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

Date of reporting period: April 1, 2007 to June 30, 2007

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

Schedule of Investments

All Asset All Authority Fund (a)

June 30, 2007 (Unaudited)

	Shares		Value (000s)
PIMCO FUNDS (b) 137.0%
CommodityRealReturn Strategy Fund®		4,302,759	$	60,454
Convertible Fund		37,665		539
Developing Local Markets Fund		8,437,240		93,231
Diversified Income Fund		3,866,962		41,957
Emerging Local Bond Fund		9,796,893		100,810
Emerging Markets Bond Fund		1,855,443		20,243
European StocksPLUS® TR Strategy Fund		453,948		4,980
Far East (ex-Japan) StocksPLUS® TR Strategy Fund		939,991		12,774
Floating Income Fund		10,417,861		109,492
Foreign Bond Fund (Unhedged)		62		1
Fundamental IndexPLUSTM Fund		2,672,181		30,783
Fundamental IndexPLUSTM TR Fund		3,077,299		33,266
Global Bond Fund (Unhedged)		24,477		233
GNMA Fund		56		1
High Yield Fund		159,155		1,555
Income Fund		279,569		2,748
Japanese StocksPLUS® TR Strategy Fund		3,017,609		40,738
Long-Term U.S. Government Fund		5,111,483		51,933
Low Duration Fund		158,036		1,549
Real Return Asset Fund		10,685,760		114,017
Real Return Fund		4,429,940		46,603
RealEstateRealReturn Strategy Fund		159,406		1,039
Short-Term Fund		62		1
Small Cap StocksPLUS® TR Strategy Fund		195,870		2,115
StocksPLUS® Fund		535,393		6,194
StocksPLUS® Total Return Fund		129		1
StocksPLUS® TR Short Strategy Fund		18,597,133		145,801
Total Return Fund		168,793		1,715
Total Return Mortgage Fund		17,135		180
Total PIMCO Funds (Cost $931,847)				924,953
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 0.0%
Repurchase Agreements 0.0%
State Street Bank and Trust Co.
4.900% due 07/02/2007	$	362		362
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $372. Repurchase proceeds are $362.)
Total Short-Term Instruments (Cost $362)				362
Total Investments 137.0% (Cost $932,209)			$	925,315
Other Assets and Liabilities (Net) (37.0%)				(249,963	)
Net Assets 100.0%			$	675,352

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 PIMCO Fund.

See accompanying notes

Schedule of Investments

All Asset Fund (a)

June 30, 2007 (Unaudited)

	Shares		Value (000s)
PIMCO FUNDS (b) 99.9%
CommodityRealReturn Strategy Fund®		87,857,201	$	1,234,394
Convertible Fund		3,970,503		56,818
Developing Local Markets Fund		142,264,156		1,572,019
Diversified Income Fund		52,732,404		572,147
Emerging Local Bond Fund		123,899,054		1,274,921
Emerging Markets Bond Fund		18,376,261		200,485
Floating Income Fund		246,101,826		2,586,530
Foreign Bond Fund (Unhedged)		3,829,159		37,641
Fundamental IndexPLUS™ Fund		27,634,156		318,345
Fundamental IndexPLUS™ TR Fund		42,859,382		463,310
GNMA Fund		7,949,067		86,724
High Yield Fund		8,843,228		86,398
Income Fund		2,025,647		19,912
International StocksPLUS® TR Strategy Fund (Unhedged)		5,252,484		54,994
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)		40,886,497		514,352
Long-Term U.S. Government Fund		65,340,852		663,863
Low Duration Fund		2,477,297		24,278
Real Return Asset Fund		168,158,027		1,794,246
Real Return Fund		81,294,242		855,215
RealEstateRealReturn Strategy Fund		5,149,368		33,574
Short-Term Fund		2,275,233		22,570
Small Cap StocksPLUS® TR Strategy Fund		569,815		6,154
StocksPLUS® Fund		1,833,946		21,219
StocksPLUS® Total Return Fund		7,454,325		90,794
Total Return Fund		6,087,626		61,850
Total Return Mortgage Fund		15,197,990		159,883
Total PIMCO Funds (Cost $12,646,665)				12,812,636
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 0.0%
Tri-Party Repurchase Agreements 0.0%
State Street Bank and Trust Co.
4.900% due 07/02/2007	$	1,787		1,787
(Dated 06/29/2007. Collateralized by Freddie Mac 5.000% due 06/11/2009 valued at $1,827. Repurchase proceeds are $1,788.)
Total Short-Term Instruments (Cost $1,787)				1,787
Total Investments 99.9% (Cost $12,648,452)			$	12,814,423
Other Assets and Liabilities (Net) 0.1%				8,185
Net Assets 100.0%			$	12,822,608

Notes to Schedule of Investments:

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

(b) Institutional Class Shares of each PIMCO Fund.

See accompanying notes

Schedule of Investments

California Intermediate Municipal Bond Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 99.4%
Arkansas 0.7%
Jefferson County, Arkansas Pollution Revenue Bonds, Series 2006
4.600% due 10/01/2017	$	1,000	$	998
California 80.8%
Alameda, California 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 09/01/2022		2,000		985
0.000% due 09/01/2035		1,000		251
Antioch, California Public Financing Authority Revenue Notes, Series 1998
5.500% due 09/02/2008		465		472
Banning, California Unified School District General Obligation Notes, (FSA Insured), Series 2003
4.000% due 08/01/2012		225		226
Burbank, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 12/01/2009		100		100
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		2,057
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		2,057
California State Department of Water Resources Revenue Bonds, Series 1997
5.000% due 12/01/2022		125		127
California State Educational Facilities Authority Revenue Bonds, (MBIA Insured), Series 2001
0.000% due 10/01/2014		500		370
California State Educational Facilities Authority Revenue Bonds, Series 1997
5.700% due 10/01/2015		135		138
California State Educational Facilities Authority Revenue Notes, Series 2005
5.000% due 10/01/2012		540		560
5.000% due 10/01/2013		570		593
California State Educational Facilities Authority Revenue Notes, Series 2006
5.000% due 11/01/2014		750		787
California State Encinitas Union School District General Obligation Bonds, (MBIA Insured), Series 1996
0.000% due 08/01/2018		1,500		918
California State for Precious Veterans General Obligation Bonds, Series 2000
5.700% due 12/01/2032		160		162
California State General Obligation Bonds, (MBIA Insured), Series 2007
5.000% due 06/01/2018		1,250		1,329
California State Health Facilities Financing Authority Revenue Notes, (California Mortgage Insured), Series 2000
5.000% due 09/01/2010		350		359
California State Health Facilities Financing Authority Revenue Notes, Series 2005
5.000% due 07/01/2010		500		514
California State Hollister Joint Powers Financing Authority Revenue Bonds, (FSA Insured), Series 2006
4.500% due 06/01/2037		1,000		950
California State Housing Finance Agency Revenue Bonds, (AMBAC FHA Insured), Series 1996
5.950% due 02/01/2011		35		35
California State Housing Finance Agency Revenue Notes, (FGIC Insured), Series 2006
4.500% due 08/01/2012		1,400		1,403
California State Mobilehome Park Financing Authority Revenue Bonds, Series 2006
5.500% due 12/15/2041		165		166
California State Pollution Control Financing Authority Revenue Bonds, (FGIC Insured), Series 2004
4.750% due 12/01/2023		3,000		2,993
California State Pollution Control Financing Authority Revenue Bonds, Series 2002
5.000% due 01/01/2022		2,000		2,019
California State Public Works Board Lease Revenue Bonds, Series 2005
5.000% due 04/01/2017		2,000		2,101
California State Public Works Board Lease Revenue Notes, (FGIC Insured), Series 2006
5.000% due 10/01/2016		2,500		2,660
California State Sierra Kings Health Care District Revenue Bonds, Series 2006
6.000% due 12/01/2036		545		525
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2043		1,000		1,065
California State Tobacco Securitization Agency Revenue Bonds, Series 2006
0.000% due 06/01/2028 (c)		4,500		3,881
California Statewide Communities Development Authority Revenue Bonds, (California Mortgage Insured), Series 2001
5.000% due 10/01/2018		2,000		2,050
California Statewide Communities Development Authority Revenue Bonds, (XLCA Insured), Series 2006
4.100% due 04/01/2028		1,000		999
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		1,022
California Statewide Communities Development Authority Revenue Bonds, Series 2002
5.500% due 08/15/2034		1,000		1,044
6.750% due 07/01/2032 (f)		1,300		1,393
California Statewide Communities Development Authority Revenue Bonds, Series 2006
4.875% due 11/15/2036		400		390
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.125% due 07/15/2031		600		587
5.150% due 07/01/2030		650		635
California Statewide Communities Development Authority Revenue Notes, Series 2005
5.000% due 07/01/2013		850		883
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.500% due 11/01/2038		500		504
California Statewide Financing Authority Revenue Notes, Series 2002
4.600% due 05/01/2012		1,030		1,041
Campbell, California Redevelopment Agency Tax Allocation Notes, Series 2002
4.700% due 10/01/2011		505		514
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		775
Capistrano, California Unified School District Special Tax Bonds, Series 1999
5.700% due 09/01/2020		1,500		1,586
Capistrano, California Unified School District Special Tax Bonds, Series 2003
5.250% due 09/01/2016		700		715
5.375% due 09/01/2017		800		819
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		241
6.400% due 09/01/2018		120		126
Contra Costa County, California Public Financing Authority Tax Allocation Bonds, Series 2003
5.625% due 08/01/2033		2,000		2,071
Corona, California Community Facilities District Special Tax Bonds, Series 1998
5.875% due 09/01/2023		1,000		1,025
Desert Sands, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 06/01/2014		3,000		2,253
El Monte, California School District General Obligation Notes, (FGIC Insured), Series 2005
0.000% due 05/01/2012		1,555		1,279
El Monte, California School District General Obligation Notes, (FGIC Insured), Series 2006
0.000% due 06/01/2013		1,195		938
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021		535		541
6.250% due 06/01/2033		5,000		5,444
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.125% due 06/01/2047		3,000		2,913
Highland, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2007
4.750% due 12/01/2032		2,000		1,994
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		1,235
Los Altos, California School District General Obligation Bonds, Series 2001
5.000% due 08/01/2016		200		209
Los Angeles, California Department of Airports Revenue Notes, (MBIA Insured), Series 2006
5.000% due 05/15/2016		1,000		1,050
Los Angeles, California State Building Authority Revenue Notes, Series 1999
4.600% due 10/01/2007		150		150
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2003
5.000% due 07/01/2016		2,285		2,406
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		1,257
Modesto, California Irrigation District Certificates of Participation Notes, (AMBAC Insured), Series 2006
5.000% due 10/01/2015		3,545		3,763
Modesto, California Wastewater Revenue Bonds, (FSA Insured), Series 2005
5.000% due 11/01/2015		1,270		1,354
Moreno Valley, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
0.000% due 08/01/2023		1,000		472
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		2,083
Newport Mesa, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
0.000% due 08/01/2027		610		234
Orange County, California Community Facilities District Special Tax Bonds, Series 2000
5.600% due 08/15/2011		455		464
5.700% due 08/15/2012		485		495
5.800% due 08/15/2013		600		614
6.200% due 08/15/2018		1,025		1,053
Orange County, California Local Transportation Authority Revenue Bonds, (AMBAC-TCRS Insured), Series 1992
6.200% due 02/14/2011		3,250		3,464
Placer County, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2006
4.750% due 08/01/2036		1,350		1,354
Poway, California Unified School District Special Tax Bonds, Series 2005
5.125% due 09/01/2028		1,000		1,002
Redding, California Redevelopment Agency Tax Allocation Bonds, Series 2006
5.000% due 09/01/2036		1,250		1,253
Rio Vista, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 09/01/2009		170		169
Riverbank Redevelopment Agency of California Tax Allocation Bonds, Series 2007
4.100% due 08/01/2013		255		249
Riverside County, California Asset Leasing Corp. Revenue Bonds, (MBIA Insured), Series 2000
5.200% due 11/01/2010		250		260
Sacramento, California County Sanitation District Revenue Bonds, (FGIC Insured), Series 2006
5.000% due 12/01/2017		1,000		1,066
Sacramento, California Municipal Utility District Revenue Bonds, Series 1983
9.000% due 04/01/2013		675		776
San Diego County, California Certificates of Participation Notes, Series 2006
5.000% due 09/01/2013		1,340		1,384
San Fernando, California Redevelopment Agency Tax Allocation Bonds, Series 2006
4.500% due 09/15/2017		1,425		1,435
San Francisco, California City & County Airport Commission Revenue Bonds, (FSA Insured), Series 1998
5.500% due 05/01/2015		300		307
San Francisco, California City & County Unified School District General Obligation Notes, (FSA Insured), Series 2005
5.000% due 06/15/2015		1,100		1,169
San Joaquin, California Delta Community College District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2014		2,000		1,497
San Jose, California Multi-Family Housing Revenue Bonds, Series 1999
4.950% due 06/01/2039		930		938
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 1993
6.000% due 08/01/2010		195		207
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2002
5.000% due 08/01/2022		2,000		2,087
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2017		1,000		1,057
San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979
8.000% due 10/01/2011		80		85
San Ramon Valley, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 07/01/2018		6,500		3,995
South San Francisco, California School District Revenue Notes, (MBIA Insured), Series 2006
5.000% due 09/15/2014		500		531
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		1,367
University of California Revenue Bonds, (FSA Insured), Series 2005
5.000% due 05/15/2016		3,240		3,431
				114,342
Colorado 0.3%
Black Hawk, Colorado Revenue Bonds, Series 2006
5.000% due 12/01/2021		400		403
Louisiana 0.7%
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		1,000		1,065
Montana 0.4%
Hardin, Montana Tax Increment Infrastructure Development Tax Allocation Bonds, Series 2006
0.000% due 09/01/2031 (c)		830		546
New Jersey 0.2%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.800% due 04/01/2018		240		271
New York 0.7%
New York City, New York Industrial Development Agency Revenue Bonds, Series 2005
5.500% due 01/01/2016		1,000		1,073
Puerto Rico 10.0%
Commonwealth of Puerto Rico General Obligation Bonds, (Assured Guarantee Insured), Series 2006
5.231% due 07/01/2020		1,000		987
Commonwealth of Puerto Rico General Obligation Bonds, Series 2006
5.000% due 07/01/2035		1,000		1,018
Commonwealth of Puerto Rico Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2014		2,500		2,603
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2007
5.500% due 07/01/2021		2,500		2,728
Commonwealth of Puerto Rico Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998
5.250% due 07/01/2010		150		154
Commonwealth of Puerto Rico Public Buildings Authority Revenue Bonds, (Commonwealth Insured), Series 2004
5.000% due 07/01/2028		2,150		2,211
Commonwealth of Puerto Rico Public Finance Corporations Revenue Bonds, Series 2004
5.750% due 08/01/2027		3,250		3,428
Puerto Rico Children’s Trust Fund Revenue Notes, Series 2002
5.000% due 05/15/2009		1,000		1,014
				14,143
Texas 1.4%
Arlington, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
5.980% due 02/15/2024		250		255
Austin, Texas Revenue Bonds, (FSA Insured), Series 2007
5.000% due 11/15/2017 (a)		1,500		1,590
Houston, Texas Apartment System Revenue Bonds, Series 1997
6.125% due 07/15/2017		100		100
				1,945
Virgin Islands 4.2%
Virgin Islands Public Finance Authority Revenue Bonds, Series 1998
5.500% due 10/01/2008		3,000		3,046
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		1,250		1,372
Virgin Islands Public Finance Authority Revenue Notes, Series 1998
5.500% due 10/01/2007		1,500		1,505
				5,923
Total Municipal Bonds & Notes (Cost $139,156)				140,709
SHORT-TERM INSTRUMENTS 0.7%
Repurchase Agreements 0.5%
State Street Bank and Trust Co.
4.900% due 07/02/2007		766		766
(Dated 06/29/2007. Collateralized by Fannie Mae     3.250% due 08/15/2008 valued at $782. Repurchase proceeds are $766.)
U.S. Treasury Bills 0.2%
4.543% due 09/13/2007 (b)(d)		235		232
Total Short-Term Instruments (Cost $999)				998
Total Investments 100.1% (Cost $140,155)			$	141,707
Written Options (e) (0.0%) (Premiums $16)				(13	)
Other Assets and Liabilities (Net) (0.1%)				(167	)
Net Assets 100.0%			$	141,527

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) Securities with an aggregate market value of $232 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar September Futures	Long	09/2008	113	$	(122	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	45		(47	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	65		(88	)
				$	(257	)

(e) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	107.000	08/24/2007	50	$	16	$	13

(f) Restricted securities as of June 30, 2007:

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	%	07/01/2032	02/07/2002	$	1,300	$	1,393	0.98	%

See accompanying notes

Schedule of Investments

California Short Duration Municipal Income Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 93.8%
California 91.0%
Alameda County, California Certificates of Participation Bonds, (AMBAC Insured), Series 2007
5.000% due 12/01/2017	$	495	$	528
Brentwood Union School District, California General Obligation Bonds, (FGIC Insured), Series 2007
5.250% due 08/01/2017		110		120
Brentwood Union School District, California General Obligation Notes, (FGIC Insured), Series 2007
5.250% due 08/01/2016		135		147
California State Association of Bay Area Governments Financing Authority for Non-Profit Corporations Certificates of Participation Bonds, (AMBAC Insured), Series 1993
3.730% due 08/01/2023		200		200
California State Bay Area Toll Authority Revenue Bonds, (AMBAC Insured), Series 2001
3.550% due 04/01/2036		100		100
California State Department of Water Resources Revenue Bonds, (FSA Insured), Series 2002
3.650% due 05/01/2022		100		100
California State Department of Water Resources Revenue Bonds, (FSA Insured), Series 2005
3.650% due 05/01/2016		400		400
California State Department of Water Resources Revenue Notes, Series 2005
3.630% due 05/01/2011		100		100
California State Economic Recovery Revenue Bonds, (XLCA-ST-GTD Insured), Series 2004
3.510% due 07/01/2023		110		110
California State Health Facilities Financing Authority Revenue Bonds, Series 2004
3.690% due 07/01/2033		100		100
California State Housing Finance Agency Revenue Bonds, (FSA Insured), Series 2000
3.460% due 08/01/2015		100		100
California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2001
3.680% due 11/15/2037		500		500
California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2007
3.820% due 04/01/2033		500		500
California State Public Works Board Lease Revenue Bonds, (FGIC Insured), Series 2006
5.250% due 10/01/2017		380		413
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.150% due 07/01/2030		100		98
California Statewide Communities Development Authority Revenue Notes, (MBIA Insured), Series 2005
5.000% due 05/01/2015		150		159
East Bay, California Municipal Utility District Water System Revenue Bonds, (XLCA Insured), Series 2005
3.650% due 06/01/2038		500		500
Fresno, California Revenue Bonds, Series 2000
3.680% due 12/01/2030		150		150
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
6.750% due 06/01/2039		710		812
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.125% due 06/01/2047		200		194
Golden State, California Tobacco Securitization Corporations Revenue Bonds, (FGIC-TCRS Insured), Series 2003
5.625% due 06/01/2038		100		108
Hesperia, California Unified School District Certificates of Participation Bonds, (FSA Insured), Series 2004
3.650% due 02/01/2028		250		250
Lincoln, California Unified School District Special Tax Notes, (AMBAC Insured), Series 2006
5.000% due 09/01/2015		185		196
Los Angeles, California Department of Water & Power Revenue Bonds, Series 2001
3.710% due 07/01/2034		500		500
Metropolitan Water District of Southern California State Revenue Bonds, Series 2000
3.700% due 07/01/2035		300		300
Metropolitan Water District of Southern California State Revenue Bonds, Series 2001
3.620% due 07/01/2036		400		400
Metropolitan Water District of Southern California State Revenue Bonds, Series 2004
3.690% due 07/01/2023		150		150
Orange County, California Sanitation District Certificates of Participation Bonds, Series 2000
3.710% due 08/01/2030		300		300
Pittsburg, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2002
5.250% due 08/01/2013		100		107
Pleasanton, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 08/01/2015		150		160
Rio Vista, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 09/01/2009		100		99
Riverbank Redevelopment Agency of California Tax Allocation Notes, Series 2007
4.000% due 08/01/2012		145		142
Roseville, California Natural Gas Finance Authority Revenue Notes, Series 2007
5.000% due 02/15/2012		100		104
San Francisco County, California General Obligation Bonds, (MBIA Insured), Series 2005
3.630% due 06/15/2030		250		250
Santa Ana, California Certificates of Participation Bonds, (AMBAC Insured), Series 2003
5.000% due 06/01/2015		195		205
Santa Clara County, California Financing Authority Revenue Bonds, Series 1994
3.680% due 11/15/2025		500		500
Santa Clara Valley, California Water District Certificate Participation Notes, Series 2007
5.000% due 02/01/2016		150		159
Santa Monica, California Community College District General Obligation Notes, (FGIC Insured), Series 2007
0.000% due 08/01/2013		225		175
Sunnyvale, California Certificates of Participation Bonds, (AMBAC Insured), Series 2001
3.650% due 04/01/2031		500		500
Turlock, California Health Facilities Certificates of Participation Notes, Series 2004
3.750% due 10/15/2007		140		140
Upland, California Sate Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 2002
4.600% due 10/01/2016		100		103
Westminister, California Certificates of Participation Bonds, (AMBAC Insured), Series 1998
3.650% due 06/01/2022		90		90
				10,269
Delaware 0.9%
Delaware State Economic Development Authority Revenue Bonds, Series 1985
3.750% due 12/01/2015		100		100
Puerto Rico 0.1%
Commonwealth of Puerto Rico Revenue Notes, Series 2006
4.500% due 07/30/2007		15		15
Texas 0.9%
Texas State Municipal Power Agency Revenue Notes, Series 2006
4.500% due 08/31/2007		100		100
Washington 0.9%
King County, Washington Sewer Revenue Bonds, Series 2001
3.750% due 01/01/2032		100		100
Total Municipal Bonds & Notes (Cost $10,651)				10,584
SHORT-TERM INSTRUMENTS 5.2%
Repurchase Agreements 5.1%
State Street Bank and Trust Co.
4.900% due 07/02/2007		572		572
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $587. Repurchase proceeds are $572.)
U.S. Treasury Bills 0.1%
4.490% due 09/13/2007		10		10
Total Short-Term Instruments (Cost $582)				582
Total Investments 99.0% (Cost $11,233)			$	11,166
Written Options (a) (0.0%) (Premiums $1)				(1	)
Other Assets and Liabilities (Net) 1.0%				112
Net Assets 100.0%			$	11,277

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

(a) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	107.000	08/24/2007	2	$	1	$	1

See accompanying notes

Consolidated Schedule of Investments

CommodityRealReturn Strategy Fund^®

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.6%
Georgia-Pacific Corp.
7.110% due 12/20/2012	$	10,863	$	10,900
HCA, Inc.
7.600% due 11/14/2013		19,850		19,961
OAO Rosneft Oil Co.
6.000% due 09/16/2007		17,000		17,024
Shackleton Re Ltd.
12.875% due 08/01/2008		5,000		5,025
13.375% due 08/01/2008		3,000		3,022
SLM Corp.
6.000% due 06/30/2008		16,000		15,920
Total Bank Loan Obligations (Cost $71,587)				71,852
CORPORATE BONDS & NOTES 5.6%
Banking & Finance 3.8%
American Express Centurion Bank
5.320% due 05/07/2008		7,000		7,001
Atlantic & Western Re Ltd.
11.599% due 01/09/2009		15,000		15,138
Bank of America Corp.
5.366% due 11/06/2009		9,600		9,601
C5 Capital SPV Ltd.
6.196% due 12/01/2049		5,000		4,973
C10 Capital SPV Ltd.
6.722% due 12/31/2049		1,000		976
Calabash Re II Ltd.
13.760% due 01/08/2010		4,900		4,943
14.960% due 01/08/2010		2,500		2,614
16.260% due 01/08/2010		2,400		2,498
Caterpillar Financial Services Corp.
5.420% due 05/18/2009		2,400		2,403
CIT Group, Inc.
5.000% due 11/24/2008		24,000		23,852
Citigroup Funding, Inc.
5.320% due 04/23/2009		5,000		5,002
Citigroup, Inc.
5.390% due 12/28/2009		49,400		49,440
5.395% due 01/30/2009		11,200		11,207
Danske Bank A/S
5.914% due 12/29/2049		3,000		2,975
East Lane Re Ltd.
12.355% due 05/06/2011		4,300		4,321
Export-Import Bank of Korea
5.570% due 10/04/2011		15,200		15,217
Ford Motor Credit Co.
6.190% due 09/28/2007		1,200		1,200
7.250% due 10/25/2011		15,825		15,244
7.800% due 06/01/2012		1,000		977
7.875% due 06/15/2010		5,400		5,402
8.000% due 12/15/2016		200		192
Foundation Re II Ltd.
12.110% due 11/26/2010		10,500		10,544
General Electric Capital Corp.
5.355% due 10/24/2008		8,800		8,806
5.385% due 10/26/2009		10,700		10,708
5.400% due 12/12/2008		10,200		10,213
5.455% due 10/21/2010		4,500		4,509
HBOS Treasury Services PLC
5.397% due 07/17/2009		4,600		4,605
HSBC Finance Corp.
5.360% due 05/21/2008		400		400
5.415% due 10/21/2009		600		600
Kamp Re 2005 Ltd.
5.420% due 12/14/2007 (a)		5,000		3
Lehman Brothers Holdings, Inc.
5.410% due 12/23/2008		5,500		5,506
Longpoint Re Ltd.
10.609% due 05/08/2010		11,300		11,301
10.609% due 05/08/2010		600		600
Merrill Lynch & Co., Inc.
5.395% due 10/23/2008		26,300		26,339
Morgan Stanley
5.360% due 11/21/2008		3,100		3,100
5.595% due 01/22/2009		3,000		3,002
Mystic Re Ltd.
11.660% due 12/05/2008		6,600		6,561
14.360% due 12/05/2008		1,000		990
Osiris Capital PLC
10.356% due 01/15/2010		1,700		1,717
Phoenix Quake Wind I Ltd.
7.800% due 07/03/2008		2,000		2,007
Phoenix Quake Wind II Ltd.
8.850% due 07/03/2008		240		228
Rabobank Nederland
5.376% due 01/15/2009		9,200		9,206
Redwood Capital IX Ltd.
7.750% due 01/09/2008		2,400		2,410
12.110% due 01/09/2008		4,300		4,338
13.110% due 01/09/2008		300		303
Residential Reinsurance 2007 Ltd.
12.610% due 06/07/2010		14,100		14,123
15.610% due 06/07/2010		12,400		12,409
Royal Bank of Scotland Group PLC
5.405% due 07/21/2008		4,000		4,004
Santander U.S. Debt S.A. Unipersonal
5.420% due 09/19/2008		4,900		4,905
Shackleton Re Ltd.
13.355% due 02/07/2008		5,500		5,581
Travelers Property Casualty Corp.
3.750% due 03/15/2008		100		99
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		20,000		20,012
Vita Capital II Ltd.
6.249% due 01/01/2010		3,500		3,496
6.749% due 01/01/2010		5,500		5,528
Vita Capital III Ltd.
6.449% due 01/01/2011		300		300
6.469% due 01/01/2012		8,000		8,013
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		19,000		19,043
Wachovia Bank N.A.
5.430% due 12/02/2010		27,200		27,218
World Savings Bank FSB
5.485% due 03/02/2009		2,700		2,708
				440,611
Industrials 0.9%
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		2,050		2,060
C8 Capital SPV Ltd.
6.640% due 12/31/2049		6,500		6,406
Caesars Entertainment, Inc.
8.875% due 09/15/2008		9,800		10,094
CSC Holdings, Inc.
7.250% due 07/15/2008		1,400		1,414
7.875% due 12/15/2007		7,600		7,667
EchoStar DBS Corp.
5.750% due 10/01/2008		7,800		7,800
6.375% due 10/01/2011		8,000		7,860
El Paso Corp.
6.375% due 02/01/2009		5,600		5,641
HCA, Inc.
9.250% due 11/15/2016		5,000		5,338
Mandalay Resort Group
6.500% due 07/31/2009		2,000		2,010
9.500% due 08/01/2008		1,100		1,139
10.250% due 08/01/2007		2,400		2,409
Owens Brockway Glass Container, Inc.
8.875% due 02/15/2009		1,000		1,022
Pemex Project Funding Master Trust
7.375% due 12/15/2014		250		273
8.625% due 02/01/2022		200		247
9.250% due 03/30/2018		8,300		10,354
Royal Caribbean Cruises Ltd.
7.000% due 10/15/2007		1,900		1,915
Service Corp. International
6.500% due 03/15/2008		3,455		3,463
Williams Cos., Inc.
6.375% due 10/01/2010		20,000		20,150
				97,262
Utilities 0.9%
BellSouth Corp.
4.240% due 04/26/2008		59,500		58,979
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		100		102
CMS Energy Corp.
7.500% due 01/15/2009		13,000		13,396
9.875% due 10/15/2007		4,000		4,057
Dominion Resources, Inc.
5.540% due 11/14/2008		1,800		1,802
Embarq Corp.
7.082% due 06/01/2016		4,200		4,230
Midwest Generation LLC
8.300% due 07/02/2009		12,389		12,645
Mobile Telesystems Finance S.A.
9.750% due 01/30/2008		4,711		4,802
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		1,500		1,508
Qwest Corp.
5.625% due 11/15/2008		1,000		1,001
				102,522
Total Corporate Bonds & Notes (Cost $643,741)				640,395
CONVERTIBLE BONDS & NOTES 0.4%
Chesapeake Energy Corp.
2.500% due 05/15/2037		44,950		46,074
Total Convertible Bonds & Notes (Cost $45,406)				46,074
MUNICIPAL BONDS & NOTES 0.1%
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Bonds, Series 2002
6.375% due 06/01/2032		1,200		1,307
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		1,275		1,283
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.224% due 01/01/2014		1,270		1,288
6.225% due 01/01/2014		730		733
Kansas City, Kansas Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 09/01/2013		1,600		1,682
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		1,140		1,214
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.265% due 12/15/2013		1,270		1,252
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2032		1,200		1,271
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2028		1,000		1,062
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		3,115		3,384
Total Municipal Bonds & Notes (Cost $13,003)				14,476
COMMODITY INDEX-LINKED NOTES 27.6%
ABN AMRO Bank NV
5.165% due 03/07/2008		106,800		115,004
American International Group, Inc.
0.000% due 03/20/2008		114,000		108,294
Bank of America N.A.
5.190% due 10/22/2007		122,000		150,747
Barclays Bank PLC
0.000% due 06/03/2008		100,000		93,830
5.256% due 06/06/2008		150,000		141,586
Bear Stearns Cos., Inc.
0.000% due 10/19/2007 (k)		182,000		208,993
Calyon Financial, Inc.
0.000% due 07/16/2007		117,000		112,653
Commonwealth Bank of Australia
5.060% due 07/21/2008		147,000		133,954
Credit Suisse First Boston
5.255% due 01/14/2008 (k)		94,700		116,951
Deutsche Bank AG
0.000% due 07/27/2007 (k)		20,000		23,666
Eksportfinans ASA
0.000% due 06/18/2008		196,500		183,452
Goldman Sachs Group, Inc.
0.000% due 10/31/2007		40,000		45,925
JPMorgan & Co., Inc.
0.000% due 02/27/2008		100,000		111,330
Landesbank Baden-Wurttemberg
0.000% due 10/25/2007		197,000		237,389
Lehman Brothers Treasury Co. BV
0.000% due 05/15/2008		100,000		93,925
Merrill Lynch & Co., Inc.
0.000% due 05/30/2008		50,000		47,015
5.360% due 03/24/2008		98,000		104,414
Morgan Stanley
0.000% due 02/06/2008 (k)		150,000		173,392
Natixis Financial Products, Inc.
0.000% due 05/30/2008		75,000		70,148
5.157% due 05/09/2008		86,000		83,681
Rabobank Nederland
0.000% due 07/22/2008		200,000		199,271
Svensk ExportKredit AB
0.000% due 05/19/2008		88,000		82,275
5.595% due 10/25/2007 (k)		125,000		150,672
TD NY LLC
0.000% due 01/17/2008		217,000		277,285
UBS AG
0.000% due 03/12/2008		81,000		89,988
Total Commodity Index-Linked Notes (Cost $2,957,000)				3,155,840
U.S. GOVERNMENT AGENCIES 12.7%
Fannie Mae
4.656% due 04/01/2035		629		628
4.671% due 05/01/2035		1,294		1,278
5.000% due 07/01/2035 - 03/01/2036		28,697		26,967
5.450% due 03/25/2036		3,493		3,500
5.500% due 01/01/2034 - 08/01/2037		1,066,412		1,028,301
5.950% due 02/25/2044		11,167		11,142
6.000% due 06/01/2031 - 07/01/2037		189,669		187,710
6.183% due 07/01/2044 - 10/01/2044		6,960		7,049
Freddie Mac
5.000% due 01/15/2018 - 08/15/2020		15,929		15,660
5.500% due 05/15/2016		11,648		11,648
5.550% due 07/15/2037		115,300		115,291
5.720% due 11/15/2016 - 03/15/2017		3,435		3,457
Ginnie Mae
5.500% due 07/01/2037		37,000		35,907
Total U.S. Government Agencies (Cost $1,452,985)				1,448,538
U.S. TREASURY OBLIGATIONS 102.5%
Treasury Inflation Protected Securities (c)
0.875% due 04/15/2010		2,140,249		2,033,239
1.625% due 01/15/2015		209,749		195,034
1.875% due 07/15/2013		581,277		557,754
1.875% due 07/15/2015		911,494		861,647
2.000% due 04/15/2012		162,757		158,014
2.000% due 01/15/2014		517,536		497,522
2.000% due 07/15/2014		783,561		752,403
2.000% due 01/15/2016		306,160		290,780
2.000% due 01/15/2026		345,627		313,171
2.375% due 01/15/2017		234,651		229,170
2.375% due 01/15/2025		1,344,452		1,293,196
2.375% due 01/15/2027		104,950		100,817
2.500% due 07/15/2016		403,849		399,464
3.000% due 07/15/2012		835,989		852,448
3.375% due 01/15/2012		5,529		5,709
3.375% due 04/15/2032		57,174		65,821
3.500% due 01/15/2011		276,384		284,438
3.625% due 01/15/2008		15,296		15,311
3.625% due 04/15/2028		900,088		1,043,048
3.875% due 01/15/2009		99,602		101,221
3.875% due 04/15/2029		668,962		807,877
4.250% due 01/15/2010		489,978		508,697
U.S. Treasury Bonds
6.000% due 02/15/2026		14,800		16,160
6.250% due 08/15/2023		3,000		3,332
8.875% due 08/15/2017		20,000		25,916
U.S. Treasury Notes
4.500% due 02/28/2011		45,400		44,797
4.625% due 02/15/2017		31,500		30,516
4.875% due 01/31/2009		100		100
4.875% due 04/30/2011		230,200		229,930
Total U.S. Treasury Obligations (Cost $12,006,349)				11,717,532
MORTGAGE-BACKED SECURITIES 2.3%
American Home Mortgage Investment Trust
5.470% due 09/25/2035		1,178		1,179
Arkle Master Issuer PLC
5.300% due 11/19/2007		14,400		14,405
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		5,919		5,926
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		2,406		2,402
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		6,656		6,703
Countrywide Alternative Loan Trust
5.400% due 09/20/2046		7,137		7,140
5.500% due 02/20/2047		15,378		15,358
5.500% due 05/25/2047		6,530		6,548
5.600% due 12/25/2035		1,048		1,050
Countrywide Home Loan Mortgage Pass-Through Trust
5.660% due 06/25/2035		7,562		7,549
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.400% due 02/25/2037		1,499		1,500
5.420% due 10/25/2036		10,236		10,245
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		7,296		7,303
GSR Mortgage Loan Trust
4.538% due 09/25/2035		24,292		23,944
Harborview Mortgage Loan Trust
5.410% due 01/19/2038		4,419		4,425
5.540% due 05/19/2035		3,066		3,070
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		3,748		3,751
Indymac Index Mortgage Loan Trust
5.410% due 11/25/2046		10,564		10,571
Residential Accredit Loans, Inc.
5.620% due 08/25/2035		4,101		4,109
Securitized Asset Sales, Inc.
7.542% due 11/26/2023		120		119
Structured Asset Mortgage Investments, Inc.
5.390% due 08/25/2036		8,137		8,144
Structured Asset Securities Corp.
5.329% due 10/25/2035		7,390		7,383
5.370% due 05/25/2036		724		724
TBW Mortgage-Backed Pass-Through Certificates
5.420% due 09/25/2036		1,476		1,477
Thornburg Mortgage Securities Trust
5.430% due 04/25/2036		1,174		1,175
5.430% due 12/25/2036		1,703		1,703
5.440% due 08/25/2036		22,827		22,817
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		43,297		43,320
Washington Mutual, Inc.
5.724% due 07/25/2046		19,788		19,880
5.839% due 12/25/2046		4,038		4,041
6.229% due 11/25/2042		1,332		1,333
6.529% due 11/25/2046		3,324		3,338
Wells Fargo Mortgage-Backed Securities Trust
3.539% due 09/25/2034		5,612		5,469
4.110% due 06/25/2035		7,597		7,560
Total Mortgage-Backed Securities (Cost $265,527)				265,661
ASSET-BACKED SECURITIES 2.5%
Aames Mortgage Investment Trust
5.380% due 04/25/2036		696		696
ACE Securities Corp.
5.370% due 07/25/2036		4,769		4,770
Argent Securities, Inc.
5.370% due 10/25/2036		9,779		9,785
Asset-Backed Funding Certificates
5.380% due 11/25/2036		1,708		1,709
5.670% due 06/25/2034		11,538		11,571
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		1,426		1,427
Bank One Issuance Trust
5.430% due 12/15/2010		1,700		1,703
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		1,309		1,309
5.400% due 10/25/2036		1,646		1,647
5.650% due 01/25/2036		1,731		1,732
5.770% due 03/25/2043		191		191
Chase Credit Card Master Trust
5.440% due 02/15/2010		3,100		3,103
Chase Issuance Trust
5.330% due 12/15/2010		3,960		3,963
Citigroup Mortgage Loan Trust, Inc.
5.370% due 11/25/2036		3,733		3,736
Countrywide Asset-Backed Certificates
5.350% due 01/25/2046		12,452		12,455
5.370% due 01/25/2037		7,766		7,770
5.370% due 03/25/2037		7,084		7,088
5.380% due 09/25/2046		4,442		4,443
5.430% due 10/25/2046		10,553		10,558
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		20,958		20,971
First NLC Trust
5.440% due 02/25/2036		1,106		1,107
Fremont Home Loan Trust
5.370% due 10/25/2036		1,732		1,733
5.380% due 01/25/2037		1,573		1,572
5.490% due 01/25/2036		1,939		1,940
GSAMP Trust
5.360% due 10/25/2046		3,248		3,250
5.390% due 10/25/2036		1,097		1,098
GSR Mortgage Loan Trust
5.420% due 11/25/2030		315		315
Honda Auto Receivables Owner Trust
5.342% due 11/15/2007		2,034		2,036
HSI Asset Securitization Corp. Trust
5.370% due 10/25/2036		2,066		2,065
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		404		404
Indymac Residential Asset-Backed Trust
5.370% due 11/25/2036		3,978		3,981
JPMorgan Mortgage Acquisition Corp.
5.360% due 08/25/2036		1,767		1,768
5.370% due 07/25/2036		3,687		3,689
5.370% due 08/25/2036		9,724		9,730
5.390% due 11/25/2036		2,467		2,469
5.530% due 06/25/2035		361		362
Lehman XS Trust
5.400% due 07/25/2046		7,649		7,653
5.400% due 11/25/2046		11,919		11,925
Long Beach Mortgage Loan Trust
5.350% due 06/25/2036		547		547
5.360% due 11/25/2036		1,621		1,622
MASTR Asset-Backed Securities Trust
5.380% due 10/25/2036		448		449
5.400% due 01/25/2036		780		781
MBNA Credit Card Master Note Trust
5.420% due 12/15/2011		1,300		1,303
5.501% due 09/15/2010		2,000		2,004
Merrill Lynch Mortgage Investors, Inc.
5.370% due 05/25/2037		6,814		6,816
5.380% due 04/25/2037		664		665
5.380% due 10/25/2037		6,473		6,477
5.390% due 07/25/2037		6,730		6,734
5.400% due 01/25/2037		1,125		1,126
Morgan Stanley ABS Capital I
5.350% due 06/25/2036		508		508
5.360% due 06/25/2036		1,070		1,070
5.360% due 10/25/2036		7,160		7,163
5.370% due 09/25/2036		5,912		5,914
5.400% due 12/25/2035		202		202
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		1,522		1,522
Option One Mortgage Loan Trust
5.360% due 02/25/2037		923		924
5.370% due 07/25/2036		842		843
Park Place Securities, Inc.
5.580% due 09/25/2035		670		672
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		2,553		2,554
Residential Asset Securities Corp.
5.390% due 04/25/2036		740		741
5.390% due 11/25/2036		20,055		20,069
5.410% due 01/25/2036		761		762
Securitized Asset-Backed Receivables LLC Trust
5.370% due 09/25/2036		2,398		2,400
SLM Student Loan Trust
5.325% due 10/25/2012		4,670		4,672
5.325% due 07/25/2013		1,808		1,809
5.335% due 04/25/2012		2,960		2,962
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		8,492		8,498
5.380% due 11/25/2036		5,003		5,003
5.390% due 03/25/2036		48		48
5.420% due 12/25/2035		558		558
5.420% due 10/25/2036		2,598		2,600
5.550% due 06/25/2035		701		702
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		968		968
5.365% due 11/25/2037		1,045		1,045
Structured Asset Investment Loan Trust
5.370% due 07/25/2036		1,017		1,016
Structured Asset Securities Corp.
5.370% due 10/25/2036		10,791		10,795
5.400% due 11/25/2035		2,091		2,092
WFS Financial Owner Trust
3.590% due 10/19/2009		2,762		2,746
Total Asset-Backed Securities (Cost $286,946)				287,106
FOREIGN CURRENCY-DENOMINATED ISSUES 1.3%
Canadian Government Bond
3.000% due 12/01/2036 (c)	CAD	21,882		24,642
France Government Bond
3.000% due 07/25/2012 (c)	EUR	11,185		15,563
3.150% due 07/25/2032 (c)		1,097		1,702
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (c)		4,344		5,733
2.350% due 09/15/2035 (c)		10,639		13,554
Pylon Ltd.
5.648% due 12/18/2008 (k)		3,700		5,056
8.048% due 12/18/2008		4,300		5,941
Republic of Germany
5.625% due 01/04/2028		8,400		12,676
Sweden Government CPI Linked Bond
3.500% due 12/01/2015	SEK	12,000		2,180
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	12,000		61,959
Total Foreign Currency-Denominated Issues (Cost $140,464)				149,006
	Shares
PREFERRED STOCKS 0.0%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		2,700		2,721
Total Preferred Stocks (Cost $2,775)				2,721
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 9.7%
Certificates of Deposit 3.4%
Abbey National Treasury Services PLC
5.270% due 07/02/2008	$	112,700		112,748
Calyon Financial, Inc.
5.340% due 01/16/2009		11,300		11,302
Fortis Bank NY
5.265% due 04/28/2008		28,000		28,015
5.265% due 06/30/2008		900		900
Nordea Bank Finland PLC
5.262% due 03/31/2008		3,600		3,601
5.282% due 12/01/2008		5,500		5,501
Skandinav Enskilda BK
5.272% due 08/21/2008		16,900		16,900
Societe Generale NY
5.269% due 06/30/2008		192,600		192,718
Unicredito Italiano NY
5.358% due 05/06/2008		14,500		14,504
				386,189
Commercial Paper 4.4%
ANZ National International Ltd.
5.225% due 09/19/2007		16,900		16,890
5.235% due 09/19/2007		1,800		1,787
ASB Finance Ltd.
5.235% due 09/20/2007		15,000		14,906
5.255% due 09/20/2007		3,600		3,557
Australia and New Zealand Banking Group Ltd.
5.245% due 09/19/2007		1,500		1,482
Bank of America Corp.
5.195% due 10/04/2007		3,800		3,789
5.205% due 10/04/2007		1,800		1,785
5.215% due 10/04/2007		100		99
5.220% due 10/04/2007		1,200		1,200
5.245% due 10/04/2007		13,600		13,433
Bank of Ireland
5.165% due 11/08/2007		17,200		16,871
5.230% due 11/08/2007		2,200		2,184
Barclays U.S. Funding Corp.
5.230% due 09/26/2007		4,500		4,486
5.235% due 09/26/2007		5,900		5,857
5.240% due 09/26/2007		3,200		3,177
5.245% due 09/26/2007		500		495
CBA (de) Finance
5.225% due 09/28/2007		600		598
Cox Communications, Inc.
5.570% due 09/17/2007		12,300		12,300
Danske Corp.
5.220% due 10/12/2007		1,400		1,398
5.235% due 10/12/2007		400		396
Dexia Delaware LLC
5.225% due 09/21/2007		19,800		19,694
DnB NORBank ASA
5.210% due 10/12/2007		2,100		2,085
5.225% due 10/12/2007		12,900		12,900
Fortis Funding LLC
5.255% due 09/05/2007		1,300		1,297
5.275% due 09/05/2007		14,500		14,452
Freddie Mac
4.800% due 07/02/2007		110,400		110,400
General Electric Capital Corp.
5.170% due 11/06/2007		2,100		2,060
HBOS Treasury Services PLC
5.225% due 11/13/2007		400		400
5.230% due 09/21/2007		3,500		3,484
5.235% due 11/13/2007		4,400		4,366
5.245% due 11/13/2007		2,500		2,471
5.250% due 09/21/2007		400		395
5.255% due 11/13/2007		4,500		4,441
ING U.S. Funding LLC
5.220% due 09/21/2007		1,500		1,499
Intesa Funding LLC
5.240% due 09/05/2007		18,400		18,218
Natixis S.A.
5.240% due 09/21/2007		19,900		19,817
Nordea N.A., Inc.
5.225% due 07/26/2007		3,300		3,289
San Paolo IMI U.S. Financial Co.
5.330% due 08/08/2007		2,900		2,900
Societe Generale NY
5.245% due 11/26/2007		27,700		27,369
Stadshypoket Delaware, Inc.
5.205% due 09/11/2007		17,100		16,976
5.230% due 09/11/2007		2,800		2,779
Statens Bostadsfin Bank
5.255% due 09/14/2007		18,500		18,292
Svenska Handelsbanken, Inc.
5.185% due 10/09/2007		14,900		14,885
5.200% due 10/09/2007		1,200		1,192
Swedbank AB
5.225% due 09/06/2007		3,400		3,382
5.230% due 09/06/2007		16,100		16,044
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		15,600		15,600
UBS Finance Delaware LLC
5.200% due 10/23/2007		1,200		1,180
5.215% due 10/23/2007		100		99
5.230% due 10/23/2007		4,400		4,385
5.235% due 10/23/2007		500		495
5.240% due 10/23/2007		12,700		12,576
Unicredito Italiano SpA
5.185% due 01/22/2008		3,300		3,228
5.200% due 01/22/2008		12,500		12,284
5.235% due 01/22/2008		700		694
Westpac Banking Corp.
5.195% due 11/05/2007		2,800		2,788
5.230% due 11/05/2007		500		498
5.240% due 11/05/2007		900		889
Westpac Trust Securities NZ Ltd.
5.230% due 10/19/2007		600		598
5.260% due 10/19/2007		14,300		14,127
				501,218
Repurchase Agreements 0.1%
Lehman Brothers, Inc.
4.000% due 07/02/2007		7,000		7,000
(Dated 06/29/2007. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2014 valued at $7,183. Repurchase proceeds are $7,002.)
Tri-party Repurchase Agreements 0.1%
State Street Bank and Trust Co.
4.900% due 07/02/2007		9,563		9,563
(Dated 06/29/2007. Collateralized by Fannie Mae 6.210% due 08/06/2038 valued at $9,757. Repurchase proceeds are $9,567.)
U.S. Treasury Bills 1.7%
4.565% due 08/30/2007 - 09/13/2007 (b)(d)(e)(g)		200,995		198,968
Total Short-Term Instruments (Cost $1,102,978)				1,102,938
Purchased Options (i) 0.1% (Cost $16,700)				14,267
Total Investments (f) 165.4% (Cost $19,005,461)			$	18,916,406
Written Options (j) (0.1%) (Premiums $18,991)				(12,033	)
Other Assets and Liabilities (Net) (65.3%)				(7,470,967	)
Net Assets 100.0%			$	11,433,406

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) Securities with an aggregate market value of $87,041 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(e) Securities with an aggregate market value of $7,229 have been pledged as collateral for delayed-delivery securities on June 30, 2007.

(f) As of June 30, 2007, portfolio securities with an aggregate value of $3,412,698 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Securities with an aggregate market value of $27,754 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	818	$	(250	)
90-Day Euribor June Futures	Long	06/2009	818		(186	)
90-Day Euribor March Futures	Long	03/2009	818		(219	)
90-Day Euribor September Futures	Long	09/2008	818		(250	)
90-Day Eurodollar December Futures	Short	12/2007	354		479
90-Day Eurodollar December Futures	Long	12/2008	1,135		246
90-Day Eurodollar June Futures	Short	06/2008	2,193		2,272
90-Day Eurodollar June Futures	Long	06/2009	1,996		16
90-Day Eurodollar March Futures	Short	03/2008	1,680		2,072
90-Day Eurodollar March Futures	Long	03/2009	2,564		114
90-Day Eurodollar September Futures	Long	09/2008	21		8
90-Day Eurodollar September Futures	Short	09/2008	1,969		1,996
Japan Government 10-Year Bond September Futures	Long	09/2007	187		(449	)
U.S. Treasury 5-Year Note September Futures	Short	09/2007	1,130		(973	)
U.S. Treasury 10-Year Note September Futures	Long	09/2007	1,393		(1,260	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	3,658		2,013
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	5,148		(8,938	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	3,911		(7,269	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	2,500		(5,516	)
				$	(16,094	)

(h) Swap agreements outstanding on June 30, 2007:

Commodity Swaps

Counterparty	Type	Commodity Exchange	Pay/Receive Commodity Exchange	Fixed Price Per Unit		Expiration Date	Units	Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Short	NYMEX WTI Crude Futures	Receive	$	70.000	11/15/2007	500	$	(705	)
Barclays Bank PLC	Long	NYMEX WTI Crude Futures	Pay		70.980	11/19/2008	500		742
Barclays Bank PLC	Short	LMEX Aluminum Hg Futures	Receive		26,700.000	12/15/2008	7		(130	)
Barclays Bank PLC	Long	LMEX Aluminum Hg Futures	Pay		2,300.000	12/13/2010	7		712
Morgan Stanley	Long	NYMEX Heating Oil Futures	Pay		208.850	11/19/2007	4,200		121
Morgan Stanley	Short	ICEX Gas Oil Futures	Receive		641.455	12/21/2007	13		(40	)
Morgan Stanley	Long	ICEX Brent Crude Futures	Pay		67.030	11/14/2012	3,546		5,706
Morgan Stanley	Short	NYMEX Crude Oil Futures	Receive		67.700	11/19/2012	3,546		(7,079	)
								$	(673	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.100	%	06/20/2011	$	3,500	$	152
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		9,600		49
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		26,000		8
Barclays Bank PLC	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.350	%	12/20/2008		17,700		18
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.330	%	12/20/2008		17,700		11
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		3,000		9
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.780	%	12/20/2008		17,700		70
Citibank N.A.	Glitnir Banki HF 6.330% due 07/28/2011	Buy	(0.290	%)	06/20/2012		11,500		(9	)
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.970	%	06/20/2012		3,100		(41	)
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.010	%	06/20/2012		4,200		(48	)
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.040	%	06/20/2012		3,700		(38	)
Deutsche Bank AG	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.260	%	12/20/2007		13,000		3
Deutsche Bank AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.140	%	06/20/2008		50,000		(20	)
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.510	%	12/20/2008		36,000		69
Deutsche Bank AG	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.325	%	12/20/2008		18,800		10
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		7,000		22
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.790	%	12/20/2008		18,800		78
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.300	%	09/20/2007		6,200		28
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.450	%	09/20/2007		10,400		51
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.350	%	09/20/2007		1,600		7
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.280	%	11/20/2007		14,000		8
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		17,000		15
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.200	%	07/20/2007		4,000		4
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		2,000		1
Lehman Brothers, Inc.	Peru Government International Bond 9.125% due 02/21/2012	Sell	0.370	%	12/20/2008		17,100		23
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		5,400		26
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.250	%	09/20/2007		3,000		13
Morgan Stanley	Russia Government International Bond 7.500% 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		3
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		5,000		1
Royal Bank of Scotland Group PLC	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.290	%)	06/20/2012		8,300		(6	)
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		1,200		6
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.250	%	09/20/2007		4,400		54
UBS Warburg LLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.620	%	06/20/2011		1,000		61
								$	640

⁽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	6.500	%	01/15/2010	AUD	6,600	$	(46	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		197,500		(1,335	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		554,900		(602	)
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		33,400		(235	)
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		105,900		(690	)
Bank of America	3-Month Canadian Bank Bill	Receive	5.000	%	06/15/2015	CAD	32,000		813
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500	%	06/15/2025		9,000		(524	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		262,500		47
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	4,900		67
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		6,000		(150	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012		3,500		(36	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012		9,200		(98	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.238	%	06/20/2012		40,000		210
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.138	%	01/19/2016		32,700		200
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	09/14/2010		30,000		388
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		32,700		470
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.040	%	02/21/2011		21,200		155
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.988	%	12/15/2011		71,500		(302	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.983	%	03/15/2012		5,500		(47	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.150	%	01/19/2016		45,000		360
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		66,900		(192	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		42,900		(251	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		6,600		(57	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.028	%	10/15/2011		25,900		134
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		46,200		(242	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		8,500		(81	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		42,400		(449	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		25,000		144
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		32,400		3,079
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		5,700		(54	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		13,600		(136	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		23,700		336
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.095	%	10/15/2011		39,400		383
UBS Warburg LLC	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275	%	10/15/2016		26,000		83
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		26,000		99
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2008	GBP	7,000		(98	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		193,200		(7,168	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		41,300		(3,682	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		56,700		4,627
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	09/15/2015		45,500		4,376
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		4,600		420
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		29,500		7,498
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.381	%	06/14/2027		8,000		57
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		22,000		(921	)
UBS Warburg LLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2008		8,800		(122	)
UBS Warburg LLC	United Kingdom RPI Index	Pay	2.548	%	11/14/2016		35,000		(828	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	34,100,000		(49	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	167,000		645
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.330	%	02/14/2017		124,500		189
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		488,300		175
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		698,100		736
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		640,600		504
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/20/2027	$	18,000		(1,201	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		99,900		(111	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		197,600		630
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		93,000		(586	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		154,400		322
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		288,800		406
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		4,800		(30	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2021		72,500		516
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		76,800		272
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		75,000		926
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		136,150		(153	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		74,100		2,620
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		33,000		(77	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		24,900		34
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		155,700		(1,218	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		170,000		(1,594	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		95,900		(622	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		10,100		165
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		115,500		424
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		514,400		(3,407	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		793,000		(216	)
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		121,700		(1,518	)
								$	3,382

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized Appreciation
AIG	Long	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/27/2007	1,299,657	$	1,728
Barclays Bank PLC	Long	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/27/2007	1,855,148		2,341
Goldman Sachs & Co.	Long	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/27/2007	1,066,178		1,346
JPMorgan Chase & Co.	Long	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/27/2007	10,657		13
Lehman Brothers, Inc.	Long	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/27/2007	841,131		1,084
Morgan Stanley	Long	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/27/2007	19,507,607		2,169
Morgan Stanley	Long	S&P GSCI Commodity Index	3-Month U.S. Treasury Bill rate plus a specified spread	07/27/2007	769,791		1,535
						$	10,216

(i) Purchased options outstanding on June 30, 2007:

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	4.750	%	03/31/2008	$	499,000	$	2,794	$	616
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		95,600		483		188
									$	3,277	$	804

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Euro versus U.S. dollar	$	1.353	06/26/2008	EUR	55,300	$	1,740	$	1,417
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	221,900		5,841		5,739
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		221,900		5,842		6,048
						$	13,423	$	13,204

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.	JPY	0.000	06/21/2007	$	221,900	$	0	$	0
Call & Put - OTC U.S. dollar versus Swiss franc Forward Delta Neutral Straddle	Credit Suisse First Boston	CHF	0.000	09/26/2007		47,800		0		80
Call & Put - OTC U.S. dollar versus Swiss franc Forward Delta Neutral Straddle	JPMorgan Chase & Co.		0.000	09/26/2007		16,200		0		27
Call & Put - OTC U.S. dollar versus Swiss franc Forward Delta Neutral Straddle	Royal Bank of Scotland Group PLC		0.000	09/26/2007		58,000		0		152
							$	0	$	259

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

(j) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.000	08/24/2007	228	$	60	$	139
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	2,128		259		100
Call - CBOT U.S. Treasury 30-Year Bond September Futures		109.000	08/24/2007	1,269		425		833
Call - OTC Dow Jones - AIG Commodity Index Total Return Futures		193.000	10/19/2007	50,000,000		1,395		218
Call - OTC Dow Jones - AIG Commodity Index Total Return Futures		195.000	01/09/2008	10,000,000		232		103
Call - OTC Dow Jones - AIG Commodity Index Total Return Futures		191.000	01/22/2008	7,000,000		160		108
Call - OTC Dow Jones - AIG Commodity Index Total Return Futures		230.000	10/19/2010	68,000,000		3,401		2,365
Put - CBOT U.S. Treasury 10-Year Note September Futures		103.000	08/24/2007	228		63		25
Put - OTC Dow Jones - AIG Commodity Index Total Return Futures		151.000	10/19/2007	50,000,000		1,770		321
Put - OTC Dow Jones - AIG Commodity Index Total Return Futures		150.000	01/09/2008	10,000,000		309		114
Put - OTC Dow Jones - AIG Commodity Index Total Return Futures		144.000	01/22/2008	7,000,000		223		49
Put - OTC Dow Jones - AIG Commodity Index Total Return Futures		150.000	10/19/2010	68,000,000		5,657		4,554
Put - OTC Goldman Sachs - Commodity Index Total Return Futures		82.000	12/19/2008	89,000,000		178		125
					$	14,132	$	9,054

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	4.950	%	03/31/2008	$	215,000	$	2,644	$	735
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		42,000		475		212
									$	3,119	$	947

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Call - OTC Euro versus U.S. dollar	$	1.353	06/26/2008	EUR	55,300	$	1,740	$	2,032

(k) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Bear Stearns Cos., Inc.	0.000	%	10/19/2007	06/22/2007	$	182,000	$	208,993	1.83	%
Credit Suisse First Boston	5.255	%	01/14/2008	01/05/2007		94,700		116,951	1.02	%
Deutsche Bank AG	0.000	%	07/27/2007	10/06/2006		20,000		23,666	0.21	%
Morgan Stanley	0.000	%	02/06/2008	01/25/2007		150,000		173,392	1.52	%
Pylon Ltd.	5.648	%	12/18/2008	12/11/2003		4,573		5,056	0.04	%
Svensk ExportKredit AB	5.595	%	10/25/2007	09/18/2006		125,000		150,672	1.32	%
					$	571,700	$	673,674	5.94	%

(l) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Treasury Inflation Protected Securities	2.375	%	04/15/2011	$	96,244	$	94,548	$	95,815
Treasury Inflation Protected Securities	2.375	%	01/15/2017		3,708		3,596		3,624
U.S. Treasury Notes	3.000	%	11/15/2007		1,000		993		997
U.S. Treasury Notes	3.375	%	02/15/2008		75,000		74,254		75,282
U.S. Treasury Notes	4.750	%	05/15/2014		61,700		60,933		61,386
						$	234,324	$	237,104

⁽³⁾ Market value includes $2,052 of interest payable on short sales.

(m) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	347	07/2007	$	2	$	0		$	2
Buy	BRL	55,275	10/2007		43		(213	)		(170	)
Sell	CAD	24,742	08/2007		0		(103	)		(103	)
Sell	CHF	11,295	09/2007		1		0			1
Buy	CNY	341,558	09/2007		867		0			867
Buy		647,498	01/2008		453		0			453
Buy		959,825	03/2008		0		(681	)		(681	)
Sell	EUR	42,655	07/2007		0		(558	)		(558	)
Sell	GBP	67,636	08/2007		0		(706	)		(706	)
Sell	JPY	1,231,735	07/2007		144		0			144
Buy	KRW	1,801,556	07/2007		8		0			8
Buy		24,562,106	09/2007		107		0			107
Buy	MXN	250,644	09/2007		19		(42	)		(23	)
Buy		59,828	03/2008		62		0			62
Buy	PLN	83,399	09/2007		544		0			544
Buy	RUB	23,123	12/2007		20		0			20
Buy		736,508	01/2008		249		0			249
Sell	SEK	15,255	09/2007		0		(27	)		(27	)
Buy	SGD	40,781	07/2007		107		0			107
Sell		24,657	07/2007		0		(95	)		(95	)
Buy		2,982	08/2007		9		0			9
Buy		40,606	10/2007		133		0			133
Buy	CNY	29,128	01/2008		20		0			20
Buy		28,388	03/2008		0		(20	)		(20	)
Buy		46,765	03/2009		0		(11	)		(11	)
				$	2,788	$	(2,456	)	$	332

Schedule of Investments

Convertible Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.4%
Berry Plastics Holding Corp.
11.610% due 06/15/2014	$	175	$	174
Verso Paper Holdings LLC
11.606% due 02/01/2013		300		302
Total Bank Loan Obligations (Cost $467)				476
CORPORATE BONDS & NOTES 7.6%
Banking & Finance 1.4%
Ajax Re Ltd.
11.610% due 05/08/2009		125		125
Bluewater Finance Ltd.
10.250% due 02/15/2012		500		524
Ford Motor Credit Co.
8.105% due 01/13/2012		500		499
Hexion U.S. Finance Corp.
9.750% due 11/15/2014		175		182
Yankee Acquisition Corp.
9.750% due 02/15/2017 (c)		175		170
				1,500
Industrials 6.0%
Bon-Ton Stores, Inc.
10.250% due 03/15/2014 (c)		750		763
CCH I Holdings LLC
9.920% due 04/01/2014 (c)		125		116
CCO Holdings LLC
8.750% due 11/15/2013		400		409
Charter Communications Operating LLC
8.375% due 04/30/2014		250		256
Continental Airlines, Inc.
9.798% due 04/01/2021		235		261
Digicel Group Ltd.
8.875% due 01/15/2015		175		172
Freeport-McMoRan Copper & Gold, Inc.
8.375% due 04/01/2017		150		161
Freescale Semiconductor, Inc.
9.235% due 12/15/2014		425		412
10.125% due 12/15/2016 (c)		750		709
Intelsat Bermuda Ltd.
8.872% due 01/15/2015		500		513
JetBlue Airways Corp.
9.610% due 03/15/2008		174		177
MacDermid, Inc.
9.500% due 04/15/2017		150		152
NPC International, Inc.
9.500% due 05/01/2014		300		292
Pilgrim’s Pride Corp.
8.375% due 05/01/2017		170		169
Spansion, Inc.
8.485% due 06/01/2013		500		502
Tenet Healthcare Corp.
9.250% due 02/01/2015		175		167
TL Acquisitions, Inc.
10.500% due 01/15/2015 (a)		300		292
United Surgical Partners International, Inc.
8.875% due 05/01/2017		125		126
Verso Paper Holdings LLC
11.375% due 08/01/2016		500		536
West Corp.
9.500% due 10/15/2014		500		515
				6,700
Utilities 0.2%
MetroPCS Wireless, Inc.
9.250% due 11/01/2014		250		259
Total Corporate Bonds & Notes (Cost $8,482)				8,459
CONVERTIBLE BONDS & NOTES 64.6%
Banking & Finance 6.9%
American Equity Investment Life Holding Co.
5.250% due 12/06/2024		250		284
AngloGold Ashanti Holdings PLC
2.375% due 02/27/2009		100		99
Countrywide Financial Corp.
1.860% due 04/15/2037		1,250		1,223
Deutsche Bank AG
0.000% due 09/29/2008		600		564
ERP Operating LP
3.850% due 08/15/2026		250		250
Forest City Enterprises, Inc.
3.625% due 10/15/2011		500		549
Goldman Sachs Group, Inc.
3.321% due 09/20/2011		250		233
Merrill Lynch & Co., Inc.
0.000% due 03/13/2032		850		1,047
Prudential Financial, Inc.
2.960% due 12/12/2036		1,000		1,036
U.S. Bancorp
3.610% due 09/20/2036		500		500
3.900% due 12/11/2035		175		176
Ventas, Inc.
3.875% due 11/15/2011		1,000		985
Vornado Realty Trust
3.625% due 11/15/2026		725		707
				7,653
Industrials 54.6%
Actuant Corp.
2.000% due 11/15/2023		90		145
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		1,500		1,451
Alliant Techsystems, Inc.
2.750% due 09/15/2011		525		610
Allied Waste North America, Inc.
4.250% due 04/15/2034		250		240
American Tower Corp.
3.000% due 08/15/2012		300		633
Amgen, Inc.
0.125% due 02/01/2011		800		728
0.375% due 02/01/2013		1,500		1,339
AMR Corp.
4.500% due 02/15/2024		200		270
Amylin Pharmaceuticals, Inc.
2.500% due 04/15/2011		100		137
Anixter International, Inc.
1.000% due 02/15/2013		250		323
Archer Daniels Midland Co.
0.875% due 02/15/2014		1,025		979
Armor Holdings, Inc.
2.000% due 11/01/2024		730		1,307
ArvinMeritor, Inc.
4.625% due 03/01/2026		450		569
Bausch & Lomb, Inc.
5.901% due 08/01/2023		225		287
BioMarin Pharmaceuticals, Inc.
1.875% due 04/23/2017		350		377
Bristol-Myers Squibb Co.
4.860% due 09/15/2023		250		254
Caesars Entertainment, Inc.
5.356% due 04/15/2024		250		334
Cameron International Corp.
2.500% due 06/15/2026		400		489
Carnival Corp.
2.000% due 04/15/2021		400		507
Cephalon, Inc.
0.000% due 06/15/2033		425		630
Ceradyne, Inc.
2.875% due 12/15/2035		250		350
Charter Communications, Inc.
5.875% due 11/16/2009		28		50
Chesapeake Energy Corp.
2.750% due 11/15/2035		750		817
Ciena Corp.
0.875% due 06/15/2017		250		269
Comcast Corp.
2.000% due 11/15/2029		6		249
Dobson Communications Corp.
1.500% due 10/01/2025		300		365
DST Systems, Inc.
4.125% due 08/15/2023		200		338
Edwards Lifesciences Corp.
3.875% due 05/15/2033		275		286
Electronic Data Systems Corp.
3.875% due 07/15/2023		150		153
EMC Corp.
1.750% due 12/01/2011		1,050		1,331
Fisher Scientific International, Inc.
2.500% due 10/01/2023		255		569
3.250% due 03/01/2024		325		466
Flextronics International Ltd.
1.000% due 08/01/2010		200		187
Fluor Corp.
1.500% due 02/15/2024		275		550
Ford Motor Co.
4.250% due 12/15/2036		1,925		2,421
Genzyme Corp.
1.250% due 12/01/2023		350		369
Gilead Sciences, Inc.
0.625% due 05/01/2013		700		805
Goodyear Tire & Rubber Co.
4.000% due 06/15/2034		200		584
Halliburton Co.
3.125% due 07/15/2023		375		696
Hanover Compressor Co.
4.750% due 01/15/2014		200		348
Headwaters, Inc.
2.500% due 02/01/2014		300		262
2.875% due 06/01/2016		100		91
Hilton Hotels Corp.
3.375% due 04/15/2023		277		419
Host Hotels & Resorts, Inc.
2.625% due 04/15/2027		600		552
ImClone Systems, Inc.
1.375% due 05/15/2024		200		187
Integra LifeSciences Holdings Corp.
2.750% due 06/01/2010		500		493
Intel Corp.
2.950% due 12/15/2035		950		911
International Game Technology, Inc.
2.600% due 12/15/2036		300		294
Interpublic Group of Cos., Inc.
4.250% due 03/15/2023		500		588
4.500% due 03/15/2023		225		253
Invitrogen Corp.
2.000% due 08/01/2023		250		296
Juniper Networks, Inc.
0.000% due 06/15/2008		200		259
Kyphon, Inc.
1.000% due 02/01/2012		125		126
1.250% due 02/01/2014		125		125
L-1 Identity Solutions, Inc.
3.750% due 05/15/2027		400		408
L-3 Communications Corp.
3.000% due 08/01/2035		300		340
Lamar Advertising Co.
2.875% due 12/31/2010		260		362
Level 3 Communications, Inc.
10.000% due 05/01/2011		125		240
LifePoint Hospitals, Inc.
3.500% due 05/15/2014		1,000		1,020
Linear Technology Corp.
3.000% due 05/01/2027		825		837
Lockheed Martin Corp.
5.110% due 08/15/2033		1,725		2,326
Lowe’s Cos., Inc.
0.000% due 10/19/2021		100		108
Macrovision Corp.
2.625% due 08/15/2011		200		250
Magnum Hunter Resources, Inc.
5.360% due 12/15/2023		200		294
Manor Care, Inc.
2.125% due 08/01/2035		300		452
2.625% due 04/15/2023		325		649
Masco Corp.
0.000% due 07/20/2031		275		130
Medtronic, Inc.
1.250% due 09/15/2021		550		552
1.625% due 04/15/2013		1,625		1,714
Micron Technology, Inc.
1.875% due 06/01/2014		500		536
Millipore Corp.
3.750% due 06/01/2026		700		753
Mylan Laboratories, Inc.
1.250% due 03/15/2012		225		218
Nabors Industries, Inc.
0.000% due 06/15/2023		250		269
0.940% due 05/15/2011		1,500		1,470
Nortel Networks Corp.
1.750% due 04/15/2012		500		489
2.125% due 04/15/2014		1,250		1,227
NovaMed, Inc.
1.000% due 06/15/2012		500		521
Novell, Inc.
7.830% due 07/15/2024		150		146
Omnicare, Inc.
3.250% due 12/15/2035		1,650		1,388
ON Semiconductor Corp.
2.625% due 12/15/2026		150		185
Peabody Energy Corp.
4.750% due 12/15/2066		1,000		1,061
Placer Dome, Inc.
2.750% due 10/15/2023		120		152
Pride International, Inc.
3.250% due 05/01/2033		375		562
Qwest Communications International, Inc.
3.500% due 11/15/2025		650		1,142
Red Hat, Inc.
0.500% due 01/15/2024		450		471
RF Micro Devices, Inc.
1.500% due 07/01/2010		125		124
Roper Industries, Inc.
1.481% due 01/15/2034 (g)		450		327
SanDisk Corp.
1.000% due 05/15/2013		750		663
Schlumberger Ltd.
1.500% due 06/01/2023		300		705
2.125% due 06/01/2023		300		640
Scientific Games Corp.
0.750% due 12/01/2024		400		513
Sinclair Broadcast Group, Inc.
3.000% due 05/15/2027		450		441
Solectron Corp.
0.500% due 02/15/2034		150		144
Spansion, Inc.
2.250% due 06/15/2016		250		224
St. Jude Medical, Inc.
1.220% due 12/15/2008		500		496
2.800% due 12/15/2035		250		250
Symantec Corp.
1.000% due 06/15/2013		1,000		1,179
Synaptics, Inc.
0.750% due 12/01/2024		250		243
Tektronix, Inc.
1.625% due 07/15/2012		250		250
Teva Pharmaceutical Finance Co. BV
1.750% due 02/01/2026		1,750		1,752
Transocean, Inc.
1.500% due 05/15/2021		250		371
UtStarcom, Inc.
7.625% due 03/01/2008		350		348
VeriFone Holdings, Inc.
1.375% due 06/15/2012		500		496
Walt Disney Co.
2.125% due 04/15/2023		675		812
Wyeth
4.877% due 01/15/2024		401		456
Wynn Resorts Ltd.
6.000% due 07/15/2015		125		488
Xilinx, Inc.
3.125% due 03/15/2037		650		658
Yahoo!, Inc.
0.000% due 04/01/2008		395		535
YRC Worldwide, Inc.
3.375% due 11/25/2023		304		339
				60,394
Utilities 3.1%
CenterPoint Energy, Inc.
3.750% due 05/15/2023		225		351
CMS Energy Corp.
2.875% due 12/01/2024		500		656
3.375% due 07/15/2023		450		742
Covanta Holding Corp.
1.000% due 02/01/2027		250		258
Lucent Technologies, Inc.
2.875% due 06/15/2023		489		517
PPL Energy Supply LLC
2.625% due 05/15/2023		300		565
Time Warner Telecom, Inc.
2.375% due 04/01/2026		250		314
				3,403
Total Convertible Bonds & Notes (Cost $65,775)				71,450
MUNICIPAL BONDS & NOTES 0.3%
Illinois State Finance Authority Sports Facilities Revenue Notes, Series 2007
9.000% due 03/01/2014		320		316
Total Municipal Bonds & Notes (Cost $320)				316
	Shares
COMMON STOCKS 6.6%
Communications 1.1%
Citizens Communications Co.		10,000		153
Motorola, Inc.		52,200		924
Windstream Corp.		9,800		144
				1,221
Consumer Discretionary 0.1%
Xerox Corp. (b)		9,000		166
Consumer Services 1.2%
News Corp. ‘B’		18,600		427
Time Warner, Inc.		41,000		862
				1,289
Energy 1.4%
Chevron Corp.		5,300		446
Ferrellgas Partners-LP		7,400		179
NRG Energy, Inc. (b)		13,800		574
Suburban Propane Partners LP		6,200		297
				1,496
Healthcare 0.7%
Celgene Corp. (b)		10,300		591
DaVita, Inc. (b)		3,200		172
				763
Industrials 1.0%
Cleveland-Cliffs, Inc.		6,000		466
CSX Corp.		6,600		298
Lyondell Chemical Co.		8,200		304
				1,068
Utilities 1.1%
Public Service Enterprise Group, Inc.		4,090		359
Reliant Energy, Inc. (b)		14,149		381
Williams Cos., Inc.		16,600		525
				1,265
Total Common Stocks (Cost $6,403)				7,268

CONVERTIBLE PREFERRED STOCKS 15.0%
Consumer Discretionary 3.0%
Celanese Corp.
4.250% due 12/31/2049		13,300		672
General Motors Corp.
6.250% due 07/15/2033		94,000		2,355
Huntsman Corp.
5.000% due 02/16/2008		5,500		271
				3,298
Consumer Services 4.1%
Affiliated Managers Group, Inc.
5.100% due 04/15/2036		12,600		737
Aspen Insurance Holdings Ltd.
5.625% due 12/31/2049		5,500		314
Fannie Mae
5.375% due 12/31/2049		3		298
Ford Motor Co. Capital Trust II
6.500% due 01/15/2032		12,500		482
Lehman Brothers Holdings, Inc.
6.250% due 10/15/2007		4,500		122
MetLife, Inc.
6.375% due 08/15/2008		46,800		1,527
Simon Property Group, Inc.
6.000% due 12/31/2049		5,400		410
Vale Capital Ltd.
5.500% due 06/15/2010		4,700		232
Washington Mutual Capital Trust
5.375% due 05/03/2041		7,400		407
				4,529
Energy 3.6%
Chesapeake Energy Corp.
4.500% due 12/31/2049		12,000		1,218
El Paso Corp.
4.990% due 12/31/2049		950		1,388
Entergy Corp.
7.625% due 02/17/2009		8,000		526
NRG Energy, Inc.
4.000% due 12/31/2049		210		449
5.750% due 03/16/2009		1,000		370
				3,951
Healthcare 0.7%
Schering-Plough Corp.
6.000% due 09/14/2007		11,900		819
Industrials 3.4%
Allied Waste Industries, Inc.
6.250% due 03/01/2008		2,665		938
Freeport-McMoRan Copper & Gold, Inc.
6.750% due 05/01/2010		22,000		2,827
				3,765
Utilities 0.2%
PNM Resources, Inc.
6.750% due 05/16/2008		5,000		250
Total Convertible Preferred Stocks (Cost $14,733)				16,612
SHORT-TERM INSTRUMENTS 5.9%
Commercial Paper 5.3%
Societe Generale NY
		Principal Amount (000s)
5.250% due 11/26/2007	$	3,000		2,959
UBS Finance Delaware LLC
5.350% due 10/23/2007		2,900		2,900
				5,859
Repurchase Agreements 0.6%
State Street Bank and Trust Co.
4.900% due 07/02/2007		635		635
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $648. Repurchase proceeds are $635.)
U.S. Treasury Bills 0.0%
4.645% due 09/13/2007 (d)		10		10
Total Short-Term Instruments (Cost $6,505)				6,504
Purchased Options (f) 0.0% (Cost $14)				2
Total Investments 100.4% (Cost $102,699)			$	111,087
Other Assets and Liabilities (Net) (0.4%)				(445	)
Net Assets 100.0%			$	110,642

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) The average amount of borrowing outstanding during the period ended June 30, 2007 was $5,100 at a weighted average interest rate of 5.200%. On June 30,2007, securities valued at $1,758 were pledged as collateral for reverse repurchase agreements.

(d) 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 June 30,2007:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
U.S. Treasury 30-Year Bond September Futures	Long	09/2007	9	$	(5	)

(e) Swap agreements outstanding on June 30,2007:

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 Corp. 7.450% due 07/16/2031	Buy	(2.150	%)	03/20/2009	$	500	$	3
Bank of America	MGM Mirage 5.875% due 02/27/2014	Buy	(0.810	%)	06/20/2010		750		9
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	1.350	%	06/20/2010		1,400		(19	)
Bank of America	Supervalu, Inc. 7.500% due 05/15/2012	Buy	(0.490	%)	06/20/2010		650		0
Bank of America	MGM Mirage 5.875% due 02/27/2014	Sell	1.530	%	06/20/2012		750		(26	)
Bank of America	Supervalu, Inc. 7.500% due 05/15/2012	Sell	0.940	%	06/20/2012		650		1
Bank of America	Ford Motor Corp. 7.450% due 07/16/2031	Buy	(5.100	%)	03/20/2014		500		12
Bank of America	SLM Corp. 5.125% due 08/27/2012	Buy	(2.180	%)	06/20/2014		700		36
Barclays Bank PLC	Intelsat Bermuda Ltd. 11.250% due 06/15/2016	Buy	(1.000	%)	03/20/2010		500		(2	)
Barclays Bank PLC	Intelsat Ltd. 6.500% due 11/01/2013	Buy	(1.300	%)	03/20/2010		500		22
Barclays Bank PLC	Intelsat Ltd. 6.500% due 11/01/2013	Sell	2.500	%	03/20/2012		500		(37	)
Barclays Bank PLC	Forest Oil Corp. 7.750% due 05/01/2014	Sell	1.750	%	06/20/2012		500		(8	)
Bear Stearns & Co., Inc.	Cablevision Systems Corp. 8.000% due 04/15/2012	Buy	(2.530	%)	06/20/2011		600		4
BNP Paribas Bank	Countrywide Financial Corp. 0.000% due 02/08/2031	Buy	(0.220	%)	09/20/2008		1,250		0
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.120	%	12/20/2008		250		(1	)
Citibank N.A.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Buy	(0.680	%)	03/20/2010		500		12
Citibank N.A.	First Data Corp. 5.625% due 11/01/2011	Buy	(1.750	%)	06/20/2010		500		9
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.050	%	06/20/2011		750		(6	)
Citibank N.A.	Celestica, Inc. 7.875% due 07/01/2011	Sell	4.400	%	06/20/2012		150		0
Citibank N.A.	First Data Corp. 5.625% due 11/01/2011	Sell	3.000	%	06/20/2012		1,000		(36	)
Citibank N.A.	Reliant Energy, Inc. 6.750% due 12/15/2014	Sell	2.200	%	06/20/2012		500		(14	)
Citibank N.A.	Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	4.600	%	06/20/2012		150		2
Citibank N.A.	Solectron Global Finance Ltd. 8.000% due 03/15/2016	Sell	3.750	%	06/20/2012		150		15
Citibank N.A.	Sungard Data Systems, Inc. 9.125% due 08/15/2013	Sell	2.500	%	06/20/2012		150		(4	)
Citibank N.A.	HCA, Inc. 9.125% due 11/15/2014	Sell	2.000	%	09/20/2012		600		(2	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(2.950	%)	09/20/2012		2,000		(9	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	3.050	%	09/20/2012		2,000		18
Citibank N.A.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.780	%	03/20/2014		500		(33	)
Citibank N.A.	HCA, Inc. 9.125% due 11/15/2014	Sell	2.400	%	06/20/2014		400		(5	)
Citibank N.A.	First Data Corp. 5.625% due 11/01/2011	Buy	(4.400	%)	06/20/2017		500		23
Credit Suisse First Boston	Tenet Healthcare Corp. 6.375% due 12/01/2011	Buy	(1.750	%)	12/20/2008		250		1
Credit Suisse First Boston	Freescale Semiconductor, Inc. 7.125% due 07/15/2014	Buy	(2.250	%)	12/20/2009		1,000		0
Credit Suisse First Boston	Lear Corp. 5.750% due 08/01/2014	Buy	(2.250	%)	03/20/2010		300		(1	)
Credit Suisse First Boston	Univision Communiciations, Inc. 7.850% due 07/15/2011	Buy	(1.550	%)	03/20/2010		900		31
Credit Suisse First Boston	Tenet Healthcare Corp. 6.375% due 12/01/2011	Sell	3.650	%	12/20/2010		250		5
Credit Suisse First Boston	Lear Corp. 5.750% due 08/01/2014	Sell	3.500	%	03/20/2012		600		1
Credit Suisse First Boston	Univision Communiciations, Inc. 7.850% due 07/15/2011	Sell	2.850	%	03/20/2012		600		(28	)
Credit Suisse First Boston	Community Health Systems 8.875% due 07/15/2015	Sell	2.900	%	09/20/2012		500		3
Credit Suisse First Boston	Lear Corp. 5.750% due 08/01/2014	Buy	(4.200	%)	03/20/2014		300		0
Deutsche Bank AG	JetBlue Airways Corp. 3.500% due 07/15/2033	Buy	(3.300	%)	03/20/2008		250		(4	)
Deutsche Bank AG	Freescale Semiconductor, Inc. 7.125% due 07/15/2014	Sell	2.600	%	12/20/2009		1,000		8
Deutsche Bank AG	Ford Motor Corp. 7.450% due 07/16/2031	Sell	4.080	%	03/20/2011		1,000		(10	)
Goldman Sachs & Co.	HCA, Inc. 6.950% due 05/01/2012	Buy	(1.870	%)	03/20/2010		1,000		(1	)
Goldman Sachs & Co.	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Buy	(2.080	%)	06/20/2010		700		10
Goldman Sachs & Co.	Dow Jones CDX N.A. HY7 Index	Sell	0.785	%	12/20/2011		500		0
Goldman Sachs & Co.	HCA, Inc. 6.950% due 05/01/2012	Sell	3.320	%	03/20/2012		1,000		12
Goldman Sachs & Co.	Aramark Corp. 8.500 due 02/01/2015	Sell	2.300	%	06/20/2012		500		(15	)
Goldman Sachs & Co.	Dow Jones CDX N.A. HY8 Index	Sell	0.830	%	06/20/2012		7,500		(101	)
Goldman Sachs & Co.	Dow Jones CDX N.A. HY8 Index	Sell	1.030	%	06/20/2012		500		(2	)
Goldman Sachs & Co.	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	3.380	%	06/20/2012		700		(22	)
JPMorgan Chase & Co.	Tenet Healthcare Corp. 6.375% due 12/01/2011	Sell	3.650	%	12/20/2010		250		2
JPMorgan Chase & Co.	Cablevision Systems Corp. 8.000% due 04/15/2012	Sell	2.730	%	06/20/2011		600		0
JPMorgan Chase & Co.	Tenet Healthcare Corp. 6.375% due 12/01/2011	Buy	(4.700	%)	12/20/2012		250		(1	)
Lehman Brothers, Inc.	NRG Energy, Inc. 7.250% due 02/01/2014	Sell	0.750	%	03/20/2008		650		(2	)
Lehman Brothers, Inc.	Aramark Corp. 8.500 due 02/01/2015	Buy	(1.200	%)	06/20/2010		1,000		8
Lehman Brothers, Inc.	Harrah’s Operating Co., Inc. 5.375% due 12/15/2013	Buy	(1.080	%)	06/20/2010		650		12
Lehman Brothers, Inc.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.520	%)	06/20/2010		750		5
Lehman Brothers, Inc.	RH Donnelley Corp. 6.875% due 01/15/2013	Buy	(1.250	%)	06/20/2010		700		9
Lehman Brothers, Inc.	RH Donnelley Corp. 6.875% due 01/15/2013	Sell	1.700	%	06/20/2011		700		(15	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY7 Index	Sell	0.720	%	12/20/2011		500		(1	)
Lehman Brothers, Inc.	Aramark Corp. 8.500 due 02/01/2015	Sell	2.200	%	06/20/2012		1,000		(35	)
Lehman Brothers, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.110	%	06/20/2012		600		(4	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Sell	0.995	%	06/20/2012		1,000		(6	)
Lehman Brothers, Inc.	Harrah’s Operating Co., Inc. 5.375% due 12/15/2013	Sell	2.100	%	06/20/2012		650		(23	)
Lehman Brothers, Inc.	LCDX N.A. 8 Index	Sell	1.200	%	06/20/2012		1,000		(23	)
Lehman Brothers, Inc.	Pride International, Inc. 7.375% due 07/15/2014	Sell	1.750	%	06/20/2012		500		(6	)
Lehman Brothers, Inc.	Solectron Global Finance Ltd. 8.000% due 03/15/2016	Sell	1.500	%	06/20/2012		500		(1	)
Lehman Brothers, Inc.	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.239	%)	06/20/2012		250		0
Merrill Lynch & Co., Inc.	Ford Motor Corp. 7.450% due 07/16/2031	Sell	4.830	%	12/20/2010		500		10
Morgan Stanley	Allied Waste North America, Inc. 7.375% due 04/15/2014	Buy	(1.120	%)	06/20/2010		750		9
Morgan Stanley	Allied Waste North America, Inc. 7.375% due 04/15/2014	Sell	2.020	%	06/20/2012		750		(26	)
Morgan Stanley	CSC Holdings, Inc. 7.625% due 04/01/2011	Sell	2.010	%	06/20/2012		450		(13	)
Royal Bank of Scotland Group PLC	Ford Motor Corp. 7.450% due 07/16/2031	Buy	(2.750	%)	12/20/2008		500		(4	)
UBS Warburg LLC	Tenet Healthcare Corp. 7.375% due 02/01/2013	Buy	(1.150	%)	03/20/2009		500		9
UBS Warburg LLC	Tenet Healthcare Corp. 7.375% due 02/01/2013	Sell	1.800	%	03/20/2010		500		(14	)
								$	(259	)

⁽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 (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	2,000	$	0
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		4,000		(41	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009	MXN	5,000		0
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009		6,000		0
								$	(41	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay		Expiration Date	# of Contracts	Unrealized Appreciation/ (Depreciation)
Merrill Lynch & Co., Inc.	Short	Advanced Micro Devices, Inc.	5.105	%	07/23/2007	10,000	$	(4	)
Merrill Lynch & Co., Inc.	Short	Aspen Insurance Holdings Ltd.	0.000	%	07/23/2007	4,700		74
Merrill Lynch & Co., Inc.	Short	Freeport-McMoRan Copper & Gold, Inc.	0.000	%	07/23/2007	4,300		(48	)
Merrill Lynch & Co., Inc.	Short	Lockheed Martin Corp.	3.620	%	07/23/2007	11,800		42
Merrill Lynch & Co., Inc.	Short	MetLife, Inc.	0.000	%	07/23/2007	6,200		30
Merrill Lynch & Co., Inc.	Long	Neveen Floating Rate Income Opportunity Fund	5.570	%	07/23/2007	22,800		(9	)
Merrill Lynch & Co., Inc.	Short	Nortel Networks Corp.	0.000	%	07/23/2007	6,700		6
Merrill Lynch & Co., Inc.	Long	TECO Energy, Inc.	1.365	%	07/23/2007	6,100		(4	)
							$	87

(f) Purchased options outstanding on June 30,2007:

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - AMEX JetBlue Airways Corp.	$	23.375	01/19/2008	$	1,800	$	14	$	2

(g) Restricted securities as of June 30,2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Roper Industries, Inc.	1.481	%	01/15/2034	03/08/2005	$	228	$	327	0.30	%

See accompanying notes

Schedule of Investments

Developing Local Markets Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.6%
Lukoil Finance Ltd.
6.020% due 01/11/2009	$	10,000	$	9,947
OAO Rosneft Oil Co.
6.000% due 09/16/2007		49,000		49,069
6.000% due 09/17/2009		5,000		4,920
Total Bank Loan Obligations (Cost $63,877)				63,936
CORPORATE BONDS & NOTES 46.0%
Banking & Finance 31.0%
American Express Bank FSB
5.340% due 06/12/2009		4,750		4,752
5.380% due 06/22/2009		2,900		2,903
American Express Centurion Bank
5.320% due 05/07/2008		1,700		1,700
5.380% due 04/17/2009		10,000		10,003
5.480% due 12/17/2009		1,400		1,404
American Express Credit Corp.
5.380% due 05/19/2009		1,400		1,401
American Honda Finance Corp.
5.420% due 03/09/2009		1,100		1,102
American International Group, Inc.
5.360% due 06/23/2008		2,300		2,301
Banco Nacional de Comercio Exterior SNC
3.875% due 01/21/2009		6,780		6,551
Banco Santander Chile
5.710% due 12/09/2009		12,000		12,066
Bank of America Corp.
5.366% due 11/06/2009		3,200		3,200
5.370% due 09/25/2009		23,000		23,018
Bank of America N.A.
5.355% due 07/25/2008		15,000		15,009
5.360% due 12/18/2008		5,650		5,653
5.360% due 02/27/2009		4,500		4,503
5.360% due 06/12/2009		6,000		6,003
Bank of Ireland
5.370% due 12/19/2008		2,000		2,003
5.410% due 12/18/2009		43,450		43,536
Bear Stearns Cos., Inc.
5.450% due 03/30/2009		10,750		10,758
5.585% due 01/31/2011		13,500		13,451
5.655% due 01/30/2009		9,900		9,928
Caterpillar Financial Services Corp.
5.408% due 08/11/2009		9,000		9,007
5.410% due 10/09/2009		22,900		22,918
5.420% due 05/18/2009		13,200		13,218
5.430% due 03/10/2009		7,100		7,108
Charter One Bank N.A.
5.405% due 04/24/2009		9,000		9,012
CIT Group, Inc.
5.430% due 12/19/2007		17,500		17,503
5.505% due 01/30/2009		29,750		29,713
5.510% due 08/15/2008		1,400		1,400
Citigroup, Inc.
5.390% due 12/28/2009		19,000		19,015
5.400% due 12/26/2008		2,900		2,903
5.450% due 05/18/2011		8,900		8,915
5.510% due 05/18/2010		12,800		12,848
Colvis Finance
8.000% due 02/02/2009		8,755		8,921
Commonwealth Bank of Australia
5.360% due 06/08/2009		1,600		1,601
Credit Agricole S.A.
5.360% due 05/28/2009		3,900		3,902
5.410% due 05/28/2010		32,900		32,921
DnB NORBank ASA
5.425% due 10/13/2009		1,500		1,501
El Paso Performance-Linked Trust
7.750% due 07/15/2011		300		311
Export-Import Bank of Korea
4.125% due 02/10/2009		2,900		2,839
4.250% due 11/27/2007		29,617		29,466
4.250% due 11/06/2008		1,404		1,380
4.500% due 08/12/2009		5,100		4,995
5.450% due 06/01/2009		15,800		15,808
Ford Motor Credit Co.
5.625% due 10/01/2008		2,000		1,975
5.800% due 01/12/2009		1,200		1,175
Fortis Bank NY
5.400% due 09/28/2009		16,400		16,412
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		600		612
General Electric Capital Corp.
5.385% due 10/26/2009		2,600		2,602
5.390% due 03/12/2010		8,900		8,909
5.430% due 08/15/2011		2,800		2,799
5.460% due 06/15/2009		1,200		1,203
5.470% due 04/10/2012		24,000		24,034
5.480% due 12/15/2009		13,400		13,437
GMAC LLC
6.610% due 05/15/2009		6,700		6,703
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		3,000		3,001
5.447% due 11/10/2008		11,700		11,718
5.450% due 12/22/2008		21,600		21,629
5.450% due 06/23/2009		9,000		9,011
5.455% due 07/29/2008		18,900		18,928
5.560% due 03/02/2010		14,500		14,557
HBOS Treasury Services PLC
5.320% due 07/17/2008		1,500		1,501
5.397% due 07/17/2009		15,300		15,318
5.420% due 12/08/2010		20,100		20,119
HSBC Bank USA N.A.
5.490% due 12/14/2009		1,750		1,755
HSBC Finance Corp.
5.360% due 05/21/2008		1,700		1,701
5.415% due 10/21/2009		2,400		2,402
5.440% due 03/12/2010		1,300		1,300
5.490% due 09/15/2008		14,400		14,430
5.500% due 12/05/2008		1,500		1,504
5.640% due 11/16/2009		8,700		8,749
6.538% due 11/13/2007		5,800		5,822
Hutchison Whampoa Finance CI Ltd.
6.950% due 08/01/2007		500		501
ICICI Bank Ltd.
5.895% due 01/12/2010		6,300		6,314
7.550% due 08/15/2007		5,381		5,413
Industry & Construction Bank St. Petersburg OJSC
6.875% due 07/29/2008		4,700		4,756
Intergas Finance BV
6.875% due 11/04/2011		1,800		1,834
International Lease Finance Corp.
5.580% due 05/24/2010		9,000		9,027
5.698% due 04/20/2009		3,900		3,920
5.756% due 01/15/2010		5,000		5,041
John Deere Capital Corp.
5.406% due 04/15/2008		12,010		12,019
5.406% due 07/15/2008		9,000		9,009
JPMorgan Chase & Co.
5.370% due 06/26/2009		1,500		1,502
5.370% due 05/07/2010		8,400		8,406
5.440% due 06/25/2010		19,700		19,725
5.539% due 10/02/2009		8,100		8,136
Lehman Brothers Holdings, Inc.
5.370% due 11/24/2008		1,700		1,701
5.410% due 12/23/2008		1,425		1,427
5.445% due 10/22/2008		7,900		7,911
5.445% due 01/23/2009		9,000		9,010
5.460% due 08/21/2009		22,000		22,013
5.570% due 12/23/2010		5,900		5,907
Malaysia Global Sukuk, Inc.
6.320% due 07/03/2007		23,221		23,221
MBNA Europe Funding PLC
5.460% due 09/07/2007		3,300		3,301
Merrill Lynch & Co., Inc.
5.390% due 12/22/2008		1,600		1,600
5.395% due 10/23/2008		3,500		3,505
5.445% due 01/30/2009		9,500		9,512
5.450% due 08/14/2009		11,700		11,713
5.460% due 06/16/2008		3,000		3,004
Metropolitan Life Global Funding I
5.400% due 05/17/2010		2,600		2,602
Morgan Stanley
5.360% due 11/21/2008		1,400		1,400
5.406% due 05/07/2009		1,100		1,101
5.446% due 01/15/2010		8,800		8,805
5.467% due 02/09/2009		10,400		10,417
5.595% due 01/22/2009		8,900		8,906
National Australia Bank Ltd.
5.349% due 10/01/2008		1,500		1,501
5.400% due 09/11/2009		23,400		23,433
Pemex Finance Ltd.
9.690% due 08/15/2009		5,687		5,968
Petroleum Export Ltd.
4.623% due 06/15/2010		7,969		7,872
4.633% due 06/15/2010		920		909
5.265% due 06/15/2011		10,576		10,322
Royal Bank of Scotland Group PLC
5.360% due 12/21/2007		8,500		8,505
5.405% due 07/21/2008		1,900		1,902
Santander U.S. Debt S.A. Unipersonal
5.370% due 09/21/2007		1,500		1,500
5.416% due 02/06/2009		15,000		15,016
5.420% due 09/19/2008		1,800		1,802
5.420% due 11/20/2009		9,000		9,006
Sistema Finance S.A.
10.250% due 04/14/2008		5,850		6,043
SLM Corp.
5.495% due 07/27/2009		31,700		30,923
5.555% due 01/26/2009		4,300		4,235
Spinnaker Capital Ltd.
16.860% due 06/15/2008		1,000		999
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		16,085		16,095
Universal City Florida Holding Co. I
10.106% due 05/01/2010		6,500		6,663
Ventas Realty LP
8.750% due 05/01/2009		1,800		1,892
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		27,600		27,650
6.110% due 09/21/2007		49,600		49,648
8.255% due 07/30/2007		3,000		3,013
Wachovia Bank N.A.
5.320% due 10/03/2008		2,300		2,301
5.360% due 02/23/2009		4,250		4,252
5.420% due 05/25/2010		9,000		9,023
5.430% due 12/02/2010		9,000		9,006
Wachovia Corp.
5.405% due 10/28/2008		6,000		6,008
5.410% due 12/01/2009		19,500		19,522
5.480% due 03/15/2011		9,000		9,020
5.486% due 10/15/2011		22,800		22,848
Wells Fargo & Co.
5.420% due 03/23/2010		26,400		26,440
5.445% due 01/24/2012		3,700		3,703
5.460% due 09/15/2009		3,700		3,710
Westpac Banking Corp.
5.280% due 06/06/2008		3,500		3,501
World Savings Bank FSB
5.396% due 05/08/2009		500		500
5.410% due 06/20/2008		1,600		1,601
5.485% due 03/02/2009		5,650		5,667
				1,266,414
Industrials 11.1%
Albertson’s, Inc.
6.950% due 08/01/2009		500		513
Amgen, Inc.
5.440% due 11/28/2008		16,300		16,310
Anadarko Petroleum Corp.
5.760% due 09/15/2009		22,900		22,932
Cablevision Systems Corp.
9.820% due 04/01/2009		5,000		5,250
Cisco Systems, Inc.
5.440% due 02/20/2009		2,700		2,706
Comcast Corp.
5.656% due 07/14/2009		9,000		9,005
Cox Communications, Inc.
5.910% due 12/14/2007		9,000		9,020
CSC Holdings, Inc.
7.250% due 07/15/2008		500		505
7.875% due 12/15/2007		4,100		4,136
CSN Islands VII Corp.
10.750% due 09/12/2008		11,155		11,741
CVS Caremark Corp.
5.660% due 06/01/2010		2,600		2,603
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		2,100		2,105
5.790% due 03/13/2009		8,500		8,539
5.805% due 08/03/2009		9,300		9,353
5.840% due 09/10/2007		1,350		1,351
Dex Media East LLC
9.875% due 11/15/2009		3,404		3,536
EchoStar DBS Corp.
5.750% due 10/01/2008		9,350		9,350
Equistar Chemicals LP
10.125% due 09/01/2008		971		1,015
FedEx Corp.
5.436% due 08/08/2007		5,900		5,901
General Mills, Inc.
5.485% due 01/22/2010		3,700		3,700
HJ Heinz Co.
6.428% due 12/01/2008		4,300		4,344
Home Depot, Inc.
5.485% due 12/16/2009		1,800		1,798
Mandalay Resort Group
6.500% due 07/31/2009		3,450		3,467
9.500% due 08/01/2008		500		517
10.250% due 08/01/2007		7,400		7,428
Mirage Resorts, Inc.
6.750% due 08/01/2007		2,300		2,303
6.750% due 02/01/2008		1,350		1,358
MMK Finance S.A.
8.000% due 10/21/2008		4,000		4,090
Owens Brockway Glass Container, Inc.
8.875% due 02/15/2009		1,000		1,022
Pemex Project Funding Master Trust
5.960% due 12/03/2012		5,245		5,320
6.125% due 08/15/2008		7,000		7,059
7.156% due 10/15/2009		15,888		16,482
8.500% due 02/15/2008		25,473		25,938
8.850% due 09/15/2007		15,976		16,096
9.375% due 12/02/2008		300		316
Qwest Communications International, Inc.
8.860% due 02/15/2009		3,933		3,992
Roseton
7.270% due 11/08/2010		1,400		1,417
Royal Caribbean Cruises Ltd.
7.000% due 10/15/2007		5,000		5,040
Safeway, Inc.
5.710% due 03/27/2009		2,000		2,002
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		128,300		141,605
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		3,800		4,077
Salomon Brothers AG for Tyumen Oil Co.
11.000% due 11/06/2007		19,320		19,728
Siemens Financieringsmaatschappij NV
5.410% due 08/14/2009		5,600		5,601
Time Warner, Inc.
5.590% due 11/13/2009		8,000		8,012
Transocean, Inc.
5.560% due 09/05/2008		9,000		9,008
United Technologies Corp.
5.430% due 06/01/2009		1,700		1,702
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		3,800		3,799
Walt Disney Co.
5.460% due 09/10/2009		19,000		19,037
Xerox Corp.
6.110% due 12/18/2009		3,600		3,647
				455,776
Utilities 3.9%
America Movil SAB de C.V.
5.460% due 06/27/2008		21,900		21,903
AT&T, Inc.
5.450% due 05/15/2008		6,200		6,206
5.456% due 02/05/2010		4,700		4,708
5.570% due 11/14/2008		4,600		4,615
BellSouth Corp.
4.240% due 04/26/2008		11,250		11,152
5.460% due 08/15/2008		15,300		15,316
CMS Energy Corp.
7.500% due 01/15/2009		3,700		3,813
9.875% due 10/15/2007		2,000		2,029
Deutsche Telekom International Finance BV
5.540% due 03/23/2009		3,300		3,309
8.000% due 06/15/2010		500		533
Dominion Resources, Inc.
5.540% due 11/14/2008		1,600		1,602
5.660% due 09/28/2007		4,800		4,801
Empresa Brasileira de Telecom S.A.
11.000% due 12/15/2008		3,398		3,619
Entergy Gulf States, Inc.
6.110% due 12/08/2008		6,300		6,319
Florida Power Corp.
5.760% due 11/14/2008		8,400		8,415
Korea Electric Power Corp.
4.250% due 09/12/2007		11,000		10,970
6.110% due 12/20/2007		1,200		1,204
Mobile Telesystems Finance S.A.
9.750% due 01/30/2008		13,311		13,568
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		500		503
Qwest Corp.
5.625% due 11/15/2008		2,900		2,904
Ras Laffan Liquefied Natural Gas Co. Ltd. I
3.437% due 09/15/2009		6,575		6,423
Romanian Thermal Power Plants
9.143% due 12/23/2007		5,514		5,627
Telefonica Emisones SAU
5.660% due 06/19/2009		5,000		5,018
Telefonos de Mexico S.A. de C.V.
4.500% due 11/19/2008		13,277		13,122
TXU Electric Delivery Co.
5.735% due 09/16/2008		500		500
TXU Energy Co. LLC
5.860% due 09/16/2008		500		500
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		700		732
				159,411
Total Corporate Bonds & Notes (Cost $1,881,141)				1,881,601
U.S. GOVERNMENT AGENCIES 2.4%
Fannie Mae
4.787% due 11/01/2035		775		770
5.000% due 02/25/2017		344		340
5.380% due 12/25/2036		1,307		1,304
6.214% due 06/01/2043 - 09/01/2044		5,105		5,172
Freddie Mac
4.500% due 04/15/2019 - 08/01/2035		377		376
5.000% due 08/15/2016 - 11/15/2029		4,736		4,681
5.550% due 07/15/2037		79,000		78,994
5.580% due 08/25/2031		560		563
5.600% due 09/25/2031		560		561
5.670% due 12/15/2030		1,211		1,215
6.227% due 02/25/2045		4,105		4,090
Total U.S. Government Agencies (Cost $98,060)				98,066
MORTGAGE-BACKED SECURITIES 3.4%
American Home Mortgage Investment Trust
5.470% due 09/25/2035		534		534
Arkle Master Issuer PLC
5.300% due 11/19/2007		1,900		1,901
Arran Residential Mortgages Funding PLC
5.340% due 04/12/2036		1,413		1,413
Bear Stearns Alt-A Trust
5.480% due 02/25/2034		1,162		1,163
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		1,500		1,509
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		1,659		1,659
CC Mortgage Funding Corp.
5.450% due 05/25/2048		1,800		1,802
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		570		570
Commercial Mortgage Pass-Through Certificates
5.420% due 04/15/2017		409		409
6.455% due 05/15/2032		1,594		1,605
Countrywide Alternative Loan Trust
5.390% due 10/25/2046		2,837		2,839
5.500% due 02/20/2047		2,698		2,694
5.500% due 05/25/2047		2,207		2,213
6.029% due 02/25/2036		843		848
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		1,275		1,276
5.400% due 02/25/2037		1,199		1,200
5.400% due 03/25/2037		1,214		1,215
5.410% due 08/25/2037		2,700		2,700
First Union-Lehman Brothers-Bank of America
6.560% due 11/18/2035		4,791		4,813
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		2,432		2,434
5.400% due 01/25/2047		1,446		1,447
5.590% due 11/25/2045		459		459
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		5,000		5,006
5.420% due 06/06/2020		260		261
Harborview Mortgage Loan Trust
5.410% due 01/19/2038		1,340		1,341
5.450% due 04/19/2038		1,326		1,324
5.510% due 01/19/2038		4,257		4,264
5.560% due 03/19/2037		4,095		4,104
HSI Asset Securitization Corp. Trust
5.380% due 05/25/2037 (a)		2,000		2,000
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		1,202		1,203
Indymac Index Mortgage Loan Trust
5.410% due 11/25/2046		1,398		1,399
Lehman ABS Mortgage Loan Trust
5.410% due 06/25/2037		1,100		1,101
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		1,982		1,983
MASTR Adjustable Rate Mortgages Trust
5.430% due 05/25/2047		846		847
Merrill Lynch Floating Trust
5.390% due 06/15/2022		1,601		1,603
Morgan Stanley Capital I
5.380% due 10/15/2020		2,693		2,697
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		1,502		1,502
5.620% due 08/25/2035		1,209		1,212
Sequoia Mortgage Trust
4.081% due 04/20/2035		941		924
Structured Asset Mortgage Investments, Inc.
5.390% due 08/25/2036		4,207		4,210
5.420% due 09/25/2047		1,091		1,090
5.450% due 03/25/2037		663		663
5.510% due 06/25/2036		1,029		1,030
5.540% due 05/25/2036		3,820		3,828
Structured Asset Securities Corp.
5.329% due 10/25/2035		1,386		1,384
TBW Mortgage-Backed Pass-Through Certificates
5.420% due 09/25/2036		784		785
5.430% due 01/25/2037		1,203		1,204
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		2,470		2,470
5.440% due 04/25/2036		1,500		1,498
5.440% due 08/25/2036		12,279		12,274
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		25,155		25,168
Washington Mutual, Inc.
5.610% due 08/25/2045		253		253
5.724% due 10/25/2046		2,288		2,297
5.759% due 01/25/2047		1,416		1,415
5.839% due 12/25/2046		1,514		1,516
6.029% due 02/25/2046		1,699		1,702
6.229% due 11/25/2042		965		966
6.529% due 09/25/2046		4,667		4,686
Total Mortgage-Backed Securities (Cost $137,815)				137,913
ASSET-BACKED SECURITIES 10.0%
Accredited Mortgage Loan Trust
5.370% due 02/25/2037		1,292		1,293
5.480% due 09/25/2035		1,081		1,082
ACE Securities Corp.
5.370% due 08/25/2036		2,482		2,484
5.370% due 12/25/2036		1,204		1,204
5.390% due 12/25/2035		1,059		1,060
5.400% due 10/25/2036		2,782		2,784
5.410% due 06/25/2037		1,172		1,172
5.430% due 10/25/2035		284		284
American Express Credit Account Master Trust
5.320% due 01/18/2011		1,350		1,349
5.430% due 09/15/2010		2,900		2,904
Americredit Prime Automobile Receivables Trust
5.322% due 06/09/2008		2,300		2,300
Argent Securities, Inc.
5.360% due 06/25/2036		373		373
5.370% due 09/25/2036		2,645		2,646
5.370% due 10/25/2036		5,471		5,474
5.390% due 04/25/2036		284		284
5.400% due 03/25/2036		1,259		1,260
Asset-Backed Funding Certificates
5.360% due 09/25/2036		3,583		3,585
5.380% due 10/25/2036		2,359		2,360
5.380% due 11/25/2036		1,067		1,068
5.380% due 01/25/2037		1,055		1,056
5.670% due 06/25/2034		6,540		6,559
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		913		913
5.370% due 12/25/2036		1,070		1,071
5.400% due 05/25/2037		1,163		1,163
Bank One Issuance Trust
5.430% due 02/15/2011		700		701
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		1,155		1,155
5.400% due 12/25/2035		342		342
5.400% due 10/25/2036		1,317		1,318
5.410% due 04/25/2036		700		700
5.520% due 09/25/2034		676		677
Carrington Mortgage Loan Trust
5.360% due 05/25/2036		710		711
5.370% due 01/25/2037		1,142		1,142
5.640% due 10/25/2035		1,276		1,280
Chase Credit Card Master Trust
5.430% due 10/15/2010		1,600		1,603
5.430% due 02/15/2011		1,500		1,503
5.440% due 02/15/2010		2,425		2,428
Chase Issuance Trust
5.330% due 12/15/2010		1,700		1,701
5.340% due 02/15/2012		1,155		1,156
Citibank Credit Card Issuance Trust
2.900% due 05/17/2010		1,800		1,764
5.456% due 01/15/2010		1,400		1,402
5.526% due 02/07/2010		1,100		1,102
Citibank Credit Card Master Trust I
6.050% due 01/15/2010		1,100		1,105
Citigroup Mortgage Loan Trust, Inc.
5.360% due 08/25/2036		3,203		3,205
5.360% due 12/25/2036		1,314		1,314
5.370% due 11/25/2036		1,120		1,121
5.380% due 05/25/2037		2,200		2,201
5.390% due 01/25/2037		1,305		1,306
Countrywide Asset-Backed Certificates
5.350% due 01/25/2046		7,285		7,287
5.370% due 01/25/2037		2,198		2,199
5.370% due 03/25/2037		3,820		3,822
5.370% due 05/25/2037		5,163		5,166
5.370% due 07/25/2037		1,387		1,388
5.370% due 08/25/2037		2,280		2,280
5.370% due 12/25/2046		3,087		3,090
5.370% due 03/25/2047		4,082		4,085
5.380% due 03/25/2037		3,736		3,738
5.380% due 09/25/2046		803		804
5.390% due 06/25/2036		845		845
5.390% due 07/25/2036		673		674
5.390% due 06/25/2037		1,214		1,215
5.400% due 06/25/2037		1,325		1,326
5.400% due 10/25/2037		1,079		1,080
5.420% due 09/25/2047		1,291		1,292
5.430% due 10/25/2046		5,500		5,502
5.450% due 07/25/2036		549		550
5.480% due 02/25/2036		1,290		1,291
5.500% due 09/25/2036		1,100		1,101
Credit-Based Asset Servicing & Securitization LLC
5.380% due 11/25/2036		1,146		1,147
5.410% due 12/25/2037		1,139		1,139
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		2,186		2,187
First Franklin Mortgage Loan Asset-Backed Certificates
5.350% due 07/25/2036		752		752
5.360% due 09/25/2036		809		810
5.360% due 01/25/2038		1,151		1,152
5.370% due 11/25/2036		9,578		9,584
5.370% due 12/25/2036		857		858
5.390% due 01/25/2036		479		480
5.390% due 12/25/2037		1,159		1,160
5.410% due 01/25/2036		1,632		1,634
First NLC Trust
5.390% due 08/25/2037		3,100		3,100
First USA Credit Card Master Trust
5.480% due 04/18/2011		1,100		1,103
Fremont Home Loan Trust
5.370% due 10/25/2036		1,109		1,109
5.380% due 01/25/2037		1,324		1,324
5.390% due 02/25/2037		4,957		4,959
5.490% due 01/25/2036		1,163		1,164
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		1,964		1,966
GS Auto Loan Trust
5.344% due 07/15/2008		2,400		2,400
GSAA Trust
5.430% due 06/25/2035		901		901
GSAMP Trust
5.390% due 09/25/2036		3,000		3,002
5.390% due 10/25/2036		713		714
5.390% due 12/25/2036		1,289		1,290
5.430% due 11/25/2035		68		68
Harley-Davidson, Inc.
5.310% due 05/15/2008		946		947
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		963		963
Home Equity Asset Trust
5.380% due 05/25/2037		1,320		1,320
5.430% due 02/25/2036		439		439
Home Equity Mortgage Trust
5.410% due 05/25/2036		141		141
5.430% due 02/25/2036		84		84
Honda Auto Receivables Owner Trust
5.322% due 03/18/2008		963		964
5.342% due 11/15/2007		253		253
HSBC Asset Loan Obligation
5.380% due 12/25/2036		1,358		1,359
HSI Asset Securitization Corp. Trust
5.370% due 10/25/2036		1,351		1,350
5.370% due 12/25/2036		4,442		4,444
5.400% due 12/25/2035		1,125		1,126
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		142		143
Indymac Residential Asset-Backed Trust
5.360% due 08/25/2036		778		779
5.370% due 11/25/2036		2,147		2,148
5.380% due 04/25/2037		1,105		1,106
5.400% due 07/25/2037		1,200		1,200
5.410% due 03/25/2036		2,100		2,102
5.450% due 04/25/2037		996		997
IXIS Real Estate Capital Trust
5.380% due 08/25/2036		1,813		1,814
JPMorgan Mortgage Acquisition Corp.
5.370% due 07/25/2036		1,088		1,089
5.370% due 08/25/2036		5,044		5,047
5.370% due 10/25/2036		1,390		1,388
5.380% due 04/01/2037		964		964
5.390% due 03/25/2036		1,057		1,058
5.390% due 11/25/2036		1,169		1,169
5.400% due 08/25/2036		2,720		2,722
5.400% due 03/25/2037		1,055		1,056
5.430% due 08/25/2036		5,200		5,203
5.530% due 06/25/2035		496		497
Lehman XS Trust
5.390% due 05/25/2046		698		698
5.400% due 04/25/2046		2,641		2,643
5.400% due 08/25/2046		4,209		4,213
5.400% due 11/25/2046		5,650		5,653
5.410% due 05/25/2046		3,188		3,189
5.440% due 11/25/2036		3,474		3,477
Long Beach Mortgage Loan Trust
5.350% due 06/25/2036		547		547
5.360% due 07/25/2036		1,475		1,475
5.360% due 11/25/2036		1,158		1,159
5.380% due 10/25/2036		1,919		1,920
5.380% due 05/25/2046		1,112		1,113
5.390% due 03/25/2036		1,517		1,518
5.400% due 02/25/2036		893		893
5.410% due 01/25/2036		1,241		1,242
5.600% due 10/25/2034		3,308		3,314
MASTR Asset-Backed Securities Trust
5.360% due 08/25/2036		946		946
5.370% due 03/25/2036		1,233		1,234
5.370% due 01/25/2037		1,398		1,398
5.380% due 10/25/2036		621		621
5.380% due 11/25/2036		1,303		1,304
5.400% due 01/25/2036		2,443		2,445
5.400% due 05/25/2037		1,100		1,101
5.470% due 11/25/2035		1,747		1,749
MBNA Credit Card Master Note Trust
5.440% due 08/16/2010		3,300		3,305
5.446% due 12/15/2009		1,100		1,101
Merrill Lynch First Franklin Mortgage Loan Trust
5.380% due 07/25/2037		1,500		1,500
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		641		642
5.370% due 05/25/2037		3,686		3,687
5.380% due 10/25/2037		1,494		1,495
5.390% due 08/25/2036		3,448		3,448
5.390% due 02/25/2037		1,059		1,060
5.390% due 07/25/2037		3,835		3,837
5.400% due 09/25/2037		5,954		5,958
5.430% due 07/25/2036		995		996
Morgan Stanley ABS Capital I
5.360% due 06/25/2036		727		728
5.360% due 10/25/2036		1,326		1,327
5.360% due 01/25/2037		1,334		1,334
5.370% due 09/25/2036		2,534		2,534
5.370% due 10/25/2036		1,194		1,194
5.370% due 11/25/2036		2,395		2,395
5.380% due 03/25/2036		1,396		1,396
5.380% due 05/25/2037		2,269		2,270
5.390% due 02/25/2036		2,708		2,710
5.400% due 12/25/2035		138		138
5.440% due 02/25/2036		1,400		1,401
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		1,159		1,160
Nationstar Home Equity Loan Trust
5.380% due 03/25/2037		1,320		1,320
5.380% due 06/25/2037		1,100		1,100
Nelnet Student Loan Trust
5.340% due 09/25/2012		1,176		1,177
New Century Home Equity Loan Trust
5.390% due 08/25/2036		2,556		2,557
5.500% due 05/25/2036		1,400		1,401
Newcastle Mortgage Securities Trust
5.390% due 03/25/2036		585		585
Nissan Auto Lease Trust
5.347% due 12/14/2007		45		45
Nomura Home Equity Loan, Inc.
5.400% due 02/25/2036		302		302
Option One Mortgage Loan Trust
5.370% due 07/25/2036		716		716
5.370% due 01/25/2037		1,231		1,232
5.420% due 11/25/2035		101		101
Popular ABS Mortgage Pass-Through Trust
5.410% due 06/25/2047		1,187		1,187
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		1,044		1,045
5.390% due 02/25/2037		1,056		1,057
5.400% due 02/25/2036		850		850
5.400% due 10/25/2036		3,928		3,930
5.420% due 08/25/2046		943		943
Residential Asset Securities Corp.
5.360% due 06/25/2036		1,867		1,868
5.360% due 08/25/2036		2,669		2,670
5.380% due 04/25/2036		2,026		2,028
5.380% due 01/25/2037		1,297		1,297
5.390% due 02/25/2036		1,004		1,005
5.390% due 07/25/2036		3,606		3,607
5.390% due 11/25/2036		3,744		3,746
5.400% due 01/25/2036		992		992
5.400% due 10/25/2036		3,073		3,075
5.430% due 04/25/2037		1,243		1,244
Residential Funding Mortgage Securities II, Inc.
5.460% due 09/25/2035		283		284
SACO I, Inc.
5.400% due 04/25/2036		24		24
Saxon Asset Securities Trust
5.380% due 11/25/2036		5,482		5,484
Securitized Asset-Backed Receivables LLC Trust
5.360% due 01/25/2037		1,308		1,309
5.370% due 09/25/2036		1,233		1,234
5.380% due 03/25/2036		858		859
5.380% due 12/25/2036		1,604		1,604
5.400% due 11/25/2036		1,212		1,213
SLC Student Loan Trust
5.313% due 02/15/2015		4,700		4,699
SLM Student Loan Trust
3.800% due 12/15/2038		750		727
5.325% due 10/25/2012		2,313		2,314
5.325% due 07/25/2013		1,258		1,258
5.335% due 04/25/2012		1,558		1,559
5.335% due 04/25/2014		2,520		2,522
5.345% due 10/27/2014		1,260		1,261
5.345% due 10/25/2016		1,100		1,101
5.345% due 07/25/2017		1,100		1,101
5.345% due 10/25/2018		1,169		1,169
5.505% due 01/25/2017		991		997
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		4,513		4,517
5.380% due 11/25/2036		2,771		2,771
5.380% due 12/25/2036		955		956
5.390% due 05/25/2036		249		249
5.400% due 01/25/2037		1,083		1,083
5.400% due 06/25/2037		1,071		1,072
5.420% due 10/25/2036		954		955
5.430% due 11/25/2035		49		49
5.550% due 06/25/2035		306		306
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		968		968
5.365% due 11/25/2037		1,184		1,184
5.380% due 02/25/2037		577		577
Structured Asset Investment Loan Trust
5.370% due 07/25/2036		847		847
Structured Asset Securities Corp.
4.900% due 04/25/2035		705		703
5.370% due 10/25/2036		4,878		4,880
5.400% due 11/25/2035		703		704
5.400% due 01/25/2037		1,143		1,144
Triad Auto Receivables Owner Trust
5.303% due 06/12/2008		1,100		1,101
USAA Auto Owner Trust
5.337% due 07/11/2008		1,180		1,180
Wachovia Auto Owner Trust
5.337% due 06/20/2008		1,900		1,900
5.340% due 07/18/2008		1,600		1,600
Washington Mutual Asset-Backed Certificates
5.370% due 01/25/2037		1,224		1,224
5.380% due 10/25/2036		1,265		1,265
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		1,235		1,236
5.420% due 03/25/2037		1,261		1,262
Total Asset-Backed Securities (Cost $408,075)				408,275
SOVEREIGN ISSUES 11.9%
Banco Nacional de Desenvolvimento Economico e Social
5.840% due 06/16/2008		32,615		32,534
Banque Centrale de Tunisie
7.500% due 09/19/2007		12,650		12,746
Chile Government International Bond
5.625% due 07/23/2007		405		406
5.755% due 01/28/2008		17,400		17,439
Development Bank of Kazakhstan JSC
7.125% due 10/10/2007		6,250		6,300
Guatemala Government Bond
8.500% due 08/03/2007		4,450		4,476
Korea Development Bank
3.875% due 03/02/2009		7,470		7,284
4.250% due 11/13/2007		11,100		11,033
4.750% due 07/20/2009		26,500		26,133
5.475% due 10/31/2008		28,500		28,480
5.490% due 04/03/2010		38,100		38,133
5.758% due 10/20/2009		39,613		39,895
Mexico Government International Bond
4.625% due 10/08/2008		1,500		1,482
6.055% due 01/13/2009		174,000		175,088
Panama Government International Bond
8.250% due 04/22/2008		7,283		7,410
Russia Government International Bond
8.250% due 03/31/2010		32,934		34,258
Ukraine Government International Bond
8.775% due 08/05/2009		41,925		44,541
Venezuela Government International Bond
6.312% due 12/18/2007		738		740
Total Sovereign Issues (Cost $487,794)				488,378
FOREIGN CURRENCY-DENOMINATED ISSUES 8.6%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	42,900		4,051
Aries Vermoegensverwaltungs GmbH
7.362% due 10/25/2007	EUR	9,500		13,121
Brazil Notas do Tesouro Nacional Series B
6.000% due 05/15/2017	BRL	3,000		2,509
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017		196,876		98,053
Brazilian Government International CPI Linked Bond
6.000% due 05/15/2045		11,250		9,722
10.000% due 01/01/2012		302,555		152,757
Colombia Government International Bond
9.850% due 06/28/2027	COP	28,145,000		14,906
12.000% due 10/22/2015		13,500,000		7,892
Poland Government International Bond
5.750% due 03/24/2010	PLN	7,995		2,901
South Africa Government International Bond
7.500% due 01/15/2014	ZAR	13,905		1,868
13.000% due 08/31/2010		93,700		14,639
Telefonos de Mexico S.A. de C.V.
8.750% due 01/31/2016	MXN	224,500		21,298
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	242,789		9,987
Total Foreign Currency-Denominated Issues (Cost $339,434)				353,704
SHORT-TERM INSTRUMENTS 17.4%
Certificates of Deposit 3.0%
Abbey National Treasury Services PLC
5.270% due 07/02/2008	$	3,100		3,101
BNP Paribas
5.262% due 05/28/2008		4,500		4,502
5.262% due 07/03/2008		6,900		6,899
5.270% due 09/23/2008		4,300		4,299
Calyon Financial, Inc.
5.340% due 01/16/2009		7,500		7,501
Dexia S.A.
5.270% due 09/29/2008		4,100		4,101
Fortis Bank NY
5.265% due 04/28/2008		1,800		1,801
5.265% due 06/30/2008		6,300		6,302
5.300% due 09/30/2008		4,100		4,101
HSBC Bank USA N.A.
5.410% due 07/28/2008		1,400		1,402
Nordea Bank Finland PLC
5.262% due 03/31/2008		1,800		1,800
5.308% due 05/28/2008		4,500		4,503
5.308% due 04/09/2009		8,300		8,305
Royal Bank of Canada
5.267% due 06/30/2008		14,200		14,212
Royal Bank of Scotland Group PLC
5.262% due 07/03/2008		9,400		9,400
5.265% due 03/26/2008		8,700		8,699
Skandinav Enskilda BK
5.270% due 08/21/2008		1,800		1,800
5.272% due 08/21/2008		3,200		3,200
5.340% due 08/21/2008		1,500		1,500
5.350% due 02/13/2009		4,600		4,604
Skandinaviska Enskilda Banken AB
5.330% due 02/04/2008		1,800		1,803
Societe Generale NY
5.270% due 03/26/2008		8,700		8,700
5.271% due 06/30/2008		2,800		2,801
Unicredito Italiano NY
5.358% due 05/06/2008		4,800		4,801
5.360% due 05/29/2008		4,400		4,402
				124,539
Commercial Paper 14.1%
BNP Paribas Finance, Inc.
5.330% due 10/23/2007		44,600		44,600
Fannie Mae
5.080% due 07/02/2007		30,600		30,600
Freddie Mac
4.800% due 07/02/2007		135,800		135,800
General Electric Capital Corp.
5.200% due 11/06/2007		32,600		32,468
Societe Generale NY
5.210% due 11/26/2007		77,700		76,941
5.246% due 11/26/2007		28,500		28,164
UBS Finance Delaware LLC
5.200% due 10/23/2007		61,000		59,973
5.230% due 10/23/2007		53,900		53,665
Westpac Banking Corp.
5.240% due 11/05/2007		115,100		113,742
				575,953
Tri-party Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 07/02/2007		6,754		6,754
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 5.400% due 09/18/2008 valued at $6,894. Repurchase proceeds are $6,757.)
Egypt Treasury Bills 0.1%
9.690% due 02/05/2008	EGP	40,000		6,740
Total Short-Term Instruments (Cost $713,958)				713,986
Total Investments (b) 101.3% (Cost $4,130,154)			$	4,145,859
Other Assets and Liabilities (Net) (1.3%)				(52,017	)
Net Assets 100.0%			$	4,093,842

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

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

(a) When-issued security.

(b) As of June 30, 2007, portfolio securities with an aggregate value of $152,001 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Swap agreements outstanding on June 30, 2007:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009	$	7,500	$	33

⁽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	BRL-CDI-Compounded	Pay	14.120	%	01/04/2010	BRL	17,000	$	560
Barclays Bank PLC	BRL-CDI-Compounded	Pay	14.190	%	01/04/2010		34,000		1,145
JPMorgan Chase & Co.	BRL-CDI-Compounded	Pay	15.370	%	01/02/2009		31,000		1,086
JPMorgan Chase & Co.	BRL-CDI-Compounded	Pay	16.230	%	01/02/2009		25,000		1,076
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	15.160	%	01/02/2009		7,300		243
Morgan Stanley	BRL-CDI-Compounded	Pay	16.120	%	07/02/2007		12,900		149
Morgan Stanley	BRL-CDI-Compounded	Pay	14.630	%	01/02/2009		50,100		1,397
Citibank N.A.	6-Month CZK-LIBOR	Pay	3.340	%	01/10/2012	CZK	47,690		(81	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.895	%	02/07/2012	KRW	4,683,000		(74	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.880	%	02/08/2012		4,666,667		(77	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	08/03/2016	MXN	17,100		72
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	10.160	%	06/02/2016		80,000		1,012
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	08/03/2016		17,100		71
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		1,000		0
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	09/12/2016		200,000		963
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		140,000		78
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	04/17/2009		80,700		64
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	10.280	%	06/07/2016		57,000		775
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	9.920	%	08/12/2015		7,000		72
								$	8,531

(d) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	47,368	05/2008	$	0	$	(23	)	$	(23	)
Buy	BRL	46,460	10/2007		860		(56	)		804
Buy		321,329	03/2008		11,727		0			11,727
Buy	CLP	52,553,984	11/2007		2,334		(70	)		2,264
Sell		473,280	11/2007		0		(26	)		(26	)
Buy		31,723,817	03/2008		1		(288	)		(287	)
Buy	CNY	683,513	07/2007		1,558		0			1,558
Sell		683,513	07/2007		24		(219	)		(195	)
Buy		100,337	09/2007		264		0			264
Sell		22,893	09/2007		0		(41	)		(41	)
Buy		762	11/2007		2		0			2
Sell		37,640	11/2007		0		(28	)		(28	)
Buy		12,803	12/2007		0		(3	)		(3	)
Sell		24,402	12/2007		2		(3	)		(1	)
Buy		425,977	01/2008		36		(98	)		(62	)
Sell		1,440	01/2008		1		0			1
Buy		194,068	03/2009		0		(61	)		(61	)
Buy	COP	138,397,154	03/2008		3,681		(1,303	)		2,378
Buy	CZK	148,232	07/2007		7		(29	)		(22	)
Sell		42,886	07/2007		0		(29	)		(29	)
Buy		2,501,624	09/2007		0		(2,264	)		(2,264	)
Buy		3,632,641	03/2008		27		(3,574	)		(3,547	)
Sell	EUR	10,986	07/2007		0		(144	)		(144	)
Buy	GBP	140	08/2007		1		0			1
Buy	HKD	557,403	07/2007		4		0			4
Sell		557,403	07/2007		36		0			36
Buy		557,403	08/2007		0		(32	)		(32	)
Buy	HUF	921,400	09/2007		20		0			20
Buy		14,465,657	11/2007		851		(19	)		832
Buy	IDR	632,673,125	07/2007		928		(16	)		912
Sell		5,627,250	07/2007		0		(13	)		(13	)
Buy		445,580,379	08/2007		445		(45	)		400
Sell		10,484,550	08/2007		0		(6	)		(6	)
Buy		627,045,875	10/2007		562		0			562
Buy	ILS	387,692	12/2007		0		(934	)		(934	)
Buy	INR	1,275,671	10/2007		2,200		0			2,200
Buy		2,567,038	11/2007		614		(117	)		497
Buy	JPY	875,629	07/2007		0		(103	)		(103	)
Buy	KRW	14,543,117	07/2007		86		0			86
Buy		33,337,782	08/2007		0		(11	)		(11	)
Sell		200,000	08/2007		0		(1	)		(1	)
Buy		22,786,913	09/2007		378		0			378
Buy		75,646,213	11/2007		303		0			303
Sell		68,997,540	11/2007		0		(340	)		(340	)
Buy	KWD	3,711	05/2008		24		(18	)		6
Buy	KZT	1,180,855	07/2007		71		0			71
Buy		37,890	11/2007		0		(6	)		(6	)
Buy	MXN	1,698,723	09/2007		3,320		(16	)		3,304
Buy		2,477,824	03/2008		6,056		(3	)		6,053
Sell		132,396	03/2008		0		(305	)		(305	)
Buy	MYR	152,428	07/2007		708		0			708
Sell		152,428	07/2007		0		(85	)		(85	)
Buy		167,691	09/2007		201		(27	)		174
Buy		179,789	10/2007		10		(76	)		(66	)
Buy		64,586	05/2008		3		(425	)		(422	)
Buy	PHP	3,427,944	08/2007		2,508		0			2,508
Buy		652,520	11/2007		1		(282	)		(281	)
Buy	PLN	1,099,306	09/2007		6,323		(176	)		6,147
Buy		124,848	03/2008		1,490		(32	)		1,458
Buy	RON	253,745	07/2007		9,345		0			9,345
Sell		253,745	07/2007		0		(1,919	)		(1,919	)
Buy		311,097	01/2008		1,710		(15	)		1,695
Buy	RUB	1,301,516	08/2007		1,768		0			1,768
Sell		111,725	09/2007		0		(87	)		(87	)
Buy		34,828	11/2007		47		0			47
Buy		2,018,009	12/2007		2,295		0			2,295
Sell		314,388	12/2007		0		(395	)		(395	)
Buy		2,068,984	01/2008		1,374		0			1,374
Sell		31,311	01/2008		0		(42	)		(42	)
Buy	SAR	48,427	05/2008		1		(1	)		0
Buy	SGD	35,481	07/2007		34		(174	)		(140	)
Sell		79	07/2007		1		0			1
Buy		176,034	08/2007		60		(621	)		(561	)
Buy		5,148	09/2007		0		(11	)		(11	)
Buy		202,221	10/2007		38		(1,602	)		(1,564	)
Buy		230,007	11/2007		10		(1,636	)		(1,626	)
Sell		461	11/2007		0		(1	)		(1	)
Buy	SKK	86,905	07/2007		144		0			144
Sell		22,722	07/2007		0		(75	)		(75	)
Buy		186,390	11/2007		0		(60	)		(60	)
Buy		3,418,420	03/2008		409		(553	)		(144	)
Buy	TRY	125,752	07/2007		12,792		0			12,792
Sell		1,792	07/2007		0		(177	)		(177	)
Buy		188,950	03/2008		4,485		0			4,485
Sell		5,224	03/2008		0		(314	)		(314	)
Buy	TWD	1,671,609	07/2007		354		0			354
Sell		14,697	07/2007		3		0			3
Buy		1,656,912	08/2007		0		(177	)		(177	)
Buy	ZAR	797,343	09/2007		2,019		(29	)		1,990
Buy		607,820	03/2008		0		(1,124	)		(1,124	)
				$	84,556	$	(20,360	)	$	64,196

See accompanying notes

Schedule of Investments

Diversified Income Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 5.3%
Allied Waste North America, Inc.
5.320% due 01/15/2012	$	1,555	$	1,562
7.060% due 03/28/2014		1,408		1,413
7.110% due 03/28/2014		970		973
7.140% due 03/28/2014		516		518
7.150% due 03/28/2014		563		565
Amadeus Global Travel Distribution S.A.
7.830% due 04/08/2013		2,500		2,518
8.580% due 04/08/2014		2,500		2,525
Appleton Papers, Inc.
5.320% due 05/21/2014		333		334
5.340% due 05/21/2014		333		334
5.360% due 05/21/2014		333		334
Berry Plastics Holding Corp.
11.610% due 06/15/2014		4,500		4,480
Biomet, Inc.
6.000% due 03/08/2008		2,500		2,506
Boc Group, Inc.
7.360% due 05/31/2014		2,500		2,508
Community Health Corp.
4.000% due 07/02/2014		247		248
5.000% due 07/02/2014		3,753		3,761
CSC Holdings, Inc.
7.070% due 02/24/2013		4,710		4,714
7.070% due 03/29/2013		275		275
Dex Media East LLC
6.840% due 05/08/2009		147		147
6.850% due 05/08/2009		244		244
6.860% due 05/08/2009		1,608		1,608
Dex Media West LLC
6.820% due 09/09/2010		451		451
6.840% due 09/09/2010		848		848
6.860% due 09/09/2010		1,691		1,692
Dobson Communications Corp.
7.320% due 03/14/2014		15		15
7.360% due 03/14/2014		5,985		5,987
FCI Connectors
7.117% due 03/09/2013		2,500		2,499
Ford Motor Co.
8.360% due 11/29/2013		995		1,000
Fresenius Medical Care Capital Trust
6.725% due 03/22/2013		4,423		4,426
6.735% due 03/22/2013		577		578
General Motors Acceptance Corp.
7.725% due 11/17/2013		998		1,005
Georgia-Pacific Corp.
7.110% due 12/20/2012		7,900		7,927
Goodyear Tire & Rubber Co.
7.100% due 04/20/2014		5,000		4,982
Hawaiian Telcom Communications, Inc.
7.610% due 06/01/2014		1,700		1,698
HCA, Inc.
7.600% due 11/14/2013		2,494		2,508
Health Management Associates, Inc.
7.100% due 01/16/2014		4,000		4,009
Hertz Corp.
5.360% due 12/21/2012		222		223
7.090% due 12/20/2012		486		489
7.090% due 12/21/2012		75		76
7.110% due 12/21/2012		680		684
Ineos Group Holdings PLC
7.580% due 10/07/2012		2,000		2,007
7.580% due 10/07/2013		2,485		2,504
8.080% due 10/07/2014		2,485		2,514
Kingdom of Morocco
5.688% due 01/05/2009		29		30
Las Vegas Sands Corp.
3.000% due 05/15/2014		1,000		999
7.110% due 05/15/2014		4,000		3,996
Lukoil Finance Ltd.
6.020% due 01/11/2009		2,415		2,402
Metro-Goldwyn-Mayer, Inc.
8.600% due 04/08/2012		1,000		1,004
8.614% due 04/08/2012		6,970		6,995
MGM Mirage
6.505% due 10/03/2011		400		396
6.531% due 10/03/2011		400		396
6.555% due 10/03/2011		1,200		1,189
NRG Energy, Inc.
7.070% due 11/04/2012		2,121		2,116
OAO Rosneft Oil Co.
6.000% due 09/16/2007		22,000		22,031
RH Donnelley, Inc.
6.850% due 09/09/2010		322		322
6.850% due 06/30/2011		1,215		1,216
6.860% due 09/09/2010		564		564
6.860% due 06/30/2011		3,785		3,788
Shackleton Re Ltd.
12.875% due 08/01/2008		1,500		1,508
13.375% due 08/01/2008		500		504
SLM Corp.
6.000% due 06/30/2008		2,000		1,990
Thompson Learning, Inc.
5.000% due 06/27/2014		6,000		5,930
Travelport
8.000% due 08/23/2013		5,000		4,994
Tribune Co.
8.375% due 05/30/2014		4,750		4,649
Total Bank Loan Obligations (Cost $146,630)				146,708
CORPORATE BONDS & NOTES 50.2%
Banking & Finance 12.0%
ABX Financing Co.
6.350% due 10/15/2036		2,100		2,027
AES Ironwood LLC
8.857% due 11/30/2025		1,592		1,775
AES Red Oak LLC
8.540% due 11/30/2019		2,633		2,883
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		220		241
American Express Bank FSB
5.340% due 06/12/2009		3,000		3,001
American Honda Finance Corp.
4.500% due 05/26/2009		500		492
American International Group, Inc.
2.875% due 05/15/2008		1,000		978
5.360% due 06/23/2008		1,000		1,000
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014		1,980		1,987
Banco Santander Chile
5.710% due 12/09/2009		5,000		5,028
Bank of America Corp.
3.875% due 01/15/2008		920		913
4.750% due 08/01/2015		1,400		1,310
BankAmerica Instit-A
8.070% due 12/31/2026		500		520
Bear Stearns Cos., Inc.
4.500% due 10/28/2010		1,000		968
Berkshire Hathaway Finance Corp.
4.625% due 10/15/2013		500		475
Bluewater Finance Ltd.
10.250% due 02/15/2012		2,050		2,147
C5 Capital SPV Ltd.
6.196% due 12/01/2049		200		199
C10 Capital SPV Ltd.
6.722% due 12/18/2049		1,600		1,564
6.722% due 12/31/2049		2,000		1,952
Calabash Re II Ltd.
16.260% due 01/08/2010		1,000		1,041
Caterpillar Financial Services Corp.
4.500% due 06/15/2009		1,000		985
Citicorp
6.375% due 11/15/2008		400		405
Citigroup, Inc.
6.000% due 02/21/2012		650		663
Columbia University
6.875% due 12/15/2015		500		528
Commonwealth Bank of Australia
6.024% due 03/29/2049		3,400		3,325
ConocoPhillips Canada Funding Co.
5.300% due 04/15/2012		2,800		2,771
Credit Agricole S.A.
5.360% due 05/28/2009		2,000		2,001
5.410% due 05/28/2010		10,000		10,007
DBS Bank Ltd.
5.580% due 05/16/2017		5,000		5,010
Desarrolladora Homex S.A. de C.V.
7.500% due 09/28/2015		7,032		7,313
East Lane Re Ltd.
12.355% due 05/06/2011		1,000		1,005
Export-Import Bank of China
4.875% due 07/21/2015		2,050		1,946
5.250% due 07/29/2014		6,625		6,442
Ferrellgas Escrow LLC
6.750% due 05/01/2014		2,000		1,905
First Empire Capital Trust II
8.277% due 06/01/2027		500		521
Ford Motor Credit Co.
5.800% due 01/12/2009		5,840		5,719
6.625% due 06/16/2008		1,000		1,000
7.250% due 10/25/2011		1,300		1,252
7.800% due 06/01/2012		1,200		1,172
8.000% due 12/15/2016		11,770		11,292
Forest City Enterprises, Inc.
6.500% due 02/01/2017		1,000		952
7.625% due 06/01/2015		375		380
Foundation Re II Ltd.
12.110% due 11/26/2010		1,800		1,808
Frank Russell Co.
5.625% due 01/15/2009		500		502
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		1,400		1,429
General Electric Capital Corp.
5.400% due 03/16/2009		700		700
5.450% due 01/15/2013		5,000		4,954
5.470% due 04/10/2012		18,000		18,026
5.875% due 02/15/2012		500		506
General Motors Acceptance Corp.
6.510% due 09/23/2008		900		900
6.750% due 12/01/2014		4,650		4,459
8.000% due 11/01/2031		4,340		4,450
General RE Corp.
9.000% due 09/12/2009		500		535
GMAC LLC
6.625% due 05/15/2012		9,100		8,797
Goldman Sachs Group, Inc.
4.750% due 07/15/2013		1,225		1,161
5.250% due 10/15/2013		2,400		2,330
5.685% due 07/23/2009		2,150		2,162
5.700% due 09/01/2012		165		165
6.125% due 02/15/2033		45		43
7.350% due 10/01/2009		500		521
GPB Eurobond Finance PLC for Gazprombank
6.500% due 09/23/2015		1,500		1,471
HBOS PLC
5.920% due 09/29/2049		7,500		7,045
Hexion U.S. Finance Corp.
9.750% due 11/15/2014		4,435		4,612
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		2,900		3,081
HSBC Bank USA N.A.
4.625% due 04/01/2014		400		374
5.430% due 09/21/2007		400		400
HSBC Capital Funding LP
4.610% due 12/29/2049		4,700		4,417
HSBC Finance Corp.
4.125% due 12/15/2008		500		491
4.750% due 07/15/2013		120		113
6.400% due 06/17/2008		950		959
HSBC Holdings PLC
6.500% due 05/02/2036		5,300		5,465
ICICI Bank Ltd.
5.750% due 01/12/2012		2,100		2,064
Industrial Bank of Korea
4.000% due 05/19/2014		30		29
Intergas Finance BV
6.375% due 05/14/2017		2,700		2,592
6.875% due 11/04/2011		1,800		1,834
International Lease Finance Corp.
5.756% due 01/15/2010		3,000		3,025
J. Paul Getty Trust
5.875% due 10/01/2033		1,000		961
JPMorgan Chase & Co.
5.410% due 06/26/2009		500		501
Kazkommerts International BV
8.500% due 04/16/2013		350		358
KRATON Polymers LLC
8.125% due 01/15/2014		2,000		1,960
Lehman Brothers Holdings, Inc.
5.445% due 10/22/2008		2,000		2,003
Longpoint Re Ltd.
10.609% due 05/08/2010		1,600		1,600
MBNA Capital B
6.156% due 02/01/2027		3,000		2,998
MetLife, Inc.
5.375% due 12/15/2012		45		45
Mirage Resorts, Inc.
7.250% due 08/01/2017		1,400		1,379
Mizuho JGB Investment LLC
9.870% due 12/31/2049		600		624
Mizuho Preferred Capital Co. LLC
8.790% due 06/30/2008		3,000		3,088
8.790% due 12/29/2049		450		463
Morgan Stanley
5.467% due 02/09/2009		700		701
5.484% due 01/18/2008		300		300
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		2,400		2,362
Mystic Re Ltd.
11.660% due 12/05/2008		1,100		1,094
14.360% due 12/05/2008		850		842
15.360% due 06/07/2011		1,000		1,002
National Rural Utilities Cooperative Finance Corp.
4.750% due 03/01/2014		750		710
7.250% due 03/01/2012		4,815		5,135
Nationwide Mutual Insurance Co.
8.250% due 12/01/2031		500		592
NSG Holdings LLC/NSG Holdings, Inc.
7.750% due 12/15/2025		1,510		1,533
Pemex Finance Ltd.
9.690% due 08/15/2009		598		628
Petroleum Export Ltd.
4.623% due 06/15/2010		2,667		2,634
5.265% due 06/15/2011		7,298		7,123
Petroleum Export Ltd. II
6.340% due 06/20/2011		3,754		3,679
Rabobank Capital Funding II
5.260% due 12/31/2049		860		826
Residential Capital Corp.
6.375% due 06/30/2010		750		741
Residential Reinsurance 2007 Ltd.
12.610% due 06/07/2010		5,600		5,609
Rotech Healthcare, Inc.
9.500% due 04/01/2012		1,775		1,686
Royal Bank of Scotland Group PLC
5.750% due 07/06/2012		1,500		1,500
9.118% due 03/31/2049		500		544
RSHB Capital AG S.A. for OJSC Russian
Agricultural Bank
6.299% due 05/15/2017		7,420		7,281
6.875% due 11/29/2010		1,000		1,019
7.175% due 05/16/2013		2,350		2,453
Sally Holdings LLC
9.250% due 11/15/2014		1,000		1,008
Shackleton Re Ltd.
13.355% due 02/07/2008		500		507
Socgen Real Estate Co. LLC
7.640% due 12/29/2049		500		502
Spinnaker Capital Ltd.
16.860% due 06/15/2008		2,000		1,999
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		2,100		2,005
Swiss Bank Corp. NY
7.000% due 10/15/2015		500		543
Targeted Return Index Securities Trust
7.548% due 05/01/2016		3,828		3,768
Tenneco, Inc.
8.625% due 11/15/2014		3,150		3,260
10.250% due 07/15/2013		2,700		2,916
Textron Financial Corp.
5.450% due 01/11/2010		15,000		14,985
TNB Capital L Ltd.
5.250% due 05/05/2015		570		551
TNK-BP Finance S.A.
6.125% due 03/20/2012		1,000		980
6.625% due 03/20/2017		4,400		4,274
7.500% due 07/18/2016		7,050		7,286
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		3,300		3,314
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,500		1,506
UBS Preferred Funding Trust V
6.243% due 05/12/2049		2,500		2,514
UFJ Finance Aruba AEC
6.750% due 07/15/2013		250		264
Universal City Development Partners
11.750% due 04/01/2010		500		531
Universal City Florida Holding Co. I
8.375% due 05/01/2010		500		514
Ventas Realty LP
6.500% due 06/01/2016		400		392
6.750% due 04/01/2017		1,785		1,772
8.750% due 05/01/2009		500		526
9.000% due 05/01/2012		800		878
Vita Capital III Ltd.
6.449% due 01/01/2011		3,150		3,154
VTB Capital S.A. for Vneshtorgbank
6.110% due 09/21/2007		10,100		10,110
8.255% due 07/30/2007		1,400		1,406
Wachovia Corp.
5.250% due 08/01/2014		500		486
Wells Fargo Capital X
5.950% due 12/15/2036		2,800		2,620
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		1,000		1,153
				330,213
Industrials 28.9%
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		3,150		3,024
AES El Salvador Trust
6.750% due 02/01/2016		11,800		11,734
Albertson’s, Inc.
6.570% due 02/23/2028		800		688
7.450% due 08/01/2029		5,100		5,000
7.750% due 06/15/2026		2,150		2,179
Allied Waste North America, Inc.
7.250% due 03/15/2015		3,500		3,482
American Greetings Corp.
7.375% due 06/01/2016		3,500		3,552
AmeriGas Partners LP
7.125% due 05/20/2016		5,500		5,431
7.250% due 05/20/2015		500		497
Anheuser-Busch Cos., Inc.
6.000% due 04/15/2011		500		509
Aramark Corp.
8.500% due 02/01/2015		4,470		4,571
Armor Holdings, Inc.
8.250% due 08/15/2013		325		344
ArvinMeritor, Inc.
8.125% due 09/15/2015		6,410		6,242
8.750% due 03/01/2012		1,760		1,786
AstraZeneca PLC
5.400% due 06/01/2014		500		492
Atlantic Richfield Co.
8.530% due 02/27/2012		500		561
Barrick Gold Finance Co.
4.875% due 11/15/2014		1,000		941
BHP Billiton Finance USA Ltd.
5.250% due 12/15/2015		7,300		6,998
6.750% due 11/01/2013		1,500		1,578
Boise Cascade LLC
8.231% due 10/15/2012		500		502
Bombardier, Inc.
8.000% due 11/15/2014		4,400		4,576
Bon-Ton Stores, Inc.
10.250% due 03/15/2014		6,310		6,420
Bowater Canada Finance
7.950% due 11/15/2011		2,950		2,791
Brinker International, Inc.
5.750% due 06/01/2014		500		477
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		100		100
Buhrmann U.S., Inc.
7.875% due 03/01/2015		700		693
8.250% due 07/01/2014		1,850		1,868
BW Group Ltd.
6.625% due 06/28/2017		760		764
C8 Capital SPV Ltd.
6.640% due 12/31/2011		22,900		22,558
6.640% due 12/31/2049		6,100		6,012
Caesars Entertainment, Inc.
7.000% due 04/15/2013		500		524
7.500% due 09/01/2009		5,000		5,115
8.875% due 09/15/2008		335		345
CanWest Media, Inc.
8.000% due 09/15/2012		1,803		1,799
CBS Corp.
5.625% due 08/15/2012		3,500		3,445
Celestica, Inc.
7.875% due 07/01/2011		1,100		1,072
CenterPoint Energy Resources Corp.
7.750% due 02/15/2011		1,500		1,601
Chart Industries, Inc.
9.125% due 10/15/2015		1,300		1,371
Charter Communications Holdings II LLC
10.250% due 09/15/2010		1,000		1,050
Charter Communications Operating LLC
8.375% due 04/30/2014		2,900		2,965
Chemtura Corp.
6.875% due 06/01/2016		2,600		2,470
Chesapeake Energy Corp.
6.625% due 01/15/2016		2,250		2,177
6.875% due 01/15/2016		2,760		2,712
Cisco Systems, Inc.
5.500% due 02/22/2016		500		489
Citic Resources Finance Ltd.
6.750% due 05/15/2014		600		580
Coca-Cola Enterprises, Inc.
4.250% due 09/15/2010		500		483
CODELCO, Inc.
5.625% due 09/21/2035		12,000		11,111
6.150% due 10/24/2036		12,100		11,899
Colorado Interstate Gas Co.
6.800% due 11/15/2015		2,300		2,377
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		315		352
Comcast Cable Communications, Inc.
6.200% due 11/15/2008		100		101
6.875% due 06/15/2009		1,095		1,122
7.125% due 06/15/2013		2,130		2,260
Comcast Corp.
5.300% due 01/15/2014		2,000		1,930
5.500% due 03/15/2011		500		498
5.900% due 03/15/2016		2,900		2,853
6.500% due 01/15/2015		100		103
7.050% due 03/15/2033		200		207
Communications & Power Industries, Inc.
8.000% due 02/01/2012		500		508
Compagnie Générale de Géophysique-Veritas
7.750% due 05/15/2017		550		560
Conoco Funding Co.
7.250% due 10/15/2031		2,500		2,832
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		2,400		2,262
Corrections Corp. of America
7.500% due 05/01/2011		150		153
Cox Communications, Inc.
7.125% due 10/01/2012		725		767
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		425		431
7.750% due 11/15/2015		525		530
CSC Holdings, Inc.
7.625% due 04/01/2011		2,300		2,294
7.875% due 02/15/2018		5,389		5,227
8.125% due 08/15/2009		25		26
CVS Caremark Corp.
5.660% due 06/01/2010		2,000		2,002
DaimlerChrysler N.A. Holding Corp.
5.840% due 09/10/2007		1,632		1,633
DaVita, Inc.
7.250% due 03/15/2015		3,400		3,374
Delhaize America, Inc.
8.050% due 04/15/2027		600		629
9.000% due 04/15/2031		3,695		4,483
Delta Air Lines, Inc.
7.379% due 11/18/2011		4,685		4,752
Dex Media West LLC
9.875% due 08/15/2013		2,980		3,204
DirecTV Holdings LLC
8.375% due 03/15/2013		370		389
Dow Chemical Co.
5.750% due 12/15/2008		105		105
6.000% due 10/01/2012		250		253
Dresser-Rand Group, Inc.
7.375% due 11/01/2014		100		101
DRS Technologies, Inc.
7.625% due 02/01/2018		3,500		3,552
Dynegy Holdings, Inc.
7.750% due 06/01/2019		3,350		3,132
8.375% due 05/01/2016		9,420		9,255
EchoStar DBS Corp.
5.750% due 10/01/2008		3,900		3,900
7.125% due 02/01/2016		7,125		7,000
El Paso Corp.
7.000% due 06/15/2017		11,500		11,432
7.750% due 06/15/2010		300		313
7.750% due 01/15/2032		1,100		1,114
7.875% due 06/15/2012		620		651
8.050% due 10/15/2030		2,550		2,692
Embraer Overseas Ltd.
6.375% due 01/24/2017		1,400		1,376
Enterprise Products Operating LP
4.000% due 10/15/2007		700		697
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		4,120		4,264
Fisher Communications, Inc.
8.625% due 09/15/2014		500		535
Ford Motor Co.
7.450% due 07/16/2031		5,425		4,360
Freeport-McMoRan Copper & Gold, Inc.
8.375% due 04/01/2017		2,077		2,222
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		4,360		4,186
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		1,260		1,310
Fund American Cos., Inc.
5.875% due 05/15/2013		1,000		985
Gaz Capital for Gazprom
6.212% due 11/22/2016		6,750		6,592
8.625% due 04/28/2034		33,540		41,952
Gazprom International S.A.
7.201% due 02/01/2020		5,103		5,277
Gazstream S.A. for OAO Gazprom
5.625% due 07/22/2013		2,599		2,580
General Motors Corp.
8.250% due 07/15/2023		5,325		4,879
8.800% due 03/01/2021		3,000		2,850
General Motors Nova Scotia Finance Co.
6.850% due 10/15/2008		2,370		2,364
Georgia-Pacific Corp.
7.125% due 01/15/2017		6,250		6,031
8.000% due 01/15/2024		5,720		5,577
8.125% due 05/15/2011		800		821
Goodyear Tire & Rubber Co.
8.625% due 12/01/2011		602		637
9.000% due 07/01/2015		682		738
Graphic Packaging International
8.500% due 08/15/2011		1,900		1,952
Greif, Inc.
6.750% due 02/01/2017		5,300		5,207
Grupo Transportacion Ferroviaria Mexicana S.A. de C.V.
9.375% due 05/01/2012		600		645
Hanover Compressor Co.
8.625% due 12/15/2010		500		518
Hanover Equipment Trust
8.500% due 09/01/2008		443		443
8.750% due 09/01/2011		2,000		2,065
HCA, Inc.
6.750% due 07/15/2013		4,450		4,061
7.190% due 11/15/2015		1,700		1,541
9.125% due 11/15/2014		6,000		6,322
9.250% due 11/15/2016		5,000		5,338
9.625% due 11/15/2016 (b)		4,000		4,310
Health Management Associates, Inc.
6.125% due 04/15/2016		2,120		2,006
Hertz Corp.
8.875% due 01/01/2014		1,300		1,362
Hess Corp.
6.650% due 08/15/2011		810		838
7.300% due 08/15/2031		425		457
Hewlett-Packard Co.
6.500% due 07/01/2012		500		522
HJ Heinz Co.
6.428% due 12/01/2008		5,100		5,153
Horizon Lines LLC
9.000% due 11/01/2012		1,182		1,256
Hospira, Inc.
4.950% due 06/15/2009		500		495
Host Marriott LP
6.750% due 06/01/2016		900		886
7.000% due 08/15/2012		2,000		2,012
Hyundai Motor Manufacturing Alabama LLC
5.300% due 12/19/2008		3,000		2,977
Idearc, Inc.
8.000% due 11/15/2016		2,800		2,842
Ineos Group Holdings PLC
8.500% due 02/15/2016		1,800		1,768
Ingles Markets, Inc.
8.875% due 12/01/2011		2,525		2,629
Intelsat Bermuda Ltd.
9.250% due 06/15/2016		5,400		5,764
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
ISA Capital do Brasil S.A.
7.875% due 01/30/2012		900		922
8.800% due 01/30/2017		2,200		2,360
Jefferson Smurfit Corp. U.S.
7.500% due 06/01/2013		2,150		2,096
8.250% due 10/01/2012		279		278
L-3 Communications Corp.
6.375% due 10/15/2015		1,500		1,425
7.625% due 06/15/2012		5,060		5,205
Lyondell Chemical Co.
8.000% due 09/15/2014		2,500		2,581
8.250% due 09/15/2016		2,550		2,678
Mandalay Resort Group
9.375% due 02/15/2010		1,534		1,626
9.500% due 08/01/2008		750		776
10.250% due 08/01/2007		100		100
Marathon Oil Corp.
6.000% due 07/01/2012		500		507
MGM Mirage
7.500% due 06/01/2016		4,690		4,473
8.375% due 02/01/2011		3,225		3,314
Miller Brewing Co.
5.500% due 08/15/2013		1,000		985
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		28,250		32,804
Nalco Co.
7.750% due 11/15/2011		2,825		2,860
8.875% due 11/15/2013		400		417
Norampac, Inc.
6.750% due 06/01/2013		1,170		1,122
Norfolk Southern Corp.
5.640% due 05/17/2029		164		149
7.800% due 05/15/2027		6		7
Nortel Networks Ltd.
10.125% due 07/15/2013		3,200		3,448
10.750% due 07/15/2016		2,100		2,331
Northwest Airlines, Inc.
7.626% due 10/01/2011		1,507		1,511
Northwest Pipeline Corp.
7.000% due 06/15/2016		5,000		5,238
Novelis, Inc.
7.250% due 02/15/2015		2,843		2,932
OPTI Canada, Inc.
8.250% due 12/15/2014		2,640		2,693
Oracle Corp.
5.000% due 01/15/2011		15,000		14,796
Owens Brockway Glass Container, Inc.
6.750% due 12/01/2014		3,750		3,675
8.750% due 11/15/2012		1,450		1,519
8.875% due 02/15/2009		4,559		4,662
Peabody Energy Corp.
7.375% due 11/01/2016		2,040		2,091
Pemex Project Funding Master Trust
5.750% due 12/15/2015		10,110		9,931
5.960% due 12/03/2012		7,100		7,201
6.625% due 06/15/2035		420		427
6.660% due 06/15/2010		700		719
7.156% due 10/15/2009		2,600		2,697
7.375% due 12/15/2014		3,406		3,719
8.000% due 11/15/2011		1,800		1,958
8.625% due 02/01/2022		2,117		2,614
9.125% due 10/13/2010		500		551
9.250% due 03/30/2018		4,068		5,075
9.375% due 12/02/2008		203		214
Petrobras International Finance Co.
6.125% due 10/06/2016		500		492
Petroleos de Venezuela S.A.
5.250% due 04/12/2017		6,000		4,566
5.375% due 04/12/2027		2,800		1,862
Petronas Capital Ltd.
7.000% due 05/22/2012		250		264
Pilgrim’s Pride Corp.
7.625% due 05/01/2015		955		957
Pioneer Natural Resources Co.
6.875% due 05/01/2018		2,000		1,906
Plains Exploration & Production Co.
7.000% due 03/15/2017		2,000		1,905
Premark International, Inc.
6.875% due 11/15/2008		500		510
Quiksilver, Inc.
6.875% due 04/15/2015		2,810		2,655
Qwest Communications International, Inc.
7.500% due 02/15/2014		20,125		20,477
Reynolds American, Inc.
6.750% due 06/15/2017		1,050		1,055
7.625% due 06/01/2016		8,850		9,415
RH Donnelley Corp.
8.875% due 01/15/2016		2,850		2,978
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		1,000		1,010
Rogers Cable, Inc.
6.750% due 03/15/2015		2,450		2,530
Rowan Cos., Inc.
5.880% due 03/15/2012		3,179		3,214
Royal Caribbean Cruises Ltd.
7.250% due 03/15/2018		1,300		1,279
7.500% due 10/15/2027		2,475		2,368
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		500		552
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		5,000		5,364
Sanmina-SCI Corp.
8.125% due 03/01/2016		3,125		2,922
SEACOR Holdings, Inc.
5.875% due 10/01/2012		500		485
SemGroup LP
8.750% due 11/15/2015		5,150		5,202
Sensata Technologies BV
8.000% due 05/01/2014		2,940		2,852
Service Corp. International
7.625% due 10/01/2018		3,070		3,124
Sino-Forest Corp.
9.125% due 08/17/2011		1,000		1,065
Smurfit Capital Funding PLC
7.500% due 11/20/2025		1,500		1,519
Smurfit Kappa Funding PLC
9.625% due 10/01/2012		209		220
Smurfit-Stone Container Enterprises, Inc.
8.000% due 03/15/2017		690		673
8.375% due 07/01/2012		5,150		5,182
Southern Natural Gas Co.
6.700% due 10/01/2007		1,000		1,008
Spansion, Inc.
8.485% due 06/01/2013		400		402
Starwood Hotels & Resorts Worldwide, Inc.
7.875% due 05/01/2012		500		521
Station Casinos, Inc.
6.875% due 03/01/2016		2,913		2,585
7.750% due 08/15/2016		1,450		1,443
Sungard Data Systems, Inc.
9.125% due 08/15/2013		3,400		3,498
Superior Essex Communications LLC
9.000% due 04/15/2012		1,000		1,025
Target Corp.
4.875% due 05/15/2018		250		231
Tenet Healthcare Corp.
6.375% due 12/01/2011		300		276
9.875% due 07/01/2014		750		746
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		3,400		3,341
Tesoro Corp.
6.500% due 06/01/2017		2,300		2,260
Time Warner, Inc.
6.750% due 04/15/2011		4,000		4,140
6.875% due 05/01/2012		2,625		2,741
7.700% due 05/01/2032		200		217
TransDigm, Inc.
7.750% due 07/15/2014		1,000		1,015
Transocean, Inc.
5.560% due 09/05/2008		300		300
Triad Hospitals, Inc.
7.000% due 11/15/2013		3,393		3,576
Trinity Industries, Inc.
6.500% due 03/15/2014		800		786
TRW Automotive, Inc.
7.000% due 03/15/2014		5,735		5,491
7.250% due 03/15/2017		2,200		2,106
Tyco International Group S.A.
6.375% due 10/15/2011		445		459
6.750% due 02/15/2011		500		524
United Airlines, Inc.
6.201% due 03/01/2010		481		486
7.336% due 07/02/2019		500		505
10.850% due 02/19/2015 (a)		1,124		589
United Surgical Partners International, Inc.
8.875% due 05/01/2017		150		151
Vale Overseas Ltd.
6.250% due 01/11/2016		3,200		3,190
6.250% due 01/23/2017		2,900		2,891
6.875% due 11/21/2036		27,745		27,958
8.250% due 01/17/2034		20,500		24,081
Verso Paper Holdings LLC
9.125% due 08/01/2014		1,700		1,764
11.375% due 08/01/2016		1,985		2,129
Viacom, Inc.
5.750% due 04/30/2011		5,300		5,297
Vitro SAB de C.V.
8.625% due 02/01/2012		3,500		3,570
9.125% due 02/01/2017		5,800		5,974
Wal-Mart Stores, Inc.
4.125% due 02/15/2011		1,000		961
8.800% due 12/30/2014		500		580
Walt Disney Co.
6.200% due 06/20/2014		500		518
6.375% due 03/01/2012		640		664
Waste Management, Inc.
7.375% due 08/01/2010		900		944
7.650% due 03/15/2011		270		287
Williams Cos., Inc.
6.375% due 10/01/2010		1,500		1,511
7.500% due 01/15/2031		3,500		3,640
7.625% due 07/15/2019		1,500		1,590
7.750% due 06/15/2031		115		122
7.875% due 09/01/2021		5,000		5,400
Williams Partners LP
7.250% due 02/01/2017		2,600		2,626
Wyeth
6.450% due 02/01/2024		300		310
Wynn Las Vegas LLC
6.625% due 12/01/2014		5,070		4,912
Xerox Corp.
9.750% due 01/15/2009		300		317
				792,278
Utilities 9.3%
AES Corp.
8.750% due 05/15/2013		6,040		6,402
America Movil SAB de C.V.
5.500% due 03/01/2014		3,380		3,320
5.750% due 01/15/2015		15,400		15,269
American Cellular Corp.
10.000% due 08/01/2011		235		247
AT&T Corp.
6.000% due 03/15/2009		260		262
7.300% due 11/15/2011		947		1,009
Beaver Valley II Funding
9.000% due 06/01/2017		319		356
BellSouth Corp.
5.460% due 08/15/2008		300		300
6.875% due 10/15/2031		2,500		2,580
British Telecommunications PLC
8.625% due 12/15/2010		2,240		2,450
Carolina Power & Light Co.
5.125% due 09/15/2013		750		727
Cincinnati Bell, Inc.
8.375% due 01/15/2014		5,050		5,126
Citizens Communications Co.
7.000% due 11/01/2025		400		361
7.875% due 01/15/2027		1,750		1,711
9.000% due 08/15/2031		2,770		2,867
Complete Production Services, Inc.
8.000% due 12/15/2016		600		609
Constellation Energy Group, Inc.
7.000% due 04/01/2012		655		687
Consumers Energy Co.
5.000% due 02/15/2012		1,500		1,459
Dayton Power & Light Co.
5.125% due 10/01/2013		1,480		1,437
Dominion Resources, Inc.
5.687% due 05/15/2008		2,600		2,604
5.700% due 09/17/2012		260		260
Duke Energy Corp.
5.300% due 10/01/2015		1,500		1,453
5.625% due 11/30/2012		225		225
Edison Mission Energy
7.000% due 05/15/2017		860		815
7.200% due 05/15/2019		3,600		3,402
7.625% due 05/15/2027		4,725		4,489
Embarq Corp.
7.082% due 06/01/2016		6,150		6,195
Empresa Nacional de Electricidad S.A.
8.625% due 08/01/2015		9,000		10,363
Entergy Arkansas, Inc.
4.500% due 06/01/2010		4,500		4,373
Entergy Gulf States, Inc.
5.700% due 06/01/2015		100		96
5.760% due 12/01/2009		2,600		2,600
6.110% due 12/08/2008		3,500		3,511
Florida Power Corp.
5.760% due 11/14/2008		5,000		5,009
France Telecom S.A.
7.750% due 03/01/2011		2,500		2,673
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		5,050		5,315
Homer City Funding LLC
8.734% due 10/01/2026		4,090		4,519
Insight Midwest LP
9.750% due 10/01/2009		260		263
IPALCO Enterprises, Inc.
8.375% due 11/14/2008		3,200		3,280
8.625% due 11/14/2011		4,125		4,434
KT Corp.
4.875% due 07/15/2015		3,000		2,804
Majapahit Holding BV
7.250% due 10/17/2011		8,200		8,333
7.250% due 06/28/2017		400		401
7.750% due 10/17/2016		600		611
7.875% due 06/29/2037		400		403
MidAmerican Energy Holdings Co.
5.875% due 10/01/2012		300		303
Midwest Generation LLC
8.560% due 01/02/2016		355		379
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		1,000		1,031
Nevada Power Co.
5.875% due 01/15/2015		450		442
6.500% due 05/15/2018		8,025		8,148
New Cingular Wireless Services, Inc.
8.125% due 05/01/2012		2,175		2,394
Nextel Communications, Inc.
7.375% due 08/01/2015		4,625		4,627
NiSource Finance Corp.
5.930% due 11/23/2009		7,000		7,015
NRG Energy, Inc.
7.250% due 02/01/2014		700		704
7.375% due 02/01/2016		5,500		5,528
7.375% due 01/15/2017		1,700		1,711
NSTAR Electric Co.
7.800% due 05/15/2010		500		530
Ohio Edison Co.
5.647% due 06/15/2009		1,500		1,502
Pedernales Electric Cooperative
5.952% due 11/15/2022		500		496
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022		3,600		3,513
Progress Energy, Inc.
7.000% due 10/30/2031		170		182
7.100% due 03/01/2011		4,796		5,030
PSEG Energy Holdings LLC
8.500% due 06/15/2011		1,200		1,277
PSEG Power LLC
3.750% due 04/01/2009		3,000		2,913
5.500% due 12/01/2015		900		867
6.950% due 06/01/2012		270		283
7.750% due 04/15/2011		1,000		1,068
Qwest Corp.
7.250% due 09/15/2025		2,250		2,256
7.250% due 10/15/2035		1,550		1,507
7.500% due 10/01/2014		5,000		5,150
7.500% due 06/15/2023		2,000		2,010
8.875% due 03/15/2012		1,790		1,938
Ras Laffan Liquefied Natural Gas Co. Ltd. I
3.437% due 09/15/2009		1,680		1,640
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		470		437
6.332% due 09/30/2027		11,800		11,579
Reliant Energy, Inc.
6.750% due 12/15/2014		3,850		3,946
7.625% due 06/15/2014		3,725		3,651
7.875% due 06/15/2017		5,450		5,327
9.250% due 07/15/2010		0		1
Rural Cellular Corp.
9.875% due 02/01/2010		9,820		10,311
Sierra Pacific Power Co.
6.000% due 05/15/2016		1,700		1,676
South Point Energy Center LLC
8.400% due 05/30/2012 (g)		1,009		998
TECO Energy, Inc.
6.750% due 05/01/2015		7,050		7,226
7.500% due 06/15/2010		1,300		1,359
Telefonos de Mexico S.A. de C.V.
5.500% due 01/27/2015		1,850		1,807
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		13,050		13,654
Verizon Communications, Inc.
5.550% due 02/15/2016		400		390
Verizon Global Funding Corp.
4.375% due 06/01/2013		500		466
Verizon New England, Inc.
6.500% due 09/15/2011		625		642
Verizon New York, Inc.
6.875% due 04/01/2012		25		26
Verizon Pennsylvania, Inc.
5.650% due 11/15/2011		500		499
Virginia Electric & Power Co.
4.750% due 03/01/2013		245		233
				254,282
Total Corporate Bonds & Notes (Cost $1,390,821)				1,376,773
MUNICIPAL BONDS & NOTES 0.1%
Adams County, Pennsylvania General Obligation Bonds, (FGIC Insured), Series 2002
4.750% due 11/15/2028		1,000		1,005
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2027		2,000		757
Connecticut State Housing Finance Authority Revenue Bonds, Series 1997
6.880% due 11/15/2011		500		506
Kentucky State Property & Buildings Commission Revenue Bonds, (MBIA Insured), Series 2003
5.020% due 10/01/2014		500		482
New York State Urban Development Corporations Revenue Notes, Series 2003
4.970% due 12/15/2012		500		489
Total Municipal Bonds & Notes (Cost $3,325)				3,239
U.S. GOVERNMENT AGENCIES 11.3%
Fannie Mae
4.000% due 08/01/2018 - 08/01/2020		4,493		4,180
4.259% due 02/01/2035		721		721
4.500% due 02/01/2035 - 08/01/2035		2,237		2,038
5.000% due 12/01/2013 - 02/01/2036		11,138		10,788
5.175% due 04/01/2036		560		559
5.245% due 03/01/2036		548		547
5.500% due 12/01/2032 - 07/01/2037		94,774		91,706
5.770% due 10/18/2030		18		18
5.820% due 03/25/2017		122		124
6.000% due 04/01/2016 - 05/01/2037		168,461		166,765
6.133% due 03/01/2044		229		232
6.278% due 03/01/2011		420		430
6.335% due 12/01/2036		277		280
6.500% due 08/01/2011 - 12/01/2029		314		319
6.850% due 12/18/2027		269		275
7.218% due 09/01/2031		35		35
8.000% due 06/01/2008		33		34
Federal Farm Credit Bank
7.561% due 11/29/2049		500		536
Federal Home Loan Bank
4.060% due 08/25/2009		299		293
Freddie Mac
4.000% due 04/15/2022		885		878
5.000% due 06/15/2016 - 09/15/2024		1,976		1,966
5.500% due 03/15/2017 - 09/15/2017		4,290		4,284
5.550% due 07/15/2037		8,200		8,199
5.770% due 05/01/2023		40		40
5.820% due 09/15/2030		65		65
6.227% due 10/25/2044 - 02/25/2045		446		449
6.427% due 07/25/2044		689		695
6.500% due 07/25/2043		24		24
7.000% due 06/15/2013		33		34
7.500% due 06/01/2024		8		8
Ginnie Mae
2.876% due 06/16/2012		13		13
3.956% due 09/16/2021		487		478
4.045% due 07/16/2020		726		712
4.385% due 08/16/2030		1,500		1,473
4.500% due 08/15/2033		49		45
4.750% due 07/20/2026		47		47
5.125% due 11/20/2023 - 11/20/2026		72		72
5.133% due 06/16/2023		380		379
5.375% due 03/20/2026 - 05/20/2026		111		112
6.125% due 11/20/2027		45		46
6.569% due 09/16/2026		1,000		1,027
7.000% due 09/20/2007		2		2
8.000% due 09/15/2007 - 03/20/2030		104		111
8.500% due 07/20/2030 - 03/20/2031		27		29
9.000% due 10/15/2008 - 11/15/2008		4		4
9.250% due 12/20/2019 - 06/20/2021		22		24
9.500% due 07/15/2009 - 12/20/2020		9		10
10.000% due 07/15/2013		17		19
New Valley Generation
7.299% due 03/15/2019		822		898
Private Export Funding Corp.
4.550% due 05/15/2015		750		712
5.750% due 01/15/2008		500		501
Small Business Administration
4.340% due 03/01/2024		300		278
4.504% due 02/10/2014		123		117
5.130% due 09/01/2023		58		57
5.886% due 09/01/2011		418		421
6.030% due 02/10/2012		2,375		2,394
6.900% due 12/01/2020		1,127		1,166
7.150% due 03/01/2017		596		613
7.300% due 05/01/2017		448		462
7.640% due 03/01/2010		95		97
Vendee Mortgage Trust
6.000% due 12/15/2030		1,000		1,003
Total U.S. Government Agencies (Cost $315,238)				309,844
U.S. TREASURY OBLIGATIONS 0.9%
Treasury Inflation Protected Securities (d)
2.000% due 07/15/2014		2,302		2,211
2.000% due 01/15/2026		312		283
2.375% due 04/15/2011		312		309
2.375% due 01/15/2027		21,416		20,573
U.S. Treasury Notes
3.375% due 02/15/2008		300		297
4.375% due 01/31/2008		900		897
Total U.S. Treasury Obligations (Cost $25,357)				24,570
MORTGAGE-BACKED SECURITIES 2.9%
Bear Stearns Adjustable Rate Mortgage Trust
4.622% due 01/25/2034		57		57
4.773% due 01/25/2034		25		25
5.329% due 02/25/2033		28		28
5.626% due 02/25/2033		121		121
Bear Stearns Alt-A Trust
5.377% due 05/25/2035		161		160
Chase Commercial Mortgage Securities Corp.
7.631% due 07/15/2032		500		528
Citicorp Mortgage Securities, Inc.
5.500% due 10/25/2033		129		129
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		281		283
Countrywide Alternative Loan Trust
6.000% due 10/25/2032		7		7
Countrywide Home Loan Mortgage Pass-Through Trust
3.790% due 10/19/2032		29		29
5.550% due 05/25/2035		423		423
5.590% due 05/25/2034		2		2
Credit Suisse Mortgage Capital Certificates
5.681% due 02/15/2039		5,000		4,960
CS First Boston Mortgage Securities Corp.
4.666% due 03/15/2036		11,500		11,050
5.435% due 09/15/2034		525		522
Denver Arena Trust
6.940% due 11/15/2019		311		312
General Electric Capital Assurance Co.
5.254% due 05/12/2035		1,000		977
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		12,000		12,047
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		8,200		8,209
6.620% due 10/18/2030		352		355
6.624% due 05/03/2018		600		624
JPMorgan Chase Commercial Mortgage Securities Corp.
5.050% due 12/12/2034		14,800		14,395
5.506% due 12/12/2044		4,985		4,924
MASTR Adjustable Rate Mortgages Trust
5.047% due 11/25/2033		109		110
5.125% due 08/25/2034		238		235
Morgan Stanley Capital I
5.332% due 12/15/2043		10,000		9,613
Salomon Brothers Mortgage Securities VII, Inc.
5.820% due 05/25/2032		120		121
Structured Asset Mortgage Investments, Inc.
5.540% due 05/25/2036		4,075		4,083
Wachovia Bank Commercial Mortgage Trust
5.400% due 06/15/2020		3,080		3,081
Washington Mutual, Inc.
4.816% due 10/25/2032		6		6
5.474% due 02/27/2034		27		26
5.860% due 12/25/2027		639		640
6.029% due 08/25/2046		1,437		1,440
6.429% due 06/25/2042		40		40
Washington Mutual MSC Mortgage Pass-Through Certificates
5.407% due 02/25/2033		25		25
Total Mortgage-Backed Securities (Cost $80,852)				79,587
ASSET-BACKED SECURITIES 0.6%
ACE Securities Corp.
5.400% due 02/25/2036		331		331
Argent Securities, Inc.
5.400% due 03/25/2036		113		113
CPL Transition Funding LLC
6.250% due 01/15/2017		750		779
Detroit Edison Securitization Funding LLC
6.420% due 03/01/2015		750		782
First NLC Trust
5.440% due 02/25/2036		309		309
GE-WMC Mortgage Securities LLC
5.420% due 12/25/2035		15		15
JCP&L Transition Funding LLC
6.160% due 06/05/2019		650		671
JPMorgan Mortgage Acquisition Corp.
5.380% due 04/01/2037		482		482
Long Beach Mortgage Loan Trust
5.390% due 03/25/2036		253		253
5.410% due 01/25/2036		404		404
Massachusetts RRB Special Purpose Trust
3.780% due 09/15/2010		461		457
MASTR Asset-Backed Securities Trust
5.430% due 11/25/2035		868		869
Morgan Stanley ABS Capital I
5.390% due 02/25/2036		851		852
NPF XII, Inc.
2.232% due 10/01/2003 (a)		1,000		5
Public Service New Hampshire Funding LLC
5.730% due 11/01/2010		171		172
Residential Asset Mortgage Products, Inc.
5.400% due 02/25/2036		267		268
Residential Asset Securities Corp.
5.390% due 07/25/2036		879		880
5.400% due 01/25/2036		302		302
SLM Student Loan Trust
5.335% due 04/25/2014		3,734		3,736
5.505% due 01/25/2017		1,074		1,080
Structured Asset Securities Corp.
5.450% due 12/25/2035		384		384
USAA Auto Owner Trust
5.337% due 07/11/2008		2,500		2,500
West Penn Funding LLC Transition Bonds
6.980% due 12/26/2008		373		377
Total Asset-Backed Securities (Cost $16,022)				16,021
SOVEREIGN ISSUES 10.2%
Argentina Bonos
5.475% due 08/03/2012		35,255		25,780
Banque Centrale de Tunisie
7.375% due 04/25/2012		3,375		3,617
7.500% due 09/19/2007		2,500		2,519
8.250% due 09/19/2027		570		681
Brazilian Government International Bond
7.125% due 01/20/2037		3,335		3,610
7.875% due 03/07/2015		5,440		6,030
8.250% due 01/20/2034		12,970		15,960
8.750% due 02/04/2025		2,830		3,509
8.875% due 10/14/2019		8,400		10,219
8.875% due 04/15/2024		2,157		2,691
10.125% due 05/15/2027		650		918
Chile Government International Bond
5.500% due 01/15/2013		635		630
China Development Bank
5.000% due 10/15/2015		500		478
Colombia Government International Bond
7.375% due 01/27/2017		4,300		4,672
7.375% due 09/18/2037		3,900		4,339
8.250% due 12/22/2014		5,200		5,842
10.000% due 01/23/2012		941		1,089
10.375% due 01/28/2033		275		407
10.750% due 01/15/2013		8,800		10,789
11.750% due 02/25/2020		725		1,075
Croatia Government International Bond
6.212% due 07/31/2010		97		97
Ecuador Government International Bond
10.000% due 08/15/2030		13,135		10,836
Guatemala Government Bond
9.250% due 08/01/2013		1,845		2,125
10.250% due 11/08/2011		1,000		1,162
Hong Kong Government International Bond
5.125% due 08/01/2014		750		730
Indonesia Government International Bond
6.875% due 03/09/2017		5,700		5,914
Korea Development Bank
4.250% due 11/13/2007		2,467		2,452
4.750% due 07/20/2009		2,250		2,219
5.475% due 10/31/2008		500		500
5.640% due 11/22/2012		7,500		7,531
5.750% due 09/10/2013		385		385
5.758% due 10/20/2009		1,800		1,813
Korea Highway Corp.
4.875% due 04/07/2014		1,540		1,466
5.125% due 05/20/2015		750		718
Malaysia Government International Bond
8.750% due 06/01/2009		255		270
Mexico Government International Bond
5.625% due 01/15/2017		1,144		1,123
6.750% due 09/27/2034		240		257
7.500% due 04/08/2033		840		976
8.000% due 09/24/2022		45		54
9.875% due 02/01/2010		115		127
11.500% due 05/15/2026		1,000		1,598
Pakistan Government International Bond
7.125% due 03/31/2016		3,600		3,582
Panama Government International Bond
6.700% due 01/26/2036		14,824		15,195
7.250% due 03/15/2015		2,325		2,499
8.875% due 09/30/2027		2,600		3,283
9.375% due 07/23/2012		1,843		2,119
9.375% due 04/01/2029		75		100
9.625% due 02/08/2011		442		497
Peru Government International Bond
6.550% due 03/14/2037		307		309
8.375% due 05/03/2016		3,870		4,518
8.750% due 11/21/2033		1,000		1,300
Poland Government International Bond
4.000% due 10/27/2024		55		50
Republic of Korea
4.875% due 09/22/2014		2,100		2,013
Russia Government International Bond
7.500% due 03/31/2030		9,031		9,962
8.250% due 03/31/2010		4,333		4,508
11.000% due 07/24/2018		500		697
12.750% due 06/24/2028		500		882
Socialist Republic of Vietnam
4.000% due 03/12/2028		10,000		8,533
6.875% due 01/15/2016		3,000		3,121
South Africa Government International Bond
5.875% due 05/30/2022		750		735
6.500% due 06/02/2014		7,500		7,744
7.375% due 04/25/2012		2,730		2,907
Ukraine Government International Bond
6.875% due 03/04/2011		780		799
7.650% due 06/11/2013		9,975		10,581
8.775% due 08/05/2009		11,700		12,430
Uruguay Government International Bond
7.625% due 03/21/2036		1,000		1,100
8.000% due 11/18/2022		9,471		10,561
9.250% due 05/17/2017		100		120
Venezuela Government International Bond
5.375% due 08/07/2010		6,000		5,670
6.000% due 12/09/2020		6,200		5,031
6.355% due 04/20/2011		1,500		1,459
8.500% due 10/08/2014		2,000		2,030
9.375% due 01/13/2034		5,300		5,538
10.750% due 09/19/2013		1,980		2,204
Total Sovereign Issues (Cost $271,012)				279,285
FOREIGN CURRENCY-DENOMINATED ISSUES 14.2%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	10,900		1,029
Atlas Reinsurance PLC
7.922% due 01/10/2010	EUR	1,500		2,060
Banque Centrale de Tunisie
6.250% due 02/20/2013		2,820		4,010
BCM Ireland Finance Ltd.
9.061% due 08/15/2016		1,900		2,633
BNP Paribas Capital Trust VI
5.868% due 01/29/2049		4,870		6,809
Brazil Notas do Tesouro Nacional Series B
6.000% due 05/15/2017	BRL	4,000		3,344
6.000% due 08/15/2024		26,700		22,779
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017		31,740		15,808
Brazilian Government International Bond
12.500% due 01/05/2016		2,000		1,265
12.500% due 01/05/2022		1,200		807
Brazilian Government International CPI Linked Bond
6.000% due 05/15/2045		4,000		3,456
10.000% due 01/01/2012		69,850		35,196
Canadian Government Bond
4.500% due 06/01/2015	CAD	4,700		4,397
Chesapeake Energy Corp.
6.250% due 01/15/2017	EUR	2,450		3,324
Deutsche Telekom International Finance BV
8.125% due 05/29/2012		2,334		3,571
Eircom Group PLC
6.403% due 07/17/2014		1,750		2,389
6.778% due 07/17/2015		1,750		2,399
Enterprise Inns PLC
6.500% due 12/06/2018	GBP	900		1,827
France Telecom S.A.
6.750% due 03/14/2008	EUR	2,414		3,315
Gaz Capital for Gazprom
5.440% due 11/02/2017		200		263
5.875% due 06/01/2015		14,000		19,081
7.800% due 09/27/2010		3,500		5,097
General Electric Capital Corp.
4.625% due 09/15/2066		5,700		7,358
HBOS Capital Funding LP
6.461% due 11/29/2049	GBP	1,560		3,086
HBOS PLC
4.875% due 03/29/2049	EUR	3,480		4,604
HSBC Holdings PLC
5.375% due 12/20/2012		2,298		3,163
Ineos Group Holdings PLC
7.875% due 02/15/2016		1,900		2,417
International Endesa BV
6.125% due 07/05/2012	GBP	1,080		2,142
JSG Holding PLC
6.335% due 11/29/2013	EUR	2,229		3,047
6.345% due 11/29/2013		63		86
6.362% due 11/29/2013		73		99
6.398% due 11/29/2013		126		172
6.444% due 11/19/2013		566		773
6.444% due 11/29/2013		94		129
6.718% due 11/29/2014		63		86
6.835% due 11/29/2014		2,229		3,054
6.862% due 11/29/2014		73		100
6.898% due 11/29/2014		126		172
6.944% due 11/29/2014		660		904
10.125% due 10/01/2012		46		67
Lighthouse International Co. S.A.
8.000% due 04/30/2014		4,550		6,535
Mexican Bonos
8.000% due 12/17/2015	MXN	11,000		1,038
Mitchells & Butlers Finance PLC
6.469% due 09/15/2030	GBP	1,700		3,768
Mizuho Bank Ltd.
1.317% due 11/24/2049	JPY	100,000		819
Mizuho Finance Aruba AEC
1.883% due 12/31/2049		100,000		831
Nordic Telephone Co. Holdings ApS
5.875% due 11/30/2014	EUR	3,321		4,551
6.125% due 11/30/2014		4,100		5,627
8.250% due 05/01/2016		3,300		4,801
NTL Cable PLC
8.750% due 04/15/2014		2,300		3,261
OI European Group BV
6.875% due 03/31/2017		820		1,107
PagesJaunes Groupe
5.890% due 01/11/2014		4,000		5,449
Pemex Project Funding Master Trust
5.500% due 02/24/2025		14,000		18,491
Pylon Ltd.
5.648% due 12/18/2008 (l)		1,500		2,050
QBE International Holdings PLC
8.323% due 08/03/2020	AUD	3,000		2,641
Republic of Germany
4.750% due 07/04/2028	EUR	7,900		10,728
Rogers Cable, Inc.
7.250% due 12/15/2011	CAD	3,000		3,014
Royal Bank of Scotland Group PLC
6.000% due 06/29/2049	GBP	1,620		3,155
9.370% due 04/06/2011		4,000		8,065
Shaw Communications, Inc.
7.500% due 11/20/2013	CAD	1,000		989
South Africa Government Bond
13.000% due 08/31/2010	ZAR	369,700		57,761
South Africa Government International Bond
5.250% due 05/16/2013	EUR	1,050		1,434
Sumitomo Mitsui Banking Corp.
0.970% due 05/25/2011	JPY	100,000		814
1.340% due 06/02/2049		100,000		812
4.375% due 10/27/2014	EUR	3,500		4,685
Telecom Italia Finance S.A.
6.575% due 07/30/2009		4,870		6,807
Telefonos de Mexico S.A. de C.V.
8.750% due 01/31/2016	MXN	99,600		9,449
Telenet Communications NV
9.000% due 12/15/2013	EUR	2,241		3,291
UPC Financing Partnership
5.942% due 12/31/2014		6,456		8,750
UPC Holding BV
7.750% due 01/15/2014		2,300		3,097
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	21,200		872
5.000% due 09/14/2018 (d)		29,617		1,395
6.875% due 01/19/2016	EUR	13,000		18,783
Veolia Environnement
4.875% due 05/28/2013		3,460		4,640
Wind Acquisition Finance S.A.
9.750% due 12/01/2015		2,300		3,545
Total Foreign Currency-Denominated Issues (Cost $378,357)				389,373
	Shares
CONVERTIBLE PREFERRED STOCKS 0.3%
Vale Capital Ltd.
5.500% due 06/15/2010		152,500		7,535
Total Convertible Preferred Stocks (Cost $7,645)				7,535
PREFERRED STOCKS 0.1%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		2,335		2,352
Total Preferred Stocks (Cost $2,453)				2,352
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 5.5%
Commercial Paper 4.7%
Bank of America Corp.
5.195% due 10/04/2007	$	4,900		4,885
5.200% due 10/04/2007		48,100		47,989
Freddie Mac
5.120% due 10/26/2007		31,800		31,251
Rabobank USA Financial Corp.
5.330% due 07/26/2007		31,800		31,800
Societe Generale NY
5.226% due 11/26/2007		10,000		9,949
UBS Finance Delaware LLC
5.205% due 10/23/2007		3,500		3,491
				129,365
U.S. Treasury Bills 0.8%
4.618% due 08/30/2007 - 09/13/2007 (c)(e)(h)		21,215		21,008
Total Short-Term Instruments (Cost $150,420)				150,373
Purchased Options (j) 0.2% (Cost $19,760)				5,931
Total Investments (f) 101.8% (Cost $2,807,892)			$	2,791,591
Written Options (k) (0.4%) (Premiums $19,723)				(9,571	)
Other Assets and Liabilities (Net) (1.4%)				(39,141	)
Net Assets 100.0%			$	2,742,879

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

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

(a) Security is in default.

(b) Payment in-kind bond security.

(c) Coupon represents a weighted average rate.

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

(e) Securities with an aggregate market value of $3,463 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(f) As of June 30, 2007, portfolio securities with an aggregate value of $83,840 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default

(h) Securities with an aggregate market value of $16,556 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	101	$	(62	)
Euro-Bund 10-Year Note September Futures	Long	09/2007	342		(319	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	1,245		(2,548	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	563		(850	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	748		(1,034	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	1,448		(2,821	)
				$	(7,634	)

(i) Swap agreements outstanding on June 30, 2007:

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 iTraxx Europe X05 Index	Sell	2.900	%	06/20/2011	EUR	4,900	$	194
Deutsche Bank AG	Dow Jones iTraxx Europe XO6 Index	Sell	2.800	%	12/20/2011		20,000		824
Deutsche Bank AG	Dow Jones iTraxx Europe XO7 Index	Sell	2.300	%	06/20/2012		3,000		(60	)
JPMorgan Chase & Co.	Dow Jones iTraxx Europe X05 Index	Sell	2.900	%	06/20/2011		6,975		271
Lehman Brothers, Inc.	Dow Jones iTraxx Europe XO7 Index	Sell	2.300	%	06/20/2012		26,000		(463	)
Morgan Stanley	Dow Jones iTraxx Europe 4 Index	Sell	0.350	%	12/20/2010		43,600		341
Morgan Stanley	Dow Jones iTraxx Europe 5 Index	Sell	0.400	%	06/20/2011		2,500		11
UBS Warburg LLC	France Telecom S.A. 7.250% due 01/28/2013	Sell	0.330	%	09/20/2011		3,900		31
UBS Warburg LLC	Telecom Italia Finance SpA 6.250% due 02/01/2012	Sell	0.520	%	09/20/2011		3,900		35
Wachovia Bank N.A.	France Telecom S.A. 7.250% due 01/28/2013	Sell	0.325	%	09/20/2011		3,900		30
Wachovia Bank N.A.	Telecom Italia Finance SpA 6.250% due 02/01/2012	Sell	0.525	%	09/20/2011		3,900		36
Bank of America	Dow Jones CDX N.A. HY8 Index	Sell	1.750	%	06/20/2012	$	1,500		(19	)
Bank of America	Freeport-McMoRan Copper & Gold, Inc. 8.375% due 04/01/2017	Sell	0.910	%	06/20/2012		1,800		5
Bank of America	LCDX N.A. 8 Index	Sell	1.200	%	06/20/2012		9,000		(9	)
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	0.820	%	06/20/2012		4,500		(325	)
Barclays Bank PLC	Argentina Government International Bond 8.280% due 12/31/2033	Buy	(0.940	%)	08/20/2008		2,000		(5	)
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		3,100		16
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.880	%	04/20/2011		11,500		200
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	1.650	%	07/20/2011		3,900		206
Barclays Bank PLC	Argentina Government International Bond 8.280% due 12/31/2033	Sell	2.540	%	08/20/2011		4,000		83
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	08/20/2011		3,000		97
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		3,000		98
Barclays Bank PLC	Celestica, Inc. 7.875% due 07/01/2011	Sell	2.850	%	09/20/2011		2,100		(74	)
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.200	%	04/20/2016		3,900		166
Barclays Bank PLC	Argentina Government International Bond 8.280% due 12/31/2033	Buy	(3.700	%)	08/20/2016		2,000		(69	)
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	12/20/2016		3,000		147
Bear Stearns & Co., Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.480	%	06/20/2009		4,000		(1	)
BNP Paribas Bank	Wachovia Corp. 5.625% due 12/15/2008	Sell	0.160	%	06/20/2011		17,200		48
Credit Suisse First Boston	Solectron Global Finance Ltd. 8.000% due 03/15/2016	Sell	3.300	%	09/20/2011		1,000		76
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.000	%	06/20/2012		3,700		(44	)
Credit Suisse First Boston	Dow Jones CDX N.A. HY8 Index	Sell	1.750	%	06/20/2012		3,000		(33	)
Credit Suisse First Boston	Forest Oil Corp. 7.750% due 05/01/2014	Sell	2.100	%	09/20/2012		1,000		0
Deutsche Bank AG	NAK Naftogaz Ukrainy 8.125% due 09/30/2009	Sell	4.200	%	05/20/2009		1,000		36
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.850	%	06/20/2011		7,200		326
Deutsche Bank AG	Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	06/20/2011		17,000		(2	)
Deutsche Bank AG	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.840	%	06/20/2011		23,500		453
Deutsche Bank AG	Uruguay Government International Bond 7.875% due 01/15/2033	Sell	1.050	%	01/20/2012		3,000		26
Deutsche Bank AG	Dow Jones CDX N.A. EM7 Index	Sell	1.250	%	06/20/2012		78,560		(188	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG5 Index	Sell	0.450	%	12/20/2010		15,000		83
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		55,000		(121	)
Goldman Sachs & Co.	LCDX N.A. 8 Index	Sell	1.200	%	06/20/2012		9,500		(71	)
Goldman Sachs & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	3.000	%	09/04/2013		810		113
Goldman Sachs & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.950	%	09/05/2013		350		48
Goldman Sachs & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.750	%	09/17/2013		200		25
Goldman Sachs & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	2.050	%	09/20/2013		210		19
JPMorgan Chase & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		3,300		169
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.290	%	01/20/2010		20,000		51
JPMorgan Chase & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		6,900		463
JPMorgan Chase & Co.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.450	%	02/20/2012		5,000		65
JPMorgan Chase & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	3.150	%	08/19/2013		200		30
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016		650		22
JPMorgan Chase & Co.	CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016		1,500		10
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		3,000		197
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.750	%	04/20/2011		9,200		156
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.050	%	04/20/2011		6,000		126
Lehman Brothers, Inc.	Telefonos de Mexico S.A. de C.V. 4.500% due 11/19/2008	Buy	(0.550	%)	04/20/2011		9,200		(105	)
Lehman Brothers, Inc.	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.170	%	06/20/2011		4,200		10
Lehman Brothers, Inc.	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.170	%	06/20/2011		7,300		17
Lehman Brothers, Inc.	JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.220	%	06/20/2011		5,600		2
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		5,500		94
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.520	%	12/20/2011		3,000		67
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.960	%	01/20/2012		4,500		70
Lehman Brothers, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.500	%	03/20/2012		500		(13	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.400	%	05/20/2012		3,000		17
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM7 Index	Sell	1.250	%	06/20/2012		165,000		(304	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		400		(1	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG4 Index	Sell	0.650	%	06/20/2015		1,500		33
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.510	%	08/20/2016		3,500		132
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.850	%	06/20/2011		1,800		81
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		13,000		(182	)
Merrill Lynch & Co., Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.500	%	01/20/2012		2,000		33
Merrill Lynch & Co., Inc.	Tesoro Corp. 6.625% due 11/01/2015	Sell	0.710	%	06/20/2012		4,000		(16	)
Merrill Lynch & Co., Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.310	%	01/21/2014		4,500		484
Morgan Stanley	Mexico Government International Bond 11.500% due 05/15/2026	Sell	1.280	%	02/20/2009		900		20
Morgan Stanley	Textron Financial Corp. floating rate based on 3-Month USD-LIBOR plus .100% due 01/11/2010	Buy	(0.090	%)	03/20/2010		15,000		(17	)
Morgan Stanley	JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.720	%	03/20/2011		5,000		61
Morgan Stanley	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.163	%	06/20/2011		12,000		25
Morgan Stanley	Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	06/20/2011		1,000		2
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.590	%	04/20/2012		11,700		179
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.380	%	05/20/2012		5,400		24
Morgan Stanley	Freeport-McMoRan Copper & Gold, Inc. 8.375% due 04/01/2017	Sell	0.890	%	06/20/2012		6,500		8
Morgan Stanley	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.235	%	06/20/2012		4,000		(18	)
Morgan Stanley	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.585	%)	06/20/2012		4,000		(5	)
Morgan Stanley	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.070	%	09/20/2013		530		50
Morgan Stanley	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.170	%	09/20/2013		120		12
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.960	%	10/20/2016		600		42
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.470	%	02/20/2017		700		24
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		5,000		86
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011		3,000		68
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.385	%	09/20/2016		700		38
UBS Warburg LLC	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.160	%	06/20/2011		12,000		24
UBS Warburg LLC	JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.210	%	06/20/2011		12,000		0
UBS Warburg LLC	Multiple Reference Entities of Gazprom	Sell	0.945	%	10/20/2011		4,800		83
UBS Warburg LLC	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.070	%	01/20/2012		1,000		17
UBS Warburg LLC	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.470	%	09/20/2012		38,000		(30	)
UBS Warburg LLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Buy	(0.375	%)	09/20/2012		38,000		39
UBS Warburg LLC	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.695	%	01/20/2017		500		9
								$	5,009

Credit Default Swaps (Asset-Backed Indices)

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045	$	19,000	$	(180	)
Citibank N.A.	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		9,500		34
Goldman Sachs & Co.	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		9,000		26
Morgan Stanley	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		18,500		61
UBS Warburg LLC	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		9,500		34
								$	(25	)

⁽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	6.500	%	01/15/2010	AUD	41,000	$	(216	)
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		6,800		(48	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012	EUR	8,000		(197	)
Citibank N.A.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		40,200		(2,353	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		56,400		(279	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		6,000		(35	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		3,200		(28	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		23,000		(121	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		1,100		(10	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		14,800		(155	)
Lehman Brothers, Inc.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.965	%	03/15/2012		3,000		(14	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		11,700		455
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		2,500		(24	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		2,500		(25	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2011	JPY	3,650,000		(418	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		3,300,000		(605	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.895	%	02/07/2012	KRW	936,600		(15	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.880	%	02/08/2012		933,333		(16	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	08/03/2016	MXN	52,500		222
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	08/03/2016		52,500		219
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		14,000		21
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	09/12/2016		262,000		1,262
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		190,000		(67	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	04/17/2009		82,700		66
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.910	%	07/26/2016		45,000		226
Citibank N.A.	6-Month PLN-LIBOR	Pay	5.248	%	04/20/2017	PLN	96,600		(1,180	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	900		(1	)
								$	(3,336	)

(j) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CME 90-Day Eurodollar September Futures	$	90.750	09/17/2007	890	$	8	$	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	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008	$	1,070,000	$	5,751	$	1,326
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		1,380,000		8,177		1,704
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		941,000		4,901		1,852
									$	18,829	$	4,882

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	105.400	03/31/2010	$	11,000	$	462	$	736
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		11,000		461		313
						$	923	$	1,049

(k) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	110.000	08/24/2007	3,800	$	1,007	$	118
Put - CBOT U.S. Treasury 10-Year Note September Futures		106.000	08/24/2007	3,800		742		3,444
					$	1,749	$	3,562

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	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008	$	460,000	$	5,405	$	1,573
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		600,000		7,275		1,834
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		409,000		4,705		2,060
									$	17,385	$	5,467

Credit Default Swaptions

Description	Counterparty	Reference Entity	Buy/Sell Protection(2)	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC Dow Jones CDX N.A. IG8 Index	Bank of America	Dow Jones CDX N.A. IG8 Index	Buy	(0.36	%)	09/20/2007	$	100,000	$	115	$	0
Put - OTC Dow Jones CDX N.A. IG8 Index	Bank of America	Dow Jones CDX N.A. IG8 Index	Sell	0.400	%	09/20/2007		100,000		160		188
Put - OTC Dow Jones CDX N.A. IG8 Index	Barclays Bank PLC	Dow Jones CDX N.A. IG8 Index	Sell	0.425	%	09/20/2007		30,000		58		58
Put - OTC Dow Jones CDX N.A. IG8 Index	BNP Paribas Securities Corp.	Dow Jones CDX N.A. IG8 Index	Sell	0.425	%	09/20/2007		30,000		57		57
Put - OTC Dow Jones CDX N.A. IG8 Index	Lehman Brothers, Inc.	Dow Jones CDX N.A. IG8 Index	Sell	0.400	%	08/20/2007		72,000		83		123
Put - OTC Dow Jones CDX N.A. IG8 Index	Lehman Brothers, Inc.	Dow Jones CDX N.A. IG8 Index	Sell	0.425	%	09/20/2007		77,200		116		116
									$	589	$	542

⁽²⁾ 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) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Pylon Ltd.	5.648	%	12/18/2008	11/14/2006	$	1,930	$	2,050	0.07	%

(m) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Ecuador Government International Bond	10.000	%	08/15/2030	$	15,085	$	13,359	$	13,137
Fannie Mae	5.500	%	07/01/2037		60,000		57,750		57,872
Fannie Mae	6.000	%	07/01/2037		102,000		100,932		100,900
						$	172,041	$	171,909

⁽³⁾ Market value includes $691 of interest payable on short sales.

(n) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	3,160	07/2007	$	0	$	(4	)	$	(4	)
Buy	BRL	5,943	10/2007		45		0			45
Buy		35,334	03/2008		1,007		0			1,007
Sell	CAD	8,016	08/2007		0		(33	)		(33	)
Buy	CLP	113,763	11/2007		8		0			8
Buy		2,433,405	03/2008		0		(7	)		(7	)
Buy	CNY	72,587	08/2007		192		0			192
Buy		2,189	09/2007		6		0			6
Buy		1,552	12/2007		0		0			0
Buy		324,544	01/2008		0		(283	)		(283	)
Buy	COP	361,440	03/2008		18		0			18
Buy	CZK	8,181	03/2008		0		(8	)		(8	)
Buy	EUR	5,587	07/2007		40		0			40
Sell		132,936	07/2007		0		(1,719	)		(1,719	)
Sell	GBP	27,859	08/2007		0		(293	)		(293	)
Buy	HKD	312	07/2007		0		0			0
Sell		312	07/2007		0		0			0
Buy		312	08/2007		0		0			0
Sell	HUF	2,546,400	07/2007		0		(1,047	)		(1,047	)
Sell		1,052,410	09/2007		0		(81	)		(81	)
Buy	IDR	3,953,037	07/2007		4		0			4
Sell		3,953,037	07/2007		0		(4	)		(4	)
Buy		3,953,037	10/2007		4		0			4
Buy	ILS	888	12/2007		0		(1	)		(1	)
Buy	INR	8,564	08/2007		4		0			4
Buy		15,732	10/2007		2		0			2
Buy		120,636	11/2007		3		(11	)		(8	)
Sell	JPY	588,547	07/2007		69		0			69
Buy	KRW	322,090	08/2007		0		0			0
Buy		4,063,385	09/2007		57		0			57
Buy		12,976,065	11/2007		89		0			89
Buy	MXN	294,272	03/2008		576		0			576
Buy	MYR	1,673	07/2007		1		0			1
Sell		1,673	07/2007		0		(1	)		(1	)
Buy		1,673	10/2007		0		0			0
Buy	NOK	59,677	09/2007		172		0			172
Buy	PLN	6,816	09/2007		6		(1	)		5
Buy		32,919	03/2008		192		(56	)		136
Buy	RUB	137,435	09/2007		189		0			189
Buy		22,916	11/2007		31		0			31
Buy		462,905	12/2007		138		0			138
Buy		192,742	01/2008		172		0			172
Buy	SGD	2,299	07/2007		0		(9	)		(9	)
Sell		1,199	07/2007		0		(5	)		(5	)
Buy		5,080	08/2007		0		(58	)		(58	)
Buy		397	09/2007		0		(1	)		(1	)
Buy		3,185	10/2007		6		(10	)		(4	)
Buy		8,375	11/2007		0		(46	)		(46	)
Buy	SKK	10,523	03/2008		2		0			2
Buy	TRY	824	03/2008		20		0			20
Buy	ZAR	3,552	09/2007		10		0			10
				$	3,063	$	(3,678	)	$	(615	)

See accompanying notes

Schedule of Investments

Emerging Local Bond Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BRAZIL 15.8%
Brazil Notas do Tesouro Nacional Series B
6.000% due 05/15/2017	BRL	3,500	$	2,933
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017		142,190		70,945
Brazilian Government International Bond
10.250% due 01/10/2028		6,370		3,682
12.500% due 01/05/2016		18,400		11,637
12.500% due 01/05/2022		14,469		9,732
Brazilian Government International CPI Linked Bond
10.000% due 01/01/2012		279,465		141,398
ISA Capital do Brasil S.A.
7.875% due 01/30/2012	$	200		205
Total Brazil (Cost $232,507)				240,532
COLOMBIA 4.7%
Colombia Government International Bond
9.850% due 06/28/2027	COP	31,765,000		16,823
11.750% due 03/01/2010		19,500,000		10,524
12.000% due 10/22/2015		74,962,000		43,821
Total Colombia (Cost $70,811)				71,168
CZECH REPUBLIC 7.9%
Czech Republic Government Bond
2.550% due 10/18/2010	CZK	482,000		21,582
3.750% due 09/12/2020		261,000		11,074
6.400% due 04/14/2010		1,733,000		86,578
Total Czech Republic (Cost $123,121)				119,234
HUNGARY 6.5%
Hungary Government Bond
5.500% due 02/12/2014	HUF	13,328,340		68,351
5.500% due 02/12/2016		4,267,000		21,658
7.250% due 06/12/2012		1,555,000		8,674
Total Hungary (Cost $95,344)				98,683
MEXICO 9.4%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	57,700		5,449
9.000% due 01/15/2016		35,000		3,418
Mexican Bonos
7.500% due 06/03/2027		29,000		2,633
8.000% due 12/17/2015		1,351,330		127,515
Telefonos de Mexico S.A. de C.V.
8.750% due 01/31/2016		35,000		3,320
Vitro SAB de C.V.
8.625% due 02/01/2012	$	100		102
9.125% due 02/01/2017		50		51
Total Mexico (Cost $140,200)				142,488
PERU 1.0%
Peru Government International Bond
7.840% due 08/12/2020	PEN	4,750		1,738
9.910% due 05/05/2015		34,305		13,564
Total Peru (Cost $15,271)				15,302
POLAND 7.5%
Poland Government International Bond
4.750% due 04/25/2012	PLN	103,800		36,049
5.750% due 03/24/2010		145,580		52,816
5.750% due 09/23/2022		69,092		25,131
Total Poland (Cost $113,022)				113,996
SLOVAKIA 0.1%
Slovakia Government Bond
4.800% due 04/14/2009	SKK	40,000		1,625
Total Slovakia (Cost $1,551)				1,625
SOUTH AFRICA 10.6%
South Africa Government International Bond
7.500% due 01/15/2014	ZAR	696,710		93,605
8.000% due 12/21/2018		96,000		13,237
8.750% due 12/21/2014		67,000		9,576
10.000% due 02/28/2009		10,000		1,426
13.000% due 08/31/2010		272,499		42,574
Total South Africa (Cost $163,805)				160,418
TURKEY 7.5%
Turkey Government Bond
0.000% due 08/13/2008	TRY	630		396
0.000% due 11/26/2008		18,960		11,374
14.000% due 01/19/2011		143,128		101,566
15.000% due 02/10/2010		1,055		768
Total Turkey (Cost $105,454)				114,104
UNITED STATES 0.2%
OAO Rosneft Oil Co.
6.000% due 09/16/2007	$	3,000		3,004
Total United States (Cost $2,997)				3,004
URUGUAY 0.9%
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	119,520		4,917
5.000% due 09/14/2018 (b)		184,441		8,689
Total Uruguay (Cost $13,798)				13,606
SHORT-TERM INSTRUMENTS 30.4%
Commercial Paper 30.1%
Bank of America Corp.
5.195% due 10/04/2007	$	5,100		5,087
5.205% due 10/04/2007		12,100		12,000
5.215% due 10/04/2007		17,000		16,782
5.240% due 10/04/2007		2,600		2,578
5.250% due 10/04/2007		7,800		7,692
Dexia Delaware LLC
5.240% due 09/21/2007		39,800		39,336
5.245% due 09/21/2007		1,900		1,877
DnB NORBank ASA
5.175% due 10/12/2007		900		899
Fortis Funding LLC
5.275% due 09/05/2007		44,900		44,753
Freddie Mac
4.800% due 07/02/2007		41,500		41,500
General Electric Capital Corp.
5.200% due 11/06/2007		1,600		1,594
Natixis S.A.
5.230% due 09/21/2007		33,700		33,416
Rabobank USA Financial Corp.
5.330% due 07/26/2007		19,400		19,400
Societe Generale NY
5.180% due 11/26/2007		8,600		8,413
5.210% due 11/26/2007		19,400		19,210
5.225% due 11/26/2007		1,800		1,773
5.240% due 11/26/2007		1,800		1,779
5.246% due 11/26/2007		700		692
5.250% due 11/26/2007		12,600		12,428
Svenska Handelsbanken, Inc.
5.185% due 10/09/2007		5,600		5,594
5.200% due 10/09/2007		17,400		17,277
Swedbank AB
5.230% due 09/06/2007		23,300		23,219
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		41,500		41,500
UBS Finance Delaware LLC
5.145% due 10/23/2007		500		498
5.200% due 10/23/2007		2,300		2,261
5.215% due 10/23/2007		6,100		6,029
5.225% due 10/23/2007		9,100		9,078
5.230% due 10/23/2007		22,900		22,721
5.240% due 10/23/2007		4,500		4,438
Unicredito Italiano SpA
5.185% due 01/22/2008		14,000		13,694
5.200% due 01/22/2008		24,500		24,077
Westpac Trust Securities NZ Ltd.
5.260% due 10/19/2007		16,400		16,202
				457,797
Repurchase Agreements 0.1%
State Street Bank and Trust Co.
4.900% due 07/02/2007		1,344		1,344
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $1,376. Repurchase proceeds are $1,345.)
Egypt Treasury Bills 0.1%
9.205% due 02/05/2008 - 04/01/2008 (a)	EGP	6,725		1,125
U.S. Treasury Bills 0.1%
4.454% due 09/13/2007 (a)(c)(d)(f)	$	1,610		1,592
Total Short-Term Instruments (Cost $461,935)				461,858
Total Investments (e) 102.5% (Cost $1,539,816)			$	1,556,018
Other Assets and Liabilities (Net) (2.5%)				(37,839	)
Net Assets 100.0%			$	1,518,179

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 $247 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) Securities with an aggregate market value of $989 have been pledged as collateral for delayed-delivery securities on June 30, 2007.

(e) As of June 30, 2007, portfolio securities with an aggregate value of $3,004 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $109 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	128	$	(44	)

(g) Swap agreements outstanding on June 30, 2007:

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	%	01/04/2010	BRL	700	$	10
Barclays Bank PLC	6-Month CZK-LIBOR	Pay	3.400	%	01/03/2012	CZK	69,550		(115	)
Barclays Bank PLC	6-Month CZK-LIBOR	Pay	3.340	%	02/23/2012		40,000		(72	)
Citibank N.A.	6-Month CZK-LIBOR	Pay	3.340	%	01/10/2012		156,120		(255	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.895	%	02/07/2012	KRW	936,600		(15	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.880	%	02/08/2012		933,333		(16	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.805	%	03/05/2012		3,100,000		(63	)
Barclays Bank PLC	6-Month SKK- Bratislava Interbank Bid Offered Rates	Pay	4.150	%	01/03/2012	SKK	15,550		(7	)
Barclays Bank PLC	6-Month SKK- Bratislava Interbank Bid Offered Rates	Pay	4.180	%	03/02/2012		223,000		(211	)
Citibank N.A.	6-Month SKK- Bratislava Interbank Bid Offered Rates	Pay	4.160	%	01/10/2012		63,000		(49	)
Barclays Bank PLC	6-Month USD-LIBOR	Pay	5.355	%	05/02/2011	$	61,746		470
Barclays Bank PLC	6-Month USD-LIBOR	Pay	5.409	%	12/17/2012		8,017		43
Barclays Bank PLC	6-Month USD-LIBOR	Pay	5.370	%	10/17/2014		76,508		3,273
Barclays Bank PLC	6-Month USD-LIBOR	Pay	0.000	%	07/19/2017		51,925		(17	)
Citibank N.A.	6-Month USD-LIBOR	Pay	0.000	%	09/19/2016		36,014		(452	)
Deutsche Bank AG	6-Month USD-LIBOR	Pay	5.355	%	05/05/2011		401		4
Deutsche Bank AG	6-Month USD-LIBOR	Pay	0.000	%	07/22/2017		6,586		(170	)
								$	2,358

(h) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	15,134	05/2008	$	0	$	(7	)	$	(7	)
Buy	BRL	12,525	10/2007		157		0			157
Sell		7,145	10/2007		0		(260	)		(260	)
Buy		44,410	03/2008		1,828		0			1,828
Buy	CLP	7,577,715	11/2007		158		(81	)		77
Sell		569,284	11/2007		0		(25	)		(25	)
Buy		5,352,900	03/2008		0		(174	)		(174	)
Buy		1,581,269	11/2010		100		0			100
Buy	CNY	37,405	11/2007		9		0			9
Buy		43,848	03/2008		0		(52	)		(52	)
Buy	COP	14,149,300	03/2008		91		(58	)		33
Sell		4,256,600	03/2008		0		(210	)		(210	)
Buy	CZK	950,276	07/2007		31		(597	)		(566	)
Sell		114,958	07/2007		141		(19	)		122
Buy		427,248	09/2007		0		(378	)		(378	)
Sell		780,409	09/2007		847		0			847
Buy		835,318	03/2008		148		0			148
Buy	EUR	320	07/2007		4		0			4
Buy	HUF	921,400	09/2007		20		0			20
Sell		3,858,510	09/2007		25		(211	)		(186	)
Buy		5,228,482	11/2007		605		(9	)		596
Sell		1,272,141	11/2007		37		(28	)		9
Buy	IDR	150,112,150	08/2007		88		(185	)		(97	)
Sell		326,824,000	08/2007		47		(182	)		(135	)
Buy	KRW	656,145	07/2007		3		0			3
Sell		6,590	11/2007		0		0			0
Buy	KWD	1,186	05/2008		7		(6	)		1
Sell	MXN	63,000	09/2007		0		(36	)		(36	)
Buy		40,860	03/2008		71		0			71
Sell		137,455	03/2008		0		(305	)		(305	)
Buy	MYR	50,630	07/2007		0		(327	)		(327	)
Sell		50,630	07/2007		28		(24	)		4
Buy		122,531	09/2007		24		(315	)		(291	)
Buy		76,567	10/2007		3		(155	)		(152	)
Buy	PLN	131,701	09/2007		541		(22	)		519
Sell		27,519	09/2007		24		(262	)		(238	)
Buy		100,438	03/2008		903		(42	)		861
Sell		8,131	03/2008		0		(8	)		(8	)
Buy	RUB	170,015	12/2007		82		0			82
Sell		28,716	12/2007		0		(20	)		(20	)
Buy		1,414,286	01/2008		513		0			513
Buy	SAR	15,472	05/2008		0		0			0
Buy	SKK	833,604	07/2007		1,165		(44	)		1,121
Buy		87,866	11/2007		0		(45	)		(45	)
Buy		1,176,874	03/2008		371		(114	)		257
Buy	TRY	9,119	07/2007		336		0			336
Sell		28,985	03/2008		0		(691	)		(691	)
Buy	ZAR	81,996	09/2007		63		(24	)		39
Sell		125,430	09/2007		18		(40	)		(22	)
Buy		50,550	03/2008		0		(90	)		(90	)
Sell		114,103	03/2008		51		(297	)		(246	)
				$	8,539	$	(5,343	)	$	3,196

Schedule of Investments

Emerging Markets Bond Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARGENTINA 2.0%
Argentina Bonos
5.475% due 08/03/2012	$	62,530	$	45,725
Total Argentina (Cost $43,927)				45,725
BERMUDA 0.3%
BW Group Ltd.
6.625% due 06/28/2017	$	5,730		5,758
Total Bermuda (Cost $5,699)				5,758
BRAZIL 20.1%
Brazil Notas do Tesouro Nacional Series B
6.000% due 05/15/2017	BRL	6,600		5,521
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017		84,330		42,012
Brazilian Government International Bond
7.125% due 01/20/2037	$	17,365		18,798
7.875% due 03/07/2015		3,709		4,111
8.250% due 01/20/2034		51,080		62,854
8.500% due 09/24/2012	EUR	11,500		17,823
8.750% due 02/04/2025	$	17,175		21,297
8.875% due 10/14/2019		25,375		30,869
8.875% due 04/15/2024		21,160		26,354
10.125% due 05/15/2027		42,810		60,469
10.250% due 01/10/2028	BRL	6,100		3,526
10.500% due 07/14/2014	$	5,874		7,410
12.500% due 01/05/2016	BRL	2,000		1,265
12.750% due 01/15/2020	$	3,750		5,822
Brazilian Government International CPI Linked Bond
6.000% due 05/15/2045	BRL	6,000		5,185
10.000% due 01/01/2012		142,350		71,727
Centrais Eletricas Brasileiras S.A.
7.750% due 11/30/2015	$	2,000		2,160
Cia de Saneamento Basico do Estado de Sao Paulo
7.500% due 11/03/2016		8,925		9,193
CSN Islands VII Corp.
10.750% due 09/12/2008		9,975		10,499
CSN Islands VIII Corp.
9.750% due 12/16/2013		8,000		9,000
Embraer Overseas Ltd.
6.375% due 01/24/2017		3,800		3,734
ISA Capital do Brasil S.A.
7.875% due 01/30/2012		3,350		3,433
8.800% due 01/30/2017		3,600		3,861
Vale Capital Ltd.
5.500% due 06/15/2010		152		7,535
Vale Overseas Ltd.
6.250% due 01/11/2016		700		698
6.250% due 01/23/2017		6,200		6,180
6.875% due 11/21/2036		14,425		14,536
8.250% due 01/17/2034		750		881
Total Brazil (Cost $396,921)				456,753
CHILE 1.2%
AES Gener S.A.
7.500% due 03/25/2014	$	1,000		1,048
Banco Santander Chile
5.375% due 12/09/2014		3,000		2,880
Chile Government International Bond
5.755% due 01/28/2008		24		24
CODELCO, Inc.
5.625% due 09/21/2035		6,800		6,300
6.150% due 10/24/2036		7,300		7,193
Empresa Nacional de Electricidad S.A.
8.350% due 08/01/2013		5,800		6,483
Enersis S.A.
7.375% due 01/15/2014		1,098		1,165
7.400% due 12/01/2016		1,850		1,994
Total Chile (Cost $27,620)				27,087
CHINA 0.8%
Citic Resources Finance Ltd.
6.750% due 05/15/2014	$	3,200		3,096
Export-Import Bank of China
5.250% due 07/29/2014		9,958		9,682
Sino-Forest Corp.
9.125% due 08/17/2011		5,700		6,071
Total China (Cost $19,103)				18,849
COLOMBIA 3.8%
Colombia Government International Bond
7.375% due 01/27/2017	$	9,600		10,430
7.375% due 09/18/2037		10,640		11,837
8.250% due 12/22/2014		32,030		35,986
10.000% due 01/23/2012		2,010		2,327
10.375% due 01/28/2033		1,850		2,738
10.750% due 01/15/2013		15,535		19,046
11.750% due 02/25/2020		3,047		4,517
Total Colombia (Cost $84,650)				86,881
ECUADOR 0.3%
Ecuador Government International Bond
10.000% due 08/15/2030	$	7,900		6,695
Total Ecuador (Cost $6,694)				6,695
EGYPT 0.3%
Petroleum Export Ltd.
5.265% due 06/15/2011	$	7,330		7,154
Total Egypt (Cost $7,223)				7,154
EL SALVADOR 0.7%
AES El Salvador Trust
6.750% due 02/01/2016	$	10,260		10,202
El Salvador Government International Bond
8.500% due 07/25/2011		4,515		5,012
Total El Salvador (Cost $14,928)				15,214
GUATEMALA 0.4%
Guatemala Government Bond
9.250% due 08/01/2013	$	7,581		8,730
10.250% due 11/08/2011		771		895
Total Guatemala (Cost $9,620)				9,625
INDIA 0.8%
ICICI Bank Ltd.
5.750% due 01/12/2012	$	8,300		8,159
NTPC Ltd.
5.875% due 03/02/2016		2,736		2,616
Vedanta Resources PLC
6.625% due 02/22/2010		7,400		7,426
Total India (Cost $18,218)				18,201
INDONESIA 1.7%
Indonesia Government International Bond
6.875% due 03/09/2017	$	21,000		21,789
Majapahit Holding BV
7.250% due 10/17/2011		8,105		8,237
7.250% due 06/28/2017		3,600		3,612
7.750% due 10/17/2016		950		966
7.875% due 06/29/2037		3,600		3,623
Total Indonesia (Cost $37,299)				38,227
KAZAKHSTAN 1.6%
ATF Bank JSC
9.000% due 05/11/2016	$	725		773
HSBK Europe BV
7.750% due 05/13/2013		2,450		2,511
Intergas Finance BV
6.375% due 05/14/2017		9,100		8,736
6.875% due 11/04/2011		2,980		3,036
Kazkommerts International BV
7.000% due 11/03/2009		3,500		3,527
8.500% due 04/16/2013		1,300		1,331
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		16,895		16,601
Total Kazakhstan (Cost $37,043)				36,515
MALAYSIA 1.5%
Petroliam Nasional Bhd.
7.625% due 10/15/2026	$	16,850		19,735
7.750% due 08/15/2015		1,690		1,915
Petronas Capital Ltd.
7.000% due 05/22/2012		100		106
7.875% due 05/22/2022		3,000		3,536
TNB Capital L Ltd.
5.250% due 05/05/2015		8,300		8,018
Total Malaysia (Cost $34,178)				33,310
MEXICO 12.5%
America Movil SAB de C.V.
5.500% due 03/01/2014	$	500		491
5.750% due 01/15/2015		4,200		4,164
8.460% due 12/18/2036	MXN	10,900		1,029
C5 Capital SPV Ltd.
6.196% due 12/01/2049	$	2,100		2,089
6.196% due 12/31/2049		4,835		4,788
C8 Capital SPV Ltd.
6.640% due 12/31/2049		1,400		1,380
C10 Capital SPV Ltd.
6.722% due 12/18/2049		1,000		977
6.722% due 12/31/2049		8,500		8,298
Cablemas S.A. de C.V.
9.375% due 11/15/2015		3,000		3,330
Desarrolladora Homex S.A. de C.V.
7.500% due 09/28/2015		5,576		5,799
Grupo Transportacion Ferroviaria Mexicana S.A. de C.V.
9.375% due 05/01/2012		3,850		4,139
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		1,350		1,427
Kansas City Southern de Mexico S.A. de C.V.
7.375% due 06/01/2014		1,000		995
Mexico Government International Bond
6.055% due 01/13/2009		24		24
6.750% due 09/27/2034		33,080		35,362
7.500% due 04/08/2033		24,685		28,672
8.000% due 09/24/2022		26,180		31,429
11.500% due 05/15/2026		10,000		15,975
Pemex Finance Ltd.
9.030% due 02/15/2011		45		48
Pemex Project Funding Master Trust
5.750% due 12/15/2015		45,085		44,285
6.625% due 06/15/2035		8,500		8,638
7.375% due 12/15/2014		1,479		1,615
8.000% due 11/15/2011		8,500		9,244
8.625% due 02/01/2022		40,033		49,434
9.250% due 03/30/2018		11,877		14,817
9.375% due 12/02/2008		500		527
Telefonos de Mexico S.A. de C.V.
5.500% due 01/27/2015		1,000		977
8.750% due 01/31/2016	MXN	10,000		949
Vitro S.A. de C.V.
8.625% due 02/01/2012	$	1,765		1,800
9.125% due 02/01/2017		450		464
Total Mexico (Cost $275,992)				283,166
MOROCCO 0.1%
Kingdom of Morocco
6.375% due 01/05/2009	$	1,819		1,833
Total Morocco (Cost $1,801)				1,833
PAKISTAN 0.5%
Pakistan Government International Bond
7.125% due 03/31/2016	$	10,985		10,930
Total Pakistan (Cost $10,923)				10,930
PANAMA 4.4%
AES Panama S.A.
6.350% due 12/21/2016	$	8,780		8,507
Panama Government International Bond
6.700% due 01/26/2036		16,008		16,408
7.125% due 01/29/2026		22,425		23,995
7.250% due 03/15/2015		120		129
8.875% due 09/30/2027		8,350		10,542
9.375% due 07/23/2012		18,523		21,301
9.625% due 02/08/2011		17,969		20,215
Total Panama (Cost $99,183)				101,097
PERU 0.9%
Peru Government International Bond
6.550% due 03/14/2037	$	2,075		2,091
8.375% due 05/03/2016		3,312		3,867
8.750% due 11/21/2033		4,795		6,234
Southern Copper Corp.
6.375% due 07/27/2015		1,000		1,014
7.500% due 07/27/2035		6,500		6,994
Total Peru (Cost $18,571)				20,200
QATAR 0.1%
Ras Laffan Liquefied Natural Gas Co. Ltd. I
3.437% due 09/15/2009	$	432		422
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.832% due 09/30/2016		1,000		985
5.838% due 09/30/2027		470		437
Total Qatar (Cost $1,893)				1,844
RUSSIA 17.8%
Gaz Capital for Gazprom
5.875% due 06/01/2015	EUR	7,550		10,290
6.212% due 11/22/2016	$	18,200		17,776
6.510% due 03/07/2022		22,800		22,798
8.625% due 04/28/2034		41,290		51,646
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		6,100		6,226
Gazprom International S.A.
7.201% due 02/01/2020		14,068		14,567
GPB Eurobond Finance PLC for Gazprombank
6.500% due 09/23/2015		5,200		5,098
Lukoil Finance Ltd.
6.020% due 01/11/2009		10,000		9,948
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		3,500		3,610
8.375% due 10/14/2010		1,000		1,045
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		55,610		64,574
RSHB Capital AG S.A. for OJSC Russian Agricultural Bank
6.299% due 05/15/2017		24,160		23,708
7.175% due 05/16/2013		6,400		6,682
Russia Government International Bond
7.500% due 03/31/2030		57,577		63,501
8.250% due 03/31/2010		6,667		6,935
11.000% due 07/24/2018		2,700		3,764
12.750% due 06/24/2028		13,275		23,426
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		900		993
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		1,000		1,073
TNK-BP Finance S.A.
6.125% due 03/20/2012		3,900		3,820
6.625% due 03/20/2017		31,000		30,110
6.875% due 07/18/2011		4,000		4,054
7.500% due 07/18/2016		11,850		12,247
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		8,700		8,736
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		2,000		2,093
8.375% due 10/22/2011		450		472
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,000		1,004
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		5,000		5,011
Total Russia (Cost $402,537)				405,207
SOUTH AFRICA 1.9%
South Africa Government International Bond
5.250% due 05/16/2013	EUR	12,160		16,605
5.875% due 05/30/2022	$	5,690		5,576
6.500% due 06/02/2014		14,500		14,971
7.375% due 04/25/2012		5,950		6,337
Total South Africa (Cost $41,393)				43,489
TRINIDAD AND TOBAGO 0.4%
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022	$	10,100		9,855
Total Trinidad And Tobago (Cost $10,058)				9,855
TUNISIA 1.4%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	5,500		6,787
4.750% due 04/07/2011		450		606
7.375% due 04/25/2012	$	20,212		21,663
8.250% due 09/19/2027		1,680		2,009
Total Tunisia (Cost $30,681)				31,065
UKRAINE 2.7%
Ukraine Government International Bond
4.950% due 10/13/2015	EUR	1,700		2,164
6.385% due 06/26/2012	$	5,100		5,133
6.580% due 11/21/2016		100		100
6.875% due 03/04/2011		30,850		31,620
7.650% due 06/11/2013		8,985		9,531
8.775% due 08/05/2009		13,150		13,971
Total Ukraine (Cost $61,172)				62,519
UNITED KINGDOM 0.1%
Vedanta Resources PLC
6.625% due 02/22/2010	$	1,250		1,250
Total United Kingdom (Cost $1,251)				1,250
UNITED STATES 0.5%
Bank Loan Obligations 0.5%
OAO Rosneft Oil Co.
6.000% due 09/16/2007	$	11,000		11,015
Corporate Bonds & Notes 0.0%
Freeport-McMoRan Copper & Gold, Inc.
8.250% due 04/01/2015		200		212
8.375% due 04/01/2017		260		278
				490
Total United States (Cost $11,449)				11,505
URUGUAY 1.3%
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	54,200		2,230
5.000% due 09/14/2018 (b)		75,578		3,561
8.000% due 11/18/2022	$	16,397		18,283
9.250% due 05/17/2017		3,900		4,680
Total Uruguay (Cost $27,717)				28,754
VENEZUELA 5.8%
Petroleos de Venezuela S.A.
5.250% due 04/12/2017	$	14,510		11,064
5.375% due 04/12/2027		7,000		4,655
Venezuela Government International Bond
5.375% due 08/07/2010		29,750		28,114
6.000% due 12/09/2020		46,750		37,937
6.355% due 04/20/2011		4,190		4,075
7.000% due 12/01/2018		5,000		4,425
7.650% due 04/21/2025		8,500		7,799
8.500% due 10/08/2014		2,000		2,030
9.375% due 01/13/2034		17,840		18,643
10.750% due 09/19/2013		12,280		13,667
	Shares
Venezuela Government International Bond - Warrants Exp. 04/15/2020
0.000% due 04/15/2020		3,500		135
Total Venezuela (Cost $140,315)				132,544

	Principal Amount (000s)
VIETNAM 0.2%
Socialist Republic of Vietnam
4.000% due 03/12/2028	$	5,000	$	4,267
6.875% due 01/15/2016		1,000		1,042
Total Vietnam (Cost $5,235)				5,309
SHORT-TERM INSTRUMENTS 15.4%
Commercial Paper 14.7%
Bank of America Corp.
5.200% due 10/04/2007	$	400		399
5.215% due 10/04/2007		68,700		67,820
Freddie Mac
4.800% due 07/02/2007		16,000		16,000
HBOS Treasury Services PLC
5.225% due 11/13/2007		120,100		120,083
Rabobank USA Financial Corp.
5.330% due 07/26/2007		8,300		8,300
UBS Finance Delaware LLC
5.215% due 10/23/2007		123,600		122,160
				334,762
Tri-party Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 07/02/2007		5,395		5,395
(Dated 06/29/2007. Collateralized by Fannie Mae 5.080% due 05/14/2010 valued at $5,506. Repurchase proceeds are $5,397.)
U.S. Treasury Bills 0.4%
4.594% due 08/30/2007 - 09/13/2007 (a)(c)(e)		9,600		9,500
Total Short-Term Instruments (Cost $349,766)				349,657
Total Investments (d) 101.5% (Cost $2,233,060)			$	2,306,218
Other Assets and Liabilities (Net) (1.5%)				(33,244	)
Net Assets 100.0%			$	2,272,974

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

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

(a) Coupon represents a weighted average rate.

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

(c) Securities with an aggregate market value of $2,232 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $11,015 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $2,275 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	43	$	6
90-Day Eurodollar December Futures	Long	12/2008	94		(32	)
90-Day Eurodollar June Futures	Long	06/2008	237		(220	)
90-Day Eurodollar June Futures	Long	06/2009	928		(697	)
90-Day Eurodollar September Futures	Long	09/2008	1,074		(451	)
				$	(1,394	)

(f) Swap agreements outstanding on June 30, 2007:

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 7.500% due 03/31/2030	Sell	2.990	%	08/24/2014	$	8,125	$	1,241
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		4,600		38
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	08/20/2011		11,000		356
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		13,000		426
Barclays Bank PLC	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.920	%	03/20/2013		5,000		299
Citibank N.A.	Multiple Reference Entities of Gazprom	Sell	1.060	%	04/20/2011		7,000		149
Citibank N.A.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011		4,550		105
Citibank N.A.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.580	%	12/20/2011		6,200		153
Citibank N.A.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.480	%	04/20/2012		750		8
Citibank N.A.	Multiple Reference Entities of Gazprom	Sell	1.350	%	08/20/2016		10,000		395
Citibank N.A.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.290	%	12/20/2016		1,300		61
Credit Suisse First Boston	Multiple Reference Entities of Gazprom	Sell	1.450	%	06/20/2013		5,500		263
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011		2,650		61
Deutsche Bank AG	Uruguay Government International Bond 7.875% due 01/15/2033	Sell	1.050	%	01/20/2012		12,000		105
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.690	%	05/20/2012		20,500		(18	)
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		149
Goldman Sachs & Co.	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.450	%	04/08/2013		3,500		377
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.690	%	04/20/2009		4,000		15
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	1.000	%	04/20/2011		14,600		279
JPMorgan Chase & Co.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.720	%	09/20/2011		5,300		164
JPMorgan Chase & Co.	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.060	%	01/20/2012		5,000		81
JPMorgan Chase & Co.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.450	%	02/20/2012		6,000		78
JPMorgan Chase & Co.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.130	%	04/20/2016		51,250		1,934
JPMorgan Chase & Co.	CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016		6,600		44
Lehman Brothers, Inc.	Philippine Government International Bond 8.250% due 01/15/2014	Buy	(2.850	%)	03/20/2008		5,000		(99	)
Lehman Brothers, Inc.	Philippine Government International Bond 8.250% due 01/15/2014	Buy	(2.470	%)	09/20/2008		10,000		(265	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.770	%	06/20/2011		7,250		307
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.430	%	07/20/2011		5,600		220
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.090	%	11/20/2011		9,800		192
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		400		3
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		16,500		283
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.690	%	05/20/2012		2,000		(2	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.400	%	05/20/2012		14,000		79
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.840	%	08/20/2012		3,500		193
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.250	%	06/20/2013		5,600		209
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	2.020	%	07/20/2013		870		59
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.210	%	10/20/2013		32,000		968
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.550	%	03/20/2014		3,700		442
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.330	%	03/20/2016		2,500		93
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.220	%	04/20/2016		7,500		330
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.280	%	05/20/2016		7,400		232
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.510	%	08/20/2016		14,000		529
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.410	%	12/20/2016		3,950		108
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.080	%	05/20/2017		1,000		2
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.060	%	05/20/2017		5,500		25
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	04/20/2011		41,800		1,251
Merrill Lynch & Co., Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.500	%	01/20/2012		2,000		33
Merrill Lynch & Co., Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.310	%	01/21/2014		1,350		145
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	04/20/2016		16,500		1,076
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.410	%	11/20/2010		15,000		220
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.770	%	04/20/2011		10,000		270
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.140	%	07/20/2011		700		19
Morgan Stanley	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.640	%	08/20/2011		6,200		252
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.040	%	10/20/2011		8,500		180
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.220	%	10/20/2011		6,350		166
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.600	%	01/20/2012		2,500		53
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.590	%	04/20/2012		5,000		77
Morgan Stanley	Mexico Government International Bond 11.500% due 05/15/2026	Sell	1.770	%	12/20/2013		12,500		935
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.480	%	04/20/2016		9,000		417
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.350	%	08/20/2016		18,500		731
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.960	%	10/20/2016		3,000		208
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.555	%	09/20/2011		2,000		49
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		19,000		326
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011		7,000		158
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.620	%	12/20/2011		8,000		211
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.360	%	09/20/2016		14,900		788
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.385	%	09/20/2016		3,100		169
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.480	%	09/20/2016		2,000		122
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.345	%	12/20/2016		16,575		842
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.430	%	12/20/2016		2,000		114
UBS Warburg LLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.870	%	06/20/2011		4,600		212
UBS Warburg LLC	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.070	%	01/20/2012		3,000		50
UBS Warburg LLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.480	%	03/20/2012		6,000		73
UBS Warburg LLC	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.695	%	01/20/2017		2,700		51
UBS Warburg LLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.950	%	06/20/2017		2,000		(9	)
								$	19,860

⁽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.	BRL-CDI-Compounded	Pay	15.160	%	01/02/2009	BRL	8,100	$	269
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	13.840	%	01/04/2010		23,700		725
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		88,800		1,677
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010	GBP	5,900		(256	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.895	%	02/07/2012	KRW	1,873,200		(30	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.880	%	02/08/2012		1,866,667		(31	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	08/03/2016	MXN	11,400		48
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	08/03/2016		11,400		48
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		999,500		2,840
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/22/2016		421,500		1,959
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		35,000		35
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		104,000		147
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	09/12/2016		20,000		96
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		190,000		(78	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	04/17/2009		122,600		97
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		109,000		288
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	9.920	%	08/12/2015		69,000		713
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	306,100		(333	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		27,200		(31	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		158,200		581
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		74,500		(493	)
								$	8,271

(g) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Ecuador Government International Bond	10.000	%	08/15/2030	$	7,900	$	6,996	$	7,057
U.S. Treasury Notes	4.250	%	11/15/2014		8,000		7,553		7,695
						$	14,548	$	14,752

⁽²⁾ Market value includes $421 of interest payable on short sales.

(h) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	10,816	10/2007	$	421	$	0		$	421
Buy		39,952	03/2008		376		0			376
Sell		6,309	03/2008		0		(271	)		(271	)
Buy	CLP	853,250	11/2007		56		0			56
Buy		1,178,616	03/2008		0		(5	)		(5	)
Buy	CNY	24,681	09/2007		69		0			69
Buy		2,018	12/2007		1		0			1
Buy		95,437	01/2008		0		(89	)		(89	)
Buy	COP	474,390	03/2008		24		0			24
Buy	CZK	10,334	03/2008		0		(10	)		(10	)
Sell	EUR	39,403	07/2007		0		(516	)		(516	)
Buy	HKD	390	07/2007		0		0			0
Sell		390	07/2007		0		0			0
Buy		390	08/2007		0		0			0
Buy	IDR	19,408,377	07/2007		16		0			16
Buy		110,618,500	08/2007		125		0			125
Buy		19,408,377	10/2007		17		0			17
Buy	ILS	1,142	12/2007		0		(2	)		(2	)
Buy	INR	31,302	08/2007		16		0			16
Buy		131,861	10/2007		14		(1	)		13
Buy		9,790	11/2007		4		0			4
Buy	JPY	637,214	07/2007		0		(73	)		(73	)
Buy	KRW	3,319,978	07/2007		16		0			16
Buy		1,580,586	08/2007		0		(1	)		(1	)
Buy		9,647,787	09/2007		154		0			154
Buy		706,333	11/2007		3		0			3
Buy	MXN	13,361	03/2008		30		0			30
Buy	MYR	7,618	07/2007		6		0			6
Sell		7,618	07/2007		0		(4	)		(4	)
Buy		19,200	09/2007		0		(20	)		(20	)
Buy		7,618	10/2007		1		0			1
Buy	PLN	3,821	09/2007		0		(2	)		(2	)
Buy		30,702	03/2008		428		0			428
Buy	RUB	335,626	09/2007		362		0			362
Buy		109,184	11/2007		146		0			146
Buy		286,438	12/2007		243		0			243
Buy	SGD	4,930	07/2007		0		(26	)		(26	)
Buy		4,418	08/2007		0		(50	)		(50	)
Buy		4,532	10/2007		10		(13	)		(3	)
Buy		3,790	11/2007		0		(27	)		(27	)
Buy	SKK	13,221	03/2008		2		0			2
Buy	ZAR	72,791	09/2007		36		(24	)		12
Sell		12,802	03/2008		24		0			24
				$	2,600	$	(1,134	)	$	1,466

See accompanying notes

Schedule of Investments

European StocksPLUS^® TR Strategy Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 5.4%
Banking & Finance 1.2%
Merrill Lynch & Co., Inc.
5.450% due 08/14/2009	$	100	$	100
Utilities 4.2%
BellSouth Corp.
5.460% due 08/15/2008		100		100
Embarq Corp.
6.738% due 06/01/2013		100		102
Progress Energy, Inc.
7.100% due 03/01/2011		100		105
PSEG Energy Holdings LLC
8.625% due 02/15/2008		41		42
				349
Total Corporate Bonds & Notes (Cost $446)				449
U.S. GOVERNMENT AGENCIES 86.9%
Fannie Mae
4.000% due 08/01/2013		45		43
4.612% due 08/01/2035		65		65
4.637% due 10/01/2035		69		69
4.657% due 10/01/2035		68		68
4.712% due 12/01/2034		51		50
4.723% due 10/01/2035		67		68
4.852% due 02/01/2034		39		39
4.903% due 12/01/2035		73		73
5.000% due 03/01/2020 - 02/25/2025		1,471		1,428
5.414% due 05/01/2036		147		146
5.500% due 07/01/2037		1,700		1,640
5.504% due 07/01/2032		36		36
6.000% due 07/01/2037		1,500		1,484
6.133% due 06/01/2043		27		27
6.220% due 04/25/2032		15		15
6.500% due 07/01/2037		1,000		1,009
6.625% due 11/25/2023		80		83
Freddie Mac
3.000% due 05/15/2022		100		98
3.500% due 05/15/2022		49		49
4.000% due 06/15/2022		35		34
4.500% due 11/15/2013 - 10/15/2019		144		142
5.000% due 12/15/2015 - 12/15/2023		462		458
5.520% due 10/15/2020		31		31
6.427% due 07/25/2044		37		38
Total U.S. Government Agencies (Cost $7,217)				7,193
MORTGAGE-BACKED SECURITIES 12.1%
Citigroup Mortgage Loan Trust, Inc.
4.900% due 10/25/2035		84		83
Countrywide Alternative Loan Trust
5.400% due 09/20/2046		59		59
Freddie Mac
5.000% due 04/15/2018		81		80
Harborview Mortgage Loan Trust
5.540% due 05/19/2035		71		71
Lehman Brothers Floating Rate Commercial MortgageTrust
5.400% due 09/15/2021		35		34
Structured Asset Mortgage Investments, Inc.
5.390% due 08/25/2036		143		143
Washington Mutual, Inc.
5.580% due 11/25/2045		55		55
5.724% due 07/25/2046		80		81
5.724% due 08/25/2046		90		90
5.860% due 12/25/2027		38		38
6.009% due 06/25/2046		72		72
6.529% due 09/25/2046		95		96
Wells Fargo Mortgage-Backed Securities Trust
4.319% due 07/25/2035		100		98
Total Mortgage-Backed Securities (Cost $996)				1,000
ASSET-BACKED SECURITIES 10.5%
Carrington Mortgage Loan Trust
5.360% due 05/25/2036		35		36
Citigroup Mortgage Loan Trust, Inc.
5.390% due 08/25/2036		37		37
Countrywide Asset-Backed Certificates
5.370% due 12/25/2046		62		62
5.430% due 10/25/2046		69		69
GSAMP Trust
5.390% due 02/25/2036		30		30
Home Equity Asset Trust
5.430% due 02/25/2036		14		14
Honda Auto Receivables Owner Trust
5.322% due 03/18/2008		64		64
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		61		61
Lehman XS Trust
5.400% due 07/25/2046		51		51
5.400% due 08/25/2046		53		53
Long Beach Mortgage Loan Trust
5.600% due 10/25/2034		18		18
Merrill Lynch Mortgage Investors, Inc.
5.380% due 04/25/2037		37		37
Morgan Stanley Home Equity Loans
5.370% due 12/25/2036		89		89
Newcastle Mortgage Securities Trust
5.390% due 03/25/2036		32		32
Residential Asset Securities Corp.
5.390% due 02/25/2037		95		95
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		59		59
Structured Asset Securities Corp.
4.900% due 04/25/2035		54		54
Wachovia Student Loan Trust
5.335% due 10/25/2013		3		3
Total Asset-Backed Securities (Cost $862)				864
SOVEREIGN ISSUES 0.3%
Banque Centrale de Tunisie
7.375% due 04/25/2012		12		13
Panama Government International Bond
9.625% due 02/08/2011		8		9
Total Sovereign Issues (Cost $22)				22
	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		67
Total Exchange-Traded Funds (Cost $50)				67
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 38.6%
Commercial Paper 34.9%
Bank of America Corp.
5.205% due 10/04/2007	$	300		298
Barclays U.S. Funding Corp.
5.240% due 09/26/2007		200		199
CBA (de) Finance
5.225% due 09/28/2007		200		199
Danske Corp.
5.235% due 10/12/2007		300		297
Dexia Delaware LLC
5.225% due 09/21/2007		300		299
Fannie Mae
5.080% due 07/02/2007		200		200
Freddie Mac
4.800% due 07/02/2007		300		300
Nordea N.A., Inc.
5.225% due 07/26/2007		200		199
Rabobank USA Financial Corp.
5.330% due 07/26/2007		200		200
Societe Generale NY
5.240% due 11/26/2007		200		198
Swedbank AB
5.225% due 09/06/2007		200		199
UBS Finance Delaware LLC
5.230% due 10/23/2007		300		298
				2,886
Repurchase Agreements 2.8%
Lehman Brothers, Inc.
4.000% due 07/02/2007		100		100
(Dated 06/29/2007. Collateralized by U.S. Treasury Inflation Protected Securities 3.625% due 01/15/2008 valued at $104. Repurchase proceeds are $100.)
State Street Bank and Trust Co.
4.900% due 07/02/2007		135		135
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $141. Repurchase proceeds are $135.)
				235
U.S. Treasury Bills 0.9%
4.532% due 09/13/2007 (a)(c)		75		74
Total Short-Term Instruments (Cost $3,195)				3,195
Purchased Options (e) 0.0% (Cost $12)				4
Total Investments (b) 154.8% (Cost $12,817)			$	12,811
Written Options (f) (0.0%) (Premiums $10)				(4	)
Other Assets and Liabilities (Net) (54.8%)				(4,532	)
Net Assets 100.0%			$	8,275

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 June 30, 2007, portfolio securities with an aggregate value of $155 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $74 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor September Futures	Long	09/2007	1	$	(2	)
90-Day Eurodollar December Futures	Long	12/2008	3		1
90-Day Eurodollar June Futures	Long	06/2008	12		(8	)
90-Day Eurodollar March Futures	Long	03/2009	6		2
90-Day Eurodollar September Futures	Long	09/2008	2		(1	)
Euro-Bobl 5-Year Note September Futures	Long	09/2007	6		1
U.S. Treasury 10-Year Note September Futures	Long	09/2007	5		(6	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	3		(5	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	2		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	2		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	7		(10	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	1		(2	)
				$	(38	)

(d) Swap agreements outstanding on June 30, 2007:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	$	100	$	1
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	%	03/20/2008		100		0
Merrill Lynch & Co., Inc.	Progress Energy, Inc. 7.100% due 03/01/2011	Buy	(0.100	%)	03/20/2011		100		0
								$	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. 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	10.150	%	01/02/2012	BRL	500	$	(3	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		200		(2	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	6.000	%	06/18/2034	EUR	300		(3	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009	GBP	1,000		(3	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		100		3
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		500		(2	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009	MXN	1,000		0
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		1,700		0
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009		1,000		0
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037	$	700		8
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		200		1
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/20/2014		600		(21	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2014		100		(3	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		200		(2	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2012		700		(20	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		700		(5	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		500		8
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		2,200		(1	)
								$	(45	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized (Depreciation)
Goldman Sachs & Co.	Long	Fresco Dow Jones Euro STOXX 50	1-Month USD-LIBOR less 0.250%	11/15/2007	137,972	$	(65	)

(e) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CME 90-Day Eurodollar March Futures	$	95.250	03/17/2008	2	$	2	$	1

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Put - OTC 30-Year Interest Rate Swap	Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	07/09/2007	EUR	100	$	1	$	0
Put - OTC 10-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	6.540	%	08/24/2007	$	1,000		1		0
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		500		2		1
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/08/2007		4,400		4		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		300		1		1
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		300		1		1
									$	10	$	3

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 09/01/2037	$	85.500	09/06/2007	$	1,000	$	0	$	0
Put - OTC Fannie Mae 6.000% due 09/01/2037		89.031	09/06/2007		830		0		0
						$	0	$	0

(f) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Put - CBOT U.S. Treasury 10-Year Note September Futures	$	100.000	08/24/2007	10	$	1	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Put - OTC 5-Year Interest Rate Swap	Citibank N.A.	6-Month EUR-LIBOR	Pay	4.800	%	07/09/2007	EUR	300	$	1	$	1
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	200		2		1
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		800		4		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		100		1		1
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		100		1		1
									$	9	$	4

(g) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Bonds	4.750	%	02/15/2037	$	600	$	557	$	577
U.S. Treasury Notes	4.250	%	11/15/2013		300		289		291
U.S. Treasury Notes	4.750	%	05/15/2014		200		197		199
						$	1,043	$	1,067

⁽²⁾ Market value includes $15 of interest payable on short sales.

(h) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	362	10/2007	$	4	$	0		$	4
Buy		153	03/2008		2		0			2
Sell	CAD	90	08/2007		0		0			0
Buy	CHF	5	09/2007		0		0			0
Buy	CNY	1,363	01/2008		0		(1	)		(1	)
Buy	EUR	23	07/2007		0		0			0
Sell		6,390	07/2007		0		(84	)		(84	)
Sell	GBP	69	08/2007		0		(1	)		(1	)
Buy		9	09/2007		0		0			0
Buy	JPY	5,448	07/2007		0		(1	)		(1	)
Buy	KRW	35,451	07/2007		0		0			0
Buy		2,773	09/2007		0		0			0
Buy	MXN	363	03/2008		1		0			1
Buy	MYR	21	07/2007		0		0			0
Sell		21	07/2007		0		0			0
Buy		21	10/2007		0		0			0
Buy	NOK	108	09/2007		0		0			0
Sell		106	09/2007		0		0			0
Sell	NZD	16	07/2007		0		0			0
Buy	PLN	69	09/2007		1		0			1
Buy	RUB	656	12/2007		1		0			1
Buy		180	01/2008		0		0			0
Buy	SGD	41	07/2007		0		0			0
Sell		3	07/2007		0		0			0
Buy		5	08/2007		0		0			0
Buy		5	10/2007		0		0			0
				$	9	$	(87	)	$	(78	)

See accompanying notes

Schedule of Investments

Extended Duration Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 5.8% Banking & Finance 4.5%
ABX Financing Co.
6.350% due 10/15/2036	$	10	$	10
American Express Centurion Bank
5.320% due 05/07/2008		30		30
American Express Credit Corp.
5.380% due 03/02/2009		10		10
Citigroup, Inc.
5.400% due 12/26/2008		10		10
General Electric Capital Corp.
5.430% due 08/15/2011		10		10
5.455% due 10/21/2010		10		10
Goldman Sachs Group, Inc.
5.536% due 02/06/2012		20		20
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		30		30
				130
Industrials 1.3%
DaimlerChrysler N.A. Holding Corp.
5.840% due 09/10/2007		10		10
Georgia-Pacific Corp.
7.750% due 11/15/2029		30		29
				39
Total Corporate Bonds & Notes (Cost $169)				169
U.S. GOVERNMENT AGENCIES 22.5%
Fannie Mae
4.000% due 02/25/2019		100		89
5.000% due 08/25/2033		36		28
5.500% due 04/25/2033 - 08/25/2035		79		71
6.000% due 12/25/2034		117		106
Federal Farm Credit Bank
5.750% due 12/07/2028		80		82
Federal Home Loan Bank
3.500% due 11/15/2007		15		15
4.000% due 05/15/2009		10		10
Freddie Mac
5.000% due 10/15/2033		11		10
5.500% due 02/15/2024		36		33
5.720% due 01/15/2033		3		3
6.000% due 06/15/2035		188		170
8.250% due 06/01/2016		30		35
Total U.S. Government Agencies (Cost $688)				652
U.S. TREASURY OBLIGATIONS 112.7%
U.S. Treasury Strips
0.000% due 02/15/2019		700		385
0.000% due 02/15/2026		2,000		761
0.000% due 08/15/2026		800		296
0.000% due 11/15/2026		1,200		440
0.000% due 02/15/2027		1,000		362
0.000% due 08/15/2027		1,000		352
0.000% due 11/15/2027		1,000		349
0.000% due 08/15/2029		1,000		322
Total U.S. Treasury Obligations (Cost $3,254)				3,267
MORTGAGE-BACKED SECURITIES 2.4%
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		8		8
GS Mortgage Securities Corp. II
5.420% due 06/06/2020		6		6
JPMorgan Chase Commercial Mortgage
Securities Corp.
5.747% due 02/12/2049		20		20
Washington Mutual, Inc.
5.724% due 10/25/2046		27		27
5.759% due 01/25/2047		9		9
Total Mortgage-Backed Securities (Cost $70)				70
ASSET-BACKED SECURITIES 4.2%
Argent Securities, Inc.
5.370% due 10/25/2036		21		20
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		17		17
5.370% due 12/25/2036		7		7
Bear Stearns Asset-Backed Securities, Inc.
5.508% due 07/25/2036		23		23
Chase Credit Card Master Trust
5.430% due 10/15/2010		20		20
MBNA Credit Card Master Note Trust
5.440% due 08/16/2010		20		20
SLM Student Loan Trust
5.325% due 07/25/2013		16		16
Total Asset-Backed Securities (Cost $123)				123
SHORT-TERM INSTRUMENTS 29.2%
Certificates of Deposit 4.5%
Abbey National Treasury Services PLC
5.270% due 07/02/2008		10		10
Barclays Bank PLC
5.281% due 03/17/2008		20		20
BNP Paribas
5.262% due 07/03/2008		20		20
5.270% due 09/23/2008		10		10
Fortis Bank NY
5.300% due 09/30/2008		10		10
Nordea Bank Finland PLC
5.308% due 04/09/2009		10		10
Skandinav Enskilda BK
5.272% due 08/21/2008		30		30
Societe Generale NY
5.270% due 03/26/2008		20		20
				130
Commercial Paper 17.2%
Bank of America Corp.
5.215% due 10/04/2007		100		99
Dexia Delaware LLC
5.225% due 09/21/2007		100		99
Freddie Mac
4.800% due 07/02/2007		100		100
HBOS Treasury Services PLC
5.225% due 11/13/2007		100		100
UBS Finance Delaware LLC
5.230% due 10/23/2007		100		99
				497
Repurchase Agreements 4.8%
State Street Bank and Trust Co.
4.900% due 07/02/2007		139		139
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $146. Repurchase proceeds are $139.)
U.S. Treasury Bills 2.7%
4.703% due 08/30/2007 - 09/13/2007 (a)(b)		80		80
Total Short-Term Instruments (Cost $846)				846
Purchased Options (d) 0.0% (Cost $2)				1
Total Investments 176.8% (Cost $5,152)			$	5,128
Written Options (e) (0.0%) (Premiums $6)				(1	)
Other Assets and Liabilities (Net) (76.8%)				(2,227	)
Net Assets 100.0%			$	2,900

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) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $80 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	2	$	0
90-Day Eurodollar March Futures	Long	03/2008	9		0
90-Day Eurodollar September Futures	Long	09/2008	12		(4	)
U.S. Treasury 5-Year Note September Futures	Short	09/2007	18		3
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	4		(2	)
				$	(3	)

(c) Swap agreements outstanding on June 30, 2007:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized (Depreciation)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2037	$	400	$	(22	)

(d) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 5-Year Note September Futures	$	106.000	08/24/2007	4	$	0	$	0
Call - CBOT U.S. Treasury 5-Year Note September Futures		108.500	08/24/2007	13		0		1
Call - CBOT U.S. Treasury 5-Year Note September Futures		109.000	08/24/2007	1		0		0
Call - CBOT U.S. Treasury 10-Year Note September Futures		114.000	08/24/2007	1		0		0
Call - CBOT U.S. Treasury 30-Year Bond September Futures		114.000	08/24/2007	2		0		0
Call - CBOT U.S. Treasury 30-Year Bond September Futures		118.000	08/24/2007	5		0		0
Call - CBOT U.S. Treasury 30-Year Bond September Futures		120.000	08/24/2007	1		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		0
Put - CME 90-Day Eurodollar December Futures		94.500	12/17/2007	1		0		0
					$	2	$	1

(e) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CME 90-Day Eurodollar December Futures	$	95.250	12/17/2007	10	$	6	$	1

(f) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(1)
U.S. Treasury Bonds	4.500	%	02/15/2036	$	180	$	159	$	167
U.S. Treasury Bonds	4.750	%	02/15/2037		200		185		192
						$	344	$	359

⁽¹⁾ Market value includes $8 of interest payable on short sales.

(g) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized (Depreciation)
Buy	BRL	7	03/2008	$	0	$	0		$	0
Buy	CNY	246	12/2007		0		0			0
Buy	JPY	8,906	07/2007		0		(1	)		(1	)
Buy	KRW	2,806	08/2007		0		0			0
Buy	PLN	3	09/2007		0		0			0
Buy	RUB	26	01/2008		0		0			0
				$	0	$	(1	)	$	(1	)

See accompanying notes

Schedule of Investments

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

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 9.8%
Banking & Finance 5.0%
Bank of America Corp.
5.616% due 10/14/2016	$	100	$	101
Citigroup, Inc.
5.400% due 12/26/2008		100		100
Ford Motor Credit Co.
7.800% due 06/01/2012		50		49
Goldman Sachs Group, Inc.
5.450% due 12/22/2008		100		100
HSBC Finance Corp.
5.415% due 10/21/2009		100		100
JPMorgan Chase & Co.
5.410% due 06/26/2009		100		100
Rabobank Nederland
5.376% due 01/15/2009		100		100
Santander U.S. Debt S.A. Unipersonal
5.416% due 02/06/2009		100		100
5.420% due 11/20/2009		100		100
				850
Industrials 1.8%
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		100		100
Omnicom Group, Inc.
5.900% due 04/15/2016		100		99
Xerox Capital Trust I
8.000% due 02/01/2027		100		103
				302
Utilities 3.0%
BellSouth Corp.
5.460% due 08/15/2008		200		200
Embarq Corp.
6.738% due 06/01/2013		200		204
NRG Energy, Inc.
7.375% due 02/01/2016		100		101
				505
Total Corporate Bonds & Notes (Cost $1,654)				1,657
U.S. GOVERNMENT AGENCIES 74.5%
Fannie Mae
4.000% due 08/01/2013		90		86
4.190% due 11/01/2034		65		64
4.612% due 08/01/2035		65		65
4.637% due 10/01/2035		69		69
4.657% due 10/01/2035		68		68
4.709% due 09/01/2035		88		87
4.723% due 10/01/2035		67		68
4.852% due 02/01/2034		39		39
4.903% due 12/01/2035		146		146
5.000% due 01/01/2020 - 02/25/2025		1,610		1,564
5.500% due 05/25/2027 - 08/01/2037		5,373		5,187
5.504% due 07/01/2032		36		36
5.670% due 05/25/2042 - 09/25/2042		152		152
6.000% due 03/25/2031 - 07/01/2037		3,300		3,269
6.133% due 09/01/2044 - 10/01/2044		295		298
6.625% due 11/25/2023		80		83
Freddie Mac
3.500% due 01/15/2023		207		204
4.748% due 09/01/2035		80		79
5.000% due 12/15/2015 - 08/15/2020		1,013		1,001
5.520% due 10/15/2020		31		31
Total U.S. Government Agencies (Cost $12,617)				12,596
U.S. TREASURY OBLIGATIONS 0.8%
U.S. Treasury Bonds
8.125% due 08/15/2019		100		126
Total U.S. Treasury Obligations (Cost $134)				126
MORTGAGE-BACKED SECURITIES 17.3%
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		166		163
Bear Stearns Alt-A Trust
5.818% due 11/25/2036		84		84
Citigroup Mortgage Loan Trust, Inc.
4.900% due 10/25/2035		251		248
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		51		50
5.480% due 02/25/2047		88		88
5.530% due 03/20/2046		69		70
5.600% due 02/25/2037		78		78
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		79		78
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.410% due 08/25/2037		100		100
Downey Savings & Loan Association Mortgage Loan Trust
7.235% due 07/19/2044		18		18
Freddie Mac
5.000% due 04/15/2018		166		163
GS Mortgage Securities Corp. II
5.420% due 06/06/2020		19		19
GSR Mortgage Loan Trust
5.500% due 11/25/2035		62		62
Harborview Mortgage Loan Trust
5.560% due 03/19/2037		73		73
HSI Asset Securitization Corp. Trust
5.380% due 05/25/2037 (a)		100		100
LB-UBS Commercial Mortgage Trust
2.720% due 03/15/2027		36		35
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		44		44
Mellon Residential Funding Corp.
5.670% due 11/15/2031		91		91
5.760% due 12/15/2030		69		69
Morgan Stanley Capital I
5.380% due 10/15/2020		82		82
Structured Adjustable Rate Mortgage Loan Trust
6.429% due 01/25/2035		46		46
Structured Asset Mortgage Investments, Inc.
5.390% due 08/25/2036		142		143
5.540% due 05/25/2036		85		85
5.600% due 02/25/2036		75		75
Structured Asset Securities Corp.
5.000% due 12/25/2034		106		105
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		76		76
Washington Mutual, Inc.
5.724% due 07/25/2046		161		162
5.724% due 08/25/2046		179		181
5.759% due 01/25/2047		88		88
6.009% due 06/25/2046		144		145
6.223% due 05/25/2041		29		29
Wells Fargo Mortgage-Backed Securities Trust
5.240% due 04/25/2036		76		75
Total Mortgage-Backed Securities (Cost $2,921)				2,925
ASSET-BACKED SECURITIES 25.0%
ACE Securities Corp.
5.390% due 12/25/2035		28		28
5.400% due 02/25/2036		28		28
5.470% due 12/25/2035		100		100
Argent Securities, Inc.
5.360% due 06/25/2036		53		53
5.400% due 03/25/2036		21		21
Asset-Backed Funding Certificates
5.380% due 01/25/2037		75		75
Bear Stearns Asset-Backed Securities, Inc.
5.400% due 12/25/2035		12		12
Carrington Mortgage Loan Trust
5.370% due 01/25/2037		82		82
Centex Home Equity
5.370% due 06/25/2036		61		61
Citigroup Mortgage Loan Trust, Inc.
5.380% due 05/25/2037		200		200
5.390% due 08/25/2036		74		74
5.400% due 12/25/2035		20		20
Countrywide Asset-Backed Certificates
5.350% due 01/25/2046		103		103
5.370% due 01/25/2037		98		98
5.370% due 05/25/2037		86		86
5.370% due 05/25/2037		166		166
5.450% due 07/25/2036		20		20
5.480% due 02/25/2036		29		29
Credit-Based Asset Servicing & Securitization LLC
5.380% due 11/25/2036		82		82
CSAB Mortgage-Backed Trust
5.420% due 06/25/2036		64		64
First Franklin Mortgage Loan Asset-Backed Certificates
5.390% due 01/25/2036		21		21
First NLC Trust
5.390% due 08/25/2037		100		100
5.440% due 02/25/2036		34		34
GSAMP Trust
5.390% due 01/25/2036		29		29
5.410% due 11/25/2035		35		35
GSR Mortgage Loan Trust
5.420% due 11/25/2030		16		16
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		63		63
5.670% due 09/20/2033		19		19
Home Equity Asset Trust
5.400% due 05/25/2036		41		41
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		84		84
5.400% due 12/25/2035		37		38
Indymac Residential Asset-Backed Trust
5.380% due 04/25/2037		79		79
5.410% due 03/25/2036		28		28
5.450% due 04/25/2037		91		91
JPMorgan Mortgage Acquisition Corp.
5.360% due 08/25/2036		88		88
5.370% due 10/25/2036		82		82
5.380% due 04/01/2037		96		96
5.400% due 03/25/2037		96		96
Lehman XS Trust
5.400% due 07/25/2046		101		101
5.410% due 05/25/2046		47		47
Long Beach Mortgage Loan Trust
5.380% due 05/25/2046		25		25
5.410% due 01/25/2036		58		58
5.600% due 10/25/2034		37		37
MASTR Asset-Backed Securities Trust
5.380% due 11/25/2036		81		81
5.400% due 05/25/2037		100		100
5.430% due 11/25/2035		25		25
Merrill Lynch Mortgage Investors, Inc.
5.390% due 08/25/2036		65		65
5.430% due 07/25/2036		19		19
Morgan Stanley ABS Capital I
5.360% due 07/25/2036		113		114
Nelnet Student Loan Trust
5.340% due 09/25/2012		78		78
Newcastle Mortgage Securities Trust
5.390% due 03/25/2036		65		65
Residential Asset Mortgage Products, Inc.
5.400% due 01/25/2036		21		21
Residential Asset Securities Corp.
5.400% due 01/25/2036		22		22
5.410% due 01/25/2036		16		16
Securitized Asset-Backed Receivables LLC Trust
5.390% due 10/25/2035		12		12
5.440% due 05/25/2037		100		100
5.450% due 05/25/2037 (a)		100		100
SLC Student Loan Trust
5.313% due 02/15/2015		100		100
SLM Student Loan Trust
5.355% due 10/25/2016		100		100
Soundview Home Equity Loan Trust
5.400% due 01/25/2037		72		72
5.400% due 06/25/2037		97		97
Structured Asset Securities Corp.
4.900% due 04/25/2035		54		54
USAA Auto Owner Trust
5.337% due 07/11/2008		100		100
Wachovia Auto Owner Trust
5.340% due 07/18/2008		100		100
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		82		82
Total Asset-Backed Securities (Cost $4,231)				4,233
SOVEREIGN ISSUES 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012		12		13
Panama Government International Bond
9.625% due 02/08/2011		8		9
Total Sovereign Issues (Cost $22)				22
	Shares
PREFERRED STOCKS 0.3%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		44		44
Total Preferred Stocks (Cost $45)				44
EXCHANGE-TRADED FUNDS 2.6%
iShares MSCI Hong Kong Index Fund		7,509		128
iShares MSCI Malaysia Index Fund		1,317		16
iShares MSCI Singapore Index Fund		835		11
iShares MSCI South Korea Index Fund		822		50
iShares MSCI Taiwan Index Fund		14,392		230
Total Exchange-Traded Funds (Cost $329)				435
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 25.9%
Certificates of Deposit 1.2%
BNP Paribas
5.262% due 05/28/2008	$	100		100
Nordea Bank Finland PLC
5.308% due 05/28/2008		100		100
				200
Commercial Paper 21.1%
Bank of America Corp.
5.190% due 10/04/2007		200		198
5.250% due 10/04/2007		300		296
Dexia Delaware LLC
5.240% due 09/21/2007		500		494
Fortis Funding LLC
5.255% due 09/05/2007		400		399
Societe Generale NY
5.240% due 11/26/2007		500		494
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		400		400
UBS Finance Delaware LLC
5.230% due 10/23/2007		500		492
Westpac Banking Corp.
5.240% due 11/05/2007		800		791
				3,564
Repurchase Agreements 2.7%
State Street Bank and Trust Co.
4.900% due 07/02/2007		463		463
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $477. Repurchase proceeds are $463.)
U.S. Treasury Bills 0.9%
4.616% due 09/13/2007 (b)(d)		155		153
Total Short-Term Instruments (Cost $4,381)				4,380
Purchased Options (f) 0.1% (Cost $36)				18
Total Investments (c) 156.4% (Cost $26,370)			$	26,436
Written Options (g) (0.0%) (Premiums $21)				(6	)
Other Assets and Liabilities (Net) (56.4%)				(9,530	)
Net Assets 100.0%			$	16,900

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) When-issued security.

(b) Coupon represents a weighted average rate.

(c) As of June 30, 2007, portfolio securities with an aggregate value of $991 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $153 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor September Futures	Long	09/2007	3	$	(5	)
90-Day Eurodollar June Futures	Long	06/2008	25		(16	)
90-Day Eurodollar March Futures	Long	03/2008	1		(1	)
90-Day Eurodollar March Futures	Long	03/2009	11		3
90-Day Eurodollar September Futures	Long	09/2008	2		(2	)
Euro-Bobl 5-Year Note September Futures	Long	09/2007	16		4
Euro-Bund 10-Year Note September Futures	Long	09/2007	1		(1	)
U.S. Treasury 10-Year Note September Futures	Long	09/2007	3		3
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	21		(41	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	5		(11	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	19		(39	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	15		(23	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	3		(6	)
				$	(135	)

(e) Swap agreements outstanding on June 30, 2007:

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.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		25		1
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		1
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		200		3
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		(1	)
Morgan Stanley	Omnicom Group, Inc. 5.900% due 04/15/2016	Sell	(0.390	%)	06/20/2016		100		0
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		100		1
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.665	%)	06/20/2017		100		0
								$	5

⁽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	10.150	%	01/02/2012	BRL	800	$	(4	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		300		(3	)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014	EUR	300		15
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	6.000	%	06/18/2034		600		(6	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035	GBP	200		24
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		200		14
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		500		(2	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009	MXN	2,000		0
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		3,400		(1	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009		2,000		0
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037	$	1,300		15
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		1,800		6
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/20/2014		1,200		(42	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		200		2
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2014		300		(10	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2014		1,000		(6	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		100		0
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		100		2
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2012		100		(3	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		600		(4	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		700		11
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		3,600		(1	)
								$	7

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	Long	iShares MSCI Hong Kong Index	1-Month USD-LIBOR less 0.250%	11/15/2007	276,019	$	3
Goldman Sachs & Co.	Long	iShares MSCI Malaysia Index	1-Month USD-LIBOR less 0.250%	11/15/2007	122,124		(11	)
Goldman Sachs & Co.	Long	iShares MSCI Singapore Index	1-Month USD-LIBOR less 0.250%	11/15/2007	155,027		(31	)
Goldman Sachs & Co.	Long	iShares MSCI South Korea Index	1-Month USD-LIBOR less 0.250%	11/15/2007	83,313		(142	)
Goldman Sachs & Co.	Long	iShares MSCI Taiwan Index	1-Month USD-LIBOR less 0.250%	11/15/2007	205,439		93
						$	(88	)

(f) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CME 90-Day Eurodollar March Futures	$	95.250	03/17/2008	6	$	5	$	1

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Put - OTC 30-Year Interest Rate Swap	Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	07/09/2007	EUR	100	$	1	$	1
Put - OTC 10-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	6.540	%	08/24/2007	$	2,000		1		0
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		700		2		1
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		1,100		3		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/08/2007		11,100		11		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		300		1		1
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		600		2		2
									$	21	$	5

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	121.000	01/18/2008	$	100	$	1	$	2
Call - OTC U.S. dollar versus Japanese yen		103.800	03/17/2010		100		5		8
Put - OTC U.S. dollar versus Japanese yen		103.800	03/17/2010		100		4		2
						$	10	$	12

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 09/01/2037	$	85.000	09/06/2007	$	1,000	$	0	$	0
Put - OTC Fannie Mae 5.500% due 09/01/2037		85.500	09/06/2007		2,000		0		0
						$	0	$	0

(g) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Put - CBOT U.S. Treasury 10-Year Note September Futures	$	100.000	08/24/2007	20	$	2	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Put - OTC 5-Year Interest Rate Swap	Citibank N.A.	6-Month EUR-LIBOR	Pay	4.800	%	07/09/2007	EUR	500	$	2	$	2
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	300		2		1
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	07/02/2007		200		2		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		2,000		10		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		100		1		1
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		200		2		2
									$	19	$	6

(h) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Bonds	4.750	%	02/15/2037	$	1,100	$	1,021	$	1,058
U.S. Treasury Notes	4.250	%	11/15/2013		300		289		291
U.S. Treasury Notes	4.500	%	05/15/2017		600		578		579
U.S. Treasury Notes	4.750	%	05/15/2014		200		197		199
						$	2,085	$	2,127

⁽²⁾ Market value includes $28 of interest payable on short sales.

(i) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	783	10/2007	$	7	$	(1	)	$	6
Buy		346	03/2008		5		0			5
Sell		22	03/2008		0		(1	)		(1	)
Sell	CAD	194	08/2007		0		(1	)		(1	)
Buy	CNY	1,214	11/2007		0		0			0
Buy		3,234	01/2008		0		(2	)		(2	)
Buy	EUR	60	07/2007		0		0			0
Sell		108	07/2007		0		(1	)		(1	)
Sell	GBP	201	08/2007		0		(2	)		(2	)
Buy		21	09/2007		0		0			0
Buy	HKD	114,972	07/2007		0		(9	)		(9	)
Sell		76,192	07/2007		0		(1	)		(1	)
Sell		76,192	08/2007		4		0			4
Buy	JPY	13,447	07/2007		0		(2	)		(2	)
Buy	KRW	241,956	07/2007		2		0			2
Sell		130,000	07/2007		0		(1	)		(1	)
Buy		71,000	08/2007		1		0			1
Sell		4,648,795	08/2007		2		(1	)		1
Buy	MXN	914	03/2008		2		0			2
Buy	MYR	5,406	07/2007		3		0			3
Sell		5,406	07/2007		22		0			22
Sell		5,238	10/2007		0		0			0
Buy	NOK	251	09/2007		1		0			1
Sell		248	09/2007		0		0			0
Sell	NZD	48	07/2007		0		(1	)		(1	)
Buy	PLN	165	09/2007		2		0			2
Buy	RUB	1,626	12/2007		1		0			1
Buy		103	01/2008		0		0			0
Buy	SGD	200	07/2007		0		(2	)		(2	)
Sell		3,524	07/2007		32		0			32
Buy		50	10/2007		0		0			0
Buy	TWD	106,355	07/2007		0		(8	)		(8	)
Sell		106,355	07/2007		0		(28	)		(28	)
Sell		106,355	08/2007		11		0			11
				$	95	$	(61	)	$	34

See accompanying notes

Schedule of Investments

Floating Income Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 8.7%
AES Corp.
7.180% due 04/30/2010	$	15,000	$	15,031
7.190% due 04/30/2008		1,000		1,003
7.500% due 08/10/2011		1,000		1,003
AGCO Corp.
7.100% due 06/15/2009		625		629
Allied Waste North America, Inc.
5.320% due 01/15/2012		1,680		1,688
7.060% due 03/28/2014		1,520		1,526
7.110% due 03/28/2014		1,047		1,051
7.140% due 03/28/2014		558		560
7.150% due 03/28/2014		608		610
Appleton Papers, Inc.
5.320% due 05/21/2014		333		334
5.340% due 05/21/2014		333		334
5.360% due 05/21/2014		333		334
Aramark Corp.
7.445% due 01/19/2014		263		264
7.475% due 01/10/2014		3,685		3,692
Biomet, Inc.
6.000% due 03/08/2008		7,500		7,519
Boc Group, Inc.
7.360% due 05/31/2014		2,500		2,508
Celanese Corp.
7.099% due 04/02/2014		5,000		5,016
Centennial Cellular Operating Co. LLC
7.350% due 02/09/2011		857		862
7.360% due 01/20/2011		66		67
Community Health Corp.
4.000% due 07/02/2014		526		527
5.000% due 07/02/2014		7,974		7,993
Cooper-Standard Automotive, Inc.
7.875% due 12/31/2011		2,042		2,047
Covanta Energy Corp.
5.240% due 02/07/2014		1,650		1,651
6.875% due 02/07/2014		3,351		3,354
CSC Holdings, Inc.
7.070% due 02/24/2013		4,712		4,716
7.070% due 03/29/2013		275		275
DaVita, Inc.
6.820% due 10/05/2012		2,258		2,264
6.850% due 10/05/2012		3,736		3,746
6.860% due 10/05/2012		1,005		1,008
Dex Media West LLC
6.820% due 09/09/2010		806		806
6.840% due 09/09/2010		228		228
6.860% due 09/09/2010		4,534		4,536
DirecTV Holdings LLC
6.820% due 04/08/2013		990		991
Dobson Communications Corp.
7.320% due 03/14/2014		5,000		5,001
El Paso Corp.
5.273% due 06/15/2009		2,000		1,970
Energy Transfer Equity LP
7.106% due 11/01/2012		5,000		5,023
FCI Connectors
7.117% due 03/09/2013		2,500		2,499
Ford Motor Co.
8.360% due 11/29/2013		14,963		15,041
Freescale Semiconductor, Inc.
7.110% due 11/28/2013		2,985		2,960
Fresenius Medical Care Capital Trust
6.725% due 03/22/2013		4,412		4,415
6.735% due 03/22/2013		576		576
General Motors Acceptance Corp.
7.725% due 11/17/2013		3,990		4,021
Georgia-Pacific Corp.
7.110% due 12/20/2012		6,912		6,936
Goodyear Tire & Rubber Co.
7.100% due 04/20/2014		5,000		4,982
Hanesbrands, Inc.
7.105% due 10/15/2013		3,704		3,720
Hawaiian Telcom Communications, Inc.
7.610% due 06/01/2014		5,000		4,994
HCA, Inc.
7.100% due 11/17/2012		990		993
7.600% due 11/14/2013		9,975		10,030
Headwaters, Inc.
7.360% due 04/30/2011		734		736
Health Management Associates, Inc.
7.100% due 01/16/2014		4,000		4,009
HealthSouth Corp.
7.850% due 02/02/2013		3,122		3,138
7.860% due 02/02/2013		58		58
Hercules, Inc.
6.820% due 10/08/2010		493		494
6.840% due 10/08/2010		2		2
Hertz Corp.
5.360% due 12/21/2012		447		450
7.090% due 12/20/2012		978		984
7.090% due 12/21/2012		152		153
7.110% due 12/21/2012		1,368		1,377
Idearc, Inc.
7.360% due 11/09/2014		7,980		8,021
Ineos Group Holdings PLC
7.580% due 10/07/2013		2,228		2,244
8.080% due 10/07/2014		2,228		2,253
Jarden Corp.
7.100% due 01/21/2012		3,293		3,303
Kinder Morgan, Inc.
6.820% due 05/24/2014		8,800		8,804
Kinetic Concepts, Inc.
6.850% due 08/11/2010		562		564
Las Vegas Sands Corp.
3.000% due 05/15/2014		1,000		999
7.110% due 05/15/2014		4,000		3,996
Lukoil Finance Ltd.
6.020% due 01/11/2009		4,830		4,805
Mediacom Communications Corp.
7.100% due 02/28/2014		722		722
7.110% due 02/28/2014		1,273		1,272
Metro-Goldwyn-Mayer, Inc.
8.614% due 04/08/2012		5,940		5,961
Nalco Co.
7.070% due 11/01/2010		459		462
7.110% due 11/04/2010		355		357
7.140% due 11/01/2010		416		419
Neiman-Marcus Group, Inc.
7.320% due 04/06/2013		172		173
7.360% due 03/13/2013		2,754		2,767
Nortek, Inc.
7.610% due 08/24/2011		1,955		1,953
Novelis, Inc.
7.590% due 01/07/2012		637		639
7.610% due 01/07/2012		367		368
NRG Energy, Inc.
7.070% due 11/04/2012		879		876
OAO Rosneft Oil Co.
6.000% due 09/16/2007		42,000		42,059
6.000% due 09/17/2009		5,000		4,920
PanAmSat Corp.
7.349% due 06/30/2011		772		777
7.349% due 06/30/2013		1,639		1,646
Penn National Gaming, Inc.
7.100% due 05/26/2012		45		45
7.110% due 05/26/2012		2,910		2,917
Polypore, Inc.
8.320% due 11/12/2011		442		443
Primedia, Inc.
7.570% due 09/30/2013		1,182		1,181
Qwest Corp.
6.950% due 06/30/2010		2,000		1,993
Reliant Energy, Inc.
8.000% due 06/13/2014		4,000		3,995
Renal Advantage, Inc.
7.860% due 10/06/2012		3,980		4,020
Rental Service Corp.
7.090% due 11/21/2013		1,920		1,933
7.100% due 11/21/2013		2,060		2,074
RH Donnelley, Inc.
6.850% due 09/09/2010		577		577
6.850% due 06/30/2011		1,055		1,055
6.860% due 09/09/2010		1,008		1,008
6.860% due 06/30/2011		3,287		3,289
Roundy’s Supermarket, Inc.
8.070% due 10/27/2011		15		15
8.110% due 11/01/2011		5,920		5,971
Royalty Pharma
5.320% due 05/14/2013		750		753
5.340% due 05/14/2013		750		753
Sandridge Energy, Inc.
8.975% due 04/01/2014		4,775		4,894
Shackleton Re Ltd.
12.875% due 08/01/2008		2,000		2,010
13.375% due 08/01/2008		500		504
Simmons Bedding Co.
7.375% due 12/19/2011		378		380
7.438% due 12/19/2011		483		485
SLM Corp.
6.000% due 06/30/2008		3,000		2,985
Smurfit-Stone Container Enterprises, Inc.
5.215% due 11/01/2010		87		88
7.375% due 11/01/2010		67		67
7.375% due 11/01/2011		488		491
Solar Capital Corp.
7.356% due 02/11/2013		2,948		2,964
Supervalu, Inc.
6.820% due 05/26/2013		13		13
6.860% due 05/26/2013		4,975		4,992
Telcordia Technologies, Inc.
8.110% due 09/09/2012		2,940		2,936
Telesat Canada, Inc.
2.620% due 02/14/2008		10,000		10,005
Thompson Learning, Inc.
5.000% due 06/27/2014		12,000		11,860
Travelport
7.850% due 08/01/2013		446		449
7.850% due 08/22/2013		4,531		4,557
Tribune Co.
8.375% due 05/30/2014		4,750		4,649
Universal City Development Partners
7.350% due 06/09/2012		6		6
7.360% due 06/09/2012		920		928
UPC Financing Partnership
7.080% due 12/31/2014		2,000		2,001
VNU/Nielson Finance LLC
7.607% due 08/08/2013		4,975		5,011
Warner Chilcott Corp.
7.340% due 01/18/2012		290		292
7.350% due 01/18/2012		828		832
7.357% due 01/18/2012		290		292
Wimar Landco LLC
7.850% due 07/04/2008		5,000		5,036
WMG Acquisition Corp.
7.355% due 02/27/2011		361		362
7.360% due 02/27/2011		1,447		1,453
7.360% due 02/28/2011		139		140
Worldspan LP
8.606% due 12/07/2013		1,125		1,131
8.610% due 12/07/2013		1,114		1,119
10.500% due 12/07/2013		6		6
Xerium Technologies, Inc.
8.100% due 05/18/2012		1,350		1,350
Total Bank Loan Obligations (Cost $369,079)				369,405
CORPORATE BONDS & NOTES 48.2%
Banking & Finance 25.9%
American Express Bank FSB
5.340% due 06/12/2009		6,500		6,503
5.380% due 06/22/2009		2,400		2,403
American Express Centurion Bank
5.320% due 05/07/2008		3,500		3,500
5.380% due 09/22/2009		2,500		2,499
5.480% due 12/17/2009		3,035		3,045
American Express Credit Corp.
5.380% due 05/19/2009		4,950		4,955
American Honda Finance Corp.
5.346% due 08/05/2008		2,400		2,401
5.420% due 03/09/2009		2,000		2,003
American International Group, Inc.
5.360% due 06/23/2008		6,400		6,403
5.370% due 06/16/2009		15,000		15,062
5.469% due 10/18/2011		12,800		12,814
ANZ National International Ltd.
5.396% due 08/07/2009		2,500		2,500
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014		500		502
Banco Nacional de Comercio Exterior SNC
3.875% due 01/21/2009		2,630		2,541
Banco Santander Chile
5.710% due 12/09/2009		5,500		5,530
Bank of America Corp.
5.366% due 11/06/2009		3,300		3,300
5.370% due 06/19/2009		2,500		2,504
5.370% due 09/25/2009		11,000		11,009
Bank of America N.A.
5.360% due 12/18/2008		12,900		12,907
5.360% due 06/12/2009		17,600		17,607
Bear Stearns Cos., Inc.
5.450% due 03/30/2009		14,300		14,311
5.585% due 01/31/2011		7,500		7,473
5.630% due 09/09/2009		1,680		1,687
5.960% due 09/27/2007		650		651
BHP Billiton Finance Ltd.
5.390% due 03/27/2009		2,500		2,501
C5 Capital SPV Ltd.
6.196% due 12/01/2049		500		497
C10 Capital SPV Ltd.
6.722% due 12/31/2049		4,400		4,295
Calabash Re II Ltd.
16.260% due 01/08/2010		3,000		3,123
Caterpillar Financial Services Corp.
5.408% due 08/11/2009		6,900		6,906
5.410% due 10/09/2009		10,000		10,008
5.420% due 05/18/2009		5,000		5,007
5.430% due 03/10/2009		7,000		7,008
CIT Group, Inc.
5.430% due 12/19/2007		5,100		5,101
5.505% due 01/30/2009		24,850		24,819
5.510% due 08/15/2008		2,000		2,000
5.590% due 09/20/2007		7,000		7,002
Colvis Finance
8.000% due 02/02/2009		5,500		5,604
Credit Agricole S.A.
5.360% due 05/28/2009		5,000		5,002
5.410% due 05/28/2010		18,000		18,012
DBS Bank Ltd.
5.580% due 05/16/2017		11,000		11,021
DnB NORBank ASA
5.425% due 10/13/2009		5,800		5,803
East Lane Re Ltd.
12.355% due 05/06/2011		2,000		2,010
El Paso Performance-Linked Trust
7.750% due 07/15/2011		2,300		2,380
Export-Import Bank of Korea
4.125% due 02/10/2009		3,149		3,082
4.250% due 11/27/2007		9,042		8,996
4.250% due 11/06/2008		1,714		1,685
4.500% due 08/12/2009		5,500		5,387
5.450% due 06/01/2009		25,000		25,013
5.600% due 11/16/2010		7,500		7,520
Ford Motor Credit Co.
4.950% due 01/15/2008		2,000		1,985
5.800% due 01/12/2009		5,200		5,092
6.750% due 08/15/2008		3,000		2,984
6.926% due 01/15/2010		2,500		2,468
7.250% due 10/25/2011		9,400		9,055
7.375% due 10/28/2009		5,000		4,966
7.375% due 02/01/2011		3,865		3,779
7.800% due 06/01/2012		4,875		4,760
8.000% due 12/15/2016		10		10
8.105% due 01/13/2012		5,000		4,992
8.355% due 11/02/2007		5,000		5,032
Foundation Re II Ltd.
12.110% due 11/26/2010		3,700		3,715
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		7,000		7,145
General Electric Capital Corp.
5.385% due 10/26/2009		4,700		4,703
5.390% due 03/12/2010		13,000		13,014
5.400% due 03/04/2008		2,500		2,502
5.400% due 03/16/2009		3,000		3,002
5.410% due 10/06/2010		25,000		25,020
5.417% due 05/10/2010		8,500		8,514
5.430% due 08/15/2011		23,500		23,493
5.455% due 04/30/2009		1,500		1,502
5.460% due 06/15/2009		2,000		2,005
5.470% due 04/10/2012		24,000		24,034
5.525% due 07/27/2012		9,800		9,827
5.540% due 11/21/2011		4,500		4,517
5.620% due 09/15/2014		450		453
General Motors Acceptance Corp.
6.125% due 08/28/2007		4,000		4,003
6.510% due 09/23/2008		1,600		1,600
Genworth Global Funding Trusts
5.420% due 02/10/2009		2,400		2,403
GMAC LLC
6.610% due 05/15/2009		1,000		1,000
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		8,500		8,503
5.440% due 11/16/2009		9,000		9,011
5.447% due 11/10/2008		4,000		4,006
5.450% due 12/22/2008		13,700		13,718
5.450% due 06/23/2009		4,700		4,706
5.455% due 07/29/2008		6,300		6,309
5.560% due 03/02/2010		2,500		2,510
5.685% due 07/23/2009		4,135		4,158
5.760% due 10/07/2011		2,000		2,014
HBOS Treasury Services PLC
5.320% due 07/17/2008		2,000		2,002
5.420% due 12/08/2010		35,000		35,034
Hexion U.S. Finance Corp.
9.750% due 11/15/2014		2,000		2,080
9.860% due 11/15/2014		3,000		3,105
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		8,075		8,580
HSBC Bank USA N.A.
5.430% due 09/21/2007		1,400		1,400
HSBC Finance Corp.
5.360% due 05/21/2008		6,300		6,304
5.415% due 10/21/2009		6,400		6,404
5.440% due 03/12/2010		4,900		4,899
5.490% due 09/15/2008		8,380		8,398
5.500% due 12/05/2008		4,000		4,010
5.607% due 05/10/2010		10,000		10,048
5.640% due 11/16/2009		7,000		7,039
6.538% due 11/13/2007		3,200		3,212
Hutchison Whampoa Finance CI Ltd.
6.950% due 08/01/2007		1,500		1,502
ICICI Bank Ltd.
5.895% due 01/12/2010		8,500		8,519
7.550% due 08/15/2007		1,481		1,490
Industry & Construction Bank St. Petersburg OJSC
6.875% due 07/29/2008		2,100		2,125
Intergas Finance BV
6.375% due 05/14/2017		7,000		6,720
6.875% due 11/04/2011		900		917
International Lease Finance Corp.
5.756% due 01/15/2010		4,500		4,537
John Deere Capital Corp.
5.406% due 04/15/2008		5,300		5,304
Lehman Brothers Holdings, Inc.
5.370% due 11/24/2008		2,000		2,001
5.410% due 12/23/2008		11,600		11,612
5.445% due 10/22/2008		6,700		6,710
5.445% due 01/23/2009		4,400		4,405
5.460% due 08/21/2009		15,000		15,009
5.460% due 11/16/2009		7,000		7,007
Longpoint Re Ltd.
10.609% due 05/08/2010		3,100		3,100
Malaysia Global Sukuk, Inc.
6.320% due 07/03/2007		8,350		8,350
MBNA Europe Funding PLC
5.460% due 09/07/2007		5,000		5,002
Merrill Lynch & Co., Inc.
5.390% due 12/22/2008		4,900		4,901
5.395% due 10/23/2008		4,300		4,306
5.445% due 01/30/2009		4,900		4,906
5.450% due 08/14/2009		12,000		12,013
Metropolitan Life Global Funding I
5.400% due 05/17/2010		2,650		2,652
Mirage Resorts, Inc.
6.750% due 08/01/2007		500		501
6.750% due 02/01/2008		1,500		1,509
Morgan Stanley
5.360% due 11/21/2008		5,500		5,501
5.406% due 05/07/2009		7,500		7,504
5.467% due 02/09/2009		4,500		4,507
5.484% due 01/18/2008		2,000		2,002
5.595% due 01/22/2009		10,500		10,508
5.609% due 01/18/2011		5,000		5,008
5.636% due 01/15/2010		3,500		3,519
Mystic Re Ltd.
11.660% due 12/05/2008		2,500		2,485
14.360% due 12/05/2008		1,900		1,881
15.360% due 06/07/2011		2,000		2,005
National Australia Bank Ltd.
5.349% due 10/01/2008		2,000		2,001
5.400% due 09/11/2009		10,400		10,415
5.435% due 08/19/2009		5,000		5,002
Osiris Capital PLC
10.356% due 01/15/2010		2,000		2,020
Pemex Finance Ltd.
9.690% due 08/15/2009		585		614
Petroleum Export Ltd.
4.623% due 06/15/2010		4,667		4,610
5.265% due 06/15/2011		5,391		5,262
Petroleum Export Ltd. II
6.340% due 06/20/2011		2,559		2,508
RBS Capital Trust III
5.512% due 09/29/2049		3,700		3,561
Redwood Capital IX Ltd.
12.110% due 01/09/2008		4,100		4,136
Residential Reinsurance 2005 Ltd.
10.810% due 06/06/2008		3,700		3,580
Residential Reinsurance 2007 Ltd.
11.360% due 06/07/2010		3,500		3,505
12.610% due 06/07/2010		9,900		9,916
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		4,000		4,351
RSHB Capital AG S.A. for OJSC Russian Agricultural Bank
6.299% due 05/15/2017		610		599
6.875% due 11/29/2010		1,000		1,019
Santander U.S. Debt S.A. Unipersonal
5.420% due 09/19/2008		1,100		1,101
5.420% due 11/20/2009		7,000		7,005
Shackleton Re Ltd.
13.355% due 02/07/2008		500		507
Sistema Finance S.A.
10.250% due 04/14/2008		1,500		1,550
SLM Corp.
5.435% due 01/25/2008		9,000		8,959
5.495% due 07/27/2009		21,250		20,729
5.555% due 01/26/2009		5,700		5,614
5.565% due 07/25/2008		500		497
TNK-BP Finance S.A.
6.625% due 03/20/2017		800		777
7.500% due 07/18/2016		500		517
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		5,500		5,523
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,500		1,506
UBS Preferred Funding Trust I
8.622% due 10/29/2049		18,250		19,835
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		7,900		7,905
Universal City Florida Holding Co. I
10.106% due 05/01/2010		3,200		3,280
Ventas Realty LP
6.750% due 06/01/2010		3,000		3,045
8.750% due 05/01/2009		5,758		6,053
Vita Capital III Ltd.
6.449% due 01/01/2011		9,300		9,313
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		28,900		28,918
6.110% due 09/21/2007		32,300		32,331
8.255% due 07/30/2007		2,200		2,209
Wachovia Bank N.A.
5.400% due 03/23/2009		2,500		2,502
Wachovia Corp.
5.405% due 10/28/2008		2,000		2,003
5.480% due 03/15/2011		5,000		5,011
5.486% due 10/15/2011		8,700		8,718
Wells Fargo Capital X
5.950% due 12/15/2036		1,700		1,591
Westpac Banking Corp.
5.280% due 06/06/2008		7,800		7,801
World Savings Bank FSB
5.410% due 06/20/2008		2,000		2,002
5.485% due 03/02/2009		5,800		5,818
				1,104,654
Industrials 14.1%
Abitibi-Consolidated Co. of Canada
8.860% due 06/15/2011		2,350		2,221
Albertson’s, Inc.
6.950% due 08/01/2009		10,000		10,253
Aramark Corp.
8.500% due 02/01/2015		1,600		1,636
8.856% due 02/01/2015		5,000		5,100
Boise Cascade LLC
8.231% due 10/15/2012		3,000		3,015
Bowater, Inc.
8.360% due 03/15/2010		2,500		2,488
9.000% due 08/01/2009		3,000		3,060
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		1,000		1,005
BW Group Ltd.
6.625% due 06/28/2017		1,240		1,246
C8 Capital SPV Ltd.
6.640% due 12/31/2049		9,700		9,560
Cablevision Systems Corp.
9.820% due 04/01/2009		6,600		6,930
Caesars Entertainment, Inc.
7.500% due 09/01/2009		5,000		5,115
8.875% due 09/15/2008		4,500		4,635
Celestica, Inc.
7.875% due 07/01/2011		2,000		1,950
Citic Resources Finance Ltd.
6.750% due 05/15/2014		1,200		1,161
Comcast Cable Communications, Inc.
6.750% due 01/30/2011		5,000		5,179
Comcast Corp.
5.900% due 03/15/2016		2,900		2,853
Compagnie Générale de Géophysique-Veritas
7.500% due 05/15/2015		1,000		1,005
ConocoPhillips Australia Funding Co.
5.460% due 04/09/2009		6,000		6,004
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		800		754
Corrections Corp. of America
7.500% due 05/01/2011		4,500		4,584
Cox Communications, Inc.
5.910% due 12/14/2007		6,000		6,013
CSC Holdings, Inc.
7.250% due 07/15/2008		1,450		1,464
7.875% due 12/15/2007		351		354
CSN Islands VII Corp.
10.750% due 09/12/2008		8,286		8,721
CVS Caremark Corp.
5.660% due 06/01/2010		3,800		3,804
DaimlerChrysler N.A. Holding Corp.
5.790% due 03/13/2009		4,300		4,320
5.805% due 08/03/2009		4,400		4,425
5.840% due 09/10/2007		5,200		5,204
Delta Air Lines, Inc.
7.379% due 11/18/2011		13,715		13,912
Dex Media East LLC
9.875% due 11/15/2009		5,150		5,350
Dex Media West LLC
9.875% due 08/15/2013		2,600		2,795
Diageo Finance BV
5.480% due 03/30/2009		2,500		2,504
DirecTV Holdings LLC
8.375% due 03/15/2013		1,342		1,411
Dura Operating Corp.
8.625% due 04/15/2012 (a)		500		328
Dynegy Holdings, Inc.
7.500% due 06/01/2015		2,075		1,964
EchoStar DBS Corp.
6.375% due 10/01/2011		12,100		11,888
El Paso Corp.
6.500% due 06/01/2008		5,065		5,113
7.750% due 06/15/2010		650		678
Enterprise Products Operating LP
4.000% due 10/15/2007		250		249
Equistar Chemicals LP
8.750% due 02/15/2009		10,000		10,400
10.125% due 09/01/2008		4,008		4,188
FedEx Corp.
5.436% due 08/08/2007		4,200		4,201
Freeport-McMoRan Copper & Gold, Inc.
8.564% due 04/01/2015		4,000		4,200
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		1,600		1,536
9.125% due 12/15/2014 (c)		2,400		2,268
9.235% due 12/15/2014		15,000		14,550
Fund American Cos., Inc.
5.875% due 05/15/2013		1,000		985
Gazstream S.A. for OAO Gazprom
5.625% due 07/22/2013		2,599		2,580
General Electric Co.
5.400% due 12/09/2008		6,000		6,007
General Motors Nova Scotia Finance Co.
6.850% due 10/15/2008		4,210		4,199
Georgia-Pacific Corp.
7.000% due 01/15/2015		4,650		4,499
7.700% due 06/15/2015		3,875		3,856
Goodyear Tire & Rubber Co.
9.135% due 12/01/2009		3,000		3,023
Graphic Packaging International
8.500% due 08/15/2011		5,500		5,651
Hanesbrands, Inc.
8.784% due 12/15/2014		7,000		7,140
Hanover Equipment Trust
8.500% due 09/01/2008		883		883
HCA, Inc.
9.000% due 12/15/2014		540		552
9.250% due 11/15/2016		360		384
Health Management Associates, Inc.
6.125% due 04/15/2016		3,750		3,548
Hilton Hotels Corp.
7.625% due 05/15/2008		2,000		2,038
HJ Heinz Co.
6.428% due 12/01/2008		900		909
Home Depot, Inc.
5.485% due 12/16/2009		2,500		2,498
Host Marriott LP
6.750% due 06/01/2016		2,400		2,364
Intelsat Bermuda Ltd.
5.250% due 11/01/2008		5,000		4,950
JC Penney Corp., Inc.
7.950% due 04/01/2017		2,400		2,665
JetBlue Airways Corp.
8.460% due 05/15/2010		2,580		2,588
9.610% due 03/15/2008		2,232		2,273
Kansas City Southern Railway
9.500% due 10/01/2008		11,562		12,024
L-3 Communications Corp.
7.625% due 06/15/2012		11,015		11,332
Mandalay Resort Group
9.500% due 08/01/2008		1,100		1,138
10.250% due 08/01/2007		3,260		3,272
Meritor Automotive, Inc.
6.800% due 02/15/2009		1,609		1,581
MGM Mirage
8.375% due 02/01/2011		2,500		2,569
Mosaic Co.
7.625% due 12/01/2016		550		565
Nalco Co.
7.750% due 11/15/2011		4,805		4,865
8.875% due 11/15/2013		4,030		4,201
Newfield Exploration Co.
7.450% due 10/15/2007		1,500		1,509
Nortel Networks Ltd.
9.606% due 07/15/2011		19,400		20,734
Northwest Airlines, Inc.
7.626% due 10/01/2011		4,800		4,815
Owens Brockway Glass Container, Inc.
8.750% due 11/15/2012		9,102		9,534
8.875% due 02/15/2009		21,657		22,144
Pemex Project Funding Master Trust
5.960% due 12/03/2012		1,200		1,217
6.660% due 06/15/2010		22,000		22,607
7.156% due 10/15/2009		7,100		7,354
8.500% due 02/15/2008		10,800		10,997
8.850% due 09/15/2007		2,800		2,821
Pilgrim’s Pride Corp.
9.625% due 09/15/2011		2,750		2,860
Qwest Communications International, Inc.
8.860% due 02/15/2009		5,233		5,311
Reynolds American, Inc.
6.060% due 06/15/2011		8,400		8,438
6.500% due 07/15/2010		10,000		10,216
Roseton
7.270% due 11/08/2010		1,500		1,518
Royal Caribbean Cruises Ltd.
7.000% due 10/15/2007		2,000		2,016
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		46,300		51,101
Salomon Brothers AG for Tyumen Oil Co.
11.000% due 11/06/2007		8,200		8,373
Sanmina-SCI Corp.
8.110% due 06/15/2010		4,525		4,559
Seminole Hard Rock Entertainment, Inc.
7.860% due 03/15/2014		2,000		2,025
Service Corp. International
6.500% due 03/15/2008		2,115		2,120
Siemens Financieringsmaatschappij NV
5.410% due 08/14/2009		3,200		3,201
Southern Natural Gas Co.
6.125% due 09/15/2008		1,500		1,514
6.700% due 10/01/2007		1,700		1,713
Spansion, Inc.
8.485% due 06/01/2013		900		903
Starwood Hotels & Resorts Worldwide, Inc.
7.875% due 05/01/2012		2,500		2,606
Sungard Data Systems, Inc.
3.750% due 01/15/2009		5,144		4,990
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		900		888
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		7,000		7,044
6.636% due 04/15/2008		1,000		994
Transocean, Inc.
5.560% due 09/05/2008		3,300		3,303
TRW Automotive, Inc.
7.000% due 03/15/2014		3,500		3,351
United Airlines, Inc.
6.071% due 03/01/2013		796		800
6.201% due 03/01/2010		1,778		1,797
United Surgical Partners International, Inc.
8.875% due 05/01/2017		350		353
Vale Overseas Ltd.
6.250% due 01/23/2017		2,900		2,891
Verso Paper Holdings LLC
9.106% due 08/01/2014		6,000		6,150
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		10,300		10,299
Walt Disney Co.
5.460% due 09/10/2009		8,500		8,516
Williams Cos., Inc.
6.375% due 10/01/2010		22,250		22,417
Xerox Corp.
6.110% due 12/18/2009		3,000		3,040
9.750% due 01/15/2009		5,000		5,291
Yum! Brands, Inc.
8.875% due 04/15/2011		2,500		2,753
				603,816
Utilities 8.2%
AES Corp.
8.750% due 05/15/2013		15,740		16,684
AES Panama S.A.
6.350% due 12/21/2016		5,000		4,844
America Movil SAB de C.V.
5.460% due 06/27/2008		25,075		25,078
5.500% due 03/01/2014		875		860
5.750% due 01/15/2015		850		843
American Electric Power Co., Inc.
4.709% due 08/16/2007		4,000		3,996
AT&T Corp.
7.300% due 11/15/2011		473		504
AT&T, Inc.
5.450% due 05/15/2008		6,000		6,006
5.456% due 02/05/2010		28,100		28,150
BellSouth Corp.
4.240% due 04/26/2008		13,500		13,382
5.460% due 08/15/2008		16,500		16,517
Cincinnati Bell, Inc.
7.250% due 07/15/2013		6,007		6,187
CMS Energy Corp.
6.310% due 01/15/2013 (b)		13,400		13,484
7.500% due 01/15/2009		5,000		5,152
9.875% due 10/15/2007		4,785		4,853
Deutsche Telekom International Finance BV
5.540% due 03/23/2009		3,500		3,509
Dominion Resources, Inc.
5.540% due 11/14/2008		2,000		2,003
5.660% due 09/28/2007		5,000		5,001
5.687% due 05/15/2008		2,400		2,403
Duke Energy Corp.
4.500% due 04/01/2010		2,500		2,439
Edison Mission Energy
7.000% due 05/15/2017		1,620		1,535
Empresa Brasileira de Telecom S.A.
11.000% due 12/15/2008		6,100		6,496
Entergy Gulf States, Inc.
3.600% due 06/01/2008		5,000		4,912
5.760% due 12/01/2009		7,400		7,400
6.110% due 12/08/2008		3,000		3,009
FirstEnergy Corp.
6.450% due 11/15/2011		2,500		2,566
Florida Power Corp.
5.760% due 11/14/2008		5,000		5,009
Homer City Funding LLC
8.734% due 10/01/2026		4,581		5,063
IPALCO Enterprises, Inc.
8.375% due 11/14/2008		7,925		8,123
8.625% due 11/14/2011		1,100		1,182
Korea Electric Power Corp.
4.250% due 09/12/2007		6,900		6,881
6.110% due 12/20/2007		500		502
Majapahit Holding BV
7.250% due 10/17/2011		2,100		2,134
7.250% due 06/28/2017		2,400		2,408
7.875% due 06/29/2037		2,400		2,415
Midwest Generation LLC
8.300% due 07/02/2009		3,829		3,908
Mobile Telesystems Finance S.A.
9.750% due 01/30/2008		6,500		6,626
NiSource Finance Corp.
5.930% due 11/23/2009		3,500		3,507
Ohio Power Co.
5.530% due 04/05/2010		2,000		2,003
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022		5,500		5,367
Progress Energy, Inc.
7.100% due 03/01/2011		1,585		1,662
PSEG Energy Holdings LLC
8.500% due 06/15/2011		3,000		3,192
8.625% due 02/15/2008		8,824		8,985
10.000% due 10/01/2009		3,000		3,240
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		6,520		6,553
7.000% due 08/03/2009		10,000		10,050
Qwest Corp.
5.625% due 11/15/2008		7,000		7,009
7.500% due 06/15/2023		1,500		1,508
8.610% due 06/15/2013		1,500		1,635
8.875% due 03/15/2012		2,000		2,165
Ras Laffan Liquefied Natural Gas Co. Ltd. I
3.437% due 09/15/2009		960		937
Rural Cellular Corp.
9.875% due 02/01/2010		15,613		16,394
Sierra Pacific Power Co.
6.000% due 05/15/2016		1,800		1,774
Southern California Edison Co.
5.435% due 12/13/2007		3,000		3,001
7.625% due 01/15/2010		2,500		2,623
Sprint Capital Corp.
7.625% due 01/30/2011		2,500		2,632
Sprint Nextel Corp.
6.000% due 12/01/2016		1,900		1,806
TECO Energy, Inc.
7.500% due 06/15/2010		3,846		4,020
Telefonos de Mexico S.A. de C.V.
4.500% due 11/19/2008		15,000		14,824
5.500% due 01/27/2015		850		830
TXU Electric Delivery Co.
5.735% due 09/16/2008		4,000		4,003
TXU Energy Co. LLC
5.860% due 09/16/2008		4,000		4,003
Verizon Communications, Inc.
5.350% due 02/15/2011		200		199
Verizon Global Funding Corp.
6.875% due 06/15/2012		5,000		5,271
				351,257
Total Corporate Bonds & Notes (Cost $2,060,933)				2,059,727
U.S. GOVERNMENT AGENCIES 5.3%
Fannie Mae
4.254% due 02/01/2035		721		721
5.000% due 07/25/2019		1,876		1,861
5.460% due 04/25/2035		107		107
5.500% due 12/01/2033 - 05/01/2036		2,870		2,770
6.000% due 10/01/2035 - 07/01/2037		39,977		39,550
6.227% due 06/01/2043		3,423		3,471
Federal Home Loan Bank
3.550% due 07/02/2010		3,000		2,867
5.200% due 03/18/2008		150,000		150,046
Freddie Mac
4.000% due 04/15/2022 - 12/15/2024		2,711		2,678
4.500% due 07/15/2018		2,651		2,581
5.000% due 06/15/2016 - 09/15/2024		4,057		4,020
5.500% due 03/15/2017		6,000		5,994
6.227% due 10/25/2044		7,818		7,891
Ginnie Mae
5.500% due 07/01/2037		3,200		3,106
5.620% due 12/16/2026		287		289
Total U.S. Government Agencies (Cost $227,708)				227,952
MORTGAGE-BACKED SECURITIES 5.8%
American Home Mortgage Investment Trust
5.470% due 09/25/2035		489		489
Arkle Master Issuer PLC
5.300% due 11/19/2007		3,200		3,201
Arran Residential Mortgages Funding PLC
5.340% due 04/12/2036		2,668		2,668
Bear Stearns Alt-A Trust
5.480% due 02/25/2034		3,331		3,332
Bear Stearns Commercial Mortgage Securities
3.688% due 11/11/2041		835		824
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		7,187		7,190
CC Mortgage Funding Corp.
5.450% due 05/25/2048		4,700		4,704
Commercial Mortgage Pass-Through Certificates
5.420% due 04/15/2017		1,625		1,626
Countrywide Alternative Loan Trust
5.390% due 10/25/2046		2,019		2,021
5.480% due 02/25/2047		1,766		1,763
5.500% due 02/20/2047		1,709		1,707
5.500% due 05/25/2047		4,783		4,796
6.029% due 02/25/2036		1,204		1,212
Countrywide Home Loan Mortgage Pass-Through Trust
5.550% due 05/25/2035		423		424
CS First Boston Mortgage Securities Corp.
4.666% due 03/15/2036		12,000		11,530
4.938% due 12/15/2040		6,221		6,169
5.953% due 03/25/2032		73		73
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		1,866		1,867
5.400% due 02/25/2037		2,473		2,475
5.400% due 03/25/2037		2,995		2,997
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		18,000		18,070
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		5,038		5,042
5.400% due 01/25/2047		6,073		6,076
Greenwich Capital Commercial Funding Corp.
4.791% due 04/10/2037		6,013		5,955
GS Mortgage Securities Corp. II
5.420% due 06/06/2020		5,023		5,028
Harborview Mortgage Loan Trust
5.410% due 01/19/2038		1,564		1,566
5.450% due 04/19/2038		2,835		2,833
5.510% due 01/19/2038		29,371		29,421
5.560% due 03/19/2037		8,263		8,280
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		2,546		2,548
Indymac Index Mortgage Loan Trust
5.410% due 11/25/2046		3,262		3,265
5.420% due 01/25/2037		1,343		1,344
LB-UBS Commercial Mortgage Trust
4.904% due 06/15/2026		2,932		2,920
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		2,995		2,997
MASTR Adjustable Rate Mortgages Trust
5.430% due 05/25/2047		2,308		2,309
Morgan Stanley Capital I
5.380% due 10/15/2020		12,896		12,913
Residential Accredit Loans, Inc.
5.620% due 08/25/2035		526		527
6.389% due 09/25/2045		1,633		1,645
Sequoia Mortgage Trust
5.670% due 07/20/2033		701		704
Structured Asset Mortgage Investments, Inc.
5.450% due 03/25/2037		2,771		2,770
5.540% due 05/25/2036		4,414		4,423
5.670% due 03/19/2034		127		127
Structured Asset Securities Corp.
5.329% due 10/25/2035		1,001		1,000
TBW Mortgage-Backed Pass-Through Certificates
5.420% due 09/25/2036		922		923
5.430% due 01/25/2037		4,530		4,534
Thornburg Mortgage Securities Trust
5.420% due 03/25/2037		11,467		11,460
5.430% due 12/25/2036		10,476		10,476
5.440% due 08/25/2036		2,637		2,636
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		27,670		27,685
Washington Mutual, Inc.
4.229% due 03/25/2034		826		816
5.630% due 01/25/2045		326		327
5.759% due 01/25/2047		1,858		1,857
5.839% due 12/25/2046		1,010		1,010
6.029% due 02/25/2046		3,691		3,698
6.229% due 11/25/2042		945		946
Total Mortgage-Backed Securities (Cost $249,367)				249,199
ASSET-BACKED SECURITIES 9.0%
Accredited Mortgage Loan Trust
5.370% due 02/25/2037		2,584		2,586
ACE Securities Corp.
5.400% due 02/25/2036		276		276
5.410% due 06/25/2037		2,637		2,638
American Express Credit Account Master Trust
5.320% due 01/18/2011		5,752		5,749
5.430% due 09/15/2010		2,100		2,103
Argent Securities, Inc.
5.360% due 06/25/2036		719		720
5.370% due 09/25/2036		661		662
5.370% due 10/25/2036		2,462		2,463
5.390% due 04/25/2036		669		670
5.400% due 03/25/2036		106		106
Asset-Backed Funding Certificates
5.360% due 09/25/2036		943		943
5.380% due 10/25/2036		531		531
5.380% due 01/25/2037		4,522		4,525
5.670% due 06/25/2034		4,228		4,240
Asset-Backed Securities Corp. Home Equity
5.370% due 12/25/2036		2,640		2,642
5.400% due 05/25/2037		1,938		1,939
Bank One Issuance Trust
5.430% due 02/15/2011		2,100		2,104
Bear Stearns Asset-Backed Securities, Inc.
5.390% due 12/25/2036		1,655		1,655
5.400% due 12/25/2035		236		236
5.400% due 10/25/2036		1,646		1,647
Carrington Mortgage Loan Trust
5.370% due 10/25/2036		3,111		3,112
5.370% due 01/25/2037		2,201		2,203
5.385% due 07/25/2036		537		537
5.640% due 10/25/2035		3,009		3,018
Chase Credit Card Master Trust
5.440% due 02/15/2010		1,000		1,001
Citibank Credit Card Issuance Trust
5.456% due 01/15/2010		2,000		2,003
5.526% due 02/07/2010		4,000		4,007
Citibank Credit Card Master Trust I
6.050% due 01/15/2010		3,000		3,015
Citigroup Mortgage Loan Trust, Inc.
5.360% due 08/25/2036		2,313		2,314
5.360% due 12/25/2036		2,099		2,100
5.380% due 01/25/2037		1,519		1,520
5.380% due 05/25/2037		3,000		3,003
5.390% due 01/25/2037		4,700		4,703
5.430% due 08/25/2036		2,000		2,001
5.430% due 03/25/2037		1,916		1,917
Countrywide Asset-Backed Certificates
5.370% due 01/25/2037		2,882		2,883
5.370% due 03/25/2037		1,597		1,598
5.370% due 05/25/2037		15,539		15,549
5.370% due 07/25/2037		3,607		3,609
5.370% due 08/25/2037		1,091		1,091
5.370% due 12/25/2046		3,087		3,090
5.370% due 03/25/2047		2,041		2,042
5.380% due 03/25/2037		1,611		1,612
5.380% due 09/25/2046		2,032		2,033
5.390% due 06/25/2036		714		715
5.390% due 07/25/2036		518		518
5.390% due 08/25/2036		572		573
5.390% due 06/25/2037		3,208		3,210
5.400% due 06/25/2037		2,209		2,210
5.400% due 10/25/2037		1,962		1,963
5.430% due 10/25/2046		2,406		2,407
5.510% due 06/25/2036		2,200		2,203
Credit-Based Asset Servicing & Securitization LLC
5.380% due 11/25/2036		2,293		2,294
5.410% due 12/25/2037		1,975		1,974
CSAB Mortgage-Backed Trust
5.420% due 06/25/2036		709		709
First Franklin Mortgage Loan Asset-Backed Certificates
5.350% due 07/25/2036		2,738		2,740
5.360% due 09/25/2036		2,355		2,356
5.360% due 01/25/2038		3,124		3,126
5.370% due 11/25/2036		5,239		5,243
5.390% due 12/25/2037		2,550		2,551
First NLC Trust
5.440% due 02/25/2036		317		318
First USA Credit Card Master Trust
5.480% due 04/18/2011		3,000		3,008
Fremont Home Loan Trust
5.380% due 01/25/2037		2,649		2,648
5.390% due 02/25/2037		580		580
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		1,455		1,456
GSAA Trust
5.430% due 06/25/2035		1,181		1,182
GSAMP Trust
5.360% due 10/25/2046		722		722
5.390% due 12/25/2036		825		825
5.420% due 01/25/2047		3,063		3,065
Harley-Davidson, Inc.
5.310% due 05/15/2008		1,720		1,722
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		1,520		1,521
Home Equity Asset Trust
5.380% due 05/25/2037		1,759		1,760
Home Equity Mortgage Trust
5.410% due 05/25/2036		82		82
5.430% due 02/25/2036		94		94
Honda Auto Receivables Owner Trust
5.322% due 03/18/2008		2,141		2,143
5.342% due 11/15/2007		278		278
HSBC Asset Loan Obligation
5.380% due 12/25/2036		2,354		2,356
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		7,297		7,301
5.400% due 12/25/2035		750		751
Indymac Residential Asset-Backed Trust
5.380% due 04/25/2037		3,632		3,633
5.420% due 03/25/2036		293		293
5.450% due 04/25/2037		2,718		2,720
JPMorgan Mortgage Acquisition Corp.
5.360% due 08/25/2036		663		663
5.370% due 08/25/2036		729		730
5.370% due 10/25/2036		4,333		4,329
5.430% due 08/25/2036		800		800
Lehman XS Trust
5.390% due 05/25/2046		2,371		2,373
5.400% due 08/25/2046		3,157		3,160
5.440% due 11/25/2036		1,263		1,265
Long Beach Mortgage Loan Trust
5.360% due 07/25/2036		1,053		1,054
5.390% due 03/25/2036		253		253
5.410% due 01/25/2036		375		375
5.500% due 08/25/2035		300		301
5.600% due 10/25/2034		1,140		1,142
MASTR Asset-Backed Securities Trust
5.370% due 01/25/2037		2,609		2,610
5.380% due 11/25/2036		3,745		3,748
5.400% due 05/25/2037		3,200		3,202
5.430% due 11/25/2035		868		869
5.470% due 11/25/2035		899		899
MBNA Credit Card Master Note Trust
5.440% due 08/16/2010		5,100		5,108
5.446% due 12/15/2009		2,300		2,302
Merrill Lynch Mortgage Investors, Inc.
5.380% due 04/25/2037		738		738
5.390% due 08/25/2036		13,142		13,143
5.390% due 02/25/2037		674		675
5.400% due 01/25/2037		227		227
5.400% due 09/25/2037		4,404		4,407
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		663		663
5.360% due 01/25/2037		3,379		3,381
5.370% due 10/25/2036		3,506		3,506
5.370% due 11/25/2036		5,391		5,392
5.380% due 05/25/2037		3,245		3,244
5.390% due 02/25/2036		800		800
5.440% due 02/25/2036		3,300		3,303
Nationstar Home Equity Loan Trust
5.380% due 03/25/2037		2,639		2,641
5.380% due 06/25/2037		3,700		3,700
6.020% due 09/25/2036		1,696		1,697
Nelnet Student Loan Trust
5.340% due 09/25/2012		3,764		3,766
5.410% due 06/22/2017		2,000		2,004
New Century Home Equity Loan Trust
5.500% due 05/25/2036		1,300		1,301
Nomura Home Equity Loan, Inc.
5.400% due 02/25/2036		431		431
Option One Mortgage Loan Trust
5.370% due 01/25/2037		1,806		1,807
5.380% due 07/25/2037		2,942		2,944
Popular ABS Mortgage Pass-Through Trust
5.410% due 06/25/2047		3,164		3,164
Residential Asset Mortgage Products, Inc.
5.390% due 02/25/2037		2,188		2,190
5.400% due 01/25/2036		92		92
5.400% due 02/25/2036		252		252
5.400% due 07/25/2036		1,211		1,212
5.420% due 08/25/2046		1,953		1,954
Residential Asset Securities Corp.
5.360% due 08/25/2036		1,930		1,932
5.380% due 01/25/2037		2,075		2,076
5.390% due 07/25/2036		1,759		1,760
5.390% due 11/25/2036		3,603		3,605
5.390% due 02/25/2037		1,836		1,837
5.400% due 01/25/2036		323		324
5.410% due 01/25/2036		428		428
5.430% due 04/25/2037		2,963		2,965
5.440% due 04/25/2036		6,450		6,455
Saxon Asset Securities Trust
5.380% due 11/25/2036		1,827		1,828
Securitized Asset-Backed Receivables LLC Trust
5.360% due 01/25/2037		3,488		3,490
5.380% due 12/25/2036		7,662		7,665
5.400% due 11/25/2036		2,598		2,599
SLM Student Loan Trust
3.800% due 12/15/2038		4,300		4,168
5.325% due 04/25/2012		1,693		1,695
5.325% due 07/25/2013		3,144		3,146
5.335% due 04/25/2014		10,455		10,462
5.345% due 10/27/2014		5,913		5,917
5.345% due 10/25/2018		2,339		2,338
5.355% due 01/25/2016		1,295		1,296
5.505% due 01/25/2017		991		997
Soundview Home Equity Loan Trust
5.360% due 11/25/2036		2,090		2,090
5.370% due 10/25/2036		1,544		1,545
5.380% due 12/25/2036		1,274		1,274
5.400% due 01/25/2037		3,067		3,069
5.520% due 03/25/2036		1,924		1,925
Specialty Underwriting & Residential Finance
5.380% due 02/25/2037		515		515
5.380% due 01/25/2038		3,689		3,691
5.660% due 01/25/2034		17		17
Structured Asset Securities Corp.
5.370% due 10/25/2036		1,478		1,479
5.400% due 01/25/2037		1,633		1,634
5.420% due 07/25/2035		260		260
5.450% due 12/25/2035		442		442
Triad Auto Receivables Owner Trust
5.303% due 06/12/2008		1,660		1,662
Wachovia Auto Owner Trust
5.337% due 06/20/2008		5,800		5,801
Washington Mutual Asset-Backed Certificates
5.370% due 01/25/2037		874		874
5.380% due 10/25/2036		1,770		1,771
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		2,552		2,554
5.420% due 03/25/2037		1,940		1,942
Total Asset-Backed Securities (Cost $384,834)				384,991
SOVEREIGN ISSUES 10.3%
Argentina Bonos
5.475% due 08/03/2012		92,500		67,641
Banco Nacional de Desenvolvimento Economico e Social
5.840% due 06/16/2008		43,477		43,368
Banque Centrale de Tunisie
7.500% due 09/19/2007		3,000		3,023
Brazilian Government International Bond
7.125% due 01/20/2037		30		32
7.875% due 03/07/2015		175		194
Chile Government International Bond
5.755% due 01/28/2008		13,381		13,411
Development Bank of Kazakhstan JSC
7.125% due 10/10/2007		5,087		5,128
Ecuador Government International Bond
10.000% due 08/15/2030		23,200		19,662
Guatemala Government Bond
8.500% due 08/03/2007		1,700		1,710
Korea Development Bank
3.875% due 03/02/2009		8,195		7,991
4.250% due 11/13/2007		9,848		9,789
4.750% due 07/20/2009		10,300		10,157
5.490% due 04/03/2010		27,600		27,624
5.640% due 11/22/2012		7,500		7,531
5.758% due 10/20/2009		23,950		24,121
Mexico Government International Bond
6.055% due 01/13/2009		47,461		47,758
Pakistan Government International Bond
7.125% due 03/31/2016		3,400		3,383
Peru Government International Bond
6.550% due 03/14/2037		5,982		6,027
Republic of Korea
4.875% due 09/22/2014		2,000		1,917
Russia Government International Bond
8.250% due 03/31/2010		16,334		16,990
12.750% due 06/24/2028		100		176
Socialist Republic of Vietnam
6.875% due 01/15/2016		6,000		6,242
South Africa Government International Bond
5.875% due 05/30/2022		3,240		3,175
Ukraine Government International Bond
6.875% due 03/04/2011		250		256
8.775% due 08/05/2009		48,350		51,367
Venezuela Government International Bond
5.375% due 08/07/2010		2,500		2,362
6.355% due 04/20/2011		62,300		60,589
Total Sovereign Issues (Cost $439,195)				441,624
FOREIGN CURRENCY-DENOMINATED ISSUES 9.3%
Amadeus Global Travel Distribution S.A.
6.218% due 04/08/2013	EUR	2,000		2,730
6.468% due 04/08/2014		2,000		2,743
Atlas Reinsurance PLC
7.922% due 01/10/2010		3,100		4,257
Bombardier, Inc.
7.186% due 11/15/2013		3,250		4,608
Brazil Notas do Tesouro Nacional Series B
6.000% due 08/15/2024	BRL	28,300		24,144
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017		32,420		16,147
Brazilian Government International CPI Linked Bond
6.000% due 05/15/2045		10,000		8,641
10.000% due 01/01/2012		72,990		36,794
Eircom Group PLC
6.403% due 07/17/2014	EUR	2,750		3,755
6.778% due 07/17/2015		2,750		3,770
Gaz Capital for Gazprom
5.440% due 11/02/2017		2,400		3,156
5.875% due 06/01/2015		15,000		20,444
7.800% due 09/27/2010		3,000		4,369
JSG Holding PLC
6.335% due 11/29/2013		3,122		4,267
6.345% due 11/29/2013		307		420
6.362% due 11/29/2013		359		490
6.398% due 11/29/2013		621		849
6.444% due 11/19/2013		1,592		2,175
6.718% due 11/29/2014		112		153
6.835% due 11/29/2014		2,409		3,300
6.862% due 11/29/2014		133		182
6.898% due 11/29/2014		230		315
6.944% due 11/29/2014		617		845
Mizuho Bank Ltd.
1.317% due 11/24/2049	JPY	500,000		4,096
Mizuho Finance Aruba AEC
1.883% due 12/31/2049		600,000		4,987
M-Real Serla OYJ
8.270% due 12/15/2010	EUR	8,000		11,073
Nordic Telephone Co. Holdings ApS
5.875% due 11/30/2014		3,726		5,106
6.125% due 11/30/2014		4,600		6,312
8.250% due 05/01/2016		1,400		2,037
PagesJaunes Groupe
5.890% due 01/11/2014		6,000		8,173
Pylon Ltd.
5.648% due 12/18/2008 (l)		4,000		5,467
Rhodia S.A.
6.718% due 10/15/2013		10,000		13,713
Royal Bank of Scotland Group PLC
0.000% due 12/06/2011	GBP	5,500		10,972
9.370% due 04/06/2011		4,000		8,065
Seat Pagine Gialle SpA
3.531% due 05/25/2012	EUR	1,899		2,578
SigmaKalon
6.220% due 09/19/2012		1,965		2,675
6.222% due 09/19/2012		35		48
6.972% due 09/19/2013		1,758		2,398
South Africa Government Bond
13.000% due 08/31/2010	ZAR	742,900		116,068
Sumitomo Mitsui Banking Corp.
0.970% due 05/25/2011	JPY	700,000		5,695
1.340% due 06/02/2049		700,000		5,685
Telefonos de Mexico S.A. de C.V.
8.750% due 01/31/2016	MXN	97,600		9,259
UPC Financing Partnership
5.942% due 12/31/2014	EUR	6,267		8,494
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	35,135		1,445
5.000% due 09/14/2018 (e)		48,680		2,293
6.875% due 01/19/2016	EUR	6,500		9,391
Wind Acquisitions SARL
7.264% due 06/17/2014		1,050		1,438
Total Foreign Currency-Denominated Issues (Cost $385,465)				396,022
		Shares
PREFERRED STOCKS 0.1%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		6,110		6,156
Total Preferred Stocks (Cost $6,249)				6,156
EXCHANGE-TRADED FUNDS 0.1%
Western Asset 2008 Worldwide Dollar Government Term Trust, Inc.		297,200		3,085
Total Exchange-Traded Funds (Cost $3,236)				3,085
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 1.3%
Commercial Paper 1.0%
Freddie Mac
4.800% due 07/02/2007	$	40,000		40,000
Tri-party Repurchase Agreements 0.0%
State Street Bank and Trust Co.
4.900% due 07/02/2007		1,024		1,024
(Dated 06/29/2007. Collateralized by Fannie Mae 6.080% due 12/06/2021 valued at $1,046. Repurchase proceeds are $1,024.)
U.S. Treasury Bills 0.3%
4.611% due 08/30/2007 - 09/13/2007 (d)(f)(h)		14,425		14,276
Total Short-Term Instruments (Cost $55,318)				55,300
Purchased Options (j) 0.3% (Cost $41,479)				11,761
Total Investments (g) 98.4% (Cost $4,222,863)			$	4,205,222
Written Options (k) (0.3%) (Premiums $37,212)				(12,101	)
Other Assets and Liabilities (Net) 1.9%				79,264
Net Assets 100.0%			$	4,272,385

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) Principal amount of security is adjusted for inflation.

(f) Securities with an aggregate market value of $2,475 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(g) As of June 30, 2007, portfolio securities with an aggregate value of $183,218 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(h) Securities with an aggregate market value of $11,801 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	4,115	$	(5,864	)
90-Day Eurodollar September Futures	Long	09/2008	2,949		(4,055	)
Euro-Bund 10-Year Note September Futures	Long	09/2007	652		(608	)
Euro-Bund 10-Year Note September Futures Put Options Strike @ EUR 107.000	Long	09/2007	652		26
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	1,929		(3,933	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	1,296		(1,956	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	2,123		(3,361	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	1,991		(3,898	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Put Options Strike @ GBP 92.750	Long	09/2007	300		(4	)
				$	(23,653	)

(i) Swap agreements outstanding on June 30, 2007:

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	$	(67	)
Deutsche Bank AG	Dow Jones iTraxx Europe X05 Index	Sell	2.900	%	06/20/2011		4,500		175
Deutsche Bank AG	Dow Jones iTraxx Europe X06 Index	Sell	2.800	%	12/20/2011		30,000		1,236
Deutsche Bank AG	Dow Jones iTraxx Europe X07 Index	Sell	2.300	%	06/20/2012		7,000		(141	)
JPMorgan Chase & Co.	Dow Jones iTraxx Europe X05 Index	Sell	2.900	%	06/20/2011		62,425		1,976
UBS Warburg LLC	France Telecom S.A. 7.250% due 01/28/2013	Sell	0.330	%	09/20/2011		5,300		42
UBS Warburg LLC	Telecom Italia Finance SpA 6.250% due 02/01/2012	Sell	0.520	%	09/20/2011		5,300		48
Wachovia Bank N.A.	France Telecom SpA 7.250% due 01/28/2013	Sell	0.325	%	09/20/2011		5,700		44
Wachovia Bank N.A.	Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.525	%	09/20/2011		5,700		53
ABN AMRO Bank, N.V.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.360	%	08/24/2009	$	100		5
Bank of America	Allied Waste North America, Inc. 6.500% due 11/15/2010	Sell	2.750	%	09/20/2009		400		13
Bank of America	Williams Cos., Inc. 7.125% due 09/01/2011	Sell	2.050	%	09/20/2009		125		4
Bank of America	Dow Jones CDX N.A. HY8 Index	Sell	1.750	%	06/20/2012		28,500		(352	)
Bank of America	Freeport-McMoRan Copper & Gold, Inc. 8.375% due 04/01/2017	Sell	0.910	%	06/20/2012		3,200		8
Bank of America	LCDX N.A. 8 Index	Sell	1.200	%	06/20/2012		14,500		(15	)
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	0.820	%	06/20/2012		9,200		(664	)
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		7,700		39
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.760	%	02/20/2009		20,000		211
Barclays Bank PLC	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		6,000		291
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.880	%	04/20/2011		18,500		322
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	1.650	%	07/20/2011		4,800		254
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	08/20/2011		3,000		97
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		8,000		262
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.690	%	08/20/2011		25,000		291
Barclays Bank PLC	Celestica, Inc. 7.875% due 07/01/2011	Sell	2.850	%	09/20/2011		3,200		(112	)
Barclays Bank PLC	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		136,500		2,387
Barclays Bank PLC	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.470	%	03/20/2012		2,000		(54	)
Barclays Bank PLC	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.500	%	03/20/2012		3,000		(77	)
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	12/20/2016		7,500		368
Barclays Bank PLC	Multiple Reference Entities of Gazprom	Sell	0.830	%	06/20/2017		75		0
Bear Stearns & Co., Inc.	Allied Waste North America, Inc. 5.750% due 02/15/2011	Sell	1.850	%	12/20/2007		1,500		10
Bear Stearns & Co., Inc.	ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	1.140	%	12/20/2007		1,500		0
Bear Stearns & Co., Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.240	%	09/20/2009		300		0
Bear Stearns & Co., Inc.	Host Marriott LP 7.125% due 11/01/2013	Sell	1.950	%	09/20/2009		300		5
Bear Stearns & Co., Inc.	Dynegy Holdings, Inc. 9.875% due 07/15/2010	Sell	2.350	%	12/20/2009		1,500		62
Bear Stearns & Co., Inc.	Smurfit-Stone Container Enterprises, Inc. 9.750% due 02/01/2011	Sell	1.760	%	12/20/2009		1,500		0
Bear Stearns & Co., Inc.	Wells Fargo & Co. 6.250% due 04/15/2008	Sell	0.160	%	06/20/2011		10,000		27
Bear Stearns & Co., Inc.	El Paso Corp. 7.875% due 06/15/2012	Sell	1.780	%	09/20/2011		10,000		241
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		40,000		(70	)
BNP Paribas Bank	Wachovia Corp. 5.625% due 12/15/2008	Sell	0.160	%	06/20/2011		14,700		41
Citibank N.A.	Host Marriott LP 7.125% due 11/01/2013	Sell	1.900	%	09/20/2007		100		1
Citibank N.A.	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		8,995		189
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.180	%	12/20/2011		16,300		(394	)
Citibank N.A.	Ford Motor Corp. 7.450% due 07/16/2031	Sell	4.700	%	03/20/2012		5,000		(64	)
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	0.940	%	03/20/2012		18,000		(636	)
Citibank N.A.	General Motors Corp. 7.125% due 07/15/2013	Sell	3.320	%	03/20/2012		25,000		(452	)
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.650	%	09/20/2012		4,750		(55	)
Credit Suisse First Boston	Select Aggregate Market Index (SAMI)	Sell	2.450	%	09/20/2008		360		3
Credit Suisse First Boston	AES Corp. 9.500% due 06/01/2009	Sell	3.850	%	09/20/2009		250		11
Credit Suisse First Boston	Allied Waste North America, Inc. 6.125% due 02/15/2014	Sell	2.460	%	09/20/2009		125		3
Credit Suisse First Boston	Delhaize America, Inc. 8.125% due 04/15/2011	Sell	1.400	%	09/20/2009		125		3
Credit Suisse First Boston	TECO Energy, Inc. 7.200% due 05/01/2011	Sell	2.050	%	09/20/2009		100		4
Credit Suisse First Boston	AT&T Corp. 9.050% due 11/15/2011	Sell	1.300	%	12/20/2009		1,000		30
Credit Suisse First Boston	Select Aggregate Market Index (SAMI)	Sell	2.150	%	12/20/2009		360		5
Credit Suisse First Boston	Edison Mission Energy 7.730% due 06/15/2009	Sell	1.800	%	09/20/2011		10,000		120
Credit Suisse First Boston	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	2.200	%	09/20/2011		15,000		188
Credit Suisse First Boston	Solectron Global Finance Ltd. 8.000% due 03/15/2016	Sell	3.300	%	09/20/2011		1,500		114
Credit Suisse First Boston	HCA, Inc. 9.125% due 11/15/2014	Sell	1.700	%	03/20/2012		10,000		(86	)
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.000	%	06/20/2012		15,000		(164	)
Credit Suisse First Boston	Dow Jones CDX N.A. HY8 Index	Sell	1.750	%	06/20/2012		65,000		(826	)
Credit Suisse First Boston	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	0.770	%	06/20/2012		10,000		10
Credit Suisse First Boston	Forest Oil Corp. 7.750% due 05/01/2014	Sell	2.100	%	09/20/2012		2,000		0
Deutsche Bank AG	NAK Naftogaz Ukrainy 8.125% due 09/30/2009	Sell	4.200	%	05/20/2009		17,000		615
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.840	%	07/20/2011		25,000		203
Deutsche Bank AG	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.760	%	07/20/2011		1,000		15
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.340	%	08/20/2011		16,000		504
Deutsche Bank AG	El Paso Corp. 7.875% due 06/15/2012	Sell	1.820	%	09/20/2011		5,000		128
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.130	%	09/20/2011		25,000		1,157
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.620	%	09/20/2011		225		14
Deutsche Bank AG	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.125	%	09/20/2011		1,000		0
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011		25,000		319
Deutsche Bank AG	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		67,000		91
Deutsche Bank AG	Uruguay Government International Bond 7.875% due 01/15/2033	Sell	1.050	%	01/20/2012		34,000		296
Deutsche Bank AG	CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	0.620	%	06/20/2012		6,700		(25	)
Deutsche Bank AG	Dow Jones CDX N.A. EM7 Index	Sell	1.250	%	06/20/2012		70,000		(37	)
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.710	%	11/20/2016		25,000		1,183
Goldman Sachs & Co.	TECO Energy, Inc. 7.000% due 05/01/2012	Sell	1.690	%	09/20/2009		300		10
Goldman Sachs & Co.	TRW Automotive, Inc. 9.375% due 02/15/2013	Sell	2.150	%	09/20/2009		250		6
Goldman Sachs & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		15,000		790
Goldman Sachs & Co.	Host Marriott LP 7.125% due 11/01/2013	Sell	1.770	%	12/20/2010		1,700		15
Goldman Sachs & Co.	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.095	%	09/20/2011		800		0
Goldman Sachs & Co.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	2.200	%	09/20/2011		10,000		125
Goldman Sachs & Co.	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		25,000		(351	)
Goldman Sachs & Co.	LCDX N.A. 8 Index	Sell	1.200	%	06/20/2012		15,500		(116	)
Goldman Sachs & Co.	RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	0.700	%	06/20/2012		6,700		6
Goldman Sachs & Co.	Pride International, Inc. 7.375% due 07/15/2014	Sell	2.000	%	09/20/2012		2,000		(8	)
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.220	%	07/20/2007		21,000		22
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009		7,500		33
JPMorgan Chase & Co.	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		5,850		131
JPMorgan Chase & Co.	Stone Container Finance 7.375% due 07/15/2014	Sell	2.300	%	12/20/2009		300		4
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.290	%	01/20/2010		20,000		27
JPMorgan Chase & Co.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		12,000		806
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.420	%	04/20/2011		12,000		381
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	0.890	%	11/20/2011		5,000		72
JPMorgan Chase & Co.	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		80,000		(56	)
JPMorgan Chase & Co.	CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016		2,900		19
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		6,350		416
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.220	%	03/20/2011		40,000		1,016
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.750	%	04/20/2011		7,900		134
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.050	%	04/20/2011		32,100		672
Lehman Brothers, Inc.	Telefonos de Mexico S.A. de C.V. 4.500% due 11/19/2008	Buy	(0.550	%)	04/20/2011		7,900		(98	)
Lehman Brothers, Inc.	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.170	%	06/20/2011		4,600		11
Lehman Brothers, Inc.	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.170	%	06/20/2011		4,700		11
Lehman Brothers, Inc.	JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.220	%	06/20/2011		4,900		2
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.190	%	08/20/2011		50,000		215
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.450	%	08/20/2011		25,000		899
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.980	%	08/20/2011		25,000		509
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.990	%	08/20/2011		25,000		519
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.010	%	08/20/2011		25,000		539
Lehman Brothers, Inc.	Duke Energy Corp. 6.250% due 01/15/2012	Sell	0.290	%	09/20/2011		10,000		64
Lehman Brothers, Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	2.420	%	09/20/2011		10,000		16
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.730	%	10/20/2011		50,000		635
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		530,005		8,155
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		140,000		(1,391	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		25,000		429
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.520	%	12/20/2011		8,000		179
Lehman Brothers, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.070	%	03/20/2012		5,000		(28	)
Lehman Brothers, Inc.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.500	%	03/20/2012		2,100		(54	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.400	%	05/20/2012		5,000		28
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM7 Index	Sell	1.250	%	06/20/2012		412,600		(1,347	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY8 Index	Sell	2.500	%	06/20/2012		30,000		(515	)
Lehman Brothers, Inc.	MGM Mirage 5.875% due 02/27/2014	Sell	1.580	%	06/20/2012		10,000		(320	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.510	%	08/20/2016		4,500		170
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.720	%	11/20/2016		20,000		961
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.730	%	11/20/2016		50,000		2,438
Lehman Brothers, Inc.	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.860	%	11/20/2016		10,000		510
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.730	%	11/20/2016		20,000		381
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.200	%	11/20/2016		10,000		254
Lehman Brothers, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.400	%	11/20/2016		10,000		292
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.600	%	11/20/2016		10,000		420
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.340	%	11/20/2016		10,000		248
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.840	%	12/20/2016		10,000		156
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2016		25,000		696
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.550	%	01/20/2017		10,000		424
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.660	%	01/20/2017		11,000		181
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.620	%	01/20/2017		11,000		21
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.060	%	05/20/2017		1,000		0
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.580	%	05/20/2017		1,500		(5	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		11,200		109
Merrill Lynch & Co., Inc.	NAK Naftogaz Ukrainy 8.125% due 09/30/2009	Sell	3.300	%	04/20/2009		2,000		30
Merrill Lynch & Co., Inc.	SPX Corp. 7.500% due 01/01/2013	Sell	2.250	%	09/20/2009		250		9
Merrill Lynch & Co., Inc.	Williams Cos., Inc. 8.125% due 03/15/2012	Sell	1.710	%	09/20/2009		300		8
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		46
Merrill Lynch & Co., Inc.	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.160	%	06/20/2011		11,900		24
Merrill Lynch & Co., Inc.	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.160	%	06/20/2011		11,900		24
Merrill Lynch & Co., Inc.	Wachovia Corp. 5.625% due 12/15/2008	Sell	0.160	%	06/20/2011		7,900		19
Merrill Lynch & Co., Inc.	CMS Energy Corp. 6.875% due 12/15/2015	Sell	1.500	%	09/20/2011		10,000		304
Merrill Lynch & Co., Inc.	El Paso Corp. 7.875% due 06/15/2012	Sell	1.800	%	09/20/2011		15,000		373
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY7 Index	Sell	2.050	%	12/20/2011		49,200		(239	)
Merrill Lynch & Co., Inc.	PSEG Energy Holdings LLC 8.500% due 06/15/2011	Sell	1.300	%	06/20/2012		5,000		5
Merrill Lynch & Co., Inc.	Tesoro Corp. 6.625% due 11/01/2015	Sell	0.710	%	06/20/2012		5,000		(19	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.510	%	08/20/2007		15,000		36
Morgan Stanley	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.630	%	09/20/2009		100		1
Morgan Stanley	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		41,500		1,617
Morgan Stanley	Dow Jones CDX N.A. EM3 Index	Sell	2.100	%	06/20/2010		37,500		2,585
Morgan Stanley	Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.163	%	06/20/2011		11,000		23
Morgan Stanley	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.650	%	08/20/2011		20,000		821
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.890	%	11/20/2011		4,200		60
Morgan Stanley	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		80,000		262
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.590	%	04/20/2012		11,500		176
Morgan Stanley	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.150	%	06/20/2012		10,000		(54	)
Morgan Stanley	Freeport-McMoRan Copper & Gold, Inc. 8.375% due 04/01/2017	Sell	0.890	%	06/20/2012		8,000		10
Morgan Stanley	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.235	%	06/20/2012		6,000		(27	)
Morgan Stanley	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.585	%)	06/20/2012		6,000		(7	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	09/20/2011		20,000		559
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.350	%	12/20/2011		25,000		476
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011		7,000		158
UBS Warburg LLC	Dow Jones CDX N.A. EM2 Index	Sell	2.600	%	12/20/2009		8,300		314
UBS Warburg LLC	Bank of America Corp. 7.400% due 01/15/2011	Sell	0.160	%	06/20/2011		11,000		22
UBS Warburg LLC	JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.210	%	06/20/2011		11,000		0
UBS Warburg LLC	Multiple Reference Entities of Gazprom	Sell	0.945	%	10/20/2011		13,700		240
UBS Warburg LLC	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		8,000		112
UBS Warburg LLC	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.470	%	09/20/2012		62,000		(48	)
UBS Warburg LLC	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Buy	(0.375	%)	09/20/2012		62,000		64
UBS Warburg LLC	Vale Overseas Ltd. 8.250% due 01/17/2034	Sell	0.650	%	06/20/2014		21,700		(29	)
Wachovia Bank N.A.	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.130	%	09/20/2011		25,000		30
Wachovia Bank N.A.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.140	%	09/20/2011		25,000		11
								$	37,294

Credit Default Swaps (Asset-Backed Indices)

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Citibank N.A.	Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045	$	31,000	$	(293	)
Citibank N.A.	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		15,500		56
Goldman Sachs & Co.	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		16,000		47
Morgan Stanley	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		31,500		103
UBS Warburg LLC	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		15,500		55
								$	(32	)

⁽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	6.500	%	01/15/2010	AUD	84,700	$	(446	)
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		16,900		(119	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2011	EUR	93,800		(4,460	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		10,000		(243	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012		4,000		(42	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012		9,200		(98	)
Citibank N.A.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		13,300		(937	)
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	06/15/2017		20,300		(1,843	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		127,900		(633	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		19,500		(126	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		5,000		(43	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		52,200		(274	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		11,200		(105	)
Lehman Brothers, Inc.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.965	%	03/15/2012		6,200		(29	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		4,500		(43	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		5,000		(50	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2011	JPY	6,050,000		(711	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	2.000	%	12/20/2016		7,000,000		(1,284	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.895	%	02/07/2012	KRW	2,809,800		(44	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.880	%	02/08/2012		2,800,000		(46	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.710	%	11/24/2009	MXN	1,100,000		(535	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.180	%	09/13/2011		280,000		172
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.220	%	09/13/2011		550,000		412
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		791,000		1,127
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		63,000		58
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		100,000		(92	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	04/17/2009		73,500		58
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.710	%	11/24/2009		1,100,000		(535	)
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.200	%	09/13/2011		250,000		171
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		20,000		55
Citibank N.A.	6-Month PLN-LIBOR	Pay	5.248	%	04/20/2017	PLN	181,300		(2,207	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/18/2013	$	491,000		11,292
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2010		429,920		(4,360	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2012		248,600		(824	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/18/2013		931,000		21,324
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		266,900		(1,705	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		21,000		(164	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2012		51,700		(201	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		9,800		(63	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2012		23,400		254
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		112,550		(774	)
								$	11,887

(j) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	112.000	08/24/2007	500	$	9	$	8
Put - CBOT U.S. Treasury 10-Year Note September Futures		100.000	08/24/2007	1,000		19		16
Put - CME 90-Day Eurodollar June Futures		92.250	06/16/2008	75		1		0
Put - CME 90-Day Eurodollar September Futures		91.000	09/17/2007	185		2		0
					$	31	$	24

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	4.750	%	03/31/2008	$	640,000	$	3,440	$	793
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		5,244,000		30,208		6,476
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		1,156,000		5,867		2,274
									$	39,515	$	9,543

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	105.400	03/31/2010	$	23,000	$	965	$	1,539
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		23,000		964		654
						$	1,929	$	2,193

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 6.000% due 09/01/2037	$	88.000	09/06/2007	$	35,000	$	4	$	1

(k) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	110.000	08/24/2007	500	$	155	$	16
Put - CBOT U.S. Treasury 10-Year Note September Futures		106.000	08/24/2007	1,000		184		906
					$	339	$	922

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	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008	$	280,000	$	3,290	$	958
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		1,280,000		15,520		3,911
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		1,000,000		12,087		3,420
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		503,000		5,684		2,533
									$	36,581	$	10,822

Credit Default Swaptions

Description	Counterparty	Reference Entity	Buy/Sell Protection(2)	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Put - OTC Dow Jones CDX N.A. IG8 Index	Barclays Bank PLC	Dow Jones CDX N.A. IG8 Index	Sell	0.425	%	09/20/2007	$	2,000	$	4	$	4
Put - OTC Dow Jones CDX N.A. IG8 Index	BNP Paribas Securities Corp.	Dow Jones CDX N.A. IG8 Index	Sell	0.425	%	09/20/2007		2,000		4		4
Put - OTC Dow Jones CDX N.A. IG8 Index	Lehman Brothers, Inc.	Dow Jones CDX N.A. IG8 Index	Sell	0.400	%	08/20/2007		118,000		136		201
Put - OTC Dow Jones CDX N.A. IG8 Index	Lehman Brothers, Inc.	Dow Jones CDX N.A. IG8 Index	Sell	0.425	%	09/20/2007		105,800		148		148
									$	292	$	357

⁽²⁾ 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) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Pylon Ltd.	5.648	%	12/18/2008	11/14/2006	$	5,147	$	5,467	0.13	%

(m) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(3)
Ecuador Government International Bond	10.000	%	08/15/2030	$	23,200	$	20,545	$	20,725

⁽³⁾ Market value includes $1,063 of interest payable on short sales.

(n) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	245	07/2007	$	2	$	0		$	2
Buy	BRL	7,330	10/2007		55		0			55
Buy		84,143	03/2008		1,744		0			1,744
Buy	CLP	2,320,150	03/2008		0		(5	)		(5	)
Buy	CNY	274,903	08/2007		726		0			726
Buy		240,681	11/2007		530		0			530
Buy		4,190	12/2007		1		0			1
Buy		266,249	01/2008		0		(247	)		(247	)
Buy	COP	926,190	03/2008		46		0			46
Buy	CZK	20,884	03/2008		0		(21	)		(21	)
Buy	EUR	8,636	07/2007		61		0			61
Sell		79,667	07/2007		0		(1,011	)		(1,011	)
Sell	GBP	42,144	08/2007		0		(444	)		(444	)
Buy	HKD	936	07/2007		0		0			0
Sell		936	07/2007		0		0			0
Buy		936	08/2007		0		0			0
Sell	HUF	2,572,925	07/2007		0		(1,058	)		(1,058	)
Sell		3,794,215	09/2007		0		(292	)		(292	)
Buy	IDR	4,367,283	07/2007		6		0			6
Sell		4,367,283	07/2007		0		(5	)		(5	)
Buy		4,367,283	10/2007		4		0			4
Buy	ILS	2,325	12/2007		0		(4	)		(4	)
Buy	INR	180,160	10/2007		311		0			311
Buy		125,337	11/2007		9		(10	)		(1	)
Sell	JPY	2,822,829	07/2007		331		0			331
Buy	KRW	29,617,282	09/2007		603		0			603
Buy		1,320,238	11/2007		6		0			6
Buy	MXN	525,648	09/2007		1,048		0			1,048
Buy		182,984	03/2008		357		0			357
Buy	MYR	2,138	07/2007		2		0			2
Sell		2,138	07/2007		0		(1	)		(1	)
Buy		2,138	10/2007		0		0			0
Buy	NOK	131,290	09/2007		379		0			379
Buy	PLN	13,128	09/2007		9		(3	)		6
Buy		25,784	03/2008		165		(40	)		125
Buy	RUB	462,161	09/2007		656		0			656
Buy		72,009	11/2007		109		0			109
Buy		286,973	12/2007		136		0			136
Buy		263,787	01/2008		234		0			234
Buy	SGD	2,295	07/2007		0		(7	)		(7	)
Sell		2,295	07/2007		0		(8	)		(8	)
Buy		3,853	08/2007		0		(44	)		(44	)
Buy		5,423	10/2007		7		(26	)		(19	)
Buy		6,413	11/2007		0		(35	)		(35	)
Buy	SKK	26,981	03/2008		4		0			4
Buy	TRY	2,133	03/2008		51		0			51
Buy	ZAR	9,352	09/2007		27		0			27
				$	7,619	$	(3,261	)	$	4,358

See accompanying notes

Schedule of Investments

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

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARUBA 0.2%
Mizuho Finance Aruba AEC
2.349% due 12/31/2049	JPY	500,000	$	4,153
Mizuho Trust & Banking Co. Ltd.
2.405% due 04/27/2009		200,000		1,674
Total Aruba (Cost $6,135)				5,827
AUSTRALIA 0.3%
Australia Government Bond
8.750% due 08/15/2008	AUD	600		522
Medallion Trust
5.585% due 07/12/2031	$	630		630
Seven Media Group
6.000% due 02/07/2013	AUD	8,000		6,744
Total Australia (Cost $7,479)				7,896
AUSTRIA 0.7%
Austria Government Bond
5.000% due 07/15/2012	EUR	12,700		17,513
Total Austria (Cost $13,758)				17,513
BELGIUM 0.6%
Belgium Government Bond
7.500% due 07/29/2008	EUR	10,500		14,659
Total Belgium (Cost $9,803)				14,659
BERMUDA 0.1%
Intelsat Bermuda Ltd.
5.250% due 11/01/2008	$	1,500		1,485
Total Bermuda (Cost $1,480)				1,485
CANADA 0.3%
Province of Ontario Canada
6.200% due 06/02/2031	CAD	2,200		2,419
Province of Quebec Canada
5.750% due 12/01/2036		2,600		2,713
Rogers Wireless, Inc.
7.625% due 12/15/2011		1,950		1,981
Total Canada (Cost $6,762)				7,113
CAYMAN ISLANDS 2.1%
Foundation Re II Ltd.
12.110% due 11/26/2010	$	1,650		1,657
Longpoint Re Ltd.
10.609% due 05/08/2010		2,900		2,900
Mizuho Finance Cayman Ltd.
1.060% due 09/28/2049	JPY	400,000		3,261
2.010% due 12/31/2049		300,000		2,481
8.375% due 12/29/2049	$	4,300		4,491
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		10,700		10,531
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	3,300		4,192
Mystic Re Ltd.
11.660% due 12/05/2008	$	750		745
Pylon Ltd.
8.048% due 12/18/2008	EUR	1,350		1,865
Redwood Capital IX Ltd.
11.610% due 01/09/2008	$	1,000		1,009
12.110% due 01/09/2008		2,000		2,018
Residential Reinsurance 2005 Ltd.
10.810% due 06/06/2008		1,000		968
Residential Reinsurance 2007 Ltd.
13.110% due 06/07/2010		6,300		6,309
SHL Corp. Ltd.
1.448% due 12/25/2024	JPY	10,517		86
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049	$	6,000		5,802
Vita Capital III Ltd.
6.449% due 01/01/2011		4,000		4,006
Total Cayman Islands (Cost $52,825)				52,321
DENMARK 0.8%
Nordea Kredit Realkreditaktieselskab
6.000% due 07/01/2029	DKK	900		168
Nykredit Realkredit A/S
4.832% due 10/01/2038		11,998		2,054
6.000% due 10/01/2029		1,532		285
Realkredit Danmark A/S
5.000% due 10/01/2038		98,312		16,839
Total Denmark (Cost $19,259)				19,346
FRANCE 12.4%
Axa S.A.
3.750% due 01/01/2017	EUR	828		1,611
Credit Agricole S.A.
5.360% due 05/28/2009	$	2,700		2,701
6.637% due 05/29/2049		6,400		6,194
France Government Bond
4.000% due 04/25/2009	EUR	8,050		10,804
4.000% due 10/25/2009		30,070		40,254
4.000% due 04/25/2014		39,700		51,984
4.000% due 10/25/2014		106,900		139,572
4.000% due 04/25/2055		600		706
4.750% due 04/25/2035		1,100		1,489
5.250% due 04/25/2008		26,800		36,513
5.750% due 10/25/2032		11,800		18,292
6.000% due 10/25/2025		3,400		5,310
Total France (Cost $289,201)				315,430
GERMANY 22.4%
DSL Bank AG
7.250% due 08/07/2007	GBP	3,000		6,029
LRP Landesbank Rheinland-Pfalz
4.750% due 04/04/2008	EUR	1,430		1,939
Republic of Germany
4.000% due 07/04/2009		2,900		3,890
4.250% due 01/04/2014		63,452		84,407
4.250% due 07/04/2014		66,590		88,472
4.750% due 07/04/2034		4,300		5,854
5.000% due 07/04/2011		100		138
5.000% due 01/04/2012		8,400		11,574
5.250% due 07/04/2010		33,500		46,251
5.250% due 01/04/2011		28,400		39,311
5.375% due 01/04/2010		4,100		5,660
5.500% due 01/04/2031		22,150		33,195
5.625% due 01/04/2028		39,370		59,414
6.250% due 01/04/2024		7,600		12,098
6.250% due 01/04/2030		8,512		13,906
6.500% due 07/04/2027		95,560		158,670
Total Germany (Cost $575,728)				570,808
ICELAND 0.2%
Glitnir Banki HF
5.829% due 01/18/2012	$	3,700		3,724
Landsbanki Islands HF
6.060% due 08/25/2009		2,400		2,426
Total Iceland (Cost $6,126)				6,150
IRELAND 0.3%
Atlas Reinsurance PLC
7.922% due 01/10/2010	EUR	2,000		2,746
Celtic Residential Irish Mortgage Securitisation
4.337% due 06/13/2035		1,496		2,032
Emerald Mortgages PLC
4.372% due 04/15/2028		1,370		1,857
4.372% due 01/15/2035		388		527
Osiris Capital PLC
10.356% due 01/15/2010	$	1,000		1,010
Total Ireland (Cost $7,061)				8,172
ITALY 0.3%
Italy Buoni Poliennali Del Tesoro
5.250% due 08/01/2011	EUR	3,400		4,717
5.500% due 11/01/2010		1,700		2,367
Siena Mortgages SpA
4.316% due 02/05/2037		816		1,105
Total Italy (Cost $8,043)				8,189
JAPAN 23.5%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	300		388
Development Bank of Japan
4.250% due 06/09/2015	$	7,300		6,692
Japan Government Bond
1.500% due 03/20/2011	JPY	12,710,000		104,036
1.500% due 03/20/2014		6,760,000		54,428
1.500% due 03/20/2015		5,200,000		41,555
1.600% due 06/20/2014		8,010,000		64,813
1.600% due 09/20/2014		2,810,000		22,689
2.300% due 06/20/2035		7,380,000		58,346
2.400% due 03/20/2034		2,470,000		20,021
2.500% due 09/20/2035		4,060,000		33,474
2.500% due 06/20/2036		4,490,000		36,869
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		1,078,920		8,493
1.000% due 06/10/2016		3,463,460		27,531
1.100% due 12/10/2016		11,828,600		94,892
1.200% due 03/10/2017		49,850		403
1.200% due 06/10/2017		1,212,420		9,777
Resona Bank Ltd.
5.850% due 09/29/2049	$	5,700		5,459
Sumitomo Mitsui Banking Corp.
1.518% due 12/31/2049	JPY	400,000		3,269
1.629% due 12/01/2049		600,000		4,938
1.641% due 12/31/2049		100,000		819
5.625% due 07/29/2049	$	1,300		1,241
Total Japan (Cost $654,276)				600,133
JERSEY, CHANNEL ISLANDS 0.2%
Haus Ltd.
4.139% due 12/10/2037	EUR	3,001		4,073
Lloyds TSB Capital
7.375% due 12/29/2049		500		740
Total Jersey, Channel Islands (Cost $3,302)				4,813
LIBERIA 0.1%
Royal Caribbean Cruises Ltd.
8.000% due 05/15/2010	$	1,700		1,791
Total Liberia (Cost $1,785)				1,791
LUXEMBOURG 0.0%
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008	$	900		901
Total Luxembourg (Cost $900)				901
MEXICO 0.1%
C10 Capital SPV Ltd.
6.722% due 12/31/2049	$	3,200		3,124
Pemex Project Funding Master Trust
8.850% due 09/15/2007		40		40
Total Mexico (Cost $3,240)				3,164
NETHERLANDS 0.7%
Delphinus BV
4.272% due 04/25/2093	EUR	1,500		2,039
Dutch Mortgage Portfolio Loans BV
4.317% due 11/20/2035		1,088		1,479
Dutch Mortgage-Backed Securities BV
4.202% due 10/02/2079		2,906		3,950
Generali Finance BV
5.479% due 02/28/2049		2,300		3,044
Holland Euro-Denominated Mortgage-Backed Series
4.245% due 04/18/2012		728		988
Netherlands Government Bond
3.750% due 07/15/2014		2,500		3,220
Siemens Financieringsmaatschappij NV
5.410% due 08/14/2009	$	4,400		4,401
Total Netherlands (Cost $18,380)				19,121
NETHERLANDS ANTILLES 0.1%
BTM Curacao Holdings NV
1.020% due 12/31/2049	JPY	200,000		1,639
Total Netherlands Antilles (Cost $1,703)				1,639
NEW ZEALAND 0.1%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	2,006		2,069
Total New Zealand (Cost $1,231)				2,069
RUSSIA 0.2%
Gaz Capital for Gazprom
5.875% due 06/01/2015	EUR	700		954
VTB Capital S.A. for Vneshtorgbank
6.110% due 09/21/2007	$	3,800		3,804
Total Russia (Cost $4,679)				4,758
SPAIN 2.9%
Hipotebansa Mortgage Securitization Fund
4.151% due 07/18/2022	EUR	862		1,166
Spain Government Bond
4.200% due 07/30/2013		2,200		2,917
4.200% due 01/31/2037		2,300		2,828
5.150% due 07/30/2009		37,730		51,708
5.350% due 10/31/2011		11,100		15,475
Total Spain (Cost $55,104)				74,094
TUNISIA 0.2%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	4,600		5,677
Total Tunisia (Cost $5,562)				5,677
UNITED KINGDOM 7.1%
Bauhaus Securities Ltd.
4.325% due 10/30/2052	EUR	2,035		2,762
Dolerite Funding PLC
5.640% due 08/20/2032	$	430		430
HBOS PLC
5.920% due 09/29/2049		14,000		13,151
HSBC Holdings PLC
6.500% due 05/02/2036		12,400		12,785
National Grid PLC
4.980% due 06/22/2011 (i)	CAD	4,900		4,574
Royal Bank of Scotland Group PLC
5.360% due 12/21/2007	$	6,500		6,504
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		1,500		1,381
United Kingdom Gilt
4.000% due 03/07/2009	GBP	14,900		29,086
4.750% due 06/07/2010		27,900		54,446
5.000% due 03/07/2012		12,830		25,030
8.000% due 09/27/2013		14,100		31,729
Total United Kingdom (Cost $175,599)				181,878
UNITED STATES 82.1%
Asset-Backed Securities 1.8%
Amortizing Residential Collateral Trust
5.610% due 07/25/2032	$	9		9
Amresco Residential Securities Mortgage Loan Trust
6.260% due 06/25/2029		221		222
Bear Stearns Asset-Backed Securities, Inc.
5.650% due 10/25/2032		107		107
5.720% due 10/27/2032		179		180
Citicorp Residential Mortgage Securities, Inc.
5.410% due 03/25/2037		11,499		11,508
Countrywide Asset-Backed Certificates
5.420% due 09/25/2047		12,242		12,251
CS First Boston Mortgage Securities Corp.
5.940% due 01/25/2032		110		110
First Alliance Mortgage Loan Trust
5.550% due 12/20/2027		19		19
First NLC Trust
5.440% due 02/25/2036		257		258
GE-WMC Mortgage Securities LLC
5.420% due 12/25/2035		399		399
GSAMP Trust
5.430% due 11/25/2035		63		63
Home Equity Mortgage Trust
5.430% due 02/25/2036		63		63
Indymac Residential Asset-Backed Trust
5.420% due 03/25/2036		234		234
Mesa Trust Asset-Backed Certificates
5.720% due 12/25/2031		480		488
Quest Trust
5.880% due 06/25/2034		183		183
Residential Asset Securities Corp.
5.410% due 01/25/2036		159		159
5.420% due 11/25/2035		42		42
5.820% due 07/25/2032		387		387
SLM Student Loan Trust
3.800% due 12/15/2038		3,000		2,908
5.345% due 10/27/2014		7,464		7,469
Soundview Home Equity Loan Trust
5.420% due 12/25/2035		145		145
Wells Fargo Home Equity Trust
5.550% due 10/25/2035		8,957		8,965
				46,169
Bank Loan Obligations 0.8%
Ford Motor Co.
8.360% due 11/29/2013		2,194		2,206
Georgia-Pacific Corp.
7.110% due 12/20/2012		4,938		4,954
HCA, Inc.
7.600% due 11/14/2013		4,788		4,815
MGM Mirage
6.505% due 10/03/2011		200		198
6.531% due 10/03/2011		200		198
6.555% due 10/03/2011		600		595
OAO Rosneft Oil Co.
6.000% due 09/16/2007		6,300		6,309
				19,275
Corporate Bonds & Notes 9.4%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		1,400		1,394
American International Group, Inc.
4.875% due 03/15/2067	EUR	5,500		7,055
6.250% due 03/15/2037	$	1,300		1,233
Amgen, Inc.
5.440% due 11/28/2008		2,700		2,702
Anadarko Petroleum Corp.
6.125% due 03/15/2012		2,600		2,629
AT&T, Inc.
5.570% due 11/14/2008		500		502
AutoZone, Inc.
5.875% due 10/15/2012		2,000		2,007
Bank of America Corp.
5.366% due 11/06/2009		7,500		7,500
Bank of America N.A.
5.360% due 12/18/2008		3,100		3,102
BellSouth Corp.
5.200% due 09/15/2014		3,000		2,883
Boston Scientific Corp.
5.450% due 06/15/2014		1,500		1,414
6.400% due 06/15/2016		4,300		4,185
Caesars Entertainment, Inc.
8.875% due 09/15/2008		400		412
Charter One Bank N.A.
5.405% due 04/24/2009		13,550		13,568
CIT Group, Inc.
5.480% due 08/17/2009		7,800		7,774
CNA Financial Corp.
6.000% due 08/15/2011		3,600		3,615
Consumers Energy Co.
5.000% due 02/15/2012		1,500		1,459
CSX Corp.
6.750% due 03/15/2011		2,500		2,586
CVS Caremark Corp.
5.750% due 08/15/2011		900		901
DaimlerChrysler N.A. Holding Corp.
4.875% due 06/15/2010		1,000		982
5.710% due 03/13/2009		6,600		6,615
5.750% due 09/08/2011		1,500		1,503
5.840% due 09/10/2007		3,800		3,803
East Lane Re Ltd.
12.355% due 05/06/2011		1,700		1,708
EchoStar DBS Corp.
5.750% due 10/01/2008		410		410
6.375% due 10/01/2011		700		688
Exelon Corp.
6.750% due 05/01/2011		900		928
Ford Motor Credit Co.
5.625% due 10/01/2008		1,000		987
6.625% due 06/16/2008		2,300		2,299
Freeport-McMoRan Copper & Gold, Inc.
8.564% due 04/01/2015		1,100		1,155
GATX Financial Corp.
5.125% due 04/15/2010		500		494
General Electric Capital Corp.
4.625% due 09/15/2066	EUR	700		904
5.400% due 12/12/2008	$	4,800		4,806
General Motors Acceptance Corp.
6.000% due 04/01/2011		6,700		6,463
Genworth Financial, Inc.
1.600% due 06/20/2011	JPY	520,000		4,181
GMAC LLC
6.000% due 12/15/2011	$	4,300		4,092
Goldman Sachs Group, Inc.
5.810% due 03/22/2016		2,900		2,913
Harrah’s Operating Co., Inc.
5.956% due 02/08/2008		4,600		4,609
Health Care Property Investors, Inc.
5.950% due 09/15/2011		1,000		1,002
HSBC Finance Corp.
6.538% due 11/13/2007		4,600		4,618
International Lease Finance Corp.
5.350% due 03/01/2012		2,900		2,866
5.400% due 02/15/2012		2,700		2,674
JPMorgan & Co., Inc. CPI Linked Bond
2.991% due 02/15/2012		4,670		4,834
JPMorgan Chase & Co.
5.370% due 05/07/2010		8,900		8,906
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		3,000		2,860
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		4,800		4,637
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038		9,000		9,119
Lennar Corp.
5.950% due 10/17/2011		900		888
Loews Corp.
5.250% due 03/15/2016		1,200		1,152
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		2,200		2,150
Masco Corp.
5.875% due 07/15/2012		1,000		993
May Department Stores Co.
4.800% due 07/15/2009		900		883
Merrill Lynch & Co., Inc.
5.450% due 08/14/2009		3,800		3,804
Mizuho JGB Investment LLC
9.870% due 12/31/2049		1,200		1,248
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		1,400		1,441
Morgan Stanley
5.406% due 05/07/2009		6,400		6,404
5.836% due 10/15/2015		5,100		5,113
NiSource Finance Corp.
5.400% due 07/15/2014		1,200		1,155
Qwest Communications International, Inc.
8.860% due 02/15/2009		400		406
Rabobank Capital Funding Trust
5.254% due 12/29/2049		3,900		3,658
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		1,200		1,145
Residential Capital LLC
6.460% due 05/22/2009		4,700		4,681
Reynolds American, Inc.
6.060% due 06/15/2011		800		804
6.750% due 06/15/2017		700		703
Ryder System, Inc.
3.500% due 03/15/2009		900		868
SB Treasury Co. LLC
9.400% due 12/29/2049		6,600		6,830
Southwest Airlines Co.
6.500% due 03/01/2012		500		513
Time Warner, Inc.
5.590% due 11/13/2009		3,400		3,405
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		3,530		3,672
Toyota Motor Credit Corp.
5.330% due 10/12/2007		11,800		11,803
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		500		503
U.S. Bancorp
5.350% due 04/28/2009		8,200		8,207
Viacom, Inc.
5.750% due 04/30/2011		6,100		6,096
Xerox Corp.
9.750% due 01/15/2009		2,600		2,751
				239,253
Mortgage-Backed Securities 4.2%
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		5,076		4,973
Bear Stearns Alt-A Trust
5.824% due 11/25/2036		7,765		7,777
5.959% due 02/25/2036		10,193		10,225
Citigroup Mortgage Loan Trust, Inc.
4.900% due 10/25/2035		16,772		16,547
4.900% due 12/25/2035		875		873
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		12,800		12,286
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		2,800		2,961
Countrywide Home Loan Mortgage Pass-Through Trust
5.640% due 03/25/2035		75		75
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		545		540
5.631% due 05/25/2032		81		81
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		3,314		3,279
Greenpoint Mortgage Funding Trust
5.590% due 11/25/2045		494		495
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		4,100		3,972
GSR Mortgage Loan Trust
4.538% due 09/25/2035		2,089		2,059
Impac CMB Trust
6.120% due 07/25/2033		203		204
JPMorgan Chase Commercial Mortgage Securities Corp.
6.465% due 11/15/2035		10,100		10,405
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		520		517
MASTR Asset Securitization Trust
5.500% due 11/25/2017		881		871
Merrill Lynch Commercial Mortgage Trust
5.414% due 07/12/2046		7,200		6,974
MLCC Mortgage Investors, Inc.
5.700% due 03/15/2025		639		641
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		348		348
Washington Mutual, Inc.
5.094% due 10/25/2032		362		361
5.474% due 02/27/2034		1,400		1,376
5.580% due 11/25/2045		1,323		1,328
5.630% due 01/25/2045		1,793		1,797
5.860% due 12/25/2027		4,738		4,741
6.223% due 05/25/2041		37		38
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		12,568		12,400
				108,144
Municipal Bonds & Notes 0.6%
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.224% due 01/01/2014		830		842
District of Columbia Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
6.500% due 05/15/2033		1,115		1,299
Harris County, Texas Revenue Bonds, Series 2003
5.000% due 08/01/2033		820		825
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		1,435		1,467
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 2001
5.300% due 06/01/2025		3,105		3,254
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		1,725		1,703
Louisville & Jefferson Counties, Kentucky Metro Sewer District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		200		206
Metropolitan Water District of Southern California State Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 10/01/2036		530		545
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.265% due 12/15/2013		600		591
New York State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
5.500% due 06/01/2014		300		308
5.500% due 06/01/2017		600		629
New York State Tobacco Settlement Financing Corporations Revenue Notes, Series 2003
5.250% due 06/01/2013		3,500		3,537
				15,228
	Shares
Preferred Stocks 0.3%
DG Funding Trust
7.600% due 12/31/2049		640		6,668
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		2,150		2,166
				8,834
		Principal Amount (000s)
Commodity Index-Linked Notes 0.3%
Morgan Stanley
0.000% due 07/07/2008	$	7,000		6,960
U.S. Government Agencies 64.4%
Fannie Mae
4.190% due 11/01/2034		10,727		10,637
4.946% due 12/01/2034		2,026		2,003
5.000% due 11/25/2032 - 03/01/2036		32,703		30,578
5.440% due 03/25/2034		315		316
5.500% due 11/01/2028 - 08/01/2037		799,080		771,051
5.649% due 04/01/2032		143		144
6.000% due 10/01/2034 - 07/25/2044		603,521		597,109
6.500% due 02/01/2026 - 07/01/2037		152,025		153,504
7.025% due 08/01/2023		198		202
7.075% due 01/01/2023		62		62
7.290% due 11/01/2022		19		19
7.362% due 12/01/2030		44		45
Federal Home Loan Bank
4.300% due 05/12/2008		10,000		9,917
Freddie Mac
4.371% due 09/01/2035		850		841
5.000% due 03/15/2016 - 08/15/2035		10,488		9,525
5.550% due 07/15/2037		19,100		19,099
5.670% due 12/15/2030		1,114		1,118
6.227% due 10/25/2044		9,807		9,898
7.113% due 06/01/2022		311		313
9.050% due 06/15/2019		5		5
Ginnie Mae
4.750% due 07/20/2022 - 08/20/2027		580		585
5.125% due 11/20/2021		59		60
5.375% due 04/20/2024 - 04/20/2030		1,050		1,063
5.380% due 05/20/2022 - 05/20/2030		652		661
5.750% due 07/20/2023 - 09/20/2026		169		171
6.000% due 08/20/2034		6,351		6,051
6.125% due 10/20/2023 - 11/20/2030		239		242
6.130% due 12/20/2025		20		20
Small Business Administration
5.980% due 05/01/2022		5,270		5,342
6.344% due 08/01/2011		1,501		1,519
6.640% due 02/01/2011		728		741
Tennessee Valley Authority
5.880% due 04/01/2036		8,145		8,506
5.980% due 04/01/2036		1,855		1,958
				1,643,305
U.S. Treasury Obligations 0.3%
U.S. Treasury Bonds
4.500% due 02/15/2036		2,600		2,355
8.125% due 05/15/2021		2,601		3,345
U.S. Treasury Notes
3.500% due 12/15/2009		400		387
4.625% due 02/29/2012		100		99
4.875% due 08/15/2016		800		791
				6,977
Total United States (Cost $2,105,859)				2,094,145
SHORT-TERM INSTRUMENTS 13.1%
Certificates of Deposit 5.6%
Barclays Bank PLC
5.281% due 03/17/2008		18,000		18,003
BNP Paribas
5.270% due 09/23/2008		25,700		25,693
Countrywide Funding Corp.
5.350% due 08/16/2007		12,100		12,100
Dexia S.A.
5.270% due 09/29/2008		15,300		15,304
Fortis Bank NY
5.310% due 09/30/2008		20,500		20,500
Royal Bank of Scotland Group PLC
5.265% due 03/26/2008		25,700		25,697
Societe Generale NY
5.270% due 03/26/2008		25,700		25,701
				142,998
Commercial Paper 6.0%
Freddie Mac
4.800% due 07/02/2007		60,000		60,000
Rabobank USA Financial Corp.
5.330% due 07/26/2007		16,800		16,800
Svenska Handelsbanken, Inc.
5.200% due 10/09/2007		70,500		70,001
UBS Finance Delaware LLC
5.145% due 10/23/2007		6,800		6,771
				153,572
Tri-party Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 07/02/2007		5,237		5,237
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 5.125% due 08/15/2019 valued at $5,345. Repurchase proceeds are $5,239.)
U.S. Treasury Bills 1.3%
4.772% due 08/30/2007 - 09/13/2007 (a)(b)(c)(e)		33,600		33,236
Total Short-Term Instruments (Cost $335,053)				335,043
Purchased Options (g) 0.7% (Cost $28,831)				18,512
Total Investments (d) 171.8% (Cost $4,399,164)			$	4,382,647
Written Options (h) (0.2%) (Premiums $13,751)				(4,023	)
Other Assets and Liabilities (Net) (71.6%)				(1,826,704	)
Net Assets 100.0%			$	2,551,920

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 $4,945 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(c) Securities with an aggregate market value of $992 have been pledged as collateral for delayed-delivery securities on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $57,207 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $22,597 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor September Futures	Long	09/2008	588	$	(32	)
90-Day Eurodollar December Futures	Long	12/2007	29		(38	)
90-Day Eurodollar June Futures	Long	06/2008	1,504		(1,693	)
90-Day Eurodollar March Futures	Long	03/2008	10,950		(6,200	)
90-Day Eurodollar September Futures	Long	09/2008	1,317		543
90-Day Euroyen December Futures	Long	12/2007	2,527		(609	)
Euro-Bobl 5-Year Note September Futures	Long	09/2007	2,096		386
Euro-Bobl 5-Year Note September Futures Put Options Strike @ EUR 102.750	Long	09/2007	1,183		(8	)
Euro-Bund 10-Year Note September Futures	Long	09/2007	3,228		(2,440	)
Euro-Bund 10-Year Note September Futures Put Options Strike @ EUR 106.000	Long	09/2007	2,608		34
Euro-Bund 10-Year Note September Futures Put Options Strike @ EUR 106.500	Long	09/2007	390		10
Japan Government 10-Year Bond September Futures	Long	09/2007	222		(1,621	)
U.S. Treasury 5-Year Note September Futures	Short	09/2007	4		3
U.S. Treasury 10-Year Note September Futures	Short	09/2007	2,574		(1,797	)
U.S. Treasury 30-Year Bond September Futures	Long	09/2007	159		166
United Kingdom 10-Year Note September Futures	Short	09/2007	259		21
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	115		(247	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	515		(1,030	)
				$	(14,552	)

(f) Swap agreements outstanding on June 30, 2007:

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 iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	EUR	11,300	$	(39	)
BNP Paribas Bank	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		5,200		(16	)
Deutsche Bank AG	Akzo Nobel NV 4.250% due 06/14/2011	Buy	(0.290	%)	06/20/2012		1,700		(7	)
Deutsche Bank AG	Kelda Group PLC 6.625% due 04/17/2031	Buy	(0.210	%)	06/20/2012		1,900		0
Deutsche Bank AG	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012		1,600		0
Deutsche Bank AG	United Utilities PLC 6.875% due 08/15/2028	Buy	(0.235	%)	06/20/2012		1,900		5
Deutsche Bank AG	Wolters Kluwer NV 5.125% due 01/27/2014	Buy	(0.330	%)	06/20/2012		1,600		2
Deutsche Bank AG	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		14,900		(67	)
Goldman Sachs & Co.	ICI Wilmington, Inc. 5.625% due 12/01/2013	Buy	(0.340	%)	06/20/2012		1,900		(1	)
Goldman Sachs & Co.	Koninklijke DSM NV 4.000% due 11/10/2015	Buy	(0.365	%)	06/20/2012		1,800		(9	)
Goldman Sachs & Co.	SCA Finans AB 4.500% due 07/15/2015	Buy	(0.250	%)	06/20/2012		1,900		0
Goldman Sachs & Co.	WPP Group PLC 6.000% due 06/18/2008	Buy	(0.260	%)	06/20/2012		1,600		(2	)
Goldman Sachs & Co.	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		1,700		(6	)
HSBC Bank USA	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		1,800		(6	)
JPMorgan Chase & Co.	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		12,700		(58	)
Merrill Lynch & Co., Inc.	Compass Group PLC 6.375% due 05/29/2012	Buy	(0.390	%)	06/20/2012		1,800		(2	)
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	09/20/2007	JPY	840,000		74
Bank of America	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.150	%	06/20/2008	$	7,700		0
Bank of America	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.150	%	06/20/2008		6,500		1
Bank of America	May Department Stores Co. 4.800% due 07/15/2009	Buy	(0.190	%)	09/20/2009		900		1
Bank of America	Royal Caribbean Cruises Ltd. 8.000% due 05/15/2010	Buy	(0.480	%)	06/20/2010		1,700		8
Bank of America	Exelon Corp. 6.750% due 05/01/2011	Buy	(0.330	%)	06/20/2011		900		(1	)
Bank of America	Consumers Energy Co. 5.000% due 02/15/2012	Buy	(0.090	%)	03/20/2012		1,500		11
Bank of America	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.462	%)	06/20/2012		1,900		(10	)
Bank of America	Noble Corp. 5.875% due 06/01/2013	Buy	(0.542	%)	06/20/2012		800		(4	)
Bank of America	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017		2,000		9
Bank of America	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.485	%)	06/20/2017		1,500		(2	)
Bank of America	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		206,200		970
Bank of America	DR Horton, Inc. 5.375% due 06/15/2012	Buy	(1.600	%)	06/20/2017		1,200		47
Bank of America	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.080	%)	06/20/2017		2,100		5
Bank of America	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(1.630	%)	06/20/2017		1,300		50
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		775
Barclays Bank PLC	National Grid PLC 5.000% due 07/02/2018	Buy	(0.208	%)	06/20/2011		4,300		(11	)
Barclays Bank PLC	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Buy	(0.330	%)	03/20/2012		2,600		(4	)
Barclays Bank PLC	International Lease Finance Corp. 5.400% due 02/15/2012	Buy	(0.170	%)	03/20/2012		2,700		(2	)
Barclays Bank PLC	American Electric Power Co., Inc. 5.250% due 06/01/2015	Buy	(0.100	%)	06/20/2012		2,400		9
Barclays Bank PLC	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		600		(3	)
Barclays Bank PLC	RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	0.740	%	06/20/2012		1,900		9
Barclays Bank PLC	Wyeth 5.500% due 03/15/2013	Buy	(0.100	%)	06/20/2012		2,900		1
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		2,400		22
Barclays Bank PLC	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Sell	(0.470	%)	06/20/2017		1,100		1
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 4.875% due 06/15/2010	Buy	(0.520	%)	06/20/2010		1,000		(10	)
Bear Stearns & Co., Inc.	GATX Financial Corp. 5.125% due 04/15/2010	Buy	(0.160	%)	06/20/2010		500		0
Bear Stearns & Co., Inc.	CSX Corp. 6.750% due 03/15/2011	Buy	(0.165	%)	03/20/2011		2,700		9
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011		2,400		(20	)
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011		3,800		(18	)
Bear Stearns & Co., Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.520	%)	06/20/2012		1,000		1
Bear Stearns & Co., Inc.	NiSource Finance Corp. 5.400% due 07/15/2014	Buy	(0.620	%)	09/20/2014		1,150		(9	)
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		26
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	%)	03/20/2016		2,900		18
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.330	%)	03/20/2016		1,150		(8	)
Citibank N.A.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.470	%)	06/20/2012		1,200		(7	)
Citibank N.A.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012		2,100		(38	)
Citibank N.A.	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.550	%)	06/20/2017		1,800		(10	)
Credit Suisse First Boston	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		900		(4	)
Deutsche Bank AG	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.160	%	06/20/2008		2,900		0
Deutsche Bank AG	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.160	%	06/20/2008		3,600		(1	)
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.120	%	06/20/2008		8,200		(2	)
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.160	%	06/20/2008		10,400		1
Deutsche Bank AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.140	%	06/20/2008		10,600		(1	)
Deutsche Bank AG	Ryder System, Inc. 3.500% due 03/15/2009	Buy	(0.150	%)	03/20/2009		900		0
Deutsche Bank AG	Lennar Corp. 5.950% due 10/17/2011	Buy	(0.785	%)	12/20/2011		900		6
Deutsche Bank AG	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.365	%)	03/20/2012		500		(3	)
Deutsche Bank AG	Southwest Airlines Co. 6.500% due 03/01/2012	Buy	(0.420	%)	03/20/2012		500		(1	)
Deutsche Bank AG	International Paper Co. 5.850% due 10/30/2012	Buy	(0.500	%)	06/20/2012		1,600		(12	)
Deutsche Bank AG	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.470	%)	06/20/2012		700		(4	)
Deutsche Bank AG	Ace INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	06/20/2014		1,400		(8	)
Deutsche Bank AG	Boston Scientific Corp. 5.450% due 06/15/2014	Buy	(0.620	%)	06/20/2014		1,500		24
Deutsche Bank AG	Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014		1,400		9
Deutsche Bank AG	International Paper Co. 5.850% due 10/30/2012	Buy	(0.700	%)	06/20/2017		2,600		4
Goldman Sachs & Co.	JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.990	%	09/20/2010		500		12
Goldman Sachs & Co.	Carnival Corp. 6.650% due 01/15/2028	Buy	(0.210	%)	06/20/2012		2,500		2
Goldman Sachs & Co.	Duke Energy Corp. 6.250% due 01/15/2012	Buy	(0.090	%)	06/20/2012		2,500		6
Goldman Sachs & Co.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.445	%)	06/20/2012		2,200		(10	)
Goldman Sachs & Co.	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		4,300		(19	)
Goldman Sachs & Co.	SLM Corp. 5.125% due 08/27/2012	Sell	0.700	%	06/20/2012		1,600		(121	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		179,200		1,535
Goldman Sachs & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(1.330	%)	06/20/2017		1,100		30
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		143,000		61
Goldman Sachs & Co.	Lennar Corp. 5.950% due 03/01/2013	Buy	(1.200	%)	06/20/2017		1,200		31
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		7,500		7
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009		700		3
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.345	%	08/20/2011		19,900		631
JPMorgan Chase & Co.	Health Care Property Investors, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	09/20/2011		1,000		(12	)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		103,700		(142	)
JPMorgan Chase & Co.	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.270	%)	06/20/2012		1,100		(3	)
JPMorgan Chase & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017		1,100		5
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		191,800		568
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	08/20/2011		29,600		861
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		8,100		265
Lehman Brothers, Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.520	%)	06/20/2012		2,000		1
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		3,000		(16	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		9,300		78
Lehman Brothers, Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.990	%)	06/20/2017		1,100		0
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		2,976		26
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 6.000% due 04/01/2011	Buy	(1.290	%)	06/20/2011		6,700		88
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.340	%	08/20/2011		15,600		492
Merrill Lynch & Co., Inc.	International Lease Finance Corp. 5.350% due 03/01/2012	Buy	(0.130	%)	03/20/2012		2,900		3
Merrill Lynch & Co., Inc.	Multiple Reference Entities of Gazprom	Sell	0.610	%	05/20/2012		1,200		3
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		1,200		0
Morgan Stanley	Xerox Corp. 9.750% due 01/15/2009	Buy	(0.290	%)	03/20/2009		2,800		(8	)
Morgan Stanley	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		15,872		139
Morgan Stanley	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.700	%)	09/20/2010		400		(23	)
Morgan Stanley	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	06/20/2011		1,000		(15	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	08/20/2011		21,700		719
Morgan Stanley	International Paper Co. 5.850% due 10/30/2012	Buy	(0.475	%)	06/20/2012		1,000		(7	)
Morgan Stanley	Nucor Corp. 4.875% due 10/01/2012	Buy	(0.150	%)	06/20/2012		2,500		5
Morgan Stanley	Progress Energy, Inc. 5.625% due 01/15/2016	Buy	(0.105	%)	06/20/2012		2,100		2
Morgan Stanley	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012		1,200		(1	)
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	09/20/2012		1,000		(1	)
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		15,000		138
Morgan Stanley	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.495	%)	06/20/2017		1,200		(3	)
Morgan Stanley	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		31,900		37
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	%)	09/20/2009		2,400		(12	)
Royal Bank of Scotland Group PLC	CVS Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	09/20/2011		1,000		(3	)
Royal Bank of Scotland Group PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.620	%)	09/20/2011		1,500		(23	)
Royal Bank of Scotland Group PLC	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.290	%)	03/20/2012		3,200		(7	)
Royal Bank of Scotland Group PLC	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.550	%)	06/20/2012		5,000		(26	)
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		26
UBS Warburg LLC	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.070	%	06/20/2008		11,700		3
UBS Warburg LLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		12,000		110
UBS Warburg LLC	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(1.300	%)	06/20/2017		6,400		142
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.530	%)	06/20/2012		800		(7	)
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.520	%)	06/20/2012		1,500		(12	)
								$	7,250

⁽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	6.500	%	01/15/2009	AUD	109,100	$	(280	)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2010		70,250		(2,041	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2015		39,700		2,219
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2009		97,490		(240	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		176,200		83
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2012		9,800		(249	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2017		5,600		251
HSBC Bank USA	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2012		9,000		(233	)
HSBC Bank USA	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2017		5,200		236
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		9,600		(5	)
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		13,000		(8	)
UBS Warburg LLC	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2010		40,700		(1,152	)
UBS Warburg LLC	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2015		27,400		1,590
Citibank N.A.	3-Month Canadian Bank Bill	Receive	5.000	%	06/15/2015	CAD	10,000		427
Deutsche Bank AG	3-Month Canadian Bank Bill	Receive	5.000	%	06/20/2017		54,600		(468	)
Deutsche Bank AG	3-Month Canadian Bank Bill	Pay	5.500	%	06/15/2035		1,900		(38	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.000	%	06/15/2015		7,300		(35	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		11,400		(1	)
Royal Bank of Scotland Group PLC	3-Month Canadian Bank Bill	Receive	5.000	%	06/20/2017		14,700		(81	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010	EUR	2,300		(177	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		19,000		276
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		7,100		(172	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012		1,300		(14	)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		43,800		2,149
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		16,000		215
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.940	%	04/10/2012		1,300		(15	)
Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	06/17/2012		46,100		4,713
Credit Suisse First Boston	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		37,050		3,340
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		91,330		4,142
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.435	%	06/18/2034		6,900		743
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.500	%	06/18/2034		34,600		(685	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		14,400		(300	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	12/15/2011		69,300		1,337
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		9,100		(63	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.080	%	06/15/2012		20,500		(79	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	09/19/2012		43,200		(196	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		78,000		5,205
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/21/2036		1,500		(99	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		23,200		(428	)
HSBC Bank USA	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		13,620		603
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		4,770		(326	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		6,500		(69	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Receive	5.000	%	06/17/2012		29,500		2,631
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		2,600		125
Lehman Brothers, Inc.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.965	%	03/15/2012		3,600		(17	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		9,400		583
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		700		(54	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		4,000		198
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		3,100		(216	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		5,300		176
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		66,750		5,762
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	06/18/2034		24,500		(1,958	)
UBS Warburg LLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		85,200		(3,488	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		20,500		315
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010	GBP	40,450		(3,604	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		800		(101	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.500	%	09/15/2017		27,900		397
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		6,900		1,758
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		3,500		(466	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		6,600		(863	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	06/18/2034		6,100		(406	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		33,800		877
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		4,300		1,117
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	09/20/2012		45,800		(146	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		1,300		(102	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		35,000		(4,096	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		21,900		4,128
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		3,700		(504	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	06/18/2034		5,600		(518	)
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		10,500		(1,367	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		11,300		(1,016	)
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		10,000		(385	)
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		49,900		(260	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		126,000		(477	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.322	%	09/14/2009		100		4
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		19,300		(2,392	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		8,500		417
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	1,610,000		(26	)
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		1,020,000		(85	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		10,830,000		(90	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		29,660,000		(422	)
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		14,000,000		546
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		4,170,000		(297	)
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2016		4,170,000		271
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	3.000	%	06/20/2027		990,000		(60	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		19,380,000		(348	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		9,780,000		503
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.300	%	09/21/2011		2,008,000		166
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	1.500	%	06/20/2012		2,620,000		(236	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		8,000,000		542
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		22,630,000		(1,377	)
JPMorgan Chase & Co.	6-Month JPY-LIBOR	Receive	1.000	%	06/24/2011		500,000		12
Lehman Brothers, Inc.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		3,455,000		(389	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		10,500,000		(43	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		27,900,000		(522	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		11,260,000		607
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.980	%	09/27/2016		4,800,000		19
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		7,490,000		(433	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	3.000	%	06/20/2027		2,640,000		(228	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		13,850,000		(215	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		75,220,000		(1,548	)
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		16,400,000		921
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		3,000,000		(3	)
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		4,810,000		(244	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	3.000	%	06/20/2027		1,030,000		(61	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	2.500	%	06/20/2036		700,000		(185	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	22,000		37
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/22/2016		58,000		306
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		21,000		97
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		109,400		(127	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		14,000		65
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		37,500		63
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009	$	36,900		(184	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		72,000		6
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		4,400		162
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2017		114,000		125
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		105,000		(525	)
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		16,700		874
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2037		800		(6	)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		35,500		1,254
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		8,200		487
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2037		1,200		(9	)
Credit Suisse First Boston	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		29,700		1,634
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		35,000		(62	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2012		72,600		(102	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		8,200		290
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2012		6,700		83
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		54,100		1,913
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		24,500		1,395
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2012		164,600		(212	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		129,100		4,567
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		56,200		2,525
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		9,900		314
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		268,700		(1,943	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		21,700		1,047
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		33,500		413
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2014		36,500		(113	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		190,400		8,048
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2017		163,400		494
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		15,500		649
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		18,000		31
								$	36,498

Interest Rate Cap Swaps

Counterparty	Floating Rate Index	Cap Rate		Pay/Receive Floating Rate	Fixed Rate/ Premium Amounts		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	Difference in Constant Maturity Swap 10-Year vs. 2-Year	0.288	%	Pay	$	101	12/07/2007	$	22,800	$	(30	)
Goldman Sachs & Co.	Difference in Constant Maturity Swap 10-Year vs. 2-Year	0.288	%	Pay		102	12/07/2007		21,900		54
										$	24

(g) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	109.000	08/24/2007	363	$	7	$	17
Call - CBOT U.S. Treasury 10-Year Note September Futures		110.000	08/24/2007	1,286		24		40
Call - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/24/2007	586		11		9
Call - CBOT U.S. Treasury 10-Year Note September Futures		112.000	08/24/2007	6,701		127		105
Put - CBOT U.S. Treasury 10-Year Note September Futures		105.000	08/24/2007	702		791		329
					$	960	$	500

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	6-Month GBP-LIBOR	Pay	5.150	%	09/14/2007	GBP	45,500	$	234	$	0
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.300	%	03/14/2008		20,000		77		8
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.350	%	03/14/2008		5,600		27		3
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.150	%	09/14/2007		94,500		532		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.188	%	09/14/2007		108,500		620		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.201	%	09/14/2007		35,000		200		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.300	%	03/14/2008		76,000		295		30
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.080	%	08/13/2007	JPY	960,000		110		47
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.120	%	08/13/2007		4,450,000		462		155
Put - OTC 10-Year Interest Rate Swap	Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.080	%	08/13/2007		2,740,000		298		135
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008	$	106,700		413		171
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	6.540	%	08/24/2007		113,000		79		3
Put - OTC 10-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	6.540	%	08/24/2007		14,100		10		0
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2007		211,100		1,368		260
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		33,000		183		41
Call - OTC 2-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		28,500		151		35
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		788,600		3,911		1,265
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		675,500		4,209		834
									$	13,179	$	2,987

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.355	05/21/2008	EUR	4,600	$	136	$	155
Call - OTC Euro versus U.S. dollar		1.355	05/21/2008		15,200		459		512
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		19,800		595		497
Call - OTC Euro versus U.S. dollar		1.362	05/21/2008		12,200		372		368
Put - OTC Euro versus U.S. dollar		1.362	05/21/2008		12,200		372		345
Call - OTC Euro versus U.S. dollar		1.367	05/19/2010		5,300		254		285
Put - OTC Euro versus U.S. dollar		1.367	05/19/2010		5,300		254		223
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		4,300		202		216
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		4,300		202		196
Call - OTC U.S. dollar versus Japanese yen	JPY	116.000	12/05/2007	$	28,000		281		1,268
Call - OTC U.S. dollar versus Japanese yen		114.650	01/18/2008		44,000		1,466		2,298
Put - OTC U.S. dollar versus Japanese yen		114.650	01/18/2008		44,000		1,466		368
Call - OTC U.S. dollar versus Japanese yen		120.000	01/18/2008		22,400		271		464
Call - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		58,100		2,034		2,681
Put - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		58,100		1,830		619
Call - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		40,000		1,062		1,483
Put - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		40,000		1,062		769
Call - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		39,100		1,029		1,011
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		39,100		1,029		1,066
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		1,000		48		76
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		1,000		37		25
						$	14,461	$	14,925

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Fannie Mae 5.000% due 09/01/2037	$	100.469	09/06/2007	$	150,000	$	18	$	9
Call - OTC Fannie Mae 5.000% due 09/01/2037		101.188	09/06/2007		103,000		12		13
Call - OTC Fannie Mae 5.000% due 09/01/2037		102.438	09/06/2007		28,680		3		0
Call - OTC Fannie Mae 5.000% due 09/01/2037		103.000	09/06/2007		5,000		1		0
Put - OTC Fannie Mae 5.500% due 07/01/2037		89.125	07/05/2007		162,000		19		0
Put - OTC Fannie Mae 5.500% due 07/01/2037		89.313	07/05/2007		65,000		8		0
Put - OTC Fannie Mae 5.500% due 07/01/2037		90.000	07/05/2007		158,000		19		0
Put - OTC Fannie Mae 5.500% due 09/01/2037		85.250	09/06/2007		100,000		12		0
Put - OTC Fannie Mae 5.500% due 09/01/2037		85.313	09/06/2007		110,000		13		5
Put - OTC Fannie Mae 5.500% due 09/01/2037		90.000	09/06/2007		171,000		20		14
Put - OTC Fannie Mae 6.000% due 09/01/2037		89.160	09/06/2007		30,000		3		1
Put - OTC Fannie Mae 6.000% due 09/01/2037		92.500	09/06/2007		762,000		89		52
Put - OTC Fannie Mae 6.500% due 09/01/2037		94.000	09/06/2007		123,000		14		6
						$	231	$	100

(h) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.500	08/24/2007	1,403	$	431	$	570
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	658		183		175
Put - CBOT U.S. Treasury 10-Year Note September Futures		100.000	08/24/2007	1,271		120		20
					$	734	$	765

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	Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.850	%	09/14/2007	GBP	13,000	$	239	$	0
Call - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008		1,400		27		1
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	09/14/2007		27,000		543		0
Call - OTC 8-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	09/14/2007		41,000		820		0
Call - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008		31,000		469		26
Call - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008	$	127,900		521		273
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		46,400		415		166
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.150	%	12/20/2007		91,800		1,326		299
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		13,500		164		46
Call - OTC 5-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		12,400		148		38
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		341,000		4,092		1,220
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		282,100		3,869		862
									$	12,633	$	2,931

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Brazilian real	BRL	2.020	07/27/2007	$	42,500	$	229	$	138

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Premium		Value
Call - OTC Fannie Mae 6.000% due 08/01/2037	$	98.984	07/19/2007	$	72,000	$	155	$	189

(i) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
National Grid PLC	4.980	%	06/22/2011	11/03/2006	$	4,388	$	4,574	0.18%

(j) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	07/01/2037	$	314,100	$	300,394	$	294,322
U.S. Treasury Notes	3.000	%	02/15/2009		16,300		15,789		16,013
U.S. Treasury Notes	4.000	%	04/15/2010		25,000		24,429		24,675
U.S. Treasury Notes	4.000	%	02/15/2015		7,600		7,049		7,240
U.S. Treasury Notes	4.125	%	05/15/2015		5,000		4,673		4,748
U.S. Treasury Notes	4.250	%	11/15/2013		13,800		13,276		13,373
U.S. Treasury Notes	4.250	%	11/15/2014		25,100		23,696		24,142
U.S. Treasury Notes	4.500	%	02/15/2016		25,700		24,490		25,267
U.S. Treasury Notes	4.625	%	11/15/2016		119,800		116,561		116,969
U.S. Treasury Notes	4.625	%	02/15/2017		84,000		80,795		82,996
U.S. Treasury Notes	4.875	%	08/15/2016		293,000		287,836		295,574
U.S. Treasury Notes	5.125	%	05/15/2016		122,690		122,075		124,512
						$	1,021,063	$	1,029,831

⁽²⁾ Market value includes $10,972 of interest payable on short sales.

(k) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	100,535	07/2007	$	339	$	0		$	339
Sell		36,264	07/2007		0		(213	)		(213	)
Buy	BRL	33,257	07/2007		404		0			404
Sell		33,257	07/2007		191		0			191
Buy		55,802	10/2007		1,380		(23	)		1,357
Sell		20,745	10/2007		0		(3	)		(3	)
Buy		49,002	03/2008		381		(212	)		169
Sell	CAD	605	07/2007		3		0			3
Sell		14,949	08/2007		0		(62	)		(62	)
Buy	CLP	499,300	03/2008		0		(2	)		(2	)
Buy	CNY	113,995	08/2007		288		0			288
Buy		193,360	09/2007		289		0			289
Buy		97,896	11/2007		1		0			1
Buy		319,020	01/2008		0		(280	)		(280	)
Buy		249,474	03/2008		0		(290	)		(290	)
Buy	DKK	323	09/2007		1		0			1
Sell		116,667	09/2007		0		(71	)		(71	)
Buy	EUR	5,045	07/2007		16		0			16
Sell		399,954	07/2007		0		(5,232	)		(5,232	)
Sell	GBP	77,005	08/2007		0		(811	)		(811	)
Buy	HKD	2,180	07/2007		0		0			0
Sell		1,587	07/2007		0		0			0
Sell		1,587	08/2007		0		0			0
Buy	INR	21,887	11/2007		0		(2	)		(2	)
Buy	JPY	2,171,874	07/2007		22		(11	)		11
Sell		72,603,384	07/2007		8,397		(18	)		8,379
Buy	KRW	15,437,068	08/2007		72		(2	)		70
Buy		1,676,148	09/2007		24		0			24
Buy	MXN	264,175	03/2008		561		(10	)		551
Sell		185,886	03/2008		0		(299	)		(299	)
Buy	MYR	27,732	09/2007		11		0			11
Buy		114,938	05/2008		0		(939	)		(939	)
Buy	NOK	42,224	09/2007		122		0			122
Buy	NZD	22,192	07/2007		525		0			525
Sell		131,375	07/2007		0		(1,371	)		(1,371	)
Buy	PLN	484	09/2007		7		0			7
Buy	RUB	15,372	09/2007		12		0			12
Buy		16,234	11/2007		22		0			22
Buy		1,239,651	01/2008		854		0			854
Buy	SGD	9,419	08/2007		0		(107	)		(107	)
Sell		756	08/2007		1		0			1
Buy	TWD	166,700	07/2007		44		0			44
Sell		166,700	07/2007		13		0			13
Buy		166,700	08/2007		0		(18	)		(18	)
				$	13,980	$	(9,976	)	$	4,004

See accompanying notes

Schedule of Investments

Foreign Bond Fund (Unhedged)

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
ARUBA 0.1%
Mizuho Trust & Banking Co. Ltd.
2.405% due 04/27/2009	JPY	200,000	$	1,675
Total Aruba (Cost $1,746)				1,675
AUSTRALIA 0.3%
Seven Media Group
6.000% due 02/07/2013	AUD	7,300		6,154
Total Australia (Cost $5,842)				6,154
CANADA 1.7%
Alcan, Inc.
6.450% due 03/15/2011	$	2,400		2,454
DaimlerChrysler Canada Finance, Inc.
4.850% due 03/30/2009	CAD	2,400		2,246
Honda Canada Finance, Inc.
4.757% due 03/26/2012		27,000		25,401
Province of Ontario Canada
6.200% due 06/02/2031		5,500		6,047
Province of Quebec Canada
5.750% due 12/01/2036		2,300		2,400
Total Canada (Cost $35,969)				38,548
CAYMAN ISLANDS 2.0%
Calabash Re II Ltd.
13.760% due 01/08/2010	$	3,100		3,127
Foundation Re II Ltd.
12.110% due 11/26/2010		1,500		1,506
Longpoint Re Ltd.
10.609% due 05/08/2010		3,300		3,300
Mizuho Finance Cayman Ltd.
1.060% due 09/28/2049	JPY	300,000		2,446
2.010% due 12/31/2049		100,000		827
8.375% due 12/29/2049	$	8,000		8,356
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		4,700		4,626
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	1,800		2,286
Mystic Re Ltd.
14.360% due 12/05/2008	$	500		495
Redwood Capital IX Ltd.
11.610% due 01/09/2008		1,000		1,009
12.110% due 01/09/2008		2,000		2,018
Residential Reinsurance 2005 Ltd.
10.810% due 06/06/2008		1,000		968
Residential Reinsurance 2007 Ltd.
13.110% due 06/07/2010		5,900		5,908
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		5,600		5,415
Vita Capital III Ltd.
6.449% due 01/01/2011		4,000		4,006
Total Cayman Islands (Cost $46,706)				46,293
DENMARK 0.6%
Nykredit Realkredit A/S
4.832% due 10/01/2038	DKK	22,997		3,936
Realkredit Danmark A/S
5.000% due 10/01/2038		59,297		10,148
Total Denmark (Cost $14,221)				14,084
FRANCE 7.3%
Credit Agricole S.A.
5.360% due 05/28/2009	$	10,800		10,805
6.637% due 05/29/2049		5,900		5,710
France Government Bond
4.000% due 10/25/2009	EUR	4,500		6,024
4.000% due 04/25/2014		300		393
4.000% due 10/25/2014		92,900		121,293
4.000% due 04/25/2055		300		353
4.750% due 10/25/2012		100		137
5.500% due 04/25/2029		4,200		6,258
5.750% due 10/25/2032		10,100		15,656
Total France (Cost $167,834)				166,629
GERMANY 16.0%
Republic of Germany
3.750% due 01/04/2015	EUR	39,000		50,104
4.000% due 07/04/2009		300		402
4.250% due 01/04/2014		27,340		36,369
4.250% due 07/04/2014		27,000		35,872
4.750% due 07/04/2034		400		545
5.000% due 01/04/2012		2,000		2,756
5.000% due 07/04/2012		16,700		23,058
5.250% due 07/04/2010		8,700		12,011
5.250% due 01/04/2011		79,300		109,767
5.375% due 01/04/2010		300		414
5.500% due 01/04/2031		4,400		6,594
5.625% due 01/04/2028		41,700		62,930
6.250% due 01/04/2024		9,800		15,601
6.250% due 01/04/2030		4,740		7,744
6.500% due 07/04/2027		2,260		3,752
Total Germany (Cost $372,349)				367,919
ICELAND 0.2%
Glitnir Banki HF
5.795% due 01/21/2011	$	3,000		3,019
Kaupthing Bank HF
5.750% due 10/04/2011		2,900		2,893
Total Iceland (Cost $5,887)				5,912
IRELAND 0.5%
Atlas Reinsurance PLC
7.922% due 01/10/2010	EUR	2,000		2,746
Bank of Ireland
5.370% due 12/19/2008	$	7,000		7,009
Osiris Capital PLC
10.356% due 01/15/2010		1,000		1,010
Total Ireland (Cost $10,617)				10,765
ITALY 0.1%
Italy Buoni Poliennali Del Tesoro
3.000% due 04/15/2009	EUR	700		924
4.500% due 05/01/2009		1,000		1,354
Total Italy (Cost $2,258)				2,278
JAPAN 17.7%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	300		388
Japan Government Bond
1.500% due 03/20/2011	JPY	5,150,000		42,154
1.500% due 03/20/2014		1,590,000		12,802
1.500% due 03/20/2015		3,850,000		30,767
1.600% due 09/20/2013		1,660,000		13,501
1.600% due 06/20/2014		3,970,000		32,123
1.600% due 09/20/2014		810,000		6,540
2.300% due 06/20/2035		3,530,000		27,908
2.400% due 03/20/2034		580,000		4,701
2.500% due 09/20/2035		6,210,000		51,201
2.500% due 06/20/2036		5,431,000		44,596
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		989,010		7,785
1.000% due 06/10/2016		2,672,670		21,245
1.100% due 12/10/2016		11,132,800		89,310
1.200% due 03/10/2017		169,490		1,371
1.200% due 06/10/2017		1,120,000		9,031
Resona Bank Ltd.
5.850% due 09/29/2049	$	3,500		3,352
Sumitomo Mitsui Banking Corp.
1.518% due 12/31/2049	JPY	300,000		2,452
1.629% due 12/01/2049		400,000		3,292
1.641% due 12/31/2049		300,000		2,458
Total Japan (Cost $436,370)				406,977
JERSEY, CHANNEL ISLANDS 0.2%
HSBC Capital Funding LP
9.547% due 12/31/2049	$	4,852		5,362
Total Jersey, Channel Islands (Cost $5,419)				5,362
KOREA 0.0%
Korea Development Bank
4.250% due 11/13/2007	$	670		666
Total Korea (Cost $668)				666
LUXEMBOURG 0.1%
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008	$	3,100		3,102
Total Luxembourg (Cost $3,100)				3,102
MEXICO 0.1%
C5 Capital SPV Ltd.
6.196% due 12/01/2049	$	3,000		2,984
Pemex Project Funding Master Trust
5.750% due 12/15/2015		100		98
Total Mexico (Cost $3,099)				3,082
NETHERLANDS ANTILLES 0.1%
BTM Curacao Holdings NV
1.020% due 12/31/2049	JPY	300,000		2,459
Total Netherlands Antilles (Cost $2,554)				2,459
NETHERLANDS 0.3%
Generali Finance BV
5.479% due 02/28/2049	EUR	2,000		2,647
Netherlands Government Bond
3.750% due 07/15/2014		1,200		1,546
4.250% due 07/15/2013		400		533
Siemens Financieringsmaatschappij NV
5.410% due 08/14/2009	$	1,400		1,400
Total Netherlands (Cost $6,055)				6,126
RUSSIA 0.4%
Gaz Capital for Gazprom
5.875% due 06/01/2015	EUR	600		818
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008	$	5,900		5,913
6.110% due 09/21/2007		1,600		1,602
Total Russia (Cost $8,254)				8,333
SOUTH KOREA 0.1%
Export-Import Bank of Korea
4.250% due 11/27/2007	$	1,704		1,695
Total South Korea (Cost $1,697)				1,695
SPAIN 4.7%
Santander U.S. Debt S.A. Unipersonal
5.420% due 11/20/2009	$	4,000		4,003
Spain Government Bond
4.200% due 01/31/2037	EUR	600		738
4.400% due 01/31/2015		42,000		56,037
5.400% due 07/30/2011		20,800		29,005
5.750% due 07/30/2032		11,150		17,221
6.150% due 01/31/2013		1,000		1,455
Total Spain (Cost $109,683)				108,459
TUNISIA 0.2%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	3,000		3,702
Total Tunisia (Cost $3,628)				3,702
UKRAINE 0.1%
Ukraine Government International Bond
4.950% due 10/13/2015	EUR	1,000		1,273
Total Ukraine (Cost $1,210)				1,273
UNITED KINGDOM 5.2%
Arkle Master Issuer PLC
5.300% due 11/19/2007	$	7,300		7,302
HBOS PLC
5.920% due 09/29/2049		8,400		7,891
HBOS Treasury Services PLC
5.320% due 07/17/2008		2,300		2,302
HSBC Holdings PLC
6.500% due 05/02/2036		6,300		6,496
Royal Bank of Scotland Group PLC
5.360% due 12/21/2007		3,500		3,502
5.750% due 07/06/2012		4,100		4,100
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		1,100		1,013
United Kingdom Gilt
4.000% due 03/07/2009	GBP	11,400		22,254
4.750% due 06/07/2010		12,900		25,174
5.000% due 03/07/2012		2,030		3,960
5.750% due 12/07/2009		3,900		7,823
9.000% due 07/12/2011		12,150		27,177
XL Capital Europe PLC
6.500% due 01/15/2012	$	500		514
Total United Kingdom (Cost $118,532)				119,508
UNITED STATES 97.0%
Asset-Backed Securities 9.0%
ACE Securities Corp.
5.380% due 10/25/2036	$	4,477		4,480
American Express Credit Account Master Trust
5.320% due 01/18/2011		2,900		2,898
Americredit Prime Automobile Receivables Trust
5.322% due 06/09/2008		8,500		8,500
Amortizing Residential Collateral Trust
5.610% due 07/25/2032		1		1
5.670% due 10/25/2031		5		5
Argent Securities, Inc.
5.370% due 10/25/2036		6,018		6,022
5.380% due 05/25/2036		82		82
Asset-Backed Funding Certificates
5.380% due 10/25/2036		4,482		4,484
5.670% due 06/25/2034		5,931		5,948
Bear Stearns Asset-Backed Securities, Inc.
5.770% due 03/25/2043		10		10
Carrington Mortgage Loan Trust
5.385% due 07/25/2036		751		752
Chase Credit Card Master Trust
5.430% due 02/15/2011		1,450		1,453
5.440% due 02/15/2010		1,590		1,592
Chase Issuance Trust
3.220% due 06/15/2010		2,000		1,989
CIT Group Home Equity Loan Trust
5.610% due 03/25/2033		10		10
Countrywide Asset-Backed Certificates
5.370% due 03/25/2047		5,613		5,616
5.380% due 09/25/2046		1,465		1,465
5.420% due 09/25/2047		9,086		9,093
5.800% due 12/25/2031		4		4
CS First Boston Mortgage Securities Corp.
5.940% due 01/25/2032		4		4
CSAB Mortgage-Backed Trust
5.420% due 06/25/2036		1,160		1,161
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		2,996		2,997
First NLC Trust
5.440% due 02/25/2036		146		146
Fremont Home Loan Trust
5.390% due 02/25/2037		6,328		6,331
GE-WMC Mortgage Securities LLC
5.420% due 12/25/2035		207		207
GSAMP Trust
5.430% due 11/25/2035		32		32
5.610% due 03/25/2034		41		41
HFC Home Equity Loan Asset-Backed Certificates
5.670% due 09/20/2033		788		790
Home Equity Asset Trust
5.430% due 02/25/2036		14		14
Home Equity Mortgage Trust
5.430% due 02/25/2036		35		35
HSI Asset Securitization Corp. Trust
5.430% due 04/25/2037		392		392
Indymac Residential Asset-Backed Trust
5.420% due 03/25/2036		132		132
IXIS Real Estate Capital Trust
5.380% due 08/25/2036		1,125		1,126
JPMorgan Mortgage Acquisition Corp.
5.390% due 03/25/2036		1,681		1,681
Lehman XS Trust
5.400% due 06/25/2046		628		629
5.400% due 07/25/2046		3,897		3,899
5.400% due 11/25/2046		9,210		9,215
5.470% due 04/25/2037		11,900		11,919
Long Beach Mortgage Loan Trust
5.600% due 10/25/2034		1,428		1,430
Merrill Lynch Mortgage Investors, Inc.
5.370% due 05/25/2037		335		335
5.390% due 08/25/2036		7,156		7,157
5.390% due 07/25/2037		8,295		8,300
5.400% due 09/25/2037		8,483		8,488
Morgan Stanley Home Equity Loans
5.430% due 02/25/2036		5,700		5,704
Newcastle Mortgage Securities Trust
5.390% due 03/25/2036		2,794		2,795
Option One Mortgage Loan Trust
5.420% due 11/25/2035		31		31
Quest Trust
5.760% due 09/25/2034		17		17
Renaissance Home Equity Loan Trust
5.670% due 08/25/2032		1		1
5.820% due 12/25/2033		1,225		1,235
Residential Asset Mortgage Products, Inc.
5.400% due 10/25/2036		9,228		9,233
Residential Asset Securities Corp.
5.390% due 07/25/2036		2,155		2,156
5.400% due 10/25/2036		7,646		7,652
5.410% due 01/25/2036		79		79
5.820% due 07/25/2032		20		20
SACO I, Inc.
5.380% due 05/25/2036		1,105		1,106
Saxon Asset Securities Trust
5.380% due 11/25/2036		9,659		9,662
5.840% due 08/25/2032		3		3
SBI HELOC Trust
5.490% due 08/25/2036		7,511		7,519
Securitized Asset-Backed Receivables LLC Trust
5.380% due 03/25/2036		370		371
SLM Student Loan Trust
3.800% due 12/15/2038		2,700		2,617
5.325% due 10/25/2012		4,714		4,717
5.345% due 07/25/2017		600		601
Soundview Home Equity Loan Trust
5.380% due 06/25/2036		52		52
5.420% due 12/25/2035		78		78
Structured Asset Investment Loan Trust
5.410% due 01/25/2036		3,672		3,675
Structured Asset Securities Corp.
5.720% due 05/25/2034		10		10
Wells Fargo Home Equity Trust
5.440% due 12/25/2035		5,783		5,787
5.550% due 10/25/2035		8,356		8,364
5.560% due 11/25/2035		12,000		12,024
				206,374
Bank Loan Obligations 0.5%
Ford Motor Co.
8.360% due 11/29/2013		1,095		1,100
Georgia-Pacific Corp.
7.110% due 12/20/2012		2,962		2,973
HCA, Inc.
7.600% due 11/14/2013		4,090		4,112
MGM Mirage
6.505% due 10/03/2011		200		198
6.531% due 10/03/2011		200		198
6.555% due 10/03/2011		600		595
Reynolds American, Inc.
6.875% due 05/11/2012		2,903		2,925
6.875% due 05/31/2012		74		75
				12,176
Corporate Bonds & Notes 13.8%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		1,000		996
American Express Centurion Bank
5.320% due 05/07/2008		6,500		6,501
American International Group, Inc.
4.875% due 03/15/2067	EUR	5,200		6,670
6.250% due 03/15/2037	$	1,200		1,138
Amgen, Inc.
5.440% due 11/28/2008		6,200		6,204
AT&T, Inc.
5.570% due 11/14/2008		1,000		1,003
AutoZone, Inc.
5.875% due 10/15/2012		1,600		1,605
Bank of America Corp.
5.366% due 11/06/2009		4,100		4,100
5.616% due 10/14/2016		1,600		1,609
Bank of America N.A.
5.360% due 12/18/2008		2,600		2,602
BellSouth Corp.
5.200% due 09/15/2014		1,400		1,345
5.460% due 08/15/2008		3,900		3,904
Boston Scientific Corp.
5.450% due 06/15/2014		1,100		1,037
6.400% due 06/15/2016		2,700		2,627
Caesars Entertainment, Inc.
8.875% due 09/15/2008		300		309
CenterPoint Energy, Inc.
5.875% due 06/01/2008		1,700		1,703
Charter One Bank N.A.
5.405% due 04/24/2009		9,000		9,012
CIT Group, Inc.
5.470% due 06/08/2009		7,500		7,477
5.570% due 05/23/2008		3,500		3,504
Citigroup, Inc.
5.400% due 12/26/2008		5,200		5,204
CMS Energy Corp.
7.500% due 01/15/2009		2,700		2,782
9.875% due 10/15/2007		400		406
CNA Financial Corp.
6.000% due 08/15/2011		2,000		2,008
Comcast Corp.
5.656% due 07/14/2009		7,600		7,604
ConocoPhillips Australia Funding Co.
5.460% due 04/09/2009		7,300		7,305
Cox Communications, Inc.
6.750% due 03/15/2011		1,700		1,761
CVS Caremark Corp.
5.660% due 06/01/2010		5,900		5,906
5.750% due 08/15/2011		700		701
DaimlerChrysler N.A. Holding Corp.
4.875% due 06/15/2010		700		687
5.710% due 03/13/2009		5,800		5,813
5.750% due 09/08/2011		1,100		1,103
5.840% due 09/10/2007		1,900		1,902
Dominion Resources, Inc.
5.660% due 09/28/2007		700		700
East Lane Re Ltd.
12.355% due 05/06/2011		1,600		1,608
EchoStar DBS Corp.
6.375% due 10/01/2011		800		786
Exelon Corp.
4.900% due 06/15/2015		2,300		2,120
Ford Motor Credit Co.
5.625% due 10/01/2008		6,000		5,924
6.625% due 06/16/2008		1,000		1,000
7.250% due 10/25/2011		2,100		2,023
7.800% due 06/01/2012		100		98
Freeport-McMoRan Copper & Gold, Inc.
8.564% due 04/01/2015		1,900		1,995
General Electric Capital Corp.
5.355% due 10/24/2008		3,200		3,202
5.385% due 10/26/2009		5,400		5,404
5.400% due 12/12/2008		2,500		2,503
5.460% due 06/15/2009		3,300		3,309
GMAC LLC
6.000% due 12/15/2011		3,900		3,711
6.610% due 05/15/2009		1,100		1,101
Goldman Sachs Group, Inc.
5.250% due 06/01/2016 (i)	CAD	4,800		4,399
Harrah’s Operating Co., Inc.
5.956% due 02/08/2008	$	2,400		2,404
Health Care Property Investors, Inc.
5.950% due 09/15/2011		700		702
HJ Heinz Co.
6.428% due 12/01/2008		3,100		3,132
HJ Heinz Finance Co.
6.000% due 03/15/2012		3,700		3,717
Home Depot, Inc.
5.485% due 12/16/2009		5,700		5,694
HSBC Finance Corp.
6.538% due 11/13/2007		2,500		2,510
International Lease Finance Corp.
5.400% due 02/15/2012		2,400		2,377
JC Penney Corp., Inc.
8.000% due 03/01/2010		2,200		2,324
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	3,100		2,826
5.370% due 05/07/2010	$	12,000		12,008
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		6,300		6,007
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		3,000		2,898
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038		8,000		8,106
Lennar Corp.
5.950% due 10/17/2011		700		691
Loews Corp.
5.250% due 03/15/2016		800		768
Mandalay Resort Group
9.500% due 08/01/2008		700		725
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		1,900		1,856
Masco Corp.
5.875% due 07/15/2012		700		695
May Department Stores Co.
4.800% due 07/15/2009		700		687
Maytag Corp.
5.000% due 05/15/2015		2,200		2,031
Merck & Co., Inc.
4.750% due 03/01/2015		2,200		2,073
Merrill Lynch & Co., Inc.
5.395% due 10/23/2008		4,300		4,306
5.450% due 08/14/2009		1,000		1,001
Metropolitan Life Global Funding I
5.400% due 05/17/2010		6,000		6,004
Mizuho JGB Investment LLC
9.870% due 12/31/2049		2,800		2,930
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		2,800		2,883
Morgan Stanley
5.360% due 11/21/2008		3,100		3,100
5.406% due 05/07/2009		6,000		6,003
5.484% due 01/18/2008		900		901
5.809% due 10/18/2016		2,200		2,202
NiSource Finance Corp.
5.400% due 07/15/2014		800		770
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		400		402
Rabobank Capital Funding Trust
5.254% due 12/29/2049		2,000		1,876
Raychem Corp.
7.200% due 10/15/2008		200		204
Residential Capital LLC
6.460% due 05/22/2009		3,300		3,286
Sara Lee Corp.
6.250% due 09/15/2011		1,600		1,629
SB Treasury Co. LLC
9.400% due 12/29/2049		5,100		5,277
Sealed Air Corp.
5.625% due 07/15/2013		2,300		2,269
Sprint Capital Corp.
8.375% due 03/15/2012		2,900		3,162
State Street Capital Trust IV
6.355% due 06/15/2037		5,900		5,943
Time Warner, Inc.
5.590% due 11/13/2009		8,500		8,513
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		3,500		3,647
Toyota Motor Credit Corp.
5.330% due 10/12/2007		6,800		6,802
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		500		503
6.636% due 04/15/2008		1,000		994
U.S. Bancorp
5.350% due 04/28/2009		4,300		4,303
Viacom, Inc.
5.750% due 04/30/2011		2,800		2,798
Wachovia Bank N.A.
5.320% due 10/03/2008		9,800		9,804
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		5,600		5,599
Westpac Banking Corp.
5.280% due 06/06/2008		5,400		5,401
Wyeth
6.950% due 03/15/2011		1,900		1,990
Xerox Corp.
9.750% due 01/15/2009		2,400		2,540
				317,684
Mortgage-Backed Securities 7.6%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		1,434		1,407
5.470% due 09/25/2035		600		601
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		3,172		3,108
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		8,725		8,583
Bear Stearns Alt-A Trust
5.818% due 11/25/2036		4,035		4,031
5.824% due 11/25/2036		7,286		7,297
5.959% due 02/25/2036		8,584		8,611
Bear Stearns Commercial Mortgage Securities
5.430% due 03/15/2019		186		186
Bella Vista Mortgage Trust
5.570% due 05/20/2045		121		121
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		1,456		1,458
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		11,800		11,327
Citigroup Mortgage Loan Trust, Inc.
4.900% due 10/25/2035		12,412		12,245
Commercial Mortgage Pass-Through Certificates
5.540% due 02/05/2019		300		301
6.455% due 05/15/2032		3,750		3,776
Countrywide Alternative Loan Trust
5.530% due 05/25/2035		1,890		1,892
5.530% due 03/20/2046		209		209
5.600% due 02/25/2037		155		156
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		2,524		2,507
5.610% due 04/25/2035		365		366
5.640% due 03/25/2035		3,230		3,241
5.650% due 02/25/2035		248		249
5.660% due 02/25/2035		376		378
Credit Suisse Mortgage Capital Certificates
5.311% due 12/15/2039		11,200		10,744
CS First Boston Mortgage Securities Corp.
3.006% due 03/15/2036		133		132
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.420% due 10/25/2036		5,268		5,272
First Horizon Asset Securities, Inc.
6.250% due 08/25/2017		2,503		2,499
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		2,043		2,022
Greenpoint Mortgage Funding Trust
5.540% due 06/25/2045		1,193		1,194
5.590% due 11/25/2045		247		247
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		200		200
6.620% due 10/18/2030		4,157		4,186
GSR Mortgage Loan Trust
4.538% due 09/25/2035		1,083		1,068
Harborview Mortgage Loan Trust
5.410% due 01/19/2038		4,487		4,493
5.510% due 01/19/2038		9,702		9,719
5.540% due 05/19/2035		2,175		2,178
5.560% due 03/19/2037		183		183
5.690% due 02/19/2034		25		25
Indymac Index Mortgage Loan Trust
5.400% due 07/25/2046		29		29
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		297		295
MASTR Asset Securitization Trust
5.500% due 11/25/2017		485		479
Mellon Residential Funding Corp.
5.760% due 12/15/2030		23		23
Merrill Lynch Mortgage Trust
3.585% due 10/12/2041		258		253
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		623		617
Residential Accredit Loans, Inc.
5.530% due 04/25/2046		232		232
Structured Adjustable Rate Mortgage Loan Trust
6.429% due 01/25/2035		115		116
Structured Asset Mortgage Investments, Inc.
5.540% due 05/25/2036		6,961		6,975
5.550% due 05/25/2045		1,434		1,435
5.630% due 12/25/2035		103		104
Thornburg Mortgage Securities Trust
5.440% due 08/25/2036		5,851		5,849
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		7,928		7,932
Washington Mutual, Inc.
5.550% due 04/25/2045		3,531		3,538
5.580% due 11/25/2045		717		719
5.590% due 12/25/2045		2,555		2,565
5.630% due 01/25/2045		685		686
5.640% due 01/25/2045		495		496
5.724% due 07/25/2046		1,931		1,939
5.724% due 10/25/2046		4,027		4,043
5.860% due 12/25/2027		301		301
6.009% due 06/25/2046		5,180		5,214
6.029% due 02/25/2046		176		176
6.223% due 05/25/2041		98		98
6.429% due 06/25/2042		614		613
6.429% due 08/25/2042		16		16
Wells Fargo Mortgage-Backed Securities Trust
4.110% due 06/25/2035		3,799		3,780
4.950% due 03/25/2036		6,878		6,787
5.254% due 04/25/2036		2,690		2,688
				174,210
Municipal Bonds & Notes 0.1%
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.224% due 01/01/2014		630		639
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		960		948
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.265% due 12/15/2013		330		325
				1,912
		Shares
Preferred Stocks 0.1%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		3,200		3,224
		Principal Amount (000s)
Commodity Index-Linked Notes 0.3%
Morgan Stanley
0.000% due 07/07/2008	$	7,000		6,960
U.S. Government Agencies 63.6%
Fannie Mae
4.579% due 11/01/2034		6,501		6,447
4.946% due 12/01/2034		289		286
5.000% due 11/25/2032		4,000		3,652
5.440% due 03/25/2034		50		50
5.470% due 08/25/2034		55		55
5.500% due 05/25/2027 - 08/01/2037		722,646		697,539
5.570% due 06/25/2044		29		29
5.720% due 06/25/2029		43		44
6.000% due 06/01/2031 - 07/25/2044		661,547		654,524
6.500% due 09/01/2036 - 06/25/2044		69,794		70,464
Freddie Mac
4.370% due 09/01/2035		399		394
4.500% due 07/15/2018		3,194		3,110
5.000% due 11/15/2021 - 12/15/2031		14,080		13,812
5.580% due 08/25/2031		88		89
5.670% due 12/15/2030		630		632
5.770% due 12/15/2031		200		202
Ginnie Mae
6.000% due 08/20/2034		4,147		3,951
Small Business Administration
4.625% due 02/01/2025		1,039		976
4.754% due 08/10/2014		80		76
5.110% due 04/01/2025		2,162		2,103
				1,458,435
U.S. Treasury Obligations 2.0%
U.S. Treasury Bonds
4.500% due 02/15/2036		3,600		3,261
4.750% due 02/15/2037		3,600		3,345
U.S. Treasury Notes
4.625% due 02/29/2012		2,500		2,469
4.750% due 05/15/2014		25,270		24,962
4.875% due 01/31/2009		11,000		10,989
4.875% due 08/15/2016		200		197
				45,223
Total United States (Cost $2,236,210)				2,226,198
SHORT-TERM INSTRUMENTS 11.1%
Certificates of Deposit 6.1%
Barclays Bank PLC
5.281% due 03/17/2008		16,600		16,602
Countrywide Funding Corp.
5.350% due 08/16/2007		8,100		8,099
Dexia S.A.
5.270% due 09/29/2008		10,800		10,803
Fortis Bank NY
5.265% due 04/28/2008		5,300		5,303
5.300% due 09/30/2008		900		900
Nordea Bank Finland PLC
5.282% due 12/01/2008		11,800		11,802
5.308% due 05/28/2008		8,000		8,005
5.308% due 04/09/2009		15,400		15,408
Royal Bank of Scotland Group PLC
5.265% due 03/26/2008		19,200		19,199
Skandinav Enskilda BK
5.300% due 02/04/2008		5,500		5,508
5.330% due 08/21/2008		6,400		6,400
Societe Generale NY
5.270% due 03/26/2008		23,300		23,301
Unicredito Italiano NY
5.338% due 12/13/2007		3,900		3,902
5.360% due 12/03/2007		3,500		3,501
5.360% due 05/29/2008		2,600		2,601
				141,334
Commercial Paper 3.5%
Freddie Mac
4.800% due 07/02/2007		54,000		54,000
Rabobank USA Financial Corp.
5.330% due 07/26/2007		2,800		2,800
Unicredito Italiano SpA
5.185% due 01/22/2008		23,300		22,791
				79,591
Tri-Party Repurchase Agreements 0.0%
State Street Bank and Trust Co.
4.900% due 07/02/2007		494		494
(Dated 06/29/2007. Collateralized by Freddie Mac 5.000% due 06/11/2009 valued at $506. Repurchase proceeds are $494.)
U.S. Treasury Bills 1.5%
4.607% due 08/30/2007 - 09/13/2007 (a)(b)(c)(e)		34,510		34,153
Total Short-Term Instruments (Cost $255,562)				255,572
Purchased Options (g) 0.8% (Cost $27,936)				17,435
Total Investments (d) 166.9% (Cost $3,883,406)			$	3,830,206
Written Options (h) (0.2%) (Premiums $13,604)				(4,377	)
Other Assets and Liabilities (Net) (66.7%)				(1,531,446	)
Net Assets 100.0%			$	2,294,383

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 $5,443 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(c) Securities with an aggregate market value of $2,180 have been pledged as collateral for delayed-delivery securities on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $63,647 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $22,206 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor September Futures	Long	09/2008	1,256	$	(68	)
90-Day Eurodollar December Futures	Long	12/2007	45		(60	)
90-Day Eurodollar June Futures	Long	06/2008	1,418		(1,553	)
90-Day Eurodollar June Futures	Long	06/2009	222		(107	)
90-Day Eurodollar March Futures	Long	03/2008	5,774		(616	)
90-Day Eurodollar March Futures	Long	03/2009	236		(102	)
90-Day Eurodollar September Futures	Long	09/2007	45		(45	)
90-Day Eurodollar September Futures	Long	09/2008	1,750		722
90-Day Euroyen December Futures	Long	12/2007	1,561		(362	)
Euro-Bobl 5-Year Note September Futures	Long	09/2007	2,120		(326	)
Euro-Bobl 5-Year Note September Futures Put Options Strike @ EUR 103.250	Long	09/2007	1,938		(13	)
Euro-Bobl 5-Year Note September Futures Put Options Strike @ EUR 104.250	Long	09/2007	1,756		47
Euro-Bund 10-Year Note September Futures	Long	09/2007	3,941		(2,824	)
Euro-Bund 10-Year Note September Futures Put Options Strike @ EUR 104.000	Long	09/2007	139		0
Euro-Bund 10-Year Note September Futures Put Options Strike @ EUR 106.000	Long	09/2007	4,010		53
Japan Government 10-Year Bond September Futures	Long	09/2007	247		(822	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	1,987		(1,719	)
U.S. Treasury 30-Year Bond September Futures	Long	09/2007	21		22
United Kingdom 10-Year Note September Futures	Short	09/2007	262		26
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	560		(1,120	)
				$	(8,867	)

(f) Swap agreements outstanding on June 30, 2007:

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 iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	EUR	9,500	$	(12	)
Barclays Bank PLC	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		3,900		1
BNP Paribas Bank	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		4,400		(1	)
Deutsche Bank AG	Akzo Nobel NV 4.250% due 06/14/2011	Buy	(0.290	%)	06/20/2012		1,700		(6	)
Deutsche Bank AG	Kelda Group PLC 6.625% due 04/17/2031	Buy	(0.210	%)	06/20/2012		1,800		0
Deutsche Bank AG	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012		1,500		1
Deutsche Bank AG	United Utilities PLC 6.875% due 08/15/2028	Buy	(0.235	%)	06/20/2012		1,800		5
Deutsche Bank AG	Wolters Kluwer NV 5.125% due 01/27/2014	Buy	(0.330	%)	06/20/2012		1,500		2
Deutsche Bank AG	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		13,800		(22	)
Goldman Sachs & Co.	ICI Wilmington, Inc. 5.625% due 12/01/2013	Buy	(0.340	%)	06/20/2012		1,800		0
Goldman Sachs & Co.	Koninklijke DSM NV 4.000% due 11/10/2015	Buy	(0.365	%)	06/20/2012		1,800		(8	)
Goldman Sachs & Co.	SCA Finans AB 4.500% due 07/15/2015	Buy	(0.250	%)	06/20/2012		1,300		0
Goldman Sachs & Co.	WPP Group PLC 6.000% due 06/18/2008	Buy	(0.260	%)	06/20/2012		1,500		(2	)
Goldman Sachs & Co.	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		1,500		(1	)
HSBC Bank USA	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		1,600		(1	)
JPMorgan Chase & Co.	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		8,800		(13	)
Merrill Lynch & Co., Inc.	Compass Group PLC 6.375% due 05/29/2012	Buy	(0.390	%)	06/20/2012		1,600		(1	)
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	09/20/2007	JPY	619,000		25
Bank of America	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.150	%	06/20/2008	$	7,000		(3	)
Bank of America	May Department Stores Co. 4.800% due 07/15/2009	Buy	(0.190	%)	09/20/2009		700		1
Bank of America	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.462	%)	06/20/2012		500		(3	)
Bank of America	Loews Corp. 8.875% due 04/15/2011	Buy	(0.120	%)	06/20/2012		500		1
Bank of America	Noble Corp. 5.875% due 06/01/2013	Buy	(0.542	%)	06/20/2012		600		(3	)
Bank of America	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017		1,100		5
Bank of America	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.485	%)	06/20/2017		2,000		(3	)
Bank of America	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		37,200		231
Bank of America	DR Horton, Inc. 5.375% due 06/15/2012	Buy	(1.600	%)	06/20/2017		1,100		43
Bank of America	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(1.630	%)	06/20/2017		900		35
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		775
Barclays Bank PLC	International Lease Finance Corp. 5.400% due 02/15/2012	Buy	(0.170	%)	03/20/2012		2,400		(1	)
Barclays Bank PLC	XL Capital Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	03/20/2012		500		0
Barclays Bank PLC	American Electric Power Co., Inc. 5.250% due 06/01/2015	Buy	(0.100	%)	06/20/2012		2,200		8
Barclays Bank PLC	Capital One Bank 5.125% due 02/15/2014	Buy	(0.160	%)	06/20/2012		1,500		5
Barclays Bank PLC	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		700		(3	)
Barclays Bank PLC	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.490	%)	06/20/2012		1,000		(3	)
Barclays Bank PLC	Wyeth 5.500% due 03/15/2013	Buy	(0.100	%)	06/20/2012		2,700		1
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		2,900		32
Barclays Bank PLC	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.470	%)	06/20/2017		900		0
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 4.875% due 06/15/2010	Buy	(0.520	%)	06/20/2010		700		(6	)
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011		2,000		(7	)
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	03/20/2012		800		0
Bear Stearns & Co., Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.520	%)	06/20/2012		1,000		2
Bear Stearns & Co., Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.480	%)	06/20/2012		2,000		(2	)
Bear Stearns & Co., Inc.	NiSource Finance Corp. 5.400% due 07/15/2014	Buy	(0.620	%)	09/20/2014		800		(5	)
Bear Stearns & Co., Inc.	Maytag Corp. 5.000% due 05/15/2015	Buy	(0.460	%)	06/20/2015		2,200		14
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.330	%)	03/20/2016		800		(5	)
Citibank N.A.	Sealed Air Corp. 6.250% due 09/15/2011	Buy	(0.330	%)	09/20/2011		1,600		(1	)
Citibank N.A.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.470	%)	06/20/2012		1,100		(6	)
Citibank N.A.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012		1,600		(26	)
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		4
Citibank N.A.	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.550	%)	06/20/2017		1,800		(8	)
Credit Suisse First Boston	CenterPoint Energy, Inc. 5.875% due 06/01/2008	Buy	(0.170	%)	06/20/2008		1,800		(2	)
Credit Suisse First Boston	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		900		(4	)
Credit Suisse First Boston	Sealed Air Corp. 5.625% due 07/15/2013	Buy	(0.500	%)	09/20/2013		2,300		(2	)
Credit Suisse First Boston	International Paper Co. 5.850% due 10/30/2012	Buy	(0.670	%)	06/20/2017		2,900		11
Deutsche Bank AG	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.160	%	06/20/2008		3,300		(2	)
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.120	%	06/20/2008		6,900		(3	)
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.160	%	06/20/2008		9,500		(3	)
Deutsche Bank AG	JC Penney Corp., Inc. 8.000% due 03/01/2010	Buy	(0.270	%)	03/20/2010		2,600		(1	)
Deutsche Bank AG	Lennar Corp. 5.950% due 10/17/2011	Buy	(0.785	%)	12/20/2011		700		6
Deutsche Bank AG	International Paper Co. 5.850% due 10/30/2012	Buy	(0.500	%)	06/20/2012		2,300		(15	)
Deutsche Bank AG	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.470	%)	06/20/2012		800		(4	)
Deutsche Bank AG	Ace INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	06/20/2014		1,000		(5	)
Deutsche Bank AG	Boston Scientific Corp. 5.450% due 06/15/2014	Buy	(0.620	%)	06/20/2014		1,100		20
Deutsche Bank AG	Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014		1,000		8
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		7,800		9
Goldman Sachs & Co.	JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.990	%	09/20/2010		500		10
Goldman Sachs & Co.	Carnival Corp. 6.650% due 01/15/2028	Buy	(0.210	%)	06/20/2012		2,300		2
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		100,200		(226	)
Goldman Sachs & Co.	Duke Energy Corp. 6.250% due 01/15/2012	Buy	(0.090	%)	06/20/2012		2,300		6
Goldman Sachs & Co.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.445	%)	06/20/2012		3,000		(13	)
Goldman Sachs & Co.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.410	%)	06/20/2012		3,900		(11	)
Goldman Sachs & Co.	SLM Corp. 5.125% due 08/27/2012	Sell	0.700	%	06/20/2012		1,400		(108	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		162,000		1,737
Goldman Sachs & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(1.330	%)	06/20/2017		1,100		30
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		465,300		1,570
Goldman Sachs & Co.	Lennar Corp. 5.950% due 03/01/2013	Buy	(1.200	%)	06/20/2017		1,100		29
Goldman Sachs & Co.	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.500	%)	06/20/2017		2,700		(3	)
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		6,700		6
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009		5,800		26
JPMorgan Chase & Co.	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.440% due 01/21/2011	Buy	(0.340	%)	03/20/2011		3,000		(12	)
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.260	%	08/20/2011		4,200		119
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.345	%	08/20/2011		7,600		241
JPMorgan Chase & Co.	Health Care Property Investors, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	09/20/2011		700		(8	)
JPMorgan Chase & Co.	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.270	%)	06/20/2012		1,100		(3	)
JPMorgan Chase & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017		1,900		9
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		75,800		149
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.875% due 06/15/2010	Buy	(2.310	%)	06/20/2010		2,200		5
Lehman Brothers, Inc.	Alcan, Inc. 6.450% due 03/15/2011	Buy	(0.140	%)	03/20/2011		2,600		5
Lehman Brothers, Inc.	Wyeth 6.950% due 03/15/2011	Buy	(0.100	%)	03/20/2011		2,100		(1	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	08/20/2011		25,700		748
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.350	%	08/20/2011		11,700		374
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		5,300		173
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		1,400		(6	)
Lehman Brothers, Inc.	Merck & Co., Inc. 4.750% due 03/01/2015	Buy	(0.135	%)	03/20/2015		2,200		6
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		16,400		166
Lehman Brothers, Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.990	%)	06/20/2017		2,900		1
Merrill Lynch & Co., Inc.	Xerox Corp. 9.750% due 01/15/2009	Buy	(0.130	%)	01/20/2009		2,700		1
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		1,984		15
Merrill Lynch & Co., Inc.	Sprint Capital Corp. 8.375% due 03/15/2012	Buy	(0.460	%)	03/20/2012		3,700		11
Merrill Lynch & Co., Inc.	Multiple Reference Entities of Gazprom	Sell	0.610	%	05/20/2012		1,500		3
Merrill Lynch & Co., Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.580	%)	06/20/2012		2,100		(2	)
Merrill Lynch & Co., Inc.	Exelon Corp. 4.900% due 06/15/2015	Buy	(0.520	%)	06/20/2015		2,300		7
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Buy	0.245	%	06/20/2008		500		0
Morgan Stanley	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		9,920		74
Morgan Stanley	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.700	%)	09/20/2010		100		(6	)
Morgan Stanley	Cox Communications, Inc. 6.750% due 03/15/2011	Buy	(0.200	%)	03/20/2011		1,700		(3	)
Morgan Stanley	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	06/20/2011		700		(9	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	08/20/2011		11,200		371
Morgan Stanley	Nucor Corp. 4.875% due 10/01/2012	Buy	(0.150	%)	06/20/2012		2,300		4
Morgan Stanley	Progress Energy, Inc. 5.625% due 01/15/2016	Buy	(0.105	%)	06/20/2012		2,000		1
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	09/20/2012		700		1
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		4,900		53
Morgan Stanley	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.495	%)	06/20/2017		1,100		(2	)
Royal Bank of Canada	DaimlerChrysler Canada Finance, Inc. 4.850% due 03/30/2009	Buy	(0.350	%)	06/20/2009		2,000		(8	)
Royal Bank of Canada	JPMorgan Chase & Co. 6.750% due 02/01/2011	Buy	(0.310	%)	03/20/2016		1,900		3
Royal Bank of Scotland Group PLC	CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	09/20/2011		700		(1	)
Royal Bank of Scotland Group PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.620	%)	09/20/2011		1,100		(15	)
Royal Bank of Scotland Group PLC	Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.490	%)	12/20/2011		2,900		(29	)
Royal Bank of Scotland Group PLC	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.306	%)	03/20/2012		2,900		5
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		25
UBS Warburg LLC	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.070	%	06/20/2008		10,000		2
UBS Warburg LLC	Goldman Sachs Group, Inc. 5.250% due 06/01/2016	Buy	(0.310	%)	06/20/2016		4,200		39
UBS Warburg LLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		10,600		115
UBS Warburg LLC	MeadWestvaco Corp. 6.850% due 04/01/2012	Sell	(1.060	%)	06/20/2017		2,700		19
UBS Warburg LLC	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(1.560	%)	06/20/2017		4,900		213
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.530	%)	06/20/2012		900		(7	)
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.520	%)	06/20/2012		1,400		(11	)
								$	6,942

⁽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	6.500	%	01/15/2009	AUD	117,500	$	(301	)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	12/15/2010		60,000		(2,374	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.000	%	12/15/2015		34,200		2,458
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2009		85,920		(208	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		174,900		22
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2012		27,900		(710	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2017		15,800		708
HSBC Bank USA	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2012		26,600		(688	)
HSBC Bank USA	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2017		15,300		696
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		23,500		(12	)
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		23,500		(15	)
Deutsche Bank AG	3-Month Canadian Bank Bill	Receive	5.000	%	06/20/2017	CAD	51,400		(405	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.000	%	06/15/2015		3,000		(15	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		26,400		(2	)
Royal Bank of Scotland Group PLC	3-Month Canadian Bank Bill	Receive	5.000	%	06/20/2017		18,800		(103	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010	EUR	200		(15	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		15,000		220
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		5,700		(138	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012		1,000		(11	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		10,000		131
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.940	%	04/10/2012		3,300		(39	)
Citibank N.A.	6-Month EUR-LIBOR	Receive	4.000	%	06/16/2014		1,120		97
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.500	%	06/18/2034		37,200		(737	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		8,900		(186	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	12/15/2011		177,000		3,414
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		8,300		(57	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.080	%	06/15/2012		18,700		(72	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	09/19/2012		39,900		(181	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		131,300		8,186
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/21/2036		6,000		(432	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		20,300		(375	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		400		(27	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		6,100		(65	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		8,600		413
Lehman Brothers, Inc.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.965	%	03/15/2012		3,300		(15	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		109,800		6,749
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		46,700		(3,278	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		44,000		2,175
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	6.000	%	06/18/2034		15,900		(1,606	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		200		(14	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		200		7
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		7,400		704
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		132,800		11,790
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	06/18/2034		50,100		(4,161	)
UBS Warburg LLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		500		(37	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		17,300		262
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015	GBP	1,600		(204	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.500	%	09/15/2017		9,900		141
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		7,100		(946	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		4,900		(298	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	09/20/2012		7,700		(24	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		3,700		(472	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		31,500		782
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		1,900		(118	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	09/20/2012		24,600		(78	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		16,000		(2,072	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		11,700		2,205
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		29,350		(2,195	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		4,800		(876	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		4,300		(575	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		4,800		571
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		9,000		(1,172	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		13,700		(929	)
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		33,200		(1,277	)
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		39,100		(214	)
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		3,400		353
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		107,300		(407	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.322	%	09/14/2009		100		4
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		14,200		(1,289	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		7,200		354
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016	JPY	3,330,000		(263	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		45,250,000		24
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		27,200,000		(383	)
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		13,800,000		538
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	3.000	%	06/20/2027		2,370,000		(148	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		17,900,000		(322	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		9,000,000		463
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	1.500	%	06/20/2012		2,280,000		(205	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		8,170,000		1,004
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		24,860,000		(1,513	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		7,300,000		(30	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		26,450,000		(493	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.500	%	12/20/2010		10,200,000		(565	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		10,060,000		543
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.980	%	09/27/2016		3,200,000		13
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		1,110,000		(64	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		9,990,000		(155	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		93,790,000		(1,877	)
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		15,100,000		848
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.000	%	06/15/2012		130,000		(6	)
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		5,640,000		522
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		3,970,000		(171	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	3.000	%	06/20/2027		1,700,000		(100	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	2.500	%	06/20/2036		940,000		(244	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	26,000		44
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/22/2016		45,000		227
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		29,000		134
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		99,500		(115	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		14,000		65
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		36,000		60
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/20/2022	$	13,000		454
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		3,800		(24	)
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		13,800		488
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	09/19/2008		61,300		(202	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		313,600		(1,475	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2012		41,100		(58	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		3,200		113
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		49,900		(312	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		18,400		227
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		11,600		409
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		124,800		4,414
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		23,200		(182	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		232,700		(1,777	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		4,200		69
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2007		141,500		(258	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2014		55,100		(170	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		210,100		(1,526	)
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		2,000		7
								$	11,045

Interest Rate Cap Swaps

Counterparty	Floating Rate Index	Cap Rate		Pay/Receive Floating Rate		Fixed Rate/ Premium Amounts	Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	Difference in Constant Maturity Swap 10-Year vs. 2-Year	0.288	%	Pay	$	231	12/07/2007	$	18,500	$	(24	)
Goldman Sachs & Co.	Difference in Constant Maturity Swap 10-Year vs. 2-Year	0.288	%	Pay		258	12/07/2007		22,000		52
										$	28

(g) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	109.000	08/24/2007	860	$	16	$	40
Call - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/24/2007	1,499		28		24
Call - CBOT U.S. Treasury 10-Year Note September Futures		112.000	08/24/2007	3,987		75		62
Put - CBOT U.S. Treasury 10-Year Note September Futures		105.000	08/24/2007	1,137		1,282		533
Put - CME 90-Day Eurodollar September Futures		90.500	09/17/2007	550		5		0
					$	1,406	$	659

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	6-Month GBP-LIBOR	Pay	5.150	%	09/14/2007	GBP	38,500	$	198	$	0
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.170	%	09/14/2007		91,000		514		0
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.350	%	03/14/2008		50,000		238		23
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.150	%	09/14/2007		80,500		454		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.201	%	09/14/2007		31,500		180		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.300	%	03/14/2008		72,000		279		28
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.080	%	08/13/2007	JPY	960,000		110		47
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.120	%	08/13/2007		4,030,000		419		140
Put - OTC 10-Year Interest Rate Swap	Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.080	%	08/13/2007		2,220,000		241		110
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008	$	52,900		205		85
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	6.540	%	08/24/2007		114,900		81		3
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2007		183,700		1,190		226
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		30,200		168		37
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		79,800		295		157
Call - OTC 2-      Year Interest      Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		182,100		963		225
Call - OTC 2-      Year Interest      Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		338,900		1,680		544
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		786,500		4,957		971
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		259,900		1,027		511
									$	13,199	$	3,107

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Euro versus U.S. dollar	$	1.243	07/05/2007	EUR	370,000	$	50	$	5
Call - OTC Euro versus U.S. dollar		1.355	05/21/2008		19,400		584		653
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		19,400		584		487
Call - OTC Euro versus U.S. dollar		1.362	05/21/2008		10,400		317		314
Put - OTC Euro versus U.S. dollar		1.362	05/21/2008		10,400		317		295
Call - OTC Euro versus U.S. dollar		1.367	05/19/2010		5,000		240		269
Put - OTC Euro versus U.S. dollar		1.367	05/19/2010		5,000		240		211
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		4,100		192		206
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		4,100		193		187
Call - OTC U.S. dollar versus Japanese yen	JPY	127.450	07/05/2007	$	350,000		25		2
Call - OTC U.S. dollar versus Japanese yen		116.000	12/05/2007		22,300		224		1,010
Call - OTC U.S. dollar versus Japanese yen		114.650	01/18/2008		28,000		933		1,462
Put - OTC U.S. dollar versus Japanese yen		114.650	01/18/2008		28,000		933		234
Call - OTC U.S. dollar versus Japanese yen		120.000	01/18/2008		19,900		241		412
Call - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		40,900		1,432		1,887
Put - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		40,900		1,288		436
Call - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		11,300		300		419
Put - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		11,300		300		217
Call - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		80,500		2,119		2,082
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		80,500		2,119		2,194
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		6,000		287		455
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		6,000		221		151
						$	13,139	$	13,588

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 07/01/2037	$	89.125	07/05/2007	$	80,000	$	9	$	0
Put - OTC Fannie Mae 5.500% due 07/01/2037		89.313	07/05/2007		64,000		7		0
Put - OTC Fannie Mae 5.500% due 09/01/2037		85.500	09/06/2007		164,000		19		9
Put - OTC Fannie Mae 5.500% due 09/01/2037		90.000	09/06/2007		230,600		27		19
Put - OTC Fannie Mae 6.000% due 09/01/2037		92.500	09/06/2007		708,300		83		48
Put - OTC Fannie Mae 6.500% due 09/01/2037		94.000	09/06/2007		57,000		7		3
Call - OTC Fannie Mae 5.000% due 09/01/2037		102.438	09/06/2007		244,000		29		2
Put - OTC Fannie Mae 5.500% due 07/01/2037		89.500	07/05/2007		95,000		11		0
						$	192	$	81

(h) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.500	08/24/2007	1,722	$	532	$	700
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	791		220		210
Put - CBOT U.S. Treasury 10-Year Note September Futures		100.000	08/24/2007	1,149		108		18
					$	860	$	928

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	Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.850	%	09/14/2007	GBP	11,000	$	202	$	0
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	09/14/2007		26,000		518		0
Call - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008		12,500		235		10
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	09/14/2007		23,000		463		0
Call - OTC 8-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	09/14/2007		9,000		180		0
Call - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008		18,000		272		15
Call - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008	$	118,000		481		252
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		23,000		206		82
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.150	%	12/20/2007		79,800		1,153		260
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		13,900		168		48
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		34,700		301		175
Call - OTC 5-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		79,200		944		242
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		149,200		1,790		534
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		323,100		4,491		987
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		108,900		992		548
									$	12,396	$	3,153

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Brazilian real	BRL	2.020	07/27/2007	$	38,500	$	208	$	125

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC Fannie Mae 6.000% due 08/01/2037	$	98.984	07/19/2007	$	65,000	$	140	$	171

(i) Restricted securities as of June 30, 2007:

Issuer Description	Coupon	Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Goldman Sachs Group, Inc.	5.250%	06/01/2016	11/03/2006	$	4,343	$	4,399	0.19%

(j) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
Fannie Mae	5.000	%	07/01/2037	$	244,000	$	233,204	$	228,636
Fannie Mae	6.000	%	07/01/2037		61,000		60,180		60,342
U.S. Treasury Bonds	4.750	%	02/15/2037		3,600		3,498		3,410
U.S. Treasury Bonds	6.250	%	08/15/2023		1,900		2,071		2,158
U.S. Treasury Notes	3.000	%	02/15/2009		100		97		98
U.S. Treasury Notes	4.125	%	05/15/2015		5,500		5,141		5,223
U.S. Treasury Notes	4.250	%	11/15/2013		31,850		30,640		30,864
U.S. Treasury Notes	4.250	%	11/15/2014		2,000		1,888		1,924
U.S. Treasury Notes	4.500	%	02/15/2016		48,000		45,741		47,192
U.S. Treasury Notes	4.625	%	11/15/2016		65,600		63,826		64,050
U.S. Treasury Notes	4.625	%	02/15/2017		42,400		40,782		41,893
U.S. Treasury Notes	4.875	%	08/15/2016		239,300		235,082		241,402
U.S. Treasury Notes	5.125	%	05/15/2016		32,000		31,840		32,475
						$	753,990	$	759,667

⁽²⁾ Market value includes $7,790 of interest payable on short sales.

(k) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	65,180	07/2007	$	84	$	0		$	84
Buy	BRL	29,726	07/2007		360		0			360
Sell		29,726	07/2007		170		0			170
Buy		49,535	10/2007		1,296		(14	)		1,282
Sell		18,793	10/2007		0		(3	)		(3	)
Buy		44,019	03/2008		425		(189	)		236
Sell	CAD	573	07/2007		3		0			3
Buy		22,348	08/2007		93		0			93
Buy	CLP	479,200	03/2008		0		(3	)		(3	)
Buy	CNY	90,741	08/2007		230		0			230
Buy		225,538	09/2007		286		0			286
Buy		105,305	11/2007		21		0			21
Buy		223,948	01/2008		0		(205	)		(205	)
Sell		21,966	01/2008		0		(3	)		(3	)
Buy		250,607	03/2008		0		(291	)		(291	)
Buy	DKK	49,697	09/2007		30		0			30
Buy	EUR	588,127	07/2007		7,695		0			7,695
Buy	GBP	73,704	08/2007		731		0			731
Buy	INR	1,312	10/2007		0		0			0
Buy		5,506	11/2007		0		(1	)		(1	)
Buy	JPY	65,328,716	07/2007		3		(7,399	)		(7,396	)
Sell		3,192,518	07/2007		108		(26	)		82
Buy	KRW	5,046,108	07/2007		11		0			11
Buy		7,676,078	08/2007		25		(1	)		24
Buy	MXN	225,120	03/2008		549		(5	)		544
Sell		153,483	03/2008		0		(244	)		(244	)
Buy	MYR	94,948	09/2007		40		0			40
Buy		29,653	05/2008		0		(212	)		(212	)
Buy	NOK	37,909	09/2007		110		0			110
Buy	NZD	20,655	07/2007		488		0			488
Sell		118,773	07/2007		0		(1,440	)		(1,440	)
Buy	PLN	390	09/2007		5		0			5
Buy	RUB	1,195,204	01/2008		805		0			805
Buy	SEK	149,662	09/2007		262		0			262
Buy	SGD	482	07/2007		0		(3	)		(3	)
Buy		3,682	08/2007		0		(42	)		(42	)
Buy		219	09/2007		0		(1	)		(1	)
Buy	TWD	93,777	07/2007		25		0			25
Sell		93,777	07/2007		8		0			8
Buy		93,777	08/2007		0		(10	)		(10	)
Buy	ZAR	8,983	09/2007		26		0			26
				$	13,889	$	(10,092	)	$	3,797

See accompanying notes

Schedule of Investments

Fundamental IndexPLUS^TM Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s	)		Value (000s	)
BANK LOAN OBLIGATIONS 1.4%
Allied Waste North America, Inc.
5.320% due 01/15/2012	$	458		$	460
7.060% due 03/28/2014		415			416
7.110% due 03/28/2014		223			224
7.140% due 03/28/2014		152			153
7.150% due 03/28/2014		166			166
Goodyear Tire & Rubber Co.
7.100% due 04/20/2014		1,000			996
HCA, Inc.
7.600% due 11/14/2013		1,795			1,805
Metro-Goldwyn-Mayer, Inc.
8.614% due 04/08/2012		600			602
OAO Rosneft Oil Co.
6.000% due 09/16/2007		1,800			1,803
SLM Corp.
6.000% due 06/30/2008		1,100			1,095
Total Bank Loan Obligations (Cost $7,710)					7,720
CORPORATE BONDS & NOTES 29.9%
Banking & Finance 21.4%
Ajax Re Ltd.
11.610% due 05/08/2009		2,500			2,506
Allstate Life Global Funding Trusts
5.400% due 03/23/2009		500			501
American Express Centurion Bank
5.320% due 05/07/2008		700			700
5.380% due 04/17/2009		900			900
American Express Credit Corp.
5.340% due 12/12/2007		100			100
5.380% due 03/02/2009		10			10
5.380% due 11/09/2009		800			801
American Honda Finance Corp.
5.420% due 03/09/2009		400			401
American International Group, Inc.
5.360% due 06/23/2008		2,400			2,401
5.370% due 06/16/2009		800			803
ANZ National International Ltd.
5.396% due 08/07/2009		700			700
Bank of America Corp.
5.366% due 11/06/2009		400			400
5.370% due 06/19/2009		1,300			1,302
5.450% due 09/18/2009		300			300
Bank of America N.A.
5.360% due 02/27/2009		1,000			1,001
Bank of Ireland
5.370% due 12/19/2008		1,400			1,402
Bank of Scotland
5.860% due 11/22/2012		4,100			4,108
Bear Stearns Cos., Inc.
5.450% due 03/30/2009		800			801
5.480% due 05/18/2010		2,900			2,898
5.505% due 04/29/2008		500			501
5.655% due 01/30/2009		800			802
Caterpillar Financial Services Corp.
5.430% due 03/10/2009		1,200			1,201
CIT Group, Inc.
5.000% due 11/24/2008		100			99
5.430% due 08/24/2007		100			100
5.505% due 01/30/2009		100			100
5.570% due 05/23/2008		800			801
Citigroup Funding, Inc.
5.320% due 04/23/2009		700			700
5.350% due 12/08/2008		200			200
5.360% due 06/26/2009		700			700
Citigroup, Inc.
5.390% due 12/28/2009		2,700			2,702
5.395% due 01/30/2009		1,100			1,101
5.400% due 12/26/2008		2,700			2,702
5.500% due 06/09/2009		200			201
Credit Agricole S.A.
5.360% due 05/28/2009		900			900
5.410% due 05/28/2010		1,000			1,001
DnB NORBank ASA
5.402% due 02/25/2008		1,100			1,095
5.425% due 10/13/2009		800			800
East Lane Re Ltd.
11.355% due 05/06/2011		1,900			1,894
Export-Import Bank of Korea
5.570% due 10/04/2011		1,000			1,001
Ford Motor Credit Co.
5.625% due 10/01/2008		2,800			2,765
5.800% due 01/12/2009		500			490
6.190% due 09/28/2007		300			300
6.625% due 06/16/2008		100			100
Foundation Re II Ltd.
12.110% due 11/26/2010		1,000			1,004
General Electric Capital Corp.
5.385% due 10/26/2009		900			901
5.390% due 03/12/2010		2,500			2,503
5.428% due 01/20/2010		2,700			2,706
General Motors Acceptance Corp.
6.510% due 09/23/2008		400			400
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		400			400
5.410% due 03/30/2009		1,500			1,501
5.440% due 11/16/2009		2,200			2,203
5.447% due 11/10/2008		600			601
5.450% due 12/22/2008		1,000			1,001
5.475% due 10/05/2007		100			100
5.685% due 07/23/2009		200			201
HBOS Treasury Services PLC
5.397% due 07/17/2009		500			501
HSBC Finance Corp.
5.415% due 10/21/2009		600			600
5.440% due 03/12/2010		2,600			2,600
5.490% due 09/15/2008		600			601
6.538% due 11/13/2007		500			502
ICICI Bank Ltd.
5.895% due 01/12/2010		1,400			1,403
International Lease Finance Corp.
5.580% due 05/24/2010		1,200			1,204
John Deere Capital Corp.
5.406% due 04/15/2008		200			200
5.406% due 07/15/2008		200			200
JPMorgan Chase & Co.
5.370% due 06/26/2009		600			601
5.410% due 12/22/2008		1,500			1,502
5.410% due 06/26/2009		2,500			2,504
Lehman Brothers Holdings, Inc.
5.370% due 11/24/2008		100			100
5.440% due 04/03/2009		800			801
5.445% due 10/22/2008		500			501
5.445% due 01/23/2009		600			601
5.460% due 11/16/2009		3,000			3,003
5.579% due 07/18/2011		200			200
MBNA Corp.
5.786% due 05/05/2008		1,000			1,004
Merrill Lynch & Co., Inc.
5.390% due 12/22/2008		800			800
5.395% due 10/23/2008		300			300
5.406% due 05/08/2009		600			600
5.440% due 12/04/2009		1,000			1,001
5.450% due 08/14/2009		1,300			1,301
5.460% due 06/16/2008		1,200			1,201
Metropolitan Life Global Funding I
5.400% due 05/17/2010		1,800			1,801
Morgan Stanley
5.360% due 11/21/2008		700			700
5.406% due 05/07/2009		2,900			2,902
5.467% due 02/09/2009		100			100
5.595% due 01/22/2009		1,200			1,201
5.609% due 01/18/2011		200			200
Mystic Re Ltd.
11.660% due 12/05/2008		1,200			1,193
National Australia Bank Ltd.
5.400% due 09/11/2009		300			300
Osiris Capital PLC
8.206% due 01/15/2010		1,400			1,407
Pricoa Global Funding I
5.435% due 01/25/2008		400			400
5.440% due 06/03/2008		700			701
Residential Capital LLC
6.460% due 05/22/2009		1,100			1,095
Royal Bank of Scotland Group PLC
5.360% due 12/21/2007		200			200
5.405% due 07/21/2008		300			300
Santander U.S. Debt S.A. Unipersonal
5.370% due 09/21/2007		800			800
5.370% due 11/20/2008		300			300
5.420% due 09/19/2008		3,100			3,103
SLM Corp.
5.495% due 07/27/2009		450			439
5.565% due 07/25/2008		1,200			1,192
U.S. Bank N.A.
5.280% due 03/31/2008		4,700			4,701
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		200			200
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		400			401
Wachovia Bank N.A.
5.400% due 03/23/2009		400			400
Wachovia Corp.
5.405% due 10/28/2008		2,100			2,103
Wells Fargo & Co.
5.400% due 03/10/2008		800			801
5.460% due 09/15/2009		600			602
Westpac Banking Corp.
5.280% due 06/06/2008		600			600
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		2,300			2,334
World Savings Bank FSB
5.320% due 05/08/2008		900			900
5.396% due 05/08/2009		1,100			1,101
					114,120
Industrials 5.6%
Amgen, Inc.
5.440% due 11/28/2008		1,900			1,901
Anadarko Petroleum Corp.
5.760% due 09/15/2009		1,300			1,302
BP AMI Leasing, Inc.
5.370% due 06/26/2009		1,800			1,801
Comcast Corp.
5.656% due 07/14/2009		400			400
Constellation Brands, Inc.
8.000% due 02/15/2008		1,300			1,313
CSC Holdings, Inc.
7.250% due 07/15/2008		800			808
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		700			701
5.790% due 03/13/2009		300			301
5.805% due 08/03/2009		200			201
5.840% due 09/10/2007		600			600
Diageo Capital PLC
5.457% due 11/10/2008		500			500
El Paso Corp.
6.500% due 06/01/2008		400			404
7.625% due 08/16/2007		100			101
7.625% due 09/01/2008		300			306
Freeport-McMoRan Copper & Gold, Inc.
8.564% due 04/01/2015		900			945
General Mills, Inc.
5.485% due 01/22/2010		800			800
Harrah’s Operating Co., Inc.
7.500% due 01/15/2009		900			914
Home Depot, Inc.
5.485% due 12/16/2009		900			899
Hospira, Inc.
5.840% due 03/30/2010		1,200			1,204
Mandalay Resort Group
6.500% due 07/31/2009		800			804
9.500% due 08/01/2008		1,335			1,382
10.250% due 08/01/2007		1,800			1,807
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			11
Pemex Project Funding Master Trust
5.960% due 12/03/2012		200			203
7.375% due 12/15/2014		100			109
Reynolds American, Inc.
6.060% due 06/15/2011		200			201
Safeway, Inc.
5.710% due 03/27/2009		700			701
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		600			662
Siemens Financieringsmaatschappij NV
5.410% due 08/14/2009		600			600
Time Warner, Inc.
5.590% due 11/13/2009		5,100			5,108
Transcontinental Gas Pipe Line Corp.
6.636% due 04/15/2008		200			199
Transocean, Inc.
5.560% due 09/05/2008		300			300
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		2,000			2,000
Xerox Corp.
9.750% due 01/15/2009		100			106
					29,695
Utilities 2.9%
America Movil SAB de C.V.
5.460% due 06/27/2008		1,200			1,200
AT&T, Inc.
5.456% due 02/05/2010		500			501
5.570% due 11/14/2008		780			783
BellSouth Corp.
5.485% due 11/15/2007		2,300			2,301
CMS Energy Corp.
7.500% due 01/15/2009		300			309
9.875% due 10/15/2007		200			203
Dominion Resources, Inc.
5.540% due 11/14/2008		2,000			2,003
5.660% due 09/28/2007		2,900			2,901
Entergy Gulf States, Inc.
6.110% due 12/08/2008		200			201
Florida Power Corp.
5.760% due 11/14/2008		100			100
NiSource Finance Corp.
5.930% due 11/23/2009		200			200
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		1,300			1,306
Qwest Corp.
5.625% due 11/15/2008		1,300			1,302
Sierra Pacific Power Co.
8.000% due 06/01/2008		400			409
Southern California Edison Co.
5.455% due 02/02/2009		700			701
Telecom Italia Capital S.A.
5.836% due 02/01/2011		500			502
5.969% due 07/18/2011		400			403
Telefonica Emisones SAU
5.660% due 06/19/2009		400			401
					15,726
Total Corporate Bonds & Notes (Cost $159,406)					159,541
COMMODITY INDEX-LINKED NOTES 0.2%
Morgan Stanley
0.000% due 07/07/2008		1,000			994
Total Commodity Index-Linked Notes (Cost $1,000)					994
U.S. GOVERNMENT AGENCIES 6.5%
Fannie Mae
3.736% due 07/01/2034		35			36
4.368% due 11/01/2034		94			94
4.387% due 07/01/2034		48			48
4.400% due 10/01/2034		38			38
4.417% due 05/01/2035		103			103
4.480% due 07/01/2035		269			267
4.510% due 05/01/2035		110			110
4.520% due 09/01/2035		134			133
4.560% due 11/01/2035		201			200
4.614% due 09/01/2035		445			441
4.688% due 12/01/2033		112			111
4.990% due 06/01/2035		430			427
5.000% due 09/01/2020 - 05/01/2021		799			773
5.380% due 12/25/2036		543			542
5.420% due 01/25/2021		1,064			1,063
5.670% due 09/25/2042		154			155
5.720% due 05/25/2031		193			194
6.214% due 06/01/2043 - 07/01/2044		913			926
6.973% due 11/01/2035		48			50
Freddie Mac
4.367% due 09/01/2035		199			197
4.590% due 09/01/2035		261			259
4.706% due 06/01/2035		284			277
4.712% due 08/01/2035		386			381
5.000% due 04/15/2012 - 07/15/2024		2,946			2,935
5.470% due 07/15/2019 - 10/15/2020		17,200			17,185
5.550% due 07/15/2037		6,300			6,299
5.580% due 08/25/2031		52			52
5.670% due 12/15/2030		48			49
5.720% due 06/15/2018		31			31
6.000% due 07/01/2037		1,000			991
6.227% due 02/25/2045		131			130
Ginnie Mae
4.000% due 07/16/2027		8			8
Total U.S. Government Agencies (Cost $34,532)					34,505
MORTGAGE-BACKED SECURITIES 8.6%
Arkle Master Issuer PLC
5.300% due 11/19/2007		1,000			1,000
Arran Residential Mortgages Funding PLC
5.340% due 04/12/2036		667			667
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		331			327
Bear Stearns Alt-A Trust
5.480% due 02/25/2034		852			853
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		1,566			1,567
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		190			190
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		73			73
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		304			300
5.480% due 02/25/2047		2,031			2,028
5.500% due 05/25/2047		644			646
5.600% due 02/25/2037		466			467
6.029% due 02/25/2036		1,746			1,757
Countrywide Home Loan Mortgage Pass-Through Trust
5.560% due 04/25/2035		65			65
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.400% due 02/25/2037		3,673			3,675
GMAC Mortgage Corp. Loan Trust
4.998% due 11/19/2035		71			71
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		782			782
5.400% due 01/25/2047		964			965
5.590% due 11/25/2045		35			35
GS Mortgage Securities Corp. II
5.420% due 06/06/2020		856			857
Harborview Mortgage Loan Trust
5.410% due 01/19/2038		476			477
5.510% due 01/19/2038		617			618
5.540% due 05/19/2035		71			71
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		495			496
Indymac Index Mortgage Loan Trust
5.410% due 11/25/2046		311			311
5.420% due 01/25/2037		403			403
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		66			66
Mellon Residential Funding Corp.
5.760% due 12/15/2030		390			391
Merrill Lynch Floating Trust
5.390% due 06/15/2022		2,757			2,761
Morgan Stanley Capital I
5.380% due 10/15/2020		571			572
Structured Asset Mortgage Investments, Inc.
5.450% due 03/25/2037		1,834			1,834
5.600% due 02/25/2036		75			75
Structured Asset Securities Corp.
5.329% due 10/25/2035		369			368
5.370% due 05/25/2036		835			836
TBW Mortgage-Backed Pass-Through Certificates
5.430% due 01/25/2037		3,256			3,259
Thornburg Mortgage Securities Trust
5.430% due 04/25/2036		903			904
5.430% due 12/25/2036		1,703			1,703
5.440% due 08/25/2036		494			494
Wachovia Bank Commercial Mortgage Trust
5.400% due 06/15/2020		1,400			1,400
5.410% due 09/15/2021		3,430			3,432
Washington Mutual, Inc.
5.510% due 04/25/2045		121			121
5.590% due 12/25/2045		44			44
5.610% due 10/25/2045		47			47
5.724% due 10/25/2046		549			551
5.724% due 12/25/2046		2,974			2,982
5.759% due 01/25/2047		442			442
5.960% due 12/25/2027		1,601			1,602
6.029% due 02/25/2046		3,281			3,287
6.223% due 05/25/2041		26			26
6.229% due 11/25/2042		129			129
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		170			168
Total Mortgage-Backed Securities (Cost $46,158)					46,195
ASSET-BACKED SECURITIES 24.0%
ACE Securities Corp.
5.370% due 12/25/2036		376			376
5.380% due 05/25/2036		170			170
5.380% due 10/25/2036		298			299
5.400% due 10/25/2036		146			146
5.430% due 10/25/2035		34			34
Argent Securities, Inc.
5.400% due 01/25/2036		109			109
Asset-Backed Funding Certificates
5.380% due 11/25/2036		640			641
5.380% due 01/25/2037		678			679
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		513			514
5.370% due 12/25/2036		928			928
5.595% due 09/25/2034		80			80
Bank One Issuance Trust
5.430% due 12/15/2010		6,600			6,611
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		924			924
5.400% due 10/25/2036		412			412
5.520% due 09/25/2034		11			11
Carrington Mortgage Loan Trust
5.370% due 01/25/2037		3,751			3,753
5.385% due 02/25/2036		64			64
5.470% due 09/25/2035		174			174
5.640% due 10/25/2035		1,550			1,555
Chase Credit Card Master Trust
5.430% due 02/15/2011		1,300			1,303
Chase Issuance Trust
5.310% due 07/15/2011		1,300			1,301
5.330% due 12/15/2010		3,000			3,003
5.330% due 02/15/2011		2,300			2,302
Citibank Credit Card Issuance Trust
5.526% due 02/07/2010		5,300			5,309
Citigroup Mortgage Loan Trust, Inc.
5.370% due 11/25/2036		747			747
5.380% due 01/25/2037		1,291			1,292
5.390% due 01/25/2036		1,063			1,064
Countrywide Asset-Backed Certificates
5.370% due 01/25/2037		244			244
5.370% due 05/25/2037		9,809			9,814
5.370% due 03/25/2047		191			191
5.380% due 03/25/2037		293			293
5.390% due 06/25/2037		780			781
5.400% due 06/25/2037		707			707
5.430% due 10/25/2046		206			206
Credit-Based Asset Servicing & Securitization LLC
5.380% due 11/25/2036		737			737
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		324			324
First Franklin Mortgage Loan Asset-Backed Certificates
5.360% due 01/25/2038		1,644			1,645
5.370% due 11/25/2036		1,146			1,147
5.370% due 12/25/2036		714			715
5.380% due 06/25/2036		813			814
5.390% due 12/25/2037		3,554			3,556
5.410% due 11/25/2036		35			35
Fremont Home Loan Trust
5.370% due 10/25/2036		2,287			2,287
5.380% due 01/25/2037		662			662
5.390% due 02/25/2037		158			158
GS Auto Loan Trust
5.344% due 07/15/2008		1,300			1,300
GSAMP Trust
5.360% due 10/25/2046		505			506
5.390% due 09/25/2036		173			173
5.390% due 12/25/2036		907			908
5.430% due 11/25/2035		5			5
GSR Mortgage Loan Trust
5.420% due 11/25/2030		16			16
Harley-Davidson, Inc.
5.310% due 05/15/2008		4,472			4,476
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		1,266			1,267
Home Equity Mortgage Trust
5.430% due 02/25/2036		7			7
HSI Asset Securitization Corp. Trust
5.370% due 10/25/2036		1,748			1,747
5.370% due 12/25/2036		506			506
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		103			103
Indymac Residential Asset-Backed Trust
5.380% due 04/25/2037		553			553
5.400% due 07/25/2037		1,700			1,699
5.420% due 03/25/2036		15			15
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		122			122
5.370% due 10/25/2036		3,761			3,757
5.390% due 11/25/2036		779			780
Lehman XS Trust
5.390% due 05/25/2046		325			326
Long Beach Mortgage Loan Trust
5.350% due 06/25/2036		1,127			1,128
5.360% due 11/25/2036		2,702			2,704
5.400% due 02/25/2036		45			45
5.410% due 01/25/2036		58			58
5.500% due 08/25/2035		270			271
5.600% due 10/25/2034		25			25
MASTR Asset-Backed Securities Trust
5.380% due 11/25/2036		977			978
MBNA Credit Card Master Note Trust
5.420% due 12/15/2011		2,100			2,105
5.440% due 08/16/2010		2,100			2,103
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		534			535
5.390% due 08/25/2036		2,993			2,993
Morgan Stanley ABS Capital I
5.350% due 06/25/2036		586			586
5.360% due 10/25/2036		221			221
5.370% due 10/25/2036		373			373
5.370% due 11/25/2036		1,675			1,675
5.380% due 05/25/2037		3,421			3,421
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		580			580
Nelnet Student Loan Trust
5.340% due 09/25/2012		549			549
Newcastle Mortgage Securities Trust
5.390% due 03/25/2036		260			260
Nissan Auto Lease Trust
5.347% due 12/14/2007		15			15
Option One Mortgage Loan Trust
5.360% due 02/25/2037		1,207			1,208
5.370% due 07/25/2036		421			421
5.370% due 01/25/2037		985			986
5.420% due 11/25/2035		23			23
Park Place Securities, Inc.
5.580% due 09/25/2035		412			413
5.632% due 10/25/2034		391			392
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		754			755
5.400% due 10/25/2036		305			305
5.420% due 08/25/2046		3,097			3,099
5.430% due 09/25/2035		21			21
Residential Asset Securities Corp.
5.360% due 08/25/2036		114			114
5.380% due 10/25/2036		622			622
5.390% due 11/25/2036		1,144			1,144
Residential Funding Mortgage Securities II, Inc.
5.440% due 05/25/2037		1,826			1,827
5.460% due 09/25/2035		35			35
Saxon Asset Securities Trust
5.380% due 11/25/2036		131			131
SBI HELOC Trust
5.490% due 08/25/2036		146			146
Securitized Asset-Backed Receivables LLC Trust
5.370% due 09/25/2036		685			686
5.380% due 12/25/2036		1,247			1,248
5.440% due 05/25/2037		1,300			1,300
SLC Student Loan Trust
5.313% due 02/15/2015		1,200			1,200
SLM Student Loan Trust
5.325% due 07/25/2013		3,615			3,618
5.335% due 04/25/2012		260			260
5.355% due 01/25/2016		207			207
5.355% due 10/25/2016		1,300			1,301
5.365% due 01/26/2015		22			22
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		178			178
5.380% due 06/25/2036		155			155
5.380% due 12/25/2036		764			765
5.400% due 01/25/2037		3,320			3,322
5.420% due 12/25/2035		11			11
5.420% due 10/25/2036		477			477
5.430% due 11/25/2035		8			8
Specialty Underwriting & Residential Finance
5.365% due 11/25/2037		766			766
5.380% due 01/25/2038		1,568			1,568
Structured Asset Securities Corp.
5.420% due 07/25/2035		45			45
5.450% due 12/25/2035		58			58
Wachovia Auto Owner Trust
4.820% due 02/20/2009		14			14
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		1,976			1,977
5.440% due 12/25/2035		241			241
Total Asset-Backed Securities (Cost $128,023)					128,077
SOVEREIGN ISSUES 0.0%
Korea Development Bank
5.640% due 11/22/2012		100			101
Total Sovereign Issues (Cost $100)					101
FOREIGN CURRENCY-DENOMINATED ISSUES 0.2%
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	100,000			817
Total Foreign Currency-Denominated Issues (Cost $841)					817
SHORT-TERM INSTRUMENTS 28.6%
Certificates of Deposit 6.4%
Bank of Ireland
5.400% due 01/15/2010	$	3,200			3,203
Barclays Bank PLC
5.281% due 03/17/2008		4,000			4,001
BNP Paribas
5.262% due 05/28/2008		700			700
Calyon Financial, Inc.
5.340% due 01/16/2009		1,400			1,400
Fortis Bank NY
5.265% due 06/30/2008		1,800			1,801
5.500% due 09/30/2008		1,600			1,600
HSBC Bank USA N.A.
5.176% due 07/28/2008		100			100
Nordea Bank Finland PLC
5.267% due 03/31/2008		300			300
5.308% due 05/28/2008		700			701
5.308% due 04/09/2009		2,000			2,001
Royal Bank of Canada
5.262% due 06/30/2008		1,900			1,902
Royal Bank of Scotland Group PLC
5.262% due 07/03/2008		4,100			4,100
5.265% due 03/26/2008		300			300
Skandinav Enskilda BK
5.272% due 08/21/2008		500			500
5.350% due 02/13/2009		1,100			1,101
Societe Generale NY
5.270% due 03/26/2008		1,900			1,900
5.271% due 03/28/2008		300			300
5.271% due 06/30/2008		3,000			3,001
Unicredito Italiano NY
5.360% due 12/03/2007		1,100			1,101
5.360% due 05/29/2008		4,300			4,302
					34,314
Commercial Paper 21.0%
Bank of America Corp.
5.215% due 10/04/2007		6,100			6,022
5.260% due 10/04/2007		5,200			5,126
Calyon N.A. LLC
5.175% due 06/29/2010		8,200			8,192
Danske Corp.
5.170% due 10/12/2007		5,200			5,120
Fortis Funding LLC
5.275% due 09/05/2007		12,000			11,951
Freddie Mac
4.800% due 07/02/2007		12,000			12,000
Natixis S.A.
5.240% due 09/21/2007		14,600			14,547
Societe Generale NY
5.226% due 11/26/2007		9,500			9,452
5.250% due 11/26/2007		600			592
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		1,200			1,200
UBS Finance Delaware LLC
5.245% due 10/23/2007		23,200			22,939
Westpac Banking Corp.
5.230% due 11/05/2007		14,900			14,846
					111,987
Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 07/02/2007		1,137			1,137
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $1,160. Repurchase proceeds are $1,137.)
U.S. Treasury Bills 1.0%
4.562% due 08/30/2007 - 09/13/2007 (a)(b)(d)		5,415			5,360
Total Short-Term Instruments (Cost $152,802)					152,798
Purchased Options (f) 0.0% (Cost $300)					146
Total Investments (c) 99.4% (Cost $530,872)				$	530,894
Written Options (g) (0.0%) (Premiums $285)					(148	)
Other Assets and Liabilities (Net) 0.6%					3,528
Net Assets 100.0%				$	534,274

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 $2,720 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(c) As of June 30, 2007, portfolio securities with an aggregate value of $35,091 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $1,400 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Euribor December Futures	Long	12/2007	6	$	(9	)
90-Day Euribor December Futures	Long	12/2008	3		(7	)
90-Day Euribor June Futures	Long	06/2008	4		(9	)
90-Day Euribor March Futures	Long	03/2008	2		(4	)
90-Day Euribor September Futures	Long	09/2008	3		(7	)
90-Day Eurodollar December Futures	Long	12/2007	506		(632	)
90-Day Eurodollar December Futures	Long	12/2008	114		(46	)
90-Day Eurodollar June Futures	Long	06/2008	642		(653	)
90-Day Eurodollar March Futures	Long	03/2008	485		(563	)
90-Day Eurodollar March Futures	Long	03/2009	12		(18	)
90-Day Eurodollar September Futures	Long	09/2008	101		(39	)
90-Day Euroyen December Futures	Long	12/2007	95		(9	)
E-mini S&P 500 Index September Futures	Long	09/2007	15		(9	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	306		330
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	19		(34	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	162		(237	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	13		(17	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	13		(27	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	146		(225	)
				$	(2,215	)

(e) Swap agreements outstanding on June 30, 2007:

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	%	09/20/2007	JPY	10,000	$	0
Bank of America	DaimlerChrysler N.A. Holding Corp. 6.500% due 11/15/2013	Sell	0.210	%	03/20/2008	$	900		1
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		1,000		9
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		(1	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		2,000		6
Barclays Bank PLC	Multiple Reference Entities of Gazprom	Sell	0.740	%	01/20/2012		800		9
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 6.500% due 11/15/2013	Sell	0.200	%	03/20/2008		600		0
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 6.500% due 11/15/2013	Sell	0.225	%	03/20/2008		1,900		2
Credit Suisse First Boston	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.180	%	11/20/2007		1,100		0
Credit Suisse First Boston	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.220	%	03/20/2009		1,000		1
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	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.140	%	06/20/2008		2,000		(1	)
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.130	%	06/20/2008		2,000		(1	)
Deutsche Bank AG	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.120	%	06/20/2008		800		0
Deutsche Bank AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.120	%	06/20/2008		2,000		(1	)
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		8
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		700		3
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.065	%	06/20/2008		3,100		1
HSBC Bank USA	Russia Government International Bond 7.500% 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		3
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.520	%	05/20/2009		1,000		0
JPMorgan Chase & Co.	Morgan Stanley 6.600% due 04/01/2012	Sell	0.100	%	12/20/2007		3,100		(1	)
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.350	%	06/20/2008		1,000		2
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 7.500% due 03/31/2030	Sell	0.310	%	12/20/2008		500		0
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.320	%	03/20/2009		1,600		3
Lehman Brothers, Inc.	Residential Capital LLC 6.500% due 04/17/2013	Sell	1.150	%	06/20/2009		3,000		(35	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		1,300		10
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.250	%	09/20/2007		200		1
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.250	%	11/20/2007		1,900		1
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.420	%	11/20/2007		1,100		1
Morgan Stanley	Russia Government International Bond 7.500% 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		1
UBS Warburg LLC	Morgan Stanley 6.600% due 04/01/2012	Sell	0.065	%	12/20/2007		1,400		(1	)
								$	35

⁽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	7.000	%	12/15/2009	AUD	1,300	$	(1	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	2,400		14
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		600		4
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		1,500		10
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		800		16
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		900		16
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	200		(2	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		2,700		54
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		16,200		(94	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		300		(3	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		600		(6	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		200		(2	)
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	9,900		(279	)
Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,200		211
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		2,700		229
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		200		(14	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		1,800		(26	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	190,000		(4	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		1,320,000		(7	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		300,000		(4	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		100,000		0
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		1,750,000		(25	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	24,400		11
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		6,400		(49	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		10,500		(83	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		2,200		(14	)
								$	(48	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.350%	10/15/2007	592,475	$	(1,548	)
Credit Suisse First Boston	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.350%	10/15/2007	914,530		(468	)
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	10/15/2007	1,553,392		(1,540	)
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	05/15/2008	634,693		1,274
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	07/15/2008	317,787		(855	)
						$	(3,137	)

(f) Purchased options outstanding on June 30, 2007:

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	%	08/08/2007	$	6,000	$	26	$	0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		7,100		36		14
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		14,000		40		4
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		2,300		13		3
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		18,000		41		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		2,000		10		3
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		7,200		26		14
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		31,700		108		108
									$	300	$	146

(g) Written options outstanding on June 30, 2007:

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	4.950	%	09/26/2008	$	3,100	$	37	$	16
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		3,000		37		6
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		1,000		12		3
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		3,000		35		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	08/08/2007		2,000		23		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		1,000		12		4
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		3,100		25		15
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		10,600		104		104
									$	285	$	148

(h) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	1,589	07/2007	$	9	$	0		$	9
Sell		21	07/2007		0		0			0
Buy	BRL	24,313	10/2007		635		0			635
Buy		7,942	03/2008		278		0			278
Buy	CAD	669	08/2007		3		0			3
Buy	CNY	192	09/2007		0		0			0
Sell		192	09/2007		0		0			0
Buy		6,624	11/2007		7		0			7
Sell		6,624	11/2007		1		(2	)		(1	)
Buy		604	01/2008		0		(1	)		(1	)
Sell		604	01/2008		0		0			0
Buy	EUR	2,456	07/2007		32		0			32
Sell	GBP	1,635	08/2007		0		(17	)		(17	)
Buy	IDR	3,528,000	05/2008		0		(17	)		(17	)
Buy	INR	13,890	10/2007		1		0			1
Buy		119,279	05/2008		29		0			29
Sell	JPY	165,470	07/2007		19		0			19
Sell	KRW	95,256	07/2007		0		0			0
Buy		37,836	08/2007		0		0			0
Buy		1,850,745	09/2007		4		0			4
Buy	MXN	26,011	03/2008		18		0			18
Buy	MYR	3,690	05/2008		0		(17	)		(17	)
Buy	NZD	237	07/2007		5		0			5
Buy	PHP	39,051	05/2008		0		(11	)		(11	)
Buy	PLN	5,777	09/2007		28		0			28
Buy	RUB	5,200	11/2007		5		0			5
Buy		10,067	12/2007		9		0			9
Buy		71,244	01/2008		17		0			17
Buy	SGD	4,286	07/2007		0		(15	)		(15	)
Sell		121	07/2007		1		0			1
Buy		4,176	10/2007		14		0			14
				$	1,115	$	(80	)	$	1,035

Schedule of Investments

Fundamental IndexPLUS^TM TR Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.3%
Discovery Communications, Inc.
7.360% due 05/16/2014	$	2,000	$	2,011
HCA, Inc.
7.600% due 11/14/2013		2,494		2,507
Idearc, Inc.
7.360% due 11/09/2014		2,494		2,507
SLM Corp.
6.000% due 06/30/2008		1,400		1,393
Tell Group PLC
7.071% due 08/09/2011		24		24
Total Bank Loan Obligations (Cost $8,405)				8,442
CORPORATE BONDS & NOTES 23.8%
Banking & Finance 19.2%
AIG-Fp Matched Funding Corp.
5.360% due 06/16/2008		1,100		1,102
Allstate Life Global Funding Trusts
5.400% due 03/23/2009		600		601
American Express Centurion Bank
5.380% due 04/17/2009		4,200		4,201
American Express Credit Corp.
5.380% due 11/09/2009		400		400
American International Group, Inc.
5.050% due 10/01/2015		100		95
5.360% due 06/23/2008		3,500		3,501
5.370% due 06/16/2009		1,300		1,305
ANZ National International Ltd.
5.396% due 08/07/2009		2,200		2,200
Bank of America Corp.
5.366% due 11/06/2009		600		600
5.370% due 09/25/2009		2,200		2,202
5.450% due 09/18/2009		200		200
Bank of America N.A.
5.355% due 07/25/2008		1,600		1,601
5.360% due 06/12/2009		800		800
6.000% due 10/15/2036		300		291
Bank of Ireland
5.410% due 12/18/2009		3,100		3,106
Bear Stearns Cos., Inc.
5.505% due 04/29/2008		3,400		3,405
C10 Capital SPV Ltd.
6.722% due 12/31/2049		800		781
Calabash Re II Ltd.
13.760% due 01/08/2010		1,600		1,614
14.960% due 01/08/2010		1,600		1,673
CIT Group, Inc.
5.480% due 08/17/2009		300		299
5.505% due 01/30/2009		600		599
5.510% due 08/15/2008		1,000		1,000
5.510% due 12/19/2008		500		500
Citigroup Funding, Inc.
5.350% due 12/08/2008		200		200
5.360% due 06/26/2009		900		900
Citigroup, Inc.
5.390% due 12/28/2009		500		500
5.400% due 12/26/2008		3,600		3,603
DnB NORBank ASA
5.402% due 02/25/2008		1,500		1,493
5.425% due 10/13/2009		1,000		1,001
Export-Import Bank of China
4.875% due 07/21/2015		100		95
Ford Motor Credit Co.
6.625% due 06/16/2008		22,400		22,390
Foundation Re II Ltd.
12.110% due 11/26/2010		1,400		1,406
General Electric Capital Corp.
5.385% due 10/26/2009		500		500
5.390% due 01/05/2009		1,800		1,802
GMAC LLC
6.000% due 12/15/2011		200		190
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		500		500
5.410% due 03/30/2009		3,600		3,603
5.440% due 11/16/2009		1,300		1,301
5.450% due 06/23/2009		1,100		1,101
5.455% due 07/29/2008		700		701
5.685% due 07/23/2009		300		302
HBOS PLC
5.920% due 09/29/2049		100		94
HSBC Finance Corp.
5.415% due 10/21/2009		800		800
5.490% due 09/15/2008		300		301
HSBC Holdings PLC
6.500% due 05/02/2036		1,900		1,959
ICICI Bank Ltd.
5.895% due 01/12/2010		1,800		1,804
John Deere Capital Corp.
5.406% due 04/15/2008		600		600
5.406% due 07/15/2008		700		701
JPMorgan Chase & Co.
5.370% due 06/26/2009		800		801
5.410% due 06/26/2009		2,200		2,203
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		100		97
Lehman Brothers Holdings, Inc.
5.370% due 11/24/2008		2,200		2,201
5.410% due 12/23/2008		200		200
5.440% due 04/03/2009		600		601
5.460% due 11/16/2009		1,900		1,902
5.500% due 05/25/2010		100		100
5.570% due 12/23/2010		900		901
5.607% due 11/10/2009		500		502
MBNA Corp.
5.786% due 05/05/2008		4,465		4,483
Merrill Lynch & Co., Inc.
5.440% due 12/04/2009		1,400		1,401
5.450% due 08/14/2009		1,900		1,902
MetLife, Inc.
6.400% due 12/15/2036		400		372
Morgan Stanley
5.360% due 11/21/2008		900		900
5.467% due 02/09/2009		700		701
5.595% due 01/22/2009		2,600		2,602
Mystic Re Ltd.
11.660% due 12/05/2008		1,500		1,491
National Australia Bank Ltd.
5.400% due 09/11/2009		800		801
Petroleum Export Ltd.
5.265% due 06/15/2011		83		81
Pricoa Global Funding I
5.435% due 01/25/2008		1,300		1,301
RBS Capital Trust III
5.512% due 09/29/2049		1,200		1,155
Resona Bank Ltd.
5.850% due 09/29/2049		200		192
Royal Bank of Scotland Group PLC
5.360% due 12/21/2007		1,200		1,201
5.750% due 07/06/2012		1,700		1,700
Santander U.S. Debt S.A. Unipersonal
5.370% due 11/20/2008		500		500
5.420% due 09/19/2008		5,000		5,005
SLM Corp.
5.495% due 07/27/2009		600		585
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		1,000		967
State Street Capital Trust IV
6.355% due 06/15/2037		200		201
TNK-BP Finance S.A.
6.125% due 03/20/2012		200		196
USB Capital IX
6.189% due 04/15/2049		200		202
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		900		902
Wachovia Corp.
5.405% due 10/28/2008		1,300		1,302
Wells Fargo & Co.
5.400% due 03/10/2008		3,400		3,403
Westpac Banking Corp.
5.280% due 06/06/2008		800		800
World Savings Bank FSB
5.396% due 05/08/2009		2,200		2,201
ZFS Finance USA Trust I
5.875% due 05/09/2032		500		494
				126,472
Industrials 3.4%
Anadarko Petroleum Corp.
5.760% due 09/15/2009		3,900		3,905
C8 Capital SPV Ltd.
6.640% due 12/31/2049		5,100		5,026
CODELCO, Inc.
6.150% due 10/24/2036		100		100
Comcast Corp.
5.875% due 02/15/2018		300		291
6.450% due 03/15/2037		300		290
DaimlerChrysler N.A. Holding Corp.
5.790% due 03/13/2009		200		201
Gaz Capital for Gazprom
6.212% due 11/22/2016		200		195
HJ Heinz Co.
6.428% due 12/01/2008		100		101
Peabody Energy Corp.
7.875% due 11/01/2026		400		416
Pemex Project Funding Master Trust
5.750% due 12/15/2015		400		393
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		400		442
Siemens Financieringsmaatschappij NV
5.410% due 08/14/2009		1,100		1,100
Time Warner, Inc.
5.590% due 11/13/2009		4,100		4,106
5.875% due 11/15/2016		2,100		2,046
Transocean, Inc.
5.560% due 09/05/2008		700		701
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		2,700		2,700
Williams Cos., Inc.
6.375% due 10/01/2010		700		705
				22,718
Utilities 1.2%
Dominion Resources, Inc.
5.540% due 11/14/2008		2,800		2,804
Florida Power Corp.
5.760% due 11/14/2008		3,300		3,306
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		600		581
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		250		233
Southern California Edison Co.
5.455% due 02/02/2009		800		801
				7,725
Total Corporate Bonds & Notes (Cost $157,093)				156,915
MUNICIPAL BONDS & NOTES 0.0%
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		285		281
Total Municipal Bonds & Notes (Cost $285)				281
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley
0.000% due 07/07/2008		2,000		1,989
Total Commodity Index-Linked Notes (Cost $2,000)				1,989
U.S. GOVERNMENT AGENCIES 43.1%
Fannie Mae
4.350% due 03/01/2035		323		326
4.400% due 10/01/2034		342		342
4.423% due 07/01/2034		1,270		1,258
4.438% due 01/01/2035		1,445		1,423
4.498% due 07/01/2035		1,451		1,442
4.500% due 08/01/2035		1,914		1,890
4.525% due 09/01/2035		868		862
4.555% due 07/01/2035		1,135		1,129
4.615% due 09/01/2035		2,002		1,983
4.665% due 10/01/2035		768		763
4.668% due 12/01/2033		770		776
4.673% due 05/25/2035		200		197
4.689% due 12/01/2033		581		578
4.833% due 06/01/2035		1,969		1,951
4.986% due 06/01/2035		1,934		1,921
5.000% due 06/25/2027 - 03/01/2036		29,778		28,023
5.380% due 12/25/2036		724		723
5.500% due 07/01/2035 - 08/01/2037		82,704		79,787
5.670% due 09/25/2042		1,132		1,138
6.000% due 05/01/2035 - 07/01/2037		102,602		101,585
6.133% due 07/01/2044		273		276
6.183% due 06/01/2043		1,008		1,022
6.903% due 11/01/2035		385		398
Freddie Mac
4.367% due 09/01/2035		850		841
4.500% due 10/15/2022		1,319		1,311
4.705% due 06/01/2035		2,198		2,151
4.712% due 08/01/2035		1,804		1,783
4.810% due 10/01/2035		1,303		1,299
4.913% due 11/01/2034		1,240		1,230
5.000% due 04/15/2012 - 01/15/2024		2,066		2,060
5.470% due 07/15/2019 - 10/15/2020		24,000		23,979
5.500% due 07/01/2037		5,000		4,823
5.550% due 07/15/2037		8,400		8,399
5.580% due 08/25/2031		270		271
5.720% due 06/15/2018		187		187
6.000% due 07/01/2037		5,000		4,954
6.227% due 02/25/2045		131		131
Ginnie Mae
4.000% due 07/16/2027		48		48
6.000% due 07/01/2037		1,000		995
Total U.S. Government Agencies (Cost $287,204)				284,255
U.S. TREASURY OBLIGATIONS 0.2%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2026		937		849
2.375% due 01/15/2025		548		527
Total U.S. Treasury Obligations (Cost $1,448)				1,376
MORTGAGE-BACKED SECURITIES 7.0%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		330		323
Arkle Master Issuer PLC
5.300% due 11/19/2007		2,300		2,301
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		1,787		1,767
Bear Stearns Alt-A Trust
5.480% due 02/25/2034		1,162		1,162
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		340		334
4.900% due 12/25/2035		729		728
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		2,381		2,349
5.500% due 05/25/2047		828		830
5.600% due 02/25/2037		3,569		3,578
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		237		235
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		622		617
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.400% due 02/25/2037		4,572		4,575
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		1,129		1,130
5.400% due 01/25/2047		1,253		1,254
GS Mortgage Securities Corp. II
5.420% due 06/06/2020		1,172		1,173
GSR Mortgage Loan Trust
4.538% due 09/25/2035		2,089		2,059
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		707		708
Indymac Index Mortgage Loan Trust
5.167% due 01/25/2036		1,029		1,035
5.410% due 11/25/2046		699		699
5.420% due 01/25/2037		537		538
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		743		739
Mellon Residential Funding Corp.
5.760% due 12/15/2030		2,865		2,878
Merrill Lynch Floating Trust
5.390% due 06/15/2022		4,357		4,364
Structured Adjustable Rate Mortgage Loan Trust
5.340% due 08/25/2034		1,260		1,259
6.429% due 01/25/2035		736		740
Structured Asset Mortgage Investments, Inc.
5.600% due 02/25/2036		376		376
TBW Mortgage-Backed Pass-Through Certificates
5.430% due 01/25/2037		184		184
Thornburg Mortgage Securities Trust
5.430% due 04/25/2036		1,354		1,356
5.430% due 12/25/2036		1,107		1,107
5.440% due 08/25/2036		1,566		1,565
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		2,211		2,212
Washington Mutual, Inc.
5.610% due 10/25/2045		140		140
6.223% due 05/25/2041		186		188
6.229% due 11/25/2042		193		193
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		1,359		1,341
Total Mortgage-Backed Securities (Cost $46,037)				46,037
ASSET-BACKED SECURITIES 15.5%
ACE Securities Corp.
5.370% due 12/25/2036		451		452
5.400% due 10/25/2036		512		513
5.430% due 10/25/2035		224		224
Asset-Backed Funding Certificates
5.380% due 11/25/2036		925		926
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		742		742
5.595% due 09/25/2034		262		262
Bank One Issuance Trust
5.430% due 12/15/2010		7,800		7,813
5.440% due 09/15/2010		5,859		5,867
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		1,386		1,386
5.400% due 10/25/2036		494		494
5.520% due 09/25/2034		54		54
Carrington Mortgage Loan Trust
5.470% due 09/25/2035		295		295
Chase Credit Card Master Trust
5.430% due 02/15/2011		1,800		1,804
Chase Issuance Trust
5.310% due 07/15/2011		1,800		1,801
Chase Manhattan Auto Owner Trust
5.280% due 10/15/2009		1,412		1,413
Citigroup Mortgage Loan Trust, Inc.
5.370% due 11/25/2036		373		374
Countrywide Asset-Backed Certificates
5.370% due 05/25/2037		7,915		7,920
5.370% due 03/25/2047		638		638
5.380% due 03/25/2037		952		953
5.390% due 06/25/2037		1,127		1,128
5.400% due 06/25/2037		972		972
5.430% due 10/25/2046		687		688
Credit-Based Asset Servicing & Securitization LLC
5.380% due 03/25/2036		199		199
5.380% due 11/25/2036		983		983
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		810		810
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		1,637		1,638
5.370% due 12/25/2036		1,072		1,072
5.380% due 06/25/2036		2,502		2,504
Fremont Home Loan Trust
5.370% due 10/25/2036		3,465		3,465
5.380% due 01/25/2037		828		828
5.390% due 02/25/2037		422		422
GSAMP Trust
5.390% due 09/25/2036		635		635
5.430% due 11/25/2035		27		27
GSR Mortgage Loan Trust
5.420% due 11/25/2030		157		158
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		950		950
Home Equity Asset Trust
5.430% due 02/25/2036		529		529
5.440% due 01/25/2036		744		744
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		674		675
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		111		111
Indymac Residential Asset-Backed Trust
5.380% due 04/25/2037		789		790
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		304		304
5.370% due 10/25/2036		4,987		4,982
5.390% due 11/25/2036		260		260
Lehman XS Trust
5.390% due 05/25/2046		418		419
Long Beach Mortgage Loan Trust
5.350% due 06/25/2036		1,708		1,709
5.360% due 11/25/2036		3,937		3,940
5.410% due 01/25/2036		346		347
5.500% due 08/25/2035		390		391
5.600% due 10/25/2034		67		68
MBNA Credit Card Master Note Trust
5.420% due 12/15/2011		2,900		2,907
5.440% due 08/16/2010		3,150		3,155
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		748		749
5.390% due 08/25/2036		4,099		4,099
Morgan Stanley ABS Capital I
5.350% due 06/25/2036		859		859
5.360% due 10/25/2036		442		442
5.370% due 10/25/2036		522		522
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		797		797
Nelnet Student Loan Trust
5.340% due 09/25/2012		784		785
Nissan Auto Lease Trust
5.347% due 12/14/2007		18		18
Option One Mortgage Loan Trust
5.360% due 02/25/2037		1,704		1,705
5.370% due 07/25/2036		632		632
Park Place Securities, Inc.
5.632% due 10/25/2034		1,209		1,212
Residential Asset Mortgage Products, Inc.
5.400% due 10/25/2036		915		916
5.430% due 09/25/2035		129		129
Residential Asset Securities Corp.
5.380% due 10/25/2036		1,797		1,798
5.390% due 11/25/2036		920		920
Residential Funding Mortgage Securities II, Inc.
5.460% due 09/25/2035		124		124
Saxon Asset Securities Trust
5.380% due 11/25/2036		392		392
SBI HELOC Trust
5.490% due 08/25/2036		510		511
SLM Student Loan Trust
5.325% due 07/25/2013		4,637		4,640
5.365% due 01/26/2015		170		170
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		534		535
5.400% due 01/25/2037		4,547		4,550
5.430% due 11/25/2035		49		49
Specialty Underwriting & Residential Finance
5.365% due 11/25/2037		1,114		1,114
Structured Asset Securities Corp.
5.370% due 10/25/2036		961		961
5.420% due 07/25/2035		113		113
5.420% due 09/25/2035		581		581
5.450% due 12/25/2035		423		423
Wachovia Auto Owner Trust
4.820% due 02/20/2009		74		74
Wells Fargo Home Equity Trust
5.440% due 12/25/2035		723		723
Total Asset-Backed Securities (Cost $102,249)				102,284
SOVEREIGN ISSUES 0.0%
China Development Bank
5.000% due 10/15/2015		100		96
Total Sovereign Issues (Cost $99)				96
FOREIGN CURRENCY-DENOMINATED ISSUES 0.0%
Brazilian Government International Bond
10.250% due 01/10/2028 BRL		600		347
Total Foreign Currency-Denominated Issues (Cost $364)				347
		Shares
PREFERRED STOCKS 0.4%
DG Funding Trust
7.600% due 12/31/2049		243		2,532
Total Preferred Stocks (Cost $2,585)				2,532
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 21.2%
Certificates of Deposit 5.5%
BNP Paribas
5.262% due 07/03/2008	$	5,200		5,199
5.390% due 05/28/2008		1,000		1,000
Calyon Financial, Inc.
5.330% due 01/16/2009		1,900		1,900
5.395% due 06/29/2010		300		300
HSBC Bank USA N.A.
4.280% due 07/28/2008		3,100		3,105
Nordea Bank Finland PLC
5.262% due 03/31/2008		700		700
5.308% due 05/28/2008		1,000		1,001
Royal Bank of Canada
5.420% due 06/30/2008		2,600		2,602
Royal Bank of Scotland Group PLC
5.290% due 03/26/2008		900		900
5.290% due 07/03/2008		1,200		1,200
Skandinav Enskilda BK
5.272% due 08/21/2008		4,200		4,200
Societe Generale NY
5.270% due 03/26/2008		6,500		6,500
Unicredito Italiano NY
5.358% due 05/06/2008		5,100		5,101
5.360% due 05/29/2008		2,500		2,501
				36,209
Commercial Paper 12.6%
Cox Communications, Inc.
5.570% due 09/17/2007		300		300
Danske Corp.
5.235% due 10/12/2007		26,000		25,743
Freddie Mac
4.800% due 07/02/2007		14,000		14,000
Societe Generale NY
5.210% due 11/26/2007		12,100		11,971
5.225% due 11/26/2007		800		788
UBS Finance Delaware LLC
5.230% due 10/23/2007		19,300		19,216
5.235% due 10/23/2007		1,100		1,089
Westpac Banking Corp.
5.230% due 11/05/2007		10,200		10,163
				83,270
Repurchase Agreements 0.7%
State Street Bank and Trust Co.
4.900% due 07/02/2007		4,741		4,741
(Dated 06/29/2007. Collateralized by Fannie Mae 3.250% - 6.000% due 07/25/2008 - 04/18/2036 valued at $582; Federal Home Loan Bank 3.750% - 4.375% due 10/19/2007 - 09/17/2010 valued at $4,231; and Freddie Mac 4.000% due 06/12/2013 valued at $23. Repurchase proceeds are $4,743.)
U.S. Treasury Bills 2.4%
4.560% due 08/30/2007 - 09/13/2007 (a)(c)(e)		15,805		15,643
Total Short-Term Instruments (Cost $139,886)				139,863
Purchased Options (g) 0.1% (Cost $2,093)				854
Total Investments (d) 112.9% (Cost $749,748)			$	745,271
Written Options (h) (0.1%) (Premiums $2,125)				(959	)
Other Assets and Liabilities (Net) (12.8%)				(84,243	)
Net Assets 100.0%			$	660,069

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 $7,174 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $36,349 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $3,516 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	97	$	(138	)
90-Day Euribor December Futures	Long	12/2008	38		(85	)
90-Day Euribor June Futures	Long	06/2008	94		(201	)
90-Day Euribor March Futures	Long	03/2008	41		(81	)
90-Day Euribor September Futures	Long	09/2008	88		(90	)
90-Day Eurodollar December Futures	Long	12/2007	564		(482	)
90-Day Eurodollar December Futures	Long	12/2008	496		(316	)
90-Day Eurodollar June Futures	Long	06/2008	1,362		(1,369	)
90-Day Eurodollar March Futures	Long	03/2008	1,505		(1,477	)
90-Day Eurodollar March Futures	Long	03/2009	38		(55	)
90-Day Eurodollar September Futures	Long	09/2008	413		(230	)
90-Day Euroyen December Futures	Long	12/2007	368		(105	)
Euro-Bund 10-Year Note September Futures	Short	09/2007	13		(9	)
S&P 500 Index September Futures	Long	09/2007	4		(16	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	56		24
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	169		238
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	57		(123	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	7		(12	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	129		(204	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	73		(129	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	31		(66	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	91		(155	)
				$	(5,081	)

(f) Swap agreements outstanding on June 30, 2007:

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	%	09/20/2007	JPY	29,000	$	3
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	$	2,000		17
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.240	%	11/20/2007		2,700		1
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009		5,600		1
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		200		0
Credit Suisse First Boston	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009		5,780		5
Credit Suisse First Boston	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.270	%	03/20/2009		600		0
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.063	%	12/20/2007		1,400		(1	)
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.063	%	12/20/2007		1,300		(1	)
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		1,000		5
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		500		0
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		9,000		69
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		4,500		27
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		600		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		0
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.240	%	11/20/2007		2,600		1
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.500	%	11/20/2007		2,800		4
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		300		0
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		78
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	04/20/2016		300		20
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.250	%	09/20/2007		700		3
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.290	%	11/20/2007		5,600		4
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009		3,800		13
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009		3,000		3
								$	257

(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	7.000	%	12/15/2009	AUD	1,800	$	(1	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	3,000		17
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		800		6
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		1,900		13
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		1,100		22
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		2,700		50
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	200		(2	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		2,400		30
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	5.000	%	12/19/2009		4,700		(2	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		3,400		70
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	12/19/2017		1,100		(6	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		1,800		(13	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		400		(4	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		800		(8	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		1,700		(18	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		400		(4	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		500		(5	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	4,600		(45	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		2,700		(48	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		300		71
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		500		(12	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		2,700		(27	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,400		113
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		5,400		(127	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		13,600		(43	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		900		51
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		5,100		(124	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,000		211
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		500		47
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		2,300		(34	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		3,800		(14	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,900		415
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		300		15
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	240,000		(5	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		1,770,000		(9	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		390,000		(6	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/19/2008		4,300,000		(12	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		130,000		(1	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		3,480,000		(57	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016	MXN	2,200		11
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012		8,200		(7	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	39,100		(28	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		3,200		30
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		6,500		(7	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		43,200		(93	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		211,800		305
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		10,000		(43	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		10,100		124
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		34,500		(39	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		14,800		(116	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		6,700		(44	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		43,200		(99	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		141,300		(1,763	)
								$	(1,265	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.350%	10/15/2007	1,019,623	$	(542	)
Credit Suisse First Boston	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.350%	10/15/2007	1,215,708		(622	)
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	10/15/2007	2,293,371		(1,137	)
Merrill Lynch & Co., Inc.	Short	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	10/15/2007	758,246		(281	)
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	05/15/2008	594,295		1,259
Merrill Lynch & Co., Inc.	Long	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	07/15/2008	658,273		(1,771	)
						$	(3,094	)

(g) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar September Futures	$	90.250	09/17/2007	238	$	2	$	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	%	07/02/2007	EUR	3,000	$	14	$	0
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	3.960	%	07/02/2007		8,000		46		0
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.100	%	07/02/2007		7,000		39		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Pay	3.960	%	07/02/2007		6,000		29		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	08/08/2007	$	14,000		57		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		6,000		26		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		39,000		187		77
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.250	%	08/08/2007		12,000		11		10
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		18,000		52		5
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	08/08/2007		17,000		38		0
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		9,200		51		11
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		57,100		202		112
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		20,000		52		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		30,000		68		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/08/2007		47,000		60		0
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		7
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		38,800		192		62
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		66,300		391		82
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		11,000		44		22
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		18,000		64		41
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		66,900		234		227
									$	1,917	$	656

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	103.800	03/17/2010	$	1,000	$	43	$	77
Put - OTC U.S. dollar versus Japanese yen		103.800	03/17/2010		1,000		44		25
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		1,000		42		67
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		1,000		42		28
						$	171	$	197

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 09/01/2037	$	86.500	09/06/2007	$	20,000	$	3	$	1

(h) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.000	08/24/2007	183	$	59	$	111
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	101		31		27
Call - CBOT U.S. Treasury 10-Year Note September Futures		108.000	08/24/2007	24		5		3
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	33		4		2
Put - CBOT U.S. Treasury 10-Year Note September Futures		104.000	08/24/2007	139		54		30
Put - CBOT U.S. Treasury 10-Year Note September Futures		105.000	08/24/2007	203		79		95
					$	232	$	268

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	%	07/02/2007	EUR	1,000	$	12	$	0
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.100	%	07/02/2007		4,000		55		0
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.230	%	07/02/2007		3,000		39		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Receive	4.100	%	07/02/2007		3,000		34		0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007	$	6,000		53		0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		16,500		184		83
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.570	%	08/08/2007		3,000		12		13
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		4,000		50		8
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	08/08/2007		3,000		41		0
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		4,000		49		12
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		25,100		207		127
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	07/02/2007		4,400		47		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		9,000		60		1
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		5,000		58		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	08/08/2007		2,000		23		0
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		9
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		17,000		204		61
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		18,900		251		58
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		10,000		123		34
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		4,500		40		23
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		6,000		62		43
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		22,300		225		219
									$	1,893	$	691

(i) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
U.S. Treasury Notes	4.500	%	05/15/2017	$	13,700	$	13,123	$	13,237
U.S. Treasury Notes	4.625	%	02/15/2017		2,100		2,042		2,072
						$	15,165	$	15,309

⁽²⁾ Market value includes $136 of interest payable on short sales.

(j) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	2,557	07/2007	$	16	$	0		$	16
Sell		29	07/2007		0		(1	)		(1	)
Buy	BRL	15,321	10/2007		251		0			251
Buy		16,391	03/2008		581		0			581
Buy	CAD	1,637	08/2007		7		0			7
Buy	CNY	576	09/2007		2		0			2
Sell		576	09/2007		0		0			0
Buy		8,910	11/2007		9		0			9
Sell		8,910	11/2007		1		(2	)		(1	)
Buy		3,997	01/2008		0		(4	)		(4	)
Sell		3,997	01/2008		0		0			0
Buy	EUR	923	07/2007		12		0			12
Sell	GBP	2,001	08/2007		0		(21	)		(21	)
Buy	IDR	4,321,800	05/2008		0		(20	)		(20	)
Buy	INR	28,347	10/2007		3		0			3
Buy		181,849	05/2008		41		0			41
Sell	JPY	378,259	07/2007		44		0			44
Buy	KRW	870,856	07/2007		6		0			6
Sell		117,005	07/2007		0		(1	)		(1	)
Buy		157,459	08/2007		0		0			0
Buy		1,096,668	09/2007		3		0			3
Buy	MXN	5,089	09/2007		7		0			7
Buy		26,810	03/2008		20		0			20
Buy	MYR	5,224	05/2008		0		(22	)		(22	)
Buy	NZD	331	07/2007		6		0			6
Buy	PHP	71,974	05/2008		0		(20	)		(20	)
Buy	PLN	5,034	09/2007		26		(1	)		25
Buy		1,257	03/2008		6		0			6
Buy	RUB	11,686	09/2007		6		0			6
Buy		11,662	11/2007		11		0			11
Buy		34,363	12/2007		31		0			31
Buy		69,617	01/2008		12		0			12
Buy	SEK	1,702	09/2007		3		0			3
Buy	SGD	4,638	07/2007		0		(19	)		(19	)
Sell		2,731	07/2007		0		(11	)		(11	)
Buy		840	08/2007		3		(1	)		2
Buy		5,175	10/2007		14		(1	)		13
				$	1,121	$	(124	)	$	997

See accompanying notes

Schedule of Investments

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

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
AUSTRALIA 0.1%
BHP Billiton Finance Ltd.
5.125% due 03/29/2012	$	200	$	196
Medallion Trust
5.585% due 07/12/2031		107		107
Total Australia (Cost $303)				303
BELGIUM 0.2%
Belgium Government Bond
7.500% due 07/29/2008	EUR	250		349
Total Belgium (Cost $233)				349
CANADA 0.1%
Rogers Wireless, Inc.
7.625% due 12/15/2011	CAD	300		305
Total Canada (Cost $252)				305
CAYMAN ISLANDS 1.2%
Mizuho Finance Cayman Ltd.
8.375% due 12/29/2049	$	700		731
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		800		787
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	300		381
Residential Reinsurance 2007 Ltd.
13.110% due 06/07/2010	$	500		501
SHL Corp. Ltd.
1.448% due 12/25/2024	JPY	802		7
Total Cayman Islands (Cost $2,403)				2,407
DENMARK 1.0%
Nordea Kredit Realkreditaktieselskab
6.000% due 07/01/2029	DKK	33		6
Nykredit Realkredit A/S
6.000% due 10/01/2029		215		40
Realkredit Danmark A/S
5.000% due 10/01/2038		12,244		2,098
Total Denmark (Cost $2,156)				2,144
FRANCE 9.5%
Axa S.A.
3.750% due 01/01/2017	EUR	50		97
Credit Agricole S.A.
5.410% due 05/28/2010	$	900		901
6.637% due 05/29/2049		500		484
France Government Bond
4.000% due 10/25/2009	EUR	2,260		3,025
4.000% due 04/25/2014		9,300		12,178
4.000% due 10/25/2014		700		914
4.750% due 04/25/2035		100		135
5.750% due 10/25/2032		1,300		2,015
Total France (Cost $19,172)				19,749
GERMANY 21.8%
LRP Landesbank Rheinland-Pfalz
4.750% due 04/04/2008	EUR	210		285
Republic of Germany
3.500% due 10/09/2009		1,000		1,325
4.000% due 07/04/2009		100		134
4.250% due 01/04/2014		3,800		5,055
4.250% due 07/04/2014		6,900		9,167
4.750% due 07/04/2034		700		953
5.000% due 01/04/2012		100		138
5.250% due 07/04/2010		1,300		1,795
5.250% due 01/04/2011		6,600		9,136
5.500% due 01/04/2031		1,500		2,248
5.625% due 01/04/2028		4,740		7,153
6.250% due 01/04/2024		600		955
6.500% due 07/04/2027		4,340		7,206
Total Germany (Cost $46,304)				45,550
ICELAND 0.4%
Glitnir Banki HF
5.829% due 01/18/2012	$	400		403
Kaupthing Bank HF
5.750% due 10/04/2011		200		199
Landsbanki Islands HF
6.060% due 08/25/2009		200		202
Total Iceland (Cost $801)				804
IRELAND 1.4%
Atlas Reinsurance PLC
7.922% due 01/10/2010	EUR	2,000		2,747
Emerald Mortgages PLC
4.372% due 01/15/2035		48		66
Lusitano Mortgages PLC
4.425% due 12/15/2035		120		163
Total Ireland (Cost $2,805)				2,976
ITALY 1.9%
Italy Buoni Poliennali Del Tesoro
4.500% due 05/01/2009	EUR	1,280		1,733
5.500% due 11/01/2010		400		557
Siena Mortgages SpA
4.377% due 12/16/2038		1,305		1,773
Total Italy (Cost $3,864)				4,063
JAPAN 20.8%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	200		258
Japan Government Bond
1.400% due 09/20/2011	JPY	270,000		2,197
1.500% due 03/20/2011		910,000		7,449
1.500% due 03/20/2014		160,000		1,288
1.500% due 03/20/2015		100,000		799
1.600% due 06/20/2014		600,000		4,855
1.600% due 09/20/2014		240,000		1,938
2.300% due 06/20/2035		440,000		3,479
2.400% due 03/20/2034		180,000		1,459
2.500% due 09/20/2035		440,000		3,628
2.500% due 06/20/2036		320,000		2,628
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		89,910		708
1.000% due 02/28/2016		60,000		485
1.000% due 06/10/2016		300,300		2,387
1.100% due 12/10/2016		834,960		6,698
1.200% due 03/10/2017		99,700		806
1.200% due 06/10/2017		120,240		970
Resona Bank Ltd.
5.850% due 09/29/2049	$	500		479
Sumitomo Mitsui Banking Corp.
1.518% due 12/31/2049	JPY	100,000		817
5.625% due 07/29/2049	$	100		95
Total Japan (Cost $47,146)				43,423
JERSEY, CHANNEL ISLANDS 0.3%
Haus Ltd.
4.139% due 12/10/2037	EUR	500		678
Total Jersey, Channel Islands (Cost $483)				678
KOREA 0.5%
Export-Import Bank of Korea
5.450% due 06/01/2009	$	1,000		1,001
Total Korea (Cost $1,000)				1,001
LIBERIA 0.1%
Royal Caribbean Cruises Ltd.
8.000% due 05/15/2010	$	100		105
Total Liberia (Cost $105)				105
MEXICO 0.0%
Pemex Project Funding Master Trust
8.850% due 09/15/2007	$	40		40
Total Mexico (Cost $40)				40
NETHERLANDS 1.7%
Delphinus BV
4.272% due 04/25/2093	EUR	500		680
4.385% due 11/28/2031		393		533
4.429% due 06/25/2066		172		234
Dutch Mortgage-Backed Securities BV
4.202% due 10/02/2079		969		1,317
Holland Euro-Denominated Mortgage-Backed Series
4.245% due 04/18/2012		104		141
Netherlands Government Bond
3.750% due 07/15/2014		200		257
5.000% due 07/15/2011		200		275
Siemens Financieringsmaatschappij NV
5.410% due 08/14/2009	$	200		200
Total Netherlands (Cost $3,356)				3,637
RUSSIA 0.1%
VTB Capital S.A. for Vneshtorgbank
6.110% due 09/21/2007	$	200		200
Total Russia (Cost $200)				200
SPAIN 1.7%
Hipotebansa Mortgage Securitization Fund
4.151% due 07/18/2022	EUR	160		216
Spain Government Bond
4.200% due 07/30/2013		400		531
5.150% due 07/30/2009		1,990		2,727
Total Spain (Cost $2,542)				3,474
TUNISIA 0.2%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	300		370
Total Tunisia (Cost $363)				370
UNITED KINGDOM 4.3%
Bauhaus Securities Ltd.
4.325% due 10/30/2052	EUR	254		345
Dolerite Funding PLC
5.640% due 08/20/2032	$	31		31
HBOS PLC
5.920% due 09/29/2049		800		751
HSBC Holdings PLC
6.500% due 05/02/2036		900		928
Lloyds TSB Bank PLC
5.625% due 07/15/2049	EUR	590		811
Royal Bank of Scotland Group PLC
5.360% due 12/21/2007	$	600		600
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		100		92
United Kingdom Gilt
4.000% due 03/07/2009	GBP	60		117
5.000% due 03/07/2008		800		1,600
5.000% due 03/07/2012		900		1,756
8.000% due 09/27/2013		790		1,778
XL Capital Europe PLC
6.500% due 01/15/2012	$	200		205
Total United Kingdom (Cost $8,583)				9,014
UNITED STATES 88.7%
Asset-Backed Securities 1.7%
AFC Home Equity Loan Trust
6.030% due 12/22/2027	$	18		18
American Express Credit Account Master Trust
5.430% due 09/15/2010		1,000		1,001
Amortizing Residential Collateral Trust
5.670% due 10/25/2031		13		13
Amresco Residential Securities Mortgage Loan Trust
6.260% due 06/25/2029		9		9
Bear Stearns Asset-Backed Securities, Inc.
5.650% due 10/25/2032		8		8
5.770% due 03/25/2043		29		29
CS First Boston Mortgage Securities Corp.
5.940% due 01/25/2032		12		12
First Alliance Mortgage Loan Trust
5.550% due 12/20/2027		52		52
First NLC Trust
5.440% due 02/25/2036		17		17
GSAMP Trust
5.430% due 11/25/2035		5		4
5.610% due 03/25/2034		166		166
MBNA Credit Card Master Note Trust
5.450% due 05/17/2010		1,000		1,001
Quest Trust
5.880% due 06/25/2034		21		21
Renaissance Home Equity Loan Trust
5.820% due 12/25/2033		50		50
Residential Asset Mortgage Products, Inc.
5.880% due 06/25/2032		12		12
Residential Asset Securities Corp.
5.410% due 01/25/2036		40		40
5.820% due 07/25/2032		43		43
SLM Student Loan Trust
5.365% due 04/27/2015		420		420
Structured Asset Securities Corp.
5.720% due 05/25/2034		39		40
Wells Fargo Home Equity Trust
5.550% due 10/25/2035		710		711
				3,667
Bank Loan Obligations 0.5%
OAO Rosneft Oil Co.
6.000% due 09/16/2007		1,000		1,002
Corporate Bonds & Notes 10.8%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		100		100
American International Group, Inc.
4.875% due 03/15/2067	EUR	300		385
6.250% due 03/15/2037	$	100		95
Amgen, Inc.
5.440% due 11/28/2008		500		500
AutoZone, Inc.
5.875% due 10/15/2012		100		100
BAE Systems Holdings, Inc.
6.400% due 12/15/2011		200		206
Bank of America Corp.
5.366% due 11/06/2009		500		500
Bank of America N.A.
5.360% due 06/12/2009		1,000		1,001
BellSouth Corp.
4.240% due 04/26/2008		1,300		1,289
5.200% due 09/15/2014		200		192
Boston Scientific Corp.
5.450% due 06/15/2014		100		94
6.000% due 06/15/2011		200		199
6.400% due 06/15/2016		300		292
CenterPoint Energy, Inc.
5.875% due 06/01/2008		200		200
Charter One Bank N.A.
5.405% due 04/24/2009		1,000		1,001
CIT Group, Inc.
5.480% due 08/17/2009		600		598
Citigroup Funding, Inc.
5.320% due 04/23/2009		1,200		1,201
CNA Financial Corp.
6.000% due 08/15/2011		300		301
ConocoPhillips Australia Funding Co.
5.460% due 04/09/2009		1,000		1,001
Consumers Energy Co.
5.000% due 02/15/2012		100		97
CVS Caremark Corp.
5.750% due 08/15/2011		200		200
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		500		501
5.750% due 09/08/2011		100		100
5.840% due 09/10/2007		400		400
DR Horton, Inc.
6.000% due 04/15/2011		200		195
Ford Motor Credit Co.
8.105% due 01/13/2012		500		499
Freeport-McMoRan Copper & Gold, Inc.
8.564% due 04/01/2015		100		105
General Electric Capital Corp.
5.400% due 12/12/2008		300		301
General Motors Acceptance Corp.
6.000% due 04/01/2011		500		482
6.510% due 09/23/2008		400		400
Genworth Financial, Inc.
1.600% due 06/20/2011	JPY	90,000		724
GMAC LLC
6.610% due 05/15/2009	$	500		500
Goldman Sachs Group, Inc.
5.250% due 06/01/2016 (h)	CAD	500		458
HJ Heinz Finance Co.
6.000% due 03/15/2012	$	200		201
HSBC Finance Corp.
5.450% due 06/19/2009		500		501
International Lease Finance Corp.
5.350% due 03/01/2012		200		198
JPMorgan & Co., Inc.
2.991% due 02/15/2012		100		104
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	200		182
JPMorgan Chase Capital XXII
6.450% due 02/02/2037	$	200		191
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		300		290
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038		700		709
Merrill Lynch & Co., Inc.
5.450% due 08/14/2009		100		100
Mizuho JGB Investment LLC
9.870% due 12/31/2049		400		424
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		300		309
Morgan Stanley
5.406% due 05/07/2009		500		500
5.809% due 10/18/2016		200		200
Reynolds American, Inc.
6.060% due 06/15/2011		200		201
Sabre Holdings Corp.
7.350% due 08/01/2011		200		195
Sara Lee Corp.
6.250% due 09/15/2011		200		204
SB Treasury Co. LLC
9.400% due 12/29/2049		900		931
Sealed Air Corp.
5.625% due 07/15/2013		200		197
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		300		313
Toyota Motor Credit Corp.
5.330% due 10/12/2007		800		800
U.S. Bancorp
5.350% due 04/28/2009		600		601
Viacom, Inc.
5.750% due 04/30/2011		200		200
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		500		500
Xerox Corp.
9.750% due 01/15/2009		200		212
				22,480
Mortgage-backed Securities 4.2%
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		404		396
Bear Stearns Alt-A Trust
5.824% due 11/25/2036		847		849
5.959% due 02/25/2036		708		710
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		300		317
Countrywide Home Loan Mortgage Pass-Through Trust
5.700% due 09/25/2034		186		186
CS First Boston Mortgage Securities Corp.
6.500% due 04/25/2033		26		26
GMAC Commercial Mortgage Securities, Inc.
6.420% due 05/15/2035		609		613
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		276		273
Greenpoint Mortgage Funding Trust
5.590% due 11/25/2045		35		35
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		1,000		1,001
GSR Mortgage Loan Trust
5.354% due 06/25/2034		202		203
Impac CMB Trust
6.120% due 07/25/2033		35		35
JPMorgan Chase Commercial Mortgage Securities Corp.
6.465% due 11/15/2035		600		618
MLCC Mortgage Investors, Inc.
5.700% due 03/15/2025		67		67
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		23		23
Sequoia Mortgage Trust
5.670% due 07/20/2033		315		317
Structured Asset Mortgage Investments, Inc.
5.610% due 07/19/2034		67		67
Wachovia Bank Commercial Mortgage Trust
5.572% due 10/15/2048		800		783
Washington Mutual, Inc.
5.094% due 10/25/2032		25		25
5.474% due 02/27/2034		126		124
5.630% due 01/25/2045		163		163
5.860% due 12/25/2027		451		452
6.223% due 05/25/2041		43		43
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		934		922
5.254% due 04/25/2036		552		551
				8,799
Municipal Bonds & Notes 0.6%
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		388
Louisville & Jefferson Counties, Kentucky Metro Sewer District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		100		103
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		200		199
New York State Tobacco Settlement Financing Corporations Revenue Notes, Series 2003
5.250% due 06/01/2013		400		404
				1,195
	Shares
Preferred Stocks 0.9%
DG Funding Trust
7.600% due 12/31/2049		172		1,792
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		200		202
				1,994
		Principal Amount (000s)
Commodity Index-linked Notes 0.5%
Morgan Stanley
0.000% due 07/07/2008	$	1,000		994
U.S. Government Agencies 65.2%
Fannie Mae
4.190% due 11/01/2034		650		645
4.946% due 12/01/2034		241		238
5.000% due 08/01/2035		1,271		1,195
5.420% due 01/25/2021		301		301
5.500% due 10/01/2016 - 07/01/2037		76,303		73,723
5.570% due 06/25/2044		116		116
6.000% due 07/01/2036 - 07/25/2044		47,991		47,479
6.470% due 09/25/2012		1,000		1,050
6.500% due 09/01/2036 - 07/01/2037		6,356		6,418
Federal Home Loan Bank
5.750% due 08/15/2011		1,000		1,018
Freddie Mac
6.227% due 10/25/2044		541		546
Ginnie Mae
4.750% due 07/20/2022 - 09/20/2025		116		117
5.125% due 11/20/2021 - 11/20/2026		19		19
5.250% due 01/20/2030		46		46
5.375% due 05/20/2028 - 06/20/2030		111		112
5.380% due 05/20/2030		72		73
5.750% due 09/20/2026		1		1
5.920% due 02/16/2030		86		88
5.970% due 02/16/2030		86		87
6.000% due 08/20/2034		589		562
6.125% due 11/20/2026 - 12/20/2026		29		30
6.130% due 12/20/2025		1		1
Small Business Administration
6.640% due 02/01/2011		99		101
Tennessee Valley Authority
5.880% due 04/01/2036		1,000		1,044
7.140% due 05/23/2012		1,000		1,079
				136,089
U.S. Treasury Obligations 4.3%
U.S. Treasury Bonds
8.125% due 08/15/2019		2,000		2,530
8.875% due 02/15/2019		4,900		6,482
				9,012
Total United States (Cost $186,700)				185,232
SHORT-TERM INSTRUMENTS 6.3%
Certificates of Deposit 1.9%
Countrywide Funding Corp.
5.350% due 08/16/2007		900		900
Nordea Bank Finland PLC
5.282% due 12/01/2008		1,000		1,000
5.308% due 04/09/2009		2,000		2,001
				3,901
Commercial Paper 0.9%
Freddie Mac
4.800% due 07/02/2007		2,000		2,000
Repurchase Agreements 1.9%
State Street Bank and Trust Co.
4.900% due 07/02/2007		3,929		3,929
(Dated 06/29/2007. Collateralized by Fannie Mae 3.250% due 08/15/2008 valued at $4,009. Repurchase proceeds are $3,931.)
U.S. Treasury Bills 1.6%
4.590% due 08/30/2007 - 09/13/2007 (a)(b)(d)		3,315		3,280
Total Short-Term Instruments (Cost $13,113)				13,110
Purchased Options (f) 0.8% (Cost $2,528)				1,652
Total Investments (c) 163.1% (Cost $344,452)			$	340,586
Written Options (g) (0.2%) (Premiums $1,063)				(385	)
Other Assets and Liabilities (Net) (62.9%)				(131,420	)
Net Assets 100.0%			$	208,781

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 $1,484 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(c) As of June 30, 2007, portfolio securities with an aggregate value of $7,055 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $1,796 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Euribor September Futures	Long	09/2008	8	$	(1	)
90-Day Eurodollar June Futures	Long	06/2008	53		(52	)
90-Day Eurodollar March Futures	Long	03/2008	1,118		(190	)
90-Day Eurodollar September Futures	Long	09/2007	16		(16	)
90-Day Eurodollar September Futures	Long	09/2008	112		46
90-Day Euroyen December Futures	Long	12/2007	254		(62	)
Euro-Bobl 5-Year Note September Futures	Long	09/2007	43		14
Euro-Bund 10-Year Note September Futures	Long	09/2007	259		(136	)
Euro-Bund 10-Year Note September Futures Put Options Strike @ EUR 104.000	Long	09/2007	28		0
Euro-Bund 10-Year Note September Futures Put Options Strike @ EUR 106.000	Long	09/2007	190		2
Japan Government 10-Year Bond September Futures	Long	09/2007	18		(58	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	80		(43	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	13		15
United Kingdom 10-Year Note September Futures	Short	09/2007	44		4
				$	(477	)

(e) Swap agreements outstanding on June 30, 2007:

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 iTraxx Europe HV6 Index	Buy	(0.850%)	12/20/2016	EUR	1,300	$	(1	)
BNP Paribas Bank	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850%)	12/20/2016		500		0
Deutsche Bank AG	Akzo Nobel NV 4.250% due 06/14/2011	Buy	(0.290%)	06/20/2012		200		(1	)
Deutsche Bank AG	Kelda Group PLC 6.625% DUE 04/17/2031	Buy	(0.210%)	06/20/2012		200		0
Deutsche Bank AG	United Utilities PLC 6.875% due 08/15/2028	Buy	(0.235%)	06/20/2012		200		1
Deutsche Bank AG	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850%)	12/20/2016		1,100		(2	)
Goldman Sachs & Co.	ICI Wilmington, Inc. 5.625% due 12/01/2013	Buy	(0.340%)	06/20/2012		200		0
Goldman Sachs & Co.	Koninklijke DSM NV 4.000% due 11/10/2015	Buy	(0.365%)	06/20/2012		200		(1	)
Goldman Sachs & Co.	SCA Finans AB 4.500% due 07/15/2015	Buy	(0.250%)	06/20/2012		200		0
Goldman Sachs & Co.	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850%)	12/20/2016		100		0
HSBC Bank USA	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850%)	12/20/2016		100		0
JPMorgan Chase & Co.	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850%)	12/20/2016		700		(1	)
Merrill Lynch & Co., Inc.	Compass Group PLC 6.375% due 05/29/2012	Buy	(0.390%)	06/20/2012		200		0
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300%	09/20/2007	JPY	59,000		2
Bank of America	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.150%	06/20/2008	$	600		0
Bank of America	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.150%	06/20/2008		600		0
Bank of America	Royal Caribbean Cruises Ltd. 8.000% due 05/15/2010	Buy	(0.480%)	06/20/2010		100		0
Bank of America	DR Horton, Inc. 6.000% due 04/15/2011	Buy	(0.890%)	06/20/2011		200		3
Bank of America	BHP Billiton Finance Ltd. 5.125% due 03/29/2012	Buy	(0.135%)	03/20/2012		200		0
Bank of America	Consumers Energy Co. 5.000% due 02/15/2012	Buy	(0.090%)	03/20/2012		100		1
Bank of America	Loews Corp. 8.875% due 04/15/2011	Buy	(0.120%)	06/20/2012		100		0
Bank of America	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.459%)	06/20/2012		100		(1	)
Bank of America	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.452%)	06/20/2012		100		(1	)
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650%)	12/20/2016		6,200		68
Bank of America	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.485%)	06/20/2017		400		(1	)
Bank of America	DR Horton, Inc. 5.375% due 06/15/2012	Buy	(1.600%)	06/20/2017		100		4
Barclays Bank PLC	XL Capital Europe PLC 6.500% due 01/15/2012	Buy	(0.310%)	03/20/2012		200		0
Barclays Bank PLC	American Electric Power Co., Inc. 5.250% due 06/01/2015	Buy	(0.100%)	06/20/2012		100		0
Barclays Bank PLC	Capital One Bank 5.125% due 02/15/2014	Buy	(0.160%)	06/20/2012		500		2
Barclays Bank PLC	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530%)	06/20/2012		100		0
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650%)	12/20/2016		300		3
Barclays Bank PLC	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.895%)	06/20/2017		100		1
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470%)	06/20/2011		200		(1	)
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440%)	09/20/2011		100		0
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370%)	03/20/2012		200		0
Bear Stearns & Co., Inc.	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230%)	06/20/2012		100		0
Citibank N.A.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680%)	12/20/2012		100		(2	)
Citibank N.A.	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.550%)	06/20/2017		100		0
Credit Suisse First Boston	CenterPoint Energy, Inc. 5.875% due 06/01/2008	Buy	(0.170%)	06/20/2008		200		0
Credit Suisse First Boston	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530%)	06/20/2012		100		0
Credit Suisse First Boston	Sealed Air Corp. 5.625% due 07/15/2013	Buy	(0.500%)	09/20/2013		200		0
Credit Suisse First Boston	Dow Jones CDX N.A. IG8 Index	Buy	(0.600%)	06/20/2017		3,000		6
Deutsche Bank AG	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.160%	06/20/2008		300		0
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.120%	06/20/2008		600		0
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.160%	06/20/2008		800		0
Deutsche Bank AG	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.135%	06/20/2008		1,000		0
Deutsche Bank AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.140%	06/20/2008		900		0
Deutsche Bank AG	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.365%)	03/20/2012		200		(1	)
Deutsche Bank AG	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.470%)	06/20/2012		100		(1	)
Deutsche Bank AG	Ace INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390%)	06/20/2014		100		0
Deutsche Bank AG	Boston Scientific Corp. 5.450% due 06/15/2014	Buy	(0.620%)	06/20/2014		100		2
Deutsche Bank AG	Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510%)	12/20/2014		100		1
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600%)	06/20/2017		5,800		6
Deutsche Bank AG	International Paper Co. 5.850% due 10/30/2012	Buy	(0.700%)	06/20/2017		400		1
Goldman Sachs & Co.	RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	0.820%	05/20/2012		400		3
Goldman Sachs & Co.	Carnival Corp. 6.650% due 01/15/2028	Buy	(0.210%)	06/20/2012		200		0
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Sell	0.350%	06/20/2012		5,000		(17	)
Goldman Sachs & Co.	Duke Energy Corp. 6.250% due 01/15/2012	Buy	(0.090%)	06/20/2012		200		0
Goldman Sachs & Co.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.410%)	06/20/2012		200		(1	)
Goldman Sachs & Co.	SLM Corp. 5.125% due 08/27/2012	Sell	0.700%	06/20/2012		100		(8	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650%)	12/20/2016		6,100		43
Goldman Sachs & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(1.330%)	06/20/2017		100		3
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600%)	06/20/2017		29,400		109
Goldman Sachs & Co.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.675%)	06/20/2017		100		0
Goldman Sachs & Co.	Lennar Corp. 5.950% due 03/01/2013	Buy	(1.200%)	06/20/2017		700		18
Goldman Sachs & Co.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.040%)	06/20/2017		100		1
Goldman Sachs & Co.	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.500%)	06/20/2017		400		0
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240%	02/20/2008		500		0
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730%	04/20/2009		500		2
JPMorgan Chase & Co.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.345%	08/20/2011		2,000		63
JPMorgan Chase & Co.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440%)	09/20/2011		200		(1	)
JPMorgan Chase & Co.	Sabre Holdings Corp. 7.350% due 08/01/2011	Buy	(0.930%)	09/20/2011		200		15
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG8 Index	Sell	0.350%	06/20/2012		1,700		(5	)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650%)	12/20/2016		700		7
JPMorgan Chase & Co.	Autozone, Inc. 5.875% due 10/15/2012	Buy	(0.600%)	06/20/2017		100		0
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600%)	06/20/2017		3,200		4
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280%	08/20/2011		3,600		105
Lehman Brothers, Inc.	CVS Corp. 5.750% due 08/15/2011	Buy	(0.210%)	09/20/2011		200		0
Lehman Brothers, Inc.	Sealed Air Corp. 6.250% due 09/15/2011	Buy	(0.350%)	09/20/2011		200		0
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325%)	09/20/2014		200		(1	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650%)	12/20/2016		1,700		17
Lehman Brothers, Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.019%)	06/20/2017		400		3
Lehman Brothers, Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.990%)	06/20/2017		400		0
Merrill Lynch & Co., Inc.	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.510%)	06/20/2011		200		0
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 6.000% due 04/01/2011	Buy	(1.290%)	06/20/2011		500		8
Merrill Lynch & Co., Inc.	International Lease Finance Corp. 5.350% due 03/01/2012	Buy	(0.130%)	03/20/2012		200		0
Merrill Lynch & Co., Inc.	Multiple Reference Entities of Gazprom	Sell	0.610%	05/20/2012		300		1
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600%)	06/20/2017		2,100		3
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245%	06/20/2008		100		0
Morgan Stanley	Xerox Corp. 9.750% due 01/15/2009	Buy	(0.290%)	03/20/2009		200		0
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380%	08/20/2011		2,100		70
Morgan Stanley	Lockheed Martin Corp. 7.650% due 05/01/2016	Buy	(0.089%)	06/20/2012		200		0
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650%)	12/20/2016		1,500		16
Royal Bank of Canada	JPMorgan Chase & Co. 6.750% due 02/01/2011	Buy	(0.310%)	03/20/2016		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%)	09/20/2009		200		(1	)
Royal Bank of Scotland Group PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.620%)	09/20/2011		100		(1	)
Royal Bank of Scotland Group PLC	Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.490%)	12/20/2011		200		(2	)
Royal Bank of Scotland Group PLC	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.290%)	03/20/2012		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		2
UBS Warburg LLC	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.070%	06/20/2008		900		0
UBS Warburg LLC	BAE Systems Holdings, Inc. 6.400% due 12/15/2011	Buy	(0.140%)	12/20/2011		200		1
UBS Warburg LLC	Goldman Sachs Group, Inc. 5.250% due 06/01/2016	Buy	(0.310%)	06/20/2016		400		4
UBS Warburg LLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650%)	12/20/2016		1,000		11
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.530%)	06/20/2012		100		(1	)
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.520%)	06/20/2012		100		(1	)
							$	557

⁽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	6.500	%	01/15/2009	AUD	4,800	$	(12	)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2010		6,900		(199	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2015		3,900		209
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2009		10,540		(24	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		14,000		4
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2012		1,400		(36	)
Deutsche Bank AG	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2017		800		36
HSBC Bank USA	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2012		1,000		(26	)
HSBC Bank USA	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2017		600		27
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		2,500		(1	)
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		2,500		(2	)
UBS Warburg LLC	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2010		3,600		(106	)
UBS Warburg LLC	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2015		2,300		132
Citibank N.A.	3-Month Canadian Bank Bill	Receive	5.000	%	06/15/2015	CAD	800		34
Deutsche Bank AG	3-Month Canadian Bank Bill	Receive	5.000	%	06/20/2017		4,500		(36	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	5.000	%	06/15/2015		600		(3	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		900		0
Royal Bank of Scotland Group PLC	3-Month Canadian Bank Bill	Receive	5.000	%	06/20/2017		1,200		(7	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010	EUR	200		(15	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		6,300		92
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		500		(12	)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		300		15
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		3,000		39
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2011		300		(14	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		20,170		937
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		1,600		(33	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		500		(3	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.080	%	06/15/2012		1,600		(6	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	09/19/2012		2,800		(13	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		8,900		537
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		1,500		(28	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		500		(34	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	6.000	%	06/18/2034		1,100		(93	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		100		(8	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	6.000	%	06/18/2034		500		(41	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		300		(21	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		3,000		262
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	06/18/2034		2,800		(63	)
Morgan Stanley	6-Month EUR-LIBOR	Pay	6.000	%	06/18/2034		500		(47	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		600		(6	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.940	%	04/10/2012		500		(6	)
UBS Warburg LLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		800		(59	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		3,500		53
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	4,700		(111	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		1,100		(75	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.500	%	09/15/2017		9,500		138
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		4,400		272
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		100		25
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		100		(13	)
Citibank N.A.	6-Month GBP-LIBOR	Receive	5.000	%	12/16/2019		200		6
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		1,100		(72	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		400		(51	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		300		78
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		100		(7	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	09/20/2012		7,800		(25	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		1,800		(183	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		7,800		(683	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		400		(55	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		300		36
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		800		(104	)
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		2,400		(13	)
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		300		31
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		1,700		(6	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.322	%	09/14/2009		200		7
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		600		(69	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		100		5
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016	JPY	280,000		(22	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		310,000		(4	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		2,400,000		(34	)
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		1,200,000		47
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		60,000		(4	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	3.000	%	06/20/2027		100,000		(6	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		1,500,000		(27	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2010		200,000		(7	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		800,000		41
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.300	%	09/21/2011		340,000		28
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	1.500	%	06/20/2012		210,000		(19	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		1,730,000		(105	)
Lehman Brothers, Inc.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		110,000		(12	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		900,000		(4	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		1,990,000		(38	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		910,000		49
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.980	%	09/27/2016		500,000		2
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		990,000		(57	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	3.000	%	06/20/2027		40,000		(3	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		1,410,000		(21	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		3,980,000		(85	)
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		1,300,000		73
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	0.800	%	03/20/2012		540,000		(1	)
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		270,000		16
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		530,000		(20	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	3.000	%	06/20/2027		100,000		(6	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	2.500	%	06/20/2036		50,000		(13	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	1,000		2
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/22/2016		4,500		23
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		3,000		14
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		8,600		(10	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		1,000		5
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		4,000		7
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017	$	1,100		(7	)
Credit Suisse First Boston	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		2,700		149
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		30,000		(150	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2012		4,100		(6	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		600		(7	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		3,600		44
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		10,400		368
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		1,000		60
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		9,300		329
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		3,500		(27	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		1,400		44
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		24,600		(183	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2012		8,500		(33	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		3,100		(20	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		10,000		164
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2014		2,700		(8	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		21,300		(149	)
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		300		1
								$	932

Interest Rate Cap Swaps

Counterparty

Floating Rate Index

Cap/Floor

Cap/Floor Rate

Pay/Receive Floating Rate

Fixed Rate/Premium Amounts

Expiration Date

Notional Amount

Unrealized (Depreciation

)

Deutsche Bank AG

Difference in Constant Maturity Swap 10-Year vs. 2-Year

Cap

0.288

%

Pay

5.000%/$21

12/07/2007

$

1,700

$

(2

)

(f) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	112.000	08/24/2007	379	$	7	$	6
Put - CBOT U.S. Treasury 10-Year Note September Futures		105.000	08/24/2007	246		277		115
Put - OTC Euro-Bund 10-Year Note September Futures	EUR	104.000	08/24/2007	28		1		1
					$	285	$	122

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	6-Month GBP-LIBOR	Pay	5.150%	09/14/2007	GBP	3,500	$	18	$	0
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.170%	09/14/2007		7,000		39		0
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.350%	03/14/2008		4,800		23		2
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.150%	09/14/2007		7,000		39		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.201%	09/14/2007		3,500		20		0
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.080%	08/13/2007	JPY	130,000		15		7
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.120%	08/13/2007		410,000		43		14
Put - OTC 10-Year Interest Rate Swap	Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.080%	08/13/2007		230,000		25		11
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.000%	02/01/2008	$	9,200		36		15
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Pay	4.750%	09/26/2008		3,200		17		6
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000%	12/20/2007		17,500		113		22
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750%	03/31/2008		18,900		105		23
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750%	09/26/2008		6,900		25		14
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000%	02/01/2008		48,000		238		77
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750%	03/31/2008		26,700		162		33
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750%	09/26/2008		19,400		70		38
								$	988	$	262

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.362	05/21/2008	EUR	1,000	$	31	$	30
Put - OTC Euro versus U.S. dollar		1.362	05/21/2008		1,000		31		28
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		2,400		116		120
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		2,400		116		110
Call - OTC U.S. dollar versus Japanese yen	JPY	116.000	12/05/2007	$	2,000		20		91
Call - OTC U.S. dollar versus Japanese yen		114.650	01/18/2008		3,000		100		157
Put - OTC U.S. dollar versus Japanese yen		114.650	01/18/2008		3,000		100		25
Call - OTC U.S. dollar versus Japanese yen		120.000	01/18/2008		1,600		19		33
Call - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		5,200		182		240
Put - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		5,200		164		55
Call - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		1,700		45		63
Put - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		1,700		45		33
Call - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		5,100		134		132
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		5,100		134		139
						$	1,237	$	1,256

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Fannie Mae 5.000% due 09/01/2037	$	101.188	09/06/2007	$	30,000	$	4	$	4
Put - OTC Fannie Mae 5.500% due 07/01/2037		89.125	07/05/2007		5,000		1		0
Put - OTC Fannie Mae 5.500% due 09/01/2037		85.250	09/06/2007		10,000		1		0
Put - OTC Fannie Mae 5.500% due 09/01/2037		85.625	09/06/2007		21,000		2		2
Put - OTC Fannie Mae 5.500% due 09/01/2037		90.000	09/06/2007		26,000		3		2
Put - OTC Fannie Mae 6.500% due 09/01/2037		91.000	09/06/2007		1,000		0		0
Put - OTC Fannie Mae 6.000% due 09/01/2037		92.500	09/06/2007		61,000		7		4
						$	18	$	12

(g) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.500	08/24/2007	146	$	48	$	60
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	129		36		34
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	40		5		2
					$	89	$	96

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	Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.850%	09/14/2007	GBP	1,000	$	18	$	0
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850%	09/14/2007		2,000		40		0
Call - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850%	03/14/2008		1,200		23		1
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850%	09/14/2007		2,000		40		0
Call - OTC 8-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850%	09/14/2007		1,000		20		0
Call - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900%	02/01/2008	$	10,900		44		23
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.100%	02/01/2008		4,000		36		14
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	3-Month USD-LIBOR	Receive	4.950%	09/26/2008		1,400		17		7
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.150%	12/20/2007		7,600		110		25
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950%	03/31/2008		8,200		99		28
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950%	09/26/2008		3,000		26		15
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100%	02/01/2008		20,800		250		74
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900%	03/31/2008		11,600		154		36
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950%	09/26/2008		8,100		68		41
								$	945	$	264

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Brazilian real	BRL	2.020	07/27/2007	$	2,900	$	16	$	9

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC Fannie Mae 6.000% due 08/01/2037	$	98.984	07/19/2007	$	6,000	$	13	$	16

(h) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Goldman Sachs Group, Inc.	5.250	%	06/01/2016	11/03/2006	$	452	$	458	0.22	%

(i) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
Fannie Mae	5.000	%	07/01/2037	$	32,000	$	30,573	$	29,985
U.S. Treasury Bonds	4.500	%	02/15/2036		6,500		5,767		6,011
U.S. Treasury Notes	3.000	%	02/15/2009		300		291		295
U.S. Treasury Notes	4.500	%	05/15/2017		5,100		4,849		4,934
U.S. Treasury Notes	4.625	%	11/15/2016		9,100		8,854		8,885
U.S. Treasury Notes	5.125	%	05/15/2016		6,100		6,069		6,191
						$	56,403	$	56,301

⁽²⁾ Market value includes $288 of interest payable on short sales.

(j) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	6,061	07/2007	$	9	$	0		$	9
Sell		64	07/2007		0		0			0
Buy	BRL	3,548	07/2007		43		0			43
Sell		3,548	07/2007		21		0			21
Buy		4,105	10/2007		97		(2	)		95
Sell		1,416	10/2007		0		0			0
Buy		4,569	03/2008		26		(24	)		2
Sell	CAD	1,159	08/2007		0		(5	)		(5	)
Buy	CLP	18,098	11/2007		1		0			1
Buy		8,300	03/2008		0		0			0
Buy	CNY	8,337	08/2007		21		0			21
Buy		7,880	09/2007		21		0			21
Buy		15,578	11/2007		3		0			3
Buy		24,429	01/2008		0		(19	)		(19	)
Buy		20,561	03/2008		0		(24	)		(24	)
Buy	DKK	40	09/2007		0		0			0
Sell		12,806	09/2007		0		(8	)		(8	)
Buy	EUR	311	07/2007		1		0			1
Sell		40,368	07/2007		0		(528	)		(528	)
Sell	GBP	1,655	08/2007		0		(17	)		(17	)
Buy	HKD	140	07/2007		0		0			0
Buy	JPY	98,486	07/2007		2		(1	)		1
Sell		5,324,589	07/2007		617		(1	)		616
Buy	KRW	1,192,738	08/2007		5		0			5
Buy		210,326	09/2007		3		0			3
Buy	MXN	19,571	03/2008		43		0			43
Sell		14,028	03/2008		0		(23	)		(23	)
Buy	MYR	2,425	09/2007		1		0			1
Buy		9,290	05/2008		0		(76	)		(76	)
Buy	NOK	3,495	09/2007		10		0			10
Buy	NZD	1,781	07/2007		42		0			42
Sell		10,103	07/2007		0		(114	)		(114	)
Buy	PLN	102	09/2007		1		0			1
Sell		80	03/2008		0		(1	)		(1	)
Buy	RUB	1,037	09/2007		1		0			1
Buy		1,394	11/2007		2		0			2
Buy		4,966	12/2007		1		0			1
Buy		100,616	01/2008		67		0			67
Buy	SGD	743	08/2007		0		(8	)		(8	)
Buy	TWD	15,100	07/2007		4		0			4
Sell		15,100	07/2007		1		0			1
Buy		15,100	08/2007		0		(2	)		(2	)
Buy	ZAR	216	09/2007		1		0			1
				$	1,044	$	(853	)	$	191

See accompanying notes

Schedule of Investments

Global Bond Fund (Unhedged)

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARUBA 0.2%
Mizuho Finance Aruba Ltd.
2.005% due 04/27/2049	JPY	100,000	$	821
Mizuho Trust & Banking Co. Ltd.
2.405% due 04/27/2009		100,000		837
Total Aruba (Cost $1,751)				1,658
AUSTRALIA 0.3%
Medallion Trust
5.585% due 07/12/2031	$	352		352
Seven Media Group
6.000% due 02/07/2013	AUD	3,200		2,698
Total Australia (Cost $2,912)				3,050
AUSTRIA 0.5%
Austria Government Bond
5.000% due 01/15/2008	EUR	3,000		4,075
5.500% due 01/15/2010		600		831
Total Austria (Cost $3,462)				4,906
CANADA 1.5%
DaimlerChrysler Canada Finance, Inc.
4.850% due 03/30/2009	CAD	1,100		1,029
Honda Canada Finance, Inc.
4.757% due 03/26/2012		12,000		11,290
Province of Ontario Canada
6.200% due 06/02/2031		200		220
Province of Quebec Canada
5.750% due 12/01/2036		900		939
Total Canada (Cost $12,306)				13,478
CAYMAN ISLANDS 2.0%
Foundation Re II Ltd.
12.110% due 11/26/2010	$	500		502
Longpoint Re Ltd.
10.609% due 05/08/2010		700		700
Mizuho Finance Cayman Ltd.
1.060% due 09/28/2049	JPY	100,000		815
2.010% due 12/31/2049		300,000		2,481
8.375% due 12/29/2049	$	1,500		1,567
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		2,900		2,854
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	1,100		1,397
Mystic Re Ltd.
11.660% due 12/05/2008	$	250		249
14.360% due 12/05/2008		350		347
Pylon Ltd.
8.048% due 12/18/2008	EUR	1,500		2,072
Residential Reinsurance 2005 Ltd.
10.810% due 06/06/2008	$	400		387
Residential Reinsurance 2007 Ltd.
13.110% due 06/07/2010		700		701
SHL Corp. Ltd.
1.448% due 12/25/2024	JPY	14,253		116
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049	$	2,100		2,031
Vita Capital III Ltd.
6.449% due 01/01/2011		2,300		2,303
Total Cayman Islands (Cost $18,806)				18,522
DENMARK 0.7%
Nordea Kredit Realkreditaktieselskab
6.000% due 07/01/2029	DKK	116		22
Nykredit Realkredit A/S
4.832% due 10/01/2038		10,999		1,882
6.000% due 10/01/2029		806		150
Realkredit Danmark A/S
5.000% due 10/01/2038		25,666		4,394
Total Denmark (Cost $6,432)				6,448
FRANCE 4.1%
Axa S.A.
3.750% due 01/01/2017	EUR	397		773
Credit Agricole S.A.
5.410% due 05/28/2010	$	4,300		4,303
France Government Bond
4.000% due 04/25/2009	EUR	560		752
4.000% due 10/25/2009		80		107
4.000% due 04/25/2014		600		786
4.000% due 10/25/2014		3,100		4,047
4.000% due 04/25/2055		400		470
4.750% due 04/25/2035		700		948
5.750% due 10/25/2032		4,100		6,356
French Treasury Notes
3.500% due 01/12/2009		13,800		18,413
Total France (Cost $36,801)				36,955
GERMANY 27.2%
LRP Landesbank Rheinland-Pfalz
4.750% due 04/04/2008	EUR	530		719
Republic of Germany
4.000% due 07/04/2009		2,200		2,951
4.250% due 01/04/2014		26,500		35,251
4.250% due 07/04/2014		40,200		53,410
4.500% due 01/04/2013		3,040		4,104
4.750% due 07/04/2028		1,300		1,765
4.750% due 07/04/2034		4,100		5,582
5.000% due 01/04/2012		3,200		4,409
5.000% due 07/04/2012		5,900		8,146
5.250% due 07/04/2010		15,100		20,848
5.250% due 01/04/2011		15,200		21,040
5.375% due 01/04/2010		1,900		2,623
5.500% due 01/04/2031		6,200		9,292
5.625% due 01/04/2028		35,800		54,026
6.250% due 01/04/2024		5,200		8,278
6.250% due 01/04/2030		3,100		5,065
6.500% due 07/04/2027		5,980		9,929
Total Germany (Cost $249,255)				247,438
ICELAND 0.3%
Glitnir Banki HF
5.829% due 01/18/2012	$	1,900		1,912
Kaupthing Bank HF
5.750% due 10/04/2011		900		898
Total Iceland (Cost $2,804)				2,810
IRELAND 1.0%
Atlas Reinsurance PLC
7.922% due 01/10/2010	EUR	2,000		2,746
Bank of Ireland
5.370% due 12/19/2008	$	2,400		2,403
Celtic Residential Irish Mortgage Securitisation
4.337% due 06/13/2035	EUR	2,289		3,109
Osiris Capital PLC
10.356% due 01/15/2010	$	500		505
Total Ireland (Cost $8,267)				8,763
ITALY 1.5%
Italy Buoni Poliennali Del Tesoro
4.250% due 11/01/2009	EUR	2,470		3,328
4.500% due 05/01/2009		4,150		5,620
Siena Mortgages SpA
4.377% due 12/16/2038		3,484		4,733
Total Italy (Cost $13,012)				13,681
JAPAN 26.1%
Development Bank of Japan
4.250% due 06/09/2015	$	2,300		2,109
Japan Government Bond
1.500% due 03/20/2011	JPY	6,530,000		53,450
1.500% due 03/20/2015		1,800,000		14,385
1.600% due 09/20/2013		1,030,000		8,377
1.600% due 06/20/2014		3,880,000		31,395
1.600% due 09/20/2014		1,530,000		12,354
2.300% due 06/20/2035		2,440,000		19,290
2.400% due 03/20/2034		590,000		4,782
2.500% due 09/20/2035		1,620,000		13,357
2.500% due 06/20/2036		1,770,000		14,534
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		439,560		3,460
1.000% due 06/10/2016		1,511,510		12,015
1.100% due 12/10/2016		4,393,480		35,246
1.200% due 03/10/2017		169,490		1,371
1.200% due 06/10/2017		420,000		3,387
JLOC
1.010% due 01/15/2015		110,000		893
Resona Bank Ltd.
5.850% due 09/29/2049	$	3,800		3,639
Sumitomo Mitsui Banking Corp.
1.518% due 12/31/2049	JPY	100,000		817
1.629% due 12/01/2049		200,000		1,646
5.625% due 07/29/2049	$	900		859
Total Japan (Cost $258,190)				237,366
JERSEY, CHANNEL ISLANDS 0.9%
Haus Ltd.
4.139% due 12/10/2037	EUR	1,341		1,820
HSBC Capital Funding LP
9.547% due 12/31/2049	$	5,400		5,967
Total Jersey, Channel Islands (Cost $7,327)				7,787
MEXICO 0.1%
C10 Capital SPV Ltd.
6.722% due 12/31/2049	$	1,200		1,171
Total Mexico (Cost $1,200)				1,171
NETHERLANDS ANTILLES 0.1%
BTM Curacao Holdings NV
1.020% due 12/31/2049	JPY	100,000		820
Total Netherlands Antilles (Cost $851)				820
NETHERLANDS 2.4%
Delphinus BV
4.037% due 04/25/2093	EUR	2,000		2,719
4.385% due 11/28/2031		3,927		5,331
Dutch Mortgage Portfolio Loans BV
4.317% due 11/20/2035		2,175		2,959
Dutch Mortgage-Backed Securities BV
4.202% due 10/02/2079		969		1,317
4.253% due 11/02/2035		229		311
4.280% due 07/02/2077		481		652
Generali Finance BV
5.479% due 02/28/2049		900		1,191
Holland Euro-Denominated Mortgage-Backed Series
4.245% due 04/18/2012		416		564
Netherlands Government Bond
3.750% due 07/15/2014		2,700		3,477
5.000% due 07/15/2011		2,100		2,890
Siemens Financieringsmaatschappij NV
5.410% due 08/14/2009	$	800		800
Total Netherlands (Cost $19,898)				22,211
NEW ZEALAND 0.1%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	907		936
Total New Zealand (Cost $421)				936
RUSSIA 0.2%
VTB Capital S.A. for Vneshtorgbank
6.110% due 09/21/2007	$	1,500		1,501
Total Russia (Cost $1,500)				1,501
SPAIN 1.7%
Spain Government Bond
4.000% due 01/31/2010	EUR	980		1,310
4.200% due 07/30/2013		2,900		3,845
4.200% due 01/31/2037		1,300		1,598
5.150% due 07/30/2009		6,140		8,415
5.750% due 07/30/2032		30		46
Total Spain (Cost $12,314)				15,214
TUNISIA 0.3%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	2,600		3,209
Total Tunisia (Cost $3,144)				3,209
UNITED KINGDOM 2.4%
Bauhaus Securities Ltd.
4.325% due 10/30/2052	EUR	5,258		7,134
Dolerite Funding PLC
5.640% due 08/20/2032	$	176		177
HBOS PLC
5.920% due 09/29/2049		3,900		3,663
Holmes Financing PLC
4.228% due 07/15/2010	EUR	3,200		4,331
Lloyds TSB Bank PLC
5.625% due 07/15/2049		2,410		3,311
Royal Bank of Scotland Group PLC
5.360% due 12/21/2007	$	2,600		2,602
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		400		368
XL Capital Europe PLC
6.500% due 01/15/2012		300		308
Total United Kingdom (Cost $19,556)				21,894
UNITED STATES 91.0%
Asset-Backed Securities 1.8%
AFC Home Equity Loan Trust
6.030% due 12/22/2027	$	36		36
Amortizing Residential Collateral Trust
5.670% due 10/25/2031		39		39
Amresco Residential Securities Mortgage Loan Trust
6.260% due 06/25/2029		54		54
Bear Stearns Asset-Backed Securities, Inc.
5.650% due 10/25/2032		49		50
5.720% due 10/27/2032		90		90
5.770% due 03/25/2043		76		76
Citibank Credit Card Issuance Trust
2.900% due 05/17/2010		2,300		2,253
Citibank Credit Card Master Trust I
5.750% due 07/16/2009	EUR	1,000		692
CS First Boston Mortgage Securities Corp.
5.940% due 01/25/2032	$	36		36
First NLC Trust
5.440% due 02/25/2036		120		120
GE-WMC Mortgage Securities LLC
5.420% due 12/25/2035		148		148
Indymac Residential Asset-Backed Trust
5.420% due 03/25/2036		102		103
Quest Trust
5.880% due 06/25/2034		107		107
Residential Asset Mortgage Products, Inc.
5.880% due 06/25/2032		37		37
Residential Asset Securities Corp.
5.420% due 11/25/2035		26		26
5.820% due 07/25/2032		163		163
Saxon Asset Securities Trust
5.590% due 01/25/2032		75		75
SLC Student Loan Trust
5.313% due 02/15/2015		4,700		4,699
SLM Student Loan Trust
3.800% due 12/15/2038		1,200		1,163
Soundview Home Equity Loan Trust
5.420% due 12/25/2035		103		103
Wells Fargo Home Equity Trust
5.440% due 12/25/2035		374		374
5.550% due 10/25/2035		5,089		5,094
5.560% due 11/25/2035		900		902
				16,440
Bank Loan Obligations 0.5%
Ford Motor Co.
8.360% due 11/29/2013		998		1,002
Georgia-Pacific Corp.
7.110% due 12/20/2012		1,975		1,982
HCA, Inc.
7.600% due 11/14/2013		1,895		1,906
				4,890
Corporate Bonds & Notes 9.6%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		500		498
American International Group, Inc.
4.875% due 03/15/2067	EUR	1,400		1,796
Amgen, Inc.
5.440% due 11/28/2008	$	2,400		2,401
Anadarko Petroleum Corp.
6.125% due 03/15/2012		1,000		1,011
AutoZone, Inc.
5.875% due 10/15/2012		800		803
Bank of America N.A.
5.360% due 12/18/2008		3,750		3,752
Boston Scientific Corp.
5.450% due 06/15/2014		400		377
6.000% due 06/15/2011		1,000		996
6.400% due 06/15/2016		1,700		1,654
Charter One Bank N.A.
5.405% due 04/24/2009		4,500		4,506
CMS Energy Corp.
9.875% due 10/15/2007		300		304
CNA Financial Corp.
6.000% due 08/15/2011		800		803
Cox Communications, Inc.
6.750% due 03/15/2011		700		725
CVS Caremark Corp.
5.750% due 08/15/2011		300		300
DaimlerChrysler N.A. Holding Corp.
4.875% due 06/15/2010		300		294
5.710% due 03/13/2009		3,300		3,307
5.750% due 09/08/2011		400		401
East Lane Re Ltd.
12.355% due 05/06/2011		600		603
Ford Motor Credit Co.
5.625% due 10/01/2008		2,000		1,975
7.250% due 10/25/2011		1,000		963
General Electric Capital Corp.
4.625% due 09/15/2066	EUR	1,000		1,291
5.400% due 12/12/2008	$	1,700		1,702
General Motors Acceptance Corp.
6.000% due 04/01/2011		2,600		2,508
7.430% due 12/01/2021		56		56
GMAC LLC
6.610% due 05/15/2009		1,600		1,601
Goldman Sachs Group, Inc.
5.250% due 06/01/2016 (j)	CAD	2,200		2,016
Harrah’s Operating Co., Inc.
5.956% due 02/08/2008	$	2,000		2,004
Health Care Property Investors, Inc.
5.950% due 09/15/2011		300		301
HJ Heinz Finance Co.
6.000% due 03/15/2012		900		904
International Lease Finance Corp.
5.350% due 03/01/2012		1,000		988
Johnson Controls, Inc.
5.250% due 01/15/2011		900		891
JPMorgan & Co., Inc.
2.991% due 02/15/2012		760		787
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	1,800		1,641
JPMorgan Chase Capital XXII
6.450% due 02/02/2037	$	1,200		1,144
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		1,300		1,256
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038		3,300		3,344
Kraft Foods, Inc.
6.250% due 06/01/2012		900		916
Lennar Corp.
5.950% due 10/17/2011		900		888
Loews Corp.
5.250% due 03/15/2016		300		288
Masco Corp.
5.875% due 07/15/2012		300		298
May Department Stores Co.
4.800% due 07/15/2009		300		294
Merrill Lynch & Co., Inc.
5.450% due 08/14/2009		400		400
Mirage Resorts, Inc.
6.750% due 08/01/2007		900		901
Mizuho JGB Investment LLC
9.870% due 12/31/2049		400		416
Mizuho Preferred Capital Co. LLC
8.790% due 12/29/2049		500		515
Morgan Stanley
5.484% due 01/18/2008		2,100		2,102
Nationwide Health Properties, Inc.
6.500% due 07/15/2011		900		915
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		1,000		960
NiSource Finance Corp.
5.400% due 07/15/2014		300		289
Reynolds American, Inc.
6.060% due 06/15/2011		400		402
Ryder System, Inc.
3.500% due 03/15/2009		1,000		965
Sara Lee Corp.
6.250% due 09/15/2011		900		917
SB Treasury Co. LLC
9.400% due 12/29/2049		2,900		3,001
Sealed Air Corp.
6.950% due 05/15/2009		800		820
State Street Capital Trust IV
6.355% due 06/15/2037		2,400		2,418
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		2,800		2,917
Toyota Motor Credit Corp.
5.330% due 10/12/2007		7,300		7,302
Viacom, Inc.
5.750% due 04/30/2011		2,000		1,999
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		2,400		2,400
World Savings Bank FSB
5.396% due 05/08/2009		4,700		4,703
				86,929
Mortgage-Backed Securities 6.3%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		1,434		1,407
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		3,403		3,334
Bear Stearns Alt-A Trust
5.824% due 11/25/2036		5,761		5,770
5.959% due 02/25/2036		3,535		3,546
Citicorp Real Estate, Inc.
7.430% due 01/01/2024		23		23
Citigroup Mortgage Loan Trust, Inc.
4.900% due 10/25/2035		7,883		7,777
Countrywide Home Loan Mortgage Pass-Through Trust
5.640% due 03/25/2035		3,697		3,710
5.650% due 02/25/2035		745		748
CS First Boston Mortgage Securities Corp.
5.631% due 05/25/2032		31		31
6.500% due 04/25/2033		132		132
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		2,209		2,186
Greenpoint Mortgage Funding Trust
5.400% due 01/25/2047		587		587
HSI Asset Securitization Corp. Trust
5.380% due 05/25/2037 (a)		1,300		1,300
JPMorgan Chase Commercial Mortgage Securities Corp.
6.465% due 11/15/2035		2,300		2,369
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		223		222
Mellon Residential Funding Corp.
5.760% due 12/15/2030		1,009		1,013
Residential Accredit Loans, Inc.
5.530% due 04/25/2046		485		485
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		108		108
Sequoia Mortgage Trust
5.670% due 10/19/2026		608		608
5.670% due 07/20/2033		1,261		1,267
Structured Asset Mortgage Investments, Inc.
5.610% due 07/19/2034		335		335
Wachovia Bank Commercial Mortgage Trust
5.400% due 06/15/2020		9,500		9,503
5.572% due 10/15/2048		4,300		4,211
Washington Mutual, Inc.
5.094% due 10/25/2032		104		104
5.550% due 04/25/2045		1,923		1,927
5.580% due 11/25/2045		772		775
5.630% due 01/25/2045		913		915
5.860% due 12/25/2027		2,670		2,671
				57,064
Municipal Bonds & Notes 0.5%
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.224% due 01/01/2014		270		274
Harris County, Texas Revenue Bonds, Series 2003
5.000% due 08/01/2033		400		402
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		285		291
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		765		755
Los Angeles, California Wastewater System Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 06/01/2027		900		926
Louisville & Jefferson Counties, Kentucky Metro Sewer District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		100		103
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.265% due 12/15/2013		370		365
New York State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
5.500% due 06/01/2017		200		210
New York State Tobacco Settlement Financing Corporations Revenue Notes, Series 2003
5.250% due 06/01/2013		1,400		1,415
				4,741
		Shares
Preferred Stocks 0.3%
DG Funding Trust
7.600% due 12/31/2049		130		1,354
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		900		907
				2,261
		Principal Amount (000s)
Commodity Index-Linked Notes 0.3%
Morgan Stanley
0.000% due 07/07/2008	$	3,000		2,983
U.S. Government Agencies 69.6%
Fannie Mae
0.000% due 06/01/2017		30,300		17,615
4.190% due 11/01/2034		7,476		7,414
4.950% due 12/01/2034		1,158		1,144
5.000% due 07/01/2018 - 03/01/2036		17,002		15,885
5.500% due 10/01/2017 - 08/01/2037		258,108		249,370
6.000% due 02/01/2036 - 07/01/2037		262,481		259,661
6.470% due 09/25/2012		1,000		1,050
6.500% due 06/01/2034 - 07/01/2037		32,012		32,325
6.569% due 03/01/2024		23		24
7.438% due 11/01/2023		13		14
9.000% due 04/01/2016		13		13
15.750% due 12/01/2011		1		1
Federal Farm Credit Bank
7.530% due 04/15/2009		475		494
Federal Home Loan Bank
4.300% due 05/12/2008		10,000		9,917
5.500% due 03/19/2009		6,000		6,001
5.750% due 08/15/2011		500		509
Federal Housing Administration
7.400% due 02/01/2021		271		272
Freddie Mac
4.500% due 02/15/2020		10,243		9,879
5.000% due 12/15/2031		3,600		3,379
5.670% due 12/15/2030		678		680
6.227% due 10/25/2044		6,484		6,545
7.190% due 02/01/2029		426		432
7.256% due 05/01/2023		79		79
Ginnie Mae
4.750% due 09/20/2022 - 09/20/2023		112		113
5.250% due 01/20/2030		112		113
5.380% due 05/20/2022 - 05/20/2030		301		305
5.750% due 07/20/2022 - 09/20/2026		86		87
5.920% due 02/16/2030		303		307
6.000% due 08/20/2034		4,147		3,951
6.130% due 12/20/2023 - 12/20/2026		92		94
6.380% due 02/20/2024		184		186
8.500% due 12/15/2029 - 02/15/2031		282		303
Small Business Administration
6.640% due 02/01/2011		380		387
7.640% due 03/01/2010		63		65
Tennessee Valley Authority
5.880% due 04/01/2036		3,900		4,073
7.140% due 05/23/2012		1,000		1,079
				633,766
U.S. Treasury Obligations 2.1%
U.S. Treasury Bonds
4.500% due 02/15/2036		1,500		1,359
8.125% due 05/15/2021		1,690		2,173
8.875% due 02/15/2019		6,000		7,937
U.S. Treasury Strips
0.000% due 02/15/2019		11,200		6,154
0.000% due 08/15/2024		3,500		1,427
				19,050
Total United States (Cost $834,288)				828,124
SHORT-TERM INSTRUMENTS 13.4%
Certificates of Deposit 4.6%
Barclays Bank PLC
5.281% due 03/17/2008		7,100		7,101
BNP Paribas
5.270% due 09/23/2008		10,200		10,197
Countrywide Funding Corp.
5.350% due 08/16/2007		4,700		4,700
Royal Bank of Scotland Group PLC
5.265% due 03/26/2008		10,200		10,199
Societe Generale NY
5.270% due 03/26/2008		10,200		10,198
				42,395
Commercial Paper 6.1%
Danske Corp.
5.205% due 10/12/2007		20,000		19,784
Freddie Mac
4.800% due 07/02/2007		19,000		19,000
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		300		300
UBS Finance Delaware LLC
5.245% due 10/23/2007		16,600		16,414
				55,498
Tri-party Repurchase Agreements 0.6%
State Street Bank and Trust Co.
4.900% due 07/02/2007		5,342		5,342
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 5.400% due 09/18/2008 valued at $5,449. Repurchase proceeds are $5,344.)
U.S. Treasury Bills 2.1%
4.567% due 08/30/2007 - 09/13/2007 (b)(c)(d)(f)		19,110		18,908
Total Short-Term Instruments (Cost $122,185)				122,143
Purchased Options (h) 0.8% (Cost $10,986)				7,219
Total Investments (e) 178.8% (Cost $1,647,668)			$	1,627,304
Written Options (i) (0.1%) (Premiums $4,689)				(1,239	)
Other Assets and Liabilities (Net) (78.7%)				(716,040	)
Net Assets 100.0%			$	910,025

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 $5,934 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) Securities with an aggregate market value of $2,967 have been pledged as collateral for delayed-delivery securities on June 30, 2007.

(e) As of June 30, 2007, portfolio securities with an aggregate value of $35,668 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $5,699 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Euribor September Futures	Long	09/2008	33	$	(2	)
90-Day Eurodollar December Futures	Long	12/2007	44		(52	)
90-Day Eurodollar March Futures	Long	03/2008	3,696		(1,835	)
90-Day Eurodollar September Futures	Long	09/2007	87		(88	)
90-Day Eurodollar September Futures	Long	09/2008	499		206
90-Day Euroyen December Futures	Long	12/2007	687		(130	)
Euro-Bobl 5-Year Note September Futures	Long	09/2007	472		72
Euro-Bobl 5-Year Note September Futures Put Options Strike @ EUR 102.750	Long	09/2007	247		(2	)
Euro-Bobl 5-Year Note September Futures Put Options Strike @ EUR 104.000	Long	09/2007	97		1
Euro-Bund 10-Year Note September Futures	Long	09/2007	874		(543	)
Euro-Bund 10-Year Note September Futures Put Options Strike @ EUR 104.000	Long	09/2007	243		0
Euro-Bund 10-Year Note September Futures Put Options Strike @ EUR 106.000	Long	09/2007	638		8
Japan Government 10-Year Bond September Futures	Long	09/2007	34		(180	)
U.S. Treasury 5-Year Note September Futures	Short	09/2007	64		42
U.S. Treasury 10-Year Note September Futures	Short	09/2007	775		(639	)
U.S. Treasury 30-Year Bond September Futures	Long	09/2007	181		190
United Kingdom 10-Year Note September Futures	Short	09/2007	41		3
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	139		(309	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	75		(161	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	132		(264	)
				$	(3,683	)

(g) Swap agreements outstanding on June 30, 2007:

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 iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	EUR	6,100	$	(5	)
BNP Paribas Bank	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		2,300		0
Deutsche Bank AG	Akzo Nobel NV 4.250% due 06/14/2011	Buy	(0.290	%)	06/20/2012		600		(2	)
Deutsche Bank AG	Kelda Group PLC 6.625% due 04/17/2031	Buy	(0.210	%)	06/20/2012		600		0
Deutsche Bank AG	United Utilities PLC 6.875% due 08/15/2028	Buy	(0.235	%)	06/20/2012		600		2
Deutsche Bank AG	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		5,300		(7	)
Goldman Sachs & Co.	ICI Wilmington, Inc. 5.625% due 12/01/2013	Buy	(0.340	%)	06/20/2012		600		0
Goldman Sachs & Co.	Koninklijke DSM NV 4.000% due 11/10/2015	Buy	(0.365	%)	06/20/2012		900		(4	)
Goldman Sachs & Co.	SCA Finans AB 4.500% due 07/15/2015	Buy	(0.250	%)	06/20/2012		1,000		0
Goldman Sachs & Co.	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		600		0
HSBC Bank USA	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		700		0
JPMorgan Chase & Co.	Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016		3,900		(6	)
Merrill Lynch & Co., Inc.	Compass Group PLC 6.375% due 05/29/2012	Buy	(0.390	%)	06/20/2012		800		0
Deutsche Bank AG	SOFTBANK Corp. 1.750% due 03/31/2014	Sell	2.300	%	09/20/2007	JPY	259,000		10
Bank of America	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.150	%	06/20/2008	$	3,000		(1	)
Bank of America	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.150	%	06/20/2008		2,900		0
Bank of America	May Department Stores Co. 4.800% due 07/15/2009	Buy	(0.190	%)	09/20/2009		300		0
Bank of America	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.462	%)	06/20/2012		300		(2	)
Bank of America	Loews Corp. 8.875% due 04/15/2011	Buy	(0.120	%)	06/20/2012		400		1
Bank of America	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.459	%)	06/20/2012		500		(2	)
Bank of America	Noble Corp. 5.875% due 06/01/2013	Buy	(0.542	%)	06/20/2012		300		(2	)
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		30,400		335
Bank of America	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017		800		4
Bank of America	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.485	%)	06/20/2017		1,400		(2	)
Bank of America	DR Horton, Inc. 5.375% due 06/15/2012	Buy	(1.600	%)	06/20/2017		400		16
Bank of America	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(1.630	%)	06/20/2017		300		12
Barclays Bank PLC	Ryder System, Inc. 3.500% due 03/15/2009	Buy	(0.110	%)	03/20/2009		1,000		1
Barclays Bank PLC	Sealed Air Corp. 6.950% due 05/15/2009	Buy	(0.200	%)	06/20/2009		900		(1	)
Barclays Bank PLC	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Buy	(0.330	%)	03/20/2012		1,000		(1	)
Barclays Bank PLC	XL Capital Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	03/20/2012		400		0
Barclays Bank PLC	American Electric Power Co., Inc. 5.250% due 06/01/2015	Buy	(0.100	%)	06/20/2012		600		2
Barclays Bank PLC	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		300		(1	)
Barclays Bank PLC	Wyeth 5.500% due 03/15/2013	Buy	(0.100	%)	06/20/2012		1,100		1
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		2,000		22
Barclays Bank PLC	Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.470	%)	06/20/2017		400		0
Barclays Bank PLC	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2017		41,000		(186	)
Barclays Bank PLC	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.895	%)	06/20/2017		600		4
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 4.875% due 06/15/2010	Buy	(0.520	%)	06/20/2010		300		(3	)
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011		800		(6	)
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011		800		(3	)
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	03/20/2012		1,000		0
Bear Stearns & Co., Inc.	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012		700		(1	)
Bear Stearns & Co., Inc.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.460	%)	06/20/2012		2,000		(10	)
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 6.250% due 06/01//2012	Buy	(0.170	%)	06/20/2012		1,000		7
Bear Stearns & Co., Inc.	Nisource Finance Corp. 5.400% due 07/15/2014	Buy	(0.620	%)	09/20/2014		300		(2	)
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.330	%)	03/20/2016		300		(2	)
Citibank N.A.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012		800		(13	)
Citibank N.A.	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.550	%)	06/20/2017		700		(3	)
Credit Suisse First Boston	Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.240	%)	03/20/2011		900		(3	)
Credit Suisse First Boston	Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012		300		(1	)
Credit Suisse First Boston	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		13,700		27
Deutsche Bank AG	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.160	%	06/20/2008		1,400		(1	)
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.120	%	06/20/2008		3,000		(1	)
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.160	%	06/20/2008		3,700		(1	)
Deutsche Bank AG	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.135	%	06/20/2008		4,800		(2	)
Deutsche Bank AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.140	%	06/20/2008		2,400		(1	)
Deutsche Bank AG	Nationwide Health Properties, Inc. 6.500% due 07/15/2011	Buy	(0.620	%)	09/20/2011		1,100		(9	)
Deutsche Bank AG	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.470	%)	06/20/2012		200		(1	)
Deutsche Bank AG	Ace INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	06/20/2014		500		(2	)
Deutsche Bank AG	Boston Scientific Corp. 5.450% due 06/15/2014	Buy	(0.620	%)	06/20/2014		400		7
Deutsche Bank AG	Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014		400		3
Deutsche Bank AG	International Paper Co. 5.850% due 10/30/2012	Buy	(0.700	%)	06/20/2017		400		1
Goldman Sachs & Co.	JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.990	%	09/20/2010		500		10
Goldman Sachs & Co.	Carnival Corp. 6.650% due 01/15/2028	Buy	(0.210	%)	06/20/2012		900		1
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		26,000		(59	)
Goldman Sachs & Co.	Duke Energy Corp. 6.250% due 01/15/2012	Buy	(0.090	%)	06/20/2012		900		2
Goldman Sachs & Co.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.410	%)	06/20/2012		1,800		(5	)
Goldman Sachs & Co.	SLM Corp. 5.125% due 08/27/2012	Sell	0.700	%	06/20/2012		600		(46	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		28,100		260
Goldman Sachs & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(1.330	%)	06/20/2017		400		11
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		151,600		662
Goldman Sachs & Co.	Lennar Corp. 5.950% due 03/01/2013	Buy	(1.200	%)	06/20/2017		400		10
Goldman Sachs & Co.	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.500	%)	06/20/2017		1,800		(2	)
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		2,700		2
JPMorgan Chase & Co.	Health Care Property Investors, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	09/20/2011		300		(3	)
JPMorgan Chase & Co.	Lennar Corp. 5.950% due 10/17/2011	Buy	(0.660	%)	12/20/2011		900		12
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		11,800		(32	)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		2,100		23
JPMorgan Chase & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017		400		2
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		6,700		8
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		4,600		(20	)
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.550	%	03/20/2008		1,000		4
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.875% due 06/15/2010	Buy	(2.310	%)	06/20/2010		1,000		2
Lehman Brothers, Inc.	Newell Rubbermaid, Inc. 4.000% due 05/01/2010	Buy	(0.190	%)	06/20/2010		1,000		(2	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	08/20/2011		8,100		236
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.350	%	08/20/2011		6,600		211
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		3,100		101
Lehman Brothers, Inc.	Sealed Air Corp. 6.250% due 09/15/2011	Buy	(0.350	%)	09/20/2011		900		(1	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		8,900		87
Lehman Brothers, Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.990	%)	06/20/2017		1,900		1
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		1,984		15
Merrill Lynch & Co., Inc.	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.510	%)	06/20/2011		1,000		2
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 6.000% due 04/01/2011	Buy	(1.290	%)	06/20/2011		2,600		43
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.340	%	08/20/2011		9,000		284
Merrill Lynch & Co., Inc.	International Lease Finance Corp. 5.350% due 03/01/2012	Buy	(0.130	%)	03/20/2012		1,000		1
Merrill Lynch & Co., Inc.	Multiple Reference Entities of Gazprom	Sell	0.610	%	05/20/2012		1,200		3
Merrill Lynch & Co., Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.580	%)	06/20/2012		1,400		(1	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		9,200		12
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		200		0
Morgan Stanley	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		10,912		82
Morgan Stanley	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.700	%)	09/20/2010		200		(12	)
Morgan Stanley	Cox Communications, Inc. 6.750% due 03/15/2011	Buy	(0.200	%)	03/20/2011		700		(1	)
Morgan Stanley	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	06/20/2011		300		(4	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	08/20/2011		6,500		215
Morgan Stanley	Lockheed Martin Corp. 7.650% due 05/01/2016	Buy	(0.089	%)	06/20/2012		900		1
Morgan Stanley	Progress Energy, Inc. 5.625% due 01/15/2016	Buy	(0.105	%)	06/20/2012		800		1
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	09/20/2012		300		0
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		9,400		102
Morgan Stanley	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		18,800		22
Royal Bank of Canada	DaimlerChrysler Canada Finance, Inc. 4.850% due 03/30/2009	Buy	(0.350	%)	06/20/2009		1,000		(4	)
Royal Bank of Canada	JPMorgan Chase & Co. 6.750% due 02/01/2011	Buy	(0.310	%)	03/20/2016		1,600		3
Royal Bank of Scotland Group PLC	CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	09/20/2011		300		(1	)
Royal Bank of Scotland Group PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.620	%)	09/20/2011		400		(6	)
Royal Bank of Scotland Group PLC	Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.490	%)	12/20/2011		900		(8	)
Royal Bank of Scotland Group PLC	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.290	%)	03/20/2012		1,900		(2	)
UBS Warburg LLC	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.070	%	06/20/2008		1,100		0
UBS Warburg LLC	Goldman Sachs Group, Inc. 5.250% due 06/01/2016	Buy	(0.310	%)	06/20/2016		1,900		17
UBS Warburg LLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		4,700		51
UBS Warburg LLC	Centex Corp. 5.250% due 06/15/2015	Buy	(1.290	%)	06/20/2017		600		18
UBS Warburg LLC	DR Horton, Inc. 5.375% due 06/15/2012	Buy	(1.540	%)	06/20/2017		1,700		98
UBS Warburg LLC	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.060	%)	06/20/2017		1,000		7
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.520	%)	06/20/2012		300		(2	)
Wachovia Bank N.A.	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.530	%)	06/20/2012		600		(5	)
								$	2,574

⁽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	6.500	%	01/15/2009	AUD	23,700	$	(61	)
Citibank N.A.	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2010		38,900		(1,132	)
Citibank N.A.	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2015		22,300		1,206
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2009		52,430		(122	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		41,200		36
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		19,700		(10	)
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		22,800		(15	)
UBS Warburg LLC	6-Month Australian Bank Bill	Pay	6.000	%	06/15/2010		30,000		(829	)
UBS Warburg LLC	6-Month Australian Bank Bill	Receive	6.000	%	06/15/2015		20,000		1,107
Citibank N.A.	3-Month Canadian Bank Bill	Receive	5.000	%	06/15/2015	CAD	2,300		98
Deutsche Bank AG	3-Month Canadian Bank Bill	Receive	5.000	%	06/20/2017		20,400		(163	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		8,200		(1	)
Royal Bank of Scotland Group PLC	3-Month Canadian Bank Bill	Receive	5.000	%	06/20/2017		5,400		(30	)
Barclays Bank PLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010	EUR	1,400		(108	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		17,000		248
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		2,300		(56	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		9,000		122
Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	06/17/2012		27,100		2,771
Credit Suisse First Boston	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		27,700		2,497
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		39,200		2,032
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		1,300		22
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		400		(15	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	12/15/2011		18,200		351
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		3,000		(20	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.080	%	06/15/2012		10,800		(42	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	09/19/2012		12,900		(59	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		20,500		1,239
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	6.000	%	06/18/2034		500		(5	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/21/2036		2,300		(156	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	5.000	%	03/19/2038		6,700		(124	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		20		(1	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		600		(6	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		15,900		740
Lehman Brothers, Inc.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.965	%	03/15/2012		1,400		(7	)
Merrill Lynch & Co., Inc.	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		400		(31	)
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		1,900		134
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		7,100		439
Morgan Stanley	6-Month EUR-LIBOR	Pay	4.500	%	06/18/2034		7,200		(163	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		500		(5	)
UBS Warburg LLC	6-Month EUR-LIBOR	Pay	4.000	%	06/17/2010		3,400		(251	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		14,200		223
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010	GBP	5,900		(407	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		1,500		(192	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.500	%	09/15/2017		41,600		592
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		16,300		1,265
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	4.250	%	06/12/2036		1,000		(219	)
Citibank N.A.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		2,200		(293	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		9,100		(573	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		1,800		(230	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		6,500		217
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		27,400		(1,006	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		12,300		(789	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	09/20/2012		7,300		(23	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		6,400		(752	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		8,000		(540	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		700		(95	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,600		190
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		3,900		(508	)
Morgan Stanley	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		18,700		(98	)
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,500		162
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2015		10,200		(799	)
Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016	JPY	2,110,000		(164	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		1,990,000		(26	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		9,700,000		(137	)
Deutsche Bank AG	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		4,900,000		191
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	3.000	%	06/20/2027		600,000		(37	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		7,700,000		(138	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.035	%	05/18/2010		360,000		(62	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	06/20/2010		2,000,000		(65	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		3,900,000		200
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	1.300	%	09/21/2011		1,040,000		86
Goldman Sachs & Co.	6-Month JPY-LIBOR	Pay	1.500	%	06/20/2012		1,030,000		(93	)
Goldman Sachs & Co.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		8,310,000		(506	)
Lehman Brothers, Inc.	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		755,000		(43	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		4,200,000		(17	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		10,640,000		(200	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		4,540,000		245
Morgan Stanley	6-Month JPY-LIBOR	Receive	1.980	%	09/27/2016		1,900,000		(2	)
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		4,730,000		(273	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	3.000	%	06/20/2027		100,000		(9	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		5,120,000		(80	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		27,310,000		(564	)
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	1.500	%	03/20/2011		6,500,000		365
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	0.800	%	03/20/2012		770,000		(1	)
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013		1,160,000		63
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016		2,320,000		(123	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	3.000	%	06/20/2027		630,000		(37	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	2.500	%	06/20/2036		240,000		(63	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	7,500		13
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/22/2016		22,000		112
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		11,000		51
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		46,600		(51	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.840	%	09/23/2016		3,000		14
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		16,000		27
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009	$	17,200		(86	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		2,100		77
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2017		21,800		24
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		24,500		1,478
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		51,900		1,834
Citibank N.A.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		22,000		1,295
Credit Suisse First Boston	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		5,800		319
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		345,100		(1,848	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		15,200		537
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		3,700		46
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		28,300		1,001
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	6.000	%	12/17/2031		13,400		(637	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		1,500		30
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		73,200		2,589
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		7,800		246
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		6,100		193
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		188,300		(1,339	)
Morgan Stanley	3-Month USD-LIBOR	Receive	6.000	%	12/17/2031		5,500		(474	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2037		500		(13	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		18,800		428
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		68,100		2,763
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2017		41,900		127
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		23,100		372
								$	13,393

Interest Rate Cap Swaps

Counterparty	Floating Rate Index	Cap Rate		Pay/Receive Floating Rate		Fixed Rate/ Premium Amounts	Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG	Difference in Constant Maturity Swap 10-Year vs. 2-Year	0.288	%	Pay	$	101	12/07/2007	$	8,100	$	(10	)
Goldman Sachs & Co.	Difference in Constant Maturity Swap 10-Year vs. 2-Year	0.288	%	Pay		102	12/07/2007		8,500		18
										$	8

(h) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	109.000	08/24/2007	667	$	13	$	31
Call - CBOT U.S. Treasury 10-Year Note September Futures		110.500	08/24/2007	840		16		0
Call - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/24/2007	1,184		22		19
Call - CBOT U.S. Treasury 10-Year Note September Futures		112.000	08/24/2007	266		5		4
Put - CBOT U.S. Treasury 10-Year Note September Futures		105.000	08/24/2007	313		353		147
Put - CBOT U.S. Treasury 30-Year Bond September Futures		91.000	08/24/2007	180		3		3
					$	412	$	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	Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.150	%	09/14/2007	GBP	17,500	$	90	$	0
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.170	%	09/14/2007		42,000		237		0
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.350	%	03/14/2008		22,800		108		11
Call - OTC 2-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.150	%	09/14/2007		35,000		197		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.201	%	09/14/2007		3,500		20		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.300	%	03/14/2008		12,000		47		5
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.080	%	08/13/2007	JPY	280,000		32		14
Put - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	6-Month JPY-LIBOR	Receive	2.120	%	08/13/2007		1,790,000		186		62
Put - OTC 10-Year Interest Rate Swap	Deutsche Bank AG	6-Month JPY-LIBOR	Receive	2.080	%	08/13/2007		1,010,000		110		50
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	08/08/2007	$	34,000		138		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		62,100		241		100
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2007		78,500		509		96
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		112,900		255		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		216,400		1,073		347
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		220,500		1,422		272
									$	4,665	$	957

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.355	05/21/2008	EUR	7,900	$	236	$	266
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		7,900		236		198
Call - OTC Euro versus U.S. dollar		1.362	05/21/2008		4,400		134		133
Put - OTC Euro versus U.S. dollar		1.362	05/21/2008		4,400		134		125
Call - OTC Euro versus U.S. dollar		1.367	05/19/2010		2,100		101		113
Put - OTC Euro versus U.S. dollar		1.367	05/19/2010		2,100		101		89
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		1,700		80		85
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		1,700		80		78
Call - OTC U.S. dollar versus Japanese yen	JPY	116.000	12/05/2007	$	9,800		98		444
Call - OTC U.S. dollar versus Japanese yen		114.650	01/18/2008		15,000		500		783
Put - OTC U.S. dollar versus Japanese yen		114.650	01/18/2008		15,000		500		125
Call - OTC U.S. dollar versus Japanese yen		120.000	01/18/2008		8,100		98		168
Call - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		22,900		802		1,057
Put - OTC U.S. dollar versus Japanese yen		115.350	02/13/2008		22,900		721		244
Call - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		11,100		295		411
Put - OTC U.S. dollar versus Japanese yen		115.950	06/09/2008		11,100		295		213
Call - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		20,600		542		533
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		20,600		542		562
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		4,000		192		303
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		4,000		147		100
						$	5,834	$	6,030

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC DBR 4.250% due 07/01/2014	EUR	91.180	08/24/2007	EUR	30,000	$	4	$	4
Call - OTC Fannie Mae 5.000% due 09/01/2037	$	102.438	09/06/2007	$	46,100		5		1
Put - OTC Fannie Mae 5.500% due 07/01/2037		89.000	07/05/2007		90,000		11		0
Put - OTC Fannie Mae 5.500% due 07/01/2037		89.500	07/05/2007		39,000		5		0
Put - OTC Fannie Mae 5.500% due 08/01/2037		88.500	08/07/2007		12,000		1		0
Put - OTC Fannie Mae 5.500% due 09/01/2037		85.250	09/06/2007		73,500		9		0
Put - OTC Fannie Mae 6.000% due 09/01/2037		92.500	09/06/2007		342,800		40		23
						$	75	$	28

(i) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.500	08/24/2007	340	$	111	$	138
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	266		74		71
					$	185	$	209

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	Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.850	%	09/14/2007	GBP	5,000	$	92	$	0
Call - OTC 8-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	09/14/2007		12,000		239		0
Call - OTC 10-Year Interest Rate Swap	Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008		5,700		107		5
Call - OTC 8-Year Interest Rate Swap	JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.850	%	09/14/2007		10,000		201		0
Call - OTC 8-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	09/14/2007		1,000		20		0
Call - OTC 10-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.850	%	03/14/2008		3,000		46		2
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007	$	15,000		132		1
Call - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		49,300		201		105
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		27,000		242		97
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.150	%	12/20/2007		34,100		493		111
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		18,800		218		1
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		94,100		1,129		337
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		87,500		1,251		267
									$	4,371	$	926

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Brazilian real	$	2.020	07/27/2007	$	13,500	$	73	$	44

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC Fannie Mae 6.000% due 08/01/2037	$	98.984	07/19/2007	$	28,000	$	60	$	60

(j) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Goldman Sachs Group, Inc.	5.250	%	06/01/2016	11/03/2006	$	1,991	$	2,016	0.22	%

(k) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	07/01/2037	$	58,000	$	55,137	$	54,348
U.S. Treasury Notes	4.250	%	11/15/2013		25,200		24,243		24,420
U.S. Treasury Notes	4.500	%	11/15/2015		29,000		27,598		28,165
U.S. Treasury Notes	4.500	%	02/15/2016		2,500		2,382		2,458
U.S. Treasury Notes	4.500	%	05/15/2017		128,600		122,418		124,268
U.S. Treasury Notes	4.625	%	02/15/2017		22,900		22,026		22,626
U.S. Treasury Notes	4.875	%	05/31/2011		100		99		100
U.S. Treasury Notes	5.125	%	05/15/2016		32,100		31,939		32,577
						$	285,842	$	288,962

⁽²⁾ Market value includes $2,044 of interest payable on short sales.

(l) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	AUD	29,592	07/2007	$	39	$	0		$	39
Buy	BRL	13,165	07/2007		160		0			160
Sell		13,165	07/2007		76		0			76
Buy		19,250	10/2007		392		(6	)		386
Sell		6,590	10/2007		0		(1	)		(1	)
Buy		19,809	03/2008		201		(84	)		117
Sell	CAD	167	07/2007		1		0			1
Buy		3,151	08/2007		13		0			13
Buy	CLP	66,358	11/2007		5		0			5
Sell		83,585	03/2008		0		0			0
Buy	CNY	45,620	08/2007		116		0			116
Buy		36,587	09/2007		99		0			99
Buy		82,336	11/2007		20		0			20
Buy		113,046	01/2008		0		(96	)		(96	)
Sell		19,052	01/2008		0		(3	)		(3	)
Buy		106,826	03/2008		0		(124	)		(124	)
Buy	DKK	6,525	09/2007		4		0			4
Buy	EUR	174,559	07/2007		2,257		0			2,257
Sell		4,322	07/2007		0		(44	)		(44	)
Buy	GBP	31,599	08/2007		313		0			313
Buy	HKD	417	07/2007		0		0			0
Sell		1,019	07/2007		0		0			0
Sell		1,019	08/2007		0		0			0
Buy	INR	4,488	11/2007		0		0			0
Buy	JPY	7,447,066	07/2007		0		(817	)		(817	)
Sell		1,269,293	07/2007		4		(17	)		(13	)
Buy	KRW	476,591	07/2007		1		0			1
Buy		3,875,812	08/2007		12		0			12
Buy		895,425	09/2007		12		0			12
Buy	MXN	99,312	03/2008		223		(1	)		222
Sell		68,072	03/2008		0		(110	)		(110	)
Buy	MYR	19,944	09/2007		7		0			7
Buy		33,100	05/2008		0		(263	)		(263	)
Buy	NOK	16,737	09/2007		48		0			48
Buy	NZD	8,767	07/2007		207		0			207
Sell		52,389	07/2007		0		(607	)		(607	)
Buy	PLN	371	09/2007		3		0			3
Sell		226	03/2008		0		(3	)		(3	)
Buy	RUB	9,320	09/2007		7		0			7
Buy		9,554	11/2007		13		0			13
Buy		486,902	01/2008		331		0			331
Buy	SEK	56,961	09/2007		100		0			100
Buy	SGD	100	07/2007		0		(1	)		(1	)
Buy		3,794	08/2007		0		(43	)		(43	)
Sell		958	08/2007		2		0			2
Buy	TWD	60,988	07/2007		16		0			16
Buy		60,988	08/2007		0		(7	)		(7	)
Buy	ZAR	2,858	09/2007		8		0			8
				$	4,690	$	(2,227	)	$	2,463

See accompanying notes

Schedule of Investments

GNMA Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
U.S. GOVERNMENT AGENCIES 124.9%
Fannie Mae
4.500% due 02/01/2020	$	7,272	$	6,906
5.000% due 01/01/2018 - 01/01/2037		6,953		6,611
5.500% due 07/01/2037 - 08/01/2037		13,000		12,538
5.670% due 07/01/2011		5,683		5,717
5.797% due 03/01/2018		14		14
6.500% due 07/01/2037		1,000		1,009
9.000% due 07/01/2018		10		11
Federal Housing Administration
8.137% due 09/01/2040		47		47
Freddie Mac
5.000% due 12/01/2035		4,872		4,579
5.246% due 06/01/2030		29		29
5.500% due 05/01/2037		4,000		3,859
5.831% due 05/01/2019		13		13
6.676% due 05/01/2031		11		11
7.500% due 08/15/2029 (a)		35		8
Ginnie Mae
3.500% due 02/20/2026		8,324		8,237
4.500% due 08/20/2033		1,879		1,720
4.750% due 08/20/2025		15		15
5.000% due 07/20/2035 - 07/01/2037		17,374		16,460
5.250% due 02/20/2030		1,490		1,503
5.375% due 06/20/2021 - 05/20/2032		13,335		13,495
5.500% due 04/15/2025 - 07/01/2037		134,293		130,827
5.520% due 01/16/2031 - 02/16/2032		4,280		4,292
5.570% due 08/16/2032		945		949
5.620% due 12/16/2026 - 08/16/2031		825		829
5.625% due 03/20/2018		14		14
5.720% due 06/16/2027&		644		646
5.750% due 07/20/2018		7		7
5.820% due 07/16/2028		160		162
5.870% due 04/16/2032		310		314
5.875% due 05/20/2016 - 05/16/2027		106		106
5.970% due 05/16/2029 - 06/20/2030		648		653
6.000% due 06/15/2009 - 07/01/2037		107,300		106,785
6.125% due 12/20/2017 - 10/20/2030		18		18
6.375% due 02/20/2024 - 03/20/2027		1,041		1,050
6.500% due 02/20/2018 - 09/15/2036		17,953		18,250
7.500% due 10/15/2022 - 06/15/2033		5,394		5,579
Small Business Administration
7.449% due 08/01/2010		38		39
Total U.S. Government Agencies (Cost $356,511)				353,302
MORTGAGE-BACKED SECURITIES 0.1%
CS First Boston Mortgage Securities Corp.
5.953% due 03/25/2032		98		98
Structured Asset Mortgage Investments, Inc.
5.650% due 09/19/2032		203		203
Total Mortgage-Backed Securities (Cost $301)				301
ASSET-BACKED SECURITIES 0.6%
Amortizing Residential Collateral Trust
5.610% due 07/25/2032		19		19
Centex Home Equity
5.620% due 01/25/2032		42		42
CIT Group Home Equity Loan Trust
5.590% due 06/25/2033		82		82
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		1,853		1,501
Home Equity Asset Trust
5.920% due 11/25/2032		3		2
Saxon Asset Securities Trust
5.840% due 08/25/2032		16		16
Structured Asset Securities Corp.
5.610% due 01/25/2033		86		86
Total Asset-Backed Securities (Cost $1,777)				1,748
SHORT-TERM INSTRUMENTS 1.0%
Commercial Paper 0.5%
UBS Finance Delaware LLC
5.350% due 10/23/2007		1,300		1,300
U.S. Treasury Bills 0.5%
4.600% due 08/30/2007 - 09/13/2007 (b)(c)(f)		1,565		1,548
Total Short-Term Instruments (Cost $2,850)				2,848
Total Investments (d) 126.6% (Cost $361,439)			$	358,199
Other Assets and Liabilities (Net) (26.6%)				(75,314	)
Net Assets 100.0%			$	282,885

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

(a) Interest only security.

(b) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $1,236 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $47 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 June 30, 2007 was $3,568 at a weighted average interest rate of 5.300%. On June 30, 2007, there were no open reverse repurchase agreements.

(f) Securities with an aggregate market value of $312 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2008	328	$	(189	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	97		87
				$	(102	)

(g) Swap agreements outstanding on June 30, 2007:

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	%)	06/28/2046	$	1,000	$	307
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		21
Goldman Sachs & Co.	Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500	%)	10/11/2021		500		(4	)
JPMorgan Chase & Co.	TABS Ltd. floating rate based on 1-Month USD-LIBOR plus 1.450% due 10/08/2046	Buy	(1.650	%)	10/08/2046		2,000		625
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 2.000% due 06/25/2038	Buy	(2.500	%)	06/25/2038		1,500		703
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800	%)	06/25/2046		1,500		590
UBS Warburg LLC	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	)
								$	2,237

Credit Default Swaps (Asset-Backed Indices)

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046	$	250	$	(23	)
Bear Stearns & Co., Inc.	Home Equity Index BBB Rating 2006-1	Buy	(2.670	%)	07/25/2045		6,000		80
Bear Stearns & Co., Inc.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		6,000		211
Goldman Sachs & Co.	Home Equity Index BBB Rating 2006-2	Sell	2.420	%	05/25/2046		2,500		(219	)
Lehman Brothers, Inc.	Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045		4,500		(178	)
Lehman Brothers, Inc.	Home Equity Index BBB Rating 2006-2	Buy	(2.420	%)	05/25/2046		2,500		191
Morgan Stanley	Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045		6,000		(236	)
								$	(174	)

⁽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 (Depreciation)
Goldman Sachs & Co.	3-Month USD- LIBOR	Pay		5.000	%	06/20/2014	$	4,300	$	(152	)
Lehman Brothers, Inc.	3-Month USD- LIBOR	Pay		5.000	%	06/20/2014		6,100		(216	)
Lehman Brothers, Inc.	3-Month USD- LIBOR	Receive		5.000	%	12/19/2017		3,500		(27	)
Lehman Brothers, Inc.	3-Month USD- LIBOR with 6.940% interest rate cap	Receive	Premium amount of $	316		07/01/2011		8,000		(292	)
Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive		5.000	%	12/19/2017		4,000		(27	)
									$	(714	)

(h) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	6.000	%	07/01/2037	$	15,000	$	14,912	$	14,838
Freddie Mac	5.500	%	07/01/2037		4,000		3,853		3,858
Ginnie Mae	5.500	%	07/01/2037		8,000		7,772		7,764
Ginnie Mae	6.500	%	07/01/2037		11,000		11,183		11,174
						$	37,720	$	37,634

See accompanying notes

Schedule of Investments

High Yield Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 8.9%
AES Corp.
7.180% due 04/30/2010	$	6,000	$	6,015
Amadeus Global Travel Distribution S.A.
7.310% due 04/08/2012		3,909		3,936
7.830% due 04/08/2013		1,902		1,916
8.580% due 04/08/2014		1,879		1,898
Biomet, Inc.
6.000% due 03/08/2008		30,000		30,075
Centennial Cellular Operating Co. LLC
7.350% due 02/09/2011		8,091		8,141
7.360% due 01/20/2011		626		630
Community Health Corp.
4.000% due 07/02/2014		829		831
5.000% due 07/02/2014		12,571		12,600
7.000% due 04/10/2008		43,000		42,892
Delphi Corp.
7.625% due 12/31/2007		1,000		1,006
8.125% due 12/31/2007		11,000		11,033
Ferrellgas Partners LP
7.240% due 08/01/2010 (j)		26,000		26,686
Ford Motor Co.
8.360% due 11/29/2013		29,676		29,832
Harrah’s Entertainment, Inc.
7.500% due 03/09/2008		40,000		39,800
HCA, Inc.
7.600% due 11/14/2013		17,706		17,804
Headwaters, Inc.
7.360% due 04/30/2011		7,681		7,703
HealthSouth Corp.
7.850% due 02/02/2013		26,091		26,228
7.860% due 02/02/2013		418		420
Hertz Corp.
5.360% due 12/21/2012		1,000		1,006
7.090% due 12/20/2012		2,187		2,200
7.090% due 12/21/2012		340		342
7.110% due 12/21/2012		3,059		3,080
Ineos Group Holdings PLC
7.571% due 10/07/2012		1,888		1,902
7.580% due 10/07/2012		12,332		12,374
7.580% due 10/07/2013		1,238		1,247
8.080% due 10/07/2014		1,238		1,252
Intelsat Bermuda Ltd.
7.860% due 02/15/2014		20,750		20,797
JSG Holding PLC
7.725% due 11/29/2013		700		704
8.225% due 11/29/2014		700		704
Lear Corp.
8.000% due 06/27/2014		15,500		15,378
Metro-Goldwyn-Mayer, Inc.
8.614% due 04/08/2012		15,921		15,978
Northwest Airlines, Inc.
7.340% due 08/22/2008		4,500		4,507
Novelis, Inc.
4.000% due 05/25/2008		13,200		13,230
NTL Investment
7.356% due 01/06/2013		3,000		3,016
Nycomed
7.000% due 12/20/2014		4,500		4,490
8.000% due 12/20/2015		4,500		4,509
Primedia, Inc.
7.570% due 09/30/2013		1,990		1,987
Rite Aid Corp.
9.000% due 11/08/2013		16,000		15,920
Riverdeep Interactive
12.060% due 12/21/2014		5,506		5,520
Roundy’s Supermarket, Inc.
8.070% due 10/27/2011		27		27
8.110% due 11/01/2011		10,589		10,681
Sandridge Energy, Inc.
8.975% due 04/01/2015		13,500		13,837
SLM Corp.
6.000% due 06/30/2008		35,300		35,123
Telesat Canada, Inc.
2.620% due 02/14/2008		27,500		27,513
Thompson Learning, Inc.
5.000% due 06/27/2014		28,700		28,365
Tribune Co.
7.875% due 05/30/2009		11,075		11,095
8.375% due 05/30/2014		18,525		18,131
Univision Communications, Inc.
6.250% due 09/15/2014		1,148		1,133
7.605% due 09/15/2014		17,852		17,632
Verso Paper Holdings LLC
11.606% due 02/01/2013		2,200		2,210
VNU/Nielson Finance LLC
7.607% due 08/08/2013		5,473		5,512
VWR International, Inc.
7.000% due 05/30/2008		30,000		30,038
Weather Investments II SARL
10.978% due 10/26/2014		3,000		3,142
Wind Acquisition Finance S.A.
12.609% due 12/21/2011		6,721		6,767
Worldspan LP
8.606% due 12/07/2013		1,000		1,005
8.610% due 12/07/2013		995		1,000
12.350% due 12/07/2014		1,000		1,005
Total Bank Loan Obligations (Cost $611,520)				613,805
CORPORATE BONDS & NOTES 77.9%
Banking & Finance 9.4%
AES Ironwood LLC
8.857% due 11/30/2025		47,705		53,191
AES Red Oak LLC
8.540% due 11/30/2019		14,349		15,712
Bluewater Finance Ltd.
10.250% due 02/15/2012		30,715		32,174
Buffalo Thunder Development Authority
9.375% due 12/15/2014		2,650		2,663
C10 Capital SPV Ltd.
6.722% due 12/31/2049		10,500		10,250
Chukchansi Economic Development Authority
8.000% due 11/15/2013		675		692
Consolidated Communications Holdings, Inc.
9.750% due 04/01/2012		33		35
Ferrellgas Escrow LLC
6.750% due 05/01/2014		1,880		1,791
Ford Motor Credit Co.
7.800% due 06/01/2012		66,109		64,556
8.000% due 12/15/2016		64,945		62,308
Forest City Enterprises, Inc.
7.625% due 06/01/2015		10,525		10,657
General Motors Acceptance Corp.
6.000% due 04/01/2011		9,412		9,079
6.875% due 08/28/2012		21,890		21,416
7.000% due 02/01/2012		19,400		19,045
7.250% due 03/02/2011		15,000		14,963
8.000% due 11/01/2031		32,700		33,529
GMAC LLC
6.625% due 05/15/2012		13,400		12,953
Hexion U.S. Finance Corp.
9.750% due 11/15/2014		15,700		16,328
K&F Acquisition, Inc.
7.750% due 11/15/2014		12,950		13,792
KRATON Polymers LLC
8.125% due 01/15/2014		21,795		21,359
Mirage Resorts, Inc.
7.250% due 08/01/2017		7,625		7,511
NSG Holdings LLC/NSG Holdings, Inc.
7.750% due 12/15/2025		13,340		13,540
Petroleum Export Ltd. II
6.340% due 06/20/2011		17,540		17,192
Petroplus Finance Ltd.
6.750% due 05/01/2014		5,650		5,466
7.000% due 05/01/2017		4,770		4,615
Rotech Healthcare, Inc.
9.500% due 04/01/2012		54,257		51,544
Sally Holdings LLC
9.250% due 11/15/2014		11,000		11,083
Tenneco, Inc.
8.625% due 11/15/2014		13,895		14,381
10.250% due 07/15/2013		18,830		20,336
TNK-BP Finance S.A.
6.625% due 03/20/2017		9,200		8,936
7.500% due 07/18/2016		14,750		15,244
Universal City Development Partners
11.750% due 04/01/2010		3,000		3,188
Universal City Florida Holding Co. I
8.375% due 05/01/2010		7,900		8,117
10.106% due 05/01/2010		1,133		1,161
Ventas Realty LP
6.750% due 04/01/2017		13,750		13,647
7.125% due 06/01/2015		9,475		9,593
Wilmington Trust Co.
10.210% due 01/01/2009 (j)		84		84
10.732% due 01/01/2013 (j)		4,960		5,163
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		14,570		16,792
Yankee Acquisition Corp.
8.500% due 02/15/2015		8,000		7,800
				651,886
Industrials 55.7%
Abitibi-Consolidated Co. of Canada
8.375% due 04/01/2015		6,075		5,346
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		17,465		16,766
Actuant Corp.
6.875% due 06/15/2017		13,850		13,781
Albertson’s, Inc.
6.570% due 02/23/2028		500		430
7.450% due 08/01/2029		25,175		24,680
7.750% due 06/15/2026		5,500		5,575
Allied Waste North America, Inc.
7.250% due 03/15/2015		38,576		38,383
7.875% due 04/15/2013		26,553		26,984
American Stores Co.
8.000% due 06/01/2026		12,400		13,117
AmeriGas Partners LP
7.125% due 05/20/2016		42,470		41,939
7.250% due 05/20/2015		24,520		24,397
Aramark Corp.
8.500% due 02/01/2015		49,330		50,440
Arco Chemical Co.
10.250% due 11/01/2010		1,445		1,568
Armor Holdings, Inc.
8.250% due 08/15/2013		6,490		6,863
ArvinMeritor, Inc.
8.125% due 09/15/2015		22,510		21,919
8.750% due 03/01/2012		23,230		23,578
Berry Plastics Holding Corp.
8.875% due 09/15/2014		8,975		9,132
Bon-Ton Stores, Inc.
10.250% due 03/15/2014		44,525		45,304
Bowater Canada Finance
7.950% due 11/15/2011		19,215		18,182
Buhrmann U.S., Inc.
7.875% due 03/01/2015		13,790		13,652
8.250% due 07/01/2014		14,890		15,039
C8 Capital SPV Ltd.
6.640% due 12/31/2049		8,800		8,673
Cablemas S.A. de C.V.
9.375% due 11/15/2015		5,000		5,550
CanWest Media, Inc.
8.000% due 09/15/2012		16,533		16,492
Cascades, Inc.
7.250% due 02/15/2013		12,980		12,688
CCO Holdings LLC
8.750% due 11/15/2013		95,141		97,282
Celestica, Inc.
7.625% due 07/01/2013 (h)		10,245		9,630
7.875% due 07/01/2011		33,700		32,858
Chart Industries, Inc.
9.125% due 10/15/2015		7,165		7,559
Chemtura Corp.
6.875% due 06/01/2016		13,120		12,464
Chesapeake Energy Corp.
6.875% due 01/15/2016		19,645		19,301
7.000% due 08/15/2014		18,515		18,469
7.500% due 06/15/2014		18,395		18,717
Choctaw Resort Development Enterprise
7.250% due 11/15/2019		5,301		5,248
Citic Resources Finance Ltd.
6.750% due 05/15/2014		6,075		5,878
Compagnie Générale de Géophysique-Veritas
7.500% due 05/15/2015		6,600		6,633
7.750% due 05/15/2017		4,375		4,452
Continental Airlines, Inc.
6.920% due 04/02/2013 (j)		18,779		19,112
7.373% due 06/15/2017		1,152		1,147
7.566% due 09/15/2021		2,903		2,912
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		21,640		20,396
Corrections Corp. of America
7.500% due 05/01/2011		10,095		10,284
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		8,000		8,120
7.750% due 11/15/2015		24,845		25,093
CSC Holdings, Inc.
6.750% due 04/15/2012		7,140		6,819
7.625% due 04/01/2011		41,875		41,770
7.875% due 02/15/2018		59		57
DaVita, Inc.
7.250% due 03/15/2015		55,940		55,520
Delhaize America, Inc.
9.000% due 04/15/2031		26,404		32,032
Dex Media West LLC
9.875% due 08/15/2013		30,801		33,111
Digicel Group Ltd.
8.875% due 01/15/2015		8,000		7,860
Dresser-Rand Group, Inc.
7.375% due 11/01/2014		7,641		7,708
DRS Technologies, Inc.
7.625% due 02/01/2018		1,225		1,243
Dynegy Holdings, Inc.
7.125% due 05/15/2018		10,200		9,129
7.500% due 06/01/2015		5,025		4,755
7.750% due 06/01/2019		22,075		20,640
8.375% due 05/01/2016		13,400		13,166
EchoStar DBS Corp.
6.625% due 10/01/2014		9,730		9,316
7.000% due 10/01/2013		1,175		1,163
7.125% due 02/01/2016		57,870		56,857
El Paso Corp.
7.000% due 06/15/2017		31,270		31,084
7.420% due 02/15/2037		2,000		1,937
7.750% due 01/15/2032		3,250		3,290
7.800% due 08/01/2031		33,422		34,012
8.050% due 10/15/2030		6,710		7,082
Equistar Chemicals LP
10.125% due 09/01/2008		2,400		2,508
Ferrellgas Partners LP
7.120% due 08/01/2008 (j)		11,000		11,186
8.750% due 06/15/2012		13,843		14,328
8.780% due 08/01/2007 (j)		14,000		14,086
8.870% due 08/01/2009 (j)		7,300		7,736
Ford Motor Co.
7.125% due 11/15/2025		8,722		6,716
7.450% due 07/16/2031		8,203		6,593
7.500% due 08/01/2026		28,450		22,618
Forest Oil Corp.
7.250% due 06/15/2019		14,175		13,821
Freeport-McMoRan Copper & Gold, Inc.
8.250% due 04/01/2015		11,725		12,399
8.375% due 04/01/2017		36,650		39,216
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		58,325		55,992
9.125% due 12/15/2014 (b)		24,750		23,389
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		32,580		33,883
Gaylord Entertainment Co.
8.000% due 11/15/2013		10,000		10,188
General Motors Corp.
8.100% due 06/15/2024		3,880		3,444
8.250% due 07/15/2023 (h)		74,030		67,830
Georgia-Pacific Corp.
7.000% due 01/15/2015		1,150		1,113
7.125% due 01/15/2017		13,650		13,172
7.250% due 06/01/2028		15,200		14,060
7.375% due 12/01/2025		33,410		31,489
7.750% due 11/15/2029		3,100		2,930
8.000% due 01/15/2024 (h)		59,750		58,256
Goodyear Tire & Rubber Co.
9.000% due 07/01/2015		14,147		15,314
Graphic Packaging International
8.500% due 08/15/2011		2,500		2,569
Grupo Transportacion Ferroviaria Mexicana S.A. de C.V.
9.375% due 05/01/2012		15,814		17,000
Hanover Compressor Co.
8.625% due 12/15/2010		6,700		6,943
Hanover Equipment Trust
8.500% due 09/01/2008		19,273		19,273
HCA, Inc.
6.750% due 07/15/2013		26,263		23,965
7.190% due 11/15/2015		31,122		28,206
7.500% due 12/15/2023		4,000		3,471
7.690% due 06/15/2025		12,525		10,957
8.360% due 04/15/2024		4,890		4,533
9.000% due 12/15/2014		7,936		8,110
9.250% due 11/15/2016		88,205		94,159
9.625% due 11/15/2016 (b)		5,400		5,819
Health Management Associates, Inc.
6.125% due 04/15/2016		7,550		7,142
Herbst Gaming, Inc.
7.000% due 11/15/2014		18,570		17,502
8.125% due 06/01/2012		6,575		6,674
Hertz Corp.
8.875% due 01/01/2014		53,200		55,727
Horizon Lines LLC
9.000% due 11/01/2012		5,448		5,789
Host Marriott LP
7.125% due 11/01/2013		17,980		18,047
Idearc, Inc.
8.000% due 11/15/2016		51,600		52,374
Ineos Group Holdings PLC
8.500% due 02/15/2016		36,775		36,131
Ingles Markets, Inc.
8.875% due 12/01/2011		18,110		18,857
Intelsat Bermuda Ltd.
9.250% due 06/15/2016		21,850		23,325
Intelsat Corp.
9.000% due 06/15/2016		300		316
Intelsat Subsidiary Holding Co. Ltd.
8.250% due 01/15/2013		9,890		10,088
8.625% due 01/15/2015		33,330		34,330
Jefferson Smurfit Corp. U.S.
8.250% due 10/01/2012		6,373		6,357
JET Equipment Trust
7.630% due 08/15/2012 (a)		2,045		1,513
9.410% due 06/15/2010 (a)		757		773
10.000% due 06/15/2012 (a)		5,703		5,935
L-3 Communications Corp.
6.375% due 10/15/2015		14,605		13,875
7.625% due 06/15/2012		33,250		34,206
Legrand France
8.500% due 02/15/2025		16,775		19,669
Lyondell Chemical Co.
8.000% due 09/15/2014		12,875		13,293
8.250% due 09/15/2016		24,275		25,489
MGM Mirage
6.625% due 07/15/2015		24,863		22,719
6.875% due 04/01/2016		34,850		32,236
7.500% due 06/01/2016		31,925		30,448
NAK Naftogaz Ukrainy
8.125% due 09/30/2009		500		501
Nalco Co.
7.750% due 11/15/2011		25,387		25,704
8.875% due 11/15/2013		22,690		23,654
Norampac, Inc.
6.750% due 06/01/2013		12,879		12,348
Nordic Telephone Co. Holdings ApS
8.875% due 05/01/2016		14,300		15,230
Nortel Networks Ltd.
9.606% due 07/15/2011		6,000		6,413
10.125% due 07/15/2013		25,125		27,072
10.750% due 07/15/2016		10,675		11,849
Northwest Pipeline Corp.
7.125% due 12/01/2025		4,300		4,440
Novelis, Inc.
7.250% due 02/15/2015		9,595		9,895
OPTI Canada, Inc.
8.250% due 12/15/2014		26,575		27,106
Owens Brockway Glass Container, Inc.
6.750% due 12/01/2014		20,550		20,139
7.750% due 05/15/2011		6,850		7,064
8.750% due 11/15/2012		5,000		5,238
8.875% due 02/15/2009		6,000		6,135
Peabody Energy Corp.
6.875% due 03/15/2013		11,900		11,900
7.375% due 11/01/2016		1,500		1,538
Pilgrim’s Pride Corp.
7.625% due 05/01/2015		22,001		22,056
8.375% due 05/01/2017		2,000		1,990
Plains Exploration & Production Co.
7.000% due 03/15/2017		2,825		2,691
7.750% due 06/15/2015		10,100		10,075
Pogo Producing Co.
7.875% due 05/01/2013		1,685		1,727
PQ Corp.
7.500% due 02/15/2013		16,150		17,200
Premier Entertainment Biloxi LLC
10.750% due 02/01/2012		2,800		2,926
Primedia, Inc.
8.000% due 05/15/2013		11,850		12,531
8.875% due 05/15/2011		3,775		3,898
Quiksilver, Inc.
6.875% due 04/15/2015		38,945		36,803
Qwest Communications International, Inc.
7.500% due 02/15/2014		160,686		163,498
Range Resources Corp.
7.500% due 05/15/2016		7,700		7,835
Reynolds American, Inc.
7.250% due 06/15/2037		7,500		7,716
7.625% due 06/01/2016		20,395		21,696
7.750% due 06/01/2018		25,195		27,011
RH Donnelley Corp.
6.875% due 01/15/2013		9,125		8,692
8.875% due 01/15/2016		59,085		61,744
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		14,725		14,872
Roseton
7.270% due 11/08/2010		35,650		36,073
7.670% due 11/08/2016		38,885		40,270
Royal Caribbean Cruises Ltd.
7.250% due 03/15/2018		22,450		22,095
7.500% due 10/15/2027		5,000		4,783
Sanmina-SCI Corp.
8.125% due 03/01/2016		23,895		22,342
SemGroup LP
8.750% due 11/15/2015		43,050		43,480
Sensata Technologies BV
8.000% due 05/01/2014		40,525		39,309
Service Corp. International
7.375% due 10/01/2014		6,325		6,388
7.625% due 10/01/2018		15,115		15,380
Smurfit Capital Funding PLC
7.500% due 11/20/2025		5,300		5,366
Smurfit Kappa Funding PLC
7.750% due 04/01/2015		1,650		1,660
9.625% due 10/01/2012		4,371		4,600
Smurfit-Stone Container Enterprises, Inc.
8.000% due 03/15/2017		11,425		11,139
8.375% due 07/01/2012		13,600		13,685
Solectron Global Finance Ltd.
8.000% due 03/15/2016		5,275		5,671
Sonat, Inc.
7.000% due 02/01/2018		7,109		6,996
Station Casinos, Inc.
6.500% due 02/01/2014		520		463
6.875% due 03/01/2016		15,900		14,111
7.750% due 08/15/2016		27,705		27,566
Suburban Propane Partners LP
6.875% due 12/15/2013		30,375		29,464
Sungard Data Systems, Inc.
9.125% due 08/15/2013		42,410		43,629
Superior Essex Communications LLC
9.000% due 04/15/2012		9,195		9,425
Supervalu, Inc.
7.500% due 11/15/2014		15,100		15,553
Telenet Group Holding NV
0.000% due 06/15/2014 (d)		981		932
Tenet Healthcare Corp.
7.375% due 02/01/2013		24,796		22,533
9.875% due 07/01/2014		560		557
Tesoro Corp.
6.500% due 06/01/2017		5,000		4,912
6.625% due 11/01/2015		1,000		995
Tesoro Petroleum Corp.
7.466% due 07/17/2012 (j)		10,000		10,239
TransDigm, Inc.
7.750% due 07/15/2014		15,875		16,113
Triad Hospitals, Inc.
7.000% due 11/15/2013		37,033		39,022
Trinity Industries, Inc.
6.500% due 03/15/2014		8,026		7,886
TRW Automotive, Inc.
7.000% due 03/15/2014		11,700		11,203
7.250% due 03/15/2017		16,575		15,871
U.S. Airways Group, Inc.
0.000% due 01/01/2049 (a)		3,121		25
United Airlines, Inc.
6.071% due 03/01/2013		3,657		3,678
6.201% due 03/01/2010		3,202		3,236
6.602% due 03/01/2015		3,382		3,409
7.032% due 10/01/2010		1,438		1,452
Unity Media GmbH
10.375% due 02/15/2015		11,350		11,605
Verso Paper Holdings LLC
9.125% due 08/01/2014		36,755		38,133
West Corp.
9.500% due 10/15/2014		2,250		2,318
11.000% due 10/15/2016		6,500		6,825
Williams Cos., Inc.
7.625% due 07/15/2019		31,605		33,501
7.750% due 06/15/2031		1,806		1,921
7.875% due 09/01/2021		85,428		92,262
Williams Partners LP
7.250% due 02/01/2017		6,125		6,186
Wynn Las Vegas LLC
6.625% due 12/01/2014		71,800		69,556
Xerox Capital Trust I
8.000% due 02/01/2027		22,030		22,673
				3,852,349
Utilities 12.8%
AES Corp.
8.750% due 05/15/2013		31,290		33,167
American Cellular Corp.
10.000% due 08/01/2011		3,116		3,280
Cincinnati Bell Telephone Co.
6.300% due 12/01/2028		2,000		1,790
Cincinnati Bell, Inc.
7.250% due 07/15/2013		11,375		11,716
8.375% due 01/15/2014		40,460		41,067
Citizens Communications Co.
7.000% due 11/01/2025		1,650		1,489
7.125% due 03/15/2019		31,895		30,300
7.450% due 07/01/2035		5,460		4,818
7.875% due 01/15/2027		590		577
9.000% due 08/15/2031		22,810		23,608
Complete Production Services, Inc.
8.000% due 12/15/2016		8,250		8,374
Edison Mission Energy
7.000% due 05/15/2017		9,450		8,954
7.200% due 05/15/2019		17,700		16,726
7.625% due 05/15/2027		10,775		10,236
7.750% due 06/15/2016		12,615		12,615
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		29,485		31,033
10.860% due 05/01/2013		6,225		6,381
Homer City Funding LLC
8.734% due 10/01/2026		11,782		13,019
Insight Midwest LP
9.750% due 10/01/2009		14,923		15,072
MetroPCS Wireless, Inc.
9.250% due 11/01/2014		18,125		18,805
Midwest Generation LLC
8.560% due 01/02/2016		61,821		65,955
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		3,100		3,197
8.375% due 10/14/2010		7,300		7,627
Nextel Communications, Inc.
7.375% due 08/01/2015		22,125		22,135
NRG Energy, Inc.
7.250% due 02/01/2014		5,900		5,929
7.375% due 02/01/2016		63,715		64,033
7.375% due 01/15/2017		16,125		16,226
PSEG Energy Holdings LLC
8.500% due 06/15/2011		54,955		58,481
Qwest Corp.
7.200% due 11/10/2026		23,626		23,331
7.500% due 06/15/2023		28,531		28,674
8.875% due 03/15/2012		32,820		35,528
Reliant Energy, Inc.
6.750% due 12/15/2014		51,990		53,290
7.625% due 06/15/2014		16,750		16,415
7.875% due 06/15/2017		21,750		21,261
Rural Cellular Corp.
9.875% due 02/01/2010		23,665		24,848
Sierra Pacific Resources
6.750% due 08/15/2017		15,855		15,666
7.803% due 06/15/2012		13,562		14,329
8.625% due 03/15/2014		14,492		15,627
South Point Energy Center LLC
8.400% due 05/30/2012 (g)		22,337		22,086
Tenaska Alabama Partners LP
7.000% due 06/30/2021		20,319		20,893
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		49,374		52,583
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		4,500		4,708
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (j)		3,046		3,163
				889,012
Total Corporate Bonds & Notes (Cost $5,361,650)				5,393,247
CONVERTIBLE BONDS & NOTES 1.0%
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		10,550		10,207
Allied Waste North America, Inc.
4.250% due 04/15/2034		904		869
Chesapeake Energy Corp.
2.750% due 11/15/2035		7,275		7,921
CMS Energy Corp.
2.875% due 12/01/2024		14,250		18,685
Deutsche Bank AG
0.000% due 07/14/2008		4,900		4,580
0.000% due 09/29/2008		3,425		3,219
0.000% due 10/24/2008		4,525		4,443
Host Hotels & Resorts, Inc.
2.625% due 04/15/2027		1,575		1,449
LifePoint Hospitals, Inc.
3.500% due 05/15/2014		1,000		1,020
Nortel Networks Corp.
2.125% due 04/15/2014		11,000		10,794
Qwest Communications International, Inc.
3.500% due 11/15/2025		3,200		5,624
Total Convertible Bonds & Notes (Cost $67,209)				68,811
MUNICIPAL BONDS & NOTES 0.1%
Bell, California Public Financing Authority Notes, Series 2006
7.400% due 11/01/2007		4,600		4,606
Total Municipal Bonds & Notes (Cost $4,600)				4,606
U.S. GOVERNMENT AGENCIES 3.0%
Fannie Mae
5.500% due 09/01/2017 - 08/01/2037		213,727		206,089
Total U.S. Government Agencies (Cost $205,408)				206,089
MORTGAGE-BACKED SECURITIES 0.0%
RMF Commercial Mortgage Pass-Through Certificates
9.150% due 11/28/2027		681		672
Total Mortgage-Backed Securities (Cost $646)				672
FOREIGN CURRENCY-DENOMINATED ISSUES 3.5%
Amadeus Global Travel Distribution S.A.
6.104% due 04/08/2013	EUR	5,250		7,167
6.218% due 04/08/2013		460		628
6.354% due 04/08/2014		5,250		7,201
6.468% due 04/08/2014		460		631
Bombardier, Inc.
7.250% due 11/15/2016		18,075		25,595
JSG Holding PLC
6.345% due 11/29/2013		726		993
6.362% due 11/29/2013		820		1,120
6.398% due 11/29/2013		264		361
6.444% due 11/29/2013		1,090		1,490
6.718% due 11/29/2014		726		995
6.862% due 11/29/2014		820		1,123
6.898% due 11/29/2014		264		362
6.944% due 11/29/2014		1,090		1,493
10.125% due 10/01/2012		607		878
Lighthouse International Co. S.A.
8.000% due 04/30/2014		7,750		11,132
Nordic Telephone Co. Holdings ApS
5.875% due 11/30/2014		4,869		6,672
6.125% due 11/30/2014		8,300		11,391
8.250% due 05/01/2016		18,275		26,589
NTL Cable PLC
8.750% due 04/15/2014		18,000		25,519
OI European Group BV
6.875% due 03/31/2017		2,000		2,700
Rockwood Specialties Group, Inc.
7.625% due 11/15/2014		9,900		14,036
Royal Bank of Scotland Group PLC
9.370% due 04/06/2011	GBP	7,321		14,762
SigmaKalon
6.164% due 06/30/2012	EUR	1,480		2,005
Telenet Communications NV
9.000% due 12/15/2013		7,582		11,134
UPC Financing Partnership
5.000% due 12/31/2014		6,500		8,818
5.942% due 12/31/2014		13,964		18,928
UPC Holding BV
7.750% due 01/15/2014		8,025		10,807
8.625% due 01/15/2014		18,550		25,797
Total Foreign Currency-Denominated Issues (Cost $222,549)				240,327
		Shares
COMMON STOCKS 0.0%
Reliant Resources, Inc. - Warrants Exp. 08/25/2008 (j)		65,885		1,448
US Airways Group, Inc. ‘A’ (a)		12,224		0
Total Common Stocks (Cost $0)				1,448
CONVERTIBLE PREFERRED STOCKS 0.3%
Chesapeake Energy Corp.
4.500% due 12/31/2049		37,600		3,817
5.000% due 12/31/2049		40,200		4,487
Freeport-McMoRan Copper & Gold, Inc.
6.750% due 05/01/2010		45,800		5,885
Vale Capital Ltd.
5.500% due 06/15/2010		192,400		9,507
Total Convertible Preferred Stocks (Cost $22,385)				23,696
PREFERRED STOCKS 0.4%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		25,808		26,002
Total Preferred Stocks (Cost $26,540)				26,002
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 9.7%
Certificates of Deposit 0.7%
Unicredito Italiano SpA
5.295% due 05/29/2008	$	50,000		50,000
Commercial Paper 8.6%
Bank of America Corp.
5.250% due 10/04/2007		72,100		71,104
Fannie Mae
5.080% due 07/02/2007		165,900		165,900
Freddie Mac
4.800% due 07/02/2007		198,400		198,400
Societe Generale NY
5.250% due 11/26/2007		163,000		160,770
				596,174
Tri-party Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 07/02/2007		17,554		17,554
(Dated 06/29/2007. Collateralized by Freddie Mac 4.125% due 11/18/2009 valued at $17,906. Repurchase proceeds are $17,561.)
U.S. Treasury Bills 0.1%
4.617% due 08/30/2007 - 09/13/2007 (c)(e)		10,380		10,278
Total Short-Term Instruments (Cost $674,114)				674,006
Total Investments (f) 104.8% (Cost $7,196,621)			$	7,252,709
Other Assets and Liabilities (Net) (4.8%)				(333,387	)
Net Assets 100.0%			$	6,919,322

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

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

(a) Security is in default.

(b) Payment in-kind bond security.

(c) Coupon represents a weighted average rate.

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

(e) Securities with an aggregate market value of $6,182 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(f) As of June 30, 2007, portfolio securities with an aggregate value of $200,291 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Security is subject to a forbearance agreement entered into by the Fund which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default.

(h) The average amount of borrowing outstanding during the period ended June 30, 2007 was $16,059 at a weighted average interest rate of 5.070%. On June 30, 2007, securities valued at $81,287 were pledged as collateral for reverse repurchase agreements.

(i) Swap agreements outstanding on June 30, 2007:

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	%	09/20/2007	JPY	3,974,000	$	161
Bank of America	Ford Motor Corp. 7.450% due 07/16/2031	Buy	(2.150	%)	03/20/2009	$	3,250		19
Bank of America	MGM Mirage 5.875% due 02/27/2014	Buy	(0.810	%)	06/20/2010		5,900		69
Bank of America	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.070	%	03/20/2012		8,000		(45	)
Bank of America	Aramark Corp. 8.500 due 02/01/2015	Sell	2.302	%	06/20/2012		2,700		(82	)
Bank of America	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.100	%	06/20/2012		5,000		(24	)
Bank of America	Dow Jones CDX N.A. HY8 Index	Sell	2.750	%	06/20/2012		24,800		(325	)
Bank of America	Freeport-McMoRan Copper & Gold, Inc. 8.375% due 04/01/2017	Sell	0.910	%	06/20/2012		2,000		5
Bank of America	MGM Mirage 5.875% due 02/27/2014	Sell	1.530	%	06/20/2012		5,900		(201	)
Bank of America	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.320	%	06/20/2012		5,000		(76	)
Bank of America	SLM Corp. 5.125% due 08/27/2012	Sell	1.730	%	06/20/2012		9,000		(302	)
Bank of America	Community Health Systems 8.875% due 07/15/2015	Sell	2.830	%	09/20/2012		5,000		19
Bank of America	Community Health Systems 8.875% due 07/15/2015	Sell	2.850	%	09/20/2012		2,350		11
Bank of America	Ford Motor Corp. 7.450% due 07/16/2031	Buy	(5.100	%)	03/20/2014		3,250		79
Bank of America	SLM Corp. 5.125% due 08/27/2012	Buy	(2.640	%)	06/20/2017		5,625		373
Barclays Bank PLC	Domtar, Inc. 7.875% due 10/15/2011	Sell	1.500	%	09/20/2007		5,900		15
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.760	%	02/20/2009		21,500		227
Barclays Bank PLC	RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	0.740	%	03/20/2009		12,500		114
Barclays Bank PLC	Intelsat Ltd. 6.500% due 11/01/2013	Buy	(1.300	%)	03/20/2010		8,000		346
Barclays Bank PLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.870	%	09/20/2011		5,000		187
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.900	%	02/20/2012		33,000		383
Barclays Bank PLC	Intelsat Ltd. 6.500% due 11/01/2013	Sell	2.500	%	03/20/2012		8,000		(658	)
Barclays Bank PLC	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.500	%	03/20/2012		7,000		(181	)
Barclays Bank PLC	Allied Waste North America, Inc. 7.375% due 04/15/2014	Sell	2.030	%	06/20/2012		2,700		(88	)
Barclays Bank PLC	Forest Oil Corp. 7.750% due 05/01/2014	Sell	1.750	%	06/20/2012		2,500		(38	)
Barclays Bank PLC	Forest Oil Corp. 7.750% due 05/01/2014	Sell	1.770	%	06/20/2012		2,700		(41	)
Barclays Bank PLC	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	3.620	%	06/20/2012		2,700		(56	)
Barclays Bank PLC	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.360	%	06/20/2012		2,700		(40	)
Barclays Bank PLC	Sungard Data Systems, Inc. 9.125% due 08/15/2013	Sell	2.600	%	06/20/2012		2,700		(65	)
Barclays Bank PLC	Community Health Systems 8.875% due 07/15/2015	Sell	2.800	%	09/20/2012		3,000		1
Bear Stearns & Co., Inc.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	1.300	%	09/20/2007		1,300		2
Bear Stearns & Co., Inc.	CSC Holdings, Inc. 6.750% due 04/15/2012	Sell	2.150	%	12/20/2007		2,000		14
Bear Stearns & Co., Inc.	Williams Cos., Inc. 7.125% due 09/01/2011	Sell	1.250	%	12/20/2007		3,000		16
Bear Stearns & Co., Inc.	Dow Jones CDX N.A. HY7 Index	Buy	(3.250	%)	12/20/2011		47,800		(427	)
Bear Stearns & Co., Inc.	Cedar Fair LP 0.000% due 08/30/2011	Sell	1.120	%	03/20/2012		2,000		(34	)
Bear Stearns & Co., Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.070	%	03/20/2012		5,000		(28	)
Bear Stearns & Co., Inc.	Roundy’s Supermarket, Inc. 0.000% due 10/27/2010	Sell	1.550	%	03/20/2012		2,000		(61	)
Bear Stearns & Co., Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.950	%	06/20/2012		2,700		(86	)
Bear Stearns & Co., Inc.	Community Health Systems 8.875% due 07/15/2015	Sell	2.850	%	09/20/2012		3,700		17
Citibank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.000	%	09/20/2007		15,125		56
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.100	%)	09/20/2007		1,300		(2	)
Citibank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.800	%	12/20/2008		10,000		26
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.120	%	12/20/2008		10,650		(33	)
Citibank N.A.	First Data Corp. 5.625% due 11/01/2011	Buy	(1.750	%)	06/20/2010		2,500		47
Citibank N.A.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Buy	(1.070	%)	06/20/2010		8,000		150
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.050	%	06/20/2011		4,400		(34	)
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.000	%	03/20/2012		1,000		(33	)
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.030	%	03/20/2012		15,300		(489	)
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.600	%	03/20/2012		4,000		(42	)
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.880	%	03/20/2012		15,000		1
Citibank N.A.	Aramark Corp. 8.500 due 02/01/2015	Sell	2.300	%	06/20/2012		7,000		(187	)
Citibank N.A.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.030	%	06/20/2012		2,500		(26	)
Citibank N.A.	First Data Corp. 5.625% due 11/01/2011	Sell	3.000	%	06/20/2012		5,000		(181	)
Citibank N.A.	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	3.500	%	06/20/2012		4,900		(128	)
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.000	%	06/20/2012		15,500		56
Citibank N.A.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.820	%	06/20/2012		5,300		(200	)
Citibank N.A.	LCDX N.A. 8 Index	Sell	1.200	%	06/20/2012		2,600		(61	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.300	%	06/20/2012		3,500		(56	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.400	%	06/20/2012		8,000		(110	)
Citibank N.A.	Forest Oil Corp. 7.750% due 05/01/2014	Sell	1.930	%	09/20/2012		2,000		(22	)
Citibank N.A.	HCA, Inc. 9.125% due 11/15/2014	Sell	2.000	%	09/20/2012		4,400		(14	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.600	%	09/20/2012		2,375		(23	)
Citibank N.A.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Buy	(0.490	%)	03/20/2014		5,000		(10	)
Citibank N.A.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.370	%	03/20/2014		5,000		(69	)
Citibank N.A.	First Data Corp. 5.625% due 11/01/2011	Buy	(4.400	%)	06/20/2017		2,500		117
Credit Suisse First Boston	Reliant Energy, Inc. 9.250% due 07/15/2010	Sell	3.000	%	12/20/2007		2,000		20
Credit Suisse First Boston	Abitibi-Consolidated Co. of Canada 8.375% due 04/01/2015	Sell	0.650	%	03/20/2008		8,200		(140	)
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.750	%	03/20/2008		9,000		(35	)
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.450	%	12/20/2008		12,000		(29	)
Credit Suisse First Boston	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.050	%	03/20/2012		43,000		(1,342	)
Credit Suisse First Boston	Solectron Global Finance Ltd. 8.000% due 03/15/2016	Sell	2.850	%	03/20/2012		6,000		287
Credit Suisse First Boston	Solectron Global Finance Ltd. 8.000% due 03/15/2016	Sell	3.100	%	03/20/2012		3,500		236
Credit Suisse First Boston	Forest Oil Corp. 7.750% due 05/01/2014	Sell	1.610	%	06/20/2012		2,500		(54	)
Credit Suisse First Boston	Solectron Global Finance Ltd. 8.000% due 03/15/2016	Sell	3.700	%	06/20/2012		2,000		202
Credit Suisse First Boston	Community Health Systems 8.875% due 07/15/2015	Sell	2.900	%	09/20/2012		2,500		17
Credit Suisse First Boston	Pride International, Inc. 7.375% due 07/15/2014	Sell	1.950	%	09/20/2012		800		(9	)
Credit Suisse First Boston	Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	4.220	%	09/20/2012		1,000		(14	)
Deutsche Bank AG	Ford Motor Corp. 7.450% due 07/16/2031	Sell	4.080	%	03/20/2011		6,500		(62	)
Deutsche Bank AG	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		8,800		126
Deutsche Bank AG	LCDX N.A. 8 Index	Sell	1.200	%	06/20/2012		7,200		(143	)
Goldman Sachs & Co.	Host Marriott LP 7.125% due 11/01/2013	Sell	1.770	%	12/20/2010		5,900		53
Goldman Sachs & Co.	Dow Jones CDX N.A. HY7 Index	Sell	0.560	%	12/20/2011		14,800		(141	)
Goldman Sachs & Co.	Dow Jones CDX N.A. HY7 Index	Sell	0.785	%	12/20/2011		13,700		(6	)
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.025	%	03/20/2012		8,000		(257	)
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.300	%	03/20/2012		9,000		(196	)
Goldman Sachs & Co.	Forest Oil Corp. 7.750% due 05/01/2014	Sell	1.650	%	06/20/2012		2,500		(50	)
Goldman Sachs & Co.	Aramark Corp. 8.500 due 02/01/2015	Sell	3.150	%	09/20/2012		5,000		(13	)
HSBC Bank USA	NAK Naftogaz Ukrainy 8.125% due 09/30/2009	Sell	2.900	%	04/20/2008		10,000		12
HSBC Bank USA	NAK Naftogaz Ukrainy 8.125% due 09/30/2009	Sell	3.000	%	04/20/2008		10,000		(50	)
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	04/20/2009		20,000		80
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009		5,550		25
JPMorgan Chase & Co.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	1.430	%	09/20/2007		5,400		11
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	0.770	%	02/20/2012		20,000		225
JPMorgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.110	%	03/20/2012		10,000		87
Lehman Brothers, Inc.	NRG Energy, Inc. 7.250% due 02/01/2014	Sell	0.750	%	03/20/2008		24,200		(73	)
Lehman Brothers, Inc.	ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	2.350	%	12/20/2009		2,000		16
Lehman Brothers, Inc.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.520	%)	06/20/2010		4,400		31
Lehman Brothers, Inc.	RH Donnelley Corp. 6.875% due 01/15/2013	Buy	(1.250	%)	06/20/2010		6,500		82
Lehman Brothers, Inc.	RH Donnelley Corp. 6.875% due 01/15/2013	Sell	1.700	%	06/20/2011		6,500		(141	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		30,600		1,002
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY7 Index	Sell	0.720	%	12/20/2011		11,300		(14	)
Lehman Brothers, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.070	%	03/20/2012		5,000		(28	)
Lehman Brothers, Inc.	Solectron Global Finance Ltd. 8.000% due 03/15/2016	Sell	3.100	%	03/20/2012		7,400		499
Lehman Brothers, Inc.	Solectron Global Finance Ltd. 8.000% due 03/15/2016	Sell	3.950	%	03/20/2012		3,000		307
Lehman Brothers, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.090	%	06/20/2012		1,800		(14	)
Lehman Brothers, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.100	%	06/20/2012		3,000		(22	)
Lehman Brothers, Inc.	Forest Oil Corp. 7.750% due 05/01/2014	Sell	1.750	%	06/20/2012		1,000		(16	)
Lehman Brothers, Inc.	LCDX N.A. 8 Index	Sell	1.200	%	06/20/2012		9,500		(219	)
Lehman Brothers, Inc.	Pride International, Inc. 7.375% due 07/15/2014	Sell	1.750	%	06/20/2012		4,750		(56	)
Lehman Brothers, Inc.	Celestica, Inc. 7.625% due 07/01/2013	Sell	4.250	%	09/20/2012		1,000		(13	)
Lehman Brothers, Inc.	CSC Holdings, Inc. 7.625% due 07/15/2018	Sell	2.520	%	09/20/2012		1,000		(13	)
Lehman Brothers, Inc.	HCA, Inc. 6.950% due 05/01/2012	Sell	3.040	%	09/20/2012		3,000		(34	)
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.000	%	09/20/2007		10,000		37
Merrill Lynch & Co., Inc.	Ford Motor Corp. 7.450% due 07/16/2031	Buy	(2.850	%)	12/20/2008		18,000		(164	)
Merrill Lynch & Co., Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.630	%	09/20/2009		10,000		85
Merrill Lynch & Co., Inc.	Lyondell Chemical Co. 10.500% due 06/01/2013	Sell	2.950	%	12/20/2009		5,000		207
Merrill Lynch & Co., Inc.	Ford Motor Corp. 7.450% due 07/16/2031	Sell	4.830	%	12/20/2010		2,000		39
Merrill Lynch & Co., Inc.	Ford Motor Corp. 7.450% due 07/16/2031	Sell	4.850	%	12/20/2010		18,000		360
Merrill Lynch & Co., Inc.	CSC Holdings, Inc. 7.625% due 07/15/2018	Sell	2.080	%	06/20/2012		5,500		(146	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		16,000		199
Merrill Lynch & Co., Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.800	%	06/20/2012		2,700		(104	)
Merrill Lynch & Co., Inc.	PSEG Energy Holdings LLC 8.500% due 06/15/2011	Sell	1.300	%	06/20/2012		5,000		5
Morgan Stanley	Bombardier, Inc. 6.750% due 05/01/2012	Sell	2.450	%	09/20/2007		5,000		26
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.440	%	10/20/2007		10,000		16
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		4,900		(1	)
Morgan Stanley	Allied Waste North America, Inc. 7.375% due 04/15/2014	Buy	(1.120	%)	06/20/2010		4,400		51
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.050	%	04/20/2011		15,500		324
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.070	%	04/20/2011		25,000		541
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	08/20/2011		30,600		1,014
Morgan Stanley	Allied Waste North America, Inc. 7.375% due 04/15/2014	Sell	2.020	%	06/20/2012		1,700		(59	)
Morgan Stanley	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.110	%	06/20/2012		3,500		(25	)
Morgan Stanley	CSC Holdings, Inc. 7.625% due 04/01/2011	Sell	2.010	%	06/20/2012		1,000		(29	)
Morgan Stanley	Forest Oil Corp. 7.750% due 05/01/2014	Sell	1.700	%	06/20/2012		2,000		(36	)
Morgan Stanley	Forest Oil Corp. 7.750% due 05/01/2014	Sell	1.730	%	06/20/2012		3,000		(49	)
Morgan Stanley	Forest Oil Corp. 7.750% due 05/01/2014	Sell	1.750	%	06/20/2012		3,450		(54	)
Morgan Stanley	LCDX N.A. 8 Index	Sell	1.200	%	06/20/2012		17,900		(406	)
Morgan Stanley	Reliant Energy, Inc. 6.750% due 12/15/2014	Sell	2.200	%	06/20/2012		6,050		(168	)
Morgan Stanley	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.630	%	09/20/2012		2,375		(20	)
Morgan Stanley	Pride International, Inc. 7.375% due 07/15/2014	Sell	1.960	%	09/20/2012		1,700		(9	)
Royal Bank of Scotland Group PLC	Ford Motor Corp. 7.450% due 07/16/2031	Buy	(2.750	%)	12/20/2008		2,000		(15	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011		33,000		567
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.100	%	03/20/2012		11,000		44
UBS Warburg LLC	Tenet Healthcare Corp. 7.375% due 02/01/2013	Buy	(1.150	%)	03/20/2009		5,000		88
UBS Warburg LLC	Tenet Healthcare Corp. 7.375% due 02/01/2013	Sell	1.800	%	03/20/2010		5,000		(144	)
								$	241

⁽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 (Depreciation)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	10.680	%	01/02/2012	BRL	118,300	$	0
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		296,000		(3,083	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009	MXN	373,000		(6	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009		455,000		0
								$	(3,089	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation/ (Depreciation	)
Merrill Lynch & Co., Inc.	Long	Motorola, Inc.	0.000%	07/23/2007	146,500	$	(31	)
Merrill Lynch & Co., Inc.	Long	NRG Energy, Inc.	5.601%	07/23/2007	255,400		378
						$	347

(j) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Continental Airlines, Inc.	6.920	%	04/02/2013	07/01/2003	$	17,336	$	19,112	0.28	%
Ferrellgas Partners LP	7.120	%	08/01/2008	04/30/2002 - 01/15/2004		11,037		11,186	0.16	%
Ferrellgas Partners LP	7.240	%	08/01/2010	10/17/2001 - 04/24/2006		25,978		26,686	0.39	%
Ferrellgas Partners LP	8.780	%	08/01/2007	06/30/2003		14,034		14,086	0.20	%
Ferrellgas Partners LP	8.870	%	08/01/2009	06/30/2003		7,664		7,736	0.11	%
Reliant Resources, Inc. - Warrants Exp. 08/25/2008	0.000	%	08/25/2008	07/15/2004		0		1,448	0.02	%
Tesoro Petroleum Corp.	7.466	%	07/17/2012	11/17/2004		9,963		10,239	0.15	%
Wilmington Trust Co.	10.210	%	01/01/2009	06/29/1993		83		84	0.00	%
Wilmington Trust Co.	10.732	%	01/01/2013	01/07/1993 - 05/16/2003		4,875		5,163	0.07	%
Wilmington Trust Co. - Tucson Electric	10.732	%	01/01/2013	05/09/1995 - 05/16/2003		3,030		3,163	0.05	%
					$	94,000	$	98,903	1.43	%

(k) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	CHF	697	09/2007	$	7	$	0		$	7
Buy	EUR	28,833	07/2007		267		0			267
Sell		204,097	07/2007		0		(2,659	)		(2,659	)
Sell	GBP	8,786	08/2007		0		(93	)		(93	)
Buy	JPY	457,798	07/2007		0		(54	)		(54	)
				$	274	$	(2,806	)	$	(2,532	)

See accompanying notes

Schedule of Investments

High Yield Municipal Bond Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 103.3%
Alabama 3.1%
Butler, Alabama Industrial Development Board Revenue Bonds, Series 1993
5.900% due 12/01/2012	$	50	$	50
Huntsville-Redstone Village, Alabama Special Care Facilities Financing Authority Revenue Bonds, Series 2007
5.500% due 01/01/2043		1,800		1,740
Tuscaloosa, Alabama Educational Building Authority Revenue Bonds, Series 2007
5.000% due 06/01/2026		2,500		2,423
				4,213
Alaska 0.7%
Alaska State Industrial Development & Export Authority Revenue Bonds, Series 2007
6.000% due 12/01/2036		1,000		1,018
Arizona 2.4%
Arizona State Health Facilities Authority Revenue Bonds, Series 2007
5.200% due 10/01/2037		1,000		986
Pima County, Arizona Industrial Development Authority Revenue Bonds, Series 2006
6.375% due 06/01/2036		1,500		1,551
Pima County, Arizona Industrial Development Authority Revenue Bonds, Series 2007
5.000% due 06/01/2037		750		732
				3,269
Arkansas 0.4%
Little Rock, Arkansas Municipal Property Owners Multipurpose Improvement District Special Tax Bonds, (GO OF DIST Insured), Series 2007
5.350% due 03/01/2032		500		497
California 6.5%
California State Sierra Kings Health Care District Revenue Bonds, Series 2006
6.000% due 12/01/2036		200		193
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.250% due 07/01/2042		2,500		2,430
5.300% due 10/01/2037		1,070		1,057
5.500% due 11/01/2038		1,500		1,511
9.000% due 11/01/2017		500		503
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.125% due 06/01/2047		2,750		2,670
Los Angeles, California Regional Airports Improvement Corp. Revenue Bonds, Series 2002
7.500% due 12/01/2024		250		281
Moreno Valley, California Unified School District Community Facilities District Special Tax Bonds, Series 2005
5.200% due 09/01/2036		150		150
				8,795
Colorado 9.7%
Colorado State Educational & Cultural Facilities Authority Revenue Bonds, Series 2007
5.700% due 05/01/2037 (a)		800		803
5.750% due 12/01/2037		1,000		1,020
Colorado State Health Facilities Authority Revenue Bonds, Series 2007
5.300% due 07/01/2037		2,350		2,305
Confluence Metropolitan District, Colorado Revenue Bonds, Series 2007
5.400% due 12/01/2027		500		502
5.450% due 12/01/2034		1,000		1,004
Copperleaf, Colorado Metropolitan District No. 2 General Obligation Bonds, Series 2006
5.950% due 12/01/2036		500		509
Madre, Colorado Metropolitan District No. 2 General Obligation Bonds, Series 2007
5.500% due 12/01/2036		900		886
Moffat County, Colorado Revenue Bonds, (AMBAC Insured), Series 1994
3.900% due 05/01/2013		5,000		5,000
Park Meadows, Colorado Business Improvement District Revenue Bonds, Series 2007
5.300% due 12/01/2027 (a)		475		480
5.350% due 12/01/2031 (a)		260		263
Tallyns Reach, Colorado Metropolitan District No. 3 General Obligation Bonds, Series 2007
5.200% due 12/01/2036		500		493
				13,265
Florida 6.1%
Hillsborough County, Florida Industrial Development Authority Revenue Bonds, Series 2007
5.125% due 05/15/2037		1,000		978
Jacksonville, Florida Economic Development Commission Revenue Bonds, Series 2007
5.300% due 05/01/2037		2,500		2,467
Lee County, Florida Industrial Development Authority Revenue Bonds, Series 2007
5.375% due 06/15/2037		1,500		1,469
Martin County, Florida Revenue Bonds, Series 2000
3.900% due 07/15/2022		1,180		1,180
Orange County, Florida Health Facilities Authority Revenue Bonds, (FSA Insured), Series 2007
3.900% due 10/01/2041		500		500
Orange County, Florida Health Facilities Authority Revenue Bonds, Series 2007
5.500% due 07/01/2032		500		497
Sarasota County, Florida Health Facility Authority Revenue Bonds, Series 2007
5.750% due 07/01/2037 (a)		1,180		1,159
				8,250
Georgia 0.7%
Fulton County, Georgia Revenue Bonds, Series 2006
5.125% due 07/01/2042		250		245
Georgia State Medical Center Hospital Authority Revenue Bonds, Series 2007
5.250% due 07/01/2037		750		751
				996
Illinois 6.3%
Chicago, Illinois Revenue Bonds, (FHA/GNMA Insured), Series 2007
4.625% due 09/20/2037		500		466
Granite City, Illinois Revenue Bonds, Series 2007
5.125% due 04/01/2027		1,695		1,653
Granite City, Illinois Revenue Notes, Series 2007
4.875% due 04/01/2017		480		475
Illinois State Finance Authority Revenue Bonds, Series 2006
5.875% due 02/15/2038		200		206
Illinois State Finance Authority Revenue Bonds, Series 2007
5.000% due 12/01/2036		250		252
5.375% due 11/15/2039		1,600		1,607
5.500% due 05/15/2037		750		751
6.100% due 12/01/2041		1,650		1,653
Illinois State Finance Authority Sports Facilities Revenue Bonds, Series 2007
6.000% due 03/01/2037		1,500		1,508
				8,571
Indiana 2.4%
East Chicago, Indiana Revenue Bonds, Series 1999
6.375% due 08/01/2029		100		106
Indiana State Health & Educational Facilities Financing Authority Revenue Bonds, Series 2007
5.500% due 03/01/2037		1,500		1,521
Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2007
5.700% due 09/01/2037 (a)		1,650		1,664
				3,291
Iowa 4.1%
Iowa State Finance Authority Revenue Bonds, Series 2006
5.450% due 11/01/2026		175		173
Iowa State Finance Authority Revenue Bonds, Series 2007
5.500% due 11/15/2037		1,150		1,158
5.625% due 12/01/2045		4,150		4,070
Iowa State Higher Education Loan Authority Revenue Bonds, Series 2006
5.100% due 10/01/2036		200		202
				5,603
Kansas 3.1%
Labette County, Kansas Revenue Bonds, Series 2007
5.750% due 09/01/2037 (a)		1,100		1,138
Lenexa, Kansas Revenue Bonds, Series 2007
5.500% due 05/15/2039		1,000		1,017
Manhattan, Kansas Revenue Bonds, Series 2007
5.125% due 05/15/2042		650		632
5.500% due 08/01/2021		500		488
Olathe, Kansas Tax Allocation Bonds, Series 2007
5.500% due 09/01/2026 (a)		1,000		1,001
				4,276
Maryland 1.0%
Maryland State Economic Development Corp. Revenue Bonds, Series 2006
5.000% due 12/01/2031		500		497
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2007
5.300% due 01/01/2037		800		807
				1,304
Massachusetts 1.1%
Massachusetts State Development Finance Agency Revenue Bonds, Series 2007
5.200% due 11/01/2041		1,000		971
5.250% due 10/01/2037		500		502
				1,473
Michigan 5.8%
Corner Creek Academy East, Michigan Revenue Bonds, (GO OF INSTN Insured), Series 2007
5.250% due 11/01/2036		250		244
Crescent Academy, Michigan Certificates of Participation Bonds, Series 2006
5.750% due 12/01/2036		500		505
Doctor Charles Drew Academy, Michigan Certificates of Participation Bonds, Series 2006
5.700% due 11/01/2036		450		455
East Lansing, Michigan Economic Corp. Revenue Bonds, Series 2007
5.250% due 07/01/2037		800		779
Hillsdale, Michigan Hospital Finance Authority Revenue Bonds, Series 1998
5.000% due 05/15/2013		100		99
Kalamazoo, Michigan Economic Development Corp. Revenue Bonds, Series 2007
5.500% due 05/15/2036		1,535		1,548
Meridian, Michigan Economic Development Corp. Revenue Bonds, Series 2007
5.250% due 07/01/2026		995		986
Michigan State Grand Traverse Academy Revenue Bonds, Series 2007
5.000% due 11/01/2036		900		902
Michigan State Public Educational Facilities Authority Revenue Bonds, Series 2007
5.000% due 09/01/2036		2,500		2,422
				7,940
Minnesota 5.3%
Buffalo, Minnesota Revenue Bonds, Series 2006
5.500% due 09/01/2033		250		254
Dakota County, Minnesota Community Development Agency Revenue Bonds, Series 2007
5.000% due 05/01/2042		1,000		965
Eveleth, Minnesota Revenue Bonds, Series 2007
5.200% due 10/01/2027		775		761
Minneapolis, Minnesota Revenue Bonds, Series 2007
5.400% due 04/01/2028		725		712
Minneapolis, Minnesota Tax Allocation Bonds, Series 2006
5.350% due 02/01/2030		200		200
Mora, Minnesota Revenue Bonds, Series 2006
5.625% due 07/01/2033		500		502
Orono, Minnesota Revenue Bonds, Series 2006
5.400% due 11/01/2041		300		291
Oronoco, Minnesota Revenue Bonds, Series 2006
5.400% due 06/01/2041		710		691
Rochester, Minnesota Revenue Bonds, Series 2007
5.300% due 04/01/2037		1,050		1,027
Spicer, Minnesota Revenue Bonds, Series 2006
5.500% due 07/01/2033		750		752
St. Paul, Minnesota Housing & Redevelopment Authority Revenue Bonds, Series 2007
5.375% due 05/01/2043		650		632
Stillwater, Minnesota Revenue Bonds, Series 2007
5.375% due 02/01/2032		500		487
				7,274
Missouri 3.8%
Branson, Missouri Regional Airport Transportation Development District Revenue Bonds, Series 2007
6.000% due 07/01/2025		1,900		1,890
6.000% due 07/01/2037		500		503
Cottleville, Missouri Certificates of Participation Bonds, Series 2006
5.250% due 08/01/2031		250		251
Grindstone Plaza, Missouri Transportation Development District Sales Tax Revenue Bonds, Series 2006
5.500% due 10/01/2031		250		250
5.550% due 10/01/2036		250		250
Joplin, Missouri Industrial Development Authority Revenue Bonds, Series 2007
5.750% due 05/15/2031		1,485		1,504
Township of Jennings, Missouri Revenue Bonds, Series 2006
5.000% due 11/01/2023		500		491
				5,139
Montana 0.4%
Hardin, Montana Tax Increment Infrastructure Development Tax Allocation Bonds, Series 2006
0.000% due 09/01/2031 (c)		830		546
New Jersey 8.6%
Middlesex County, New Jersey Improvement Authority Revenue Bonds, Series 2005
6.125% due 01/01/2025		1,900		1,989
New Jersey State Economic Development Authority Revenue Bonds, Series 2000
7.000% due 11/15/2030		60		64
New Jersey State Economic Development Authority Revenue Bonds, Series 2006
5.375% due 11/01/2036		500		504
New Jersey State Healthcare Facilities Financing Authority Revenue Bonds, Series 2007
5.250% due 07/01/2030		3,500		3,531
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2041		6,000		5,664
				11,752
New Mexico 0.8%
New Mexico State Hospital Equipment Loan Council Revenue Bonds, Series 2007
5.250% due 08/15/2026		500		483
Otero County, New Mexico Revenue Bonds, Series 2007
6.000% due 04/01/2028		650		655
				1,138
New York 1.6%
Dutchess County, New York Industrial Development Agency Revenue Bonds, Series 2007
5.250% due 01/01/2037		1,000		986
East Rochester, New York Housing Authority Revenue Bonds, Series 2006
5.500% due 08/01/2033		200		201
Erie County, New York Industrial Development Agency Revenue Bonds, Series 2006
6.000% due 11/15/2036		150		157
New York City, New York Industrial Development Agency Revenue Bonds, Series 2005
7.625% due 08/01/2025		500		593
7.750% due 08/01/2031		150		178
				2,115
North Carolina 0.6%
Charlotte, North Carolina Revenue Bonds, Series 1998
5.600% due 07/01/2027		150		152
Charlotte, North Carolina Revenue Bonds, Series 2000
7.750% due 02/01/2028		60		64
North Carolina State Medical Care Commission Revenue Bonds, Series 2006
5.100% due 10/01/2030		550		549
				765
Pennsylvania 5.8%
Allegheny County, Pennsylvania Hospital Development Authority Revenue Bonds, Series 2007
5.375% due 11/15/2040		6,300		6,294
Harrisburg, Pennsylvania Authority Revenue Bonds, Series 2007
6.000% due 09/01/2036		500		514
Montgomery County, Pennsylvania Higher Education & Health Authority Revenue Bonds, Series 2006
5.250% due 01/01/2036		150		150
Pennsylvania State Economic Development Financing Authority Revenue Bonds, Series 2003
6.750% due 12/01/2036		250		275
Philadelphia, Pennsylvania Hospitals & Higher Education Facilities Authority Revenue Bonds, Series 2002
3.860% due 07/01/2022		65		65
Washington County, Pennsylvania Redevelopment Authority Tax Allocation Bonds, Series 2006
5.450% due 07/01/2035		550		554
				7,852
Rhode Island 0.2%
Rhode Island State Health & Educational Building Corporations Revenue Bonds, Series 1998
5.400% due 07/01/2013		185		184
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2032		100		106
				290
South Carolina 0.9%
South Carolina Jobs-Economic Development Authority Revenue Bonds, Series 2007
5.500% due 05/01/2028 (a)		1,000		995
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2030		145		165
				1,160
Tennessee 0.5%
Knox County, Tennessee Health Educational & Housing Facilities Board Revenue Bonds, Series 2007
5.250% due 04/01/2036		500		505
Maury County, Tennessee Industrial Development Board Revenue Bonds, (Guarantee Agreement GM Insured), Series 1994
6.500% due 09/01/2024		150		151
				656
Texas 14.7%
Dallas-Fort Worth, Texas International Airport Facilities Improvement Corp. Revenue Bonds, Series 2007
5.500% due 11/01/2030		5,000		4,909
Gulf Coast, Texas Industrial Development Authority Revenue Bonds, Series 2006
7.000% due 12/01/2036		500		531
HFDC of Central Texas, Inc. Revenue Bonds, Series 2006
5.500% due 02/15/2037		500		506
Houston, Texas Airport Systems Revenue Bonds, Series 1997
6.125% due 07/15/2027		45		45
Houston, Texas Airport Systems Revenue Bonds, Series 2001
6.750% due 07/01/2021		100		107
Houston, Texas Apartment System Revenue Bonds, Series 1997
6.125% due 07/15/2017		100		100
Mission, Texas Economic Development Corp. Revenue Bonds, Series 2007
5.200% due 04/01/2018		900		893
Red River, Texas Authority Revenue Bonds, (MBIA Insured), Series 2007
4.450% due 06/01/2020		3,000		2,971
San Leanna, Texas Educational Facilities Corp. Revenue Bonds, Series 2007
4.750% due 06/01/2032		2,000		1,891
Texas State Public Finance Authority Revenue Bonds, Series 2007
5.375% due 02/15/2037		3,115		2,997
Texas State Water Development Board Revenue Bonds, Series 2007
3.890% due 07/15/2019		5,000		5,000
Trinity River Authority, Texas Revenue Bonds, Series 2000
6.250% due 05/01/2028		50		53
				20,003
Utah 4.2%
Spanish Fork City, Utah Revenue Bonds, Series 2006
5.550% due 11/15/2026		500		506
5.700% due 11/15/2036		1,000		1,015
Utah County, Utah Charter School General Obligation Bonds, Series 2007
5.875% due 06/15/2037 (a)		1,650		1,649
Utah County, Utah Revenue Bonds, Series 2007
5.625% due 07/15/2037		2,550		2,541
				5,711
Virginia 0.9%
Bedford County, Virginia Industrial Development Authority Revenue Bonds, Series 1999
6.550% due 12/01/2025		100		104
Lexington, Virginia Industrial Development Authority Revenue Bonds, Series 2007
5.500% due 01/01/2037		1,100		1,098
				1,202
Washington 0.7%
Washington State Housing Finance Commission Revenue Bonds, Series 2007
5.625% due 01/01/2038		500		504
Washington State Housing Finance Commission Revenue Notes, Series 2007
5.250% due 01/01/2017		500		499
				1,003
Wisconsin 0.9%
Milwaukee, Wisconsin Redevelopment Authority Revenue Bonds, Series 2007
5.650% due 08/01/2037		1,150		1,127
Waukesha, Wisconsin Redevelopment Authority Revenue Bonds, Series 2006
5.250% due 07/01/2026		150		153
				1,280
Total Municipal Bonds & Notes (Cost $141,791)				140,647
SHORT-TERM INSTRUMENTS 0.9%
Repurchase Agreements 0.7%
State Street Bank and Trust Co.
4.900% due 07/02/2007		928		928
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $949. Repurchase proceeds are $928.)
U.S. Treasury Bills 0.2%
4.523% due 08/30/2007 - 09/13/2007 (b)(d)		280		277
Total Short-Term Instruments (Cost $1,205)				1,205
Total Investments 104.2% (Cost $142,996)			$	141,852
Written Options (e) (0.0%) (Premiums $16)				(13	)
Other Assets and Liabilities (Net) (4.2%)				(5,732	)
Net Assets 100.0%			$	136,107

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) Securities with an aggregate market value of $277 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized (Depreciation)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	78	$	(51	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	148		(236	)
				$	(287	)

(e) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	107.000	08/24/2007	50	$	16	$	13

See accompanying notes

Schedule of Investments

Income Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 22.0%
Banking & Finance 3.3%
Ajax Re Ltd.
11.610% due 05/08/2009	$	85	$	85
Bluewater Finance Ltd.
10.250% due 02/15/2012		25		26
Chukchansi Economic Development Authority
8.000% due 11/15/2013		25		26
Ferrellgas Escrow LLC
6.750% due 05/01/2014		125		119
Ford Motor Credit Co.
7.800% due 06/01/2012		225		220
General Motors Acceptance Corp.
6.750% due 12/01/2014		25		24
6.875% due 08/28/2012		100		98
7.000% due 02/01/2012		50		49
7.250% due 03/02/2011		50		50
KRATON Polymers LLC
8.125% due 01/15/2014		50		49
Petroplus Finance Ltd.
7.000% due 05/01/2017		30		29
SLM Corp.
5.435% due 01/25/2008		200		199
Tenneco, Inc.
8.625% due 11/15/2014		75		78
Universal City Florida Holding Co. I
8.375% due 05/01/2010		50		51
Ventas Realty LP
6.750% due 04/01/2017		35		35
Yankee Acquisition Corp.
9.750% due 02/15/2017		15		14
				1,152
Industrials 15.5%
Abitibi-Consolidated Co. of Canada
7.750% due 06/15/2011		45		41
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		50		48
Actuant Corp.
6.875% due 06/15/2017		50		50
Albertson’s, Inc.
7.450% due 08/01/2029		125		123
Allied Waste North America, Inc.
7.250% due 03/15/2015		125		124
AmeriGas Partners LP
7.125% due 05/20/2016		50		49
Aramark Corp.
8.500% due 02/01/2015		50		51
ArvinMeritor, Inc.
8.125% due 09/15/2015		75		73
Berry Plastics Holding Corp.
8.875% due 09/15/2014		90		92
Bombardier, Inc.
8.000% due 11/15/2014		25		26
Bon-Ton Stores, Inc.
10.250% due 03/15/2014		50		51
Bowater Canada Finance
7.950% due 11/15/2011		25		24
Buhrmann U.S., Inc.
7.875% due 03/01/2015		25		25
Cascades, Inc.
7.250% due 02/15/2013		25		24
Celestica, Inc.
7.875% due 07/01/2011		50		49
Charter Communications Operating LLC
8.375% due 04/30/2014		50		51
Chemtura Corp.
6.875% due 06/01/2016		275		261
Chesapeake Energy Corp.
6.875% due 01/15/2016		50		49
7.000% due 08/15/2014		50		50
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		25		24
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		25		25
7.750% due 11/15/2015		25		25
CSC Holdings, Inc.
6.750% due 04/15/2012		25		24
DaVita, Inc.
7.250% due 03/15/2015		75		74
Delhaize America, Inc.
8.050% due 04/15/2027		25		26
Digicel Group Ltd.
8.875% due 01/15/2015		25		25
Dynegy Holdings, Inc.
7.125% due 05/15/2018		25		22
8.375% due 05/01/2016		100		98
EchoStar DBS Corp.
7.125% due 02/01/2016		125		123
El Paso Corp.
7.000% due 06/15/2017		240		239
Equistar Chemicals LP
8.750% due 02/15/2009		100		104
Ford Motor Co.
7.450% due 07/16/2031		40		32
Forest Oil Corp.
7.250% due 06/15/2019		125		122
Freeport-McMoRan Copper & Gold, Inc.
8.250% due 04/01/2015		25		26
8.375% due 04/01/2017		175		187
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		275		264
9.125% due 12/15/2014 (a)		25		24
9.235% due 12/15/2014		25		24
Gaylord Entertainment Co.
8.000% due 11/15/2013		25		25
General Motors Corp.
8.250% due 07/15/2023		75		69
Georgia-Pacific Corp.
7.375% due 12/01/2025		50		47
8.000% due 01/15/2024		25		24
Goodyear Tire & Rubber Co.
9.000% due 07/01/2015		32		35
HCA, Inc.
9.250% due 11/15/2016		225		240
Herbst Gaming, Inc.
7.000% due 11/15/2014		20		19
Hertz Corp.
8.875% due 01/01/2014		75		79
Host Marriott LP
7.125% due 11/01/2013		45		45
Idearc, Inc.
8.000% due 11/15/2016		75		76
Ineos Group Holdings PLC
8.500% due 02/15/2016		50		49
Intelsat Bermuda Ltd.
9.250% due 06/15/2016		25		27
Jefferson Smurfit Corp. U.S.
7.500% due 06/01/2013		25		24
L-3 Communications Corp.
7.625% due 06/15/2012		50		51
Lyondell Chemical Co.
6.875% due 06/15/2017		25		24
8.250% due 09/15/2016		50		53
MGM Mirage
7.500% due 06/01/2016		25		24
7.625% due 01/15/2017		100		96
Nalco Co.
8.875% due 11/15/2013		75		78
Nortel Networks Ltd.
10.125% due 07/15/2013		80		86
10.750% due 07/15/2016		25		28
NPC International, Inc.
9.500% due 05/01/2014		25		24
OPTI Canada, Inc.
8.250% due 12/15/2014		25		26
Owens Brockway Glass Container, Inc.
6.750% due 12/01/2014		65		64
Peabody Energy Corp.
7.375% due 11/01/2016		25		26
Pilgrim’s Pride Corp.
7.625% due 05/01/2015		30		30
Plains Exploration & Production Co.
7.750% due 06/15/2015		25		25
Qwest Communications International, Inc.
7.500% due 02/15/2014		175		178
Range Resources Corp.
7.375% due 07/15/2013		50		51
Reynolds American, Inc.
7.250% due 06/15/2037		50		51
7.625% due 06/01/2016		100		106
RH Donnelley Corp.
8.875% due 01/15/2016		75		78
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		25		25
Royal Caribbean Cruises Ltd.
7.250% due 06/15/2016		25		25
Sanmina-SCI Corp.
8.125% due 03/01/2016		25		23
SemGroup LP
8.750% due 11/15/2015		25		25
Sensata Technologies BV
8.000% due 05/01/2014		50		48
Service Corp. International
7.625% due 10/01/2018		50		51
Smurfit-Stone Container Enterprises, Inc.
8.000% due 03/15/2017		100		98
Solectron Global Finance Ltd.
8.000% due 03/15/2016		25		27
Station Casinos, Inc.
7.750% due 08/15/2016		50		50
Suburban Propane Partners LP
6.875% due 12/15/2013		40		39
Sungard Data Systems, Inc.
9.125% due 08/15/2013		25		26
Tenet Healthcare Corp.
9.875% due 07/01/2014		25		25
TRW Automotive, Inc.
7.000% due 03/15/2014		25		24
7.250% due 03/15/2017		25		24
Verso Paper Holdings LLC
9.125% due 08/01/2014		75		78
Williams Cos., Inc.
7.750% due 06/15/2031		75		80
8.750% due 03/15/2032		25		29
Williams Partners LP
7.250% due 02/01/2017		50		51
Wynn Las Vegas LLC
6.625% due 12/01/2014		100		97
				5,452
Utilities 3.2%
AES Corp.
9.000% due 05/15/2015		50		53
Cincinnati Bell, Inc.
8.375% due 01/15/2014		75		76
Citizens Communications Co.
7.125% due 03/15/2019		100		95
Complete Production Services, Inc.
8.000% due 12/15/2016		50		51
Edison Mission Energy
7.000% due 05/15/2017		50		47
7.200% due 05/15/2019		35		33
7.750% due 06/15/2016		25		25
Embarq Corp.
7.082% due 06/01/2016		100		101
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		25		26
Nevada Power Co.
6.650% due 04/01/2036		75		76
NRG Energy, Inc.
7.375% due 02/01/2016		100		100
PSEG Energy Holdings LLC
8.500% due 06/15/2011		50		53
Qwest Corp.
7.200% due 11/10/2026		50		49
7.875% due 09/01/2011		100		105
Reliant Energy, Inc.
7.625% due 06/15/2014		100		98
7.875% due 06/15/2017		50		49
Sprint Nextel Corp.
6.000% due 12/01/2016		50		48
Tenaska Alabama Partners LP
7.000% due 06/30/2021		48		49
				1,134
Total Corporate Bonds & Notes (Cost $7,853)				7,738
U.S. GOVERNMENT AGENCIES 137.9%
Fannie Mae
4.043% due 08/01/2033		377		379
4.249% due 03/01/2034		133		134
4.293% due 12/01/2033		305		304
4.530% due 11/01/2033		213		213
4.550% due 04/25/2023		23		23
4.622% due 09/01/2035		108		107
4.724% due 09/25/2022		20		20
4.755% due 07/01/2018		15		15
4.796% due 09/01/2017		21		21
5.000% due 01/01/2016 - 07/01/2017		215		210
5.060% due 03/25/2022		38		37
5.065% due 03/01/2016		12		12
5.110% due 09/25/2022		19		19
5.124% due 07/01/2017		11		11
5.125% due 08/01/2017		17		17
5.160% due 01/25/2022		113		112
5.182% due 01/01/2018		13		13
5.222% due 05/01/2028		22		22
5.250% due 09/01/2016 - 09/01/2017		46		46
5.259% due 08/01/2017		36		36
5.272% due 01/01/2018		14		14
5.276% due 10/25/2008		46		45
5.307% due 01/01/2019		23		23
5.375% due 11/01/2016		8		8
5.500% due 04/01/2037 (c)		1,793		1,729
5.500% due 04/01/2037 - 08/01/2037		18,693		18,029
5.509% due 08/01/2017		22		21
5.538% due 11/01/2018		4		4
5.605% due 11/01/2020		18		18
5.607% due 03/01/2020		14		14
5.625% due 12/01/2020		47		47
5.626% due 11/01/2020		26		26
5.628% due 05/01/2018		59		59
5.632% due 09/01/2018		31		31
5.642% due 10/01/2017 - 08/01/2026		157		157
5.646% due 09/01/2017		14		14
5.712% due 05/01/2019		17		18
5.720% due 04/18/2028 - 09/18/2031		41		42
5.744% due 11/25/2021		24		24
5.750% due 08/01/2018		45		45
5.774% due 10/25/2008		37		37
5.794% due 07/25/2021		49		49
5.971% due 01/01/2027		18		19
6.000% due 09/01/2036 (c)		20,261		20,059
6.044% due 08/25/2022		18		18
6.144% due 05/25/2022		20		21
6.152% due 12/01/2027		8		8
6.164% due 10/25/2008		25		26
6.194% due 05/25/2018 - 10/25/2020		76		77
6.214% due 10/01/2044		36		37
6.221% due 02/01/2028		5		5
6.244% due 04/25/2021 - 10/25/2021		163		167
6.257% due 01/01/2028		10		10
6.500% due 06/25/2028 - 03/25/2031		950		965
6.544% due 01/25/2024		50		52
6.644% due 11/25/2021		82		83
6.650% due 02/25/2022		25		25
6.900% due 05/25/2023		276		284
7.000% due 07/25/2022 - 06/25/2032		611		630
7.500% due 07/25/2022 - 10/25/2022		132		136
8.000% due 04/25/2021 - 07/25/2022		208		214
Freddie Mac
4.000% due 02/15/2017		270		261
4.960% due 08/01/2017		16		16
5.013% due 11/01/2017		61		62
5.346% due 02/01/2015		94		94
5.720% due 08/25/2036		77		78
5.770% due 02/01/2018		62		62
6.000% due 03/15/2017		13		13
6.500% due 11/15/2021 - 03/15/2024		576		586
6.750% due 01/15/2024		70		72
7.000% due 10/15/2013 - 08/15/2023		775		793
7.500% due 09/01/2011		157		161
8.500% due 06/15/2031		564		654
9.000% due 09/15/2020		272		291
Vendee Mortgage Trust
6.500% due 09/15/2024		375		383
Total U.S. Government Agencies (Cost $48,945)				48,567
MORTGAGE-BACKED SECURITIES 31.6%
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		434		428
Banc of America Funding Corp.
4.113% due 05/25/2035		119		115
5.729% due 06/20/2035		257		259
Banc of America Mortgage Securities, Inc.
4.144% due 07/25/2034		191		187
4.708% due 04/25/2035		297		291
5.720% due 03/25/2034		241		241
5.770% due 01/25/2034		101		102
Bear Stearns Adjustable Rate Mortgage Trust
4.645% due 01/25/2035		190		187
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		320		322
7.000% due 05/20/2030		400		428
Countrywide Alternative Loan Trust
6.339% due 07/20/2035		284		285
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		237		235
5.550% due 05/25/2035		147		147
5.590% due 03/25/2035		331		331
5.640% due 03/25/2035		373		374
CS First Boston Mortgage Securities Corp.
5.164% due 03/25/2034		321		316
Downey Savings & Loan Association Mortgage Loan Trust
5.720% due 11/19/2044		283		284
First Horizon Asset Securities, Inc.
5.820% due 03/25/2018		239		241
First Republic Mortgage Loan Trust
5.570% due 11/15/2030		159		159
Greenpoint Mortgage Funding Trust
5.580% due 10/25/2045		92		92
GSR Mortgage Loan Trust
4.538% due 09/25/2035		232		228
6.710% due 04/25/2032		101		102
Harborview Mortgage Loan Trust
5.630% due 08/19/2045		83		83
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		300		292
MASTR Alternative Loans Trust
7.000% due 06/25/2034		166		167
MASTR Reperforming Loan Trust
6.000% due 08/25/2034		234		232
Mellon Residential Funding Corp.
5.690% due 09/15/2030		298		300
Merrill Lynch Mortgage Investors, Inc.
5.643% due 09/25/2033		210		212
MLCC Mortgage Investors, Inc.
5.660% due 04/25/2028		175		176
Morgan Stanley Capital I
5.328% due 11/12/2041		580		558
5.373% due 11/14/2042		500		482
Provident Funding Mortgage Loan Trust
4.046% due 04/25/2034		276		271
Sequoia Mortgage Trust
5.670% due 07/20/2033		189		190
5.700% due 10/20/2027		66		66
5.700% due 04/20/2033		251		251
Structured Asset Mortgage Investments, Inc.
5.550% due 07/25/2036		153		153
Thornburg Mortgage Securities Trust
5.690% due 09/25/2034		263		264
Washington Mutual, Inc.
3.799% due 06/25/2034		55		53
5.610% due 12/25/2045		265		266
5.860% due 12/25/2027		282		282
6.229% due 11/25/2042		32		32
Wells Fargo Mortgage-Backed Securities Trust
3.989% due 12/25/2034		187		184
4.218% due 09/25/2034		191		188
4.360% due 09/25/2034		303		298
4.498% due 01/25/2035		300		297
4.541% due 02/25/2035		463		454
Total Mortgage-Backed Securities (Cost $11,077)				11,105
ASSET-BACKED SECURITIES 8.4%
Bear Stearns Asset-Backed Securities, Inc.
5.810% due 06/25/2036		400		400
Green Tree Financial Corp.
6.870% due 01/15/2029		597		610
Greenpoint Manufactured Housing
8.300% due 10/15/2026		1,500		1,475
Renaissance Home Equity Loan Trust
5.820% due 12/25/2033		325		328
Truman Capital Mortgage Loan Trust
5.660% due 01/25/2034		140		140
Total Asset-Backed Securities (Cost $2,929)				2,953
FOREIGN CURRENCY-DENOMINATED ISSUES 0.2%
Japanese Government CPI Linked Bond
1.000% due 02/28/2016	JPY	10,000		81
Total Foreign Currency-Denominated Issues (Cost $84)				81
SHORT-TERM INSTRUMENTS 6.6%
Commercial Paper 5.6%
Bank of America Corp.
5.190% due 10/04/2007	$	200		198
Dexia Delaware LLC
5.225% due 09/21/2007		100		100
Freddie Mac
4.800% due 07/02/2007		500		500
HBOS Treasury Services PLC
5.245% due 11/13/2007		300		296
Santander Hispano Finance Delaware
5.250% due 09/26/2007		200		197
Societe Generale NY
5.240% due 11/26/2007		300		296
UBS Finance Delaware LLC
5.245% due 10/23/2007		400		396
				1,983
Repurchase Agreements 0.8%
State Street Bank and Trust Co.
4.900% due 07/02/2007		275		275
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $286. Repurchase proceeds are $275.)
U.S. Treasury Bills 0.2%
4.656% due 09/13/2007 (d)		75		74
Total Short-Term Instruments (Cost $2,333)				2,332
Purchased Options (f) 0.0% (Cost $1)				0
Total Investments (b) 206.7% (Cost $73,222)			$	72,776
Other Assets and Liabilities (Net) (106.7%)				(37,565	)
Net Assets 100.0%			$	35,211

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) Payment in-kind bond security.

(b) As of June 30, 2007, portfolio securities with an aggregate value of $365 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) The average amount of borrowing outstanding during the period ended June 30, 2007 was $12,491 at a weighted average interest rate of 5.30%. On June 30, 2007, securities valued at $21,788 were pledged as collateral for reverse repurchase agreements.

(d) Securities with an aggregate market value of $74 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized (Depreciation)
U.S. Treasury 5-Year Note September Futures	Long	09/2007	64	$	(31	)

(e) Swap agreements outstanding on June 30, 2007:

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. HY8 Index	Sell	2.750	%	06/20/2012	$	2,000	$	(32	)
Bank of America	Community Health Systems 8.875% due 07/15/2015	Sell	2.850	%	09/20/2012		50		0
Bank of America	New Century Home Equity Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.750% due 06/25/2035	Buy	(5.000	%)	06/25/2035		2,500		86
Citibank N.A.	Georgia-Pacific Corp. 7.750% due 11/15/2029	Sell	2.220	%	09/20/2012		50		(1	)
Citibank N.A.	Sungard Data Systems, Inc. 9.125% due 08/15/2013	Sell	2.920	%	09/20/2012		50		(1	)
Goldman Sachs & Co.	Dow Jones CDX N.A. HY8 Index	Sell	1.030	%	06/20/2012		3,000		(20	)
JPMorgan Chase & Co.	New Century Home Equity Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.750% due 06/25/2035	Sell	5.500	%	06/25/2035		2,500		(45	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		2,500		(3	)
Lehman Brothers, Inc.	Pride International, Inc. 7.375% due 07/15/2014	Sell	1.750	%	06/20/2012		25		0
Morgan Stanley	CSC Holdings, Inc. 7.625% due 04/01/2011	Sell	2.010	%	06/20/2012		50		(2	)
Morgan Stanley	Dow Jones CDX N.A. EM7 Index	Sell	1.250	%	06/20/2012		1,000		2
Morgan Stanley	Aramark Corp. 8.500 due 02/01/2015	Sell	2.680	%	09/20/2012		50		(1	)
								$	(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. 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.

(f) Purchased options outstanding on June 30, 2007:

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 07/01/2037	$	89.125	07/05/2007	$	4,500	$	1	$	0

(g) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	6.000	%	07/01/2037	$	20,000	$	19,759	$	19,784

(h) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation
Sell	JPY	10,000	07/2007	$	1	$	0	$	1

See accompanying notes

Schedule of Investments

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

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.2%
Georgia-Pacific Corp.
7.110% due 12/20/2012	$	2,962	$	2,973
HCA, Inc.
7.600% due 11/14/2013		2,594		2,608
Reynolds American, Inc.
6.875% due 05/11/2012		1,935		1,950
6.875% due 05/31/2012		50		50
Total Bank Loan Obligations (Cost $7,541)				7,581
CORPORATE BONDS & NOTES 9.2%
Banking & Finance 5.5%
C10 Capital SPV Ltd.
6.722% due 12/18/2049		1,600		1,557
Citigroup, Inc.
5.400% due 12/26/2008		2,800		2,802
Ford Motor Credit Co.
5.800% due 01/12/2009		200		196
7.250% due 10/25/2011		2,250		2,167
7.800% due 06/01/2012		150		147
General Electric Capital Corp.
5.390% due 03/12/2010		5,800		5,806
HSBC Finance Corp.
5.360% due 05/21/2008		2,800		2,802
Merrill Lynch & Co., Inc.
5.450% due 08/14/2009		4,000		4,004
Morgan Stanley
5.406% due 05/07/2009		2,600		2,602
Rabobank Nederland
5.376% due 01/15/2009		1,900		1,901
Santander U.S. Debt S.A. Unipersonal
5.416% due 02/06/2009		2,300		2,303
5.420% due 11/20/2009		2,800		2,802
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		1,200		1,203
Wells Fargo Bank N.A.
4.750% due 02/09/2015		5,000		4,696
				34,988
Industrials 2.2%
C8 Capital SPV Ltd.
6.640% due 12/31/2049		1,500		1,478
CODELCO, Inc.
6.150% due 10/24/2036		1,200		1,194
Cox Communications, Inc.
5.910% due 12/14/2007		500		501
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		1,400		1,403
5.840% due 09/10/2007		1,400		1,401
Goodrich Corp.
6.290% due 07/01/2016		2,100		2,148
Loews Corp.
5.250% due 03/15/2016		2,800		2,688
Vale Overseas Ltd.
6.250% due 01/23/2017		1,500		1,495
Williams Cos., Inc.
6.375% due 10/01/2010		200		202
Xerox Corp.
9.750% due 01/15/2009		1,100		1,164
				13,674
Utilities 1.5%
AT&T, Inc.
4.125% due 09/15/2009		500		486
BellSouth Corp.
5.200% due 09/15/2014		1,200		1,153
5.460% due 08/15/2008		3,900		3,904
Embarq Corp.
6.738% due 06/01/2013		2,000		2,041
NRG Energy, Inc.
7.375% due 02/01/2016		1,100		1,106
PSEG Energy Holdings LLC
8.625% due 02/15/2008		1,144		1,165
				9,855
Total Corporate Bonds & Notes (Cost $58,729)				58,517
MUNICIPAL BONDS & NOTES 0.4%
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.265% due 12/15/2013		2,265		2,232
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		300		298
Total Municipal Bonds & Notes (Cost $2,599)				2,530
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley
0.000% due 07/07/2008		2,000		1,989
Total Commodity Index-Linked Notes (Cost $2,000)				1,989
U.S. GOVERNMENT AGENCIES 81.9%
Fannie Mae
3.785% due 08/01/2010		372		356
4.190% due 11/01/2034		1,235		1,225
4.383% due 02/01/2035		831		829
4.500% due 06/01/2010 - 09/25/2020		6,203		6,085
4.612% due 08/01/2035		977		980
4.654% due 10/01/2035		973		966
4.661% due 10/01/2035		954		949
4.662% due 07/01/2035		1,880		1,855
4.713% due 10/01/2035		947		956
4.843% due 02/01/2034		858		850
4.852% due 09/01/2035		1,570		1,585
5.000% due 12/01/2018 - 07/01/2037		112,912		107,494
5.172% due 03/01/2036		2,904		2,896
5.267% due 02/01/2036		6,833		6,819
5.298% due 08/01/2036		1,716		1,715
5.440% due 03/25/2034		33		33
5.450% due 03/25/2036		3,181		3,188
5.499% due 07/01/2032		108		109
5.500% due 02/01/2024 - 08/01/2037		123,090		119,000
5.570% due 06/25/2044		102		102
5.670% due 09/25/2042		900		905
6.000% due 07/01/2037 - 08/01/2037		127,000		125,628
6.214% due 10/01/2044		280		283
6.227% due 09/01/2044 - 10/01/2044		5,904		5,979
6.500% due 07/01/2036 - 07/01/2037		24,526		24,764
6.625% due 11/25/2023		280		290
6.844% due 04/25/2024		228		238
7.103% due 09/01/2031		3		3
7.500% due 12/01/2014		295		304
Freddie Mac
3.500% due 01/15/2022 - 01/15/2023		2,777		2,741
4.000% due 11/01/2013 - 05/15/2016		6,538		6,336
4.373% due 09/01/2035		2,391		2,366
4.500% due 02/15/2017 - 09/15/2020		14,987		14,645
5.000% due 12/15/2015 - 09/01/2035		58,211		57,511
5.340% due 09/01/2035		2,624		2,615
5.500% due 03/15/2017 - 05/01/2035		4,168		4,044
5.520% due 10/15/2020		934		936
5.670% due 06/15/2031		1,700		1,701
5.720% due 11/15/2016 - 03/15/2017		8,624		8,680
6.227% due 10/25/2044		270		273
Ginnie Mae
5.125% due 11/20/2024		117		118
5.720% due 03/16/2032		45		46
Total U.S. Government Agencies (Cost $521,291)				518,398
U.S. TREASURY OBLIGATIONS 0.2%
U.S. Treasury Bonds
8.125% due 08/15/2019		900		1,138
U.S. Treasury Notes
4.500% due 05/15/2017		100		96
Total U.S. Treasury Obligations (Cost $1,299)				1,234
MORTGAGE-BACKED SECURITIES 10.4%
Banc of America Funding Corp.
4.614% due 02/20/2036		1,195		1,177
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		231		226
5.770% due 01/25/2034		236		237
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		3,656		3,597
4.750% due 10/25/2035		463		458
Bear Stearns Alt-A Trust
5.377% due 05/25/2035		537		535
5.818% due 11/25/2036		1,844		1,842
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		1,614		1,585
4.900% due 10/25/2035		4,864		4,799
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		659		650
5.509% due 06/25/2037		3,200		3,192
5.530% due 11/20/2035		150		150
5.530% due 03/20/2046		1,807		1,807
5.600% due 02/25/2037		1,009		1,011
Countrywide Home Loan Mortgage Pass-Through Trust
5.590% due 05/25/2034		5		5
5.610% due 04/25/2035		413		414
5.640% due 03/25/2035		359		360
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.400% due 02/25/2037		2,099		2,100
Downey Savings & Loan Association Mortgage Loan Trust
5.580% due 08/19/2045		1,726		1,733
7.235% due 07/19/2044		177		179
First Horizon Alternative Mortgage Securities
4.457% due 03/25/2035		413		414
First Republic Mortgage Loan Trust
5.670% due 11/15/2031		141		141
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		221		219
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		3,200		3,203
GSR Mortgage Loan Trust
4.538% due 09/25/2035		541		534
5.500% due 11/25/2035		682		680
GSRPM Mortgage Loan Trust
6.020% due 01/25/2032		25		25
Harborview Mortgage Loan Trust
5.560% due 03/19/2037		1,536		1,539
Indymac Index Mortgage Loan Trust
5.420% due 01/25/2037		1,679		1,680
LB-UBS Commercial Mortgage Trust
2.720% due 03/15/2027		356		352
Morgan Stanley Capital I
5.380% due 10/15/2020		2,367		2,370
Residential Accredit Loans, Inc.
5.530% due 04/25/2046		2,324		2,324
5.720% due 03/25/2033		185		186
Residential Asset Securitization Trust
5.720% due 05/25/2033		315		316
Structured Adjustable Rate Mortgage Loan Trust
6.429% due 01/25/2035		414		416
Structured Asset Mortgage Investments, Inc.
5.540% due 05/25/2036		2,462		2,467
5.600% due 02/25/2036		902		903
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		2,385		2,385
Washington Mutual, Inc.
5.630% due 01/25/2045		326		327
5.640% due 01/25/2045		310		310
5.724% due 07/25/2046		2,976		2,990
5.724% due 08/25/2046		3,412		3,429
5.860% due 12/25/2027		827		828
Wells Fargo Mortgage-Backed Securities Trust
3.990% due 12/25/2034		770		754
4.319% due 07/25/2035		2,700		2,661
4.362% due 05/25/2035		449		445
4.500% due 11/25/2018		1,517		1,473
4.950% due 03/25/2036		3,821		3,770
5.240% due 04/25/2036		2,878		2,855
Total Mortgage-Backed Securities (Cost $65,986)				66,053
ASSET-BACKED SECURITIES 14.0%
ACE Securities Corp.
5.370% due 12/25/2036		2,106		2,107
5.390% due 12/25/2035		474		474
5.400% due 02/25/2036		772		773
5.430% due 10/25/2035		60		60
5.470% due 12/25/2035		1,700		1,701
American Express Credit Account Master Trust
5.500% due 11/15/2010		2,800		2,806
Amortizing Residential Collateral Trust
5.610% due 07/25/2032		1		1
Argent Securities, Inc.
5.370% due 09/25/2036		2,345		2,346
5.380% due 05/25/2036		192		192
5.390% due 04/25/2036		608		609
5.400% due 03/25/2036		452		453
Bear Stearns Asset-Backed Securities, Inc.
5.400% due 12/25/2035		212		213
5.400% due 10/25/2036		2,305		2,306
5.495% due 10/25/2036		2,332		2,311
5.520% due 09/25/2034		216		217
Carrington Mortgage Loan Trust
5.385% due 07/25/2036		537		537
Chase Credit Card Master Trust
5.440% due 01/17/2011		2,160		2,165
Citigroup Mortgage Loan Trust, Inc.
5.360% due 08/25/2036		2,313		2,314
5.400% due 12/25/2035		371		371
Countrywide Asset-Backed Certificates
5.350% due 01/25/2046		1,912		1,912
5.370% due 01/25/2037		1,807		1,808
5.370% due 05/25/2037		4,813		4,815
5.370% due 12/25/2046		1,173		1,174
5.390% due 06/25/2036		870		870
5.390% due 07/25/2036		751		752
5.390% due 08/25/2036		830		831
5.450% due 07/25/2036		432		432
First Franklin Mortgage Loan Asset-Backed Certificates
5.350% due 07/25/2036		1,933		1,934
Fremont Home Loan Trust
5.380% due 01/25/2037		2,318		2,317
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		509		510
GS Auto Loan Trust
5.344% due 07/15/2008		1,600		1,600
GSAMP Trust
5.390% due 01/25/2036		632		633
5.390% due 02/25/2036		859		859
5.410% due 11/25/2035		382		382
5.610% due 03/25/2034		145		145
Home Equity Asset Trust
5.400% due 05/25/2036		660		660
Home Equity Mortgage Trust
5.410% due 05/25/2036		147		147
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		2,361		2,362
5.400% due 12/25/2035		863		863
Indymac Residential Asset-Backed Trust
5.410% due 03/25/2036		588		588
5.450% due 04/25/2037		2,808		2,810
JPMorgan Mortgage Acquisition Corp.
5.360% due 08/25/2036		1,193		1,194
5.370% due 10/25/2036		2,780		2,777
Lehman XS Trust
5.400% due 04/25/2046		1,035		1,036
5.400% due 07/25/2046		1,923		1,924
5.400% due 08/25/2046		2,052		2,054
Long Beach Mortgage Loan Trust
5.390% due 03/25/2036		489		489
5.410% due 01/25/2036		692		693
5.600% due 10/25/2034		735		737
MASTR Asset-Backed Securities Trust
5.400% due 01/25/2036		1,516		1,517
5.400% due 05/25/2037		3,014		3,016
5.430% due 11/25/2035		645		646
MBNA Credit Card Master Note Trust
5.820% due 03/15/2010		3,000		3,005
Morgan Stanley ABS Capital I
5.360% due 07/25/2036		2,042		2,043
5.370% due 10/25/2036		2,089		2,089
5.390% due 03/25/2036		1,174		1,174
Nelnet Student Loan Trust
5.340% due 09/25/2012		2,274		2,276
5.445% due 10/25/2016		1,009		1,010
New Century Home Equity Loan Trust
5.390% due 08/25/2036		260		260
Quest Trust
5.880% due 06/25/2034		24		24
Residential Asset Mortgage Products, Inc.
5.400% due 01/25/2036		411		411
Residential Asset Securities Corp.
5.360% due 06/25/2036		1,594		1,595
5.390% due 03/25/2036		417		418
5.390% due 04/25/2036		793		794
5.390% due 07/25/2036		1,627		1,628
5.400% due 01/25/2036		388		388
SACO I, Inc.
5.400% due 04/25/2036		29		29
Securitized Asset-Backed Receivables LLC Trust
5.390% due 10/25/2035		111		111
SLM Student Loan Trust
5.345% due 10/27/2014		2,229		2,231
Soundview Home Equity Loan Trust
5.360% due 11/25/2036		1,538		1,538
5.390% due 03/25/2036		85		85
5.390% due 05/25/2036		235		235
Structured Asset Securities Corp.
4.900% due 04/25/2035		868		865
Truman Capital Mortgage Loan Trust
5.660% due 01/25/2034		7		7
USAA Auto Owner Trust
5.030% due 11/17/2008		199		200
Total Asset-Backed Securities (Cost $88,827)				88,859
SOVEREIGN ISSUES 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012		39		42
Panama Government International Bond
9.625% due 02/08/2011		258		290
Total Sovereign Issues (Cost $323)				332
FOREIGN CURRENCY-DENOMINATED ISSUES 0.2%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	1,400		809
Republic of Germany
5.500% due 01/04/2031	EUR	200		300
Total Foreign Currency-Denominated Issues (Cost $955)				1,109
		Shares
EXCHANGE-TRADED FUNDS 2.2%
iShares MSCI EAFE
Index Fund		172,236		13,887
Total Exchange-Traded Funds (Cost $10,076)				13,887
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 25.5%
Certificates of Deposit 4.6%
BNP Paribas
5.262% due 05/28/2008	$	2,800		2,801
Fortis Bank NY
5.265% due 06/30/2008		2,900		2,901
Nordea Bank Finland PLC
5.282% due 12/01/2008		6,300		6,301
5.308% due 05/28/2008		2,800		2,802
Royal Bank of Canada
5.267% due 06/30/2008		2,800		2,802
Royal Bank of Scotland Group PLC
5.265% due 03/26/2008		5,800		5,799
Societe Generale NY
5.270% due 03/26/2008		5,800		5,799
				29,205
Commercial Paper 18.3%
Bank of America Corp.
5.230% due 10/04/2007		29,200		29,043
Danske Corp.
5.205% due 10/12/2007		24,700		24,525
Fortis Funding LLC
5.275% due 09/05/2007		16,100		16,034
Freddie Mac
4.800% due 07/02/2007		10,000		10,000
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		10,700		10,700
UBS Finance Delaware LLC
5.230% due 10/23/2007		7,200		7,169
5.235% due 10/23/2007		10,100		10,001
5.245% due 10/23/2007		2,100		2,077
Westpac Banking Corp.
5.170% due 11/05/2007		6,100		6,004
				115,553
Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 07/02/2007		1,024		1,024
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $1,049. Repurchase proceeds are $1,024.)
U.S. Treasury Bills 2.4%
4.550% due 08/30/2007 - 09/13/2007 (a)(b)(d)		15,500		15,337
Total Short-Term Instruments (Cost $161,138)				161,119
Purchased Options (f) 0.5% (Cost $5,397)				3,271
Total Investments (c) 146.1% (Cost $926,161)			$	924,879
Written Options (g) (0.2%) (Premiums $3,205)				(1,163	)
Other Assets and Liabilities (Net) (45.9%)				(290,837	)
Net Assets 100.0%			$	632,879

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 $9,396 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(c) As of June 30, 2007, portfolio securities with an aggregate value of $12,354 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $3,711 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Euribor September Futures	Long	09/2007	78	$	(137	)
90-Day Euribor September Futures	Long	09/2008	62		(3	)
90-Day Eurodollar June Futures	Long	06/2008	973		(831	)
90-Day Eurodollar March Futures	Long	03/2008	627		(454	)
90-Day Eurodollar March Futures	Long	03/2009	437		137
90-Day Eurodollar September Futures	Long	09/2008	68		(58	)
Euro-Bobl 5-Year Note September Futures	Long	09/2007	524		127
Euro-Bund 10-Year Note September Futures	Long	09/2007	8		2
Japan Government 10-Year Bond September Futures	Long	09/2007	1		0
U.S. Treasury 10-Year Note September Futures	Long	09/2007	688		464
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	529		(950	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	182		(381	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	475		(964	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	517		(773	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	96		(199	)
				$	(4,020	)

(e) Swap agreements outstanding on June 30, 2007:

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. HY7 Index	Buy	(3.250	%)	12/20/2011	$	550	$	20
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		6,000		67
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		2
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016		2,800		(7	)
Citibank N.A.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.000	%	06/20/2012		800		(9	)
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		300		9
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		2,600		5
Deutsche Bank AG	Dow Jones CDX N.A. IG7 Index	Buy	(0.400	%)	12/20/2011		11,400		28
Deutsche Bank AG	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.000	%	06/20/2012		400		(4	)
Deutsche Bank AG	Goodrich Corp. 6.290% due 07/01/2016	Buy	(0.510	%)	09/20/2016		2,200		(19	)
Deutsche Bank AG	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	1.280	%	06/20/2017		1,000		5
Goldman Sachs & Co.	Wells Fargo Bank N.A. 4.750% due 02/09/2015	Buy	(0.140	%)	03/20/2015		5,000		6
Goldman Sachs & Co.	Limited Brands, Inc. 6.125% due 12/01/2012	Buy	(1.030	%)	06/20/2017		5,000		20
JPMorgan Chase & Co.	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.050	%	12/20/2007		2,600		0
Lehman Brothers, Inc.	Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.110	%)	10/20/2010		100		(4	)
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		1,200		(6	)
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		0
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Sell	0.463	%	12/20/2015		5,600		(26	)
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		3,300		41
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.665	%)	06/20/2017		1,900		0
UBS Warburg LLC	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.960	%)	06/20/2017		800		2
								$	126

Credit Default Swaps (Asset-Backed Indices)

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Bear Stearns & Co., Inc.	Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045	$	2,200	$	80

⁽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	10.150	%	01/02/2012	BRL	46,800	$	(251	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		10,900		(96	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012	EUR	600		(6	)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		1,900		92
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		1,000		44
Goldman Sachs & Co.	6-Month EUR-LIBOR	Receive	6.000	%	06/18/2034		20,500		(204	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		200		(2	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		500		(5	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010	GBP	4,600		(213	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		2,100		186
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		42,500		(109	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		10,300		(39	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		8,800		417
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		9,500		889
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		26,700		(101	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		1,500		(68	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		1,800		89
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013	JPY	128,000		16
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009	MXN	89,000		(2	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.860	%	09/12/2016		22,000		105
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		15,900		34
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		3,100		4
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		87,200		(20	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009		57,000		0
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037	$	51,200		587
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		11,300		36
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		7,200		(45	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/20/2014		2,400		(85	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/15/2035		9,600		(492	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		1,200		15
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2014		900		(29	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2014		68,000		(424	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		5,700		(45	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		5,200		20
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		800		13
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		21,600		79
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		5,800		(38	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		21,000		338
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		77,800		(20	)
								$	670

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Long	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.200%	04/14/2008	4,143,404	$	1,939
Goldman Sachs & Co.	Long	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	11/15/2007	492,576		(72	)
Merrill Lynch & Co., Inc.	Long	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	04/14/2008	3,087,179		(1,910	)
						$	(43	)

(f) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CME 90-Day Eurodollar March Futures	$	95.250	03/17/2008	226	$	190	$	41

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	%	07/02/2007	EUR	82,300	$	449	$	0
Put - OTC 30-Year Interest Rate Swap	Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	07/09/2007		5,800		63		32
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	08/08/2007	$	12,900		53		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		8,100		36		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		3,000		12		5
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		56,100		272		110
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		16,800		48		5
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	08/08/2007		19,300		43		0
Put - OTC 10-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	6.540	%	08/24/2007		76,500		55		2
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2007		28,700		186		35
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		29,900		104		59
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	07/02/2007		10,000		41		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		29,900		78		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		30,500		69		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/08/2007		362,200		344		1
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		72		9
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		17,500		87		28
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		59,800		343		74
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		20,700		74		41
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		15,300		54		35
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		189,600		751		642
									$	3,234	$	1,078

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.355	05/21/2008	EUR	3,100	$	94	$	104
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		3,100		94		78
Call - OTC Euro versus U.S. dollar		1.362	05/21/2008		2,000		61		60
Put - OTC Euro versus U.S. dollar		1.362	05/21/2008		2,000		61		57
Call - OTC Euro versus Japanese yen	JPY	158.350	06/04/2008		2,000		72		104
Put - OTC Euro versus Japanese yen		158.350	06/04/2008		2,000		72		57
Call - OTC Euro versus Japanese yen		148.300	05/20/2010		1,000		58		77
Put - OTC Euro versus Japanese yen		148.300	05/20/2010		1,000		57		52
Call - OTC Euro versus U.S. dollar	$	1.375	05/21/2010		2,800		137		140
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		2,800		136		128
Call - OTC Euro versus U.S. dollar		1.375	06/03/2010		1,400		67		71
Put - OTC Euro versus U.S. dollar		1.375	06/03/2010		1,400		67		64
Call - OTC Euro versus Japanese yen	JPY	148.400	06/03/2010		1,000		56		76
Put - OTC Euro versus Japanese yen		148.400	06/03/2010		1,000		56		54
Call - OTC U.S. dollar versus Japanese yen		121.000	01/18/2008	$	2,300		23		37
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		4,900		215		371
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		4,900		202		123
Call - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		1,200		51		82
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		1,200		51		34
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		4,000		168		268
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		4,000		168		114
						$	1,966	$	2,151

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 6.000% due 09/01/2037	$	89.031	09/06/2007	$	60,700	$	7	$	1

(g) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Put - CBOT U.S. Treasury 10-Year Note September Futures	$	100.000	08/24/2007	765	$	72	$	12

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	%	07/02/2007	EUR	35,000	$	442	$	0
Put - OTC 5-Year Interest Rate Swap	Citibank N.A.	6-Month EUR-LIBOR	Pay	4.800	%	07/09/2007		20,400		63		48
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007	$	5,600		49		0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		1,300		12		5
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		24,400		275		123
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		3,700		46		8
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	08/08/2007		3,200		44		0
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.150	%	12/20/2007		12,500		181		41
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		13,000		105		65
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	07/02/2007		6,400		69		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	07/02/2007		4,500		47		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		5,100		59		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		65,200		344		4
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	08/08/2007		2,700		31		0
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		10
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		7,600		91		27
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		26,000		332		80
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		9,000		74		46
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		5,100		52		36
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		63,200		712		620
									$	3,100	$	1,113

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC Fannie Mae 6.000% due 08/01/2037	$	98.984	07/19/2007	$	14,000	$	33	$	38

(h) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
Fannie Mae	5.500	%	07/01/2037	$	4,000	$	3,843	$	3,858
U.S. Treasury Bonds	4.750	%	02/15/2037		45,200		41,956		43,488
U.S. Treasury Notes	4.500	%	05/15/2017		23,500		22,630		22,687
U.S. Treasury Notes	4.750	%	05/15/2014		300		296		298
						$	68,725	$	70,331

⁽²⁾ Market value includes $1,006 of interest payable on short sales.

(i) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	8,921	07/2007	$	58	$	0		$	58
Sell		55,038	07/2007		0		(66	)		(66	)
Buy	BRL	27,709	10/2007		268		(21	)		247
Buy		10,337	03/2008		141		(11	)		130
Sell		201	03/2008		0		(9	)		(9	)
Sell	CAD	6,928	08/2007		0		(29	)		(29	)
Sell	CHF	52,935	09/2007		6		0			6
Buy	CLP	8,500	03/2008		0		0			0
Buy	CNY	23,612	11/2007		10		0			10
Buy		81,431	01/2008		0		(46	)		(46	)
Sell	DKK	21,583	09/2007		0		(13	)		(13	)
Buy	EUR	1,685	07/2007		12		0			12
Sell		170,863	07/2007		0		(2,235	)		(2,235	)
Sell	GBP	80,741	08/2007		0		(850	)		(850	)
Buy		920	09/2007		7		0			7
Buy	HKD	83,591	07/2007		0		(5	)		(5	)
Sell		83,591	07/2007		0		(1	)		(1	)
Sell		83,591	08/2007		5		0			5
Sell	JPY	15,890,633	07/2007		1,863		0			1,863
Buy	KRW	2,749,633	07/2007		20		0			20
Buy		149,737	09/2007		0		0			0
Buy	MXN	26,255	03/2008		51		0			51
Buy	MYR	1,682	07/2007		0		(3	)		(3	)
Sell		1,682	07/2007		0		(1	)		(1	)
Buy		1,682	10/2007		0		0			0
Sell	NOK	36,045	09/2007		0		(79	)		(79	)
Sell	NZD	1,273	07/2007		0		(18	)		(18	)
Buy	PLN	5,262	09/2007		67		0			67
Buy	RUB	49,661	12/2007		43		0			43
Buy		15,959	01/2008		3		0			3
Sell	SEK	109,630	09/2007		0		(192	)		(192	)
Sell	SGD	5,224	07/2007		48		0			48
				$	2,602	$	(3,579	)	$	(977	)

See accompanying notes

Schedule of Investments

International StocksPLUS^® TR Strategy Fund (Unhedged)

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 33.1%
Banking & Finance 28.0%
Allstate Life Global Funding Trusts
5.400% due 03/23/2009	$	100	$	100
American Express Centurion Bank
5.340% due 06/12/2009		600		600
American Honda Finance Corp.
5.346% due 08/05/2008		130		130
5.407% due 02/09/2010		400		400
Bank of America Corp.
5.455% due 08/02/2010		540		541
Bank of Ireland
5.410% due 12/18/2009		300		301
Bank of Scotland
5.860% due 11/22/2012		500		501
Bear Stearns Cos., Inc.
5.480% due 05/18/2010		500		500
C10 Capital SPV Ltd.
6.722% due 12/31/2049		100		98
Caterpillar Financial Services Corp.
5.420% due 05/18/2009		600		601
CIT Group, Inc.
5.510% due 12/19/2008		500		500
Citigroup Funding, Inc.
5.350% due 12/08/2008		200		200
5.360% due 06/26/2009		100		100
Citigroup, Inc.
5.510% due 05/18/2010		730		733
Credit Agricole S.A.
5.360% due 05/28/2009		100		100
5.410% due 05/28/2010		100		100
Credit Suisse First Boston
5.560% due 08/15/2010		600		603
Ford Motor Credit Co.
6.625% due 06/16/2008		2,100		2,099
7.250% due 10/25/2011		500		482
7.800% due 06/01/2012		100		98
General Electric Capital Corp.
5.428% due 01/20/2010		600		601
5.430% due 08/15/2011		400		400
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		200		200
5.410% due 03/30/2009		100		100
5.440% due 11/16/2009		290		290
5.450% due 12/22/2008		100		100
HSBC Finance Corp.
5.450% due 06/19/2009		750		751
HSBC Holdings PLC
6.500% due 05/02/2036		200		206
ICICI Bank Ltd.
5.895% due 01/12/2010		100		100
International Lease Finance Corp.
5.510% due 06/26/2009		370		371
JPMorgan Chase & Co.
5.370% due 06/26/2009		290		290
5.396% due 05/07/2010		200		200
Lehman Brothers Holdings, Inc.
5.460% due 11/16/2009		600		601
5.500% due 05/25/2010		100		100
Merrill Lynch & Co., Inc.
5.406% due 05/08/2009		600		600
Metropolitan Life Global Funding I
5.400% due 05/17/2010		200		200
Morgan Stanley
5.406% due 05/07/2009		300		300
5.467% due 02/09/2009		340		340
Residential Capital LLC
6.460% due 05/22/2009		100		100
SLM Corp.
5.495% due 07/27/2009		30		29
5.565% due 07/25/2008		500		497
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		100		97
U.S. Bank N.A.
5.280% due 03/31/2008		500		500
Wachovia Corp.
5.410% due 12/01/2009		200		200
Wells Fargo & Co.
5.420% due 03/23/2010		630		631
World Savings Bank FSB
5.410% due 06/20/2008		300		300
				16,891
Industrials 2.4%
Amgen, Inc.
5.440% due 11/28/2008		200		200
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		50		50
5.790% due 03/13/2009		100		101
General Mills, Inc.
5.485% due 01/22/2010		100		100
Home Depot, Inc.
5.485% due 12/16/2009		100		100
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		100		110
Time Warner, Inc.
5.590% due 11/13/2009		600		601
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		200		200
				1,462
Utilities 2.7%
AT&T, Inc.
5.456% due 02/05/2010		100		100
BellSouth Corp.
4.240% due 04/26/2008		300		298
Deutsche Telekom International Finance BV
5.540% due 03/23/2009		800		802
TXU Electric Delivery Co.
5.735% due 09/16/2008		200		200
Verizon Communications, Inc.
5.400% due 04/03/2009		200		200
				1,600
Total Corporate Bonds & Notes (Cost $19,984)				19,953
U.S. GOVERNMENT AGENCIES 52.9%
Fannie Mae
5.000% due 02/25/2017		31		31
5.500% due 03/01/2037 - 08/01/2037		3,477		3,353
6.000% due 07/01/2037		20,100		19,883
6.227% due 06/01/2043		80		81
Freddie Mac
4.250% due 09/15/2024		385		379
5.000% due 07/15/2020		277		276
5.470% due 07/15/2019 - 10/15/2020		2,100		2,098
5.550% due 07/15/2037		800		800
6.000% due 07/01/2037		4,000		3,963
Ginnie Mae
6.000% due 07/01/2037		1,000		995
Total U.S. Government Agencies (Cost $32,070)				31,859
MORTGAGE-BACKED SECURITIES 7.0%
Arran Residential Mortgages Funding PLC
5.340% due 04/12/2036		78		79
Bear Stearns Alt-A Trust
5.480% due 02/25/2034		387		388
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		184		184
Countrywide Alternative Loan Trust
5.480% due 02/25/2047		265		265
6.029% due 02/25/2036		181		182
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		162		162
5.400% due 03/25/2037		81		81
Greenpoint Mortgage Funding Trust
5.400% due 01/25/2047		96		97
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		400		400
5.420% due 06/06/2020		93		93
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		123		123
Morgan Stanley Capital I
5.380% due 10/15/2020		82		82
Residential Accredit Loans, Inc.
6.389% due 09/25/2045		272		274
Structured Asset Mortgage Investments, Inc.
5.450% due 03/25/2037		195		195
TBW Mortgage-Backed Pass-Through Certificates
5.430% due 01/25/2037		354		354
Wachovia Bank Commercial Mortgage Trust
5.400% due 06/15/2020		200		200
5.681% due 04/15/2034		89		89
Washington Mutual, Inc.
5.759% due 01/25/2047		88		88
5.960% due 12/25/2027		296		297
6.029% due 02/25/2046		586		587
Total Mortgage-Backed Securities (Cost $4,218)				4,220
ASSET-BACKED SECURITIES 26.0%
Accredited Mortgage Loan Trust
5.440% due 04/25/2036		300		300
American Express Credit Account Master Trust
5.320% due 01/18/2011		400		400
5.820% due 02/15/2012		123		123
Asset-Backed Funding Certificates
5.380% due 01/25/2037		75		75
Bear Stearns Asset-Backed Securities, Inc.
5.380% due 01/25/2037		176		176
5.410% due 06/25/2047		96		96
BNC Mortgage Loan Trust
5.420% due 05/25/2037		189		190
Carrington Mortgage Loan Trust
5.370% due 01/25/2037		408		408
Chase Credit Card Master Trust
5.430% due 07/15/2010		600		601
Chase Issuance Trust
5.330% due 12/15/2010		300		300
5.330% due 02/15/2011		300		300
Citibank Credit Card Issuance Trust
3.100% due 03/10/2010		600		591
5.526% due 02/07/2010		670		671
Citigroup Mortgage Loan Trust, Inc.
5.360% due 12/25/2036		183		183
5.380% due 01/25/2037		228		228
5.390% due 01/25/2036		116		116
5.430% due 08/25/2036		500		500
Countrywide Asset-Backed Certificates
5.370% due 05/25/2037		432		433
5.370% due 07/25/2037		463		463
5.390% due 06/25/2037		87		87
5.400% due 06/25/2037		442		442
5.400% due 10/25/2037		294		295
5.500% due 09/25/2036		570		570
Credit-Based Asset Servicing & Securitization LLC
5.410% due 12/25/2037		380		380
First Franklin Mortgage Loan Asset-Backed Certificates
5.360% due 01/25/2038		165		165
First USA Credit Card Master Trust
5.480% due 04/18/2011		300		301
Fremont Home Loan Trust
5.420% due 05/25/2036		100		100
GSAMP Trust
5.390% due 12/25/2036		248		248
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		317		317
Honda Auto Receivables Owner Trust
5.322% due 03/18/2008		261		261
HSBC Asset Loan Obligation
5.380% due 12/25/2036		453		453
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		330		330
Long Beach Mortgage Loan Trust
5.400% due 02/25/2036		208		208
MASTR Asset-Backed Securities Trust
5.370% due 01/25/2037		186		186
5.380% due 11/25/2036		326		326
5.400% due 05/25/2037		97		97
MBNA Credit Card Master Note Trust
4.200% due 09/15/2010		600		595
5.440% due 08/16/2010		100		100
5.446% due 12/15/2009		200		200
Merrill Lynch Mortgage Investors, Inc.
5.390% due 08/25/2036		325		325
Morgan Stanley ABS Capital I
5.360% due 01/25/2037		89		89
5.370% due 11/25/2036		251		251
Option One Mortgage Loan Trust
5.370% due 01/25/2037		164		164
5.390% due 01/25/2036		124		124
Residential Asset Mortgage Products, Inc.
5.400% due 02/25/2036		205		205
Residential Asset Securities Corp.
5.390% due 02/25/2037		275		276
Securitized Asset-Backed Receivables LLC Trust
5.360% due 01/25/2037		523		524
5.380% due 12/25/2036		178		178
SLM Student Loan Trust
3.800% due 12/15/2038		500		485
5.325% due 10/25/2012		222		222
Soundview Home Equity Loan Trust
5.380% due 12/25/2036		191		191
5.400% due 06/25/2037		195		195
Specialty Underwriting & Residential Finance
5.380% due 01/25/2038		184		185
Structured Asset Securities Corp.
5.420% due 01/25/2037		433		432
Total Asset-Backed Securities (Cost $15,659)				15,661
SOVEREIGN ISSUES 0.8%
Korea Development Bank
5.490% due 04/03/2010		500		500
Total Sovereign Issues (Cost $500)				500
SHORT-TERM INSTRUMENTS 25.7%
Certificates of Deposit 7.8%
Barclays Bank PLC
5.281% due 03/17/2008		500		500
BNP Paribas
5.262% due 07/03/2008		500		500
5.270% due 09/23/2008		100		100
Calyon Financial, Inc.
5.340% due 01/16/2009		200		200
Dexia S.A.
5.270% due 09/29/2008		600		600
Fortis Bank NY
5.265% due 06/30/2008		200		200
5.300% due 09/30/2008		200		200
Nordea Bank Finland PLC
5.308% due 04/09/2009		200		200
Royal Bank of Canada
5.266% due 06/30/2008		200		200
Royal Bank of Scotland Group PLC
5.000% due 03/26/2008		100		100
5.262% due 07/03/2008		500		500
Skandinav Enskilda BK
5.340% due 08/21/2008		400		400
Societe Generale NY
5.271% due 06/30/2008		400		400
Unicredito Italiano NY
5.360% due 05/29/2008		600		601
				4,701
Commercial Paper 16.0%
Bank of America Corp.
5.200% due 10/04/2007		1,100		1,097
Freddie Mac
4.800% due 07/02/2007		2,000		2,000
HBOS Treasury Services PLC
5.230% due 09/21/2007		1,200		1,195
Societe Generale NY
5.225% due 11/26/2007		1,400		1,396
Svenska Handelsbanken, Inc.
5.185% due 10/09/2007		1,200		1,199
UBS Finance Delaware LLC
5.215% due 10/23/2007		2,800		2,767
				9,654
Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 07/02/2007		210		210
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $216. Repurchase proceeds are $210.)
U.S. Treasury Bills 1.6%
4.641% due 08/30/2007 - 09/13/2007 (a)(b)(d)		950		942
Total Short-Term Instruments (Cost $15,506)				15,507
Purchased Options (f) 0.1% (Cost $89)				36
Total Investments (c) 145.6% (Cost $88,026)			$	87,736
Written Options (g) (0.1%) (Premiums $109)				(59	)
Other Assets and Liabilities (Net) (45.5%)				(27,422	)
Net Assets 100.0%			$	60,255

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 $248 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(c) As of June 30, 2007, portfolio securities with an aggregate value of $3,337 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $446 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	1	$	(2	)
90-Day Euribor June Futures	Long	06/2008	3		(6	)
90-Day Euribor March Futures	Long	03/2008	2		(4	)
90-Day Euribor September Futures	Long	09/2008	5		(2	)
90-Day Eurodollar December Futures	Long	12/2007	41		(77	)
90-Day Eurodollar December Futures	Long	12/2008	36		(26	)
90-Day Eurodollar June Futures	Long	06/2008	154		(216	)
90-Day Eurodollar March Futures	Long	03/2008	129		(195	)
90-Day Eurodollar March Futures	Long	03/2009	5		(7	)
90-Day Eurodollar September Futures	Long	09/2008	120		(182	)
90-Day Euroyen December Futures	Long	12/2007	10		(1	)
Euro-Bund 10-Year Note September Futures	Short	09/2007	1		(1	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	1		1
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	1		(1	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	1		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	24		(36	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	5		(8	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	22		(34	)
				$	(799	)

(e) Swap agreements outstanding on June 30, 2007:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.000	%	09/20/2008	$	1,000	$	(3	)
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009		500		0
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.630	%	03/20/2009		100		0
Credit Suisse First Boston	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009		500		1
Credit Suisse First Boston	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.270	%	03/20/2009		100		0
Deutsche Bank AG	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	0.300	%	06/20/2008		300		1
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		100		0
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		400		2
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		500		0
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	03/20/2009		100		0
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009		500		2
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009		300		0
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.085	%	03/20/2012		100		1
								$	4

⁽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	7.000	%	12/15/2009	AUD	100	$	0
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	300		2
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		100		1
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		200		1
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		100		2
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	5.000	%	12/19/2009	EUR	400		0
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		300		6
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	12/19/2017		100		(1	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		200		(1	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		600		(5	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		100		(1	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	400		(4	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		300		(5	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		200		(2	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		400		34
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		500		(12	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		1,200		(4	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		100		6
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		200		(3	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	20,000		0
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		100,000		0
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		40,000		(1	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		10,000		0
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		310,000		(5	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012	MXN	800		(1	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	3,500		(3	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		300		3
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		3,700		(8	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		21,600		11
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		1,000		(4	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		1,200		(10	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		600		(4	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		3,700		(8	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		1,000		(2	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		300		(2	)
								$	(20	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	Long	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	11/15/2007	744,562	$	(116	)
Goldman Sachs & Co.	Short	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	11/15/2007	7,235		1
						$	(115	)

(f) Purchased options outstanding on June 30, 2007:

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	%	08/08/2007	$	2,000	$	8	$	0
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		5,000		17		10
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/08/2007		5,000		6		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		2,000		10		3
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		4,600		28		6
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		3,000		11		7
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		3,000		9		10
									$	89	$	36

(g) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.000	08/24/2007	16	$	5	$	10
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	9		3		2
Call - CBOT U.S. Treasury 10-Year Note September Futures		108.000	08/24/2007	2		0		0
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	3		0		0
Put - CBOT U.S. Treasury 10-Year Note September Futures		103.000	08/24/2007	4		2		0
Put - CBOT U.S. Treasury 10-Year Note September Futures		104.000	08/24/2007	12		5		3
Put - CBOT U.S. Treasury 10-Year Note September Futures		105.000	08/24/2007	14		5		7
					$	20	$	22

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	%	08/08/2007	$	1,000	$	9	$	0
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		2,000		16		10
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		1,000		7		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		1,000		12		4
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		2,000		27		6
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		1,000		10		7
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		1,000		8		10
									$	89	$	37

(h) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
U.S. Treasury Notes	4.500	%	05/15/2017	$	800	$	767	$	773
U.S. Treasury Notes	4.625	%	02/15/2017		200		195		197
						$	962	$	970

⁽²⁾ Market value includes $9 of interest payable on short sales.

(i) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	273	07/2007	$	2	$	0		$	2
Buy	BRL	1,397	10/2007		26		0			26
Buy		902	03/2008		32		0			32
Buy	CAD	120	08/2007		1		0			1
Buy	CNY	314	11/2007		0		0			0
Sell		314	11/2007		0		0			0
Buy	EUR	1,682	07/2007		22		0			22
Sell	GBP	386	08/2007		0		(4	)		(4	)
Buy	IDR	441,000	05/2008		0		(2	)		(2	)
Buy	INR	2,647	10/2007		0		0			0
Buy		2,137	05/2008		1		0			1
Sell	JPY	45,623	07/2007		5		0			5
Buy	KRW	49,876	07/2007		0		0			0
Buy		73,950	09/2007		0		0			0
Buy	MXN	2,348	03/2008		2		0			2
Buy	MYR	509	05/2008		0		(2	)		(2	)
Buy	NZD	28	07/2007		1		0			1
Buy	PHP	5,964	05/2008		0		(2	)		(2	)
Buy	PLN	336	09/2007		1		0			1
Buy		56	03/2008		0		0			0
Buy	RUB	420	11/2007		0		0			0
Buy		477	12/2007		1		0			1
Buy		6,058	01/2008		1		0			1
Buy	SEK	382	09/2007		1		0			1
Buy	SGD	229	07/2007		0		(1	)		(1	)
Buy		249	10/2007		1		0			1
				$	97	$	(11	)	$	86

See accompanying notes

Schedule of Investments

Investment Grade Corporate Bond Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s	)		Value (000s	)
BANK LOAN OBLIGATIONS 0.8%
Kinder Morgan, Inc.
6.820% due 05/24/2014	$	100		$	100
SLM Corp.
6.000% due 06/30/2008		500			498
Total Bank Loan Obligations (Cost $598)					598
CORPORATE BONDS & NOTES 75.9%
Banking & Finance 31.5%
AIG SunAmerica Global Financing VII
5.850% due 08/01/2008		200			201
Allstate Corp.
6.125% due 05/15/2037		100			97
7.200% due 12/01/2009		200			208
American International Group, Inc.
2.875% due 05/15/2008		300			293
5.050% due 10/01/2015		200			191
6.250% due 05/01/2036		200			203
Anadarko Finance Co.
6.750% due 05/01/2011		200			207
Archstone-Smith Trust
7.900% due 02/15/2016		25			28
AvalonBay Communities, Inc.
6.125% due 11/01/2012		50			51
BAE Systems Holdings, Inc.
5.200% due 08/15/2015		200			191
Bank of America Corp.
3.875% due 01/15/2008		50			50
4.750% due 08/01/2015		200			187
Bank One Corp.
5.250% due 01/30/2013		100			98
9.875% due 03/01/2009		50			53
BB&T Capital Trust IV
6.820% due 06/12/2077		200			199
BB&T Corp.
6.500% due 08/01/2011		30			31
Bear Stearns Cos., Inc.
5.700% due 11/15/2014		200			196
BellSouth Capital Funding Corp.
7.875% due 02/15/2030		200			226
BNP Paribas
5.186% due 06/29/2049		700			654
C10 Capital SPV Ltd.
6.722% due 12/31/2049		400			390
Canadian Oil Sands Ltd.
4.800% due 08/10/2009		245			241
Citigroup, Inc.
5.000% due 09/15/2014		200			191
5.625% due 08/27/2012		400			401
6.000% due 02/21/2012		190			194
6.125% due 08/25/2036		800			788
Commonwealth Bank of Australia
6.024% due 03/29/2049		350			342
Credit Agricole S.A.
6.637% due 05/29/2049		200			194
Fleet National Bank
5.750% due 01/15/2009		175			176
Ford Motor Credit Co.
7.875% due 06/15/2010		100			100
General Electric Capital Corp.
5.000% due 01/08/2016		100			95
5.430% due 08/15/2011		500			500
5.450% due 01/15/2013		350			347
6.750% due 03/15/2032		500			544
General Motors Acceptance Corp.
6.510% due 09/23/2008		200			200
6.875% due 09/15/2011		50			49
GMAC LLC
6.625% due 05/15/2012		100			97
Goldman Sachs Group LP
4.500% due 06/15/2010		250			244
Goldman Sachs Group, Inc.
5.250% due 10/15/2013		300			291
5.450% due 12/22/2008		200			200
5.700% due 09/01/2012		300			300
6.125% due 02/15/2033		600			574
6.600% due 01/15/2012		100			104
HBOS Capital Funding LP
6.071% due 06/30/2049		300			299
HBOS PLC
5.920% due 09/29/2049		100			94
HSBC Capital Funding LP
4.610% due 12/29/2049		1,330			1,250
9.547% due 12/31/2049		100			111
HSBC Finance Corp.
4.125% due 03/11/2008		200			198
HSBC Holdings PLC
6.500% due 05/02/2036		200			206
International Lease Finance Corp.
4.875% due 09/01/2010		150			147
JPMorgan & Co., Inc.
5.750% due 10/15/2008		100			100
JPMorgan Chase & Co.
4.750% due 03/01/2015		300			281
5.125% due 09/15/2014		100			96
6.625% due 03/15/2012		350			364
7.125% due 06/15/2009		100			103
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		400			386
KFW International Finance, Inc.
5.750% due 01/15/2008		30			30
Lehman Brothers Holdings, Inc.
4.800% due 03/13/2014		300			284
6.625% due 01/18/2012		30			31
MBNA America Bank N.A.
7.125% due 11/15/2012		145			155
Merrill Lynch & Co., Inc.
4.250% due 02/08/2010		100			97
Mizuho Financial Group Cayman Ltd.
5.790% due 04/15/2014		150			150
Mizuho JGB Investment LLC
9.870% due 12/31/2049		100			104
Morgan Stanley
4.750% due 04/01/2014		900			842
5.300% due 03/01/2013		325			319
5.375% due 10/15/2015		250			240
6.600% due 04/01/2012		100			104
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		1,050			1,033
Natexis AMBS Co. LLC
8.440% due 12/29/2049		100			103
National Rural Utilities Cooperative Finance Corp.
7.250% due 03/01/2012		200			213
Preferred Term Securities XII
5.910% due 03/24/2034		100			101
Prudential Financial, Inc.
5.510% due 06/13/2008		100			100
Prudential Insurance Co. of America
7.650% due 07/01/2007		250			250
Rabobank Capital Funding II
5.260% due 12/31/2049		50			48
Rabobank Capital Funding Trust
5.254% due 12/29/2049		700			657
Resona Bank Ltd.
5.850% due 09/29/2049		300			287
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		480			522
SB Treasury Co. LLC
9.400% due 12/29/2049		200			207
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		300			286
UBS Preferred Funding Trust V
6.243% due 05/12/2049		700			704
United Overseas Bank Ltd.
5.375% due 09/03/2019		100			97
USB Capital IX
6.189% due 04/15/2049		975			983
Ventas Realty LP
6.750% due 06/01/2010		200			203
VTB Capital S.A. for Vneshtorgbank
6.110% due 09/21/2007		200			200
Wachovia Bank N.A.
5.000% due 08/15/2015		300			285
7.800% due 08/18/2010		30			32
Wells Fargo & Co.
5.420% due 03/23/2010		75			75
5.455% 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			1,404
Xstrata Finance Canada Ltd.
5.800% due 11/15/2016		300			292
					24,230
Industrials 30.4%
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		100			96
Allied Waste North America, Inc.
6.500% due 11/15/2010		300			295
American Airlines, Inc.
6.978% due 10/01/2012		80			81
7.858% due 10/01/2011		50			53
American Greetings Corp.
7.375% due 06/01/2016		100			102
Anadarko Petroleum Corp.
5.950% due 09/15/2016		200			196
6.450% due 09/15/2036		200			193
Apache Corp.
6.000% due 01/15/2037		200			191
Barrick Gold Corp.
5.800% due 11/15/2034		100			90
Beckman Coulter, Inc.
6.875% due 11/15/2011		30			31
Boston Scientific Corp.
5.450% due 06/15/2014		100			94
C8 Capital SPV Ltd.
6.640% due 12/31/2049		100			99
Canadian National Railway Co.
4.400% due 03/15/2013		80			75
Canadian Natural Resources Ltd.
5.450% due 10/01/2012		100			99
5.850% due 02/01/2035		200			181
6.000% due 08/15/2016		100			99
Cardinal Health, Inc.
5.619% due 10/02/2009		200			200
CBS Corp.
5.625% due 08/15/2012		500			492
CenterPoint Energy Resources Corp.
7.875% due 04/01/2013		150			164
Chesapeake Energy Corp.
6.375% due 06/15/2015		300			288
6.875% due 01/15/2016		200			196
7.000% due 08/15/2014		23			23
7.500% due 06/15/2014		200			204
Cisco Systems, Inc.
5.440% 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			99
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		100			112
Comcast Cable Communications, Inc.
6.750% due 01/30/2011		300			311
8.875% due 05/01/2017		35			41
Comcast Corp.
5.300% due 01/15/2014		100			97
5.850% due 01/15/2010		200			201
5.875% due 02/15/2018		100			97
6.450% due 03/15/2037		200			193
7.050% due 03/15/2033		100			104
ConocoPhillips Australia Funding Co.
5.460% due 04/09/2009		200			200
Continental Airlines, Inc.
6.320% due 11/01/2008		50			50
6.503% due 06/15/2011		100			100
Cox Communications, Inc.
4.625% due 06/01/2013		160			150
5.910% due 12/14/2007		100			100
6.750% due 03/15/2011		100			104
7.750% due 11/01/2010		130			138
CSC Holdings, Inc.
8.125% due 07/15/2009		50			51
8.125% due 08/15/2009		50			51
CSX Corp.
5.300% due 02/15/2014		250			242
DaimlerChrysler N.A. Holding Corp.
5.840% due 09/10/2007		200			200
7.300% due 01/15/2012		100			106
Devon Energy Corp.
7.950% due 04/15/2032		600			703
Devon Financing Corp. ULC
7.875% due 09/30/2031		300			349
Duke Energy Field Services LLC
5.375% due 10/15/2015		100			95
EchoStar DBS Corp.
6.375% due 10/01/2011		200			196
El Paso Natural Gas Co.
5.950% due 04/15/2017		500			487
Embraer Overseas Ltd.
6.375% due 01/24/2017		100			98
Enbridge Energy Partners LP
5.875% due 12/15/2016		500			489
EnCana Corp.
4.750% due 10/15/2013		100			95
6.500% due 08/15/2034		100			101
Energy Transfer Partners LP
6.125% due 02/15/2017		500			495
Enterprise Products Operating LP
5.000% due 03/01/2015		200			187
Freeport-McMoRan Copper & Gold, Inc.
8.375% due 04/01/2017		100			107
Fund American Cos., Inc.
5.875% due 05/15/2013		150			148
Gaz Capital for Gazprom
8.625% due 04/28/2034		200			250
Gazprom International S.A.
7.201% due 02/01/2020		95			99
General Mills, Inc.
5.700% due 02/15/2017		200			195
Georgia-Pacific Corp.
7.125% due 01/15/2017		700			676
8.125% due 05/15/2011		100			103
HCA, Inc.
6.750% due 07/15/2013		200			182
Hess Corp.
7.875% due 10/01/2029		200			226
Hilton Hotels Corp.
8.250% due 02/15/2011		230			243
HJ Heinz Co.
6.428% due 12/01/2008		200			202
Hospira, Inc.
6.050% due 03/30/2017		100			99
Humana, Inc.
6.450% due 06/01/2016		200			202
Hutchison Whampoa International Ltd.
6.500% due 02/13/2013		140			144
Hyundai Motor Manufacturing Alabama LLC
5.300% due 12/19/2008		100			99
International Business Machines Corp.
8.375% due 11/01/2019		30			36
JC Penney Corp., Inc.
6.375% due 10/15/2036		200			191
8.000% due 03/01/2010		100			106
JetBlue Airways Corp.
9.610% due 03/15/2008		50			51
Kern River Funding Corp.
4.893% due 04/30/2018		65			62
Kinder Morgan Energy Partners LP
5.000% due 12/15/2013		200			190
7.300% due 08/15/2033		150			157
Kroger Co.
5.500% due 02/01/2013		200			195
Magellan Midstream Partners LP
6.400% due 05/01/2037		100			97
MGM Mirage
6.625% due 07/15/2015		100			91
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		500			581
Newmont Mining Corp.
5.875% due 04/01/2035		100			89
News America Holdings, Inc.
9.250% due 02/01/2013		400			463
Norfolk Southern Corp.
7.250% due 02/15/2031		100			108
Northrop Grumman Corp.
7.750% due 02/15/2031		100			119
Northwest Pipeline Corp.
5.950% due 04/15/2017		200			196
Oracle Corp.
5.000% due 01/15/2011		150			148
Pemex Project Funding Master Trust
5.750% due 12/15/2015		200			196
8.000% due 11/15/2011		260			283
Phelps Dodge Corp.
8.750% due 06/01/2011		200			221
9.500% due 06/01/2031		200			260
Pioneer Natural Resources Co.
5.875% due 07/15/2016		200			181
Plains All American Pipeline LP
6.125% due 01/15/2017		400			398
Plains Exploration & Production Co.
7.000% due 03/15/2017		100			95
Premcor Refining Group, Inc.
6.750% due 02/01/2011		100			104
Qwest Communications International, Inc.
7.250% due 02/15/2011		200			202
Reynolds American, Inc.
7.750% due 06/01/2018		100			107
Rogers Cable, Inc.
5.500% due 03/15/2014		100			97
6.750% due 03/15/2015		200			207
Safeway, Inc.
5.710% due 03/27/2009		200			200
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		200			215
Starwood Hotels & Resorts Worldwide, Inc.
7.875% due 05/01/2012		100			104
Suncor Energy, Inc.
6.500% due 06/15/2038		500			504
Systems 2001 Asset Trust LLC
6.664% due 09/15/2013		57			59
Time Warner Cable, Inc.
5.850% due 05/01/2017		240			234
6.550% due 05/01/2037		840			814
Time Warner, Inc.
6.750% due 04/15/2011		25			26
Transcontinental Gas Pipe Line Corp.
8.875% due 07/15/2012		30			34
Tyson Foods, Inc.
6.850% due 04/01/2016		335			346
Union Pacific Corp.
6.625% due 02/01/2029		50			51
United Airlines, Inc.
10.125% due 03/22/2015 (a)		90			47
USX Corp.
6.850% due 03/01/2008		30			30
Vale Overseas Ltd.
6.250% due 01/11/2016		200			199
6.250% due 01/23/2017		100			100
Valero Energy Corp.
3.500% due 04/01/2009		100			97
6.625% due 06/15/2037		200			200
7.500% due 04/15/2032		400			438
Viacom, Inc.
6.250% due 04/30/2016		500			493
Wal-Mart Stores, Inc.
6.875% due 08/10/2009		30			31
Walt Disney Co.
5.460% due 09/10/2009		100			100
6.375% due 03/01/2012		100			104
Waste Management, Inc.
7.100% due 08/01/2026		10			10
WellPoint, Inc.
4.250% due 12/15/2009		100			97
Westfield Group
5.700% due 10/01/2016		100			98
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			97
Xerox Corp.
6.110% due 12/18/2009		100			101
XTO Energy, Inc.
6.100% due 04/01/2036		100			94
6.250% due 04/15/2013		100			102
7.500% due 04/15/2012		100			108
Yum! Brands, Inc.
8.875% due 04/15/2011		140			154
					23,367
Utilities 14.0%
Appalachian Power Co.
3.600% due 05/15/2008		100			98
AT&T Corp.
7.300% due 11/15/2011		447			476
AT&T, Inc.
5.100% due 09/15/2014		300			287
BellSouth Corp.
5.200% due 09/15/2014		300			288
5.200% due 12/15/2016		100			95
British Telecommunications PLC
8.625% due 12/15/2010		100			109
9.125% due 12/15/2030		100			131
CenturyTel, Inc.
8.375% due 10/15/2010		100			108
Cingular Wireless LLC
6.500% due 12/15/2011		50			52
Constellation Energy Group, Inc.
7.000% due 04/01/2012		100			105
Consumers Energy Co.
5.000% due 02/15/2012		100			97
5.375% due 04/15/2013		100			99
5.500% due 08/15/2016		350			340
Deutsche Telekom International Finance BV
8.000% due 06/15/2010		330			352
Duke Energy Corp.
6.450% due 10/15/2032		200			206
Embarq Corp.
7.082% due 06/01/2016		500			504
Energy East Corp.
6.750% due 07/15/2036		100			104
Entergy Gulf States, Inc.
3.600% due 06/01/2008		150			147
4.875% due 11/01/2011		100			96
Entergy Louisiana LLC
5.560% due 09/01/2015		50			48
Exelon Corp.
4.900% due 06/15/2015		200			184
Florida Power Corp.
5.760% due 11/14/2008		50			50
France Telecom S.A.
7.750% due 03/01/2011		230			246
Indianapolis Power & Light
6.300% due 07/01/2013		150			153
IPALCO Enterprises, Inc.
8.375% due 11/14/2008		150			154
MidAmerican Energy Holdings Co.
7.630% due 10/15/2007		200			201
Nevada Power Co.
6.500% due 05/15/2018		150			152
6.750% due 07/01/2037		200			204
Niagara Mohawk Power Corp.
7.750% due 10/01/2008		30			31
NiSource Finance Corp.
7.875% due 11/15/2010		100			107
Ohio Edison Co.
5.450% due 05/01/2015		100			97
5.647% due 06/15/2009		100			100
Pacific Gas & Electric Co.
5.800% due 03/01/2037		100			94
6.050% due 03/01/2034		300			292
PPL Capital Funding Trust I
4.330% due 03/01/2009		200			196
Progress Energy, Inc.
6.850% due 04/15/2012		200			210
7.100% due 03/01/2011		94			99
PSEG Power LLC
6.950% due 06/01/2012		200			210
8.625% due 04/15/2031		100			123
Public Service Co. of Oklahoma
6.150% due 08/01/2016		150			150
Qwest Corp.
8.610% due 06/15/2013		100			109
Ras Laffan Liquefied Natural Gas Co. Ltd. I
3.437% due 09/15/2009		36			35
Sierra Pacific Power Co.
6.000% due 05/15/2016		200			197
Southern California Edison Co.
5.000% due 01/15/2014		200			191
Sprint Capital Corp.
8.375% due 03/15/2012		500			545
System Energy Resources, Inc.
4.875% due 10/01/2007		100			100
TECO Energy, Inc.
6.750% due 05/01/2015		200			205
7.000% due 05/01/2012		300			312
Telecom Italia Capital S.A.
4.000% due 01/15/2010		200			192
5.250% due 11/15/2013		100			95
5.969% due 07/18/2011		200			201
Telefonica Emisones SAU
5.984% due 06/20/2011		100			101
Telus Corp.
8.000% due 06/01/2011		30			32
Toledo Edison Co.
6.150% due 05/15/2037		200			188
TXU Energy Co. LLC
5.860% due 09/16/2008		100			100
Verizon Communications, Inc.
5.350% due 02/15/2011		200			199
Verizon Global Funding Corp.
7.750% due 12/01/2030		200			225
Verizon New England, Inc.
6.500% due 09/15/2011		200			205
Virginia Electric & Power Co.
5.400% due 01/15/2016		500			483
6.000% due 05/15/2037		100			96
Vodafone Group PLC
3.950% due 01/30/2008		30			30
7.750% due 02/15/2010		30			32
Xcel Energy, Inc.
6.500% due 07/01/2036		100			101
					10,769
Total Corporate Bonds & Notes (Cost $59,720)					58,366
CONVERTIBLE BONDS & NOTES 0.3%
ERP Operating LP
3.850% due 08/15/2026		200			200
Total Convertible Bonds & Notes (Cost $202)					200
U.S. GOVERNMENT AGENCIES 8.7%
Fannie Mae
5.500% due 07/01/2036 - 08/01/2037		5,334			5,144
6.000% due 04/01/2036 - 10/01/2036		1,583			1,568
Total U.S. Government Agencies (Cost $6,769)					6,712
SOVEREIGN ISSUES 1.0%
Croatia Government International Bond
6.212% due 07/31/2010		24			24
Korea Development Bank
4.750% due 07/20/2009		300			296
Mexico Government International Bond
6.750% due 09/27/2034		78			83
Panama Government International Bond
9.625% due 02/08/2011		100			112
Russia Government International Bond
7.500% due 03/31/2030		149			165
South Africa Government International Bond
7.375% due 04/25/2012		90			96
Total Sovereign Issues (Cost $761)					776
FOREIGN CURRENCY-DENOMINATED ISSUES 2.8%
BAT International Finance PLC
3.625% due 06/29/2012	EUR	325			412
Credit Logement S.A.
4.604% due 03/29/2049		300			399
Deutsche Telekom International Finance BV
8.125% due 05/29/2012		100			153
France Telecom S.A.
6.750% due 03/14/2008		90			124
HSBC Holdings PLC
5.375% due 12/20/2012		60			83
RBS Capital Trust A
6.467% due 12/29/2049		325			465
Rogers Cable, Inc.
7.250% due 12/15/2011	CAD	50			50
Telefonica Europe BV
5.125% due 02/14/2013	EUR	325			441
Total Foreign Currency-Denominated Issues (Cost $1,935)					2,127
		Shares
PREFERRED STOCKS 0.1%
Goldman Sachs Group, Inc.
6.107% due 12/31/2049		4,000			102
Total Preferred Stocks (Cost $100)					102
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS 13.1%
Commercial Paper 11.2%
Bank of America Corp.
5.200% due 10/04/2007	$	1,300			1,296
Freddie Mac
4.800% due 07/02/2007		4,000			4,000
Societe Generale NY
5.225% due 11/26/2007		2,300			2,266
UBS Finance Delaware LLC
5.230% due 10/23/2007		200			199
5.350% due 10/23/2007		900			900
					8,661
Repurchase Agreements 1.4%
State Street Bank and Trust Co.
4.900% due 07/02/2007
(Dated 06/29/2007. Collateralized by Fannie Mae 3.250% due 08/15/2008 valued at $1,084. Repurchase proceeds are $1,058.)		1,058			1,058
U.S. Treasury BillS 0.5%
4.642% due 08/30/2007 - 09/13/2007 (b)(d)		395			391
Total Short-Term Instruments (Cost $10,112)					10,110
Purchased Options (f) 0.0%
(Cost $45)					43
Total Investments (c) 102.7% (Cost $80,242)				$	79,034
Written Options (g) (0.0%) (Premiums $16)					(15	)
Other Assets and Liabilities (Net) (2.7%)					(2,091	)
Net Assets 100.0%				$	76,928

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 June 30, 2007, portfolio securities with an aggregate value of $599 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $391 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Eurodollar December Futures	Long	12/2008	124	$	(118	)
90-Day Eurodollar June Futures	Long	06/2009	87		(126	)
90-Day Eurodollar March Futures	Long	03/2009	109		(147	)
90-Day Eurodollar September Futures	Long	09/2009	83		(117	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	50		37
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	40		11
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	79		(170	)
				$	(630	)

(e) Swap agreements outstanding on June 30, 2007:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay /Receive Fixed Rate	)	Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Bank of America	ConocoPhillips 8.750% due 05/25/2010	Sell	0.100	%	12/20/2007	$	100	$	0
Bank of America	Valero Energy Corp. 6.875% due 04/15/2012	Sell	0.120	%	12/20/2007		100		0
Bank of America	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		3,000		(7	)
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		500		5
Barclays Bank PLC	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(0.670	%)	03/20/2012		400		14
Barclays Bank PLC	Dow Jones iTraxx Europe HV8 Index	Sell	0.750	%	06/20/2012		3,100		(3	)
Barclays Bank PLC	Masco Corp. 5.875% due 07/15/2012	Buy	(0.630	%)	06/20/2012		100		0
Barclays Bank PLC	Mattel, Inc. 6.125% due 06/15/2011	Buy	(0.330	%)	06/20/2012		100		0
Barclays Bank PLC	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.490	%)	06/20/2012		200		0
Bear Stearns & Co., Inc.	EnCana Corp. 4.750% due 10/15/2013	Sell	0.530	%	09/20/2009		200		2
Bear Stearns & Co., Inc.	CenturyTel, Inc. 7.875% due 08/15/2012	Buy	(0.355	%)	06/20/2010		100		0
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.600	%	06/20/2010		100		8
Bear Stearns & Co., Inc.	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.210	%)	06/20/2012		500		0
Bear Stearns & Co., Inc.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.490	%)	06/20/2012		300		(2	)
Bear Stearns & Co., Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.570	%)	06/20/2012		100		0
Bear Stearns & Co., Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.520	%)	06/20/2012		300		(1	)
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.265	%	03/20/2011		200		0
BNP Paribas Bank	Union Pacific Corp. 6.125% due 01/15/2012	Buy	(0.215	%)	06/20/2011		100		0
BNP Paribas Bank	Target Corp. 5.875% due 03/01/2012	Buy	(0.090	%)	06/20/2012		100		0
BNP Paribas Bank	Masco Corp. 5.875% due 07/15/2012	Buy	(0.950	%)	03/20/2017		100		0
Citibank N.A.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.350	%	09/20/2008		500		0
Citibank N.A.	Raytheon Co. 7.200% due 08/15/2027	Buy	(0.090	%)	06/20/2009		100		0
Citibank N.A.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		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.	Coca-Cola Enterprises, Inc. 6.125% due 08/15/2011	Buy	(0.140	%)	06/20/2012		100		0
Citibank N.A.	Freeport-McMoRan Copper & Gold, Inc. 6.875% due 02/01/2014	Sell	1.000	%	06/20/2012		300		2
Citibank N.A.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.480	%	09/20/2012		200		0
Citibank N.A.	Dominion Resources, Inc. 5.200% due 01/15/2016	Sell	0.670	%	06/20/2015		100		2
Credit Suisse First Boston	International Game Technology 0.000% convertible until 01/29/2033	Sell	0.350	%	03/20/2010		200		0
Credit Suisse First Boston	Noble Corp. 5.875% due 06/01/2013	Buy	(0.460	%)	06/20/2012		500		(1	)
Credit Suisse First Boston	Staples, Inc. 7.375% due 10/01/2012	Buy	(0.280	%)	06/20/2012		200		0
Deutsche Bank AG	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.500	%	09/20/2009		500		0
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.700	%	09/20/2011		300		20
Deutsche Bank AG	General Motors Acceptance Corp. 6.875% due 08/28/2012	Buy	(2.500	%)	09/20/2011		300		(7	)
Deutsche Bank AG	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.050	%	06/20/2012		200		(2	)
Deutsche Bank AG	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.440	%)	06/20/2012		500		(2	)
Deutsche Bank AG	Masco Corp. 5.875% due 07/15/2012	Buy	(0.540	%)	06/20/2012		100		0
Deutsche Bank AG	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(1.155	%)	06/20/2012		200		(1	)
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		100		0
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.700	%	03/20/2009		200		0
Goldman Sachs & Co.	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.180	%)	06/20/2011		100		0
Goldman Sachs & Co.	Southwest Airlines Co. 6.500% due 03/01/2012	Buy	(0.290	%)	06/20/2011		100		0
Goldman Sachs & Co.	Phelps Dodge Corp. 8.750% due 06/01/2011	Buy	(0.520	%)	09/20/2011		200		(2	)
Goldman Sachs & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.340	%)	06/20/2012		100		0
Goldman Sachs & Co.	ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299	%)	06/20/2012		100		0
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		4,000		(10	)
Goldman Sachs & Co.	Dow Jones CDX N.A. HV8 Index	Buy	(0.750	%)	06/20/2012		2,000		14
Goldman Sachs & Co.	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.220	%)	06/20/2012		100		0
Goldman Sachs & Co.	Lennar Corp. 5.950% due 03/01/2013	Buy	(0.780	%)	06/20/2012		100		1
Goldman Sachs & Co.	VF Corp. 8.500% due 10/01/2010	Buy	(0.220	%)	06/20/2012		100		0
Goldman Sachs & Co.	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.630	%)	06/20/2012		100		(1	)
Goldman Sachs & Co.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.320	%	03/20/2014		100		(2	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		250		3
Goldman Sachs & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(0.849	%)	03/20/2017		100		6
Goldman Sachs & Co.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(1.018	%)	03/20/2017		100		0
JPMorgan Chase & Co.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	03/20/2009		100		0
JPMorgan Chase & Co.	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.350	%	06/20/2010		50		0
JPMorgan Chase & Co.	Altria Group, Inc. 7.000% due 11/04/2013	Sell	1.100	%	09/20/2010		300		9
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.650	%	03/20/2012		5,000		(41	)
JPMorgan Chase & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(0.820	%)	06/20/2012		100		1
JPMorgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.840	%	06/20/2012		500		(1	)
JPMorgan Chase & Co.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.490	%)	06/20/2012		200		(1	)
JPMorgan Chase & Co.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.530	%)	06/20/2012		100		0
Lehman Brothers, Inc.	Proctor & Gamble Co. 4.950% due 08/15/2014	Sell	0.070	%	09/20/2008		500		0
Lehman Brothers, Inc.	Union Pacific Corp. 6.650% due 01/15/2011	Sell	0.280	%	03/20/2010		100		0
Lehman Brothers, Inc.	Starwood Hotels & Resorts Worldwide, Inc. 7.875% 05/01/2012	Sell	1.010	%	09/20/2011		200		0
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Buy	(2.620	%)	03/20/2012		5,000		46
Lehman Brothers, Inc.	LCDX N.A. 8 Index	Sell	1.200	%	06/20/2012		400		0
Lehman Brothers, Inc.	Lennar Corp. 5.950% due 03/01/2013	Buy	(1.130	%)	06/20/2012		200		0
Lehman Brothers, Inc.	Nabors Industries, Inc. 0.000% due 02/05/2021	Buy	(0.410	%)	06/20/2012		500		(1	)
Lehman Brothers, Inc.	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	1.000	%	06/20/2012		500		5
Lehman Brothers, Inc.	Tesoro Corp. 6.250% due 11/01/2012	Sell	0.750	%	06/20/2012		500		(1	)
Lehman Brothers, Inc.	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.239	%)	06/20/2012		500		(1	)
Lehman Brothers, Inc.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.480	%	09/20/2012		200		0
Lehman Brothers, Inc.	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.160	%	03/20/2014		100		(3	)
Merrill Lynch & Co., Inc.	XTO Energy, Inc. 6.250% due 04/15/2013	Sell	0.380	%	03/20/2010		200		1
Merrill Lynch & Co., Inc.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.300	%	06/20/2010		200		1
Morgan Stanley	ConocoPhillips 4.750% due 10/15/2012	Sell	0.230	%	03/20/2011		300		1
Morgan Stanley	Walt Disney Co. 6.375% due 03/01/2012	Buy	(0.180	%)	06/20/2011		100		0
Morgan Stanley	Inco Ltd. 7.750% due 05/15/2012	Buy	(0.500	%)	12/20/2011		500		(6	)
Morgan Stanley	Vale Overseas Ltd. 8.250% due 01/17/2034	Sell	0.700	%	12/20/2011		500		4
Morgan Stanley	Darden Restaurants, Inc. 7.125% due 02/01/2016	Buy	(0.490	%)	06/20/2012		100		0
Morgan Stanley	Dow Jones CDX N.A. HV8 Index	Sell	0.750	%	06/20/2012		2,000		(6	)
Morgan Stanley	International Paper Co. 5.850% due 10/30/2012	Buy	(0.475	%)	06/20/2012		200		(1	)
Morgan Stanley	LCDX N.A. 8 Index	Sell	1.200	%	06/20/2012		400		1
Morgan Stanley	Liz Claiborne, Inc. 5.000% due 07/08/2013	Buy	(0.480	%)	06/20/2012		100		1
Morgan Stanley	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.540	%)	06/20/2012		100		0
Morgan Stanley	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.530	%)	06/20/2012		100		0
Morgan Stanley	Office Depot, Inc. 6.250% due 08/15/2013	Buy	(0.450	%)	06/20/2012		100		1
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		1,300		9
Morgan Stanley	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.780	%)	03/20/2017		100		0
Royal Bank of Scotland Group PLC	ERP Operating LP 3.850% due 08/15/2026	Buy	(0.255	%)	09/20/2011		200		0
Royal Bank of Scotland Group PLC	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.570	%)	06/20/2012		300		0
Royal Bank of Scotland Group PLC	Newell Rubbermaid, Inc. 6.750% due 03/15/2012	Buy	(0.230	%)	06/20/2012		200		0
Royal Bank of Scotland Group PLC	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.180	%)	06/20/2012		200		0
UBS Warburg LLC	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	09/20/2007		500		0
UBS Warburg LLC	DR Horton, Inc. 5.375% due 06/15/2012	Buy	(1.370	%)	06/20/2012		300		2
UBS Warburg LLC	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(1.010	%)	06/20/2012		200		0
								$	59

⁽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 EUR-LIBOR	Receive	5.000	%	06/17/2012	EUR	200	$	20
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036	GBP	500		26
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		400		43
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		300		(14	)
UBS Warburg LLC	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2016	JPY	130,000		(4	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016	MXN	5,800		(5	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012	$	5,800		19
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		10,200		(43	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		500		6
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		1,900		(8	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		4,300		0
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		1,000		35
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		200		(2	)
Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	6.000	%	06/15/2025		2,000		(147	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		1,000		16
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		5,440		(36	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		1,100		18
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		500		(2	)
								$	(78	)

(f) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar September Futures	$	90.250	09/17/2007	22	$	0	$	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

5.000

%

12/15/2008

$

500

$

2

$

2

Credit Default Swaptions

Description

Counterparty

Reference Entity

Buy/Sell Protection(2)

Exercise Rate

Expiration Date

Notional Amount

Cost

Value

Put - OTC Dow Jones CDX N.A. IG8 Index

Lehman Brothers, Inc.

Dow Jones CDX N.A. IG8 Index

Sell

0.425

%

09/20/2007

$

600

$

1

$

1

⁽²⁾ 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.

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.355	05/21/2008	EUR	200	$	6	$	7
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		200		6		5
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		200		10		10
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		200		10		9
Call - OTC Euro versus U.S. dollar		1.372	06/03/2010		100		5		5
Put - OTC Euro versus U.S. dollar		1.372	06/03/2010		100		5		4
						$	42	$	40

(g) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	107.000	08/24/2007	25	$	8	$	7
Call - CBOT U.S. Treasury 10-Year Note September Futures		108.000	08/24/2007	12		1		1
Put - CBOT U.S. Treasury 10-Year Note September Futures		103.000	08/24/2007	25		3		3
					$	12	$	11

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

Royal Bank of Scotland Group PLC

3-Month USD-LIBOR

Receive

5.200

%

12/15/2008

$

200

$

2

$

2

Credit Default Swaptions

Description

Counterparty

Reference Entity

Buy/Sell Protection

(3)

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Put - OTC Dow Jones CDX N.A. IG8 Index

Barclays Bank PLC

Dow Jones CDX N.A. IG8 Index

Sell

0.425

%

09/20/2007

$

1,100

$

2

$

2

⁽³⁾ 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.

(h) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	07/01/2037	$	200	$	194	$	193

(i) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	AUD	500	07/2007	$	4	$	0		$	4
Buy	BRL	309	10/2007		8		0			8
Buy		779	03/2008		30		0			30
Sell	CAD	44	08/2007		0		0			0
Buy	CLP	27,495	03/2008		0		0			0
Sell	EUR	1,299	07/2007		0		(17	)		(17	)
Sell	GBP	407	08/2007		0		(4	)		(4	)
Buy	INR	14,413	10/2007		1		0			1
Buy		1,109	11/2007		0		0			0
Sell	JPY	1,128	07/2007		0		0			0
Buy	KRW	157,505	07/2007		2		0			2
Buy		8,246	08/2007		0		0			0
Buy		345,498	09/2007		2		0			2
Buy	MXN	6,003	03/2008		9		0			9
Buy	NOK	1,111	09/2007		3		0			3
Buy	PLN	1,442	09/2007		9		(1	)		8
Buy	RUB	2,765	09/2007		3		0			3
Buy		346	11/2007		1		0			1
Buy		8,301	12/2007		5		0			5
Buy		5,155	01/2008		1		0			1
Buy	SGD	261	07/2007		0		(2	)		(2	)
Buy		70	08/2007		0		(1	)		(1	)
Buy		518	09/2007		0		(5	)		(5	)
Buy	TWD	575	07/2007		0		0			0
Sell		575	07/2007		0		0			0
Buy		575	08/2007		0		0			0
Buy	ZAR	153	03/2008		0		0			0
				$	78	$	(30	)	$	48

See accompanying notes

Schedule of Investments

Japanese StocksPLUS^® TR Strategy Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 14.0%
Banking & Finance 7.2%
American International Group, Inc.
5.360% due 06/23/2008	$	500	$	500
Bank of Ireland
5.370% due 12/19/2008		200		200
Bear Stearns Cos., Inc.
5.655% due 01/30/2009		200		201
C10 Capital SPV Ltd.
6.722% due 12/18/2049		100		98
Citigroup, Inc.
5.400% due 12/26/2008		200		200
DnB NORBank ASA
5.402% due 02/25/2008		100		100
Ford Motor Credit Co.
7.250% due 10/25/2011		150		145
7.800% due 06/01/2012		50		49
General Electric Capital Corp.
5.390% due 03/12/2010		300		300
5.430% due 08/15/2011		200		200
GMAC LLC
4.375% due 12/10/2007		100		99
Goldman Sachs Group, Inc.
5.450% due 12/22/2008		200		200
HBOS Treasury Services PLC
5.320% due 07/17/2008		200		200
HSBC Finance Corp.
5.360% due 05/21/2008		100		100
JPMorgan Chase & Co.
5.410% due 06/26/2009		200		200
Metropolitan Life Global Funding I
5.400% due 05/17/2010		200		200
Morgan Stanley
5.406% due 05/07/2009		200		200
Rabobank Nederland
5.376% due 01/15/2009		200		200
Santander U.S. Debt S.A. Unipersonal
5.416% due 02/06/2009		200		200
				3,592
Industrials 4.0%
Boston Scientific Corp.
6.000% due 06/15/2011		100		100
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		200		201
C8 Capital SPV Ltd.
6.640% due 12/31/2049		100		98
Dex Media East LLC
9.875% due 11/15/2009		100		104
EchoStar DBS Corp.
5.750% due 10/01/2008		100		100
El Paso Corp.
6.375% due 02/01/2009		100		101
Equistar Chemicals LP
10.125% due 09/01/2008		57		60
Loews Corp.
5.250% due 03/15/2016		200		192
Mandalay Resort Group
6.500% due 07/31/2009		100		100
Reynolds American, Inc.
7.750% due 06/01/2018		100		107
Time Warner, Inc.
5.500% due 11/15/2011		400		396
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		200		200
Xerox Capital Trust I
8.000% due 02/01/2027		200		206
				1,965
Utilities 2.8%
BellSouth Corp.
4.240% due 04/26/2008		300		298
5.200% due 09/15/2014		200		192
Embarq Corp.
6.738% due 06/01/2013		300		306
Midwest Generation LLC
8.300% due 07/02/2009		84		86
NRG Energy, Inc.
7.375% due 02/01/2016		100		100
Ohio Power Co.
5.530% due 04/05/2010		200		201
Qwest Corp.
5.625% due 11/15/2008		100		100
TXU Energy Co. LLC
5.860% due 09/16/2008		100		100
				1,383
Total Corporate Bonds & Notes (Cost $6,951)				6,940
U.S. GOVERNMENT AGENCIES 71.5%
Fannie Mae
3.848% due 10/01/2033		668		658
4.000% due 05/01/2013		886		854
4.190% due 11/01/2034		65		64
4.340% due 08/01/2033		179		176
4.903% due 12/01/2035		220		218
5.000% due 07/25/2019 - 07/01/2037		5,283		5,032
5.038% due 07/01/2035		247		246
5.380% due 12/25/2036		490		489
5.420% due 01/25/2021		301		301
5.500% due 07/01/2037 - 08/01/2037		13,900		13,403
5.504% due 07/01/2032		36		36
5.670% due 05/25/2042 - 09/25/2042		227		228
6.000% due 07/01/2037		5,000		4,946
6.183% due 09/01/2044		300		304
6.214% due 06/01/2043 - 10/01/2044		685		694
6.500% due 07/01/2036 - 07/01/2037		3,000		2,953
6.625% due 11/25/2023		80		83
Freddie Mac
4.500% due 10/15/2013 - 10/15/2019		920		898
4.748% due 09/01/2035		239		236
5.000% due 12/15/2015 - 03/15/2026		1,944		1,925
5.500% due 08/15/2030 - 05/01/2035		443		428
5.520% due 10/15/2020		31		31
5.550% due 07/15/2037		1,000		1,000
6.227% due 02/25/2045		262		262
Total U.S. Government Agencies (Cost $35,553)				35,465
U.S. TREASURY OBLIGATIONS 0.2%
U.S. Treasury Notes
4.500% due 05/15/2017		100		96
Total U.S. Treasury Obligations (Cost $95)				96
MORTGAGE-BACKED SECURITIES 14.1%
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		166		163
Bear Stearns Alt-A Trust
5.818% due 11/25/2036		84		84
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		200		201
Countrywide Alternative Loan Trust
5.400% due 09/20/2046		205		205
5.480% due 02/25/2047		177		176
5.520% due 05/25/2036		190		190
5.530% due 03/20/2046		139		139
5.600% due 02/25/2037		155		156
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		152		151
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.400% due 02/25/2037		150		150
Downey Savings & Loan Association Mortgage Loan Trust
5.580% due 08/19/2045		119		120
Greenpoint Mortgage Funding Trust
5.400% due 01/25/2047		193		193
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		200		200
5.420% due 06/06/2020		37		37
Harborview Mortgage Loan Trust
5.540% due 05/19/2035		178		179
5.560% due 03/19/2037		146		147
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		71		71
Mellon Residential Funding Corp.
5.670% due 11/15/2031		164		164
5.760% due 12/15/2030		92		92
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		158		158
5.530% due 04/25/2046		233		232
Structured Adjustable Rate Mortgage Loan Trust
6.429% due 01/25/2035		46		46
Structured Asset Mortgage Investments, Inc.
5.390% due 08/25/2036		285		285
5.540% due 05/25/2036		170		170
5.600% due 02/25/2036		150		150
TBW Mortgage-Backed Pass-Through Certificates
5.430% due 01/25/2037		142		142
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		170		170
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		229		229
Washington Mutual, Inc.
3.799% due 06/25/2034		400		388
5.590% due 12/25/2045		88		89
5.724% due 05/25/2046		178		179
5.724% due 08/25/2046		269		271
5.759% due 01/25/2047		177		177
5.860% due 12/25/2027		38		38
6.009% due 06/25/2046		216		217
6.029% due 02/25/2046		176		176
6.223% due 05/25/2041		43		43
Wells Fargo Mortgage-Backed Securities Trust
4.319% due 07/25/2035		300		296
4.500% due 11/25/2018		108		105
4.950% due 03/25/2036		344		340
5.240% due 04/25/2036		227		225
5.386% due 08/25/2035		73		71
Total Mortgage-Backed Securities (Cost $7,004)				7,015
ASSET-BACKED SECURITIES 20.6%
Accredited Mortgage Loan Trust
5.480% due 09/25/2035		144		144
ACE Securities Corp.
5.370% due 12/25/2036		150		151
5.390% due 12/25/2035		56		56
American Express Credit Account Master Trust
5.430% due 09/15/2010		300		300
5.430% due 11/15/2010		200		200
Argent Securities, Inc.
5.360% due 06/25/2036		80		80
5.390% due 04/25/2036		81		81
5.400% due 03/25/2036		41		41
Asset-Backed Funding Certificates
5.380% due 11/25/2036		71		71
5.380% due 01/25/2037		151		151
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		57		57
Bank One Issuance Trust
5.430% due 12/15/2010		100		100
Basic Asset-Backed Securities Trust
5.400% due 04/25/2036		90		90
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		77		77
5.400% due 12/25/2035		24		24
5.410% due 04/25/2036		67		67
5.495% due 10/25/2036		167		165
Carrington Mortgage Loan Trust
5.370% due 01/25/2037		163		163
5.480% due 01/25/2036		200		200
Chase Credit Card Master Trust
5.430% due 02/15/2011		100		100
5.440% due 01/17/2011		200		200
Chase Issuance Trust
5.310% due 07/15/2011		100		100
Citigroup Mortgage Loan Trust, Inc.
5.380% due 05/25/2037		600		600
5.400% due 12/25/2035		39		39
Countrywide Asset-Backed Certificates
5.370% due 05/25/2037		342		342
5.390% due 06/25/2036		62		62
5.390% due 06/25/2037		173		173
5.480% due 02/25/2036		57		57
Credit-Based Asset Servicing & Securitization LLC
5.380% due 11/25/2036		164		164
CSAB Mortgage-Backed Trust
5.420% due 06/25/2036		97		97
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 12/25/2036		71		71
5.390% due 01/25/2036		42		42
Fremont Home Loan Trust
5.380% due 01/25/2037		165		166
GE-WMC Mortgage Securities LLC
5.420% due 12/25/2035		29		30
GSAMP Trust
5.390% due 01/25/2036		57		57
5.410% due 11/25/2035		69		69
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		127		127
5.670% due 09/20/2033		19		19
Home Equity Asset Trust
5.400% due 05/25/2036		82		83
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		169		169
5.400% due 12/25/2035		75		75
Indymac Residential Asset-Backed Trust
5.380% due 04/25/2037		158		158
5.410% due 03/25/2036		56		56
JPMorgan Mortgage Acquisition Corp.
5.380% due 04/01/2037		96		96
5.400% due 03/25/2037		288		288
Lehman XS Trust
5.390% due 05/25/2046		46		46
5.400% due 04/25/2046		107		107
5.400% due 07/25/2046		202		203
5.410% due 05/25/2046		141		141
Long Beach Mortgage Loan Trust
5.500% due 08/25/2035		90		90
MASTR Asset-Backed Securities Trust
5.370% due 11/25/2036		82		82
5.380% due 11/25/2036		163		163
5.430% due 11/25/2035		50		50
MBNA Credit Card Master Note Trust
5.420% due 12/15/2011		100		100
5.820% due 03/15/2010		200		200
Merrill Lynch First Franklin Mortgage Loan Trust
5.380% due 07/25/2037		300		300
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		107		107
5.390% due 08/25/2036		130		130
5.430% due 07/25/2036		57		59
Morgan Stanley ABS Capital I
5.370% due 10/25/2036		149		149
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		72		72
Nelnet Student Loan Trust
5.340% due 09/25/2012		157		157
New Century Home Equity Loan Trust
5.500% due 05/25/2036		200		200
5.580% due 06/25/2035		44		44
Nomura Home Equity Loan, Inc.
5.400% due 02/25/2036		108		108
Option One Mortgage Loan Trust
5.360% due 02/25/2037		71		71
Residential Asset Mortgage Products, Inc.
5.400% due 01/25/2036		41		41
Residential Asset Securities Corp.
5.360% due 06/25/2036		46		46
5.400% due 01/25/2036		43		43
5.410% due 01/25/2036		16		16
5.430% due 04/25/2037		287		287
Securitized Asset-Backed Receivables LLC Trust
5.390% due 10/25/2035		25		25
SLC Student Loan Trust
5.313% due 02/15/2015		300		300
SLM Student Loan Trust
5.355% due 10/25/2016		200		200
Soundview Home Equity Loan Trust
5.380% due 12/25/2036		127		127
5.390% due 05/25/2036		10		10
5.400% due 06/25/2037		292		292
Specialty Underwriting & Residential Finance
5.365% due 11/25/2037		70		70
Structured Asset Securities Corp.
4.900% due 04/25/2035		54		54
USAA Auto Owner Trust
5.337% due 07/11/2008		300		300
Wachovia Auto Owner Trust
4.820% due 02/20/2009		7		7
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		165		165
Total Asset-Backed Securities (Cost $10,216)				10,220
SOVEREIGN ISSUES 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012		12		13
Panama Government International Bond
9.625% due 02/08/2011		14		16
Total Sovereign Issues (Cost $28)				29
		Shares
EXCHANGE-TRADED FUNDS 3.4%
iShares MSCI Japan
Index Fund		116,688		1,693
Total Exchange-Traded Funds (Cost $1,728)				1,693
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 27.5%
Certificates of Deposit 6.9%
Barclays Bank PLC
5.281% due 03/17/2008	$	500		500
BNP Paribas
5.262% due 05/28/2008		200		200
Dexia S.A.
5.270% due 09/29/2008		200		200
Fortis Bank NY
5.265% due 06/30/2008		200		200
5.300% due 09/30/2008		200		200
Nordea Bank Finland PLC
5.282% due 12/01/2008		500		500
5.298% due 05/28/2008		200		200
Royal Bank of Canada
5.265% due 06/30/2008		200		201
Royal Bank of Scotland Group PLC
5.265% due 03/26/2008		500		500
Societe Generale NY
5.270% due 03/26/2008		500		500
Unicredito Italiano NY
5.360% due 05/29/2008		200		200
				3,401
Commercial Paper 18.2%
Dexia Delaware LLC
5.240% due 09/21/2007		1,500		1,483
Fortis Funding LLC
5.255% due 09/05/2007		1,100		1,097
Freddie Mac
4.800% due 07/02/2007		1,000		1,000
General Electric Capital Corp.
5.200% due 11/06/2007		200		199
Societe Generale NY
5.210% due 11/26/2007		600		594
5.225% due 11/26/2007		100		98
Svenska Handelsbanken, Inc.
5.185% due 10/09/2007		1,200		1,199
UBS Finance Delaware LLC
5.145% due 10/23/2007		500		498
5.235% due 10/23/2007		1,100		1,089
Westpac Banking Corp.
5.240% due 11/05/2007		1,800		1,779
				9,036
Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 07/02/2007		122		122
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $126. Repurchase proceeds are $122.)
U.S. Treasury Bills 2.2%
4.560% due 08/30/2007 - 09/13/2007 (a)(b)(d)		1,085		1,073
Total Short-Term Instruments (Cost $13,635)				13,632
Purchased Options (f) 0.2% (Cost $130)				82
Total Investments (c) 151.6% (Cost $75,340)			$	75,172
Written Options (g) (0.1%) (Premiums $82)				(45	)
Other Assets and Liabilities (Net) (51.5%)				(25,534	)
Net Assets 100.0%			$	49,593

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 $741 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(c) As of June 30, 2007, portfolio securities with an aggregate value of $2,117 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $332 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Euribor September Futures	Long	09/2007	4	$	(7	)
90-Day Euribor September Futures	Long	09/2008	4		0
90-Day Euro June Futures	Long	06/2008	49		(46	)
90-Day Euro March Futures	Long	03/2009	37		12
90-Day Euro September Futures	Long	09/2008	5		(6	)
90-Day Euro March Futures	Long	03/2008	49		(37	)
Euro-Bobl 5-Year Note September Futures	Long	09/2007	7		(4	)
Euro-Bund 10-Year Note September Futures	Long	09/2007	1		0
U.S. Treasury 10-Year Note September Futures	Long	09/2007	90		5
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	21		24
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	27		(71	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	15		(31	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	57		(115	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	68		(106	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	8		(17	)
				$	(399	)

(e) Swap agreements outstanding on June 30, 2007:

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	$	(2	)
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	%)	03/20/2016		200		0
Citibank N.A.	Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012		25		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		2
Deutsche Bank AG	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	1.280	%	06/20/2017		100		1
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	03/20/2008		500		0
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		300		3
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		200		(1	)
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Buy	(0.140	%)	12/20/2012		300		0
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Sell	0.460	%	12/20/2015		200		(1	)
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		200		2
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.665	%)	06/20/2017		200		0
UBS Warburg LLC	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.500	%)	06/20/2011		100		0
								$	5

⁽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	10.150	%	01/02/2012	BRL	2,700	$	(15	)
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		900		(8	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012	EUR	100		(1	)
Barclays Bank PLC	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2014		300		14
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		1,200		23
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010	GBP	500		(23	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		200		16
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		700		(2	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		900		(3	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		400		29
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		900		81
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		100		19
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		2,500		(9	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		100		(4	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		200		10
Morgan Stanley	6-Month JPY-LIBOR	Receive	2.000	%	12/20/2013	JPY	2,000		0
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009	MXN	7,000		0
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		10,200		(2	)
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	7.910	%	05/14/2009		5,000		0
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037	$	4,300		49
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/20/2014		3,500		(124	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		700		9
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2014		2,300		(75	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2014		5,000		(31	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		200		(2	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		900		15
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		400		(3	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		800		13
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		6,500		(2	)
								$	(26	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts		Unrealized (Depreciation	)
Goldman Sachs & Co.	Long	iShares MSCI Japan Index	1-Month USD-LIBOR less 0.250%	11/15/2007	3,570,429	$	(505	)

(f) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CME 90-Day Euro March Futures	$	95.250	03/17/2008	18	$	15	$	3
Put - CBOT U.S. Treasury 10-Year Note September Futures		94.000	08/24/2007	59		1		1
Put - CBOT U.S. Treasury 10-Year Note September Futures		96.000	08/24/2007	34		1		1
Put - CME 90-Day Euro September Futures		90.750	09/17/2007	25		0		0
					$	17	$	5

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Put - OTC 30-Year Interest Rate Swap	Citibank N.A.	6-Month EUR-LIBOR	Receive	5.000	%	07/09/2007	EUR	500	$	6	$	3
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008	$	1,400		4		0
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		2,500		9		5
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		1,200		3		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/08/2007		23,300		22		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		1,200		4		3
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		9,600		37		32
									$	85	$	43

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	121.000	01/18/2008	$	200	$	2	$	3
Call - OTC U.S. dollar versus Japanese yen		103.800	03/17/2010		300		13		23
Put - OTC U.S. dollar versus Japanese yen		103.800	03/17/2010		300		13		8
						$	28	$	34

(g) Written options outstanding on June 30, 2007:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Put - OTC 5-Year Interest Rate Swap	Citibank N.A.	6-Month EUR-LIBOR	Pay	4.800	%	07/09/2007	EU	R1,600	$	5	$	4
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008	$	300		4		1
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		1,100		9		5
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	07/02/2007		300		3		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		4,200		22		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		400		4		3
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		3,200		35		32
									$	82	$	45

(h) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Bonds	4.750	%	02/15/2037	$	3,800	$	3,527	$	3,656
U.S. Treasury Notes	4.500	%	05/15/2017		2,000		1,926		1,931
U.S. Treasury Notes	4.750	%	05/15/2014		100		99		99
						$	5,552	$	5,686

⁽²⁾ Market value includes $85 of interest payable on short sales.

(i) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	2,304	10/2007	$	21	$	(2	)	$	19
Buy		995	03/2008		20		(1	)		19
Sell	CAD	646	08/2007		0		(3	)		(3	)
Buy	CNY	3,854	11/2007		2		0			2
Buy		4,313	01/2008		0		(2	)		(2	)
Sell	EUR	140	07/2007		0		(2	)		(2	)
Sell	GBP	737	08/2007		0		(8	)		(8	)
Buy		64	09/2007		1		0			1
Buy	JPY	296,000	07/2007		2		(3	)		(1	)
Sell		6,289,812	07/2007		737		0			737
Buy	KRW	263,226	07/2007		2		0			2
Buy	MXN	2,278	03/2008		4		0			4
Buy	MYR	154	07/2007		0		0			0
Sell		154	07/2007		0		0			0
Buy		154	10/2007		0		0			0
Buy	NOK	764	09/2007		2		0			2
Sell		756	09/2007		0		0			0
Sell	NZD	89	07/2007		0		(1	)		(1	)
Buy	PLN	437	09/2007		6		0			6
Buy	RUB	4,300	12/2007		4		0			4
Buy		1,135	01/2008		0		0			0
Buy	SGD	246	07/2007		0		(2	)		(2	)
Buy		47	08/2007		0		0			0
				$	801	$	(24	)	$	777

See accompanying notes

Schedule of Investments

Long Duration Total Return Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.3%
SLM Corp.
6.000% due 06/30/2008	$	400	$	398
Total Bank Loan Obligations (Cost $398)				398
CORPORATE BONDS & NOTES 20.0%
Banking & Finance 6.8%
ABX Financing Co.
6.350% due 10/15/2036		10		10
American Express Centurion Bank
5.320% due 05/07/2008		30		30
American Express Credit Corp.
5.380% due 03/02/2009		10		10
American International Group, Inc.
6.250% due 05/01/2036		480		486
BAC Capital Trust VI
5.625% due 03/08/2035		515		461
Bank of America N.A.
5.360% due 06/12/2009		200		200
Citigroup, Inc.
5.400% due 12/26/2008		10		10
6.125% due 08/25/2036		1,060		1,044
Credit Agricole S.A.
5.360% due 05/28/2009		200		200
Export-Import Bank of Korea
5.450% due 06/01/2009		200		200
General Electric Capital Corp.
5.430% due 08/15/2011		10		10
5.455% due 10/21/2010		10		10
6.750% due 03/15/2032		750		816
Goldman Sachs Group, Inc.
5.536% due 02/06/2012		500		499
6.125% due 02/15/2033		100		96
HSBC Holdings PLC
6.500% due 05/02/2036		890		918
JPMorgan Chase Capital XVIII
6.950% due 08/01/2066		600		609
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		10		10
Metropolitan Life Global Funding I
5.400% due 05/17/2010		100		100
Morgan Stanley
5.406% due 05/07/2009		500		500
National Rural Utilities Cooperative Finance Corp.
8.000% due 03/01/2032		320		395
RBS Capital Trust II
6.425% due 12/29/2049		790		770
Wachovia Corp.
5.500% due 08/01/2035		10		9
Wells Fargo Capital X
5.950% due 12/15/2036		400		374
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		30		31
				7,798
Industrials 5.3%
Anadarko Petroleum Corp.
6.450% due 09/15/2036		25		24
Burlington Northern Santa Fe Corp.
6.150% due 05/01/2037		250		244
Canadian Natural Resources Ltd.
5.850% due 02/01/2035		890		805
Comcast Corp.
7.050% due 03/15/2033		40		41
Conoco Funding Co.
7.250% due 10/15/2031		10		11
CVS Caremark Corp.
5.660% due 06/01/2010		100		100
DaimlerChrysler N.A. Holding Corp.
5.840% due 09/10/2007		10		10
Devon Financing Corp. ULC
7.875% due 09/30/2031		630		732
EnCana Corp.
6.500% due 08/15/2034		650		656
Gaz Capital for Gazprom
8.625% due 04/28/2034		510		638
Georgia-Pacific Corp.
7.750% due 11/15/2029		30		28
Kinder Morgan Energy Partners LP
5.800% due 03/15/2035		650		579
Kraft Foods, Inc.
6.500% due 11/01/2031		30		29
Lockheed Martin Corp.
7.750% due 05/01/2026		7		8
Norfolk Southern Corp.
7.250% due 02/15/2031		20		22
Pemex Project Funding Master Trust
6.625% due 06/15/2035		20		20
Time Warner Cable, Inc.
6.550% due 05/01/2037		900		873
Time Warner, Inc.
7.700% due 05/01/2032		70		76
Vale Overseas Ltd.
6.875% due 11/21/2036		10		10
Valero Energy Corp.
7.500% due 04/15/2032		350		383
8.750% due 06/15/2030		25		31
Viacom, Inc.
6.875% due 04/30/2036		450		436
XTO Energy, Inc.
6.100% due 04/01/2036		350		330
				6,086
Utilities 7.9%
AEP Texas Central Co.
6.650% due 02/15/2033		200		208
AT&T Corp.
8.000% due 11/15/2031		1,670		1,991
BellSouth Corp.
6.550% due 06/15/2034		15		15
British Telecommunications PLC
9.125% due 12/15/2030		430		564
Deutsche Telekom International Finance BV
8.250% due 06/15/2030		900		1,082
Dominion Resources, Inc.
6.750% due 12/15/2032		400		431
Duke Energy Corp.
6.450% due 10/15/2032		680		701
France Telecom S.A.
8.500% due 03/01/2031		680		857
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		330		320
Pacific Gas & Electric Co.
6.050% due 03/01/2034		870		845
Southern California Edison Co.
6.000% due 01/15/2034		700		692
Telecom Italia Capital S.A.
7.200% due 07/18/2036		370		381
Telefonica Emisones SAU
7.045% due 06/20/2036		300		312
Verizon Global Funding Corp.
5.850% due 09/15/2035		492		453
Virginia Electric & Power Co.
6.000% due 01/15/2036		20		19
6.000% due 05/15/2037		300		288
				9,159
Total Corporate Bonds & Notes (Cost $23,977)				23,043
U.S. GOVERNMENT AGENCIES 21.6%
Fannie Mae
4.000% due 02/25/2019		100		89
4.300% due 08/18/2010		10		10
5.000% due 02/25/2017 - 08/25/2033		68		59
5.500% due 09/25/2024 - 08/01/2037		8,817		8,500
5.820% due 02/25/2032		30		30
6.000% due 12/25/2034 - 07/01/2037		14,330		14,154
6.050% due 02/25/2044		500		499
7.125% due 01/15/2030		200		239
Federal Farm Credit Bank
3.500% due 11/26/2007		15		15
4.125% due 04/15/2010		15		15
5.750% due 12/07/2028		20		20
Federal Home Loan Bank
3.660% due 09/30/2010		10		10
4.000% due 05/15/2009		10		10
4.180% due 09/22/2010		15		15
Freddie Mac
4.080% due 05/14/2009		25		24
5.000% due 04/15/2033 - 10/15/2033		72		63
5.500% due 11/15/2023 - 02/15/2024		409		404
5.550% due 07/15/2037		500		500
5.720% due 01/15/2033		3		3
6.000% due 06/15/2035		188		169
8.250% due 06/01/2016		30		35
Total U.S. Government Agencies (Cost $25,080)				24,863
U.S. TREASURY OBLIGATIONS 0.6%
Treasury Inflation Protected Securities (b)
2.375% due 01/15/2025		33		32
U.S. Treasury Bonds
4.750% due 02/15/2037		170		160
5.375% due 02/15/2031		490		503
Total U.S. Treasury Obligations (Cost $726)				695
MORTGAGE-BACKED SECURITIES 1.0%
American Home Mortgage Investment Trust
5.000% due 09/25/2035		300		296
Banc of America Commercial Mortgage, Inc.
7.226% due 10/11/2037		97		105
CC Mortgage Funding Corp.
5.450% due 05/25/2048		200		200
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		8		8
GS Mortgage Securities Corp. II
5.420% due 06/06/2020		6		6
JPMorgan Chase Commercial Mortgage Securities Corp.
5.747% due 02/12/2049		200		199
Lehman ABS Mortgage Loan Trust
5.410% due 06/25/2037		99		99
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		152		152
Washington Mutual, Inc.
5.724% due 10/25/2046		27		28
5.759% due 01/25/2047		9		9
Total Mortgage-Backed Securities (Cost $1,101)				1,102
ASSET-BACKED SECURITIES 5.4%
American Express Credit Account Master Trust
5.430% due 09/15/2010		200		200
Argent Securities, Inc.
5.370% due 10/25/2036		20		21
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		17		17
5.370% due 12/25/2036		7		7
Bear Stearns Asset-Backed Securities, Inc.
5.508% due 07/25/2036		23		23
Chase Credit Card Master Trust
5.430% due 10/15/2010		20		20
5.490% due 09/15/2011		200		201
Citibank Credit Card Issuance Trust
2.900% due 05/17/2010		300		294
5.526% due 02/07/2010		100		100
Citigroup Mortgage Loan Trust, Inc.
5.380% due 05/25/2037		100		100
First Franklin Mortgage Loan Asset-Backed Certificates
5.360% due 09/25/2036		147		147
First NLC Trust
5.390% due 08/25/2037		100		100
First USA Credit Card Master Trust
5.480% due 04/18/2011		300		301
Fremont Home Loan Trust
5.430% due 02/25/2036		600		600
Harley-Davidson, Inc.
5.310% due 05/15/2008		258		258
Indymac Residential Asset-Backed Trust
5.400% due 07/25/2037		200		200
MASTR Asset-Backed Securities Trust
5.400% due 05/25/2037		194		195
MBNA Credit Card Master Note Trust
5.440% due 08/16/2010		20		20
Merrill Lynch First Franklin Mortgage Loan Trust
5.380% due 07/25/2037		300		300
Morgan Stanley ABS Capital I
5.380% due 05/25/2037		295		295
Securitized Asset-Backed Receivables LLC Trust
5.440% due 05/25/2037		400		400
SLC Student Loan Trust
5.313% due 02/15/2015		600		600
SLM Student Loan Trust
5.325% due 07/25/2013		16		16
5.345% due 10/25/2016		400		400
5.345% due 07/25/2017		300		300
5.345% due 10/25/2018		234		234
5.355% due 04/25/2017		300		300
Soundview Home Equity Loan Trust
5.400% due 06/25/2037		195		195
Wachovia Auto Owner Trust
5.337% due 06/20/2008		300		300
5.340% due 07/18/2008		100		100
Total Asset-Backed Securities (Cost $6,242)				6,244
SOVEREIGN ISSUES 1.2%
Brazilian Government International Bond
7.125% due 01/20/2037		600		649
Colombia Government International Bond
7.375% due 09/18/2037		620		690
Total Sovereign Issues (Cost $1,381)				1,339
FOREIGN CURRENCY-DENOMINATED ISSUES 0.2%
General Electric Capital Corp.
5.500% due 09/15/2066		GBP 100		192
HBOS PLC
6.367% due 06/29/2049		50		94
Total Foreign Currency-Denominated Issues (Cost $285)				286
SHORT-TERM INSTRUMENTS 74.2%
Certificates of Deposit 0.1%
Abbey National Treasury Services PLC
5.270% due 07/02/2008	$	10		10
Barclays Bank PLC
5.281% due 03/17/2008		20		20
BNP Paribas
5.262% due 07/03/2008		20		20
5.270% due 09/23/2008		20		20
Fortis Bank NY
5.310% due 09/30/2008		10		10
Nordea Bank Finland PLC
5.308% due 04/09/2009		20		20
Skandinav Enskilda BK
5.272% due 08/21/2008		30		30
Societe Generale NY
5.270% due 03/26/2008		20		20
				150
Commercial Paper 71.6%
ASB Finance Ltd.
5.235% due 09/20/2007		2,100		2,087
Bank of America Corp.
5.215% due 10/04/2007		100		99
5.230% due 10/04/2007		2,200		2,188
Bank of Ireland
5.165% due 11/08/2007		2,100		2,059
Barclays U.S. Funding Corp.
5.240% due 09/26/2007		2,200		2,188
Caisse d’Amortissement de la Dette Sociale
5.230% due 08/10/2007		2,100		2,088
CBA (de) Finance
5.260% due 09/28/2007		1,300		1,285
Danske Corp.
5.205% due 10/12/2007		1,600		1,582
Dexia Delaware LLC
5.225% due 09/21/2007		3,600		3,581
DnB NORBank ASA
5.350% due 10/12/2007		2,000		2,000
Fannie Mae
5.080% due 07/02/2007		25,100		25,100
Fortis Funding LLC
5.255% due 09/05/2007		2,000		1,995
5.275% due 09/05/2007		1,400		1,394
Freddie Mac
4.800% due 07/02/2007		7,200		7,200
General Electric Capital Corp.
5.170% due 11/06/2007		800		785
HBOS Treasury Services PLC
5.230% due 09/21/2007		2,100		2,091
Natixis S.A.
5.225% due 09/21/2007		400		398
5.240% due 09/21/2007		1,800		1,792
Rabobank USA Financial Corp.
5.330% due 07/26/2007		3,100		3,100
Societe Generale NY
5.226% due 11/26/2007		2,500		2,487
Stadshypoket Delaware, Inc.
5.230% due 09/11/2007		2,100		2,084
Statens Bostadsfin Bank
5.255% due 09/14/2007		2,000		1,978
Swedbank AB
5.225% due 09/06/2007		2,300		2,289
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		3,100		3,100
UBS Finance Delaware LLC
5.230% due 10/23/2007		2,300		2,289
5.240% due 10/23/2007		1,100		1,084
Unicredito Italiano SpA
5.200% due 01/22/2008		1,500		1,474
5.235% due 01/22/2008		500		497
Westpac Banking Corp.
5.165% due 11/05/2007		1,600		1,570
Westpac Trust Securities NZ Ltd.
5.240% due 10/19/2007		700		695
				82,559
Repurchase Agreements 1.8%
State Street Bank and Trust Co.
4.900% due 07/02/2007		2,031		2,031
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $2,074. Repurchase proceeds are $2,032.)
U.S. Treasury Bills 0.7%
4.552% due 08/30/2007 - 09/13/2007 (a)(d)		880		871
Total Short-Term Instruments (Cost $85,622)				85,611
Purchased Options (f) 0.0% (Cost $2)				0
Total Investments (c) 124.5% (Cost $144,814)			$	143,581
Written Options (g) (0.0%) (Premiums $13)				(8	)
Other Assets and Liabilities (Net) (24.5%)				(28,278	)
Net Assets 100.0%			$	115,295

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 June 30, 2007, portfolio securities with an aggregate value of $1,797 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $871 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	32	$	(1	)
90-Day Eurodollar March Futures	Long	03/2008	81		7
90-Day Eurodollar September Futures	Long	09/2008	209		(110	)
U.S. Treasury 5-Year Note September Futures	Short	09/2007	34		(23	)
U.S. Treasury 10-Year Note September Futures	Long	09/2007	13		19
U.S. Treasury 30-Year Bond September Futures	Long	09/2007	324		283
				$	175

(e) Swap agreements outstanding on June 30, 2007:

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 USD-LIBOR	Pay	5.000	%	12/19/2017	$	21,400	$	134
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/20/2027		500		(34	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		19,200		237
								$	337

(f) Purchased options outstanding on June 30, 2007:

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		0
Put - CME 90-Day Eurodollar December Futures		94.500	12/17/2007	1		0		0
					$	2	$	0

(g) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CME 90-Day Eurodollar December Futures	$	95.250	12/17/2007	10	$	7	$	1

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC Fannie Mae 6.000% due 09/01/2037	$	99.188	08/23/2007	$	2,000	$	6	$	7

(h) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized (Depreciation)
Buy	BRL	7	03/2008	$	0	$	0		$	0
Buy	CNY	238	12/2007		0		0			0
Sell	GBP	152	08/2007		0		(1	)		(1	)
Buy	JPY	185,715	07/2007		0		(22	)		(22	)
Buy	KRW	1,871	08/2007		0		0			0
Buy	PLN	3	09/2007		0		0			0
Buy	RUB	26	01/2008		0		0			0
				$	0	$	(23	)	$	(23	)

See accompanying notes

Schedule of Investments

Long-Term U.S. Government Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 9.2%
Banking & Finance 7.4%
Allstate Life Global Funding Trusts
5.415% due 01/25/2008	$	2,200 $		2,202
Bank of America Corp.
5.616% due 10/14/2016		5,000		5,027
CIT Group, Inc.
5.480% due 08/17/2009		6,000		5,980
Citigroup, Inc.
5.395% due 01/30/2009		13,800		13,809
Countrywide Financial Corp.
6.250% due 05/15/2016		5,000		4,919
General Electric Capital Corp.
5.385% due 10/26/2009		2,000		2,002
5.400% due 03/04/2008		10,000		10,009
Goldman Sachs Group, Inc.
5.536% due 02/06/2012		5,100		5,093
5.660% due 06/28/2010		2,300		2,315
HSBC Finance Corp.
5.490% due 09/15/2008		15,000		15,032
5.606% due 01/15/2014		5,000		4,987
5.790% due 06/01/2016		3,000		3,019
International Lease Finance Corp.
5.250% due 01/10/2013		2,900		2,838
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		4,200		4,058
Lehman Brothers Holdings, Inc.
5.445% due 01/23/2009		9,200		9,210
Morgan Stanley
5.467% due 02/09/2009		8,000		8,013
5.809% due 10/18/2016		9,400		9,406
5.836% due 10/15/2015		3,000		3,008
Pricoa Global Funding I
5.435% due 01/25/2008		2,200		2,202
RBS Capital Trust II
6.425% due 12/29/2049		700		682
Textron Financial Corp.
4.600% due 05/03/2010		3,000		2,937
U.S. Trade Funding Corp.
4.260% due 11/15/2014		6,384		6,227
Wells Fargo & Co.
5.420% due 03/23/2010		10,800		10,816
Wells Fargo Bank N.A.
4.750% due 02/09/2015		5,000		4,696
				138,487
Industrials 1.5%
Avon Products, Inc.
5.125% due 01/15/2011		2,800		2,768
DaimlerChrysler N.A. Holding Corp.
5.790% due 03/13/2009		11,800		11,855
Gannett Co., Inc.
5.750% due 06/01/2011		2,200		2,200
Johnson Controls, Inc.
5.250% due 01/15/2011		4,000		3,962
Kraft Foods, Inc.
5.625% due 11/01/2011		2,000		1,986
Loews Corp.
5.250% due 03/15/2016		3,000		2,879
Omnicom Group, Inc.
5.900% due 04/15/2016		1,500		1,484
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		900		859
				27,993
Utilities 0.3%
BellSouth Corp.
5.200% due 09/15/2014		6,000		5,767
GTE Corp.
7.510% due 04/01/2009		100		103
				5,870
Total Corporate Bonds & Notes (Cost $173,302)				172,350
U.S. GOVERNMENT AGENCIES 40.9%
Fannie Mae
0.000% due 03/25/2009 (c)		228		219
4.201% due 11/01/2034		795		797
4.250% due 04/25/2037		322		247
4.480% due 07/01/2035		1,075		1,068
4.500% due 10/25/2023 - 09/01/2035		8,237		7,235
5.000% due 11/25/2015 - 08/25/2036		19,906		17,292
5.125% due 07/16/2018		500		475
5.380% due 07/01/2033		2,437		2,354
5.500% due 09/25/2024 - 08/01/2037		186,229		179,524
5.520% due 03/18/2031		1,192		1,196
5.800% due 02/09/2026		15,000		14,685
5.920% due 10/25/2017		250		254
6.000% due 05/17/2027 - 07/01/2037		42,302		41,871
6.214% due 06/01/2043 - 03/01/2044		3,159		3,200
6.220% due 04/25/2032		235		241
6.250% due 12/25/2013		7		7
6.406% due 04/01/2028		128		130
6.500% due 11/25/2023 - 07/25/2031		5,831		5,909
6.625% due 11/15/2030		25,000		28,262
6.690% due 10/01/2024		115		115
6.750% due 06/25/2032		5,569		5,647
6.900% due 05/25/2023		293		302
6.950% due 07/25/2020		81		83
7.000% due 06/25/2022 - 05/18/2027		4,516		4,664
7.095% due 08/01/2026		19		19
7.174% due 11/01/2023		344		346
7.337% due 05/01/2025		54		55
7.376% due 02/01/2028		25		25
7.500% due 07/01/2032		11		12
7.520% due 12/01/2027		164		166
7.732% due 10/01/2024		3		2
7.800% due 10/25/2022		42		44
9.000% due 08/01/2021 - 06/01/2027		125		136
Farmer Mac
7.280% due 07/25/2011		2,287		2,268
Federal Farm Credit Bank
4.375% due 06/16/2015		20,000		18,708
5.050% due 03/28/2019		1,000		964
5.125% due 07/09/2029		675		638
5.150% due 03/25/2020		1,000		966
5.750% due 12/07/2028		500		512
Federal Home Loan Bank
5.120% due 01/10/2013		6,500		6,373
5.250% due 07/24/2018		15,000		14,354
5.300% due 06/26/2023		2,000		1,886
Federal Housing Administration
6.896% due 07/01/2020		1,536		1,534
7.000% due 11/25/2019		393		393
7.430% due 11/01/2019 - 06/01/2024		859		864
Freddie Mac
0.000% due 12/11/2025		34,600		12,501
4.000% due 11/15/2018		12,632		11,200
4.375% due 11/16/2007		10,000		9,964
4.500% due 12/15/2019 - 07/15/2035		42,199		36,010
4.750% due 01/19/2016		19,400		18,536
5.000% due 03/18/2014 - 09/15/2035		57,451		51,280
5.400% due 03/17/2021		20,000		19,573
5.500% due 11/15/2023 - 07/15/2036		32,018		30,339
5.550% due 10/25/2023 - 07/15/2037		14,113		14,112
5.625% due 11/23/2035		21,800		20,461
5.720% due 01/15/2033		679		686
5.820% due 06/15/2030 - 12/15/2032		915		931
5.870% due 06/15/2031		303		308
6.000% due 04/15/2034 - 05/15/2036		88,049		82,549
6.227% due 10/25/2044		12,741		12,860
6.250% due 09/15/2023		4,952		4,995
6.427% due 07/25/2044		3,451		3,480
6.500% due 11/15/2008 (b)		27		1
6.500% due 11/25/2023 - 10/25/2043		2,820		2,877
6.923% due 01/01/2028		182		184
7.000% due 07/15/2022 - 01/15/2024		818		842
7.000% due 12/15/2023 (b)		34		3
7.073% due 09/01/2027		83		84
7.074% due 06/01/2022		9		9
7.125% due 05/01/2022		7		7
7.184% due 10/01/2026		62		62
7.200% due 01/01/2028		42		42
7.444% due 02/01/2028		295		300
7.663% due 12/01/2024		63		64
Ginnie Mae
4.375% due 06/20/2023		29		30
4.750% due 08/20/2025 - 09/20/2026		182		184
5.000% due 09/20/2035		26,432		21,731
5.125% due 11/20/2025 - 10/20/2026		39		40
5.375% due 04/20/2017 - 05/20/2030		1,996		2,019
5.500% due 02/20/2033		1,942		1,901
5.750% due 09/20/2017 - 09/20/2026		507		511
5.875% due 05/20/2032		500		505
6.000% due 08/20/2033		2,532		2,429
6.125% due 12/20/2017 - 11/20/2027		371		374
6.270% due 03/20/2031		1,541		1,566
6.375% due 02/20/2017 - 03/20/2027		145		145
6.500% due 03/20/2021		19		19
7.000% due 03/16/2029		445		448
Overseas Private Investment Corp.
4.736% due 03/15/2022		4,260		4,030
Private Export Funding Corp.
5.000% due 12/15/2016		7,200		6,974
Small Business Administration
5.240% due 08/01/2023		6,185		6,090
Tennessee Valley Authority
5.375% due 04/01/2056		18,000		17,129
Total U.S. Government Agencies (Cost $784,039)				766,427
U.S. TREASURY OBLIGATIONS 24.2%
Treasury Inflation Protected Securities (e)
2.000% due 01/15/2026		13,850		12,550
2.375% due 01/15/2025		10,965		10,547
U.S. Treasury Bonds
4.750% due 02/15/2037		18,100		17,072
5.375% due 02/15/2031		130,350		133,894
5.500% due 08/15/2028		89,200		92,566
8.875% due 02/15/2019		30,000		39,684
U.S. Treasury Notes
4.500% due 04/30/2009		25,000		24,838
4.625% due 11/15/2016		99,000		95,976
U.S. Treasury Strips
0.000% due 08/15/2019		5,000		2,674
0.000% due 02/15/2032		22,500		6,441
0.000% due 08/15/2032		22,500		6,290
0.000% due 02/15/2033		38,400		10,485
Total U.S. Treasury Obligations (Cost $460,714)				453,017
MORTGAGE-BACKED SECURITIES 7.3%
American Home Mortgage Investment Trust
5.000% due 09/25/2035		5,200		5,125
Banc of America Funding Corp.
4.614% due 02/20/2036		9,392		9,244
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		11,283		11,125
4.773% due 01/25/2034		601		598
5.329% due 02/25/2033		167		169
5.386% due 04/25/2033		637		631
Bear Stearns Mortgage Securities, Inc.
6.474% due 06/25/2030		58		59
Countrywide Alternative Loan Trust
5.500% due 10/25/2033		6,142		5,392
5.500% due 05/25/2047		1,840		1,844
5.530% due 05/25/2035		1,890		1,892
Countrywide Home Loan Mortgage Pass-Through Trust
5.610% due 04/25/2035		685		687
5.640% due 03/25/2035		3,244		3,255
5.660% due 06/25/2035		2,500		2,496
6.000% due 10/25/2034		4,824		4,360
CS First Boston Mortgage Securities Corp.
5.870% due 04/25/2033		53		53
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		1,282		1,283
First Republic Mortgage Loan Trust
5.640% due 06/25/2030		398		399
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		3,000		3,003
Harborview Mortgage Loan Trust
5.410% due 01/19/2038		1,360		1,362
5.540% due 05/19/2035		1,533		1,535
5.560% due 03/19/2037		1,462		1,466
Impac CMB Trust
5.249% due 09/25/2034		3,214		3,166
5.570% due 10/25/2035		11,739		11,761
JPMorgan Chase Commercial Mortgage Securities Corp.
5.747% due 02/12/2049		4,508		4,497
MASTR Asset Securitization Trust
5.500% due 09/25/2033		770		738
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		8,241		8,158
Residential Accredit Loans, Inc.
5.620% due 08/25/2035		1,367		1,370
5.720% due 01/25/2033		258		259
5.720% due 03/25/2033		648		650
Sequoia Mortgage Trust
5.670% due 07/20/2033		1,751		1,760
Structured Adjustable Rate Mortgage Loan Trust
5.540% due 05/25/2037		4,786		4,794
Structured Asset Mortgage Investments, Inc.
5.530% due 04/25/2036		9,092		9,106
5.540% due 05/25/2036		424		425
5.740% due 10/19/2033		440		441
Structured Asset Securities Corp.
5.430% due 04/25/2036		1,600		1,601
7.197% due 01/25/2032		4		4
TBW Mortgage-Backed Pass-Through Certificates
5.420% due 09/25/2036		922		923
Washington Mutual, Inc.
5.550% due 04/25/2045		1,328		1,331
5.580% due 11/25/2045		110		111
5.610% due 10/25/2045		2,333		2,339
5.630% due 01/25/2045		2,609		2,614
5.724% due 08/25/2046		1,167		1,173
5.839% due 12/25/2046		1,683		1,684
5.860% due 12/25/2027		1,692		1,693
6.029% due 02/25/2046		3,222		3,228
6.029% due 08/25/2046		9,295		9,319
6.223% due 05/25/2041		373		375
6.429% due 06/25/2042		211		211
Wells Fargo Mortgage-Backed Securities Trust
5.089% due 03/25/2036		7,643		7,576
Total Mortgage-Backed Securities (Cost $137,775)				137,285
ASSET-BACKED SECURITIES 6.0%
Accredited Mortgage Loan Trust
5.370% due 02/25/2037		1,723		1,724
ACE Securities Corp.
5.370% due 07/25/2036		1,739		1,740
5.400% due 02/25/2036		552		552
5.400% due 10/25/2036		1,098		1,099
5.430% due 10/25/2035		1,387		1,388
American Express Credit Account Master Trust
5.430% due 09/15/2010		1,100		1,102
Ameriquest Mortgage Securities, Inc.
5.460% due 03/25/2036		2,335		2,337
Amortizing Residential Collateral Trust
5.610% due 07/25/2032		23		23
Argent Securities, Inc.
5.360% due 06/25/2036		533		533
5.370% due 09/25/2036		1,563		1,564
5.370% due 10/25/2036		2,489		2,491
Asset-Backed Securities Corp. Home Equity
5.380% due 07/25/2036		951		951
5.430% due 05/25/2036		3,000		3,002
Bank One Issuance Trust
5.430% due 12/15/2010		2,000		2,003
Bear Stearns Asset-Backed Securities, Inc.
5.520% due 09/25/2034		757		758
5.590% due 09/25/2035		876		877
5.650% due 10/25/2032		330		330
5.820% due 11/25/2042		2,217		2,223
Carrington Mortgage Loan Trust
5.360% due 05/25/2036		710		711
5.385% due 07/25/2036		268		268
5.640% due 10/25/2035		1,824		1,829
Chase Credit Card Master Trust
5.490% due 09/15/2011		3,900		3,914
Chase Funding Mortgage Loan Asset-Backed Certificates
5.820% due 10/25/2031		122		122
CIT Group Home Equity Loan Trust
5.590% due 06/25/2033		102		103
Citigroup Mortgage Loan Trust, Inc.
5.390% due 08/25/2036		739		740
Countrywide Asset-Backed Certificates
5.350% due 01/25/2046		2,583		2,584
5.370% due 01/25/2037		342		342
5.370% due 03/25/2037		3,681		3,683
5.430% due 10/25/2046		687		688
5.480% due 02/25/2036		774		775
5.480% due 11/25/2036		742		742
5.530% due 10/25/2035		361		361
Credit-Based Asset Servicing & Securitization LLC
5.380% due 11/25/2036		491		492
5.410% due 12/25/2037		1,291		1,291
CS First Boston Mortgage Securities Corp.
5.570% due 01/25/2043		737		737
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		1,228		1,229
5.370% due 03/25/2037		4,381		4,383
First USA Credit Card Master Trust
5.480% due 04/18/2011		5,800		5,815
Fremont Home Loan Trust
5.380% due 01/25/2037		1,655		1,655
GSAMP Trust
5.440% due 12/25/2035		548		548
GSR Mortgage Loan Trust
5.420% due 11/25/2030		457		457
GSRPM Mortgage Loan Trust
5.440% due 03/25/2035		651		651
Home Equity Asset Trust
5.430% due 02/25/2036		849		850
Home Equity Mortgage Trust
5.410% due 05/25/2036		71		71
5.500% due 05/25/2036		14,500		14,514
Indymac Residential Asset-Backed Trust
5.470% due 03/25/2036		7,000		7,006
LA Arena Funding LLC
7.656% due 12/15/2026		86		90
Long Beach Mortgage Loan Trust
5.380% due 10/25/2036		1,476		1,477
5.380% due 05/25/2046		865		866
MASTR Asset-Backed Securities Trust
5.380% due 10/25/2036		690		690
5.430% due 11/25/2035		1,241		1,242
MBNA Credit Card Master Note Trust
5.820% due 03/15/2010		3,900		3,907
Merrill Lynch Mortgage Investors, Inc.
5.380% due 03/25/2037		88		88
Morgan Stanley ABS Capital I
5.420% due 04/25/2036		2,000		2,000
Nelnet Student Loan Trust
5.340% due 09/25/2012		1,725		1,726
NPF XII, Inc.
2.232% due 10/01/2003 (a)		3,000		14
Option One Mortgage Loan Trust
5.420% due 11/25/2035		504		504
Residential Asset Mortgage Products, Inc.
5.400% due 02/25/2036		1,180		1,181
Residential Asset Securities Corp.
5.390% due 07/25/2036		2,199		2,200
5.390% due 11/25/2036		1,064		1,064
SACO I, Inc.
5.700% due 11/25/2035		3,320		3,323
SMS Student Loan Trust
5.420% due 10/27/2025		408		405
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		594		594
5.380% due 11/25/2036		1,539		1,539
5.420% due 12/25/2035		223		223
5.460% due 02/25/2036		5,121		5,124
Structured Asset Securities Corp.
5.370% due 10/25/2036		1,478		1,479
5.400% due 11/25/2035		782		782
Washington Mutual Asset-Backed Certificates
5.380% due 10/25/2036		1,686		1,687
Total Asset-Backed Securities (Cost $115,265)				113,463
SHORT-TERM INSTRUMENTS 25.4%
Commercial Paper 21.8%
Bank of America Corp.
5.245% due 10/04/2007		48,700		48,103
5.250% due 10/04/2007		22,600		22,287
Fannie Mae
5.080% due 07/02/2007		80,900		80,900
Freddie Mac
4.800% due 07/02/2007		258,600		258,600
				409,890
Tri-Party Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 07/02/2007		5,281		5,281
(Dated 06/29/2007. Collateralized by Freddie Mac 5.000% due 06/11/2009 valued at $5,391. Repurchase proceeds are $5,283.)
U.S. Treasury Bills 3.3%
4.552% due 08/30/2007 - 09/13/2007 (d)(f)(h)		62,580		61,924
Total Short-Term Instruments (Cost $477,223)				477,095
Purchased Options (j) 0.0% (Cost $1,007)				494
Total Investments (g) 113.0% (Cost $2,149,325)			$	2,120,131
Written Options (k) (0.1%) (Premiums $2,602)				(1,443	)
Other Assets and Liabilities (Net) (12.9%)				(242,990	)
Net Assets 100.0%			$	1,875,698

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 $46,257 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(g) As of June 30, 2007, portfolio securities with an aggregate value of $35,516 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(h) Securities with an aggregate market value of $10,523 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	541	$	(7	)
90-Day Eurodollar March Futures	Long	03/2008	1,763		97
90-Day Eurodollar September Futures	Long	09/2008	3,488		(2,688	)
U.S. Treasury 5-Year Note September Futures	Long	09/2007	2,563		1,722
U.S. Treasury 10-Year Note September Futures	Long	09/2007	21		30
U.S. Treasury 30-Year Bond September Futures	Long	09/2007	1,714		1,320
				$	474

(i) Swap agreements outstanding on June 30, 2007:

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.	Tenet Healthcare Corp. 4.600% due 05/03/2010	Buy	(0.110	%)	06/20/2010	$	3,000	$	(5	)
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.240	%)	03/20/2011		4,000		(13	)
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016		3,000		(8	)
Bear Stearns & Co., Inc.	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	06/20/2016		5,000		67
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		0
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		31
Credit Suisse First Boston	Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.150	%)	03/20/2011		2,800		(1	)
Goldman Sachs & Co.	International Lease Finance Corp. 5.250% due 01/10/2013	Buy	(0.200	%)	03/20/2013		2,900		(1	)
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		3
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		6,000		(27	)
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		50
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		13
Morgan Stanley	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012		900		0
Morgan Stanley	Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.390	%)	06/20/2016		1,500		(1	)
Royal Bank of Scotland Group PLC	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011		2,000		12
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		36
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		50
								$	212

⁽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)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012	$	59,400	$	87
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		99,300		1,227
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		24,500		31
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/20/2026		75,000		(579	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		24,000		392
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		85,400		313
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2022		53,800		816
								$	2,287

(j) Purchased options outstanding on June 30, 2007:

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	$	8
Call - CME 90-Day Eurodollar December Futures		96.250	12/17/2007	428		44		0
Put - CME 90-Day Eurodollar December Futures		94.500	12/17/2007	343		121		24
Put - CME 90-Day Eurodollar March Futures		92.000	03/17/2008	37		0		0
					$	295	$	32

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	4.750	%	09/26/2008	$	38,600	$	195	$	76
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		38,700		138		76
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		91,500		379		310
									$	712	$	462

(k) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CME 90-Day Eurodollar December Futures	$	95.250	12/17/2007	428	$	277	$	21

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	%	05/02/2008	$	6,900	$	138	$	4
Put - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD- LIBOR	Pay	5.500	%	05/02/2008		6,900		164		133
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD- LIBOR	Receive	4.950	%	09/26/2008		16,700		196		84
Call - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD- LIBOR	Receive	4.500	%	05/02/2008		14,400		318		19
Put - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD- LIBOR	Pay	5.500	%	05/02/2008		14,400		341		279
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD- LIBOR	Receive	4.500	%	05/02/2008		6,900		138		4
Put - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD- LIBOR	Pay	5.500	%	05/02/2008		6,900		163		133
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive	4.950	%	09/26/2008		16,800		138		85
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive	5.200	%	12/15/2008		30,500		358		299
Call - OTC 7-Year Interest Rate Swap	UBS Warburg LLC	3-Month USD- LIBOR	Receive	5.420	%	08/28/2009		2,200		65		34
Put - OTC 7-Year Interest Rate Swap	UBS Warburg LLC	3-Month USD- LIBOR	Pay	5.420	%	08/28/2009		2,200		65		72
									$	2,084	$	1,146

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Premium		Value
Call - OTC Fannie Mae 6.000% due 09/01/2037	$	99.188	08/23/2007	$	77,000	$	241	$	276

(l) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
U.S. Treasury Bonds	7.250	%	08/15/2022	$	3,400	$	4,081	$	4,216

⁽²⁾ Market value includes $99 of interest payable on short sales.

See accompanying notes

Schedule of Investments

Low Duration Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.7%
Freeport-McMoRan Copper & Gold, Inc.
9.000% due 03/19/2014	$	1,465	$	1,468
Idearc, Inc.
7.360% due 11/09/2014		49,277		49,531
SLM Corp.
6.000% due 06/30/2008		21,200		21,094
Total Bank Loan Obligations (Cost $71,836)				72,093
CORPORATE BONDS & NOTES 22.6%
Banking & Finance 18.8%
American Express Bank FSB
5.380% due 10/20/2009		23,800		23,817
American Express Centurion Bank
5.320% due 05/07/2008		21,000		21,002
American Express Credit Corp.
5.380% due 11/09/2009		32,600		32,629
American Honda Finance Corp.
5.346% due 08/05/2008		18,670		18,676
ANZ National International Ltd.
5.396% due 08/07/2009		5,700		5,700
Bank of America Corp.
5.366% due 11/06/2009		3,200		3,200
5.370% due 09/25/2009		61,900		61,948
Bank of America N.A.
5.355% due 07/25/2008		42,600		42,625
5.360% due 06/12/2009		12,000		12,005
Bank of Ireland
5.370% due 12/19/2008		4,100		4,105
Bear Stearns Cos., Inc.
5.300% due 01/09/2008		1,300		1,300
5.450% due 03/30/2009		20,800		20,815
5.450% due 08/21/2009		9,200		9,193
5.480% due 05/18/2010		64,800		64,763
Calabash Re II Ltd.
13.760% due 01/08/2010		6,500		6,557
14.960% due 01/08/2010		8,750		9,149
16.260% due 01/08/2010		4,500		4,684
Caterpillar Financial Services Corp.
5.425% due 10/28/2008		1,800		1,802
CIT Group, Inc.
5.480% due 08/17/2009		27,200		27,108
5.510% due 12/19/2008		31,200		31,188
5.570% due 05/23/2008		9,200		9,211
5.590% due 09/20/2007		9,200		9,202
Citigroup Funding, Inc.
5.320% due 04/23/2009		36,020		36,037
5.350% due 12/08/2008		23,100		23,113
5.360% due 06/26/2009		14,400		14,393
Citigroup, Inc.
5.100% due 09/29/2011		1,500		1,478
5.390% due 12/28/2009		22,100		22,118
5.405% due 05/02/2008		33,000		33,032
5.416% due 11/01/2007		3,600		3,602
Credit Agricole S.A.
5.360% due 05/28/2009		17,600		17,608
5.410% due 05/28/2010		24,400		24,416
DnB NORBank ASA
5.425% due 10/13/2009		18,900		18,910
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (a)		8,300		7,097
Ford Motor Credit Co.
7.250% due 10/25/2011		500		482
General Electric Capital Corp.
5.390% due 01/05/2009		24,400		24,420
5.390% due 03/12/2010		35,400		35,437
5.400% due 03/04/2008		2,400		2,402
5.400% due 03/16/2009		10,000		10,006
5.410% due 10/06/2010		12,200		12,210
5.428% due 01/20/2010		39,800		39,882
5.435% due 01/15/2008		22,700		22,717
General Motors Acceptance Corp.
5.625% due 05/15/2009		30,439		29,774
7.430% due 12/01/2021		111		112
GMAC LLC
6.000% due 12/15/2011		3,500		3,331
Goldman Sachs Group, Inc.
5.410% due 03/30/2009		20,800		20,815
5.447% due 11/10/2008		31,800		31,849
5.450% due 12/22/2008		36,400		36,449
5.450% due 06/23/2009		14,200		14,217
5.455% due 07/29/2008		21,600		21,632
5.475% due 10/05/2007		3,000		3,001
5.685% due 07/23/2009		600		603
HSBC Bank USA N.A.
5.430% due 09/21/2007		500		500
5.500% due 06/10/2009		9,200		9,228
HSBC Capital Funding LP
9.547% due 06/30/2010		20,046		22,121
HSBC Finance Capital Trust IX
5.911% due 11/30/2035		1,100		1,067
HSBC Finance Corp.
5.390% due 10/04/2007		48,200		48,220
5.490% due 09/15/2008		16,600		16,635
8.000% due 07/15/2010		12,000		12,825
ICICI Bank Ltd.
5.895% due 01/12/2010		32,200		32,273
John Deere Capital Corp.
4.500% due 08/25/2008		900		890
Lehman Brothers Holdings, Inc.
5.440% due 04/03/2009		10,900		10,915
5.445% due 10/22/2008		29,970		30,013
5.460% due 08/21/2009		43,100		43,125
5.500% due 05/25/2010		1,400		1,400
5.607% due 11/10/2009		15,000		15,048
Longpoint Re Ltd.
10.609% due 05/08/2010		8,500		8,500
Merrill Lynch & Co., Inc.
5.395% due 10/23/2008		25,500		25,538
5.440% due 12/04/2009		21,000		21,011
5.450% due 08/14/2009		23,000		23,025
5.480% due 07/27/2007		7,200		7,201
5.555% due 07/25/2011		32,700		32,703
Morgan Stanley
5.360% due 11/21/2008		16,460		16,461
5.446% due 01/15/2010		30,900		30,919
5.467% due 02/09/2009		30,000		30,050
5.484% due 01/18/2008		14,500		14,512
Mystic Re Ltd.
11.660% due 12/05/2008		26,900		26,741
15.360% due 06/07/2011		8,500		8,520
National Australia Bank Ltd.
5.400% due 09/11/2009		23,500		23,534
Osiris Capital PLC
8.206% due 01/15/2010		11,000		11,054
Phoenix Quake Ltd.
7.800% due 07/03/2008		6,500		6,539
Phoenix Quake Wind I Ltd.
7.800% due 07/03/2008		6,400		6,423
Phoenix Quake Wind II Ltd.
8.850% due 07/03/2008		3,000		2,849
Pricoa Global Funding I
5.420% due 03/03/2009		22,000		22,026
5.440% due 09/12/2008		10,000		10,013
Residential Reinsurance 2007 Ltd.
15.610% due 06/07/2010		2,800		2,802
Royal Bank of Scotland Group PLC
5.405% due 07/21/2008		49,100		49,145
9.118% due 03/31/2049		37,207		40,475
Santander U.S. Debt S.A. Unipersonal
5.370% due 09/21/2007		82,600		82,614
5.370% due 11/20/2008		4,700		4,702
5.416% due 02/06/2009		200		200
SLM Corp.
5.495% due 07/27/2009		16,200		15,803
Tokai Preferred Capital Co. LLC
9.980% due 12/29/2049		9,945		10,346
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		20,500		20,546
Wachovia Bank N.A.
5.320% due 10/03/2008		21,300		21,309
5.400% due 03/23/2009		17,850		17,861
Wachovia Corp.
5.405% due 10/28/2008		21,900		21,929
5.410% due 12/01/2009		25,600		25,629
Westpac Banking Corp.
5.280% due 06/06/2008		13,300		13,302
				1,830,364
Industrials 2.3%
Altria Group, Inc.
7.650% due 07/01/2008		7,500		7,645
Cisco Systems, Inc.
5.440% due 02/20/2009		2,400		2,405
DaimlerChrysler N.A. Holding Corp.
4.050% due 06/04/2008		80		79
5.710% due 03/13/2009		28,600		28,665
5.805% due 08/03/2009		23,000		23,131
5.840% due 09/10/2007		10,500		10,509
El Paso Corp.
7.625% due 09/01/2008		1,075		1,098
FedEx Corp.
5.436% due 08/08/2007		23,350		23,355
General Mills, Inc.
5.485% due 01/22/2010		17,700		17,698
Historic TW, Inc.
8.180% due 08/15/2007		5,000		5,017
Kroger Co.
7.800% due 08/15/2007		955		957
Pemex Project Funding Master Trust
9.375% due 12/02/2008		8,900		9,381
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		7,000		7,726
Sonat, Inc.
6.750% due 10/01/2007		3,815		3,844
Time Warner, Inc.
5.590% due 11/13/2009		17,400		17,426
Transocean, Inc.
5.560% due 09/05/2008		23,000		23,021
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		47,000		46,994
				228,951
Utilities 1.5%
AT&T, Inc.
5.456% due 02/05/2010		11,700		11,721
BellSouth Corp.
5.460% due 08/15/2008		38,950		38,990
Dominion Resources, Inc.
5.660% due 09/28/2007		10,755		10,758
Pepco Holdings, Inc.
5.500% due 08/15/2007		3,360		3,361
Southern California Edison Co.
5.435% due 12/13/2007		1,200		1,200
5.455% due 02/02/2009		20,470		20,487
Telecom Italia Capital S.A.
5.969% due 07/18/2011		24,000		24,180
Telefonica Emisones SAU
5.660% due 06/19/2009		33,000		33,121
TXU Electric Delivery Co.
5.000% due 09/01/2007		2,600		2,596
				146,414
Total Corporate Bonds & Notes (Cost $2,206,580)				2,205,729
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley
0.000% due 07/07/2008		28,000		27,841
Total Commodity Index-Linked Notes (Cost $28,000)				27,841
U.S. GOVERNMENT AGENCIES 32.9%
Fannie Mae
0.950% due 03/25/2009 (b)		457		3
4.000% due 05/01/2011		249		240
4.250% due 05/25/2033		10,606		10,141
4.255% due 04/01/2034		3,377		3,355
4.350% due 03/01/2035		9,371		9,470
4.500% due 06/01/2011 - 08/01/2035		5,279		5,201
4.527% due 09/01/2035		14,337		14,230
4.657% due 07/01/2035		15,892		15,685
4.660% due 07/01/2035		14,240		14,075
4.671% due 05/01/2035		11,669		11,519
4.682% due 01/01/2035		18,419		18,152
4.712% due 03/01/2035		2,219		2,206
4.745% due 03/01/2035		21,354		20,878
4.916% due 10/01/2035		8,477		8,401
5.000% due 12/01/2013 - 03/01/2036		1,340,127		1,299,464
5.030% due 06/01/2035		4,502		4,415
5.373% due 11/01/2017		43		43
5.380% due 12/25/2036		12,574		12,556
5.478% due 09/01/2032		2,539		2,558
5.500% due 10/01/2008 - 06/01/2035		304,281		295,823
5.540% due 06/01/2017		20		21
5.609% due 12/01/2017		31		31
5.620% due 08/01/2017		8		8
5.625% due 07/01/2017		61		61
5.626% due 02/01/2028		13		13
5.642% due 07/01/2018 - 01/01/2028		147		149
5.670% due 03/25/2044		1,070		1,071
5.720% due 05/25/2031- 06/25/2032		3,487		3,498
5.747% due 04/01/2018		1,158		1,168
5.920% due 05/25/2030		836		841
5.944% due 04/25/2022		19		20
5.970% due 05/25/2030		836		837
6.000% due 03/01/2009 - 07/01/2037		94,314		94,541
6.161% due 01/01/2021		37		36
6.214% due 07/01/2042		17,050		17,351
6.227% due 07/01/2044		5,792		5,865
6.256% due 07/25/2017		606		609
6.264% due 09/01/2041		27,335		27,561
6.273% due 08/01/2029		1,040		1,057
6.414% due 11/01/2039		818		832
6.427% due 10/01/2030		1,468		1,494
6.500% due 03/25/2009 (b)		107		5
6.500% due 07/25/2031 - 12/25/2042		127,732		129,533
6.585% due 11/01/2017		70		70
6.670% due 11/01/2018		5		5
6.729% due 07/01/2017		65		65
7.000% due 01/01/2008 - 01/01/2032		3,553		3,569
7.059% due 04/01/2024		241		245
7.143% due 06/01/2022		8		9
7.200% due 01/01/2024		17		17
7.215% due 11/01/2027		124		125
7.286% due 01/01/2024		319		322
7.376% due 02/01/2028		339		342
7.495% due 07/01/2023		94		95
7.500% due 02/01/2013		5		5
7.685% due 10/01/2024		288		290
8.000% due 02/01/2030 - 11/01/2031		3,753		3,955
8.500% due 02/01/2017 - 04/01/2025		195		208
8.800% due 01/25/2019		116		122
9.000% due 03/25/2021 - 01/01/2025		417		451
9.250% due 10/25/2018		7		8
9.500% due 03/25/2020 - 11/01/2025		901		980
10.000% due 10/01/2009 - 05/01/2022		59		62
10.500% due 07/01/2014 - 12/01/2024		7		8
11.000% due 11/01/2020		5		5
11.250% due 10/01/2015		8		9
11.500% due 11/01/2019 - 02/01/2020		7		8
11.750% due 02/01/2016		11		12
13.000% due 07/01/2015		3		4
13.250% due 09/01/2011		2		3
15.500% due 10/01/2012 - 12/01/2012		1		1
15.750% due 12/01/2011		3		3
16.000% due 09/01/2012 - 12/01/2012		2		2
Federal Housing Administration
7.430% due 11/01/2019 - 11/01/2025		5,235		5,268
Freddie Mac
3.000% due 02/15/2023		1,414		1,405
4.000% due 09/15/2015		253		248
4.000% due 01/15/2024 (b)		4,225		609
4.500% due 02/15/2015 - 06/01/2018		58,847		57,720
4.501% due 03/01/2035		6,752		6,600
4.601% due 04/01/2035		13,791		13,473
4.642% due 04/01/2035		10,942		10,720
4.706% due 06/01/2035		61,332		60,022
4.712% due 08/01/2035		103,010		101,773
4.725% due 03/01/2035		11,573		11,345
4.775% due 08/01/2035		25,224		25,153
4.891% due 04/01/2035		2,751		2,686
4.920% due 07/01/2035		26,496		26,242
4.960% due 03/01/2035		2,606		2,552
5.000% due 04/01/2013 - 07/15/2024		86,070		85,318
5.061% due 04/01/2035		5,092		5,031
5.470% due 07/15/2019 - 10/15/2020		357,613		357,303
5.500% due 02/15/2014 - 07/15/2034		28,367		28,156
5.550% due 07/15/2037		125,000		124,990
5.580% due 08/25/2031		5,317		5,344
5.600% due 09/25/2031		9,368		9,375
5.620% due 05/15/2036		18,177		18,240
5.670% due 12/15/2030		16,426		16,474
5.720% due 06/15/2018		5,356		5,367
5.742% due 08/15/2032		957		957
5.770% due 11/15/2030		12		13
6.000% due 03/01/2011 - 07/01/2037		18,578		18,652
6.325% due 10/15/2020		70		70
6.375% due 03/15/2021		45		45
6.427% due 07/25/2044		1,271		1,282
6.451% due 02/01/2020		356		358
6.500% due 01/01/2017 - 07/25/2043		71,548		72,680
7.000% due 01/01/2030 - 04/01/2032		91		94
7.105% due 10/01/2027		36		36
7.148% due 11/01/2022		296		301
7.156% due 07/01/2018		80		81
7.240% due 01/01/2024 - 06/01/2024		346		352
7.250% due 02/01/2023		2		2
7.294% due 12/01/2022		54		55
7.301% due 09/01/2023		32		32
7.335% due 03/01/2024		18		18
7.393% due 11/01/2023		47		48
7.401% due 10/01/2023		137		139
7.485% due 01/01/2024		131		133
7.500% due 07/15/2030		722		725
8.000% due 01/01/2012 - 12/01/2024		452		473
8.500% due 06/01/2009 - 11/01/2025		952		1,020
9.000% due 12/15/2020 - 08/01/2022		414		430
9.500% due 03/01/2010 - 09/01/2021		133		140
9.750% due 11/01/2008		17		18
10.000% due 03/01/2016 - 05/15/2020		60		63
10.500% due 10/01/2010 - 02/01/2016		2		2
10.750% due 09/01/2009 - 08/01/2011		14		14
11.500% due 10/01/2015 - 01/01/2016		3		3
14.000% due 09/01/2012 - 04/01/2016		2		2
15.000% due 08/01/2011 - 12/01/2011		1		1
Ginnie Mae
4.000% due 07/16/2027		2,090		2,084
4.375% due 06/20/2023		118		119
4.500% due 07/20/2030		27		27
4.750% due 08/20/2022 - 07/20/2027		4,708		4,752
5.125% due 10/20/2023 - 10/20/2025		474		479
5.375% due 04/20/2016 - 05/20/2030		6,223		6,291
5.625% due 03/20/2019		31		31
5.750% due 07/20/2023 - 08/20/2026		251		253
5.870% due 12/16/2025		184		186
6.000% due 01/15/2029 - 07/01/2037		8,636		8,702
6.125% due 12/20/2023 - 12/20/2027		3,223		3,260
6.375% due 01/20/2022 - 01/20/2027		1,899		1,918
6.500% due 01/20/2031 - 05/15/2034		343		348
7.000% due 03/15/2011 - 10/15/2011		21		22
7.500% due 03/15/2022 - 09/15/2031		304		318
8.000% due 05/15/2016 - 06/20/2031		2,767		2,914
8.500% due 12/15/2021 - 08/15/2030		79		85
9.000% due 03/15/2017 - 11/15/2030		294		319
9.500% due 10/15/2016 - 06/15/2025		28		30
9.750% due 08/15/2017		21		23
10.000% due 10/15/2013 - 11/15/2020		7		8
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		5		6
11.750% due 08/15/2013		4		4
12.000% due 06/20/2015		1		1
13.000% due 10/15/2013		4		4
13.500% due 11/15/2012		5		6
16.000% due 02/15/2012		7		8
Small Business Administration
7.640% due 03/01/2010		290		298
Vendee Mortgage Trust
6.500% due 05/15/2029		46,476		47,250
Total U.S. Government Agencies (Cost $3,263,889)				3,205,418
MORTGAGE-BACKED SECURITIES 16.4%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		57,743		56,655
4.390% due 02/25/2045		17,069		16,718
4.440% due 02/25/2045		55,837		54,887
Arran Residential Mortgages Funding PLC
5.340% due 04/12/2036		15,421		15,422
Banc of America Funding Corp.
4.113% due 05/25/2035		279,523		273,781
Banc of America Mortgage Securities, Inc.
6.500% due 10/25/2031		9,375		9,479
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		62,071		61,062
4.750% due 10/25/2035		181,696		179,008
4.773% due 01/25/2034		17,629		17,547
5.044% due 04/25/2033		11,386		11,385
5.329% due 02/25/2033		3,065		3,107
5.448% due 04/25/2033		26,408		25,970
5.626% due 02/25/2033		2,308		2,293
6.337% due 11/25/2030		185		185
Bear Stearns Alt-A Trust
5.244% due 03/25/2035		36,141		36,107
5.377% due 05/25/2035		37,279		37,124
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		36,472		36,487
Citicorp Mortgage Securities, Inc.
5.625% due 12/25/2019		9		9
Countrywide Alternative Loan Trust
5.500% due 05/25/2047		14,716		14,756
6.500% due 06/25/2033		3,685		3,687
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		32,620		32,511
5.610% due 04/25/2035		5,777		5,795
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		16,962		16,820
5.953% due 03/25/2032		4,057		4,050
6.890% due 06/25/2032		127		127
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.400% due 03/25/2037		14,350		14,361
DLJ Acceptance Trust
11.000% due 08/01/2019		86		91
DLJ Commercial Mortgage Corp.
7.300% due 06/10/2032		190		196
Drexel Burnham Lambert CMO Trust
6.070% due 05/01/2016		4		4
First Horizon Alternative Mortgage Securities
4.732% due 06/25/2034		21,365		21,102
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		22,946		22,966
5.400% due 01/25/2047		22,367		22,379
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		31,200		31,234
GSR Mortgage Loan Trust
4.538% due 09/25/2035		106,140		104,621
4.549% due 09/25/2035		15,111		14,982
6.000% due 03/25/2032		1,299		1,277
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		13,058		13,070
Imperial Savings Association
8.429% due 02/25/2018		68		68
Indymac Index Mortgage Loan Trust
5.410% due 11/25/2046		16,468		16,478
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		22,010		21,867
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		5,814		5,817
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		11,819		11,587
MASTR Asset Securitization Trust
5.500% due 09/25/2033		26,847		25,710
Mellon Residential Funding Corp.
5.800% due 06/15/2030		24,830		24,839
Merrill Lynch Mortgage Investors, Inc.
4.489% due 02/25/2035		34,839		34,193
Morgan Stanley Capital I
5.380% due 10/15/2020		13,059		13,076
Nationslink Funding Corp.
5.670% due 11/10/2030		211		211
Prime Mortgage Trust
5.720% due 02/25/2019		1,714		1,718
5.720% due 02/25/2034		7,899		7,926
Prudential-Bache CMO Trust
8.400% due 03/20/2021		252		251
RAAC Series 2005-SP1
5.000% due 09/25/2034		2,262		2,216
Resecuritization Mortgage Trust
5.570% due 04/26/2021		39		39
Salomon Brothers Mortgage Securities VII, Inc.
8.000% due 09/25/2030		23		23
Sears Mortgage Securities
12.000% due 02/25/2014		9		9
Structured Asset Mortgage Investments, Inc.
5.600% due 02/25/2036		7,897		7,900
5.650% due 09/19/2032		8,809		8,822
9.448% due 06/25/2029		707		756
Structured Asset Securities Corp.
6.150% due 07/25/2032		287		289
7.197% due 01/25/2032		187		187
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		18,967		18,967
Wachovia Bank Commercial Mortgage Trust
5.400% due 06/15/2020		36,300		36,311
5.410% due 09/15/2021		18,142		18,152
Washington Mutual MSC Mortgage Pass-Through Certificates
5.407% due 02/25/2033		302		302
6.866% due 02/25/2033		588		588
Washington Mutual, Inc.
4.229% due 03/25/2034		6,888		6,802
4.816% due 10/25/2032		81		81
5.474% due 02/27/2034		13,525		13,295
5.610% due 10/25/2045		8,306		8,326
5.630% due 01/25/2045		587		588
5.759% due 01/25/2047		11,786		11,782
5.839% due 12/25/2046		53,005		53,043
6.229% due 11/25/2042		4,224		4,228
6.429% due 06/25/2042		7,813		7,809
6.429% due 08/25/2042		5,840		5,861
6.529% due 09/25/2046		21,514		21,603
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		35,921		35,442
5.386% due 08/25/2035		9,068		8,830
Total Mortgage-Backed Securities (Cost $1,608,109)				1,597,247
ASSET-BACKED SECURITIES 6.2%
ACE Securities Corp.
5.370% due 12/25/2036		7,808		7,813
5.430% due 10/25/2035		11,390		11,397
Amortizing Residential Collateral Trust
5.610% due 07/25/2032		744		745
Argent Securities, Inc.
5.370% due 09/25/2036		9,800		9,803
Asset-Backed Funding Certificates
5.380% due 01/25/2037		14,475		14,484
Asset-Backed Securities Corp. Home Equity
5.840% due 06/15/2031		7		7
Bear Stearns Asset-Backed Securities, Inc.
5.400% due 10/25/2036		9,583		9,589
5.520% due 09/25/2034		3,515		3,519
5.770% due 03/25/2043		6,928		6,944
Carrington Mortgage Loan Trust
5.640% due 10/25/2035		35,923		36,029
Chase Funding Mortgage Loan Asset-Backed Certificates
5.960% due 11/25/2031		2,441		2,443
CIT Group Home Equity Loan Trust
5.590% due 06/25/2033		2,076		2,080
Community Program Loan Trust
4.500% due 10/01/2018		4,872		4,799
Countrywide Asset-Backed Certificates
5.370% due 05/25/2037		14,969		14,978
5.370% due 12/25/2046		9,386		9,392
5.370% due 03/25/2047		19,964		19,976
Credit-Based Asset Servicing & Securitization LLC
5.410% due 12/25/2037		4,602		4,602
Equity One Asset-Backed Securities, Inc.
5.600% due 11/25/2032		11,159		11,170
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		45,214		45,243
Fremont Home Loan Trust
5.380% due 01/25/2037		13,409		13,406
5.420% due 05/25/2036		17,640		17,648
GSAMP Trust
5.390% due 12/25/2036		20,867		20,879
5.430% due 11/25/2035		1,271		1,271
HFC Home Equity Loan Asset-Backed Certificates
5.670% due 09/20/2033		8,363		8,392
Honda Auto Receivables Owner Trust
5.342% due 11/15/2007		13,482		13,494
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		11,719		11,727
Indymac Residential Asset-Backed Trust
5.380% due 04/25/2037		13,737		13,741
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		9,785		9,791
Lehman XS Trust
5.390% due 05/25/2046		8,198		8,202
Long Beach Mortgage Loan Trust
5.410% due 01/25/2036		9,319		9,326
5.600% due 10/25/2034		2,334		2,339
MASTR Asset-Backed Securities Trust
5.360% due 08/25/2036		13,704		13,712
MBNA Credit Card Master Note Trust
5.440% due 08/16/2010		24,200		24,239
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		9,702		9,706
5.360% due 01/25/2037		18,263		18,273
5.370% due 10/25/2036		8,765		8,766
Nelnet Student Loan Trust
5.340% due 09/25/2012		13,723		13,731
Option One Mortgage Loan Trust
5.370% due 01/25/2037		22,165		22,179
Renaissance Home Equity Loan Trust
5.670% due 08/25/2032		212		213
Residential Asset Securities Corp.
5.360% due 08/25/2036		13,028		13,036
5.390% due 11/25/2036		23,072		23,089
5.780% due 06/25/2031		4		4
Securitized Asset-Backed Receivables LLC Trust
5.380% due 12/25/2036		29,975		29,989
Soundview Home Equity Loan Trust
5.420% due 12/25/2035		2,464		2,465
5.430% due 11/25/2035		2,546		2,547
Specialty Underwriting & Residential Finance
5.380% due 01/25/2038		10,983		10,989
Structured Asset Securities Corp.
4.930% due 01/25/2035		870		849
5.370% due 10/25/2036		22,411		22,420
5.420% due 07/25/2035		2,737		2,739
5.610% due 01/25/2033		754		756
Wachovia Auto Owner Trust
4.820% due 02/20/2009		2,400		2,401
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		14,409		14,418
5.440% due 12/25/2035		20,674		20,684
WMC Mortgage Loan Pass-Through Certificates
6.000% due 05/15/2030		288		288
Total Asset-Backed Securities (Cost $602,176)				602,722
SOVEREIGN ISSUES 0.0%
Korea Development Bank
5.640% due 11/22/2012		2,200		2,209
Total Sovereign Issues (Cost $2,200)				2,209
FOREIGN CURRENCY-DENOMINATED ISSUES 0.2%
JSG Holding PLC
6.718% due 11/29/2014	EUR	434		594
6.835% due 11/29/2014		1,583		2,169
6.862% due 11/29/2014		489		670
6.898% due 11/29/2014		843		1,156
6.944% due 11/29/2014		651		892
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	1,300,000		10,616
Total Foreign Currency-Denominated Issues (Cost $15,673)				16,097
	Shares
PREFERRED STOCKS 1.1%
DG Funding Trust
7.600% due 12/31/2049		10,229		106,573
Home Ownership Funding Corp.
1.000% due 12/31/2049		8,625		1,210
Total Preferred Stocks (Cost $113,682)				107,783
SHORT-TERM INSTRUMENTS 20.7%
Certificates of Deposit 6.1%
Abbey National Treasury Services PLC
5.270% due 07/02/2008	$	17,100		17,107
Bank of Ireland
5.396% due 01/15/2010		5,000		5,005
BNP Paribas
5.260% due 07/03/2008		73,300		73,285
5.262% due 05/28/2008		17,400		17,406
Calyon Financial, Inc.
5.336% due 01/16/2009		37,700		37,706
Dexia S.A.
5.270% due 09/29/2008		21,800		21,806
Fortis Bank NY
5.265% due 04/28/2008		48,300		48,326
5.265% due 06/30/2008		15,400		15,406
HSBC Bank USA N.A.
5.410% due 07/28/2008		22,400		22,435
Nordea Bank Finland PLC
5.298% due 05/28/2008		16,800		16,810
5.308% due 04/09/2009		42,600		42,623
Royal Bank of Canada
5.265% due 06/30/2008		57,300		57,350
Royal Bank of Scotland Group PLC
5.260% due 07/03/2008		59,800		59,803
Skandinav Enskilda BK
5.300% due 02/04/2008		61,200		61,287
5.350% due 02/13/2009		11,000		11,009
Societe Generale NY
5.269% due 06/30/2008		90,200		90,255
				597,619
Commercial Paper 13.8%
ANZ National International Ltd.
5.250% due 09/19/2007		3,600		3,557
ASB Finance Ltd.
5.230% due 09/20/2007		16,000		15,944
5.255% due 09/20/2007		5,300		5,236
Bank of America Corp.
5.240% due 10/04/2007		30,000		29,751
5.280% due 10/04/2007		114,300		114,032
Barclays U.S. Funding Corp.
5.240% due 09/26/2007		26,300		26,078
CBA (de) Finance
5.230% due 09/28/2007		27,800		27,784
Cox Communications, Inc.
5.384% due 09/17/2007		19,800		19,800
Danske Corp.
5.245% due 10/12/2007		1,100		1,099
5.280% due 10/12/2007		50,000		49,934
Fortis Funding LLC
5.275% due 09/05/2007		5,000		4,985
Freddie Mac
4.800% due 07/02/2007		28,000		28,000
HBOS Treasury Services PLC
5.235% due 09/21/2007		6,800		6,755
5.235% due 11/13/2007		41,300		40,958
5.245% due 11/13/2007		80,400		79,386
5.250% due 09/21/2007		21,200		20,944
5.250% due 11/13/2007		5,800		5,774
HSBC Bank USA N.A.
5.210% due 07/11/2007		14,500		14,481
5.220% due 07/11/2007		23,650		23,622
National Australia Funding Corp.
5.280% due 07/16/2007		110,000		109,774
Natixis S.A.
5.260% due 09/21/2007		14,500		14,404
Nordea N.A., Inc.
5.250% due 07/26/2007		5,600		5,599
Rabobank USA Financial Corp.
5.260% due 07/26/2007		8,600		8,570
San Paolo IMI U.S. Financial Co.
5.245% due 08/08/2007		23,000		22,876
5.260% due 08/08/2007		500		497
5.270% due 08/08/2007		500		498
Santander Hispano Finance Delaware
5.225% due 09/26/2007		9,000		8,940
Societe Generale NY
5.240% due 11/26/2007		2,400		2,387
5.245% due 11/26/2007		29,400		29,049
5.250% due 11/26/2007		2,000		1,976
Svenska Handelsbanken, Inc.
5.230% due 08/06/2007		18,600		18,578
5.230% due 10/09/2007		8,200		8,188
5.250% due 10/09/2007		6,000		5,973
Swedbank AB
5.235% due 09/06/2007		6,100		6,062
5.235% due 10/19/2007		70,600		69,452
5.250% due 09/06/2007		5,000		4,990
5.270% due 09/06/2007		30,925		30,735
Toyota Motor Credit Corp.
5.220% due 09/14/2007		60,000		59,974
UBS Finance Delaware LLC
5.200% due 10/23/2007		100		100
5.225% due 10/23/2007		1,700		1,696
5.230% due 10/23/2007		185,500		182,589
5.235% due 10/23/2007		2,400		2,389
5.245% due 10/23/2007		5,000		4,944
5.250% due 10/23/2007		9,700		9,685
5.260% due 10/23/2007		1,300		1,294
5.270% due 10/23/2007		103,300		102,846
Unicredito Italiano SpA
5.125% due 01/22/2008		20,000		19,405
5.240% due 01/22/2008		22,100		21,875
5.300% due 01/22/2008		1,100		1,098
Westpac Banking Corp.
5.165% due 11/05/2007		15,000		14,765
5.200% due 11/05/2007		5,533		5,527
Westpac Trust Securities NZ Ltd.
5.230% due 10/19/2007		51,600		51,443
5.260% due 10/19/2007		2,200		2,173
				1,348,471
Tri-Party Repurchase Agreements 0.1%
State Street Bank and Trust Co.
4.900% due 07/02/2007		6,004		6,004
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 5.400% due 09/18/2008 valued at $6,128. Repurchase proceeds are $6,006.)
U.S. Treasury Bills 0.7%
4.638% due 08/30/2007 - 09/13/2007 (c)(d)(f)		63,035		62,344
Total Short-Term Instruments (Cost $2,014,248)				2,014,438
Purchased Options (h) 0.1% (Cost $29,863)				11,060
Total Investments (e) 101.2% (Cost $9,956,256)			$	9,862,637
Written Options (i) (0.1%) (Premiums $25,149)				(6,357	)
Other Assets and Liabilities (Net) (1.1%)				(106,345	)
Net Assets 100.0%			$	9,749,935

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) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $9,895 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(e) As of June 30, 2007, portfolio securities with an aggregate value of $574,882 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $50,470 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Euribor December Futures	Long	12/2007	1,673	$	(2,376	)
90-Day Euribor December Futures	Long	12/2008	833		(1,866	)
90-Day Euribor June Futures	Long	06/2008	1,154		(2,499	)
90-Day Euribor March Futures	Long	03/2008	379		(750	)
90-Day Euribor September Futures	Long	09/2008	833		(1,913	)
90-Day Eurodollar December Futures	Long	12/2007	18,651		(18,890	)
90-Day Eurodollar December Futures	Long	12/2008	1,787		257
90-Day Eurodollar June Futures	Long	06/2008	30,523		(32,026	)
90-Day Eurodollar March Futures	Long	03/2008	31,997		(34,012	)
90-Day Eurodollar March Futures	Long	03/2009	205		(300	)
90-Day Eurodollar September Futures	Long	09/2008	4,259		(1,088	)
90-Day Euroyen December Futures	Long	12/2007	1,779		(216	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	5,862		6,092
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	840		(1,772	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	3,592		(5,205	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	289		(388	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	900		(1,936	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	2,818		(4,353	)
				$	(103,241	)

(g) Swap agreements outstanding on June 30, 2007:

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	%	09/20/2007	JPY	869,000	$	35
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	$	30,000		261
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		8,000		24
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.290	%	06/20/2009		43,300		(47	)
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.275	%	06/20/2009		43,300		(15	)
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		14,000		63
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		4,000		19
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	04/20/2009		4,300		17
HSBC Bank USA	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.250	%	05/20/2009		6,000		(1	)
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.490	%	06/20/2009		43,300		(56	)
Lehman Brothers, Inc.	General Motors Corp. 7.125% due 07/15/2013	Sell	7.200	%	06/20/2008		2,000		107
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		7,200		2
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	12/20/2008		6,000		17
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011		4,900		63
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.570	%	07/20/2007		24,400		68
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		4,200		20
Morgan Stanley	General Motors Corp. 7.125% due 07/15/2013	Sell	7.570	%	06/20/2008		5,000		286
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		20,000		(2	)
Morgan Stanley	Russia Government International Bond 7.500% 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		505
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.750	%	01/20/2012		500		4
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.438	%	06/20/2009		43,300		4
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.450	%	06/20/2009		6,000		0
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.310	%	12/20/2011		4,900		69
								$	1,444

⁽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	7.000	%	12/15/2009	AUD	30,300	$	(16	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	49,200		286
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		12,800		89
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		32,100		213
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		19,300		394
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		21,200		385
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	3,500		(36	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		23,900		286
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		53,300		1,094
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		31,000		(224	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		7,600		(66	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		25,800		(238	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		25,100		(265	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		7,000		(66	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		7,100		(71	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		9,100		150
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	77,900		(764	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		43,200		(623	)
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		8,800		(208	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		46,700		(472	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		53,200		4,654
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		55,700		(850	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		98,400		(6,547	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		40,200		(591	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	4,000,000		(87	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		30,970,000		(160	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		6,450,000		(94	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		2,260,000		(9	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		37,640,000		(541	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012	MXN	125,800		(105	)
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		48,800		86
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009	$	208,900		(1,425	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		282,400		122
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		130,400		(992	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		240,400		(1,897	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		44,600		(289	)
								$	(8,877	)

(h) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar September Futures	$	90.750	09/17/2007	650	$	6	$	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	%	07/02/2007	EUR	96,000	$	442	$	0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007	$	123,000		541		4
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		647,000		3,065		1,273
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		469,200		2,604		579
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		91,800		326		181
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	07/02/2007		347,200		1,436		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		530,000		1,378		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	07/02/2007		436,200		2,321		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		480,000		1,086		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		851,000		4,220		1,365
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		1,214,200		7,091		1,499
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		330,000		949		1,117
									$	25,459	$	6,018

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	103.800	03/17/2010	$	9,000	$	392	$	693
Put - OTC U.S. dollar versus Japanese yen		103.800	03/17/2010		9,000		392		223
Call - OTC U.S. dollar versus Japanese yen		104.650	03/31/2010		7,000		318		499
Put - OTC U.S. dollar versus Japanese yen		104.650	03/31/2010		7,000		272		188
Call - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		8,000		337		545
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		8,000		337		224
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		28,000		1,175		1,874
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		28,000		1,175		796
						$	4,398	$	5,042

(i) Written options outstanding on June 30, 2007:

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	%	07/02/2007	EUR	37,000	$	443	$	0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	281,000		3,091		1,415
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		204,000		2,489		623
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		39,900		339		201
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	07/02/2007		118,200		1,276		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	07/02/2007		152,600		1,595		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	07/02/2007		190,100		2,349		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		80,000		928		3
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	08/08/2007		41,000		467		3
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		370,000		4,440		1,324
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		283,600		3,779		867
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		246,000		3,026		841
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		110,000		927		1,080
									$	25,149	$	6,357

(j) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	07/01/2022	$	468,500	$	449,540	$	452,761
Fannie Mae	5.500	%	07/01/2037		44,000		42,735		42,440
U.S. Treasury Notes	4.625	%	02/15/2017		35,200		34,230		34,734
						$	526,506	$	529,935

⁽²⁾ Market value includes $634 of interest payable on short sales.

(k) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation / (Depreciation)
Buy	AUD	46,629	07/2007	$	280	$	0		$	280
Sell		495	07/2007		0		(7	)		(7	)
Buy	BRL	271,091	10/2007		4,877		(2	)		4,875
Buy		181,937	03/2008		5,151		0			5,151
Buy	CAD	32,781	08/2007		136		0			136
Buy	CLP	2,743,870	03/2008		0		(17	)		(17	)
Buy	CNY	10,373	09/2007		28		(1	)		27
Sell		10,373	09/2007		0		(1	)		(1	)
Buy		167,993	11/2007		172		0			172
Sell		167,993	11/2007		17		(42	)		(25	)
Buy		101,102	01/2008		0		(89	)		(89	)
Sell		101,102	01/2008		6		(15	)		(9	)
Buy	EUR	59,636	07/2007		780		0			780
Sell	GBP	44,374	08/2007		0		(467	)		(467	)
Buy	INR	583,559	10/2007		63		(4	)		59
Buy		295,433	05/2008		119		0			119
Sell	JPY	2,580,003	07/2007		303		0			303
Buy	KRW	20,926,782	07/2007		119		0			119
Sell		2,036,243	07/2007		0		(10	)		(10	)
Buy		20,762,592	08/2007		0		(7	)		(7	)
Buy		14,642,634	09/2007		39		0			39
Sell		310,992	09/2007		0		(6	)		(6	)
Buy	MXN	65,132	09/2007		84		0			84
Buy		410,463	03/2008		306		(57	)		249
Buy	MYR	55,663	05/2008		0		(130	)		(130	)
Buy	NZD	5,569	07/2007		106		0			106
Buy	PHP	161,107	05/2008		0		(30	)		(30	)
Buy	PLN	90,015	09/2007		443		(6	)		437
Buy		17,703	03/2008		247		0			247
Buy	RUB	149,639	09/2007		73		0			73
Buy		344,278	11/2007		356		0			356
Buy		996,132	12/2007		890		0			890
Buy		904,784	01/2008		174		0			174
Buy	SEK	55,848	09/2007		98		0			98
Buy	SGD	59,249	07/2007		0		(218	)		(218	)
Sell		34,540	07/2007		0		(133	)		(133	)
Buy		12,831	08/2007		39		(43	)		(4	)
Buy		5,850	09/2007		0		(12	)		(12	)
Buy		56,882	10/2007		186		0			186
Buy	ZAR	1,509	09/2007		4		0			4
				$	15,096	$	(1,297	)	$	13,799

See accompanying notes

Schedule of Investments

Low Duration Fund II

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 20.0%
Banking & Finance 16.8%
Allstate Life Global Funding Trusts
5.400% due 03/23/2009	$	300	$	301
American Express Centurion Bank
5.320% due 05/07/2008		700		700
5.340% due 06/12/2009		1,600		1,601
American Express Credit Corp.
5.380% due 11/09/2009		1,000		1,001
Bank of America Corp.
5.366% due 11/06/2009		400		400
Bank of America N.A.
5.355% due 07/25/2008		1,400		1,401
5.360% due 02/27/2009		800		801
Bear Stearns Cos., Inc.
5.450% due 08/21/2009		500		500
5.480% due 05/18/2010		1,600		1,599
CIT Group, Inc.
5.505% due 01/30/2009		2,900		2,896
5.510% due 12/19/2008		500		500
Citigroup Funding, Inc.
5.320% due 04/23/2009		2,400		2,401
5.350% due 12/08/2008		600		600
5.360% due 06/26/2009		400		400
Citigroup, Inc.
5.390% due 12/28/2009		500		500
5.400% due 12/26/2008		1,400		1,401
General Electric Capital Corp.
5.385% due 10/26/2009		1,500		1,501
5.390% due 03/12/2010		1,400		1,402
5.428% due 01/20/2010		1,600		1,603
Goldman Sachs Group, Inc.
5.455% due 07/29/2008		900		901
5.685% due 07/23/2009		3,700		3,721
HSBC Finance Corp.
5.490% due 09/15/2008		3,500		3,507
Lehman Brothers Holdings, Inc.
5.445% due 10/22/2008		5,800		5,808
5.460% due 11/16/2009		900		901
Merrill Lynch & Co., Inc.
5.390% due 12/22/2008		1,500		1,500
5.395% due 10/23/2008		900		901
5.440% due 12/04/2009		800		800
5.450% due 08/14/2009		200		200
Metropolitan Life Global Funding I
5.400% due 05/17/2010		1,100		1,101
Morgan Stanley
5.360% due 11/21/2008		500		500
5.406% due 05/07/2009		800		801
5.446% due 01/15/2010		1,300		1,301
5.467% due 02/09/2009		700		701
Pricoa Global Funding I
5.405% due 07/27/2009		2,500		2,504
Wachovia Corp.
5.405% due 10/28/2008		900		901
5.486% due 10/15/2011		2,700		2,706
				50,262
Industrials 2.5%
Altria Group, Inc.
7.650% due 07/01/2008		4,500		4,587
Amgen, Inc.
5.440% due 11/28/2008		1,200		1,200
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		1,500		1,500
				7,287
Utilities 0.7%
AT&T, Inc.
5.450% due 05/15/2008		2,200		2,202
Total Corporate Bonds & Notes (Cost $59,746)				59,751
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley
0.000% due 07/07/2008		1,000		994
Total Commodity Index-Linked Notes (Cost $1,000)				994
U.S. GOVERNMENT AGENCIES 34.2%
Fannie Mae
4.659% due 07/01/2035		713		704
4.682% due 01/01/2035		793		782
4.887% due 12/01/2034		3,652		3,654
4.990% due 06/01/2035		4,176		4,147
5.000% due 11/01/2017 - 06/01/2022		50,584		48,996
5.500% due 02/01/2009 - 12/01/2033		5,902		5,780
5.642% due 09/01/2028		267		270
5.770% due 10/25/2030		196		198
6.000% due 03/01/2016 - 07/01/2037		4,600		4,610
6.214% due 07/01/2042		697		710
6.264% due 09/01/2041		1,125		1,135
6.414% due 08/01/2030 - 10/01/2030		596		607
6.500% due 09/01/2012 - 12/25/2042		275		279
7.125% due 01/01/2024		137		139
8.000% due 11/25/2023		246		258
9.250% due 10/25/2018		7		8
10.500% due 05/01/2012		96		105
Federal Housing Administration
7.430% due 07/01/2024		953		959
Freddie Mac
4.917% due 07/01/2035		1,050		1,039
5.000% due 11/01/2018 - 07/15/2024		3,494		3,444
5.470% due 07/15/2019 - 10/15/2020		11,800		11,790
5.550% due 07/15/2037		3,700		3,700
5.670% due 12/15/2030		727		729
5.720% due 06/15/2018		218		219
6.000% due 02/01/2016 - 07/01/2037		1,371		1,364
6.227% due 02/25/2045		1,280		1,275
6.500% due 07/25/2043		1,892		1,919
7.215% due 07/01/2023		88		90
8.500% due 06/01/2009 - 06/01/2025		15		16
Ginnie Mae
4.750% due 07/20/2023 - 07/20/2025		608		614
5.125% due 10/20/2025		491		497
5.375% due 04/20/2022 - 05/20/2027		1,104		1,117
5.500% due 07/20/2030		373		377
5.820% due 09/20/2030		64		64
7.000% due 11/15/2022		164		170
7.500% due 02/15/2022 - 03/15/2024		270		282
7.750% due 01/17/2030		27		27
8.000% due 03/15/2023 - 05/15/2024		80		85
9.000% due 07/20/2016 - 09/15/2030		145		156
Total U.S. Government Agencies (Cost $103,831)				102,315
MORTGAGE-BACKED SECURITIES 17.9%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		2,500		2,453
4.390% due 02/25/2045		754		739
Banc of America Funding Corp.
4.113% due 05/25/2035		12,601		12,342
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		3,971		3,927
4.773% due 01/25/2034		651		648
5.329% due 02/25/2033		172		175
5.448% due 04/25/2033		1,264		1,243
5.626% due 02/25/2033		121		121
Bear Stearns Alt-A Trust
5.377% due 05/25/2035		1,504		1,498
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		1,106		1,106
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		538		539
Countrywide Alternative Loan Trust
5.480% due 02/25/2047		1,589		1,587
6.500% due 06/25/2033		153		153
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		1,384		1,380
CS First Boston Mortgage Securities Corp.
5.953% due 03/25/2032		244		244
6.890% due 06/25/2032		5		5
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		811		812
First Horizon Alternative Mortgage Securities
4.732% due 06/25/2034		901		890
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		782		782
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		2,100		2,102
5.420% due 06/06/2020		633		633
GSR Mortgage Loan Trust
4.538% due 09/25/2035		4,642		4,575
5.354% due 06/25/2034		1,598		1,608
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		495		495
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		966		960
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		198		198
Merrill Lynch Mortgage Investors, Inc.
4.489% due 02/25/2035		1,560		1,531
Morgan Stanley Capital I
5.380% due 10/15/2020		408		409
Nationslink Funding Corp.
5.670% due 11/10/2030		66		66
Prime Mortgage Trust
5.720% due 02/25/2019		81		81
5.720% due 02/25/2034		401		402
Salomon Brothers Mortgage Securities VII, Inc.
7.056% due 11/25/2022		15		15
Structured Asset Mortgage Investments, Inc.
5.450% due 03/25/2037		1,288		1,287
5.650% due 09/19/2032		488		489
9.448% due 06/25/2029		439		469
Structured Asset Securities Corp.
5.329% due 10/25/2035		616		615
6.150% due 07/25/2032		16		16
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		596		596
Wachovia Bank Commercial Mortgage Trust
5.400% due 06/15/2020		900		900
5.410% due 09/15/2021		534		534
Washington Mutual, Inc.
4.816% due 10/25/2032		810		808
5.474% due 02/27/2034		1,077		1,058
5.590% due 12/25/2045		486		487
5.610% due 10/25/2045		327		327
5.759% due 01/25/2047		354		354
6.229% due 11/25/2042		138		138
6.429% due 06/25/2042		317		317
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		1,359		1,341
Total Mortgage-Backed Securities (Cost $53,830)				53,455
ASSET-BACKED SECURITIES 14.0%
ACE Securities Corp.
5.430% due 10/25/2035		491		491
Amortizing Residential Collateral Trust
5.610% due 07/25/2032		43		43
Asset-Backed Funding Certificates
5.380% due 01/25/2037		528		528
Asset-Backed Securities Corp. Home Equity
5.595% due 09/25/2034		262		262
6.970% due 03/15/2032		718		718
Bear Stearns Asset-Backed Securities, Inc.
5.380% due 01/25/2037		1,230		1,231
5.520% due 09/25/2034		162		162
Carrington Mortgage Loan Trust
5.370% due 01/25/2037		1,386		1,387
Chase Issuance Trust
5.330% due 02/15/2011		1,700		1,702
CIT Group Home Equity Loan Trust
5.590% due 06/25/2033		119		119
Countrywide Asset-Backed Certificates
5.370% due 03/25/2037		1,181		1,181
5.370% due 05/25/2037		4,434		4,435
5.370% due 07/25/2037		3,052		3,054
5.500% due 09/25/2036		3,200		3,202
5.800% due 12/25/2031		219		219
Credit-Based Asset Servicing & Securitization LLC
5.380% due 11/25/2036		573		574
5.410% due 12/25/2037		2,506		2,506
First Franklin Mortgage Loan Asset-Backed Certificates
5.360% due 01/25/2038		1,151		1,152
First USA Credit Card Master Trust
5.480% due 04/18/2011		1,500		1,504
Fremont Home Loan Trust
5.380% due 01/25/2037		497		497
GSAMP Trust
5.390% due 12/25/2036		660		660
5.430% due 11/25/2035		54		54
GSR Mortgage Loan Trust
5.420% due 11/25/2030		173		173
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		507		507
HSBC Asset Loan Obligation
5.380% due 12/25/2036		2,988		2,990
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		2,068		2,069
Indymac Residential Asset-Backed Trust
5.380% due 04/25/2037		474		474
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		304		304
Lehman XS Trust
5.390% due 05/25/2046		279		279
Long Beach Mortgage Loan Trust
5.400% due 02/25/2036		1,324		1,325
5.600% due 10/25/2034		74		74
MASTR Asset-Backed Securities Trust
5.380% due 11/25/2036		651		652
Morgan Stanley ABS Capital I
5.370% due 11/25/2036		1,005		1,005
Nelnet Student Loan Trust
5.340% due 09/25/2012		471		471
Option One Mortgage Loan Trust
5.370% due 01/25/2037		903		904
Park Place Securities, Inc.
5.632% due 10/25/2034		1,162		1,165
Securitized Asset-Backed Receivables LLC Trust
5.380% due 12/25/2036		891		891
SLM Student Loan Trust
5.365% due 04/27/2015		799		799
Soundview Home Equity Loan Trust
5.420% due 12/25/2035		89		89
5.430% due 11/25/2035		109		110
Structured Asset Securities Corp.
5.610% due 01/25/2033		47		48
Wachovia Auto Owner Trust
4.820% due 02/20/2009		108		108
5.337% due 06/20/2008		700		700
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		494		494
5.440% due 12/25/2035		682		683
Total Asset-Backed Securities (Cost $41,979)				41,995
	Shares
PREFERRED STOCKS 1.8%
DG Funding Trust
7.600% due 12/31/2049		510		5,314
Total Preferred Stocks (Cost $5,100)				5,314
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 13.1%
Commercial Paper 10.4%
Bank of America Corp.
5.200% due 10/04/2007	$	100		100
Freddie Mac
4.800% due 07/02/2007		10,000		10,000
5.120% due 10/26/2007		1,200		1,179
5.135% due 09/04/2007		17,700		17,527
5.140% due 08/27/2007		2,500		2,480
				31,286
Repurchase Agreements 2.0%
State Street Bank and Trust Co.
4.900% due 07/02/2007		5,921		5,921
(Dated 06/29/2007. Collateralized by Fannie Mae 3.250% due 08/15/2008 valued at $6,043. Repurchase proceeds are $5,923.)
U.S. Treasury Bills 0.7%
4.644% due 09/13/2007 (a)(c)		2,115		2,092
Total Short-Term Instruments (Cost $39,314)				39,299
Purchased Options (e) 0.1% (Cost $835)				255
Total Investments (b) 101.4% (Cost $305,635)			$	303,378
Written Options (f) (0.1%) (Premiums $815)				(264	)
Other Assets and Liabilities (Net) (1.3%)				(3,939	)
Net Assets 100.0%			$	299,175

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 June 30, 2007, portfolio securities with an aggregate value of $17,287 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $2,092 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	588	$	(579	)
90-Day Eurodollar December Futures	Long	12/2008	251		(110	)
90-Day Eurodollar June Futures	Long	06/2008	898		(921	)
90-Day Eurodollar March Futures	Long	03/2008	1,087		(1,164	)
90-Day Eurodollar March Futures	Long	03/2009	5		(7	)
90-Day Eurodollar September Futures	Long	09/2008	150		(37	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	184		279
				$	(2,539	)

(d) Swap agreements outstanding on June 30, 2007:

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	%	12/19/2009	$	5,300	$	(6	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		15,900		7
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		4,200		(32	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		7,600		(73	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		1,400		(9	)
								$	(113	)

(e) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put-CME 90-Day Eurodollar September Futures	$	91.000	09/17/2007	186	$	2	$	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	%	08/08/2007	$	3,000	$	13	$	0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		21,000		99		41
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		18,400		102		23
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		3,000		11		6
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	07/02/2007		14,000		58		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		20,000		52		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		12,000		27		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		29,800		148		48
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		39,500		231		49
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		26,000		92		88
									$	833	$	255

(f) Written options outstanding on June 30, 2007:

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	4.950	%	09/26/2008	$	9,000	$	99	$	45
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		8,000		98		24
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		1,300		11		7
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	07/02/2007		3,900		42		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	07/02/2007		6,000		63		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		2,000		23		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	08/08/2007		1,000		11		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		13,000		156		47
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		9,400		125		29
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		8,000		98		27
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		8,700		89		85
									$	815	$	264

(g) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(1)
U.S. Treasury Notes	4.625	%	02/15/2017	$	1,100	$	1,070	$	1,085

⁽¹⁾ Market value includes $20 of interest payable on short sales.

See accompanying notes.

Schedule of Investments

Low Duration Fund III

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 25.0%
Banking & Finance 23.2%
American Express Centurion Bank
5.340% due 06/12/2009	$	1,000	$	1,001
American Express Credit Corp.
5.340% due 12/12/2007		200		200
American Honda Finance Corp.
5.346% due 08/05/2008		200		200
5.407% due 02/09/2010		1,000		1,001
American International Group, Inc.
5.370% due 06/16/2009		1,000		1,004
ANZ National International Ltd.
5.396% due 08/07/2009		300		300
Bank of America Corp.
5.370% due 06/19/2009		600		601
Bank of America N.A.
5.355% due 07/25/2008		500		500
5.360% due 12/18/2008		500		500
5.360% due 06/12/2009		300		300
Bank of Ireland
5.370% due 12/19/2008		1,100		1,102
Bear Stearns Cos., Inc.
5.480% due 05/18/2010		300		300
5.505% due 04/29/2008		900		901
Calabash Re II Ltd.
13.760% due 01/08/2010		300		303
14.960% due 01/08/2010		250		261
16.260% due 01/08/2010		300		312
CIT Group, Inc.
5.510% due 08/15/2008		500		500
Citigroup Funding, Inc.
5.360% due 06/26/2009		200		200
Citigroup Global Markets Holdings, Inc.
5.400% due 03/07/2008		500		500
Citigroup, Inc.
4.200% due 12/20/2007		400		398
5.390% due 12/28/2009		500		501
5.400% due 12/26/2008		300		300
Credit Agricole S.A.
5.360% due 05/28/2009		200		200
5.410% due 05/28/2010		200		200
Export-Import Bank of Korea
5.450% due 06/01/2009		300		300
General Electric Capital Corp.
5.455% due 10/21/2010		3,000		3,006
Goldman Sachs Group, Inc.
5.410% due 03/30/2009		300		300
5.447% due 11/10/2008		100		100
5.450% due 12/22/2008		300		301
5.475% due 10/05/2007		200		200
5.685% due 07/23/2009		600		603
HSBC Finance Corp.
5.440% due 03/12/2010		800		800
5.490% due 09/15/2008		100		100
5.500% due 12/05/2008		200		201
5.607% due 05/10/2010		100		101
ICICI Bank Ltd.
5.895% due 01/12/2010		300		301
Lehman Brothers Holdings, Inc.
5.440% due 04/03/2009		200		200
5.460% due 08/21/2009		300		300
5.460% due 11/16/2009		300		300
5.500% due 05/25/2010		100		100
5.570% due 12/23/2010		200		200
Merrill Lynch & Co., Inc.
5.440% due 12/04/2009		300		300
5.445% due 01/30/2009		300		300
5.450% due 08/14/2009		200		200
5.555% due 07/25/2011		300		300
Metropolitan Life Global Funding I
5.400% due 05/17/2010		400		400
Morgan Stanley
5.446% due 01/15/2010		300		300
5.467% due 02/09/2009		300		301
5.609% due 01/18/2011		400		401
Mystic Re Ltd.
11.660% due 12/05/2008		300		298
Residential Capital LLC
6.460% due 05/22/2009		300		299
Royal Bank of Scotland Group PLC
5.360% due 12/21/2007		300		300
Santander U.S. Debt S.A. Unipersonal
5.370% due 09/21/2007		400		400
5.420% due 09/19/2008		900		901
SLM Corp.
5.495% due 07/27/2009		200		195
Wachovia Bank N.A.
5.400% due 03/23/2009		1,300		1,301
Wachovia Corp.
5.405% due 10/28/2008		100		100
Wells Fargo & Co.
5.400% due 03/10/2008		1,100		1,101
Westpac Banking Corp.
5.280% due 06/06/2008		100		100
				26,495
Industrials 1.4%
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		300		301
5.805% due 08/03/2009		300		302
FedEx Corp.
5.436% due 08/08/2007		300		300
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		200		221
Time Warner, Inc.
5.590% due 11/13/2009		200		200
Transocean, Inc.
5.560% due 09/05/2008		200		200
				1,524
Utilities 0.4%
Verizon Communications, Inc.
5.400% due 04/03/2009		500		500
Total Corporate Bonds & Notes (Cost $28,478)				28,519
U.S. GOVERNMENT AGENCIES 33.7%
Fannie Mae
4.350% due 03/01/2035		54		54
4.368% due 11/01/2034		141		142
4.417% due 05/01/2035		155		154
4.500% due 08/01/2035		662		654
4.560% due 11/01/2035		268		267
4.655% due 07/01/2035		130		128
5.000% due 03/25/2017 - 07/01/2021		18,435		17,839
5.420% due 01/25/2021		1,405		1,404
5.500% due 02/01/2009 - 06/01/2035		6,147		5,958
5.604% due 08/01/2029		294		296
5.670% due 09/25/2042		309		310
5.720% due 05/25/2031		257		258
5.877% due 02/01/2031		77		78
6.000% due 03/01/2017 - 11/01/2017		447		450
6.227% due 07/01/2042		128		130
6.264% due 09/01/2041		205		206
6.414% due 09/01/2040		66		67
6.500% due 12/25/2042		22		22
6.968% due 11/01/2035		96		100
Freddie Mac
4.706% due 06/01/2035		638		625
4.712% due 08/01/2035		694		686
4.914% due 07/01/2035		219		217
5.000% due 04/15/2012 - 07/15/2024		654		648
5.470% due 07/15/2019 - 10/15/2020		4,400		4,396
5.550% due 07/15/2037		1,500		1,500
5.670% due 12/15/2030		97		97
5.720% due 06/15/2018		62		62
5.770% due 11/15/2030		16		16
6.000% due 03/01/2016 - 07/01/2037		1,108		1,100
6.227% due 02/25/2045		175		174
6.500% due 07/25/2043		232		236
Ginnie Mae
4.000% due 07/16/2027		12		12
5.375% due 06/20/2027		46		46
5.380% due 05/20/2030		102		104
6.000% due 02/20/2032		76		76
8.500% due 10/20/2026		16		17
Total U.S. Government Agencies (Cost $38,955)				38,529
MORTGAGE-BACKED SECURITIES 12.0%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		451		442
4.390% due 02/25/2045		94		92
Arran Residential Mortgages Funding PLC
5.340% due 04/12/2036		157		157
Banc of America Funding Corp.
4.113% due 05/25/2035		2,386		2,337
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		596		589
4.773% due 01/25/2034		100		100
5.329% due 02/25/2033		17		17
5.448% due 04/25/2033		155		152
5.626% due 02/25/2033		12		12
Bear Stearns Alt-A Trust
5.377% due 05/25/2035		269		268
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		369		369
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		85		83
4.900% due 12/25/2035		146		146
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		659		650
5.600% due 02/25/2037		931		933
6.500% due 06/25/2033		17		17
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		219		218
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		156		154
6.890% due 06/25/2032		1		1
GMAC Mortgage Corp. Loan Trust
4.998% due 11/19/2035		141		141
Greenpoint Mortgage Funding Trust
5.400% due 01/25/2047		193		193
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		800		801
GSR Mortgage Loan Trust
4.538% due 09/25/2035		696		686
5.354% due 06/25/2034		227		228
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		223		222
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		66		66
Mellon Residential Funding Corp.
5.760% due 12/15/2030		756		760
Morgan Stanley Capital I
5.380% due 10/15/2020		163		164
Prime Mortgage Trust
5.720% due 02/25/2019		20		20
5.720% due 02/25/2034		45		45
Structured Adjustable Rate Mortgage Loan Trust
4.580% due 02/25/2034		283		283
5.340% due 08/25/2034		354		354
6.429% due 01/25/2035		207		208
Structured Asset Mortgage Investments, Inc.
5.450% due 03/25/2037		468		468
5.600% due 02/25/2036		75		75
Structured Asset Securities Corp.
5.329% due 10/25/2035		231		231
7.197% due 01/25/2032		5		5
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		170		170
Wachovia Bank Commercial Mortgage Trust
5.400% due 06/15/2020		400		400
5.410% due 09/15/2021		152		153
Washington Mutual MSC Mortgage
Pass-Through Certificates
5.407% due 02/25/2033		54		54
Washington Mutual, Inc.
5.590% due 12/25/2045		88		89
5.610% due 10/25/2045		47		47
5.745% due 11/25/2034		320		322
5.759% due 01/25/2047		88		88
6.223% due 05/25/2041		49		49
6.429% due 06/25/2042		152		152
6.529% due 09/25/2046		190		191
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		340		335
Total Mortgage-Backed Securities (Cost $13,786)				13,737
ASSET-BACKED SECURITIES 9.9%
Accredited Mortgage Loan Trust
5.360% due 09/25/2036		586		586
ACE Securities Corp.
5.430% due 10/25/2035		69		69
Asset-Backed Funding Certificates
5.380% due 01/25/2037		151		151
Bear Stearns Asset-Backed Securities, Inc.
5.380% due 01/25/2037		352		352
Citigroup Mortgage Loan Trust, Inc.
5.360% due 08/25/2036		178		178
5.380% due 01/25/2037		532		532
5.380% due 05/25/2037		1,861		1,862
5.390% due 01/25/2036		254		254
5.390% due 01/25/2037		997		998
Countrywide Asset-Backed Certificates
5.370% due 01/25/2037		293		293
5.370% due 05/25/2037		913		913
5.500% due 09/25/2036		1,200		1,201
5.800% due 12/25/2031		37		37
First Franklin Mortgage Loan Asset-Backed Certificates
5.360% due 01/25/2038		411		411
First USA Credit Card Master Trust
5.480% due 04/18/2011		500		501
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		145		146
GSAMP Trust
5.430% due 11/25/2035		9		9
5.440% due 12/25/2035		164		164
5.610% due 03/25/2034		104		104
GSR Mortgage Loan Trust
5.420% due 11/25/2030		47		47
Home Equity Mortgage Trust
5.430% due 02/25/2036		7		7
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		84		84
Indymac Residential Asset-Backed Trust
5.420% due 03/25/2036		29		29
Long Beach Mortgage Loan Trust
5.410% due 01/25/2036		87		87
5.600% due 10/25/2034		25		25
Morgan Stanley ABS Capital I
5.370% due 11/25/2036		335		335
Residential Asset Securities Corp.
5.360% due 08/25/2036		114		114
Residential Funding Mortgage Securities II, Inc.
5.460% due 09/25/2035		35		36
Securitized Asset-Backed Receivables LLC Trust
5.380% due 12/25/2036		356		357
SLM Student Loan Trust
5.365% due 01/26/2015		44		44
Soundview Home Equity Loan Trust
5.400% due 01/25/2037		794		794
5.420% due 12/25/2035		11		11
Structured Asset Securities Corp.
5.450% due 12/25/2035		115		115
Truman Capital Mortgage Loan Trust
5.660% due 01/25/2034		53		54
Wachovia Auto Owner Trust
5.337% due 06/20/2008		300		300
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		165		165
Total Asset-Backed Securities (Cost $11,359)				11,365
SOVEREIGN ISSUES 0.3%
Korea Development Bank
5.490% due 04/03/2010		300		300
Total Sovereign Issues (Cost $300)				300
	Shares
PREFERRED STOCKS 0.6%
DG Funding Trust
7.600% due 12/31/2049		65		677
Total Preferred Stocks (Cost $687)				677
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 18.1%
Certificates of Deposit 7.3%
Bank of Ireland
3.797% due 01/15/2010	$	50		50
BNP Paribas
5.262% due 07/03/2008		1,100		1,100
Calyon Financial, Inc.
5.340% due 01/16/2009		300		300
Dexia S.A.
5.270% due 09/29/2008		1,300		1,300
Fortis Bank NY
5.265% due 06/30/2008		500		500
5.300% due 09/30/2008		300		300
Nordea Bank Finland PLC
5.308% due 05/28/2008		200		200
5.308% due 04/09/2009		500		500
Royal Bank of Canada
5.267% due 06/30/2008		500		501
Royal Bank of Scotland Group PLC
5.262% due 07/03/2008		800		800
5.265% due 03/26/2008		100		100
Skandinav Enskilda BK
5.340% due 08/21/2008		400		400
5.350% due 02/13/2009		100		100
Societe Generale NY
5.271% due 06/30/2008		900		901
Unicredito Italiano NY
5.358% due 05/06/2008		1,100		1,100
5.360% due 05/29/2008		200		200
				8,352
Commercial Paper 10.0%
Bank of Ireland
5.230% due 11/08/2007		2,500		2,481
Freddie Mac
4.800% due 07/02/2007		4,000		4,000
UBS Finance Delaware LLC
5.205% due 10/23/2007		600		599
5.215% due 10/23/2007		700		692
5.240% due 10/23/2007		100		99
Westpac Trust Securities NZ Ltd.
5.240% due 10/19/2007		3,600		3,574
				11,445
Repurchase Agreements 0.1%
State Street Bank and Trust Co.
4.900% due 07/02/2007		106		106
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.375% due 09/17/2010 valued at $109. Repurchase proceeds are $106.)
U.S. Treasury Bills 0.7%
4.642% due 09/13/2007 (a)(c)		730		722
Total Short-Term Instruments (Cost $20,621)				20,625
Purchased Options (e) 0.1% (Cost $222)				71
Total Investments (b) 99.7% (Cost $114,408)			$	113,823
Written Options (f) (0.1%) (Premiums $209)				(76	)
Other Assets and Liabilities (Net) 0.4%				465
Net Assets 100.0%			$	114,212

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 June 30, 2007, portfolio securities with an aggregate value of $9,060 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $722 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	33	$	(47	)
90-Day Euribor December Futures	Long	12/2008	13		(29	)
90-Day Euribor June Futures	Long	06/2008	21		(45	)
90-Day Euribor March Futures	Long	03/2008	6		(12	)
90-Day Euribor September Futures	Long	09/2008	13		(30	)
90-Day Eurodollar December Futures	Long	12/2007	213		(202	)
90-Day Eurodollar December Futures	Long	12/2008	67		(27	)
90-Day Eurodollar June Futures	Long	06/2008	342		(355	)
90-Day Eurodollar March Futures	Long	03/2008	347		(383	)
90-Day Eurodollar March Futures	Long	03/2009	3		(5	)
90-Day Eurodollar September Futures	Long	09/2008	46		(13	)
90-Day Euroyen December Futures	Long	12/2007	18		(2	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	119		87
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	8		(17	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	50		(73	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	3		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	9		(19	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	43		(66	)
				$	(1,242	)

(d) Swap agreements outstanding on June 30, 2007:

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	%	09/20/2007	JPY	8,000	$	0
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.000	%	09/20/2008	$	1,000		(3	)
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.290	%	06/20/2009		1,000		(1	)
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.275	%	06/20/2009		1,000		0
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		200		1
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.490	%	06/20/2009		1,000		(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		17
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		100		0
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011		400		5
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.438	%	06/20/2009		1,000		0
								$	18

⁽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.

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	7.000	%	12/15/2009	AUD	300	$	0
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	600		3
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		100		1
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		400		3
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		200		4
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		200		3
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011	EUR	700		14
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		300		(2	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		100		(1	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		200		(2	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		700		(8	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		200		(2	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		200		(2	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	800		(8	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		500		(7	)
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		100		(2	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		500		(5	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		800		70
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		300		(3	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		800		(53	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		500		(7	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	50,000		(1	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		340,000		(2	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		70,000		(1	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		20,000		0
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		440,000		(6	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012	MXN	1,700		(1	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	1,700		(2	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		6,100		2
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		1,600		(12	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		2,800		(22	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		500		(3	)
								$	(52	)

(e) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar September Futures	$	90.250	09/17/2007	49	$	0	$	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	4.750	%	09/26/2008	$	6,000	$	28	$	12
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		2,300		13		3
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		1,000		4		2
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		10,000		26		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		6,000		14		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		8,900		44		14
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		10,900		64		13
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		8,000		29		27
									$	222	$	71

(f) Written options outstanding on June 30, 2007:

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	4.950	%	09/26/2008	$	3,000	$	33	$	15
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		1,000		12		3
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		400		3		2
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	07/02/2007		1,200		13		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		1,000		12		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		4,000		48		14
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		2,600		35		8
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		2,000		25		7
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		2,700		28		27
									$	209	$	76

(g) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	07/01/2037	$	1,000	$	971	$	965

(h) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	522	07/2007	$	3	$	0		$	3
Buy	BRL	3,836	10/2007		84		0			84
Buy		1,774	03/2008		67		0			67
Buy	CAD	302	08/2007		1		0			1
Buy	CLP	35,403	03/2008		0		0			0
Buy	CNY	192	09/2007		1		0			1
Sell		192	09/2007		0		0			0
Buy		4,195	10/2007		10		0			10
Sell		4,195	10/2007		0		(1	)		(1	)
Buy		1,139	11/2007		1		0			1
Sell		1,139	11/2007		0		0			0
Buy		1,137	01/2008		0		(1	)		(1	)
Sell		1,137	01/2008		0		0			0
Buy	EUR	441	07/2007		6		0			6
Sell	GBP	488	08/2007		0		(5	)		(5	)
Buy	INR	229	11/2007		0		0			0
Sell		229	11/2007		0		0			0
Buy		3,813	05/2008		2		0			2
Sell		3,813	05/2008		1		0			1
Sell	JPY	12,252	07/2007		2		0			2
Buy	KRW	697,723	07/2007		4		0			4
Buy		232,099	08/2007		0		0			0
Buy		136,282	09/2007		1		0			1
Sell		51,414	09/2007		0		(1	)		(1	)
Buy	MXN	1,542	09/2007		2		0			2
Buy		3,614	03/2008		4		0			4
Buy	MYR	715	05/2008		0		(2	)		(2	)
Buy	NZD	59	07/2007		1		0			1
Buy	PHP	1,935	05/2008		0		(1	)		(1	)
Buy	PLN	1,097	09/2007		8		0			8
Buy	RUB	3,832	09/2007		2		0			2
Buy		1,390	11/2007		1		0			1
Buy		9,096	12/2007		8		0			8
Buy		7,546	01/2008		1		0			1
Buy	SEK	756	09/2007		1		0			1
Buy	SGD	564	07/2007		0		(3	)		(3	)
Sell		326	07/2007		0		(1	)		(1	)
Buy		1,121	08/2007		1		(10	)		(9	)
Buy		87	09/2007		0		0			0
Buy		539	10/2007		2		0			2
Buy	ZAR	18	09/2007		0		0			0
Buy		37	03/2008		0		0			0
				$	214	$	(25	)	$	189

See accompanying notes

Schedule of Investments

Moderate Duration Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.2%
Freeport-McMoRan Copper & Gold, Inc.
9.000% due 03/19/2014	$	431	$	432
SLM Corp.
6.000% due 06/30/2008		3,300		3,283
Total Bank Loan Obligations (Cost $3,715)				3,715
CORPORATE BONDS & NOTES 14.9%
Banking & Finance 12.6%
American Express Bank FSB
5.380% due 06/22/2009		2,740		2,743
ANZ National International Ltd.
5.396% due 08/07/2009		3,200		3,200
Bank of America Corp.
5.366% due 11/06/2009		2,000		2,000
Bank of America N.A.
5.355% due 07/25/2008		6,300		6,304
5.360% due 02/27/2009		4,000		4,003
Bank of Ireland
5.370% due 12/19/2008		4,900		4,906
Citigroup Funding, Inc.
5.350% due 12/08/2008		3,100		3,102
5.360% due 06/26/2009		2,200		2,199
Citigroup Global Markets Holdings, Inc.
5.460% due 03/17/2009		20,700		20,731
Citigroup, Inc.
5.390% due 12/28/2009		2,100		2,102
6.200% due 03/15/2009		110		111
Credit Agricole S.A.
5.360% due 05/28/2009		2,500		2,501
5.410% due 05/28/2010		2,900		2,902
General Electric Capital Corp.
5.390% due 01/05/2009		12,000		12,010
5.410% due 10/06/2010		5,300		5,304
5.428% due 01/20/2010		14,200		14,229
5.430% due 08/15/2011		100		100
6.500% due 12/10/2007		100		100
GMAC LLC
6.000% due 12/15/2011		500		476
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		12,300		12,304
5.410% due 03/30/2009		6,800		6,805
HSBC Finance Corp.
5.415% due 10/21/2009		2,300		2,301
ICICI Bank Ltd.
5.895% due 01/12/2010		4,700		4,711
Lehman Brothers Holdings, Inc.
5.370% due 11/24/2008		4,600		4,602
5.445% due 01/23/2009		2,000		2,002
5.460% due 11/16/2009		9,600		9,609
5.500% due 05/25/2010		2,500		2,500
Longpoint Re Ltd.
10.609% due 05/08/2010		1,300		1,300
Merrill Lynch & Co., Inc.
5.390% due 12/22/2008		12,500		12,503
5.440% due 12/04/2009		3,700		3,702
Morgan Stanley
5.446% due 01/15/2010		9,700		9,706
Mystic Re Ltd.
11.660% due 12/05/2008		4,100		4,076
15.360% due 06/07/2011		1,500		1,504
Osiris Capital PLC
10.356% due 01/15/2010		1,600		1,616
Petroleum Export Ltd.
5.265% due 06/15/2011		581		567
Phoenix Quake Ltd.
7.800% due 07/03/2008		700		704
Phoenix Quake Wind I Ltd.
7.800% due 07/03/2008		600		602
Phoenix Quake Wind II Ltd.
8.850% due 07/03/2008		300		285
Residential Reinsurance 2007 Ltd.
15.610% due 06/07/2010		500		500
Santander U.S. Debt S.A. Unipersonal
5.370% due 11/20/2008		1,500		1,501
5.420% due 09/19/2008		12,600		12,613
Wachovia Corp.
5.410% due 12/01/2009		6,000		6,007
Westpac Banking Corp.
5.280% due 06/06/2008		2,000		2,000
				193,043
Industrials 2.2%
DaimlerChrysler N.A. Holding Corp.
5.790% due 03/13/2009		15,800		15,873
HJ Heinz Co.
6.428% due 12/01/2008		800		808
Pemex Project Funding Master Trust
9.500% due 09/15/2027		600		808
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		1,900		2,097
Tennessee Gas Pipeline Co.
7.000% due 03/15/2027		7,800		8,063
Time Warner, Inc.
5.590% due 11/13/2009		2,700		2,704
Transocean, Inc.
5.560% due 09/05/2008		3,400		3,403
				33,756
Utilities 0.1%
AT&T, Inc.
5.456% due 02/05/2010		1,700		1,703
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		461		461
				2,164
Total Corporate Bonds & Notes (Cost $228,645)				228,963
MUNICIPAL BONDS & NOTES 0.1%
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.250% due 06/01/2019		1,500		1,548
Total Municipal Bonds & Notes (Cost $1,493)				1,548
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley
0.000% due 07/07/2008		4,000		3,977
Total Commodity Index-Linked Notes (Cost $4,000)				3,977
U.S. GOVERNMENT AGENCIES 59.9%
Fannie Mae
4.833% due 06/01/2035		15,068		14,932
5.000% due 12/01/2013 - 03/01/2036		480,212		464,635
5.500% due 03/01/2016 - 02/01/2035		281,813		273,350
5.659% due 01/01/2027		114		115
5.720% due 11/25/2032		11		11
6.000% due 09/25/2016 - 08/01/2036		8,968		8,986
6.130% due 10/01/2008		149		149
6.325% due 04/01/2008		275		276
6.500% due 01/01/2013 - 06/25/2044		14,214		13,709
7.000% due 05/01/2012 - 05/01/2032		279		288
7.500% due 03/01/2015 - 07/25/2041		398		415
8.000% due 09/01/2008 - 08/01/2031		109		114
12.000% due 05/01/2016		3		3
Federal Housing Administration
7.430% due 04/01/2022 - 06/01/2023		295		297
Freddie Mac
4.000% due 05/01/2019		144		134
4.500% due 05/01/2018 - 05/01/2034		1,020		968
5.000% due 04/15/2016 - 09/01/2035		14,354		14,059
5.470% due 07/15/2019 - 10/15/2020		55,700		55,652
5.500% due 06/01/2017 - 10/01/2034		2,264		2,212
5.550% due 07/15/2037		19,300		19,299
6.000% due 09/01/2013 - 07/01/2037		4,243		4,220
6.500% due 07/25/2043		6		6
7.000% due 04/01/2032		42		43
7.500% due 05/01/2015		2		2
8.000% due 01/01/2012		8		8
8.500% due 04/15/2025		352		352
Ginnie Mae
5.000% due 09/15/2017 - 12/15/2017		158		154
5.125% due 12/20/2017 - 11/20/2025		38		39
5.500% due 01/15/2017 - 09/20/2034		13,467		12,645
5.770% due 10/16/2030		49		49
5.920% due 02/16/2030		784		795
5.970% due 02/16/2030		543		551
6.000% due 07/20/2015 - 08/20/2034		174		173
6.125% due 11/20/2017		38		39
6.375% due 03/20/2020 - 03/20/2028		381		385
6.500% due 01/20/2034 - 08/20/2034		134		136
7.000% due 07/15/2031 - 12/15/2032		124		129
7.500% due 03/15/2008 - 01/15/2031		597		618
8.000% due 04/15/2017 - 11/15/2022		1,385		1,455
8.500% due 02/15/2008		4		4
9.000% due 06/15/2009 - 10/15/2017		54		55
9.500% due 08/15/2021 - 12/15/2021		20		22
Housing Urban Development
5.070% due 08/01/2015		2,000		1,937
5.290% due 08/01/2017		5,000		4,847
Small Business Administration
4.340% due 03/01/2024		75		70
4.504% due 02/10/2014		68		65
4.750% due 07/01/2025		18,430		17,496
5.130% due 09/01/2023		19		19
6.090% due 07/01/2011		87		88
6.640% due 02/01/2011		2,647		2,694
7.449% due 08/01/2010		1,143		1,159
Total U.S. Government Agencies (Cost $947,561)				919,859
U.S. TREASURY OBLIGATIONS 0.0%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2026		312		283
Total U.S. Treasury Obligations (Cost $313)				283
MORTGAGE-BACKED SECURITIES 2.5%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		2,546		2,494
Banc of America Funding Corp.
4.113% due 05/25/2035		3,728		3,651
Bear Stearns Adjustable Rate Mortgage Trust
5.329% due 02/25/2033		317		321
5.626% due 02/25/2033		304		302
Bear Stearns Alt-A Trust
5.377% due 05/25/2035		5,157		5,135
Countrywide Alternative Loan Trust
6.000% due 10/25/2032		3		3
Countrywide Home Loan Mortgage Pass-Through Trust
5.590% due 05/25/2034		1		1
5.610% due 04/25/2035		502		504
CS First Boston Mortgage Securities Corp.
5.953% due 03/25/2032		122		122
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		9,700		9,711
Indymac ARM Trust
6.678% due 01/25/2032		121		121
Prime Mortgage Trust
5.720% due 02/25/2019		182		182
5.720% due 02/25/2034		823		826
Structured Asset Securities Corp.
6.063% due 02/25/2032		44		44
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		2,896		2,896
Wachovia Bank Commercial Mortgage Trust
5.400% due 06/15/2020		4,500		4,501
Washington Mutual, Inc.
4.816% due 10/25/2032		3		3
5.094% due 10/25/2032		287		286
5.474% due 02/27/2034		9		9
5.610% due 10/25/2045		1,213		1,216
6.229% due 11/25/2042		625		625
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		5,774		5,697
Total Mortgage-Backed Securities (Cost $38,803)				38,650
ASSET-BACKED SECURITIES 0.8%
Asset-Backed Funding Certificates
5.380% due 01/25/2037		2,487		2,488
Brazos Student Finance Corp.
5.770% due 06/01/2023		915		919
First USA Credit Card Master Trust
5.480% due 04/18/2011		6,800		6,818
Fremont Home Loan Owner Trust
6.110% due 12/25/2029		270		270
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		1,771		1,772
Long Beach Mortgage Loan Trust
5.600% due 10/25/2034		343		344
Total Asset-Backed Securities (Cost $12,597)				12,611
SOVEREIGN ISSUES 0.5%
Hydro Quebec
5.398% due 09/29/2049		5,000		4,724
	Shares
Mexico Government International Bond Rights
0.000% due 06/30/2007		22,000,000		163
	Principal Amount (000s)
Peru Government International Bond
9.125% due 01/15/2008	$	2,545		2,583
Total Sovereign Issues (Cost $7,147)				7,470
FOREIGN CURRENCY-DENOMINATED ISSUES 0.8%
Banque Centrale de Tunisie
7.500% due 08/06/2009	EUR	6,000		8,527
JSG Holding PLC
6.718% due 11/29/2014		108		148
6.835% due 11/29/2014		396		542
6.862% due 11/29/2014		122		168
6.898% due 11/29/2014		211		289
6.944% due 11/29/2014		163		223
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	800		825
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	200,000		1,633
Total Foreign Currency-Denominated Issues (Cost $9,464)				12,355
		Shares
PREFERRED STOCKS 0.6%
DG Funding Trust
7.600% due 12/31/2049		912		9,502
Total Preferred Stocks (Cost $9,440)				9,502
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 18.9%
Certificates of Deposit 6.2%
BNP Paribas
5.262% due 05/28/2008	$	2,600		2,601
5.262% due 07/03/2008		13,600		13,597
Calyon Financial, Inc.
5.340% due 01/16/2009		4,800		4,801
Fortis Bank NY
5.265% due 04/28/2008		6,400		6,403
5.265% due 06/30/2008		2,600		2,601
Nordea Bank Finland PLC
5.308% due 05/28/2008		2,500		2,502
Royal Bank of Canada
5.267% due 06/30/2008		6,700		6,706
Royal Bank of Scotland Group PLC
5.262% due 07/03/2008		9,300		9,300
5.265% due 03/26/2008		6,600		6,600
Skandinav Enskilda BK
5.350% due 02/13/2009		4,490		4,494
Societe Generale NY
5.270% due 03/26/2008		6,600		6,600
5.271% due 06/30/2008		12,600		12,605
Unicredito Italiano NY
5.358% due 05/06/2008		16,200		16,204
				95,014
Commercial Paper 11.1%
Cox Communications, Inc.
5.570% due 09/17/2007		2,600		2,600
Dexia Delaware LLC
5.245% due 09/21/2007		72,400		71,493
Freddie Mac
4.800% due 07/02/2007		31,000		31,000
Svenska Handelsbanken, Inc.
5.203% due 10/09/2007		42,600		42,292
UBS Finance Delaware LLC
5.145% due 10/23/2007		15,000		14,936
Westpac Banking Corp.
5.170% due 11/05/2007		8,200		8,068
				170,389
Tri-Party Repurchase Agreements 0.5%
State Street Bank and Trust Co.
4.900% due 07/02/2007		8,110		8,110
(Dated 06/29/2007. Collateralized by Freddie Mac 5.000% due 06/11/2009 valued at $8,275. Repurchase proceeds are $8,113.)
U.S. Treasury Bills 1.1%
4.625% due 08/30/2007 - 09/13/2007 (a)(c)(e)		16,800		16,639
Total Short-Term Instruments (Cost $290,176)				290,152
Purchased Options (g) 0.1% (Cost $4,533)				1,822
Total Investments (d) 99.6% (Cost $1,557,887)			$	1,530,907
Written Options (h) (0.1%) (Premiums $3,858)				(1,189	)
Other Assets and Liabilities (Net) 0.5%				7,334
Net Assets 100.0%			$	1,537,052

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 $742 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $87,764 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $15,651 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	555	$	(790	)
90-Day Euribor December Futures	Long	12/2008	219		(491	)
90-Day Euribor June Futures	Long	06/2008	357		(771	)
90-Day Euribor March Futures	Long	03/2008	101		(200	)
90-Day Euribor September Futures	Long	09/2008	219		(504	)
90-Day Eurodollar December Futures	Long	12/2007	2,638		(2,412	)
90-Day Eurodollar December Futures	Long	12/2008	253		36
90-Day Eurodollar March Futures	Long	03/2008	5,348		(5,748	)
90-Day Eurodollar March Futures	Long	03/2009	31		(45	)
90-Day Eurodollar September Futures	Long	09/2008	213		23
90-Day Euroyen December Futures	Long	12/2007	260		(28	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	1,000		1,356
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	126		(268	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	631		(917	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	42		(56	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	138		(297	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	523		(808	)
				$	(11,920	)

(f) Swap agreements outstanding on June 30, 2007:

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	Buy	(0.650	%)	12/20/2016	$	4,000	$	35
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		4,000		27
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		900		(1	)
Credit Suisse First Boston	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.650	%	09/20/2010		1,000		109
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		2,200		10
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.360	%	05/20/2009		2,000		0
JPMorgan Chase & Co.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.250	%	01/20/2017		700		16
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		1,800		(1	)
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		19
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		400		0
Morgan Stanley	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.050	%	09/20/2008		3,400		(7	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011		5,700		75
								$	282

⁽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	7.000	%	12/15/2009	AUD	4,600	$	(2	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	7,400		43
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		1,900		13
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		4,800		32
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		2,900		59
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		3,200		58
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	500		(5	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		5,100		61
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		8,200		165
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		4,500		(32	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		1,100		(10	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		3,500		(32	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		2,500		(26	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		900		(8	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		700		(7	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,400		23
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	11,400		(112	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		6,300		(91	)
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		1,300		(31	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		6,800		(69	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		9,700		981
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		8,200		(125	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		4,100		(273	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		5,800		(85	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	590,000		(13	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		4,590,000		(24	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		960,000		(14	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		330,000		(1	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		5,610,000		(81	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012	MXN	21,300		(18	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	25,000		(27	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		74,700		32
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		19,800		(150	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		36,500		(288	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		6,800		(44	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		3,000		48
								$	(53	)

(g) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar September Futures	$	90.250	09/17/2007	660	$	6	$	0
Put - CME 90-Day Eurodollar September Futures		91.000	09/17/2007	824		8		0
					$	14	$	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	%	07/02/2007	EUR	15,000	$	69	$	0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007	$	18,000		79		1
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		97,000		460		191
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		69,000		383		85
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		14,100		50		28
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	07/02/2007		51,000		211		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		80,000		208		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		72,000		163		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/08/2007		110,000		140		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		131,000		650		210
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		186,900		1,092		231
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		117,900		423		399
									$	3,928	$	1,145

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	103.800	03/17/2010	$	1,000	$	43	$	77
Put - OTC U.S. dollar versus Japanese yen		103.800	03/17/2010		1,000		44		25
Call - OTC U.S. dollar versus Japanese yen		104.650	03/31/2010		1,000		45		71
Put - OTC U.S. dollar versus Japanese yen		104.650	03/31/2010		1,000		39		27
Call - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		1,000		42		68
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		1,000		42		28
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		4,000		168		268
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		4,000		168		113
						$	591	$	677

(h) Written options outstanding on June 30, 2007:

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	%	07/02/2007	EUR	6,000	$	72	$	0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	42,000		462		212
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		30,000		366		92
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		6,100		52		31
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	07/02/2007		17,700		191		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	07/02/2007		21,900		229		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		12,000		139		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		21,000		140		1
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	08/08/2007		6,000		68		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		57,000		684		204
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		43,700		582		133
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		38,000		468		130
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		39,300		405		386
									$	3,858	$	1,189

(i) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	07/01/2037	$	16,000	$	15,540	$	15,433
U.S. Treasury Notes	4.625	%	02/15/2017		5,200		5,057		5,131
						$	20,597	$	20,564

⁽²⁾ Market value includes $94 of interest payable on short sales.

(j) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	5,865	07/2007	$	35	$	0		$	35
Sell		75	07/2007		0		(1	)		(1	)
Buy	BRL	38,966	10/2007		681		0			681
Buy		29,098	03/2008		963		0			963
Buy	CAD	3,937	08/2007		16		0			16
Buy	CLP	449,507	03/2008		0		(2	)		(2	)
Buy	CNY	2,113	09/2007		6		0			6
Sell		2,113	09/2007		0		0			0
Buy		24,621	11/2007		26		0			26
Sell		24,621	11/2007		2		(6	)		(4	)
Buy		16,396	01/2008		0		(15	)		(15	)
Sell		16,396	01/2008		1		(2	)		(1	)
Sell	EUR	5,997	07/2007		0		(78	)		(78	)
Sell	GBP	6,384	08/2007		0		(67	)		(67	)
Buy	IDR	10,231,200	05/2008		0		(48	)		(48	)
Buy	INR	89,681	10/2007		10		(1	)		9
Buy		5,393	11/2007		0		(1	)		(1	)
Buy		302,357	05/2008		69		0			69
Sell	JPY	508,913	07/2007		60		0			60
Buy	KRW	2,208,984	07/2007		16		0			16
Sell		306,016	07/2007		0		(2	)		(2	)
Buy		2,500,496	08/2007		0		(1	)		(1	)
Buy		3,744,611	09/2007		23		0			23
Sell		694,393	09/2007		0		(13	)		(13	)
Buy	MXN	15,058	09/2007		20		0			20
Buy		59,185	03/2008		48		(1	)		47
Buy	MYR	7,079	05/2008		0		(47	)		(47	)
Buy	NZD	783	07/2007		15		0			15
Buy	PHP	166,018	05/2008		0		(46	)		(46	)
Buy	PLN	14,395	09/2007		96		(1	)		95
Buy		2,306	03/2008		10		0			10
Buy	RUB	36,547	09/2007		18		0			18
Buy		48,596	11/2007		49		0			49
Buy		149,588	12/2007		133		0			133
Buy		148,624	01/2008		26		0			26
Buy	SEK	7,624	09/2007		13		0			13
Buy	SGD	7,190	07/2007		0		(31	)		(31	)
Sell		4,162	07/2007		0		(16	)		(16	)
Buy		2,828	08/2007		9		(8	)		1
Buy		688	09/2007		0		(2	)		(2	)
Buy		8,096	10/2007		22		(2	)		20
Buy	ZAR	504	09/2007		1		0			1
Buy		548	03/2008		0		(1	)		(1	)
				$	2,368	$	(392	)	$	1,976

See accompanying notes

Schedule of Investments

Money Market Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 5.7%
Banking & Finance 5.7%
American Honda Finance Corp.
5.465% due 10/22/2007	$	3,300	$	3,302
Bear Stearns Cos., Inc.
5.420% due 01/15/2008		3,200		3,202
CIT Group, Inc.
5.600% due 11/23/2007		2,500		2,503
Lehman Brothers Holdings, Inc.
5.385% due 07/19/2007		3,400		3,400
Morgan Stanley
5.482% due 11/09/2007		3,500		3,502
Wachovia Bank N.A.
5.310% due 11/30/2007		3,000		3,000
World Savings Bank FSB
5.360% due 10/19/2007		1,200		1,200
				20,109
Total Corporate Bonds & Notes (Cost $20,109)				20,109
SHORT-TERM INSTRUMENTS 95.2%
Certificates of Deposit 10.8%
Barclays Bank PLC
5.281% due 03/17/2008		3,400		3,400
BNP Paribas
5.262% due 04/03/2008		6,900		6,898
Dexia Credit Local S.A.
5.278% due 01/25/2008		13,000		13,000
Royal Bank of Canada
5.265% due 04/16/2008		3,500		3,499
Royal Bank of Scotland Group PLC
5.265% due 03/26/2008		3,500		3,499
Skandinav Enskilda BK
5.272% due 08/21/2008		4,700		4,700
Societe Generale NY
5.265% due 09/21/2007		3,200		3,200
				38,196
Commercial Paper 84.3%
ANZ National International Ltd.
5.165% due 09/19/2007		6,400		6,340
Bank of America Corp.
5.245% due 10/04/2007		14,500		14,329
Bank of Ireland
5.230% due 11/08/2007		14,400		14,383
CBA (de) Finance
5.255% due 09/28/2007		14,600		14,496
Danske Corp.
5.165% due 10/12/2007		2,800		2,759
Dexia Delaware LLC
5.225% due 09/21/2007		12,900		12,840
DnB NORBank ASA
5.170% due 10/12/2007		11,700		11,529
Eksportfinans A/S
5.290% due 07/02/2007		14,400		14,400
Export Development Corp.
5.190% due 12/27/2007		9,500		9,256
Fannie Mae
5.100% due 07/18/2007		22,000		21,950
Freddie Mac
5.050% due 08/20/2007		6,000		5,959
5.065% due 01/11/2008		12,500		12,161
General Electric Capital Corp.
5.155% due 02/29/2008		10,000		9,653
5.200% due 11/06/2007		8,000		7,968
HBOS Treasury Services PLC
5.155% due 11/13/2007		9,100		8,925
Intesa Funding LLC
5.265% due 09/05/2007		10,000		9,988
Natixis S.A.
5.260% due 09/21/2007		15,000		14,947
Nordea N.A., Inc.
5.170% due 07/26/2007		14,300		14,281
Rabobank USA Financial Corp.
5.330% due 07/26/2007		3,300		3,300
Societe Generale NY
5.225% due 11/26/2007		7,000		6,978
Statens Bostadsfin Bank
5.190% due 09/14/2007		14,200		14,108
Svenska Handelsbanken, Inc.
5.205% due 10/09/2007		5,000		4,972
5.225% due 08/06/2007		7,200		7,169
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		17,100		17,100
Toyota Motor Credit Corp.
5.170% due 09/14/2007		14,200		14,049
5.220% due 09/14/2007		3,400		3,398
UBS Finance Delaware LLC
5.270% due 10/23/2007		9,800		9,789
Unicredito Italiano SpA
5.125% due 01/22/2008		11,000		10,681
Westpac Trust Securities NZ Ltd.
5.210% due 10/19/2007		2,000		1,968
				299,676
REPURCHASE AGREEMENTS 0.1%
State Street Bank and Trust Co.
4.900% due 07/02/2007		521		521
(Dated 06/29/2007. Collateralized by Fannie Mae 4.250% due 05/15/2009 valued at $533. Repurchase proceeds are $521.)
Total Short-Term Instruments (Cost $338,393)				338,393
Total Investments 100.9% (Cost $358,502)			$	358,502
Other Assets and Liabilities (Net) (0.9%)				(3,143	)
Net Assets 100.0%			$	355,359

See accompanying notes

Schedule of Investments

Municipal Bond Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 98.4%
Alabama 1.3%
Alabama State 21st Century Authority Revenue Bonds, Series 2001
5.750% due 12/01/2018	$	2,295	$	2,418
Jefferson County, Alabama Limited Obligation Revenue Bonds, Series 2004
5.250% due 01/01/2019		3,300		3,461
				5,879
Alaska 0.5%
Alaska State Housing Finance Corporations Revenue Bonds, (MBIA Insured), Series 2002
5.250% due 06/01/2032		540		545
Anchorage, Alaska General Obligation Bonds, (FGIC Insured), Series 2006
5.000% due 10/01/2018		1,480		1,558
				2,103
Arizona 1.3%
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2005
4.750% due 01/01/2035		2,000		1,997
Arizona State Water Infrastructure Finance Authority Revenue Bonds, Series 2004
5.000% due 10/01/2014		3,000		3,183
Phoenix, Arizona Industrial Development Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2000
5.875% due 06/01/2016		15		15
Pima County, Arizona Industrial Development Authority Revenue Bonds, (HUD Sector 8 Insured), Series 1998
5.375% due 06/01/2010		855		881
				6,076
Arkansas 0.4%
Jefferson County, Arkansas Pollution Revenue Bonds, Series 2006
4.600% due 10/01/2017		2,000		1,995
California 18.3%
Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997
0.000% due 09/01/2035		4,000		1,004
Bakersfield, California Certificates of Participation Bonds, Series 1991
0.000% due 04/15/2021		5,000		2,683
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		2,638
California State General Obligation Bonds, Series 2004
3.760% due 05/01/2034		800		800
California State University Revenue Bonds, (FSA Insured), Series 2007
4.500% due 11/01/2044		5,000		4,691
California Statewide Communities Development Authority Revenue Bonds, (California Mortgage Insured), Series 2001
5.000% due 10/01/2018		1,500		1,538
Culver, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2023		630		651
Foothill, California Eastern Transportation Corridor Agency Revenue Bonds, (MAIA-IBC Insured), Series 1999
0.000% due 01/15/2026 (b)		1,565		1,515
Foothill, California Eastern Transportation Corridor Agency Revenue Bonds, Series 1995
0.000% due 01/01/2026		1,000		421
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
6.250% due 06/01/2033		39,370		42,867
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.125% due 06/01/2047		2,000		1,942
Hacienda La Puente, California Unified School District General Obligation Bonds, (FGIC Insured), Series 2005
5.000% due 08/01/2022		1,480		1,582
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2031		3,010		923
Indian Wells, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2006
4.750% due 09/01/2034		5,850		5,854
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
4.750% due 07/01/2039		5,235		5,226
Metropolitan Water District of Southern California State Revenue Bonds, Series 2006
4.750% due 07/01/2036		3,000		3,009
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2015		2,890		2,060
0.000% due 08/01/2016		1,400		949
Poway, California Unified School District Special Tax Bonds, Series 2005
4.700% due 09/01/2016		940		944
4.800% due 09/01/2017		875		880
Poway, California Unified School District Special Tax Notes, Series 2005
4.600% due 09/01/2015		420		421
San Ramon Valley, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 07/01/2018		2,385		1,466
South Tahoe, California Joint Powers Financing Authority Revenue Notes, Series 2003
5.125% due 10/01/2009		1,000		1,002
				85,066
Colorado 0.6%
Black Hawk, Colorado Revenue Bonds, Series 2006
5.000% due 12/01/2021		200		201
Colorado Health Facilities Authority Revenue Bonds, Series 2006
5.250% due 06/01/2036		1,000		1,021
Colorado State Housing & Finance Authority Revenue Bonds, (FHA/VA Mortgages Insured), Series 2000
5.700% due 10/01/2022		40		40
Colorado State Housing & Finance Authority Revenue Bonds, Series 2000
6.700% due 10/01/2016		30		30
6.750% due 04/01/2015		45		46
Denver, Colorado Health & Hospital Authority Revenue Bonds, Series 1998
5.000% due 12/01/2009		1,390		1,426
				2,764
Connecticut 1.4%
Connecticut State General Obligation Notes, Series 2001
5.500% due 06/15/2010		5,000		5,737
Hartford, Connecticut General Obligation Notes, (MBIA Insured), Series 2005
5.000% due 09/01/2013		500		527
				6,264
Florida 1.3%
Florida State Board of Education General Obligation Bonds, (ST-GTD Insured), Series 2005
4.750% due 06/01/2035		4,370		4,370
Orange County, Florida Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1996
6.250% due 10/01/2011		290		314
Orlando, Florida Waste Water System Revenue Bonds, Series 1997
9.894% due 10/01/2015		500		499
Tampa, Florida Guaranteed Entitlement Revenue Bonds, (AMBAC Insured), Series 2001
6.000% due 10/01/2018		800		923
				6,106
Georgia 0.8%
Atlanta, Georgia Metropolitan Rapid Transit Authority Revenue Notes, (AMBAC Insured), Series 2006
5.000% due 07/01/2014		2,050		2,171
Georgia State Municipal Electric Authority Revenue Bonds, (FGIC-TCRS Insured), Series 1993
5.500% due 01/01/2012		1,255		1,307
Georgia State Municipal Electric Authority Revenue Bonds, (MBIA-IBC Insured), Series 1997
6.500% due 01/01/2012		200		211
				3,689
Hawaii 1.4%
Hawaii State Housing Financial & Development Corporations Revenue Bonds, (FNMA Insured), Series 1998
4.850% due 07/01/2029		35		35
Honolulu, Hawaii City & County General Obligation Bonds, (MBIA-IBC Insured), Series 1993
5.450% due 09/11/2008		1,000		1,019
Honolulu, Hawaii City & County General Obligation Notes, (MBIA Insured), Series 2005
5.000% due 07/01/2014		5,000		5,284
				6,338
Illinois 4.5%
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2020		1,000		544
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1999
0.000% due 12/01/2031		1,000		308
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001
0.000% due 01/01/2020 (b)		1,290		1,165
Chicago, Illinois Waste & Water Revenue Bonds, (MBIA Insured), Series 1998
0.000% due 01/01/2021		2,000		1,070
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		1,234
Cook County, Illinois School District No. 122-Oak Lawn General Obligation Bonds, (FGIC Insured), Series 2000
0.000% due 12/01/2016		2,570		1,699
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		1,280
Cook County, Illinois Township High School District No. 225-Northfield General Obligation Notes, Series 2002
0.000% due 12/01/2011		125		103
Fox Lake, Illinois Water & Sewer Revenue Bonds, (AMBAC Insured), Series 1996
5.750% due 05/01/2013		275		275
Illinois State Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1992
6.250% due 09/01/2021		695		796
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		697
Kendall, Kane & Will Counties, Illinois High School Districts General Obligation Notes, (FSA Insured), Series 2003
0.000% due 10/01/2012		3,000		2,413
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		3,540
Lake County, Illinois Community High School District No.127-Grayslake General Obligation Notes, (FGIC Insured), Series 2002
9.000% due 02/01/2009		650		701
9.000% due 02/01/2011		690		802
9.000% due 02/01/2012		1,065		1,280
Sangamon County, Illinois School District No. 186 Springfield General Obligation Notes, (FGIC Insured), Series 2004
0.000% due 10/01/2009		1,000		903
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		1,941
				21,039
Indiana 3.3%
Brownsburg, Indiana 1999 School Building Corporations Revenue Bonds, (AMBAC Insured), Series 2002
5.375% due 02/01/2023		1,395		1,475
Danville, Indiana Multi-School Building Corporation Revenue Bonds, (FSA State Aid Withholding Insured), Series 2001
4.250% due 07/15/2011		290		293
4.400% due 01/15/2012		170		172
4.500% due 01/15/2013		190		193
4.650% due 01/15/2014		210		214
4.750% due 07/15/2009		200		203
4.750% due 01/15/2015		235		240
4.850% due 01/15/2016		295		302
5.000% due 07/15/2010		180		184
Hamilton, Indiana Southeastern Consolidated School Building Revenue Notes, (FSA State Aid Withholding Insured), Series 2001
5.000% due 07/15/2010		760		776
Indiana State Development Finance Authority Revenue Bonds, Series 2005
5.000% due 06/01/2022		1,590		1,638
Indiana State Health Facility Financing Authority Revenue Notes, Series 2005
5.000% due 11/01/2010		5,300		5,455
Indianapolis, Indiana Local Public Improvement Revenue Bonds, Series 1992
6.750% due 02/01/2014		1,000		1,107
Mishawaka, Indiana School Building Corp. Revenue Bonds, (FSA Insured), Series 2006
4.250% due 01/15/2026		1,325		1,210
South Bend, Indiana Redevelopment Authority Revenue Bonds, Series 2000
5.100% due 02/01/2011		405		418
5.200% due 02/01/2012		230		239
5.500% due 02/01/2015		180		189
Tri-Creek School Building Corp., Indiana Revenue Bonds, (FSA Insured), Series 2007
4.250% due 07/15/2020		1,000		950
				15,258
Kansas 0.1%
Lenexa, Kansas Revenue Notes, Series 2007
5.125% due 05/15/2015		575		585
Kentucky 0.2%
Kentucky State Development Finance Authority Hospital Revenue Bonds, Series 1989
6.000% due 10/01/2019		680		739
Louisiana 2.8%
Louisiana State General Obligation Bonds, (FGIC Insured), Series 2002
5.000% due 04/01/2019 (c)		5,000		5,155
Louisiana State Local Government Environmental Facilities & Community Development Authority Revenue Bonds, (MBIA Insured), Series 2000
5.700% due 01/01/2010		140		144
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		2,000		2,129
5.875% due 05/15/2039 (c)		5,000		5,323
6.763% due 05/15/2039		285		319
				13,070
Maryland 0.9%
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, 2007
5.000% due 07/01/2027		4,000		4,009
Massachusetts 2.0%
Commonwealth of Massachusetts State General Obligation Bonds, (FSA Insured), Series 2006
3.810% due 11/01/2019		5,090		4,944
Commonwealth of Massachusetts State Revenue Bonds, (FGIC Insured), Series 2004
5.594% due 01/01/2017		1,000		1,057
Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 2005
5.000% due 03/01/2035		1,000		1,000
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		170		171
Massachusetts State Development Finance Agency Revenue Notes, Series 1998
4.700% due 11/01/2007		210		210
Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2001
6.000% due 07/01/2014		500		541
Massachusetts State School Building Authority Revenue Notes, (FSA Insured), Series 2005
5.000% due 08/15/2014		1,280		1,353
				9,367
Michigan 1.8%
Lake Fenton, Michigan Community Schools General Obligation Bonds, (Q-SBLF Insured), Series 2002
5.000% due 05/01/2022		2,720		2,836
Michigan State General Obligation Bonds, Series 1992
6.250% due 11/01/2012		3,100		3,328
Michigan State Hospital Finance Authority Revenue Bonds, Series 1999
6.125% due 11/15/2026		50		53
Michigan State Public Power Agency Revenue Bonds, (AMBAC Insured), Series 2001
5.250% due 01/01/2015		1,000		1,054
Rochester, Michigan Community School District General Obligation Notes, (FSA Q-SBLF Insured), Series 2004
5.000% due 05/01/2012		1,000		1,044
				8,315
Minnesota 1.1%
Rochester, Minnesota Revenue Bonds, Series 2006
5.000% due 11/15/2036		5,000		5,046
Missouri 3.1%
Lees Summit, Missouri Strother Interchange Transportation Development District Revenue Bonds, Series 2006
5.000% due 05/01/2024		500		504
Missouri State Development Finance Board Revenue Bonds, Series 2007
5.000% due 11/01/2022		2,000		2,003
Missouri State Development Finance Board Revenue Notes, Series 2007
5.000% due 11/01/2014		1,035		1,055
5.000% due 11/01/2015		540		550
Missouri State Environmental Improvement & Energy Resources Revenue Bonds, Series 2000
5.750% due 07/01/2014		350		368
Missouri State Housing Development Commission Revenue Bonds, (FHA Insured), Series 2001
5.250% due 12/01/2016		555		571
Springfield, Missouri Revenue Bonds, (FGIC Insured), Series 2006
4.750% due 08/01/2034		8,200		8,236
St. Louis County, Missouri Industrial Development Authority Revenue Bonds, Series 2005
5.000% due 11/01/2024		1,250		1,257
				14,544
Nevada 1.4%
Clark County, Nevada School District General Obligation Bonds, (FSA Insured), Series 2004
5.000% due 06/15/2014		5,180		5,469
Nevada State General Obligation Notes, (MBIA Insured), Series 2006
5.000% due 07/01/2016		1,000		1,062
				6,531
New Hampshire 0.1%
New Hampshire State Health & Education Facilities Authority Revenue Bonds, Series 2007
3.740% due 06/01/2041		400		400
New Jersey 7.3%
Camden County, New Jersey Improvement Authority Revenue Notes, Series 2005
5.250% due 02/15/2009		550		556
5.250% due 02/15/2010		570		581
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
0.000% due 04/01/2013		1,595		1,254
5.600% due 01/01/2012		1,000		1,004
6.000% due 11/01/2028		3,500		3,529
6.375% due 04/01/2018		1,500		1,701
6.375% due 04/01/2031		10,000		11,342
6.500% due 04/01/2031		2,115		2,458
6.800% due 04/01/2018		710		802
New Jersey State Economic Development Authority Revenue Bonds, Series 1999
6.625% due 09/15/2012		3,500		3,737
New Jersey State General Obligation Bonds, Series 1992
6.000% due 02/15/2011		510		545
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.125% due 06/01/2024		3,500		3,709
6.375% due 06/01/2032		1,000		1,115
New Jersey State Transportation Trust Fund Authority Revenue Bonds, (MBIA Insured), Series 2004
5.500% due 12/15/2015		1,500		1,647
				33,980
New York 8.3%
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
4.811% due 09/01/2015		3,000		2,990
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2001
5.250% due 11/01/2015		2,000		2,113
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2018		1,150		1,211
New York City, New York General Obligation Bonds, Series 2004
5.000% due 08/01/2015		2,000		2,096
New York City, New York General Obligation Bonds, Series 2006
5.000% due 08/01/2022		4,000		4,153
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
2.798% due 03/01/2022		3,500		3,443
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.250% due 02/01/2029		5,275		5,487
New York State Dormitory Authority Revenue Bonds, (ACA Insured), Series 2000
5.850% due 07/01/2010		820		855
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.250% due 08/15/2015		2,500		2,738
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		3,800		4,105
New York State Dormitory Authority Revenue Bonds, Series 2006
5.000% due 12/15/2017		3,560		3,794
New York State Thruway Authority Revenue Bonds, Series 2007
5.000% due 04/01/2025		2,475		2,577
New York State Urban Development Corporations Revenue Bonds, Series 2002
5.500% due 01/01/2017		3,000		3,139
				38,701
North Carolina 1.0%
Durham, North Carolina General Obligation Bonds, Series 2002
5.000% due 04/01/2021		550		570
North Carolina State Eastern Municipal Power Agency Revenue Bonds, Series 1993
7.000% due 01/01/2008		1,000		1,015
North Carolina State Medical Care Commission Revenue Bonds, Series 2006
5.000% due 11/01/2039		3,000		3,033
				4,618
Ohio 1.9%
Ohio State General Obligation Bonds, Series 2003
5.000% due 03/15/2014		5,255		5,541
Ohio State Water Development Authority Revenue Bonds, Series 2002
5.375% due 12/01/2020		1,100		1,166
5.375% due 12/01/2021		1,750		1,855
				8,562
Oklahoma 1.0%
Oklahoma State Development Finance Authority Revenue Bonds, Series 1999
5.625% due 08/15/2029		4,100		4,285
Oklahoma State Housing Finance Agency Single-Family Revenue Bonds, Series 2001
0.000% due 09/01/2032		985		226
				4,511
Pennsylvania 0.4%
Allegheny County, Pennsylvania Hospital Development Authority Revenue Notes, Series 2005
4.500% due 04/01/2015		790		771
Delaware County, Pennsylvania Authority Hospital Revenue Bonds, Series 1998
4.900% due 12/01/2008		100		101
Delaware County, Pennsylvania Industrial Development Authority Revenue Bonds, Series 1997
6.500% due 01/01/2008		725		733
				1,605
Puerto Rico 0.5%
Commonwealth of Puerto Rico Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2008		1,500		1,519
Puerto Rico Children’s Trust Fund Revenue Bonds, Series 2000
6.000% due 07/01/2026		150		159
Puerto Rico Children’s Trust Fund Revenue Notes, Series 2000
5.750% due 07/01/2010		750		788
				2,466
Rhode Island 1.9%
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2032		2,300		2,437
6.250% due 06/01/2042		6,025		6,537
				8,974
South Carolina 1.0%
Greenville County, South Carolina School District Revenue Bonds, (FSA Insured), Series 2006
5.000% due 12/01/2020		2,395		2,523
South Carolina State General Obligation Notes, Series 2005
5.000% due 08/01/2014		1,065		1,131
South Carolina State Medical University Hospital Facilities Revenue Bonds, Series 1999
5.700% due 07/01/2012		1,000		1,044
				4,698
Tennessee 2.4%
Memphis, Tennessee General Obligation Bonds, (MBIA Insured), Series 2005
5.250% due 10/01/2018		2,000		2,183
Nashville & Davidson Counties, Tennessee Metropolitan Government Health & Educational Revenue Notes, (RADIAN Insured), Series 1998
4.450% due 08/01/2007		1,000		1,000
Shelby County, Tennessee General Obligation Bonds, Series 2001
5.000% due 04/01/2023		1,000		1,037
Sullivan County, Tennessee Health Educational & Housing Facilities Board Revenue Bonds, Series 2002
6.250% due 09/01/2022		1,000		1,109
Sullivan County, Tennessee Industrial Development Board Revenue Bonds, (GNMA Insured), Series 1995
6.250% due 07/20/2015		665		674
Tennessee State Energy Acquisition Corp Revenue Bonds, Series 2006
5.000% due 02/01/2027		5,000		5,145
				11,148
Texas 13.8%
Alliance, Texas Airport Authority Revenue Bonds, Series 2006
4.850% due 04/01/2021		1,000		994
Bastrop, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
5.650% due 02/15/2035		2,765		2,953
Bexar County, Texas Housing Finance Corporations Multi-Family Revenue Bonds, Series 2001
4.875% due 06/15/2011		525		539
Birdville, Texas Independent School District General Obligations Bonds, (PSF-GTD Insured), Series 2007
0.000% due 02/15/2024		2,260		989
Brazos River, Texas Authority Revenue Bonds, (MBIA Insured), Series 1998
4.900% due 10/01/2015		1,500		1,581
Denton, Texas Independent School District General Obligations Bonds, (PSF-GTD Insured), Series 2006
0.000% due 08/15/2025		5,800		2,353
Ennis, Texas Independent School District 903 General Obligation Bonds, (PSF-GTD Insured), Series 2006
0.000% due 08/15/2033		9,155		2,445
Harris County, Texas General Obligation Bonds, (MBIA-IBC Insured), Series 1997
5.100% due 08/15/2015		250		250
Houston, Texas Airport Systems Revenue Bonds, (FGIC Insured), Series 2000
5.950% due 07/01/2025		2,500		2,515
Houston, Texas Airport Systems Revenue Bonds, Series 2001
6.750% due 07/01/2029		1,000		1,066
Houston, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
5.250% due 02/15/2018		355		363
Houston, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2005
0.000% due 02/15/2015		8,640		6,208
Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 2001
5.500% due 12/01/2017		1,000		1,056
Lower Colorado River, Texas Authority Revenue Bonds, (MBIA Insured) Series 2006
4.750% due 05/15/2029		8,000		8,034
Midlothian, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
0.000% due 02/15/2018		20		10
Municipal Securities Trust Certificates, Texas Revenue Bonds, Series 2006
7.262% due 04/01/2024		1,255		1,323
North Texas State Health Facilities Development Corporations Revenue Bonds, (AMBAC Insured), Series 2002
5.500% due 08/15/2017		1,000		1,071
North Texas State University Revenue Bonds, (FSA Insured), Series 1999
5.375% due 04/15/2014		250		256
Pasadena, Texas General Obligation Bonds, (FGIC Insured), Series 2002
5.125% due 04/01/2024		1,750		1,820
Red River, Texas Education Finance Revenue Bonds, Series 2000
5.750% due 05/15/2017		750		787
Rio Grande, Texas Consolidated Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
5.875% due 08/15/2018		1,825		1,928
Sabine River, Texas Pollution Control Authority Revenue Bonds, Series 2001
5.500% due 05/01/2022		1,000		1,017
San Antonio, Texas Electricity & Gas Revenue Bonds, Series 1997
5.500% due 02/01/2015		975		1,062
San Jacinto, Texas Community College District General Obligation Bonds, (FGIC Insured), Series 2001
5.000% due 02/15/2021		225		233
Spring Branch, Texas Independent School District General Obligation Bonds, (FSA PSF-GTD Insured), Series 2007
4.500% due 02/01/2026		10,000		9,598
Texas State General Obligation Bonds, Series 2007
4.750% due 04/01/2034		10,000		9,939
Texas State Leander Independent School District General Obligation Bonds, (FGIC Insured), Series 2005
0.000% due 08/15/2023		1,195		537
Travis County, Texas Health Facilities Development Corporations Revenue Bonds, Series 1993
6.000% due 11/15/2022 (f)		1,400		1,498
University of Texas Revenue Notes, Series 2004
5.250% due 08/15/2012		1,000		1,056
Waxahachie, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
0.000% due 08/15/2022		1,000		493
				63,974
Utah 1.7%
Utah State Transit Authority Revenue Bonds, (MBIA Insured), Series 2007
0.000% due 06/15/2023		10,000		4,586
0.000% due 06/15/2029		10,000		3,354
				7,940
Virgin Islands 0.4%
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		1,500		1,647
Virginia 1.3%
Virginia State Housing Development Authority Revenue Bonds, (MBIA Insured), Series 2001
5.350% due 07/01/2031		1,000		1,028
Virginia State Public Building Authority Revenue Notes, Series 2005
5.000% due 08/01/2014		4,790		5,067
				6,095
Washington 3.1%
Snohomish County, Washington School District No. 2 Everett General Obligation Bonds, (FGIC Insured), Series 2006
5.000% due 12/01/2017		1,845		1,956
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2019		2,520		1,439
Washington State General Obligation Notes, (AMBAC Insured), Series 2004
0.000% due 12/01/2011		5,435		4,492
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.625% due 06/01/2032		5,000		5,445
Yakima County, Washington School District No. 208 General Obligation Bonds, (FSA Insured), Series 2007
5.000% due 12/01/2023		1,220		1,271
				14,603
West Virginia 0.6%
Berkeley Brooke & Fayette Counties, West Virginia Revenue Bonds, Series 1983
0.000% due 12/01/2014		4,115		2,983
Wisconsin 3.2%
Hudson, Wisconsin School District General Obligation Bonds, (FGIC Insured), Series 2002
5.000% due 10/01/2017		1,420		1,484
5.000% due 10/01/2019		1,040		1,087
South Milwaukee, Wisconsin School District General Obligation Notes, (FGIC Insured), Series 2002
3.750% due 04/01/2011		385		382
Wisconsin State Clean Water Revenue Bonds, Series 2002
5.000% due 06/01/2018		100		103
5.000% due 06/01/2019		100		103
5.000% due 06/01/2020		100		103
5.100% due 06/01/2021		100		104
5.100% due 06/01/2022		100		104
5.100% due 06/01/2023		100		103
5.250% due 06/01/2016		50		53
5.250% due 06/01/2017		50		53
Wisconsin State General Obligation Bonds, (FSA Insured), Series 2001
5.250% due 05/01/2020		3,000		3,157
Wisconsin State Housing & Economic Development Authority Revenue Bonds, (MBIA Insured), Series 2002
5.350% due 11/01/2022		4,725		4,859
Wisconsin State Housing & Economic Development Revenue Bonds, (MBIA Insured), Series 2002
4.700% due 05/01/2012		1,905		1,942
4.700% due 11/01/2012		1,225		1,255
				14,892
Total Municipal Bonds & Notes (Cost $453,148)				456,580
SHORT-TERM INSTRUMENTS 1.0%
Repurchase Agreements 0.9%
State Street Bank and Trust Co.
4.900% due 07/02/2007		4,058		4,058
(Dated 06/29/2007. Collateralized by Fannie Mae 3.250% due 08/15/2008 valued at $4,143. Repurchase proceeds are $4,060.)
U.S. Treasury Bills 0.1%
4.545% due 09/13/2007 (a)(d)		470		465
Total Short-Term Instruments (Cost $4,524)				4,523
Total Investments 99.4% (Cost $457,672)			$	461,103
Other Assets and Liabilities (Net) 0.6%				2,990
Net Assets 100.0%			$	464,093

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) 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.

(d) Securities with an aggregate market value of $465 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
U.S. Treasury 5-Year Note September Futures	Long	09/2007	100	$	(48	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	457		124
				$	76

(e) Swap agreements outstanding on June 30, 2007:

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	$	4,060

(f) Restricted securities as of June 30, 2007:

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	09/20/2002	$	1,501	$	1,498	0.32	%

See accompanying notes

Schedule of Investments

New York Municipal Bond Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 75.8%
Alabama 1.0%
Montgomery, Alabama Medical Clinic Board Revenue Bonds, Series 2006
4.750% due 03/01/2036	$	750	$	695
Arkansas 0.4%
University of Arkansas Revenue Bonds, (MBIA Insured), Series 2004
5.000% due 11/01/2034		250		257
California 2.6%
California Statewide Communities Development Authority Revenue Bonds, Series 2007
9.000% due 11/01/2017		300		302
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2029		1,490		506
Indian Wells, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2006
4.750% due 09/01/2034		1,000		1,001
				1,809
Illinois 0.7%
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		514
Indiana 0.7%
Mishawaka, Indiana School Building Corp. Revenue Bonds, (FSA Insured), Series 2006
4.250% due 01/15/2026		500		457
New York 62.3%
Amherst, New York General Obligation Notes, (FGIC Insured), Series 1999
5.500% due 12/01/2008		150		153
Buffalo, New York Fiscal Stability Authority Revenue Notes, (MBIA Insured), Series 2005
5.000% due 09/01/2014		1,040		1,102
Buffalo, New York Municipal Water Systems Finance Authority Revenue Bonds, (FSA Insured), Series 2002
5.000% due 07/01/2027		500		524
East Rochester, New York Housing Authority Revenue Bonds, Series 2006
5.500% due 08/01/2033		100		101
Erie County, New York Industrial Development Agency Revenue Bonds, (FSA Insured), Series 2004
5.750% due 05/01/2025		1,000		1,091
Jay Street Development Corp., New York Revenue Bonds, Series 2005
3.750% due 05/01/2022		1,155		1,155
Liberty, New York Development Corporations Revenue Bonds, Series 2005
5.250% due 10/01/2035		525		569
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
4.811% due 09/01/2015		500		498
New York City, New York General Obligation Bonds, (MBIA Insured), Series 1994
3.850% due 08/01/2013		1,000		1,000
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2018		500		526
New York City, New York General Obligation Bonds, Series 1993
3.690% 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		101
New York City, New York General Obligation Bonds, Series 2006
5.000% due 08/01/2022		1,000		1,038
New York City, New York General Obligation Notes, (MBIA-IBC Insured), Series 2002
5.750% due 08/01/2011		250		267
New York City, New York General Obligation Notes, Series 2005
5.000% due 04/01/2011		250		258
New York City, New York Industrial Development Agency Revenue Bonds, (AMBAC Insured), Series 2006
5.000% due 02/01/2036		500		515
5.000% due 01/01/2046		1,500		1,542
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
2.798% due 03/01/2022		1,400		1,377
New York City, New York Industrial Development Agency Revenue Bonds, Series 2001
5.500% due 07/01/2028		250		257
New York City, New York Industrial Development Agency Revenue Bonds, Series 2002
6.450% due 07/01/2032		250		261
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2000
5.500% due 11/01/2029		500		527
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
3.760% due 11/01/2022		1,000		1,000
5.000% due 08/01/2024		525		541
5.250% due 02/01/2029		500		520
New York City, New York Transitional Finance Authority Revenue Notes, Series 2002
5.250% due 11/01/2011		600		631
New York City, New York Transitional Finance Authority Revenue Notes, Series 2003
5.000% due 08/01/2010		395		408
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.250% due 08/15/2015		250		274
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000
5.490% due 08/15/2022		250		255
New York State Dormitory Authority Revenue Bonds, (MBIA State Aid Withholding Insured), Series 2002
5.000% due 10/01/2030		750		773
New York State Dormitory Authority Revenue Bonds, Series 1997
3.720% due 07/01/2012		265		265
New York State Dormitory Authority Revenue Bonds, Series 2000
6.000% due 07/01/2010		150		159
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		400		432
New York State Dormitory Authority Revenue Bonds, Series 2005
5.000% due 03/15/2035		750		773
New York State Dormitory Authority Revenue Bonds, Series 2006
5.000% due 12/15/2017		1,000		1,066
5.000% due 07/01/2026		500		501
New York State Dormitory Authority Revenue Bonds, Series 2007
5.000% due 07/01/2021		1,000		1,045
5.000% due 02/15/2037		1,000		1,024
New York State Dormitory Authority Revenue Notes, (FGIC FHA 242 Insured), Series 2005
5.000% due 02/01/2013		965		1,008
New York State Dormitory Authority Revenue Notes, (FSA Insured), Series 1998
4.750% due 07/01/2008		150		151
New York State Dormitory Authority Revenue Notes, (FSA Insured), Series 2001
5.000% due 07/01/2011		455		471
New York State Dormitory Authority Revenue Notes, (MBIA Insured), Series 2003
5.000% due 07/01/2011		250		260
New York State Dormitory Authority Revenue Notes, (MBIA State Aid Withholding Insured), Series 2002
5.000% due 10/01/2012		500		524
New York State Dormitory Authority Revenue Notes, Series 2001
5.250% due 07/01/2010		860		882
New York State Dormitory Authority Revenue Notes, Series 2007
4.000% due 08/15/2014		1,765		1,755
New York State Environmental Facilities Corporations Revenue Bonds, Series 2002
4.550% due 05/01/2012		500		497
5.000% due 06/15/2014		400		418
New York State Environmental Facilities Corporations Revenue Notes, Series 2002
5.000% due 06/15/2012		500		524
New York State Housing Finance Agency Revenue Bonds, (FGIC Insured), Series 2005
5.000% due 09/15/2030		1,000		1,031
New York State Local Government Assistance Corporations Revenue Bonds, (FGIC Insured), Series 2003
3.660% 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		351
New York State Local Government Assistance Corporations Revenue Bonds, (MBIA Insured), Series 1997
5.125% due 04/01/2013		150		153
New York State Metropolitan Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 11/15/2032		200		206
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2006
5.000% due 11/15/2035		1,000		1,024
New York State Mortgage Agency Homeowner Mortgage Revenue Bonds, Series 2006
4.700% due 10/01/2031		500		479
New York State Power Authority Revenue Bonds, (FGIC Insured), Series 2006
5.000% due 11/15/2020		500		525
New York State Sales Tax Asset Receivables Corporations Revenue Bonds, (MBIA Insured), Series 2004
5.250% due 10/15/2018		1,000		1,068
New York State Thruway Authority Highway & Bridge Trust Revenue Notes, (FSA Insured), Series 2003
5.000% due 04/01/2010		250		258
New York State Thruway Authority Highway & Bridge Trust Revenue Notes, (FSA Insured), Series 2005
5.000% due 04/01/2014		500		528
5.000% due 04/01/2015		500		531
New York State Thruway Authority Highway & Bridge Trust Revenue Notes, (MBIA Insured), Series 2002
5.250% due 04/01/2011		500		523
New York State Thruway Authority Revenue Bonds, (FSA Insured), Series 2005
4.750% due 01/01/2030		1,000		1,012
New York State Triborough Bridge & Tunnel Authority Revenue Notes, (MBIA-IBC Insured), Series 2002
5.000% due 11/15/2010		500		518
New York State TSASC, Inc. Revenue Bonds, Series 2002
5.000% due 07/15/2014		750		784
New York State Urban Development Corporations Revenue Bonds, Series 2002
5.500% due 01/01/2017		500		523
New York State Urban Development Corporations Revenue Notes, Series 2003
5.000% due 03/15/2011		495		513
Niagara County, New York Industrial Development Agency Revenue Bonds, (GMNA Insured), Series 2006
5.000% due 07/20/2038		500		489
Orange County, New York General Obligation Notes, Series 2005
5.000% due 07/15/2013		500		527
Schenectady, New York Industrial Development Agency Revenue Bonds, (AMBAC Insured), Series 2001
5.500% due 07/01/2016		500		538
Spencerport, New York Central School District General Obligation Bonds, (MBIA State Aid Withholding Insured), Series 2002
5.000% due 06/15/2019		250		260
Troy, New York Industrial Development Agency Revenue Bonds, Series 2002
5.500% due 09/01/2015		500		529
				42,889
Puerto Rico 6.2%
Commonwealth of Puerto Rico General Obligation Bonds, (Assured Guarantee Insured), Series 2006
5.231% due 07/01/2020		1,000		987
Commonwealth of Puerto Rico General Obligation Bonds, Series 2006
5.000% due 07/01/2035		250		254
Commonwealth of Puerto Rico Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2008		1,000		1,013
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.500% due 07/01/2013		200		216
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2002
5.750% due 07/01/2041		1,000		1,080
Commonwealth of Puerto Rico Public Finance Corporations Revenue Bonds, Series 2004
5.750% due 08/01/2027		550		580
Puerto Rico Children's Trust Fund Revenue Bonds, Series 2000
6.000% due 07/01/2026		100		106
				4,236
Texas 1.5%
Coppell, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
0.000% due 08/15/2016		805		539
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2005
4.750% due 11/15/2030		400		401
Waco, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
5.000% due 08/15/2021		120		125
				1,065
Virgin Islands 0.4%
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		250		274
Total Municipal Bonds & Notes (Cost $52,660)				52,196
SHORT-TERM INSTRUMENTS 17.7%
Repurchase Agreements 17.6%
State Street Bank and Trust Co.
4.900% due 07/02/2007		12,124		12,124
(Dated 06/29/2007. Collateralized by Fannie Mae 3.250% due 08/15/2008 valued at $12,369. Repurchase proceeds are $12,129.)
U.S. Treasury Bills 0.1%
4.605% due 09/13/2007 (a)		50		49
Total Short-Term Instruments (Cost $12,173)				12,173
Total Investments 93.5% (Cost $64,833)			$	64,369
Other Assets and Liabilities (Net) 6.5%				4,457
Net Assets 100.0%			$	68,826

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

(a) Securities with an aggregate market value of $49 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	10	$	11

See accompanying notes

Schedule of Investments

Real Return Asset Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.4%
Georgia-Pacific Corp.
7.110% due 12/20/2012	$	1,975	$	1,982
OAO Rosneft Oil Co.
6.000% due 09/16/2007		22,200		22,231
Shackleton Re Ltd.
12.875% due 08/01/2008		3,000		3,015
13.375% due 08/01/2008		1,500		1,511
SLM Corp.
6.000% due 06/30/2008		2,000		1,990
Total Bank Loan Obligations (Cost $30,628)				30,729
CORPORATE BONDS & NOTES 5.1%
Banking & Finance 3.6%
Atlantic & Western Re Ltd.
11.599% due 01/09/2009		1,900		1,918
Bank of America N.A.
5.360% due 02/27/2009		7,200		7,205
C10 Capital SPV Ltd.
6.722% due 12/31/2049		1,000		976
Calabash Re II Ltd.
13.760% due 01/08/2010		700		706
14.960% due 01/08/2010		400		418
16.260% due 01/08/2010		300		312
Citigroup Funding, Inc.
5.320% due 04/23/2009		7,300		7,303
Citigroup, Inc.
5.390% due 12/28/2009		8,400		8,407
5.395% due 01/30/2009		1,700		1,701
East Lane Re Ltd.
12.355% due 05/06/2011		400		402
Export-Import Bank of Korea
5.570% due 10/04/2011		4,500		4,505
Ford Motor Credit Co.
7.875% due 06/15/2010		7,500		7,503
Foundation Re II Ltd.
12.110% due 11/26/2010		2,000		2,008
General Electric Capital Corp.
5.400% due 12/12/2008		1,500		1,502
General Motors Acceptance Corp.
6.875% due 09/15/2011		1,600		1,575
6.875% due 08/28/2012		2,500		2,446
GMAC LLC
6.610% due 05/15/2009		1,000		1,001
Longpoint Re Ltd.
10.609% due 05/08/2010		1,400		1,400
Mirage Resorts, Inc.
6.750% due 02/01/2008		1,000		1,006
Mystic Re Ltd.
14.360% due 12/05/2008		1,500		1,485
Phoenix Quake Wind I Ltd.
7.800% due 07/03/2008		1,750		1,756
Rabobank Nederland
5.376% due 01/15/2009		1,400		1,401
Redwood Capital IX Ltd.
7.750% due 01/09/2008		900		904
11.610% due 01/09/2008		400		404
Shackleton Re Ltd.
13.355% due 02/07/2008		3,000		3,044
SLM Corp.
5.565% due 07/25/2008		600		596
Travelers Property Casualty Corp.
3.750% due 03/15/2008		100		99
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		5,100		5,103
Vita Capital II Ltd.
6.249% due 01/01/2010		400		400
Vita Capital III Ltd.
6.469% due 01/01/2012		1,600		1,603
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		4,200		4,209
Wachovia Bank N.A.
5.430% due 12/02/2010		5,200		5,204
				78,502
Industrials 0.6%
C8 Capital SPV Ltd.
6.640% due 12/31/2049		900		887
Caesars Entertainment, Inc.
8.875% due 09/15/2008		1,600		1,648
CSC Holdings, Inc.
7.875% due 12/15/2007		1,600		1,614
EchoStar DBS Corp.
5.750% due 10/01/2008		1,300		1,300
6.375% due 10/01/2011		2,000		1,965
Mandalay Resort Group
10.250% due 08/01/2007		2,900		2,911
Owens Brockway Glass Container, Inc.
8.875% due 02/15/2009		1,500		1,534
Pemex Project Funding Master Trust
8.625% due 02/01/2022		100		123
9.500% due 09/15/2027		500		673
Royal Caribbean Cruises Ltd.
7.000% due 10/15/2007		400		403
				13,058
Utilities 0.9%
America Movil SAB de C.V.
5.460% due 06/27/2008		10,000		10,002
BellSouth Corp.
4.240% due 04/26/2008		2,400		2,379
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		100		102
CMS Energy Corp.
7.500% due 01/15/2009		1,000		1,030
Embarq Corp.
7.082% due 06/01/2016		800		806
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		2,500		2,512
SEMCO Energy, Inc.
7.125% due 05/15/2008		1,345		1,357
				18,188
Total Corporate Bonds & Notes (Cost $108,910)				109,748
CONVERTIBLE BONDS & NOTES 0.3%
Chesapeake Energy Corp.
2.500% due 05/15/2037		6,025		6,176
Total Convertible Bonds & Notes (Cost $6,126)				6,176
MUNICIPAL BONDS & NOTES 0.1%
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.224% due 01/01/2014		200		203
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		500		532
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.265% due 12/15/2013		200		197
Total Municipal Bonds & Notes (Cost $836)				932
COMMODITY INDEX-LINKED NOTES 0.9%
AIG-Fp Matched Funding Corp.
0.000% due 07/15/2008		13,000		12,976
Morgan Stanley
0.000% due 07/07/2008		7,000		6,961
Total Commodity Index-Linked Notes (Cost $20,000)				19,937
U.S. GOVERNMENT AGENCIES 13.3%
Fannie Mae
5.500% due 12/01/2033 - 08/01/2037		235,021		226,720
6.000% due 10/01/2036 - 07/01/2037		53,891		53,311
6.214% due 09/01/2044 - 10/01/2044		847		857
Freddie Mac
5.000% due 02/15/2020		6,694		6,596
5.600% due 09/25/2031		176		176
Total U.S. Government Agencies (Cost $289,217)				287,660
U.S. TREASURY OBLIGATIONS 104.1%
Treasury Inflation Protected Securities (b)
1.875% due 07/15/2013		22,732		21,812
1.875% due 07/15/2015		106		101
2.000% due 04/15/2012		15,525		15,072
2.000% due 01/15/2014		16,614		15,971
2.000% due 07/15/2014		28,071		26,954
2.000% due 01/15/2026		355,520		322,135
2.375% due 04/15/2011		12,912		12,775
2.375% due 01/15/2017		169,324		165,369
2.375% due 01/15/2025		636,756		612,480
2.375% due 01/15/2027		304,208		292,230
3.375% due 04/15/2032		2,329		2,681
3.625% due 04/15/2028		364,173		422,014
3.875% due 04/15/2029		240,704		290,688
U.S. Treasury Notes
4.250% due 08/15/2013		8,800		8,395
4.750% due 05/15/2014		29,900		29,536
4.875% due 04/30/2011		9,200		9,189
Total U.S. Treasury Obligations (Cost $2,270,394)				2,247,402
MORTGAGE-BACKED SECURITIES 0.2%
Arran Residential Mortgages Funding PLC
5.340% due 04/12/2036		785		785
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		365		364
Countrywide Home Loan Mortgage Pass-Through Trust
5.660% due 06/25/2035		562		562
GSR Mortgage Loan Trust
4.538% due 09/25/2035		3,172		3,126
Total Mortgage-Backed Securities (Cost $4,864)				4,837
ASSET-BACKED SECURITIES 0.1%
Lehman XS Trust
5.400% due 07/25/2046		2,227		2,228
Merrill Lynch Mortgage Investors, Inc.
5.380% due 04/25/2037		221		222
5.400% due 01/25/2037		170		171
Residential Asset Securities Corp.
5.390% due 04/25/2036		132		132
Soundview Home Equity Loan Trust
5.390% due 03/25/2036		8		8
Total Asset-Backed Securities (Cost $2,760)				2,761
SOVEREIGN ISSUES 0.0%
Russia Government International Bond
7.500% due 03/31/2030		100		110
Total Sovereign Issues (Cost $102)				110
FOREIGN CURRENCY-DENOMINATED ISSUES 0.6%
Canadian Government Bond
3.000% due 12/01/2036 (b)	CAD	325		366
Pylon Ltd.
5.648% due 12/18/2008 (j)	EUR	700		957
8.048% due 12/18/2008		1,200		1,658
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	1,700		8,777
Total Foreign Currency-Denominated Issues (Cost $11,125)				11,758
SHORT-TERM INSTRUMENTS 8.9%
Certificates of Deposit 4.2%
Abbey National Treasury Services PLC
5.270% due 07/02/2008	$	17,300		17,307
Calyon Financial, Inc.
5.340% due 01/16/2009		4,800		4,801
Nordea Bank Finland PLC
5.282% due 12/01/2008		6,600		6,601
Royal Bank of Canada
5.262% due 06/30/2008		13,700		13,712
Royal Bank of Scotland Group PLC
5.262% due 07/03/2008		13,300		13,301
5.265% due 03/26/2008		12,100		12,099
Societe Generale NY
5.269% due 06/30/2008		21,700		21,713
5.270% due 03/26/2008		1,000		1,000
				90,534
Commercial Paper 2.6%
Cox Communications, Inc.
5.570% due 09/17/2007		900		900
Freddie Mac
4.800% due 07/02/2007		20,000		20,000
Rabobank USA Financial Corp.
5.330% due 07/26/2007		9,800		9,800
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		26,200		26,200
				56,900
Tri-party Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 07/02/2007		5,927		5,927
(Dated 06/29/2007. Collateralized by Freddie Mac 5.400% due 06/15/2010 valued at $6,048. Repurchase proceeds are $5,929.)
U.S. Treasury Bills 1.8%
4.550% due 08/30/2007 - 09/13/2007 (a)(c)(d)(f)		38,205		37,798
Total Short-Term Instruments (Cost $191,157)				191,159
Purchased Options (h) 0.2% (Cost $4,955)				4,341
Total Investments (e) 135.2% (Cost $2,941,074)			$	2,917,550
Written Options (i) (0.0%) (Premiums $1,011)				(522	)
Other Assets and Liabilities (Net) (35.2%)				(758,844	)
Net Assets 100.0%			$	2,158,184

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 $19,288 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) Securities with an aggregate market value of $1,681 have been pledged as collateral for delayed-delivery securities on June 30, 2007.

(e) As of June 30, 2007, portfolio securities with an aggregate value of $59,144 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $7,934 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	115	$	(33	)
90-Day Euribor June Futures	Long	06/2009	115		(25	)
90-Day Euribor March Futures	Long	03/2009	115		(29	)
90-Day Euribor September Futures	Long	09/2008	115		(33	)
90-Day Eurodollar December Futures	Long	12/2007	66		(54	)
90-Day Eurodollar December Futures	Long	12/2008	637		25
90-Day Eurodollar June Futures	Long	06/2008	517		(189	)
90-Day Eurodollar June Futures	Long	06/2009	630		17
90-Day Eurodollar March Futures	Long	03/2008	161		(46	)
90-Day Eurodollar March Futures	Long	03/2009	1,015		(15	)
90-Day Eurodollar September Futures	Long	09/2008	552		43
Japan Government 10-Year Bond September Futures	Long	09/2007	24		(59	)
U.S. Treasury 5-Year Note September Futures	Short	09/2007	570		20
U.S. Treasury 10-Year Note September Futures	Short	09/2007	1,360		846
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	2,057		2,500
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	526		(958	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	409		(765	)
				$	1,245

(g) Swap agreements outstanding on June 30, 2007:

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	$	15
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		4,600		1
Barclays Bank PLC	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.350	%	12/20/2008		3,200		3
Barclays Bank PLC	Russia Government International Bond 7.500% 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		13
Citibank N.A.	Glitnir Banki HF 6.330% due 07/28/2011	Buy	(0.290	%)	06/20/2012		1,400		(1	)
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.970	%	06/20/2012		400		(5	)
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.010	%	06/20/2012		400		(5	)
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.040	%	06/20/2012		300		(3	)
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.510	%	12/20/2008		6,400		12
Deutsche Bank AG	Russia Government International Bond 7.500% 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		12
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.400	%	06/20/2011		1,900		102
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.280	%	11/20/2007		3,000		2
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		3,000		3
Lehman Brothers, Inc.	Peru Government International Bond 9.125% due 02/21/2012	Sell	0.370	%	12/20/2008		3,000		4
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		1,600		1
Royal Bank of Scotland Group PLC	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.290	%)	06/20/2012		1,000		(1	)
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.250	%	09/20/2007		3,000		37
								$	194

⁽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 upto 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	6.500	%	01/15/2010	AUD	28,600	$	(193	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		89,800		(98	)
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		4,900		(34	)
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		15,100		(98	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017	CAD	33,800		5
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	3,700		60
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.138	%	01/19/2016		10,700		66
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		3,800		45
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.040	%	02/21/2011		3,400		25
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		3,000		(17	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.261	%	07/14/2011		100		2
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.028	%	10/15/2011		7,600		39
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		7,200		41
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		6,800		658
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		5,500		84
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.095	%	10/15/2011		32,400		315
UBS Warburg LLC	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275	%	10/15/2016		8,100		26
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		8,100		31
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	59,900		(2,222	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		6,000		460
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		4,700		(222	)
Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,900		142
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	09/15/2015		6,000		577
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		4,800		1,220
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		3,200		(148	)
UBS Warburg LLC	United Kingdom RPI Index	Pay	2.548	%	11/14/2016		7,500		(177	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	3,500,000		(5	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	53,000		205
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.330	%	02/14/2017		20,400		31
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		247,300		77
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		27,200		20
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		93,300		49
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		35,800		9
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012	$	2,800		9
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		1,500		3
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		6,700		22
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2017		11,300		86
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2021		5,500		28
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		5,900		9
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		5,700		70
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		2,300		(3	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		9,500		336
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		48,500		793
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		2,100		8
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		24,100		(224	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		40,000		644
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		150,000		(41	)
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		4,800		(60	)
								$	2,653

(h) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	112.000	08/24/2007	1,112	$	21	$	17
Call - CBOT U.S. Treasury 10-Year Note September Futures		114.000	08/24/2007	292		5		5
Call - CBOT U.S. Treasury 30-Year Bond September Futures		118.000	08/24/2007	1,459		28		23
Call - CBOT U.S. Treasury 30-Year Bond September Futures		120.000	08/24/2007	938		18		15
					$	72	$	60

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	4.750	%	03/31/2008	$	125,000	$	700	$	154
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Pay	4.750	%	09/26/2008		27,900		141		55
									$	841	$	209

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.353	06/26/2008	EUR	9,500	$	299	$	349
Put - OTC Euro versus U.S. dollar		1.353	06/26/2008		9,500		299		244
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	65,100		1,714		1,684
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		65,100		1,713		1,774
						$	4,025	$	4,051

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 08/01/2037	$	88.500	08/07/2007	$	144,500	$	17	$	2

Straddle Options

Description	Counterparty	Exercise Price(2)	Expiration Date		Notional Amount		Cost(2)		Value
Call & Put - OTC U.S. dollar versus Swiss franc Forward Delta Neutral Straddle	Royal Bank of Scotland Group PLC	CHF0.000	09/26/2007	$	7,400	$	0	$	19

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

(i) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.000	08/24/2007	92	$	24	$	56
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	221		44		59
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	188		23		9
Call - CBOT U.S. Treasury 30-Year Bond September Futures		109.000	08/24/2007	182		61		119
Put - CBOT U.S. Treasury 10-Year Note September Futures		103.000	08/24/2007	313		59		34
					$	211	$	277

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	4.950	%	03/31/2008	$	54,000	$	664	$	185
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		12,000		136		60
									$	800	$	245

(j) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Pylon Ltd.	5.648	%	12/18/2008	12/11/2003	$	850	$	957	0.04	%

(k) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(3)
Treasury Inflation Protected Securities	1.625	%	01/15/2015	$	49,317	$	45,617	$	45,866
Treasury Inflation Protected Securities	2.500	%	07/15/2016		3,286		3,235		3,251
Treasury Inflation Protected Securities	3.000	%	07/15/2012		56,296		56,908		57,423
U.S. Treasury Notes	4.250	%	08/15/2013		8,800		8,394		8,537
U.S. Treasury Notes	4.250	%	11/15/2013		7,000		6,734		6,783
U.S. Treasury Notes	4.750	%	05/15/2014		800		790		796
						$	121,678	$	122,656

⁽³⁾ Market value includes $217 of interest payable on short sales.

(l) Forward foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	5	07/2007	$	0	$	0		$	0
Buy	BRL	8,311	10/2007		7		(32	)		(25	)
Sell	CAD	979	08/2007		0		(4	)		(4	)
Sell	CHF	1,305	09/2007		0		0			0
Buy	CNY	142,230	01/2008		96		0			96
Buy		149,665	03/2008		0		(106	)		(106	)
Sell	EUR	6,109	07/2007		0		(80	)		(80	)
Sell	GBP	6,124	08/2007		0		(64	)		(64	)
Sell	JPY	160,899	07/2007		19		0			19
Buy	KRW	305,662	07/2007		1		0			1
Buy		3,657,771	09/2007		16		0			16
Buy	MXN	37,831	09/2007		3		(7	)		(4	)
Buy		8,840	03/2008		9		0			9
Buy	PLN	12,287	09/2007		77		0			77
Buy	RUB	1,409	12/2007		1		0			1
Buy		110,717	01/2008		37		0			37
Buy	SEK	1,578	09/2007		3		0			3
Buy	SGD	6,073	07/2007		16		0			16
Sell		3,671	07/2007		0		(14	)		(14	)
Buy		506	08/2007		1		0			1
Buy		6,047	10/2007		20		0			20
				$	306	$	(307	)	$	(1	)

See accompanying notes

Schedule of Investments

Real Return Fund

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.6%
Ford Motor Co.
8.360% due 11/29/2013	$	4,987	$	5,014
Georgia-Pacific Corp.
7.110% due 12/20/2012		13,825		13,872
OAO Rosneft Oil Co.
6.000% due 09/16/2007		17,000		17,024
Shackleton Re Ltd.
12.875% due 08/01/2008		9,000		9,045
13.375% due 08/01/2008		3,000		3,022
SLM Corp.
6.000% due 06/30/2008		16,000		15,920
Total Bank Loan Obligations (Cost $63,682)				63,897
CORPORATE BONDS & NOTES 5.4%
Banking & Finance 3.6%
C10 Capital SPV Ltd.
6.722% due 12/31/2049		6,000		5,857
Calabash Re II Ltd.
13.760% due 01/08/2010		5,700		5,750
14.960% due 01/08/2010		2,500		2,614
16.260% due 01/08/2010		2,500		2,602
CIT Group, Inc.
5.000% due 11/24/2008		25,000		24,846
Citigroup Funding, Inc.
5.320% due 04/23/2009		6,300		6,303
Citigroup, Inc.
5.395% due 01/30/2009		16,200		16,210
5.405% due 05/02/2008		14,100		14,114
Danske Bank A/S
5.914% due 12/29/2049		7,000		6,942
East Lane Re Ltd.
12.355% due 05/06/2011		4,400		4,421
Export-Import Bank of Korea
5.570% due 10/04/2011		18,200		18,220
Ford Motor Credit Co.
6.190% due 09/28/2007		10,000		10,000
Foundation Re Ltd.
9.460% due 11/24/2008		3,000		2,856
Foundation Re II Ltd.
12.110% due 11/26/2010		10,300		10,343
General Electric Capital Corp.
5.400% due 12/12/2008		12,700		12,716
5.455% due 07/28/2008		3,500		3,505
General Motors Acceptance Corp.
6.125% due 08/28/2007		870		871
Kamp Re 2005 Ltd.
5.420% due 12/14/2007 (a)		5,000		3
Longpoint Re Ltd.
10.609% due 05/08/2010		11,200		11,201
Mystic Re Ltd.
11.660% due 12/05/2008		6,900		6,859
14.360% due 12/05/2008		3,300		3,267
Osiris Capital PLC
10.356% due 01/15/2010		1,700		1,717
Parametric Re Ltd.
7.421% due 11/19/2007		11,500		11,522
9.661% due 05/19/2008		1,500		1,508
Phoenix Quake Ltd.
7.800% due 07/03/2008		50,550		50,851
Phoenix Quake Wind I Ltd.
7.800% due 07/03/2008		9,000		9,032
Phoenix Quake Wind II Ltd.
8.850% due 07/03/2008		10,750		10,210
Rabobank Nederland
5.376% due 01/15/2009		11,300		11,308
Redwood Capital IX Ltd.
7.750% due 01/09/2008		2,300		2,310
13.110% due 01/09/2008		2,200		2,222
Residential Reinsurance 2007 Ltd.
12.610% due 06/07/2010		5,200		5,208
15.610% due 06/07/2010		23,500		23,518
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		2,000		2,176
Shackleton Re Ltd.
13.355% due 02/07/2008		5,500		5,581
Travelers Property Casualty Corp.
3.750% due 03/15/2008		7,000		6,905
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		22,000		22,013
Ventas Realty LP
8.750% due 05/01/2009		2,000		2,103
Vita Capital II Ltd.
6.249% due 01/01/2010		3,500		3,496
6.749% due 01/01/2010		5,000		5,025
Vita Capital III Ltd.
6.469% due 01/01/2012		7,900		7,913
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		20,100		20,145
Wachovia Bank N.A.
5.430% due 12/02/2010		30,500		30,520
Wells Fargo Capital X
5.950% due 12/15/2036		15,000		14,038
				418,821
Industrials 1.2%
Albertson’s, Inc.
6.950% due 08/01/2009		1,000		1,025
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		4,000		4,020
C8 Capital SPV Ltd.
6.640% due 12/31/2049		7,100		6,997
Caesars Entertainment, Inc.
8.875% due 09/15/2008		5,930		6,108
CSC Holdings, Inc.
7.250% due 07/15/2008		3,510		3,545
7.875% due 12/15/2007		8,200		8,272
EchoStar DBS Corp.
5.750% due 10/01/2008		13,100		13,100
6.375% due 10/01/2011		2,000		1,965
General Electric Co.
5.400% due 12/09/2008		6,000		6,007
HJ Heinz Co.
6.428% due 12/01/2008		20,000		20,206
Mandalay Resort Group
9.500% due 08/01/2008		3,700		3,830
10.250% due 08/01/2007		11,500		11,543
Pemex Project Funding Master Trust
7.375% due 12/15/2014		22,000		24,021
8.625% due 02/01/2022		6,900		8,520
9.500% due 09/15/2027		14,850		19,981
Royal Caribbean Cruises Ltd.
7.000% due 10/15/2007		2,000		2,016
				141,156
Utilities 0.6%
BellSouth Corp.
4.240% due 04/26/2008		8,700		8,624
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		7,000		7,106
CMS Energy Corp.
7.500% due 01/15/2009		15,650		16,127
9.875% due 10/15/2007		4,185		4,245
Embarq Corp.
7.082% due 06/01/2016		4,600		4,633
Midwest Generation LLC
8.300% due 07/02/2009		12,402		12,657
Ohio Edison Co.
4.000% due 05/01/2008		10,000		9,879
				63,271
Total Corporate Bonds & Notes (Cost $622,687)				623,248
CONVERTIBLE BONDS & NOTES 0.4%
Chesapeake Energy Corp.
2.500% due 05/15/2037		44,475		45,587
Total Convertible Bonds & Notes (Cost $45,044)				45,587
MUNICIPAL BONDS & NOTES 0.2%
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		3,140		3,159
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.224% due 01/01/2014		1,570		1,593
6.225% due 01/01/2014		930		934
Connecticut State Health & Educational Facilities Authority Revenue Notes, (FSA Insured), Series 2004
5.000% due 11/01/2013		4,000		4,221
District of Columbia Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
6.250% due 05/15/2024		8,125		8,603
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021		350		354
Kansas City, Kansas Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 09/01/2013		3,870		4,068
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
6.265% due 12/15/2013		1,570		1,547
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2023		750		794
6.125% due 06/01/2032		740		784
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		405		440
Total Municipal Bonds & Notes (Cost $24,708)				26,497
COMMODITY INDEX-LINKED NOTES 0.5%
Morgan Stanley
0.000% due 07/07/2008		61,000		60,654
Total Commodity Index-Linked Notes (Cost $61,000)				60,654
U.S. GOVERNMENT AGENCIES 12.1%
Fannie Mae
4.293% due 08/01/2035		409		408
4.599% due 07/01/2035		610		613
4.656% due 04/01/2035		1,258		1,256
4.664% due 05/01/2035		1,618		1,597
4.842% due 06/01/2033		364		369
5.000% due 06/25/2027 - 03/01/2036		24,253		23,210
5.450% due 03/25/2036		4,210		4,219
5.500% due 02/01/2033 - 08/01/2037		1,090,272		1,051,558
6.000% due 07/01/2036 - 07/01/2037		247,248		244,634
6.214% due 09/01/2044 - 10/01/2044		7,398		7,492
7.199% due 10/01/2031		564		570
Federal Housing Administration
7.430% due 12/01/2020		71		71
Freddie Mac
5.000% due 01/15/2024		5,444		5,421
5.300% due 01/09/2012		30,000		29,800
5.500% due 05/15/2016		11,563		11,563
5.600% due 09/25/2031		2,028		2,030
5.670% due 12/15/2030		6,977		6,998
6.227% due 10/25/2044		11,698		11,807
6.500% due 01/25/2028		73		74
7.000% due 10/15/2030		324		324
Ginnie Mae
6.500% due 05/15/2028 - 04/15/2031		1,249		1,276
Total U.S. Government Agencies (Cost $1,406,859)				1,405,290
U.S. TREASURY OBLIGATIONS 108.0%
Treasury Inflation Protected Securities (c)
0.875% due 04/15/2010		1,380,991		1,311,943
1.625% due 01/15/2015		343,783		319,665
1.875% due 07/15/2013		847,839		813,528
1.875% due 07/15/2015		613,545		579,992
2.000% due 04/15/2012		103,281		100,271
2.000% due 01/15/2014		1,146,629		1,102,287
2.000% due 07/15/2014		458,512		440,280
2.000% due 01/15/2026		569,155		515,708
2.375% due 01/15/2017		6,662		6,506
2.375% due 01/15/2025		1,197,856		1,152,189
2.375% due 01/15/2027		212,603		204,232
2.500% due 07/15/2016		302,631		299,345
3.000% due 07/15/2012		1,367,972		1,394,905
3.375% due 01/15/2012		66,868		69,041
3.375% due 04/15/2032		26,898		30,967
3.500% due 01/15/2011		408,848		420,763
3.625% due 01/15/2008		15,168		15,182
3.625% due 04/15/2028		955,542		1,107,310
3.875% due 01/15/2009		386,509		392,790
3.875% due 04/15/2029		678,467		819,355
4.250% due 01/15/2010		659,968		685,181
U.S. Treasury Bonds
5.375% due 02/15/2031		22,200		22,804
6.000% due 02/15/2026		14,700		16,051
6.250% due 08/15/2023		600		666
6.625% due 02/15/2027		23,700		27,770
7.625% due 02/15/2025		100		127
8.875% due 08/15/2017		12,100		15,679
U.S. Treasury Notes
3.250% due 08/15/2007		127,800		127,590
3.625% due 05/15/2013		21,600		20,201
4.000% due 11/15/2012		6,000		5,754
4.500% due 04/30/2009		50,000		49,676
4.500% due 02/28/2011		50,700		50,027
4.625% due 02/15/2017		31,000		30,031
4.750% due 05/15/2014		15,000		14,817
4.875% due 04/30/2011		350,000		349,590
Total U.S. Treasury Obligations (Cost $12,782,344)				12,512,223
MORTGAGE-BACKED SECURITIES 1.1%
Banc of America Funding Corp.
4.614% due 02/20/2036		45,758		45,040
Bear Stearns Adjustable Rate Mortgage Trust
4.622% due 01/25/2034		4,082		4,093
4.773% due 01/25/2034		2,379		2,368
6.337% due 11/25/2030		463		462
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		2,771		2,766
Countrywide Home Loan Mortgage Pass-Through Trust
5.660% due 06/25/2035		13,124		13,102
GSR Mortgage Loan Trust
4.538% due 09/25/2035		34,890		34,391
Harborview Mortgage Loan Trust
5.560% due 03/19/2037		2,194		2,198
5.660% due 06/20/2035		1,379		1,383
Mellon Residential Funding Corp.
5.760% due 12/15/2030		711		714
5.810% due 10/20/2029		414		416
Merrill Lynch Floating Trust
5.390% due 06/15/2022		3,201		3,206
Washington Mutual, Inc.
4.229% due 03/25/2034		826		816
5.474% due 02/27/2034		3,589		3,528
5.580% due 11/25/2045		8,433		8,465
Total Mortgage-Backed Securities (Cost $123,376)				122,948
ASSET-BACKED SECURITIES 0.8%
Bear Stearns Asset-Backed Securities, Inc.
5.650% due 01/25/2036		2,084		2,085
5.770% due 03/25/2043		200		201
Equity One Asset-Backed Securities, Inc.
5.620% due 04/25/2034		162		163
First NLC Trust
5.440% due 02/25/2036		1,467		1,467
GSAMP Trust
5.440% due 12/25/2035		2,657		2,657
GSR Mortgage Loan Trust
5.420% due 11/25/2030		1,134		1,135
Indymac Residential Asset-Backed Trust
5.410% due 03/25/2036		1,708		1,709
IXIS Real Estate Capital Trust
5.380% due 08/25/2036		4,532		4,535
Lehman XS Trust
5.400% due 07/25/2046		9,718		9,723
5.410% due 05/25/2046		2,156		2,157
Long Beach Mortgage Loan Trust
5.380% due 05/25/2046		4,425		4,428
5.410% due 01/25/2036		3,001		3,003
MASTR Asset-Backed Securities Trust
5.400% due 01/25/2036		975		976
Merrill Lynch Mortgage Investors, Inc.
5.350% due 05/25/2037		14,062		14,072
5.380% due 04/25/2037		849		849
5.400% due 01/25/2037		1,339		1,340
Morgan Stanley ABS Capital I
5.390% due 03/25/2036		5,261		5,264
New Century Home Equity Loan Trust
5.390% due 08/25/2036		8,750		8,754
Residential Asset Securities Corp.
5.390% due 04/25/2036		925		926
5.390% due 07/25/2036		10,817		10,821
5.400% due 01/25/2036		2,544		2,545
5.410% due 01/25/2036		999		1,000
5.420% due 11/25/2035		183		183
Residential Funding Mortgage Securities II, Inc.
5.460% due 09/25/2035		230		230
SACO I, Inc.
5.380% due 05/25/2036		4,235		4,238
SLM Student Loan Trust
5.365% due 01/26/2015		835		836
Soundview Home Equity Loan Trust
5.380% due 12/25/2036		1,274		1,274
5.390% due 03/25/2036		59		60
5.420% due 12/25/2035		770		770
Specialty Underwriting & Residential Finance
5.400% due 12/25/2036		5,265		5,268
Total Asset-Backed Securities (Cost $92,616)				92,669
FOREIGN CURRENCY-DENOMINATED ISSUES 2.2%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	10,000		5,780
Canadian Government Bond
3.000% due 12/01/2036 (c)	CAD	20,910		23,547
4.250% due 12/01/2021 (c)		2,686		3,182
France Government Bond
1.600% due 07/25/2011 (c)	EUR	6,403		8,377
1.600% due 07/25/2015 (c)		3,183		4,049
3.150% due 07/25/2032 (c)		6,801		10,552
General Electric Capital Corp.
4.625% due 09/15/2066		4,450		5,745
5.500% due 09/15/2066	GBP	12,450		23,890
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (c)	EUR	2,172		2,867
4.250% due 08/01/2014		1,700		2,246
Network Rail Infrastructure Finance PLC UKRPI Linked Bond
1.375% due 11/22/2037	GBP	100		194
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	10,000		10,317
Pylon Ltd.
5.648% due 12/18/2008 (k)	EUR	21,850		29,861
8.048% due 12/18/2008		40,700		56,228
Sweden Government CPI Linked Bond
3.500% due 12/01/2028	SEK	9,600		1,971
4.000% due 12/01/2008		37,000		6,586
United Kingdom Gilt Inflation Linked Bond
2.000% due 01/26/2035	GBP	100		268
2.500% due 05/20/2009		12,200		62,991
Total Foreign Currency-Denominated Issues (Cost $235,695)				258,651
		Shares
PREFERRED STOCKS 0.0%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		2,825		2,846
Total Preferred Stocks (Cost $2,903)				2,846
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 3.3%
Certificates of Deposit 2.5%
Abbey National Treasury Services PLC
5.270% due 07/02/2008	$	119,600		119,651
Nordea Bank Finland PLC
5.298% due 12/01/2008		5,500		5,501
Societe Generale NY
5.269% due 06/30/2008		162,900		163,000
				288,152
Commercial Paper 0.3%
Cox Communications, Inc.
5.570% due 09/17/2007		18,200		18,200
Freddie Mac
4.800% due 07/02/2007		15,000		15,000
				33,200
Tri-Party Repurchase Agreements 0.0%
State Street Bank and Trust Co.
4.900% due 07/02/2007		4,834		4,834
(Dated 06/29/2007. Collateralized by Federal Farm Credit Bank 5.000% due 10/23/2009 valued at $4,396 and Freddie Mac 4.125% due 11/18/2009 valued at $538. Repurchase proceeds are $4,836.)
U.S. Treasury Bills 0.5%
4.602% due 08/30/2007 - 09/13/2007 (b)(d)(e)(g)		57,340		56,731
Total Short-Term Instruments (Cost $382,765)				382,917
Purchased Options (i) 0.2% (Cost $21,800)				19,165
Total Investments (f) 134.8% (Cost $15,865,479)			$	15,616,592
Written Options (j) (0.0%) (Premiums $4,323)				(2,039	)
Other Assets and Liabilities (Net) (34.8%)				(4,029,288	)
Net Assets 100.0%			$	11,585,265

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) Securities with an aggregate market value of $15,344 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(e) Securities with an aggregate market value of $2,453 have been pledged as collateral for delayed-delivery securities on June 30, 2007.

(f) As of June 30, 2007, portfolio securities with an aggregate value of $283,280 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Securities with an aggregate market value of $33,743 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	448	$	(151	)
90-Day Euribor June Futures	Long	06/2009	448		(118	)
90-Day Euribor March Futures	Long	03/2009	448		(134	)
90-Day Euribor September Futures	Long	09/2008	448		(149	)
90-Day Eurodollar December Futures	Long	12/2007	354		(320	)
90-Day Eurodollar December Futures	Long	12/2008	21		8
90-Day Eurodollar June Futures	Short	06/2008	1,308		950
90-Day Eurodollar June Futures	Long	06/2009	642		(285	)
90-Day Eurodollar March Futures	Short	03/2008	3,734		4,963
90-Day Eurodollar March Futures	Long	03/2009	995		(769	)
90-Day Eurodollar September Futures	Short	09/2008	2,682		3,046
Euro-Bund 10-Year Note September Futures	Short	09/2007	31		(10	)
U.S. Treasury 5-Year Note September Futures	Short	09/2007	868		(727	)
U.S. Treasury 10-Year Note September Futures	Long	09/2007	7,734		(7,678	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	9,277		8,178
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	4,757		(8,757	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	1,806		(3,319	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	2,500		(5,516	)
				$	(10,788	)

(h) Swap agreements outstanding on June 30, 2007:

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	%	09/20/2007	$	20,000	$	93
Barclays Bank PLC	Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008		11,000		56
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		26,300		51
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		7,000		14
Barclays Bank PLC	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.350	%	12/20/2008		17,900		52
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.330	%	12/20/2008		17,900		43
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.780	%	12/20/2008		17,900		147
Citibank N.A.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.110	%	06/20/2008		26,100		(15	)
Citibank N.A.	Glitnir Banki HF 6.330% due 07/28/2011	Buy	(0.290	%)	06/20/2012		11,500		(9	)
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Buy	(0.850	%)	03/20/2008		31,000		96
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.970	%	06/20/2012		3,200		(42	)
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.010	%	06/20/2012		3,100		(36	)
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.020	%	06/20/2012		9,000		(99	)
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.040	%	06/20/2012		3,700		(38	)
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.510	%	12/20/2008		36,500		70
Deutsche Bank AG	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008		4,000		(2	)
Deutsche Bank AG	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.325	%	12/20/2008		19,000		10
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.790	%	12/20/2008		19,000		78
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.300	%	09/20/2007		8,300		37
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		5,000		24
Goldman Sachs & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.400	%	06/20/2011		1,100		59
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.350	%	09/20/2007		3,600		17
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.280	%	11/20/2007		14,000		8
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		18,000		16
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.200	%	07/20/2007		7,000		7
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.500	%	09/20/2007		2,700		14
Lehman Brothers, Inc.	CSC Holdings, Inc. 7.625% due 04/01/2011	Sell	0.250	%	12/20/2007		1,000		(2	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		4,000		1
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		4,000		2
Lehman Brothers, Inc.	Peru Government International Bond 9.125% due 02/21/2012	Sell	0.370	%	12/20/2008		17,300		23
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.670	%	01/20/2017		5,700		96
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		3,600		17
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.250	%	09/20/2007		5,000		22
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008		8,900		3
Royal Bank of Scotland Group PLC	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.290	%)	06/20/2012		8,200		(6	)
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		23,800		113
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.250	%	09/20/2007		9,800		120
UBS Warburg LLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	3.620	%	06/20/2011		5,000		304
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.560	%	06/20/2012		1,500		(17	)
								$	1,327

⁽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	6.500	%	01/15/2010	AUD	53,500	$	(373	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		209,600		(1,417	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		562,500		(610	)
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		35,800		(252	)
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		21,900		(143	)
HSBC Bank USA	3-Month Canadian Bank Bill	Pay	4.500	%	06/15/2025	CAD	7,000		(487	)
JPMorgan Chase & Co.	3-Month Canadian Bank Bill	Receive	5.500	%	12/16/2014		10,000		80
JPMorgan Chase & Co.	3-Month Canadian Bank Bill	Pay	4.500	%	06/15/2025		3,300		(173	)
Merrill Lynch & Co., Inc.	3-Month Canadian Bank Bill	Pay	4.500	%	06/15/2025		9,000		(524	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		263,900		47
UBS Warburg LLC	3-Month Canadian Bank Bill	Pay	4.500	%	06/15/2025		4,700		(248	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.040	%	03/15/2010	EUR	50,000		537
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010		8,800		121
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		5,900		(147	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012		3,000		(31	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.980	%	04/30/2012		9,200		(98	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.238	%	06/20/2012		17,000		89
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	09/14/2010		60,000		776
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		52,200		742
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.040	%	02/21/2011		33,900		247
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.988	%	12/15/2011		72,600		(306	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.983	%	03/15/2012		5,200		(44	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.150	%	01/19/2016		75,000		600
Deutsche Bank AG	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.100	%	03/13/2011		4,800		46
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		40,900		(117	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		62,000		(351	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		6,900		(60	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.028	%	10/15/2011		31,400		162
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		6,900		(36	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		12,600		(118	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		42,300		(448	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		30,000		173
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		104,450		9,397
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		5,900		(56	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		22,700		362
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.095	%	10/15/2011		27,800		270
UBS Warburg LLC	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275	%	10/15/2016		33,900		108
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		33,900		129
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2008	GBP	13,000		(182	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		277,600		(10,229	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		56,100		(4,998	)
Barclays Bank PLC	United Kingdom RPI Index	Pay	3.100	%	11/14/2016		40,000		(840	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		42,400		3,181
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		48,500		(2,216	)
Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		19,300		1,438
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	09/15/2015		45,200		4,347
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		35,600		9,049
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2008		27,000		(459	)
Royal Bank of Scotland Group PLC	United Kingdom RPI Index	Pay	3.381	%	06/14/2027		13,600		195
UBS Warburg LLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2008		20,000		(277	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	33,800,000		(49	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	210,000		812
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.330	%	02/14/2017		132,800		201
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		1,628,100		520
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		181,700		130
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		632,300		332
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		271,900		70
Barclays Bank PLC	3-Month SEK-LIBOR	Pay	4.500	%	06/17/2008	SEK	168,000		246
JPMorgan Chase & Co.	3-Month SEK-LIBOR	Pay	4.500	%	06/17/2008		46,000		57
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/20/2027	$	46,000		(3,069	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		238,350		(264	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		277,800		885
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		51,100		2,592
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		184,500		(1,162	)
BNP Paribas Bank	U.S. CPI Urban Consumers NSA Index	Pay	2.790	%	10/07/2015		50,000		(333	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		151,200		315
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		494,900		997
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2021		114,500		840
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		146,500		689
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		75,000		927
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		126,700		(142	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		301,300		10,655
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		52,600		(197	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		28,700		39
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		98,800		(773	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		64,600		(425	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		5,200		(34	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		14,600		239
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		179,000		657
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		255,800		(2,128	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		2,061,000		(552	)
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		32,100		(400	)
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	12/20/2026		59,600		224
								$	18,755

(i) Purchased options outstanding on June 30, 2007:

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	4.750	%	03/31/2008	$	584,000	$	3,271	$	721
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		116,500		588		229
									$	3,859	$	950

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.353	06/26/2008	EUR	56,600	$	1,781	$	2,080
Put - OTC Euro versus U.S. dollar		1.353	06/26/2008		56,600		1,781		1,451
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	273,100		7,189		7,063
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		273,100		7,190		7,444
						$	17,941	$	18,038

Straddle Options

Descriptiond	Counterparty	Exercise Price(2)		Expiration Date	Notional Amount		Cost(2)		Value
Call & Put - OTC U.S. dollar versus Swiss franc Forward Delta Neutral Straddle	JPMorgan Chase & Co.	CHF	0.000	09/26/2007	$	12,300	$	0	$	21
Call & Put - OTC U.S. dollar versus Swiss franc Forward Delta Neutral Straddle	Royal Bank of Scotland Group PLC		0.000	09/26/2007		59,800		0		156
							$	0	$	177

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

(j) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	109.000	08/24/2007	1,603	$	195	$	75
Call - CBOT U.S. Treasury 30-Year Bond September Futures		109.000	08/24/2007	1,277		428		838
					$	623	$	913

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	4.950	%	03/31/2008	$	254,000	$	3,124	$	869
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		51,000		576		257
									$	3,700	$	1,126

(k) Restricted Securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Pylon Ltd.	5.648	%	12/18/2008	12/11/2003-11/14/2006	$	26,615	$	29,861	0.26	%

(l) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Republic of Germany	5.625	%	01/04/2028	EUR	8,400	$	12,807	$	13,030
Treasury Inflation Protected Securities	2.000	%	01/15/2016	$	41,794		39,516		39,701
Treasury Inflation Protected Securities	2.375	%	04/15/2011		450,290		442,355		448,282
U.S. Treasury Bonds	4.750	%	02/15/2037		100		93		96
U.S. Treasury Notes	3.125	%	09/15/2008		177,200		173,228		175,120
U.S. Treasury Notes	3.250	%	08/15/2007		255,600		255,265		258,715
U.S. Treasury Notes	3.375	%	02/15/2008		147,500		146,033		148,054
U.S. Treasury Notes	3.625	%	05/15/2013		43,200		40,404		40,679
U.S. Treasury Notes	4.500	%	02/15/2016		108,600		103,488		106,771
U.S. Treasury Notes	4.750	%	05/15/2014		216,500		213,807		215,399
U.S. Treasury Notes	4.875	%	08/15/2016		55,000		53,834		55,424
						$	1,480,830	$	1,501,271

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	200	07/2007	$	1	$	0		$	1
Buy	BRL	54,119	10/2007		44		(210	)		(166	)
Sell	CAD	25,299	08/2007		0		(105	)		(105	)
Sell	CHF	10,851	09/2007		1		0			1
Buy	CNY	427,717	09/2007		1,085		0			1,085
Buy		640,353	01/2008		448		0			448
Buy		942,305	03/2008		0		(668	)		(668	)
Sell	GBP	70,687	08/2007		0		(744	)		(744	)
Sell	JPY	1,044,902	07/2007		123		0			123
Buy	KRW	1,843,237	07/2007		8		0			8
Buy		23,968,742	09/2007		106		0			106
Buy	MXN	244,042	09/2007		19		(41	)		(22	)
Buy		59,950	03/2008		62		0			62
Sell	NZD	9,977	07/2007		0		(58	)		(58	)
Buy	PLN	83,798	09/2007		561		0			561
Buy	RUB	40,606	12/2007		34		0			34
Buy		729,570	01/2008		244		0			244
Buy	SEK	3,013	09/2007		3		0			3
Sell		58,285	09/2007		0		(102	)		(102	)
Buy	SGD	39,796	07/2007		105		0			105
Sell		24,061	07/2007		0		(93	)		(93	)
Buy		3,051	08/2007		9		0			9
Buy		39,625	10/2007		130		0			130
				$	2,983	$	(2,021	)	$	962

See accompanying notes

Schedule of Investments

RealEstateRealReturn Strategy Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 7.8%
Banking & Finance 4.1%
Atlantic & Western Re Ltd.
11.599% due 01/09/2009	$	700	$	706
C10 Capital SPV Ltd.
6.722% due 12/31/2049		100		98
Citigroup Funding, Inc.
5.320% due 04/23/2009		900		900
Citigroup, Inc.
5.390% due 12/28/2009		800		801
5.395% due 01/30/2009		500		500
General Electric Capital Corp.
5.400% due 12/12/2008		500		501
Rabobank Nederland
5.376% due 01/15/2009		400		400
Residential Reinsurance 2007 Ltd.
12.610% due 06/07/2010		400		401
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		400		400
Vita Capital III Ltd.
6.469% due 01/01/2012		300		300
Wachovia Bank N.A.
5.430% due 12/02/2010		800		801
				5,808
Industrials 3.0%
Canadian Natural Resources Ltd.
6.000% due 08/15/2016		100		99
CSC Holdings, Inc.
7.875% due 12/15/2007		200		202
DaimlerChrysler N.A. Holding Corp.
5.840% due 09/10/2007		3,200		3,203
EchoStar DBS Corp.
7.000% due 10/01/2013		600		594
Harrah’s Operating Co., Inc.
7.500% due 01/15/2009		100		101
				4,199
Utilities 0.7%
BellSouth Corp.
4.240% due 04/26/2008		800		793
Embarq Corp.
7.082% due 06/01/2016		100		101
				894
Total Corporate Bonds & Notes (Cost $10,895)				10,901
CONVERTIBLE BONDS & NOTES 0.5%
Chesapeake Energy Corp.
2.500% due 05/15/2037		650		666
Total Convertible Bonds & Notes (Cost $660)				666
MUNICIPAL BONDS & NOTES 0.8%
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		200		199
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2023		500		529
6.125% due 06/01/2032		400		424
Total Municipal Bonds & Notes (Cost $993)				1,152
U.S. GOVERNMENT AGENCIES 17.2%
Fannie Mae
5.000% due 08/01/2035		859		808
5.500% due 03/01/2034 - 07/01/2037		17,665		17,062
6.000% due 09/01/2036 - 07/01/2037		6,171		6,105
6.214% due 09/01/2044 - 10/01/2044		221		224
Freddie Mac
4.500% due 05/15/2017		69		67
Total U.S. Government Agencies (Cost $24,755)				24,266
U.S. TREASURY OBLIGATIONS 121.4%
Treasury Inflation Protected Securities (b)
1.625% due 01/15/2015		2,490		2,315
1.875% due 07/15/2013		28,725		27,562
1.875% due 07/15/2015		12,114		11,451
2.000% due 01/15/2014		13,306		12,791
2.000% due 07/15/2014		8,882		8,529
2.000% due 01/15/2026		20,827		18,871
2.375% due 04/15/2011		19,983		19,771
2.375% due 01/15/2017		5,739		5,605
2.375% due 01/15/2025		15,167		14,589
2.375% due 01/15/2027		2,767		2,658
3.000% due 07/15/2012		1,271		1,296
3.375% due 04/15/2032		931		1,072
3.625% due 01/15/2008		256		256
3.625% due 04/15/2028		20,702		23,990
3.875% due 04/15/2029		8,801		10,629
4.250% due 01/15/2010		5,184		5,382
U.S. Treasury Bonds
6.000% due 02/15/2026		100		109
6.625% due 02/15/2027		1,100		1,289
U.S. Treasury Notes
4.500% due 02/28/2011		100		99
4.500% due 11/15/2015		1,700		1,640
4.625% due 02/15/2017		500		484
5.125% due 05/15/2016		600		604
Total U.S. Treasury Obligations (Cost $174,690)				170,992
MORTGAGE-BACKED SECURITIES 1.4%
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		73		73
Countrywide Home Loan Mortgage Pass-Through Trust
5.660% due 06/25/2035		562		561
GSR Mortgage Loan Trust
4.538% due 09/25/2035		1,315		1,296
Total Mortgage-Backed Securities (Cost $1,943)				1,930
ASSET-BACKED SECURITIES 0.2%
Lehman XS Trust
5.400% due 07/25/2046		152		152
Merrill Lynch Mortgage Investors, Inc.
5.400% due 01/25/2037		45		46
Residential Asset Securities Corp.
5.390% due 04/25/2036		26		26
Soundview Home Equity Loan Trust
5.390% due 03/25/2036		3		3
Total Asset-Backed Securities (Cost $227)				227
FOREIGN CURRENCY-DENOMINATED ISSUES 3.2%
Canadian Government Bond
3.000% due 12/01/2036 (b)	CAD	217		244
France Government Bond
3.000% due 07/25/2012 (b)	EUR	1,846		2,568
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (b)		543		717
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	200		1,033
Total Foreign Currency-Denominated Issues (Cost $4,678)				4,562
SHORT-TERM INSTRUMENTS 14.2%
Certificates of Deposit 1.4%
Abbey National Treasury Services PLC
5.270% due 07/02/2008	$	2,000		2,001
Commercial Paper 0.6%
Cox Communications, Inc.
5.570% due 09/17/2007		800		800
Repurchase Agreements 0.9%
State Street Bank and Trust Co.
4.900% due 07/02/2007		1,243		1,243
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $1,270. Repurchase proceeds are $1,244.)
U.S. Treasury Bills 11.3%
4.541% due 08/30/2007 - 09/13/2007 (a)(c)(e)		16,145		16,003
Total Short-Term Instruments (Cost $20,046)				20,047
Purchased Options (g) 0.2% (Cost $294)				297
Total Investments (d) 166.9% (Cost $239,181)			$	235,040
Written Options (h) (0.1%) (Premiums $73)				(100	)
Other Assets and Liabilities (Net) (66.8%)				(94,072	)
Net Assets 100.0%			$	140,868

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 $14,869 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $701 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $887 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	78	$	(69	)
90-Day Eurodollar December Futures	Short	12/2008	42		41
90-Day Eurodollar June Futures	Long	06/2008	23		(26	)
90-Day Eurodollar June Futures	Long	06/2009	28		3
90-Day Eurodollar March Futures	Short	03/2008	113		147
90-Day Eurodollar March Futures	Short	03/2009	19		19
90-Day Eurodollar September Futures	Short	09/2008	56		52
Japan Government 10-Year Bond September Futures	Long	09/2007	3		2
U.S. Treasury 5-Year Note September Futures	Long	09/2007	3		(1	)
U.S. Treasury 10-Year Note September Futures	Long	09/2007	388		(394	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	241		232
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	45		(67	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	157		(297	)
				$	(358	)

(f) Swap agreements outstanding on June 30, 2007:

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	Ford Motor Credit Co. 7.000% due 10/01/2013	Buy	(0.850	%)	03/20/2008	$	3,500	$	11
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.970	%	06/20/2012		100		(1	)
Credit Suisse First Boston	Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.010	%	06/20/2012		300		(4	)
								$	6

⁽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	6.500	%	01/15/2010	AUD	900	$	(6	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		8,300		(9	)
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		1,900		(12	)
Bank of America	3-Month Canadian Bank Bill	Receive	5.000	%	06/15/2015	CAD	3,000		76
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017		3,500		1
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	1,400		23
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		100		(2	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.138	%	01/19/2016		2,000		12
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		5,600		77
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		500		(3	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		300		(3	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		800		(8	)
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	%	06/15/2017		4,100		397
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		400		(4	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,500		25
UBS Warburg LLC	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275	%	10/15/2016		500		2
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		500		2
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	4,000		(148	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		900		83
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		1,100		285
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		1,600		(70	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	500,000		(1	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.330	%	02/14/2017	MXN	2,000		3
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		22,400		7
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		2,300		2
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		8,200		4
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		3,600		1
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012	$	9,500		30
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	06/21/2013		4,300		106
Citibank N.A.	3-Month USD-LIBOR	Pay	5.000	%	06/21/2008		300		1
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		23,500		51
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		39,500		(300	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		1,900		23
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	06/21/2008		1,000		(5	)
JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		400		(1	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		1,200		2
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/21/2013		9,500		290
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		2,400		39
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		5,100		19
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		2,300		(21	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		7,000		113
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/21/2008		10,700		(49	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		11,000		(3	)
UBS Warburg LLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		400		(5	)
								$	1,027

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized (Depreciation)
Bear Stearns & Co., Inc.	Long	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR plus 0.350%	02/29/2008	14,434	$	(8,788	)
Credit Suisse First Boston	Long	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR plus 0.350%	02/29/2008	12,463		(6,718	)
						$	(15,506	)

(g) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 30-Year Bond September Futures	$	119.000	08/24/2007	185	$	3	$	3
Put - CBOT U.S. Treasury 10-Year Note September Futures		101.000	08/24/2007	424		8		13
					$	11	$	16

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.353	06/26/2008	EUR	700	$	22	$	26
Put - OTC Euro versus U.S. dollar		1.353	06/26/2008		700		22		18
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	4,400		116		114
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		4,400		116		120
						$	276	$	278

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/15/2013	$	82.000	09/28/2007	$	25,000	$	6	$	0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2014		82.000	09/28/2007		5,000		1		0
						$	7	$	0

Straddle Options

Description	Counterparty	Exercise Price(2)		Expiration Date	Notional Amount		Cost(2)		Value
Call & Put - OTC U.S. dollar versus Swiss franc Forward Delta Neutral Straddle	JPMorgan Chase & Co.	CHF	0.000	09/26/2007	$	200	$	0	$	0
Call & Put - OTC U.S. dollar versus Swiss franc Forward Delta Neutral Straddle	Royal Bank of Scotland Group PLC		0.000	09/26/2007		1,000		0		3
							$	0	$	3

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

(h) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.000	08/24/2007	124	$	33	$	76
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	8		1		0
Call - CBOT U.S. Treasury 30-Year Bond September Futures		109.000	08/24/2007	16		5		10
Put - CBOT U.S. Treasury 10-Year Note September Futures		103.000	08/24/2007	124		34		14
					$	73	$	100

(i) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Treasury Inflation Protected Securities	2.500	%	07/15/2016	$	308	$	303	$	305
U.S. Treasury Notes	4.250	%	11/15/2013		8,200		7,889		7,946
						$	8,192	$	8,251

⁽³⁾ Market value includes $49 of interest payable on short sales.

(j) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	726	10/2007	$	1	$	(3	)	$	(2	)
Buy	CAD	128	07/2007		1		0			1
Sell		104	08/2007		0		0			0
Sell	CHF	181	09/2007		0		0			0
Buy	CNY	17,829	01/2008		12		0			12
Buy		14,704	03/2008		0		(10	)		(10	)
Sell	EUR	2,405	07/2007		0		(31	)		(31	)
Sell	GBP	1,010	08/2007		0		(11	)		(11	)
Sell	JPY	21,639	07/2007		3		0			3
Buy	KRW	22,230	07/2007		0		0			0
Buy		323,883	09/2007		1		0			1
Buy	MXN	3,244	09/2007		0		(1	)		(1	)
Buy		833	03/2008		1		0			1
Buy	PLN	1,192	09/2007		8		0			8
Buy	RUB	1,128	12/2007		1		0			1
Buy		9,669	01/2008		3		0			3
Buy	SGD	538	07/2007		1		0			1
Sell		325	07/2007		0		(1	)		(1	)
Buy		37	08/2007		0		0			0
Buy		535	10/2007		2		0			2
				$	34	$	(57	)	$	(23	)

See accompanying notes

Schedule of Investments

Short Duration Municipal Income Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 95.6%
Alabama 3.5%
Daphne, Alabama Special Care Facilities Financing Authority Revenue Bonds, Series 1988
0.000% due 08/15/2028	$	3,500	$	3,351
Jefferson County, Alabama Limited Obligation Revenue Notes, Series 2004
5.000% due 01/01/2009		1,100		1,117
5.250% due 01/01/2013		4,350		4,587
				9,055
Arizona 5.0%
Arizona State Greater Arizona Development Authority Infrastructure Revenue Notes, (MBIA Insured), Series 2005
5.000% due 08/01/2011		2,195		2,282
5.000% due 08/01/2012		2,305		2,413
Arizona State Water Infrastructure Finance Authority Revenue Bonds, Series 2004
5.000% due 10/01/2014		2,000		2,122
Maricopa, Arizona Hospital Revenue Notes, Series 2005
5.000% due 04/01/2010		2,000		2,034
Nogales, Arizona Revenue Bonds, Series 2006
3.750% due 10/01/2046		1,000		986
Phoenix, Arizona Civic Improvement Corp. Revenue Bonds, (MBIA Insured), Series 2004
5.000% due 07/01/2015		3,000		3,170
				13,007
California 12.8%
Culver, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2023		620		640
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021		895		905
6.250% due 06/01/2033		26,360		28,702
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2030		2,275		735
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2014		3,595		2,681
				33,663
Florida 2.7%
Collier, Florida Multi-Family Housing Finance Authority Revenue Notes, Series 2002
4.600% due 08/15/2011		665		680
Dade County, Florida Guaranteed Entitlement Revenue Bonds, (MBIA Insured), Series 1995
0.000% due 02/01/2018		2,000		1,082
Gulf Breeze, Florida Revenue Bonds, (MBIA Insured), Series 1997
2.475% due 12/01/2017		500		525
Hillsborough County, Florida Utility Revenue Bonds, Series 1978
6.200% due 12/01/2008		125		127
Orlando, Florida Waste Water System Revenue Bonds, Series 1997
9.894% due 10/01/2015		4,750		4,744
				7,158
Illinois 4.7%
Chicago, Illinois Board of Education General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 12/01/2014		3,510		3,714
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		1,248
Geneva, Illinois Revenue Bonds, (FSA Insured), Series 2003
5.000% due 05/01/2016		1,425		1,482
Illinois State Finance Authority Revenue Notes, Series 2004
5.250% due 11/15/2012		1,000		1,045
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		1,609
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		1,310
Sangamon County, Illinois School District No. 186 Springfield General Obligation Notes, (FGIC Insured), Series 2004
0.000% due 10/01/2008		1,225		1,159
0.000% due 10/01/2010		15		13
				12,338
Indiana 1.5%
Indiana State Health Facility Financing Authority Revenue Notes, Series 2005
5.000% due 11/01/2010		3,700		3,808
Kansas 0.1%
Wichita, Kansas Water & Sewer Utility Revenue Notes, (FGIC Insured), Series 2003
5.000% due 10/01/2010		355		367
Massachusetts 6.9%
Commonwealth of Massachusetts State General Obligation Bonds, (FSA Insured), Series 2006
3.810% due 11/01/2019		3,000		2,914
Commonwealth of Massachusetts State General Obligation Bonds, (MBIA-IBC Insured), Series 1996
6.000% due 11/01/2011		1,500		1,622
Commonwealth of Massachusetts State Revenue Bonds, (FGIC Insured), Series 2004
2.017% due 01/01/2016		3,200		3,385
Massachusetts State Bay Transportation Authority Revenue Bonds, Series 2004
3.317% due 07/01/2020		7,005		6,862
Massachusetts State Municipal Wholesale Electric Co. Revenue Bonds, (AMBAC Insured), Series 1993
5.450% due 07/01/2018		1,400		1,410
Massachusetts State Municipal Wholesale Electric Co. Revenue Notes, (MBIA Insured), Series 2001
5.000% due 07/01/2010		1,000		1,029
Massachusetts State Port Authority Revenue Bonds, (FSA-CR Insured), Series 1998
5.500% due 07/01/2014		1,000		1,025
				18,247
Michigan 1.5%
Clintondale, Michigan Community Schools General Obligation Notes, (FGIC Q-SBLF Insured), Series 2004
5.000% due 05/01/2011		960		995
Michigan State General Obligation Bonds, Series 1992
6.250% due 11/01/2012		2,750		2,953
				3,948
Missouri 2.5%
Springfield, Missouri Revenue Bonds, (FGIC Insured), Series 2006
4.750% due 08/01/2034		6,500		6,528
Nevada 2.8%
Clark County, Nevada General Obligation Bonds, (AMBAC Insured), Series 2004
5.000% due 12/01/2015		3,910		4,140
Nevada State General Obligation Notes, (MBIA Insured), Series 2006
5.000% due 07/01/2016		3,020		3,209
				7,349
New Jersey 0.8%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.375% due 04/01/2018		500		567
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2003
6.125% due 06/01/2024		1,500		1,590
				2,157
New York 13.3%
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
4.811% due 09/01/2015		5,000		4,983
New York City, New York General Obligation Bonds, (FGIC Insured), Series 1998
5.250% due 08/01/2010		2,505		2,570
New York City, New York General Obligation Bonds, Series 2001
5.250% due 08/01/2012		1,350		1,414
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
2.798% due 03/01/2022		8,000		7,869
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.500% due 11/01/2026		100		106
New York City, New York Transitional Finance Authority Revenue Notes, (FSA Insured), Series 2003
5.250% due 02/01/2012		2,405		2,533
New York State Dormitory Authority Revenue Bonds, (FGIC-TCRS Insured), Series 1993
5.750% due 07/01/2009		8,085		8,275
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		800		864
New York State Dormitory Authority Revenue Bonds, Series 2007
5.000% due 02/15/2037		1,500		1,536
New York State Local Government Assistance Corporations Revenue Notes, (FSA Insured), Series 2003
5.000% due 04/01/2012		500		523
New York State Tobacco Settlement Financing Corporations Revenue Notes, Series 2003
5.250% due 06/01/2012		140		140
New York State TSASC, Inc. Revenue Bonds, Series 2002
5.000% due 07/15/2014		2,000		2,089
New York State Urban Development Corporations Revenue Bonds, Series 2002
5.500% due 01/01/2017		2,000		2,093
				34,995
North Carolina 0.7%
North Carolina State General Obligation Notes, Series 2006
5.000% due 06/01/2015		1,750		1,865
Ohio 0.4%
Ohio State Air Quality Development Authority Revenue Bonds, Series 1995
5.000% due 11/01/2015		1,000		1,031
Oklahoma 2.4%
Oklahoma City, Oklahoma General Obligation Bonds, Series 1999
5.000% due 07/01/2011		100		102
Oklahoma State Development Finance Authority Revenue Bonds, Series 1999
5.625% due 08/15/2029		5,900		6,166
				6,268
Oregon 0.5%
Oregon State Facilities Authority Revenue Notes, Series 2005
5.000% due 10/01/2011		795		812
5.000% due 10/01/2012		435		446
				1,258
Puerto Rico 3.2%
Commonwealth of Puerto Rico Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2008		8,000		8,100
Puerto Rico Children's Trust Fund Revenue Notes, Series 2000
5.750% due 07/01/2010		250		263
				8,363
Tennessee 1.9%
Nashville & Davidson Counties, Tennessee Health & Educational Facilities Revenue Bonds, Series 1977
6.100% due 07/01/2010		275		282
Tennessee State Energy Acquisition Corp Revenue Bonds, Series 2006
5.000% due 09/01/2015		4,600		4,813
				5,095
Texas 12.1%
Birdville, Texas Independent School District General Obligations Bonds, (PSF-GTD Insured), Series 2007
0.000% due 02/15/2023		3,510		1,619
Dallas, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2004
5.000% due 02/15/2012		2,450		2,547
Ennis, Texas Independent School District 903 General Obligation Bonds, (PSF-GTD Insured), Series 2006
0.000% due 08/15/2032		4,055		1,142
Fort Worth, Texas Water & Sewer Revenue Notes, (FSA Insured), Series 2003
5.000% due 02/15/2012		2,500		2,607
Houston, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2005
0.000% due 02/15/2015		16,000		11,497
Houston, Texas Water Conveyance System Certificates of Participation Bonds, (AMBAC Insured), Series 1993
6.800% due 12/15/2011		3,000		3,328
Lower Colorado River, Texas Authority Revenue Bonds, (FSA Insured), Series 1999
6.000% due 05/15/2010		400		419
Lower Colorado River, Texas Authority Revenue Bonds, (MBIA Insured) Series 2006
4.750% due 05/15/2029		5,665		5,689
Sabine River, Texas Pollution Control Authority Revenue Bonds, Series 2001
5.500% due 05/01/2022		1,000		1,017
San Antonio, Texas Electricity & Gas Revenue Bonds, Series 2005
3.550% due 12/01/2027		1,500		1,497
Southeast Texas State Hospital Financing Agency Revenue Bonds, Series 1979
7.500% due 12/01/2009		455		476
Texas State Municipal Power Agency Revenue Bonds, (AMBAC Insured), Series 1989
0.000% due 09/01/2008		10		10
				31,848
Virginia 2.3%
Virginia State Public Building Authority Revenue Bonds, (MBIA Insured), Series 2004
5.250% due 08/01/2014		5,000		5,378
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.250% due 06/01/2019		750		774
				6,152
Washington 6.5%
Everett, Washington Water & Sewer Revenue Notes, (MBIA Insured), Series 2003
4.500% due 07/01/2011		1,495		1,523
Washington State Energy Northwest Revenue Notes, (AMBAC Insured), Series 2004
5.250% due 07/01/2009		150		154
Washington State Energy Northwest Revenue Notes, (MBIA Insured), Series 2003
5.500% due 07/01/2012		1,500		1,600
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2019		2,960		1,690
Washington State General Obligation Bonds, Series 2001
5.000% due 01/01/2012		2,000		2,062
Washington State General Obligation Notes, (AMBAC Insured), Series 2004
0.000% due 12/01/2008		1,775		1,670
Washington State Tobacco Settlement Authority Revenue Notes, Series 2002
5.250% due 06/01/2010		8,245		8,468
				17,167
West Virginia 0.0%
Kanawha County, West Virginia Residential Mortgage Revenue Bonds, (FGIC Insured), Series 1979
7.375% due 09/01/2010		90		95
Wisconsin 7.5%
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Notes, Series 2002
5.000% due 06/01/2008		2,240		2,257
Wisconsin State General Obligation Notes, (MBIA Insured), Series 2004
5.000% due 05/01/2012		3,000		3,132
Wisconsin State Housing & Economic Development Authority Revenue Bonds, (MBIA GO OF AUTH Insured), Series 2002
5.350% due 11/01/2022		8,950		9,204
Wisconsin State Housing & Economic Development Revenue Notes, (MBIA Insured), Series 2002
4.500% due 05/01/2010		1,960		1,989
4.500% due 11/01/2010		2,070		2,105
Wisconsin State Petroleum Revenue Notes, (FSA Insured), Series 2004
5.000% due 07/01/2012		1,000		1,037
				19,724
Total Municipal Bonds & Notes (Cost $254,352)				251,486
SHORT-TERM INSTRUMENTS 1.4%
Repurchase Agreements 1.2%
State Street Bank and Trust Co.
4.900% due 07/02/2007		3,036		3,036
(Dated 06/29/2007. Collateralized by Fannie Mae 3.250% due 08/15/2008 valued at $3,098. Repurchase proceeds are $3,037.)
U.S. Treasury Bills 0.2%
4.622% due 08/30/2007 - 09/13/2007 (a)(b)		545		541
Total Short-Term Instruments (Cost $3,577)				3,577
Total Investments 97.0% (Cost $257,929)			$	255,063
Other Assets and Liabilities (Net) 3.0%				7,879
Net Assets 100.0%			$	262,942

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 $541 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	100	$	51
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	60		(25	)
				$	26

(c) Swap agreements outstanding on June 30, 2007:

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	Receive	5.000	%	12/19/2017	$	109,200	$	(854	)

See accompanying notes

Schedule of Investments

Short-Term Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.1%
HCA, Inc.
7.600% due 11/14/2013	$	2,494	$	2,508
Kinder Morgan, Inc.
6.820% due 05/24/2014		9,000		9,004
MGM Mirage
6.505% due 10/03/2011		1,800		1,784
6.531% due 10/03/2011		1,800		1,784
6.555% due 10/03/2011		5,400		5,351
SLM Corp.
6.000% due 06/30/2008		24,000		23,880
Total Bank Loan Obligations (Cost $44,262)				44,311
CORPORATE BONDS & NOTES 25.0%
Banking & Finance 15.5%
American Express Bank FSB
5.290% due 08/10/2007		4,000		4,000
5.340% due 06/12/2009		12,700		12,705
5.380% due 06/22/2009		3,000		3,003
American Express Credit Corp.
5.380% due 03/02/2009		900		901
American Honda Finance Corp.
5.346% due 08/05/2008		3,100		3,101
American International Group, Inc.
5.360% due 06/23/2008		6,300		6,303
5.395% due 01/29/2010		26,800		26,819
Bank of America N.A.
5.355% due 07/25/2008		400		400
5.360% due 12/18/2008		2,600		2,602
5.360% due 06/12/2009		12,700		12,705
Bank of Ireland
5.370% due 12/19/2008		12,800		12,816
5.410% due 12/18/2009		5,200		5,210
Bank of Scotland
5.860% due 11/22/2012		2,000		2,004
Bear Stearns Cos., Inc.
5.450% due 02/23/2010		17,200		17,150
Calabash Re II Ltd.
16.260% due 01/08/2010		2,300		2,394
CIT Group, Inc.
5.505% due 01/30/2009		19,100		19,076
5.600% due 11/23/2007		75		75
Citigroup, Inc.
5.395% due 01/30/2009		31,900		31,920
5.400% due 12/26/2008		9,700		9,708
5.405% due 05/02/2008		5,300		5,305
Credit Agricole S.A.
5.360% due 05/28/2009		14,300		14,306
East Lane Re Ltd.
12.355% due 05/06/2011		1,700		1,708
Ford Motor Credit Co.
5.625% due 10/01/2008		3,200		3,160
6.190% due 09/28/2007		2,200		2,200
7.250% due 10/25/2011		3,050		2,938
7.800% due 06/01/2012		250		244
General Electric Capital Corp.
5.410% due 10/06/2010		13,800		13,811
5.417% due 05/10/2010		16,500		16,527
5.430% due 08/15/2011		1,300		1,300
5.460% due 06/15/2009		2,000		2,005
General Motors Acceptance Corp.
6.510% due 09/23/2008		2,600		2,601
Glitnir Banki HF
5.618% due 04/20/2010		6,000		5,995
GMAC LLC
4.375% due 12/10/2007		1,000		993
6.610% due 05/15/2009		5,900		5,903
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		900		900
5.450% due 12/22/2008		5,200		5,207
5.450% due 06/23/2009		41,910		41,961
5.660% due 06/28/2010		5,260		5,294
5.685% due 07/23/2009		1,000		1,006
HSBC Finance Corp.
5.300% due 08/15/2007		3,300		3,300
5.415% due 10/21/2009		5,000		5,003
5.440% due 03/12/2010		3,200		3,200
5.490% due 09/15/2008		10,280		10,302
5.500% due 12/05/2008		1,600		1,604
5.640% due 11/16/2009		4,000		4,022
ING Security Life Institutional Funding
5.436% due 01/14/2008		21,000		21,012
JPMorgan Chase & Co.
5.370% due 05/07/2010		19,100		19,113
Lehman Brothers Holdings, Inc.
5.370% due 11/24/2008		700		700
5.385% due 07/19/2007		8,100		8,101
5.570% due 12/23/2010		9,700		9,712
Longpoint Re Ltd.
10.609% due 05/08/2010		3,300		3,300
MBNA Corp.
5.786% due 05/05/2008		6,320		6,345
MBNA Europe Funding PLC
5.460% due 09/07/2007		22,900		22,907
Merrill Lynch & Co., Inc.
5.606% due 02/06/2009		2,660		2,669
Metropolitan Life Global Funding I
5.400% due 05/17/2010		19,100		19,113
Mirage Resorts, Inc.
6.750% due 08/01/2007		3,530		3,535
6.750% due 02/01/2008		1,000		1,006
Morgan Stanley
5.406% due 05/07/2009		9,700		9,706
5.467% due 02/09/2009		12,100		12,120
Mystic Re Ltd.
15.360% due 06/07/2011		700		702
National Australia Bank Ltd.
5.349% due 10/01/2008		2,000		2,001
5.400% due 09/11/2009		8,900		8,913
Rabobank Nederland
5.350% due 04/06/2009		6,700		6,706
5.376% due 01/15/2009		14,800		14,810
Redwood Capital IX Ltd.
11.610% due 01/09/2008		2,000		2,018
Residential Reinsurance 2007 Ltd.
15.610% due 06/07/2010		4,300		4,303
Royal Bank of Scotland Group PLC
5.360% due 04/11/2008		4,100		4,104
Santander U.S. Debt S.A. Unipersonal
5.416% due 02/06/2009		19,200		19,221
5.420% due 09/19/2008		6,000		6,006
SLM Corp.
5.435% due 01/25/2008		2,000		1,991
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		13,570		13,578
Ventas Realty LP
6.750% due 06/01/2010		4,960		5,035
8.750% due 05/01/2009		3,000		3,154
Vita Capital III Ltd.
6.449% due 01/01/2011		2,200		2,203
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		17,200		17,239
Wachovia Bank N.A.
5.320% due 10/03/2008		10,400		10,404
5.360% due 02/23/2009		25,000		25,014
5.400% due 03/23/2009		3,300		3,302
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		1,000		1,015
World Savings Bank FSB
5.410% due 06/20/2008		2,000		2,002
				626,747
Industrials 5.6%
Albertson’s, Inc.
6.950% due 08/01/2009		2,100		2,153
Amgen, Inc.
5.440% due 11/28/2008		30,300		30,318
Comcast Corp.
5.656% due 07/14/2009		2,100		2,101
CSC Holdings, Inc.
7.250% due 07/15/2008		2,800		2,828
CVS Caremark Corp.
5.660% due 06/01/2010		7,800		7,808
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		3,800		3,809
5.840% due 09/10/2007		24,800		24,821
Dex Media East LLC
9.875% due 11/15/2009		1,500		1,558
EchoStar DBS Corp.
5.750% due 10/01/2008		3,500		3,500
6.375% due 10/01/2011		5,800		5,698
El Paso Corp.
6.500% due 06/01/2008		3,000		3,028
7.625% due 08/16/2007		10,000		10,073
Enterprise Products Operating LP
4.000% due 10/15/2007		2,260		2,251
Equistar Chemicals LP
8.750% due 02/15/2009		8,200		8,528
10.125% due 09/01/2008		1,428		1,492
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		1,525		1,586
General Mills, Inc.
5.485% due 01/22/2010		8,000		7,999
Historic TW, Inc.
8.180% due 08/15/2007		5,381		5,400
HJ Heinz Co.
6.428% due 12/01/2008		13,500		13,639
Intelsat Bermuda Ltd.
5.250% due 11/01/2008		1,500		1,485
JC Penney Corp., Inc.
6.500% due 12/15/2007		5,953		5,972
Mandalay Resort Group
6.500% due 07/31/2009		1,500		1,508
10.250% due 08/01/2007		400		402
Owens Brockway Glass Container, Inc.
8.750% due 11/15/2012		1,000		1,048
8.875% due 02/15/2009		8,752		8,949
Reynolds American, Inc.
6.060% due 06/15/2011		9,600		9,644
RH Donnelley, Inc.
10.875% due 12/15/2012		3,000		3,206
Royal Caribbean Cruises Ltd.
7.000% due 10/15/2007		7,890		7,954
Service Corp. International
6.500% due 03/15/2008		8,975		8,995
Southern Natural Gas Co.
6.125% due 09/15/2008		1,730		1,746
6.700% due 10/01/2007		4,136		4,168
Sungard Data Systems, Inc.
3.750% due 01/15/2009		3,400		3,298
Transcontinental Gas Pipe Line Corp.
6.636% due 04/15/2008		1,650		1,640
Transocean, Inc.
5.560% due 09/05/2008		4,500		4,504
Trinity Industries Leasing Co.
7.755% due 02/15/2009		1,896		1,945
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		6,500		6,499
Williams Cos., Inc.
6.375% due 10/01/2010		7,000		7,053
Xerox Corp.
6.110% due 12/18/2009		2,000		2,026
9.750% due 01/15/2009		6,415		6,788
				227,420
Utilities 3.9%
AT&T, Inc.
5.456% due 02/05/2010		11,900		11,921
5.570% due 11/14/2008		2,000		2,007
BellSouth Corp.
4.240% due 04/26/2008		9,300		9,218
5.460% due 08/15/2008		1,400		1,401
CMS Energy Corp.
7.500% due 01/15/2009		11,775		12,134
9.875% due 10/15/2007		4,100		4,159
Dominion Resources, Inc.
5.660% due 09/28/2007		14,000		14,004
Entergy Gulf States, Inc.
3.600% due 06/01/2008		5,635		5,536
6.110% due 12/08/2008		9,600		9,629
Florida Power Corp.
5.760% due 11/14/2008		17,400		17,431
Midwest Generation LLC
8.300% due 07/02/2009		9,102		9,290
Ohio Edison Co.
4.000% due 05/01/2008		22,678		22,404
Ohio Power Co.
5.530% due 04/05/2010		2,000		2,003
PSEG Energy Holdings LLC
8.625% due 02/15/2008		2,815		2,866
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		3,400		3,417
Qwest Corp.
5.625% due 11/15/2008		5,000		5,006
SEMCO Energy, Inc.
7.125% due 05/15/2008		400		403
Sprint Nextel Corp.
5.760% due 06/28/2010		14,200		14,208
TXU Corp.
6.375% due 01/01/2008		4,100		4,131
TXU Electric Delivery Co.
5.735% due 09/16/2008		2,300		2,301
TXU Energy Co. LLC
5.860% due 09/16/2008		3,900		3,903
				157,372
Total Corporate Bonds & Notes (Cost $1,011,069)				1,011,539
COMMODITY INDEX-LINKED NOTES 0.2%
Morgan Stanley
0.000% due 07/07/2008		10,000		9,943
Total Commodity Index-Linked Notes (Cost $10,000)				9,943
U.S. GOVERNMENT AGENCIES 18.9%
Fannie Mae
3.500% due 04/25/2011		162		162
3.625% due 07/01/2034		63		63
3.747% due 06/01/2034		35		35
4.500% due 09/25/2025		232		229
4.618% due 09/01/2035		1,186		1,175
4.787% due 11/01/2035		1,788		1,778
5.000% due 01/25/2017 - 03/01/2037		4,411		4,156
5.044% due 01/01/2036		592		596
5.380% due 12/25/2036		1,226		1,222
5.450% due 03/25/2036		790		792
5.470% due 08/25/2034		1,555		1,556
5.474% due 01/01/2032		1,243		1,266
5.500% due 02/01/2014 - 07/01/2037		84,403		82,777
5.540% due 02/01/2018		32		32
5.549% due 01/01/2027 - 04/01/2029		267		269
5.620% due 03/25/2036		4,641		4,651
5.626% due 11/01/2025 - 05/01/2036		339		342
5.642% due 05/01/2021 - 05/01/2036		17,194		17,339
5.670% due 09/25/2042 - 03/25/2044		2,933		2,937
5.770% due 10/25/2030		8		8
5.884% due 12/01/2036		215		216
5.898% due 12/01/2036		227		228
5.920% due 10/25/2017		383		388
6.000% due 08/01/2035 - 07/01/2037		344,567		340,975
6.095% due 07/01/2029		325		329
6.227% due 06/01/2043 - 10/01/2044		19,986		20,240
6.500% due 10/25/2023 (a)		46		3
6.500% due 11/01/2028 - 10/25/2042		1,218		1,233
7.000% due 03/01/2013		55		57
7.095% due 08/01/2026		19		19
7.140% due 08/01/2029		2,309		2,325
7.219% due 12/01/2040		741		750
7.500% due 10/01/2023		37		38
8.929% due 06/25/2032		872		910
Federal Home Loan Bank
3.500% due 05/13/2008 - 12/12/2008		3,135		3,069
4.000% due 07/30/2008 - 04/20/2009		51,400		50,489
4.020% due 06/30/2009		2,000		1,958
4.150% due 01/12/2009		1,950		1,920
4.250% due 09/26/2008		2,600		2,569
4.330% due 03/16/2010		2,500		2,444
4.400% due 02/08/2010		22,340		21,908
4.500% due 06/22/2010		12,400		12,175
4.875% due 08/22/2007		400		400
Federal Housing Administration
7.350% due 04/01/2019		174		175
7.430% due 09/01/2022		86		86
7.435% due 02/01/2019		201		202
Freddie Mac
3.000% due 12/15/2021		825		816
4.000% due 04/15/2022 - 11/15/2022		6,774		6,714
4.500% due 12/15/2025 - 08/01/2035		6,247		6,215
5.000% due 01/15/2018 - 03/15/2026		1,534		1,522
5.500% due 05/01/2013 - 05/15/2016		29,826		29,783
5.550% due 07/15/2037		80,600		80,594
5.720% due 06/15/2031		489		494
6.120% due 10/15/2007		2		2
6.227% due 10/25/2044 - 02/25/2045		12,953		13,044
6.427% due 07/25/2044		15,494		15,625
6.500% due 08/15/2008 - 07/25/2043		1,699		1,703
6.750% due 08/15/2023		753		766
Ginnie Mae
4.750% due 09/20/2023 - 09/20/2027		440		445
5.125% due 11/20/2026 - 10/20/2027		1,143		1,156
5.250% due 03/20/2030		919		927
5.375% due 05/20/2021 - 04/20/2030		4,327		4,382
5.380% due 05/20/2030		781		791
5.500% due 08/20/2029 - 09/20/2029		3,540		3,573
5.750% due 07/20/2022 - 09/20/2027		319		323
5.820% due 02/16/2030		74		75
5.970% due 02/16/2030		221		224
6.000% due 01/15/2032 - 03/20/2032		5,478		5,484
6.125% due 10/20/2017 - 12/20/2024		47		48
6.250% due 03/20/2029		312		314
6.270% due 03/20/2031		251		255
6.375% due 01/20/2022 - 02/20/2025		1,172		1,182
6.500% due 02/20/2019		26		26
7.500% due 02/20/2030		194		201
8.000% due 12/15/2030 - 03/15/2032		215		228
8.500% due 06/20/2027		192		206
Small Business Administration
7.540% due 08/10/2009		106		108
Total U.S. Government Agencies (Cost $767,517)				763,717
MORTGAGE-BACKED SECURITIES 10.3%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		2,910		2,855
Arkle Master Issuer PLC
5.300% due 11/19/2007		5,300		5,302
Arran Residential Mortgages Funding PLC
5.340% due 04/12/2036		2,904		2,904
Banc of America Funding Corp.
4.614% due 02/20/2036		10,160		10,001
5.380% due 01/25/2037		620		620
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		1,268		1,269
7.429% due 07/20/2032		288		292
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		28,986		28,667
6.337% due 11/25/2030		463		462
Bear Stearns Alt-A Trust
5.480% due 02/25/2034		2,866		2,867
5.824% due 11/25/2036		5,931		5,940
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		800		805
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		8,851		8,855
CC Mortgage Funding Corp.
5.450% due 05/25/2048		5,100		5,105
Citigroup Mortgage Loan Trust, Inc.
4.677% due 08/25/2035		1,027		1,009
Countrywide Alternative Loan Trust
5.500% due 02/20/2047		10,252		10,239
5.500% due 05/25/2047		7,542		7,563
5.600% due 02/25/2037		5,974		5,989
Countrywide Home Loan Mortgage Pass-Through Trust
3.908% due 11/19/2033		235		231
5.550% due 05/25/2035		184		184
5.590% due 05/25/2034		82		82
5.660% due 06/25/2035		15,061		15,036
6.834% due 07/19/2031		10		10
CS First Boston Mortgage Securities Corp.
5.953% due 03/25/2032		61		61
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		1,947		1,948
5.400% due 02/25/2037		2,923		2,925
5.410% due 08/25/2037		3,500		3,500
First Republic Mortgage Loan Trust
5.620% due 08/15/2032		9,372		9,395
5.640% due 06/25/2030		1,149		1,150
5.670% due 11/15/2031		586		588
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		10,479		10,488
5.400% due 01/25/2047		8,098		8,103
5.550% due 06/25/2045		485		486
Greenwich Capital Acceptance, Inc.
8.137% due 06/25/2024		13		14
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		19,500		19,521
GSR Mortgage Loan Trust
4.538% due 09/25/2035		10,676		10,523
GSRPM Mortgage Loan Trust
5.720% due 11/25/2031		3,134		3,139
Harborview Mortgage Loan Trust
5.450% due 04/19/2038		2,752		2,749
5.540% due 05/19/2035		2,567		2,570
5.560% due 03/19/2037		8,921		8,940
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		4,102		4,105
Indymac ARM Trust
6.633% due 01/25/2032		12		12
6.678% due 01/25/2032		5		5
Indymac Index Mortgage Loan Trust
5.410% due 11/25/2046		3,806		3,809
Lehman ABS Mortgage Loan Trust
5.410% due 06/25/2037		1,478		1,479
MASTR Asset Securitization Trust
5.500% due 09/25/2033		1,703		1,630
MASTR Seasoned Securities Trust
6.202% due 09/25/2017		711		719
Mellon Residential Funding Corp.
5.760% due 12/15/2030		3,347		3,362
5.810% due 10/20/2029		5,170		5,194
Merrill Lynch Floating Trust
5.390% due 06/15/2022		3,468		3,473
MLCC Mortgage Investors, Inc.
5.700% due 03/15/2025		705		707
Morgan Stanley Capital I
5.380% due 10/15/2020		13,712		13,730
RAAC Series 2005-SP1
5.000% due 09/25/2034		840		823
Residential Accredit Loans, Inc.
5.620% due 08/25/2035		2,576		2,581
6.389% due 09/25/2045		925		932
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		286		286
Sequoia Mortgage Funding Co.
0.800% due 10/21/2008 (a)		28,468		70
Sequoia Mortgage Trust
4.081% due 04/20/2035		1,506		1,479
5.670% due 07/20/2033		5,997		6,026
5.700% due 10/20/2027		2,517		2,520
Structured Asset Mortgage Investments, Inc.
5.420% due 09/25/2047		2,090		2,089
5.450% due 03/25/2037		2,927		2,926
5.540% due 05/25/2036		12,904		12,929
5.550% due 05/25/2045		1,065		1,066
5.650% due 09/19/2032		135		136
5.670% due 03/19/2034		1,330		1,333
Structured Asset Securities Corp.
5.329% due 10/25/2035		2,078		2,076
5.430% due 04/25/2036		2,400		2,402
6.063% due 02/25/2032		380		380
6.150% due 07/25/2032		469		472
TBW Mortgage-Backed Pass-Through Certificates
5.430% due 01/25/2037		6,300		6,306
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		9,879		9,879
5.440% due 04/25/2036		2,100		2,098
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		21,496		21,508
5.681% due 04/15/2034		595		596
Washington Mutual MSC Mortgage Pass-Through Certificates
5.407% due 02/25/2033		570		569
Washington Mutual, Inc.
5.094% due 10/25/2032		1,287		1,283
5.400% due 06/25/2046		156		156
5.510% due 04/25/2045		112		112
5.610% due 10/25/2045		467		468
5.724% due 08/25/2046		16,074		16,154
5.724% due 12/25/2046		2,619		2,626
5.759% due 01/25/2047		1,179		1,178
5.839% due 12/25/2046		4,123		4,126
5.860% due 12/25/2027		8,838		8,842
5.953% due 09/25/2036		155		155
5.960% due 12/25/2027		4,387		4,390
6.029% due 02/25/2046		6,034		6,046
6.029% due 08/25/2046		31,434		31,515
6.229% due 11/25/2042		1,700		1,702
6.429% due 06/25/2042		2,482		2,480
6.429% due 08/25/2042		2,466		2,475
6.529% due 09/25/2046		857		861
6.529% due 11/25/2046		380		381
Wells Fargo Mortgage-Backed Securities Trust
3.990% due 12/25/2034		9,585		9,392
Total Mortgage-Backed Securities (Cost $416,806)				416,436
ASSET-BACKED SECURITIES 11.1%
Accredited Mortgage Loan Trust
5.370% due 02/25/2037		1,723		1,724
5.480% due 09/25/2035		1,441		1,442
ACE Securities Corp.
5.370% due 12/25/2036		1,580		1,581
5.390% due 12/25/2035		1,059		1,060
5.400% due 02/25/2036		331		331
5.410% due 06/25/2037		2,344		2,345
5.450% due 10/25/2036		2,100		2,101
American Express Credit Account Master Trust
5.320% due 01/18/2011		2,300		2,299
5.430% due 09/15/2010		5,000		5,007
Amortizing Residential Collateral Trust
5.610% due 07/25/2032		14		14
5.670% due 10/25/2031		594		594
5.670% due 08/25/2032		126		126
Argent Securities, Inc.
5.380% due 05/25/2036		165		165
5.390% due 04/25/2036		588		588
5.400% due 03/25/2036		884		885
Asset-Backed Funding Certificates
5.380% due 11/25/2036		2,277		2,279
5.380% due 01/25/2037		4,296		4,298
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		913		913
5.380% due 03/25/2036		50		50
5.400% due 05/25/2037		1,938		1,939
Bank One Issuance Trust
5.430% due 12/15/2010		2,000		2,003
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		563		563
5.390% due 12/25/2036		1,655		1,655
5.400% due 12/25/2035		24		24
5.400% due 10/25/2036		576		576
5.410% due 04/25/2036		333		334
5.650% due 10/25/2032		1,601		1,604
5.720% due 10/27/2032		103		104
5.770% due 03/25/2043		1,734		1,738
Brazos Student Finance Corp.
5.770% due 06/01/2023		1,831		1,838
Carmax Auto Owner Trust
5.328% due 06/16/2008		2,200		2,200
Carrington Mortgage Loan Trust
5.360% due 05/25/2036		178		178
5.640% due 10/25/2035		3,738		3,749
Centex Home Equity
5.490% due 03/25/2035		52		52
5.720% due 10/25/2030		551		552
Chase Credit Card Master Trust
5.430% due 02/15/2011		3,700		3,708
5.490% due 09/15/2011		18,800		18,869
CIT Group Home Equity Loan Trust
5.590% due 06/25/2033		90		90
Citibank Credit Card Issuance Trust
5.456% due 01/15/2010		1,040		1,041
5.526% due 02/07/2010		1,500		1,503
Citigroup Mortgage Loan Trust, Inc.
5.360% due 12/25/2036		2,158		2,159
5.370% due 11/25/2036		435		436
5.380% due 01/25/2037		1,579		1,580
5.380% due 05/25/2037		3,000		3,003
5.390% due 01/25/2037		4,669		4,673
5.400% due 12/25/2035		1,035		1,035
5.430% due 03/25/2037		766		767
Countrywide Asset-Backed Certificates
5.370% due 05/25/2037		11,454		11,463
5.370% due 07/25/2037		3,884		3,887
5.370% due 03/25/2047		319		319
5.380% due 03/25/2037		366		366
5.380% due 09/25/2046		283		284
5.390% due 06/25/2036		652		653
5.390% due 07/25/2036		155		155
5.390% due 08/25/2036		143		143
5.390% due 09/25/2036		196		196
5.390% due 06/25/2037		1,821		1,822
5.400% due 06/25/2037		3,446		3,448
5.400% due 10/25/2037		1,962		1,963
5.420% due 08/25/2037		11,400		11,392
5.420% due 09/25/2037		1,903		1,904
5.420% due 09/25/2047		2,869		2,871
5.450% due 07/25/2036		621		621
5.480% due 02/25/2036		1,319		1,320
5.500% due 09/25/2036		2,700		2,702
5.510% due 06/25/2036		2,100		2,103
5.590% due 06/25/2035		7		7
5.800% due 12/25/2031		97		97
6.060% due 05/25/2032		183		183
Countrywide Home Equity Loan Trust
5.460% due 01/15/2037		259		260
Credit-Based Asset Servicing & Securitization LLC
5.380% due 11/25/2036		419		420
5.410% due 12/25/2037		2,886		2,886
5.580% due 12/25/2035		8		8
Delta Funding Home Equity Loan Trust
6.140% due 09/15/2029		44		44
EMC Mortgage Loan Trust
5.690% due 05/25/2040		206		206
Equity One Asset-Backed Securities, Inc.
5.620% due 04/25/2034		627		629
First Franklin Mortgage Loan Asset-Backed Certificates
5.350% due 05/25/2036		4,433		4,436
5.360% due 01/25/2038		3,289		3,291
5.370% due 11/25/2036		6,467		6,471
5.370% due 12/25/2036		286		286
5.390% due 01/25/2036		229		229
5.390% due 12/25/2037		1,623		1,623
5.410% due 01/25/2036		2,176		2,178
5.690% due 12/25/2034		656		657
First NLC Trust
5.440% due 02/25/2036		214		215
First USA Credit Card Master Trust
5.480% due 04/18/2011		6,800		6,818
Fremont Home Loan Trust
5.370% due 10/25/2036		2,287		2,287
5.380% due 01/25/2037		2,566		2,565
GSAA Trust
5.430% due 06/25/2035		576		576
GSAMP Trust
5.390% due 10/25/2036		1,015		1,016
5.390% due 12/25/2036		2,887		2,888
5.420% due 01/25/2047		3,243		3,245
5.430% due 11/25/2035		36		36
5.440% due 12/25/2035		329		329
5.610% due 03/25/2034		83		83
5.960% due 07/25/2032		14		14
Harley-Davidson, Inc.
5.310% due 05/15/2008		1,720		1,722
Home Equity Asset Trust
5.400% due 05/25/2036		660		660
Home Equity Mortgage Trust
5.410% due 05/25/2036		12		12
Honda Auto Receivables Owner Trust
5.322% due 03/18/2008		2,193		2,195
HSBC Asset Loan Obligation
5.380% due 12/25/2036		3,441		3,443
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		12,647		12,655
5.400% due 12/25/2035		893		894
5.430% due 03/25/2036		6,700		6,705
Indymac Residential Asset-Backed Trust
5.380% due 04/25/2037		2,132		2,132
5.400% due 07/25/2037		800		800
5.410% due 03/25/2036		1,876		1,877
5.450% due 04/25/2037		906		907
Irwin Home Equity Corp.
5.860% due 07/25/2032		390		391
JPMorgan Mortgage Acquisition Corp.
5.370% due 07/25/2036		2,720		2,722
5.370% due 08/25/2036		304		304
5.370% due 10/25/2036		4,742		4,737
5.400% due 03/25/2037		1,918		1,919
Lehman XS Trust
5.390% due 05/25/2046		1,488		1,489
5.400% due 08/25/2046		1,105		1,106
5.400% due 11/25/2046		2,554		2,555
5.410% due 05/25/2046		47		47
5.470% due 04/25/2037		6,600		6,610
Long Beach Mortgage Loan Trust
5.350% due 06/25/2036		751		752
5.360% due 11/25/2036		1,081		1,081
5.380% due 05/25/2046		49		49
5.390% due 03/25/2036		573		574
5.400% due 02/25/2036		312		313
5.410% due 01/25/2036		721		722
5.600% due 10/25/2034		1,421		1,424
6.020% due 03/25/2032		117		117
MASTR Asset-Backed Securities Trust
5.370% due 11/25/2036		2,449		2,451
5.370% due 01/25/2037		2,516		2,517
5.380% due 11/25/2036		407		407
5.400% due 01/25/2036		1,468		1,469
5.400% due 05/25/2037		1,361		1,362
5.430% due 11/25/2035		2,159		2,160
MBNA Credit Card Master Note Trust
5.420% due 12/15/2011		2,000		2,005
5.440% due 08/16/2010		5,200		5,208
5.446% due 12/15/2009		2,400		2,402
Merrill Lynch First Franklin Mortgage Loan Trust
5.380% due 07/25/2037		3,800		3,801
Merrill Lynch Mortgage Investors, Inc.
5.350% due 05/25/2037		744		745
5.350% due 06/25/2037		748		749
5.390% due 08/25/2036		9,303		9,304
5.390% due 02/25/2037		449		450
5.400% due 01/25/2037		1,239		1,240
5.400% due 09/25/2037		245		245
5.430% due 07/25/2036		566		566
5.440% due 02/25/2037		1,915		1,917
Morgan Stanley ABS Capital I
5.350% due 06/25/2036		781		781
5.360% due 06/25/2036		1,412		1,413
5.360% due 09/25/2036		142		142
5.360% due 10/25/2036		1,842		1,842
5.360% due 01/25/2037		3,201		3,203
5.370% due 10/25/2036		4,121		4,122
5.370% due 11/25/2036		6,423		6,423
5.380% due 05/25/2037		6,200		6,201
5.390% due 02/25/2036		2,244		2,246
5.420% due 09/25/2036		125		125
Morgan Stanley Home Equity Loans
5.370% due 12/25/2036		2,384		2,385
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		2,101		2,102
Nationstar Home Equity Loan Trust
5.380% due 03/25/2037		1,760		1,761
Nelnet Student Loan Trust
5.325% due 10/27/2014		81		81
5.340% due 09/25/2012		1,568		1,569
New Century Home Equity Loan Trust
5.380% due 05/25/2036		1,577		1,578
5.390% due 08/25/2036		433		433
Nissan Auto Lease Trust
5.347% due 12/14/2007		57		57
Option One Mortgage Loan Trust
5.360% due 02/25/2037		284		284
5.370% due 07/25/2036		1,179		1,180
5.370% due 01/25/2037		5,090		5,093
5.380% due 07/25/2037		1,471		1,472
5.860% due 06/25/2032		74		74
5.860% due 08/25/2032		410		410
Park Place Securities, Inc.
5.580% due 09/25/2035		928		930
Popular ABS Mortgage Pass-Through Trust
5.410% due 06/25/2047		3,500		3,500
Quest Trust
5.880% due 06/25/2034		322		322
Renaissance Home Equity Loan Trust
5.680% due 11/25/2034		142		142
5.760% due 08/25/2033		1,070		1,073
5.820% due 12/25/2033		225		227
Residential Asset Mortgage Products, Inc.
5.400% due 01/25/2036		1,540		1,541
5.400% due 02/25/2036		629		630
5.420% due 08/25/2046		1,077		1,078
5.880% due 06/25/2032		12		12
Residential Asset Securities Corp.
5.360% due 06/25/2036		1,321		1,321
5.380% due 01/25/2037		778		778
5.390% due 03/25/2036		626		627
5.390% due 04/25/2036		714		714
5.390% due 11/25/2036		10,324		10,331
5.390% due 02/25/2037		1,836		1,837
5.400% due 01/25/2036		453		453
5.410% due 01/25/2036		1,173		1,174
5.430% due 04/25/2037		2,868		2,870
5.510% due 05/25/2034		32		32
Residential Funding Mortgage Securities II, Inc.
5.440% due 05/25/2037		2,979		2,981
5.460% due 09/25/2035		142		142
SACO I, Inc.
5.380% due 05/25/2036		1,074		1,075
5.400% due 04/25/2036		12		12
Salomon Brothers Mortgage Securities VII, Inc.
5.620% due 03/25/2032		188		189
Sears Credit Account Master Trust
5.540% due 04/16/2013		700		702
Securitized Asset-Backed Receivables LLC Trust
5.360% due 01/25/2037		1,482		1,483
5.380% due 03/25/2036		337		337
SLC Student Loan Trust
5.313% due 02/15/2015		8,000		7,999
SLM Student Loan Trust
3.800% due 12/15/2038		3,800		3,683
5.325% due 04/25/2012		1,270		1,271
5.325% due 07/25/2013		1,729		1,730
5.335% due 04/25/2014		7,374		7,380
5.345% due 10/27/2014		4,944		4,947
5.345% due 10/25/2016		4,000		4,004
5.345% due 07/25/2017		4,000		4,003
Soundview Home Equity Loan Trust
5.360% due 11/25/2036		1,104		1,104
5.380% due 12/25/2036		1,274		1,274
5.390% due 03/25/2036		54		54
5.390% due 05/25/2036		125		125
5.400% due 01/25/2037		3,103		3,105
5.400% due 06/25/2037		2,824		2,826
5.430% due 11/25/2035		128		128
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		1,253		1,253
5.365% due 11/25/2037		279		279
5.380% due 01/25/2038		1,936		1,938
5.400% due 12/25/2036		790		791
5.660% due 01/25/2034		85		85
Structured Asset Investment Loan Trust
5.370% due 07/25/2036		339		339
Structured Asset Securities Corp.
4.900% due 04/25/2035		4,555		4,541
5.400% due 01/25/2037		1,633		1,634
5.420% due 07/25/2035		57		57
5.420% due 01/25/2037		693		692
5.450% due 12/25/2035		77		77
5.610% due 01/25/2033		1,637		1,641
Triad Auto Receivables Owner Trust
5.303% due 06/12/2008		1,743		1,745
USAA Auto Owner Trust
5.310% due 03/16/2009		2,484		2,486
Wachovia Auto Owner Trust
4.820% due 02/20/2009		568		568
5.337% due 06/20/2008		3,000		3,000
Washington Mutual Asset-Backed Certificates
5.370% due 01/25/2037		3,231		3,233
5.390% due 04/25/2036		308		308
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		1,564		1,565
5.420% due 03/25/2037		970		971
5.430% due 11/25/2035		2,732		2,734
5.560% due 10/25/2035		17,900		17,927
Total Asset-Backed Securities (Cost $450,047)				450,269
FOREIGN CURRENCY-DENOMINATED ISSUES 0.4%
Atlas Reinsurance PLC
7.922% due 01/10/2010	EUR	2,300		3,159
BTM Curacao Holdings NV
1.348% due 11/29/2049	JPY	100,000		812
Mizuho Bank Ltd.
1.432% due 12/31/2049		700,000		5,755
Sumitomo Mitsui Banking Corp.
1.335% due 06/29/2049		600,000		4,968
1.521% due 11/26/2049		200,000		1,644
1.641% due 12/31/2049		100,000		819
Total Foreign Currency-Denominated Issues (Cost $17,400)				17,157
		Shares
PREFERRED STOCKS 0.3%
DG Funding Trust
7.600% due 12/31/2049		328		3,417
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		7,021		7,074
Total Preferred Stocks (Cost $10,697)				10,491
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 39.2%
Certificates of Deposit 9.4%
Abbey National Treasury Services PLC
5.270% due 07/02/2008	$	8,300		8,304
Bank of Ireland
5.400% due 01/15/2010		16,800		16,816
Barclays Bank PLC
5.281% due 03/17/2008		30,100		30,104
BNP Paribas
5.262% due 04/03/2008		10,600		10,599
5.262% due 07/03/2008		29,300		29,294
5.270% due 09/23/2008		1,300		1,300
Calyon Financial, Inc.
5.340% due 01/16/2009		16,900		16,903
5.395% due 06/29/2010		700		700
Calyon N.A. LLC
5.305% due 01/16/2009		5,600		5,602
Citizens Bank of Massachusetts
5.315% due 08/09/2007		32,000		32,000
Dexia S.A.
5.270% due 09/29/2008		18,500		18,506
Fortis Bank NY
5.265% due 04/28/2008		4,105		4,107
5.265% due 06/30/2008		21,000		21,008
5.342% due 09/30/2008		3,700		3,700
HSBC Bank USA N.A.
5.426% due 07/28/2008		1,200		1,202
Nordea Bank Finland PLC
5.282% due 12/01/2008		1,700		1,700
5.308% due 04/09/2009		33,500		33,518
5.320% due 02/06/2009		3,500		3,499
Royal Bank of Canada
5.227% due 06/30/2008		30,600		30,627
Royal Bank of Scotland Group PLC
5.000% due 03/26/2008		9,000		8,999
5.262% due 07/03/2008		24,000		24,001
Skandinav Enskilda BK
5.340% due 08/21/2008		2,700		2,700
5.350% due 02/13/2009		28,064		28,086
Societe Generale NY
5.269% due 06/30/2008		5,400		5,403
5.270% due 03/26/2008		32,980		32,980
5.271% due 06/30/2008		8,400		8,404
Unicredito Italiano NY
5.360% due 05/29/2008		1,400		1,401
				381,463
Commercial Paper 29.4%
Abbey National N.A. LLC
5.260% due 09/14/2007		10,300		10,226
5.270% due 09/14/2007		100		99
ANZ National International Ltd.
5.165% due 09/19/2007		37,378		37,008
ASB Finance Ltd.
5.235% due 09/20/2007		20,100		19,974
Bank of Ireland
5.225% due 11/08/2007		13,000		12,940
5.230% due 11/08/2007		68,800		68,290
BNP Paribas Finance, Inc.
5.330% due 10/23/2007		72,800		72,800
CBA (de) Finance
5.250% due 09/28/2007		2,100		2,076
5.260% due 09/28/2007		100		100
Cox Communications, Inc.
5.570% due 09/17/2007		20,300		20,300
Danske Corp.
5.220% due 10/12/2007		177,100		176,895
Export Development Corp.
5.190% due 12/27/2007		13,000		12,661
Fannie Mae
5.080% due 07/02/2007		100,000		100,000
Freddie Mac
4.800% due 07/02/2007		22,200		22,200
General Electric Capital Corp.
5.160% due 11/06/2007		10,000		9,827
5.170% due 11/06/2007		6,900		6,770
HBOS Treasury Services PLC
5.230% due 11/13/2007		50,700		50,404
Intesa Funding LLC
5.265% due 09/05/2007		1,000		999
Natixis S.A.
5.260% due 09/21/2007		1,200		1,196
Oesterreichische
5.320% due 07/20/2007		100		100
Rabobank USA Financial Corp.
5.330% due 07/26/2007		22,400		22,400
San Paolo IMI U.S. Financial Co.
5.230% due 08/08/2007		17,500		17,421
Societe Generale NY
5.190% due 11/26/2007		24,100		23,923
5.240% due 11/26/2007		26,400		26,092
5.245% due 11/26/2007		500		494
5.246% due 11/26/2007		25,600		25,298
5.260% due 11/26/2007		1,300		1,283
Svenska Handelsbanken, Inc.
5.200% due 10/09/2007		56,000		55,604
5.203% due 10/09/2007		3,500		3,475
Swedbank AB
5.270% due 09/06/2007		2,300		2,287
Time Warner, Inc.
5.410% due 09/17/2007		14,380		14,220
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		16,400		16,400
UBS Finance Delaware LLC
5.200% due 10/23/2007		2,200		2,163
5.215% due 10/23/2007		96,000		94,882
5.230% due 10/23/2007		15,800		15,693
5.235% due 10/23/2007		3,000		2,970
Unicredit Delaware, Inc.
5.250% due 09/10/2007		11,700		11,584
Unicredito Italiano SpA
5.125% due 01/22/2008		13,000		12,613
5.235% due 01/22/2008		94,200		93,334
Westpac Banking Corp.
5.170% due 11/05/2007		37,300		36,715
5.195% due 11/05/2007		9,000		8,960
5.230% due 11/05/2007		2,900		2,887
5.240% due 11/05/2007		4,200		4,150
Westpac Trust Securities NZ Ltd.
5.230% due 10/19/2007		70,500		70,268
				1,189,981
U.S. Treasury Bills 0.4%
4.636% due 08/30/2007 - 09/13/2007 (b)(c)(e)		13,715		13,569
Total Short-Term Instruments (Cost $1,585,011)				1,585,013
Purchased Options (g) 0.2% (Cost $12,539)				9,361
Total Investments (d) 106.7% (Cost $4,325,348)			$	4,318,237
Written Options (h) (0.1%) (Premiums $6,438)				(3,160	)
Other Assets and Liabilities (Net) (6.6%)				(267,456	)
Net Assets 100.0%			$	4,047,621

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

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

(a) Interest only security.

(b) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $1,489 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $211,728 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $10,102 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2008	3,890	$	(2,452	)
90-Day Eurodollar March Futures	Long	03/2008	15,561		(12,354	)
U.S. Treasury 2-Year Note September Futures	Long	09/2007	1		0
U.S. Treasury 10-Year Note September Futures	Short	09/2007	7,443		5,042
U.S. Treasury 30-Year Bond September Futures	Long	09/2007	4		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	1,769		(4,217	)
				$	(13,985	)

(f) Swap agreements outstanding on June 30, 2007:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.260% due 04/20/2010	Buy	(0.170	%)	06/20/2010	$	6,000	$	6
Bank of America	Energy Transfer Partners LP 5.950% due 02/01/2015	Sell	0.330	%	06/20/2012		3,800		(14	)
Bank of America	Plains All American Pipeline LP 7.750% due 10/15/2012	Sell	0.320	%	06/20/2012		3,800		3
Bank of America	Valero Energy Corp. 6.875% due 04/15/2012	Sell	0.320	%	06/20/2012		3,800		8
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008		1,600		(1	)
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		4,000		2
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		3,900		12
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		1,400		4
Citibank N.A.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.480	%)	06/20/2012		3,800		(22	)
Deutsche Bank AG	Russia Government International 7.500% due 03/31/2030	Sell	0.260	%	12/20/2007		8,000		2
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		(1	)
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		12
Deutsche Bank AG	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012		3,800		(4	)
Deutsche Bank AG	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.500	%)	06/20/2012		3,800		(26	)
Deutsche Bank AG	Noble Corp. 5.875% due 06/01/2013	Buy	(0.510	%)	06/20/2012		3,800		(13	)
Deutsche Bank AG	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.280	%)	06/20/2012		3,800		(11	)
JPMorgan Chase & Co.	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.050	%	12/20/2007		13,600		1
JPMorgan Chase & Co.	Morgan Stanley 6.600% due 04/01/2012	Sell	0.070	%	12/20/2007		15,300		(7	)
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		4,000		1
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		1,700		1
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008		4,000		2
Lehman Brothers, Inc.	Russia Government International 7.500% due 03/31/2030	Sell	0.310	%	12/20/2008		1,700		1
Merrill Lynch & Co., Inc.	Enbridge Energy Partners LP 4.750% due 06/01/2013	Sell	0.280	%	06/20/2012		3,800		(8	)
Merrill Lynch & Co., Inc.	Kinder Morgan Energy Partners LP 6.750% due 03/15/2011	Sell	0.290	%	06/20/2012		3,800		(19	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.440	%	10/20/2007		4,500		7
Morgan Stanley	Russia Government International 7.500% due 03/31/2030	Sell	0.260	%	12/20/2007		8,000		2
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		4,200		1
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		10,000		48
								$	(11	)

⁽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	6.500	%	01/15/2010	AUD	40,500	$	(298	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.983	%	03/15/2012	EUR	3,400		(29	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		9,900		(62	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010	GBP	22,500		(1,042	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		8,800		712
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	98,400		(109	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		1,010,200		(4,354	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		56,800		(432	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2009		98,400		(15	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		47,400		(314	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/21/2008		104,700		(340	)
								$	(6,283	)

(g) Purchased options outstanding on June 30, 2007:

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	4.750	%	09/26/2008	$	232,200	$	1,173	$	457
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		144,400		415		43
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		124,000		688		153
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		219,000		761		431
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	07/02/2007		112,200		464		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		93,300		463		150
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		232,500		831		457
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		99,000		349		225
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		318,600		1,318		1,078
									$	6,462	$	2,994

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.355	05/21/2008	EUR	16,400	$	488	$	552
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		16,400		488		412
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		9,000		443		452
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		9,000		443		412
Call - OTC Euro versus U.S. dollar		1.372	06/03/2010		6,800		331		352
Put - OTC Euro versus U.S. dollar		1.372	06/03/2010		6,800		331		302
Call - OTC Euro versus U.S. dollar		1.375	06/03/2010		11,600		556		585
Put - OTC Euro versus U.S. dollar		1.375	06/03/2010		11,600		556		531
Call - OTC U.S. dollar versus Japanese yen	JPY	105.200	03/31/2010	$	5,000		211		340
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		5,000		211		140
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		13,000		546		870
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		13,000		545		369
Call - OTC Euro versus Japanese yen		148.300	05/20/2010		8,100		464		625
Put - OTC Euro versus Japanese yen		148.300	05/20/2010		8,100		464		425
						$	6,077	$	6,367

(h) Written options outstanding on June 30, 2007:

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	4.950	%	09/26/2008	$	101,500	$	1,194	$	511
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		31,700		395		67
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		53,900		658		165
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		95,000		765		479
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	07/02/2007		49,200		514		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		40,600		487		145
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		102,500		840		516
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		33,000		340		235
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		106,200		1,245		1,042
									$	6,438	$	3,160

(i) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Notes	4.250	%	11/15/2014	$	60,200	$	56,833	$	57,903
U.S. Treasury Notes	4.250	%	08/15/2015		76,115		71,968		73,548
U.S. Treasury Notes	4.500	%	02/15/2016		1,300		1,239		1,278
U.S. Treasury Notes	5.500	%	05/15/2009		1,425		1,438		1,453
						$	131,478	$	134,182

⁽²⁾ Market value includes $1,786 of interest payable on short sales.

(j) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	26,159	03/2008	$	1,057	$	0		$	1,057
Buy	CLP	2,447,604	11/2007		110		0			110
Buy		63,745	03/2008		0		0			0
Buy	CNY	226,774	01/2008		0		(192	)		(192	)
Buy		611,702	03/2008		0		(711	)		(711	)
Sell	EUR	3,663	07/2007		0		(48	)		(48	)
Sell	GBP	11,100	08/2007		0		(117	)		(117	)
Sell	JPY	1,801,759	07/2007		211		0			211
Buy	KRW	1,673,550	09/2007		16		0			16
Buy		9,461,871	11/2007		40		0			40
Buy	MXN	130,394	03/2008		290		0			290
Buy	NOK	57,384	09/2007		166		0			166
Buy	PLN	5,192	09/2007		36		0			36
Buy		27,358	03/2008		382		0			382
Buy	RUB	7,380	09/2007		6		0			6
Buy		3,190	11/2007		4		0			4
Buy		1,299,698	12/2007		396		0			396
Buy	SGD	12,490	07/2007		0		(91	)		(91	)
Buy		2,701	09/2007		0		(24	)		(24	)
Buy	ZAR	1,750	09/2007		5		0			5
Buy		22,036	03/2008		0		(41	)		(41	)
				$	2,719	$	(1,224	)	$	1,495

See accompanying notes

Schedule of Investments

Small Cap StocksPLUS^® TR Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 31.5%
Banking & Finance 24.7%
Allstate Corp.
6.125% due 05/15/2037	$	200	$	193
American Express Bank FSB
5.380% due 06/22/2009		200		200
American Express Credit Corp.
5.380% due 03/02/2009		30		30
American Honda Finance Corp.
5.420% due 03/09/2009		30		30
ANZ National International Ltd.
5.396% due 08/07/2009		20		20
Bank of America Corp.
5.370% due 06/19/2009		30		30
5.455% due 08/02/2010		140		140
Bear Stearns Cos., Inc.
5.450% due 08/21/2009		200		200
5.480% due 05/18/2010		200		200
5.630% due 09/09/2009		30		30
BNP Paribas
5.186% due 06/29/2049		130		121
Caterpillar Financial Services Corp.
5.410% due 10/09/2009		10		10
5.420% due 05/18/2009		120		120
CIT Group, Inc.
5.570% due 05/23/2008		30		30
Citigroup Funding, Inc.
5.320% due 04/23/2009		100		100
Citigroup Global Markets Holdings, Inc.
5.476% due 08/03/2009		20		20
Citigroup, Inc.
5.500% due 06/09/2009		10		10
5.510% due 05/18/2010		140		141
Commonwealth Bank of Australia
6.024% due 03/29/2049		100		98
Credit Agricole S.A.
5.360% due 05/28/2009		100		100
Credit Suisse First Boston
5.560% due 08/15/2010		100		101
Export-Import Bank of Korea
5.450% due 06/01/2009		100		100
Ford Motor Credit Co.
6.625% due 06/16/2008		900		900
7.250% due 10/25/2011		100		96
General Electric Capital Corp.
5.410% due 10/06/2010		10		10
5.428% due 01/20/2010		100		100
5.445% due 04/28/2011		30		30
Goldman Sachs Group, Inc.
5.440% due 11/16/2009		110		110
5.625% due 01/15/2017		10		10
5.685% due 07/23/2009		130		131
HBOS Treasury Services PLC
5.449% due 10/01/2007		100		100
HSBC Finance Corp.
5.450% due 06/19/2009		110		110
5.640% due 11/16/2009		100		101
International Lease Finance Corp.
5.510% due 06/26/2009		110		110
5.580% due 05/24/2010		20		20
John Deere Capital Corp.
5.406% due 07/15/2008		30		30
JPMorgan Chase & Co.
5.370% due 06/26/2009		80		80
5.396% due 05/07/2010		100		100
5.539% due 10/02/2009		20		20
Lehman Brothers Holdings, Inc.
5.370% due 11/24/2008		10		10
5.440% due 04/03/2009		30		30
5.460% due 11/16/2009		300		300
Merrill Lynch & Co., Inc.
5.406% due 05/08/2009		200		200
5.430% due 06/16/2008		10		10
5.460% due 06/16/2008		20		20
Metropolitan Life Global Funding I
5.400% due 05/17/2010		100		100
Morgan Stanley
5.385% due 04/25/2008		30		30
5.406% due 05/07/2009		100		100
5.467% due 02/09/2009		100		100
National Australia Bank Ltd.
5.400% due 09/11/2009		200		200
Rabobank Capital Funding Trust
5.254% due 12/29/2049		100		94
RBS Capital Trust III
5.512% due 09/29/2049		300		289
Residential Capital LLC
6.460% due 05/22/2009		100		100
Santander U.S. Debt S.A. Unipersonal
5.420% due 09/19/2008		20		20
SLM Corp.
5.435% due 01/25/2008		100		100
5.565% due 07/25/2008		20		20
UBS Preferred Funding Trust V
6.243% due 05/12/2049		100		101
Wachovia Corp.
5.405% due 10/28/2008		30		30
Wells Fargo & Co.
5.400% due 03/10/2008		120		120
5.460% due 09/15/2009		100		100
				6,156
Industrials 4.2%
Amgen, Inc.
5.440% due 11/28/2008		100		100
Anadarko Petroleum Corp.
5.760% due 09/15/2009		20		20
C8 Capital SPV Ltd.
6.640% due 12/31/2049		100		99
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		10		10
5.790% due 03/13/2009		100		101
Diageo Capital PLC
5.457% due 11/10/2008		20		20
EchoStar DBS Corp.
5.750% due 10/01/2008		100		100
El Paso Corp.
6.950% due 12/15/2007		20		20
FedEx Corp.
5.436% due 08/08/2007		20		20
General Mills, Inc.
5.485% due 01/22/2010		100		100
Home Depot, Inc.
5.485% due 12/16/2009		20		20
Safeway, Inc.
5.710% due 03/27/2009		30		30
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		100		110
Time Warner, Inc.
5.590% due 11/13/2009		200		200
Transocean, Inc.
5.560% due 09/05/2008		10		10
Walt Disney Co.
5.460% due 09/10/2009		100		100
				1,060
Utilities 2.6%
AT&T, Inc.
5.456% due 02/05/2010		200		200
5.570% due 11/14/2008		20		20
BellSouth Corp.
5.460% due 08/15/2008		20		20
Deutsche Telekom International Finance BV
5.540% due 03/23/2009		200		201
Dominion Resources, Inc.
5.540% due 11/14/2008		40		40
Ohio Power Co.
5.530% due 04/05/2010		100		100
Telecom Italia Capital S.A.
5.969% due 07/18/2011		10		10
Verizon Communications, Inc.
5.400% due 04/03/2009		50		50
				641
Total Corporate Bonds & Notes (Cost $7,884)				7,857
U.S. GOVERNMENT AGENCIES 56.2%
Fannie Mae
5.000% due 02/25/2017		31		31
5.500% due 03/01/2037 - 07/01/2037		3,977		3,837
6.000% due 07/01/2037		4,400		4,353
Freddie Mac
4.250% due 09/15/2024		64		63
5.470% due 07/15/2019 - 10/15/2020		600		599
5.500% due 07/01/2037		4,000		3,858
5.550% due 07/15/2037		300		300
Ginnie Mae
6.000% due 07/01/2037		1,000		995
Total U.S. Government Agencies (Cost $14,053)				14,036
MORTGAGE-BACKED SECURITIES 3.8%
American Home Mortgage Investment Trust
5.470% due 09/25/2035		7		7
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		9		10
Countrywide Alternative Loan Trust
5.480% due 02/25/2047		88		88
5.520% due 06/25/2037		286		287
6.029% due 02/25/2036		36		36
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		200		200
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		28		28
Indymac Index Mortgage Loan Trust
5.410% due 11/25/2046		23		23
LB-UBS Commercial Mortgage Trust
4.904% due 06/15/2026		17		17
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		24		24
Structured Asset Securities Corp.
5.329% due 10/25/2035		22		22
5.370% due 05/25/2036		22		22
TBW Mortgage-Backed Pass-Through Certificates
5.420% due 09/25/2036		14		14
Washington Mutual, Inc.
5.724% due 10/25/2046		23		23
5.759% due 01/25/2047		88		88
5.960% due 12/25/2027		59		59
6.529% due 09/25/2046		10		10
Total Mortgage-Backed Securities (Cost $957)				958
ASSET-BACKED SECURITIES 22.5%
Accredited Mortgage Loan Trust
5.440% due 04/25/2036		60		60
ACE Securities Corp.
5.380% due 05/25/2036		6		6
5.380% due 10/25/2036		21		21
5.400% due 10/25/2036		15		15
American Express Credit Account Master Trust
5.320% due 01/18/2011		100		100
5.820% due 02/15/2012		31		31
Asset-Backed Funding Certificates
5.380% due 10/25/2036		6		6
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		23		23
5.595% due 09/25/2034		2		2
Bank One Issuance Trust
5.430% due 12/15/2010		80		80
Bear Stearns Asset-Backed Securities, Inc.
5.400% due 10/25/2036		33		33
5.410% due 06/25/2047		96		96
BNC Mortgage Loan Trust
5.420% due 05/25/2037		95		95
Chase Credit Card Master Trust
5.430% due 07/15/2010		100		100
5.430% due 02/15/2011		10		10
Chase Issuance Trust
5.330% due 02/15/2011		100		100
Citibank Credit Card Issuance Trust
3.100% due 03/10/2010		100		99
Citigroup Mortgage Loan Trust, Inc.
5.360% due 08/25/2036		12		12
5.370% due 11/25/2036		19		19
5.380% due 05/25/2037		200		200
5.390% due 01/25/2037		87		87
5.430% due 08/25/2036		100		100
Countrywide Asset-Backed Certificates
5.370% due 01/25/2037		10		10
5.370% due 05/25/2037		100		100
5.370% due 03/25/2047		13		13
5.380% due 03/25/2037		15		15
5.400% due 10/25/2037		196		196
5.430% due 10/25/2046		7		7
5.500% due 09/25/2036		300		300
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		8		8
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 10/25/2036		76		76
5.370% due 11/25/2036		24		25
5.380% due 06/25/2036		19		19
5.410% due 01/25/2036		11		11
5.410% due 11/25/2036		9		9
First USA Credit Card Master Trust
5.480% due 04/18/2011		100		100
Fremont Home Loan Trust
5.370% due 05/25/2036		3		3
5.390% due 02/25/2037		13		13
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		15		15
5.440% due 10/25/2035		39		39
GSAMP Trust
5.390% due 09/25/2036		14		14
5.390% due 12/25/2036		82		83
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		63		63
Home Equity Asset Trust
5.440% due 01/25/2036		8		8
Honda Auto Receivables Owner Trust
5.322% due 03/18/2008		52		52
Indymac Residential Asset-Backed Trust
5.400% due 07/25/2037		100		100
5.450% due 04/25/2037		272		272
JPMorgan Mortgage Acquisition Corp.
5.370% due 10/25/2036		164		163
5.380% due 04/01/2037		96		96
5.400% due 03/25/2037		288		288
Lehman XS Trust
5.390% due 05/25/2046		19		19
5.400% due 11/25/2046		23		23
5.440% due 11/25/2036		6		6
Long Beach Mortgage Loan Trust
5.380% due 10/25/2036		22		22
MASTR Asset-Backed Securities Trust
5.400% due 05/25/2037		97		97
MBNA Credit Card Master Note Trust
4.200% due 09/15/2010		100		99
5.420% due 12/15/2011		35		35
5.446% due 12/15/2009		100		100
Merrill Lynch Mortgage Investors, Inc.
5.380% due 10/25/2037		25		25
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		22		22
5.370% due 09/25/2036		21		21
5.370% due 11/25/2036		84		84
5.380% due 05/25/2037		196		196
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		29		29
Option One Mortgage Loan Trust
5.360% due 02/25/2037		28		28
5.380% due 07/25/2037		196		196
5.390% due 01/25/2036		31		31
Park Place Securities, Inc.
5.632% due 10/25/2034		12		12
Residential Asset Mortgage Products, Inc.
5.400% due 10/25/2036		19		19
Residential Asset Securities Corp.
5.360% due 08/25/2036		11		11
5.390% due 11/25/2036		23		23
5.390% due 02/25/2037		92		92
Residential Funding Mortgage Securities II, Inc.
5.440% due 05/25/2037		96		96
Saxon Asset Securities Trust
5.380% due 11/25/2036		13		13
SBI HELOC Trust
5.490% due 08/25/2036		15		15
SLM Student Loan Trust
5.325% due 10/25/2012		9		9
5.335% due 04/25/2014		187		187
5.355% due 10/25/2016		100		100
Soundview Home Equity Loan Trust
5.380% due 12/25/2036		64		64
5.400% due 06/25/2037		97		97
5.550% due 06/25/2035		5		5
Specialty Underwriting & Residential Finance
5.365% due 11/25/2037		28		28
Structured Asset Securities Corp.
5.370% due 10/25/2036		22		22
5.420% due 07/25/2035		3		3
USAA Auto Owner Trust
5.337% due 07/11/2008		100		100
Wachovia Auto Owner Trust
5.337% due 06/20/2008		100		100
5.340% due 07/18/2008		100		100
Wells Fargo Home Equity Trust
5.420% due 03/25/2037		97		97
Total Asset-Backed Securities (Cost $5,617)				5,619
SOVEREIGN ISSUES 0.4%
Korea Development Bank
5.490% due 04/03/2010		100		100
Total Sovereign Issues (Cost $100)				100
	Shares
PREFERRED STOCKS 0.1%
DG Funding Trust
7.600% due 12/31/2049		2		21
Total Preferred Stocks (Cost $21)				21
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 35.3%
Certificates of Deposit 2.6%
BNP Paribas
5.270% due 09/23/2008	$	100		100
Dexia S.A.
5.270% due 09/29/2008		100		100
Fortis Bank NY
5.265% due 06/30/2008		40		40
5.300% due 09/30/2008		100		100
Nordea Bank Finland PLC
5.262% due 03/31/2008		30		30
Royal Bank of Canada
5.262% due 06/30/2008		40		40
Royal Bank of Scotland Group PLC
5.265% due 03/26/2008		100		100
Skandinav Enskilda BK
5.350% due 02/13/2009		30		30
Societe Generale NY
5.271% due 03/28/2008		30		30
5.271% due 06/30/2008		100		100
				670
Commercial Paper 27.1%
Bank of America Corp.
5.210% due 10/04/2007		400		397
5.230% due 10/04/2007		100		99
Barclays U.S. Funding Corp.
5.240% due 09/26/2007		200		199
5.245% due 09/26/2007		500		495
Caisse d’Amortissement de la Dette Sociale
5.230% due 08/10/2007		600		597
Calyon N.A. LLC
5.395% due 06/29/2010		10		10
Danske Corp.
5.210% due 10/12/2007		900		894
Dexia Delaware LLC
5.225% due 09/21/2007		1,100		1,095
Freddie Mac
4.800% due 07/02/2007		1,000		1,000
HBOS Treasury Services PLC
5.225% due 11/13/2007		200		199
Societe Generale NY
5.210% due 11/26/2007		600		594
Svenska Handelsbanken, Inc.
5.203% due 10/09/2007		300		298
Swedbank AB
5.225% due 09/06/2007		700		697
UBS Finance Delaware LLC
5.230% due 10/23/2007		100		99
5.240% due 10/23/2007		100		99
				6,772
Repurchase Agreements 0.8%
State Street Bank and Trust Co.
4.900% due 07/02/2007		197		197
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $206. Repurchase proceeds are $197.)
U.S. Treasury Bills 4.8%
4.676% due 08/30/2007 - 09/13/2007 (a)(c)		1,200		1,188
Total Short-Term Instruments (Cost $8,829)				8,827
Purchased Options (e) 0.1% (Cost $31)				8
Total Investments (b) 149.9% (Cost $37,492)			$	37,426
Written Options (f) (0.1%) (Premiums $30)				(17	)
Other Assets and Liabilities (Net) (49.8%)				(12,437	)
Net Assets 100.0%			$	24,972

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 June 30, 2007, portfolio securities with an aggregate value of $1,858 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Securities with an aggregate market value of $1,188 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor June Futures	Long	06/2008	1	$	(2	)
90-Day Euribor September Futures	Long	09/2008	2		0
90-Day Eurodollar December Futures	Long	12/2008	11		(9	)
90-Day Eurodollar June Futures	Long	06/2008	53		(56	)
90-Day Eurodollar March Futures	Long	03/2008	30		(32	)
90-Day Eurodollar September Futures	Long	09/2008	21		(24	)
90-Day Euroyen December Futures	Long	12/2007	1		0
Euro-Bund 10-Year Note September Futures	Short	09/2007	1		(1	)
Russell 2000 E-mini Index September Futures	Long	09/2007	236		(430	)
Russell 2000 Index September Futures	Long	09/2007	12		(34	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	6		6
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	5		(7	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	2		(3	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	6		(9	)
				$	(601	)

(d) Swap agreements outstanding on June 30, 2007:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation
Barclays Bank PLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	0.620	%	09/20/2007	$	400	$	0
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009		100		0
Credit Suisse First Boston	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009		100		0
Deutsche Bank AG	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	0.300	%	06/20/2008		100		0
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		0		0
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		200		1
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		100		0
JPMorgan Chase & Co.	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.050	%	12/20/2007		10		0
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009		100		1
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009		100		0
								$	2

⁽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	11.360	%	01/04/2010	BRL	100	$	1
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011	EUR	100		2
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		20		0
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		100		(1	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	100		(1	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		100		(2	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		100		8
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		100		(2	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		500		(2	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008	JPY	40,000		0
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		10,000		0
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		60,000		(1	)
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012	MXN	200		0
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	700		0
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		100		1
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		700		(2	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		7,300		4
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		300		11
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		100		1
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		2,500		(3	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		400		(3	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		100		4
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		700		(2	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		300		(1	)
								$	12

(e) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CME 90-Day Eurodollar September Futures	$	90.500	09/17/2007	1	$	0	$	0
Put - CME E-mini Russell 2000 Index September Futures		570.000	09/21/2007	184		9		0
					$	9	$	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	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008	$	2,000	$	7	$	4
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		2,300		14		3
									$	21	$	7

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 09/01/2037	$	85.000	09/06/2007	$	2,400	$	0	$	0
Put - OTC Fannie Mae 5.500% due 09/01/2037		90.000	09/06/2007		4,000		0		1
Put - OTC Fannie Mae 6.000% due 09/01/2037		92.500	09/06/2007		4,400		1		0
Put - OTC Ginnie Mae 6.000% due 09/01/2037		89.031	09/06/2007		1,000		0		0
Put - OTC Ginnie Mae 6.000% due 09/01/2037		88.500	09/12/2007		1,000		0		0
						$	1	$	1

(f) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.000	08/24/2007	6	$	2	$	4
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	4		1		1
Call - CBOT U.S. Treasury 10-Year Note September Futures		108.000	08/24/2007	1		0		0
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	1		0		0
Put - CBOT U.S. Treasury 10-Year Note September Futures		103.000	08/24/2007	2		1		0
Put - CBOT U.S. Treasury 10-Year Note September Futures		104.000	08/24/2007	4		2		1
Put - CBOT U.S. Treasury 10-Year Note September Futures		105.000	08/24/2007	6		2		3
					$	8	$	9

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	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	1,000	$	8	$	5
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		1,000		14		3
									$	22	$	8

(g) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	61	07/2007	$	1	$	0		$	1
Buy	BRL	634	10/2007		11		0			11
Buy		139	03/2008		5		0			5
Buy	CAD	61	08/2007		0		0			0
Buy	CNY	75	11/2007		0		0			0
Sell		75	11/2007		0		0			0
Buy	EUR	247	07/2007		3		0			3
Sell		14	07/2007		0		0			0
Sell	GBP	55	08/2007		0		(1	)		(1	)
Buy	IDR	176,400	05/2008		0		(1	)		(1	)
Buy	INR	1,071	10/2007		0		0			0
Buy		5,520	05/2008		1		0			1
Buy	KRW	28,592	07/2007		0		0			0
Sell		2,625	07/2007		0		0			0
Buy		3,907	08/2007		0		0			0
Buy		40,102	09/2007		0		0			0
Buy	MXN	143	09/2007		0		0			0
Buy		706	03/2008		0		0			0
Buy	MYR	204	05/2008		0		(1	)		(1	)
Buy	PHP	2,798	05/2008		0		(1	)		(1	)
Buy	PLN	170	09/2007		1		0			1
Buy		45	03/2008		0		0			0
Buy	RUB	312	09/2007		0		0			0
Buy		112	12/2007		0		0			0
Buy		2,638	01/2008		1		0			1
Buy	SEK	94	09/2007		0		0			0
Buy	SGD	95	07/2007		0		0			0
Sell		59	07/2007		0		0			0
Buy		20	08/2007		0		0			0
Buy		117	10/2007		1		0			1
Buy	ZAR	1,979	09/2007		6		0			6
				$	30	$	(4	)	$	26

See accompanying notes

Schedule of Investments

StocksPLUS^® Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.9%
Allied Waste North America, Inc.
5.320% due 01/15/2012	$	193	$	194
7.060% due 03/28/2014		415		416
7.110% due 03/28/2014		487		489
7.140% due 03/28/2014		152		153
7.150% due 03/28/2014		166		167
Fresenius Medical Care Capital Trust
6.725% due 03/22/2013		867		867
6.735% due 03/22/2013		113		113
Goodyear Tire & Rubber Co.
7.100% due 04/20/2014		2,000		1,993
Metro-Goldwyn-Mayer, Inc.
8.614% due 04/08/2012		1,300		1,305
OAO Rosneft Oil Co.
6.000% due 09/16/2007		9,000		9,013
Sensata Technologies, Inc.
7.105% due 04/21/2013		2,500		2,499
SLM Corp.
6.000% due 06/30/2008		2,300		2,289
Total Bank Loan Obligations (Cost $19,491)				19,498
CORPORATE BONDS & NOTES 36.5%
Banking & Finance 24.4%
Ajax Re Ltd.
11.610% due 05/08/2009		4,700		4,712
American Express Bank FSB
5.380% due 06/22/2009		2,500		2,503
5.380% due 10/20/2009		2,100		2,101
American Express Centurion Bank
5.320% due 05/07/2008		1,900		1,900
5.340% due 06/12/2009		1,900		1,901
American Express Credit Corp.
5.380% due 11/09/2009		2,100		2,102
American International Group, Inc.
5.360% due 06/23/2008		8,600		8,604
Bank of America Corp.
5.366% due 11/06/2009		500		500
5.370% due 06/19/2009		9,600		9,614
Bank of America N.A.
5.355% due 07/25/2008		100		100
5.360% due 12/18/2008		4,100		4,102
5.360% due 06/12/2009		2,000		2,001
Bank of Ireland
5.410% due 12/18/2009		5,900		5,912
Bear Stearns Cos., Inc.
5.450% due 08/21/2009		3,000		2,998
5.480% due 05/18/2010		4,800		4,797
5.655% due 01/30/2009		2,300		2,306
Caterpillar Financial Services Corp.
5.425% due 10/28/2008		400		400
CIT Group, Inc.
5.000% due 11/24/2008		1,700		1,690
5.510% due 12/19/2008		1,500		1,499
Citigroup Funding, Inc.
5.360% due 06/26/2009		1,500		1,499
Citigroup Global Markets Holdings, Inc.
5.400% due 03/07/2008		7,100		7,106
5.460% due 03/17/2009		2,000		2,003
Citigroup, Inc.
5.390% due 12/28/2009		3,500		3,503
5.395% due 01/30/2009		1,000		1,001
5.400% due 12/26/2008		1,600		1,601
Credit Agricole S.A.
5.360% due 05/28/2009		1,700		1,701
5.410% due 05/28/2010		2,000		2,001
DnB NORBank ASA
5.425% due 10/13/2009		1,800		1,801
East Lane Re Ltd.
11.355% due 05/06/2011		9,500		9,469
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (a)		1,100		940
Export-Import Bank of Korea
5.450% due 06/01/2009		2,400		2,401
5.600% due 11/16/2010		5,900		5,916
Ford Motor Credit Co.
5.625% due 10/01/2008		2,300		2,271
6.190% due 09/28/2007		2,600		2,600
6.625% due 06/16/2008		10,500		10,495
7.375% due 10/28/2009		600		596
Foundation Re II Ltd.
12.110% due 11/26/2010		2,500		2,510
General Electric Capital Corp.
5.390% due 01/05/2009		100		100
5.410% due 10/06/2010		2,400		2,402
5.430% due 08/15/2011		6,300		6,298
General Motors Acceptance Corp.
6.510% due 09/23/2008		7,400		7,402
GMAC LLC
5.850% due 01/14/2009		2,200		2,169
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		500		500
5.410% due 03/30/2009		1,300		1,301
5.450% due 12/22/2008		3,600		3,605
5.450% due 06/23/2009		3,100		3,104
5.475% due 10/05/2007		700		700
5.685% due 07/23/2009		2,500		2,514
HSBC Finance Corp.
5.490% due 09/15/2008		1,400		1,403
6.538% due 11/13/2007		10,100		10,139
JPMorgan Chase & Co.
5.370% due 06/26/2009		1,500		1,502
5.396% due 05/07/2010		2,800		2,802
Lehman Brothers Holdings, Inc.
5.410% due 12/23/2008		200		200
5.460% due 08/21/2009		1,700		1,701
5.460% due 11/16/2009		4,900		4,905
5.570% due 12/23/2010		2,500		2,503
5.607% due 11/10/2009		1,300		1,304
Merrill Lynch & Co., Inc.
5.390% due 12/22/2008		5,500		5,501
5.395% due 10/23/2008		2,400		2,404
5.440% due 12/04/2009		2,300		2,301
Metropolitan Life Global Funding I
5.400% due 05/17/2010		3,700		3,703
Morgan Stanley
5.360% due 11/21/2008		1,600		1,600
5.406% due 05/07/2009		1,400		1,401
5.446% due 01/15/2010		1,400		1,401
5.467% due 02/09/2009		2,800		2,805
5.609% due 01/18/2011		3,300		3,306
Osiris Capital PLC
8.206% due 01/15/2010		5,000		5,025
Phoenix Quake Ltd.
7.800% due 07/03/2008		500		503
Phoenix Quake Wind I Ltd.
7.800% due 07/03/2008		600		602
Prudential Financial, Inc.
5.510% due 06/13/2008		4,400		4,406
Residential Capital LLC
6.460% due 05/22/2009		2,300		2,290
Royal Bank of Scotland Group PLC
5.360% due 12/21/2007		3,400		3,402
5.405% due 07/21/2008		1,600		1,601
Santander U.S. Debt S.A. Unipersonal
5.370% due 09/21/2007		5,800		5,801
5.420% due 09/19/2008		6,500		6,507
Spinnaker Capital Ltd.
16.860% due 06/15/2008		2,500		2,499
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		9,900		9,906
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		1,900		1,904
Wachovia Corp.
5.405% due 10/28/2008		4,170		4,175
5.486% due 10/15/2011		5,700		5,712
Westpac Banking Corp.
5.280% due 06/06/2008		1,200		1,200
				255,665
Industrials 7.0%
Amgen, Inc.
5.440% due 11/28/2008		4,100		4,103
Anadarko Petroleum Corp.
5.760% due 09/15/2009		2,000		2,003
BP AMI Leasing, Inc.
5.370% due 06/26/2009		3,900		3,902
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		3,795		3,814
Cox Communications, Inc.
5.910% due 12/14/2007		1,300		1,303
DaimlerChrysler N.A. Holding Corp.
5.790% due 03/13/2009		3,500		3,516
5.840% due 09/10/2007		1,800		1,802
El Paso Corp.
7.625% due 08/16/2007		2,360		2,377
Equistar Chemicals LP
10.125% due 09/01/2008		686		717
General Electric Co.
5.400% due 12/09/2008		9,600		9,611
Harrah’s Operating Co., Inc.
7.500% due 01/15/2009		1,900		1,929
Home Depot, Inc.
5.485% due 12/16/2009		2,000		1,998
Hospira, Inc.
5.840% due 03/30/2010		2,400		2,408
JC Penney Corp., Inc.
7.375% due 08/15/2008		700		710
Mandalay Resort Group
10.250% due 08/01/2007		2,500		2,509
Northwest Pipeline Corp.
6.625% due 12/01/2007		1,372		1,382
Pemex Project Funding Master Trust
5.960% due 12/03/2012		3,600		3,651
Reynolds American, Inc.
6.060% due 06/15/2011		500		502
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		600		662
Southern Natural Gas Co.
6.700% due 10/01/2007		2,200		2,217
Time Warner, Inc.
5.590% due 11/13/2009		10,100		10,115
Transcontinental Gas Pipe Line Corp.
6.636% due 04/15/2008		5,400		5,366
Transocean, Inc.
5.560% due 09/05/2008		2,400		2,402
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		4,400		4,400
				73,399
Utilities 5.1%
America Movil SAB de C.V.
5.460% due 06/27/2008		2,700		2,701
AT&T, Inc.
5.456% due 02/05/2010		1,100		1,102
5.570% due 11/14/2008		2,000		2,007
CMS Energy Corp.
9.875% due 10/15/2007		7,300		7,404
Dominion Resources, Inc.
5.540% due 11/14/2008		4,460		4,466
5.660% due 09/28/2007		4,700		4,701
Entergy Gulf States, Inc.
6.110% due 12/08/2008		3,000		3,009
Florida Power Corp.
5.760% due 11/14/2008		1,900		1,903
NiSource Finance Corp.
5.930% due 11/23/2009		600		601
Progress Energy, Inc.
5.806% due 01/15/2010		1,500		1,505
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		2,900		2,915
Qwest Corp.
5.625% due 11/15/2008		2,700		2,703
8.610% due 06/15/2013		3,400		3,706
Sierra Pacific Power Co.
8.000% due 06/01/2008		8,593		8,790
Southern California Edison Co.
5.455% due 02/02/2009		2,000		2,002
Telecom Italia Capital S.A.
5.836% due 02/01/2011		1,300		1,304
Telefonica Emisones SAU
5.660% due 06/19/2009		2,600		2,610
				53,429
Total Corporate Bonds & Notes (Cost $381,979)				382,493
MUNICIPAL BONDS & NOTES 0.0%
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021		260		263
Total Municipal Bonds & Notes (Cost $259)				263
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley
0.000% due 07/07/2008		3,000		2,983
Total Commodity Index-Linked Notes (Cost $3,000)				2,983
U.S. GOVERNMENT AGENCIES 15.3%
Fannie Mae
4.614% due 09/01/2035		8,446		8,366
4.688% due 12/01/2033		2,437		2,424
4.763% due 04/01/2035		6,825		6,720
5.000% due 02/25/2017 - 04/25/2033		34,515		33,359
5.440% due 03/25/2034		1,611		1,612
5.500% due 09/01/2033 - 06/01/2036		22,633		21,904
5.642% due 12/01/2023 - 11/01/2028		294		297
5.643% due 02/01/2027		7		7
5.646% due 04/01/2018		54		55
5.719% due 08/01/2029		41		41
5.720% due 05/25/2031 - 11/25/2032		6,037		6,068
6.000% due 01/01/2017 - 10/01/2033		1,363		1,371
6.183% due 09/01/2034		1,993		2,020
6.214% due 07/01/2044		545		552
6.335% due 12/01/2036		1,994		2,014
6.500% due 09/25/2008 (b)		3		0
6.973% due 11/01/2035		1,108		1,145
7.000% due 02/01/2015 - 03/01/2015		1,351		1,393
7.027% due 05/01/2022		9		9
7.500% due 09/01/2015 - 05/01/2016		999		1,030
8.000% due 03/01/2030 - 07/01/2031		225		237
Federal Home Loan Bank
8.300% due 02/27/2012		2,400		2,212
Freddie Mac
4.706% due 06/01/2035		5,820		5,696
5.000% due 07/15/2024		4,815		4,781
5.470% due 07/15/2019 - 10/15/2020		23,800		23,778
5.500% due 08/15/2030		24		23
5.550% due 07/15/2037		13,500		13,499
5.670% due 12/15/2030		1,405		1,409
5.720% due 06/15/2018		530		531
6.000% due 03/01/2016 - 07/01/2037		7,940		7,900
6.108% due 07/01/2019		634		651
6.227% due 02/25/2045		2,537		2,528
6.500% due 10/25/2043		2,576		2,611
6.892% due 06/01/2022		24		24
6.991% due 12/01/2022		56		57
8.500% due 04/01/2025 - 06/01/2025		25		26
Ginnie Mae
4.000% due 07/16/2027		156		155
4.750% due 08/20/2022 - 07/20/2027		2,038		2,056
5.125% due 12/20/2022 - 11/20/2025		370		374
5.375% due 02/20/2026 - 01/20/2028		1,108		1,120
5.720% due 09/20/2030		5		5
5.750% due 07/20/2018 - 08/20/2026		240		242
6.125% due 12/20/2027		100		101
6.375% due 02/20/2028		27		28
8.000% due 04/20/2030		214		226
Total U.S. Government Agencies (Cost $162,673)				160,657
U.S. TREASURY OBLIGATIONS 1.5%
Treasury Inflation Protected Securities (d)
3.625% due 01/15/2008 (g)		15,733		15,747
Total U.S. Treasury Obligations (Cost $15,987)				15,747
MORTGAGE-BACKED SECURITIES 9.9%
Arkle Master Issuer PLC
5.300% due 11/19/2007		5,100		5,102
Banc of America Funding Corp.
4.113% due 05/25/2035		2,162		2,118
Banc of America Mortgage Securities, Inc.
6.500% due 10/25/2031		961		971
Bank Mart
4.567% due 03/01/2019 (k)		614		593
Bear Stearns Adjustable Rate Mortgage Trust
4.622% due 01/25/2034		2,455		2,461
4.750% due 10/25/2035		7,677		7,592
5.044% due 04/25/2033		753		753
5.329% due 02/25/2033		261		265
6.048% due 01/25/2034		320		323
Bear Stearns Alt-A Trust
5.480% due 02/25/2034		1,936		1,937
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		1,519		1,521
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		2,042		2,038
Countrywide Alternative Loan Trust
5.500% due 05/25/2047		1,747		1,752
6.000% due 10/25/2033		1,409		1,395
CS First Boston Mortgage Securities Corp.
5.953% due 03/25/2032		648		646
6.890% due 06/25/2032		20		20
7.519% due 06/25/2032		40		40
Fund America Investors Corp. II
6.916% due 06/25/2023		16		16
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		2,085		2,086
5.590% due 11/25/2045		917		919
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		6,800		6,807
GSR Mortgage Loan Trust
5.670% due 01/25/2034		408		409
Harborview Mortgage Loan Trust
5.510% due 01/19/2038		4,410		4,418
Impac CMB Trust
6.080% due 10/25/2033		109		110
6.120% due 07/25/2033		1,920		1,922
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		1,414		1,416
Indymac Index Mortgage Loan Trust
5.410% due 11/25/2046		1,554		1,554
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		396		397
MASTR Asset Securitization Trust
5.500% due 09/25/2033		2,196		2,103
Mellon Residential Funding Corp.
5.800% due 06/15/2030		4,521		4,522
Merrill Lynch Floating Trust
5.390% due 06/15/2022		6,669		6,679
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		742		735
MLCC Mortgage Investors, Inc.
6.974% due 01/25/2029		1,463		1,471
Morgan Stanley Capital I
5.380% due 10/15/2020		1,224		1,226
Prime Mortgage Trust
5.720% due 02/25/2019		182		182
5.720% due 02/25/2034		801		804
Resecuritization Mortgage Trust
5.570% due 04/26/2021		1		1
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		650		650
Salomon Brothers Mortgage Securities VII, Inc.
7.536% due 12/25/2030		759		757
Structured Asset Mortgage Investments, Inc.
5.600% due 02/25/2036		977		978
9.448% due 06/25/2029		893		954
TBW Mortgage-Backed Pass-Through Certificates
5.430% due 01/25/2037		7,220		7,227
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		1,788		1,789
Wachovia Bank Commercial Mortgage Trust
5.400% due 06/15/2020		3,200		3,201
5.410% due 09/15/2021		5,869		5,873
Washington Mutual, Inc.
5.474% due 02/27/2034		2,171		2,135
5.590% due 12/25/2045		1,148		1,152
5.610% due 10/25/2045		653		655
6.029% due 02/25/2046		5,976		5,987
6.229% due 11/25/2042		395		395
6.429% due 06/25/2042		1,617		1,616
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		3,482		3,435
Total Mortgage-Backed Securities (Cost $104,430)				104,108
ASSET-BACKED SECURITIES 8.1%
AFC Home Equity Loan Trust
5.870% due 06/25/2028		427		427
Argent Securities, Inc.
5.390% due 04/25/2036		426		426
Asset-Backed Funding Certificates
5.380% due 01/25/2037		1,583		1,584
Asset-Backed Securities Corp. Home Equity
5.480% due 05/25/2035		696		696
Bear Stearns Asset-Backed Securities, Inc.
5.410% due 06/25/2047		1,342		1,343
Chase Funding Mortgage Loan Asset-Backed Certificates
6.060% due 10/25/2032		384		385
Citibank Credit Card Issuance Trust
2.900% due 05/17/2010		2,700		2,645
Citigroup Mortgage Loan Trust, Inc.
5.370% due 11/25/2036		871		872
5.380% due 05/25/2037		20,000		20,010
Countrywide Asset-Backed Certificates
5.390% due 06/25/2037		1,821		1,822
CS First Boston Mortgage Securities Corp.
5.940% due 01/25/2032		417		418
First NLC Trust
5.390% due 08/25/2037		5,400		5,400
First USA Credit Card Master Trust
5.480% due 04/18/2011		4,800		4,813
Fremont Home Loan Trust
5.370% due 10/25/2036		4,227		4,228
GS Auto Loan Trust
5.344% due 07/15/2008		2,600		2,600
GSAMP Trust
5.440% due 12/25/2035		1,561		1,562
GSR Mortgage Loan Trust
5.420% due 11/25/2030		457		457
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		1,096		1,097
JPMorgan Mortgage Acquisition Corp.
5.380% due 04/01/2037		2,314		2,313
5.390% due 11/25/2036		584		585
Lehman XS Trust
5.390% due 05/25/2046		744		744
Long Beach Mortgage Loan Trust
5.410% due 01/25/2036		894		895
5.600% due 10/25/2034		196		196
Merrill Lynch Mortgage Investors, Inc.
5.390% due 08/25/2036		6,636		6,636
5.430% due 07/25/2036		819		820
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		958		958
Residential Asset Securities Corp.
5.390% due 11/25/2036		2,146		2,148
Saxon Asset Securities Trust
5.380% due 11/25/2036		979		979
SLM Student Loan Trust
5.335% due 04/25/2012		3,324		3,326
5.355% due 10/25/2016		2,600		2,602
Soundview Home Equity Loan Trust
5.420% due 12/25/2035		167		167
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		2,905		2,905
Structured Asset Securities Corp.
5.420% due 07/25/2035		260		260
5.450% due 12/25/2035		1,114		1,115
USAA Auto Owner Trust
5.337% due 07/11/2008		1,900		1,900
Wachovia Auto Owner Trust
4.820% due 02/20/2009		223		223
5.337% due 06/20/2008		2,200		2,200
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		1,400		1,401
5.440% due 12/25/2035		1,847		1,848
Total Asset-Backed Securities (Cost $84,970)				85,006
SOVEREIGN ISSUES 0.3%
Hydro Quebec
5.398% due 09/29/2049		1,200		1,134
Korea Development Bank
5.640% due 11/22/2012		2,200		2,209
Total Sovereign Issues (Cost $3,226)				3,343
FOREIGN CURRENCY-DENOMINATED ISSUES 1.0%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	9,750		10,058
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	100,000		817
Total Foreign Currency-Denominated Issues (Cost $7,521)				10,875
		Shares
PREFERRED STOCKS 0.9%
DG Funding Trust
7.600% due 12/31/2049		913		9,512
Total Preferred Stocks (Cost $9,564)				9,512
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 26.3%
Certificates of Deposit 3.4%
BNP Paribas
5.262% due 05/28/2008	$	1,600		1,601
Calyon Financial, Inc.
5.340% due 01/16/2009		3,000		3,000
Fortis Bank NY
5.265% due 04/28/2008		4,500		4,502
5.265% due 06/30/2008		1,400		1,401
Nordea Bank Finland PLC
5.267% due 03/31/2008		1,500		1,500
5.308% due 05/28/2008		1,600		1,601
Royal Bank of Canada
5.295% due 06/30/2008		4,300		4,304
Royal Bank of Scotland Group PLC
5.262% due 07/03/2008		3,000		3,000
5.265% due 03/26/2008		1,600		1,600
Skandinav Enskilda BK
5.270% due 10/03/2007		6,200		6,200
5.272% due 08/21/2008		2,700		2,700
5.350% due 02/13/2009		300		300
Societe Generale NY
5.269% due 06/30/2008		2,000		2,001
5.271% due 06/30/2008		2,000		2,001
				35,711
Commercial Paper 18.3%
Cox Communications, Inc.
5.570% due 09/17/2007		1,200		1,200
Danske Corp.
5.205% due 10/12/2007		44,900		44,582
Dexia Delaware LLC
5.225% due 09/21/2007		46,700		46,483
Freddie Mac
4.800% due 07/02/2007		45,000		45,000
Societe Generale NY
5.210% due 11/26/2007		1,700		1,668
5.246% due 11/26/2007		20,600		20,357
Svenska Handelsbanken, Inc.
5.200% due 10/09/2007		22,300		22,142
5.203% due 10/09/2007		600		596
UBS Finance Delaware LLC
5.235% due 10/23/2007		100		99
5.240% due 10/23/2007		10,000		9,902
				192,029
Tri-Party Repurchase Agreements 0.8%
State Street Bank and Trust Co.
4.900% due 07/02/2007		8,036		8,036
(Dated 06/29/2007. Collateralized by Fannie Mae 6.125% due 06/27/2017 valued at $8,200. Repurchase proceeds are $8,039.)

U.S. Treasury Bills 3.8%
4.677% due 08/30/2007 - 09/13/2007 (c)(e)(g)	40,315		39,907
Total Short-Term Instruments (Cost $275,724)			275,683
Purchased Options (i) 0.1% (Cost $1,945)			1,163
Total Investments (f) 102.1% (Cost $1,070,769)		$	1,071,331
Written Options (j) (0.1%) (Premiums $1,333)			(574	)
Other Assets and Liabilities (Net) (2.0%)			(21,179	)
Net Assets 100.0%		$	1,049,578

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) Coupon represents a weighted average rate.

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

(e) Securities with an aggregate market value of $494 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(f) As of June 30, 2007, portfolio securities with an aggregate value of $103,617 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(g) Securities with an aggregate market value of $55,160 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	61	$	(87	)
90-Day Euribor December Futures	Long	12/2008	30		(68	)
90-Day Euribor June Futures	Long	06/2008	42		(91	)
90-Day Euribor March Futures	Long	03/2008	13		(26	)
90-Day Euribor September Futures	Long	09/2008	30		(69	)
90-Day Eurodollar December Futures	Long	12/2007	832		(987	)
90-Day Eurodollar December Futures	Long	12/2008	239		(104	)
90-Day Eurodollar June Futures	Long	06/2008	1,589		(1,754	)
90-Day Eurodollar March Futures	Long	03/2008	1,513		(1,764	)
90-Day Eurodollar March Futures	Long	03/2009	25		(37	)
90-Day Eurodollar September Futures	Long	09/2008	199		(74	)
90-Day Euroyen December Futures	Long	12/2007	206		(17	)
E-mini S&P 500 Index September Futures	Long	09/2007	10,687		(7,605	)
S&P 500 Index September Futures	Long	09/2007	584		(1,805	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	915		674
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	75		(158	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	281		(406	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	27		(36	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	131		(249	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	164		(253	)
				$	(14,916	)

(h) Swap agreements outstanding on June 30, 2007:

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	%	09/20/2007	JPY	76,000	$	3
Bank of America	DaimlerChrysler N.A. Holding Corp. 6.500% due 11/15/2013	Sell	0.210	%	03/20/2008	$	2,000		2
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		3,000		26
Barclays Bank PLC	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.390	%	01/20/2012		5,000		21
Barclays Bank PLC	Multiple Reference Entities of Gazprom	Sell	0.740	%	01/20/2012		1,800		20
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 6.500% due 11/15/2013	Sell	0.200	%	03/20/2008		1,300		1
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 6.500% due 11/15/2013	Sell	0.225	%	03/20/2008		4,200		4
Credit Suisse First Boston	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.180	%	11/20/2007		3,200		1
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.063	%	12/20/2007		3,200		(1	)
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.063	%	12/20/2007		2,600		(1	)
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.130	%	06/20/2008		5,000		(2	)
Deutsche Bank AG	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Sell	0.120	%	06/20/2008		1,500		(1	)
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	1.000	%	10/20/2011		3,200		63
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.980	%	01/20/2012		1,300		21
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		1,500		7
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.065	%	06/20/2008		6,200		2
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.530	%	12/20/2007		5,200		7
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.360	%	05/20/2009		1,000		0
JPMorgan Chase & Co.	Morgan Stanley 6.600% due 04/01/2012	Sell	0.100	%	12/20/2007		6,300		(2	)
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.350	%	06/20/2008		3,000		7
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		1,200		1
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	12/20/2008		1,200		0
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.320	%	03/20/2009		2,200		4
Lehman Brothers, Inc.	Residential Capital LLC 6.500% due 04/17/2013	Sell	1.150	%	06/20/2009		6,000		(69	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. EM6 Index	Sell	1.400	%	12/20/2011		3,900		29
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.250	%	11/20/2007		5,300		3
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.420	%	11/20/2007		3,200		4
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.370	%	05/20/2008		6,000		3
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.310	%	12/20/2007		4,800		3
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.320	%	12/20/2007		5,300		3
UBS Warburg LLC	Morgan Stanley 6.600% due 04/01/2012	Sell	0.065	%	12/20/2007		3,200		(2	)
								$	157

⁽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	7.000	%	12/15/2009	AUD	2,900	$	(2	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	4,400		25
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		1,100		8
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		2,900		19
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		1,800		37
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		2,000		36
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	300		(3	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		2,300		29
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		5,500		111
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		32,700		(190	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		700		(6	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		1,200		(11	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		300		(3	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,000		16
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	19,700		(537	)
Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		2,400		426
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		4,000		345
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		4,700		(72	)
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		800		(53	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		3,500		(52	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	380,000		(8	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		2,920,000		(15	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		630,000		(9	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		210,000		(1	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		3,620,000		(52	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	45,300		20
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		11,900		(91	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		19,800		(157	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		4,100		(27	)
								$	(217	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized (Depreciation)
Merrill Lynch & Co., Inc.	Long	S&P 500 Index	1-Month USD-LIBOR minus 0.030%	05/15/2008	17,984	$	(566	)

(i) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CME S&P 500 Index September Futures	$	925.000	09/20/2007	2,329	$	67	$	0
Put - CME S&P 500 Index September Futures		950.000	09/20/2007	50		1		0
					$	68	$	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	%	07/02/2007	EUR	8,000	$	37	$	0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007	$	12,000		53		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		3,500		17		7
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		27,000		77		8
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		41,400		230		51
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	07/02/2007		27,000		112		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		42,000		95		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		53,400		265		86
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		3,600		13		7
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		124,700		470		422
									$	1,369	$	581

Foreign Currency Options

Description		Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY		103.800	03/17/2010	$	1,000	$	44	$	77
Put - OTC U.S. dollar versus Japanese yen			103.800	03/17/2010		1,000		44		25
Call - OTC U.S. dollar versus Japanese yen			104.650	03/31/2010		1,000		45		71
Put - OTC U.S. dollar versus Japanese yen			104.650	03/31/2010		1,000		39		27
Call - OTC U.S. dollar versus Japanese yen			105.200	03/31/2010		1,000		42		68
Put - OTC U.S. dollar versus Japanese yen			105.200	03/31/2010		1,000		42		28
Call - OTC U.S. dollar versus Japanese yen			105.400	03/31/2010		3,000		126		201
Put - OTC U.S. dollar versus Japanese yen			105.400	03/31/2010		3,000		126		85
							$	508	$	582

(j) Written options outstanding on June 30, 2007:

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	%	07/02/2007	EUR	3,000	$	36	$	0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008	$	1,500		18		8
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		6,000		75		13
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		18,000		220		55
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	07/02/2007		11,600		121		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		7,000		81		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	08/08/2007		4,000		45		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		23,000		276		82
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		1,600		13		8
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		41,600		448		408
									$	1,333	$	574

(k) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Dates	Cost		Market Value		Market Value as Percentage of Net Assets
Bank Mart	4.567	%	03/01/2019	07/07/1995 -06/12/1997	$	616	$	593	0.06	%

(l) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	07/01/2037	$	11,000	$	10,684	$	10,610

(m) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	3,053	07/2007	$	17	$	0		$	17
Sell		47	07/2007		0		(1	)		(1	)
Buy	BRL	47,272	10/2007		1,198		0			1,198
Buy		17,497	03/2008		568		0			568
Buy	CAD	1,434	08/2007		6		0			6
Buy	CNY	960	09/2007		3		0			3
Sell		960	09/2007		0		0			0
Buy		15,519	11/2007		16		0			16
Sell		15,519	11/2007		1		(4	)		(3	)
Buy		9,454	01/2008		0		(8	)		(8	)
Sell		9,454	01/2008		1		(1	)		0
Buy	EUR	3,765	07/2007		49		0			49
Sell	GBP	3,039	08/2007		0		(32	)		(32	)
Buy	IDR	7,056,000	05/2008		0		(33	)		(33	)
Buy	INR	28,655	10/2007		3		0			3
Buy		47,681	05/2008		20		0			20
Sell	JPY	433,433	07/2007		51		0			51
Sell	KRW	178,130	07/2007		0		(1	)		(1	)
Buy		1,510,902	08/2007		0		(1	)		(1	)
Buy		4,071,746	09/2007		9		0			9
Buy	MXN	55,457	03/2008		36		0			36
Buy	MYR	8,088	05/2008		0		(35	)		(35	)
Buy	NZD	517	07/2007		10		0			10
Sell		11,459	07/2007		0		(66	)		(66	)
Buy	PHP	104,141	05/2008		0		(29	)		(29	)
Buy	PLN	15,681	09/2007		68		(1	)		67
Buy	RUB	24,216	11/2007		23		0			23
Buy		74,460	12/2007		66		0			66
Buy		147,970	01/2008		35		0			35
Buy	SGD	8,593	07/2007		0		(30	)		(30	)
Sell		5,336	07/2007		2		(20	)		(18	)
Buy		8,358	10/2007		28		0			28
				$	2,210	$	(262	)	$	1,948

See accompanying notes

Schedule of Investments

StocksPLUS^® Total Return Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.9%
Discovery Communications, Inc.
7.360% due 05/16/2014	$	1,500	$	1,508
Fresenius Medical Care Capital Trust
6.725% due 03/22/2013		1,500		1,501
Total Bank Loan Obligations (Cost $3,003)				3,009
CORPORATE BONDS & NOTES 22.5%
Banking & Finance 20.4%
Ajax Re Ltd.
11.610% due 05/08/2009		400		401
American Express Bank FSB
5.380% due 06/22/2009		2,300		2,302
American Express Credit Corp.
5.380% due 11/09/2009		1,200		1,201
American International Group, Inc.
5.050% due 10/01/2015		100		95
Bank of America Corp.
5.366% due 11/06/2009		400		400
5.450% due 09/18/2009		800		801
Bank of America N.A.
5.355% due 07/25/2008		900		900
5.360% due 02/27/2009		1,000		1,001
Bank of Ireland
5.410% due 12/18/2009		1,500		1,503
Bear Stearns Cos., Inc.
5.655% due 01/30/2009		700		702
BNP Paribas
5.186% due 06/29/2049		1,200		1,121
Calabash Re II Ltd.
13.760% due 01/08/2010		1,000		1,009
14.960% due 01/08/2010		1,000		1,046
16.260% due 01/08/2010		800		833
Citigroup Funding, Inc.
5.360% due 06/26/2009		500		500
Citigroup Global Markets Holdings, Inc.
5.460% due 03/17/2009		600		601
Citigroup, Inc.
5.390% due 12/28/2009		1,900		1,901
5.395% due 01/30/2009		1,200		1,201
5.400% due 12/26/2008		900		901
6.125% due 08/25/2036		1,200		1,182
DnB NORBank ASA
5.425% due 10/13/2009		600		600
Export-Import Bank of China
4.875% due 07/21/2015		100		95
Ford Motor Credit Co.
6.625% due 06/16/2008		12,800		12,794
General Electric Capital Corp.
5.385% due 10/26/2009		2,100		2,102
5.428% due 01/20/2010		3,000		3,006
5.430% due 08/15/2011		2,200		2,199
GMAC LLC
6.000% due 12/15/2011		100		95
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		500		500
5.410% due 03/30/2009		1,000		1,001
5.440% due 11/16/2009		800		801
5.450% due 12/22/2008		1,500		1,502
5.450% due 06/23/2009		1,000		1,001
HBOS PLC
5.920% due 09/29/2049		100		94
HSBC Finance Corp.
5.440% due 03/12/2010		3,500		3,500
5.607% due 05/10/2010		400		402
JPMorgan Chase & Co.
5.370% due 06/26/2009		500		501
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		100		97
Lehman Brothers Holdings, Inc.
5.440% due 04/03/2009		2,400		2,403
5.445% due 01/23/2009		900		901
Merrill Lynch & Co., Inc.
5.395% due 10/23/2008		1,000		1,001
5.450% due 08/22/2008		400		400
5.450% due 08/14/2009		1,200		1,201
MetLife, Inc.
6.400% due 12/15/2036		300		279
Morgan Stanley
5.360% due 11/21/2008		500		500
Mystic Re Ltd.
11.660% due 12/05/2008		800		795
Petroleum Export Ltd.
5.265% due 06/15/2011		83		81
Resona Bank Ltd.
5.850% due 09/29/2049		200		192
Royal Bank of Scotland Group PLC
5.405% due 07/21/2008		500		500
Santander U.S. Debt S.A. Unipersonal
5.420% due 09/19/2008		3,300		3,303
SLM Corp.
5.495% due 07/27/2009		400		390
State Street Capital Trust IV
6.355% due 06/15/2037		100		101
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		1,100		1,050
TNK-BP Finance S.A.
6.125% due 03/20/2012		100		98
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		2,600		2,602
USB Capital IX
6.189% due 04/15/2049		100		101
Wachovia Bank N.A.
5.320% due 10/03/2008		500		500
Wachovia Corp.
5.405% due 10/28/2008		1,700		1,702
5.410% due 12/01/2009		200		200
5.486% due 10/15/2011		1,500		1,503
				69,694
Industrials 1.3%
Anadarko Petroleum Corp.
5.760% due 09/15/2009		800		801
CODELCO, Inc.
6.150% due 10/24/2036		100		100
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		300		301
HJ Heinz Co.
6.428% due 12/01/2008		100		101
Peabody Energy Corp.
7.875% due 11/01/2026		200		208
Pemex Project Funding Master Trust
5.750% due 12/15/2015		200		196
7.375% due 12/15/2014		10		11
Time Warner, Inc.
5.590% due 11/13/2009		600		601
Transocean, Inc.
5.560% due 09/05/2008		500		500
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		1,700		1,700
				4,519
Utilities 0.8%
AT&T, Inc.
5.456% due 02/05/2010		400		401
IPALCO Enterprises, Inc.
8.625% due 11/14/2011		600		645
Qwest Corp.
7.625% due 06/15/2015		600		622
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		300		279
Telefonica Emisones SAU
5.660% due 06/19/2009		700		703
				2,650
Total Corporate Bonds & Notes (Cost $76,946)				76,863
MUNICIPAL BONDS & NOTES 0.1%
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		400		397
Total Municipal Bonds & Notes (Cost $389)				397
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley
0.000% due 07/07/2008		1,000		994
Total Commodity Index-Linked Notes (Cost $1,000)				994
U.S. GOVERNMENT AGENCIES 65.9%
Fannie Mae
4.673% due 05/25/2035		100		99
5.000% due 11/01/2017 - 03/01/2036		18,081		17,447
5.380% due 12/25/2036		362		361
5.440% due 03/25/2034		266		266
5.500% due 05/01/2032 - 08/01/2037		92,212		89,209
5.642% due 05/01/2036		16		16
5.670% due 03/25/2044		903		904
5.720% due 11/25/2032		85		86
6.000% due 07/01/2037		78,100		77,258
6.183% due 09/01/2034		80		81
6.214% due 07/01/2044		170		172
6.335% due 12/01/2036		69		70
7.000% due 09/01/2013		11		11
8.000% due 12/01/2030		3		3
Freddie Mac
4.500% due 10/01/2007		34		34
5.470% due 07/15/2019 - 10/15/2020		12,900		12,889
5.500% due 08/15/2030 - 07/01/2037		3,005		2,898
5.550% due 07/15/2037		4,500		4,500
6.000% due 07/01/2037		8,000		7,926
6.227% due 02/25/2045		87		87
7.198% due 02/01/2024		20		20
8.000% due 01/01/2017		35		37
Ginnie Mae
5.375% due 03/20/2027		4		4
6.000% due 07/01/2037		9,000		8,953
8.000% due 02/15/2030		2		2
Small Business Administration
4.750% due 07/01/2025		1,217		1,156
5.520% due 06/01/2024		1,276		1,273
Total U.S. Government Agencies (Cost $229,646)				225,762
U.S. TREASURY OBLIGATIONS 1.7%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2026		625		566
2.375% due 01/15/2025		658		632
U.S. Treasury Notes
4.500% due 05/15/2017		4,600		4,412
Total U.S. Treasury Obligations (Cost $5,708)				5,610
MORTGAGE-BACKED SECURITIES 4.5%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		330		323
Arkle Master Issuer PLC
5.300% due 11/19/2007		1,600		1,600
Banc of America Funding Corp.
4.113% due 05/25/2035		522		511
Banc of America Mortgage Securities, Inc.
6.500% due 10/25/2031		160		162
6.500% due 09/25/2033		51		51
Bear Stearns Adjustable Rate Mortgage Trust
4.622% due 01/25/2034		171		172
5.044% due 04/25/2033		7		7
5.329% due 02/25/2033		1		1
6.048% due 01/25/2034		20		21
Bear Stearns Alt-A Trust
5.377% due 05/25/2035		1,182		1,177
5.480% due 02/25/2034		697		697
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		170		167
Countrywide Alternative Loan Trust
5.500% due 05/25/2047		552		553
6.000% due 10/25/2033		128		127
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		158		157
5.590% due 05/25/2034		82		82
CS First Boston Mortgage Securities Corp.
5.631% due 05/25/2032		2		2
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.400% due 02/25/2037		2,398		2,400
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		695		695
5.400% due 01/25/2047		771		772
GSR Mortgage Loan Trust
5.354% due 06/25/2034		656		660
6.000% due 03/25/2032		1		1
Impac CMB Trust
6.120% due 07/25/2033		88		88
MASTR Asset Securitization Trust
5.500% due 09/25/2033		39		37
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		19		19
MLCC Mortgage Investors, Inc.
6.974% due 01/25/2029		151		152
Morgan Stanley Capital I
5.500% due 04/25/2017		1		1
Prime Mortgage Trust
5.720% due 02/25/2019		20		20
5.720% due 02/25/2034		111		112
Salomon Brothers Mortgage Securities VII, Inc.
4.000% due 12/25/2018		533		508
Structured Asset Securities Corp.
5.329% due 10/25/2035		663		663
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		596		596
Washington Mutual MSC Mortgage Pass-Through Certificates
5.407% due 02/25/2033		2		2
Washington Mutual, Inc.
5.474% due 02/27/2034		72		71
5.610% due 10/25/2045		140		140
5.960% due 12/25/2027		1,364		1,364
6.029% due 02/25/2046		469		470
6.229% due 11/25/2042		129		129
6.429% due 08/25/2042		87		87
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		679		670
Total Mortgage-Backed Securities (Cost $15,509)				15,467
ASSET-BACKED SECURITIES 14.3%
ACE Securities Corp.
5.370% due 12/25/2036		226		226
Amortizing Residential Collateral Trust
5.610% due 07/25/2032		18		18
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		456		457
5.480% due 05/25/2035		186		187
Bank One Issuance Trust
5.430% due 12/15/2010		4,400		4,407
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		847		847
5.400% due 10/25/2036		329		329
Carrington Mortgage Loan Trust
5.370% due 01/25/2037		3,180		3,182
Chase Credit Card Master Trust
5.430% due 02/15/2011		1,000		1,002
Countrywide Asset-Backed Certificates
5.370% due 05/25/2037		7,032		7,036
5.400% due 06/25/2037		618		619
5.800% due 12/25/2031		110		110
CS First Boston Mortgage Securities Corp.
5.940% due 01/25/2032		21		21
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		1,064		1,065
5.370% due 12/25/2036		643		643
5.390% due 12/25/2037		3,013		3,015
First USA Credit Card Master Trust
5.480% due 04/18/2011		1,600		1,604
Fremont Home Loan Trust
5.370% due 10/25/2036		2,287		2,287
5.380% due 01/25/2037		497		497
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		570		570
JPMorgan Mortgage Acquisition Corp.
5.370% due 07/25/2036		967		968
5.370% due 10/25/2036		2,698		2,695
Lehman XS Trust
5.390% due 05/25/2046		232		233
Long Beach Mortgage Loan Trust
5.350% due 06/25/2036		1,127		1,128
5.360% due 11/25/2036		2,470		2,472
5.600% due 10/25/2034		49		49
MASTR Asset-Backed Securities Trust
5.380% due 11/25/2036		733		733
MBNA Credit Card Master Note Trust
5.440% due 08/16/2010		2,200		2,204
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		481		481
5.390% due 08/25/2036		2,537		2,538
Morgan Stanley ABS Capital I
5.370% due 10/25/2036		298		298
Option One Mortgage Loan Trust
5.370% due 07/25/2036		421		421
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		1,160		1,161
5.420% due 08/25/2046		2,626		2,627
Soundview Home Equity Loan Trust
5.400% due 01/25/2037		2,815		2,816
Truman Capital Mortgage Loan Trust
5.660% due 01/25/2034		106		107
Total Asset-Backed Securities (Cost $49,035)				49,053
SOVEREIGN ISSUES 0.0%
China Development Bank
5.000% due 10/15/2015		100		96
Total Sovereign Issues (Cost $99)				96
FOREIGN CURRENCY-DENOMINATED ISSUES 0.1%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	300		173
Ford Motor Credit Co.
6.750% due 01/14/2008	EUR	200		272
Total Foreign Currency-Denominated Issues (Cost $433)				445
		Shares
PREFERRED STOCKS 0.7%
DG Funding Trust
7.600% due 12/31/2049		217		2,261
Total Preferred Stocks (Cost $2,294)				2,261
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 23.7%
Certificates of Deposit 7.7%
Barclays Bank PLC
5.281% due 03/17/2008	$	3,200		3,200
BNP Paribas
5.262% due 05/28/2008		500		500
5.270% due 09/23/2008		2,300		2,300
Calyon Financial, Inc.
5.340% due 01/16/2009		1,200		1,200
Dexia S.A.
5.270% due 09/29/2008		4,000		4,001
Fortis Bank NY
5.265% due 06/30/2008		1,500		1,501
5.300% due 09/30/2008		1,100		1,100
Nordea Bank Finland PLC
5.262% due 03/31/2008		500		500
5.308% due 05/28/2008		500		500
Royal Bank of Canada
5.267% due 06/30/2008		1,600		1,602
Royal Bank of Scotland Group PLC
5.265% due 03/26/2008		3,400		3,400
Skandinav Enskilda BK
5.270% due 10/03/2007		1,900		1,900
5.272% due 08/21/2008		1,000		1,000
Societe Generale NY
5.269% due 06/30/2008		500		500
5.271% due 06/30/2008		2,400		2,401
Unicredito Italiano NY
5.358% due 05/06/2008		600		600
				26,205
Commercial Paper 9.5%
Bank of America Corp.
5.200% due 10/04/2007		2,500		2,494
Calyon N.A. LLC
5.395% due 06/29/2010		100		100
Cox Communications, Inc.
5.570% due 09/17/2007		400		400
Danske Corp.
5.235% due 10/12/2007		9,300		9,208
Societe Generale NY
5.225% due 11/26/2007		7,500		7,389
Svenska Handelsbanken, Inc.
5.203% due 10/09/2007		8,100		8,041
UBS Finance Delaware LLC
5.225% due 10/23/2007		4,900		4,888
				32,520
Repurchase Agreements 1.2%
State Street Bank and Trust Co.
4.900% due 07/02/2007		4,244		4,244
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $4,333. Repurchase proceeds are $4,246.)
U.S. Treasury Bills 5.3%
4.607% due 08/30/2007 - 09/13/2007 (a)(c)(e)		18,480		18,278
Total Short-Term Instruments (Cost $81,273)				81,247
Purchased Options (g) 0.1% (Cost $1,158)				401
Total Investments (d) 134.8% (Cost $466,493)			$	461,605
Written Options (h) (0.2%) (Premiums $1,247)				(563	)
Other Assets and Liabilities (Net) (34.6%)				(118,548	)
Net Assets 100.0%			$	342,494

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 $743 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $17,399 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $17,535 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Euribor December Futures	Long	12/2007	28	$	(40	)
90-Day Euribor December Futures	Long	12/2008	18		(40	)
90-Day Euribor June Futures	Long	06/2008	41		(87	)
90-Day Euribor March Futures	Long	03/2008	23		(45	)
90-Day Euribor September Futures	Long	09/2008	45		(43	)
90-Day Eurodollar December Futures	Long	12/2008	286		(216	)
90-Day Eurodollar June Futures	Long	06/2008	1,003		(1,018	)
90-Day Eurodollar March Futures	Long	03/2009	27		(40	)
90-Day Eurodollar September Futures	Long	09/2008	352		(335	)
90-Day Euroyen December Futures	Long	12/2007	71		(8	)
E-mini S&P 500 Index September Futures	Long	09/2007	803		(598	)
Euro-Bund 10-Year Note September Futures	Short	09/2007	7		(5	)
S&P 500 Index September Futures	Long	09/2007	747		(2,386	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	1		(1	)
U.S. Treasury 30-Year Bond September Futures	Long	09/2007	18		(20	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	39		(86	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	4		(7	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	36		(63	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	46		(82	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	21		(45	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	11		(27	)
				$	(5,192	)

(f) Swap agreements outstanding on June 30, 2007:

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	%	09/20/2007	JPY	20,000	$	2
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	$	1,000		7
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009		3,600		1
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		100		0
Credit Suisse First Boston	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009		4,000		4
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		(1	)
Deutsche Bank AG	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	0.300	%	06/20/2008		2,000		6
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		500		2
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		300		0
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		5,000		30
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		2,400		11
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		3,600		3
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	0.415	%	11/20/2007		2,300		3
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		2
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		200		0
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		300		0
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	03/20/2009		400		0
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		2,700		51
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.980	%	03/20/2016		1,500		103
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.570	%	07/20/2007		2,400		7
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		100		0
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009		2,400		8
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009		1,900		2
								$	242

⁽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	7.000	%	12/15/2009	AUD	1,100	$	(1	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	1,700		10
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		400		3
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		1,100		7
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		700		14
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		1,700		31
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	100		(1	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		1,100		13
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	5.000	%	12/19/2009		2,500		(1	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		1,900		38
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	12/19/2017		600		(3	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		1,100		(8	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		300		(3	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		500		(5	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		900		(10	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		300		(3	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		400		(4	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	2,900		(28	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		1,500		(22	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		1,700		(29	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		200		47
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		300		(7	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		1,700		(17	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		3,400		(83	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		7,400		(23	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		500		29
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		5,400		(132	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		600		125
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		5,900		(393	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		200		19
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		1,400		(21	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		2,100		5
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,200		265
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		100		5
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	150,000		(3	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		1,120,000		(6	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		240,000		(3	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/19/2008		2,600,000		(7	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		80,000		0
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		2,180,000		(36	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016	MXN	1,200		1
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012		4,700		(4	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	22,800		(17	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		1,700		16
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		27,300		(59	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		100,700		67
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		5,600		(25	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		800		10
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		1,800		5
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		6,500		(113	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		3,900		(26	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		27,300		(63	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		8,000		(15	)
								$	(461)

(g) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar September Futures	$	90.500	09/17/2007	102	$	1	$	0
Put - CME 90-Day Eurodollar September Futures		90.750	09/17/2007	98		1		0
Put - CME S&P 500 Index September Futures		925.000	09/20/2007	529		15		0
Put - CME S&P 500 Index September Futures		950.000	09/20/2007	416		12		0
					$	29	$	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	%	07/02/2007	EUR	2,000	$	9	$	0
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	3.960	%	07/02/2007		6,000		34		0
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.100	%	07/02/2007		5,000		28		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Pay	3.960	%	07/02/2007		4,000		19		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	08/08/2007	$	9,000		37		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		3,000		13		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		24,500		118		48
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.250	%	08/08/2007		8,000		7		7
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		9,000		26		3
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	08/08/2007		11,000		25		0
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		9,200		51		11
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		35,200		125		69
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		10,000		26		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		18,000		41		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/08/2007		26,000		33		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		22,900		114		37
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		34,200		201		42
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		7,500		30		15
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		9,000		32		20
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		42,800		154		145
									$	1,123	$	397

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Put - OTC Fannie Mae 6.000% due 09/01/2037	$	92.500	09/06/2007	$	54,100	$	6	$	4

(h) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.000	08/24/2007	99	$	32	$	60
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	55		17		15
Call - CBOT U.S. Treasury 10-Year Note September Futures		108.000	08/24/2007	13		3		1
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	18		2		1
Put - CBOT U.S. Treasury 10-Year Note September Futures		104.000	08/24/2007	75		29		16
Put - CBOT U.S. Treasury 10-Year Note September Futures		105.000	08/24/2007	111		43		52
					$	126	$	145

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	%	07/02/2007	EUR	1,000	$	12	$	0
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR- LIBOR	Receive	4.100	%	07/02/2007		3,000		41		0
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR- LIBOR	Receive	4.230	%	07/02/2007		2,000		26		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR- LIBOR	Receive	4.100	%	07/02/2007		2,000		23		0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD- LIBOR	Receive	4.900	%	08/08/2007	$	4,000		35		0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD- LIBOR	Receive	4.950	%	09/26/2008		10,500		117		53
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD- LIBOR	Receive	5.570	%	08/08/2007		2,000		8		9
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD- LIBOR	Receive	4.900	%	02/01/2008		2,000		25		4
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD- LIBOR	Receive	4.850	%	08/08/2007		2,000		27		0
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD- LIBOR	Receive	4.900	%	03/31/2008		4,000		49		12
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD- LIBOR	Receive	4.950	%	09/26/2008		15,300		127		77
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive	4.950	%	07/02/2007		2,900		31		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive	4.900	%	08/08/2007		5,000		33		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive	4.900	%	08/08/2007		3,000		35		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive	5.000	%	08/08/2007		1,000		11		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive	5.100	%	02/01/2008		10,000		120		36
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive	4.900	%	03/31/2008		9,700		129		30
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive	4.950	%	03/31/2008		5,000		62		17
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive	4.950	%	09/26/2008		3,500		32		18
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive	5.000	%	12/15/2008		3,000		31		21
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD- LIBOR	Receive	5.200	%	12/15/2008		14,300		147		141
									$	1,121	$	418

(i) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Notes	4.500	%	05/15/2017	$	8,300	$	7,951	$	8,019
U.S. Treasury Notes	4.625	%	02/15/2017		1,300		1,264		1,283
						$	9,215	$	9,302

⁽²⁾ Market value includes $83 of interest payable on short sales.

(j) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	1,486	07/2007	$	9	$	0		$	9
Sell		17	07/2007		0		0			0
Buy	BRL	8,568	10/2007		139		0			139
Buy		10,393	03/2008		381		0			381
Buy	CAD	891	08/2007		4		0			4
Buy	CLP	64,260	03/2008		0		(1	)		(1	)
Buy	CNY	384	09/2007		1		0			1
Sell		384	09/2007		0		0			0
Buy		3,651	11/2007		2		0			2
Sell		3,651	11/2007		1		(1	)		0
Buy		1,888	01/2008		0		(2	)		(2	)
Sell		1,888	01/2008		0		0			0
Buy	EUR	925	07/2007		12		0			12
Sell	GBP	884	08/2007		0		(9	)		(9	)
Buy	IDR	2,469,600	05/2008		0		(12	)		(12	)
Buy	INR	18,763	10/2007		2		0			2
Buy		11,541	05/2008		5		0			5
Sell	JPY	139,943	07/2007		16		0			16
Buy	KRW	505,319	07/2007		3		0			3
Sell		74,910	07/2007		0		0			0
Buy		102,408	08/2007		0		0			0
Buy		597,865	09/2007		2		0			2
Buy	MXN	2,699	09/2007		3		0			3
Buy		16,987	03/2008		15		0			15
Buy	MYR	2,816	05/2008		0		(13	)		(13	)
Buy	NZD	200	07/2007		4		0			4
Buy	PHP	37,343	05/2008		0		(10	)		(10	)
Buy	PLN	3,244	09/2007		19		0			19
Buy		672	03/2008		3		0			3
Buy	RUB	6,181	09/2007		3		0			3
Buy		7,407	11/2007		7		0			7
Buy		21,234	12/2007		19		0			19
Buy		39,914	01/2008		7		0			7
Buy	SEK	534	09/2007		1		0			1
Buy	SGD	2,854	07/2007		0		(12	)		(12	)
Sell		1,679	07/2007		0		(7	)		(7	)
Buy		393	08/2007		2		0			2
Buy		172	09/2007		0		0			0
Buy		3,128	10/2007		9		(1	)		8
Buy	ZAR	39	09/2007		0		0			0
				$	669	$	(68	)	$	601

See accompanying notes

Schedule of Investments

StocksPLUS^® TR Short Strategy Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.6%
HCA, Inc.
7.600% due 11/14/2013	$	1,000	$	1,006
Tell Group PLC
7.071% due 08/09/2011		5		5
Total Bank Loan Obligations (Cost $1,005)				1,011
CORPORATE BONDS & NOTES 36.8%
Banking & Finance 26.9%
American Express Centurion Bank
5.380% due 04/17/2009		1,200		1,200
American Honda Finance Corp.
5.420% due 03/09/2009		500		501
ANZ National International Ltd.
5.396% due 08/07/2009		1,100		1,100
Bank of America Corp.
5.370% due 06/19/2009		1,700		1,702
Bear Stearns Cos., Inc.
5.450% due 03/30/2009		400		400
5.450% due 08/21/2009		200		200
5.505% due 04/29/2008		900		901
BNP Paribas
5.186% due 06/29/2049		200		187
C10 Capital SPV Ltd.
6.722% due 12/31/2049		200		195
Calabash Re II Ltd.
13.760% due 01/08/2010		400		404
14.960% due 01/08/2010		400		418
Caterpillar Financial Services Corp.
5.420% due 05/18/2009		1,600		1,602
CIT Group, Inc.
5.505% due 01/30/2009		1,100		1,099
5.510% due 12/19/2008		100		100
5.570% due 05/23/2008		100		100
Citigroup Funding, Inc.
5.320% due 04/23/2009		100		100
5.350% due 12/08/2008		100		100
5.360% due 06/26/2009		200		200
Citigroup Global Markets Holdings, Inc.
5.400% due 03/07/2008		25		25
Citigroup, Inc.
4.200% due 12/20/2007		300		298
5.390% due 12/28/2009		300		300
5.395% due 01/30/2009		800		801
5.400% due 12/26/2008		600		601
6.125% due 08/25/2036		100		99
Ford Motor Credit Co.
6.625% due 06/16/2008		5,300		5,298
Foundation Re II Ltd.
12.110% due 11/26/2010		400		402
General Electric Capital Corp.
5.385% due 10/26/2009		1,100		1,101
5.390% due 03/12/2010		100		100
5.428% due 01/20/2010		700		701
Goldman Sachs Group, Inc.
5.410% due 03/30/2009		200		200
5.447% due 11/10/2008		300		301
5.450% due 12/22/2008		200		200
5.455% due 07/29/2008		400		401
5.475% due 10/05/2007		700		700
5.685% due 07/23/2009		20		20
HBOS Treasury Services PLC
5.397% due 07/17/2009		600		601
HSBC Bank USA N.A.
5.500% due 06/10/2009		300		301
HSBC Finance Corp.
5.415% due 10/21/2009		200		200
5.490% due 09/15/2008		1,000		1,002
HSBC Holdings PLC
6.500% due 05/02/2036		400		412
International Lease Finance Corp.
5.580% due 05/24/2010		1,500		1,504
JPMorgan Chase & Co.
5.539% due 10/02/2009		500		502
Lehman Brothers Holdings, Inc.
5.440% due 04/03/2009		300		300
5.445% due 10/22/2008		500		501
5.570% due 12/23/2010		200		200
5.579% due 07/18/2011		300		301
5.607% due 11/10/2009		200		201
MBNA Corp.
5.786% due 05/05/2008		1,100		1,104
Merrill Lynch & Co., Inc.
5.460% due 06/16/2008		1,600		1,602
MetLife, Inc.
6.400% due 12/15/2036		100		93
Morgan Stanley
5.467% due 02/09/2009		900		902
5.482% due 11/09/2007		600		600
5.595% due 01/22/2009		100		100
Mystic Re Ltd.
11.660% due 12/05/2008		300		298
National Australia Bank Ltd.
5.400% due 09/11/2009		400		401
Pricoa Global Funding I
5.435% due 01/25/2008		600		601
Royal Bank of Scotland Group PLC
5.360% due 12/21/2007		200		200
5.405% due 07/21/2008		300		300
Santander U.S. Debt S.A. Unipersonal
5.370% due 09/21/2007		200		200
5.415% due 10/21/2008		600		601
5.420% due 09/19/2008		700		701
SLM Corp.
5.565% due 07/25/2008		1,300		1,291
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		200		193
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		100		95
TNK-BP Finance S.A.
6.125% due 03/20/2012		100		98
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		200		200
Wachovia Bank N.A.
5.400% due 03/23/2009		800		801
Wachovia Corp.
5.405% due 10/28/2008		600		601
5.486% due 10/15/2011		200		200
Wells Fargo & Co.
5.400% due 03/10/2008		800		801
5.420% due 03/23/2010		800		801
				40,866
Industrials 6.5%
Anadarko Petroleum Corp.
5.760% due 09/15/2009		500		501
Comcast Corp.
5.656% due 07/14/2009		400		400
CSC Holdings, Inc.
7.250% due 07/15/2008		1,000		1,010
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		200		200
5.790% due 03/13/2009		300		301
5.805% due 08/03/2009		300		302
5.840% due 09/10/2007		600		601
Diageo Capital PLC
5.457% due 11/10/2008		600		601
Gaz Capital for Gazprom
6.212% due 11/22/2016		100		98
General Electric Co.
5.400% due 12/09/2008		400		401
Peabody Energy Corp.
7.375% due 11/01/2016		100		103
Pemex Project Funding Master Trust
5.750% due 12/15/2015		100		98
Safeway, Inc.
5.710% due 03/27/2009		1,300		1,301
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		300		331
Siemens Financieringsmaatschappij NV
5.410% due 08/14/2009		500		500
5.500% due 02/16/2012		700		698
Time Warner, Inc.
5.590% due 11/13/2009		1,500		1,502
Transocean, Inc.
5.560% due 09/05/2008		300		300
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		600		600
Williams Cos., Inc.
6.375% due 10/01/2010		100		101
				9,949
Utilities 3.4%
AT&T, Inc.
5.450% due 05/15/2008		200		200
5.570% due 11/14/2008		1,300		1,304
BellSouth Corp.
5.460% due 08/15/2008		400		400
5.485% due 11/15/2007		500		500
Florida Power Corp.
5.760% due 11/14/2008		700		701
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		100		97
Qwest Corp.
7.625% due 06/15/2015		100		104
Southern California Edison Co.
5.455% due 02/02/2009		200		200
Telefonica Emisones SAU
5.660% due 06/19/2009		1,000		1,004
TXU Electric Delivery Co.
5.735% due 09/16/2008		600		601
				5,111
Total Corporate Bonds & Notes (Cost $55,911)				55,926
MUNICIPAL BONDS & NOTES 0.1%
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		95		94
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		25		26
Total Municipal Bonds & Notes (Cost $120)				120
U.S. GOVERNMENT AGENCIES 43.2%
Fannie Mae
4.350% due 03/01/2035		54		54
4.404% due 10/01/2034		38		38
4.487% due 09/01/2035		284		284
4.493% due 07/01/2035		215		213
4.620% due 09/01/2035		297		294
4.695% due 12/01/2033		114		115
4.708% due 12/01/2033		89		89
4.837% due 06/01/2035		303		300
5.000% due 10/01/2035 - 03/01/2036		8,841		8,308
5.005% due 06/01/2035		286		284
5.500% due 04/01/2034 - 08/01/2037		15,856		15,303
5.670% due 09/25/2042		231		233
6.000% due 01/01/2036 - 07/01/2037		26,094		25,829
6.973% due 11/01/2035		48		50
Freddie Mac
4.715% due 06/01/2035		509		498
4.913% due 11/01/2034		194		192
5.000% due 12/15/2020 - 01/15/2024		257		256
5.470% due 07/15/2019 - 10/15/2020		5,500		5,495
5.500% due 08/15/2030 - 07/01/2037		1,000		965
5.550% due 07/15/2037		1,800		1,800
5.720% due 06/15/2018		31		31
6.000% due 07/01/2037		3,000		2,972
Ginnie Mae
6.000% due 07/01/2037		2,000		1,990
Small Business Administration
5.520% due 06/01/2024		20		20
Total U.S. Government Agencies (Cost $66,332)				65,613
U.S. TREASURY OBLIGATIONS 0.2%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2026		416		377
Total U.S. Treasury Obligations (Cost $387)				377
MORTGAGE-BACKED SECURITIES 5.2%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		47		46
Banc of America Funding Corp.
4.113% due 05/25/2035		75		73
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		199		196
6.048% due 01/25/2034		1		1
Bear Stearns Alt-A Trust
5.377% due 05/25/2035		13		13
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		85		83
4.900% due 12/25/2035		146		146
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		507		500
5.600% due 02/25/2037		776		778
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		79		78
5.560% due 04/25/2035		74		74
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		78		77
GSR Mortgage Loan Trust
4.538% due 09/25/2035		232		229
Harborview Mortgage Loan Trust
5.410% due 01/19/2038		1,360		1,362
5.540% due 05/19/2035		71		71
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		149		148
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		88		88
Mellon Residential Funding Corp.
5.760% due 12/15/2030		596		599
5.800% due 06/15/2030		8		8
Structured Adjustable Rate Mortgage Loan Trust
4.580% due 02/25/2034		205		206
5.340% due 08/25/2034		276		275
6.429% due 01/25/2035		160		161
Structured Asset Mortgage Investments, Inc.
5.600% due 02/25/2036		75		75
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		255		256
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		991		991
Washington Mutual, Inc.
5.510% due 04/25/2045		131		131
5.724% due 10/25/2046		824		827
6.229% due 11/25/2042		55		55
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		340		335
Total Mortgage-Backed Securities (Cost $7,880)				7,882
ASSET-BACKED SECURITIES 6.1%
ACE Securities Corp.
5.380% due 10/25/2036		373		373
5.430% due 10/25/2035		34		34
American Express Credit Account Master Trust
5.820% due 02/15/2012		369		370
Argent Securities, Inc.
5.370% due 09/25/2036		120		120
5.400% due 01/25/2036		126		126
Asset-Backed Securities Corp. Home Equity
5.480% due 05/25/2035		12		12
5.595% due 09/25/2034		124		124
Carrington Mortgage Loan Trust
5.385% due 02/25/2036		64		64
Citigroup Mortgage Loan Trust, Inc.
5.380% due 05/25/2037		800		800
Countrywide Asset-Backed Certificates
5.370% due 03/25/2047		319		319
5.390% due 06/25/2037		260		260
5.800% due 12/25/2031		1		1
GSR Mortgage Loan Trust
5.420% due 11/25/2030		31		32
Home Equity Asset Trust
5.430% due 02/25/2036		115		115
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		169		169
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		122		122
Long Beach Mortgage Loan Trust
5.380% due 10/25/2036		1,181		1,181
5.400% due 02/25/2036		45		45
5.410% due 01/25/2036		87		87
5.600% due 10/25/2034		37		37
Newcastle Mortgage Securities Trust
5.390% due 03/25/2036		292		292
Park Place Securities, Inc.
5.632% due 10/25/2034		539		541
Residential Asset Mortgage Products, Inc.
5.400% due 10/25/2036		381		382
Residential Asset Securities Corp.
5.390% due 11/25/2036		307		307
SLM Student Loan Trust
5.335% due 04/25/2012		571		572
5.345% due 10/27/2014		1,454		1,455
5.355% due 01/25/2016		259		259
5.355% due 01/25/2018		118		118
5.365% due 01/26/2015		37		37
Soundview Home Equity Loan Trust
5.380% due 06/25/2036		207		207
Structured Asset Securities Corp.
5.370% due 10/25/2036		370		370
5.450% due 12/25/2035		96		96
Wells Fargo Home Equity Trust
5.440% due 12/25/2035		321		321
Total Asset-Backed Securities (Cost $9,342)				9,348
SOVEREIGN ISSUES 0.0%
Russia Government International Bond
8.250% due 03/31/2010		13		14
Total Sovereign Issues (Cost $14)				14
FOREIGN CURRENCY-DENOMINATED ISSUES 0.3%
Ford Motor Credit Co.
6.750% due 01/14/2008	EUR	300		407
Total Foreign Currency-Denominated Issues (Cost $377)				407
	Shares
PREFERRED STOCKS 0.6%
DG Funding Trust
7.600% due 12/31/2049		85		886
Total Preferred Stocks (Cost $904)				886
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 23.1%
Certificates of Deposit 5.1%
BNP Paribas
5.262% due 05/28/2008	$	200		200
Calyon Financial, Inc.
5.340% due 01/16/2009		400		400
Fortis Bank NY
5.265% due 04/28/2008		700		701
5.265% due 06/30/2008		200		200
5.300% due 09/30/2008		400		400
Nordea Bank Finland PLC
5.308% due 05/28/2008		200		200
5.308% due 04/09/2009		600		600
Royal Bank of Canada
5.267% due 06/30/2008		600		601
Royal Bank of Scotland Group PLC
5.265% due 03/26/2008		1,100		1,100
Societe Generale NY
5.269% due 06/30/2008		400		400
5.270% due 03/26/2008		700		700
5.271% due 06/30/2008		800		800
Unicredito Italiano NY
5.360% due 12/03/2007		1,400		1,401
				7,703
Commercial Paper 8.3%
Calyon N.A. LLC
5.395% due 06/29/2010		100		100
Freddie Mac
4.800% due 07/02/2007		5,000		5,000
Societe Generale NY
5.195% due 11/26/2007		600		597
UBS Finance Delaware LLC
5.240% due 10/23/2007		7,000		6,903
				12,600
Repurchase Agreements 3.5%
State Street Bank and Trust Co.
4.900% due 07/02/2007		5,333		5,333
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $5,443. Repurchase proceeds are $5,335.)
U.S. Treasury Bills 6.2%
4.649% due 08/30/2007 - 09/13/2007 (a)(d)		9,540		9,434
Total Short-Term Instruments (Cost $35,084)				35,070
Purchased Options (f) 0.1% (Cost $507)				154
Total Investments (c) 116.3% (Cost $177,863)			$	176,808
Written Options (g) (0.1%) (Premiums $538)				(216	)
Other Assets and Liabilities (Net) (16.2%)				(24,628	)
Net Assets 100.0%			$	151,964

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 June 30, 2007, portfolio securities with an aggregate value of $6,818 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $9,434 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	28	$	(40	)
90-Day Euribor December Futures	Long	12/2008	11		(25	)
90-Day Euribor June Futures	Long	06/2008	25		(54	)
90-Day Euribor March Futures	Long	03/2008	11		(22	)
90-Day Euribor September Futures	Long	09/2008	21		(24	)
90-Day Eurodollar December Futures	Long	12/2007	252		(191	)
90-Day Eurodollar December Futures	Long	12/2008	111		(58	)
90-Day Eurodollar June Futures	Long	06/2008	503		(544	)
90-Day Eurodollar March Futures	Long	03/2008	454		(485	)
90-Day Eurodollar March Futures	Long	03/2009	11		(16	)
90-Day Eurodollar September Futures	Long	09/2008	86		(38	)
90-Day Euroyen December Futures	Long	12/2007	23		(2	)
E-mini S&P 500 Index September Futures	Long	09/2007	75		(55	)
Euro-Bund 10-Year Note September Futures	Short	09/2007	3		(2	)
S&P 500 Index September Futures	Short	09/2007	416		3,178
U.S. Treasury 10-Year Note September Futures	Short	09/2007	12		11
U.S. Treasury 30-Year Bond September Futures	Long	09/2007	23		(26	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	23		(53	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	1		(1	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	18		(31	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	19		(35	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	14		(30	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	7		(18	)
				$	1,439

(e) Swap agreements outstanding on June 30, 2007:

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	%	09/20/2007	JPY	13,000	$	1
Bank of America	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.000	%	09/20/2008	$	1,000		(3	)
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009		1,300		0
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.630	%	03/20/2009		300		1
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.620	%	08/20/2011		500		4
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.495	%	08/20/2011		500		3
Credit Suisse First Boston	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009		1,400		1
Credit Suisse First Boston	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.270	%	03/20/2009		200		0
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
Deutsche Bank AG	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	0.300	%	06/20/2008		800		2
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		200		1
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		2,000		14
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		1,100		7
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		900		1
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.	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		1
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		100		0
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	03/20/2009		200		0
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		1,200		23
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009		700		2
Morgan Stanley	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.450	%	03/20/2009		200		0
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009		800		1
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	08/20/2016		500		34
								$	93

⁽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	7.000	%	12/15/2009	AUD	400	$	0
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	700		4
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		200		1
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		500		3
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		300		6
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		600		11
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	100		(1	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		200		2
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	5.000	%	12/19/2009		1,300		0
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		800		16
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	12/19/2017		300		(2	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		400		(3	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		100		(1	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		200		(2	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		700		(7	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		200		(2	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		200		(2	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	1,000		(10	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		600		(9	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		600		(11	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		100		24
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		100		(2	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		600		(6	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		1,200		(29	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		3,000		(9	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		200		11
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		400		(6	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		300		62
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		200		19
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		600		(9	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		900		(3	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		600		135
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		100		5
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	50,000		(1	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		440,000		(2	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		80,000		(1	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		30,000		0
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		790,000		(13	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016	MXN	500		0
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012		2,000		(2	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	8,300		(6	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		700		7
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		9,700		(21	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		23,800		22
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		1,900		69
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		300		3
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		1,200		(1	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		700		17
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		2,800		(21	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		700		(5	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		9,700		(22	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		6,500		(53	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		600		(5	)
								$	150

(f) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CME S&P 500 Index September Futures	$	1,825.000	09/21/2007	293	$	8	$	4

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	6-Month EUR-LIBOR	Pay	4.100	%	07/02/2007	EUR	3,000	$	17	$	0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	08/08/2007	$	2,000		8		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		3,000		13		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		13,000		63		26
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.250	%	08/08/2007		4,000		4		3
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		5,000		14		1
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	08/08/2007		4,000		9		0
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		2,300		13		3
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		11,000		39		22
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		10,000		26		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		6,000		13		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/08/2007		10,000		13		0
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		3
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		11,900		59		19
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		22,700		133		28
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		4,000		14		8
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		3,000		11		7
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		9,000		26		30
									$	499	$	150

(g) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.000	08/24/2007	40	$	13	$	24
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	22		7		6
Call - CBOT U.S. Treasury 10-Year Note September Futures		108.000	08/24/2007	5		1		1
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	8		1		0
Put - CBOT U.S. Treasury 10-Year Note September Futures		103.000	08/24/2007	10		5		1
Put - CBOT U.S. Treasury 10-Year Note September Futures		104.000	08/24/2007	30		12		7
Put - CBOT U.S. Treasury 10-Year Note September Futures		105.000	08/24/2007	35		12		16
					$	51	$	55

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	6-Month EUR-LIBOR	Receive	4.230	%	07/02/2007	EUR	1,000	$	13	$	0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007	$	1,000		9		0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		5,500		62		28
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		1,000		13		2
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	08/08/2007		1,000		14		0
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		1,000		12		3
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		5,000		41		25
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	07/02/2007		1,800		19		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		2,000		13		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		1,000		12		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	08/08/2007		1,000		11		0
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		4
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		5,000		60		18
Call - OTC 5-Year Interest Rate     Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		6,000		80		18
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		4,000		49		14
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		1,500		12		8
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		1,000		10		7
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		3,000		25		30
									$	483	$	157

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Premium		Value
Call - OTC Fannie Mae 6.000% due 09/01/2037	$	88.000	09/06/2007	$	1,000	$	4	$	4

(h) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Notes	4.500	%	05/15/2017	$	2,800	$	2,686	$	2,707
U.S. Treasury Notes	4.625	%	02/15/2017		500		486		494
						$	3,172	$	3,201

⁽²⁾ Market value includes $31 of interest payable on short sales.

(i) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	463	07/2007	$	3	$	0		$	3
Buy	BRL	6,349	10/2007		123		0			123
Buy		2,366	03/2008		75		0			75
Buy	CAD	362	08/2007		2		0			2
Buy	CNY	192	09/2007		1		0			1
Sell		192	09/2007		0		0			0
Buy		14,289	11/2007		2		(1	)		1
Sell		14,289	11/2007		0		(4	)		(4	)
Buy		1,014	01/2008		0		(1	)		(1	)
Sell		1,014	01/2008		0		0			0
Sell	EUR	301	07/2007		0		(4	)		(4	)
Sell	GBP	361	08/2007		0		(4	)		(4	)
Buy	IDR	970,200	05/2008		0		(5	)		(5	)
Buy	INR	6,654	10/2007		1		0			1
Buy		5,479	05/2008		2		0			2
Sell	JPY	25,018	07/2007		3		0			3
Buy	KRW	286,256	07/2007		2		0			2
Sell		31,690	07/2007		0		0			0
Buy		49,166	08/2007		0		0			0
Buy		241,836	09/2007		1		0			1
Buy	MXN	1,983	09/2007		3		0			3
Buy		6,423	03/2008		5		0			5
Buy	MYR	1,061	05/2008		0		(5	)		(5	)
Buy	NZD	72	07/2007		1		0			1
Buy	PHP	2,396	05/2008		0		(1	)		(1	)
Buy	PLN	1,445	09/2007		8		0			8
Buy		247	03/2008		1		0			1
Buy	RUB	4,571	09/2007		2		0			2
Buy		2,994	11/2007		3		0			3
Buy		11,429	12/2007		10		0			10
Buy		16,207	01/2008		3		0			3
Buy	SEK	987	09/2007		2		0			2
Buy	SGD	487	07/2007		0		(2	)		(2	)
Sell		277	07/2007		0		(1	)		(1	)
Buy		321	08/2007		1		0			1
Buy		591	10/2007		1		0			1
				$	255	$	(28	)	$	227

See accompanying notes

Schedule of Investments

Total Return Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.8%
Allied Waste North America, Inc.
5.320% due 01/15/2012	$	4,581	$	4,603
7.060% due 03/28/2014		4,146		4,163
7.110% due 03/28/2014		2,856		2,867
7.140% due 03/28/2014		1,520		1,526
7.150% due 03/28/2014		1,658		1,665
Biomet, Inc.
6.000% due 03/08/2008		15,000		15,037
Community Health Corp.
4.000% due 07/02/2014		1,423		1,426
5.000% due 07/02/2014		21,577		21,628
7.000% due 04/10/2008		25,000		24,938
Constellation Brands, Inc.
7.000% due 06/05/2011		2,000		2,002
CSC Holdings, Inc.
7.070% due 02/24/2013		35,698		35,726
7.070% due 03/29/2013		2,085		2,087
DaVita, Inc.
6.820% due 10/05/2012		8,212		8,233
6.850% due 10/05/2012		13,586		13,621
6.860% due 10/05/2012		3,656		3,665
Dex Media East LLC
3.850% due 09/10/2010		261		263
Dex Media West LLC
6.820% due 09/09/2010		947		948
6.840% due 09/09/2010		4		4
6.860% due 09/09/2010		5,329		5,332
Domtar Corp.
6.735% due 03/07/2014		3,000		2,991
Ford Motor Co.
8.360% due 11/29/2013		32,917		33,091
Freeport-McMoRan Copper & Gold, Inc.
9.000% due 03/19/2014		13,833		13,857
Freescale Semiconductor, Inc.
7.110% due 11/28/2013		2,992		2,968
Fresenius Medical Care Capital Trust
6.725% due 03/22/2013		2,052		2,053
6.735% due 03/22/2013		231		231
General Motors Acceptance Corp.
7.725% due 11/17/2013		36,907		37,198
Georgia-Pacific Corp.
7.110% due 12/20/2012		47,497		47,659
HCA, Inc.
7.100% due 11/17/2012		17,876		17,928
Health Management Associates, Inc.
7.100% due 01/16/2014		5,000		5,011
Idearc, Inc.
8.000% due 11/17/2013		15,000		15,001
Kinder Morgan, Inc.
6.820% due 05/24/2014		30,000		30,013
7.000% due 11/24/2013		31,700		31,641
Las Vegas Sands Corp.
3.000% due 05/15/2014		21,500		21,481
7.110% due 05/15/2014		54,000		53,952
Metro-Goldwyn-Mayer, Inc.
8.600% due 04/08/2012		29,610		29,715
8.614% due 04/08/2012		6,982		7,007
NRG Energy, Inc.
7.070% due 11/04/2012		22,500		22,438
RH Donnelley, Inc.
6.840% due 03/09/2010		67		67
6.850% due 09/09/2010		416		415
6.850% due 06/30/2011		1,215		1,215
6.860% due 03/09/2010		1,927		1,928
6.860% due 09/09/2010		1,184		1,185
6.860% due 06/30/2011		3,785		3,788
Sensata Technologies, Inc.
7.090% due 04/27/2013		13		13
7.105% due 04/21/2013		4,987		4,986
SLM Corp.
6.000% due 06/30/2008		235,900		234,721
Yell Group PLC
7.320% due 02/10/2013		33,000		33,230
Total Bank Loan Obligations (Cost $805,301)				805,517
CORPORATE BONDS & NOTES 25.0%
Banking & Finance 19.0%
ABX Financing Co.
5.750% due 10/15/2016		10,000		9,789
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		10,000		10,952
AIG-Fp Matched Funding Corp.
5.360% due 06/16/2008		100,000		100,159
Allstate Life Global Funding Trusts
5.400% due 03/23/2009		50,000		50,080
American Express Bank FSB
5.330% due 09/26/2008		27,800		27,816
American Express Centurion Bank
5.380% due 04/17/2009		89,100		89,128
5.480% due 12/17/2009		5,000		5,016
American Express Co.
5.250% due 09/12/2011		600		594
American Express Credit Corp.
3.000% due 05/16/2008		150		147
5.370% due 12/19/2008		10,000		10,006
5.380% due 03/02/2009		2,480		2,483
5.380% due 04/06/2009		20,300		20,324
American General Corp.
7.500% due 08/11/2010		250		265
American General Finance Corp.
2.750% due 06/15/2008		500		488
4.500% due 11/15/2007		8,946		8,922
5.470% due 08/16/2007		35,715		35,721
5.479% due 01/18/2008		23,150		23,168
5.490% due 06/27/2008		49,940		50,023
American Honda Finance Corp.
5.420% due 03/09/2009		61,080		61,162
5.420% due 05/12/2009		94,600		94,665
American International Group, Inc.
5.050% due 10/01/2015		41,300		39,380
5.360% due 06/23/2008		70,500		70,530
5.370% due 06/16/2009		15,000		15,062
5.375% due 10/18/2011		1,000		997
5.395% due 01/29/2010		200,000		200,143
6.250% due 05/01/2036		100,000		101,264
Anadarko Finance Co.
6.750% due 05/01/2011		10,000		10,334
ANZ National International Ltd.
5.396% due 08/07/2009		45,000		45,000
Asian Development Bank
5.820% due 06/16/2028		1,100		1,124
ASIF Global Financing XXI
5.710% due 03/14/2008		35,000		35,036
Associates Corp. of North America
8.550% due 07/15/2009		250		265
Australia & New Zealand Banking Group Ltd.
5.420% due 02/18/2008		50,000		50,010
Bank of America Corp.
4.750% due 08/15/2013		500		477
5.200% due 03/15/2018		100		93
5.366% due 11/06/2009		123,100		123,106
5.370% due 03/24/2009		47,300		47,325
5.370% due 06/19/2009		9,300		9,313
5.370% due 09/25/2009		102,700		102,780
5.510% due 02/17/2009		11,000		11,029
5.608% due 02/11/2009		20,000		20,077
5.616% due 10/14/2016		40,000		40,214
7.800% due 02/15/2010		500		529
Bank of America N.A.
5.355% due 07/25/2008		23,900		23,914
5.360% due 12/18/2008		98,100		98,157
5.360% due 02/27/2009		229,600		229,757
5.360% due 06/12/2009		165,060		165,130
6.000% due 10/15/2036		70,100		67,888
Bank of Ireland
5.370% due 12/19/2008		50,000		50,064
Bank One Corp.
2.625% due 06/30/2008		500		487
4.125% due 09/01/2007		300		299
BankAmerica Corp.
6.625% due 10/15/2007		1,000		1,003
BBVA U.S. Senior S.A. Unipersonal
5.427% due 04/17/2009		200,000		200,468
Bear Stearns Cos., Inc.
2.875% due 07/02/2008		500		487
5.450% due 03/30/2009		241,450		241,627
5.450% due 08/21/2009		10,000		9,992
5.450% due 02/23/2010		200,000		199,423
5.486% due 02/08/2008		27,350		27,376
5.490% due 01/07/2009		10,000		10,006
5.505% due 04/29/2008		152,605		152,818
5.585% due 01/31/2011		50,000		49,818
5.630% due 09/09/2009		19,980		20,061
5.655% due 01/30/2009		201,500		202,063
7.625% due 12/07/2009		80		84
Berkshire Hathaway Finance Corp.
3.375% due 10/15/2008		100		98
BFC Finance Corp.
7.375% due 12/01/2017		1,000		1,096
BHP Billiton Finance Ltd.
5.125% due 03/29/2012		10,000		9,808
BNP Paribas
5.186% due 06/29/2049		300		280
Boeing Capital Corp.
4.750% due 09/15/2008		70		69
7.375% due 09/27/2010		135		143
C5 Capital SPV Ltd.
6.196% due 12/01/2049		15,000		14,920
C10 Capital SPV Ltd.
6.722% due 12/31/2049		39,500		38,560
Calabash Re II Ltd.
16.260% due 01/08/2010		2,650		2,758
Capital One Financial Corp.
5.700% due 09/15/2011		10,000		9,960
Caterpillar Financial Services Corp.
3.625% due 11/15/2007		500		497
5.420% due 05/18/2009		101,000		101,140
5.430% due 08/20/2007		12,138		12,140
5.430% due 03/10/2009		28,560		28,593
Charter One Bank N.A.
5.405% due 04/24/2009		100,000		100,136
CIT Group, Inc.
5.430% due 12/19/2007		82,400		82,413
5.430% due 02/21/2008		25,000		25,006
5.470% due 06/08/2009		62,375		62,184
5.480% due 08/17/2009		12,000		11,960
5.500% due 11/30/2007		180		180
5.505% due 01/30/2009		230,175		229,888
5.510% due 08/15/2008		8,400		8,402
5.510% due 12/19/2008		20,000		19,992
5.570% due 05/23/2008		159,355		159,547
5.590% due 09/20/2007		49,455		49,467
5.600% due 11/23/2007		58,936		58,960
6.000% due 02/15/2013		500		488
CitiFinancial, Inc.
6.625% due 06/01/2015		10,000		10,484
Citigroup Funding, Inc.
5.350% due 12/08/2008		173,000		173,100
Citigroup Global Markets Holdings, Inc.
5.476% due 08/03/2009		39,980		40,075
Citigroup, Inc.
4.200% due 12/20/2007		110,800		110,211
5.100% due 09/29/2011		3,000		2,957
5.390% due 12/28/2009		143,230		143,345
5.395% due 01/30/2009		186,000		186,118
5.400% due 12/26/2008		49,830		49,872
5.405% due 05/02/2008		157,585		157,739
5.450% due 05/18/2011		100,000		100,166
5.500% due 06/09/2009		102,559		102,835
5.510% due 05/18/2010		182,550		183,231
6.125% due 08/25/2036		10,000		9,852
CNA Financial Corp.
5.850% due 12/15/2014		20,500		20,120
6.000% due 08/15/2011		25,000		25,104
6.600% due 12/15/2008		200		203
Commonwealth Bank of Australia
5.360% due 06/08/2009		96,300		96,386
Countrywide Financial Corp.
6.250% due 05/15/2016		25,000		24,594
Countrywide Home Loans, Inc.
4.250% due 12/19/2007		205		204
Credit Suisse First Boston
5.500% due 08/16/2011		400		400
Credit Suisse USA, Inc.
5.490% due 12/09/2008		26,380		26,452
DBS Bank Ltd.
5.580% due 05/16/2017		22,000		22,043
Den Norske Bank ASA
5.460% due 03/10/2008		20,000		20,006
East Lane Re Ltd.
11.355% due 05/06/2011		33,600		33,489
El Paso Performance-Linked Trust
7.750% due 07/15/2011		7,250		7,504
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (a)		3,200		2,736
Export-Import Bank of China
4.875% due 07/21/2015		28,200		26,767
Export-Import Bank of Korea
5.570% due 10/04/2011		88,600		88,699
FNBC 1993-A Pass-Through Trust
8.080% due 01/05/2018		221		246
Ford Credit de Mexico S.A. de C.V.
7.060% due 03/20/2009		187,000		187,844
Ford Motor Credit Co.
4.950% due 01/15/2008		3,000		2,978
5.625% due 10/01/2008		40,466		39,955
5.800% due 01/12/2009		128,099		125,435
6.190% due 09/28/2007		28,830		28,830
6.625% due 06/16/2008		83,430		83,393
6.750% due 08/15/2008		11,475		11,415
6.926% due 01/15/2010		20,300		20,044
7.250% due 10/25/2011		9,400		9,055
7.800% due 06/01/2012		1,100		1,074
7.875% due 06/15/2010		62,528		62,556
Foundation Re II Ltd.
12.110% due 11/26/2010		40,850		41,020
GATX Financial Corp.
6.273% due 06/15/2011		10,355		10,541
General Electric Capital Corp.
3.250% due 06/15/2009		10,000		9,629
4.000% due 05/15/2010		100		95
4.250% due 06/15/2012		1,596		1,510
5.380% due 05/19/2008		6,000		6,006
5.390% due 08/22/2008		37,500		37,532
5.390% due 01/05/2009		197,550		197,715
5.390% due 03/12/2010		8,500		8,509
5.400% due 03/04/2008		32,965		32,995
5.400% due 12/12/2008		44,000		44,056
5.400% due 03/16/2009		124,100		124,168
5.410% due 05/19/2008		176,796		176,990
5.410% due 10/06/2010		30,000		30,024
5.417% due 05/10/2010		129,600		129,812
5.428% due 01/20/2010		197,600		198,009
5.435% due 01/15/2008		4,700		4,704
5.445% due 04/28/2011		49,970		50,055
5.455% due 07/28/2008		4,005		4,011
5.455% due 04/30/2009		10,479		10,492
5.455% due 10/21/2010		150,450		150,744
5.460% due 06/15/2009		144,965		145,356
5.480% due 12/15/2009		267,290		268,024
5.500% due 06/22/2009		29,760		29,846
5.500% due 04/28/2011		6,000		6,004
5.505% due 02/02/2009		102,768		103,005
5.560% due 01/08/2016		82,800		82,871
5.736% due 05/05/2026		29,950		30,070
6.000% due 06/15/2012		675		688
6.125% due 02/22/2011		1,100		1,122
8.125% due 05/15/2012		250		277
8.310% due 04/13/2009		41,300		43,351
General Motors Acceptance Corp.
5.625% due 05/15/2009		32,709		31,995
6.000% due 04/01/2011		15,000		14,469
6.306% due 07/16/2007		17,518		17,519
6.510% due 09/23/2008		42,000		42,013
7.200% due 10/15/2017		125		119
7.430% due 12/01/2021		741		745
Genworth Global Funding Trusts
5.420% due 02/10/2009		50,000		50,062
Glitnir Banki HF
5.618% due 04/20/2010		50,000		49,955
5.795% due 01/21/2011		10,000		10,065
5.829% due 01/18/2012		20,000		20,126
GMAC LLC
6.000% due 12/15/2011		32,600		31,022
6.500% due 12/15/2018		200		177
6.610% due 05/15/2009		123,000		123,059
6.700% due 06/15/2018		100		90
6.850% due 04/15/2016		200		184
7.000% due 02/15/2018		100		93
7.250% due 09/15/2017		200		189
7.375% due 04/15/2018		100		94
Goldman Sachs Group LP
6.057% due 02/09/2009		10,000		10,094
Goldman Sachs Group, Inc.
3.875% due 01/15/2009		420		412
4.750% due 07/15/2013		500		474
5.000% due 01/15/2011		10,000		9,823
5.250% due 10/15/2013		665		645
5.400% due 12/23/2008		102,900		102,937
5.410% due 03/30/2009		4,700		4,703
5.410% due 06/23/2009		36,000		36,038
5.440% due 11/16/2009		32,480		32,518
5.440% due 12/23/2009		50,000		50,018
5.447% due 11/10/2008		41,000		41,063
5.450% due 12/22/2008		209,375		209,656
5.450% due 06/23/2009		100,000		100,122
5.455% due 07/29/2008		244,670		245,031
5.475% due 10/05/2007		180,100		180,182
5.560% due 03/02/2010		68,584		68,855
5.660% due 06/28/2010		26,200		26,368
5.685% due 07/23/2009		15,570		15,657
5.700% due 09/01/2012		2,225		2,226
5.810% due 03/22/2016		10,000		10,043
6.000% due 12/31/2007 (n)		1,383		1,365
6.125% due 02/15/2033		20,000		19,137
6.875% due 01/15/2011		100		104
7.350% due 10/01/2009		150		156
HBOS Capital Funding LP
6.071% due 06/30/2049		10,000		9,967
HBOS PLC
5.920% due 09/29/2049		37,900		35,602
HBOS Treasury Services PLC
5.320% due 07/17/2008		25,100		25,120
5.397% due 07/17/2009		102,500		102,619
Health Care Property Investors, Inc.
5.950% due 09/15/2011		12,350		12,379
6.300% due 09/15/2016		13,000		13,013
HSBC Bank USA N.A.
5.430% due 09/21/2007		1,500		1,500
5.490% due 12/14/2009		9,700		9,730
HSBC Capital Funding LP
9.547% due 12/31/2049		43,400		47,956
10.176% due 12/29/2049		46,160		64,786
10.176% due 12/31/2049		20,000		28,047
HSBC Finance Capital Trust IX
5.911% due 11/30/2035		2,300		2,230
HSBC Finance Corp.
4.250% due 06/15/2008		250		246
4.900% due 11/15/2007		300		299
5.360% due 05/21/2008		96,900		96,967
5.387% due 08/10/2007		43,000		43,006
5.415% due 10/21/2009		71,800		71,845
5.450% due 06/19/2009		158,250		158,476
5.490% due 09/15/2008		174,850		175,217
5.497% due 05/09/2008		9,350		9,366
5.500% due 12/05/2008		73,500		73,691
5.505% due 07/27/2007		10,000		10,001
5.606% due 01/15/2014		15,000		14,962
5.607% due 05/10/2010		11,305		11,359
5.640% due 11/16/2009		60,479		60,817
5.790% due 06/01/2016		10,000		10,062
6.538% due 11/13/2007		7,500		7,529
HSBC Holdings PLC
6.500% due 05/02/2036		191,500		197,448
7.500% due 07/15/2009		33,000		34,331
Infrastructure Finance Corp. Ltd. AID Bonds
5.378% due 03/26/2009		2,000		2,043
International Lease Finance Corp.
5.250% due 01/10/2013		15,000		14,680
5.300% due 04/15/2008		200		199
5.350% due 03/01/2012		20,000		19,765
5.400% due 02/15/2012		20,000		19,806
5.580% due 05/24/2010		43,180		43,308
5.679% due 07/11/2011		50,000		50,311
5.698% due 04/20/2009		6,500		6,534
5.756% due 01/15/2010		34,630		34,915
Intesa Bank Overseas Ltd.
6.199% due 01/02/2008		2,800		2,810
iStar Financial, Inc.
5.150% due 03/01/2012		10,000		9,633
5.950% due 10/15/2013		10,000		9,864
Jenkins-Empire Associates
6.840% due 08/01/2008		478		477
John Deere Capital Corp.
4.500% due 08/22/2007		1,000		999
4.500% due 08/25/2008		5,100		5,045
5.400% due 09/01/2009		25,000		25,023
5.406% due 04/15/2008		114,360		114,442
5.406% due 07/15/2008		1,000		1,001
5.650% due 07/25/2011		9,000		9,055
JPMorgan & Co., Inc. CPI Linked Bond
2.991% due 02/15/2012		600		621
JPMorgan Chase & Co.
4.500% due 01/15/2012		1,000		959
4.875% due 03/15/2014		500		476
5.250% due 05/01/2015		700		675
5.410% due 12/22/2008		15,200		15,216
5.425% due 01/25/2008		20,248		20,264
5.440% due 06/25/2010		1,300		1,302
5.539% due 10/02/2009		52,700		52,932
5.540% due 03/09/2009		10,000		10,034
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		37,600		36,326
Kaupthing Bank HF
5.750% due 10/04/2011		30,000		29,924
Landsbanki Islands HF
6.060% due 08/25/2009		18,000		18,196
6.100% due 08/25/2011		10,000		10,136
Lehman Brothers Holdings, Inc.
4.000% due 04/16/2019		90		87
5.370% due 11/24/2008		8,000		8,003
5.390% due 05/29/2008		59,600		59,636
5.410% due 12/23/2008		478,200		478,710
5.440% due 04/03/2009		166,080		166,309
5.445% due 10/22/2008		28,100		28,141
5.445% due 01/23/2009		108,600		108,721
5.460% due 08/21/2009		101,000		101,059
5.460% due 11/16/2009		25,870		25,895
5.500% due 05/25/2010		48,400		48,396
Longpoint Re Ltd.
10.609% due 05/08/2010		87,500		87,504
MBNA Capital B
6.156% due 02/01/2027		7,000		6,996
MBNA Corp.
5.786% due 05/05/2008		10,000		10,040
MBNA Europe Funding PLC
5.460% due 09/07/2007		11,500		11,504
Merrill Lynch & Co., Inc.
4.250% due 02/08/2010		2,000		1,946
5.390% due 12/22/2008		99,900		99,922
5.410% due 06/26/2009		5,000		5,005
5.430% due 06/16/2008		75,000		75,095
5.445% due 10/27/2008		82,000		82,107
5.445% due 01/30/2009		50,000		50,063
5.450% due 08/22/2008		102,575		102,686
5.450% due 08/14/2009		16,450		16,468
5.460% due 06/16/2008		86,655		86,756
5.480% due 07/27/2007		66,923		66,930
5.606% due 02/06/2009		78,400		78,676
5.830% due 06/30/2008		6,300		6,365
MetLife, Inc.
6.400% due 12/15/2036		69,800		64,864
Metropolitan Life Global Funding I
5.125% due 11/09/2011		4,325		4,259
Mirage Resorts, Inc.
6.750% due 02/01/2008		41,000		41,256
Morgan Stanley
3.625% due 04/01/2008		500		493
4.250% due 05/15/2010		2,500		2,422
4.750% due 04/01/2014		160		150
5.375% due 10/15/2015		500		480
5.385% due 04/25/2008		49,970		49,992
5.446% due 01/15/2010		49,700		49,730
5.467% due 02/09/2009		119,785		119,984
5.480% due 07/27/2007		38,370		38,372
5.482% due 11/09/2007		49,400		49,431
5.484% due 01/18/2008		308,647		308,898
5.595% due 01/22/2009		302,300		302,517
5.609% due 01/18/2011		600		601
5.625% due 01/09/2012		1,000		999
5.760% due 05/14/2008		85,800		85,984
5.809% due 10/18/2016		60,000		60,041
5.836% due 10/15/2015		10,000		10,026
6.750% due 04/15/2011		200		208
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		32,800		32,283
Mystic Re Ltd.
11.660% due 12/05/2008		4,250		4,225
14.360% due 12/05/2008		32,100		31,781
15.360% due 06/07/2011		16,000		16,038
Natexis AMBS Co. LLC
8.440% due 12/29/2049		14,000		14,372
National Westminster Bank PLC
7.750% due 04/29/2049		10,353		10,408
Nationwide Health Properties, Inc.
6.500% due 07/15/2011		13,000		13,222
Nordea Bank Sweden AB
8.950% due 11/29/2049		28,000		29,878
ORIX Corp.
5.480% due 11/22/2011		20,000		19,735
Osiris Capital PLC
8.206% due 01/15/2010		12,600		12,662
Petroleum Export Ltd.
5.265% due 06/15/2011		27,535		26,875
Phoenix Quake Ltd.
7.800% due 07/03/2008		36,600		36,818
Phoenix Quake Wind I Ltd.
7.800% due 07/03/2008		36,600		36,731
Phoenix Quake Wind II Ltd.
8.850% due 07/03/2008		13,700		13,011
PMI Group, Inc.
6.000% due 09/15/2016		24,200		23,854
Popular North America, Inc.
5.750% due 04/06/2009		25,000		25,131
Premium Asset Trust
5.735% due 09/08/2007		34,900		34,924
Pricoa Global Funding I
5.440% due 09/12/2008		30,000		30,039
Prudential Financial, Inc.
5.510% due 06/13/2008		11,030		11,046
Rabobank Capital Funding II
5.260% due 12/31/2049		5,120		4,917
Rabobank Capital Funding Trust
5.254% due 12/29/2049		120		113
Rabobank Nederland
5.350% due 04/06/2009		7,650		7,657
5.376% due 01/15/2009		81,200		81,255
Racers, Series 1997
5.660% due 08/15/2007		4,500		4,500
Redwood Capital IX Ltd.
11.610% due 01/09/2008		23,000		23,205
12.110% due 01/09/2008		21,000		21,185
13.110% due 01/09/2008		5,000		5,051
Residential Reinsurance 2007 Ltd.
11.360% due 06/07/2010		12,500		12,519
12.610% due 06/07/2010		12,500		12,520
13.110% due 06/07/2010		12,500		12,517
15.610% due 06/07/2010		2,100		2,102
Resona Bank Ltd.
5.850% due 09/29/2049		37,800		36,202
Royal Bank of Scotland Group PLC
5.360% due 12/21/2007		48,700		48,730
5.360% due 04/11/2008		200,000		200,190
5.405% due 07/21/2008		38,000		38,035
7.648% due 08/31/2049		10,195		11,399
9.118% due 03/31/2049		74,200		80,716
Santander U.S. Debt S.A. Unipersonal
5.370% due 09/21/2007		1,200		1,200
5.370% due 11/20/2008		80,300		80,338
5.415% due 10/21/2008		43,100		43,144
5.416% due 02/06/2009		92,600		92,701
5.420% due 09/19/2008		107,680		107,790
5.420% due 11/20/2009		160,000		160,114
Simon Property Group LP
4.600% due 06/15/2010		8,000		7,795
5.600% due 09/01/2011		5,000		5,002
SLM Corp.
5.435% due 01/25/2008		70,798		70,472
5.495% due 07/27/2009		173,590		169,335
5.555% due 01/26/2009		115,250		113,516
5.560% due 03/15/2011		60,000		56,301
5.565% due 07/25/2008		130,665		129,793
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		92,700		89,642
Spinnaker Capital Ltd.
16.860% due 06/15/2008		22,200		22,188
State Street Capital Trust IV
6.355% due 06/15/2037		30,700		30,926
Textron Financial Corp.
5.446% due 11/07/2008		16,500		16,521
TNK-BP Finance S.A.
6.125% due 03/20/2012		39,300		38,494
Toll Brothers Finance Corp.
5.950% due 09/15/2013		10,000		9,748
Toyota Motor Credit Corp.
4.250% due 03/15/2010		500		488
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		25,000		25,104
Travelers Property Casualty Corp.
5.000% due 03/15/2013		70		67
6.375% due 03/15/2033		33		33
TXU Eastern Funding Co.
6.450% due 05/15/2005 (a)		15,270		859
U.S. Bancorp
5.350% due 04/28/2009		50,000		50,040
UBS Preferred Funding Trust I
8.622% due 10/29/2049		58,900		64,016
UBS Preferred Funding Trust II
7.247% due 06/29/2049		8,000		8,451
UBS Preferred Funding Trust V
6.243% due 05/12/2049		20,000		20,113
UFJ Finance Aruba AEC
6.750% due 07/15/2013		4,700		4,969
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		98,900		98,959
USB Capital IX
6.189% due 04/15/2049		30,400		30,650
USB Realty Corp.
6.091% due 12/22/2049		38,000		37,313
Ventas Realty LP
8.750% due 05/01/2009		30,150		31,695
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		600		601
Wachovia Bank N.A.
5.350% due 06/27/2008		100,000		100,033
5.360% due 02/23/2009		250,000		250,134
5.400% due 03/23/2009		155,150		155,247
5.420% due 05/25/2010		21,100		21,155
5.430% due 12/02/2010		125,000		125,083
Wachovia Corp.
5.405% due 10/28/2008		81,945		82,052
5.410% due 12/01/2009		165,620		165,806
5.480% due 03/15/2011		36,600		36,681
5.510% due 06/01/2010		17,600		17,661
5.625% due 10/15/2016		71,600		69,862
Wells Fargo & Co.
5.370% due 03/10/2008		35,000		35,030
5.400% due 03/10/2008		37,646		37,675
5.420% due 03/23/2010		100,150		100,303
5.455% due 01/12/2011		10,000		10,019
5.460% due 09/15/2009		375,299		376,288
Wells Fargo Bank N.A.
4.750% due 02/09/2015		30,000		28,176
Wells Fargo Capital X
5.950% due 12/15/2036		10,000		9,359
Westpac Banking Corp.
5.280% due 06/06/2008		123,900		123,919
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		4,000		4,060
Wilmington Trust Corp.
10.500% due 07/01/2008 (n)		173		172
World Savings Bank FSB
5.400% due 09/14/2009		45,985		46,015
XL Capital Europe PLC
6.500% due 01/15/2012		10,000		10,279
Xstrata Finance Canada Ltd.
5.500% due 11/16/2011		11,250		11,140
				19,440,596
Industrials 4.7%
Albertson’s, Inc.
6.950% due 08/01/2009		7,000		7,177
America West Airlines, Inc.
6.870% due 01/02/2017		1,430		1,462
American Airlines, Inc.
6.978% due 10/01/2012		16,344		16,538
AmerisourceBergen Corp.
5.625% due 09/15/2012		10,000		9,849
Amgen, Inc.
5.440% due 11/28/2008		406,690		406,930
AutoZone, Inc.
4.750% due 11/15/2010		200		195
5.500% due 11/15/2015		10,050		9,643
Avon Products, Inc.
5.125% due 01/15/2011		10,000		9,885
Boston Scientific Corp.
6.000% due 06/15/2011		10,000		9,964
6.400% due 06/15/2016		10,000		9,731
BP Canada Finance Co.
3.625% due 01/15/2009		500		488
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		20,212		20,313
Caesars Entertainment, Inc.
7.500% due 09/01/2009		200		205
8.875% due 09/15/2008		35,719		36,791
Canadian Natural Resources Ltd.
6.250% due 03/15/2038		20,000		18,986
6.500% due 02/15/2037		25,000		24,617
Cardinal Health, Inc.
5.800% due 10/15/2016		13,000		12,614
CBS Corp.
5.625% due 08/15/2012		15,000		14,764
Chesapeake Energy Corp.
6.875% due 01/15/2016		5,000		4,912
Cisco Systems, Inc.
5.440% due 02/20/2009		73,800		73,955
Citic Resources Finance Ltd.
6.750% due 05/15/2014		14,000		13,545
Clorox Co.
5.485% due 12/14/2007		26,000		26,016
Coca-Cola Bottling Co. Consolidated
6.850% due 11/01/2007		500		501
CODELCO, Inc.
6.150% due 10/24/2036		23,100		22,979
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		300		335
Comcast Cable Communications, Inc.
7.125% due 06/15/2013		400		424
Comcast Corp.
5.300% due 01/15/2014		26,500		25,579
5.656% due 07/14/2009		7,500		7,504
5.850% due 01/15/2010		420		423
5.850% due 11/15/2015		325		320
5.875% due 02/15/2018		33,700		32,702
5.900% due 03/15/2016		15,000		14,759
6.450% due 03/15/2037		32,000		30,939
7.050% due 03/15/2033		125		129
ConocoPhillips Australia Funding Co.
5.460% due 04/09/2009		217,100		217,249
Constellation Brands, Inc.
8.000% due 02/15/2008		9,199		9,291
Continental Airlines, Inc.
6.503% due 06/15/2011		9,220		9,260
6.820% due 05/01/2018		5,146		5,227
7.056% due 09/15/2009		40,459		40,990
7.487% due 10/02/2010		1,215		1,254
7.707% due 10/02/2022		2,916		3,114
Cox Communications, Inc.
5.910% due 12/14/2007		118,475		118,737
6.450% due 12/01/2036		15,000		14,473
CSC Holdings, Inc.
6.750% due 04/15/2012		12,000		11,460
7.250% due 07/15/2008		34,125		34,466
7.875% due 12/15/2007		21,248		21,434
CSX Corp.
6.750% due 03/15/2011		10,000		10,344
CVS Caremark Corp.
5.660% due 06/01/2010		116,200		116,316
5.750% due 08/15/2011		16,000		16,013
DaimlerChrysler N.A. Holding Corp.
4.750% due 01/15/2008		9,720		9,688
4.875% due 06/15/2010		10,000		9,816
5.750% due 09/08/2011		25,000		25,057
5.790% due 03/13/2009		110,450		110,961
5.805% due 08/03/2009		10,000		10,057
5.840% due 09/10/2007		103,280		103,367
5.875% due 03/15/2011		20,000		20,119
5.886% due 10/31/2008		10,928		10,992
Dell, Inc.
6.550% due 04/15/2008		80		81
Dex Media East LLC
9.875% due 11/15/2009		1,100		1,143
E.I. Du Pont De Nemours & Co.
4.125% due 04/30/2010		200		193
5.250% due 12/15/2016		10,000		9,510
EchoStar DBS Corp.
5.750% due 10/01/2008		185,684		185,684
El Paso Corp.
6.375% due 02/01/2009		30,230		30,452
6.500% due 06/01/2008		58,832		59,390
6.750% due 05/15/2009		34,820		35,298
6.950% due 12/15/2007		30,600		30,921
7.000% due 05/15/2011		12,000		12,295
7.000% due 06/15/2017		25,000		24,851
7.420% due 02/15/2037		4,500		4,359
7.625% due 08/16/2007		16,250		16,369
7.625% due 09/01/2008		38,486		39,320
7.750% due 06/15/2010		16,500		17,200
7.750% due 01/15/2032		108,200		109,532
7.800% due 08/01/2031		15,900		16,181
7.875% due 06/15/2012		28,600		30,038
8.050% due 10/15/2030		9,000		9,500
9.625% due 05/15/2012		12,700		14,206
10.750% due 10/01/2010		24,700		27,819
El Paso Natural Gas Co.
8.375% due 06/15/2032		20,520		24,164
EnCana Corp.
6.300% due 11/01/2011		10,000		10,245
Enterprise Products Operating LP
4.000% due 10/15/2007		200		199
4.950% due 06/01/2010		50		49
7.500% due 02/01/2011		10,000		10,550
Equistar Chemicals LP
8.750% due 02/15/2009		8,300		8,632
10.125% due 09/01/2008		1,866		1,950
Freeport-McMoRan Copper & Gold, Inc.
8.564% due 04/01/2015		20,900		21,945
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		5,000		5,200
Gannett Co., Inc.
5.750% due 06/01/2011		10,000		10,000
Gaz Capital for Gazprom
6.212% due 11/22/2016		37,600		36,716
General Electric Co.
5.400% due 12/09/2008		117,775		117,908
General Mills, Inc.
6.000% due 02/15/2012		10,000		10,117
General Motors Corp.
6.375% due 05/01/2008		5,675		5,654
Harrah’s Operating Co., Inc.
5.956% due 02/08/2008		1,400		1,403
Hess Corp.
6.650% due 08/15/2011		200		207
Hilton Hotels Corp.
7.625% due 05/15/2008		6,304		6,422
Historic TW, Inc.
8.180% due 08/15/2007		180		181
HJ Heinz Co.
6.428% due 12/01/2008		39,300		39,705
HJ Heinz Finance Co.
6.000% due 03/15/2012		23,000		23,105
Home Depot, Inc.
4.625% due 08/15/2010		215		209
Honeywell International, Inc.
5.420% due 03/13/2009		48,600		48,680
International Business Machines Corp.
5.375% due 02/01/2009		100		100
International Paper Co.
4.000% due 04/01/2010		10,000		9,605
JC Penney Corp., Inc.
8.000% due 03/01/2010		16,100		17,010
Johnson Controls, Inc.
5.500% due 01/15/2016		20,000		19,398
Kellogg Co.
6.600% due 04/01/2011		10,000		10,347
Kerr-McGee Corp.
6.875% due 09/15/2011		10,000		10,403
Kraft Foods, Inc.
4.125% due 11/12/2009		100		97
5.625% due 11/01/2011		20,000		19,862
6.250% due 06/01/2012		10,000		10,174
Kroger Co.
5.500% due 02/01/2013		5,000		4,875
Lennar Corp.
5.950% due 10/17/2011		9,000		8,881
Loews Corp.
5.250% due 03/15/2016		30,000		28,794
Mandalay Resort Group
6.500% due 07/31/2009		34,619		34,792
9.500% due 08/01/2008		27,350		28,307
10.250% due 08/01/2007		24,354		24,445
Marriott International, Inc.
4.625% due 06/15/2012		15,000		14,222
Masco Corp.
5.875% due 07/15/2012		5,000		4,964
7.125% due 08/15/2013		10,000		10,452
Mattel, Inc.
6.125% due 06/15/2011		10,000		10,065
May Department Stores Co.
4.800% due 07/15/2009		15,000		14,721
Maytag Corp.
5.000% due 05/15/2015		10,000		9,233
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (n)		490		487
Mazda Motor Corp.
10.500% due 07/01/2008 (n)		54		53
MDC Holdings, Inc.
7.000% due 12/01/2012		10,000		10,226
Miller Brewing Co.
5.500% due 08/15/2013		15,000		14,768
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		24,000		23,042
Norfolk Southern Corp.
6.750% due 02/15/2011		150		156
Northrop Grumman Space & Mission Systems Corp.
6.250% due 01/15/2010		5,000		5,027
Northwest Pipeline Corp.
6.625% due 12/01/2007		5,000		5,037
Omnicom Group, Inc.
5.900% due 04/15/2016		9,600		9,499
ONEOK Partners LP
6.150% due 10/01/2016		10,000		9,992
Packaging Corp. of America
5.750% due 08/01/2013		10,000		9,696
Parker Hannifin Employee Stock Ownership Trust
6.340% due 07/15/2008		167		168
PC Financial Partnership
5.000% due 11/15/2014		10,000		9,453
Peabody Energy Corp.
7.375% due 11/01/2016		59,500		60,988
7.875% due 11/01/2026		30,000		31,200
Pemex Project Funding Master Trust
5.750% due 12/15/2015		27,490		27,002
6.625% due 06/15/2035		46,000		46,748
7.375% due 12/15/2014		22,380		24,435
7.875% due 02/01/2009		3,770		3,898
8.000% due 11/15/2011		100,650		109,457
8.625% due 02/01/2022		38,977		48,130
8.850% due 09/15/2007		1,800		1,814
9.125% due 10/13/2010		85		94
9.250% due 03/30/2018		2,000		2,495
9.375% due 12/02/2008		51,650		54,439
9.500% due 09/15/2027		31,000		41,710
Plains All American Pipeline LP
5.625% due 12/15/2013		10,000		9,821
Qwest Communications International, Inc.
7.500% due 11/01/2008		16,227		16,389
RadioShack Corp.
7.375% due 05/15/2011		10,000		10,347
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		5,000		4,773
Reynolds American, Inc.
6.060% due 06/15/2011		45,900		46,109
7.625% due 06/01/2016		5,000		5,319
Royal Caribbean Cruises Ltd.
6.750% due 03/15/2008		3,250		3,286
7.000% due 10/15/2007		3,490		3,518
Ryder System, Inc.
5.950% due 05/02/2011		5,000		5,017
Ryland Group, Inc.
5.375% due 06/01/2008		2,500		2,495
SABMiller PLC
5.649% due 07/01/2009		25,000		25,058
Safeway, Inc.
5.710% due 03/27/2009		13,000		13,012
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		157,170		173,469
Sealed Air Corp.
6.950% due 05/15/2009		10,000		10,245
Service Corp. International
6.500% due 03/15/2008		8,000		8,018
Siemens Financieringsmaatschappij NV
5.410% due 08/14/2009		96,200		96,219
Sonat, Inc.
6.750% due 10/01/2007		4,800		4,836
7.625% due 07/15/2011		23,220		24,237
Southern Natural Gas Co.
6.700% due 10/01/2007		5,144		5,184
Systems 2001 Asset Trust LLC
7.156% due 12/15/2011		18,545		19,058
Target Corp.
5.400% due 10/01/2008		200		200
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028		14,800		15,315
Time Warner, Inc.
5.590% due 11/13/2009		102,478		102,633
5.875% due 11/15/2016		12,000		11,692
6.500% due 11/15/2036		20,000		19,050
6.875% due 05/01/2012		350		366
7.625% due 04/15/2031		120		129
Transcontinental Gas Pipe Line Corp.
6.250% due 01/15/2008		9,000		9,056
Transocean, Inc.
5.560% due 09/05/2008		15,680		15,695
6.625% due 04/15/2011		5,330		5,481
Tyson Foods, Inc.
6.850% due 04/01/2016		19,200		19,809
United Airlines, Inc.
6.071% due 03/01/2013		3,227		3,245
6.201% due 03/01/2010		6,970		7,044
6.602% due 03/01/2015		4,428		4,464
8.030% due 01/01/2013 (a)		465		519
9.060% due 06/17/2015 (a)		3,603		244
9.200% due 03/22/2008 (a)		2,948		1,518
9.210% due 01/21/2017 (a)		9,043		879
10.020% due 03/22/2014 (a)		10,321		5,534
10.125% due 03/22/2015 (a)		12,912		6,666
10.360% due 11/13/2012 (a)		3,833		183
10.850% due 07/05/2014 (a)		34,111		556
10.850% due 02/19/2015 (a)		2,811		1,472
11.080% due 05/27/2024 (n)		8,225		1
United Parcel Service, Inc.
4.250% due 11/15/2012		600		558
United Technologies Corp.
5.430% due 06/01/2009		107,000		107,103
United Telecom, Inc.
6.890% due 07/01/2008 (n)		700		698
Vale Overseas Ltd.
6.250% due 01/23/2017		39,800		39,673
6.875% due 11/21/2036		39,800		40,106
Viacom, Inc.
5.750% due 04/30/2011		15,200		15,191
Wal-Mart Stores, Inc.
5.250% due 09/01/2035		1,600		1,403
Walt Disney Co.
5.460% due 09/10/2009		43,990		44,075
Waste Management, Inc.
7.375% due 08/01/2010		100		105
WellPoint, Inc.
5.000% due 01/15/2011		11,000		10,764
6.375% due 01/15/2012		10,360		10,621
Whirlpool Corp.
6.125% due 06/15/2011		12,000		12,113
Williams Cos., Inc.
6.375% due 10/01/2010		14,200		14,306
Wyeth
5.500% due 03/15/2013		10,000		9,907
Xerox Corp.
6.110% due 12/18/2009		1,200		1,216
9.750% due 01/15/2009		27,850		29,471
Yum! Brands, Inc.
7.650% due 05/15/2008		3,000		3,048
				4,751,722
Utilities 1.3%
Alabama Power Co.
5.550% due 08/25/2009		17,000		17,061
American Electric Power Co., Inc.
4.709% due 08/16/2007		4,100		4,096
AT&T, Inc.
4.125% due 09/15/2009		250		243
5.450% due 05/15/2008		71,100		71,167
5.456% due 02/05/2010		108,470		108,661
5.570% due 11/14/2008		16,400		16,454
BellSouth Corp.
4.200% due 09/15/2009		5,000		4,872
4.240% due 04/26/2008		159,800		158,400
5.200% due 09/15/2014		26,000		24,987
5.460% due 08/15/2008		98,850		98,952
5.485% due 11/15/2007		24,598		24,612
British Telecommunications PLC
8.625% due 12/15/2010		200		219
9.125% due 12/15/2030		250		328
CenterPoint Energy, Inc.
5.875% due 06/01/2008		10,000		10,015
Cingular Wireless LLC
6.500% due 12/15/2011		80		83
CMS Energy Corp.
7.500% due 01/15/2009		27,800		28,647
9.875% due 10/15/2007		16,000		16,229
Consolidated Edison, Inc.
3.625% due 08/01/2008		50		49
Deutsche Telekom International Finance BV
3.875% due 07/22/2008		29,459		28,976
5.540% due 03/23/2009		14,000		14,038
Dominion Resources, Inc.
5.200% due 01/15/2016		15,300		14,521
5.660% due 09/28/2007		600		600
5.700% due 09/17/2012		100		100
DPL, Inc.
8.000% due 03/31/2009		28,000		29,121
Entergy Gulf States, Inc.
5.700% due 06/01/2015		50		48
5.760% due 12/01/2009		15,000		15,001
6.110% due 12/08/2008		24,140		24,213
Exelon Corp.
4.900% due 06/15/2015		10,000		9,217
6.750% due 05/01/2011		200		206
FirstEnergy Corp.
6.450% due 11/15/2011		10,000		10,264
Florida Power Corp.
5.760% due 11/14/2008		7,900		7,914
France Telecom S.A.
7.750% due 03/01/2011		870		930
Georgia Power Co.
5.540% due 02/17/2009		14,550		14,590
GTE Northwest, Inc.
5.550% due 10/15/2008		250		250
IPALCO Enterprises, Inc.
8.625% due 11/14/2011		50,858		54,672
KT Corp.
4.875% due 07/15/2015		100		93
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		43,600		42,261
New Cingular Wireless Services, Inc.
8.125% due 05/01/2012		250		275
Niagara Mohawk Power Corp.
7.750% due 10/01/2008		125		128
NiSource Finance Corp.
5.930% due 11/23/2009		25,300		25,353
6.150% due 03/01/2013		12,000		12,108
Ohio Edison Co.
5.450% due 05/01/2015		350		338
PPL Energy Supply LLC
5.700% due 10/15/2015		5,000		4,836
6.400% due 11/01/2011		15,000		15,250
Progress Energy, Inc.
5.806% due 01/15/2010		400		401
7.100% due 03/01/2011		23		24
PSEG Power LLC
5.000% due 04/01/2014		400		379
5.500% due 12/01/2015		8,000		7,708
6.950% due 06/01/2012		172		180
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		37,494		37,682
7.250% due 02/15/2011		15,500		15,500
Qwest Corp.
5.625% due 11/15/2008		59,710		59,785
7.200% due 11/10/2026		2,150		2,123
7.500% due 10/01/2014		21,500		22,145
7.500% due 06/15/2023		6,850		6,884
7.625% due 06/15/2015		2,000		2,075
8.610% due 06/15/2013		2,800		3,052
8.875% due 03/15/2012		26,725		28,930
Ras Laffan Liquefied Natural Gas Co. Ltd. I
3.437% due 09/15/2009		30		30
Ras Laffan Liquefied Natural Gas Co. Ltd. II
5.298% due 09/30/2020		57,850		54,177
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		40,650		37,821
Scana Corp.
5.510% due 03/01/2008		24,621		24,658
SEMCO Energy, Inc.
7.125% due 05/15/2008		21,865		22,061
Southern California Edison Co.
5.435% due 12/13/2007		38,080		38,092
Sprint Capital Corp.
8.375% due 03/15/2012		10,750		11,722
TXU Corp.
4.800% due 11/15/2009		15,000		14,669
TXU Energy Co. LLC
5.860% due 09/16/2008		15,500		15,510
United Telephone Co. of the Northwest
6.890% due 07/01/2008 (n)		2,760		2,751
Verizon Global Funding Corp.
7.250% due 12/01/2010		200		211
7.375% due 09/01/2012		200		216
7.750% due 12/01/2030		325		365
Verizon New England, Inc.
6.500% due 09/15/2011		300		308
Verizon North, Inc.
5.604% due 01/01/2022		3,000		2,763
5.634% due 01/01/2021		3,000		2,751
Verizon Virginia, Inc.
4.625% due 03/15/2013		500		469
Vodafone Group PLC
5.640% due 02/27/2012		40,000		40,100
				1,365,920
Total Corporate Bonds & Notes (Cost $25,539,129)				25,558,238
MUNICIPAL BONDS & NOTES 0.3%
Alabama State General Obligation Bonds, Series 2002
5.120% due 09/01/2021		13,228		13,426
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (AMBAC Insured), Series 2005
6.990% due 05/15/2035		1,955		2,108
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2017		1,000		1,072
6.375% due 06/01/2032		7,300		7,953
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Notes, Series 2002
5.750% due 06/01/2011		8,515		8,954
Bastrop, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
5.000% due 02/15/2037		4,075		4,375
California State Department of Water Resources Revenue Bonds, Series 2000
6.020% due 12/01/2029		2,500		2,573
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.750% due 06/01/2029		3,000		3,144
6.125% due 06/01/2038		2,000		2,136
6.125% due 06/01/2043		2,000		2,130
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1999
0.000% due 12/01/2028		21,000		7,545
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
6.224% due 01/01/2014		8,310		8,431
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
6.224% due 01/01/2014		7,810		7,810
Clark County, Nevada General Obligation Notes, (FGIC Insured), Series 2006
6.203% due 11/01/2013		2,830		2,854
Cook County, Illinois General Obligation Notes, (AMBAC Insured), Series 2006
6.183% due 11/15/2013		3,765		3,805
6.205% due 11/15/2013		6,680		6,780
Cypress-Fairbanks, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2006
6.204% due 02/15/2014		4,335		4,344
Detroit, Michigan School District General Obligation Bonds, (FGIC Q-SBLF Insured), Series 1998
4.750% due 05/01/2028		4,500		4,528
Frisco, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
0.000% due 08/15/2032		12,190		3,571
0.000% due 08/15/2034		5,265		1,391
Gainesville, Florida Utilities Systems Revenue Bonds, (FSA Insured), Series 2005
6.240% due 10/01/2036		2,275		2,232
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.000% due 06/01/2021		285		288
Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 1998
0.000% due 12/01/2028		8,720		3,179
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.980% due 07/01/2033		1,195		1,248
5.980% due 12/01/2033		5,000		5,236
Illinois State Metropolitan Pier & Exposition Authority Revenue Bonds, (MBIA Insured), Series 2002
0.000% due 12/15/2032		55,000		16,452
Indiana State Anderson School Building Corp. Revenue Bonds, (FSA State Aid Withholding Insured), Series 2006
4.750% due 01/15/2027		2,715		2,741
4.750% due 01/15/2028		2,000		2,018
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		58,830		58,092
Los Angeles, California Department of Water & Power Revenue Bonds, (FSA insured), Series 2005
6.285% due 07/01/2013		5,900		5,958
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039		18,745		19,957
Massachusetts State Water Resources Authority Revenue Bonds, (MBIA Insured), Series 2005
5.990% due 08/01/2034		5,000		5,344
Mercer County, New Jersey Improvement Authority Revenue Bonds, Series 1978
7.600% due 01/01/2018		2,457		2,807
Michigan State Grosse Pointe Public School System General Obligation Bonds, Series 2005
5.730% due 05/01/2027		5,455		5,860
Nevada State System of Higher Education Revenue Bonds, (AMBAC Insured), Series 2005
6.990% due 07/01/2030		3,335		3,663
Nevada State Truckee Meadows Water Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 07/01/2036		1,853		2,015
New Jersey State Transportation Trust Fund Authority Revenue Bonds, (FSA Insured), Series 2005
7.000% due 12/15/2016		500		602
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2000
7.090% due 11/01/2024		500		553
Northside, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2004
5.980% due 02/15/2035		4,022		4,185
Pennsylvania State Higher Educational Facilities Authority Revenue Bonds, Series 2005
6.204% due 07/15/2013		6,375		6,316
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2032		7,000		7,416
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2028		3,400		3,610
Southbridge, Massachusetts Associates LLC Revenue Bonds, (MBIA Insured), Series 2000
7.590% due 02/01/2022 (n)		31,105		35,116
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		14,800		14,686
University of Texas Revenue Bonds, Series 2004
4.750% due 07/01/2030		7,745		7,745
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.500% due 06/01/2026		1,050		1,132
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.625% due 06/01/2032		6,850		7,460
Wisconsin State Clean Water Revenue Bonds, Series 2002
6.170% due 06/01/2023		500		538
Total Municipal Bonds & Notes (Cost $310,740)				325,379
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley
0.000% due 07/07/2008		297,000		295,317
Total Commodity Index-Linked Notes (Cost $297,000)				295,317
U.S. GOVERNMENT AGENCIES 53.9%
Fannie Mae
0.000% due 09/01/2007 - 08/25/2023 (c)		42		35
0.950% due 03/25/2009 (b)		955		7
1.000% due 09/25/2023		7		6
3.256% due 02/25/2023 (b)		310		4
3.526% due 12/01/2033		2,191		2,209
3.854% due 10/01/2033		130,722		128,594
3.858% due 08/01/2033		60		60
4.000% due 02/25/2009 - 09/01/2020		3,406		3,167
4.190% due 10/01/2034		17,561		17,632
4.231% due 11/01/2034		4,484		4,498
4.263% due 02/01/2035		18,773		18,764
4.271% due 03/01/2034		12,220		12,134
4.377% due 11/01/2034		5,216		5,142
4.386% due 10/01/2034		8,265		8,282
4.394% due 03/01/2034		20,139		19,947
4.400% due 10/01/2034		7,405		7,446
4.413% due 12/01/2034		4,272		4,280
4.468% due 09/01/2035		455		454
4.476% due 05/01/2035		60,403		59,534
4.477% due 07/01/2035		7,790		7,716
4.496% due 05/01/2035		10,199		10,133
4.500% due 10/01/2010 - 12/01/2035		19,171		18,939
4.506% due 07/01/2035		8,503		8,439
4.534% due 08/01/2035		15,572		15,459
4.540% due 06/01/2015		316		314
4.547% due 06/01/2035		6,054		6,013
4.620% due 05/01/2009		36		35
4.660% due 02/01/2035		5,936		5,862
4.662% due 11/01/2035		33,240		32,761
4.666% due 09/01/2035		5,021		5,076
4.667% due 07/01/2033		54		53
4.673% due 05/25/2035		46,500		45,903
4.680% due 12/01/2012		374		361
4.695% due 02/01/2035		6,788		6,701
4.698% due 05/01/2035		40,920		40,299
4.699% due 06/01/2035		24,263		23,869
4.704% due 11/01/2035		8,664		8,736
4.716% due 09/01/2035		20,041		19,953
4.730% due 09/01/2035		27,783		27,611
4.756% due 11/01/2034		5,936		5,862
4.763% due 06/01/2035		5,104		5,046
4.774% due 12/01/2034		608		599
4.782% due 08/01/2035		7,655		7,554
4.814% due 11/01/2035		20,897		20,716
4.829% due 09/01/2034		40,988		40,662
4.842% due 06/01/2035		356		353
4.870% due 05/01/2013		131		127
4.902% due 02/01/2035		12,809		12,690
4.916% due 01/01/2035		26,604		26,287
4.932% due 07/01/2035		6,345		6,319
4.935% due 01/01/2035		21,778		21,511
4.954% due 01/01/2035		29,331		28,985
5.000% due 03/01/2009 - 07/01/2037		13,457,512		12,751,126
5.011% due 06/01/2035		1,719		1,707
5.107% due 07/01/2035		5,809		5,820
5.150% due 03/01/2023		467		473
5.206% due 05/01/2014		107		108
5.210% due 05/01/2023		391		394
5.325% due 09/01/2035		86		85
5.375% due 03/01/2023		88		89
5.400% due 02/01/2021		147		150
5.427% due 09/01/2017		967		963
5.430% due 06/01/2022		39		40
5.438% due 01/01/2036		126		125
5.450% due 03/25/2036		26,945		27,002
5.470% due 08/25/2034		325		325
5.500% due 05/01/2008 - 08/01/2037		32,001,355		30,944,644
5.500% due 01/01/2033 - 02/01/2035 (h)		561,637		544,254
5.512% due 12/01/2018		185		186
5.607% due 05/01/2021		39		39
5.626% due 02/01/2028		48		48
5.627% due 09/01/2024		255		259
5.642% due 03/01/2033		194		196
5.670% due 07/25/2021 - 05/25/2042		6,124		6,141
5.674% due 11/01/2024		2,754		2,795
5.690% due 09/01/2021		17		17
5.720% due 04/18/2028 - 05/25/2031		1,007		1,012
5.730% due 06/01/2022		16		16
5.750% due 12/20/2027		1,593		1,564
5.770% due 10/18/2030 - 10/25/2030		1,742		1,761
5.805% due 03/01/2023		1,128		1,136
5.818% due 02/01/2028		806		811
5.820% due 03/25/2017 - 08/25/2030		2,766		2,801
5.825% due 10/01/2020		34		34
5.870% due 02/01/2018		49		49
5.884% due 12/01/2017		953		964
5.906% due 02/01/2012		77		78
5.920% due 05/25/2030		890		895
5.960% due 11/01/2011 - 04/01/2018		350		356
5.970% due 07/01/2019 - 05/25/2030		905		907
5.996% due 09/01/2021		9		9
6.000% due 02/01/2009 - 07/01/2037		5,005,429		4,956,213
6.054% due 08/01/2022		1,438		1,466
6.070% due 12/01/2017		5		6
6.088% due 07/01/2024		165		169
6.090% due 12/01/2008		44		44
6.110% due 10/01/2027		268		272
6.121% due 07/01/2032		145		146
6.129% due 09/01/2034		1,182		1,198
6.143% due 11/01/2019		196		196
6.161% due 01/01/2021		22		22
6.172% due 09/01/2019		789		798
6.208% due 05/01/2030		16		16
6.214% due 07/01/2042 - 10/01/2044		71,984		72,897
6.215% due 12/01/2044		12,547		12,625
6.220% due 12/01/2008 - 04/25/2032		127		129
6.232% due 02/01/2021		163		164
6.244% due 10/01/2019		406		409
6.250% due 01/25/2008 - 02/25/2029		5,913		5,897
6.264% due 09/01/2041		82		82
6.272% due 12/01/2036		637		643
6.279% due 07/01/2019		96		96
6.290% due 02/25/2029		500		512
6.296% due 08/01/2027		140		141
6.300% due 10/17/2038		19,700		19,800
6.310% due 03/01/2008		83		83
6.319% due 04/01/2027		67		67
6.320% due 10/01/2013		1,884		1,926
6.390% due 05/25/2036		31,909		32,565
6.414% due 10/01/2030		234		238
6.427% due 10/01/2030 - 10/01/2040		7,083		7,212
6.474% due 09/01/2014		24		24
6.480% due 01/01/2011		96		98
6.500% due 06/01/2008 - 06/25/2044		1,206,858		1,220,427
6.500% due 09/01/2008 - 10/25/2022 (b)		26		2
6.539% due 02/01/2022		208		208
6.540% due 12/01/2007		96		95
6.555% due 05/01/2017		2		2
6.558% due 04/01/2027		44		44
6.676% due 05/01/2023		165		167
6.728% due 08/01/2027		1,810		1,805
6.730% due 11/01/2007		970		968
6.742% due 03/01/2019		1,026		1,029
6.750% due 10/25/2023		420		432
6.764% due 07/01/2021		46		47
6.770% due 12/01/2020		845		849
6.785% due 01/01/2020		878		878
6.795% due 11/01/2023		35		35
6.825% due 02/01/2020		66		67
6.830% due 09/01/2022		181		182
6.836% due 06/01/2023		174		175
6.849% due 11/01/2021		79		80
6.852% due 08/01/2025		1,253		1,294
6.872% due 09/01/2022		77		77
6.875% due 02/01/2020		9		10
6.900% due 05/25/2023		71		73
7.000% due 11/01/2007 - 01/25/2048		20,278		20,777
7.025% due 11/01/2022		21		22
7.027% due 05/01/2022		26		26
7.045% due 09/01/2024		149		151
7.055% due 05/01/2024		86		87
7.057% due 07/01/2026		39		39
7.065% due 12/01/2023		218		222
7.102% due 11/01/2025		176		179
7.110% due 10/01/2009		464		474
7.114% due 11/01/2025		254		258
7.115% due 08/01/2027		2,317		2,327
7.118% due 08/01/2031		134		135
7.140% due 09/01/2029		12		12
7.143% due 03/01/2025		1,071		1,090
7.150% due 07/01/2024		805		815
7.162% due 09/25/2008		142		143
7.167% due 04/01/2027		7		7
7.173% due 10/01/2024		49		49
7.190% due 11/01/2023 - 06/01/2025		300		304
7.193% due 08/01/2026		183		185
7.199% due 02/01/2027		463		468
7.200% due 05/01/2021 - 11/01/2025		1,145		1,155
7.218% due 12/01/2022		44		45
7.224% due 05/01/2026		65		65
7.225% due 10/01/2024		164		167
7.227% due 05/01/2025		343		348
7.240% due 01/01/2026 - 02/01/2026		238		241
7.245% due 01/01/2024		76		77
7.250% due 05/01/2009 - 01/01/2023		1,317		1,347
7.254% due 06/01/2024		64		65
7.269% due 11/01/2025		42		42
7.277% due 04/01/2027		70		71
7.291% due 12/01/2010		75		78
7.304% due 11/01/2025		83		84
7.316% due 12/01/2025		377		379
7.350% due 09/01/2025		36		36
7.355% due 12/01/2025		299		301
7.356% due 04/01/2024		390		397
7.375% due 05/25/2022		1,486		1,531
7.376% due 06/01/2025 - 06/01/2030		1,314		1,337
7.394% due 09/01/2023		181		183
7.421% due 10/01/2027		193		195
7.460% due 11/01/2023 - 08/01/2029		3,714		3,982
7.500% due 11/01/2010 - 07/25/2041		6,225		6,683
7.520% due 12/01/2027		576		585
7.521% due 12/01/2023		101		103
7.536% due 08/01/2023		94		94
7.548% due 10/01/2023		29		29
7.600% due 12/01/2026		13		13
7.625% due 11/01/2026		40		40
7.697% due 08/01/2027		37		37
7.722% due 04/01/2026 - 05/01/2027		176		178
7.732% due 10/01/2024		7		8
7.750% due 06/01/2009 - 01/25/2022		2,274		2,387
7.780% due 01/01/2018		2,079		2,331
7.783% due 10/01/2026		11		12
7.800% due 10/25/2022		321		338
7.920% due 03/01/2018		2,572		2,911
7.975% due 02/01/2033		4		4
7.980% due 05/01/2030		6,251		6,659
8.000% due 04/01/2008 - 06/01/2032		5,597		5,877
8.000% due 08/18/2027 (b)		13		3
8.060% due 04/01/2030		1,739		1,871
8.080% due 04/01/2030		955		1,028
8.250% due 10/01/2008 - 02/01/2017		14		14
8.490% due 06/01/2025		894		974
8.500% due 09/01/2007 - 10/01/2032		4,189		4,487
8.750% due 01/25/2021		299		320
9.000% due 07/01/2009 - 12/01/2027		1,999		2,147
9.250% due 04/25/2018		29		30
9.300% due 05/25/2018 - 08/25/2019		83		89
9.500% due 11/01/2009 - 07/01/2022		1,319		1,433
9.633% due 09/25/2028		717		746
10.000% due 08/01/2009 - 05/01/2022		174		190
10.500% due 11/01/2013 - 04/01/2022		64		69
11.000% due 11/01/2013 - 11/01/2020		191		211
11.500% due 08/20/2016 - 11/01/2019		9		10
12.000% due 05/01/2016		1		1
12.500% due 10/01/2015		4		4
13.250% due 09/01/2011		2		3
14.750% due 08/01/2012		21		24
15.000% due 10/15/2012		48		55
15.500% due 10/01/2012 - 12/01/2012		3		4
15.750% due 12/01/2011 - 08/01/2012		16		19
16.000% due 09/01/2012		28		33
112.425% due 09/25/2008 (b)		0		2
903.212% due 08/25/2021 (b)		0		8
1000.000% due 04/25/2022 (b)		0		7
Farmer Mac
7.953% due 01/25/2012		502		500
Freddie Mac
2.900% due 05/01/2008		12		12
3.500% due 10/01/2018 - 07/15/2032		3,683		3,591
4.000% due 04/01/2011 - 12/15/2024		92,170		91,183
4.125% due 09/15/2007 (b)		14		0
4.250% due 03/15/2017 - 04/15/2023		19,664		19,501
4.500% due 11/01/2008 - 05/01/2034		35,126		34,650
4.547% due 08/01/2035		1,539		1,528
4.550% due 01/01/2034		14,002		13,845
4.576% due 09/01/2035		22,809		22,609
4.628% due 07/01/2035		25,041		24,895
4.705% due 06/01/2035		6,451		6,314
4.838% due 03/01/2035 - 10/01/2035		50,183		49,753
4.845% due 11/01/2035		39,386		38,892
4.890% due 10/01/2035		29,447		29,186
4.898% due 10/01/2035		39,867		39,502
4.913% due 11/01/2034		262		260
4.914% due 07/01/2035		73		72
4.944% due 11/01/2035		28,759		28,478
5.000% due 06/15/2016 - 09/01/2035		357,537		350,020
5.013% due 12/01/2026		1,027		1,029
5.026% due 02/15/2008 (b)		6		0
5.136% due 05/01/2035		44,883		44,570
5.500% due 10/01/2008 - 07/01/2037		872,165		843,488
5.520% due 11/15/2024		1,598		1,597
5.550% due 10/25/2023		229		230
5.580% due 08/25/2031		270		271
5.588% due 05/01/2023		15		15
5.641% due 07/01/2032		7		7
5.670% due 03/15/2025 - 06/15/2031		11,749		11,758
5.720% due 06/15/2018 - 06/15/2031		1,001		1,010
5.742% due 08/15/2032		6,020		6,017
5.749% due 05/01/2018		362		363
5.770% due 11/15/2030 - 12/15/2031		43		43
5.781% due 01/01/2022		101		100
5.820% due 09/15/2030 - 01/15/2032		277		278
5.825% due 03/01/2021		1,157		1,159
5.875% due 09/01/2018		100		101
5.888% due 03/01/2022		1,600		1,631
5.930% due 05/01/2018		339		342
5.950% due 06/15/2028		39,153		38,012
5.980% due 02/01/2021		7		7
6.000% due 02/15/2008 - 07/01/2037		610,931		606,368
6.012% due 01/01/2021		48		47
6.040% due 07/01/2019		9		9
6.065% due 10/01/2022		49		49
6.095% due 05/01/2020		20		20
6.132% due 05/01/2021		1,573		1,579
6.140% due 10/01/2020		11		11
6.200% due 12/15/2008		491		491
6.227% due 10/25/2044 - 02/25/2045		49,701		49,781
6.237% due 12/01/2018		411		413
6.250% due 04/15/2023 - 01/15/2036		4,668		4,697
6.256% due 05/01/2020		77		77
6.280% due 02/01/2019		360		362
6.320% due 05/25/2043		16,831		17,159
6.375% due 06/01/2017		4		4
6.400% due 10/15/2008 (b)		1		0
6.427% due 07/25/2044		3,362		3,390
6.500% due 04/01/2008 - 07/25/2043		425,870		432,834
6.500% due 10/15/2008 - 11/15/2008 (b)		78		3
6.625% due 04/01/2017		7		7
6.649% due 10/01/2020		264		266
6.700% due 10/25/2023		1,146		1,169
6.750% due 12/01/2016		196		197
6.780% due 07/25/2040		7,318		7,222
6.830% due 09/01/2023		30		30
6.875% due 11/01/2015		2,052		2,050
6.880% due 02/01/2041		11,109		11,074
6.892% due 06/01/2022		33		33
6.896% due 07/01/2020		11,100		11,087
6.900% due 12/01/2040		22,047		21,978
6.950% due 07/15/2021 - 08/15/2021		54		54
6.960% due 05/01/2016		4,703		4,703
6.985% due 07/01/2022		110		111
6.991% due 12/01/2022		26		26
6.992% due 12/01/2019		5		5
6.997% due 09/01/2019		109		109
7.000% due 12/01/2007 - 10/25/2043		55,197		56,426
7.000% due 08/15/2008 - 09/15/2023 (b)		74		7
7.030% due 01/01/2019		60		60
7.038% due 07/01/2020		168		169
7.068% due 07/01/2023		91		92
7.073% due 05/01/2023		200		199
7.074% due 06/01/2022		184		187
7.075% due 01/01/2019		2		2
7.105% due 05/01/2018		60		60
7.110% due 05/01/2019		1,793		1,793
7.125% due 01/01/2019 - 06/01/2024		268		271
7.128% due 08/01/2023		104		104
7.147% due 06/01/2022		471		478
7.148% due 09/01/2023		210		210
7.158% due 07/01/2023		246		247
7.161% due 11/01/2026		555		561
7.170% due 08/01/2023		688		702
7.177% due 08/01/2023		1		1
7.186% due 04/01/2025		190		192
7.199% due 10/01/2026		494		502
7.204% due 08/01/2023		121		122
7.210% due 07/01/2024		153		155
7.221% due 04/01/2024		972		987
7.229% due 02/01/2025		29		29
7.236% due 02/01/2023		163		165
7.240% due 01/01/2024 - 10/01/2024		319		327
7.243% due 06/01/2024		661		673
7.244% due 07/01/2025		941		954
7.250% due 04/01/2023		18		18
7.256% due 11/01/2028		999		1,013
7.259% due 06/01/2021		580		591
7.260% due 09/01/2028		4		4
7.271% due 11/01/2023 - 07/01/2030		1,323		1,348
7.283% due 03/01/2024		323		325
7.288% due 11/01/2020		91		91
7.289% due 09/01/2023		715		719
7.290% due 07/01/2027		16		16
7.310% due 06/01/2041		22,914		22,712
7.311% due 08/01/2023		1,434		1,455
7.315% due 08/01/2019		5,421		5,414
7.318% due 05/01/2023		120		121
7.325% due 09/01/2027		56		57
7.340% due 02/01/2026		426		433
7.350% due 04/01/2019 - 11/01/2020		642		646
7.357% due 05/01/2023		85		86
7.358% due 09/01/2023		150		150
7.366% due 04/01/2029		209		212
7.369% due 09/01/2023		382		386
7.375% due 02/01/2018		167		168
7.376% due 08/01/2023		55		55
7.389% due 12/01/2023		225		228
7.393% due 11/01/2023		10		11
7.400% due 01/25/2020 - 02/01/2021		4,146		4,172
7.401% due 10/01/2023		210		213
7.414% due 01/01/2028		37		38
7.430% due 10/01/2018 - 06/01/2024		15,631		15,729
7.432% due 10/01/2023		133		135
7.436% due 10/01/2023		226		229
7.450% due 05/01/2021		2,470		2,485
7.460% due 01/01/2023		245		247
7.465% due 11/01/2019		2,445		2,460
7.470% due 10/01/2023		300		304
7.481% due 10/01/2023		58		59
7.485% due 01/01/2024		66		67
7.490% due 07/01/2019		287		292
7.500% due 03/01/2008 - 07/01/2032		24,974		25,666
7.523% due 06/01/2020		95		98
7.580% due 12/01/2040		7,202		7,247
7.630% due 08/01/2041		17,282		17,217
7.645% due 05/01/2025		5,904		6,287
7.780% due 11/01/2040		7,203		7,216
8.000% due 12/01/2007 - 09/15/2024		6,148		6,213
8.250% due 12/01/2007 - 01/01/2041		4,919		4,928
8.375% due 02/01/2012		154		156
8.500% due 02/01/2008 - 06/01/2030		3,512		3,551
8.750% due 04/01/2009 - 12/15/2020		160		161
8.900% due 11/15/2020		1,223		1,218
9.000% due 04/01/2009 - 07/01/2030		818		833
9.000% due 05/01/2022 (b)		7		2
9.250% due 10/01/2009 - 07/01/2017		4		4
9.500% due 09/01/2016 - 12/01/2022		844		885
10.000% due 11/01/2011 - 03/01/2021		81		87
10.100% due 09/01/2016		111		122
10.250% due 04/01/2009 - 07/01/2009		49		51
10.500% due 10/01/2017 - 01/01/2021		28		32
10.750% due 09/01/2009		8		8
11.000% due 06/01/2011 - 05/01/2020		45		50
11.250% due 10/01/2009 - 09/01/2015		4		5
11.500% due 01/01/2018		4		5
12.500% due 12/01/2012		2		2
13.250% due 10/01/2013		55		62
14.000% due 04/01/2016		3		4
15.500% due 08/01/2011 - 11/01/2011		2		3
Ginnie Mae
4.375% due 06/20/2023		752		760
4.500% due 07/20/2028 - 07/15/2033		12,111		11,684
4.750% due 08/20/2020 - 02/20/2032		40,046		40,408
5.000% due 10/20/2029 - 07/20/2034		3,274		3,183
5.125% due 12/20/2015 - 12/20/2029		31,635		32,027
5.250% due 01/20/2028 - 03/20/2030		9,774		9,842
5.375% due 02/20/2017 - 05/20/2030		77,648		78,526
5.380% due 05/20/2022 - 05/20/2030		1,193		1,208
5.500% due 08/20/2029 - 02/20/2036		3,767		3,740
5.625% due 03/20/2018		14		14
5.650% due 10/15/2012		4		4
5.720% due 06/20/2030 - 03/16/2032		381		384
5.750% due 07/20/2022 - 09/20/2026		1,642		1,658
5.770% due 10/16/2030		1,000		1,009
5.820% due 02/16/2030 - 04/16/2032		4,684		4,736
5.870% due 12/16/2025		146		148
5.875% due 04/20/2023		45		45
5.920% due 02/16/2030		3,161		3,207
5.970% due 02/16/2030		1,486		1,507
6.000% due 10/15/2008 - 07/01/2037		119,890		119,551
6.125% due 12/20/2023 - 12/20/2027		2,994		3,031
6.130% due 12/20/2025		540		547
6.375% due 01/20/2027 - 03/20/2028		2,570		2,596
6.500% due 10/15/2008 - 07/15/2040		72,085		73,428
6.670% due 08/15/2040		923		930
6.750% due 06/20/2028 - 10/16/2040		42,835		44,023
7.000% due 11/15/2007 - 11/15/2032		9,450		9,755
7.250% due 07/16/2028		5		5
7.500% due 04/15/2008 - 05/15/2032		10,084		10,292
7.700% due 03/15/2041		6,563		6,886
7.750% due 12/20/2020 - 08/20/2025		30		32
8.000% due 10/20/2007 - 09/15/2031		1,266		1,340
8.250% due 04/15/2008 - 04/15/2020		139		147
8.300% due 06/15/2019		23		24
8.500% due 09/15/2009 - 04/15/2031		696		747
9.000% due 09/15/2008 - 08/15/2030		1,036		1,111
9.250% due 12/20/2016		3		3
9.500% due 11/15/2008 - 07/15/2025		642		694
10.000% due 02/15/2013 - 02/15/2025		583		645
10.250% due 02/20/2019		10		11
10.500% due 12/15/2015 - 09/15/2021		127		141
11.000% due 04/15/2010 - 04/20/2019		25		27
11.500% due 04/15/2013 - 10/15/2015		17		19
12.000% due 11/15/2012 - 05/15/2016		99		111
13.000% due 12/15/2012		5		6
13.500% due 10/15/2012 - 09/15/2014		29		33
15.000% due 08/15/2011 - 11/15/2012		44		51
16.000% due 11/15/2011 - 05/15/2012		37		42
17.000% due 11/15/2011 - 12/15/2011		16		19
Small Business Administration
3.870% due 01/01/2014		1,485		1,426
4.340% due 03/01/2024		283		263
4.504% due 02/10/2014		123		117
4.524% due 02/10/2013		15,795		15,092
4.980% due 11/01/2023		10,522		10,185
5.130% due 09/01/2023		7,220		7,082
5.340% due 11/01/2021		8,480		8,470
6.030% due 02/10/2012		11,875		11,968
6.340% due 03/01/2021		15,980		16,327
6.344% due 08/01/2011		1,526		1,544
6.640% due 02/01/2011		3,722		3,788
6.700% due 12/01/2016		4,487		4,585
6.900% due 12/01/2020		4,504		4,658
6.950% due 11/01/2016		1,108		1,136
7.150% due 03/01/2017		2,247		2,310
7.190% due 12/01/2019		172		178
7.449% due 08/01/2010		9,446		9,584
7.452% due 09/01/2010		2,580		2,651
7.500% due 04/01/2017		1,176		1,215
7.540% due 08/10/2009		6,236		6,375
7.630% due 06/01/2020		7,909		8,287
7.640% due 03/01/2010		4,553		4,684
7.700% due 07/01/2016		143		147
8.017% due 02/10/2010		9,351		9,656
Tennessee Valley Authority
4.250% due 03/15/2013		180		170
Vendee Mortgage Trust
0.452% due 06/15/2023 (b)		27,013		419
6.500% due 09/15/2024		19,945		20,415
6.814% due 01/15/2030		2,676		2,729
Total U.S. Government Agencies (Cost $56,280,621)				55,200,104
U.S. TREASURY OBLIGATIONS 0.8%
Treasury Inflation Protected Securities (e)
2.000% due 01/15/2026		20,198		18,301
2.375% due 04/15/2011		1,353		1,339
2.375% due 01/15/2017		205		200
2.375% due 01/15/2025		295,278		284,021
3.625% due 04/15/2028		198,980		230,584
U.S. Treasury Notes
4.250% due 11/30/2007		425		424
4.500% due 03/31/2012		29,900		29,363
4.500% due 05/15/2017		328,050		314,621
Total U.S. Treasury Obligations (Cost $924,733)				878,852
MORTGAGE-BACKED SECURITIES 3.1%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		287		282
4.390% due 02/25/2045		114,758		112,394
Arran Residential Mortgages Funding PLC
5.340% due 04/12/2036		5,886		5,886
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		102,453		100,951
Banc of America Funding Corp.
4.113% due 05/25/2035		161,346		158,032
5.250% due 09/20/2034		200		196
5.380% due 01/25/2037		8,188		8,192
Banc of America Mortgage Securities, Inc.
5.500% due 11/25/2033		211		210
6.500% due 10/25/2031		463		468
6.500% due 09/25/2033		19,417		19,432
7.429% due 07/20/2032		1,779		1,802
Bear Stearns Adjustable Rate Mortgage Trust
4.622% due 01/25/2034		542		544
4.750% due 10/25/2035		158,740		156,989
4.773% due 01/25/2034		25		25
5.292% due 04/25/2033		8,175		8,135
5.329% due 02/25/2033		83		85
5.386% due 04/25/2033		22,679		22,473
5.626% due 02/25/2033		16,584		16,480
6.048% due 01/25/2034		89		89
6.337% due 11/25/2030		13,742		13,706
Bear Stearns Alt-A Trust
4.944% due 01/25/2035		18,600		18,759
5.377% due 05/25/2035		212,296		211,409
5.540% due 04/25/2035		6,741		6,754
Bear Stearns Commercial Mortgage Securities
3.688% due 11/11/2041		4,364		4,305
5.060% due 11/15/2016		10,364		10,297
5.910% due 02/14/2031		10		10
6.440% due 06/16/2030		11,300		11,365
7.000% due 05/20/2030		38,053		39,778
Bear Stearns Mortgage Securities, Inc.
6.474% due 06/25/2030		436		443
CC Mortgage Funding Corp.
5.500% due 05/25/2036		9,770		9,784
Citicorp Mortgage Securities, Inc.
5.250% due 12/25/2033		250		242
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		506		507
Citigroup Mortgage Loan Trust, Inc.
4.677% due 08/25/2035		136,233		133,931
4.700% due 12/25/2035		69,811		68,559
Collateralized Mortgage Obligation Trust
8.000% due 09/20/2021		647		645
Commercial Mortgage Acceptance Corp.
7.030% due 06/15/2031		65		66
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		145		153
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		1,216		1,200
5.390% due 07/25/2046		5,525		5,528
5.470% due 05/20/2046		4,102		4,106
5.520% due 05/25/2036		4,808		4,811
5.600% due 10/25/2035		74		74
5.670% due 09/25/2035		4,882		4,893
6.000% due 10/25/2032		5,500		5,453
Countrywide Home Loan Mortgage Pass-Through Trust
3.790% due 10/19/2032		29		29
5.250% due 02/20/2036		64,031		63,615
5.500% due 11/25/2035		11,188		8,969
5.550% due 05/25/2035		27,230		27,260
5.590% due 05/25/2034		2		2
5.610% due 04/25/2035		33,276		33,378
6.834% due 07/19/2031		51		51
CS First Boston Mortgage Securities Corp.
3.006% due 03/15/2036		11,106		10,980
5.631% due 05/25/2032		22		22
5.953% due 03/25/2032		813		811
6.000% due 02/25/2017		184		183
6.500% due 04/25/2033		4,109		4,114
6.890% due 06/25/2032		5		5
7.290% due 09/15/2041		309		318
7.500% due 12/25/2032		9		9
7.519% due 06/25/2032		12		12
7.560% due 05/25/2032		368		366
Denver Arena Trust
6.940% due 11/15/2019		3,048		3,054
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 12/25/2036		53,706		53,743
5.410% due 08/25/2037		26,300		26,300
DLJ Commercial Mortgage Corp.
7.300% due 06/10/2032		503		517
DLJ Mortgage Acceptance Corp.
4.488% due 08/01/2021 (n)		437		430
8.000% due 03/25/2022		10		10
Drexel Burnham Lambert CMO Trust
9.500% due 11/20/2017		36		36
First Nationwide Trust
6.750% due 08/21/2031		5,432		5,420
First Republic Mortgage Loan Trust
5.620% due 08/15/2032		593		595
5.640% due 06/25/2030		4,187		4,190
Fund America Investors Corp. II
6.025% due 06/25/2023		16		16
6.916% due 06/25/2023		373		373
GE Capital Commercial Mortgage Corp.
4.229% due 12/10/2037		29,135		28,490
GMAC Mortgage Securities, Inc.
8.950% due 08/20/2017		54		54
Government Lease Trust
4.000% due 05/18/2011		35,750		34,002
6.480% due 05/18/2011		13,714		13,947
GS Mortgage Securities Corp. II
6.044% due 08/15/2018		12,367		12,518
6.620% due 10/18/2030		22,266		22,420
6.624% due 05/03/2018		55,900		58,149
GSR Mortgage Loan Trust
4.538% due 09/25/2035		117,860		116,173
4.549% due 09/25/2035		99,499		98,659
5.500% due 03/25/2035		150		148
5.670% due 01/25/2034		68		68
6.000% due 03/25/2032		136		133
GSRPM Mortgage Loan Trust
6.020% due 01/25/2032		3,101		3,148
Harborview Mortgage Loan Trust
5.450% due 04/19/2038		35,524		35,492
5.560% due 03/19/2037		23,436		23,486
5.660% due 06/20/2035		2,904		2,912
5.670% due 01/19/2035		6,517		6,541
Indymac ARM Trust
6.633% due 01/25/2032		1,479		1,476
6.678% due 01/25/2032		316		316
7.072% due 08/25/2031		507		505
Indymac Index Mortgage Loan Trust
5.167% due 01/25/2036		24,306		24,453
JPMorgan Alternative Loan Trust
5.390% due 05/25/2036		3,147		3,149
JPMorgan Mortgage Trust
4.865% due 02/25/2036		25,954		25,772
5.008% due 07/25/2035		50,586		49,962
LB Mortgage Trust
8.445% due 01/20/2017		23,097		25,273
LB-UBS Commercial Mortgage Trust
3.323% due 03/15/2027		14,760		14,556
Lehman ABS Mortgage Loan Trust
5.410% due 06/25/2037		21,083		21,103
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		1,431		1,432
MASTR Adjustable Rate Mortgages Trust
5.226% due 05/25/2034		193		192
6.162% due 10/25/2032		4,363		4,350
MASTR Asset Securitization Trust
5.500% due 09/25/2033		2,465		2,361
MASTR Seasoned Securities Trust
6.202% due 09/25/2017		28,317		28,651
6.500% due 08/25/2032		54,058		53,746
Mellon Residential Funding Corp.
5.670% due 11/15/2031		23,433		23,473
5.760% due 12/15/2030		5,004		5,027
5.800% due 06/15/2030		798		798
5.810% due 10/20/2029		15,695		15,768
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		134		133
Merrill Lynch Mortgage Trust
4.929% due 07/12/2034		14,349		14,316
MLCC Mortgage Investors, Inc.
5.650% due 06/25/2028		6,178		6,194
5.700% due 03/15/2025		333		334
Morgan Stanley Capital I
5.380% due 10/15/2020		121,505		121,668
5.500% due 04/25/2017		76		76
5.900% due 10/15/2035		813		812
6.160% due 04/03/2014		3,473		3,497
6.170% due 10/03/2034		1,405		1,417
Nationslink Funding Corp.
5.670% due 11/10/2030		1,407		1,410
6.888% due 11/10/2030		161		161
Nomura Asset Acceptance Corp.
7.000% due 02/19/2030		3,434		3,561
Pacific Collateralized Mortgage Obligation Trust
8.000% due 03/20/2018		47		47
Paine Webber CMO Trust
1359.500% due 08/01/2019 (b)		0		4
Prime Mortgage Trust
5.720% due 02/25/2019		3,764		3,772
5.720% due 02/25/2034		17,391		17,449
Prudential Home Mortgage Securities
7.500% due 03/25/2008		78		78
Prudential-Bache CMO Trust
8.400% due 03/20/2021		554		553
RAAC Series 2005-SP1
5.000% due 09/25/2034		12,562		12,434
Regal Trust IV
5.876% due 09/29/2031		1,748		1,742
Resecuritization Mortgage Trust
5.570% due 04/26/2021		1		2
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		24,750		24,739
Residential Asset Mortgage Products, Inc.
5.490% due 07/25/2024		1,134		1,134
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		809		809
Salomon Brothers Mortgage Securities VII, Inc.
5.820% due 05/25/2032		226		227
7.056% due 11/25/2022		9		9
7.060% due 09/25/2023		2		2
7.536% due 12/25/2030		182		182
Santa Barbara Savings & Loan Association
9.500% due 11/20/2018		307		309
Sears Mortgage Securities
12.000% due 02/25/2014		86		86
Securitized Asset Sales, Inc.
7.542% due 11/26/2023		173		173
Sequoia Mortgage Trust
4.081% due 04/20/2035		55,113		54,119
5.670% due 10/19/2026		467		467
5.670% due 07/20/2033		350		352
Structured Adjustable Rate Mortgage Loan Trust
5.340% due 08/25/2034		630		630
5.450% due 01/25/2036		17,090		16,999
6.429% due 01/25/2035		368		370
Structured Asset Mortgage Investments, Inc.
5.510% due 06/25/2036		3,155		3,158
5.630% due 12/25/2035		6,577		6,594
5.650% due 09/19/2032		17,247		17,272
5.894% due 04/30/2030		2		2
6.480% due 05/25/2022		2,025		1,977
Structured Asset Securities Corp.
5.329% due 10/25/2035		231		231
5.450% due 03/25/2033		12,099		11,892
6.063% due 02/25/2032		2,964		2,959
6.150% due 07/25/2032		2,526		2,542
6.846% due 05/25/2032		156		156
7.197% due 01/25/2032		2,769		2,761
Structured Mortgage Asset Residential Trust
6.950% due 07/25/2024		41		40
TBW Mortgage-Backed Pass-Through Certificates
6.080% due 09/25/2036		9,225		9,211
Thornburg Mortgage Securities Trust
5.425% due 06/25/2036		21,913		21,902
5.440% due 08/25/2036		4,945		4,942
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028		4,000		4,039
6.800% due 01/25/2028		3,031		3,042
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		2,363		2,364
Washington Mutual MSC Mortgage Pass-Through Certificates
5.407% due 02/25/2033		282		282
7.301% due 05/25/2033		476		481
Washington Mutual, Inc.
4.816% due 10/25/2032		6		6
5.094% due 10/25/2032		10,863		10,836
5.400% due 06/25/2046		3,306		3,309
5.420% due 05/25/2046		382		382
5.474% due 02/27/2034		547		538
5.510% due 04/25/2045		3,732		3,735
5.580% due 11/25/2045		7,385		7,414
5.610% due 08/25/2045		1,147		1,148
5.610% due 10/25/2045		56,789		56,923
5.724% due 05/25/2046		4,578		4,586
5.745% due 11/25/2034		114		114
5.860% due 12/25/2027		1,824		1,825
5.960% due 12/25/2027		34,078		34,100
6.009% due 06/25/2046		59,827		60,211
6.229% due 11/25/2042		523		524
6.429% due 06/25/2042		3,128		3,126
6.429% due 08/25/2042		395		396
6.529% due 11/25/2046		2,944		2,956
Wells Fargo Mortgage-Backed Securities Trust
3.539% due 09/25/2034		37,918		36,954
3.990% due 12/25/2034		420		411
4.319% due 07/25/2035		49,635		48,796
4.950% due 03/25/2036		262,806		259,304
5.113% due 03/25/2036		10,152		10,084
Total Mortgage-Backed Securities (Cost $3,185,764)				3,106,746
ASSET-BACKED SECURITIES 2.9%
Accredited Mortgage Loan Trust
5.370% due 02/25/2037		12,920		12,928
5.480% due 09/25/2035		12,105		12,114
ACE Securities Corp.
5.370% due 06/25/2036		11,377		11,385
5.370% due 07/25/2036		21,632		21,646
5.390% due 12/25/2035		10,810		10,819
5.400% due 02/25/2036		9,047		9,054
5.430% due 10/25/2035		388		388
Advanta Mortgage Loan Trust
8.250% due 08/25/2030		3,988		3,978
Ameriquest Mortgage Securities, Inc.
5.750% due 10/25/2033		73		73
Amortizing Residential Collateral Trust
5.590% due 06/25/2032		396		396
Argent Securities, Inc.
5.370% due 10/25/2036		14,224		14,233
5.380% due 05/25/2036		8,204		8,209
5.390% due 04/25/2036		10,648		10,654
5.400% due 03/25/2036		11,716		11,724
Asset-Backed Funding Certificates
5.380% due 10/25/2036		5,832		5,836
Asset-Backed Securities Corp. Home Equity
5.380% due 03/25/2036		1,008		1,009
5.380% due 07/25/2036		8,842		8,848
5.390% due 03/25/2036		3,125		3,128
5.400% due 05/25/2037		17,060		17,072
5.480% due 05/25/2035		149		149
Bank One Issuance Trust
5.430% due 12/15/2010		30,050		30,100
Basic Asset-Backed Securities Trust
5.400% due 04/25/2036		7,252		7,257
Bear Stearns Asset-Backed Securities, Inc.
5.334% due 06/25/2043		4,659		4,673
5.360% due 02/25/2037		13,234		13,242
5.390% due 12/25/2036		16,548		16,550
5.400% due 12/25/2035		2,560		2,562
5.410% due 04/25/2036		16,095		16,105
5.470% due 01/25/2037		45,166		45,194
5.520% due 09/25/2034		65		65
5.650% due 10/25/2032		8,945		8,962
5.720% due 10/27/2032		3,422		3,434
Brazos Student Finance Corp.
5.770% due 06/01/2023		5,099		5,119
Carmax Auto Owner Trust
5.328% due 06/16/2008		38,100		38,100
Carrington Mortgage Loan Trust
5.360% due 05/25/2036		6,375		6,377
5.370% due 08/25/2036		7,876		7,882
5.440% due 02/25/2036		20,000		20,017
5.500% due 12/25/2035		1,345		1,346
Cendant Mortgage Corp.
6.000% due 07/25/2043		3,314		3,312
Centex Home Equity
5.370% due 06/25/2036		744		744
Chase Credit Card Master Trust
5.430% due 07/15/2010		15,895		15,920
Chase Funding Mortgage Loan Asset-Backed Certificates
5.960% due 08/25/2032		2,879		2,882
6.060% due 10/25/2032		155		155
Chase Issuance Trust
5.340% due 07/15/2010		32,000		32,025
CIT Group Home Equity Loan Trust
5.590% due 06/25/2033		20		21
Citibank Credit Card Issuance Trust
3.100% due 03/10/2010		20,000		19,706
5.526% due 02/07/2010		15,000		15,026
Citibank Credit Card Master Trust I
6.050% due 01/15/2010		5,121		5,146
Citigroup Mortgage Loan Trust, Inc.
5.370% due 11/25/2036		10,932		10,940
5.390% due 05/25/2037 (n)		32,257		32,262
5.470% due 07/25/2035		595		595
Community Program Loan Trust
4.500% due 10/01/2018		8,213		8,090
4.500% due 04/01/2029		26,000		24,363
Conseco Finance
5.770% due 05/15/2032		145		145
Countrywide Asset-Backed Certificates
5.350% due 01/25/2046		63,759		63,774
5.370% due 03/25/2037		35,140		35,163
5.370% due 05/25/2037		1,297		1,298
5.370% due 08/25/2037		84,266		84,279
5.390% due 06/25/2036		16,988		17,000
5.390% due 07/25/2036		5,802		5,806
5.390% due 08/25/2036		5,360		5,363
5.390% due 09/25/2036		6,318		6,322
5.400% due 06/25/2037		18,730		18,742
5.450% due 07/25/2036		5,722		5,725
5.480% due 02/25/2036		14,471		14,483
5.700% due 03/25/2033		860		861
Credit-Based Asset Servicing & Securitization LLC
5.380% due 03/25/2036		6,010		6,014
5.440% due 07/25/2035		1,689		1,690
5.870% due 04/25/2032		748		750
CS First Boston Mortgage Securities Corp.
5.940% due 01/25/2032		510		511
6.020% due 07/25/2032		52		52
6.060% due 08/25/2032		1,615		1,616
Delta Funding Home Equity Loan Trust
6.140% due 09/15/2029		272		272
Discover Card Master Trust I
5.695% due 10/16/2013		400		405
Equity One Asset-Backed Securities, Inc.
5.600% due 11/25/2032		168		169
Equivantage Home Equity Loan Trust
7.300% due 10/25/2025		4		4
Fieldstone Mortgage Investment Corp.
5.400% due 05/25/2036		6,109		6,113
First Alliance Mortgage Loan Trust
5.760% due 01/25/2025		10		10
6.080% due 03/20/2031		1,515		1,516
First Franklin Mortgage Loan Asset-Backed Certificates
5.350% due 07/25/2036		12,887		12,896
5.370% due 10/25/2036		25,434		25,448
5.370% due 11/25/2036		8,187		8,192
5.370% due 03/25/2037		13,747		13,755
5.390% due 01/25/2036		6,279		6,283
5.390% due 12/25/2036		13,269		13,278
5.410% due 01/25/2036		42,245		42,280
5.690% due 12/25/2034		4,917		4,925
First USA Credit Card Master Trust
5.480% due 04/18/2011		20,000		20,053
FMAC Loan Receivables Trust
6.500% due 09/15/2020		47		38
7.900% due 04/15/2019		20		17
Ford Credit Auto Owner Trust
5.349% due 07/15/2008		10,000		10,008
Fremont Home Loan Trust
5.370% due 05/25/2036		5,291		5,294
5.370% due 10/25/2036		13,444		13,446
Green Tree Financial Corp.
6.160% due 02/01/2031		87		87
6.240% due 11/01/2016		42		42
6.480% due 12/01/2030		36		36
6.870% due 04/01/2030		958		972
Greenpoint Manufactured Housing
7.270% due 06/15/2029		110		113
GSAMP Trust
5.360% due 08/25/2036		674		675
5.380% due 04/25/2036		3,326		3,328
5.390% due 01/25/2036		14,066		14,075
5.390% due 02/25/2036		7,256		7,260
5.410% due 11/25/2035		2,986		2,986
5.610% due 03/25/2034		1,056		1,058
GSR Mortgage Loan Trust
5.420% due 11/25/2030		79		79
HFC Home Equity Loan Asset-Backed Certificates
5.470% due 03/20/2036		14,655		14,654
Home Equity Asset Trust
5.380% due 05/25/2037		31,282		31,296
5.400% due 05/25/2036		25,084		25,097
5.430% due 02/25/2036		8,161		8,167
5.920% due 11/25/2032		154		154
Home Equity Mortgage Trust
5.410% due 05/25/2036		1,175		1,176
5.430% due 02/25/2036		3		4
Honda Auto Receivables Owner Trust
5.100% due 09/18/2008		3,607		3,611
HSBC Asset Loan Obligation
5.380% due 12/25/2036		2,615		2,617
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		86,830		86,884
5.400% due 12/25/2035		10,578		10,586
IMC Home Equity Loan Trust
7.172% due 07/25/2026		74		74
7.310% due 11/20/2028		49		49
7.500% due 04/25/2026		58		57
7.520% due 08/20/2028		32		32
Indymac Residential Asset-Backed Trust
5.360% due 08/25/2036		19,411		19,425
5.410% due 03/25/2036		18,649		18,662
5.430% due 10/25/2035		4,128		4,130
IXIS Real Estate Capital Trust
5.380% due 08/25/2036		16,809		16,820
JPMorgan Mortgage Acquisition Corp.
5.360% due 08/25/2036		9,125		9,131
5.370% due 07/25/2036		12,433		12,441
5.380% due 01/25/2032		5,673		5,677
5.380% due 05/25/2037		25,000		25,013
5.390% due 03/25/2036		1,653		1,654
5.400% due 08/25/2036		24,966		24,980
5.440% due 09/25/2035		145		145
Lehman XS Trust
5.390% due 05/25/2046		46		47
5.400% due 04/25/2046		30,840		30,859
5.400% due 06/25/2046		25,136		25,149
5.400% due 08/25/2046		10,245		10,253
5.410% due 05/25/2046		23,065		23,070
Long Beach Mortgage Loan Trust
5.360% due 07/25/2036		14,274		14,275
5.380% due 05/25/2046		1,137		1,138
5.390% due 03/25/2036		7,766		7,771
5.400% due 02/25/2036		6,740		6,744
5.410% due 01/25/2036		2,007		2,008
5.460% due 02/25/2036		30,000		30,026
5.600% due 10/25/2034		18,883		18,918
MASTR Asset-Backed Securities Trust
5.370% due 03/25/2036		11,099		11,107
5.380% due 10/25/2036		3,477		3,479
5.400% due 01/25/2036		20,288		20,303
5.430% due 11/25/2035		25,560		25,579
MBNA Credit Card Master Note Trust
5.820% due 03/15/2010		65,000		65,118
Merrill Lynch First Franklin Mortgage Loan Trust
5.380% due 07/25/2037		11,900		11,902
Merrill Lynch Mortgage Investors, Inc.
5.350% due 05/25/2037		6,184		6,188
5.380% due 03/25/2037		8,375		8,381
5.380% due 10/25/2037		996		997
5.390% due 08/25/2036		1,757		1,757
5.390% due 02/25/2037		8,766		8,772
5.390% due 07/25/2037		35,998		36,018
5.440% due 02/25/2037		9,768		9,775
Mid-State Trust
6.340% due 10/15/2036		23,597		23,396
7.340% due 07/01/2035		1,053		1,110
7.791% due 03/15/2038		4,162		4,396
8.330% due 04/01/2030		22,507		23,499
Morgan Stanley ABS Capital I
5.360% due 04/25/2036		5,193		5,194
5.380% due 03/25/2036		13,118		13,124
5.390% due 12/25/2035		3,482		3,485
5.390% due 03/25/2036		17,564		17,572
Morgan Stanley Home Equity Loans
5.370% due 04/25/2036		10,077		10,081
5.370% due 12/25/2036		34,072		34,093
5.400% due 12/25/2035		2,559		2,559
MPC Natural Gas Funding Trust
6.200% due 03/15/2013		4,788		4,881
Nationstar Home Equity Loan Trust
5.380% due 03/25/2037		27,729		27,746
Nelnet Student Loan Trust
5.325% due 10/27/2014		5,390		5,393
5.340% due 09/25/2012		794		794
5.365% due 01/26/2015		1,825		1,826
5.370% due 12/22/2014		7,128		7,127
5.445% due 07/25/2016		4,908		4,916
5.445% due 10/25/2016		5,766		5,770
New Century Home Equity Loan Trust
5.380% due 05/25/2036		5,994		5,997
5.400% due 12/25/2035		2,219		2,219
5.590% due 09/25/2035		68,197		68,028
Newcastle Mortgage Securities Trust
5.390% due 03/25/2036		6,627		6,629
Nomura Asset Acceptance Corp.
5.460% due 01/25/2036		7,232		7,237
Nomura Home Equity Loan, Inc.
5.400% due 02/25/2036		3,447		3,449
NPF XII, Inc.
2.462% due 11/01/2003 (a)		49,000		228
Option One Mortgage Loan Trust
5.360% due 02/25/2037		5,659		5,662
5.390% due 01/25/2036		8,175		8,181
Ownit Mortgage Loan Asset-Backed Certificates
5.380% due 03/25/2037		9,278		9,281
5.520% due 03/25/2036		508		508
Popular ABS Mortgage Pass-Through Trust
5.410% due 06/25/2047		48,400		48,402
PP&L Transition Bond Co. LLC
7.150% due 06/25/2009		690		701
Quest Trust
5.750% due 12/25/2033		1,787		1,801
5.880% due 06/25/2034		313		313
Renaissance Home Equity Loan Trust
5.670% due 08/25/2032		555		555
5.680% due 11/25/2034		202		203
Residential Asset Mortgage Products, Inc.
5.390% due 05/25/2036		6,997		7,002
5.400% due 01/25/2036		1,989		1,990
5.430% due 09/25/2035		2,471		2,473
5.450% due 09/25/2035		2,267		2,268
Residential Asset Securities Corp.
5.360% due 06/25/2036		16,278		16,290
5.370% due 09/25/2036		26,734		26,751
5.380% due 04/25/2036		16,878		16,891
5.390% due 03/25/2036		6,014		6,018
5.390% due 04/25/2036		14,000		14,011
5.400% due 01/25/2036		12,610		12,619
5.400% due 10/25/2036		29,056		29,077
5.410% due 01/25/2036		476		476
5.420% due 11/25/2035		663		663
5.490% due 08/25/2035		865		866
Residential Funding Mortgage Securities II, Inc.
5.420% due 12/25/2035		13,943		13,954
Residential Mortgage Loan Trust
6.875% due 09/25/2029		20		20
SACO I, Inc.
5.380% due 05/25/2036		14,270		14,279
5.400% due 04/25/2036		175		175
5.540% due 06/25/2035		6,442		6,440
5.570% due 12/25/2035		377		377
Salomon Brothers Mortgage Securities VII, Inc.
5.600% due 09/25/2028		2,080		2,083
5.620% due 03/25/2032		1,066		1,068
Saxon Asset Securities Trust
5.380% due 03/25/2036		891		891
5.840% due 08/25/2032		889		889
Securitized Asset-Backed Receivables LLC Trust
5.380% due 03/25/2036		12,791		12,799
5.390% due 10/25/2035		2,045		2,046
SLM Student Loan Trust
5.325% due 07/25/2013		2,302		2,303
5.335% due 04/25/2014		88,865		88,929
5.345% due 10/25/2016		4,000		4,004
5.345% due 07/25/2017		8,350		8,357
5.345% due 10/25/2018		3,118		3,118
5.355% due 01/25/2016		10,359		10,367
5.355% due 07/25/2016		4,733		4,736
5.365% due 01/26/2015		14,775		14,790
5.375% due 01/27/2014		608		608
5.395% due 07/25/2014		2,360		2,362
SMS Student Loan Trust
5.420% due 10/27/2025		306		304
Soundview Home Equity Loan Trust
5.350% due 07/25/2036		10,821		10,826
5.360% due 11/25/2036		789		789
5.370% due 10/25/2036		2,257		2,258
5.380% due 06/25/2036		11,506		11,514
5.390% due 03/25/2036		1,084		1,085
5.390% due 05/25/2036		2,090		2,092
5.420% due 12/25/2035		11		11
5.430% due 11/25/2035		8		8
Specialty Underwriting & Residential Finance
5.380% due 02/25/2037		8,816		8,819
5.400% due 12/25/2036		17,647		17,655
Structured Asset Investment Loan Trust
6.020% due 04/25/2033		2,194		2,196
Structured Asset Securities Corp.
4.900% due 04/25/2035		36,816		36,703
5.370% due 02/25/2036		7,611		7,616
5.400% due 01/25/2037		34,702		34,721
5.420% due 09/25/2035		3,707		3,710
5.610% due 01/25/2033		6,683		6,697
Triad Auto Receivables Owner Trust
5.303% due 06/12/2008		25,896		25,924
USAA Auto Owner Trust
5.030% due 11/17/2008		1,514		1,515
Wachovia Auto Owner Trust
4.820% due 02/20/2009		101		101
Wachovia Student Loan Trust
5.335% due 10/25/2013		587		589
Washington Mutual Asset-Backed Certificates
5.370% due 01/25/2037		30,591		30,611
5.390% due 04/25/2036		7,734		7,740
Wells Fargo Home Equity Trust
5.430% due 10/25/2035		7,358		7,363
5.430% due 11/25/2035		6,413		6,417
5.440% due 12/25/2035		15,443		15,451
5.560% due 11/25/2035		89,554		89,731
5.570% due 12/25/2035		135,729		136,030
WFS Financial Owner Trust
3.590% due 10/19/2009		9,580		9,527
WMC Mortgage Loan Pass-Through Certificates
6.000% due 05/15/2030		3,668		3,671
6.220% due 10/15/2029		1,917		1,918
Total Asset-Backed Securities (Cost $2,956,926)				2,930,630
SOVEREIGN ISSUES 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012		4,220		4,523
China Development Bank
5.000% due 10/15/2015		29,300		28,033
Hydro Quebec
5.398% due 09/29/2049		5,600		5,290
Korea Development Bank
4.750% due 07/20/2009		200		197
5.475% due 10/31/2008		100		100
Korea Highway Corp.
5.125% due 05/20/2015		100		96
Peru Government International Bond
9.125% due 01/15/2008		1,700		1,726
South Africa Government International Bond
6.500% due 06/02/2014		27,000		27,878
Total Sovereign Issues (Cost $67,228)				67,843
FOREIGN CURRENCY-DENOMINATED ISSUES 2.9%
American International Group, Inc.
4.875% due 03/15/2067	EUR	30,000		38,480
Atlas Reinsurance PLC
7.922% due 01/10/2010		3,000		4,120
Banque Centrale de Tunisie
7.500% due 08/06/2009		2,300		3,269
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017	BRL	1,518,624		756,340
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	93,600		54,103
Brazilian Government International CPI Linked Bond
10.000% due 01/01/2012		3,171,371		1,600,441
BTM Curacao Holdings NV
1.348% due 11/29/2049	JPY	1,000,000		8,122
Citigroup, Inc.
4.250% due 02/25/2030	EUR	60,000		69,973
Danske Bank A/S
4.878% due 02/28/2049		8,000		10,289
5.684% due 12/29/2049	GBP	16,400		30,633
Ford Motor Credit Co.
5.250% due 06/16/2008	EUR	15,000		10,319
6.750% due 01/14/2008		8,000		10,856
Gaz Capital for Gazprom
5.875% due 06/01/2015		20,000		27,259
General Electric Capital Corp.
4.625% due 09/15/2066		10,000		12,909
HBOS PLC
4.875% due 03/29/2049		14,090		18,641
Italy Buoni Poliennali Del Tesoro
1.650% due 09/15/2008 (e)		40,729		54,476
JSG Holding PLC
6.335% due 11/29/2013		7,915		10,819
6.345% due 11/29/2013		2,169		2,964
6.362% due 11/29/2013		2,446		3,344
6.398% due 11/29/2013		4,217		5,764
6.444% due 11/29/2013		3,253		4,446
6.718% due 11/29/2014		1,193		1,634
6.835% due 11/29/2014		4,353		5,965
6.862% due 11/29/2014		1,346		1,844
6.898% due 11/29/2014		2,319		3,178
6.944% due 11/29/2014		1,789		2,451
KBC Bank Funding Trust IV
8.220% due 11/29/2049		5,000		7,242
Lloyds TSB Capital
7.375% due 12/29/2049		26,000		38,452
Mizuho Finance Cayman Ltd.
1.879% due 01/01/2049	JPY	1,000,000		8,323
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	81,500		84,080
Nordic Telephone Co. Holdings ApS
5.875% due 11/30/2014	EUR	12,556		17,204
5.992% due 11/30/2014		991		1,361
6.125% due 11/30/2014		14,508		19,911
Norinchukin Bank
5.625% due 09/28/2016	GBP	25,000		48,559
Poland Government International Bond
5.750% due 03/24/2010	PLN	54,490		19,769
Sumitomo Mitsui Banking Corp.
0.950% due 06/02/2049	JPY	1,000,000		8,140
1.548% due 12/31/2049		1,100,000		8,937
Total Foreign Currency-Denominated Issues (Cost $2,933,603)				3,014,617
SHORT-TERM INSTRUMEN 13.0%
Certificates of Deposit 5.1%
Abbey National Treasury Services PLC
5.270% due 07/02/2008	$	494,200		494,411
Bank of Ireland
5.400% due 01/15/2010		34,200		34,233
Barclays Bank PLC
5.281% due 03/17/2008		253,670		253,707
5.305% due 03/17/2008		280,000		280,000
BNP Paribas Finance, Inc.
5.262% due 05/28/2008		163,100		163,158
5.262% due 07/03/2008		40,500		40,492
5.264% due 04/03/2008		14,700		14,699
5.270% due 09/23/2008		244,000		244,000
Calyon Financial, Inc.
5.340% due 01/16/2009		317,700		317,754
5.395% due 06/29/2010		43,140		43,121
Capital One Bank
5.485% due 02/23/2009		100,000		100,093
Capmark Bank
4.250% due 11/05/2019		100		98
Citizens Bank of Massachusetts
5.315% due 08/09/2007		50,000		50,000
Fortis Bank NY
5.265% due 04/28/2008		3,700		3,702
5.265% due 06/30/2008		304,730		304,846
5.300% due 09/30/2008		186,970		186,990
HSBC Bank USA N.A.
5.176% due 07/28/2008		74,800		74,916
Lehman Brothers Bank FSB
4.000% due 01/28/2016		100		98
Nordea Bank Finland PLC
5.308% due 05/28/2008		160,000		160,092
Royal Bank of Canada
5.225% due 09/04/2007		31,900		31,588
5.267% due 06/30/2008		478,820		479,233
Royal Bank of Scotland Group PLC
5.262% due 07/03/2008		367,540		367,556
5.265% due 03/26/2008		205,000		204,985
Skandinav Enskilda BK
5.330% due 02/04/2008		8,600		8,612
5.340% due 08/21/2008		7,000		7,003
5.350% due 02/13/2009		238,460		238,645
Societe Generale NY
5.269% due 06/30/2008		5,500		5,503
5.270% due 03/26/2008		386,230		386,244
Unicredito Italiano NY
5.360% due 09/11/2007		47,500		47,510
5.360% due 12/03/2007		19,500		19,507
5.360% due 05/29/2008		141,400		141,471
Unicredito Italiano SpA
5.295% due 05/29/2008		550,000		550,000
				5,254,267
Commercial Paper 6.6%
Abbey National N.A. LLC
5.200% due 09/14/2007		36,300		36,043
5.230% due 09/14/2007		33,700		33,524
5.250% due 09/14/2007		1,600		1,592
ABN AMRO N.A. Finance
5.200% due 08/28/2007		237,700		235,743
ANZ National International Ltd.
5.225% due 09/19/2007		79,000		78,633
ASB Finance Ltd.
5.230% due 09/20/2007		103,000		102,521
5.240% due 09/20/2007		55,000		54,463
Australia and New Zealand Banking Group Ltd.
5.245% due 09/19/2007		5,100		5,039
Bank of America Corp.
5.190% due 10/04/2007		83,000		81,985
5.195% due 10/04/2007		192,500		191,500
5.200% due 10/04/2007		12,700		12,660
5.205% due 10/04/2007		132,200		131,033
5.210% due 10/04/2007		8,400		8,339
5.215% due 10/04/2007		82,300		81,246
5.228% due 10/04/2007		100,900		100,460
5.230% due 10/04/2007		48,900		48,637
5.235% due 10/04/2007		18,800		18,655
5.240% due 10/04/2007		66,300		65,750
5.245% due 10/04/2007		47,700		47,089
5.250% due 10/04/2007		3,900		3,846
5.260% due 10/04/2007		36,000		35,492
Bank of Ireland
5.225% due 11/08/2007		116,200		115,660
5.250% due 11/08/2007		6,000		5,960
Barclays U.S. Funding Corp.
5.230% due 09/26/2007		16,827		16,773
5.235% due 09/26/2007		25,800		25,646
5.240% due 09/26/2007		19,000		18,859
5.245% due 09/26/2007		27,100		26,835
5.250% due 09/26/2007		13,400		13,226
BNP Paribas Finance, Inc.
5.156% due 10/23/2007		70,700		69,509
5.330% due 10/23/2007		8,200		8,200
Caisse d’Amortissement de la Dette Sociale
5.230% due 08/10/2007		16,900		16,804
CBA (de) Finance
5.205% due 09/28/2007		104,850		104,047
5.235% due 09/28/2007		5,300		5,244
Cox Communications, Inc.
5.570% due 09/17/2007		217,400		217,400
Danske Corp.
5.165% due 10/12/2007		24,200		23,831
5.205% due 10/12/2007		18,500		18,363
5.210% due 10/12/2007		20,700		20,553
5.230% due 10/12/2007		15,600		15,445
5.235% due 10/12/2007		7,100		7,030
Dexia Delaware LLC
5.225% due 09/21/2007		62,300		61,969
5.235% due 09/21/2007		3,000		2,970
5.240% due 09/21/2007		22,900		22,667
5.260% due 09/21/2007		4,100		4,081
5.420% due 09/21/2007		143,040		143,040
DnB NORBank ASA
5.205% due 10/12/2007		43,400		43,093
5.220% due 10/12/2007		3,100		3,090
5.300% due 07/06/2007		20,000		19,988
Fannie Mae
4.563% due 09/05/2007		300		297
5.080% due 07/02/2007		198,900		198,900
5.123% due 08/08/2007		1,200		1,194
5.145% due 08/15/2007		300		298
5.145% due 09/12/2007		1,600		1,582
5.150% due 09/26/2007		5,500		5,429
5.160% due 08/10/2007		9,200		9,149
Fortis Funding LLC
5.275% due 09/05/2007		5,400		5,380
Freddie Mac
4.800% due 07/02/2007		38,100		38,100
5.165% due 07/25/2007		6,300		6,279
General Electric Capital Corp.
5.150% due 11/06/2007		500		492
5.155% due 02/29/2008		23,800		22,965
5.170% due 11/06/2007		28,200		27,669
5.200% due 11/06/2007		209,900		209,051
HBOS Treasury Services PLC
5.230% due 09/21/2007		5,000		4,977
5.230% due 11/13/2007		37,600		37,431
5.235% due 11/13/2007		104,500		103,665
5.245% due 11/13/2007		12,800		12,651
5.255% due 11/13/2007		12,800		12,630
ING U.S. Funding LLC
5.225% due 09/21/2007		37,300		37,143
Intesa Funding LLC
5.240% due 09/05/2007		67,900		67,227
KFW International Finance, Inc.
5.210% due 07/20/2007		4,700		4,688
Natixis S.A.
5.225% due 09/21/2007		122,400		121,760
5.230% due 09/21/2007		39,800		39,540
5.240% due 09/21/2007		221,200		219,500
5.250% due 09/21/2007		144,000		142,554
Nordea N.A., Inc.
5.225% due 07/26/2007		10,000		9,965
5.240% due 07/26/2007		9,400		9,367
5.308% due 04/09/2009		432,700		432,700
Rabobank USA Financial Corp.
5.330% due 07/26/2007		4,900		4,900
San Paolo IMI U.S. Financial Co.
5.225% due 08/08/2007		24,200		24,095
5.230% due 08/08/2007		127,900		127,324
5.245% due 08/08/2007		60,300		59,975
5.330% due 08/08/2007		3,000		3,000
Santander Hispano Finance Delaware
5.250% due 09/26/2007		58,600		57,841
Societe Generale NY
5.180% due 11/26/2007		7,600		7,435
5.190% due 11/26/2007		305,200		302,956
5.195% due 11/26/2007		34,500		34,321
5.210% due 11/26/2007		182,000		179,709
5.225% due 11/26/2007		107,300		105,884
5.226% due 11/26/2007		69,800		69,445
5.240% due 11/26/2007		43,500		42,993
5.245% due 11/26/2007		31,300		30,922
5.250% due 11/26/2007		25,300		24,966
Stadshypoket Delaware, Inc.
5.205% due 09/11/2007		7,700		7,644
5.230% due 09/11/2007		194,600		193,487
5.240% due 09/11/2007		16,700		16,520
Statens Bostadsfin Bank
5.190% due 09/14/2007		10,200		10,134
Svenska Handelsbanken, Inc.
5.130% due 10/09/2007		2,100		2,085
5.200% due 10/09/2007		13,000		12,908
5.203% due 10/09/2007		9,900		9,828
5.225% due 08/06/2007		5,700		5,671
Swedbank AB
5.205% due 09/06/2007		12,000		11,924
5.205% due 10/19/2007		170,800		169,058
5.225% due 09/06/2007		15,200		15,118
5.230% due 10/19/2007		148,100		146,010
5.235% due 09/06/2007		22,030		21,820
5.240% due 10/19/2007		5,600		5,544
5.245% due 10/19/2007		2,000		1,985
5.250% due 10/19/2007		2,300		2,277
Time Warner, Inc.
5.410% due 09/17/2007		89,320		88,279
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		7,000		7,000
Toyota Motor Credit Corp.
5.190% due 09/14/2007		5,000		4,974
UBS Finance Delaware LLC
5.200% due 10/23/2007		24,500		24,257
5.215% due 10/23/2007		2,100		2,076
5.225% due 10/23/2007		10,000		9,955
5.230% due 10/23/2007		22,600		22,344
5.235% due 10/23/2007		16,000		15,842
5.240% due 10/23/2007		61,600		60,754
5.350% due 10/23/2007		26,100		26,100
Unicredit Delaware, Inc.
5.205% due 09/10/2007		31,200		30,868
Unicredito Italiano SpA
5.185% due 01/22/2008		4,000		3,913
5.190% due 01/22/2008		49,000		48,302
5.195% due 01/22/2008		120,500		119,891
5.200% due 01/22/2008		1,000		983
5.235% due 01/22/2008		89,100		88,627
5.240% due 01/22/2008		126,600		125,937
Westpac Banking Corp.
5.170% due 11/05/2007		800		787
5.195% due 11/05/2007		9,500		9,458
5.205% due 11/05/2007		57,000		56,427
5.210% due 11/05/2007		34,100		33,737
5.230% due 11/05/2007		17,900		17,822
5.240% due 11/05/2007		27,400		27,077
Westpac Trust Securities NZ Ltd.
5.210% due 10/19/2007		12,000		11,805
				6,732,110
Tri-Party Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 07/02/2007		224,076		224,076
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.500% - 5.400% due 09/18/2008 - 10/14/2008 valued at $228,560. Repurchase proceeds are $224,167.)
U.S. Treasury Bills 1.1%
4.650% due 07/12/2007 - 10/04/2007 (d)(f)(g)(j)		1,084,090		1,073,040
Total Short-Term Instruments (Cost $13,282,871)				13,283,493
Purchased Options (l) 0.2% (Cost $625,388)				222,099
Total Investments (i) 103.5% (Cost $107,209,304)			$	105,688,835
Written Options (m) (0.2%) (Premiums $607,918)				(218,828	)
Other Assets and Liabilities (Net) (3.1%)				(3,200,054	)
Net Assets 100.0%			$	102,269,953

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 $224,106 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(g) Securities with an aggregate market value of $1,697 have been pledged as collateral for delayed-delivery securities on June 30, 2007.

(h) Securities with an aggregate market value of $541,442 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2007.

(i) As of June 30, 2007, portfolio securities with an aggregate value of $1,535,092 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(j) Securities with an aggregate market value of $701,573 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	19,841	$	(28,228	)
90-Day Euribor December Futures	Long	12/2008	7,374		(16,521	)
90-Day Euribor June Futures	Long	06/2008	17,653		(37,983	)
90-Day Euribor March Futures	Long	03/2008	6,766		(13,388	)
90-Day Euribor September Futures	Long	09/2008	14,916		(17,135	)
90-Day Eurodollar December Futures	Long	12/2007	166,969		(171,766	)
90-Day Eurodollar December Futures	Long	12/2008	72,481		(25,344	)
90-Day Eurodollar December Futures	Long	12/2009	358		119
90-Day Eurodollar June Futures	Long	06/2008	257,645		(267,199	)
90-Day Eurodollar June Futures	Long	06/2009	358		139
90-Day Eurodollar March Futures	Long	03/2008	208,894		(212,069	)
90-Day Eurodollar March Futures	Long	03/2009	6,396		(9,356	)
90-Day Eurodollar March Futures	Long	03/2010	358		113
90-Day Eurodollar September Futures	Long	09/2008	44,730		(17,600	)
90-Day Eurodollar September Futures	Long	09/2009	358		131
90-Day Euroyen December Futures	Long	12/2007	9,678		(2,035	)
Euro-Bund 10-Year Note September Futures	Short	09/2007	27,772		33,358
U.S. Treasury 10-Year Note September Futures	Short	09/2007	46,244		22,300
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	2,951		(839	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	16,436		(37,280	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	1,090		(1,884	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	16,227		(30,155	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	25,090		(47,229	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	7,888		(16,945	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	6,143		(14,393	)
				$	(911,189	)

(k) Swap agreements outstanding on June 30, 2007:

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	%	09/20/2007	JPY	8,849,000	$	358
Bank of America	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.350	%	09/20/2007	$	10,000		46
Bank of America	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.750	%	12/20/2007		10,000		33
Bank of America	General Motors Acceptance Corp. 7.000% due 02/01/2012	Sell	0.550	%	03/20/2008		11,000		(35	)
Bank of America	Ryland Group, Inc. 5.375% due 06/01/2008	Buy	(0.370	%)	06/20/2008		2,500		1
Bank of America	Yum! Brands, Inc. 7.650% due 05/15/2008	Buy	(0.080	%)	06/20/2008		3,200		0
Bank of America	May Department Stores Co. 4.800% due 07/15/2009	Buy	(0.190	%)	09/20/2009		5,000		6
Bank of America	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.195	%	03/20/2010		50,000		148
Bank of America	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.193	%	03/20/2010		50,000		119
Bank of America	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.260% due 04/20/2010	Buy	(0.170	%)	06/20/2010		50,000		50
Bank of America	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.750	%	09/20/2010		5,000		500
Bank of America	RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.250	%)	06/20/2011		10,700		(134	)
Bank of America	PPL Energy Supply LLC 6.400% due 11/01/2011	Buy	(0.435	%)	12/20/2011		15,000		(18	)
Bank of America	BHP Billiton Finance Ltd. 5.125% due 03/29/2012	Buy	(0.135	%)	03/20/2012		10,000		(2	)
Bank of America	Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Buy	(0.380	%)	12/20/2012		10,000		(20	)
Bank of America	CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.690	%)	12/20/2014		10,600		(82	)
Bank of America	Boston Scientific Corp. 6.400% due 06/15/2016	Buy	(0.910	%)	06/20/2016		10,500		170
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		70,000		608
Barclays Bank PLC	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	0.620	%	09/20/2007		88,300		5
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.500	%	12/20/2007		25,000		28
Barclays Bank PLC	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008		12,000		(3	)
Barclays Bank PLC	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008		29,000		14
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		9,000		27
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		800		2
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009		4,440		(4	)
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.630	%	03/20/2009		14,600		49
Barclays Bank PLC	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.275	%	05/20/2009		17,000		(3	)
Barclays Bank PLC	Sealed Air Corp. 6.950% due 05/15/2009	Buy	(0.200	%)	06/20/2009		10,500		(13	)
Barclays Bank PLC	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.295	%)	09/20/2011		15,000		30
Barclays Bank PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.535	%)	09/20/2011		15,000		(165	)
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.980	%	01/20/2012		15,000		247
Barclays Bank PLC	iStar Financial, Inc. 5.150% due 03/01/2012	Buy	(0.400	%)	03/20/2012		10,000		59
Barclays Bank PLC	XL Capital Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	03/20/2012		10,600		0
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.620	%	03/20/2013		20,900		895
Barclays Bank PLC	CitiFinancial, Inc. 6.625% due 06/01/2015	Buy	(0.145	%)	06/20/2015		11,000		23
Barclays Bank PLC	PSEG Power LLC 5.500% due 12/01/2015	Buy	(0.520	%)	12/20/2015		8,000		(49	)
Barclays Bank PLC	Cardinal Health, Inc. 5.800% due 10/15/2016	Buy	(0.420	%)	12/20/2016		13,000		193
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.320	%	09/20/2007		8,200		37
Bear Stearns & Co., Inc.	BellSouth Corp. 4.200% due 09/15/2009	Buy	(0.140	%)	09/20/2009		5,000		(9	)
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 4.875% due 06/15/2010	Buy	(0.520	%)	06/20/2010		10,000		(90	)
Bear Stearns & Co., Inc.	CSX Corp. 6.750% due 03/15/2011	Buy	(0.165	%)	03/20/2011		10,600		41
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 5.875% due 03/15/2011	Buy	(0.655	%)	03/20/2011		10,000		(144	)
Bear Stearns & Co., Inc.	DaimlerChrysler N.A. Holding Corp. 5.875% due 03/15/2011	Buy	(0.520	%)	03/20/2011		10,000		(100	)
Bear Stearns & Co., Inc.	GATX Financial Corp. 6.273% due 06/15/2011	Buy	(0.220	%)	06/20/2011		10,500		22
Bear Stearns & Co., Inc.	Ryder System, Inc. 5.950% due 05/02/2011	Buy	(0.270	%)	06/20/2011		5,300		11
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011		10,000		(69	)
Bear Stearns & Co., Inc.	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011		10,300		(37	)
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.160	%)	12/20/2011		10,000		58
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011		10,000		62
Bear Stearns & Co., Inc.	General Mills, Inc. 6.000% due 02/15/2012	Buy	(0.180	%)	03/20/2012		10,400		(4	)
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.390	%)	03/20/2012		15,400		(15	)
Bear Stearns & Co., Inc.	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	03/20/2012		8,200		(1	)
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 6.250% due 06/01//2012	Buy	(0.170	%)	06/20/2012		10,400		75
Bear Stearns & Co., Inc.	CBS Corp. 5.625% due 08/15/2012	Buy	(0.590	%)	09/20/2012		15,000		(126	)
Bear Stearns & Co., Inc.	Comcast Corp. 5.300% due 01/15/2014	Buy	(0.390	%)	03/20/2014		15,000		(46	)
Bear Stearns & Co., Inc.	Maytag Corp. 5.000% due 05/15/2015	Buy	(0.460	%)	06/20/2015		10,000		66
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		113
Bear Stearns & Co., Inc.	Comcast Corp. 5.900% due 03/15/2016	Buy	(0.535	%)	03/20/2016		15,000		(94	)
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	%)	03/20/2016		10,000		71
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	03/20/2016		20,000		(175	)
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.300	%)	03/20/2016		9,800		(39	)
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016		20,000		(52	)
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		10,000		0
Bear Stearns & Co., Inc.	PMI Group, Inc. 6.000% due 09/15/2016	Buy	(0.460	%)	09/20/2016		9,500		93
Bear Stearns & Co., Inc.	ABX Financing Co. 5.750% due 10/15/2016	Buy	(0.530	%)	12/20/2016		10,000		(112	)
Bear Stearns & Co., Inc.	ONEOK Partners LP 6.150% due 10/01/2016	Buy	(0.660	%)	12/20/2016		10,200		(161	)
Bear Stearns & Co., Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.230	%	02/20/2017		10,000		207
BNP Paribas Bank	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	0.560	%	03/20/2008		10,000		(31	)
BNP Paribas Bank	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.450	%	06/20/2011		10,000		565
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		93
Citibank N.A.	Delhaize America, Inc. 9.000% due 04/15/2031	Sell	0.130	%	03/20/2008		10,000		2
Citibank N.A.	El Paso Corp. 7.875% due 06/15/2012	Sell	0.210	%	03/20/2008		10,000		(30	)
Citibank N.A.	Reynolds American, Inc. 7.625% due 06/01/2016	Sell	0.150	%	03/20/2008		10,000		5
Citibank N.A.	Williams Cos., Inc. 7.125% due 09/01/2011	Sell	0.230	%	03/20/2008		10,000		(3	)
Citibank N.A.	Newell Rubbermaid, Inc. 4.000% due 05/01/2010	Buy	(0.130	%)	06/20/2010		14,000		0
Citibank N.A.	Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.260	%)	06/20/2012		15,000		75
Citibank N.A.	CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.470	%)	12/20/2014		10,200		58
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.360	%	09/20/2007		20,000		93
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.890	%	12/20/2007		20,000		(21	)
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		14,400		(11	)
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.080	%	03/20/2008		10,000		(11	)
Credit Suisse First Boston	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	0.950	%	03/20/2008		10,000		(2	)
Credit Suisse First Boston	CenterPoint Energy, Inc. 5.875% due 06/01/2008	Buy	(0.170	%)	06/20/2008		10,300		(11	)
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.400	%	09/20/2008		10,000		365
Credit Suisse First Boston	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009		500		0
Credit Suisse First Boston	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.220	%	03/20/2009		2,200		2
Credit Suisse First Boston	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.270	%	03/20/2009		8,600		(2	)
Credit Suisse First Boston	May Department Stores Co. 4.800% due 07/15/2009	Buy	(0.160	%)	09/20/2009		10,000		18
Credit Suisse First Boston	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.160	%	09/20/2010		3,000		248
Credit Suisse First Boston	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.170	%	09/20/2010		5,000		414
Credit Suisse First Boston	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.650	%	09/20/2010		2,000		194
Credit Suisse First Boston	Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.160	%)	03/20/2011		10,000		(6	)
Credit Suisse First Boston	CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.250	%)	09/20/2011		10,200		(24	)
Credit Suisse First Boston	Health Care Property Investors, Inc. 5.950% due 09/15/2011	Buy	(0.530	%)	09/20/2011		7,350		(57	)
Credit Suisse First Boston	John Deere Capital Corp. 5.650% due 07/25/2011	Buy	(0.140	%)	09/20/2011		9,000		(11	)
Credit Suisse First Boston	Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.550	%)	12/20/2011		20,000		(226	)
Credit Suisse First Boston	Packaging Corp. of America 5.750% due 08/01/2013	Buy	(0.940	%)	09/20/2013		10,000		(118	)
Credit Suisse First Boston	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	2.090	%	05/20/2016		10,000		732
Credit Suisse First Boston	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.200	%	02/20/2017		14,400		266
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.550	%	09/20/2007		10,000		51
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.065	%	12/20/2007		100,000		(37	)
Deutsche Bank AG	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.260	%	12/20/2007		3,000		1
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.065	%	03/20/2008		200,000		(139	)
Deutsche Bank AG	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.070	%	03/20/2008		100,000		(66	)
Deutsche Bank AG	Morgan Stanley 6.600% due 04/01/2012	Sell	0.075	%	03/20/2008		50,000		(36	)
Deutsche Bank AG	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.160	%	06/20/2008		50,000		(14	)
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008		17,000		10
Deutsche Bank AG	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008		9,800		(4	)
Deutsche Bank AG	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008		13,000		9
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		14,000		43
Deutsche Bank AG	TXU Corp. 4.800% due 11/15/2009	Buy	(0.430	%)	12/20/2009		15,000		340
Deutsche Bank AG	JC Penney Corp., Inc. 8.000% due 03/01/2010	Buy	(0.270	%)	03/20/2010		17,500		(5	)
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.760	%	06/20/2011		10,000		665
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.770	%	06/20/2011		10,000		668
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.830	%	06/20/2011		10,000		688
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.920	%	06/20/2011		10,000		717
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.020	%	06/20/2011		10,000		749
Deutsche Bank AG	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.760	%	07/20/2011		300		4
Deutsche Bank AG	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.620	%	09/20/2011		25,000		1,572
Deutsche Bank AG	Nationwide Health Properties, Inc. 6.500% due 07/15/2011	Buy	(0.620	%)	09/20/2011		13,600		(106	)
Deutsche Bank AG	Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.530	%)	12/20/2011		10,000		(105	)
Deutsche Bank AG	Lennar Corp. 5.950% due 10/17/2011	Buy	(0.785	%)	12/20/2011		9,000		80
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.980	%	01/20/2012		7,500		124
Deutsche Bank AG	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.500	%	01/20/2012		8,000		135
Deutsche Bank AG	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.365	%)	03/20/2012		20,000		(87	)
Deutsche Bank AG	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	06/20/2016		26,000		349
Deutsche Bank AG	E.I. Du Pont De Nemours & Co. 5.250% due 12/15/2016	Buy	(0.210	%)	12/20/2016		10,000		63
Deutsche Bank AG	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.170	%	04/20/2017		20,000		268
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		151,040		685
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		7,400		35
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.450	%	09/20/2007		10,000		49
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.750	%	12/20/2007		10,000		33
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.045	%	03/20/2008		100,000		(2	)
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.050	%	03/20/2008		35,000		1
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	03/20/2008		90,000		5
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		77,000		1
Goldman Sachs & Co.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.050	%	03/20/2008		100,000		(6	)
Goldman Sachs & Co.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.070	%	03/20/2008		250,000		24
Goldman Sachs & Co.	Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.170	%	09/20/2010		5,000		414
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.050	%	06/20/2011		10,000		759
Goldman Sachs & Co.	International Lease Finance Corp. 5.250% due 01/10/2013	Buy	(0.200	%)	03/20/2013		15,000		(4	)
Goldman Sachs & Co.	Wells Fargo Bank N.A. 4.750% due 02/09/2015	Buy	(0.140	%)	03/20/2015		10,000		12
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		1,000,000		8,155
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		807,800		4,776
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.950	%	09/20/2007		7,500		27
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.280	%	11/20/2007		4,100		2
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.240	%	02/20/2008		33,280		29
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	04/20/2009		47,600		190
HSBC Bank USA	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.180	%	05/20/2009		15,000		(1	)
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.360	%	05/20/2009		18,000		4
HSBC Bank USA	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.250	%	05/20/2009		19,000		(2	)
HSBC Bank USA	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.520	%	05/20/2009		31,000		(10	)
HSBC Bank USA	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.760	%	01/20/2012		4,600		34
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.700	%	09/20/2007		25,000		139
JPMorgan Chase & Co.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.080	%	09/20/2007		50,000		(4	)
JPMorgan Chase & Co.	Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.090	%	09/20/2007		75,000		(4	)
JPMorgan Chase & Co.	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.080	%	09/20/2007		100,000		(13	)
JPMorgan Chase & Co.	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.090	%	09/20/2007		50,000		(5	)
JPMorgan Chase & Co.	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.100	%	09/20/2007		50,000		(4	)
JPMorgan Chase & Co.	American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.050	%	12/20/2007		101,940		7
JPMorgan Chase & Co.	Morgan Stanley 6.600% due 04/01/2012	Sell	0.070	%	12/20/2007		60,000		(26	)
JPMorgan Chase & Co.	TRW, Inc. 6.250% due 01/15/2010	Buy	(0.110	%)	03/20/2010		5,000		(5	)
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.150	%	06/20/2010		10,000		456
JPMorgan Chase & Co.	Simon Property Group LP 4.600% due 06/15/2010	Buy	(0.180	%)	06/20/2010		8,000		(15	)
JPMorgan Chase & Co.	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.440% due 01/21/2011	Buy	(0.340	%)	03/20/2011		10,000		(39	)
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.600	%	06/20/2011		15,000		920
JPMorgan Chase & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.320	%	06/20/2011		10,000		847
JPMorgan Chase & Co.	Gannett Co., Inc. 5.750% due 06/01/2011	Buy	(0.330	%)	06/20/2011		10,300		13
JPMorgan Chase & Co.	Mattel, Inc. 6.125% due 06/15/2011	Buy	(0.400	%)	06/20/2011		10,300		(73	)
JPMorgan Chase & Co.	Whirlpool Corp. 6.125% due 06/15/2011	Buy	(0.360	%)	06/20/2011		12,500		(54	)
JPMorgan Chase & Co.	Health Care Property Investors, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	09/20/2011		5,000		(54	)
JPMorgan Chase & Co.	Xstrata Finance Canada Ltd. 5.500% due 11/16/2011	Buy	(0.290	%)	12/20/2011		11,250		(13	)
JPMorgan Chase & Co.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.730	%	01/20/2012		12,600		77
JPMorgan Chase & Co.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.280	%	03/20/2016		10,000		53
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016		6,950		236
JPMorgan Chase & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.800	%	03/20/2016		22,400		336
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		434,000		3,090
JPMorgan Chase & Co.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.250	%	01/20/2017		2,800		63
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.150	%	09/20/2007		5,000		20
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		7,800		37
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.500	%	09/20/2007		10,600		53
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.550	%	09/20/2007		15,000		77
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.410	%	11/20/2007		50,000		60
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.900	%	12/20/2007		20,000		(20	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		25,900		(20	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.850	%	12/20/2007		20,000		76
Lehman Brothers, Inc.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.050	%	03/20/2008		250,000		4
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	0.520	%	03/20/2008		20,000		(69	)
Lehman Brothers, Inc.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.550	%	03/20/2008		10,000		42
Lehman Brothers, Inc.	Pulte Homes, Inc. 7.875% due 08/01/2011	Sell	0.170	%	03/20/2008		10,000		(7	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 6.625% due 06/16/2008	Buy	(1.070	%)	06/20/2008		37,000		100
Lehman Brothers, Inc.	Proctor & Gamble Co. 4.950% due 08/15/2014	Sell	0.070	%	09/20/2008		370,000		187
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008		3,500		1
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		17
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	12/20/2008		29,000		82
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.320	%	03/20/2009		4,900		9
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	03/20/2009		12,800		13
Lehman Brothers, Inc.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.190	%	03/20/2010		50,000		116
Lehman Brothers, Inc.	People’s Republic of China Government International Bond 4.750% due 10/29/2013	Sell	0.230	%	03/20/2010		50,000		201
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.875% due 06/15/2010	Buy	(2.310	%)	06/20/2010		40,000		93
Lehman Brothers, Inc.	Newell Rubbermaid, Inc. 4.000% due 05/01/2010	Buy	(0.190	%)	06/20/2010		10,000		(17	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.760	%	03/20/2011		10,000		654
Lehman Brothers, Inc.	Anadarko Finance Co. 6.750% due 05/01/2011	Buy	(0.260	%)	06/20/2011		10,600		2
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.050	%	06/20/2011		10,000		759
Lehman Brothers, Inc.	Kellogg Co. 6.600% due 04/01/2011	Buy	(0.110	%)	06/20/2011		10,500		9
Lehman Brothers, Inc.	Transocean, Inc. 6.625% due 04/15/2011	Buy	(0.280	%)	06/20/2011		5,600		(21	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.430	%	10/20/2011		25,000		818
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011		2,500		48
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.140	%	11/20/2011		50,000		992
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011		44,300		565
Lehman Brothers, Inc.	EnCana Corp. 6.300% due 11/01/2011	Buy	(0.230	%)	12/20/2011		10,300		(28	)
Lehman Brothers, Inc.	International Lease Finance Corp. 5.400% due 02/15/2012	Buy	(0.170	%)	03/20/2012		20,000		(6	)
Lehman Brothers, Inc.	Sprint Capital Corp. 8.375% due 03/15/2012	Buy	(0.545	%)	03/20/2012		11,000		(8	)
Lehman Brothers, Inc.	WellPoint, Inc. 6.375% due 1/15/2012	Buy	(0.100	%)	03/20/2012		10,800		37
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.720	%	05/20/2013		30,000		1,358
Lehman Brothers, Inc.	Miller Brewing Co. 5.500% due 08/15/2013	Buy	(0.400	%)	09/20/2013		15,000		(75	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.210	%	01/20/2014		25,000		571
Lehman Brothers, Inc.	BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014		35,000		(161	)
Lehman Brothers, Inc.	PC Financial Partnership 5.000% due 11/15/2014	Buy	(0.480	%)	12/20/2014		10,000		(27	)
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.920	%	03/20/2016		25,000		1,615
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.980	%	03/20/2016		6,900		475
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016		41,200		1,397
Lehman Brothers, Inc.	PMI Group, Inc. 6.000% due 09/15/2016	Buy	(0.420	%)	09/20/2016		15,000		189
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		198
Lehman Brothers, Inc.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.170	%	04/20/2017		20,000		269
Merrill Lynch & Co., Inc.	Xerox Corp. 9.750% due 01/15/2009	Buy	(0.120	%)	01/20/2009		10,500		5
Merrill Lynch & Co., Inc.	Residential Capital LLC 6.500% due 04/17/2013	Sell	1.130	%	06/20/2009		25,000		(304	)
Merrill Lynch & Co., Inc.	Enterprise Products Operating LP 7.500% 02/01/2011	Buy	(0.200	%)	03/20/2011		10,700		20
Merrill Lynch & Co., Inc.	FirstEnergy Corp. 6.450% due 11/15/2011	Buy	(0.130	%)	12/20/2011		10,000		24
Merrill Lynch & Co., Inc.	ORIX Corp. 5.480% due 11/22/2011	Buy	(0.280	%)	12/20/2011		20,000		(68	)
Merrill Lynch & Co., Inc.	International Lease Finance Corp. 5.350% due 03/01/2012	Buy	(0.130	%)	03/20/2012		20,000		30
Merrill Lynch & Co., Inc.	Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.290	%)	06/20/2012		5,000		(1	)
Merrill Lynch & Co., Inc.	MDC Holdings, Inc. 7.000% due 12/01/2012	Buy	(1.350	%)	12/20/2012		10,500		(115	)
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.710	%	05/20/2013		15,000		672
Merrill Lynch & Co., Inc.	Exelon Corp. 4.900% due 06/15/2015	Buy	(0.520	%)	06/20/2015		10,000		31
Merrill Lynch & Co., Inc.	Dominion Resources, Inc. 5.200% due 01/15/2016	Buy	(0.430	%)	03/20/2016		15,000		(96	)
Merrill Lynch & Co., Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	04/20/2016		300		20
Merrill Lynch & Co., Inc.	Health Care Property Investors, Inc. 6.300% due 09/15/2016	Buy	(0.650	%)	09/20/2016		13,500		15
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		13
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.200	%	09/20/2007		5,900		25
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.250	%	09/20/2007		10,400		45
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.750	%	12/20/2007		10,000		33
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.260	%	12/20/2007		58,000		12
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.480	%	12/20/2007		47,800		50
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.750	%	03/20/2008		15,000		(58	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		41,800		(5	)
Morgan Stanley	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.050	%	09/20/2008		1,400		(3	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.305	%	12/20/2008		43,000		10
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009		23,580		82
Morgan Stanley	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.450	%	03/20/2009		14,300		8
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009		3,500		4
Morgan Stanley	International Paper Co. 4.000% due 04/01/2010	Buy	(0.190	%)	03/20/2010		9,700		(1	)
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	03/20/2011		10,000		651
Morgan Stanley	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.500	%	06/20/2011		20,000		1,162
Morgan Stanley	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	06/20/2011		5,200		(68	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.140	%	11/20/2011		50,000		992
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.870	%	11/20/2011		50,000		678
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.750	%	01/20/2012		44,400		311
Morgan Stanley	AmerisourceBergen Corp. 5.625% due 09/15/2012	Buy	(0.600	%)	09/20/2012		10,000		(25	)
Morgan Stanley	Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	09/20/2012		5,000		3
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.660	%	03/20/2013		47,000		2,109
Morgan Stanley	Kroger Co. 5.500% due 02/01/2013	Buy	(0.530	%)	03/20/2013		5,000		(12	)
Morgan Stanley	Wyeth 5.500% due 03/15/2013	Buy	(0.150	%)	03/20/2013		10,000		(7	)
Morgan Stanley	Masco Corp. 7.125% due 08/15/2013	Buy	(0.680	%)	09/20/2013		10,800		3
Morgan Stanley	Toll Brothers Finance Corp. 5.950% due 09/15/2013	Buy	(1.390	%)	09/20/2013		9,800		(80	)
Morgan Stanley	iStar Financial, Inc. 5.950% due 10/15/2013	Buy	(0.600	%)	12/20/2013		10,000		23
Morgan Stanley	Plains All American Pipeline LP 5.625% due 12/15/2013	Buy	(0.550	%)	12/20/2013		10,000		(89	)
Morgan Stanley	Comcast Corp. 5.300% due 01/15/2014	Buy	(0.360	%)	03/20/2014		11,500		(16	)
Morgan Stanley	PPL Energy Supply LLC 5.700% due 10/15/2015	Buy	(0.600	%)	12/20/2015		5,000		31
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.780	%	03/20/2016		22,400		304
Morgan Stanley	Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.380	%)	06/20/2016		9,600		(4	)
Morgan Stanley	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.520	%	01/20/2017		6,000		236
Royal Bank of Scotland Group PLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.750	%	12/20/2007		40,000		132
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.310	%	12/20/2007		4,800		3
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	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.450	%	06/20/2009		32,000		14
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	%)	09/20/2009		18,000		(78	)
Royal Bank of Scotland Group PLC	WellPoint, Inc. 5.000% due 1/15/2011	Buy	(0.165	%)	03/20/2011		11,000		(9	)
Royal Bank of Scotland Group PLC	General Motors Acceptance Corp. 6.000% due 04/01/2011	Buy	(1.250	%)	06/20/2011		15,000		265
Royal Bank of Scotland Group PLC	CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	09/20/2011		6,200		(12	)
Royal Bank of Scotland Group PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.480	%)	09/20/2011		10,000		(89	)
Royal Bank of Scotland Group PLC	Kerr-McGee Corp. 6.875% due 09/15/2011	Buy	(0.160	%)	09/20/2011		10,500		(18	)
Royal Bank of Scotland Group PLC	Landsbanki Islands HF 6.100% due 08/25/2011	Buy	(0.395	%)	09/20/2011		10,300		(74	)
Royal Bank of Scotland Group PLC	Simon Property Group LP 5.600% due 09/01/2011	Buy	(0.220	%)	09/20/2011		5,100		(12	)
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.310	%	12/20/2011		44,300		620
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.330	%	12/20/2011		50,000		739
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.085	%	03/20/2012		24,270		81
Royal Bank of Scotland Group PLC	Nisource Finance Corp. 6.150% due 03/01/2013	Buy	(0.540	%)	03/20/2013		12,400		(60	)
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.810	%)	12/20/2015		10,000		(156	)
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		170
Royal Bank of Scotland Group PLC	Time Warner, Inc. 5.875% due 11/15/2016	Buy	(0.700	%)	12/20/2016		12,000		(140	)
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		5,000		24
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.720	%	09/20/2007		25,000		140
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.900	%	12/20/2007		20,000		(20	)
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.750	%	12/20/2007		30,000		99
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.800	%	12/20/2007		20,000		71
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	5.350	%	12/20/2010		10,000		815
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.750	%	03/20/2011		5,000		325
UBS Warburg LLC	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.500	%)	06/20/2011		10,000		27
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.470	%	06/20/2011		25,000		1,428
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	4.800	%	06/20/2011		25,000		1,695
UBS Warburg LLC	Capital One Financial Corp. 5.700% due 09/15/2011	Buy	(0.350	%)	09/20/2011		10,000		(1	)
UBS Warburg LLC	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		89
								$	55,714

⁽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	7.000	%	12/15/2009	AUD	285,300	$	(150	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	485,600		2,821
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		126,400		877
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	12.860	%	01/04/2010		7,100		161
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		148,200		983
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		203,900		4,158
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	14.370	%	01/04/2010		193,200		7,011
Morgan Stanley	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		170,000		1,128
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		427,800		7,911
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	50,700		757
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		105,800		(2,642	)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012		34,200		(356	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		65,400		786
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	5.000	%	12/19/2009		745,400		(253	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		562,700		11,344
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	12/19/2017		175,800		(908	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		290,700		(2,097	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		74,100		(644	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		266,400		(2,398	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		261,440		(2,755	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		74,030		(702	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.950	%	03/30/2012		75,400		(753	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		58,500		964
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	752,700		(7,385	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		2,418,300		(32,997	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		971,000		(23,419	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/16/2011		1,930		(182	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		92,900		8,596
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		258,300		55,610
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		100,500		(2,376	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		417,800		(4,222	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		863,700		(21,122	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		2,493,700		(7,853	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		166,100		9,530
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		1,774,100		(27,089	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		387,000		(8,483	)
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		325,000		(21,638	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		214,800		41,915
Lehman Brothers, Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		130,500		(8,683	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		154,700		(10,316	)
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		54,200		5,135
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		385,600		(5,672	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		396,000		(11,233	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		626,300		(2,373	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		359,300		76,614
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		41,900		2,058
UBS Warburg LLC	6-Month GBP-LIBOR	Pay	4.500	%	09/20/2009		250,000		(16,690	)
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	38,530,000		(837	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		284,820,000		(1,481	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		61,800,000		(898	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/19/2008		679,100,000		(1,943	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		21,670,000		(90	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		551,660,000		(8,971	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016	MXN	190,000		735
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		814,300		1,770
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		921,900		694
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012		614,000		(512	)
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		488,500		952
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/12/2016		483,200		2,431
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009	$	3,701,400		(31,525	)
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		2,001,100		167
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		519,100		4,826
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		2,015,190		(18,748	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		40,310		(45	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/20/2026		4,100		(13	)
Citibank N.A.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2037		89,330		(7,899	)
Credit Suisse First Boston	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		82,300		(456	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		7,112,800		(15,371	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		16,797,400		(84,606	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		3,084,700		4,819
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		1,491,900		(11,344	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		287,970		3,557
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		518,150		(582	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2017		167,700		4,095
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2017		37,000		278
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		67,350		(966	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		8,900		(70	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		2,437,400		(19,290	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		969,680		(6,334	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		30,800		504
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		17,168,400		(46,327	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		2,981,900		(16,163	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		2,139,120		(15,290	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	0.000	%	06/20/2037		160,000		(5,620	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		112,600		1,812
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		1,438,400		(12,409	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	12/20/2026		38,700		(138	)
								$	(268,320	)

(l) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar June Futures	$	92.250	06/16/2008	100	$	1	$	0
Put - CME 90-Day Eurodollar September Futures		90.250	09/17/2007	25,000		237		0
Put - CME 90-Day Eurodollar September Futures		90.500	09/17/2007	33,374		317		0
Put - CME 90-Day Eurodollar September Futures		90.750	09/17/2007	40,000		380		0
Put - CME 90-Day Eurodollar September Futures		91.000	09/17/2007	42,501		404		0
					$	1,339	$	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	%	07/02/2007	EUR	815,000	$	3,751	$	0
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	3.960	%	07/02/2007		3,827,000		21,655		0
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.100	%	07/02/2007		1,849,000		10,304		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Pay	3.960	%	07/02/2007		1,748,000		8,450		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	08/08/2007	$	2,331,000		9,493		25
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		1,143,000		5,029		38
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		733,600		2,843		1,177
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.200	%	02/01/2008		6,900,000		35,363		18,733
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		8,429,000		40,690		16,583
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.250	%	08/08/2007		3,984,000		3,910		3,300
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		955,000		2,746		283
Call - OTC 2-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		1,150,000		6,900		1,420
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	08/08/2007		2,744,000		6,131		0
Call - OTC 2-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		4,600,000		20,930		7,378
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		7,680,300		40,650		9,484
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		12,079,200		43,039		23,764
Call - OTC 1-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		1,955,000		5,621		583
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	07/02/2007		547,000		2,263		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		1,501,200		3,903		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	07/02/2007		9,738,000		51,435		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		4,422,000		10,005		1
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/08/2007		5,433,000		6,927		12
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		1,625
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		7,117,400		35,293		11,416
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		21,448,900		122,781		26,487
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		4,753,400		18,342		9,352
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		8,900,700		31,380		20,202
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		5,655,400		16,193		19,138
									$	579,479	$	171,001

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	103.800	03/17/2010	$	90,000	$	3,921	$	6,931
Put - OTC U.S. dollar versus Japanese yen		103.800	03/17/2010		90,000		3,921		2,228
Call - OTC U.S. dollar versus Japanese yen		104.650	03/31/2010		73,000		3,321		5,202
Put - OTC U.S. dollar versus Japanese yen		104.650	03/31/2010		73,000		2,840		1,962
Call - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		86,000		3,620		5,855
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		86,000		3,621		2,408
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		278,000		11,663		18,608
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		278,000		11,663		7,904
						$	44,570	$	51,098

(m) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.000	08/24/2007	28,554	$	9,163	$	17,400
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	15,757		4,933		4,186
Call - CBOT U.S. Treasury 10-Year Note September Futures		108.000	08/24/2007	3,743		762		409
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	5,291		627		248
Put - CBOT U.S. Treasury 10-Year Note September Futures		103.000	08/24/2007	6,876		3,727		752
Put - CBOT U.S. Treasury 10-Year Note September Futures		104.000	08/24/2007	21,388		8,286		4,679
Put - CBOT U.S. Treasury 10-Year Note September Futures		105.000	08/24/2007	24,785		8,624		11,618
					$	36,122	$	39,292

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	%	07/02/2007	EUR	310,000	$	3,714	$	0
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.100	%	07/02/2007		1,625,000		21,903		0
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.230	%	07/02/2007		785,000		10,124		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Receive	4.100	%	07/02/2007		741,000		8,366		0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007	$	1,013,000		8,914		59
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		319,000		2,855		1,142
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	5.280	%	02/01/2008		3,000,000		34,875		16,766
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		3,666,900		41,140		18,470
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.570	%	08/08/2007		996,000		4,053		4,419
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		220,400		2,744		463
Call - OTC 5-Year Interest Rate Swap	Citibank N.A.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		500,000		6,695		1,528
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	08/08/2007		450,000		6,131		8
Call - OTC 5-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		2,000,000		21,580		7,156
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		3,302,000		38,898		10,090
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		5,253,400		43,835		26,461
Call - OTC 5-Year Interest Rate Swap	Morgan Stanley	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		429,600		5,349		903
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	07/02/2007		343,200		3,707		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	07/02/2007		235,100		2,457		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	07/02/2007		4,234,100		51,590		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		1,013,000		6,762		59
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		737,000		8,549		23
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	08/08/2007		381,000		4,338		32
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		1,945
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		3,094,100		37,129		11,071
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		7,321,100		93,842		22,372
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		1,981,000		24,366		6,775
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		2,070,900		18,391		10,431
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		2,935,300		30,220		20,860
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		1,885,200		15,856		18,504
									$	571,796	$	179,537

(n) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Citigroup Mortgage Loan Trust, Inc.	5.390	%	05/25/2037	05/16/2007	$	32,257	$	32,262	0.03	%
DLJ Mortgage Acceptance Corp.	4.488	%	08/01/2021	07/21/1992		438		430	0.00	%
Goldman Sachs Group, Inc.	6.000	%	12/31/2007	06/24/1993		1,380		1,365	0.00	%
Mazda Manufacturing Corp.	10.500	%	07/01/2008	08/30/1993		501		487	0.00	%
Mazda Motor Corp.	10.500	%	07/01/2008	03/14/2003		56		53	0.00	%
Southbridge, Massachusetts Associates LLC Revenue Bonds, (MBIA Insured), Series 2000	7.590	%	02/01/2022	10/10/2000		30,629		35,116	0.04	%
United Airlines, Inc.	11.080	%	05/27/2024	12/28/2001		825		1	0.00	%
United Telecom, Inc.	6.890	%	07/01/2008	09/22/2003		708		698	0.00	%
United Telephone Co. of the Northwest	6.890	%	07/01/2008	05/02/2002		2,723		2,751	0.00	%
Wilmington Trust Corp.	10.500	%	07/01/2008	03/14/2003		176		172	0.00	%
					$	69,693	$	73,335	0.07	%

(o) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	07/01/2022	$	344,000	$	331,745	$	332,444
Fannie Mae	5.000	%	07/01/2037		513,000		479,496		480,697
Fannie Mae	6.500	%	07/01/2037		1,014,800		1,027,069		1,024,472
U.S. Treasury Notes	4.500	%	05/15/2017		2,887,650		2,720,061		2,791,501
U.S. Treasury Notes	4.625	%	02/15/2017		344,500		335,010		339,941
						$	4,893,381	$	4,969,055

⁽²⁾ Market value includes $28,269 of interest payable on short sales.

(p) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	60,349	05/2008	$	0	$	(35	)	$	(35	)
Buy	AUD	378,441	07/2007		1,706		0			1,706
Sell		4,654	07/2007		0		(61	)		(61	)
Buy	BRL	3,175,546	10/2007		86,776		0			86,776
Sell		4,095	10/2007		0		(127	)		(127	)
Buy		1,157,800	03/2008		18,806		0			18,806
Buy	CAD	115,081	08/2007		478		0			478
Buy	CNY	138,303	09/2007		374		0			374
Sell		138,303	09/2007		0		(19	)		(19	)
Buy		1,094,415	10/2007		2,700		0			2,700
Sell		1,094,415	10/2007		0		(113	)		(113	)
Buy		1,578,074	11/2007		1,617		(2	)		1,615
Sell		1,578,074	11/2007		162		(393	)		(231	)
Buy		744,295	01/2008		0		(734	)		(734	)
Sell		744,295	01/2008		41		(109	)		(68	)
Sell	EUR	5,173	07/2007		0		(68	)		(68	)
Sell	GBP	433,610	08/2007		0		(4,565	)		(4,565	)
Buy	IDR	692,193,600	05/2008		0		(3,250	)		(3,250	)
Buy	INR	756,651	08/2007		385		0			385
Buy		5,294,917	10/2007		571		(33	)		538
Buy		730,634	11/2007		0		(71	)		(71	)
Buy		2,569,320	05/2008		1,018		0			1,018
Sell	JPY	29,717,323	07/2007		3,484		0			3,484
Buy	KRW	140,925,120	07/2007		651		0			651
Buy		39,653,683	08/2007		0		(13	)		(13	)
Buy		162,380,285	09/2007		1,162		0			1,162
Sell		40,161,848	09/2007		0		(757	)		(757	)
Buy	KWD	4,708	05/2008		0		(67	)		(67	)
Buy	MXN	3,692,579	09/2007		10,138		0			10,138
Buy		1,188,012	03/2008		154		(9	)		145
Buy	MYR	881,465	05/2008		0		(5,763	)		(5,763	)
Buy	NZD	49,325	07/2007		942		0			942
Sell		58,583	07/2007		0		(340	)		(340	)
Buy	PHP	3,971,739	05/2008		0		(985	)		(985	)
Buy	PLN	297,973	09/2007		581		(49	)		532
Buy		208,422	03/2008		2,853		0			2,853
Buy	RUB	3,960,174	09/2007		3,413		0			3,413
Buy		3,923,577	11/2007		3,979		0			3,979
Buy		6,340,037	12/2007		5,701		0			5,701
Buy		5,775,794	01/2008		1,102		0			1,102
Buy	SAR	61,710	05/2008		0		(3	)		(3	)
Buy	SEK	400,798	09/2007		702		0			702
Buy	SGD	399,522	07/2007		0		(1,861	)		(1,861	)
Buy		357,629	08/2007		0		(4,055	)		(4,055	)
Buy		55,939	09/2007		0		(119	)		(119	)
Buy		365,764	10/2007		1,182		(129	)		1,053
Buy	ZAR	68,442	09/2007		197		0			197
				$	150,875	$	(23,730	)	$	127,145

See accompanying notes

Schedule of Investments

Total Return Fund II

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 20.5%
Banking & Finance 16.8%
American Express Bank FSB
5.380% due 10/20/2009	$	4,600	$	4,603
American Express Centurion Bank
5.320% due 05/07/2008		4,100		4,100
American Express Credit Corp.
5.380% due 11/09/2009		6,600		6,606
American International Group, Inc.
5.050% due 10/01/2015		1,000		954
5.370% due 06/16/2009		4,800		4,820
Bank of America Corp.
5.366% due 11/06/2009		2,700		2,700
Bank of America N.A.
5.355% due 07/25/2008		7,700		7,704
5.360% due 02/27/2009		4,900		4,903
6.000% due 10/15/2036		1,300		1,259
Bear Stearns Cos., Inc.
5.450% due 08/21/2009		10,000		9,992
5.655% due 01/30/2009		4,900		4,914
Citigroup Funding, Inc.
5.320% due 04/23/2009		8,600		8,604
5.350% due 12/08/2008		6,800		6,804
5.360% due 06/26/2009		3,000		2,999
Citigroup, Inc.
5.390% due 12/28/2009		4,800		4,804
5.400% due 12/26/2008		12,100		12,110
Credit Suisse First Boston
5.560% due 08/15/2010		13,987		14,055
General Electric Capital Corp.
5.385% due 10/26/2009		17,000		17,013
5.428% due 01/20/2010		9,000		9,019
5.455% due 10/21/2010		1,500		1,503
Goldman Sachs Group LP
6.078% due 01/20/2009		5,000		5,046
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		100		100
5.440% due 11/16/2009		11,400		11,413
5.450% due 12/22/2008		5,000		5,007
5.625% due 01/15/2017		5,800		5,569
HSBC Finance Corp.
5.415% due 10/21/2009		3,000		3,002
5.440% due 03/12/2010		9,100		9,099
5.640% due 11/16/2009		8,400		8,447
JPMorgan Chase & Co.
5.370% due 06/26/2009		3,300		3,304
5.396% due 05/07/2010		5,800		5,804
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		800		773
KBC Bank Funding Trust III
9.860% due 11/29/2049		12,000		13,092
Lehman Brothers Holdings, Inc.
5.410% due 12/23/2008		800		801
5.445% due 01/23/2009		6,100		6,107
5.460% due 11/16/2009		14,700		14,714
5.500% due 05/25/2010		1,700		1,700
Merrill Lynch & Co., Inc.
5.390% due 12/22/2008		3,700		3,701
5.395% due 10/23/2008		5,000		5,007
5.440% due 12/04/2009		4,800		4,803
5.450% due 08/14/2009		8,100		8,109
MetLife, Inc.
6.400% due 12/15/2036		1,500		1,394
Metropolitan Life Global Funding I
5.400% due 05/17/2010		7,500		7,505
Morgan Stanley
5.360% due 11/21/2008		3,300		3,300
5.406% due 05/07/2009		7,400		7,404
5.446% due 01/15/2010		10,900		10,907
SLM Corp.
5.495% due 07/27/2009		2,900		2,829
State Street Capital Trust IV
6.355% due 06/15/2037		600		604
UBS Preferred Funding Trust I
8.622% due 10/29/2049		19,700		21,411
USB Capital IX
6.189% due 04/15/2049		700		706
Wachovia Corp.
5.405% due 10/28/2008		6,100		6,108
5.486% due 10/15/2011		13,600		13,629
5.625% due 10/15/2016		1,300		1,268
Wells Fargo & Co.
4.625% due 08/09/2010		25,000		24,464
ZFS Finance USA Trust I
5.875% due 05/09/2032		1,600		1,582
				348,175
Industrials 2.4%
Comcast Corp.
5.875% due 02/15/2018		1,100		1,067
6.450% due 03/15/2037		1,100		1,064
Continental Airlines, Inc.
7.056% due 09/15/2009		1,600		1,621
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		9,800		9,822
5.790% due 03/13/2009		7,000		7,032
El Paso Corp.
6.750% due 05/15/2009		16,700		16,929
General Electric Co.
5.400% due 12/09/2008		5,500		5,506
General Mills, Inc.
5.485% due 01/22/2010		3,500		3,500
Tyson Foods, Inc.
6.850% due 04/01/2016		400		413
United Airlines, Inc.
6.071% due 03/01/2013		301		303
9.190% due 12/24/2013 (a)		6,927		3,810
				51,067
Utilities 1.3%
AT&T, Inc.
5.456% due 02/05/2010		2,300		2,304
BellSouth Corp.
4.240% due 04/26/2008		3,300		3,271
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		2,900		2,900
Sprint Capital Corp.
6.125% due 11/15/2008		1,200		1,207
TXU Energy Co. LLC
5.860% due 09/16/2008		7,700		7,705
Verizon Communications, Inc.
5.400% due 04/03/2009		9,100		9,107
				26,494
Total Corporate Bonds & Notes (Cost $424,695)				425,736
MUNICIPAL BONDS & NOTES 0.4%
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2043		2,000		2,130
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		960		948
Miami, Florida Rent Revenue Bonds, Series 1989
8.650% due 07/01/2019		170		195
Nevada State Truckee Meadows Water Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 07/01/2036		933		1,015
New Jersey State Economic Development Authority Revenue Bonds, (AMBAC Insured), Series 1997
0.000% due 02/15/2008		1,000		969
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		3,200		3,175
Total Municipal Bonds & Notes (Cost $8,023)				8,432
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley
0.000% due 07/07/2008		6,000		5,966
Total Commodity Index-Linked Notes (Cost $6,000)				5,966
U.S. GOVERNMENT AGENCIES 63.3%
Fannie Mae
4.500% due 06/25/2043		6,916		6,864
4.643% due 10/01/2035		6,720		6,678
4.673% due 05/25/2035		1,000		987
4.815% due 09/01/2034		1,045		1,037
4.883% due 01/01/2035		2,508		2,478
5.000% due 12/01/2016 - 07/01/2037		406,999		389,849
5.380% due 12/25/2036		2,533		2,529
5.500% due 11/01/2013 - 07/01/2037		503,107		486,984
6.000% due 05/01/2017 - 07/01/2037		255,160		252,665
6.214% due 07/01/2044		1,158		1,173
6.414% due 09/01/2040		3,983		4,055
6.500% due 07/01/2013 - 06/25/2044		1,958		1,985
6.825% due 02/01/2023		100		101
6.917% due 07/01/2020		102		102
7.000% due 04/01/2011 - 09/25/2020		60		62
7.200% due 12/01/2023		62		63
7.243% due 04/01/2024		52		52
7.245% due 01/01/2024		38		39
7.250% due 03/01/2024		2		2
7.500% due 04/01/2008		1		1
8.000% due 04/01/2015 - 10/01/2030		13		14
8.500% due 08/01/2007 - 04/01/2017		2		2
9.000% due 06/01/2010 - 06/25/2018		14		15
9.250% due 07/25/2019		186		201
9.500% due 09/01/2009		2		2
10.000% due 11/01/2021		6		6
11.000% due 09/01/2010		10		11
13.750% due 11/01/2011 - 10/01/2012		3		3
Freddie Mac
5.000% due 11/01/2018 - 12/01/2031		5,471		5,297
5.470% due 07/15/2019 - 10/15/2020		76,700		76,633
5.500% due 01/01/2018 - 07/01/2037		17,097		16,493
5.550% due 07/15/2037		26,000		25,998
6.000% due 02/01/2016 - 07/01/2037		15,659		15,558
6.227% due 02/25/2045		700		697
6.362% due 02/01/2023		47		48
6.500% due 12/01/2010		21		22
7.000% due 07/15/2022		1,558		1,560
7.294% due 12/01/2022		338		339
7.380% due 07/01/2030		80		82
7.500% due 01/15/2023 - 01/01/2026		3,553		3,659
8.000% due 11/01/2025 - 06/15/2030		1,767		1,802
9.000% due 12/15/2020		81		84
9.250% due 11/15/2019		2		2
9.500% due 02/01/2011 - 02/01/2018		12		13
10.000% due 06/01/2011 - 03/01/2021		12		13
Ginnie Mae
4.750% due 09/20/2024 - 08/20/2027		1,637		1,654
5.375% due 01/20/2024 - 06/20/2027		1,462		1,477
5.380% due 06/20/2023		303		307
5.500% due 07/20/2030		100		101
5.750% due 07/20/2027		4		4
6.000% due 01/15/2024 - 07/01/2037		2,161		2,151
6.125% due 12/20/2029		993		1,006
6.375% due 02/20/2024		589		594
7.500% due 09/15/2014 - 09/15/2025		28		29
8.000% due 07/15/2010 - 08/15/2024		88		93
9.000% due 09/15/2008 - 11/15/2017		33		36
9.500% due 01/20/2019 - 12/15/2021		14		15
Small Business Administration
7.449% due 08/01/2010		449		455
7.970% due 01/25/2025		117		115
Total U.S. Government Agencies (Cost $1,347,471)				1,314,297
U.S. TREASURY OBLIGATIONS 0.4%
Treasury Inflation Protected Securities (c)
2.000% due 01/15/2026		3,332		3,019
2.375% due 01/15/2025		2,960		2,847
3.375% due 04/15/2032		2,328		2,680
3.625% due 04/15/2028		256		296
Total U.S. Treasury Obligations (Cost $9,415)				8,842
MORTGAGE-BACKED SECURITIES 3.2%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		2,876		2,817
Banc of America Funding Corp.
4.113% due 05/25/2035		4,399		4,309
Bear Stearns Adjustable Rate Mortgage Trust
5.044% due 04/25/2033		1,968		1,968
Bear Stearns Alt-A Trust
5.377% due 05/25/2035		6,607		6,580
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		3,229		3,233
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		1,359		1,334
Countrywide Alternative Loan Trust
5.500% due 05/25/2047		3,679		3,689
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		1,656		1,645
CS First Boston Mortgage Securities Corp.
6.890% due 06/25/2032		130		130
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		4,260		4,263
DLJ Acceptance Trust
11.000% due 08/01/2019		16		17
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		4,604		4,608
5.400% due 01/25/2047		4,435		4,437
Guaranteed Mortgage Corp. III GNMA-CMB
9.300% due 07/20/2019		45		49
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		3,112		3,114
Indymac ARM Trust
6.633% due 01/25/2032		58		58
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		1,277		1,278
Morgan Stanley Capital I
5.380% due 10/15/2020		2,530		2,534
Nationslink Funding Corp.
5.670% due 11/10/2030		169		169
Prime Mortgage Trust
5.720% due 02/25/2019		282		283
5.720% due 02/25/2034		1,335		1,340
Structured Asset Mortgage Investments, Inc.
5.650% due 09/19/2032		881		882
Structured Asset Securities Corp.
6.063% due 02/25/2032		114		114
7.197% due 01/25/2032		94		93
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		3,833		3,832
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		3,354		3,356
Washington Mutual, Inc.
5.094% due 10/25/2032		699		697
5.610% due 10/25/2045		1,353		1,356
6.229% due 11/25/2042		845		846
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		6,114		6,033
Total Mortgage-Backed Securities (Cost $65,244)				65,064
ASSET-BACKED SECURITIES 8.2%
ACE Securities Corp.
5.370% due 12/25/2036		2,633		2,634
American Express Credit Account Master Trust
5.430% due 09/15/2010		21,500		21,531
5.820% due 02/15/2012		5,065		5,079
Amortizing Residential Collateral Trust
5.590% due 06/25/2032		1,040		1,040
Argent Securities, Inc.
5.390% due 04/25/2036		872		873
Asset-Backed Funding Certificates
5.380% due 11/25/2036		3,843		3,845
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		2,430		2,431
Bear Stearns Asset-Backed Securities, Inc.
5.380% due 01/25/2037		8,411		8,416
5.410% due 06/25/2047		2,781		2,783
5.770% due 03/25/2043		1,277		1,280
Chase Credit Card Master Trust
5.430% due 02/15/2011		6,600		6,614
Chase Issuance Trust
5.310% due 07/15/2011		7,200		7,206
Countrywide Asset-Backed Certificates
5.370% due 05/25/2037		5,138		5,139
EMC Mortgage Loan Trust
5.690% due 05/25/2040		2,746		2,753
First Franklin Mortgage Loan Asset-Backed Certificates
5.360% due 01/25/2038		7,950		7,955
5.370% due 11/25/2036		5,813		5,816
Fremont Home Loan Trust
5.380% due 01/25/2037		3,063		3,062
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		2,276		2,278
JPMorgan Mortgage Acquisition Corp.
5.370% due 07/25/2036		6,346		6,350
Lehman XS Trust
5.390% due 05/25/2046		1,628		1,628
Long Beach Mortgage Loan Trust
5.600% due 10/25/2034		423		424
MBNA Credit Card Master Note Trust
4.200% due 09/15/2010		16,465		16,335
5.420% due 12/15/2011		12,280		12,312
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		3,100		3,102
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		1,989		1,990
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		3,405		3,406
Option One Mortgage Loan Trust
5.360% due 02/25/2037		7,426		7,431
5.370% due 01/25/2037		4,433		4,436
Securitized Asset-Backed Receivables LLC Trust
5.380% due 12/25/2036		5,880		5,883
SLM Student Loan Trust
3.800% due 12/15/2038		13,800		13,375
Soundview Home Equity Loan Trust
5.350% due 07/25/2036		405		405
5.380% due 06/25/2036		2,269		2,271
Structured Asset Securities Corp.
5.420% due 07/25/2035		531		531
5.610% due 01/25/2033		237		237
Total Asset-Backed Securities (Cost $170,921)				170,851
	Shares
PREFERRED STOCKS 0.8%
DG Funding Trust
7.600% due 12/31/2049		1,568		16,337
Total Preferred Stocks (Cost $16,522)				16,337
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 13.0%
Commercial Paper 11.2%
Bank of America Corp.
5.190% due 10/04/2007	$	200		198
5.200% due 10/04/2007		6,400		6,385
5.245% due 10/04/2007		39,200		38,721
Fannie Mae
5.100% due 09/07/2007		500		495
5.117% due 08/08/2007		900		895
5.125% due 08/15/2007		700		696
5.130% due 08/15/2007		1,700		1,689
5.135% due 08/22/2007		1,400		1,390
5.145% due 09/05/2007		17,100		16,930
5.150% due 09/19/2007		6,400		6,324
5.150% due 09/26/2007		8,400		8,291
5.160% due 08/10/2007		3,400		3,381
5.258% due 08/08/2007		1,000		995
Freddie Mac
4.800% due 07/02/2007		76,000		76,000
5.100% due 08/17/2007		200		199
5.100% due 09/10/2007		400		396
5.103% due 08/17/2007		9,900		9,835
5.105% due 08/27/2007		4,200		4,167
5.106% due 08/31/2007		100		99
5.120% due 08/20/2007		11,800		11,717
5.125% due 08/13/2007		2,500		2,485
5.132% due 08/17/2007		31,400		31,194
5.134% due 09/10/2007		5,000		4,947
5.140% due 10/19/2007		100		98
General Electric Capital Corp.
5.200% due 11/06/2007		3,700		3,685
Time Warner, Inc.
5.410% due 09/17/2007		2,100		2,075
				233,287
Tri-party Repurchase Agreements 0.8%
State Street Bank and Trust Co.
4.900% due 07/02/2007		15,405		15,405
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 5.400% due 09/18/2008 valued at $15,713. Repurchase proceeds are $15,411.)
U.S. Treasury Bills 1.0%
4.633% due 08/30/2007 - 09/13/2007 (b)(d)(f)		21,215		20,991
Total Short-Term Instruments (Cost $269,755)				269,683
Purchased Options (h) 0.2% (Cost $9,087)				3,445
Total Investments (e) 110.3% (Cost $2,327,133)			$	2,288,653
Written Options (i) (0.2%) (Premiums $9,641)				(4,411	)
Other Assets and Liabilities (Net) (10.1%)				(208,547	)
Net Assets 100.0%			$	2,075,695

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) Securities with an aggregate market value of $7,672 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(e) As of June 30, 2007, portfolio securities with an aggregate value of $92,783 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $13,072 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	3,186	$	(3,407	)
90-Day Eurodollar December Futures	Long	12/2008	305		44
90-Day Eurodollar June Futures	Long	06/2008	5,879		(6,109	)
90-Day Eurodollar March Futures	Long	03/2008	7,222		(7,556	)
90-Day Eurodollar March Futures	Long	03/2009	77		(108	)
90-Day Eurodollar September Futures	Long	09/2008	1,169		(475	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	7		(6	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	500		(1,086	)
				$	(18,703	)

(g) Swap agreements outstanding on June 30, 2007:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	$	6,000	$	52
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		3,000		14
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		1,700		0
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		29,000		221
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		14,600		86
								$	373

⁽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 USD-LIBOR	Pay	5.000	%	12/19/2009	$	118,200	$	(84	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		9,900		92
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		85,600		(95	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		145,400		(314	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		487,100		423
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		33,200		(148	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		25,300		(28	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		49,800		(393	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		9,300		(60	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		145,400		(334	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		93,600		(760	)
								$	(1,701	)

(h) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar September Futures	$	90.750	09/17/2007	875	$	8	$	0
Put - CME 90-Day Eurodollar September Futures		91.000	09/17/2007	280		3		0
					$	11	$	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	4.800	%	08/08/2007	$	51,000	$	208	$	0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		24,000		106		1
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		176,000		848		346
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.250	%	08/08/2007		40,000		37		33
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		64,000		184		19
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	08/08/2007		59,000		132		0
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		176,500		937		218
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		211,000		747		415
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	07/02/2007		64,000		265		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		100,000		260		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		96,000		217		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/08/2007		152,000		194		0
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		35
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		155,000		769		249
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		265,000		1,559		327
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		64,900		258		128
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		252,700		864		574
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		325,000		1,201		1,100
									$	9,076	$	3,445

(i) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.000	08/24/2007	574	$	185	$	350
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	317		99		84
Call - CBOT U.S. Treasury 10-Year Note September Futures		108.000	08/24/2007	77		15		8
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	108		13		5
Put - CBOT U.S. Treasury 10-Year Note September Futures		103.000	08/24/2007	141		76		15
Put - CBOT U.S. Treasury 10-Year Note September Futures		104.000	08/24/2007	433		168		95
Put - CBOT U.S. Treasury 10-Year Note September Futures		105.000	08/24/2007	503		175		236
					$	731	$	793

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	%	08/08/2007	$	22,000	$	194	$	1
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		76,400		856		385
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.570	%	08/08/2007		10,000		39		44
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		14,000		174		30
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	08/08/2007		10,000		136		0
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		76,000		898		232
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		91,600		759		461
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	07/02/2007		22,900		247		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	07/02/2007		27,500		287		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		16,000		186		1
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		29,000		194		2
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	08/08/2007		8,000		91		1
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		41
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		67,000		804		240
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		72,500		965		222
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		43,000		529		147
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		28,600		259		144
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		85,000		861		604
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		108,300		1,146		1,063
									$	8,910	$	3,618

(j) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
Fannie Mae	5.000	%	07/01/2022	$	20,000	$	19,190	$	19,328
Fannie Mae	5.500	%	07/01/2037		65,300		63,423		62,984
U.S. Treasury Notes	4.500	%	05/15/2017		37,500		35,993		36,240
U.S. Treasury Notes	4.625	%	02/15/2017		7,200		7,002		7,105
						$	125,608	$	125,657

⁽²⁾ Market value includes $405 of interest payable on short sales.

See accompanying notes

Schedule of Investments

Total Return Fund III

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.8%
Freeport-McMoRan Copper & Gold, Inc.
9.000% due 03/19/2014	$	431	$	432
Idearc, Inc.
7.360% due 11/09/2014		8,579		8,623
Sensata Technologies, Inc.
7.105% due 04/21/2013		3,000		2,999
SLM Corp.
6.000% due 06/30/2008		4,200		4,179
Total Bank Loan Obligations (Cost $16,194)				16,233
CORPORATE BONDS & NOTES 19.9%
Banking & Finance 17.5%
American Express Bank FSB
5.380% due 10/20/2009		4,000		4,003
American Express Centurion Bank
5.320% due 05/07/2008		3,600		3,600
American Express Credit Corp.
5.380% due 11/09/2009		5,700		5,705
American International Group, Inc.
5.050% due 10/01/2015		400		381
5.370% due 06/16/2009		5,800		5,824
ANZ National International Ltd.
5.396% due 08/07/2009		4,400		4,400
Bank of America Corp.
5.370% due 06/19/2009		18,300		18,326
Bank of America N.A.
5.360% due 02/27/2009		800		801
Bank of Ireland
5.370% due 12/19/2008		4,700		4,706
Bear Stearns Cos., Inc.
5.450% due 08/21/2009		2,700		2,698
5.655% due 01/30/2009		4,300		4,312
C10 Capital SPV Ltd.
6.722% due 12/31/2049		2,500		2,440
Calabash Re II Ltd.
13.760% due 01/08/2010		4,800		4,842
CIT Group, Inc.
5.510% due 12/19/2008		2,600		2,599
Citigroup Funding, Inc.
5.320% due 04/23/2009		700		700
5.360% due 06/26/2009		2,700		2,699
Citigroup Global Markets Holdings, Inc.
5.460% due 03/17/2009		3,900		3,906
Citigroup, Inc.
5.390% due 12/28/2009		400		400
5.395% due 01/30/2009		4,300		4,303
5.400% due 12/26/2008		10,700		10,709
6.125% due 08/25/2036		9,800		9,655
DnB NORBank ASA
5.425% due 10/13/2009		3,300		3,302
Export-Import Bank of China
4.875% due 07/21/2015		500		475
Ford Motor Credit Co.
7.250% due 10/25/2011		500		482
7.800% due 06/01/2012		100		98
General Electric Capital Corp.
5.390% due 01/05/2009		10,500		10,509
5.410% due 10/06/2010		5,000		5,004
5.428% due 01/20/2010		13,200		13,227
5.430% due 08/15/2011		7,600		7,598
5.455% due 10/21/2010		900		902
GMAC LLC
6.000% due 12/15/2011		600		571
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		300		300
5.440% due 11/16/2009		5,000		5,006
5.450% due 12/22/2008		10,410		10,424
5.685% due 07/23/2009		7,900		7,944
HBOS PLC
5.920% due 09/29/2049		700		658
HBOS Treasury Services PLC
5.397% due 07/17/2009		6,500		6,507
HSBC Bank USA N.A.
5.500% due 06/10/2009		4,500		4,514
HSBC Capital Funding LP
9.547% due 12/31/2049		1,200		1,326
HSBC Finance Corp.
5.415% due 10/21/2009		2,600		2,602
5.640% due 11/16/2009		7,770		7,813
HSBC Holdings PLC
6.500% due 05/02/2036		3,800		3,918
ICICI Bank Ltd.
5.895% due 01/12/2010		5,800		5,813
JPMorgan Chase & Co.
5.370% due 06/26/2009		2,900		2,904
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		700		676
KBC Bank Funding Trust III
9.860% due 11/29/2049		2,100		2,291
Lehman Brothers Holdings, Inc.
5.440% due 04/03/2009		2,300		2,303
5.460% due 08/21/2009		3,950		3,952
5.460% due 11/16/2009		11,000		11,010
5.500% due 05/25/2010		100		100
5.579% due 07/18/2011		3,000		3,007
5.607% due 11/10/2009		2,500		2,508
Longpoint Re Ltd.
10.609% due 05/08/2010		1,700		1,700
Merrill Lynch & Co., Inc.
5.390% due 12/22/2008		6,300		6,301
5.395% due 10/23/2008		4,400		4,406
5.440% due 12/04/2009		4,300		4,302
5.450% due 08/14/2009		3,800		3,804
Morgan Stanley
4.750% due 04/01/2014		110		103
5.360% due 11/21/2008		2,900		2,900
5.446% due 01/15/2010		10,100		10,106
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		600		591
Mystic Re Ltd.
15.360% due 06/07/2011		1,500		1,504
Nordea Bank Sweden AB
8.950% due 11/29/2049		500		534
Petroleum Export Ltd.
5.265% due 06/15/2011		498		486
Phoenix Quake Ltd.
7.800% due 07/03/2008		600		604
Phoenix Quake Wind I Ltd.
7.800% due 07/03/2008		600		602
Phoenix Quake Wind II Ltd.
8.850% due 07/03/2008		300		285
Prudential Holdings LLC
8.695% due 12/18/2023		265		321
Residential Reinsurance 2007 Ltd.
15.610% due 06/07/2010		700		701
Resona Bank Ltd.
5.850% due 09/29/2049		800		766
Royal Bank of Scotland Group PLC
5.405% due 07/21/2008		2,900		2,903
7.648% due 08/31/2049		3,800		4,249
Santander U.S. Debt S.A. Unipersonal
5.420% due 09/19/2008		18,800		18,819
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		1,700		1,644
State Street Capital Trust IV
6.355% due 06/15/2037		600		604
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		5,800		5,536
TNK-BP Finance S.A.
6.125% due 03/20/2012		700		686
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		18,400		18,411
USB Capital IX
6.189% due 04/15/2049		600		605
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		3,500		3,508
Wachovia Bank N.A.
5.350% due 06/27/2008		3,900		3,901
Wachovia Corp.
5.486% due 10/15/2011		14,600		14,631
Westpac Banking Corp.
5.280% due 06/06/2008		2,300		2,300
World Financial Properties
6.950% due 09/01/2013		166		171
				342,737
Industrials 2.2%
CODELCO, Inc.
6.150% due 10/24/2036		400		398
Comcast Corp.
5.875% due 02/15/2018		1,000		970
6.450% due 03/15/2037		1,000		967
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		1,900		1,904
5.805% due 08/03/2009		3,900		3,922
El Paso Corp.
9.625% due 05/15/2012		1,000		1,119
Gaz Capital for Gazprom
6.212% due 11/22/2016		700		684
General Mills, Inc.
5.485% due 01/22/2010		3,200		3,200
HJ Heinz Co.
6.428% due 12/01/2008		700		707
Peabody Energy Corp.
7.375% due 11/01/2016		1,600		1,640
Pemex Project Funding Master Trust
5.750% due 12/15/2015		1,400		1,375
7.375% due 12/15/2014		500		546
9.125% due 10/13/2010		65		72
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		3,200		3,532
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028		8,400		8,692
Time Warner, Inc.
5.590% due 11/13/2009		3,400		3,405
Transocean, Inc.
5.560% 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 03/01/2013		172		173
Vale Overseas Ltd.
6.250% due 01/23/2017		700		698
6.875% due 11/21/2036		700		705
Williams Cos., Inc.
6.375% due 10/01/2010		4,600		4,634
				43,660
Utilities 0.2%
Deutsche Telekom International Finance BV
8.000% due 06/15/2010		150		160
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		1,196		1,196
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		1,600		1,488
Sprint Capital Corp.
6.125% due 11/15/2008		800		805
				3,649
Total Corporate Bonds & Notes (Cost $390,185)				390,046
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		300
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		2,200		2,183
Total Municipal Bonds & Notes (Cost $2,430)				2,483
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley
0.000% due 07/07/2008		5,000		4,972
Total Commodity Index-Linked Notes (Cost $5,000)				4,972
U.S. GOVERNMENT AGENCIES 60.7%
Fannie Mae
3.117% due 07/01/2034		69		69
4.175% due 03/01/2033		171		172
4.500% due 09/01/2034		151		138
4.544% due 07/01/2035		8,004		7,959
4.617% due 08/01/2035		7,948		7,958
4.673% due 05/25/2035		800		790
4.815% due 09/01/2034		818		811
4.869% due 01/01/2035		1,334		1,318
5.000% due 10/01/2017 - 07/01/2037		247,407		234,957
5.500% due 05/01/2013 - 07/01/2037		485,439		469,915
5.877% due 02/01/2031		6		6
6.000% due 10/01/2016 - 07/01/2037		289,011		285,967
6.214% due 07/01/2044		988		1,001
6.500% due 01/01/2011 - 06/25/2044		1,498		1,526
7.000% due 03/01/2013 - 10/01/2031		60		62
7.500% due 05/01/2011 - 02/01/2027		230		240
8.250% due 07/01/2017		1		1
9.000% due 06/01/2025		1		1
12.500% due 06/15/2015		5		5
Federal Housing Administration
7.430% due 01/25/2023		679		683
Freddie Mac
5.000% due 12/01/2017 - 09/01/2035		3,363		3,224
5.470% due 07/15/2019 - 10/15/2020		69,700		69,639
5.500% due 06/01/2019 - 07/01/2037		15,748		15,198
5.550% due 07/15/2037		24,100		24,098
5.742% due 08/15/2032		957		957
6.000% due 02/01/2016 - 07/01/2037		8,678		8,605
6.227% due 02/25/2045		569		567
6.500% due 05/01/2016 - 05/15/2032		34,410		35,096
7.000% due 11/01/2011 - 07/01/2029		2,395		2,459
7.008% due 04/01/2033		22		22
7.294% due 12/01/2022		55		55
7.380% due 07/01/2030		23		24
7.500% due 07/01/2011 - 09/01/2025		47		48
8.000% due 01/01/2012		9		9
Ginnie Mae
4.750% due 09/20/2023 - 02/20/2032		2,181		2,191
5.125% due 11/20/2024 - 10/20/2025		276		280
5.375% due 06/20/2022 - 01/20/2026		800		808
5.920% due 02/16/2030		157		159
6.000% due 01/15/2029 - 07/01/2037		2,528		2,517
6.125% due 10/20/2024 - 12/20/2026		109		110
6.500% due 05/15/2032 - 06/15/2032		58		59
7.000% due 12/15/2011 - 02/20/2032		66		69
10.250% due 02/15/2017		477		499
Small Business Administration
5.130% due 09/01/2023		847		831
5.520% due 06/01/2024		5,421		5,405
7.449% due 08/01/2010		183		185
Total U.S. Government Agencies (Cost $1,212,032)				1,186,693
U.S. TREASURY OBLIGATIONS 0.5%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2026		3,019		2,736
2.375% due 01/15/2025		5,152		4,956
3.625% due 04/15/2028		2,044		2,369
Total U.S. Treasury Obligations (Cost $10,734)				10,061
MORTGAGE-BACKED SECURITIES 4.7%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		2,263		2,217
Banc of America Funding Corp.
4.113% due 05/25/2035		2,982		2,921
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		321		322
Bear Stearns Adjustable Rate Mortgage Trust
4.622% due 01/25/2034		2,169		2,175
5.329% due 02/25/2033		334		338
5.626% due 02/25/2033		243		241
Bear Stearns Alt-A Trust
5.377% due 05/25/2035		4,136		4,119
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		6,634		6,637
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		2,406		2,409
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		1,104		1,084
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		3,844		3,870
Countrywide Alternative Loan Trust
5.500% due 05/25/2047		3,127		3,136
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		1,341		1,332
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		4,542		4,546
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		3,996		3,999
5.400% due 01/25/2047		4,049		4,051
Harborview Mortgage Loan Trust
5.410% due 01/19/2038		6,323		6,331
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		2,687		2,690
Indymac ARM Trust
6.633% due 01/25/2032		28		28
Indymac Index Mortgage Loan Trust
5.167% due 01/25/2036		5,212		5,244
5.410% due 11/25/2046		2,796		2,798
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		969		969
Mellon Residential Funding Corp.
5.800% due 06/15/2030		3,617		3,618
Morgan Stanley Capital I
5.380% due 10/15/2020		2,367		2,370
Prime Mortgage Trust
5.720% due 02/25/2019		161		162
5.720% due 02/25/2034		690		692
Structured Asset Mortgage Investments, Inc.
5.450% due 03/25/2037		6,507		6,506
Structured Asset Securities Corp.
5.329% due 10/25/2035		3,758		3,754
6.063% due 02/25/2032		53		53
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		3,407		3,407
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		3,125		3,127
Washington Mutual, Inc.
5.094% due 10/25/2032		330		329
5.610% due 10/25/2045		1,073		1,076
6.229% due 11/25/2042		735		736
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		5,010		4,943
Total Mortgage-Backed Securities (Cost $92,343)				92,230
ASSET-BACKED SECURITIES 6.0%
Asset-Backed Funding Certificates
5.380% due 11/25/2036		2,562		2,563
5.380% due 01/25/2037		2,939		2,941
Asset-Backed Securities Corp. Home Equity
5.595% due 09/25/2034		1,346		1,347
Bear Stearns Asset-Backed Securities, Inc.
5.380% due 01/25/2037		7,646		7,651
5.770% due 03/25/2043		553		554
Carrington Mortgage Loan Trust
5.640% due 10/25/2035		2,644		2,652
Citibank Credit Card Issuance Trust
6.875% due 11/16/2009		240		241
Countrywide Asset-Backed Certificates
5.370% due 07/25/2037		11,745		11,753
5.800% due 12/25/2031		466		466
Credit-Based Asset Servicing & Securitization LLC
5.410% due 12/25/2037		14,962		14,959
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		5,076		5,079
Fremont Home Loan Trust
5.380% due 01/25/2037		2,732		2,731
GSAMP Trust
5.390% due 12/25/2036		3,794		3,796
HSBC Asset Loan Obligation
5.380% due 12/25/2036		8,295		8,299
HSI Asset Securitization Corp. Trust
5.370% due 12/25/2036		2,023		2,025
JPMorgan Mortgage Acquisition Corp.
5.370% due 07/25/2036		5,621		5,624
5.370% due 08/25/2036		1,702		1,703
Lehman XS Trust
5.390% due 05/25/2046		1,442		1,442
Long Beach Mortgage Loan Trust
5.600% due 10/25/2034		386		387
MBNA Master Credit Card Trust USA
5.900% due 08/15/2011		300		303
7.800% due 10/15/2012		200		213
Morgan Stanley ABS Capital I
5.350% due 06/25/2036		3,241		3,242
5.360% due 10/25/2036		1,694		1,695
5.370% due 11/25/2036		7,034		7,035
Navistar Financial Corp. Owner Trust
2.590% due 03/15/2011		420		414
Newcastle Mortgage Securities Trust
5.390% due 03/25/2036		3,054		3,055
Option One Mortgage Loan Trust
5.370% due 01/25/2037		5,418		5,421
Residential Asset Securities Corp.
5.390% due 11/25/2036		3,909		3,912
Securitized Asset-Backed Receivables LLC Trust
5.380% due 12/25/2036		5,434		5,437
Structured Asset Securities Corp.
5.370% due 10/25/2036		4,361		4,363
5.420% due 07/25/2035		463		464
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		2,552		2,554
5.440% due 12/25/2035		3,452		3,454
Total Asset-Backed Securities (Cost $117,764)				117,775
SOVEREIGN ISSUES 0.1%
Chile Government International Bond
5.500% due 01/15/2013		200		198
China Development Bank
5.000% due 10/15/2015		600		574
		Shares
Mexico Government International Bond Rights
0.000% due 06/30/2007		17,950,000		133
Total Sovereign Issues (Cost $840)				905
		Principal Amount (000s)
FOREIGN CURRENCY-DENOMINATED
Issues 0.9%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	1,900		1,098
HBOS PLC
4.875% due 03/29/2049	EUR	7,480		9,896
JSG Holding PLC
6.718% due 11/29/2014		108		148
6.835% due 11/29/2014		396		542
6.862% due 11/29/2014		122		168
6.898% due 11/29/2014		211		289
6.944% due 11/29/2014		163		223
KBC Bank Funding Trust I
6.875% due 06/30/2049		3,000		4,203
Total Foreign Currency-Denominated Issues (Cost $15,361)				16,567
		Shares
PREFERRED STOCKS 0.9%
Centaur Funding Corp.
9.080% due 04/21/2020		125		140
DG Funding Trust
7.600% due 12/31/2049		1,065		11,096
Northern Rock PLC
8.000% due 12/31/2049		260,000		6,442
Total Preferred Stocks (Cost $17,965)				17,678
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 20.9%
Certificates of Deposit 6.3%
Bank of Ireland
5.400% due 01/15/2010	$	11,100		11,111
Barclays Bank PLC
5.281% due 03/17/2008		16,800		16,805
BNP Paribas
5.262% due 05/28/2008		3,100		3,101
5.262% due 07/03/2008		16,700		16,697
Calyon Financial, Inc.
5.340% due 01/16/2009		7,900		7,901
Fortis Bank NY
5.265% due 04/28/2008		8,200		8,204
5.265% due 06/30/2008		3,100		3,101
5.310% due 09/30/2008		4,500		4,501
Nordea Bank Finland PLC
5.308% due 05/28/2008		2,900		2,902
5.308% due 04/09/2009		8,100		8,104
Royal Bank of Canada
5.295% due 06/30/2008		8,100		8,107
Royal Bank of Scotland Group PLC
5.262% due 07/03/2008		7,000		7,000
5.265% due 03/26/2008		5,800		5,800
Societe Generale NY
5.269% due 06/30/2008		12,900		12,908
5.271% due 06/30/2008		3,000		3,001
Unicredito Italiano NY
5.370% due 05/29/2008		4,100		4,102
				123,345
Commercial Paper 13.4%
Bank of America Corp.
5.200% due 10/04/2007		17,500		17,460
5.220% due 10/04/2007		1,800		1,799
Calyon N.A. LLC
5.175% due 06/29/2010		52,600		52,547
Danske Corp.
5.220% due 10/12/2007		89,200		89,096
Freddie Mac
4.800% due 07/02/2007		67,700		67,700
Societe Generale NY
5.195% due 11/26/2007		400		398
UBS Finance Delaware LLC
5.185% due 10/23/2007		1,000		999
5.200% due 10/23/2007		1,100		1,095
5.230% due 10/23/2007		30,800		30,666
				261,760
Tri-Party Repurchase Agreements 0.4%
State Street Bank and Trust Co.
4.900% due 07/02/2007		8,819		8,819
(Dated 06/29/2007. Collateralized by Fannie Mae 5.080% due 05/14/2010 valued at $8,997. Repurchase proceeds are $8,823.)
U.S. Treasury Bills 0.8%
4.622% due 08/30/2007 - 09/13/2007 (a)(c)(e)		15,405		15,240
Total Short-Term Instruments (Cost $409,112)				409,164
Purchased Options (g) 0.2% (Cost $9,732)				4,169
Total Investments (d) 116.0% (Cost $2,299,692)			$	2,268,976
Written Options (h) (0.2%) (Premiums $9,322)				(3,987	)
Other Assets and Liabilities (Net) (15.8%)				(309,508	)
Net Assets 100.0%			$	1,955,481

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

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

(a) Coupon represents a weighted average rate.

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

(c) Securities with an aggregate market value of $2,476 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $99,686 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $11,773 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2007	416	$	(592	)
90-Day Euribor December Futures	Long	12/2008	193		(433	)
90-Day Euribor June Futures	Long	06/2008	384		(825	)
90-Day Euribor March Futures	Long	03/2008	166		(328	)
90-Day Euribor September Futures	Long	09/2008	335		(447	)
90-Day Eurodollar December Futures	Long	12/2007	1,174		(1,191	)
90-Day Eurodollar December Futures	Long	12/2008	962		(601	)
90-Day Eurodollar June Futures	Long	06/2008	5,039		(5,466	)
90-Day Eurodollar March Futures	Long	03/2008	5,611		(6,070	)
90-Day Eurodollar March Futures	Long	03/2009	121		(177	)
90-Day Eurodollar September Futures	Long	09/2008	717		(382	)
90-Day Euroyen December Futures	Long	12/2007	357		(40	)
Euro-Bund 10-Year Note September Futures	Short	09/2007	41		(29	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	280		164
U.S. Treasury 30-Year Bond September Futures	Long	09/2007	120		(165	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	257		(579	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	22		(38	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	218		(383	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	249		(455	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	155		(333	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	68		(178	)
				$	(18,548	)

(f) Swap agreements outstanding on June 30, 2007:

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	%	09/20/2007	JPY	145,000	$	13
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	$	6,000		52
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008		3,000		20
Barclays Bank PLC	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.830	%	07/20/2011		1,000		18
Bear Stearns & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.320	%	09/20/2007		2,500		11
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		1,500		(1	)
Deutsche Bank AG	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.260	%	12/20/2007		3,000		1
Deutsche Bank AG	Dow Jones CDX N.A. EM7 Index	Sell	1.250	%	06/20/2012		17,000		(9	)
Deutsche Bank AG	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		2,700		12
Goldman Sachs & Co.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		3,200		15
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		1,500		0
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		26,000		199
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017		13,300		79
HSBC Bank USA	Multiple Reference Entities of Gazprom	Sell	0.360	%	05/20/2009		2,000		0
JPMorgan Chase & Co.	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.730	%	01/20/2012		2,400		15
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016		100		3
JPMorgan Chase & Co.	Panama Government International Bond 8.875% due 09/30/2027	Sell	1.250	%	01/20/2017		900		20
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.950	%	12/20/2007		2,700		2
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	%	07/20/2011		1,400		55
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011		800		10
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016		400		14
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.245	%	06/20/2008		900		0
Morgan Stanley	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.050	%	09/20/2008		4,200		(9	)
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.305	%	12/20/2008		4,000		1
Morgan Stanley	Panama Government International Bond 8.875% due 09/30/2027	Sell	0.750	%	01/20/2012		1,000		7
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.310	%	12/20/2011		800		11
								$	539

⁽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	7.000	%	12/15/2009	AUD	5,400	$	(3	)
Barclays Bank PLC	BRL-CDI-Compounded	Pay	11.360	%	01/04/2010	BRL	9,400		55
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	11.465	%	01/04/2010		2,400		17
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	11.430	%	01/04/2010		6,200		41
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	12.948	%	01/04/2010		3,400		69
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	14.370	%	01/04/2010		3,700		134
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		8,200		152
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	1,800		24
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012		700		(7	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		10,300		130
Deutsche Bank AG	6-Month EUR-LIBOR	Pay	5.000	%	12/19/2009		14,000		(5	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	12/15/2011		10,400		210
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	5.000	%	12/19/2017		3,300		(17	)
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	03/20/2009		5,700		(41	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	03/30/2012		1,400		(12	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.948	%	03/15/2012		4,300		(40	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		700		(7	)
Royal Bank of Scotland Group PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.955	%	03/28/2012		400		(4	)
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,200		20
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008	GBP	14,300		(140	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		8,100		(117	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		8,600		(155	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		2,000		185
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		1,800		435
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		1,700		(40	)
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	6.000	%	12/20/2008		8,600		(87	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009		16,900		(413	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		39,100		(123	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		2,600		145
HSBC Bank USA	6-Month GBP-LIBOR	Pay	4.500	%	12/20/2007		35,400		(541	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		3,200		661
Merrill Lynch & Co., Inc.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		800		76
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	03/20/2009		7,500		(110	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	6.000	%	06/19/2009		11,100		(42	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		5,900		1,291
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	5.500	%	12/15/2036		700		34
Barclays Bank PLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	760,000		(17	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		5,640,000		(29	)
Deutsche Bank AG	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		1,210,000		(18	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/19/2008		12,800,000		(37	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	09/18/2008		410,000		(2	)
UBS Warburg LLC	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009		10,810,000		(177	)
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016	MXN	7,000		4
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	7.780	%	04/03/2012		19,800		(16	)
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		8,400		15
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/12/2016		9,200		46
Bank of America	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	101,200		(69	)
Bank of America	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		9,000		84
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		53,400		(59	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		136,000		(294	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		323,900		206
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		27,800		(167	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		46,200		(364	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		20,400		(134	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2008		136,000		(312	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		40,700		(79	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		10,800		(82	)
								$	274

(g) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar September Futures	$	90.500	09/17/2007	300	$	3	$	0
Put - CME 90-Day Eurodollar September Futures		90.750	09/17/2007	711		6		0
Put - CME 90-Day Eurodollar September Futures		91.000	09/17/2007	195		2		0
					$	11	$	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	%	07/02/2007	EUR	16,000	$	74	$	0
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	3.960	%	07/02/2007		54,000		308		0
Call - OTC 2-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Pay	4.100	%	07/02/2007		37,000		206		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Pay	3.960	%	07/02/2007		35,000		169		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.800	%	08/08/2007	$	46,000		187		0
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		21,000		92		1
Call - OTC 2-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		155,000		748		305
Call - OTC 2-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.250	%	08/08/2007		36,000		33		30
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		59,000		170		17
Call - OTC 1-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	4.700	%	08/08/2007		52,000		116		0
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		148,100		784		183
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		191,600		678		377
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	07/02/2007		50,000		207		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.850	%	07/02/2007		90,000		234		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.900	%	08/08/2007		84,000		190		0
Call - OTC 1-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	08/08/2007		141,000		180		0
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		254		31
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		131,200		651		210
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		233,800		1,375		289
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		58,900		234		116
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		229,400		784		521
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		302,400		1,116		1,023
									$	8,790	$	3,103

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	103.800	03/17/2010	$	2,000	$	87	$	154
Put - OTC U.S. dollar versus Japanese yen		103.800	03/17/2010		2,000		87		49
Call - OTC U.S. dollar versus Japanese yen		104.650	03/31/2010		1,000		46		71
Put - OTC U.S. dollar versus Japanese yen		104.650	03/31/2010		1,000		39		27
Call - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		2,000		84		136
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		2,000		84		56
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		6,000		252		402
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		6,000		252		171
						$	931	$	1,066

(h) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	106.000	08/24/2007	530	$	170	$	323
Call - CBOT U.S. Treasury 10-Year Note September Futures		107.000	08/24/2007	290		91		77
Call - CBOT U.S. Treasury 10-Year Note September Futures		108.000	08/24/2007	70		14		8
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	99		12		4
Put - CBOT U.S. Treasury 10-Year Note September Futures		103.000	08/24/2007	128		69		14
Put - CBOT U.S. Treasury 10-Year Note September Futures		104.000	08/24/2007	402		156		88
Put - CBOT U.S. Treasury 10-Year Note September Futures		105.000	08/24/2007	459		160		215
					$	672	$	729

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	%	07/02/2007	EUR	6,000	$	72	$	0
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.100	%	07/02/2007		23,000		314		0
Call - OTC 5-Year Interest Rate Swap	Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.230	%	07/02/2007		16,000		206		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	6-Month EUR-LIBOR	Receive	4.100	%	07/02/2007		15,000		169		0
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007	$	20,000		176		1
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		67,400		755		339
Call - OTC 10-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.570	%	08/08/2007		9,000		35		40
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		13,000		162		27
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	4.850	%	08/08/2007		9,000		123		0
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		64,000		754		196
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		83,100		689		419
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	07/02/2007		20,100		217		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	07/02/2007		21,500		225		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		27,000		180		2
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	08/08/2007		14,000		162		0
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	08/08/2007		7,000		80		1
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		36
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		57,000		684		204
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		64,100		853		196
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		38,000		467		130
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		25,600		232		129
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		77,200		781		549
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		100,800		1,065		989
									$	8,650	$	3,258

(i) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	07/01/2037	$	120,700	$	116,733	$	116,419
U.S. Treasury Notes	4.500	%	05/15/2017		41,400		39,654		40,001
U.S. Treasury Notes	4.625	%	02/15/2017		6,700		6,515		6,611
						$	162,902	$	163,031

⁽²⁾ Market value includes $416 of interest payable on short sales.

(j) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	8,417	07/2007	$	52	$	0		$	52
Sell		88	07/2007		0		(1	)		(1	)
Buy	BRL	53,259	10/2007		884		0			884
Buy		32,967	03/2008		1,162		0			1,162
Buy	CAD	5,398	08/2007		22		0			22
Buy	CLP	177,894	11/2007		12		0			12
Buy		234,969	03/2008		0		(2	)		(2	)
Buy	CNY	192	09/2007		1		0			1
Sell		192	09/2007		0		0			0
Buy		29,290	11/2007		30		0			30
Sell		29,290	11/2007		3		(7	)		(4	)
Buy		14,525	01/2008		0		(13	)		(13	)
Sell		14,525	01/2008		1		(2	)		(1	)
Sell	EUR	5,331	07/2007		0		(70	)		(70	)
Sell	GBP	4,960	08/2007		0		(52	)		(52	)
Buy	IDR	12,789,000	05/2008		0		(60	)		(60	)
Buy	INR	13,391	08/2007		7		0			7
Sell		13,391	08/2007		1		0			1
Buy		453,002	05/2008		104		0			104
Sell		453,002	05/2008		97		0			97
Sell	JPY	579,941	07/2007		68		0			68
Buy	KRW	3,931,090	07/2007		27		0			27
Sell		391,147	07/2007		0		(2	)		(2	)
Buy		3,033,790	08/2007		0		(1	)		(1	)
Buy		4,098,167	09/2007		12		0			12
Buy	MXN	27,527	09/2007		36		0			36
Buy		89,668	03/2008		72		(1	)		71
Buy	MYR	14,719	05/2008		0		(65	)		(65	)
Buy	NZD	1,011	07/2007		19		0			19
Buy	PHP	200,199	05/2008		0		(55	)		(55	)
Buy	PLN	20,103	09/2007		138		(1	)		137
Buy		4,882	03/2008		22		0			22
Buy	RUB	66,200	09/2007		33		0			33
Buy		31,519	11/2007		33		0			33
Buy		154,267	12/2007		137		0			137
Buy		226,401	01/2008		38		0			38
Buy	SEK	11,210	09/2007		20		0			20
Buy	SGD	11,324	07/2007		0		(49	)		(49	)
Buy		3,958	08/2007		17		(2	)		15
Buy		517	09/2007		0		(1	)		(1	)
Buy		7,077	10/2007		10		(8	)		2
Buy	ZAR	1,525	09/2007		4		0			4
				$	3,062	$	(392	)	$	2,670

See accompanying notes

Schedule of Investments

Total Return Mortgage Fund

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 1.0%
SLM Corp.
3.625% due 03/17/2008	$	5,000	$	4,912
Total Corporate Bonds & Notes (Cost $4,911)				4,912
U.S. GOVERNMENT AGENCIES 109.5%
Fannie Mae
0.000% due 04/25/2009 - 07/25/2022 (a)		155		139
4.500% due 02/01/2020 - 08/01/2020		32,949		31,320
5.000% due 06/01/2018 - 07/01/2037		143,821		136,980
5.077% due 10/25/2008		23		22
5.210% due 05/01/2023		29		30
5.500% due 01/01/2021 - 08/01/2037		134,739		130,682
5.670% due 07/01/2011 - 11/25/2032		2,247		2,261
5.720% due 04/18/2028		9		9
5.820% due 03/25/2032 - 07/25/2034		5,516		5,534
6.000% due 10/01/2032 - 05/01/2037		32,331		32,011
6.063% due 11/01/2018		5		5
6.213% due 08/01/2042		456		464
6.214% due 08/01/2042 - 10/01/2044		2,138		2,161
6.344% due 04/25/2023		4		4
6.445% due 12/01/2034		1,062		1,068
6.500% due 09/25/2023 - 07/01/2037		15,138		15,300
6.533% due 05/01/2033		789		789
7.000% due 09/25/2023		4		4
7.302% due 10/01/2028		14		14
7.500% due 06/01/2030 - 08/01/2031		189		197
7.750% due 08/25/2022		34		35
Federal Home Loan Bank
0.000% due 02/27/2012		2,000		1,844
Federal Housing Administration
5.022% due 10/25/2022		444		447
7.430% due 06/01/2019		273		274
Freddie Mac
3.500% due 12/15/2022		2		2
4.500% due 04/01/2020 - 03/15/2021		35		33
5.000% due 07/01/2037		39,000		36,556
5.500% due 12/01/2017 - 07/01/2037		64,330		62,162
5.568% due 11/01/2028		9		9
5.626% due 02/01/2018		80		80
6.000% due 11/01/2036 - 07/01/2037		37,991		37,649
6.178% due 08/01/2025		14		14
6.227% due 10/25/2044 - 02/25/2045		5,705		5,745
6.500% due 12/15/2023 - 10/01/2036		10,710		10,827
6.697% due 07/01/2030		44		44
7.436% due 05/01/2032		26		26
8.000% due 06/15/2026		26		27
Ginnie Mae
4.500% due 08/20/2033		1,253		1,146
4.750% due 09/20/2024 - 08/20/2026		36		36
5.125% due 11/20/2023		3		3
5.375% due 06/20/2017 - 03/20/2027		31		31
5.500% due 08/15/2033 - 07/01/2037		27,012		26,250
5.520% due 02/16/2032		404		404
5.570% due 08/16/2032		1,555		1,562
5.625% due 03/20/2018		11		11
5.750% due 07/20/2022		26		26
6.000% due 08/15/2036		13,076		13,016
6.125% due 12/20/2021 - 10/20/2022		23		23
6.375% due 02/20/2017		16		16
6.500% due 03/20/2016 - 07/01/2037		7,200		7,313
7.500% due 05/15/2027 - 08/15/2027		9		9
Total U.S. Government Agencies (Cost $573,655)				564,614
MORTGAGE-BACKED SECURITIES 8.5%
Banc of America Structural Security Trust
5.820% due 10/11/2033		880		887
Banktrust Mortgage Trust
5.700% due 12/01/2023		120		118
CC Mortgage Funding Corp.
5.450% due 05/25/2048		2,600		2,602
5.600% due 01/25/2035		216		216
Countrywide Alternative Loan Trust
5.530% due 05/25/2035		1,725		1,726
Countrywide Home Loan Mortgage Pass-Through Trust
5.000% due 08/25/2033		518		515
5.610% due 04/25/2035		1,164		1,167
5.640% due 03/25/2035		2,956		2,965
6.257% due 04/25/2035		2,030		2,050
CS First Boston Mortgage Securities Corp.
5.953% due 03/25/2032		61		61
Harborview Mortgage Loan Trust
5.540% due 05/19/2047		3,429		3,438
5.630% due 11/19/2035		2,388		2,398
Indymac Index Mortgage Loan Trust
5.560% due 04/25/2035		2,727		2,731
5.640% due 02/25/2035		2,065		2,072
5.650% due 09/25/2034		1,011		1,013
LB-UBS Commercial Mortgage Trust
2.720% due 03/15/2027		1,069		1,055
MLCC Mortgage Investors, Inc.
5.700% due 03/15/2025		41		41
Morgan Stanley Capital I
5.500% due 04/25/2017		46		46
Prime Mortgage Trust
5.000% due 02/25/2019		605		589
Residential Asset Mortgage Products, Inc.
8.500% due 10/25/2031		640		665
Sequoia Mortgage Trust
5.670% due 10/19/2026		500		501
5.670% due 07/20/2033		350		352
5.700% due 10/20/2027		131		131
Structured Adjustable Rate Mortgage Loan Trust
5.540% due 05/25/2037		3,883		3,890
6.227% due 05/25/2035		2,642		2,669
Structured Asset Mortgage Investments, Inc.
5.650% due 09/19/2032		203		204
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		2,287		2,288
Washington Mutual, Inc.
5.590% due 12/25/2045		3,047		3,057
5.860% due 12/25/2027		2,632		2,634
6.029% due 02/25/2046		1,758		1,761
Total Mortgage-Backed Securities (Cost $43,778)				43,842
ASSET-BACKED SECURITIES 5.0%
ACE Securities Corp.
5.370% due 06/25/2036		1,350		1,351
Amortizing Residential Collateral Trust
5.610% due 07/25/2032		25		25
5.670% due 10/25/2031		26		26
Argent Securities, Inc.
5.400% due 01/25/2036		193		193
5.400% due 03/25/2036		200		200
Bear Stearns Asset-Backed Securities, Inc.
5.590% due 09/25/2035		746		746
Centex Home Equity
5.620% due 01/25/2032		42		42
CIT Group Home Equity Loan Trust
5.590% due 06/25/2033		82		82
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		2,131		1,726
Credit-Based Asset Servicing & Securitization LLC
5.500% due 01/25/2035		291		292
EMC Mortgage Loan Trust
6.070% due 08/25/2040		328		333
GSR Mortgage Loan Trust
5.420% due 11/25/2030		1,024		1,024
HFC Home Equity Loan Asset-Backed Certificates
5.670% due 09/20/2033		1,894		1,900
Home Equity Asset Trust
5.920% due 11/25/2032		3		3
Indymac Residential Asset-Backed Trust
5.420% due 03/25/2036		688		688
Long Beach Mortgage Loan Trust
5.410% due 01/25/2036		1,443		1,444
Quest Trust
5.880% due 06/25/2034		49		49
Renaissance Home Equity Loan Trust
5.700% due 12/25/2032		68		68
5.760% due 08/25/2033		390		392
Residential Funding Mortgage Securities II, Inc.
5.420% due 02/25/2036		3,343		3,345
Soundview Home Equity Loan Trust
5.400% due 06/25/2037		3,895		3,898
Specialty Underwriting & Residential Finance
5.660% due 01/25/2034		35		35
Structured Asset Securities Corp.
5.610% due 01/25/2033		43		43
Wells Fargo Home Equity Trust
5.560% due 10/25/2035		4,000		4,006
5.570% due 12/25/2035		4,000		4,009
Total Asset-Backed Securities (Cost $25,952)				25,920
SHORT-TERM INSTRUMENTS 3.9%
Commercial Paper 2.2%
Freddie Mac
4.800% due 07/02/2007		2,000		2,000
Societe Generale NY
5.225% due 11/26/2007		300		295
UBS Finance Delaware LLC
5.235% due 10/23/2007		3,500		3,465
5.350% due 10/23/2007		5,800		5,800
				11,560
Repurchase Agreements 1.1%
State Street Bank and Trust Co.
4.900% due 07/02/2007		5,426		5,426
(Dated 06/29/2007. Collateralized by Fannie Mae 3.250% due 08/15/2008 valued at $5,539. Repurchase proceeds are $5,428.)
U.S. Treasury Bills 0.6%
4.562% due 08/30/2007 - 09/13/2007 (b)(c)(e)		3,200		3,167
Total Short-Term Instruments (Cost $20,160)				20,153
Total Investments (d) 127.9% (Cost $668,456)			$	659,441
Other Assets and Liabilities (Net) (27.9%)				(143,681	)
Net Assets 100.0%			$	515,760

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

(a) Principal only security.

(b) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $2,227 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $6,618 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $940 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2008	1,464	$	(389	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	51		47
				$	(342	)

(f) Swap agreements outstanding on June 30, 2007:

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	%)	06/28/2046	$	2,000	$	615
Barclays Bank PLC	Camber floating rate based on 3-Month USD-LIBOR plus 3.250% due 07/12/2043	Buy	(3.300	%)	06/28/2046		2,000		649
Goldman Sachs & Co.	Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500	%)	10/11/2021		500		(4	)
JPMorgan Chase & Co.	TABS Ltd. floating rate based on 1-Month USD-LIBOR plus 1.450% due 10/08/2046	Buy	(1.650	%)	10/08/2046		3,000		937
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 2.000% due 06/25/2038	Buy	(2.500	%)	06/25/2038		1,500		703
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800	%)	06/25/2046		1,500		590
								$	3,490

Credit Default Swaps (Asset-Backed Indicies)

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046	$	250	$	(23	)
Bear Stearns & Co., Inc.	Home Equity Index BBB Rating 2006-1	Buy	(2.670	%)	07/25/2045		10,000		133
Bear Stearns & Co., Inc.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		10,000		352
Goldman Sachs & Co.	Home Equity Index BBB Rating 2006-2	Sell	2.420	%	05/25/2046		3,000		(126	)
Lehman Brothers, Inc.	Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045		7,500		(297	)
Lehman Brothers, Inc.	Home Equity Index BBB Rating 2006-2	Buy	(2.420	%)	05/25/2046		3,000		229
Morgan Stanley	Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045		9,000		(354	)
								$	(86	)

⁽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 (Depreciation)
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2014	$	9,800	$	(347	)
Lehman Brothers, Inc.	3-Month USD-LIBOR with 6.940% interest rate cap	Receive	Premium amount $119		07/01/2011		3,000		(109	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2014		13,900		(492	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		32,000		(250	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		21,900		(145	)
								$	(1,343	)

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay	Expiration Date	# of Contracts	Unrealized Appreciation
Morgan Stanley	Long	Interest and paydown on FCCA Secured Lending Corp. 8.180% due 09/18/20207	Premium amount of $900	09/18/2027	3,000,000	$	637

(g) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	4.500	%	07/01/2022	$	4,000	$	3,767	$	3,796
Fannie Mae	5.000	%	07/01/2022		10,500		10,075		10,147
Fannie Mae	6.000	%	07/01/2037		4,500		4,473		4,452
Freddie Mac	5.500	%	07/01/2037		25,000		24,078		24,113
Ginnie Mae	6.000	%	07/01/2037		1,000		993		995
						$	43,386	$	43,503

See accompanying notes

Schedule of Investments

Asset-Backed Securities Portfolio

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 3.2%
Charlotte Gateway Village LLC
6.410% due 12/01/2016	$	1,845	$	1,895
CVS Lease Pass-Through
5.880% due 01/10/2028		1,936		1,855
General Electric Capital Corp.
5.400% due 03/16/2009		3,000		3,002
Masco Corp.
5.875% due 07/15/2012		5,000		4,964
Northwest Airlines, Inc.
5.840% due 02/06/2015		1,729		1,698
Preferred Term Securities XII
5.910% due 03/24/2034		2,250		2,277
SLM Corp.
3.625% due 03/17/2008		2,000		1,965
United AirLines, Inc.
6.636% due 07/02/2022		2,000		1,988
Total Corporate Bonds & Notes (Cost $19,773)				19,644
U.S. GOVERNMENT AGENCIES 32.1%
Fannie Mae
0.000% due 09/25/2008 (c)		115		112
3.145% due 08/01/2033		317		314
3.448% due 10/01/2033		725		717
3.500% due 04/01/2010 - 09/01/2033		1,605		1,565
3.788% due 07/01/2034		216		216
3.967% due 05/01/2033		454		451
4.000% due 05/20/2010 - 11/25/2033		2,412		2,311
4.010% due 04/01/2033		155		155
4.024% due 07/01/2033		334		332
4.050% due 05/01/2033		688		689
4.080% due 05/01/2034		260		258
4.089% due 02/01/2035		127		126
4.092% due 09/01/2033		176		171
4.125% due 07/09/2012		100		95
4.215% due 09/01/2033		198		193
4.250% due 03/25/2033 - 05/25/2033		697		665
4.255% due 05/01/2036		1,684		1,670
4.301% due 01/01/2033		277		272
4.320% due 09/01/2035		1,238		1,228
4.340% due 02/01/2035		95		95
4.348% due 03/01/2035		1,524		1,504
4.390% due 12/25/2021		20		19
4.462% due 06/01/2035		817		815
4.464% due 04/01/2035		417		412
4.500% due 07/02/2018 - 01/01/2035		1,126		1,102
4.504% due 01/01/2033		473		475
4.510% due 03/01/2035		94		93
4.599% due 07/01/2034		89		88
4.659% due 07/01/2033		88		87
4.673% due 05/25/2035 (g)		2,000		1,974
4.715% due 03/01/2035		222		217
4.723% due 10/01/2033		136		137
4.755% due 01/01/2015		39		39
4.812% due 02/01/2035		178		175
4.849% due 07/01/2035 (g)		5,060		5,026
4.858% due 01/01/2035		137		135
4.869% due 05/01/2036		1,636		1,632
4.879% due 09/01/2035		2,762		2,715
4.919% due 06/01/2033		239		237
4.978% due 02/01/2035		1,402		1,399
5.000% due 09/25/2014 - 11/25/2032		8,643		8,320
5.024% due 10/25/2007 - 09/25/2008		49		49
5.047% due 07/01/2035		1,366		1,366
5.059% due 09/01/2033		41		41
5.124% due 10/25/2008		82		81
5.174% due 09/25/2008		19		19
5.206% due 12/01/2014		28		28
5.233% due 03/01/2036		511		510
5.250% due 05/01/2015 - 03/01/2032		295		291
5.266% due 12/01/2035		111		112
5.267% due 10/01/2018		1,027		1,033
5.276% due 10/01/2017		23		23
5.306% due 02/01/2036 (g)		3,160		3,168
5.316% due 01/01/2029		27		27
5.322% due 10/01/2016		12		12
5.323% due 09/01/2035 (g)		2,759		2,784
5.329% due 01/01/2017		32		32
5.333% due 05/01/2017		70		70
5.337% due 12/01/2017		44		44
5.352% due 09/01/2015		49		49
5.363% due 10/01/2028		59		60
5.370% due 08/25/2043		1,000		988
5.375% due 10/01/2017 - 12/01/2028		96		96
5.384% due 04/01/2032		199		202
5.393% due 04/01/2036		1,576		1,567
5.450% due 03/25/2036		686		688
5.500% due 04/25/2017 - 08/01/2037		79,585		76,711
5.560% due 08/25/2031 - 05/25/2032		771		772
5.596% due 10/01/2027		14		14
5.607% due 05/01/2036		216		217
5.608% due 10/01/2026 - 11/01/2040		301		303
5.613% due 05/01/2036		388		391
5.620% due 12/25/2025 - 04/25/2029		159		160
5.720% due 11/17/2030 - 05/18/2032		574		579
5.744% due 09/17/2027		12		12
5.770% due 10/25/2030 - 02/25/2033		732		739
5.794% due 06/25/2021 - 10/25/2021		144		145
5.820% due 08/25/2031		1,344		1,357
5.824% due 04/01/2036		397		397
5.844% due 01/25/2020 - 11/25/2021		219		222
5.850% due 09/16/2028		84		84
5.870% due 12/18/2031 (g)		1,071		1,088
5.894% due 12/25/2021		257		261
5.920% due 11/18/2031		44		45
5.944% due 03/25/2008		33		33
5.946% due 05/01/2025		204		206
5.970% due 11/25/2031		807		823
6.000% due 03/01/2009 - 08/25/2021		782		788
6.050% due 05/25/2023		83		83
6.090% due 12/01/2008		88		88
6.094% due 05/25/2022		77		78
6.095% due 10/01/2031		101		103
6.133% due 07/01/2042		641		652
6.196% due 12/01/2024		49		49
6.220% due 11/01/2019		36		36
6.244% due 08/25/2023		117		119
6.250% due 02/01/2011		464		472
6.257% due 11/01/2032		264		263
6.283% due 10/01/2040		238		243
6.310% due 12/01/2017		59		59
6.317% due 10/01/2032		50		50
6.333% due 11/01/2030		86		88
6.344% due 12/25/2023		149		152
6.440% due 07/01/2036		767		777
6.444% due 12/25/2008		126		126
6.500% due 07/25/2008 - 12/25/2023		389		395
6.510% due 08/01/2036		1,091		1,111
6.625% due 07/01/2010		26		26
6.661% due 03/01/2029		20		20
6.665% due 08/01/2018		39		39
6.691% due 10/25/2008		44		44
6.735% due 03/01/2019		27		27
6.750% due 12/25/2023		187		194
6.770% due 01/18/2029		264		266
6.930% due 03/01/2027		12		12
7.000% due 02/01/2019 - 07/25/2042		278		286
7.038% due 10/25/2008		58		58
7.054% due 05/01/2033		147		148
7.090% due 05/01/2031		15		15
7.091% due 08/01/2032		83		83
7.096% due 09/01/2033		67		67
7.100% due 03/01/2030		31		31
7.114% due 11/01/2024		129		130
7.116% due 01/01/2028		31		31
7.119% due 09/01/2030		52		52
7.175% due 12/01/2024		13		13
7.250% due 09/01/2032		24		25
7.296% due 10/25/2008		105		106
7.368% due 04/01/2018		27		28
7.440% due 03/01/2027		83		84
7.500% due 04/25/2022 - 09/01/2032		218		221
7.722% due 02/01/2026		35		35
10.256% due 08/25/2021		109		124
Farmer Mac
7.542% due 01/25/2012		371		374
Federal Home Loan Bank
3.000% due 06/02/2008		1,950		1,910
3.625% due 07/14/2010		500		479
4.750% due 08/15/2008 - 07/14/2017		1,345		1,330
5.000% due 06/19/2018		500		472
Federal Housing Administration
7.430% due 03/01/2021		17		17
Freddie Mac
3.876% due 01/01/2034		108		106
4.000% due 09/25/2009 - 10/15/2033		518		450
4.176% due 04/01/2034		359		353
4.183% due 04/01/2035		941		940
4.213% due 04/01/2033		116		116
4.239% due 03/01/2034		230		226
4.295% due 12/01/2033		389		384
4.351% due 01/01/2035		324		317
4.378% due 01/01/2035		128		126
4.396% due 11/01/2033		135		134
4.434% due 04/01/2035		1,571		1,545
4.500% due 12/15/2010 - 09/15/2018		2,057		2,013
4.547% due 01/01/2035		1,530		1,517
4.679% due 09/01/2035		399		394
4.820% due 10/15/2022		57		57
4.833% due 10/01/2033		52		53
4.928% due 11/01/2035		3,633		3,605
4.965% due 04/01/2034		192		193
4.997% due 05/01/2035		263		260
5.000% due 02/15/2011 - 09/15/2035		1,906		1,840
5.016% due 12/01/2035		643		640
5.250% due 07/30/2018		100		95
5.340% due 09/01/2035		88		88
5.363% due 04/01/2035		532		531
5.426% due 02/01/2036		177		177
5.453% due 04/01/2036		531		528
5.488% due 07/01/2032		98		98
5.500% due 12/01/2008 - 10/15/2015		878		879
5.520% due 03/15/2031		1,211		1,216
5.565% due 03/01/2025		115		116
5.570% due 10/15/2032		86		87
5.656% due 01/01/2032		54		55
5.662% due 04/01/2036		247		246
5.670% due 12/15/2029		88		89
5.680% due 10/25/2029		3		3
5.759% due 03/01/2036		1,384		1,381
5.770% due 12/15/2031		32		33
5.775% due 09/15/2023		197		198
5.870% due 08/15/2029 - 08/15/2031		756		765
5.875% due 05/15/2023		284		285
5.881% due 09/25/2023		1,355		1,359
5.891% due 04/01/2032		142		143
5.920% due 05/15/2023		148		151
5.922% due 08/01/2031		358		361
6.000% due 08/15/2019		29		29
6.023% due 11/01/2024		382		385
6.025% due 03/15/2020		77		78
6.060% due 12/01/2024		590		593
6.227% due 02/25/2045		87		87
6.425% due 10/15/2022		253		254
6.427% due 07/25/2044 (g)		3,828		3,861
6.475% due 05/15/2023		48		49
6.500% due 03/15/2009 - 07/25/2043		719		727
6.500% due 05/15/2029 (g)		3,835		3,820
6.560% due 09/15/2014		50		51
6.683% due 05/01/2026		75		76
7.000% due 06/01/2016		1,982		2,043
7.064% due 08/01/2029		36		36
7.145% due 04/01/2033		27		27
7.152% due 02/01/2026		39		40
7.158% due 04/01/2031		36		36
7.192% due 02/01/2022		16		16
7.195% due 03/01/2028		19		19
7.211% due 09/01/2028		80		81
7.250% due 08/01/2032		21		21
7.262% due 08/01/2023		40		40
7.310% due 11/01/2023		13		13
7.341% due 03/01/2033		35		36
9.250% due 11/15/2019		29		29
11.610% due 11/15/2007		35		35
Ginnie Mae
4.500% due 07/20/2030		258		261
5.125% due 10/20/2026		86		87
5.250% due 02/20/2030		6		6
5.375% due 04/20/2016 - 04/20/2033		1,382		1,396
5.380% due 05/20/2030		151		154
5.500% due 09/20/2028 - 09/20/2032		1,613		1,627
5.720% due 02/20/2029 - 09/20/2030		679		681
5.750% due 09/20/2018		25		25
5.870% due 10/16/2029		204		207
5.875% due 05/20/2016 - 11/20/2031		83		84
6.000% due 01/20/2033 - 01/20/2034		1,801		1,818
6.125% due 12/20/2027		7		7
6.250% due 02/20/2030		265		268
7.000% due 10/20/2021		503		516
Tennessee Valley Authority
5.880% due 04/01/2036		3,000		3,133
Total U.S. Government Agencies (Cost $195,324)				195,519
MORTGAGE-BACKED SECURITIES 31.3%
Adjustable Rate Mortgage Trust
5.228% due 11/25/2035		3,960		3,918
American Home Mortgage Investment Trust
4.992% due 06/25/2045		678		682
5.470% due 09/25/2035		445		445
Asset Securitization Corp.
7.384% due 08/13/2029		750		752
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		739		728
Banc of America Mortgage Securities, Inc.
4.108% due 06/25/2034		470		458
4.588% due 11/25/2033		367		358
6.500% due 09/25/2033		118		118
Bear Stearns Adjustable Rate Mortgage Trust
4.186% due 10/25/2034		386		389
4.750% due 10/25/2035		397		393
4.919% due 10/25/2034		1,009		1,021
5.329% due 02/25/2033		56		56
5.758% due 02/25/2036		877		876
6.337% due 11/25/2030		93		92
Bear Stearns Alt-A Trust
5.359% due 02/25/2036		62		61
5.679% due 08/25/2036		2,689		2,695
Bear Stearns Commercial Mortgage Securities
5.970% due 03/15/2019		2,500		2,485
Bear Stearns Mortgage Securities, Inc.
6.474% due 06/25/2030		727		739
Carey Commercial Mortgage Trust
5.970% due 09/20/2019 (g)		1,782		1,780
CBA Commercial Small Balance Commercial Mortgage
5.600% due 12/25/2036 (g)		1,140		1,161
CC Mortgage Funding Corp.
5.827% due 01/25/2035		2,545		2,549
Chase Mortgage Finance Corp.
5.000% due 11/25/2033		335		313
5.398% due 01/25/2036		378		368
Citicorp Mortgage Securities, Inc.
5.000% due 12/25/2033		224		220
6.870% due 11/25/2018		61		61
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		633		634
Citigroup Mortgage Loan Trust, Inc.
4.677% due 08/25/2035		1,145		1,126
4.900% due 12/25/2035		292		291
6.500% due 06/25/2016 (g)		4,864		4,897
Commercial Mortgage Pass-Through Certificates
5.362% due 02/05/2019 (g)		3,000		2,982
5.479% due 02/05/2019		3,000		3,003
6.455% due 05/15/2032		1,875		1,888
6.715% due 02/01/2009		1,359		1,391
Countrywide Alternative Loan Trust
5.530% due 03/20/2046		1,149		1,149
5.570% due 05/25/2035		727		728
5.590% due 02/25/2036		533		534
5.600% due 12/25/2035		970		971
5.610% due 11/25/2035		265		266
5.630% due 10/25/2035		380		381
5.650% due 10/25/2035		291		291
5.750% due 06/25/2033		1,270		1,267
5.989% due 08/25/2046		5,705		5,727
6.000% due 10/25/2032		37		36
6.185% due 08/25/2036		1,158		1,159
Countrywide Home Loan Mortgage Pass-Through Trust
4.500% due 10/25/2018		380		337
4.596% due 02/19/2034		99		98
5.590% due 02/25/2035		488		489
5.610% due 04/25/2035		279		280
5.620% due 03/25/2035		243		244
5.640% due 03/25/2035		2,371		2,379
5.660% due 02/25/2035		301		302
5.710% due 02/25/2035		752		756
5.780% due 09/25/2034		661		662
5.910% due 08/25/2034		3,361		3,375
6.257% due 04/25/2035		725		728
6.881% due 06/19/2031		23		23
CS First Boston Mortgage Securities Corp.
3.006% due 03/15/2036		444		439
4.832% due 04/15/2037		2,000		1,881
5.500% due 11/25/2035		2,441		2,426
5.800% due 01/25/2033		54		54
5.953% due 03/25/2032		159		159
6.250% due 07/25/2035		1,808		1,802
6.500% due 04/25/2033		132		132
7.000% due 02/25/2033		166		166
Denver Arena Trust
6.940% due 11/15/2019		1,742		1,745
Drexel Burnham Lambert CMO Trust
6.070% due 05/01/2016		262		263
First Horizon Alternative Mortgage Securities
4.457% due 03/25/2035		1,127		1,129
4.732% due 06/25/2034 (g)		2,587		2,555
First Horizon Asset Securities, Inc.
4.918% due 02/25/2035		632		627
First Republic Mortgage Loan Trust
5.640% due 06/25/2030		230		230
5.670% due 11/15/2031		985		988
GMAC Commercial Mortgage Securities, Inc.
4.154% due 07/10/2039		5,220		5,087
6.278% due 11/15/2039		4,000		4,101
6.500% due 05/15/2035		3,000		3,038
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		166		164
Greenpoint Mortgage Funding Trust
5.540% due 06/25/2045		754		754
5.550% due 06/25/2045		933		935
Greenwich Capital Acceptance, Inc.
8.137% due 06/25/2024		101		101
GS Mortgage Securities Corp. II
5.690% due 03/06/2020		4,500		4,505
6.044% due 08/15/2018		562		569
GSR Mortgage Loan Trust
6.000% due 03/25/2032		3		3
GSRPM Mortgage Loan Trust
6.020% due 01/25/2032		997		1,013
Harborview Mortgage Loan Trust
4.589% due 11/19/2034		170		168
5.308% due 12/19/2035		201		199
5.410% due 01/19/2038		1,360		1,362
5.510% due 01/19/2038		1,764		1,767
5.510% due 02/19/2046		1,551		1,550
5.540% due 05/19/2035		1,069		1,071
5.560% due 03/19/2037		877		879
Hilton Hotel Pool Trust
5.820% due 10/03/2015		2,000		2,019
Impac Secured Assets CMN Owner Trust
5.670% due 05/25/2036		195		195
5.750% due 08/25/2036		3,293		3,311
Indymac ARM Trust
6.633% due 01/25/2032		52		52
Indymac Index Mortgage Loan Trust
5.530% due 06/25/2047		608		609
5.560% due 04/25/2035		909		910
5.600% due 03/25/2035		815		818
5.640% due 02/25/2035		939		942
5.930% due 09/25/2034		1,000		1,012
Indymac Loan Trust
5.540% due 01/25/2011		100		100
5.600% due 07/25/2009		119		120
JPMorgan Chase Commercial Mortgage Securities Corp.
3.890% due 01/12/2037		4,433		4,342
5.430% due 02/15/2019		23		23
JPMorgan Mortgage Trust
5.114% due 06/25/2035		891		881
Kidder Peabody Mortgage Assets Trust
6.500% due 02/22/2017		62		63
LB Mortgage Trust
7.810% due 01/15/2009		41		42
8.445% due 01/20/2017		353		386
LB-UBS Commercial Mortgage Trust
4.394% due 07/15/2030		85		84
6.058% due 06/15/2020		71		72
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		153		150
4.138% due 07/25/2034		145		142
7.250% due 12/25/2033		9		10
MASTR Asset Securitization Trust
4.750% due 12/25/2033		2,000		1,970
Mellon Residential Funding Corp.
5.760% due 12/15/2030		894		898
Merrill Lynch Mortgage Trust
4.218% due 06/12/2043		1,203		1,183
MLCC Mortgage Investors, Inc.
5.690% due 03/25/2028		20		20
Morgan Stanley Capital I
5.373% due 11/14/2042		1,090		1,052
Nationslink Funding Corp.
6.888% due 11/10/2030 (g)		1,164		1,166
Ocwen Residential Mortgage-Backed Securities Corp.
6.854% due 06/25/2039		604		474
Prudential Securities Secured Financing Corp.
3.678% due 05/25/2022		217		216
Residential Accredit Loans, Inc.
5.355% due 09/25/2034		81		81
5.620% due 08/25/2035 (g)		6,451		6,463
Residential Asset Mortgage Products, Inc.
7.000% due 06/25/2032		46		46
Residential Asset Securitization Trust
4.750% due 02/25/2019		666		633
5.670% due 10/25/2018		337		337
Residential Funding Mortgage Securities I, Inc.
5.720% due 07/25/2018		292		293
6.500% due 03/25/2032		8		8
Rural Housing Trust 1987-1
8.330% due 04/01/2026		32		32
Salomon Brothers Mortgage Securities VII, Inc.
4.116% due 09/25/2033		95		95
8.500% due 05/25/2032		837		864
Sequoia Mortgage Trust
5.550% due 02/20/2035		133		133
5.670% due 10/19/2026		283		284
5.720% due 10/20/2027		54		55
Starwood Commercial Mortgage Trust
6.920% due 02/03/2014		1,000		1,025
Structured Adjustable Rate Mortgage Loan Trust
4.500% due 02/25/2034		642		636
5.660% due 08/25/2035		375		376
5.810% due 06/25/2034		676		678
Structured Asset Mortgage Investments, Inc.
5.490% due 03/25/2037		1,951		1,951
5.540% due 05/25/2036 (g)		2,547		2,552
5.630% due 12/25/2035		1,171		1,174
5.740% due 10/19/2033		106		106
5.894% due 05/02/2030		131		131
Structured Asset Securities Corp.
4.420% due 06/25/2033		2,455		2,464
6.702% due 02/25/2032		8		8
6.951% due 11/25/2032		22		22
7.218% due 10/25/2031		99		100
7.322% due 06/25/2032		31		30
Travelers Mortgage Services, Inc.
6.806% due 09/25/2018		85		84
Wachovia Bank Commercial Mortgage Trust
0.194% due 10/15/2041 (b)		101,179		2,161
Washington Mutual MSC Mortgage Pass-Through Certificates
5.407% due 02/25/2033		163		163
5.820% due 01/25/2018		288		289
7.474% due 11/25/2030		122		121
Washington Mutual, Inc.
3.423% due 05/25/2033		2,560		2,532
3.942% due 07/25/2034		470		458
4.150% due 08/25/2034		625		609
4.189% due 08/25/2033		105		103
4.243% due 06/25/2034		505		496
4.672% due 04/25/2035		200		196
4.816% due 10/25/2032		275		275
5.094% due 10/25/2032		36		36
5.474% due 02/27/2034		2,109		2,073
5.540% due 01/25/2045		135		135
5.549% due 11/25/2041		24		24
5.610% due 07/25/2045		2,032		2,036
5.610% due 10/25/2045		47		47
5.630% due 01/25/2045		456		458
5.640% due 07/25/2045		3,549		3,558
5.710% due 12/25/2045		1,545		1,547
5.745% due 11/25/2034		80		80
5.765% due 10/25/2044 (g)		3,057		3,068
5.795% due 06/25/2044		367		368
5.795% due 07/25/2044		332		333
5.860% due 12/25/2027		1,805		1,806
5.875% due 07/25/2044		265		266
6.029% due 02/25/2046		1,172		1,174
6.223% due 05/25/2041		169		170
6.227% due 11/25/2041		446		446
6.400% due 12/19/2039 (g)		1,090		1,076
6.429% due 06/25/2042		92		92
6.429% due 08/25/2042		95		95
6.429% due 04/25/2044		6		6
Wells Fargo Mortgage-Backed Securities Trust
3.539% due 09/25/2034		450		438
4.000% due 08/25/2034		410		400
4.354% due 05/25/2035		1,238		1,217
4.480% due 06/25/2035		1,363		1,345
4.488% due 11/25/2033		150		143
4.524% due 06/25/2034 (g)		3,812		3,695
4.541% due 02/25/2035		1,663		1,630
4.555% due 01/25/2035		371		366
4.555% due 01/25/2035 (g)		3,767		3,702
4.575% due 12/25/2034		20		19
4.587% due 11/25/2034		1,779		1,756
4.659% due 02/25/2033		105		105
4.950% due 03/25/2036		1,104		1,089
4.999% due 10/25/2035		192		189
5.250% due 02/25/2018		772		765
Total Mortgage-Backed Securities (Cost $190,019)				190,053
ASSET-BACKED SECURITIES 50.6%
Aames Mortgage Investment Trust
5.380% due 04/25/2036		100		100
5.630% due 06/25/2035		11		11
5.720% due 10/25/2035 (g)		3,000		3,006
ABFS Mortgage Loan Trust
6.285% due 07/15/2033		2,000		1,912
Accredited Mortgage Loan Trust
5.360% due 09/25/2036		400		400
5.380% due 04/25/2036		846		847
5.470% due 12/25/2035		700		701
5.530% due 12/25/2035		100		100
ACE Securities Corp.
5.370% due 08/25/2036		1,460		1,461
5.470% due 12/25/2035 (g)		5,100		5,104
6.120% due 03/25/2035		2,038		2,040
Aircraft Certificate Owner Trust
6.455% due 09/20/2022		2,623		2,606
American Express Credit Account Master Trust
5.500% due 11/15/2010		75		75
5.820% due 02/15/2012		1,536		1,540
American Home Mortgage Investment Trust
5.500% due 08/25/2035		56		56
American Residential Eagle Certificate Trust
6.320% due 05/25/2028		899		901
Amortizing Residential Collateral Trust
5.590% due 06/25/2032		52		53
5.600% due 01/25/2032		71		72
5.670% due 08/25/2032		18		18
Amresco Residential Securities Mortgage Loan Trust
5.815% due 06/25/2028		217		218
5.830% due 03/25/2027		17		17
5.875% due 06/25/2027		172		172
5.875% due 09/25/2027		563		563
Argent Securities, Inc.
5.400% due 03/25/2036		121		121
5.480% due 03/25/2036 (g)		5,500		5,505
Asset-Backed Funding Certificates
5.740% due 12/25/2034		5,000		5,005
6.340% due 03/25/2032		2,271		2,273
Asset-Backed Securities Corp. Home Equity
5.430% due 05/25/2036		2,000		2,001
5.720% due 05/25/2036		2,500		2,492
5.840% due 06/15/2031		70		70
6.670% due 04/15/2033		200		200
Bayview Financial Asset Trust
5.720% due 12/25/2039		776		779
Bear Stearns Asset-Backed Securities, Inc.
5.400% due 12/25/2035		106		106
5.420% due 12/25/2035		350		350
5.470% due 08/25/2036		395		395
5.495% due 10/25/2036		4,581		4,538
5.520% due 09/25/2034		43		43
5.520% due 06/25/2036 (g)		3,513		3,517
5.650% due 10/25/2032		206		206
5.650% due 01/25/2036		812		813
5.720% due 10/27/2032		90		90
5.820% due 09/25/2034 (j)		599		600
5.820% due 06/25/2035 (g)		8,594		8,610
5.920% due 10/25/2032		247		248
6.070% due 11/25/2042		370		373
Bear Stearns Cos., Inc.
6.120% due 12/25/2036		5,000		5,020
Bear Stearns Second Lien Trust
7.820% due 12/25/2036		1,200		436
CDC Mortgage Capital Trust
5.630% due 01/25/2033		55		55
6.370% due 01/25/2033		1,943		1,945
Cendant Mortgage Corp.
6.000% due 07/25/2043		316		315
Centex Home Equity
5.160% due 09/25/2034		2,000		1,915
5.800% due 06/25/2034		30		30
6.010% due 09/25/2034		1,400		1,407
Charming Shoppes Master Trust
5.650% due 05/15/2014		1,000		1,010
Chase Credit Card Master Trust
5.680% due 10/15/2009		50		50
Chase Funding Mortgage Loan Asset-Backed Certificates
4.515% due 02/25/2014		522		505
4.537% due 09/25/2032		10		9
5.590% due 04/25/2033		12		12
CIT Group Home Equity Loan Trust
5.970% due 12/25/2031		1,201		1,205
Citigroup Mortgage Loan Trust, Inc.
5.370% due 10/25/2036		2,008		2,009
5.420% due 10/25/2036		2,000		2,000
5.629% due 08/25/2035		2,777		2,652
Community Program Loan Trust
4.500% due 10/01/2018		1,392		1,371
4.500% due 04/01/2029		500		469
Conseco Finance Securitizations Corp.
8.310% due 05/01/2032		2,211		1,808
Conseco Recreational Enthusiast Consumer Trust
5.550% due 08/15/2025		306		307
ContiMortgage Home Equity Trust
5.800% due 06/15/2025		33		33
7.780% due 04/25/2014		21		21
Countrywide Asset-Backed Certificates
4.946% due 10/25/2035		320		309
5.125% due 12/25/2034		3,000		2,926
5.370% due 07/25/2037		324		324
5.370% due 08/25/2037		1,803		1,803
5.420% due 05/25/2036		20		20
5.460% due 04/25/2036		272		272
5.480% due 02/25/2036		97		97
5.520% due 08/25/2035		166		166
5.530% due 10/25/2035 (g)		1,443		1,445
5.590% due 06/25/2035		62		62
5.620% due 11/25/2033		47		47
5.660% due 06/25/2033		43		43
5.660% due 05/25/2036		35		35
5.780% due 11/25/2036		4,000		4,019
5.790% due 11/25/2033		276		278
5.820% due 09/25/2032		382		383
5.940% due 09/25/2033		18		18
6.220% due 04/25/2032		590		591
6.220% due 05/25/2032		700		700
Credit-Based Asset Servicing & Securitization LLC
5.470% due 10/25/2036		1,335		1,336
5.750% due 01/25/2036		1,000		1,001
5.770% due 11/25/2033		3,037		3,041
5.950% due 06/25/2032		225		226
6.720% due 01/25/2031		736		739
CS First Boston Mortgage Securities Corp.
5.570% due 01/25/2043		436		436
5.680% due 05/25/2044		359		360
5.940% due 01/25/2032		21		21
Embarcadero Aircraft Securitization Trust
6.420% due 08/15/2025 (a)		1,183		18
EMC Mortgage Loan Trust
5.770% due 12/25/2042		2,503		2,503
6.070% due 08/25/2040		1,094		1,109
Equifirst Mortgage Loan Trust
3.750% due 09/25/2033		891		828
5.540% due 04/25/2035		1,156		1,157
Equity One Asset-Backed Securities, Inc.
5.570% due 07/25/2034		76		76
5.660% due 07/25/2034		5		5
First Alliance Mortgage Loan Trust
5.530% due 09/20/2027		51		51
5.800% due 10/25/2024		18		18
8.020% due 03/20/2031		34		34
First Franklin Mortgage Loan Asset-Backed Certificates
5.410% due 01/25/2036 (g)		1,523		1,525
5.700% due 10/25/2034		105		105
5.720% due 04/25/2035		3,000		3,005
First International Bank N.A.
5.870% due 03/15/2027		181		127
First NLC Trust
5.560% due 02/25/2036		4,000		4,003
Fleet Home Equity Loan Trust
5.570% due 01/20/2033		304		305
Green Tree Financial Corp.
6.180% due 04/01/2030		1,437		1,418
6.220% due 03/01/2030		109		108
6.240% due 11/01/2016		4		4
6.450% due 06/01/2030		367		368
6.530% due 04/01/2030		1,027		1,028
6.810% due 12/01/2027		2,380		2,423
6.860% due 03/15/2028		49		50
6.860% due 07/15/2029		629		643
6.870% due 04/01/2030		63		64
7.360% due 02/15/2029		46		48
7.550% due 01/15/2029		2,031		2,103
7.620% due 06/15/2028		162		170
GSAMP Trust
5.360% due 10/25/2046		1,444		1,444
5.390% due 02/25/2036		185		185
5.412% due 01/25/2045		553		549
5.440% due 12/25/2035		164		164
5.440% due 01/25/2047		4,144		4,146
5.470% due 10/25/2036 (g)		6,750		6,754
5.510% due 11/25/2035 (g)		6,900		6,898
5.870% due 03/25/2034		2,357		2,363
GSRPM Mortgage Loan Trust
5.440% due 03/25/2035 (g)		2,504		2,504
5.700% due 09/25/2042		158		158
HFC Home Equity Loan Asset-Backed Certificates
5.850% due 01/20/2034		1,077		1,079
Home Equity Asset Trust
5.480% due 05/25/2036 (g)		7,000		7,005
5.850% due 07/25/2034		726		728
5.920% due 11/25/2032		1		1
Home Equity Mortgage Trust
5.300% due 05/25/2036		135		135
5.321% due 04/25/2035		782		771
5.500% due 05/25/2036 (g)		5,000		5,005
HSBC Asset Loan Obligation
5.380% due 12/25/2036		394		394
IMC Home Equity Loan Trust
7.310% due 11/20/2028		138		138
Indymac Home Equity Loan Asset-Backed Trust
6.670% due 07/25/2034		1,000		1,009
Irwin Home Equity Corp.
6.220% due 02/25/2029		1,452		1,455
Ischus CDO Ltd.
5.600% due 07/10/2047		873		874
IXIS Real Estate Capital Trust
5.380% due 08/25/2036		69		69
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		425		426
5.390% due 11/25/2036		455		455
5.430% due 08/25/2036		3,636		3,638
5.530% due 06/25/2035		494		495
Keystone Owner Trust
7.900% due 01/25/2029		180		179
7.930% due 05/25/2025		34		34
LA Arena Funding LLC
7.656% due 12/15/2026		3,028		3,164
Lake Country Mortgage Loan Trust
5.850% due 12/25/2032 (g)		1,251		1,285
Long Beach Mortgage Loan Trust
5.600% due 10/25/2034		18		18
5.790% due 08/25/2035		2,000		2,003
6.020% due 03/25/2032		2		2
6.745% due 03/25/2032		534		535
Madison Avenue Manufactured Housing Contract
6.770% due 03/25/2032		1,500		1,455
MASTR Asset-Backed Securities Trust
5.430% due 11/25/2035 (g)		1,241		1,242
5.870% due 10/25/2034		1,234		1,236
MASTR Specialized Loan Trust
6.170% due 05/25/2037		630		630
Merrill Lynch Mortgage Investors, Inc.
5.350% due 05/25/2037		265		265
5.380% due 10/25/2037		1,660		1,661
5.430% due 07/25/2036		390		390
5.460% due 01/25/2037		550		550
Mid-State Trust
6.005% due 08/15/2037		1,257		1,256
Money Store Home Equity Trust
5.620% due 08/15/2029		158		158
Morgan Stanley ABS Capital I
5.350% due 06/25/2036		2,148		2,148
5.360% due 06/25/2036		86		86
5.390% due 08/25/2036		33		33
5.420% due 04/25/2036		7,500		7,499
5.420% due 10/25/2036		5,000		4,999
5.420% due 11/25/2036		5,000		4,998
5.470% due 06/25/2036		325		325
Morgan Stanley Capital I
7.795% due 01/25/2032		1,215		1,218
Morgan Stanley Home Equity Loans
5.420% due 09/25/2035		384		384
5.430% due 02/25/2036		2,335		2,337
Morgan Stanley IXIS Real Estate Capital Trust
5.430% due 11/25/2036		3,000		3,000
Morgan Stanley Mortgage Loan Trust
5.480% due 11/25/2036		3,812		3,811
New Century Home Equity Loan Trust
6.970% due 06/20/2031		3,988		3,993
Nomura Asset Acceptance Corp.
5.630% due 01/25/2036 (g)		3,000		3,008
Novastar Home Equity Loan
5.710% due 05/25/2033		15		15
Oakwood Mortgage Investors, Inc.
5.695% due 03/15/2018		545		479
Option One Mortgage Loan Trust
5.620% due 04/25/2033		51		51
5.820% due 08/20/2030		15		15
5.850% due 05/25/2034		35		35
5.860% due 06/25/2032		10		10
Origen Manufactured Housing
5.560% due 05/15/2032		24		24
7.650% due 03/15/2032		2,000		1,970
Park Place Securities, Inc.
5.910% due 02/25/2035		2,000		2,016
Peco Energy Transition Trust
6.130% due 03/01/2009		200		201
People’s Choice Home Loan Securities Trust
5.750% due 05/25/2035		1,200		1,202
Quest Trust
5.760% due 09/25/2034		26		26
5.880% due 06/25/2034		95		95
7.020% due 07/20/2034		100		101
Renaissance Home Equity Loan Trust
4.934% due 08/25/2035		140		137
5.820% due 12/25/2033		300		303
5.940% due 03/25/2033		44		45
6.120% due 08/25/2032		2,000		2,016
Residential Asset Mortgage Products, Inc.
5.400% due 02/25/2036		47		47
5.440% due 10/25/2036 (g)		4,576		4,578
5.707% due 08/25/2034 (g)		3,000		2,902
5.900% due 07/25/2034 (g)		2,000		1,891
5.942% due 04/25/2034 (g)		2,000		1,984
6.040% due 04/25/2033		6		6
6.100% due 02/25/2033		16		16
Residential Asset Securities Corp.
5.380% due 04/25/2036		71		71
5.450% due 03/25/2036 (g)		7,500		7,505
5.750% due 03/25/2035 (g)		7,000		7,013
5.900% due 06/25/2033		45		45
7.140% due 04/25/2032		764		412
Residential Funding Mortgage Securities II, Inc.
5.610% due 12/25/2032		27		27
6.230% due 05/25/2037		5,000		5,005
8.350% due 03/25/2025		128		128
SACO I, Inc.
5.500% due 05/25/2036		4,930		4,932
5.500% due 06/25/2036 (b)		15,691		381
5.530% due 03/25/2036 (g)		3,978		3,980
5.580% due 06/25/2036		1,891		1,893
5.820% due 07/25/2035		5,553		5,562
6.020% due 10/25/2034		74		74
Salomon Brothers Mortgage Securities VII, Inc.
5.800% due 03/25/2028		343		343
Saxon Asset Securities Trust
5.660% due 12/26/2034		87		87
5.820% due 03/25/2032		987		988
Securitized Asset-Backed Receivables LLC Trust
5.390% due 11/25/2035		651		652
5.390% due 12/25/2035		79		79
SLM Student Loan Trust
5.400% due 06/15/2018		63		63
5.495% due 10/25/2016		206		206
Soundview Home Equity Loan Trust
5.510% due 02/25/2036		100		100
Specialty Underwriting & Residential Finance
5.420% due 11/25/2037		3,000		2,998
5.740% due 12/25/2035		1,000		1,003
Structured Asset Investment Loan Trust
5.450% due 04/25/2035		40		40
Structured Asset Securities Corp.
3.375% due 08/25/2031		120		109
4.900% due 04/25/2035		1,085		1,081
5.440% due 02/25/2036		3,000		3,001
5.450% due 12/25/2035		384		385
5.610% due 01/25/2033		22		22
5.970% due 05/25/2034		98		99
6.370% due 01/25/2033		196		197
Structured Settlements Fund
7.250% due 12/20/2015		72		72
Superior Wholesale Inventory Financing Trust
5.620% due 01/15/2012		3,000		3,001
Trapeza CDO I LLC
6.015% due 11/16/2034		1,000		998
Truman Capital Mortgage Loan Trust
5.800% due 11/25/2031		6		6
6.470% due 11/25/2032		6		6
UCFC Manufactured Housing Contract
7.900% due 01/15/2028		1,000		468
Vanderbilt Mortgage Finance
5.840% due 02/07/2026		330		329
7.905% due 02/07/2026		687		715
WMC Mortgage Loan Pass-Through Certificates
6.145% due 03/20/2029		114		115
World Financial Network Credit Card Master Trust
6.320% due 03/15/2013		2,000		2,014
Total Asset-Backed Securities (Cost $310,460)				308,000
SHORT-TERM INSTRUMENTS 16.8%
Commercial Paper 13.3%
Fortis Funding LLC
5.275% due 09/05/2007		15,200		15,138
Freddie Mac
4.800% due 07/02/2007		24,000		24,000
San Paolo IMI U.S. Financial Co.
5.330% due 08/08/2007		6,900		6,900
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		16,600		16,600
UBS Finance Delaware LLC
5.230% due 10/23/2007		13,000		12,943
5.240% due 10/23/2007		5,300		5,227
				80,808
Repurchase Agreements 1.7%
State Street Bank and Trust Co.
4.900% due 07/02/2007		10,604		10,604
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $10,821. Repurchase proceeds are $10,608.)
U.S. Treasury Bills 1.8%
4.605% due 08/30/2007 - 09/13/2007 (d)(e)(h)		11,010		10,894
Total Short-Term Instruments (Cost $102,325)				102,306
Total Investments (f) 134.0% (Cost $817,901)			$	815,522
Other Assets and Liabilities (Net) (34.0%)				(206,986	)
Net Assets 100.0%			$	608,536

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 $7,176 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(f) As of June 30, 2007, portfolio securities with an aggregate value of $42,284 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 June 30, 2007 was $163,161 at a weighted average interest rate of 5.360%. On June 30, 2007, securities valued at $148,608 were pledged as collateral for reverse repurchase agreements.

(h) Securities with an aggregate market value of $3,224 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar September Futures	Long	09/2007	1,668	$	(1,373	)
90-Day Eurodollar September Futures	Long	09/2008	1,765		(463	)
				$	(1,836	)

(i) Swap agreements outstanding on June 30, 2007:

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	%)	09/20/2012	$	5,000	$	(3	)
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	%	07/25/2033		492		(140	)
Bank of America	New Century Home Equity Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.750% due 06/25/2035	Buy	(5.000	%)	06/25/2035		2,500		86
Bank of America	TABS Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 08/07/2045	Buy	(4.200	%)	08/07/2045		1,000		106
Bank of America	Kent Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.550% due 05/08/2046	Buy	(1.830	%)	05/08/2046		3,000		548
Bank of America	Midori CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.300% due 02/15/2047	Buy	(1.730	%)	02/15/2047		2,000		486
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Buy	(0.400	%)	12/20/2011		40,000		91
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	%)	02/25/2034		1,000		(25	)
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	%)	02/25/2035		1,000		(23	)
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	%)	02/25/2035		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	%)	06/28/2046		3,000		920
Barclays Bank PLC	Camber floating rate based on 3-Month USD-LIBOR plus 3.250% due 07/12/2043	Buy	(3.300	%)	06/28/2046		2,000		663
Bear Stearns & Co., Inc.	Juneau Investments LLC 5.900% due 02/22/2021	Buy	(0.170	%)	03/20/2017		2,500		40
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	%)	06/25/2030		2,541		(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		10
Bear Stearns & Co., Inc.	Merrill Lynch Mortgage Trust 5.244% due 11/12/2037	Buy	(1.150	%)	11/12/2037		1,000		(8	)
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	%)	04/23/2039		1,000		94
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	%)	03/08/2040		2,000		293
Bear Stearns & Co., Inc.	LB-UBS Commercial Mortgage Trust 5.404% due 09/15/2040	Buy	(1.170	%)	09/15/2040		1,000		(10	)
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	%)	02/15/2047		1,000		268
Citibank N.A.	Commercial Industrial Finance Corp. floating rate based on 3-Month USD-LIBOR plus 1.600% due 10/20/2020	Buy	(2.150	%)	10/20/2020		1,000		5
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	%)	07/25/2032		1,994		(204	)
Deutsche Bank AG	DaimlerChrysler N.A. Holding Corp. 6.500% due 11/15/2013	Sell	0.225	%	03/20/2008		5,000		5
Deutsche Bank AG	Juneau Investments LLC 5.900% due 02/22/2021	Buy	(0.155	%)	03/20/2017		2,500		43
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	%)	03/25/2035		5,000		(25	)
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	%)	05/25/2035		2,000		58
Deutsche Bank AG	Commercial Mortgage-Backed Index	Sell	1.340	%	10/12/2052		2,000		5
Goldman Sachs & Co.	Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500	%)	10/11/2021		500		(4	)
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	%	05/25/2033		2,500		11
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	%	01/25/2034		2,500		18
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	%)	02/25/2034		1,926		(9	)
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	%	09/25/2034		2,000		65
Goldman Sachs & Co.	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 03/08/2040	Buy	(3.900	%)	03/08/2040		1,000		172
JPMorgan Chase & Co.	Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Buy	(0.400	%)	03/20/2017		5,000		17
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	%)	09/25/2034		2,000		(6	)
JPMorgan Chase & Co.	New Century Home Equity Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.750% due 06/25/2035	Sell	5.500	%	06/25/2035		2,500		(37	)
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		47
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Sell	0.145	%	12/20/2016		25,000		(104	)
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		10
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 2.000% due 06/25/2038	Buy	(2.500	%)	06/25/2038		2,000		937
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		121
Lehman Brothers, Inc.	Citius Funding Ltd. floating rate based on 1-Month USD-LIBOR plus 1.370% due 05/05/2046	Buy	(1.440	%)	05/05/2046		927		187
Lehman Brothers, Inc.	Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800	%)	06/25/2046		2,000		786
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	%	02/25/2034		1,926		13
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	%)	09/27/2046		4,000		2,059
Merrill Lynch & Co., Inc.	Lenox Street Ltd. floating rate based on 3-Month USD-LIBOR plus 1.750% due 03/04/2045	Buy	(3.500	%)	03/04/2050		1,000		66
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Buy	(0.140	%)	12/20/2012		11,200		(2	)
Morgan Stanley	Dow Jones CDX N.A. IG5 Index	Sell	0.460	%	12/20/2015		8,000		(38	)
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	%	06/25/2030		2,541		5
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	%	07/25/2032		1,994		244
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		11
Morgan Stanley	Park Place Securities, Inc. floating rate based on 1-Month USD-LIBOR plus 2.200% due 03/25/2035	Sell	3.030	%	03/25/2035		5,000		51
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	%)	05/25/2033		2,500		5
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	%)	01/25/2034		2,500		23
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 Warburg LLC	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.	Race Point CLO floating rate based on 3-Month USD-LIBOR plus 1.650% due 04/15/2020	Buy	(1.950	%)	04/15/2020		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	%)	01/08/2051		2,000		665
								$	8,584

Credit Default Swaps (Asset-Backed Indices)

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Home Equity Index BBB Rating 2006-2	Buy	(1.330	%)	05/25/2046	$	5,000	$	262
Bear Stearns & Co., Inc.	Home Equity Index BBB Rating 2006-2	Buy	(2.420	%)	05/25/2046		2,000		619
Citibank N.A.	Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045		4,000		(416	)
Citibank N.A.	Home Equity Index BBB Rating 2006-2	Buy	(1.330	%)	05/25/2046		5,000		1,135
Credit Suisse First Boston	Home Equity Index BBB Rating 2006-2	Buy	(2.420	%)	05/25/2046		2,000		612
Goldman Sachs & Co.	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		5,000		(276	)
Goldman Sachs & Co.	Home Equity Index AA Rating 2006-2	Sell	0.170	%	05/25/2046		3,000		(13	)
Goldman Sachs & Co.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		10,000		(1,805	)
Goldman Sachs & Co.	Home Equity Index BBB Rating 2006-2	Sell	2.420	%	05/25/2046		2,000		(596	)
JPMorgan Chase & Co.	Home Equity Index BBB Rating 2006-1	Buy	(1.540	%)	07/25/2045		15,000		1,586
JPMorgan Chase & Co.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		10,000		(2,198	)
JPMorgan Chase & Co.	Home Equity Index BBB Rating 2006-2	Sell	2.420	%	05/25/2046		2,000		(597	)
Lehman Brothers, Inc.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		5,000		(1,168	)
Merrill Lynch & Co., Inc.	Home Equity Index BBB Rating 2006-1	Buy	(1.540	%)	07/25/2045		10,000		1,069
Merrill Lynch & Co., Inc.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		10,000		(2,181	)
								$	(3,967	)

⁽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	%	12/19/2012	$	5,700	$	18
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		14,000		(87	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		37,000		46
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		51,100		(338	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	4.000	%	12/15/2007		36,000		(13	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/21/2009		55,500		(517	)
								$	(891	)

(j) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Bear Stearns Asset-Backed Securities, Inc.	5.820	%	09/25/2034	03/29/2006	$	599	$	600	0.10	%

(k) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	6.000	%	07/01/2037	$	1,500	$	1,491	$	1,484

See accompanying notes

Schedule of Investments

Developing Local Markets Portfolio

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.2%
OAO Rosneft Oil Co.
6.000% due 09/16/2007	$	2,000	$	2,003
Total Bank Loan Obligations (Cost $1,998)				2,003
CORPORATE BONDS & NOTES 17.5%
Banking & Finance 11.9%
American Express Bank FSB
5.340% due 06/12/2009		1,000		1,000
5.380% due 06/22/2009		300		300
American Express Centurion Bank
5.320% due 05/07/2008		100		100
5.480% due 12/17/2009		100		100
American Express Credit Corp.
5.380% due 05/19/2009		100		100
American International Group, Inc.
5.360% due 06/23/2008		200		200
Banco Nacional de Comercio Exterior SNC
3.875% due 01/21/2009		400		386
Banco Santander Chile
5.710% due 12/09/2009		1,000		1,006
Bank of America Corp.
5.366% due 11/06/2009		200		200
5.370% due 09/25/2009		1,400		1,401
Bank of America N.A.
5.355% due 07/25/2008		1,100		1,101
5.360% due 12/18/2008		400		400
5.360% due 06/12/2009		1,300		1,301
Bank of Ireland
5.410% due 12/18/2009		1,800		1,804
Bear Stearns Cos., Inc.
5.585% due 01/31/2011		1,500		1,495
Caterpillar Financial Services Corp.
5.408% due 08/11/2009		700		701
5.410% due 10/09/2009		1,500		1,501
5.420% due 05/18/2009		1,100		1,102
5.430% due 03/10/2009		500		501
Charter One Bank N.A.
5.405% due 04/24/2009		1,000		1,001
CIT Group, Inc.
5.430% due 12/19/2007		2,500		2,500
5.505% due 01/30/2009		2,300		2,297
Citigroup, Inc.
5.390% due 12/28/2009		1,800		1,801
5.400% due 12/26/2008		200		200
5.450% due 05/18/2011		900		901
5.510% due 05/18/2010		500		502
Colvis Finance
8.000% due 02/02/2009		300		306
Commonwealth Bank of Australia
5.360% due 06/08/2009		100		100
Credit Agricole S.A.
5.360% due 05/28/2009		800		800
5.410% due 05/28/2010		6,700		6,704
DnB NORBank ASA
5.425% due 10/13/2009		100		100
El Paso Performance-Linked Trust
7.750% due 07/15/2011		200		207
Export-Import Bank of Korea
4.125% due 02/10/2009		100		98
4.250% due 11/27/2007		4,336		4,314
4.250% due 11/06/2008		75		74
4.500% due 08/12/2009		200		196
5.450% due 06/01/2009		3,300		3,302
Ford Motor Credit Co.
5.625% due 10/01/2008		300		296
5.800% due 01/12/2009		200		196
Fortis Bank NY
5.400% due 09/28/2009		1,600		1,601
General Electric Capital Corp.
5.385% due 10/26/2009		200		200
5.430% due 08/15/2011		200		200
5.460% due 06/15/2009		100		100
5.480% due 12/15/2009		1,200		1,203
GMAC LLC
6.610% due 05/15/2009		1,100		1,101
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		300		300
5.447% due 11/10/2008		1,700		1,703
5.450% due 12/22/2008		2,200		2,203
5.450% due 06/23/2009		700		701
5.455% due 07/29/2008		1,300		1,302
5.560% due 03/02/2010		500		502
HBOS Treasury Services PLC
5.320% due 07/17/2008		100		100
5.397% due 07/17/2009		1,600		1,602
5.420% due 12/08/2010		1,500		1,501
HSBC Bank USA N.A.
5.490% due 12/14/2009		250		251
HSBC Finance Corp.
5.360% due 05/21/2008		100		100
5.415% due 10/21/2009		200		200
5.490% due 09/15/2008		1,400		1,403
5.640% due 11/16/2009		700		704
6.538% due 11/13/2007		1,800		1,807
Hutchison Whampoa Finance CI Ltd.
6.950% due 08/01/2007		500		501
ICICI Bank Ltd.
5.895% due 01/12/2010		600		601
Industry & Construction Bank St. Petersburg OJSC
6.875% due 07/29/2008		300		304
International Lease Finance Corp.
5.580% due 05/24/2010		1,000		1,003
John Deere Capital Corp.
5.406% due 04/15/2008		800		801
5.406% due 07/15/2008		700		701
JPMorgan Chase & Co.
5.370% due 06/26/2009		100		100
5.370% due 05/07/2010		1,100		1,101
5.440% due 06/25/2010		1,500		1,502
5.539% due 10/02/2009		890		894
Lehman Brothers Holdings, Inc.
5.370% due 11/24/2008		100		100
5.410% due 12/23/2008		1,425		1,427
5.445% due 10/22/2008		2,600		2,604
5.445% due 01/23/2009		1,000		1,001
5.460% due 08/21/2009		2,000		2,001
5.570% due 12/23/2010		1,100		1,101
Malaysia Global Sukuk, Inc.
6.320% due 07/03/2007		1,330		1,330
MBNA Europe Funding PLC
5.460% due 09/07/2007		700		700
Merrill Lynch & Co., Inc.
5.390% due 12/22/2008		200		200
5.395% due 10/23/2008		200		200
5.445% due 01/30/2009		500		501
5.450% due 08/14/2009		900		901
Metropolitan Life Global Funding I
5.400% due 05/17/2010		500		500
Mirage Resorts, Inc.
6.750% due 08/01/2007		200		200
6.750% due 02/01/2008		150		151
Morgan Stanley
5.360% due 11/21/2008		100		100
5.406% due 05/07/2009		200		200
5.467% due 02/09/2009		1,100		1,102
5.595% due 01/22/2009		600		600
National Australia Bank Ltd.
5.400% due 09/11/2009		1,600		1,602
Pemex Finance Ltd.
9.690% due 08/15/2009		1,035		1,086
Petroleum Export Ltd.
4.623% due 06/15/2010		1,733		1,712
4.633% due 06/15/2010		67		66
5.265% due 06/15/2011		249		243
Royal Bank of Scotland Group PLC
5.360% due 12/21/2007		1,500		1,501
5.405% due 07/21/2008		100		100
Santander U.S. Debt S.A. Unipersonal
5.370% due 09/21/2007		100		100
5.420% due 09/19/2008		100		100
5.420% due 11/20/2009		1,000		1,001
SLM Corp.
5.495% due 07/27/2009		2,600		2,536
Spinnaker Capital Ltd.
16.860% due 06/15/2008		250		250
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		1,000		1,001
Ventas Realty LP
8.750% due 05/01/2009		470		494
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		2,200		2,205
6.110% due 09/21/2007		4,350		4,354
8.255% due 07/30/2007		1,000		1,004
Wachovia Bank N.A.
5.420% due 05/25/2010		750		752
5.430% due 12/02/2010		1,000		1,001
Wachovia Corp.
5.405% due 10/28/2008		400		401
5.410% due 12/01/2009		1,500		1,502
5.480% due 03/15/2011		1,000		1,002
5.486% due 10/15/2011		1,600		1,603
Wells Fargo & Co.
5.420% due 03/23/2010		2,600		2,604
5.445% due 01/24/2012		400		400
Westpac Banking Corp.
5.280% due 06/06/2008		300		300
World Savings Bank FSB
5.396% due 05/08/2009		250		250
5.485% due 03/02/2009		250		251
				111,226
Industrials 3.6%
Albertson’s, Inc.
6.950% due 08/01/2009		100		103
Amgen, Inc.
5.440% due 11/28/2008		3,200		3,202
Anadarko Petroleum Corp.
5.760% due 09/15/2009		1,500		1,502
Cisco Systems, Inc.
5.440% due 02/20/2009		300		301
Comcast Corp.
5.656% due 07/14/2009		700		700
Cox Communications, Inc.
5.910% due 12/14/2007		1,000		1,002
CSC Holdings, Inc.
7.250% due 07/15/2008		100		101
7.875% due 12/15/2007		400		404
CSN Islands VII Corp.
10.750% due 09/12/2008		400		421
CVS Caremark Corp.
5.660% due 06/01/2010		500		500
DaimlerChrysler N.A. Holding Corp.
5.805% due 08/03/2009		700		704
Dex Media East LLC
9.875% due 11/15/2009		200		208
EchoStar DBS Corp.
5.750% due 10/01/2008		1,250		1,250
Equistar Chemicals LP
10.125% due 09/01/2008		171		179
FedEx Corp.
5.436% due 08/08/2007		400		400
General Mills, Inc.
5.485% due 01/22/2010		400		400
HJ Heinz Co.
6.428% due 12/01/2008		700		707
Home Depot, Inc.
5.485% due 12/16/2009		200		200
Mandalay Resort Group
6.500% due 07/31/2009		800		804
9.500% due 08/01/2008		100		104
10.250% due 08/01/2007		600		602
Owens Brockway Glass Container, Inc.
8.875% due 02/15/2009		200		204
Pemex Project Funding Master Trust
5.960% due 12/03/2012		5,245		5,320
7.156% due 10/15/2009		1,100		1,141
8.500% due 02/15/2008		1,000		1,018
8.850% due 09/15/2007		1,800		1,814
Qwest Communications International, Inc.
8.860% due 02/15/2009		67		68
Salomon Brothers AG for OAO Gazprom
10.500% due 10/21/2009		4,400		4,856
Salomon Brothers AG for Tyumen Oil Co.
11.000% due 11/06/2007		1,150		1,174
Siemens Financieringsmaatschappij NV
5.410% due 08/14/2009		400		400
Time Warner, Inc.
5.590% due 11/13/2009		600		601
Transocean, Inc.
5.560% due 09/05/2008		700		701
United Technologies Corp.
5.430% due 06/01/2009		200		200
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		400		400
Walt Disney Co.
5.460% due 09/10/2009		1,200		1,202
Xerox Corp.
6.110% due 12/18/2009		300		304
				33,197
Utilities 2.0%
America Movil SAB de C.V.
5.460% due 06/27/2008		2,850		2,850
AT&T, Inc.
5.450% due 05/15/2008		600		601
5.570% due 11/14/2008		300		301
BellSouth Corp.
5.460% due 08/15/2008		1,200		1,201
CMS Energy Corp.
7.500% due 01/15/2009		600		618
9.875% due 10/15/2007		600		609
Deutsche Telekom International Finance BV
5.540% due 03/23/2009		200		201
Dominion Resources, Inc.
5.540% due 11/14/2008		100		100
5.660% due 09/28/2007		2,200		2,201
Empresa Brasileira de Telecom S.A.
11.000% due 12/15/2008		100		106
Entergy Gulf States, Inc.
6.110% due 12/08/2008		1,200		1,204
Florida Power Corp.
5.760% due 11/14/2008		1,600		1,603
Korea Electric Power Corp.
4.250% due 09/12/2007		775		773
Mobile Telesystems Finance S.A.
9.750% due 01/30/2008		1,100		1,121
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		100		100
Qwest Corp.
5.625% due 11/15/2008		600		601
Ras Laffan Liquefied Natural Gas Co. Ltd. I
3.437% due 09/15/2009		384		375
Romanian Thermal Power Plants
9.143% due 12/23/2007		171		175
Telefonos de Mexico S.A. de C.V.
4.500% due 11/19/2008		4,400		4,348
				19,088
Total Corporate Bonds & Notes (Cost $163,481)				163,511
U.S. GOVERNMENT AGENCIES 2.3%
Fannie Mae
5.000% due 02/25/2017		62		62
5.380% due 12/25/2036		82		81
6.083% due 09/01/2044		375		380
6.133% due 06/01/2043 - 07/01/2044		140		142
Freddie Mac
4.500% due 04/15/2019		27		27
5.000% due 08/15/2016 - 11/15/2029		304		300
5.550% due 07/15/2037		18,400		18,399
5.580% due 08/25/2031		332		334
5.600% due 09/25/2031		332		332
5.670% due 12/15/2030		339		340
6.227% due 02/25/2045		919		915
Total U.S. Government Agencies (Cost $21,307)				21,312
MORTGAGE-BACKED SECURITIES 1.5%
American Home Mortgage Investment Trust
5.470% due 09/25/2035		44		44
Arran Residential Mortgages Funding PLC
5.340% due 04/12/2036		118		118
Bear Stearns Alt-A Trust
5.480% due 02/25/2034		77		77
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		100		101
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		184		184
CC Mortgage Funding Corp.
5.450% due 05/25/2048		400		400
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		32		32
Commercial Mortgage Pass-Through Certificates
5.420% due 04/15/2017		30		30
6.455% due 05/15/2032		94		94
Countrywide Alternative Loan Trust
5.390% due 10/25/2046		192		192
5.500% due 02/20/2047		180		180
5.500% due 05/25/2047		184		184
6.029% due 02/25/2036		60		61
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		81		81
5.400% due 02/25/2037		75		75
5.410% due 08/25/2037		600		600
First Union-Lehman Brothers-Bank of America
6.560% due 11/18/2035		1,057		1,062
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		174		174
5.400% due 01/25/2047		193		193
5.590% due 11/25/2045		247		247
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		2,000		2,002
5.420% due 06/06/2020		19		19
Harborview Mortgage Loan Trust
5.410% due 01/19/2038		68		68
5.510% due 01/19/2038		265		265
5.560% due 03/19/2037		292		293
HSI Asset Securitization Corp. Trust
5.380% due 05/25/2037 (a)		500		500
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		71		71
Indymac Index Mortgage Loan Trust
5.410% due 11/25/2046		78		78
Lehman ABS Mortgage Loan Trust
5.410% due 06/25/2037		197		197
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		154		154
MASTR Adjustable Rate Mortgages Trust
5.430% due 05/25/2047		154		154
Merrill Lynch Floating Trust
5.390% due 06/15/2022		89		89
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		79		79
5.620% due 08/25/2035		105		105
Sequoia Mortgage Trust
4.081% due 04/20/2035		565		555
Structured Asset Mortgage Investments, Inc.
5.390% due 08/25/2036		357		357
5.420% due 09/25/2047		91		91
5.540% due 05/25/2036		424		425
Structured Asset Securities Corp.
5.329% due 10/25/2035		74		74
TBW Mortgage-Backed Pass-Through Certificates
5.420% due 09/25/2036		46		46
5.430% due 01/25/2037		71		71
Thornburg Mortgage Securities Trust
5.430% due 12/25/2036		170		170
5.440% due 04/25/2036		100		100
5.440% due 08/25/2036		350		350
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		2,439		2,441
Washington Mutual, Inc.
5.610% due 08/25/2045		30		30
5.724% due 10/25/2046		183		184
5.759% due 01/25/2047		88		88
5.839% due 12/25/2046		84		84
6.029% due 02/25/2046		117		117
6.229% due 11/25/2042		74		74
6.529% due 09/25/2046		381		383
Total Mortgage-Backed Securities (Cost $13,835)				13,843
ASSET-BACKED SECURITIES 4.3%
Accredited Mortgage Loan Trust
5.480% due 09/25/2035		72		72
ACE Securities Corp.
5.370% due 08/25/2036		146		146
5.370% due 12/25/2036		75		75
5.390% due 12/25/2035		139		140
5.400% due 10/25/2036		147		147
5.410% due 06/25/2037		195		195
5.430% due 10/25/2035		146		147
American Express Credit Account Master Trust
5.430% due 09/15/2010		200		200
Americredit Prime Automobile Receivables Trust
5.322% due 06/09/2008		500		500
Argent Securities, Inc.
5.360% due 06/25/2036		27		27
5.370% due 09/25/2036		180		180
5.370% due 10/25/2036		342		342
5.390% due 04/25/2036		20		20
5.400% due 03/25/2036		103		103
Asset-Backed Funding Certificates
5.360% due 09/25/2036		283		283
5.380% due 10/25/2036		177		177
5.380% due 11/25/2036		71		71
5.380% due 01/25/2037		75		75
5.670% due 06/25/2034		411		412
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		57		57
5.370% due 12/25/2036		71		71
5.400% due 05/25/2037		194		194
Bank One Issuance Trust
5.430% due 02/15/2011		100		100
Bear Stearns Asset-Backed Securities, Inc.
5.370% due 11/25/2036		77		77
5.400% due 10/25/2036		82		82
5.410% due 04/25/2036		67		67
5.520% due 09/25/2034		406		406
Carrington Mortgage Loan Trust
5.360% due 05/25/2036		71		71
5.370% due 01/25/2037		82		82
5.640% due 10/25/2035		91		91
Chase Credit Card Master Trust
5.430% due 10/15/2010		100		100
5.430% due 02/15/2011		100		100
5.440% due 02/15/2010		100		100
Chase Issuance Trust
5.330% due 12/15/2010		100		100
5.340% due 02/15/2012		100		100
Citibank Credit Card Issuance Trust
2.900% due 05/17/2010		400		392
5.456% due 01/15/2010		100		100
5.526% due 02/07/2010		200		200
Citibank Credit Card Master Trust I
6.050% due 01/15/2010		200		201
Citigroup Mortgage Loan Trust, Inc.
5.360% due 08/25/2036		237		237
5.370% due 11/25/2036		62		62
5.380% due 05/25/2037		400		400
Countrywide Asset-Backed Certificates
5.370% due 01/25/2037		122		122
5.370% due 03/25/2037		139		139
5.370% due 05/25/2037		338		339
5.370% due 03/25/2047		255		255
5.380% due 03/25/2037		220		220
5.380% due 09/25/2046		47		47
5.390% due 07/25/2036		78		78
5.390% due 06/25/2037		87		87
5.400% due 06/25/2037		88		88
5.400% due 10/25/2037		196		196
5.430% due 10/25/2046		412		413
5.450% due 07/25/2036		59		59
5.480% due 02/25/2036		143		144
5.500% due 09/25/2036		200		200
Credit-Based Asset Servicing & Securitization LLC
5.380% due 11/25/2036		82		82
DaimlerChrysler Auto Trust
5.250% due 05/08/2009		162		162
First Franklin Mortgage Loan Asset-Backed Certificates
5.350% due 07/25/2036		54		54
5.360% due 09/25/2036		147		147
5.360% due 01/25/2038		82		82
5.370% due 11/25/2036		655		655
5.370% due 12/25/2036		71		72
5.390% due 12/25/2037		77		77
5.410% due 01/25/2036		181		182
First NLC Trust
5.390% due 08/25/2037		700		700
First USA Credit Card Master Trust
5.480% due 04/18/2011		200		201
Fremont Home Loan Trust
5.370% due 10/25/2036		69		69
5.380% due 01/25/2037		83		83
5.390% due 02/25/2037		316		317
5.490% due 01/25/2036		65		65
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		146		146
GS Auto Loan Trust
5.344% due 07/15/2008		500		500
GSAMP Trust
5.390% due 09/25/2036		173		173
5.390% due 10/25/2036		55		55
5.390% due 12/25/2036		82		83
5.430% due 11/25/2035		23		23
Harley-Davidson, Inc.
5.310% due 05/15/2008		172		172
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		63		63
Home Equity Asset Trust
5.380% due 05/25/2037		88		88
5.430% due 02/25/2036		137		137
Home Equity Mortgage Trust
5.410% due 05/25/2036		12		12
5.430% due 02/25/2036		21		21
Honda Auto Receivables Owner Trust
5.342% due 11/15/2007		25		25
HSI Asset Securitization Corp. Trust
5.370% due 10/25/2036		79		79
5.370% due 12/25/2036		335		336
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		8		8
Indymac Residential Asset-Backed Trust
5.370% due 11/25/2036		126		126
5.380% due 04/25/2037		79		79
5.400% due 07/25/2037		200		200
5.410% due 03/25/2036		224		224
5.450% due 04/25/2037		181		181
JPMorgan Mortgage Acquisition Corp.
5.370% due 08/25/2036		365		365
5.380% due 04/01/2037		289		289
5.390% due 03/25/2036		81		81
5.390% due 11/25/2036		65		65
5.400% due 08/25/2036		143		143
5.400% due 03/25/2037		192		192
5.430% due 08/25/2036		400		400
5.530% due 06/25/2035		45		45
Lehman XS Trust
5.390% due 05/25/2046		46		47
5.400% due 04/25/2046		286		286
5.400% due 08/25/2046		263		263
5.400% due 11/25/2046		387		387
5.410% due 05/25/2046		94		94
5.440% due 11/25/2036		253		253
Long Beach Mortgage Loan Trust
5.350% due 06/25/2036		34		34
5.360% due 07/25/2036		105		105
5.360% due 11/25/2036		77		77
5.380% due 10/25/2036		148		148
5.380% due 05/25/2046		124		124
5.390% due 03/25/2036		169		169
5.400% due 02/25/2036		74		74
5.410% due 01/25/2036		173		173
5.600% due 10/25/2034		245		246
MASTR Asset-Backed Securities Trust
5.370% due 03/25/2036		130		130
5.380% due 10/25/2036		34		35
5.380% due 11/25/2036		82		82
5.400% due 01/25/2036		181		181
5.400% due 05/25/2037		194		195
5.470% due 11/25/2035		125		125
MBNA Credit Card Master Note Trust
5.440% due 08/16/2010		100		100
5.446% due 12/15/2009		200		200
Merrill Lynch First Franklin Mortgage Loan Trust
5.380% due 07/25/2037		300		300
Merrill Lynch Mortgage Investors, Inc.
5.350% due 06/25/2037		54		54
5.370% due 05/25/2037		391		391
5.380% due 10/25/2037		83		83
5.390% due 08/25/2036		325		325
5.390% due 02/25/2037		129		129
5.390% due 07/25/2037		235		235
5.400% due 09/25/2037		408		408
5.430% due 07/25/2036		234		234
Morgan Stanley ABS Capital I
5.360% due 06/25/2036		43		43
5.360% due 10/25/2036		74		74
5.370% due 09/25/2036		211		211
5.370% due 10/25/2036		75		75
5.370% due 11/25/2036		165		165
5.380% due 05/25/2037		391		391
5.390% due 02/25/2036		284		284
5.400% due 12/25/2035		8		8
5.440% due 02/25/2036		100		100
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		72		73
Nationstar Home Equity Loan Trust
5.380% due 06/25/2037		200		200
Nelnet Student Loan Trust
5.340% due 09/25/2012		78		79
New Century Home Equity Loan Trust
5.390% due 08/25/2036		217		217
5.500% due 05/25/2036		100		100
Newcastle Mortgage Securities Trust
5.390% due 03/25/2036		65		65
Nissan Auto Lease Trust
5.347% due 12/14/2007		3		3
Nomura Home Equity Loan, Inc.
5.400% due 02/25/2036		22		22
Option One Mortgage Loan Trust
5.370% due 07/25/2036		42		42
5.370% due 01/25/2037		82		82
5.420% due 11/25/2035		54		54
Popular ABS Mortgage Pass-Through Trust
5.410% due 06/25/2047		198		198
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		58		58
5.400% due 02/25/2036		94		94
5.400% due 10/25/2036		229		229
5.420% due 08/25/2046		67		67
Residential Asset Securities Corp.
5.360% due 06/25/2036		182		182
5.360% due 08/25/2036		227		227
5.390% due 02/25/2036		54		54
5.390% due 07/25/2036		308		308
5.390% due 11/25/2036		229		229
5.400% due 01/25/2036		108		108
5.400% due 10/25/2036		214		215
Residential Funding Mortgage Securities II, Inc.
5.460% due 09/25/2035		71		71
SACO I, Inc.
5.400% due 04/25/2036		3		3
Saxon Asset Securities Trust
5.380% due 11/25/2036		326		326
Securitized Asset-Backed Receivables LLC Trust
5.380% due 03/25/2036		84		84
5.380% due 12/25/2036		178		178
5.400% due 11/25/2036		87		87
5.440% due 05/25/2037		2,800		2,800
SLC Student Loan Trust
5.313% due 02/15/2015		1,100		1,100
SLM Student Loan Trust
5.325% due 10/25/2012		178		178
5.325% due 07/25/2013		79		79
5.335% due 04/25/2012		104		104
5.335% due 04/25/2014		187		187
5.345% due 10/25/2016		200		200
5.345% due 07/25/2017		200		200
5.355% due 04/25/2017		4,200		4,200
5.505% due 01/25/2017		165		166
Soundview Home Equity Loan Trust
5.370% due 10/25/2036		297		297
5.380% due 11/25/2036		154		154
5.380% due 12/25/2036		64		64
5.390% due 05/25/2036		24		24
5.400% due 01/25/2037		72		72
5.400% due 06/25/2037		195		195
5.420% due 10/25/2036		53		53
5.430% due 11/25/2035		26		26
5.550% due 06/25/2035		18		18
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		57		57
5.365% due 11/25/2037		70		70
5.380% due 02/25/2037		41		41
Structured Asset Investment Loan Trust
5.370% due 07/25/2036		56		56
Structured Asset Securities Corp.
4.900% due 04/25/2035		380		378
5.370% due 10/25/2036		370		370
5.400% due 11/25/2035		39		39
5.400% due 01/25/2037		82		82
Triad Auto Receivables Owner Trust
5.303% due 06/12/2008		166		166
USAA Auto Owner Trust
5.337% due 07/11/2008		270		270
Wachovia Auto Owner Trust
5.337% due 06/20/2008		400		400
5.340% due 07/18/2008		400		400
Washington Mutual Asset-Backed Certificates
5.370% due 01/25/2037		87		88
5.380% due 10/25/2036		84		84
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		82		82
Total Asset-Backed Securities (Cost $39,723)				39,741
SOVEREIGN ISSUES 3.7%
Banco Nacional de Desenvolvimento Economico e Social
5.840% due 06/16/2008		2,530		2,524
Banque Centrale de Tunisie
7.500% due 09/19/2007		2,120		2,136
Chile Government International Bond
5.755% due 01/28/2008		2,840		2,846
Development Bank of Kazakhstan JSC
7.125% due 10/10/2007		100		101
Guatemala Government Bond
8.500% due 08/03/2007		1,100		1,106
Korea Development Bank
3.875% due 03/02/2009		460		448
4.250% due 11/13/2007		688		684
4.750% due 07/20/2009		100		99
5.475% due 10/31/2008		2,000		1,999
5.758% due 10/20/2009		5,192		5,229
Mexico Government International Bond
4.625% due 10/08/2008		200		198
6.055% due 01/13/2009		11,997		12,072
Panama Government International Bond
8.250% due 04/22/2008		600		610
Russia Government International Bond
8.250% due 03/31/2010		1,600		1,664
Ukraine Government International Bond
8.775% due 08/05/2009		2,200		2,337
Venezuela Government International Bond
6.312% due 12/18/2007		60		60
Total Sovereign Issues (Cost $34,082)				34,113
FOREIGN CURRENCY-DENOMINATED ISSUES 8.3%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	2,700		255
Aries Vermoegensverwaltungs GmbH
7.362% due 10/25/2007	EUR	500		691
Brazil Notas do Tesouro Nacional Series B
6.000% due 05/15/2017	BRL	4,400		3,679
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017		44,440		22,133
Brazilian Government International CPI Linked Bond
6.000% due 05/15/2045		1,000		864
10.000% due 01/01/2012		80,160		40,391
South Africa Government Bond
13.000% due 08/31/2010	ZAR	33,500		5,234
Telefonos de Mexico S.A. de C.V.
8.750% due 01/31/2016	MXN	19,700		1,869
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	55,656		2,289
Total Foreign Currency-Denominated Issues (Cost $76,481)				77,405
SHORT-TERM INSTRUMENTS 64.2%
Certificates of Deposit 3.1%
Abbey National Treasury Services PLC
5.270% due 07/02/2008	$	300		300
BNP Paribas
5.262% due 07/03/2008		700		700
5.262% due 05/28/2008		300		300
Calyon Financial, Inc.
5.340% due 01/16/2009		700		700
Fortis Bank NY
5.265% due 04/28/2008		100		100
HSBC Bank USA N.A.
5.426% due 07/28/2008		100		100
Nordea Bank Finland PLC
5.262% due 03/31/2008		100		100
5.308% due 05/28/2008		300		300
5.308% due 04/09/2009		800		801
Royal Bank of Canada
5.225% due 09/04/2007		21,800		21,587
5.267% due 06/30/2008		1,400		1,401
Royal Bank of Scotland Group PLC
5.262% due 07/03/2008		900		900
Skandinav Enskilda BK
5.270% due 08/21/2008		100		99
5.272% due 08/21/2008		200		200
5.300% due 02/04/2008		100		100
Societe Generale NY
5.271% due 06/30/2008		300		300
Unicredito Italiano NY
5.358% due 05/06/2008		300		300
5.360% due 05/29/2008		400		400
				28,688
Commercial Paper 61.0%
Abbey National N.A. LLC
5.200% due 09/14/2007		10,400		10,326
ANZ National International Ltd.
5.235% due 09/19/2007		21,800		21,645
ASB Finance Ltd.
5.235% due 09/20/2007		10,200		10,136
5.255% due 09/20/2007		2,600		2,569
Australia and New Zealand Banking Group Ltd.
5.245% due 09/19/2007		6,300		6,225
Bank of America Corp.
5.190% due 10/04/2007		100		99
5.205% due 10/04/2007		300		298
5.210% due 10/04/2007		10,100		10,027
5.215% due 10/04/2007		7,100		7,009
5.230% due 10/04/2007		1,800		1,790
5.245% due 10/04/2007		3,100		3,062
5.250% due 10/04/2007		700		690
Bank of Ireland
5.165% due 11/08/2007		6,400		6,278
5.230% due 11/08/2007		4,400		4,367
5.235% due 11/08/2007		10,800		10,783
Barclays U.S. Funding Corp.
5.230% due 09/26/2007		1,300		1,296
5.235% due 09/26/2007		6,800		6,765
5.240% due 09/26/2007		5,400		5,369
5.245% due 09/26/2007		12,000		11,878
5.250% due 09/26/2007		2,700		2,665
BNP Paribas Finance, Inc.
5.330% due 10/23/2007		26,900		26,900
Caisse d’Amortissement de la Dette Sociale
5.230% due 08/10/2007		17,300		17,202
CBA (de) Finance
5.225% due 09/28/2007		13,000		12,959
5.260% due 09/28/2007		2,400		2,372
Danske Corp.
5.205% due 10/12/2007		3,600		3,561
5.235% due 10/12/2007		1,600		1,584
Dexia Delaware LLC
5.225% due 09/21/2007		22,900		22,794
5.240% due 09/21/2007		2,800		2,779
5.245% due 09/21/2007		1,600		1,580
Fortis Funding LLC
5.240% due 09/05/2007		1,700		1,683
5.255% due 09/05/2007		1,800		1,796
5.275% due 09/05/2007		21,700		21,633
Freddie Mac
4.800% due 07/02/2007		25,800		25,800
General Electric Capital Corp.
5.170% due 11/06/2007		6,300		6,181
HBOS Treasury Services PLC
5.225% due 11/13/2007		11,800		11,747
5.230% due 11/13/2007		3,900		3,876
5.235% due 11/13/2007		5,100		5,060
5.250% due 09/21/2007		4,200		4,149
Intesa Funding LLC
5.240% due 09/05/2007		23,200		22,970
Natixis S.A.
5.230% due 09/21/2007		6,800		6,779
5.240% due 09/21/2007		18,600		18,517
Rabobank USA Financial Corp.
5.330% due 07/26/2007		25,800		25,800
Santander Hispano Finance Delaware
5.250% due 09/26/2007		15,100		14,904
Societe Generale NY
5.180% due 11/26/2007		4,400		4,305
5.210% due 11/26/2007		2,300		2,257
5.225% due 11/26/2007		7,500		7,469
5.226% due 11/26/2007		1,100		1,095
5.245% due 11/26/2007		900		889
5.246% due 11/26/2007		1,800		1,779
5.250% due 11/26/2007		100		99
Stadshypoket Delaware, Inc.
5.205% due 09/11/2007		13,000		12,906
5.230% due 09/11/2007		10,100		10,024
Svenska Handelsbanken, Inc.
5.200% due 10/09/2007		2,500		2,482
5.203% due 10/09/2007		300		298
5.230% due 10/09/2007		11,100		11,084
Swedbank AB
5.205% due 09/06/2007		11,800		11,725
5.225% due 09/06/2007		7,200		7,161
5.240% due 09/06/2007		5,000		4,977
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		25,800		25,800
UBS Finance Delaware LLC
5.185% due 10/23/2007		2,700		2,699
5.200% due 10/23/2007		100		98
5.215% due 10/23/2007		4,300		4,250
5.225% due 10/23/2007		1,000		998
5.230% due 10/23/2007		8,300		8,269
5.235% due 10/23/2007		700		693
5.240% due 10/23/2007		8,100		7,994
5.245% due 10/23/2007		3,100		3,065
Unicredito Italiano SpA
5.185% due 01/22/2008		6,400		6,260
5.200% due 01/22/2008		15,400		15,134
5.235% due 01/22/2008		700		694
Westpac Banking Corp.
5.165% due 11/05/2007		4,500		4,416
5.170% due 11/05/2007		3,600		3,544
5.200% due 11/05/2007		10,200		10,153
5.230% due 11/05/2007		500		498
5.240% due 11/05/2007		4,200		4,150
Westpac Trust Securities NZ Ltd.
5.240% due 10/19/2007		4,300		4,269
5.260% due 10/19/2007		800		790
				568,227
Repurchase Agreements 0.1%
State Street Bank and Trust Co.
4.900% due 07/02/2007		565		565
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $577. Repurchase proceeds are $565.)
Egypt Treasury Bills 0.0%
9.690% due 02/05/2008	EGP	3,000		506
Total Short-Term Instruments (Cost $598,065)				597,986
Total Investments (b) 102.0%			$	949,914
(Cost $948,972)
Other Assets and Liabilities (Net) (2.0%)				(18,693	)
Net Assets 100.0%			$	931,221

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

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

(a) When-issued security.

(b) As of June 30, 2007, portfolio securities with an aggregate value of $25,585 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(c) Swap agreements outstanding on June 30, 2007:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Receive	12.290	%	01/02/2009	BRL	2,500	$	(24	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	15.160	%	01/02/2009		700		23
Morgan Stanley	BRL-CDI-Compounded	Pay	16.120	%	07/02/2007		1,500		17
Morgan Stanley	BRL-CDI-Compounded	Pay	14.630	%	01/02/2009		4,900		137
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.895	%	02/07/2012	KRW	936,600		(15	)
Barclays Bank PLC	Korea Securities Dealers Association National Housing Index	Pay	4.880	%	02/08/2012		933,333		(15	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	08/03/2016	MXN	2,550		11
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	08/03/2016		2,550		11
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		58,000		(35	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	04/17/2009		7,700		6
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	9.920	%	08/12/2015		4,000		41
								$	157

(d) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	9,596	05/2008	$	0	$	(5	)	$	(5	)
Buy	BRL	77,494	10/2007		1,581		(42	)		1,539
Sell		4,174	10/2007		0		(138	)		(138	)
Buy		51,772	03/2008		1,665		0			1,665
Buy	CLP	13,728,066	11/2007		205		(167	)		38
Buy		3,593,536	03/2008		4		(6	)		(2	)
Buy	CNY	55,184	07/2007		118		0			118
Sell		55,184	07/2007		2		(18	)		(16	)
Buy		5,327	12/2007		1		0			1
Buy		61,822	01/2008		4		(10	)		(6	)
Buy		112,532	03/2009		3		(113	)		(110	)
Buy	COP	50,786,054	03/2008		1,527		(27	)		1,500
Buy	CZK	291,915	07/2007		1		(207	)		(206	)
Sell		267,282	07/2007		0		(46	)		(46	)
Buy		345,545	09/2007		0		(306	)		(306	)
Buy		1,036,295	03/2008		83		(814	)		(731	)
Sell	EUR	532	07/2007		0		(7	)		(7	)
Buy	HKD	96,567	07/2007		1		(1	)		0
Sell		96,567	07/2007		6		0			6
Buy		96,567	08/2007		0		(6	)		(6	)
Buy	HUF	3,763,271	11/2007		113		(80	)		33
Buy	IDR	75,762,145	07/2007		152		0			152
Sell		46,468,350	07/2007		0		(48	)		(48	)
Buy		169,408,330	08/2007		132		(183	)		(51	)
Buy		49,169,145	10/2007		44		0			44
Buy	ILS	70,104	12/2007		0		(469	)		(469	)
Buy	INR	218,358	10/2007		313		0			313
Buy		737,685	11/2007		197		(9	)		188
Buy	JPY	88,611	07/2007		0		(10	)		(10	)
Buy	KRW	5,157,524	07/2007		30		0			30
Buy		11,995,810	09/2007		143		0			143
Buy		19,465,370	11/2007		56		(2	)		54
Sell		18,682,980	11/2007		0		(92	)		(92	)
Buy	KWD	752	05/2008		5		(4	)		1
Buy	KZT	63,830	07/2007		4		0			4
Buy		12,630	11/2007		0		(2	)		(2	)
Buy	MXN	298,324	09/2007		439		(9	)		430
Buy		760,433	03/2008		933		(67	)		866
Buy	MYR	20,915	07/2007		98		0			98
Sell		20,915	07/2007		0		(15	)		(15	)
Buy		41,480	09/2007		50		(74	)		(24	)
Buy		14,682	10/2007		1		0			1
Buy		25,055	05/2008		12		(138	)		(126	)
Buy	PHP	902,817	08/2007		669		0			669
Sell		241,350	08/2007		0		(212	)		(212	)
Buy		227,139	11/2007		4		(72	)		(68	)
Buy	PLN	125,061	09/2007		757		(11	)		746
Buy		167,538	03/2008		641		(330	)		311
Buy	RON	44,360	07/2007		1,549		0			1,549
Sell		41,420	07/2007		0		(373	)		(373	)
Buy		61,762	01/2008		312		(17	)		295
Buy	RUB	24,061	08/2007		33		0			33
Buy		9,322	09/2007		7		0			7
Buy		359	11/2007		0		0			0
Buy		285,217	12/2007		289		0			289
Sell		111,468	12/2007		0		(149	)		(149	)
Buy		879,556	01/2008		278		0			278
Buy	SAR	9,811	05/2008		0		0			0
Buy	SGD	23,408	07/2007		11		(46	)		(35	)
Buy		34,607	09/2007		0		(232	)		(232	)
Buy		43,635	10/2007		68		(234	)		(166	)
Buy		72,380	11/2007		45		(467	)		(422	)
Buy	SKK	15,849	07/2007		18		0			18
Sell		15,849	07/2007		0		(8	)		(8	)
Buy		22,072	11/2007		0		(7	)		(7	)
Buy		780,814	03/2008		99		(197	)		(98	)
Buy	TRY	7,759	07/2007		791		0			791
Buy		62,439	03/2008		1,919		0			1,919
Buy	TWD	368,837	07/2007		58		0			58
Buy		368,837	08/2007		0		(39	)		(39	)
Buy	ZAR	221,147	09/2007		537		(8	)		529
Buy		88,096	03/2008		4		(172	)		(168	)
				$	16,012	$	(5,689	)	$	10,323

See accompanying notes

Schedule of Investments

Emerging Markets Portfolio

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARGENTINA 0.4%
Argentina Bonos
5.475% due 08/03/2012	$	10,290	$	7,525
Total Argentina (Cost $7,287)				7,525
BRAZIL 19.4%
Brazil Notas do Tesouro Nacional Series B
6.000% due 05/15/2017	BRL	5,800		4,849
6.000% due 08/15/2024		60,000		51,163
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017		260,840		129,947
Brazilian Government International Bond
7.125% due 01/20/2037	$	10		11
8.250% due 01/20/2034		7,320		9,007
8.750% due 02/04/2025		2,500		3,100
10.250% due 01/10/2028	BRL	84,000		48,554
12.750% due 01/15/2020	$	150		233
Brazilian Government International CPI Linked Bond
6.000% due 05/15/2045	BRL	2,000		1,729
10.000% due 01/01/2012		250,200		126,070
Cia de Saneamento Basico do Estado de Sao Paulo
7.500% due 11/03/2016	$	2,100		2,163
CSN Islands VII Corp.
10.750% due 09/12/2008		2,025		2,131
Embraer Overseas Ltd.
6.375% due 01/24/2017		1,200		1,179
ISA Capital do Brasil S.A.
7.875% due 01/30/2012		1,300		1,333
8.800% due 01/30/2017		1,500		1,609
Vale Overseas Ltd.
6.250% due 01/11/2016		4,000		3,987
6.250% due 01/23/2017		2,200		2,193
6.875% due 11/21/2036		8,500		8,565
Total Brazil (Cost $398,061)				397,823
CAYMAN ISLANDS 0.0%
Petrobras International Finance Co.
6.125% due 10/06/2016	$	650		640
Total Cayman Islands (Cost $629)				640
CHILE 0.5%
Banco Santander Chile
5.375% due 12/09/2014	$	1,500		1,440
CODELCO, Inc.
5.625% due 09/21/2035		2,700		2,501
6.150% due 10/24/2036		6,200		6,092
Total Chile (Cost $10,549)				10,033
CHINA 0.1%
China Development Bank
5.000% due 10/15/2015	$	500		478
Citic Resources Finance Ltd.
6.750% due 05/15/2014		600		581
Total China (Cost $1,093)				1,059
COLOMBIA 1.5%
Colombia Government International Bond
7.375% due 01/27/2017	$	7,400		8,040
7.375% due 09/18/2037		2,600		2,892
8.250% due 12/22/2014		15,100		16,965
10.000% due 01/23/2012		920		1,065
10.375% due 01/28/2033		635		940
10.750% due 01/15/2013		1,220		1,496
Total Colombia (Cost $30,966)				31,398
EGYPT 0.0%
Petroleum Export Ltd.
5.265% due 06/15/2011	$	829		809
Total Egypt (Cost $829)				809
EL SALVADOR 0.2%
AES El Salvador Trust
6.750% due 02/01/2016	$	4,250		4,226
El Salvador Government International Bond
8.500% due 07/25/2011		125		139
Total El Salvador (Cost $4,368)				4,365
GUATEMALA 0.3%
Guatemala Government Bond
9.250% due 08/01/2013	$	4,717		5,432
Total Guatemala (Cost $4,791)				5,432
INDIA 0.2%
ICICI Bank Ltd.
5.750% due 01/12/2012	$	3,200		3,146
Total India (Cost $3,194)				3,146
KAZAKHSTAN 0.6%
ATF Bank JSC
9.000% due 05/11/2016	$	400		426
HSBK Europe BV
7.750% due 05/13/2013		350		359
Intergas Finance BV
6.375% due 05/14/2017		4,000		3,840
6.875% due 11/04/2011		500		509
Kazkommerts International BV
8.500% due 04/16/2013		950		972
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		6,450		6,338
Total Kazakhstan (Cost $12,761)				12,444
MALAYSIA 0.6%
Petroliam Nasional Bhd.
7.750% due 08/15/2015	$	8,422		9,541
TNB Capital L Ltd.
5.250% due 05/05/2015		3,200		3,094
Total Malaysia (Cost $12,833)				12,635
MEXICO 5.0%
America Movil SAB de C.V.
5.460% due 06/27/2008	$	6,300		6,301
5.500% due 03/01/2014		5,000		4,912
5.750% due 01/15/2015		5,900		5,850
8.460% due 12/18/2036	MXN	10,900		1,029
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014	$	3,280		3,292
C5 Capital SPV Ltd.
6.196% due 12/01/2049		400		398
C8 Capital SPV Ltd.
6.640% due 12/31/2049		600		591
C10 Capital SPV Ltd.
6.722% due 12/18/2049		2,000		1,955
6.722% due 12/31/2049		3,100		3,026
Cablemas S.A. de C.V.
9.375% due 11/15/2015		5,000		5,550
Desarrolladora Homex S.A. de C.V.
7.500% due 09/28/2015		10,300		10,712
Grupo Transportacion Ferroviaria Mexicana S.A. de C.V.
9.375% due 05/01/2012		1,000		1,075
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		500		528
Mexico Government International Bond
5.625% due 01/15/2017		686		673
7.500% due 04/08/2033		5,310		6,168
11.500% due 05/15/2026		3,000		4,792
Pemex Project Funding Master Trust
5.750% due 12/15/2015		6,500		6,385
6.125% due 08/15/2008		125		126
6.625% due 06/15/2035		400		407
7.875% due 02/01/2009		550		569
8.000% due 11/15/2011		8,855		9,630
8.625% due 02/01/2022		9,128		11,272
9.125% due 10/13/2010		410		452
9.250% due 03/30/2018		5,955		7,429
9.500% due 09/15/2027		6,065		8,160
Telefonos de Mexico S.A. de C.V.
8.750% due 01/31/2016	MXN	10,000		949
Vitro S.A. de C.V.
8.625% due 02/01/2012	$	700		714
9.125% due 02/01/2017		200		206
Total Mexico (Cost $102,691)				103,151
MOROCCO 0.0%
Kingdom of Morocco
6.375% due 01/01/2009	$	198		199
Total Morocco (Cost $194)				199
PAKISTAN 0.2%
Pakistan Government International Bond
7.125% due 03/31/2016	$	4,750		4,731
Total Pakistan (Cost $4,691)				4,731
PANAMA 1.4%
Panama Government International Bond
6.700% due 01/26/2036	$	23,342		23,926
7.125% due 01/29/2026		1,900		2,033
8.875% due 09/30/2027		500		631
9.625% due 02/08/2011		1,179		1,326
Total Panama (Cost $27,475)				27,916
PERU 0.5%
Peru Government International Bond
6.550% due 03/14/2037	$	734		739
8.375% due 05/03/2016		6,421		7,497
Southern Copper Corp.
7.500% due 07/27/2035		2,800		3,013
Total Peru (Cost $10,934)				11,249
POLAND 0.9%
Poland Government International Bond
5.750% due 09/23/2022	PLN	48,900		17,786
Total Poland (Cost $17,719)				17,786
RUSSIA 3.3%
Gaz Capital for Gazprom
6.212% due 11/22/2016	$	3,200		3,125
6.510% due 03/07/2022		5,000		5,002
8.625% due 04/28/2034		5,100		6,379
Gazprom International S.A.
7.201% due 02/01/2020		10,158		10,505
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		1,000		1,031
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		1,050		1,219
RSHB Capital AG S.A. for OJSC Russian Agricultural Bank
6.299% due 05/15/2017		13,080		12,835
7.175% due 05/16/2013		2,050		2,140
Russia Government International Bond
7.500% due 03/31/2030		199		220
11.000% due 07/24/2018		800		1,115
12.750% due 06/24/2028		1,600		2,823
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		1,000		1,073
TNK-BP Finance S.A.
6.125% due 03/20/2012		1,000		980
6.625% due 03/20/2017		4,400		4,274
7.500% due 07/18/2016		3,900		4,031
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		5,300		5,322
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		5,000		5,011
6.110% due 09/21/2007		50		50
Total Russia (Cost $67,515)				67,135
SOUTH AFRICA 0.7%
South Africa Government International Bond
5.250% due 05/16/2013	EUR	10,052		13,726
5.875% due 05/30/2022	$	1,680		1,646
Total South Africa (Cost $13,609)				15,372
TRINIDAD AND TOBAGO 0.2%
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022	$	3,300		3,220
Total Trinidad And Tobago (Cost $3,286)				3,220
TUNISIA 0.5%
Banque Centrale de Tunisie
4.750% due 04/07/2011	EUR	450		605
7.375% due 04/25/2012	$	2,114		2,266
7.500% due 08/06/2009	EUR	1,869		2,656
8.250% due 09/19/2027	$	4,000		4,783
Total Tunisia (Cost $7,978)				10,310
UKRAINE 1.0%
Colvis Finance
8.000% due 02/02/2009	$	2,500		2,548
Ukraine Government International Bond
7.650% due 06/11/2013		4,488		4,761
8.775% due 08/05/2009		11,895		12,637
Total Ukraine (Cost $19,802)				19,946
UNITED STATES 0.4%
Corporate Bonds & Notes 0.2%
Freeport-McMoRan Copper & Gold, Inc.
8.250% due 04/01/2015	$	100		106
8.375% due 04/01/2017		104		111
Pemex Project Funding Master Trust
6.660% due 06/15/2010		3,000		3,086
				3,303
U.S. Government Agencies 0.2%
Fannie Mae
5.500% due 02/01/2036 - 07/01/2037		5,133		4,954
				4,954
Total United States (Cost $8,240)				8,257
URUGUAY 0.9%
Uruguay Government International Bond
3.700% due 06/26/2037	UYU	98,436		4,049
7.500% due 03/15/2015	$	4,000		4,300
7.625% due 03/21/2036		1,900		2,090
8.000% due 11/18/2022		7,374		8,222
Total Uruguay (Cost $18,267)				18,661
VENEZUELA 2.3%
Venezuela Government International Bond
5.375% due 08/07/2010	$	7,250		6,851
6.000% due 12/09/2020		8,250		6,695
6.355% due 04/20/2011		3,600		3,501
7.650% due 04/21/2025		11,550		10,597
8.500% due 10/08/2014		5,200		5,278
9.375% due 01/13/2034		10,700		11,181
10.750% due 09/19/2013		2,910		3,239
	Shares
Venezuela Government International Bond Rights
0.000% due 04/15/2020		5,000		193
Total Venezuela (Cost $49,958)				47,535
	Principal Amount (000s)
VIETNAM 0.0%
Socialist Republic of Vietnam
6.875% due 01/15/2016	$	600		626
Total Vietnam (Cost $591)				626
SHORT-TERM INSTRUMENTS 62.6%
Commercial Paper 62.1%
ASB Finance Ltd.
5.255% due 09/20/2007		23,300		23,018
Australia and New Zealand Banking Group Ltd.
5.245% due 09/19/2007		40,400		39,918
Bank of America Corp.
5.200% due 10/04/2007		27,600		27,512
5.205% due 10/04/2007		1,600		1,587
5.215% due 10/04/2007		1,100		1,086
5.245% due 10/04/2007		14,500		14,322
5.250% due 10/04/2007		11,300		11,144
5.260% due 10/04/2007		6,000		5,915
Barclays U.S. Funding Corp.
5.235% due 09/26/2007		44,300		43,978
5.245% due 09/26/2007		18,000		17,770
BNP Paribas Finance, Inc.
5.330% due 10/23/2007		97,100		97,100
CBA (de) Finance
5.225% due 09/28/2007		26,250		26,166
5.260% due 09/28/2007		12,240		12,097
Danske Corp.
5.205% due 10/12/2007		19,200		18,993
5.210% due 10/12/2007		7,100		7,050
5.235% due 10/12/2007		15,600		15,445
Dexia Delaware LLC
5.240% due 09/21/2007		58,500		57,912
DnB NORBank ASA
5.350% due 10/12/2007		49,603		49,603
Fortis Funding LLC
5.240% due 09/05/2007		15,100		14,950
5.255% due 09/05/2007		2,800		2,794
5.275% due 09/05/2007		43,600		43,457
Freddie Mac
4.800% due 07/02/2007		80,700		80,700
HBOS Treasury Services PLC
5.250% due 09/21/2007		5,200		5,137
5.250% due 11/13/2007		87,600		86,666
Intesa Funding LLC
5.240% due 09/05/2007		37,900		37,524
5.320% due 09/05/2007		20,500		20,488
Natixis S.A.
5.240% due 09/21/2007		37,800		37,415
5.250% due 09/21/2007		11,500		11,411
Rabobank USA Financial Corp.
5.330% due 07/26/2007		56,200		56,200
San Paolo IMI U.S. Financial Co.
5.300% due 08/08/2007		1,300		1,293
Santander Hispano Finance Delaware
5.250% due 09/26/2007		55,000		54,287
Societe Generale NY
5.210% due 11/26/2007		24,600		24,140
5.225% due 11/26/2007		17,200		16,945
5.240% due 11/26/2007		2,500		2,471
5.245% due 11/26/2007		21,900		21,619
5.250% due 11/26/2007		600		593
5.260% due 11/26/2007		3,200		3,158
Statens Bostadsfin Bank
5.270% due 09/14/2007		14,600		14,476
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		56,200		56,200
UBS Finance Delaware LLC
5.230% due 10/23/2007		45,100		44,858
5.240% due 10/23/2007		12,500		12,327
5.245% due 10/23/2007		4,200		4,153
Unicredito Italiano SpA
5.250% due 01/22/2008		60,800		59,995
Westpac Trust Securities NZ Ltd.
5.250% due 10/19/2007		15,000		14,778
5.260% due 10/19/2007		77,400		76,464
				1,275,115
Tri-Party Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 07/02/2007		5,673		5,673
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 5.400% due 09/18/2008 valued at $5,789. Repurchase proceeds are $5,675.)
U.S. Treasury Bills 0.2%
4.555% due 09/13/2007 (a)(b)(c)		5,215		5,157
Total Short-Term Instruments (Cost $1,286,235)				1,285,945
Purchased Options (e) 0.1% (Cost $6,876)				2,530
Total Investments 103.8% (Cost $2,133,422)			$	2,131,878
Written Options (f) (0.1%) (Premiums $6,551)				(2,816	)
Other Assets and Liabilities (Net) (3.7%)				(75,546	)
Net Assets 100.0%			$	2,053,516

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 $989 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(c) Securities with an aggregate market value of $1,300 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar December Futures	Long	12/2007	1,063	$	(434	)
90-Day Eurodollar December Futures	Long	12/2008	32		(11	)
				$	(445	)

(d) Swap agreements outstanding on June 30, 2007:

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	$	9
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.700	%	03/20/2011		11,000		286
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	08/20/2011		4,000		129
Barclays Bank PLC	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011		4,000		131
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.700	%	09/20/2011		500		15
Barclays Bank PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	12/20/2016		6,500		319
Citibank N.A.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.790	%	07/20/2011		300		5
Citibank N.A.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011		1,350		31
Citibank N.A.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.800	%	11/15/2013		9,500		1,190
Citibank N.A.	Multiple Reference Entities of Gazprom	Sell	1.350	%	08/20/2016		7,000		277
Credit Suisse First Boston	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.800	%	01/16/2013		6,000		772
Credit Suisse First Boston	Multiple Reference Entities of Gazprom	Sell	1.580	%	06/20/2016		5,000		254
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011		10,000		132
Deutsche Bank AG	Multiple Reference Entities of Gazprom	Sell	0.900	%	11/20/2011		25,000		369
Deutsche Bank AG	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011		800		18
Deutsche Bank AG	Uruguay Government International Bond 7.875% due 01/15/2033	Sell	1.050	%	01/20/2012		4,000		35
Deutsche Bank AG	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.690	%	05/20/2012		6,000		(5	)
Deutsche Bank AG	Dow Jones CDX N.A. EM7 Index	Sell	1.250	%	06/20/2012		15,000		(68	)
Goldman Sachs & Co.	Brazilian Government International Bond 14.500% due 10/15/2009	Sell	27.750	%	11/04/2007		3,650		519
Goldman Sachs & Co.	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.450	%	04/08/2013		5,300		571
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	1.000	%	04/20/2011		31,000		593
JPMorgan Chase & Co.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.050	%	09/20/2011		5,250		227
JPMorgan Chase & Co.	Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.840	%	01/04/2013		18,000		2,362
JPMorgan Chase & Co.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.320	%	01/21/2014		10,700		1,157
JPMorgan Chase & Co.	Multiple Reference Entities of Gazprom	Sell	1.500	%	04/20/2016		10,000		477
JPMorgan Chase & Co.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.130	%	04/20/2016		11,150		421
JPMorgan Chase & Co.	CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016		2,100		14
Lehman Brothers, Inc.	Philippine Government International Bond 8.250% due 01/15/2014	Buy	(2.850	%)	03/20/2008		5,000		(135	)
Lehman Brothers, Inc.	Philippine Government International Bond 8.250% due 01/15/2014	Buy	(2.470	%)	09/20/2008		5,000		(164	)
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.140	%	07/20/2011		2,700		75
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.800	%	07/20/2011		672		11
Lehman Brothers, Inc.	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.520	%	12/20/2011		8,000		179
Lehman Brothers, Inc.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.430	%	05/20/2012		2,000		(2	)
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.400	%	05/20/2012		5,000		28
Lehman Brothers, Inc.	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.840	%	08/20/2012		4,700		259
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	2.020	%	07/20/2013		2,230		151
Lehman Brothers, Inc.	Multiple Reference Entities of Gazprom	Sell	1.330	%	03/20/2016		6,025		224
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.690	%	03/20/2016		20,000		144
Lehman Brothers, Inc.	Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.220	%	04/20/2016		2,800		123
Lehman Brothers, Inc.	Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.510	%	08/20/2016		4,500		170
Lehman Brothers, Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.060	%	05/20/2017		2,000		9
Merrill Lynch & Co., Inc.	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.500	%	01/20/2012		1,000		16
Merrill Lynch & Co., Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.740	%	11/18/2013		10,000		1,218
Merrill Lynch & Co., Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	2.310	%	01/21/2014		1,350		145
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.050	%	04/20/2011		1,000		21
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.140	%	07/20/2011		600		17
Morgan Stanley	Peru Government International Bond 8.750% due 11/21/2033	Sell	1.220	%	10/20/2011		2,000		52
Morgan Stanley	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.590	%	04/20/2012		1,000		15
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.390	%	05/20/2016		20,500		798
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	1.350	%	08/20/2016		5,000		197
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.555	%	09/20/2011		1,000		25
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.270	%	12/20/2011		10,000		124
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011		8,900		201
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.620	%	12/20/2011		1,000		26
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.360	%	09/20/2016		4,700		249
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.385	%	09/20/2016		600		33
Royal Bank of Scotland Group PLC	Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.480	%	09/20/2016		4,500		275
UBS Warburg LLC	Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.070	%	01/20/2012		6,500		108
UBS Warburg LLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.480	%	03/20/2012		2,000		24
UBS Warburg LLC	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.695	%	01/20/2017		600		11
								$	14,867

⁽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)
Goldman Sachs & Co.	BRL-CDI-Compounded	Pay	10.150	%	01/02/2012	BRL	825,000	$	(889	)
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	15.160	%	01/02/2009		2,800		93
Merrill Lynch & Co., Inc.	BRL-CDI-Compounded	Pay	13.290	%	01/04/2010		21,900		248
Merrill Lynch & Co.,     Inc.	BRL-CDI-Compounded	Pay	13.840	%	01/04/2010		21,300		652
Morgan Stanley	BRL-CDI-Compounded	Pay	12.780	%	01/04/2010		9,900		187
Morgan Stanley	BRL-CDI-Compounded	Pay	10.115	%	01/02/2012		259,000		(1,235	)
Barclays Bank PLC	28-Day Mexico Interbank TIIE Banxico	Pay	8.780	%	08/03/2016	MXN	5,700		24
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.770	%	08/03/2016		5,700		24
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		376,100		870
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.900	%	09/22/2016		52,250		266
Citibank N.A.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		4,254,000		1
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.865	%	09/12/2016		50,000		245
Goldman Sachs & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.170	%	11/04/2016		840,000		(993	)
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.410	%	04/17/2009		37,100		30
JPMorgan Chase & Co.	28-Day Mexico Interbank TIIE Banxico	Pay	8.850	%	09/21/2016		80,000		376
Merrill Lynch & Co., Inc.	28-Day Mexico Interbank TIIE Banxico	Pay	8.720	%	09/05/2016		28,000		74
Morgan Stanley	28-Day Mexico Interbank TIIE Banxico	Pay	9.920	%	08/12/2015		38,000		398
								$	371

(e) Purchased options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	111.000	08/24/2007	10	$	0	$	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

Lehman Brothers, Inc.

3-Month USD-LIBOR

Pay

4.750

%

09/26/2008

$

1,286,000

$

6,876

$

2,530

(f) Written options outstanding on June 30, 2007:

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

Lehman Brothers, Inc.

3-Month USD-LIBOR

Receive

4.950

%

09/26/2008

$

559,000

$

6,551

$

2,816

(g) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	30,174	05/2008	$	0	$	(18	)	$	(18	)
Buy	BRL	39,310	07/2007		367		0			367
Sell		39,310	07/2007		227		0			227
Buy		86,901	10/2007		129		(358	)		(229	)
Sell		248,115	10/2007		885		0			885
Buy		62,323	03/2008		652		(252	)		400
Buy	CLP	344,624	11/2007		23		0			23
Buy		873,543	03/2008		0		(4	)		(4	)
Buy	CNY	23,884	09/2007		67		0			67
Buy		776	12/2007		0		0			0
Buy		7,770	01/2008		0		(7	)		(7	)
Buy	COP	180,720	03/2008		9		0			9
Buy	CZK	4,091	03/2008		0		(4	)		(4	)
Sell	EUR	10,968	07/2007		0		(144	)		(144	)
Buy	HKD	156	07/2007		0		0			0
Sell		1,262	07/2007		0		0			0
Buy		156	08/2007		0		0			0
Buy	IDR	7,523,107	07/2007		6		0			6
Buy		7,523,107	10/2007		7		0			7
Buy	ILS	465	12/2007		0		(1	)		(1	)
Buy	INR	1,266	08/2007		1		0			1
Buy		4,005	11/2007		2		0			2
Buy	KRW	67,988,630	07/2007		390		0			390
Buy		1,041,009	08/2007		0		0			0
Buy		79,669,662	09/2007		481		0			481
Sell		3,173,300	09/2007		0		(7	)		(7	)
Buy		3,826,276	11/2007		26		0			26
Buy	KWD	2,354	05/2008		0		(34	)		(34	)
Buy	MXN	1,040,128	09/2007		237		(112	)		125
Buy		775,717	03/2008		483		(126	)		357
Buy	MYR	2,928	07/2007		2		0			2
Sell		2,928	07/2007		0		(2	)		(2	)
Buy		2,928	10/2007		0		0			0
Buy	PLN	423,584	09/2007		2,678		(1	)		2,677
Sell		67,039	09/2007		0		(652	)		(652	)
Buy		24,787	03/2008		272		(15	)		257
Buy	RUB	330,033	09/2007		244		0			244
Buy		40,784	11/2007		55		0			55
Buy		122,711	12/2007		102		0			102
Buy		3,757,101	01/2008		850		0			850
Buy	SAR	30,855	05/2008		0		(2	)		(2	)
Buy	SGD	164,938	07/2007		239		(118	)		121
Sell		99,576	07/2007		0		(384	)		(384	)
Buy		77,519	08/2007		233		(39	)		194
Buy		164,613	10/2007		536		(5	)		531
Buy		607	11/2007		0		(4	)		(4	)
Buy	SKK	5,396	03/2008		1		0			1
Buy	ZAR	22,489	09/2007		5		(8	)		(3	)
				$	9,209	$	(2,297	)	$	6,912

See accompanying notes

Schedule of Investments

High Yield Portfolio

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 8.6%
Community Health Corp.
4.000% due 07/02/2014	$	47	$	47
5.000% due 07/02/2014		704		705
7.000% due 04/10/2008		2,000		1,995
Ford Motor Co.
8.360% due 11/29/2013		1,990		2,000
General Motors Acceptance Corp.
7.725% due 11/17/2013		1,496		1,508
Georgia-Pacific Corp.
7.090% due 12/20/2012		1,500		1,505
Harrah's Entertainment, Inc.
7.500% due 03/09/2008		2,000		1,990
Hawaiian Telcom Communications, Inc.
7.610% due 06/01/2014		2,000		1,998
HCA, Inc.
7.600% due 11/14/2013		1,995		2,006
Headwaters, Inc.
7.360% due 04/30/2011		426		427
Lear Corp.
8.000% due 06/27/2014		500		496
Metro-Goldwyn-Mayer, Inc.
8.614% due 04/08/2012		2,975		2,986
Roundy's Supermarket, Inc.
8.110% due 11/01/2011		980		989
SLM Corp.
6.000% due 06/30/2008		1,600		1,592
Thompson Learning, Inc.
5.000% due 06/27/2014		1,300		1,285
Tribune Co.
7.875% due 05/30/2009		350		351
8.375% due 05/30/2014		600		587
VWR International, Inc.
7.000% due 05/30/2008		1,200		1,201
Wind Acquisition Finance S.A.
12.609% due 12/21/2011		310		312
Total Bank Loan Obligations (Cost $23,939)				23,980
CORPORATE BONDS & NOTES 77.6%
Banking & Finance 11.2%
AES Red Oak LLC
8.540% due 11/30/2019		724		793
9.200% due 11/30/2029		1,000		1,185
Consolidated Communications Holdings, Inc.
9.750% due 04/01/2012		296		312
Ferrellgas Escrow LLC
6.750% due 05/01/2014		500		476
Ford Motor Credit Co.
7.800% due 06/01/2012		10,016		9,781
Forest City Enterprises, Inc.
7.625% due 06/01/2015		425		430
General Motors Acceptance Corp.
8.000% due 11/01/2031		2,350		2,410
GMAC LLC
6.625% due 05/15/2012		2,500		2,417
Hexion U.S. Finance Corp.
9.750% due 11/15/2014		1,200		1,248
K&F Acquisition, Inc.
7.750% due 11/15/2014		360		383
Mirage Resorts, Inc.
7.250% due 08/01/2017		2,575		2,536
NSG Holdings LLC/NSG Holdings, Inc.
7.750% due 12/15/2025		650		660
Petroplus Finance Ltd.
6.750% due 05/01/2014		175		169
7.000% due 05/01/2017		175		169
Rotech Healthcare, Inc.
9.500% due 04/01/2012		2,245		2,133
Tenneco, Inc.
8.625% due 11/15/2014		2,560		2,650
Universal City Florida Holding Co. I
10.106% due 05/01/2010		50		51
Ventas Realty LP
6.750% due 04/01/2017		1,000		992
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		1,950		2,247
				31,042
Industrials 53.4%
Abitibi-Consolidated, Inc.
8.550% due 08/01/2010		1,150		1,104
Actuant Corp.
6.875% due 06/15/2017		600		597
Albertson's, Inc.
7.450% due 08/01/2029		300		294
7.750% due 06/15/2026		1,000		1,014
Allied Waste North America, Inc.
7.250% due 03/15/2015		3,000		2,985
AmeriGas Partners LP
7.125% due 05/20/2016		2,050		2,024
Aramark Corp.
8.500% due 02/01/2015		1,800		1,840
Arco Chemical Co.
10.250% due 11/01/2010		225		244
ArvinMeritor, Inc.
8.125% due 09/15/2015		2,750		2,678
Berry Plastics Holding Corp.
8.875% due 09/15/2014		800		814
Bon-Ton Stores, Inc.
10.250% due 03/15/2014		3,050		3,103
Bowater Canada Finance
7.950% due 11/15/2011		390		369
Buhrmann U.S., Inc.
8.250% due 07/01/2014		900		909
CanWest Media, Inc.
8.000% due 09/15/2012		580		579
Cascades, Inc.
7.250% due 02/15/2013		1,260		1,232
CCO Holdings LLC
8.750% due 11/15/2013		1,685		1,723
Celestica, Inc.
7.625% due 07/01/2013		750		705
7.875% due 07/01/2011		850		829
Chart Industries, Inc.
9.125% due 10/15/2015		1,075		1,134
Chemtura Corp.
6.875% due 06/01/2016		1,300		1,235
Compagnie Générale de Géophysique-Veritas
7.500% due 05/15/2015		1,400		1,407
7.750% due 05/15/2017		150		153
Corrections Corp. of America
7.500% due 05/01/2011		500		509
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		775		787
7.750% due 11/15/2015		750		757
CSC Holdings, Inc.
6.750% due 04/15/2012		600		573
7.625% due 04/01/2011		1,675		1,671
DaVita, Inc.
7.250% due 03/15/2015		850		844
Delhaize America, Inc.
8.050% due 04/15/2027		600		629
9.000% due 04/15/2031		924		1,121
Dex Media West LLC
8.500% due 08/15/2010		25		26
Dresser-Rand Group, Inc.
7.375% due 11/01/2014		574		579
Dynegy Holdings, Inc.
7.125% due 05/15/2018		4,253		3,806
7.500% due 06/01/2015		2,700		2,555
8.375% due 05/01/2016		1,200		1,179
EchoStar DBS Corp.
7.125% due 02/01/2016		3,000		2,947
El Paso Corp.
7.000% due 06/15/2017		1,325		1,317
7.420% due 02/15/2037		4,375		4,238
7.800% due 08/01/2031		1,000		1,018
8.050% due 10/15/2030		1,300		1,372
Equistar Chemicals LP
10.125% due 09/01/2008		2,000		2,090
Ferrellgas Partners LP
8.750% due 06/15/2012		2,095		2,168
Ford Motor Co.
7.450% due 07/16/2031		1,500		1,206
Forest Oil Corp.
7.250% due 06/15/2019		850		829
Freeport-McMoRan Copper & Gold, Inc.
8.250% due 04/01/2015		875		925
8.375% due 04/01/2017		3,825		4,093
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		2,000		1,920
9.235% due 12/15/2014		1,000		970
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		900		936
Gaylord Entertainment Co.
8.000% due 11/15/2013		800		815
General Motors Corp.
8.250% due 07/15/2023		3,175		2,909
Georgia-Pacific Corp.
7.000% due 01/15/2015		250		242
7.125% due 01/15/2017		2,250		2,171
8.000% due 01/15/2024		1,650		1,609
Goodyear Tire & Rubber Co.
8.625% due 12/01/2011		1,002		1,060
Hanover Compressor Co.
8.625% due 12/15/2010		120		124
Hanover Equipment Trust
8.500% due 09/01/2008		438		438
HCA, Inc.
7.190% due 11/15/2015		350		317
7.690% due 06/15/2025		900		787
9.250% due 11/15/2016		5,800		6,192
Health Management Associates, Inc.
6.125% due 04/15/2016		1,000		946
Herbst Gaming, Inc.
7.000% due 11/15/2014		950		895
Hertz Corp.
8.875% due 01/01/2014		2,400		2,514
Horizon Lines LLC
9.000% due 11/01/2012		300		319
Idearc, Inc.
8.000% due 11/15/2016		3,270		3,319
Ineos Group Holdings PLC
8.500% due 02/15/2016		850		835
Intelsat Bermuda Ltd.
9.250% due 06/15/2016		2,485		2,653
Intelsat Subsidiary Holding Co. Ltd.
8.250% due 01/15/2013		50		51
Jefferson Smurfit Corp. U.S.
8.250% due 10/01/2012		100		100
JET Equipment Trust
7.630% due 08/15/2012 (a)		218		161
10.000% due 06/15/2012 (a)		394		410
L-3 Communications Corp.
7.625% due 06/15/2012		1,000		1,029
Legrand France
8.500% due 02/15/2025		670		786
Lyondell Chemical Co.
6.875% due 06/15/2017		250		242
8.250% due 09/15/2016		1,200		1,260
Mariner Energy, Inc.
8.000% due 05/15/2017		1,000		997
MGM Mirage
7.500% due 06/01/2016		1,825		1,741
Nalco Co.
8.875% due 11/15/2013		650		678
Nortel Networks Ltd.
10.125% due 07/15/2013		2,680		2,888
Novelis, Inc.
7.250% due 02/15/2015		710		732
OPTI Canada, Inc.
8.250% due 12/15/2014		800		816
Peabody Energy Corp.
7.375% due 11/01/2016		450		461
Pilgrim's Pride Corp.
7.625% due 05/01/2015		2,000		2,005
Plains Exploration & Production Co.
7.000% due 03/15/2017		150		143
7.750% due 06/15/2015		1,000		998
PQ Corp.
7.500% due 02/15/2013		900		958
Primedia, Inc.
8.875% due 05/15/2011		1,220		1,260
Range Resources Corp.
7.500% due 05/15/2016		2,100		2,137
Reynolds American, Inc.
7.250% due 06/15/2037		300		309
7.750% due 06/01/2018		2,335		2,503
RH Donnelley Corp.
6.875% due 01/15/2013		175		167
8.875% due 01/15/2016		3,000		3,135
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		300		303
Roseton
7.270% due 11/08/2010		1,055		1,068
Royal Caribbean Cruises Ltd.
7.250% due 03/15/2018		1,000		984
Sanmina-SCI Corp.
8.125% due 03/01/2016		675		631
SemGroup LP
8.750% due 11/15/2015		1,840		1,858
Sensata Technologies BV
8.000% due 05/01/2014		1,925		1,867
Service Corp. International
7.625% due 10/01/2018		925		941
Smurfit Capital Funding PLC
7.500% due 11/20/2025		450		456
Smurfit Kappa Funding PLC
7.750% due 04/01/2015		200		201
9.625% due 10/01/2012		586		617
Smurfit-Stone Container Enterprises, Inc.
8.000% due 03/15/2017		2,550		2,486
Station Casinos, Inc.
7.750% due 08/15/2016		1,000		995
Suburban Propane Partners LP
6.875% due 12/15/2013		1,000		970
Sungard Data Systems, Inc.
9.125% due 08/15/2013		500		514
Superior Essex Communications LLC
9.000% due 04/15/2012		700		718
Tenet Healthcare Corp.
7.375% due 02/01/2013		850		772
9.875% due 07/01/2014		175		174
TransDigm, Inc.
7.750% due 07/15/2014		1,880		1,908
Triad Hospitals, Inc.
7.000% due 11/15/2013		1,295		1,365
TRW Automotive, Inc.
7.000% due 03/15/2014		2,200		2,106
U.S. Airways Group, Inc.
9.33% due 01/01/2049 (a)		148		1
Verso Paper Holdings LLC
9.125% due 08/01/2014		2,110		2,189
Williams Cos., Inc.
7.750% due 06/15/2031		1,000		1,064
Williams Partners LP
7.250% due 02/01/2017		375		379
Wynn Las Vegas LLC
6.625% due 12/01/2014		2,000		1,938
				148,654
Utilities 13.0%
AES Corp.
8.750% due 05/15/2013		1,000		1,060
Cincinnati Bell, Inc.
7.250% due 07/15/2013		225		232
8.375% due 01/15/2014		1,395		1,416
Citizens Communications Co.
7.125% due 03/15/2019		2,550		2,422
Complete Production Services, Inc.
8.000% due 12/15/2016		1,000		1,015
Edison Mission Energy
7.000% due 05/15/2017		800		758
7.200% due 05/15/2019		250		236
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		1,070		1,126
Homer City Funding LLC
8.734% due 10/01/2026		292		323
Midwest Generation LLC
8.560% due 01/02/2016		1,311		1,398
NRG Energy, Inc.
7.375% due 02/01/2016		1,755		1,764
7.375% due 01/15/2017		1,000		1,006
PSEG Energy Holdings LLC
8.500% due 06/15/2011		1,450		1,543
Qwest Corp.
6.875% due 09/15/2033		1,250		1,178
7.200% due 11/10/2026		2,100		2,074
7.250% due 09/15/2025		3,200		3,208
8.875% due 03/15/2012		800		866
Reliant Energy, Inc.
6.750% due 12/15/2014		3,410		3,495
7.625% due 06/15/2014		425		417
Rural Cellular Corp.
9.875% due 02/01/2010		1,300		1,365
South Point Energy Center LLC
8.400% due 05/30/2012 (e)		860		850
Tenaska Alabama Partners LP
7.000% due 06/30/2021		1,542		1,586
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		4,550		4,846
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (h)		1,851		1,927
				36,111
Total Corporate Bonds & Notes (Cost $218,152)				215,807
CONVERTIBLE BONDS & NOTES 1.1%
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		375		363
Chesapeake Energy Corp.
2.750% due 11/15/2035		600		653
CMS Energy Corp.
2.875% due 12/01/2024		650		852
Deutsche Bank AG
0.000% due 07/14/2008		325		304
0.000% due 09/29/2008		100		94
0.000% due 10/24/2008		200		196
Nortel Networks Corp.
2.125% due 04/15/2014		475		466
Qwest Communications International, Inc.
3.500% due 11/15/2025		125		220
Total Convertible Bonds & Notes (Cost $3,066)				3,148
MORTGAGE-BACKED SECURITIES 0.1%
RMF Commercial Mortgage Pass-Through Certificates
9.150% due 11/28/2027		181		179
Total Mortgage-Backed Securities (Cost $120)				179
FOREIGN CURRENCY-DENOMINATED ISSUES 5.7%
Amadeus Global Travel Distribution S.A.
6.218% due 04/08/2013	EUR	1,500		2,048
Bombardier, Inc.
7.250% due 11/15/2016		1,775		2,514
Chesapeake Energy Corp.
6.250% due 01/15/2017		2,000		2,714
Lighthouse International Co. S.A.
8.000% due 04/30/2014		915		1,314
Nordic Telephone Co. Holdings ApS
5.875% due 11/30/2014		405		555
6.125% due 11/30/2014		500		686
8.250% due 05/01/2016		1,900		2,764
OI European Group BV
6.875% due 03/31/2017		300		405
SigmaKalon
6.164% due 06/30/2012		954		1,293
Telenet Communications NV
9.000% due 12/15/2013		94		137
UPC Holding BV
7.750% due 01/15/2014		605		815
8.625% due 01/15/2014		400		556
Total Foreign Currency-Denominated Issues (Cost $14,468)				15,801
		Shares
CONVERTIBLE PREFERRED STOCKS 0.1%
Chesapeake Energy Corp.
4.500% due 12/31/2049		1,400		142
Freeport-McMoRan Copper & Gold, Inc.
6.750% due 05/01/2010		1,800		232
Total Convertible Preferred Stocks (Cost $320)				374
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 12.1%
Commercial Paper 11.6%
General Electric Capital Corp.
5.170% due 11/06/2007	$	2,600		2,551
HBOS Treasury Services PLC
5.235% due 11/13/2007		2,700		2,679
Societe Generale NY
5.180% due 11/26/2007		6,400		6,261
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		5,300		5,300
UBS Finance Delaware LLC
5.200% due 10/23/2007		6,400		6,292
5.350% due 10/23/2007		3,000		3,000
Unicredito Italiano SpA
5.200% due 01/22/2008		6,400		6,290
				32,373
Repurchase Agreements 0.3%
State Street Bank and Trust Co.
4.900% due 07/02/2007		706		706
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $723. Repurchase proceeds are $706.)
U.S. Treasury Bills 0.2%
4.501% due 09/13/2007 (b)(c)		525		519
Total Short-Term Instruments (Cost $33,611)				33,598
Total Investments (d) 105.3% (Cost $293,676)			$	292,887
Other Assets and Liabilities (Net) (5.3%)				(14,745	)
Net Assets 100.0%			$	278,142

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) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $494 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $4,091 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Security is subject to a forbearance agreement entered into by the Portfolio which forbears the Fund from taking action to, among other things, accelerate and collect payments on the subject note with respect to specified events of default

(f) The average amount of borrowing outstanding during the period ended June 30, 2007 was $190 at a weighted average interest rate of 5.450%. On June 30, 2007, there were no open reverse repurchase agreements.

(g) Swap agreements outstanding on June 30, 2007:

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	$	3
Bank of America	Williams Cos., Inc. 7.125% due 09/01/2011	Sell	1.250	%	12/20/2007		1,000		5
Bank of America	MGM Mirage 5.875% due 02/27/2014	Buy	(0.810	%)	06/20/2010		1,000		12
Bank of America	Dow Jones CDX N.A. HY8 Index	Sell	2.750	%	06/20/2012		28,000		(786	)
Bank of America	MGM Mirage 5.875% due 02/27/2014	Sell	1.530	%	06/20/2012		1,000		(34	)
Bank of America	Community Health Systems 8.875% due 07/15/2015	Sell	2.850	%	09/20/2012		550		3
Barclays Bank PLC	Allied Waste North America, Inc. 7.375% due 04/15/2014	Sell	2.030	%	06/20/2012		300		(10	)
Bear Stearns & Co., Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	0.820	%	12/20/2007		1,500		2
Citibank N.A.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Buy	(1.070	%)	06/20/2010		1,000		19
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.050	%	06/20/2011		1,000		(8	)
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.030	%	03/20/2012		1,000		(32	)
Citibank N.A.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	1.050	%	03/20/2012		3,000		(94	)
Citibank N.A.	Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	3.500	%	06/20/2012		300		(8	)
Citibank N.A.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.820	%	06/20/2012		700		(26	)
Citibank N.A.	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.600	%	09/20/2012		150		(1	)
Credit Suisse First Boston	Reliant Energy, Inc. 9.250% due 07/15/2010	Sell	3.000	%	12/20/2007		1,000		10
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	0.750	%	03/20/2008		1,500		(6	)
Credit Suisse First Boston	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	1.450	%	12/20/2008		2,000		(5	)
Credit Suisse First Boston	Forest Oil Corp. 7.750% due 05/01/2014	Sell	1.610	%	06/20/2012		400		(9	)
Credit Suisse First Boston	Pride International, Inc. 7.375% due 07/15/2014	Sell	1.950	%	09/20/2012		150		(2	)
Credit Suisse First Boston	Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	4.220	%	09/20/2012		600		(9	)
Goldman Sachs & Co.	HCA, Inc. 6.950% due 05/01/2012	Sell	0.750	%	12/20/2007		1,000		(1	)
Goldman Sachs & Co.	Starwood Hotels & Resorts Worldwide, Inc. 7.875% 05/01/2012	Sell	1.100	%	12/20/2007		1,000		3
Goldman Sachs & Co.	Host Marriott LP 7.125% due 11/01/2013	Sell	1.770	%	12/20/2010		1,600		14
Goldman Sachs & Co.	Dow Jones CDX N.A. HY7 Index	Sell	0.785	%	12/20/2011		900		(1	)
JPMorgan Chase & Co.	Electronic Data Systems Corp. 6.000% due 08/01/2013	Sell	1.300	%	12/20/2007		1,000		6
JPMorgan Chase & Co.	General Motors Acceptance Corp. 6.875% due 08/28/2012	Sell	2.110	%	03/20/2012		1,000		9
Lehman Brothers, Inc.	Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.520	%)	06/20/2010		1,000		7
Lehman Brothers, Inc.	Dow Jones CDX N.A. HY7 Index	Sell	0.720	%	12/20/2011		1,000		(3	)
Lehman Brothers, Inc.	Forest Oil Corp. 7.750% due 05/01/2014	Sell	1.750	%	06/20/2012		500		(8	)
Lehman Brothers, Inc.	Pride International, Inc. 7.375% due 07/15/2014	Sell	1.750	%	06/20/2012		200		(2	)
Lehman Brothers, Inc.	Celestica, Inc. 7.625% due 07/01/2013	Sell	4.250	%	09/20/2012		500		(7	)
Merrill Lynch & Co., Inc.	Georgia-Pacific Corp. 8.125% due 05/15/2011	Sell	1.800	%	06/20/2012		300		(12	)
Morgan Stanley	Allied Waste North America, Inc. 7.375% due 04/15/2014	Buy	(1.120	%)	06/20/2010		1,000		12
Morgan Stanley	Allied Waste North America, Inc. 7.375% due 04/15/2014	Sell	2.020	%	06/20/2012		700		(24	)
Morgan Stanley	Aramark Corp. 8.500 due 02/01/2015	Sell	2.680	%	09/20/2012		750		(14	)
Morgan Stanley	Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.630	%	09/20/2012		150		(1	)
Morgan Stanley	Pride International, Inc. 7.375% due 07/15/2014	Sell	1.960	%	09/20/2012		350		(2	)
								$	(1,000	)

⁽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.

Total Return Swaps

Counterparty	Type	Receive Total Return	Pay		Expiration Date	# of Contracts		Unrealized Appreciation/ (Depreciation)
Merrill Lynch & Co., Inc.	Long	Motorola, Inc.	5.579	%	07/23/2007	1,100	$	0

(h) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Wilmington Trust Co. - Tucson Electric	10.732	%	01/01/2013	12/08/2000	$	1,943	$	1,927	0.69	%

(i) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized (Depreciation)
Sell	EUR	12,114	07/2007	$	0	$	(158	)	$	(158	)

See accompanying notes

Schedule of Investments

International Portfolio

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
AUSTRALIA 0.1%
Commonwealth Bank of Australia
5.360% due 06/08/2009	$	1,100	$	1,101
Medallion Trust
5.585% due 07/12/2031		1,313		1,314
Total Australia (Cost $2,413)				2,415
CAYMAN ISLANDS 0.0%
SHL Corp. Ltd.
1.448% due 12/25/2024	JPY	21,034		172
Total Cayman Islands (Cost $190)				172
CROATIA 0.0%
Croatia Government International Bond
6.212% due 07/31/2010	$	955		958
Total Croatia (Cost $948)				958
FRANCE 0.1%
Axa S.A.
3.750% due 01/01/2017	EUR	1,357		2,643
Total France (Cost $1,237)				2,643
GERMANY 1.4%
Republic of Germany
4.250% due 01/04/2014	EUR	1,000		1,330
4.250% due 07/04/2014		500		664
4.500% due 08/17/2007		42,050		56,930
Total Germany (Cost $58,584)				58,924
IRELAND 0.0%
Bank of Ireland
5.410% due 12/18/2009	$	1,100		1,102
Total Ireland (Cost $1,101)				1,102
JERSEY, CHANNEL ISLANDS 0.4%
Haus Ltd.
4.385% due 12/10/2037	EUR	7,630		10,344
Lloyds TSB Capital
7.375% due 12/29/2049		5,250		7,764
Total Jersey, Channel Islands (Cost $11,958)				18,108
MEXICO 0.0%
Mexico Government International Bond
6.750% due 09/27/2034	$	883		944
Total Mexico (Cost $948)				944
NETHERLANDS 1.6%
Deutsche Telekom International Finance BV
5.540% due 03/23/2009	$	52,630		52,771
Siemens Financieringsmaatschappij NV
5.410% due 08/14/2009		12,150		12,153
Total Netherlands (Cost $64,854)				64,924
NEW ZEALAND 0.1%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	3,523		3,634
Total New Zealand (Cost $1,773)				3,634
SPAIN 0.1%
Hipotebansa Mortgage Securitization Fund
4.151% due 07/18/2022	EUR	2,648		3,584
Santander U.S. Debt S.A. Unipersonal
5.420% due 09/19/2008	$	1,100		1,101
Total Spain (Cost $3,506)				4,685
SUPRANATIONAL 0.1%
European Investment Bank
5.500% due 12/07/2009	GBP	2,300		4,566
Total Supranational (Cost $3,289)				4,566
TUNISIA 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012	$	500		536
7.500% due 08/06/2009	EUR	1,800		2,558
Total Tunisia (Cost $2,331)				3,094
UNITED KINGDOM 0.2%
Bauhaus Securities Ltd.
4.325% due 10/30/2052	EUR	5,682		7,709
Royal Bank of Scotland Group PLC
5.405% due 07/21/2008	$	1,100		1,101
Total United Kingdom (Cost $5,940)				8,810
UNITED STATES 35.4%
Asset-Backed Securities 1.8%
Chase Credit Card Master Trust
5.490% due 09/15/2011	$	67,050		67,298
Merrill Lynch Mortgage Investors, Inc.
5.430% due 03/25/2037		10,000		10,006
				77,304
Corporate Bonds & Notes 7.5%
American Express Bank FSB
5.380% due 06/22/2009		8,500		8,509
American Express Credit Corp.
5.380% due 03/02/2009		1,100		1,102
5.380% due 04/06/2009		1,100		1,101
American Honda Finance Corp.
5.346% due 08/05/2008		1,100		1,100
American International Group, Inc.
5.360% due 06/23/2008		1,100		1,100
Anadarko Petroleum Corp.
5.760% due 09/15/2009		700		701
AT&T, Inc.
5.456% due 02/05/2010		2,200		2,204
Bank of America N.A.
5.360% due 12/18/2008		1,750		1,751
Bear Stearns Cos., Inc.
5.655% due 01/30/2009		15,200		15,242
Caterpillar Financial Services Corp.
5.420% due 05/18/2009		1,100		1,102
Charter One Bank N.A.
5.405% due 04/24/2009		3,500		3,505
Cisco Systems, Inc.
5.440% due 02/20/2009		2,200		2,205
CIT Group, Inc.
5.430% due 02/21/2008		2,200		2,201
Citigroup Funding, Inc.
5.360% due 06/26/2009		25,000		24,988
Citigroup, Inc.
5.390% due 12/28/2009		12,540		12,550
5.400% due 12/26/2008		1,100		1,101
Comcast Corp.
5.656% due 07/14/2009		2,200		2,201
ConocoPhillips Australia Funding Co.
5.460% due 04/09/2009		2,100		2,102
Credit Suisse First Boston
5.560% due 08/15/2010		17,073		17,156
Dominion Resources, Inc.
5.540% due 11/14/2008		900		901
Florida Power Corp.
5.760% due 11/14/2008		2,200		2,204
General Electric Capital Corp.
5.400% due 03/16/2009		2,100		2,101
5.455% due 10/21/2010		51,400		51,501
General Mills, Inc.
5.485% due 01/22/2010		2,200		2,200
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		900		900
5.450% due 12/22/2008		200		200
5.660% due 06/28/2010		20,320		20,451
HSBC Finance Corp.
5.450% due 06/19/2009		2,200		2,203
International Lease Finance Corp.
5.698% due 04/20/2009		285		287
JPMorgan Chase & Co.
5.370% due 06/26/2009		1,100		1,101
Kroger Co.
5.500% due 02/01/2013		100		98
Lehman Brothers Holdings, Inc.
5.410% due 12/23/2008		2,300		2,303
5.607% due 11/10/2009		14,020		14,064
Merrill Lynch & Co., Inc.
5.395% due 10/23/2008		900		901
5.450% due 08/14/2009		200		200
Metropolitan Life Global Funding I
5.420% due 10/05/2007		1,100		1,100
Morgan Stanley
5.385% due 04/25/2008		900		900
Safeway, Inc.
5.710% due 03/27/2009		1,080		1,081
SLM Corp.
5.565% due 07/25/2008		1,100		1,093
Time Warner, Inc.
5.590% due 11/13/2009		1,100		1,102
U.S. Bancorp
5.350% due 04/28/2009		1,250		1,251
U.S. Bank N.A.
5.280% due 03/31/2008		1,100		1,100
Wachovia Bank N.A.
5.360% due 02/23/2009		400		400
5.400% due 03/23/2009		2,250		2,251
Wells Fargo & Co.
5.370% due 03/10/2008		1,100		1,101
5.455% due 01/12/2011		20,530		20,568
World Savings Bank FSB
5.396% due 05/08/2009		75,000		75,040
5.485% due 03/02/2009		1,100		1,103
				311,626
Mortgage-Backed Securities 2.9%
CS First Boston Mortgage Securities Corp.
6.500% due 04/25/2033		132		132
MLCC Mortgage Investors, Inc.
5.700% due 03/15/2025		21		21
Wachovia Bank Commercial Mortgage Trust
5.400% due 06/15/2020		42,000		42,013
Washington Mutual, Inc.
6.029% due 08/25/2046		78,388		78,590
				120,756
Commodity Index-Linked Notes 0.2%
Morgan Stanley
0.000% due 07/07/2008		9,000		8,949
U.S. Government Agencies 22.8%
Fannie Mae
5.000% due 02/01/2022 - 07/01/2037		651,020		620,202
5.500% due 02/01/2037 - 07/01/2037		287,752		277,605
6.000% due 12/01/2033		11		11
6.500% due 05/01/2028 - 07/01/2029		435		443
7.000% due 09/25/2023		133		137
8.800% due 01/25/2019		187		197
Freddie Mac
5.550% due 07/15/2037		40,000		39,997
6.500% due 07/15/2028		2,928		2,977
Ginnie Mae
4.375% due 06/20/2023		118		119
4.750% due 09/20/2024 - 09/20/2025		438		442
5.125% due 11/20/2022		123		125
5.375% due 04/20/2022 - 06/20/2030		1,538		1,560
5.380% due 05/20/2030		1,690		1,716
5.750% due 08/20/2022 - 09/20/2026		269		272
6.125% due 10/20/2024 - 11/20/2024		1,141		1,157
6.375% due 03/20/2022		86		86
7.500% due 09/15/2025 - 11/15/2030		3,045		3,161
8.500% due 07/15/2008 - 07/15/2030		35		38
				950,245
U.S. Treasury Obligations 0.2%
U.S. Treasury Bonds
6.000% due 02/15/2026		1,400		1,529
U.S. Treasury Notes
3.875% due 09/15/2010		8,760		8,501
				10,030
Total United States (Cost $1,476,414)				1,478,910
SHORT-TERM INSTRUMENTS 61.8%
Certificates of Deposit 2.9%
Barclays Bank PLC
5.370% due 03/13/2009		26,025		26,059
Calyon Financial, Inc.
5.395% due 06/29/2010		15,000		14,993
Royal Bank of Canada
5.225% due 09/04/2007		80,100		79,317
Unicredito Italiano NY
5.338% due 12/13/2007		1,300		1,301
				121,670
Commercial Paper 51.4%
ANZ National International Ltd.
5.235% due 09/19/2007		21,000		20,850
5.250% due 09/19/2007		29,100		28,752
ASB Finance Ltd.
5.240% due 09/20/2007		25,000		24,756
Australia and New Zealand Banking Group Ltd.
5.245% due 09/19/2007		38,700		38,238
Bank of America Corp.
5.200% due 10/04/2007		2,100		2,094
5.205% due 10/04/2007		25,400		25,191
5.215% due 10/04/2007		300		296
5.240% due 10/04/2007		13,400		13,289
5.245% due 10/04/2007		84,400		83,353
5.250% due 10/04/2007		70,000		69,033
Bank of Ireland
5.165% due 11/08/2007		6,100		5,983
Barclays U.S. Funding Corp.
5.240% due 09/26/2007		88,500		87,995
5.245% due 09/26/2007		29,600		29,308
Danske Corp.
5.170% due 10/12/2007		700		689
5.205% due 10/12/2007		300		298
5.210% due 10/12/2007		23,500		23,333
5.235% due 10/12/2007		24,100		23,861
Dexia Delaware LLC
5.240% due 09/21/2007		123,300		122,557
5.245% due 09/21/2007		56,300		55,914
5.250% due 09/21/2007		18,450		18,332
Fortis Funding LLC
5.240% due 09/05/2007		24,200		23,960
5.255% due 09/05/2007		14,700		14,666
General Electric Capital Corp.
5.200% due 11/06/2007		28,600		28,484
HBOS Treasury Services PLC
5.235% due 11/13/2007		19,000		18,853
5.240% due 11/13/2007		15,900		15,738
5.245% due 11/13/2007		19,200		18,976
5.250% due 09/21/2007		3,600		3,556
ING U.S. Funding LLC
5.240% due 09/21/2007		80,100		79,120
Intesa Funding LLC
5.240% due 09/05/2007		42,200		41,782
Natixis S.A.
5.230% due 09/21/2007		68,500		68,291
5.240% due 09/21/2007		42,800		42,453
5.250% due 09/21/2007		16,200		16,075
Nestle Capital Corp.
5.200% due 08/03/2007		32,000		31,852
Rabobank USA Financial Corp.
5.260% due 07/26/2007		118,300		118,006
Santander Hispano Finance Delaware
5.230% due 09/26/2007		28,800		28,608
5.245% due 09/26/2007		43,900		43,363
Societe Generale NY
5.180% due 11/26/2007		25,700		25,143
5.210% due 11/26/2007		24,800		24,336
5.225% due 11/26/2007		62,500		62,173
5.240% due 11/26/2007		11,300		11,168
5.245% due 11/26/2007		37,200		36,750
5.246% due 11/26/2007		31,300		30,931
Stadshypoket Delaware, Inc.
5.230% due 09/11/2007		10,500		10,421
5.240% due 09/11/2007		83,300		82,402
Statens Bostadsfin Bank
5.255% due 09/14/2007		115,277		113,984
Swedbank AB
5.235% due 10/19/2007		40,000		39,350
5.240% due 09/06/2007		80,220		79,846
UBS Finance Delaware LLC
5.200% due 10/23/2007		12,900		12,683
5.225% due 10/23/2007		8,800		8,778
5.230% due 10/23/2007		76,800		76,274
5.235% due 10/23/2007		300		297
5.240% due 10/23/2007		25,000		24,756
5.245% due 10/23/2007		3,900		3,856
Unicredito Italiano SpA
5.185% due 01/22/2008		38,300		37,464
5.200% due 01/22/2008		49,000		48,154
5.235% due 01/22/2008		1,000		991
5.240% due 01/22/2008		24,000		23,755
Westpac Banking Corp.
5.170% due 11/05/2007		20,400		20,080
5.195% due 11/05/2007		2,000		1,991
5.230% due 11/05/2007		53,600		53,405
Westpac Trust Securities NZ Ltd.
5.260% due 10/19/2007		50,900		50,285
				2,147,178
Tri-Party Repurchase Agreements 0.1%
State Street Bank and Trust Co.
4.900% due 07/02/2007		2,060		2,060
(Dated 06/29/2007. Collateralized by Fannie Mae 6.080% due 12/06/2021 valued at $2,103. Repurchase proceeds are $2,061.)
Belgium Treasury Bills 0.9%
3.932% due 08/16/2007 - 09/13/2007 (a)	EUR	27,470		36,880
France Treasury Bills 2.7%
3.943% due 07/05/2007 - 09/13/2007 (a)		84,420		113,373
Netherlands Treasury Bills 0.7%
3.785% due 08/31/2007 (a)		20,690		27,752
U.S. Treasury Bills 3.1%
4.605% due 08/30/2007 - 09/13/2007 (a)(b)(d)	$	130,080		128,650
Total Short-Term Instruments (Cost $2,577,602)				2,577,563
Purchased Options (f) 0.1% (Cost $5,124)				5,829
Total Investments (c) 101.5% (Cost $4,218,212)			$	4,237,281
Other Assets and Liabilities (Net) (1.5%)				(62,216	)
Net Assets 100.0%			$	4,175,065

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 $36,596 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(c) As of June 30, 2007, portfolio securities with an aggregate value of $194,709 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $6,013 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Euribor December Futures	Long	12/2007	19	$	(29	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	749		(1,726	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	12,209		(22,627	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2007	808		(1,618	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	16		(34	)
				$	(26,034	)

(e) Swap agreements outstanding on June 30, 2007:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.960	%	04/05/2012	EUR	1,000	$	(10	)
Deutsche Bank AG	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		105,000		6,313
Goldman Sachs & Co.	6-Month EUR-LIBOR	Pay	4.000	%	06/21/2036		700		(55	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.958	%	04/10/2012		700		(7	)
JPMorgan Chase & Co.	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2014		6,500		(324	)
Lehman Brothers, Inc.	6-Month EUR-LIBOR	Pay	4.000	%	12/15/2014		6,500		(480	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	300,000		(12,899	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		151,100		16,947
Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		20,000		1,524
Deutsche Bank AG	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		65,100		(4,559	)
Deutsche Bank AG	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		21,600		2,483
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	06/20/2008		12,900		(242	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		820,000		(32,479	)
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		521,800		16,178
HSBC Bank USA	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		324,000		(28,902	)
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		123,000		13,904
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		25,200		5,825
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Pay	5.500	%	09/20/2009		725,000		(19,995	)
JPMorgan Chase & Co.	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		36,000		4,065
Morgan Stanley	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		16,000		1,788
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		25,100		(1,136	)
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2036		14,900		3,137
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012	$	10,600		39
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		2,600		42
								$	(28,843	)

(f) Purchased options outstanding on June 30, 2007:

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. dollar versus Japanese yen	JPY	105.200	03/31/2010	$	17,000	$	716	$	1,157
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		17,000		716		476
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		44,000		1,846		2,945
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		44,000		1,846		1,251
						$	5,124	$	5,829

(g) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	5.000	%	07/01/2022	$	340,000	$	327,888	$	328,578
Fannie Mae	5.000	%	07/01/2037		310,000		289,777		290,480
Fannie Mae	5.500	%	07/01/2037		284,500		273,831		274,409
						$	891,496	$	893,467

(h) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	798	07/2007	$	1	$	0		$	1
Sell		1,179	07/2007		0		(10	)		(10	)
Buy	BRL	534,372	10/2007		8,770		0			8,770
Sell		208,400	10/2007		0		(6,911	)		(6,911	)
Sell	CAD	1,220	08/2007		0		(5	)		(5	)
Buy	CHF	90	09/2007		1		0			1
Sell	EUR	93,797	07/2007		0		(998	)		(998	)
Sell	GBP	32,306	08/2007		0		(340	)		(340	)
Buy	KRW	50,962,000	07/2007		236		0			236
Buy		137,525,106	08/2007		955		0			955
Buy	MXN	1,574,522	09/2007		214		(232	)		(18	)
Buy		608,508	03/2008		573		(153	)		420
Sell	NZD	3,401	07/2007		0		(20	)		(20	)
Buy	PLN	69,570	03/2008		48		0			48
Buy	RUB	1,033,325	09/2007		292		0			292
Buy		1,542,000	12/2007		156		0			156
Buy	SGD	167,629	07/2007		0		(313	)		(313	)
				$	11,246	$	(8,982	)	$	2,264

See accompanying notes

Schedule of Investments

Investment Grade Corporate Portfolio

June 30, 2007 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 92.8%
Banking & Finance 30.2%
ABN AMRO Bank NV
5.710% due 09/18/2013	$	1,700	$	1,706
AFLAC, Inc.
6.500% due 04/15/2009		1,000		1,018
AIG SunAmerica Global Financing VII
5.850% due 08/01/2008		2,400		2,411
American International Group, Inc.
2.875% due 05/15/2008		1,000		978
6.250% due 05/01/2036		5,000		5,063
Anadarko Finance Co.
6.750% due 05/01/2011		2,700		2,790
Archstone-Smith Trust
7.900% due 02/15/2016		75		83
AvalonBay Communities, Inc.
6.125% due 11/01/2012		150		153
Bank of America Corp.
4.750% due 08/01/2015		2,400		2,246
5.616% due 10/14/2016		5,000		5,027
Barclays Bank PLC
6.860% due 09/29/2049		360		369
BNP Paribas
5.186% due 06/29/2049		18,000		16,797
Canadian Oil Sands Ltd.
4.800% due 08/10/2009		7,000		6,888
CIT Group, Inc.
5.500% due 11/30/2007		860		860
5.590% due 09/20/2007		3,535		3,536
Citigroup, Inc.
6.125% due 08/25/2036		13,900		13,694
CNA Financial Corp.
5.850% due 12/15/2014		2,000		1,963
6.000% due 08/15/2011		2,000		2,008
Commonwealth Bank of Australia
6.024% due 03/29/2049		8,015		7,838
Countrywide Financial Corp.
6.250% due 05/15/2016		4,000		3,935
Export-Import Bank of Korea
5.450% due 06/01/2009		700		700
Ford Motor Credit Co.
4.950% due 01/15/2008		4,900		4,864
6.190% due 09/28/2007		3,000		3,000
General Motors Acceptance Corp.
4.900% due 07/15/2008		50		49
6.750% due 12/01/2014		100		96
6.875% due 08/28/2012		100		98
8.000% due 11/01/2031		120		123
Goldman Sachs Group, Inc.
5.685% due 07/23/2009		2,000		2,011
5.700% due 09/01/2012		800		800
HBOS Capital Funding LP
6.071% due 06/30/2049		13,600		13,555
HBOS PLC
5.375% due 12/29/2049		3,600		3,491
5.920% due 09/29/2049		13,000		12,212
HSBC Bank USA N.A.
4.625% due 04/01/2014		500		468
HSBC Capital Funding LP
4.610% due 12/29/2049		16,850		15,834
HSBC Holdings PLC
6.500% due 05/02/2036		14,300		14,744
7.625% due 05/17/2032		2,330		2,704
International Lease Finance Corp.
5.250% due 01/10/2013		5,000		4,893
JPMorgan Chase & Co.
5.750% due 01/02/2013		5,000		5,007
JPMorgan Mortgage Acquisition Corp.
6.550% due 09/15/2066		1,900		1,836
Kaupthing Bank HF
5.750% due 10/04/2011		3,200		3,192
6.125% due 10/04/2016		2,000		1,984
KFW International Finance, Inc.
5.750% due 01/15/2008		70		70
Landsbanki Islands HF
6.060% due 08/25/2009		2,000		2,022
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		2,000		1,954
MBNA America Bank N.A.
7.125% due 11/15/2012		1,300		1,389
MBNA Capital B
6.156% due 02/01/2027		2,000		1,999
Metropolitan Life Global Funding I
4.625% due 08/19/2010		2,000		1,956
Mizuho Financial Group Cayman Ltd.
5.790% due 04/15/2014		1,500		1,500
Mizuho JGB Investment LLC
9.870% due 12/31/2049		3,400		3,535
Morgan Stanley
4.750% due 04/01/2014		5,000		4,676
5.809% due 10/18/2016		7,000		7,005
5.836% due 10/15/2015		2,000		2,005
Natexis AMBS Co. LLC
8.440% due 12/29/2049		1,300		1,335
National City Bank of Pennsylvania
7.250% due 10/21/2011		853		906
Rabobank Capital Funding II
5.260% due 12/31/2049		7,000		6,722
Rabobank Capital Funding Trust
5.254% due 12/29/2049		17,000		15,946
RBS Capital Trust III
5.512% due 09/29/2049		26,200		25,218
Resona Bank Ltd.
5.850% due 09/29/2049		6,900		6,608
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		9,170		9,975
SB Treasury Co. LLC
9.400% due 12/29/2049		1,600		1,655
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		5,000		4,773
Tiers Trust
8.125% due 09/15/2017		711		774
UBS Preferred Funding Trust V
6.243% due 05/12/2049		12,800		12,872
UFJ Finance Aruba AEC
6.750% due 07/15/2013		24,882		26,305
USB Capital IX
6.189% due 04/15/2049		12,100		12,199
Wells Fargo Capital X
5.950% due 12/15/2036		6,500		6,083
Wilmington Trust Corp.
10.500% due 07/01/2008 (h)		88		87
Xstrata Finance Canada Ltd.
5.800% due 11/15/2016		5,900		5,742
				336,335
Industrials 44.5%
Albertson’s, Inc.
8.000% due 05/01/2031		5,000		5,135
Anadarko Petroleum Corp.
5.950% due 09/15/2016		3,100		3,032
6.450% due 09/15/2036		7,400		7,140
Apache Corp.
5.625% due 01/15/2017		200		196
6.000% due 01/15/2037		1,000		957
AutoZone, Inc.
5.500% due 11/15/2015		2,500		2,399
6.500% due 07/15/2008		2,000		2,020
Avon Products, Inc.
5.125% due 01/15/2011		3,000		2,965
Barrick Gold Corp.
5.800% due 11/15/2034		2,700		2,441
Boston Scientific Corp.
5.450% due 06/15/2014		1,300		1,225
6.000% due 06/15/2011		2,500		2,491
Canadian Natural Resources Ltd.
6.500% due 02/15/2037		2,000		1,969
Cardinal Health, Inc.
5.619% due 10/02/2009		2,600		2,603
CBS Corp.
5.625% due 08/15/2012		10,000		9,843
Comcast Cable Communications Holdings, Inc.
9.455% due 11/15/2022		350		445
Comcast Corp.
5.300% due 01/15/2014		7,000		6,757
5.900% due 03/15/2016		2,900		2,853
7.050% due 03/15/2033		5,000		5,176
Continental Airlines, Inc.
6.320% due 11/01/2008		15,195		15,205
7.056% due 09/15/2009		5,000		5,066
Cox Communications, Inc.
5.910% due 12/14/2007		2,700		2,706
7.125% due 10/01/2012		5,100		5,394
7.750% due 11/01/2010		100		106
CVS Caremark Corp.
5.660% due 06/01/2010		450		451
5.750% due 08/15/2011		2,000		2,002
DaimlerChrysler N.A. Holding Corp.
4.050% due 06/04/2008		440		434
5.750% due 09/08/2011		2,000		2,005
8.000% due 06/15/2010		270		287
Devon Energy Corp.
7.950% due 04/15/2032		2,600		3,048
Devon Financing Corp. ULC
6.875% due 09/30/2011		400		418
7.875% due 09/30/2031		700		813
Duke Energy Field Services LLC
5.375% due 10/15/2015		2,000		1,905
El Paso Corp.
6.750% due 05/15/2009		6,400		6,488
7.750% due 06/15/2010		18,533		19,319
7.750% due 01/15/2032		29,685		30,050
7.800% due 08/01/2031		54,285		55,244
8.050% due 10/15/2030		11,200		11,822
El Paso Natural Gas Co.
8.375% due 06/15/2032		3,850		4,534
Enbridge Energy Partners LP
5.875% due 12/15/2016		3,600		3,522
Energy Transfer Partners LP
6.125% due 02/15/2017		800		791
6.625% due 10/15/2036		1,900		1,861
Enterprise Products Operating LP
5.000% due 03/01/2015		800		748
Fund American Cos., Inc.
5.875% due 05/15/2013		2,500		2,461
Gannett Co., Inc.
5.750% due 06/01/2011		4,000		4,000
General Mills, Inc.
5.700% due 02/15/2017		4,500		4,394
Hilton Hotels Corp.
7.625% due 05/15/2008		220		224
HJ Heinz Co.
6.428% due 12/01/2008		2,150		2,172
HJ Heinz Finance Co.
6.000% due 03/15/2012		3,000		3,014
Hospira, Inc.
6.050% due 03/30/2017		1,300		1,283
Humana, Inc.
6.450% due 06/01/2016		5,000		5,042
JC Penney Corp., Inc.
6.375% due 10/15/2036		500		478
Johnson Controls, Inc.
5.250% due 01/15/2011		2,000		1,981
5.500% due 01/15/2016		2,000		1,940
Kern River Funding Corp.
4.893% due 04/30/2018		13,518		12,946
Kinder Morgan Energy Partners LP
6.000% due 02/01/2017		800		784
7.125% due 03/15/2012		5,000		5,265
7.300% due 08/15/2033		5,500		5,761
Kraft Foods, Inc.
5.625% due 11/01/2011		2,000		1,986
Kroger Co.
5.500% due 02/01/2013		3,000		2,925
Loews Corp.
5.250% due 03/15/2016		2,000		1,920
Magellan Midstream Partners LP
6.400% due 05/01/2037		2,200		2,133
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (h)		239		238
Mazda Motor Corp.
10.500% due 07/01/2008 (h)		36		36
News America Holdings, Inc.
9.250% due 02/01/2013		4,800		5,561
Norfolk Southern Corp.
5.640% due 05/17/2029		77		70
7.800% due 05/15/2027		3		3
Omnicom Group, Inc.
5.900% due 04/15/2016		3,800		3,760
Oracle Corp.
5.000% due 01/15/2011		2,400		2,367
Packaging Corp. of America
4.375% due 08/01/2008		2,800		2,759
Parker Hannifin Employee Stock Ownership Trust
6.340% due 07/15/2008		669		671
Pemex Project Funding Master Trust
7.375% due 12/15/2014		29,920		32,668
7.875% due 02/01/2009		32,550		33,657
8.500% due 02/15/2008		1,800		1,833
9.250% due 03/30/2018		5,900		7,360
9.375% due 12/02/2008		11,825		12,464
Pioneer Natural Resources Co.
5.875% due 07/15/2016		1,000		904
Plains All American Pipeline LP
6.125% due 01/15/2017		1,000		994
6.650% due 01/15/2037		1,700		1,681
RadioShack Corp.
7.375% due 05/15/2011		1,900		1,966
Rogers Cable, Inc.
6.750% due 03/15/2015		4,800		4,956
Rowan Cos., Inc.
5.880% due 03/15/2012		1,456		1,472
Sealed Air Corp.
6.950% due 05/15/2009		1,500		1,537
Starwood Hotels & Resorts Worldwide, Inc.
7.875% due 05/01/2012		2,700		2,814
Suncor Energy, Inc.
6.500% due 06/15/2038		5,000		5,041
Systems 2001 Asset Trust LLC
6.664% due 09/15/2013		2,933		3,043
7.156% due 12/15/2011		1,042		1,071
Temple-Inland, Inc.
6.750% due 03/01/2009		2,500		2,536
Time Warner Cable, Inc.
5.850% due 05/01/2017		1,100		1,072
6.550% due 05/01/2037		10,100		9,793
United Airlines, Inc.
6.071% due 03/01/2013		1,592		1,601
6.602% due 03/01/2015		2,065		2,082
8.390% due 01/21/2011 (a)		2,247		10
10.020% due 03/22/2014 (a)		866		464
10.125% due 03/22/2015 (a)		2,077		1,072
10.850% due 02/19/2015 (a)		937		491
United Telecom, Inc.
6.890% due 07/01/2008 (h)		1,000		997
Univision Communications, Inc.
7.850% due 07/15/2011		5,067		5,244
USX Corp.
6.850% due 03/01/2008		1,520		1,533
Valero Energy Corp.
7.500% due 04/15/2032		800		876
8.750% due 06/15/2030		15,175		18,783
Viacom, Inc.
5.710% due 06/16/2009		3,000		3,010
5.750% due 04/30/2011		3,000		2,998
Waste Management, Inc.
7.375% due 08/01/2010		90		94
Westfield Group
5.700% due 10/01/2016		2,000		1,969
Wyeth
5.500% due 03/15/2013		2,500		2,477
XTO Energy, Inc.
4.900% due 02/01/2014		5,000		4,738
5.650% due 04/01/2016		800		778
6.100% due 04/01/2036		5,000		4,707
Yum! Brands, Inc.
6.250% due 04/15/2016		2,500		2,499
7.650% due 05/15/2008		3,000		3,048
				496,373
Utilities 18.1%
Appalachian Power Co.
6.375% due 04/01/2036		3,000		3,006
AT&T Corp.
7.300% due 11/15/2011		6,000		6,393
8.000% due 11/15/2031		200		238
Beaver Valley II Funding
9.000% due 06/01/2017		1,459		1,629
BVPS II Funding Corp.
8.330% due 12/01/2007		698		702
8.890% due 06/01/2017		1,500		1,686
Carolina Power & Light Co.
6.800% due 08/15/2007		156		156
CenturyTel, Inc.
8.375% due 10/15/2010		2,100		2,269
Cingular Wireless LLC
6.500% due 12/15/2011		450		466
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		4		4
7.430% due 11/01/2009		11,500		11,945
Consumers Energy Co.
5.000% due 02/15/2012		1,900		1,848
5.000% due 03/15/2015		300		284
5.150% due 02/15/2017		2,800		2,632
5.375% due 04/15/2013		600		591
5.500% due 08/15/2016		2,250		2,187
Deutsche Telekom International Finance BV
8.000% due 06/15/2010		2,500		2,666
8.250% due 06/15/2030		100		120
Dominion Resources, Inc.
5.200% due 01/15/2016		3,000		2,847
5.600% due 11/15/2016		1,800		1,750
Duke Energy Corp.
6.450% due 10/15/2032		15,000		15,458
Duke Energy, Inc.
6.900% due 06/01/2025		2,821		2,992
Embarq Corp.
7.995% due 06/01/2036		5,000		5,089
Energy East Corp.
6.750% due 07/15/2036		1,300		1,351
Entergy Arkansas, Inc.
5.400% due 05/01/2018		9,384		8,854
Entergy Gulf States, Inc.
3.600% due 06/01/2008		9,400		9,234
5.250% due 08/01/2015		600		560
Entergy Louisiana LLC
4.670% due 06/01/2010		400		390
Exelon Corp.
6.750% due 05/01/2011		3,000		3,093
Florida Power Corp.
5.760% due 11/14/2008		2,300		2,304
France Telecom S.A.
7.750% due 03/01/2011		4,532		4,846
MidAmerican Energy Holdings Co.
7.520% due 09/15/2008		350		358
Niagara Mohawk Power Corp.
7.750% due 10/01/2008		70		72
Ohio Edison Co.
6.875% due 07/15/2036		3,000		3,143
Ohio Power Co.
6.375% due 07/15/2033		5,500		5,295
PNPP II Funding Corp.
9.120% due 05/30/2016		1,449		1,613
Potomac Electric Power
6.250% due 10/15/2007		960		962
PPL Capital Funding Trust I
4.330% due 03/01/2009		3,300		3,235

Progress Energy, Inc.
7.100% due 03/01/2011		188		197
7.750% due 03/01/2031		16,450		19,074
PSEG Power LLC
3.750% due 04/01/2009		2,500		2,428
8.625% due 04/15/2031		12,000		14,713
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		13,650		13,650
Qwest Corp.
6.875% due 09/15/2033		9,880		9,312
8.875% due 03/15/2012		6,000		6,495
System Energy Resources, Inc.
5.129% due 01/15/2014		2,429		2,354
Telecom Italia Capital S.A.
5.250% due 10/01/2015		9,850		9,174
7.200% due 07/18/2036		200		206
Telefonica Emisones SAU
5.984% due 06/20/2011		3,500		3,535
Verizon Communications, Inc.
5.350% due 02/15/2011		5,000		4,975
Virginia Electric & Power Co.
6.000% due 05/15/2037		1,800		1,726
Xcel Energy, Inc.
6.500% due 07/01/2036		1,200		1,218
				201,325
Total Corporate Bonds & Notes (Cost $1,027,541)				1,034,034
CONVERTIBLE BONDS & NOTES 0.3%
ERP Operating LP
3.850% due 08/15/2026		3,800		3,800
Total Convertible Bonds & Notes (Cost $3,839)				3,800
U.S. GOVERNMENT AGENCIES 0.4%
Fannie Mae
5.500% due 07/01/2037 - 08/01/2037		4,000		3,857
Ginnie Mae
8.500% due 07/15/2030 - 08/15/2030		91		98
Total U.S. Government Agencies (Cost $3,948)				3,955
U.S. TREASURY OBLIGATIONS 0.8%
U.S. Treasury Bonds
4.750% due 02/15/2037		8,800		8,300
6.000% due 02/15/2026		1,000		1,092
Total U.S. Treasury Obligations (Cost $9,639)				9,392
MORTGAGE-BACKED SECURITIES 0.2%
Denver Arena Trust
6.940% due 11/15/2019		1,991		1,995
Total Mortgage-Backed Securities (Cost $1,787)				1,995
		Shares
COMMON STOCKS 0.2%
Devon Energy Corp.		33,898		2,654
Total Common Stocks (Cost $862)				2,654
PREFERRED STOCKS 0.5%
Goldman Sachs Group, Inc.
6.107% due 12/31/2049		200,000		5,118
Lehman Brothers Holdings, Inc.
5.670% due 12/31/2049		5,200		254
Total Preferred Stocks (Cost $5,231)				5,372
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 2.7%
Commercial Paper 2.5%
Danske Corp.
5.205% due 10/12/2007	$	21,400		21,169
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		6,200		6,200
				27,369
Tri-party Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 07/02/2007		1,681		1,681
(Dated 06/29/2007. Collateralized by Freddie Mac 5.000% due 06/11/2009 valued at $1,717. Repurchase proceeds are $1,682.)
U.S. Treasury Bills 0.0%
4.584% due 08/30/2007 - 09/13/2007 (b)(d)		470		465
Total Short-Term Instruments (Cost $29,527)				29,515
Purchased Options (f) 0.0% (Cost $67)				55
Total Investments (c) 97.9% (Cost $1,082,441)			$	1,090,771
Written Options (g) (0.0%) (Premiums $273)				(243	)
Other Assets and Liabilities (Net) 2.1%				23,259
Net Assets 100.0%			$	1,113,787

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 June 30, 2007, portfolio securities with an aggregate value of $3,352 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $465 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation
U.S. Treasury 10-Year Note September Futures	Short	09/2007	257	$	197

(e) Swap agreements outstanding on June 30, 2007:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	ConocoPhillips 8.750% due 05/25/2010	Sell	0.100	%	12/20/2007	$	1,600	$	0
Bank of America	Valero Energy Corp. 6.875% due 04/15/2012	Sell	0.120	%	12/20/2007		1,600		0
Bank of America	Yum! Brands, Inc. 7.650% due 05/15/2008	Buy	(0.080	%)	06/20/2008		3,200		0
Bank of America	RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.290	%)	06/20/2011		2,100		(29	)
Bank of America	Sprint Capital Corp. 8.375% due 03/15/2012	Sell	0.316	%	06/20/2011		24,000		(90	)
Bank of America	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.265	%)	06/20/2012		4,300		(9	)
Bank of America	Dominion Resources, Inc. 5.200% due 01/15/2016	Buy	(0.455	%)	03/20/2016		3,000		(25	)
Bank of America	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		9,000		93
Barclays Bank PLC	Sealed Air Corp. 6.950% due 05/15/2009	Buy	(0.200	%)	06/20/2009		1,600		(2	)
Barclays Bank PLC	CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.285	%)	09/20/2011		2,000		5
Barclays Bank PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.535	%)	09/20/2011		2,000		(22	)
Barclays Bank PLC	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(0.670	%)	03/20/2012		2,900		99
Barclays Bank PLC	Masco Corp. 5.875% due 07/15/2012	Buy	(0.630	%)	06/20/2012		1,300		(5	)
Barclays Bank PLC	Mattel, Inc. 6.125% due 06/15/2011	Buy	(0.330	%)	06/20/2012		2,400		(7	)
Bear Stearns & Co., Inc.	EnCana Corp. 4.750% due 10/15/2013	Sell	0.530	%	09/20/2009		7,000		67
Bear Stearns & Co., Inc.	CenturyTel, Inc. 7.875% due 08/15/2012	Buy	(0.355	%)	06/20/2010		2,100		(7	)
Bear Stearns & Co.,     Inc.	Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.240	%)	03/20/2011		2,000		(7	)
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011		3,000		(21	)
Bear Stearns & Co., Inc.	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011		2,000		12
Bear Stearns & Co., Inc.	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.210	%)	06/20/2012		3,300		0
Bear Stearns & Co., Inc.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.490	%)	06/20/2012		5,200		(32	)
Bear Stearns & Co., Inc.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.460	%)	06/20/2012		1,000		(5	)
Bear Stearns & Co., Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.570	%)	06/20/2012		4,300		(2	)
Bear Stearns & Co., Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.520	%)	06/20/2012		5,300		(14	)
Bear Stearns & Co., Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.480	%)	06/20/2012		500		(1	)
Bear Stearns & Co., Inc.	Comcast Corp. 5.300% due 01/15/2014	Buy	(0.390	%)	03/20/2014		2,000		(6	)
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	03/20/2016		2,000		(18	)
Bear Stearns & Co., Inc.	Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016		2,000		(5	)
Bear Stearns & Co., Inc.	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	06/20/2016		4,000		54
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		2,000		0
BNP Paribas Bank	Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.265	%	03/20/2011		2,800		(4	)
BNP Paribas Bank	Union Pacific Corp. 6.125% due 01/15/2012	Buy	(0.215	%)	06/20/2011		1,900		0
BNP Paribas Bank	Masco Corp. 5.875% due 07/15/2012	Buy	(0.950	%)	03/20/2017		2,200		3
Citibank N.A.	AutoZone, Inc. 6.500% due 07/15/2008	Buy	(0.160	%)	09/20/2008		2,100		(2	)
Citibank N.A.	Raytheon Co. 7.200% due 08/15/2027	Buy	(0.090	%)	06/20/2009		2,000		(1	)
Citibank N.A.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		7,341		68
Citibank N.A.	Coca-Cola Enterprises, Inc. 6.125% due 08/15/2011	Buy	(0.140	%)	06/20/2012		4,300		6
Citibank N.A.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.480	%)	06/20/2012		1,400		(8	)
Citibank N.A.	Target Corp. 5.875% due 03/01/2012	Buy	(0.100	%)	06/20/2012		3,200		11
Citibank N.A.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.480	%	09/20/2012		4,900		(2	)
Citibank N.A.	CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.470	%)	12/20/2014		2,000		11
Citibank N.A.	Dominion Resources, Inc. 5.200% due 01/15/2016	Sell	0.670	%	06/20/2015		3,900		91
Credit Suisse First Boston	EnCana Corp. 4.750% due 10/15/2013	Sell	0.320	%	03/20/2010		2,000		11
Credit Suisse First Boston	International Game Technology 0.000% convertible until 01/29/2033	Sell	0.350	%	03/20/2010		1,800		0
Credit Suisse First Boston	Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.150	%)	03/20/2011		3,000		(1	)
Credit Suisse First Boston	CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.250	%)	09/20/2011		2,000		(5	)
Credit Suisse First Boston	Staples, Inc. 7.375% due 10/01/2012	Buy	(0.280	%)	06/20/2012		2,500		(1	)
Deutsche Bank AG	Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.530	%)	12/20/2011		3,200		(34	)
Deutsche Bank AG	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012		700		(1	)
Deutsche Bank AG	Dow Jones iTraxx Europe HV8 Index	Sell	0.750	%	06/20/2012		8,500		(67	)
Deutsche Bank AG	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.530	%)	06/20/2012		4,200		(34	)
Deutsche Bank AG	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.500	%)	06/20/2012		1,500		(10	)
Deutsche Bank AG	Masco Corp. 5.875% due 07/15/2012	Buy	(0.540	%)	06/20/2012		1,300		3
Deutsche Bank AG	Noble Corp. 5.875% due 06/01/2013	Buy	(0.510	%)	06/20/2012		1,400		(5	)
Deutsche Bank AG	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(1.155	%)	06/20/2012		3,200		(18	)
Deutsche Bank AG	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.280	%)	06/20/2012		100		0
Deutsche Bank AG	Kaupthing Bank HF 6.125% due 10/04/2016	Buy	(0.600	%)	12/20/2016		2,000		(20	)
Goldman Sachs & Co.	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	03/20/2008		1,600		0
Goldman Sachs & Co.	ConocoPhillips 4.750% due 10/15/2012	Sell	0.210	%	03/20/2010		5,000		19
Goldman Sachs & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.340	%)	06/20/2012		1,900		(4	)
Goldman Sachs & Co.	ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299	%)	06/20/2012		3,000		(6	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG8 Index	Sell	0.350	%	06/20/2012		41,900		(108	)
Goldman Sachs & Co.	Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.220	%)	06/20/2012		1,900		0
Goldman Sachs & Co.	Macy’s, Inc. 6.625% due 04/01/2011	Buy	(0.530	%)	06/20/2012		1,900		13
Goldman Sachs & Co.	VF Corp. 8.500% due 10/01/2010	Buy	(0.220	%)	06/20/2012		1,800		0
Goldman Sachs & Co.	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.630	%)	06/20/2012		900		(12	)
Goldman Sachs & Co.	International Lease Finance Corp. 5.250% due 01/10/2013	Buy	(0.200	%)	03/20/2013		5,000		(1	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		3,000		34
Goldman Sachs & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(0.849	%)	03/20/2017		1,700		101
Goldman Sachs & Co.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(1.018	%)	03/20/2017		1,700		(4	)
HSBC Bank USA	Time Warner, Inc. 6.875% due 05/01/2012	Sell	0.570	%	09/20/2010		5,000		67
JPMorgan Chase & Co.	Temple-Inland, Inc. 6.750% due 03/01/2009	Buy	(0.280	%)	03/20/2009		2,600		0
JPMorgan Chase & Co.	Apache Corp. 6.250% due 04/15/2012	Sell	0.200	%	03/20/2010		6,300		16
JPMorgan Chase & Co.	Halliburton Co. 5.500% due 10/15/2010	Sell	0.290	%	03/20/2010		7,000		43
JPMorgan Chase & Co.	Occidental Petroleum Corp. 6.750% due 01/15/2012	Sell	0.250	%	03/20/2010		7,000		28
JPMorgan Chase & Co.	American International Group, Inc. 4.250% due 05/15/2013	Sell	0.350	%	06/20/2010		2,000		15
JPMorgan Chase & Co.	EnCana Corp. 4.750% due 10/15/2013	Sell	0.330	%	09/20/2010		5,000		32
JPMorgan Chase & Co.	Gannett Co., Inc. 5.750% due 06/01/2011	Buy	(0.330	%)	06/20/2011		4,150		5
JPMorgan Chase & Co.	Centex Corp. 5.250% due 06/15/2015	Buy	(0.820	%)	06/20/2012		1,600		23
JPMorgan Chase & Co.	International Paper Co. 5.850% due 10/30/2012	Buy	(0.490	%)	06/20/2012		4,300		(26	)
JPMorgan Chase & Co.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.528	%)	06/20/2012		1,200		2
JPMorgan Chase & Co.	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(0.800	%)	06/20/2012		1,300		12
JPMorgan Chase & Co.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.530	%)	06/20/2012		3,000		(9	)
Lehman Brothers, Inc.	Proctor & Gamble Co. 4.950% due 08/15/2014	Sell	0.070	%	09/20/2008		7,500		4
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010		4,960		45
Lehman Brothers, Inc.	Lennar Corp. 5.950% due 03/01/2013	Buy	(1.130	%)	06/20/2012		4,400		(7	)
Lehman Brothers, Inc.	Lennar Corp. 5.950% due 03/01/2013	Buy	(1.090	%)	06/20/2012		1,100		0
Lehman Brothers, Inc.	Masco Corp. 5.875% due 07/15/2012	Buy	(0.589	%)	06/20/2012		700		0
Lehman Brothers, Inc.	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.510	%)	06/20/2012		1,000		2
Lehman Brothers, Inc.	Nabors Industries, Inc. 0.000% due 02/05/2021	Buy	(0.470	%)	06/20/2012		500		(3	)
Lehman Brothers, Inc.	Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.179	%)	06/20/2012		1,300		2
Lehman Brothers, Inc.	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.239	%)	06/20/2012		5,300		(5	)
Lehman Brothers, Inc.	Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.450	%)	06/20/2012		900		0
Lehman Brothers, Inc.	Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.480	%	09/20/2012		4,200		(1	)
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		30
Merrill Lynch & Co., Inc.	General Motors Acceptance Corp. 5.125% due 05/09/2008	Sell	2.100	%	09/20/2008		25,000		269
Merrill Lynch & Co., Inc.	Burlington Resources Finance Co. 6.400% due 08/15/2011	Sell	0.280	%	03/20/2010		5,000		23
Merrill Lynch & Co., Inc.	Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Sell	0.320	%	03/20/2010		5,000		18
Merrill Lynch & Co., Inc.	XTO Energy, Inc. 6.250% due 04/15/2013	Sell	0.380	%	03/20/2010		5,000		31
Merrill Lynch & Co., Inc.	Exelon Corp. 6.750% due 05/01/2011	Buy	(0.290	%)	06/20/2011		3,200		2
Merrill Lynch & Co., Inc.	Centex Corp. 5.250% due 06/15/2015	Buy	(0.450	%)	03/20/2012		2,500		69
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		13
Morgan Stanley	Altria Group, Inc. 7.000% due 11/04/2013	Sell	1.090	%	09/20/2010		10,000		281
Morgan Stanley	Marsh & McLennan Cos., Inc. 5.150% due 09/15/2010	Buy	(0.590	%)	09/20/2010		10,000		(70	)
Morgan Stanley	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.160	%	06/20/2011		10,000		6
Morgan Stanley	Viacom, Inc. 6.250% due 04/30/2016	Sell	0.510	%	06/20/2011		8,000		67
Morgan Stanley	Walt Disney Co. 6.375% due 03/01/2012	Buy	(0.180	%)	06/20/2011		1,300		(4	)
Morgan Stanley	American Electric Power Co., Inc. 5.375% due 03/15/2010	Sell	0.410	%	09/20/2011		2,000		21
Morgan Stanley	Darden Restaurants, Inc. 7.125% due 02/01/2016	Buy	(0.490	%)	06/20/2012		1,800		2
Morgan Stanley	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.540	%)	06/20/2012		400		0
Morgan Stanley	Noble Corp. 5.875% due 06/01/2013	Buy	(0.522	%)	06/20/2012		4,300		(17	)
Morgan Stanley	Office Depot, Inc. 6.250% due 08/15/2013	Buy	(0.450	%)	06/20/2012		1,900		19
Morgan Stanley	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(1.250	%)	06/20/2012		500		7
Morgan Stanley	Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(1.030	%)	06/20/2012		1,700		38
Morgan Stanley	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.500	%)	06/20/2012		2,900		(22	)
Morgan Stanley	Kroger Co. 5.500% due 02/01/2013	Buy	(0.560	%)	03/20/2013		3,000		(12	)
Morgan Stanley	Wyeth 5.500% due 03/15/2013	Buy	(0.150	%)	03/20/2013		2,500		(2	)
Morgan Stanley	Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.390	%)	06/20/2016		3,800		(2	)
Morgan Stanley	DTE Energy Co. 7.050% due 06/01/2011	Buy	(0.650	%)	09/20/2016		2,000		(25	)
Morgan Stanley	Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016		22,100		159
Morgan Stanley	Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.780	%)	03/20/2017		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	%)	09/20/2009		2,000		(9	)
Royal Bank of Scotland Group PLC	ERP Operating LP 3.850% due 08/15/2026	Buy	(0.255	%)	09/20/2011		3,800		6
Royal Bank of Scotland Group PLC	H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.380	%)	03/20/2012		3,100		(2	)
Royal Bank of Scotland Group PLC	MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.570	%)	06/20/2012		4,100		(2	)
Royal Bank of Scotland Group PLC	Newell Rubbermaid, Inc. 6.750% due 03/15/2012	Buy	(0.230	%)	06/20/2012		3,500		0
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.810	%)	12/20/2015		2,500		(39	)
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		24
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		45
UBS Warburg LLC	Anadarko Petroleum Corp. 6.125% due 03/15/2012	Sell	0.150	%	09/20/2007		8,500		0
UBS Warburg LLC	Time Warner, Inc. 6.875% due 05/01/2012	Sell	0.290	%	06/20/2009		11,000		44
UBS Warburg LLC	Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Sell	0.420	%	09/20/2010		5,000		33
UBS Warburg LLC	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	3.760	%	09/20/2010		1,600		56
UBS Warburg LLC	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.220	%)	06/20/2012		2,100		(1	)
UBS Warburg LLC	DR Horton, Inc. 5.375% due 06/15/2012	Buy	(1.370	%)	06/20/2012		5,800		46
UBS Warburg LLC	International Paper Co. 5.850% due 10/30/2012	Buy	(0.450	%)	06/20/2012		1,100		(5	)
UBS Warburg LLC	Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(1.010	%)	06/20/2012		1,000		1
Wachovia Bank N.A.	Hess Corp. 6.650% due 08/15/2011	Sell	0.150	%	03/20/2008		2,700		1
Wachovia Bank N.A.	Ohio Edison Co. 5.450% due 05/01/2015	Sell	0.470	%	03/20/2010		10,000		89
Wachovia Bank N.A.	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.160	%	06/20/2011		10,000		6
								$	1,484

⁽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.

(f) Purchased options outstanding on June 30, 2007:

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

5.000

%

12/15/2008

$

16,200

$

67

$

55

(g) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	107.000	08/24/2007	367	$	114	$	97
Call - CBOT U.S. Treasury 10-Year Note September Futures		108.000	08/24/2007	32		2		4
Put - CBOT U.S. Treasury 10-Year Note September Futures		103.000	08/24/2007	367		45		40
					$	161	$	141

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

Royal Bank of Scotland Group PLC

3-Month USD-LIBOR

Receive

5.200

%

12/15/2008

$

5,400

$

63

$

53

Credit Default Swaptions

Description	Counterparty	Reference Entity	Buy/Sell Protection(2)	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Put - OTC Dow Jones CDX N.A. IG8 Index	Barclays Bank PLC	Dow Jones CDX N.A. IG8 Index	Sell	0.425	%	09/20/2007	$	15,600	$	30	$	30
Put - OTC Dow Jones CDX N.A. IG8 Index	Lehman Brothers, Inc.	Dow Jones CDX N.A. IG8 Index	Sell	0.425	%	09/20/2007		9,800		19		19
									$	49	$	49

⁽²⁾ If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will 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) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Mazda Manufacturing Corp.	10.500	%	07/01/2008	03/28/2003	$	246	$	238	0.02	%
Mazda Motor Corp.	10.500	%	07/01/2008	03/28/2003		38		36	0.00	%
United Telecom, Inc.	6.890	%	07/01/2008	06/25/2003		1,026		996	0.09	%
Wilmington Trust Corp.	10.500	%	07/01/2008	03/28/2003		90		87	0.01	%
					$	1,400	$	1,357	0.12	%

See accompanying notes

Schedule of Investments

Mortgage Portfolio

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 0.0%
CVS Lease Pass-Through
6.036% due 12/10/2028	$	1,979	$	1,926
Total Corporate Bonds & Notes (Cost $1,979)				1,926
MUNICIPAL BONDS & NOTES 0.0%
Ennis, Texas Economic Development Corporations Revenue Bonds, (FGIC Insured), Series 1999
0.000% due 08/01/2034		7,990		1,455
Total Municipal Bonds & Notes (Cost $971)				1,455
U.S. GOVERNMENT AGENCIES 121.3%
Fannie Mae
0.000% due 06/25/2008 - 08/25/2022 (c)		83		78
3.730% due 10/01/2016		84		83
4.000% due 02/25/2009		13		12
4.500% due 07/01/2018 - 09/01/2035		580,772		551,741
4.669% due 02/01/2035		4,146		4,117
4.684% due 07/01/2035		1,653		1,633
4.730% due 03/01/2035		1,480		1,471
4.854% due 12/01/2017		228		227
4.881% due 02/01/2026		74		75
5.000% due 10/01/2035 (h)		998,471		938,264
5.000% due 06/01/2013 - 07/01/2037		3,422,062		3,262,691
5.055% due 04/01/2020		118		119
5.125% due 06/01/2017		57		57
5.168% due 02/01/2032		3,149		3,153
5.172% due 06/01/2029		88		89
5.345% due 02/01/2030		835		846
5.427% due 09/01/2017		286		285
5.451% due 02/01/2015		76		76
5.460% due 04/25/2035		4,814		4,823
5.500% due 05/01/2009 - 08/01/2037		3,063,258		2,966,189
5.500% due 11/01/2032 - 10/01/2035 (f)		214,404		207,434
5.500% due 09/01/2035 (h)		118,022		114,138
5.503% due 04/01/2032		22		22
5.540% due 07/25/2032		497		497
5.566% due 07/01/2032		80		82
5.569% due 04/01/2019		96		96
5.603% due 05/01/2019		300		302
5.620% due 07/01/2017 - 12/25/2028		92		92
5.625% due 07/01/2017 - 05/01/2019		19		19
5.626% due 10/01/2016 - 10/01/2031		652		656
5.639% due 08/01/2029		114		115
5.640% due 03/01/2017 - 02/01/2018		26		26
5.641% due 06/01/2029		29		29
5.642% due 10/01/2023 - 05/01/2036		5,833		5,881
5.652% due 05/01/2036		112		113
5.657% due 07/01/2024		20		20
5.659% due 05/01/2036		51		52
5.661% due 05/01/2036		37		37
5.665% due 09/01/2020		24		24
5.672% due 03/01/2018		14		14
5.680% due 02/25/2033		181		182
5.720% due 04/18/2028 - 06/25/2032		2,575		2,580
5.750% due 07/01/2029		6		6
5.770% due 12/25/2029 - 10/18/2030		128		129
5.800% due 11/01/2011		1,859		1,880
5.815% due 11/01/2024		5		5
5.820% due 06/25/2030 - 07/25/2034		9,957		9,987
5.844% due 09/18/2027		380		384
5.875% due 06/01/2017 - 08/01/2023		49		50
5.927% due 11/01/2017		13		14
5.950% due 02/25/2044		91		91
5.970% due 09/25/2023		171		173
5.994% due 06/25/2022		1		1
6.000% due 03/25/2017 - 07/01/2037		836,964		829,309
6.213% due 08/01/2042		3,055		3,107
6.214% due 08/01/2042 - 10/01/2044		14,013		14,166
6.240% due 08/01/2008		16,229		16,190
6.244% due 04/25/2021		3		3
6.250% due 12/25/2013		1,165		1,181
6.262% due 02/01/2009		6,898		6,884
6.273% due 08/01/2029		16		16
6.290% due 02/25/2029		1,500		1,536
6.300% due 06/25/2031 - 10/17/2038		5,195		5,310
6.350% due 06/25/2020		5,586		5,619
6.390% due 05/25/2036		2,364		2,412
6.410% due 08/01/2016		970		1,008
6.414% due 09/01/2040 - 12/01/2040		593		604
6.444% due 05/25/2023		115		119
6.450% due 05/01/2008 - 09/01/2016		6,189		6,301
6.500% due 09/25/2008 (b)		4		0
6.500% due 02/25/2009 - 06/17/2038		506,549		511,770
6.569% due 03/01/2024		43		43
6.703% due 08/01/2028		1,421		1,499
6.825% due 08/01/2009		4,408		4,482
6.836% due 06/01/2023		59		59
6.850% due 12/18/2027		2,153		2,203
6.866% due 11/01/2031		60		62
6.875% due 02/01/2018		156		158
6.900% due 09/01/2009		1,541		1,571
6.957% due 05/01/2029 - 11/01/2035		4,171		4,310
7.000% due 04/25/2008 - 07/25/2008 (b)		73		2
7.000% due 01/01/2016 - 09/01/2032		5,408		5,584
7.007% due 11/01/2031		93		94
7.033% due 01/01/2030		234		239
7.070% due 06/01/2019		12		12
7.075% due 01/01/2027		76		76
7.085% due 05/01/2028		15		15
7.098% due 02/01/2026		13		14
7.105% due 04/01/2030		9		9
7.114% due 11/01/2025		137		139
7.138% due 03/01/2025		35		35
7.165% due 12/01/2031		27		27
7.180% due 04/01/2022		74		76
7.190% due 04/01/2024 - 04/01/2030		45		45
7.195% due 02/01/2025 - 05/01/2027		289		293
7.199% due 02/01/2027		159		161
7.200% due 11/01/2025 - 11/01/2026		351		352
7.224% due 05/01/2026		50		51
7.229% due 12/01/2026		11		11
7.250% due 02/01/2009 - 10/01/2011		5		5
7.252% due 04/01/2030		190		190
7.262% due 03/01/2030		439		450
7.275% due 10/01/2028		102		103
7.277% due 09/01/2030		27		27
7.315% due 09/01/2028		11		12
7.381% due 07/01/2024		18		18
7.455% due 09/01/2023		177		179
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		5,192		5,431
7.720% due 02/01/2024		133		134
7.730% due 01/01/2025 - 05/01/2030		1,159		1,221
7.800% due 10/25/2022 - 06/25/2026		349		362
8.000% due 07/01/2007 - 08/01/2030		18		19
8.200% due 04/25/2025		894		920
8.500% due 04/01/2008 - 11/01/2017		257		271
8.750% due 11/25/2019		52		55
9.000% due 03/01/2010 - 06/01/2027		321		342
9.000% due 05/25/2022 - 06/25/2022 (b)		54		11
9.017% due 06/25/2032		454		474
9.500% due 11/01/2010 - 04/01/2025		603		657
15.500% due 10/01/2012		1		2
510.000% due 09/25/2019 (b)		0		6
839.670% due 08/25/2020 (b)		0		2
Farmer Mac
6.775% due 01/25/2013		2,287		2,305
8.425% due 04/25/2030		1,251		1,245
Federal Home Loan Bank
0.000% due 02/27/2012		1,900		1,752
Federal Housing Administration
6.875% due 12/01/2016		294		293
6.896% due 07/01/2020		384		384
7.400% due 02/01/2021		580		583
7.430% due 07/01/2018 - 07/01/2024		6,442		6,482
Freddie Mac
0.000% due 01/15/2009 (c)		25		25
2.675% due 12/15/2023 (b)		59		0
3.500% due 12/15/2022 - 07/15/2032		250		233
4.000% due 10/15/2010		750		723
4.360% due 03/01/2033		232		232
4.500% due 04/15/2013 - 04/01/2020		1,489		1,477
5.000% due 09/15/2016 - 07/01/2037		1,234,233		1,162,517
5.470% due 12/25/2032		5		5
5.500% due 11/01/2028 - 07/01/2037		828,991		800,314
5.520% due 03/15/2031		640		642
5.549% due 05/01/2017 - 09/01/2018		390		392
5.560% due 07/25/2031		25		25
5.570% due 05/25/2031		468		468
5.600% due 09/25/2031		60		60
5.622% due 07/01/2030		373		376
5.670% due 12/15/2029 - 12/15/2030		1,935		1,941
5.736% due 03/01/2032		175		178
5.742% due 08/15/2032		1,914		1,913
5.770% due 11/15/2030 - 12/15/2031		211		213
5.820% due 02/15/2028 - 03/15/2032		271		273
5.825% due 03/15/2024 - 09/15/2026		686		691
5.870% due 03/15/2032		10		10
5.875% due 05/15/2023		3		3
5.876% due 08/01/2018		94		95
5.968% due 03/01/2029		193		196
6.000% due 03/01/2017 - 07/01/2037		539,332		534,413
6.125% due 09/01/2018		17		17
6.250% due 04/01/2019 - 12/15/2028		2,129		2,153
6.270% due 04/15/2031		11,032		11,289
6.298% due 07/01/2019		164		165
6.375% due 07/01/2019		71		72
6.427% due 07/25/2044		41,375		41,725
6.497% due 08/01/2030		21		21
6.500% due 08/15/2008 - 12/01/2036		232,422		235,032
6.500% due 10/15/2013 (b)		71		5
6.520% due 07/15/2027		3,197		3,314
6.571% due 07/01/2029		125		126
6.678% due 10/01/2023		1,287		1,290
6.875% due 05/01/2023		33		33
6.923% due 01/01/2028		116		118
7.000% due 01/15/2008 - 12/01/2032		2,153		2,197
7.000% due 07/15/2008 - 10/25/2023 (b)		85		17
7.073% due 09/01/2027		73		74
7.074% due 06/01/2022		9		9
7.085% due 06/01/2022		62		63
7.093% due 10/01/2027		36		36
7.099% due 08/01/2029		116		118
7.112% due 10/01/2018		11		11
7.117% due 05/01/2032		37		37
7.125% due 04/01/2018		25		25
7.161% due 11/01/2027		174		177
7.163% due 03/01/2027		53		54
7.190% due 02/01/2029		533		540
7.200% due 09/01/2027		26		26
7.205% due 04/01/2031		11		11
7.206% due 09/01/2026		452		457
7.210% due 04/01/2025		41		42
7.212% due 11/01/2028		31		31
7.221% due 07/01/2028		1,058		1,068
7.231% due 08/01/2031		22		23
7.237% due 06/01/2024		50		50
7.250% due 08/01/2031		3		3
7.253% due 05/01/2032		243		247
7.260% due 09/01/2028		56		57
7.263% due 08/01/2027		26		27
7.266% due 07/01/2027		124		126
7.274% due 10/01/2024		181		182
7.275% due 11/01/2029		2,544		2,601
7.288% due 11/01/2027		226		228
7.305% due 02/01/2031		30		30
7.314% due 12/01/2029		577		587
7.325% due 05/01/2019		17		17
7.335% due 10/01/2024		125		127
7.366% due 11/01/2027		32		33
7.375% due 02/01/2027		136		136
7.377% due 11/01/2031		6		6
7.378% due 12/01/2026		36		37
7.380% due 07/01/2030		3		3
7.400% due 01/01/2029		4		4
7.432% due 10/01/2023		101		102
7.433% due 05/01/2032		1,268		1,291
7.436% due 05/01/2032		859		869
7.459% due 09/01/2024		44		45
7.500% due 01/01/2008 - 06/01/2031		1,244		1,280
7.500% due 08/15/2029 (b)		35		8
7.645% due 05/01/2025		1,322		1,408
8.000% due 03/01/2009 - 09/01/2030		125		130
8.250% due 06/01/2008		3		3
8.500% due 12/01/2008 - 08/01/2027		441		448
9.000% due 12/15/2020 - 02/15/2021		526		530
9.050% due 06/15/2019		94		93
9.500% due 12/15/2020 - 06/01/2021		453		457
10.750% due 09/01/2009 - 05/01/2010		1		1
Ginnie Mae
3.250% due 07/16/2026		1,922		1,883
4.000% due 07/16/2026		1,922		1,895
4.125% due 12/20/2027 - 12/20/2029		473		479
4.375% due 06/20/2023 - 04/20/2030		840		852
4.500% due 08/20/2028 - 09/20/2029		149		150
4.750% due 07/20/2022 - 02/20/2032		2,202		2,221
5.000% due 04/20/2030 - 07/20/2035		6,642		6,693
5.125% due 12/20/2018 - 01/20/2030		5,694		5,765
5.250% due 03/20/2029 - 03/20/2030		470		474
5.375% due 04/20/2017 - 05/20/2032		34,001		34,437
5.380% due 05/20/2022 - 05/20/2030		261		264
5.500% due 08/20/2027 - 03/15/2036		729,877		711,335
5.520% due 02/16/2032		157		157
5.620% due 01/16/2031		34		35
5.670% due 06/20/2032		527		530
5.720% due 06/16/2031 - 03/16/2032		1,442		1,453
5.750% due 08/20/2017 - 09/20/2027		1,334		1,347
5.770% due 10/16/2030		76		77
5.820% due 02/16/2030 - 04/16/2032		1,122		1,135
5.870% due 12/16/2025		792		801
5.875% due 04/20/2019 - 11/20/2031		3,739		3,772
5.920% due 02/16/2030		130		132
5.970% due 02/16/2030		124		126
6.000% due 12/15/2008 - 07/01/2037		314,823		313,675
6.125% due 10/20/2018 - 12/20/2029		2,792		2,827
6.250% due 01/20/2028 - 02/20/2030		5,079		5,125
6.270% due 03/20/2031		5,833		5,926
6.320% due 02/20/2031		3,435		3,529
6.375% due 03/20/2021 - 03/20/2028		1,250		1,262
6.500% due 05/15/2009 - 07/01/2037		159,306		161,930
6.625% due 11/20/2020		2		2
6.921% due 03/16/2041		4,886		5,270
7.000% due 09/15/2012 - 02/16/2029		1,854		1,907
7.270% due 12/15/2040		1,741		1,808
7.500% due 12/15/2022 - 11/15/2031		2,602		2,677
7.750% due 10/15/2025		21		22
8.000% due 09/15/2008 - 09/20/2031		6,541		6,981
8.500% due 06/15/2027 - 03/20/2031		1,211		1,301
9.000% due 04/15/2020 - 08/20/2030		138		149
9.500% due 12/15/2021		70		77
Small Business Administration
6.344% due 08/01/2011		500		506
6.640% due 02/01/2011		579		589
7.190% due 12/01/2019		412		428
7.220% due 11/01/2020		1,112		1,158
7.449% due 08/01/2010		427		433
8.017% due 02/10/2010		75		77
Vendee Mortgage Trust
6.500% due 05/15/2008 - 03/15/2029		2,793		2,843
Total U.S. Government Agencies (Cost $13,824,848)				13,647,737
U.S. TREASURY OBLIGATIONS 0.0%
U.S. Treasury Notes
5.125% due 05/15/2016		5,550		5,583
Total U.S. Treasury Obligations (Cost $5,562)				5,583
MORTGAGE-BACKED SECURITIES 4.9%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		10,860		10,656
4.440% due 02/25/2045		5,355		5,264
Arkle Master Issuer PLC
5.300% due 11/19/2007		2,000		2,001
Asset Securitization Corp.
6.920% due 02/14/2029		3		3
Banc of America Mortgage Securities, Inc.
4.250% due 04/25/2034		243		239
6.500% due 10/25/2031		295		298
7.429% due 07/20/2032		89		91
7.472% due 06/20/2031		762		764
Banc of America Structural Security Trust
5.820% due 10/11/2033		440		444
Bear Stearns Adjustable Rate Mortgage Trust
5.329% due 02/25/2033		83		85
6.048% due 01/25/2034		55		55
6.337% due 11/25/2030		28		28
Bear Stearns Alt-A Trust
5.377% due 05/25/2035		1,719		1,712
Bear Stearns Commercial Mortgage Securities
5.060% due 11/15/2016		63		62
5.910% due 02/14/2031		17		17
7.000% due 05/20/2030		1,836		1,962
Bear Stearns Mortgage Securities, Inc.
6.474% due 06/25/2030		131		133
CC Mortgage Funding Corp.
5.500% due 05/25/2036		1,518		1,520
5.570% due 08/25/2035		1,571		1,578
5.827% due 01/25/2035		1,455		1,456
Citicorp Mortgage Securities, Inc.
5.625% due 12/25/2019		29		28
6.500% due 02/25/2024		847		842
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		5,128		5,134
Collateralized Mortgage Obligation Trust
0.000% due 09/23/2017 (c)		6		5
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		6,094		6,136
Countrywide Alternative Loan Trust
5.000% due 06/25/2033		1,156		1,152
5.390% due 10/25/2046		4,808		4,811
5.470% due 05/20/2046		140		140
5.530% due 05/25/2035		3,998		4,002
5.540% due 05/25/2035		698		698
5.570% due 05/25/2035		1,080		1,081
5.600% due 02/25/2037		388		389
6.000% due 10/25/2032		574		569
Countrywide Home Loan Mortgage Pass-Through Trust
3.908% due 11/19/2033		89		88
5.590% due 05/25/2034		153		153
5.610% due 04/25/2035		2,415		2,422
5.630% due 03/25/2035		7,700		7,720
5.640% due 03/25/2035		34,742		34,855
5.650% due 02/25/2035		2,329		2,337
5.660% due 02/25/2035		75		76
5.910% due 08/25/2034		6,722		6,750
6.834% due 07/19/2031		18		18
7.496% due 11/19/2033		31		31
CS First Boston Mortgage Securities Corp.
4.832% due 04/15/2037		3,000		2,822
6.890% due 06/25/2032		11		11
7.290% due 09/15/2041		61		62
Denver Arena Trust
6.940% due 11/15/2019		9,974		9,994
DLJ Commercial Mortgage Corp.
6.410% due 02/18/2031		869		870
7.340% due 10/10/2032		5,750		5,951
DLJ Mortgage Acceptance Corp.
7.201% due 11/25/2023		17		17
Fairfax Funding Trust
6.483% due 04/02/2013		250		252
FFCA Secured Lending Corp.
8.180% due 09/18/2027		2,000		1,029
8.970% due 09/18/2027		4,000		527
Fifth Third Mortgage Loan Trust
7.293% due 11/19/2032		296		297
First Horizon Asset Securities, Inc.
5.949% due 09/25/2033		25		25
First Nationwide Trust
6.750% due 08/21/2031		529		528
First Republic Mortgage Loan Trust
5.620% due 08/15/2032		22,522		22,577
5.670% due 11/15/2031		8,697		8,731
6.241% due 11/15/2031		2,071		2,243
GMAC Commercial Mortgage Securities, Inc.
6.420% due 05/15/2035		638		643
7.151% due 12/15/2016		1,524		1,528
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		8,836		8,745
Greenpoint Mortgage Funding Trust
5.540% due 06/25/2045		3,360		3,363
5.550% due 06/25/2045		11,604		11,632
GS Mortgage Securities Corp. II
6.044% due 08/15/2018		7,870		7,966
GSRPM Mortgage Loan Trust
5.720% due 11/25/2031		4,340		4,348
Harborview Mortgage Loan Trust
5.410% due 01/19/2038		2,040		2,042
5.510% due 01/19/2038		28,930		28,979
5.510% due 02/19/2046		16,865		16,852
5.540% due 05/19/2035		9,340		9,354
Indymac ARM Trust
6.633% due 01/25/2032		31		31
Indymac Index Mortgage Loan Trust
5.400% due 07/25/2046		4,098		4,100
5.560% due 04/25/2035		8,182		8,193
Kidder Peabody Mortgage Assets Trust
9.500% due 04/22/2018 (b)		80		18
LB Commercial Conduit Mortgage Trust
6.480% due 02/18/2030		92		92
LB Mortgage Trust
8.445% due 01/20/2017		3,042		3,329
LB-UBS Commercial Mortgage Trust
6.133% due 12/15/2030		470		479
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		4,823		4,826
MASTR Asset Securitization Trust
5.500% due 09/25/2033		7,010		6,714
MASTR Reperforming Loan Trust
7.000% due 08/25/2034		387		397
Mellon Residential Funding Corp.
5.670% due 11/15/2031		4,103		4,110
5.760% due 12/15/2030		3,897		3,914
6.200% due 11/15/2031		403		406
Merrill Lynch Mortgage Investors, Inc.
0.737% due 04/25/2028 (b)		1,449		56
Merrill Lynch Mortgage Trust
1.753% due 07/12/2034 (b)		65,884		1,832
MLCC Mortgage Investors, Inc.
5.700% due 03/15/2025		399		400
6.974% due 01/25/2029		4,000		4,002
Morgan Stanley Capital I
7.500% due 08/15/2022		555		556
Mortgage Capital Funding, Inc.
6.663% due 03/18/2030		1,749		1,754
Nationslink Funding Corp.
5.670% due 11/10/2030		293		294
Nomura Asset Acceptance Corp.
7.000% due 02/19/2030		383		397
Ocwen Residential Mortgage-Backed Securities Corp.
6.854% due 06/25/2039		709		557
Prime Mortgage Trust
5.000% due 02/25/2019		34		33
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		2,609		2,608
Residential Asset Mortgage Products, Inc.
6.500% due 11/25/2031		724		730
Salomon Brothers Mortgage Securities VII, Inc.
7.056% due 11/25/2022		7		7
Sequoia Mortgage Trust
4.081% due 04/20/2035		8,734		8,577
5.670% due 10/19/2026		200		200
5.670% due 07/20/2033		4,906		4,929
5.700% due 10/20/2027		4,679		4,685
Starwood Commercial Mortgage Trust
6.920% due 02/03/2014		1,000		1,025
Structured Adjustable Rate Mortgage Loan Trust
5.810% due 06/25/2034		1,691		1,694
Structured Asset Mortgage Investments, Inc.
5.500% due 06/25/2036		25,169		25,219
5.530% due 04/25/2036		41,888		41,953
5.540% due 05/25/2036		4,244		4,253
5.550% due 05/25/2045		4,301		4,306
5.650% due 09/19/2032		9,107		9,121
5.670% due 03/19/2034		2,430		2,436
5.894% due 05/02/2030		303		303
6.361% due 05/25/2022		2,611		2,534
Structured Asset Securities Corp.
4.510% due 01/25/2034		7,777		7,793
5.000% due 05/25/2035		27,028		25,199
5.329% due 10/25/2035		1,621		1,620
6.063% due 02/25/2032		6		6
6.150% due 07/25/2032		7		7
6.430% due 08/25/2032		755		754
7.197% due 01/25/2032		386		385
Thornburg Mortgage Securities Trust
5.470% due 12/25/2036		4,599		4,604
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		3,811		3,813
Washington Mutual MSC Mortgage Pass-Through Certificates
6.500% due 09/25/2032		7,435		7,311
7.474% due 11/25/2030		1,066		1,062
Washington Mutual, Inc.
5.094% due 10/25/2032		47		47
5.510% due 04/25/2045		756		756
5.550% due 04/25/2045		350		350
5.580% due 11/25/2045		2,205		2,213
5.610% due 10/25/2045		14,232		14,266
5.630% due 01/25/2045		11,477		11,503
5.710% due 12/25/2045		1,545		1,547
5.720% due 07/25/2045		1,094		1,095
5.724% due 07/25/2046		15,647		15,719
5.724% due 08/25/2046		988		993
5.745% due 11/25/2034		6,516		6,543
5.860% due 12/25/2027		4,325		4,327
5.875% due 07/25/2044		1,062		1,066
5.960% due 12/25/2027		593		593
6.429% due 06/25/2042		1,788		1,787
6.429% due 08/25/2042		3,965		3,980
Wells Fargo Mortgage-Backed Securities Trust
3.990% due 12/25/2034		10,494		10,283
Total Mortgage-Backed Securities (Cost $553,813)				549,885
ASSET-BACKED SECURITIES 5.8%
Aames Mortgage Investment Trust
5.380% due 04/25/2036		826		827
5.720% due 10/25/2035		4,000		4,008
ABFS Mortgage Loan Trust
6.285% due 07/15/2033		2,000		1,912
Accredited Mortgage Loan Trust
5.360% due 09/25/2036		5,699		5,703
ACE Securities Corp.
5.370% due 06/25/2036		231		232
5.400% due 10/25/2036		4,685		4,688
5.450% due 05/25/2036		10,000		10,006
6.020% due 08/25/2030		102		102
AFC Home Equity Loan Trust
5.730% due 06/24/2029		871		875
5.870% due 12/26/2029		42		43
Aircraft Certificate Owner Trust
6.455% due 09/20/2022		2,623		2,606
American Express Credit Account Master Trust
5.320% due 01/18/2011		2,000		1,999
Amortizing Residential Collateral Trust
5.590% due 06/25/2032		86		86
5.610% due 07/25/2032		736		737
5.670% due 10/25/2031		470		471
Amresco Residential Securities Mortgage Loan Trust
5.815% due 06/25/2028		237		237
5.875% due 06/25/2027		1,117		1,118
5.950% due 09/25/2028		2,257		2,259
6.260% due 06/25/2029		204		204
Argent Securities, Inc.
5.380% due 05/25/2036		1,262		1,263
5.400% due 01/25/2036		168		168
Asset-Backed Funding Certificates
5.360% due 09/25/2036		5,280		5,283
6.340% due 03/25/2032		1,656		1,658
Asset-Backed Securities Corp. Home Equity
5.380% due 05/25/2036		5,161		5,165
5.380% due 07/25/2036		1,426		1,427
5.840% due 06/15/2031		332		332
Bank One Issuance Trust
5.440% due 06/15/2010		1,000		1,001
Bear Stearns Asset-Backed Securities, Inc.
5.400% due 12/25/2035		228		228
5.520% due 09/25/2034		1,027		1,029
5.920% due 10/25/2032		956		960
5.970% due 02/25/2034		439		441
6.070% due 11/25/2042		2,406		2,431
Carrington Mortgage Loan Trust
5.360% due 05/25/2036		4,173		4,174
5.370% due 10/25/2036		622		622
5.400% due 01/25/2036		3,841		3,844
CDC Mortgage Capital Trust
6.370% due 01/25/2033		2,812		2,815
Centex Home Equity
5.620% due 01/25/2032		167		167
6.170% due 01/25/2032		1,935		1,938
Charming Shoppes Master Trust
5.650% due 05/15/2014		6,000		6,059
Chase Credit Card Master Trust
5.670% due 02/15/2011		7,000		7,038
Chase Funding Mortgage Loan Asset-Backed Certificates
5.960% due 08/25/2032		1,046		1,047
5.980% due 11/25/2032		1,958		1,960
Chase Issuance Trust
5.340% due 07/15/2010		945		946
CIT Group Home Equity Loan Trust
5.590% due 06/25/2033		2,438		2,443
5.610% due 03/25/2033		516		518
5.970% due 12/25/2031		1,521		1,526
Citigroup Mortgage Loan Trust, Inc.
5.360% due 08/25/2036		4,745		4,748
Community Program Loan Trust
4.500% due 10/01/2018		928		914
Conseco Finance
6.020% due 08/15/2033		3,817		3,821
6.820% due 05/15/2032		1,571		1,576
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		14,548		11,780
8.200% due 02/01/2032		40,000		32,887
8.400% due 02/01/2032		2,266		183
Countrywide Asset-Backed Certificates
5.350% due 01/25/2046		9,610		9,613
5.370% due 01/25/2037		6,154		6,157
5.380% due 03/25/2037		6,299		6,303
5.390% due 06/25/2036		1,298		1,299
5.390% due 12/25/2036		519		519
5.430% due 10/25/2046		1,856		1,857
5.530% due 10/25/2035		361		361
5.770% due 06/25/2033		902		907
Credit-Based Asset Servicing & Securitization LLC
5.470% due 10/25/2036		2,003		2,005
5.660% due 10/25/2030		11		11
5.950% due 06/25/2032		244		244
CS First Boston Mortgage Securities Corp.
5.680% due 05/25/2044		1,705		1,709
Delta Funding Home Equity Loan Trust
6.140% due 09/15/2029		22		22
Embarcadero Aircraft Securitization Trust
6.420% due 08/15/2025 (a)		9,100		137
EMC Mortgage Loan Trust
5.690% due 05/25/2040		1,373		1,376
Equifirst Mortgage Loan Trust
5.540% due 04/25/2035		1,662		1,664
5.560% due 01/25/2034		565		566
Fieldstone Mortgage Investment Corp.
5.400% due 05/25/2036		907		907
First Franklin Mortgage Loan Asset-Backed Certificates
5.370% due 11/25/2036		21,040		21,053
5.700% due 10/25/2034		3,148		3,159
First International Bank N.A.
5.870% due 03/15/2027		4,519		3,187
5.900% due 04/15/2026		385		167
First North American National Bank
5.640% due 07/16/2011		15,000		15,011
First Plus Home Loan Trust
7.670% due 05/10/2024		1,753		1,804
Fremont Home Loan Trust
5.490% due 01/25/2036		1,874		1,876
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		2,983		2,985
5.420% due 12/25/2035		89		89
GMAC Mortgage Corp. Loan Trust
5.560% due 01/25/2029		2,237		2,240
Green Tree Financial Corp.
6.240% due 11/01/2016		4,750		4,737
7.060% due 02/01/2031		7,000		6,027
7.400% due 06/15/2027		3,882		3,997
7.550% due 01/15/2029		451		467
8.000% due 07/15/2018		1,457		1,376
8.050% due 10/15/2027		534		553
9.100% due 04/15/2025		3,278		3,397
GSAMP Trust
5.390% due 06/25/2036		14,336		14,346
5.390% due 09/25/2036		5,308		5,312
5.440% due 12/25/2035		1,479		1,479
5.470% due 10/25/2036		10,000		10,006
GSRPM Mortgage Loan Trust
5.700% due 09/25/2042		2,092		2,096
HFC Home Equity Loan Asset-Backed Certificates
5.670% due 09/20/2033		2,294		2,302
Home Equity Asset Trust
5.480% due 05/25/2036		8,000		8,006
IMC Home Equity Loan Trust
6.880% due 11/20/2028		370		369
7.520% due 08/20/2028		101		101
Indymac Residential Asset-Backed Trust
5.410% due 03/25/2036		2,548		2,550
Irwin Home Equity Corp.
6.220% due 02/25/2029		2,178		2,182
Ischus CDO Ltd.
5.600% due 07/10/2047		873		874
JPMorgan Mortgage Acquisition Corp.
5.390% due 03/25/2036		1,572		1,573
5.400% due 08/25/2036		4,510		4,512
5.440% due 09/25/2035		19		19
5.530% due 06/25/2035		677		678
Lehman XS Trust
5.400% due 06/25/2046		5,994		5,997
5.400% due 07/25/2046		1,822		1,823
5.400% due 08/25/2046		7,419		7,425
5.410% due 05/25/2046		1,547		1,547
Long Beach Mortgage Loan Trust
5.350% due 06/25/2036		11,300		11,308
5.380% due 05/25/2046		2,324		2,326
5.400% due 02/25/2036		1,462		1,463
5.410% due 01/25/2036		6,636		6,641
6.745% due 03/25/2032		4,370		4,376
MASTR Asset-Backed Securities Trust
5.380% due 10/25/2036		862		863
5.430% due 11/25/2035		1,762		1,763
MBNA Credit Card Master Note Trust
5.501% due 09/15/2010		2,000		2,004
Merrill Lynch Mortgage Investors, Inc.
5.380% due 10/25/2037		5,975		5,979
5.400% due 09/25/2037		10,114		10,120
Mesa Trust Asset-Backed Certificates
5.720% due 12/25/2031		1,630		1,657
Mid-State Trust
6.340% due 10/15/2036		1,934		1,918
7.340% due 07/01/2035		1,152		1,214
7.400% due 07/01/2035		49		52
7.790% due 07/01/2035		66		69
7.791% due 03/15/2038		2,447		2,585
8.330% due 04/01/2030		13,107		13,685
Morgan Stanley ABS Capital I
5.350% due 06/25/2036		78		78
5.360% due 04/25/2036		1,692		1,692
5.360% due 07/25/2036		7,768		7,772
5.360% due 09/25/2036		342		342
5.390% due 02/25/2036		3,946		3,949
5.390% due 03/25/2036		352		352
5.400% due 12/25/2035		186		186
5.420% due 10/25/2036		5,000		4,999
Morgan Stanley Home Equity Loans
5.430% due 08/25/2035		405		405
Nelnet Student Loan Trust
5.445% due 07/25/2016		1,323		1,326
New Century Home Equity Loan Trust
5.380% due 05/25/2036		237		237
NPF XII, Inc.
2.200% due 12/01/2003 (a)		13,800		64
2.232% due 10/01/2003 (a)		49,000		228
2.462% due 11/01/2003 (a)		3,000		14
Oakwood Mortgage Investors, Inc.
5.695% due 03/15/2018		1,498		1,317
7.500% due 01/15/2021		998		1,001
Option One Mortgage Loan Trust
5.920% due 01/25/2032		343		343
Origen Manufactured Housing
7.650% due 03/15/2032		13,200		13,000
Ownit Mortgage Loan Asset-Backed Certificates
5.380% due 03/25/2037		1,962		1,962
Popular ABS Mortgage Pass-Through Trust
5.450% due 11/25/2035		342		342
Preferred Credit Corp.
7.590% due 07/25/2026		211		210
Quest Trust
5.760% due 09/25/2034		641		641
5.970% due 09/25/2034		427		428
Renaissance Home Equity Loan Trust
5.760% due 08/25/2033		651		653
5.820% due 12/25/2033		5,751		5,798
6.120% due 08/25/2032		3,000		3,024
Residential Asset Mortgage Products, Inc.
5.400% due 01/25/2036		197		197
5.400% due 02/25/2036		1,259		1,259
5.400% due 10/25/2036		6,559		6,562
5.440% due 10/25/2036		12,488		12,495
Residential Asset Securities Corp.
5.380% due 04/25/2036		2,958		2,960
5.390% due 11/25/2036		8,048		8,054
5.400% due 10/25/2036		5,217		5,220
5.820% due 07/25/2032		2,790		2,792
5.900% due 06/25/2033		324		325
5.920% due 06/25/2032		218		218
Residential Funding Mortgage Securities II, Inc.
8.350% due 12/25/2024		1,256		1,253
8.350% due 03/25/2025		256		256
Residential Mortgage Loan Trust
6.875% due 09/25/2029		264		265
SACO I, Inc.
5.580% due 06/25/2036		2,539		2,541
Salomon Brothers Mortgage Securities VII, Inc.
6.275% due 01/25/2032		382		383
6.295% due 10/25/2028		664		664
6.930% due 08/25/2028		811		789
Saxon Asset Securities Trust
5.380% due 11/25/2036		6,657		6,659
5.660% due 12/26/2034		1,639		1,642
5.820% due 03/25/2032		1,923		1,925
Securitized Asset-Backed Receivables LLC Trust
5.380% due 03/25/2036		2,222		2,223
SLM Student Loan Trust
5.365% due 01/26/2015		628		629
SMS Student Loan Trust
5.420% due 10/27/2025		408		405
Soundview Home Equity Loan Trust
5.380% due 11/25/2036		693		693
5.420% due 10/25/2036		1,591		1,592
5.430% due 11/25/2035		739		740
5.550% due 06/25/2035		683		684
Specialty Underwriting & Residential Finance
5.370% due 09/25/2037		33,794		33,796
5.660% due 01/25/2034		289		289
Structured Asset Investment Loan Trust
5.400% due 01/25/2036		2,039		2,040
5.430% due 08/25/2035		25		25
Structured Asset Securities Corp.
5.370% due 10/25/2036		11,530		11,535
5.440% due 02/25/2036		3,000		3,001
5.450% due 12/25/2035		1,671		1,672
5.610% due 01/25/2033		17		17
5.720% due 05/25/2034		1,235		1,241
6.370% due 01/25/2033		1,372		1,375
Trapeza CDO I LLC
6.015% due 11/16/2034		1,000		998
Triton Aviation Finance
8.320% due 06/15/2025 (a)		4,500		0
UCFC Manufactured Housing Contract
7.900% due 01/15/2028		2,500		1,170
Vanderbilt Mortgage Finance
7.905% due 02/07/2026		113		118
Wells Fargo Home Equity Trust
5.430% due 11/25/2035		11,769		11,776
5.560% due 10/25/2035		50,000		50,074
5.570% due 12/25/2035		18,500		18,541
Total Asset-Backed Securities (Cost $723,001)				650,963
SHORT-TERM INSTRUMENTS 1.8%
Commercial Paper 1.1%
Freddie Mac
4.800% due 07/02/2007		121,500		121,500
Societe Generale NY
5.245% due 11/26/2007		4,000		3,947
				125,447
U.S. Treasury Bills 0.7%
4.560% due 08/30/2007 - 09/13/2007 (d)(e)(i)		73,950		73,174
Total Short-Term Instruments (Cost $198,738)				198,621
Purchased Options (k) 0.0% (Cost $5,590)				1,141
Total Investments (g) 133.8% (Cost $15,314,502)			$	15,057,312
Written Options (l) (0.0%) (Premiums $5,597)				(1,283	)
Other Assets and Liabilities (Net) (33.8%)				(3,804,413	)
Net Assets 100.0%			$	11,251,615

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) Securities with an aggregate market value of $63,055 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(f) Securities with an aggregate market value of $207,434 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2007.

(g) As of June 30, 2007, portfolio securities with an aggregate value of $47,185 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(h) The average amount of borrowing outstanding during the period ended June 30, 2007 was $1,692,231 at a weighted average interest rate of 5.30%. On June 30, 2007, securities valued at $888,610 were pledged as collateral for reverse repurchase agreements.

(i) Securities with an aggregate market value of $4,770 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2008	12,899	$	(1,125	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	3,390		1,964
				$	839

(j) Swap agreements outstanding on June 30, 2007:

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	%)	04/05/2041	$	2,000	$	271
Bank of America	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 01/10/2045	Buy	(1.580	%)	01/10/2045		3,500		508
Bank of America	TABS Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 08/07/2045	Buy	(4.200	%)	08/07/2045		1,500		159
Bank of America	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 03/08/2040	Buy	(4.300	%)	08/07/2045		2,373		363
Bank of America	Vertical CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.650% due 02/09/2046	Buy	(1.690	%)	02/09/2046		5,000		1,040
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	%)	05/03/2046		2,000		571
Bank of America	Kent Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.550% due 05/08/2046	Buy	(1.830	%)	05/08/2046		4,000		731
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		4,948		706
Bank of America	Kefton CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.350% due 01/09/2047	Buy	(1.750	%)	01/09/2047		8,000		2,671
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	%)	02/13/2047		5,000		1,365
Bank of America	Midori CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.300% due 02/15/2047	Buy	(1.730	%)	02/15/2047		3,000		729
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		387
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	%)	02/25/2034		4,000		(101	)
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	%)	02/25/2035		4,000		(91	)
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	%)	02/25/2035		4,000		10
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	%)	03/25/2036		5,000		501
Barclays Bank PLC	Accredited Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.150% due 04/25/2036	Buy	(1.000	%)	04/25/2036		5,000		359
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	%	07/25/2036		5,000		134
Barclays Bank PLC	Camber floating rate based on 3-Month USD-LIBOR plus 1.330% due 07/12/2043	Buy	(1.400	%)	06/28/2046		2,000		615
Bear Stearns & Co., Inc.	Avenue CLO Fund Ltd. Floating rate based on 3-Month USD-LIBOR plus 1.650% due 07/20/2018	Buy	(1.750	%)	07/20/2018		5,000		46
Bear Stearns & Co., Inc.	Merrill Lynch Mortgage Trust 5.244% due 11/12/2037	Buy	(1.150	%)	11/12/2037		4,000		(17	)
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	%)	04/23/2039		4,000		378
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	%)	03/08/2040		1,000		151
Bear Stearns & Co., Inc.	LB-UBS Commercial Mortgage Trust 5.404% due 09/15/2040	Buy	(1.170	%)	09/15/2040		4,000		(35	)
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	%)	01/10/2041		2,500		604
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	%)	04/06/2046		7,500		1,603
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	%)	02/15/2047		3,000		803
Citibank N.A.	Commercial Industrial Finance Corp. floating rate based on 3-Month USD-LIBOR plus 1.600% due 10/20/2020	Buy	(2.150	%)	10/20/2020		5,000		26
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	%	02/25/2036		5,000		181
Credit Suisse First Boston	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.450% due 12/10/2046	Buy	(2.120	%)	12/10/2046		10,000		1,893
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	%)	07/25/2036		5,000		928
Deutsche Bank AG	Commercial Mortgage-Backed Index	Sell	1.340	%	10/12/2052		8,000		5
Goldman Sachs & Co.	Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500	%)	10/11/2021		1,500		(11	)
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	%)	09/25/2034		10,000		(303	)
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		1,067
Goldman Sachs & Co.	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 03/08/2040	Buy	(3.900	%)	03/08/2040		1,500		259
Goldman Sachs & Co.	Vertical CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.450% due 04/01/2045	Buy	(1.325	%)	04/01/2045		2,000		153
JPMorgan Chase & Co.	Octagon Investment Partners X Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 10/18/2020	Buy	(1.850	%)	10/18/2020		1,000		5
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.	Montrose Harbor CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.380% due 12/05/2051	Buy	(1.750	%)	12/05/2051		2,500		706
Lehman Brothers, Inc.	Saratoga CLO I Ltd. floating rate based on 3-Month USD-LIBOR plus 1.480% due 12/15/2019	Buy	(1.880	%)	12/15/2019		3,000		(16	)
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		15
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		429
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	%)	04/25/2036		5,000		931
Lehman Brothers, Inc.	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.600% due 03/08/2040	Buy	(2.420	%)	03/08/2040		5,000		546
Lehman Brothers, Inc.	Altius Funding Ltd. floating rate based on 1-Month USD-LIBOR plus 1.500% due 12/05/2040	Buy	(1.450	%)	12/05/2040		6,810		867
Lehman Brothers, Inc.	Altius Funding Ltd. floating rate based on 1-Month USD-LIBOR plus 2.750% due 12/05/2040	Buy	(3.250	%)	12/05/2040		6,679		1,019
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		1,086
Lehman Brothers, Inc.	Vertical CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 3.350% due 02/09/2046	Buy	(3.200	%)	02/09/2046		2,468		538
Lehman Brothers, Inc.	Citius Funding Ltd. floating rate based on 1-Month USD-LIBOR plus 1.370% due 05/05/2046	Buy	(1.440	%)	05/05/2046		11,125		2,229
Lehman Brothers, Inc.	RFC CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 2.900% due 07/15/2051	Buy	(3.100	%)	07/15/2051		4,892		875
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	%)	05/25/2035		5,000		885
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	%)	02/25/2036		5,000		1,536
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	%)	03/25/2036		5,000		1,668
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	%)	07/25/2036		5,000		220
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	%)	12/09/2040		3,000		345
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	%)	06/06/2046		5,000		1,260
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	%)	06/06/2046		5,000		1,285
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	%)	09/07/2046		2,500		587
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	%)	10/01/2050		5,000		1,041
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	%)	09/05/2051		5,000		921
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		45
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	%)	08/25/2036		5,000		736
UBS Warburg LLC	Asset-Backed Securities Corp. Home Equity floating rate based on 1-Month USD-LIBOR plus 1.550% due 03/25/2035	Buy	(1.250	%)	03/25/2035		5,000		120
UBS Warburg LLC	Long Beach Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.450% due 02/25/2036	Buy	(1.270	%)	02/25/2036		5,000		1,507
UBS Warburg LLC	CS First Boston Mortgage Securities Corp. 5.250% due 7/15/2037	Buy	(1.080	%)	07/15/2037		10,000		8
UBS Warburg LLC	Merrill Lynch Mortgage Trust 5.355% due 06/12/2043	Buy	(1.080	%)	06/12/2043		10,000		7
Wachovia Bank N.A.	Race Point CLO floating rate based on 3-Month USD-LIBOR plus 1.650% due 04/15/2020	Buy	(1.950	%)	04/15/2020		2,000		2
Wachovia Bank N.A.	Ridgeway Court Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.350% due 11/05/2046	Buy	(3.250	%)	11/05/2046		6,500		1,594
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		581
								$	42,232

Credit Default Swaps (Asset-Backed Indices)

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045	$	25,000	$	915
Bank of America	Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045		52,500		(2,656	)
Bank of America	Home Equity Index A Rating 2006-2	Buy	(0.440	%)	05/25/2046		15,000		87
Barclays Bank PLC	Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045		25,000		(205	)
Bear Stearns & Co., Inc.	Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045		10,000		366
Bear Stearns & Co., Inc.	Home Equity Index BBB Rating 2006-1	Buy	(2.670	%)	07/25/2045		19,000		695
Bear Stearns & Co., Inc.	Home Equity Index A Rating 2006-2	Buy	(0.440	%)	05/25/2046		25,000		1,505
Bear Stearns & Co., Inc.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		14,000		493
Citibank N.A.	Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045		25,000		993
Citibank N.A.	Home Equity Index BBB Rating 2006-1	Buy	(1.540	%)	07/25/2045		35,000		3,571
Citibank N.A.	Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045		4,000		(416	)
Citibank N.A.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		62,000		(222	)
Credit Suisse First Boston	Home Equity Index BBB Rating 2006-1	Buy	(1.540	%)	07/25/2045		5,000		502
Credit Suisse First Boston	Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045		22,000		(485	)
Credit Suisse First Boston	Home Equity Index A Rating 2006-2	Buy	(0.440	%)	05/25/2046		25,000		1,333
Credit Suisse First Boston	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		1,000		(131	)
Deutsche Bank AG	Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045		17,000		(143	)
Goldman Sachs & Co.	Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045		50,000		(1,924	)
Goldman Sachs & Co.	Home Equity Index BBB Rating 2006-1	Buy	(1.540	%)	07/25/2045		1,500		13
Goldman Sachs & Co.	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		90,000		(4,956	)
Goldman Sachs & Co.	Home Equity Index AAA Rating 2006-2	Sell	0.110	%	05/25/2046		7,000		(42	)
Goldman Sachs & Co.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		33,500		(4,907	)
JPMorgan Chase & Co.	Home Equity Index BBB Rating 2006-1	Buy	(1.540	%)	07/25/2045		100,000		10,304
JPMorgan Chase & Co.	Home Equity Index AAA Rating 2006-2	Sell	0.110	%	05/25/2046		3,000		(17	)
JPMorgan Chase & Co.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		12,000		(2,638	)
Lehman Brothers, Inc.	Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045		10,000		369
Lehman Brothers, Inc.	Home Equity Index BBB Rating 2006-1	Buy	(2.670	%)	07/25/2045		65,000		2,019
Lehman Brothers, Inc.	Home Equity Index BBB Rating 2006-2	Buy	(2.420	%)	05/25/2046		25,000		876
Lehman Brothers, Inc.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		25,000		(876	)
Merrill Lynch & Co., Inc.	Home Equity Index BBB Rating 2007-1	Sell	2.240	%	08/25/2037		10,000		(552	)
Merrill Lynch & Co., Inc.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		21,500		(285	)
Morgan Stanley	Home Equity Index BBB Rating 2006-1	Buy	(2.670	%)	07/25/2045		20,000		266
Morgan Stanley	Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045		8,000		(811	)
Morgan Stanley	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		20,000		605
Royal Bank of Scotland Group PLC	Home Equity Index A Rating 2006-2	Buy	(0.440	%)	05/25/2046		25,000		1,332
UBS Warburg LLC	Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045		5,000		188
UBS Warburg LLC	Home Equity Index BBB Rating 2006-1	Buy	(2.670	%)	07/25/2045		25,000		270
UBS Warburg LLC	Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045		157,000		(12,508	)
UBS Warburg LLC	Home Equity Index BBB Rating 2006-2	Buy	(2.420	%)	05/25/2046		19,000		998
UBS Warburg LLC	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		154,500		(15,962	)
								$	(22,036	)

⁽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	$	451
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		152,500		486
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		11,500		24
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2014		4,000		(141	)
Lehman Brothers, Inc.	3-Month USD-LIBOR with 6.150% interest rate cap	Receive	Premium Amount of $2,211		10/01/2011		39,000		(1,926	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2014		5,700		(202	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		5,900		(46	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		115,200		(763	)
								$	(2,117	)

(k) Purchased options outstanding on June 30, 2007:

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

4.750

%

03/31/2008

$

924,000

$

5,590

$

1,141

(l) Written options outstanding on June 30, 2007:

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

4.900

%

03/31/2008

$

420,000

$

5,597

$

1,283

(m) Short sales outstanding on June 30, 2007:

Description	Coupon	Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	5.000%	07/01/2022	$	947,300	$	908,964	$	915,476
Fannie Mae	5.000%	07/01/2037		1,251,600		1,176,013		1,172,788
Fannie Mae	6.500%	07/01/2037		213,000		214,156		215,030
Freddie Mac	5.500%	07/01/2037		182,000		175,456		175,545
Ginnie Mae	5.500%	07/01/2037		43,500		42,032		42,215
					$	2,516,621	$	2,521,055

See accompanying notes

Schedule of Investments

Municipal Sector Portfolio

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
MUNICIPAL BONDS & NOTES 132.5%
Arkansas 1.2%
University of Central Arkansas Revenue Notes, (FGIC Insured), Series 2004
5.000% due 11/01/2010	$	410	$	420
5.000% due 11/01/2011		840		855
5.000% due 11/01/2012		880		896
5.000% due 11/01/2013		925		942
				3,113
California 14.9%
Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997
0.000% due 09/01/2035		5,000		1,255
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		5,143
California State Hollister Joint Powers Financing Authority Revenue Bonds, (FSA Insured), Series 2006
4.500% due 06/01/2037		1,870		1,776
California State University Revenue Bonds, (FSA Insured), Series 2007
4.500% due 11/01/2044		14,075		13,205
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
7.900% due 06/01/2042		1,600		1,925
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
4.750% due 07/01/2039		7,000		6,989
Norco, California Redevelopment Agency Tax Allocation Bonds, (RADIAN Insured), Series 2004
5.000% due 03/01/2032		1,000		1,009
Southern California State Public Power Authority Revenue Bonds, (FGIC Insured), Series 1988
0.000% due 07/01/2014		8,155		6,116
				37,418
Colorado 7.9%
Colorado State Certificates of Participation Bonds, (MBIA Insured), Series 2005
5.000% due 11/01/2030 (c)		8,000		8,264
Dawson Ridge, Colorado Metropolitan District No. 1 General Obligation Bonds, Series 1992
0.000% due 10/01/2022		2,930		1,433
El Paso County, Colorado Single-Family Mortgage Revenue Bonds, Series 1984
0.000% due 09/01/2015		2,000		1,417
Regional Transportation District of Colorado Revenue Bonds, (AMBAC Insured), Series 2006
4.500% due 11/01/2032		9,085		8,700
				19,814
Florida 2.1%
Palm Beach County, Florida Solid Waste Authority Revenue Bonds, (AMBAC Insured), Series 2002
0.000% due 10/01/2014		7,000		5,167
Idaho 0.4%
Idaho State Health Facilities Authority Revenue Bonds, (RADIAN Insured), Series 2005
5.000% due 09/01/2035		1,000		1,012
Illinois 8.1%
Boone & Winnebago Counties, Illinois Community Unit General Obligation Notes, (FGIC Insured), Series 2003
0.000% due 01/01/2012		1,120		928
Boone, McHenry & Dekalb Counties, Illinois Community Unit School Dist No. 100 General Obligation Bonds, (MBIA Insured), Series 2005
0.000% due 12/01/2019		5,195		2,951
0.000% due 12/01/2020		6,550		3,541
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2027		2,000		757
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001
0.000% due 01/01/2023 (b)		5,965		5,433
Chicago, Illinois Revenue Bonds, (FHA/GNMA Insured), Series 2007
4.625% due 09/20/2037		1,725		1,607
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		800		819
Illinois State Finance Authority Revenue Bonds, Series 1991
0.000% due 07/15/2025		10,000		4,208
				20,244
Indiana 1.0%
Indiana State Ball State University Revenue Bonds, (FSA Insured), Series 2004
5.500% due 07/01/2020		475		530
Merrillville, Indiana Multi-School Building Corporations Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 01/05/2021		2,000		2,048
				2,578
Iowa 0.2%
Iowa City, Iowa General Obligation Bonds, Series 2002
5.000% due 06/01/2020		500		518
Louisiana 3.5%
Louisiana State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2001
5.875% due 05/15/2039 (c)		7,560		8,049
6.763% due 05/15/2039		610		682
				8,731
Maryland 0.4%
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, 2007
5.000% due 07/01/2027		1,000		1,002
Massachusetts 3.1%
Commonwealth of Massachusetts State General Obligation Bonds, (AMBAC Insured), Series 2004
5.500% due 08/01/2030		500		565
Commonwealth of Massachusetts State General Obligation Bonds, (FSA Insured), Series 2006
3.810% due 11/01/2019		2,000		1,943
Massachusetts State Housing Finance Agency Revenue Bonds, Series 2003
5.000% due 06/01/2034 (c)		5,000		5,061
Massachusetts State Water Resources Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2034		250		259
				7,828
Michigan 7.6%
Detroit, Michigan Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 07/01/2034		200		207
Michigan State Building Authority Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 10/15/2020 (c)		9,905		10,427
Michigan State Higher Education Student Loan Authority Revenue Bonds, (AMBAC-GTD Student Loan Insured), Series 2005
4.875% due 03/01/2030 (c)		8,500		8,436
				19,070
Mississippi 1.2%
Mississippi State Housing Finance Corporations Revenue Bonds, Series 1983
0.000% due 06/01/2015		4,180		2,993
Missouri 0.8%
Lees Summit, Missouri Industrial Development Authority Revenue Notes, Series 2007
5.000% due 08/15/2010		520		528
Missouri State Housing Development Commission Revenue Bonds, (GNMA/ FNMA/FHLMC Insured), Series 2007
4.750% due 09/01/2032		500		480
St. Louis, Missouri Industrial Development Authority Revenue Bonds, Series 2007
4.875% due 03/01/2032		1,000		970
				1,978
Nevada 10.0%
Clark County, Nevada General Obligation Bonds, (FGIC Insured), Series 2006
4.750% due 11/01/2035 (c)		25,000		24,998
New Jersey 2.7%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.000% due 11/01/2028		2,480		2,501
New Jersey State Educational Facilities Authority Revenue Bonds, (RADIAN Insured), Series 2004
5.250% due 07/01/2034		2,000		2,075
New Jersey State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
5.750% due 06/01/2032		820		863
6.000% due 06/01/2037		1,325		1,441
				6,880
New York 9.7%
New York City, New York General Obligation Bonds, (MBIA Insured), Series 1999
5.125% due 05/15/2029 (c)		11,830		12,141
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2005
5.000% due 06/15/2031 (c)		10,000		10,311
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2000
5.500% due 11/01/2024 (c)		1,000		1,047
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000
5.490% due 08/15/2022		750		765
				24,264
North Carolina 1.8%
North Carolina State General Obligation Bonds, Series 2001
6.180% due 09/01/2017		4,000		4,426
Oregon 3.0%
Clackamas County, Oregon School District No. 12 General Obligation Bonds, (FSA Insured), Series 2007
0.000% due 06/15/2019 (b)		1,000		867
0.000% due 06/15/2020 (b)		4,140		3,580
0.000% due 06/15/2021 (b)		3,665		3,158
				7,605
Pennsylvania 5.9%
Commonwealth of Pennsylvania State General Obligation Bonds, (FGIC Insured), Series 1998
5.000% due 12/01/2008 (c)		13,500		13,860
Pittsburgh, Pennsylvania Redevelopment Authority Water & Sewer System Revenue Bonds, (FSA Insured), Series 2000
6.180% due 09/01/2021		1,000		1,013
				14,873
Puerto Rico 0.3%
Puerto Rico Children’s Trust Fund Revenue Bonds, Series 2000
6.000% due 07/01/2026		700		741
Rhode Island 1.2%
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.250% due 06/01/2042		2,725		2,956
South Carolina 3.7%
Lexington, South Carolina Health Services District Revenue Bonds, Series 2004
5.500% due 05/01/2037		1,500		1,568
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2028		800		849
6.375% due 05/15/2030		6,000		6,814
				9,231
Tennessee 2.1%
Tennessee State Energy Acquisition Corp. Revenue Bonds, Series 2006
5.000% due 02/01/2027		5,000		5,145
Texas 31.2%
Arlington, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
5.980% due 02/15/2024		750		765
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 05/15/2035 (c)		10,000		10,261
Dallas, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2006
4.750% due 08/15/2032		2,000		1,997
Houston, Texas Higher Education Finance Corp. Revenue Bonds, Series 2007
4.750% due 05/15/2037		7,725		7,664
Houston, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
4.750% due 02/15/2026 (c)		1,500		1,502
Houston, Texas Water & Sewer System Revenue Bonds, (AMBAC Insured), Series 1991
0.000% due 12/01/2009		1,750		1,589
Lancaster, Texas Independent School District General Obligation Revenue Bonds, (FSA Insured), Series 2006
0.000% due 02/15/2024		2,250		984
Lubbock, Texas Health Facilities Development Revenue Bonds, Series 1998
5.250% due 07/01/2011		575		587
Municipal Securities Trust Certificates, Texas Revenue Bonds, Series 2006
7.262% due 04/01/2024		5,360		5,650
San Antonio, Texas General Obligation Notes, Series 2001
5.000% due 08/01/2010		50		51
San Antonio, Texas Utilities Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 02/01/2030 (c)		7,070		7,294
San Antonio, Texas Water Revenue Bonds, (MBIA Insured), Series 2005
4.750% due 05/15/2037		3,000		2,971
4.750% due 05/15/2038 (c)		25,000		24,759
Spring Branch, Texas Independent School District General Obligation Bonds, (FSA PSF-GTD Insured), Series 2007
4.500% due 02/01/2026		3,130		3,004
Tarrant, Texas Regional Water District Revenue Bonds, (FGIC Insured), Series 2006
4.750% due 03/01/2029		5,000		5,039
Texas State Capital Area Housing Finance Corporations Revenue Bonds, (FHA/VA Private Mortgage Insured), Series 1984
0.000% due 01/01/2016		6,060		4,164
				78,281
Virginia 0.3%
Virginia State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2005
5.500% due 06/01/2026		700		755
Washington 5.6%
King County, Washington General Obligation Bonds, (FGIC Insured), Series 2005
8.990% due 01/01/2035		3,410		3,837
Port of Seattle, Washington Revenue Bonds, (MBIA Insured), Series 2000
5.625% due 02/01/2024		1,000		1,034
Washington State General Obligation Bonds, (FGIC Insured), Series 2003
0.000% due 06/01/2016		6,230		4,221
Washington State General Obligation Notes, (AMBAC Insured), Series 2004
0.000% due 12/01/2012		6,080		4,829
				13,921
West Virginia 0.9%
Berkeley, Brooke & Fayette Counties, West Virginia Revenue Bonds, Series 1983
0.000% due 12/01/2014		3,250		2,356
Wisconsin 1.7%
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Bonds, Series 2002
6.125% due 06/01/2027		2,660		2,805
6.375% due 06/01/2032		250		272
Wisconsin State General Obligation Bonds, (MBIA Insured), Series 2006
5.000% due 05/01/2037		200		201
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		905		923
				4,236
Total Municipal Bonds & Notes (Cost $329,793)				332,134
SHORT-TERM INSTRUMENTS 1.8%
Repurchase Agreements 1.2%
State Street Bank and Trust Co.
4.900% due 07/02/2007		2,950		2,950
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $3,013. Repurchase proceeds are $2,951.)
U.S. Treasury Bills 0.6%
4.584% due 08/30/2007 - 09/13/2007 (a)(d)		1,475		1,459
Total Short-Term Instruments (Cost $4,412)				4,409
Total Investments 134.3% (Cost $334,205)			$	336,543
Other Assets and Liabilities (Net) (34.3%)				(85,901	)
Net Assets 100.0%			$	250,642

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) 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.

(d) Securities with an aggregate market value of $1,459 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
U.S. Treasury 5-Year Note September Futures	Short	09/2007	250	$	166
U.S. Treasury 10-Year Note September Futures	Short	09/2007	490		172
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	672		493
				$	831

See accompanying notes

Schedule of Investments

Real Return Portfolio

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 1.7%
BellSouth Corp.
4.240% due 04/26/2008	$	4,600	$	4,560
Citigroup, Inc.
5.395% due 01/30/2009		600		600
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		640		650
Export-Import Bank of Korea
5.570% due 10/04/2011		1,300		1,301
General Electric Capital Corp.
5.400% due 12/12/2008		600		601
Harrah’s Operating Co., Inc.
7.500% due 01/15/2009		400		406
Rabobank Nederland
5.376% due 01/15/2009		500		500
Redwood Capital IX Ltd.
7.750% due 01/09/2008		400		402
Travelers Property Casualty Corp.
3.750% due 03/15/2008		800		789
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		1,400		1,401
Vita Capital II Ltd.
6.249% due 01/01/2010		300		300
Vita Capital III Ltd.
6.469% due 01/01/2012		600		601
Wachovia Bank N.A.
5.430% due 12/02/2010		2,100		2,101
Total Corporate Bonds & Notes (Cost $14,222)				14,212
MUNICIPAL BONDS & NOTES 0.4%
Badger, Wisconsin Tobacco Asset Securitization Corporations Revenue Bonds, Series 2002
6.375% due 06/01/2032		1,000		1,090
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		235		236
Kansas City, Kansas Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 09/01/2013		300		315
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		300		299
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2023		500		529
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		1,115		1,211
Total Municipal Bonds & Notes (Cost $3,256)				3,680
U.S. GOVERNMENT AGENCIES 14.6%
Fannie Mae
4.656% due 04/01/2035		629		628
4.682% due 01/01/2035		397		391
5.500% due 01/01/2024 - 08/01/2037		109,007		105,142
6.000% due 10/01/2036 - 07/01/2037		5,618		5,561
6.133% due 09/01/2044 - 10/01/2044		294		298
7.063% due 09/01/2018		72		72
Freddie Mac
4.500% due 05/15/2017		309		302
5.000% due 02/15/2020		5,502		5,421
5.500% due 05/15/2016		8,332		8,332
5.600% due 09/25/2031		104		104
5.670% due 12/15/2030		291		292
Ginnie Mae
6.500% due 05/15/2026 - 06/15/2028		82		84
Total U.S. Government Agencies (Cost $127,001)				126,627
U.S. TREASURY OBLIGATIONS 115.3%
Treasury Inflation Protected Securities (b)
0.875% due 04/15/2010		83,419		79,248
1.625% due 01/15/2015		4,546		4,227
1.875% due 07/15/2013		98,693		94,699
1.875% due 07/15/2015		68,538		64,790
2.000% due 04/15/2012		18,424		17,887
2.000% due 01/15/2014		33,670		32,368
2.000% due 01/15/2026		67,064		60,766
2.375% due 04/15/2011		45,773		45,287
2.375% due 01/15/2017		34,847		34,033
2.375% due 01/15/2025		104,038		100,072
2.375% due 01/15/2027		41,098		39,480
2.500% due 07/15/2016		102,344		101,233
3.000% due 07/15/2012		53,304		54,353
3.375% due 01/15/2012		11,640		12,018
3.500% due 01/15/2011		29,688		30,554
3.625% due 01/15/2008		1,165		1,166
3.625% due 04/15/2028		99,650		115,477
3.875% due 04/15/2029		11,818		14,272
4.250% due 01/15/2010		76,603		79,529
U.S. Treasury Bonds
6.000% due 02/15/2026		1,200		1,310
6.625% due 02/15/2027		2,500		2,929
U.S. Treasury Notes
4.500% due 02/28/2011		2,100		2,072
4.625% due 02/15/2017		800		775
4.875% due 04/30/2011		9,200		9,189
Total U.S. Treasury Obligations (Cost $1,022,077)				997,734
MORTGAGE-BACKED SECURITIES 0.7%
Bear Stearns Adjustable Rate Mortgage Trust
6.337% due 11/25/2030		463		462
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		145		146
Countrywide Home Loan Mortgage Pass-Through Trust
5.660% due 06/25/2035		1,000		998
GSR Mortgage Loan Trust
4.538% due 09/25/2035		1,470		1,449
Washington Mutual, Inc.
5.580% due 11/25/2045		386		387
5.610% due 10/25/2045		2,426		2,432
Total Mortgage-Backed Securities (Cost $5,882)				5,874
ASSET-BACKED SECURITIES 0.3%
Bear Stearns Asset-Backed Securities, Inc.
5.770% due 03/25/2043		191		191
Lehman XS Trust
5.400% due 07/25/2046		658		659
MASTR Asset-Backed Securities Trust
5.400% due 01/25/2036		390		390
Merrill Lynch Mortgage Investors, Inc.
5.400% due 01/25/2037		57		57
Option One Mortgage Loan Trust
5.420% due 11/25/2035		101		101
Residential Asset Securities Corp.
5.390% due 04/25/2036		53		53
Soundview Home Equity Loan Trust
5.390% due 03/25/2036		3		3
Structured Asset Securities Corp.
4.900% due 04/25/2035		976		973
Total Asset-Backed Securities (Cost $2,421)				2,427
FOREIGN CURRENCY-DENOMINATED ISSUES 1.2%
Canadian Government Bond
3.000% due 12/01/2036 (b)	CAD	1,408		1,586
Pylon Ltd.
5.648% due 12/18/2008 (i)	EUR	3,200		4,373
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	900		4,647
Total Foreign Currency-Denominated Issues (Cost $9,720)				10,606
SHORT-TERM INSTRUMENTS 6.3%
Certificates of Deposit 3.1%
Abbey National Treasury Services PLC
5.270% due 07/02/2008	$	9,100		9,104
Fortis Bank NY
5.265% due 06/30/2008		6,000		6,002
Skandinav Enskilda BK
5.350% due 02/13/2009		700		701
Societe Generale NY
5.269% due 06/30/2008		11,100		11,107
				26,914
Commercial Paper 1.0%
Freddie Mac
4.800% due 07/02/2007		4,000		4,000
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		4,900		4,900
				8,900
Repurchase Agreements 0.6%
State Street Bank and Trust Co.
4.900% due 07/02/2007		5,355		5,355
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $5,463. Repurchase proceeds are $5,357.)
U.S. Treasury Bills 1.6%
4.578% due 08/30/2007 - 09/13/2007 (a)(c)(e)		13,520		13,385
Total Short-Term Instruments (Cost $54,549)				54,554
Purchased Options (g) 0.1% (Cost $1,437)				1,272
Total Investments (d) 140.6% (Cost $1,240,565)			$	1,216,986
Written Options (h) (0.0%) (Premiums $282)				(143	)
Other Assets and Liabilities (Net) (40.6%)				(351,222	)
Net Assets 100.0%			$	865,621

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

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

(a) Coupon represents a weighted average rate.

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

(c) Securities with an aggregate market value of $4,207 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(d) As of June 30, 2007, portfolio securities with an aggregate value of $5,676 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(e) Securities with an aggregate market value of $2,761 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	33	$	(11	)
90-Day Euribor June Futures	Long	06/2009	33		(9	)
90-Day Euribor March Futures	Long	03/2009	33		(10	)
90-Day Euribor September Futures	Long	09/2008	33		(11	)
90-Day Eurodollar December Futures	Long	12/2007	41		(34	)
90-Day Eurodollar December Futures	Long	12/2008	36		(50	)
90-Day Eurodollar June Futures	Long	06/2008	15		(19	)
90-Day Eurodollar March Futures	Long	03/2008	209		(236	)
90-Day Eurodollar March Futures	Short	03/2009	133		135
90-Day Eurodollar September Futures	Long	09/2008	1,328		(1,911	)
Japan Government 10-Year Bond September Futures	Long	09/2007	13		(18	)
U.S. Treasury 5-Year Note September Futures	Short	09/2007	177		(95	)
U.S. Treasury 10-Year Note September Futures	Long	09/2007	139		(137	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	124		186
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2008	577		(1,051	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2008	206		(373	)
				$	(3,644	)

(f) Swap agreements outstanding on June 30, 2007:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
HSBC Bank USA	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.350	%	09/20/2007	$	4,300	$	20
Merrill Lynch & Co., Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.400	%	09/20/2007		1,000		5
								$	25

⁽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	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010	AUD	16,200	$	(109	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	7.000	%	06/15/2010		34,600		(38	)
JPMorgan Chase & Co.	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		2,700		(19	)
Royal Bank of Canada	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010		8,600		(56	)
Royal Bank of Canada	3-Month Canadian Bank Bill	Receive	5.500	%	06/20/2017	CAD	13,700		2
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.103	%	10/15/2010	EUR	1,600		26
Barclays Bank PLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.138	%	01/19/2016		4,000		25
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.090	%	10/15/2010		1,800		21
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.988	%	12/15/2011		4,500		(19	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.976	%	12/15/2011		4,500		(13	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		18,900		(103	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.028	%	10/15/2011		3,700		82
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.973	%	12/15/2011		2,000		(10	)
JPMorgan Chase & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.353	%	10/15/2016		2,000		12
Morgan Stanley	6-Month EUR-LIBOR	Receive	4.000	%	06/15/2017		1,300		126
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.146	%	10/15/2010		1,600		26
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.095	%	10/15/2011		6,900		67
UBS Warburg LLC	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	Receive	2.275	%	10/15/2016		2,200		7
UBS Warburg LLC	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	2.350	%	10/15/2016		2,200		8
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	06/15/2009	GBP	16,000		(594	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		4,000		290
Credit Suisse First Boston	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		3,700		(169	)
Credit Suisse First Boston	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,500		112
Goldman Sachs & Co.	6-Month GBP-LIBOR	Receive	5.000	%	09/15/2015		3,400		327
HSBC Bank USA	6-Month GBP-LIBOR	Receive	4.250	%	06/12/2036		2,200		559
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		10,800		(474	)
Morgan Stanley	6-Month JPY-LIBOR	Pay	1.000	%	03/18/2009	JPY	2,500,000		(4	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009	$	28,900		(32	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		36,800		117
Barclays Bank PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		29,400		(185	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		10,300		21
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		78,200		157
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		44,100		(325	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		25,500		315
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		7,500		(8	)
Goldman Sachs & Co.	3-Month USD-LIBOR	Receive	5.000	%	06/20/2014		8,300		294
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		4,700		6
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		42,100		(329	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		124,900		(1,171	)
Morgan Stanley	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		2,900		(19	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		5,400		88
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		21,500		79
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		150,900		(1,000	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009		219,000		(59	)
								$	(1,969	)

(g) Purchased options outstanding on June 30, 2007:

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	4.750	%	03/31/2008	$	38,000	$	213	$	47
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		8,000		40		16
									$	253	$	63

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.353	06/26/2008	EUR	4,000	$	126	$	147
Put - OTC Euro versus U.S. dollar		1.353	06/26/2008		4,000		126		103
Call - OTC U.S. dollar versus Japanese yen	JPY	118.150	06/23/2008	$	17,700		466		458
Put - OTC U.S. dollar versus Japanese yen		118.150	06/23/2008		17,700		466		482
						$	1,184	$	1,190

Straddle Options

Description	Counterparty		Exercise Price(2)	Expiration Date		Notional Amount		Cost(2)		Value
Call & Put - OTC U.S. dollar versus Swiss franc Forward Delta Neutral Straddle	JPMorgan Chase & Co.	$	0.000	09/26/2007	$	4,400	$	0	$	7
Call & Put - OTC U.S. dollar versus Swiss franc Forward Delta Neutral Straddle	Royal Bank of Scotland Group PLC		0.000	09/26/2007		4,500		0		12
							$	0	$	19

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

(h) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	107.000	08/24/2007	21	$	4	$	6
Call - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/24/2007	20		3		1
Call - CBOT U.S. Treasury 30-Year Bond September Futures		109.000	08/24/2007	90		30		59
Put - CBOT U.S. Treasury 10-Year Note September Futures		103.000	08/24/2007	21		3		2
					$	40	$	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	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008	$	16,000	$	197	$	55
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		4,000		45		20
									$	242	$	75

(i) Restricted securities as of June 30, 2007:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Pylon Ltd.	5.648	%	12/18/2008	12/11/2003	$	3,886	$	4,373	0.51	%

(j) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(3)
Treasury Inflation Protected Securities	2.000	%	07/15/2014	$	53,479	$	51,069	$	51,364
Treasury Inflation Protected Securities	2.000	%	01/15/2016		161,220		152,416		153,148
U.S. Treasury Notes	3.625	%	05/15/2013		2,000		1,870		1,886
U.S. Treasury Notes	4.250	%	11/15/2013		35,700		34,344		34,595
U.S. Treasury Notes	4.500	%	02/15/2016		18,400		17,534		18,090
						$	257,233	$	259,083

⁽³⁾ Market value includes $618 of interest payable on short sales.

(k) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Sell	CAD	1,861	08/2007	$	0	$	(8	)	$	(8	)
Sell	CHF	891	09/2007		0		0			0
Sell	EUR	4,504	07/2007		0		(59	)		(59	)
Sell	GBP	4,982	08/2007		0		(52	)		(52	)
Sell	JPY	99,503	07/2007		12		0			12
				$	12	$	(119	)	$	(107	)

See accompanying notes

Schedule of Investments

Short-Term Portfolio

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.5%
OAO Rosneft Oil Co.
6.000% due 09/16/2007	$	25,000	$	25,035
Total Bank Loan Obligations (Cost $24,978)				25,035
CORPORATE BONDS & NOTES 19.6%
Banking & Finance 13.0%
ABX Financing Co.
5.750% due 10/15/2016		3,000		2,937
American Express Credit Corp.
5.380% due 04/06/2009		4,700		4,706
American Honda Finance Corp.
5.420% due 03/09/2009		3,000		3,004
BAE Systems Holdings, Inc.
6.400% due 12/15/2011		2,000		2,059
Bank of America Corp.
5.366% due 11/06/2009		1,000		1,000
5.616% due 10/14/2016		10,000		10,054
BHP Billiton Finance Ltd.
5.125% due 03/29/2012		3,000		2,942
CIT Group, Inc.
5.000% due 11/24/2008		10,700		10,634
5.430% due 02/21/2008		32,000		32,008
5.505% due 01/30/2009		6,600		6,592
5.510% due 08/15/2008		4,250		4,251
5.570% due 05/23/2008		700		701
CNA Financial Corp.
5.850% due 12/15/2014		3,000		2,944
Countrywide Financial Corp.
6.250% due 05/15/2016		5,000		4,919
DBS Bank Ltd.
5.580% due 05/16/2017		25,000		25,049
DnB NORBank ASA
5.425% due 10/13/2009		2,000		2,001
Export-Import Bank of Korea
5.450% due 06/01/2009		22,000		22,011
First Union National Bank of Florida
6.180% due 02/15/2036		600		620
General Electric Capital Corp.
5.385% due 10/26/2009		2,400		2,402
5.390% due 03/12/2010		50,000		50,052
5.455% due 10/21/2010		5,000		5,010
5.460% due 06/15/2009		8,000		8,022
Glitnir Banki HF
5.829% due 01/18/2012		2,000		2,013
Goldman Sachs Group, Inc.
5.450% due 06/23/2009		10,000		10,012
5.560% due 03/02/2010		2,000		2,008
5.685% due 07/23/2009		12,100		12,168
HSBC Finance Corp.
5.415% due 10/21/2009		2,600		2,602
5.440% due 03/12/2010		13,300		13,298
5.490% due 09/15/2008		2,400		2,405
5.606% due 01/15/2014		5,000		4,987
5.607% due 05/10/2010		5,050		5,074
5.790% due 06/01/2016		3,000		3,019
6.375% due 10/15/2011		6,000		6,171
International Lease Finance Corp.
5.625% due 09/20/2013		5,000		4,995
iStar Financial, Inc.
5.750% due 03/03/2008		5,000		5,009
5.950% due 10/15/2013		6,000		5,918
John Deere Capital Corp.
5.650% due 07/25/2011		2,000		2,012
JPMorgan Chase & Co.
5.370% due 06/26/2009		9,000		9,011
5.370% due 05/07/2010		40,000		40,027
Kaupthing Bank HF
6.125% due 10/04/2016		3,000		2,976
Landsbanki Islands HF
6.060% due 08/25/2009		3,000		3,033
Lehman Brothers Holdings, Inc.
5.570% due 12/23/2010		4,000		4,005
MBNA America Bank N.A.
4.625% due 08/03/2009		18,380		18,113
Metropolitan Life Global Funding I
5.400% due 05/17/2010		50,000		50,035
Morgan Stanley
5.360% due 11/21/2008		2,000		2,000
5.406% due 05/07/2009		12,700		12,707
5.467% due 02/09/2009		2,000		2,003
5.595% due 01/22/2009		2,000		2,001
5.809% due 10/18/2016		5,000		5,003
5.836% due 10/15/2015		3,000		3,008
National Australia Bank Ltd.
5.400% due 09/11/2009		15,000		15,021
ORIX Corp.
5.480% due 11/22/2011		5,000		4,934
Rabobank Nederland
5.350% due 04/06/2009		800		801
Residential Capital Corp.
6.000% due 02/22/2011		5,000		4,842
Residential Capital LLC
6.460% due 05/22/2009		20,000		19,917
Royal Bank of Scotland Group PLC
5.750% due 07/06/2012		5,800		5,800
Santander U.S. Debt S.A. Unipersonal
5.420% due 09/19/2008		15,000		15,015
5.420% due 11/20/2009		2,500		2,502
SLM Corp.
5.435% due 01/25/2008		62,550		62,262
5.585% due 10/25/2011		8,000		7,353
Textron Financial Corp.
4.600% due 05/03/2010		2,000		1,958
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		13,300		13,330
6.110% due 09/21/2007		4,700		4,705
Westpac Banking Corp.
5.280% due 06/06/2008		5,600		5,601
World Savings Bank FSB
5.396% due 05/08/2009		2,000		2,001
				605,573
Industrials 4.7%
Alcan, Inc.
5.000% due 06/01/2015		2,500		2,329
Amgen, Inc.
5.440% due 11/28/2008		25,000		25,015
AutoZone, Inc.
5.500% due 11/15/2015		2,500		2,399
5.875% due 10/15/2012		3,000		3,010
Avon Products, Inc.
5.125% due 01/15/2011		4,000		3,954
Boston Scientific Corp.
6.000% due 06/15/2011		2,500		2,491
Comcast Corp.
5.300% due 01/15/2014		5,000		4,826
5.656% due 07/14/2009		900		900
CVS Caremark Corp.
5.660% due 06/01/2010		25,000		25,025
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		26,000		26,059
5.750% due 09/08/2011		14,000		14,032
5.840% due 09/10/2007		21,600		21,618
EnCana Corp.
6.300% due 11/01/2011		2,500		2,561
Historic TW, Inc.
8.180% due 08/15/2007		3,900		3,913
HJ Heinz Co.
6.428% due 12/01/2008		6,800		6,870
JC Penney Corp., Inc.
7.375% due 08/15/2008		3,693		3,746
Johnson Controls, Inc.
5.250% due 01/15/2011		5,000		4,953
5.500% due 01/15/2016		3,000		2,910
Kellogg Co.
6.600% due 04/01/2011		2,000		2,069
Kerr-McGee Corp.
6.875% due 09/15/2011		4,000		4,161
Kraft Foods, Inc.
5.625% due 11/01/2011		3,000		2,979
Kroger Co.
5.500% due 02/01/2013		4,000		3,900
Lennar Corp.
5.950% due 10/17/2011		3,000		2,960
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		2,100		2,016
Northwest Airlines, Inc.
7.150% due 04/01/2021		14,996		15,962
Sealed Air Corp.
5.625% due 07/15/2013		5,000		4,932
Time Warner, Inc.
5.875% due 11/15/2016		5,000		4,872
Transocean, Inc.
5.560% due 09/05/2008		8,100		8,108
United AirLines, Inc.
6.636% due 07/02/2022		1,500		1,491
Viacom, Inc.
5.750% due 04/30/2011		3,000		2,998
Weatherford International Ltd.
4.950% due 10/15/2013		2,500		2,363
Wyeth
5.500% due 03/15/2013		2,500		2,477
				217,899
Utilities 1.9%
America Movil SAB de C.V.
5.460% due 06/27/2008		10,000		10,002
AT&T, Inc.
5.456% due 02/05/2010		10,600		10,619
BellSouth Corp.
5.460% due 08/15/2008		3,800		3,804
Consumers Energy Co.
5.000% due 02/15/2012		3,000		2,919
Dominion Resources, Inc.
5.200% due 01/15/2016		3,000		2,847
5.540% due 11/14/2008		2,800		2,804
5.660% due 09/28/2007		5,100		5,101
DPL, Inc.
6.875% due 09/01/2011		2,500		2,598
Entergy Gulf States, Inc.
3.600% due 06/01/2008		8,850		8,694
Exelon Corp.
6.750% due 05/01/2011		3,000		3,093
Florida Power Corp.
5.760% due 11/14/2008		3,400		3,406
Ohio Edison Co.
4.000% due 05/01/2008		6,325		6,249
Ohio Power Co.
5.530% due 04/05/2010		4,000		4,005
Progress Energy, Inc.
7.100% due 03/01/2011		3,348		3,511
TXU Electric Delivery Co.
5.735% due 09/16/2008		9,000		9,006
TXU Energy Co. LLC
5.860% due 09/16/2008		9,000		9,006
				87,664
Total Corporate Bonds & Notes (Cost $913,533)				911,136
U.S. GOVERNMENT AGENCIES 34.4%
Fannie Mae
3.000% due 01/25/2025		52		51
3.107% due 08/01/2033		754		715
3.289% due 04/01/2034		207		202
3.327% due 06/01/2034		355		349
3.335% due 05/01/2034		651		642
3.385% due 08/01/2033 (d)		10,521		10,321
3.399% due 04/01/2033		463		460
3.434% due 08/01/2033		60		59
3.457% due 08/01/2033		1,649		1,626
3.470% due 01/30/2009		500		487
3.496% due 08/01/2033		1,921		1,905
3.500% due 08/01/2010 - 01/01/2035		6,994		6,703
3.517% due 08/01/2033		1,259		1,248
3.543% due 09/01/2033		445		441
3.544% due 09/01/2033		465		461
3.545% due 04/01/2034		221		218
3.576% due 08/01/2033		356		352
3.580% due 06/01/2033		794		791
3.612% due 01/01/2034		1,255		1,239
3.630% due 07/01/2033		904		902
3.664% due 08/01/2033		88		87
3.750% due 01/01/2035		1,309		1,275
3.759% due 05/01/2033		99		99
3.772% due 07/01/2034 - 10/01/2043		647		635
3.800% due 09/29/2009		2,000		1,943
3.858% due 08/01/2033		171		170
3.878% due 07/01/2033		228		229
3.889% due 11/01/2033		5,418		5,402
3.907% due 09/01/2033		548		536
3.912% due 07/01/2033		1,237		1,241
3.913% due 11/01/2033		4,632		4,588
3.937% due 05/01/2034		295		289
3.945% due 11/01/2033		863		838
3.951% due 02/01/2033		181		181
3.963% due 05/01/2034		1,104		1,082
3.964% due 07/01/2033		257		255
3.967% due 03/01/2034 - 04/01/2034		3,992		3,908
3.970% due 11/01/2033		906		886
3.974% due 03/01/2034		356		349
3.979% due 08/01/2034		1,012		989
3.985% due 06/01/2033		726		728
4.000% due 08/01/2010 - 12/01/2033		28,976		27,998
4.000% due 05/01/2013 - 04/01/2014 (d)		27,870		26,820
4.013% due 06/01/2033		698		695
4.016% due 06/01/2034		172		170
4.038% due 06/01/2033		2,373		2,381
4.040% due 03/01/2034		207		204
4.043% due 08/01/2033		4,526		4,542
4.058% due 04/01/2034		445		439
4.078% due 11/01/2034		124		122
4.089% due 02/01/2035		159		158
4.096% due 11/01/2034		464		455
4.101% due 03/01/2034		440		437
4.117% due 12/01/2034		253		250
4.125% due 07/01/2035		175		169
4.139% due 08/01/2035		1,932		1,914
4.140% due 05/01/2033		346		348
4.145% due 08/01/2033		731		721
4.155% due 09/01/2033		1,045		1,020
4.156% due 03/01/2034		1,286		1,266
4.158% due 03/01/2034		968		967
4.167% due 01/01/2035		213		209
4.168% due 04/01/2034		2,251		2,212
4.173% due 09/01/2033		350		350
4.180% due 03/01/2033		618		624
4.182% due 06/01/2034		936		925
4.188% due 11/01/2034		172		171
4.199% due 11/01/2033		803		784
4.202% due 07/01/2033		1,228		1,230
4.207% due 12/01/2034		339		334
4.216% due 05/01/2033		299		301
4.230% due 06/01/2033		1,270		1,265
4.239% due 03/01/2034 - 06/01/2034		2,603		2,591
4.241% due 05/01/2033		235		232
4.244% due 06/01/2034		2,810		2,767
4.246% due 04/01/2034		292		286
4.247% due 01/01/2034		423		419
4.250% due 04/25/2028 - 12/01/2033		2,484		2,456
4.251% due 03/01/2034		252		249
4.253% due 02/01/2034 - 07/01/2035		2,105		2,073
4.255% due 12/01/2034		184		182
4.266% due 07/01/2034		1,467		1,448
4.273% due 04/01/2034 - 03/01/2035		3,221		3,169
4.274% due 09/01/2034		990		975
4.277% due 03/01/2034		915		904
4.280% due 07/01/2034		827		815
4.293% due 12/01/2033		932		929
4.297% due 04/01/2034		558		551
4.300% due 03/01/2033		84		82
4.308% due 05/01/2034		3,850		3,804
4.314% due 06/01/2034		232		229
4.319% due 01/01/2034		665		667
4.327% due 10/01/2033		86		85
4.330% due 01/01/2035		889		877
4.332% due 05/01/2034 - 11/01/2034		661		652
4.334% due 03/01/2035		3,347		3,295
4.339% due 07/01/2034		474		468
4.340% due 11/01/2034		2,581		2,557
4.346% due 09/01/2033		1,092		1,077
4.358% due 04/01/2033		214		211
4.359% due 04/01/2033 - 03/01/2035		1,397		1,369
4.361% due 12/01/2034		283		279
4.370% due 11/01/2034		320		317
4.373% due 04/01/2034		2,619		2,595
4.378% due 03/01/2033		193		191
4.381% due 03/01/2034		1,308		1,285
4.386% due 09/01/2032		435		432
4.387% due 02/01/2034		131		130
4.392% due 04/01/2033		336		338
4.396% due 09/01/2035		3,083		3,030
4.408% due 08/01/2033		2,487		2,502
4.423% due 08/01/2033		1,914		1,920
4.427% due 04/01/2034		249		248
4.436% due 09/01/2033		1,456		1,434
4.440% due 01/01/2035		280		276
4.451% due 07/01/2034		2,320		2,295
4.470% due 01/01/2035		994		980
4.475% due 04/01/2034 - 10/01/2034		514		509
4.491% due 07/01/2035		1,123		1,119
4.498% due 06/01/2033 - 11/01/2033		2,178		2,155
4.500% due 11/01/2009 - 08/01/2035		75,167		73,513
4.500% due 06/01/2013 - 01/25/2025 (d)		53,745		52,776
4.505% due 04/01/2033		3,188		3,149
4.506% due 12/01/2034		230		226
4.516% due 09/01/2019		1,284		1,267
4.531% due 11/01/2034		146		144
4.535% due 04/01/2034		2,500		2,467
4.539% due 09/01/2034		1,390		1,377
4.543% due 08/01/2033		1,300		1,281
4.544% due 07/01/2035		6,273		6,206
4.550% due 01/01/2034		1,604		1,613
4.554% due 11/01/2033		394		392
4.556% due 01/01/2033		209		211
4.559% due 08/01/2034		935		927
4.562% due 03/01/2035		3,406		3,356
4.566% due 08/01/2034		3,915		3,902
4.573% due 08/01/2034		3,328		3,325
4.574% due 04/01/2035 - 05/01/2035		3,206		3,202
4.578% due 05/01/2033		2,270		2,246
4.583% due 02/01/2035		364		359
4.585% due 09/01/2034		937		928
4.588% due 03/01/2035		3,297		3,261
4.589% due 10/01/2036		2,560		2,518
4.593% due 06/01/2033 - 07/01/2034		714		698
4.600% due 10/01/2033		2,267		2,234
4.608% due 01/01/2035		6,650		6,564
4.613% due 06/01/2035		630		623
4.621% due 09/01/2035		815		804
4.637% due 01/01/2035		1,969		1,946
4.648% due 03/01/2033		1,935		1,916
4.649% due 10/01/2034		131		130
4.650% due 02/01/2033 - 06/01/2035		472		467
4.651% due 07/01/2033		87		85
4.656% due 07/01/2035		1,907		1,884
4.659% due 07/01/2035		65		64
4.663% due 08/01/2035		3,594		3,535
4.677% due 11/01/2033		1,965		1,959
4.679% due 10/01/2034		7,775		7,702
4.682% due 02/01/2035		2,996		2,958
4.685% due 02/01/2033		139		140
4.689% due 04/01/2033		855		845
4.691% due 08/01/2035		371		375
4.693% due 10/01/2035		627		618
4.702% due 04/01/2033		1,841		1,816
4.704% due 07/01/2035		527		522
4.707% due 07/01/2035 - 10/01/2035		4,436		4,384
4.714% due 10/01/2033		637		629
4.721% due 07/01/2034		1,431		1,425
4.723% due 08/01/2035		1,387		1,399
4.731% due 10/01/2034		1,516		1,505
4.734% due 09/01/2035		2,428		2,411
4.738% due 03/01/2035		1,525		1,509
4.743% due 09/01/2032		625		632
4.748% due 02/01/2033		650		643
4.750% due 03/25/2022 - 07/01/2034		1,922		1,907
4.757% due 09/01/2034		61		60
4.766% due 11/01/2034		869		861
4.769% due 03/01/2035		1,364		1,338
4.770% due 01/01/2033		129		128
4.775% due 07/01/2035		326		323
4.777% due 11/01/2032		1,773		1,758
4.781% due 12/01/2032		494		492
4.787% due 09/01/2035		3,316		3,343
4.796% due 01/01/2033		236		234
4.799% due 02/01/2035		93		92
4.800% due 07/01/2035		368		365
4.801% due 02/01/2035		339		334
4.809% due 07/01/2034		67		66
4.815% due 11/01/2034		2,848		2,823
4.829% due 01/01/2033 - 02/01/2035		683		677
4.830% due 11/01/2043		807		795
4.832% due 09/01/2034		2,379		2,357
4.844% due 01/01/2036		98		98
4.847% due 01/01/2035		1,012		1,000
4.848% due 10/01/2034		1,960		1,949
4.850% due 02/01/2013 - 03/01/2035		2,571		2,549
4.858% due 01/01/2035		255		254
4.863% due 11/01/2032		655		651
4.864% due 10/01/2034		3,673		3,657
4.865% due 11/01/2032 - 02/01/2035		704		696
4.874% due 04/01/2035 - 07/01/2036		2,618		2,558
4.882% due 05/01/2035 - 10/01/2035		9,852		9,766
4.899% due 02/01/2034		681		684
4.900% due 04/01/2035		299		296
4.903% due 12/01/2035		733		728
4.904% due 05/01/2033		2,529		2,497
4.914% due 02/01/2035		233		232
4.928% due 03/01/2035		1,832		1,819
4.932% due 06/01/2034		1,146		1,140
4.933% due 01/01/2033		2,823		2,812
4.934% due 10/01/2012		95		94
4.943% due 02/01/2034		484		478
4.944% due 09/01/2035		5,638		5,617
4.950% due 12/01/2034		483		477
4.954% due 05/01/2035		510		510
4.984% due 09/01/2034		2,732		2,691
4.993% due 01/01/2036		4,714		4,672
5.000% due 02/01/2009 - 01/01/2035		36,689		36,263
5.000% due 10/25/2015 - 12/25/2016 (d)		40,927		40,487
5.013% due 12/01/2035		276		273
5.035% due 02/01/2033		165		164
5.037% due 05/01/2035		4,767		4,728
5.038% due 07/01/2035		2,918		2,900
5.044% due 01/01/2036		222		223
5.045% due 07/01/2035		240		239
5.052% due 12/01/2035		806		806
5.060% due 03/25/2022		34		34
5.075% due 09/01/2035		1,691		1,693
5.078% due 03/01/2036		407		404
5.079% due 07/01/2036		1,448		1,442
5.081% due 11/01/2035		3,971		3,971
5.097% due 03/01/2036		1,286		1,261
5.099% due 10/01/2033		2,873		2,805
5.106% due 01/01/2035		3,977		3,981
5.109% due 06/01/2035		2,329		2,313
5.120% due 12/01/2035		1,049		1,048
5.133% due 03/01/2036		1,077		1,076
5.136% due 01/01/2036 (d)		10,804		10,756
5.139% due 05/01/2035		783		785
5.153% due 07/01/2036 (d)		15,986		15,863
5.160% due 10/25/2021		104		104
5.165% due 03/01/2033		306		302
5.184% due 12/01/2035		923		915
5.196% due 05/01/2037		1,385		1,371
5.205% due 02/01/2036		1,161		1,153
5.208% due 05/01/2036		130		129
5.213% due 12/01/2018		61		61
5.215% due 09/01/2035		1,037		1,031
5.226% due 09/01/2034		3,360		3,345
5.227% due 08/01/2032		495		493
5.246% due 04/01/2033		2,013		2,024
5.253% due 01/01/2037		65		64
5.276% due 02/01/2036		177		177
5.306% due 06/01/2035		2,973		2,929
5.314% due 05/01/2035		876		863
5.325% due 11/01/2036		1,160		1,163
5.351% due 05/01/2036		779		773
5.378% due 02/01/2036		143		142
5.380% due 12/25/2036		1,727		1,722
5.383% due 05/01/2036		2,488		2,478
5.387% due 12/01/2035		988		983
5.398% due 10/01/2035 (d)		11,177		11,206
5.420% due 11/01/2036		523		522
5.424% due 04/25/2023		81		81
5.440% due 03/25/2034		664		665
5.465% due 01/01/2036		294		291
5.481% due 11/01/2031		426		428
5.495% due 10/01/2032		371		371
5.496% due 03/25/2027		577		570
5.500% due 02/01/2009 - 02/01/2036		11,890		11,852
5.500% due 01/25/2024 (d)		22,761		22,711
5.512% due 03/25/2027		1,493		1,463
5.523% due 04/01/2036		81		80
5.526% due 12/01/2032		562		556
5.590% due 05/01/2032		394		396
5.608% due 12/01/2036		2,268		2,264
5.619% due 08/01/2046		1,192		1,204
5.620% due 03/25/2018 - 01/25/2034		1,642		1,651
5.625% due 10/01/2024		62		63
5.626% due 10/01/2036		5,007		5,003
5.640% due 04/01/2036		4,556		4,566
5.641% due 04/01/2037		6,391		6,367
5.642% due 05/01/2036		2,090		2,108
5.647% due 01/01/2036		73		73
5.652% due 05/01/2036		258		260
5.659% due 05/01/2036		515		519
5.670% due 05/25/2042 - 02/25/2044		1,332		1,332
5.720% due 08/25/2017 - 12/25/2033		1,601		1,609
5.750% due 08/25/2023		2,837		2,833
5.770% due 02/25/2033		1,107		1,115
5.794% due 09/17/2027		217		220
5.800% due 06/01/2032		168		170
5.820% due 08/25/2031 - 01/25/2033		7,313		7,424
5.820% due 09/25/2034 (d)		10,426		10,482
5.844% due 12/25/2013		88		89
5.853% due 09/01/2017		82		83
5.870% due 12/25/2030 - 12/18/2031		1,820		1,848
5.901% due 05/01/2036		1,407		1,417
5.944% due 03/25/2008 - 12/25/2023		347		352
5.950% due 02/25/2044		4,705		4,694
5.970% due 09/25/2023 - 11/25/2031		876		893
5.977% due 07/01/2036		61		62
5.994% due 10/25/2022		191		194
6.000% due 09/25/2014 - 08/25/2044		5,168		5,194
6.020% due 04/25/2032		1,500		1,514
6.041% due 09/01/2035		6,331		6,399
6.044% due 09/25/2022		60		61
6.094% due 05/25/2022		264		268
6.095% due 07/01/2029		70		71
6.100% due 02/25/2009		180		181
6.111% due 03/01/2037		1,119		1,125
6.144% due 12/25/2008 - 09/25/2020		370		375
6.145% due 01/01/2019		506		509
6.162% due 04/01/2040		2,151		2,205
6.174% due 01/25/2022		245		249
6.192% due 09/01/2036		87		88
6.214% due 07/01/2042 - 07/01/2044		4,767		4,827
6.250% due 05/25/2042		127		128
6.264% due 09/01/2041		143		144
6.268% due 08/25/2042		137		140
6.344% due 12/25/2023		722		733
6.414% due 09/01/2040		77		79
6.494% due 09/25/2023 - 10/25/2023		342		354
6.500% due 11/01/2008 - 01/25/2044		5,310		5,378
6.513% due 02/01/2037		868		883
6.527% due 05/25/2030		71		71
6.544% due 05/25/2022		273		278
6.677% due 11/01/2014		44		44
6.761% due 07/01/2035 (d)		47,485		49,066
6.957% due 11/01/2035		1,090		1,126
6.973% due 11/01/2035		433		448
7.000% due 12/01/2009 - 02/25/2044		2,063		2,118
7.171% due 07/01/2018		82		82
7.243% due 04/01/2024		46		47
7.269% due 11/01/2025		194		195
7.287% due 12/01/2040		401		406
7.376% due 06/01/2030		150		153
7.497% due 09/01/2029		423		427
7.500% due 12/01/2014 - 05/25/2042		760		785
7.775% due 05/01/2030		28		29
8.000% due 08/25/2022 - 10/01/2026		453		477
9.000% due 04/01/2020 - 01/01/2026		305		329
9.500% due 07/01/2021 - 06/01/2025		222		242
Federal Home Loan Bank
3.375% due 05/27/2008		2,500		2,458
4.050% due 02/09/2010		2,000		1,946
4.090% due 07/22/2011		1,000		958
4.100% due 11/19/2008		500		493
Freddie Mac
2.500% due 04/15/2013		1,095		1,075
3.000% due 05/15/2022		100		98
3.500% due 05/01/2008 - 03/15/2022		2,524		2,470
3.634% due 10/01/2033		706		690
3.858% due 07/01/2033		2,078		2,067
3.870% due 12/15/2013		135		134
3.894% due 08/01/2033		240		239
3.899% due 05/01/2034		1,704		1,667
3.921% due 06/01/2033		105		104
3.954% due 04/01/2034		2,294		2,236
3.963% due 03/01/2034		912		890
4.000% due 05/01/2008 - 10/15/2026		53,407		51,879
4.000% due 11/01/2013 - 01/01/2020 (d)		23,263		22,039
4.010% due 04/01/2034		767		749
4.014% due 03/01/2034		2,548		2,494
4.068% due 04/01/2034		1,747		1,711
4.080% due 01/01/2035		111		109
4.110% due 11/01/2033		244		241
4.125% due 01/01/2035		183		180
4.127% due 10/01/2033 (d)		34,908		34,656
4.144% due 04/01/2034		540		528
4.171% due 01/01/2034		844		834
4.189% due 10/01/2034		1,259		1,239
4.197% due 07/01/2034		587		577
4.198% due 02/01/2034		1,052		1,040
4.215% due 07/01/2033		423		418
4.218% due 03/01/2034		3,122		3,062
4.239% due 03/01/2034		461		452
4.250% due 11/15/2020 - 09/15/2024		10,544		10,338
4.256% due 12/01/2033		437		432
4.277% due 10/01/2033		451		450
4.278% due 01/01/2034		203		201
4.296% due 12/01/2033 - 12/01/2034		964		958
4.300% due 11/01/2034		3,453		3,395
4.313% due 10/01/2033		1,476		1,483
4.316% due 03/01/2035		318		313
4.326% due 11/01/2033		497		492
4.335% due 11/01/2034		1,203		1,182
4.344% due 12/01/2034		126		124
4.367% due 09/01/2035		196		194
4.377% due 01/01/2035		781		768
4.426% due 12/01/2033		701		692
4.455% due 11/01/2034		1,416		1,401
4.470% due 01/01/2035		1,123		1,106
4.493% due 03/01/2035		1,160		1,145
4.500% due 01/01/2008 - 08/01/2035		106,401		104,182
4.500% due 03/01/2013 - 03/15/2026 (d)		81,234		79,671
4.501% due 12/01/2034		3,449		3,393
4.502% due 11/01/2034		496		492
4.537% due 03/01/2035		5,018		4,950
4.538% due 09/01/2034		256		252
4.551% due 12/01/2034		109		107
4.575% due 11/01/2034		1,718		1,694
4.605% due 01/01/2035		106		105
4.643% due 03/01/2035		1,179		1,165
4.750% due 12/15/2016 - 01/15/2031		5,241		5,203
4.770% due 10/01/2034		2,602		2,582
4.774% due 10/15/2013		163		161
4.781% due 09/01/2034		3,032		3,019
4.805% due 02/01/2035		3,536		3,464
4.814% due 05/01/2035		5,451		5,387
4.831% due 07/01/2035		1,304		1,293
4.834% due 03/01/2035		739		736
4.840% due 01/01/2035		990		978
4.855% due 09/01/2035		152		151
4.893% due 08/01/2036		8,125		8,034
4.895% due 07/01/2035		1,562		1,531
4.917% due 07/01/2035		73		72
4.931% due 07/01/2033 - 04/01/2034		135		134
4.933% due 12/01/2032		265		263
4.936% due 12/01/2034		3,324		3,281
4.975% due 04/01/2035		1,407		1,394
4.987% due 03/01/2035		82		82
4.988% due 08/01/2034		1,381		1,378
4.991% due 05/01/2035		1,573		1,557
5.000% due 09/01/2007 - 11/15/2029		69,482		68,904
5.000% due 04/01/2013 - 10/15/2025 (d)		69,666		69,034
5.005% due 05/01/2033		59		58
5.008% due 06/01/2035		164		163
5.021% due 01/01/2036		166		162
5.031% due 12/01/2035		137		135
5.042% due 05/01/2035		1,141		1,130
5.125% due 09/01/2034		447		446
5.147% due 03/01/2035		1,357		1,348
5.177% due 08/01/2015		86		86
5.185% due 11/01/2033		3,894		3,813
5.190% due 11/01/2033		4,641		4,547
5.204% due 11/01/2035		4,175		4,146
5.237% due 03/01/2036		2,408		2,384
5.238% due 02/01/2036		119		117
5.254% due 09/01/2035		989		990
5.286% due 02/01/2036		123		122
5.289% due 02/01/2036 - 02/01/2037		2,626		2,609
5.300% due 10/01/2035		2,307		2,313
5.301% due 09/01/2035		342		339
5.305% due 02/01/2037		158		157
5.324% due 05/15/2008		47		47
5.349% due 02/01/2036		228		227
5.356% due 12/01/2036		1,060		1,053
5.362% due 12/01/2035		5,254		5,241
5.376% due 01/01/2037		4,155		4,134
5.410% due 02/01/2036		330		329
5.440% due 10/01/2036 (d)		8,616		8,617
5.470% due 09/25/2035		7,958		7,951
5.500% due 08/01/2009 - 10/15/2032		14,531		14,510
5.500% due 11/01/2013 - 12/01/2013 (d)		42,410		42,132
5.509% due 08/01/2036		923		919
5.549% due 02/01/2019		156		158
5.550% due 11/15/2027		114		113
5.570% due 11/01/2036		2,300		2,300
5.580% due 08/25/2031		1,204		1,209
5.600% due 09/25/2031		1,380		1,381
5.621% due 12/01/2035		1,202		1,200
5.642% due 01/01/2030		210		211
5.670% due 06/15/2018 - 05/01/2037		15,019		15,022
5.690% due 04/01/2037		3,093		3,104
5.699% due 03/01/2036		151		149
5.700% due 02/01/2037		4,049		4,059
5.720% due 11/15/2032 - 05/25/2043		3,632		3,654
5.738% due 02/01/2036		4,354		4,351
5.758% due 11/01/2035		37		37
5.814% due 04/01/2036		563		567
5.820% due 01/15/2032		100		101
5.821% due 01/01/2037		127		127
5.822% due 11/01/2036		145		145
5.825% due 03/15/2024 - 04/01/2032		950		958
5.862% due 04/01/2032		1,144		1,150
5.870% due 04/15/2028 - 03/15/2032		2,142		2,170
5.875% due 05/15/2023 - 10/15/2026		715		724
5.885% due 07/01/2036		66		66
5.920% due 06/15/2029 - 12/15/2031		2,203		2,232
5.960% due 11/01/2036		124		124
5.975% due 08/15/2022 - 03/15/2023		863		868
6.000% due 11/15/2008 - 10/01/2033		16,447		16,528
6.040% due 07/01/2019		18		18
6.075% due 04/15/2022		171		171
6.227% due 10/25/2044 - 02/25/2045		1,367		1,377
6.250% due 12/15/2023 - 03/15/2028		2,881		2,894
6.270% due 03/15/2029		1,193		1,230
6.427% due 07/25/2044		8,319		8,390
6.500% due 05/15/2012		162		164
7.000% due 06/01/2017 - 07/15/2027		204		209
7.073% due 09/01/2034		154		154
7.141% due 03/01/2030		417		422
7.376% due 08/01/2023		27		28
7.377% due 11/01/2031		341		343
Ginnie Mae
4.000% due 09/16/2025		385		381
4.500% due 08/16/2028 - 08/20/2035		3,500		3,436
4.750% due 07/20/2026		43		43
5.000% due 05/20/2030		3,650		3,611
5.125% due 10/20/2029		2,498		2,529
5.250% due 01/20/2030		38		38
5.375% due 02/20/2025 - 01/20/2027		1,173		1,185
5.500% due 09/20/2029 - 07/20/2031		2,653		2,678
5.520% due 01/16/2031		54		54
5.670% due 06/20/2032		185		186
5.720% due 06/20/2030 - 02/16/2032		1,230		1,231
5.770% due 03/16/2031		363		367
5.820% due 04/16/2030 - 04/16/2032		424		428
6.000% due 10/20/2012 - 03/20/2032		1,629		1,631
6.500% due 07/20/2017		446		448
8.000% due 06/20/2025		3		3
8.500% due 12/20/2026 - 11/20/2027		62		66
Small Business Administration
5.090% due 10/01/2025		3,320		3,205
5.610% due 11/25/2027		9,935		9,916
5.625% due 01/25/2032		12,919		12,898
6.100% due 02/10/2009		84		85
Total U.S. Government Agencies (Cost $1,604,576)				1,603,623
MORTGAGE-BACKED SECURITIES 39.1%
ABN AMRO Mortgage Corp.
5.000% due 02/25/2018		2,839		2,830
5.000% due 07/25/2018		1,891		1,858
Adjustable Rate Mortgage Trust
4.588% due 05/25/2035		1,485		1,463
4.723% due 01/25/2036		4,530		4,500
5.570% due 10/25/2035		60		60
5.690% due 01/25/2035		2,985		2,997
5.690% due 02/25/2035		3,480		3,492
American Home Mortgage Investment Trust
4.290% due 10/25/2034		574		563
4.390% due 02/25/2045		1,509		1,478
Arkle Master Issuer PLC
5.300% due 11/19/2007		2,000		2,001
Banc of America Alternative Loan Trust
5.000% due 06/25/2019		2,107		2,083
Banc of America Commercial Mortgage, Inc.
5.634% due 07/10/2046		25,000		24,561
Banc of America Funding Corp.
4.106% due 03/20/2035		270		267
4.113% due 05/25/2035		2,982		2,921
4.461% due 11/20/2034		6,882		6,760
Banc of America Mortgage Securities, Inc.
3.706% due 04/25/2034		1,324		1,299
3.983% due 02/25/2033		2,548		2,566
4.144% due 07/25/2034		8,000		7,809
4.500% due 02/25/2018		2,255		2,227
5.000% due 12/25/2018		385		378
5.000% due 05/25/2035		19,431		19,335
5.250% due 03/25/2034		481		478
5.271% due 10/25/2035		311		300
5.500% due 04/25/2033		965		961
5.720% due 03/25/2034		303		303
6.500% due 09/25/2033		1,184		1,185
Bank of America-First Union NB Commercial Mortgage
4.890% due 04/11/2037		3,055		3,030
Bear Stearns Adjustable Rate Mortgage Trust
3.999% due 07/25/2034		580		567
4.478% due 11/25/2034		4,730		4,761
4.622% due 01/25/2034		1,912		1,918
4.625% due 10/25/2035		7,229		7,112
4.750% due 10/25/2035		17,604		17,409
4.773% due 01/25/2034		1,377		1,371
4.802% due 10/25/2034		10,821		10,624
4.948% due 10/25/2033		64		64
5.044% due 04/25/2033		14		14
5.329% due 02/25/2033		28		28
5.448% due 04/25/2033		232		228
5.626% due 02/25/2033		85		84
Bear Stearns Alt-A Trust
4.939% due 11/25/2034		13,802		13,660
5.377% due 05/25/2035		269		267
5.480% due 02/25/2034		2,324		2,325
5.520% due 02/25/2034		9,476		9,490
5.818% due 11/25/2036		1,173		1,172
5.959% due 02/25/2036 (d)		47,255		47,406
Bear Stearns Commercial Mortgage Securities
3.970% due 11/11/2035 (d)		31,675		31,012
6.020% due 02/14/2031		29,050		29,223
6.440% due 06/16/2030		7,100		7,141
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		2,764		2,765
CC Mortgage Funding Corp.
5.500% due 07/25/2036		557		557
Chase Mortgage Finance Corp.
4.359% due 02/25/2037		13,970		13,792
5.000% due 04/25/2018		674		668
5.241% due 12/25/2035		3,689		3,661
5.250% due 01/25/2034		3,419		3,372
Citicorp Mortgage Securities, Inc.
5.000% due 04/25/2018		5,116		5,080
5.000% due 02/25/2035		200		177
5.500% due 09/25/2035		1,377		1,365
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		2,437		2,440
5.431% due 10/15/2049		24,250		23,491
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		17,000		16,318
5.617% due 10/15/2048		15,000		14,741
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		20,549		19,723
6.455% due 05/15/2032		3,469		3,493
Countrywide Alternative Loan Trust
5.158% due 07/25/2034		530		528
5.500% due 02/25/2034		283		281
5.500% due 02/20/2047		17,132		17,110
5.500% due 05/25/2047		2,483		2,490
5.509% due 06/25/2037		9,825		9,785
5.510% due 08/25/2046		855		855
5.520% due 06/25/2037		1,905		1,911
5.530% due 03/20/2046		1,578		1,577
5.580% due 12/25/2035		347		347
5.600% due 12/25/2035		1,048		1,050
5.620% due 08/25/2035		1,970		1,973
5.620% due 12/25/2035		2,910		2,932
5.640% due 11/25/2035		18,553		18,620
5.670% due 09/25/2035		6,912		6,929
6.029% due 02/25/2036		1,204		1,212
6.185% due 08/25/2036		1,655		1,659
6.339% due 07/20/2035		1,217		1,220
6.500% due 06/25/2033		29		29
Countrywide Home Loan Mortgage Pass-Through Trust
3.775% due 10/25/2033		5,000		4,922
4.396% due 06/20/2035		1,172		1,148
4.500% due 10/25/2018		90		79
4.500% due 01/25/2033		1,556		1,549
4.709% due 08/25/2034		9,125		9,003
4.894% due 08/25/2034		12,649		12,651
5.000% due 02/25/2033		360		357
5.000% due 05/25/2034		3,667		3,604
5.250% due 02/20/2036		146		145
5.500% due 04/25/2033		7,004		6,971
5.500% due 01/25/2034		173		172
5.500% due 10/25/2035		3,630		3,616
5.500% due 11/25/2035		5,075		5,062
5.550% due 05/25/2035		478		479
5.590% due 05/25/2034		104		104
5.590% due 02/25/2035		805		806
5.610% due 03/25/2035		3,273		3,285
5.620% due 03/25/2035		304		305
5.640% due 03/25/2035		16,927		16,985
5.660% due 06/25/2035		7,499		7,487
5.850% due 05/25/2036		997		997
Credit Suisse Mortgage Capital Certificates
5.311% due 12/15/2039		25,000		23,983
5.467% due 09/15/2039		20,000		19,418
CS First Boston Mortgage Securities Corp.
4.106% due 12/15/2035		16,458		15,964
4.587% due 10/25/2033		8,654		8,458
5.164% due 03/25/2034		196		193
6.500% due 04/25/2033		428		429
6.890% due 06/25/2032		1		1
7.339% due 11/25/2032		50		49
CW Capital Cobalt Ltd.
5.223% due 08/15/2048		20,000		19,042
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		1,622		1,623
5.400% due 03/25/2037		10,421		10,429
5.420% due 10/25/2036		479		479
Downey Savings & Loan Association Mortgage Loan Trust
5.650% due 08/19/2045		7,133		7,172
First Horizon Alternative Mortgage Securities
5.293% due 07/25/2035		838		839
5.410% due 09/25/2035		210		209
First Horizon Asset Securities, Inc.
4.918% due 02/25/2035		1,553		1,539
5.000% due 03/25/2034		6,251		6,168
5.195% due 06/25/2033		6,814		6,739
5.590% due 02/25/2035		51		51
6.000% due 05/25/2036		1,764		1,766
First Republic Mortgage Loan Trust
5.620% due 08/15/2032		3,559		3,568
5.640% due 06/25/2030		1,149		1,150
5.670% due 11/15/2031		586		588
5.720% due 11/15/2032		812		817
GE Capital Commercial Mortgage Corp.
5.512% due 11/10/2045		11,000		10,706
GMAC Commercial Mortgage Securities, Inc.
5.238% due 11/10/2045		20,000		19,218
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		7,069		6,996
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		3,127		3,130
5.400% due 01/25/2047		1,928		1,929
5.550% due 06/25/2045		7,463		7,480
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		25,000		24,219
GS Mortgage Securities Corp. II
5.560% due 11/10/2039		20,000		19,576
6.370% due 03/06/2020		3,000		3,003
GSR Mortgage Loan Trust
3.935% due 06/25/2034		1,449		1,384
4.410% due 12/25/2034		22,825		22,039
4.500% due 08/25/2019		1,279		1,257
4.538% due 09/25/2035		27,236		26,811
4.603% due 03/25/2033		175		170
5.000% due 08/25/2019		804		793
5.018% due 05/25/2035		342		339
5.354% due 06/25/2034		202		203
5.670% due 01/25/2034		3,509		3,513
6.000% due 03/25/2032		80		79
GSRPM Mortgage Loan Trust
5.720% due 11/25/2031		1,420		1,422
Harborview Mortgage Loan Trust
3.943% due 06/19/2034		10,000		9,783
5.410% due 01/19/2038		9,693		9,706
5.450% due 04/19/2038		3,097		3,094
5.510% due 01/19/2038 (d)		43,571		43,646
5.510% due 02/19/2046		3,102		3,099
5.520% due 02/19/2046		163		163
5.540% due 05/19/2035		3,565		3,570
5.560% due 06/19/2035		977		978
5.560% due 01/19/2036		558		559
5.560% due 03/19/2037		5,777		5,789
5.570% due 01/19/2036		8,230		8,243
5.630% due 11/19/2035		1,086		1,090
5.650% due 09/19/2035		82		83
5.660% due 06/20/2035		328		329
Impac CMB Trust
6.220% due 10/25/2033		2,480		2,483
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		11,244		11,254
Indymac Index Mortgage Loan Trust
5.410% due 11/25/2046		1,554		1,554
5.420% due 01/25/2037		1,343		1,344
5.540% due 04/25/2046		2,696		2,700
5.710% due 05/25/2034		1,190		1,192
JPMorgan Chase Commercial Mortgage Securities Corp.
5.050% due 12/12/2034		10,000		9,726
5.336% due 05/15/2047		15,000		14,387
5.420% due 01/15/2049		19,000		18,354
5.429% due 12/12/2043		20,000		19,371
5.475% due 04/15/2043		20,000		19,491
5.552% due 05/12/2045		20,000		19,557
JPMorgan Mortgage Trust
4.489% due 06/25/2035		158		153
4.768% due 07/25/2035		4,689		4,628
4.834% due 12/25/2034		806		787
4.852% due 12/25/2034		247		244
4.950% due 11/25/2035		22,538		22,296
4.975% due 08/25/2035		6,296		6,244
5.008% due 07/25/2035		1,888		1,864
5.301% due 07/25/2035		13,980		13,876
LB-UBS Commercial Mortgage Trust
5.347% due 11/15/2038		20,000		19,265
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		2,202		2,204
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		16,318		15,852
4.667% due 07/25/2034		7,669		7,589
4.845% due 01/25/2036		265		261
MASTR Asset Securitization Trust
5.000% due 04/25/2018		7,419		7,362
5.000% due 05/25/2018		1,458		1,448
5.250% due 09/25/2033		496		490
5.500% due 09/25/2033		2,192		2,099
5.750% due 05/25/2036		11,076		11,060
Mellon Residential Funding Corp.
5.750% due 08/15/2032		776		778
5.760% due 12/15/2030		367		368
5.800% due 06/15/2030		814		814
Merrill Lynch Commercial Mortgage Trust
5.172% due 12/12/2049		20,000		19,001
5.414% due 07/12/2046		28,500		27,605
Merrill Lynch Floating Trust
5.390% due 06/15/2022		1,778		1,781
Merrill Lynch Mortgage Investors, Inc.
4.874% due 06/25/2035		3,590		3,550
5.430% due 08/25/2036		959		959
5.643% due 09/25/2033		181		184
Merrill Lynch Mortgage Trust
5.291% due 01/12/2044		20,000		19,304
MLCC Mortgage Investors, Inc.
5.638% due 03/25/2030		410		411
5.798% due 03/25/2028		3,121		3,129
Morgan Stanley Capital I
5.332% due 12/15/2043		20,000		19,227
5.373% due 11/14/2042		14,000		13,509
5.380% due 10/15/2020		5,468		5,476
5.720% due 12/18/2032		17,876		17,940
5.731% due 07/12/2044		25,000		24,780
Morgan Stanley Mortgage Loan Trust
4.384% due 07/25/2034		4,620		4,556
4.750% due 08/25/2034		982		973
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		208		206
Prime Mortgage Trust
5.720% due 02/25/2019		20		20
5.720% due 02/25/2034		45		45
RAAC Series 2005-SP1
5.250% due 09/25/2034		2,750		2,729
Residential Accredit Loans, Inc.
5.600% due 12/25/2045		4,721		4,725
5.620% due 08/25/2035		1,367		1,370
5.750% due 02/25/2033		1,378		1,379
Residential Asset Mortgage Products, Inc.
7.500% due 12/25/2031		2,962		3,035
Residential Asset Securitization Trust
3.750% due 10/25/2018		93		88
5.820% due 03/25/2033		1,127		1,131
Residential Funding Mortgage Securities I, Inc.
5.000% due 04/25/2018		204		201
6.500% due 03/25/2032		209		209
Sequoia Mortgage Trust
5.571% due 05/20/2034		1,694		1,695
5.620% due 12/20/2034		683		685
5.670% due 07/20/2033		4,998		5,023
5.681% due 10/20/2034		2,132		2,141
5.700% due 10/20/2027		642		643
5.770% due 12/20/2032		172		172
Structured Adjustable Rate Mortgage Loan Trust
4.960% due 07/25/2034		625		619
5.540% due 05/25/2037		24,270		24,312
5.560% due 03/25/2035		803		805
5.620% due 09/25/2034		667		669
Structured Asset Mortgage Investments, Inc.
5.420% due 09/25/2047		6,817		6,813
5.450% due 03/25/2037		780		780
5.490% due 03/25/2037		9,556		9,554
5.510% due 03/25/2037		8,526		8,524
5.540% due 05/25/2036		10,102		10,122
5.550% due 02/25/2036		2,701		2,709
5.630% due 12/25/2035		1,205		1,208
5.650% due 09/19/2032		1,382		1,384
5.670% due 03/19/2034		1,203		1,206
7.108% due 02/19/2035		2,621		2,625
Structured Asset Securities Corp.
4.751% due 11/25/2033		444		440
5.329% due 10/25/2035		1,474		1,472
5.450% due 03/25/2033		3,293		3,236
6.150% due 07/25/2032		2		2
6.846% due 05/25/2032		155		155
TBW Mortgage-Backed Pass-Through Certificates
5.420% due 09/25/2036		2,062		2,063
Thornburg Mortgage Securities Trust
5.420% due 03/25/2037		19,273		19,260
5.430% due 04/25/2036		1,806		1,808
5.430% due 12/25/2036		3,002		3,002
5.440% due 04/25/2036		2,000		1,998
5.440% due 08/25/2036		4,368		4,366
5.470% due 12/25/2036		4,514		4,518
5.660% due 06/25/2044		1,105		1,106
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		8,468		8,472
5.416% due 01/15/2045		25,000		24,267
5.572% due 10/15/2048		25,000		24,480
Washington Mutual MSC Mortgage Pass-Through Certificates
5.407% due 02/25/2033		436		435
6.866% due 02/25/2033		304		304
6.909% due 02/25/2031		62		62
Washington Mutual, Inc.
3.695% due 06/25/2033		5,300		5,234
3.927% due 04/25/2033		1,514		1,501
4.043% due 02/25/2034		375		370
4.058% due 10/25/2033		17,000		16,757
4.158% due 02/25/2033		400		399
4.189% due 08/25/2033		4,183		4,092
4.229% due 03/25/2034		4,007		3,957
4.380% due 12/25/2032		777		773
4.585% due 04/25/2035		100		98
4.638% due 03/25/2035		860		846
4.672% due 04/25/2035		1,500		1,470
4.676% due 05/25/2035		2,213		2,189
4.816% due 10/25/2032		104		104
4.836% due 10/25/2035		8,427		8,250
4.919% due 08/25/2035		5,153		5,103
5.094% due 10/25/2032		337		336
5.109% due 12/25/2035		2,396		2,372
5.500% due 06/25/2034		836		828
5.500% due 07/25/2034		616		613
5.540% due 08/25/2046		7,879		7,912
5.550% due 04/25/2045		594		595
5.560% due 06/25/2046		5,000		5,006
5.580% due 11/25/2045		3,031		3,043
5.590% due 12/25/2045		7,287		7,310
5.610% due 07/25/2045		8,680		8,699
5.610% due 10/25/2045		10,877		10,903
5.610% due 12/25/2045		88		89
5.630% due 01/25/2045		11,477		11,503
5.640% due 08/25/2045		433		434
5.660% due 01/25/2045		6,192		6,211
5.710% due 12/25/2045		2,936		2,940
5.724% due 08/25/2046		7,274		7,310
5.735% due 11/25/2034		347		348
5.745% due 11/25/2034		9,073		9,112
5.839% due 12/25/2046		2,945		2,947
5.860% due 12/25/2027		6,130		6,133
6.229% due 11/25/2042		1,194		1,195
6.429% due 06/25/2042		1,240		1,240
6.429% due 08/25/2042		111		111
6.529% due 09/25/2046		762		765
6.529% due 11/25/2046		1,614		1,621
Wells Fargo Mortgage-Backed Securities Trust
3.539% due 09/25/2034		1,100		1,071
4.054% due 11/25/2034		14,726		14,457
4.099% due 08/25/2034		133		133
4.110% due 06/25/2035		111		110
4.360% due 09/25/2034		757		744
4.498% due 01/25/2035		700		693
4.500% due 08/25/2018		11,250		11,070
4.500% due 11/25/2018		9,209		8,946
4.541% due 02/25/2035		553		542
4.545% due 03/25/2035		3,783		3,724
4.561% due 11/25/2034		500		490
4.561% due 11/25/2034 (d)		32,907		32,359
4.656% due 09/25/2033		21,473		21,041
4.733% due 07/25/2034		19,973		19,646
4.750% due 10/25/2018		11,986		11,806
4.950% due 03/25/2036		6,539		6,452
4.977% due 10/25/2035		4,347		4,372
4.999% due 10/25/2035		368		362
5.000% due 07/25/2019		104		100
5.089% due 03/25/2036		11,039		10,943
5.240% due 04/25/2036		306		304
6.000% due 09/25/2036		899		901
Total Mortgage-Backed Securities (Cost $1,842,601)				1,823,270
ASSET-BACKED SECURITIES 21.2%
Accredited Mortgage Loan Trust
5.440% due 04/25/2036		1,500		1,501
5.480% due 09/25/2035		2,738		2,740
ACE Securities Corp.
5.400% due 02/25/2036		972		973
5.410% due 06/25/2037		8,594		8,597
5.430% due 10/25/2035		999		1,000
AFC Home Equity Loan Trust
6.030% due 12/22/2027		54		54
American Express Credit Account Master Trust
5.820% due 02/15/2012		2,273		2,279
Ameriquest Mortgage Securities, Inc.
5.460% due 03/25/2036		1,557		1,558
5.550% due 11/25/2035		1,625		1,627
Amortizing Residential Collateral Trust
5.610% due 07/25/2032		56		56
5.670% due 10/25/2031		661		661
Argent Securities, Inc.
5.400% due 01/25/2036		420		420
5.400% due 03/25/2036		2,057		2,058
5.410% due 07/25/2036		6,500		6,498
Asset-Backed Funding Certificates
5.670% due 06/25/2034		1,044		1,047
Asset-Backed Securities Corp. Home Equity
5.370% due 12/25/2036		45		45
5.400% due 05/25/2037		3,875		3,878
Bear Stearns Asset-Backed Securities, Inc.
5.225% due 10/25/2036		9,217		9,137
5.400% due 04/25/2036		6,177		6,180
5.400% due 10/25/2036		1,646		1,647
5.410% due 04/25/2036		1,400		1,400
5.410% due 06/25/2047		7,288		7,293
5.440% due 11/25/2035		1,980		1,981
5.495% due 10/25/2036		5,891		5,837
5.520% due 06/25/2036		18,688		18,710
5.650% due 10/25/2032		672		673
5.650% due 01/25/2036		1,589		1,591
5.749% due 10/25/2036		9,240		9,170
5.770% due 03/25/2043		1,639		1,643
5.810% due 06/25/2036		1,900		1,903
6.250% due 12/25/2036		10,486		10,496
6.250% due 02/25/2037		20,276		20,302
Bear Stearns Cos., Inc.
6.120% due 12/25/2036		21,100		21,183
Bear Stearns Second Lien Trust
5.540% due 12/25/2036		22,091		22,108
7.820% due 12/25/2036		2,450		893
BNC Mortgage Loan Trust
5.420% due 05/25/2037		1,894		1,895
Carrington Mortgage Loan Trust
5.550% due 05/25/2035		1,766		1,767
5.640% due 10/25/2035		4,103		4,115
Chase Credit Card Master Trust
6.120% due 02/15/2011		5,000		5,048
CIT Group Home Equity Loan Trust
5.590% due 06/25/2033		102		103
Citicorp Residential Mortgage Securities, Inc.
5.410% due 03/25/2037		18,547		18,562
Citigroup Mortgage Loan Trust, Inc.
5.430% due 01/25/2036		8,719		8,727
5.430% due 03/25/2037		3,832		3,835
Countrywide Asset-Backed Certificates
5.390% due 12/25/2036		856		857
5.390% due 06/25/2037		1,223		1,223
5.400% due 06/25/2037		2,796		2,798
5.400% due 10/25/2037		1,962		1,963
5.420% due 05/25/2036		1,465		1,466
5.420% due 07/25/2037		20,000		20,012
5.420% due 08/25/2037		1,600		1,599
5.420% due 09/25/2037		3,806		3,809
5.420% due 05/25/2047		285		285
5.420% due 09/25/2047		9,564		9,571
5.430% due 10/25/2046		5,362		5,365
5.510% due 06/25/2036		12,000		12,018
6.060% due 05/25/2032		153		154
Credit-Based Asset Servicing & Securitization LLC
5.390% due 01/25/2037		1,782		1,783
5.410% due 12/25/2035		224		224
5.410% due 12/25/2037		1,519		1,519
5.470% due 10/25/2036		401		401
CS First Boston Mortgage Securities Corp.
5.940% due 01/25/2032		316		316
Equifirst Mortgage Loan Trust
5.570% due 07/25/2034		2		2
Equity One Asset-Backed Securities, Inc.
5.620% due 04/25/2034		553		555
Fieldstone Mortgage Investment Corp.
5.410% due 07/25/2036		7,184		7,188
First Franklin Mortgage Loan Asset-Backed Certificates
5.390% due 02/25/2036		3,254		3,256
5.390% due 03/25/2036		6,120		6,123
5.390% due 12/25/2036		1,659		1,660
5.410% due 07/25/2036		24,261		24,269
5.410% due 11/25/2036		8,869		8,877
5.420% due 11/25/2035		1,459		1,460
5.430% due 04/25/2036		1,800		1,801
5.690% due 12/25/2034		656		657
5.700% due 10/25/2034		66		66
First NLC Trust
5.440% due 02/25/2036		103		103
Fremont Home Loan Trust
5.390% due 02/25/2037		580		580
5.440% due 04/25/2036		1,641		1,642
5.490% due 01/25/2036		1,292		1,294
GSAA Trust
5.430% due 06/25/2035		1,329		1,329
GSAMP Trust
5.390% due 09/25/2036		1,269		1,270
GSR Mortgage Loan Trust
5.420% due 11/25/2030		173		173
HFC Home Equity Loan Asset-Backed Certificates
5.670% due 09/20/2033		1,931		1,938
Home Equity Asset Trust
5.390% due 07/25/2036		4,421		4,425
5.920% due 11/25/2032		8		8
Home Equity Mortgage Trust
5.321% due 04/25/2035		2,346		2,312
Honda Auto Receivables Owner Trust
5.322% due 03/18/2008		6,736		6,742
HSI Asset Securitization Corp. Trust
5.430% due 12/25/2036		9,000		9,003
Indymac Residential Asset-Backed Trust
5.420% due 03/25/2036		132		132
5.450% due 04/25/2037		5,435		5,439
Irwin Home Equity Corp.
5.860% due 07/25/2032		492		492
Ischus CDO Ltd.
5.600% due 07/10/2047		873		874
JPMorgan Mortgage Acquisition Corp.
5.380% due 05/25/2037		1,940		1,941
5.390% due 03/25/2036		1,355		1,356
5.390% due 11/25/2036		1,299		1,299
5.390% due 01/25/2037 (d)		30,317		30,341
5.400% due 03/25/2037		2,877		2,879
5.410% due 10/25/2036		1,634		1,635
5.420% due 07/25/2036		21,000		21,011
5.430% due 08/25/2036		1,704		1,705
5.470% due 03/25/2037		10,000		10,012
5.530% due 06/25/2035		1,331		1,333
Lehman XS Trust
5.390% due 11/25/2035		26,107		26,362
5.390% due 05/25/2046		930		930
5.400% due 07/25/2046		1,164		1,165
5.410% due 05/25/2046		1,875		1,876
5.470% due 04/25/2037		25,494		25,534
Long Beach Mortgage Loan Trust
5.420% due 11/25/2035		58		58
5.500% due 08/25/2035		1,202		1,203
5.600% due 10/25/2034		1,513		1,516
6.020% due 03/25/2032		95		95
MASTR Asset-Backed Securities Trust
5.390% due 12/25/2035		1,056		1,057
5.400% due 05/25/2037		24,890		24,908
5.450% due 10/25/2036		5,000		5,003
MBNA Credit Card Master Note Trust
5.420% due 12/15/2011		4,800		4,812
5.440% due 08/16/2010		4,743		4,751
5.446% due 12/15/2009		2,000		2,001
5.530% due 03/15/2011		1,900		1,907
Merrill Lynch Mortgage Investors, Inc.
5.400% due 09/25/2037		5,628		5,631
5.500% due 09/25/2036		2,441		2,443
Morgan Stanley ABS Capital I
5.360% due 07/25/2036		1		1
5.380% due 05/25/2037		187		187
5.390% due 02/25/2036		860		861
5.410% due 01/25/2037		20,000		19,995
5.420% due 04/25/2036		4,000		3,999
5.420% due 10/25/2036		10,000		9,997
5.420% due 11/25/2036		20,000		19,994
Morgan Stanley Home Equity Loans
5.420% due 09/25/2035		1,921		1,922
Morgan Stanley IXIS Real Estate Capital Trust
5.430% due 11/25/2036		15,000		14,999
Morgan Stanley Mortgage Loan Trust
5.390% due 01/25/2047		15,264		15,272
Nationstar Home Equity Loan Trust
5.440% due 04/25/2037		11,051		11,059
Nationstar NIM Trust
8.000% due 06/25/2037		730		729
Nelnet Student Loan Trust
5.445% due 07/25/2016		827		829
New Century Home Equity Loan Trust
5.390% due 08/25/2036		563		563
5.490% due 12/25/2035		15,000		14,993
5.500% due 06/25/2035		1,967		1,966
5.500% due 07/25/2035		980		980
5.500% due 05/25/2036		2,000		2,002
5.580% due 06/25/2035		2,721		2,710
Newcastle Mortgage Securities Trust
5.390% due 03/25/2036		203		203
Option One Mortgage Loan Trust
5.390% due 01/25/2036		1,554		1,555
5.420% due 11/25/2035		715		716
Renaissance Home Equity Loan Trust
5.670% due 08/25/2032		51		51
5.760% due 08/25/2033		583		585
5.820% due 12/25/2033		1,938		1,954
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		1,160		1,161
5.390% due 02/25/2037		6,873		6,878
5.400% due 07/25/2036		5,445		5,448
5.400% due 10/25/2036		2,898		2,900
5.440% due 05/25/2037		24,373		24,391
Residential Asset Securities Corp.
5.390% due 02/25/2036		733		733
5.390% due 04/25/2036		1,417		1,418
5.390% due 07/25/2036		12,734		12,740
5.390% due 11/25/2036		3,666		3,668
5.390% due 02/25/2037		5,509		5,512
5.400% due 02/25/2036		1,731		1,732
5.400% due 10/25/2036		1,000		1,001
5.410% due 01/25/2036		686		686
5.430% due 07/25/2036		1,900		1,900
5.430% due 04/25/2037		6,882		6,887
5.450% due 03/25/2036		1,250		1,251
5.460% due 12/25/2035 (d)		35,150		35,174
5.520% due 05/25/2035		63		64
SACO I, Inc.
5.700% due 11/25/2035		3,032		3,034
Salomon Brothers Mortgage Securities VII, Inc.
5.620% due 03/25/2032		469		470
Saxon Asset Securities Trust
5.590% due 01/25/2032		102		102
SBI HELOC Trust
5.490% due 08/25/2036		510		511
Sears Credit Account Master Trust
5.540% due 04/16/2013		3,000		3,008
SLM Student Loan Trust
3.800% due 12/15/2038		15,400		14,926
5.325% due 04/25/2012		690		691
5.355% due 01/25/2018		367		368
Soundview Home Equity Loan Trust
5.380% due 11/25/2036		4,157		4,157
5.390% due 05/25/2036		240		240
5.400% due 01/25/2037		6,640		6,644
5.400% due 06/25/2037		8,276		8,282
5.420% due 10/25/2036		1,909		1,910
5.430% due 11/25/2035		487		487
5.430% due 01/25/2037		10,000		10,003
5.440% due 01/25/2037		4,786		4,790
5.470% due 06/25/2037 (d)		35,000		35,041
5.550% due 06/25/2035		431		432
Specialty Underwriting & Residential Finance
5.420% due 11/25/2037		13,000		12,991
5.660% due 01/25/2034		50		50
Structured Asset Investment Loan Trust
5.430% due 08/25/2035		83		83
5.430% due 09/25/2035		147		147
5.430% due 11/25/2035		6,477		6,482
Structured Asset Securities Corp.
5.370% due 09/25/2036		1,906		1,906
5.400% due 11/25/2035		3,713		3,715
5.400% due 01/25/2037		1,049		1,050
5.460% due 06/25/2035		1,177		1,178
5.520% due 11/25/2035		6,700		6,712
5.610% due 01/25/2033		801		803
Trapeza CDO I LLC
6.015% due 11/16/2034		1,000		998
Vanderbilt Acquisition Loan Trust
7.120% due 05/07/2032		5,000		5,171
Washington Mutual Asset-Backed Certificates
5.430% due 01/25/2037		14,656		14,661
Wells Fargo Home Equity Trust
5.390% due 07/25/2036		3,479		3,481
5.420% due 07/25/2036		11,075		11,079
5.420% due 03/25/2037		2,910		2,913
5.430% due 11/25/2035		3,212		3,214
5.560% due 10/25/2035		7,200		7,211
5.570% due 12/25/2035		3,000		3,007
WMC Mortgage Loan Pass-Through Certificates
6.000% due 05/15/2030		288		288
Total Asset-Backed Securities (Cost $988,142)				988,890
SHORT-TERM INSTRUMENTS 0.9%
Commercial Paper 0.3%
Freddie Mac
4.800% due 07/02/2007		12,000		12,000
Tri-party Repurchase Agreements 0.2%
State Street Bank and Trust Co.
4.900% due 07/02/2007		7,953		7,953
(Dated 06/29/2007. Collateralized by Freddie Mac 4.125% due 11/18/2009 valued at $8,114. Repurchase proceeds are $7,956.)
U.S. Treasury Bills 0.4%
4.587% due 08/30/2007 - 09/13/2007 (a)(b)(e)		17,685		17,492
Total Short-Term Instruments (Cost $37,475)				37,445
Purchased Options (g) 0.0% (Cost $1,891)				851
Total Investments (c) 115.7% (Cost $5,413,196)			$	5,390,250
Written Options (h) (0.0%) (Premiums $1,863)				(877	)
Other Assets and Liabilities (Net) (15.7%)				(730,737	)
Net Assets 100.0%			$	4,658,636

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 $12,611 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(c) As of June 30, 2007, portfolio securities with an aggregate value of $81,819 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 June 30, 2007 was $230,593 at a weighted average interest rate of 5.31%. On June 30, 2007, securities valued at $761,614 were pledged as collateral for reverse repurchase agreements.

(e) Securities with an aggregate market value of $4,881 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euro March Futures	Long	03/2008	542	$	(527	)
U.S. Treasury 5-Year Note September Futures	Short	09/2007	351		233
U.S. Treasury 10-Year Note September Futures	Short	09/2007	937		815
				$	521

(f) Swap agreements outstanding on June 30, 2007:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bank of America	BHP Billiton Finance Ltd. 5.125% due 03/29/2012	Buy	(0.135	%)	03/20/2012	$	3,000	$	0
Bank of America	Consumers Energy Co. 5.000% due 02/15/2012	Buy	(0.090	%)	03/20/2012		3,000		23
Bank of America	Dominion Resources, Inc. 5.200% due 01/15/2016	Buy	(0.455	%)	03/20/2016		3,000		(25	)
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	%)	05/03/2046		1,000		286
Bank of America	Kefton CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.350% due 01/09/2047	Buy	(1.750	%)	01/09/2047		2,000		668
Barclays Bank PLC	iStar Financial, Inc. floating rate based on 3-Month USD-LIBOR plus 0.390% due 03/03/2008	Buy	(0.100	%)	03/20/2008		5,000		4
Barclays Bank PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.580	%)	09/20/2011		4,000		(49	)
Barclays Bank PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.535	%)	09/20/2011		5,000		(55	)
Barclays Bank PLC	Dow Jones CDX N.A. IG7 Index	Sell	0.153	%	12/20/2016		75,000		(272	)
Barclays Bank PLC	Time Warner, Inc. 5.875% due 11/15/2016	Buy	(0.700	%)	12/20/2016		5,000		(58	)
Barclays Bank PLC	Accredited Mortgage Loan Trust floating rate based on 1-Month USD-LIBOR plus 1.150% due 04/25/2036	Buy	(1.000	%)	04/25/2036		5,000		359
Bear Stearns & Co., Inc.	Tenet Healthcare Corp. 4.600% due 05/03/2010	Buy	(0.110	%)	06/20/2010		2,000		(4	)
Bear Stearns & Co., Inc.	Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011		3,000		(21	)
Bear Stearns & Co., Inc.	iStar Financial, Inc. 5.950% due 10/15/2013	Buy	(0.560	%)	12/20/2013		6,000		27
Bear Stearns & Co., Inc.	Comcast Corp. 5.300% due 01/15/2014	Buy	(0.390	%)	03/20/2014		5,000		(15	)
Bear Stearns & Co., Inc.	Alcan, Inc. 5.000% due 06/01/2015	Buy	(0.420	%)	06/20/2015		2,500		8
Bear Stearns & Co., Inc.	Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	03/20/2016		3,000		(26	)
Bear Stearns & Co., Inc.	Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	06/20/2016		5,000		67
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		0
Bear Stearns & Co., Inc.	ABX Financing Co. 5.750% due 10/15/2016	Buy	(0.500	%)	12/20/2016		3,000		(29	)
Bear Stearns & Co., Inc.	Avenue CLO Fund Ltd. Floating rate based on 3-Month USD-LIBOR plus 1.650% due 07/20/2018	Buy	(1.750	%)	07/20/2018		2,500		23
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		31
Citibank N.A.	CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.470	%)	12/20/2014		3,100		18
Citibank N.A.	Commercial Industrial Finance Corp. floating rate based on 3-Month USD-LIBOR plus 1.600% due 10/20/2020	Buy	(2.150	%)	10/20/2020		500		3
Credit Suisse First Boston	Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.150	%)	03/20/2011		4,000		(1	)
Credit Suisse First Boston	Dayton Power & Light, Inc. 6.875% due 09/01/2011	Buy	(0.330	%)	09/20/2011		2,600		(9	)
Credit Suisse First Boston	John Deere Capital Corp. 5.650% due 07/25/2011	Buy	(0.140	%)	09/20/2011		2,000		(2	)
Deutsche Bank AG	DaimlerChrysler N.A. Holding Corp. 6.500% due 11/15/2013	Sell	0.225	%	03/20/2008		15,000		14
Deutsche Bank AG	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.365	%)	03/20/2012		2,000		(9	)
Deutsche Bank AG	Weatherford International Ltd. 4.950% due 10/15/2013	Buy	(0.410	%)	12/20/2013		2,500		(3	)
Deutsche Bank AG	Bank of America Corp. 5.625% due 10/14/2016	Buy	(0.180	%)	12/20/2016		10,000		18
Deutsche Bank AG	Dow Jones CDX N.A. IG7 Index	Sell	0.157	%	12/20/2016		25,000		(81	)
Deutsche Bank AG	Kaupthing Bank HF 6.125% due 10/04/2016	Buy	(0.600	%)	12/20/2016		3,000		(29	)
Goldman Sachs & Co.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	03/20/2008		10,000		0
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Sell	0.060	%	12/20/2011		25,000		(43	)
Goldman Sachs & Co.	Dow Jones CDX N.A. IG7 Index	Sell	0.153	%	12/20/2016		25,000		(91	)
Goldman Sachs & Co.	Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500	%)	10/11/2021		2,000		(15	)
HSBC Bank USA	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.280	%	11/20/2007		10,000		6
HSBC Bank USA	General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.040	%	03/20/2008		20,000		(3	)
JPMorgan Chase & Co.	Morgan Stanley 6.600% due 04/01/2012	Sell	0.070	%	12/20/2007		10,000		(4	)
JPMorgan Chase & Co.	Morgan Stanley 6.600% due 04/01/2012	Sell	0.075	%	03/20/2008		20,000		(15	)
JPMorgan Chase & Co.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.190	%	01/20/2009		5,000		5
JPMorgan Chase & Co.	Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.300	%	01/20/2009		10,000		21
JPMorgan Chase & Co.	Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.280	%)	03/20/2011		5,000		(23	)
JPMorgan Chase & Co.	Dow Jones CDX N.A. IG7 Index	Sell	0.068	%	12/20/2011		75,000		(106	)
JPMorgan Chase & Co.	Lennar Corp. 5.950% due 10/17/2011	Buy	(0.660	%)	12/20/2011		3,000		41
JPMorgan Chase & Co.	AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.650	%)	12/20/2012		3,000		(45	)
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	%)	12/05/2051		2,500		706
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.200	%	07/20/2007		10,000		10
Lehman Brothers, Inc.	Proctor & Gamble Co. 4.950% due 08/15/2014	Sell	0.070	%	09/20/2008		20,000		10
Lehman Brothers, Inc.	Newell Rubbermaid, Inc. 4.000% due 05/01/2010	Buy	(0.190	%)	06/20/2010		2,100		(4	)
Lehman Brothers, Inc.	Residential Capital LLC 6.000% due 02/22/2011	Buy	(0.580	%)	03/20/2011		5,000		242
Lehman Brothers, Inc.	Kellogg Co. 6.600% due 04/01/2011	Buy	(0.110	%)	06/20/2011		2,000		2
Lehman Brothers, Inc.	EnCana Corp. 6.300% due 11/01/2011	Buy	(0.230	%)	12/20/2011		2,600		(7	)
Lehman Brothers, Inc.	Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.390	%	01/20/2012		9,000		37
Lehman Brothers, Inc.	International Lease Finance Corp. 5.625% due 09/20/2013	Buy	(0.220	%)	09/20/2013		5,200		(5	)
Lehman Brothers, Inc.	Dow Jones CDX N.A. IG7 Index	Sell	0.145	%	12/20/2016		25,000		(104	)
Lehman Brothers, Inc.	Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.600% due 03/08/2040	Buy	(2.420	%)	03/08/2040		5,000		546
Merrill Lynch & Co., Inc.	Progress Energy, Inc. 7.100% due 03/01/2011	Buy	(0.100	%)	03/20/2011		3,348		(1	)
Merrill Lynch & Co., Inc.	Exelon Corp. 6.750% due 05/01/2011	Buy	(0.290	%)	06/20/2011		3,200		2
Merrill Lynch & Co., Inc.	ORIX Corp. 5.480% due 11/22/2011	Buy	(0.280	%)	12/20/2011		5,000		(17	)
Merrill Lynch & Co., Inc.	Dow Jones CDX N.A. IG7 Index	Sell	0.145	%	12/20/2016		25,000		(106	)
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		5
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.430	%	12/20/2007		10,000		10
Morgan Stanley	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.290	%	12/20/2007		10,000		4
Morgan Stanley	JC Penney Corp., Inc. 7.375% due 08/15/2008	Buy	(0.100	%)	09/20/2008		3,693		3
Morgan Stanley	Kroger Co. 5.500% due 02/01/2013	Buy	(0.560	%)	03/20/2013		4,000		(16	)
Morgan Stanley	Wyeth 5.500% due 03/15/2013	Buy	(0.150	%)	03/20/2013		2,500		(2	)
Morgan Stanley	Sealed Air Corp. 5.625% due 07/15/2013	Buy	(0.590	%)	09/20/2013		5,000		(28	)
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	%)	09/20/2009		3,000		(13	)
Royal Bank of Scotland Group PLC	DaimlerChrysler N.A. Holding Corp. 5.750% due 09/08/2011	Buy	(0.480	%)	09/20/2011		5,000		(44	)
Royal Bank of Scotland Group PLC	Kerr-McGee Corp. 6.875% due 09/15/2011	Buy	(0.160	%)	09/20/2011		4,100		(7	)
Royal Bank of Scotland Group PLC	HSBC Finance Corp. 6.375% due 10/15/2011	Buy	(0.200	%)	12/20/2011		6,300		(16	)
Royal Bank of Scotland Group PLC	Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011		3,000		19
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		8,000		680
Royal Bank of Scotland Group PLC	AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.810	%)	12/20/2015		2,500		(39	)
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		36
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		57
UBS Warburg LLC	Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.500	%)	06/20/2011		2,500		7
UBS Warburg LLC	BAE Systems Holdings, Inc. 6.400% due 12/15/2011	Buy	(0.140	%)	12/20/2011		2,000		6
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		581
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	%)	01/08/2051		2,000		665
								$	3,812

Credit Default Swaps (Asset-Backed Indices)

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bear Stearns & Co., Inc.	Home Equity Index BBB Rating 2006-2	Buy	(2.420	%)	05/25/2046	$	20,000		6,186
Goldman Sachs & Co.	Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046		20,000		(1,103	)
Goldman Sachs & Co.	Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046		20,000		(3,609	)
Goldman Sachs & Co.	Home Equity Index BBB Rating 2006-2	Sell	2.420	%	05/25/2046		10,000		(2,979	)
JPMorgan Chase & Co.	Home Equity Index BBB Rating 2006-2	Sell	2.420	%	05/25/2046		10,000		(3,024	)
								$	(4,529	)

⁽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 (Depreciation)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017	$	900	$	(7	)

(g) Purchased options outstanding on June 30, 2007:

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	4.750	%	09/26/2008	$	79,400	$	401	$	156
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		74,100		411		92
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	07/02/2007		60,000		248		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		79,400		284		156
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		132,200		547		447
									$	1,891	$	851

(h) Written options outstanding on June 30, 2007:

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	4.950	%	09/26/2008	$	34,100	$	401	$	172
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		32,200		393		98
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	07/02/2007		25,800		269		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		34,500		283		174
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		44,100		517		433
									$	1,863	$	877

(i) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Notes	4.250	%	08/15/2015	$	193,000	$	183,613	$	186,379
U.S. Treasury Notes	4.375	%	08/15/2012		120,000		116,592		119,417
U.S. Treasury Notes	4.500	%	04/30/2009		50,000		49,548		50,110
U.S. Treasury Notes	4.500	%	11/15/2015		186,000		179,941		180,644
U.S. Treasury Notes	4.625	%	02/29/2012		23,000		22,617		23,111
U.S. Treasury Notes	4.625	%	11/15/2016		9,500		9,243		9,275
U.S. Treasury Notes	4.625	%	02/15/2017		144,500		140,519		142,588
						$	702,073	$	711,524

⁽²⁾ Market value includes $9,968 of interest payable on short sales.

See accompanying notes

Schedule of Investments

Short-Term Portfolio II

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.8%
HCA, Inc.
7.600% due 11/14/2013	$	1,297	$	1,304
SLM Corp.
6.000% due 06/30/2008		3,000		2,985
Total Bank Loan Obligations (Cost $4,282)				4,289
CORPORATE BONDS & NOTES 21.6%
Banking & Finance 12.9%
American International Group, Inc.
5.395% due 01/29/2010		4,200		4,203
Bank of America N.A.
5.360% due 12/18/2008		1,700		1,701
5.360% due 06/12/2009		900		900
Bank of Ireland
5.410% due 12/18/2009		2,400		2,405
Bear Stearns Cos., Inc.
5.450% due 02/23/2010		2,800		2,792
Citigroup Global Markets Holdings, Inc.
5.460% due 03/17/2009		1,300		1,302
Citigroup, Inc.
5.400% due 12/26/2008		3,500		3,503
5.405% due 05/02/2008		1,000		1,001
5.500% due 06/09/2009		400		401
East Lane Re Ltd.
12.355% due 05/06/2011		300		301
Ford Motor Credit Co.
5.625% due 10/01/2008		2,600		2,567
6.190% due 09/28/2007		700		700
7.800% due 06/01/2012		150		147
General Electric Capital Corp.
5.355% due 10/24/2008		700		701
5.410% due 10/06/2010		3,000		3,002
5.417% due 05/10/2010		1,800		1,803
Glitnir Banki HF
5.618% due 04/20/2010		1,000		999
GMAC LLC
6.610% due 05/15/2009		1,000		1,001
Goldman Sachs Group, Inc.
5.450% due 06/23/2009		7,100		7,109
HSBC Finance Corp.
5.360% due 05/21/2008		2,800		2,802
5.440% due 03/12/2010		300		300
5.490% due 09/15/2008		1,000		1,002
ICICI Bank Ltd.
5.895% due 01/12/2010		1,400		1,403
Lehman Brothers Holdings, Inc.
5.570% due 12/23/2010		1,500		1,502
Longpoint Re Ltd.
10.609% due 05/08/2010		500		500
MBNA Europe Funding PLC
5.460% due 09/07/2007		3,600		3,601
Merrill Lynch & Co., Inc.
5.450% due 08/14/2009		2,200		2,202
Metropolitan Life Global Funding I
5.400% due 05/17/2010		2,900		2,902
Mirage Resorts, Inc.
6.750% due 08/01/2007		1,500		1,502
Morgan Stanley
5.467% due 02/09/2009		1,200		1,202
Mystic Re Ltd.
15.360% due 06/07/2011		300		301
National Australia Bank Ltd.
5.400% due 09/11/2009		2,700		2,704
Royal Bank of Scotland Group PLC
5.360% due 04/11/2008		1,200		1,201
Santander U.S. Debt S.A. Unipersonal
5.420% due 09/19/2008		2,200		2,202
Spinnaker Capital Ltd.
16.860% due 06/15/2008		1,000		999
Ventas Realty LP
6.750% due 06/01/2010		600		609
8.750% due 05/01/2009		1,000		1,051
VTB Capital S.A. for Vneshtorgbank
5.955% due 08/01/2008		1,100		1,102
6.110% due 09/21/2007		1,600		1,602
Wachovia Bank N.A.
5.320% due 10/03/2008		1,200		1,201
5.360% due 02/23/2009		2,100		2,101
5.400% due 03/23/2009		2,500		2,502
				73,031
Industrials 5.4%
Albertson’s, Inc.
6.950% due 08/01/2009		800		820
Amgen, Inc.
5.440% due 11/28/2008		4,400		4,403
Browning-Ferris Industries, Inc.
6.375% due 01/15/2008		1,000		1,005
CSC Holdings, Inc.
7.250% due 07/15/2008		1,500		1,515
7.875% due 12/15/2007		300		303
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		2,900		2,906
EchoStar DBS Corp.
5.750% due 10/01/2008		1,100		1,100
El Paso Corp.
6.950% due 12/15/2007		100		101
7.625% due 08/16/2007		300		302
7.625% due 09/01/2008		100		102
Enterprise Products Operating LP
4.000% due 10/15/2007		1,300		1,295
Equistar Chemicals LP
8.750% due 02/15/2009		1,000		1,040
10.125% due 09/01/2008		286		299
Historic TW, Inc.
8.180% due 08/15/2007		1,500		1,505
HJ Heinz Co.
6.428% due 12/01/2008		2,100		2,122
Home Depot, Inc.
5.485% due 12/16/2009		1,300		1,299
JC Penney Corp., Inc.
6.500% due 12/15/2007		2,000		2,006
Owens Brockway Glass Container, Inc.
8.875% due 02/15/2009		1,400		1,431
RH Donnelley, Inc.
10.875% due 12/15/2012		553		591
Service Corp. International
6.500% due 03/15/2008		1,400		1,403
Southern Natural Gas Co.
6.125% due 09/15/2008		1,100		1,110
6.700% due 10/01/2007		1,000		1,008
Sungard Data Systems, Inc.
3.750% due 01/15/2009		800		776
Williams Cos., Inc.
6.375% due 10/01/2010		1,050		1,058
Xerox Corp.
9.750% due 01/15/2009		1,300		1,376
				30,876
Utilities 3.3%
AT&T, Inc.
5.570% due 11/14/2008		300		301
BellSouth Corp.
4.240% due 04/26/2008		1,500		1,487
5.460% due 08/15/2008		1,200		1,201
CMS Energy Corp.
7.500% due 01/15/2009		1,800		1,855
Dominion Resources, Inc.
5.660% due 09/28/2007		1,700		1,700
Entergy Gulf States, Inc.
3.600% due 06/01/2008		4,400		4,322
Florida Power Corp.
5.760% due 11/14/2008		700		701
Midwest Generation LLC
8.300% due 07/02/2009		2,360		2,408
Ohio Edison Co.
4.000% due 05/01/2008		40		40
PSEG Energy Holdings LLC
8.625% due 02/15/2008		500		509
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		1,100		1,106
SEMCO Energy, Inc.
7.125% due 05/15/2008		1,400		1,413
Sprint Nextel Corp.
5.760% due 06/28/2010		1,300		1,301
TXU Energy Co. LLC
5.860% due 09/16/2008		600		600
				18,944
Total Corporate Bonds & Notes (Cost $122,790)				122,851
COMMODITY INDEX-LINKED NOTES 0.2%
Morgan Stanley
0.000% due 07/07/2008		1,000		994
Total Commodity Index-Linked Notes (Cost $1,000)				994
U.S. GOVERNMENT AGENCIES 19.0%
Fannie Mae
4.500% due 09/25/2012		1,075		1,069
5.000% due 04/01/2037		999		936
5.440% due 03/25/2034		3,545		3,549
5.500% due 07/01/2017 - 07/01/2037		8,917		8,768
5.620% due 11/01/2017		11		11
5.625% due 07/01/2017		14		14
5.626% due 01/01/2018 - 11/01/2018		41		41
5.636% due 01/01/2018		63		63
5.642% due 02/01/2024 - 06/01/2024		13		13
5.643% due 11/01/2018		14		14
5.670% due 09/25/2042		797		802
5.730% due 12/01/2017		6		6
5.794% due 09/17/2027		15		16
5.844% due 02/25/2022 - 07/18/2027		39		39
5.944% due 08/25/2022		16		16
5.950% due 02/25/2044		1,756		1,752
5.994% due 12/25/2022		13		13
6.000% due 11/01/2035 - 07/01/2037		57,847		57,257
6.044% due 09/25/2022		11		11
6.194% due 02/25/2023		8		8
6.214% due 03/01/2044		1,778		1,799
6.344% due 08/25/2022		2		2
6.414% due 10/01/2040		27		28
6.494% due 09/25/2023		188		194
6.957% due 11/01/2035		1,548		1,601
7.237% due 09/01/2031		1,130		1,140
7.290% due 01/01/2033		58		58
7.375% due 09/01/2031		65		66
Federal Home Loan Bank
3.000% due 10/10/2008		3,000		2,919
3.250% due 07/10/2013		200		192
3.500% due 05/20/2008		540		532
4.000% due 02/18/2009		5,000		4,907
Freddie Mac
3.300% due 12/30/2008		4,000		3,891
4.500% due 08/15/2027		454		453
5.353% due 02/01/2036		27		28
5.500% due 08/15/2030		32		31
5.550% due 07/15/2037		11,100		11,099
5.620% due 06/01/2017		17		17
5.626% due 09/01/2017		17		18
5.775% due 01/15/2022		2		2
6.000% due 06/01/2018		93		94
6.025% due 03/15/2020		6		6
6.125% due 03/15/2023		15		15
6.368% due 11/01/2018		41		42
6.427% due 07/25/2044		3,796		3,828
6.747% due 11/01/2028		17		17
6.750% due 11/01/2016		74		75
7.194% due 12/01/2025		27		27
Ginnie Mae
4.750% due 07/20/2027		27		27
5.375% due 04/20/2030		31		31
Total U.S. Government Agencies (Cost $108,221)				107,537
MORTGAGE-BACKED SECURITIES 8.5%
American Home Mortgage Investment Trust
5.470% due 09/25/2035		667		667
Arkle Master Issuer PLC
5.300% due 11/19/2007		2,700		2,701
Banc of America Funding Corp.
4.614% due 02/20/2036		1,110		1,092
Bear Stearns Adjustable Rate Mortgage Trust
4.478% due 11/25/2034		5,157		5,191
4.622% due 01/25/2034		885		887
4.773% due 01/25/2034		451		449
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		276		276
CC Mortgage Funding Corp.
5.570% due 08/25/2035		1,679		1,686
Countrywide Alternative Loan Trust
5.600% due 02/25/2037		2,405		2,411
6.029% due 02/25/2036		1,204		1,212
Countrywide Home Loan Mortgage Pass-Through Trust
5.590% due 05/25/2034		274		274
5.660% due 06/25/2035		3,437		3,431
First Republic Mortgage Loan Trust
5.620% due 08/15/2032		1,424		1,427
GS Mortgage Securities Corp. II
5.420% due 06/06/2020		316		317
GSR Mortgage Loan Trust
4.538% due 09/25/2035		1,470		1,449
GSRPM Mortgage Loan Trust
6.020% due 01/25/2032		623		633
Harborview Mortgage Loan Trust
5.410% due 01/19/2038		272		272
5.690% due 02/19/2034		1,266		1,268
HSI Asset Securitization Corp. Trust
5.380% due 05/25/2037 (a)		2,700		2,700
Indymac Index Mortgage Loan Trust
5.410% due 11/25/2046		2,097		2,099
Mellon Residential Funding Corp.
5.760% due 12/15/2030		2,705		2,717
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		1,660		1,660
Sequoia Mortgage Trust
5.700% due 10/20/2027		721		722
Structured Asset Mortgage Investments, Inc.
5.540% due 05/25/2036		1,019		1,021
5.600% due 02/25/2036		75		75
Structured Asset Securities Corp.
5.329% due 10/25/2035		1,990		1,988
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		2,668		2,669
Washington Mutual, Inc.
5.610% due 10/25/2045		280		281
5.724% due 05/25/2046		416		417
5.839% due 12/25/2046		337		337
5.860% due 12/25/2027		3,836		3,838
6.429% due 06/25/2042		271		270
Wells Fargo Mortgage-Backed Securities Trust
4.110% due 06/25/2035		1,935		1,926
Total Mortgage-Backed Securities (Cost $48,274)				48,363
ASSET-BACKED SECURITIES 15.4%
ACE Securities Corp.
5.380% due 10/25/2036		2,015		2,016
5.400% due 10/25/2036		1,976		1,978
Amortizing Residential Collateral Trust
5.610% due 07/25/2032		42		43
Argent Securities, Inc.
5.370% due 10/25/2036		1,846		1,848
Asset-Backed Funding Certificates
5.380% due 10/25/2036		1,592		1,593
5.670% due 06/25/2034		1,380		1,384
Asset-Backed Securities Corp. Home Equity
5.595% due 09/25/2034		750		750
Bear Stearns Asset-Backed Securities, Inc.
5.650% due 01/25/2036		141		141
Carrington Mortgage Loan Trust
5.370% due 01/25/2037		2,446		2,447
Centex Home Equity
5.720% due 10/25/2030		58		58
Chase Funding Mortgage Loan Asset-Backed Certificates
5.960% due 08/25/2032		126		127
Citigroup Mortgage Loan Trust, Inc.
5.370% due 10/25/2036		1,749		1,750
5.370% due 11/25/2036		1,680		1,681
5.430% due 08/25/2036		1,500		1,501
ContiMortgage Home Equity Trust
6.000% due 03/15/2027		3		3
Countrywide Asset-Backed Certificates
5.370% due 05/25/2037		2,421		2,422
5.380% due 03/25/2037		1,978		1,979
6.060% due 05/25/2032		48		48
Equity One Asset-Backed Securities, Inc.
5.600% due 11/25/2032		993		994
First NLC Trust
5.390% due 08/25/2037		2,300		2,300
Fremont Home Loan Trust
5.390% due 02/25/2037		1,424		1,424
GSAMP Trust
5.390% due 09/25/2036		1,558		1,559
5.610% due 03/25/2034		1,615		1,618
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		1,583		1,584
Home Equity Asset Trust
5.780% due 02/25/2033		1		1
Indymac Residential Asset-Backed Trust
5.370% due 11/25/2036		1,200		1,201
JPMorgan Mortgage Acquisition Corp.
5.390% due 03/25/2036		1,030		1,031
5.390% due 11/25/2036		1,364		1,364
5.400% due 08/25/2036		1,933		1,934
Lehman XS Trust
5.400% due 06/25/2046		1,402		1,403
5.400% due 11/25/2046		2,090		2,091
5.440% due 11/25/2036		1,705		1,707
Long Beach Mortgage Loan Trust
5.380% due 10/25/2036		2,066		2,067
MASTR Asset-Backed Securities Trust
5.380% due 11/25/2036		2,524		2,526
Merrill Lynch Mortgage Investors, Inc.
5.350% due 05/25/2037		1,819		1,820
5.390% due 08/25/2036		1,691		1,692
5.390% due 07/25/2037		2,113		2,114
Morgan Stanley ABS Capital I
5.360% due 10/25/2036		1,989		1,990
5.400% due 12/25/2035		162		162
New Century Home Equity Loan Trust
5.380% due 05/25/2036		526		526
Quest Trust
5.880% due 06/25/2034		287		288
Renaissance Home Equity Loan Trust
5.680% due 11/25/2034		566		569
5.760% due 08/25/2033		564		565
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		1,334		1,335
5.400% due 10/25/2036		2,059		2,060
Residential Asset Securities Corp.
5.390% due 11/25/2036		2,070		2,071
5.400% due 10/25/2036		1,929		1,931
5.410% due 01/25/2036		466		466
Saxon Asset Securities Trust
5.380% due 11/25/2036		1,762		1,763
5.590% due 01/25/2032		49		49
SBI HELOC Trust
5.490% due 08/25/2036		1,969		1,971
Securitized Asset-Backed Receivables LLC Trust
5.370% due 09/25/2036		1,370		1,371
5.380% due 03/25/2036		841		842
5.440% due 05/25/2037		2,700		2,700
SLM Student Loan Trust
5.325% due 10/25/2012		1,201		1,201
5.335% due 04/25/2012		2,129		2,130
5.355% due 10/25/2016		2,700		2,702
5.355% due 01/25/2018		676		677
5.365% due 01/26/2015		436		436
Soundview Home Equity Loan Trust
5.420% due 10/25/2036		1,378		1,379
Structured Asset Securities Corp.
5.370% due 10/25/2036		591		592
5.420% due 07/25/2035		633		633
5.450% due 12/25/2035		595		596
5.610% due 01/25/2033		52		52
Truman Capital Mortgage Loan Trust
5.660% due 01/25/2034		279		280
Wells Fargo Home Equity Trust
5.430% due 11/25/2035		1,127		1,127
5.560% due 10/25/2035		2,700		2,704
Total Asset-Backed Securities (Cost $87,312)				87,367
FOREIGN CURRENCY-DENOMINATED ISSUES 0.4%
BTM Curacao Holdings NV
1.348% due 11/29/2049	JPY	100,000		812
Mizuho Bank Ltd.
1.432% due 12/31/2049		100,000		822
Sumitomo Mitsui Banking Corp.
1.335% due 06/29/2049		100,000		828
Total Foreign Currency-Denominated Issues (Cost $2,547)				2,462
	Shares
PREFERRED STOCKS 0.2%
Fresenius Medical Care Capital Trust II
7.875% due 02/01/2008		1,300		1,310
Total Preferred Stocks (Cost $1,334)				1,310
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 43.3%
Certificates of Deposit 8.9%
Bank of Ireland
3.797% due 01/15/2010	$	2,800		2,803
BNP Paribas
5.262% due 07/03/2008		5,200		5,199
Calyon Financial, Inc.
5.340% due 01/16/2009		2,800		2,800
5.395% due 06/29/2010		2,200		2,199
Dexia S.A.
5.270% due 09/29/2008		900		900
Fortis Bank NY
5.265% due 06/30/2008		2,800		2,801
5.300% due 09/30/2008		2,900		2,900
HSBC Bank USA N.A.
5.410% due 07/28/2008		1,000		1,002
Nordea Bank Finland PLC
5.282% due 12/01/2008		500		500
5.308% due 04/09/2009		5,200		5,203
Royal Bank of Canada
5.267% due 06/30/2008		4,300		4,304
Royal Bank of Scotland Group PLC
5.262% due 07/03/2008		4,000		4,000
5.265% due 03/26/2008		1,800		1,800
Skandinav Enskilda BK
5.340% due 08/21/2008		1,600		1,601
5.350% due 02/13/2009		1,800		1,801
Societe Generale NY
5.265% due 09/21/2007		2,500		2,500
5.271% due 06/30/2008		3,000		3,001
Unicredito Italiano NY
5.358% due 05/06/2008		4,100		4,101
5.360% due 05/29/2008		1,200		1,201
				50,616
Commercial Paper 33.2%
Bank of America Corp.
5.200% due 10/04/2007		12,400		12,371
Bank of Ireland
5.230% due 11/08/2007		700		699
Barclays U.S. Funding Corp.
5.245% due 09/26/2007		27,000		26,725
CBA (de) Finance
5.230% due 09/28/2007		10,600		10,594
Cox Communications, Inc.
5.570% due 09/17/2007		2,500		2,500
Danske Corp.
5.220% due 10/12/2007		18,200		18,189
Fortis Funding LLC
5.275% due 09/05/2007		11,300		11,254
Freddie Mac
4.800% due 07/02/2007		12,000		12,000
San Paolo IMI U.S. Financial Co.
5.330% due 08/08/2007		12,900		12,900
Societe Generale NY
5.225% due 11/26/2007		5,000		4,974
Svenska Handelsbanken, Inc.
5.185% due 10/09/2007		14,700		14,685
Swedbank AB
5.225% due 09/06/2007		16,100		16,025
Time Warner, Inc.
5.410% due 09/17/2007		1,200		1,187
TotalFinaElf Capital S.A.
5.340% due 07/02/2007		15,500		15,500
UBS Finance Delaware LLC
5.145% due 10/23/2007		1,200		1,195
5.230% due 10/23/2007		10,900		10,844
5.240% due 10/23/2007		300		296
5.245% due 10/23/2007		4,800		4,746
Westpac Banking Corp.
5.165% due 11/05/2007		11,700		11,481
				188,165
Repurchase Agreements 0.9%
State Street Bank and Trust Co.
4.900% due 07/02/2007		5,344		5,344
(Dated 06/29/2007. Collateralized by Federal Home Loan Bank 4.125% due 10/19/2007 valued at $5,453. Repurchase proceeds are $5,346.)
U.S. Treasury Bills 0.3%
4.645% due 09/13/2007 (b)(d)		1,405		1,390
Total Short-Term Instruments (Cost $245,507)				245,515
Purchased Options (f) 0.2% (Cost $1,372)				954
Total Investments (c) 109.6% (Cost $622,639)			$	621,642
Written Options (g) (0.1%) (Premiums $809)				(359	)
Other Assets and Liabilities (Net) (9.5%)				(53,918	)
Net Assets 100.0%			$	567,365

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 June 30, 2007, portfolio securities with an aggregate value of $26,765 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(d) Securities with an aggregate market value of $1,390 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Eurodollar June Futures	Long	06/2008	514	$	(346	)
90-Day Eurodollar March Futures	Long	03/2008	2,211		(1,739	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	1,123		450
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2007	278		(662	)
				$	(2,297	)

(e) Swap agreements outstanding on June 30, 2007:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Bank of America	Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.260% due 04/20/2010	Buy	(0.170	%)	06/20/2010	$	1,000	$	1
Bank of America	Energy Transfer Partners LP 5.950% due 02/01/2015	Sell	0.330	%	06/20/2012		600		(2	)
Bank of America	Plains All American Pipeline LP 7.750% due 10/15/2012	Sell	0.320	%	06/20/2012		600		1
Bank of America	Valero Energy Corp. 6.875% due 04/15/2012	Sell	0.320	%	06/20/2012		600		2
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		2
Barclays Bank PLC	Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008		300		1
Citibank N.A.	Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.480	%)	06/20/2012		600		(3	)
Deutsche Bank AG	Russia Government International Bond 7.500% 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		2
Deutsche Bank AG	Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012		600		(1	)
Deutsche Bank AG	GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.500	%)	06/20/2012		600		(4	)
Deutsche Bank AG	Noble Corp. 5.875% due 06/01/2013	Buy	(0.510	%)	06/20/2012		600		(2	)
Deutsche Bank AG	Transocean, Inc. 7.375% due 04/15/2018	Buy	(0.280	%)	06/20/2012		600		(2	)
JPMorgan Chase & Co.	Morgan Stanley 6.600% due 04/01/2012	Sell	0.070	%	12/20/2007		3,000		(1	)
Lehman Brothers, Inc.	Ford Motor Credit Co. 7.000% due 10/01/2013	Sell	2.500	%	09/20/2007		900		5
Lehman Brothers, Inc.	American International Group, Inc. 5.600% due 10/18/2016	Sell	0.055	%	03/20/2008		3,000		0
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		0
Lehman Brothers, Inc.	Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	12/20/2008		300		0
Merrill Lynch & Co., Inc.	Enbridge Energy Partners LP 4.750% due 06/01/2013	Sell	0.280	%	06/20/2012		600		(1	)
Merrill Lynch & Co., Inc.	Kinder Morgan Energy Partners LP 6.750% due 03/15/2011	Sell	0.290	%	06/20/2012		600		(3	)
Morgan Stanley	Multiple Reference Entities of Gazprom	Sell	0.440	%	10/20/2007		700		1
Morgan Stanley	Russia Government International Bond 7.500% 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
								$	(4	)

⁽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	)
Deutsche Bank AG	6-Month Australian Bank Bill	Pay	6.500	%	01/15/2010	AUD	6,300	$	(46	)
BNP Paribas Bank	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.983	%	03/15/2012	EUR	900		(8	)
Goldman Sachs & Co.	5-Year French CPI Ex Tobacco Daily Reference Index	Pay	1.995	%	03/15/2012		1,300		(8	)
Barclays Bank PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010	GBP	4,300		(199	)
Barclays Bank PLC	6-Month GBP-LIBOR	Receive	4.000	%	12/15/2035		1,700		138
Royal Bank of Scotland Group PLC	6-Month GBP-LIBOR	Pay	5.000	%	09/15/2010		400		(18	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	06/18/2009	$	162,900		(702	)
Deutsche Bank AG	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		9,200		(70	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		6,900		(46	)
								$	(959	)

(f) Purchased options outstanding on June 30, 2007:

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	4.750	%	09/26/2008	$	9,500	$	48	$	19
Call - OTC 1-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Pay	4.750	%	02/01/2008		30,300		87		9
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		8,500		47		10
Call - OTC 2-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		30,000		104		59
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	07/02/2007		36,100		149		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	02/01/2008		15,400		76		25
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		9,500		34		19
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		15,000		53		34
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/15/2008		51,600		214		174
									$	812	$	349

Foreign Currency Options

Description		Exercise Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.355	05/21/2008		EUR 1,500	$	45	$	50
Put - OTC Euro versus U.S. dollar		1.355	05/21/2008		1,500		45		38
Call - OTC Euro versus U.S. dollar		1.375	06/03/2010		1,400		67		71
Put - OTC Euro versus U.S. dollar		1.375	06/03/2010		1,400		67		64
Call - OTC U.S. dollar versus Japanese yen	JPY	105.200	03/31/2010	$	1,000		42		68
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		1,000		42		28
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		3,000		126		201
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		3,000		126		85
						$	560	$	605

(g) Written options outstanding on June 30, 2007:

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	4.950	%	09/26/2008	$	4,000	$	47	$	20
Call - OTC 5-Year Interest Rate Swap	Barclays Bank PLC	3-Month USD-LIBOR	Receive	4.900	%	02/01/2008		6,700		83		14
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.900	%	03/31/2008		3,700		45		11
Call - OTC 5-Year Interest Rate Swap	Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		13,000		105		65
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	07/02/2007		15,500		162		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.100	%	02/01/2008		6,700		80		24
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		4,000		33		20
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		5,000		52		36
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.200	%	12/15/2008		17,200		202		169
									$	809	$	359

(h) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
U.S. Treasury Notes	4.250	%	11/15/2014	$	8,300	$	7,836	$	7,984
U.S. Treasury Notes	4.250	%	08/15/2015		3,700		3,498		3,575
						$	11,334	$	11,559

⁽²⁾ Market value includes $125 of interest payable on short sales.

(i) Foreign currency contracts outstanding on June 30, 2007:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	BRL	3,495	10/2007	$	25	$	0		$	25
Buy		4,218	03/2008		180		0			180
Buy	CLP	410,566	11/2007		18		0			18
Buy		37,459	03/2008		0		0			0
Buy	CNY	35,208	01/2008		0		(30	)		(30	)
Buy		95,401	03/2008		0		(111	)		(111	)
Sell	GBP	1,423	08/2007		0		(15	)		(15	)
Buy	IDR	1,243,200	08/2007		1		0			1
Buy	INR	3,163	10/2007		0		0			0
Sell	JPY	401,469	07/2007		47		0			47
Buy	KRW	306,362	09/2007		6		0			6
Buy		3,257,425	11/2007		22		0			22
Buy	MXN	42,258	03/2008		47		0			47
Buy	NOK	9,150	09/2007		26		0			26
Buy	PLN	10,801	09/2007		78		0			78
Buy	RUB	4,317	09/2007		3		0			3
Buy		1,866	11/2007		3		0			3
Buy		199,914	12/2007		61		0			61
Buy	SGD	2,130	07/2007		0		(15	)		(15	)
Buy		125	08/2007		0		(1	)		(1	)
Buy		3,603	09/2007		0		(10	)		(10	)
Buy	TWD	1,862	07/2007		0		0			0
Buy		1,862	08/2007		0		0			0
Buy	ZAR	1,020	09/2007		3		0			3
Buy		3,128	03/2008		0		(6	)		(6	)
				$	520	$	(188	)	$	332

See accompanying notes

Schedule of Investments

U.S. Government Sector Portfolio

June 30, 2007 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 13.8%
Banking & Finance 11.9%
Allstate Life Global Funding Trusts
5.415% due 01/25/2008	$	11,600	$	11,612
American Express Bank FSB
5.340% due 06/12/2009		27,600		27,612
American Express Centurion Bank
5.320% due 05/07/2008		11,700		11,701
American Express Credit Corp.
5.380% due 04/06/2009		2,800		2,803
American Honda Finance Corp.
5.346% due 08/05/2008		6,400		6,402
5.420% due 03/09/2009		2,000		2,003
American International Group, Inc.
5.360% due 06/23/2008		28,900		28,912
Bank of America Corp.
5.366% due 11/06/2009		20,000		20,001
5.370% due 09/25/2009		2,000		2,002
Bank of America N.A.
5.355% due 07/25/2008		6,200		6,204
5.360% due 12/18/2008		36,400		36,421
5.360% due 02/27/2009		80,400		80,455
Bank of Ireland
5.370% due 12/19/2008		35,500		35,545
5.410% due 12/18/2009		5,500		5,511
Bank of Scotland
5.860% due 11/22/2012		2,000		2,004
Bear Stearns Cos., Inc.
5.655% due 01/30/2009		5,000		5,014
Caterpillar Financial Services Corp.
5.420% due 05/18/2009		1,300		1,302
CIT Group, Inc.
5.505% due 01/30/2009		8,600		8,589
5.510% due 08/15/2008		2,000		2,000
Citigroup, Inc.
5.400% due 12/26/2008		17,100		17,114
5.500% due 06/09/2009		2,000		2,005
Credit Agricole S.A.
5.360% due 05/28/2009		20,700		20,709
DnB NORBank ASA
5.402% due 02/25/2008		2,000		1,990
Export-Import Bank of Korea
5.450% due 06/01/2009		12,000		12,006
General Electric Capital Corp.
5.355% due 10/24/2008		5,500		5,504
5.385% due 10/26/2009		6,000		6,004
5.430% due 08/15/2011		12,200		12,196
5.455% due 10/21/2010		8,440		8,456
Goldman Sachs Group, Inc.
5.400% due 12/23/2008		24,300		24,309
5.450% due 12/22/2008		14,800		14,820
5.660% due 06/28/2010		11,600		11,675
5.760% due 10/07/2011		2,000		2,014
HBOS Treasury Services PLC
5.320% due 07/17/2008		3,400		3,403
5.397% due 07/17/2009		2,500		2,503
5.449% due 10/01/2007		2,000		2,000
HSBC Finance Corp.
5.360% due 05/21/2008		12,400		12,409
5.415% due 10/21/2009		18,600		18,612
5.440% due 03/12/2010		8,100		8,099
JPMorgan Chase & Co.
5.410% due 06/26/2009		2,500		2,504
Lehman Brothers Holdings, Inc.
5.370% due 11/24/2008		4,950		4,952
5.410% due 12/23/2008		35,000		35,037
5.445% due 10/22/2008		6,470		6,479
5.445% due 01/23/2009		10,000		10,011
Merrill Lynch & Co., Inc.
5.390% due 12/22/2008		16,000		16,004
5.395% due 10/23/2008		22,900		22,934
5.450% due 08/14/2009		5,900		5,906
Metropolitan Life Global Funding I
5.400% due 05/17/2010		18,100		18,113
Morgan Stanley
5.360% due 11/21/2008		12,000		12,001
5.406% due 05/07/2009		15,200		15,209
5.467% due 02/09/2009		27,300		27,345
Pricoa Global Funding I
5.435% due 01/25/2008		10,000		10,008
Royal Bank of Scotland Group PLC
5.405% due 07/21/2008		6,900		6,906
Santander U.S. Debt S.A. Unipersonal
5.370% due 09/21/2007		3,600		3,601
5.420% due 09/19/2008		10,600		10,611
5.420% due 11/20/2009		13,200		13,209
SLM Corp.
5.565% due 07/25/2008		3,900		3,874
5.575% due 07/25/2007		1,000		1,000
Unicredit Luxembourg Finance S.A.
5.405% due 10/24/2008		8,700		8,705
U.S. Trade Funding Corp.
4.260% due 11/15/2014		9,872		9,630
Wachovia Bank N.A.
5.360% due 02/23/2009		44,000		44,024
5.400% due 03/23/2009		2,000		2,001
Westpac Banking Corp.
5.280% due 06/06/2008		26,100		26,104
World Savings Bank FSB
5.410% due 06/20/2008		2,000		2,002
				800,091
Industrials 1.3%
CVS Caremark Corp.
5.660% due 06/01/2010		14,100		14,114
DaimlerChrysler N.A. Holding Corp.
5.710% due 03/13/2009		16,000		16,036
5.840% due 09/10/2007		20,500		20,517
Wal-Mart Stores, Inc.
5.260% due 06/16/2008		29,500		29,496
Walt Disney Co.
5.460% due 09/10/2009		8,600		8,617
				88,780
Utilities 0.6%
AT&T, Inc.
5.456% due 02/05/2010		22,000		22,039
Dominion Resources, Inc.
5.540% due 11/14/2008		2,700		2,704
Ohio Power Co.
5.530% due 04/05/2010		2,400		2,403
TXU Electric Delivery Co.
5.735% due 09/16/2008		5,000		5,003
TXU Energy Co. LLC
5.860% due 09/16/2008		6,000		6,004
				38,153
Total Corporate Bonds & Notes (Cost $926,629)				927,024
MUNICIPAL BONDS & NOTES 0.0%
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		2,875		2,839
Total Municipal Bonds & Notes (Cost $2,875)				2,839
U.S. GOVERNMENT AGENCIES 24.4%
Fannie Mae
3.847% due 10/01/2033		23,025		22,650
4.000% due 04/01/2014		12,517		12,006
4.500% due 10/25/2015 - 09/25/2020		37,665		36,909
4.673% due 05/25/2035		10,700		10,563
4.745% due 03/01/2035		4,533		4,432
4.903% due 12/01/2035		1,611		1,601
5.000% due 10/25/2013 - 02/25/2017		13,966		13,790
5.208% due 01/01/2036		8,488		8,490
5.250% due 06/15/2008 - 01/28/2013		7,935		7,899
5.298% due 08/01/2036		1,716		1,715
5.380% due 12/25/2036		4,984		4,970
5.415% due 09/01/2032		7		7
5.425% due 01/01/2018		28		29
5.440% due 03/25/2034		2,590		2,593
5.442% due 09/01/2017		29		29
5.450% due 03/25/2036		4,865		4,875
5.470% due 08/01/2014		46		47
5.480% due 03/25/2032		1,004		1,005
5.500% due 09/25/2024 - 04/01/2035		189,883		187,074
5.540% due 07/25/2032		932		932
5.560% due 06/25/2033		1,899		1,882
5.580% due 06/25/2032		4		4
5.605% due 01/01/2018		116		116
5.626% due 03/01/2018 - 11/01/2020		68		69
5.650% due 11/01/2014		31		31
5.660% due 11/25/2032		17		17
5.670% due 05/25/2042		1,118		1,120
5.794% due 08/25/2021 - 03/25/2022		182		184
5.800% due 02/09/2026		30,000		29,370
5.944% due 08/25/2022		53		54
5.950% due 02/25/2044		10,393		10,369
6.000% due 12/01/2022 - 07/01/2037		145,500		143,935
6.023% due 09/01/2033		13		14
6.044% due 04/25/2022		80		81
6.095% due 02/01/2026		15		15
6.210% due 08/06/2038		14,200		15,435
6.214% due 02/01/2041 - 10/01/2044		28,792		29,163
6.220% due 04/25/2032		1,332		1,366
6.322% due 10/01/2032		75		75
6.386% due 06/01/2025		21		21
6.400% due 12/01/2029		13		13
6.410% due 12/01/2029		64		65
6.414% due 11/01/2030		3		3
6.502% due 12/01/2029		100		102
6.641% due 06/01/2032		16		16
6.957% due 11/01/2035		4,645		4,802
6.973% due 11/01/2035		2,023		2,091
6.981% due 06/01/2021		3,292		3,352
7.027% due 12/01/2032		23		23
7.097% due 08/01/2028		14		14
7.104% due 05/01/2025		25		25
7.125% due 05/01/2022		16		16
7.218% due 12/01/2022		67		68
7.219% due 12/01/2029		18		18
7.223% due 09/01/2031		175		177
7.274% due 05/01/2032		51		51
7.275% due 12/01/2031		14		14
7.302% due 07/01/2018		789		813
7.315% due 09/01/2028		111		113
7.367% due 09/01/2026		1,008		1,022
7.375% due 09/01/2022		7		7
7.408% due 01/01/2029		75		76
7.598% due 03/01/2026		25		25
7.722% due 10/01/2025		41		42
Farmer Mac
7.280% due 07/25/2011		2,433		2,413
Federal Farm Credit Bank
5.100% due 10/15/2012		2,000		1,962
Federal Home Loan Bank
2.850% due 08/06/2007		6,000		5,986
3.450% due 01/23/2008		17,205		17,025
4.000% due 07/14/2008 - 03/18/2011		50,110		49,081
4.070% due 07/16/2014		1,000		923
4.125% due 11/17/2008		44,600		43,948
4.280% due 05/18/2009		46,660		45,914
5.120% due 01/10/2013		5,000		4,902
5.125% due 08/15/2019		98,000		95,047
Freddie Mac
0.000% due 12/11/2025		9,084		3,282
3.000% due 05/15/2022		2,300		2,262
3.500% due 01/15/2022 - 05/15/2022		1,591		1,575
4.000% due 04/06/2010 - 10/15/2023		26,468		26,137
4.250% due 04/15/2023 - 02/15/2025		14,486		14,284
4.375% due 11/16/2007		10,000		9,964
4.500% due 02/15/2015 - 09/15/2035		50,771		48,144
4.652% due 02/01/2035		8,639		8,508
4.706% due 06/01/2035		27,137		26,558
5.000% due 03/18/2014 - 01/15/2034		163,872		160,785
5.043% due 03/01/2035		799		787
5.300% due 02/27/2009		200,000		199,785
5.415% due 02/01/2025		21		21
5.500% due 08/15/2030 - 06/15/2034		10,343		9,825
5.552% due 08/01/2019		57		58
5.560% due 07/25/2031		1,106		1,107
5.625% due 11/23/2035		74,000		69,454
5.670% due 12/15/2030 - 06/15/2031		4,449		4,457
5.720% due 11/15/2016 - 03/15/2017		7,881		7,932
5.770% due 02/01/2018		62		62
5.820% due 06/15/2030 - 12/15/2032		1,576		1,602
5.870% due 06/15/2031		449		456
6.075% due 02/15/2027		35		35
6.227% due 10/25/2044 - 02/25/2045		14,030		14,120
6.427% due 07/25/2044		6,875		6,933
6.500% due 10/25/2043		2,342		2,374
6.594% due 08/01/2020		57		58
6.696% due 02/01/2032		34		34
6.958% due 05/01/2032		20		20
7.000% due 12/01/2031		109		113
7.043% due 12/01/2031		14		14
7.118% due 02/01/2024		65		65
7.121% due 02/01/2032		15		15
7.125% due 04/01/2032		21		21
7.154% due 04/01/2027		31		32
7.176% due 07/01/2020		250		255
7.215% due 03/01/2025		3		3
7.231% due 08/01/2031		7		7
7.248% due 10/01/2031		9		9
7.250% due 12/01/2027 - 12/01/2031		125		127
7.336% due 01/01/2032		88		89
7.380% due 07/01/2029		48		49
7.390% due 09/01/2031		1		1
Ginnie Mae
4.750% due 07/20/2025 - 08/20/2026		1,347		1,359
5.000% due 05/20/2034		24,685		20,278
5.125% due 10/20/2023 - 10/20/2024		189		191
5.375% due 04/20/2023 - 04/20/2032		1,617		1,635
5.380% due 05/20/2030		509		517
5.750% due 08/20/2025		33		33
6.250% due 02/20/2030		2,449		2,469
6.375% due 02/20/2024 - 03/20/2025		633		640
6.500% due 04/15/2029 - 06/15/2029		165		168
8.500% due 03/20/2025		106		112
Housing Urban Development
4.930% due 08/01/2014		4,000		3,889
Private Export Funding Corp.
5.000% due 12/15/2016		42,300		40,971
Small Business Administration
4.500% due 03/01/2023		1,189		1,123
4.760% due 09/01/2025		33,264		31,402
4.770% due 04/01/2024		9,247		8,818
4.875% due 09/10/2013		2,145		2,094
4.930% due 01/01/2024		7,926		7,655
5.136% due 08/10/2013		16,921		16,620
5.240% due 08/01/2023		4,924		4,848
5.875% due 05/25/2021 - 01/25/2022		1,251		1,258
6.000% due 03/25/2025 - 07/25/2025		1,421		1,436
6.100% due 01/25/2019 - 11/25/2024		1,684		1,699
7.060% due 11/01/2019		1,625		1,676
7.220% due 11/01/2020		1,483		1,544
7.449% due 08/01/2010		183		185
8.017% due 02/10/2010		1,121		1,158
Tennessee Valley Authority
5.375% due 04/01/2056		22,600		21,506
Total U.S. Government Agencies (Cost $1,656,062)				1,631,789
U.S. TREASURY OBLIGATIONS 13.9%
Treasury Inflation Protected Securities (c)
2.000% due 01/15/2026		1,770		1,604
2.375% due 01/15/2025		11,840		11,388
U.S. Treasury Notes
3.625% due 07/15/2009		31,000		30,249
4.500% due 03/31/2009		372,000		369,414
4.500% due 04/30/2012		200,000		196,344
4.750% due 12/31/2008		320,000		319,125
Total U.S. Treasury Obligations (Cost $928,158)				928,124
MORTGAGE-BACKED SECURITIES 20.4%
American Home Mortgage Investment Trust
5.470% due 09/25/2035		1,045		1,046
Arkle Master Issuer PLC
5.300% due 11/19/2007		12,100		12,104
Arran Residential Mortgages Funding PLC
5.340% due 04/12/2036		5,140		5,141
Banc of America Funding Corp.
4.614% due 02/20/2036		45,848		45,129
5.380% due 01/25/2037		2,457		2,458
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		1,471		1,472
Bear Stearns Adjustable Rate Mortgage Trust
4.478% due 11/25/2034		10,081		10,147
4.622% due 01/25/2034		1,456		1,460
4.625% due 10/25/2035		16,702		16,430
4.750% due 10/25/2035		23,626		23,365
5.044% due 04/25/2033		1,143		1,143
5.292% due 04/25/2033		111		110
5.329% due 02/25/2033		445		451
5.386% due 04/25/2033		1,402		1,389
Bear Stearns Alt-A Trust
5.480% due 02/25/2034		8,288		8,292
5.818% due 11/25/2036		57,487		57,430
5.824% due 11/25/2036		39,820		39,880
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		5,100		5,129
Bear Stearns Mortgage Funding Trust
5.390% due 02/25/2037		13,637		13,643
CBA Commercial Small Balance Commercial Mortgage
5.600% due 12/25/2036		5,699		5,805
CC Mortgage Funding Corp.
5.450% due 05/25/2048		9,500		9,509
5.570% due 08/25/2035		4,047		4,065
Citigroup Commercial Mortgage Trust
5.390% due 08/15/2021		3,767		3,771
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		32,782		32,195
4.900% due 10/25/2035		66,084		65,195
4.900% due 12/25/2035		5,469		5,459
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		5,343		5,381
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		2,381		2,349
5.400% due 09/20/2046		7,768		7,771
5.480% due 02/25/2047		2,031		2,028
5.500% due 03/25/2036		11,654		11,577
5.500% due 02/20/2047		15,468		15,448
5.500% due 05/25/2047		11,497		11,528
5.520% due 05/25/2036		1,267		1,268
5.530% due 05/25/2035		2,908		2,911
5.530% due 03/20/2046		12,514		12,509
5.600% due 12/25/2035		1,048		1,050
6.029% due 02/25/2036		1,385		1,394
Countrywide Home Loan Mortgage Pass-Through Trust
4.710% due 08/25/2034		6,937		6,874
5.550% due 05/25/2035		4,672		4,677
5.590% due 05/25/2034		141		142
5.610% due 04/25/2035		1,142		1,144
5.650% due 02/25/2035		3,353		3,366
5.660% due 02/25/2035		2,030		2,039
5.660% due 06/25/2035		437		437
5.867% due 09/20/2036		20,490		20,568
6.257% due 04/25/2035		1,631		1,647
CS First Boston Mortgage Securities Corp.
5.631% due 05/25/2032		118		118
5.870% due 04/25/2033		62		63
6.300% due 11/15/2030		491		495
7.519% due 06/25/2032		84		84
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust
5.390% due 01/25/2047		3,407		3,409
5.400% due 02/25/2037		4,497		4,501
Downey Savings & Loan Association Mortgage Loan Trust
5.580% due 08/19/2045		2,619		2,630
First Republic Mortgage Loan Trust
5.570% due 11/15/2030		994		995
5.640% due 06/25/2030		1,532		1,533
GMAC Commercial Mortgage Securities, Inc.
6.957% due 09/15/2035		410		427
Greenpoint Mortgage Funding Trust
5.400% due 10/25/2046		15,635		15,648
5.400% due 01/25/2047		12,823		12,830
5.540% due 06/25/2045		2,606		2,609
GS Mortgage Securities Corp. II
5.410% due 03/06/2020		33,100		33,136
5.420% due 06/06/2020		539		540
6.620% due 10/18/2030		3,875		3,902
GSR Mortgage Loan Trust
4.549% due 09/25/2035		963		956
5.458% due 04/25/2036		15,922		15,903
GSRPM Mortgage Loan Trust
6.020% due 01/25/2032		499		506
Harborview Mortgage Loan Trust
5.410% due 01/19/2038		6,935		6,944
5.450% due 04/19/2038		5,253		5,249
5.510% due 01/19/2038		25,754		25,799
5.540% due 05/19/2035		6,203		6,212
5.560% due 03/19/2037		12,285		12,311
5.690% due 02/19/2034		2,557		2,561
Impac CMB Trust
6.120% due 07/25/2033		311		312
Impac Secured Assets CMN Owner Trust
5.400% due 01/25/2037		8,132		8,140
Indymac Index Mortgage Loan Trust
5.400% due 07/25/2046		101		101
5.410% due 11/25/2046		9,010		9,016
5.420% due 01/25/2037		1,746		1,747
5.640% due 02/25/2035		13,141		13,182
5.650% due 09/25/2034		2,941		2,946
JPMorgan Mortgage Trust
4.768% due 07/25/2035		53,459		52,765
5.008% due 07/25/2035		6,606		6,525
5.352% due 02/25/2036		15,974		15,866
LB-UBS Commercial Mortgage Trust
3.323% due 03/15/2027		4,200		4,142
Lehman ABS Mortgage Loan Trust
5.410% due 06/25/2037		3,153		3,156
Lehman Brothers Floating Rate Commercial Mortgage Trust
5.400% due 09/15/2021		4,845		4,848
MASTR Adjustable Rate Mortgages Trust
5.226% due 05/25/2034		850		846
5.430% due 05/25/2047		2,308		2,309
MASTR Asset Securitization Trust
4.500% due 03/25/2018		3,158		3,089
5.500% due 09/25/2033		1,348		1,291
Mellon Residential Funding Corp.
5.670% due 11/15/2031		4,030		4,037
5.760% due 12/15/2030		4,172		4,191
Merrill Lynch Floating Trust
5.390% due 06/15/2022		5,691		5,700
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		818		810
Morgan Stanley Capital I
4.490% due 01/13/2041		350		338
5.380% due 10/15/2020		28,077		28,114
New Century Alternative Mortgage Loan Trust
5.380% due 07/25/2036		15,794		15,807
Prime Mortgage Trust
5.000% due 02/25/2019		6,030		5,875
RAAC Series 2005-SP1
5.000% due 09/25/2034		1,292		1,266
Residential Accredit Loans, Inc.
5.420% due 09/25/2046		6,081		6,078
5.530% due 04/25/2046		25,179		25,178
5.620% due 08/25/2035		4,154		4,161
5.720% due 01/25/2033		2,792		2,801
5.720% due 03/25/2033		6,999		7,026
6.389% due 09/25/2045		1,633		1,645
Residential Asset Mortgage Products, Inc.
8.500% due 10/25/2031		1,921		1,995
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		387		387
Sequoia Mortgage Trust
5.670% due 10/19/2026		3,836		3,838
5.670% due 07/20/2033		5,779		5,808
5.790% due 07/20/2033		4,064		4,075
Structured Adjustable Rate Mortgage Loan Trust
6.429% due 01/25/2035		1,568		1,576
Structured Asset Mortgage Investments, Inc.
5.390% due 08/25/2036		5,067		5,071
5.420% due 09/25/2047		3,363		3,361
5.510% due 06/25/2036		1,372		1,373
5.540% due 05/25/2036		47,047		47,141
5.610% due 07/19/2034		951		952
5.670% due 03/19/2034		1,647		1,650
Structured Asset Securities Corp.
5.329% due 10/25/2035		6,389		6,383
5.370% due 05/25/2036		5,289		5,292
5.380% due 04/25/2036		1,423		1,424
TBW Mortgage-Backed Pass-Through Certificates
5.420% due 09/25/2036		1,753		1,754
5.430% due 01/25/2037		9,485		9,494
Thornburg Mortgage Securities Trust
5.420% due 03/25/2037		21,200		21,186
5.430% due 04/25/2036		1,806		1,808
5.430% due 12/25/2036		18,481		18,481
5.440% due 08/25/2036		20,685		20,676
Wachovia Bank Commercial Mortgage Trust
5.410% due 09/15/2021		35,244		35,263
5.681% due 04/15/2034		684		685
Washington Mutual MSC Mortgage Pass-Through Certificates
5.407% due 02/25/2033		272		272
6.866% due 02/25/2033		12		13
7.301% due 05/25/2033		173		175
Washington Mutual, Inc.
4.058% due 10/25/2033		6,300		6,210
4.229% due 03/25/2034		991		979
5.474% due 02/27/2034		1,795		1,764
5.510% due 04/25/2045		989		990
5.550% due 04/25/2045		7,813		7,829
5.580% due 11/25/2045		4,740		4,758
5.590% due 12/25/2045		2,959		2,968
5.610% due 10/25/2045		6,020		6,034
5.724% due 05/25/2046		2,021		2,024
5.724% due 07/25/2046		18,019		18,102
5.724% due 08/25/2046		46,515		46,746
5.724% due 10/25/2046		3,936		3,951
5.724% due 12/25/2046		3,837		3,847
5.759% due 01/25/2047		3,450		3,449
5.839% due 12/25/2046		6,731		6,736
5.860% due 12/25/2027		11,621		11,627
6.009% due 06/25/2046		10,289		10,355
6.029% due 02/25/2046		8,085		8,100
6.223% due 05/25/2041		1,251		1,258
6.229% due 11/25/2042		2,909		2,912
6.429% due 06/25/2042		2,540		2,538
6.529% due 09/25/2046		8,095		8,129
6.529% due 11/25/2046		2,944		2,956
Wells Fargo Mortgage-Backed Securities Trust
3.539% due 09/25/2034		4,778		4,656
4.319% due 07/25/2035		12,100		11,924
4.488% due 11/25/2033		722		688
4.500% due 11/25/2018		9,967		9,683
4.950% due 03/25/2036		85,938		84,792
Total Mortgage-Backed Securities (Cost $1,366,535)				1,367,133
ASSET-BACKED SECURITIES 24.2%
Aames Mortgage Investment Trust
5.380% due 04/25/2036		1,345		1,346
Accredited Mortgage Loan Trust
5.370% due 02/25/2037		6,029		6,033
5.480% due 09/25/2035		1,946		1,947
ACE Securities Corp.
5.370% due 07/25/2036		2,537		2,537
5.370% due 08/25/2036		2,920		2,922
5.370% due 12/25/2036		4,588		4,591
5.380% due 04/25/2036		340		340
5.390% due 12/25/2035		1,701		1,702
5.400% due 02/25/2036		1,572		1,573
5.400% due 10/25/2036		4,612		4,615
5.430% due 10/25/2035		284		284
5.470% due 12/25/2035		5,517		5,521
American Express Credit Account Master Trust
5.310% due 08/15/2011		1,800		1,801
5.320% due 01/18/2011		8,000		7,996
5.320% due 03/15/2011		1,500		1,499
5.430% due 09/15/2010		10,300		10,315
5.430% due 11/15/2010		2,855		2,859
5.500% due 11/15/2010		3,000		3,007
Americredit Prime Automobile Receivables Trust
5.322% due 06/09/2008		12,300		12,300
Argent Securities, Inc.
5.360% due 06/25/2036		1,412		1,413
5.370% due 09/25/2036		4,449		4,450
5.370% due 10/25/2036		10,463		10,470
5.380% due 05/25/2036		1,537		1,537
5.390% due 04/25/2036		1,927		1,928
5.400% due 03/25/2036		2,365		2,367
Asset-Backed Funding Certificates
5.380% due 10/25/2036		4,364		4,366
5.380% due 11/25/2036		12,737		12,746
5.380% due 01/25/2037		8,366		8,371
5.670% due 06/25/2034		10,867		10,898
Asset-Backed Securities Corp. Home Equity
5.370% due 11/25/2036		7,358		7,363
5.370% due 12/25/2036		1,249		1,250
5.380% due 03/25/2036		1,058		1,059
5.400% due 05/25/2037		1,938		1,939
5.840% due 06/15/2031		486		486
5.860% due 11/15/2031		65		65
Bank One Issuance Trust
5.430% due 12/15/2010		3,700		3,706
Basic Asset-Backed Securities Trust
5.400% due 04/25/2036		1,315		1,315
Bear Stearns Asset-Backed Securities, Inc.
5.360% due 02/25/2037		8,823		8,828
5.370% due 11/25/2036		7,469		7,469
5.380% due 05/25/2036		2,836		2,837
5.390% due 12/25/2036		2,151		2,151
5.400% due 12/25/2035		496		496
5.400% due 10/25/2036		3,869		3,871
5.430% due 11/25/2036		11,534		11,540
5.590% due 09/25/2035		781		782
5.650% due 10/25/2032		206		206
5.820% due 11/25/2042		6,158		6,176
Carrington Mortgage Loan Trust
5.360% due 05/25/2036		3,614		3,615
5.370% due 08/25/2036		1,483		1,484
5.370% due 10/25/2036		7,512		7,517
5.370% due 12/25/2036		3,868		3,870
5.370% due 01/25/2037		20,384		20,396
5.385% due 07/25/2036		3,804		3,806
5.480% due 01/25/2036		6,000		6,005
5.640% due 10/25/2035		5,744		5,761
Centex Home Equity
5.370% due 06/25/2036		7,076		7,080
Chase Credit Card Master Trust
5.430% due 10/15/2010		4,000		4,007
5.430% due 02/15/2011		12,475		12,502
Chase Funding Mortgage Loan Asset-Backed Certificates
5.820% due 10/25/2031		1,470		1,471
Chase Issuance Trust
5.330% due 12/15/2010		6,237		6,242
5.340% due 07/15/2010		1,875		1,876
CIT Group Home Equity Loan Trust
5.590% due 06/25/2033		861		862
Citibank Credit Card Issuance Trust
2.900% due 05/17/2010		9,002		8,820
5.456% due 01/15/2010		4,000		4,005
5.526% due 02/07/2010		9,000		9,016
Citigroup Mortgage Loan Trust, Inc.
5.360% due 08/25/2036		5,575		5,578
5.360% due 12/25/2036		5,658		5,661
5.370% due 10/25/2036		18,784		18,797
5.370% due 11/25/2036		4,418		4,421
5.380% due 01/25/2037		3,798		3,800
5.380% due 05/25/2037		10,800		10,806
5.390% due 08/25/2036		3,105		3,107
5.400% due 12/25/2035		2,186		2,188
5.420% due 10/25/2036		6,400		6,399
5.430% due 08/25/2036		3,200		3,202
5.430% due 03/25/2037		2,874		2,876
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		1,853		1,501
Countrywide Asset-Backed Certificates
5.350% due 01/25/2046		15,397		15,401
5.370% due 01/25/2037		11,039		11,044
5.370% due 03/25/2037		15,066		15,076
5.370% due 05/25/2037		42,572		42,599
5.370% due 07/25/2037		8,601		8,606
5.370% due 12/25/2046		6,422		6,426
5.370% due 03/25/2047		6,570		6,574
5.380% due 03/25/2037		3,483		3,485
5.380% due 09/25/2046		6,757		6,759
5.390% due 06/25/2036		1,801		1,803
5.390% due 07/25/2036		1,010		1,011
5.390% due 08/25/2036		1,059		1,060
5.390% due 06/25/2037		5,983		5,986
5.400% due 06/25/2037		9,542		9,548
5.400% due 10/25/2037		3,139		3,141
5.420% due 09/25/2037		2,855		2,856
5.420% due 09/25/2047		4,304		4,307
5.430% due 10/25/2046		9,556		9,560
5.450% due 07/25/2036		883		884
5.480% due 02/25/2036		2,265		2,267
5.500% due 09/25/2036		5,500		5,504
5.510% due 06/25/2036		4,000		4,006
5.800% due 12/25/2031		309		309
Credit-Based Asset Servicing & Securitization LLC
5.380% due 11/25/2036		4,422		4,425
5.390% due 01/25/2037		5,970		5,973
5.410% due 12/25/2037		5,088		5,088
CS First Boston Mortgage Securities Corp.
5.940% due 01/25/2032		206		206
CSAB Mortgage-Backed Trust
5.420% due 06/25/2036		4,867		4,869
First Franklin Mortgage Loan Asset-Backed Certificates
5.350% due 05/25/2036		369		370
5.350% due 07/25/2036		3,651		3,654
5.360% due 09/25/2036		9,876		9,882
5.360% due 01/25/2038		6,988		6,993
5.370% due 11/25/2036		25,379		25,395
5.370% due 12/25/2036		12,216		12,223
5.370% due 03/25/2037		36,658		36,681
5.390% due 01/25/2036		667		668
5.390% due 12/25/2037		5,100		5,102
5.410% due 01/25/2036		7,145		7,151
5.690% due 12/25/2034		983		985
First NLC Trust
5.440% due 02/25/2036		1,852		1,854
First USA Credit Card Master Trust
5.470% due 05/17/2010		2,650		2,652
Franklin Auto Trust
5.320% due 04/15/2008		1,583		1,584
Fremont Home Loan Trust
5.370% due 10/25/2036		4,990		4,990
5.380% due 01/25/2037		6,456		6,455
5.490% due 01/25/2036		1,680		1,682
GE-WMC Mortgage Securities LLC
5.360% due 08/25/2036		3,492		3,494
5.420% due 12/25/2035		798		798
GSAMP Trust
5.360% due 10/25/2046		3,609		3,611
5.380% due 04/25/2036		902		902
5.390% due 01/25/2036		2,407		2,408
5.390% due 02/25/2036		1,925		1,926
5.390% due 10/25/2036		1,369		1,370
5.390% due 12/25/2036		6,021		6,024
5.410% due 11/25/2035		1,111		1,111
5.430% due 11/25/2035		267		267
GSR Mortgage Loan Trust
5.420% due 11/25/2030		976		977
GSRPM Mortgage Loan Trust
5.700% due 09/25/2042		2,159		2,164
Harley-Davidson, Inc.
5.310% due 05/15/2008		4,300		4,304
HFC Home Equity Loan Asset-Backed Certificates
5.390% due 03/20/2036		2,786		2,788
5.670% due 09/20/2033		1,481		1,487
Home Equity Asset Trust
5.380% due 05/25/2037		2,639		2,640
5.400% due 05/25/2036		1,692		1,692
5.780% due 02/25/2033		1		1
Home Equity Mortgage Trust
5.410% due 05/25/2036		206		206
Honda Auto Receivables Owner Trust
5.322% due 03/18/2008		4,386		4,390
5.342% due 11/15/2007		2,691		2,694
HSI Asset Securitization Corp. Trust
5.370% due 10/25/2036		5,482		5,479
5.370% due 12/25/2036		32,496		32,516
5.380% due 03/25/2036		739		739
5.400% due 12/25/2035		1,575		1,577
Hyundai Auto Receivables Trust
5.348% due 11/15/2007		467		467
Indymac Residential Asset-Backed Trust
5.360% due 08/25/2036		467		467
5.380% due 04/25/2037		8,601		8,604
5.400% due 07/25/2037		4,600		4,599
5.410% due 03/25/2036		3,304		3,307
5.420% due 03/25/2036		980		981
5.450% due 04/25/2037		5,435		5,439
IXIS Real Estate Capital Trust
5.380% due 05/25/2037		235		235
JPMorgan Mortgage Acquisition Corp.
5.360% due 08/25/2036		1,590		1,591
5.370% due 07/25/2036		4,412		4,415
5.370% due 08/25/2036		10,453		10,460
5.370% due 10/25/2036		13,015		13,003
5.380% due 01/25/2032		1,026		1,026
5.380% due 04/01/2037		3,319		3,318
5.380% due 05/25/2037		5,000		5,003
5.390% due 03/25/2036		1,762		1,763
5.390% due 11/25/2036		2,078		2,079
5.400% due 08/25/2036		3,365		3,366
5.400% due 03/25/2037		2,877		2,879
5.440% due 09/25/2035		15		15
5.530% due 06/25/2035		1,173		1,175
LA Arena Funding LLC
7.656% due 12/15/2026		86		90
Lehman XS Trust
5.390% due 05/25/2046		4,278		4,280
5.400% due 04/25/2046		5,390		5,393
5.400% due 07/25/2046		18,120		18,130
5.400% due 08/25/2046		7,524		7,531
5.400% due 11/25/2046		10,603		10,609
5.410% due 05/25/2046		3,328		3,329
5.440% due 11/25/2036		6,442		6,449
Long Beach Mortgage Loan Trust
5.350% due 06/25/2036		1,845		1,846
5.360% due 11/25/2036		12,584		12,592
5.370% due 08/25/2036		5,220		5,223
5.380% due 10/25/2036		3,616		3,618
5.380% due 05/25/2046		3,362		3,365
5.390% due 03/25/2036		1,281		1,282
5.410% due 01/25/2036		3,837		3,840
5.500% due 08/25/2035		1,202		1,203
5.600% due 10/25/2034		6,133		6,144
MASTR Asset-Backed Securities Trust
5.370% due 03/25/2036		974		974
5.370% due 11/25/2036		3,919		3,921
5.370% due 01/25/2037		4,939		4,941
5.380% due 10/25/2036		2,690		2,692
5.380% due 11/25/2036		6,839		6,844
5.390% due 02/25/2036		13,988		13,998
5.400% due 01/25/2036		1,874		1,876
5.400% due 05/25/2037		5,445		5,449
5.430% due 11/25/2035		4,491		4,495
MBNA Credit Card Master Note Trust
3.300% due 07/15/2010		2,420		2,392
5.320% due 12/15/2010		2,600		2,602
5.420% due 12/15/2011		2,300		2,306
5.440% due 08/16/2010		9,400		9,415
5.446% due 12/15/2009		4,200		4,203
5.501% due 09/15/2010		2,000		2,004
5.820% due 03/15/2010		11,100		11,120
Merrill Lynch First Franklin Mortgage Loan Trust
5.380% due 07/25/2037		8,800		8,801
Merrill Lynch Mortgage Investors, Inc.
5.350% due 05/25/2037		4,547		4,550
5.350% due 06/25/2037		7,002		7,006
5.380% due 03/25/2037		1,054		1,055
5.380% due 04/25/2037		1,254		1,255
5.380% due 10/25/2037		8,630		8,636
5.390% due 08/25/2036		27,129		27,131
5.390% due 07/25/2037		6,340		6,342
5.400% due 01/25/2037		227		227
5.440% due 02/25/2037		2,873		2,875
Mid-State Trust
7.340% due 07/01/2035		329		347
Morgan Stanley ABS Capital I
5.350% due 06/25/2036		1,601		1,601
5.360% due 06/25/2036		3,080		3,082
5.360% due 07/25/2036		12,250		12,257
5.360% due 10/25/2036		7,219		7,223
5.360% due 01/25/2037		16,449		16,458
5.370% due 09/25/2036		8,868		8,870
5.370% due 10/25/2036		7,310		7,311
5.370% due 11/25/2036		15,383		15,385
5.380% due 03/25/2036		837		838
5.380% due 05/25/2037		22,493		22,491
5.390% due 03/25/2036		3,157		3,158
5.400% due 12/25/2035		162		162
5.440% due 02/25/2036		6,600		6,606
Morgan Stanley Home Equity Loans
5.370% due 12/25/2036		7,322		7,326
Morgan Stanley IXIS Real Estate Capital Trust
5.370% due 11/25/2036		8,550		8,552
Morgan Stanley Mortgage Loan Trust
5.390% due 01/25/2047		9,307		9,312
Nationstar Home Equity Loan Trust
5.380% due 03/25/2037		4,399		4,402
5.380% due 06/25/2037		6,800		6,800
5.440% due 04/25/2037		3,823		3,826
Nelnet Student Loan Trust
5.325% due 10/27/2014		943		944
5.340% due 09/25/2012		7,214		7,219
5.370% due 12/22/2014		3,145		3,145
5.445% due 10/25/2016		1,211		1,212
New Century Home Equity Loan Trust
5.380% due 05/25/2036		4,811		4,814
5.390% due 08/25/2036		4,592		4,593
5.500% due 05/25/2036		2,700		2,702
5.580% due 06/25/2035		1,990		1,984
Newcastle Mortgage Securities Trust
5.390% due 03/25/2036		9,389		9,392
Nissan Auto Lease Trust
5.347% due 12/14/2007		150		151
Nomura Home Equity Loan, Inc.
5.400% due 02/25/2036		431		431
NPF XII, Inc.
2.462% due 11/01/2003 (a)		10,000		47
Option One Mortgage Loan Trust
5.360% due 02/25/2037		4,331		4,334
5.370% due 07/25/2036		2,653		2,655
5.370% due 01/25/2037		10,672		10,679
5.380% due 07/25/2037		2,942		2,944
Park Place Securities, Inc.
5.580% due 09/25/2035		1,031		1,033
Popular ABS Mortgage Pass-Through Trust
5.370% due 07/25/2036		743		743
5.410% due 06/25/2047		5,834		5,834
Renaissance Home Equity Loan Trust
5.670% due 08/25/2032		10		10
5.820% due 12/25/2033		2,275		2,294
Residential Asset Mortgage Products, Inc.
5.390% due 11/25/2036		2,263		2,264
5.390% due 02/25/2037		4,301		4,304
5.400% due 01/25/2036		4,003		4,006
5.400% due 03/25/2036		746		746
5.420% due 08/25/2046		3,972		3,975
Residential Asset Securities Corp.
5.360% due 06/25/2036		3,322		3,324
5.380% due 01/25/2037		10,117		10,119
5.390% due 03/25/2036		603		603
5.390% due 04/25/2036		1,613		1,614
5.390% due 07/25/2036		6,288		6,291
5.390% due 11/25/2036		19,581		19,595
5.390% due 02/25/2037		3,581		3,583
5.400% due 01/25/2036		1,574		1,575
5.410% due 01/25/2036		1,633		1,634
5.430% due 04/25/2037		4,779		4,783
Residential Funding Mortgage Securities II, Inc.
5.460% due 09/25/2035		673		673
SACO I, Inc.
5.400% due 04/25/2036		35		35
Salomon Brothers Mortgage Securities VII, Inc.
5.620% due 03/25/2032		355		356
6.275% due 01/25/2032		147		147
Saxon Asset Securities Trust
5.380% due 11/25/2036		12,270		12,273
5.590% due 01/25/2032		155		155
5.840% due 08/25/2032		44		44
SBI HELOC Trust
5.490% due 08/25/2036		4,740		4,745
Securitized Asset-Backed Receivables LLC Trust
5.360% due 01/25/2037		6,976		6,980
5.370% due 09/25/2036		3,426		3,428
5.380% due 12/25/2036		14,254		14,261
5.390% due 10/25/2035		395		395
5.400% due 11/25/2036		3,897		3,898
SLM Student Loan Trust
3.800% due 12/15/2038		6,900		6,688
5.325% due 04/25/2012		1,693		1,695
5.325% due 10/25/2012		4,403		4,405
5.325% due 07/25/2013		5,659		5,662
5.335% due 04/25/2014		11,575		11,583
5.345% due 10/27/2014		9,693		9,700
5.345% due 07/25/2017		11,000		11,009
Soundview Home Equity Loan Trust
5.360% due 11/25/2036		8,240		8,243
5.370% due 10/25/2036		7,720		7,726
5.380% due 11/25/2036		5,234		5,234
5.380% due 12/25/2036		1,847		1,848
5.390% due 03/25/2036		108		108
5.390% due 05/25/2036		475		475
5.400% due 01/25/2037		7,289		7,294
5.400% due 06/25/2037		4,674		4,677
5.420% due 12/25/2035		301		301
5.420% due 10/25/2036		2,280		2,281
5.550% due 06/25/2035		592		592
Specialty Underwriting & Residential Finance
5.350% due 06/25/2037		4,271		4,272
5.365% due 11/25/2037		5,990		5,990
5.380% due 02/25/2037		1,648		1,648
5.380% due 01/25/2038		4,940		4,942
Structured Asset Investment Loan Trust
5.360% due 09/25/2036		3,051		3,051
5.370% due 07/25/2036		10,450		10,445
Structured Asset Securities Corp.
5.370% due 02/25/2036		2,190		2,192
5.370% due 10/25/2036		15,743		15,749
5.400% due 11/25/2035		1,817		1,819
5.400% due 01/25/2037		2,450		2,451
5.420% due 01/25/2037		3,550		3,545
5.720% due 05/25/2034		487		490
Triad Auto Receivables Owner Trust
5.303% due 06/12/2008		2,988		2,991
Truman Capital Mortgage Loan Trust
5.660% due 01/25/2034		166		167
USAA Auto Owner Trust
5.030% due 11/17/2008		281		281
5.337% due 07/11/2008		5,800		5,801
Wachovia Auto Owner Trust
4.820% due 02/20/2009		372		372
5.337% due 06/20/2008		10,400		10,402
Wachovia Student Loan Trust
5.335% due 10/25/2013		104		104
Washington Mutual Asset-Backed Certificates
5.370% due 01/25/2037		8,740		8,746
5.390% due 04/25/2036		1,347		1,347
Wells Fargo Home Equity Trust
5.370% due 01/25/2037		4,611		4,614
5.420% due 03/25/2037		1,940		1,942
5.430% due 11/25/2035		17,042		17,053
Total Asset-Backed Securities (Cost $1,623,435)				1,617,737
SOVEREIGN ISSUES 1.4%
Canada Mortgage & Housing Corp.
3.375% due 12/01/2008		27,900		27,244
Israel Government AID Bond
0.000% due 11/01/2024		178,000		68,810
Total Sovereign Issues (Cost $98,796)				96,054
SHORT-TERM INSTRUMENTS 17.6%
Certificates of Deposit 11.0%
Abbey National Treasury Services PLC
5.270% due 07/02/2008		4,300		4,302
5.276% due 07/02/2008		28,700		28,712
BNP Paribas
5.262% due 05/28/2008		33,500		33,512
5.262% due 07/03/2008		54,300		54,289
5.264% due 04/03/2008		2,700		2,700
Calyon Financial, Inc.
5.340% due 01/16/2009		57,900		57,910
Dexia S.A.
5.270% due 09/29/2008		35,200		35,210
Fortis Bank NY
5.265% due 04/28/2008		32,700		32,717
5.265% due 06/30/2008		54,200		54,221
5.300% due 09/30/2008		35,200		35,204
HSBC Bank USA N.A.
5.426% due 07/28/2008		2,200		2,204
Nordea Bank Finland PLC
5.267% due 03/31/2008		6,300		6,301
5.308% due 05/28/2008		33,500		33,519
Royal Bank of Canada
5.267% due 06/30/2008		97,700		97,784
Royal Bank of Scotland Group PLC
5.262% due 07/03/2008		73,100		73,103
Skandinav Enskilda BK
5.272% due 07/06/2007		16,300		16,299
5.272% due 10/03/2007		10,200		10,198
5.300% due 02/04/2008		14,700		14,721
5.340% due 08/21/2008		12,000		12,005
5.350% due 02/13/2009		41,300		41,332
Societe Generale NY
5.270% due 03/26/2008		25,000		25,001
5.271% due 06/30/2008		24,000		24,010
Unicredito Italiano NY
5.358% due 05/06/2008		10,000		10,003
5.370% due 05/29/2008		34,000		34,017
				739,274
Commercial Paper 2.7%
Fannie Mae
5.080% due 07/02/2007		150,000		150,000
Freddie Mac
4.800% due 07/02/2007		30,000		30,000
				180,000
Tri-Party Repurchase Agreements 0.4%
State Street Bank and Trust Co.
4.900% due 07/02/2007		23,958		23,958
(Dated 06/29/2007. Collateralized by Fannie Mae 5.080% - 6.125% due 05/14/2010 - 12/06/2021 valued at $24,439. Repurchase proceeds are $23,968.)
U.S. Treasury Bills 3.5%
4.592% due 08/30/2007 - 09/13/2007 (b)(d)(f)		234,050		231,551
Total Short-Term Instruments (Cost $1,174,634)				1,174,783
Purchased Options (h) 0.2% (Cost $44,255)				12,505
Total Investments (e) 115.9% (Cost $7,821,379)			$	7,757,988
Written Options (i) (0.3%) (Premiums $52,208)				(17,649	)
Other Assets and Liabilities (Net) (15.6%)				(1,046,678	)
Net Assets 100.0%			$	6,693,661

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) Securities with an aggregate market value of $121,480 have been pledged as collateral for swap and swaption contracts on June 30, 2007.

(e) As of June 30, 2007, portfolio securities with an aggregate value of $123,814 were valued in good faith and pursuant to the guidelines established by the Board of Trustees.

(f) Securities with an aggregate market value of $106,660 and cash with a market value of $11,225 have been segregated with the custodian to cover margin requirements for the following open futures contracts on June 30, 2007:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Eurodollar December Futures	Long	12/2007	50,445	$	(35,106	)
90-Day Eurodollar December Futures	Long	12/2008	11,932		4,398
90-Day Eurodollar June Futures	Long	06/2008	62,157		(34,860	)
90-Day Eurodollar March Futures	Long	03/2008	59,078		(27,668	)
U.S. Treasury 5-Year Note September Futures	Long	09/2007	24,761		(7,891	)
U.S. Treasury 10-Year Note September Futures	Short	09/2007	16,608		(4,895	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2007	7,058		(5,771	)
				$	(111,793	)

(g) Swap agreements outstanding on June 30, 2007:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
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	%)	12/09/2040	$	3,000	$	345

⁽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	%	12/19/2009	$	898,100	$	(976	)
Barclays Bank PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		56,500		(63	)
Bear Stearns & Co., Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		500,000		1,778
Citibank N.A.	3-Month USD-LIBOR	Pay	5.000	%	06/20/2012		79,400		(1,272	)
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		167,000		348
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		451,500		1,429
Deutsche Bank AG	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		243,100		3,003
Goldman Sachs & Co.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2009		309,700		(348	)
Lehman Brothers, Inc.	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		182,400		229
Lehman Brothers, Inc.	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		568,230		(4,446	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2009		780,100		(7,315	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	06/20/2012		12,900		(379	)
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		545,200		1,509
Morgan Stanley	3-Month USD-LIBOR	Pay	5.000	%	12/19/2037		241,300		3,946
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	06/20/2012		246,500		(7,219	)
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.000	%	12/19/2012		1,116,500		4,097
Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/19/2017		767,870		(5,514	)
UBS Warburg LLC	3-Month USD-LIBOR	Pay	5.000	%	12/20/2009		470,000		13
								$	(11,180	)

(h) Purchased options outstanding on June 30, 2007:

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	$	46
Call - CME 90-Day Eurodollar December Futures		96.250	12/17/2007	365		38		0
Put - CBOT U.S. Treasury 5-Year Note September Futures		99.000	08/24/2007	12,000		227		187
Put - CME 90-Day Eurodollar December Futures		94.500	12/17/2007	1,830		646		126
Put - CME 90-Day Eurodollar September Futures		90.250	09/17/2007	10,422		99		0
Put - CME 90-Day Eurodollar September Futures		90.500	09/17/2007	4,003		38		0
Put - CME 90-Day Eurodollar September Futures		91.000	09/17/2007	3,200		30		0
					$	1,770	$	359

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	4.750	%	09/26/2008	$	1,588,800	$	7,658	$	3,126
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	5.250	%	07/02/2007		3,289,100		17,280		0
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	03/31/2008		1,014,000		5,678		1,252
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	09/26/2008		420,200		1,502		827
Call - OTC 2-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Pay	4.750	%	12/15/2008		3,058,000		10,367		6,941
									$	42,485	$	12,146

(i) Written options outstanding on June 30, 2007:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CME 90-Day Eurodollar December Futures	$	95.250	12/17/2007	365	$	236	$	18

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	%	05/02/2008	$	51,200	$	1,024	$	29
Put - OTC 7-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Pay	5.500	%	05/02/2008		51,200		1,214		991
Call - OTC 5-Year Interest Rate Swap	Bank of America	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		692,100		7,754		3,486
Call - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Receive	4.500	%	05/02/2008		113,000		2,497		146
Put - OTC 7-Year Interest Rate Swap	JPMorgan Chase & Co.	3-Month USD-LIBOR	Pay	5.500	%	05/02/2008		113,000		2,678		2,187
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Receive	4.500	%	05/02/2008		51,200		1,024		29
Put - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	3-Month USD-LIBOR	Pay	5.500	%	05/02/2008		51,200		1,208		991
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.370	%	07/02/2007		1,429,000		17,235		0
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	03/31/2008		441,000		5,424		1,508
Call - OTC 5-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	4.950	%	09/26/2008		185,900		1,525		936
Call - OTC 7-Year Interest Rate Swap	Royal Bank of Scotland Group PLC	3-Month USD-LIBOR	Receive	5.000	%	12/15/2008		1,031,200		10,389		7,328
									$	51,972	$	17,631

(j) Short sales outstanding on June 30, 2007:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	07/01/2037	$	17,332	$	16,834	$	16,717
U.S. Treasury Notes	4.625	%	02/15/2017		1,051,000		1,003,996		1,037,839
						$	1,020,830	$	1,054,556

⁽²⁾ Market value includes $19,681 of interest payable on short sales.

See accompanying notes

Supplementary Notes to Schedule of Investments

1. Federal Income Tax Matters

At June 30, 2007, 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	Aggregate Gross Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
All Asset All Authority Fund	18,680	(25,574	)	(6,894	)
All Asset Fund	252,658	(86,687	)	165,971
California Intermediate Municipal Bond Fund	2,442	(890	)	1,552
California Short Duration Municipal Income Fund	0	(67	)	(67	)
CommodityRealReturn Strategy Fund®	314,710	(403,765	)	(89,055	)
Convertible Fund	9,604	(1,216	)	8,388
Developing Local Markets Fund	18,892	(3,187	)	15,705
Diversified Income Fund	31,782	(48,083	)	(16,301	)
Emerging Local Bond Fund	25,425	(9,223	)	16,202
Emerging Markets Bond Fund	89,619	(16,461	)	73,158
European StocksPLUS® TR Strategy Fund	42	(48	)	(6	)
Extended Duration Fund	61	(85	)	(24	)
Far East (ex-Japan) StocksPLUS® TR Strategy Fund	153	(87	)	66
Floating Income Fund	22,330	(39,971	)	(17,641	)
Foreign Bond Fund (Unhedged)	7,832	(61,032	)	(53,200	)
Foreign Bond Fund (U.S. Dollar-Hedged)	76,765	(93,282	)	(16,517	)
Fundamental IndexPLUS™ Fund	392	(370	)	22
Fundamental IndexPLUS™ TR Fund	528	(5,005	)	(4,477	)
Global Bond Fund (Unhedged)	15,590	(35,954	)	(20,364	)
Global Bond Fund (U.S. Dollar-Hedged)	3,874	(7,740	)	(3,866	)
GNMA Fund	460	(3,700	)	(3,240	)
High Yield Fund	130,894	(74,806	)	56,088
High Yield Municipal Bond Fund	419	(1,563	)	(1,144	)
Income Fund	202	(648	)	(446	)
International StocksPLUS® TR Strategy Fund (Unhedged)	32	(322	)	(290	)
International StocksPLUS® TR Strategy Fund (U.S. Dollar Hedged)	4,655	(5,937	)	(1,282	)
Investment Grade Corporate Bond Fund	372	(1,580	)	(1,208	)
Japanese StocksPLUS® TR Strategy Fund	66	(234	)	(168	)
Long Duration Total Return Fund	24	(1,257	)	(1,233	)
Long-Term U.S. Government Fund	3,049	(32,243	)	(29,194	)
Low Duration Fund	7,606	(101,225	)	(93,619	)
Low Duration Fund II	497	(2,754	)	(2,257	)
Low Duration Fund III	99	(684	)	(585	)
Moderate Duration Fund	4,067	(31,047	)	(26,980	)
Money Market Fund	0	0		0
Municipal Bond Fund	9,716	(6,285	)	3,431
New York Municipal Bond Fund	337	(801	)	(464	)
Real Return Asset Fund	4,374	(27,898	)	(23,524	)
Real Return Fund	109,983	(358,870	)	(248,887	)
RealEstateRealReturn Strategy Fund	628	(4,769	)	(4,141	)
Short Duration Municipal Income Fund	1,135	(4,001	)	(2,866	)
Short-Term Fund	3,568	(10,679	)	(7,111	)
Small Cap StocksPLUS® TR Fund	25	(91	)	(66	)
StocksPLUS® Fund	4,692	(4,130	)	562
StocksPLUS® Total Return Fund	305	(5,193	)	(4,888	)
StocksPLUS® TR Short Strategy Fund	166	(1,221	)	(1,055	)
Total Return Fund	341,636	(1,862,105	)	(1,520,469	)
Total Return Fund II	4,836	(43,316	)	(38,480	)
Total Return Fund III	3,601	(34,317	)	(30,716	)
Total Return Mortgage Fund	451	(9,466	)	(9,015	)
Asset-Backed Securities Portfolio	2,196	(4,575	)	(2,379	)
Developing Local Markets Portfolio	1,318	(376	)	942
Emerging Markets Portfolio	14,436	(15,980	)	(1,544	)
High Yield Portfolio	3,274	(4,063	)	(789	)
International Portfolio	20,066	(997	)	19,069
Investment Grade Corporate Portfolio	29,024	(20,694	)	8,330
Mortgage Portfolio	21,244	(278,434	)	(257,190	)
Municipal Sector Portfolio	6,617	(4,279	)	2,338
Real Return Portfolio	2,523	(26,102	)	(23,579	)
Short-Term Portfolio	7,404	(30,350	)	(22,946	)
Short-Term Portfolio II	516	(1,513	)	(997	)
U.S. Government Sector Portfolio	6,519	(69,910	)	(63,391	)

2. Non-U.S. Currency symbols utilized throughout reports are defined as follows:

AED	–	United Arab Emirates Dirham
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
KWD	–	Kuwaiti Dinar
KZT	–	Kazakhstan Tenge
MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
NOK	–	Norwegian Krone
NZD	–	New Zealand Dollar
PEN	–	Peruvian New Sol
PHP	–	Philippine Peso
PLN	–	Polish Zloty
RON	–	Romanian Leu
RUB	–	Russian Ruble
SAR	–	Saudi Riyal
SEK	–	Swedish Krona
SGD	–	Singapore Dollar
SKK	–	Slovakian Koruna
THB	–	Thai Baht
TRL	–	Turkish Lira
TWD	–	Taiwan Dollar
UYU	–	Uruguayan Peso
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 registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.

(b) There has been no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the 1940 Act is attached as Exhibit 99.CERT.

Signatures

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

PIMCO Funds
By:	/s/    ERNEST L. SCHMIDER
	Ernest L. Schmider
	President, Principal Executive Officer
Date:	August 29, 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:	August 29, 2007
By:	/s/    JOHN P. HARDAWAY
	John P. Hardaway
	Treasurer, Principal Financial Officer
Date:	August 29, 2007