2008		125		130
NiSource Finance Corp.
5.940% due 11/23/2009		25,300		25,328
6.150% due 03/01/2013		12,000		12,237
Ohio Edison Co.
5.450% due 05/01/2015		350		343
PPL Energy Supply LLC
5.700% due 10/15/2015		5,000		4,921
Progress Energy, Inc.
5.824% due 01/15/2010		400		402
7.100% due 03/01/2011		23		25
PSEG Power LLC
5.000% due 04/01/2014		400		382
5.500% due 12/01/2015		8,000		7,844
6.950% due 06/01/2012		172		182
Public Service Enterprise Group, Inc.
5.740% due 09/21/2008		300		300
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		25,200		25,389
7.250% due 02/15/2011		15,500		15,907
Qwest Corp.
5.625% due 11/15/2008		40,100		40,351
7.200% due 11/10/2026		2,150		2,177
7.500% due 10/01/2014		21,500		22,897
7.500% due 06/15/2023		6,850		6,936
7.625% due 06/15/2015		2,000		2,150
8.610% due 06/15/2013		2,800		3,045
8.875% due 03/15/2012		26,725		29,899
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		36		35
Ras Laffan Liquefied Natural Gas Co. Ltd. II
5.298% due 09/30/2020		57,850		55,558
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		40,650		39,164
Scana Corp.
5.519% due 03/01/2008		24,621		24,672
Southern California Edison Co.
5.435% due 12/13/2007		38,080		38,117
Southwestern Public Service Co.
6.000% due 10/01/2036		10,000		9,930
Sprint Capital Corp.
7.625% due 01/30/2011		420		450
8.375% due 03/15/2012		750		834
Sprint Nextel Corp.
6.000% due 12/01/2016		36,000		35,151
TXU Corp.
4.800% due 11/15/2009		15,000		14,714
TXU Energy Co. LLC
7.000% due 03/15/2013		25,420		26,632
United Telephone Co. of the Northwest
6.890% due 07/01/2008 (o)		2,760		2,756
Verizon Global Funding Corp.
5.504% due 08/15/2007		143,200		143,201
6.125% due 06/15/2007		150		150
7.250% due 12/01/2010		200		213
7.375% due 09/01/2012		200		219
7.600% due 03/15/2007		11,829		11,878
Verizon New England, Inc.
6.500% due 09/15/2011		300		309
Verizon North, Inc.
5.604% due 01/01/2022		3,000		2,803
5.634% due 01/01/2021		3,000		2,796
Verizon Virginia, Inc.
4.625% due 03/15/2013		500		470
				1,562,296
Total Corporate Bonds & Notes (Cost $22,530,541)				22,688,119
MUNICIPAL BONDS & NOTES 0.9%
Alabama State General Obligation Bonds, Series 2002
4.960% due 09/01/2021		13,227		13,838
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (AMBAC Insured), Series 2005
6.670% due 05/15/2035		1,955		2,278
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2017		1,000		1,074
6.375% due 06/01/2032		7,300		7,980
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Notes, Series 2002
5.750% due 06/01/2011		8,515		9,062
Bastrop, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
5.000% due 02/15/2037		4,075		4,752
California State Department of Water Resources Revenue Bonds, Series 2000
5.870% due 12/01/2029		2,500		2,641
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.750% due 06/01/2029		3,000		3,166
6.125% due 06/01/2038		2,000		2,171
6.125% due 06/01/2043		2,000		2,166
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1999
0.000% due 12/01/2028		21,000		7,990
Chicago, Illinois General Obligation Revenue Notes, (FSA Insured), Series 2006
5.861% due 01/01/2014		16,120		17,446
Clark County, Nevada General Obligation Notes, (FGIC Insured), Series 2006
5.861% due 11/01/2013		2,830		3,101
Cook County, Illinois General Obligation Notes, (AMBAC Insured), Series 2006
5.841% due 11/15/2013		3,765		4,126
5.842% due 11/15/2013		6,680		7,353
Cypress-Fairbanks, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2006
5.861% due 02/15/2014		4,335		4,722
Detroit, Michigan School District General Obligation Bonds, (FGIC Q-SBLF Insured), Series 1998
4.750% due 05/01/2028		4,500		4,595
Frisco, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
0.000% due 08/15/2032		12,190		3,812
Frisco, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2003
0.000% due 08/15/2034		5,265		1,496
Gainesville, Florida Utilities Systems Revenue Bonds, (FSA Insured), Series 2005
5.920% due 10/01/2036		2,275		2,471
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021		2,025		2,032
6.250% due 06/01/2033		192,975		215,910
6.750% due 06/01/2039		8,300		9,518
7.875% due 06/01/2042		5,000		6,117
7.900% due 06/01/2042		30		37
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2005
4.750% due 11/15/2035		15,000		15,426
Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 1998
0.000% due 12/01/2028		8,720		3,303
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033 (j)		2,390		2,496
5.000% due 12/01/2033 (j)		10,000		10,469
Illinois State General Obligation Bonds, (MBIA Insured), Series 2002
4.750% due 10/01/2027		3,295		3,386
Illinois State Metropolitan Pier & Exposition Authority Revenue Bonds, (MBIA Insured), Series 2002
0.000% due 12/15/2032		55,000		17,779
Indiana State Anderson School Building Corp. Revenue Bonds, (FSA State Aid Withholding Insured), Series 2006
4.750% due 01/15/2027		2,715		2,834
4.750% due 01/15/2028		2,000		2,086
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		60,695		60,448
Los Angeles, California Department of Water & Power Revenue Bonds, (FSA insured), Series 2005
4.750% due 07/01/2036 (j)		17,700		18,236
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		18,745		20,164
Massachusetts State Water Resources Authority Revenue Bonds, Series 2005
5.000% due 08/01/2034 (j)		10,000		10,713
Mercer County, New Jersey Improvement Authority Revenue Bonds, Series 1978
5.800% due 01/01/2018 (j)		4,950		5,380
Michigan State Grosse Pointe Public School System General Obligation Bonds, Series 2005
5.570% due 05/01/2027		5,455		5,850
Nevada State System of Higher Education Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 07/01/2030 (j)		10,000		10,694
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
5.750% due 06/01/2032		3,835		4,112
6.000% due 06/01/2037		9,095		9,870
6.125% due 06/01/2042		7,065		7,709
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.125% due 06/01/2024		13,000		14,081
6.375% due 06/01/2032		112,415		126,224
6.750% due 06/01/2039		1,000		1,144
New Jersey State Transportation Trust Fund Authority Revenue Bonds, (FSA Insured), Series 2005
6.840% due 12/15/2016		500		635
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2003
5.000% due 06/15/2035		90		94
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2000
6.840% due 11/01/2024		500		569
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.650% due 08/15/2030		27,700		31,822
Northside, Texas Independent School District General Obligation Bonds, Series 2004
5.000% due 02/15/2035 (j)		8,045		8,412
Pennsylvania State Higher Educational Facilities Authority Revenue Bonds, Series 2005
4.750% due 07/15/2035 (j)		13,620		13,946
Pennsylvania State Higher Educational Facilities Authority Revenue Notes, Series 2006
5.841% due 07/15/2013		1,834		1,965
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2032		7,000		7,495
San Francisco, California City & County Public Utilities Commission Revenue Bonds, (FSA Insured), Series 2006
4.750% due 11/01/2036		47,750		49,495
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2028		3,400		3,660
Southbridge, Massachusetts Associates LLC Revenue Bonds, (MBIA Insured), Series 2000
7.590% due 02/01/2022 (o)		31,105		36,338
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		15,800		16,123
Truckee Meadows, Nevada Water Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 07/01/2036		33		39
5.000% due 07/01/2036 (j)		5,460		5,785
University of Iowa Facilities Corporations Revenue Bonds, (AMBAC Insured), Series 2002
4.750% due 06/01/2028		3,120		3,201
University of Texas Permanent Fund Revenue Bonds, Series 2004
4.750% due 07/01/2030		46,210		47,709
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.500% due 06/01/2026		1,050		1,118
5.625% due 06/01/2037		10,050		10,689
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.625% due 06/01/2032		6,850		7,600
Wisconsin State Clean Water Revenue Bonds, Series 2002
6.010% due 06/01/2023		500		559
Total Municipal Bonds & Notes (Cost $849,445)				939,512
U.S. GOVERNMENT AGENCIES 51.3%
Fannie Mae
0.000% due 04/25/2018 - 08/25/2023 (d)		54		46
0.950% due 03/25/2009 (b)		1,412		13
1.000% due 09/25/2023		9		9
3.225% due 02/25/2023 (b)		531		13
3.851% due 10/01/2033		146,050		144,440
3.863% due 08/01/2033		66		65
3.970% due 07/01/2019		16		16
4.000% due 11/01/2010 - 09/01/2020		3,655		3,450
4.187% due 10/01/2034		20,384		20,322
4.211% due 11/01/2034		5,610		5,584
4.246% due 03/01/2034		13,543		13,381
4.263% due 02/01/2035		20,769		20,654
4.386% due 10/01/2034		10,372		10,336
4.388% due 03/01/2034		22,816		22,719
4.413% due 12/01/2034		5,145		5,127
4.421% due 11/01/2034		5,482		5,413
4.439% due 10/01/2034		9,068		9,036
4.467% due 09/01/2035		520		508
4.476% due 05/01/2035		65,942		65,133
4.486% due 07/01/2035		9,496		9,415
4.496% due 05/01/2035		12,360		12,240
4.500% due 10/01/2010 - 12/01/2035		25,020		24,739
4.502% due 08/01/2035		17,169		17,035
4.509% due 07/01/2035		9,514		9,407
4.521% due 12/01/2033		3,324		3,334
4.574% due 06/01/2035		7,552		7,533
4.606% due 06/01/2015		365		366
4.620% due 05/01/2009		36		35
4.656% due 09/01/2035		5,464		5,461
4.661% due 07/01/2033		59		58
4.663% due 11/01/2035		35,156		34,726
4.666% due 02/01/2035		7,511		7,459
4.673% due 02/01/2035		6,641		6,593
4.677% due 05/25/2035		46,500		45,923
4.680% due 12/01/2012		377		368
4.685% due 05/01/2035		43,690		43,190
4.689% due 11/01/2035		10,147		10,111
4.699% due 06/01/2035		25,290		24,982
4.720% due 09/01/2035		22,164		22,138
4.724% due 09/01/2035		31,270		31,171
4.727% due 12/01/2034		667		660
4.732% due 11/01/2034		6,913		6,842
4.745% due 06/01/2035		6,101		6,015
4.767% due 08/01/2035		8,467		8,380
4.815% due 11/01/2035		22,929		22,784
4.820% due 09/01/2034		45,759		45,487
4.835% due 06/01/2035		383		380
4.864% due 01/01/2035		24,407		24,301
4.870% due 05/01/2013		132		129
4.899% due 01/01/2035		30,570		30,443
4.910% due 02/01/2035		14,184		14,144
4.923% due 07/01/2035		7,315		7,274
4.938% due 01/01/2035		32,234		32,098
4.996% due 06/01/2035		1,806		1,808
5.000% due 03/01/2009 - 09/25/2042		11,517,617		11,196,253
5.025% due 11/01/2022		22		23
5.083% due 10/01/2020		39		39
5.114% due 07/01/2035		6,686		6,669
5.147% due 03/01/2023		482		490
5.181% due 01/01/2018		199		202
5.308% due 02/01/2028		923		926
5.324% due 09/01/2035		91		90
5.338% due 05/01/2023		433		439
5.350% due 05/01/2014		138		140
5.375% due 03/01/2023		90		91
5.400% due 02/01/2021		152		154
5.413% due 09/01/2024		369		372
5.427% due 09/01/2017 - 03/01/2033		1,254		1,253
5.430% due 06/01/2022		40		41
5.435% due 01/01/2036		141		141
5.475% due 11/01/2024		3,069		3,096
5.480% due 03/25/2036		37,285		37,331
5.500% due 05/01/2008 - 01/01/2037		32,246,937		31,899,045
5.500% due 01/01/2033 - 02/01/2035 (h)		598,503		592,589
5.515% due 12/01/2018		238		240
5.516% due 03/01/2023		1,210		1,229
5.527% due 02/01/2028		51		51
5.554% due 01/01/2021		23		23
5.573% due 09/01/2021		34		34
5.605% due 02/01/2022		212		214
5.608% due 05/01/2021		51		52
5.672% due 09/01/2019		813		824
5.675% due 05/01/2030		19		20
5.685% due 07/01/2024		168		173
5.696% due 11/01/2019		206		207
5.700% due 07/25/2021 - 05/25/2042		6,884		6,908
5.750% due 12/20/2027 - 05/25/2031		2,863		2,842
5.763% due 07/01/2021		47		48
5.800% due 10/18/2030 - 10/25/2030		1,924		1,941
5.820% due 06/01/2023		21		22
5.847% due 10/01/2019		578		581
5.850% due 03/25/2017 - 08/25/2030		3,035		3,067
5.870% due 02/01/2018		50		51
5.877% due 12/01/2017		1,046		1,059
5.893% due 08/01/2022		1,618		1,653
5.907% due 02/01/2012		78		80
5.931% due 02/01/2021		169		172
5.946% due 07/01/2019		99		99
5.958% due 07/01/2042 - 10/01/2044		99,500		100,313
5.959% due 12/01/2044		15,957		16,016
5.960% due 04/01/2018		196		199
5.979% due 11/01/2011		177		182
5.994% due 09/01/2021		9		9
6.000% due 02/01/2009 - 02/01/2037		3,050,211		3,072,185
6.008% due 09/01/2041		96		98
6.070% due 12/01/2017		6		6
6.080% due 07/01/2032		145		146
6.090% due 12/01/2008		44		45
6.130% due 04/01/2009		107		108
6.158% due 10/01/2030 - 10/01/2040		9,154		9,323
6.187% due 09/01/2034		575		581
6.190% due 12/01/2023		223		226
6.218% due 09/01/2014		50		50
6.226% due 12/01/2008		68		69
6.250% due 01/25/2008 - 04/25/2032		9,781		9,829
6.289% due 08/01/2027		142		144
6.300% due 10/17/2038		21,923		22,899
6.310% due 03/01/2008		84		84
6.320% due 10/01/2013		3,968		4,089
6.325% due 12/01/2023		220		224
6.339% due 12/01/2036		714		721
6.370% due 02/25/2013		20,644		20,677
6.384% due 08/01/2025		1,295		1,328
6.390% due 05/25/2036		34,322		35,633
6.477% due 04/01/2017 - 05/01/2023		268		270
6.480% due 01/01/2011		97		100
6.495% due 04/01/2027		64		64
6.500% due 06/01/2008 - 06/25/2044		251,669		258,224
6.500% due 09/25/2008 - 10/25/2022 (b)		40		2
6.531% due 03/01/2019		1,164		1,174
6.535% due 08/01/2027		1,943		1,949
6.540% due 12/01/2007		97		97
6.550% due 12/01/2020		964		969
6.587% due 01/01/2020		1,134		1,137
6.609% due 06/01/2023		178		179
6.615% due 02/01/2026 - 04/01/2027		87		89
6.657% due 10/01/2024		64		66
6.669% due 11/01/2025		333		339
6.685% due 01/01/2024		182		185
6.723% due 11/01/2007 - 12/01/2023		38		39
6.724% due 11/01/2025		85		87
6.730% due 11/01/2007		986		987
6.740% due 08/25/2007		425		427
6.745% due 02/01/2020		17		17
6.750% due 10/25/2023		443		459
6.772% due 04/01/2027		98		99
6.779% due 08/01/2027		2,875		2,917
6.795% due 06/01/2022 - 11/01/2023		83		84
6.822% due 12/01/2027		742		752
6.851% due 11/01/2021		83		84
6.853% due 03/01/2025		1,133		1,152
6.862% due 06/01/2024		84		85
6.865% due 09/01/2024 - 05/01/2025		540		548
6.870% due 09/01/2022		193		195
6.875% due 10/01/2024		167		170
6.876% due 05/01/2017 - 07/01/2024		837		847
6.900% due 05/25/2023		79		82
6.937% due 11/01/2025		757		766
6.973% due 11/01/2025		202		206
6.980% due 02/01/2027		564		572
6.981% due 08/01/2026		205		207
6.997% due 03/01/2022 - 09/01/2022		264		268
7.000% due 02/01/2007 - 01/25/2048		22,558		23,301
7.031% due 12/01/2025		383		388
7.057% due 07/01/2026		39		39
7.071% due 05/01/2024		283		292
7.072% due 04/01/2027		100		102
7.095% due 05/01/2022		27		27
7.100% due 01/01/2026		162		164
7.104% due 09/25/2008		207		210
7.110% due 10/01/2009		467		483
7.118% due 08/01/2031		246		251
7.125% due 08/01/2009		16		16
7.140% due 09/01/2029		12		12
7.148% due 12/01/2022		45		46
7.151% due 06/01/2007		13		13
7.168% due 07/01/2021 - 01/01/2024		88		90
7.188% due 12/01/2025		332		334
7.189% due 05/01/2026		83		84
7.190% due 11/01/2023		160		163
7.200% due 05/01/2021		30		30
7.216% due 06/01/2025		199		200
7.222% due 04/01/2026 - 10/01/2027		293		297
7.250% due 01/01/2008 - 01/01/2023		1,907		1,946
7.259% due 12/01/2010		81		86
7.269% due 11/01/2025		46		46
7.297% due 06/01/2025		968		981
7.305% due 02/01/2020		70		70
7.326% due 02/01/2028		78		79
7.328% due 06/01/2007		116		116
7.350% due 09/01/2025		37		37
7.357% due 08/01/2023		117		119
7.375% due 05/25/2022		1,567		1,642
7.406% due 06/01/2030		493		500
7.413% due 09/01/2023		259		263
7.460% due 11/01/2023 - 08/01/2029		3,745		4,140
7.500% due 11/01/2010 - 07/25/2041		6,750		7,330
7.504% due 12/01/2023		141		144
7.513% due 04/01/2024		528		543
7.549% due 10/01/2023		29		30
7.625% due 11/01/2026		41		41
7.697% due 08/01/2027		38		38
7.738% due 05/01/2027		104		106
7.750% due 06/01/2009 - 01/25/2022		2,498		2,632
7.780% due 01/01/2018		2,094		2,404
7.783% due 10/01/2026		12		12
7.800% due 10/25/2022		335		357
7.886% due 10/01/2024		8		8
7.900% due 12/01/2026		13		14
7.920% due 03/01/2018		2,590		3,003
7.975% due 02/01/2033		7		7
7.980% due 05/01/2030		6,295		6,713
8.000% due 12/01/2007 - 06/01/2032		5,819		6,165
8.000% due 08/18/2027 (b)		15		3
8.060% due 04/01/2030		1,751		1,889
8.080% due 04/01/2030		961		1,037
8.250% due 10/01/2008 - 02/01/2017		18		18
8.490% due 06/01/2025		904		986
8.500% due 01/01/2007 - 10/01/2032		4,744		5,087
8.750% due 01/25/2021		320		344
9.000% due 07/01/2009 - 12/01/2027		2,349		2,536
9.250% due 04/25/2018		30		32
9.300% due 05/25/2018 - 08/25/2019		93		99
9.500% due 11/01/2009 - 07/01/2022		1,511		1,645
9.591% due 09/25/2028		959		1,005
9.750% due 11/01/2008		1		1
10.000% due 11/01/2013 - 05/01/2022		178		196
10.500% due 11/01/2013 - 04/01/2022		75		80
11.000% due 11/01/2013 - 11/01/2020		222		246
11.500% due 08/20/2016 - 11/01/2019		10		11
12.000% due 05/01/2016		1		1
12.500% due 10/01/2015		4		5
13.250% due 09/01/2011		3		3
14.750% due 08/01/2012		29		32
15.000% due 10/15/2012		53		61
15.500% due 10/01/2012 - 12/01/2012		5		5
15.750% due 12/01/2011 - 08/01/2012		19		21
16.000% due 09/01/2012		32		36
903.212% due 08/25/2021 (b)		0		10
1000.000% due 04/25/2022 (b)		0		6
1122.425% due 09/25/2008 (b)		0		3
Farmer Mac
7.941% due 01/25/2012		577		578
Federal Farm Credit Bank
5.244% due 03/01/2007		2,000		2,000
Federal Home Loan Bank
0.000% due 02/05/2007		47,650		46,816
Federal Housing Administration
2.900% due 05/01/2008		44		43
6.780% due 07/25/2040		7,342		7,324
6.875% due 11/01/2015		2,139		2,145
6.880% due 02/01/2041		11,148		11,176
6.896% due 07/01/2020		11,838		11,868
6.900% due 12/01/2040		22,127		22,182
6.960% due 05/01/2016		4,917		4,929
6.997% due 09/01/2019		119		120
7.110% due 05/01/2019		2,244		2,256
7.310% due 06/01/2041		22,986		22,756
7.315% due 08/01/2019		5,490		5,518
7.350% due 04/01/2019 - 11/01/2020		659		663
7.375% due 02/01/2018		171		172
7.400% due 01/25/2020 - 02/01/2021		4,314		4,346
7.430% due 10/01/2018 - 06/01/2024		16,735		16,860
7.450% due 05/01/2021		2,520		2,539
7.460% due 01/01/2023		250		252
7.465% due 11/01/2019		4,808		4,844
7.500% due 03/01/2032		3,205		3,229
7.580% due 12/01/2040		7,228		7,300
7.630% due 08/01/2041		17,332		17,419
7.780% due 11/01/2040		7,224		7,324
8.250% due 01/01/2041		4,617		4,686
8.375% due 02/01/2012		177		180
Freddie Mac
3.500% due 10/15/2011 - 07/15/2032		6,450		6,326
3.750% due 05/15/2015		548		547
4.000% due 05/01/2011 - 12/15/2024		119,428		117,887
4.125% due 09/15/2007 (b)		69		0
4.160% due 10/25/2023		249		250
4.250% due 03/15/2017 - 04/15/2023		25,104		24,848
4.500% due 11/01/2008 - 05/01/2034		42,841		42,333
4.538% due 08/01/2035		1,874		1,864
4.560% due 01/01/2034		15,648		15,435
4.591% due 12/01/2026		1,056		1,053
4.597% due 09/01/2035		25,849		25,774
4.635% due 07/01/2035		28,238		28,171
4.714% due 06/01/2035		7,244		7,150
4.816% due 03/01/2035		6,859		6,815
4.843% due 11/01/2035		41,572		41,300
4.851% due 10/01/2035		47,645		47,320
4.893% due 10/01/2035		32,507		32,270
4.904% due 02/15/2008 (b)		14		0
4.910% due 10/01/2035		41,839		41,570
4.916% due 07/01/2035		79		78
4.924% due 11/01/2034		292		291
4.949% due 11/01/2035		30,784		30,570
4.992% due 12/01/2019		5		5
5.000% due 02/01/2007 - 09/01/2035		411,828		407,206
5.118% due 05/01/2035		50,872		50,956
5.125% due 05/01/2023		16		16
5.150% due 03/01/2022		1,770		1,797
5.215% due 01/01/2022		111		110
5.315% due 10/01/2020		11		11
5.322% due 05/01/2020		98		99
5.500% due 06/12/2008 - 01/01/2037		213,390		213,372
5.530% due 02/01/2019		161		161
5.550% due 11/15/2024		3,951		3,946
5.568% due 12/01/2018		476		479
5.610% due 08/25/2031		318		320
5.625% due 02/01/2019		365		368
5.673% due 05/01/2020		20		21
5.677% due 08/15/2032		6,788		6,794
5.682% due 07/01/2032		9		9
5.683% due 03/01/2021		1,331		1,331
5.692% due 05/01/2021		1,691		1,703
5.697% due 10/01/2020		272		274
5.700% due 03/15/2025 - 06/15/2031		14,199		14,222
5.747% due 05/01/2018		374		376
5.750% due 06/15/2018 - 06/15/2031		1,128		1,135
5.800% due 11/15/2030 - 12/15/2031		49		49
5.829% due 09/01/2023		31		31
5.850% due 09/15/2030 - 01/15/2032		315		317
5.875% due 12/01/2016 - 09/01/2018		342		344
5.929% due 05/01/2018		375		375
5.930% due 11/01/2026		645		653
5.950% due 06/15/2028		38,008		37,902
5.958% due 10/25/2044 - 02/25/2045		63,353		63,454
5.980% due 02/01/2021		7		7
5.990% due 01/01/2024		95		97
6.000% due 02/15/2008 - 01/01/2037		417,453		421,098
6.012% due 01/01/2021		49		48
6.038% due 07/01/2019		9		9
6.065% due 10/01/2022		50		50
6.090% due 10/25/2023		1,247		1,274
6.125% due 04/01/2017		8		8
6.138% due 12/01/2023		260		262
6.158% due 07/25/2044		843		848
6.200% due 12/15/2008		757		759
6.250% due 04/15/2023 - 12/15/2028		5,794		5,841
6.350% due 05/25/2043		19,654		20,048
6.375% due 06/01/2017		5		5
6.391% due 12/01/2022		32		33
6.392% due 04/01/2029		226		228
6.400% due 10/15/2008 (b)		2		0
6.430% due 11/01/2023		11		11
6.475% due 07/01/2025		1,108		1,121
6.476% due 06/01/2021		596		611
6.500% due 04/01/2008 - 07/25/2043		463,342		473,665
6.500% due 11/15/2008 - 09/15/2023 (b)		115		5
6.520% due 04/01/2025		193		196
6.540% due 02/01/2023		174		179
6.593% due 09/01/2028		5		5
6.631% due 06/01/2024		743		760
6.650% due 11/01/2028		1,328		1,358
6.678% due 09/01/2027		107		109
6.687% due 06/01/2022		44		45
6.744% due 04/01/2024		1,115		1,139
6.754% due 01/01/2024		74		76
6.784% due 05/01/2023		210		210
6.796% due 08/01/2023		1,516		1,548
6.809% due 08/01/2023		1		1
6.854% due 06/01/2022		591		607
6.855% due 06/01/2022		228		234
6.872% due 10/01/2026		542		555
6.899% due 07/01/2020		173		176
6.907% due 10/01/2024		347		355
6.937% due 05/01/2023 - 10/01/2023		300		306
6.943% due 09/01/2023		750		775
6.950% due 07/15/2021 - 08/15/2021		61		61
6.960% due 02/01/2025		36		37
6.964% due 10/01/2023		279		282
6.973% due 05/01/2023		107		110
6.974% due 02/01/2026		431		441
6.984% due 07/01/2023		93		96
6.985% due 07/01/2022		112		115
7.000% due 12/01/2007 - 10/25/2043		63,130		64,945
7.000% due 08/15/2008 - 09/15/2023 (b)		109		7
7.030% due 01/01/2019 - 07/01/2024		219		224
7.034% due 08/01/2023		783		801
7.036% due 01/01/2028		44		45
7.075% due 01/01/2019 - 06/01/2024		271		277
7.078% due 07/01/2027		20		21
7.088% due 07/01/2023		253		255
7.089% due 04/01/2023		21		22
7.095% due 11/01/2020		236		240
7.105% due 05/01/2018		61		62
7.111% due 08/01/2023		123		125
7.197% due 11/01/2023		279		286
7.209% due 07/01/2030		1,532		1,569
7.211% due 08/01/2023		149		151
7.321% due 09/01/2023		219		221
7.328% due 07/01/2019		319		323
7.369% due 09/01/2023		387		392
7.376% due 08/01/2023		56		56
7.407% due 03/01/2024		328		334
7.409% due 09/01/2023		157		157
7.435% due 10/01/2023		232		235
7.483% due 10/01/2023		521		527
7.500% due 02/01/2007 - 07/01/2032		23,773		24,685
7.564% due 10/01/2023		152		154
7.581% due 06/01/2020		98		101
7.645% due 05/01/2025		5,977		6,485
7.750% due 10/01/2011		1		1
8.000% due 12/01/2007 - 09/15/2024		6,834		6,953
8.250% due 12/01/2007 - 06/15/2022		349		350
8.500% due 02/01/2008 - 06/01/2030		3,940		3,982
8.750% due 04/01/2009 - 12/15/2020		169		169
8.900% due 11/15/2020		1,380		1,376
9.000% due 04/01/2009 - 07/01/2030		916		934
9.000% due 05/01/2022 (b)		8		2
9.250% due 10/01/2009 - 07/01/2017		4		5
9.500% due 09/01/2016 - 12/01/2022		912		959
9.750% due 11/01/2008 - 05/01/2009		1		1
10.000% due 11/01/2011 - 03/01/2021		96		103
10.100% due 09/01/2016		116		127
10.250% due 04/01/2009 - 07/01/2009		74		78
10.500% due 10/01/2017 - 01/01/2021		35		39
10.750% due 09/01/2009 - 12/01/2015		41		42
11.000% due 06/01/2011 - 05/01/2020		67		73
11.250% due 10/01/2009 - 09/01/2015		5		5
11.500% due 01/01/2018		6		6
12.500% due 12/01/2012		2		2
13.250% due 10/01/2013		58		65
14.000% due 04/01/2016		4		4
15.500% due 08/01/2011 - 11/01/2011		3		3
16.250% due 05/01/2011		0		1
884.500% due 01/15/2021 (b)		0		0
1007.500% due 02/15/2022 (b)		0		1
Government National Mortgage Association
4.500% due 11/16/2028 - 07/15/2033		10,016		9,704
4.750% due 02/20/2032		2,701		2,699
5.000% due 02/20/2031 - 08/16/2033		3,769		3,729
5.125% due 12/20/2015 - 12/20/2029		40,977		41,542
5.250% due 01/20/2028 - 03/20/2030		11,612		11,645
5.375% due 02/20/2017 - 05/20/2030		93,784		94,732
5.500% due 07/20/2028 - 11/15/2033		7,237		7,244
5.625% due 02/20/2018 - 03/20/2018		75		75
5.650% due 10/15/2012		5		5
5.750% due 08/20/2020 - 03/16/2032		45,671		46,235
5.800% due 10/16/2030		1,285		1,295
5.850% due 02/16/2030 - 04/16/2032		5,173		5,221
5.875% due 04/20/2023		45		46
5.900% due 12/16/2025		165		167
5.950% due 02/16/2030		3,440		3,483
6.000% due 10/15/2008 - 12/15/2033		45,078		45,869
6.500% due 10/15/2008 - 07/15/2040		78,271		80,189
6.670% due 08/15/2040		926		941
6.750% due 06/20/2028 - 10/16/2040		42,613		45,791
7.000% due 11/15/2007 - 11/15/2032		10,468		10,797
7.250% due 07/16/2028		5		6
7.500% due 04/15/2007 - 05/15/2032		11,485		11,810
7.700% due 03/15/2041		6,582		6,949
7.750% due 12/20/2020 - 08/20/2025		48		50
8.000% due 10/20/2007 - 09/15/2031		1,384		1,463
8.250% due 02/15/2007 - 04/15/2020		159		168
8.300% due 06/15/2019		27		28
8.500% due 09/15/2009 - 04/15/2031		835		895
9.000% due 09/15/2008 - 08/15/2030		1,145		1,226
9.250% due 12/20/2016		3		3
9.500% due 11/15/2008 - 07/15/2025		738		799
10.000% due 11/15/2009 - 02/15/2025		672		745
10.250% due 02/20/2019		10		11
10.500% due 12/15/2015 - 09/15/2021		133		148
11.000% due 01/15/2010 - 04/20/2019		30		33
11.500% due 04/15/2013 - 10/15/2015		20		23
12.000% due 11/15/2012 - 05/15/2016		105		118
13.000% due 12/15/2012		6		6
13.500% due 10/15/2012 - 09/15/2014		31		35
15.000% due 08/15/2011 - 11/15/2012		50		57
16.000% due 11/15/2011 - 05/15/2012		57		66
17.000% due 11/15/2011 - 12/15/2011		17		20
Small Business Administration
3.870% due 01/01/2014		1,591		1,538
4.340% due 03/01/2024		294		281
4.504% due 02/01/2014		140		136
4.524% due 02/10/2013		18,968		18,400
4.980% due 11/01/2023		11,089		10,983
5.130% due 09/01/2023		7,521		7,510
5.340% due 11/01/2021		9,426		9,520
6.030% due 02/01/2012		13,216		13,551
6.340% due 03/01/2021		17,287		17,906
6.344% due 08/01/2011		1,855		1,915
6.640% due 02/01/2011		4,510		4,679
6.700% due 12/01/2016		5,088		5,250
6.900% due 12/01/2020		4,820		5,062
6.950% due 11/01/2016		1,243		1,287
7.150% due 03/01/2017		2,498		2,595
7.190% due 12/01/2019		193		203
7.449% due 08/01/2010		11,830		12,362
7.452% due 09/01/2010		8,921		9,365
7.500% due 04/01/2017		1,365		1,428
7.540% due 08/10/2009		9,717		10,084
7.630% due 06/01/2020		8,406		8,957
7.640% due 03/01/2010		5,627		5,918
7.700% due 07/01/2016		176		184
8.017% due 02/10/2010		12,670		13,367
Total U.S. Government Agencies (Cost $51,721,673)				51,398,405
U.S. TREASURY OBLIGATIONS 4.6%
Treasury Inflation Protected Securities (f)
2.375% due 01/15/2025		750,442		747,365
3.625% due 04/15/2028		301,680		364,337
4.250% due 01/15/2010		1,332		1,402
U.S. Treasury Notes
3.625% due 04/30/2007		168		167
4.625% due 12/31/2011		2,623,100		2,613,956
4.750% due 12/31/2008		888,300		887,537
Total U.S. Treasury Obligations (Cost $4,682,153)				4,614,764
MORTGAGE-BACKED SECURITIES 3.2%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		324		318
4.390% due 02/25/2045		133,480		131,315
American Southwest Financial Securities Corp.
7.248% due 11/25/2038		4,729		4,716
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		117,900		116,577
Banc of America Funding Corp.
4.114% due 05/25/2035		171,884		167,990
5.250% due 09/20/2034		200		196
Banc of America Mortgage Securities
4.777% due 05/25/2035		9,534		9,531
5.500% due 11/25/2033		238		237
6.500% due 09/25/2033		22,140		22,354
6.954% due 07/20/2032		2,204		2,233
Bear Stearns Adjustable Rate Mortgage Trust
4.636% due 01/25/2034		597		596
4.750% due 10/25/2035		182,037		180,085
4.781% due 01/25/2034		28		28
5.287% due 04/25/2033		8,860		8,827
5.328% due 02/25/2033		98		98
5.381% due 04/25/2033		23,567		23,378
5.583% due 01/25/2034		161		162
5.625% due 02/25/2033		17,654		17,599
6.259% due 11/25/2030		16,909		16,918
6.785% due 06/25/2031		1,086		1,081
Bear Stearns Alt-A Trust
4.955% due 01/25/2035		22,758		22,779
5.390% due 05/25/2035		241,013		241,473
5.570% due 04/25/2035		8,126		8,137
5.600% due 07/25/2034		85		85
Bear Stearns Commercial Mortgage Securities
3.688% due 11/11/2041		5,752		5,653
5.060% due 11/15/2016		13,530		13,464
5.910% due 02/14/2031		20		20
6.440% due 06/16/2030		11,300		11,438
7.000% due 05/20/2030		43,181		45,885
Bear Stearns Mortgage Securities, Inc.
6.246% due 06/25/2030		572		582
Capco America Securitization Corp.
5.860% due 10/15/2030		2		2
CC Mortgage Funding Corp.
5.530% due 05/25/2036		13,756		13,814
Citicorp Mortgage Securities, Inc.
5.250% due 12/25/2033		250		245
Citigroup Mortgage Loan Trust, Inc.
4.681% due 08/25/2035		144,189		141,927
4.700% due 12/25/2035		73,957		72,932
Collateralized Mortgage Obligation Trust
8.000% due 09/20/2021		756		756
Commercial Mortgage Acceptance Corp.
7.030% due 06/15/2031		69		71
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		145		157
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		1,527		1,509
5.420% due 07/25/2046		11,783		11,793
5.500% due 05/20/2046		7,108		7,119
5.550% due 05/25/2036		6,541		6,538
5.630% due 10/25/2035		1,760		1,762
5.670% due 09/25/2035		6,571		6,598
6.000% due 10/25/2032		6,088		6,098
Countrywide Home Loan Mortgage Pass-Through Trust
3.825% due 10/19/2032		36		36
5.250% due 02/20/2036		69,066		68,519
5.500% due 11/25/2035		10,788		9,156
5.580% due 05/25/2035		36,871		36,925
5.620% due 05/25/2034		4		4
5.640% due 04/25/2035		42,242		42,403
6.524% due 07/19/2031		47		47
CS First Boston Mortgage Securities Corp.
2.611% due 08/15/2036		221		221
3.006% due 03/15/2036		13,520		13,239
5.570% due 11/15/2019		16,708		16,719
5.601% due 03/25/2032		1,184		1,182
5.629% due 05/25/2032		25		25
5.950% due 12/25/2032		26		26
6.000% due 02/25/2017		359		358
6.000% due 06/25/2017		83		83
6.004% due 05/25/2032		1,131		1,128
6.067% due 06/25/2032		19		19
6.500% due 04/25/2033		5,351		5,360
7.031% due 06/25/2032		23		23
7.290% due 09/15/2041		322		334
7.500% due 12/25/2032		12		12
Denver Arena Trust
6.940% due 11/15/2019		3,048		3,098
DLJ Commercial Mortgage Corp.
7.300% due 06/10/2032		515		535
DLJ Mortgage Acceptance Corp.
3.844% due 08/01/2021 (o)		578		564
8.000% due 03/25/2022		11		11
Drexel Burnham Lambert CMO Trust
9.500% due 11/20/2017		40		40
First Nationwide Trust
6.750% due 08/21/2031		8,140		8,120
First Republic Mortgage Loan Trust
5.650% due 08/15/2032		243		243
5.670% due 06/25/2030		4,543		4,547
Fund America Investors Corp. II
6.613% due 06/25/2023		418		420
GE Capital Commercial Mortgage Corp.
4.229% due 12/10/2037		34,117		33,401
GMAC Mortgage Securities, Inc.
8.950% due 08/20/2017		62		62
Government Lease Trust
4.000% due 05/18/2011		35,750		34,265
6.390% due 05/18/2007		1,888		1,888
6.480% due 05/18/2011		14,000		14,360
GS Mortgage Securities Corp. II
6.044% due 08/15/2018		13,588		13,854
6.620% due 10/18/2030		25,809		26,144
6.624% due 05/03/2018		55,900		59,230
GSR Mortgage Loan Trust
4.540% due 09/25/2035		124,304		122,181
4.549% due 09/25/2035		111,975		110,824
5.700% due 01/25/2034		92		92
6.000% due 03/25/2032		163		160
GSRPM Mortgage Loan Trust
6.050% due 01/25/2032		3,985		4,020
Harborview Mortgage Loan Trust
5.590% due 03/19/2037		30,454		30,513
5.690% due 06/20/2035		3,961		3,979
5.700% due 01/19/2035		8,973		9,016
Impac Secured Assets CMN Owner Trust
6.500% due 04/25/2032		3,061		3,058
Indymac ARM Trust
6.607% due 01/25/2032		422		420
6.713% due 01/25/2032		1,586		1,582
7.072% due 08/25/2031		511		509
Indymac Index Mortgage Loan Trust
5.191% due 01/25/2036		28,533		28,739
LB Mortgage Trust
8.431% due 01/20/2017		32,528		35,446
LB-UBS Commercial Mortgage Trust
3.323% due 03/15/2027		14,760		14,425
4.590% due 04/15/2030		5,172		5,114
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		6,044		6,048
MASTR Adjustable Rate Mortgages Trust
6.135% due 10/25/2032		5,106		5,090
MASTR Asset Securitization Trust
5.500% due 09/25/2033		2,589		2,550
MASTR Seasoned Securities Trust
6.198% due 09/25/2017		31,265		31,729
6.500% due 08/25/2032		61,050		61,241
Mellon Residential Funding Corp.
5.700% due 11/15/2031		27,217		27,270
5.790% due 12/15/2030		5,719		5,745
5.830% due 06/15/2030		900		900
5.840% due 10/20/2029		19,089		19,297
6.406% due 07/25/2029		3,509		3,510
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		139		138
Merrill Lynch Mortgage Trust
4.929% due 07/12/2034		28,367		28,261
MLCC Mortgage Investors, Inc.
5.680% due 06/25/2028		7,726		7,766
5.730% due 03/15/2025		456		458
Morgan Stanley Capital I
5.500% due 04/25/2017		88		87
5.900% due 10/15/2035		1,583		1,583
6.160% due 04/03/2014		4,391		4,429
6.170% due 10/03/2034		1,405		1,425
Nationslink Funding Corp.
5.700% due 11/10/2030		2,466		2,472
6.888% due 11/10/2030		289		290
Nomura Asset Acceptance Corp.
7.000% due 02/19/2030		3,793		3,937
Pacific Collateralized Mortgage Obligation Trust
8.000% due 03/20/2018		56		56
Paine Webber CMO Trust
1359.500% due
08/01/2019 (b)		0		4
PNC Mortgage Acceptance Corp.
7.050% due 10/12/2033		1,246		1,248
Prime Mortgage Trust
5.750% due 02/25/2019		4,354		4,364
5.750% due 02/25/2034		19,612		19,679
Prudential Home Mortgage Securities
7.400% due 11/25/2007		1		1
7.500% due 03/25/2008		168		168
Prudential-Bache CMO Trust
8.400% due 03/20/2021		673		672
RAAC Series 2005-SP1
5.000% due 09/25/2034		14,856		14,765
Regal Trust IV
5.882% due 09/29/2031		2,034		2,033
Resecuritization Mortgage Trust
5.600% due 04/26/2021		2		2
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		20,648		20,648
Residential Asset Mortgage Products, Inc.
5.520% due 07/25/2024		3,925		3,928
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		1,031		1,038
Salomon Brothers Mortgage Securities VII
5.850% due 05/25/2032		263		262
7.115% due 11/25/2022		10		10
7.165% due 09/25/2023		16		16
7.262% due 12/25/2030		249		248
Santa Barbara Savings & Loan Association
9.500% due 11/20/2018		328		329
Sears Mortgage Securities
12.000% due 02/25/2014		98		99
Securitized Asset Sales, Inc.
7.612% due 11/26/2023		178		177
Sequoia Mortgage Trust
4.082% due 04/20/2035		58,160		56,994
5.700% due 10/19/2026		564		565
5.700% due 07/20/2033		480		481
Structured Adjustable Rate Mortgage Loan Trust
5.343% due 08/25/2034		720		718
5.450% due 01/25/2036		18,813		18,785
6.227% due 01/25/2035		534		539
Structured Asset Mortgage Investments, Inc.
5.510% due 06/25/2036		3,959		3,962
5.660% due 12/25/2035		9,219		9,243
5.680% due 09/19/2032		21,668		21,703
5.988% due 04/30/2030		2		2
6.365% due 05/25/2022		2,268		2,222
Structured Asset Securities Corp.
5.450% due 03/25/2033		15,921		15,718
5.450% due 09/25/2035		9,437		9,444
6.100% due 02/25/2032		3,936		3,927
6.150% due 07/25/2032		6,136		6,184
6.947% due 05/25/2032		329		330
7.213% due 01/25/2032		6,261		6,242
Structured Mortgage Asset Residential Trust
6.950% due 07/25/2024		42		41
Thornburg Mortgage Securities Trust
5.440% due 08/25/2036		5,696		5,689
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028		4,000		4,058
6.800% due 01/25/2028		3,920		3,926
Vendee Mortgage Trust
0.445% due 06/15/2023 (b)		29,265		450
6.500% due 09/15/2024		22,683		23,091
6.821% due 01/15/2030		2,972		3,044
Wachovia Bank Commercial Mortgage Trust
4.061% due 10/15/2041		8,362		8,209
Washington Mutual MSC Mortgage Pass-Through Certificates
5.390% due 02/25/2033		359		357
7.283% due 05/25/2033		479		490
Washington Mutual, Inc.
4.816% due 10/25/2032		7		7
5.114% due 10/25/2032		14,230		14,161
5.430% due 06/25/2046		10,073		10,081
5.450% due 05/25/2046		2,859		2,860
5.540% due 04/25/2045		11,611		11,629
5.596% due 02/27/2034		599		601
5.610% due 11/25/2045		9,993		10,032
5.620% due 12/25/2027		2,091		2,092
5.640% due 08/25/2045		2,933		2,941
5.640% due 10/25/2045		76,223		76,373
5.665% due 11/25/2034		203		204
5.670% due 12/25/2027		39,065		39,107
5.807% due 06/25/2046		76,608		76,991
5.846% due 05/25/2046		6,182		6,193
5.882% due 11/25/2046		3,050		3,068
6.027% due 11/25/2042		886		889
6.227% due 06/25/2042		5,006		5,012
6.227% due 08/25/2042		584		585
Wells Fargo Mortgage-Backed Securities Trust
3.539% due 09/25/2034		39,718		38,443
3.989% due 12/25/2034		451		442
4.320% due 07/25/2035		49,635		48,558
4.950% due 03/25/2036		281,786		278,616
5.142% due 03/25/2036		10,495		10,451
Total Mortgage-Backed Securities (Cost $3,234,480)				3,221,478
ASSET-BACKED SECURITIES 3.5%
Accredited Mortgage Loan Trust
5.510% due 09/25/2035		16,800		16,815
ACE Securities Corp.
5.370% due 07/25/2036		36,616		36,640
5.400% due 06/25/2036		18,889		18,902
5.420% due 12/25/2035		18,198		18,213
5.430% due 02/25/2036		15,814		15,827
5.460% due 10/25/2035		443		444
5.500% due 12/25/2035		30,770		30,802
Advanta Mortgage Loan Trust
5.725% due 11/25/2029		391		391
8.250% due 08/25/2030		4,524		4,528
Aegis Asset-Backed Securities Trust
5.460% due 10/25/2035		1,529		1,530
American Express Credit Account Master Trust
5.460% due 11/16/2009		10,000		10,011
Ameriquest Mortgage Securities, Inc.
5.430% due 01/25/2036		1,378		1,379
5.780% due 10/25/2033		73		73
Amortizing Residential Collateral Trust
5.620% due 06/25/2032		499		500
Argent Securities, Inc.
5.370% due 10/25/2036		18,507		18,519
5.410% due 05/25/2036		14,089		14,098
5.420% due 04/25/2036		24,867		24,886
5.430% due 03/25/2036		37,427		37,457
5.470% due 10/25/2035		1,877		1,879
5.470% due 02/25/2036		62,588		62,632
5.490% due 02/25/2036		2,935		2,937
Asset-Backed Funding Certificates
5.380% due 10/25/2036		7,672		7,676
Asset-Backed Securities Corp. Home Equity
5.410% due 03/25/2036		2,216		2,218
5.410% due 07/25/2036		13,626		13,636
5.420% due 03/25/2036		8,060		8,067
5.460% due 11/25/2035		13,597		13,607
5.510% due 05/25/2035		431		432
Bank One Issuance Trust
5.460% due 12/15/2010		12,850		12,880
Basic Asset-Backed Securities Trust
5.430% due 04/25/2036		12,803		12,813
Bear Stearns Asset-Backed Securities, Inc.
5.349% due 06/25/2043		5,224		5,244
5.420% due 12/25/2036		20,000		20,000
5.430% due 12/25/2035		6,691		6,696
5.440% due 04/25/2036		30,756		30,778
5.520% due 12/25/2042		3,064		3,068
5.550% due 09/25/2034		119		119
5.680% due 10/25/2032		8,945		8,967
5.750% due 10/27/2032		4,013		4,031
Brazos Student Finance Corp.
5.960% due 06/01/2023		6,608		6,647
Carrington Mortgage Loan Trust
5.370% due 08/25/2036		13,159		13,168
5.390% due 05/25/2036		11,453		11,461
5.470% due 02/25/2036		20,000		20,019
Cendant Mortgage Corp.
5.984% due 07/25/2043		4,477		4,472
Centex Home Equity
5.400% due 06/25/2036		1,643		1,644
Chase Credit Card Master Trust
5.390% due 09/15/2009		27,705		27,728
5.460% due 07/15/2010		15,895		15,930
Chase Funding Mortgage Loan Asset-Backed Certificates
5.670% due 08/25/2032		4,153		4,157
5.720% due 10/25/2032		176		177
Chase Issuance Trust
5.370% due 07/15/2010		32,000		32,032
Chase Manhattan Auto Owner Trust
4.770% due 03/15/2008		496		497
Citibank Credit Card Issuance Trust
5.435% due 03/20/2009		20,700		20,717
Citigroup Mortgage Loan Trust, Inc.
5.450% due 07/25/2035		17		17
5.500% due 07/25/2035		17,000		17,014
Community Program Loan Trust
4.500% due 10/01/2018		9,186		9,044
4.500% due 04/01/2029		26,000		24,519
Conseco Finance
5.800% due 05/15/2032		145		145
Countrywide Asset-Backed Certificates
5.370% due 03/25/2037		47,474		47,504
5.380% due 01/25/2046		98,441		98,510
5.420% due 06/25/2036		33,836		33,863
5.420% due 07/25/2036		12,521		12,531
5.420% due 08/25/2036		10,866		10,874
5.420% due 09/25/2036		22,385		22,401
5.450% due 01/25/2036		3		2
5.480% due 07/25/2036		15,518		15,529
5.510% due 02/25/2036		25,422		25,432
5.730% due 03/25/2033		4,140		4,150
Credit-Based Asset Servicing & Securitization LLC
5.460% due 08/25/2035		757		757
5.470% due 07/25/2035		4,106		4,110
5.900% due 04/25/2032		838		841
CS First Boston Mortgage Securities Corp.
5.660% due 01/25/2032		570		571
5.720% due 08/25/2032		1,871		1,872
6.050% due 07/25/2032		750		750
Delta Funding Home Equity Loan Trust
6.170% due 09/15/2029		293		294
Discover Card Master Trust I
5.725% due 10/16/2013		400		406
Encore Credit Receivables Trust
5.510% due 11/25/2035		4,418		4,421
Equity One Asset-Backed Securities, Inc.
5.630% due 11/25/2032		51		51
Equivantage Home Equity Loan Trust
7.300% due 10/25/2025		4		4
Fieldstone Mortgage Investment Corp.
5.430% due 05/25/2036		9,001		9,008
First Alliance Mortgage Loan Trust
5.790% due 01/25/2025		17		17
6.110% due 03/20/2031		2,107		2,109
First Franklin Mortgage Loan Asset-Backed Certificates
5.350% due 07/25/2036		19,018		19,031
5.420% due 01/25/2036		16,516		16,529
5.430% due 04/25/2035		6,545		6,550
5.440% due 01/25/2036		67,480		67,536
FMAC Loan Receivables Trust
6.500% due 09/15/2020		63		52
7.900% due 04/15/2019		20		19
Ford Credit Auto Owner Trust
5.405% due 09/15/2007		10,854		10,863
Fremont Home Loan Trust
5.370% due 10/25/2036		16,663		16,673
5.400% due 05/25/2036		25,552		25,570
5.440% due 01/25/2036		53		53
5.450% due 11/25/2035		29		29
5.630% due 01/25/2035		3,894		3,899
Green Tree Financial Corp.
6.160% due 02/01/2031		2,476		2,478
6.240% due 11/01/2016		46		46
6.480% due 12/01/2030		48		48
6.870% due 04/01/2030		1,024		1,029
Greenpoint Manufactured Housing
7.270% due 06/15/2029		110		116
GSAMP Trust
5.360% due 08/25/2036		950		950
5.410% due 04/25/2036		9,315		9,321
5.420% due 01/25/2036		22,608		22,623
5.420% due 02/25/2036		13,458		13,470
5.440% due 11/25/2035		4,320		4,323
GSR Mortgage Loan Trust
5.450% due 11/25/2030		191		191
HFC Home Equity Loan Asset-Backed Certificates
5.470% due 03/20/2036		17,362		17,378
Home Equity Asset Trust
5.430% due 05/25/2036		36,502		36,517
5.440% due 10/25/2035		721		722
5.460% due 02/25/2036		20,120		20,138
5.650% due 11/25/2032		154		154
Home Equity Mortgage Trust
5.440% due 05/25/2036		6,428		6,433
Honda Auto Receivables Owner Trust
5.100% due 09/18/2008		13,435		13,435
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		101,549		101,358
5.430% due 12/25/2035		15,485		15,497
IMC Home Equity Loan Trust
7.310% due 11/20/2028		54		53
7.435% due 07/25/2026		75		74
7.500% due 04/25/2026		72		72
7.520% due 08/20/2028		32		32
Indymac Home Equity Loan Asset-Backed Trust
5.930% due 07/25/2030		36		36
Indymac Residential Asset-Backed Trust
5.390% due 08/25/2036		33,989		34,014
5.440% due 03/25/2036		35,183		35,209
5.460% due 10/25/2035		29,897		29,920
IXIS Real Estate Capital Trust
5.410% due 08/25/2036		28,147		28,165
5.500% due 09/25/2035		3,047		3,050
JPMorgan Mortgage Acquisition Corp.
5.360% due 08/25/2036		14,719		14,729
5.375% due 10/25/2035		4,436		4,423
5.400% due 08/25/2036		30,725		30,742
5.410% due 01/25/2032		15,533		15,544
5.420% due 02/25/2036		3,495		3,497
5.420% due 03/25/2036		3,076		3,077
5.470% due 09/25/2035		5,916		5,920
Lehman XS Trust
5.400% due 06/25/2046		38,637		38,653
5.430% due 04/25/2046		63,727		63,768
5.430% due 08/25/2046		16,662		16,676
5.440% due 05/25/2046		37,358		37,359
Long Beach Mortgage Loan Trust
5.360% due 07/25/2036		20,019		20,033
5.410% due 04/25/2036		2,399		2,401
5.420% due 03/25/2036		20,512		20,529
5.430% due 02/25/2036		19,549		19,564
5.440% due 01/25/2036		3,233		3,235
5.470% due 09/25/2035		195		195
5.520% due 06/25/2035		218		219
5.630% due 10/25/2034		48,213		48,266
MASTR Asset-Backed Securities Trust
5.380% due 10/25/2036		5,163		5,166
5.400% due 03/25/2036		19,939		19,954
5.430% due 01/25/2036		38,399		38,429
5.460% due 11/25/2035		40,625		40,656
MBNA Credit Card Master Note Trust
5.850% due 03/15/2010		65,000		65,258
Merrill Lynch Mortgage Investors, Inc.
5.390% due 07/25/2037		42,140		42,163
5.410% due 03/25/2037		22,264		22,281
5.420% due 02/25/2037		14,314		14,325
Metris Master Trust
5.630% due 04/20/2011		3,200		3,205
Mid-State Trust
6.340% due 10/15/2036		24,877		25,332
7.340% due 07/01/2035		1,117		1,190
7.791% due 03/15/2038		4,383		4,720
8.330% due 04/01/2030		24,810		25,639
Morgan Stanley ABS Capital I
5.390% due 04/25/2036		4,378		4,381
5.410% due 03/25/2036		25,869		25,887
5.420% due 12/25/2035		5,297		5,301
5.460% due 07/25/2035		805		806
Morgan Stanley Capital I
5.420% due 03/25/2036		27,345		27,364
Morgan Stanley Home Equity Loans
5.400% due 04/25/2036		5,567		5,571
5.430% due 12/25/2035		3,593		3,596
MPC Natural Gas Funding Trust
6.200% due 03/15/2013		5,262		5,402
Nelnet Student Loan Trust
5.347% due 10/27/2014		16,311		16,320
5.370% due 08/23/2011		15,214		15,225
5.375% due 12/22/2014		9,987		9,972
5.387% due 01/26/2015		3,310		3,313
5.467% due 07/25/2016		8,900		8,925
5.467% due 10/25/2016		15,074		15,083
New Century Home Equity Loan Trust
5.410% due 05/25/2036		12,750		12,760
5.430% due 12/25/2035		6,362		6,367
5.570% due 03/25/2035		928		929
7.540% due 06/25/2029		4		4
Newcastle Mortgage Securities Trust
5.420% due 03/25/2036		11,224		11,233
Nissan Auto Receivables Owner Trust
4.140% due 01/15/2008		2,116		2,115
5.493% due 08/15/2007		4,537		4,542
Nomura Asset Acceptance Corp.
5.490% due 01/25/2036		13,817		13,827
Nomura Home Equity Loan, Inc.
5.430% due 02/25/2036		6,692		6,697
Novastar Home Equity Loan
5.440% due 01/25/2036		9,343		9,350
NPF XII, Inc.
2.462% due 11/01/2003 (a)		49,000		2,940
Option One Mortgage Loan Trust
5.420% due 01/25/2036		14,077		14,088
Ownit Mortgage Loan Asset-Backed Certificates
5.410% due 03/25/2037		13,740		13,751
Park Place Securities, Inc.
5.510% due 06/25/2035		4,783		4,787
Popular ABS Mortgage Pass-Through Trust
5.460% due 08/25/2035		1,607		1,608
5.460% due 09/25/2035		2,062		2,063
Quest Trust
5.780% due 12/25/2033		3,211		3,224
5.910% due 06/25/2034		978		981
Renaissance Home Equity Loan Trust
5.700% due 08/25/2032		874		876
5.710% due 11/25/2034		256		257
Residential Asset Mortgage Products, Inc.
5.420% due 05/25/2036		9,466		9,474
5.430% due 01/25/2036		11,694		11,702
5.450% due 04/25/2035		4,306		4,309
5.450% due 05/25/2035		198		198
Residential Asset Securities Corp.
5.370% due 09/25/2036		41,287		41,316
5.390% due 06/25/2036		25,050		25,068
5.400% due 10/25/2036		38,163		38,191
5.410% due 04/25/2036		28,360		28,382
5.420% due 03/25/2036		11,919		11,927
5.420% due 04/25/2036		20,845		20,864
5.430% due 01/25/2036		29,747		29,770
5.440% due 01/25/2036		1,231		1,232
5.450% due 10/25/2035		12,801		12,811
5.450% due 11/25/2035		7,771		7,777
5.460% due 10/25/2035		187		187
5.520% due 08/25/2035		1,200		1,201
Residential Mortgage Loan Trust
6.875% due 09/25/2029		24		24
SACO I, Inc.
5.410% due 05/25/2036		25,129		25,144
5.430% due 04/25/2036		3,511		3,513
5.450% due 01/25/2036		3,599		3,601
5.460% due 12/25/2035		3,230		3,232
5.570% due 06/25/2035		15,469		15,478
5.600% due 12/25/2035		503		503
Salomon Brothers Mortgage Securities VII
5.630% due 09/25/2028		2,312		2,315
5.650% due 03/25/2032		1,495		1,498
Saxon Asset Securities Trust
5.610% due 08/25/2032		889		890
Securitized Asset-Backed Receivables LLC Trust
5.410% due 03/25/2036		21,302		21,317
5.420% due 10/25/2035		5,286		5,290
SLC Student Loan Trust
5.330% due 12/15/2010		6,573		6,574
SLM Student Loan Trust
5.347% due 07/25/2013		11,550		11,556
5.377% due 07/25/2016		23,793		23,823
5.387% due 01/26/2015		37,436		37,467
5.397% due 01/27/2014		17,757		17,767
5.417% due 07/25/2014		9,442		9,457
5.537% due 07/25/2012		11,550		11,563
Soundview Home Equity Loan Trust
5.350% due 07/25/2036		32,781		32,804
5.360% due 11/25/2036		1,503		1,504
5.370% due 10/25/2036		3,435		3,437
5.410% due 06/25/2036		21,045		21,059
5.420% due 02/25/2036		13,108		13,118
5.420% due 03/25/2036		9,852		9,859
5.420% due 05/25/2036		17,471		17,485
5.510% due 07/25/2035		361		361
5.520% due 04/25/2035		3,803		3,806
Specialty Underwriting & Residential Finance
5.410% due 02/25/2037		14,499		14,510
5.430% due 12/25/2036		23,838		23,857
Structured Asset Investment Loan Trust
5.440% due 07/25/2035		301		301
5.700% due 04/25/2033		2,194		2,196
Structured Asset Securities Corp.
4.900% due 04/25/2035		42,223		40,829
5.400% due 02/25/2036		12,394		12,402
5.430% due 05/25/2035		44		44
5.430% due 01/25/2037		25,000		25,012
5.470% due 03/25/2035		4,012		4,015
5.610% due 01/25/2033		6,683		6,704
Susquehanna Auto Lease Trust
4.991% due 04/16/2007		469		474
Terwin Mortgage Trust
5.470% due 07/25/2035		1,536		1,537
USAA Auto Owner Trust
5.030% due 11/17/2008		10,787		10,785
Wachovia Auto Owner Trust
4.820% due 02/20/2009		373		372
Wachovia Student Loan Trust
5.357% due 10/25/2013		11,157		11,157
Washington Mutual Asset-Backed Certificates
5.390% due 04/25/2036		11,470		11,479
Wells Fargo Home Equity Trust
5.460% due 10/25/2035		39,915		39,946
5.460% due 11/25/2035		11,470		11,477
5.470% due 12/25/2035		23,115		23,133
5.590% due 11/25/2035		89,554		89,789
5.600% due 12/25/2035		135,729		136,097
WFS Financial Owner Trust
3.590% due 10/19/2009		16,993		16,857
WMC Mortgage Loan Pass-Through Certificates
6.030% due 05/15/2030		3,822		3,825
6.250% due 10/15/2029		3,170		3,213
Total Asset-Backed Securities (Cost $3,517,835)				3,493,304
SOVEREIGN ISSUES 0.3%
Brazilian Government International Bond
6.000% due 01/17/2017		4,000		3,950
8.000% due 01/15/2018		25,000		27,863
China Development Bank
5.000% due 10/15/2015		29,300		28,571
Colombia Government International Bond
10.750% due 01/15/2013		90		112
Hong Kong Government International Bond
5.125% due 08/01/2014		150		150
Hydro Quebec
5.562% due 09/29/2049		5,600		5,291
Korea Development Bank
4.750% due 07/20/2009		200		198
5.774% due 10/20/2009		100		101
Korea Highway Corp.
5.125% due 05/20/2015		100		98
Mexico Government International Bond
10.375% due 02/17/2009		310		343
		Shares
Mexico Government International Bond Rights
0.000% due 06/30/2007		2,000,000		29
		Principal Amount (000s)
Panama Government International Bond
6.700% due 01/26/2036	$	58,230		60,850
8.875% due 09/30/2027		29,750		37,931
9.375% due 07/23/2012		49,060		57,768
9.625% due 02/08/2011		12,600		14,427
Peru Government International Bond
9.125% due 01/15/2008		1,700		1,773
South Africa Government International Bond
6.500% due 06/02/2014		27,000		28,451
Ukraine Government International Bond
6.875% due 03/04/2011		8,000		8,242
Total Sovereign Issues (Cost $247,554)				276,148
FOREIGN CURRENCY-DENOMINATED ISSUES 0.8%
Atlas Reinsurance PLC
7.717% due 01/10/2010	EUR	3,000		3,947
Banque Centrale de Tunisie
7.500% due 08/06/2009		2,300		3,277
BTM Curacao Holdings NV
1.195% due 11/29/2049	JPY	1,000,000		8,323
Citigroup, Inc.
4.250% due 02/25/2030	EUR	60,000		73,949
Danske Bank A/S
5.684% due 12/29/2049	GBP	16,400		31,639
El Paso Corp.
7.125% due 05/06/2009	EUR	63,300		87,528
Ford Motor Credit Co.
5.250% due 06/16/2008		15,000		10,079
6.750% due 01/14/2008		8,000		10,720
Gaz Capital for Gazprom
5.875% due 06/01/2015		20,000		27,719
General Electric Capital Corp.
4.625% due 09/15/2066		10,000		13,287
HBOS PLC
4.875% due 03/29/2049		14,090		18,796
Italy Buoni Poliennali Del Tesoro
1.650% due 09/15/2008		40,031		52,834
JSG Holding PLC
5.741% due 11/29/2013		7,915		10,543
5.800% due 01/12/2014		1,193		1,585
5.835% due 01/12/2013		4,217		5,617
5.850% due 01/12/2013		2,446		3,253
5.946% due 01/12/2013		3,253		4,326
5.971% due 11/29/2014		4,353		5,821
6.062% due 01/12/2014		1,789		2,378
6.157% due 01/12/2014		469		623
6.350% due 01/12/2014		876		1,165
6.494% due 01/12/2013		2,169		2,884
6.686% due 01/12/2014		2,319		3,101
KBC Bank Funding Trust I
8.220% due 11/29/2049		5,000		7,254
Lloyds TSB Capital
7.375% due 02/07/2049		26,000		38,694
Mizuho Finance Cayman Ltd.
1.879% due 01/01/2049	JPY	1,000,000		8,549
New Zealand Government Bond
4.500% due 02/15/2016	NZD	81,500		78,863
Nordic Telephone Co. Holdings ApS
5.207% due 11/30/2014	EUR	15,500		20,672
5.939% due 11/30/2014		14,880		19,932
6.036% due 11/30/2015		785		1,051
Norinchukin Bank
5.625% due 09/28/2016	GBP	25,000		48,528
Poland Government Bond
5.750% due 03/24/2010	PLN	54,490		19,304
Province of Quebec Canada
5.000% due 12/01/2038	CAD	206,300		185,770
Sumitomo Mitsui Banking Corp.
0.950% due 06/02/2049	JPY	1,000,000		8,320
1.346% due 12/31/2049		1,100,000		9,245
United Kingdom Gilt
5.000% due 03/07/2012	GBP	50		98
Total Foreign Currency-Denominated Issues (Cost $734,897)				829,674
SHORT-TERM INSTRUMENTS 24.0%
Certificates Of Deposit 6.4%
Abbey National Treasury Services PLC
5.276% due 07/02/2008	$	352,100		351,946
Bank of Ireland
5.225% due 03/07/2007		165,000		163,365
5.225% due 03/29/2007		174,700		172,411
5.230% due 03/13/2007		14,000		13,849
5.250% due 01/22/2007		11,800		11,766
5.250% due 02/02/2007		200,000		199,096
5.250% due 02/16/2007		14,000		13,908
5.260% due 03/15/2007		18,200		17,998
5.320% due 02/08/2007		112,600		112,600
Barclays Bank PLC
4.485% due 01/29/2007		556,970		556,963
5.271% due 01/29/2007		47,000		46,997
5.320% due 02/15/2007		460,000		460,000
BNP Paribas
5.292% due 05/28/2008		163,100		163,132
Citibank New York N.A.
5.320% due 02/22/2007		152,000		152,000
5.325% due 01/30/2007		322,000		322,000
5.325% due 02/09/2007		258,100		258,100
5.325% due 03/28/2007		37,700		37,700
Citizens Bank of Massachusetts
5.330% due 02/09/2007		96,800		96,800
Fortis Bank NY
5.295% due 01/04/2007		400,000		400,000
HBOS Treasury Services PLC
5.305% due 01/29/2007		500,000		500,008
Istituto Bancario San Paolo
5.355% due 01/16/2007		50,000		50,000
Nordea Bank Finland
5.308% due 05/28/2008		160,000		160,057
Skandinav Enskilda BK
5.330% due 02/04/2008		8,600		8,604
Societe Generale NY
5.258% due 06/20/2007		12,300		12,300
5.295% due 01/31/2007		1,000,000		1,000,000
Unicredito Italiano NY
5.370% due 05/29/2008		141,400		141,442
Unicredito Italiano SpA
5.325% due 02/16/2007		3,000		3,000
5.330% due 03/20/2007		616,600		616,600
5.385% due 02/15/2007		230,000		230,005
5.405% due 03/01/2007		150,000		150,012
				6,422,659
COMMERCIAL PAPER 13.1%
Abbey National N.A. LLC
5.185% due 03/29/2007		2,800		2,763
5.200% due 04/02/2007		5,700		5,622
5.225% due 03/07/2007		2,300		2,277
5.240% due 01/08/2007		22,265		22,246
5.245% due 01/08/2007		3,200		3,197
ABN AMRO N.A. Finance
5.240% due 01/12/2007		286,000		285,584
ANZ National International Ltd.
5.245% due 02/20/2007		268,900		266,980
ASB Finance Ltd.
5.250% due 02/15/2007		15,500		15,401
5.255% due 02/07/2007		22,000		21,884
Bank of America Corp.
5.200% due 04/02/2007		70,800		69,832
5.200% due 04/03/2007		197,800		195,066
5.200% due 04/27/2007		25,500		25,060
5.210% due 03/28/2007		118,300		116,767
5.225% due 02/08/2007		482,900		480,307
5.225% due 03/01/2007		3,000		2,975
5.225% due 03/07/2007		6,700		6,634
5.225% due 03/27/2007		131,000		129,322
5.230% due 03/09/2007		122,500		121,250
5.230% due 03/20/2007		84,700		83,701
5.235% due 03/13/2007		497,900		492,533
5.245% due 01/18/2007		11,300		11,274
5.245% due 02/01/2007		9,700		9,658
5.245% due 03/30/2007		5,400		5,328
5.250% due 01/12/2007		246,500		246,141
5.250% due 01/18/2007		25,400		25,341
5.250% due 01/24/2007		500		498
5.250% due 03/15/2007		117,700		116,397
5.250% due 03/19/2007		8,900		8,796
Barclays U.S. Funding Corp.
5.220% due 03/05/2007		3,400		3,367
5.240% due 01/12/2007		148,300		148,084
5.240% due 02/02/2007		46,200		45,992
5.250% due 01/12/2007		4,400		4,394
5.250% due 01/17/2007		300		299
5.250% due 01/22/2007		800		798
5.250% due 02/14/2007		8,300		8,248
5.250% due 02/20/2007		37,500		37,232
5.260% due 03/26/2007		12,800		12,638
BNP Paribas Finance
5.230% due 01/19/2007		400		399
5.230% due 03/07/2007		309,500		306,433
5.235% due 02/12/2007		9,232		9,177
5.235% due 02/13/2007		15,300		15,207
5.240% due 01/19/2007		4,400		4,389
5.300% due 01/02/2007		43,200		43,200
Caisse d'Amortissement de la Dette Sociale
5.220% due 01/04/2007		500		500
5.260% due 01/16/2007		54,300		54,189
Calyon N.A. LLC
5.225% due 03/09/2007		7,100		7,028
5.235% due 02/09/2007		8,800		8,751
5.240% due 02/08/2007		4,400		4,376
CBA (de) Finance
5.230% due 02/22/2007		6,900		6,849
5.240% due 01/17/2007		1,100		1,098
5.240% due 02/02/2007		95,700		95,268
5.240% due 02/21/2007		4,500		4,467
5.245% due 02/07/2007		900		895
5.250% due 03/07/2007		10,300		10,198
Citigroup Funding, Inc.
5.250% due 02/14/2007		25,000		24,843
Cox Communications, Inc.
5.580% due 03/15/2007		85,000		85,000
5.893% due 01/16/2007		131,900		131,900
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		22,900		22,324
Danske Corp.
5.240% due 01/30/2007		5,100		5,079
5.255% due 01/18/2007		5,600		5,587
5.260% due 01/04/2007		5,000		4,999
Dexia Delaware LLC
5.240% due 01/17/2007		191,600		191,182
5.240% due 01/18/2007		2,600		2,594
5.240% due 01/24/2007		1,900		1,894
5.240% due 02/20/2007		55,300		54,906
5.250% due 02/08/2007		300,000		298,381
5.300% due 01/02/2007		32,500		32,500
DnB NORBank ASA
5.200% due 03/26/2007		13,300		13,131
5.235% due 03/26/2007		6,300		6,220
5.240% due 04/13/2007		10,000		9,847
5.265% due 02/20/2007		1,600		1,589
Fannie Mae
5.099% due 01/05/2007		400		400
5.130% due 02/28/2007		6,600		6,546
5.132% due 02/21/2007		15,200		15,092
5.138% due 02/21/2007		2,800		2,780
5.140% due 03/14/2007		200		198
5.142% due 03/20/2007		1,300		1,285
5.145% due 03/21/2007		3,900		3,853
5.155% due 03/06/2007		1,600		1,584
5.160% due 01/19/2007		6,600		6,584
5.200% due 01/31/2007		9,700		9,660
5.236% due 01/22/2007		10,600		10,570
5.239% due 01/24/2007		700		698
5.264% due 01/31/2007		900		896
5.269% due 01/10/2007		2,000		1,998
5.280% due 01/10/2007		3,465		3,461
5.310% due 01/03/2007		12,714		12,712
Federal Home Loan Bank
4.800% due 01/02/2007		869,600		869,600
Fortis Funding LLC
5.265% due 01/02/2007		11,800		11,800
5.320% due 01/03/2007		1,000		1,000
Freddie Mac
5.065% due 01/02/2007		50,600		50,600
5.065% due 02/06/2007		2,900		2,886
5.090% due 02/16/2007		600		596
5.125% due 01/24/2007		600		598
5.134% due 01/26/2007		1,800		1,794
5.140% due 01/08/2007		7,800		7,793
5.140% due 02/08/2007		300		298
5.170% due 01/23/2007		300		299
5.185% due 01/23/2007		400		399
5.210% due 01/23/2007		100		100
5.231% due 02/06/2007		400		398
General Electric Capital Corp.
5.230% due 02/16/2007		24,300		24,141
5.230% due 03/07/2007		52,900		52,376
5.230% due 03/08/2007		12,300		12,176
5.230% due 03/27/2007		6,300		6,219
5.240% due 01/17/2007		400,000		399,127
5.240% due 01/18/2007		400,000		399,068
5.240% due 02/08/2007		26,100		25,959
5.240% due 02/09/2007		13,100		13,028
5.250% due 01/16/2007		40,300		40,218
5.250% due 01/17/2007		40,700		40,611
HBOS Treasury Services PLC
5.190% due 02/02/2007		4,100		4,082
5.200% due 02/02/2007		300		299
5.220% due 03/12/2007		116,300		115,063
5.225% due 01/10/2007		200		200
5.240% due 03/06/2007		7,800		7,724
5.245% due 01/04/2007		41,800		41,788
5.245% due 02/12/2007		17,700		17,594
5.245% due 03/19/2007		1,900		1,878
5.250% due 01/25/2007		400		399
5.250% due 02/07/2007		10,100		10,047
5.250% due 02/08/2007		152,500		151,677
5.250% due 02/12/2007		8,300		8,250
5.250% due 02/13/2007		96,200		95,611
5.250% due 02/16/2007		46,400		46,095
5.250% due 02/20/2007		9,000		8,936
HSBC Bank USA N.A.
5.240% due 01/12/2007		7,600		7,589
ING U.S. Funding LLC
5.205% due 03/29/2007		27,700		27,337
5.230% due 02/27/2007		36,400		36,104
5.240% due 01/03/2007		4,600		4,599
5.240% due 01/18/2007		51,100		50,981
5.240% due 01/19/2007		32,000		31,921
5.240% due 01/22/2007		200		199
5.240% due 01/29/2007		8,400		8,367
5.240% due 02/08/2007		1,300		1,293
5.245% due 01/08/2007		18,800		18,784
5.245% due 01/22/2007		24,400		24,329
5.250% due 02/08/2007		2,500		2,486
Intesa Funding LLC
5.240% due 01/12/2007		19,400		19,372
5.245% due 01/30/2007		173,600		172,892
IXIS Commercial Paper Corp.
5.245% due 01/26/2007		3,400		3,388
5.250% due 02/08/2007		6,100		6,067
KFW International Finance
5.250% due 02/14/2007		26,000		25,837
Nordea N.A., Inc.
5.220% due 01/03/2007		11,650		11,648
5.230% due 01/03/2007		115,200		115,183
5.240% due 02/13/2007		200		199
5.390% due 01/10/2007		37,700		37,655
Oesterreichische
5.205% due 04/25/2007		91,430		89,879
5.230% due 01/12/2007		12,500		12,482
Rabobank USA Financial Corp.
5.210% due 02/23/2007		200		198
5.280% due 01/02/2007		6,800		6,800
Royal Bank of Canada
5.240% due 02/05/2007		25,065		24,941
San Paolo IMI U.S. Financial Co.
5.240% due 01/08/2007		60,750		60,697
5.240% due 01/23/2007		500		498
5.250% due 01/16/2007		12,300		12,275
5.290% due 01/02/2007		20,200		20,200
Santander Hispano Finance Delaware
5.170% due 06/13/2007		63,400		61,885
5.240% due 01/05/2007		100		100
5.240% due 01/16/2007		7,000		6,986
5.245% due 01/05/2007		19,900		19,891
5.245% due 01/18/2007		56,600		56,468
5.245% due 02/08/2007		7,700		7,658
5.250% due 01/05/2007		200		200
5.250% due 02/08/2007		7,300		7,261
Skandinaviska Enskilda Banken AB
5.220% due 03/06/2007		7,000		6,932
5.230% due 01/04/2007		80,700		80,677
5.240% due 02/21/2007		3,300		3,276
5.245% due 01/08/2007		11,000		10,990
5.260% due 01/08/2007		150,000		149,868
Societe Generale NY
5.185% due 04/02/2007		131,100		129,308
5.200% due 04/02/2007		35,400		34,916
5.225% due 03/01/2007		69,100		68,518
5.230% due 02/09/2007		39,900		39,680
5.230% due 03/05/2007		1,300		1,287
5.230% due 03/08/2007		315,400		312,227
5.235% due 01/08/2007		8,600		8,592
5.235% due 02/16/2007		200,000		198,691
5.245% due 01/08/2007		70,500		70,438
5.270% due 01/02/2007		17,600		17,600
Spintab AB
5.240% due 02/23/2007		11,000		10,917
5.240% due 02/28/2007		14,800		14,677
5.250% due 01/29/2007		5,800		5,777
5.250% due 02/02/2007		21,400		21,303
Stadshypoket Delaware, Inc.
5.240% due 01/16/2007		74,400		74,248
5.240% due 02/21/2007		600		596
5.245% due 02/21/2007		71,300		70,781
5.255% due 01/30/2007		80,000		79,673
Statens Bostadsfin Bank
5.240% due 01/22/2007		20,000		19,942
5.255% due 01/29/2007		78,800		78,489
5.270% due 01/11/2007		300		300
Svenska Handelsbanken, Inc.
5.230% due 03/08/2007		14,850		14,701
5.230% due 03/12/2007		20,200		19,985
5.235% due 02/28/2007		28,700		28,462
5.235% due 03/05/2007		7,300		7,230
Swedbank
5.210% due 01/22/2007		5,300		5,285
5.230% due 01/08/2007		2,500		2,498
5.240% due 01/02/2007		4,700		4,700
5.240% due 01/05/2007		5,400		5,398
5.240% due 02/09/2007		250,000		248,617
5.240% due 02/12/2007		14,500		14,413
5.240% due 02/21/2007		15,600		15,486
5.245% due 01/02/2007		1,700		1,700
Time Warner, Inc.
5.390% due 01/22/2007		234,000		233,299
TotalFinaElf Capital S.A.
5.300% due 01/02/2007		5,500		5,500
Toyota Motor Credit Corp.
5.230% due 02/05/2007		14,000		13,931
5.230% due 02/23/2007		31,600		31,361
5.240% due 02/06/2007		55,700		55,416
5.240% due 02/07/2007		66,100		65,754
UBS Finance Delaware LLC
5.160% due 06/12/2007		17,000		16,596
5.185% due 04/02/2007		4,100		4,044
5.205% due 01/26/2007		813,700		810,876
5.225% due 03/08/2007		39,500		39,103
5.230% due 03/07/2007		118,500		117,326
5.240% due 01/22/2007		300,000		299,127
5.245% due 01/08/2007		6,600		6,594
5.250% due 01/11/2007		399,600		399,076
5.250% due 01/17/2007		4,500		4,490
5.270% due 01/02/2007		6,800		6,800
5.280% due 01/02/2007		25,500		25,500
Unicredit Delaware, Inc.
5.170% due 05/24/2007		8,700		8,517
Unicredito Italiano SpA
5.250% due 01/05/2007		2,200		2,199
5.250% due 01/16/2007		200,000		199,592
5.250% due 01/19/2007		6,100		6,085
5.250% due 01/26/2007		100,000		99,650
Viacom, Inc.
5.594% due 05/29/2007		140,400		140,400
5.600% due 03/22/2007		89,650		89,650
Westpac Capital Corp.
5.190% due 05/07/2007		50,000		49,066
5.210% due 03/29/2007		17,400		17,172
5.215% due 02/05/2007		13,300		13,234
5.220% due 01/05/2007		500		500
5.235% due 03/16/2007		100,000		98,878
5.245% due 01/24/2007		2,200		2,193
5.245% due 02/16/2007		34,300		34,075
5.250% due 01/18/2007		7,300		7,283
5.255% due 01/18/2007		213,600		213,101
5.280% due 02/08/2007		9,400		9,349
Westpac Trust Securities NZ Ltd.
5.245% due 01/18/2007		63,200		63,053
5.245% due 01/25/2007		3,900		3,887
5.255% due 02/12/2007		1,300		1,292
5.330% due 01/18/2007		22,500		22,447
				13,136,573
Repurchase Agreements 2.0%
Credit Suisse Securities (USA) LLC
4.800% due 01/02/2007		20,600		20,600
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 6.000% due 08/15/2009 valued at $21,160. Repurchase proceeds are $20,611.)
Lehman Brothers, Inc.
4.850% due 01/02/2007		1,258,100		1,258,100
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 4.500% due 02/28/2011 valued at $1,286,637. Repurchase proceeds are $1,258,778.)
UBS Securities LLC
4.800% due 01/02/2007		719,000		719,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 07/15/2014 valued at $735,530. Repurchase proceeds are $719,383.)
				1,997,700
Tri-Party Repurchase Agreements 0.4%
State Street Bank and Trust Co.
4.900% due 01/02/2007
(Dated 12/29/2006. Collateralized by Fannie Mae 3.000% due 08/15/2007 valued at $99,726; Freddie Mac 4.400% - 5.351% due 04/30/2007 - 08/22/2007 valued at $59,999; and U.S. Treasury Notes 2.750% - 3.875% due 07/31/2007 - 08/15/2007 valued at $289,383. Repurchase proceeds are $440,539.)		440,299		440,299
France Treasury Bills 1.0%
2.906% due 01/18/2007 - 02/01/2007 (e)	EUR	794,800		1,046,977
Germany Treasury Bills 0.1%
3.090% due 01/17/2007		61,800		81,476
U.S. Treasury Bills 0.9%
4.811% due 03/01/2007 - 03/15/2007 (e)(g)(k)	$	872,386		863,030
Total Short-Term Instruments (Cost $23,950,369)				23,988,714
Purchased Options (m) 0.3% (Cost $376,272)				344,644
Total Investments (i) 111.8% (Cost $112,108,645)				112,058,866
Written Options (n) (0.5%) (Premiums $403,361)				(493,646	)
Other Assets and Liabilities (Net) (11.3%)				(11,415,755	)
Net Assets 100.0%				100,149,465

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

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

(a) Security is in default.

(b) Interest only security.

(c) When-issued security.

(d) Principal only security.

(e) Coupon represents a weighted average rate.

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

(g) Securities with an aggregate market value of $150,856 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(h) Securities with an aggregate market value of $592,589 have been pledged as collateral for delayed-delivery mortgage-backed securities on December 31, 2006.

(i) As of December 31, 2006, portfolio securities with an aggregate value of $4,586,626 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(j) Residual Interest Bonds Held in Trust - Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Fund acquired the residual interest certificates. These securities serve as collateral in a financing transaction.

(k) Securities with an aggregate market value of $669,007 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	7,226	$	(7,282	)
90-Day Euribor June Futures	Long	06/2007	21,944		(16,438	)
90-Day Euribor June Futures	Long	06/2008	1,409		(999	)
90-Day Euribor March Futures	Long	03/2008	2,825		(2,040	)
90-Day Euribor September Futures	Long	09/2007	13,115		(12,070	)
90-Day Eurodollar December Futures	Long	12/2007	293,086		(47,475	)
90-Day Eurodollar June Futures	Long	06/2007	150,594		(98,848	)
90-Day Eurodollar March Futures	Long	03/2007	52,996		(48,688	)
90-Day Eurodollar March Futures	Long	03/2008	29,147		(18,066	)
90-Day Eurodollar September Futures	Long	09/2007	251,564		(93,633	)
90-Day Euroyen December Futures	Long	12/2007	2,600		(75	)
90-Day Euroyen September Futures	Long	09/2007	3,292		(162	)
Euro-Bund 10-Year Note March Futures	Long	03/2007	5,598		(3,370	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 119.000	Short	03/2007	3,875		368
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	9,940		1,358
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 114.500	Short	03/2007	1,366		(9	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 115.000	Short	03/2007	1,366		(9	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 116.000	Short	03/2007	13,815		(7,899	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	14,488		(7,113	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2007	3,640		(2,152	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	3,005		(2,093	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	7,888		(3,917	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	2,818		(2,151	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	8,241		(7,644	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	35,608		84,593
				$	(295,814	)

(l) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	SOFTBANK Corp. 1.75% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	8,849,000	$	582
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.700	%	3/20/2007	$	25,000		244
Bank of America	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.350	%	9/20/2007		10,000		139
Bank of America	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.750	%	12/20/2007		10,000		116
Bank of America	Ryland Group, Inc. 5.375% due 06/01/2008	Buy	(0.370	%)	6/20/2008		2,500		(11	)
Bank of America	Yum! Brands, Inc. 7.650% due 05/15/2008	Buy	(0.080	%)	6/20/2008		3,200		1
Bank of America	May Department Stores Co. 4.800% due 07/15/2009	Buy	(0.190	%)	9/20/2009		5,000		3
Bank of America	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.195	%	3/20/2010		50,000		206
Bank of America	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.193	%	3/20/2010		50,000		186
Bank of America	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.750	%	9/20/2010		5,000		622
Bank of America	RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.250	%)	6/20/2011		10,700		197
Bank of America	Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Buy	(0.380	%)	12/20/2012		10,000		12
Bank of America	TXU Energy Co. LLC 7.000% due 03/15/2013	Buy	(0.670	%)	3/20/2013		10,600		2
Bank of America	CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.690	%)	12/20/2014		10,600		(148	)
Bank of America	Boston Scientific Corp. 6.400% due 06/15/2016	Buy	(0.910	%)	6/20/2016		10,500		(46	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.500	%	12/20/2007		25,000		(25	)
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008		12,000		1
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		29,000		1
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		9,000		(9	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		800		(1	)
Barclays Bank PLC	Sealed Air Corp. 6.950% due 05/15/2009	Buy	(0.200	%)	6/20/2009		10,500		(13	)
Barclays Bank PLC	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.295	%)	9/20/2011		15,000		(24	)
Barclays Bank PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.535	%)	9/20/2011		15,000		(38	)
Barclays Bank PLC	iStar Financial, Inc. 5.150% due 03/01/2012	Buy	(0.400	%)	3/20/2012		10,000		12
Barclays Bank PLC	XL Capital Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	3/20/2012		10,600		(75	)
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.620	%	3/20/2013		20,900		562
Barclays Bank PLC	CitiFinancial, Inc. 6.625% due 06/01/2015	Buy	(0.145	%)	6/20/2015		11,000		0
Barclays Bank PLC	PSEG Power LLC 5.500% due 12/01/2015	Buy	(0.520	%)	12/20/2015		8,000		(64	)
Barclays Bank PLC	Cardinal Health, Inc. 5.800% due 10/15/2016	Buy	(0.420	%)	12/20/2016		13,000		17
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.675	%	3/20/2007		25,000		242
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.150	%	6/20/2007		10,000		193
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.550	%	6/20/2007		23,000		492
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	6/20/2007		800		18
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	6/20/2007		9,700		217
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.320	%	9/20/2007		8,200		112
Bear Stearns & Co., Inc.	BellSouth Corp. 4.200% due 09/15/2009	Buy	(0.140	%)	9/20/2009		5,000		(8	)
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 4.875% due 06/15/2010	Buy	(0.520	%)	6/20/2010		10,000		(45	)
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 5.875% due 03/15/2011	Buy	(0.655	%)	3/20/2011		10,000		(86	)
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 5.875% due 03/15/2011	Buy	(0.520	%)	3/20/2011		10,000		(33	)
Bear Stearns & Co., Inc.	Ryder System, Inc. 5.950% due 05/02/2011	Buy	(0.270	%)	6/20/2011		5,300		(2	)
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	6/20/2011		10,000		14
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	9/20/2011		10,300		(80	)
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.160	%)	12/20/2011		10,000		(12	)
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011		10,000		(8	)
Bear Stearns & Co., Inc.	General Mills, Inc. 6.000% due 02/15/2012	Buy	(0.180	%)	3/20/2012		10,400		(1	)
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.390	%)	3/20/2012		15,400		(17	)
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	3/20/2012		8,200		(1	)
Bear Stearns & Co., Inc.	CBS Corp. 5.625% due 08/15/2012	Buy	(0.590	%)	9/20/2012		15,000		73
Bear Stearns & Co., Inc.	Comcast Corp. 5.300% due 01/15/2014	Buy	(0.390	%)	3/20/2014		15,000		(2	)
Bear Stearns & Co., Inc.	Maytag Corp. 5.000% due 05/15/2015	Buy	(0.460	%)	6/20/2015		10,000		120
Bear Stearns & Co., Inc.	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.285	%)	12/20/2015		10,000		21
Bear Stearns & Co., Inc.	Comcast Corp. 5.900% due 03/15/2016	Buy	(0.535	%)	3/20/2016		15,000		(43	)
Bear Stearns & Co., Inc.	Goldman Sachs Group, Inc. floating rate based on 3-Month USD-LIBOR plus 0.450% due 03/22/2016	Buy	(0.330	%)	3/20/2016		10,000		(16	)
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	3/20/2016		10,000		21
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	3/20/2016		10,000		21
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.300	%)	3/20/2016		9,800		(52	)
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	3/20/2016		20,000		(39	)
Bear Stearns & Co., Inc.	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.430% due 06/01/2016	Buy	(0.220	%)	6/20/2016		10,000		(49	)
Bear Stearns & Co., Inc.	ABX Financing Co. 5.750% due 10/15/2016	Buy	(0.530	%)	12/20/2016		10,000		(46	)
Bear Stearns & Co., Inc.	ONEOK Partners LP 6.150% due 10/01/2016	Buy	(0.660	%)	12/20/2016		10,200		(78	)
BNP Paribas Bank	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.450	%	6/20/2011		10,000		803
BNP Paribas Bank	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.250% due 01/15/2014	Buy	(0.165	%)	12/20/2013		15,000		0
Citibank N.A.	TXU Energy Co. LLC 7.000% due 03/15/2013	Buy	(0.700	%)	3/20/2013		16,000		(32	)
Citibank N.A.	CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.470	%)	12/20/2014		10,200		4
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.360	%	9/20/2007		20,000		279
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.890	%	12/20/2007		20,000		64
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		14,400		54
Credit Suisse First Boston	CenterPoint Energy, Inc. 5.875% due 06/01/2008	Buy	(0.170	%)	6/20/2008		10,300		(12	)
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.400	%	9/20/2008		10,000		548
Credit Suisse First Boston	May Department Stores Co. 4.800% due 07/15/2009	Buy	(0.160	%)	9/20/2009		10,000		14
Credit Suisse First Boston	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.160	%	9/20/2010		3,000		344
Credit Suisse First Boston	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.170	%	9/20/2010		5,000		523
Credit Suisse First Boston	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.650	%	9/20/2010		2,000		242
Credit Suisse First Boston	Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.160	%)	3/20/2011		10,000		(3	)
Credit Suisse First Boston	CVS Corp. 5.750% due 08/15/2011	Buy	(0.250	%)	9/20/2011		10,200		(7	)
Credit Suisse First Boston	Health Care Property Investors, Inc. 5.950% due 09/15/2011	Buy	(0.530	%)	9/20/2011		7,350		(43	)
Credit Suisse First Boston	Kaupthing Bank Hf 5.750% due 10/04/2011	Buy	(0.550	%)	12/20/2011		20,000		(56	)
Credit Suisse First Boston	Packaging Corp. of America 5.750% due 08/01/2013	Buy	(0.940	%)	9/20/2013		10,000		68
Credit Suisse First Boston	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	2.090	%	5/20/2016		10,000		417
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.550	%	9/20/2007		10,000		154
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.065	%	12/20/2007		100,000		1
Deutsche Bank AG	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.260	%	12/20/2007		3,000		0
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		17,000		8
Deutsche Bank AG	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008		9,800		(1	)
Deutsche Bank AG	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008		13,000		(10	)
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		14,000		(11	)
Deutsche Bank AG	TXU Corp. 4.800% due 11/15/2009	Buy	(0.430	%)	12/20/2009		15,000		13
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.760	%	6/20/2011		10,000		804
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.770	%	6/20/2011		10,000		807
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.830	%	6/20/2011		10,000		829
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.920	%	6/20/2011		10,000		862
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.020	%	6/20/2011		10,000		899
Deutsche Bank AG	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.760	%	7/20/2011		300		3
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.620	%	9/20/2011		25,000		1,878
Deutsche Bank AG	Nationwide Health Properties, Inc. 6.500% due 07/15/2011	Buy	(0.620	%)	9/20/2011		13,600		(36	)
Deutsche Bank AG	Kaupthing Bank Hf 5.750% due 10/04/2011	Buy	(0.530	%)	12/20/2011		10,000		(19	)
Deutsche Bank AG	Lennar Corp. 5.950% due 10/17/2011	Buy	(0.785	%)	12/20/2011		9,000		(105	)
Deutsche Bank AG	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	6/20/2016		26,000		251
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.500	%	6/20/2007		600		13
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.900	%	6/20/2007		12,000		278
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		7,400		105
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.450	%	9/20/2007		10,000		146
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.750	%	12/20/2007		10,000		116
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	3/20/2008		90,000		40
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	3/20/2008		77,000		41
Goldman Sachs & Co.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.170	%	9/20/2010		5,000		575
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.050	%	6/20/2011		10,000		910
Goldman Sachs & Co.	International Lease Finance Corp. 5.250% due 01/10/2013	Buy	(0.200	%)	3/20/2013		15,000		(29	)
Goldman Sachs & Co.	Wells Fargo Bank N.A. 4.750% due 02/09/2015	Buy	(0.140	%)	3/20/2015		10,000		(11	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.320	%	2/20/2007		4,000		3
HSBC Bank USA	Ford Motor Corp. 7.450% due 07/16/2031	Sell	2.410	%	6/20/2007		5,300		52
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.700	%	6/20/2007		5,000		59
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.950	%	9/20/2007		7,500		81
HSBC Bank USA	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.280	%	11/20/2007		4,100		2
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.000	%	3/20/2007		4,600		24
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.600	%	6/20/2007		5,000		108
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	6/20/2007		3,500		78
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	6/20/2007		29,300		552
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.700	%	9/20/2007		25,000		413
JPMorgan Chase & Co.	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.050	%	12/20/2007		101,940		33
JPMorgan Chase & Co.	TRW, Inc. 6.250% due 01/15/2010	Buy	(0.110	%)	3/20/2010		5,000		(5	)
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.150	%	6/20/2010		10,000		616
JPMorgan Chase & Co.	Simon Property Group LP 4.600% due 06/15/2010	Buy	(0.180	%)	6/20/2010		8,000		(21	)
JPMorgan Chase & Co.	Glitnir Banki Hf floating rate based on 3-Month USD-LIBOR plus 0.440% due 01/21/2011	Buy	(0.340	%)	3/20/2011		10,000		(17	)
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.600	%	6/20/2011		15,000		1,118
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.320	%	6/20/2011		10,000		1,008
JPMorgan Chase & Co.	Gannett Co., Inc. 5.750% due 06/01/2011	Buy	(0.330	%)	6/20/2011		10,300		(2	)
JPMorgan Chase & Co.	Mattel, Inc. 6.125% due 06/15/2011	Buy	(0.400	%)	6/20/2011		10,300		(42	)
JPMorgan Chase & Co.	Whirlpool Corp. 6.125% due 06/15/2011	Buy	(0.360	%)	6/20/2011		12,500		3
JPMorgan Chase & Co.	Health Care Property Investors, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	9/20/2011		5,000		(46	)
JPMorgan Chase & Co.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.280	%	3/20/2016		10,000		82
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	3/20/2016		6,950		157
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.800	%	3/20/2016		22,400		308
Lehman Brothers, Inc.	Ford Motor Corp. 7.450% due 07/16/2031	Sell	5.600	%	3/20/2007		15,000		221
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.950	%	3/20/2007		10,000		50
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.150	%	9/20/2007		5,000		62
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		7,800		111
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.500	%	9/20/2007		10,600		159
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.550	%	9/20/2007		15,000		231
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.410	%	11/20/2007		50,000		57
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.900	%	12/20/2007		20,000		66
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		25,900		97
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.850	%	12/20/2007		20,000		251
Lehman Brothers, Inc.	Ford Motor Credit Co. 6.625% due 06/16/2008	Buy	(1.070	%)	6/20/2008		37,000		(78	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		3,500		0
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		300		0
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		29,000		(29	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	12/20/2008		29,000		(36	)
Lehman Brothers, Inc.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.190	%	3/20/2010		50,000		183
Lehman Brothers, Inc.	People's Republic of China Government International Bond 4.750% due 10/29/2013	Sell	0.230	%	3/20/2010		50,000		233
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.875% due 06/15/2010	Buy	(2.310	%)	6/20/2010		40,000		(227	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.760	%	3/20/2011		10,000		804
Lehman Brothers, Inc.	Residential Capital LLC 6.000% due 02/22/2011	Buy	(0.580	%)	3/20/2011		10,000		74
Lehman Brothers, Inc.	Anadarko Finance Co. 6.750% due 05/01/2011	Buy	(0.260	%)	6/20/2011		10,600		15
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.050	%	6/20/2011		10,000		910
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.430	%	10/20/2011		25,000		608
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		2,500		21
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.140	%	11/20/2011		50,000		472
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011		44,300		262
Lehman Brothers, Inc.	International Lease Finance Corp. 5.400% due 02/15/2012	Buy	(0.170	%)	3/20/2012		20,000		(24	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.720	%	5/20/2013		30,000		868
Lehman Brothers, Inc.	Miller Brewing Co. 5.500% due 08/15/2013	Buy	(0.400	%)	9/20/2013		15,000		0
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	9/20/2014		35,000		(39	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.920	%	3/20/2016		25,000		834
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.980	%	3/20/2016		6,900		260
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	3/20/2016		41,200		934
Lehman Brothers, Inc.	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.715	%)	6/20/2016		10,000		(39	)
Lehman Brothers, Inc.	PMI Group, Inc. 6.000% due 09/15/2016	Buy	(0.420	%)	9/20/2016		15,000		4
Lehman Brothers, Inc.	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.340	%)	12/20/2016		20,000		1
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.500	%	6/20/2007		4,000		84
Merrill Lynch & Co., Inc.	ORIX Corp. 5.480% due 11/22/2011	Buy	(0.280	%)	12/20/2011		20,000		(26	)
Merrill Lynch & Co., Inc.	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.290	%)	6/20/2012		5,000		(26	)
Merrill Lynch & Co., Inc.	MDC Holdings, Inc. 7.000% due 12/01/2012	Buy	(1.350	%)	12/20/2012		10,500		(263	)
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.710	%	5/20/2013		15,000		426
Merrill Lynch & Co., Inc.	Exelon Corp. 4.900% due 06/15/2015	Buy	(0.520	%)	6/20/2015		10,000		(58	)
Merrill Lynch & Co., Inc.	Dominion Resources, Inc. 5.200% due 01/15/2016	Buy	(0.430	%)	3/20/2016		15,000		(75	)
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	4/20/2016		300		10
Merrill Lynch & Co., Inc.	Health Care Properties, Inc. 6.300% due 09/15/2016	Buy	(0.650	%)	9/20/2016		13,500		14
Merrill Lynch & Co., Inc.	Bank of America Corp. floating rate based on 3-Month USD-LIBOR plus 0.260% due 10/14/2016	Buy	(0.170	%)	12/20/2016		5,000		2
Morgan Stanley	Freddie Mac 5.500% due 07/15/2006	Sell	0.215	%	2/26/2007		103,300		58
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.550	%	6/20/2007		7,300		156
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	6/20/2007		18,900		423
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.460	%	6/20/2007		41,800		55
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.200	%	9/20/2007		5,900		75
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.250	%	9/20/2007		10,400		136
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.750	%	12/20/2007		10,000		116
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.260	%	12/20/2007		58,000		8
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.480	%	12/20/2007		47,800		(58	)
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.305	%	12/20/2008		43,000		9
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	3/20/2011		10,000		800
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.500	%	6/20/2011		20,000		1,417
Morgan Stanley	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	6/20/2011		5,200		(28	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.140	%	11/20/2011		50,000		472
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.870	%	11/20/2011		50,000		335
Morgan Stanley	AmerisourceBergen Corp. 5.625% due 09/15/2012	Buy	(0.600	%)	9/20/2012		10,000		(32	)
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	9/20/2012		5,000		(12	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.660	%	3/20/2013		47,000		1,368
Morgan Stanley	Kroger Co. 5.500% due 02/01/2013	Buy	(0.530	%)	3/20/2013		5,000		(24	)
Morgan Stanley	Wyeth 5.500% due 03/15/2013	Buy	(0.150	%)	3/20/2013		10,000		(14	)
Morgan Stanley	Masco Corp. 7.125% due 08/15/2013	Buy	(0.680	%)	9/20/2013		10,800		(31	)
Morgan Stanley	Toll Brothers Finance Corp. 5.950% due 09/15/2013	Buy	(1.390	%)	9/20/2013		9,800		(237	)
Morgan Stanley	iStar Financial, Inc. 5.950% due 10/15/2013	Buy	(0.600	%)	12/20/2013		10,000		(40	)
Morgan Stanley	Plains All American Pipeline LP 5.625% due 12/15/2013	Buy	(0.550	%)	12/20/2013		10,000		(22	)
Morgan Stanley	Comcast Corp. 5.300% due 01/15/2014	Buy	(0.360	%)	3/20/2014		11,500		19
Morgan Stanley	PPL Energy Supply LLC 5.700% due 10/15/2015	Buy	(0.600	%)	12/20/2015		5,000		(56	)
Morgan Stanley	Russia Government International Bond, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.780	%	3/20/2016		22,400		275
Morgan Stanley	Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.380	%)	6/20/2016		9,600		(31	)
Royal Bank of Canada	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.330	%	12/20/2011		50,000		386
Royal Bank of Scotland Group PLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	0.600	%	6/20/2007		50,000		90
Royal Bank of Scotland Group PLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	0.850	%	6/20/2007		20,000		55
Royal Bank of Scotland Group PLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.750	%	12/20/2007		40,000		462
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.310	%	12/20/2007		4,800		5
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.390	%	12/20/2008		33,000		(5	)
Royal Bank of Scotland Group PLC	Landsbanki Islands Hf floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	9/20/2009		18,000		(28	)
Royal Bank of Scotland Group PLC	WellPoint, Inc. 5.000% due 1/15/2011	Buy	(0.165	%)	3/20/2011		11,000		(12	)
Royal Bank of Scotland Group PLC	General Motors Acceptance Corp. 6.000% due 04/01/2011	Buy	(1.250	%)	6/20/2011		15,000		(204	)
Royal Bank of Scotland Group PLC	CVS Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	9/20/2011		6,200		(1	)
Royal Bank of Scotland Group PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.480	%)	9/20/2011		10,000		(2	)
Royal Bank of Scotland Group PLC	Landsbanki Islands Hf 6.100% due 08/25/2011	Buy	(0.395	%)	9/20/2011		10,300		(6	)
Royal Bank of Scotland Group PLC	Simon Property Group LP 5.600% due 09/01/2011	Buy	(0.220	%)	9/20/2011		5,100		(15	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.310	%	12/20/2011		44,300		303
Royal Bank of Scotland Group PLC	NiSource Finance Corp. 6.150% due 03/01/2013	Buy	(0.540	%)	3/20/2013		12,400		(59	)
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.810	%)	12/20/2015		10,000		(95	)
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016		15,000		25
Royal Bank of Scotland Group PLC	Time Warner, Inc. 5.875% due 11/15/2016	Buy	(0.700	%)	12/20/2016		12,000		(48	)
UBS AG	Ford Motor Corp. 7.450% due 07/16/2031	Sell	5.650	%	3/20/2007		40,000		594
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.150	%	6/20/2007		10,000		142
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.800	%	6/20/2007		10,000		227
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.900	%	6/20/2007		6,000		139
UBS AG	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	0.850	%	6/20/2007		20,000		55
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		5,000		71
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.720	%	9/20/2007		25,000		417
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.900	%	12/20/2007		20,000		66
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.750	%	12/20/2007		30,000		347
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.800	%	12/20/2007		20,000		241
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.350	%	12/20/2010		10,000		1,001
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	3/20/2011		5,000		400
UBS AG	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.500	%)	6/20/2011		10,000		(36	)
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.470	%	6/20/2011		25,000		1,744
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.800	%	6/20/2011		25,000		2,046
UBS AG	Capital One Financial Corp. 5.700% due 09/15/2011	Buy	(0.350	%)	9/20/2011		10,000		(57	)
UBS AG	Bank of America Corp. floating rate based on 3-Month USD-LIBOR plus 0.260% due 10/14/2016	Buy	(0.170	%)	12/20/2016		35,000		12
								$	40,458

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	285,300	$	(760	)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	12.860	%	1/4/2010	BRL	7,100		(15	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010		203,900		887
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	14.370	%	1/4/2010		193,200		3,468
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	1/4/2010		427,800		1,143
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027	CAD	51,800		(834	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027		128,100		(1,580	)
Barclays Bank PLC	5-year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	50,700		899
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		65,400		1,050
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		58,500		1,134
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007	GBP	702,200		(9,239	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/16/2011		1,930		(77	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		92,900		(310	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		160,800		7,011
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		1,774,100		(32,747	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	9/20/2009		325,000		(11,047	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		111,000		4,483
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	9/20/2009		130,500		(4,430	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Pay	4.500	%	9/20/2009		154,700		(5,275	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		54,200		(61	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		230,200		10,067
UBS AG	6-Month GBP-LIBOR	Pay	4.500	%	9/20/2009		250,000		(8,544	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	2.000	%	12/15/2016	JPY	24,000,000		916
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		99,169,000		(1,232	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.500	%	12/20/2026		36,740,000		(1,563	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		51,874,000		1,969
Morgan Stanley	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		11,200,000		22
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		36,474,000		1,326
UBS AG	6-Month JPY-LIBOR	Pay	1.000	%	3/19/2008		679,100,000		16
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016	MXN	190,000		1,080
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		814,300		3,318
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016		371,900		748
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		488,500		1,754
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	9/12/2016		483,200		3,288
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037	$	190,000		(2,645	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		2,037,500		(6,804	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/20/2026		4,100		227
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		75,000		(1,629	)
Citibank N.A.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		235,000		(5,810	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		1,205,100		(29,793	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		175,000		(3,796	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		585,500		(4,859	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		455,500		(9,894	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		895,300		(6,697	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	0.000	%	6/20/2037		160,000		(1,301	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		976,500		(21,721	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		1,181,200		(3,898	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	12/20/2026		38,700		2,128
								$	(129,627	)

(m) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar June Futures	$	91.000	6/18/2007	6,511	$	62	$	0
Put - CME 90-Day Eurodollar June Futures		91.250	6/18/2007	68,157		647		0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	70,330		668		1
Put - CME 90-Day Eurodollar March Futures		92.250	3/19/2007	11,030		105		0
Put - CME 90-Day Eurodollar March Futures		94.125	3/19/2007	27		0		0
Put - CME 90-Day Eurodollar September Futures		90.250	9/17/2007	25,000		238		0
Put - CME 90-Day Eurodollar September Futures		90.500	9/17/2007	33,374		317		0
Put - CME 90-Day Eurodollar September Futures		90.750	9/17/2007	40,000		380		0
Put - CME 90-Day Eurodollar September Futures		91.000	9/17/2007	42,501		404		0
					$	2,821	$	1

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007	EUR	815,000	$	3,751	$	1,321
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007		3,827,000		21,655		6,204
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.100	%	7/2/2007		1,849,000		10,304		5,370
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007		1,748,000		8,450		2,834
Call - OTC 2-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007	GBP	402,300		1,862		336
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		258,700		1,475		216
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.058	%	6/15/2007		638,000		2,890		470
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	5,915,000		21,885		17,665
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	8/8/2007		2,331,000		9,493		6,587
Call - OTC 2-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		1,786,000		6,965		2,520
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		1,150,000		4,956		5,353
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		1,022,000		4,088		1,442
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	8/8/2007		2,744,000		6,131		2,437
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		1,414,000		6,618		1,995
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	3/26/2007		16,100,000		22,460		2,964
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		3,781,400		12,715		11,322
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		5,237,800		22,837		24,382
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/23/2007		4,417,000		19,324		21,877
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		4,539,700		19,975		26,634
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		4,463,000		21,422		43,037
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		4,943,000		12,036		3,663
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		2,337,600		9,672		4,763
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		4,800,000		12,480		4,731
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		11,981,000		63,009		76,055
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.370	%	7/2/2007		6,289,700		24,247		49,494
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	10/25/2007		3,342,000		13,452		15,313
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.170	%	2/1/2007		2,358,000		6,072		4,341
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		877,000		3,227		5,145
									$	373,451	$	348,471

Straddle Options

Description	Counterparty		Exercise Price(2)	Expiration Date		Notional Amount		Cost(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Bank of America	$	0.000		$	280,000	$	0	$	(3,828	)

⁽²⁾ Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(n) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	30,122	$	12,552	$	2,353
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	30,122		6,384		15,532
Put - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	2,922		1,598		730
Put - CME 90-Day Eurodollar March Futures		95.250	3/19/2007	1,324		1,237		1,887
					$	21,771	$	20,502

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007	EUR	310,000	$	3,714	$	2,405
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007		1,625,000		21,903		12,604
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.230	%	7/2/2007		785,000		10,124		9,210
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007		741,000		8,366		5,748
Call - OTC 8-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	114,800		1,859		553
Put - OTC 1-Year Interest Rate Swap	HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2006		1,774,100		8,656		32,596
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		73,500		1,467		354
Call - OTC 8-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		183,000		2,902		881
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	2,574,000		21,107		20,935
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	8/8/2007		1,013,000		8,914		7,341
Call - OTC 5-Year Interest Rate Swap	Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		768,000		7,296		3,535
Call - OTC 5-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		500,000		5,119		7,150
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		439,000		4,236		2,021
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	8/8/2007		450,000		6,131		3,245
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		609,000		6,779		2,803
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.850	%	3/26/2007		3,500,000		23,187		9,076
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		1,643,900		12,989		17,767
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		2,291,500		23,638		32,768
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.300	%	5/23/2007		1,884,000		18,840		26,913
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		1,974,000		20,076		31,545
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		1,940,000		21,437		49,076
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.750	%	7/2/2007		1,084,000		11,116		4,526
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		1,063,900		11,490		7,631
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		1,015,100		10,608		8,256
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		5,207,000		62,925		91,602
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.500	%	7/2/2007		2,062,300		23,765		55,076
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.010	%	10/25/2007		1,457,000		13,413		16,226
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.240	%	2/1/2007		1,020,700		6,277		8,424
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.325	%	6/7/2007		383,000		3,256		5,943
									$	381,590	$	476,210

Straddle Options

Description	Counterparty		Exercise Price(3)	Expiration Date		Notional Amount		Premium(3)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.	$	0.000		$	280,000	$	0	$	(3,066	)

⁽³⁾ Exercise price and final premium determined on a future date, based upon implied volatility parameters.

(o) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
DLJ Mortgage Acceptance Corp.	3.844	%	8/1/2021	7/21/1992	$	584	$	564	0.00	%
Goldman Sachs Group, Inc.	6.000	%	12/31/2007	6/24/1993		2,036		2,006	0.00	%
Mazda Manufacturing Corp.	10.500	%	7/1/2008	8/30/1993		506		488	0.00	%
Mazda Motor Corp.	10.500	%	7/1/2008	3/14/2003		57		53	0.00	%
Southbridge, Massachusetts Associates LLC Revenue Bonds, (MBIA Insured), Series 2000	7.590	%	2/1/2022	10/10/2000		30,613		36,338	0.04	%
United Airlines, Inc.	11.080	%	5/27/2024	12/28/2001		825		1,314	0.00	%
United Telecom, Inc.	6.890	%	7/1/2008	9/22/2003		712		699	0.00	%
United Telephone Co. of the Northwest	6.890	%	7/1/2008	5/2/2002		2,705		2,756	0.00	%
Wilmington Trust Corp.	10.500	%	7/1/2008	3/14/2003		177		172	0.00	%
					$	38,215	$	44,390	0.04	%

(p) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	126,998	01/2007	$	1,482	$	0		$	1,482
Buy	BRL	246,475	01/2007		497		(793	)		(296	)
Buy		561,785	05/2007		2,385		0			2,385
Buy		576,953	06/2007		4,428		0			4,428
Buy	CAD	1,775	01/2007		0		(13	)		(13	)
Sell		225,933	01/2007		2,144		0			2,144
Buy	CNY	742,913	03/2007		66		(9	)		57
Buy		1,383	04/2007		0		0			0
Buy		138,303	09/2007		415		0			415
Buy		1,094,415	10/2007		3,059		0			3,059
Buy		1,057,589	11/2007		1,686		0			1,686
Buy	EUR	15,207	01/2007		0		(52	)		(52	)
Sell		33,839	01/2007		176		(98	)		78
Sell		1,302,553	02/2007		0		(13,761	)		(13,761	)
Buy	GBP	53,000	01/2007		0		(298	)		(298	)
Sell		190,705	01/2007		434		(1,676	)		(1,242	)
Buy	INR	730,634	02/2007		814		0			814
Buy		1,199,042	03/2007		978		0			978
Buy		756,651	05/2007		153		0			153
Sell	JPY	150,275,079	01/2007		10,884		(314	)		10,570
Buy		193,000,000	02/2007		0		(21,809	)		(21,809	)
Sell		27,667,957	02/2007		2,752		0			2,752
Buy	KRW	135,929,358	01/2007		2,930		0			2,930
Buy		87,138,958	02/2007		2,293		0			2,293
Buy		75,083,968	03/2007		717		(88	)		629
Buy		133,131,382	05/2007		1,387		0			1,387
Buy	MXN	1,086,100	01/2007		455		0			455
Buy		2,055,719	04/2007		251		(92	)		159
Sell	NZD	58,583	01/2007		0		(2,150	)		(2,150	)
Buy	PHP	3,225,296	03/2007		0		(362	)		(362	)
Buy	PLN	189,434	04/2007		15		(521	)		(506	)
Buy	RUB	995,618	01/2007		459		0			459
Buy		3,404,488	03/2007		1,420		0			1,420
Buy		3,960,174	09/2007		0		(314	)		(314	)
Buy		2,927,959	11/2007		0		(146	)		(146	)
Buy		2,615,252	12/2007		55		(262	)		(207	)
Buy	SGD	450,287	01/2007		4,438		0			4,438
Sell		15,471	01/2007		0		(52	)		(52	)
Buy		55,939	03/2007		658		0			658
Buy		15,471	04/2007		51		0			51
Buy		198,508	07/2007		154		0			154
Buy	TWD	4,729,958	01/2007		2,369		0			2,369
Buy		4,059,747	02/2007		344		(1,068	)		(724	)
Buy		311,248	03/2007		14		0			14
				$	50,363	$	(43,878	)	$	6,485

See accompanying notes

Schedule of Investments

Total Return Fund II

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 15.1%
Banking & Finance 12.0%
American Express Bank FSB
5.410% due 10/20/2009	$	4,600	$	4,603
American Express Centurion Bank
5.350% due 05/07/2008		4,100		4,102
American Express Credit Corp.
5.410% due 11/09/2009		6,600		6,604
American General Finance Corp.
5.406% due 03/23/2007		1,600		1,600
American International Group, Inc.
5.050% due 10/01/2015		1,000		974
5.400% due 06/16/2009		4,800		4,835
Bank of America Corp.
5.378% due 11/06/2009		2,700		2,702
Bank of America N.A.
5.377% due 07/25/2008		7,700		7,707
6.000% due 10/15/2036		1,600		1,653
Bear Stearns Cos., Inc.
5.465% due 08/21/2009		10,000		10,017
5.676% due 01/30/2009		4,900		4,925
Citigroup Funding, Inc.
5.342% due 12/08/2008		6,800		6,802
Citigroup, Inc.
5.392% due 12/28/2009		4,800		4,803
5.406% due 12/26/2008		12,100		12,114
General Electric Capital Corp.
5.410% due 03/04/2008		1,500		1,502
5.410% due 10/26/2009		17,000		17,007
5.444% due 01/20/2010		4,500		4,510
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		100		100
5.455% due 12/22/2008		5,000		5,008
5.455% due 11/16/2009		11,400		11,412
Goldman Sachs Group LP
6.094% due 01/20/2009		5,000		5,056
HSBC Finance Corp.
5.420% due 10/21/2009		3,000		3,003
JPMorgan Chase & Co.
5.400% due 06/26/2009		3,300		3,304
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/29/2036		800		829
KBC Bank Funding Trust III
9.860% due 11/29/2049		12,000		13,359
Lehman Brothers Holdings, Inc.
5.415% due 12/23/2008		800		800
5.464% due 01/23/2009		6,100		6,111
5.475% due 11/16/2009		14,700		14,711
Merrill Lynch & Co., Inc.
5.395% due 12/22/2008		3,700		3,701
5.414% due 10/23/2008		5,000		5,003
5.450% due 12/04/2009		4,800		4,803
5.464% due 08/14/2009		8,100		8,109
MetLife, Inc.
6.400% due 12/15/2036		1,500		1,512
Morgan Stanley
5.390% due 11/21/2008		3,300		3,302
SLM Corp.
5.517% due 07/27/2009		2,900		2,907
UBS Preferred Funding Trust I
8.622% due 10/29/2049		19,700		21,779
USB Capital IX
6.189% due 04/15/2049		700		715
Wachovia Corp.
5.426% due 10/28/2008		6,100		6,110
5.506% due 10/15/2011		13,600		13,626
5.625% due 10/15/2016		1,300		1,314
Wells Fargo & Co.
4.625% due 08/09/2010		25,000		24,554
				257,588
Industrials 2.6%
Comcast Corp.
5.875% due 02/15/2018		1,100		1,091
6.450% due 03/15/2037		1,100		1,104
Continental Airlines, Inc.
7.056% due 09/15/2009		1,600		1,645
Cox Communications, Inc.
5.875% due 12/01/2016		700		696
DaimlerChrysler N.A. Holding Corp.
5.600% due 03/07/2007		15,900		15,903
El Paso Corp.
6.750% due 05/15/2009		16,700		17,138
General Electric Co.
5.393% due 12/09/2008		5,500		5,506
Home Depot, Inc.
5.250% due 12/16/2013		500		497
Time Warner, Inc.
5.500% due 11/15/2011		8,100		8,088
Tyson Foods, Inc.
6.850% due 04/01/2016		400		413
United Airlines, Inc.
6.071% due 09/01/2014		413		416
9.190% due 12/24/2013 (a)		7,156		3,256
Viacom, Inc.
5.750% due 04/30/2011		600		601
				56,354
Utilities 0.5%
AT&T, Inc.
4.214% due 06/05/2021		6,000		5,983
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		2,900		2,976
Sprint Capital Corp.
6.125% due 11/15/2008		1,200		1,215
Sprint Nextel Corp.
6.000% due 12/01/2016		800		781
				10,955
Total Corporate Bonds & Notes (Cost $322,697)				324,897
MUNICIPAL BONDS & NOTES 1.1%
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2043		2,000		2,166
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
6.250% due 06/01/2033		6,020		6,736
6.625% due 06/01/2040		5,300		6,041
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		990		986
Miami, Florida Rent Revenue Bonds, Series 1989
8.650% due 07/01/2019		170		201
Nevada State Truckee Meadows Water Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 07/01/2036 (g)		200		212
7.798% due 07/01/2036		866		1,021
New Jersey State Economic Development Authority Revenue Bonds, (AMBAC Insured), Series 1997
0.000% due 02/15/2008		1,000		944
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
5.750% due 06/01/2032		2,935		3,147
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		3,200		3,265
Total Municipal Bonds & Notes (Cost $21,511)				24,719
U.S. GOVERNMENT AGENCIES 55.9%
Fannie Mae
4.648% due 10/01/2035		8,239		8,218
4.677% due 05/25/2035		1,000		988
4.820% due 09/01/2034		1,167		1,160
4.899% due 01/01/2035		2,882		2,870
5.000% due 12/01/2016 - 09/01/2035		293,936		288,711
5.410% due 12/25/2036		2,782		2,788
5.500% due 11/01/2013 - 01/01/2037		766,181		757,953
5.958% due 07/01/2044		1,577		1,589
6.000% due 05/01/2017 - 02/01/2037		61,180		61,655
6.158% due 09/01/2040		4,663		4,749
6.500% due 07/01/2013 - 06/25/2044		2,215		2,260
6.625% due 03/01/2024		3		3
6.723% due 12/01/2023		67		69
6.773% due 07/01/2020		124		125
6.807% due 02/01/2023		102		103
7.000% due 04/01/2011 - 09/25/2020		72		74
7.168% due 01/01/2024		44		45
7.232% due 04/01/2024		87		88
7.500% due 04/01/2008		2		2
8.000% due 04/01/2015 - 10/01/2030		14		15
8.500% due 01/01/2007 - 04/01/2017		2		2
9.000% due 06/01/2010 - 06/25/2018		17		18
9.250% due 07/25/2019		208		225
9.500% due 09/01/2009		2		2
10.000% due 11/01/2021		6		7
11.000% due 09/01/2010		21		22
13.750% due 11/01/2011 - 10/01/2012		4		5
Federal Home Loan Bank
0.000% due 02/05/2007		2,000		1,965
Federal Housing Administration
8.955% due 05/01/2019		79		80
Freddie Mac
5.000% due 11/01/2018 - 12/01/2031		5,901		5,806
5.363% due 02/01/2023		48		49
5.500% due 06/12/2008 - 01/01/2018		29,808		29,811
5.958% due 02/25/2045		934		933
6.000% due 02/01/2016 - 01/01/2037		11,193		11,297
6.500% due 12/01/2010		26		26
7.000% due 03/01/2007 - 07/15/2022		1,746		1,748
7.004% due 12/01/2022		373		375
7.209% due 07/01/2030		113		116
7.500% due 01/15/2023 - 01/01/2026		3,877		3,997
8.000% due 11/01/2025 - 06/15/2030		2,211		2,257
9.000% due 12/15/2020		93		97
9.250% due 11/15/2019		3		3
9.500% due 02/01/2011 - 02/01/2018		13		14
10.000% due 06/01/2011 - 03/01/2021		14		15
Government National Mortgage Association
5.125% due 12/20/2029		1,309		1,329
5.375% due 06/20/2023 - 06/20/2027		2,695		2,724
5.500% due 07/20/2030		130		130
5.750% due 09/20/2024 - 08/20/2027		1,940		1,967
6.000% due 01/15/2024 - 10/15/2031		173		176
7.500% due 09/15/2014 - 09/15/2025		30		31
8.000% due 07/15/2010 - 08/15/2024		94		99
9.000% due 09/15/2008 - 11/15/2017		38		40
9.500% due 01/20/2019 - 12/15/2021		14		16
Small Business Administration
7.449% due 08/01/2010		562		587
7.970% due 01/25/2025		118		118
Total U.S. Government Agencies (Cost $1,214,764)				1,199,552
U.S. TREASURY OBLIGATIONS 9.1%
Treasury Inflation Protected Securities (d)
2.000% due 01/15/2026		16,779		15,785
2.375% due 01/15/2025		6,532		6,505
3.375% due 01/15/2007 (h)		12,739		12,721
3.375% due 04/15/2032		2,274		2,748
3.625% due 04/15/2028		499		603
U.S. Treasury Notes
4.625% due 12/31/2011		96,500		96,164
4.750% due 12/31/2008		61,700		61,647
Total U.S. Treasury Obligations (Cost $196,502)				196,173
MORTGAGE-BACKED SECURITIES 3.5%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		3,346		3,291
Banc of America Funding Corp.
4.114% due 05/25/2035		4,686		4,580
Bear Stearns Adjustable Rate Mortgage Trust
5.056% due 04/25/2033		2,175		2,180
Bear Stearns Alt-A Trust
5.390% due 05/25/2035		7,539		7,553
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		6,348		6,359
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		1,440		1,420
Countrywide Alternative Loan Trust
5.530% due 02/20/2047		4,297		4,312
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		1,786		1,772
5.500% due 01/25/2046 (b)		4,000		4,007
CS First Boston Mortgage Securities Corp.
6.067% due 06/25/2032		460		459
DLJ Acceptance Trust
11.000% due 08/01/2019		18		19
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		5,265		5,270
5.430% due 01/25/2047		4,600		4,600
Guaranteed Mortgage Corp. III GNMA-CMB
9.300% due 07/20/2019		53		57
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		4,301		4,305
Indymac ARM Trust
6.713% due 01/25/2032		62		62
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		5,393		5,397
Nationslink Funding Corp.
5.700% due 11/10/2030		296		297
Prime Mortgage Trust
5.750% due 02/25/2019		327		327
5.750% due 02/25/2034		1,506		1,511
Structured Asset Mortgage Investments, Inc.
5.680% due 09/19/2032		1,107		1,108
Structured Asset Securities Corp.
6.100% due 02/25/2032		152		151
7.213% due 01/25/2032		212		211
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		4,462		4,461
Washington Mutual, Inc.
5.114% due 10/25/2032		915		911
5.640% due 10/25/2045		1,858		1,861
6.027% due 11/25/2042		1,341		1,347
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		6,556		6,482
Total Mortgage-Backed Securities (Cost $74,442)				74,310
ASSET-BACKED SECURITIES 5.2%
ACE Securities Corp.
5.370% due 12/25/2036		3,349		3,351
American Express Credit Account Master Trust
5.460% due 12/15/2009		6,400		6,407
Amortizing Residential Collateral Trust
5.620% due 06/25/2032		1,313		1,314
Argent Securities, Inc.
5.420% due 04/25/2036		2,037		2,038
Asset-Backed Funding Certificates
5.380% due 11/25/2036		4,389		4,392
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		4,144		4,146
Bear Stearns Asset-Backed Securities, Inc.
5.800% due 03/25/2043		1,277		1,280
Capital One Auto Finance Trust
5.340% due 12/14/2007		3,600		3,603
Chase Credit Card Master Trust
5.460% due 02/15/2011		6,600		6,619
Chase Issuance Trust
5.340% due 07/15/2011		7,200		7,210
Countrywide Asset-Backed Certificates
5.370% due 05/25/2037		6,047		6,051
EMC Mortgage Loan Trust
5.720% due 05/25/2040		3,091		3,101
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		6,898		6,902
Fremont Home Loan Trust
5.410% due 01/25/2037		3,700		3,698
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		2,662		2,657
JPMorgan Mortgage Acquisition Corp.
5.370% due 07/25/2036		9,632		9,638
Lehman XS Trust
5.420% due 05/25/2046		2,506		2,507
Long Beach Mortgage Loan Trust
5.630% due 10/25/2034		1,080		1,081
MBNA Credit Card Master Note Trust
5.450% due 12/15/2011		12,280		12,321
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		4,441		4,444
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		2,589		2,589
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		4,494		4,496
Option One Mortgage Loan Trust
5.360% due 02/25/2037		9,857		9,862
Structured Asset Securities Corp.
5.450% due 07/25/2035		1,683		1,685
5.610% due 01/25/2033		237		238
Total Asset-Backed Securities (Cost $111,539)				111,630
		Shares
PREFERRED STOCKS 0.8%
DG Funding Trust
7.614% due 12/31/2049		1,568		16,523
Total Preferred Stocks (Cost $16,522)				16,523
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 26.4%
Certificates of Deposit 2.8%
Citibank New York N.A.
5.325% due 01/30/2007	$	60,000		60,000
Commercial Paper 10.2%
Bank of America Corp.
5.225% due 03/01/2007		7,600		7,537
5.225% due 03/27/2007		400		395
5.235% due 03/09/2007		40,000		39,592
5.235% due 03/13/2007		5,800		5,737
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		5,000		4,874
Fannie Mae
5.060% due 04/11/2007		4,600		4,531
5.064% due 01/17/2007		5,200		5,190
5.108% due 03/13/2007		2,700		2,671
5.119% due 04/09/2007		700		690
5.130% due 03/07/2007		21,700		21,485
5.139% due 01/10/2007		9,400		9,391
5.140% due 02/21/2007		1,100		1,092
5.141% due 01/03/2007		200		200
5.142% due 03/30/2007		11,290		11,141
5.160% due 02/22/2007		9,900		9,829
5.200% due 01/31/2007		700		697
5.227% due 01/10/2007		1,600		1,598
5.239% due 01/24/2007		6,800		6,780
5.286% due 01/03/2007		5,500		5,500
Federal Home Loan Bank
5.085% due 01/17/2007		500		499
5.140% due 02/23/2007		300		298
5.170% due 01/03/2007		5,000		5,000
5.280% due 02/23/2007		300		298
Freddie Mac
5.095% due 01/16/2007		200		200
5.125% due 01/24/2007		500		498
5.125% due 01/30/2007		500		498
5.140% due 02/27/2007		1,500		1,488
5.140% due 03/09/2007		38,700		38,305
5.268% due 01/16/2007		400		399
5.272% due 01/09/2007		200		200
General Electric Capital Corp.
5.230% due 01/18/2007		2,400		2,395
5.240% due 02/08/2007		26,900		26,759
Viacom, Inc.
5.594% due 05/29/2007		3,000		3,000
				218,767
Repurchase Agreements 12.4%
Credit Suisse Securities (USA) LLC
4.800% due 01/02/2007		189,300		189,300
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.875% due 01/15/2009 valued at $194,377. Repurchase proceeds are $189,401.)
Lehman Brothers, Inc.
4.850% due 01/02/2007		77,000		77,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 2.375% due 01/15/2025 valued at $78,835. Repurchase proceeds are $77,041.)
				266,300
Tri-Party Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 01/02/2007		6,265		6,265
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $6,394. Repurchase proceeds are $6,268.)
U.S. Treasury Bills 0.7%
4.811% due 03/01/2007 - 03/15/2007 (c)(e)(h)		15,205		15,042
Total Short-Term Instruments (Cost $566,504)				566,374
Purchased Options (j) 0.4% (Cost $6,772)				7,535
Total Investments (f) 117.5% (Cost $2,531,253)			$	2,521,713
Written Options (k) (0.5%) (Premiums $7,204)				(9,694	)
Other Assets and Liabilities (Net) (17.0%)				(366,405	)
Net Assets 100.0%			$	2,145,614

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

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

(a) Security is in default.

(b) When-issued security.

(c) Coupon represents a weighted average rate.

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

(e) Securities with an aggregate market value of $1,978 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(f) As of December 31, 2006, portfolio securities with an aggregate value of $188,047 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Residual Interest Bonds Held in Trust - Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Fund acquired the residual interest certificates. These securities serve as collateral in a financing transaction.

(h) Securities with an aggregate market value of $25,538 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	5,493	$	(1,133	)
90-Day Eurodollar June Futures	Long	06/2007	2,765		(2,351	)
90-Day Eurodollar March Futures	Long	03/2007	1,509		(2,097	)
90-Day Eurodollar March Futures	Long	03/2008	1,262		(705	)
90-Day Eurodollar September Futures	Long	09/2007	5,914		(2,708	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	971		(1,013	)
U.S. Treasury 30-Year Bond March Futures	Long	03/2007	89		(202	)
				$	(10,209	)

(i) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.760	%	6/20/2007	$	3,400	$	60
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	3/20/2008		1,700		1
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.670	%	6/20/2007		1,500		18
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	6/20/2007		5,000		102
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.450	%	6/20/2007		2,000		31
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.600	%	6/20/2007		6,100		101
								$	313

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009	$	85,600	$	(286	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		2,100		(52	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		25,300		(210	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		49,900		(373	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		19,700		(487	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		85,400		(282	)
								$	(1,690	)

(j) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar June Futures	$	91.000	6/18/2007	2,565	$	24	$	0
Put - CME 90-Day Eurodollar June Futures		91.250	6/18/2007	1,695		16		0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	987		10		0
Put - CME 90-Day Eurodollar September Futures		90.750	9/17/2007	875		8		0
Put - CME 90-Day Eurodollar September Futures		91.000	9/17/2007	280		3		0
					$	61	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	129,000	$	477	$	385
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	8/8/2007		51,000		208		144
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		63,000		252		89
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	8/8/2007		59,000		132		52
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		33,000		154		47
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		80,500		271		241
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		113,100		493		526
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/23/2007		96,000		420		475
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		99,000		436		581
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		94,000		451		906
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		105,000		256		78
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		64,000		265		130
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		100,000		260		99
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		259,000		1,362		1,644
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.370	%	7/2/2007		204,300		787		1,608
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	10/25/2007		72,000		290		330
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.170	%	2/1/2007		50,800		131		94
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		18,000		66		106
									$	6,711	$	7,535

(k) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	633	$	264	$	50
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	633		135		326
Put - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	72		39		18
Put - CME 90-Day Eurodollar March Futures		95.250	3/19/2007	94		88		134
					$	526	$	528

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	56,000	$	459	$	456
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	8/8/2007		22,000		194		159
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		27,000		261		124
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	8/8/2007		10,000		136		72
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		14,000		156		65
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		35,000		277		378
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		49,500		511		708
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.300	%	5/23/2007		41,000		410		586
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		43,000		437		687
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		41,000		453		1,037
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.750	%	7/2/2007		23,000		236		96
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		22,900		247		164
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		27,500		287		224
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		112,000		1,354		1,970
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.500	%	7/2/2007		67,000		772		1,789
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.010	%	10/25/2007		31,000		285		345
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.240	%	2/1/2007		22,000		135		182
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.325	%	6/7/2007		8,000		68		124
									$	6,678	$	9,166

Schedule of Investments

Total Return Fund III

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.5%
Idearc, Inc.
7.320% due 11/09/2014	$	8,600	$	8,653
Total Bank Loan Obligations (Cost $8,600)				8,653
CORPORATE BONDS & NOTES 17.5%
Banking & Finance 15.6%
American Express Bank FSB
5.410% due 10/20/2009		4,000		4,003
American Express Centurion Bank
5.350% due 05/07/2008		3,600		3,602
American Express Credit Corp.
5.410% due 11/09/2009		5,700		5,704
American General Finance Corp.
5.406% due 03/23/2007		900		900
American International Group, Inc.
5.050% due 10/01/2015		400		390
ANZ National International Ltd.
5.415% due 08/07/2009		4,400		4,399
Bank of America Corp.
5.375% due 06/19/2009		18,300		18,322
Bear Stearns Cos., Inc.
5.465% due 08/21/2009		2,700		2,704
5.676% due 01/30/2009		4,300		4,322
C10 Capital SPV Ltd.
6.722% due 12/01/2049		2,500		2,503
Calabash Re II Ltd.
13.746% due 01/08/2010 (a)		4,800		4,803
CIT Group, Inc.
5.515% due 12/19/2008		2,600		2,607
Citigroup Global Markets Holdings, Inc.
5.461% due 03/17/2009		3,900		3,906
Citigroup, Inc.
5.406% due 12/26/2008		10,700		10,712
5.416% due 01/30/2009		4,300		4,304
6.125% due 08/25/2036		9,800		10,240
DnB NORBank ASA
5.443% due 10/13/2009		3,300		3,301
Export-Import Bank of China
4.875% due 07/21/2015		500		484
Export-Import Bank of Korea
7.100% due 03/15/2007		50		50
Ford Motor Credit Co.
7.250% due 10/25/2011		600		588
General Electric Capital Corp.
5.410% due 03/04/2008		900		901
5.410% due 01/05/2009		10,500		10,512
5.430% due 10/06/2010		5,000		5,005
5.444% due 01/20/2010		6,800		6,815
GMAC LLC
6.000% due 12/15/2011		600		598
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		300		300
5.455% due 12/22/2008		5,750		5,760
5.455% due 11/16/2009		5,000		5,005
5.704% due 07/23/2009		7,900		7,956
HBOS PLC
5.920% due 09/29/2049		700		688
HBOS Treasury Services PLC
5.414% due 07/17/2009		6,500		6,509
HSBC Bank USA N.A.
5.493% due 06/10/2009		4,500		4,518
HSBC Capital Funding LP		1,200		1,353
9.547% due 12/29/2049
HSBC Finance Corp.		2,600		2,602
5.420% due 10/21/2009
HSBC Holdings PLC		3,800		4,102
6.500% due 05/02/2036
International Lease Finance Corp.		9,426		9,359
3.125% due 05/03/2007
JPMorgan Chase & Co.		2,900		2,903
5.400% due 06/26/2009
JPMorgan Mortgage Acquisition Corp.		700		725
6.550% due 09/29/2036
KBC Bank Funding Trust III		2,100		2,338
9.860% due 11/29/2049
Lehman Brothers Holdings, Inc.		2,300		2,304
5.460% due 04/03/2009		11,000		11,008
5.475% due 11/16/2009		3,000		3,009
5.594% due 07/18/2011		2,500		2,512
5.624% due 11/10/2009
Merrill Lynch & Co., Inc.		6,300		6,302
5.395% due 12/22/2008		4,400		4,403
5.414% due 10/23/2008		4,300		4,303
5.450% due 12/04/2009		3,800		3,804
5.464% due 08/14/2009
Morgan Stanley		110		105
4.750% due 04/01/2014		2,900		2,901
5.390% due 11/21/2008
MUFG Capital Finance 1 Ltd.		600		610
6.346% due 07/29/2049
Nordea Bank Sweden AB		500		543
8.950% due 11/29/2049
Petroleum Export Ltd.		534		522
5.265% due 06/15/2011
Phoenix Quake Ltd.		600		605
7.820% due 07/03/2008
Phoenix Quake Wind Ltd.		600		603
7.820% due 07/03/2008
Phoenix Quake Wind II Ltd.		300		276
8.870% due 07/03/2008
Prudential Holdings LLC		265		325
8.695% due 12/18/2023
Resona Bank Ltd.		800		783
5.850% due 09/29/2049
Royal Bank of Scotland Group PLC		2,900		2,903
5.424% due 07/21/2008		3,800		4,475
7.648% due 08/29/2049
Santander U.S. Debt S.A. Unipersonal		18,800		18,833
5.425% due 09/19/2008
SMFG Preferred Capital USD 1 Ltd.		1,700		1,687
6.078% due 01/29/2049
Societe Generale NY		3,000		3,000
5.258% due 06/11/2007		12,700		12,694
5.299% due 06/30/2008
Sumitomo Mitsui Banking Corp.		5,800		5,679
5.625% due 07/29/2049
Unicredit Luxembourg Finance S.A.		18,400		18,409
5.426% due 10/24/2008
USB Capital IX		600		613
6.189% due 04/15/2049
VTB Capital S.A. for Vneshtorgbank		3,500		3,506
5.970% due 08/01/2008
Wachovia Bank N.A.		3,900		3,904
5.356% due 06/27/2008
Wachovia Corp.
5.506% due 10/15/2011		14,600		14,628
Westpac Banking Corp.
5.310% due 06/06/2008		2,300		2,301
World Financial Properties
6.950% due 09/01/2013		176		185
				303,528
Industrials 1.6%
CODELCO, Inc.
6.150% due 10/24/2036		400		411
Comcast Corp.
5.875% due 02/15/2018		1,000		991
6.450% due 03/15/2037		1,000		1,004
DaimlerChrysler N.A. Holding Corp.
5.820% due 08/03/2009		3,900		3,909
El Paso Corp.
9.625% due 05/15/2012		1,000		1,140
Gaz Capital for Gazprom
6.212% due 11/22/2016		700		707
HJ Heinz Co.
6.428% due 12/01/2008		700		713
Home Depot, Inc.
5.250% due 12/16/2013		400		398
Marathon Oil Corp.
5.375% due 06/01/2007		200		200
Pemex Project Funding Master Trust
5.750% due 12/15/2015		1,400		1,392
7.375% due 12/15/2014		500		552
9.125% due 10/13/2010		65		73
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028		8,400		8,911
Transocean, Inc.
5.566% due 09/05/2008		3,900		3,904
Tyson Foods, Inc.
6.850% due 04/01/2016		400		413
United Airlines, Inc.
6.071% due 09/01/2014		236		237
Vale Overseas Ltd.
6.250% due 01/23/2017		700		707
6.875% due 11/21/2036		700		721
Williams Cos., Inc.
6.375% due 10/01/2010		4,600		4,652
				31,035
Utilities 0.3%
Deutsche Telekom International Finance BV
8.000% due 06/15/2010		150		163
FPL Group Capital, Inc.
4.086% due 02/16/2007		135		135
Peabody Energy Corp.
7.375% due 11/01/2016		1,600		1,712
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		1,196		1,227
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		1,600		1,541
Sprint Capital Corp.
6.125% due 11/15/2008		800		810
				5,588
Total Corporate Bonds & Notes (Cost $338,248)				340,151
MUNICIPAL BONDS & NOTES 0.1%
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2005
4.750% due 01/01/2035		300		310
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		2,200		2,245
Total Municipal Bonds & Notes (Cost $2,430)				2,555
U.S. GOVERNMENT AGENCIES 48.1%
Fannie Mae
3.072% due 07/01/2034		85		85
4.176% due 03/01/2033		206		207
4.500% due 09/01/2034		157		148
4.565% due 07/01/2035		9,277		9,244
4.595% due 08/01/2035		10,130		10,058
4.677% due 05/25/2035		800		790
4.820% due 09/01/2034		913		908
4.864% due 01/01/2035		1,495		1,489
5.000% due 10/01/2017 - 08/01/2035		120,237		118,097
5.500% due 05/01/2013 - 01/01/2037		686,533		679,166
5.865% due 02/01/2031		7		7
5.958% due 07/01/2044		1,345		1,355
6.000% due 10/01/2016 - 02/01/2037		46,606		46,944
6.500% due 01/01/2011 - 06/25/2044		1,670		1,710
7.000% due 03/01/2013 - 10/01/2031		72		74
7.500% due 05/01/2011 - 02/01/2027		311		324
8.250% due 07/01/2017		1		1
9.000% due 06/01/2025		1		1
12.500% due 06/15/2015		6		6
Federal Home Loan Bank
0.000% due 02/05/2007		1,200		1,179
Federal Housing Administration
7.430% due 01/25/2023		698		703
Freddie Mac
5.000% due 12/01/2017 - 09/01/2035		3,658		3,577
5.500% due 06/12/2008 - 11/01/2032		4,612		4,608
5.573% due 04/01/2033		37		38
5.677% due 08/15/2032		1,079		1,080
5.958% due 02/25/2045		758		757
6.000% due 02/01/2016 - 01/01/2037		4,751		4,790
6.500% due 05/01/2016 - 05/15/2032		33,737		34,662
7.000% due 11/01/2011 - 07/01/2029		2,634		2,730
7.004% due 12/01/2022		60		60
7.209% due 07/01/2030		29		29
7.500% due 07/01/2011 - 09/01/2025		51		53
8.000% due 01/01/2012		11		11
Government National Mortgage Association
4.750% due 02/20/2032		2,397		2,396
5.125% due 10/20/2024 - 12/20/2026		441		447
5.375% due 06/20/2022 - 01/20/2026		899		908
5.750% due 09/20/2023 - 08/20/2027		467		472
5.950% due 02/16/2030		173		175
6.000% due 01/15/2029 - 05/20/2034		593		602
6.500% due 05/15/2032 - 06/15/2032		61		63
7.000% due 12/15/2011 - 02/20/2032		80		82
10.250% due 02/15/2017		491		511
Small Business Administration
5.130% due 09/01/2023		883		882
5.520% due 06/01/2024		5,691		5,774
7.449% due 08/01/2010		229		239
Total U.S. Government Agencies (Cost $947,454)				937,442
U.S. TREASURY OBLIGATIONS 5.6%
Treasury Inflation Protected Securities (c)
2.000% due 01/15/2026		15,050		14,159
2.375% due 01/15/2025		11,136		11,090
3.375% due 01/15/2007 (f)		1,529		1,527
3.625% due 04/15/2028		3,120		3,768
U.S. Treasury Notes
4.625% due 12/31/2011		61,700		61,485
4.750% due 12/31/2008		17,300		17,285
Total U.S. Treasury Obligations (Cost $109,952)				109,314
MORTGAGE-BACKED SECURITIES 4.8%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		2,633		2,590
Banc of America Funding Corp.
4.114% due 05/25/2035		3,177		3,105
Banc of America Mortgage Securities
6.500% due 09/25/2033		366		370
Bear Stearns Adjustable Rate Mortgage Trust
4.636% due 01/25/2034		2,390		2,384
5.328% due 02/25/2033		393		392
5.625% due 02/25/2033		259		258
Bear Stearns Alt-A Trust
5.390% due 05/25/2035		4,720		4,729
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		4,730		4,738
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		1,170		1,153
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		3,989		4,041
Countrywide Alternative Loan Trust
5.530% due 02/20/2047		3,797		3,810
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		1,446		1,435
5.500% due 01/25/2046 (a)		3,400		3,406
CS First Boston Mortgage Securities Corp.
5.570% due 11/15/2019		3,282		3,284
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		4,570		4,574
5.430% due 01/25/2047		4,200		4,200
Harborview Mortgage Loan Trust
5.440% due 12/19/2036		9,285		9,301
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		3,714		3,718
Indymac ARM Trust
6.713% due 01/25/2032		30		30
Indymac Index Mortgage Loan Trust
5.191% due 01/25/2036		6,119		6,163
5.440% due 11/25/2046		3,362		3,374
Lehman Brothers Floating Rate Commercial
Mortgage Trust
5.430% due 09/15/2021		4,091		4,094
Mellon Residential Funding Corp.
5.830% due 06/15/2030		4,081		4,081
Prime Mortgage Trust
5.750% due 02/25/2019		187		187
5.750% due 02/25/2034		778		781
Structured Asset Securities Corp.
5.345% due 10/25/2035		4,848		4,842
6.100% due 02/25/2032		71		71
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		3,966		3,965
Washington Mutual, Inc.
5.114% due 10/25/2032		432		430
5.640% due 10/25/2045		1,473		1,476
6.027% due 11/25/2042		1,166		1,171
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		5,372		5,312
Total Mortgage-Backed Securities (Cost $93,502)				93,465
ASSET-BACKED SECURITIES 3.8%
Asset-Backed Funding Certificates
5.380% due 11/25/2036		2,926		2,928
5.380% due 01/25/2037		3,832		3,835
Asset-Backed Securities Corp. Home Equity
5.625% due 09/25/2034		2,861		2,861
Bear Stearns Asset-Backed Securities, Inc.
5.800% due 03/25/2043		553		554
Capital One Auto Finance Trust
5.340% due 12/14/2007		3,200		3,203
Citibank Credit Card Issuance Trust
6.875% due 11/16/2009		240		243
Countrywide Asset-Backed Certificates
5.830% due 12/25/2031		587		587
First Franklin Mortgage Loan
Asset-Backed Certificates
5.370% due 11/25/2036		6,023		6,027
Fremont Home Loan Trust
5.410% due 01/25/2037		3,300		3,298
HSI Asset Securitization Corp. Trust
5.400% due 12/25/2036		2,366		2,362
JPMorgan Mortgage Acquisition Corp.
5.370% due 07/25/2036		8,532		8,536
5.370% due 08/25/2036		2,438		2,440
Lehman XS Trust
5.420% due 05/25/2046		2,220		2,221
Long Beach Mortgage Loan Trust
5.630% due 10/25/2034		986		987
MBNA Master Credit Card Trust USA
5.900% due 08/15/2011		300		306
7.800% due 10/15/2012		200		217
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		2,206		2,205
5.380% due 06/25/2036		5,474		5,478
Navistar Financial Corp. Owner Trust
2.590% due 03/15/2011		472		460
Newcastle Mortgage Securities Trust
5.420% due 03/25/2036		5,172		5,177
Residential Asset Securities Corp.
5.420% due 11/25/2036		4,891		4,894
Structured Asset Securities Corp.
5.370% due 10/25/2036		5,474		5,478
5.450% due 07/25/2035		1,468		1,470
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		3,100		3,104
5.470% due 12/25/2035		5,168		5,171
Total Asset-Backed Securities (Cost $74,055)				74,042
SOVEREIGN ISSUES 0.3%
Chile Government International Bond
5.500% due 01/15/2013		200		202
China Development Bank
5.000% due 10/15/2015		600		585
Mexico Government International Bond
9.875% due 02/01/2010		200		227
		Shares
Mexico Government International Bond Rights
0.000% due 06/30/2007		17,950,000		260
		Principal Amount (000s)
Panama Government International Bond
8.875% due 09/30/2027	$	900		1,148
9.375% due 07/23/2012		1,050		1,236
9.625% due 02/08/2011		2,388		2,734
Total Sovereign Issues (Cost $5,393)				6,392
FOREIGN CURRENCY-DENOMINATED ISSUES 1.0%
HBOS PLC
4.875% due 03/29/2049	EUR	7,480		9,978
JSG Holding PLC
5.800% due 01/12/2014		108		144
5.971% due 11/29/2014		396		529
6.062% due 01/12/2014		163		216
6.157% due 01/12/2014		43		57
6.350% due 01/12/2014		80		106
6.686% due 01/12/2014		211		282
KBC Bank Funding Trust I
6.875% due 06/29/2049		3,000		4,189
Province of Quebec Canada
5.000% due 12/01/2038	CAD	3,800		3,422
Total Foreign Currency-Denominated Issues (Cost $18,053)				18,923
		Shares
PREFERRED STOCKS 0.9%
Centaur Funding Corp.
9.080% due 04/21/2020		125		146
DG Funding Trust
7.614% due 12/31/2049		1,065		11,223
Northern Rock PLC
8.000% due 12/31/2049		260,000		6,510
Total Preferred Stocks (Cost $17,965)				17,879
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 29.6%
Certificates Of Deposit 3.6%
Barclays Bank PLC
5.265% due 01/29/2007	$	17,700		17,700
BNP Paribas
5.292% due 05/28/2008		3,100		3,101
Fortis Bank
5.265% due 04/28/2008		8,200		8,202
Fortis Funding LLC
5.320% due 01/03/2007		26,700		26,700
Nordea Bank Finland
5.308% due 05/28/2008		2,900		2,901
Societe Generale NY
5.225% due 03/01/2007		1,000		992
5.230% due 02/09/2007		3,000		2,984
5.270% due 01/02/2007		3,400		3,400
Unicredito Italiano NY
5.370% due 05/29/2008		4,100		4,101
				70,081
Commercial Paper 21.8%
Abbey National N.A. LLC
5.200% due 04/02/2007		38,300		37,776
Bank of America Corp.
5.200% due 04/02/2007		21,900		21,601
5.225% due 03/01/2007		17,200		17,058
Bank of Ireland
5.225% due 03/29/2007		4,000		3,948
Barclays U.S. Funding Corp.
5.250% due 01/17/2007		37,400		37,324
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		13,400		13,063
Danske Corp.
5.225% due 03/12/2007		55,000		54,415
IXIS Commercial Paper Corp.
5.300% due 01/18/2007		53,000		52,883
Rabobank USA Financial Corp.
5.280% due 01/02/2007		53,600		53,600
Skandinaviska Enskilda Banken AB
5.220% due 03/06/2007		3,800		3,763
5.235% due 02/26/2007		52,100		51,691
5.250% due 01/26/2007		2,400		2,392
Stadshypoket Delaware, Inc.
5.255% due 01/30/2007		1,900		1,892
Statens Bostadsfin Bank
5.255% due 01/29/2007		1,200		1,195
UBS Finance Delaware LLC
5.185% due 04/02/2007		800		789
5.225% due 03/08/2007		28,200		27,916
5.245% due 01/08/2007		28,300		28,279
Westpac Capital Corp.
5.240% due 01/03/2007		4,100		4,100
5.245% due 01/17/2007		10,800		10,778
Westpac Trust Securities NZ Ltd.
5.250% due 02/06/2007		1,000		995
				425,458
Repurchase Agreements 3.2%
Lehman Brothers, Inc.
4.850% due 01/02/2007		62,000		62,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 1.875% due 07/15/2013 valued at $63,382. Repurchase proceeds are $62,033.)
Tri-party Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 01/02/2007		5,517		5,517
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $5,632. Repurchase proceeds are $5,520.)
U.S. Treasury Bills 0.7%
4.802% due 03/01/2007 - 03/15/2007 (b)(d)(f)		14,455		14,295
Total Short-Term Instruments (Cost $577,477)				577,351
Purchased Options (h) 0.4% (Cost $6,839)				6,964
Total Investments (e) 112.6% (Cost $2,199,968)			$	2,193,131
Written Options (i) (0.5%) (Premiums $7,198)				(9,123	)
Other Assets and Liabilities (Net) (12.1%)				(235,633	)
Net Assets 100.0%			$	1,948,375

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

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

(d) Securities with an aggregate market value of $2,225 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(e) As of December 31, 2006, portfolio securities with an aggregate value of $124,100 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $12,608 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	294	$	(304	)
90-Day Euribor June Futures	Long	06/2007	405		(275	)
90-Day Euribor June Futures	Long	06/2008	40		(28	)
90-Day Euribor March Futures	Long	03/2008	81		(59	)
90-Day Euribor September Futures	Long	09/2007	535		(504	)
90-Day Eurodollar December Futures	Long	12/2007	5,085		(1,301	)
90-Day Eurodollar June Futures	Long	06/2007	2,106		(1,437	)
90-Day Eurodollar March Futures	Long	03/2007	698		(1,056	)
90-Day Eurodollar March Futures	Long	03/2008	1,037		(557	)
90-Day Eurodollar September Futures	Long	09/2007	5,092		(2,275	)
90-Day Euroyen December Futures	Long	12/2007	49		(1	)
90-Day Euroyen September Futures	Long	09/2007	62		(3	)
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 119.000	Short	03/2007	66		6
Euro-Bund 10-Year Note March Futures Call Options Strike @ EUR 120.000	Short	03/2007	185		25
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 114.500	Short	03/2007	26		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 115.000	Short	03/2007	26		0
Euro-Bund 10-Year Note March Futures Put Options Strike @ EUR 116.000	Short	03/2007	251		(144	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	219		(113	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2007	73		(43	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	37		(27	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	48		(33	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	155		(77	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	52		(40	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	362		(362	)
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	163		326
				$	(8,282	)

(g) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	9/20/2007	JPY	145,000	$	9
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008	$	3,000		(3	)
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.830	%	7/20/2011		1,000		14
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.320	%	9/20/2007		2,500		34
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		1,500		6
Deutsche Bank AG	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.260	%	12/20/2007		3,000		0
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		3,200		46
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	3/20/2008		1,500		1
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.670	%	6/20/2007		1,000		12
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	6/20/2007		1,100		24
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	3/20/2016		100		2
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		2,700		11
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		1,300		0
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.430	%	7/20/2011		1,400		51
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011		800		5
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	3/20/2016		400		9
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.460	%	6/20/2007		900		1
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.305	%	12/20/2008		4,000		1
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.310	%	12/20/2011		800		5
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.350	%	6/20/2007		1,000		15
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.600	%	6/20/2007		3,900		64
								$	307

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	6/20/2009	AUD	5,400	$	(14	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	1/4/2010	BRL	3,400		15
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	14.370	%	1/4/2010		3,700		66
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	1/4/2010		8,200		22
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027	CAD	1,300		(21	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Pay	4.500	%	6/15/2027		2,100		(25	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	1,800		29
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		10,300		172
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	6/18/2034		9,300		460
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,200		23
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035	GBP	2,000		(7	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,800		72
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		35,400		(655	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		2,100		85
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		800		(1	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		4,400		192
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016	JPY	4,473,000		(20	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.500	%	12/20/2026		670,000		(24	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		1,014,000		54
Morgan Stanley	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		200,000		(2	)
Royal Bank of Scotland Group PLC	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		675,000		35
UBS AG	6-Month JPY-LIBOR	Pay	1.000	%	3/19/2008		12,800,000		0
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/4/2016	MXN	7,000		14
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		8,400		29
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	9/12/2016		9,200		63
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009	$	53,400		(178	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		8,500		(210	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		6,400		(139	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		30,800		(761	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		200		(1	)
								$	(727	)

(h) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar June Futures	$	91.000	6/18/2007	1,224	$	12	$	0
Put - CME 90-Day Eurodollar June Futures		91.250	6/18/2007	970		9		0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	58		0		0
Put - CME 90-Day Eurodollar March Futures		92.250	3/19/2007	150		1		0
Put - CME 90-Day Eurodollar September Futures		90.500	9/17/2007	300		3		0
Put - CME 90-Day Eurodollar September Futures		90.750	9/17/2007	711		7		0
Put - CME 90-Day Eurodollar September Futures		91.000	9/17/2007	195		2		0
					$	34	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007	EUR	16,000	$	74	$	26
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007		54,000		308		88
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.100	%	7/2/2007		37,000		206		107
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Pay	3.960	%	7/2/2007		35,000		169		57
Call - OTC 2-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007	GBP	7,500		35		6
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		4,900		28		4
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.058	%	6/15/2007		12,000		54		9
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	112,000		414		335
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	8/8/2007		46,000		187		130
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		51,000		204		72
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	8/8/2007		52,000		116		46
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	3/8/2007		26,000		122		37
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		62,100		209		186
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007		100,800		439		469
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/23/2007		86,000		376		426
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		87,000		383		510
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		86,000		413		829
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		91,000		222		67
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		50,000		207		102
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	7/2/2007		90,000		234		89
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		239,000		1,257		1,517
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.370	%	7/2/2007		186,500		719		1,468
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	10/25/2007		63,000		253		289
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.170	%	2/1/2007		45,300		117		83
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		16,000		59		94
									$	6,805	$	7,046

Straddle Options

Description	Counterparty		Exercise Price	(2)	Expiration Date		Notional Amount		Cost	(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Bank of America	$	0.000		1/17/2007	$	6,000	$	0		$	(82	)

⁽²⁾ Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(i) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	557	$	233	$	44
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	557		118		287
Put - CME 90-Day Eurodollar March Futures		95.250	3/19/2007	74		69		105
					$	420	$	436

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007		EUR 6,000	$	72	$	47
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007		23,000		314		178
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.230	%	7/2/2007		16,000		206		188
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Receive	4.100	%	7/2/2007		15,000		169		116
Call - OTC 8-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		GBP 2,100		34		10
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		1,400		28		7
Call - OTC 8-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		3,000		48		14
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	49,000		402		398
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	8/8/2007		20,000		176		145
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		22,000		212		101
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	8/8/2007		9,000		123		65
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.040	%	3/8/2007		11,000		122		51
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		27,000		213		292
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007		44,100		455		631
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.300	%	5/23/2007		37,000		370		529
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		38,000		386		607
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		37,000		409		936
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.750	%	7/2/2007		20,000		205		83
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	7/2/2007		20,100		217		144
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		21,500		225		175
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		104,000		1,257		1,830
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.500	%	7/2/2007		61,200		705		1,634
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.010	%	10/25/2007		27,000		249		301
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.240	%	2/1/2007		19,600		121		162
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.325	%	6/7/2007		7,000		60		109
									$	6,778	$	8,753

Straddle Options

Description	Counterparty		Exercise Price	(3)	Expiration Date		Notional Amount		Premium	(3)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.	$	0.000		1/17/2007	$	6,000	$	0		$	(66	)

⁽³⁾ Exercise price and final premium determined on a future date, based upon implied volatility parameters.

(j) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	2,626	01/2007	$	12	$	0		$	12
Sell		1,903	01/2007		0		(8	)		(8	)
Buy		7,012	05/2007		24		0			24
Buy		4,329	06/2007		31		0			31
Buy	CAD	6,397	01/2007		0		(173	)		(173	)
Sell		10,051	01/2007		171		0			171
Buy	CLP	177,894	02/2007		3		0			3
Buy		234,969	05/2007		0		(5	)		(5	)
Buy	CNY	14,525	03/2007		3		0			3
Buy		192	09/2007		1		0			1
Buy		19,210	11/2007		31		0			31
Buy	EUR	41,880	01/2007		571		0			571
Sell		57,203	01/2007		135		(550	)		(415	)
Sell	GBP	1,176	01/2007		6		(5	)		1
Buy	INR	10,566	03/2007		9		0			9
Buy		13,391	05/2007		3		0			3
Sell	JPY	2,067,942	01/2007		62		(8	)		54
Buy		2,194,985	02/2007		0		(259	)		(259	)
Sell		173,064	02/2007		17		0			17
Buy	KRW	794,421	02/2007		18		0			18
Buy		493,800	03/2007		0		(1	)		(1	)
Buy		2,572,963	05/2007		27		0			27
Buy	MXN	3,372	01/2007		8		0			8
Buy		15,536	04/2007		10		0			10
Buy	PHP	82,083	03/2007		0		(9	)		(9	)
Buy	PLN	1,892	04/2007		22		0			22
Buy	RUB	9,142	01/2007		4		0			4
Buy		58,354	03/2007		24		0			24
Buy		2,937	09/2007		0		(1	)		(1	)
Buy		22,378	11/2007		0		(1	)		(1	)
Buy		89,657	12/2007		0		(8	)		(8	)
Buy	SGD	1,914	01/2007		17		0			17
Sell		316	01/2007		0		(1	)		(1	)
Buy		517	03/2007		9		0			9
Buy		316	04/2007		1		0			1
Buy		5,053	07/2007		4		0			4
Buy	TWD	22,011	02/2007		0		(7	)		(7	)
Buy		6,352	03/2007		0		0			0
Buy	ZAR	1,525	06/2007		1		0			1
				$	1,224	$	(1,036	)	$	188

See accompanying notes

Schedule of Investments

Total Return Mortgage Fund

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
U.S. GOVERNMENT AGENCIES 119.2%
Fannie Mae
0.000% due 04/25/2009 - 07/25/2022 (a)	$	171	$	153
4.500% due 02/01/2020 - 08/01/2020		35,671		34,443
5.000% due 06/01/2018 - 01/01/2037		133,870		130,651
5.246% due 10/25/2008		37		36
5.338% due 05/01/2023		33		33
5.500% due 01/01/2022 - 01/01/2037		101,209		100,237
5.700% due 11/25/2032		113		114
5.750% due 01/01/2021 - 04/18/2028		26		26
5.850% due 03/25/2032 - 07/25/2034		6,604		6,624
5.858% due 12/01/2034		1,476		1,497
5.957% due 08/01/2042		608		614
5.958% due 08/01/2042 - 10/01/2044		2,914		2,938
6.000% due 10/01/2032 - 02/01/2037		101,848		102,535
6.270% due 04/01/2007		1,559		1,559
6.313% due 07/01/2011		2,166		2,158
6.375% due 04/25/2023		5		5
6.500% due 09/25/2023 - 01/01/2037		20,009		20,404
6.554% due 05/01/2033		1,254		1,262
7.000% due 09/25/2023		4		4
7.302% due 10/01/2028		14		14
7.375% due 11/01/2018		5		5
7.500% due 06/01/2030 - 08/01/2031		245		255
7.750% due 08/25/2022		41		43
Federal Home Loan Bank
0.000% due 02/27/2012		2,000		1,853
Federal Housing Administration
5.022% due 10/25/2022		508		511
7.430% due 06/01/2019		325		328
Freddie Mac
3.500% due 12/15/2022		2		2
4.500% due 04/01/2020 - 03/15/2021		38		37
5.000% due 09/01/2035 - 01/01/2037		39,547		38,163
5.500% due 12/01/2017 - 02/01/2035		6,135		6,131
5.527% due 02/01/2018		82		82
5.701% due 11/01/2028		10		10
5.921% due 08/01/2025		16		16
5.958% due 10/25/2044 - 02/25/2045		7,460		7,492
6.000% due 11/01/2036 - 12/01/2036		19,001		19,147
6.276% due 05/01/2032		32		33
6.433% due 07/01/2030		45		46
6.500% due 12/15/2023 - 10/01/2036		12,109		12,336
8.000% due 06/15/2026		29		30
Government National Mortgage Association
4.500% due 08/20/2033		1,340		1,258
5.125% due 12/20/2021 - 11/20/2023		29		30
5.375% due 02/20/2017 - 03/20/2027		53		53
5.500% due 02/20/2018 - 01/01/2037		21,481		21,401
5.550% due 02/16/2032		582		583
5.600% due 08/16/2032		1,740		1,745
5.625% due 03/20/2016 - 03/20/2018		108		109
5.750% due 07/20/2022 - 08/20/2026		70		71
6.000% due 08/15/2036 - 01/01/2037		18,711		18,977
6.500% due 11/15/2028 - 01/01/2037		4,142		4,249
7.500% due 05/15/2027 - 08/15/2027		10		10
Total U.S. Government Agencies (Cost $541,819)				540,313
MORTGAGE-BACKED SECURITIES 10.9%
Banc of America Structural Security Trust
5.850% due 10/11/2033		910		917
Banktrust Mortgage Trust
5.700% due 12/01/2023		150		150
CC Mortgage Funding Corp.
5.630% due 01/25/2035		355		356
Countrywide Alternative Loan Trust
5.530% due 05/25/2035		2,297		2,300
Countrywide Home Loan Mortgage Pass-Through Trust
5.000% due 08/25/2033		774		767
5.640% due 04/25/2035		1,788		1,794
5.670% due 03/25/2035		3,734		3,746
6.133% due 04/25/2035		2,710		2,736
CS First Boston Mortgage Securities Corp.
5.601% due 03/25/2032		89		89
5.900% due 08/25/2033		183		183
Harborview Mortgage Loan Trust
5.570% due 05/19/2047		4,577		4,590
5.660% due 11/19/2035		3,117		3,127
Indymac Index Mortgage Loan Trust
5.590% due 04/25/2035		3,628		3,639
5.670% due 02/25/2035		2,780		2,795
5.680% due 09/25/2034		1,455		1,458
LB-UBS Commercial Mortgage Trust
2.720% due 03/15/2027		1,473		1,441
Mellon Residential Funding Corp.
6.406% due 07/25/2029		23		23
MLCC Mortgage Investors, Inc.
5.730% due 03/15/2025		56		56
Morgan Stanley Capital I
5.500% due 04/25/2017		53		53
Prime Mortgage Trust
5.000% due 02/25/2019		700		682
Residential Asset Mortgage Products, Inc.
8.500% due 10/25/2031		723		754
Sequoia Mortgage Trust
5.700% due 10/19/2026		604		605
5.700% due 07/20/2033		480		481
5.730% due 10/20/2027		199		200
Structured Adjustable Rate Mortgage Loan Trust
6.227% due 05/25/2035		3,120		3,157
Structured Asset Mortgage Investments, Inc.
5.680% due 09/19/2032		255		256
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		2,928		2,930
Washington Mutual, Inc.
5.590% due 12/25/2045		4,437		4,452
5.620% due 12/25/2027		3,018		3,019
5.827% due 02/25/2046		2,612		2,631
Total Mortgage-Backed Securities (Cost $49,292)				49,387
ASSET-BACKED SECURITIES 6.4%
ACE Securities Corp.
5.400% due 06/25/2036		2,241		2,243
Amortizing Residential Collateral Trust
5.640% due 07/25/2032		25		25
5.700% due 10/25/2031		34		34
Argent Securities, Inc.
5.430% due 01/25/2036		748		748
5.430% due 03/25/2036		1,176		1,177
Bear Stearns Asset-Backed Securities, Inc.
5.620% due 09/25/2035		1,992		1,993
5.640% due 02/25/2026		102		102
Centex Home Equity
5.460% due 10/25/2035		214		214
5.650% due 01/25/2032		56		56
CIT Group Home Equity Loan Trust
5.620% due 06/25/2033		97		98
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		2,300		1,922
Credit-Based Asset Servicing & Securitization LLC
5.530% due 01/25/2035		884		898
EMC Mortgage Loan Trust
6.100% due 08/25/2040		368		374
Fremont Home Loan Trust
5.440% due 01/25/2036		520		520
GSR Mortgage Loan Trust
5.450% due 11/25/2030		2,479		2,481
HFC Home Equity Loan Asset-Backed Certificates
5.700% due 09/20/2033		2,370		2,379
Home Equity Asset Trust
5.650% due 11/25/2032		3		3
Indymac Residential Asset-Backed Trust
5.450% due 03/25/2036		1,912		1,914
Long Beach Mortgage Loan Trust
5.440% due 01/25/2036		2,324		2,326
Quest Trust
5.910% due 06/25/2034		169		170
Renaissance Home Equity Loan Trust
5.730% due 12/25/2032		87		87
5.790% due 08/25/2033		486		488
Residential Asset Mortgage Products, Inc.
5.450% due 05/25/2035		152		152
Securitized Asset-Backed Receivables LLC Trust
5.470% due 01/25/2036		137		137
Soundview Home Equity Loan Trust
5.420% due 02/25/2036		435		436
Specialty Underwriting & Residential Finance
5.690% due 01/25/2034		35		35
Structured Asset Securities Corp.
5.610% due 01/25/2033		43		43
Wells Fargo Home Equity Trust
5.590% due 10/25/2035		4,000		4,008
5.600% due 12/25/2035		4,000		4,011
Total Asset-Backed Securities (Cost $29,026)				29,074
SHORT-TERM INSTRUMENTS 5.5%
Commercial Paper 3.7%
Societe Generale NY
5.200% due 04/02/2007		2,300		2,269
UBS Finance Delaware LLC
5.280% due 01/02/2007		14,300		14,300
				16,569
Repurchase Agreements 1.6%
Lehman Brothers, Inc.
4.850% due 01/02/2007		2,000		2,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.625% due 04/15/2028 valued at $2,049. Repurchase proceeds are $2,001.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		5,363		5,363
(Dated 12/29/2006. Collateralized by Fannie Mae 5.750% due 02/15/2008 valued at $5,472. Repurchase proceeds are $5,366.)
				7,363
U.S. Treasury Bills 0.2%
4.798% due 03/15/2007 (b)(d)		825		816
Total Short-Term Instruments (Cost $24,751)				24,748
Purchased Options (f) 0.0% (Cost $190)				2
Total Investments (c) 142.0% (Cost $645,078)			$	643,524
Written Options (g) (0.0%) (Premiums $190)				(6	)
Other Assets and Liabilities (Net) (42.0%)				(190,283	)
Net Assets 100.0%			$	453,235

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

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

(a) Principal only security.

(b) Coupon represents a weighted average rate.

(c) As of December 31, 2006, portfolio securities with an aggregate value of $14,363 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $816 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	150	$	11
90-Day Eurodollar June Futures	Long	06/2007	324		(162	)
90-Day Eurodollar March Futures	Long	03/2007	258		(184	)
90-Day Eurodollar September Futures	Long	09/2007	258		(61	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	145		(175	)
				$	(571	)

(e) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Camber floating rate based on 3-Month USD-LIBOR plus 1.330% due 07/12/2043	Buy	(1.400	%)	6/28/2046	$	2,000	$	(20	)
Barclays Bank PLC	Camber floating rate based on 3-Month USD-LIBOR plus 3.250% due 07/12/2043	Buy	(3.300	%)	6/28/2046		2,000		4
JPMorgan Chase & Co.	TABS Ltd. floating rate based on 1-Month USD-LIBOR plus 1.450% due 10/08/2046	Buy	(1.650	%)	10/8/2046		3,000		(4	)
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 2.000% due 06/25/2038	Buy	(2.500	%)	6/25/2038		1,500		80
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800	%)	6/25/2046		1,500		27
								$	87

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will generally receive from the seller of protection an amount up to the notional amount of the swap.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	21,900		461
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2014	9,800		(85	)
Lehman Brothers, Inc.	3-Month USD-LIBOR with 6.940% interest rate cap	Receive	Premium amount of $119		7/1/2011	3,000		(108	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2014	13,900		(121	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	32,000		732
							$	879

Total Return Swaps

Counterparty	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation
Morgan Stanley	Interest and paydown on FCCA Secured Lending Corp. 8.180% due 09/18/2027	Premium amount of $900	9/18/2027	3,000,000	$	731

(f) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar March Futures	$	92.000	3/19/2007	491	$	5	$	0

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Cost

Value

Call - OTC 2-Year Interest Rate Swap

Wachovia Bank N.A.

3-Month USD-LIBOR

Pay

4.730

%

2/1/2007

$

54,000

$

185

$

2

(g) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call -OTC5-Year Interest Rate Swap

Wachovia Bank N.A.

3-Month USD-LIBOR

Receive

4.780

%

2/1/2007

$

23,200

$

190

$

6

(h) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	4.500	%	1/1/2022	$	6,000	$	5,823	$	5,788
Fannie Mae	5.500	%	1/1/2037		6,000		5,987		5,931
Fannie Mae	5.500	%	2/1/2037		24,000		23,880		23,715
						$	35,690	$	35,434

Schedule of Investments

Asset-Backed Securities Portfolio

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 2.8%
CVS Lease Pass-Through
5.880% due 01/10/2028	$	1,960	$	1,961
General Electric Capital Corp.
5.401% due 03/16/2009		3,000		3,003
General Motors Acceptance Corp.
6.225% due 03/20/2007		2,000		2,000
Masco Corp.
5.875% due 07/15/2012		5,000		5,011
Preferred Term Securities XII
5.911% due 03/24/2034		2,250		2,259
Total Corporate Bonds & Notes (Cost $14,167)				14,234
U.S. GOVERNMENT AGENCIES 34.5%
Fannie Mae
0.000% due 09/25/2008 (c)		167		160
3.144% due 08/01/2033		350		342
3.445% due 10/01/2033		729		705
3.500% due 09/01/2033		453		445
3.961% due 05/01/2033		491		483
3.973% due 07/01/2034		328		329
4.000% due 07/25/2033 - 11/25/2033		967		932
4.010% due 04/01/2033		161		159
4.017% due 07/01/2033		409		402
4.088% due 05/01/2034		286		282
4.090% due 09/01/2033		192		188
4.095% due 02/01/2035		143		140
4.108% due 05/01/2033		902		891
4.125% due 07/09/2012		100		96
4.215% due 09/01/2033		213		210
4.250% due 03/25/2033 - 05/25/2033		766		738
4.255% due 05/01/2036		2,080		2,051
4.301% due 01/01/2033		282		276
4.348% due 03/01/2035		1,538		1,511
4.400% due 09/01/2035		1,537		1,523
4.467% due 04/01/2035 - 06/01/2035		1,281		1,262
4.497% due 01/01/2035		1,121		1,103
4.500% due 07/02/2018 - 09/25/2018		168		157
4.504% due 01/01/2033		477		477
4.510% due 03/01/2035		101		100
4.607% due 07/01/2034		96		96
4.661% due 07/01/2033		96		96
4.677% due 05/25/2035 (g)		2,000		1,975
4.715% due 03/01/2035		234		228
4.741% due 10/01/2033		154		156
4.755% due 01/01/2015		42		42
4.824% due 02/01/2035		198		196
4.851% due 07/01/2035 (g)		5,438		5,423
4.868% due 01/01/2035		147		147
4.869% due 05/01/2036		1,636		1,629
4.879% due 09/01/2035		2,791		2,744
4.890% due 10/01/2018		1,148		1,154
4.919% due 06/01/2033		242		239
4.978% due 02/01/2035		1,536		1,528
5.000% due 09/25/2014 - 11/25/2032		9,184		8,996
5.047% due 07/01/2035		1,455		1,446
5.053% due 07/01/2035		209		208
5.065% due 09/01/2033		58		59
5.119% due 05/01/2033		245		250
5.125% due 05/01/2015		58		58
5.146% due 10/25/2007 - 09/25/2008		92		92
5.179% due 01/01/2017		34		34
5.191% due 10/01/2017		39		39
5.192% due 03/01/2036		698		699
5.197% due 10/01/2016		21		21
5.199% due 01/01/2029		32		33
5.208% due 05/01/2017		72		72
5.214% due 12/01/2017		45		45
5.216% due 12/01/2014		30		30
5.227% due 09/01/2015		51		51
5.238% due 10/01/2028		61		62
5.246% due 10/25/2008		132		132
5.250% due 08/18/2017 - 03/01/2032		391		389
5.274% due 12/01/2035		122		122
5.288% due 02/01/2035		470		483
5.296% due 09/25/2008		30		30
5.310% due 02/01/2036 (g)		3,884		3,877
5.312% due 09/01/2035 (g)		3,239		3,243
5.370% due 08/25/2043		1,000		991
5.385% due 04/01/2032		253		253
5.393% due 04/01/2036		1,576		1,585
5.480% due 03/25/2036		949		951
5.500% due 04/25/2017 - 01/01/2037		44,328		43,868
5.527% due 10/01/2027		16		16
5.563% due 05/01/2036		238		241
5.590% due 08/25/2031 (g)		1,005		1,006
5.590% due 05/25/2032		66		66
5.632% due 10/01/2026 - 11/01/2040		340		343
5.650% due 12/25/2025 - 04/25/2029		224		225
5.750% due 11/17/2030 - 05/18/2032		636		641
5.775% due 09/17/2027		14		14
5.800% due 10/25/2030 - 02/25/2033		883		889
5.813% due 04/01/2036		443		449
5.825% due 06/25/2021 - 10/25/2021		162		163
5.850% due 09/16/2028 due 08/25/2031		424		431
5.850% due 08/25/2031 (g)		1,102		1,108
5.875% due 01/25/2020 - 11/25/2021		248		250
5.877% due 05/01/2025		207		208
5.900% due 12/18/2031 (g)		1,154		1,171
5.925% due 12/25/2021		291		292
5.950% due 11/18/2031		48		49
5.958% due 07/01/2042		886		894
5.975% due 03/25/2008		61		61
5.994% due 04/01/2018		30		30
6.000% due 03/01/2009 - 11/25/2031		1,786		1,810
6.090% due 12/01/2008		89		89
6.095% due 10/01/2031		123		125
6.105% due 08/01/2018		48		48
6.125% due 05/25/2022		86		88
6.127% due 12/01/2024		57		57
6.158% due 11/01/2030 - 10/01/2040		406		413
6.220% due 11/01/2019		39		38
6.250% due 02/01/2011		468		481
6.262% due 11/01/2032		339		337
6.275% due 08/25/2023		130		132
6.310% due 12/01/2017		61		61
6.347% due 10/01/2032		66		65
6.368% due 10/25/2008		69		69
6.375% due 12/25/2023		165		168
6.440% due 07/01/2036		771		827
6.475% due 12/25/2008		189		190
6.500% due 07/25/2008 - 03/01/2029		450		458
6.510% due 08/01/2036		1,096		1,184
6.592% due 12/01/2025		8		8
6.625% due 07/01/2010		29		30
6.728% due 10/25/2008		93		94
6.735% due 03/01/2019		28		28
6.750% due 12/25/2023		206		210
6.755% due 09/01/2030		90		91
6.770% due 01/18/2029		291		295
6.928% due 03/01/2027		12		12
6.962% due 11/01/2024		133		134
7.000% due 02/01/2019 - 07/25/2042		290		297
7.015% due 09/01/2033		88		89
7.090% due 05/01/2031		15		15
7.100% due 08/01/2032		125		126
7.115% due 03/01/2030		53		53
7.116% due 01/01/2028		31		32
7.175% due 12/01/2024		13		13
7.215% due 10/25/2008		134		137
7.250% due 09/01/2032		25		25
7.330% due 10/01/2032		59		60
7.440% due 03/01/2027		84		85
7.500% due 04/25/2022 - 09/01/2032		267		271
7.722% due 02/01/2026		35		36
10.225% due 08/25/2021		120		136
Farmer Mac
7.549% due 01/25/2012		381		385
Federal Home Loan Bank
3.000% due 06/02/2008		1,950		1,895
4.750% due 08/15/2008 - 07/14/2017		1,345		1,330
5.000% due 06/19/2018		500		477
Federal Housing Administration
7.430% due 03/01/2021		18		18
Freddie Mac
3.016% due 04/01/2034		258		259
3.869% due 01/01/2034		124		122
4.000% due 10/15/2033		227		180
4.189% due 04/01/2035		1,098		1,084
4.203% due 04/01/2033 - 04/01/2034		507		500
4.240% due 03/01/2034		255		251
4.299% due 12/01/2033		471		464
4.379% due 01/01/2035		142		140
4.382% due 01/01/2035		385		375
4.400% due 11/01/2033		147		146
4.430% due 10/15/2022		63		63
4.435% due 04/01/2035		1,659		1,636
4.500% due 12/15/2010 - 09/15/2018		2,222		2,184
4.547% due 01/01/2035		1,679		1,663
4.681% due 09/01/2035		418		415
4.754% due 10/01/2033		67		67
4.930% due 11/01/2035		3,809		3,781
5.000% due 02/15/2011 - 09/15/2035		2,300		2,198
5.004% due 05/01/2035		293		293
5.016% due 12/01/2035		651		644
5.250% due 07/30/2018		100		96
5.349% due 09/01/2035		99		99
5.356% due 04/01/2035		881		883
5.415% due 03/01/2025		123		123
5.440% due 02/01/2036		219		219
5.453% due 04/01/2036		600		603
5.487% due 07/01/2032		118		119
5.500% due 12/01/2008 - 10/15/2015		1,038		1,039
5.530% due 01/01/2032 - 04/01/2033		150		153
5.537% due 12/01/2024		604		609
5.550% due 03/15/2031		1,465		1,469
5.600% due 10/15/2032		93		93
5.652% due 11/01/2024		388		391
5.684% due 04/01/2036		248		248
5.700% due 12/15/2029		99		99
5.710% due 10/25/2029		4		4
5.759% due 03/01/2036		1,393		1,405
5.765% due 03/01/2033		63		64
5.775% due 09/15/2023		301		301
5.800% due 12/15/2031		39		39
5.836% due 04/01/2032		143		145
5.875% due 02/01/2017 - 05/15/2023		359		360
5.881% due 09/25/2023		1,504		1,508
5.900% due 08/15/2029 - 08/15/2031		852		861
5.923% due 08/01/2031		397		400
5.958% due 02/25/2045		117		116
6.000% due 08/15/2019		65		65
6.025% due 03/15/2020		102		102
6.099% due 05/15/2023		163		167
6.158% due 07/25/2044 (g)		5,224		5,253
6.425% due 12/15/2023		418		421
6.475% due 05/15/2023		53		55
6.500% due 03/15/2009 - 07/25/2043		1,111		1,132
6.500% due 05/15/2029 (g)		4,308		4,422
6.717% due 05/01/2026		96		98
6.936% due 08/01/2029		66		67
7.000% due 06/01/2016		2,412		2,480
7.033% due 04/01/2031		36		37
7.050% due 02/01/2026		43		44
7.069% due 03/01/2028		19		19
7.079% due 09/01/2028		102		104
7.192% due 02/01/2022		16		17
7.250% due 08/01/2032		49		50
7.262% due 08/01/2023		40		41
7.310% due 11/01/2023		13		13
9.250% due 11/15/2019		34		34
11.326% due 11/15/2007		105		106
Government National Mortgage Association
4.875% due 11/20/2031		62		62
5.000% due 01/20/2033 - 01/20/2034		2,428		2,429
5.125% due 10/20/2026 - 12/20/2027		105		107
5.250% due 02/20/2030		308		309
5.375% due 04/20/2016 - 04/20/2033		1,903		1,919
5.500% due 09/20/2028 - 09/20/2032		2,440		2,442
5.750% due 09/20/2018 - 09/20/2030		795		797
5.875% due 05/20/2016 - 04/20/2019		40		41
5.900% due 10/16/2029		228		230
7.000% due 10/20/2021		513		528
Tennessee Valley Authority
5.880% due 04/01/2036		3,000		3,311
Total U.S. Government Agencies (Cost $174,465)				175,116
MORTGAGE-BACKED SECURITIES 41.1%
Adjustable Rate Mortgage Trust
5.222% due 11/25/2035		3,960		3,935
American Home Mortgage Investment Trust
4.992% due 06/25/2045		851		850
5.500% due 09/25/2035		802		803
Asset Securitization Corp.
7.384% due 08/13/2029		750		759
7.490% due 04/14/2029		41		41
Banc of America Mortgage Securities
4.111% due 06/25/2034		470		461
4.598% due 11/25/2033		390		381
6.500% due 09/25/2033		135		136
Bear Stearns Adjustable Rate Mortgage Trust
3.605% due 10/25/2034		481		480
4.750% due 10/25/2035		455		451
4.908% due 10/25/2034		1,450		1,459
5.328% due 02/25/2033		66		65
5.761% due 02/25/2036		932		936
6.259% due 11/25/2030		114		114
Bear Stearns Alt-A Trust
5.369% due 02/25/2036		70		70
5.715% due 08/25/2036		3,103		3,124
Bear Stearns Commercial Mortgage Securities
6.000% due 03/15/2019		2,500		2,502
Bear Stearns Mortgage Securities, Inc.
6.246% due 06/25/2030		953		970
Carey Commercial Mortgage Trust
5.970% due 09/20/2019 (g)		1,809		1,820
CBA Commercial Small Balance Commercial Mortgage
5.630% due 12/25/2036 (g)		1,379		1,393
CC Mortgage Funding Corp.
5.825% due 01/25/2035		3,525		3,540
Charlotte Gateway Village LLC
6.410% due 12/01/2016		1,915		1,993
Chase Mortgage Finance Corp.
5.000% due 11/25/2033		350		338
5.398% due 01/25/2036		378		374
Citicorp Mortgage Securities, Inc.
5.000% due 12/25/2033		249		245
6.726% due 11/25/2018		63		63
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		1,245		1,247
Citigroup Mortgage Loan Trust, Inc.
4.681% due 08/25/2035		836		823
4.900% due 12/25/2035		328		326
5.629% due 08/25/2035		2,777		2,710
6.500% due 06/25/2016 (g)		6,055		6,133
Commercial Mortgage Pass-Through Certificates
5.362% due 02/05/2019 (g)		3,000		3,013
5.479% due 02/05/2019		3,000		3,029
6.455% due 05/15/2032		1,946		1,972
6.715% due 02/01/2009		1,380		1,421
Countrywide Alternative Loan Trust
5.560% due 03/20/2046		1,401		1,403
5.570% due 05/25/2035		968		969
5.610% due 11/25/2035		382		384
5.620% due 02/25/2036		611		613
5.630% due 12/25/2035		1,223		1,227
5.660% due 10/25/2035		534		534
5.718% due 08/25/2046		6,238		6,254
5.750% due 06/25/2033		1,234		1,230
6.000% due 10/25/2032		9		9
6.196% due 08/25/2036		1,285		1,296
Countrywide Home Loan Mortgage Pass-Through Trust
4.500% due 10/25/2018		380		339
4.609% due 02/19/2034		109		107
5.620% due 02/25/2035		702		703
5.640% due 04/25/2035		429		430
5.650% due 03/25/2035		324		325
5.670% due 03/25/2035		3,153		3,167
5.740% due 02/25/2035		967		972
5.810% due 09/25/2034 (g)		938		941
5.940% due 08/25/2034		5,140		5,159
6.133% due 04/25/2035		968		973
6.637% due 06/19/2031		23		23
CS First Boston Mortgage Securities Corp.
3.006% due 03/15/2036		540		529
4.832% due 04/15/2037		2,000		1,935
5.500% due 11/25/2035		2,711		2,709
5.601% due 03/25/2032		232		231
5.830% due 01/25/2033		91		91
6.250% due 07/25/2035		1,966		1,978
6.500% due 04/25/2033		172		172
7.000% due 02/25/2033		238		238
Denver Arena Trust
6.940% due 11/15/2019		1,742		1,770
Drexel Burnham Lambert CMO Trust
6.099% due 05/01/2016		291		291
First Horizon Alternative Mortgage Securities
4.472% due 03/25/2035		1,421		1,407
4.752% due 06/25/2034 (g)		2,888		2,869
First Horizon Asset Securities, Inc.
4.924% due 02/25/2035		664		659
First Republic Mortgage Loan Trust
5.670% due 06/25/2030		249		250
5.700% due 11/15/2031 (g)		1,119		1,123
GMAC Commercial Mortgage Securities, Inc.
6.278% due 11/15/2039		4,000		4,171
6.500% due 05/15/2035		3,000		3,061
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		179		178
Greenpoint Mortgage Funding Trust
5.570% due 06/25/2045		964		968
5.580% due 06/25/2045 (g)		1,199		1,203
Greenwich Capital Acceptance, Inc.
7.889% due 06/25/2024		138		138
GS Mortgage Securities Corp. II
6.044% due 08/15/2018		618		630
GSR Mortgage Loan Trust
6.000% due 03/25/2032		4		4
GSRPM Mortgage Loan Trust
6.050% due 01/25/2032 (g)		1,282		1,293
Harborview Mortgage Loan Trust
4.584% due 11/19/2034		177		175
5.319% due 12/19/2035		217		217
5.440% due 12/19/2036		1,997		2,000
5.540% due 12/19/2036		1,999		2,002
5.540% due 02/19/2046		1,804		1,802
5.570% due 05/19/2035		1,506		1,510
5.590% due 03/19/2037		1,140		1,142
Hilton Hotel Pool Trust
5.850% due 10/03/2015		2,000		2,021
Impac CMB Trust
5.970% due 04/25/2034 (g)		448		448
Impac Secured Assets CMN Owner Trust
6.500% due 04/25/2032		205		205
Indymac ARM Trust
6.713% due 01/25/2032		56		56
Indymac Index Mortgage Loan Trust
5.560% due 06/25/2047		736		737
5.590% due 04/25/2035 (g)		1,209		1,213
5.630% due 03/25/2035		1,111		1,115
5.670% due 02/25/2035 (g)		1,264		1,271
5.960% due 09/25/2034		1,000		1,012
Indymac Loan Trust
5.570% due 01/25/2011		132		133
JPMorgan Chase Commercial Mortgage
Securities Corp.
3.890% due 01/12/2037		5,000		4,886
5.460% due 02/15/2019		64		64
JPMorgan Mortgage Trust
5.118% due 06/25/2035		1,006		997
Kidder Peabody Mortgage Assets Trust
6.500% due 02/22/2017		70		71
LB Mortgage Trust
7.810% due 01/15/2009		75		76
8.431% due 01/20/2017		427		465
LB-UBS Commercial Mortgage Trust
4.394% due 07/15/2030		108		107
6.058% due 06/15/2020		81		82
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		161		158
4.142% due 07/25/2034		145		142
7.382% due 12/25/2033		24		24
MASTR Asset Securitization Trust
4.750% due 12/25/2033		2,000		1,985
Mellon Residential Funding Corp.
5.790% due 12/15/2030		1,022		1,026
6.406% due 07/25/2029		336		337
Merrill Lynch Mortgage Trust
4.218% due 06/12/2043		1,361		1,337
MLCC Mortgage Investors, Inc.
5.720% due 03/25/2028		26		26
Nationslink Funding Corp.
6.888% due 11/10/2030 (g)		1,893		1,902
Ocwen Residential Mortgage-Backed Securities Corp.
6.803% due 06/25/2039		649		512
Prudential Securities Secured Financing Corp.
6.795% due 05/25/2022		226		225
6.900% due 05/25/2022		143		143
Residential Accredit Loans, Inc.
5.366% due 09/25/2034		90		90
5.650% due 08/25/2035 (g)		7,975		7,988
Residential Asset Mortgage Products, Inc.
7.000% due 06/25/2032		51		51
Residential Asset Securitization Trust
4.750% due 02/25/2019		732		707
5.700% due 10/25/2018		370		369
Residential Funding Mortgage Securities I, Inc.
5.750% due 07/25/2018		319		321
6.500% due 03/25/2032		10		10
Rural Housing Trust 1987-1
8.330% due 04/01/2026		36		36
Salomon Brothers Mortgage Securities VII
4.118% due 09/25/2033		102		101
8.500% due 05/25/2032		849		887
Sequoia Mortgage Trust
5.580% due 02/20/2035		173		173
5.700% due 10/19/2026		342		343
5.750% due 10/20/2027		75		75
Starwood Commercial Mortgage Trust
6.920% due 02/03/2014		1,000		1,036
Structured Adjustable Rate Mortgage Loan Trust
4.500% due 02/25/2034		744		736
5.840% due 06/25/2034		1,069		1,073
Structured Asset Mortgage Investments, Inc.
5.570% due 05/25/2036 (g)		2,838		2,842
5.770% due 10/19/2033		148		149
5.988% due 05/02/2030		140		140
Structured Asset Securities Corp.
4.420% due 06/25/2033		2,633		2,629
5.879% due 06/25/2032		50		50
6.716% due 02/25/2032		14		14
6.960% due 11/25/2032		24		24
7.272% due 10/25/2031		110		111
Travelers Mortgage Services, Inc.
6.747% due 09/25/2018		87		87
Wachovia Bank Commercial Mortgage Trust
0.147% due 10/15/2041 (b)		101,595		2,166
Washington Mutual MSC Mortgage Pass-Through
Certificates
5.390% due 02/25/2033		208		207
7.221% due 11/25/2030		171		171
Washington Mutual, Inc.
3.177% due 09/25/2033		44		43
3.423% due 05/25/2033		2,807		2,754
3.943% due 07/25/2034		470		457
4.159% due 08/25/2034		625		609
4.190% due 08/25/2033		112		110
4.243% due 06/25/2034		535		527
4.673% due 04/25/2035		200		197
4.816% due 10/25/2032		333		331
5.114% due 10/25/2032		47		47
5.570% due 01/25/2045		453		455
5.596% due 02/27/2034		2,307		2,314
5.620% due 12/25/2027		2,069		2,070
5.632% due 11/25/2041		34		34
5.635% due 07/25/2044		7		7
5.635% due 10/25/2044 (g)		1,005		1,006
5.640% due 07/25/2045		2,881		2,892
5.640% due 10/25/2045		64		64
5.660% due 01/25/2045		619		621
5.670% due 07/25/2045		5,213		5,234
5.710% due 12/25/2045		4,000		4,019
5.745% due 11/25/2034		115		116
5.765% due 10/25/2044 (g)		3,587		3,594
5.795% due 07/25/2044		463		466
5.827% due 02/25/2046		1,741		1,754
5.850% due 01/25/2018		313		314
5.874% due 12/19/2039 (g)		1,388		1,372
5.875% due 07/25/2044		370		372
5.954% due 05/25/2041		288		290
5.958% due 11/25/2041		654		656
6.227% due 06/25/2042		155		155
6.227% due 08/25/2042		140		140
6.227% due 04/25/2044		10		10
Wells Fargo Mortgage-Backed Securities Trust
3.539% due 09/25/2034		450		436
4.000% due 08/25/2034		410		399
4.354% due 05/25/2035		1,374		1,360
4.479% due 06/25/2035		1,491		1,468
4.487% due 11/25/2033		159		153
4.523% due 06/25/2034 (g)		4,003		3,894
4.544% due 02/25/2035		1,781		1,748
4.556% due 01/25/2035 (g)		4,040		3,971
4.556% due 01/25/2035		410		405
4.577% due 12/25/2034		21		21
4.591% due 11/25/2034		1,912		1,888
4.659% due 02/25/2033		124		122
4.950% due 03/25/2036		1,184		1,170
5.003% due 10/25/2035		206		204
5.250% due 02/25/2018		906		897
Total Mortgage-Backed Securities (Cost $207,828)				208,309
ASSET-BACKED SECURITIES 62.3%
Aames Mortgage Investment Trust
5.410% due 04/25/2036		204		204
5.750% due 10/25/2035 (g)		3,000		3,007
ABFS Mortgage Loan Trust
6.285% due 07/15/2033		2,000		2,009
Accredited Mortgage Loan Trust
5.500% due 12/25/2035		700		701
5.560% due 12/25/2035		100		100
ACE Securities Corp.
5.370% due 08/25/2036		1,838		1,839
5.450% due 05/25/2035		463		464
5.500% due 12/25/2035 (g)		5,100		5,105
5.550% due 06/25/2035		1,007		1,008
6.150% due 03/25/2035		2,038		2,037
Aircraft Certificate Owner Trust
6.455% due 09/20/2022		2,909		2,904
American Express Credit Account Master Trust
5.530% due 11/15/2010		75		75
5.850% due 02/15/2012		2,466		2,472
American Home Mortgage Investment Trust
5.530% due 08/25/2035		71		70
American Residential Eagle Certificate Trust
6.350% due 05/25/2028		1,218		1,219
Amortizing Residential Collateral Trust
5.620% due 06/25/2032		66		66
5.630% due 01/25/2032		88		88
5.700% due 08/25/2032		20		20
Amresco Residential Securities Mortgage Loan Trust
5.845% due 06/25/2028		255		255
5.860% due 03/25/2027		33		33
5.905% due 06/25/2027		217		217
5.905% due 09/25/2027		563		563
Argent Securities, Inc.
5.430% due 03/25/2036		261		261
5.490% due 02/25/2036		23		23
5.510% due 03/25/2036 (g)		5,500		5,506
Asset-Backed Funding Certificates
5.770% due 12/25/2034		2,000		2,011
6.390% due 03/25/2032		2,687		2,690
Asset-Backed Securities Corp. Home Equity
5.460% due 05/25/2036		2,000		2,002
5.750% due 05/25/2036		2,500		2,502
5.870% due 06/15/2031		70		71
Bayview Financial Asset Trust
5.750% due 12/25/2039		920		924
Bear Stearns Asset-Backed Securities, Inc.
5.000% due 03/25/2007 (b)		10,000		81
5.379% due 10/25/2036		5,257		5,233
5.420% due 02/25/2036		124		124
5.430% due 12/25/2035		278		278
5.470% due 08/25/2036		528		528
5.520% due 06/25/2036 (g)		4,089		4,095
5.550% due 09/25/2034		80		80
5.600% due 06/25/2035		22		22
5.640% due 02/25/2026		102		102
5.680% due 10/25/2032		206		207
5.680% due 01/25/2036		1,068		1,069
5.750% due 10/27/2032		105		106
5.850% due 09/25/2034 (j)		685		686
5.850% due 06/25/2035 (g)		10,775		10,806
5.950% due 10/25/2032		247		248
6.100% due 11/25/2042		370		373
Carrington Mortgage Loan Trust
5.470% due 12/25/2035 (g)		297		297
CDC Mortgage Capital Trust
5.660% due 01/25/2033		66		66
6.400% due 01/25/2033		2,474		2,477
Cendant Mortgage Corp.
5.984% due 07/25/2043		426		426
Centex Home Equity
5.160% due 09/25/2034		2,000		1,953
5.830% due 06/25/2034		29		30
6.040% due 09/25/2034		1,400		1,416
Charming Shoppes Master Trust
5.680% due 05/15/2014 (g)		1,000		1,002
Chase Credit Card Master Trust
5.710% due 10/15/2009		50		50
Chase Funding Mortgage Loan Asset-Backed
Certificates
4.515% due 02/25/2014		550		536
4.537% due 09/25/2032		11		11
5.620% due 04/25/2033		14		14
Chase Manhattan Auto Owner Trust
2.570% due 02/16/2010		30		29
CIT Group Home Equity Loan Trust
6.000% due 12/25/2031		1,320		1,327
Citigroup Mortgage Loan Trust, Inc.
5.400% due 10/25/2036		2,912		2,913
5.450% due 10/25/2036		2,000		2,001
Collegiate Funding Services Education Loan Trust I
5.464% due 09/30/2013		14		14
Community Program Loan Trust
4.500% due 10/01/2018	$	1,557	$	1,533
4.500% due 04/01/2029		500		472
Conseco Finance Securitizations Corp.
5.790% due 05/01/2033		429		430
8.310% due 05/01/2032		2,211		1,850
Conseco Recreational Enthusiast Consumer Trust
5.550% due 08/15/2025		1,523		1,521
Contimortgage Home Equity Trust
5.830% due 06/15/2025		34		34
7.780% due 04/25/2014		65		65
Countrywide Asset-Backed Certificates
4.946% due 10/25/2035		320		314
5.125% due 12/25/2034		3,000		2,965
5.450% due 05/25/2036		51		51
5.490% due 04/25/2036		516		516
5.510% due 02/25/2036		376		376
5.520% due 11/25/2035		275		275
5.560% due 10/25/2035 (g)		2,717		2,721
5.620% due 06/25/2035		485		486
5.630% due 09/25/2033		276		276
5.650% due 11/25/2033		46		47
5.780% due 11/25/2036		4,000		4,022
5.820% due 11/25/2033		367		369
5.850% due 09/25/2032		382		384
5.950% due 05/25/2032		1,194		1,196
6.250% due 04/25/2032		822		823
Credit-Based Asset Servicing & Securitization LLC
5.450% due 08/25/2035 (g)		2,232		2,234
5.470% due 10/25/2036		3,051		3,054
5.800% due 11/25/2033		3,037		3,043
5.980% due 06/25/2032		762		763
6.750% due 01/25/2031		1,014		1,018
CS First Boston Mortgage Securities Corp.
5.321% due 04/25/2035		1,000		989
5.600% due 01/25/2043		1,196		1,197
5.660% due 01/25/2032		23		23
5.710% due 05/25/2044 (g)		941		942
DaimlerChrysler Auto Trust
2.880% due 10/08/2009		252		252
Embarcadero Aircraft Securitization Trust
6.450% due 08/15/2025 (a)		1,183		18
EMC Mortgage Loan Trust
5.800% due 12/25/2042		2,961		2,961
6.100% due 08/25/2040		1,228		1,246
Equifirst Mortgage Loan Trust
3.750% due 09/25/2033		1,008		943
5.570% due 04/25/2035		4,000		4,005
Equity One Asset-Backed Securities, Inc.
5.600% due 07/25/2034 (g)		136		137
5.660% due 07/25/2034		8		8
FBR Securitization Trust
5.460% due 10/25/2035		21		21
First Alliance Mortgage Loan Trust
5.560% due 09/20/2027		53		52
5.830% due 10/25/2024		20		20
8.020% due 03/20/2031		42		42
First Franklin Mortgage Loan Asset-Backed Certificates
5.440% due 01/25/2036 (g)		2,433		2,435
5.730% due 10/25/2034		297		298
5.750% due 04/25/2035		3,000		3,013
First International Bank N.A.
5.900% due 03/15/2027		204		143
First NLC Trust
5.590% due 02/25/2036		4,000		4,004
Fleet Home Equity Loan Trust
5.600% due 01/20/2033		369		370
Fremont Home Loan Trust
5.410% due 04/25/2036		154		154
5.440% due 01/25/2036		9		9
Green Tree Financial Corp.
6.180% due 04/01/2030		1,536		1,500
6.220% due 03/01/2030		117		118
6.240% due 11/01/2016		5		5
6.450% due 06/01/2030		433		435
6.530% due 04/01/2030		1,098		1,088
6.810% due 12/01/2027		2,583		2,662
6.860% due 03/15/2028		54		56
6.860% due 07/15/2029		676		694
6.870% due 04/01/2030		68		68
7.550% due 01/15/2029		2,157		2,263
7.620% due 06/15/2028		178		188
Greenpoint Home Equity Loan Trust
5.620% due 04/15/2029		126		126
GSAMP Trust
5.360% due 10/25/2036		1,913		1,914
5.420% due 02/25/2036		343		344
5.470% due 12/25/2035		281		281
5.470% due 10/25/2036 (g)		6,000		6,004
5.510% due 01/25/2036 (g)		5,000		5,005
5.540% due 11/25/2035 (g)		6,900		6,907
5.700% due 01/25/2045		614		615
GSRPM Mortgage Loan Trust
5.470% due 03/25/2035 (g)		3,539		3,539
5.730% due 09/25/2042		244		246
HFC Home Equity Loan Asset-Backed Certificates
5.880% due 01/20/2034		1,259		1,267
Home Equity Asset Trust
5.510% due 05/25/2036 (g)		7,000		7,007
5.650% due 11/25/2032		1		1
5.880% due 07/25/2034		1,000		1,004
Home Equity Mortgage Trust
5.300% due 05/25/2036		135		136
5.530% due 05/25/2036 (g)		5,000		5,007
IMC Home Equity Loan Trust
7.310% due 11/20/2028		150		150
Indymac Home Equity Loan Asset-Backed Trust
6.700% due 07/25/2034		1,000		1,014
Irwin Home Equity
6.250% due 02/25/2029		1,735		1,743
IXIS Real Estate Capital Trust
5.410% due 08/25/2036		132		132
5.500% due 09/25/2035 (g)		609		610
JPMorgan Mortgage Acquisition Corp.
5.430% due 08/25/2036		5,629		5,633
5.470% due 07/25/2035		22		22
5.560% due 06/25/2035		1,476		1,480
Keystone Owner Trust
7.900% due 01/25/2029		212		212
7.930% due 05/25/2025		42		41
LA Arena Funding LLC
7.656% due 12/15/2026		3,028		3,257
Lake Country Mortgage Loan Trust
5.880% due 12/25/2032 (g)		1,624		1,654
Long Beach Mortgage Loan Trust
5.430% due 08/25/2035		6		6
5.630% due 10/25/2034		47		47
5.700% due 03/25/2032		2		2
5.790% due 08/25/2035		2,000		2,010
6.775% due 03/25/2032		682		693
Madison Avenue Manufactured Housing Contract
6.800% due 03/25/2032		1,500		1,514
MASTR Asset-Backed Securities Trust
5.460% due 11/25/2035 (g)		1,972		1,973
Mellon Bank Home Equity Loan Trust
5.590% due 03/20/2027		25		25
Merrill Auto Trust Securitization
5.360% due 04/25/2008		7		7
Merrill Lynch Mortgage Investors, Inc.
5.350% due 05/25/2037		265		265
5.440% due 10/25/2037		1,829		1,830
5.460% due 07/25/2036		757		758
5.880% due 06/25/2035		647		648
Mid-State Trust
6.005% due 08/15/2037		1,365		1,388
Money Store Home Equity Trust
5.500% due 08/15/2029		190		190
Morgan Stanley ABS Capital I
5.380% due 06/25/2036		3,067		3,069
5.390% due 06/25/2036		137		137
5.420% due 10/25/2036		5,000		4,998
5.450% due 09/25/2035		540		541
5.450% due 04/25/2036		3,000		3,002
Morgan Stanley Capital I
7.825% due 01/25/2032		1,215		1,217
Morgan Stanley IXIS Real Estate Capital Trust
5.430% due 11/25/2036		3,000		3,002
Morgan Stanley Mortgage Loan Trust
5.510% due 11/25/2036		4,472		4,474
National City Auto Receivables Trust
2.110% due 07/15/2008		2		2
New Century Home Equity Loan Trust
5.910% due 07/25/2030		5		5
7.000% due 06/20/2031		4,506		4,513
Nomura Asset Acceptance Corp.
5.660% due 01/25/2036 (g)		3,000		3,004
Novastar Home Equity Loan
5.440% due 01/25/2036		819		820
5.740% due 05/25/2033		15		15
Oakwood Mortgage Investors, Inc.
5.725% due 03/15/2018		582		511
Option One Mortgage Loan Trust
5.850% due 08/20/2030		18		18
5.890% due 06/25/2032		13		13
Origen Manufactured Housing
5.590% due 05/15/2032		27		27
7.650% due 03/15/2032		2,000		2,059
Park Place Securities, Inc.
5.940% due 02/25/2035		2,000		2,013
Providian Gateway Master Trust
5.580% due 03/15/2011		1,275		1,276
Quest Trust
5.790% due 09/25/2034		78		78
5.910% due 06/25/2034 (g)		330		331
7.050% due 07/20/2034		193		194
Renaissance Home Equity Loan Trust
4.033% due 11/25/2034		68		68
4.934% due 08/25/2035		140		139
5.500% due 11/25/2035		6		6
5.850% due 12/25/2033		323		326
5.970% due 03/25/2033		51		52
6.150% due 08/25/2032		2,000		2,014
Residential Asset Mortgage Products, Inc.
5.440% due 10/25/2036 (g)		5,674		5,677
5.600% due 10/25/2034		96		96
5.707% due 08/25/2034 (g)		3,000		2,981
5.710% due 04/25/2033		9		9
5.740% due 02/25/2033		23		23
5.900% due 07/25/2034 (g)		2,000		1,961
5.942% due 04/25/2034 (g)		2,000		2,018
Residential Asset Securities Corp.
5.410% due 04/25/2036		119		119
5.480% due 03/25/2036 (g)		7,500		7,506
5.640% due 06/25/2033		61		62
5.780% due 03/25/2035 (g)		7,000		7,026
7.140% due 04/25/2032		764		766
Residential Funding Mortgage Securities II, Inc.
5.640% due 12/25/2032		35		35
8.350% due 03/25/2025		156		156
SACO I, Inc.
5.500% due 06/25/2036 (b)		19,614		1,105
5.530% due 05/25/2036 (g)		14,930		14,940
5.560% due 03/25/2036 (g)		3,978		3,981
5.850% due 07/25/2035		5,553		5,577
6.050% due 10/25/2034		1,573		1,575
Salomon Brothers Mortgage Securities VII
5.830% due 03/25/2028		383		383
Saxon Asset Securities Trust
5.470% due 11/25/2035		14		14
5.600% due 03/25/2032		33		33
SLM Student Loan Trust
5.400% due 06/15/2018		89		89
Specialty Underwriting & Residential Finance
5.450% due 12/25/2035		2		2
5.450% due 11/25/2037		3,000		3,002
5.470% due 06/25/2036		73		73
Structured Asset Securities Corp.
3.375% due 08/25/2031		130		118
4.900% due 04/25/2035		1,244		1,203
5.470% due 02/25/2036		3,000		3,003
5.480% due 12/25/2035		768		768
5.610% due 01/25/2033		22		22
6.000% due 05/25/2034		174		174
6.400% due 01/25/2033		234		235
Structured Settlements Fund
7.250% due 12/20/2015		136		138
Terwin Mortgage Trust
5.470% due 07/25/2035		16		16
5.530% due 07/25/2036 (g)		248		249
Truman Capital Mortgage Loan Trust
5.830% due 11/25/2031		14		14
6.500% due 11/25/2032		110		113
UCFC Manufactured Housing Contract
7.900% due 01/15/2028		1,000		394
Vanderbilt Mortgage Finance
5.840% due 02/07/2026		330		333
7.905% due 02/07/2026 (g)		785		822
WMC Mortgage Loan Pass-Through Certificates
6.175% due 03/20/2029		125		125
World Financial Network Credit Card Master Trust
6.350% due 03/15/2013		2,000		2,017
Total Asset-Backed Securities (Cost $316,696)				315,827
SHORT-TERM INSTRUMENTS 6.4%
Commercial Paper 1.6%
UBS Finance Delaware LLC
5.280% due 01/02/2007		8,000		8,000
Repurchase Agreements 3.9%
Lehman Brothers, Inc.
4.850% due 01/02/2007		8,000		8,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 4.250% due 01/15/2010 valued at $8,183. Repurchase proceeds are $8,004.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		12,017		12,017
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $12,259. Repurchase proceeds are $12,024.)
				20,017
U.S. Treasury Bills 0.9%
4.810% due 03/01/2007 -
03/15/2007(d)(e)(h)		4,710		4,660
Total Short-Term Instruments (Cost $32,683)				32,677
Total Investments (f) 147.1% (Cost $745,839)			$	746,163
Other Assets and Liabilities (Net) (47.1%)				(239,085	)
Net Assets 100.0%			$	507,078

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

(a) Security is in default.

(b) Interest only security.

(c) Principal only security.

(d) Coupon represents a weighted average rate.

(e) Securities with an aggregate market value of $1,980 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(f) As of December 31, 2006, portfolio securities with an aggregate value of $34,613 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) The average amount of borrowing outstanding during the period ended December 31, 2006 was $195,932 at a weighted average interest rate of 5.28%. On December 31, 2006, securities valued at $203,256 were pledged as collateral for reverse repurchase agreements.

(h) Securities with an aggregate market value of $1,147 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized (Depreciation)
90-Day Eurodollar June Futures	Long	06/2007	1,141	$	(728	)
90-Day Eurodollar March Futures	Long	03/2007	59		(47	)
90-Day Eurodollar September Futures	Long	09/2007	568		(7	)
				$	(782	)

(i) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Masco Corp. 5.875% due 07/15/2012	Buy	(0.610	%)	9/20/2012	$	5,000	$	(20	)
Bank of America	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 3.500% due 07/25/2033	Sell	4.500	%	7/25/2033		592		3
Bank of America	Kent Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.550% due 05/08/2046	Buy	(1.830	%)	5/8/2046		3,000		(7	)
Bank of America	Midori CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.300% due 02/15/2047	Buy	(1.730	%)	2/15/2047		2,000		(11	)
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.400	%)	12/20/2011		40,000		(17	)
Barclays Bank PLC	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.400% due 02/25/2034	Buy	(0.490	%)	2/25/2034		1,000		(1	)
Barclays Bank PLC	Specialty Underwriting & Residential Finance Trust floating rate based on 1-Month USD-LIBOR plus 1.300% due 02/25/2035	Buy	(0.590	%)	2/25/2035		1,000		(2	)
Barclays Bank PLC	Structured Asset Investment Loan Trust floating rate based on 1-Month USD-LIBOR plus 0.820% due 02/25/2035	Buy	(0.610	%)	2/25/2035		1,000		(3	)
Barclays Bank PLC	Camber floating rate based on 3-Month USD-LIBOR plus 1.330% due 07/12/2043	Buy	(1.400	%)	6/28/2046		3,000		(31	)
Barclays Bank PLC	Camber floating rate based on 3-Month USD-LIBOR plus 3.250% due 07/12/2043	Buy	(3.300	%)	6/28/2046		2,000		2
Bear Stearns & Co., Inc.	Indymac Home Equity Loan Asset-Backed Trust floating rate based on 1-Month USD-LIBOR plus 0.630% due 06/25/2030	Buy	(0.450	%)	6/25/2030		3,139		(2	)
Bear Stearns & Co., Inc.	Bear Stearns Asset-Backed Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.000% due 12/25/2035	Sell	2.550	%	12/25/2035		1,000		17
Bear Stearns & Co., Inc.	Merrill Lynch Mortgage Trust 5.244% due 11/12/2037	Buy	(1.150	%)	11/12/2037		1,000		(39	)
Bear Stearns & Co., Inc.	KLIO Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.800% due 04/23/2039	Buy	(1.700	%)	4/23/2039		1,000		(18	)
Bear Stearns & Co., Inc.	Trinity CDO, Inc. floating rate based on 3-Month USD-LIBOR plus 1.600% due 03/08/2040	Buy	(1.700	%)	3/8/2040		2,000		(46	)
Bear Stearns & Co., Inc.	LB-UBS Commercial Mortgage Trust 5.404% due 09/15/2040	Buy	(1.170	%)	9/15/2040		1,000		(52	)
Bear Stearns & Co., Inc.	Midori CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 3.100% due 02/15/2047	Buy	(4.030	%)	2/15/2047		1,000		(9	)
Citibank N.A.	ABS Home Equity Index	Sell	1.540	%	7/25/2045		4,000		(1	)
Citibank N.A.	ABS Home Equity Index	Buy	(1.330	%)	5/25/2046		5,000		112
Credit Suisse First Boston	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 2.250% due 07/25/2032	Buy	(2.250	%)	7/25/2032		2,619		(268	)
Deutsche Bank AG	DaimlerChrysler N.A. Holding Corp. 6.500% due 11/15/2013	Sell	0.225	%	3/20/2008		5,000		1
Deutsche Bank AG	Park Place Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.200% due 03/25/2035	Buy	(2.650	%)	3/25/2035		5,000		(14	)
Deutsche Bank AG	Park Place Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 1.250% due 05/25/2035	Buy	(1.100	%)	5/25/2035		2,000		23
Deutsche Bank AG	Commercial Mortgage-Backed Index	Sell	1.340	%	10/12/2052		2,000		77
Goldman Sachs & Co.	Ameriquest Mortgage Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.100% due 05/25/2033	Sell	2.100	%	5/25/2033		2,500		40
Goldman Sachs & Co.	Ameriquest Mortgage Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 1.860% due 01/25/2034	Sell	1.860	%	1/25/2034		2,500		58
Goldman Sachs & Co.	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 3.500% due 02/25/2034	Buy	(2.000	%)	2/25/2034		2,500		(5	)
Goldman Sachs & Co.	Park Place Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 3.500% due 09/25/2034	Sell	5.000	%	9/25/2034		2,000		71
Goldman Sachs & Co.	ABS Home Equity Index	Sell	0.170	%	5/25/2046		3,000		1
JPMorgan Chase & Co.	Park Place Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 3.500% due 09/25/2034	Buy	(3.000	%)	9/25/2034		2,000		(6	)
JPMorgan Chase & Co.	Encore Credit Receivables Trust floating rate based on 1-Month USD-LIBOR plus 1.350% due 10/25/2035	Buy	(1.500	%)	10/25/2035		2,000		(3	)
JPMorgan Chase & Co.	FBR Securitization Trust floating rate based on 1-Month USD-LIBOR plus 1.850% due 10/25/2035	Sell	3.500	%	10/25/2035		3,000		65
JPMorgan Chase & Co.	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045		10,000		35
JPMorgan Chase & Co.	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045		5,000		(4	)
JPMorgan Chase & Co.	ABS Home Equity Index	Sell	1.330	%	5/25/2046		10,000		(154	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Sell	0.145	%	12/20/2016		25,000		(25	)
Lehman Brothers, Inc.	Encore Credit Receivables Trust floating rate based on 1-Month USD-LIBOR plus 1.350% due 10/25/2035	Sell	1.630	%	10/25/2035		2,000		11
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 2.000% due 06/25/2038	Buy	(2.500	%)	6/25/2038		2,000		106
Lehman Brothers, Inc.	GSC ABS CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.750% due 11/12/2045	Buy	(1.400	%)	11/12/2045		1,000		1
Lehman Brothers, Inc.	Citius Funding Ltd. floating rate based on 1-Month USD-LIBOR plus 1.370% due 05/05/2046	Buy	(1.440	%)	5/5/2046		1,008		6

Lehman Brothers, Inc.	ABS Home Equity Index	Sell	1.330	%	5/25/2046	5,000		(145	)
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800	%)	6/25/2046	2,000		35
Merrill Lynch & Co., Inc.	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 3.500% due 02/25/2034	Sell	2.250	%	2/25/2034	2,500		22
Merrill Lynch & Co., Inc.	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045	10,000		32
Merrill Lynch & Co., Inc.	ABS Home Equity Index	Sell	1.330	%	5/25/2046	10,000		(147	)
Merrill Lynch & Co., Inc.	Jackson Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 1.750% due 09/27/2046	Buy	(3.500	%)	9/27/2046	4,000		105
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Buy	(0.140	%)	12/20/2012	14,000		(3	)
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Sell	0.460	%	12/20/2015	10,000		6
Morgan Stanley	Indymac Home Equity Loan Asset-Backed Trust floating rate based on 1-Month USD-LIBOR plus 0.630% due 06/25/2030	Sell	1.500	%	6/25/2030	3,138		58
Morgan Stanley	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 2.250% due 07/25/2032	Sell	2.250	%	7/25/2032	2,619		321
Morgan Stanley	Morgan Stanley ABS Capital I floating rate based on 1-Month USD-LIBOR plus 1.700% due 12/27/2033	Buy	(0.540	%)	12/27/2033	1,000		1
Morgan Stanley	Park Place Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.200% due 03/25/2035	Sell	3.030	%	3/25/2035	5,000		55
Royal Bank of Scotland Group PLC	Ameriquest Mortgage Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 1.860% due 01/25/2034	Buy	(0.800	%)	1/25/2034	2,500		(2	)
Royal Bank of Scotland Group PLC	Ameriquest Mortgage Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.100% due 05/25/2033	Buy	(0.700	%)	5/25/2033	2,500		(2	)
Royal Bank of Scotland Group PLC	FBR Securitization Trust floating rate based on 1-Month USD-LIBOR plus 1.850% due 10/25/2035	Buy	(3.000	%)	10/25/2035	3,000		(10	)
UBS AG	Asset-Backed Funding Certificates floating rate based on 1-Month USD-LIBOR plus 3.500% due 11/25/2032	Buy	(2.350	%)	11/25/2032	2,500		20
UBS AG	Bear Stearns Asset-Backed Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.000% due 12/25/2035	Buy	(2.250	%)	12/25/2035	1,000		(2	)
Wachovia Bank N.A.	Avebury Finance CDO PLC floating rate based on 3-Month USD-LIBOR plus 1.400% due 01/08/2051	Buy	(1.800	%)	1/8/2051	2,000		17
							$	252

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012	$	5,700	$	(62	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		14,000		320
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		37,000		(406	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2017		5,900		(135	)
UBS AG	3-Month USD-LIBOR	Pay	4.000	%	12/15/2007		36,000		(232	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/21/2009		55,500		(453	)
								$	(968	)

(j) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Bear Stearns Asset-Backed Securities, Inc.	5.850	%	9/25/2034	3/29/2006	$	685	$	686	0.14	%

(k) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	6.000	%	1/1/2037	$	1,500	$	1,515	$	1,510

See accompanying notes

Schedule of Investments

Developing Local Markets Portfolio

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 42.1%
Banking & Finance 27.9%
American Express Centurion Bank
5.350% due 05/07/2008	$	100	$	100
American Express Credit Corp.
5.410% due 05/19/2009		100		100
American International Group, Inc.
5.365% due 06/23/2008		200		200
Banco Nacional de Comercio Exterior SNC
3.875% due 01/21/2009		400		388
Banco Nacional de Desenvolvimento Economico e Social
5.167% due 06/16/2008		1,000		992
Banco Santander Chile
5.703% due 12/09/2009		1,000		1,005
Bank of America Corp.
5.372% due 09/25/2009		1,400		1,401
5.378% due 11/06/2009		200		200
Bank of America N.A.
5.361% due 12/18/2008		400		400
5.377% due 07/25/2008		1,100		1,101
Bank of Ireland
5.415% due 12/18/2009		1,800		1,798
Banque Centrale de Tunisie
7.500% due 09/19/2007		2,120		2,156
Bear Stearns Cos., Inc.
5.606% due 01/31/2011		1,500		1,506
BNP Paribas
5.292% due 05/28/2008		300		300
Caterpillar Financial Services Corp.
5.422% due 10/09/2009		1,500		1,502
5.423% due 03/10/2009		500		501
5.426% due 08/11/2009		700		700
5.435% due 05/18/2009		1,100		1,102
Charter One Bank N.A.
5.430% due 04/24/2009		1,000		1,001
CIT Group, Inc.
5.435% due 12/19/2007		2,500		2,504
5.526% due 01/30/2009		2,200		2,206
Citigroup, Inc.
5.392% due 12/28/2009		1,800		1,801
5.406% due 12/26/2008		200		200
5.465% due 05/18/2011		900		901
5.525% due 05/18/2010		500		502
Commonwealth Bank of Australia
5.390% due 06/08/2009		100		100
DnB NORBank ASA
5.443% due 10/13/2009		100		100
Export-Import Bank of Korea
4.125% due 02/10/2009		100		98
4.250% due 11/27/2007		4,336		4,290
4.250% due 11/06/2008		75		74
4.500% due 08/12/2009		200		196
Fortis Bank
5.265% due 04/28/2008		100		100
General Electric Capital Corp.
5.410% due 10/26/2009		200		200
5.480% due 12/15/2009		1,200		1,204
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		300		300
5.455% due 12/22/2008		2,100		2,104
5.456% due 06/23/2009		700		701
5.464% due 11/10/2008		1,700		1,703
5.476% due 07/29/2008		1,300		1,303
5.570% due 03/02/2010		500		502
HBOS Treasury Services PLC
5.350% due 07/17/2008		100		100
5.410% due 12/08/2010		1,500		1,501
5.414% due 07/17/2009		1,600		1,602
HSBC Bank USA N.A.
5.426% due 07/28/2008		100		100
5.490% due 12/14/2009		250		251
HSBC Finance Corp.
5.375% due 05/21/2008		100		100
5.420% due 10/21/2009		200		200
5.490% due 09/15/2008		1,400		1,404
5.655% due 11/16/2009		700		705
6.538% due 11/13/2007		1,800		1,812
Hutchison Whampoa Finance CI Ltd.
6.950% due 08/01/2007		500		504
Industry & Construction Bank St Petersburg OJSC
6.875% due 07/29/2008		300		305
International Lease Finance Corp.
5.590% due 05/24/2010		1,000		1,005
John Deere Capital Corp.
5.424% due 04/15/2008		800		801
5.424% due 07/15/2008		700		701
JPMorgan Chase & Co.
5.400% due 06/26/2009		100		100
5.446% due 06/25/2010		1,500		1,502
5.562% due 10/02/2009		890		894
Lehman Brothers Holdings, Inc.
5.400% due 11/24/2008		100		100
5.415% due 12/23/2008		1,425		1,426
5.464% due 10/22/2008		2,500		2,504
5.464% due 01/23/2009		1,000		1,002
5.475% due 08/21/2009		2,000		2,002
5.576% due 12/23/2010		1,100		1,104
Malaysia Global Sukuk, Inc.
6.590% due 07/03/2007		1,330		1,340
MBNA Europe Funding PLC
5.450% due 09/07/2007		700		701
Merrill Lynch & Co., Inc.
5.395% due 12/22/2008		200		200
5.414% due 10/23/2008		200		200
5.464% due 08/14/2009		900		901
5.466% due 01/30/2009		500		501
Morgan Stanley
5.390% due 11/21/2008		100		100
5.485% due 02/09/2009		1,000		1,002
5.499% due 02/15/2007		100		100
5.614% due 01/22/2009		600		601
National Australia Bank Ltd.
5.393% due 09/11/2009		1,600		1,602
Nordea Bank Finland
5.292% due 03/31/2008		100		100
5.308% due 05/28/2008		300		300
Pemex Finance Ltd.
9.690% due 08/15/2009		1,265		1,368
Petroleum Export Ltd.
4.633% due 06/15/2010		77		77
5.265% due 06/15/2011		267		261
Royal Bank of Scotland Group PLC
5.365% due 12/21/2007		1,500		1,502
5.424% due 07/21/2008		100		100
Santander U.S. Debt S.A. Unipersonal
5.375% due 09/21/2007		100		100
5.425% due 09/19/2008		100		100
5.426% due 11/20/2009		1,000		1,001
Skandinav Enskilda BK
5.330% due 02/04/2008		100		100
SLM Corp.
5.517% due 07/27/2009		2,600		2,606
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		1,000		1,000
Unicredito Italiano NY
5.360% due 05/06/2008		300		300
5.370% due 05/29/2008		400		400
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		2,200		2,204
6.115% due 09/21/2007		4,350		4,363
8.276% due 07/30/2007		1,000		1,017
Wachovia Bank N.A.
5.430% due 05/25/2010		750		751
5.440% due 12/02/2010		1,000		1,001
Wachovia Corp.
5.410% due 12/01/2009		1,500		1,501
5.426% due 10/28/2008		400		401
5.480% due 03/15/2011		1,000		1,002
5.506% due 10/15/2011		1,600		1,603
Wells Fargo & Co.
5.426% due 03/23/2010		2,600		2,604
Westpac Banking Corp.
5.310% due 06/06/2008		300		300
World Savings Bank FSB
5.415% due 05/08/2009		250		250
5.495% due 03/02/2009		250		251
				93,078
Industrials 9.2%
Allied Waste North America, Inc.
8.500% due 12/01/2008		200		211
Anadarko Petroleum Corp.
5.760% due 09/15/2009		1,500		1,507
Cisco Systems, Inc.
5.451% due 02/20/2009		300		301
Comcast Corp.
5.674% due 07/14/2009		700		702
Cox Communications, Inc.
5.910% due 12/14/2007		1,000		1,004
CSC Holdings, Inc.
7.875% due 12/15/2007		400		406
CSN Iron S.A.
9.125% due 06/01/2007		1,300		1,316
CSN Islands VII Corp.
10.750% due 09/12/2008		400		433
DaimlerChrysler N.A. Holding Corp.
5.820% due 08/03/2009		700		702
EchoStar DBS Corp.
5.750% due 10/01/2008		1,250		1,248
El Paso Corp.
6.950% due 12/15/2007		300		304
7.625% due 08/16/2007		200		203
7.625% due 09/01/2008		200		207
Empresa Brasileira de Telecom S.A.
11.000% due 12/15/2008		100		110
FedEx Corp.
5.455% due 08/08/2007		400		401
Hewlett-Packard Co.
5.496% due 05/22/2009		200		200
Hilton Hotels Corp.
7.950% due 04/15/2007		300		303
HJ Heinz Co.
6.428% due 12/01/2008		700		713
Home Depot, Inc.
5.490% due 12/16/2009		200		200
JC Penney Corp., Inc.
7.600% due 04/01/2007		300		301
Mandalay Resort Group
10.250% due 08/01/2007		600		617
MGM Mirage
9.750% due 06/01/2007		1,465		1,491
Mirage Resorts, Inc.
6.750% due 08/01/2007		200		202
6.750% due 02/01/2008		150		152
Oracle Corp.
5.603% due 01/13/2009		1,000		1,002
Pemex Project Funding Master Trust
7.174% due 10/15/2009		1,100		1,140
8.500% due 02/15/2008		1,000		1,031
8.850% due 09/15/2007		1,800		1,844
Qwest Communications International, Inc.
8.874% due 02/15/2009		100		102
Reynolds American, Inc.
6.500% due 06/01/2007		400		403
Salomon Brothers AG for OAO Gazprom
9.125% due 04/25/2007		4,275		4,341
Salomon Brothers AG for OAO Siberian Oil Co.
11.500% due 02/13/2007		1,600		1,617
Salomon Brothers AG for Tyumen Oil Co.
11.000% due 11/06/2007		1,050		1,098
Siemens Financieringsmaatschappij NV
5.424% due 08/14/2009		400		400
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/2007		700		703
Telefonos de Mexico S.A. de C.V.
4.500% due 11/19/2008		200		197
Time Warner, Inc.
5.606% due 11/13/2009		600		601
Transocean, Inc.
5.566% due 09/05/2008		700		701
United Technologies Corp.
5.439% due 06/01/2009		200		200
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		400		400
Walt Disney Co.
5.453% due 09/10/2009		1,200		1,202
Williams Cos., Inc.
5.935% due 02/16/2007		400		401
Xerox Corp.
6.111% due 12/18/2009		300		306
				30,923
Utilities 5.0%
America Movil S.A. de C.V.
5.466% due 06/27/2008		1,800		1,799
6.005% due 04/27/2007		1,200		1,205
AT&T, Inc.
4.214% due 06/05/2021		800		798
5.464% due 05/15/2008		600		601
5.584% due 11/14/2008		300		301
BellSouth Corp.
5.474% due 08/15/2008		1,200		1,201
CMS Energy Corp.
7.500% due 01/15/2009		100		104
8.900% due 07/15/2008		100		105
9.875% due 10/15/2007		500		518
Deutsche Telekom International Finance BV
5.546% due 03/23/2009		200		200
Dominion Resources, Inc.
5.554% due 11/14/2008		100		100
5.662% due 09/28/2007		2,200		2,201
Entergy Gulf States, Inc.
6.100% due 12/08/2008		1,200		1,203
Florida Power Corp.
5.774% due 11/14/2008		1,600		1,604
Korea Electric Power Corp.
4.250% due 09/12/2007		775		768
Mobile Telesystems Finance S.A.
9.750% due 01/30/2008		500		520
Qwest Corp.
5.625% due 11/15/2008		600		604
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		399		390
Romanian Thermal Power Plants
9.120% due 12/23/2007		343		352
Verizon Global Funding Corp.
5.504% due 08/15/2007		500		500
Vodafone Group PLC
5.424% due 06/29/2007		1,500		1,500
				16,574
Total Corporate Bonds & Notes (Cost $140,310)				140,575
U.S. GOVERNMENT AGENCIES 1.3%
Fannie Mae
5.410% due 12/25/2036		97		98
5.958% due 06/01/2043 - 09/01/2044		693		698
Federal Home Loan Bank
5.500% due 06/30/2008		200		200
Freddie Mac
4.500% due 04/15/2019		69		68
5.000% due 08/15/2016		328		325
5.500% due 06/12/2008		500		500
5.610% due 08/25/2031		391		393
5.630% due 09/25/2031		400		400
5.700% due 12/15/2030		377		378
5.958% due 02/25/2045		1,224		1,222
Total U.S. Government Agencies (Cost $4,279)				4,282
MORTGAGE-BACKED SECURITIES 2.8%
American Home Mortgage Investment Trust
5.500% due 09/25/2035		80		80
Bear Stearns Alt-A Trust
5.510% due 02/25/2034		100		100
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		100		101
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		62		62
Commercial Mortgage Pass-Through Certificates
5.450% due 04/15/2017		156		156
6.455% due 05/15/2032		97		99
Countrywide Alternative Loan Trust
5.420% due 10/25/2046		336		337
5.530% due 02/20/2047		200		201
Countrywide Home Loan Mortgage Pass-Through Trust
5.500% due 01/25/2046 (a)		200		200
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.430% due 02/25/2037		100		100
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		199		199
5.430% due 01/25/2047		200		200
5.620% due 11/25/2045		361		362
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		88		88
Harborview Mortgage Loan Trust
5.440% due 12/19/2036		100		100
5.540% due 12/19/2036		300		300
5.590% due 03/19/2037		380		381
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		98		98
Indymac Index Mortgage Loan Trust
5.440% due 11/25/2046		93		94
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		651		651
Merrill Lynch Floating Trust
5.420% due 06/15/2022		91		91
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		97		97
5.650% due 08/25/2035		130		130
Sequoia Mortgage Trust
4.082% due 04/20/2035		596		584
Structured Asset Mortgage Investments, Inc.
5.420% due 08/25/2036		451		451
5.570% due 05/25/2036		473		474
Structured Asset Securities Corp.
5.345% due 10/25/2035		95		95
TBW Mortgage-Backed Pass-Through Certificates
5.450% due 09/25/2036		79		79
5.460% due 01/25/2037		100		100
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		198		198
5.440% due 08/25/2036		404		403
5.470% due 04/25/2036		100		100
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		1,464		1,465
Washington Mutual, Inc.
5.557% due 01/25/2047		100		100
5.568% due 12/25/2046		96		97
5.640% due 08/25/2045		76		76
5.770% due 09/25/2046		396		399
5.777% due 10/25/2046		196		197
5.827% due 02/25/2046		174		175
6.027% due 11/25/2042		117		117
Total Mortgage-Backed Securities (Cost $9,338)				9,337
ASSET-BACKED SECURITIES 11.4%
Accredited Mortgage Loan Trust
5.510% due 09/25/2035		100		100
ACE Securities Corp.
5.370% due 08/25/2036		184		184
5.370% due 12/25/2036		96		96
5.400% due 10/25/2036		184		184
5.420% due 12/25/2035		235		235
5.460% due 10/25/2035		471		471
American Express Credit Account Master Trust
5.460% due 09/15/2010		100		100
Ameriquest Mortgage Securities, Inc.
5.430% due 01/25/2036		48		48
5.430% due 03/25/2036		27		27
Argent Securities, Inc.
5.370% due 09/25/2036		242		242
5.370% due 10/25/2036		445		445
5.390% due 06/25/2036		56		56
5.420% due 04/25/2036		47		47
5.430% due 03/25/2036		221		221
5.450% due 11/25/2035		110		110
5.470% due 10/25/2035		56		56
Asset-Backed Funding Certificates
5.360% due 09/25/2036		423		424
5.380% due 10/25/2036		233		233
5.380% due 11/25/2036		81		81
5.380% due 01/25/2037		98		98
5.700% due 06/25/2034		604		605
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		97		97
Bank One Issuance Trust
5.380% due 10/15/2009		100		100
5.460% due 02/15/2011		100		100
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		96		97
5.400% due 10/25/2036		97		97
5.420% due 02/25/2036		14		14
5.440% due 04/25/2036		127		128
5.550% due 09/25/2034		745		747
Capital One Auto Finance Trust
5.340% due 12/14/2007		100		100
Carrington Mortgage Loan Trust
5.390% due 05/25/2036		128		128
5.400% due 01/25/2037		100		100
Chase Credit Card Master Trust
5.450% due 10/15/2009		100		100
5.460% due 10/15/2010		100		100
5.460% due 02/15/2011		100		100
5.470% due 02/15/2010		100		100
Chase Issuance Trust
5.360% due 12/15/2010		100		100
5.370% due 02/15/2012		100		100
Citibank Credit Card Issuance Trust
5.435% due 03/20/2009		1,100		1,101
5.474% due 01/15/2010		100		100
Citigroup Mortgage Loan Trust, Inc.
5.390% due 08/25/2036		327		327
5.400% due 11/25/2036		98		99
Countrywide Asset-Backed Certificates
5.370% due 12/26/2036		100		100
5.370% due 03/25/2037		188		188
5.370% due 05/25/2037		199		199
5.370% due 03/25/2047		368		369
5.380% due 03/25/2037		286		286
5.400% due 01/25/2037		202		202
5.400% due 05/25/2037		99		99
5.410% due 09/25/2046		77		77
5.420% due 07/25/2036		168		168
5.420% due 12/25/2036		100		100
5.430% due 06/25/2037		100		100
5.450% due 01/25/2036		3		3
5.460% due 10/25/2046		569		570
5.480% due 07/25/2036		160		160
5.510% due 02/25/2036		226		226
5.540% due 01/25/2036		750		751
Credit-Based Asset Servicing & Securitization LLC
5.410% due 11/25/2036		98		98
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		200		200
5.329% due 12/08/2007		100		100
FBR Securitization Trust
5.460% due 10/25/2035		74		74
5.530% due 09/25/2035		712		713
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		777		778
5.370% due 12/25/2036		97		97
5.420% due 12/25/2037		100		100
5.440% due 01/25/2036		290		290
5.490% due 05/25/2035		49		49
Fremont Home Loan Trust
5.370% due 10/25/2036		87		87
5.390% due 02/25/2037		553		553
5.410% due 01/25/2037		100		100
5.440% due 01/25/2036		176		176
5.520% due 01/25/2036		100		100
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		176		176
GSAMP Trust
5.390% due 09/25/2036		226		226
5.390% due 10/25/2036		151		152
5.460% due 11/25/2035		135		135
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		100		100
Home Equity Asset Trust
5.440% due 10/25/2035		72		72
5.460% due 02/25/2036		337		337
Home Equity Mortgage Trust
5.440% due 05/25/2036		64		64
5.460% due 02/25/2036		141		141
Honda Auto Receivables Owner Trust
5.342% due 11/15/2007		156		156
HSI Asset Securitization Corp. Trust
5.370% due 10/25/2036		96		96
5.400% due 12/25/2036		296		295
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		75		75
Indymac Residential Asset-Backed Trust
5.370% due 11/25/2036		180		180
5.410% due 04/25/2037		100		100
5.440% due 03/25/2036		423		423
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		523		523
5.400% due 08/25/2036		176		176
5.420% due 03/25/2036		151		151
5.420% due 11/25/2036		86		86
5.430% due 08/25/2036		400		400
5.560% due 06/25/2035		135		135
Lehman XS Trust
5.420% due 05/25/2046		72		72
5.430% due 04/25/2046		590		590
5.430% due 08/25/2046		428		428
5.430% due 11/25/2046		475		475
5.440% due 05/25/2046		152		152
5.470% due 11/25/2036		381		382
Long Beach Mortgage Loan Trust
5.360% due 07/25/2036		148		148
5.360% due 11/25/2036		98		98
5.380% due 06/25/2036		62		62
5.380% due 10/25/2036		188		188
5.410% due 04/25/2036		261		261
5.420% due 03/25/2036		445		446
5.430% due 02/25/2036		216		216
5.440% due 01/25/2036		279		279
5.550% due 11/25/2034		140		141
5.630% due 10/25/2034		626		627
MASTR Asset-Backed Securities Trust
5.380% due 10/25/2036		86		86
5.400% due 03/25/2036		233		233
5.410% due 11/25/2036		100		100
5.430% due 01/25/2036		377		377
5.500% due 11/25/2035		219		219
MBNA Credit Card Master Note Trust
5.460% due 08/17/2009		300		300
5.470% due 08/16/2010		100		100
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		77		77
5.390% due 07/25/2037		275		275
5.400% due 05/25/2037		538		538
5.400% due 09/25/2037		476		476
5.420% due 08/25/2036		500		500
5.420% due 02/25/2037		210		210
5.440% due 10/25/2037		91		92
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		96		96
5.370% due 09/25/2036		280		280
5.370% due 10/25/2036		97		96
5.390% due 06/25/2036		69		69
5.430% due 12/25/2035		32		32
Morgan Stanley Capital I
5.420% due 02/25/2036		576		576
5.470% due 02/25/2036		100		100
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		96		96
Nelnet Student Loan Trust
5.338% due 09/25/2012		100		100
New Century Home Equity Loan Trust
5.420% due 08/25/2036		357		358
5.460% due 09/25/2035		87		87
5.470% due 10/25/2035		51		52
Newcastle Mortgage Securities Trust
5.420% due 03/25/2036		110		110
Nissan Auto Lease Trust
5.347% due 12/14/2007		88		88
Nomura Home Equity Loan, Inc.
5.430% due 02/25/2036		42		42
Option One Mortgage Loan Trust
5.400% due 07/25/2036		71		71
5.450% due 11/25/2035		199		200
Park Place Securities, Inc.
5.510% due 09/25/2035		26		26
Renaissance Home Equity Loan Trust
5.500% due 11/25/2035		40		40
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		91		91
5.400% due 02/25/2036		274		274
5.400% due 10/25/2036		284		284
5.450% due 08/25/2046		100		100
5.460% due 05/25/2025		131		131
Residential Asset Securities Corp.
5.360% due 06/25/2036		301		301
5.360% due 08/25/2036		338		339
5.390% due 11/25/2036		96		96
5.400% due 10/25/2036		282		282
5.420% due 02/25/2036		108		109
5.420% due 07/25/2036		522		522
5.420% due 11/25/2036		192		192
5.430% due 01/25/2036		254		254
5.460% due 10/25/2035		175		175
Residential Funding Mortgage Securities II, Inc.
5.490% due 09/25/2035		173		173
SACO I, Inc.
5.430% due 04/25/2036		54		55
5.460% due 11/25/2020		68		68
5.460% due 12/25/2035		38		39
Saxon Asset Securities Trust
5.380% due 11/25/2036		455		455
Securitized Asset-Backed Receivables LLC Trust
5.410% due 03/25/2036		140		140
5.430% due 11/25/2036		100		100
SG Mortgage Securities Trust
5.450% due 10/25/2035		73		73
SLC Student Loan Trust
5.330% due 12/15/2010		59		59
SLM Student Loan Trust
5.323% due 07/25/2013		100		100
5.345% due 10/25/2012		400		400
5.392% due 04/25/2012		200		200
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		452		452
5.380% due 11/25/2036		194		194
5.410% due 12/25/2036		100		100
5.410% due 01/25/2037		100		100
5.420% due 05/25/2036		200		201
5.420% due 10/25/2036		92		92
5.460% due 11/25/2035		155		155
5.520% due 04/25/2035		41		41
5.580% due 06/25/2035		92		93
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		77		77
5.395% due 11/25/2037		96		96
5.410% due 02/25/2037		68		68
Structured Asset Investment Loan Trust
5.370% due 07/25/2036		73		73
5.440% due 07/25/2035		30		30
Structured Asset Securities Corp.
4.900% due 04/25/2035		435		421
5.370% due 10/25/2036		464		464
5.430% due 11/25/2035		77		77
Triad Auto Receivables Owner Trust
5.341% due 11/13/2007		149		149
Wachovia Auto Owner Trust
5.358% due 11/09/2007		74		74
Washington Mutual Asset-Backed Certificates
5.410% due 10/25/2036		97		97
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		100		100
Total Asset-Backed Securities (Cost $38,131)				38,143
SOVEREIGN ISSUES 7.7%
Chile Government International Bond
5.776% due 01/28/2008		800		803
Development Bank of Kazakhstan JSC
7.125% due 10/10/2007		100		102
Guatemala Government Bond
8.500% due 08/03/2007		1,100		1,123
Korea Development Bank
3.875% due 03/02/2009		460		447
4.250% due 11/13/2007		251		248
4.750% due 07/20/2009		100		99
5.496% due 10/31/2008		500		500
5.774% due 10/20/2009		6,692		6,741
Mexico Government International Bond
4.625% due 10/08/2008		200		198
6.073% due 01/13/2009		6,300		6,365
Panama Government International Bond
8.250% due 04/22/2008		600		618
Russia Government International Bond
8.250% due 03/31/2010		1,866		1,956
10.000% due 06/26/2007		2,675		2,738
Ukraine Government International Bond
8.902% due 08/05/2009		1,300		1,382
11.000% due 03/15/2007		691		699
Venezuela Government International Bond
6.250% due 03/30/2007		119		119
6.250% due 12/18/2007		119		119
9.125% due 06/18/2007		1,570		1,594
Total Sovereign Issues (Cost $25,809)				25,851
FOREIGN CURRENCY-DENOMINATED ISSUES 1.8%
America Movil S.A. de C.V.
8.460% due 12/18/2036	MXN	2,700		247
Argentina Bonos
2.000% due 09/30/2014	ARS	5,000		1,800
Aries Vermoegensverwaltungs GmbH
6.919% due 10/25/2007	EUR	500		679
Brazilian Government International Bond
6.000% due 05/15/2045	BRL	1,000		636
12.500% due 01/05/2022		1,200		640
Telefonos de Mexico S.A. de C.V.
8.750% due 01/31/2016	MXN	19,700		1,910
Total Foreign Currency-Denominated Issues (Cost $5,556)				5,912
SHORT-TERM INSTRUMENTS 29.9%
Certificates of Deposit 0.2%
Barclays Bank PLC
5.265% due 01/29/2007	$	100		100
Skandinaviska Enskilda Banken AB
5.270% due 10/03/2007		100		100
5.272% due 07/06/2007		200		200
Societe Generale NY
5.258% due 06/11/2007		100		100
5.258% due 06/20/2007		100		100
				600
Commercial Paper 29.2%
Barclays U.S. Funding Corp.
5.250% due 01/17/2007		1,300		1,297
5.250% due 03/14/2007		8,400		8,308
CBA (de) Finance
5.250% due 03/07/2007		9,000		8,911
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		400		390
Danske Corp.
5.240% due 01/30/2007		6,300		6,275
Dexia Delaware LLC
5.300% due 01/02/2007		5,900		5,900
DnB NORBank ASA
5.200% due 03/26/2007		7,600		7,504
General Electric Capital Corp.
5.240% due 02/09/2007		1,000		995
IXIS Commercial Paper Corp.
5.245% due 01/26/2007		7,400		7,375
5.300% due 01/18/2007		2,600		2,594
San Paolo IMI U.S. Financial Co.
5.290% due 01/02/2007		9,100		9,100
Societe Generale NY
5.200% due 04/02/2007		1,000		986
5.225% due 03/01/2007		1,900		1,884
5.240% due 03/12/2007		700		693
Spintab AB
5.250% due 01/30/2007		2,100		2,092
Svenska Handelsbanken, Inc.
5.235% due 03/05/2007		7,700		7,626
UBS Finance Delaware LLC
5.160% due 06/12/2007		3,100		3,026
5.240% due 01/22/2007		2,500		2,493
5.270% due 01/02/2007		4,400		4,400
Unicredito Italiano SpA
5.250% due 01/19/2007		6,500		6,485
Viacom, Inc.
5.594% due 05/29/2007		1,000		1,000
Westpac Capital Corp.
5.210% due 03/29/2007		5,500		5,428
5.250% due 02/06/2007		2,600		2,587
				97,349
Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 01/02/2007		565		565
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $580. Repurchase proceeds are $565.)
Egypt Treasury Bills 0.3%
7.575% due 01/30/2007 (b)	EGP	6,000		1,045
Total Short-Term Instruments (Cost $99,588)				99,559
Total Investments (c) 97.0% (Cost $323,011)			$	323,659
Other Assets and Liabilities (Net) 3.0%				10,106
Net Assets 100.0%			$	333,765

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

(c) As of December 31, 2006, portfolio securities with an aggregate value of $7,303 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Swap agreements outstanding on December 31, 2006:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Barclays Bank PLC	BRL-CDI-Compounded	Pay	15.060	%	1/2/2009	BRL	1,000	$	19
Barclays Bank PLC	BRL-CDI-Compounded	Pay	15.125	%	1/2/2009		700		14
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	15.160	%	1/2/2009		700		14
Morgan Stanley	BRL-CDI-Compounded	Pay	16.120	%	7/2/2007		1,500		15
Morgan Stanley	BRL-CDI-Compounded	Pay	14.630	%	1/2/2009		4,900		76
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	8/3/2016	MXN	2,550		15
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	8/3/2016		2,550		15
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		3,500		20
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	9/12/2016		10,000		65
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	4/17/2009		7,700		16
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	9.920	%	8/12/2015		4,000		50
								$	319

(e) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	15,829	01/2007	$	125	$	0		$	125
Sell		4,299	01/2007		0		(18	)		(18	)
Buy		13,421	05/2007		93		0			93
Buy		5,242	06/2007		29		0			29
Buy	CLP	1,744,862	01/2007		0		(126	)		(126	)
Buy		898,102	02/2007		0		(23	)		(23	)
Sell		220,461	02/2007		0		(4	)		(4	)
Buy		4,685,438	06/2007		0		(90	)		(90	)
Buy	CNY	20,847	02/2007		22		0			22
Buy		3,088	03/2007		0		0			0
Buy		55,184	07/2007		130		0			130
Sell		5,252	07/2007		0		(10	)		(10	)
Buy	COP	10,214,650	01/2007		221		0			221
Buy		5,338,793	04/2007		104		0			104
Buy	CZK	259,261	04/2007		941		0			941
Buy		285,294	05/2007		65		0			65
Buy	EUR	2,778	01/2007		0		(41	)		(41	)
Buy	HKD	84,595	01/2007		0		(15	)		(15	)
Sell		84,595	01/2007		9		0			9
Buy		58,970	02/2007		0		(5	)		(5	)
Buy	IDR	55,886,795	01/2007		200		0			200
Sell		55,886,795	01/2007		0		(81	)		(81	)
Buy		26,052,900	02/2007		85		0			85
Buy		55,886,795	07/2007		45		0			45
Buy	ILS	28,512	03/2007		0		(38	)		(38	)
Buy		12,592	04/2007		45		0			45
Buy	INR	26,018	02/2007		28		0			28
Buy		120,507	04/2007		79		0			79
Buy		221,335	05/2007		65		0			65
Buy	JPY	260,532	01/2007		0		(8	)		(8	)
Sell		112,833	01/2007		2		0			2
Buy		334,871	02/2007		0		(38	)		(38	)
Buy	KRW	4,027,785	01/2007		60		0			60
Sell		4,027,785	01/2007		12		0			12
Buy		8,519,149	02/2007		112		(21	)		91
Buy		2,537,248	03/2007		58		0			58
Buy		4,027,785	04/2007		0		(13	)		(13	)
Buy	KZT	63,830	01/2007		3		0			3
Buy		12,630	05/2007		0		0			0
Buy	MXN	153,154	01/2007		305		0			305
Buy		48,404	04/2007		30		(8	)		22
Buy		183,151	05/2007		27		0			27
Buy	MYR	20,915	01/2007		102		0			102
Sell		20,915	01/2007		0		(32	)		(32	)
Buy		6,406	03/2007		50		0			50
Buy		20,915	07/2007		18		0			18
Buy	PLN	18,492	04/2007		211		0			211
Buy		48,055	05/2007		549		(58	)		491
Buy		42,788	06/2007		0		(189	)		(189	)
Buy	RUB	104,081	01/2007		37		0			37
Buy		204,328	05/2007		87		0			87
Buy		24,061	08/2007		11		0			11
Buy		9,322	09/2007		0		(2	)		(2	)
Buy		83,137	12/2007		0		(11	)		(11	)
Buy	SGD	20,771	01/2007		343		0			343
Sell		17,696	01/2007		0		(59	)		(59	)
Buy		25,690	02/2007		174		0			174
Buy		5,957	03/2007		82		0			82
Buy		17,696	04/2007		58		0			58
Buy	SKK	177,681	04/2007		438		0			438
Buy		150,869	05/2007		458		0			458
Buy	THB	96,996	02/2007		97		0			97
Buy		26,387	03/2007		13		0			13
Buy		50,563	05/2007		22		0			22
Buy	TRY	11,149	01/2007		557		0			557
Buy		13,972	05/2007		342		0			342
Buy		2,560	07/2007		79		0			79
Buy	TWD	46,095	01/2007		16		0			16
Sell		46,095	01/2007		1		0			1
Buy		175,946	02/2007		62		(16	)		46
Buy		46,095	03/2007		0		(2	)		(2	)
Buy	ZAR	46,594	05/2007		386		0			386
Buy		79,242	06/2007		58		0			58
				$	7,146	$	(908	)	$	6,238

See accompanying notes

Schedule of Investments

Emerging Markets Portfolio

December 31, 2006 (Unaudited)

		Principal Amount (000s)			Value (000s)
ARGENTINA 0.6%
Argentina Bonos
2.000% due 09/30/2014	ARS	1,000		$	360
5.590% due 08/03/2012	$	8,090			5,914
Total Argentina (Cost $6,023)					6,274
BRAZIL 20.1%
Brazilian Government International Bond
6.000% due 05/15/2045	BRL	2,000			1,272
7.125% due 01/20/2037	$	10			11
8.000% due 01/15/2018		33,723			37,584
8.250% due 01/20/2034		22,020			26,754
8.750% due 02/04/2025		2,500			3,094
8.875% due 10/14/2019		7,300			8,924
8.875% due 04/15/2024		7,835			9,782
10.000% due 08/07/2011		2,600			3,074
10.125% due 05/15/2027		13,594			19,134
10.250% due 06/17/2013		4,450			5,507
10.500% due 07/14/2014		21,325			27,030
11.000% due 08/17/2040		28,875			38,296
12.500% due 01/05/2022	BRL	11,425			6,088
12.750% due 01/15/2020	$	150			234
Cia de Saneamento Basico do Estado de Sao Paulo
7.500% due 11/03/2016		2,100			2,218
CSN Islands VII Corp.
10.750% due 09/12/2008		2,025			2,192
Embraer Overseas Ltd.
6.375% due 01/24/2017		1,200			1,203
Petrobras International Finance Co.
7.750% due 09/15/2014		650			726
9.125% due 02/01/2007		1,075			1,078
Vale Overseas Ltd.
6.250% due 01/23/2017		2,200			2,221
6.875% due 11/21/2036		3,300			3,401
Total Brazil (Cost $177,421)					199,823
CAYMAN ISLANDS 0.3%
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014		3,280			3,315
Total Cayman Islands (Cost $3,275)					3,315
CHILE 0.5%
Banco Santander Chile
5.375% due 12/09/2014		1,500			1,480
CODELCO, Inc.
5.625% due 09/21/2035		2,700			2,581
6.150% due 10/24/2036		700			720
Total Chile (Cost $4,844)					4,781
CHINA 0.0%
China Development Bank
5.000% due 10/15/2015		500			487
Total China (Cost $495)					487
COLOMBIA 2.4%
Colombia Government International Bond
7.375% due 01/27/2017		100			108
7.375% due 09/18/2037		2,600			2,797
8.250% due 12/22/2014		15,100			17,214
10.000% due 01/23/2012		920			1,086
10.375% due 01/28/2033		635			913
10.750% due 01/15/2013		1,220			1,516
Total Colombia (Cost $23,020)					23,634
EGYPT 0.1%
Petroleum Export Ltd.
5.265% due 06/15/2011		890		$	870
Total Egypt (Cost $889)					870
EL SALVADOR 0.4%
AES El Salvador Trust
6.750% due 02/01/2016		4,250			4,249
El Salvador Government International Bond
8.500% due 07/25/2011		125			139
Total El Salvador (Cost $4,369)					4,388
GUATEMALA 0.6%
Guatemala Government Bond
9.250% due 08/01/2013		4,717			5,545
Total Guatemala (Cost $4,796)					5,545
KAZAKHSTAN 0.9%
ATF Bank JSC
9.000% due 05/11/2016		650			634
Intergas Finance BV
6.875% due 11/04/2011		500			518
Kazkommerts International BV
8.500% due 04/16/2013		950			1,018
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		6,450			6,488
Total Kazakhstan (Cost $8,703)					8,658
LUXEMBOURG 0.6%
Gaz Capital for Gazprom
6.212% due 11/22/2016		3,000			3,028
TNK-BP Finance S.A.
7.500% due 07/18/2016		2,600			2,789
Total Luxembourg (Cost $5,702)					5,817
MALAYSIA 1.3%
Petroliam Nasional Bhd.
7.750% due 08/15/2015		8,422			9,865
TNB Capital L Ltd.
5.250% due 05/05/2015		3,200			3,162
Total Malaysia (Cost $12,359)					13,027
MEXICO 11.4%
America Movil S.A. de C.V.
5.466% due 06/27/2008		6,300			6,296
5.500% due 03/01/2014		5,000			4,900
5.750% due 01/15/2015		5,900			5,852
8.460% due 12/18/2036	MXN	10,900			998
Cablemas S.A. de C.V.
9.375% due 11/15/2015	$	5,000			5,525
Desarrolladora Homex S.A. de C.V.
7.500% due 09/28/2015		10,300			10,557
Grupo Transportacion Ferroviaria Mexicana
S.A. de C.V.
9.375% due 05/01/2012		1,000			1,072
Mexico Government International Bond
5.625% due 01/15/2017		150			151
6.750% due 09/27/2034		100			108
7.500% due 04/08/2033		5,310			6,279
8.125% due 12/30/2019		1,406			1,712
8.300% due 08/15/2031		5,332			6,830
11.375% due 09/15/2016		310			447
11.500% due 05/15/2026		3,000			4,860
Mexico Government International Bond Rights
0.000% due 06/30/2007		90,175,000			1,308
		Principal Amount (000s	)
Pemex Project Funding Master Trust
5.750% due 12/15/2015	$	6,500			6,463
6.125% due 08/15/2008		125			126
6.625% due 06/15/2035		400			410
7.375% due 12/15/2014		9,661			10,661
7.875% due 02/01/2009		550			578
8.000% due 11/15/2011		8,855			9,763
8.625% due 02/01/2022		9,128			11,305
9.125% due 10/13/2010		570			641
9.250% due 03/30/2018		5,955			7,524
9.500% due 09/15/2027		6,065			8,166
Telefonos de Mexico S.A. de C.V.
8.750% due 01/31/2016	MXN	10,000			970
Total Mexico (Cost $106,831)					113,502
MOROCCO 0.0%
Kingdom of Morocco
5.688% due 01/01/2009	$	340			343
Total Morocco (Cost $333)					343
NETHERLANDS 0.0%
HSBK Europe BV
7.750% due 05/13/2013		350			371
Total Netherlands (Cost $349)					371
PAKISTAN 0.5%
Pakistan Government International Bond
7.125% due 03/31/2016		4,750			4,988
Total Pakistan (Cost $4,688)					4,988
PANAMA 2.7%
Panama Government International Bond
6.700% due 01/26/2036		21,342			22,302
7.125% due 01/29/2026		1,900			2,061
8.875% due 09/30/2027		500			638
9.625% due 02/08/2011		1,179			1,350
Total Panama (Cost $21,431)					26,351
PERU 1.9%
Peru Government International Bond
5.000% due 03/07/2017		766			764
9.125% due 02/21/2012		13,091			15,186
Southern Copper Corp.
7.500% due 07/27/2035		2,800			3,050
Total Peru (Cost $18,522)					19,000
RUSSIA 7.5%
Gaz Capital for Gazprom
5.875% due 06/01/2015	EUR	23,500			32,570
8.625% due 04/28/2034	$	1,100			1,416
Gazprom International S.A.
7.201% due 02/01/2020		10,650			11,257
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		1,000			1,050
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		3,700			4,428
RSHB Capital AG S.A. for OJSC Russian
Agricultural Bank
7.175% due 05/16/2013		2,050			2,165
Russia Government International Bond
5.000% due 03/31/2030		9,200			10,408
11.000% due 07/24/2018		800			1,158
12.750% due 06/24/2028		1,600			2,894
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		1,000			1,100
TNK-BP Finance S.A.
7.500% due 07/18/2016		1,000			1,066
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		5,000			5,009
6.115% due 09/21/2007		50			50
Total Russia (Cost $73,836)					74,571
SOUTH AFRICA 1.5%
South Africa Government International Bond
5.250% due 05/16/2013	EUR	10,052			13,722
8.500% due 06/23/2017	$	631			771
Total South Africa (Cost $12,555)					14,493
TUNISIA 1.1%
Banque Centrale de Tunisie
4.750% due 04/07/2011	EUR	450			600
7.375% due 04/25/2012	$	2,114			2,300
7.500% due 08/06/2009	EUR	1,869			2,663
8.250% due 09/19/2027	$	4,000			4,948
Total Tunisia (Cost $7,985)					10,511
UKRAINE 1.8%
Ukraine Government International Bond
7.650% due 06/11/2013	$	5,238			5,651
8.902% due 08/05/2009		11,895			12,649
Total Ukraine (Cost $17,578)					18,300
UNITED STATES 1.2%
Corporate Bonds & Notes 0.7%
C5 Capital SPV Ltd.
6.196% due 12/01/2049	$	400			401
C10 Capital SPV Ltd.
6.722% due 12/01/2049		3,100			3,103
Pemex Project Funding Master Trust
6.660% due 06/15/2010		3,000			3,083
					6,587
U.S. Government Agencies 0.5%
Fannie Mae
5.500% due 02/01/2036 - 12/01/2036		5,444			5,382
					5,382
Total United States (Cost $11,871)					11,969
URUGUAY 1.5%
Uruguay Government International Bond
7.500% due 03/15/2015	$	4,000			4,330
7.625% due 03/21/2036		1,900			2,100
8.000% due 11/18/2022		7,374			8,406
Total Uruguay (Cost $14,167)					14,836
VENEZUELA 5.9%
Venezuela Government International Bond
5.375% due 08/07/2010	$	8,250			8,126
6.000% due 12/09/2020		6,550			6,141
6.374% due 04/20/2011	$	3,600		$	3,587
7.650% due 04/21/2025		12,050			13,165
8.500% due 10/08/2014		5,200			5,897
9.250% due 09/15/2027		315			402
9.375% due 01/13/2034		12,900			17,060
10.750% due 09/19/2013		2,910			3,623
		Shares
Venezuela Government International Bond Rights
0.000% due 04/15/2020		5,000			176
Total Venezuela (Cost $53,229)					58,177
		Principal Amount (000s	)
VIETNAM 0.1%
Socialist Republic of Vietnam
6.875% due 01/15/2016	$	600			650
Total Vietnam (Cost $590)					650
SHORT-TERM INSTRUMENTS 33.5%
Commercial Paper 31.1%
Abbey National N.A. LLC
5.200% due 04/02/2007	$	23,400			23,080
5.225% due 03/07/2007		4,000			3,960
ASB Finance Ltd.
5.260% due 02/05/2007		23,100			22,989
Bank of America Corp.
5.200% due 04/02/2007		100			99
5.225% due 03/27/2007		700			691
5.230% due 03/20/2007		28,600			28,262
Bank of Ireland
5.245% due 01/30/2007		23,000			22,910
Danske Corp.
5.240% due 01/30/2007		23,000			22,910
5.260% due 01/04/2007		5,700			5,699
General Electric Capital Corp.
5.240% due 02/08/2007		45,200			44,963
IXIS Commercial Paper Corp.
5.230% due 03/05/2007		25,900			25,651
Rabobank USA Financial Corp.
5.280% due 01/02/2007		21,200			21,200
Skandinaviska Enskilda Banken AB
5.220% due 03/06/2007		26,600			26,340
Societe Generale NY
5.225% due 03/01/2007		500			496
5.245% due 01/08/2007		2,400			2,398
UBS Finance Delaware LLC
5.225% due 03/08/2007		4,700			4,653
5.240% due 01/22/2007		22,800			22,737
5.245% due 01/08/2007		1,300			1,299
Westpac Capital Corp.
5.245% due 01/17/2007		22,500			22,454
Westpac Trust Securities NZ Ltd.
5.245% due 01/25/2007		2,700			2,691
5.250% due 02/06/2007		3,500			3,483
					308,965
Repurchase Agreements 2.0%
Lehman Brothers, Inc.
4.850% due 01/02/2007	$	15,000		$	15,000
(Dated 12/29/2006. Collateralized by
U.S. Treasury Inflation Protected
Securities 3.875% due 04/15/2029 valued at $15,369. Repurchase proceeds are $15,008.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		5,112			5,112
(Dated 12/29/2006. Collateralized by
Fannie Mae 3.530% due 09/05/2008 valued at $5,218. Repurchase proceeds are $5,115.)
					20,112
U.S. Treasury Bills 0.4%
4.799% due 03/15/2007 (a)(c)		4,254			4,207
Total Short-Term Instruments (Cost $333,379)					333,284
Purchased Options (e) 0.0% (Cost $23)					0
Total Investments (b) 98.4% (Cost $929,263)				$	977,965
Other Assets and Liabilities (Net) 1.6%					16,246
Net Assets 100.0%				$	994,211

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

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

(a) Coupon represents a weighted average rate.

(b) As of December 31, 2006, portfolio securities with an aggregate value of $17,062 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $4,207 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Eurodollar December Futures	Long	12/2007	1,060	$	454
90-Day Eurodollar December Futures	Long	12/2008	32		18
90-Day Eurodollar March Futures	Long	03/2009	3		1
90-Day Eurodollar September Futures	Long	09/2007	2,071		(1,011	)
90-Day Eurodollar September Futures	Long	09/2008	326		158
U.S. Treasury 5-Year Note March Futures	Long	03/2007	567		(373	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	1,338		(1,334	)
				$	(2,087	)

(d) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008	$	1,700	$	5
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.700	%	3/20/2011		11,000		180
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.460	%	4/20/2011		20,000		543
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	8/20/2011		9,000		218
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	8/20/2011		8,000		196
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.700	%	9/20/2011		500		13
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.170	%)	8/20/2016		5,000		(268	)
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.150	%)	8/20/2016		5,000		(261	)
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	12/20/2016		6,500		224
Citibank N.A.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.790	%	7/20/2011		300		4
Citibank N.A.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011		1,350		23
Citibank N.A.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.800	%	11/15/2013		9,500		1,264
Citibank N.A.	Multiple Reference Entities of Gazprom	Sell	1.350	%	8/20/2016		7,000		185
Credit Suisse First Boston	Brazilian Government International Bond 10.125% due 05/15/2027	Sell	8.250	%	3/11/2009		30,000		5,621
Credit Suisse First Boston	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.800	%	1/16/2013		6,000		802
Credit Suisse First Boston	Multiple Reference Entities of Gazprom	Sell	1.580	%	6/20/2016		5,000		191
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.130	%	11/20/2011		10,000		89
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011		10,000		62
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	0.900	%	11/20/2011		25,000		200
Deutsche Bank AG	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		42,000		255
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011		800		14
Goldman Sachs & Co.	Brazilian Government International Bond 14.500% due 10/15/2009	Sell	27.750	%	11/4/2007		3,650		998
Goldman Sachs & Co.	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.450	%	4/8/2013		5,300		588
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.320	%	2/20/2007		1,000		1
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.770	%	5/20/2007		50		0
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	1.000	%	4/20/2011		31,000		442
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.390	%	8/20/2011		8,000		204
JPMorgan Chase & Co.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.050	%	9/20/2011		5,250		209
JPMorgan Chase & Co.	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.840	%	1/4/2013		18,000		2,456
JPMorgan Chase & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.320	%	1/21/2014		10,700		1,222
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	1.500	%	4/20/2016		10,000		350
JPMorgan Chase & Co.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.130	%	4/20/2016		11,150		247
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Buy	(2.190	%)	8/20/2016		5,000		(275	)
JPMorgan Chase & Co.	Cemex SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016		2,100		38
Lehman Brothers, Inc.	Philippine Government International Bond 8.250% due 01/15/2014	Buy	(2.850	%)	3/20/2008		5,000		(154	)
Lehman Brothers, Inc.	Philippine Government International Bond 8.250% due 01/15/2014	Buy	(2.470	%)	9/20/2008		5,000		(172	)
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.140	%	7/20/2011		2,700		61
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.800	%	7/20/2011		672		9
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.520	%	12/20/2011		8,000		128
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.840	%	8/20/2012		4,700		212
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	2.020	%	7/20/2013		2,230		117
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.330	%	3/20/2016		6,025		143
Lehman Brothers, Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.690	%	3/20/2016		20,000		111
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.220	%	4/20/2016		2,800		80
Merrill Lynch & Co., Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.740	%	11/18/2013		10,000		1,293
Merrill Lynch & Co., Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.310	%	1/21/2014		1,350		153
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.050	%	4/20/2011		1,000		16
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.140	%	7/20/2011		600		14
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.220	%	10/20/2011		2,000		36
Morgan Stanley	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		12,000		1
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.390	%	5/20/2016		20,500		527
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.350	%	8/20/2016		5,000		132
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.555	%	9/20/2011		1,000		19
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.270	%	12/20/2011		10,000		51
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011		8,900		144
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.620	%	12/20/2011		1,000		20
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.360	%	9/20/2016		4,700		181
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.480	%	9/20/2016		4,500		212
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.385	%	9/20/2016		600		24
								$	19,398

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Barclays Bank PLC	BRL-CDI-Compounded	Pay	15.060	%	1/2/2009	BRL	4,200	$	81
Barclays Bank PLC	BRL-CDI-Compounded	Pay	15.125	%	1/2/2009		2,800		55
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	14.280	%	1/4/2010		4,600		80
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	15.160	%	1/2/2009		2,800		56
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	13.290	%	1/4/2010		47,900		392
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	13.840	%	1/4/2010		21,300		280
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	14.360	%	1/4/2010		4,600		82
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	1/4/2010		47,000		144
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	8/3/2016	MXN	5,700		34
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	8/3/2016		5,700		34
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		475,100		2,078
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	9/22/2016		52,250		349
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		105,000		329
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	9/12/2016		50,000		325
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	4/17/2009		37,100		79
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.850	%	9/21/2016		80,000		509
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	9/5/2016		40,000		174
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	9.920	%	8/12/2015		38,000		478
								$	5,559

(e) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar March Futures	$	92.000	3/19/2007	900	$	9	$	0
Put - CME 90-Day Eurodollar March Futures		92.250	3/19/2007	969		9		0
Put - CME 90-Day Eurodollar March Futures		92.500	3/19/2007	500		5		0
					$	23	$	0

(f) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	BRL	8,095	05/2007	$	65	$	0		$	65
Buy		14,918	06/2007		137		0			137
Buy	CLP	344,624	02/2007		7		0			7
Buy		529,000	05/2007		0		(12	)		(12	)
Buy		231,500	06/2007		0		(5	)		(5	)
Buy	CNY	7,770	03/2007		3		0			3
Buy		23,884	09/2007		74		0			74
Sell	EUR	36,759	01/2007		74		(170	)		(96	)
Sell	HKD	2,000	01/2007		0		0			0
Buy	INR	1,266	05/2007		0		0			0
Buy	JPY	1,276,108	02/2007		0		(150	)		(150	)
Buy	KRW	1,171,009	02/2007		38		0			38
Sell		130,000	02/2007		0		0			0
Buy		3,964,497	03/2007		108		0			108
Sell		3,173,300	03/2007		6		0			6
Buy	MXN	3,774	04/2007		8		0			8
Buy	PLN	19,525	04/2007		223		0			223
Sell		14,549	06/2007		64		0			64
Buy	RUB	40,784	01/2007		19		0			19
Buy		111,885	09/2007		37		(5	)		32
Buy		114,559	12/2007		0		(15	)		(15	)
Buy	SGD	3,711	01/2007		30		0			30
Buy		610	02/2007		5		0			5
Buy	TWD	20,580	01/2007		1		0			1
Sell		20,580	01/2007		1		0			1
Buy		55,435	02/2007		0		(21	)		(21	)
Sell		8,000	02/2007		2		0			2
Buy		20,580	03/2007		0		(1	)		(1	)
Buy	ZAR	6,945	06/2007		5		0			5
				$	907	$	(379	)	$	528

See accompanying notes

Schedule of Investments

High Yield Portfolio

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 5.0%
Cebridge Connections, Inc.
7.379% due 11/05/2013	$	2,000	$	2,004
Charter Communications Operating LLC
8.005% due 04/25/2013		3,500		3,527
Eastman Kodak Co.
7.365% due 10/14/2012		139		140
7.600% due 10/14/2012		347		349
7.639% due 10/14/2012		351		352
7.649% due 10/14/2012		1,064		1,068
Ford Motor Co.
8.360% due 11/29/2013		2,000		2,001
General Motors Acceptance Corp.
7.745% due 11/27/2013		1,500		1,503
Goodyear Tire & Rubber Co.
7.954% due 04/30/2010		1,000		1,014
HCA, Inc.
8.114% due 11/14/2013		2,000		2,025
Headwaters, Inc.
7.330% due 04/30/2011		81		81
7.500% due 04/30/2011		593		590
Hertz Corp.
5.390% due 12/21/2012		167		168
7.350% due 12/21/2012		370		373
7.380% due 12/21/2012		57		57
7.580% due 12/21/2012		379		382
7.700% due 12/21/2012		139		140
7.730% due 12/21/2012		379		382
Idearc, Inc.
7.320% due 11/09/2014		2,000		2,012
Metro-Goldwyn-Mayer, Inc.
7.749% due 04/08/2012		2,990		2,966
Roundy’s Supermarket, Inc.
7.870% due 11/01/2011		496		501
8.330% due 11/01/2011		489		494
Service Corp. International
5.000% due 04/02/2016		1,000		1,003
Spansion LLC
8.375% due 10/30/2012		1,000		1,004
West Corp.
8.100% due 10/23/2013		2,000		2,002
Wind Acquisition Finance S.A.
10.000% due 12/21/2011		300		300
Total Bank Loan Obligations (Cost $26,389)				26,438
CORPORATE BONDS & NOTES 86.3%
Banking & Finance 23.8%
AES Ironwood LLC
8.857% due 11/30/2025		798		899
AES Red Oak LLC
8.540% due 11/30/2019		729		796
BCP Crystal U.S. Holdings Corp.
9.625% due 06/15/2014		2,876		3,193
Consolidated Communications Illinois
9.750% due 04/01/2012		296		318
Ferrellgas Escrow LLC
6.750% due 05/01/2014		500		489
Ford Motor Credit Co.
7.000% due 10/01/2013		500		478
7.375% due 02/01/2011		29,166		28,898
8.000% due 12/15/2016		5,000		4,949
8.625% due 11/01/2010		160		165
Forest City Enterprises, Inc.
7.625% due 06/01/2015		225		231
General Motors Acceptance Corp.
6.000% due 04/01/2011		887		882
6.750% due 12/01/2014		29,350		30,192
6.875% due 08/28/2012		1,075		1,105
7.000% due 02/01/2012		270		279
8.000% due 11/01/2031		350		403
Idearc, Inc.
8.000% due 11/15/2016		3,000		3,060
K&F Acquisition, Inc.
7.750% due 11/15/2014		360		373
KRATON Polymers LLC
8.125% due 01/15/2014		1,950		1,960
Rotech Healthcare, Inc.
9.500% due 04/01/2012		2,245		2,211
Sally Holdings LLC
9.250% due 11/15/2014		875		896
Targeted Return Index Securities Trust
7.548% due 05/01/2016		31,680		32,382
Tenneco, Inc.
8.625% due 11/15/2014		2,560		2,624
10.250% due 07/15/2013		760		836
Universal City Florida Holding Co. I
8.375% due 05/01/2010		2,000		2,060
10.121% due 05/01/2010		50		52
Ventas Realty LP
6.750% due 04/01/2017		2,550		2,646
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		1,950		2,228
				124,605
Industrials 50.5%
Abitibi-Consolidated, Inc.
7.400% due 04/01/2018		450		358
8.550% due 08/01/2010		300		286
Albertson’s, Inc.
7.450% due 08/01/2029		2,100		2,062
Allied Waste North America, Inc.
7.125% due 05/15/2016		375		373
7.250% due 03/15/2015		6,120		6,158
American Cellular Corp.
10.000% due 08/01/2011		1,200		1,275
AmeriGas Partners LP
7.125% due 05/20/2016		3,050		3,065
7.250% due 05/20/2015		2,000		2,035
Arco Chemical Co.
10.250% due 11/01/2010		225		250
Arvin Capital I
9.500% due 02/01/2027		510		521
Bombardier, Inc.
8.000% due 11/15/2014		125		129
Bon-Ton Stores, Inc.
10.250% due 03/15/2014		2,450		2,517
Bowater Canada Finance
7.950% due 11/15/2011		1,110		1,093
Boyd Gaming Corp.
7.125% due 02/01/2016		1,000		1,000
Buhrmann U.S., Inc.
8.250% due 07/01/2014		900		898
CanWest Media, Inc.
8.000% due 09/15/2012		830		870
Cascades, Inc.
7.250% due 02/15/2013		1,260		1,263
CCO Holdings LLC
8.750% due 11/15/2013		2,185		2,281
Celestica, Inc.
7.625% due 07/01/2013		750		735
7.875% due 07/01/2011		350		348
Chart Industries, Inc.
9.125% due 10/15/2015		1,075		1,140
Charter Communications Operating LLC
8.375% due 04/30/2014		2,815		2,952
Chesapeake Energy Corp.
6.625% due 01/15/2016		900		899
6.875% due 01/15/2016		3,275		3,320
7.000% due 08/15/2014		925		945
7.500% due 06/15/2014		50		52
Choctaw Resort Development Enterprise
7.250% due 11/15/2019		485		487
Citizens Communications Co.
7.875% due 01/15/2027		500		508
Community Health Systems, Inc.
10.000% due 03/13/2007		1,500		1,513
Complete Production Services, Inc.
8.000% due 12/15/2016		500		515
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		1,800		1,624
Corrections Corp. of America
6.750% due 01/31/2014		270		274
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		275		285
7.750% due 11/15/2015		2,750		2,867
CSC Holdings, Inc.
6.750% due 04/15/2012 (b)		100		98
6.750% due 04/15/2012		900		882
7.625% due 04/01/2011		2,475		2,534
DaVita, Inc.
7.250% due 03/15/2015		3,350		3,434
Delhaize America, Inc.
9.000% due 04/15/2031		1,980		2,361
Delta Air Lines, Inc.
7.111% due 09/18/2011		470		477
Dex Media West LLC
8.500% due 08/15/2010		25		26
9.875% due 08/15/2013		425		465
DirecTV Holdings LLC
6.375% due 06/15/2015		1,660		1,600
8.375% due 03/15/2013		700		732
Dresser-Rand Group, Inc.
7.375% due 11/01/2014		574		581
DRS Technologies, Inc.
7.625% due 02/01/2018		1,450		1,501
Dynegy Holdings, Inc.
7.125% due 05/15/2018		4,253		4,168
8.375% due 05/01/2016		1,200		1,266
EchoStar DBS Corp.
6.375% due 10/01/2011		2,125		2,117
7.125% due 02/01/2016		4,680		4,703
El Paso Corp.
7.420% due 02/15/2037		3,500		3,666
7.750% due 01/15/2032		450		495
7.875% due 06/15/2012		2,400		2,586
8.050% due 10/15/2030		1,300		1,450
El Paso Natural Gas Co.
8.625% due 01/15/2022		800		973
El Paso Production Holding Co.
7.750% due 06/01/2013		4,800		5,046
Ferrellgas Partners LP
8.750% due 06/15/2012		4,095		4,218
Ford Motor Co.
7.450% due 07/16/2031		2,000		1,580
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		1,750		1,752
9.125% due 12/15/2014 (c)		1,375		1,373
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		900		947
Gaylord Entertainment Co.
8.000% due 11/15/2013		1,000		1,042
General Motors Corp.
8.250% due 07/15/2023		3,075		2,875
Georgia-Pacific Corp.
7.125% due 01/15/2017		3,000		3,008
7.375% due 12/01/2025		1,170		1,147
7.700% due 06/15/2015		1,400		1,433
7.750% due 11/15/2029		800		802
8.000% due 01/15/2024		4,150		4,233
Goodyear Tire & Rubber Co.
8.625% due 12/01/2011		500		519
Greif, Inc.
8.875% due 08/01/2012		685		723
Hanover Compressor Co.
8.625% due 12/15/2010		120		126
Hanover Equipment Trust
8.500% due 09/01/2008		438		446
HCA, Inc.
6.250% due 02/15/2013		270		240
7.190% due 11/15/2015		850		733
7.690% due 06/15/2025		900		749
9.125% due 11/15/2014		660		707
9.250% due 11/15/2016		9,815		10,539
Herbst Gaming, Inc.
7.000% due 11/15/2014		950		912
8.125% due 06/01/2012		450		461
Hertz Corp.
8.875% due 01/01/2014		2,900		3,052
Horizon Lines LLC
9.000% due 11/01/2012		505		533
Host Marriott LP
6.750% due 06/01/2016		425		428
7.125% due 11/01/2013		1,900		1,952
Ineos Group Holdings PLC
8.500% due 02/15/2016		3,650		3,504
Ingles Markets, Inc.
8.875% due 12/01/2011		1,325		1,388
Intelsat Bermuda Ltd.
8.250% due 01/15/2013		50		51
9.250% due 06/15/2016		2,485		2,684
Intelsat Subsidiary Holding Co. Ltd.
8.250% due 01/15/2013		1,375		1,402
8.625% due 01/15/2015		2,070		2,163
10.484% due 01/15/2012		775		786
Invensys PLC
9.875% due 03/15/2011		58		62
Jefferson Smurfit Corp. U.S.
7.500% due 06/01/2013		270		255
JET Equipment Trust
7.630% due 08/15/2012 (a)		319		236
10.000% due 06/15/2012 (a)		424		416
L-3 Communications Corp.
6.375% due 10/15/2015		647		644
Legrand France
8.500% due 02/15/2025		670		774
Lyondell Chemical Co.
8.000% due 09/15/2014		625		652
8.250% due 09/15/2016		1,200		1,266
MGM Mirage
6.625% due 07/15/2015		2,525		2,418
6.875% due 04/01/2016		1,125		1,086
8.375% due 02/01/2011		1,000		1,042
Mirage Resorts, Inc.
7.250% due 08/01/2017		1,575		1,589
Mosaic Co.
7.625% due 12/01/2016		1,000		1,041
Nalco Co.
7.750% due 11/15/2011		625		642
8.875% due 11/15/2013		1,400		1,489
Newfield Exploration Co.
6.625% due 09/01/2014		1,350		1,357
6.625% due 04/15/2016		245		245
Norampac, Inc.
6.750% due 06/01/2013		1,200		1,173
Nortel Networks Ltd.
10.125% due 07/15/2013		1,680		1,823
10.750% due 07/15/2016		205		225
Novelis, Inc.
8.250% due 02/15/2015		1,500		1,459
OPTI Canada, Inc.
8.250% due 12/15/2014		950		981
Owens Brockway Glass Container, Inc.
6.750% due 12/01/2014		2,430		2,369
7.750% due 05/15/2011		400		413
8.750% due 11/15/2012		245		261
Peabody Energy Corp.
7.375% due 11/01/2016		1,950		2,086
Pogo Producing Co.
7.875% due 05/01/2013		540		551
PQ Corp.
7.500% due 02/15/2013		600		594
Primedia, Inc.
8.875% due 05/15/2011		1,420		1,456
Quiksilver, Inc.
6.875% due 04/15/2015		3,075		3,037
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		75		77
Qwest Communications International, Inc.
7.500% due 02/15/2014		4,225		4,373
Qwest Corp.
7.250% due 09/15/2025		5,000		5,162
7.625% due 06/15/2015		575		618
Reynolds American, Inc.
7.625% due 06/01/2016		650		692
7.750% due 06/01/2018		3,085		3,290
RH Donnelley Corp.
6.875% due 01/15/2013		175		169
8.875% due 01/15/2016		6,700		7,068
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		550		557
Rogers Cable, Inc.
6.750% due 03/15/2015		3,160		3,272
Roseton
7.270% due 11/08/2010		1,055		1,079
Royal Caribbean Cruises Ltd.
7.250% due 03/15/2018		1,000		1,016
Rural Cellular Corp.
9.875% due 02/01/2010		1,300		1,389
Sanmina-SCI Corp.
8.125% due 03/01/2016		1,675		1,629
SemGroup LP
8.750% due 11/15/2015		1,415		1,429
Seneca Gaming Corp.
7.250% due 05/01/2012		300		307
Sensata Technologies BV
8.250% due 05/01/2014		1,925		1,858
Service Corp. International
7.375% due 10/01/2014		225		236
7.625% due 10/01/2018		250		266
Smurfit Capital Funding PLC
7.500% due 11/20/2025		450		432
Smurfit Kappa Funding PLC
9.625% due 10/01/2012		6,532		6,956
Smurfit-Stone Container Enterprises, Inc.
8.375% due 07/01/2012		3,550		3,497
9.750% due 02/01/2011		172		178
Solectron Global Finance Ltd.
8.000% due 03/15/2016		1,250		1,272
Southern Natural Gas Co.
7.350% due 02/15/2031		850		940
Station Casinos, Inc.
6.875% due 03/01/2016		2,385		2,152
7.750% due 08/15/2016		685		693
Suburban Propane Partners LP
6.875% due 12/15/2013		875		862
Sungard Data Systems, Inc.
9.125% due 08/15/2013		3,525		3,719
Superior Essex Communications LLC
9.000% due 04/15/2012		700		732
SUPERVALU, Inc.
7.375% due 02/01/2013		1,515		1,399
7.500% due 11/15/2014		2,125		2,226
Tenet Healthcare Corp.
9.875% due 07/01/2014		175		179
Triad Hospitals, Inc.
7.000% due 11/15/2013		2,295		2,321
TRW Automotive, Inc.
9.375% due 02/15/2013		1,080		1,164
U.S. Airways Group, Inc.
9.330% due 01/01/2049		148		1
Verso Paper Holdings LLC and Verson Paper, Inc.
9.125% due 08/01/2014		3,110		3,258
VWR International, Inc.
6.875% due 04/15/2012		3,550		3,590
8.000% due 04/15/2014		1,450		1,501
Williams Cos., Inc.
7.500% due 01/15/2031		1,850		1,929
7.625% due 07/15/2019		2,290		2,462
7.750% due 06/15/2031		4,005		4,225
7.875% due 09/01/2021		900		970
8.750% due 03/15/2032		600		681
Williams Partners LP
7.250% due 02/01/2017		375		384
Windstream Corp.
8.625% due 08/01/2016		2,025		2,228
Wynn Las Vegas LLC
6.625% due 12/01/2014		3,150		3,146
Xerox Capital Trust I
8.000% due 02/01/2027		1,000		1,026
				264,819
Utilities 12.0%
AES Corp.
8.750% due 05/15/2013		1,325		1,426
Cincinnati Bell, Inc.
7.250% due 07/15/2013		225		234
8.375% due 01/15/2014		3,795		3,918
Citizens Communications Co.
9.000% due 08/15/2031		1,965		2,142
CMS Energy Corp.
6.875% due 12/15/2015		1,800		1,868
Edison Mission Energy
7.750% due 06/15/2016		5,050		5,378
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		2,070		2,086
Homer City Funding LLC
8.734% due 10/01/2026		294		339
Intelsat Corp.
9.000% due 06/15/2016		1,000		1,064
Midwest Generation LLC
8.560% due 01/02/2016		1,728		1,906
8.750% due 05/01/2034		1,200		1,308
MSW Energy Holdings LLC
8.500% due 09/01/2010		185		193
Nextel Communications, Inc.
7.375% due 08/01/2015		2,350		2,412
NRG Energy, Inc.
7.250% due 02/01/2014		250		253
7.375% due 02/01/2016		5,255		5,294
7.375% due 01/15/2017		2,050		2,060
PSEG Energy Holdings LLC
8.500% due 06/15/2011		1,450		1,566
Qwest Corp.
7.200% due 11/10/2026		7,100		7,189
7.500% due 06/15/2023		2,474		2,505
8.875% due 03/15/2012		800		895
8.875% due 06/01/2031		250		262
Reliant Energy, Inc.
6.750% due 12/15/2014		2,910		2,859
9.250% due 07/15/2010		700		738
9.500% due 07/15/2013		1,000		1,078
Rogers Wireless, Inc.
7.500% due 03/15/2015		825		899
Sierra Pacific Resources
6.750% due 08/15/2017		1,550		1,528
7.803% due 06/15/2012		450		473
8.625% due 03/15/2014		450		485
South Point Energy Center LLC
8.400% due 05/30/2012		903		872
TECO Energy, Inc.
6.750% due 05/01/2015		2,000		2,100
Tenaska Alabama Partners LP
7.000% due 06/30/2021		1,570		1,567
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		3,800		4,080
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (i)		1,851		1,923
				62,900
Total Corporate Bonds & Notes (Cost $443,980)				452,324
CONVERTIBLE BONDS & NOTES 0.7%
Chesapeake Energy Corp.
2.750% due 11/15/2035		600		610
CMS Energy Corp.
2.875% due 12/01/2024		650		832
Deutsche Bank AG
0.950% due 01/26/2010 (b)		600		598
1.800% due 05/29/2009		200		195
2.000% due 10/07/2009		250		238
EchoStar Communications Corp.
5.750% due 05/15/2008		200		205
IXIS Financial Products, Inc.
0.800% due 06/15/2009		200		195
1.650% due 06/15/2009		150		154
1.875% due 06/15/2009		200		200
Lehman Brothers Holdings, Inc.
1.383% due 06/15/2009 (f)		200		226
Total Convertible Bonds & Notes (Cost $3,370)				3,453
MORTGAGE-BACKED SECURITIES 0.0%
RMF Commercial Mortgage Pass-Through Certificates
9.150% due 11/28/2027		186		181
Total Mortgage-Backed Securities (Cost $123)				181
FOREIGN CURRENCY-DENOMINATED ISSUES 3.5%
Amadeus Global Travel Distribution S.A.
5.813% due 04/08/2013	EUR	1,500		2,007
Bombardier, Inc.
7.250% due 11/15/2016		1,775		2,404
Chesapeake Energy Corp.
6.250% due 01/15/2017		2,000		2,713
JSG Holding PLC
11.500% due 10/01/2015 (c)		361		499
Lighthouse International Co. S.A.
8.000% due 04/30/2014		2,865		4,155
Nordic Telephone Co. Holdings ApS
5.207% due 11/30/2014		500		667
5.939% due 11/30/2014		500		670
8.250% due 05/01/2016		1,900		2,771
SigmaKalon
5.722% due 06/30/2012		985		1,299
Telenet Communications NV
9.000% due 12/15/2013		93		136
UPC Holding BV
7.750% due 01/15/2014		605		805
Total Foreign Currency-Denominated Issues (Cost $16,717)				18,126
		Shares
CONVERTIBLE PREFERRED STOCKS 0.0%
Chesapeake Energy Corp.
4.500% due 12/31/2049		1,400		131
Total Convertible Preferred Stocks (Cost $140)				131
PREFERRED STOCKS 0.0%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		200		204
Total Preferred Stocks (Cost $216)				204
SHORT-TERM INSTRUMENTS 4.4%
Commercial Papexr 3.6%
ASB Finance Ltd.
5.235% due 03/13/2007	$	700		693
UBS Finance Delaware LLC
5.280% due 01/02/2007		17,400		17,400
Westpac Capital Corp.
5.210% due 03/29/2007		300		296
				18,389
Repurchase Agreements 0.8%
State Street Bank and Trust Co.
4.900% due 01/02/2007		4,250		4,250
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $4,337. Repurchase proceeds are $4,252.)
U.S. TREASURY BILLS 0.0%
4.801% due 03/15/2007 (d)(g)		170		168
Total Short-Term Instruments (Cost $22,807)				22,807
Total Investments (e) 99.9% (Cost $513,742)			$	523,664
Other Assets and Liabilities (Net) 0.1%				665
Net Assets 100.0%			$	524,329

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

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

(a) Security is in default.

(b) When-issued security.

(c) Payment in-kind bond security.

(d) Coupon represents a weighted average rate.

(e) As of December 31, 2006, portfolio securities with an aggregate value of $11,244 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) The average amount of borrowing outstanding during the period ended December 31, 2006 was $432 at a weighted average interest rate of 5.450%. On December 31, 2006, securities valued at $226 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $168 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized (Depreciation)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	196	$	(176	)

(h) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	AES Corp. 8.750% due 05/15/2013	Sell	1.500	%	12/20/2007	$	1,000	$	12
Bank of America	Williams Cos., Inc. 7.125% due 09/01/2011	Sell	1.250	%	12/20/2007		1,000		8
Bank of America	Dow Jones CDX N.A. HY7 Index	Buy	(3.250	%)	12/20/2011		7,200		(161	)
Bear Stearns & Co., Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	0.820	%	12/20/2007		1,500		11
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.700	%	6/20/2007		2,000		3
Credit Suisse First Boston	Reliant Energy, Inc. 9.250% due 07/15/2010	Sell	3.000	%	12/20/2007		1,000		23
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.450	%	12/20/2008		2,000		7
Credit Suisse First Boston	Goodyear Tire & Rubber Co. 7.857% due 08/15/2011	Buy	(2.340	%)	12/20/2009		500		(6	)
Credit Suisse First Boston	Directv Holdings LLC 8.375% due 03/15/2013	Buy	(1.680	%)	12/20/2011		500		0
Deutsche Bank AG	Dow Jones CDX N.A. HY7 Index	Buy	(3.250	%)	12/20/2011		5,800		(126	)
Goldman Sachs & Co.	HCA, Inc. 6.950% due 05/01/2012	Sell	0.750	%	12/20/2007		1,000		2
Goldman Sachs & Co.	Starwood Hotels & Resorts Worldwide, Inc. 7.875% due 05/01/2012	Sell	1.100	%	12/20/2007		1,000		9
Goldman Sachs & Co.	Host Marriott LP 7.125% due 11/01/2013	Sell	1.770	%	12/20/2010		1,600		53
JPMorgan Chase & Co.	Electronic Data Systems Corp. 6.000% due 08/01/2013	Sell	1.300	%	12/20/2007		1,000		11
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY7 Index	Buy	(3.250	%)	12/20/2011		1,000		(14	)
Merrill Lynch & Co., Inc.	AES Corp. 8.750% due 06/15/2008	Sell	0.950	%	6/20/2007		800		3
								$	(165	)

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

(i) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Wilmington Trust Co. - Tucson Electric	10.732	%	1/1/2013	12/8/2000	$	1,949	$	1,923	0.37	%

(j) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	EUR	13,441	01/2007	$	44	$	(63	)	$	(19	)
Buy	JPY	46,000	02/2007		0		(5	)		(5	)
				$	44	$	(68	)	$	(24	)

See accompanying notes

Schedule of Investments

International Portfolio

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
AUSTRALIA 0.1%
Medallion Trust
5.602% due 07/12/2031	$	1,526	$	1,528
Total Australia (Cost $1,526)				1,528
CANADA 1.2%
Province of Quebec Canada
5.000% due 12/01/2038	CAD	38,300		34,489
Total Canada (Cost $34,893)				34,489
CAYMAN ISLANDS 0.0%
SHL Corp. Ltd.
1.128% due 12/25/2024	JPY	28,285		240
Total Cayman Islands (Cost $256)				240
CROATIA 0.0%
Croatia Government International Bond
6.375% due 07/31/2010	$	1,091		1,098
Total Croatia (Cost $1,083)				1,098
FRANCE 9.0%
Axa S.A.
3.750% due 01/01/2017	EUR	1,357		2,592
France Government Bond
2.250% due 03/12/2007		190,149		250,338
Total France (Cost $243,476)				252,930
GERMANY 17.2%
Republic of Germany
2.500% due 03/23/2007	EUR	24,820		32,678
4.000% due 02/16/2007		92,770		122,501
4.250% due 01/04/2014		1,000		1,344
4.250% due 07/04/2014		500		672
6.000% due 01/04/2007		250,000		329,980
Total Germany (Cost $465,742)				487,175
JERSEY, CHANNEL ISLANDS 0.7%
Haus Ltd.
3.925% due 12/10/2037	EUR	9,667		12,765
Lloyds TSB Capital
7.375% due 02/07/2049		5,250		7,813
Total Jersey, Channel Islands (Cost $13,904)				20,578
MEXICO 0.0%
Mexico Government International Bond
8.300% due 08/15/2031	$	900		1,153
Total Mexico (Cost $836)				1,153
NETHERLANDS 1.3%
Netherlands Government Bond
5.750% due 02/15/2007	EUR	27,600		36,516
Total Netherlands (Cost $36,439)				36,516
NEW ZEALAND 0.1%
New Zealand Government Bond
4.500% due 02/15/2016	NZD	3,523		3,409
Total New Zealand (Cost $1,772)				3,409
SPAIN 0.1%
Hipotebansa Mortgage Securitization Fund
3.672% due 07/18/2022	EUR	3,086		4,074
Total Spain (Cost $2,801)				4,074
SUPRANATIONAL 0.2%
European Investment Bank
5.500% due 12/07/2009	GBP	2,300		4,510
Total Supranational (Cost $3,293)				4,510
TUNISIA 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012	$	500		544
7.500% due 08/06/2009	EUR	1,800		2,565
Total Tunisia (Cost $2,330)				3,109
UNITED KINGDOM 0.3%
Bauhaus Securities Ltd.
3.868% due 10/30/2052	EUR	6,753		8,937
Total United Kingdom (Cost $5,752)				8,937
UNITED STATES 1.0%
Asset-Backed Securities 0.0%
Advanta Mortgage Loan Trust
5.725% due 11/25/2029	$	27		28
Corporate Bonds & Notes 0.0%
Kroger Co.
5.500% due 02/01/2013		100		99
Mortgage-Backed Securities 0.0%
CS First Boston Mortgage Securities Corp.
6.500% due 04/25/2033		172		172
MLCC Mortgage Investors, Inc.
5.730% due 03/15/2025		28		28
				200
U.S. Government Agencies 0.6%
Fannie Mae
5.500% due 01/01/2037		2,500		2,471
6.000% due 12/01/2033		12		12
6.500% due 05/01/2028 - 07/01/2029		485		498
7.000% due 09/25/2023		145		151
8.800% due 01/25/2019		209		223
Freddie Mac
6.500% due 07/15/2028		3,206		3,274
Government National Mortgage Association
5.125% due 11/20/2022 - 11/20/2024		1,330		1,349
5.375% due 03/20/2022 - 06/20/2030		4,073		4,120
5.750% due 08/20/2022 - 09/20/2026		813		823
7.500% due 09/15/2025 - 11/15/2030		3,397		3,549
8.500% due 07/15/2008 - 07/15/2030		42		45
				16,515
U.S. Treasury Obligations 0.4%
U.S. Treasury Bonds
6.000% due 02/15/2026		1,400		1,588
U.S. Treasury Notes
3.875% due 09/15/2010		8,760		8,518
				10,106
Total United States (Cost $26,453)				26,948
SHORT-TERM INSTRUMENTS 64.0%
Certificates of Deposit 1.4%
Citibank New York N.A.
5.325% due 02/09/2007		40,000		40,000
Commercial Paper 41.8%
Abbey National N.A. LLC
5.200% due 04/02/2007		78,800		77,723
Bank of America Corp.
5.200% due 04/02/2007		500		493
5.200% due 04/27/2007		1,100		1,081
5.225% due 03/01/2007		56,200		55,735
5.230% due 03/09/2007		800		792
5.230% due 03/20/2007		1,300		1,285
5.250% due 01/12/2007		29,100		29,062
Bank of Ireland
5.225% due 03/29/2007		6,100		6,020
5.260% due 03/15/2007		78,310		77,443
Barclays U.S. Funding Corp.
5.250% due 01/12/2007		76,600		76,499
5.250% due 01/17/2007		7,800		7,784
5.260% due 03/26/2007		1,900		1,876
BNP Paribas Finance
5.240% due 01/19/2007		13,600		13,568
5.300% due 01/02/2007		71,200		71,200
Citigroup Funding, Inc.
5.250% due 02/14/2007		5,000		4,969
Danske Corp.
5.225% due 03/12/2007		24,300		24,041
5.260% due 01/04/2007		1,500		1,500
Dexia Delaware LLC
5.240% due 01/18/2007		6,500		6,486
Fortis Funding LLC
5.265% due 01/02/2007		59,900		59,900
5.320% due 01/03/2007		25,500		25,500
HBOS Treasury Services PLC
5.245% due 03/19/2007		111,600		110,300
5.250% due 03/15/2007		25,600		25,317
ING U.S. Funding LLC
5.210% due 04/19/2007		2,900		2,853
Nordea N.A., Inc.
5.280% due 02/02/2007		22,500		22,401
Rabobank USA Financial Corp.
5.280% due 01/02/2007		77,700		77,700
Skandinaviska Enskilda Banken AB
5.220% due 03/06/2007		80,000		79,218
Societe Generale NY
5.200% due 04/02/2007		6,200		6,115
5.230% due 02/09/2007		10,800		10,742
5.270% due 01/02/2007		67,900		67,900
Spintab AB
5.250% due 01/04/2007		400		400
5.300% due 01/31/2007		100		100
Stadshypoket Delaware, Inc.
5.255% due 01/30/2007		500		498
Statens Bostadsfin Bank
5.255% due 01/29/2007		2,800		2,789
Svenska Handelsbanken, Inc.
5.230% due 03/12/2007		7,600		7,519
5.250% due 01/26/2007		72,475		72,232
UBS Finance Delaware LLC
5.205% due 01/26/2007		500		498
5.245% due 01/08/2007		78,100		78,043
5.250% due 01/11/2007		9,000		8,990
5.270% due 01/05/2007		600		600
Westpac Capital Corp.
5.245% due 02/08/2007		12,600		12,534
5.250% due 01/18/2007		8,200		8,182
Westpac Trust Securities NZ Ltd.
5.330% due 01/18/2007		44,200		44,102
				1,181,990
Repurchase Agreements 7.3%
Credit Suisse Securities (USA) LLC
4.800% due 01/02/2007		6,600		6,600
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 4.000% due 06/15/2009 valued at $6,784. Repurchase proceeds are $6,604.)
UBS Securities LLC
4.800% due 01/02/2007		200,000		200,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.625% due 01/15/2008 valued at $204,277. Repurchase proceeds are $200,107.)
				206,600
Tri-Party Repurchase Agreements 0.0%
State Street Bank and Trust Co.
4.900% due 01/02/2007		586		586
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $602. Repurchase proceeds are $586.)
Belgium Treasury Bills 1.1%
3.315% due 01/11/2007		EUR 23,000		30,339
Finland Treasury Bills 1.2%
3.476% due 02/13/2007		26,500		34,843
France Treasury Bills 0.1%
3.294% due 04/26/2007		1,660		2,167
Netherlands Treasury Bills 2.2%
3.440% due 02/28/2007		47,950		62,958
Spain Treasury Bills 6.5%
3.219% due 02/23/2007		140,000		183,993
U.S. Treasury Bills 2.4%
4.801% due 03/01/2007 - 03/15/2007 (a)(b)(d)	$	67,985		67,241
Total Short-Term Instruments (Cost $1,801,497)				1,810,717
Purchased Options (f) 0.0% (Cost $2,477)				406
Total Investments (c) 95.3% (Cost $2,644,530)			$	2,697,817
Written Options (g) (0.0%) (Premiums $2,476)				(710	)
Other Assets and Liabilities (Net) 4.7%				132,842
Net Assets 100.0%			$	2,829,949

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

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

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $46,235 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(c) As of December 31, 2006, portfolio securities with an aggregate value of $7,613 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $15,314 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	848	$	(564	)
90-Day Euribor June Futures	Long	06/2007	594		(219	)
90-Day Euribor June Futures	Long	06/2008	848		(601	)
90-Day Euribor March Futures	Long	03/2008	1,696		(1,225	)
90-Day Euribor September Futures	Long	09/2007	13,794		(12,009	)
Euro-Bobl 5-Year Note March Futures Put Options Strike @ EUR 105.250	Long	03/2007	1,500		0
Euro-Bund 10-Year Note March Futures Call Options Strike @ 120.000	Short	03/2007	1,165		291
Euro-Bund 10-Year Note March Futures Put Options Strike @ 114.500	Short	03/2007	541		(3	)
Euro-Bund 10-Year Note March Futures Put Options Strike @ 115.000	Short	03/2007	541		(3	)
Euro-Bund 10-Year Note March Futures Put Options Strike @ 116.000	Short	03/2007	1,165		(812	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	749		(283	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	824		(294	)
U.S. Treasury 5-Year Note March Futures	Long	03/2007	115		(57	)
				$	(15,779	)

(e) Swap agreements outstanding on December 31, 2006:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date			Notional Amount		Unrealized Appreciation (Depreciation)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000%	6/20/2009	AUD		114,000	$	(303)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500%	6/15/2027	CAD		13,700		(219)
Royal Bank of Canada	3-Month Canadian Bank Bill	Pay	4.500%	6/15/2027			16,600		(257)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000%	12/15/2014	EUR		6,500		43
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	4.000%	12/15/2014			6,500		(126)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000%	6/15/2009	GBP		300,000		(4,228)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000%	9/15/2010			382,000		(15,965)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000%	12/15/2035			151,100		2,462
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000%	9/15/2010			574,100		(16,017)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000%	12/15/2035			21,600		412
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000%	6/20/2008			12,900		(75)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000%	12/15/2035			19,000		250
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000%	9/15/2010			324,000		(13,541)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000%	12/15/2035			123,000		2,153
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000%	12/15/2036			25,200		815
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.000%	12/15/2035			36,000		621
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000%	12/15/2035			16,000		302
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000%	12/15/2036			14,900		176
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	3.000%	12/15/2035	JPY		7,000,000		690
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000%	12/20/2016			17,080,000		(236)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.500%	12/20/2026			5,650,000		(280)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	3.000%	12/15/2035			10,000,000		1,900
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	3.000%	12/15/2035			9,809,000		2,049
Lehman Brothers, Inc.	6-Month JPY-LIBOR	Pay	3.000%	12/15/2035			5,000,000		629
Merrill Lynch & Co., Inc.	6-Month JPY-LIBOR	Pay	3.000%	12/15/2035			5,000,000		961
Morgan Stanley	6-Month JPY-LIBOR	Pay	2.000%	12/20/2016			4,500,000		(21)
Morgan Stanley	6-Month JPY-LIBOR	Pay	3.000%	12/15/2035			937,000		156
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000%	6/20/2037		$	510,000		(10,714)
								$	(48,363)

(f) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007	GBP	157,100	$	727	$	131
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.080	%	6/15/2007		103,500		590		86
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.058	%	6/15/2007		256,000		1,160		189
									$	2,477	$	406

(g) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 8-Year Interest Rate Swap	Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	44,900	$	727	$	216
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		29,600		591		143
Call - OTC 8-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		73,000		1,158		351
									$	2,476	$	710

(h) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	798	01/2007	$	5	$	0		$	5
Buy	CAD	6,915	01/2007		0		(114	)		(114	)
Sell		45,773	01/2007		406		0			406
Buy	EUR	540,000	01/2007		4,892		0			4,892
Sell		1,339,874	01/2007		12,481		(3,846	)		8,635
Buy	GBP	2,518	01/2007		24		(7	)		17
Sell		2,780	01/2007		12		(13	)		(1	)
Buy	JPY	43,197,030	01/2007		0		(4,733	)		(4,733	)
Sell		16,571,126	01/2007		1,761		0			1,761
Buy		74,121,986	02/2007		0		(8,489	)		(8,489	)
Sell		29,871,095	02/2007		7,421		0			7,421
Sell	NZD	3,401	01/2007		0		(125	)		(125	)
				$	27,002	$	(17,327	)	$	9,675

See accompanying notes

Schedule of Investments

Investment Grade Corporate Portfolio

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 95.2%
Banking & Finance 34.2%
ABX Financing Co.
6.350% due 10/15/2036	$	4,050	$	4,044
AFLAC, Inc.
6.500% due 04/15/2009		1,000		1,025
AIG SunAmerica Global Financing VII
5.850% due 08/01/2008		2,400		2,420
American International Group, Inc.
2.875% due 05/15/2008		1,000		968
5.365% due 06/23/2008		1,000		1,001
6.250% due 05/01/2036		5,000		5,331
Anadarko Finance Co.
6.750% due 05/01/2011		2,700		2,833
Archstone-Smith Trust
7.900% due 02/15/2016		75		83
AvalonBay Communities, Inc.
6.125% due 11/01/2012		150		156
Bank of America Corp.
4.750% due 08/01/2015		2,400		2,308
5.640% due 10/14/2016		5,000		5,032
Barclays Bank PLC
6.860% due 09/29/2049		360		392
Barnett Capital II
7.950% due 12/01/2026		750		781
BNP Paribas
5.186% due 06/29/2049		16,000		15,376
Canadian Oil Sands Ltd.
4.800% due 08/10/2009		7,000		6,872
CIT Group, Inc.
5.435% due 12/19/2007		500		501
5.500% due 11/30/2007		860		862
5.595% due 09/20/2007		3,535		3,542
Citigroup Capital II
7.750% due 12/01/2036		750		775
Citigroup, Inc.
6.125% due 08/25/2036		13,900		14,524
CNA Financial Corp.
5.850% due 12/15/2014		2,000		2,011
6.000% due 08/15/2011		2,000		2,035
Commonwealth Bank of Australia
6.024% due 03/29/2049		8,015		8,123
Countrywide Financial Corp.
6.250% due 05/15/2016		4,000		4,084
Ford Motor Credit Co.
4.950% due 01/15/2008		4,900		4,818
6.192% due 09/28/2007		3,000		2,997
6.315% due 03/21/2007		1,800		1,800
General Motors Acceptance Corp.
4.900% due 07/15/2008		50		48
6.225% due 03/20/2007		4,000		4,000
6.750% due 12/01/2014		100		103
6.875% due 08/28/2012		100		103
8.000% due 11/01/2031		120		138
Goldman Sachs Group, Inc.
5.455% due 12/22/2008		2,000		2,003
5.704% due 07/23/2009		2,000		2,014
HBOS Capital Funding LP
6.071% due 06/29/2049		13,100		13,303
HBOS PLC
5.375% due 11/29/2049		3,600		3,550
5.920% due 09/29/2049		13,000		12,774
HSBC Capital Funding LP
4.610% due 12/29/2049		11,850		11,066
HSBC Finance Capital Trust IX
5.911% due 11/30/2035		18,150		18,271
HSBC Finance Corp.
4.125% due 12/15/2008		14,450		14,170
5.799% due 06/01/2016		2,000		2,026
HSBC Holdings PLC
6.500% due 05/02/2036		13,500		14,572
International Lease Finance Corp.
5.250% due 01/10/2013		5,000		4,956
JPMorgan Chase & Co.
5.750% due 01/02/2013		5,000		5,095
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/29/2036		1,900		1,968
Kaupthing Bank Hf
5.750% due 10/04/2011		3,200		3,200
6.125% due 10/04/2016		2,000		2,021
KFW International Finance
5.750% due 01/15/2008		70		70
Landsbanki Islands Hf
6.070% due 08/25/2009		2,000		2,016
Lehman Brothers Holdings, Inc.
5.750% due 01/03/2017		1,500		1,522
Loews Corp.
5.250% due 03/15/2016		2,000		1,952
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		2,000		1,967
MBNA America Bank N.A.
7.125% due 11/15/2012		1,300		1,418
MBNA Capital B
6.171% due 02/01/2027		2,000		1,998
Merrill Lynch & Co., Inc.
5.395% due 12/22/2008		1,000		1,000
Metropolitan Life Global Funding I
4.625% due 08/19/2010		2,000		1,958
Mizuho Financial Group Cayman Ltd.
5.790% due 04/15/2014		1,500		1,511
Mizuho JGB Investment LLC
9.870% due 12/29/2049		3,400		3,604
Morgan Stanley
4.750% due 04/01/2014		5,000		4,788
5.824% due 10/18/2016		7,000		7,052
5.854% due 10/15/2015		2,000		2,022
National City Bank of Pennsylvania
7.250% due 10/21/2011		853		922
Rabobank Capital Funding II
5.260% due 12/29/2049		7,000		6,855
Rabobank Capital Funding Trust
5.254% due 12/29/2049		16,000		15,455
RBS Capital Trust III
5.512% due 09/29/2049		25,400		25,144
Resona Bank Ltd.
5.850% due 09/29/2049		6,900		6,749
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		9,170		10,166
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		5,000		4,896
Tiers Trust
8.125% due 09/15/2017		732		811
UBS Preferred Funding Trust V
6.243% due 05/29/2049		25,800		26,763
UFJ Finance Aruba AEC
6.750% due 07/15/2013		24,882		26,588
USB Capital IX
6.189% due 04/15/2049		12,100		12,369
Wachovia Capital Trust III
5.800% due 03/15/2042		6,400		6,459
Wachovia Corp.
5.426% due 10/28/2008		1,000		1,002
Washington Mutual, Inc.
5.250% due 09/15/2017		4,550		4,396
Wells Fargo Capital X
5.950% due 12/15/2086		6,500		6,392
Westfield Group
5.700% due 10/01/2016		2,000		2,011
Wilmington Trust Corp.
10.500% due 07/01/2008 (i)		88		87
Xstrata Finance Canada Ltd.
5.800% due 11/15/2016		5,900		5,894
				405,912
Industrials 42.2%
Albertson’s, Inc.
8.000% due 05/01/2031		5,000		5,097
Anadarko Petroleum Corp.
5.950% due 09/15/2016		3,100		3,112
6.450% due 09/15/2036		3,100		3,143
AutoZone, Inc.
5.500% due 11/15/2015		2,500		2,404
6.500% due 07/15/2008		2,000		2,024
Avon Products, Inc.
5.125% due 01/15/2011		3,000		2,974
Barrick Gold Corp.
5.800% due 11/15/2034		5,000		4,661
Boston Scientific Corp.
5.450% due 06/15/2014		1,300		1,250
6.000% due 06/15/2011		2,500		2,526
Cardinal Health, Inc.
5.640% due 10/02/2009		2,600		2,603
CBS Corp.
5.625% due 08/15/2012		10,000		9,876
Comcast Cable Communications Holdings, Inc.
9.455% due 11/15/2022		350		454
Comcast Corp.
5.300% due 01/15/2014		7,000		6,866
5.900% due 03/15/2016		2,900		2,913
7.050% due 03/15/2033		5,000		5,363
Continental Airlines, Inc.
6.320% due 11/01/2008		15,195		15,395
7.056% due 09/15/2009		5,000		5,141
Cox Communications, Inc.
5.910% due 12/14/2007		2,700		2,712
7.125% due 10/01/2012		5,100		5,443
7.750% due 11/01/2010		100		108
CVS Corp.
5.750% due 08/15/2011		2,000		2,026
Cyprus Amax Minerals Co.
7.375% due 05/15/2007		70		70
DaimlerChrysler N.A. Holding Corp.
4.050% due 06/04/2008		440		431
5.750% due 09/08/2011		2,000		1,997
8.000% due 06/15/2010		270		290
Devon Energy Corp.
7.950% due 04/15/2032		1,800		2,198
Duke Energy Field Services LLC
5.375% due 10/15/2015		2,000		1,934
El Paso Corp.
6.750% due 05/15/2009		6,400		6,568
6.950% due 06/01/2028		8,730		8,730
7.750% due 06/15/2010		18,533		19,691
7.750% due 01/15/2032		30,275		33,303
7.800% due 08/01/2031		63,375		69,554
8.050% due 10/15/2030		11,200		12,488
Enbridge Energy Partners LP
5.875% due 12/15/2016		3,600		3,571
Energy Transfer Partners LP
6.625% due 10/15/2036		1,900		1,963
Fund American Cos., Inc.
5.875% due 05/15/2013		2,500		2,488
Gannett Co., Inc.
5.750% due 06/01/2011		4,000		4,030
Hewlett-Packard Co.
5.496% due 05/22/2009		1,800		1,804
Hilton Hotels Corp.
7.625% due 05/15/2008		220		227
HJ Heinz Co.
6.428% due 12/01/2008		2,150		2,189
HJ Heinz Finance Co.
6.000% due 03/15/2012		3,000		3,050
Humana, Inc.
6.450% due 06/01/2016		5,000		5,147
Johnson Controls, Inc.
5.250% due 01/15/2011		2,000		1,986
5.500% due 01/15/2016		2,000		1,965
Kern River Funding Corp.
4.893% due 04/30/2018		13,944		13,566
Kinder Morgan Energy Partners LP
7.125% due 03/15/2012		5,000		5,314
7.300% due 08/15/2033		5,500		5,983
Kraft Foods, Inc.
5.625% due 11/01/2011		2,000		2,023
Kroger Co.
5.500% due 02/01/2013		3,000		2,971
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (i)		239		238
Mazda Motor Corp.
10.500% due 07/01/2008 (i)		36		36
News America Holdings, Inc.
9.250% due 02/01/2013		4,800		5,639
Norfolk Southern Corp.
5.640% due 05/17/2029		77		75
7.800% due 05/15/2027		3		4
Omnicom Group, Inc.
5.900% due 04/15/2016		3,800		3,847
Oracle Corp.
5.000% due 01/15/2011		2,400		2,378
5.603% due 01/13/2009		850		852
Packaging Corp. of America
4.375% due 08/01/2008		2,800		2,750
Parker Hannifin Employee Stock Ownership Trust
6.340% due 07/15/2008		888		892
Pemex Project Funding Master Trust
7.375% due 12/15/2014		29,920		33,017
7.875% due 02/01/2009		32,550		34,194
8.500% due 02/15/2008		1,800		1,856
9.250% due 03/30/2018		5,900		7,455
9.375% due 12/02/2008		11,825		12,682
Pioneer Natural Resources Co.
5.875% due 07/15/2016		1,000		927
Plains All American Pipeline LP
6.650% due 01/15/2037		1,700		1,732
Plum Creek Timberlands LP
5.875% due 11/15/2015		2,500		2,461
RadioShack Corp.
7.375% due 05/15/2011		1,900		1,931
Raytheon Co.
6.150% due 11/01/2008		148		150
Rowan Cos., Inc.
5.880% due 03/15/2012		1,601		1,625
Sealed Air Corp.
6.950% due 05/15/2009		1,500		1,547
Sonat, Inc.
6.750% due 10/01/2007		3,940		3,989
Starwood Hotels & Resorts Worldwide, Inc.
7.875% due 05/01/2012		2,700		2,855
Systems 2001 Asset Trust LLC
6.664% due 09/15/2013		3,022		3,166
7.156% due 12/15/2011		1,079		1,116
Temple-Inland, Inc.
6.750% due 03/01/2009		2,500		2,562
Time Warner, Inc.
7.700% due 05/01/2032		5,000		5,658
United Airlines, Inc.
6.071% due 09/01/2014		2,185		2,197
6.602% due 03/01/2015		2,826		2,866
8.390% due 01/21/2011 (a)		2,438		244
10.020% due 03/22/2014 (a)		925		435
10.125% due 03/22/2015 (a)		2,199		1,044
10.850% due 02/19/2015 (a)		1,000		455
United Technologies Corp.
5.439% due 06/01/2009		1,800		1,803
United Telecom, Inc.
6.890% due 07/01/2008 (i)		1,000		998
Univision Communications, Inc.
7.850% due 07/15/2011		5,517		5,564
USX Corp.
6.850% due 03/01/2008		1,520		1,544
Valero Energy Corp.
8.750% due 06/15/2030		15,175		19,200
Viacom, Inc.
5.711% due 06/16/2009		3,000		3,007
5.750% due 04/30/2011		3,000		3,004
Walt Disney Co.
5.453% due 09/10/2009		2,100		2,104
Waste Management, Inc.
7.375% due 08/01/2010		90		96
Wyeth
5.500% due 03/15/2013		2,500		2,519
XTO Energy, Inc.
4.900% due 02/01/2014		5,000		4,773
6.100% due 04/01/2036		5,000		4,896
Yum! Brands, Inc.
6.250% due 04/15/2016		2,500		2,566
7.650% due 05/15/2008		3,000		3,085
				499,656
Utilities 18.8%
AT&T Corp.
7.300% due 11/15/2011		6,000		6,503
Beaver Valley II Funding
8.625% due 06/01/2007		137		138
9.000% due 06/01/2017		1,488		1,674
BVPS II Funding Corp.
8.330% due 12/01/2007		1,284		1,287
8.890% due 06/01/2017		1,500		1,713
Carolina Power & Light Co.
6.800% due 08/15/2007		156		157
CenturyTel, Inc.
8.375% due 10/15/2010		2,100		2,282
Cincinnati Gas & Electric
6.900% due 06/01/2025		2,821		3,072
Cingular Wireless LLC
6.500% due 12/15/2011		450		472
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		4		4
7.430% due 11/01/2009		11,500		12,079
Consumers Energy Co.
5.000% due 02/15/2012		1,900		1,856
5.000% due 03/15/2015		300		288
5.375% due 04/15/2013		600		595
5.500% due 08/15/2016		2,250		2,213
Deutsche Telekom International Finance BV
8.000% due 06/15/2010		2,500		2,709
Dominion Resources, Inc.
5.200% due 01/15/2016		3,000		2,899
5.600% due 11/15/2016		1,800		1,789
Duke Energy Corp.
6.450% due 10/15/2032		15,000		16,105
El Paso Natural Gas Co.
8.375% due 06/15/2032		3,850		4,681
Embarq Corp.
7.995% due 06/01/2036		5,000		5,218
Energy East Corp.
6.750% due 07/15/2036		1,300		1,376
Entergy Arkansas, Inc.
5.400% due 05/01/2018		9,384		8,905
Entergy Gulf States, Inc.
3.600% due 06/01/2008		9,400		9,155
Entergy Louisiana LLC
4.670% due 06/01/2010		400		387
Entergy Mississippi, Inc.
4.350% due 04/01/2008		1,600		1,600
Exelon Corp.
6.750% due 05/01/2011		3,000		3,136
FirstEnergy Corp.
6.450% due 11/15/2011		5,000		5,219
Florida Power Corp.
5.774% due 11/14/2008		2,300		2,306
France Telecom S.A.
7.750% due 03/01/2011		4,532		4,941
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		3,000		3,034
7.520% due 09/15/2008		350		362
New Cingular Wireless Services, Inc.
7.500% due 05/01/2007		1,000		1,006
Niagara Mohawk Power Corp.
7.750% due 10/01/2008		70		73
Ohio Edison Co.
6.875% due 07/15/2036		3,000		3,277
Ohio Power Co.
6.375% due 07/15/2033		5,500		5,366
PNPP II Funding Corp.
9.120% due 05/30/2016		1,500		1,694
Potomac Electric Power
6.250% due 10/15/2007		960		965
PPL Capital Funding Trust I
4.330% due 03/01/2009		3,300		3,212
PPL Energy Supply LLC
6.200% due 05/15/2016		5,000		5,149
Progress Energy, Inc.
7.100% due 03/01/2011		188		200
7.750% due 03/01/2031		16,450		19,832
PSEG Power LLC
3.750% due 04/01/2009		2,500		2,416
8.625% due 04/15/2031		12,000		15,373
Qwest Capital Funding, Inc.
6.500% due 11/15/2018		3,000		2,820
7.250% due 02/15/2011		13,650		14,008
Qwest Corp.
6.875% due 09/15/2033		9,880		9,485
8.875% due 03/15/2012		6,000		6,712
System Energy Resources, Inc.
5.129% due 01/15/2014		2,700		2,640
Telecom Italia Capital S.A.
5.250% due 10/01/2015		9,850		9,217
7.200% due 07/18/2036		200		210
Telefonica Emisones SAU
5.984% due 06/20/2011		3,500		3,566
Verizon Communications, Inc.
5.350% due 02/15/2011		5,000		5,013
Vodafone Group PLC
5.424% due 06/29/2007		1,400		1,400
Xcel Energy, Inc.
6.500% due 07/01/2036		1,200		1,272
				223,061
Total Corporate Bonds & Notes (Cost $1,093,050)				1,128,629
CONVERTIBLE BONDS & NOTES 0.3%
ERP Operating LP
3.850% due 08/15/2026		3,800		3,919
Total Convertible Bonds & Notes (Cost $3,839)				3,919
U.S. GOVERNMENT AGENCIES 0.0%
Government National Mortgage Association
8.500% due 07/15/2030 - 08/15/2030		109		118
Total U.S. Government Agencies (Cost $113)				118
U.S. TREASURY OBLIGATIONS 0.1%
Treasury Inflation Protected Securities (c)
3.375% due 01/15/2007 (e)		637		636
Total U.S. Treasury Obligations (Cost $647)				636
MORTGAGE-BACKED SECURITIES 0.2%
Denver Arena Trust
6.940% due 11/15/2019		1,991		2,023
Total Mortgage-Backed Securities (Cost $1,786)				2,023
ASSET-BACKED SECURITIES 0.0%
IXIS Real Estate Capital Trust
5.460% due 12/25/2035		110		110
Total Asset-Backed Securities (Cost $110)				110
Common Stocks 0.2%
Devon Energy Corp.		33,898		2,274
Total Common Stocks (Cost $863)				2,274
PREFERRED STOCKS 0.5%
Goldman Sachs Group, Inc.
6.124% due 12/31/2049		200,000		5,260
Lehman Brothers Holdings, Inc.
5.670% due 12/01/2049		5,200		266
Total Preferred Stocks (Cost $5,231)				5,526
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 1.6%
Commercial Paper 1.5%
Abbey National N.A. LLC
5.225% due 03/07/2007	$	2,500		2,475
Rabobank USA Financial Corp.
5.280% due 01/02/2007		3,800		3,800
UBS Finance Delaware LLC
5.225% due 03/08/2007		9,400		9,306
Viacom, Inc.
5.620% due 05/29/2007		2,200		2,200
				17,781
TRI-PARTY REPURCHASE AGREEMENTS 0.1%
State Street Bank and Trust Co.
4.900% due 01/02/2007		1,373		1,373
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $1,404. Repurchase proceeds are $1,374.)
U.S. Treasury Bills 0.0%
4.858% due 03/01/2007 - 03/15/2007 (b)(e)		135		134
Total Short-Term Instruments (Cost $19,297)				19,288
Purchased Options (g) 0.0% (Cost $84)				103
Total Investments (d) 98.1% (Cost $1,125,020)			$	1,162,626
Written Options (h) (0.0%) (Premiums $80)				(121	)
Other Assets and Liabilities (Net) 1.9%				22,802
Net Assets 100.0%			$	1,185,307

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

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

(a) Security is in default.

(b) Coupon represents a weighted average rate.

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

(d) As of December 31, 2006, portfolio securities with an aggregate value of $4,539 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $770 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized (Depreciation	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	81	$	(76	)

(f) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Yum! Brands, Inc. 7.650% due 05/15/2008	Buy	(0.080	%)	6/20/2008	$	3,200	$	1
Bank of America	RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.290	%)	6/20/2011		2,100		35
Bank of America	Sprint Capital Corp. 8.375% due 03/15/2012	Sell	0.316	%	6/20/2011		24,000		(79	)
Bank of America	Dow Jones CDX N.A. IG7 Index	Sell	0.400	%	12/20/2011		10,000		2
Bank of America	Dominion Resources, Inc. 5.200% due 01/15/2016	Buy	(0.455	%)	3/20/2016		3,000		(20	)
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		18,000		(2	)
Barclays Bank PLC	Sealed Air Corp. 6.950% due 05/15/2009	Buy	(0.200	%)	6/20/2009		1,600		(2	)
Barclays Bank PLC	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.285	%)	9/20/2011		2,000		(2	)
Barclays Bank PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.535	%)	9/20/2011		2,000		(5	)
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Buy	(0.250	%)	3/20/2007		4,960		0
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	6/20/2007		2,000		40
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	4.650	%	6/20/2007		1,600		35
Bear Stearns & Co., Inc.	EnCana Corp. 4.750% due 10/15/2013	Sell	0.530	%	9/20/2009		7,000		65
Bear Stearns & Co., Inc.	CenturyTel, Inc. 7.875% due 08/15/2012	Buy	(0.355	%)	6/20/2010		2,100		1
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.240	%)	3/20/2011		2,000		(2	)
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	6/20/2011		3,000		4
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011		2,000		(2	)
Bear Stearns & Co., Inc.	Comcast Corp. 5.300% due 01/15/2014	Buy	(0.390	%)	3/20/2014		2,000		0
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	3/20/2016		2,000		4
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	3/20/2016		2,000		(8	)
Bear Stearns & Co., Inc.	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	6/20/2016		4,000		39
Bear Stearns & Co., Inc.	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.430% due 06/01/2016	Buy	(0.220	%)	6/20/2016		2,000		(10	)
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.265	%	3/20/2011		2,800		13
BNP Paribas Bank	Union Pacific Corp. 6.125% due 01/15/2012	Buy	(0.215	%)	6/20/2011		1,900		(3	)
BNP Paribas Bank	Masco Corp. 5.875% due 07/15/2012	Buy	(0.950	%)	3/20/2017		2,200		(6	)
Citibank N.A.	AutoZone, Inc. 6.500% due 07/15/2008	Buy	(0.160	%)	9/20/2008		2,100		(4	)
Citibank N.A.	Raytheon Co. 7.200% due 08/15/2027	Buy	(0.090	%)	6/20/2009		2,000		(2	)
Citibank N.A.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	3/20/2010		7,341		80
Citibank N.A.	CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.470	%)	12/20/2014		2,000		1
Citibank N.A.	Dominion Resources, Inc. 5.200% due 01/15/2016	Sell	0.670	%	6/20/2015		3,900		89
Credit Suisse First Boston	EnCana Corp. 4.750% due 10/15/2013	Sell	0.320	%	3/20/2010		2,000		10
Credit Suisse First Boston	International Game Technology 0.000% convertible until 01/29/2033	Sell	0.350	%	3/20/2010		1,800		9
Credit Suisse First Boston	Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.150	%)	3/20/2011		3,000		1
Credit Suisse First Boston	CVS Corp. 5.750% due 08/15/2011	Buy	(0.250	%)	9/20/2011		2,000		(1	)
Credit Suisse First Boston	Lennar Corp. 5.950% due 03/01/2013	Buy	(0.950	%)	3/20/2017		2,200		1
Deutsche Bank AG	Kaupthing Bank Hf 5.750% due 10/04/2011	Buy	(0.530	%)	12/20/2011		3,200		(6	)
Deutsche Bank AG	Kaupthing Bank Hf 6.125% due 10/04/2016	Buy	(0.600	%)	12/20/2016		2,000		(2	)
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	3/20/2008		1,600		1
Goldman Sachs & Co.	ConocoPhillips 4.750% due 10/15/2012	Sell	0.210	%	3/20/2010		5,000		18
Goldman Sachs & Co.	International Lease Finance Corp. 5.250% due 01/10/2013	Buy	(0.200	%)	3/20/2013		5,000		(10	)
Goldman Sachs & Co.	Washington Mutual, Inc. 4.000% due 01/15/2009	Buy	(0.385	%)	6/20/2016		4,550		(12	)
Goldman Sachs & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(0.849	%)	3/20/2017		1,700		1
Goldman Sachs & Co.	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(0.859	%)	3/20/2017		1,700		0
Goldman Sachs & Co.	Weyerhaeuser Co. 6.75% due 03/15/2012	Buy	(1.018	%)	3/20/2017		1,700		(7	)
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.350	%	6/20/2007		1,000		20
HSBC Bank USA	Time Warner, Inc. 6.875% due 05/01/2012	Sell	0.570	%	9/20/2010		5,000		61
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.300	%	6/20/2007		10,000		150
JPMorgan Chase & Co.	Temple-Inland, Inc. 6.750% due 3/1/2009	Buy	(0.280	%)	3/20/2009		2,600		(5	)
JPMorgan Chase & Co.	Apache Corp. 6.250% due 04/15/2012	Sell	0.200	%	3/20/2010		6,300		15
JPMorgan Chase & Co.	Halliburton Co. 5.500% due 10/15/2010	Sell	0.290	%	3/20/2010		7,000		35
JPMorgan Chase & Co.	Occidental Petroleum Corp. 6.750% due 01/15/2012	Sell	0.250	%	3/20/2010		7,000		35
JPMorgan Chase & Co.	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.350	%	6/20/2010		2,000		19
JPMorgan Chase & Co.	EnCana Corp. 4.750% due 10/15/2013	Sell	0.330	%	9/20/2010		5,000		21
JPMorgan Chase & Co.	Gannett Co., Inc. 5.750% due 06/01/2011	Buy	(0.330	%)	6/20/2011		4,150		(1	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG3 Index	Buy	(0.250	%)	3/20/2007		7,341		(3	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	3/20/2010		4,960		54
Lehman Brothers, Inc.	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.340	%)	12/20/2016		3,000		0
Lehman Brothers, Inc.	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(1.200	%)	3/20/2017		1,700		3
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 5.125% due 05/09/2008	Sell	2.100	%	9/20/2008		25,000		646
Merrill Lynch & Co., Inc.	Burlington Resources Finance Co. 6.400% due 08/15/2011	Sell	0.280	%	3/20/2010		5,000		26
Merrill Lynch & Co., Inc.	Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Sell	0.320	%	3/20/2010		5,000		22
Merrill Lynch & Co., Inc.	XTO Energy, Inc. 6.250% due 04/15/2013	Sell	0.380	%	3/20/2010		5,000		28
Merrill Lynch & Co., Inc.	Exelon Corp. 6.750% due 05/01/2011	Buy	(0.290	%)	6/20/2011		3,200		0
Merrill Lynch & Co., Inc.	Bank of America Corp. floating rate based on 3-Month USD-LIBOR plus 0.260% due 10/14/2016	Buy	(0.170	%)	12/20/2016		5,000		2
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.300	%	6/20/2007		10,000		150
Morgan Stanley	Altria Group, Inc. 7.000% due 11/04/2013	Sell	1.090	%	9/20/2010		10,000		313
Morgan Stanley	Marsh & McLennan Cos., Inc. 5.150% due 09/15/2010	Buy	(0.590	%)	9/20/2010		10,000		(116	)
Morgan Stanley	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.160	%	6/20/2011		10,000		19
Morgan Stanley	Viacom, Inc. 6.250% due 04/30/2016	Sell	0.510	%	6/20/2011		8,000		1
Morgan Stanley	Walt Disney Co. 6.375% due 03/01/2012	Buy	(0.180	%)	6/20/2011		1,300		(5	)
Morgan Stanley	American Electric Power Co., Inc. 5.375% due 03/15/2010	Sell	0.410	%	9/20/2011		2,000		19
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Sell	0.400	%	12/20/2011		36,900		99
Morgan Stanley	Kroger Co. 5.500% due 02/01/2013	Buy	(0.560	%)	3/20/2013		3,000		(19	)
Morgan Stanley	Wyeth 5.500% due 03/15/2013	Buy	(0.150	%)	3/20/2013		2,500		(4	)
Morgan Stanley	Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.390	%)	6/20/2016		3,800		(12	)
Morgan Stanley	DTE Energy Co. 7.050% due 06/01/2011	Buy	(0.650	%)	9/20/2016		2,000		(37	)
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		22,100		(72	)
Morgan Stanley	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.780	%)	3/20/2017		1,700		1
Royal Bank of Scotland Group PLC	Landsbanki Islands Hf floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	9/20/2009		2,000		(3	)
Royal Bank of Scotland Group PLC	ERP Operating LP 3.850% due 08/15/2026	Buy	(0.255	%)	9/20/2011		3,800		9
Royal Bank of Scotland Group PLC	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.380	%)	3/20/2012		3,100		(2	)
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.810	%)	12/20/2015		2,500		(24	)
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.275	%)	12/20/2015		2,000		6
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016		4,000		7
UBS AG	Time Warner, Inc. 6.875% due 05/01/2012	Sell	0.290	%	6/20/2009		11,000		43
UBS AG	Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Sell	0.420	%	9/20/2010		5,000		32
UBS AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.760	%	9/20/2010		1,600		77
Wachovia Bank N.A.	Ohio Edison Co. 5.450% due 05/01/2015	Sell	0.470	%	3/20/2010		10,000		107
Wachovia Bank N.A.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.160	%	6/20/2011		10,000		19
								$	2,001

(1) If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

(g) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Cost

Value

Call - OTC 2-Year Interest Rate Swap

Royal Bank of Scotland Group PLC

3-Month USD-LIBOR

Pay

5.250

%

7/2/2007

$

16,200

$

84

$

103

(h) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call - OTC 5-Year Interest Rate Swap

Royal Bank of Scotland Group PLC

3-Month USD-LIBOR

Receive

5.370

%

7/2/2007

$

6,900

$

80

$

121

(i) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Mazda Manufacturing Corp.	10.500	%	7/1/2008	3/28/2003	$	250	$	238	0.02	%
Mazda Motor Corp.	10.500	%	7/1/2008	3/28/2003		38		36	0.00	%
United Telecom, Inc.	6.890	%	7/1/2008	6/25/2003		1,038		998	0.08	%
Wilmington Trust Corp.	10.500	%	7/1/2008	3/28/2003		91		87	0.01	%
					$	1,417	$	1,359	0.11	%

See accompanying notes

Schedule of Investments

Mortgage Portfolio

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 0.0%
CVS Lease Pass-Through
6.036% due 12/10/2028	$	2,000	$	1,998
Total Corporate Bonds & Notes (Cost $2,000)				1,998
Municipal Bonds & Notes 0.0%
Ennis, Texas Economic Development Corporations Revenue Bonds, (FGIC Insured), Series 1999
0.000% due 08/01/2034		7,990		1,536
Total Municipal Bonds & Notes (Cost $934)				1,536
U.S. Government Agencies 137.4%
Fannie Mae
0.000% due 06/25/2008 - 08/25/2022 (c)		122		114
2.996% due 08/01/2008		16,348		16,331
3.730% due 10/01/2016		89		87
4.000% due 02/25/2009		13		13
4.500% due 07/01/2018 - 09/01/2035		706,851		682,269
4.615% due 02/01/2035		4,578		4,516
4.674% due 07/01/2035		1,814		1,795
4.717% due 03/01/2035		1,800		1,779
4.875% due 07/01/2017		5		5
4.876% due 02/01/2026		78		79
5.000% due 06/01/2013 - 01/01/2037		3,909,804		3,815,401
5.000% due 02/01/2036 (i)		1,768,551		1,708,517
5.055% due 04/01/2020		121		124
5.072% due 04/01/2019 - 12/01/2021		140		141
5.125% due 06/01/2017		59		59
5.141% due 05/01/2019		347		351
5.160% due 02/01/2032		3,270		3,292
5.288% due 03/01/2018		16		16
5.337% due 02/01/2015		82		81
5.351% due 02/01/2030		910		923
5.375% due 05/01/2019		15		15
5.427% due 09/01/2017 - 11/01/2020		335		334
5.430% due 07/25/2035		9,680		9,687
5.490% due 04/25/2035		7,124		7,135
5.500% due 05/01/2009 - 01/01/2037		2,675,535		2,650,775
5.500% due 11/01/2032 - 10/01/2035 (g)		226,177		223,724
5.500% due 01/01/2036 (i)		413,408		408,816
5.514% due 09/01/2020		25		25
5.520% due 03/01/2017 - 02/01/2018		26		26
5.527% due 12/01/2017 - 01/01/2029		676		679
5.543% due 06/01/2029		31		32
5.545% due 07/01/2024		23		23
5.552% due 08/01/2029		126		127
5.554% due 04/01/2032		42		43
5.555% due 05/01/2036		57		57
5.556% due 05/01/2036		41		41
5.560% due 05/01/2036		124		125
5.561% due 05/01/2036		6,019		6,070
5.567% due 07/01/2032		82		83
5.570% due 07/25/2032		497		497
5.611% due 02/01/2017		401		402
5.630% due 07/01/2017 - 11/01/2017		16		16
5.632% due 10/01/2016 - 10/01/2031		301		304
5.710% due 02/25/2033		256		256
5.750% due 08/01/2023 - 06/25/2032		2,925		2,931
5.800% due 11/01/2011 - 10/18/2030		2,019		2,069
5.815% due 11/01/2024		5		5
5.850% due 06/25/2030 - 07/25/2034		11,618		11,650
5.875% due 06/01/2017 - 09/18/2027		428		432
5.927% due 11/01/2017		14		14
5.950% due 02/25/2044		115		115
5.957% due 08/01/2042		4,072		4,108
5.958% due 08/01/2042 - 10/01/2044		19,029		19,180
6.000% due 03/25/2017 - 02/01/2037		3,413,136		3,436,230
6.025% due 06/25/2022		2		2
6.158% due 09/01/2040 - 12/01/2040		687		700
6.187% due 06/01/2029		89		90
6.250% due 12/25/2013		1,168		1,183
6.262% due 02/01/2009		15,299		15,281
6.267% due 02/01/2026		27		27
6.275% due 04/25/2021		4		4
6.284% due 08/01/2029		18		18
6.290% due 02/25/2029		1,500		1,586
6.300% due 06/25/2031 - 10/17/2038		5,192		5,530
6.326% due 12/01/2031		33		34
6.350% due 06/25/2020		5,705		5,890
6.370% due 02/25/2013		3,517		3,522
6.390% due 05/25/2036		2,542		2,639
6.410% due 08/01/2016		980		1,036
6.450% due 05/01/2008 - 09/01/2016		6,250		6,481
6.475% due 05/25/2023		129		133
6.500% due 09/25/2008 (b)		6		0
6.500% due 02/25/2009 - 06/17/2038		603,758		615,443
6.505% due 12/01/2026		19		19
6.565% due 03/01/2024 - 04/01/2024		45		46
6.593% due 04/01/2030		63		64
6.609% due 06/01/2023		60		60
6.625% due 12/01/2023		115		118
6.650% due 08/25/2007		118		118
6.663% due 04/01/2030		233		238
6.669% due 11/01/2025		179		182
6.703% due 08/01/2028		1,435		1,557
6.721% due 11/01/2035		6,162		6,309
6.743% due 01/01/2027		164		166
6.825% due 08/01/2009		4,441		4,557
6.850% due 12/18/2027		2,362		2,434
6.866% due 11/01/2031		61		62
6.875% due 02/01/2018		166		168
6.900% due 09/01/2009		1,554		1,599
6.931% due 08/01/2030		65		66
6.937% due 11/01/2025		246		249
6.939% due 05/01/2027		297		301
6.948% due 10/01/2028		105		107
6.980% due 02/01/2027		194		196
7.000% due 04/25/2008 - 07/25/2008 (b)		130		5
7.000% due 01/01/2016 - 09/01/2032		5,973		6,181
7.007% due 11/01/2031		94		95
7.031% due 01/01/2030		245		245
7.046% due 03/01/2025		41		41
7.072% due 06/01/2019		12		12
7.085% due 05/01/2028		15		15
7.105% due 04/01/2030		9		9
7.130% due 02/01/2025		102		103
7.154% due 11/01/2022		12		13
7.169% due 05/01/2029		42		42
7.189% due 05/01/2026		64		65
7.200% due 11/01/2026		123		125
7.250% due 02/01/2009 - 10/01/2011		8		8
7.262% due 03/01/2030		580		583
7.277% due 09/01/2030		28		28
7.305% due 04/01/2022		75		78
7.322% due 09/01/2028		21		21
7.328% due 06/01/2007		146		146
7.381% due 07/01/2024		23		23
7.485% due 12/01/2029		5		5
7.491% due 08/01/2014		8		8
7.500% due 12/01/2012 - 07/25/2041		5,573		5,848
7.580% due 09/01/2023		180		182
7.671% due 05/01/2030		163		165
7.730% due 08/01/2021 - 01/01/2025		2,762		3,086
7.800% due 10/25/2022 - 06/25/2026		412		434
7.970% due 02/01/2024		134		137
8.000% due 02/01/2007 - 08/01/2030		18		19
8.200% due 04/25/2025		1,205		1,236
8.500% due 04/01/2008 - 11/01/2017		317		333
8.750% due 11/25/2019		57		61
8.973% due 06/25/2032		514		539
9.000% due 03/01/2010 - 06/01/2027		405		433
9.000% due 05/25/2022 - 06/25/2022 (b)		61		14
9.500% due 11/01/2010 - 04/01/2025		649		709
10.000% due 04/01/2020		29		32
15.500% due 10/01/2012		2		2
510.000% due 09/25/2019 (b)		1		5
839.670% due 08/25/2020 (b)		0		2
Farmer Mac
6.770% due 01/25/2013		2,404		2,422
8.412% due 04/25/2030		1,263		1,267
Federal Home Loan Bank
0.000% due 02/27/2012		1,900		1,761
Federal Housing Administration
6.875% due 12/01/2016		305		306
6.896% due 07/01/2020		408		409
7.400% due 02/01/2021		637		642
7.430% due 07/01/2018 - 07/01/2024		7,446		7,501
Freddie Mac
0.000% due 01/15/2009 (c)		45		43
2.675% due 12/15/2023 (b)		129		2
3.500% due 12/15/2022 - 07/15/2032		284		270
4.353% due 03/01/2033		283		281
4.500% due 04/15/2013 - 04/01/2020		2,054		2,036
5.000% due 01/15/2016 - 01/01/2037		1,349,907		1,306,277
5.250% due 12/01/2018		4		4
5.375% due 07/01/2019		73		73
5.449% due 07/01/2030		461		463
5.500% due 11/01/2028 - 01/01/2037		249,871		247,386
5.530% due 07/01/2019		13		13
5.550% due 03/15/2031		706		708
5.590% due 07/25/2031		29		29
5.600% due 05/25/2031		544		544
5.625% due 07/01/2018		57		57
5.630% due 09/25/2031		72		73
5.632% due 05/01/2017 - 09/01/2018		425		427
5.677% due 08/15/2032		2,158		2,160
5.700% due 12/15/2029		322		323
5.710% due 03/01/2032		218		220
5.777% due 08/01/2018		98		98
5.800% due 11/15/2030 - 12/15/2031		227		228
5.825% due 03/15/2024 - 09/15/2026		717		721
5.850% due 02/15/2028 - 03/15/2032		296		298
5.875% due 01/01/2017 - 05/15/2023		42		42
5.900% due 03/15/2032		11		11
5.950% due 09/01/2027		27		27
5.977% due 11/01/2028		42		43
5.981% due 01/01/2028		173		174
6.000% due 03/01/2017 - 01/01/2037		387,161		390,068
6.083% due 03/01/2029		219		221
6.116% due 07/01/2019		241		241
6.125% due 09/01/2018		18		19
6.126% due 12/01/2026		38		39
6.158% due 07/25/2044		53,215		53,501
6.250% due 12/15/2028		2,297		2,335
6.257% due 11/01/2031		10		10
6.276% due 05/01/2032		1,082		1,114
6.300% due 04/15/2031		12,323		12,558
6.499% due 10/01/2024		127		130
6.500% due 08/15/2008 - 12/01/2036		268,601		273,626
6.500% due 10/15/2013 (b)		112		8
6.518% due 09/01/2027		96		96
6.540% due 10/01/2023		1,790		1,804
6.550% due 07/15/2027		3,619		3,738
6.561% due 10/01/2027		50		51
6.587% due 03/01/2027		58		60
6.588% due 11/01/2027		444		452
6.593% due 09/01/2028		69		70
6.607% due 11/01/2027		189		193
6.625% due 04/01/2018 - 05/01/2023		59		60
6.631% due 06/01/2024		56		57
6.633% due 05/01/2032		320		326
6.650% due 08/01/2027		29		30
6.694% due 04/01/2031		14		15
6.742% due 02/01/2029		588		600
6.774% due 02/01/2031		37		39
6.797% due 10/01/2018		21		21
6.813% due 12/01/2029		736		754
6.817% due 11/01/2029		3,095		3,193
6.841% due 06/01/2022		65		66
6.855% due 06/01/2022		11		12
6.867% due 07/01/2028		1,291		1,313
6.910% due 08/01/2030		32		33
6.937% due 10/01/2023		117		118
7.000% due 01/15/2008 - 12/01/2032		2,410		2,463
7.000% due 07/15/2008 - 10/25/2023 (b)		98		18
7.031% due 08/01/2029		151		153
7.075% due 07/01/2029 - 05/01/2032		2,027		2,027
7.078% due 07/01/2027		160		164
7.100% due 05/01/2032		56		57
7.136% due 01/01/2029		14		14
7.206% due 09/01/2026		461		470
7.209% due 07/01/2030		4		4
7.210% due 04/01/2025		42		42
7.231% due 08/01/2031		23		23
7.250% due 08/01/2031		3		4
7.274% due 10/01/2024		185		185
7.325% due 05/01/2019		17		17
7.375% due 02/01/2027		342		343
7.428% due 09/01/2024		50		51
7.500% due 01/01/2008 - 06/01/2031		1,766		1,810
7.500% due 08/15/2029 (b)		39		8
7.645% due 05/01/2025		1,338		1,452
8.000% due 05/01/2008 - 09/01/2030		137		143
8.250% due 06/01/2008 - 12/01/2008		9		9
8.500% due 12/01/2008 - 08/01/2027		496		505
9.000% due 12/15/2020 - 02/15/2021		600		604
9.050% due 06/15/2019		109		109
9.500% due 12/15/2020 - 06/01/2021		499		503
10.750% due 09/01/2009 - 05/01/2010		1		1
Government National Mortgage Association
3.250% due 07/16/2026		2,558		2,502
4.000% due 07/16/2026		2,558		2,522
4.750% due 02/20/2032		304		304
4.875% due 11/20/2031		4,702		4,697
5.000% due 10/20/2028 - 12/20/2032		26,901		26,991
5.125% due 10/20/2018 - 01/20/2030		10,344		10,489
5.250% due 01/20/2028 - 03/20/2030		1,509		1,514
5.375% due 04/20/2017 - 05/20/2032		43,379		43,816
5.500% due 08/20/2027 - 07/15/2036		837,350		834,105
5.550% due 02/16/2032		227		227
5.625% due 11/20/2020		2		2
5.650% due 01/16/2031		42		42
5.700% due 06/20/2032		600		603
5.750% due 08/20/2017 - 06/16/2031		4,502		4,553
5.800% due 10/16/2030		99		100
5.850% due 02/16/2030		1,144		1,155
5.875% due 04/20/2019		43		44
5.900% due 12/16/2025		918		928
5.950% due 02/16/2030		143		145
6.000% due 12/15/2008 - 01/01/2037		362,856		368,068
6.250% due 03/16/2029		4,838		4,918
6.300% due 03/20/2031		6,683		6,776
6.350% due 02/20/2031		3,839		3,927
6.500% due 05/15/2009 - 01/01/2037		187,866		192,775
6.946% due 03/16/2041		4,721		5,366
7.000% due 09/15/2012 - 02/16/2029		2,082		2,150
7.270% due 12/15/2040		1,746		1,810
7.500% due 12/15/2022 - 11/15/2031		2,915		3,034
7.750% due 10/15/2025		21		22
8.000% due 09/15/2008 - 09/20/2031		6,472		6,967
8.500% due 06/15/2027 - 03/20/2031		1,331		1,428
9.000% due 04/15/2020 - 08/20/2030		142		153
9.500% due 12/15/2021		77		85
Small Business Administration
6.344% due 08/01/2011		608		628
6.640% due 02/01/2011		702		728
7.190% due 12/01/2019		463		487
7.220% due 11/01/2020		1,199		1,268
7.449% due 08/01/2010		534		558
8.017% due 02/10/2010		101		107
Total U.S. Government Agencies (Cost $17,602,928)				17,592,705
U.S. TREASURY OBLIGATIONS 0.3%
Treasury Inflation Protected Securities (e)
3.375% due 01/15/2007		31,316		31,273
U.S. Treasury Notes
5.125% due 05/15/2016		5,550		5,718
Total U.S. Treasury Obligations (Cost $37,064)				36,991
MORTGAGE-BACKED SECURITIES 5.7%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		12,265		12,051
4.440% due 02/25/2045		6,008		5,891
American Southwest Financial Securities Corp.
7.248% due 11/25/2038		226		226
Arkle Master Issuer PLC
5.330% due 11/19/2007		5,200		5,209
Asset Securitization Corp.
6.920% due 02/14/2029		51		52
Banc of America Mortgage Securities
4.250% due 04/25/2034		304		301
6.500% due 10/25/2031		361		366
6.954% due 07/20/2032		110		112
7.138% due 06/20/2031		925		931
Banc of America Structural Security Trust
5.850% due 10/11/2033		455		459
Bear Stearns Adjustable Rate Mortgage Trust
5.328% due 02/25/2033		98		98
6.259% due 11/25/2030		34		34
Bear Stearns Alt-A Trust
5.390% due 05/25/2035		1,961		1,965
Bear Stearns Commercial Mortgage Securities
5.060% due 11/15/2016		82		82
5.910% due 02/14/2031		36		36
7.000% due 05/20/2030		1,984		2,189
Bear Stearns Mortgage Securities, Inc.
6.246% due 06/25/2030		171		175
CC Mortgage Funding Corp.
5.530% due 05/25/2036		2,244		2,254
5.600% due 08/25/2035		2,109		2,115
5.650% due 08/25/2035		2,225		2,233
5.825% due 01/25/2035		2,014		2,023
Citicorp Mortgage Securities, Inc.
5.375% due 12/25/2019		29		29
6.500% due 02/25/2024		940		937
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		10,083		10,100
Collateralized Mortgage Obligation Trust
0.000% due 09/23/2017 (c)		7		6
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		6,324		6,407
Countrywide Alternative Loan Trust
5.000% due 06/25/2033		2,104		2,094
5.420% due 10/25/2046		8,411		8,418
5.500% due 05/20/2046		242		243
5.530% due 05/25/2035		5,325		5,333
5.540% due 05/25/2035		953		955
5.570% due 05/25/2035		1,438		1,439
5.630% due 02/25/2037		444		444
6.000% due 10/25/2032		635		636
Countrywide Home Loan Mortgage Pass-Through Trust
3.897% due 11/19/2033		110		111
5.620% due 05/25/2034		333		333
5.630% due 08/25/2034		19		19
5.640% due 04/25/2035		3,163		3,174
5.660% due 03/25/2035		11,099		11,111
5.670% due 03/25/2035		44,970		45,139
5.680% due 02/25/2035		2,998		3,010
5.690% due 02/25/2035		97		97
5.940% due 08/25/2034		10,280		10,318
6.524% due 07/19/2031		18		18
7.129% due 11/19/2033		59		60
CS First Boston Mortgage Securities Corp.
4.832% due 04/15/2037		3,000		2,902
5.900% due 08/25/2033		301		302
6.067% due 06/25/2032		39		39
7.290% due 09/15/2041		63		65
Denver Arena Trust
6.940% due 11/15/2019		10,938		11,118
DLJ Commercial Mortgage Corp.
6.410% due 02/18/2031		1,487		1,497
7.340% due 10/10/2032		5,750		6,027
DLJ Mortgage Acceptance Corp.
7.347% due 11/25/2023		18		18
Fairfax Funding Trust
6.483% due 04/02/2013		250		253
FFCA Secured Lending Corp.
8.180% due 09/18/2027		2,000		1,035
8.970% due 09/18/2027		4,000		722
Fifth Third Mortgage Loan Trust
7.020% due 11/19/2032		433		429
First Horizon Asset Securities, Inc.
5.941% due 09/25/2033		35		35
First Nationwide Trust
6.750% due 08/21/2031		793		791
First Republic Mortgage Loan Trust
5.650% due 08/15/2032		28,402		28,466
5.700% due 11/15/2031		9,885		9,917
6.253% due 11/15/2031		2,354		2,577
GMAC Commercial Mortgage Securities, Inc.
6.420% due 05/15/2035		661		669
7.151% due 12/15/2016		2,564		2,580
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		9,550		9,485
Government Lease Trust
6.390% due 05/18/2007		812		812
Greenpoint Mortgage Funding Trust
5.570% due 06/25/2045		4,298		4,317
5.580% due 06/25/2045		14,920		14,968
GS Mortgage Securities Corp. II
6.044% due 08/15/2018		8,647		8,816
GSRPM Mortgage Loan Trust
5.750% due 11/25/2031		5,725		5,736
Harborview Mortgage Loan Trust
5.440% due 12/19/2036		2,995		3,000
5.540% due 12/19/2036		32,781		32,837
5.540% due 02/19/2046		19,617		19,595
5.570% due 05/19/2035		12,648		12,684
HSI Asset Securitization Corp. Trust
5.480% due 07/25/2035		812		813
Impac CMB Trust
5.730% due 03/25/2033		3,605		3,608
5.970% due 04/25/2034		2,837		2,840
Impac Secured Assets CMN Owner Trust
6.500% due 04/25/2032		356		355
Indymac ARM Trust
6.713% due 01/25/2032		34		34
Indymac Index Mortgage Loan Trust
5.430% due 07/25/2046		20,475		20,483
5.590% due 04/25/2035		10,885		10,915
Kidder Peabody Mortgage Assets Trust
9.500% due 04/22/2018 (b)		95		24
LB Commercial Conduit Mortgage Trust
6.480% due 02/18/2030		116		116
LB Mortgage Trust
8.431% due 01/20/2017		3,682		4,012
LB-UBS Commercial Mortgage Trust
6.133% due 12/15/2030		470		488
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		20,364		20,377
MASTR Asset Securitization Trust
5.500% due 09/25/2033		7,363		7,250
MASTR Reperforming Loan Trust
7.000% due 08/25/2034		426		440
Mellon Residential Funding Corp.
5.700% due 11/15/2031		4,766		4,775
5.790% due 12/15/2030		4,454		4,474
6.230% due 11/15/2031		467		473
Merrill Lynch Mortgage Investors, Inc.
0.745% due 04/25/2028 (b)		1,476		60
Merrill Lynch Mortgage Trust
1.511% due 07/12/2034 (b)		65,884		2,306
MLCC Mortgage Investors, Inc.
5.730% due 03/15/2025		547		549
6.994% due 01/25/2029		4,000		4,004
Morgan Stanley Capital I
7.500% due 08/15/2022		1,813		1,825
Mortgage Capital Funding, Inc.
6.663% due 03/18/2030		2,775		2,799
Nationslink Funding Corp.
5.700% due 11/10/2030		514		515
Nomura Asset Acceptance Corp.
7.000% due 02/19/2030		423		439
Ocwen Residential Mortgage-Backed Securities Corp.
6.803% due 06/25/2039		762		600
Prime Mortgage Trust
5.000% due 02/25/2019		39		38
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		3,199		3,199
Residential Asset Mortgage Products, Inc.
6.500% due 11/25/2031		814		822
Salomon Brothers Mortgage Securities VII
7.115% due 11/25/2022		8		8
Sequoia Mortgage Trust
4.082% due 04/20/2035		9,217		9,032
5.700% due 10/19/2026		242		242
5.700% due 07/20/2033		6,716		6,740
5.730% due 10/20/2027		7,118		7,129
Starwood Commercial Mortgage Trust
6.920% due 02/03/2014		1,000		1,036
Structured Adjustable Rate Mortgage Loan Trust
5.840% due 06/25/2034		2,672		2,683
Structured Asset Mortgage Investments, Inc.
5.500% due 06/25/2036		28,060		28,072
5.560% due 04/25/2036		53,314		53,449
5.570% due 05/25/2036		4,729		4,736
5.580% due 05/25/2045		5,409		5,426
5.680% due 09/19/2032		11,441		11,460
5.700% due 03/19/2034		3,143		3,149
5.916% due 05/25/2022		2,889		2,812
5.988% due 05/02/2030		324		324
Structured Asset Securities Corp.
4.510% due 01/25/2034		8,904		8,901
5.000% due 05/25/2035		28,176		27,049
5.345% due 10/25/2035		2,091		2,089
6.100% due 02/25/2032		8		8
6.150% due 07/25/2032		17		17
6.375% due 08/25/2032		1,113		1,116
7.213% due 01/25/2032		873		870
Structured Mortgage Asset Residential Trust
8.000% due 10/25/2007		7		7
Thornburg Mortgage Securities Trust
5.470% due 12/25/2036		5,354		5,358
Vendee Mortgage Trust
6.500% due 05/15/2008		243		244
6.500% due 03/15/2029		2,867		2,926
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		4,881		4,884
Washington Mutual MSC Mortgage Pass-Through Certificates
6.500% due 09/25/2032		8,176		8,130
7.221% due 11/25/2030		1,496		1,492
Washington Mutual, Inc.
5.114% due 10/25/2032		61		61
5.540% due 04/25/2045		2,351		2,355
5.610% due 11/25/2045		2,088		2,096
5.620% due 12/25/2027		4,958		4,960
5.640% due 10/25/2045		18,575		18,612
5.660% due 01/25/2045		15,305		15,342
5.710% due 12/25/2045		4,000		4,018
5.745% due 11/25/2034		9,364		9,408
5.750% due 07/25/2045		5,294		5,314
5.777% due 07/25/2046		18,465		18,561
5.875% due 07/25/2044		1,480		1,488
6.227% due 06/25/2042		2,816		2,820
6.227% due 08/25/2042		5,859		5,870
Wells Fargo Mortgage-Backed Securities Trust
3.989% due 12/25/2034		11,265		11,041
Total Mortgage-Backed Securities (Cost $732,406)				730,893
ASSET-BACKED SECURITIES 7.3%
Aames Mortgage Investment Trust
5.410% due 04/25/2036		1,682		1,684
5.750% due 10/25/2035		4,000		4,009
ABFS Mortgage Loan Trust
6.285% due 07/15/2033		2,000		2,010
Accredited Mortgage Loan Trust
5.390% due 09/25/2036		8,544		8,550
ACE Securities Corp.
5.400% due 10/25/2036		5,877		5,881
5.480% due 05/25/2036		10,000		10,009
5.550% due 06/25/2035		2,547		2,548
6.050% due 08/25/2030		118		118
Advanta Mortgage Loan Trust
5.725% due 11/25/2029		95		95
Aegis Asset-Backed Securities Trust
5.460% due 10/25/2035		368		369
5.750% due 05/25/2033		1,048		1,049
AFC Home Equity Loan Trust
5.760% due 06/24/2029		971		975
5.900% due 12/26/2029		46		47
Aircraft Certificate Owner Trust
6.455% due 09/20/2022		2,909		2,904
American Express Credit Account Master Trust
5.460% due 12/15/2009		3,550		3,554
Amortizing Residential Collateral Trust
5.620% due 06/25/2032		108		108
5.640% due 07/25/2032		736		738
5.700% due 10/25/2031		611		612
Amresco Residential Securities Mortgage Loan Trust
5.845% due 06/25/2028		278		278
5.905% due 06/25/2027		1,412		1,413
5.980% due 09/25/2028		2,257		2,259
6.290% due 06/25/2029		281		289
Argent Securities, Inc.
5.410% due 05/25/2036		2,493		2,494
5.430% due 01/25/2036		650		651
5.490% due 02/25/2036		2,200		2,202
Asset-Backed Funding Certificates
5.360% due 09/25/2036		7,904		7,909
6.390% due 03/25/2032		1,959		1,961
Asset-Backed Securities Corp. Home Equity
5.410% due 05/25/2036		16,853		16,864
5.410% due 07/25/2036		2,198		2,199
5.460% due 11/25/2035		1,835		1,837
5.870% due 06/15/2031		332		334
Bank One Issuance Trust
5.390% due 02/16/2010		1,000		1,001
5.470% due 06/15/2010		1,000		1,002
Bear Stearns Asset-Backed Securities, Inc.
5.520% due 12/25/2042		342		342
5.550% due 09/25/2034		1,889		1,891
5.640% due 02/25/2026		459		459
5.950% due 10/25/2032		956		961
6.000% due 02/25/2034		711		712
6.100% due 11/25/2042		2,406		2,429
Carrington Mortgage Loan Trust
5.390% due 05/25/2036		7,497		7,502
5.430% due 01/25/2036		7,395		7,400
CDC Mortgage Capital Trust
6.400% due 01/25/2033		3,581		3,585
Centex Home Equity
5.500% due 06/25/2035		4,370		4,373
5.650% due 01/25/2032		224		225
6.200% due 01/25/2032		2,025		2,027
Charming Shoppes Master Trust
5.680% due 05/15/2014		6,000		6,009
Chase Credit Card Master Trust
5.450% due 10/15/2009		1,105		1,106
5.700% due 02/15/2011		7,000		7,047
5.740% due 06/15/2009		2,000		2,003
Chase Funding Mortgage Loan Asset-Backed Certificates
5.670% due 08/25/2032		1,509		1,510
5.680% due 11/25/2032		2,275		2,277
Chase Issuance Trust
5.370% due 07/15/2010		945		946
CIT Group Home Equity Loan Trust
5.620% due 06/25/2033		2,900		2,908
5.640% due 03/25/2033		767		769
6.000% due 12/25/2031		1,672		1,681
Citigroup Mortgage Loan Trust, Inc.
5.390% due 08/25/2036		6,533		6,537
Community Program Loan Trust
4.500% due 10/01/2018		1,038		1,022
Conseco Finance
6.050% due 08/15/2033		4,261		4,269
6.850% due 05/15/2032		1,980		1,994
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		15,700		13,121
8.200% due 02/01/2032		40,000		35,048
8.400% due 02/01/2032		4,272		863
Countrywide Asset-Backed Certificates
5.380% due 03/25/2037		8,192		8,197
5.380% due 01/25/2046		14,838		14,848
5.400% due 01/25/2037		10,178		10,190
5.420% due 06/25/2036		2,886		2,888
5.450% due 01/25/2036		45		45
5.540% due 01/25/2036		5,900		5,905
5.560% due 10/25/2035		679		680
5.800% due 06/25/2033		934		941
Credit-Based Asset Servicing & Securitization LLC
5.470% due 10/25/2036		4,577		4,580
5.690% due 10/25/2030		888		889
5.980% due 06/25/2032		825		826
CS First Boston Mortgage Securities Corp.
5.710% due 05/25/2044		4,470		4,476
Delta Funding Home Equity Loan Trust
6.170% due 09/15/2029		24		24
Embarcadero Aircraft Securitization Trust
6.450% due 08/15/2025 (a)		9,100		137
EMC Mortgage Loan Trust
5.720% due 05/25/2040		1,545		1,550
Equifirst Mortgage Loan Trust
5.570% due 04/25/2035		5,750		5,757
5.590% due 01/25/2034		708		710
FBR Securitization Trust
5.470% due 10/25/2035		600		600
5.490% due 09/25/2035		828		829
5.530% due 09/25/2035		2,373		2,375
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		24,968		24,984
5.730% due 10/25/2034		8,917		8,927
First International Bank N.A.
5.900% due 03/15/2027		5,088		3,568
5.930% due 04/15/2026		481		217
First North American National Bank
5.670% due 07/16/2011		15,000		15,033
First Plus Home Loan Trust
7.670% due 05/10/2024		2,453		2,534
Fremont Home Loan Trust
5.520% due 01/25/2036		2,900		2,903
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		3,615		3,617
5.450% due 12/25/2035		233		233
GMAC Mortgage Corp. Loan Trust
5.590% due 01/25/2029		2,689		2,694
Green Tree Financial Corp.
6.240% due 11/01/2016		5,155		5,208
7.060% due 02/01/2031		7,000		6,018
7.400% due 06/15/2027		4,319		4,493
7.550% due 01/15/2029		479		503
8.000% due 07/15/2018		1,703		1,662
8.050% due 10/15/2027		606		632
9.100% due 04/15/2025		3,278		3,443
GSAMP Trust
5.390% due 06/25/2036		25,727		25,745
5.390% due 09/25/2036		6,631		6,635
5.470% due 12/25/2035		2,529		2,530
5.470% due 10/25/2036		10,000		10,006
GSRPM Mortgage Loan Trust
5.730% due 09/25/2042		3,237		3,258
HFC Home Equity Loan Asset-Backed Certificates
5.700% due 09/20/2033		2,871		2,882
Home Equity Asset Trust
5.440% due 10/25/2035		2,886		2,888
5.510% due 05/25/2036		8,000		8,008
IMC Home Equity Loan Trust
6.880% due 11/20/2028		534		533
7.520% due 08/20/2028		101		101
Indymac Residential Asset-Backed Trust
5.440% due 03/25/2036		4,807		4,811
Irwin Home Equity
6.250% due 02/25/2029		2,603		2,614
JPMorgan Mortgage Acquisition Corp.
5.400% due 08/25/2036		5,550		5,553
5.420% due 03/25/2036		2,925		2,926
5.430% due 10/25/2035		1,619		1,620
5.470% due 09/25/2035		763		764
5.560% due 06/25/2035		2,022		2,028
Keycorp Student Loan Trust
5.654% due 08/27/2025		738		740
Lehman XS Trust
5.400% due 06/25/2046		9,213		9,217
5.430% due 08/25/2046		12,066		12,077
5.440% due 05/25/2046		2,506		2,506
Long Beach Mortgage Loan Trust
5.380% due 06/25/2036		20,366		20,381
5.410% due 04/25/2036		4,902		4,906
5.430% due 02/25/2036		4,240		4,243
5.440% due 01/25/2036		10,690		10,698
6.775% due 03/25/2032		5,586		5,674
MASTR Asset-Backed Securities Trust
5.380% due 10/25/2036		2,151		2,153
5.460% due 11/25/2035		2,800		2,802
MBNA Credit Card Master Note Trust
5.519% due 09/15/2010		2,000		2,006
Merrill Lynch Mortgage Investors, Inc.
5.400% due 09/25/2037		11,803		11,810
5.440% due 10/25/2037		6,585		6,589
Mesa Trust Asset-Backed Certificates
5.750% due 12/25/2031		1,924		1,931
Mid-State Trust
6.340% due 10/15/2036		2,039		2,076
7.340% due 07/01/2035		1,222		1,301
7.400% due 07/01/2035		52		56
7.790% due 07/01/2035		70		75
7.791% due 03/15/2038		2,602		2,801
8.330% due 04/01/2030		14,448		14,931
Morgan Stanley ABS Capital I
5.390% due 04/25/2036		2,780		2,782
5.390% due 07/25/2036		10,753		10,760
5.420% due 10/25/2036		5,000		4,998
5.430% due 12/25/2035		730		731
Morgan Stanley Capital I
5.420% due 02/25/2036		8,008		8,014
Morgan Stanley Home Equity Loans
5.460% due 08/25/2035		2,283		2,284
Nelnet Student Loan Trust
5.467% due 07/25/2016		2,400		2,407
New Century Home Equity Loan Trust
5.690% due 02/25/2035		341		342
NPF XII, Inc.
2.200% due 12/01/2003 (a)		13,800		828
2.232% due 10/01/2003 (a)		49,000		2,940
2.462% due 11/01/2003 (a)		3,000		180
Oakwood Mortgage Investors, Inc.
5.725% due 03/15/2018		1,601		1,406
7.500% due 01/15/2021		1,617		1,628
Option One Mortgage Loan Trust
5.950% due 01/25/2032		475		476
6.205% due 10/25/2032		19,579		19,600
Origen Manufactured Housing
7.650% due 03/15/2032		13,200		13,589
Ownit Mortgage Loan Asset-Backed Certificates
5.410% due 03/25/2037		2,905		2,907
Popular ABS Mortgage Pass-Through Trust
5.440% due 04/25/2035		192		193
Preferred Credit Corp.
7.590% due 07/25/2026		325		324
Quest Trust
5.430% due 12/25/2035		302		302
5.790% due 09/25/2034		1,948		1,950
6.000% due 09/25/2034		1,299		1,301
Renaissance Home Equity Loan Trust
5.790% due 08/25/2033		810		813
5.850% due 12/25/2033		6,194		6,246
6.150% due 08/25/2032		3,000		3,021
Residential Asset Mortgage Products, Inc.
5.400% due 02/25/2036		3,653		3,656
5.400% due 10/25/2036		8,133		8,137
5.430% due 01/25/2036		1,581		1,582
5.440% due 10/25/2036		15,485		15,494
5.600% due 10/25/2034		720		720
Residential Asset Securities Corp.
5.400% due 10/25/2036		6,852		6,857
5.410% due 04/25/2036		4,971		4,975
5.420% due 11/25/2036		10,069		10,077
5.450% due 10/25/2035		1,799		1,801
5.600% due 07/25/2032		3,663		3,666
5.640% due 06/25/2033		444		445
5.650% due 06/25/2032		279		279
Residential Funding Mortgage Securities II, Inc.
7.850% due 12/25/2024		1,520		1,516
8.350% due 03/25/2025		312		312
Residential Mortgage Loan Trust
6.875% due 09/25/2029		320		321
SACO I, Inc.
5.610% due 06/25/2036		3,072		3,077
Salomon Brothers Mortgage Securities VII
6.250% due 01/25/2032		382		383
6.325% due 10/25/2028		780		780
6.930% due 08/25/2028		1,000		998
Saxon Asset Securities Trust
5.380% due 11/25/2036		9,278		9,284
5.600% due 03/25/2032		2,384		2,386
5.690% due 12/26/2034		3,124		3,131
Securitized Asset-Backed Receivables LLC Trust
5.410% due 03/25/2036		3,700		3,702
SLM Student Loan Trust
5.387% due 01/26/2015		1,591		1,592
5.927% due 07/25/2016		17,907		17,939
SMS Student Loan Trust
5.604% due 10/27/2025		467		466
Soundview Home Equity Loan Trust
5.420% due 10/25/2036		2,753		2,755
5.460% due 11/25/2035		4,348		4,351
5.580% due 06/25/2035		3,513		3,518
Specialty Underwriting & Residential Finance
5.370% due 09/25/2037		41,404		41,427
5.690% due 01/25/2034		289		289
Structured Asset Investment Loan Trust
5.430% due 01/25/2036		3,957		3,960
5.460% due 08/25/2035		638		638
Structured Asset Securities Corp.
5.370% due 10/25/2036		14,473		14,484
5.470% due 02/25/2036		3,000		3,003
5.480% due 12/25/2035		3,340		3,343
5.610% due 01/25/2033		17		17
5.750% due 05/25/2034		2,178		2,181
6.400% due 01/25/2033		1,636		1,645
Terwin Mortgage Trust
5.530% due 07/25/2036		931		932
Triton Aviation Finance
8.350% due 06/15/2025 (a)		4,500		0
UCFC Manufactured Housing Contract
7.900% due 01/15/2028		2,500		986
Vanderbilt Mortgage Finance
7.905% due 02/07/2026		130		136
Wells Fargo Home Equity Trust
5.460% due 11/25/2035		21,050		21,063
5.590% due 10/25/2035		50,000		50,101
5.600% due 12/25/2035		18,500		18,551
Total Asset-Backed Securities (Cost $993,639)				930,938
SHORT-TERM INSTRUMENTS 6.5%
Commercial Paper 5.4%
Abbey National N.A. LLC
5.290% due 01/04/2007		350,000		349,948
Intesa Funding LLC
5.310% due 01/04/2007		150,000		149,978
Rabobank USA Financial Corp.
5.280% due 01/02/2007		110,500		110,500
Societe Generale NY
5.270% due 01/02/2007		84,400		84,400
				694,826
Repurchase Agreements 0.8%
UBS Securities LLC
4.800% due 01/02/2007		100,000		100,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 4.250% due 01/15/2010 valued at $102,213. Repurchase proceeds are $100,053.)
Tri-Party Repurchase Agreements 0.1%
State Street Bank and Trust Co.
4.900% due 01/02/2007		5,393		5,393
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $5,504. Repurchase proceeds are $5,396.)
U.S. Treasury Bills 0.2%
4.838% due 03/01/2007 - 03/15/2007 (d)(f)(j)		22,205		21,996
Total Short-Term Instruments (Cost $822,233)				822,215
Purchased Options (l) 0.0% (Cost $4,390)				4,305
Total Investments (h) 157.2% (Cost $20,195,594)			$	20,121,581
Written Options (m) (0.1%) (Premiums $4,705)				(6,018	)
Other Assets and Liabilities (Net) (57.1%)				(7,311,530	)
Net Assets 100.0%			$	12,804,033

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

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

(a) Security is in default.

(b) Interest only security.

(c) Principal only security.

(d) Coupon represents a weighted average rate.

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

(f) Securities with an aggregate market value of $8,671 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(g) Securities with an aggregate market value of $223,724 have been pledged as collateral for delayed-delivery mortgage-backed securities on December 31, 2006.

(h) As of December 31, 2006, portfolio securities with an aggregate value of $109,691 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(i) The average amount of borrowing outstanding during the period ended December 31, 2006 was $301,934 at a weighted average interest rate of 5.300%. On December 31, 2006,

securities valued at $435,169 were pledged as collateral for reverse repurchase agreements.

(j) Securities with an aggregate market value of $11,592 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2007	9,975	$	1,529
90-Day Eurodollar March Futures	Long	03/2007	2,931		1,492
90-Day Eurodollar September Futures	Long	09/2007	427		64
90-Day Eurodollar June Futures	Short	06/2008	7,753		(8,223	)
U.S. Treasury 10-Year Note March Futures	Short	03/2007	1,963		2,208
				$	(2,930	)

(k) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Buckingham CDO Ltd. floating rate based on 1-Month USD-LIBOR plus 1.600% due 04/05/2041	Buy	(1.250	%)	4/5/2041	$	2,000	$	32
Bank of America	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 01/10/2045	Buy	(1.580	%)	1/10/2045		3,500		(10	)
Bank of America	ABS Home Equity Index	Buy	(2.670	%)	7/25/2045		8,000		(196	)
Bank of America	ABS Home Equity Index	Buy	(0.540	%)	7/25/2045		50,000		(126	)
Bank of America	ABS Home Equity Index	Sell	1.540	%	7/25/2045		17,500		89
Bank of America	Vertical CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.650% due 02/09/2046	Buy	(1.690	%)	2/9/2046		5,000		(45	)
Bank of America	Longshore CDO Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 2.900% due 05/03/2046	Buy	(3.530	%)	5/3/2046		2,000		(15	)
Bank of America	Kent Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.550% due 05/08/2046	Buy	(1.830	%)	5/8/2046		4,000		(10	)
Bank of America	ABS Home Equity Index	Sell	1.330	%	5/25/2046		3,000		(99	)
Bank of America	Furlong CDO floating rate based on 3-Month USD-LIBOR plus 2.950% due 10/11/2046	Buy	(3.730	%)	10/11/2046		5,000		(45	)
Bank of America	Kefton CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.350% due 01/09/2047	Buy	(1.750	%)	1/9/2047		8,000		(39	)
Bank of America	Cairn Mezzanine ABS CDO PLC floating rate based on 3-Month USD-LIBOR plus 3.250% due 02/13/2047	Buy	(3.750	%)	2/13/2047		5,000		(49	)
Bank of America	Midori CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.300% due 02/15/2047	Buy	(1.730	%)	2/15/2047		3,000		(17	)
Bank of America	Pampelonne CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 11/11/2051	Buy	(1.750	%)	11/11/2051		2,000		(2	)
Barclays Bank PLC	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.400% due 02/25/2034	Buy	(0.490	%)	2/25/2034		4,000		(3	)
Barclays Bank PLC	Specialty Underwriting & Residential Finance Trust floating rate based on 1-Month USD-LIBOR plus 1.300% due 02/25/2035	Buy	(0.590	%)	2/25/2035		4,000		(9	)
Barclays Bank PLC	Structured Asset Investment Loan Trust floating rate based on 1-Month USD-LIBOR plus 0.820% due 02/25/2035	Buy	(0.610	%)	2/25/2035		4,000		(13	)
Barclays Bank PLC	First Franklin Mortgage Loan Asset-Backed Certificates floating rate based on 1-Month USD-LIBOR plus 1.350% due 03/25/2036	Buy	(0.870	%)	3/25/2036		5,000		77
Barclays Bank PLC	Morgan Stanley ABS Capital I floating rate based on 1-Month USD-LIBOR plus 1.050% due 07/25/2036	Sell	1.670	%	7/25/2036		5,000		108
Barclays Bank PLC	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045		25,000		112
Barclays Bank PLC	ABS Home Equity Index	Buy	(1.330	%)	5/25/2046		13,000		484
Barclays Bank PLC	Camber floating rate based on 3-Month USD-LIBOR plus 1.330% due 07/12/2043	Buy	(1.400	%)	6/28/2046		2,000		(20	)
Bear Stearns & Co., Inc.	Merrill Lynch Mortgage Trust 5.244% due 11/12/2037	Buy	(1.150	%)	11/12/2037		4,000		(159	)
Bear Stearns & Co., Inc.	KLIO Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.800% due 04/23/2039	Buy	(1.700	%)	4/23/2039		4,000		(72	)
Bear Stearns & Co., Inc.	Trinity CDO, Inc. floating rate based on 3-Month USD-LIBOR plus 1.600% due 03/08/2040	Buy	(1.700	%)	3/8/2040		1,000		(19	)
Bear Stearns & Co., Inc.	LB-UBS Commercial Mortgage Trust 5.404% due 09/15/2040	Buy	(1.170	%)	9/15/2040		4,000		(222	)
Bear Stearns & Co., Inc.	BFC Genesee CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.650% due 01/10/2041	Buy	(1.450	%)	1/10/2041		2,500		(2	)
Bear Stearns & Co., Inc.	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045		25,000		32
Bear Stearns & Co., Inc.	ABS Home Equity Index	Buy	(0.540	%)	7/25/2045		10,000		(33	)
Bear Stearns & Co., Inc.	ABS Home Equity Index	Sell	2.670	%	7/25/2045		3,000		4
Bear Stearns & Co., Inc.	Lancer Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 3.250% due 04/06/2046	Buy	(2.900	%)	4/6/2046		7,500		14
Bear Stearns & Co., Inc.	ABS Home Equity Index	Buy	(0.440	%)	5/25/2046		25,000		58
Bear Stearns & Co., Inc.	Midori CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 3.100% due 02/15/2047	Buy	(4.030	%)	2/15/2047		3,000		(28	)
Citibank N.A.	Residential Asset Mortgage Products, Inc. floating rate based on 1-Month USD-LIBOR plus 2.450% due 02/25/2036	Sell	3.550	%	2/25/2036		5,000		112
Citibank N.A.	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045		85,000		(316	)
Citibank N.A.	ABS Home Equity Index	Buy	(0.540	%)	7/25/2045		25,000		(5	)
Citibank N.A.	ABS Home Equity Index	Sell	1.540	%	7/25/2045		4,000		(1	)
Citibank N.A.	ABS Home Equity Index	Sell	2.670	%	7/25/2045		20,000		(171	)
Credit Suisse First Boston	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045		25,000		(83	)
Credit Suisse First Boston	ABS Home Equity Index	Sell	2.670	%	7/25/2045		10,000		(61	)
Deutsche Bank AG	Morgan Stanley ABS Capital I floating rate based on 1-Month USD-LIBOR plus 1.050% due 07/25/2036	Buy	(1.100	%)	7/25/2036		5,000		(6	)
Deutsche Bank AG	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045		25,000		73
Deutsche Bank AG	ABS Home Equity Index	Sell	1.540	%	7/25/2045		25,000		4
Deutsche Bank AG	ABS Home Equity Index	Sell	1.330	%	5/25/2046		25,000		(369	)
Deutsche Bank AG	Commercial Mortgage-Backed Index	Sell	1.340	%	10/12/2052		8,000		313
Goldman Sachs & Co.	Novastar Home Equity Loan floating rate based on 1-Month USD-LIBOR plus 3.500% due 09/25/2034	Buy	(2.200	%)	9/25/2034		10,000		(66	)
Goldman Sachs & Co.	Home Equity Asset Trust floating rate based on 1-Month USD-LIBOR plus 3.500% due 12/25/2034	Buy	(2.200	%)	12/25/2034		10,000		486
Goldman Sachs & Co.	Vertical CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.450% due 04/01/2045	Buy	(1.325	%)	4/1/2045		2,000		20
Goldman Sachs & Co.	ABS Home Equity Index	Buy	(2.670	%)	7/25/2045		5,000		(4	)
Goldman Sachs & Co.	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045		12,500		(15	)
Goldman Sachs & Co.	ABS Home Equity Index	Sell	0.540	%	7/25/2045		50,000		72
Goldman Sachs & Co.	ABS Home Equity Index	Sell	0.110	%	5/25/2046		7,000		0
Goldman Sachs & Co.	ABS Home Equity Index	Sell	0.170	%	5/25/2046		7,000		2
Goldman Sachs & Co.	ABS Home Equity Index	Sell	1.330	%	5/25/2046		46,500		(1,411	)
JPMorgan Chase & Co.	Encore Credit Receivables Trust floating rate based on 1-Month USD-LIBOR plus 1.350% due 10/25/2035	Buy	(1.500	%)	10/25/2035		3,000		(5	)
JPMorgan Chase & Co.	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045		111,000		(20	)
JPMorgan Chase & Co.	ABS Home Equity Index	Sell	2.670	%	7/25/2045		5,000		21
JPMorgan Chase & Co.	ABS Home Equity Index	Buy	(1.330	%)	5/25/2046		17,000		633
JPMorgan Chase & Co.	ABS Home Equity Index	Sell	0.110	%	5/25/2046		3,000		1
JPMorgan Chase & Co.	ABS Home Equity Index	Sell	1.330	%	5/25/2046		12,000		(184	)
JPMorgan Chase & Co.	Montrose Harbor CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.380% due 12/05/2051	Buy	(1.750	%)	12/5/2051		2,500		(6	)
Lehman Brothers, Inc.	Encore Credit Receivables Trust floating rate based on 1-Month USD-LIBOR plus 1.350% due 10/25/2035	Sell	1.630	%	10/25/2035		3,000		17
Lehman Brothers, Inc.	Securitized Asset-Backed Receivables LLC Trust floating rate based on 1-Month USD-LIBOR plus 1.400% due 10/25/2035	Buy	(0.940	%)	10/25/2035		10,000		319
Lehman Brothers, Inc.	Residential Asset Securities Corp. floating rate based on 1-Month USD-LIBOR plus 1.200% due 04/25/2036	Buy	(1.090	%)	4/25/2036		5,000		223
Lehman Brothers, Inc.	Altius Funding Ltd. floating rate based on 1-Month USD-LIBOR plus 1.500% due 12/05/2040	Buy	(1.450	%)	12/5/2040		7,000		17
Lehman Brothers, Inc.	Altius Funding Ltd. floating rate based on 1-Month USD-LIBOR plus 2.750% due 12/05/2040	Buy	(3.250	%)	12/5/2040		7,000		(58	)
Lehman Brothers, Inc.	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045		50,000		(10	)
Lehman Brothers, Inc.	ABS Home Equity Index	Buy	(0.540	%)	7/25/2045		10,000		(30	)
Lehman Brothers, Inc.	GSC ABS CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.750% due 11/12/2045	Buy	(1.400	%)	11/12/2045		9,000		(1	)
Lehman Brothers, Inc.	Vertical CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 3.350% due 02/09/2046	Buy	(3.200	%)	2/9/2046		2,500		(12	)
Lehman Brothers, Inc.	Citius Funding Ltd. floating rate based on 1-Month USD-LIBOR plus 1.370% due 05/05/2046	Buy	(1.440	%)	5/5/2046		11,905		47
Lehman Brothers, Inc.	ABS Home Equity Index	Sell	1.330	%	5/25/2046		25,000		(384	)
Lehman Brothers, Inc.	RFC CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 2.900% due 07/15/2051	Buy	(3.100	%)	7/15/2051		5,000		(16	)
Merrill Lynch & Co., Inc.	JPMorgan Mortgage Acquisition Corp. floating rate based on 1-month USD-LIBOR plus 2.350% due 05/25/2035	Buy	(1.880	%)	5/25/2035		5,000		397
Merrill Lynch & Co., Inc.	Residential Asset Mortgage Products, Inc. floating rate based on 1-Month USD-LIBOR plus 2.450% due 02/25/2036	Buy	(2.370	%)	2/25/2036		5,000		340
Merrill Lynch & Co., Inc.	First Franklin Mortgage Loan Asset-Backed Certificates floating rate based on 1-Month USD-LIBOR plus 2.800% due 03/25/2036	Buy	(1.900	%)	3/25/2036		5,000		(67	)
Merrill Lynch & Co., Inc.	Soundview Home Equity Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.100% due 07/25/2036	Buy	(1.050	%)	7/25/2036		5,000		112
Merrill Lynch & Co., Inc.	Altius Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 12/09/2040	Buy	(1.230	%)	12/9/2040		3,000		(15	)
Merrill Lynch & Co., Inc.	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045		25,000		27
Merrill Lynch & Co., Inc.	ABS Home Equity Index	Sell	1.540	%	7/25/2045		25,000		27
Merrill Lynch & Co., Inc.	ABS Home Equity Index	Sell	1.330	%	5/25/2046		15,000		(221	)
Merrill Lynch & Co., Inc.	Avanti Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.350% due 06/06/2046	Buy	(1.450	%)	6/6/2046		5,000		(6	)
Merrill Lynch & Co., Inc.	Avanti Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 3.250% due 06/06/2046	Buy	(3.450	%)	6/6/2046		5,000		(13	)
Merrill Lynch & Co., Inc.	Bering CDO Ltd. floating rate based on 1-Month USD-LIBOR plus 3.250% due 09/07/2046	Buy	(3.270	%)	9/7/2046		2,500		11
Merrill Lynch & Co., Inc.	Kleros Preferred Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 3.150% due 10/01/2050	Buy	(3.400	%)	10/1/2050		5,000		(38	)
Merrill Lynch & Co., Inc.	Buckingham CDO Ltd. floating rate based on 1-Month USD-LIBOR plus 1.250% due 09/05/2051	Buy	(1.530	%)	9/5/2051		5,000		133
Morgan Stanley	Morgan Stanley ABS Capital I floating rate based on 1-Month USD-LIBOR plus 1.700% due 12/27/2033	Buy	(0.540	%)	12/27/2033		4,000		5
Morgan Stanley	ABS Home Equity Index	Sell	1.540	%	7/25/2045		25,000		54
Royal Bank of Scotland Group PLC	Home Equity Asset Trust floating rate based on 1-Month USD-LIBOR plus 1.200% due 08/25/2036	Buy	(1.500	%)	8/25/2036		5,000		58
Royal Bank of Scotland Group PLC	ABS Home Equity Index	Buy	(2.670	%)	7/25/2045		10,000		98
Royal Bank of Scotland Group PLC	ABS Home Equity Index	Buy	(1.330	%)	5/25/2046		19,500		732
UBS AG	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.450% due 02/25/2036	Buy	(1.270	%)	2/25/2036		5,000		21
UBS AG	CS First Boston Mortgage Securities Corp. 5.250% due 7/15/2037	Buy	(1.080	%)	7/15/2037		10,000		(128	)
UBS AG	Merrill Lynch Mortgage Trust 5.355% due 06/12/2043	Buy	(1.080	%)	6/12/2043		10,000		(149	)
UBS AG	ABS Home Equity Index	Buy	(2.670	%)	7/25/2045		23,000		148
UBS AG	ABS Home Equity Index	Buy	(1.540	%)	7/25/2045		128,000		379
UBS AG	ABS Home Equity Index	Buy	(0.540	%)	7/25/2045		25,000		(59	)
UBS AG	ABS Home Equity Index	Sell	1.330	%	5/25/2046		125,000		(1,883	)
Wachovia Bank N.A.	Ixis ABS CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.450% due 12/13/2046	Buy	(1.690	%)	12/13/2046		2,000		(5	)
								$	(1,139	)

(1) If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	12/15/2014	$	6,800	$	273
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		2,800		64
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		152,500		(1,672	)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		112,400		2,366
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2014		4,000		(35	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	Premium		10/1/2011		39,000		(1,929	)
	with 6.150% interest rate cap		Amount of $2,211
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2014		5,700		(50	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		5,900		135
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		11,500		(38	)
								$	(886	)

(l) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.200	%	5/9/2007	$	924,000	$	4,029	$	4,301
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	4.730	%	2/1/2007		105,500		361		4
									$	4,390	$	4,305

(m) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.315	%	5/9/2007	$	420,000	$	4,333	$	6,006
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	4.780	%	2/1/2007		45,400		372		12
									$	4,705	$	6,018

(n) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	5.000	%	1/1/2037	$	1,135,000	$	1,105,907	$	1,095,985
Fannie Mae	5.000	%	2/1/2037		596,500		575,739		575,995
Fannie Mae	5.500	%	1/1/2037		1,920,700		1,914,773		1,898,493
						$	3,596,419	$	3,570,473

See Accompanying Notes

Schedule of Investments

Municipal Sector Portfolio

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 121.7%
Arkansas 1.1%
University of Central Arkansas Revenue Notes, (FGIC Insured), Series 2004
5.000% due 11/01/2010	$	410	$	425
5.000% due 11/01/2011		840		865
5.000% due 11/01/2012		880		906
5.000% due 11/01/2013		925		953
				3,149
California 6.6%
California State Association of Bay Area Governments Financing Authority for Non-Profit Corporations Revenue Bonds, Series 2003
5.200% due 11/15/2022		5,000		5,255
California State Hollister Joint Powers Financing Authority Revenue Bonds, (FSA Insured), Series 2006
4.500% due 06/01/2037		1,870		1,863
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
6.250% due 06/01/2033		3,500		3,916
Norco, California Redevelopment Agency Tax Allocation Bonds, (RADIAN Insured), Series 2004
5.000% due 03/01/2032		1,000		1,034
Southern California State Public Power Authority Revenue Bonds, (FGIC Insured), Series 1988
0.000% due 07/01/2014		8,155		6,106
				18,174
Colorado 4.1%
Colorado State Certificates of Participation Bonds, (MBIA Insured), Series 2005
5.000% due 11/01/2030 (d)		8,000		8,468
Dawson Ridge, Colorado Metropolitan District No. 1 General Obligation Bonds, Series 1992
0.000% due 10/01/2022		2,930		1,488
El Paso County, Colorado Single-Family Mortgage Revenue Bonds, Series 1984
0.000% due 09/01/2015		2,000		1,422
				11,378
Florida 2.1%
Palm Beach County, Florida Solid Waste Authority Revenue Bonds, (AMBAC Insured), Series 2002
0.000% due 10/01/2014		7,000		5,187
Reedy Creek, Florida Improvement District Revenue Bonds, (MBIA Insured) Series 2003
5.250% due 10/01/2013		500		544
				5,731
Idaho 0.4%
Idaho State Health Facilities Authority Revenue Bonds, (RADIAN Insured), Series 2005
5.000% due 09/01/2035		1,000		1,038
Illinois 5.1%
Boone & Winnebago Counties, Illinois Community Unit General Obligation Notes, (FGIC Insured), Series 2003
0.000% due 01/01/2012		1,120		924
Boone, McHenry & Dekalb Counties, Illinois Community Unit General Obligation Bonds, (MBIA Insured), Series 2005
4.488% due 12/01/2020		1,275		1,544
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2027		2,000		797
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001
0.000% due 01/01/2023 (c)		5,965		5,408
Illinois State Development Finance Authority Revenue Bonds, Series 1991
0.000% due 07/15/2025		10,000		4,432
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		800		836
				13,941
Indiana 4.0%
Indiana State Ball State University Revenue Bonds, (FSA Insured), Series 2004
5.500% due 07/01/2020		475		550
Indiana State Bond Bank Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 09/01/2025		2,000		2,091
Indiana State Fairfield School Building Corporations Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 07/15/2024		2,850		3,010
Lawrence, Indiana Township School Building Corporations Revenue Notes, (FSA State Aid Withholding Insured), Series 2004
5.000% due 01/15/2011		735		771
5.000% due 01/15/2012		425		451
5.000% due 01/15/2013		450		481
Merrillville, Indiana Multi-School Building Corporations Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 01/05/2021		2,000		2,080
Southmont, Indiana School Building Corporations Revenue Notes, (FGIC Insured), Series 2004
5.250% due 01/15/2011		445		471
5.250% due 01/15/2012		540		579
5.250% due 07/15/2012		475		512
				10,996
Iowa 0.2%
Iowa City, Iowa General Obligation Bonds, Series 2002
5.000% due 06/01/2020		500		529
Kansas 0.3%
Sedgwick County, Kansas Unified School District No. 259 General Obligation Notes, (MBIA Insured), Series 2004
5.000% due 09/01/2012		750		802
Louisiana 6.2%
Louisiana State Tobacco Settlement Financing Corporation Revenue Bonds, Series 2001
5.875% due 05/15/2039 (d)		15,044		16,183
6.513% due 11/15/2031		610		695
				16,878
Maine 0.4%
Maine State Turnpike Authority Revenue Bonds, (FGIC Insured), Series 2000
5.750% due 07/01/2028		1,000		1,076
Maryland 0.4%
Maryland Health & Higher Educational Facilities Authority Revenue Bonds, 2007
5.000% due 07/01/2027 (a)		1,000		1,041
Massachusetts 4.5%
Commonwealth of Massachusetts General Obligation Bonds, (AMBAC Insured), Series 2004
5.500% due 08/01/2030		500		603
Commonwealth of Massachusetts General Obligation Bonds, Series 2005
5.000% due 03/01/2025		5,000		5,443
Massachusetts State Bay Transportation Authority Revenue Bonds, (General Obligation Authority Insured), Series 1998
5.000% due 03/01/2028 (d)		1,000		1,012
Massachusetts State Housing Finance Agency Revenue Bonds, Series 2003
5.000% due 06/01/2034 (d)		5,000		5,141
Massachusetts State Water Resources Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2034		250		268
				12,467
Michigan 7.1%
Detroit, Michigan Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 07/01/2034		200		212
Michigan State Building Authority Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 10/15/2020 (d)		9,905		10,670
Michigan State Higher Education Student Loan Authority Revenue Bonds, (AMBAC-GTD Student Loan Insured), Series 2005
4.875% due 03/01/2030 (d)		8,500		8,720
				19,602
Minnesota 0.2%
Southern Minnesota State Municipal Power Agency Revenue Bonds, (AMBAC Insured), Series 2002
5.250% due 01/01/2014		500		546
Mississippi 1.1%
Mississippi State Housing Finance Corporations Revenue Bonds, Series 1983
0.000% due 06/01/2015		4,180		3,001
Nevada 10.2%
Clark County, Nevada General Obligation Bonds, (FGIC Insured), Series 2006
4.750% due 11/01/2035 (d)		25,000		25,739
Las Vegas, Nevada Valley Water District Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 06/01/2025		2,085		2,187
				27,926
New Hampshire 0.8%
New Hampshire State Health & Education Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2002
5.375% due 07/01/2020		2,000		2,164
New Jersey 5.5%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.000% due 11/01/2028		2,480		2,518
New Jersey State Educational Facilities Authority Revenue Bonds, (RADIAN Insured), Series 2004
5.250% due 07/01/2034		2,000		2,134
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2037		1,325		1,438
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.375% due 06/01/2032		8,000		8,983
				15,073
New York 16.1%
New York City, New York General Obligation Bonds, (MBIA Insured), Series 1999
5.125% due 05/15/2029 (d)		11,830		12,289
New York City, New York Municipal Water Finance Authority Revenue Bonds, (FGIC Insured), Series 1993
3.880% due 06/15/2023		10,000		10,000
New York City, New York Municipal Water Finance Authority Revenue Bonds, (MBIA-IBC Insured), Series 2001
5.125% due 06/15/2033		4,090		4,325
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2005
5.000% due 06/15/2031 (d)		10,000		10,586
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2000
5.500% due 11/01/2024 (d)		1,000		1,060
6.840% due 11/01/2024		500		569
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000
5.340% due 08/15/2022		750		785
New York State Hudson Yards Infrastructure Corp. Revenue Bonds, Series 2006
5.000% due 02/15/2047		4,250		4,485
				44,099
North Carolina 1.7%
North Carolina State General Obligation Bonds, Series 2001
6.020% due 09/01/2017		4,000		4,542
Pennsylvania 5.5%
Commonwealth of Pennsylvania State General Obligation Bonds, (FGIC Insured), Series 1998
5.000% due 12/01/2017 (d)		13,500		13,979
Pittsburgh, Pennsylvania Redevelopment Authority Water & Sewer System Revenue Bonds, (FSA Insured), Series 2000
6.020% due 09/01/2021		1,000		1,034
				15,013
Puerto Rico 0.3%
Puerto Rico Children’s Trust Fund Revenue Bonds, Series 2000
6.000% due 07/01/2026		700		754
Rhode Island 1.1%
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.250% due 06/01/2042		2,725		2,915
South Carolina 3.1%
Lexington, South Carolina Health Services District Revenue Bonds, Series 2004
5.500% due 05/01/2037		1,500		1,610
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2030		6,000		6,992
				8,602
Texas 26.8%
Arlington, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
5.820% due 02/15/2024		750		783
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 05/15/2035 (d)		10,000		10,551
Dallas, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2006
4.750% due 08/15/2032		2,000		2,067
El Paso, Texas General Obligation Notes, (MBIA Insured), Series 2006
5.000% due 08/15/2014		750		810
Garland, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
5.375% due 02/15/2012		100		102
Houston, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
4.750% due 02/15/2026 (d)		1,500		1,515
Houston, Texas Water & Sewer System Revenue Bonds, (AMBAC Insured), Series 1991
0.000% due 12/01/2009		1,750		1,567
Lancaster, Texas Independent School District General Obligation Revenue Bonds, (FSA Insured), Series 2006
0.000% due 02/15/2024		2,250		994
Lubbock, Texas Health Facilities Development Revenue Bonds, Series 1998
5.250% due 07/01/2011		575		592
Municipal Securities Trust Certificates, Texas Revenue Bonds, Series 2006
4.719% due 04/01/2024		5,360		6,256
San Antonio, Texas General Obligation Notes, Series 2001
5.000% due 08/01/2010		50		52
San Antonio, Texas Utilities Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 02/01/2030 (d)		7,070		7,494
San Antonio, Texas Water Revenue Bonds, (MBIA Insured), Series 2005
4.750% due 05/15/2037		3,000		3,077
4.750% due 05/15/2038 (d)		25,000		25,641
Sheldon, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2003
5.000% due 02/15/2025		2,400		2,512
Tarrant, Texas Regional Water District Revenue Bonds, (FGIC Insured), Series 2006
4.750% due 03/01/2029		5,000		5,203
Texas State Capital Area Housing Finance Corporations Revenue Bonds, (FHA/VA Private Mortgage Insured), Series 1984
0.000% due 01/01/2016		6,060		4,189
				73,405
Washington 4.3%
King County, Washington General Obligation Bonds, (FGIC Insured), Series 2005
8.350% due 01/01/2035		3,410		4,316
Port of Seattle, Washington Revenue Bonds, (MBIA Insured), Series 2000
5.625% due 02/01/2024		1,000		1,052
Washington State General Obligation Bonds, (FGIC Insured), Series 2005
2.472% due 06/01/2016		1,395		1,482
Washington State General Obligation Notes, (AMBAC Insured), Series 2004
0.000% due 12/01/2012		6,080		4,834
				11,684
West Virginia 0.9%
Berkeley, Brooke & Fayette Counties, West Virginia Revenue Bonds, Series 1983
0.000% due 12/01/2014		3,250		2,351
Wisconsin 1.6%
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2027		2,805		3,006
6.375% due 06/01/2032		250		273
Wisconsin State General Obligation Bonds, (MBIA Insured), Series 2006
5.000% due 05/01/2037		200		206
Wisconsin State Housing & Economic Development Revenue Bonds, (MBIA Insured), Series 2002
4.700% due 11/01/2012		35		35
Wisconsin State Housing & Economic Development Revenue Notes, (MBIA Insured), Series 2002
4.600% due 05/01/2011		910		942
				4,462
Total Municipal Bonds & Notes (Cost $320,941)				333,339
SHORT-TERM INSTRUMENTS 13.1%
Commercial Paper 8.8%
Bank of America Corp.
5.230% due 03/09/2007		100		99
5.230% due 03/20/2007		2,500		2,470
5.235% due 03/13/2007		100		99
5.245% due 01/17/2007		5,000		4,990
5.250% due 01/18/2007		700		698
Federal Home Loan Bank
4.800% due 01/02/2007		7,500		7,500
General Electric Capital Corp.
5.240% due 02/08/2007		7,900		7,859
5.250% due 01/17/2007		300		299
				24,014
Repurchase Agreements 3.9%
Credit Suisse Securities (USA) LLC
4.800% due 01/02/2007	$	6,700	$	6,700
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 4.000% due 06/15/2009 valued at $6,887. Repurchase proceeds are $6,704.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		3,981		3,981
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $4,065. Repurchase proceeds are $3,983.)
				10,681
U.S. Treasury Bills 0.4%
4.817% due 03/01/2007 - 03/15/2007 (b)(e)		1,225		1,212
Total Short-Term Instruments (Cost $35,912)				35,907
Total Investments 134.8%			$	369,246
(Cost $356,853)
Written Options (f) (0.0%)				(9	)
(Premiums $46)
Other Assets and Liabilities (Net) (34.8%)				(95,366	)
Net Assets 100.0%			$	273,871

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

(c) Security becomes interest bearing at a future date.

(d) Residual Interest Bonds Held in Trust - Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Portfolio acquired the residual interest certificates. These securities serve as collateral in a financing transaction.

(e) Securities with an aggregate market value of $1,212 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
U.S. Treasury 5-Year Note March Futures	Short	03/2007	250	$	176
U.S. Treasury 10-Year Note March Futures	Short	03/2007	490		585
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	522		1,015
				$	1,776

(f) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note March Futures	$	110.000	2/23/2007	110	$	46	$	9

See accompanying notes

Schedule of Investments

Real Return Portfolio

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 3.5%
Abbey National Treasury Services PLC
5.276% due 07/02/2008 (a)	$	9,100	$	9,096
Citigroup, Inc.
5.416% due 01/30/2009		600		600
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		640		655
Export-Import Bank of Korea
5.590% due 10/04/2011		1,300		1,301
General Electric Capital Corp.
5.396% due 12/12/2008		600		601
Rabobank Nederland
5.394% due 01/15/2009		500		500
Redwood Capital IX Ltd.
7.764% due 01/09/2008		400		400
Societe Generale NY
5.299% due 06/30/2008		11,100		11,095
Travelers Property Casualty Corp.
3.750% due 03/15/2008		800		782
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		1,400		1,401
Vita Capital Ltd.
6.710% due 01/01/2007		3,600		3,600
Vita Capital II Ltd.
6.486% due 01/01/2012		600		600
Wachovia Bank N.A.
5.440% due 12/02/2010		2,100		2,103
Total Corporate Bonds & Notes (Cost $32,761)				32,734
MUNICIPAL BONDS & NOTES 0.4%
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Bonds, Series 2002
6.375% due 06/01/2032		1,000		1,093
California State Tobacco Securitization Agency
Revenue Bonds, Series 2002
5.625% due 06/01/2023		255		258
Kansas City, Kansas Turnpike Authority Revenue
Bonds, (AMBAC Insured), Series 2003
5.000% due 09/01/2013		300		321
New Jersey State Tobacco Settlement Financing
Corporations Revenue Bonds, Series 2003
6.750% due 06/01/2039		500		572
New York City, New York Municipal Water Finance
Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		300		309
Rhode Island State Tobacco Settlement Financing
Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2023		500		531
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		1,140		1,261
Total Municipal Bonds & Notes (Cost $3,768)				4,345
U.S. GOVERNMENT AGENCIES 8.8%
Fannie Mae
4.673% due 04/01/2035		675		673
4.693% due 01/01/2035		436		431
5.500% due 01/01/2024 - 01/01/2037		75,716		74,848
5.958% due 09/01/2044 - 10/01/2044		396		399
6.000% due 09/01/2036 - 01/01/2037		5,972		6,014
7.058% due 09/01/2018		83		83
Freddie Mac
4.500% due 05/15/2017		351		344
5.630% due 09/25/2031		125		125
5.700% due 12/15/2030		323		324
Government National Mortgage Association
6.500% due 05/15/2026 - 06/15/2028		114		117
Total U.S. Government Agencies (Cost $84,037)				83,358
U.S. TREASURY OBLIGATIONS 117.2%
Treasury Inflation Protected Securities (c)
0.875% due 04/15/2010		81,136		76,947
1.625% due 01/15/2015		4,439		4,179
1.875% due 07/15/2013		96,359		93,122
1.875% due 07/15/2015		77,292		74,095
2.000% due 01/15/2014		38,006		36,932
2.000% due 01/15/2026		66,291		62,366
2.375% due 04/15/2011		52,919		52,724
2.375% due 01/15/2025		78,366		78,045
2.500% due 07/15/2016		149,888		151,070
3.000% due 07/15/2012		47,554		48,953
3.375% due 01/15/2007 (f)		28,782		28,741
3.375% due 01/15/2012		11,365		11,869
3.500% due 01/15/2011		34,784		36,222
3.625% due 01/15/2008		66,568		67,298
3.625% due 04/15/2028		116,009		140,104
3.875% due 01/15/2009		19,894		20,447
3.875% due 04/15/2029		11,539		14,534
4.250% due 01/15/2010		74,537		78,473
U.S. Treasury Bonds
4.500% due 02/15/2036		2,700		2,568
6.625% due 02/15/2027		2,500		3,048
U.S. Treasury Notes
3.875% due 09/15/2010		13,270		12,904
4.500% due 02/28/2011		2,100		2,085
4.500% due 11/15/2015		1,400		1,379
4.875% due 04/30/2011		9,200		9,263
5.125% due 05/15/2016		400		412
Total U.S. Treasury Obligations (Cost $1,128,177)				1,107,780
MORTGAGE-BACKED SECURITIES 0.8%
Bear Stearns Adjustable Rate Mortgage Trust
6.259% due 11/25/2030		570		570
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		164		163
Countrywide Home Loan Mortgage Pass-Through Trust
5.690% due 06/25/2035		1,110		1,109
GSR Mortgage Loan Trust
4.540% due 09/25/2035		1,571		1,544
Washington Mutual, Inc.
5.610% due 11/25/2045		522		524
5.640% due 10/25/2045		3,331		3,338
Total Mortgage-Backed Securities (Cost $7,259)				7,248
ASSET-BACKED SECURITIES 0.5%
Bear Stearns Asset-Backed Securities, Inc.
5.800% due 03/25/2043		191		191
Lehman XS Trust
5.430% due 07/25/2046		1,072		1,072
Long Beach Mortgage Loan Trust
5.550% due 11/25/2034		8		8
MASTR Asset-Backed Securities Trust
5.430% due 01/25/2036		826		826
Merrill Lynch Mortgage Investors, Inc.
5.430% due 01/25/2037		215		216
5.507% due 06/25/2036		754		755
Option One Mortgage Loan Trust
5.450% due 11/25/2035		370		371
Renaissance Home Equity Loan Trust
5.500% due 11/25/2035		5		5
Residential Asset Securities Corp.
5.420% due 04/25/2036		116		116
Soundview Home Equity Loan Trust
5.420% due 02/25/2036		44		43
5.420% due 03/25/2036		31		31
Structured Asset Securities Corp.
4.900% due 04/25/2035		1,119		1,083
Total Asset-Backed Securities (Cost $4,743)				4,717
FOREIGN CURRENCY-DENOMINATED ISSUES 0.6%
Canadian Government Bond
3.000% due 12/01/2036 (c)	CAD	1,376		1,522
Pylon Ltd.
5.179% due 12/18/2008 (j)	EUR	3,200		4,249
Total Foreign Currency-Denominated Issues (Cost $5,187)				5,771
SHORT-TERM INSTRUMENTS 1.4%
Commercial Paper 0.1%
Rabobank USA Financial Corp.
5.280% due 01/02/2007	$	1,300		1,300
Repurchase Agreements 0.6%
State Street Bank and Trust Co.
4.900% due 01/02/2007		5,659		5,659
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $5,774. Repurchase proceeds are $5,662.)
Germany Treasury Bills 0.3%
3.075% due 01/17/2007	EUR	2,100	$	2,769
U.S. Treasury Bills 0.4%
4.840% due 03/01/2007 - 03/15/2007 (b)(d)(f)	$	3,180		3,149
Total Short-Term Instruments (Cost $12,738)				12,877
Purchased Options (h) 0.0% (Cost $197)				69
Total Investments (e) 133.2% (Cost $1,278,867)			$	1,258,899
Written Options (i) (0.1%) (Premiums $588)				(561	)
Other Assets and Liabilities (Net) (33.1%)				(313,173	)
Net Assets 100.0%			$	945,165

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

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

(d) Securities with an aggregate market value of $990 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(e) As of December 31, 2006, portfolio securities with an aggregate value of $5,249 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $1,543 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	41	$	0
90-Day Eurodollar June Futures	Long	06/2007	20		(13	)
90-Day Eurodollar March Futures	Long	03/2008	40		7
90-Day Eurodollar September Futures	Long	09/2007	41		(14	)
Euro-Bund 10-Year Note March Futures	Short	03/2007	20		20
U.S. Treasury 5-Year Note March Futures	Long	03/2007	1,514		(804	)
U.S. Treasury 10-Year Note March Futures	Long	03/2007	291		(281	)
U.S. Treasury 30-Year Bond March Futures	Long	03/2007	224		(549	)
				$	(1,634	)

(g) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.700	%	6/20/2007	$	500	$	9
HSBC Bank USA	Ford Motor Corp. 7.450% due 07/16/2031	Sell	2.410	%	6/20/2007		300		3
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.680	%	6/20/2007		300		3
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.700	%	6/20/2007		300		4
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.350	%	9/20/2007		4,300		60
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	6/20/2007		3,000		56
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	9/20/2007		1,000		14
								$	149

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	3-Month Canadian Bank Bill	Pay	5.500	%	6/15/2035	CAD	1,700	$	(44	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.500	%	6/15/2035		3,100		(80	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	1,600		30
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.138	%	1/19/2016		4,000		29
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		1,800		29
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.988	%	12/15/2011		4,500		(1	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		4,500		9
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.028	%	10/15/2011		3,700		19
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		2,000		0
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		2,000		11
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	6/15/2017		1,300		39
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,600		31
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.095	%	10/15/2011		6,900		92
UBS AG	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275	%	10/15/2016		2,200		(3	)
UBS AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		2,200		12
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2009	GBP	16,000		(131	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	6/12/2036		2,200		118
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	5,800		133
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		7,100		(24	)

Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	7,400		169
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	145,100		3,054
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009	7,500		(25	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2014	8,300		72
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	7,500		172
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	42,100		964
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009	124,900		(417	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	2,900		66
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012	100		(1	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/18/2009	219,000		668
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009	10,300		(34	)
							$	4,957

(h) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007	$	38,000	$	167	$	223
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		8,000		30		47
									$	197	$	270

Straddle Options

Description	Counterparty		Exercise Price(2)	Expiration Date		Notional Amount		Cost(2)		Value
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	Goldman Sachs & Co.	$	0.000	3/20/2007	$	17,700	$	0	$	(178	)
Call & Put - OTC U.S. dollar versus Japanese yen Forward Delta Neutral Straddle	JPMorgan Chase & Co.		0.000	3/20/2007		2,400		0		(23	)
							$	0	$	(201	)

⁽²⁾ Exercise price and final cost determined on a future date, based upon implied volatility parameters.

(i) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	115.000	2/23/2007	55	$	18	$	9
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	55		12		28
					$	30	$	37

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.300	%	1/2/2007	$	22,000	$	114	$	195
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.900	%	1/2/2007		13,000		147		0
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	6.100	%	1/2/2007		9,000		59		0
Call - OTC 5-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	4.750	%	2/1/2007		13,500		19		4
Put - OTC 5-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.350	%	2/1/2007		13,500		22		7
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		16,000		163		256
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	5.325	%	6/7/2007		4,000		34		62
									$	558	$	524

(j) Restricted securities as of December 31, 2006:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Pylon Ltd.	5.179	%	12/18/2008	12/11/2003	$	3,886	$	4,249	0.45	%

(k) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(3)
Treasury Inflation Protected Securities	2.000	%	1/15/2016	$	45,005	$	44,759	$	43,476
U.S. Treasury Notes	3.625	%	5/15/2013		2,000		1,907		1,896
U.S. Treasury Notes	4.250	%	11/15/2013		35,700		35,402		35,003
U.S. Treasury Notes	4.500	%	2/15/2016		20,200		20,229		20,282
						$	102,297	$	100,657

⁽³⁾ Market value includes $651 of interest payable on short sales.

(l) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	CAD	2,372	01/2007	$	53	$	0		$	53
Buy	EUR	5,541	01/2007		54		0			54
Sell		4,730	01/2007		0		(31	)		(31	)
Buy	GBP	88	01/2007		1		0			1
Sell	JPY	647,011	01/2007		6		0			6
Buy		2,862,479	02/2007		0		(337	)		(337	)
				$	114	$	(368	)	$	(254	)

See accompanying notes

Schedule of Investments

Short-Term Portfolio

December 31, 2006 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 23.5%
Banking & Finance 15.5%
Abbey National Treasury Services PLC
5.276% due 07/02/2008 (a)	$	40,000	$	39,982
ABX Financing Co.
5.750% due 10/15/2016		3,000		2,989
Bank of America Corp.
5.378% due 11/06/2009		1,000		1,001
5.640% due 10/14/2016		10,000		10,063
CIT Group, Inc.
5.000% due 11/24/2008		10,700		10,652
5.524% due 08/15/2008		2,250		2,256
5.580% due 05/23/2008		700		702
Citigroup Global Markets Holdings, Inc.
5.461% due 03/17/2009		7,200		7,211
CNA Financial Corp.
5.850% due 12/15/2014		3,000		3,017
Countrywide Financial Corp.
6.250% due 05/15/2016		5,000		5,105
DnB NORBank ASA
5.443% due 10/13/2009		2,000		2,001
First Union National Bank of Florida
6.180% due 02/15/2036		600		638
Ford Motor Credit Co.
6.315% due 03/21/2007		8,200		8,199
General Electric Capital Corp.
5.410% due 10/26/2009		2,400		2,401
5.460% due 06/15/2009		8,000		8,023
General Motors Acceptance Corp.
6.274% due 01/16/2007		4,450		4,450
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		3,100		3,101
5.456% due 06/23/2009		17,000		17,022
5.570% due 03/02/2010		2,000		2,008
5.704% due 07/23/2009		12,100		12,186
HSBC Finance Corp.
5.300% due 08/15/2007		8,100		8,099
5.420% due 10/21/2009		2,600		2,602
5.610% due 01/15/2014		5,000		5,014
5.624% due 05/10/2010		5,050		5,078
5.799% due 06/01/2016		3,000		3,039
6.538% due 11/13/2007		4,000		4,026
International Lease Finance Corp.
5.625% due 09/20/2013		5,000		5,043
iStar Financial, Inc.
5.760% due 03/03/2008		5,000		5,014
5.950% due 10/15/2013		6,000		6,039
JPMorgan Chase & Co.
5.400% due 06/26/2009		9,000		9,010
Kaupthing Bank Hf
6.125% due 10/04/2016		3,000		3,031
Landsbanki Islands Hf
6.070% due 08/25/2009		3,000		3,024
Lehman Brothers Holdings, Inc.
5.400% due 11/24/2008		2,000		2,001
5.576% due 12/23/2010		4,000		4,014
Merrill Lynch & Co., Inc.
5.464% due 08/14/2009		8,100		8,109
Morgan Stanley
5.390% due 11/21/2008		2,000		2,001
5.499% due 02/15/2007		2,000		2,000
5.614% due 01/22/2009		2,000		2,002
5.824% due 10/18/2016		5,000		5,037
5.854% due 10/15/2015		3,000		3,033
ORIX Corp.
5.480% due 11/22/2011		5,000		4,997
Rabobank Nederland
5.370% due 04/06/2009		800		801
Residential Capital Corp.
6.000% due 02/22/2011		5,000		4,995
Riggs Capital Trust
8.875% due 03/15/2027		1,100		1,155
Royal Bank of Scotland Group PLC
5.770% due 07/06/2012		5,800		5,806
Santander U.S. Debt S.A. Unipersonal
5.426% due 11/20/2009		2,500		2,502
5.434% due 10/21/2008		5,000		5,004
SLM Corp.
5.601% due 10/25/2011		10,000		10,020
Societe Generale NY
5.299% due 06/30/2008		42,000		41,981
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		13,300		13,323
6.115% due 09/21/2007		4,700		4,714
Wachovia Bank N.A.
5.406% due 03/23/2009		6,200		6,205
Westpac Banking Corp.
5.310% due 06/06/2008		5,600		5,601
World Savings Bank FSB
5.415% due 05/08/2009		2,000		2,001
				339,328
Industrials 5.3%
AutoZone, Inc.
5.500% due 11/15/2015		2,500		2,404
5.875% due 10/15/2012		3,000		3,009
Avon Products, Inc.
5.125% due 01/15/2011		4,000		3,965
Boston Scientific Corp.
6.000% due 06/15/2011		2,500		2,526
Comcast Corp.
5.300% due 01/15/2014		5,000		4,904
5.674% due 07/14/2009		900		903
DaimlerChrysler N.A. Holding Corp.
5.600% due 03/07/2007		10,700		10,702
5.750% due 09/08/2011		14,000		13,979
5.833% due 09/10/2007		12,500		12,530
Hewlett-Packard Co.
5.496% due 05/22/2009		7,700		7,717
Historic TW, Inc.
8.180% due 08/15/2007		3,900		3,965
HJ Heinz Co.
6.428% due 12/01/2008		6,800		6,924
Johnson Controls, Inc.
5.250% due 01/15/2011		5,000		4,965
5.500% due 01/15/2016		3,000		2,947
Kraft Foods, Inc.
5.625% due 11/01/2011		3,000		3,035
Kroger Co.
5.500% due 02/01/2013		4,000		3,962
Lennar Corp.
5.950% due 10/17/2011		3,000		3,021
Sealed Air Corp.
5.625% due 07/15/2013		5,000		4,954
Time Warner, Inc.
5.875% due 11/15/2016		5,000		4,997
Transocean, Inc.
5.566% due 09/05/2008		8,100		8,109
Viacom, Inc.
5.750% due 04/30/2011		3,000		3,004
Weatherford International Ltd.
4.950% due 10/15/2013		2,500		2,398
Wyeth
5.500% due 03/15/2013		2,500		2,519
				117,439
Utilities 2.7%
America Movil S.A. de C.V.
5.466% due 06/27/2008		10,000		9,993
BellSouth Corp.
5.474% due 08/15/2008		3,800		3,804
Dominion Resources, Inc.
5.200% due 01/15/2016		3,000		2,899
5.554% due 11/14/2008		2,800		2,802
5.662% due 09/28/2007		5,100		5,103
DPL, Inc.
6.875% due 09/01/2011		2,500		2,638
Entergy Gulf States, Inc.
3.600% due 06/01/2008		8,850		8,619
Exelon Corp.
6.750% due 05/01/2011		3,000		3,137
Florida Power Corp.
5.774% due 11/14/2008		3,400		3,408
Ohio Edison Co.
4.000% due 05/01/2008		6,325		6,209
Public Service Enterprise Group, Inc.
5.740% due 09/21/2008		2,600		2,603
Verizon Global Funding Corp.
5.504% due 08/15/2007		1,100		1,100
Vodafone Group PLC
5.424% due 06/29/2007		7,700		7,701
				60,016
Total Corporate Bonds & Notes (Cost $516,696)				516,783
U.S. GOVERNMENT AGENCIES 24.5%
Fannie Mae
3.000% due 01/25/2025		70		68
3.500% due 02/25/2013 - 01/25/2025		2,671		2,634
3.575% due 08/01/2033		433		426
3.664% due 08/01/2033		89		87
3.723% due 05/01/2033		105		105
3.863% due 08/01/2033		187		184
3.914% due 09/01/2033		584		566
3.933% due 06/01/2033		1,081		1,068
3.941% due 05/01/2034		322		315
3.974% due 11/01/2033		951		921
3.979% due 08/01/2034		1,050		1,024
3.980% due 03/01/2034		385		379
3.992% due 06/01/2033		884		872
4.000% due 07/01/2013 - 11/25/2016		20,986		20,334
4.022% due 06/01/2034		179		177
4.067% due 06/01/2033		2,466		2,439
4.090% due 03/01/2034		552		545
4.095% due 02/01/2035		179		175
4.118% due 11/01/2034		281		278
4.124% due 12/01/2034		294		289
4.155% due 09/01/2033		1,051		1,023
4.157% due 03/01/2034		1,426		1,407
4.161% due 01/01/2035		240		235
4.163% due 08/01/2035		2,133		2,103
4.164% due 09/01/2033		246		244
4.166% due 05/01/2033		370		368
4.168% due 04/01/2034		2,489		2,454
4.190% due 11/01/2034		192		191
4.200% due 11/01/2033		853		834
4.213% due 06/01/2034		927		916
4.216% due 05/01/2033		338		337
4.231% due 06/01/2033		1,436		1,426
4.233% due 12/01/2034		187		183
4.247% due 01/01/2034 - 03/01/2034		635		631
4.250% due 04/25/2028 - 12/01/2033		2,131		2,110
4.253% due 07/01/2035		860		844
4.275% due 04/01/2034		697		689
4.277% due 03/01/2034		924		909
4.279% due 03/01/2035		3,733		3,673
4.295% due 03/01/2033		90		88
4.298% due 05/01/2034		4,549		4,499
4.300% due 04/01/2034		655		649
4.323% due 06/01/2034		255		252
4.324% due 01/01/2034		799		790
4.330% due 01/01/2035		964		948
4.338% due 10/01/2033		95		95
4.354% due 04/01/2033		63		63
4.362% due 02/01/2033		140		141
4.365% due 03/01/2035		373		365
4.395% due 04/01/2033		374		377
4.421% due 08/01/2033		2,811		2,787
4.433% due 04/01/2034		358		354
4.470% due 01/01/2035		995		982
4.500% due 01/01/2013 - 12/25/2017		4,124		4,036
4.510% due 11/01/2033		1,735		1,726
4.521% due 12/01/2034		246		243
4.523% due 11/01/2034		154		152
4.538% due 07/01/2035		6,938		6,834
4.545% due 01/01/2034		1,862		1,854
4.550% due 01/01/2033		242		243
4.552% due 11/01/2033		426		427
4.556% due 04/01/2035		2,057		2,076
4.566% due 08/01/2034		3,923		3,891
4.567% due 09/01/2032		442		435
4.573% due 07/01/2035		1,193		1,182
4.574% due 08/01/2034 - 05/01/2035		5,025		4,991
4.576% due 05/01/2033		2,340		2,311
4.583% due 02/01/2035		269		264
4.586% due 03/01/2035		3,509		3,466
4.657% due 10/01/2034		151		150
4.658% due 08/01/2035		2,645		2,628
4.661% due 07/01/2033		94		94
4.663% due 08/01/2035		3,595		3,549
4.666% due 02/01/2035		3,315		3,292
4.673% due 03/01/2033		2,125		2,110
4.679% due 10/01/2034		7,844		7,779
4.692% due 04/01/2033		908		901
4.704% due 10/01/2035		798		789
4.707% due 10/01/2035		1,021		1,010
4.738% due 03/01/2035		1,526		1,514
4.750% due 03/01/2034 - 07/01/2034		2,040		2,024
4.776% due 11/01/2034 - 07/01/2035		1,292		1,283
4.777% due 11/01/2034		4,092		4,063
4.786% due 12/01/2032		516		513
4.787% due 09/01/2035		3,319		3,301
4.798% due 11/01/2032 - 01/01/2033		2,350		2,344
4.812% due 07/01/2035		401		399
4.824% due 02/01/2035		194		193
4.829% due 02/01/2035		576		574
4.830% due 11/01/2043		810		799
4.852% due 10/01/2034		2,275		2,259
4.856% due 10/01/2034		3,985		3,967
4.865% due 02/01/2035		638		635
4.868% due 01/01/2035		337		335
4.878% due 05/01/2035		8,079		8,050
4.884% due 10/01/2035		2,358		2,355
4.895% due 12/01/2034		624		621
4.903% due 04/01/2035		321		319
4.921% due 02/01/2035		250		249
4.933% due 03/01/2035		2,114		2,106
4.934% due 01/01/2033		2,978		2,961
4.945% due 09/01/2035		6,298		6,266
4.946% due 02/01/2034		516		512
4.956% due 12/01/2018 - 05/01/2035		1,210		1,204
4.960% due 05/01/2035		543		539
4.988% due 01/01/2036		4,862		4,847
4.991% due 09/01/2034		2,902		2,863
5.000% due 11/01/2009 - 12/01/2035		11,115		11,040
5.048% due 05/01/2035		5,512		5,513
5.052% due 12/01/2035		837		834
5.074% due 11/01/2035		4,349		4,336
5.079% due 07/01/2036		1,448		1,446
5.086% due 01/01/2035		4,444		4,442
5.096% due 03/01/2036		1,592		1,586
5.128% due 06/01/2035 - 12/01/2035		3,637		3,645
5.166% due 03/01/2033		310		307
5.199% due 09/01/2035		1,164		1,169
5.219% due 09/01/2034		3,637		3,636
5.243% due 04/01/2033		2,075		2,073
5.263% due 08/01/2032		580		577
5.277% due 02/01/2036		182		181
5.306% due 06/01/2035		2,995		2,990
5.387% due 12/01/2035		995		1,004
5.407% due 10/01/2035 (e)		11,998		12,009
5.410% due 12/25/2036		1,948		1,952
5.470% due 03/25/2034		866		867
5.500% due 02/01/2009 - 01/01/2037		41,156		40,696
5.526% due 12/01/2032		562		561
5.555% due 05/01/2036		5		5
5.560% due 05/01/2036		287		290
5.561% due 05/01/2036		2,310		2,329
5.590% due 05/01/2032		436		437
5.618% due 08/01/2046		1,475		1,486
5.640% due 10/01/2036		6,028		6,061
5.700% due 05/25/2042		140		140
5.750% due 06/25/2032		36		36
5.800% due 06/01/2032		168		170
5.850% due 12/25/2031		483		489
5.875% due 12/25/2013		100		100
5.950% due 02/25/2044		5,938		5,930
5.958% due 03/01/2044 - 07/01/2044		6,459		6,506
5.975% due 03/25/2008		177		178
6.000% due 11/25/2015 - 08/25/2044		4,395		4,435
6.011% due 01/01/2019		535		538
6.012% due 07/01/2029		98		100
6.025% due 10/25/2022		214		217
6.032% due 09/01/2035		7,266		7,393
6.100% due 02/25/2009		231		232
6.175% due 12/25/2008		313		315
6.216% due 09/01/2036		97		99
6.500% due 12/25/2016 - 12/25/2042		889		899
6.525% due 09/25/2023 - 10/25/2023		372		383
6.721% due 11/01/2035		1,623		1,662
6.722% due 11/01/2035		572		585
7.000% due 02/01/2011 - 02/25/2023		180		186
7.107% due 07/01/2018		106		107
7.129% due 12/01/2040		473		480
7.269% due 11/01/2025		213		215
7.305% due 09/01/2029		515		521
7.406% due 06/01/2030		171		173
7.500% due 05/01/2028		157		163
7.775% due 05/01/2030		29		29
8.000% due 10/01/2026		238		251
9.000% due 04/01/2020 - 01/01/2026		314		339
9.500% due 07/01/2021 - 06/01/2025		227		249
Federal Home Loan Bank
0.000% due 02/05/2007		16,000		15,720
4.100% due 11/19/2008		500		491
Freddie Mac
2.500% due 04/15/2013		1,516		1,482
3.000% due 05/15/2022		100		97
3.500% due 03/01/2009 - 03/15/2022		2,342		2,289
3.800% due 02/17/2009		5,000		4,863
3.899% due 08/01/2033		261		256
3.900% due 05/01/2034		1,195		1,165
3.922% due 06/01/2033		123		121
4.000% due 05/01/2008 - 10/15/2023		4,421		4,328
4.016% due 03/01/2034		2,647		2,594
4.096% due 04/01/2034		1,763		1,729
4.118% due 11/01/2033		268		263
4.195% due 07/01/2034		640		627
4.221% due 03/01/2034		3,240		3,185
4.266% due 12/01/2033		1,013		997
4.285% due 12/01/2034		406		404
4.299% due 12/01/2033		680		669
4.301% due 11/01/2034		3,800		3,745
4.321% due 10/01/2033		1,607		1,593
4.379% due 01/01/2035		730		719
4.423% due 12/01/2033		795		783
4.493% due 03/01/2035 - 08/01/2035		3,527		3,502
4.500% due 03/01/2013 - 08/15/2027		25,626		25,204
4.539% due 09/01/2034		256		252
4.550% due 03/01/2035		5,320		5,261
4.569% due 12/01/2034		121		119
4.575% due 11/01/2034		1,735		1,713
4.612% due 01/01/2035		113		112
4.655% due 03/01/2035		1,319		1,310
4.804% due 02/01/2035		412		407
4.816% due 05/01/2035		5,591		5,539
4.826% due 03/01/2035		814		808
4.837% due 07/01/2035		1,386		1,374
4.919% due 12/01/2034		3,327		3,304
4.932% due 07/01/2033		92		90
4.938% due 12/01/2032		303		304
4.958% due 04/01/2034		63		63
5.000% due 09/01/2007 - 02/15/2025		11,963		11,893
5.004% due 05/01/2035		1,734		1,733
5.005% due 05/01/2033		65		64
5.015% due 06/01/2035		173		173
5.021% due 03/01/2035		93		93
5.125% due 09/01/2034		451		450
5.176% due 03/01/2035		1,558		1,557
5.254% due 09/01/2035		997		993
5.300% due 10/01/2035		2,503		2,505
5.368% due 12/01/2035		5,784		5,799
5.427% due 01/01/2030		239		240
5.429% due 02/01/2036		346		348
5.500% due 03/15/2022 - 08/15/2030		38,082		38,148
5.610% due 08/25/2031		1,418		1,425
5.630% due 09/25/2031		1,660		1,661
5.632% due 02/01/2019		169		171
5.655% due 12/01/2035		1,416		1,424
5.699% due 03/01/2036		157		157
5.700% due 12/15/2030		4,522		4,532
5.708% due 08/01/2036		996		1,006
5.875% due 10/15/2026		472		477
5.900% due 02/15/2032		696		699
5.958% due 10/25/2044 - 02/25/2045		1,783		1,791
5.975% due 03/15/2023		563		568
6.000% due 11/15/2008 - 10/01/2033		6,115		6,192
6.038% due 07/01/2019		19		19
6.158% due 07/25/2044		10,719		10,776
6.250% due 12/15/2023 - 03/15/2028		3,822		3,839
6.257% due 11/01/2031		566		572
6.299% due 03/15/2029		1,311		1,347
6.464% due 03/01/2030		420		427
7.031% due 09/01/2034		288		288
Government National Mortgage Association
4.000% due 09/16/2025		536		530
5.125% due 10/20/2029		3,354		3,402
5.250% due 01/20/2030		43		43
5.375% due 01/20/2027		1,338		1,355
5.500% due 09/20/2029 - 07/20/2031		3,403		3,406
5.700% due 06/20/2032		208		209
5.750% due 07/20/2026 - 02/16/2032		427		429
5.850% due 04/16/2032		226		228
6.000% due 01/20/2020— 03/20/2032		2,285		2,286
6.500% due 07/20/2017		648		651
8.500% due 12/20/2026— 11/20/2027		100		107
Small Business Administration
5.090% due 10/01/2025		3,447		3,420
Total U.S. Government Agencies (Cost $538,552)				538,888
MORTGAGE-BACKED SECURITIES 25.5%
ABN AMRO Mortgage Corp.
5.000% due 02/25/2018		2,489		2,478
Adjustable Rate Mortgage Trust
4.594% due 05/25/2035		1,722		1,693
4.727% due 01/25/2036		5,100		5,062
5.600% due 10/25/2035		80		80
American Home Mortgage Investment Trust
4.390% due 02/25/2045		1,481		1,457
Arkle Master Issuer PLC
5.330% due 11/19/2007		2,000		2,003
Banc of America Alternative Loan Trust
5.000% due 06/25/2019		2,368		2,340
Banc of America Funding Corp.
4.105% due 03/20/2035		296		292
4.114% due 05/25/2035		3,177		3,105
4.506% due 11/20/2034		7,870		7,763
Banc of America Mortgage Securities
5.276% due 10/25/2035		329		323
5.500% due 04/25/2033		965		962
6.500% due 09/25/2033		1,350		1,363
Bear Stearns Adjustable Rate Mortgage Trust
4.173% due 11/25/2034		6,112		6,109
4.636% due 01/25/2034		2,107		2,102
4.750% due 10/25/2035		17,531		17,343
4.781% due 01/25/2034		1,417		1,401
4.948% due 10/25/2033		67		67
5.056% due 04/25/2033		16		16
5.625% due 02/25/2033		65		64
Bear Stearns Alt-A Trust
5.510% due 02/25/2034		3,000		3,002
5.550% due 02/25/2034		12,234		12,239
5.840% due 11/25/2036		1,340		1,344
Bear Stearns Commercial Mortgage Securities
3.970% due 11/11/2035		11,991		11,713
6.440% due 06/16/2030		7,100		7,187
Chase Mortgage Finance Corp.
5.250% due 01/25/2034		3,727		3,685
Citicorp Mortgage Securities, Inc.
5.000% due 04/25/2018		6,000		5,945
5.000% due 02/25/2035		200		190
5.500% due 09/25/2035		1,509		1,499
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		4,792		4,801
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		3,600		3,647
Countrywide Alternative Loan Trust
5.158% due 07/25/2034		1,684		1,672
5.530% due 02/20/2047		6,946		6,970
5.620% due 12/25/2035		3,406		3,422
5.630% due 12/25/2035		1,322		1,326
5.650% due 08/25/2035		2,819		2,828
5.670% due 09/25/2035		8,722		8,758
6.196% due 08/25/2036		1,836		1,855
Countrywide Home Loan Mortgage Pass-Through Trust
5.500% due 01/25/2034		251		250
5.500% due 11/25/2035		6,431		6,423
5.500% due 01/25/2046 (a)		2,700		2,705
5.580% due 05/25/2035		648		649
5.620% due 05/25/2034		227		227
5.620% due 02/25/2035		529		531
5.640% due 03/25/2035		4,420		4,436
5.670% due 03/25/2035		20,885		20,943
5.690% due 06/25/2035		8,329		8,318
CS First Boston Mortgage Securities Corp.
4.586% due 10/25/2033		9,406		9,227
5.900% due 08/25/2033		703		705
6.500% due 04/25/2033		558		559
7.387% due 11/25/2032		56		56
First Horizon Alternative Mortgage Securities
5.316% due 07/25/2035		1,054		1,053
5.423% due 09/25/2035		231		230
First Horizon Asset Securities, Inc.
4.924% due 02/25/2035		951		945
5.000% due 03/25/2034		6,985		6,902
6.000% due 05/25/2036		2,283		2,292
First Republic Mortgage Loan Trust
5.650% due 08/15/2032		3,458		3,466
5.670% due 06/25/2030		1,247		1,248
5.700% due 11/15/2031		666		668
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		7,640		7,588
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		3,576		3,579
5.430% due 01/25/2047		2,000		2,000
GSR Mortgage Loan Trust
4.500% due 08/25/2019		165		162
4.540% due 09/25/2035		11,161		10,971
4.603% due 03/25/2033		178		174
5.021% due 05/25/2035		368		366
6.000% due 03/25/2032		96		95
GSRPM Mortgage Loan Trust
5.750% due 11/25/2031		1,873		1,877
Harborview Mortgage Loan Trust
5.440% due 12/19/2036		14,235		14,259
5.540% due 12/19/2036		22,587		22,626
5.550% due 02/19/2046		189		189
5.590% due 01/19/2036		835		838
5.600% due 01/19/2036		12,261		12,305
5.660% due 11/19/2035		1,417		1,422
Impac CMB Trust
6.250% due 10/25/2033		2,660		2,663
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037 (e)		15,542		15,557
Indymac Index Mortgage Loan Trust
5.440% due 11/25/2046		1,868		1,875
5.450% due 01/25/2037		1,966		1,968
5.570% due 04/25/2046		3,491		3,496
5.740% due 05/25/2034		4,043		4,054
JPMorgan Chase Commercial Mortgage Securities Corp.
5.050% due 12/12/2034		10,000		9,890
JPMorgan Mortgage Trust
4.848% due 12/25/2034		873		860
4.861% due 12/25/2034		269		267
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		9,299		9,305
MASTR Asset Securitization Trust
5.000% due 04/25/2018		8,526		8,452
5.500% due 09/25/2033		2,302		2,267
Merrill Lynch Floating Trust
5.420% due 06/15/2022		1,816		1,817
Morgan Stanley Capital I
5.332% due 12/15/2043		10,000		9,975
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		229		227
Residential Accredit Loans, Inc.
5.650% due 08/25/2035		1,690		1,693
Residential Asset Mortgage Products, Inc.
5.780% due 02/25/2033		1,857		1,858
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		266		268
Sequoia Mortgage Trust
5.660% due 11/20/2033		252		252
5.670% due 05/20/2034		2,380		2,382
5.700% due 07/20/2033		6,843		6,867
5.730% due 10/20/2027		977		979
Structured Adjustable Rate Mortgage Loan Trust
4.969% due 07/25/2034		722		720
Structured Asset Mortgage Investments, Inc.
5.570% due 05/25/2036		10,972		10,988
5.660% due 12/25/2035		1,062		1,065
5.680% due 09/19/2032		1,703		1,705
5.700% due 03/19/2034		1,556		1,559
7.302% due 02/19/2035		3,940		3,963
Structured Asset Securities Corp.
4.791% due 11/25/2033		502		498
5.345% due 10/25/2035		1,901		1,899
5.400% due 05/25/2036		5,107		5,110
5.450% due 03/25/2033		4,333		4,277
6.947% due 05/25/2032		326		327
TBW Mortgage-Backed Pass-Through Certificates
5.450% due 09/25/2036		3,387		3,391
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		2,975		2,974
5.460% due 04/25/2036		1,917		1,919
5.470% due 04/25/2036		2,000		1,996
5.470% due 12/25/2036		5,255		5,259
5.660% due 06/25/2044		1,200		1,202
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		7,907		7,912
Washington Mutual MSC Mortgage Pass-Through Certificates
5.390% due 02/25/2033		554		552
6.648% due 02/25/2031		63		63
6.944% due 02/25/2033		410		411
Washington Mutual, Inc.
4.380% due 12/25/2032		949		940
4.641% due 03/25/2035		919		907
4.673% due 05/25/2035		2,200		2,167
4.838% due 10/25/2035		271		268
5.114% due 10/25/2032		418		416
5.568% due 12/25/2046		1,929		1,935
5.590% due 12/25/2045		2,894		2,904
5.590% due 06/25/2046		5,000		5,011
5.610% due 11/25/2045		4,102		4,118
5.620% due 12/25/2027		7,027		7,030
5.640% due 07/25/2045		8,380		8,413
5.640% due 10/25/2045		9,224		9,242
5.660% due 01/25/2045		15,570		15,608
5.710% due 12/25/2045		5,000		5,023
5.745% due 11/25/2034		13,040		13,102
5.770% due 09/25/2046		792		797
5.777% due 08/25/2046		7,876		7,917
5.882% due 11/25/2046		1,673		1,682
6.027% due 11/25/2042		1,895		1,903
6.227% due 06/25/2042		2,077		2,080
6.227% due 08/25/2042		163		164
Wells Fargo Mortgage-Backed Securities Trust
4.500% due 11/25/2018		10,031		9,756
4.544% due 03/25/2035		381		376
4.732% due 07/25/2034		6,369		6,263
4.950% due 03/25/2036		4,006		3,961
4.965% due 10/25/2035		5,028		5,049
5.003% due 10/25/2035		395		391
5.088% due 03/25/2036		10,926		10,860
Total Mortgage-Backed Securities (Cost $561,499)				561,435
ASSET-BACKED SECURITIES 25.1%
Aames Mortgage Investment Trust
5.410% due 04/25/2036		1,346		1,347
Accredited Mortgage Loan Trust
5.510% due 09/25/2035		3,800		3,803
ACE Securities Corp.
5.370% due 08/25/2036		1,838		1,839
5.370% due 12/25/2036		1,914		1,915
5.460% due 10/25/2035		3,213		3,216
5.550% due 06/25/2035		1,007		1,008
AFC Home Equity Loan Trust
6.060% due 12/22/2027		63		63
American Express Credit Account Master Trust
5.460% due 12/15/2009		1,900		1,902
5.460% due 09/15/2010		2,100		2,104
Ameriquest Mortgage Securities, Inc.
5.430% due 01/25/2036		475		475
Amortizing Residential Collateral Trust
5.640% due 07/25/2032		56		56
5.700% due 10/25/2031		858		859
Argent Securities, Inc.
5.370% due 10/25/2036		1,780		1,781
5.430% due 01/25/2036		1,626		1,627
5.430% due 03/25/2036		4,422		4,426
5.440% due 07/25/2036		6,500		6,505
Asset-Backed Funding Certificates
5.380% due 11/25/2036		6,420		6,425
5.700% due 06/25/2034		1,537		1,539
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		7,684		7,689
Bank One Issuance Trust
5.460% due 12/15/2010		8,400		8,420
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		5,982		5,986
5.379% due 10/25/2036		6,760		6,731
5.400% due 10/25/2036		1,947		1,947
5.440% due 04/25/2036		2,674		2,676
5.470% due 11/25/2035		5,218		5,223
5.680% due 10/25/2032		672		673
5.680% due 01/25/2036		2,089		2,091
5.800% due 03/25/2043		1,639		1,643
Capital One Auto Finance Trust
5.340% due 12/14/2007		4,000		4,003
Carrington Mortgage Loan Trust
5.470% due 10/25/2035		1,996		1,998
Chase Credit Card Master Trust
5.460% due 10/15/2010		6,834		6,851
5.460% due 02/15/2011		10,600		10,631
6.150% due 02/15/2011		5,000		5,056
Chase Issuance Trust
5.360% due 12/15/2010		3,200		3,203
5.370% due 02/15/2012		17,500		17,529
CIT Group Home Equity Loan Trust
5.620% due 06/25/2033		122		122
Citibank Credit Card Issuance Trust
5.435% due 03/20/2009		5,400		5,404
Citigroup Mortgage Loan Trust, Inc.
5.400% due 10/25/2036		5,072		5,075
5.400% due 11/25/2036		1,967		1,968
Countrywide Asset-Backed Certificates
5.370% due 03/25/2037		4,503		4,506
5.370% due 05/25/2037		7,344		7,348
5.380% due 03/25/2037		1,524		1,525
5.380% due 01/25/2046		6,302		6,307
5.400% due 01/25/2037		6,543		6,551
5.400% due 05/25/2037		6,232		6,230
5.410% due 09/25/2046		3,062		3,064
5.450% due 01/25/2036		10		10
5.460% due 10/25/2046		7,402		7,406
5.720% due 05/25/2032		153		154
Credit-Based Asset Servicing & Securitization LLC
5.470% due 10/25/2036		915		916
CS First Boston Mortgage Securities Corp.
5.321% due 04/25/2035		3,000		2,967
5.660% due 01/25/2032		353		353
DaimlerChrysler Auto Trust
5.329% due 12/08/2007		4,000		4,004
Equifirst Mortgage Loan Trust
5.600% due 07/25/2034		936		937
Equity One Asset-Backed Securities, Inc.
5.650% due 04/25/2034		720		724
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		8,161		8,166
5.370% due 12/25/2036		4,850		4,852
5.380% due 05/25/2036		562		562
5.450% due 11/25/2035		2,495		2,497
5.730% due 10/25/2034		186		187
First NLC Trust
5.470% due 02/25/2036		465		465
Fremont Home Loan Trust
5.370% due 10/25/2036		1,745		1,746
5.390% due 02/25/2037		1,013		1,014
5.410% due 01/25/2037		2,000		1,999
5.440% due 01/25/2036		97		97
5.520% due 01/25/2036		2,000		2,002
GSAMP Trust
5.360% due 10/25/2036		1,913		1,914
5.390% due 09/25/2036		1,658		1,659
5.410% due 04/25/2036		455		456
5.460% due 09/25/2035		108		108
GSR Mortgage Loan Trust
5.450% due 11/25/2030		420		420
HFC Home Equity Loan Asset-Backed Certificates
5.700% due 09/20/2033		2,417		2,426
Home Equity Asset Trust
5.650% due 11/25/2032		8		8
Honda Auto Receivables Owner Trust
5.342% due 11/15/2007		6,009		6,012
HSI Asset Securitization Corp. Trust
5.370% due 10/25/2036		4,408		4,410
5.400% due 12/25/2036		6,804		6,791
5.460% due 12/25/2036		9,000		8,934
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		1,499		1,499
Indymac Residential Asset-Backed Trust
5.390% due 08/25/2036		817		818
5.450% due 03/25/2036		366		367
Irwin Home Equity
5.890% due 07/25/2032		660		661
JPMorgan Mortgage Acquisition Corp.
5.370% due 07/25/2036		1,835		1,836
5.370% due 08/25/2036		2,526		2,527
5.420% due 11/25/2036		1,727		1,728
5.430% due 08/25/2036		3,780		3,783
5.440% due 10/25/2036		1,933		1,934
5.560% due 06/25/2035		3,977		3,988
Lehman XS Trust
5.420% due 05/25/2046		1,432		1,433
5.430% due 07/25/2046		1,896		1,897
Long Beach Mortgage Loan Trust
5.360% due 11/25/2036		7,417		7,422
5.380% due 06/25/2036		1,231		1,232
5.410% due 04/25/2036		469		470
5.420% due 11/25/2035		1,626		1,627
5.500% due 08/25/2035		1,838		1,840
5.630% due 10/25/2034		3,865		3,869
5.700% due 03/25/2032		95		97
MASTR Asset-Backed Securities Trust
5.380% due 10/25/2036		3,270		3,272
MBNA Credit Card Master Note Trust
5.450% due 12/15/2011		4,800		4,816
5.560% due 03/15/2011		1,900		1,909
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		6,126		6,130
5.400% due 09/25/2037		6,654		6,657
5.440% due 10/25/2037		3,750		3,752
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		1,918		1,918
5.370% due 09/25/2036		5,112		5,116
5.370% due 10/25/2036		1,930		1,930
5.380% due 06/25/2036		1,319		1,320
5.390% due 06/25/2036		1,373		1,373
5.390% due 07/25/2036		4,238		4,241
5.420% due 10/25/2036		10,000		9,997
5.450% due 09/25/2035		2,701		2,703
5.460% due 07/25/2035		1,046		1,047
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		6,980		6,983
5.430% due 11/25/2036		15,000		15,010
Nelnet Student Loan Trust
5.338% due 09/25/2012		4,000		4,000
New Century Home Equity Loan Trust
5.420% due 08/25/2036		929		930
5.460% due 09/25/2035		131		131
5.470% due 10/25/2035		172		172
5.610% due 06/25/2035		5,270		5,281
Nissan Auto Lease Trust
5.347% due 12/14/2007		1,768		1,770
Option One Mortgage Loan Trust
5.360% due 02/25/2037		3,863		3,866
5.400% due 07/25/2036		1,416		1,417
5.450% due 11/25/2035		2,628		2,630
Park Place Securities, Inc.
5.510% due 09/25/2035		206		206
Quest Trust
5.430% due 12/25/2035		274		274
Renaissance Home Equity Loan Trust
5.700% due 08/25/2032		80		80
5.790% due 08/25/2033		726		728
5.850% due 12/25/2033		2,087		2,104
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		1,822		1,823
5.450% due 05/25/2035		488		488
5.460% due 05/25/2025		1,254		1,255
Residential Asset Securities Corp.
5.390% due 11/25/2036		1,923		1,925
5.400% due 02/25/2036		3,197		3,199
5.400% due 10/25/2036		1,314		1,315
5.420% due 07/25/2036		5,219		5,223
5.420% due 11/25/2036		2,685		2,687
SACO I, Inc.
5.460% due 11/25/2020		126		126
Salomon Brothers Mortgage Securities VII
5.650% due 03/25/2032		658		659
Saxon Asset Securities Trust
5.380% due 11/25/2036		4,457		4,460
5.620% due 01/25/2032		158		158
SBI HELOC Trust
5.490% due 08/25/2036		642		642
Securitized Asset-Backed Receivables LLC Trust
5.370% due 09/25/2036		1,797		1,798
SLM Student Loan Trust
5.323% due 07/25/2013		2,000		2,000
5.527% due 04/25/2012		357		358
5.557% due 01/25/2013		231		231
Soundview Home Equity Loan Trust
5.360% due 11/25/2036		2,255		2,257
5.380% due 11/25/2036		5,249		5,248
5.410% due 01/25/2037		9,200		9,206
5.420% due 10/25/2036		1,836		1,837
5.450% due 01/25/2037		10,000		10,006
5.460% due 11/25/2035		2,862		2,864
5.580% due 06/25/2035		2,219		2,222
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		1,547		1,548
5.395% due 11/25/2037		5,386		5,384
5.450% due 11/25/2037		13,000		13,008
5.470% due 06/25/2036		983		984
5.690% due 01/25/2034		50		50
Structured Asset Investment Loan Trust
5.370% due 07/25/2036		10,687		10,694
5.440% due 07/25/2035		602		602
5.460% due 08/25/2035		2,126		2,127
5.460% due 11/25/2035		13,428		13,438
5.470% due 09/25/2035		1,823		1,824
Structured Asset Securities Corp.
5.370% due 09/25/2036		2,526		2,528
5.370% due 10/25/2036		7,793		7,799
5.430% due 11/25/2035		7,310		7,316
5.610% due 01/25/2033		801		804
Triad Auto Receivables Owner Trust
5.341% due 11/13/2007		2,904		2,906
Vanderbilt Acquisition Loan Trust
7.120% due 05/07/2032		5,000		5,316
Wachovia Auto Owner Trust
5.358% due 11/09/2007		1,553		1,554
Wells Fargo Home Equity Trust
5.390% due 07/25/2036		3,351		3,353
5.460% due 11/25/2035		5,745		5,748
5.590% due 10/25/2035		7,200		7,215
WMC Mortgage Loan Pass-Through Certificates
6.030% due 05/15/2030		300		300
Total Asset-Backed Securities (Cost $552,654)				552,812
SOVEREIGN ISSUES 0.4%
Mexico Government International Bond
6.073% due 01/13/2009		9,000		9,092
Total Sovereign Issues (Cost $9,093)				9,092
SHORT-TERM INSTRUMENTS 8.5%
Commercial Paper 8.0%
ASB Finance Ltd.
5.250% due 03/20/2007		10,346		10,224
Barclays U.S. Funding Corp.
5.260% due 03/26/2007		108,300		106,928
DaimlerChrysler N.A. Holding Corp.
5.345% due 06/22/2007		10,000		9,748
Rabobank USA Financial Corp.
5.280% due 01/02/2007		48,100		48,100
Skandinaviska Enskilda Banken AB
5.300% due 01/26/2007		400		399
				175,399
Repurchase Agreements 0.2%
Lehman Brothers, Inc.
4.850% due 01/02/2007		4,000		4,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 2.375% due 01/15/2025 valued at $4,098. Repurchase proceeds are $4,002.)
Tri-Party Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 01/02/2007		4,423		4,423
(Dated 12/29/2006. Collateralized by Freddie Mac 5.500% due 01/18/2008 valued at $4,516. Repurchase proceeds are $4,425.)
U.S. Treasury Bills 0.1%
4.805% due 03/01/2007 - 03/15/2007 (b)(c)(f)		3,335		3,299
Total Short-Term Instruments (Cost $187,207)				187,121
Purchased Options (h) 0.1% (Cost $1,882)				3,047
Total Investments (d) 107.6% (Cost $2,367,583)			$	2,369,178
Written Options (i) (0.2%) (Premiums $1,915)			$	(3,593	)
Other Assets and Liabilities (Net) (7.4%)				(164,788	)
Net Assets 100.0%			$	2,200,797

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $743 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(d) As of December 31, 2006, portfolio securities with an aggregate value of $135,390 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) The average amount of borrowing outstanding during the period ended December 31, 2006 was $17,969 at a weighted average interest rate of 5.344%. On December 31, 2006, securities valued at $12,009 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $2,556 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar March Futures	Long	03/2008	942	$	(102	)
U.S. Treasury 10-Year Note March Futures	Short	03/2007	577		730
				$	628

(g) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Dominion Resources, Inc. 5.200% due 01/15/2016	Buy	(0.455	%)	3/20/2016	$	3,000		(20	)
Bank of America	Longshore CDO Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 2.900% due 05/03/2046	Buy	(3.530	%)	5/3/2046		1,000		(7	)
Bank of America	Kefton CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.350% due 01/09/2047	Buy	(1.750	%)	1/9/2047		2,000		(10	)
Barclays Bank PLC	iStar Financial, Inc. floating rate based on 3-Month USD-LIBOR plus 0.390% due 03/03/2008	Buy	(0.100	%)	3/20/2008		5,000		(1	)
Barclays Bank PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.580	%)	9/20/2011		4,000		(18	)
Barclays Bank PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.535	%)	9/20/2011		5,000		(12	)
Barclays Bank PLC	Time Warner, Inc. 5.875% due 11/15/2016	Buy	(0.700	%)	12/20/2016		5,000		(20	)
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	6/20/2011		3,000		4
Bear Stearns & Co., Inc.	iStar Financial, Inc. 5.950% due 10/15/2013	Buy	(0.560	%)	12/20/2013		6,000		(10	)
Bear Stearns & Co., Inc.	Comcast Corp. 5.300% due 01/15/2014	Buy	(0.390	%)	3/20/2014		5,000		(1	)
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	3/20/2016		3,000		6
Bear Stearns & Co., Inc.	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	6/20/2016		5,000		48
Bear Stearns & Co., Inc.	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.430% due 06/01/2016	Buy	(0.220	%)	6/20/2016		3,000		(15	)
Bear Stearns & Co., Inc.	ABX Financing Co. 5.750% due 10/15/2016	Buy	(0.500	%)	12/20/2016		3,000		(7	)
BNP Paribas Bank	HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.250% due 01/15/2014	Buy	(0.165	%)	12/20/2013		5,000		0
Citibank N.A.	CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.470	%)	12/20/2014		3,100		1
Credit Suisse First Boston	Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.150	%)	3/20/2011		8,000		0
Credit Suisse First Boston	Dayton Power & Light, Inc. 6.875% due 09/01/2011	Buy	(0.330	%)	9/20/2011		2,600		(8	)
Deutsche Bank AG	DaimlerChrysler N.A. Holding Corp. 6.500% due 11/15/2013	Sell	0.225	%	3/20/2008		15,000		3
Deutsche Bank AG	Weatherford International Ltd. 4.950% due 10/15/2013	Buy	(0.410	%)	12/20/2013		2,500		14
Deutsche Bank AG	Bank of America Corp. 5.625% due 10/14/2016	Buy	(0.180	%)	12/20/2016		10,000		(4	)
Deutsche Bank AG	Dow Jones CDX N.A. IG7 Index	Sell	0.157	%	12/20/2016		25,000		(3	)
Deutsche Bank AG	Kaupthing Bank Hf 6.125% due 10/04/2016	Buy	(0.600	%)	12/20/2016		3,000		(3	)
Goldman Sachs & Co.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.700	%	3/20/2007		8,100		27
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	3/20/2008		10,000		4
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Sell	0.060	%	12/20/2011		25,000		5
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.320	%	2/20/2007		5,000		3
HSBC Bank USA	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.280	%	11/20/2007		10,000		6
JPMorgan Chase & Co.	General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	6/20/2007		3,000		57
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.190	%	1/20/2009		5,000		(2	)
JPMorgan Chase & Co.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.300	%	1/20/2009		10,000		1
JPMorgan Chase & Co.	Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.280	%)	3/20/2011		5,000		(12	)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG7 Index	Sell	0.068	%	12/20/2011		75,000		37
JPMorgan Chase & Co.	Lennar Corp. 5.950% due 10/17/2011	Buy	(0.660	%)	12/20/2011		3,000		(18	)
JPMorgan Chase & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.650	%)	12/20/2012		3,000		(31	)
JPMorgan Chase & Co.	Montrose Harbor CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.380% due 12/05/2051	Buy	(1.750	%)	12/5/2051		2,500		(6	)
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.200	%	6/20/2007		700		10
Lehman Brothers, Inc.	Residential Capital LLC 6.000% due 02/22/2011	Buy	(0.580	%)	3/20/2011		5,000		37
Lehman Brothers, Inc.	International Lease Finance Corp. 5.625% due 09/20/2013	Buy	(0.220	%)	9/20/2013		5,200		(14	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Sell	0.145	%	12/20/2016		25,000		(25	)
Merrill Lynch & Co., Inc.	Exelon Corp. 6.750% due 05/01/2011	Buy	(0.290	%)	6/20/2011		3,200		0
Merrill Lynch & Co., Inc.	ORIX Corp. 5.480% due 11/22/2011	Buy	(0.280	%)	12/20/2011		5,000		(7	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.440	%	10/20/2007		2,200		4
Morgan Stanley	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.140	%	12/20/2007		10,000		2
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.430	%	12/20/2007		10,000		12
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.290	%	12/20/2007		10,000		6
Morgan Stanley	Kroger Co. 5.500% due 02/01/2013	Buy	(0.560	%)	3/20/2013		4,000		(25	)
Morgan Stanley	Wyeth 5.500% due 03/15/2013	Buy	(0.150	%)	3/20/2013		2,500		(3	)
Morgan Stanley	Sealed Air Corp. 5.625% due 07/15/2013	Buy	(0.590	%)	9/20/2013		5,000		(27	)
Royal Bank of Scotland Group PLC	Landsbanki Islands Hf floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	9/20/2009		3,000		(5	)
Royal Bank of Scotland Group PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.480	%)	9/20/2011		5,000		(1	)
Royal Bank of Scotland Group PLC	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011		3,000		(2	)
Royal Bank of Scotland Group PLC	SLM Corp. floating rate based on 3-Month USD-LIBOR plus 0.230% due 10/25/2011	Buy	(0.190	%)	12/20/2011		10,000		9
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.810	%)	12/20/2015		2,500		(24	)
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.275	%)	12/20/2015		3,000		8
Royal Bank of Scotland Group PLC	Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016		5,000		8
UBS AG	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.500	%)	6/20/2011		2,500		(9	)
Wachovia Bank N.A.	Ixis ABS CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.450% due 12/13/2046	Buy	(1.690	%)	12/13/2046		2,000		(2	)
Wachovia Bank N.A.	Avebury Finance CDO PLC floating rate based on 3-Month USD-LIBOR plus 1.400% due 01/08/2051	Buy	(1.800	%)	1/8/2051		2,000		17
								$	(23	)

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security. As a buyer of protection, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap if a credit event occurs.

(h) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call -OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.500	%	7/9/2007	$	96,700	$	479	$	947
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		74,100		249		222
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		158,800		717		1,531
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		60,000		248		122
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		35,500		189		225
									$	1,882	$	3,047

(i) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.620	%	7/9/2007	$	31,700	$	479	$	1,027
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		32,200		254		348
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		68,600		720		1,735
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		25,800		270		210
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		15,500		192		273
									$	1,915	$	3,593

(j) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
U.S. Treasury Notes	4.375	%	8/15/2012	$	110,000	$	109,409	$	110,559
U.S. Treasury Notes	4.625	%	11/15/2016		9,500		9,567		9,516
						$	118,976	$	120,075

⁽²⁾ Market value includes $2,181 of interest payable on short sales.

See accompanying notes

Schedule of Investments

Short-Term II Portfolio

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.2%
HCA, Inc.
8.114% due 11/14/2013	$	1,300	$	1,316
Total Bank Loan Obligations (Cost $1,300)				1,316
CORPORATE BONDS & NOTES 17.0%
Banking & Finance 10.4%
Bank of America N.A.
5.361% due 12/18/2008		1,700		1,700
Bank of Ireland
5.415% due 12/18/2009		2,400		2,397
Citigroup Global Markets Holdings, Inc.
5.461% due 03/17/2009		1,300		1,302
Citigroup, Inc.
5.406% due 12/26/2008		3,500		3,504
5.421% due 05/02/2008		1,000		1,002
5.493% due 06/09/2009		400		401
Ford Motor Credit Co.
6.192% due 09/28/2007		700		699
6.315% due 03/21/2007		4,600		4,599
7.875% due 06/15/2010		150		151
General Electric Capital Corp.
5.380% due 10/24/2008		700		701
5.430% due 10/06/2010		3,000		3,003
5.434% due 05/10/2010		1,800		1,802
Goldman Sachs Group, Inc.
5.456% due 06/23/2009		7,100		7,109
HSBC Bank USA N.A.
5.426% due 07/28/2008		1,000		1,002
HSBC Finance Corp.
5.375% due 05/21/2008		2,800		2,801
5.490% due 09/15/2008		1,000		1,003
Lehman Brothers Holdings, Inc.
5.576% due 12/23/2010		1,500		1,505
MBNA Europe Funding PLC
5.450% due 09/07/2007		3,600		3,603
Merrill Lynch & Co., Inc.
5.464% due 08/14/2009		2,200		2,203
Morgan Stanley
5.485% due 02/09/2009		1,200		1,203
National Australia Bank Ltd.
5.393% due 09/11/2009		2,700		2,703
Royal Bank of Scotland Group PLC
5.380% due 04/11/2008		1,200		1,201
Santander U.S. Debt S.A. Unipersonal
5.425% due 09/19/2008		2,200		2,204
Unicredito Italiano NY
5.360% due 05/06/2008		4,100		4,100
5.370% due 05/29/2008		1,200		1,200
VTB Capital S.A. for Vneshtorgbank
5.970% due 08/01/2008		1,100		1,102
6.115% due 09/21/2007		1,600		1,605
Wachovia Bank N.A.
5.406% due 03/23/2009		2,500		2,502
				58,307
INDUSTRIALS 3.4%
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		1,000		1,006
CSC Holdings, Inc.
7.250% due 07/15/2008		1,500		1,521
7.875% due 12/15/2007		300		305
EchoStar DBS Corp.
5.750% due 10/01/2008		1,100		1,099
Enterprise Products Operating LP
4.000% due 10/15/2007		1,300		1,284
Historic TW, Inc.
8.180% due 08/15/2007		1,500		1,525
HJ Heinz Co.
6.428% due 12/01/2008		2,100		2,138
Home Depot, Inc.
5.490% due 12/16/2009		1,300		1,301
JC Penney Corp., Inc.
6.500% due 12/15/2007		2,000		2,015
Mirage Resorts, Inc.
6.750% due 08/01/2007		1,500		1,513
Southern Natural Gas Co.
6.125% due 09/15/2008		1,100		1,112
6.700% due 10/01/2007		1,000		1,012
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/2007		1,100		1,105
Williams Cos., Inc.
6.375% due 10/01/2010		1,050		1,062
Xerox Corp.
9.750% due 01/15/2009		1,300		1,410
				19,408
UTILITIES 3.2%
AT&T, Inc.
5.584% due 11/14/2008		300		301
BellSouth Corp.
5.474% due 08/15/2008		1,200		1,201
CMS Energy Corp.
7.500% due 01/15/2009		1,800		1,865
8.900% due 07/15/2008		950		998
ConocoPhillips
5.370% due 04/11/2007		1,600		1,601
Dominion Resources, Inc.
5.662% due 09/28/2007		1,700		1,701
Entergy Gulf States, Inc.
3.600% due 06/01/2008		4,400		4,285
Florida Power Corp.
5.774% due 11/14/2008		700		702
Midwest Generation LLC
8.300% due 07/02/2009		1,389		1,429
Ohio Edison Co.
4.000% due 05/01/2008		40		39
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		1,100		1,108
Verizon Global Funding Corp.
5.504% due 08/15/2007		2,500		2,500
				17,730
Total Corporate Bonds & Notes (Cost $95,365)				95,445
U.S. GOVERNMENT AGENCIES 19.2%
Fannie Mae
3.500% due 04/25/2017		645		642
4.500% due 09/25/2012		1,754		1,741
4.875% due 07/01/2017		17		17
4.889% due 01/01/2018		73		73
5.427% due 11/01/2018		29		29
5.443% due 11/01/2018		15		15
5.470% due 03/25/2034		4,619		4,626
5.500% due 07/01/2017 - 11/01/2017		1,877		1,882
5.527% due 02/01/2024 - 06/01/2024		14		14
5.630% due 11/01/2017		12		12
5.632% due 01/01/2018		14		14
5.700% due 09/25/2042		895		900
5.730% due 12/01/2017		7		7
5.776% due 01/01/2033		110		112
5.825% due 09/17/2027		17		17
5.875% due 02/25/2022 - 07/18/2027		44		44
5.950% due 02/25/2044		2,215		2,213
5.958% due 03/01/2044		2,638		2,655
5.975% due 08/25/2022		17		18
6.000% due 01/01/2037		61,000		61,419
6.025% due 12/25/2022		15		15
6.075% due 09/25/2022		12		12
6.158% due 10/01/2040		36		37
6.225% due 02/25/2023		9		9
6.375% due 08/25/2022		4		5
6.525% due 09/25/2023		204		210
6.721% due 11/01/2035		2,311		2,366
7.099% due 09/01/2031		1,515		1,533
7.375% due 09/01/2031		66		67
Federal Home Loan Bank
3.000% due 10/10/2008		3,000		2,898
3.250% due 07/10/2013		200		192
3.500% due 05/20/2008		540		529
4.000% due 02/18/2009		5,000		4,896
Freddie Mac
3.300% due 12/30/2008		4,000		3,852
4.250% due 04/05/2007		7,425		7,408
4.500% due 08/15/2027		1,282		1,275
5.000% due 05/15/2021		102		102
5.353% due 02/01/2036		27		27
5.375% due 06/01/2018		98		98
5.500% due 08/15/2030		127		126
5.630% due 06/01/2017		18		18
5.632% due 09/01/2017		18		18
5.775% due 01/15/2022		2		2
5.867% due 11/01/2018		43		44
6.025% due 03/15/2020		8		8
6.125% due 03/15/2023		16		16
6.158% due 07/25/2044		5,180		5,208
6.599% due 11/01/2028		24		25
6.750% due 11/01/2016		84		86
7.005% due 12/01/2025		28		28
Government National Mortgage Association
5.375% due 04/20/2030		38		38
5.750% due 07/20/2027		31		31
Total U.S. Government Agencies (Cost $107,866)				107,629
MORTGAGE-BACKED SECURITIES 9.5%
American Home Mortgage Investment Trust
5.500% due 09/25/2035		1,203		1,204
Arkle Master Issuer PLC
5.330% due 11/19/2007		2,700		2,705
Banc of America Funding Corp.
4.621% due 02/20/2036		1,183		1,167
Bear Stearns Adjustable Rate Mortgage Trust
4.173% due 11/25/2034		6,664		6,660
4.636% due 01/25/2034		975		973
4.781% due 01/25/2034		510		505
CC Mortgage Funding Corp.
5.600% due 08/25/2035		2,254		2,260
Countrywide Alternative Loan Trust
5.630% due 02/25/2037		2,751		2,753
Countrywide Home Loan Mortgage Pass-Through Trust
5.620% due 05/25/2034		597		598
5.690% due 06/25/2035		3,817		3,812
First Republic Mortgage Loan Trust
5.650% due 08/15/2032		1,820		1,824
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		1,493		1,494
GSR Mortgage Loan Trust
4.540% due 09/25/2035		1,571		1,544
GSRPM Mortgage Loan Trust
6.050% due 01/25/2032		801		808
Harborview Mortgage Loan Trust
5.720% due 02/19/2034		2,362		2,367
Indymac Index Mortgage Loan Trust
5.440% due 11/25/2046		2,522		2,531
Mellon Residential Funding Corp.
5.790% due 12/15/2030		3,091		3,105
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		2,036		2,036
Sequoia Mortgage Trust
5.660% due 11/20/2033		2,179		2,180
5.730% due 10/20/2027		1,097		1,098
Structured Asset Mortgage Investments, Inc.
5.570% due 05/25/2036		1,135		1,137
5.630% due 02/25/2036		88		88
Structured Asset Securities Corp.
5.345% due 10/25/2035		2,567		2,563
Washington Mutual, Inc.
5.620% due 12/25/2027		4,397		4,399
5.846% due 05/25/2046		562		563
6.227% due 06/25/2042		453		454
Wells Fargo Mortgage-Backed Securities Trust
4.109% due 06/25/2035		2,700		2,679
Total Mortgage-Backed Securities (Cost 53,473)				53,507
ASSET-BACKED SECURITIES 20.6%
ACE Securities Corp.
5.380% due 10/25/2036		2,469		2,470
5.400% due 10/25/2036		2,479		2,481
Advanta Mortgage Loan Trust
5.725% due 11/25/2029		71		71
Aegis Asset-Backed Securities Trust
5.460% due 10/25/2035		207		207
Amortizing Residential Collateral Trust
5.640% due 07/25/2032		42		43
Argent Securities, Inc.
5.370% due 10/25/2036		2,402		2,404
Asset-Backed Funding Certificates
5.380% due 10/25/2036		2,094		2,096
5.700% due 06/25/2034		2,031		2,034
Asset-Backed Securities Corp. Home Equity
5.625% due 09/25/2034		1,593		1,593
Bear Stearns Asset-Backed Securities, Inc.
5.520% due 12/25/2042		230		230
5.680% due 01/25/2036		186		186
Carrington Mortgage Loan Trust
5.400% due 01/25/2037		3,000		3,003
Chase Funding Mortgage Loan Asset-Backed Certificates
5.670% due 08/25/2032		182		183
Citibank Credit Card Issuance Trust
5.435% due 03/20/2009		2,900		2,902
Citigroup Mortgage Loan Trust, Inc.
5.400% due 10/25/2036		2,536		2,537
5.400% due 11/25/2036		2,655		2,657
Contimortgage Home Equity Trust
6.030% due 03/15/2027		5		5
Countrywide Asset-Backed Certificates
5.370% due 12/26/2036		2,800		2,803
5.380% due 03/25/2037		2,572		2,573
5.720% due 05/25/2032		48		48
Equity One Asset-Backed Securities, Inc.
5.630% due 11/25/2032		998		1,000
Fremont Home Loan Trust
5.390% due 02/25/2037		2,487		2,489
GSAMP Trust
5.390% due 09/25/2036		2,034		2,036
5.640% due 03/25/2034		2,087		2,091
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		2,500		2,503
Home Equity Asset Trust
5.810% due 02/25/2033		1		1
Indymac Residential Asset-Backed Trust
5.370% due 11/25/2036		1,712		1,713
JPMorgan Mortgage Acquisition Corp.
5.400% due 08/25/2036		2,379		2,380
5.420% due 03/25/2036		1,916		1,917
5.420% due 11/25/2036		1,813		1,815
Lehman XS Trust
5.400% due 06/25/2046		2,155		2,156
5.430% due 11/25/2046		2,565		2,566
5.470% due 11/25/2036		2,574		2,575
Long Beach Mortgage Loan Trust
5.380% due 10/25/2036		2,627		2,628
MASTR Asset-Backed Securities Trust
5.410% due 11/25/2036		3,100		3,104
MBNA Credit Card Master Note Trust
5.460% due 08/17/2009		1,700		1,702
Merrill Lynch Mortgage Investors, Inc.
5.350% due 05/25/2037		1,820		1,821
5.390% due 07/25/2037		2,474		2,475
5.420% due 08/25/2036		2,600		2,602
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		2,589		2,589
5.430% due 12/25/2035		635		636
New Century Home Equity Loan Trust
5.410% due 05/25/2036		1,118		1,119
Quest Trust
5.910% due 06/25/2034		999		1,003
Renaissance Home Equity Loan Trust
5.710% due 11/25/2034		716		720
5.790% due 08/25/2033		702		704
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		2,095		2,096
5.400% due 10/25/2036		2,553		2,555
Residential Asset Securities Corp.
5.400% due 10/25/2036		2,534		2,536
5.420% due 11/25/2036		2,589		2,591
SACO I, Inc.
5.450% due 01/25/2036		263		263
Saxon Asset Securities Trust
5.380% due 11/25/2036		2,456		2,457
5.620% due 01/25/2032		76		76
SBI HELOC Trust
5.490% due 08/25/2036		2,476		2,476
Securitized Asset-Backed Receivables LLC Trust
5.370% due 09/25/2036		1,797		1,798
5.410% due 03/25/2036		1,402		1,402
SLM Student Loan Trust
5.345% due 10/25/2012		2,700		2,700
5.377% due 01/25/2018		905		906
5.387% due 01/26/2015		1,104		1,105
5.392% due 04/25/2012		4,100		4,099
Soundview Home Equity Loan Trust
5.420% due 10/25/2036		2,386		2,388
5.520% due 04/25/2035		128		128
Structured Asset Securities Corp.
5.370% due 10/25/2036		742		743
5.450% due 07/25/2035		2,006		2,007
5.480% due 12/25/2035		1,190		1,191
5.610% due 01/25/2033		52		52
Truman Capital Mortgage Loan Trust
5.690% due 01/25/2034		451		452
Wells Fargo Home Equity Trust
5.460% due 11/25/2035		2,015		2,016
5.590% due 10/25/2035		2,700		2,705
Total Asset-Backed Securities (Cost$115,535)				115,613
FOREIGN CURRENCY-DENOMINATED ISSUES 0.3%
BTM Curacao Holdings NV
1.195% due 11/29/2049	JPY	100,000		832
Sumitomo Mitsui Banking Corp.
1.151% due 06/29/2049		100,000		841
Total Foreign Currency-Denominated Issues (Cost $1,705)				1,673
		Shares
PREFERRED STOCKS 0.1%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		400		408
Total Preferred Stocks (Cost $410)				408
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 43.7%
Certificates of Deposit 1.2%
Societe Generale NY
5.258% due 06/20/2007	$	4,000		4,000
5.295% due 09/21/2007		2,500		2,500
				6,500
Commercial Paper 40.6%
Abbey National N.A. LLC
5.200% due 04/02/2007		600		592
5.245% due 01/08/2007		14,300		14,289
ASB Finance Ltd.
5.250% due 01/26/2007		15,300		15,249
Bank of America Corp.
5.225% due 03/01/2007		13,300		13,190
5.230% due 03/09/2007		200		198
Bank of Ireland
5.245% due 01/30/2007		1,800		1,793
Barclays U.S. Funding Corp.
5.220% due 03/05/2007		12,100		11,984
5.250% due 01/30/2007		1,600		1,594
BNP Paribas Finance
5.240% due 01/19/2007		3,000		2,993
Calyon N.A. LLC
5.225% due 03/09/2007		15,300		15,144
Cox Communications, Inc.
5.580% due 03/15/2007		900		900
5.619% due 01/16/2007		1,594		1,594
Danske Corp.
5.240% due 01/30/2007		3,400		3,387
5.255% due 01/18/2007		9,500		9,479
Dexia Delaware LLC
5.300% due 01/02/2007		4,600		4,600
DnB NORBank ASA
5.250% due 01/16/2007		10,200		10,181
5.265% due 02/20/2007		4,500		4,468
5.265% due 02/21/2007		1,900		1,886
Fortis Funding LLC
5.265% due 01/02/2007		15,400		15,400
General Electric Capital Corp.
5.240% due 02/09/2007		8,100		8,056
5.250% due 01/17/2007		3,200		3,193
HBOS Treasury Services PLC
5.240% due 03/07/2007		11,300		11,188
San Paolo IMI U.S. Financial Co.
5.290% due 01/02/2007		15,500		15,500
Skandinaviska Enskilda Banken AB
5.235% due 02/26/2007		13,700		13,592
Societe Generale NY
5.240% due 03/12/2007		1,000		989
5.245% due 01/08/2007		3,100		3,098
Stadshypoket Delaware, Inc.
5.250% due 02/02/2007		15,400		15,333
UBS Finance Delaware LLC
5.160% due 06/12/2007		5,600		5,467
5.245% due 01/08/2007		3,100		3,098
5.270% due 01/02/2007		1,400		1,400
5.270% due 01/05/2007		7,000		6,998
Viacom, Inc.
5.594% due 05/29/2007		900		900
5.600% due 03/22/2007		900		900
5.620% due 05/29/2007		900		900
Westpac Capital Corp.
5.210% due 03/29/2007		9,100		8,981
				228,514
REPURCHASE AGREEMENTS 1.6%
Lehman Brothers, Inc.
4.850% due 01/02/2007		3,000		3,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 4.500% due 02/28/2011 valued at $3,071. Repurchase proceeds are $3,002.)
State Street Bank and Trust Co.
4.900% due 01/02/2007		6,179		6,179
(Dated 12/29/2006. Collateralized by Federal Home Loan Bank 3.375% due 02/23/2007 valued at $6,304. Repurchase proceeds are $6,182.)
				9,179
U.S. TREASURY BILLS 0.3%
4.800% due 03/15/2007 (a)(c)		1,641		1,622
Total Short-Term Instruments (Cost $245,859)				245,815
Purchased Options (e) 0.1% (Cost $620)				767
Total Investments (b) 110.7% (Cost $622,133)			$	622,173
Written Options (f) (0.2%) (Premiums $692)				(990	)
Other Assets and Liabilities (Net) (10.5%)				(59,083	)
Net Assets 100.0%			$	562,100

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

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

(a) Coupon represents a weighted average rate.

(b) As of December 31, 2006, portfolio securities with an aggregate value of $24,781 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $1,622 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	344		$(24)
90-Day Eurodollar March Futures	Long	03/2007	450		(225)
90-Day Eurodollar March Futures	Long	03/2008	344		(7)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	278		(127)
U.S. Treasury 10-Year Note March Futures	Short	03/2007	194		272
				$	(111)

(d) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008	$	300	$	0
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		700		0
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		700		0
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		300		0
Deutsche Bank AG	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.260	%	12/20/2007		1,300		0
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		300		0
Deutsche Bank AG	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008		400		0
Deutsche Bank AG	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008		300		0
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		700		(1	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.500	%	9/20/2007		900		14
Lehman Brothers, Inc.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	3/20/2008		3,000		2
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		700		0
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		300		0
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		700		(1	)
Lehman Brothers, Inc.	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.310	%	12/20/2008		300		0
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.440	%	10/20/2007		700		1
Morgan Stanley	Russia Government International Bond 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.260	%	12/20/2007		1,300		0
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		700		0
								$	15

⁽¹⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will pay to the buyer of the protection an amount up to the notional value of the swap and in certain instances, take delivery of the security.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017	$	6,900	$	145

(e) Purchased options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007	GBP	11,300	$	47	$	5
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	6/15/2007		4,000		15		3
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.063	%	6/15/2007		7,000		30		5
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.500	%	7/9/2007	$	41,800		207		409
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.080	%	4/19/2007		8,500		29		26
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		19,000		91		183
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	7/2/2007		36,100		149		74
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		9,800		52		62
									$	620	$	767

(f) Written options outstanding on December 31, 2006:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 8-Year Interest Rate Swap	Citibank N.A.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007	GBP	3,200	$	59	$	15
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		1,000		15		5
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	6/15/2007		2,000		30		10
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.620	%	7/9/2007	$	13,700		207		444
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.220	%	4/19/2007		3,700		29		40
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		8,000		89		202
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007		15,500		162		126
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		8,400		101		148
									$	692	$	990

(g) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
U.S. Treasury Notes	4.250	%	8/15/2015	$	3,700	$	3,620	$	3,647

⁽²⁾ Market value includes $66 of interest payable on short sales.

(h) Forward foreign currency contracts outstanding on December 31, 2006:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	164	01/2007	$	2	$	0		$	2
Buy		3,905	05/2007		11		0			11
Buy	CLP	410,566	01/2007		0		(8	)		(8	)
Buy		37,459	06/2007		0		(1	)		(1	)
Buy	CNY	35,208	03/2007		43		0			43
Buy	EUR	161	01/2007		0		(2	)		(2	)
Sell	GBP	657	01/2007		0		(8	)		(8	)
Buy	IDR	1,243,200	02/2007		5		0			5
Buy	INR	3,158	03/2007		3		0			3
Buy	JPY	1,109,311	02/2007		0		(125	)		(125	)
Buy	KRW	1,422,274	02/2007		0		(9	)		(9	)
Buy		241,280	03/2007		6		0			7
Buy	MXN	20,099	01/2007		4		(1	)		3
Buy	PLN	4,833	04/2007		8		(10	)		(2	)
Buy	RUB	1,866	01/2007		1		0			1
Buy		47,891	03/2007		2		(2	)		0
Buy		4,317	09/2007		0		(1	)		(1	)
Buy	SGD	125	01/2007		1		0			1
Buy		2,130	04/2007		7		0			7
Buy	TWD	1,864	02/2007		0		(1	)		(1	)
Buy	ZAR	3,128	05/2007		1		(1	)		(1	)
Buy		1,020	06/2007		1		0			1
				$	95	$	(169	)	$	(74	)

See accompanying notes

Schedule of Investments

U.S. Government Sector Portfolio

December 31, 2006 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 9.9%
Banking & Finance 9.2%
Allstate Life Global Funding Trusts
5.437% due 01/25/2008	$	11,600	$	11,619
American Express Centurion Bank
5.350% due 05/07/2008		11,700		11,705
American International Group, Inc.
5.365% due 06/23/2008		21,300		21,313
Bank of America Corp.
5.372% due 09/25/2009		2,000		2,002
5.378% due 11/06/2009		20,000		20,015
Bank of America N.A.
5.361% due 12/18/2008		36,400		36,401
5.377% due 07/25/2008		6,200		6,205
Bank of Ireland
5.375% due 12/19/2008		27,400		27,411
5.415% due 12/18/2009		5,500		5,493
Bank of Scotland
5.871% due 11/22/2012		2,000		2,007
BNP Paribas
5.292% due 05/28/2008		33,500		33,507
Caterpillar Financial Services Corp.
5.435% due 05/18/2009		1,300		1,302
Citigroup, Inc.
5.406% due 12/26/2008		17,100		17,119
5.493% due 06/09/2009		2,000		2,007
DnB NORBank ASA
5.412% due 02/25/2008		2,000		2,005
General Electric Capital Corp.
5.380% due 10/24/2008		5,500		5,505
5.410% due 10/26/2009		6,000		6,002
Goldman Sachs Group, Inc.
5.406% due 12/23/2008		24,300		24,310
5.455% due 12/22/2008		11,300		11,319
5.510% due 01/09/2007		60,000		60,002
5.662% due 06/28/2010		11,600		11,681
5.770% due 10/07/2011		2,000		2,023
HBOS Treasury Services PLC
5.350% due 07/17/2008		3,400		3,402
5.414% due 07/17/2009		2,500		2,503
HSBC Bank USA N.A.
5.426% due 07/28/2008		2,200		2,204
HSBC Finance Corp.
5.375% due 05/21/2008		12,400		12,405
5.420% due 10/21/2009		18,600		18,617
JPMorgan Chase & Co.
5.416% due 06/26/2009		2,500		2,504
Lehman Brothers Holdings, Inc.
5.400% due 11/24/2008		2,500		2,502
5.415% due 12/23/2008		35,000		35,014
5.464% due 01/23/2009		10,000		10,018
Merrill Lynch & Co., Inc.
5.395% due 12/22/2008		16,000		16,005
5.414% due 10/23/2008		22,900		22,915
5.464% due 08/14/2009		5,900		5,907
Morgan Stanley
5.390% due 11/21/2008		10,000		10,005
5.485% due 02/09/2009		24,300		24,353
5.499% due 02/15/2007		9,900		9,902
Nordea Bank Finland
5.267% due 03/31/2008		6,300		6,299
5.308% due 05/28/2008		33,500		33,512
Pricoa Global Funding I
5.457% due 01/25/2008		10,000		10,018
Royal Bank of Scotland Group PLC
5.424% due 07/21/2008		6,900		6,907
Santander U.S. Debt S.A. Unipersonal
5.375% due 09/21/2007		3,600		3,604
5.425% due 09/19/2008		10,600		10,619
5.426% due 11/20/2009		13,200		13,209
Skandinav Enskilda BK
5.330% due 02/04/2008		14,700		14,707
SLM Corp.
5.597% due 07/25/2007		1,000		1,002
Societe Generale NY
5.258% due 06/11/2007		8,800		8,801
U.S. Trade Funding Corp.
4.260% due 11/15/2014		10,510		10,249
Unicredit Luxembourg Finance S.A.
5.426% due 10/24/2008		8,700		8,704
Unicredito Italiano NY
5.360% due 05/06/2008		10,000		10,000
5.370% due 05/29/2008		34,000		34,010
Westpac Banking Corp.
5.310% due 06/06/2008		26,100		26,107
World Savings Bank FSB
5.415% due 06/20/2008		2,000		2,004
				698,961
Industrials 0.7%
DaimlerChrysler N.A. Holding Corp.
5.833% due 09/10/2007		15,000		15,036
Wal-Mart Stores, Inc.
5.265% due 06/16/2008		29,500		29,503
Walt Disney Co.
5.453% due 09/10/2009		8,600		8,615
				53,154
Utilities 0.0%
Dominion Resources, Inc.
5.554% due 11/14/2008		2,700		2,702
Public Service Enterprise Group, Inc.
5.740% due 09/21/2008		3,000		3,003
				5,705
Total Corporate Bonds & Notes (Cost $757,475)				757,820
MUNICIPAL BONDS & NOTES 0.0%
Iowa State Tobacco Settlement Authority Revenue
Bonds, Series 2005
6.500% due 06/01/2023		2,965		2,953
Total Municipal Bonds & Notes (Cost $2,965)				2,953
U.S. GOVERNMENT AGENCIES 19.5%
Fannie Mae
3.851% due 10/01/2033		25,725		25,441
4.000% due 04/01/2014		14,124		13,636
4.500% due 10/25/2015 - 09/25/2020		38,517		37,846
4.677% due 05/25/2035		10,700		10,567
4.749% due 03/01/2035		4,746		4,639
4.880% due 12/01/2035		1,786		1,782
5.000% due 10/25/2013 - 12/01/2013		7,052		6,996
5.174% due 01/01/2018		31		32
5.192% due 09/01/2017		30		30
5.214% due 01/01/2036		9,133		9,136
5.250% due 06/15/2008 - 01/28/2013		7,935		7,923
5.257% due 06/01/2032		25		25
5.298% due 08/01/2036		1,930		1,935
5.363% due 05/01/2032		76		78
5.410% due 12/25/2036		5,941		5,955
5.415% due 09/01/2032		7		7
5.427% due 11/01/2020		37		37
5.430% due 07/25/2035		3,330		3,333
5.440% due 09/25/2035		7,168		7,174
5.470% due 06/25/2033 - 03/25/2034		5,645		5,644
5.480% due 03/25/2036		6,732		6,740
5.500% due 03/25/2028 - 04/01/2035		105,428		104,551
5.502% due 12/01/2029		101		103
5.510% due 03/25/2032		1,143		1,144
5.570% due 07/25/2032		932		932
5.594% due 03/01/2018		39		39
5.600% due 08/01/2014		57		57
5.605% due 01/01/2018		121		122
5.610% due 06/25/2032		5		5
5.650% due 11/01/2014		32		33
5.690% due 11/25/2032		27		27
5.700% due 05/25/2042		1,258		1,262
5.800% due 02/09/2026		30,000		29,761
5.825% due 08/25/2021 - 03/25/2022		207		208
5.850% due 12/01/2029		85		87
5.878% due 09/01/2033		15		15
5.948% due 12/01/2029		15		15
5.950% due 02/25/2044		13,116		13,100
5.958% due 02/01/2041 - 10/01/2044		39,742		40,023
5.975% due 08/25/2022		62		63
6.000% due 12/01/2022 - 01/01/2037		145,534		146,536
6.075% due 04/25/2022		88		89
6.095% due 02/01/2026		15		15
6.158% due 11/01/2030		4		4
6.210% due 08/06/2038		14,200		16,351
6.250% due 04/25/2032		1,461		1,499
6.347% due 10/01/2032		98		98
6.388% due 06/01/2025		21		22
6.503% due 12/01/2032		30		30
6.721% due 11/01/2035		6,932		7,098
6.722% due 11/01/2035		2,668		2,732
6.785% due 12/01/2031		29		29
6.857% due 05/01/2025		27		27
6.953% due 06/01/2021		3,581		3,645
6.972% due 03/01/2026		58		59
7.048% due 01/01/2029		83		85
7.088% due 12/01/2029		22		22
7.098% due 08/01/2028		14		14
7.125% due 05/01/2022		16		16
7.148% due 12/01/2022		69		70
7.154% due 09/01/2026		1,064		1,077
7.184% due 09/01/2031		234		237
7.198% due 07/01/2018		940		967
7.250% due 07/01/2028		10		10
7.322% due 09/01/2028		209		211
7.375% due 09/01/2022		9		9
7.722% due 10/01/2025		42		43
Farmer Mac
7.277% due 07/25/2011		2,502		2,507
Federal Farm Credit Bank
3.060% due 01/30/2007		16,235		16,209
5.100% due 10/15/2012		2,000		1,969
Federal Home Loan Bank
0.000% due 02/05/2007		14,000		13,755
2.850% due 08/06/2007		6,000		5,917
3.450% due 01/23/2008		17,205		16,901
4.000% due 07/14/2008 - 03/18/2011		50,110		48,985
4.070% due 07/16/2014		1,000		936
4.125% due 11/17/2008		44,600		43,855
4.280% due 05/18/2009		46,660		45,849
5.120% due 01/10/2013		5,000		4,922
5.125% due 08/15/2019		98,000		97,982
5.500% due 06/30/2008		15,400		15,410
Freddie Mac
0.000% due 12/11/2025		9,084		3,402
3.000% due 05/15/2022		2,300		2,240
3.500% due 10/15/2011 - 05/15/2022		2,509		2,477
4.000% due 05/15/2016 - 10/15/2023		32,770		32,349
4.250% due 04/15/2023		3,800		3,758
4.375% due 11/16/2007		10,000		9,929
4.500% due 02/15/2015 - 09/15/2035		43,729		41,700
4.646% due 02/01/2035		9,331		9,170
4.714% due 06/01/2035		30,160		29,766
4.716% due 02/01/2018		71		71
4.835% due 02/01/2032		118		122
4.938% due 08/01/2019		60		60
5.000% due 03/18/2014 - 01/15/2034		153,640		151,606
5.043% due 03/01/2035		914		910
5.052% due 12/01/2031		27		27
5.203% due 02/01/2032		38		39
5.416% due 02/01/2025		23		23
5.500% due 06/12/2008 - 06/15/2034		49,707		49,548
5.590% due 07/25/2031		1,289		1,289
5.625% due 11/23/2035		74,000		71,551
5.700% due 12/15/2030 - 06/15/2031		4,911		4,921
5.750% due 11/15/2016 - 05/15/2029		9,104		9,154
5.841% due 08/01/2020		59		59
5.850% due 06/15/2030 - 12/15/2032		1,701		1,726
5.900% due 06/15/2031		489		496
5.958% due 10/25/2044 - 02/25/2045		17,638		17,709
6.075% due 02/15/2027		38		39
6.158% due 07/25/2044		9,402		9,453
6.410% due 10/01/2031		10		10
6.470% due 12/01/2031		124		125
6.500% due 10/25/2043		2,622		2,678
6.534% due 04/01/2027		41		41
6.625% due 04/01/2032		21		21
6.828% due 01/01/2032		105		108
6.829% due 03/01/2025		4		4
6.926% due 07/01/2029		65		66
6.958% due 05/01/2032		25		26
6.988% due 02/01/2024		101		102
7.000% due 12/01/2031		129		132
7.018% due 07/01/2020		298		303
7.231% due 08/01/2031		8		7
7.250% due 12/01/2027		62		63
7.392% due 09/01/2031		1		1
Government National Mortgage Association
5.000% due 05/20/2034		24,077		20,463
5.125% due 10/20/2023 - 10/20/2024		211		214
5.250% due 02/20/2030		3,224		3,237
5.375% due 04/20/2023 - 04/20/2032		3,100		3,130
5.750% due 07/20/2025 - 08/20/2026		1,539		1,559
6.500% due 04/15/2029 - 06/15/2029		179		184
8.500% due 03/20/2025		114		120
Housing Urban Development
4.930% due 08/01/2014		4,000		3,971
Private Export Funding Corp.
5.000% due 12/15/2016		42,300		42,317
Small Business Administration
4.500% due 03/01/2023		1,272		1,231
4.760% due 09/01/2025		35,157		34,195
4.770% due 04/01/2024		9,940		9,724
4.875% due 09/10/2013		2,226		2,191
4.930% due 01/01/2024		8,340		8,240
5.136% due 08/10/2013		19,354		19,345
5.240% due 08/01/2023		5,275		5,294
5.875% due 05/25/2021 - 01/25/2022		1,621		1,635
6.000% due 03/25/2025 - 07/25/2025		2,094		2,116
6.100% due 01/25/2019 - 11/25/2024		1,955		1,977
7.060% due 11/01/2019		1,841		1,918
7.220% due 11/01/2020		1,598		1,690
7.449% due 08/01/2010		229		239
8.017% due 02/10/2010		1,519		1,603
Tennessee Valley Authority
5.375% due 04/01/2056		22,600		23,094
Total U.S. Government Agencies (Cost $1,492,483)				1,483,663
U.S. TREASURY OBLIGATIONS 12.2%
Treasury Inflated Protected Securities (d)
2.000% due 01/15/2026		1,729		1,626
2.375% due 01/15/2025		11,564		11,517
3.375% due 01/15/2007		46,677		46,611
U.S. Treasury Bonds
4.500% due 02/15/2036		389,450		370,465
6.250% due 08/15/2023		900		1,036
7.500% due 11/15/2024		4,000		5,229
U.S. Treasury Notes
4.500% due 11/30/2011		250,000		247,852
4.750% due 12/31/2008		200,000		199,828
U.S. Treasury Strips
0.000% due 02/15/2036		193,200		48,955
Total U.S. Treasury Obligations (Cost $946,268)				933,119
MORTGAGE-BACKED SECURITIES 17.7%
American Home Mortgage Investment Trust
5.500% due 09/25/2035		1,885		1,886
Arkle Master Issuer PLC
5.330% due 11/19/2007		12,100		12,121
Banc of America Funding Corp.
4.621% due 02/20/2036		48,871		48,209
Banc of America Mortgage Securities
6.500% due 09/25/2033		1,678		1,694
Bear Stearns Adjustable Rate Mortgage Trust
4.173% due 11/25/2034		13,027		13,019
4.625% due 10/25/2035		17,794		17,488
4.636% due 01/25/2034		1,604		1,600
4.750% due 10/25/2035		27,093		26,803
5.056% due 04/25/2033		1,263		1,267
5.287% due 04/25/2033		120		120
5.328% due 02/25/2033		524		523
5.381% due 04/25/2033		1,456		1,445
Bear Stearns Alt-A Trust
5.510% due 02/25/2034		10,700		10,707
5.837% due 11/25/2036		44,584		44,843
5.840% due 11/25/2036		65,935		66,165
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		5,100		5,162
CBA Commercial Small Balance Commercial Mortgage
5.630% due 12/25/2036		6,896		6,966
CC Mortgage Funding Corp.
5.600% due 08/25/2035		5,432		5,448
5.650% due 08/25/2035		2,167		2,175
Citicorp Mortgage Securities, Inc.
5.750% due 02/25/2033		11		11
Citigroup Commercial Mortgage Trust
5.420% due 11/15/2036		7,407		7,419
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		34,729		34,248
4.900% due 10/25/2035		70,680		69,997
4.900% due 12/25/2035		6,158		6,115
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		5,546		5,619
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		2,990		2,956
5.430% due 09/20/2046		12,625		12,628
5.500% due 03/25/2036		12,765		12,723
5.510% due 02/25/2047		2,285		2,288
5.530% due 05/25/2035		3,873		3,878
5.530% due 02/20/2047		14,190		14,239
5.550% due 05/25/2036		1,724		1,723
5.560% due 03/20/2046		15,252		15,274
5.630% due 12/25/2035		1,322		1,326
Countrywide Home Loan Mortgage Pass-Through Trust
4.738% due 08/25/2034		7,864		7,773
5.500% due 01/25/2046 (b)		12,500		12,522
5.580% due 05/25/2035		6,326		6,335
5.620% due 05/25/2034		311		311
5.630% due 08/25/2034		66		66
5.640% due 04/25/2035		1,753		1,759
5.680% due 02/25/2035		4,317		4,334
5.690% due 02/25/2035		2,611		2,623
5.690% due 06/25/2035		486		485
5.912% due 09/20/2036		23,496		23,693
6.133% due 04/25/2035		2,178		2,199
CS First Boston Mortgage Securities Corp.
5.629% due 05/25/2032		134		133
5.900% due 04/25/2033		118		118
5.900% due 08/25/2033		2,546		2,553
6.300% due 11/15/2030		518		525
7.031% due 06/25/2032		163		165
CSAB Mortgage-Backed Trust
5.450% due 06/25/2036		8,270		8,275
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.430% due 02/25/2037		6,000		6,005
Downey Savings & Loan Association Mortgage Loan Trust
5.610% due 08/19/2045		3,234		3,247
First Republic Mortgage Loan Trust
5.600% due 11/15/2030		1,509		1,503
5.670% due 06/25/2030		1,663		1,664
GMAC Commercial Mortgage Securities, Inc.
6.957% due 09/15/2035		410		433
Greenpoint Mortgage Funding Trust
5.430% due 10/25/2046		17,881		17,897
5.430% due 01/25/2047		13,300		13,299
5.570% due 06/25/2045		3,334		3,349
GS Mortgage Securities Corp. II
5.450% due 06/06/2020		2,546		2,548
6.620% due 10/18/2030		4,492		4,550
GSR Mortgage Loan Trust
4.549% due 09/25/2035		1,613		1,602
5.470% due 04/25/2036		17,840		18,065
GSRPM Mortgage Loan Trust
6.050% due 01/25/2032		641		647
Harborview Mortgage Loan Trust
5.440% due 12/19/2036		10,184		10,201
5.540% due 12/19/2036		29,183		29,233
5.570% due 05/19/2035		8,733		8,758
5.720% due 02/19/2034		4,770		4,781
Impac CMB Trust
5.750% due 07/25/2033		355		355
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		11,241		11,252
Indymac Index Mortgage Loan Trust
5.430% due 07/25/2046		505		505
5.440% due 11/25/2046		10,835		10,873
5.450% due 01/25/2037		2,555		2,558
5.670% due 02/25/2035		17,693		17,789
5.680% due 09/25/2034		4,232		4,239
JPMorgan Mortgage Trust
5.377% due 02/25/2036		17,948		17,843
LB-UBS Commercial Mortgage Trust
3.323% due 03/15/2027		4,200		4,105
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.430% due 09/15/2021		20,457		20,471
MASTR Adjustable Rate Mortgages Trust
5.192% due 05/25/2034		1,063		1,060
MASTR Asset Securitization Trust
5.500% due 09/25/2033		1,416		1,394
Mellon Residential Funding Corp.
5.700% due 11/15/2031		4,681		4,690
5.790% due 12/15/2030		4,768		4,789
Merrill Lynch Floating Trust
5.420% due 06/15/2022		5,810		5,814
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		853		845
Morgan Stanley Capital I
4.490% due 01/13/2041		350		340
5.440% due 07/15/2019		1,097		1,098
Prime Mortgage Trust
5.000% due 02/25/2019		6,975		6,800
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		7,455		7,455
5.560% due 04/25/2046		30,382		30,323
5.650% due 08/25/2035		5,134		5,143
5.750% due 01/25/2033		3,279		3,293
5.750% due 03/25/2033		7,903		7,933
Residential Asset Mortgage Products, Inc.
5.000% due 09/25/2034		1,509		1,498
8.500% due 10/25/2031		2,168		2,261
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		493		496
Sequoia Mortgage Trust
5.700% due 10/19/2026		4,633		4,638
5.700% due 07/20/2033		7,913		7,941
5.820% due 07/20/2033		4,986		5,007
Structured Adjustable Rate Mortgage Loan Trust
6.227% due 01/25/2035		2,181		2,201
Structured Asset Mortgage Investments, Inc.
5.420% due 08/25/2036		6,406		6,412
5.510% due 06/25/2036		1,721		1,723
5.570% due 05/25/2036		52,419		52,495
5.640% due 07/19/2034		1,544		1,546
5.700% due 03/19/2034		2,129		2,133
Structured Asset Securities Corp.
5.345% due 10/25/2035		7,891		7,880
5.400% due 05/25/2036		1,824		1,825
TBW Mortgage-Backed Pass-Through Certificates
5.450% due 09/25/2036		2,993		2,997
5.460% due 01/25/2037		13,400		13,413
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		21,517		21,510
5.440% due 08/25/2036		23,828		23,798
5.460% due 04/25/2036		1,917		1,919
Wachovia Bank Commercial Mortgage Trust
5.440% due 09/15/2021		37,289		37,314
Washington Mutual MSC Mortgage Pass-Through Certificates
5.390% due 02/25/2033		346		345
6.944% due 02/25/2033		17		17
7.283% due 05/25/2033		174		178
Washington Mutual, Inc.
4.062% due 10/25/2033		6,300		6,184
5.540% due 04/25/2045		3,077		3,082
5.557% due 01/25/2047		3,900		3,906
5.568% due 12/25/2046		7,715		7,741
5.580% due 04/25/2045		10,972		11,008
5.590% due 12/25/2045		4,309		4,323
5.596% due 02/27/2034		1,964		1,969
5.610% due 11/25/2045		6,413		6,439
5.620% due 12/25/2027		13,321		13,327
5.640% due 10/25/2045		8,263		8,279
5.770% due 09/25/2046		8,421		8,473
5.777% due 07/25/2046		21,264		21,374
5.777% due 08/25/2046		50,365		50,630
5.777% due 10/25/2046		4,216		4,243
5.807% due 06/25/2046		13,175		13,241
5.827% due 02/25/2046		12,016		12,100
5.846% due 05/25/2046		2,728		2,733
5.882% due 11/25/2046		3,050		3,068
5.882% due 12/25/2046		3,973		4,003
5.954% due 05/25/2041		2,131		2,146
6.027% due 11/25/2042		4,620		4,640
6.227% due 06/25/2042		4,254		4,260
Wells Fargo Mortgage-Backed Securities Trust
3.539% due 09/25/2034		5,005		4,844
4.320% due 07/25/2035		12,100		11,845
4.487% due 11/25/2033		765		736
4.500% due 11/25/2018		10,857		10,559
4.950% due 03/25/2036		92,144		91,107
Total Mortgage-Backed Securities (Cost $1,343,929)				1,346,510
ASSET-BACKED SECURITIES 17.8%
Aames Mortgage Investment Trust
5.410% due 04/25/2036		1,394		1,395
Accredited Mortgage Loan Trust
5.510% due 09/25/2035		2,700		2,702
ACE Securities Corp.
5.370% due 08/25/2036		1,838		1,839
5.370% due 12/25/2036		3,923		3,925
5.400% due 10/25/2036		5,785		5,789
5.420% due 12/25/2035		2,863		2,865
5.430% due 02/25/2036		2,748		2,750
5.460% due 10/25/2035		914		915
5.500% due 12/25/2035		5,700		5,706
American Express Credit Account Master Trust
5.340% due 08/15/2011		1,800		1,802
5.460% due 12/15/2009		2,000		2,002
5.460% due 11/15/2010		2,855		2,861
5.530% due 11/15/2010		3,000		3,010
Ameriquest Mortgage Securities, Inc.
5.430% due 01/25/2036		1,292		1,293
5.430% due 03/25/2036		1,654		1,656
5.680% due 06/25/2034		1,856		1,858
Argent Securities, Inc.
5.370% due 09/25/2036		5,957		5,961
5.370% due 10/25/2036		11,834		11,841
5.390% due 06/25/2036		2,957		2,958
5.410% due 05/25/2036		3,035		3,037
5.420% due 04/25/2036		4,500		4,503
5.430% due 03/25/2036		5,086		5,090
5.450% due 11/25/2035		936		937
5.490% due 02/25/2036		1,589		1,591
Asset-Backed Funding Certificates
5.380% due 10/25/2036		5,740		5,743
5.380% due 11/25/2036		4,064		4,067
5.380% due 01/25/2037		10,907		10,914
5.700% due 06/25/2034		15,987		16,014
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		4,863		4,867
5.870% due 06/15/2031		486		488
5.890% due 11/15/2031		79		79
Bank One Issuance Trust
5.380% due 10/15/2009		2,900		2,902
5.460% due 01/15/2010		9,650		9,661
5.460% due 12/15/2010		3,700		3,709
Basic Asset-Backed Securities Trust
5.430% due 04/25/2036		2,321		2,323
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		3,377		3,379
5.400% due 10/25/2036		4,576		4,576
5.410% due 05/25/2036		4,297		4,300
5.420% due 02/25/2036		881		881
5.420% due 12/25/2036		2,600		2,600
5.430% due 12/25/2035		1,295		1,296
5.600% due 06/25/2035		557		557
5.620% due 09/25/2035		2,087		2,088
5.680% due 10/25/2032		206		207
5.850% due 11/25/2042		6,158		6,176
Capital One Auto Finance Trust
5.340% due 12/14/2007		11,700		11,710
Carrington Mortgage Loan Trust
5.390% due 05/25/2036		2,169		2,171
5.400% due 01/25/2037		5,000		5,005
5.415% due 07/25/2036		8,724		8,730
Centex Home Equity
5.400% due 06/25/2036		9,118		9,124
5.460% due 10/25/2035		214		214
Chase Credit Card Master Trust
5.450% due 10/15/2009		3,500		3,504
5.460% due 10/15/2010		4,000		4,010
5.460% due 02/15/2011		12,475		12,512
Chase Funding Mortgage Loan Asset-Backed Certificates
5.850% due 10/25/2031		1,789		1,790
Chase Issuance Trust
5.360% due 12/15/2010		2,600		2,603
CIT Group Home Equity Loan Trust
5.620% due 06/25/2033		1,023		1,027
Citibank Credit Card Issuance Trust
5.435% due 03/20/2009		27,000		27,022
5.474% due 01/15/2010		4,000		4,008
Citigroup Mortgage Loan Trust, Inc.
5.390% due 08/25/2036		7,677		7,681
5.400% due 10/25/2036		22,165		22,179
5.400% due 11/25/2036		5,016		5,019
5.420% due 08/25/2036		5,091		5,095
5.430% due 12/25/2035		4,409		4,412
5.450% due 10/25/2036		6,400		6,404
5.650% due 11/25/2034		402		403
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		2,000		1,671
Countrywide Asset-Backed Certificates
5.370% due 12/26/2036		8,200		8,210
5.370% due 03/25/2037		9,382		9,388
5.370% due 05/25/2037		7,156		7,160
5.370% due 12/25/2046		9,292		9,298
5.370% due 03/25/2047		9,484		9,490
5.380% due 01/25/2046		17,470		17,483
5.400% due 01/25/2037		11,713		11,727
5.400% due 05/25/2037		21,367		21,361
5.410% due 09/25/2046		7,884		7,889
5.420% due 06/25/2036		3,320		3,322
5.420% due 07/25/2036		2,180		2,182
5.420% due 08/25/2036		2,147		2,149
5.420% due 12/25/2036		6,900		6,906
5.430% due 06/25/2037		7,100		7,104
5.460% due 10/25/2046		13,191		13,198
5.480% due 07/25/2036		2,395		2,397
5.510% due 02/25/2036		3,571		3,572
5.830% due 12/25/2031		389		389
Credit-Based Asset Servicing & Securitization LLC
5.410% due 11/25/2036		5,298		5,301
5.450% due 08/25/2035		2,163		2,164
CS First Boston Mortgage Securities Corp.
5.660% due 01/25/2032		230		231
DaimlerChrysler Auto Trust
5.329% due 12/08/2007		8,000		8,008
FBR Securitization Trust
5.460% due 10/25/2035		637		637
5.470% due 11/25/2035		1,189		1,190
First Franklin Mortgage Loan Asset-Backed Certificates
5.350% due 07/25/2036		3,487		3,489
5.370% due 11/25/2036		21,956		21,970
5.370% due 12/25/2036		2,522		2,523
5.420% due 01/25/2036		1,755		1,756
5.420% due 12/25/2037		6,600		6,604
5.440% due 01/25/2036		11,414		11,423
5.490% due 05/25/2035		1,413		1,414
First NLC Trust
5.470% due 02/25/2036		8,362		8,368
First USA Credit Card Master Trust
5.500% due 05/17/2010		2,650		2,655
Ford Credit Auto Owner Trust
5.405% due 09/15/2007		1,925		1,927
Fremont Home Loan Trust
5.370% due 10/25/2036		4,536		4,539
5.410% due 01/25/2037		5,800		5,796
5.440% due 01/25/2036		1,427		1,428
5.520% due 01/25/2036		2,600		2,602
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		4,232		4,235
5.450% due 12/25/2035		2,098		2,100
GSAMP Trust
5.360% due 10/25/2036		2,869		2,871
5.390% due 10/25/2036		3,786		3,788
5.420% due 01/25/2036		3,868		3,870
5.420% due 02/25/2036		3,571		3,574
5.440% due 11/25/2035		1,608		1,609
5.460% due 11/25/2035		1,588		1,590
GSR Mortgage Loan Trust
5.450% due 11/25/2030		2,365		2,366
GSRPM Mortgage Loan Trust
5.730% due 09/25/2042		3,342		3,363
HFC Home Equity Loan Asset-Backed Certificates
5.420% due 03/20/2036		4,400		4,406
5.700% due 09/20/2033		1,853		1,861
Home Equity Asset Trust
5.430% due 05/25/2036		2,461		2,463
5.810% due 02/25/2033		1		1
Home Equity Mortgage Trust
5.440% due 05/25/2036		1,125		1,126
Honda Auto Receivables Owner Trust
5.342% due 11/15/2007		10,613		10,618
HSI Asset Securitization Corp. Trust
5.370% due 10/25/2036		2,204		2,205
5.400% due 12/25/2036		28,792		28,738
5.430% due 12/25/2035		2,306		2,308
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		2,922		2,924
Indymac Residential Asset-Backed Trust
5.410% due 04/25/2037		8,900		8,883
5.440% due 03/25/2036		6,234		6,238
5.450% due 03/25/2036		2,726		2,728
JPMorgan Mortgage Acquisition Corp.
5.360% due 08/25/2036		2,565		2,567
5.370% due 07/25/2036		4,862		4,865
5.370% due 08/25/2036		12,454		12,461
5.400% due 08/25/2036		4,141		4,143
5.400% due 10/25/2036		9,278		9,284
5.410% due 01/25/2032		2,808		2,810
5.420% due 05/25/2035		1,291		1,292
5.420% due 02/25/2036		652		652
5.420% due 03/25/2036		3,278		3,279
5.420% due 11/25/2036		2,763		2,765
5.560% due 06/25/2035		3,505		3,514
LA Arena Funding LLC
7.656% due 12/15/2026		86		93
Lehman XS Trust
5.420% due 05/25/2046		6,587		6,590
5.430% due 04/25/2046		11,138		11,145
5.430% due 07/25/2046		29,517		29,534
5.430% due 08/25/2046		12,237		12,248
5.430% due 11/25/2046		13,015		13,021
5.440% due 05/25/2046		5,391		5,391
5.470% due 11/25/2036		9,725		9,728
Long Beach Mortgage Loan Trust
5.360% due 11/25/2036		4,587		4,590
5.370% due 08/25/2036		6,929		6,934
5.380% due 06/25/2036		2,093		2,095
5.380% due 10/25/2036		4,597		4,599
5.410% due 04/25/2036		6,623		6,628
5.420% due 03/25/2036		3,385		3,387
5.440% due 01/25/2036		6,181		6,186
5.500% due 08/25/2035		1,838		1,840
5.630% due 10/25/2034		15,663		15,680
MASTR Asset-Backed Securities Trust
5.370% due 11/25/2036		4,717		4,720
5.380% due 10/25/2036		3,442		3,444
5.410% due 11/25/2036		8,400		8,411
5.420% due 02/25/2036		22,295		22,310
5.430% due 01/25/2036		3,160		3,162
5.460% due 11/25/2035		7,138		7,144
MBNA Credit Card Master Note Trust
5.450% due 12/15/2011		2,300		2,308
5.460% due 08/17/2009		3,400		3,403
5.519% due 09/15/2010		2,000		2,006
5.850% due 03/15/2010		11,100		11,144
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		3,905		3,908
5.390% due 07/25/2037		7,420		7,424
5.410% due 03/25/2037		3,094		3,096
5.410% due 04/25/2037		2,306		2,307
5.420% due 08/25/2036		41,700		41,739
5.440% due 10/25/2037		5,762		5,765
5.507% due 06/25/2036		2,155		2,156
Mid-State Trust
7.340% due 07/01/2035		349		372
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		7,481		7,478
5.370% due 09/25/2036		6,818		6,822
5.370% due 10/25/2036		4,633		4,632
5.380% due 06/25/2036		1,385		1,386
5.390% due 06/25/2036		3,569		3,571
5.390% due 07/25/2036		12,715		12,723
5.430% due 12/25/2035		634		635
Morgan Stanley Capital I
5.420% due 03/25/2036		4,915		4,918
5.470% due 02/25/2036		6,600		6,607
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		4,303		4,305
Nelnet Student Loan Trust
5.338% due 09/25/2012		9,200		9,200
5.347% due 10/27/2014		2,854		2,856
5.370% due 08/23/2011		2,648		2,650
5.375% due 12/22/2014		5,851		5,842
5.467% due 10/25/2016		3,165		3,167
New Century Home Equity Loan Trust
5.410% due 05/25/2036		2,349		2,350
5.420% due 08/25/2036		7,574		7,579
5.610% due 06/25/2035		3,801		3,811
Newcastle Mortgage Securities Trust
5.420% due 03/25/2036		15,903		15,915
Nissan Auto Lease Trust
5.347% due 12/14/2007		2,652		2,654
Nomura Home Equity Loan, Inc.
5.430% due 02/25/2036		836		837
NPF XII, Inc.
2.462% due 11/01/2003 (a)		10,000		600
Option One Mortgage Loan Trust
5.360% due 02/25/2037		1,885		1,886
5.400% due 07/25/2036		3,044		3,047
Park Place Securities, Inc.
5.610% due 09/25/2035		1,658		1,662
Popular ABS Mortgage Pass-Through Trust
5.460% due 09/25/2035		488		488
Renaissance Home Equity Loan Trust
5.500% due 11/25/2035		223		223
5.700% due 08/25/2032		16		16
5.850% due 12/25/2033		2,451		2,471
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		3,552		3,554
5.430% due 01/25/2036		11,905		11,913
5.450% due 08/25/2046		5,900		5,903
Residential Asset Securities Corp.
5.360% due 06/25/2036		5,120		5,124
5.390% due 11/25/2036		5,962		5,966
5.420% due 03/25/2036		1,469		1,470
5.420% due 04/25/2036		3,532		3,535
5.420% due 07/25/2036		10,662		10,670
5.420% due 11/25/2036		18,604		18,618
5.430% due 01/25/2036		3,712		3,715
5.440% due 01/25/2036		4,225		4,229
5.450% due 08/25/2035		511		511
5.620% due 04/25/2032		968		969
Residential Funding Mortgage Securities II, Inc.
5.490% due 09/25/2035		1,640		1,642
SACO I, Inc.
5.430% due 04/25/2036		709		710
5.460% due 12/25/2035		386		386
Salomon Brothers Mortgage Securities VII
5.650% due 03/25/2032		498		500
6.250% due 01/25/2032		147		147
Saxon Asset Securities Trust
5.380% due 11/25/2036		12,643		12,652
5.610% due 08/25/2032		44		44
5.620% due 01/25/2032		241		241
SBI HELOC Trust
5.490% due 08/25/2036		5,960		5,961
Securitized Asset-Backed Receivables LLC Trust
5.370% due 09/25/2036		2,696		2,697
5.420% due 10/25/2035		1,021		1,022
5.430% due 11/25/2036		4,500		4,502
5.470% due 01/25/2036		137		137
SG Mortgage Securities Trust
5.450% due 10/25/2035		572		572
SLM Student Loan Trust
5.323% due 07/25/2013		7,200		7,200
5.345% due 10/25/2012		9,900		9,899
Soundview Home Equity Loan Trust
5.360% due 11/25/2036		8,569		8,576
5.370% due 10/25/2036		11,752		11,759
5.380% due 11/25/2036		6,610		6,608
5.410% due 12/25/2036		2,900		2,903
5.410% due 01/25/2037		10,100		10,106
5.420% due 02/25/2036		2,220		2,222
5.420% due 03/25/2036		1,174		1,175
5.420% due 05/25/2036		3,967		3,970
5.420% due 10/25/2036		3,947		3,949
5.450% due 12/25/2035		907		908
5.580% due 06/25/2035		3,051		3,055
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		2,707		2,710
5.395% due 11/25/2037		2,885		2,884
5.410% due 02/25/2037		2,236		2,238
Structured Asset Investment Loan Trust
5.370% due 07/25/2036		2,855		2,857
Structured Asset Securities Corp.
5.370% due 10/25/2036		11,968		11,977
5.430% due 11/25/2035		3,578		3,581
5.750% due 05/25/2034		859		860
Susquehanna Auto Lease Trust
4.991% due 04/16/2007		100		101
Triad Auto Receivables Owner Trust
5.341% due 11/13/2007		4,021		4,024
Truman Capital Mortgage Loan Trust
5.690% due 01/25/2034		268		269
USAA Auto Owner Trust
5.030% due 11/17/2008		2,002		2,002
Wachovia Auto Owner Trust
4.820% due 02/20/2009		2,928		2,925
5.358% due 11/09/2007		2,145		2,147
Wachovia Student Loan Trust
5.357% due 10/25/2013		1,979		1,979
Washington Mutual Asset-Backed Certificates
5.390% due 04/25/2036		1,997		1,998
Wells Fargo Home Equity Trust
5.400% due 01/25/2037		5,600		5,608
5.460% due 11/25/2035		30,482		30,500
Total Asset-Backed Securities (Cost $1,358,495)				1,353,373
SOVEREIGN ISSUES 1.3%
Canada Mortgage & Housing Corp.
3.375% due 12/01/2008		27,900		27,070
Israel Government AID Bond
0.000% due 11/01/2024		178,000		70,764
Total Sovereign Issues (Cost $96,989)				97,834
SHORT-TERM INSTRUMENTS 28.8%
Certificates of Deposit 3.7%
Barclays Bank PLC
5.265% due 01/29/2007		9,800		9,800
Countrywide Bank N.A.
5.350% due 04/25/2007		39,600		39,596
Fortis Bank NY
5.265% due 04/28/2008		32,700		32,681
5.295% due 01/04/2007		100,000		100,000
Skandinaviska Enskilda Banken AB
5.272% due 10/03/2007		16,300		16,296
5.272% due 07/06/2007		10,200		10,198
Societe Generale NY
5.258% due 06/20/2007		6,700		6,700
Unicredito Italiano SpA
5.385% due 02/15/2007		70,000		70,002
				285,273
COMMERCIAL PAPER 12.7%
ABN AMRO N.A. Finance
5.250% due 02/15/2007		15,000		14,906
Bank of America Corp.
5.200% due 04/27/2007		76,400		75,082
Bank of Ireland
5.225% due 03/07/2007		7,100		7,030
5.225% due 03/29/2007		5,800		5,724
5.230% due 03/13/2007		32,255		31,907
5.240% due 02/22/2007		1,000		993
Barclays U.S. Funding Corp.
5.250% due 02/20/2007		27,400		27,208
CBA (de) Finance
5.240% due 02/21/2007		134,800		133,839
Citigroup Funding, Inc.
5.250% due 02/14/2007		52,640		52,318
Dexia Delaware LLC
5.235% due 03/13/2007		85,600		84,677
DnB NORBank ASA
5.235% due 03/26/2007		14,700		14,514
HBOS Treasury Services PLC
5.220% due 03/12/2007		8,500		8,410
5.235% due 03/05/2007		11,300		11,191
5.245% due 03/15/2007		26,200		25,910
ING U.S. Funding LLC
5.200% due 04/02/2007		10,874		10,725
IXIS Commercial Paper Corp.
5.220% due 03/16/2007		137,800		136,254
5.220% due 03/27/2007		20,000		19,744
Nordea N.A., Inc.
5.280% due 01/19/2007		10,442		10,417
Rabobank USA Financial Corp.
5.280% due 01/02/2007		198,500		198,500
Santander Hispano Finance Delaware
5.250% due 03/14/2007		200		198
Skandinaviska Enskilda Banken AB
5.235% due 02/26/2007		23,100		22,919
Societe Generale NY
5.185% due 04/02/2007		11,600		11,441
5.230% due 03/01/2007		6,700		6,644
5.230% due 03/08/2007		7,700		7,622
Stadshypoket Delaware, Inc.
5.245% due 02/20/2007		36,800		36,543
5.245% due 02/21/2007		3,700		3,674
UBS Finance Delaware LLC
5.230% due 03/07/2007		6,200		6,138
Unicredit Delaware, Inc.
5.250% due 03/19/2007		1,100		1,087
				965,615
REPURCHASE AGREEMENTS 10.5%
Credit Suisse Securities (USA) LLC
4.800% due 01/02/2007		416,700		416,700
(Dated 12/29/2006. Collateralized by U.S. Treasury Notes 3.750% - 4.125% due 05/15/2008 - 02/15/2014 valued at $428,605. Repurchase proceeds are $416,922.)
Lehman Brothers, Inc.
4.850% due 01/02/2007		282,300		282,300
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 0.875% due 04/15/2010 valued at $288,537. Repurchase proceeds are $282,452.)
UBS Securities LLC
4.800% due 01/02/2007		100,000		100,000
(Dated 12/29/2006. Collateralized by U.S. Treasury Inflation Protected Securities 3.375% due 01/15/2012 valued at $102,109. Repurchase proceeds are $100,053.)
				799,000
TRI-PARTY REPURCHASE AGREEMENTS 0.2%
State Street Bank and Trust Co.
4.900% due 01/02/2007		13,763		13,763
(Dated 12/29/2006. Collateralized by Fannie Mae 3.530% due 09/05/2008 valued at $2,444; Federal Home Loan Bank 4.000% due 03/10/2008 valued at $5,169; and Freddie Mac 5.500% due 01/18/2008 valued at $6,430. Repurchase proceeds are $13,770.)
U.S. TREASURY BILLS 1.7%
4.818% due 03/01/2007 - 03/15/2007 (c)(e)(g)		128,042		126,694
Total Short-Term Instruments (Cost $2,190,871)				2,190,345
Purchased Options (i) 0.8% (Cost $46,077)				64,138
Total Investments (f) 108.0% (Cost $8,235,552)			$	8,229,755
Written Options (j) (1.0%)				(78,892	)
(Premiums $56,315)
Other Assets and Liabilities (Net) (7.0%)				(527,925	)
Net Assets 100.0%			$	7,622,938

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

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

(a) Security is in default.

(b) When-issued security.

(c) Coupon represents a weighted average rate.

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

(e) Securities with an aggregate market value of $6,683 have been pledged as collateral for swap and swaption contracts on December 31, 2006.

(f) As of December 31, 2006, portfolio securities with an aggregate value of $590,090 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Securities with an aggregate market value of $109,810 have been segregated with the custodian to cover margin requirements for the following open futures contracts on December 31, 2006:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	26,292	$	461
90-Day Eurodollar June Futures	Long	06/2007	33,052		(2,802	)
90-Day Eurodollar March Futures	Long	03/2007	36,356		(1,278	)
90-Day Eurodollar September Futures	Long	09/2007	35,019		(1,410	)
U.S. Treasury 5-Year Note March Futures	Long	03/2007	40,601		(18,248	)
U.S. Treasury 10-Year Note March Futures	Short	03/2007	858		871
U.S. Treasury 30-Year Bond March Futures	Short	03/2007	2,775		4,585
				$	(17,821	)

(h) Swap agreements outstanding on December 31, 2006:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
Merrill Lynch & Co., Inc.	Altius Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 12/09/2040	Buy	(1.230	%)	12/9/2040	$	3,000	$	(15	)

⁽¹⁾ If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will generally receive from the seller of protection an amount up to the notional amount of the swap.

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009	$	1,048,000	$	(3,500	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		234,000		5,356
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		56,500		(189	)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		106,300		2,237
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		309,700		(980	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2011		29,600		(45	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		172,100		(1,889	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		536,230		12,273
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		1,318,100		(4,402	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/20/2011		9,400		133
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		526,900		(5,847	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		822,000		18,663
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	6/20/2037		265,000		(5,351	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	6/20/2012		1,326,200		(14,557	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	6/20/2017		427,570		9,786
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	6/20/2009		17,100		(56	)
UBS AG	3-Month USD-LIBOR	Pay	5.000	%	12/20/2009		470,000		2,643
								$	14,275

(i) Purchased options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CME 90-Day Eurodollar December Futures	$	95.500	12/17/2007	1,830	$	692	$	561
Call - CME 90-Day Eurodollar December Futures		96.250	12/17/2007	365		38		25
Put - CME 90-Day Eurodollar December Futures		94.500	12/17/2007	1,830		646		366
Put - CME 90-Day Eurodollar June Futures		91.250	6/18/2007	17,215		164		0
Put - CME 90-Day Eurodollar March Futures		92.000	3/19/2007	9,843		94		0
Put - CME 90-Day Eurodollar September Futures		90.250	9/17/2007	10,422		99		0
Put - CME 90-Day Eurodollar September Futures		90.500	9/17/2007	4,003		38		0
Put - CME 90-Day Eurodollar September Futures		91.000	9/17/2007	3,200		30		0
					$	1,801	$	952

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	7/2/2007	$	1,169,000	$	4,325	$	3,491
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	6/7/2007		1,014,000		4,462		5,949
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.500	%	6/30/2007		840,000		4,032		8,100
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	7/2/2007		3,289,100		17,279		20,879
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.370	%	7/2/2007		3,144,800		12,123		24,747
Call - OTC 2-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Pay	4.730	%	2/1/2007		600,000		2,055		20
									$	44,276	$	63,186

(j) Written options outstanding on December 31, 2006:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 30-Year Bond March Futures	$	116.000	2/23/2007	1,734	$	970	$	136
Call - CME 90-Day Eurodollar December Futures		95.250	12/17/2007	365		236		180
Call - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	1,830		383		137
Put - CBOT U.S. Treasury 30-Year Bond March Futures		110.000	2/23/2007	1,734		428		894
Put - CME 90-Day Eurodollar March Futures		94.750	3/19/2007	1,830		680		458
					$	2,697	$	1,805

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.000	%	7/2/2007	$	508,000	$	4,166	$	4,132
Call - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.500	%	5/2/2008		51,200		1,024		317
Put - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.500	%	5/2/2008		51,200		1,214		587
Call - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	4.500	%	5/2/2008		113,000		2,497		700
Put - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.500	%	5/2/2008		113,000		2,678		1,295
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	4.500	%	5/2/2008		51,200		1,024		317
Put - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.500	%	5/2/2008		51,200		1,208		587
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.340	%	6/7/2007		441,000		4,485		7,047
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	7/2/2007		1,429,000		17,235		25,139
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.500	%	7/2/2007		1,031,200		11,883		27,539
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.600	%	6/29/2007		370,000		4,088		9,360
Call - OTC 5-Year Interest Rate Swap	Wachovia Bank N.A.	3-Month USD-LIBOR	Receive	4.780	%	2/1/2007		258,000		2,116		67
									$	53,618	$	77,087

(k) Short sales outstanding on December 31, 2006:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	1/1/2037	$	17,332	$	17,285	$	17,132
U.S. Treasury Bonds	5.375	%	2/15/2031		205,700		224,687		225,210
U.S. Treasury Notes	4.875	%	8/15/2016		435,000		444,267		449,671
						$	686,239	$	692,013

⁽²⁾ Market value includes $14,141 of interest payable on short sales.

See accompanying notes

Supplementary Notes to Schedule of Investments

1. Federal Income Tax Matters

At December 31, 2006, the aggregate cost of investments was the same for federal income tax and financial statement purposes. The net unrealized appreciation (depreciation) of investment securities for federal income tax purposes is as follows (amounts in thousands):

Fund Name		Aggregate Gross Unrealized Appreciation Appreciation		Aggregate Gross Unrealized (Depreciation Depreciation	)		Net Unrealized Appreciation/ (Depreciation Total Ap/Dp	)
All Asset All Authority Fund	$	11,195	$	(20,559	)	$	(9,364	)
All Asset Fund		164,527		(107,066	)		57,461
California Intermediate Municipal Bond Fund		4,121		(80	)		4,041
California Short Duration Municipal Income Fund		7		(1	)		6
CommodityRealReturn Strategy Fund®		195,529		(387,712	)		(192,183	)
Convertible Fund		7,147		(689	)		6,458
Developing Local Markets Fund		7,615		(492	)		7,123
Diversified Income Fund		46,165		(8,011	)		38,154
Emerging Local Bond Fund		0		0			0
Emerging Markets Bond Fund		126,367		(1,457	)		124,910
European StocksPLUS® TR Strategy Fund		43		(27	)		16
Extended Duration Fund		27		(31	)		(4	)
Far East (ex-Japan) StocksPLUS® TR Strategy Fund		137		(79	)		58
Floating Income Fund		22,023		(2,845	)		19,178
Foreign Bond Fund (U.S. Dollar-Hedged)		124,144		(58,099	)		66,045
Foreign Bond Fund (Unhedged)		19,125		(36,151	)		(17,026	)
Fundamental IndexPLUSTM Fund		591		(89	)		502
Fundamental IndexPLUSTM TR Fund		1,003		(1,746	)		(743	)
Global Bond Fund (U.S. Dollar-Hedged)		4,639		(4,674	)		(35	)
Global Bond Fund (Unhedged)		24,867		(26,582	)		(1,715	)
GNMA Fund		1,979		(1,152	)		827
High Yield Fund		251,042		(36,744	)		214,298
High Yield Municipal Bond Fund		272		(5	)		267
International StocksPLUS® TR Strategy Fund (U.S. Hedged)		4,683		(2,115	)		2,568
International StocksPLUS® TR Strategy Fund (Unhedged)		16		(117	)		(101	)
Investment Grade Corporate Bond Fund		647		(769	)		(122	)
Japanese StocksPLUS® TR Strategy Fund		90		(238	)		(148	)
Long Duration Total Return Fund		32		(21	)		11
Long-Term U.S. Government Fund		10,541		(23,224	)		(12,683	)
Low Duration Fund		12,492		(60,997	)		(48,505	)
Low Duration Fund II		911		(1,656	)		(745	)
Low Duration Fund III		269		(306	)		(37	)
Moderate Duration Fund		6,056		(15,078	)		(9,022	)
Money Market Fund		0		0			0
Municipal Bond Fund		15,602		(977	)		14,625
New York Municipal Bond Fund		708		(205	)		503
PAPS - Asset-Backed Securities Portfolio		3,217		(2,893	)		324
PAPS - Developing Local Markets Portfolio		762		(114	)		648
PAPS - Emerging Markets Portfolio		49,572		(870	)		48,702
PAPS - High Yield Portfolio		11,424		(1,502	)		9,922
PAPS - International Portfolio		56,280		(2,993	)		53,287
PAPS- Investment Grade Corporate Portfolio		49,564		(11,958	)		37,606
PAPS - Mortgage Portfolio		70,322		(144,335	)		(74,013	)
PAPS - Municipal Sector Portfolio		17,757		(5,364	)		12,393
PAPS - Real Return Portfolio		1,492		(21,460	)		(19,968	)
PAPS - Short-Term II Portfolio		637		(597	)		40
PAPS - Short-Term Portfolio		4,579		(2,984	)		1,595
PAPS - U.S. Government Sector Portfolio		29,213		(35,010	)		(5,797	)
Real Return Asset Fund		6,620		(37,226	)		(30,606	)
Real Return Fund		137,546		(276,580	)		(139,034	)
RealEstateRealReturn Strategy Fund		691		(5,474	)		(4,783	)
Short Duration Municipal Income Fund		3,130		(2,205	)		925
Short-Term Fund		6,267		(4,109	)		2,158
Small Cap StocksPLUS® TR Fund		4		(38	)		(34	)
StocksPLUS® Fund		4,781		(2,630	)		2,151
StocksPLUS® Total Return Fund		851		(2,434	)		(1,583	)
StocksPLUS® TR Short Strategy Fund		389		(405	)		(16	)
Total Return Fund		651,139		(700,918	)		(49,779	)
Total Return Fund II		10,968		(20,508	)		(9,540	)
Total Return Fund III		6,769		(13,606	)		(6,837	)
Total Return Mortgage Fund		1,612		(3,166	)		(1,554	)

2. Non-U.S. Currency symbols utilized throughout reports are defined as follows:

ARS	–	Argentine Peso
AUD	–	Australian Dollar
BRL	–	Brazilian Real
CAD	–	Canadian Dollar
CHF	–	Swiss Franc
CLP	–	Chilean Peso
CNY	–	Chinese Yuan Renminbi
COP	–	Colombian Peso
CZK	–	Czech Koruna
DKK	–	Danish Krone
EGP	–	Egyptian Pound
EUR	–	Euro
GBP	–	British Pound
HKD	–	Hong Kong Dollar
HUF	–	Hungarian Forint
IDR	–	Indonesian Rupiah
ILS	–	Israeli Shekel
INR	–	Indian Rupee
JPY	–	Japanese Yen
KRW	–	South Korean Won
MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
NOK	–	Norwegian Krone
NZD	–	New Zealand Dollar
PEN	–	Peruvian New Sol
PLN	–	Polish Zloty
RUB	–	Russian Ruble
SEK	–	Swedish Krona
SGD	–	Singapore Dollar
SKK	–	Slovakian Koruna
THB	–	Thai Baht
TRL	–	Turkish Lira
TWD	–	Taiwan Dollar
UAH	–	Ukrainian Hryvnia
ZAR	–	South African Rand

Item 2. Controls and Procedures.

(a) The principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.

(b) There has been no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the 1940 Act is attached as Exhibit 99.CERT.

Signatures

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

PIMCO Funds
By:	/s/    ERNEST L. SCHMIDER
	Ernest L. Schmider
	President, Principal Executive Officer
Date:	March 1, 2007

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

By:	/s/    ERNEST L. SCHMIDER
	Ernest L. Schmider
	President, Principal Executive Officer
Date:	March 1, 2007
By:	/s/    JOHN P. HARDAWAY
	John P. Hardaway
	Treasurer, Principal Financial Officer
Date:	March 1, 2007