N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-05028

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 and Principal Financial Officer

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: June 30, 2008

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

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

Item1. Schedule of Investments

Table of Contents
All Asset All Authority Fund	Low Duration Fund III
All Asset Fund	Moderate Duration Fund
California Intermediate Municipal Bond Fund	Money Market Fund
California Short Duration Municipal Income Fund	Mortgage-Backed Securities 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	RealRetirementTM 2010 Fund
European StocksPLUS® TR Strategy Fund	RealRetirementTM 2020 Fund
Extended Duration Fund	RealRetirementTM 2030 Fund
Far East (ex-Japan) StocksPLUS® TR Strategy Fund	RealRetirementTM 2040 Fund
Floating Income Fund	RealRetirementTM 2050 Fund
Foreign Bond Fund (Unhedged)	Short Duration Municipal Income Fund
Foreign Bond Fund (U.S. Dollar-Hedged)	Short-Term Fund
Fundamental Advantage Tax Efficient Strategy Fund	Small Cap StocksPLUS® TR Fund
Fundamental Advantage Total Return Strategy Fund	StocksPLUS® Fund
Fundamental IndexPLUSTM Fund	StocksPLUS® Long Duration Fund
Fundamental IndexPLUSTM TR Fund	StocksPLUS® Total Return Fund
Global Bond Fund (Unhedged)	StocksPLUS® TR Short Strategy Fund
Global Bond Fund (U.S. Dollar-Hedged)	Total Return Fund
GNMA Fund	Total Return Fund II
High Yield Fund	Total Return Fund III
High Yield Municipal Bond Fund	Unconstrained Bond Fund
Income Fund	Asset-Backed Securities Portfolio
International StocksPLUS® TR Strategy Fund (Unhedged)	Developing Local Markets Portfolio
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)	Emerging Markets Portfolio
Investment Grade Corporate Bond Fund	High Yield Portfolio
Japanese StocksPLUS® TR Strategy Fund	International Portfolio
Long Duration Total Return Fund	Investment Grade Corporate Portfolio
Long-Term U.S. Government Fund	Mortgage Portfolio
Low Duration Fund	Municipal Sector Portfolio
Low Duration Fund II	Real Return Portfolio
	Short-Term Portfolio
	Short-Term II Portfolio
	U.S. Government Sector Portfolio

Schedule of Investments

All Asset All Authority Fund

June 30, 2008 (Unaudited)

	Shares		Value (000s)
PIMCO FUNDS (a)(b) 109.5%
CommodityRealReturn Strategy Fund®		1,786,142	$	36,884
Convertible Fund		856,068		11,283
Developing Local Markets Fund		11,361,640		124,410
Diversified Income Fund		2,461,129		25,645
Emerging Local Bond Fund		10,177,162		98,006
Emerging Markets Bond Fund		7,594,837		78,607
European StocksPLUS® TR Strategy Fund		137,498		1,112
Far East (ex-Japan) StocksPLUS® TR Strategy Fund		1,162,204		12,494
Floating Income Fund		52,986		481
Foreign Bond Fund (Unhedged)		966,252		10,464
Fundamental Advantage Total Return Strategy Fund		5,046,032		49,047
Fundamental IndexPLUSTM Fund		116,811		1,055
Fundamental IndexPLUSTM TR Fund		108,581		960
Global Bond Fund (Unhedged)		25,849		268
GNMA Fund		59		1
High Yield Fund		2,396,738		21,642
Income Fund		4,578,384		44,044
Investment Grade Corporate Bond Fund		4,284,491		43,702
Japanese StocksPLUS® TR Strategy Fund		1,628,084		16,378
Long Duration Total Return Fund		2,175,386		22,167
Long-Term U.S. Government Fund		913,412		10,011
Low Duration Fund		76,837		768
Real Return Asset Fund		26,981,617		317,304
Real Return Fund		7,140,889		80,192
RealEstateRealReturn Strategy Fund		7,096,766		40,239
Short-Term Fund		65		1
Small Cap StocksPLUS® TR Fund		383,487		3,471
StocksPLUS® Fund		140,544		1,320
StocksPLUS® Total Return Fund		220,163		2,092
StocksPLUS® TR Short Strategy Fund		20,456,481		194,950
Total Return Fund		4,681,952		49,769
Total PIMCO Funds (Cost $1,280,382)				1,298,767
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 1.0%
Repurchase Agreements 1.0%
State Street Bank and Trust Co.
1.650% due 07/01/2008	$	12,054		12,054
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $12,300. Repurchase proceeds are $12,055.)
Total Short-Term Instruments (Cost $12,054)				12,054
Total Investments 110.5% (Cost $1,292,436)			$	1,310,821
Other Assets and Liabilities (Net) (10.5%)				(124,372	)
Net Assets 100.0%			$	1,186,449

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.

(c) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	1,298,767	$	12,054	$	0	$	1,310,821
Other Financial Instruments++		0		0		0		0
Total	$	1,298,767	$	12,054	$	0	$	1,310,821

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

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

See Accompanying Notes

Schedule of Investments

All Asset Fund

June 30, 2008 (Unaudited)

	Shares		Value (000s)
PIMCO FUNDS (a)(b) 99.4%
CommodityRealReturn Strategy Fund®		25,386,924	$	524,240
Convertible Fund		23,136,047		304,933
Developing Local Markets Fund		148,385,607		1,624,822
Diversified Income Fund		41,204,804		429,354
Emerging Local Bond Fund		141,990,858		1,367,372
Emerging Markets Bond Fund		99,215,018		1,026,875
Floating Income Fund		75,174,688		682,586
Foreign Bond Fund (Unhedged)		673,366		7,293
Fundamental Advantage Total Return Strategy Fund		43,416,407		422,008
Fundamental IndexPLUSTM Fund		24,402,929		220,358
Fundamental IndexPLUSTM TR Fund		37,353,015		330,201
Global Bond Fund (Unhedged)		777,783		8,073
GNMA Fund		11,059,201		123,974
High Yield Fund		39,306,656		354,939
Income Fund		21,760,752		209,338
International StocksPLUS® TR Strategy Fund (Unhedged)		5,440,884		49,839
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)		31,104,339		308,244
Investment Grade Corporate Bond Fund		36,173,683		368,972
Long Duration Total Return Fund		30,529,673		311,097
Long-Term U.S. Government Fund		4,155,232		45,541
Low Duration Fund		2,714,209		27,142
Real Return Asset Fund		276,692,084		3,253,899
Real Return Fund		137,995,957		1,549,695
RealEstateRealReturn Strategy Fund		103,479,380		586,728
Short-Term Fund		1,196,389		11,725
Small Cap StocksPLUS® TR Fund		15,388,514		139,266
StocksPLUS® Fund		1,319,690		12,392
StocksPLUS® Total Return Fund		5,413,626		51,429
Total Return Fund		92,629,888		984,656
Total PIMCO Funds (Cost $15,390,710)				15,336,991
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 0.1%
Repurchase Agreements 0.1%
Fixed Income Clearing Corp.
1.650% due 07/01/2008	$	12,930		12,930
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.400% - 2.620% due 04/28/2009 - 05/13/2009 valued at $8,896 and Freddie Mac 3.375% due 04/15/2009 valued at $4,293. Repurchase proceeds are $12,931.)
Total Short-Term Instruments (Cost $12,930)				12,930
Total Investments 99.5% (Cost $15,403,640)			$	15,349,921
Other Assets and Liabilities (Net) 0.5%				71,539
Net Assets 100.0%			$	15,421,460

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

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

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

(b) Institutional Class Shares of each PIMCO Fund.

(c) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	15,336,991	$	12,930	$	0	$	15,349,921
Other Financial Instruments++		0		0		0		0
Total	$	15,336,991	$	12,930	$	0	$	15,349,921

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

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

See Accompanying Notes

Schedule of Investments

California Intermediate Municipal Bond Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 3.2%
American International Group, Inc.
8.175% due 05/15/2058	$	700	$	661
Bank of America Corp.
8.000% due 12/29/2049		2,000		1,879
Citigroup, Inc.
8.400% due 04/29/2049		500		476
Morgan Stanley
4.778% due 05/14/2010		1,000		997
Wachovia Bank N.A.
3.619% due 05/14/2010		400		398
Total Corporate Bonds & Notes (Cost $4,600)				4,411
MUNICIPAL BONDS & NOTES 95.0%
California 79.6%
Alameda, California Business Park Assessment Revenue Bonds, Series 1998
5.500% due 09/02/2012		1,180		1,203
Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997
0.000% due 09/01/2022		2,000		983
Antioch, California Public Financing Authority Revenue Notes, Series 1998
5.500% due 09/02/2008		465		468
Bay Area, California Toll Authority Revenue Bonds, (AMBAC Insured), Series 2006
7.250% due 04/01/2045		1,000		1,000
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 Corp. Certificates of Participation Bonds, (AMBAC Insured), Series 1993
7.000% due 08/01/2023		1,665		1,665
California State Association of Bay Area Governments Financing Authority for Non-Profit Corp. Revenue Bonds, (CM Insured), Series 2001
5.250% due 04/01/2026		2,000		2,056
California State Association of Bay Area Governments Financing Authority for Non-Profit Corp. Revenue Bonds, Series 2003
5.200% due 11/15/2022		2,000		2,033
California State Bay Area Toll Authority Revenue Bonds, (AMBAC Insured), Series 2001
5.750% due 04/01/2036		2,000		2,000
California State Educational Facilities Authority Revenue Bonds, (MBIA Insured), Series 2001
0.000% due 10/01/2014		500		386
California State Educational Facilities Authority Revenue Notes, Series 2005
5.000% due 10/01/2012		540		569
5.000% due 10/01/2013		570		603
California State Educational Facilities Authority Revenue Notes, Series 2006
5.000% due 11/01/2014		750		790
California State Educational Facilities Authority Revenue Notes, Series 2008
5.000% due 01/01/2018		1,500		1,625
California State Encinitas Union School District General Obligation Bonds, (MBIA Insured), Series 1996
0.000% due 08/01/2018		1,500		929
California State for Precious Veterans General Obligation Bonds, Series 2000
5.700% due 12/01/2032		160		159
California State General Obligation Bonds, Series 2004
1.650% due 05/01/2034		1,200		1,200
California State Health Facilities Financing Authority Revenue Bonds, (AMBAC Insured), Series 2005
7.250% due 10/01/2019		1,000		1,000
California State Health Facilities Financing Authority Revenue Bonds, Series 2008
5.500% due 08/15/2018		500		542
California State Health Facilities Financing Authority Revenue Notes, (CM Insured), Series 2000
5.000% due 09/01/2010		350		358
California State Health Facilities Financing Authority Revenue Notes, Series 2005
5.000% due 07/01/2010		500		515
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		1,416
California State Infrastructure & Economic Development Bank Revenue Notes, Series 2008
4.000% due 02/01/2009		500		506
California State Mountain House Public Financing Authority Revenue Notes, Series 2007
5.000% due 12/01/2015		640		674
California State Pollution Control Financing Authority Revenue Bonds, (FGIC Insured), Series 2004
4.750% due 12/01/2023		3,000		2,618
California State Pollution Control Financing Authority Revenue Bonds, Series 2002
5.000% due 01/01/2022		2,000		1,788
California State Public Works Board Lease Revenue Bonds, Series 2005
5.000% due 04/01/2017		2,000		2,106
California State Public Works Board Lease Revenue Notes, (FGIC Insured), Series 2006
5.000% due 10/01/2016		2,500		2,663
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2043		1,000		932
California State Tobacco Securitization Agency Revenue Bonds, Series 2006
0.000% due 06/01/2028 (a)		4,500		3,428
California Statewide Communities Development Authority Revenue Bonds, (CM Insured), Series 2001
5.000% due 10/01/2018		2,000		2,013
California Statewide Communities Development Authority Revenue Bonds, (XLCA Insured), Series 2006
4.100% due 04/01/2028		1,000		967
California Statewide Communities Development Authority Revenue Bonds, Series 1998
5.100% due 05/15/2025		2,000		2,020
5.250% due 05/15/2025		1,000		1,010
California Statewide Communities Development Authority Revenue Bonds, Series 2002
5.500% due 08/15/2034		1,000		1,008
6.750% due 07/01/2032 (d)		1,300		1,346
California Statewide Communities Development Authority Revenue Bonds, Series 2005
5.000% due 03/01/2018		125		126
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.150% due 07/01/2030		650		551
5.500% due 11/01/2038		500		445
California Statewide Communities Development Authority Revenue Notes, Series 2004
5.500% due 05/15/2012		1,000		1,034
California Statewide Communities Development Authority Revenue Notes, Series 2005
5.000% due 07/01/2013		850		885
California Statewide Financing Authority Revenue Notes, Series 2002
4.600% due 05/01/2012		1,030		1,010
Campbell, California Redevelopment Agency Tax Allocation Notes, Series 2002
4.700% due 10/01/2011		505		516
Capistrano, California Unified School District Special Tax Bonds, Series 2003
5.250% due 09/01/2016		700		675
5.375% due 09/01/2017		800		779
Chula Vista, California Special Tax Bonds, Series 2000
6.350% due 09/01/2017		230		236
6.400% due 09/01/2018		120		123
Contra Costa County, California Public Financing Authority Tax Allocation Bonds, Series 2003
5.625% due 08/01/2033		2,000		2,171
Corona, California Community Facilities District Special Tax Bonds, Series 1998
5.875% due 09/01/2023		1,000		984
Desert Sands, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 06/01/2014		3,000		2,345
El Monte, California School District General Obligation Notes, (FGIC Insured), Series 2005
0.000% due 05/01/2012		1,555		1,338
El Monte, California School District General Obligation Notes, (FGIC Insured), Series 2006
0.000% due 06/01/2013		1,195		977
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2003
6.250% due 06/01/2033		1,865		2,016
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.125% due 06/01/2047		2,150		1,646
Grossmont-Cuyamaca Community College District, California General Obligation Bonds, (AGC Insured), Series 2008
5.000% due 08/01/2018		500		541
Inland Empire, California Tobacco Securitization Authority Revenue Bonds, Series 2007
4.625% due 06/01/2021		955		873
Long Beach, California Bond Finance Authority Revenue Bonds, Series 2007
5.000% due 11/15/2029		1,000		895
5.250% due 11/15/2018		1,000		983
Long Beach, California Special Tax Bonds, Series 2008
5.375% due 10/01/2022		250		241
Los Angeles, California Department of Airports Revenue Notes, (MBIA Insured), Series 2006
5.000% due 05/15/2016		1,000		1,027
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		1,254
Modesto, California Irrigation District Certificates of Participation Notes, (AMBAC Insured), Series 2006
5.000% due 10/01/2015		3,545		3,780
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2016		500		348
Oakland, California Joint Powers Financing Authority, Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 06/15/2019		1,250		1,303
Orange County, California Community Facilities District Special Tax Bonds, Series 2000
5.600% due 08/15/2011		455		457
5.700% due 08/15/2012		485		487
5.800% due 08/15/2013		600		603
Orange County, California Local Transportation Authority Revenue Bonds, (AMBAC Insured), Series 1992
6.200% due 02/14/2011		3,250		3,473
Oxnard, California Financing Authority Revenue Bonds, (AMBAC Insured), Series 2006
6.000% due 06/01/2036		1,000		1,000
Palm Springs, California Revenue Notes, Series 2008
5.300% due 07/01/2013		250		249
Redding, California Redevelopment Agency Tax Allocation Bonds, Series 2006
5.000% due 09/01/2036		1,250		1,115
Rio Vista, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 09/01/2009		170		171
Riverbank Redevelopment Agency of California State Tax Allocation Notes, Series 2007
4.100% due 08/01/2013		255		250
Riverside County, California Asset Leasing Corp. Revenue Bonds, (MBIA Insured), Series 2000
8.250% due 11/01/2032		1,000		1,000
Riverside, California Revenue Bonds, (AMBAC Insured), Series 1998
5.375% due 10/01/2009		500		509
Sacramento, California County Sanitation District Revenue Bonds, (FGIC Insured), Series 2006
5.000% due 12/01/2017		1,000		1,067
Sacramento, California County Sanitation District Revenue Bonds, Series 2008
1.700% due 12/01/2036		600		600
Sacramento, California Municipal Utility District Revenue Bonds, Series 1983
9.000% due 04/01/2013		585		676
San Diego County, California Certificates of Participation Notes, Series 2006
5.000% due 09/01/2013		1,340		1,352
San Fernando, California Redevelopment Agency Tax Allocation Bonds, Series 2006
4.500% due 09/15/2017		1,425		1,376
San Francisco, California City & County Airports Commission Revenue Bonds, (FGIC Insured), Series 2006
5.250% due 05/01/2019		1,460		1,516
San Francisco, California City & County Unified School District General Obligation Notes, (FSA Insured), Series 2005
5.000% due 06/15/2015		1,100		1,177
San Joaquin, California Delta Community College District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2014		2,000		1,552
San Jose, California Multi-Family Housing Revenue Bonds, Series 1999
4.950% due 06/01/2039		920		927
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2002
5.000% due 08/01/2022		2,000		2,116
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2017		1,000		1,042
San Luin Obispo County, California Financing Authority Revenue Bonds, (MBIA Insured), Series 2007
5.000% due 09/01/2018		750		791
San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979
8.000% due 10/01/2011		70		74
San Ramon Valley, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 07/01/2018		6,500		4,022
Sonoma County, California Junior College District General Obligation Bonds, (MBIA Insured), Series 2007
5.000% due 08/01/2018		1,250		1,336
Turlock, California Certificates of Participation Notes, Series 2007
5.000% due 10/15/2010		360		366
University of California Regents Medical Center Revenue Bonds, (MBIA Insured), Series 2007
4.750% due 05/15/2031		1,000		958
University of California Regents Medical Center Revenue Notes, Series 2008
5.000% due 05/15/2017		2,000		2,146
University of California Revenue Bonds, (FGIC Insured), Series 2007
5.000% due 05/15/2041		1,000		1,004
University of California Revenue Bonds, (FSA Insured), Series 2005
5.000% due 05/15/2016		3,240		3,449
University of California Revenue Bonds, Series 2008
5.000% due 05/15/2018		350		375
				111,083
Louisiana 0.6%
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		1,000		910
Montana 0.4%
Hardin, Montana Rocky Mountain Power, Inc. Tax Allocation Bonds, Series 2006
0.000% due 09/01/2031 (a)		830		522
New Jersey 0.2%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.500% due 04/01/2018		236		245
New York 0.7%
New York City, New York Industrial Development Agency Revenue Bonds, Series 2005
5.500% due 01/01/2016		1,000		1,046
Puerto Rico 10.2%
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Revenue Bonds, Series 2008
6.000% due 07/01/2038		1,025		1,072
Commonwealth of Puerto Rico General Obligation Bonds, (AGC Insured), Series 2006
5.231% due 07/01/2020		1,000		924
Commonwealth of Puerto Rico Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2014		2,500		2,552
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2007
5.500% due 07/01/2021		2,500		2,582
Commonwealth of Puerto Rico Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998
5.250% due 07/01/2010		150		152
Commonwealth of Puerto Rico Public Buildings Authority Revenue Bonds, (Commonwealth-GTD), Series 2004
5.000% due 07/01/2028		2,150		2,141
Commonwealth of Puerto Rico Public Finance Corp. Revenue Bonds, Series 2004
5.750% due 08/01/2027		3,250		3,274
Puerto Rico Children’s Trust Fund Revenue Notes, Series 2002
5.000% due 05/15/2009		1,000		1,003
Puerto Rico Electric Power Authority Revenue Notes, Series 2008
5.000% due 07/01/2012		500		519
				14,219
Texas 0.2%
Arlington, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
8.120% due 02/15/2024		250		252
Houston, Texas Airport Systems Revenue Bonds, Series 1997
6.125% due 07/15/2017		100		84
				336
Virgin Islands 3.1%
Virgin Islands Public Finance Authority Revenue Bonds, Series 1998
5.500% due 10/01/2008		3,000		3,021
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		1,250		1,250
				4,271
Total Municipal Bonds & Notes (Cost $134,816)				132,632
	Shares
CONVERTIBLE PREFERRED STOCKS 0.2%
American International Group, Inc.
8.500% due 08/01/2011		5,200		308
Total Convertible Preferred Stocks (Cost $390)				308
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 0.5%
Repurchase Agreements 0.5%
State Street Bank and Trust Co.
1.650% due 07/01/2008	$	765		765
(Dated 06/30/2008. Collateralized by Fannie Mae 5.750% due 02/01/2023 valued at $784. Repurchase proceeds are $765.)
Total Short-Term Instruments (Cost $765)				765
Total Investments 98.9% (Cost $140,571)			$	138,116
Other Assets and Liabilities (Net) 1.1%				1,499
Net Assets 100.0%			$	139,615

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 becomes interest bearing at a future date.

(b) Cash of $320 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
U.S. Treasury 30-Year Bond September Futures	Short	09/2008	37	$	(15	)

(c) Swap agreements outstanding on June 30, 2008:

Interest Rate Swaps

Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP	$	1,490	$	7
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		4,763		(83	)
								$	(76	)

(d) Restricted securities as of June 30, 2008:

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	$	1,346	0.96	%

(e) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	309		$	137,807		$	0	$	138,116
Other Financial Instruments++		(15	)		(76	)		0		(91	)
Total	$	294		$	137,731		$	0	$	138,025

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

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

See Accompanying Notes

Schedule of Investments

California Short Duration Municipal Income Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 2.1%
American International Group, Inc.
8.175% due 05/15/2058	$	100	$	94
Bank of America Corp.
8.000% due 12/29/2049		300		282
Citigroup, Inc.
8.400% due 04/29/2049		100		95
Morgan Stanley
4.778% due 05/14/2010		250		249
Wachovia Bank N.A.
3.619% due 05/14/2010		100		100
Total Corporate Bonds & Notes (Cost $850)				820
MUNICIPAL BONDS & NOTES 83.8%
California 81.2%
Alameda County, California Certificates of Participation Bonds, (AMBAC Insured), Series 2007
5.000% due 12/01/2017		495		518
Bay Area, California Toll Authority Revenue Bonds, (AMBAC Insured), Series 2006
7.250% due 04/01/2045		1,000		1,000
Brentwood, California Union School District General Obligation Bonds, (FGIC Insured), Series 2007
5.250% due 08/01/2017		110		119
Brentwood, California Union School District 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
7.000% due 08/01/2023		2,500		2,500
California State Association of Bay Area Governments Financing Authority for Non-Profit Corporations Revenue Notes, (CM Insured), Series 2002
4.500% due 04/01/2011		500		513
California State Bay Area Toll Authority Revenue Bonds, (AMBAC Insured), Series 2007
3.722% due 04/01/2047		150		150
California State Department of Water Resources Revenue Bonds, (FSA Insured), Series 2005
1.230% due 05/01/2017		900		900
California State Department of Water Resources Revenue Bonds, Series 2002
1.410% due 05/01/2022		1,500		1,500
California State Department of Water Resources Revenue Notes, Series 2005
1.400% due 05/01/2011		100		100
California State Educational Facilities Authority Revenue Bonds, (MBIA Insured), Series 2002
6.750% due 02/01/2032		600		600
California State Health Facilities Financing Authority Revenue Bonds, (AMBAC Insured), Series 2005
7.250% due 10/01/2019		1,000		1,000
California State Health Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 1998
7.750% due 09/01/2015		1,025		1,025
California State Health Facilities Financing Authority Revenue Bonds, Series 1998
9.000% due 12/01/2028		1,000		1,000
California State Health Facilities Financing Authority Revenue Bonds, Series 2004
1.280% due 07/01/2033		1,100		1,100
California State Health Facilities Financing Authority Revenue Notes, Series 2008
5.000% due 08/15/2009		250		259
California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2001
1.400% due 11/15/2037		500		500
California State Infrastructure & Economic Development Bank Revenue Notes, (AMBAC Insured), Series 2004
5.250% due 10/01/2013		250		271
California State Infrastructure & Economic Development Bank Revenue Notes, Series 2004
7.480% due 02/01/2010		750		750
California State Infrastructure & Economic Development Bank Revenue Notes, Series 2008
4.000% due 02/01/2009		250		253
California State M-S-R Public Power Agency Revenue Bonds, (MBIA Insured), Series 1998
7.750% due 07/01/2022		1,300		1,300
California State Public Works Board Revenue Bonds, (AMBAC Insured), Series 2005
California State Public Works Board Revenue Bonds, (FGIC Insured), Series 2006
5.250% due 10/01/2017		380		410
5.000% due 01/01/2019		150		156
California Statewide Communities Development Authority Revenue Bonds, (FSA Insured), Series 2007
5.250% due 07/01/2018		250		269
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.150% due 07/01/2030		100		85
California Statewide Communities Development Authority Revenue Notes, (MBIA Insured), Series 2005
5.000% due 05/01/2015		150		160
California Statewide Communities Development Authority Revenue Notes, Series 2004
5.500% due 05/15/2012		250		258
East Bay, California Municipal Utility District Revenue Bonds, (FSA Insured), Series 2002
1.230% due 06/01/2025		1,000		1,000
Golden State, California Tobacco Securitization Corporations Revenue Bonds, (FGIC Insured), Series 2003
5.625% due 06/01/2038		100		108
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2003
5.500% due 06/01/2043		500		538
6.250% due 06/01/2033		465		503
6.750% due 06/01/2039		710		804
Golden State, California Tobacco Securitization Corporations Revenue Bonds, Series 2007
5.125% due 06/01/2047		200		153
Hesperia, California Unified School District Certificates of Participation Bonds, (FSA Insured), Series 2004
1.600% 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		197
Loma Linda, California Revenue Bonds, Series 2007
1.200% due 12/01/2037		1,000		1,000
Los Angeles, California Convention & Exhibit Center Authority Revenue Bonds, Series 2003
8.000% due 08/15/2021		1,500		1,500
Los Angeles, California Department of Water & Power Revenue Bonds, Series 2001
1.300% due 07/01/2034		500		500
Orange County, California Sanitation District Certificates of Participation Bonds, (AMBAC Insured), Series 1993
5.000% due 08/01/2016		1,000		1,000
Pasadena, California Certificates of Participation Bonds, (AMBAC Insured), Series 2003
5.000% due 02/01/2033		490		490
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		161
Rancho, California Water District Financing Authority Revenue Notes, Series 2008
4.000% due 08/01/2009		500		511
Rio Vista, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 09/01/2009		100		100
Riverbank Redevelopment Agency of California Tax Allocation Notes, Series 2007
4.000% due 08/01/2012		145		143
Riverside County, California Asset Leasing Corp. Revenue Bonds, (MBIA Insured), Series 2000
8.250% due 11/01/2032		1,000		1,000
Riverside County, California Transportation Commission, Revenue Bonds, Series 2008
5.000% due 06/01/2029		250		257
Roseville, California Electrical Systems Certificates of Participation Bonds, (FSA Insured), Series 2002
1.400% due 02/01/2024		1,165		1,165
Roseville, California Natural Gas Finance Authority Revenue Notes, Series 2007
5.000% due 02/15/2012		100		100
San Francisco, California General Obligation Bonds, (MBIA Insured), Series 2005
6.750% due 06/15/2030		1,300		1,300
San Luin Obispo County, California Financing Authority Revenue Bonds, (MBIA Insured), Series 2007
5.000% due 09/01/2018		250		264
Santa Ana, California Certificates of Participation Bonds, (AMBAC Insured), Series 2003
5.000% due 06/01/2015		195		204
Santa Clara Valley, California Water District Certificates of Participation Notes, Series 2007
5.000% due 02/01/2016		150		161
Santa Monica, California Community College District General Obligation Notes, (FGIC Insured), Series 2007
0.000% due 08/01/2013		225		184
Turlock, California Health Facilities Certificates of Participation Notes, Series 2007
5.000% due 10/15/2008		355		356
Upland, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 2002
4.600% due 10/01/2016		100		102
West Basin, California Municipal Water District Revenue Bonds, Series 2008
1.290% due 08/01/2027		1,000		1,000
				32,001
Puerto Rico 2.6%
Puerto Rico Electric Power Authority Revenue Notes, Series 2008
5.000% due 07/01/2010		1,000		1,030
Total Municipal Bonds & Notes (Cost $33,192)				33,031
	Shares
CONVERTIBLE PREFERRED STOCKS 0.2%
American International Group, Inc.
8.500% due 08/01/2011		1,000		60
Total Convertible Preferred Stocks (Cost $75)				60
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 10.4%
Repurchase Agreements 10.4%
State Street Bank and Trust Co.
1.650% due 07/01/2008	$	4,119		4,119
(Dated 06/30/2008. Collateralized by Freddie Mac 5.000% due 01/16/2009 valued at $4,202. Repurchase proceeds are $4,119.)
Total Short-Term Instruments (Cost $4,119)				4,119
Total Investments 96.5% (Cost $38,236)			$	38,030
Other Assets and Liabilities (Net) 3.5%				1,392
Net Assets 100.0%			$	39,422

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

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

(a) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	59	$	37,971	$	0	$	38,030
Other Financial Instruments++		0		0		0		0
Total	$	59	$	37,971	$	0	$	38,030

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

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

See Accompanying Notes

Consolidated Schedule of Investments

CommodityRealReturn Strategy Fund^®

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.6%
Daimler Finance North America LLC
6.780% due 08/03/2012	$	59,352	$	49,158
Georgia-Pacific Corp.
4.399% due 12/20/2012		1,048		991
4.446% due 12/20/2012		8,905		8,422
4.551% due 12/20/2012		800		757
HCA, Inc.
5.051% due 11/18/2013		19,651		18,483
Shackleton Re Ltd.
10.438% due 08/01/2008		5,000		4,925
10.938% due 08/01/2008		3,000		2,955
Tribune Co.
5.541% due 05/30/2009		7,000		6,723
Total Bank Loan Obligations (Cost $102,077)				92,414
CORPORATE BONDS & NOTES 13.7%
Banking & Finance 10.8%
ACE INA Holdings, Inc.
5.600% due 05/15/2015		7,500		7,245
Allstate Life Global Funding II
3.328% due 05/21/2010		1,800		1,789
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		43,300		43,194
Allstate Life Global Funding Trusts CPI Linked Bond
5.250% due 03/01/2010		7,000		7,096
American Express Bank FSB
5.500% due 04/16/2013		14,700		14,394
6.000% due 09/13/2017		23,900		23,132
American Express Centurion Bank
2.557% due 07/13/2010		5,000		4,908
6.000% due 09/13/2017		24,800		24,003
American Express Co.
7.000% due 03/19/2018		25,740		26,138
8.150% due 03/19/2038		7,390		8,248
American Honda Finance Corp.
3.552% due 06/20/2011		54,400		54,370
American International Group, Inc.
5.850% due 01/16/2018		22,500		21,147
8.175% due 05/15/2058		23,800		22,482
Atlantic & Western Re Ltd.
9.041% due 01/09/2009		15,000		14,958
Bank of America Corp.
2.904% due 11/06/2009		9,600		9,514
5.650% due 05/01/2018		84,300		78,962
8.000% due 12/29/2049		14,700		13,807
8.125% due 12/29/2049		111,600		105,631
Bank of Scotland PLC
2.737% due 12/08/2010		5,000		4,893
2.756% due 07/17/2009		4,600		4,599
Barclays Bank PLC
6.050% due 12/04/2017		41,300		40,611
7.434% due 09/29/2049		8,500		7,993
7.700% due 04/29/2049		36,800		37,628
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		26,500		27,588
7.250% due 02/01/2018		15,000		15,702
C5 Capital SPV Ltd.
6.196% due 12/01/2049		5,000		4,843
C10 Capital SPV Ltd.
6.722% due 12/31/2049		1,000		921
Caelus Re Ltd.
8.923% due 06/07/2011		3,900		3,899
Calabash Re Ltd.
11.214% due 01/08/2010		4,100		4,099
13.714% due 01/08/2010		2,400		2,465
Caterpillar Financial Services Corp.
2.779% due 05/18/2009		2,400		2,393
CIT Group, Inc.
5.000% due 11/24/2008		24,000		23,486
Citigroup Capital XXI
8.300% due 12/21/2057		15,100		14,323
Citigroup Funding, Inc.
2.481% due 04/23/2009		5,000		4,935
Citigroup, Inc.
2.831% due 12/28/2009		49,400		48,203
2.939% due 01/30/2009		4,600		4,558
5.500% due 04/11/2013		21,000		20,525
6.125% due 05/15/2018		69,900		67,111
8.400% due 04/29/2049		56,800		54,066
Credit Suisse New York, Inc.
5.000% due 05/15/2013		34,900		34,014
Danske Bank A/S
5.914% due 12/29/2049		3,000		2,734
Ford Motor Credit Co. LLC
7.000% due 10/01/2013		200		148
7.250% due 10/25/2011		15,825		12,275
7.800% due 06/01/2012		1,000		774
7.875% due 06/15/2010		5,400		4,664
Foundation Re Ltd.
6.795% due 11/24/2008		4,500		4,392
Foundation Re II Ltd.
9.445% due 11/26/2010		10,500		10,582
General Electric Capital Corp.
2.826% due 12/12/2008		8,600		8,588
2.907% due 10/24/2008		8,800		8,791
2.918% due 10/21/2010		4,500		4,473
2.937% due 10/26/2009		1,600		1,595
5.875% due 01/14/2038		25,000		22,762
Goldman Sachs Group, Inc.
5.950% due 01/18/2018		7,500		7,223
6.750% due 10/01/2037		63,000		57,872
HBOS PLC
6.750% due 05/21/2018		14,500		13,906
HSBC Finance Corp.
2.878% due 10/21/2009		600		586
International Lease Finance Corp.
6.625% due 11/15/2013		9,700		8,730
JPMorgan Chase & Co.
6.400% due 05/15/2038		10,500		9,782
Kamp Re 2005 Ltd.
2.582% due 12/14/2010 (a)		4,217		2
Lehman Brothers Holdings, Inc.
2.851% due 12/23/2008		5,500		5,395
6.875% due 05/02/2018		20,700		20,103
7.500% due 05/11/2038		5,000		4,656
Longpoint Re Ltd.
8.064% due 05/08/2010		11,900		11,901
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		2,500		2,486
Merna Reinsurance Ltd.
3.451% due 07/07/2010 (k)		27,000		25,264
Merrill Lynch & Co., Inc.
2.960% due 10/23/2008		26,300		26,147
4.966% due 05/12/2010		21,500		21,170
5.450% due 02/05/2013		8,000		7,556
6.400% due 08/28/2017		29,100		27,047
Metropolitan Life Global Funding I
5.125% due 04/10/2013		12,800		12,622
Morgan Stanley
2.521% due 11/21/2008		3,100		3,086
3.148% due 01/22/2009		3,000		2,971
4.778% due 05/14/2010		77,400		77,142
6.000% due 04/28/2015		17,600		16,875
6.625% due 04/01/2018		29,900		28,420
Mystic Re Ltd.
8.982% due 12/05/2008		6,600		6,461
11.682% due 12/05/2008		1,000		975
National Australia Bank Ltd.
5.350% due 06/12/2013		27,100		27,099
Osiris Capital PLC
7.713% due 01/15/2010		1,700		1,714
Pacific Life Global Funding
5.150% due 04/15/2013		9,200		9,111
Pearson Dollar Finance Two PLC
5.500% due 05/06/2013		3,000		2,975
Phoenix Quake Wind Ltd.
5.134% due 07/03/2008		2,000		2,000
Phoenix Quake Wind II Ltd.
6.184% due 07/03/2008		240		240
Prudential Financial, Inc.
6.000% due 06/10/2013		30,000		30,101
6.100% due 06/15/2017		2,000		1,998
Rabobank Nederland NV
2.733% due 01/15/2009		9,200		9,195
3.119% due 05/19/2010		2,000		1,998
Residential Reinsurance 2007 Ltd.
9.932% due 06/07/2010		14,100		14,150
12.932% due 06/07/2010		8,800		8,832
Rockies Express Pipeline LLC
5.100% due 08/20/2009		11,600		11,612
Royal Bank of Scotland Group PLC
2.868% due 07/21/2008		4,000		3,999
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		7,300		7,071
Santander U.S. Debt S.A. Unipersonal
2.861% due 09/19/2008		4,900		4,895
UBS AG
5.875% due 12/20/2017		13,700		13,370
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		20,000		19,988
Vita Capital Ltd.
3.691% due 01/01/2010		3,500		3,426
4.191% due 01/01/2010		5,500		5,414
Vita Capital III Ltd.
3.891% due 01/01/2011		300		291
3.911% due 01/01/2012		8,000		7,692
VTB Capital S.A.
3.384% due 08/01/2008		19,000		18,834
Wachovia Bank N.A.
2.752% due 12/02/2010		27,200		25,870
3.619% due 05/14/2010		23,400		23,292
Wachovia Corp.
7.980% due 12/31/2049		17,900		16,487
Wachovia Mortgage FSB
2.807% due 03/02/2009		2,700		2,699
Wells Fargo & Co.
4.375% due 01/31/2013		16,800		16,291
Wells Fargo Capital XIII
7.700% due 12/29/2049		14,500		14,434
				1,695,107
Industrials 2.1%
Amgen, Inc.
6.150% due 06/01/2018		10,600		10,689
AutoZone, Inc.
6.950% due 06/15/2016		10,000		10,453
Black & Decker Corp.
5.750% due 11/15/2016		5,000		4,781
Burlington Northern Santa Fe Corp.
5.650% due 05/01/2017		2,500		2,451
C8 Capital SPV Ltd.
6.640% due 12/31/2049		6,500		6,045
Computer Sciences Corp.
6.500% due 03/15/2018		2,500		2,520
Con-way, Inc.
7.250% due 01/15/2018		10,000		10,182
CSC Holdings, Inc.
7.250% due 07/15/2008		1,400		1,404
CSX Corp.
6.250% due 03/15/2018		5,000		4,829
EchoStar DBS Corp.
5.750% due 10/01/2008		7,800		7,820
6.375% due 10/01/2011		8,000		7,740
El Paso Corp.
6.375% due 02/01/2009		5,600		5,636
Enterprise Products Operating LLC
6.500% due 01/31/2019		14,700		14,828
Gaz Capital S.A.
7.343% due 04/11/2013		4,600		4,726
8.146% due 04/11/2018		7,000		7,271
HCA, Inc.
9.250% due 11/15/2016		5,000		5,162
Home Depot, Inc.
5.400% due 03/01/2016		2,500		2,302
Hospira, Inc.
5.900% due 06/15/2014		2,500		2,513
Kraft Foods, Inc.
6.000% due 02/11/2013		11,350		11,483
6.125% due 02/01/2018		19,000		18,529
6.125% due 08/23/2018		6,300		6,121
Kroger Co.
4.950% due 01/15/2015		13,800		13,178
6.400% due 08/15/2017		5,000		5,116
Ltd. Brands, Inc.
6.900% due 07/15/2017		2,000		1,823
Macy’s Retail Holdings, Inc.
5.350% due 03/15/2012		1,500		1,395
7.450% due 07/15/2017		2,000		1,895
Mandalay Resort Group
6.500% due 07/31/2009		2,000		1,985
9.500% due 08/01/2008		1,100		1,106
Motorola, Inc.
6.000% due 11/15/2017		4,000		3,506
Nabors Industries, Inc.
6.150% due 02/15/2018		5,000		5,070
Nucor Corp.
5.750% due 12/01/2017		4,000		4,019
Philip Morris International, Inc.
5.650% due 05/16/2018		46,400		45,250
Rexam PLC
6.750% due 06/01/2013		12,800		12,799
Ryder System, Inc.
6.000% due 03/01/2013		6,900		6,917
Suncor Energy, Inc.
6.100% due 06/01/2018		6,500		6,538
Target Corp.
6.000% due 01/15/2018		4,000		4,027
Tyco Electronics Group S.A.
6.550% due 10/01/2017		3,500		3,541
Tyco International Group S.A.
6.000% due 11/15/2013		8,000		7,733
Tyco International Ltd.
7.000% due 12/15/2019		11,000		10,885
UnitedHealth Group, Inc.
4.875% due 02/15/2013		2,300		2,229
6.875% due 02/15/2038		3,750		3,564
Valero Energy Corp.
6.625% due 06/15/2037		10,000		9,208
Viacom, Inc.
6.125% due 10/05/2017		4,000		3,846
6.250% due 04/30/2016		2,500		2,420
Weatherford International Ltd.
5.500% due 02/15/2016		5,000		4,852
Williams Cos., Inc.
6.375% due 10/01/2010		20,000		20,300
				330,687
Utilities 0.8%
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		100		101
Consolidated Natural Gas Co.
5.000% due 03/01/2014		5,000		4,811
Constellation Energy Group, Inc.
4.550% due 06/15/2015		1,900		1,696
Dominion Resources, Inc.
2.858% due 11/14/2008		1,800		1,776
Duke Energy Carolinas LLC
5.100% due 04/15/2018		5,000		4,891
Embarq Corp.
7.082% due 06/01/2016		4,200		3,998
Enel Finance International S.A.
5.700% due 01/15/2013		57,000		57,724
Midwest Generation LLC
8.300% due 07/02/2009		7,733		7,792
NiSource Finance Corp.
6.800% due 01/15/2019		6,000		5,904
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		1,500		1,500
7.000% due 08/03/2009		10,000		10,025
7.250% due 02/15/2011		2,000		1,950
Qwest Corp.
5.625% due 11/15/2008		1,000		1,002
Sempra Energy
6.150% due 06/15/2018		4,500		4,470
Telecom Italia Capital S.A.
6.999% due 06/04/2018		10,000		10,113
Verizon Communications, Inc.
5.500% due 04/01/2017		5,000		4,818
6.100% due 04/15/2018		1,400		1,394
				123,965
Total Corporate Bonds & Notes (Cost $2,205,668)				2,149,759
MUNICIPAL BONDS & NOTES 0.6%
Badger, Wisconsin Tobacco Asset Securitization Corp. Revenue Bonds, Series 2002
6.375% due 06/01/2032		1,200		1,180
California State General Obligation Bonds, (AMBAC Insured), Series 2007
4.500% due 08/01/2028		1,500		1,396
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2037		2,500		2,455
California State Metropolitan Water District Revenue Bonds, Series 2006
5.000% due 07/01/2029		5,565		5,701
5.000% due 07/01/2031		4,550		4,640
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		1,155		1,153
California State University Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2030		200		201
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
10.579% due 01/01/2014		1,270		1,121
10.580% due 01/01/2014		730		602
Florida State Board of Education General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 06/01/2037		4,500		4,231
Florida State Board of Education General Obligation Bonds, Series 2007
5.000% due 06/01/2028		2,500		2,555
Florida State Board of Education General Obligation Bonds, Series 2008
4.750% due 06/01/2037		4,400		4,143
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.125% due 06/01/2047		700		536
5.750% due 06/01/2047		1,900		1,621
Los Angeles, California Community College District General Obligation Bonds, (FGIC Insured), Series 2007
5.000% due 08/01/2027		5,000		5,117
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2023		1,600		1,569
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		1,140		1,037
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2029		3,600		2,979
5.000% due 06/01/2041		1,200		907
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		8,000		8,075
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
10.679% due 12/15/2013		1,270		1,169
New York State Environmental Facilities Corp. Revenue Bonds, Series 2006
5.000% due 10/15/2024		4,585		4,777
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2030		2,100		1,874
5.875% due 06/01/2047		16,000		13,371
6.000% due 06/01/2042		300		260
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		42,500		2,916
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.125% due 06/01/2032		1,200		1,121
Santa Rosa, California Revenue Bonds, (AMBAC Insured), Series 2002
0.000% due 09/01/2024		11,225		4,760
Texas State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2002
0.000% due 08/15/2021		4,500		2,231
Texas State Water Development Board Revenue Bonds, Series 2007
4.500% due 07/15/2024		1,255		1,235
Washington State General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 07/01/2024		600		622
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		2,970		3,010
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		10,840		9,684
Total Municipal Bonds & Notes (Cost $99,613)				98,249
COMMODITY INDEX-LINKED NOTES 15.3%
Barclays Bank PLC (DJAIGTR)
2.992% due 09/24/2008		35,000		79,748
Calyon Financial, Inc. (DJAIGTR)
2.509% due 08/18/2008		97,000		202,905
Commonwealth Bank of Australia (DJAIGTR)
4.981% due 09/30/2008		122,000		285,290
Credit Suisse USA, Inc. (DJAIGTR)
2.653% due 02/17/2009 (k)		95,000		163,926
Goldman Sachs Group, Inc. (GSCI)
5.061% due 12/01/2008		50,000		97,964
Landesbank Baden-Wurttemberg (DJAIGTR)
2.982% due 11/25/2008		231,500		437,010
Rabobank Nederland (DJAIGTR)
4.851% due 07/22/2008 (k)		200,000		429,005
Svensk ExportKredit AB (DJAIGCI)
0.000% due 11/25/2008 (k)		150,000		283,158
2.459% due 06/19/2009		17,000		21,210
Swiss Re Treasury U.S. Corp. (DJAIGCI)
2.850% due 01/07/2009		29,000		55,178
TD NY LLC (DJAIGTR)
0.000% due 02/17/2009		200,000		335,661
Total Commodity Index-Linked Notes (Cost $1,226,500)				2,391,055
U.S. GOVERNMENT AGENCIES 23.9%
Fannie Mae
2.612% due 03/25/2036		2,585		2,586
4.673% due 05/01/2035		1,034		1,043
4.994% due 07/01/2044 - 10/01/2044		4,840		4,842
5.000% due 07/01/2035 - 02/01/2037		30,512		29,348
5.103% due 04/01/2035		443		446
5.470% due 04/01/2033		1,147		1,173
5.485% due 05/01/2036		421		429
5.500% due 07/01/2033 - 07/01/2038		2,143,162		2,115,409
5.950% due 02/25/2044		7,967		8,088
6.000% due 07/01/2035 - 07/01/2038		904,982		914,302
Freddie Mac
2.701% due 02/15/2019		97,136		95,234
2.741% due 01/15/2037		410		401
2.821% due 12/15/2030		40		39
2.871% due 11/15/2016 - 03/15/2017		2,648		2,647
4.000% due 10/15/2023		35		35
4.500% due 05/15/2017		189		190
4.540% due 01/01/2034		31		32
5.000% due 01/15/2018 - 06/01/2038		432,103		415,289
5.240% due 03/01/2034		2,580		2,592
5.250% due 08/15/2011		2,849		2,890
5.500% due 05/15/2016 - 07/01/2038		103,790		102,562
6.000% due 07/01/2032 - 12/01/2035		260		264
6.586% due 01/01/2034		935		937
6.826% due 06/01/2033		892		900
7.260% due 01/01/2034		1,364		1,371
Ginnie Mae
4.750% due 12/20/2035		2,261		2,267
5.500% due 11/15/2035 - 07/01/2038		36,442		36,290
5.625% due 07/20/2035		123		124
Small Business Administration
5.902% due 02/10/2018		6,100		6,157
Total U.S. Government Agencies (Cost $3,750,521)				3,747,887
U.S. TREASURY OBLIGATIONS 84.0%
Treasury Inflation Protected Securities (c)
0.625% due 04/15/2013		461,627		460,329
0.875% due 04/15/2010		2,124,001		2,161,836
1.625% due 01/15/2015		191,208		197,617
1.625% due 01/15/2018		148,790		151,301
1.750% due 01/15/2028		33,525		31,864
1.875% due 07/15/2013		1,146,806		1,212,928
1.875% due 07/15/2015		858,947		900,083
2.000% due 04/15/2012		507,889		536,061
2.000% due 01/15/2014		647,434		687,848
2.000% due 07/15/2014		1,192,881		1,267,716
2.000% due 01/15/2016		570,534		601,378
2.375% due 04/15/2011		685,707		726,904
2.375% due 01/15/2017		105,882		114,692
2.375% due 01/15/2025		32,202		33,754
2.500% due 07/15/2016		475,677		520,123
2.625% due 07/15/2017		491,661		543,208
3.000% due 07/15/2012		761,393		836,521
3.375% due 01/15/2012		26,349		29,108
3.375% due 04/15/2032		27,401		34,412
3.500% due 01/15/2011		635,785		692,459
3.625% due 04/15/2028		291,698		363,529
3.875% due 01/15/2009		65,886		68,022
3.875% due 04/15/2029		451,443		585,784
4.250% due 01/15/2010		379,058		406,688
U.S. Treasury Notes
3.500% due 05/31/2013		3,350		3,378
Total U.S. Treasury Obligations (Cost $12,986,705)				13,167,543
MORTGAGE-BACKED SECURITIES 1.8%
American Home Mortgage Investment Trust
2.632% due 09/25/2035		166		165
Banc of America Funding Corp.
2.769% due 05/20/2035		679		495
6.141% due 01/20/2047		420		342
Banc of America Large Loan, Inc.
2.981% due 08/15/2029		490		460
BCAP LLC Trust
2.652% due 01/25/2037		15,572		9,971
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		33,985		32,504
4.477% due 05/25/2033		302		286
4.550% due 08/25/2035		18,930		18,136
4.863% due 01/25/2035		8,139		7,882
5.733% due 02/25/2036		1,538		1,282
Bear Stearns Alt-A Trust
5.701% due 09/25/2035		1,335		1,102
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		436		432
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		496		466
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		1,738		1,645
4.248% due 08/25/2035		10,410		9,839
4.748% due 08/25/2035		9,895		9,435
4.900% due 12/25/2035		2,019		1,921
5.831% due 12/25/2035		1,463		1,139
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		1,208		1,206
Countrywide Alternative Loan Trust
2.562% due 09/20/2046		3,029		2,967
2.662% due 02/20/2047		13,227		9,310
2.662% due 05/25/2047		5,839		4,094
2.674% due 12/20/2046		1,099		771
2.762% due 12/25/2035		902		675
5.889% due 11/25/2035		1,467		1,202
Countrywide Home Loan Mortgage Pass-Through Trust
2.822% due 06/25/2035		6,679		5,889
5.372% due 10/20/2035		1,527		1,392
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.492% due 10/25/2036		5,783		5,681
2.562% due 02/25/2037		963		906
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		5,557		4,888
GSR Mortgage Loan Trust
4.539% due 09/25/2035		22,860		22,173
5.347% due 11/25/2035		1,409		1,333
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		2,606		2,371
2.702% due 05/19/2035		2,281		1,732
Homebanc Mortgage Trust
2.662% due 12/25/2036		1,902		1,470
5.800% due 04/25/2037		1,576		1,240
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		2,275		2,127
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		7,210		6,723
5.099% due 09/25/2035		1,381		1,133
5.277% due 06/25/2035		1,397		1,122
Lehman XS Trust
2.562% due 07/25/2046		2,646		2,583
MASTR Adjustable Rate Mortgages Trust
2.722% due 05/25/2037		1,631		1,134
Merrill Lynch Alternative Note Asset
2.782% due 03/25/2037		2,000		1,215
5.660% due 06/25/2037		1,704		1,305
Opteum Mortgage Acceptance Corp.
2.742% due 07/25/2035		1,248		1,079
Residential Accredit Loans, Inc.
2.782% due 08/25/2035		3,511		2,724
5.300% due 08/25/2035		1,077		900
5.714% due 02/25/2036		1,268		1,030
Securitized Asset Sales, Inc.
6.754% due 11/26/2023		98		95
Structured Adjustable Rate Mortgage Loan Trust
5.950% due 02/25/2036		1,377		1,045
Structured Asset Mortgage Investments, Inc.
2.552% due 08/25/2036		3,996		3,902
Structured Asset Securities Corp.
2.532% due 05/25/2036		445		433
5.432% due 10/25/2035		4,720		4,305
TBW Mortgage-Backed Pass-Through Certificates
2.582% due 09/25/2036		598		568
Thornburg Mortgage Securities Trust
2.592% due 03/25/2046		1,037		1,022
2.592% due 11/25/2046		1,324		1,267
2.602% due 09/25/2046		19,838		19,138
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		38,974		36,779
WaMu Mortgage Pass-Through Certificates
4.338% due 12/25/2046		3,493		2,932
4.728% due 11/25/2042		740		684
4.780% due 07/25/2046		15,576		12,468
5.028% due 11/25/2046		2,738		2,240
Wells Fargo Mortgage-Backed Securities Trust
3.539% due 09/25/2034		5,116		4,872
Total Mortgage-Backed Securities (Cost $303,056)				281,627
ASSET-BACKED SECURITIES 0.9%
Aames Mortgage Investment Trust
2.632% due 08/25/2035		258		241
ACE Securities Corp.
2.532% due 07/25/2036		2,227		2,211
2.542% due 10/25/2036		413		404
American Express Credit Account Master Trust
3.421% due 08/15/2012		10,300		10,370
Argent Securities, Inc.
2.532% due 10/25/2036		5,531		5,377
Asset-Backed Funding Certificates
2.542% due 11/25/2036		1,173		1,148
2.832% due 06/25/2034		8,608		7,664
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		631		626
Bear Stearns Asset-Backed Securities Trust
2.532% due 11/25/2036		821		782
2.562% due 10/25/2036		1,088		1,048
2.812% due 01/25/2036		792		763
2.932% due 03/25/2043		126		124
Bravo Mortgage Asset Trust
2.612% due 07/25/2036		261		257
Citigroup Mortgage Loan Trust, Inc.
2.532% due 11/25/2036		1,031		1,018
2.562% due 01/25/2037		674		627
Countrywide Asset-Backed Certificates
2.512% due 01/25/2046		3,986		3,956
2.532% due 01/25/2037		1,865		1,858
2.532% due 03/25/2037		3,961		3,867
2.542% due 09/25/2046		1,733		1,722
2.592% due 10/25/2046		5,349		5,252
First Franklin Mortgage Loan Asset-Backed Certificates
2.532% due 11/25/2036		14,866		14,286
First USA Credit Card Master Trust
2.641% due 04/18/2011		800		800
Fremont Home Loan Trust
2.532% due 10/25/2036		1,115		1,088
2.542% due 01/25/2037		1,164		1,101
2.652% due 01/25/2036		123		123
GSAA Trust
2.782% due 03/25/2037		2,000		1,002
GSAMP Trust
2.522% due 10/25/2046		1,922		1,878
2.552% due 10/25/2036		300		248
GSR Mortgage Loan Trust
2.582% due 11/25/2030		45		45
HSI Asset Securitization Corp. Trust
2.532% due 10/25/2036		1,490		1,443
Indymac Residential Asset-Backed Trust
2.532% due 11/25/2036		1,449		1,422
JPMorgan Mortgage Acquisition Corp.
2.522% due 08/25/2036		922		910
2.532% due 07/25/2036		2,020		1,964
2.532% due 08/25/2036		5,099		5,019
2.552% due 11/25/2036		1,439		1,393
Lehman XS Trust
2.562% due 11/25/2046		7,386		7,021
Long Beach Mortgage Loan Trust
2.522% due 11/25/2036		905		879
MASTR Asset-Backed Securities Trust
2.542% due 10/25/2036		39		39
MBNA Credit Card Master Note Trust
2.571% due 12/15/2011		1,300		1,296
Merrill Lynch Mortgage Investors, Inc.
2.532% due 05/25/2037		3,529		3,495
2.542% due 04/25/2037		296		293
2.552% due 07/25/2037		3,772		3,666
Morgan Stanley ABS Capital I
2.512% due 06/25/2036		77		77
2.522% due 10/25/2036		4,109		4,046
2.532% due 09/25/2036		3,464		3,422
Morgan Stanley IXIS Real Estate Capital Trust
2.532% due 11/25/2036		863		851
Morgan Stanley Mortgage Loan Trust
2.842% due 04/25/2037		2,000		1,167
Option One Mortgage Loan Trust
2.522% due 02/25/2037		453		450
2.532% due 07/25/2036		119		119
Park Place Securities, Inc.
2.742% due 09/25/2035		401		380
Residential Asset Mortgage Products, Inc.
2.552% due 11/25/2036		1,004		988
Residential Asset Securities Corp.
2.552% due 11/25/2036		10,118		9,991
Securitized Asset-Backed Receivables LLC Trust
2.532% due 09/25/2036		1,368		1,340
Soundview Home Equity Loan Trust
2.532% due 10/25/2036		3,160		3,116
2.542% due 11/25/2036		2,999		2,930
2.582% due 10/25/2036		830		823
Specialty Underwriting & Residential Finance
2.512% due 06/25/2037		325		322
2.528% due 11/25/2037		588		567
Structured Asset Investment Loan Trust
2.532% due 07/25/2036		618		600
Structured Asset Securities Corp.
2.532% due 10/25/2036		6,907		6,745
Total Asset-Backed Securities (Cost $140,614)				136,660
SOVEREIGN ISSUES 0.1%
Export-Import Bank of Korea
2.920% due 10/04/2011		15,200		15,254
Total Sovereign Issues (Cost $15,186)				15,254
FOREIGN CURRENCY-DENOMINATED ISSUES 3.9%
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012	BRL	43,740		23,749
Brazilian Government International CPI Linked Bond
6.000% due 08/15/2010		5,511		5,749
Canadian Government Bond
3.000% due 12/01/2036 (c)	CAD	22,255		29,567
Credit Logement S.A.
5.251% due 06/23/2015	EUR	1,400		2,094
France Government Bond
2.100% due 07/25/2023 (c)		2,055		3,148
3.000% due 07/25/2012 (c)		11,556		18,934
3.150% due 07/25/2032 (c)		1,133		2,073
General Electric Capital Corp.
5.500% due 09/15/2067		34,400		47,921
6.500% due 09/15/2067	GBP	9,400		17,390
Green Valley Ltd.
8.342% due 01/10/2011	EUR	5,400		8,528
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (c)		4,508		7,025
2.350% due 09/15/2035 (c)		11,040		16,485
4.250% due 10/15/2012		3,000		4,580
Japanese Government CPI Linked Bond
0.800% due 12/10/2015	JPY	5,539,410		51,711
1.100% due 12/10/2016		10,712,680		101,281
1.200% due 06/10/2017		14,168,000		134,218
1.200% due 12/10/2017		1,748,700		16,535
Pylon Ltd.
6.460% due 12/29/2008	EUR	3,700		5,804
8.860% due 12/29/2008		4,300		6,768
Republic of Germany
5.625% due 01/04/2028		8,400		14,291
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		5,200		7,085
Silver Arrow S.A.
4.544% due 08/15/2014		8,745		13,692
Svenska Handelsbanken AB
5.138% due 03/16/2015		2,900		4,491
Sweden Government CPI Linked Bond
3.500% due 12/01/2015	SEK	12,000		2,587
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	12,000		64,880
Total Foreign Currency-Denominated Issues (Cost $566,116)				610,586
	Shares
CONVERTIBLE PREFERRED STOCKS 0.0%
Wachovia Corp.
7.500% due 12/31/2049		8,200		7,260
Total Convertible Preferred Stocks (Cost $8,200)				7,260
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 36.9%
Certificates of Deposit 1.6%
Abbey National Treasury Services PLC
2.653% due 07/02/2008	$	91,300		91,300
Calyon Financial, Inc.
2.689% due 01/16/2009		11,300		11,268
Nordea Bank Finland PLC
2.422% due 12/01/2008		5,500		5,498
Sao Paolo IMI NY
3.312% due 06/09/2010		13,500		13,411
Unicredito Italiano NY
3.071% due 05/15/2009		93,500		93,500
3.071% due 05/18/2009		36,300		36,275
				251,252
Commercial Paper 32.9%
ABN AMRO N.A. Finance
2.485% due 07/07/2008		101,700		101,658
ANZ National International Ltd.
2.550% due 07/21/2008		60,800		60,714
Australia & New Zealand Banking Group Ltd.
2.500% due 08/04/2008		7,800		7,782
2.560% due 07/07/2008		7,800		7,797
Banco Santander Central Hispano S.A.
2.600% due 08/08/2008		13,700		13,662
2.780% due 09/15/2008		78,700		78,233
Bank of America Corp.
2.570% due 07/07/2008		7,102		7,099
2.700% due 08/05/2008		600		598
2.700% due 09/09/2008		3,300		3,282
2.920% due 08/26/2008		1,600		1,593
Barclays U.S. Funding Corp.
2.680% due 08/01/2008		4,200		4,190
2.680% due 09/02/2008		41,000		40,803
2.688% due 08/18/2008		30,700		30,590
2.780% due 09/23/2008		27,800		27,615
BNP Paribas Finance, Inc.
2.395% due 07/02/2008		10,300		10,299
2.510% due 07/31/2008		239,300		238,799
2.750% due 08/01/2008		36,000		35,915
Caisse d’Amortissement de la Dette Sociale
2.430% due 07/07/2008		56,500		56,477
2.560% due 07/02/2008		37,800		37,797
2.610% due 08/20/2008		57,900		57,690
2.820% due 09/17/2008		23,300		23,157
Calyon Financial, Inc.
2.420% due 07/08/2008		15,915		15,908
2.490% due 07/08/2008		72,400		72,365
CBA (de) Finance
2.500% due 08/05/2008		150,000		149,635
2.510% due 08/04/2008		34,800		34,718
2.710% due 09/15/2008		84,800		84,296
2.750% due 09/15/2008		78,625		78,158
Danske Corp.
2.480% due 07/07/2008		12,200		12,195
2.500% due 07/15/2008		63,300		63,238
2.500% due 08/06/2008		90,000		89,775
2.720% due 08/01/2008		36,000		35,916
DnB NOR Bank ASA
2.750% due 09/05/2008		36,000		35,818
Federal Home Loan Bank
2.000% due 07/01/2008		839,900		839,900
2.210% due 07/16/2008		25,000		24,977
ING Funding LLC
2.500% due 07/09/2008		23,700		23,687
2.500% due 08/01/2008		19,700		19,658
2.500% due 08/04/2008		10,300		10,276
2.500% due 08/14/2008		43,900		43,766
2.550% due 08/14/2008		4,800		4,785
2.590% due 09/03/2008		17,500		17,414
2.640% due 07/01/2008		31,000		31,000
Intesa Funding LLC
2.750% due 09/09/2008		175,400		174,451
Lloyds TSB Bank PLC
2.390% due 07/18/2008		27,500		27,469
2.475% due 08/04/2008		50,700		50,581
Nordea N.A., Inc.
2.620% due 07/09/2008		31,000		30,982
Rabobank USA Financial Corp.
2.350% due 07/07/2008		39,600		39,584
2.650% due 09/29/2008		20,000		19,856
Royal Bank of Scotland Group PLC
2.520% due 07/23/2008		69,900		69,792
2.550% due 07/07/2008		9,700		9,696
2.550% due 07/23/2008		1,400		1,398
2.555% due 08/01/2008		20,000		19,956
2.610% due 07/16/2008		3,500		3,496
2.610% due 08/01/2008		300		299
2.620% due 07/16/2008		90,400		90,301
2.650% due 07/02/2008		18,700		18,699
2.790% due 09/26/2008		289,600		287,590
2.860% due 08/06/2008		36,000		35,897
San Paolo U.S. Financial Co.
2.500% due 07/10/2008		500		500
2.770% due 09/17/2008		72,900		72,454
2.770% due 09/24/2008		30,000		29,798
Santander U.S. Debt S.A. Unipersonal
2.750% due 09/30/2008		12,700		12,607
Societe General N.A.
2.650% due 07/08/2008		12,000		11,994
2.650% due 08/06/2008		460,400		459,180
2.650% due 08/08/2008		52,400		52,253
2.860% due 08/06/2008		36,000		35,897
Stadshypotek, Inc.
2.520% due 08/01/2008		160,900		160,551
Svenska Handelsbanken AB
2.530% due 07/11/2008		12,600		12,591
2.590% due 07/07/2008		99,100		99,057
UBS Finance Delaware LLC
2.500% due 07/16/2008		11,000		10,989
2.515% due 08/05/2008		309,500		308,743
2.550% due 07/14/2008		36,565		36,531
2.570% due 07/14/2008		63,000		62,942
2.625% due 09/02/2008		36,000		35,827
2.630% due 07/14/2008		400		400
2.645% due 09/03/2008		9,500		9,454
2.830% due 09/25/2008		54,050		53,680
2.845% due 09/30/2008		76,700		76,140
Unicredito Italiano SpA
2.700% due 07/25/2008		58,700		58,594
3.080% due 09/16/2008		76,000		75,542
Westpac Banking Corp.
2.600% due 09/09/2008		36,100		35,905
2.710% due 08/06/2008		36,000		35,902
				5,160,813
Repurchase Agreements 0.3%
Deutsche Bank AG
1.500% due 07/01/2008		48,700		48,700
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $49,616. Repurchase proceeds are $48,702.)
Fixed Income Clearing Corp.
1.650% due 07/01/2008		3,698		3,698
(Dated 06/30/2008. Collateralized by Freddie Mac 5.352% due 12/17/2038 valued at $3,776. Repurchase proceeds are $3,698.)
State Street Bank and Trust Co.
1.650% due 07/01/2008		725		725
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $740. Repurchase proceeds are $725.)
				53,123
U.S. Treasury Bills 2.1%
1.803% due 08/28/2008 - 09/25/2008 (b)(d)(e)(f)		324,325		322,617
Total Short-Term Instruments (Cost $5,788,584)				5,787,805
Purchased Options (i) 0.2% (Cost $14,904)				33,884
Total Investments 181.9% (Cost $27,207,744)			$	28,519,983
Written Options (j) (0.7%) (Premiums $74,799)				(108,874	)
Other Assets and Liabilities (Net) (81.2%)				(12,736,651	)
Net Assets 100.0%			$	15,674,458

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 $160,844 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(e) Securities with an aggregate market value of $83,453 have been pledged as collateral for delayed-delivery securities on June 30, 2008.

(f) Securities with an aggregate market value of $1,989 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2008.

(g) Cash of $81,308 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	791	$	(2,889	)
90-Day Euribor June Futures	Long	06/2009	2,386		(10,755	)
90-Day Euribor March Futures	Long	03/2009	831		(3,761	)
90-Day Euribor September Futures	Long	09/2008	432		(1,912	)
90-Day Euribor September Futures	Long	09/2009	1,030		(4,530	)
90-Day Eurodollar December Futures	Short	12/2008	588		1,312
90-Day Eurodollar December Futures	Long	12/2009	2,052		(1,732	)
90-Day Eurodollar June Futures	Long	06/2009	6,780		12,112
90-Day Eurodollar March Futures	Long	03/2009	4,152		11,615
90-Day Eurodollar March Futures	Long	03/2010	903		(767	)
90-Day Eurodollar September Futures	Long	09/2008	1,077		(197	)
90-Day Eurodollar September Futures	Long	09/2009	4,841		5,777
Euro-Bobl September Futures	Short	09/2008	564		1,271
Euro-Bobl September Futures Call Options Strike @ EUR 117.500	Long	09/2008	330		0
Euro-Bund 10-Year Bond September Futures	Short	09/2008	4,979		9,790
Euro-Bund 10-Year Bond September Futures Call Options Strike @ EUR 119.500	Long	09/2008	2,500		0
Euro-Bund 10-Year Bond September Futures Call Options Strike @ EUR 126.000	Long	09/2008	403		0
Euro-Schatz September Futures	Short	09/2008	1,605		1,472
Euro-Schatz September Futures Call Options Strike @ EUR 108.000	Long	09/2008	624		0
Euro-Schatz September Futures Call Options Strike @ EUR 108.500	Long	09/2008	52		0
Japan Government 10-Year Bond September Futures	Short	09/2008	46		(815	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	7,222		2,303
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	2,353		(6,710	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	45		(161	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	989		(2,333	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	861		(2,027	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	2,793		(3,719	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	45		(165	)
United Kingdom Government 10-Year Bond September Futures	Short	09/2008	578		1,705
				$	4,884

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Ace INA Holdings, Inc. 5.600% due 05/15/2015	Buy	(0.600%)	06/20/2015	JPM	$	7,500	$	73
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.529%)	12/20/2012	GSC		4,100		58
AutoZone, Inc. 6.950% due 06/15/2016	Buy	(1.110%)	06/20/2016	BOA		10,000		(37)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720%	09/20/2012	CITI		5,800		(75)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720%	09/20/2012	JPM		8,500		(111)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Buy	(1.780%)	12/20/2012	GSC		8,200		(238)
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(2.275%)	03/20/2018	JPM		8,000		(721)
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(2.180%)	03/20/2018	BNP		7,000		(582)
Black & Decker Corp. 5.750% due 11/15/2016	Buy	(1.020%)	12/20/2016	BOA		5,000		92
Burlington Northern Santa Fe Corp. 5.650% due 05/01/2017	Buy	(0.720%)	06/20/2017	BCLY		2,500		34
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.970%	06/20/2012	CSFB		3,100		(104)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.010%	06/20/2012	CSFB		4,200		(135)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.040%	06/20/2012	CSFB		3,700		(115)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.370%	09/20/2012	CITI		5,000		(112)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.380%	09/20/2012	GSC		2,000		(44)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.380%	09/20/2012	LEH		500		(11)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.550%	09/20/2012	CSFB		2,300		(36)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	2.100%	03/20/2013	CITI		1,200		(1)
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(1.010%)	06/20/2018	DUB		3,000		94
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(1.000%)	06/20/2018	BNP		1,000		32
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(0.950%)	06/20/2018	DUB		3,000		107
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(0.850%)	06/20/2018	UBS		4,600		197
Cleveland Electric Illuminating Co. 5.700% due 04/01/2017	Buy	(0.940%)	06/20/2017	RBS		5,000		24
Clorox Co. 6.125% due 02/01/2011	Buy	(0.470%)	12/20/2012	CITI		6,300		58
Computer Sciences Corp. 6.500% due 03/15/2018	Buy	(1.360%)	03/20/2018	LEH		2,500		(114)
ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299%)	12/20/2012	GSC		4,400		64
Consolidated Natural Gas Co. 5.000% due 03/01/2014	Buy	(0.590%)	03/20/2014	UBS		1,000		2
Constellation Energy Group, Inc. 4.550% due 06/15/2015	Buy	(0.960%)	06/20/2015	JPM		1,900		50
Con-way, Inc. 7.250% due 01/15/2018	Buy	(1.834%)	03/20/2018	BOA		10,000		237
CSX Corp. 6.250% due 03/15/2018	Buy	(1.050%)	03/20/2018	CSFB		5,000		278
Fannie Mae 5.250% due 08/01/2012	Sell	1.401%	03/20/2013	BNP		4,000		(21)
Fannie Mae 5.250% due 08/01/2012	Sell	1.410%	03/20/2013	RBS		15,000		(72)
Fannie Mae 5.250% due 08/01/2012	Sell	1.580%	03/20/2013	BNP		2,500		6
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.400%	09/20/2008	GSC		22,600		(395)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800%	09/20/2012	BCLY		3,000		(712)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800%	09/20/2012	MSC		8,500		(2,019)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850%	09/20/2012	JPM		3,300		(780)
Freddie Mac 5.875% due 03/21/2011	Sell	1.580%	03/20/2013	BNP		10,000		24
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.850%	03/20/2009	DUB		1,600		(3)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.830%	12/20/2009	GSC		4,000		(21)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.850%	12/20/2009	BOA		5,100		(25)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.010%	03/20/2013	BCLY		22,200		(535)
GMAC LLC 6.875% due 08/28/2012	Buy	(5.200%)	09/20/2008	GSC		6,000		100
GMAC LLC 6.875% due 08/28/2012	Buy	(4.250%)	09/20/2008	DUB		2,800		54
GMAC LLC 6.875% due 08/28/2012	Sell	1.400%	09/20/2008	BCLY		9,100		(241)
GMAC LLC 6.875% due 08/28/2012	Sell	1.425%	09/20/2008	LEH		13,500		(357)
GMAC LLC 6.875% due 08/28/2012	Sell	3.100%	06/20/2011	BOA		3,500		(974)
GMAC LLC 6.875% due 08/28/2012	Sell	3.620%	06/20/2011	UBS		1,000		(260)
GMAC LLC 6.875% due 08/28/2012	Sell	6.850%	06/20/2012	MSC		5,200		(1,208)
GMAC LLC 6.875% due 08/28/2012	Buy	(5.000%)	09/20/2012	CITI		200		55
GMAC LLC 6.875% due 08/28/2012	Buy	(4.800%)	09/20/2012	MLP		9,400		2,611
GMAC LLC 6.875% due 08/28/2012	Sell	3.050%	09/20/2012	BCLY		3,200		(1,003)
GMAC LLC 6.875% due 08/28/2012	Sell	3.050%	09/20/2012	GSC		11,300		(3,543)
GMAC LLC 6.875% due 08/28/2012	Sell	5.400%	09/20/2012	JPM		3,000		(797)
GMAC LLC 6.875% due 08/28/2012	Sell	5.450%	09/20/2012	JPM		3,000		(794)
GMAC LLC 6.875% due 08/28/2012	Sell	7.000%	09/20/2012	BOA		6,300		(1,467)
GMAC LLC 6.875% due 08/28/2012	Sell	7.500%	09/20/2012	LEH		10,000		(2,226)
GMAC LLC 6.875% due 08/28/2012	Sell	7.500%	09/20/2012	MSC		10,000		(2,226)
GMAC LLC 6.875% due 08/28/2012	Sell	7.550%	09/20/2012	JPM		10,000		(2,216)
Goldman Sachs Group, Inc. 5.950% due 01/18/2018	Buy	(0.970%)	03/20/2018	BNP		7,500		226
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.720%	09/20/2012	LEH		7,000		(164)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.740%	09/20/2012	CSFB		6,100		(138)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.750%	09/20/2012	BEAR		7,100		(159)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.750%	09/20/2012	MLP		4,000		(89)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.780%	09/20/2012	RBS		2,000		(42)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.800%	09/20/2012	MSC		6,800		(139)
Home Depot, Inc. 5.400% due 03/01/2016	Buy	(1.750%)	03/20/2016	LEH		2,500		(61)
Hospira, Inc. 5.900% due 06/15/2014	Buy	(1.030%)	06/20/2014	MSC		2,500		(27)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400%	12/20/2008	RBS		5,000		(8)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.510%	12/20/2008	DUB		36,000		(36)
International Lease Finance Corp. 6.625% due 11/15/2013	Buy	(1.600%)	12/20/2013	DUB		1,700		94
International Lease Finance Corp. 6.625% due 11/15/2013	Buy	(1.540%)	12/20/2013	BCLY		8,000		465
Kraft Foods, Inc. 6.125% due 02/01/2018	Buy	(1.130%)	03/20/2018	RBS		2,000		3
Kraft Foods, Inc. 6.125% due 02/01/2018	Buy	(0.860%)	03/20/2018	GSC		4,000		86
Kraft Foods, Inc. 6.125% due 08/23/2018	Buy	(1.040%)	06/20/2018	BOA		1,300		11
Kraft Foods, Inc. 6.125% due 08/23/2018	Buy	(0.980%)	06/20/2018	CITI		2,000		27
Kroger Co. 4.950% due 01/15/2015	Buy	(0.595%)	03/20/2015	MSC		13,800		110
Kroger Co. 5.500% due 02/01/2013	Buy	(0.360%)	12/20/2012	BNP		7,800		91
Kroger Co. 6.400% due 08/15/2017	Buy	(0.900%)	09/20/2017	BOA		5,000		(44)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.660%	09/20/2012	RBS		6,400		(502)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.700%	09/20/2012	JPM		8,600		(663)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.900%	09/20/2012	BNP		3,600		(252)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.950%	09/20/2012	JPM		3,700		(253)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.120%	09/20/2012	BNP		2,700		(169)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.200%	09/20/2012	BNP		2,900		(173)
Ltd. Brands, Inc. 6.900% due 07/15/2017	Buy	(3.113%)	09/20/2017	MSC		2,000		(34)
Macy’s Retail Holdings, Inc. 5.350% due 03/15/2012	Buy	(2.000%)	03/20/2012	JPM		1,500		8
Macy’s Retail Holdings, Inc. 7.450% due 07/15/2017	Buy	(2.110%)	09/20/2017	DUB		2,000		48
Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640%)	12/20/2012	CSFB		8,500		574
Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640%)	12/20/2012	GSC		14,400		972
Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.630%)	12/20/2012	MSC		13,600		924
Marsh & McLennan Cos., Inc. 5.750% due 09/15/2015	Buy	(1.180%)	09/20/2015	BOA		2,500		(55)
Masco Corp. 5.875% due 07/15/2012	Buy	(0.870%)	12/20/2012	BCLY		3,800		249
Masco Corp. 5.875% due 07/15/2012	Buy	(0.870%)	12/20/2012	BOA		6,700		440
Masco Corp. 5.875% due 07/15/2012	Buy	(0.860%)	12/20/2012	MSC		15,000		990
Masco Corp. 5.875% due 07/15/2012	Buy	(0.840%)	12/20/2012	DUB		14,400		962
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.930%)	12/20/2012	BCLY		200		12
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.930%)	12/20/2012	JPM		3,500		215
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.920%)	12/20/2012	JPM		9,500		586
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.900%)	12/20/2012	LEH		5,000		312
Merrill Lynch & Co., Inc. 5.450% due 02/05/2013	Buy	(1.380%)	03/20/2013	BNP		8,000		361
Merrill Lynch & Co., Inc. 6.400% due 08/28/2017	Buy	(1.350%)	09/20/2017	JPM		5,000		250
Motorola, Inc. 6.000% due 11/15/2017	Buy	(1.020%)	12/20/2017	LEH		4,000		495
Multiple Reference Entities of Gazprom	Sell	1.000%	11/20/2008	CSFB		12,000		18
Nabors Industries, Inc. 6.150% due 02/15/2018	Buy	(0.630%)	03/20/2018	DUB		5,000		93
Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.319%)	12/20/2012	GSC		4,200		83
Nisource Finance Corp. 6.800% due 01/15/2019	Buy	(1.470%)	03/20/2019	MSC		6,000		70
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.270%)	09/20/2012	GSC		17,900		512
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.260%)	09/20/2012	GSC		11,100		322
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.610%)	12/20/2012	MSC		6,600		116
Nucor Corp. 5.750% due 12/01/2017	Buy	(0.486%)	12/20/2017	CSFB		4,000		16
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300%	12/20/2008	BCLY		26,000		(17)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300%	12/20/2008	MSC		8,800		(6)
Pearson Dollar Finance PLC 5.700% due 06/01/2014	Buy	(0.830%)	06/20/2014	JPM		3,000		(13)
Pearson Dollar Finance Two PLC 5.500% due 05/06/2013	Buy	(0.570%)	06/20/2013	CITI		1,500		9
Pearson Dollar Finance Two PLC 5.500% due 05/06/2013	Buy	(0.550%)	06/20/2013	LEH		1,500		11
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320%	12/20/2008	LEH		2,000		1
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.350%	12/20/2008	BCLY		17,700		12
Peru Government International Bond 9.125% due 02/21/2012	Sell	0.370%	12/20/2008	LEH		17,100		13
Prudential Financial, Inc. 6.100% due 06/15/2017	Buy	(0.870%)	06/20/2017	BCLY		2,000		48
Rexam PLC 6.750% due 06/01/2013	Buy	(1.450%)	06/20/2013	BCLY		800		2
Rexam PLC 6.750% due 06/01/2013	Buy	(1.450%)	06/20/2013	CITI		12,000		34
RH Donnelley Corp. 8.875% due 01/15/2016	Sell	3.400%	09/20/2012	CITI		100		(30)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.325%	12/20/2008	DUB		18,800		(10)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.330%	12/20/2008	BCLY		17,700		(9)
Ryder System, Inc. 6.000% due 03/01/2013	Buy	(0.850%)	03/20/2013	BOA		6,900		54
Safeway, Inc. 5.800% due 08/15/2012	Buy	(0.340%)	12/20/2012	BNP		8,100		87
Sempra Energy 6.150% due 06/15/2018	Buy	(0.580%)	06/20/2018	BOA		3,000		24
Sempra Energy 6.150% due 06/15/2018	Buy	(0.550%)	06/20/2018	DUB		1,500		16
Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.430%)	12/20/2012	BOA		7,100		140
SLM Corp. 5.125% due 08/27/2012	Sell	3.700%	03/20/2009	GSC		12,000		(130)
SLM Corp. 5.125% due 08/27/2012	Sell	4.750%	03/20/2009	UBS		25,000		224
Staples, Inc. 7.375% due 10/01/2012	Buy	(0.700%)	12/20/2012	MSC		6,400		118
Target Corp. 6.000% due 01/15/2018	Buy	(1.180%)	03/20/2018	GSC		4,000		(132)
Telecom Italia Capital S.A. 6.999% due 06/04/2018	Buy	(1.550%)	06/20/2018	GSC		2,500		30
Telecom Italia Capital S.A. 6.999% due 06/04/2018	Buy	(1.530%)	06/20/2018	JPM		7,500		102
TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.460%)	12/20/2012	MSC		6,900		6
Tyco Electronics Group S.A. 6.550% due 10/01/2017	Buy	(0.950%)	12/20/2017	DUB		3,500		(25)
Tyco International Group S.A. 6.000% due 11/15/2013	Buy	(0.750%)	12/20/2013	BOA		8,000		65
Tyco International Ltd. 7.000% due 12/15/2019	Buy	(1.120%)	12/20/2019	BOA		11,000		229
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710%	12/20/2008	BCLY		3,000		(14)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720%	12/20/2008	DUB		7,000		(33)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.780%	12/20/2008	BCLY		17,700		(79)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.790%	12/20/2008	DUB		18,800		(83)
Verizon Communications, Inc. 5.500% due 04/01/2017	Buy	(0.550%)	06/20/2017	LEH		5,000		124
VF Corp. 8.500% due 10/01/2010	Buy	(0.449%)	12/20/2012	LEH		3,100		27
Viacom, Inc. 6.125% due 10/05/2017	Buy	(1.110%)	12/20/2017	BOA		4,000		121
Viacom, Inc. 6.250% due 04/30/2016	Buy	(1.250%)	06/20/2016	LEH		2,500		41
Vnesheconom 0.000% due 07/12/2009	Sell	0.650%	11/20/2008	BCLY		9,600		(36)
Weatherford International Ltd. 5.500% due 02/15/2016	Buy	(0.560%)	03/20/2016	BOA		5,000		118
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.680%)	12/20/2012	BNP		7,100		137
							$	(12,172)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080%	12/13/2049	GSC	$	17,710	$	1,184
CMBX N.A. AAA 3 Index	Sell	0.080%	12/13/2049	MSC		63,060		4,438
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	BCLY		12,870		545
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	BOA		54,846		3,154
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	LEH		19,800		813
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	MLP		55,836		2,351
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	MSC		6,336		288
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	UBS		135,531		2,757
Dow Jones CDX N.A. HY9 Index	Sell	3.330%	12/20/2012	LEH		47,300		(3,386)
Dow Jones CDX N.A. HY9 Index	Sell	6.385%	12/20/2012	GSC		4,200		199
Dow Jones CDX N.A. HY9 Index	Sell	6.510%	12/20/2012	MLP		3,100		162
Dow Jones CDX N.A. HY9 Index	Sell	6.570%	12/20/2012	MSC		16,900		921
Dow Jones CDX N.A. HY9 Index	Sell	6.690%	12/20/2012	MLP		8,700		515
Dow Jones CDX N.A. IG8 Index	Buy	(0.350%)	06/20/2012	BOA		37,200		1,104
Dow Jones CDX N.A. IG9 Index	Buy	(0.600%)	12/20/2012	MLP		106,200		4,052
Dow Jones CDX N.A. IG9 Index	Sell	0.600%	12/20/2012	GSC		130,600		1,405
Dow Jones CDX N.A. IG9 Index	Sell	0.710%	12/20/2012	CITI		24,200		256
Dow Jones CDX N.A. IG9 Index	Sell	0.760%	12/20/2012	DUB		2,000		20
Dow Jones CDX N.A. IG9 Index	Sell	1.130%	12/20/2012	MSC		3,400		23
Dow Jones CDX N.A. IG9 Index	Buy	(6.550%)	12/20/2017	BCLY		16,900		856
Dow Jones CDX N.A. IG9 Index	Buy	(6.550%)	12/20/2017	GSC		6,300		319
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	BCLY		232,100		7,168
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	BOA		38,100		1,337
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	GSC		50,400		1,759
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	JPM		17,600		614
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	LEH		34,000		1,174
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	MSC		123,500		3,329
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	BCLY		38,200		119
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	DUB		183,400		531
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	GSC		224,700		738
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	MSC		233,500		1,223
Dow Jones CDX N.A. XO8 Index	Buy	(1.400%)	06/20/2012	BOA		6,300		315
Home Equity Index A Rating 2007-1	Sell	0.640%	08/25/2037	LEH		4,000		(1,065)
							$	39,218

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	06/15/2009	CITI	AUD	143,700	$	(1,368	)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	UBS		476,700		(1,459	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	DUB	$	56,700		(166	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	JPM		63,000		(286	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	MLP		5,300		(12	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	MSC		463,800		(1,111	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	RBS		44,500		(195	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MLP		34,200		155
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		125,500		593
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		1,500		(11	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	BCLY		30,000		(19	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		15,500		(53	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		35,900		(62	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	CITI		207,700		3,613
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		36,000		673
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	MSC		6,000		10
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	RBS		5,800		10
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		54,000		(61	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		231,500		(572	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		393,061		2,250
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		65,000		296
Receive	3-Month USD-LIBOR	5.000	%	12/20/2021	DUB		72,500		(6,928	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BOA		400		(7	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	JPM		800		(14	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	LEH		60,200		(400	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		298,500		(4,173	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		64,500		(522	)
Receive	3-Month USD-LIBOR	5.000	%	12/20/2026	DUB		76,800		(8,535	)
Pay	3-Month USD-LIBOR	5.000	%	06/20/2027	BOA		18,000		754
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		337,000		(9,710	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103	%	09/14/2010	BNP	EUR	30,000		(689	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP		32,700		(703	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103	%	10/15/2010	BCLY		4,900		(103	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146	%	10/15/2010	UBS		23,700		(519	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.040	%	02/21/2011	BNP		21,200		(707	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.028	%	10/15/2011	JPM		25,900		(1,036	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.095	%	10/15/2011	UBS		39,400		(1,327	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.973	%	12/15/2011	JPM		46,200		(2,459	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.976	%	12/15/2011	GSC		66,900		(3,419	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.988	%	12/15/2011	BNP		71,500		(3,611	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	BCLY		6,000		(354	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM		8,500		(501	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.983	%	03/15/2012	BNP		5,500		(315	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		36,300		(2,004	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS		5,700		(273	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.950	%	03/30/2012	RBS		13,600		(663	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		6,600		(389	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY		3,500		(204	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		42,400		(2,599	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.980	%	04/30/2012	BCLY		9,200		(543	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.238	%	06/20/2012	BCLY		40,000		(1,633	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.138	%	01/19/2016	BCLY		32,700		(1,662	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.150	%	01/19/2016	BNP		45,000		(2,178	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.350	%	10/15/2016	UBS		26,000		(309	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.353	%	10/15/2016	JPM		25,000		(242	)
Pay	6-Month Australian Bank Bill	7.000	%	12/15/2009	BCLY	AUD	156,400		(1,468	)
Pay	6-Month Australian Bank Bill	7.000	%	12/15/2009	MSC		163,800		(1,544	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	CITI		6,600		(88	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	DUB		197,500		(2,583	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	JPM		33,400		(446	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	RBC		105,900		(1,359	)
Pay	6-Month Australian Bank Bill	7.500	%	06/15/2011	DUB		606,900		(1,575	)
Receive	6-Month Australian Bank Bill	6.500	%	06/15/2017	CITI		20,600		1,103
Receive	6-Month Australian Bank Bill	6.500	%	06/15/2017	DUB		14,300		740
Receive	6-Month Australian Bank Bill	6.750	%	12/15/2017	BCLY		19,300		919
Receive	6-Month Australian Bank Bill	6.750	%	12/15/2017	MSC		20,400		976
Receive	6-Month Australian Bank Bill	7.000	%	03/15/2019	UBS		28,100		559
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	DUB	EUR	181,200		(3,756	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		181,100		(3,754	)
Receive	6-Month EUR-LIBOR	4.000	%	06/15/2017	LEH		32,400		4,482
Receive	6-Month EUR-LIBOR	5.000	%	03/19/2018	BCLY		34,400		1,431
Pay	6-Month EUR-LIBOR	4.500	%	06/18/2034	MSC		53,300		65
Pay	6-Month EUR-LIBOR	5.000	%	06/18/2034	JPM		15,500		238
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY	GBP	51,100		(1,261	)
Pay	6-Month GBP-LIBOR	5.000	%	12/19/2009	BCLY		234,600		(4,851	)
Pay	6-Month GBP-LIBOR	5.000	%	12/19/2009	MSC		45,300		(936	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	DUB		62,000		(1,415	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	BCLY		41,300		(2,721	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	RBS		22,000		(462	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	DUB		2,400		(241	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	GSC		40,000		(3,938	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	JPM		40,000		(3,519	)
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2013	BCLY		27,300		1,528
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		7,000		443
Receive	6-Month GBP-LIBOR	5.000	%	09/15/2015	GSC		45,500		2,908
Receive	6-Month GBP-LIBOR	5.000	%	03/20/2018	BCLY		9,400		249
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		56,700		1,567
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	GSC		4,600		184
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	HSBC		29,500		5,194
Pay	6-Month JPY-LIBOR	1.000	%	03/18/2009	MSC	JPY	34,100,000		352
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	BCLY		2,420,000		(257	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	DUB		9,380,000		(1,050	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	RBS		10,020,000		(1,135	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.720	%	09/05/2016	BCLY	MXN	167,000		(928	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.330	%	02/14/2017	BCLY		124,500		(1,024	)
Pay	BRL-CDI-Compounded	12.410	%	01/04/2010	UBS	BRL	61,000		(1,053	)
Pay	BRL-CDI-Compounded	10.115	%	01/02/2012	MSC		46,000		(2,931	)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		274,400		(16,843	)
Pay	BRL-CDI-Compounded	10.680	%	01/02/2012	BCLY		157,500		(7,252	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	BCLY		5,000		(125	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	LEH		3,600		(109	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MLP		329,900		(8,736	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MSC		46,800		(1,270	)
Receive	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	2.275	%	10/15/2016	UBS	EUR	26,000		(309	)
Pay	U.S. CPI Urban Consumers NSA Index	2.538	%	01/16/2013	BCLY	$	45,000		(1,792	)
Pay	U.S. CPI Urban Consumers NSA Index	2.710	%	01/08/2018	BNP		40,000		(1,508	)
Pay	U.S. CPI Urban Consumers NSA Index	2.980	%	03/06/2018	MSC		7,200		(50	)
Pay	United Kingdom RPI Index	3.103	%	11/14/2016	UBS	GBP	35,000		(4,469	)
Pay	United Kingdom RPI Index	3.250	%	12/14/2017	BCLY		7,500		(749	)
Pay	United Kingdom RPI Index	3.183	%	12/19/2017	RBS		24,200		(2,627	)
Pay	United Kingdom RPI Index	3.110	%	01/03/2018	GSC		39,100		(4,651	)
Pay	United Kingdom RPI Index	3.381	%	06/14/2027	RBS		8,000		(1,455	)
Pay	United Kingdom RPI Index	3.440	%	09/10/2027	RBS		11,800		(1,948	)
Pay	United Kingdom RPI Index	3.425	%	10/17/2027	BCLY		4,250		(678	)
Pay	United Kingdom RPI Index	3.488	%	12/06/2027	RBS		4,500		(654	)
								$	(132,334	)

Total Return Swaps on Commodities

Pay/Receive Commodity Exchange	Reference Entity	(Pay)/Receive Fixed Price Per Unit			Expiration Date	Counterparty	Units	Unrealized Appreciation/ (Depreciation)
Pay	NYMEX Natural Gas November Futures	$	(8.390	)	10/28/2009	JPM	7,230	$	(26,264	)
Pay	NYMEX Natural Gas November Futures		(8.550	)	10/28/2009	JPM	4,610		(16,039	)
Receive	NYMEX Natural Gas December Futures		8.718		11/24/2009	JPM	7,230		26,392
Receive	NYMEX Natural Gas December Futures		8.855		11/24/2009	JPM	4,610		16,221
Receive	NYMEX Gasoline January Futures		252.000		12/31/2008	MSC	20,979		17,004
Pay	NYMEX WTI Crude January Futures		(103.740	)	12/31/2008	MSC	500		(18,521	)
Pay	NYMEX WTI Crude January Futures		(124.660	)	12/31/2008	MSC	249		(4,086	)
Receive	NYMEX WTI Crude January Futures		298.000		12/31/2008	MSC	10,445		3,723
								$	(1,570	)

Total Return Swaps on Indices

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)	Expiration Date	Counterparty	# of Shares/Units	Unrealized Appreciation/ (Depreciation)
Receive	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/29/2008	ABN	1,014,394	$	(1,757	)
Pay	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	12/29/2008	AIG	2,392,767		4,142
Receive	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	12/29/2008	AIG	7,358,541		(14,562	)
Receive	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	09/26/2008	BCLY	3,945,374		(6,825	)
Receive	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/29/2008	CSFB	132,323		(229	)
Receive	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/29/2008	GSC	2,496,765		(2,774	)
Receive	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/29/2008	JPM	972,262		(1,385	)
Receive	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	12/29/2008	LEH	5,651,589		(4,496	)
Receive	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/29/2008	MLP	1,821,670		(3,145	)
Pay	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/29/2008	MSC	10,399,247		17,952
Receive	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/29/2008	MSC	13,704,359		(24,443	)
Receive	Dow Jones - AIG Commodity Index Total Return	3-Month U.S. Treasury Bill rate plus a specified spread	07/29/2008	UBS	781,421		(1,351	)
						$	(38,873	)

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

Variance Swaps

Counterparty	Underlying Asset	Pay/Receive Variance(4)	Strike Price		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
GSC	NYMEX WTI Crude August Futures	Pay	$	0.232	07/17/2008	$	8,400	$	651
GSC	NYMEX WTI Crude December Futures	Pay		0.101	11/16/2010		13,230		(145	)
GSC	NYMEX Natural Gas December Futures	Pay		0.069	11/23/2010		15,600		92
								$	598

⁽⁴⁾ At the expiration date, a net cash flow is exchanged, where the payoff amount is equivalent to the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. As a receiver of the realized price variance, the Fund would receive the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would owe the payoff amount when the variance is less than the strike price. As a payer of the realized price variance, the Fund would owe the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would receive the payoff amount when the variance is less than the strike price.

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

Options on Commodity Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - OTC NYMEX WTI Crude December Futures	$	102.000	12/31/2009	502	$	4,428	$	20,697

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	110.500	08/22/2008	3,400	$	115	$	54
Call - CBOT U.S. Treasury 5-Year Note September Futures		126.000	08/22/2008	1,555		28		13
Call - CBOT U.S. Treasury 10-Year Note September Futures		138.000	08/22/2008	5,400		98		89
Call - CBOT U.S. Treasury 30-Year Bond September Futures		143.000	08/22/2008	890		16		15
Call - CBOT U.S. Treasury 30-Year Bond September Futures		148.000	08/22/2008	3,500		63		58
Call - CBOT U.S. Treasury 30-Year Bond September Futures		149.000	08/22/2008	3,263		59		54
Call - CBOT U.S. Treasury 30-Year Bond September Futures		150.000	08/22/2008	3,910		71		64
Put - CBOT U.S. Treasury 10-Year Note September Futures		88.000	08/22/2008	1,090		20		16
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	3,050		55		46
					$	525	$	409

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	174,100	$	1,915	$	825
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		19,100		204		89
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		12,900		137		60
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		9,900		105		46
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		45,600		490		212
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		23,900		253		167
									$	3,104	$	1,398

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.392	07/08/2010	EUR	56,200	$	2,961	$	9,230
Put - OTC Euro versus U.S. dollar		1.392	07/08/2010		56,200		2,961		2,047
Call - OTC U.S. dollar versus Japanese yen	JPY	111.000	12/01/2008	$	31,000		561		40
						$	6,483	$	11,317

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.500% due 09/01/2038	$	86.000	09/04/2008	$	208,000	$	24	$	10
Put - OTC Treasury Inflation Protected Securities 0.875% due 04/15/2010		98.000	07/01/2008		500,000		39		0
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/15/2013		98.500	08/04/2008		675,000		53		53
Put - OTC Treasury Inflation Protected Securities 2.500% due 07/15/2016		99.500	07/07/2008		300,000		23		0
Put - OTC Treasury Inflation Protected Securities 3.000% due 07/15/2012		103.000	07/07/2008		650,000		51		0
Put - OTC Treasury Inflation Protected Securities 3.500% due 01/15/2011		104.000	07/07/2008		550,000		43		0
Put - OTC Treasury Inflation Protected Securities 3.625% due 04/15/2028		109.500	07/01/2008		980,000		77		0
Put - OTC Treasury Inflation Protected Securities 3.875% due 04/15/2029		114.000	07/01/2008		700,000		55		0
						$	364	$	63

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

Options on Commodity Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - OTC NYMEX Heating Oil December Futures	$	300.000	12/31/2009	502	$	4,428	$	22,782

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	$	116.000	08/22/2008	4,518	$	4,277	$	2,665
Call - CBOT U.S. Treasury 30-Year Bond September Futures		117.000	08/22/2008	1,659		1,540		1,817
Call - CBOT U.S. Treasury 30-Year Bond September Futures		119.000	08/22/2008	1,124		1,366		594
Call - CBOT U.S. Treasury 30-Year Bond September Futures		120.000	08/22/2008	1,158		1,320		417
Call - OTC DJAIGTR February Futures		230.000	02/12/2009	50,000,000		1,263		5,070
Call - OTC DJAIGTR January Futures		245.000	01/04/2011	37,500,000		1,492		6,391
Call - OTC DJAIGTR January Futures		250.000	01/11/2011	19,800,000		756		3,204
Call - OTC DJAIGTR October Futures		230.000	10/19/2010	68,000,000		3,401		13,311
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	2,255		1,700		721
Put - CBOT U.S. Treasury 10-Year Note September Futures		112.000	08/22/2008	1,148		1,253		605
Put - CBOT U.S. Treasury 30-Year Bond September Futures		109.000	08/22/2008	568		300		71
Put - OTC DJAIGTR January Futures		160.000	01/04/2011	37,500,000		2,035		1,510
Put - OTC DJAIGTR January Futures		160.000	01/11/2011	19,800,000		1,071		802
Put - OTC DJAIGTR October Futures		150.000	10/19/2010	68,000,000		5,657		1,351
Put - OTC GSCI December Futures		82.000	12/19/2008	89,000,000		178		41
					$	27,609	$	38,570

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008	$	71,000	$	1,890	$	3,251
Put - OTC 10-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		71,000		1,890		305
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009		75,700		1,995		1,144
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		4,000		100		56
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		3,300		108		65
Call - OTC 30-Year Interest Rate Swap	BOA	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		27,000		1,303		2,906
Put - OTC 30-Year Interest Rate Swap	BOA	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		27,000		986		15
Call - OTC 30-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		33,300		1,392		3,584
Put - OTC 30-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		33,300		1,405		19
Call - OTC 10-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		52,000		1,305		2,381
Put - OTC 10-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		52,000		1,258		223
Call - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		64,000		2,058		3,054
Put - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		64,000		2,058		1,820
Call - OTC 30-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		55,800		1,958		6,005
Put - OTC 30-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		55,800		2,740		32
Call - OTC 10-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		94,900		2,809		4,345
Put - OTC 10-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		94,900		1,907		407
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		4,300		142		84
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		3,300		111		65
Call - OTC 10-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		37,200		934		1,703
Put - OTC 10-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		37,200		900		160
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		15,200		495		297
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		8,000		245		183
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		191,000		5,477		9,115
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		191,000		6,782		5,432
									$	42,249	$	46,649

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Put - OTC U.S. dollar versus Japanese yen	JPY	100.000	12/01/2008	$	31,000	$	513	$	873

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

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Credit Suisse USA, Inc.	2.653	%	02/17/2009	01/07/2008	$	95,000	$	163,926	1.04	%
Merna Reinsurance Ltd.	3.451	%	07/07/2010	09/21/2007		26,800		25,264	0.16	%
Rabobank Nederland	4.851	%	07/22/2008	06/08/2007		200,000		429,005	2.74	%
Svensk ExportKredit AB	0.000	%	11/25/2008	10/19/2007		150,000		283,158	1.81	%
					$	471,800	$	901,353	5.75	%

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(5)
Fannie Mae	5.000	%	07/01/2038	$	5,000	$	4,782	$	4,793
Fannie Mae	5.500	%	07/01/2038		14,400		14,111		14,195
Fannie Mae	6.000	%	07/01/2038		154,700		154,869		156,078
Freddie Mac	5.000	%	07/01/2038		417,100		397,027		399,699
Freddie Mac	6.000	%	07/01/2038		48,000		48,330		48,488
Treasury Inflation Protected Securities	1.750	%	01/15/2028		140,432		130,534		133,536
Treasury Inflation Protected Securities	2.375	%	01/15/2017		3,859		4,123		4,182
U.S. Treasury Bonds	2.625	%	07/15/2017		4,172		4,546		4,612
U.S. Treasury Bonds	4.375	%	02/15/2038		357,100		336,933		355,218
U.S. Treasury Bonds	4.750	%	02/15/2037		55,200		55,349		58,326
U.S. Treasury Bonds	5.000	%	05/15/2037		291,200		301,732		316,265
U.S. Treasury Notes	2.125	%	04/30/2010		240,600		236,840		240,053
U.S. Treasury Notes	2.500	%	03/31/2013		87,400		83,373		85,045
U.S. Treasury Notes	3.125	%	04/30/2013		51,100		49,793		51,064
U.S. Treasury Notes	3.250	%	12/31/2009		183,500		184,631		186,151
U.S. Treasury Notes	3.500	%	02/15/2018		201,800		191,823		197,462
U.S. Treasury Notes	3.625	%	12/31/2012		28,950		29,508		29,450
U.S. Treasury Notes	3.875	%	05/15/2018		91,450		88,591		91,430
U.S. Treasury Notes	4.000	%	02/15/2015		16,000		16,400		16,729
U.S. Treasury Notes	4.125	%	08/31/2012		49,100		50,235		51,666
U.S. Treasury Notes	4.125	%	05/15/2015		6,750		7,002		7,030
U.S. Treasury Notes	4.250	%	11/15/2017		101,950		102,829		104,931
U.S. Treasury Notes	4.750	%	05/15/2014		61,700		64,754		66,725
U.S. Treasury Notes	4.750	%	08/15/2017		80,800		84,327		87,381
U.S. Treasury Notes	4.875	%	05/31/2011		22,200		23,185		23,575
U.S. Treasury Notes	5.125	%	05/15/2016		168,300		183,676		185,097
						$	2,849,303	$	2,919,181

⁽⁵⁾ Market value includes $21,377 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	7,985	07/2008	$	0	$	(56	)	$	(56	)
Buy	BRL	328,638	07/2008		27,093		0			27,093
Sell		328,638	07/2008		0		(12,921	)		(12,921	)
Buy		352,092	12/2008		18,678		0			18,678
Sell		174,709	12/2008		0		(8,395	)		(8,395	)
Sell	CAD	24,358	08/2008		197		0			197
Sell	CHF	11,295	09/2008		0		(206	)		(206	)
Buy	CNY	46,765	03/2009		511		0			511
Sell		46,765	03/2009		0		(446	)		(446	)
Sell	EUR	119,622	07/2008		0		(1,928	)		(1,928	)
Sell	GBP	145,569	08/2008		0		(1,600	)		(1,600	)
Buy	JPY	12,665,146	07/2008		1,818		0			1,818
Sell		41,589,506	07/2008		0		(6,497	)		(6,497	)
Buy	KRW	2,100,602	08/2008		0		(208	)		(208	)
Sell		2,100,602	08/2008		44		0			44
Buy	MXN	1,843,059	07/2008		13,439		0			13,439
Sell		1,843,059	07/2008		0		(9,388	)		(9,388	)
Buy		210,560	11/2008		195		0			195
Buy	MYR	39,011	11/2008		0		(204	)		(204	)
Buy		47,988	02/2009		0		(304	)		(304	)
Buy	PHP	729,573	08/2008		0		(1,723	)		(1,723	)
Buy	PLN	149,025	07/2008		15,307		0			15,307
Sell		149,025	07/2008		0		(1,342	)		(1,342	)
Buy		149,025	05/2009		1,331		0			1,331
Buy	RUB	14,028	07/2008		43		0			43
Sell		14,028	07/2008		0		(9	)		(9	)
Buy		2,151,495	11/2008		4,041		0			4,041
Sell		830,201	11/2008		0		(2,151	)		(2,151	)
Buy		14,028	05/2009		13		0			13
Sell	SEK	14,781	09/2008		0		(11	)		(11	)
Buy	SGD	83,829	11/2008		601		0			601
				$	83,311	$	(47,389	)	$	35,922

(n) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0	$	28,495,386		$	24,597		$	28,519,983
Other Financial Instruments++		4,884		(2,977,541	)		(138,348	)		(3,111,005	)
Total	$	4,884	$	25,517,845		$	(113,751	)	$	25,408,978

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/(Losses)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	28,310		$	(34,184	)	$	0	$	38,869		$	(8,398	)	$	24,597
Other Financial Instruments++		(132,025	)		36,412			0		(43,278	)		543			(138,348	)
Total	$	(103,715	)	$	2,228		$	0	$	(4,409	)	$	(7,855	)	$	(113,751	)

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

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

See Accompanying Notes

Schedule of Investments

Convertible Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.4%
Berry Plastics Holding Corp.
9.728% due 06/05/2014	$	188	$	170
Daimler Finance North America LLC
6.780% due 08/03/2012		1,985		1,644
Verso Paper Holdings LLC
8.709% due 02/01/2013		134		129
Total Bank Loan Obligations (Cost $2,259)				1,943
CORPORATE BONDS & NOTES 9.0%
Banking & Finance 6.4%
American Express Co.
7.000% due 03/19/2018		3,025		3,072
Bank of America Corp.
8.125% due 12/29/2049		1,500		1,420
Citigroup Capital XXI
8.300% due 12/21/2057		1,000		949
Citigroup Funding, Inc.
2.080% due 08/31/2012		2,000		1,964
Citigroup, Inc.
8.400% due 04/29/2049		1,000		952
Goldman Sachs Group, Inc.
5.950% due 01/18/2018		2,725		2,624
6.150% due 04/01/2018		650		633
6.750% due 10/01/2037		225		207
LVB Acquisition Merger Sub, Inc.
11.625% due 10/15/2017		2,500		2,662
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		1,825		1,742
UBS AG
5.750% due 04/25/2018		1,850		1,771
Wachovia Corp.
7.980% due 12/31/2049		3,000		2,763
Wells Fargo Capital XIII
7.700% due 12/29/2049		7,000		6,968
				27,727
Industrials 1.9%
Allison Transmission, Inc.
11.000% due 11/01/2015		2,750		2,475
Berry Plastics Holding Corp.
8.875% due 09/15/2014		150		130
Bon-Ton Department Stores, Inc.
10.250% due 03/15/2014		1,000		661
Continental Airlines, Inc.
9.798% due 04/01/2021		226		181
First Data Corp.
9.875% due 09/24/2015		2,675		2,331
Freescale Semiconductor, Inc.
6.651% due 12/15/2014		425		338
9.125% due 12/15/2014 (a)		475		372
NPC International, Inc.
9.500% due 05/01/2014		300		261
Qwest Communications International, Inc.
6.176% due 02/15/2009		575		575
Spansion, Inc.
5.807% due 06/01/2013		500		368
West Corp.
9.500% due 10/15/2014		500		452
				8,144
Utilities 0.7%
MetroPCS Wireless, Inc.
9.250% due 11/01/2014		250		242
Telesat Canada/Telesat LLC
11.000% due 11/01/2015		1,700		1,708
12.500% due 11/01/2017		1,300		1,294
				3,244
Total Corporate Bonds & Notes (Cost $40,787)				39,115
CONVERTIBLE BONDS & NOTES 55.1%
Banking & Finance 4.2%
Citigroup Funding, Inc.
1.080% due 08/31/2012		2,000		1,904
Countrywide Financial Corp.
0.000% due 04/15/2037		1,250		1,211
Deutsche Bank AG
0.000% due 03/23/2009		5,000		2,200
0.450% due 08/31/2012		2,000		2,741
Forest City Enterprises, Inc.
3.625% due 10/15/2011		2,730		2,266
Morgan Stanley
1.700% due 10/15/2012		1,000		1,264
ProLogis
1.875% due 11/15/2037		1,000		870
Prudential Financial, Inc.
1.146% due 12/15/2037		6,000		5,768
				18,224
Industrials 48.9%
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		9,550		6,064
Alliant Techsystems, Inc.
2.750% due 09/15/2011		1,500		1,819
American Tower Corp.
3.000% due 08/15/2012		890		1,858
Amylin Pharmaceuticals, Inc.
3.000% due 06/15/2014		2,200		1,810
Anixter International, Inc.
1.000% due 02/15/2013		1,400		1,544
Archer-Daniels-Midland Co.
0.875% due 02/15/2014		2,475		2,503
ArvinMeritor, Inc.
4.625% due 03/01/2026		2,500		2,109
BioMarin Pharmaceuticals, Inc.
1.875% due 04/23/2017		1,500		2,368
Cameron International Corp.
2.500% due 06/15/2026		1,900		3,213
Carnival Corp.
2.000% due 04/15/2021		1,400		1,433
Cephalon, Inc.
0.000% due 06/15/2033		1,300		1,622
Charter Communications, Inc.
6.500% due 10/01/2027		300		141
Chesapeake Energy Corp.
2.250% due 12/15/2038		4,600		5,307
2.500% due 05/15/2037		4,000		7,115
Ciena Corp.
0.875% due 06/15/2017		800		646
Comcast Holdings Corp.
2.000% due 11/15/2029		6		218
Devon Energy Corp.
4.900% due 08/15/2008		1,150		2,142
DST Systems, Inc.
4.125% due 08/15/2023		1,000		1,252
Electronic Data Systems Corp.
3.875% due 07/15/2023		650		652
EMC Corp.
1.750% due 12/01/2011		5,000		5,719
Fisher Scientific International, Inc.
3.250% due 03/01/2024		3,500		5,311
Fluor Corp.
1.500% due 02/15/2024		775		2,582
Ford Motor Co.
4.250% due 12/15/2036		6,775		4,963
Gannett Co., Inc.
2.241% due 07/15/2037		6,000		6,023
General Cable Corp.
1.000% due 10/15/2012		1,300		1,290
Genzyme Corp.
1.250% due 12/01/2023		2,000		2,222
Gilead Sciences, Inc.
0.625% due 05/01/2013		2,000		2,970
Halliburton Co.
3.125% due 07/15/2023		1,300		3,689
Integra LifeSciences Holdings Corp.
2.750% due 06/01/2010		2,450		2,340
Intel Corp.
2.950% due 12/15/2035		4,000		3,915
International Game Technology, Inc.
2.600% due 12/15/2036		2,900		2,798
Interpublic Group of Cos., Inc.
4.250% due 03/15/2023		1,100		1,119
Invitrogen Corp.
2.000% due 08/01/2023		900		1,126
L-1 Identity Solutions, Inc.
3.750% due 05/15/2027		2,000		1,758
L-3 Communications Holdings, Inc.
3.000% due 08/01/2035		3,700		4,112
Lamar Advertising Co.
2.875% due 12/31/2010		1,750		1,732
Leap Wireless International, Inc.
4.500% due 07/15/2014		1,000		894
LifePoint Hospitals, Inc.
3.500% due 05/15/2014		3,700		3,168
Linear Technology Corp.
3.000% due 05/01/2027		2,800		2,684
Lockheed Martin Corp.
2.426% due 08/15/2033		1,725		2,354
Medtronic, Inc.
1.250% due 09/15/2021		550		551
1.625% due 04/15/2013		7,975		8,563
Microchip Technology, Inc.
2.125% due 12/15/2037		800		826
Micron Technology, Inc.
1.875% due 06/01/2014		1,200		852
Millipore Corp.
3.750% due 06/01/2026		2,600		2,629
Mylan, Inc.
1.250% due 03/15/2012		8,600		7,245
Nortel Networks Corp.
1.750% due 04/15/2012		3,100		2,337
2.125% due 04/15/2014		6,950		4,691
NovaMed, Inc.
1.000% due 06/15/2012		1,800		1,370
Peabody Energy Corp.
4.750% due 12/15/2041		2,000		3,312
Placer Dome, Inc.
2.750% due 10/15/2023		1,700		3,241
Qwest Communications International, Inc.
3.500% due 11/15/2025		13,800		13,645
Rayonier TRS Holdings, Inc.
3.750% due 10/15/2012		4,000		4,040
Roper Industries, Inc.
1.481% due 01/15/2034 (i)		1,800		1,490
SanDisk Corp.
1.000% due 05/15/2013		4,500		3,111
Schlumberger Ltd.
2.125% due 06/01/2023		1,050		2,839
Scientific Games Corp.
0.750% due 12/01/2024		1,000		1,178
Spansion, Inc.
2.250% due 06/15/2016		2,000		897
St. Jude Medical, Inc.
1.220% due 12/15/2008		2,000		1,990
2.800% due 12/15/2035		250		250
Stillwater Mining Co.
1.875% due 03/15/2028		2,000		1,638
Symantec Corp.
1.000% due 06/15/2013		4,000		4,635
Teva Pharmaceutical Finance Co. BV
1.750% due 02/01/2026		10,800		12,056
Transocean, Inc.
1.500% due 12/15/2037		8,000		9,140
Ventas, Inc.
3.875% due 11/15/2011		1,700		1,864
Virgin Media, Inc.
6.500% due 11/15/2016		2,000		2,075
Wyeth
3.581% due 01/15/2024		4,301		4,414
Xilinx, Inc.
3.125% due 03/15/2037		2,300		2,185
YRC Worldwide, Inc.
3.375% due 11/25/2023		4,500		3,308
				212,957
Utilities 2.0%
CMS Energy Corp.
2.875% due 12/01/2024		1,500		1,776
Covanta Holding Corp.
1.000% due 02/01/2027		1,000		1,066
Lucent Technologies, Inc.
2.875% due 06/15/2023		5,089		4,663
Time Warner Telecom, Inc.
2.375% due 04/01/2026		1,000		1,064
				8,569
Total Convertible Bonds & Notes (Cost $250,599)				239,750
MUNICIPAL BONDS & NOTES 0.1%
Illinois State Finance Authority Sports Facilities Revenue Notes, Series 2007
9.000% due 03/01/2014		320		321
Total Municipal Bonds & Notes (Cost $320)				321
	Shares
COMMON STOCKS 2.4%
Celgene Corp. (b)		10,000		639
Citizens Communications Co.		40,000		454
CSX Corp.		7,600		477
DaVita, Inc. (b)		5,700		303
Ferrellgas Partners-LP		5,000		98
Huntsman Corp.		50,000		570
News Corp. ‘B’		48,600		746
Pride International, Inc. (b)		82,000		3,878
Public Service Enterprise Group, Inc.		8,180		376
SandRidge Energy, Inc. (b)		10,000		646
Time Warner, Inc.		50,000		740
U.S. Bancorp		35,900		1,001
Windstream Corp.		34,800		429
Total Common Stocks (Cost $10,772)				10,357
CONVERTIBLE PREFERRED STOCKS 23.7%
Banking & Finance 11.1%
American International Group, Inc.
8.500% due 08/01/2011		153,000		9,071
Bank of America Corp.
7.250% due 12/31/2049		21,000		18,564
Legg Mason, Inc.
7.000% due 06/30/2011		55,000		2,312
Lehman Brothers Holdings, Inc.
7.250% due 12/31/2049		9,000		7,240
8.160% due 05/30/2009		10,000		569
Wachovia Corp.
7.500% due 12/31/2049		8,500		7,526
Washington Mutual Capital Trust
5.375% due 05/03/2041		125,000		3,000
				48,282
CONSUMER DISCRETIONARY 1.7%
Celanese Corp.
4.250% due 12/31/2049		38,000		2,219
General Motors Corp.
6.250% due 07/15/2033		362,000		4,910
				7,129
CONSUMER SERVICES 4.5%
AMG Capital Trust II
5.150% due 10/15/2037		50,000		1,759
Citigroup, Inc.
6.500% due 12/31/2049		165,000		7,219
Fannie Mae
5.375% due 12/31/2049		49		2,952
8.750% due 05/13/2011		30,000		1,149
MetLife, Inc.
6.375% due 02/15/2009		112,000		2,982
Simon Property Group, Inc.
6.000% due 12/31/2049		5,400		396
SLM Corp.
7.250% due 12/15/2010		2,000		1,963
Washington Mutual, Inc.
7.750% due 12/31/2049		2,000		1,173
				19,593
Energy 2.2%
CMS Energy Corp.
4.500% due 12/31/2049		5,000		392
El Paso Corp.
4.990% due 12/31/2049		2,375		4,094
Entergy Corp.
7.625% due 02/17/2009		23,000		1,624
NRG Energy, Inc.
4.000% due 12/31/2049		1,475		3,211
5.750% due 03/16/2009		1,000		365
				9,686
Healthcare 0.6%
Schering-Plough Corp.
6.000% due 08/13/2010		14,000		2,677
Industrials 3.6%
Archer-Daniels-Midland Co.
6.250% due 06/01/2011		25,000		1,096
Bunge Ltd.
5.125% due 12/01/2010		1,500		1,509
Freeport-McMoRan Copper & Gold, Inc.
6.750% due 05/01/2010		70,500		11,835
Mylan, Inc.
6.500% due 11/15/2010		1,500		1,320
				15,760
Total Convertible Preferred Stocks (Cost $120,134)				103,127
EXCHANGE-TRADED FUNDS 2.9%
Standard & Poors Depository Receipts Trust Series I		100,000		12,798
Total Exchange-Traded Funds (Cost $13,516)				12,798
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 6.1%
Certificates of Deposit 0.3%
Unicredito Italiano NY
3.071% due 05/18/2009	$	1,300		1,297
Commercial Paper 4.4%
Intesa Funding LLC
2.750% due 09/09/2008		10,500		10,443
Westpac Trust Securities NZ Ltd.
2.770% due 09/18/2008		8,800		8,745
				19,188
Repurchase Agreements 0.5%
State Street Bank and Trust Co.
1.650% due 07/01/2008		2,126		2,126
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $2,172. Repurchase proceeds are $2,126.)
U.S. Treasury Bills 0.9%
1.828% due 09/11/2008 - 09/25/2008 (c)(d)		4,000		3,979
Total Short-Term Instruments (Cost $26,598)				26,590
Total Investments 99.7% (Cost $464,985)			$	434,001
Written Options (h) (0.1%) (Premiums $611)				(282	)
Other Assets and Liabilities (Net) 0.4%				1,703
Net Assets 100.0%			$	435,422

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) Non-income producing security.

(c) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $3,979 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $15,778 at a weighted average interest rate of 2.522%. On June 30, 2008, there were no open reverse repurchase agreements.

(f) Cash of $1,181 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2009	195	$	13
90-Day Eurodollar March Futures	Long	03/2009	195		18
90-Day Eurodollar September Futures	Long	09/2009	166		(101	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2008	38		(54	)
				$	(124	)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Centex Corp. 5.250% due 06/15/2015	Buy	(3.750%)	06/20/2013	CSFB	$	1,000	$	29
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	2.050%	06/20/2013	RBS		4,000		(21	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Buy	(2.210%)	06/20/2017	RBS		2,300		41
Chrysler Financial 9.360% due 08/03/2012	Sell	5.250%	09/20/2012	DUB		2,000		(301	)
Countrywide Financial Corp. floating rate based on 3-Month USD-LIBOR plus 3.500% due 04/15/2037	Buy	(3.400%)	12/20/2008	MLP		1,250		(1	)
CSC Holdings, Inc. 7.625% due 04/01/2011	Sell	2.010%	06/20/2012	MSC		450		(38	)
Flextronics International Ltd. 6.500% due 05/15/2013	Buy	(3.250%)	06/20/2013	GSC		1,000		(9	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.000%	12/20/2008	LEH		2,000		(47	)
Freescale Semiconductor, Inc. 7.125% due 07/15/2014	Buy	(2.250%)	12/20/2009	CSFB		1,000		39
Freescale Semiconductor, Inc. 7.125% due 07/15/2014	Sell	2.600%	12/20/2009	DUB		1,000		(34	)
Gannett Co., Inc. 6.375% due 04/01/2012	Buy	(0.150%)	08/20/2008	CITI		3,000		6
Gannett Co., Inc. 6.375% due 04/01/2012	Buy	(0.150%)	09/20/2008	CITI		3,000		9
Georgia-Pacific LLC 7.750% due 11/15/2029	Buy	(4.850%)	09/20/2013	BOA		2,000		(6	)
Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	5.000%	09/20/2013	CITI		2,000		26
GMAC LLC 6.875% due 08/28/2012	Sell	4.650%	09/20/2008	MLP		450		(8	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.120%	12/20/2008	CITI		250		(14	)
GMAC LLC 6.875% due 08/28/2012	Buy	(8.000%)	03/20/2009	MSC		2,200		95
GMAC LLC 6.875% due 08/28/2012	Sell	8.650%	03/20/2009	JPM		2,200		(85	)
GMAC LLC 6.875% due 08/28/2012	Buy	(2.800%)	05/15/2009	MLP		4,667		456
GMAC LLC 6.875% due 08/28/2012	Buy	(5.000%)	06/20/2009	LEH		2,400		129
GMAC LLC 6.875% due 08/28/2012	Sell	5.000%	06/20/2009	MSC		2,400		(98	)
HCA, Inc. 6.950% due 05/01/2012	Buy	(1.870%)	03/20/2010	GSC		1,000		12
HCA, Inc. 6.950% due 05/01/2012	Sell	3.320%	03/20/2012	GSC		1,000		(23	)
HCA, Inc. 7.858% due 11/16/2012	Sell	1.250%	09/20/2008	LEH		2,500		0
HCA, Inc. 9.125% due 11/15/2014	Sell	2.000%	09/20/2012	CITI		600		(11	)
HCA, Inc. 9.125% due 11/15/2014	Sell	2.400%	06/20/2014	CITI		400		(9	)
Intelsat Ltd. 6.500% due 11/01/2013	Buy	(1.300%)	03/20/2010	BCLY		500		28
Mirant North America LLC 7.375% due 12/31/2013	Buy	(3.600%)	06/20/2013	GSC		4,000		38
Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.520%)	06/20/2010	LEH		750		39
Nortel Networks Corp. 4.250% due 09/01/2008	Sell	3.950%	09/20/2012	CITI		1,500		(112	)
Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(4.550%)	09/20/2014	CITI		750		63
Pride International, Inc. 3.125% convertible until 05/01/2033	Sell	0.700%	09/20/2008	CSFB		1,000		0
Qwest Capital Funding, Inc. 7.750% due 02/15/2031	Sell	3.600%	03/20/2011	GSC		5,000		(83	)
Qwest Capital Funding, Inc. 7.900% due 08/15/2010	Buy	(2.650%)	08/15/2010	LEH		5,500		99
Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	4.600%	06/20/2012	CITI		150		(9	)
SLM Corp. 5.125% due 08/27/2012	Sell	1.350%	06/20/2010	BOA		1,400		(107	)
Sungard Data Systems, Inc. 9.125% due 08/15/2013	Sell	4.500%	09/20/2013	DUB		150		(2	)
SUPERVALU, Inc. 0.000% convertible until 11/02/2031	Sell	0.400%	09/20/2008	BOA		1,000		(2	)
Tenet Healthcare Corp. 7.375% due 02/01/2013	Buy	(1.150%)	03/20/2009	UBS		50		0
Texas Competitive Electric Holdings Co. LLC 10.250% due 11/01/2015	Sell	5.800%	06/20/2013	GSC		4,000		(13	)
Weyerhaeuser Co. 7.125% due 07/15/2023	Buy	(1.740%)	09/20/2013	MLP		4,000		78
							$	154

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. HY9 Index	Sell	1.750%	12/20/2010	GSC	$	12,000	$	(296	)
Dow Jones CDX N.A. HY9 Index	Sell	4.530%	12/20/2010	MLP		8,500		462
Dow Jones CDX N.A. HY9 Index	Buy	(3.750%)	12/20/2012	MLP		3,960		216
Dow Jones CDX N.A. HY9 Index	Sell	3.200%	12/20/2012	JPM		7,500		(575	)
Dow Jones CDX N.A. HY9 Index	Sell	3.330%	12/20/2012	LEH		2,400		(172	)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	BCLY		400		2
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	DUB		6,400		22
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	GSC		1,200		5
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	MSC		1,100		4
							$	(332	)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	28-Day Mexico Interbank TIIE Banxico	7.910	%	05/14/2009	CITI	MXN	5,000	$	(3	)
Pay	28-Day Mexico Interbank TIIE Banxico	7.910	%	05/14/2009	MSC		6,000		(4	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	GSC	$	20,800		(100	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MSC		31,000		(143	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		19,000		(65	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		15,000		(26	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		800		(2	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		2,800		29
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		200		1
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		17,900		26
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	CITI		5,800		(68	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	GSC		3,200		2
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		5,000		(174	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	GSC		2,600		14
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		13,200		(146	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		200		(1	)
Receive	6-Month GBP-LIBOR	5.000	%	03/18/2039	GSC	GBP	1,400		39
Pay	BRL-CDI-Compounded	10.115	%	01/02/2012	MSC	BRL	8,200		(553	)
Pay	BRL-CDI-Compounded	10.150	%	01/02/2012	GSC		800		(51	)
Pay	BRL-CDI-Compounded	10.680	%	01/02/2012	BCLY		7,200		(423	)
								$	(1,648	)

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)		Expiration Date	Counterparty	# of Shares/ Units	Unrealized Appreciation/ (Depreciation)
Receive	Cleveland Cliffs, Inc.	2.657	%	07/23/2008	MLP	26,200	$	1,013
Receive	Pride International, Inc.	2.803	%	07/23/2008	MLP	50,000		165
Receive	Financial Select Sector SPDR Fund	3.157	%	07/23/2008	MLP	305,000		(1,584	)
Receive	Neveen Floating Rate Income Opportunity Fund	3.157	%	07/23/2008	MLP	22,800		(13	)
Receive	SandRidge Energy, Inc.	3.157	%	07/23/2008	MLP	45,600		861
Receive	Time Warner, Inc.	3.157	%	07/23/2008	MLP	51,000		6
Receive	Williams Cos., Inc.	3.157	%	07/23/2008	MLP	34,600		98
							$	546

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	116.000	08/22/2008	50	$	40	$	29
Call - CBOT U.S. Treasury 10-Year Note September Futures		117.000	08/22/2008	134		94		50
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	50		37		16
Put - CBOT U.S. Treasury 10-Year Note September Futures		113.000	08/22/2008	134		160		113
					$	331	$	208

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call - OTC 30-Year Interest Rate Swap

BCLY

3-Month USD-LIBOR

Receive

4.650

%

07/25/2008

$

26,400

$

280

$

74

(i) Restricted securities as of June 30, 2008:

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	07/10/2007 - 10/01/2007	$	1,481	$	1,490	0.34	%

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	1,709	07/2008	$	23	$	0		$	23
Sell		1,709	07/2008		0		(91	)		(91	)
Buy		5,926	12/2008		311		0			311
Sell		4,243	12/2008		0		(142	)		(142	)
Sell	GBP	1,969	08/2008		0		(22	)		(22	)
Buy	INR	70,760	11/2008		0		(138	)		(138	)
Sell		70,760	11/2008		34		0			34
Buy	KRW	504,749	08/2008		0		(74	)		(74	)
Sell		504,749	08/2008		2		0			2
Buy	MXN	7,560	07/2008		68		0			68
Sell		7,560	07/2008		0		(50	)		(50	)
Buy	MYR	2,804	08/2008		0		(4	)		(4	)
Buy		1,909	11/2008		0		(6	)		(6	)
Buy	PHP	49,735	08/2008		0		(90	)		(90	)
Buy	RUB	10,125	07/2008		30		0			30
Sell		10,125	07/2008		0		(6	)		(6	)
Buy		53,849	11/2008		101		0			101
Buy		26,511	05/2009		22		0			22
Buy	SGD	1,696	11/2008		3		(1	)		2
				$	594	$	(624	)	$	(30	)

(k) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	45,739		$	383,385		$	4,877		$	434,001
Other Financial Instruments++		(124	)		(1,291	)		(301	)		(1,716	)
Total	$	45,615		$	382,094		$	4,576		$	432,285

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/(Losses)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	3,092		$	1,696	$	0	$	89		$	0	$	4,877
Other Financial Instruments++		(251	)		0		0		(50	)		0		(301	)
Total	$	2,841		$	1,696	$	0	$	39		$	0	$	4,576

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

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

See Accompanying Notes

Schedule of Investments

Developing Local Markets Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.0%
OAO Rosneft Oil Co.
3.132% due 09/17/2009	$	2,581	$	2,529
Total Bank Loan Obligations (Cost $2,575)				2,529
CORPORATE BONDS & NOTES 46.4%
Banking & Finance 33.9%
Allstate Life Global Funding II
3.328% due 05/21/2010		15,000		14,912
American Express Bank FSB
2.495% due 06/12/2009		4,750		4,717
2.541% due 06/22/2009		2,900		2,879
American Express Centurion Bank
2.541% due 04/17/2009		10,000		9,944
2.642% due 12/17/2009		1,400		1,385
American Express Credit Corp.
2.542% due 05/19/2009		1,400		1,381
3.882% due 05/27/2010		19,800		19,649
American Honda Finance Corp.
2.737% due 03/09/2009		1,100		1,099
American International Group, Inc.
2.521% due 06/16/2009		6,100		5,990
2.844% due 10/18/2011		2,800		2,619
ANZ National International Ltd.
2.820% due 04/14/2010		7,700		7,641
Banco Nacional de Comercio Exterior SNC
3.875% due 01/21/2009		15,120		15,101
Banco Santander Chile
3.027% due 12/09/2009		17,500		17,162
Bank of America Corp.
2.904% due 11/06/2009		3,200		3,171
2.921% due 09/25/2009		27,800		27,675
8.000% due 12/29/2049		36,000		33,813
8.125% due 12/29/2049		23,000		21,770
Bank of America N.A.
2.638% due 02/27/2009		4,500		4,485
2.786% due 06/12/2009		6,000		5,987
2.812% due 12/18/2008		5,650		5,638
Bank of Ireland
2.819% due 12/19/2008		2,000		1,999
2.862% due 12/18/2009		43,450		43,017
Bank of Scotland PLC
2.482% due 07/17/2008		1,500		1,500
2.716% due 07/17/2008		1,350		1,350
2.737% due 12/08/2010		20,100		19,671
2.756% due 07/17/2009		16,700		16,695
Barclays Bank PLC
7.700% due 04/29/2049		19,050		19,478
Bear Stearns Cos., Inc.
2.768% due 08/21/2009		400		395
2.891% due 03/30/2009		10,750		10,658
2.947% due 09/09/2009		600		593
2.979% due 07/16/2009		3,190		3,153
3.129% due 01/31/2011		21,000		20,392
3.199% due 01/30/2009		9,900		9,865
3.218% due 07/19/2010		34,200		33,555
5.300% due 10/30/2015		800		751
5.500% due 08/15/2011		800		799
6.400% due 10/02/2017		300		297
6.950% due 08/10/2012		5,700		5,934
7.250% due 02/01/2018		1,200		1,256
Caterpillar Financial Services Corp.
2.760% due 10/09/2009		23,900		23,774
2.766% due 03/10/2009		7,100		7,086
2.766% due 08/11/2009		9,000		8,967
2.779% due 05/18/2009		13,200		13,163
2.785% due 08/20/2010		1,700		1,684
Charter One Bank N.A.
2.957% due 04/24/2009		9,000		8,976
CIT Group, Inc.
2.826% due 08/15/2008		1,400		1,399
2.839% due 08/17/2009		3,100		2,822
3.049% due 01/30/2009		44,600		43,158
Citigroup Funding, Inc.
2.862% due 03/02/2009		31,600		31,363
3.820% due 05/07/2010		56,000		55,591
Citigroup, Inc.
2.809% due 05/18/2011		8,900		8,567
2.817% due 06/09/2009		3,849		3,807
2.831% due 12/28/2009		19,000		18,540
2.848% due 12/26/2008		2,900		2,889
2.869% due 05/18/2010		12,800		12,569
5.500% due 04/11/2013		18,100		17,691
8.400% due 04/29/2049		23,600		22,464
Colvis Finance Ltd.
8.000% due 02/02/2009		10,710		10,772
Commonwealth Bank of Australia
2.488% due 06/08/2009		1,600		1,600
Countrywide Financial Corp.
2.868% due 01/05/2009		2,900		2,844
Countrywide Home Loans, Inc.
4.125% due 09/15/2009		1,800		1,720
5.625% due 07/15/2009		1,300		1,268
6.250% due 04/15/2009		3,700		3,645
Credit Agricole S.A.
2.646% due 05/28/2009		3,900		3,884
2.694% due 05/28/2010		32,900		32,572
Credit Suisse USA, Inc.
2.757% due 06/05/2009		2,875		2,867
2.775% due 11/20/2009		2,000		1,978
DnB NOR Bank ASA
2.780% due 10/13/2009		1,500		1,501
El Paso Performance-Linked Trust
7.750% due 07/15/2011		2,900		2,937
Export-Import Bank of Korea
4.250% due 11/06/2008		1,404		1,402
Ford Credit de Mexico S.A. de C.V.
4.502% due 03/20/2009		2,700		2,608
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		3,600		3,539
5.700% due 01/15/2010		26,050		22,236
7.375% due 10/28/2009		8,610		7,845
7.875% due 06/15/2010		7,100		6,132
8.625% due 11/01/2010		500		424
Fortis Bank NY
2.841% due 09/28/2009		16,400		16,261
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		7,600		7,673
General Electric Capital Corp.
2.746% due 08/15/2011		2,800		2,759
2.788% due 10/06/2010		6,100		6,057
2.816% due 03/12/2010		8,900		8,858
2.830% due 04/10/2012		24,000		23,402
2.876% due 06/15/2009		1,200		1,200
2.896% due 12/15/2009		13,400		13,359
2.937% due 10/26/2009		2,600		2,592
3.323% due 02/01/2011		15,500		15,497
Genworth Global Funding Trusts
2.903% due 04/15/2014		4,800		4,439
GMAC LLC
3.926% due 05/15/2009		11,680		10,985
3.951% due 09/23/2008		41,000		40,379
5.625% due 05/15/2009		7,030		6,510
Goldman Sachs Group, Inc.
2.551% due 11/16/2009		15,300		15,052
2.800% due 11/16/2009		6,300		6,213
2.806% due 11/10/2008		11,700		11,674
2.841% due 12/23/2008		3,000		2,990
2.882% due 03/02/2010		14,500		14,243
2.891% due 12/22/2008		21,600		21,090
2.891% due 06/23/2009		9,000		8,908
3.012% due 07/29/2008		18,900		18,894
3.250% due 07/23/2009		4,135		4,109
Hartford Life Global Funding Trusts
2.956% due 06/16/2014		4,800		4,444
HSBC Bank USA N.A.
2.906% due 12/14/2009		1,750		1,727
HSBC Finance Corp.
2.813% due 12/05/2008		1,500		1,494
2.866% due 03/12/2010		3,825		3,719
2.878% due 10/21/2009		8,800		8,596
2.906% due 09/15/2008		14,400		14,393
2.966% due 05/10/2010		4,414		4,326
3.000% due 11/16/2009		18,500		18,254
IBM International Group Capital LLC
2.735% due 02/13/2009		31,600		31,327
3.252% due 07/29/2009		5,400		5,420
ICICI Bank Ltd.
3.250% due 01/12/2010		14,800		14,355
IDBI Bank Ltd.
5.125% due 12/23/2009		5,700		5,518
Industry & Construction Bank St. Petersburg OJSC
6.875% due 07/29/2008		6,800		6,820
Intergas Finance BV
6.875% due 11/04/2011		1,800		1,780
International Lease Finance Corp.
2.858% due 05/24/2010		19,000		17,784
3.113% due 01/15/2010		5,000		4,703
3.121% due 07/11/2011		10,000		9,007
3.158% due 04/20/2009		3,900		3,857
John Deere Capital Corp.
2.763% due 07/15/2008		9,000		9,000
2.984% due 09/25/2008		20,600		20,601
2.999% due 10/16/2009		9,500		9,485
3.536% due 06/10/2011		17,400		17,395
JPMorgan Chase & Co.
2.498% due 05/07/2010		10,500		10,412
2.532% due 06/26/2009		1,500		1,496
2.884% due 06/25/2010		19,700		19,448
2.886% due 01/17/2011		7,000		6,887
2.929% due 06/25/2012		31,800		31,009
2.981% due 10/02/2009		14,055		14,042
KeyBank N.A.
4.682% due 06/02/2010		11,700		11,662
Lehman Brothers Holdings, Inc.
2.532% due 11/24/2008		1,700		1,691
2.774% due 04/03/2009		4,400		4,272
2.778% due 08/21/2009		22,000		21,586
2.778% due 05/25/2010		6,600		6,117
2.820% due 11/16/2009		6,300		6,006
2.851% due 12/23/2008		11,585		11,365
2.998% due 10/22/2008		7,900		7,871
3.010% due 01/23/2009		9,000		8,808
3.011% due 12/23/2010		5,900		5,531
Merrill Lynch & Co., Inc.
2.768% due 08/14/2009		11,700		11,332
2.831% due 12/22/2008		1,600		1,590
2.960% due 10/23/2008		3,500		3,480
2.989% due 01/30/2009		9,500		9,354
4.966% due 05/12/2010		27,400		26,980
Metropolitan Life Global Funding I
2.759% due 05/17/2010		5,250		5,180
3.026% due 03/15/2012		4,100		4,033
Morgan Stanley
2.521% due 11/21/2008		1,400		1,394
2.803% due 01/15/2010		8,800		8,514
2.820% due 05/07/2009		1,100		1,083
2.844% due 02/09/2009		10,400		10,305
3.148% due 01/22/2009		8,900		8,815
4.778% due 05/14/2010		53,300		53,122
National Australia Bank Ltd.
2.731% due 09/11/2009		23,400		23,387
2.791% due 10/01/2008		1,500		1,500
3.208% due 02/08/2010		18,800		18,805
Pemex Finance Ltd.
9.030% due 02/15/2011		6,490		6,812
9.690% due 08/15/2009		5,091		5,198
Petroleum Export Ltd.
4.623% due 06/15/2010		12,334		12,254
4.633% due 06/15/2010		1,858		1,846
5.265% due 06/15/2011		28,162		28,079
Petroleum Export Ltd. II
6.340% due 06/20/2011		8,913		8,950
Pricoa Global Funding I
2.957% due 07/27/2009		2,300		2,284
Rabobank Nederland NV
3.119% due 05/19/2010		22,660		22,633
Royal Bank of Scotland Group PLC
2.828% due 08/21/2009		9,100		9,060
2.868% due 07/21/2008		1,900		1,899
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.875% due 11/29/2010		12,600		12,775
Santander U.S. Debt S.A. Unipersonal
2.733% due 11/20/2009		9,000		8,915
2.844% due 02/06/2009		15,000		14,955
2.861% due 09/19/2008		1,800		1,798
SLM Corp.
2.976% due 03/15/2011		700		603
3.060% due 07/27/2009		32,400		30,384
3.080% due 07/26/2010		800		710
3.120% due 01/26/2009		4,300		4,234
3.150% due 10/25/2011		1,000		856
UBS AG
2.910% due 07/23/2009		20,850		20,613
3.704% due 05/05/2010		36,000		35,878
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		16,085		16,075
Universal City Florida Holding Co. I & II
7.623% due 05/01/2010		6,500		6,305
Ventas Realty LP
6.750% due 06/01/2010		1,000		1,000
8.750% due 05/01/2009		1,800		1,845
Vita Capital III Ltd.
3.891% due 01/01/2011		9,300		9,028
VTB Capital S.A.
3.384% due 08/01/2008		41,200		40,920
4.484% due 11/02/2009		66,700		65,950
Wachovia Bank N.A.
2.638% due 02/23/2009		4,250		4,234
2.698% due 05/25/2010		9,400		9,049
2.752% due 12/02/2010		9,000		8,560
Wachovia Corp.
2.732% due 12/01/2009		19,500		19,094
2.843% due 10/15/2011		22,800		21,675
2.896% due 03/15/2011		9,000		8,502
2.949% due 10/28/2008		6,000		5,877
Wachovia Mortgage FSB
2.798% due 05/08/2009		500		497
2.807% due 03/02/2009		5,650		5,648
Wells Fargo & Co.
2.481% due 03/22/2010		4,700		4,651
2.861% due 03/23/2010		26,400		26,187
2.876% due 09/15/2009		3,700		3,689
3.010% due 01/24/2012		3,700		3,606
3.342% due 01/29/2010		8,100		8,094
				2,130,108
Industrials 9.3%
Allied Waste North America, Inc.
6.500% due 11/15/2010		300		302
America Movil SAB de C.V.
4.125% due 03/01/2009		2,285		2,300
Amgen, Inc.
2.726% due 11/28/2008		9,500		9,472
Anadarko Petroleum Corp.
3.176% due 09/15/2009		22,900		22,644
AstraZeneca PLC
2.991% due 09/11/2009		1,820		1,822
Cablevision Systems Corp.
7.132% due 04/01/2009		11,600		11,658
Cia Siderurgica Paulista
8.250% due 01/30/2009		3,753		3,814
Cisco Systems, Inc.
2.738% due 02/20/2009		2,700		2,699
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		178,691		192,325
Comcast Corp.
3.010% due 07/14/2009		14,970		14,854
ConocoPhillips Australia Funding Co.
2.810% due 04/09/2009		1,368		1,369
CSC Holdings, Inc.
7.250% due 07/15/2008		500		501
CSN Islands VII Corp.
10.750% due 09/12/2008		25,660		25,929
CVS Caremark Corp.
2.982% due 06/01/2010		2,600		2,539
Daimler Finance North America LLC
3.138% due 03/13/2009		2,100		2,094
3.218% due 03/13/2009		8,500		8,487
3.234% due 08/03/2009		9,300		9,226
Dynegy Holdings, Inc.
6.875% due 04/01/2011		4,075		4,050
EchoStar DBS Corp.
5.750% due 10/01/2008		9,350		9,373
6.375% due 10/01/2011		2,600		2,516
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013		31,858		31,603
General Mills, Inc.
3.038% due 01/22/2010		3,700		3,654
General Motors Nova Scotia Finance Co.
6.850% due 10/15/2008		8,670		8,410
GlaxoSmithKline Capital, Inc.
3.310% due 05/13/2010		29,000		29,093
Hewlett-Packard Co.
3.081% due 09/03/2009		3,300		3,289
HJ Heinz Co.
6.428% due 12/01/2020		4,300		4,338
Home Depot, Inc.
2.901% due 12/16/2009		1,800		1,754
Kimberly-Clark Corp.
2.999% due 07/30/2010		12,400		12,354
Kraft Foods, Inc.
3.216% due 08/11/2010		3,100		3,044
Mandalay Resort Group
6.500% due 07/31/2009		3,450		3,424
9.500% due 08/01/2008		500		502
MGM Mirage
6.000% due 10/01/2009		100		99
MMK Finance S.A.
8.000% due 10/21/2008		4,992		5,042
New Albertson’s, Inc.
6.950% due 08/01/2009		500		506
Pemex Project Funding Master Trust
4.076% due 06/15/2010		21,219		21,283
4.513% due 10/15/2009		17,888		18,013
6.125% due 08/15/2008		241		243
9.375% due 12/02/2008		152		156
Qwest Communications International, Inc.
6.176% due 02/15/2009		1,966		1,966
Roseton
7.270% due 11/08/2010		1,136		1,148
Safeway, Inc.
3.158% due 03/27/2009		2,000		1,987
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		16,723		17,221
Siemens Financieringsmaatschappij NV
2.728% due 08/14/2009		5,600		5,602
Sino-Forest Corp.
9.125% due 08/17/2011		2,500		2,554
Time Warner, Inc.
2.915% due 11/13/2009		8,000		7,777
Transocean, Inc.
2.873% due 09/05/2008		10,800		10,786
United Technologies Corp.
2.752% due 06/01/2009		1,700		1,700
UnitedHealth Group, Inc.
4.070% due 02/07/2011		11,000		10,986
Verso Paper Holdings LLC
6.623% due 08/01/2014		6,000		5,550
Walt Disney Co.
2.779% due 07/16/2010		6,200		6,172
2.796% due 09/10/2009		25,450		25,436
Weyerhaeuser Co.
3.802% due 09/24/2009		9,500		9,393
Xerox Corp.
3.562% due 12/18/2009		3,600		3,579
				586,638
Utilities 3.2%
AT&T, Inc.
2.884% due 02/05/2010		8,500		8,465
2.888% due 11/14/2008		10,700		10,697
BellSouth Corp.
2.776% due 08/15/2008		15,300		15,291
Deutsche Telekom International Finance BV
2.981% due 03/23/2009		10,220		10,152
8.500% due 06/15/2010		500		529
Dominion Resources, Inc.
2.858% due 11/14/2008		1,600		1,578
3.864% due 06/17/2010		2,800		2,803
Empresa Brasileira de Telecomunicacoes S.A.
11.000% due 12/15/2008		9,898		10,269
Empresa Nacional de Electricidad S.A.
7.750% due 07/15/2008		4,560		4,554
8.500% due 04/01/2009		355		365
Entergy Gulf States, Inc.
3.427% due 12/08/2008		6,800		6,796
Florida Power Corp.
3.078% due 11/14/2008		22,700		22,640
Ohio Power Co.
2.908% due 04/05/2010		5,750		5,639
Public Service Electric & Gas Co.
3.661% due 03/12/2010		6,500		6,438
Qatar Petroleum
5.579% due 05/30/2011		11,324		11,564
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		500		500
Qwest Corp.
5.625% due 11/15/2008		2,900		2,907
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		7,097		7,111
Sprint Nextel Corp.
3.201% due 06/28/2010		3,400		3,155
Telefonica Emisones SAU
3.102% due 06/19/2009		17,000		16,909
Telefonos de Mexico SAB de C.V.
4.500% due 11/19/2008		31,151		31,384
4.750% due 01/27/2010		19,575		19,712
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		700		687
10.000% due 06/16/2009		2,200		2,294
				202,439
Total Corporate Bonds & Notes (Cost $2,947,596)				2,919,185
U.S. GOVERNMENT AGENCIES 3.2%
Fannie Mae
2.542% due 12/25/2036 - 07/25/2037		6,188		6,087
2.682% due 10/27/2037		15,900		15,211
4.721% due 11/01/2035		619		623
4.994% due 06/01/2043 - 09/01/2044		3,410		3,412
5.000% due 02/25/2017		259		263
5.181% due 09/01/2035		717		714
5.194% due 10/01/2035		487		485
5.214% due 08/01/2035		526		524
5.227% due 09/01/2035		479		483
5.228% due 11/01/2035		592		590
Freddie Mac
2.701% due 02/15/2019		66,555		65,251
2.742% due 08/25/2031		436		424
2.762% due 09/25/2031		413		408
2.821% due 12/15/2030		995		983
4.452% due 08/01/2035		97		97
4.994% due 02/25/2045		2,884		2,682
5.000% due 08/15/2016 - 11/15/2029		30,674		30,416
5.500% due 04/01/2038		70,594		69,624
Total U.S. Government Agencies (Cost $201,485)				198,277
MORTGAGE-BACKED SECURITIES 5.0%
Adjustable Rate Mortgage Trust
5.141% due 09/25/2035		1,628		1,556
American Home Mortgage Investment Trust
2.632% due 09/25/2035		75		75
2.722% due 05/25/2047		548		314
Banc of America Funding Corp.
6.141% due 01/20/2047		2,352		1,913
Banc of America Mortgage Securities, Inc.
4.719% due 07/25/2034		1,060		1,029
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		37,298		35,672
4.476% due 02/25/2034		2,017		1,954
4.550% due 08/25/2035		19,357		18,555
4.612% due 07/25/2033		25,890		24,840
4.844% due 04/25/2034		1,563		1,496
Bear Stearns Alt-A Trust
2.642% due 02/25/2034		852		614
5.500% due 08/25/2036		600		339
5.701% due 09/25/2035		10,202		8,421
5.869% due 01/25/2036		3,625		2,963
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		94		94
Bear Stearns Mortgage Funding Trust
2.552% due 02/25/2037		1,433		1,271
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		10,278		10,188
5.674% due 01/26/2036		8,693		7,235
5.777% due 12/26/2046		4,789		3,942
CC Mortgage Funding Corp.
2.612% due 05/25/2048		1,696		1,191
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		56		53
Citigroup Mortgage Loan Trust, Inc.
2.552% due 01/25/2037		805		723
4.098% due 08/25/2035		1,501		1,421
4.248% due 08/25/2035		8,871		8,384
4.679% due 08/25/2035		1,607		1,433
4.748% due 08/25/2035		9,059		8,637
Commercial Mortgage Pass-Through Certificates
2.571% due 04/15/2017		366		357
6.455% due 05/15/2032		289		289
Countrywide Alternative Loan Trust
2.662% due 02/20/2047		2,340		1,647
2.662% due 05/25/2047		1,974		1,384
2.712% due 08/25/2046		656		368
2.752% due 05/25/2036		501		281
2.832% due 06/25/2037		690		419
3.252% due 11/25/2035		631		483
4.528% due 02/25/2036		650		496
5.414% due 10/25/2035		501		471
6.000% due 02/25/2037		549		475
Countrywide Home Loan Mortgage Pass-Through Trust
2.822% due 03/25/2036		922		559
4.842% due 04/20/2035		6,077		5,890
5.615% due 02/20/2036		641		628
CS First Boston Mortgage Securities Corp.
5.050% due 06/25/2033		2,715		2,635
CW Capital Cobalt Ltd.
5.484% due 04/15/2047		600		559
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 01/25/2047		806		752
2.562% due 02/25/2037		770		725
2.562% due 03/25/2037		731		700
2.572% due 08/25/2037		1,910		1,869
Downey Savings & Loan Association Mortgage Loan Trust
2.792% due 11/19/2037		800		267
First Horizon Alternative Mortgage Securities
6.250% due 08/25/2037		511		490
First Horizon Asset Securities, Inc.
4.464% due 07/25/2033		941		924
5.368% due 08/25/2035		1,769		1,692
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		1,852		1,629
2.562% due 01/25/2047		1,229		1,166
2.692% due 10/25/2046		600		229
2.752% due 04/25/2036		756		431
2.752% due 11/25/2045		350		280
Greenpoint Mortgage Pass-Through Certificates
4.392% due 10/25/2033		2,586		2,463
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		1,587		1,486
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		722		657
2.628% due 04/19/2038		1,084		759
2.672% due 01/19/2038		3,662		2,623
2.682% due 09/19/2046		1,273		882
2.722% due 03/19/2037		3,559		2,511
5.219% due 07/19/2035		4,739		4,673
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		779		728
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		970		904
5.044% due 12/25/2034		1,016		884
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		600		564
JPMorgan Mortgage Trust
5.020% due 02/25/2035		6,397		6,042
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		1,063		1,012
MASTR Adjustable Rate Mortgages Trust
2.592% due 05/25/2047		244		239
3.788% due 11/21/2034		2,840		2,806
MASTR Alternative Loans Trust
2.882% due 03/25/2036		616		438
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		600		557
Merrill Lynch Floating Trust
2.541% due 06/15/2022		1,514		1,425
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		7,031		5,656
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		3,090		2,731
3.482% due 10/25/2035		1,777		1,650
4.430% due 10/25/2035		11,993		11,366
Morgan Stanley Capital I
2.542% due 10/15/2020		1,186		1,108
5.544% due 11/12/2049		600		540
Provident Funding Mortgage Loan Trust
4.612% due 08/25/2033		1,780		1,727
Residential Accredit Loans, Inc.
2.582% due 09/25/2046		902		616
2.782% due 08/25/2035		1,035		803
2.882% due 10/25/2045		509		396
Residential Asset Securitization Trust
2.882% due 01/25/2046		1,267		896
Residential Funding Mortgage Securities I
5.209% due 09/25/2035		1,463		1,283
Sequoia Mortgage Trust
4.080% due 04/20/2035		797		731
Sovereign Commercial Mortgage Securities Trust
5.833% due 07/22/2030		600		590
Structured Adjustable Rate Mortgage Loan Trust
4.880% due 07/25/2034		4,445		4,314
5.349% due 01/25/2035		1,681		1,642
5.537% due 08/25/2035		1,184		1,059
Structured Asset Mortgage Investments, Inc.
2.552% due 08/25/2036		2,066		2,017
2.582% due 09/25/2047		2,914		2,780
2.612% due 03/25/2037		454		349
2.672% due 06/25/2036		812		575
2.702% due 05/25/2036		3,529		2,476
2.732% due 07/19/2035		8,189		6,896
Structured Asset Securities Corp.
4.773% due 06/25/2033		3,467		3,024
5.432% due 10/25/2035		885		807
TBW Mortgage-Backed Pass-Through Certificates
2.582% due 09/25/2036		318		302
2.592% due 01/25/2037		698		670
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		1,995		1,910
2.602% due 03/25/2046		1,500		1,487
2.602% due 09/25/2046		10,671		10,294
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		22,643		21,368
WaMu Mortgage Pass-Through Certificates
2.772% due 08/25/2045		38		37
2.892% due 11/25/2045		600		382
2.892% due 12/25/2045		600		326
4.229% due 03/25/2034		1,766		1,729
4.258% due 01/25/2047		1,215		917
4.338% due 12/25/2046		1,310		1,100
4.338% due 07/25/2047		1,481		1,067
4.528% due 02/25/2046		1,318		971
4.561% due 06/25/2033		1,064		1,037
4.728% due 11/25/2042		536		495
4.780% due 10/25/2046		1,862		1,454
5.028% due 09/25/2046		3,528		2,754
Washington Mutual Alternative Mortgage Pass-Through Certificates
4.288% due 04/25/2047		849		482
Wells Fargo Mortgage-Backed Securities Trust
4.018% due 12/25/2034		1,696		1,674
4.993% due 12/25/2034		1,637		1,593
Total Mortgage-Backed Securities (Cost $335,851)				312,142
ASSET-BACKED SECURITIES 5.7%
Accredited Mortgage Loan Trust
2.532% due 02/25/2037		818		801
ACE Securities Corp.
2.532% due 08/25/2036		1,828		1,745
2.532% due 12/25/2036		895		859
2.562% due 10/25/2036		1,505		1,488
2.572% due 06/25/2037		883		823
American Express Credit Account Master Trust
2.971% due 02/15/2012		414		405
Argent Securities, Inc.
2.532% due 09/25/2036		1,363		1,351
2.532% due 10/25/2036		3,073		2,987
Asset-Backed Funding Certificates
2.522% due 09/25/2036		1,105		1,097
2.542% due 10/25/2036		1,248		1,237
2.542% due 11/25/2036		763		747
2.542% due 01/25/2037		2,171		2,106
2.832% due 06/25/2034		4,859		4,326
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		452		448
2.532% due 12/25/2036		718		694
2.562% due 05/25/2037		794		782
Atrium CDO Corp.
3.337% due 06/27/2015		1,154		1,119
Aurum CLO 2002-1 Ltd.
3.143% due 04/15/2014		3,393		3,264
Bear Stearns Asset-Backed Securities Trust
2.532% due 11/25/2036		760		724
2.562% due 10/25/2036		916		882
2.572% due 04/25/2036		14		14
3.482% due 10/25/2037		5,082		4,201
Capital Auto Receivables Asset Trust
3.391% due 03/15/2011		3,200		3,212
3.921% due 10/15/2012		3,100		3,130
Carrington Mortgage Loan Trust
2.532% due 01/25/2037		674		652
2.582% due 06/25/2037		3,384		3,256
2.802% due 10/25/2035		580		539
Chase Credit Card Master Trust
2.581% due 02/15/2011		1,500		1,499
Chase Issuance Trust
2.491% due 02/15/2012		1,155		1,151
2.511% due 10/15/2012		2,200		2,175
2.721% due 09/15/2011		5,100		5,090
3.121% due 11/15/2011		14,500		14,538
3.227% due 08/17/2015		5,600		5,544
Citibank Omni Master Trust
3.581% due 12/23/2013		30,500		30,774
Citigroup Mortgage Loan Trust, Inc.
2.522% due 08/25/2036		335		333
2.522% due 12/25/2036		995		944
2.532% due 11/25/2036		309		305
2.542% due 05/25/2037		877		832
2.542% due 07/25/2045		858		797
Countrywide Asset-Backed Certificates
2.512% due 01/25/2046		2,332		2,314
2.532% due 01/25/2037		525		523
2.532% due 03/25/2037		1,962		1,916
2.532% due 05/25/2037		6,798		6,582
2.532% due 07/25/2037		1,017		982
2.532% due 08/25/2037		1,632		1,603
2.532% due 12/25/2046		1,264		1,246
2.532% due 03/25/2047		1,793		1,769
2.532% due 05/25/2047		864		843
2.542% due 03/25/2037		1,773		1,740
2.542% due 09/25/2046		313		311
2.552% due 06/25/2037		795		782
2.562% due 06/25/2037		896		881
2.562% due 10/25/2037		721		678
2.582% due 09/25/2047		939		917
2.592% due 10/25/2046		3,241		3,181
2.642% due 02/25/2036		601		563
2.662% due 09/25/2036		829		793
Credit-Based Asset Servicing & Securitization LLC
2.542% due 11/25/2036		807		785
2.572% due 12/25/2037		629		605
2.602% due 07/25/2037		355		329
Daimler Chrysler Auto Trust
3.298% due 10/08/2010		2,900		2,905
3.378% due 07/08/2011		1,500		1,507
3.928% due 09/10/2012		2,300		2,324
First Franklin Mortgage Loan Asset-Backed Certificates
2.512% due 07/25/2036		211		210
2.522% due 09/25/2036		480		462
2.522% due 01/25/2038		873		843
2.532% due 11/25/2036		11,515		11,066
2.532% due 12/25/2036		507		494
2.552% due 12/25/2037		789		778
First NLC Trust
2.552% due 08/25/2037		2,413		2,264
First USA Credit Card Master Trust
2.641% due 04/18/2011		1,100		1,100
Ford Credit Auto Owner Trust
3.071% due 07/15/2010		6,000		6,007
3.671% due 12/15/2010		8,400		8,439
3.891% due 06/15/2012		34,000		34,352
Fremont Home Loan Trust
2.532% due 10/25/2036		713		696
2.542% due 01/25/2037		980		927
2.552% due 02/25/2037		2,507		2,455
2.652% due 01/25/2036		74		74
GE-WMC Mortgage Securities LLC
2.522% due 08/25/2036		1,162		1,130
GSAA Trust
2.782% due 05/25/2047		700		362
GSAMP Trust
2.552% due 09/25/2036		1,697		1,669
2.552% due 10/25/2036		220		182
2.552% due 12/25/2036		957		927
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		433		426
3.279% due 11/20/2036		1,885		1,884
Home Equity Asset Trust
2.542% due 05/25/2037		980		931
HSBC Asset Loan Obligation
2.542% due 12/25/2036		957		918
HSI Asset Securitization Corp. Trust
2.532% due 10/25/2036		975		943
2.532% due 12/25/2036		5,390		5,155
2.542% due 05/25/2037		1,438		1,315
Indymac Residential Asset-Backed Trust
2.522% due 08/25/2036		141		141
2.532% due 11/25/2036		782		767
2.542% due 04/25/2037		607		600
2.562% due 07/25/2037		743		731
2.612% due 04/25/2047		625		617
JPMorgan Mortgage Acquisition Corp.
2.532% due 07/25/2036		624		607
2.532% due 08/25/2036		2,645		2,604
2.532% due 10/25/2036		973		952
2.542% due 04/01/2037		721		682
2.552% due 11/25/2036		721		698
2.562% due 08/25/2036		1,477		1,417
2.562% due 03/25/2037		708		674
2.592% due 08/25/2036		5,200		4,338
Lehman ABS Mortgage Loan Trust
2.572% due 06/25/2037		863		807
Lehman XS Trust
2.552% due 05/25/2046		293		281
2.562% due 04/25/2046		711		704
2.562% due 08/25/2046		1,605		1,575
2.562% due 11/25/2046		3,501		3,328
2.572% due 05/25/2046		1,590		1,553
2.602% due 11/25/2036		1,811		1,759
2.652% due 04/25/2046		700		653
2.722% due 09/25/2046		904		456
Long Beach Mortgage Loan Trust
2.522% due 07/25/2036		523		520
2.522% due 11/25/2036		646		628
2.542% due 10/25/2036		1,223		1,194
2.762% due 10/25/2034		835		694
MASTR Asset-Backed Securities Trust
2.522% due 08/25/2036		474		467
2.532% due 03/25/2036		94		94
2.532% due 01/25/2037		611		551
2.542% due 10/25/2036		101		101
2.542% due 11/25/2036		787		769
2.562% due 01/25/2036		95		95
2.562% due 05/25/2037		681		657
MBNA Credit Card Master Note Trust
2.511% due 11/15/2012		1,400		1,385
2.651% due 10/17/2011		16,400		16,375
MBNA Master Credit Card Trust
2.631% due 08/15/2014		3,000		2,943
Merrill Lynch First Franklin Mortgage Loan Trust
2.542% due 07/25/2037		1,155		1,118
Merrill Lynch Mortgage Investors, Inc.
2.512% due 06/25/2037		274		272
2.532% due 05/25/2037		1,909		1,891
2.552% due 08/25/2036		4,593		4,445
2.552% due 02/25/2037		54		54
2.552% due 07/25/2037		2,149		2,089
2.562% due 09/25/2037		3,209		3,131
Morgan Stanley ABS Capital I
2.522% due 10/25/2036		845		832
2.522% due 01/25/2037		956		925
2.532% due 09/25/2036		1,569		1,550
2.532% due 10/25/2036		689		666
2.532% due 11/25/2036		1,527		1,468
2.542% due 05/25/2037		1,641		1,601
2.602% due 02/25/2036		799		790
Morgan Stanley IXIS Real Estate Capital Trust
2.532% due 11/25/2036		708		698
Morgan Stanley Mortgage Loan Trust
2.712% due 02/25/2037		700		340
5.750% due 04/25/2037		590		515
Nationstar Home Equity Loan Trust
2.542% due 03/25/2037		777		752
2.542% due 06/25/2037		799		757
New Century Home Equity Loan Trust
2.552% due 08/25/2036		879		873
2.662% due 05/25/2036		1,298		1,179
Option One Mortgage Loan Trust
2.532% due 07/25/2036		101		101
2.532% due 01/25/2037		719		701
Popular ABS Mortgage Pass-Through Trust
2.572% due 06/25/2047		896		858
Residential Asset Mortgage Products, Inc.
2.552% due 11/25/2036		465		458
2.552% due 02/25/2037		736		712
2.562% due 10/25/2036		2,131		2,001
2.582% due 08/25/2046		610		589
Residential Asset Securities Corp.
2.522% due 06/25/2036		205		205
2.522% due 08/25/2036		616		613
2.542% due 01/25/2037		874		855
2.552% due 07/25/2036		122		122
2.552% due 11/25/2036		1,989		1,961
2.562% due 10/25/2036		1,564		1,535
2.592% due 04/25/2037		849		810
2.602% due 04/25/2036		1,644		1,626
Saxon Asset Securities Trust
2.542% due 10/25/2046		2,667		2,609
Securitized Asset-Backed Receivables LLC Trust
2.522% due 01/25/2037		979		949
2.532% due 09/25/2036		703		689
2.542% due 03/25/2036		169		168
2.542% due 12/25/2036		1,217		1,141
2.562% due 11/25/2036		876		854
SLC Student Loan Trust
2.674% due 02/15/2015		3,052		3,043
SLM Student Loan Trust
2.900% due 04/25/2014		967		965
2.910% due 10/27/2014		533		531
2.910% due 10/25/2016		369		368
2.910% due 07/25/2017		520		518
2.910% due 10/25/2018		673		668
2.960% due 10/25/2016		5,000		4,967
3.070% due 01/25/2017		517		515
3.800% due 12/15/2038		750		744
Soundview Home Equity Loan Trust
2.532% due 10/25/2036		1,680		1,656
2.542% due 11/25/2036		1,744		1,704
2.542% due 12/25/2036		284		280
2.562% due 01/25/2037		546		534
2.562% due 06/25/2037		795		767
2.582% due 10/25/2036		305		302
3.282% due 10/25/2037		2,987		2,892
South Carolina Student Loan Corp.
3.207% due 09/02/2014		1,200		1,200
3.257% due 03/01/2018		1,800		1,800
Specialty Underwriting & Residential Finance
2.512% due 06/25/2037		325		322
2.528% due 11/25/2037		714		689
Structured Asset Investment Loan Trust
2.532% due 07/25/2036		515		500
Structured Asset Securities Corp.
2.532% due 10/25/2036		3,122		3,049
2.562% due 01/25/2037		785		747
4.900% due 04/25/2035		592		456
Washington Mutual Asset-Backed Certificates
2.532% due 01/25/2037		907		855
2.542% due 10/25/2036		1,023		971
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		561		548
2.582% due 03/25/2037		708		699
Total Asset-Backed Securities (Cost $366,849)				359,169
SOVEREIGN ISSUES 7.4%
Export-Import Bank of Korea
2.772% due 06/01/2009		27,800		27,557
2.960% due 11/16/2010		7,500		7,365
4.125% due 02/10/2009		2,900		2,884
4.500% due 08/12/2009		15,300		15,261
Korea Development Bank
2.931% due 04/03/2010		38,100		38,019
2.938% due 11/22/2012		7,500		7,144
3.019% due 10/31/2008		28,500		28,467
3.218% due 10/20/2009		51,631		51,696
3.875% due 03/02/2009		14,970		14,948
4.750% due 07/20/2009		29,860		29,984
Mexico Government International Bond
3.410% due 01/13/2009		59,795		59,929
Panama Government International Bond
9.375% due 04/01/2029		17,757		23,306
Philippine Government International Bond
8.375% due 03/12/2009		1,600		1,652
Russia Government International Bond
8.250% due 03/31/2010		47,228		49,319
Ukraine Government International Bond
6.391% due 08/05/2009		106,410		108,006
Total Sovereign Issues (Cost $465,983)				465,537
FOREIGN CURRENCY-DENOMINATED ISSUES 16.2%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	42,900		3,409
Bear Stearns Cos., Inc.
5.208% due 09/26/2013	EUR	2,400		3,541
Brazil Notas do Tesouro Nacional Series B
9.892% due 05/15/2045	BRL	11,250		11,098
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012		703,722		382,208
10.000% due 01/01/2017		292,876		143,010
Brazilian Government International CPI Linked Bond
9.892% due 05/15/2017		3,000		2,963
Colombia Government International Bond
9.850% due 06/28/2027	COP	78,362,000		32,164
12.000% due 10/22/2015		28,500,000		14,371
Countrywide Financial Corp.
5.258% due 11/23/2010	EUR	500		724
Countrywide Home Loans, Inc.
5.305% due 11/24/2008		1,250		1,929
Mexican Bonos
8.000% due 12/24/2008	MXN	1,570,000		152,112
Peru Government International Bond
12.250% due 08/10/2011	PEN	10,920		4,377
Poland Government International Bond
0.000% due 12/12/2008	PLN	50,000		22,791
5.750% due 03/24/2010		452,449		208,301
SLM Corp.
5.158% due 12/15/2010	EUR	600		814
South Africa Government International Bond
7.500% due 01/15/2014	ZAR	13,905		1,534
Telefonos de Mexico SAB de C.V.
8.750% due 01/31/2016	MXN	224,500		20,565
Uruguay Government International Bond
3.700% due 06/26/2037 (b)	UYU	259,905		12,251
Total Foreign Currency-Denominated Issues (Cost $994,705)				1,018,162
	Shares
COMMON STOCKS 0.0%
Mexico Government International Bond Warrants
0.000% due 10/09/2008		16,700		50
Total Common Stocks (Cost $384)				50
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 10.3%
Certificates of Deposit 1.1%
Abbey National Treasury Services PLC
2.653% due 07/02/2008	$	2,600		2,600
Barclays Bank PLC
5.470% due 08/10/2009		15,800		15,721
Calyon Financial, Inc.
2.689% due 01/16/2009		7,500		7,479
Dexia Credit Local S.A.
2.654% due 09/29/2008		4,100		4,101
Fortis Bank NY
2.646% due 09/30/2008		4,100		4,094
HSBC Bank USA N.A.
2.957% due 07/28/2008		1,400		1,400
Nordea Bank Finland PLC
2.436% due 04/09/2009		8,300		8,297
Skandinaviska Enskilda Banken AB
2.658% due 08/21/2008		1,500		1,500
2.675% due 02/13/2009		4,600		4,597
Unicredito Italiano NY
3.071% due 05/15/2009		18,700		18,135
Wachovia Bank N.A.
2.654% due 10/03/2008		2,300		2,295
				70,219
COMMERCIAL PAPER 8.0%
Federal Home Loan Bank
2.000% due 07/01/2008		21,300		21,300
Intesa Funding LLC
2.790% due 09/24/2008		36,000		35,757
Nordea N.A., Inc.
2.770% due 09/29/2008		25,800		25,614
Rabobank USA Financial Corp.
2.240% due 07/01/2008		29,500		29,500
Societe General N.A.
2.860% due 08/06/2008		59,200		59,031
UBS Finance Delaware LLC
2.650% due 09/10/2008		112,700		112,080
Westpac Banking Corp.
2.600% due 09/09/2008		221,600		220,401
				503,683
REPURCHASE AGREEMENTS 0.7%
Deutsche Bank AG
1.500% due 07/01/2008		15,000		15,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $15,282. Repurchase proceeds are $15,001.)
Fixed Income Clearing Corp.
1.650% due 07/01/2008		30,230		30,230
(Dated 06/30/2008. Collateralized by Fannie Mae 0.000% due 09/24/2008 valued at $30,836. Repurchase proceeds are $30,231.)
				45,230
U.S. TREASURY BILLS 0.5%
1.842% due 08/28/2008 - 09/25/2008 (a)(c)		27,500		27,348
Total Short-Term Instruments (Cost $647,329)				646,480
Total Investments 94.2% (Cost $5,962,757)			$	5,921,531
Written Options (f) (0.0%) (Premiums $2,738)				(1,499	)
Other Assets and Liabilities (Net) 5.8%				367,733
Net Assets 100.0%			$	6,287,765

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

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

(a) Coupon represents a weighted average rate.

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

(c) Securities with an aggregate market value of $21,877 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized (Depreciation)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	5.000	%	06/20/2009	CITI	$	1,300	$	(2)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009	HSBC		7,500		(55)
								$	(57)

⁽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 reference entity. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Receive	3-Month HKD-LIBOR	3.270	%	04/22/2013	CITI	HKD	178,310	$	816
Receive	3-Month HKD-LIBOR	3.305	%	04/24/2013	CITI		416,190		1,837
Receive	3-Month HKD-LIBOR	3.470	%	05/06/2013	CITI		372,000		1,296
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY	$	22,100		119
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		48,900		(1,596)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		13,100		(160)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	LEH		52,500		(1,521)
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.990	%	11/09/2010	CITI	ZAR	46,850		(322)
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.990	%	11/09/2010	HSBC		46,850		(322)
Pay	6-Month CZK-LIBOR	3.340	%	01/10/2012	CITI	CZK	47,690		(136)
Receive	6-Month Hungarian Forint Bank Bill	7.900	%	03/12/2018	BCLY	HUF	3,980,000		475
Receive	6-Month Hungarian Forint Bank Bill	7.900	%	03/12/2018	CITI		17,185,395		2,743
Receive	6-Month Hungarian Forint Bank Bill	7.900	%	03/18/2018	BCLY		6,132,000		(118)
Receive	6-Month Hungarian Forint Bank Bill	7.900	%	03/18/2018	MSC		5,226,395		566
Receive	6-Month PLN-LIBOR	6.840	%	12/16/2010	JPM	PLN	314,500		9
Receive	6-Month PLN-LIBOR	6.860	%	12/16/2010	BCLY		304,400		(41)
Receive	6-Month SGD-LIBOR	2.590	%	04/24/2013	CITI	SGD	30,550		1,118
Receive	6-Month SGD-LIBOR	2.630	%	04/29/2013	CITI		60,950		2,192
Receive	6-Month SGD-LIBOR	2.695	%	05/06/2013	JPM		31,000		1,046
Receive	6-Month SGD-LIBOR	2.915	%	05/16/2013	HSBC		94,900		2,576
Pay	28-Day Mexico Interbank TIIE Banxico	9.920	%	08/12/2015	MSC	MXN	7,000		8
Pay	28-Day Mexico Interbank TIIE Banxico	8.780	%	08/03/2016	BCLY		17,100		(89)
Pay	BRL-CDI-Compounded	12.000	%	01/02/2009	MSC	BRL	546,000		(1,502)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC		70,200		(1,507)
Pay	BRL-CDI-Compounded	14.120	%	01/04/2010	BCLY		17,000		154
Pay	BRL-CDI-Compounded	14.190	%	01/04/2010	BCLY		34,000		324
Pay	BRL-CDI-Compounded	14.225	%	01/04/2010	MSC		284,100		(847)
Pay	BRL-CDI-Compounded	10.150	%	01/02/2012	GSC		238,500		(12,555)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		56,300		(2,840)
Pay	BRL-CDI-Compounded	10.680	%	01/02/2012	BCLY		127,700		(7,378)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MSC		65,000		(1,469)
								$	(17,124)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	2,164	$	1,211	$	807
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	2,164		1,527		692
					$	2,738	$	1,499

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Freddie Mac	5.000	%	07/01/2023	$	27,000	$	26,603	$	26,667
Freddie Mac	5.500	%	07/01/2038		73,000		72,102		71,916
Freddie Mac	6.000	%	07/01/2038		2,400		2,419		2,424
U.S. Treasury Notes	2.500	%	03/31/2013		16,850		16,232		16,393
						$	117,356	$	117,400

⁽²⁾ Market value includes $121 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	AED	47,368	04/2009	$	0	$	(120)	$	(120)
Sell	ARS	153,573	08/2008		113		(234)		(121)
Buy	BRL	866,028	07/2008		21,896		0		21,896
Sell		866,028	07/2008		0		(45,473)		(45,473)
Buy		74,087	12/2008		3,197		0		3,197
Sell		733,483	12/2008		0		(9,419)		(9,419)
Buy	CLP	52,800,994	07/2008		0		(5,970)		(5,970)
Sell		52,800,994	07/2008		12,108		0		12,108
Buy		105,519,671	12/2008		81		(19,224)		(19,143)
Buy	CNY	191,497	07/2008		1,309		0		1,309
Sell		191,497	07/2008		0		(816)		(816)
Buy		448,402	10/2008		1,107		0		1,107
Sell		29,420	10/2008		0		0		0
Buy		425,933	03/2009		3,626		(427)		3,199
Sell		141,897	03/2009		0		(498)		(498)
Buy		508,727	05/2009		892		0		892
Buy	COP	165,673,546	12/2008		2,837		(1,370)		1,467
Sell		49,536,629	12/2008		833		0		833
Buy	CZK	5,330,482	07/2008		76,806		0		76,806
Sell		5,330,482	07/2008		0		(45,345)		(45,345)
Buy		8,758,071	12/2008		53,201		0		53,201
Sell		2,255,247	12/2008		68		(7,602)		(7,534)
Buy		27,855	05/2009		97		0		97
Sell	EUR	4,784	07/2008		0		(77)		(77)
Sell	GBP	7,597	08/2008		0		(83)		(83)
Buy	HKD	4,645,515	07/2008		1		(1,336)		(1,335)
Buy	HUF	41,209,977	07/2008		40,839		0		40,839
Sell		41,209,977	07/2008		0		(25,014)		(25,014)
Buy		8,146,855	11/2008		2,252		0		2,252
Sell		10,768,364	11/2008		0		(987)		(987)
Buy		9,756,385	12/2008		2,603		0		2,603
Sell		776,704	12/2008		0		(335)		(335)
Sell		683,953	05/2009		0		(352)		(352)
Buy	IDR	1,092,731,210	10/2008		1,008		0		1,008
Buy	ILS	144,213	07/2008		2,403		0		2,403
Sell		144,213	07/2008		1,424		0		1,424
Buy		633,004	11/2008		17,410		(1,528)		15,882
Sell		153,474	11/2008		0		(1,066)		(1,066)
Buy	INR	2,808,382	08/2008		0		(5,880)		(5,880)
Sell		478,560	08/2008		965		0		965
Buy		2,099,594	11/2008		0		(3,337)		(3,337)
Sell	JPY	28,788	07/2008		0		(4)		(4)
Buy	KRW	11,970,177	08/2008		0		(1,529)		(1,529)
Sell		11,970,177	08/2008		1,458		0		1,458
Buy	KWD	3,711	04/2009		0		(146)		(146)
Buy	MXN	6,228,377	07/2008		40,523		0		40,523
Sell		6,236,716	07/2008		0		(6,889)		(6,889)
Buy		8,339	10/2008		0		(1)		(1)
Buy		4,780,181	11/2008		2,197		(142)		2,055
Sell		16,744	11/2008		0		0		0
Buy		126,001	05/2009		67		0		67
Buy	MYR	337,535	08/2008		2,066		(701)		1,365
Buy		242,663	11/2008		0		(3,434)		(3,434)
Buy	PEN	108,038	07/2008		0		(1,066)		(1,066)
Sell		108,038	07/2008		1,034		0		1,034
Buy		268,103	01/2009		0		(2,716)		(2,716)
Buy	PHP	12,839,496	08/2008		168		(15,374)		(15,206)
Sell		4,574,516	08/2008		3,911		0		3,911
Buy	PLN	1,645,034	07/2008		149,007		0		149,007
Sell		1,645,034	07/2008		0		(32,483)		(32,483)
Buy		770,344	11/2008		9,027		0		9,027
Sell		134,117	11/2008		68		0		68
Buy		377,495	05/2009		3,515		0		3,515
Buy	RON	230,873	11/2008		7,919		0		7,919
Sell		244,846	11/2008		0		(7,801)		(7,801)
Buy		20,733	01/2009		0		(201)		(201)
Sell		44,796	01/2009		9		(140)		(131)
Buy	RUB	4,906,339	07/2008		14,331		0		14,331
Sell		4,906,339	07/2008		0		(5,036)		(5,036)
Buy		4,428,003	11/2008		6,824		0		6,824
Sell		131,942	11/2008		0		(107)		(107)
Buy		3,320,285	05/2009		2,306		0		2,306
Buy	SAR	48,427	04/2009		0		(132)		(132)
Buy	SGD	441,174	08/2008		12,647		0		12,647
Sell		2,918	08/2008		0		(18)		(18)
Buy		649,902	11/2008		7,710		(8)		7,702
Sell		1,363	11/2008		0		(4)		(4)
Buy		569	07/2009		2		0		2
Sell		569	07/2009		0		(1)		(1)
Buy	SKK	399,341	07/2008		2,228		0		2,228
Sell		399,341	07/2008		0		(646)		(646)
Buy		3,594,678	10/2008		28,967		0		28,967
Sell		298,915	10/2008		17		0		17
Buy		286,345	01/2009		253		0		253
Buy	THB	317,885	10/2008		47		0		47
Buy	TRY	606,416	12/2008		6,482		(4,064)		2,418
Buy	TWD	5,442,316	09/2008		264		(2,133)		(1,869)
Buy	UAH	208,464	10/2008		2,426		0		2,426
Sell		208,464	10/2008		0		(2,724)		(2,724)
Buy	ZAR	2,026,614	07/2008		1,806		(9,415)		(7,609)
Sell		2,026,614	07/2008		1,822		(8,866)		(7,044)
Buy		3,008,653	12/2008		9,220		(312)		8,908
				$	565,397	$	(282,586)	$	282,811

(h) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	5,908,543	$	12,988	$	5,921,531
Other Financial Instruments++		0		146,852		0		146,852
Total	$	0	$	6,055,395	$	12,988	$	6,068,383

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	25,720	$	9,615	$	72	$	(392)	$	(22,027)	$	12,988
Other Financial Instruments++		0		0		0		0		0		0
Total	$	25,720	$	9,615	$	72	$	(392)	$	(22,027)	$	12,988

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Other financial instruments may include open futures contracts, swap contracts, written options, short sales, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Diversified Income Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 5.0%
Amadeus Global Travel Distribution S.A.
6.846% due 04/08/2013	$	2,417	$	2,233
7.096% due 04/08/2014		2,417		2,217
Berry Plastics Holding Corp.
9.728% due 06/05/2014		4,831		4,386
Biomet, Inc.
5.696% due 03/25/2015		4,975		4,884
Boc Group, Inc.
4.644% due 05/31/2014		2,481		2,097
Cablevision Industries Corp.
4.225% due 03/30/2013		15		14
Cablevision Term B
4.225% due 03/30/2013		5,915		5,633
Community Health Systems, Inc.
4.000% due 07/25/2014		449		424
4.631% due 07/25/2014		2,121		2,002
4.899% due 07/25/2014		6,666		6,292
Daimler Finance North America LLC
6.780% due 08/03/2012		12,902		10,687
Dex Media West LLC
7.000% due 10/13/2014		1,000		977
FCI Connectors
6.224% due 03/09/2013		2,403		2,205
Ford Motor Co.
5.480% due 12/15/2013		985		797
General Motors Corp.
5.059% due 11/29/2013		988		830
Georgia-Pacific Corp.
4.399% due 12/20/2012		971		918
4.446% due 12/20/2012		8,252		7,805
4.551% due 12/20/2012		741		701
Goodyear Tire & Rubber Co.
4.540% due 04/30/2014		3,000		2,728
Hawaiian Telcom Communications, Inc.
5.310% due 06/01/2014		958		789
HCA, Inc.
5.051% due 11/18/2013		10,548		9,922
Health Management Associates, Inc.
4.446% due 02/28/2014		3,887		3,623
Ineos Group Holdings PLC
4.634% due 10/07/2012		137		124
4.885% due 10/07/2012		1,276		1,126
4.885% due 10/07/2013		2,460		2,131
4.897% due 10/07/2012		229		202
5.385% due 10/07/2014		2,460		2,229
Las Vegas Sands Corp.
4.170% due 05/23/2014		1,000		913
4.450% due 05/23/2014		3,970		3,626
Metro-Goldwyn-Mayer, Inc.
3.191% due 10/03/2011		200		165
3.805% due 10/03/2011		160		132
5.946% due 04/08/2012		7,890		6,495
MGM Mirage
3.154% due 10/03/2011		240		218
3.409% due 10/03/2011		400		363
3.664% due 10/03/2011		400		363
3.671% due 10/03/2011		600		545
NRG Energy, Inc.
4.196% due 02/01/2013		6,159		5,882
Polypore, Inc.
4.640% due 05/15/2014		4,466		4,296
RH Donnelley Corp.
4.140% due 06/30/2011		146		143
4.150% due 06/30/2011		100		99
4.200% due 06/30/2011		32		31
4.400% due 06/30/2011		50		49
6.750% due 06/30/2011		510		501
Shackleton Re Ltd.
10.438% due 08/01/2008		1,500		1,478
10.938% due 08/01/2008		500		492
Texas Competitive Electric Holdings Co., LLC
5.948% due 10/10/2014		631		585
6.071% due 10/10/2014		70		65
6.234% due 10/10/2014		5,310		4,924
6.478% due 10/10/2014		568		527
Thompson Learning, Inc.
4.880% due 06/27/2014		5,290		4,818
5.200% due 06/27/2014		680		619
Tribune Co.
5.482% due 05/30/2014		4,714		3,565
Total Bank Loan Obligations (Cost $128,393)				118,870
CORPORATE BONDS & NOTES 51.8%
Banking & Finance 24.1%
AES Red Oak LLC
8.540% due 11/30/2019		2,545		2,653
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		220		211
Allstate Life Global Funding II
3.328% due 05/21/2010		5,400		5,369
American General Finance Corp.
6.900% due 12/15/2017		5,000		4,371
American Honda Finance Corp.
4.500% due 05/26/2009		500		503
American International Group, Inc.
5.850% due 01/16/2018		13,600		12,782
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014		1,980		1,987
Banco Santander Chile
3.027% due 12/09/2009		5,000		4,903
Bank of America Corp.
4.750% due 08/01/2015		1,400		1,314
5.750% due 12/01/2017		8,000		7,537
8.000% due 12/29/2049		16,600		15,591
8.125% due 12/29/2049		10,600		10,033
BankAmerica Instit-A
8.070% due 12/31/2026		500		504
Barclays Bank PLC
5.450% due 09/12/2012		11,600		11,750
7.700% due 04/29/2049		19,600		20,041
Bear Stearns Cos., Inc.
6.400% due 10/02/2017		18,500		18,338
6.950% due 08/10/2012		6,500		6,767
Berkshire Hathaway Finance Corp.
4.625% due 10/15/2013		500		503
C5 Capital SPV Ltd.
6.196% due 12/01/2049		200		194
C10 Capital SPV Ltd.
6.722% due 12/18/2049		1,600		1,487
6.722% due 12/31/2049		2,000		1,843
Calabash Re Ltd.
13.714% due 01/08/2010		1,000		1,027
Citigroup Capital XXI
8.300% due 12/21/2057		10,675		10,125
Citigroup, Inc.
5.300% due 10/17/2012		275		269
6.000% due 02/21/2012		650		656
8.400% due 04/29/2049		23,900		22,749
Columbia University
6.875% due 12/15/2015		500		563
Commonwealth Bank of Australia
6.024% due 03/29/2049		3,400		2,942
ConocoPhillips Canada Funding Co.
5.300% due 04/15/2012		2,800		2,882
Credit Suisse New York, Inc.
5.000% due 05/15/2013		8,500		8,284
DBS Bank Ltd.
2.940% due 05/16/2017		5,000		4,674
Desarrolladora Homex SAB de C.V.
7.500% due 09/28/2015		7,032		7,102
El Paso Performance-Linked Trust
7.750% due 07/15/2011		2,300		2,329
Export-Import Bank of China
4.875% due 07/21/2015		2,050		1,995
5.250% due 07/29/2014		6,625		6,624
Ferrellgas Escrow LLC
6.750% due 05/01/2014		1,825		1,674
First Empire Capital Trust II
8.277% due 06/01/2027		500		502
Ford Motor Credit Co. LLC
7.375% due 02/01/2011		440		357
8.026% due 06/15/2011		3,640		2,964
Forest City Enterprises, Inc.
6.500% due 02/01/2017		1,000		875
7.625% due 06/01/2015		375		351
Foundation Re II Ltd.
9.445% due 11/26/2010		1,800		1,814
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		1,400		1,413
General Electric Capital Corp.
2.830% due 04/10/2012		13,000		12,676
5.450% due 01/15/2013		5,000		5,111
5.625% due 09/15/2017		525		515
5.875% due 02/15/2012		500		519
5.875% due 01/14/2038		3,360		3,059
GMAC LLC
3.951% due 09/23/2008		900		886
8.000% due 11/01/2031		2,090		1,363
Goldman Sachs Group, Inc.
4.750% due 07/15/2013		1,225		1,180
5.250% due 10/15/2013		2,400		2,353
5.700% due 09/01/2012		165		166
6.125% due 02/15/2033		45		41
6.150% due 04/01/2018		5,200		5,061
6.750% due 10/01/2037		18,300		16,811
7.350% due 10/01/2009		500		514
GPB Eurobond Finance PLC for Gazprombank
6.500% due 09/23/2015		1,500		1,373
HBOS PLC
5.920% due 09/29/2049		7,500		5,353
HCP, Inc.
6.700% due 01/30/2018		5,000		4,509
Hexion U.S. Finance Corp.
9.750% due 11/15/2014		4,435		4,036
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		2,900		2,813
HSBC Bank USA N.A.
4.625% due 04/01/2014		400		381
HSBC Capital Funding LP
4.610% due 12/31/2049		4,700		4,155
HSBC Finance Corp.
4.750% due 07/15/2013		120		115
HSBC Holdings PLC
6.500% due 05/02/2036		5,300		4,949
6.500% due 09/15/2037		125		114
ICICI Bank Ltd.
5.750% due 01/12/2012		2,100		1,985
Intergas Finance BV
6.375% due 05/14/2017		2,700		2,410
6.875% due 11/04/2011		1,800		1,780
International Lease Finance Corp.
4.950% due 02/01/2011		4,700		4,454
6.625% due 11/15/2013		2,000		1,800
JPMorgan Chase & Co.
6.000% due 01/15/2018		5,000		4,886
KRATON Polymers LLC
8.125% due 01/15/2014		1,860		958
Lehman Brothers Holdings, Inc.
2.778% due 05/25/2010		100		93
2.820% due 11/16/2009		5,525		5,267
Longpoint Re Ltd.
8.064% due 05/08/2010		4,700		4,700
LVB Acquisition Merger Sub, Inc.
10.000% due 10/15/2017		3,550		3,807
10.375% due 10/15/2017 (b)		750		799
11.625% due 10/15/2017		5,425		5,778
MBNA Capital B
3.673% due 02/01/2027		3,000		2,401
Merna Reinsurance Ltd.
3.451% due 07/07/2010 (k)		10,000		9,357
Merrill Lynch & Co., Inc.
4.966% due 05/12/2010		2,000		1,969
6.050% due 08/15/2012		8,000		7,840
6.875% due 04/25/2018		10,300		9,834
MetLife, Inc.
5.375% due 12/15/2012		45		45
Mirage Resorts, Inc.
7.250% due 08/01/2017		1,400		1,214
Morgan Stanley
5.750% due 08/31/2012		4,400		4,371
5.950% due 12/28/2017		2,400		2,186
6.000% due 04/28/2015		16,100		15,437
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		2,400		2,085
Mystic Re Ltd.
8.982% due 12/05/2008		1,100		1,077
11.682% due 12/05/2008		850		829
12.682% due 06/07/2011		700		716
National Rural Utilities Cooperative Finance Corp.
3.566% due 07/01/2010		300		300
4.750% due 03/01/2014		750		727
7.250% due 03/01/2012		4,815		5,131
Petroleum Export Ltd.
4.623% due 06/15/2010		1,778		1,766
5.265% due 06/15/2011		6,349		6,331
Petroleum Export Ltd. II
6.340% due 06/20/2011		3,838		3,828
Rabobank Capital Funding II
5.260% due 12/31/2049		2,860		2,624
Rabobank Nederland NV
3.119% due 05/19/2010		9,600		9,589
Residential Reinsurance 2007 Ltd.
9.399% due 06/06/2011		1,250		1,249
9.932% due 06/07/2010		15,500		15,555
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		500		504
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.299% due 05/15/2017		7,420		6,865
7.175% due 05/16/2013		2,350		2,359
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		12,900		12,495
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		2,100		1,889
Swiss Bank Corp. NY
7.000% due 10/15/2015		500		532
Teco Finance, Inc.
6.750% due 05/01/2015		7,050		7,136
Tenneco, Inc.
8.625% due 11/15/2014		3,150		2,796
10.250% due 07/15/2013		617		649
Textron Financial Corp.
2.816% due 01/11/2010		11,000		10,834
TNB Capital L Ltd.
5.250% due 05/05/2015		570		550
TNK-BP Finance S.A.
6.125% due 03/20/2012		1,000		948
6.625% due 03/20/2017		4,400		3,905
7.500% due 07/18/2016		7,050		6,704
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		3,300		3,312
UBS AG
3.704% due 05/05/2010		4,700		4,684
5.750% due 04/25/2018		1,850		1,771
5.875% due 12/20/2017		5,400		5,270
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,500		1,482
UBS Preferred Funding Trust V
6.243% due 05/12/2049		2,500		2,196
UFJ Finance Aruba AEC
6.750% due 07/15/2013		250		263
Universal City Development Partners
11.750% due 04/01/2010		500		515
Universal City Florida Holding Co. I & II
8.375% due 05/01/2010		500		498
Ventas Realty LP
6.500% due 06/01/2016		400		384
6.750% due 04/01/2017		2,635		2,543
8.750% due 05/01/2009		500		512
9.000% due 05/01/2012		800		842
Vita Capital III Ltd.
3.891% due 01/01/2011		3,150		3,058
Wachovia Bank N.A.
3.619% due 05/14/2010		19,800		19,708
Wachovia Corp.
5.250% due 08/01/2014		500		467
Wells Fargo & Co.
4.375% due 01/31/2013		9,000		8,727
5.250% due 10/23/2012		15,780		15,890
Wells Fargo Capital X
5.950% due 12/15/2036		2,800		2,554
Wells Fargo Capital XIII
7.700% due 12/29/2049		400		398
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		1,000		1,055
				568,378
Industrials 21.4%
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013		47,550		52,735
AES El Salvador Trust
6.750% due 02/01/2016		11,800		10,664
Alcoa, Inc.
5.550% due 02/01/2017		5,000		4,696
Allison Transmission, Inc.
11.000% due 11/01/2015		600		540
America Movil SAB de C.V.
5.500% due 03/01/2014		3,380		3,343
5.750% due 01/15/2015		15,400		15,325
AmeriGas Partners LP
7.125% due 05/20/2016		5,075		4,732
7.250% due 05/20/2015		500		470
ARAMARK Corp.
6.373% due 02/01/2015		1,525		1,434
8.500% due 02/01/2015		4,470		4,403
ArvinMeritor, Inc.
8.125% due 09/15/2015		6,410		5,064
8.750% due 03/01/2012		1,760		1,558
Atlantic Richfield Co.
8.530% due 02/27/2012		500		565
Barrick Gold Finance Co.
4.875% due 11/15/2014		1,000		955
Buhrmann U.S., Inc.
7.875% due 03/01/2015		700		782
8.250% due 07/01/2014		1,850		2,021
BW Group Ltd.
6.625% due 06/28/2017		760		791
C8 Capital SPV Ltd.
6.640% due 12/29/2049		22,900		21,480
6.640% due 12/31/2049		6,100		5,673
CBS Corp.
5.625% due 08/15/2012		3,500		3,458
Celestica, Inc.
7.875% due 07/01/2011		1,100		1,106
Chart Industries, Inc.
9.125% due 10/15/2015		1,300		1,355
Charter Communications Operating LLC
8.375% due 04/30/2014		2,900		2,762
Chemtura Corp.
6.875% due 06/01/2016		2,700		2,349
Chesapeake Energy Corp.
6.625% due 01/15/2016		2,250		2,171
Cisco Systems, Inc.
5.500% due 02/22/2016		500		506
Citic Resources Finance Ltd.
6.750% due 05/15/2014		600		562
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		500		538
Colorado Interstate Gas Co.
6.800% due 11/15/2015		2,300		2,363
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		315		347
Comcast Cable Communications LLC
7.125% due 06/15/2013		2,130		2,249
Comcast Corp.
5.300% due 01/15/2014		2,000		1,942
5.900% due 03/15/2016		2,900		2,840
6.500% due 01/15/2015		100		102
Community Health Systems, Inc.
8.875% due 07/15/2015		4,200		4,247
Compagnie Générale de Géophysique-Veritas
7.750% due 05/15/2017		550		553
Con-way, Inc.
7.250% due 01/15/2018		5,000		5,091
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		2,400		2,016
Cox Communications, Inc.
7.125% due 10/01/2012		725		758
CSC Holdings, Inc.
7.875% due 02/15/2018		5,389		5,039
8.125% due 08/15/2009		25		25
CSX Corp.
5.600% due 05/01/2017		5,000		4,626
Cytec Industries, Inc.
6.000% due 10/01/2015		1,000		981
DaVita, Inc.
7.250% due 03/15/2015		1,400		1,368
Delhaize America, Inc.
8.050% due 04/15/2027		600		650
Delta Air Lines, Inc.
7.379% due 05/18/2010		3,123		3,014
Dex Media West LLC
8.500% due 08/15/2010		2,500		2,481
9.875% due 08/15/2013		2,980		2,690
Dow Chemical Co.
6.000% due 10/01/2012		250		259
Dynegy Holdings, Inc.
7.750% due 06/01/2019		3,630		3,321
8.375% due 05/01/2016		6,270		6,113
EchoStar DBS Corp.
5.750% due 10/01/2008		3,900		3,910
7.125% due 02/01/2016		4,600		4,266
El Paso Corp.
7.000% due 06/15/2017		4,500		4,431
7.750% due 06/15/2010		300		310
Embraer Overseas Ltd.
6.375% due 01/24/2017		1,400		1,368
Energy Transfer Partners LP
5.650% due 08/01/2012		4,400		4,442
Ferrellgas Partners LP
8.750% due 06/15/2012		4,120		4,058
First Data Corp.
9.875% due 09/24/2015		6,815		5,938
Ford Motor Co.
7.500% due 08/01/2026		2,300		1,322
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		7,070		5,780
Fund American Cos., Inc.
5.875% due 05/15/2013		1,000		969
Gaz Capital S.A.
6.212% due 11/22/2016		6,750		6,320
7.288% due 08/16/2037		10,000		9,240
8.625% due 04/28/2034		4,740		5,155
Gazprom International S.A.
7.201% due 02/01/2020		10,145		10,140
General Motors Corp.
7.700% due 04/15/2016		1,220		744
8.800% due 03/01/2021		4,950		2,933
Georgia-Pacific LLC
7.000% due 01/15/2015		800		756
7.125% due 01/15/2017		4,250		4,016
8.000% due 01/15/2024		1,995		1,855
GTL Trade Finance, Inc.
7.250% due 10/20/2017		3,300		3,324
HCA, Inc.
6.750% due 07/15/2013		1,650		1,456
7.190% due 11/15/2015		1,700		1,474
9.125% due 11/15/2014		4,175		4,279
9.250% due 11/15/2016		590		609
9.625% due 11/15/2016 (b)		3,300		3,407
Health Management Associates, Inc.
6.125% due 04/15/2016		320		282
Hertz Corp.
8.875% due 01/01/2014		2,350		2,162
Hewlett-Packard Co.
6.500% due 07/01/2012		500		533
HJ Heinz Co.
6.428% due 12/01/2020		5,100		5,145
Hospira, Inc.
4.950% due 06/15/2009		500		503
Ineos Group Holdings PLC
8.500% due 02/15/2016		1,800		1,192
Ingles Markets, Inc.
8.875% due 12/01/2011		2,525		2,569
Intelsat Jackson Holdings Ltd.
9.250% due 06/15/2016		5,400		5,468
ISA Capital do Brasil S.A.
7.875% due 01/30/2012		900		934
8.800% due 01/30/2017		2,200		2,294
Kohl’s Corp.
6.250% due 12/15/2017		5,000		4,782
Kraft Foods, Inc.
6.500% due 08/11/2017		2,000		2,009
Kroger Co.
7.000% due 05/01/2018		5,000		5,323
Ltd. Brands, Inc.
6.900% due 07/15/2017		2,000		1,823
Mandalay Resort Group
9.375% due 02/15/2010		1,534		1,542
Marathon Global Funding Corp.
6.000% due 07/01/2012		500		515
Marks & Spencer PLC
6.250% due 12/01/2017		5,000		4,652
Masco Corp.
6.125% due 10/03/2016		5,000		4,544
McKesson Corp.
5.700% due 03/01/2017		5,000		4,823
MGM Mirage
7.500% due 06/01/2016		2,820		2,334
Miller Brewing Co.
5.500% due 08/15/2013		1,000		1,024
Nalco Co.
8.875% due 11/15/2013		400		412
New Albertson’s, Inc.
6.570% due 02/23/2028		800		643
7.450% due 08/01/2029		5,100		4,858
7.750% due 06/15/2026		2,150		2,123
Norampac Industries, Inc.
6.750% due 06/01/2013		1,170		989
Nortel Networks Ltd.
10.125% due 07/15/2013		7,750		7,614
10.750% due 07/15/2016		2,100		2,090
Northwest Airlines, Inc.
7.626% due 04/01/2010		1,013		958
Northwest Pipeline Corp.
7.000% due 06/15/2016		5,000		5,200
Novelis, Inc.
7.250% due 02/15/2015		1,243		1,181
Pemex Project Funding Master Trust
4.076% due 06/15/2010		700		702
6.625% due 06/15/2035		420		417
9.375% due 12/02/2008		1		1
Petrobras International Finance Co.
6.125% due 10/06/2016		500		502
Petroleos de Venezuela S.A.
5.250% due 04/12/2017		6,000		4,185
Quebecor Media, Inc.
7.750% due 03/15/2016		4,150		3,880
Quiksilver, Inc.
6.875% due 04/15/2015		2,335		1,996
Qwest Communications International, Inc.
7.500% due 02/15/2014		11,225		10,720
RH Donnelley Corp.
8.875% due 01/15/2016		2,850		1,724
8.875% due 10/15/2017		600		360
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		1,000		988
Rogers Communications, Inc.
6.750% due 03/15/2015		1,800		1,840
Rowan Cos., Inc.
5.880% due 03/15/2012		2,543		2,673
SandRidge Energy, Inc.
8.000% due 06/01/2018		3,725		3,762
Sanmina-SCI Corp.
8.125% due 03/01/2016		3,125		2,828
SEACOR Holdings, Inc.
5.875% due 10/01/2012		500		474
SemGroup LP
8.750% due 11/15/2015		5,150		5,021
Sensata Technologies BV
8.000% due 05/01/2014		2,940		2,720
Station Casinos, Inc.
7.750% due 08/15/2016		1,450		1,116
Sungard Data Systems, Inc.
9.125% due 08/15/2013		3,400		3,451
Superior Essex Communications LLC
9.000% due 04/15/2012		1,000		1,025
Tesco PLC
5.500% due 11/15/2017		9,250		9,026
Tesoro Corp.
6.250% due 11/01/2012		190		181
Time Warner Cable, Inc.
5.850% due 05/01/2017		1,350		1,286
Time Warner, Inc.
6.875% due 05/01/2012		2,625		2,689
TRW Automotive, Inc.
7.000% due 03/15/2014		4,235		3,695
7.250% due 03/15/2017		2,200		1,859
Tyco International Group S.A.
6.375% due 10/15/2011		445		456
6.750% due 02/15/2011		500		514
United Airlines, Inc.
6.201% due 09/01/2008		272		268
7.336% due 07/02/2019		461		348
7.730% due 07/01/2010		725		726
10.850% due 02/19/2015 (a)		1,016		486
Vale Overseas Ltd.
6.250% due 01/11/2016		3,200		3,144
6.250% due 01/23/2017		4,100		3,993
8.250% due 01/17/2034		4,025		4,383
Valero Energy Corp.
6.125% due 06/15/2017		8,045		7,793
6.875% due 04/15/2012		1,550		1,611
Verso Paper Holdings LLC
9.125% due 08/01/2014		2,400		2,358
Viacom, Inc.
6.250% due 04/30/2016		5,000		4,841
Vitro SAB de C.V.
8.625% due 02/01/2012		3,500		3,192
9.125% due 02/01/2017		8,873		7,076
Walt Disney Co.
6.200% due 06/20/2014		500		540
6.375% due 03/01/2012		640		682
Williams Cos., Inc.
7.625% due 07/15/2019		925		976
7.875% due 09/01/2021		1,375		1,464
Wynn Las Vegas Capital Corp.
6.625% due 12/01/2014		3,070		2,824
XTO Energy, Inc.
7.500% due 04/15/2012		3,500		3,759
Yum! Brands, Inc.
6.250% due 03/15/2018		5,000		4,891
				503,582
Utilities 6.3%
AES Corp.
8.000% due 10/15/2017		3,575		3,521
AT&T Corp.
7.300% due 11/15/2011		947		1,010
Beaver Valley II Funding
9.000% due 06/01/2017		295		318
Carolina Power & Light Co.
5.125% due 09/15/2013		750		756
CenturyTel, Inc.
6.000% due 04/01/2017		5,000		4,513
Cincinnati Bell, Inc.
8.375% due 01/15/2014		4,050		3,939
Citizens Communications Co.
7.000% due 11/01/2025		400		296
7.875% due 01/15/2027		1,750		1,540
Constellation Energy Group, Inc.
7.000% due 04/01/2012		655		680
Consumers Energy Co.
5.000% due 02/15/2012		1,500		1,488
Dayton Power & Light Co.
5.125% due 10/01/2013		1,480		1,494
Dominion Resources, Inc.
5.700% due 09/17/2012		260		264
Duke Energy Carolinas LLC
5.300% due 10/01/2015		1,500		1,514
5.625% due 11/30/2012		225		232
Empresa Nacional de Electricidad S.A.
8.625% due 08/01/2015		9,000		10,251
Enel Finance International S.A.
5.700% due 01/15/2013		4,850		4,912
Energy Future Holdings Corp.
10.875% due 11/01/2017		6,725		6,826
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		4,500		1,822
Homer City Funding LLC
8.734% due 10/01/2026		3,744		4,034
Ipalco Enterprises, Inc.
8.625% due 11/14/2011		4,125		4,311
Kinder Morgan Finance Co. ULC
5.350% due 01/05/2011		4,000		3,880
KT Corp.
4.875% due 07/15/2015		3,000		2,792
Majapahit Holding BV
7.250% due 10/17/2011		8,200		7,995
7.250% due 06/28/2017		400		360
7.750% due 10/17/2016		600		575
7.875% due 06/29/2037		400		342
MidAmerican Energy Holdings Co.
5.875% due 10/01/2012		300		309
Midwest Generation LLC
8.560% due 01/02/2016		355		366
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		1,000		1,014
Nevada Power Co.
5.875% due 01/15/2015		450		452
6.500% due 05/15/2018		6,050		6,206
New Cingular Wireless Services, Inc.
8.125% due 05/01/2012		2,175		2,385
Nextel Communications, Inc.
7.375% due 08/01/2015		4,625		3,841
NRG Energy, Inc.
7.375% due 02/01/2016		3,675		3,468
7.375% due 01/15/2017		330		313
Ohio Edison Co. Credit-Linked Certificate Trust
5.647% due 06/15/2009		1,500		1,513
Pedernales Electric Cooperative
5.952% due 11/15/2022		500		500
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022		3,600		3,447
PSEG Energy Holdings LLC
8.500% due 06/15/2011		1,200		1,265
PSEG Power LLC
5.500% due 12/01/2015		900		869
6.950% due 06/01/2012		270		284
Qwest Corp.
6.500% due 06/01/2017		1,000		898
7.250% due 09/15/2025		2,250		2,002
7.250% due 10/15/2035		1,550		1,310
7.500% due 06/15/2023		1,800		1,611
7.625% due 06/15/2015		1,250		1,209
8.875% due 03/15/2012		2,190		2,245
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		470		399
Reliant Energy, Inc.
6.750% due 12/15/2014		3,850		3,946
7.625% due 06/15/2014		3,725		3,650
7.875% due 06/15/2017		5,450		5,355
Rural Cellular Corp.
9.875% due 02/01/2010		7,320		7,485
Sierra Pacific Power Co.
6.000% due 05/15/2016		1,700		1,691
Sprint Capital Corp.
8.375% due 03/15/2012		850		842
Sprint Nextel Corp.
6.000% due 12/01/2016		5,200		4,479
Telefonos de Mexico SAB de C.V.
5.500% due 01/27/2015		1,850		1,811
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		13,050		12,805
Verizon Communications, Inc.
5.550% due 02/15/2016		400		391
Verizon Global Funding Corp.
4.375% due 06/01/2013		500		482
Verizon New York, Inc.
6.875% due 04/01/2012		25		26
Verizon Pennsylvania, Inc.
5.650% due 11/15/2011		500		504
Virginia Electric and Power Co.
4.750% due 03/01/2013		245		242
				149,280
Total Corporate Bonds & Notes (Cost $1,281,168)				1,221,240
MUNICIPAL BONDS & NOTES 2.3%
Adams County, Pennsylvania General Obligation Bonds, (FGIC Insured), Series 2002
4.750% due 11/15/2028		1,000		983
Arkansas State Northern Tobacco Securitization Corp. Revenue Bonds, Series 2006
5.000% due 06/01/2046		100		75
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2037		4,200		4,124
5.000% due 11/01/2037		800		785
5.000% due 12/01/2037		1,170		1,149
California State University Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2030		100		100
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2027		2,000		715
Chino Valley, California Unified School District General Obligation Bonds, (FGIC Insured), Series 2006
0.000% due 08/01/2023		850		361
Clovis, California Unified School District General Obligation Bonds, (FGIC Insured), Series 2002
0.000% due 08/01/2020		500		269
Connecticut State Housing Finance Authority Revenue Bonds, Series 1997
6.880% due 11/15/2011		500		500
Dallas, Texas Area Rapid Transit Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 12/01/2036		4,400		4,424
East Bay, California Municipal Utility District Revenue Bonds, (FGIC Insured), Series 2007
5.000% due 06/01/2032		8,415		8,517
Florida State Board of Education General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 06/01/2037		1,000		940
Florida State Board of Education General Obligation Bonds, Series 2008
4.750% due 06/01/2037		2,300		2,166
Florida State General Obligation Bonds, Series 2008
5.250% due 07/01/2037		400		409
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2033		980		800
5.750% due 06/01/2047		800		682
Indiana State University Revenue Bonds, Series 2008
5.000% due 06/01/2038		600		605
Kentucky State Property & Buildings Commission Revenue Bonds, (MBIA Insured), Series 2003
5.020% due 10/01/2014		500		494
Los Angeles, California Community College District General Obligation Bonds, (FGIC Insured), Series 2007
5.000% due 08/01/2032		900		908
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		400		407
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 07/01/2037		1,800		1,809
5.000% due 07/01/2044		6,800		6,755
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2022		700		693
4.500% due 07/01/2023		800		785
4.500% due 07/01/2024		1,100		1,072
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
4.500% due 07/01/2025		700		677
4.500% due 01/01/2028		900		843
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2029		800		662
5.000% due 06/01/2041		130		98
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2037		700		707
New York State Urban Development Corp. Revenue Notes, Series 2003
4.970% due 12/15/2012		500		505
North Texas State Municipal Water District Revenue Bonds, (MBIA Insured), Series 2006
5.000% due 09/01/2035		600		602
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		4,000		3,343
San Bernardino, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		500		505
Southern California State Tobacco Securitization Authority Revenue Bonds, Series 2006
5.000% due 06/01/2037		450		353
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		200		191
University of Arkansas Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 11/01/2037		600		594
University of California Revenue Bonds, (FSA/FGIC Insured), Series 2007
5.000% due 05/15/2037		200		202
5.000% due 05/15/2041		400		402
University of California Revenue Bonds, Series 2008
5.000% due 05/15/2036		700		706
Washington State General Obligation Bonds, Series 2008
5.000% due 01/01/2033		400		404
West Orange Cove, Texas Consolidated Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2008
4.750% due 02/15/2038		2,200		2,115
Total Municipal Bonds & Notes (Cost $54,173)				53,436
U.S. GOVERNMENT AGENCIES 15.2%
Fannie Mae
2.931% due 10/18/2030		16		17
2.982% due 03/25/2017		97		98
4.000% due 08/01/2018 - 08/01/2020		3,916		3,721
4.500% due 02/01/2035 - 08/01/2035		2,130		1,979
4.994% due 03/01/2044		156		156
5.000% due 12/01/2013 - 07/01/2038		26,729		25,957
5.108% due 04/01/2036		419		420
5.249% due 03/01/2036		433		434
5.478% due 12/01/2036		232		232
5.500% due 12/01/2032 - 07/01/2038		296,042		292,157
6.000% due 04/01/2016 - 12/01/2031		121		124
6.055% due 02/01/2035		284		286
6.260% due 03/01/2011		379		392
6.500% due 08/01/2011 - 12/01/2029		240		251
6.532% due 09/01/2031		28		28
6.850% due 12/18/2027		227		239
Federal Farm Credit Bank
7.561% due 11/29/2049		500		477
Federal Home Loan Bank
4.060% due 08/25/2009		254		254
Freddie Mac
2.701% due 02/15/2019		6,908		6,773
2.971% due 09/15/2030		54		54
4.000% due 04/15/2022		152		152
4.994% due 10/25/2044 - 02/25/2045		300		290
5.000% due 06/15/2016 - 09/15/2024		9,985		9,895
5.194% due 07/25/2044		464		435
5.500% due 03/15/2017 - 09/15/2017		3,265		3,343
5.832% due 05/01/2023		34		34
6.500% due 07/25/2043		20		21
7.000% due 06/15/2013		33		35
7.500% due 06/01/2024		7		8
Ginnie Mae
3.956% due 09/16/2021		442		441
4.045% due 07/16/2020		674		672
4.385% due 08/16/2030		1,411		1,409
4.500% due 08/15/2033		44		41
5.125% due 11/20/2023 - 11/20/2027		95		95
5.149% due 06/16/2023		155		156
5.375% due 03/20/2026		31		31
5.625% due 07/20/2026		40		41
6.375% due 05/20/2026		50		51
6.569% due 09/16/2026		1,000		1,036
8.000% due 03/20/2030		89		97
8.500% due 07/20/2030 - 03/20/2031		20		21
9.250% due 12/20/2019 - 06/20/2021		20		22
9.500% due 07/15/2009 - 12/20/2020		7		7
10.000% due 07/15/2013		12		13
New Valley Generation
7.299% due 03/15/2019		792		911
Private Export Funding Corp.
4.550% due 05/15/2015		750		755
Small Business Administration
4.340% due 03/01/2024		259		247
4.504% due 02/01/2014		95		91
5.130% due 09/01/2023		48		48
5.886% due 09/01/2011		278		283
6.030% due 02/01/2012		1,446		1,475
6.900% due 12/01/2020		914		956
7.150% due 03/01/2017		458		474
7.300% due 05/01/2017		268		279
7.640% due 03/10/2010		53		55
Vendee Mortgage Trust
6.000% due 12/15/2030		1,000		1,042
Total U.S. Government Agencies (Cost $359,994)				359,011
MORTGAGE-BACKED SECURITIES 5.7%
Adjustable Rate Mortgage Trust
5.016% due 01/25/2035		9,647		9,297
5.417% due 01/25/2036		727		687
Banc of America Funding Corp.
5.756% due 03/20/2036		550		501
Banc of America Mortgage Securities, Inc.
4.719% due 07/25/2034		623		605
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		10,217		9,766
4.593% due 01/25/2034		48		44
4.747% due 01/25/2034		20		19
5.615% due 02/25/2033		104		97
5.733% due 02/25/2036		567		472
6.736% due 02/25/2033		10		10
Bear Stearns Alt-A Trust
2.702% due 12/25/2046		390		156
5.372% due 05/25/2035		135		115
5.500% due 08/25/2036		700		395
5.701% due 09/25/2035		2,671		2,204
Chase Commercial Mortgage Securities Corp.
7.631% due 07/15/2032		500		522
Citicorp Mortgage Securities, Inc.
5.500% due 10/25/2033		79		79
Citigroup Mortgage Loan Trust, Inc.
4.679% due 08/25/2035		699		623
Citimortgage Alternative Loan Trust
6.000% due 06/25/2037		681		660
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		51		51
Countrywide Alternative Loan Trust
2.712% due 08/25/2046		458		259
2.759% due 09/20/2046		600		258
5.414% due 10/25/2035		501		471
5.750% due 03/25/2037		500		416
6.000% due 10/25/2032		5		5
Countrywide Home Loan Mortgage Pass-Through Trust
2.712% due 05/25/2035		329		250
2.782% due 04/25/2046		594		326
4.733% due 02/25/2034		2,613		2,446
4.842% due 04/20/2035		1,544		1,497
7.070% due 10/19/2032		8		8
Credit Suisse Mortgage Capital Certificates
5.383% due 02/15/2040		500		465
5.681% due 02/15/2039		5,000		4,882
CS First Boston Mortgage Securities Corp.
4.666% due 03/15/2036		11,500		11,230
5.050% due 06/25/2033		1,054		1,022
5.435% due 09/15/2034		514		515
Denver Arena Trust
6.940% due 11/15/2019		278		266
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.000% due 10/25/2018		580		550
5.500% due 12/25/2035		700		574
5.582% due 10/25/2035		496		429
6.300% due 07/25/2036		700		576
First Horizon Asset Securities, Inc.
4.464% due 07/25/2033		371		365
General Electric Capital Assurance Co.
5.254% due 05/12/2035		1,000		985
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		12,000		12,058
Greenpoint Mortgage Pass-Through Certificates
4.392% due 10/25/2033		1,679		1,600
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		2,602		2,437
6.624% due 05/03/2018		600		636
GSR Mortgage Loan Trust
5.347% due 11/25/2035		519		491
Homebanc Mortgage Trust
5.800% due 04/25/2037		581		457
Indymac Index Mortgage Loan Trust
2.752% due 06/25/2037		671		391
JPMorgan Chase Commercial Mortgage Securities Corp.
5.050% due 12/12/2034		14,800		14,618
5.506% due 12/12/2044		4,985		4,860
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.641% due 10/15/2017		2,609		2,492
MASTR Adjustable Rate Mortgages Trust
2.722% due 05/25/2037		571		397
2.822% due 05/25/2047		500		192
5.029% due 11/25/2033		89		89
5.136% due 08/25/2034		203		200
MASTR Alternative Loans Trust
2.882% due 03/25/2036		1,288		917
Merrill Lynch Alternative Note Asset
5.660% due 06/25/2037		628		481
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		600		557
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		3,240		2,606
MLCC Mortgage Investors, Inc.
4.430% due 10/25/2035		4,968		4,708
Morgan Stanley Capital I
5.332% due 12/15/2043		10,000		9,424
5.692% due 04/15/2049		1,200		1,134
Nomura Asset Acceptance Corp.
5.820% due 03/25/2047		500		417
Provident Funding Mortgage Loan Trust
4.612% due 08/25/2033		645		626
Residential Accredit Loans, Inc.
2.712% due 05/25/2037		872		453
5.714% due 02/25/2036		467		379
Residential Asset Securitization Trust
2.882% due 01/25/2046		2,758		1,950
Residential Funding Mortgage Securities I
5.209% due 09/25/2035		697		611
Salomon Brothers Mortgage Securities VII, Inc.
2.982% due 05/25/2032		90		83
Structured Adjustable Rate Mortgage Loan Trust
5.349% due 01/25/2035		1,073		1,048
6.000% due 03/25/2036		494		366
Structured Asset Mortgage Investments, Inc.
2.702% due 05/25/2036		3,764		2,641
2.742% due 05/25/2046		561		319
Structured Asset Securities Corp.
4.773% due 06/25/2033		1,415		1,234
Wachovia Bank Commercial Mortgage Trust
2.551% due 06/15/2020		2,737		2,534
Wachovia Mortgage Loan Trust LLC
5.444% due 10/20/2035		531		502
WaMu Mortgage Pass-Through Certificates
3.022% due 12/25/2027		531		485
4.278% due 06/25/2047		642		360
4.361% due 02/27/2034		23		22
4.528% due 08/25/2046		1,089		834
4.561% due 06/25/2033		404		394
4.928% due 06/25/2042		21		19
Washington Mutual Alternative Mortgage Pass-Through Certificates
4.288% due 04/25/2047		849		482
4.298% due 04/25/2047		808		463
4.368% due 05/25/2047		797		469
Washington Mutual MSC Mortgage Pass-Through Certificates
6.792% due 02/25/2033		7		7
Wells Fargo Mortgage-Backed Securities Trust
2.982% due 07/25/2037		1,211		1,046
4.993% due 12/25/2034		1,259		1,225
Total Mortgage-Backed Securities (Cost $138,858)				133,812
ASSET-BACKED SECURITIES 0.7%
Aurum CLO 2002-1 Ltd.
3.143% due 04/15/2014		4,948		4,761
Carrington Mortgage Loan Trust
2.732% due 06/25/2035		311		311
Chase Issuance Trust
3.121% due 11/15/2011		1,000		1,003
Countrywide Asset-Backed Certificates
2.592% due 10/25/2046		70		68
CPL Transition Funding LLC
6.250% due 01/15/2017		750		784
CSAB Mortgage-Backed Trust
6.172% due 06/25/2036		800		667
Detroit Edison Securitization Funding LLC
6.420% due 03/01/2015		750		793
Ford Credit Auto Owner Trust
3.371% due 01/15/2011		4,000		4,012
GSAA Trust
2.782% due 03/25/2037		700		351
2.782% due 05/25/2047		700		362
JCP&L Transition Funding LLC
6.160% due 06/05/2019		650		684
JPMorgan Mortgage Acquisition Corp.
2.542% due 04/01/2037		360		341
Lehman XS Trust
2.712% due 06/25/2046		736		416
Massachusetts RRB Special Purpose Trust
3.780% due 09/15/2010		50		50
Morgan Stanley Mortgage Loan Trust
2.842% due 04/25/2037		700		409
5.726% due 10/25/2036		500		406
Public Service New Hampshire Funding LLC
5.730% due 11/01/2010		59		59
Residential Asset Securities Corp.
2.552% due 07/25/2036		30		30
SLM Student Loan Trust
2.900% due 04/25/2014		1,433		1,430
3.070% due 01/25/2017		560		557
Total Asset-Backed Securities (Cost $17,835)				17,494
SOVEREIGN ISSUES 7.0%
Banque Centrale de Tunisie
7.375% due 04/25/2012		3,375		3,586
8.250% due 09/19/2027		570		659
Brazilian Government International Bond
8.750% due 02/04/2025		2,830		3,549
8.875% due 10/14/2019		8,400		10,538
8.875% due 04/15/2024		2,157		2,750
Chile Government International Bond
5.500% due 01/15/2013		500		519
China Development Bank
5.000% due 10/15/2015		500		490
Colombia Government International Bond
7.375% due 01/27/2017		7,800		8,475
7.375% due 09/18/2037		3,900		4,183
8.250% due 12/22/2014		5,200		5,941
10.375% due 01/28/2033		275		401
10.750% due 01/15/2013		8,800		10,692
11.750% due 02/25/2020		725		1,055
Croatia Government International Bond
4.000% due 07/30/2010		69		69
Guatemala Government Bond
9.250% due 08/01/2013		1,845		2,113
10.250% due 11/08/2011		1,000		1,145
Hong Kong Government International Bond
5.125% due 08/01/2014		750		759
Indonesia Government International Bond
6.875% due 03/09/2017		5,700		5,443
Korea Development Bank
2.938% due 11/22/2012		7,500		7,144
3.019% due 10/31/2008		500		499
3.218% due 10/20/2009		1,600		1,602
5.300% due 01/17/2013		700		696
5.750% due 09/10/2013		385		387
Korea Expressway Corp.
4.875% due 04/07/2014		1,540		1,464
5.125% due 05/20/2015		750		705
Malaysia Government International Bond
8.750% due 06/01/2009		255		265
Mexico Government International Bond
8.000% due 09/24/2022		45		55
Panama Government International Bond
7.250% due 03/15/2015		2,325		2,511
8.875% due 09/30/2027		2,600		3,276
9.375% due 04/01/2029		1,705		2,238
Peru Government International Bond
6.550% due 03/14/2037		320		325
8.375% due 05/03/2016		3,870		4,505
8.750% due 11/21/2033		1,000		1,290
Philippine Government International Bond
6.375% due 01/15/2032		14,900		13,522
7.750% due 01/14/2031		1,100		1,145
Poland Government International Bond
4.000% due 10/27/2024		55		53
Russia Government International Bond
7.500% due 03/31/2030		9,432		10,597
11.000% due 07/24/2018		500		702
South Africa Government International Bond
5.875% due 05/30/2022		750		698
6.500% due 06/02/2014		7,500		7,734
7.375% due 04/25/2012		2,730		2,887
Ukraine Government International Bond
7.650% due 06/11/2013		9,975		9,726
Uruguay Government International Bond
7.625% due 03/21/2036		1,000		1,029
8.000% due 11/18/2022		9,471		10,158
9.250% due 05/17/2017		100		122
Venezuela Government International Bond
3.908% due 04/20/2011		1,500		1,348
6.000% due 12/09/2020		6,200		4,470
8.500% due 10/08/2014		2,000		1,890
10.750% due 09/19/2013		80		83
Vietnam Government International Bond
4.000% due 03/12/2028		10,000		7,189
6.875% due 01/15/2016		3,000		2,887
Total Sovereign Issues (Cost $166,565)				165,569
FOREIGN CURRENCY-DENOMINATED ISSUES 17.2%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	10,900		866
Atlas Reinsurance PLC
8.947% due 01/10/2010	EUR	1,500		2,390
Banque Centrale de Tunisie
6.250% due 02/20/2013		2,820		4,516
BCM Ireland Finance Ltd.
9.856% due 08/15/2016		2,400		3,401
BNP Paribas Capital Trust VI
5.868% due 01/29/2049		4,870		7,133
Brazil Notas do Tesouro Nacional Series B
9.892% due 05/15/2045	BRL	4,000		3,945
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012		79,939		43,389
10.000% due 01/01/2017		31,740		15,493
Brazilian Government International Bond
12.500% due 01/05/2016		1,000		624
12.500% due 01/05/2022		5,200		3,171
Brazilian Government International CPI Linked Bond
9.892% due 05/15/2017		4,000		3,950
10.057% due 08/15/2024		26,700		26,353
Canadian Government Bond
4.500% due 06/01/2015	CAD	4,700		4,865
Chesapeake Energy Corp.
6.250% due 01/15/2017	EUR	1,925		2,773
Codere Finance Luxembourg S.A.
8.250% due 06/15/2015	EUR	1,500		2,019
Colombia Government International Bond
12.000% due 10/22/2015	COP	10,000,000		5,043
Deutsche Telekom International Finance BV
8.125% due 05/29/2012	EUR	2,334		3,900
Eircom Group PLC
6.606% due 08/15/2014		1,750		2,590
6.856% due 08/15/2015		1,750		2,600
Enterprise Inns PLC
6.500% due 12/06/2018	GBP	900		1,552
Gaz Capital S.A.
5.440% due 11/02/2017	EUR	200		266
5.875% due 06/01/2015		14,000		19,684
7.800% due 09/27/2010		3,500		5,569
General Electric Capital Corp.
4.625% due 09/15/2066		5,700		7,550
Green Valley Ltd.
8.342% due 01/10/2011		1,300		2,053
HBOS Capital Funding LP
6.461% due 11/29/2049	GBP	1,560		2,491
HBOS PLC
4.875% due 03/29/2049	EUR	3,480		4,319
HSBC Holdings PLC
5.375% due 12/20/2012		2,298		3,515
Ineos Group Holdings PLC
7.875% due 02/15/2016		1,900		1,952
International Endesa BV
6.125% due 07/05/2012	GBP	1,080		2,071
JSG Holding PLC
6.509% due 02/18/2015	EUR	2,000		2,965
6.643% due 02/18/2014		2,000		2,950
Lighthouse International Co. S.A.
8.000% due 04/30/2014		2,250		2,657
Mexican Bonos
7.250% due 12/15/2016	MXN	52,000		4,472
8.000% due 12/17/2015		121,000		11,040
Mitchells & Butlers Finance PLC
6.469% due 09/15/2030	GBP	1,700		2,764
Mizuho Bank Ltd.
1.317% due 11/24/2049	JPY	100,000		943
Mizuho Finance Aruba AEC
1.883% due 12/31/2049		100,000		946
Nordic Telephone Co. Holdings ApS
6.340% due 11/30/2013	EUR	2,991		4,590
6.565% due 11/30/2014		3,581		5,517
8.250% due 05/01/2016		3,300		4,754
OI European Group BV
6.875% due 03/31/2017		820		1,220
PagesJaunes Groupe
5.973% due 01/11/2014		4,000		5,729
Pemex Project Funding Master Trust
5.500% due 02/24/2025		14,000		18,920
Punch Taverns Finance PLC
6.468% due 04/15/2033	GBP	7,300		11,749
Pylon Ltd.
6.460% due 12/29/2008	EUR	1,500		2,353
QBE International Holdings PLC
9.743% due 08/03/2020	AUD	3,000		2,802
Republic of Germany
3.750% due 01/04/2017	EUR	20,000		29,572
4.750% due 07/04/2028		7,900		12,135
Rogers Communications, Inc.
7.250% due 12/15/2011	CAD	3,000		3,099
Royal Bank of Scotland Group PLC
6.000% due 06/29/2049	GBP	1,620		2,856
9.644% due 04/06/2011		3,928		6,860
South Africa Government International Bond
5.250% due 05/16/2013	EUR	1,050		1,559
Sumitomo Mitsui Banking Corp.
0.950% due 06/02/2049	JPY	100,000		940
1.464% due 12/31/2049		100,000		930
4.375% due 10/27/2014	EUR	3,500		5,319
Telefonos de Mexico SAB de C.V.
8.750% due 01/31/2016	MXN	138,600		12,696
Unitymedia Hessen GmbH & Co. KG
7.723% due 04/15/2013	EUR	2,825		4,237
UPC Broadband Holding BV
6.467% due 12/31/2014		6,456		9,243
UPC Holding BV
7.750% due 01/15/2014		2,300		3,223
Uruguay Government International Bond
3.700% due 06/26/2037 (d)	UYU	22,740		1,072
5.000% due 09/14/2018 (d)		31,737		1,833
6.875% due 01/19/2016	EUR	13,000		20,468
Veolia Environnement
4.875% due 05/28/2013		3,460		5,212
Virgin Media Finance PLC
8.750% due 04/15/2014		2,300		3,322
Wind Acquisition Finance S.A.
9.750% due 12/01/2015		2,300		3,635
Total Foreign Currency-Denominated Issues (Cost $383,203)				404,625
SHORT-TERM INSTRUMENTS 4.9%
Certificates of Deposit 0.1%
Barclays Bank PLC
5.470% due 08/10/2009	$	1,600		1,592
Unicredito Italiano NY
3.071% due 05/15/2009		1,400		1,400
				2,992
Commercial Paper 2.0%
Federal Home Loan Bank
2.000% due 07/01/2008		10,000		10,000
Westpac Trust Securities NZ Ltd.
2.770% due 09/18/2008		35,950		35,727
				45,727
Repurchase Agreements 0.0%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		274		274
(Dated 06/30/2008. Collateralized by Freddie Mac 0.000% due 09/26/2008 valued at $283. Repurchase proceeds are $274.)
U.S. Treasury Bills 2.8%
1.808% due 08/28/2008 - 09/25/2008 (c)(e)		66,000		65,656
Total Short-Term Instruments (Cost $114,757)				114,649
Purchased Options (i) 0.5% (Cost $10,168)				11,683
Total Investments 110.3% (Cost $2,655,114)			$	2,600,389
Written Options (j) (0.0%) (Premiums $1,532)				(894	)
Other Assets and Liabilities (Net) (10.3%)				(243,541	)
Net Assets 100.0%			$	2,355,954

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 $65,656 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $14,095 at a weighted average interest rate of 2.655%. On June 30, 2008, there were no open reverse repurchase agreements.

(g) Cash of $9,925 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar December Futures	Long	12/2009	2,080	$	(1,160	)
90-Day Eurodollar September Futures	Long	09/2008	121		(22	)
Euro-Bund 10-Year Bond September Futures	Long	09/2008	168		(317	)
U.S. Treasury 5-Year Note September Futures	Short	09/2008	97		(10	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2008	356		(242	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	1,892		(2,607	)
				$	(4,358	)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Alcoa, Inc. 5.550% due 02/01/2017	Buy	(0.560	%)	03/20/2017	BOA	$	5,000	$	194
American General Finance Corp. 6.900% due 12/15/2017	Buy	(1.370	%)	12/20/2017	MLP		2,500		328
American General Finance Corp. 6.900% due 12/15/2017	Buy	(1.300	%)	12/20/2017	RBS		2,500		338
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.950	%	03/20/2013	BCLY		2,800		(23	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.950	%	03/20/2013	DUB		2,700		(22	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.950	%	03/20/2013	LEH		2,700		(22	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.975	%	03/20/2013	RBS		5,400		(38	)
Argentina Government International Bond 8.280% due 12/31/2033	Buy	(0.940	%)	08/20/2008	BCLY		2,000		1
Argentina Government International Bond 8.280% due 12/31/2033	Sell	2.540	%	08/20/2011	BCLY		4,000		(341	)
Argentina Government International Bond 8.280% due 12/31/2033	Buy	(3.700	%)	08/20/2016	BCLY		2,000		298
Bank of America Corp. 7.400% due 01/15/2011	Sell	0.160	%	06/20/2011	UBS		12,000		(345	)
Bank of America Corp. 7.400% due 01/15/2011	Sell	0.170	%	06/20/2011	LEH		4,200		(121	)
Bear Stearns Cos., Inc. 6.400% due 10/02/2017	Buy	(1.500	%)	12/20/2017	RBS		5,000		(164	)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	08/20/2011	BCLY		1,800		35
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011	BCLY		1,800		36
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.960	%	01/20/2012	LEH		4,500		21
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.510	%	08/20/2016	LEH		3,500		42
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.470	%	02/20/2017	MSC		700		6
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.780	%	08/20/2017	LEH		10,000		292
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.470	%	09/20/2017	LEH		1,000		5
Celestica, Inc. 7.875% due 07/01/2011	Sell	2.850	%	09/20/2011	BCLY		2,100		(72	)
CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016	JPM		1,500		(171	)
CenturyTel, Inc. 6.000% due 04/01/2017	Buy	(0.595	%)	06/20/2017	BOA		5,000		423
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.000	%	06/20/2012	CSFB		3,700		(120	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.710	%	09/20/2012	CSFB		5,650		(54	)
Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.163	%	06/20/2011	MSC		12,000		(462	)
Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.170	%	06/20/2011	LEH		7,300		(280	)
Codere Finance S.A. 8.250% due 06/15/2015	Sell	3.920	%	12/20/2012	GSC	EUR	1,700		(178	)
Codere Finance S.A. 8.250% due 06/15/2015	Sell	4.150	%	12/20/2012	JPM		1,500		(138	)
Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.070	%	01/20/2012	UBS	$	1,000		(3	)
Con-way, Inc. 7.250% due 01/15/2018	Buy	(1.834	%)	03/20/2018	BOA		5,000		119
CSX Corp. 5.600% due 05/01/2017	Buy	(0.880	%)	06/20/2017	UBS		5,000		308
Cytec Industries, Inc. 6.000% due 10/01/2015	Buy	(1.000	%)	12/20/2015	DUB		1,000		(4	)
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS		48,100		45
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	6.000	%	09/20/2012	CITI		4,000		(736	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	6.000	%	09/20/2012	JPM		4,000		(736	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	6.000	%	09/20/2012	MLP		4,000		(736	)
France Telecom S.A. 7.250% due 01/28/2013	Sell	0.325	%	09/20/2011	WAC	EUR	3,900		(106	)
France Telecom S.A. 7.250% due 01/28/2013	Sell	0.330	%	09/20/2011	UBS		3,900		(106	)
Freeport-McMoRan Copper & Gold, Inc. 8.375% due 04/01/2017	Sell	0.890	%	06/20/2012	MSC	$	5,950		(106	)
Freeport-McMoRan Copper & Gold, Inc. 8.375% due 04/01/2017	Sell	0.910	%	06/20/2012	BOA		1,800		(31	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.070	%	12/20/2012	DUB		3,540		(70	)
General Motors Corp. 7.125% due 07/15/2013	Sell	6.700	%	12/20/2012	MLP		1,300		(352	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.480	%	06/20/2009	BEAR		4,000		(490	)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	06/20/2009	MLP		3,000		(116	)
GMAC LLC 6.875% due 08/28/2012	Sell	5.400	%	09/20/2012	GSC		9,000		(2390	)
GMAC LLC 6.875% due 08/28/2012	Sell	6.550	%	09/20/2012	BEAR		4,700		(1138	)
GMAC LLC 6.875% due 08/28/2012	Sell	7.000	%	09/20/2012	GSC		4,200		(978	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.235	%	06/20/2012	MSC		4,000		(158	)
HCP, Inc. 6.700% due 01/30/2018	Buy	(1.227	%)	03/20/2018	BOA		5,000		325
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011	LEH		5,500		(175	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011	RBS		5,000		(159	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.520	%	12/20/2011	LEH		3,000		(83	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011	RBS		3,000		(82	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.385	%	09/20/2016	RBS		700		(35	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	12/20/2016	BCLY		3,000		(170	)
International Lease Finance Corp. 6.625% due 11/15/2013	Buy	(1.540	%)	12/20/2013	BCLY		2,000		116
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.540	%)	12/20/2017	DUB		4,000		146
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.500	%)	12/20/2017	BNP		1,000		39
JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.210	%	06/20/2011	UBS		12,000		(243	)
JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.220	%	06/20/2011	LEH		5,600		(115	)
Knight, Inc. 6.500% due 09/01/2012	Buy	(1.530	%)	03/20/2011	DUB		4,000		(34	)
Kohl’s Corp. 6.250% due 12/15/2007	Buy	(0.786	%)	12/20/2017	BOA		5,000		210
Korea Development Bank 5.750% due 09/10/2013	Buy	(0.940	%)	03/20/2013	MSC		2,700		47
Kraft Foods, Inc. 6.500% due 08/11/2017	Buy	(0.590	%)	09/20/2017	DUB		2,000		78
Kroger Co. 7.000% due 05/01/2018	Buy	(0.550	%)	06/20/2018	JPM		5,000		87
Ltd. Brands, Inc. 6.125% due 12/01/2012	Buy	(2.410	%)	09/20/2017	GSC		2,000		52
Marks & Spencer PLC 6.250% due 12/01/2017	Buy	(0.950	%)	12/20/2017	RBS		5,000		464
Masco Corp. 6.125% due 10/03/2016	Buy	(0.915	%)	12/20/2016	CSFB		5,000		453
McKesson Corp. 5.700% due 03/01/2017	Buy	(0.380	%)	03/20/2017	BOA		5,000		129
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.585	%)	06/20/2012	MSC		4,000		219
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.750	%	04/20/2011	LEH		9,200		4
Mexico Government International Bond 7.500% due 04/08/2033	Sell	2.050	%	09/20/2013	GSC		210		10
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016	JPM		650		(13	)
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.695	%	01/20/2017	UBS		500		(20	)
Mexico Government International Bond 11.500% due 05/15/2026	Sell	1.280	%	02/20/2009	MSC		900		11
Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.070	%	09/20/2013	MSC		530		25
Mexico Government International Bond 11.500% due 05/15/2026	Sell	2.170	%	09/20/2013	MSC		120		6
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.210	%)	06/20/2015	BOA		100		4
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.200	%)	06/20/2015	BOA		200		8
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.040	%)	06/20/2015	BCLY		500		25
Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008	HSBC		7,900		11
Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008	CSFB		11,000		16
Multiple Reference Entities of Gazprom	Sell	1.380	%	12/20/2008	MSC		33,800		87
Multiple Reference Entities of Gazprom	Sell	1.490	%	09/20/2017	DUB		5,000		(311	)
Nalco Co. 7.750% due 11/15/2011	Sell	2.850	%	12/20/2012	LEH		1,800		(86	)
Peru Government International Bond 8.750% due 11/21/2033	Sell	1.960	%	10/20/2016	MSC		600		22
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.880	%	04/20/2011	BCLY		11,500		11
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.200	%	04/20/2016	BCLY		3,900		(60	)
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.000	%	09/20/2017	DUB		5,000		(173	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	1.920	%	09/20/2012	BCLY		2,500		(47	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.260	%	06/20/2013	UBS		3,800		(37	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.440	%	09/20/2017	MSC		300		(13	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.500	%	09/20/2017	DUB		4,500		(178	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.510	%	09/20/2017	BCLY		1,000		(39	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.530	%	09/20/2017	BCLY		1,000		(37	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	1.770	%	12/20/2017	CITI		5,200		(473	)
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.500	%	03/20/2012	LEH		500		(51	)
RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	2.000	%	10/20/2012	MSC		3,000		(64	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	1.650	%	07/20/2011	BCLY		3,900		(34	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	1.870	%	10/20/2012	CSFB		1,400		(32	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	3.150	%	08/19/2013	JPM		200		21
Russia Government International Bond 7.500% due 03/31/2030	Sell	3.000	%	09/04/2013	GSC		810		78
Russia Government International Bond 7.500% due 03/31/2030	Sell	2.950	%	09/05/2013	GSC		350		33
Russia Government International Bond 7.500% due 03/31/2030	Sell	2.750	%	09/17/2013	GSC		200		17
Russia Government International Bond 7.500% due 03/31/2030	Sell	2.310	%	01/21/2014	MLP		4,500		306
SLM Corp. 5.125% due 08/27/2012	Sell	0.820	%	06/20/2012	BOA		4,500		(582	)
Sprint Nextel Corp. 6.000% due 12/01/2016	Buy	(1.125	%)	12/20/2016	BEAR		5,000		518
Station Casinos, Inc. 6.000% due 04/01/2012	Sell	5.000	%	06/20/2013	MLP		3,350		(203	)
Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.520	%	09/20/2011	UBS	EUR	3,900		(128	)
Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.525	%	09/20/2011	WAC		3,900		(127	)
Telefonos de Mexico S.A. de C.V. 4.500% due 11/19/2008	Buy	(0.550	%)	04/20/2011	LEH	$	9,200		62
Tesoro Corp. 6.250% due 11/01/2012	Buy	(2.950	%)	12/20/2012	BOA		190		3
Textron Financial Corp. floating rate based on 3-Month USD-LIBOR plus 0.100% due 01/11/2010	Buy	(0.090	%)	03/20/2010	MSC		15,000		104
Time Warner, Inc. 5.875% due 11/15/2016	Buy	(0.830	%)	12/20/2016	JPM		5,000		205
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.500	%	01/20/2012	MLP		2,000		(102	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.450	%	02/20/2012	JPM		5,000		(280	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.590	%	04/20/2012	MSC		11,700		(670	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.380	%	05/20/2012	MSC		5,400		(367	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.400	%	05/20/2012	LEH		3,000		(202	)
Uruguay Government International Bond 7.875% due 01/15/2033	Sell	1.050	%	01/20/2012	DUB		3,000		(11	)
Viacom, Inc. 6.250% due 04/30/2016	Buy	(0.900	%)	06/20/2016	MSC		5,000		193
Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008	BCLY		3,100		(11	)
Wachovia Corp. 5.625% due 12/15/2008	Sell	0.160	%	06/20/2011	BNP		17,200		(1047	)
Yum! Brands, Inc. 6.250% due 03/15/2018	Buy	(0.820	%)	03/20/2018	DUB		5,000		149
								$	(10,516	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	16,000	$	1,247
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	BCLY		4,000		25
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	CSFB		1,000		(1	)
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	DUB		6,500		(29	)
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	GSC		4,000		(2	)
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	JPM		1,000		(8	)
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	LEH		43,400		56
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	MSC		1,000		(7	)
Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012	CITI		8,943		(299	)
Dow Jones CDX N.A. HY10 Index	Sell	2.360	%	06/20/2011	MLP		2,000		(67	)
Dow Jones CDX N.A. HY10 Index	Sell	5.000	%	06/20/2013	BCLY		21,400		170
Dow Jones CDX N.A. HY10 Index	Sell	5.000	%	06/20/2013	CSFB		17,000		129
Dow Jones CDX N.A. HY10 Index	Sell	5.000	%	06/20/2013	JPM		6,400		55
Dow Jones CDX N.A. HY10 Index	Sell	5.000	%	06/20/2013	RBS		17,000		178
Dow Jones CDX N.A. IG4 Index	Sell	0.650	%	06/20/2015	LEH		1,500		(43	)
Dow Jones CDX N.A. IG5 Index	Sell	0.450	%	12/20/2010	GSC		15,000		(347	)
Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	06/20/2011	DUB		17,000		(589	)
Dow Jones CDX N.A. IG6 Index	Sell	0.400	%	06/20/2011	MSC		1,000		(33	)
Dow Jones CDX N.A. IG9 Index	Sell	0.695	%	12/20/2012	GSC		1,100		8
Dow Jones CDX N.A. IG9 Index	Sell	0.701	%	12/20/2012	DUB		5,300		39
Dow Jones CDX N.A. IG9 Index	Sell	0.705	%	12/20/2012	GSC		1,800		14
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB		1,800		14
Dow Jones CDX N.A. IG9 Index	Sell	0.710	%	12/20/2012	DUB		900		7
Dow Jones CDX N.A. IG9 Index	Sell	0.720	%	12/20/2012	GSC		14,000		97
Dow Jones CDX N.A. IG9 Index	Sell	0.720	%	12/20/2012	MSC		1,000		7
Dow Jones CDX N.A. IG9 Index	Sell	1.120	%	12/20/2012	JPM		4,800		30
Dow Jones CDX N.A. IG9 Index	Sell	1.160	%	12/20/2012	DUB		12,300		98
Dow Jones CDX N.A. IG9 Index	Sell	1.180	%	12/20/2012	DUB		7,400		65
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		33,400		124
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		3,900		13
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	JPM		22,200		254
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		44,800		136
Dow Jones iTraxx Europe 4 Index	Sell	0.350	%	12/20/2010	MSC	EUR	43,600		(836	)
Dow Jones iTraxx Europe 5 Index	Sell	0.400	%	06/20/2011	MSC		2,500		(68	)
Dow Jones iTraxx Europe 7X0V Index	Sell	2.300	%	06/20/2012	DUB		3,000		(394	)
Dow Jones iTraxx Europe 7X0V Index	Sell	2.300	%	06/20/2012	LEH		26,000		(3,352	)
Dow Jones iTraxx Europe X05 Index	Sell	2.900	%	06/20/2011	DUB		4,900		(231	)
Dow Jones iTraxx Europe X05 Index	Sell	2.900	%	06/20/2011	JPM		6,975		(335	)
Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045	CITI	$	9,000		(6,855	)
Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046	CITI		9,500		(7,966	)
Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046	GSC		9,000		(7,553	)
Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046	UBS		9,500		(7,955	)
								$	(34,204	)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA	$	84,000	$	(379	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		98,700		(730	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		34,100		(258	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MSC		128,300		(883	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		166,300		(747	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		1,600		8
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BCLY		34,200		(514	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	GSC		41,700		(290	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		73,000		(524	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MSC		1,900		(13	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		5,200		(125	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		34,100		(560	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	JPM		7,200		(222	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		5,600		(97	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		9,600		(186	)
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.990	%	11/09/2010	CITI	ZAR	196,650		(1,298	)
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.990	%	11/09/2010	HSBC		173,050		(1,177	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.973	%	12/15/2011	JPM	EUR	23,000		(1,224	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.976	%	12/15/2011	GSC		56,400		(3,000	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	BCLY		8,000		(469	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM		1,100		(64	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.965	%	03/15/2012	LEH		3,000		(155	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		6,000		(330	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS		2,500		(120	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.950	%	03/30/2012	RBS		2,500		(122	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		3,200		(189	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		14,800		(906	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	DUB	AUD	41,000		(885	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	JPM		6,800		(159	)
Pay	6-Month Australian Bank Bill	7.250	%	06/15/2013	CSFB		26,800		(611	)
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2011	MSC	EUR	11,700		794
Pay	6-Month EUR-LIBOR	4.000	%	09/19/2017	BCLY		4,100		(203	)
Pay	6-Month JPY-LIBOR	2.000	%	12/20/2016	DUB	JPY	2,140,000		116
Pay	6-Month PLN-LIBOR	5.248	%	04/20/2017	CITI	PLN	15,260		(599	)
								$	(16,121	)

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

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	$	399
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		11,000		461		757
Call - OTC U.S. dollar versus Japanese yen		101.250	12/08/2010		87,000		4,565		4,689
Put - OTC U.S. dollar versus Japanese yen		101.250	12/08/2010		87,000		4,680		5,838
						$	10,168	$	11,683

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	778	$	738	$	290
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	98		63		31
Put - CBOT U.S. Treasury 10-Year Note September Futures		113.000	08/22/2008	680		731		573
					$	1,532	$	894

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

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Merna Reinsurance Ltd.	3.451	%	07/07/2010	09/21/2007	$	9,926	$	9,357	0.40	%

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	6.000	%	07/01/2038	$	128,500	$	129,780	$	129,644
Freddie Mac	5.000	%	07/01/2023		9,000		8,868		8,889
U.S. Treasury Bonds	4.750	%	02/15/2037		2,000		2,005		2,113
U.S. Treasury Notes	3.250	%	12/31/2009		77,200		77,715		78,329
U.S. Treasury Notes	3.625	%	12/31/2012		5,900		6,014		6,002
						$	224,382	$	224,977

⁽³⁾ Market value includes $212 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	1,544	07/2008	$	0	$	(11	)	$	(11	)
Buy	BRL	95,602	07/2008		2,756		0			2,756
Sell		95,602	07/2008		0		(5,830	)		(5,830	)
Buy		20,353	12/2008		198		0			198
Sell		177,473	12/2008		0		(8,517	)		(8,517	)
Sell	CAD	6,060	08/2008		49		0			49
Buy	CLP	2,512,709	07/2008		0		(282	)		(282	)
Sell		2,512,709	07/2008		583		0			583
Buy		2,433,405	12/2008		0		(437	)		(437	)
Sell		3,683,215	12/2008		361		0			361
Buy		2,512,709	05/2009		0		(580	)		(580	)
Buy	CNY	264,403	07/2008		1,598		0			1,598
Sell		264,403	07/2008		0		(736	)		(736	)
Buy		315,516	10/2008		779		0			779
Sell		315,516	10/2008		0		(635	)		(635	)
Buy		222,880	11/2008		349		0			349
Sell	COP	11,650,228	12/2008		137		0			137
Buy	CZK	8,181	12/2008		86		0			86
Sell	EUR	168,033	07/2008		0		(2,708	)		(2,708	)
Sell	GBP	37,169	08/2008		0		(409	)		(409	)
Buy	HKD	310	07/2008		0		0			0
Buy	HUF	2,137	07/2008		1		0			1
Sell		2,137	07/2008		0		0			0
Buy		2,137	11/2008		1		0			1
Buy	IDR	255,005,000	10/2008		240		0			240
Buy	ILS	888	11/2008		38		0			38
Sell	JPY	2,900,341	07/2008		0		(453	)		(453	)
Buy	KRW	14,567,748	08/2008		0		(2,095	)		(2,095	)
Sell		14,567,748	08/2008		718		0			718
Buy	MXN	573,405	07/2008		2,201		0			2,201
Sell		573,405	07/2008		0		(3,551	)		(3,551	)
Buy		6,300	11/2008		0		0			0
Sell		336,541	11/2008		0		(371	)		(371	)
Buy	MYR	113,169	08/2008		19		(493	)		(474	)
Buy	PHP	1,361,841	08/2008		0		(3,347	)		(3,347	)
Buy	PLN	34,750	07/2008		3,319		0			3,319
Sell		34,750	07/2008		0		(1,742	)		(1,742	)
Buy		238	11/2008		2		0			2
Sell		3,829	11/2008		0		(41	)		(41	)
Buy		6,176	05/2009		84		0			84
Sell	RON	50,756	01/2009		0		(2,193	)		(2,193	)
Buy	RUB	632,712	07/2008		1,765		0			1,765
Sell		632,712	07/2008		0		(713	)		(713	)
Buy		747,118	11/2008		1,593		0			1,593
Buy		495,277	05/2009		394		0			394
Buy	SGD	38,427	08/2008		1,103		0			1,103
Buy		8,863	11/2008		165		0			165
Buy	SKK	10,523	07/2008		81		0			81
Sell		10,523	07/2008		0		(9	)		(9	)
Buy		10,523	01/2009		9		0			9
Buy	TRY	824	12/2008		0		(10	)		(10	)
Buy	ZAR	125,208	07/2008		0		(1,974	)		(1,974	)
Sell		125,208	07/2008		162		(355	)		(193	)
Buy		96,862	12/2008		343		0			343
Sell		87,366	12/2008		118		0			118
				$	19,252	$	(37,492	)	$	(18,240	)

(n) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0		$	2,584,155		$	16,234		$	2,600,389
Other Financial Instruments++		(4,358	)		(297,919	)		(6,821	)		(309,098	)
Total	$	(4,358	)	$	2,286,236		$	9,413		$	2,291,291

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)			Total Realized and Unrealized Gains/ (losses)			Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	14,390		$	1,403	$	(2	)	$	443		$	0	$	16,234
Other Financial Instruments++		(2,940	)		0		0			(3,881	)		0		(6,821	)
Total	$	11,450		$	1,403	$	(2	)	$	(3,438	)	$	0	$	9,413

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

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

See Accompanying Notes

Schedule of Investments

Emerging Local Bond Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BRAZIL 14.3%
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012	BRL	373,512	$	202,855
10.000% due 01/01/2017		151,590		74,021
Brazilian Government International CPI Linked Bond
9.892% due 05/15/2017		3,500		3,457
ISA Capital do Brasil S.A.
7.875% due 01/30/2012	$	200		207
Total Brazil (Cost $261,606)				280,540
CANADA 0.3%
General Motors Nova Scotia Finance Co.
6.850% due 10/15/2008	$	6,200		6,014
Total Canada (Cost $6,178)				6,014
COLOMBIA 2.4%
Colombia Government International Bond
11.750% due 03/01/2010	COP	1,000		1
12.000% due 10/22/2015		70,076,000		35,336
Santa Fe de Bogota DC
9.750% due 07/26/2028		31,200,000		11,993
Total Colombia (Cost $57,540)				47,330
CZECH REPUBLIC 8.4%
Czech Republic Government Bond
2.550% due 10/18/2010	CZK	385,000		24,190
3.700% due 06/16/2013		272,400		16,996
3.750% due 09/12/2020		36,000		2,050
3.800% due 04/11/2015		298,910		18,360
4.700% due 09/12/2022		70,000		4,311
6.400% due 04/14/2010		1,448,000		98,258
Total Czech Republic (Cost $130,746)				164,165
EGYPT 1.4%
Egypt Government Bond
8.750% due 07/18/2012	EGP	60,000		11,235
Petroleum Export Ltd.
4.623% due 06/15/2010	$	2,533		2,517
4.633% due 06/15/2010		400		398
5.265% due 06/15/2011		4,810		4,796
Petroleum Export Ltd. II
6.340% due 06/20/2011		8,907		8,944
Total Egypt (Cost $26,863)				27,890
HUNGARY 4.2%
Hungary Government Bond
5.500% due 02/12/2014	HUF	9,868,240		55,600
5.500% due 02/12/2016		4,701,000		25,634
Total Hungary (Cost $74,706)				81,234
MALAYSIA 0.1%
Malaysia Government International Bond
4.240% due 02/07/2018	MYR	9,000		2,632
Total Malaysia (Cost $2,948)				2,632
MEXICO 5.9%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	87,700		6,970
9.000% due 01/15/2016		35,000		3,240
Mexican Bonos
7.250% due 12/15/2016		297,300		25,568
7.500% due 06/03/2027		29,000		2,359
7.750% due 12/14/2017		4,200		370
8.000% due 12/17/2015		773,730		70,594
	Shares
Mexico Government International Bond Warrants
0.000% due 10/09/2008		5,300	$	16
	Principal Amount (000s)
Pemex Project Funding Master Trust
4.513% due 10/15/2009	$	2,000		2,022
Telefonos de Mexico SAB de C.V.
4.750% due 01/27/2010		1,000		1,007
8.750% due 01/31/2016	MXN	35,000		3,206
Vitro SAB de C.V.
8.625% due 02/01/2012	$	100		91
9.125% due 02/01/2017		50		40
Total Mexico (Cost $120,005)				115,483
NETHERLANDS 0.9%
Rabobank Nederland NV
2.471% due 02/01/2010	$	10,000		9,978
3.119% due 05/19/2010		6,700		6,692
Total Netherlands (Cost $16,629)				16,670
NEW ZEALAND 0.1%
ANZ National International Ltd.
2.820% due 04/14/2010	$	2,660		2,640
Total New Zealand (Cost $2,642)				2,640
PERU 1.5%
Peru Government International Bond
7.840% due 08/12/2020	PEN	4,750		1,714
9.910% due 05/05/2015		70,634		28,131
Total Peru (Cost $30,261)				29,845
POLAND 6.4%
Poland Government International Bond
4.250% due 05/24/2011	PLN	320		140
4.750% due 04/25/2012		109,290		47,781
5.750% due 03/24/2010		101,580		46,766
5.750% due 09/23/2022		69,092		30,016
Total Poland (Cost $100,937)				124,703
QATAR 0.2%
Qatar Petroleum
5.579% due 05/30/2011	$	3,533		3,609
Total Qatar (Cost $3,569)				3,609
RUSSIA 2.3%
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009	$	19,000		20,450
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013		1,060		1,051
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.875% due 11/29/2010		1,000		1,014
VTB Capital S.A.
3.384% due 08/01/2008		23,100		22,991
Total Russia (Cost $45,600)				45,506
SLOVAKIA 0.2%
Slovakia Government Bond
4.800% due 04/14/2009	SKK	40,000	$	2,082
4.900% due 02/11/2014		47,000		2,435
Total Slovakia (Cost $3,887)				4,517
SOUTH AFRICA 0.6%
South Africa Government International Bond
7.500% due 01/15/2014	ZAR	68,080		7,510
8.000% due 12/21/2018		25,000		2,666
10.000% due 02/28/2009		10,000		1,256
Total South Africa (Cost $14,071)				11,432
SOUTH KOREA 0.1%
Korea Development Bank
3.218% due 10/20/2009	$	1,000		1,001
Total South Korea (Cost $1,001)				1,001
SWITZERLAND 0.3%
UBS AG
2.910% due 07/23/2009	$	5,700		5,635
Total Switzerland (Cost $5,688)				5,635
THAILAND 7.9%
Bank of Thailand
0.000% due 06/18/2009	THB	1,545,850		44,435
3.700% due 01/24/2011		29,620		859
Thailand Government Bond
4.250% due 03/13/2013		2,698,825		76,499
5.125% due 03/13/2018		1,062,730		29,594
5.400% due 07/27/2016		88,300		2,556
Total Thailand (Cost $168,907)				153,943
TURKEY 4.7%
Turkey Government Bond
0.000% due 08/13/2008	TRY	630		505
0.000% due 11/26/2008		11,160		8,500
14.000% due 01/19/2011		115,813		80,634
15.000% due 02/10/2010		1,055		788
16.000% due 03/07/2012		2,900		2,056
Total Turkey (Cost $92,798)				92,483
UKRAINE 0.4%
Ukraine Government International Bond
6.391% due 08/05/2009	$	7,900		8,019
Total Ukraine (Cost $8,021)				8,019
UNITED KINGDOM 0.6%
AstraZeneca PLC
2.991% due 09/11/2009	$	4,400		4,406
Bank of Scotland PLC
2.756% due 07/17/2009		600		600
Barclays Bank PLC
7.700% due 04/29/2049		5,850		5,981
Total United Kingdom (Cost $10,839)				10,987
UNITED STATES 21.9%
Asset-Backed Securities 2.0%
Capital Auto Receivables Asset Trust
3.391% due 03/15/2011	$	1,100		1,104
3.921% due 10/15/2012		1,100		1,111
Chase Issuance Trust
2.511% due 10/15/2012		700		692
3.227% due 08/17/2015		1,600		1,584
Citigroup Mortgage Loan Trust, Inc.
2.522% due 12/25/2036		1,587		1,505
3.382% due 07/25/2037		2,833		2,589
Countrywide Asset-Backed Certificates
2.532% due 03/25/2037		1,177		1,150
2.532% due 05/25/2037		159		153
2.582% due 05/25/2047		594		568
2.582% due 09/25/2047		2,782		2,718
Credit-Based Asset Servicing & Securitization LLC
2.602% due 07/25/2037		158		146
Daimler Chrysler Auto Trust
3.378% due 07/08/2011		2,000		2,009
First Franklin Mortgage Loan Asset-Backed Certificates
2.532% due 11/25/2036		311		299
Ford Credit Auto Owner Trust
3.891% due 06/15/2012		9,300		9,396
Indymac Residential Asset-Backed Trust
2.562% due 07/25/2037		1,548		1,524
JPMorgan Mortgage Acquisition Corp.
2.542% due 05/25/2037		1,420		1,359
Long Beach Mortgage Loan Trust
2.542% due 12/25/2036		108		102
MASTR Asset-Backed Securities Trust
2.542% due 11/25/2036		2,263		2,212
2.562% due 05/25/2037		1,981		1,911
MBNA Credit Card Master Note Trust
2.511% due 11/15/2012		400		396
MBNA Master Credit Card Trust
2.631% due 08/15/2014		1,000		981
Merrill Lynch Mortgage Investors, Inc.
2.552% due 08/25/2036		165		160
Morgan Stanley ABS Capital I
2.542% due 05/25/2037		4,496		4,385
Morgan Stanley Mortgage Loan Trust
5.750% due 11/25/2036		459		398
Soundview Home Equity Loan Trust
3.282% due 10/25/2037		125		121
South Carolina Student Loan Corp.
3.207% due 09/02/2014		400		400
3.257% due 03/01/2018		500		500
				39,473
Corporate Bonds & Notes 18.2%
Allied Waste North America, Inc.
6.500% due 11/15/2010		100		100
Allstate Life Global Funding II
3.328% due 05/21/2010		5,000		4,971
American Express Credit Corp.
3.882% due 05/27/2010		12,100		12,007
American Honda Finance Corp.
2.784% due 02/09/2010		1,500		1,499
American International Group, Inc.
2.952% due 01/29/2010		2,400		2,395
Anadarko Petroleum Corp.
3.176% due 09/15/2009		4,000		3,955
AT&T, Inc.
2.888% due 11/14/2008		1,000		1,000
Bank of America Corp.
2.855% due 08/13/2010		8,000		7,894
2.921% due 09/25/2009		1,000		996
8.000% due 12/29/2049		10,000		9,392
8.125% due 12/29/2049		6,900		6,531
Bank of America N.A.
3.056% due 06/15/2016		12,000		10,862
Bear Stearns Cos., Inc.
2.768% due 08/21/2009		100		99
2.839% due 05/18/2010		1,900		1,855
2.891% due 03/30/2009		2,000		1,983
2.947% due 09/09/2009		200		198
5.300% due 10/30/2015		300		282
6.400% due 10/02/2017		4,000		3,965
6.950% due 08/10/2012		1,000		1,041
7.250% due 02/01/2018		400		419
Caterpillar Financial Services Corp.
2.779% due 05/18/2009		1,100		1,097
2.785% due 08/20/2010		600		594
CIT Group, Inc.
2.787% due 06/08/2009		2,000		1,850
Citigroup Funding, Inc.
2.862% due 03/02/2009		1,000		992
3.820% due 05/07/2010		12,000		11,912
Citigroup, Inc.
2.831% due 12/28/2009		8,000		7,806
5.500% due 04/11/2013		5,800		5,669
8.400% due 04/29/2049		7,350		6,996
Comcast Corp.
3.010% due 07/14/2009		2,900		2,878
ConocoPhillips Australia Funding Co.
2.810% due 04/09/2009		4,000		4,003
Countrywide Financial Corp.
2.868% due 01/05/2009		200		196
Countrywide Home Loans, Inc.
5.305% due 11/24/2008	EUR	950		1,466
5.625% due 07/15/2009	$	300		293
6.250% due 04/15/2009		1,200		1,182
Credit Suisse USA, Inc.
2.757% due 06/05/2009		600		598
2.775% due 11/20/2009		800		791
Dominion Resources, Inc.
3.864% due 06/17/2010		900		901
Entergy Gulf States, Inc.
3.427% due 12/08/2008		700		700
Ford Motor Co.
7.250% due 10/01/2008		10,000		9,875
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		1,900		1,868
5.700% due 01/15/2010		10,150		8,664
7.375% due 10/28/2009		1,500		1,367
7.875% due 06/15/2010		400		345
General Electric Capital Corp.
2.896% due 12/15/2009		1,200		1,196
2.997% due 04/28/2011		6,500		6,444
GlaxoSmithKline Capital, Inc.
3.310% due 05/13/2010		9,600		9,631
GMAC LLC
3.926% due 05/15/2009		1,940		1,825
3.951% due 09/23/2008		1,000		985
5.625% due 05/15/2009		8,650		8,011
5.850% due 01/14/2009		4,680		4,445
Goldman Sachs Group, Inc.
2.891% due 12/22/2008		1,000		976
3.101% due 06/28/2010		8,000		7,782
Hewlett-Packard Co.
3.081% due 09/03/2009		1,095		1,091
HJ Heinz Co.
6.428% due 12/01/2020		900		908
HSBC Finance Corp.
2.866% due 03/12/2010		1,000		972
2.966% due 05/10/2010		1,500		1,470
3.000% due 11/16/2009		900		888
John Deere Capital Corp.
2.789% due 07/16/2010		100		99
3.434% due 01/18/2011		4,000		3,998
3.536% due 06/10/2011		5,100		5,098
JPMorgan Chase & Co.
2.498% due 05/07/2010		740		734
2.886% due 01/17/2011		8,000		7,871
2.929% due 06/25/2012		9,600		9,361
2.981% due 10/02/2009		1,000		999
KeyBank N.A.
4.682% due 06/02/2010		3,500		3,489
Kraft Foods, Inc.
3.216% due 08/11/2010		3,000		2,946
Lehman Brothers Holdings, Inc.
2.778% due 05/25/2010		11,400		10,566
2.998% due 10/22/2008		5,000		4,982
Merrill Lynch & Co., Inc.
4.966% due 05/12/2010		9,300		9,157
Metropolitan Life Global Funding I
2.759% due 05/17/2010		4,000		3,947
MGM Mirage
6.000% due 10/01/2009		400		395
Morgan Stanley
2.803% due 01/15/2010		2,000		1,935
2.870% due 05/07/2010		6,000		5,797
4.778% due 05/14/2010		16,100		16,046
Oracle Corp.
2.738% due 05/14/2010		3,000		2,986
Pemex Project Funding Master Trust
4.076% due 06/15/2010		37,019		37,131
Pricoa Global Funding I
2.957% due 07/27/2009		750		745
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		4,000		4,010
Qwest Corp.
5.625% due 11/15/2008		4,500		4,511
Reynolds American, Inc.
3.476% due 06/15/2011		9,600		9,121
SLM Corp.
2.976% due 03/15/2011		250		215
3.060% due 07/27/2009		200		188
3.080% due 07/26/2010		2,300		2,042
3.150% due 10/25/2011		300		257
5.158% due 12/15/2010	EUR	200		271
Ventas Realty LP
8.750% due 05/01/2009	$	5,758		5,902
Wachovia Bank N.A.
2.640% due 08/10/2009		2,000		1,972
3.619% due 05/14/2010		3,980		3,962
Wachovia Corp.
2.843% due 10/15/2011		1,000		951
7.980% due 12/31/2049		2,400		2,211
Walt Disney Co.
2.796% due 09/10/2009		400		400
Wells Fargo & Co.
3.342% due 01/29/2010		1,000		999
				355,405
Mortgage-Backed Securities 1.0%
American Home Mortgage Assets Trust
4.448% due 11/25/2046		3,350		2,476
Banc of America Funding Corp.
5.756% due 03/20/2036		549		501
BCAP LLC Trust
2.652% due 01/25/2037		1,584		1,014
Bear Stearns Adjustable Rate Mortgage Trust
5.733% due 02/25/2036		567		472
Bear Stearns Alt-A Trust
5.512% due 08/25/2036		700		400
Citimortgage Alternative Loan Trust
6.000% due 06/25/2037		681		660
Downey Savings & Loan Association Mortgage Loan Trust
5.973% due 07/19/2044		1,263		1,088
GSR Mortgage Loan Trust
5.347% due 11/25/2035		519		491
Harborview Mortgage Loan Trust
2.982% due 02/19/2034		1,817		1,489
Homebanc Mortgage Trust
5.800% due 04/25/2037		581		457
JPMorgan Alternative Loan Trust
5.500% due 11/25/2036		2,804		2,499
MASTR Adjustable Rate Mortgages Trust
2.782% due 05/25/2047		800		397
MASTR Alternative Loans Trust
2.882% due 03/25/2036		224		159
MASTR Asset Securitization Trust
5.500% due 09/25/2033		2,007		1,901
Residential Accredit Loans, Inc.
5.714% due 02/25/2036		467		379
Residential Asset Securitization Trust
2.882% due 01/25/2046		522		369
Structured Adjustable Rate Mortgage Loan Trust
6.000% due 03/25/2036		494		366
WaMu Mortgage Pass-Through Certificates
6.222% due 12/19/2039		1,859		1,774
Wells Fargo Mortgage-Backed Securities Trust
2.982% due 07/25/2037		745		644
4.018% due 12/25/2034		1,741		1,719
				19,255
U.S. Government Agencies 0.7%
Fannie Mae
5.178% due 07/01/2035		526		524
5.500% due 12/01/2036 - 02/01/2038		6,771		6,686
Freddie Mac
5.000% due 05/01/2023		6,975		6,899
				14,109
Total United States (Cost $430,051)				428,242
URUGUAY 0.3%
Uruguay Government International Bond
5.000% due 09/14/2018 (b)	UYU	107,389		6,201
Total Uruguay (Cost $5,063)				6,201
SHORT-TERM INSTRUMENTS 12.5%
Certificates of Deposit 0.7%
Barclays Bank PLC
5.470% due 08/10/2009	$	4,630		4,607
Unicredito Italiano NY
3.071% due 05/15/2009		9,300		9,300
				13,907
Commercial Paper 9.6%
CBA (de) Finance
2.740% due 09/24/2008		18,400		18,276
Danske Corp.
2.720% due 08/01/2008		21,800		21,749
Federal Home Loan Bank
2.000% due 07/01/2008		25,600		25,600
Nordea N.A., Inc.
2.770% due 09/29/2008		39,600		39,314
Royal Bank of Scotland Group PLC
2.750% due 09/24/2008		10,000		9,932
Societe General N.A.
2.740% due 09/10/2008		6,800		6,763
UBS Finance Delaware LLC
2.625% due 09/02/2008		45,700		45,481
Westpac Banking Corp.
2.700% due 09/18/2008		21,300		21,168
				188,283
Repurchase Agreements 0.0%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		670		670
(Dated 06/30/2008. Collateralized by Fannie Mae 0.000% due 10/31/2008 valued at $684. Repurchase proceeds are $670.)
U.S. Treasury Bills 2.2%
1.886% due 08/28/2008 - 09/25/2008 (a)(c)		43,000		42,754
Total Short-Term Instruments (Cost $245,731)				245,614
Total Investments 97.9% (Cost $1,866,287)			$	1,916,335
Written Options (e) (0.0%) (Premiums $1,328)				(730	)
Other Assets and Liabilities (Net) 2.1%				42,071
Net Assets 100.0%			$	1,957,676

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 $39,024 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

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

Asset Swaps

Counterparty	Pay Floating Rate	Underlying Asset	Receive	Notional Amount		Unrealized Appreciation/ (Depreciation)
BCLY	6-Month USD-LIBOR	Indonesia Government International Bond 11.000% due 12/15/2012	Cash Flow from Underlying Asset	$	8,017	$	(985)
BCLY	6-Month USD-LIBOR	Indonesia Government International Bond 11.000% due 10/15/2014	Cash Flow from Underlying Asset		67,470		(9,723)
BCLY	6-Month USD-LIBOR	Malaysian Government International Bond 3.756% due 04/28/2011	Cash Flow from Underlying Asset		36,140		2,023
CITI	6-Month USD-LIBOR	Malaysian Government International Bond 4.262% due 09/15/2016	Cash Flow from Underlying Asset		30,052		(1,152)
DUB	6-Month USD-LIBOR	Indonesia Government International Bond 10.000% due 07/15/2017	Cash Flow from Underlying Asset		4,066		(584)
						$	(10,421)

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Receive	3-Month HKD-LIBOR	3.270	%	04/22/2013	CITI	HKD	55,470	$	254
Receive	3-Month HKD-LIBOR	3.305	%	04/24/2013	CITI		129,430		571
Receive	3-Month HKD-LIBOR	3.470	%	05/06/2013	CITI		92,000		321
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	GSC	$	11,600		215
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		11,500		(33)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	LEH		1,700		(1)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		12,300		166
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		1,400		8
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.990	%	11/09/2010	CITI	ZAR	130,449		(900)
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.990	%	11/09/2010	HSBC		130,450		(900)
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.990	%	11/09/2010	MSC		416,700		(2,587)
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.155	%	10/19/2014	BCLY		650,100		(8,036)
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.155	%	10/19/2014	HSBC		172,000		(2,640)
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	11.105	%	06/11/2015	JPM		144,500		(551)
Pay	6-Month CZK-LIBOR	3.400	%	01/03/2012	BCLY	CZK	69,550		(197)
Pay	6-Month CZK-LIBOR	3.340	%	01/10/2012	CITI		156,120		(438)
Pay	6-Month CZK-LIBOR	3.340	%	02/23/2012	BCLY		40,000		(115)
Pay	6-Month CZK-LIBOR	4.270	%	03/11/2015	BCLY		895,000		(1,329)
Receive	6-Month Hungarian Forint Bank Bill	7.900	%	03/12/2018	CITI	HUF	1,807,850		271
Receive	6-Month Hungarian Forint Bank Bill	7.900	%	03/18/2018	MSC		993,850		108
Pay	6-Month PLN-LIBOR	6.100	%	01/11/2010	BCLY	PLN	259,400		(1,393)
Pay	6-Month PLN-LIBOR	6.100	%	01/11/2010	JPM		3,800		(20)
Receive	6-Month SGD-LIBOR	2.590	%	04/24/2013	CITI	SGD	8,710		319
Receive	6-Month SGD-LIBOR	2.630	%	04/29/2013	CITI		17,390		629
Receive	6-Month SGD-LIBOR	2.695	%	05/06/2013	JPM		9,000		304
Receive	6-Month SGD-LIBOR	2.915	%	05/16/2013	HSBC		28,800		778
Pay	6-Month SKK-Bratislava Interbank Bid Offered Rates	4.150	%	01/03/2012	BCLY	SKK	15,550		(20)
Pay	6-Month SKK-Bratislava Interbank Bid Offered Rates	4.160	%	01/10/2012	CITI		63,000		(87)
Pay	6-Month SKK-Bratislava Interbank Bid Offered Rates	4.180	%	03/02/2012	BCLY		223,000		(321)
Pay	6-Month SKK-Bratislava Interbank Bid Offered Rates	4.580	%	07/31/2012	BCLY		920		1
Pay	6-Month SKK-Bratislava Interbank Bid Offered Rates	4.100	%	03/14/2015	BCLY		412,000		(955)
Pay	28-Day Mexico Interbank TIIE Banxico	7.910	%	05/14/2009	MSC	MXN	2,382,000		(2,402)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170	%	11/04/2016	CITI		110,600		(1,076)
Pay	BRL-CDI-Compounded	12.000	%	01/02/2009	UBS	BRL	314,000		(864)
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MSC		150,000		(2,177)
Pay	BRL-CDI-Compounded	14.225	%	01/04/2010	MSC		52,400		(156)
Pay	BRL-CDI-Compounded	10.680	%	01/02/2012	BCLY		28,700		(1,589)
								$	(24,842)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	1,054	$	610	$	393
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	1,054		718		337
					$	1,328	$	730

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value (1)
Freddie Mac	5.000	%	07/01/2023	$	7,000	$	6,897	$	6,914
U.S. Treasury Notes	2.500	%	03/31/2013		5,400		5,202		5,253
						$	12,099	$	12,167

⁽¹⁾ Market value includes $39 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	AED	15,134	04/2009	$	0	$	(38)	$	(38)
Sell	ARS	154,131	08/2008		37		(1,698)		(1,661)
Buy	BRL	275,476	07/2008		8,709		0		8,709
Sell		275,476	07/2008		0		(20,616)		(20,616)
Buy		64,435	12/2008		1,965		(19)		1,946
Sell		234,789	12/2008		0		(4,518)		(4,518)
Buy	CLP	18,782,347	07/2008		0		(2,930)		(2,930)
Sell		18,782,347	07/2008		2,918		0		2,918
Buy		28,170,821	12/2008		0		(4,529)		(4,529)
Sell		18,269,118	12/2008		4,637		0		4,637
Buy		2,822,400	03/2009		0		(477)		(477)
Buy		169,708	05/2009		0		(39)		(39)
Buy		1,581,269	11/2010		74		0		74
Buy	CNY	41,475	07/2008		333		0		333
Sell		41,475	07/2008		0		(239)		(239)
Buy		5,637	10/2008		3		0		3
Sell		5,637	10/2008		0		(2)		(2)
Buy		7,337	03/2009		0		(35)		(35)
Buy		113,964	05/2009		225		0		225
Buy	COP	64,634,919	12/2008		21		(2,734)		(2,713)
Sell		148,647,182	12/2008		639		(2,766)		(2,127)
Buy	CZK	830,865	07/2008		4,046		0		4,046
Sell		830,865	07/2008		0		(3,932)		(3,932)
Buy		927,359	12/2008		5,036		0		5,036
Sell		814,457	12/2008		0		(2,605)		(2,605)
Buy		19,735	05/2009		69		0		69
Sell	EUR	1,350	07/2008		0		(26)		(26)
Sell	GBP	2,268	08/2008		0		(25)		(25)
Buy	HKD	136,111	07/2008		0		(43)		(43)
Buy	HUF	11,817,095	07/2008		11,134		0		11,134
Sell		11,817,095	07/2008		0		(7,450)		(7,450)
Buy		4,346,945	11/2008		989		0		989
Sell		74,079	11/2008		0		(20)		(20)
Buy		427,830	12/2008		124		0		124
Sell		837,631	12/2008		0		(219)		(219)
Buy	IDR	301,101,829	10/2008		291		(43)		248
Sell		19,821,084	10/2008		0		(10)		(10)
Buy	ILS	9,985	07/2008		0		(99)		(99)
Sell		9,985	07/2008		0		(112)		(112)
Buy		11,218	11/2008		19		(7)		12
Sell		63,078	11/2008		100		(822)		(722)
Buy	INR	23,178	08/2008		0		(41)		(41)
Sell		21,325	11/2008		14		0		14
Buy	KWD	1,186	04/2009		0		(47)		(47)
Buy	MXN	1,021,964	07/2008		5,969		0		5,969
Sell		1,021,964	07/2008		0		(3,280)		(3,280)
Buy		789,630	11/2008		582		(39)		543
Buy		28,737	05/2009		2		0		2
Buy	MYR	424,613	08/2008		2,307		(1,019)		1,288
Sell		52,565	08/2008		20		(129)		(109)
Buy		69,607	11/2008		0		(472)		(472)
Buy	PEN	51,319	07/2008		0		(1,268)		(1,268)
Sell		51,319	07/2008		1,409		0		1,409
Sell		18,627	01/2009		213		0		213
Buy	PHP	2,383,755	08/2008		13		(4,174)		(4,161)
Sell		1,481,110	08/2008		1,273		0		1,273
Buy	PLN	291,665	07/2008		18,567		0		18,567
Sell		291,665	07/2008		0		(7,863)		(7,863)
Buy		229,681	11/2008		2,565		0		2,565
Buy		27,754	05/2009		280		0		280
Buy	RON	2,182	11/2008		113		0		113
Sell		140,324	11/2008		0		(4,033)		(4,033)
Sell		6,570	01/2009		38		(42)		(4)
Buy	RUB	1,042,253	07/2008		3,099		0		3,099
Sell		1,042,253	07/2008		0		(908)		(908)
Buy		1,477,037	11/2008		2,205		0		2,205
Sell		338,947	11/2008		0		(246)		(246)
Buy		742,486	05/2009		631		0		631
Buy	SAR	15,472	04/2009		0		(42)		(42)
Buy	SGD	41,005	08/2008		767		0		767
Sell		2,758	08/2008		0		(17)		(17)
Buy		39,274	11/2008		338		0		338
Buy	SKK	1,041,760	07/2008		7,282		0		7,282
Sell		1,041,760	07/2008		0		(3,663)		(3,663)
Buy		337,993	10/2008		1,535		0		1,535
Buy		280,972	01/2009		249		0		249
Buy	THB	95,241	07/2008		8		0		8
Buy	TRY	174,833	12/2008		4,152		(181)		3,971
Sell		58,009	12/2008		428		(749)		(321)
Buy	TWD	543,634	09/2008		26		(434)		(408)
Buy	ZAR	1,173,052	07/2008		2,703		(5,230)		(2,527)
Sell		1,173,052	07/2008		1,757		(5,168)		(3,411)
Buy		1,743,076	12/2008		5,932		(75)		5,857
				$	105,846	$	(95,173)	$	10,673

(h) Fair Value Measurements ⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	1,907,375	$	8,960	$	1,916,335
Other Financial Instruments++		0		(36,296)		(1,152)		(37,448)
Total	$	0	$	1,871,079	$	7,808	$	1,878,887

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

	Beginning balance at 03/31/2008		Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/ (losses)		Net transfers in/(out) of Level 3		Ending balance at 06/30/2008
Investments, at value	$	0	$	8,895	$	5	$	60	$	0	$	8,960
Other Financial Instruments++		(6,538)		0		0		(5,906)		11,292		(1,152)
Total	$	(6,538)	$	8,895	$	5	$	(5,846)	$	11,292	$	7,808

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

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

See Accompanying Notes

Schedule of Investments

Emerging Markets Bond Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARGENTINA 1.7%
Argentina Bonos
3.092% due 08/03/2012	$	101,330	$	53,850
Total Argentina (Cost $58,108)				53,850
BERMUDA 0.2%
BW Group Ltd.
6.625% due 06/28/2017	$	5,730		5,960
Total Bermuda (Cost $5,701)				5,960
BRAZIL 13.7%
Brazil Notas do Tesouro Nacional Series B
9.892% due 05/15/2045	BRL	6,000		5,919
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012		166,828		90,554
10.000% due 01/01/2017		122,425		59,801
Brazilian Government International Bond
7.875% due 03/07/2015	$	3,709		4,163
8.250% due 01/20/2034		34,680		42,726
8.750% due 02/04/2025		17,175		21,537
8.875% due 10/14/2019		11,076		13,895
8.875% due 04/15/2024		19,685		25,070
10.125% due 05/15/2027		36,100		51,442
10.250% due 01/10/2028	BRL	4,600		2,439
10.500% due 07/14/2014	$	874		1,108
12.500% due 01/05/2016	BRL	2,000		1,247
12.750% due 01/15/2020	$	3,750		5,859
Brazilian Government International CPI Linked Bond
9.892% due 05/15/2017	BRL	6,600		6,518
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		9,483
CSN Islands VII Corp.
10.750% due 09/12/2008		9,975		10,075
CSN Islands VIII Corp.
9.750% due 12/16/2013		8,000		9,160
Embraer Overseas Ltd.
6.375% due 01/24/2017		3,800		3,714
GTL Trade Finance, Inc.
7.250% due 10/20/2017		34,200		34,450
ISA Capital do Brasil S.A.
7.875% due 01/30/2012		3,350		3,476
8.800% due 01/30/2017		3,600		3,753
Petrobras International Finance Co.
5.875% due 03/01/2018		13,100		12,680
Vale Overseas Ltd.
6.250% due 01/11/2016		4,700		4,618
6.250% due 01/23/2017		6,200		6,038
6.875% due 11/21/2036		14,440		13,510
8.250% due 01/17/2034		750		817
Total Brazil (Cost $394,501)				446,212
CHILE 0.9%
AES Gener S.A.
7.500% due 03/25/2014	$	1,000		1,074
Banco Santander Chile
5.375% due 12/09/2014		3,000		3,050
CODELCO, Inc.
5.625% due 09/21/2035		6,800		6,051
6.150% due 10/24/2036		8,200		7,898
Empresa Nacional de Electricidad S.A.
8.350% due 08/01/2013		5,800		6,426
Enersis S.A.
7.375% due 01/15/2014		1,098		1,168
7.400% due 12/01/2016		1,850		1,985
Total Chile (Cost $28,348)				27,652
CHINA 0.6%
Citic Resources Finance Ltd.
6.750% due 05/15/2014	$	3,200		2,996
Export-Import Bank of China
5.250% due 07/29/2014		9,958		9,956
Sino-Forest Corp.
9.125% due 08/17/2011		5,700		5,793
Total China (Cost $19,042)				18,745
COLOMBIA 4.4%
Colombia Government International Bond
7.375% due 01/27/2017	$	33,600		36,507
7.375% due 09/18/2037		17,440		18,704
8.250% due 12/22/2014		32,030		36,594
9.850% due 06/28/2027	COP	600,000		246
10.375% due 01/28/2033	$	1,850		2,701
10.750% due 01/15/2013		25,535		31,025
11.750% due 02/25/2020		3,047		4,433
12.000% due 10/22/2015	COP	25,375,000		12,796
Total Colombia (Cost $142,060)				143,006
EGYPT 0.5%
Petroleum Export Ltd.
5.265% due 06/15/2011	$	5,916		5,881
Petroleum Export Ltd. II
6.340% due 06/20/2011		10,635		10,680
Total Egypt (Cost $16,318)				16,561
EL SALVADOR 0.4%
AES El Salvador Trust
6.750% due 02/01/2016	$	10,260		9,272
El Salvador Government International Bond
8.500% due 07/25/2011		4,515		4,831
Total El Salvador (Cost $14,876)				14,103
GUATEMALA 0.3%
Guatemala Government Bond
9.250% due 08/01/2013	$	7,581		8,680
10.250% due 11/08/2011		771		883
Total Guatemala (Cost $9,435)				9,563
INDIA 0.5%
ICICI Bank Ltd.
5.750% due 01/12/2012	$	8,300		7,847
NTPC Ltd.
5.875% due 03/02/2016		2,736		2,593
Vedanta Resources PLC
6.625% due 02/22/2010		6,060		6,045
Total India (Cost $16,945)				16,485
INDONESIA 1.8%
Indonesia Government International Bond
6.875% due 03/09/2017	$	21,000		20,057
Majapahit Holding BV
7.250% due 10/17/2011		8,105		7,902
7.250% due 06/28/2017		10,600		9,488
7.750% due 10/17/2016		950		911
7.875% due 06/29/2037		23,600		20,178
Total Indonesia (Cost $64,164)				58,536
KAZAKHSTAN 0.9%
Intergas Finance BV
6.375% due 05/14/2017	$	9,100		8,122
6.875% due 11/04/2011		2,980		2,947
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		19,311		18,605
Total Kazakhstan (Cost $31,193)				29,674
MALAYSIA 1.0%
Petroliam Nasional Bhd.
7.625% due 10/15/2026	$	16,850		20,191
7.750% due 08/15/2015		1,690		1,953
Petronas Capital Ltd.
7.875% due 05/22/2022		3,000		3,653
TNB Capital L Ltd.
5.250% due 05/05/2015		8,300		8,061
Total Malaysia (Cost $33,927)				33,858
MEXICO 6.2%
America Movil SAB de C.V.
5.500% due 03/01/2014	$	14,481		14,322
5.625% due 11/15/2017		8,400		8,140
5.750% due 01/15/2015		11,700		11,643
8.460% due 12/18/2036	MXN	10,900		866
C5 Capital SPV Ltd.
6.196% due 12/01/2049		2,100		2,034
6.196% due 12/31/2049		4,835		4,707
C8 Capital SPV Ltd.
6.640% due 12/29/2049		10,000		9,380
6.640% due 12/31/2049		5,800		5,394
C10 Capital SPV Ltd.
6.722% due 12/18/2049	$	1,000		929
6.722% due 12/31/2049		8,500		7,831
Cablemas S.A. de C.V.
9.375% due 11/15/2015		3,000		3,285
Desarrolladora Homex SAB de C.V.
7.500% due 09/28/2015		5,576		5,632
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		1,350		1,350
Kansas City Southern de Mexico S.A. de C.V.
7.375% due 06/01/2014		1,000		975
9.375% due 05/01/2012		3,850		4,023
Mexican Bonos
7.250% due 12/15/2016	MXN	321,400		27,641
	Shares
Mexico Government International Bond Warrants
0.000% due 10/09/2008		10,200		31
	Principal Amount (000s)
Mexico Government International Bond
6.750% due 09/27/2034	$	25,360		26,970
7.500% due 04/08/2033		24,685		28,511
8.000% due 09/24/2022		16,880		20,585
Pemex Finance Ltd.
9.030% due 02/15/2011		33		35
Pemex Project Funding Master Trust
4.513% due 10/15/2009		2,000		2,022
6.625% due 06/15/2035		8,500		8,446
6.625% due 06/15/2038		2,100		2,161
9.375% due 12/02/2008		253		259
Telefonos de Mexico SAB de C.V.
5.500% due 01/27/2015		1,000		979
8.750% due 01/31/2016	MXN	10,000		916
Vitro SAB de C.V.
8.625% due 02/01/2012	$	1,765		1,610
9.125% due 02/01/2017		1,950		1,555
Total Mexico (Cost $203,859)				202,232
PANAMA 3.1%
AES Panama S.A.
6.350% due 12/21/2016	$	8,780		8,839
Panama Government International Bond
6.700% due 01/26/2036		16,008		16,328
7.125% due 01/29/2026		22,425		23,770
7.250% due 03/15/2015		120		130
8.875% due 09/30/2027		8,350		10,521
9.375% due 04/01/2029		31,728		41,643
Total Panama (Cost $100,997)				101,231
PERU 0.6%
Peru Government International Bond
6.550% due 03/14/2037	$	2,075		2,106
8.375% due 05/03/2016		3,312		3,855
8.750% due 11/21/2033		4,795		6,186
Southern Copper Corp.
6.375% due 07/27/2015		1,000		998
7.500% due 07/27/2035		6,500		6,410
Total Peru (Cost $18,526)				19,555
PHILIPPINES 0.8%
Philippine Government International Bond
6.375% due 01/15/2032	$	2,400		2,178
7.750% due 01/14/2031		10,000		10,412
8.250% due 01/15/2014		600		645
8.375% due 02/15/2011		3,800		4,047
8.875% due 03/17/2015		1,700		1,893
9.875% due 01/15/2019		3,120		3,807
10.625% due 03/16/2025		2,400		3,162
Total Philippines (Cost $27,859)				26,144
QATAR 0.4%
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009	$	265		265
Ras Laffan Liquefied Natural Gas Co. Ltd. II
5.298% due 09/30/2020		8,850		8,280
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.832% due 09/30/2016		1,000		973
5.838% due 09/30/2027		470		399
6.332% due 09/30/2027		3,250		3,019
Total Qatar (Cost $13,012)				12,936
RUSSIA 17.3%
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013	$	174,310		193,318
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		900		969
Gaz Capital S.A.
5.875% due 06/01/2015	EUR	7,550		10,615
6.212% due 11/22/2016	$	27,200		25,395
6.510% due 03/07/2022		36,300		32,548
7.288% due 08/16/2037		26,400		24,231
8.625% due 04/28/2034		33,630		36,573
Gazinvest Luxembourg S.A. for Gazprombank
7.250% due 10/30/2008		6,100		6,159
Gazprom International S.A.
7.201% due 02/01/2020		25,469		25,459
GPB Eurobond Finance PLC for Gazprombank
6.500% due 09/23/2015		5,200		4,761
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		3,500		3,548
8.375% due 10/14/2010		1,000		1,029
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.299% due 05/15/2017		16,160		14,950
7.175% due 05/16/2013		6,400		6,424
Russia Government International Bond
7.500% due 03/31/2030		56,703		63,712
8.250% due 03/31/2010		4,356		4,549
11.000% due 07/24/2018		2,700		3,793
12.750% due 06/24/2028		13,275		23,681
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		1,000		1,030
TNK-BP Finance S.A.
6.125% due 03/20/2012		3,900		3,695
6.625% due 03/20/2017		31,000		27,512
6.875% due 07/18/2011		4,000		3,950
7.500% due 07/18/2016		11,850		11,275
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		8,700		8,731
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		2,000		1,962
8.375% due 10/22/2011		450		457
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,000		988
VTB Capital S.A.
4.484% due 11/02/2009		1,000		1,001
6.609% due 10/31/2012		11,300		11,031
7.500% due 10/12/2011		3,000		3,056
VTB Europe Finance BV
3.528% due 10/06/2009		5,000		4,903
Total Russia (Cost $576,863)				561,305
SOUTH AFRICA 1.4%
South Africa Government International Bond
5.250% due 05/16/2013	EUR	12,160		18,053
5.875% due 05/30/2022	$	5,690		5,295
6.500% due 06/02/2014		14,500		14,953
7.375% due 04/25/2012		5,580		5,901
Total South Africa (Cost $40,820)				44,202
SOUTH KOREA 0.1%
Korea Development Bank
5.300% due 01/17/2013	$	2,800		2,783
Total South Korea (Cost $2,796)				2,783
SWITZERLAND 0.5%
Credit Suisse New York, Inc.
5.000% due 05/15/2013	$	2,100		2,047
UBS AG
5.750% due 04/25/2018		5,300		5,074
5.875% due 12/20/2017		8,880		8,666
Total Switzerland (Cost $16,233)				15,787
TRINIDAD AND TOBAGO 0.3%
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022	$	10,100		9,671
Total Trinidad And Tobago (Cost $10,060)				9,671
TUNISIA 0.8%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	5,500		7,175
4.750% due 04/07/2011		450		684
7.375% due 04/25/2012	$	16,022		17,023
8.250% due 09/19/2027		1,680		1,941
Total Tunisia (Cost $25,994)				26,823
UKRAINE 2.3%
Colvis Finance Ltd.
8.000% due 02/02/2009	$	6,700		6,739
Ukraine Government International Bond
4.950% due 10/13/2015	EUR	1,700		2,148
6.385% due 06/26/2012	$	2,550		2,440
6.391% due 08/05/2009		18,350		18,625
6.580% due 11/21/2016		350		309
6.875% due 03/04/2011		30,850		30,403
7.650% due 06/11/2013		13,985		13,635
Total Ukraine (Cost $75,901)				74,299
UNITED KINGDOM 0.6%
Barclays Bank PLC
7.434% due 09/29/2049	$	1,000		940
7.700% due 04/29/2049		11,250		11,503
HBOS PLC
6.750% due 05/21/2018		7,500		7,193
Total United Kingdom (Cost $19,654)				19,636
UNITED STATES 29.0%
Asset-Backed Securities 0.7%
CSAB Mortgage-Backed Trust
5.720% due 09/25/2036	$	600		492
6.172% due 06/25/2036		800		667
Daimler Chrysler Auto Trust
3.378% due 07/08/2011		2,000		2,009
Ford Credit Auto Owner Trust
3.891% due 06/15/2012		17,800		17,984
MBNA Master Credit Card Trust
2.631% due 08/15/2014		1,000		981
Morgan Stanley Mortgage Loan Trust
2.842% due 04/25/2037		800		467
5.726% due 10/25/2036		500		406
6.000% due 07/25/2047		518		445
				23,451
Corporate Bonds & Notes 8.8%
American International Group, Inc.
2.844% due 10/18/2011		10,000		9,353
8.175% due 05/15/2058		15,300		14,453
Bank of America Corp.
8.000% due 12/29/2049		27,400		25,735
8.125% due 12/29/2049		13,700		12,967
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		20,000		20,821
Citigroup Capital XXI
8.300% due 12/21/2057		13,540		12,843
Citigroup, Inc.
5.500% due 04/11/2013		11,900		11,631
6.125% due 11/21/2017		13,000		12,516
8.400% due 04/29/2049		16,550		15,753
General Electric Capital Corp.
5.875% due 01/14/2038		21,100		19,211
Goldman Sachs Group, Inc.
5.950% due 01/18/2018		8,000		7,704
6.150% due 04/01/2018		4,850		4,721
6.750% due 10/01/2037		21,125		19,406
John Deere Capital Corp.
3.536% due 06/10/2011		9,700		9,697
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		18,950		18,092
Morgan Stanley
2.984% due 01/18/2011		5,000		4,755
5.950% due 12/28/2017		26,100		23,769
6.000% due 04/28/2015		19,000		18,217
Pemex Project Funding Master Trust
3.281% due 12/03/2012		1,200		1,178
Wachovia Bank N.A.
3.619% due 05/14/2010		13,230		13,169
Wachovia Corp.
5.500% due 05/01/2013		4,400		4,217
Wells Fargo Capital XIII
7.700% due 12/29/2049		4,300		4,280
				284,488
Mortgage-Backed Securities 1.5%
Adjustable Rate Mortgage Trust
5.376% due 11/25/2035		786		727
Banc of America Funding Corp.
5.357% due 11/20/2035		643		600
5.888% due 04/25/2037		700		536
Bear Stearns Adjustable Rate Mortgage Trust
5.733% due 02/25/2036		486		405
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		2,370		2,243
Countrywide Alternative Loan Trust
2.642% due 02/25/2047		1,477		1,039
2.652% due 01/25/2037		600		352
2.662% due 02/20/2047		1,470		1,034
2.662% due 05/25/2047		4,277		2,998
2.674% due 12/20/2046		2,276		1,597
2.732% due 09/25/2046		700		238
2.992% due 11/20/2035		500		291
4.528% due 02/25/2036		935		713
5.750% due 03/25/2037		500		416
6.250% due 11/25/2036		619		546
Countrywide Home Loan Mortgage Pass-Through Trust
2.712% due 05/25/2035		329		250
2.832% due 02/25/2036		570		350
5.454% due 02/25/2047		531		395
5.555% due 04/20/2036		499		467
5.650% due 03/25/2037		510		376
Credit Suisse Mortgage Capital Certificates
5.863% due 02/25/2037		500		384
CS First Boston Mortgage Securities Corp.
5.050% due 06/25/2033		1,702		1,652
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 01/25/2047		1,236		1,153
2.562% due 02/25/2037		1,588		1,495
2.562% due 03/25/2037		1,688		1,616
5.000% due 10/25/2018		604		573
5.500% due 12/25/2035		700		574
5.582% due 10/25/2035		495		429
5.869% due 10/25/2036		500		363
5.886% due 10/25/2036		500		358
6.300% due 07/25/2036		700		576
Harborview Mortgage Loan Trust
2.722% due 03/19/2037		7,181		5,067
Homebanc Mortgage Trust
5.913% due 04/25/2037		600		358
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		1,546		1,445
Indymac INDA Mortgage Loan Trust
5.936% due 08/25/2036		600		470
Indymac Index Mortgage Loan Trust
2.782% due 06/25/2037		519		301
5.511% due 10/25/2035		562		453
5.987% due 06/25/2036		600		478
JPMorgan Mortgage Trust
4.881% due 04/25/2035		595		566
5.379% due 08/25/2035		600		569
5.403% due 11/25/2035		821		785
MASTR Alternative Loans Trust
2.882% due 03/25/2036		336		239
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		4,828		3,883
Nomura Asset Acceptance Corp.
5.820% due 03/25/2047		500		417
Residential Accredit Loans, Inc.
2.752% due 05/25/2046		1,000		371
2.782% due 08/25/2035		450		349
2.882% due 10/25/2045		458		356
Residential Asset Securitization Trust
2.882% due 01/25/2046		745		527
Structured Adjustable Rate Mortgage Loan Trust
5.246% due 05/25/2036		1,200		1,043
5.377% due 11/25/2035		504		428
5.431% due 09/25/2036		600		494
6.000% due 10/25/2037		535		400
Structured Asset Mortgage Investments, Inc.
2.702% due 05/25/2036		4,078		2,861
TBW Mortgage-Backed Pass-Through Certificates
2.592% due 01/25/2037		2,629		2,521
5.970% due 09/25/2036		600		439
WaMu Mortgage Pass-Through Certificates
4.229% due 03/25/2034		706		692
				50,258
U.S. Government Agencies 17.7%
Fannie Mae
5.000% due 05/01/2037 - 07/01/2038		98,629		94,553
5.500% due 12/01/2033 - 02/01/2038		262,452		259,075
6.000% due 10/01/2035 - 05/01/2038		181,325		183,194
Freddie Mac
5.000% due 05/01/2023		12,954		12,812
5.418% due 12/01/2035		511		513
5.500% due 09/01/2037 - 04/01/2038		25,285		24,937
				575,084
U.S. Treasury Obligations 0.3%
U.S. Treasury Notes
3.500% due 05/31/2013		9,800		9,883
Total United States (Cost $957,274)				943,164
URUGUAY 0.9%
Uruguay Government International Bond
3.700% due 06/26/2037 (b)	UYU	58,222		2,744
5.000% due 09/14/2018 (b)		81,104		4,683
8.000% due 11/18/2022	$	16,397		17,587
9.250% due 05/17/2017		3,900		4,758
Total Uruguay (Cost $28,053)				29,772
VENEZUELA 4.7%
Petroleos de Venezuela S.A.
5.250% due 04/12/2017	$	23,360		16,294
5.375% due 04/12/2027		12,000		7,140
Venezuela Government International Bond
3.908% due 04/20/2011		36,640		32,930
5.375% due 08/07/2010		24,750		23,488
6.000% due 12/09/2020		43,700		31,508
7.000% due 12/01/2018		5,000		4,037
7.650% due 04/21/2025		4,915		3,895
9.375% due 01/13/2034		11,200		10,203
10.750% due 09/19/2013		21,925		22,857
	Shares
Venezuela Government International Bond Warrants
0.000% due 04/15/2020		3,500		130
Total Venezuela (Cost $170,783)				152,482
	Principal Amount (000s)
VIETNAM 0.1%
Vietnam Government International Bond
4.000% due 03/12/2028	$	5,000		3,595
6.875% due 01/15/2016		1,000		952
Total Vietnam (Cost $5,258)				4,547
SHORT-TERM INSTRUMENTS 6.4%
Certificates of Deposit 0.4%
Unicredito Italiano NY
3.071% due 05/15/2009	$	12,300		12,300
Commercial Paper 4.8%
Federal Home Loan Bank
2.000% due 07/01/2008		12,000		12,000
Societe General N.A.
2.860% due 08/06/2008		75,700		75,484
UBS Finance Delaware LLC
2.625% due 09/02/2008		33,900		33,737
2.645% due 09/03/2008		36,000		35,824
				157,045
Repurchase Agreements 0.1%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		4,142		4,142
(Dated 06/30/2008. Collateralized by Freddie Mac 3.375% due 04/15/2009 valued at $4,227. Repurchase proceeds are $4,142.)
U.S. Treasury Bills 1.1%
1.800% due 08/28/2008 - 09/25/2008 (a)(c)		34,750		34,585
Total Short-Term Instruments (Cost $208,127)				208,072
Total Investments 102.4% (Cost $3,336,687)			$	3,328,846
Written Options (f) (0.0%) (Premiums $789)				(432)
Other Assets and Liabilities (Net) (2.4%)				(77,349)
Net Assets 100.0%			$	3,251,065

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) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $34,585 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) Cash of $11,660 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor June Futures	Long	06/2009	91	$	(549)
90-Day Eurodollar December Futures	Long	12/2009	3,595		(3,205)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	1,271		658
U.S. Treasury 30-Year Bond September Futures	Short	09/2008	197		(158)
				$	(3,254)

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection (1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.066	%	03/20/2013	CSFB	$	16,000	$	28
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.410	%	04/20/2009	JPM		13,480		32
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	08/20/2011	BCLY		6,500		127
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011	BCLY		8,000		159
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.690	%	05/20/2012	LEH		2,000		(21)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	2.020	%	07/20/2013	LEH		870		40
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	04/20/2016	MLP		16,500		649
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.510	%	08/20/2016	LEH		14,000		169
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.080	%	05/20/2017	LEH		1,000		(24)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.030	%	07/20/2017	UBS		3,875		(98)
CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016	JPM		6,600		(755)
Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.640	%	08/20/2011	MSC		6,200		119
Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.060	%	01/20/2012	JPM		5,000		(15)
Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.070	%	01/20/2012	UBS		3,000		(8)
Colombia Government International Bond 10.375% due 01/28/2033	Sell	0.780	%	07/20/2012	BCLY		4,500		(86)
Colombia Government International Bond 10.375% due 01/28/2033	Sell	0.790	%	07/20/2012	BCLY		2,000		(37)
Colombia Government International Bond 10.375% due 01/28/2033	Sell	2.330	%	08/20/2017	LEH		9,000		288
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS		32,700		30
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	6.500	%	06/20/2009	DUB		2,900		(130)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	6.600	%	06/20/2009	GSC		3,550		(156)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	6.700	%	06/20/2009	GSC		7,850		(336)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2009	BOA		2,560		(167)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2009	GSC		3,350		(211)
General Motors Corp. 7.125% due 07/15/2013	Sell	7.650	%	06/20/2009	DUB		9,240		(647)
Goldman Sachs Group, Inc. 5.950% due 01/18/2018	Buy	(0.970	%)	03/20/2018	BNP		4,000		120
Goldman Sachs Group, Inc. 5.950% due 01/18/2018	Buy	(0.970	%)	03/20/2018	BOA		3,000		90
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.950	%	06/20/2009	CITI		1,500		(6)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.000	%	06/20/2009	BCLY		13,480		(46)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011	RBS		7,000		(193)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011	DUB		2,650		(72)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.580	%	12/20/2011	CITI		6,200		(160)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	06/20/2013	UBS		8,000		(171)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.360	%	09/20/2016	RBS		14,900		(769)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.385	%	09/20/2016	RBS		3,100		(155)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.480	%	09/20/2016	RBS		2,000		(88)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.290	%	12/20/2016	CITI		1,300		(76)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.345	%	12/20/2016	RBS		16,575		(912)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.430	%	12/20/2016	RBS		2,000		(99)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.980	%	03/20/2018	LEH		16,500		(402)
Korea Development Bank 5.750% due 09/10/2013	Buy	(0.940	%)	03/20/2013	MSC		2,800		49
Malaysia Government International Bond 7.500% due 07/15/2011	Sell	0.380	%	06/20/2009	JPM		13,480		(8)
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.695	%	01/20/2017	UBS		2,700		(107)
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.210	%)	06/20/2015	BOA		1,000		42
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.200	%)	06/20/2015	BOA		1,700		72
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.040	%)	06/20/2015	BCLY		1,900		97
Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008	HSBC		25,000		33
Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008	CSFB		20,000		30
Multiple Reference Entities of Gazprom	Sell	1.320	%	12/20/2008	MSC		46,000		104
Multiple Reference Entities of Gazprom	Sell	0.980	%	05/20/2009	MSC		1,500		2
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.500	%	04/20/2009	DUB		13,480		16
Peru Government International Bond 8.750% due 11/21/2033	Sell	1.220	%	10/20/2011	MSC		6,350		74
Peru Government International Bond 8.750% due 11/21/2033	Sell	1.090	%	11/20/2011	LEH		9,800		60
Peru Government International Bond 8.750% due 11/21/2033	Sell	1.840	%	08/20/2012	LEH		3,500		125
Peru Government International Bond 8.750% due 11/21/2033	Sell	1.920	%	03/20/2013	BCLY		5,000		183
Peru Government International Bond 8.750% due 11/21/2033	Sell	1.960	%	10/20/2016	MSC		3,000		108
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.250	%	06/20/2013	LEH		5,600		(9)
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.130	%	04/20/2016	JPM		26,250		(524)
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.220	%	04/20/2016	LEH		7,500		(106)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	1.770	%	09/20/2012	BCLY		10,510		(258)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	1.770	%	09/20/2012	MSC		1,900		(47)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	1.790	%	09/20/2012	UBS		7,960		(189)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	1.920	%	09/20/2012	BCLY		5,500		(104)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.250	%	09/20/2012	BCLY		6,500		(42)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	1.500	%	12/20/2012	MSC		20,000		(787)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	1.950	%	03/20/2013	CITI		30,000		(757)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.000	%	03/20/2013	CITI		18,550		(430)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.140	%	03/20/2013	CITI		8,000		(139)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.320	%	03/20/2013	BCLY		35,000		(350)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.340	%	03/20/2013	CITI		9,600		(88)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.340	%	03/20/2013	DUB		13,700		(126)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.380	%	03/20/2013	CITI		17,000		(128)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.300	%	06/20/2013	BCLY		7,000		(97)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.440	%	09/20/2017	MSC		6,200		(270)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.510	%	09/20/2017	BCLY		1,250		(48)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.530	%	09/20/2017	BCLY		1,250		(47)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	1.770	%	12/20/2017	CITI		24,100		(2,191)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.730	%	03/20/2018	CITI		21,300		(599)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.860	%	03/20/2018	MSC		5,000		(96)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.770	%	06/20/2018	CITI		20,800		(566)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.830	%	06/20/2018	CITI		7,000		(161)
RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	1.380	%	10/20/2011	GSC		5,000		(165)
RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	2.000	%	10/20/2012	MSC		13,000		(277)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.645	%	04/20/2009	JPM		13,480		35
Russia Government International Bond 7.500% due 03/31/2030	Sell	1.870	%	10/20/2012	CSFB		6,900		(157)
Russia Government International Bond 7.500% due 03/31/2030	Sell	2.310	%	01/21/2014	MLP		1,350		92
Russia Government International Bond 7.500% due 03/31/2030	Sell	2.550	%	03/20/2014	LEH		3,700		288
Russia Government International Bond 7.500% due 03/31/2030	Sell	2.990	%	08/24/2014	ABN		8,125		872
Tenaga Nasional Bhd. 0.650% due 06/20/2013	Sell	0.650	%	06/20/2013	JPM		1,000		(26)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.690	%	04/20/2009	HSBC		4,000		(31)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.560	%	04/20/2009	MSC		13,480		16
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.410	%	11/20/2010	MSC		15,000		(467)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.770	%	04/20/2011	MSC		10,000		(293)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.500	%	01/20/2012	MLP		2,000		(102)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.600	%	01/20/2012	MSC		2,500		(118)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.450	%	02/20/2012	JPM		6,000		(336)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.480	%	03/20/2012	UBS		6,000		(347)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.480	%	04/20/2012	CITI		750		(46)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.590	%	04/20/2012	MSC		5,000		(287)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.400	%	05/20/2012	LEH		14,000		(941)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.790	%	11/20/2012	MSC		20,000		(1,290)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.030	%	11/20/2012	MSC		5,000		(276)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.410	%	12/20/2016	LEH		3,950		(434)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.060	%	05/20/2017	LEH		5,500		(746)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.950	%	06/20/2017	UBS		2,000		(271)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.320	%	08/20/2017	CITI		5,000		(585)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.580	%	11/20/2017	MSC		20,000		(2,187)
Uruguay Government International Bond 7.875% due 01/15/2033	Sell	1.050	%	01/20/2012	DUB		12,000		(46)
Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008	BCLY		4,600		(2)
								$	(19,395)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection (2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	16,000	$	1,288
Dow Jones CDX N.A. EM9 Index	Buy	(2.650	%)	06/20/2013	LEH		5,400		24
Dow Jones CDX N.A. EM9 Index	Buy	(2.650	%)	06/20/2013	UBS		25,000		373
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	BCLY		206,805		641
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	CSFB		29,000		167
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	DUB		25,960		(24)
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	GSC		49,095		(151)
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	JPM		71,300		(471)
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	LEH		248,600		517
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	MLP		9,000		(175)
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	MSC		73,000		289
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	UBS		21,000		(26)
Dow Jones CDX N.A. IG9 Index	Sell	0.695	%	12/20/2012	GSC		4,700		35
Dow Jones CDX N.A. IG9 Index	Sell	0.701	%	12/20/2012	DUB		21,400		165
Dow Jones CDX N.A. IG9 Index	Sell	0.705	%	12/20/2012	GSC		7,200		57
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB		7,200		57
Dow Jones CDX N.A. IG9 Index	Sell	0.710	%	12/20/2012	DUB		3,600		29
Dow Jones CDX N.A. IG9 Index	Sell	0.720	%	12/20/2012	GSC		58,000		417
								$	3,212

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	676,000	$	2,225
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		4,900		(36)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		1,700		(13)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		21,700		(97)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		3,700		(4)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		79,900		(618)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		75,400		(1,209)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BCLY		27,500		(638)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		45,100		312
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		15,100		(365)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		13,400		(468)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	LEH		1,700		(49)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	RBS	GBP	5,900		(131)
Pay	6-Month PLN-LIBOR	6.000	%	06/18/2010	CITI	PLN	27,200		(248)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC	BRL	93,700		(1,000)
Pay	BRL-CDI-Compounded	13.840	%	01/04/2010	MLP		23,700		121
Pay	BRL-CDI-Compounded	10.115	%	01/02/2012	MSC		30,500		(1,384)
Pay	BRL-CDI-Compounded	10.680	%	01/02/2012	BCLY		39,800		(2,221)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	BCLY		23,000		(682)
Pay	BRL-CDI-Compounded	13.845	%	01/02/2012	UBS		4,600		(34)
								$	(6,539)

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

Options on Exchange-Traded Futures Contracts

Description	Strike Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	624	$	374	$	233
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	624		415		199
					$	789	$	432

(g) Short sales outstanding on June 30 2008:

Description	Coupon	Maturity Date	Principal Amount		Proceeds		Value (3)
Fannie Mae	5.500%	07/01/2038	$	105,000	$	104,373	$	103,507
Freddie Mac	5.000%	07/01/2023		13,000		12,809		12,840
Freddie Mac	5.500%	07/01/2038		22,000		21,729		21,673
U.S. Treasury Notes	2.500%	03/31/2013		11,050		10,644		10,750
U.S. Treasury Notes	3.625%	12/31/2012		26,900		27,419		27,364
U.S. Treasury Notes	4.250%	11/15/2014		8,000		8,271		8,412
U.S. Treasury Notes	4.250%	11/15/2017		16,000		16,138		16,468
					$	201,383	$	201,014

⁽³⁾ Market value includes $260 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	AED	18,149	04/2009	$	0	$	(46)	$	(46)
Buy	BRL	208,784	07/2008		11,258		0		11,258
Sell		208,784	07/2008		0		(11,458)		(11,458)
Buy		37,649	12/2008		366		0		366
Sell		282,760	12/2008		0		(13,358)		(13,358)
Buy	CLP	1,239,857	07/2008		0		(129)		(129)
Sell		1,239,857	07/2008		288		0		288
Buy		2,130,616	12/2008		0		(418)		(418)
Sell		3,430,800	12/2008		737		0		737
Buy		1,239,857	05/2009		0		(286)		(286)
Buy	CNY	2,018	07/2008		11		0		11
Sell		2,018	07/2008		0		(3)		(3)
Buy		115,994	10/2008		286		0		286
Sell		115,994	10/2008		0		(134)		(134)
Buy		363,559	11/2008		642		0		642
Buy	COP	16,332,362	12/2008		353		0		353
Sell		48,358,180	12/2008		1,622		0		1,622
Buy	CZK	10,334	12/2008		108		0		108
Sell	EUR	34,307	07/2008		0		(553)		(553)
Buy	HKD	388	07/2008		0		0		0
Buy	HUF	443	07/2008		0		0		0
Sell		443	07/2008		0		0		0
Buy		443	11/2008		0		0		0
Buy	IDR	458,627	10/2008		0		0		0
Buy	ILS	1,142	11/2008		49		0		49
Sell		1,142	11/2008		0		(25)		(25)
Buy	INR	9,833	08/2008		0		(19)		(19)
Sell		9,833	08/2008		18		0		18
Buy		51,062	11/2008		0		(110)		(110)
Sell		51,062	11/2008		102		0		102
Buy	KRW	6,787,171	08/2008		0		(783)		(783)
Sell		6,787,171	08/2008		346		0		346
Buy	KWD	1,353	04/2009		0		(53)		(53)
Buy	MXN	388,200	07/2008		109		0		109
Sell		388,200	07/2008		0		(2,005)		(2,005)
Buy		10,092	11/2008		0		(1)		(1)
Sell		384,347	11/2008		7		0		7
Buy	MYR	72,951	08/2008		88		(871)		(783)
Buy		38,044	11/2008		1		(460)		(459)
Buy	PHP	1,422,898	08/2008		0		(1,707)		(1,707)
Buy	PLN	8,349	07/2008		731		0		731
Sell		8,349	07/2008		0		(460)		(460)
Buy		400	11/2008		0		0		0
Sell		11,149	11/2008		0		(120)		(120)
Buy		542	05/2009		7		0		7
Buy	RUB	942,383	07/2008		2,826		0		2,826
Sell		942,383	07/2008		0		(1,014)		(1,014)
Buy		818,580	11/2008		323		0		323
Buy		107,721	05/2009		86		0		86
Buy	SAR	18,635	04/2009		0		(51)		(51)
Buy	SGD	34,655	08/2008		261		(248)		13
Buy		10,733	11/2008		163		0		163
Buy	SKK	13,221	07/2008		102		0		102
Sell		13,221	07/2008		0		(12)		(12)
Buy		13,221	01/2009		12		0		12
Buy	ZAR	143,929	07/2008		0		(1,769)		(1,769)
Sell		143,929	07/2008		138		(314)		(176)
Buy		85,529	12/2008		303		0		303
Sell		90,523	12/2008		123		0		123
				$	21,466	$	(36,407)	$	(14,941)

(i) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	3,318,135	$	10,711	$	3,328,846
Other Financial Instruments++		(3,254)		(239,011)		162		(242,103)
Total	$	(3,254)	$	3,079,124	$	10,873	$	3,086,743

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

	Beginning balance at 03/31/2008		Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/(losses)		Net transfers in/(out) of Level 3		Ending balance at 06/30/2008
Investments, at value	$	0	$	10,706	$	6	$	(1)	$	0	$	10,711
Other Financial Instruments++		(498)		0		0		660		0		162
Total	$	(498)	$	10,706	$	6	$	659	$	0	$	10,873

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

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

See Accompanying Notes

Schedule of Investments

European StocksPLUS^® TR Strategy Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 26.9%
Banking & Finance 17.7%
American International Group, Inc.
5.850% due 01/16/2018	$	100	$	94
Barclays Bank PLC
6.050% due 12/04/2017		100		98
Citigroup, Inc.
6.125% due 11/21/2017		100		96
General Electric Capital Corp.
5.875% due 01/14/2038		100		91
Merrill Lynch & Co., Inc.
2.768% due 08/14/2009		100		97
Wells Fargo Capital XIII
7.700% due 12/29/2049		100		100
				576
Industrials 3.0%
Kraft Foods, Inc.
6.125% due 02/01/2018		100		97
Utilities 6.2%
Embarq Corp.
6.738% due 06/01/2013		100		97
Progress Energy, Inc.
7.100% due 03/01/2011		100		105
				202
Total Corporate Bonds & Notes (Cost $900)				875
MUNICIPAL BONDS & NOTES 3.1%
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		100		101
Total Municipal Bonds & Notes (Cost $104)				101
U.S. GOVERNMENT AGENCIES 223.9%
Fannie Mae
3.375% due 11/25/2023 (b)		67		68
3.382% due 04/25/2032 (b)		13		13
4.000% due 08/01/2013		34		33
4.264% due 08/01/2035 (b)		48		49
4.633% due 10/01/2035 (b)		59		59
4.702% due 12/01/2034 (b)		42		43
4.719% due 10/01/2035 (b)		50		51
4.724% due 10/01/2035 (b)		44		45
4.844% due 02/01/2034 (b)		32		33
4.897% due 12/01/2035 (b)		57		57
4.994% due 06/01/2043 (b)		18		18
5.000% due 03/01/2020 - 02/25/2025 (b)		1,248		1,244
5.393% due 07/01/2032 (b)		16		17
5.424% due 05/01/2036 (b)		130		132
5.500% due 07/01/2022 - 09/01/2022		83		83
5.500% due 08/01/2022 - 06/01/2037 (b)		2,432		2,419
6.000% due 01/01/2037 - 11/01/2037 (b)		438		443
6.500% due 03/01/2037 - 04/01/2038 (b)		914		942
Freddie Mac
2.671% due 10/15/2020 (b)		25		24
3.000% due 05/15/2022 (b)		25		25
3.500% due 05/15/2022 (b)		7		7
4.000% due 06/15/2022 (b)		15		15
4.500% due 11/15/2013 - 10/15/2019 (b)		80		80
5.000% due 12/15/2015 - 12/15/2023 (b)		372		376
5.194% due 07/25/2044		23		22
5.500% due 08/15/2030 - 07/01/2038		1,000		985
Total U.S. Government Agencies (Cost $7,226)				7,283
U.S. TREASURY OBLIGATIONS 6.4%
Treasury Inflation Protected Securities (a)
2.375% due 04/15/2011		109		115
U.S. Treasury Bonds
4.375% due 02/15/2038		100		94
Total U.S. Treasury Obligations (Cost $207)				209
MORTGAGE-BACKED SECURITIES 16.0%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		57		54
Countrywide Alternative Loan Trust
2.562% due 09/20/2046		22		21
Harborview Mortgage Loan Trust
2.702% due 05/19/2035		53		40
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		12		11
Lehman XS Trust
2.562% due 07/25/2046		17		17
Structured Asset Mortgage Investments, Inc.
2.552% due 08/25/2036		70		68
WaMu Mortgage Pass-Through Certificates
2.742% due 11/25/2045		44		34
3.022% due 12/25/2027		31		29
4.508% due 06/25/2046		58		43
4.780% due 07/25/2046		63		51
5.028% due 09/25/2046		72		56
Wells Fargo Mortgage-Backed Securities Trust
4.321% due 07/25/2035		100		96
Total Mortgage-Backed Securities (Cost $596)				520
ASSET-BACKED SECURITIES 8.2%
Citigroup Mortgage Loan Trust, Inc.
2.552% due 08/25/2036		3		3
Countrywide Asset-Backed Certificates
2.532% due 12/25/2046		25		25
JPMorgan Mortgage Acquisition Corp.
2.532% due 08/25/2036		32		31
Lehman XS Trust
2.562% due 08/25/2046		20		20
Long Beach Mortgage Loan Trust
2.762% due 10/25/2034		5		4
Merrill Lynch Mortgage Investors, Inc.
2.542% due 04/25/2037		16		16
Morgan Stanley Home Equity Loans
2.532% due 12/25/2036		54		53
Residential Asset Securities Corp.
2.552% due 02/25/2037		62		59
Soundview Home Equity Loan Trust
2.532% due 10/25/2036		22		22
Structured Asset Securities Corp.
4.900% due 04/25/2035		46		35
Total Asset-Backed Securities (Cost $284)				268
SOVEREIGN ISSUES 0.6%
Banque Centrale de Tunisie
7.375% due 04/25/2012		12		13
Panama Government International Bond
9.375% due 04/01/2029		6		8
Total Sovereign Issues (Cost $21)				21
FOREIGN CURRENCY-DENOMINATED ISSUES 4.4%
Republic of Germany
4.250% due 07/04/2039	EUR	100		142
Total Foreign Currency-Denominated Issues (Cost $141)				142
		Shares
EXCHANGE-TRADED FUNDS 1.7%
DJ Euro STOXX 50 Fund		1,108		57
Total Exchange-Traded Funds (Cost $50)				57
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 26.7%
Commercial Paper 3.1%
San Paolo U.S. Financial Co.
2.800% due 09/25/2008	$	100		99
Repurchase Agreements 23.6%
Deutsche Bank AG
1.500% due 07/01/2008		600		600
(Dated 06/30/2008. Collateralized by U.S. Treasury Inflation Protected Securities 1.875% due 07/15/2013 valued at $614. Repurchase proceeds are $600.)
State Street Bank and Trust Co.
1.650% due 07/01/2008		168		168
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $175. Repurchase proceeds are $168.)
				768
Total Short-Term Instruments (Cost $867)				867
Purchased Options (e) 0.3% (Cost $19)				9
Total Investments 318.2% (Cost $10,415)			$	10,352
Written Options (f) (0.4%) (Premiums $21)				(13	)
Other Assets and Liabilities (Net) (217.8%)				(7,086	)
Net Assets 100.0%			$	3,253

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

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

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

(b) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $5,550 at a weighted average interest rate of 2.432%. On June 30, 2008, securities valued at $6,159 were pledged as collateral for reverse repurchase agreements.

(c) Cash of $220 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	2	$	(1	)
90-Day Eurodollar September Futures	Short	09/2008	4		5
90-Day Eurodollar September Futures	Long	09/2009	1		1
Euro-Bobl September Futures	Short	09/2008	1		3
Euro-Bobl September Futures Call Options Strike @ EUR 118.000	Long	09/2008	1		0
Euro-Bund 10-Year Bond September Futures	Short	09/2008	2		2
Euro-Bund 10-Year Bond September Futures Call Options Strike @ EUR 124.000	Long	09/2008	2		0
Euro-Schatz September Futures	Short	09/2008	5		5
Euro-Schatz September Futures Call Options Strike @ EUR 108.000	Long	09/2008	5		0
U.S. Treasury 2-Year Note September Futures	Short	09/2008	13		(2	)
U.S. Treasury 5-Year Note September Futures	Short	09/2008	3		0
U.S. Treasury 10-Year Note September Futures	Short	09/2008	3		(4	)
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	6		16
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	10		(11	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	1		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	1		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	2		(3	)
United Kingdom Government 10-Year Bond September Futures	Short	09/2008	1		3
				$	10

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation
Progress Energy, Inc. 7.100% due 03/01/2011	Buy	(0.100	%)	03/20/2011	MLP	$	100	$	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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	100	$	6
Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012	GSC		100		0
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	BCLY		100		3
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	GSC		100		1
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	MSC		100		2
								$	12

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	CITI	AUD	600	$	(4	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	LEH		700		(5	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	100		0
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		1,000		(8	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		200		(3	)
Pay	3-Month USD-LIBOR	5.000	%	12/17/2015	CITI		900		(7	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		500		(1	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BCLY		400		(9	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		1,300		17
Pay	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		200		4
Pay	6-Month Australian Bank Bill	7.000	%	06/15/2010	MSC	AUD	200		(4	)
Pay	6-Month Australian Bank Bill	7.500	%	06/15/2011	DUB		400		(1	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	JPM	EUR	180		(4	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	LEH		500		(12	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		120		(2	)
Pay	6-Month EUR-LIBOR	4.000	%	06/18/2010	MSC		200		(9	)
Pay	6-Month EUR-LIBOR	4.800	%	07/11/2012	CITI		300		(4	)
Receive	6-Month EUR-LIBOR	5.000	%	07/11/2037	CITI		100		(3	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	DUB	GBP	1,000		2
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBS		500		(1	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170	%	11/04/2016	MLP	MXN	100		(1	)
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MLP	BRL	200		(3	)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		600		(21	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MSC		300		(7	)
								$	(86	)

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)	Expiration Date	Counterparty	# of Shares /Units	Unrealized (Depreciation)
Receive	Fresco Dow Jones Euro STOXX 50	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	61,649	$	(144	)

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	111.000	08/22/2008	13	$	1	$	0
Call - CBOT U.S. Treasury 5-Year Note September Futures		126.000	08/22/2008	4		0		0
Call - CBOT U.S. Treasury 10-Year Note September Futures		135.000	08/22/2008	9		0		0
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	1		0		0
Put - CBOT U.S. Treasury 30-Year Bond September Futures		92.000	08/22/2008	6		0		0
					$	1	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	DUB	6-Month EUR-LIBOR	Pay	4.070	%	09/14/2009	EUR	600	$	3	$	2
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	300		4		2
Call - OTC 5-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	4.000	%	12/19/2008		100		2		1
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/03/2009		900		9		4
									$	18	$	9

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Treasury Inflation Protected Securities 4.250% due 11/15/2013	$	118.000	09/19/2008	$	300	$	0	$	0
Call - OTC U.S. Treasury Note 4.000% due 09/30/2009		103.813	10/10/2008		200		0		0
Call - OTC U.S. Treasury Note 4.000% due 09/30/2009		123.000	10/10/2008		200		0		0
Call - OTC U.S. Treasury Note 4.500% due 02/28/2011		111.000	08/15/2008		300		0		0
Call - OTC U.S. Treasury Note 5.125% due 06/30/2011		113.000	09/19/2008		500		0		0
Put - OTC Fannie Mae 5.500% due 09/01/2038		86.000	09/04/2008		100		0		0
Put - OTC Freddie Mac 5.500% due 07/01/2038		89.000	07/07/2008		500		0		0
Put - OTC Freddie Mac 5.500% due 08/01/2038		86.000	08/06/2008		900		0		0
						$	0	$	0

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	DUB	6-Month EUR-LIBOR	Receive	4.250	%	09/14/2009	EUR	200	$	3	$	2
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009	$	100		3		2
Put - OTC 5-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		200		2		2
Put - OTC 5-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		200		3		1
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	08/03/2009		400		10		6
									$	21	$	13

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(4)
Fannie Mae	5.500	%	07/01/2038	$	1,000	$	994	$	986
U.S. Treasury Bonds	4.375	%	02/15/2038		100		93		96
U.S. Treasury Notes	3.375	%	06/30/2013		100		100		101
U.S. Treasury Notes	4.000	%	09/30/2009		200		203		207
U.S. Treasury Notes	4.000	%	02/15/2014		100		101		105
U.S. Treasury Notes	4.250	%	11/15/2013		300		314		315
U.S. Treasury Notes	4.500	%	02/28/2011		300		309		318
U.S. Treasury Notes	4.750	%	05/15/2014		200		210		216
U.S. Treasury Notes	5.125	%	06/30/2011		500		527		532
						$	2,851	$	2,876

⁽⁴⁾ Market value includes $15 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	10	07/2008	$	0	$	0		$	0
Buy	BRL	727	07/2008		81		0			81
Sell		727	07/2008		0		(14	)		(14	)
Buy		928	12/2008		24		0			24
Sell		833	12/2008		0		(29	)		(29	)
Buy	CNY	500	07/2008		4		0			4
Sell		500	07/2008		0		(2	)		(2	)
Buy		449	10/2008		1		0			1
Sell		449	10/2008		0		(2	)		(2	)
Buy	EUR	400	07/2008		0		(1	)		(1	)
Sell		2,393	07/2008		0		(39	)		(39	)
Sell	GBP	98	08/2008		0		(1	)		(1	)
Buy	KRW	59,799	08/2008		0		(7	)		(7	)
Sell		59,799	08/2008		2		0			2
Buy	MXN	1,030	07/2008		7		0			7
Sell		1,030	07/2008		0		(4	)		(4	)
Buy		375	11/2008		0		0			0
Buy	MYR	21	08/2008		0		0			0
Buy		72	11/2008		0		(1	)		(1	)
Sell		41	11/2008		0		0			0
Buy	PLN	69	07/2008		7		0			7
Sell		69	07/2008		0		(1	)		(1	)
Buy		40	05/2009		1		0			1
Buy	RUB	1,415	07/2008		4		0			4
Sell		1,415	07/2008		0		(2	)		(2	)
Buy		862	11/2008		2		0			2
Buy		618	05/2009		1		0			1
Buy	SGD	45	11/2008		0		0			0
Sell		21	11/2008		0		0			0
				$	134	$	(103	)	$	31

(i) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	57	$	10,295		$	0	$	10,352
Other Financial Instruments++		9		(3,059	)		0		(3,050	)
Total	$	66	$	7,236		$	0	$	7,302

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	109	$	(4	)	$	0	$	(6	)	$	(99	)	$	0
Other Financial Instruments++		0		0			0		0			0			0
Total	$	109	$	(4	)	$	0	$	(6	)	$	(99	)	$	0

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

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

See Accompanying Notes

Schedule of Investments

Extended Duration Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 2.0%
ABX Financing Co.
6.350% due 10/15/2036	$	10	$	9
American Express Credit Corp.
2.531% due 03/02/2009		10		10
Citigroup, Inc.
2.848% due 12/26/2008		10		10
Gaz Capital S.A.
8.146% due 04/11/2018		700		727
General Electric Capital Corp.
2.746% due 08/15/2011		10		10
2.918% due 10/21/2010		10		10
Georgia-Pacific LLC
7.750% due 11/15/2029		30		27
GlaxoSmithKline Capital, Inc.
6.375% due 05/15/2038		900		898
Goldman Sachs Group, Inc.
2.964% due 02/06/2012		20		19
6.750% due 10/01/2037		200		184
International Business Machines Corp.
5.700% due 09/14/2017		100		102
ONEOK Partners LP
6.850% due 10/15/2037		200		196
United Technologies Corp.
6.125% due 07/15/2038		900		908
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		500		494
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		30		30
Total Corporate Bonds & Notes (Cost $3,620)				3,634
MUNICIPAL BONDS & NOTES 1.3%
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2037		500		491
Clark County, Nevada School District General Obligation Bonds, (FSA Insured), Series 2005
5.000% due 06/15/2020		300		314
Connecticut State General Obligation Bonds, Series 2008
5.850% due 03/15/2032		700		728
Florida State General Obligation Bonds, Series 2008
5.250% due 07/01/2037		300		307
Hamilton County, Ohio Revenue Bonds, (AMBAC Insured), Series 2000
0.000% due 12/01/2028		300		98
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		100		84
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		50		3
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		200		191
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		100		89
Total Municipal Bonds & Notes (Cost $2,279)				2,305
U.S. GOVERNMENT AGENCIES 13.7%
Fannie Mae
0.000% due 01/15/2027 - 10/03/2033		23,432		7,785
4.000% due 02/25/2019		100		93
5.000% due 08/25/2033		38		31
5.500% due 04/25/2033 - 12/01/2037		8,688		8,545
6.000% due 12/25/2034		124		119
6.210% due 08/06/2038		1,000		1,140
Federal Farm Credit Bank
5.750% due 12/07/2028		80		86
Federal Home Loan Bank
4.000% due 05/15/2009		10		10
Financing Corp.
0.000% due 12/27/2018		2,100		1,288
Freddie Mac
0.000% due 01/15/2031 - 07/15/2032		5,700		1,683
2.871% due 01/15/2033		2		2
5.000% due 02/15/2023 - 10/15/2033		127		117
5.500% due 02/15/2024		38		36
6.000% due 06/15/2035		200		191
8.250% due 06/01/2016		30		37
Ginnie Mae
5.500% due 10/20/2037		104		90
Small Business Administration
5.290% due 12/01/2027		583		581
Tennessee Valley Authority
4.500% due 04/01/2018		600		588
4.875% due 01/15/2048		100		94
5.500% due 06/15/2038		2,200		2,269
Total U.S. Government Agencies (Cost $24,793)				24,785
U.S. TREASURY OBLIGATIONS 86.2%
U.S. Treasury Bonds
4.375% due 02/15/2038		100		98
6.000% due 02/15/2026		700		820
U.S. Treasury Strips
0.000% due 08/15/2019		5,170		3,145
0.000% due 02/15/2026		18,200		7,890
0.000% due 05/15/2026		24,400		10,471
0.000% due 08/15/2026		800		340
0.000% due 11/15/2026		10,600		4,429
0.000% due 02/15/2027		4,000		1,660
0.000% due 08/15/2027		1,000		405
0.000% due 11/15/2027		95,600		38,302
0.000% due 08/15/2028		9,500		3,679
0.000% due 11/15/2028		29,200		11,199
0.000% due 08/15/2029		50,000		18,588
0.000% due 05/15/2030		29,200		10,570
0.000% due 02/15/2036		60,100		17,205
0.000% due 05/15/2037		56,600		15,311
0.000% due 02/15/2038		46,000		12,028
Total U.S. Treasury Obligations (Cost $158,850)				156,140
MORTGAGE-BACKED SECURITIES 1.0%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		45		43
CS First Boston Mortgage Securities Corp.
5.097% due 07/25/2033		5		5
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 01/25/2047		5		5
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		1,300		1,214
JPMorgan Chase Commercial Mortgage Securities Corp.
5.937% due 02/12/2049		20		19
Thornburg Mortgage Securities Trust
2.582% due 03/25/2037		83		78
WaMu Mortgage Pass-Through Certificates
4.258% due 01/25/2047		8		6
4.780% due 10/25/2046		22		17
Wells Fargo Mortgage-Backed Securities Trust
4.515% due 11/25/2033		418		415
Total Mortgage-Backed Securities (Cost $1,903)				1,802
ASSET-BACKED SECURITIES 0.1%
Argent Securities, Inc.
2.532% due 10/25/2036		12		11
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		8		8
2.532% due 12/25/2036		5		4
Bear Stearns Asset-Backed Securities Trust
5.624% due 07/25/2036		18		15
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		234		224
Total Asset-Backed Securities (Cost $274)				262
SOVEREIGN ISSUES 2.8%
Israel Government AID Bond
0.000% due 05/15/2021		800		429
0.000% due 02/15/2023		3,400		1,655
0.000% due 05/15/2023		6,100		2,931
Total Sovereign Issues (Cost $5,094)				5,015
SHORT-TERM INSTRUMENTS 1.1%
Certificates of Deposit 0.0%
Abbey National Treasury Services PLC
2.409% due 07/02/2008		10		10
Fortis Bank NY
2.646% due 09/30/2008		10		10
Nordea Bank Finland PLC
2.436% due 04/09/2009		10		10
				30
Commercial Paper 0.5%
Federal Home Loan Bank
2.000% due 07/01/2008		1,000		1,000
Repurchase Agreements 0.6%
State Street Bank and Trust Co.
1.650% due 07/01/2008		1,011		1,011
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $1,033. Repurchase proceeds are $1,011.)
Total Short-Term Instruments (Cost $2,041)				2,041
Total Investments 108.2% (Cost $198,854)			$	195,984
Other Assets and Liabilities (Net) (8.2%)				(14,847	)
Net Assets 100.0%			$	181,137

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

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

(a) Cash of $ 1,165 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2009	72	$	(29	)
90-Day Eurodollar March Futures	Long	03/2009	35		(13	)
U.S. Treasury 5-Year Note September Futures	Short	09/2008	496		(106	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	56		46
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	248		436
				$	334

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

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	BOA	$	16,800	$	(40	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	DUB		8,700		(24	)
Pay	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		1,300		21
Pay	3-Month USD-LIBOR	0.000	%	12/19/2027	BCLY		5,100		104
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		100		(2	)
Pay	3-Month USD-LIBOR	0.000	%	12/19/2037	BCLY		5,800		93
								$	152

(c) Short sales outstanding on June 30, 2008:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(1)
U.S. Treasury Bonds	4.500	%	02/15/2036	$	180	$	173	$	182
U.S. Treasury Bonds	4.750	%	02/15/2037		200		201		211
						$	374	$	393

⁽¹⁾ Market value includes $7 of interest payable on short sales.

(d) Foreign currency contracts outstanding on June 30, 2008:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	395	07/2008	$	3	$	0		$	3
Buy	BRL	1,242	07/2008		94		0			94
Sell		1,242	07/2008		0		(17	)		(17	)
Buy		1,659	12/2008		40		0			40
Buy	CNY	121	07/2008		1		0			1
Sell		121	07/2008		0		0			0
Buy		121	10/2008		0		0			0
Sell	GBP	410	08/2008		0		(4	)		(4	)
Buy	KRW	375,186	08/2008		0		(46	)		(46	)
Sell		375,186	08/2008		1		0			1
Buy	MXN	4,132	07/2008		28		0			28
Sell		4,132	07/2008		0		(4	)		(4	)
Buy		4,132	11/2008		3		0			3
Buy	MYR	1,589	08/2008		0		(4	)		(4	)
Buy	PHP	13,192	08/2008		0		(32	)		(32	)
Buy	PLN	1,184	07/2008		106		0			106
Sell		1,184	07/2008		0		(17	)		(17	)
Buy		1,180	05/2009		16		0			16
Buy	RUB	2,012	07/2008		6		0			6
Sell		2,012	07/2008		0		(1	)		(1	)
Buy		21,229	11/2008		43		0			43
Buy		2,012	05/2009		2		0			2
Buy	SGD	457	08/2008		13		0			13
Buy		608	11/2008		4		0			4
				$	360	$	(125	)	$	235

(e) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	195,984	$	0	$	195,984
Other Financial Instruments++		334		1		0		335
Total	$	334	$	195,985	$	0	$	196,319

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	19	$	(1	)	$	0	$	(1	)	$	(17	)	$	0
Other Financial Instruments++		0		0			0		0			0			0
Total	$	19	$	(1	)	$	0	$	(1	)	$	(17	)	$	0

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

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

See Accompanying Notes

Schedule of Investments

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

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 42.3%
Banking & finance 36.1%
American Express Bank FSB
6.000% due 09/13/2017	$	200	$	193
American Express Centurion Bank
6.000% due 09/13/2017		200		193
American International Group, Inc.
5.850% due 01/16/2018		200		188
Bank of America Corp.
5.650% due 05/01/2018		100		94
8.000% due 12/29/2049		100		94
8.125% due 12/29/2049		200		189
Barclays Bank PLC
5.450% due 09/12/2012		200		203
6.050% due 12/04/2017		200		197
7.700% due 04/29/2049		100		102
Capital One Financial Corp.
6.750% due 09/15/2017		100		99
Citigroup, Inc.
5.500% due 04/11/2013		100		98
6.125% due 11/21/2017		500		481
6.125% due 05/15/2018		400		384
8.400% due 04/29/2049		100		95
Deutsche Bank AG
6.000% due 09/01/2017		200		202
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		100		77
7.800% due 06/01/2012		50		39
General Electric Capital Corp.
6.375% due 11/15/2067		300		284
GMAC LLC
6.625% due 05/15/2012		100		69
7.000% due 02/01/2012		100		70
Goldman Sachs Group, Inc.
2.891% due 12/22/2008		100		98
6.750% due 10/01/2037		100		92
HSBC Finance Corp.
2.878% due 10/21/2009		100		98
John Deere Capital Corp.
3.536% due 06/10/2011		300		300
JPMorgan Chase & Co.
2.859% due 06/26/2009		100		100
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		200		195
Merrill Lynch & Co., Inc.
6.400% due 08/28/2017		100		93
6.875% due 04/25/2018		100		95
Morgan Stanley
4.778% due 05/14/2010		100		100
6.625% due 04/01/2018		200		190
New York Life Global Funding
4.650% due 05/09/2013		400		397
Rabobank Nederland NV
2.733% due 01/15/2009		100		100
Royal Bank of Scotland Group PLC
7.640% due 03/31/2049		100		92
Santander U.S. Debt S.A. Unipersonal
2.733% due 11/20/2009		100		99
2.844% due 02/06/2009		100		100
UBS AG
3.729% due 06/19/2010		100		100
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		100		101
				5,701
Industrials 2.5%
International Business Machines Corp.
5.700% due 09/14/2017		100		102
Kraft Foods, Inc.
6.125% due 02/01/2018		200		195
Omnicom Group, Inc.
5.900% due 04/15/2016		100		98
				395
Utilities 3.7%
AT&T, Inc.
5.500% due 02/01/2018		100		97
BellSouth Corp.
2.776% due 08/15/2008		200		200
Embarq Corp.
6.738% due 06/01/2013		200		193
NRG Energy, Inc.
7.375% due 02/01/2016		100		95
				585
Total Corporate Bonds & Notes (Cost $6,919)				6,681
MUNICIPAL BONDS & NOTES 1.3%
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		200		202
Total Municipal Bonds & Notes (Cost $208)				202
U.S. GOVERNMENT AGENCIES 112.8%
Fannie Mae
2.832% due 05/25/2042 - 09/25/2042 (d)		127		121
3.375% due 11/25/2023 (d)		67		68
4.000% due 08/01/2013 (d)		68		67
4.205% due 11/01/2034 (d)		47		48
4.264% due 08/01/2035 (d)		48		49
4.633% due 10/01/2035 (d)		59		59
4.710% due 09/01/2035 (d)		76		76
4.719% due 10/01/2035 (d)		50		51
4.724% due 10/01/2035 (d)		44		45
4.844% due 02/01/2034 (d)		32		33
4.897% due 12/01/2035 (d)		113		113
4.994% due 09/01/2044 - 10/01/2044 (d)		205		205
5.000% due 01/01/2020 - 02/25/2025 (d)		511		512
5.393% due 07/01/2032 (d)		16		17
5.500% due 05/25/2027 - 06/01/2037 (d)		4,775		4,717
6.000% due 03/25/2031 - 12/01/2037 (d)		3,884		3,929
Freddie Mac
2.671% due 10/15/2020 (d)		25		24
3.500% due 01/15/2023 (d)		80		80
4.741% due 09/01/2035 (d)		69		70
5.000% due 12/15/2015 - 08/15/2020 (d)		859		871
5.500% due 08/15/2030 - 01/01/2037		39		39
5.500% due 10/01/2035 - 01/01/2038 (d)		6,711		6,619
Total U.S. Government Agencies (Cost $17,916)				17,813
U.S. TREASURY OBLIGATIONS 5.8%
Treasury Inflation Protected Securities (b)
2.375% due 04/15/2011		218		231
U.S. Treasury Bonds
4.375% due 02/15/2038		700		683
Total U.S. Treasury Obligations (Cost $882)				914
MORTGAGE-BACKED SECURITIES 9.4%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		114		109
4.625% due 10/25/2035		149		143
Countrywide Alternative Loan Trust
2.642% due 02/25/2047		74		52
2.689% due 03/20/2046		59		42
4.500% due 06/25/2035		28		28
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		70		62
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.572% due 08/25/2037		71		69
Downey Savings & Loan Association Mortgage Loan Trust
5.973% due 07/19/2044		12		10
GSR Mortgage Loan Trust
5.500% due 11/25/2035		27		27
Harborview Mortgage Loan Trust
2.722% due 03/19/2037		64		45
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		24		23
Lehman XS Trust
2.562% due 07/25/2046		35		34
Mellon Residential Funding Corp.
2.821% due 11/15/2031		76		69
2.911% due 12/15/2030		57		53
Morgan Stanley Capital I
2.542% due 10/15/2020		36		34
Structured Adjustable Rate Mortgage Loan Trust
4.928% due 01/25/2035		35		33
Structured Asset Mortgage Investments, Inc.
2.552% due 08/25/2036		72		70
2.762% due 02/25/2036		68		52
Structured Asset Securities Corp.
4.773% due 06/25/2033		71		62
5.000% due 12/25/2034		78		78
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		69		65
WaMu Mortgage Pass-Through Certificates
4.258% due 01/25/2047		76		57
4.508% due 06/25/2046		117		85
4.780% due 07/25/2046		127		101
4.990% due 05/25/2041		17		16
Wells Fargo Mortgage-Backed Securities Trust
5.240% due 04/25/2036		62		61
Total Mortgage-Backed Securities (Cost $1,667)				1,480
ASSET-BACKED SECURITIES 12.2%
ACE Securities Corp.
2.632% due 12/25/2035		69		68
Asset-Backed Funding Certificates
2.542% due 01/25/2037		46		45
Carrington Mortgage Loan Trust
2.532% due 01/25/2037		48		47
2.582% due 06/25/2037		203		195
Citigroup Mortgage Loan Trust, Inc.
2.542% due 05/25/2037		80		76
2.542% due 07/25/2045		78		72
2.552% due 08/25/2036		6		6
Countrywide Asset-Backed Certificates
2.512% due 01/25/2046		33		33
2.532% due 01/25/2037		23		23
2.532% due 05/25/2037		161		157
2.642% due 02/25/2036		13		12
Credit-Based Asset Servicing & Securitization LLC
2.542% due 11/25/2036		58		56
CSAB Mortgage-Backed Trust
2.582% due 06/25/2036		18		18
First NLC Trust
2.552% due 08/25/2037		78		73
GSAMP Trust
2.552% due 01/25/2036		3		3
2.572% due 11/25/2035		12		11
GSR Mortgage Loan Trust
2.582% due 11/25/2030		2		2
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		31		30
2.829% due 09/20/2033		18		16
HSI Asset Securitization Corp. Trust
2.542% due 05/25/2037		72		66
Indymac Residential Asset-Backed Trust
2.542% due 04/25/2037		43		43
2.612% due 04/25/2047		57		56
JPMorgan Mortgage Acquisition Corp.
2.522% due 08/25/2036		46		45
2.532% due 10/25/2036		55		54
2.542% due 04/01/2037		72		68
2.562% due 03/25/2037		66		63
Lehman XS Trust
2.572% due 05/25/2046		23		23
Long Beach Mortgage Loan Trust
2.762% due 10/25/2034		9		8
MASTR Asset-Backed Securities Trust
2.542% due 11/25/2036		49		48
2.562% due 05/25/2037		62		60
Merrill Lynch Mortgage Investors, Inc.
2.552% due 08/25/2036		24		23
Morgan Stanley ABS Capital I
2.522% due 07/25/2036		48		47
Securitized Asset-Backed Receivables LLC Trust
2.612% due 05/25/2037		76		70
SLC Student Loan Trust
2.674% due 02/15/2015		65		65
SLM Student Loan Trust
2.920% due 10/25/2016		64		64
Soundview Home Equity Loan Trust
2.562% due 01/25/2037		36		36
2.562% due 06/25/2037		72		70
Structured Asset Securities Corp.
4.900% due 04/25/2035		46		35
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		37		37
Total Asset-Backed Securities (Cost $2,003)				1,924
SOVEREIGN ISSUES 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012		12		13
Panama Government International Bond
9.375% due 04/01/2029		6		8
Total Sovereign Issues (Cost $21)				21
FOREIGN CURRENCY-DENOMINATED ISSUES 5.1%
General Electric Capital Corp.
6.500% due 09/15/2067		GBP 100		185
Republic of Germany
4.250% due 07/04/2039		EUR 200		284
5.625% due 01/04/2028		200		340
Total Foreign Currency-Denominated Issues (Cost $823)				809
		Shares
EXCHANGE-TRADED FUNDS 2.5%
iShares MSCI Hong Kong Index Fund		7,509		127
iShares MSCI Malaysia Index Fund		1,317		14
iShares MSCI Singapore Index Fund		835		10
iShares MSCI South Korea Index Fund		822		42
iShares MSCI Taiwan Index Fund		14,392		203
Total Exchange-Traded Funds (Cost $329)				396
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 20.8%
Commercial paper 11.3%
Nordea N.A., Inc.
2.770% due 09/29/2008	$	600		595
San Paolo U.S. Financial Co.
2.800% due 09/25/2008		600		596
Societe General N.A.
2.750% due 09/25/2008		600		596
				1,787
Repurchase Agreements 4.8%
Lehman Brothers, Inc.
1.250% due 07/01/2008		200		200
(Dated 06/30/2008. Collateralized by U.S. Treasury Inflation Protected Securities 2.375% due 01/15/2025 valued at $211. Repurchase proceeds are $200.)
State Street Bank and Trust Co.
1.650% due 07/01/2008		558		558
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $572. Repurchase proceeds are $558.)
				758
U.S. Treasury Bills 4.7%
1.842% due 09/25/2008 (a)(c)		750		745
Total Short-Term Instruments (Cost $3,292)				3,290
Purchased options (g) 0.3% (Cost $77)				43
Total Investments 212.6% (Cost $34,137)			$	33,573
Written Options (h) (0.3%) (Premiums $76)				(46	)
Other Assets and Liabilities (Net) (112.3%)				(17,736	)
Net Assets 100.0%			$	15,791

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 $745 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $16,267 at a weighted average interest rate of 2.438%. On June 30, 2008, securities valued at $17,630 were pledged as collateral for reverse repurchase agreements.

(e) Cash of $1,095 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	9	$	(5	)
90-Day Eurodollar December Futures	Long	12/2009	2		(2	)
90-Day Eurodollar June Futures	Long	06/2009	2		(1	)
90-Day Eurodollar March Futures	Long	03/2009	3		0
90-Day Eurodollar March Futures	Long	03/2010	2		(2	)
90-Day Eurodollar September Futures	Long	09/2008	3		0
90-Day Eurodollar September Futures	Long	09/2009	8		2
Euro-Bobl September Futures	Short	09/2008	7		18
Euro-Bobl September Futures Call Options Strike @ EUR 114.000	Long	09/2008	7		0
Euro-Schatz September Futures	Short	09/2008	23		20
Euro-Schatz September Futures Call Options Strike @ EUR 106.500	Long	09/2008	9		0
Euro-Schatz September Futures Call Options Strike @ EUR 108.000	Long	09/2008	14		0
U.S. Treasury 2-Year Note September Futures	Short	09/2008	29		(5	)
U.S. Treasury 5-Year Note September Futures	Short	09/2008	10		(8	)
U.S. Treasury 10-Year Note September Futures	Short	09/2008	1		0
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	37		67
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	34		(38	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	1		(1	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	5		(9	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	3		(4	)
United Kingdom Government 10-Year Bond September Futures	Short	09/2008	1		3
				$	35

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.665	%)	06/20/2017	RBS	$	100	$	3
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(0.860	%)	06/20/2018	DUB		400		17
Clorox Co. 6.125% due 02/01/2011	Buy	(0.330	%)	12/20/2012	BOA		100		1
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.170	%	09/20/2008	BOA		100		0
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008	DUB		100		0
Morgan Stanley 6.600% due 04/01/2012	Sell	0.190	%	09/20/2008	BOA		100		(1	)
Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.390	%)	06/20/2016	MSC		100		2
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008	BCLY		100		0
								$	22

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

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	300	$	20
Dow Jones CDX N.A. EM9 Index	Buy	(2.650	%)	06/20/2013	BCLY		300		5
Dow Jones CDX N.A. HV9 Index	Sell	1.400	%	12/20/2012	CSFB		200		(13	)
Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	LEH		99		6
Dow Jones CDX N.A. HY8 Index	Sell	0.483	%	06/20/2012	BCLY		99		(3	)
Dow Jones CDX N.A. HY10 Index	Buy	(5.000	%)	06/20/2013	BCLY		100		4
Dow Jones CDX N.A. IG5 Index	Buy	(0.143	%)	12/20/2012	MSC		300		22
Dow Jones CDX N.A. IG5 Index	Sell	0.458	%	12/20/2015	MSC		200		(22	)
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	BCLY		200		5
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		300		3
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		700		1
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		100		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	GSC		200		3
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	MSC		200		6
								$	37

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	BCLY	AUD	100	$	(1	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	CITI		1,700		(12	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	LEH		1,900		(12	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	UBS		100		(1	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH	$	6,200		(47	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		800		(14	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		400		3
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	CITI		400		3
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		500		2
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BCLY		100		(2	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		1,600		21
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		200		(4	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		300		(7	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CSFB		300		(8	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	LEH		300		(8	)
Pay	6-Month Australian Bank Bill	7.000	%	06/15/2010	MSC	AUD	600		(11	)
Pay	6-Month Australian Bank Bill	7.500	%	06/15/2011	DUB		1,200		(3	)
Pay	6-Month EUR-LIBOR	5.000	%	03/18/2010	BCLY	EUR	800		0
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	JPM		490		(10	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	LEH		1,900		(45	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		310		(6	)
Pay	6-Month EUR-LIBOR	4.000	%	06/18/2010	MSC		800		(39	)
Pay	6-Month EUR-LIBOR	5.500	%	12/17/2010	BCLY		100		0
Pay	6-Month EUR-LIBOR	5.500	%	12/17/2010	MSC		200		1
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	BCLY		300		25
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	BCLY		100		0
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	JPM		200		13
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	RBS		100		2
Receive	6-Month GBP-LIBOR	6.000	%	06/19/2009	GSC	GBP	500		0
Pay	6-Month GBP-LIBOR	5.500	%	03/20/2013	LEH		100		(5	)
Receive	6-Month GBP-LIBOR	5.000	%	09/20/2017	DUB		100		4
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	DUB		100		7
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	MSC		200		(7	)
Receive	6-Month GBP-LIBOR	4.000	%	06/15/2037	MSC		100		(2	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170	%	11/04/2016	MLP	MXN	400		(4	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170	%	11/04/2016	MSC		700		(6	)
Pay	BRL-CDI-Compounded	10.150	%	01/02/2012	GSC	BRL	600		(42	)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		1,200		(43	)
Pay	BRL-CDI-Compounded	10.680	%	01/02/2012	BCLY		1,000		(48	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	UBS		400		(10	)
								$	(316	)

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)	Expiration Date	Counterparty	# of Shares/ Units	Unrealized Appreciation/ (Depreciation)
Pay	iShares MSCI Hong Kong Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	3,277	$	3
Receive	iShares MSCI Hong Kong Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	261,625		(277	)
Pay	iShares MSCI Malaysia Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	6,884		4
Receive	iShares MSCI Malaysia Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	139,739		(73	)
Pay	iShares MSCI Singapore Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	9,671		3
Receive	iShares MSCI Singapore Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	170,815		(52	)
Pay	iShares MSCI South Korea Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	1,150		4
Receive	iShares MSCI South Korea Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	89,202		(318	)
Pay	iShares MSCI Taiwan Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	711		1
Receive	iShares MSCI Taiwan Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	200,015		(232	)
						$	(937	)

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	111.000	08/22/2008	29	$	1	$	1
Call - CBOT U.S. Treasury 5-Year Note September Futures		126.000	08/22/2008	10		0		0
Call - CBOT U.S. Treasury 5-Year Note September Futures		129.500	08/22/2008	25		1		0
Call - CBOT U.S. Treasury 10-Year Note September Futures		126.000	08/22/2008	13		0		0
Call - CBOT U.S. Treasury 10-Year Note September Futures		129.000	08/22/2008	6		0		0
Call - CBOT U.S. Treasury 10-Year Note September Futures		135.000	08/22/2008	10		0		0
Call - CBOT U.S. Treasury 30-Year Bond September Futures		139.000	08/22/2008	11		0		0
Put - CBOT U.S. Treasury 30-Year Bond September Futures		92.000	08/22/2008	26		1		1
					$	3	$	2

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate	Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	DUB	6-Month EUR-LIBOR	Pay	4.070%	09/14/2009		EUR 2,300	$	12	$	7
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500%	02/02/2009	$	300		3		1
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450%	08/03/2009		700		8		3
Call - OTC 5-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	4.000%	12/19/2008		600		13		6
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150%	02/02/2009		600		6		2
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500%	08/03/2009		2,300		24		11
								$	66	$	30

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	$	100	$	4	$	5
Put - OTC U.S. dollar versus Japanese yen	103.800	03/17/2010		100		4		6
					$	8	$	11

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. Treasury Note 2.000% due 02/28/2010	$	102.750	10/10/2008	$	500	$	0	$	0

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	DUB	6-Month EUR-LIBOR	Receive	4.250	%	09/14/2009		EUR 700	$	10	$	7
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009	$	100		3		2
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		300		8		4
Put - OTC 5-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		1,000		12		7
Put - OTC 5-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		1,000		13		7
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		200		6		3
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	08/03/2009		1,000		24		16
									$	76	$	46

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(4)
Fannie Mae	5.000	%	07/01/2038	$	1,000	$	956	$	959
Fannie Mae	5.500	%	07/01/2034		3,800		3,765		3,746
Fannie Mae	6.000	%	07/01/2038		1,000		1,010		1,009
U.S. Treasury Bonds	4.750	%	02/15/2037		1,100		1,103		1,162
U.S. Treasury Notes	2.000	%	02/28/2010		1,300		1,283		1,301
U.S. Treasury Notes	2.125	%	01/31/2010		700		693		704
U.S. Treasury Notes	3.375	%	06/30/2013		400		398		402
U.S. Treasury Notes	3.500	%	02/15/2018		400		379		392
U.S. Treasury Notes	4.000	%	09/30/2009		1,000		1,014		1,033
U.S. Treasury Notes	4.125	%	08/31/2012		200		205		210
U.S. Treasury Notes	4.250	%	11/15/2013		300		314		315
U.S. Treasury Notes	4.250	%	11/15/2017		1,100		1,109		1,132
U.S. Treasury Notes	4.500	%	05/15/2017		600		623		631
U.S. Treasury Notes	4.750	%	05/15/2014		200		210		216
U.S. Treasury Notes	4.750	%	08/15/2017		700		731		757
						$	13,793	$	13,969

⁽⁴⁾ Market value includes $92 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	36	07/2008	$	0	$	0		$	0
Buy	BRL	2,114	07/2008		243		0			243
Sell		2,114	07/2008		0		(101	)		(101	)
Buy		794	12/2008		41		0			41
Sell		214	12/2008		0		(11	)		(11	)
Buy	CNY	1,555	07/2008		10		0			10
Sell		1,555	07/2008		0		(6	)		(6	)
Buy		823	10/2008		2		0			2
Sell		823	10/2008		0		(3	)		(3	)
Sell	EUR	62	07/2008		0		(1	)		(1	)
Sell	GBP	459	08/2008		0		(5	)		(5	)
Buy	HKD	5,300	07/2008		0		0			0
Sell		40,787	07/2008		12		(1	)		11
Sell	JPY	2,946	07/2008		0		(1	)		(1	)
Buy	KRW	1,008,270	08/2008		0		(20	)		(20	)
Sell		5,784,020	08/2008		97		0			97
Buy	MXN	3,687	07/2008		27		0			27
Sell		3,687	07/2008		0		(10	)		(10	)
Buy		1,424	11/2008		1		0			1
Buy	MYR	2,258	08/2008		0		(18	)		(18	)
Sell		7,041	08/2008		2		(78	)		(76	)
Buy	PLN	165	07/2008		17		0			17
Sell		165	07/2008		0		(3	)		(3	)
Buy		165	05/2009		2		0			2
Buy	RUB	6,060	07/2008		19		0			19
Sell		6,060	07/2008		0		(11	)		(11	)
Buy		1,744	11/2008		4		0			4
Buy		2,425	05/2009		2		0			2
Buy	SGD	215	09/2008		2		0			2
Buy		421	11/2008		6		0			6
Sell		3,790	11/2008		0		(20	)		(20	)
Buy	TWD	44,643	09/2008		0		(19	)		(19	)
Sell		136,985	09/2008		21		(3	)		18
				$	508	$	(311	)	$	197

(k) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	396	$	33,177		$	0		$	33,573
Other Financial Instruments++		35		(14,917	)		(3	)		(14,885	)
Total	$	431	$	18,260		$	(3	)	$	18,688

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	95		$	(4	)	$	0	$	(6	)	$	(85	)	$	0
Other Financial Instruments++		(4	)		0			0		1			0			(3	)
Total	$	91		$	(4	)	$	0	$	(5	)	$	(85	)	$	(3	)

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

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

See Accompanying Notes

Schedule of Investments

Floating Income Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 7.4%
AES Corp.
5.980% due 03/31/2010	$	3,500	$	3,482
6.360% due 03/31/2010		5,385		5,358
7.960% due 03/31/2010		1,532		1,524
ARAMARK Corp.
4.571% due 01/26/2014		2,403		2,273
4.830% due 01/26/2014		146		138
Bausch & Lomb, Inc.
5.946% due 04/26/2015		1,792		1,760
6.000% due 04/26/2015		40		39
7.000% due 10/26/2015		160		157
Biomet, Inc.
5.696% due 03/25/2015		1,484		1,457
Cablevision Industries Corp.
4.225% due 03/30/2013		5		5
Cablevision Term B
4.225% due 03/30/2013		1,945		1,852
Community Health Systems, Inc.
4.000% due 07/25/2014		141		134
4.631% due 07/25/2014		673		636
4.899% due 07/25/2014		2,116		1,997
Cooper-Standard Automotive, Inc.
5.250% due 12/31/2011		1,975		1,846
Daimler Finance North America LLC
6.780% due 08/03/2012		2,450		2,029
FCI Connectors
6.224% due 03/09/2013		2,403		2,205
Ford Motor Co.
5.480% due 12/15/2013		1,873		1,516
Georgia-Pacific Corp.
4.399% due 12/20/2012		205		194
4.446% due 12/20/2012		1,747		1,652
4.551% due 12/20/2012		157		148
Goodyear Tire & Rubber Co.
4.540% due 04/30/2014		1,000		909
Hawaiian Telcom Communications, Inc.
5.310% due 06/01/2014		1,691		1,392
HCA, Inc.
5.051% due 11/18/2013		2,218		2,086
Headwaters, Inc.
4.400% due 04/30/2011		587		564
Health Management Associates, Inc.
4.446% due 02/28/2014		3,887		3,623
Hertz Corp.
2.801% due 12/21/2012		1		1
4.230% due 12/21/2012		1		1
Idearc, Inc.
4.390% due 11/17/2014		125		100
4.800% due 11/17/2014		2,813		2,257
Ineos Group Holdings PLC
4.885% due 10/07/2013		2,205		1,910
5.385% due 10/07/2014		2,205		1,998
Las Vegas Sands Corp.
4.170% due 05/23/2014		665		607
4.450% due 05/23/2014		2,309		2,109
Mediacom Communications Corp.
4.140% due 02/28/2014		5		5
Metro-Goldwyn-Mayer, Inc.
5.946% due 04/08/2012		2,888		2,377
NRG Energy, Inc.
4.196% due 02/01/2013		1,708		1,632
OAO Rosneft Oil Co.
3.132% due 09/17/2009		2,581		2,529
PanAmSat Corp.
5.184% due 07/03/2012		673		651
Reliant Energy, Inc.
2.339% due 06/12/2014		1,600		1,528
2.339% due 06/13/2014		400		382
Renal Advantage, Inc.
5.276% due 10/06/2012		1,843		1,733
RH Donnelley Corp.
4.140% due 06/30/2011		327		322
4.150% due 06/30/2011		226		222
4.200% due 06/30/2011		71		70
4.400% due 06/30/2011		112		111
6.750% due 06/30/2011		1,146		1,127
Roundy’s Supermarket, Inc.
5.230% due 10/27/2011		3,891		3,745
Shackleton Re Ltd.
10.438% due 08/01/2008		2,000		1,970
10.938% due 08/01/2008		500		492
Smurfit-Stone Container Enterprises, Inc.
4.500% due 11/01/2010		130		127
4.500% due 11/01/2011		26		26
5.125% due 11/01/2011		215		209
Texas Competitive Electric Holdings Co., LLC
5.948% due 10/10/2014		302		280
6.234% due 10/10/2014		8,170		7,577
6.478% due 10/10/2014		596		553
Thompson Learning, Inc.
4.880% due 06/27/2014		3,522		3,208
5.200% due 06/27/2014		453		412
VNU/Nielson Finance LLC
4.734% due 08/09/2013		1,228		1,147
5.346% due 08/09/2013		735		687
Wimar Landco LLC
4.946% due 07/03/2008		5,000		4,692
Total Bank Loan Obligations (Cost $91,235)				85,773
CORPORATE BONDS & NOTES 50.7%
Banking & Finance 27.3%
American International Group, Inc.
5.850% due 01/16/2018		600		564
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014		500		502
Bank of America Corp.
8.000% due 12/29/2049		28,800		27,050
Barclays Bank PLC
7.434% due 09/29/2049		6,200		5,830
Bear Stearns Cos., Inc.
2.947% due 09/09/2009		1,680		1,661
BHP Billiton Finance Ltd.
2.838% due 03/27/2009		2,500		2,492
C5 Capital SPV Ltd.
6.196% due 12/01/2049		500		484
C10 Capital SPV Ltd.
6.722% due 12/31/2049		4,400		4,054
Calabash Re Ltd.
13.714% due 01/08/2010		3,000		3,081
CIT Group, Inc.
2.826% due 08/15/2008		2,000		1,998
Citigroup, Inc.
8.400% due 04/29/2049		23,800		22,654
Credit Suisse New York, Inc.
5.000% due 05/15/2013		6,000		5,848
Ford Motor Credit Co. LLC
4.283% due 01/15/2010		2,500		2,202
5.460% due 01/13/2012		5,000		3,557
Foundation Re II Ltd.
9.445% due 11/26/2010		3,700		3,729
General Electric Capital Corp.
2.858% due 11/21/2011		4,500		4,413
5.250% due 10/19/2012		2,225		2,250
Genworth Global Funding Trusts
2.836% due 02/10/2009		2,400		2,377
GMAC LLC
3.926% due 05/15/2009		1,000		941
Goldman Sachs Group, Inc.
2.806% due 11/10/2008		4,000		3,991
2.882% due 03/02/2010		2,500		2,456
3.128% due 10/07/2011		2,000		1,941
6.150% due 04/01/2018		2,000		1,947
HBOS PLC
6.750% due 05/21/2018		2,500		2,398
Hexion U.S. Finance Corp.
7.176% due 11/15/2014		3,000		2,505
9.750% due 11/15/2014		2,000		1,820
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		6,575		6,378
Intergas Finance BV
6.375% due 05/14/2017		7,000		6,248
6.875% due 11/04/2011		900		890
International Lease Finance Corp.
3.113% due 01/15/2010		4,500		4,232
3.121% due 07/11/2011		5,000		4,503
JPMorgan Chase & Co.
2.886% due 01/17/2011		7,000		6,887
Lehman Brothers Holdings, Inc.
2.778% due 05/25/2010		900		834
2.820% due 11/16/2009		7,000		6,673
3.010% due 01/23/2009		4,400		4,306
LVB Acquisition Merger Sub, Inc.
10.000% due 10/15/2017		500		536
10.375% due 10/15/2017 (b)		2,250		2,396
11.625% due 10/15/2017		4,850		5,165
Merna Reinsurance Ltd.
3.451% due 07/07/2010 (k)		15,800		14,784
Merrill Lynch & Co., Inc.
2.831% due 12/22/2008		4,900		4,868
2.989% due 01/30/2009		4,900		4,825
4.966% due 05/12/2010		400		394
6.875% due 04/25/2018		2,800		2,673
Morgan Stanley
2.820% due 05/07/2009		7,500		7,385
2.844% due 02/09/2009		4,500		4,459
2.993% due 01/15/2010		3,500		3,427
5.950% due 12/28/2017		2,900		2,641
Mystic Re Ltd.
8.982% due 12/05/2008		2,500		2,447
11.682% due 12/05/2008		1,900		1,853
12.682% due 06/07/2011		1,500		1,535
National Australia Bank Ltd.
2.794% due 08/19/2009		5,000		4,965
Osiris Capital PLC
7.713% due 01/15/2010		2,000		2,016
Pemex Finance Ltd.
9.690% due 08/15/2009		244		249
Petroleum Export Ltd.
4.623% due 06/15/2010		3,111		3,091
5.265% due 06/15/2011		4,466		4,434
Petroleum Export Ltd. II
6.340% due 06/20/2011		2,324		2,316
RBS Capital Trust III
5.512% due 09/29/2049		3,700		3,222
Residential Reinsurance 2007 Ltd.
8.682% due 06/07/2010		3,500		3,506
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		4,000		4,033
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		15,600		15,110
Santander U.S. Debt S.A. Unipersonal
2.861% due 09/19/2008		1,100		1,099
SLM Corp.
3.120% due 01/26/2009		5,700		5,612
3.130% due 07/25/2008		500		498
TNK-BP Finance S.A.
6.625% due 03/20/2017		800		710
7.500% due 03/13/2013		10,300		10,197
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		5,500		5,520
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,500		1,482
UBS Preferred Funding Trust I
8.622% due 10/29/2049		18,250		18,350
Universal City Florida Holding Co. I & II
7.623% due 05/01/2010		3,200		3,104
VTB Capital S.A.
6.609% due 10/31/2012		3,500		3,417
Wells Fargo & Co.
4.375% due 01/31/2013		600		582
Wells Fargo Capital X
5.950% due 12/15/2036		1,700		1,550
Wells Fargo Capital XIII
7.700% due 12/29/2049		7,600		7,565
				315,712
Industrials 16.5%
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013		33,500		37,153
America Movil SAB de C.V.
5.500% due 03/01/2014		875		865
5.750% due 01/15/2015		1,600		1,592
Berry Plastics Holding Corp.
6.651% due 09/15/2014		2,500		2,012
Bowater, Inc.
5.776% due 03/15/2010		2,500		2,125
BW Group Ltd.
6.625% due 06/28/2017		1,240		1,290
Celestica, Inc.
7.875% due 07/01/2011		2,000		2,010
Chemtura Corp.
6.875% due 06/01/2016		1,775		1,544
Citic Resources Finance Ltd.
6.750% due 05/15/2014		1,200		1,124
Compagnie Générale de Géophysique-Veritas
7.500% due 05/15/2015		1,000		1,002
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		800		672
CVS Caremark Corp.
2.982% due 06/01/2010		3,800		3,711
Delta Air Lines, Inc.
7.379% due 05/18/2010		9,143		8,823
Dex Media West LLC
9.875% due 08/15/2013		2,600		2,346
Dura Operating Corp.
8.625% due 04/15/2012 (a)		500		22
EchoStar DBS Corp.
6.375% due 10/01/2011		1,124		1,088
7.000% due 10/01/2013		1,975		1,891
7.125% due 02/01/2016		1,000		928
First Data Corp.
9.875% due 09/24/2015		1,350		1,176
Freescale Semiconductor, Inc.
6.651% due 12/15/2014		7,000		5,565
Fund American Cos., Inc.
5.875% due 05/15/2013		1,000		969
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013		14,128		13,876
Georgia-Pacific LLC
7.000% due 01/15/2015		4,650		4,394
GlaxoSmithKline Capital, Inc.
3.310% due 05/13/2010		5,500		5,518
Goodyear Tire & Rubber Co.
6.678% due 12/01/2009		3,000		2,992
Hanesbrands, Inc.
6.508% due 12/15/2014		7,000		6,545
HCA, Inc.
7.875% due 02/01/2011		999		989
9.000% due 12/15/2014		540		516
Hertz Corp.
8.875% due 01/01/2014		3,325		3,059
Home Depot, Inc.
2.901% due 12/16/2009		2,500		2,436
JetBlue Airways Pass-Through Trust
5.776% due 11/15/2008		1,456		1,445
Meritor Automotive, Inc.
6.800% due 02/15/2009		1,609		1,587
MGM Mirage
8.375% due 02/01/2011		2,000		1,940
Nortel Networks Ltd.
6.963% due 07/15/2011		6,400		6,080
Northwest Airlines, Inc.
7.626% due 04/01/2010		3,229		3,052
Pemex Project Funding Master Trust
6.625% due 06/15/2035		500		497
Quebecor Media, Inc.
7.750% due 03/15/2016		300		280
Qwest Communications International, Inc.
6.176% due 02/15/2009		2,616		2,616
Reynolds American, Inc.
6.500% due 07/15/2010		8,000		8,160
Roseton
7.270% due 11/08/2010		1,217		1,230
SandRidge Energy, Inc.
6.416% due 04/01/2014		4,775		4,693
Sanmina-SCI Corp.
5.526% due 06/15/2010		2,709		2,696
Sungard Data Systems, Inc.
3.750% due 01/15/2009		5,144		5,099
SUPERVALU, Inc.
7.500% due 11/15/2014		275		277
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		836		809
Tesoro Corp.
6.250% due 11/01/2012		820		783
Transocean, Inc.
2.873% due 09/05/2008		3,300		3,296
TRW Automotive, Inc.
7.000% due 03/15/2014		1,500		1,309
United Airlines, Inc.
6.071% due 03/01/2013		450		444
6.201% due 09/01/2008		1,007		992
7.730% due 07/01/2010		898		899
Vale Overseas Ltd.
6.250% due 01/23/2017		2,900		2,824
Williams Cos., Inc.
6.375% due 10/01/2010		9,750		9,896
Xerox Corp.
3.562% due 12/18/2009		3,000		2,982
XTO Energy, Inc.
4.625% due 06/15/2013		8,700		8,423
7.500% due 04/15/2012		90		97
				190,639
Utilities 6.9%
AES Panama S.A.
6.350% due 12/21/2016		5,000		5,033
AT&T Corp.
7.300% due 11/15/2011		473		504
Cincinnati Bell, Inc.
7.250% due 07/15/2013		4,182		4,098
CMS Energy Corp.
3.663% due 01/15/2013		13,400		12,529
Dominion Resources, Inc.
2.858% due 11/14/2008		2,000		1,973
Energy Future Holdings Corp.
10.875% due 11/01/2017		2,825		2,867
Ipalco Enterprises, Inc.
8.625% due 11/14/2011		1,100		1,150
Majapahit Holding BV
7.250% due 10/17/2011		2,100		2,048
Ohio Power Co.
2.908% due 04/05/2010		2,000		1,961
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022		5,500		5,266
PSEG Energy Holdings LLC
8.500% due 06/15/2011		3,000		3,163
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		4,650		4,662
7.250% due 02/15/2011		3,350		3,266
Qwest Corp.
8.875% due 03/15/2012		2,000		2,050
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		415		416
Rural Cellular Corp.
9.875% due 02/01/2010		13,726		14,035
Sierra Pacific Power Co.
6.000% due 05/15/2016		1,800		1,791
Southern California Edison Co.
7.625% due 01/15/2010		2,500		2,615
Telefonos de Mexico SAB de C.V.
5.500% due 01/27/2015		850		832
Telesat Canada
11.000% due 11/01/2015		5,700		5,728
12.500% due 11/01/2017		4,300		4,279
Verizon Communications, Inc.
5.350% due 02/15/2011		200		204
				80,470
Total Corporate Bonds & Notes (Cost $607,737)				586,821
U.S. GOVERNMENT AGENCIES 14.1%
Fannie Mae
2.622% due 04/25/2035		80		78
5.000% due 05/01/2037 - 02/01/2038 (f)		14,199		13,628
5.000% due 04/01/2038 - 07/01/2038		16,900		16,200
5.070% due 05/01/2035 (f)		609		608
5.500% due 09/01/2036 - 07/01/2037 (f)		104,952		103,607
5.556% due 01/01/2036 (f)		553		561
5.592% due 12/01/2035 (f)		595		601
5.619% due 03/01/2036 (f)		527		534
6.000% due 07/01/2036 - 05/01/2038 (f)		6,098		6,161
6.000% due 10/01/2036 - 07/01/2038		18,000		18,160
6.055% due 02/01/2035		284		286
Freddie Mac
4.000% due 04/15/2022		164		164
5.000% due 06/15/2016		71		71
Ginnie Mae
2.771% due 12/16/2026		250		248
5.500% due 02/15/2036 - 06/15/2037 (f)		2,945		2,937
Total U.S. Government Agencies (Cost $162,976)				163,844
MORTGAGE-BACKED SECURITIES 4.0%
Adjustable Rate Mortgage Trust
5.376% due 11/25/2035		786		727
American Home Mortgage Investment Trust
2.632% due 09/25/2035		69		69
2.722% due 05/25/2047		543		311
Banc of America Funding Corp.
5.888% due 04/25/2037		700		536
Bear Stearns Alt-A Trust
2.642% due 02/25/2034		2,443		1,759
5.701% due 09/25/2035		6,463		5,335
5.939% due 03/25/2036		283		216
Bear Stearns Structured Products, Inc.
5.777% due 12/26/2046		2,319		1,909
CC Mortgage Funding Corp.
2.612% due 05/25/2048		4,429		3,108
Citigroup Mortgage Loan Trust, Inc.
2.552% due 01/25/2037		2,896		2,603
4.679% due 08/25/2035		1,816		1,620
5.831% due 12/25/2035		488		380
Countrywide Alternative Loan Trust
2.712% due 08/25/2046		656		368
2.759% due 09/20/2046		600		258
2.992% due 11/20/2035		500		291
5.889% due 11/25/2035		489		401
Countrywide Home Loan Mortgage Pass-Through Trust
5.372% due 10/20/2035		534		487
5.615% due 02/20/2036		641		628
5.804% due 05/20/2036		809		678
Credit Suisse Mortgage Capital Certificates
5.863% due 02/25/2037		500		384
CS First Boston Mortgage Securities Corp.
3.326% due 03/25/2032		49		44
CSAB Mortgage-Backed Trust
2.582% due 06/25/2036		194		193
5.720% due 09/25/2036		600		491
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.869% due 10/25/2036		500		363
5.886% due 10/25/2036		500		358
Downey Savings & Loan Association Mortgage Loan Trust
2.792% due 11/19/2037		800		267
Greenpoint Mortgage Funding Trust
2.692% due 10/25/2046		600		229
Harborview Mortgage Loan Trust
2.628% due 04/19/2038		2,456		1,721
Homebanc Mortgage Trust
2.662% due 12/25/2036		605		468
Indymac Index Mortgage Loan Trust
2.582% due 01/25/2037		759		715
5.099% due 09/25/2035		460		378
5.277% due 06/25/2035		447		359
JPMorgan Mortgage Trust
4.881% due 04/25/2035		595		566
5.403% due 11/25/2035		739		707
Merrill Lynch Alternative Note Asset
2.782% due 03/25/2037		700		425
Opteum Mortgage Acceptance Corp.
2.742% due 07/25/2035		535		462
Residential Accredit Loans, Inc.
4.888% due 09/25/2045		1,440		1,182
Residential Funding Mortgage Securities I
5.209% due 09/25/2035		1,602		1,405
Sequoia Mortgage Trust
2.829% due 07/20/2033		478		429
Structured Adjustable Rate Mortgage Loan Trust
5.349% due 01/25/2035		1,609		1,572
Structured Asset Mortgage Investments, Inc.
2.612% due 03/25/2037		1,897		1,459
2.732% due 09/25/2047		669		375
2.812% due 10/19/2034		577		478
2.832% due 03/19/2034		96		86
Structured Asset Securities Corp.
4.773% due 06/25/2033		1,981		1,728
5.432% due 10/25/2035		639		583
TBW Mortgage-Backed Pass-Through Certificates
2.582% due 09/25/2036		374		355
5.970% due 09/25/2036		500		366
Thornburg Mortgage Securities Trust
2.582% due 03/25/2037		496		465
WaMu Mortgage Pass-Through Certificates
2.792% due 01/25/2045		231		179
4.258% due 01/25/2047		1,595		1,203
4.338% due 12/25/2046		873		733
4.528% due 02/25/2046		2,863		2,108
4.561% due 06/25/2033		848		827
4.728% due 11/25/2042		525		486
Total Mortgage-Backed Securities (Cost $53,171)				45,833
ASSET-BACKED SECURITIES 2.0%
Argent Securities, Inc.
2.532% due 09/25/2036		341		338
Asset-Backed Funding Certificates
2.522% due 09/25/2036		291		289
2.542% due 10/25/2036		281		278
Asset-Backed Securities Corp. Home Equity
4.121% due 03/15/2032		1,933		1,694
Atrium CDO Corp.
3.337% due 06/27/2015		2,403		2,331
Carrington Mortgage Loan Trust
2.548% due 07/25/2036		67		67
Citigroup Mortgage Loan Trust, Inc.
2.542% due 07/25/2045		2,339		2,175
Countrywide Asset-Backed Certificates
2.532% due 08/25/2037		759		745
2.532% due 05/25/2047		634		618
Credit-Based Asset Servicing & Securitization LLC
2.542% due 11/25/2036		1,615		1,571
2.572% due 12/25/2037		1,027		987
Fremont Home Loan Trust
2.552% due 02/25/2037		293		287
GSAMP Trust
2.522% due 10/25/2046		427		417
2.552% due 12/25/2036		638		618
2.582% due 01/25/2047		2,026		1,983
HSBC Asset Loan Obligation
2.542% due 12/25/2036		1,659		1,592
JPMorgan Mortgage Acquisition Corp.
2.532% due 08/25/2036		382		376
Lehman XS Trust
2.602% due 11/25/2036		603		586
Long Beach Mortgage Loan Trust
2.522% due 07/25/2036		373		372
2.762% due 10/25/2034		288		239
MASTR Asset-Backed Securities Trust
2.532% due 01/25/2037		968		873
Merrill Lynch Mortgage Investors, Inc.
2.542% due 04/25/2037		329		326
2.552% due 02/25/2037		35		34
Morgan Stanley ABS Capital I
2.522% due 10/25/2036		398		392
2.532% due 11/25/2036		535		506
RAAC Series 2007-SP2
2.882% due 06/25/2047		600		422
Residential Asset Mortgage Products, Inc.
2.562% due 07/25/2036		361		358
SACO I, Inc.
2.732% due 12/25/2035		1,812		1,129
Soundview Home Equity Loan Trust
2.542% due 12/25/2036		379		374
Specialty Underwriting & Residential Finance
3.162% due 01/25/2034		17		14
Washington Mutual Asset-Backed Certificates
2.532% due 01/25/2037		1,256		1,185
Total Asset-Backed Securities (Cost $24,797)				23,176
SOVEREIGN ISSUES 1.5%
Korea Development Bank
3.218% due 10/20/2009		5,150		5,156
5.300% due 01/17/2013		1,150		1,143
South Africa Government International Bond
5.875% due 05/30/2022		3,240		3,015
Ukraine Government International Bond
6.875% due 03/04/2011		250		246
Venezuela Government International Bond
5.375% due 08/07/2010		2,500		2,373
Vietnam Government International Bond
6.875% due 01/15/2016		6,000		5,774
Total Sovereign Issues (Cost $18,573)				17,707
FOREIGN CURRENCY-DENOMINATED ISSUES 19.1%
Amadeus Global Travel Distribution S.A.
6.959% due 04/08/2013	EUR	1,939		2,820
7.209% due 04/08/2014		1,939		2,836
Atlas Reinsurance PLC
8.947% due 01/10/2010		3,100		4,939
BCM Ireland Finance Ltd.
9.856% due 08/15/2016		350		496
Bombardier, Inc.
7.981% due 11/15/2013		3,250		5,053
Brazil Notas do Tesouro Nacional Series B
9.892% due 05/15/2045	BRL	10,000		9,864
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012		83,460		45,301
10.000% due 01/01/2017		32,420		15,836
Brazilian Government International Bond
12.500% due 01/05/2022		9,000		5,488
Brazilian Government International CPI Linked Bond
10.057% due 08/15/2024		28,300		27,933
Gaz Capital S.A.
5.440% due 11/02/2017	EUR	2,400		3,195
7.800% due 09/27/2010		3,000		4,774
Green Valley Ltd.
8.342% due 01/10/2011		1,900		3,000
Mizuho Bank Ltd.
1.317% due 11/24/2049	JPY	500,000		4,717
Mizuho Finance Aruba AEC
1.883% due 12/31/2049		600,000		5,677
M-Real OYJ
9.333% due 12/15/2010	EUR	8,000		10,643
Nordic Telephone Co. Holdings ApS
8.250% due 05/01/2016		1,400		2,017
PagesJaunes Groupe
5.973% due 01/11/2014		2,000		2,864
Pylon Ltd.
6.460% due 12/29/2008		4,000		6,274
Rhodia S.A.
7.497% due 10/15/2013		7,500		10,515
Royal Bank of Scotland Group PLC
9.644% due 04/06/2011	GBP	3,928		6,860
Seat Pagine Gialle SpA
4.386% due 06/08/2012	EUR	1,695		2,390
Sumitomo Mitsui Banking Corp.
0.950% due 06/02/2049	JPY	700,000		6,577
1.464% due 12/31/2049		700,000		6,510
Unitymedia Hessen GmbH & Co. KG
7.723% due 04/15/2013	EUR	2,475		3,712
UPC Broadband Holding BV
6.467% due 12/31/2014		3,742		5,358
Uruguay Government International Bond
3.700% due 06/26/2037 (d)	UYU	37,650		1,775
5.000% due 09/14/2018 (d)		52,164		3,012
6.875% due 01/19/2016	EUR	6,500		10,234
Total Foreign Currency-Denominated Issues (Cost $196,149)				220,670
	Shares
EXCHANGE-TRADED FUNDS 0.3%
Western Asset 2008 Worldwide Dollar Government Term Trust, Inc.		297,200		3,011
Total Exchange-Traded Funds (Cost $3,236)				3,011
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 13.9%
Certificates of Deposit 1.8%
Barclays Bank PLC
5.470% due 08/10/2009	$	11,700		11,642
Unicredito Italiano NY
3.071% due 05/15/2009		8,900		8,900
				20,542
Commercial Paper 0.5%
Federal Home Loan Bank
2.170% due 07/18/2008		2,900		2,897
2.220% due 07/23/2008		2,900		2,896
				5,793
Repurchase Agreements 1.7%
Deutsche Bank AG
1.500% due 07/01/2008		15,200		15,200
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 8.125% due 08/15/2019 valued at $3,061 and U.S. Treasury Inflation Protected Securities 1.875% due 07/15/2013 valued at $12,471. Repurchase proceeds are $15,201.)
Fixed Income Clearing Corp.
1.650% due 07/01/2008		5,060		5,060
(Dated 06/30/2008. Collateralized by Freddie Mac 0.000% due 12/15/2008 valued at $5,165. Repurchase proceeds are $5,060.)
				20,260
U.S. Treasury Bills 9.9%
1.824% due 08/28/2008 - 09/25/2008 (c)(e)		115,000		114,390
Total Short-Term Instruments (Cost $161,184)				160,985
Purchased Options (i) 1.5% (Cost $15,368)				17,658
Total Investments 114.5% (Cost $1,334,426)			$	1,325,478
Written Options (j) (0.1%) (Premiums $2,453)				(1,444	)
Other Assets and Liabilities (Net) (14.4%)				(166,858	)
Net Assets 100.0%			$	1,157,176

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 $114,141 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $88,893 at a weighted average interest rate of 2.487%. On June 30, 2008, securities valued at $128,637 were pledged as collateral for reverse repurchase agreements.

(g) Cash of $9,640 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2009	1,517	$	585
90-Day Eurodollar September Futures	Long	09/2008	98		(18	)
Euro-Bund 10-Year Bond September Futures	Long	09/2008	275		(518	)
Euro-Bund 10-Year Bond September Futures Put Options Strike @ EUR 101.500	Long	09/2008	275		0
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 91.750	Long	12/2008	750		(10	)
				$	39

(h) Swap agreements outstanding on June 30, 2008: Credit Default Swaps on Securities

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
AES Corp. 9.500% due 06/01/2009	Sell	3.850	%	09/20/2009	CSFB	$	250	$	7
Allied Waste North America, Inc. 6.125% due 02/15/2014	Sell	2.460	%	09/20/2009	CSFB		125		3
Allied Waste North America, Inc. 6.500% due 11/15/2010	Sell	2.750	%	09/20/2009	BOA		400		12
American International Group, Inc. 4.250% due 05/15/2013	Sell	0.095	%	09/20/2011	GSC		800		(50	)
ARAMARK Corp. 8.500% due 02/01/2015	Sell	4.500	%	09/20/2013	GSC		2,400		(54	)
ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	2.250	%	12/20/2009	MLP		500		(30	)
AT&T Corp. 9.050% due 11/15/2011	Sell	1.300	%	12/20/2009	CSFB		1,000		17
Bank of America Corp. 7.400% due 01/15/2011	Sell	0.170	%	06/20/2011	LEH		4,600		(133	)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	Sell	1.000	%	03/20/2013	BCLY		2,200		6
Bowater, Inc. 6.500% due 06/15/2013	Buy	(5.000	%)	03/20/2010	CITI		2,500		(147	)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	08/20/2011	BCLY		1,800		35
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011	BCLY		4,800		96
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.510	%	08/20/2016	LEH		4,500		54
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.060	%	05/20/2017	LEH		1,000		(26	)
Celestica, Inc. 7.875% due 07/01/2011	Sell	2.850	%	09/20/2011	BCLY		3,200		(110	)
CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	0.620	%	06/20/2012	DUB		6,700		(469	)
CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016	JPM		2,900		(332	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.070	%	03/20/2012	LEH		5,000		(131	)
Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.160	%	06/20/2011	MLP		11,900		(459	)
Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.163	%	06/20/2011	MSC		11,000		(424	)
Citigroup, Inc. 7.250% due 10/01/2010	Sell	0.170	%	06/20/2011	LEH		4,700		(180	)
CMS Energy Corp. 6.875% due 12/15/2015	Sell	1.500	%	09/20/2011	MLP		10,000		61
CMS Energy Corp. 7.500% due 01/15/2009	Sell	1.850	%	12/20/2009	MLP		1,500		20
Codere Finance S.A. 8.250% due 06/15/2015	Sell	3.920	%	12/20/2012	GSC	EUR	3,100		(324	)
Codere Finance S.A. 8.250% due 06/15/2015	Sell	4.150	%	12/20/2012	JPM		4,500		(415	)
Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	3.800	%	09/20/2012	BOA	$	4,200		(96	)
Delhaize America, Inc. 8.125% due 04/15/2011	Sell	1.400	%	09/20/2009	CSFB		125		1
Dynegy Holdings, Inc. 9.875% due 07/15/2010	Sell	2.350	%	12/20/2009	BEAR		1,500		19
Edison Mission Energy 7.730% due 06/15/2009	Sell	1.800	%	09/20/2011	CSFB		10,000		(310	)
El Paso Corp. 7.875% due 06/15/2012	Sell	1.800	%	09/20/2011	MLP		15,000		(89	)
El Paso Corp. 7.875% due 06/15/2012	Sell	1.820	%	09/20/2011	DUB		5,000		(27	)
Ford Motor Co. 7.450% due 07/16/2031	Sell	4.700	%	03/20/2012	CITI		5,000		(1,379	)
France Telecom S.A. 7.250% due 01/28/2013	Sell	0.325	%	09/20/2011	WAC	EUR	5,700		(156	)
France Telecom S.A. 7.250% due 01/28/2013	Sell	0.330	%	09/20/2011	UBS		5,300		(144	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.125	%	09/20/2011	DUB	$	1,000		(40	)
Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	3.400	%	12/20/2012	MLP		900		(39	)
Georgia-Pacific LLC 8.125% due 05/15/2011	Sell	1.240	%	09/20/2009	BEAR		300		(4	)
Georgia-Pacific LLC 8.125% due 05/15/2011	Sell	1.630	%	09/20/2009	MSC		100		(1	)
GMAC LLC 6.875% due 08/28/2012	Sell	7.750	%	03/20/2009	GSC		1,000		(45	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.180	%	12/20/2011	CITI		16,300		(5,403	)
GMAC LLC 6.875% due 08/28/2012	Sell	0.940	%	03/20/2012	CITI		8,000		(2,748	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.235	%	06/20/2012	MSC		6,000		(237	)
HCA, Inc. 9.125% due 11/15/2014	Sell	1.700	%	03/20/2012	CSFB		10,000		(230	)
Host Hotels & Resorts LP 7.125% due 11/01/2013	Sell	1.950	%	09/20/2009	BEAR		300		(3	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.390	%	12/20/2011	LEH		18,000		(573	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011	RBS		7,000		(193	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.280	%	06/20/2013	CITI		11,000		(254	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.330	%	06/20/2013	DUB		9,000		(189	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.840	%	12/20/2016	LEH		10,000		(865	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	12/20/2016	BCLY		7,500		(424	)
JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.210	%	06/20/2011	UBS		11,000		(223	)
JPMorgan Chase & Co. 6.750% due 02/01/2011	Sell	0.220	%	06/20/2011	LEH		4,900		(100	)
Knight, Inc. 6.500% due 09/01/2012	Buy	(1.530	%)	03/20/2011	DUB		6,000		(51	)
Korea Development Bank 5.750% due 09/10/2013	Buy	(0.940	%)	03/20/2013	MSC		4,150		73
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.585	%)	06/20/2012	MSC		6,000		329
MGM Mirage 5.875% due 02/27/2014	Sell	1.580	%	06/20/2012	LEH		5,000		(673	)
Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011	DUB		5,000		(159	)
Multiple Reference Entities of Gazprom	Sell	0.890	%	11/20/2011	JPM		5,000		(153	)
Multiple Reference Entities of Gazprom	Sell	0.890	%	11/20/2011	MSC		4,200		(128	)
Multiple Reference Entities of Gazprom	Sell	0.830	%	06/20/2017	BCLY		75		(8	)
NAK Naftogaz Ukrainy 8.125% due 09/30/2009	Sell	4.200	%	05/20/2009	DUB		10,000		(253	)
Nalco Co. 7.750% due 11/15/2011	Sell	2.850	%	12/20/2012	LEH		1,950		(93	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	1.400	%	11/20/2016	LEH		10,000		(206	)
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.580	%	05/20/2017	LEH		1,500		(96	)
Peru Government International Bond 8.750% due 11/21/2033	Sell	1.600	%	11/20/2016	LEH		10,000		97
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.760	%	07/20/2011	DUB		1,000		(2	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	1.920	%	09/20/2012	BCLY		2,500		(47	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.050	%	09/20/2012	DUB		3,700		(52	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.440	%	09/20/2017	MSC		4,300		(187	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.500	%	09/20/2017	DUB		3,000		(118	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.510	%	09/20/2017	BCLY		1,500		(58	)
Philippine Government International Bond 10.625% due 03/16/2025	Sell	2.530	%	09/20/2017	BCLY		1,500		(56	)
PSEG Energy Holdings LLC 8.500% due 06/15/2011	Sell	1.300	%	06/20/2012	MLP		5,000		5
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.470	%	03/20/2012	BCLY		2,000		(206	)
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.500	%	03/20/2012	BCLY		3,000		(307	)
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	1.500	%	03/20/2012	LEH		2,100		(215	)
RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	0.700	%	06/20/2012	GSC		6,700		(445	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.760	%	02/20/2009	BCLY		10,000		5
Russia Government International Bond 7.500% due 03/31/2030	Sell	2.360	%	08/24/2009	ABN		100		3
Russia Government International Bond 7.500% due 03/31/2030	Sell	1.650	%	07/20/2011	BCLY		4,800		(41	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.620	%	01/20/2017	LEH		11,000		(446	)
SLM Corp. 5.125% due 08/27/2012	Sell	0.820	%	06/20/2012	BOA		9,200		(1,189	)
Smurfit-Stone Container Enterprises, Inc. 9.750% due 02/01/2011	Sell	1.760	%	12/20/2009	BEAR		1,500		(60	)
Stone Container Finance 7.375% due 07/15/2014	Sell	2.300	%	12/20/2009	JPM		300		(10	)
TECO Energy, Inc. 7.000% due 05/01/2012	Sell	1.690	%	09/20/2009	GSC		300		5
TECO Energy, Inc. 7.200% due 05/01/2011	Sell	2.050	%	09/20/2009	CSFB		100		2
Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.520	%	09/20/2011	UBS	EUR	5,300		(174	)
Telecom Italia Finance S.A. 6.250% due 02/01/2012	Sell	0.525	%	09/20/2011	WAC		5,700		(185	)
Telefonos de Mexico S.A. de C.V. 4.500% due 11/19/2008	Buy	(0.550	%)	04/20/2011	LEH	$	7,900		54
Tesoro Corp. 6.250% due 11/01/2012	Buy	(2.950	%)	12/20/2012	BOA		865		5
TRW Automotive, Inc. 9.375% due 02/15/2013	Sell	2.150	%	09/20/2009	GSC		250		(1	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.590	%	04/20/2012	MSC		11,500		(659	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.400	%	05/20/2012	LEH		5,000		(336	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.340	%	11/20/2016	LEH		10,000		(1,110	)
Uruguay Government International Bond 7.875% due 01/15/2033	Sell	1.050	%	01/20/2012	DUB		34,000		(130	)
Vale Overseas Ltd. 8.250% due 01/17/2034	Sell	0.650	%	06/20/2014	UBS		21,700		(1,013	)
Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008	BCLY		7,700		(29	)
Wachovia Corp. 5.625% due 12/15/2008	Sell	0.160	%	06/20/2011	BNP		14,700		(895	)
Wachovia Corp. 5.625% due 12/15/2008	Sell	0.160	%	06/20/2011	MLP		7,900		(481	)
Wells Fargo & Co. 6.250% due 04/15/2008	Sell	0.160	%	06/20/2011	BEAR		10,000		(210	)
Williams Cos., Inc. 7.125% due 09/01/2011	Sell	2.050	%	09/20/2009	BOA		125		3
Williams Cos., Inc. 8.125% due 03/15/2012	Sell	1.710	%	09/20/2009	MLP		300		5
								$	(26,621	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. EM9 Index	Buy	(2.650	%)	06/20/2013	BCLY	$	1,215	$	12
Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012	CITI		13,514		(451	)
Dow Jones CDX N.A. HY9 Index	Buy	(3.750	%)	12/20/2012	BCLY		4,950		127
Dow Jones CDX N.A. HY9 Index	Sell	3.750	%	12/20/2012	RBS		4,950		188
Dow Jones CDX N.A. HY10 Index	Sell	2.360	%	06/20/2011	MLP		5,000		(167	)
Dow Jones CDX N.A. IG9 Index	Sell	0.695	%	12/20/2012	GSC		1,200		9
Dow Jones CDX N.A. IG9 Index	Sell	0.701	%	12/20/2012	DUB		5,200		39
Dow Jones CDX N.A. IG9 Index	Sell	0.705	%	12/20/2012	GSC		1,700		13
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB		1,700		13
Dow Jones CDX N.A. IG9 Index	Sell	0.710	%	12/20/2012	DUB		900		7
Dow Jones CDX N.A. IG9 Index	Sell	1.120	%	12/20/2012	JPM		4,300		27
Dow Jones CDX N.A. IG9 Index	Sell	1.160	%	12/20/2012	DUB		10,700		85
Dow Jones CDX N.A. IG9 Index	Sell	1.180	%	12/20/2012	DUB		6,400		56
Dow Jones iTraxx Europe 7X0V Index	Sell	2.300	%	06/20/2012	DUB	EUR	7,000		(918	)
Dow Jones iTraxx Europe X05 Index	Sell	2.900	%	06/20/2011	DUB		4,500		(216	)
Dow Jones iTraxx Europe X05 Index	Sell	2.900	%	06/20/2011	JPM		62,425		(3,442	)
Dow Jones iTraxx Europe X07 Index	Sell	2.300	%	06/20/2012	JPM		2,300		(156	)
Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045	CITI	$	16,000		(12,188	)
Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046	CITI		15,500		(12,997	)
Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046	GSC		16,000		(13,427	)
Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046	UBS		15,500		(12,980	)
LCDX N.A. Series 10 Index	Buy	(3.250	%)	06/20/2013	CSFB		7,900		(33	)
LCDX N.A. Series 10 Index	Buy	(3.250	%)	06/20/2013	GSC		38,900		(257	)
Select Aggregate Market Index	Sell	2.450	%	09/20/2008	CSFB		240		3
Select Aggregate Market Index	Sell	2.150	%	12/20/2009	CSFB		210		0
								$	(56,653	)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	DUB	$	3,300	$	(10	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	MLP		600		(1	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	RBS		5,700		(25	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MLP		4,200		19
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		46,200		(248	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA		182,000		(975	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		108,000		(799	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		37,300		(283	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MSC		121,900		(874	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		54,000		(238	)
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		115,250		829
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		1,280,650		1,001
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		654,500		10,424
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		26,200		65
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		107,245		425
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		224,800		2,423
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BCLY		17,600		(163	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	GSC		39,600		(275	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		94,600		(598	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MSC		2,700		(19	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		13,000		(314	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		7,900		(258	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		2,100		(26	)
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.990	%	11/09/2010	CITI	ZAR	381,050		(2,517	)
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.990	%	11/09/2010	HSBC		361,850		(2,459	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.973	%	12/15/2011	JPM	EUR	52,200		(2,778	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.976	%	12/15/2011	GSC		127,900		(6,803	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	BCLY		10,000		(583	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM		11,200		(659	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.965	%	03/15/2012	LEH		6,200		(320	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		13,900		(778	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS		4,500		(216	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.950	%	03/30/2012	RBS		5,000		(244	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		5,000		(295	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY		4,000		(233	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.980	%	04/30/2012	BCLY		9,200		(543	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	DUB	AUD	84,700		(1,828	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	JPM		16,900		(395	)
Pay	6-Month Australian Bank Bill	7.250	%	06/15/2013	CSFB		41,600		(948	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	CITI	EUR	13,300		(1,083	)
Pay	6-Month EUR-LIBOR	4.000	%	12/15/2011	BCLY		93,800		(7,270	)
Pay	6-Month GBP-LIBOR	6.000	%	09/18/2009	BCLY	GBP	225,000		(1,902	)
Pay	6-Month GBP-LIBOR	4.750	%	09/17/2010	JPM		31,100		(1,693	)
Pay	6-Month JPY-LIBOR	2.000	%	12/20/2016	DUB	JPY	1,100,000		59
Pay	6-Month PLN-LIBOR	5.248	%	04/20/2017	CITI	PLN	13,810		(542	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170	%	11/04/2016	MSC	MXN	37,900		(302	)
								$	(24,252	)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	110.000	08/22/2008	217	$	7	$	3
Call - CBOT U.S. Treasury 5-Year Note September Futures		128.000	08/22/2008	89		1		1
Call - CBOT U.S. Treasury 10-Year Note September Futures		130.000	08/22/2008	338		6		6
Call - CBOT U.S. Treasury 10-Year Note September Futures		132.000	08/22/2008	820		15		14
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	1,158		21		17
					$	50	$	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

BCLY

3-Month USD-LIBOR

Pay

3.500

%

02/02/2009

$

5,800

$

56

$

27

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	$	833
Put - OTC U.S. dollar versus Japanese yen	105.400	03/31/2010		23,000		965		1,584
Call - OTC U.S. dollar versus Japanese yen	101.250	12/08/2010		125,400		6,583		6,758
Put - OTC U.S. dollar versus Japanese yen	101.250	12/08/2010		125,400		6,744		8,415
					$	15,257	$	17,590

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017	$	106.500	09/04/2008	$	25,400	$	3	$	0
Put - OTC Fannie Mae 5.000% due 09/01/2038		78.000	09/04/2008		17,500		2		0
						$	5	$	0

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	1,158	$	1,152	$	432
Put - CBOT U.S. Treasury 10-Year Note September Futures		113.000	08/22/2008	1,158		1,246		974
					$	2,398	$	1,406

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call - OTC 5-Year Interest Rate Swap

BCLY

3-Month USD-LIBOR

Receive

4.300

%

02/02/2009

$

2,500

$

55

$

38

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

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Merna Reinsurance Ltd.	3.451	%	07/07/2010	09/21/2007	$	15,683	$	14,784	1.28	%

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	07/01/2038	$	49,900	$	49,292	$	49,190
Fannie Mae	6.000	%	07/01/2038		49,500		49,857		49,941
						$	99,149	$	99,131

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	2,778	07/2008	$	19	$	0		$	19
Buy	BRL	154,597	07/2008		5,449		0			5,449
Sell		154,597	07/2008		0		(10,101	)		(10,101	)
Buy		14,796	12/2008		144		0			144
Sell		189,957	12/2008		0		(7,373	)		(7,373	)
Buy	CLP	3,965,200	07/2008		0		(447	)		(447	)
Sell		3,965,200	07/2008		920		0			920
Buy		2,320,150	12/2008		0		(416	)		(416	)
Sell		4,646,906	12/2008		456		0			456
Buy		3,965,200	05/2009		0		(916	)		(916	)
Buy	CNY	743,743	07/2008		4,955		0			4,955
Sell		743,743	07/2008		0		(2,153	)		(2,153	)
Buy		113,156	10/2008		279		0			279
Sell		113,156	10/2008		0		(228	)		(228	)
Buy		136,624	11/2008		215		0			215
Buy	CZK	20,884	12/2008		218		0			218
Sell	EUR	79,190	07/2008		0		(1,276	)		(1,276	)
Sell	GBP	24,338	08/2008		0		(268	)		(268	)
Buy	HKD	931	07/2008		0		0			0
Buy	HUF	3,838	07/2008		3		0			3
Sell		3,838	07/2008		0		(1	)		(1	)
Buy		4,707	11/2008		1		0			1
Buy	IDR	314,967,000	10/2008		296		0			296
Buy	ILS	2,325	11/2008		100		0			100
Sell	JPY	6,224,991	07/2008		0		(972	)		(972	)
Buy	KRW	3,162,720	08/2008		0		(427	)		(427	)
Sell		3,162,720	08/2008		156		0			156
Buy	MXN	824,436	07/2008		5,432		0			5,432
Sell		824,436	07/2008		0		(5,106	)		(5,106	)
Buy		1,371	11/2008		0		0			0
Sell		89,651	11/2008		1		(54	)		(53	)
Buy	MYR	157,759	08/2008		25		(688	)		(663	)
Sell		102,012	08/2008		817		0			817
Buy		1,045	11/2008		0		0			0
Buy	PHP	1,900,734	08/2008		0		(4,671	)		(4,671	)
Sell		492,540	08/2008		1,074		0			1,074
Buy	PLN	108,261	07/2008		10,284		0			10,284
Sell		108,261	07/2008		0		(5,720	)		(5,720	)
Buy		457	11/2008		4		0			4
Sell		8,416	11/2008		0		(90	)		(90	)
Buy		12,117	05/2009		166		0			166
Sell	RON	72,224	01/2009		0		(3,121	)		(3,121	)
Buy	RUB	1,259,170	07/2008		3,373		0			3,373
Sell		1,259,170	07/2008		0		(3,120	)		(3,120	)
Buy		799,151	11/2008		1,611		0			1,611
Sell		482,500	11/2008		0		(462	)		(462	)
Buy		118,195	05/2009		117		0			117
Buy	SGD	73,865	08/2008		1,957		0			1,957
Sell		53,070	08/2008		0		(905	)		(905	)
Buy		5,334	11/2008		34		0			34
Buy	SKK	26,981	07/2008		208		0			208
Sell		26,981	07/2008		0		(25	)		(25	)
Buy		26,981	01/2009		24		0			24
Buy	TRY	2,133	12/2008		0		(25	)		(25	)
Buy	ZAR	326,373	07/2008		322		(3,770	)		(3,448	)
Sell		326,373	07/2008		1,859		0			1,859
Buy		97,800	12/2008		0		(132	)		(132	)
Sell		87,743	12/2008		0		(311	)		(311	)
				$	40,519	$	(52,778	)	$	(12,259	)

(n) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	3,011	$	1,290,293		$	32,174		$	1,325,478
Other Financial Instruments++		39		(206,348	)		(14,012	)		(220,321	)
Total	$	3,050	$	1,083,945		$	18,162		$	1,105,157

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)			Total Realized and Unrealized Gains/(Losses)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	24,109		$	8,637	$	(5	)	$	(567	)	$	0	$	32,174
Other Financial Instruments++		(6,480	)		0		0			(8,075	)		543		(14,012	)
Total	$	17,629		$	8,637	$	(5	)	$	(8,642	)	$	543	$	18,162

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

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

See Accompanying Notes

Schedule of Investments

Foreign Bond Fund (Unhedged)

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARUBA 0.1%
Mizuho Trust & Banking Co. Ltd.
2.405% due 04/27/2009	JPY	200,000	$	1,907
Total Aruba				1,907
(Cost $1,721)
AUSTRALIA 2.3%
Medallion Trust
2.768% due 05/25/2035	$	4,586		4,340
National Australia Bank Ltd.
3.208% due 02/08/2010		1,400		1,398
New South Wales Treasury Corp.
6.000% due 05/01/2012	AUD	8,000		7,337
Puma Finance Ltd.
2.748% due 02/21/2038	$	7,010		6,675
7.820% due 08/22/2037	AUD	11,320		10,623
8.073% due 07/12/2036		2,920		2,761
Queensland Treasury Corp.
6.000% due 06/14/2011		25,000		23,183
Seven Media Group
10.447% due 02/07/2013		5,736		5,114
10.510% due 02/07/2013		1,390		1,240
Torrens Trust Series 2007-1 A
8.067% due 10/19/2038		13,382		12,487
Total Australia (Cost $71,797)				75,158
AUSTRIA 0.1%
Kommunalkredit Austria AG
3.250% due 03/01/2011	EUR	2,100		3,141
Total Austria (Cost $3,095)				3,141
BERMUDA 0.1%
Merna Reinsurance Ltd.
3.451% due 07/07/2010 (k)	$	4,000		3,743
Total Bermuda				3,743
(Cost $3,970)
CANADA 3.8%
Alcan, Inc.
6.450% due 03/15/2011	$	2,400		2,486
Broadway Credit Card Trust
5.234% due 06/17/2011	CAD	19,900		19,625
Canada Housing Trust No. 1
3.950% due 06/15/2013		24,600		24,148
4.550% due 12/15/2012		25,100		25,249
Citigroup Finance Canada, Inc.
5.500% due 05/21/2013		3,900		3,753
Daimler Canada Finance, Inc.
4.850% due 03/30/2009		2,400		2,364
Honda Canada Finance, Inc.
3.453% due 03/26/2012		27,000		26,016
Province of Ontario Canada
6.200% due 06/02/2031		5,500		6,445
Province of Quebec Canada
5.750% due 12/01/2036		2,300		2,570
Toronto-Dominion Bank
5.375% due 05/14/2015	EUR	6,800		10,337
Total Canada				122,993
(Cost $119,959)
CAYMAN ISLANDS 1.5%
Calabash Re Ltd.
11.214% due 01/08/2010	$	2,450		2,450
Foundation Re II Ltd.
9.445% due 11/26/2010		1,500		1,512
Green Valley Ltd.
8.342% due 01/10/2011	EUR	3,100		4,895
Longpoint Re Ltd.
8.064% due 05/08/2010	$	3,300		3,300
Mizuho Finance Cayman Ltd.
1.060% due 09/28/2049	JPY	300,000		2,831
1.466% due 12/31/2049		100,000		951
Mizuho Financial Group Cayman Ltd.
8.375% due 12/29/2049	$	8,000		8,017
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		4,700		4,084
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	1,800		2,182
Mystic Re Ltd.
11.682% due 12/05/2008	$	500		488
Residential Reinsurance 2007 Ltd.
10.432% due 06/07/2010		5,900		5,918
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		5,600		4,763
STB Finance Cayman
1.644% due 08/12/2049	JPY	300,000		2,816
Vita Capital III Ltd.
3.891% due 01/01/2011	$	4,000		3,883
Total Cayman Islands				48,090
(Cost $49,130)
DENMARK 1.0%
Nykredit Realkredit A/S
4.000% due 01/01/2010	DKK	22,600		4,656
5.000% due 10/01/2038		22,993		4,470
Realkredit Danmark A/S
4.000% due 01/01/2010		51,800		10,702
5.000% due 10/01/2038		59,129		11,272
Total Denmark				31,100
(Cost $28,746)
FRANCE 3.7%
BNP Paribas Covered Bonds S.A.
4.750% due 05/28/2013	EUR	7,000		10,710
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049		7,600		10,187
CM-CIC Covered Bonds
5.250% due 06/09/2010		8,100		12,683
Credit Agricole S.A.
2.646% due 05/28/2009	$	10,800		10,755
6.637% due 05/29/2049		5,900		4,926
France Government Bond
4.000% due 04/25/2014	EUR	300		454
4.000% due 10/25/2038		21,100		28,116
4.000% due 04/25/2055		700		912
5.500% due 04/25/2029		4,200		7,010
5.750% due 10/25/2032		9,300		16,100
Societe Generale
5.922% due 12/31/2049	$	2,000		1,704
Vivendi
5.750% due 04/04/2013		10,800		10,689
6.625% due 04/04/2018		6,400		6,370
Total France				120,616
(Cost $122,743)
GERMANY 10.8%
Deutsche Bank AG
5.375% due 10/12/2012	$	9,200		9,348
6.000% due 09/01/2017		1,500		1,520
Eurohypo AG
4.250% due 11/20/2012	EUR	16,200		24,566
Republic of Germany
4.000% due 01/04/2037	EUR	4,300		5,859
4.250% due 07/04/2039		16,400		23,289
4.750% due 07/04/2034		10,600		16,239
5.500% due 01/04/2031		49,500		83,394
5.625% due 01/04/2028		41,700		70,947
6.250% due 01/04/2024		9,800		17,643
6.250% due 01/04/2030		48,440		88,978
6.500% due 07/04/2027		2,260		4,227
Total Germany				346,010
(Cost $344,717)
ICELAND 0.1%
Glitnir Banki HF
3.258% due 01/21/2011	$	3,000		2,399
Kaupthing Bank HF
5.750% due 10/04/2011		2,900		2,350
Total Iceland				4,749
(Cost $5,890)
IRELAND 1.3%
Atlas Reinsurance PLC
8.947% due 01/10/2010	EUR	2,000		3,187
Bank of Ireland
2.819% due 12/19/2008	$	7,000		6,998
Cars Alliance Funding PLC
4.861% due 10/08/2023	EUR	1,800		2,754
Immeo Residential Finance PLC
5.118% due 12/15/2016		4,957		7,117
Ireland Government Bond
4.400% due 06/18/2019		10,600		15,755
Osiris Capital PLC
7.713% due 01/15/2010	$	1,000		1,008
SC Germany Auto
4.545% due 08/11/2015	EUR	4,180		6,497
Total Ireland				43,316
(Cost $42,920)
ITALY 1.0%
Asset-Backed European Securitisation Transaction Srl
4.851% due 10/01/2015	EUR	13,000		20,204
Italy Buoni Poliennali Del Tesoro
3.000% due 04/15/2009		700		1,088
4.250% due 08/01/2014		1,100		1,666
4.500% due 05/01/2009		1,000		1,572
Locat Securitisation Vehicle Srl
5.140% due 12/12/2024		4,727		7,248
Total Italy				31,778
(Cost $30,260)
JAPAN 26.7%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	300		435
Japan Government Bond
0.900% due 12/20/2012	JPY	4,340,000		40,503
1.100% due 09/20/2012		17,260,000		162,803
1.200% due 03/20/2012		3,360,000		31,852
1.500% due 12/20/2017		5,300,000		49,685
1.600% due 09/20/2013		1,660,000		15,973
1.800% due 06/20/2017		10,500,000		101,213
2.300% due 06/20/2035		3,530,000		32,575
2.400% due 03/20/2034		580,000		5,470
2.500% due 09/20/2035		2,710,000		26,057
2.500% due 03/20/2036		210,000		2,014
2.500% due 09/20/2036		11,510,000		110,315
2.500% due 09/20/2037		3,340,000		32,078
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		998,910		9,325
1.000% due 06/10/2016		2,699,370		25,368
1.100% due 12/10/2016		5,993,880		56,668
1.200% due 03/10/2017		171,190		1,627
1.200% due 06/10/2017		10,555,160		99,993
1.200% due 12/10/2017		1,396,950		13,209
1.400% due 06/10/2018		3,160,000		30,344
Resona Bank Ltd.
5.850% due 09/29/2049	$	3,500		3,018
Sumitomo Mitsui Banking Corp.
1.726% due 12/31/2049	JPY	300,000		2,835
1.764% due 12/31/2049		300,000		2,832
1.844% due 12/01/2049		400,000		3,791
Total Japan (Cost $813,176)				859,983
JERSEY, CHANNEL ISLANDS 0.4%
HBOS Capital Funding LP
9.540% due 03/31/2049	GBP	3,900		7,854
HSBC Capital Funding LP
9.547% due 12/29/2049	$	4,852		5,065
Total Jersey, Channel Islands				12,919
(Cost $13,147)
LUXEMBOURG 0.1%
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008	$	3,100		3,098
Total Luxembourg (Cost $3,100)				3,098
MEXICO 0.1%
C5 Capital SPV Ltd.
6.196% due 12/01/2049	$	3,000		2,906
Total Mexico (Cost $3,000)				2,906
NETHERLANDS 1.7%
Arena BV
5.081% due 12/17/2064	EUR	2,962		4,560
Deutsche Telekom International Finance BV
8.750% due 06/15/2030	$	1,600		1,844
Generali Finance BV
5.479% due 02/28/2049	EUR	2,000		2,738
Globaldrive BV
4.617% due 06/20/2015		7,036		10,983
4.777% due 06/20/2015		1,500		2,138
Netherlands Government Bond
3.750% due 07/15/2014		1,200		1,791
4.250% due 07/15/2013		400		615
Rabobank Nederland NV
3.119% due 05/19/2010	$	30,100		30,064
Siemens Financieringsmaatschappij NV
2.728% due 08/14/2009		1,400		1,401
Total Netherlands (Cost $54,785)				56,134
NETHERLANDS ANTILLES 0.1%
BTMU Curacao Holdings
1.020% due 12/31/2049	JPY	300,000		2,837
Total Netherlands Antilles				2,837
(Cost $2,554)
NORWAY 0.4%
DnB NOR Boligkreditt
4.500% due 05/16/2011	EUR	8,000	$	12,454
Total Norway (Cost $12,309)				12,454
RUSSIA 0.7%
Gaz Capital S.A.
5.875% due 06/01/2015	EUR	600		844
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013	$	13,986		13,874
VTB Capital S.A.
3.384% due 08/01/2008		6,400		6,344
Total Russia (Cost $21,012)				21,062
SOUTH KOREA 0.2%
Export-Import Bank of Korea
5.750% due 05/22/2013	EUR	5,300		8,035
Total South Korea (Cost $8,158)				8,035
SPAIN 1.3%
Banco Bilbao Vizcaya Argentaria S.A.
2.750% due 06/07/2010	EUR	300		448
Bankinter S.A.
5.000% due 05/14/2010		5,200		8,058
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	7,000		6,780
Santander U.S. Debt S.A. Unipersonal
2.733% due 11/20/2009		4,000		3,962
Spain Government Bond
4.200% due 01/31/2037	EUR	600		811
5.750% due 07/30/2032		11,150		18,947
6.150% due 01/31/2013		1,000		1,655
Total Spain (Cost $40,942)				40,661
SUPRANATIONAL 0.1%
European Investment Bank
4.250% due 12/07/2010	GBP	1,600		3,079
Total Supranational (Cost $3,232)				3,079
SWITZERLAND 2.2%
Credit Suisse New York, Inc.
5.000% due 05/15/2013	$	28,600		27,874
UBS AG
3.704% due 05/05/2010		1,500		1,495
3.729% due 06/19/2010		11,500		11,474
5.750% due 04/25/2018		24,000		22,977
5.875% due 12/20/2017		7,500		7,319
Total Switzerland (Cost $72,883)				71,139
TUNISIA 0.1%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	3,000		3,914
Total Tunisia (Cost $3,630)				3,914
UKRAINE 0.0%
Ukraine Government International Bond
4.950% due 10/13/2015	EUR	1,000		1,263
Total Ukraine (Cost $1,210)				1,263
UNITED KINGDOM 3.9%
Bank of Scotland PLC
2.482% due 07/17/2008	$	2,300		2,300
Barclays Bank PLC
6.050% due 12/04/2017		20,100		19,765
7.434% due 09/29/2049		7,500		7,053
7.700% due 04/29/2049		6,300		6,442
8.250% due 02/28/2049	GBP	2,400		4,868
HBOS PLC
5.920% due 09/29/2049	$	8,400		5,995
HSBC Holdings PLC
6.500% due 05/02/2036		6,300		5,883
Opera Finance PLC
4.937% due 01/15/2015	EUR	4,350		6,342
Pearson Dollar Finance PLC
5.700% due 06/01/2014	$	6,800		6,650
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049	EUR	8,900		12,126
Tate & Lyle International Finance PLC
5.000% due 11/15/2014	$	1,100		1,024
United Kingdom Gilt
4.000% due 03/07/2009	GBP	11,000		21,752
4.500% due 12/07/2042		9,100		17,716
4.750% due 06/07/2010		40		79
5.750% due 12/07/2009		2,000		4,016
Weather Investments II SARL
10.920% due 12/17/2014	EUR	1,000		1,586
XL Capital Finance Europe PLC
6.500% due 01/15/2012	$	500		490
Total United Kingdom (Cost $127,795)				124,087
UNITED STATES 88.1%
Asset-Backed Securities 6.6%
Amortizing Residential Collateral Trust
2.772% due 07/25/2032	$	1		1
3.182% due 10/25/2031		5		4
Argent Securities, Inc.
2.532% due 10/25/2036		3,380		3,286
Asset-Backed Funding Certificates
2.542% due 10/25/2036		2,371		2,351
2.832% due 06/25/2034		4,406		3,923
BA Credit Card Trust
3.051% due 04/15/2013		2,100		2,097
3.183% due 12/15/2014		7,500		7,457
3.671% due 12/16/2013		12,000		12,187
Bear Stearns Asset-Backed Securities Trust
2.932% due 03/25/2043		6		6
Carrington Mortgage Loan Trust
2.548% due 07/25/2036		94		93
Chase Credit Card Master Trust
2.581% due 02/15/2011		1,450		1,449
Chase Issuance Trust
2.491% due 03/15/2013		10,000		9,849
3.371% due 05/16/2011		7,200		7,234
CIT Group Home Equity Loan Trust
2.772% due 03/25/2033		9		8
Citibank Omni Master Trust
3.597% due 03/20/2013		15,700		15,700
Citigroup Mortgage Loan Trust, Inc.
2.552% due 05/25/2037 (k)		1,322		1,256
Community Program Loan Trust
4.500% due 10/01/2018		540		535
Countrywide Asset-Backed Certificates
2.532% due 03/25/2047		2,465		2,433
2.542% due 09/25/2046		572		568
2.582% due 09/25/2047		6,607		6,456
2.962% due 12/25/2031		3		2
CS First Boston Mortgage Securities Corp.
3.102% due 01/25/2032		3		3
CSAB Mortgage-Backed Trust
2.582% due 06/25/2036		317		316
Ford Credit Auto Owner Trust
2.491% due 12/15/2009		2,256		2,256
2.776% due 06/15/2009		22,072		22,074
3.371% due 01/15/2011		15,200		15,247
3.891% due 06/15/2012		11,100		11,215
Fremont Home Loan Trust
2.552% due 02/25/2037		3,200		3,134
GSAMP Trust
2.772% due 03/25/2034		21		21
HFC Home Equity Loan Asset-Backed Certificates
2.829% due 09/20/2033		733		689
HSI Asset Securitization Corp. Trust
2.592% due 04/25/2037		322		292
Indymac Residential Asset-Backed Trust
2.542% due 04/25/2037		217		214
Lehman XS Trust
2.552% due 05/25/2046		215		206
2.562% due 06/25/2046		252		242
2.562% due 11/25/2046		5,707		5,425
2.632% due 04/25/2037		9,447		8,950
2.712% due 06/25/2046		736		416
2.722% due 11/25/2046		789		438
2.802% due 11/25/2046		1,000		349
Long Beach Mortgage Loan Trust
2.762% due 10/25/2034		360		299
Merrill Lynch Mortgage Investors, Inc.
2.532% due 05/25/2037		174		172
2.552% due 08/25/2036		2,596		2,512
2.552% due 07/25/2037		4,649		4,519
2.562% due 09/25/2037		4,571		4,461
Morgan Stanley Home Equity Loans
2.592% due 02/25/2036		2,784		2,774
Morgan Stanley Mortgage Loan Trust
2.842% due 04/25/2037		1,100		642
Nelnet Student Loan Trust
3.010% due 07/25/2016		193		193
Renaissance Home Equity Loan Trust
2.982% due 12/25/2033		1,021		849
Residential Asset Mortgage Products, Inc.
2.562% due 10/25/2036		5,008		4,702
Residential Asset Securities Corp.
2.522% due 06/25/2036		10		10
2.552% due 07/25/2036		73		73
2.562% due 10/25/2036		3,893		3,819
2.982% due 07/25/2032		13		12
SACO I, Inc.
2.542% due 05/25/2036		541		380
Saxon Asset Securities Trust
2.542% due 10/25/2046		4,700		4,596
3.002% due 08/25/2032		3		3
SBI HELOC Trust
2.652% due 08/25/2036		4,471		4,276
Securitized Asset-Backed Receivables LLC Trust
2.522% due 01/25/2037		943		914
2.542% due 03/25/2036		73		73
SLM Student Loan Trust
2.882% due 10/27/2014 (b)		3,000		2,998
2.910% due 07/25/2017		284		283
2.930% due 10/26/2015		319		319
2.982% due 10/25/2017 (b)		15,700		15,690
3.800% due 12/15/2038		2,700		2,680
Structured Asset Securities Corp.
2.882% due 05/25/2034		10		9
Washington Mutual Asset-Backed Certificates
2.542% due 10/25/2036		656		622
Wells Fargo Home Equity Trust
2.712% due 10/25/2035		3,006		2,897
2.722% due 11/25/2035		3,363		3,336
				212,495
Bank Loan Obligations 0.9%
Daimler Finance North America LLC
6.780% due 08/03/2012		23,529		19,488
Ford Motor Co.
5.480% due 12/15/2013		1,083		877
Georgia-Pacific Corp.
4.399% due 12/20/2012		286		270
4.446% due 12/20/2012		2,429		2,297
4.551% due 12/20/2012		218		207
HCA, Inc.
5.051% due 11/18/2013		4,049		3,808
Metro-Goldwyn-Mayer, Inc.
3.191% due 10/03/2011		100		82
3.468% due 10/03/2011		100		82
3.805% due 10/03/2011		80		66
MGM Mirage
3.154% due 10/03/2011		120		109
3.409% due 10/03/2011		100		91
3.664% due 10/03/2011		200		182
3.671% due 10/03/2011		300		272
				27,831
Commodity Index-Linked Notes 0.2%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		7,000		6,953
Corporate Bonds & Notes 28.8%
ACE INA Holdings, Inc.
5.600% due 05/15/2015		1,500		1,449
5.875% due 06/15/2014		1,000		1,005
Allstate Life Global Funding II
3.328% due 05/21/2010		21,600		21,474
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		6,800		6,783
American Express Bank FSB
2.625% due 06/12/2012		3,500		3,262
5.500% due 04/16/2013		13,700		13,415
American Express Co.
7.000% due 03/19/2018		15,500		15,740
American Express Credit Corp.
3.882% due 05/27/2010		9,900		9,824
5.875% due 05/02/2013		4,100		4,082
American International Group, Inc.
4.875% due 03/15/2067	EUR	5,200		6,147
5.850% due 01/16/2018	$	7,900		7,425
8.000% due 05/22/2038	EUR	18,700		29,069
8.175% due 05/15/2058	$	12,900		12,186
Amgen, Inc.
2.726% due 11/28/2008		3,100		3,091
AT&T, Inc.
2.888% due 11/14/2008		1,000		1,000
6.300% due 01/15/2038		2,900		2,755
AutoZone, Inc.
5.875% due 10/15/2012		1,600		1,598
Bank of America Corp.
2.904% due 11/06/2009		4,100		4,063
2.970% due 10/14/2016		1,600		1,449
4.750% due 05/23/2017	EUR	8,700		12,469
8.000% due 12/29/2049	$	19,300		18,127
8.125% due 12/29/2049		13,200		12,494
Bank of America N.A.
3.316% due 05/12/2010		500		498
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		11,900		12,389
7.250% due 02/01/2018		20,000		20,936
BellSouth Corp.
2.776% due 08/15/2008		3,900		3,898
5.200% due 09/15/2014		1,400		1,382
Boston Scientific Corp.
6.400% due 06/15/2016		2,700		2,551
CenturyTel, Inc.
6.000% due 04/01/2017		2,800		2,527
Charter One Bank N.A.
2.957% due 04/24/2009		9,000		8,976
CIT Group, Inc.
2.787% due 06/08/2009		7,500		6,939
Citigroup Funding, Inc.
3.820% due 05/07/2010		8,300		8,239
Citigroup, Inc.
2.848% due 12/26/2008		5,200		5,180
5.500% due 04/11/2013		12,900		12,608
6.000% due 08/15/2017		9,400		8,994
6.125% due 11/21/2017		19,800		19,062
6.125% due 05/15/2018		16,100		15,458
8.400% due 04/29/2049		5,100		4,854
Clorox Co.
5.450% due 10/15/2012		2,600		2,616
CNA Financial Corp.
5.850% due 12/15/2014		6,000		5,772
6.000% due 08/15/2011		2,000		2,011
Comcast Corp.
3.010% due 07/14/2009		7,600		7,541
Computer Sciences Corp.
6.500% due 03/15/2018		5,600		5,645
ConocoPhillips Australia Funding Co.
2.810% due 04/09/2009		5,548		5,552
Consolidated Edison Co. of New York, Inc.
5.850% due 04/01/2018		5,100		5,134
Cox Communications, Inc.
6.750% due 03/15/2011		1,700		1,756
CVS Caremark Corp.
2.982% due 06/01/2010		5,900		5,761
5.750% due 08/15/2011		700		718
Daimler Finance North America LLC
3.138% due 03/13/2009		5,800		5,783
4.875% due 06/15/2010		700		705
5.750% due 09/08/2011		1,100		1,123
EchoStar DBS Corp.
6.375% due 10/01/2011		500		484
7.000% due 10/01/2013		300		287
Edison Mission Energy
7.000% due 05/15/2017		300		282
Entergy Gulf States, Inc.
3.427% due 12/08/2008		504		504
Erac USA Finance Co.
6.375% due 10/15/2017		1,300		1,165
Exelon Corp.
4.900% due 06/15/2015		2,300		2,121
Freeport-McMoRan Copper & Gold, Inc.
5.882% due 04/01/2015		1,900		1,921
General Electric Capital Corp.
2.826% due 12/12/2008		1,600		1,598
2.876% due 06/15/2009		500		500
2.907% due 10/24/2008		3,200		3,197
2.937% due 10/26/2009		4,400		4,386
3.558% due 05/22/2013		6,400		6,367
6.375% due 11/15/2067		5,100		4,837
GlaxoSmithKline Capital, Inc.
5.650% due 05/15/2018		4,800		4,798
GMAC LLC
3.926% due 05/15/2009		3,400		3,198
4.750% due 09/14/2009	EUR	2,300		3,042
6.750% due 12/01/2014	$	3,200		2,118
Goldman Sachs Group, Inc.
5.250% due 06/01/2016 (k)	CAD	4,800		4,412
5.375% due 02/15/2013	EUR	3,800		5,691
6.150% due 04/01/2018	$	4,500		4,380
6.250% due 09/01/2017		22,500		22,312
HCP, Inc.
5.650% due 12/15/2013		8,000		7,330
5.950% due 09/15/2011		700		680
6.700% due 01/30/2018		2,900		2,615
HJ Heinz Co.
6.428% due 12/01/2020		3,100		3,127
HJ Heinz Finance Co.
6.000% due 03/15/2012		3,700		3,812
Home Depot, Inc.
2.901% due 12/16/2009		5,700		5,554
5.400% due 03/01/2016		8,000		7,368
HRPT Properties Trust
5.750% due 11/01/2015		8,250		7,513
International Lease Finance Corp.
5.300% due 05/01/2012		8,000		7,076
5.400% due 02/15/2012		2,400		2,157
6.625% due 11/15/2013		8,000		7,200
JC Penney Corp., Inc.
8.000% due 03/01/2010		2,200		2,283
JPMorgan Chase & Co.
2.498% due 05/07/2010		12,000		11,899
5.058% due 02/22/2021	CAD	3,100		2,859
6.000% due 01/15/2018	$	11,800		11,532
JPMorgan Chase Bank N.A.
4.375% due 11/30/2021	EUR	7,600		10,026
JPMorgan Chase Capital XX
6.550% due 09/29/2036	$	3,000		2,607
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		6,300		5,427
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038		8,000		7,975
Lehman Brothers Holdings, Inc.
2.820% due 11/16/2009		10,300		9,819
5.625% due 01/24/2013		14,700		13,933
6.875% due 05/02/2018		14,600		14,179
Lennar Corp.
5.950% due 10/17/2011		700		588
Loews Corp.
5.250% due 03/15/2016		800		776
Macy’s Retail Holdings, Inc.
4.800% due 07/15/2009		700		686
Mandalay Resort Group
9.500% due 08/01/2008		700		703
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		1,900		1,889
Masco Corp.
5.875% due 07/15/2012		700		669
6.125% due 10/03/2016		30,000		27,261
Maytag Corp.
5.000% due 05/15/2015		2,200		2,159
McKesson Corp.
5.700% due 03/01/2017		1,900		1,833
Merck & Co., Inc.
4.750% due 03/01/2015		2,200		2,179
Merrill Lynch & Co., Inc.
2.768% due 08/14/2009		1,000		969
2.960% due 10/23/2008		4,300		4,275
4.966% due 05/12/2010		27,800		27,374
6.875% due 04/25/2018		22,200		21,195
Metropolitan Life Global Funding I
2.759% due 05/17/2010		6,000		5,920
5.125% due 04/10/2013		12,800		12,622
Midwest Generation LLC
8.300% due 07/02/2009		676		681
Morgan Stanley
2.521% due 11/21/2008		3,100		3,086
2.820% due 05/07/2009		6,000		5,908
3.184% due 10/18/2016		2,200		1,912
3.193% due 10/15/2015		7,200		6,320
4.778% due 05/14/2010		16,300		16,246
6.000% due 04/28/2015		21,000		20,135
6.250% due 08/28/2017		1,200		1,122
NGPL Pipe Co. LLC
7.119% due 12/15/2017		400		410
7.768% due 12/15/2037		7,700		8,103
NiSource Finance Corp.
5.400% due 07/15/2014		800		750
PPG Industries, Inc.
6.650% due 03/15/2018		8,000		8,180
Pricoa Global Funding I
3.473% due 06/04/2010		35,000		34,981
Principal Life Income Funding Trusts
5.300% due 04/24/2013		5,500		5,508
ProLogis
5.625% due 11/15/2015		8,000		7,539
Prudential Financial, Inc.
6.625% due 12/01/2037		8,900		8,438
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		400		400
Qwest Corp.
6.026% due 06/15/2013		1,500		1,440
Rabobank Capital Funding Trust
5.254% due 12/29/2049		2,000		1,722
Raychem Corp.
7.200% due 10/15/2008		200		201
Sara Lee Corp.
6.250% due 09/15/2011		1,600		1,640
Sealed Air Corp.
5.625% due 07/15/2013		2,300		2,226
Simon Property Group LP
6.125% due 05/30/2018		8,000		7,808
Southwest Airlines Co.
5.125% due 03/01/2017		3,300		2,811
Sprint Capital Corp.
8.375% due 03/15/2012		2,900		2,873
8.750% due 03/15/2032		1,100		1,050
State Street Capital Trust IV
3.776% due 06/15/2037		5,900		4,552
SUPERVALU, Inc.
7.500% due 11/15/2014		400		402
Target Corp.
7.000% due 01/15/2038		6,300		6,488
Time Warner, Inc.
2.915% due 11/13/2009		8,500		8,263
Tyco International Ltd.
7.000% due 12/15/2019		7,500		7,421
U.S. Bancorp
2.512% due 04/28/2009		4,300		4,295
United Airlines, Inc.
9.060% due 06/17/2015 (a)		175		2
Universal Health Services, Inc.
7.125% due 06/30/2016		1,000		1,031
Valero Energy Corp.
6.125% due 06/15/2017		2,000		1,937
Verizon Communications, Inc.
6.100% due 04/15/2018		5,200		5,177
Viacom, Inc.
5.750% due 04/30/2011		2,800		2,809
Wachovia Corp.
5.500% due 05/01/2013		12,600		12,077
Wells Fargo & Co.
4.375% due 01/31/2013		7,000		6,788
Wyeth
6.950% due 03/15/2011		1,900		2,013
Xerox Corp.
9.750% due 01/15/2009		2,400		2,471
				926,400
Mortgage-Backed Securities 9.6%
Adjustable Rate Mortgage Trust
5.141% due 09/25/2035		663		634
American Home Mortgage Assets Trust
2.712% due 09/25/2046		839		454
4.448% due 11/25/2046		4,355		3,219
American Home Mortgage Investment Trust
2.632% due 09/25/2035		84		84
4.290% due 10/25/2034		1,238		1,087
Banc of America Funding Corp.
6.141% due 01/20/2047		924		752
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		2,792		2,695
BCAP LLC Trust
2.652% due 01/25/2037		12,515		8,013
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		14,540		13,907
4.415% due 05/25/2034		2,382		2,246
4.476% due 02/25/2034		131		127
4.550% due 08/25/2035		11,283		10,860
4.625% due 10/25/2035		7,828		7,523
4.629% due 05/25/2034		601		575
4.641% due 10/25/2033		1,036		995
5.615% due 02/25/2033		155		146
5.733% due 02/25/2036		1,295		1,079
Bear Stearns Alt-A Trust
5.701% due 09/25/2035		4,861		4,012
5.784% due 11/25/2036		6,474		5,250
5.796% due 11/25/2036		3,442		2,535
5.916% due 02/25/2036		7,088		5,465
5.920% due 11/25/2036		1,855		1,334
6.250% due 08/25/2036		4,538		3,544
Bear Stearns Commercial Mortgage Securities
2.581% due 03/15/2019		150		144
5.540% due 09/11/2041		2,600		2,495
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		10,104		10,015
Bella Vista Mortgage Trust
2.729% due 05/20/2045		80		63
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		122		115
5.889% due 12/10/2049		3,900		3,689
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		3,665		3,464
4.748% due 08/25/2035		3,670		3,499
4.900% due 10/25/2035		10,804		10,495
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		11,800		10,932
Commercial Mortgage Pass-Through Certificates
2.671% due 02/05/2019		300		291
6.455% due 05/15/2032		680		680
Countrywide Alternative Loan Trust
2.689% due 03/20/2046		178		126
2.692% due 05/25/2035		3,455		2,627
2.732% due 09/25/2046		1,700		578
2.742% due 07/25/2046		1,300		458
2.759% due 09/20/2046		1,700		730
2.762% due 02/25/2037		143		105
2.832% due 05/25/2037		1,767		1,216
2.832% due 06/25/2037		985		598
2.902% due 12/25/2035		902		577
5.250% due 06/25/2035		1,126		975
6.000% due 01/25/2037		4,440		3,559
6.250% due 08/25/2037		1,392		1,048
Countrywide Home Loan Mortgage Pass-Through Trust
2.772% due 04/25/2035		260		196
2.802% due 03/25/2035		2,438		1,886
2.812% due 02/25/2035		174		142
2.822% due 02/25/2035		256		204
2.822% due 03/25/2036		1,281		777
5.250% due 02/20/2036		2,255		1,988
5.259% due 01/20/2035		875		807
5.555% due 04/20/2036		1,332		1,246
5.607% due 08/25/2034		353		294
Credit Suisse Mortgage Capital Certificates
5.311% due 12/15/2039		11,200		10,540
CS First Boston Mortgage Securities Corp.
4.688% due 08/25/2033		1,003		979
5.097% due 07/25/2033		123		116
Deutsche ALT-A Securities,
Inc. Alternate Loan Trust
2.492% due 10/25/2036		2,959		2,906
2.552% due 01/25/2047		483		451
5.500% due 12/25/2035		1,600		1,311
6.300% due 07/25/2036		1,600		1,317
First Horizon Asset Securities, Inc.
4.384% due 12/25/2033		895		873
4.464% due 07/25/2033		173		170
5.368% due 08/25/2035		596		570
6.250% due 08/25/2017		1,760		1,725
GMAC Mortgage Corp. Loan Trust
4.305% due 06/25/2034		155		125
5.500% due 09/25/2034		1,701		1,681
Greenpoint Mortgage Funding Trust
2.682% due 12/25/2046		1,500		537
2.702% due 06/25/2045		897		738
2.752% due 11/25/2045		189		151
Greenpoint Mortgage Pass-Through Certificates
4.392% due 10/25/2033		168		160
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		63		59
GSR Mortgage Loan Trust
4.510% due 03/25/2033		994		951
4.539% due 09/25/2035		967		938
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		2,646		2,408
2.672% due 01/19/2038		8,571		6,138
2.702% due 05/19/2035		1,618		1,229
2.722% due 03/19/2037		159		112
2.852% due 02/19/2034		15		14
5.145% due 07/19/2035		289		267
5.172% due 05/19/2033		1,302		1,257
Indymac Index Mortgage Loan Trust
2.772% due 11/25/2036		1,875		1,044
5.000% due 08/25/2035		922		821
5.044% due 12/25/2034		396		344
5.439% due 09/25/2035		920		662
JPMorgan Alternative Loan Trust
5.500% due 11/25/2036		3,020		2,691
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		500		470
5.429% due 12/12/2043		4,000		3,796
JPMorgan Mortgage Trust
4.386% due 11/25/2033		910		891
5.020% due 02/25/2035		2,843		2,685
5.379% due 08/25/2035		1,400		1,328
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		225		225
Lehman XS Trust
2.562% due 07/25/2046		1,593		1,556
MASTR Adjustable Rate Mortgages Trust
2.822% due 05/25/2047		1,500		576
4.133% due 07/25/2034		1,230		1,185
MASTR Alternative Loans Trust
2.882% due 03/25/2036		1,064		757
MASTR Asset Securitization Trust
5.500% due 11/25/2017		376		368
Mellon Residential Funding Corp.
2.911% due 12/15/2030		19		18
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		3,800		3,528
6.156% due 08/12/2049		8,502		8,230
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		11,341		9,122
2.732% due 08/25/2036		879		558
6.239% due 02/25/2033		467		460
Merrill Lynch Mortgage Trust
3.585% due 10/12/2041		135		134
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		2,433		2,199
3.482% due 10/25/2035		3,564		3,309
4.430% due 10/25/2035		7,239		6,860
Morgan Stanley Capital I
5.692% due 04/15/2049		1,500		1,418
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		522		427
5.703% due 02/25/2036		981		770
5.820% due 03/25/2047		1,300		1,083
6.138% due 03/25/2047		1,100		849
Residential Accredit Loans, Inc.
2.662% due 06/25/2046		7,573		5,432
2.692% due 04/25/2046		208		149
2.788% due 09/25/2046		2,200		904
5.672% due 09/25/2035		1,217		1,037
Residential Asset Securitization Trust
5.750% due 02/25/2036		1,640		1,377
Residential Funding Mortgage Securities I
5.209% due 09/25/2035		627		550
Structured Adjustable Rate Mortgage Loan Trust
2.702% due 05/25/2037		255		184
4.180% due 02/25/2034		646		575
4.590% due 04/25/2034		1,480		1,413
4.928% due 01/25/2035		86		81
6.000% due 10/25/2037		1,249		934
Structured Asset Mortgage Investments, Inc.
2.702% due 05/25/2036		6,431		4,512
2.712% due 05/25/2045		1,136		896
2.732% due 07/19/2035		7,582		6,192
2.732% due 09/25/2047		836		469
2.792% due 12/25/2035		82		59
TBW Mortgage-Backed Pass-Through Certificates
5.970% due 09/25/2036		200		146
Thornburg Mortgage Securities Trust
2.602% due 09/25/2046		5,085		4,905
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		7,136		6,734
WaMu Mortgage Pass-Through Certificates
2.702% due 07/25/2046		921		729
2.712% due 04/25/2045		2,551		2,009
2.742% due 11/25/2045		577		443
2.752% due 12/25/2045		2,065		1,599
2.772% due 10/25/2045		249		194
2.792% due 01/25/2045		485		376
2.802% due 01/25/2045		354		291
2.928% due 11/25/2034		1,959		1,660
3.022% due 12/25/2027		1,468		1,341
4.134% due 08/25/2034		4,010		3,841
4.229% due 03/25/2034		2,613		2,559
4.268% due 01/25/2047		2,354		1,785
4.508% due 06/25/2046		4,206		3,073
4.528% due 02/25/2046		136		100
4.561% due 06/25/2033		337		328
4.780% due 07/25/2046		1,520		1,216
4.780% due 10/25/2046		3,277		2,558
4.928% due 06/25/2042		323		294
4.928% due 08/25/2042		152		136
4.990% due 05/25/2041		59		54
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.732% due 07/25/2046		503		282
4.468% due 07/25/2046		1,425		1,008
Washington Mutual MSC Mortgage Pass-Through Certificates
6.792% due 02/25/2033		15		15
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		6,097		5,875
5.577% due 04/25/2036		1,684		1,663
5.773% due 04/25/2036		1,173		940
				309,560
Municipal Bonds & Notes 1.3%
Arkansas State Northern Tobacco Securitization Corp. Revenue Bonds, Series 2006
5.000% due 06/01/2046		5,000		3,735
California State General Obligation Bonds, (AMBAC Insured), Series 2007
4.500% due 08/01/2028		5,600		5,210
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
10.579% due 01/01/2014		630		556
Golden State, California Tobacco Securitization Corp. Revenue Bonds, (FGIC Insured), Series 2005
5.000% due 06/01/2035		6,900		6,510
5.000% due 06/01/2038		4,600		4,290
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		895		824
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2022		9,700		9,611
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2029		3,400		2,814
5.000% due 06/01/2041		500		378
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
10.679% due 12/15/2013		330		304
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		2,000		137
San Bernardino, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		7,500		7,569
South Carolina State Transportation Infrastructure Bank Revenue Bonds, (AMBAC Insured), Series 2001
5.000% due 10/01/2023		1,500		1,525
				43,463
U.S. Government Agencies 30.6%
Fannie Mae
2.542% due 12/25/2036 - 07/25/2037		5,570		5,485
2.602% due 03/25/2034		36		35
2.632% due 08/25/2034		30		29
2.682% due 10/27/2037		15,400		14,733
2.732% due 06/25/2044		17		17
2.882% due 06/25/2029		38		38
3.806% due 06/01/2035 (f)		220		220
4.000% due 02/01/2014 - 04/01/2014		4,210		4,136
4.205% due 11/01/2034 (f)		4,674		4,762
4.500% due 02/01/2013 - 05/01/2013		4,283		4,270
4.818% due 09/01/2035 (f)		1,001		1,004
4.880% due 12/01/2015		1,896		1,854
4.940% due 12/01/2034 (f)		224		225
4.990% due 10/01/2015		20,456		20,157
4.994% due 06/01/2043 - 10/01/2044 (f)		760		760
5.000% due 02/01/2013 - 05/01/2038		8,902		8,678
5.000% due 05/01/2037 - 05/01/2038 (f)		4,088		3,858
5.055% due 11/01/2015		10,422		10,301
5.140% due 11/01/2015		3,405		3,381
5.180% due 11/01/2015		3,257		3,241
5.220% due 12/01/2015		13,200		13,159
5.220% due 03/01/2033 (f)		278		279
5.360% due 01/01/2016		998		1,002
5.478% due 12/01/2036 (f)		394		395
5.490% due 10/01/2015		645		652
5.500% due 05/25/2027 - 07/01/2038		8,574		8,591
5.500% due 10/01/2028 - 02/01/2048 (f)		381,938		377,283
5.700% due 08/01/2018		3,741		3,837
6.000% due 01/01/2023 - 05/01/2038 (f)		192,584		194,573
6.000% due 11/01/2023 - 07/25/2044		72,034		72,886
6.500% due 09/01/2024 - 06/25/2044		9,540		9,829
6.500% due 04/01/2035 - 10/01/2037 (f)		6,693		6,904
6.728% due 05/01/2026 (f)		29		29
Federal Housing Administration
6.896% due 07/01/2020		1,151		1,128
7.430% due 09/01/2022 - 11/01/2022		84		85
Freddie Mac
2.742% due 08/25/2031		69		67
2.821% due 12/15/2030		517		511
2.921% due 12/15/2031		162		161
4.343% due 09/01/2035 (f)		267		267
4.500% due 07/15/2018		2,587		2,588
4.885% due 10/01/2035 (f)		871		884
4.904% due 11/01/2035 (f)		1,015		1,014
5.000% due 11/15/2021 - 12/15/2031		10,111		10,085
5.032% due 08/01/2035 (f)		1,151		1,157
5.098% due 10/01/2035 (f)		973		968
5.226% due 03/01/2036 (f)		1,046		1,062
5.500% due 09/01/2035 - 07/01/2038		19,343		19,067
6.000% due 09/01/2021 - 11/01/2023		4,978		5,097
6.714% due 06/01/2024 (f)		68		69
7.000% due 09/01/2036		6,193		6,434
Ginnie Mae
4.500% due 09/15/2033 (f)		41		38
5.125% due 10/20/2029 (f)		42		42
6.000% due 08/20/2034 - 07/01/2038		18,403		18,726
6.500% due 07/01/2038		130,000		134,286
Small Business Administration
4.625% due 02/01/2025		910		874
4.754% due 08/10/2014		59		58
5.110% due 04/01/2025		1,968		1,947
				983,218
U.S. Treasury Obligations 10.1%
U.S. Treasury Notes
4.625% due 11/15/2016		65,600		69,258
4.875% due 08/15/2016		239,100		254,268
				323,526
Total United States (Cost $2,888,171)				2,833,446
SHORT-TERM INSTRUMENTS 12.1%
Commercial Paper 3.6%
Citibank N.A.
3.570% due 08/19/2008		17,000		16,917
3.580% due 10/23/2008		22,000		21,795
Nordea N.A., Inc.
2.770% due 09/29/2008		77,150		76,594
				115,306
Repurchase Agreements 1.2%
Deutsche Bank AG
1.500% due 07/01/2008		36,000		36,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $36,677. Repurchase proceeds are $36,002.)
Fixed Income Clearing Corp.
1.650% due 07/01/2008		1,756		1,756
(Dated 06/30/2008. Collateralized by Fannie Mae 0.000% due 09/24/2008 valued at $1,794. Repurchase proceeds are $1,756.)
				37,756
Canada Treasury Bills 4.4%
2.560% due 07/24/2008	CAD	145,000		142,093
U.S. Treasury Bills 2.9%
1.839% due 08/28/2008 - 09/25/2008 (c)(d)(e)	$	94,900		94,373
Total Short-Term Instruments (Cost $390,432)				389,528
Purchased Options (i) 0.6% (Cost $22,052)				17,772
Total Investments 164.6% (Cost $5,306,536)			$	5,296,918
Written Options (j) (0.6%) (Premiums $22,410)				(19,552	)
Other Assets and Liabilities (Net) (64.0%)				(2,059,353	)
Net Assets 100.0%			$	3,218,013

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

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

(a) Security is in default.

(b) When-issued security.

(c) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $88,249 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(e) Securities with an aggregate market value of $1,391 have been pledged as collateral for delayed-delivery securities on June 30, 2008.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $370,379 at a weighted average interest rate of 2.429%. On June 30, 2008 securities valued at $597,724 were pledged as collateral for reverse repurchase agreements.

(g) Cash of $37,318 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
3-Month Canadian Bankers’ Acceptance December Futures	Short	12/2008	527	$	502
3-Month Canadian Bankers’ Acceptance September Futures	Short	09/2008	52		68
90-Day Euribor September Futures	Short	09/2008	651		13
90-Day Eurodollar December Futures	Long	12/2008	1,126		60
90-Day Eurodollar December Futures	Long	12/2009	4,364		(6,404	)
90-Day Eurodollar June Futures	Long	06/2009	179		(105	)
90-Day Eurodollar March Futures	Long	03/2009	186		57
90-Day Eurodollar March Futures	Long	03/2010	777		(2,265	)
90-Day Eurodollar September Futures	Long	09/2008	98		73
90-Day Eurodollar September Futures	Long	09/2009	5,495		(13,576	)
Australia Government 3-Year Bond September Futures	Short	09/2008	316		(233	)
Australia Government 10-Year Bond September Futures	Short	09/2008	486		(738	)
Canada Government 10-Year Bond September Futures	Short	09/2008	51		19
Euro-Bobl September Futures	Long	09/2008	563		(1,060	)
Euro-Bobl September Futures	Short	09/2008	172		432
Euro-Bobl September Futures Put Options Strike @ EUR 100.000	Long	09/2008	279		4
Euro-Bobl September Futures Put Options Strike @ EUR 101.000	Long	09/2008	112		0
Euro-Bobl September Futures Call Options Strike @ EUR 118.000	Long	09/2008	955		0
Euro-Bund 10-Year Bond September Futures	Long	09/2008	2,561		(4,310	)
Euro-Bund 10-Year Bond September Futures Put Options Strike @ EUR 103.500	Long	09/2008	94		0
Euro-Bund 10-Year Bond September Futures Put Options Strike @ EUR 104.000	Long	09/2008	2,461		(1	)
Euro-Schatz September Futures	Short	09/2008	1,474		1,190
Euro-Schatz September Futures Call Options Strike @ EUR 108.000	Long	09/2008	3,746		0
Japan Government 10-Year Bond September Futures	Long	09/2008	49		664
U.S. Treasury 2-Year Note September Futures	Short	09/2008	3,233		(130	)
U.S. Treasury 5-Year Note September Futures	Short	09/2008	1,993		(1,367	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	3,009		1,316
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	617		929
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Short	12/2009	1		4
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Short	06/2009	10		25
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Short	03/2009	323		970
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Short	09/2009	156		518
United Kingdom Government 10-Year Bond September Futures	Long	09/2008	62		(211	)
				$	(23,556	)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
ACE INA Holdings, Inc. 5.600% due 05/15/2015	Buy	(0.610	%)	06/20/2015	DUB	$	1,500	$	13
ACE INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	06/20/2014	DUB		1,000		18
Akzo Nobel NV 4.250% due 06/14/2011	Buy	(0.290	%)	06/20/2012	DUB	EUR	1,700		23
Alcan, Inc. 6.450% due 03/15/2011	Buy	(0.140	%)	03/20/2011	LEH	$	2,600		7
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012	CITI		1,600		13
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.860	%)	06/20/2013	GSC		6,000		18
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.850	%)	06/20/2013	RBS		1,000		3
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017	BOA		1,100		37
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017	JPM		1,900		63
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	CITI		1,600		98
Barclays Bank PLC 4.566% due 10/27/2015	Sell	1.480	%	03/20/2013	LEH	EUR	1,500		38
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(2.223	%)	03/20/2018	RBS	$	500		(43	)
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(2.180	%)	03/20/2018	BNP		15,500		(1,289	)
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(0.770	%)	03/20/2018	DUB		4,000		81
BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014	LEH		1,400		5
Boston Scientific Corp. 6.400% due 06/15/2016	Buy	(2.060	%)	06/20/2016	UBS		2,700		(39	)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.260	%	08/20/2011	JPM		4,200		68
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	08/20/2011	LEH		25,700		435
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.345	%	08/20/2011	JPM		7,600		145
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.350	%	08/20/2011	LEH		11,700		225
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011	LEH		5,300		106
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	08/20/2011	MSC		11,200		227
Capital One Bank 5.125% due 02/15/2014	Buy	(0.160	%)	06/20/2012	BCLY		1,500		151
Carnival Corp. 6.650% due 01/15/2028	Buy	(0.210	%)	06/20/2012	GSC		2,300		93
CenturyTel, Inc. 6.000% due 04/01/2017	Buy	(0.595	%)	06/20/2017	BOA		2,800		237
CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.940	%)	12/20/2014	BOA		6,000		85
CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011	BEAR		2,000		28
Compass Group PLC 6.375% due 05/29/2012	Buy	(0.390	%)	06/20/2012	MLP	EUR	1,600		6
Computer Sciences Corp. 6.500% due 03/15/2018	Buy	(1.180	%)	03/20/2018	GSC	$	4,600		(147	)
Computer Sciences Corp. 6.500% due 03/15/2018	Buy	(0.760	%)	03/20/2018	BCLY		1,000		0
Cox Communications, Inc. 6.750% due 03/15/2011	Buy	(0.200	%)	03/20/2011	MSC		1,700		18
CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	09/20/2011	RBS		700		7
Daimler Canada Finance, Inc. 4.850% due 03/30/2009	Buy	(0.350	%)	06/20/2009	RBC		2,000		4
Daimler Finance N.A. LLC 4.875% due 06/15/2010	Buy	(0.520	%)	06/20/2010	BEAR		700		2
Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.620	%)	09/20/2011	RBS		1,100		6
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS		17,200		16
Deutsche Bank AG 5.500% due 05/18/2011	Buy	(0.920	%)	06/20/2013	BNP		2,700		7
Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.495	%)	06/20/2017	MSC		1,100		18
Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.470	%)	06/20/2017	BCLY		900		17
Erac USA Finance Co. 6.375% due 10/15/2017	Buy	(0.800	%)	12/20/2017	GSC		1,300		162
Exelon Corp. 4.900% due 06/15/2015	Buy	(0.520	%)	06/20/2015	MLP		2,300		89
Fannie Mae 5.500% due 06/09/2033	Buy	(0.780	%)	03/20/2013	BNP		9,200		(64	)
Fannie Mae 5.500% due 06/09/2033	Buy	(0.520	%)	06/20/2013	LEH		7,000		35
Fannie Mae 5.500% due 06/09/2033	Buy	(0.570	%)	09/20/2013	JPM		4,000		14
Fannie Mae 5.500% due 06/09/2033	Buy	(0.560	%)	09/20/2013	CSFB		9,900		40
Fannie Mae 5.500% due 06/09/2033	Buy	(0.540	%)	09/20/2013	BNP		10,900		54
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.650	%	12/20/2012	LEH		4,800		(1,182	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	7.300	%	03/20/2009	JPM		10,600		(275	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	7.400	%	03/20/2009	JPM		6,100		(154	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	7.500	%	03/20/2009	CITI		1,800		(44	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	5.000	%	06/20/2009	CITI		2,000		(22	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	3.950	%	12/20/2012	BOA		1,700		(406	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	3.950	%	12/20/2012	UBS		1,900		(454	)
Ford Motor Credit Co. LLC 7.875% due 06/15/2010	Buy	(2.310	%)	06/20/2010	LEH		2,200		349
Freddie Mac 4.500% due 01/15/2014	Buy	(0.570	%)	09/20/2013	JPM		16,200		58
Freddie Mac 4.500% due 01/15/2014	Buy	(0.560	%)	09/20/2013	BNP		400		2
Freddie Mac 4.500% due 01/15/2014	Buy	(0.540	%)	09/20/2013	BNP		8,700		43
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.770	%	03/20/2009	BOA		300		(1	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.800	%	03/20/2009	CITI		900		0
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.850	%	03/20/2009	DUB		600		(1	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.000	%	06/20/2009	UBS		2,800		(1	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.830	%	12/20/2009	GSC		1,000		(5	)
Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.440% due 01/21/2011	Buy	(0.340	%)	03/20/2011	JPM		3,000		587
GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.520	%)	06/20/2012	WAC		1,400		(10	)
GMAC LLC 6.875% due 08/28/2012	Sell	8.650	%	03/20/2009	CITI		1,700		(66	)
GMAC LLC 6.875% due 08/28/2012	Sell	8.850	%	03/20/2009	BOA		1,700		(64	)
GMAC LLC 6.875% due 08/28/2012	Sell	9.500	%	03/20/2009	LEH		1,500		(49	)
GMAC LLC 6.875% due 08/28/2012	Sell	9.600	%	03/20/2009	GSC		6,800		(219	)
Goldman Sachs Group, Inc. 5.250% due 06/01/2016	Buy	(0.310	%)	06/20/2016	UBS		1,200		79
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(1.470	%)	06/20/2018	JPM		5,700		(31	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(1.370	%)	06/20/2018	CITI		3,800		7
H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	03/20/2012	BEAR		800		0
H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.306	%)	03/20/2012	RBS		2,900		8
HCP, Inc. 5.650% due 12/15/2013	Buy	(2.030	%)	12/20/2013	MSC		8,000		166
HCP, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	09/20/2011	JPM		700		41
HCP, Inc. 6.700% due 01/30/2018	Buy	(1.150	%)	03/20/2018	BCLY		2,900		203
Home Depot, Inc. 5.400% due 03/01/2016	Buy	(1.150	%)	03/20/2016	BCLY		8,000		95
HRPT Properties Trust 5.750% due 11/01/2015	Buy	(1.960	%)	12/20/2015	MSC		8,250		236
HSBC Finance Corp. 7.000% due 05/15/2012	Sell	1.550	%	06/20/2009	MLP		7,000		(38	)
ICI Wilmington, Inc. 5.625% due 12/01/2013	Buy	(0.340	%)	06/20/2012	GSC	EUR	1,800		(19	)
International Lease Finance Corp. 5.300% due 05/01/2012	Buy	(1.620	%)	06/20/2012	JPM	$	8,000		493
International Lease Finance Corp. 5.400% due 02/15/2012	Buy	(0.170	%)	03/20/2012	BCLY		2,400		260
International Lease Finance Corp. 6.625% due 11/15/2013	Buy	(1.590	%)	12/20/2013	MSC		8,000		448
International Paper Co. 5.850% due 10/30/2012	Buy	(0.670	%)	06/20/2017	CSFB		2,000		239
JC Penney Corp., Inc. 8.000% due 03/01/2010	Buy	(0.270	%)	03/20/2010	DUB		2,600		45
JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.990	%	09/20/2010	GSC		500		(4	)
JPMorgan Chase & Co. 5.058% until 02/22/2016 and 1-Month CAD Offered Rate plus 1.000% thereafter, due 02/22/2021	Buy	(0.310	%)	03/20/2016	RBC		1,900		101
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.750	%)	03/20/2018	BOA		5,200		113
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.740	%)	03/20/2018	DUB		3,600		81
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.720	%)	03/20/2018	DUB		200		5
Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.490	%)	12/20/2011	RBS		2,900		626
Koninklijke DSM NV 4.000% due 11/10/2015	Buy	(0.365	%)	06/20/2012	GSC	EUR	1,800		14
Lehman Brothers Holdings, Inc. 6.875% due 05/02/2018	Buy	(1.600	%)	06/20/2018	DUB	$	8,000		355
Lehman Brothers Holdings, Inc. 6.875% due 05/02/2018	Buy	(1.552	%)	06/20/2018	JPM		6,600		321
Lennar Corp. 5.950% due 10/17/2011	Buy	(5.750	%)	12/20/2012	MLP		700		25
Loews Corp. 5.250% due 03/15/2016	Buy	(0.330	%)	03/20/2016	BEAR		800		6
Loews Corp. 8.875% due 04/15/2011	Buy	(0.120	%)	06/20/2012	BOA		500		4
Macy’s Retail Holdings, Inc. 4.800% due 07/15/2009	Buy	(0.190	%)	09/20/2009	BOA		700		12
Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	09/20/2012	MSC		700		51
Masco Corp. 6.125% due 10/03/2016	Buy	(1.910	%)	12/20/2016	CITI		30,000		950
Maytag Corp. 5.000% due 05/15/2015	Buy	(0.460	%)	06/20/2015	BEAR		2,200		11
McKesson Corp. 5.700% due 03/01/2017	Buy	(0.380	%)	03/20/2017	BOA		1,900		49
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.580	%)	06/20/2012	MLP		2,100		116
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.520	%)	06/20/2012	BEAR		1,000		57
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.060	%)	06/20/2017	UBS		2,700		216
Merck & Co., Inc. 4.750% due 03/01/2015	Buy	(0.135	%)	03/20/2015	LEH		2,200		24
Merrill Lynch & Co., Inc. 6.875% due 04/25/2018	Buy	(1.540	%)	06/20/2018	DUB		10,000		373
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016	RBS		2,200		218
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(1.350	%)	12/20/2015	JPM		7,200		254
Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008	HSBC		3,000		6
Multiple Reference Entities of Gazprom	Sell	1.320	%	12/20/2008	MSC		1,500		3
Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008	CSFB		5,000		12
Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008	MSC		2,700		6
Multiple Reference Entities of Gazprom	Sell	1.680	%	04/20/2009	MSC		11,100		105
Multiple Reference Entities of Gazprom	Sell	1.710	%	04/20/2009	MSC		2,200		21
Multiple Reference Entities of Gazprom	Sell	0.610	%	05/20/2012	MLP		1,500		(72	)
NiSource Finance Corp. 5.400% due 07/15/2014	Buy	(0.620	%)	09/20/2014	BEAR		800		35
Noble Corp. 5.875% due 06/01/2013	Buy	(0.542	%)	06/20/2012	BOA		600		2
Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012	BCLY		700		2
Nucor Corp. 4.875% due 10/01/2012	Buy	(0.150	%)	06/20/2012	MSC		2,300		24
Pearson Dollar Finance PLC 5.700% due 06/01/2014	Buy	(0.540	%)	06/20/2014	MSC		6,800		73
PPG Industries, Inc. 6.650% due 03/15/2018	Buy	(0.830	%)	03/20/2018	CSFB		8,000		68
Progress Energy, Inc. 5.625% due 01/15/2016	Buy	(0.105	%)	06/20/2012	MSC		2,000		26
Prologis 5.625% due 11/15/2015	Buy	(1.480	%)	12/20/2015	BOA		8,000		266
RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.410	%)	06/20/2013	GSC		9,600		319
RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.400	%)	06/20/2013	DUB		6,400		216
Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012	DUB	EUR	1,500		29
Royal Bank of Scotland Group PLC 5.000% due 12/06/2020	Sell	1.650	%	03/20/2013	BCLY		3,100		91
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.630	%	12/20/2008	GSC	$	8,400		9
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.450	%	01/20/2009	CSFB		5,000		0
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.460	%	01/20/2009	MSC		6,000		0
Sara Lee Corp. 6.250% due 09/15/2011	Buy	(0.330	%)	09/20/2011	CITI		1,600		3
SCA Finans AB 4.500% due 07/15/2015	Buy	(0.250	%)	06/20/2012	GSC	EUR	1,300		52
Sealed Air Corp. 5.625% due 07/15/2013	Buy	(0.500	%)	09/20/2013	CSFB	$	2,300		111
Simon Property Group LP 6.125% due 05/30/2018	Buy	(0.947	%)	06/20/2018	DUB		8,000		165
SLM Corp. 5.125% due 08/27/2012	Sell	3.100	%	12/20/2008	MLP		6,300		(62	)
SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009	DUB		2,100		(33	)
SLM Corp. 5.125% due 08/27/2012	Sell	3.800	%	03/20/2009	GSC		5,800		(59	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.300	%	03/20/2009	CITI		300		(2	)
SLM Corp. 5.125% due 08/27/2012	Sell	0.700	%	06/20/2012	GSC		1,400		(186	)
Southwest Airlines Co. 5.125% due 03/01/2017	Buy	(0.640	%)	03/20/2017	BCLY		3,300		295
Spain Government Bond 5.500% due 07/30/2017	Sell	0.270	%	03/20/2013	GSC		99,700		(53	)
Spain Government Bond 5.500% due 07/30/2017	Sell	0.435	%	03/20/2013	GSC		17,900		104
Spain Government Bond 5.500% due 07/30/2017	Sell	0.465	%	03/20/2013	HSBC		11,600		98
Sprint Capital Corp. 8.375% due 03/15/2012	Buy	(0.460	%)	03/20/2012	MLP		3,700		297
SUPERVALU, Inc. 7.500% due 05/15/2012	Sell	2.450	%	09/20/2012	RBS		2,100		41
Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014	DUB		1,000		63
Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.700	%)	09/20/2010	MSC		100		(2	)
Tyco International Ltd. 7.000% due 12/15/2019	Buy	(1.120	%)	12/20/2019	BOA		7,500		156
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009	HSBC		5,800		(42	)
United Utilities PLC 6.875% due 08/15/2028	Buy	(0.235	%)	06/20/2012	DUB	EUR	1,800		50
Universal Health Services, Inc. 7.125% due 06/30/2016	Buy	(1.250	%)	06/20/2016	BOA	$	1,000		(8	)
Valero Energy Corp. 6.125% due 06/15/2017	Buy	(1.120	%)	06/20/2017	CITI		2,000		69
Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	06/20/2011	MSC		700		5
Vivendi 6.625% due 04/04/2018	Buy	(1.500	%)	06/20/2018	JPM		6,400		1
VTB Capital S.A. 6.250% due 06/30/2035	Sell	1.700	%	12/20/2008	DUB		7,400		1
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.490	%)	06/20/2012	BCLY		1,000		52
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.480	%)	06/20/2012	BEAR		2,000		105
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.990	%)	06/20/2017	LEH		2,900		228
Wolters Kluwer NV 5.125% due 01/27/2014	Buy	(0.330	%)	06/20/2012	DUB	EUR	1,500		40
WPP Group PLC 6.000% due 06/18/2008	Buy	(0.260	%)	06/20/2012	GSC		1,500		86
Wyeth 6.950% due 03/15/2011	Buy	(0.100	%)	03/20/2011	LEH	$	2,100		3
Xerox Corp. 9.750% due 01/15/2009	Buy	(0.130	%)	01/20/2009	MLP		2,700		3
XL Capital Finance Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	03/20/2012	BCLY		500		46
								$	8,294

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. HY8 Index	Sell	1.998	%	06/20/2012	MLP	$	19,100	$	(1,260	)
Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012	DUB		600		(38	)
Dow Jones CDX N.A. HY8 Index	Sell	2.100	%	06/20/2012	LEH		1,600		(100	)
Dow Jones CDX N.A. HY8 Index	Sell	3.297	%	06/20/2012	CITI		1,200		(23	)
Dow Jones CDX N.A. HY8 Index	Sell	3.884	%	06/20/2012	MLP		1,700		3
Dow Jones CDX N.A. HY8 Index	Sell	4.221	%	06/20/2012	DUB		7,100		99
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	BCLY		2,900		177
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	GSC		58,300		3,551
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	LEH		16,400		984
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	MSC		4,900		298
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	UBS		10,600		643
Dow Jones CDX N.A. IG8 Index	Buy	(0.350	%)	06/20/2012	GSC		80,200		2,228
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	BOA		37,200		2,005
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	CSFB		100,000		3,158
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	DUB		7,800		380
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	GSC		191,500		7,241
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	DUB		14,500		29
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		1,600		6
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		63,300		132
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		75,400		289
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		5,100		21
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	GSC		22,800		471
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	MSC		4,500		95
Dow Jones iTraxx Europe 9 Index	Buy	(1.750	%)	06/20/2018	DUB	EUR	43,100		875
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	BCLY		13,100		1,109
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	BNP		4,400		375
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	HSBC		1,600		136
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	JPM		4,400		367
Home Equity Index AA Rating 2006-1	Sell	0.320	%	07/25/2045	CSFB	$	8,500		(626	)
Home Equity Index AAA Rating 2006-1	Buy	(0.180	%)	07/25/2045	BOA		196		(3	)
Home Equity Index AAA Rating 2006-1	Sell	0.180	%	07/25/2045	GSC		197		13
Home Equity Index AAA Rating 2006-2	Sell	0.110	%	05/25/2046	LEH		5,400		(12	)
								$	22,623

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	6.500	%	01/15/2009	CITI	AUD	117,500	$	(1,135	)
Pay	3-Month Australian Bank Bill	6.500	%	01/15/2009	DUB		85,920		(817	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	BCLY		17,400		(168	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	JPM		26,500		(243	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	MSC		79,300		(508	)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	LEH		79,500		(157	)
Receive	3-Month Canadian Bank Bill	4.000	%	12/20/2010	MLP	CAD	30,000		(62	)
Receive	3-Month Canadian Bank Bill	4.500	%	09/20/2011	BSN		7,800		(14	)
Receive	3-Month Canadian Bank Bill	4.500	%	09/20/2011	RBC		8,000		(11	)
Receive	3-Month Canadian Bank Bill	4.250	%	12/20/2013	RBC		7,600		(39	)
Pay	3-Month Canadian Bank Bill	5.000	%	06/15/2015	MLP		3,000		157
Pay	3-Month USD-LIBOR	5.000	%	12/17/2009	DUB	$	51,300		599
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA		536,500		(3,908	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		216,600		511
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	JPM		22,800		(178	)
Receive	3-Month USD-LIBOR	5.500	%	12/16/2014	DUB		16,500		(154	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	CITI		232,300		3,744
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		74,600		1,395
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	MSC		12,400		20
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	RBS		12,000		20
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		10,100		(77	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		135,600		(458	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	DUB		22,000		(413	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		210,200		(566	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		108,100		(392	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		212,700		(712	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2022	BOA		13,000		(805	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		42,000		(903	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		54,500		(832	)
Receive	3-Month USD-LIBOR	5.000	%	12/20/2026	UBS		2,000		(212	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	JPM		27,450		(853	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	LEH		107,950		(2,953	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	10,000		(228	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103	%	10/15/2010	BCLY		15,000		(298	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146	%	10/15/2010	UBS		17,300		(362	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	BCLY		5,700		(332	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.965	%	03/15/2012	LEH		3,300		(170	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		6,800		(384	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.940	%	04/10/2012	BNP		3,300		(199	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		6,100		(374	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.980	%	04/30/2012	BCLY		1,000		(59	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.080	%	06/15/2012	GSC		18,700		(1,005	)
Pay	6-Month Australian Bank Bill	7.000	%	06/15/2010	MSC	AUD	94,000		(1,617	)
Pay	6-Month Australian Bank Bill	6.000	%	12/15/2010	CITI		60,000		(3,383	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS		349,600		(755	)
Pay	6-Month Australian Bank Bill	7.500	%	06/15/2011	DUB		123,400		(318	)
Pay	6-Month Australian Bank Bill	7.250	%	06/16/2011	CITI		11,200		(147	)
Pay	6-Month Australian Bank Bill	7.250	%	06/16/2011	DUB		106,000		(1,381	)
Pay	6-Month Australian Bank Bill	6.000	%	06/15/2012	DUB		27,900		(1,410	)
Pay	6-Month Australian Bank Bill	6.000	%	06/15/2012	HSBC		26,600		(1,356	)
Pay	6-Month Australian Bank Bill	7.250	%	06/15/2013	CSFB		2,000		(35	)
Pay	6-Month Australian Bank Bill	7.250	%	06/15/2013	DUB		40,200		(696	)
Receive	6-Month Australian Bank Bill	6.000	%	12/15/2015	CITI		34,200		3,670
Receive	6-Month Australian Bank Bill	6.000	%	06/15/2017	DUB		15,800		1,314
Receive	6-Month Australian Bank Bill	6.000	%	06/15/2017	HSBC		12,300		1,031
Receive	6-Month Australian Bank Bill	6.500	%	06/15/2017	CSFB		6,500		229
Receive	6-Month Australian Bank Bill	6.500	%	06/15/2017	DUB		22,000		798
Receive	6-Month Australian Bank Bill	6.500	%	06/15/2017	MSC		78,200		2,707
Pay	6-Month Australian Bank Bill	7.000	%	03/15/2019	DUB		11,100		56
Receive	6-Month Australian Bank Bill	7.000	%	03/15/2019	LEH		11,100		47
Receive	6-Month Australian Bank Bill	7.000	%	03/15/2019	UBS		37,700		351
Pay	6-Month EUR-LIBOR	4.473	%	06/12/2009	GSC	EUR	56,200		(736	)
Pay	6-Month EUR-LIBOR	4.000	%	09/19/2009	MSC		1,400		(30	)
Pay	6-Month EUR-LIBOR	4.000	%	03/19/2010	BCLY		44,400		(1,035	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	GSC		282,500		(6,637	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	LEH		90,000		(2,090	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		151,700		(3,508	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	BCLY		200		(18	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	JPM		400		(32	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	MLP		46,700		(3,799	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	MSC		200		(16	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	UBS		500		(43	)
Pay	6-Month EUR-LIBOR	3.500	%	09/17/2010	MSC		47,400		(2,335	)
Receive	6-Month EUR-LIBOR	5.000	%	12/15/2011	GSC		160,500		6,974
Pay	6-Month EUR-LIBOR	4.000	%	09/19/2012	RBS		17,100		(928	)
Pay	6-Month EUR-LIBOR	3.750	%	06/18/2013	GSC		147,300		(12,627	)
Pay	6-Month EUR-LIBOR	4.000	%	09/17/2013	DUB		74,500		(5,437	)
Pay	6-Month EUR-LIBOR	4.000	%	09/17/2013	GSC		46,100		(3,096	)
Pay	6-Month EUR-LIBOR	4.000	%	09/17/2013	JPM		110,500		(8,319	)
Pay	6-Month EUR-LIBOR	4.000	%	09/17/2013	MSC		33,300		(2,440	)
Receive	6-Month EUR-LIBOR	4.000	%	06/16/2014	CITI		1,120		122
Pay	6-Month EUR-LIBOR	4.000	%	12/15/2014	MSC		16,300		(885	)
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	GSC		88,700		8,391
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	LEH		109,800		10,183
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	MSC		7,400		754
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	BCLY		25,800		456
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	DUB		48,400		994
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	JPM		25,600		517
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	RBS		23,600		432
Pay	6-Month EUR-LIBOR	4.500	%	06/18/2034	MSC		17,600		48
Pay	6-Month EUR-LIBOR	5.000	%	06/18/2034	JPM		53,400		768
Pay	6-Month EUR-LIBOR	4.000	%	06/21/2036	GSC		6,000		(599	)
Receive	6-Month EUR-LIBOR	5.000	%	03/19/2038	DUB		8,900		(284	)
Receive	6-Month EUR-LIBOR	5.000	%	03/19/2038	GSC		20,300		(600	)
Receive	6-Month EUR-LIBOR	4.750	%	09/17/2038	MSC		43,800		4,430
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	BCLY		2,800		9
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	BNP		1,200		(7	)
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	CITI		1,600		20
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	DUB		4,000		18
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	GSC		2,600		155
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	JPM		20,700		2,100
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	MSC		7,800		519
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	RBS		1,400		(6	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	MSC	GBP	33,200		(900	)
Receive	6-Month GBP-LIBOR	5.000	%	06/15/2009	CITI		33,200		763
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBC		25,000		(334	)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBS		93,200		(170	)
Pay	6-Month GBP-LIBOR	6.000	%	09/17/2009	RBS		19,000		(178	)
Pay	6-Month GBP-LIBOR	5.300	%	03/14/2010	RBS		72,000		(2,268	)
Pay	6-Month GBP-LIBOR	5.350	%	03/14/2010	GSC		49,900		(1,480	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	MSC		37,650		643
Pay	6-Month GBP-LIBOR	4.500	%	09/17/2010	BCLY		86,000		(4,920	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	DUB		300		(16	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	GSC		39,300		(2,042	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	MSC		25,000		(1,270	)
Pay	6-Month GBP-LIBOR	5.500	%	03/20/2013	GSC		40,000		(2,028	)
Pay	6-Month GBP-LIBOR	5.500	%	03/20/2013	MSC		900		(44	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		61,800		(5,546	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		28,100		(2,726	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	RBC		21,600		(1,928	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	BCLY		1,600		(157	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	CITI		7,100		(734	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	DUB		3,700		(362	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	GSC		16,000		(1,594	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	HSBC		9,100		(1,168	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	JPM		9,000		(904	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	RBS		14,200		(865	)
Receive	6-Month GBP-LIBOR	4.500	%	09/15/2017	BCLY		9,900		83
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2018	MSC		13,100		(914	)
Receive	6-Month GBP-LIBOR	5.000	%	06/18/2018	BCLY		9,200		(81	)
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	BCLY		6,600		419
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	CITI		6,100		323
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	HSBC		6,000		347
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	MSC		23,700		1,576
Receive	6-Month GBP-LIBOR	5.500	%	09/17/2018	DUB		12,400		289
Receive	6-Month GBP-LIBOR	5.500	%	09/17/2018	HSBC		22,000		(244	)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	DUB		6,500		(189	)
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	GSC		11,700		999
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	RBS		7,200		(354	)
Receive	6-Month GBP-LIBOR	5.000	%	03/20/2038	DUB		1,000		(11	)
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2039	BCLY		15,200		(332	)
Pay	6-Month JPY-LIBOR	1.000	%	03/18/2009	BCLY	JPY	9,160,000		11
Receive	6-Month JPY-LIBOR	1.500	%	12/20/2010	MSC		10,200,000		(969	)
Pay	6-Month JPY-LIBOR	1.500	%	06/17/2013	UBS		4,620,000		215
Pay	6-Month JPY-LIBOR	1.750	%	12/17/2015	MSC		7,920,000		777
Pay	6-Month JPY-LIBOR	1.750	%	12/17/2015	RBS		2,400,000		201
Receive	6-Month JPY-LIBOR	1.980	%	09/27/2016	MSC		3,200,000		(711	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	BCLY		740,000		(79	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	DUB		2,880,000		(322	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	RBS		3,060,000		(347	)
Receive	6-Month JPY-LIBOR	2.500	%	06/20/2036	MSC		1,790,000		(465	)
Receive	6-Month JPY-LIBOR	3.000	%	06/20/2036	GSC		2,350,000		(1,484	)
Receive	30-Day USD-CMM Rate	5.500	%	05/21/2009	MLP	$	16,000		350
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP		180,000		(591	)
								$	(64,778	)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	110.000	08/22/2008	1,500	$	51	$	24
Call - CBOT U.S. Treasury 2-Year Note September Futures		110.500	08/22/2008	3,700		125		59
Call - CBOT U.S. Treasury 2-Year Note September Futures		111.000	08/22/2008	172		6		3
Call - CBOT U.S. Treasury 5-Year Note September Futures		124.000	08/22/2008	77		1		1
Call - CBOT U.S. Treasury 5-Year Note September Futures		125.000	08/22/2008	6,010		109		49
Call - CBOT U.S. Treasury 5-Year Note September Futures		126.000	08/22/2008	5,275		96		43
Call - CBOT U.S. Treasury 10-Year Note September Futures		135.000	08/22/2008	3,320		60		55
Call - CBOT U.S. Treasury 30-Year Bond September Futures		142.000	08/22/2008	124		2		2
Put - CBOT U.S. Treasury 10-Year Note September Futures		88.000	08/22/2008	540		10		8
Put - CBOT U.S. Treasury 10-Year Note September Futures		90.500	08/22/2008	294		5		4
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	4,651		84		70
Put - CBOT U.S. Treasury 30-Year Bond September Futures		90.000	08/22/2008	205		4		3
Put - CBOT U.S. Treasury 30-Year Bond September Futures		92.000	08/22/2008	129		2		2
Put - CBOT U.S. Treasury 30-Year Bond September Futures		96.000	08/22/2008	178		3		3
					$	558	$	326

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	JPM	6-Month EUR-LIBOR	Pay	4.000	%	09/14/2009	EUR	172,500	$	916	$	482
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	114,300		653		542
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		71,400		761		331
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		56,300		565		985
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		23,400		250		109
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		49,500		509		230
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		139,700		1,402		2,444
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		246,900		2,895		2,503
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		116,900		1,325		543
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/03/2009		783,600		8,120		3,839
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		115,900		1,226		808
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		49,600		505		868
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		81,300		858		1,192
									$	19,985	$	14,876

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Euro versus U.S. dollar	$	1.150	07/09/2008	EUR	54,000	$	4	$	0
Put - OTC Euro versus U.S. dollar		1.190	07/09/2008		513,000		40		1
Put - OTC Euro versus U.S. dollar		1.415	07/09/2008		110,000		9		0
Call - OTC Euro versus U.S. dollar		1.367	05/19/2010		5,000		240		915
Put - OTC Euro versus U.S. dollar		1.367	05/19/2010		5,000		240		145
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		4,100		193		723
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		4,100		193		126
Call - OTC U.S. dollar versus Japanese yen	JPY	117.500	07/09/2008	$	108,900		8		1
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		6,000		287		259
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		6,000		221		372
						$	1,435	$	2,542

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Fannie Mae 5.500% due 07/01/2038	$	106.000	07/07/2008	$	14,700	$	2	$	0
Call - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017		107.000	09/04/2008		20,000		2		2
Call - OTC Treasury Inflation Protected Securities 3.250% due 12/15/2009		103.938	10/10/2008		80,700		9		9
Call - OTC Treasury Inflation Protected Securities 4.250% due 11/15/2013		118.500	08/15/2008		50,000		6		0
Call -OTC U.S. Treasury Note 4.250% due 08/15/2013		118.000	10/10/2008		58,500		7		7
Call - OTC U.S. Treasury Note 4.875% due 08/15/2016		136.500	07/11/2008		100,000		12		0
Put - OTC Fannie Mae 5.500% due 09/01/2038		86.000	09/04/2008		39,000		4		2
Put - OTC Fannie Mae 6.000% due 07/01/2038		88.000	07/07/2008		66,000		8		0
Put - OTC Fannie Mae 6.500% due 09/01/2038		92.000	09/04/2008		12,400		1		0
Put - OTC Freddie Mac 5.500% due 07/01/2038		86.000	07/07/2008		15,500		2		0
Put - OTC Ginnie Mae 6.000% due 09/01/2038		85.000	09/15/2008		30,000		3		4
Put - OTC Ginnie Mae 6.000% due 09/01/2038		85.500	09/15/2008		14,000		2		2
Put - OTC Ginnie Mae 6.500% due 08/01/2038		93.000	08/13/2008		13,000		2		0
Put - OTC Ginnie Mae 6.500% due 09/01/2038		91.500	09/15/2008		117,000		14		2
						$	74	$	28

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Put - CBOT U.S. Treasury 10-Year Note August Futures	$	109.500	07/25/2008	300	$	173	$	12
Put - CBOT U.S. Treasury 10-Year Note August Futures		110.500	07/25/2008	1,011		592		84
					$	765	$	96

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Put - OTC 30-Year Interest Rate Swap	CITI	6-Month EUR-LIBOR	Pay	5.200	%	12/15/2008	EUR	9,200	$	210	$	255
Call - OTC 2-Year Interest Rate Swap	HSBC	6-Month EUR-LIBOR	Receive	5.290	%	06/10/2009		36,100		480		416
Put - OTC 2-Year Interest Rate Swap	HSBC	6-Month EUR-LIBOR	Pay	5.290	%	06/10/2009		36,100		480		407
Put - OTC 30-Year Interest Rate Swap	JPM	6-Month EUR-LIBOR	Pay	5.000	%	09/15/2008		38,000		575		1,290
Call - OTC 7-Year Interest Rate Swap	JPM	6-Month EUR-LIBOR	Receive	4.230	%	09/14/2009		55,900		822		496
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009	$	35,000		514		472
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009		3,600		79		54
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		13,700		344		191
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		13,300		435		260
Call -OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		18,300		495		849
Call -OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		7,800		257		153
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		16,500		545		323
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		45,500		1,233		2,112
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		82,700		2,782		2,655
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	08/03/2009		340,700		8,173		5,534
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		39,000		1,312		763
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		38,600		1,182		885
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		17,000		471		789
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		27,200		790		1,102
									$	21,179	$	19,006

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Brazilian real	BRL	1.680	07/03/2008	$	9,400	$	49	$	5
Call - OTC U.S. dollar versus Brazilian real		1.650	07/24/2008		10,700		54		55
Call - OTC U.S. dollar versus Brazilian real		1.630	07/29/2008		17,900		129		169
Call - OTC U.S. dollar versus Brazilian real		1.640	07/30/2008		12,000		108		95
Call - OTC U.S. dollar versus Japanese yen	JPY	104.000	03/17/2010		1,200		63		52
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		1,200		63		74
						$	466	$	450

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

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Citigroup Mortgage Loan Trust, Inc.	2.552	%	05/25/2037	03/26/2008	$	1,171	$	1,256	0.04	%
Goldman Sachs Group, Inc.	5.250	%	06/01/2016	11/03/2006		4,334		4,412	0.14	%
Merna Reinsurance Ltd.	3.451	%	07/07/2010	09/21/2007		3,970		3,743	0.11	%
					$	9,475	$	9,411	0.29	%

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	02/13/2017	$	44,000	$	44,252	$	45,901
Fannie Mae	5.500	%	07/01/2038		43,000		42,254		42,389
Fannie Mae	6.000	%	06/01/2038		60,000		60,698		60,628
Fannie Mae	6.000	%	07/01/2038		158,000		158,982		159,407
Fannie Mae	6.500	%	07/01/2038		99,400		101,847		102,335
Freddie Mac	6.000	%	07/01/2038		1,700		1,711		1,717
U.S. Treasury Bonds	5.000	%	05/15/2037		10,500		10,822		11,408
U.S. Treasury Bonds	6.250	%	08/15/2023		1,900		2,190		2,313
U.S. Treasury Notes	2.500	%	03/31/2013		6,000		5,692		5,839
U.S. Treasury Notes	3.000	%	02/15/2009		100		100		102
U.S. Treasury Notes	3.125	%	04/30/2013		7,733		7,535		7,727
U.S. Treasury Notes	3.250	%	12/31/2009		80,700		81,197		81,866
U.S. Treasury Notes	3.375	%	06/30/2013		161,500		160,894		162,287
U.S. Treasury Notes	3.500	%	02/15/2018		6,740		6,390		6,595
U.S. Treasury Notes	3.875	%	05/15/2018		31,000		30,031		30,993
U.S. Treasury Notes	4.125	%	05/15/2015		5,500		5,705		5,728
U.S. Treasury Notes	4.250	%	08/15/2013		58,500		60,938		62,109
U.S. Treasury Notes	4.250	%	11/15/2013		58,850		61,550		61,863
U.S. Treasury Notes	4.250	%	11/15/2014		2,000		2,068		2,103
U.S. Treasury Notes	4.500	%	03/31/2012		2,400		2,481		2,549
U.S. Treasury Notes	4.500	%	02/15/2016		48,000		49,775		51,488
U.S. Treasury Notes	4.625	%	07/31/2012		15,000		15,537		16,146
U.S. Treasury Notes	4.625	%	11/15/2016		65,600		67,668		69,784
U.S. Treasury Notes	4.625	%	02/15/2017		42,400		43,914		45,553
U.S. Treasury Notes	4.875	%	08/15/2016		239,100		253,002		259,071
U.S. Treasury Notes	5.125	%	05/15/2016		11,800		12,878		12,978
						$	1,290,111	$	1,310,879

⁽³⁾ Market value includes $10,990 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	38,915	04/2009	$	0	$	(106	)	$	(106	)
Sell	AUD	52,371	07/2008		0		(366	)		(366	)
Buy		3,812	08/2008		13		0			13
Buy	BRL	158,998	07/2008		13,532		0			13,532
Sell		158,998	07/2008		0		(8,319	)		(8,319	)
Buy		73,399	12/2008		3,407		0			3,407
Sell		42,834	12/2008		0		(2,214	)		(2,214	)
Buy	CAD	16,984	08/2008		0		(137	)		(137	)
Sell		18,500	08/2008		174		0			174
Buy	CLP	479,200	12/2008		0		(86	)		(86	)
Buy	CNY	218,904	07/2008		1,802		0			1,802
Sell		218,904	07/2008		0		(1,645	)		(1,645	)
Buy		58,031	11/2008		142		0			142
Buy		353,779	05/2009		496		(17	)		479
Buy		57,554	05/2010		0		(95	)		(95	)
Sell	DKK	13,791	09/2008		0		(53	)		(53	)
Buy	EUR	766,216	07/2008		12,342		0			12,342
Sell		5,021	07/2008		0		(115	)		(115	)
Buy	GBP	78,446	08/2008		879		(1	)		878
Buy	INR	260,245	08/2008		0		(552	)		(552	)
Buy		625,590	11/2008		0		(1,224	)		(1,224	)
Buy	JPY	195,319,975	07/2008		30,381		0			30,381
Sell		104,200,314	07/2008		10,597		(235	)		10,362
Sell		102,484,000	08/2008		639		0			639
Buy	KRW	16,032,183	08/2008		0		(1,250	)		(1,250	)
Sell		9,093,559	08/2008		624		(2	)		622
Buy	MXN	12,202	07/2008		79		0			79
Sell		12,202	07/2008		0		(73	)		(73	)
Buy		2,628	11/2008		2		0			2
Buy	MYR	183,329	11/2008		0		(2,595	)		(2,595	)
Sell	NZD	20,792	07/2008		0		(98	)		(98	)
Buy	PHP	323,190	08/2008		0		(209	)		(209	)
Buy	PLN	390	07/2008		41		0			41
Sell		390	07/2008		0		(6	)		(6	)
Buy		390	05/2009		5		0			5
Buy	RUB	332,538	07/2008		1,039		0			1,039
Sell		332,538	07/2008		0		(162	)		(162	)
Buy		173,136	11/2008		386		0			386
Sell		41,042	11/2008		0		(73	)		(73	)
Buy		332,538	05/2009		265		0			265
Buy	SAR	32,653	04/2009		0		(89	)		(89	)
Buy	SEK	156,130	09/2008		115		0			115
Buy	SGD	12,164	08/2008		393		0			393
Sell		8,391	08/2008		0		(122	)		(122	)
Buy		17,487	11/2008		330		0			330
Buy	TWD	93,504	09/2008		0		(15	)		(15	)
Buy	ZAR	8,983	07/2008		0		(50	)		(50	)
Sell		8,983	07/2008		0		(33	)		(33	)
Buy		8,983	12/2008		32		0			32
				$	77,715	$	(19,942	)	$	57,773

(n) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	2		$	5,191,792		$	105,124		$	5,296,918
Other Financial Instruments++		(23,556	)		(1,291,586	)		(3,943	)		(1,319,085	)
Total	$	(23,554	)	$	3,900,206		$	101,181		$	3,977,833

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/(Losses)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	50,254		$	77,354	$	45	$	(27	)	$	(22,502	)	$	105,124
Other Financial Instruments++		(789	)		0		0		(3,213	)		59			(3,943	)
Total	$	49,465		$	77,354	$	45	$	(3,240	)	$	(22,443	)	$	101,181

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Other financial instruments may include open futures contracts, swap contracts, written options, short sales, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

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

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARUBA 0.2%
Mizuho Finance Aruba AEC
2.580% due 12/31/2049	JPY	500,000	$	4,734
Mizuho Trust & Banking Co. Ltd.
2.405% due 04/27/2009		200,000		1,907
Total Aruba (Cost $6,108)				6,641
AUSTRALIA 2.5%
Medallion Trust
2.768% due 05/25/2035	$	2,967		2,808
National Australia Bank Ltd.
2.999% due 06/19/2017		500		459
3.031% due 06/29/2016		5,600		5,266
New South Wales Treasury Corp.
6.000% due 05/01/2012	AUD	3,350		3,072
Puma Finance Ltd.
2.748% due 02/21/2038	$	5,036		4,796
7.820% due 08/22/2037	AUD	5,290		4,964
8.073% due 07/12/2036		2,528		2,391
Queensland Treasury Corp.
6.000% due 06/14/2011		30,000		27,820
Seven Media Group
10.447% due 02/07/2013		6,286		5,604
10.510% due 02/07/2013		1,524		1,359
Torrens Trust Series 2007-1 A
8.067% due 10/19/2038		12,610		11,767
Total Australia (Cost $67,738)				70,306
AUSTRIA 0.7%
Austria Government Bond
5.000% due 07/15/2012	EUR	12,700		20,119
Total Austria (Cost $13,655)				20,119
BELGIUM 0.4%
Belgium Government Bond
7.500% due 07/29/2008	EUR	6,100		9,623
Total Belgium (Cost $5,516)				9,623
CANADA 3.4%
Broadway Credit Card Trust
5.234% due 06/17/2011	CAD	18,300		18,047
Canada Housing Trust No. 1
3.950% due 06/15/2013		15,000		14,724
4.550% due 12/15/2012		33,200		33,397
Glacier Credit Card Trust
5.027% due 02/20/2013		6,400		6,238
Province of Ontario Canada
6.200% due 06/02/2031		2,200		2,578
Province of Quebec Canada
5.000% due 12/01/2038		9,900		9,958
5.750% due 12/01/2036		2,600		2,906
Rogers Communications, Inc.
7.625% due 12/15/2011		1,950		2,035
Toronto-Dominion Bank
5.375% due 05/14/2015	EUR	3,900		5,928
Total Canada (Cost $96,316)				95,811
CAYMAN ISLANDS 1.9%
Foundation Re II Ltd.
9.445% due 11/26/2010	$	1,650		1,663
Green Valley Ltd.
8.342% due 01/10/2011	EUR	2,400		3,790
Longpoint Re Ltd.
8.064% due 05/08/2010	$	2,900		2,900
Mizuho Finance Cayman Ltd.
1.060% due 09/28/2049	JPY	400,000		3,775
1.466% due 12/31/2049		300,000		2,854
Mizuho Financial Group Cayman Ltd.
8.375% due 12/29/2049	$	4,300		4,309
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		10,700		9,297
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	3,300		4,000
Mystic Re Ltd.
8.982% due 12/05/2008	$	750		734
Pylon Ltd.
8.860% due 12/29/2008	EUR	1,350		2,125
Residential Reinsurance 2007 Ltd.
10.432% due 06/07/2010	$	6,300		6,319
SHL Corp. Ltd.
1.626% due 12/25/2024	JPY	4,392		41
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049	$	6,000		5,103
STB Finance Cayman
1.644% due 08/12/2049	JPY	300,000		2,816
Vita Capital III Ltd.
3.891% due 01/01/2011	$	4,000		3,883
Total Cayman Islands (Cost $54,852)				53,609
DENMARK 0.8%
Nordea Kredit Realkreditaktieselskab
6.000% due 07/01/2029	DKK	760		162
Nykredit Realkredit A/S
4.000% due 01/01/2010		2,000		412
5.000% due 10/01/2038		11,996		2,332
6.000% due 10/01/2029		1,366		286
Realkredit Danmark A/S
5.000% due 10/01/2038		97,958		18,679
Total Denmark (Cost $19,560)				21,871
FRANCE 3.7%
AXA S.A.
3.750% due 01/01/2017	EUR	828		1,575
BNP Paribas Covered Bonds S.A.
4.750% due 05/28/2013		5,500		8,415
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049		6,500		8,713
CM-CIC Covered Bonds
5.250% due 06/09/2010		5,200		8,142
Credit Agricole S.A.
2.646% due 05/28/2009	$	2,700		2,689
6.637% due 05/29/2049		6,400		5,343
France Government Bond
4.000% due 04/25/2009	EUR	5,185		8,118
4.000% due 10/25/2014		11,200		16,908
4.000% due 10/25/2038		4,400		5,863
4.000% due 04/25/2055		1,100		1,433
4.750% due 04/25/2035		1,000		1,515
5.750% due 10/25/2032		11,100		19,216
6.000% due 10/25/2025		3,400		5,946
Societe Generale
5.922% due 12/31/2049	$	2,000		1,704
Vivendi
5.750% due 04/04/2013		7,000		6,928
Total France (Cost $102,973)				102,508
GERMANY 13.8%
Deutsche Bank AG
4.875% due 05/20/2013	$	6,100		6,010
5.375% due 10/12/2012		6,200		6,300
6.000% due 09/01/2017		5,700		5,773
Republic of Germany
3.750% due 01/04/2017	EUR	11,300		16,708
4.000% due 01/04/2037		3,900		5,314
4.250% due 07/04/2039		6,600		9,372
4.750% due 07/04/2034		7,300		11,184
5.500% due 01/04/2031		26,450		44,561
5.625% due 01/04/2028		26,770		45,546
6.250% due 01/04/2024		25,400		45,728
6.250% due 01/04/2030		5,512		10,125
6.500% due 07/04/2027		95,560		178,733
Total Germany (Cost $382,556)				385,354
ICELAND 0.2%
Glitnir Banki HF
3.204% due 01/18/2012	$	3,700		2,868
Landsbanki Islands HF
3.338% due 08/25/2009		2,400		2,246
Total Iceland (Cost $6,118)				5,114
IRELAND 1.3%
Atlas Reinsurance PLC
8.947% due 01/10/2010	EUR	2,000		3,186
Celtic Residential Irish Mortgage Securitisation
4.702% due 06/13/2035		1,299		1,956
Immeo Residential Finance PLC
5.118% due 12/15/2016		4,277		6,140
Ireland Government Bond
4.400% due 06/18/2019		11,300		16,795
Osiris Capital PLC
7.713% due 01/15/2010	$	1,000		1,008
SC Germany Auto
4.545% due 08/11/2015	EUR	4,042		6,282
Total Ireland (Cost $34,911)				35,367
ITALY 0.2%
Italy Buoni Poliennali Del Tesoro
4.250% due 02/01/2015	EUR	1,800		2,714
5.500% due 11/01/2010		1,700		2,707
Total Italy (Cost $5,411)				5,421
JAPAN 27.8%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	300		435
Development Bank of Japan
4.250% due 06/09/2015	$	7,300		7,195
Japan Government Bond
0.900% due 12/20/2012	JPY	3,420,000		31,917
1.100% due 09/20/2012		12,630,000		119,131
1.200% due 03/20/2012		5,690,000		53,940
1.500% due 12/20/2017		3,610,000		33,842
1.800% due 06/20/2017		12,060,000		116,251
2.300% due 06/20/2035		7,380,000		68,102
2.400% due 03/20/2034		2,470,000		23,295
2.500% due 09/20/2035		3,150,000		30,288
2.500% due 09/20/2036		4,840,000		46,388
2.500% due 09/20/2037		1,940,000		18,632
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		1,089,720		10,173
1.000% due 06/10/2016		3,498,060		32,873
1.100% due 12/10/2016		6,104,320		57,712
1.200% due 03/10/2017		50,350		479
1.200% due 06/10/2017		10,231,320		96,925
1.200% due 12/10/2017		120,600		1,140
1.400% due 06/10/2018		990,000		9,507
Resona Bank Ltd.
5.850% due 09/29/2049	$	5,700		4,915
Sumitomo Mitsui Banking Corp.
1.726% due 12/31/2049	JPY	100,000		945
1.764% due 12/31/2049		400,000		3,776
1.844% due 12/01/2049		600,000		5,687
5.625% due 07/29/2049	$	1,300		1,169
Total Japan (Cost $752,044)				774,717
JERSEY, CHANNEL ISLANDS 0.1%
Haus Ltd.
4.779% due 12/10/2037	EUR	1,373		2,114
Lloyds TSB Capital
7.375% due 12/29/2049		500		774
Total Jersey, Channel Islands (Cost $1,774)				2,888
LIBERIA 0.1%
Royal Caribbean Cruises Ltd.
8.000% due 05/15/2010	$	1,700		1,726
Total Liberia (Cost $1,757)				1,726
LUXEMBOURG 0.7%
Covidien International Finance S.A.
6.000% due 10/15/2017	$	4,100		4,161
Tyco Electronics Group S.A.
6.550% due 10/01/2017		13,000		13,152
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		900		899
Total Luxembourg (Cost $18,432)				18,212
MEXICO 0.1%
C10 Capital SPV Ltd.
6.722% due 12/31/2049	$	3,200		2,948
Total Mexico (Cost $3,200)				2,948
NETHERLANDS 1.7%
Delphinus BV
5.109% due 04/25/2093	EUR	1,500		2,347
Deutsche Telekom International Finance BV
8.750% due 06/15/2030	$	1,900		2,190
Dutch Mortgage Portfolio Loans BV
5.109% due 11/20/2035	EUR	883		1,366
Dutch Mortgage-Backed Securities BV
5.007% due 10/02/2079		2,333		3,647
Generali Finance BV
5.479% due 02/28/2049		2,300		3,148
Holland Euro-Denominated Mortgage-Backed Series
5.044% due 04/18/2012		553		869
Netherlands Government Bond
3.750% due 07/15/2014		2,500		3,732
Rabobank Nederland NV
3.119% due 05/19/2010	$	26,900		26,868
Siemens Financieringsmaatschappij NV
2.728% due 08/14/2009		4,400		4,401
Total Netherlands (Cost $46,364)				48,568
NETHERLANDS ANTILLES 0.1%
BTMU Curacao Holdings
1.020% due 12/31/2049	JPY	200,000	$	1,891
Total Netherlands Antilles (Cost $1,703)				1,891
NEW ZEALAND 0.1%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	2,006		2,055
Total New Zealand (Cost $1,233)				2,055
NORWAY 0.3%
DnB NOR Boligkreditt
4.500% due 05/16/2011	EUR	6,100		9,496
Total Norway (Cost $9,386)				9,496
RUSSIA 0.5%
Gaz Capital S.A.
5.875% due 06/01/2015	EUR	700		984
7.343% due 04/11/2013	$	3,100		3,185
8.146% due 04/11/2018		3,700		3,843
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013		4,733		4,695
VTB Capital S.A.
6.875% due 12/11/2008		1,400		1,420
Total Russia (Cost $13,773)				14,127
SOUTH KOREA 0.2%
Export-Import Bank of Korea
5.750% due 05/22/2013	EUR	4,200		6,367
Total South Korea (Cost $6,465)				6,367
SPAIN 0.6%
Bankinter S.A.
5.000% due 05/14/2010	EUR	4,500		6,973
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	6,700		6,490
Spain Government Bond
4.200% due 07/30/2013	EUR	600		918
4.200% due 01/31/2037		2,300		3,107
Total Spain (Cost $17,535)				17,488
SUPRANATIONAL 0.0%
European Investment Bank
6.250% due 04/15/2014	GBP	500		1,018
Total Supranational (Cost $1,055)				1,018
SWITZERLAND 2.2%
Credit Suisse New York, Inc.
5.000% due 05/15/2013	$	23,800		23,196
UBS AG
3.704% due 05/05/2010		16,200		16,145
3.729% due 06/19/2010		10,400		10,377
5.875% due 12/20/2017		6,000		5,855
7.152% due 12/29/2049	EUR	4,100		5,699
Total Switzerland (Cost $62,372)				61,272
TUNISIA 0.2%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	4,600		6,001
Total Tunisia (Cost $5,566)				6,001
UNITED KINGDOM 5.2%
Bank of Scotland PLC
5.625% due 05/23/2013	EUR	11,200		17,016
Barclays Bank PLC
6.050% due 12/04/2017	$	19,650		19,322
7.434% due 09/29/2049		3,300		3,103
7.700% due 04/29/2049		5,500		5,624
Bauhaus Securities Ltd.
5.168% due 10/30/2052	EUR	1,384		2,133
HBOS PLC
5.920% due 09/29/2049	$	14,000		9,992
6.750% due 05/21/2018		7,100		6,809
HSBC Holdings PLC
6.500% due 05/02/2036		12,400		11,579
National Grid PLC
4.980% due 06/22/2011 (j)	CAD	4,900		4,775
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049	EUR	4,300		5,858
Tate & Lyle International Finance PLC
5.000% due 11/15/2014	$	1,500		1,396
United Kingdom Gilt
4.500% due 12/07/2042	GBP	11,000		21,415
5.000% due 03/07/2012		2,050		4,061
8.000% due 09/27/2013		14,100		31,587
Total United Kingdom (Cost $149,228)				144,670
UNITED STATES 84.2%
Asset-Backed Securities 4.1%
AmeriCredit Automobile Receivables Trust
2.694% due 06/12/2009	$	3,327		3,327
Amortizing Residential Collateral Trust
2.772% due 07/25/2032		9		8
Amresco Residential Securities Mortgage Loan Trust
3.422% due 06/25/2029		221		216
BA Credit Card Trust
3.671% due 12/16/2013		8,000		8,125
Bear Stearns Asset-Backed Securities Trust
2.882% due 10/27/2032		162		147
3.142% due 10/25/2032		95		83
Chase Issuance Trust
2.481% due 02/15/2011		5,000		4,993
2.491% due 03/15/2013		5,000		4,924
Citibank Omni Master Trust
3.597% due 03/20/2013		16,600		16,600
Citicorp Residential Mortgage Securities, Inc.
2.572% due 03/25/2037		5,073		4,959
Countrywide Asset-Backed Certificates
2.582% due 09/25/2047		8,902		8,699
CS First Boston Mortgage Securities Corp.
3.102% due 01/25/2032		85		78
First Alliance Mortgage Loan Trust
2.712% due 12/20/2027		16		12
Ford Credit Auto Owner Trust
2.776% due 06/15/2009		19,545		19,546
3.371% due 01/15/2011		14,100		14,143
3.891% due 06/15/2012		9,500		9,598
Mesa Trust Asset-Backed Certificates
2.882% due 12/25/2031		374		370
Residential Asset Securities Corp.
2.982% due 07/25/2032		255		222
SLM Student Loan Trust
2.910% due 10/27/2014		3,156		3,146
2.982% due 10/25/2017 (a)		8,800		8,795
3.800% due 12/15/2038		3,000		2,978
Wells Fargo Home Equity Trust
2.712% due 10/25/2035		3,222		3,106
				114,075
Bank Loan Obligations 1.1%
Daimler Finance North America LLC
6.780% due 08/03/2012		18,361		15,208
Ford Motor Co.
5.480% due 12/15/2013		2,167		1,754
Georgia-Pacific Corp.
4.399% due 12/20/2012		476		451
4.446% due 12/20/2012		4,048		3,828
4.551% due 12/20/2012		364		344
HCA, Inc.
5.051% due 11/18/2013		4,740		4,458
Metro-Goldwyn-Mayer, Inc.
3.191% due 10/03/2011		100		82
3.805% due 10/03/2011		80		66
MGM Mirage
3.154% due 10/03/2011		120		109
3.409% due 10/03/2011		200		182
3.664% due 10/03/2011		200		182
3.671% due 10/03/2011		300		272
NRG Energy, Inc.
4.196% due 02/01/2013		945		903
Texas Competitive Electric Holdings Co., LLC
6.234% due 10/10/2014		2,649		2,456
6.478% due 10/10/2014		343		318
				30,613
Commodity Index-linked Notes 0.3%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		7,000		6,952
Corporate Bonds & Notes 30.2%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		1,400		1,407
Allstate Life Global Funding II
3.328% due 05/21/2010		19,300		19,187
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		5,700		5,686
American Express Bank FSB
2.542% due 04/26/2010		13,300		13,101
2.625% due 06/12/2012		3,400		3,168
5.500% due 04/16/2013		5,700		5,581
American Express Co.
7.000% due 03/19/2018		13,900		14,115
American Express Credit Corp.
3.882% due 05/27/2010		200		199
5.875% due 05/02/2013		4,500		4,480
American International Group, Inc.
4.875% due 03/15/2067	EUR	5,500		6,501
5.850% due 01/16/2018	$	6,400		6,015
8.000% due 05/22/2038	EUR	15,600		24,250
8.175% due 05/15/2058	$	14,900		14,075
Amgen, Inc.
2.726% due 11/28/2008		1,350		1,346
Anadarko Petroleum Corp.
6.125% due 03/15/2012		2,600		2,681
AT&T, Inc.
2.888% due 11/14/2008		500		500
5.500% due 02/01/2018		16,200		15,743
6.300% due 01/15/2038		11,100		10,544
AutoZone, Inc.
5.875% due 10/15/2012		2,000		1,998
Avnet, Inc.
6.625% due 09/15/2016		1,700		1,704
Bank of America Corp.
2.904% due 11/06/2009		7,500		7,433
4.750% due 05/23/2017	EUR	12,700		18,202
8.125% due 12/29/2049	$	12,600		11,926
Bank of America N.A.
3.316% due 05/12/2010		5,400		5,379
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		12,000		12,493
7.250% due 02/01/2018		5,000		5,234
BellSouth Corp.
5.200% due 09/15/2014		3,000		2,962
Black & Decker Corp.
5.750% due 11/15/2016		3,000		2,868
Boston Scientific Corp.
6.400% due 06/15/2016		4,300		4,064
Cardinal Health, Inc.
6.000% due 06/15/2017		5,000		4,971
Charter One Bank N.A.
2.957% due 04/24/2009		13,550		13,514
CIT Group, Inc.
2.839% due 08/17/2009		7,800		7,102
Citigroup Capital XXI
8.300% due 12/21/2057		18,600		17,642
Citigroup Funding, Inc.
3.820% due 05/07/2010		7,200		7,147
Citigroup, Inc.
5.500% due 04/11/2013		10,200		9,969
6.000% due 08/15/2017		7,000		6,698
6.125% due 05/15/2018		21,000		20,162
8.400% due 04/29/2049		3,500		3,332
CNA Financial Corp.
5.850% due 12/15/2014		3,000		2,886
6.000% due 08/15/2011		3,600		3,619
Computer Sciences Corp.
6.500% due 03/15/2018		6,000		6,048
Consolidated Edison Co. of New York, Inc.
5.850% due 04/01/2018		5,000		5,033
Consumers Energy Co.
5.000% due 02/15/2012		1,500		1,488
CSX Corp.
6.750% due 03/15/2011		2,500		2,593
CVS Caremark Corp.
5.750% due 08/15/2011		900		923
Daimler Finance North America LLC
3.138% due 03/13/2009		6,600		6,581
4.875% due 06/15/2010		1,000		1,007
5.750% due 09/08/2011		1,500		1,531
Dominion Resources, Inc.
5.600% due 11/15/2016		2,000		1,936
Duke Energy Carolinas LLC
6.050% due 04/15/2038		2,800		2,784
EchoStar DBS Corp.
5.750% due 10/01/2008		410		411
6.375% due 10/01/2011		400		387
7.000% due 10/01/2013		300		287
Exelon Corp.
6.750% due 05/01/2011		900		925
Freeport-McMoRan Copper & Gold, Inc.
5.882% due 04/01/2015		1,100		1,112
GATX Financial Corp.
5.125% due 04/15/2010		500		500
General Electric Capital Corp.
2.826% due 12/12/2008		3,100		3,096
3.558% due 05/22/2013		7,100		7,064
4.625% due 09/15/2066	EUR	700		927
5.875% due 01/14/2038	$	2,000		1,821
6.375% due 11/15/2067		7,900		7,492
Genworth Financial Assurance Holdings, Inc.
1.600% due 06/20/2011	JPY	520,000		4,665
GlaxoSmithKline Capital, Inc.
4.850% due 05/15/2013	$	12,200		12,202
GMAC LLC
4.750% due 09/14/2009	EUR	2,300		3,042
Goldman Sachs Group, Inc.
3.251% due 03/22/2016	$	2,900		2,597
5.375% due 02/15/2013	EUR	2,000		2,995
6.150% due 04/01/2018	$	4,500		4,380
6.250% due 09/01/2017		700		694
6.750% due 10/01/2037		3,300		3,031
HCP, Inc.
5.650% due 12/15/2013		6,000		5,498
5.950% due 09/15/2011		1,000		972
Home Depot, Inc.
5.250% due 12/16/2013		4,000		3,844
Humana, Inc.
6.300% due 08/01/2018		6,300		5,862
International Lease Finance Corp.
5.350% due 03/01/2012		2,900		2,598
5.400% due 02/15/2012		2,700		2,426
6.625% due 11/15/2013		7,000		6,300
International Paper Co.
7.950% due 06/15/2018		3,000		2,992
JPMorgan & Co., Inc. CPI Linked Bond
5.886% due 02/15/2012		4,670		4,795
JPMorgan Chase & Co.
2.498% due 05/07/2010		8,900		8,825
6.000% due 01/15/2018		10,000		9,773
JPMorgan Chase Bank N.A.
4.375% due 11/30/2021	EUR	2,500		3,298
6.000% due 10/01/2017	$	7,400		7,211
JPMorgan Chase Capital XX
6.550% due 09/29/2036		4,800		4,172
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		3,000		2,584
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		3,000		2,932
6.950% due 01/15/2038		9,000		8,972
Lehman Brothers Holdings, Inc.
2.778% due 05/25/2010		15,400		14,273
5.625% due 01/24/2013		6,800		6,445
6.875% due 05/02/2018		7,000		6,798
Lennar Corp.
5.950% due 10/17/2011		900		756
Loews Corp.
5.250% due 03/15/2016		1,200		1,164
Macy’s Retail Holdings, Inc.
4.800% due 07/15/2009		900		882
Marriott International, Inc.
6.375% due 06/15/2017		4,300		4,100
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		2,200		2,187
Masco Corp.
5.875% due 07/15/2012		1,000		956
Merrill Lynch & Co., Inc.
2.768% due 08/14/2009		3,800		3,680
2.901% due 03/23/2010		5,600		5,254
4.966% due 05/12/2010		22,200		21,859
6.875% due 04/25/2018		14,900		14,225
Metropolitan Life Global Funding I
5.125% due 04/10/2013		4,300		4,240
Morgan Stanley
2.820% due 05/07/2009		6,400		6,302
3.193% due 10/15/2015		5,100		4,477
4.778% due 05/14/2010		10,000		9,967
6.000% due 04/28/2015		42,500		40,750
6.250% due 08/28/2017		1,300		1,216
6.625% due 04/01/2018		12,100		11,501
Nabors Industries, Inc.
6.150% due 02/15/2018		2,000		2,028
National Rural Utilities Cooperative Finance Corp.
3.566% due 07/01/2010		6,400		6,397
Newell Rubbermaid, Inc.
5.500% due 04/15/2013		5,000		4,926
NGPL Pipe Co. LLC
7.768% due 12/15/2037		6,600		6,946
NiSource Finance Corp.
5.400% due 07/15/2014		1,200		1,125
6.400% due 03/15/2018		4,000		3,873
Omnicom Group, Inc.
5.900% due 04/15/2016		1,000		980
Pricoa Global Funding I
3.473% due 06/04/2010		28,300		28,285
Principal Life Income Funding Trusts
5.300% due 04/24/2013		5,000		5,007
Prudential Financial, Inc.
6.625% due 12/01/2037		7,000		6,637
Qwest Communications International, Inc.
6.176% due 02/15/2009		200		200
Rabobank Capital Funding Trust
5.254% due 12/29/2049		3,900		3,358
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		1,200		1,152
Reynolds American, Inc.
3.476% due 06/15/2011		800		760
6.750% due 06/15/2017		700		701
Ryder System, Inc.
3.500% due 03/15/2009		900		899
Sealed Air Corp.
5.625% due 07/15/2013		6,900		6,677
Simon Property Group LP
5.250% due 12/01/2016		7,000		6,450
5.625% due 08/15/2014		3,000		2,908
SLM Corp.
8.450% due 06/15/2018		7,000		6,733
Southwest Airlines Co.
6.500% due 03/01/2012		500		488
Spectra Energy Capital LLC
6.200% due 04/15/2018		5,000		4,881
Sprint Capital Corp.
8.750% due 03/15/2032		800		764
SUPERVALU, Inc.
7.500% due 11/15/2014		400		402
Time Warner, Inc.
2.915% due 11/13/2009		3,400		3,305
Tyco International Ltd.
7.000% due 12/15/2019		7,000		6,927
U.S. Bancorp
2.512% due 04/28/2009		8,200		8,190
U.S. Bank N.A.
4.375% due 02/28/2017	EUR	2,000		2,798
UnitedHealth Group, Inc.
6.000% due 02/15/2018	$	14,700		14,266
6.875% due 02/15/2038		1,800		1,711
Verizon Communications, Inc.
6.100% due 04/15/2018		2,000		1,991
6.400% due 02/15/2038		15,000		14,038
Viacom, Inc.
5.750% due 04/30/2011		6,100		6,120
6.250% due 04/30/2016		6,500		6,293
WEA Finance LLC
7.125% due 04/15/2018		7,000		7,195
Wells Fargo & Co.
4.375% due 01/31/2013		5,600		5,430
Wells Fargo Capital XIII
7.700% due 12/29/2049		7,200		7,167
Xerox Corp.
9.750% due 01/15/2009		2,600		2,677
				842,207
Mortgage-Backed Securities 9.5%
Adjustable Rate Mortgage Trust
5.141% due 09/25/2035		723		691
American Home Mortgage Assets Trust
2.712% due 09/25/2046		774		419
4.448% due 11/25/2046		4,271		3,157
Banc of America Funding Corp.
6.141% due 01/20/2047		938		763
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		4,467		4,312
BCAP LLC Trust
2.652% due 01/25/2037		11,247		7,202
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		14,910		14,260
4.415% due 05/25/2034		1,586		1,495
4.476% due 02/25/2034		153		149
4.550% due 08/25/2035		11,452		11,022
4.629% due 05/25/2034		786		752
4.641% due 10/25/2033		959		922
Bear Stearns Alt-A Trust
5.500% due 08/25/2036		1,600		904
5.701% due 09/25/2035		4,968		4,100
5.784% due 11/25/2036		6,899		5,594
5.916% due 02/25/2036		8,577		6,613
5.920% due 11/25/2036		1,632		1,173
6.250% due 08/25/2036		4,941		3,859
Bear Stearns Commercial Mortgage Securities
5.243% due 12/11/2038		500		449
5.700% due 06/11/2050		6,100		5,757
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		10,278		10,188
Citigroup Commercial Mortgage Trust
5.889% due 12/10/2049		3,500		3,311
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		3,665		3,464
4.748% due 08/25/2035		3,763		3,588
4.900% due 10/25/2035		14,600		14,183
4.900% due 12/25/2035		673		640
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		12,800		11,858
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		2,800		2,940
Countrywide Alternative Loan Trust
2.652% due 01/25/2037		1,600		938
2.712% due 08/25/2046		654		370
2.832% due 05/25/2037		1,502		1,033
5.250% due 06/25/2035		1,026		888
6.000% due 01/25/2037		3,770		3,022
6.250% due 08/25/2037		1,131		851
Countrywide Home Loan Mortgage Pass-Through Trust
2.802% due 03/25/2035		57		44
4.799% due 11/25/2034		1,400		1,346
5.454% due 02/25/2047		1,415		1,053
5.607% due 08/25/2034		376		313
5.650% due 03/25/2037		1,360		1,003
CS First Boston Mortgage Securities Corp.
4.688% due 08/25/2033		656		640
4.938% due 12/15/2040		394		395
5.097% due 07/25/2033		134		126
5.550% due 05/25/2032		59		59
Downey Savings & Loan Association Mortgage Loan Trust
2.802% due 07/19/2045		576		359
First Horizon Asset Securities, Inc.
4.384% due 12/25/2033		922		900
4.464% due 07/25/2033		186		182
5.368% due 08/25/2035		671		642
GE Capital Commercial Mortgage Corp.
5.512% due 11/10/2045		3,300		3,207
GMAC Mortgage Corp. Loan Trust
4.305% due 06/25/2034		155		125
5.500% due 09/25/2034		2,758		2,727
Greenpoint Mortgage Funding Trust
2.752% due 11/25/2045		377		301
Greenpoint Mortgage Pass-Through Certificates
4.392% due 10/25/2033		168		160
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		4,100		3,829
GSR Mortgage Loan Trust
4.510% due 03/25/2033		1,083		1,036
4.539% due 09/25/2035		1,889		1,833
Harborview Mortgage Loan Trust
2.672% due 01/19/2038		2,883		2,065
5.145% due 07/19/2035		289		267
5.172% due 05/19/2033		1,418		1,369
Homebanc Mortgage Trust
5.913% due 04/25/2037		1,600		954
Impac CMB Trust
3.392% due 07/25/2033		165		148
Indymac INDA Mortgage Loan Trust
5.936% due 08/25/2036		1,600		1,254
Indymac INDB Mortgage Loan Trust
2.782% due 11/25/2035		810		581
Indymac Index Mortgage Loan Trust
2.672% due 04/25/2037		462		252
2.732% due 02/25/2037		1,100		431
2.782% due 06/25/2037		1,384		802
5.044% due 12/25/2034		363		315
JPMorgan Alternative Loan Trust
5.500% due 11/25/2036		2,301		2,050
JPMorgan Chase Commercial Mortgage Securities Corp.
5.429% due 12/12/2043		4,000		3,796
6.465% due 11/15/2035		10,100		10,386
JPMorgan Mortgage Trust
4.386% due 11/25/2033		970		951
5.020% due 02/25/2035		2,374		2,242
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		393		395
MASTR Adjustable Rate Mortgages Trust
2.782% due 05/25/2047		1,700		843
4.133% due 07/25/2034		1,324		1,276
MASTR Alternative Loans Trust
2.882% due 03/25/2036		952		678
MASTR Asset Securitization Trust
5.500% due 11/25/2017		683		669
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		2,700		2,507
5.414% due 07/12/2046		7,200		6,843
6.156% due 08/12/2049		6,000		5,808
Merrill Lynch Mortgage Investors, Inc.
2.732% due 08/25/2036		672		427
6.239% due 02/25/2033		510		502
MLCC Mortgage Investors, Inc.
2.851% due 03/15/2025		448		338
4.430% due 10/25/2035		7,097		6,726
Morgan Stanley Capital I
5.544% due 11/12/2049		1,200		1,081
5.692% due 04/15/2049		1,100		1,040
Residential Accredit Loans, Inc.
2.662% due 06/25/2046		7,574		5,432
2.682% due 12/25/2046		1,400		549
2.752% due 05/25/2046		1,200		445
2.788% due 09/25/2046		2,000		822
Residential Asset Securitization Trust
5.750% due 02/25/2036		897		753
Residential Funding Mortgage Securities I
5.209% due 09/25/2035		697		611
6.500% due 03/25/2032		288		282
Sovereign Commercial Mortgage Securities Trust
5.833% due 07/22/2030		2,300		2,261
Structured Adjustable Rate Mortgage Loan Trust
4.180% due 02/25/2034		668		594
4.590% due 04/25/2034		888		848
5.246% due 05/25/2036		1,600		1,390
5.431% due 09/25/2036		1,600		1,318
Structured Asset Mortgage Investments, Inc.
2.692% due 05/25/2046		1,571		1,125
2.732% due 09/25/2047		418		234
2.742% due 05/25/2046		875		496
2.782% due 08/25/2036		1,800		934
WaMu Mortgage Pass-Through Certificates
2.742% due 11/25/2045		1,064		817
2.792% due 01/25/2045		1,270		985
3.022% due 12/25/2027		3,936		3,595
4.268% due 01/25/2047		2,126		1,612
4.278% due 06/25/2047		917		514
4.361% due 02/27/2034		1,221		1,135
4.561% due 06/25/2033		337		328
4.990% due 05/25/2041		23		21
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.732% due 07/25/2046		201		113
4.288% due 04/25/2047		944		536
4.298% due 04/25/2047		1,346		771
4.368% due 05/25/2047		886		521
4.468% due 07/25/2046		1,504		1,064
Wells Fargo Mortgage-Backed Securities Trust
4.622% due 06/25/2035		14,933		14,683
4.950% due 03/25/2036		11,255		10,846
5.773% due 04/25/2036		1,173		939
				264,717
Municipal Bonds & Notes 1.4%
California State General Obligation Bonds, (AMBAC Insured), Series 2007
4.500% due 08/01/2028		10,600		9,862
California State General Obligation Bonds, Series 2007
5.000% due 11/01/2032		4,100		4,066
5.000% due 06/01/2037		1,000		982
5.000% due 11/01/2037		700		687
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
10.579% due 01/01/2014		830		733
District of Columbia Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
6.500% due 05/15/2033		1,115		1,068
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047		1,200		1,024
Harris County, Texas General Obligation Bonds, Series 2003
5.000% due 08/01/2033		820		822
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		1,435		1,444
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		3,266
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		1,605		1,477
Louisville & Jefferson Counties, Kentucky Metropolitan Sewer District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		200		202
Metropolitan Water District of Southern California State Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 10/01/2036		530		532
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
10.679% due 12/15/2013		600		552
New York State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
5.500% due 06/01/2014		300		305
5.500% due 06/01/2017		600		621
New York State Tobacco Settlement Financing Corp. Revenue Notes, Series 2003
5.250% due 06/01/2013		1,555		1,557
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		1,980		136
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2025		8,300		3,367
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		6,110		5,458
				38,183
	Shares
Preferred Stocks 0.2%
DG Funding Trust
5.041% due 12/31/2049		640		6,386
	Principal Amount (000s)
U.S. Government Agencies 34.1%
Fannie Mae
2.602% due 03/25/2034	$	226		219
4.205% due 11/01/2034 (e)		7,711		7,857
4.940% due 12/01/2034 (e)		1,568		1,578
5.000% due 11/25/2032		5,703		5,351
5.000% due 08/01/2035 - 03/01/2036 (e)		24,623		23,689
5.200% due 11/01/2015		16,846		16,796
5.270% due 12/01/2015		3,436		3,434
5.310% due 12/01/2010		21,911		22,263
5.370% due 12/01/2015		2,664		2,677
5.425% due 01/01/2016		2,913		2,934
5.500% due 01/01/2023 - 05/01/2048		36,694		36,050
5.500% due 11/01/2028 - 01/01/2038 (e)		375,554		371,045
5.672% due 04/01/2032 (e)		111		112
5.825% due 01/01/2023		59		60
6.000% due 01/01/2029 - 07/25/2044		15,630		15,841
6.000% due 07/01/2034 - 05/01/2038 (e)		152,927		154,577
6.300% due 08/01/2023 (e)		168		171
6.500% due 02/01/2026 - 07/01/2038		49,289		50,761
6.500% due 12/01/2028 - 07/01/2037 (e)		11,047		11,407
6.915% due 11/01/2022		18		18
7.000% due 08/01/2036		2,610		2,711
7.149% due 12/01/2030		24		25
Freddie Mac
2.701% due 02/15/2019		16,091		15,776
2.821% due 12/15/2030		915		904
4.343% due 09/01/2035 (e)		621		621
4.500% due 09/01/2013 - 01/15/2016		1,588		1,587
4.994% due 10/25/2044		6,707		6,526
5.000% due 03/15/2016 - 08/15/2035		9,799		9,091
5.500% due 07/01/2038		19,000		18,718
6.000% due 12/01/2033 (e)		2,342		2,351
7.000% due 08/01/2036		725		753
7.141% due 06/01/2022 (e)		282		284
9.050% due 06/15/2019		4		4
Ginnie Mae
5.125% due 11/20/2021 - 11/20/2030		266		267
5.625% due 07/20/2022 - 08/20/2027		604		610
6.000% due 08/20/2034 - 07/01/2038		34,777		35,355
6.375% due 05/20/2022 - 05/20/2030		1,157		1,179
6.500% due 07/01/2038		109,000		112,594
Small Business Administration
5.980% due 05/01/2022		4,501		4,659
6.344% due 08/01/2011		582		596
6.640% due 02/01/2011		288		296
Tennessee Valley Authority
5.880% due 04/01/2036		8,145		8,826
5.980% due 04/01/2036		1,855		2,008
				952,581
U.S. Treasury Obligations 3.3%
U.S. Treasury Notes
3.500% due 02/15/2018		4,700		4,531
4.625% due 02/15/2017		84,000		88,528
				93,059
Total United States (Cost $2,383,320)				2,348,773
SHORT-TERM INSTRUMENTS 9.4%
Certificates of Deposit 1.6%
Unicredito Italiano NY
3.071% due 05/15/2009		29,100		29,100
3.071% due 05/18/2009		14,300		14,290
				43,390
Commercial Paper 4.3%
Citibank N.A.
3.570% due 08/19/2008		14,600		14,529
3.580% due 10/23/2008		18,000		17,833
Federal Home Loan Bank
2.000% due 07/01/2008		12,000		12,000
Nordea N.A., Inc.
2.770% due 09/29/2008		29,250		29,039
San Paolo U.S. Financial Co.
2.920% due 10/20/2008		48,143		47,708
				121,109
Repurchase Agreements 0.1%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		2,624		2,624
(Dated 06/30/2008. Collateralized by Freddie Mac 0.000% due 03/30/2009 valued at $2,679. Repurchase proceeds are $2,624.)
U.S. Treasury Bills 3.4%
1.819% due 08/28/2008 - 09/25/2008 (b)(c)(d)(f)		95,655		95,093
Total Short-Term Instruments (Cost $262,381)				262,216
PURCHASED OPTIONS (h) 0.6% (Cost $18,972)				16,021
Total Investments 163.2% (Cost $4,552,274)			$	4,552,198
Written Options (i) (0.6%) (Premiums $19,316)				(16,679	)
Other Assets and Liabilities (Net) (62.6%)				(1,745,843	)
Net Assets 100.0%			$	2,789,676

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 $91,956 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) Securities with an aggregate market value of $199 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2008.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $375,634 at a weighted average interest rate of 2.431%. On June 30, 2008, securities valued at $559,023 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $204 and cash of $29,259 have been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
3-Month Canadian Bankers' Acceptance December Futures	Short	12/2008	619	$	876
3-Month Canadian Bankers' Acceptance September Futures	Short	09/2008	46		60
90-Day Euribor December Futures	Long	12/2008	239		(235	)
90-Day Euribor December Futures Put Options Strike @ EUR 93.250	Long	12/2008	57		0
90-Day Euribor June Futures	Long	06/2009	167		5
90-Day Euribor March Futures	Long	03/2009	432		(151	)
90-Day Euribor September Futures	Short	09/2008	712		12
90-Day Eurodollar December Futures	Long	12/2008	1,441		(35	)
90-Day Eurodollar December Futures	Long	12/2009	5,806		(11,519	)
90-Day Eurodollar June Futures	Long	06/2009	14		(8	)
90-Day Eurodollar March Futures	Long	03/2009	312		95
90-Day Eurodollar March Futures	Long	03/2010	535		(1,500	)
90-Day Eurodollar September Futures	Long	09/2008	165		123
90-Day Eurodollar September Futures	Long	09/2009	840		(818	)
Australia Government 3-Year Bond September Futures	Short	09/2008	423		(312	)
Australia Government 10-Year Bond September Futures	Short	09/2008	385		(585	)
Canada Government 10-Year Bond September Futures	Short	09/2008	80		34
Euro-Bobl September Futures	Short	09/2008	2,230		4,420
Euro-Bobl September Futures Call Options Strike @ EUR 118.000	Long	09/2008	2,319		0
Euro-Bund 10-Year Bond September Futures	Long	09/2008	2,310		(4,036	)
Euro-Bund 10-Year Bond September Futures Put Options Strike @ EUR 104.000	Long	09/2008	2,569		(1	)
Euro-Schatz September Futures	Short	09/2008	961		1,083
Euro-Schatz September Futures Call Options Strike @ EUR 108.000	Long	09/2008	2,288		0
Japan Government 10-Year Bond September Futures	Long	09/2008	32		421
U.S. Treasury 2-Year Note September Futures	Short	09/2008	2,798		165
U.S. Treasury 5-Year Note September Futures	Short	09/2008	2,218		(1,331	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	7,289		4,215
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	725		1,148
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	4		1
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	71		(126	)
United Kingdom Government 10-Year Bond September Futures	Short	09/2008	76		138
				$	(7,861	)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Ace INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	06/20/2014	DUB	$	1,400	$	26
Akzo Nobel NV 4.250% due 06/14/2011	Buy	(0.290	%)	06/20/2012	DUB	EUR	1,700		20
Anadarko Petroleum Corp. 6.125% due 03/15/2012	Buy	(0.330	%)	03/20/2012	BCLY	$	2,600		23
AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.920	%)	06/20/2013	RBS		7,000		2
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012	CITI		2,100		17
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.850	%)	06/20/2013	RBS		7,000		24
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017	BOA		2,000		63
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017	JPM		1,100		37
Avnet, Inc. 6.625% due 09/15/2016	Buy	(1.530	%)	09/20/2016	UBS		1,700		(33	)
Barclays Bank PLC 4.566% due 10/27/2015	Sell	1.480	%	03/20/2013	LEH	EUR	4,300		139
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(0.870	%)	03/20/2018	DUB	$	6,000		77
BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014	LEH		3,000		8
Black & Decker Corp. 5.750% due 11/15/2016	Buy	(1.020	%)	12/20/2016	BOA		3,000		55
Boston Scientific Corp. 6.400% due 06/15/2016	Buy	(2.060	%)	06/20/2016	UBS		4,300		(62	)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	08/20/2011	LEH		29,600		501
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.340	%	08/20/2011	MLP		15,600		295
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.345	%	08/20/2011	JPM		19,900		380
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011	LEH		8,100		161
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	08/20/2011	MSC		21,700		439
Cardinal Health, Inc. 6.000% due 06/15/2017	Buy	(0.590	%)	06/20/2017	DUB		5,000		47
Carnival Corp. 6.650% due 01/15/2028	Buy	(0.210	%)	06/20/2012	GSC		2,500		101
Citigroup, Inc. 6.500% due 01/18/2011	Buy	(1.336	%)	09/20/2018	DUB		2,700		22
Citigroup, Inc. 6.500% due 01/18/2011	Buy	(1.300	%)	09/20/2018	JPM		15,000		161
CNA Financial Corp. 5.850% due 12/15/2014	Buy	(1.390	%)	12/20/2014	BCLY		3,000		(31	)
CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011	BEAR		3,800		53
Compass Group PLC 6.375% due 05/29/2012	Buy	(0.390	%)	06/20/2012	MLP	EUR	1,800		3
Computer Sciences Corp.     6.500% due 03/15/2018	Buy	(1.060	%)	03/20/2018	BOA	$	6,000		(136	)
Consumers Energy Co. 5.000% due 02/15/2012	Buy	(0.090	%)	03/20/2012	BOA		1,500		65
Covidien International Finance S.A. 6.000% due 10/15/2017	Buy	(0.750	%)	12/20/2017	DUB		4,100		(47	)
CSX Corp. 6.750% due 03/15/2011	Buy	(0.165	%)	03/20/2011	BEAR		2,700		83
CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	09/20/2011	RBS		1,000		9
Daimler Finance N.A. LLC 4.875% due 06/15/2010	Buy	(0.520	%)	06/20/2010	BEAR		1,000		3
Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.620	%)	09/20/2011	RBS		1,500		8
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS		13,000		12
Deutsche Bank AG 5.500% due 05/18/2011	Buy	(0.930	%)	06/20/2013	CITI		4,900		10
Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.495	%)	06/20/2017	MSC		1,200		20
Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.470	%)	06/20/2017	BCLY		1,100		20
Dominion Resources, Inc. 5.600% due 11/15/2016	Buy	(0.475	%)	12/20/2016	CITI		2,000		39
Exelon Corp. 6.750% due 05/01/2011	Buy	(0.330	%)	06/20/2011	BOA		900		13
Fannie Mae 5.500% due 06/09/2033	Buy	(0.520	%)	06/20/2013	LEH		11,700		59
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	7.300	%	03/20/2009	JPM		6,300		(164	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	7.500	%	03/20/2009	CITI		11,400		(280	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	5.000	%	06/20/2009	CITI		400		(1	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	3.950	%	12/20/2012	UBS		3,000		(686	)
GATX Financial Corp. 5.125% due 04/15/2010	Buy	(0.160	%)	06/20/2010	BEAR		500		10
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.770	%	03/20/2009	BOA		400		(1	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.850	%	03/20/2009	DUB		1,300		(2	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.320	%	03/20/2013	RBS		12,500		(142	)
Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.365	%)	03/20/2012	DUB		500		112
Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.290	%)	03/20/2012	RBS		3,200		726
GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.520	%)	06/20/2012	WAC		1,500		(11	)
GMAC LLC 6.875% due 08/28/2012	Sell	8.650	%	03/20/2009	CITI		1,300		(50	)
GMAC LLC 6.875% due 08/28/2012	Sell	8.850	%	03/20/2009	BOA		700		(10	)
GMAC LLC 6.875% due     08/28/2012	Sell	9.500	%	03/20/2009	JPM		6,100		(52	)
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	BEAR		2,900		181
HCP, Inc. 5.650% due 12/15/2013	Buy	(2.030	%)	12/20/2013	MSC		6,000		124
HCP, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	09/20/2011	JPM		1,000		59
Home Depot, Inc. 5.250% due 12/16/2013	Buy	(0.980	%)	12/20/2013	MSC		4,000		61
HSBC Finance Corp. 7.000% due 05/15/2012	Sell	1.550	%	06/20/2009	MLP		4,400		(24	)
HSBC Finance Corp. 7.000% due 05/15/2012	Sell	1.500	%	06/20/2010	GSC		1,400		(14	)
Humana, Inc. 6.300% due 08/01/2018	Buy	(1.530	%)	09/20/2018	JPM		4,500		97
Humana, Inc. 6.300% due 08/01/2018	Buy	(1.050	%)	09/20/2018	BCLY		1,800		103
ICI Wilmington, Inc. 5.625% due 12/01/2013	Buy	(0.340	%)	06/20/2012	GSC	EUR	1,900		(22	)
International Lease Finance Corp. 5.350% due 03/01/2012	Buy	(0.130	%)	03/20/2012	MLP	$	2,900		318
International Lease Finance Corp. 5.400% due 02/15/2012	Buy	(0.170	%)	03/20/2012	BCLY		2,700		292
International Lease Finance Corp. 6.625% due 11/15/2013	Buy	(1.540	%)	12/20/2013	BCLY		7,000		407
International Paper Co. 5.850% due 10/30/2012	Buy	(0.700	%)	06/20/2017	DUB		2,600		306
International Paper Co. 7.950% due 06/15/2018	Buy	(2.400	%)	06/20/2018	CSFB		3,000		24
JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.990	%	09/20/2010	GSC		500		(3	)
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.730	%)	03/20/2018	LEH		5,000		116
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.730	%)	03/20/2018	UBS		3,500		81
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.720	%)	03/20/2018	BOA		5,000		119
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.720	%)	03/20/2018	DUB		1,500		36
Koninklijke DSM NV 4.000% due 11/10/2015	Buy	(0.365	%)	06/20/2012	GSC	EUR	1,800		11
Landsbanki Islands HF floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	09/20/2009	RBS	$	2,400		193
Lehman Brothers Holdings, Inc. 6.875% due 05/02/2018	Buy	(1.600	%)	06/20/2018	DUB		7,000		310
Lennar Corp. 5.950% due 10/17/2011	Buy	(5.750	%)	12/20/2012	MLP		900		31
Loews Corp. 5.250% due 03/15/2016	Buy	(0.330	%)	03/20/2016	BEAR		1,150		9
Macy's Retail Holdings, Inc. 4.800% due 07/15/2009	Buy	(0.190	%)	09/20/2009	BOA		900		16
Marriott International, Inc. 6.375% due 06/15/2017	Buy	(1.730	%)	06/20/2017	BOA		4,300		255
Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	09/20/2012	MSC		1,000		73
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.520	%)	06/20/2012	BEAR		1,000		57
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.520	%)	06/20/2012	LEH		2,000		114
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.080	%)	06/20/2017	BOA		2,100		165
Merrill Lynch & Co., Inc. 6.875% due 04/25/2018	Buy	(1.380	%)	06/20/2018	CITI		5,000		240
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.200	%)	06/20/2015	DUB		9,000		381
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.150	%)	06/20/2015	RBS		2,000		90
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.100	%)	06/20/2015	BOA		8,000		381
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.040	%)	06/20/2015	BCLY		2,000		102
Morgan Stanley 6.600% due 04/01/2012	Buy	(1.850	%)	06/20/2013	RBS		700		3
Morgan Stanley 6.600% due 04/01/2012	Buy	(1.800	%)	06/20/2013	JPM		1,900		22
Morgan Stanley 6.600% due 04/01/2012	Buy	(1.850	%)	09/20/2018	DUB		2,900		9
Morgan Stanley 6.600% due 04/01/2012	Buy	(1.830	%)	09/20/2018	JPM		10,600		48
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.295	%)	12/20/2015	RBS		2,600		246
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.285	%)	12/20/2015	BEAR		2,500		238
Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008	HSBC		2,400		5
Multiple Reference Entities of Gazprom	Sell	1.300	%	12/20/2008	HSBC		7,300		16
Multiple Reference Entities of Gazprom	Sell	1.320	%	12/20/2008	MSC		500		1
Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008	CSFB		4,400		10
Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008	MSC		2,400		6
Multiple Reference Entities of Gazprom	Sell	1.680	%	04/20/2009	MSC		1,500		14
Multiple Reference Entities of Gazprom	Sell	1.710	%	04/20/2009	MSC		2,600		24
Multiple Reference Entities of Gazprom	Sell	1.910	%	04/20/2009	MSC		800		10
Multiple Reference Entities of Gazprom	Sell	0.610	%	05/20/2012	MLP		1,200		(57	)
Nabors Industries, Inc. 6.150% due 02/15/2018	Buy	(0.820	%)	03/20/2018	CITI		2,000		9
National Grid PLC 5.000% due 07/02/2018	Buy	(0.208	%)	06/20/2011	BCLY		4,300		35
Newell Rubbermaid, Inc. 5.500% due 04/15/2013	Buy	(0.780	%)	06/20/2013	GSC		5,000		11
NiSource Finance Corp. 5.400% due 07/15/2014	Buy	(0.620	%)	09/20/2014	BEAR		1,150		51
NiSource Finance Corp.     6.400% due 03/15/2018	Buy	(1.660	%)	03/20/2018	CITI		4,000		(16	)
Noble Corp. 5.875% due 06/01/2013	Buy	(0.542	%)	06/20/2012	BOA		800		2
Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012	BCLY		600		2
Nucor Corp. 4.875% due 10/01/2012	Buy	(0.150	%)	06/20/2012	MSC		2,500		26
Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.940	%)	06/20/2016	CITI		1,000		(18	)
Progress Energy, Inc. 5.625% due 01/15/2016	Buy	(0.105	%)	06/20/2012	MSC		2,100		28
RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.440	%)	06/20/2013	GSC		5,700		182
RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.410	%)	06/20/2013	GSC		8,400		279
Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012	DUB	EUR	1,600		29
Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012	MSC	$	1,200		15
Royal Bank of Scotland Group PLC 5.000% due 12/06/2020	Sell	1.650	%	03/20/2013	BCLY	EUR	3,000		111
Royal Caribbean Cruises Ltd. 8.000% due 05/15/2010	Buy	(0.480	%)	06/20/2010	BOA	$	1,700		89
RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	0.740	%	06/20/2012	BCLY		1,900		(124	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.630	%	12/20/2008	GSC		6,200		7
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.450	%	01/20/2009	CSFB		5,000		0
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.460	%	01/20/2009	MSC		4,000		0
Ryder System, Inc. 3.500% due 03/15/2009	Buy	(0.150	%)	03/20/2009	DUB		900		1
SCA Finans AB 4.500% due 07/15/2015	Buy	(0.250	%)	06/20/2012	GSC	EUR	1,900		74
Sealed Air Corp. 5.625% due 07/15/2013	Buy	(1.135	%)	09/20/2013	BOA	$	6,900		132
Simon Property Group LP 5.250% due 12/01/2016	Buy	(1.470	%)	12/20/2016	GSC		7,000		(103	)
Simon Property Group LP 5.625% due 08/15/2014	Buy	(1.006	%)	09/20/2014	MSC		3,000		32
SLM Corp. 5.125% due 08/27/2012	Sell	3.200	%	12/20/2008	BNP		4,600		(43	)
SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009	DUB		1,900		(30	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.300	%	03/20/2009	CITI		1,300		(8	)
SLM Corp. 5.125% due 08/27/2012	Sell	3.150	%	06/20/2009	BOA		3,400		(69	)
SLM Corp. 5.125% due 08/27/2012	Sell	0.700	%	06/20/2012	GSC		1,600		(213	)
SLM Corp. 5.125% due 08/27/2012	Buy	(4.250	%)	06/20/2013	GSC		200		1
SLM Corp. 8.450% due 06/15/2018	Buy	(3.200	%)	06/20/2018	RBS		2,000		63
Southwest Airlines Co.     6.500% due 03/01/2012	Buy	(0.420	%)	03/20/2012	DUB		500		22
Spain Government Bond 5.500% due 07/30/2017	Sell	0.270	%	03/20/2013	GSC		31,000		(6	)
Spain Government Bond 5.500% due 07/30/2017	Sell	0.270	%	03/20/2013	JPM		51,700		(35	)
Spain Government Bond 5.500% due 07/30/2017	Sell	0.435	%	03/20/2013	GSC		11,200		65
Spain Government Bond 5.500% due 07/30/2017	Sell	0.465	%	03/20/2013	HSBC		8,400		60
Spectra Energy Capital LLC 6.200% due 04/15/2018	Buy	(0.860	%)	06/20/2018	DUB		5,000		47
SUPERVALU, Inc. 7.500% due 05/15/2012	Sell	2.450	%	09/20/2012	RBS		1,600		31
Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014	DUB		1,400		88
Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.700	%)	09/20/2010	MSC		400		(10	)
Tyco Electronics Group S.A. 6.550% due 10/01/2017	Buy	(0.950	%)	12/20/2017	DUB		7,000		(50	)
Tyco Electronics Group S.A. 6.550% due 10/01/2017	Buy	(0.850	%)	12/20/2017	DUB		6,000		8
Tyco International Ltd. 7.000% due 12/15/2019	Buy	(1.120	%)	12/20/2019	BOA		7,000		145
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009	HSBC		700		(5	)
United Utilities PLC 6.875% due 08/15/2028	Buy	(0.235	%)	06/20/2012	DUB	EUR	1,900		51
Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	06/20/2011	MSC	$	1,000		7
Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011	UBS		2,400		(49	)
Viacom, Inc. 6.250% due 04/30/2016	Buy	(1.150	%)	06/20/2016	JPM		6,500		148
Vivendi 5.750% due 04/04/2013	Buy	(1.280	%)	06/20/2013	BOA		7,000		11
VTB Capital S.A. 6.250% due 06/30/2035	Sell	1.700	%	12/20/2008	DUB		3,300		0
WEA Finance LLC 7.125% due 04/15/2018	Buy	(1.950	%)	06/20/2018	HSBC		7,000		(23	)
Wells Fargo & Co. floating rate based on 3-Month USD-LIBOR plus 0.200% due 10/28/2015	Buy	(1.030	%)	09/20/2018	BCLY		11,500		119
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.550	%)	06/20/2012	RBS		5,000		251
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.990	%)	06/20/2017	LEH		1,100		86
Wolters Kluwer NV 5.125% due 01/27/2014	Buy	(0.330	%)	06/20/2012	DUB	EUR	1,600		41
WPP Group PLC 6.000% due 06/18/2008	Buy	(0.260	%)	06/20/2012	GSC		1,600		90
Xerox Corp. 9.750% due 01/15/2009	Buy	(0.290	%)	03/20/2009	MSC	$	2,800		2
								$	9,068

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. HY8 Index	Sell	2.090	%	06/20/2012	MLP	$	600	$	(36	)
Dow Jones CDX N.A. HY8 Index	Sell	2.100	%	06/20/2012	LEH		22,900		(1,426	)
Dow Jones CDX N.A. HY8 Index	Sell	3.297	%	06/20/2012	CITI		3,000		(58	)
Dow Jones CDX N.A. HY8 Index	Sell	3.884	%	06/20/2012	MLP		2,400		4
Dow Jones CDX N.A. HY8 Index	Sell	4.221	%	06/20/2012	DUB		7,200		100
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	BCLY		2,400		146
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	GSC		43,700		2,661
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	LEH		9,300		558
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	MSC		15,000		911
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	UBS		12,000		728
Dow Jones CDX N.A. IG8 Index	Buy	(0.350	%)	06/20/2012	GSC		341,100		9,477
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	BCLY		14,500		621
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	BOA		38,400		2,011
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	GSC		12,600		410
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	JPM		68,900		3,297
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	DUB		12,100		24
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		2,600		10
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		66,000		156
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		5,200		21
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		7,900		33
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	GSC		20,100		415
Dow Jones iTraxx Europe 9 Index	Buy	(1.750	%)	06/20/2018	DUB	EUR	27,500		401
Dow Jones iTraxx Europe 9 Index	Buy	(2.900	%)	06/20/2013	CSFB		25,000		675
Dow Jones iTraxx Europe 9 Index	Buy	(2.900	%)	06/20/2013	DUB		25,000		621
Dow Jones iTraxx Europe 9 Index	Buy	(2.900	%)	06/20/2013	JPM		15,000		372
Dow Jones iTraxx Europe 9 Index	Buy	(2.900	%)	06/20/2013	RBS		15,000		488
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	BCLY		11,300		921
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	BNP		5,200		426
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	DUB		900		72
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	HSBC		1,800		147
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	JPM		6,300		504
Home Equity Index AA Rating 2006-1	Sell	0.320	%	07/25/2045	CSFB	$	4,800		(452	)
Home Equity Index AAA Rating 2006-2	Sell	0.110	%	05/25/2046	LEH		4,800		(11	)
								$	24,227

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	6.500	%	01/15/2009	CITI	AUD	109,100		(1,053	)
Pay	3-Month Australian Bank Bill	6.500	%	01/15/2009	DUB		97,490		(932	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	BCLY		3,500		(34	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	JPM		3,500		(32	)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	LEH		78,000		(154	)
Receive	3-Month Canadian Bank Bill	4.500	%	09/20/2011	BSN	CAD	7,200		(13	)
Receive	3-Month Canadian Bank Bill	4.500	%	09/20/2011	RBC		7,200		(10	)
Receive	3-Month Canadian Bank Bill	4.250	%	12/20/2013	RBC		21,500		(111	)
Receive	3-Month Canadian Bank Bill	5.000	%	06/15/2015	CITI		2,700		(49	)
Receive	3-Month Canadian Bank Bill	5.000	%	06/20/2017	DUB		3,300		(256	)
Receive	3-Month Canadian Bank Bill	5.500	%	06/20/2017	RBC		3,700		(116	)
Pay	3-Month Canadian Bank Bill	5.500	%	06/15/2035	DUB		1,900		173
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS	$	108,600		256
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	CITI		158,000		(1,687	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	GSC		313,900		(2,688	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	MSC		457,300		(4,095	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	RBS		303,400		(2,881	)
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		40,900		139
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		38,100		45
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		58,500		(254	)
Receive	3-Month USD-LIBOR	5.500	%	12/16/2014	DUB		27,200		(254	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	CITI		77,000		596
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		122,500		2,291
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	MSC		48,150		78
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	RBS		10,150		17
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	BCLY		16,700		(579	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	BOA		4,400		(221	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	CITI		8,200		(227	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	CSFB		29,700		(950	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	JPM		24,500		(737	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	LEH		56,200		(2,364	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	MLP		9,900		(547	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	MSC		21,700		(841	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	RBS		149,300		(7,422	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	UBS		15,500		(700	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		3,900		(19	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		101,500		(415	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	DUB		19,800		(372	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	LEH		20,700		(153	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		56,200		(109	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		53,100		(298	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		73,300		(1,333	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		50,800		(1,092	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		65,700		(1,003	)
Receive	3-Month USD-LIBOR	5.000	%	12/20/2026	UBS		18,000		(2,018	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2037	BCLY		800		(114	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		29,200		(357	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	JPM		49,700		(1,561	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	LEH		76,300		(2,072	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		18,100		231
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		20,800		(361	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	16,000		(359	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103	%	10/15/2010	BCLY		19,000		(381	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146	%	10/15/2010	UBS		20,500		(425	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	BCLY		7,100		(413	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.965	%	03/15/2012	LEH		3,600		(186	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		7,400		(417	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.940	%	04/10/2012	BNP		1,300		(79	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		6,500		(399	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.980	%	04/30/2012	BCLY		1,300		(77	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.080	%	06/15/2012	GSC		20,500		(1,101	)
Pay	6-Month Australian Bank Bill	6.000	%	06/15/2010	CITI	AUD	70,250		(2,992	)
Pay	6-Month Australian Bank Bill	6.000	%	06/15/2010	UBS		40,700		(1,703	)
Pay	6-Month Australian Bank Bill	7.000	%	06/15/2010	MSC		91,800		(1,579	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS		287,500		(646	)
Pay	6-Month Australian Bank Bill	7.500	%	06/15/2011	DUB		174,900		1,242
Pay	6-Month Australian Bank Bill	7.250	%	06/16/2011	DUB		113,900		(1,484	)
Pay	6-Month Australian Bank Bill	7.250	%	06/16/2011	UBS		49,000		(590	)
Pay	6-Month Australian Bank Bill	6.000	%	06/15/2012	DUB		9,800		(495	)
Pay	6-Month Australian Bank Bill	6.000	%	06/15/2012	HSBC		9,000		(459	)
Pay	6-Month Australian Bank Bill	7.250	%	06/15/2013	CSFB		20,500		(361	)
Receive	6-Month Australian Bank Bill	6.000	%	06/15/2015	CITI		39,700		3,508
Receive	6-Month Australian Bank Bill	6.000	%	06/15/2015	UBS		27,400		2,668
Receive	6-Month Australian Bank Bill	6.000	%	06/15/2017	DUB		5,600		466
Receive	6-Month Australian Bank Bill	6.000	%	06/15/2017	HSBC		5,200		436
Receive	6-Month Australian Bank Bill	6.500	%	06/15/2017	MSC		100,400		3,463
Receive	6-Month Australian Bank Bill	7.000	%	03/15/2019	LEH		11,000		47
Receive	6-Month Australian Bank Bill	7.000	%	03/15/2019	UBS		32,900		307
Pay	6-Month EUR-LIBOR	4.000	%	12/15/2009	BCLY	EUR	33,000		(1,146	)
Pay	6-Month EUR-LIBOR	4.000	%	03/19/2010	BCLY		71,600		(1,668	)
Pay	6-Month EUR-LIBOR	4.000	%	03/19/2010	JPM		80,000		(3,589	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	GSC		15,000		(348	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		97,700		(2,258	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	BCLY		2,300		(227	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	JPM		4,770		(431	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	MLP		700		(69	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	MSC		3,100		(281	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	UBS		85,200		(5,283	)
Pay	6-Month EUR-LIBOR	3.500	%	09/17/2010	CITI		55,000		(2,710	)
Pay	6-Month EUR-LIBOR	5.000	%	09/17/2010	BCLY		11,500		12
Pay	6-Month EUR-LIBOR	4.000	%	12/15/2011	DUB		69,900		(2,381	)
Receive	6-Month EUR-LIBOR	5.000	%	06/17/2012	CITI		5,000		577
Pay	6-Month EUR-LIBOR	4.000	%	09/19/2012	DUB		20,100		(667	)
Pay	6-Month EUR-LIBOR	4.000	%	09/19/2012	LEH		87,300		(2,898	)
Pay	6-Month EUR-LIBOR	4.000	%	09/17/2013	DUB		71,800		(5,240	)
Pay	6-Month EUR-LIBOR	4.000	%	09/17/2013	GSC		93,100		(6,253	)
Pay	6-Month EUR-LIBOR	4.000	%	09/17/2013	JPM		106,600		(8,026	)
Pay	6-Month EUR-LIBOR	4.000	%	12/15/2014	MSC		20,300		(1,102	)
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	DUB		91,330		7,002
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	GSC		16,900		1,714
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	HSBC		13,620		1,029
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	LEH		9,400		877
Receive	6-Month EUR-LIBOR	4.000	%	06/15/2017	CSFB		37,050		4,648
Receive	6-Month EUR-LIBOR	4.000	%	06/15/2017	MSC		66,750		8,120
Receive	6-Month EUR-LIBOR	5.000	%	03/19/2018	BCLY		8,400		349
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	BCLY		14,200		202
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	DUB		14,800		304
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	JPM		8,000		162
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	RBS		7,700		141
Receive	6-Month EUR-LIBOR	4.435	%	06/18/2034	DUB		6,900		750
Pay	6-Month EUR-LIBOR	4.500	%	06/18/2034	DUB		6,600		(111	)
Pay	6-Month EUR-LIBOR	4.500	%	06/18/2034	MSC		31,900		104
Pay	6-Month EUR-LIBOR	5.000	%	06/18/2034	JPM		24,500		352
Pay	6-Month EUR-LIBOR	4.000	%	06/21/2036	GSC		1,500		(162	)
Receive	6-Month EUR-LIBOR	5.000	%	03/19/2038	DUB		14,400		(457	)
Receive	6-Month EUR-LIBOR	5.000	%	03/19/2038	GSC		23,200		(685	)
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	BCLY		10,800		1,001
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	BNP		300		(2	)
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	CITI		200		2
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	DUB		800		3
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	JPM		22,000		2,232
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	RBS		300		(1	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	MSC	GBP	10,000		(147	)
Receive	6-Month GBP-LIBOR	5.000	%	06/15/2009	CITI		11,200		259
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBS		5,000		(9	)
Pay	6-Month GBP-LIBOR	5.300	%	03/14/2010	RBS		48,050		(1,514	)
Pay	6-Month GBP-LIBOR	5.350	%	03/14/2010	GSC		2,700		(80	)
Receive	6-Month GBP-LIBOR	5.000	%	03/20/2010	GSC		43,500		2,077
Pay	6-Month GBP-LIBOR	4.500	%	09/17/2010	BCLY		31,000		(1,774	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2010	RBS		25,600		(987	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	CITI		2,800		(160	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	DUB		28,500		(1,516	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	GSC		32,300		(1,657	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	MSC		2,400		(120	)
Pay	6-Month GBP-LIBOR	5.500	%	03/20/2013	GSC		69,000		(3,497	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	BCLY		8,900		(687	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		74,300		(6,646	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		43,500		(4,158	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	MSC		2,700		(258	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	RBC		25,100		(2,241	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	BCLY		800		(77	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	CITI		3,500		(362	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	DUB		6,600		(666	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	GSC		36,300		(3,114	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	HSBC		3,700		(394	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	JPM		10,500		(1,055	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	RBS		19,300		(1,816	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2018	MLP		6,600		(412	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2018	MSC		10,400		(726	)
Receive	6-Month GBP-LIBOR	5.000	%	06/18/2018	BCLY		9,300		(116	)
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	BCLY		24,700		1,778
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	CITI		3,800		201
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	HSBC		3,800		220
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	MSC		3,700		242
Receive	6-Month GBP-LIBOR	5.500	%	09/17/2018	DUB		6,000		140
Receive	6-Month GBP-LIBOR	5.500	%	09/17/2018	HSBC		11,700		(130	)
Pay	6-Month GBP-LIBOR	5.000	%	06/18/2034	DUB		6,100		(14	)
Pay	6-Month GBP-LIBOR	5.000	%	06/18/2034	HSBC		5,600		(158	)
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	BCLY		6,900		1,081
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	DUB		4,300		695
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	GSC		21,900		1,869
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	RBS		8,500		(428	)
Receive	6-Month GBP-LIBOR	5.000	%	03/18/2039	RBS		3,100		111
Receive	6-Month JPY-LIBOR	1.000	%	06/24/2011	JPM	JPY	500,000		(18	)
Receive	6-Month JPY-LIBOR	1.300	%	09/21/2011	GSC		2,008,000		35
Pay	6-Month JPY-LIBOR	1.500	%	06/17/2013	UBS		11,190,000		522
Pay	6-Month JPY-LIBOR	1.750	%	12/17/2015	MSC		12,410,000		1,217
Pay	6-Month JPY-LIBOR	1.750	%	12/17/2015	RBS		3,760,000		321
Receive	6-Month JPY-LIBOR	1.980	%	09/27/2016	MSC		4,800,000		(1,066	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	BCLY		1,570,000		(167	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	DUB		6,050,000		(677	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	RBS		6,430,000		(728	)
Receive	6-Month JPY-LIBOR	2.250	%	06/20/2036	MSC		1,840,000		709
Receive	6-Month JPY-LIBOR	3.000	%	06/20/2036	GSC		1,820,000		(1,316	)
Receive	30-Day USD-CMM Rate	5.500	%	05/21/2009	MLP	$	24,000		525
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP		62,000		(204	)
								$	(82,174	)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	110.500	08/22/2008	2,343	$	79	$	37
Call - CBOT U.S. Treasury 2-Year Note September Futures		111.000	08/22/2008	1,516		51		24
Call - CBOT U.S. Treasury 5-Year Note September Futures		126.000	08/22/2008	5,093		92		42
Call - CBOT U.S. Treasury 10-Year Note September Futures		134.000	08/22/2008	120		2		2
Call - CBOT U.S. Treasury 10-Year Note September Futures		138.000	08/22/2008	6,388		116		105
Call - CBOT U.S. Treasury 30-Year Bond September Futures		144.000	08/22/2008	9		0		0
Put - CBOT U.S. Treasury 10-Year Note September Futures		91.000	08/22/2008	2,464		45		37
Put - CBOT U.S. Treasury 10-Year Note September Futures		94.000	08/22/2008	23		0		0
Put - CBOT U.S. Treasury 10-Year Note September Futures		97.000	08/22/2008	306		6		5
Put - CBOT U.S. Treasury 10-Year Note September Futures		102.000	08/22/2008	100		2		2
Put - CBOT U.S. Treasury 30-Year Bond September Futures		91.000	08/22/2008	76		1		1
Put - CBOT U.S. Treasury 30-Year Bond September Futures		92.000	08/22/2008	272		5		4
Put - CME 90-Day Eurodollar June Futures		92.000	06/15/2009	92		1		1
					$	400	$	260

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	JPM	6-Month EUR-LIBOR	Pay	4.000	%	09/14/2009	EUR	122,000	$	649	$	341
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	535,100		3,019		2,536
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		66,400		651		1,162
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		134,600		1,351		2,355
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		259,500		3,043		2,630
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/03/2009		813,800		8,433		3,987
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		34,100		348		597
									$	17,494	$	13,608

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.367	05/19/2010	EUR	5,300	$	254	$	970
Put - OTC Euro versus U.S. dollar		1.367	05/19/2010		5,300		254		154
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		4,300		202		758
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		4,300		202		132
Call - OTC U.S. dollar versus Japanese yen	JPY	104.000	03/17/2010	$	1,000		48		43
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		1,000		37		62
						$	997	$	2,119

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Fannie Mae 5.000% due 09/01/2038	$	105.000	09/04/2008	$	27,000	$	3	$	0
Call - OTC Fannie Mae 5.500% due 07/01/2038		106.000	07/07/2008		54,000		6		0
Call - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017		107.000	09/04/2008		20,000		2		2
Call - OTC Treasury Inflation Protected Securities 3.250% due 12/15/2009		104.237	07/11/2008		73,500		9		0
Call - OTC Treasury Inflation Protected Securities 4.250% due 11/15/2013		118.500	10/10/2008		40,900		5		5
Call - OTC U.S. Treasury Note 2.000% due 02/28/2010		102.750	10/10/2008		100,000		12		12
Call - OTC U.S. Treasury Note 3.000% due 02/15/2009		101.699	07/11/2008		16,300		2		0
Call - OTC U.S. Treasury Note 4.000% due 02/15/2015		121.000	10/10/2008		7,600		1		1
Call - OTC U.S. Treasury Note 4.000% due 04/15/2010		107.031	07/11/2008		25,000		3		0
Call - OTC U.S. Treasury Note 4.250% due 08/15/2013		118.000	10/10/2008		50,400		6		6
Call - OTC U.S. Treasury Note 4.250% due 11/15/2014		122.000	10/10/2008		25,100		3		3
Call - OTC U.S. Treasury Note 4.625% due 07/31/2012		118.531	07/11/2008		15,000		2		0
Put - OTC Fannie Mae 6.000% due 07/01/2038		88.000	07/07/2008		35,000		4		0
Put - OTC Fannie Mae 6.500% due 09/01/2038		92.000	09/04/2008		9,900		1		0
Put - OTC Ginnie Mae 6.000% due 09/01/2038		85.500	09/15/2008		20,000		2		3
Put - OTC Ginnie Mae 6.500% due 08/01/2038		93.000	08/13/2008		28,000		3		0
Put - OTC Ginnie Mae 6.500% due 09/01/2038		91.500	09/15/2008		41,000		5		1
Put - OTC Treasury Inflation Protected Securities 2.000% due 07/15/2014		98.000	07/10/2008		100,000		8		0
Put - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017		88.500	09/04/2008		35,500		4		1
						$	81	$	34

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Put - CBOT U.S. Treasury 10-Year Note August Futures	$	109.500	07/25/2008	271	$	157	$	11
Put - CBOT U.S. Treasury 10-Year Note August Futures		110.500	07/25/2008	906		530		75
					$	687	$	86

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Put - OTC 30-Year Interest Rate Swap	CITI	6-Month EUR-LIBOR	Pay	5.200	%	12/15/2008	EUR	8,300	$	190	$	230
Put - OTC 30-Year Interest Rate Swap	GSC	6-Month EUR-LIBOR	Pay	5.200	%	12/15/2008		14,700		380		379
Call - OTC 2-Year Interest Rate Swap	HSBC	6-Month EUR-LIBOR	Receive	5.290	%	06/10/2009		31,700		421		365
Put - OTC 2-Year Interest Rate Swap	HSBC	6-Month EUR-LIBOR	Pay	5.290	%	06/10/2009		31,700		421		357
Call - OTC 7-Year Interest Rate Swap	JPM	6-Month EUR-LIBOR	Receive	4.230	%	09/14/2009		39,300		577		349
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009	$	169,000		2,484		2,277
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009		13,100		286		198
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		22,100		585		1,026
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		43,600		1,182		2,024
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		86,500		2,910		2,777
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	08/03/2009		353,800		8,487		5,747
Call -OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		11,400		316		529
									$	18,239	$	16,258

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Brazilian real	BRL	1.680	07/03/2008	$	7,200	$	37	$	4
Call - OTC U.S. dollar versus Brazilian real		1.650	07/24/2008		9,600		49		50
Call - OTC U.S. dollar versus Brazilian real		1.630	07/29/2008		15,800		114		149
Call - OTC U.S. dollar versus Brazilian real		1.640	07/30/2008		10,800		97		85
Put - OTC U.S. dollar versus Japanese yen	JPY	80.000	08/21/2008		10,000		51		5
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		400		21		17
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		400		21		25
						$	390	$	335

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

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	$	4,375	$	4,775	0.17	%

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	02/13/2017	$	42,000	$	42,241	$	43,814
Fannie Mae	5.000	%	07/01/2038		51,700		49,510		49,559
Fannie Mae	5.500	%	07/01/2038		131,100		129,294		129,236
Fannie Mae	6.000	%	07/01/2038		84,000		84,489		84,748
Fannie Mae	6.500	%	07/01/2038		60,175		61,608		61,952
U.S. Treasury Bonds	5.000	%	05/15/2037		7,500		7,730		8,148
U.S. Treasury Notes	2.000	%	02/28/2010		100,000		99,297		100,040
U.S. Treasury Notes	2.500	%	03/31/2013		5,000		4,743		4,866
U.S. Treasury Notes	3.000	%	02/15/2009		16,300		16,391		16,581
U.S. Treasury Notes	3.125	%	04/30/2013		5,800		5,652		5,796
U.S. Treasury Notes	3.250	%	12/31/2009		73,500		73,953		74,562
U.S. Treasury Notes	3.500	%	02/15/2018		9,200		8,804		8,997
U.S. Treasury Notes	3.875	%	05/15/2018		20,500		19,859		20,496
U.S. Treasury Notes	4.000	%	04/15/2010		25,000		25,448		25,915
U.S. Treasury Notes	4.000	%	02/15/2015		7,600		7,790		7,946
U.S. Treasury Notes	4.125	%	05/15/2015		5,000		5,187		5,207
U.S. Treasury Notes	4.250	%	08/15/2013		50,400		52,501		53,510
U.S. Treasury Notes	4.250	%	11/15/2013		40,900		42,902		43,013
U.S. Treasury Notes	4.250	%	11/15/2014		25,100		25,951		26,392
U.S. Treasury Notes	4.500	%	02/15/2016		25,700		26,651		27,567
U.S. Treasury Notes	4.625	%	07/31/2012		15,000		15,537		16,146
U.S. Treasury Notes	4.625	%	11/15/2016		119,800		123,577		127,488
U.S. Treasury Notes	4.625	%	02/15/2017		168,000		175,789		180,237
U.S. Treasury Notes	4.875	%	08/15/2016		292,200		309,189		319,529
U.S. Treasury Notes	5.125	%	05/15/2016		79,590		86,862		87,533
						$	1,500,955	$	1,529,278

⁽³⁾ Market value includes $15,481 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	34,141	04/2009	$	0	$	(93	)	$	(93	)
Sell	AUD	63,914	07/2008		0		(446	)		(446	)
Buy		3,410	08/2008		12		0			12
Buy	BRL	118,221	07/2008		9,868		0			9,868
Sell		118,221	07/2008		0		(6,383	)		(6,383	)
Buy		70,425	12/2008		4,003		0			4,003
Sell		37,005	12/2008		0		(1,919	)		(1,919	)
Sell	CAD	31,308	08/2008		272		0			272
Buy	CLP	499,300	12/2008		0		(90	)		(90	)
Buy	CNY	205,361	07/2008		1,661		0			1,661
Sell		205,361	07/2008		0		(1,543	)		(1,543	)
Buy		51,036	11/2008		125		0			125
Buy		307,604	05/2009		452		(13	)		439
Buy		50,600	05/2010		0		(83	)		(83	)
Sell	DKK	112,216	09/2008		0		(432	)		(432	)
Buy	EUR	4,542	07/2008		0		(10	)		(10	)
Sell		159,830	07/2008		0		(2,576	)		(2,576	)
Sell	GBP	38,943	08/2008		0		(428	)		(428	)
Sell	HKD	989	07/2008		0		0			0
Buy	INR	28,658	08/2008		0		(63	)		(63	)
Buy		625,090	11/2008		0		(1,223	)		(1,223	)
Buy	JPY	58,126,762	07/2008		8,115		0			8,115
Sell		85,512,599	07/2008		8,772		(90	)		8,682
Sell		84,831,611	08/2008		529		0			529
Buy	KRW	22,865,899	08/2008		0		(594	)		(594	)
Sell		14,234,545	08/2008		1,384		0			1,384
Buy	MXN	13,847	07/2008		90		0			90
Sell		13,847	07/2008		0		(96	)		(96	)
Buy		712	11/2008		0		0			0
Buy	MYR	159,683	11/2008		0		(2,260	)		(2,260	)
Sell	NZD	20,968	07/2008		0		(99	)		(99	)
Buy	PHP	247,300	08/2008		0		(175	)		(175	)
Buy	PLN	484	07/2008		51		0			51
Sell		484	07/2008		0		(7	)		(7	)
Buy		484	05/2009		7		0			7
Buy	RUB	31,606	07/2008		96		0			96
Sell		31,606	07/2008		0		(19	)		(19	)
Buy		353,753	11/2008		776		0			776
Sell		8,346	11/2008		0		(15	)		(15	)
Buy		31,606	05/2009		30		0			30
Buy	SAR	28,597	04/2009		0		(78	)		(78	)
Buy	SGD	2,734	08/2008		78		0			78
Buy		17,506	11/2008		412		0			412
Buy	TWD	166,214	09/2008		0		(27	)		(27	)
				$	36,733	$	(18,762	)	$	17,971

(m) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	4		$	4,496,266		$	55,928		$	4,552,198
Other Financial Instruments++		(7,861	)		(1,557,297	)		(4,087	)		(1,569,245	)
Total	$	(7,857	)	$	2,938,969		$	51,841		$	2,982,953

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	58		$	55,714	$	1	$	155		$	0	$	55,928
Other Financial Instruments++		(780	)		0		0		(3,383	)		76		(4,087	)
Total	$	(722	)	$	55,714	$	1	$	(3,228	)	$	76	$	51,841

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Other financial instruments may include open futures contracts, swap contracts, written options, short sales, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Fundamental Advantage Tax Efficient Strategy Fund

June 30, 2008 (Unaudited)

	Principal Amount		Value
	(000s)		(000s)
CORPORATE BONDS & NOTES 1.0%
Citigroup, Inc.
8.400% due 04/29/2049	$	100	$	95
Total Corporate Bonds & Notes (Cost $100)				95
MUNICIPAL BONDS & NOTES 96.0%
Arizona 1.6%
Pima County, Arizona Industrial Development Authority Revenue Bonds, Series 2008
6.375% due 09/01/2029		150		153
California 11.5%
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2032		500		496
California State Health Facilities Financing Authority Revenue Bonds, Series 2008
5.500% due 08/15/2018		250		271
5.625% due 07/01/2032		50		50
California State Municipal Finance Authority Revenue Bonds, Series 2008
5.875% due 10/01/2034		100		100
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2033		100		82
Long Beach, California Special Tax Bonds, Series 2008
5.400% due 10/01/2023		100		96
				1,095
Colorado 2.0%
Colorado State Health Facilities Authority Revenue Bonds, Series 2008
5.750% due 05/15/2036		100		99
Public Authority for Colorado Energy Revenue Bonds, Series 2008
6.250% due 11/15/2028		100		97
				196
Connecticut 5.5%
Connecticut State Health & Educational Facility Authority Revenue Bonds, (MBIA Insured), Series 2007
5.000% due 07/01/2019		500		524
Florida 7.9%
Miami-Dade County, Florida Educational Facilities Authority Revenue Bonds, Series 2008
5.500% due 04/01/2038		250		251
Sarasota County, Florida Public Hospital District Revenue Bonds, (MBIA Insured), Series 2007
9.000% due 07/01/2037		500		500
				751
Idaho 2.1%
Nez Perce County, Idaho Revenue Bonds, Series 1996
6.000% due 10/01/2024		200		197
Illinois 1.0%
Hillside, Illinois Tax Allocation Bonds, Series 2008
7.000% due 01/01/2028		100		98
Iowa 0.8%
Iowa State Finance Authority Revenue Bonds, Series 2007
5.500% due 11/15/2037		100		74
Maryland 1.2%
Maryland State Economic Development Corp. Revenue Bonds, Series 2006
5.000% due 12/01/2031		150		115
Michigan 2.9%
Michigan State Grand Traverse Academy Revenue Bonds, Series 2007
5.000% due 11/01/2036		100		73
Michigan State Hospital Finance Authority Revenue Bonds, (AMBAC Insured), Series 2000
8.000% due 12/01/2030		200		200
				273
Minnesota 6.3%
Minneapolis & St Paul, Minnesota Housing & Redevelopment Authority Revenue Bonds, (MBIA Insured), Series 2007
9.000% due 11/15/2034		100		100
Minneapolis, Minnesota Revenue Bonds, (AMBAC Insured), Series 2005
8.500% due 11/15/2032		500		500
				600
Mississippi 3.1%
Mississippi State Business Finance Corp. Revenue Bonds, Series 1998
5.875% due 04/01/2022		300		294
New Jersey 1.1%
New Jersey State Health Care Facilities Financing Authority Revenue Bonds, (AGC Insured), Series 2008
5.250% due 01/01/2036		100		102
New York 3.6%
Nassau County, New York Industrial Development Agency Revenue Bonds, Series 2007
6.500% due 01/01/2027		100		100
New York State Dormitory Authority Revenue Bonds, Series 2008
6.250% due 12/01/2037		250		249
				349
North Carolina 5.3%
North Carolina Eastern Municipal Power Agency Revenue Bonds, Series 2008
5.250% due 01/01/2020		250		253
North Carolina State Municipal Power Agency No. 1 Catawba Revenue Bonds, Series 2008
5.250% due 01/01/2020		150		155
Surry County, North Carolina Northern Hospital District Revenue Bonds, Series 2008
6.250% due 10/01/2038		100		100
				508
Ohio 5.2%
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		600		501
Pennsylvania 18.2%
Allegheny County, Pennsylvania Hospital Development Authority Revenue Notes, Series 2007
5.000% due 11/15/2013		250		242
Pennsylvania Higher Educational Facilities Authority Revenue Bonds, (MBIA Insured), Series 2005
9.000% due 05/01/2030		500		500
Pennsylvania State Economic Development Financing Authority Revenue Bonds, Series 2001
6.750% due 12/01/2036		200		203
Philadelphia, Pennsylvania General Obligation Bonds, Series 2008
5.250% due 12/15/2019		500		543
Susquehanna Area Regional Airport Authority, Pennsylvania Revenue Bonds, Series 2008
6.500% due 01/01/2038		250		247
				1,735
Puerto Rico 4.3%
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Revenue Bonds, Series 2008
6.000% due 07/01/2038		150		157
Puerto Rico Electric Power Authority Revenue Bonds, Series 2008
5.500% due 07/01/2038		250		254
				411
Tennessee 3.6%
Tennessee State Energy Acquisition Corp. Revenue Bonds, Series 2006
5.250% due 09/01/2021		350		340
Texas 4.5%
Brazos County, Texas River Authority Revenue Bonds, Series 2003
6.300% due 07/01/2032		200		160
Guadalupe-Blanco, Texas River Authority Revenue Notes, Series 2008
5.625% due 10/01/2017		125		124
North Texas State Tollway Authority Revenue Bonds, Series 2008
5.625% due 01/01/2033		150		150
				434
West Virginia 1.6%
Kanawha County, West Virginia Revenue Bonds, Series 1999
5.100% due 01/01/2012		150		149
Wyoming 2.7%
Campbell County, Wyoming Recreation Project Revenue Bonds, Series 2008
5.250% due 06/15/2019		250		256
Total Municipal Bonds & Notes (Cost $9,171)				9,155
	Shares
CONVERTIBLE PREFERRED STOCKS 0.2%
American International Group, Inc.
8.500% due 08/01/2011		400		24
Total Convertible Preferred Stocks (Cost $30)				24
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 1.8%
Repurchase Agreements 1.8%
State Street Bank and Trust Co.
1.650% due 07/01/2008	$	172		172
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $180. Repurchase proceeds are $172.)
Total Short-Term Instruments (Cost $172)				172
Total Investments 99.0% (Cost $9,473)			$	9,446
Other Assets and Liabilities (Net) 1.0%				92
Net Assets 100.0%			$	9,538

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

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

(a) Cash of $538 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
E-mini S&P 500 Index September Futures	Short	09/2008	36	$	132
S&P 500 Index September Futures	Short	09/2008	3		61
				$	193

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

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(1)	Expiration Date	Counterparty	# of Shares/Units	Unrealized Appreciation/ (Depreciation)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	02/27/2009	MLP	17,717	$	(207	)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	03/31/2009	MLP	26,037		(189	)
Pay	S&P 500 Index	1-Month USD-LIBOR less 0.050%	03/31/2009	MLP	954		66
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	04/30/2009	MLP	38,210		(363	)
Pay	S&P 500 Index	1-Month USD-LIBOR less 0.050%	07/31/2009	MLP	1,867		172
						$	(521	)

⁽¹⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(c) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	24	$	9,422	$	0		$	9,446
Other Financial Instruments++		193		31		(552	)		(328	)
Total	$	217	$	9,453	$	(552	)	$	9,118

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	0		$	0	$	0	$	0		$	0	$	0
Other Financial Instruments++		(51	)		0		0		(708	)		207		(552	)
Total	$	(51	)	$	0	$	0	$	(708	)	$	207	$	(552	)

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

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

See Accompanying Notes

Schedule of Investments

Fundamental Advantage Total Return Strategy Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 53.7%
Banking & Finance 36.3%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013	$	600	$	599
American Express Bank FSB
5.500% due 04/16/2013		800		783
American Express Co.
7.000% due 03/19/2018		800		812
American Express Credit Corp.
5.875% due 05/02/2013		600		597
American International Group, Inc.
2.844% due 10/18/2011		6,500		6,080
Bank of America Corp.
8.000% due 12/29/2049		7,800		7,326
8.125% due 12/29/2049		4,700		4,449
Bank of Scotland PLC
2.737% due 12/08/2010		7,000		6,851
Bear Stearns Cos., Inc.
2.728% due 02/23/2010		400		392
2.836% due 11/28/2011		2,800		2,683
2.947% due 09/09/2009		4,900		4,845
3.129% due 01/31/2011		400		388
7.250% due 02/01/2018		2,000		2,094
Capital One Financial Corp.
2.976% due 09/10/2009		5,200		4,853
Citigroup, Inc.
5.500% due 04/11/2013		1,800		1,759
8.400% due 04/29/2049		4,900		4,664
Countrywide Home Loans, Inc.
6.250% due 04/15/2009		10,600		10,444
General Electric Capital Corp.
5.875% due 01/14/2038		800		728
Goldman Sachs Group, Inc.
6.150% due 04/01/2018		5,000		4,867
Hartford Life Global Funding Trusts
2.726% due 11/15/2009		7,800		7,668
HSBC Finance Corp.
2.944% due 08/09/2011		3,200		3,032
International Lease Finance Corp.
3.060% due 07/13/2012		8,500		7,575
JPMorgan Chase & Co.
6.625% due 03/15/2012		8,800		9,085
KeyBank N.A.
4.682% due 06/02/2010		1,200		1,196
Lehman Brothers Holdings, Inc.
2.778% due 05/25/2010		8,800		8,156
3.487% due 01/26/2017		900		672
Merrill Lynch & Co., Inc.
2.876% due 02/15/2011		1,600		1,493
3.004% due 02/05/2010		4,200		4,004
3.120% due 07/25/2011		400		365
4.495% due 05/20/2009		3,800		3,776
Monumental Global Funding Ltd.
2.851% due 09/22/2009		7,300		7,265
5.500% due 04/22/2013		500		501
Morgan Stanley
2.844% due 02/09/2009		1,400		1,387
3.193% due 10/15/2015		5,700		5,003
4.778% due 05/14/2010		1,200		1,196
National Australia Bank Ltd.
5.350% due 06/12/2013		700		700
Northern Rock PLC
2.898% due 10/20/2009		5,000		4,926
Pacific Life Global Funding
3.031% due 06/22/2011		20,500		20,469
Premium Asset Trust
2.637% due 02/15/2009		5,000		4,949
2.978% due 10/08/2009		4,000		3,773
Pricoa Global Funding I
2.999% due 01/30/2012		900		880
3.008% due 09/27/2013		700		682
Principal Life Income Funding Trusts
5.550% due 04/27/2015		900		889
Sun Life Financial Global Funding LP
2.888% due 07/06/2011		9,000		8,894
TD North America LP
3.139% due 10/15/2009		6,800		6,810
UBS AG
3.704% due 05/05/2010		2,800		2,790
5.750% due 04/25/2018		400		383
Wachovia Corp.
3.046% due 06/15/2017		1,000		877
5.750% due 02/01/2018		1,000		914
7.980% due 12/31/2049		600		553
Washington Mutual Bank
2.963% due 05/01/2009		5,200		4,785
				190,862
Industrials 13.1%
Amgen, Inc.
6.900% due 06/01/2038		3,300		3,386
CVS Caremark Corp.
2.982% due 06/01/2010		10,000		9,765
Dell, Inc.
5.650% due 04/15/2018		1,600		1,549
Gaz Capital S.A.
7.343% due 04/11/2013		100		103
8.146% due 04/11/2018		600		623
8.625% due 04/28/2034		3,300		3,589
GlaxoSmithKline Capital, Inc.
3.310% due 05/13/2010		9,400		9,430
Home Depot, Inc.
2.901% due 12/16/2009		14,400		14,030
Martin Marietta Materials, Inc.
3.049% due 04/30/2010		4,660		4,527
Norfolk Southern Corp.
5.750% due 04/01/2018		3,600		3,555
Oracle Corp.
5.750% due 04/15/2018		3,500		3,509
Philip Morris International, Inc.
6.375% due 05/16/2038		400		392
Reynolds American, Inc.
3.476% due 06/15/2011		4,700		4,465
Suncor Energy, Inc.
6.100% due 06/01/2018		4,000		4,024
Tyco International Group S.A.
6.125% due 01/15/2009		3,700		3,736
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		2,200		2,172
				68,855
Utilities 4.3%
Deutsche Telekom International Finance BV
2.981% due 03/23/2009		7,800		7,748
Dominion Resources, Inc.
3.864% due 06/17/2010		4,000		4,005
New Cingular Wireless Services, Inc.
7.875% due 03/01/2011		9,400		10,016
Public Service Electric & Gas Co.
5.300% due 05/01/2018		1,100		1,088
				22,857
Total Corporate Bonds & Notes (Cost $284,465)				282,574
U.S. GOVERNMENT AGENCIES 24.6%
Fannie Mae
4.245% due 03/01/2034		1,161		1,166
4.463% due 07/01/2035		2,308		2,324
5.000% due 12/01/2036 - 07/01/2038		57,265		54,920
5.500% due 12/01/2036 - 07/01/2038		66,012		65,130
5.991% due 12/01/2034		1,531		1,564
6.000% due 01/01/2038 - 05/01/2038		2,028		2,049
Freddie Mac
5.000% due 02/15/2016		1,747		1,761
Small Business Administration
5.490% due 03/01/2028		500		504
Total U.S. Government Agencies (Cost $129,951)				129,418
ASSET-BACKED SECURITIES 20.9%
Argent Securities, Inc.
2.682% due 10/25/2035		4,403		4,275
Asset-Backed Funding Certificates
2.522% due 09/25/2036		4,652		4,617
Asset-Backed Securities Corp. Home Equity
2.642% due 06/25/2035		638		632
BA Credit Card Trust
2.511% due 11/17/2014		1,700		1,657
2.671% due 01/15/2013		9,400		9,317
2.691% due 04/16/2012		955		952
3.051% due 04/15/2013		1,900		1,898
3.183% due 12/15/2014		3,000		2,983
3.671% due 12/16/2013		4,100		4,164
Centex Home Equity
2.582% due 06/25/2036		6,987		6,855
Chase Issuance Trust
2.921% due 01/15/2012		3,500		3,499
3.121% due 11/15/2011		4,600		4,612
3.227% due 08/17/2015		4,500		4,455
Citibank Credit Card Issuance Trust
2.791% due 03/22/2012		589		584
2.990% due 07/25/2011		1,345		1,341
Daimler Chrysler Auto Trust
3.378% due 07/08/2011		1,100		1,105
3.928% due 09/10/2012		400		404
Ford Credit Auto Owner Trust
3.371% due 01/15/2011		4,300		4,313
3.671% due 12/15/2010		3,200		3,215
3.891% due 06/15/2012		2,700		2,728
IXIS Real Estate Capital Trust
2.822% due 02/25/2036		4,950		4,667
Long Beach Mortgage Loan Trust
2.542% due 12/25/2036		908		852
2.622% due 11/25/2035		1,782		1,764
MASTR Asset-Backed Securities Trust
2.602% due 12/25/2035		2,606		2,579
SLM Student Loan Trust
2.982% due 10/25/2017 (a)		10,000		9,994
3.040% due 10/26/2015		6,689		6,687
3.393% due 07/25/2013		3,500		3,501
South Carolina Student Loan Corp.
3.207% due 09/02/2014		900		900
3.257% due 03/01/2018		2,200		2,200
3.457% due 03/02/2020		2,800		2,800
3.707% due 09/03/2024		1,400		1,400
Structured Asset Securities Corp.
2.592% due 01/25/2037		10,000		8,804
Total Asset-Backed Securities (Cost $109,524)				109,754
	Shares
CONVERTIBLE PREFERRED STOCKS 1.4%
Wachovia Corp.
7.500% due 12/31/2049		8,000		7,083
Total Convertible Preferred Stocks (Cost $8,000)				7,083
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 16.4%
Commercial Paper 14.2%
Citibank N.A.
3.570% due 08/19/2008	$	11,000		10,947
Federal Home Loan Bank
2.000% due 07/01/2008		22,800		22,800
Intesa Funding LLC
2.440% due 07/01/2008		19,700		19,700
Royal Bank of Scotland Group PLC
2.750% due 09/24/2008		17,300		17,183
Westpac Banking Corp.
2.700% due 09/18/2008		4,100		4,074
				74,704
Repurchase Agreements 0.0%
State Street Bank and Trust Co.
1.650% due 07/01/2008		286		286
(Dated 06/30/2008. Collateralized by Freddie Mac 5.000% due 01/16/2009 valued at $295. Repurchase proceeds are $286.)
U.S. Treasury Bills 2.2%
1.696% due 09/11/2008 - 09/25/2008 (b)(c)		11,600		11,524
Total Short-Term Instruments (Cost $86,551)				86,514
Purchased Options (f) 0.0% (Cost $60)				23
Total Investments 117.0% (Cost $618,551)			$	615,366
Written Options (g) (0.0%) (Premiums $188)				(88	)
Other Assets and Liabilities (Net) (17.0%)				(89,204	)
Net Assets 100.0%			$	526,074

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $11,425 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) Cash of $31,842 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	30	$	1
90-Day Euribor June Futures	Long	06/2009	17		(3	)
90-Day Euribor March Futures	Long	03/2009	28		(1	)
90-Day Eurodollar December Futures	Long	12/2008	235		171
90-Day Eurodollar December Futures	Long	12/2009	76		(64	)
90-Day Eurodollar June Futures	Long	06/2009	422		(194	)
90-Day Eurodollar March Futures	Long	03/2009	118		(45	)
90-Day Eurodollar March Futures	Long	03/2010	70		(73	)
90-Day Eurodollar September Futures	Long	09/2008	124		31
90-Day Eurodollar September Futures	Long	09/2009	322		(153	)
E-mini S&P 500 Index September Futures	Short	09/2008	69		272
S&P 500 Index September Futures	Short	09/2008	1,599		28,179
U.S. Treasury 5-Year Note September Futures	Long	09/2008	512		(259	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	912		590
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	4		(14	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	8		(17	)
				$	28,421

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection (1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS	$	5,000	$	5
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	BOA		1,300		(176	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	DUB		5,000		(709	)
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	2.200	%	06/20/2013	DUB		1,900		(24	)
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	2.200	%	06/20/2013	RBS		1,000		(12	)
SLM Corp. 5.125% due 08/27/2012	Sell	5.100	%	06/20/2009	BCLY		200		1
								$	(915	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection (2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. IG9 Index	Sell	0.758	%	12/20/2012	BCLY	$	500	$	6
Dow Jones CDX N.A. IG9 Index	Sell	0.771	%	12/20/2012	MSC		10,000		86
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		1,000		(1	)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		4,900		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		17,800		82
Dow Jones CDX N.A. IG10 Index	Sell	0.530	%	06/20/2013	DUB		1,000		0
								$	173

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	34,700	$	79
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		7,700		22
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		2,700		(11	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		700		(9	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		1,000		(12	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		3,100		(22	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	LEH		800		(4	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		500		4
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		800		(7	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		1,900		(23	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		500		(9	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		100		(2	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	JPM	AUD	2,600		(28	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC	GBP	500		(48	)
								$	(70	)

Interest Rate Cap/Floor Swaps

Counterparty

Floating Rate Index

Cap/Floor

Cap/Floor Rate

Pay/Receive Floating Rate

Premium Amount

Expiration Date

Notional Amount

Unrealized Appreciation

JPM

10/2-Year EUR ISDA rate spread

Floor

(0.750

%)

Pay

$

(15

)

12/24/2008

EUR

1,000

$

0

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate (3)	Expiration Date	Counterparty	# of Shares/Units	Unrealized (Depreciation)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.200%	03/13/2009	CSFB	1,747,592	$	(13,723	)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	02/27/2009	MLP	3,081,253		(36,051	)
						$	(49,774	)

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(f) Purchased options outstanding on June 30, 2008:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CME S&P 500 Index September Futures	$	1,650.000	09/18/2008	200	$	6	$	0
Call - CME S&P 500 Index September Futures		1,675.000	09/18/2008	470		13		0
Call - CME S&P 500 Index September Futures		1,800.000	09/18/2008	175		5		0
Put - CBOT U.S. Treasury 5-Year Note September Futures		97.000	08/22/2008	557		10		4
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	1,132		21		17
					$	55	$	21

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Freddie Mac 5.500% due 07/01/2038	$	116.000	07/07/2008	$	10,000	$	1	$	0
Put - OTC Fannie Mae 5.000% due 09/01/2038		76.000	09/04/2008		20,000		2		2
Put - OTC Fannie Mae 5.000% due 09/01/2038		78.000	09/04/2008		10,000		1		0
Put - OTC Fannie Mae 6.000% due 06/01/2038		87.000	07/07/2008		4,000		1		0
						$	5	$	2

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	127	$	73	$	47
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	127		115		41
					$	188	$	88

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value (4)
U.S. Treasury Notes	2.000	%	02/28/2010	$	1,500	$	1,486	$	1,500
U.S. Treasury Notes	2.125	%	01/31/2010		2,900		2,881		2,914
U.S. Treasury Notes	2.125	%	04/30/2010		14,000		13,892		13,962
U.S. Treasury Notes	3.500	%	02/15/2010		1,500		1,523		1,549
U.S. Treasury Notes	4.250	%	08/15/2013		400		417		425
						$	20,199	$	20,350

⁽⁴⁾ Market value includes $124 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	CNY	8,524	11/2008	$	16	$	0		$	16
Sell	EUR	3,435	07/2008		0		(54	)		(54	)
Sell	GBP	4,951	08/2008		0		(55	)		(55	)
Sell	JPY	128,691	07/2008		0		(20	)		(20	)
Buy	MYR	2,055	11/2008		0		(7	)		(7	)
Buy	PHP	28,928	08/2008		0		(3	)		(3	)
Buy	RUB	16,183	05/2009		9		0			9
Buy	SGD	2,186	11/2008		7		0			7
				$	32	$	(139	)	$	(107	)

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0	$	596,650		$	18,716		$	615,366
Other Financial Instruments++		28,421		(57,376	)		(13,631	)		(42,586	)
Total	$	28,421	$	539,274		$	5,085		$	572,780

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/(Losses)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	0			18,762	$	28	$	(74	)	$	0	$	18,716
Other Financial Instruments++		(2,967	)		0		0		(50,318	)		39,654		(13,631	)
Total	$	(2,967	)	$	18,762	$	28	$	(50,392	)	$	39,654	$	5,085

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

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

See Accompanying Notes

Schedule of Investments

Fundamental IndexPLUS^TM Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.9%
Allied Waste North America, Inc.
3.980% due 03/28/2014	$	33	$	33
4.090% due 03/28/2014		29		29
4.570% due 03/28/2014		49		48
Goodyear Tire & Rubber Co.
4.540% due 04/30/2014		1,000		909
HCA, Inc.
5.051% due 11/18/2013		1,778		1,672
Metro-Goldwyn-Mayer, Inc.
5.946% due 04/08/2012		594		489
Total Bank Loan Obligations (Cost $3,491)				3,180
CORPORATE BONDS & NOTES 45.2%
Banking & Finance 32.3%
Allstate Life Global Funding Trusts
2.841% due 03/23/2009		500		498
American Express Centurion Bank
2.541% due 04/17/2009		900		895
2.631% due 11/16/2009		1,000		984
American Express Credit Corp.
2.508% due 11/09/2009		800		781
2.531% due 03/02/2009		10		10
American General Finance Corp.
3.026% due 12/15/2011		1,600		1,470
American Honda Finance Corp.
2.737% due 03/09/2009		400		400
American International Group, Inc.
2.521% due 06/16/2009		800		786
ANZ National International Ltd.
2.798% due 08/07/2009		700		699
Bank of America Corp.
2.904% due 11/06/2009		400		396
3.012% due 09/18/2009		300		299
8.000% due 12/29/2049		9,500		8,923
Bank of Ireland
2.819% due 12/19/2008		1,400		1,400
Bank of Scotland PLC
2.756% due 07/17/2009		500		500
Bear Stearns Cos., Inc.
2.768% due 08/21/2009		1,200		1,186
2.839% due 05/18/2010		2,900		2,832
2.886% due 08/15/2011		700		671
2.938% due 02/23/2012		1,000		963
2.979% due 07/16/2009		800		791
3.048% due 10/22/2010		200		194
3.199% due 01/30/2009		1,500		1,495
Capital One Financial Corp.
2.976% due 09/10/2009		13,700		12,785
CIT Group, Inc.
3.049% due 01/30/2009		100		97
5.000% due 11/24/2008		100		98
Citigroup Funding, Inc.
2.481% due 04/23/2009		700		691
2.667% due 12/08/2008		200		198
2.809% due 06/26/2009		700		690
Citigroup, Inc.
2.817% due 06/09/2009		200		198
Credit Agricole S.A.
2.646% due 05/28/2009		900		896
2.694% due 05/28/2010		1,000		990
East Lane Re Ltd.
8.873% due 05/06/2011		1,900		1,905
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		100		85
5.800% due 01/12/2009		300		286
8.625% due 11/01/2010		100		85
Foundation Re II Ltd.
9.445% due 11/26/2010		1,000		1,008
General Electric Capital Corp.
2.816% due 03/12/2010		2,500		2,488
2.937% due 10/26/2009		900		897
GMAC LLC
3.951% due 09/23/2008		400		394
Goldman Sachs Group, Inc.
2.806% due 11/10/2008		600		599
2.841% due 12/23/2008		400		399
2.851% due 03/30/2009		1,500		1,491
2.891% due 12/22/2008		1,000		976
3.250% due 07/23/2009		600		596
HSBC Finance Corp.
2.866% due 03/12/2010		2,600		2,528
2.878% due 10/21/2009		600		586
2.906% due 09/15/2008		600		600
ICICI Bank Ltd.
3.250% due 01/12/2010		1,400		1,358
International Lease Finance Corp.
2.858% due 05/24/2010		1,200		1,123
4.950% due 02/01/2011		4,300		4,075
John Deere Capital Corp.
2.763% due 07/15/2008		200		200
KeyBank N.A.
4.682% due 06/02/2010		700		698
Keycorp
2.582% due 05/26/2009		700		687
Lehman Brothers Holdings, Inc.
2.532% due 11/24/2008		100		99
2.774% due 04/03/2009		800		777
2.820% due 11/16/2009		3,000		2,860
2.954% due 07/18/2011		200		183
2.998% due 10/22/2008		500		498
3.010% due 01/23/2009		600		587
Merrill Lynch & Co., Inc.
2.756% due 12/04/2009		1,000		959
2.808% due 05/08/2009		600		588
4.495% due 05/20/2009		2,700		2,683
4.966% due 05/12/2010		3,700		3,643
Metropolitan Life Global Funding I
2.759% due 05/17/2010		1,800		1,776
Morgan Stanley
2.521% due 11/21/2008		700		697
2.820% due 05/07/2009		2,900		2,855
2.844% due 02/09/2009		100		99
2.984% due 01/18/2011		200		190
2.993% due 01/15/2010		1,000		979
Mystic Re Ltd.
8.982% due 12/05/2008		1,200		1,175
National Australia Bank Ltd.
2.731% due 09/11/2009		300		300
Osiris Capital PLC
5.563% due 01/15/2010		1,400		1,390
Residential Capital LLC
5.758% due 05/22/2009		1,100		797
Rockies Express Pipeline LLC
5.100% due 08/20/2009		1,700		1,702
Royal Bank of Scotland Group PLC
2.868% due 07/21/2008		300		300
Santander U.S. Debt S.A. Unipersonal
2.683% due 11/20/2008		300		299
SLM Corp.
2.940% due 12/15/2008		800		787
3.000% due 01/26/2009		900		857
3.060% due 07/27/2009		1,550		1,454
3.080% due 07/26/2010		300		266
3.120% due 01/26/2009		100		98
TD North America LP
3.139% due 10/15/2009		6,000		6,009
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		200		200
VTB Capital S.A.
3.384% due 08/01/2008		400		396
4.484% due 11/02/2009		1,900		1,879
Wachovia Bank N.A.
2.841% due 03/23/2009		400		398
Wachovia Corp.
7.980% due 12/31/2049		500		461
Wachovia Mortgage FSB
2.798% due 05/08/2009		1,100		1,093
Wells Fargo & Co.
3.552% due 05/01/2009		2,700		2,700
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		2,300		2,323
				110,237
Industrials 9.3%
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013		10		11
Anadarko Petroleum Corp.
3.176% due 09/15/2009		1,300		1,286
BP AMI Leasing, Inc.
2.819% due 06/26/2009		1,800		1,801
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		600		646
Comcast Corp.
3.010% due 07/14/2009		400		397
CSC Holdings, Inc.
7.250% due 07/15/2008		800		802
Daimler Finance North America LLC
3.138% due 03/13/2009		700		698
3.218% due 03/13/2009		300		300
3.234% due 08/03/2009		200		198
Diageo Capital PLC
2.816% due 11/10/2008		500		499
El Paso Corp.
7.625% due 09/01/2008		300		303
General Mills, Inc.
3.038% due 01/22/2010		800		790
Home Depot, Inc.
2.901% due 12/16/2009		2,600		2,533
Hospira, Inc.
3.281% due 03/30/2010		1,200		1,164
Kimberly-Clark Corp.
2.999% due 07/30/2010		1,900		1,893
Mandalay Resort Group
6.500% due 07/31/2009		800		794
9.500% due 08/01/2008		1,335		1,342
Pemex Project Funding Master Trust
3.281% due 12/03/2012		200		196
Reynolds American, Inc.
3.476% due 06/15/2011		700		665
SABMiller PLC
3.091% due 07/01/2009		5,000		5,013
Safeway, Inc.
3.158% due 03/27/2009		700		695
Siemens Financieringsmaatschappij NV
2.728% due 08/14/2009		600		600
Time Warner, Inc.
2.915% due 11/13/2009		3,200		3,111
Transocean, Inc.
2.873% due 09/05/2008		300		300
Walt Disney Co.
2.779% due 07/16/2010		2,900		2,887
Weyerhaeuser Co.
3.802% due 09/24/2009		1,700		1,681
Xerox Corp.
3.562% due 12/18/2009		1,000		994
9.750% due 01/15/2009		100		103
				31,702
Utilities 3.6%
Ameritech Capital Funding Corp.
6.250% due 05/18/2009		3,500		3,550
AT&T, Inc.
2.884% due 02/05/2010		500		498
Dominion Resources, Inc.
2.858% due 11/14/2008		2,000		1,973
Entergy Gulf States, Inc.
3.427% due 12/08/2008		91		91
Florida Power Corp.
3.078% due 11/14/2008		100		100
NiSource Finance Corp.
3.208% due 11/23/2009		2,935		2,854
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		1,300		1,300
Southern California Edison Co.
2.950% due 02/02/2009		700		696
Telecom Italia Capital S.A.
3.344% due 07/18/2011		400		381
3.353% due 02/01/2011		500		480
Telefonica Emisones SAU
3.102% due 06/19/2009		400		398
				12,321
Total Corporate Bonds & Notes (Cost $157,078)				154,260
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		1,000		993
Total Commodity Index-Linked Notes (Cost $1,000)				993
U.S. GOVERNMENT AGENCIES 11.6%
Fannie Mae
2.542% due 12/25/2036		433		418
2.582% due 01/25/2021		692		687
2.832% due 09/25/2042		128		119
2.882% due 05/25/2031		167		165
4.460% due 05/01/2035		73		73
4.479% due 05/01/2035		65		65
4.490% due 09/01/2035		100		100
4.548% due 07/01/2035		195		196
4.551% due 11/01/2035		161		161
4.618% due 09/01/2035		309		309
4.677% due 12/01/2033		63		64
4.699% due 08/01/2035 (c)		1,505		1,515
4.991% due 06/01/2035		378		383
4.994% due 06/01/2043 - 07/01/2044		611		610
5.000% due 03/01/2033		33		32
5.500% due 02/01/2036 (c)		950		938
5.500% due 07/01/2038		7,000		6,901
5.549% due 07/01/2034		21		21
5.745% due 11/01/2035		36		37
6.137% due 09/01/2036 (c)		752		765
6.143% due 05/01/2036 (c)		725		735
6.169% due 11/01/2034		43		43
6.174% due 07/01/2036 (c)		698		708
6.263% due 08/01/2036 (c)		756		769
6.340% due 10/01/2034		19		19
6.376% due 07/01/2034		30		30
Freddie Mac
2.522% due 12/25/2036		2,183		2,114
2.621% due 07/15/2019		1,216		1,192
2.621% due 08/15/2019 - 10/15/2020 (c)		12,770		12,520
2.701% due 02/15/2019		5,307		5,204
2.742% due 08/25/2031		40		39
2.821% due 12/15/2030		40		39
2.871% due 06/15/2018		25		25
4.343% due 09/01/2035		133		134
4.690% due 06/01/2035		226		225
4.704% due 08/01/2035		315		318
4.729% due 09/01/2035		183		184
4.994% due 02/25/2045		90		84
5.000% due 04/15/2012 - 07/15/2024		797		799
6.000% due 07/01/2038		900		909
Total U.S. Government Agencies (Cost $39,949)				39,649
MORTGAGE-BACKED SECURITIES 16.6%
Banc of America Funding Corp.
6.141% due 01/20/2047		1,092		888
Banc of America Mortgage Securities, Inc.
4.139% due 10/25/2033		89		88
4.719% due 07/25/2034		685		666
5.185% due 05/25/2033		945		905
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		8,174		7,813
4.676% due 07/25/2034		600		583
4.750% due 10/25/2035		241		239
Bear Stearns Alt-A Trust
2.642% due 02/25/2034		625		450
4.991% due 12/25/2033		727		648
Bear Stearns Mortgage Funding Trust
2.552% due 02/25/2037		1,267		1,124
Bear Stearns Structured Products, Inc.
5.674% due 01/26/2036		1,136		946
5.777% due 12/26/2046		624		514
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		42		40
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		56		53
Countrywide Alternative Loan Trust
2.662% due 05/25/2047		576		404
4.500% due 06/25/2035		169		168
4.528% due 02/25/2036		1,355		1,033
Countrywide Home Loan Mortgage Pass-Through Trust
4.799% due 11/25/2034		1,021		982
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.562% due 02/25/2037		2,358		2,220
First Horizon Asset Securities, Inc.
5.368% due 08/25/2035		854		817
GMAC Mortgage Corp. Loan Trust
5.012% due 11/19/2035		56		53
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		595		524
2.562% due 01/25/2047		819		777
2.752% due 11/25/2045		27		22
Greenpoint Mortgage Pass-Through Certificates
4.392% due 10/25/2033		806		768
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		730		684
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		281		255
2.702% due 05/19/2035		53		40
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		300		281
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		213		198
2.582% due 01/25/2037		228		214
5.044% due 12/25/2034		330		287
JPMorgan Mortgage Trust
5.020% due 02/25/2035		905		854
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		35		34
MASTR Adjustable Rate Mortgages Trust
3.788% due 11/21/2034		742		733
Mellon Residential Funding Corp.
2.911% due 12/15/2030		325		302
Merrill Lynch Floating Trust
2.541% due 06/15/2022		2,608		2,454
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		551		443
5.848% due 05/25/2033		778		756
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		168		152
3.482% due 10/25/2035		282		262
4.546% due 01/25/2029		311		306
Morgan Stanley Capital I
2.542% due 10/15/2020		252		235
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		185		182
Structured Adjustable Rate Mortgage Loan Trust
4.940% due 03/25/2034		739		675
5.349% due 01/25/2035		1,180		1,153
5.537% due 08/25/2035		507		454
Structured Asset Mortgage Investments, Inc.
2.582% due 09/25/2047		1,585		1,512
2.612% due 03/25/2037		1,256		966
2.732% due 07/19/2035		241		185
2.762% due 02/25/2036		68		52
Structured Asset Securities Corp.
2.532% due 05/25/2036		513		500
5.432% due 10/25/2035		246		224
TBW Mortgage-Backed Pass-Through Certificates
2.592% due 01/25/2037		1,890		1,812
Thornburg Mortgage Securities Trust
2.582% due 03/25/2037		2,672		2,487
2.592% due 03/25/2046		1,914		1,886
2.592% due 11/25/2046		1,324		1,267
2.602% due 09/25/2046		430		415
2.612% due 06/25/2037		1,366		1,306
Wachovia Bank Commercial Mortgage Trust
2.551% due 06/15/2020		1,244		1,152
2.561% due 09/15/2021		3,088		2,914
WaMu Mortgage Pass-Through Certificates
2.752% due 12/25/2045		35		28
2.772% due 10/25/2045		36		28
3.122% due 12/25/2027		1,330		1,261
4.258% due 01/25/2047		380		287
4.361% due 02/27/2034		548		509
4.528% due 02/25/2046		2,545		1,874
4.728% due 11/25/2042		71		66
4.780% due 10/25/2046		447		349
4.780% due 12/25/2046		2,515		1,963
4.990% due 05/25/2041		16		14
Total Mortgage-Backed Securities (Cost $62,134)				56,736
ASSET-BACKED SECURITIES 16.4%
ACE Securities Corp.
2.532% due 12/25/2036		275		263
2.542% due 10/25/2036		183		180
2.562% due 10/25/2036		79		78
Argent Securities, Inc.
2.532% due 09/25/2036		186		184
Asset-Backed Funding Certificates
2.542% due 11/25/2036		440		431
2.542% due 01/25/2037		416		403
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		227		226
2.532% due 12/25/2036		590		571
2.758% due 09/25/2034		46		40
Atrium CDO Corp.
3.337% due 06/27/2015		2,980		2,890
Bear Stearns Asset-Backed Securities Trust
2.532% due 11/25/2036		580		552
2.562% due 10/25/2036		272		262
Carrington Mortgage Loan Trust
2.732% due 06/25/2035		143		143
2.802% due 10/25/2035		705		655
Citigroup Mortgage Loan Trust, Inc.
2.532% due 11/25/2036		206		204
2.542% due 01/25/2037		604		600
Countrywide Asset-Backed Certificates
2.532% due 01/25/2037		326		325
2.532% due 05/25/2037		5,929		5,771
2.532% due 03/25/2047		84		83
2.532% due 05/25/2047		346		337
2.542% due 03/25/2037		139		137
2.552% due 06/25/2037		795		782
2.562% due 06/25/2037		478		470
2.592% due 10/25/2046		105		103
Credit-Based Asset Servicing & Securitization LLC
2.542% due 11/25/2036		519		505
2.602% due 07/25/2037		1,103		1,024
First Franklin Mortgage Loan Asset-Backed Certificates
2.522% due 01/25/2038		1,187		1,147
2.532% due 11/25/2036		813		781
2.532% due 12/25/2036		391		381
2.542% due 06/25/2036		381		374
Ford Credit Auto Owner Trust
2.491% due 12/15/2009		481		481
3.071% due 07/15/2010		1,600		1,602
Fremont Home Loan Trust
2.532% due 10/25/2036		1,471		1,436
2.542% due 01/25/2037		490		464
2.552% due 02/25/2037		80		78
GSAMP Trust
2.522% due 10/25/2046		299		292
2.552% due 09/25/2036		98		96
2.552% due 12/25/2036		702		680
GSR Mortgage Loan Trust
2.582% due 11/25/2030		2		2
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		573		563
2.749% due 01/20/2035		1,004		931
Indymac Residential Asset-Backed Trust
2.542% due 04/25/2037		303		300
2.562% due 07/25/2037		1,052		1,036
JPMorgan Mortgage Acquisition Corp.
2.532% due 08/25/2036		64		63
2.552% due 11/25/2036		455		440
Lehman XS Trust
2.552% due 05/25/2046		137		131
2.602% due 11/25/2036		634		615
Long Beach Mortgage Loan Trust
2.662% due 08/25/2035		111		108
2.762% due 10/25/2034		6		5
MASTR Asset-Backed Securities Trust
2.542% due 11/25/2036		590		577
MBNA Credit Card Master Note Trust
2.571% due 12/15/2011		2,100		2,094
Merrill Lynch Mortgage Investors, Inc.
2.512% due 06/25/2037		229		226
2.552% due 08/25/2036		1,086		1,051
Morgan Stanley ABS Capital I
2.512% due 06/25/2036		89		89
2.522% due 10/25/2036		133		131
2.532% due 10/25/2036		215		208
2.532% due 11/25/2036		1,070		1,011
2.542% due 05/25/2037		2,494		2,435
Morgan Stanley IXIS Real Estate Capital Trust
2.532% due 11/25/2036		329		324
Nationstar Home Equity Loan Trust
2.542% due 03/25/2037		725		702
2.602% due 04/25/2037		2,867		2,809
Option One Mortgage Loan Trust
2.522% due 02/25/2037		592		588
2.532% due 07/25/2036		60		60
2.532% due 01/25/2037		541		528
Park Place Securities, Inc.
2.742% due 09/25/2035		247		234
2.794% due 10/25/2034		236		206
Residential Asset Mortgage Products, Inc.
2.552% due 11/25/2036		297		292
2.562% due 10/25/2036		786		738
2.582% due 08/25/2046		2,003		1,936
Residential Asset Securities Corp.
2.522% due 08/25/2036		26		26
2.542% due 10/25/2036		242		239
2.552% due 11/25/2036		602		593
Residential Funding Mortgage Securities II, Inc.
2.602% due 05/25/2037		1,051		943
Saxon Asset Securities Trust
2.542% due 10/25/2046		64		62
SBI HELOC Trust
2.652% due 08/25/2036		87		83
Securitized Asset-Backed Receivables LLC Trust
2.532% due 09/25/2036		391		383
2.612% due 05/25/2037		982		912
SLC Student Loan Trust
2.674% due 02/15/2015		779		777
SLM Student Loan Trust
2.920% due 01/25/2016		22		22
2.920% due 10/25/2016		834		829
2.930% due 10/26/2015		248		248
3.170% due 07/25/2013		292		292
3.420% due 10/25/2017		700		690
Soundview Home Equity Loan Trust
2.532% due 10/25/2036		66		65
2.542% due 12/25/2036		228		224
2.562% due 01/25/2037		1,675		1,637
2.582% due 10/25/2036		153		151
Specialty Underwriting & Residential Finance
2.528% due 11/25/2037		431		416
2.542% due 01/25/2038		1,292		1,265
Structured Asset Securities Corp.
2.532% due 10/25/2036		710		693
Total Asset-Backed Securities (Cost $58,209)				56,014
SOVEREIGN ISSUES 0.0%
Korea Development Bank
2.938% due 11/22/2012		100		95
Total Sovereign Issues (Cost $100)				95
FOREIGN CURRENCY-DENOMINATED ISSUES 1.0%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	2,300		1,220
Countrywide Home Loans, Inc.
5.305% due 11/24/2008	EUR	700		1,080
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	100,000		935
Total Foreign Currency-Denominated Issues (Cost $3,296)				3,235
	Shares
CONVERTIBLE PREFERRED STOCKS 3.2%
Bank of America Corp.
7.250% due 12/31/2049		4,000		3,536
Lehman Brothers Holdings, Inc.
8.750% due 07/01/2011		1,400		1,081
Wachovia Corp.
7.500% due 12/31/2049		7,000		6,198
Total Convertible Preferred Stocks (Cost $12,400)				10,815
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 30.7%
Certificates of Deposit 0.0%
HSBC Bank USA N.A.
2.957% due 07/28/2008	$	100		100
Commercial Paper 14.2%
Citibank N.A.
3.570% due 08/19/2008		8,200		8,160
Intesa Funding LLC
2.440% due 07/01/2008		11,300		11,300
Royal Bank of Scotland Group PLC
2.520% due 07/23/2008		2,800		2,796
UBS Finance Delaware LLC
2.930% due 10/27/2008		13,500		13,370
Westpac Banking Corp.
2.700% due 09/18/2008		12,800		12,712
				48,338
Repurchase Agreements 4.7%
Deutsche Bank AG
1.500% due 07/01/2008		14,000		14,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $14,264. Repurchase proceeds are $14,001.)
State Street Bank and Trust Co.
1.650% due 07/01/2008		2,142		2,142
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $2,185. Repurchase proceeds are $2,142.)
				16,142
U.S. Treasury Bills 11.8%
1.729% due 08/28/2008 - 09/25/2008 (a)(b)		40,500		40,326
Total Short-Term Instruments (Cost $104,937)				104,906
Purchased Options (f) 0.1% (Cost $760)				281
Total Investments 126.0% (Cost $443,354)			$	430,164
Written Options (g) (0.1%) (Premiums $876)				(475)
Other Assets and Liabilities (Net) (25.9%)				(88,495)
Net Assets 100.0%			$	341,194

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 $40,326 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(c) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $ 37,029 at a weighted average interest rate of 2.566%. On June 30, 2008, securities valued at $16,963 were pledged as collateral for reverse repurchase agreements.

(d) Cash of $5,314 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	8	$	0
90-Day Euribor March Futures	Long	03/2009	8		0
90-Day Eurodollar December Futures	Long	12/2008	738		1,823
90-Day Eurodollar December Futures	Long	12/2009	31		(46)
90-Day Eurodollar June Futures	Long	06/2009	172		(29)
90-Day Eurodollar March Futures	Long	03/2009	583		624
90-Day Eurodollar March Futures	Long	03/2010	24		(39)
90-Day Eurodollar September Futures	Long	09/2008	146		12
90-Day Eurodollar September Futures	Long	09/2009	201		251
E-mini S&P 500 Index September Futures	Long	09/2008	10		(61)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	222		103
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	27		(43)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	21		(70)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	36		(81)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	55		(42)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	187		(151)
				$	2,251

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
American Express Co. 4.875% due 07/15/2013	Sell	1.950	%	03/20/2013	BNP	$	1,200	$	11
American Express Co. 4.875% due 07/15/2013	Sell	2.060	%	03/20/2013	DUB		2,100		29
American International Group, Inc. 4.250% due 05/15/2013	Sell	0.780	%	12/20/2012	RBS		400		(21)
American International Group, Inc. 4.250% due 05/15/2013	Sell	0.910	%	12/20/2012	BOA		400		(19)
American International Group, Inc. 4.250% due 05/15/2013	Sell	0.930	%	12/20/2012	BOA		600		(28)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	Sell	0.850	%	03/20/2013	CSFB		800		(3)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	Sell	0.870	%	03/20/2013	RBS		800		(2)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	Sell	0.930	%	03/20/2013	DUB		1,000		0
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	Sell	1.000	%	03/20/2013	BCLY		300		1
California State General Obligation Bonds 5.250% due 02/01/2018	Sell	0.470	%	12/20/2017	LEH		400		(2)
California State General Obligation Notes, Series 2005 5.000% due 03/01/2018	Sell	0.530	%	03/20/2018	GSC		1,000		0
CIT Group, Inc. 7.750% due 04/02/2012	Sell	5.750	%	03/20/2013	JPM		800		(39)
Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.530	%	09/20/2012	JPM		3,700		(106)
Fannie Mae 5.250% due 08/01/2012	Sell	0.670	%	12/20/2012	LEH		600		(21)
Fannie Mae 5.250% due 08/01/2012	Sell	0.675	%	12/20/2012	LEH		300		(10)
Fannie Mae 5.250% due 08/01/2012	Sell	0.700	%	12/20/2012	RBS		600		(20)
Fannie Mae 5.250% due 08/01/2012	Sell	0.785	%	12/20/2012	RBS		1,000		(30)
Fannie Mae 5.250% due 08/01/2012	Sell	0.840	%	12/20/2012	RBS		1,900		(52)
Fannie Mae 5.250% due 08/01/2012	Sell	0.950	%	12/20/2012	RBS		600		(14)
Fannie Mae 5.500% due 06/09/2033	Sell	0.440	%	12/20/2012	LEH		400		(3)
Fannie Mae 5.500% due 06/09/2033	Sell	0.445	%	12/20/2012	LEH		500		(3)
Fannie Mae 5.500% due 06/09/2033	Sell	0.510	%	12/20/2012	RBS		1,000		(4)
Fannie Mae 5.500% due 06/09/2033	Sell	0.520	%	03/20/2013	RBS		2,000		(8)
Fannie Mae 5.500% due 06/09/2033	Sell	0.615	%	03/20/2013	LEH		1,700		0
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012	GSC		100		(24)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.000	%	12/20/2008	LEH		200		(5)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.300	%	12/20/2008	LEH		200		(4)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	5.000	%	06/20/2009	CITI		1,800		(38)
Freddie Mac 5.080% due 02/07/2019	Sell	0.615	%	03/20/2013	LEH		2,100		0
Freddie Mac 5.080% due 02/07/2019	Sell	0.730	%	03/20/2013	RBS		800		4
Freddie Mac 5.080% due 02/07/2019	Sell	0.860	%	03/20/2013	BCLY		800		8
Freddie Mac 5.875% due 03/21/2011	Sell	0.850	%	12/20/2012	CSFB		400		(11)
Gannett Co., Inc. 6.375% due 04/01/2012	Sell	1.800	%	03/20/2013	UBS		300		(13)
Gannett Co., Inc. 6.375% due 04/01/2012	Sell	1.968	%	03/20/2013	BCLY		1,000		(37)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.750	%	03/20/2013	MSC		1,600		(56)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.770	%	03/20/2013	BNP		1,000		(34)
General Motors Corp. 7.125% due 07/15/2013	Sell	1.810	%	09/20/2008	BEAR		1,200		(26)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	09/20/2008	RBS		2,300		(33)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	09/20/2009	DUB		2,300		(291)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.850	%	12/20/2012	BCLY		2,400		(759)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.880	%	12/20/2012	MLP		1,900		(599)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.900	%	12/20/2012	UBS		1,500		(472)
GMAC LLC 6.875% due 08/28/2012	Sell	4.600	%	09/20/2008	UBS		4,200		(77)
GMAC LLC 6.875% due 08/28/2012	Sell	1.850	%	09/20/2009	MLP		1,100		(172)
GMAC LLC 6.875% due 08/28/2012	Sell	3.200	%	09/20/2012	GSC		300		(93)
GMAC LLC 6.875% due 08/28/2012	Sell	3.670	%	09/20/2012	JPM		1,000		(301)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.830	%	09/20/2012	BNP		3,000		(58)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.000	%	03/20/2009	CITI		2,500		5
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008	RBS		900		(8)
Malaysia Government International Bond 7.500% due 07/15/2011	Sell	0.520	%	03/20/2009	CITI		1,700		5
MBIA, Inc.	Sell	2.800	%	12/20/2012	BOA		400		(170)
MBIA, Inc.	Sell	3.400	%	12/20/2012	DUB		400		(169)
MBIA, Inc. 6.625% due 10/01/2028	Sell	4.000	%	12/20/2012	BOA		400		(153)
MBIA, Inc. 6.625% due 10/01/2028	Sell	5.050	%	12/20/2012	WAC		400		(144)
MetLife, Inc. 5.000% due 06/15/2015	Sell	1.700	%	03/20/2013	JPM		600		16
MetLife, Inc. 5.000% due 06/15/2015	Sell	1.720	%	03/20/2013	LEH		1,200		33
MetLife, Inc. 5.000% due 06/15/2015	Sell	2.260	%	03/20/2013	LEH		1,100		55
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.220	%	03/20/2009	CSFB		1,000		1
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.270	%	03/20/2009	BCLY		2,000		3
Michigan State General Obligation Bonds, Series 2003 5.250% due 05/01/2020	Sell	0.400	%	12/20/2017	LEH		400		(8)
Michigan State General Obligation Notes, Series 2003 5.250% due 05/01/2017	Sell	0.440	%	03/20/2018	GSC		1,000		(17)
Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008	HSBC		200		0
Multiple Reference Entities of Gazprom	Sell	1.430	%	12/20/2008	JPM		2,100		6
Multiple Reference Entities of Gazprom	Sell	1.000	%	10/20/2011	DUB		400		(10)
Multiple Reference Entities of Gazprom	Sell	0.740	%	01/20/2012	BCLY		800		(28)
New York City, New York General Obligation Bonds, Series 2007 5.000% due 01/01/2026	Sell	0.420	%	12/20/2017	LEH		400		(3)
New York City, New York General Obligation Notes, Series 2007 5.000% due 01/01/2017	Sell	0.450	%	03/20/2018	GSC		1,000		(5)
Ohio State General Obligation Bonds, Series 2007 5.000% due 09/01/2020	Sell	0.300	%	12/20/2017	LEH		400		0
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008	BCLY		4,000		(3)
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008	LEH		500		0
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.320	%	03/20/2009	LEH		1,600		2
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008	DUB		4,000		2
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	1.800	%	03/20/2013	BCLY		800		13
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	1.870	%	03/20/2013	CSFB		500		12
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	1.900	%	03/20/2013	RBS		300		6
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	1.960	%	03/20/2013	CSFB		2,100		48
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	2.350	%	03/20/2013	JPM		2,400		93
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	2.350	%	03/20/2013	RBS		300		12
Residential Capital LLC 6.500% due 04/17/2013	Sell	1.150	%	06/20/2009	LEH		3,000		(1,033)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	12/20/2008	LEH		500		0
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.670	%	03/20/2009	GSC		1,500		6
SLM Corp. 5.125% due 08/27/2012	Sell	3.000	%	12/20/2008	BCLY		800		(8)
SLM Corp. 5.125% due 08/27/2012	Sell	3.000	%	12/20/2008	BOA		1,000		(10)
SLM Corp. 5.125% due 08/27/2012	Sell	4.500	%	03/20/2009	BNP		1,000		(5)
SLM Corp. 5.125% due 08/27/2012	Sell	4.550	%	03/20/2010	JPM		400		(6)
SLM Corp. 5.125% due 08/27/2012	Sell	4.600	%	03/20/2010	MLP		600		(9)
SLM Corp. 5.125% due 08/27/2012	Sell	2.860	%	12/20/2012	BOA		1,000		(63)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008	BCLY		2,000		(10)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.520	%	05/20/2009	HSBC		1,000		(11)
Wachovia Corp. 3.625% due 02/17/2009	Sell	1.630	%	03/20/2013	UBS		300		(6)
Wachovia Corp. 3.625% due 02/17/2009	Sell	1.700	%	03/20/2013	BNP		1,800		(30)
Wachovia Corp. 3.625% due 02/17/2009	Sell	1.700	%	03/20/2013	RBS		1,700		(28)
								$	(5,054)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012	CITI	$	4,968	$	(166)
Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012	CITI		994		(32)
Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012	MLP		1,000		(72)
Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	CITI		500		(30)
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB		2,200		17
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		2,000		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		4,100		15
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		500		2
								$	(266)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA	$	93,800	$	(434)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		16,200		(120)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		5,600		(43)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		8,000		(35)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		500		(1)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		6,100		16
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		24,500		28
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		1,200		(29)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		17,700		(144)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		1,600		(16)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	LEH		3,900		(113)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM	EUR	600		(35)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		13,400		(738)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		300		(18)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY		200		(12)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		200		(12)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS	GBP	1,800		(18)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		9,900		(45)
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC		800		3
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	CSFB		1,200		93
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	DUB		2,700		(40)
Receive	6-Month GBP-LIBOR	5.000	%	12/19/2037	GSC		100		(9)
Receive	30-Day USD-CMM Rate	5.000	%	02/20/2009	MLP	$	3,400		184
Pay	BRL-CDI-Compounded	11.360	%	01/04/2010	BCLY	BRL	2,400		(66)
Pay	BRL-CDI-Compounded	11.430	%	01/04/2010	MLP		1,500		(40)
Pay	BRL-CDI-Compounded	11.465	%	01/04/2010	GSC		600		(16)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC		900		(10)
Pay	BRL-CDI-Compounded	12.948	%	01/04/2010	MLP		800		(6)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		1,200		(52)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	BCLY		1,500		(44)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	UBS		1,600		(47)
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP	$	1,600		(6)
								$	(1,825)

Interest Rate Basis Swaps

Receive	Pay	Expiration Date	Counterparty	Notional Amount	Unrealized (Depreciation)
FFR plus 0.700%	3-Month USD-LIBOR	09/18/2008	BOA	61,100	$	(5)
FFR plus 0.700%	3-Month USD-LIBOR	09/18/2008	CITI	33,300		(2)
FFR plus 0.700%	3-Month USD-LIBOR	12/17/2008	CITI	16,700		0
					$	(7)

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)	Expiration Date	Counterparty	# of Shares/ Units	Unrealized Appreciation/ (Depreciation)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.300%	10/15/2008	BEAR	395,273	$	(3,130)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	10/15/2008	CSFB	495,039		(3,887)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.200%	03/13/2009	CSFB	183,586		(1,441)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	07/15/2008	MLP	317,787		(9,353)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	08/18/2008	MLP	448,976		(13,618)
Pay	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.200%	10/15/2008	MLP	34,503		271
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.200%	10/15/2008	MLP	789,967		(6,201)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	06/15/2009	MLP	594,295		(8,413)
						$	(45,772)

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(f) Purchased options outstanding on June 30, 2008:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	8,300	$	94	$	39
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		2,900		31		14
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,700		18		8
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		5,400		57		25
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		25,700		226		68
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		17,700		191		52
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		6,900		66		37
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		5,500		59		26
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		1,700		18		12
									$	760	$	281

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	95	$	55	$	36
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	95		86		30
					$	141	$	66

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009	$	2,800	$	90	$	61
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		600		15		8
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		500		16		10
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		600		20		12
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		1,800		59		35
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		8,600		214		112
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		5,900		178		79
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		3,000		66		43
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		1,800		59		35
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		600		18		14
									$	735	$	409

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(4)
U.S. Treasury Notes	2.125	%	04/30/2010	$	64,800	$	63,970	$	64,645
U.S. Treasury Notes	3.125	%	11/30/2009		3,400		3,422		3,449
U.S. Treasury Notes	3.250	%	12/31/2009		2,200		2,213		2,232
						$	69,605	$	70,326

⁽⁴⁾ Market value includes $297 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	AED	433	04/2009	$	0	$	(1)	$	(1)
Buy	AUD	153	07/2008		1		0		1
Buy	BRL	23,993	07/2008		364		0		364
Sell		23,993	07/2008		0		(1,195)		(1,195)
Buy		39,853	12/2008		2,828		0		2,828
Sell		29,231	12/2008		0		(575)		(575)
Buy	CNY	6,344	11/2008		12		0		12
Sell	EUR	2,575	07/2008		0		(46)		(46)
Sell	GBP	5,760	08/2008		0		(63)		(63)
Buy	IDR	3,568,000	10/2008		3		0		3
Buy	INR	8,635	08/2008		0		(19)		(19)
Buy		133,842	11/2008		0		(262)		(262)
Sell	JPY	190,707	07/2008		0		(30)		(30)
Buy	KRW	3,113,758	08/2008		0		(389)		(389)
Sell		3,113,758	08/2008		5		(5)		0
Buy	KWD	33	04/2009		0		(1)		(1)
Buy	MXN	33,617	07/2008		233		0		233
Sell		33,617	07/2008		0		(158)		(158)
Buy	MYR	3,625	11/2008		0		(16)		(16)
Buy		2,566	02/2009		0		(16)		(16)
Buy	PHP	61,136	08/2008		0		(34)		(34)
Buy	PLN	8,314	07/2008		859		0		859
Sell		8,314	07/2008		0		(574)		(574)
Buy	RUB	61,035	07/2008		125		0		125
Sell		61,035	07/2008		0		(104)		(104)
Buy		39,680	11/2008		82		0		82
Sell		17,568	11/2008		0		(48)		(48)
Buy		12,318	05/2009		7		0		7
Sell		22,112	05/2009		0		(18)		(18)
Buy	SAR	444	04/2009		0		(1)		(1)
Buy	SGD	6,484	11/2008		93		0		93
Buy	ZAR	590	07/2008		0		(12)		(12)
Sell		590	07/2008		0		(2)		(2)
Buy		590	12/2008		2		0		2
				$	4,614	$	(3,569)	$	1,045

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 06/30/2008
Investments, at value	$	0	$	427,410	$	2,754	$	430,164
Other Financial Instruments++		2,251		(75,609)		(46,774)		(120,132)
Total	$	2,251	$	351,801	$	(44,020)	$	310,032

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	5,444	$	895	$	20	$	(506)	$	(3,099)	$	2,754
Other Financial Instruments++		(29,546)		0		0		(22,581)		5,353		(46,774)
Total	$	(24,102)	$	895	$	20	$	(23,087)	$	2,254	$	(44,020)

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

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

See Accompanying Notes

Schedule of Investments

Fundamental IndexPLUS^TM TR Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.9%
HCA, Inc.
5.051% due 11/18/2013	$	2,469	$	2,322
Idearc, Inc.
4.800% due 11/17/2014		2,475		1,986
Total Bank Loan Obligations (Cost $4,944)				4,308
CORPORATE BONDS & NOTES 36.2%
Banking & Finance 29.2%
Allstate Life Global Funding Trusts
2.841% due 03/23/2009		600		598
5.375% due 04/30/2013		700		698
American Express Bank FSB
5.500% due 04/16/2013		1,100		1,077
American Express Co.
7.000% due 03/19/2018		2,000		2,031
American Express Credit Corp.
5.875% due 05/02/2013		700		697
American General Finance Corp.
6.900% due 12/15/2017		1,600		1,399
American International Group, Inc.
5.050% due 10/01/2015		100		91
5.850% due 01/16/2018		4,000		3,759
Bank of America Corp.
3.012% due 09/18/2009		200		199
5.375% due 09/11/2012		1,900		1,906
5.750% due 12/01/2017		1,100		1,036
8.000% due 12/29/2049		13,200		12,398
8.125% due 12/29/2049		5,400		5,111
Bank of America N.A.
6.000% due 10/15/2036		300		267
Bank of Ireland
2.862% due 12/18/2009		3,100		3,069
Barclays Bank PLC
6.050% due 12/04/2017		1,000		983
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		2,400		2,499
C10 Capital SPV Ltd.
6.722% due 12/31/2049		800		737
Calabash Re Ltd.
11.214% due 01/08/2010		1,200		1,200
CIT Group, Inc.
2.826% due 08/15/2008		1,000		999
2.839% due 08/17/2009		300		273
2.959% due 12/19/2008		500		495
3.049% due 01/30/2009		600		581
Citigroup Capital XXI
8.300% due 12/21/2057		1,700		1,612
Citigroup, Inc.
2.831% due 12/28/2009		500		488
5.500% due 04/11/2013		2,700		2,639
6.000% due 08/15/2017		6,700		6,411
8.400% due 04/29/2049		6,000		5,711
Countrywide Financial Corp.
2.796% due 09/02/2008		3,600		3,573
DnB NOR Bank ASA
2.780% due 10/13/2009		1,000		1,001
Export-Import Bank of China
4.875% due 07/21/2015		100		97
Foundation Re II Ltd.
9.445% due 11/26/2010		1,400		1,411
GMAC LLC
6.000% due 12/15/2011		200		138
Goldman Sachs Group, Inc.
3.012% due 07/29/2008		700		700
6.750% due 10/01/2037		10,900		10,013
HBOS PLC
5.920% due 09/29/2049		100		71
HSBC Holdings PLC
6.500% due 05/02/2036		1,900		1,774
ICICI Bank Ltd.
3.250% due 01/12/2010		1,800		1,746
JPMorgan Chase & Co.
6.000% due 01/15/2018		900		880
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		1,700		1,657
JPMorgan Chase Capital XX
6.550% due 09/29/2036		100		87
KeyBank N.A.
4.682% due 06/02/2010		5,800		5,781
Lehman Brothers Holdings, Inc.
2.778% due 05/25/2010		100		93
2.851% due 12/23/2008		200		196
3.011% due 12/23/2010		900		844
6.200% due 09/26/2014		400		383
Merrill Lynch & Co., Inc.
6.050% due 08/15/2012		2,400		2,352
6.875% due 04/25/2018		2,200		2,100
MetLife, Inc.
6.400% due 12/15/2036		400		351
Morgan Stanley
4.778% due 05/14/2010		1,500		1,495
Mystic Re Ltd.
8.982% due 12/05/2008		1,500		1,468
National Australia Bank Ltd.
2.731% due 09/11/2009		800		800
5.350% due 06/12/2013		800		800
Petroleum Export Ltd.
5.265% due 06/15/2011		69		68
Principal Life Income Funding Trusts
5.550% due 04/27/2015		1,000		987
RBS Capital Trust III
5.512% due 09/29/2049		1,200		1,045
Resona Bank Ltd.
5.850% due 09/29/2049		200		172
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		900		872
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		1,000		851
State Street Capital Trust IV
3.776% due 06/15/2037		200		154
Sun Life Financial Global Funding LP
2.978% due 07/06/2010		5,400		5,376
TNK-BP Finance S.A.
6.125% due 03/20/2012		200		189
U.S. Bancorp
3.184% due 02/04/2010		5,700		5,702
UBS AG
5.750% due 04/25/2018		600		574
5.875% due 12/20/2017		700		683
USB Capital IX
6.189% due 04/15/2049		200		152
VTB Capital S.A.
3.384% due 08/01/2008		900		892
Wachovia Corp.
5.750% due 02/01/2018		2,000		1,829
7.980% due 12/31/2049		23,900		22,013
Wells Fargo Capital XIII
7.700% due 12/29/2049		7,600		7,565
ZFS Finance USA Trust I
5.875% due 05/09/2032		500		458
				148,357
Industrials 5.6%
Amgen, Inc.
6.900% due 06/01/2038		3,900		4,002
AstraZeneca PLC
5.900% due 09/15/2017		400		411
6.450% due 09/15/2037		300		307
C8 Capital SPV Ltd.
6.640% due 12/31/2049		5,100		4,743
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		400		431
CODELCO, Inc.
6.150% due 10/24/2036		100		96
Comcast Corp.
5.875% due 02/15/2018		300		289
6.450% due 03/15/2037		300		281
Daimler Finance North America LLC
3.218% due 03/13/2009		200		200
Gaz Capital S.A.
6.212% due 11/22/2016		200		187
HJ Heinz Co.
6.428% due 12/01/2020		100		101
International Business Machines Corp.
5.700% due 09/14/2017		7,800		7,942
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		2,900		2,835
Kraft Foods, Inc.
6.125% due 02/01/2018		800		780
Peabody Energy Corp.
7.875% due 11/01/2026		300		303
Rohm & Haas Co.
6.000% due 09/15/2017		500		488
Time Warner, Inc.
5.875% due 11/15/2016		2,100		1,985
Union Pacific Corp.
5.700% due 08/15/2018		1,800		1,763
UnitedHealth Group, Inc.
4.875% due 02/15/2013		700		678
Williams Cos., Inc.
6.375% due 10/01/2010		700		710
				28,532
Utilities 1.4%
Dominion Resources, Inc.
2.858% due 11/14/2008		2,800		2,762
Enel Finance International S.A.
6.800% due 09/15/2037		2,900		2,940
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		600		579
NGPL Pipe Co. LLC
6.514% due 12/15/2012		800		814
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		250		212
				7,307
Total Corporate Bonds & Notes (Cost $190,871)				184,196
MUNICIPAL BONDS & NOTES 2.2%
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047		5,800		4,948
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		265		244
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		1,600		1,626
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2041		2,700		2,042
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		3,000		2,507
Total Municipal Bonds & Notes (Cost $12,207)				11,367
COMMODITY INDEX-LINKED NOTES 0.4%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		2,000		1,986
Total Commodity Index-Linked Notes (Cost $2,000)				1,986
U.S. GOVERNMENT AGENCIES 79.4%
Fannie Mae
2.542% due 12/25/2036		577		558
2.832% due 09/25/2042		938		869
4.435% due 01/01/2035 (c)		1,151		1,164
4.490% due 09/01/2035		648		651
4.500% due 07/01/2034 - 08/01/2035 (c)		2,610		2,634
4.526% due 07/01/2035 (c)		766		775
4.548% due 07/01/2035 (c)		1,053		1,057
4.591% due 10/01/2035		560		562
4.618% due 09/01/2035 (c)		1,392		1,392
4.666% due 05/25/2035		193		197
4.673% due 12/01/2033		602		609
4.677% due 12/01/2033		330		332
4.834% due 06/01/2035 (c)		1,766		1,783
4.991% due 06/01/2035 (c)		1,702		1,722
4.994% due 06/01/2043 - 07/01/2044		855		855
5.000% due 06/25/2027 - 07/01/2038		33,236		31,891
5.000% due 03/01/2036 (c)		25,709		24,733
5.452% due 03/01/2035		181		185
5.500% due 02/01/2014 - 07/01/2038		68,657		67,735
5.500% due 07/01/2035 - 07/01/2036 (c)		15,843		15,665
5.745% due 11/01/2035		286		292
6.000% due 05/01/2035 - 07/01/2038		136,695		138,079
6.000% due 06/01/2035 - 11/01/2037 (c)		52,463		53,018
6.340% due 10/01/2034		172		174
6.500% due 08/01/2029 - 09/01/2037		876		903
Freddie Mac
2.621% due 07/15/2019 - 08/15/2019		6,377		6,253
2.701% due 02/15/2019		7,077		6,938
2.742% due 08/25/2031		210		204
2.871% due 06/15/2018		151		150
4.343% due 09/01/2035		603		604
4.500% due 10/15/2022		371		371
4.690% due 06/01/2035 (c)		1,794		1,791
4.704% due 08/01/2035 (c)		1,491		1,505
4.822% due 10/01/2035 (c)		1,012		1,018
4.863% due 11/01/2034 (c)		996		1,020
4.994% due 02/25/2045		90		84
5.000% due 04/15/2012 - 01/15/2024		358		360
5.500% due 08/01/2037 (c)		3,769		3,717
5.500% due 11/01/2037 - 06/01/2038		17,062		16,827
6.000% due 07/01/2038		8,100		8,182
Ginnie Mae
6.000% due 05/15/2037 - 07/15/2037		990		1,007
Small Business Administration
5.290% due 12/01/2027		680		678
5.490% due 03/01/2028		5,000		5,038
Total U.S. Government Agencies (Cost $404,960)				403,582
MORTGAGE-BACKED SECURITIES 7.6%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		271		242
Banc of America Commercial Mortgage, Inc.
5.929% due 05/10/2045		900		881
Bear Stearns Adjustable Rate Mortgage Trust
4.593% due 01/25/2034		1,988		1,832
4.750% due 10/25/2035		1,302		1,291
Bear Stearns Alt-A Trust
2.642% due 02/25/2034		852		614
5.701% due 09/25/2035		214		176
Bear Stearns Structured Products, Inc.
5.674% due 01/26/2036		787		655
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		303		294
4.900% due 12/25/2035		561		534
Countrywide Alternative Loan Trust
2.662% due 05/25/2047		740		519
2.762% due 02/25/2037		3,297		2,408
4.500% due 06/25/2035		1,328		1,316
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		211		186
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		451		451
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.562% due 02/25/2037		2,936		2,763
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		860		756
2.562% due 01/25/2047		1,065		1,011
GSR Mortgage Loan Trust
4.539% due 09/25/2035		1,865		1,809
5.248% due 11/25/2035		1,342		1,262
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		429		401
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		478		446
2.582% due 01/25/2037		303		286
5.240% due 01/25/2036		822		665
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		2,800		2,600
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		562		564
Mellon Residential Funding Corp.
2.911% due 12/15/2030		2,393		2,224
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		1,500		1,383
Merrill Lynch Floating Trust
2.541% due 06/15/2022		4,122		3,879
Structured Adjustable Rate Mortgage Loan Trust
4.928% due 01/25/2035		551		522
5.305% due 08/25/2034		1,075		1,015
Structured Asset Mortgage Investments, Inc.
2.762% due 02/25/2036		339		259
TBW Mortgage-Backed Pass-Through Certificates
2.592% due 01/25/2037		107		102
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		861		824
2.602% due 09/25/2046		1,361		1,313
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		1,990		1,878
WaMu Mortgage Pass-Through Certificates
2.772% due 10/25/2045		107		83
4.728% due 11/25/2042		107		99
4.990% due 05/25/2041		113		104
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		1,204		1,160
Total Mortgage-Backed Securities (Cost $42,079)				38,807
ASSET-BACKED SECURITIES 7.3%
ACE Securities Corp.
2.532% due 12/25/2036		330		316
2.562% due 10/25/2036		277		274
Asset-Backed Funding Certificates
2.542% due 11/25/2036		635		622
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		328		326
2.758% due 09/25/2034		151		130
Bear Stearns Asset-Backed Securities Trust
2.532% due 11/25/2036		869		828
Chase Issuance Trust
3.371% due 05/16/2011		5,600		5,627
Citigroup Mortgage Loan Trust, Inc.
2.532% due 11/25/2036		103		102
Countrywide Asset-Backed Certificates
2.532% due 05/25/2037		3,859		3,725
2.532% due 03/25/2047		280		276
2.532% due 05/25/2047		519		506
2.542% due 03/25/2037		452		443
2.552% due 06/25/2037		738		726
2.562% due 06/25/2037		657		646
2.592% due 10/25/2046		349		342
Credit-Based Asset Servicing & Securitization LLC
2.542% due 11/25/2036		692		673
First Franklin Mortgage Loan Asset-Backed Certificates
2.532% due 11/25/2036		1,161		1,116
2.532% due 12/25/2036		587		572
Fremont Home Loan Trust
2.532% due 10/25/2036		2,229		2,176
2.542% due 01/25/2037		613		579
GSR Mortgage Loan Trust
2.582% due 11/25/2030		23		23
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		430		422
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		467		448
Indymac Residential Asset-Backed Trust
2.542% due 04/25/2037		433		429
JPMorgan Mortgage Acquisition Corp.
2.532% due 08/25/2036		159		157
2.532% due 10/25/2036		3,385		3,313
Lehman XS Trust
2.552% due 05/25/2046		176		168
Long Beach Mortgage Loan Trust
2.662% due 08/25/2035		160		157
2.762% due 10/25/2034		17		14
MBNA Credit Card Master Note Trust
2.571% due 12/15/2011		2,900		2,892
Merrill Lynch Mortgage Investors, Inc.
2.512% due 06/25/2037		320		317
2.552% due 08/25/2036		1,487		1,439
Morgan Stanley ABS Capital I
2.512% due 06/25/2036		131		130
2.522% due 10/25/2036		265		261
2.532% due 10/25/2036		302		291
Option One Mortgage Loan Trust
2.522% due 02/25/2037		836		831
2.532% due 07/25/2036		90		89
Park Place Securities, Inc.
2.794% due 10/25/2034		728		636
Residential Asset Mortgage Products, Inc.
2.562% due 10/25/2036		497		466
Residential Asset Securities Corp.
2.542% due 10/25/2036		700		690
2.552% due 11/25/2036		457		452
SBI HELOC Trust
2.652% due 08/25/2036		304		291
Soundview Home Equity Loan Trust
2.532% due 10/25/2036		199		196
2.562% due 01/25/2037		2,294		2,241
Structured Asset Securities Corp.
2.532% due 10/25/2036		615		601
Total Asset-Backed Securities (Cost $37,810)				36,959
SOVEREIGN ISSUES 0.0%
China Development Bank
5.000% due 10/15/2015		100		98
Total Sovereign Issues (Cost $99)				98
FOREIGN CURRENCY-DENOMINATED ISSUES 3.2%
Bear Stearns Cos., Inc.
5.208% due 09/26/2013	EUR	2,000		2,951
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	600		318
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	9,300		12,956
Total Foreign Currency-Denominated Issues (Cost $15,860)				16,225
	Shares
PREFERRED STOCKS 0.5%
DG Funding Trust
5.041% due 12/31/2049		243		2,425
Total Preferred Stocks (Cost $2,585)				2,425
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 22.4%
Commercial Paper 9.8%
Australia & New Zealand Banking Group Ltd.
2.760% due 09/18/2008	$	19,900		19,777
Intesa Funding LLC
2.800% due 09/26/2008		10,900		10,824
UBS Finance Delaware LLC
2.525% due 07/16/2008		4,500		4,495
Westpac Trust Securities NZ Ltd.
2.770% due 09/18/2008		15,000		14,907
				50,003
Repurchase Agreements 0.9%
Deutsche Bank AG
1.500% due 07/01/2008		1,000		1,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $1,020. Repurchase proceeds are $1,000.)
State Street Bank and Trust Co.
1.650% due 07/01/2008		3,496		3,496
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $3,270 and Freddie Mac 3.250% due 02/12/2010 valued at $299. Repurchase proceeds are $3,496.)
				4,496
U.S. Treasury Bills 11.7%
1.746% due 08/28/2008 - 09/25/2008 (a)(b)		59,750		59,444
Total Short-Term Instruments (Cost $114,023)				113,943
Purchased Options (f) 0.2% (Cost $2,971)				1,206
Total Investments 160.3% (Cost $830,409)			$	815,102
Written Options (g) (0.4%) (Premiums $3,154)				(1,804	)
Other Assets and Liabilities (Net) (59.9%)				(304,737	)
Net Assets 100.0%			$	508,561

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

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

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $59,195 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(c) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $143,785 at a weighted average interest rate of 2.539%. On June 30, 2008, securities valued at $112,008 were pledged as collateral for reverse repurchase agreements.

(d) Cash of $5,661 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	30	$	1
90-Day Euribor June Futures	Long	06/2009	17		(3	)
90-Day Euribor March Futures	Long	03/2009	28		(1	)
90-Day Eurodollar December Futures	Long	12/2008	724		2,474
90-Day Eurodollar December Futures	Long	12/2009	118		(136	)
90-Day Eurodollar June Futures	Long	06/2009	268		(141	)
90-Day Eurodollar March Futures	Long	03/2009	221		80
90-Day Eurodollar March Futures	Long	03/2010	90		(96	)
90-Day Eurodollar September Futures	Long	09/2008	96		36
90-Day Eurodollar September Futures	Long	09/2009	185		(89	)
E-mini S&P 500 Index September Futures	Long	09/2008	5		(30	)
S&P 500 Index September Futures	Long	09/2008	4		(112	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	198		290
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	82		(183	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	15		(50	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	50		(69	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	100		(60	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	220		(225	)
				$	1,686

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
American Express Co. 4.875% due 07/15/2013	Sell	1.750%	03/20/2013	DUB	$	1,300	$	1
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120%	11/20/2011	LEH		4,100		32
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950%	04/20/2016	MLP		300		12
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550%	12/20/2008	RBS		5,000		5
Freddie Mac 5.080% due 02/07/2019	Sell	0.720%	03/20/2013	BCLY		1,100		5
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.620%	03/20/2011	BCLY		1,500		(30	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.640%	12/20/2012	BCLY		1,500		(55	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.550%	12/20/2012	JPM		300		(97	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.800%	12/20/2012	BNP		100		(32	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.900%	03/20/2013	GSC		800		(174	)
General Motors Corp. 7.125% due 07/15/2013	Sell	9.050%	03/20/2013	GSC		900		(193	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000%	06/20/2013	GSC		6,300		(898	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.680%	09/20/2008	LEH		3,100		(80	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.850%	09/20/2009	MLP		1,600		(250	)
GMAC LLC 6.875% due 08/28/2012	Sell	4.850%	09/20/2012	JPM		500		(138	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400%	12/20/2008	LEH		400		(1	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370%	03/20/2009	BCLY		5,600		(15	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300%	09/20/2008	RBS		600		(6	)
Multiple Reference Entities of Gazprom	Sell	1.600%	12/20/2012	BCLY		1,800		(34	)
Multiple Reference Entities of Gazprom	Sell	2.170%	02/20/2013	JPM		1,000		11
Multiple Reference Entities of Gazprom	Sell	2.180%	02/20/2013	MSC		400		5
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300%	02/20/2009	CSFB		5,780		0
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.270%	03/20/2009	CSFB		600		0
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310%	03/20/2009	MSC		3,000		3
SLM Corp. 5.125% due 08/27/2012	Sell	4.550%	03/20/2009	BOA		800		(4	)
SLM Corp. 5.125% due 08/27/2012	Sell	5.100%	06/20/2009	BCLY		100		0
SLM Corp. 5.125% due 08/27/2012	Sell	4.300%	03/20/2013	JPM		1,900		(17	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610%	02/20/2009	MSC		3,800		(20	)
Wachovia Corp. 3.625% due 02/17/2009	Sell	1.240%	03/20/2013	UBS		1,400		(49	)
							$	(2,019	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080%	12/13/2049	GSC	$	1,000	$	67
CMBX N.A. AAA 3 Index	Sell	0.080%	12/13/2049	MSC		3,400		235
Dow Jones CDX N.A. HY8 Index	Sell	0.360%	06/20/2012	CITI		4,968		(166)
Dow Jones CDX N.A. HY8 Index	Sell	0.401%	06/20/2012	CITI		994		(32)
Dow Jones CDX N.A. HY8 Index	Sell	1.833%	06/20/2012	MLP		1,000		(72)
Dow Jones CDX N.A. HY8 Index	Sell	2.080%	06/20/2012	MSC		1,000		(63)
Dow Jones CDX N.A. HY8 Index	Sell	2.144%	06/20/2012	CITI		500		(30)
Dow Jones CDX N.A. IG9 Index	Sell	0.708%	12/20/2012	DUB		3,100		24
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	BCLY		1,000		(1)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	DUB		4,800		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	GSC		10,200		63
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	MSC		8,100		30
Dow Jones CDX N.A. IG10 Index	Sell	0.530%	06/20/2013	DUB		1,000		0
							$	55

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	UBS	AUD	18,400	$	(181	)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	UBS		1,000		(1	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	5,900		19
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		8,000		23
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		7,100		(54	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		2,900		(12	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		1,100		(5	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		8,900		(33	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		1,000		(12	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		400		5
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		4,700		(23	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	CITI		38,700		(1,063	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	LEH		900		(4	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		600		5
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		900		(7	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		10,600		(264	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		5,600		(81	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		1,800		(31	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		15,100		(264	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		4,900		(151	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	2,400		(56	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM		800		(47	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS		400		(19	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.950	%	03/30/2012	RBS		500		(24	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		400		(24	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY		200		(12	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		1,700		(104	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS	AUD	5,900		(61	)
Pay	6-Month Australian Bank Bill	7.000	%	03/20/2013	DUB		1,900		(71	)
Receive	6-Month Australian Bank Bill	6.500	%	03/20/2018	DUB		2,600		55
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	BCLY	GBP	4,600		(24	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	DUB		2,700		(15	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS		2,300		(23	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY		2,700		16
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		500		0
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	GSC		5,400		(4	)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	GSC		13,600		(16	)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBS		3,800		(7	)
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC		1,600		6
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		200		(19	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		1,200		(115	)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	MLP		500		20
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	BCLY		300		40
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	DUB		1,400		(26	)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	HSBC		1,000		109
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	RBS		1,900		222
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	GSC		900		(44	)
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	RBS		300		(17	)
Receive	6-Month GBP-LIBOR	5.000	%	12/19/2037	GSC		200		(19	)
Receive	30-Day USD-CMM Rate	5.000	%	02/20/2009	MLP	$	1,500		10
Receive	30-Day USD-CMM Rate	5.500	%	05/21/2009	MLP		1,800		40
Pay	BRL-CDI-Compounded	11.360	%	01/04/2010	BCLY	BRL	3,000		(82	)
Pay	BRL-CDI-Compounded	11.430	%	01/04/2010	MLP		1,900		(50	)
Pay	BRL-CDI-Compounded	11.465	%	01/04/2010	GSC		800		(21	)
Pay	BRL-CDI-Compounded	12.410	%	01/04/2010	UBS		1,300		(16	)
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MSC		1,300		(17	)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC		2,700		(28	)
Pay	BRL-CDI-Compounded	12.948	%	01/04/2010	MLP		1,100		(9	)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		4,100		(179	)
Pay	BRL-CDI-Compounded	11.980	%	01/02/2012	MLP		2,900		(110	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MLP		3,200		(75	)
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP	$	2,100		(8	)
Pay	USSP Semi 5-Year Index	0.763	%	02/05/2009	BNP		4,200		(23	)
								$	(2,981	)

Interest Rate Cap/Floor Swaps

Counterparty

Floating Rate Index

Cap/Floor

Cap/Floor Rate

Pay/Receive Floating Rate

Premium Amount

Expiration Date

Notional Amount

Unrealized Appreciation

JPM

10/2-Year EUR ISDA rate spread

Floor

(0.750

%)

Pay

$

(15

)

12/24/2008

EUR

1,000

$

0

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)	Expiration Date	Counterparty	# of Shares/Units	Unrealized Appreciation/ (Depreciation)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.300%	10/15/2008	BEAR	749,672	$	(5,937	)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	10/15/2008	CSFB	1,124,687		(8,830	)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.200%	03/13/2009	CSFB	303,867		(2,386	)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	07/15/2008	MLP	658,273		(19,342	)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	08/18/2008	MLP	471,425		(14,275	)
Pay	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.200%	10/15/2008	MLP	145,363		2,043
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.200%	10/15/2008	MLP	952,873		(13,415	)
Receive	FTSE Research Affiliates 1000 Index	1-Month USD-LIBOR plus 0.250%	06/15/2009	MLP	594,295		(8,377	)
						$	(70,519	)

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(f) Purchased options outstanding on June 30, 2008:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	43,200	$	476	$	205
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		18,800		201		87
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		13,000		138		60
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		36,300		352		169
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		72,400		645		193
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		37,500		405		109
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		9,200		89		49
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		43,900		468		204
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		18,600		197		130
									$	2,971	$	1,206

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	141	$	81	$	53
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	141		128		45
					$	209	$	98

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009	$	11,500	$	291	$	174
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009		5,700		183		124
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		4,400		110		61
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		2,900		95		57
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		4,300		142		84
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		12,100		381		237
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		24,200		614		316
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		12,500		377		168
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		4,000		88		57
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		14,600		474		286
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		6,200		190		142
									$	2,945	$	1,706

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(4)
Fannie Mae	6.000	%	07/01/2038	$	30,000	$	29,998	$	30,267
Ginnie Mae	6.000	%	07/01/2038		900		903		914
U.S. Treasury Notes	2.000	%	02/28/2010		3,700		3,667		3,701
U.S. Treasury Notes	2.125	%	01/31/2010		5,600		5,555		5,627
U.S. Treasury Notes	2.125	%	04/30/2010		17,200		17,067		17,153
U.S. Treasury Notes	2.875	%	01/31/2013		11,400		11,062		11,364
U.S. Treasury Notes	3.125	%	11/30/2009		3,500		3,522		3,551
U.S. Treasury Notes	3.250	%	12/31/2009		2,300		2,314		2,333
U.S. Treasury Notes	3.500	%	02/15/2010		1,800		1,827		1,859
U.S. Treasury Notes	4.250	%	08/15/2013		1,600		1,667		1,699
U.S. Treasury Notes	4.500	%	05/15/2017		9,100		9,447		9,574
						$	87,029	$	88,042

⁽⁴⁾ Market value includes $451 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	417	04/2009	$	0	$	(1	)	$	(1	)
Buy	AUD	405	07/2008		3		0			3
Buy	BRL	14,864	07/2008		204		0			204
Sell		14,864	07/2008		0		(772	)		(772	)
Buy		41,973	12/2008		2,961		0			2,961
Sell		24,309	12/2008		0		(642	)		(642	)
Buy	CNY	9,407	11/2008		18		0			18
Sell	EUR	13,919	07/2008		0		(224	)		(224	)
Sell	GBP	6,871	08/2008		0		(75	)		(75	)
Buy	IDR	4,381,800	10/2008		4		0			4
Sell	INR	207,905	08/2008		288		0			288
Buy		211,293	11/2008		0		(413	)		(413	)
Sell	JPY	133,332	07/2008		0		(21	)		(21	)
Buy	KRW	2,047,902	08/2008		0		(240	)		(240	)
Sell		2,047,902	08/2008		6		0			6
Buy	KWD	32	04/2009		0		(1	)		(1	)
Buy	MXN	30,555	07/2008		216		0			216
Sell		30,555	07/2008		0		(157	)		(157	)
Buy	MYR	4,996	11/2008		0		(22	)		(22	)
Buy		3,333	02/2009		0		(21	)		(21	)
Buy	PHP	104,827	08/2008		0		(61	)		(61	)
Buy	PLN	5,553	07/2008		583		0			583
Sell		5,553	07/2008		0		(383	)		(383	)
Buy	RUB	91,133	07/2008		195		0			195
Sell		91,133	07/2008		0		(162	)		(162	)
Buy		34,322	11/2008		71		0			71
Sell		4,840	11/2008		0		(13	)		(13	)
Buy		18,115	05/2009		10		0			10
Sell		29,482	05/2009		0		(24	)		(24	)
Buy	SAR	427	04/2009		0		(1	)		(1	)
Buy	SEK	1,702	09/2008		1		0			1
Buy	SGD	3,981	11/2008		63		0			63
Buy	ZAR	565	07/2008		0		(12	)		(12	)
Sell		565	07/2008		1		0			1
Buy		11	12/2008		0		0			0
				$	4,624	$	(3,245	)	$	1,379

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0	$	813,719		$	1,383		$	815,102
Other Financial Instruments++		1,686		(92,493	)		(70,987	)		(161,794	)
Total	$	1,686	$	721,226		$	(69,604	)	$	653,308

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/(Losses)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	0		$	1,384	$	0	$	(1	)	$	0	$	1,383
Other Financial Instruments++		(42,525	)		0		0		(36,761	)		8,299		(70,987	)
Total	$	(42,525	)	$	1,384	$	0	$	(36,762	)	$	8,299	$	(69,604	)

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

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

See Accompanying Notes

Schedule of Investments

Global Bond Fund (Unhedged)

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
ARUBA 0.2%
Mizuho Finance Aruba AEC
2.005% due 04/27/2049	JPY	100,000	$	949
Mizuho Trust & Banking Co. Ltd.
2.405% due 04/27/2009		100,000		954
Total Aruba (Cost $1,737)				1,903
AUSTRALIA 2.8%
Medallion Trust
2.768% due 05/25/2035	$	2,967		2,808
Puma Finance Ltd.
2.748% due 02/21/2038		2,927		2,787
7.820% due 08/22/2037	AUD	2,645		2,482
8.073% due 07/12/2036		1,068		1,010
Queensland Treasury Corp.
6.000% due 06/14/2011		15,000		13,910
Seven Media Group
10.447% due 02/07/2013		2,514		2,242
10.510% due 02/07/2013		610		543
Torrens Trust Series 2007-1 A
8.067% due 10/19/2038		5,061		4,723
Total Australia (Cost $29,346)				30,505
BERMUDA 0.4%
Merna Reinsurance Ltd.
3.451% due 07/07/2010 (h)	$	3,800		3,556
Weatherford International Ltd.
5.500% due 02/15/2016		1,600		1,552
Total Bermuda (Cost $5,347)				5,108
CANADA 4.0%
Broadway Credit Card Trust
5.234% due 06/17/2011	CAD	5,600		5,523
Canada Housing Trust No. 1
3.950% due 06/15/2013		5,800		5,693
4.550% due 12/15/2012		12,800		12,876
Daimler Canada Finance, Inc.
4.850% due 03/30/2009		1,100		1,084
Glacier Credit Card Trust
5.027% due 02/20/2013		5,500		5,360
Honda Canada Finance, Inc.
3.453% due 03/26/2012		12,000		11,563
Province of Ontario Canada
6.200% due 06/02/2031		200		234
Province of Quebec Canada
5.750% due 12/01/2036		900		1,006
Total Canada (Cost $42,111)				43,339
CAYMAN ISLANDS 1.7%
Foundation Re II Ltd.
9.445% due 11/26/2010	$	500		504
Longpoint Re Ltd.
8.064% due 05/08/2010		700		700
Mizuho Finance Cayman Ltd.
1.060% due 09/28/2049	JPY	100,000		944
1.466% due 12/31/2049		300,000		2,854
Mizuho Financial Group Cayman Ltd.
8.375% due 12/29/2049	$	1,500		1,503
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		2,900		2,520
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	1,100		1,333
Mystic Re Ltd.
8.982% due 12/05/2008	$	250		245
11.682% due 12/05/2008		350		341
Pylon Ltd.
8.860% due 12/29/2008	EUR	1,500		2,361
Residential Reinsurance 2007 Ltd.
10.432% due 06/07/2010	$	700		702
SHL Corp. Ltd.
1.626% due 12/25/2024	JPY	5,952		55
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049	$	2,100		1,786
STB Finance Cayman
1.644% due 08/12/2049	JPY	100,000		939
Vita Capital III Ltd.
3.891% due 01/01/2011	$	2,300		2,233
Total Cayman Islands (Cost $19,224)				19,020
DENMARK 1.6%
Nordea Kredit Realkreditaktieselskab
6.000% due 07/01/2029	DKK	98		21
Nykredit Realkredit A/S
4.000% due 01/01/2010		23,500		4,842
5.000% due 10/01/2038		10,997		2,137
6.000% due 10/01/2029		719		150
Realkredit Danmark A/S
4.000% due 01/01/2010		27,200		5,617
5.000% due 10/01/2038		25,589		4,879
Total Denmark (Cost $16,316)				17,646
FRANCE 5.4%
AXA S.A.
3.750% due 01/01/2017	EUR	397		756
BNP Paribas Covered Bonds S.A.
4.750% due 05/28/2013		2,600		3,978
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049		1,800		2,413
CM-CIC Covered Bonds
5.250% due 06/09/2010		2,400		3,758
Credit Agricole S.A.
2.694% due 05/28/2010	$	4,300		4,257
France Government Bond
4.000% due 04/25/2014	EUR	600		908
4.000% due 10/25/2014		3,100		4,680
4.000% due 10/25/2038		800		1,066
4.000% due 04/25/2055		600		782
4.750% due 04/25/2035		700		1,060
5.750% due 10/25/2032		3,900		6,752
French Treasury Notes
3.500% due 01/12/2009		13,800		21,604
Societe Generale
5.922% due 12/31/2049	$	1,000		852
Vivendi
5.750% due 04/04/2013		3,400		3,365
6.625% due 04/04/2018		2,500		2,488
Total France (Cost $57,218)				58,719
GERMANY 13.1%
Deutsche Bank AG
5.375% due 10/12/2012	$	2,300		2,337
6.000% due 09/01/2017		1,900		1,925
Republic of Germany
4.250% due 01/04/2014	EUR	4,400		6,795
4.250% due 07/04/2039		4,700		6,674
4.500% due 01/04/2013		3,040		4,745
4.750% due 07/04/2028		1,300		1,997
4.750% due 07/04/2034		6,200		9,498
5.000% due 01/04/2012		3,200		5,084
5.500% due 01/04/2031		6,200		10,445
5.625% due 01/04/2028		35,800		60,909
6.250% due 01/04/2024		8,400		15,123
6.250% due 01/04/2030		3,100		5,694
6.500% due 07/04/2027		5,980		11,185
Total Germany (Cost $141,794)				142,411
ICELAND 0.2%
Glitnir Banki HF
3.204% due 01/18/2012	$	1,900		1,473
Kaupthing Bank HF
5.750% due 10/04/2011		900		729
Total Iceland (Cost $2,803)				2,202
IRELAND 2.2%
Atlas Reinsurance PLC
8.947% due 01/10/2010	EUR	2,000		3,186
Bank of Ireland
2.819% due 12/19/2008	$	2,400		2,399
Cars Alliance Funding PLC
4.861% due 10/08/2023	EUR	2,300		3,519
Celtic Residential Irish Mortgage Securitisation
4.702% due 06/13/2035		1,948		2,933
Immeo Residential Finance PLC
5.118% due 12/15/2016		1,750		2,512
Ireland Government Bond
4.400% due 06/18/2019		4,800		7,135
Osiris Capital PLC
7.713% due 01/15/2010	$	500		504
SC Germany Auto
4.545% due 08/11/2015	EUR	830		1,291
Talisman Finance PLC
4.994% due 04/22/2017		846		1,281
Total Ireland (Cost $23,613)				24,760
ITALY 2.4%
Italy Buoni Poliennali Del Tesoro
4.250% due 08/01/2014	EUR	6,900		10,451
4.500% due 05/01/2009		4,150		6,521
5.500% due 11/01/2010		1,400		2,230
Locat Securitisation Vehicle Srl
5.140% due 12/12/2024		1,458		2,236
Siena Mortgages SpA
5.188% due 12/16/2038		2,906		4,465
Total Italy (Cost $24,910)				25,903
JAPAN 25.5%
Development Bank of Japan
4.250% due 06/09/2015	$	2,300		2,267
Japan Government Bond
1.100% due 09/20/2012	JPY	7,190,000		67,819
1.500% due 12/20/2017		380,000		3,562
1.600% due 09/20/2013		1,030,000		9,911
1.800% due 06/20/2017		4,000,000		38,557
2.300% due 06/20/2035		2,440,000		22,516
2.400% due 03/20/2034		590,000		5,565
2.500% due 09/20/2035		1,460,000		14,038
2.500% due 09/20/2036		1,250,000		11,980
2.500% due 09/20/2037		680,000		6,531
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		443,960		4,145
1.000% due 06/10/2016		1,526,610		14,346
1.100% due 12/10/2016		1,797,160		16,991
1.200% due 03/10/2017		171,190		1,627
1.200% due 06/10/2017		4,149,200		39,307
1.200% due 12/10/2017		1,175,850		11,118
JLOC LLC
1.222% due 01/15/2015		92,796		865
Resona Bank Ltd.
5.850% due 09/29/2049	$	3,800		3,276
Sumitomo Mitsui Banking Corp.
1.764% due 12/31/2049	JPY	100,000		944
1.844% due 12/01/2049		200,000		1,896
5.625% due 07/29/2049	$	900		810
Total Japan (Cost $267,549)				278,071
JERSEY, CHANNEL ISLANDS 0.6%
Arran Master Trust
2.827% due 12/15/2012	$	800		774
Haus Ltd.
4.779% due 12/10/2037	EUR	571		880
HSBC Capital Funding LP
9.547% due 12/29/2049	$	5,400		5,637
Total Jersey, Channel Islands (Cost $7,149)				7,291
LUXEMBOURG 0.3%
Telecom Italia Capital S.A.
6.999% due 06/04/2018	$	3,000		3,034
Total Luxembourg (Cost $3,000)				3,034
MEXICO 0.1%
C10 Capital SPV Ltd.
6.722% due 12/31/2049	$	1,200		1,106
Total Mexico (Cost $1,200)				1,106
NETHERLANDS 3.2%
Delphinus BV
5.109% due 04/25/2093	EUR	2,000		3,129
5.147% due 11/28/2031		2,773		4,332
Deutsche Telekom International Finance BV
8.750% due 06/15/2030	$	600		691
Dutch Mortgage Portfolio Loans BV
5.109% due 11/20/2035	EUR	1,765		2,732
Dutch Mortgage-Backed Securities BV
4.715% due 07/02/2077		329		518
5.007% due 10/02/2079		778		1,216
5.088% due 11/02/2035		116		182
Generali Finance BV
5.479% due 02/28/2049		900		1,232
Globaldrive BV
4.777% due 06/20/2015		800		1,140
Holland Euro-Denominated Mortgage-Backed Series
5.044% due 04/18/2012		316		497
Netherlands Government Bond
3.750% due 07/15/2014		2,700		4,030
5.000% due 07/15/2011		2,100		3,327
Rabobank Nederland NV
3.119% due 05/19/2010	$	11,400		11,386
Siemens Financieringsmaatschappij NV
2.728% due 08/14/2009		800		800
Total Netherlands (Cost $30,868)				35,212
NETHERLANDS ANTILLES 0.1%
BTMU Curacao Holdings
1.020% due 12/31/2049	JPY	100,000		946
Total Netherlands Antilles (Cost $851)				946
NEW ZEALAND 0.1%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	907		929
Total New Zealand (Cost $419)				929
NORWAY 0.4%
DnB NOR Boligkreditt
4.500% due 05/16/2011	EUR	2,600		4,047
Total Norway (Cost $4,000)				4,047
RUSSIA 0.4%
Gaz Capital S.A.
7.343% due 04/11/2013	$	1,400		1,438
8.146% due 04/11/2018		1,100		1,143
VTB Capital S.A.
6.875% due 12/11/2008		2,100		2,129
Total Russia (Cost $4,606)				4,710
SOUTH KOREA 0.3%
Export-Import Bank of Korea
5.750% due 05/22/2013	EUR	1,800		2,729
Total South Korea (Cost $2,771)				2,729
SPAIN 1.2%
Banco Bilbao Vizcaya Argentaria S.A.
2.750% due 06/07/2010	EUR	900		1,345
Bankinter S.A.
5.000% due 05/14/2010		1,900		2,944
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	2,500		2,422
Spain Government Bond
4.200% due 07/30/2013	EUR	2,900		4,436
4.200% due 01/31/2037		1,300		1,756
5.750% due 07/30/2032		30		51
Total Spain (Cost $12,427)				12,954
SWITZERLAND 2.4%
Credit Suisse New York, Inc.
5.000% due 05/15/2013	$	10,800		10,526
UBS AG
3.704% due 05/05/2010		9,200		9,169
3.729% due 06/19/2010		3,900		3,891
5.875% due 12/20/2017		2,900		2,830
Total Switzerland (Cost $26,773)				26,416
TUNISIA 0.3%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	2,600		3,392
Total Tunisia (Cost $3,146)				3,392
UNITED KINGDOM 4.3%
Bank of Scotland PLC
5.625% due 05/23/2013	EUR	7,900		12,002
Barclays Bank PLC
6.050% due 12/04/2017	$	7,900		7,768
7.434% due 09/29/2049		2,500		2,351
7.700% due 04/29/2049		2,500		2,556
Bauhaus Securities Ltd.
5.168% due 10/30/2052	EUR	3,057		4,711
HBOS PLC
5.920% due 09/29/2049	$	3,900		2,783
6.750% due 05/21/2018		3,000		2,877
Lloyds TSB Bank PLC
5.625% due 07/15/2049	EUR	2,410		3,728
Tate & Lyle International Finance PLC
5.000% due 11/15/2014	$	400		372
United Kingdom Gilt
4.500% due 12/07/2042	GBP	2,900		5,646
Weather Investments II SARL
10.920% due 12/17/2014	EUR	1,000		1,587
XL Capital Finance Europe PLC
6.500% due 01/15/2012	$	300		294
Total United Kingdom (Cost $45,595)				46,675
UNITED STATES 77.1%
Asset-Backed Securities 3.9%
AFC Home Equity Loan Trust
3.192% due 12/22/2027	$	29		17
Amortizing Residential Collateral Trust
3.182% due 10/25/2031		34		32
Amresco Residential Securities Mortgage Loan Trust
3.422% due 06/25/2029		54		53
BA Credit Card Trust
3.051% due 04/15/2013		8,900		8,888
3.671% due 12/16/2013		4,000		4,062
Bear Stearns Asset-Backed Securities Trust
2.882% due 10/27/2032		81		74
2.932% due 03/25/2043		50		50
3.142% due 10/25/2032		44		38
Capital Auto Receivables Asset Trust
3.171% due 09/15/2010		1,700		1,703
Chase Issuance Trust
2.491% due 03/15/2013		5,600		5,515
3.371% due 05/16/2011		3,100		3,115
CS First Boston Mortgage Securities Corp.
3.102% due 01/25/2032		28		26
Ford Credit Auto Owner Trust
3.371% due 01/15/2011		5,300		5,316
3.891% due 06/15/2012		4,300		4,345
HSI Asset Securitization Corp. Trust
2.542% due 05/25/2037		935		855
Lehman XS Trust
2.652% due 04/25/2046		2,000		1,865
MBNA Credit Card Master Note Trust
2.461% due 09/15/2011		900		897
Residential Asset Mortgage Products, Inc.
3.042% due 06/25/2032		30		26
Residential Asset Securities Corp.
2.982% due 07/25/2032		108		94
Saxon Asset Securities Trust
3.022% due 01/25/2032		20		20
SLC Student Loan Trust
2.674% due 02/15/2015		3,052		3,043
SLM Student Loan Trust
3.800% due 12/15/2038		1,200		1,191
Wells Fargo Home Equity Trust
2.712% due 10/25/2035		1,831		1,765
2.722% due 11/25/2035		252		250
				43,240
Bank Loan Obligations 1.0%
Daimler Finance North America LLC
6.780% due 08/03/2012		8,436		6,987
Ford Motor Co.
5.480% due 12/15/2013		988		799
Georgia-Pacific Corp.
4.399% due 12/20/2012		190		180
4.446% due 12/20/2012		1,619		1,531
4.551% due 12/20/2012		145		138
HCA, Inc.
5.051% due 11/18/2013		1,876		1,765
				11,400
Commodity Index-Linked Notes 0.3%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		3,000		2,980
Corporate Bonds & Notes 28.0%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		500		502
Allstate Life Global Funding II
3.328% due 05/21/2010		8,100		8,053
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		2,500		2,494
American Electric Power Co., Inc.
5.250% due 06/01/2015		3,000		2,895
American Express Bank FSB
2.542% due 04/26/2010		2,700		2,660
2.625% due 06/12/2012		800		745
5.500% due 04/16/2013		5,200		5,092
American Express Co.
7.000% due 03/19/2018		5,900		5,991
American Express Credit Corp.
5.875% due 05/02/2013		1,800		1,792
American International Group, Inc.
4.875% due 03/15/2067	EUR	1,400		1,655
5.850% due 01/16/2018	$	3,000		2,819
8.000% due 05/22/2038	EUR	6,500		10,104
8.175% due 05/15/2058	$	5,100		4,818
Amgen, Inc.
2.726% due 11/28/2008		1,200		1,196
Anadarko Petroleum Corp.
6.125% due 03/15/2012		1,000		1,031
AutoZone, Inc.
5.875% due 10/15/2012		7,800		7,790
Bank of America Corp.
4.750% due 05/23/2017	EUR	3,800		5,446
8.000% due 12/29/2049	$	4,600		4,320
8.125% due 12/29/2049		6,100		5,774
Bank of America N.A.
3.316% due 05/12/2010		2,400		2,390
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		3,700		3,852
7.250% due 02/01/2018		11,600		12,143
Boston Scientific Corp.
6.000% due 06/15/2011		1,000		982
6.400% due 06/15/2016		1,700		1,606
Caterpillar Financial Services Corp.
3.329% due 06/25/2010		6,000		5,997
3.559% due 06/24/2011		2,800		2,799
Charter One Bank N.A.
2.957% due 04/24/2009		4,500		4,488
Citigroup Capital XXI
8.300% due 12/21/2057		8,800		8,347
Citigroup Funding, Inc.
3.820% due 05/07/2010		2,000		1,985
Citigroup, Inc.
5.500% due 04/11/2013		5,000		4,887
6.000% due 08/15/2017		2,300		2,201
6.125% due 05/15/2018		8,000		7,681
8.400% due 04/29/2049		2,000		1,904
CNA Financial Corp.
6.000% due 08/15/2011		800		804
Computer Sciences Corp.
6.500% due 03/15/2018		3,000		3,024
Cox Communications, Inc.
6.750% due 03/15/2011		700		723
CVS Caremark Corp.
5.750% due 08/15/2011		300		308
Daimler Finance North America LLC
3.138% due 03/13/2009		3,300		3,291
4.875% due 06/15/2010		300		302
5.750% due 09/08/2011		400		408
Exelon Corp.
4.900% due 06/15/2015		3,000		2,767
General Electric Capital Corp.
2.826% due 12/12/2008		1,100		1,098
4.625% due 09/15/2066	EUR	1,000		1,325
6.375% due 11/15/2067	$	2,400		2,276
GMAC LLC
4.750% due 09/14/2009	EUR	600		794
Goldman Sachs Group, Inc.
5.250% due 06/01/2016 (h)	CAD	2,200		2,022
5.375% due 02/15/2013	EUR	800		1,198
6.150% due 04/01/2018	$	2,800		2,725
6.250% due 09/01/2017		2,900		2,876
7.250% due 04/10/2028	GBP	200		415
HCP, Inc.
5.950% due 09/15/2011	$	300		292
HJ Heinz Finance Co.
6.000% due 03/15/2012		900		927
Home Depot, Inc.
5.250% due 12/16/2013		3,000		2,883
International Lease Finance Corp.
5.300% due 05/01/2012		1,000		884
5.350% due 03/01/2012		1,000		896
6.625% due 11/15/2013		3,000		2,700
Johnson Controls, Inc.
5.250% due 01/15/2011		900		911
JPMorgan & Co., Inc. CPI Linked Bond
5.886% due 02/15/2012		760		780
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	1,800		1,660
6.000% due 01/15/2018	$	4,900		4,789
JPMorgan Chase Bank N.A.
4.375% due 11/30/2021	EUR	2,300		3,034
6.000% due 10/01/2017	$	5,500		5,360
JPMorgan Chase Capital XX
6.550% due 09/29/2036		1,300		1,130
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		1,200		1,034
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038		3,300		3,290
Kraft Foods, Inc.
6.250% due 06/01/2012		900		921
Lehman Brothers Holdings, Inc.
2.820% due 11/16/2009		6,700		6,387
5.625% due 01/24/2013		3,700		3,507
6.875% due 05/02/2018		6,100		5,924
Lennar Corp.
5.950% due 10/17/2011		900		756
Loews Corp.
5.250% due 03/15/2016		300		291
Macy’s Retail Holdings, Inc.
4.800% due 07/15/2009		300		294
Marsh & McLennan Cos., Inc.
5.375% due 07/15/2014		3,000		2,919
Masco Corp.
5.875% due 07/15/2012		300		287
Merrill Lynch & Co., Inc.
2.768% due 08/14/2009		400		387
2.901% due 03/23/2010		1,571		1,474
4.966% due 05/12/2010		9,300		9,157
6.875% due 04/25/2018		5,700		5,442
Metropolitan Life Global Funding I
5.125% due 04/10/2013		5,000		4,931
Morgan Stanley
4.778% due 05/14/2010		4,200		4,186
6.000% due 04/28/2015		6,500		6,232
6.250% due 08/28/2017		400		374
6.625% due 04/01/2018		5,700		5,418
National Rural Utilities Cooperative Finance Corp.
3.566% due 07/01/2010		2,700		2,699
Nationwide Health Properties, Inc.
6.500% due 07/15/2011		900		912
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		1,000		981
NiSource Finance Corp.
5.400% due 07/15/2014		300		281
Nordstrom, Inc.
6.250% due 01/15/2018		3,000		2,930
Nucor Corp.
5.850% due 06/01/2018		3,000		3,041
Pricoa Global Funding I
3.473% due 06/04/2010		5,700		5,697
Principal Life Income Funding Trusts
5.300% due 04/24/2013		3,100		3,105
Reynolds American, Inc.
3.476% due 06/15/2011		400		380
Ryder System, Inc.
3.500% due 03/15/2009		1,000		999
6.000% due 03/01/2013		3,000		3,008
Sara Lee Corp.
6.250% due 09/15/2011		900		922
Sealed Air Corp.
6.950% due 05/15/2009		800		811
Simon Property Group LP
6.125% due 05/30/2018		2,000		1,952
Spectra Energy Capital LLC
5.668% due 08/15/2014		3,000		2,938
Sprint Capital Corp.
8.750% due 03/15/2032		200		191
Sprint Nextel Corp.
6.000% due 12/01/2016		700		603
State Street Capital Trust IV
3.776% due 06/15/2037		2,400		1,852
SUPERVALU, Inc.
7.500% due 11/15/2014		200		201
Target Corp.
7.000% due 01/15/2038		2,800		2,884
Verizon Communications, Inc.
4.350% due 02/15/2013		4,000		3,854
5.500% due 04/01/2017		700		675
Viacom, Inc.
5.750% due 04/30/2011		2,000		2,007
Wachovia Mortgage FSB
2.798% due 05/08/2009		4,700		4,672
WEA Finance LLC
7.125% due 04/15/2018		3,000		3,084
Wells Fargo & Co.
4.375% due 01/31/2013		2,500		2,424
				305,355
Mortgage-Backed Securities 10.4%
Adjustable Rate Mortgage Trust
5.141% due 09/25/2035		241		230
American Home Mortgage Assets Trust
4.448% due 11/25/2046		1,340		990
American Home Mortgage Investment Trust
4.290% due 10/25/2034		1,238		1,087
Banc of America Funding Corp.
4.622% due 02/20/2036		1,116		1,058
6.141% due 01/20/2047		336		273
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		2,995		2,891
BCAP LLC Trust
2.652% due 01/25/2037		4,832		3,094
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		6,426		6,145
4.415% due 05/25/2034		676		637
4.476% due 02/25/2034		44		43
4.550% due 08/25/2035		6,394		6,140
4.629% due 05/25/2034		231		221
4.641% due 10/25/2033		345		332
4.760% due 11/25/2034		497		484
Bear Stearns Alt-A Trust
5.701% due 09/25/2035		1,656		1,367
5.784% due 11/25/2036		5,119		4,151
5.916% due 02/25/2036		2,919		2,250
5.920% due 11/25/2036		668		480
Bear Stearns Structured Products, Inc.
5.674% due 01/26/2036		2,395		1,993
Citigroup Commercial Mortgage Trust
5.889% due 12/10/2049		1,400		1,324
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		1,246		1,178
4.748% due 08/25/2035		1,208		1,152
4.900% due 10/25/2035		6,862		6,666
Countrywide Alternative Loan Trust
2.832% due 05/25/2037		707		486
5.250% due 06/25/2035		461		400
6.000% due 01/25/2037		1,843		1,477
6.250% due 08/25/2037		348		262
Countrywide Home Loan Mortgage Pass-Through Trust
2.802% due 03/25/2035		3,415		2,638
2.812% due 02/25/2035		524		425
4.799% due 11/25/2034		454		437
4.842% due 04/20/2035		232		225
5.607% due 08/25/2034		129		108
CS First Boston Mortgage Securities Corp.
4.688% due 08/25/2033		527		515
5.097% due 07/25/2033		41		39
5.550% due 05/25/2032		23		23
6.500% due 04/25/2033		84		79
First Horizon Asset Securities, Inc.
4.384% due 12/25/2033		353		344
4.464% due 07/25/2033		149		146
5.368% due 08/25/2035		244		233
GMAC Mortgage Corp. Loan Trust
4.305% due 06/25/2034		62		50
5.500% due 09/25/2034		1,838		1,818
GMAC Mortgage Securities Inc.
7.430% due 12/01/2021		46		46
Greenpoint Mortgage Funding Trust
2.562% due 01/25/2047		491		466
2.682% due 10/25/2046		1,600		839
Greenpoint Mortgage Pass-Through Certificates
4.392% due 10/25/2033		67		64
GSR Mortgage Loan Trust
4.510% due 03/25/2033		331		317
Harborview Mortgage Loan Trust
2.672% due 01/19/2038		857		614
5.145% due 07/19/2035		116		107
5.172% due 05/19/2033		500		483
Indymac Index Mortgage Loan Trust
2.682% due 11/25/2046		1,903		931
5.044% due 12/25/2034		131		114
JPMorgan Alternative Loan Trust
5.500% due 11/25/2036		1,151		1,025
JPMorgan Chase Commercial Mortgage Securities Corp.
5.429% due 12/12/2043		1,300		1,234
6.465% due 11/15/2035		2,300		2,365
JPMorgan Mortgage Trust
4.386% due 11/25/2033		364		357
5.020% due 02/25/2035		711		671
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		169		169
MASTR Adjustable Rate Mortgages Trust
4.133% due 07/25/2034		473		456
MASTR Alternative Loans Trust
2.882% due 03/25/2036		396		282
Mellon Residential Funding Corp.
2.911% due 12/15/2030		842		783
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		1,200		1,114
6.156% due 08/12/2049		2,700		2,614
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		4,212		3,388
2.732% due 08/25/2036		336		213
6.239% due 02/25/2033		230		227
MLCC Mortgage Investors, Inc.
4.430% due 10/25/2035		1,774		1,681
Residential Accredit Loans, Inc.
2.662% due 06/25/2046		3,787		2,716
2.692% due 04/25/2046		415		297
2.712% due 05/25/2037		969		503
2.788% due 09/25/2046		800		329
Residential Asset Securitization Trust
5.750% due 02/25/2036		596		501
Residential Funding Mortgage Securities I
5.209% due 09/25/2035		209		183
6.500% due 03/25/2032		90		88
Sequoia Mortgage Trust
2.829% due 07/20/2033		879		787
2.832% due 10/19/2026		436		413
Structured Adjustable Rate Mortgage Loan Trust
4.180% due 02/25/2034		237		211
4.590% due 04/25/2034		538		514
5.210% due 09/25/2034		1,110		1,075
Structured Asset Mortgage Investments, Inc.
2.692% due 05/25/2046		943		675
2.732% due 07/19/2035		1,747		1,338
2.772% due 07/19/2034		237		204
Wachovia Bank Commercial Mortgage Trust
2.551% due 06/15/2020		8,443		7,817
5.572% due 10/15/2048		4,300		4,124
WaMu Mortgage Pass-Through Certificates
2.712% due 04/25/2045		1,389		1,094
2.742% due 11/25/2045		621		477
2.792% due 01/25/2045		647		501
3.022% due 12/25/2027		2,218		2,026
4.134% due 08/25/2034		1,572		1,505
4.229% due 03/25/2034		1,024		1,003
4.268% due 01/25/2047		987		748
4.561% due 06/25/2033		175		171
5.756% due 03/25/2033		1,037		1,034
Washington Mutual Alternative Mortgage Pass-Through Certificates
4.288% due 04/25/2047		1,419		806
4.298% due 04/25/2047		897		514
4.468% due 07/25/2046		712		504
Wells Fargo Mortgage-Backed Securities Trust
4.622% due 06/25/2035		6,630		6,519
				113,128
Municipal Bonds & Notes 1.4%
California State General Obligation Bonds, Series 2007
5.000% due 11/01/2032		5,000		4,958
5.000% due 12/01/2037		600		589
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
10.579% due 01/01/2014		270		238
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.125% due 06/01/2047		1,200		918
Harris County, Texas General Obligation Bonds, Series 2003
5.000% due 08/01/2033		400		401
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		285		287
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
5.600% due 06/01/2034		5,600		4,894
6.500% due 06/01/2023		715		658
Los Angeles, California Wastewater System Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 06/01/2027		900		905
Louisville & Jefferson Counties, Kentucky Metropolitan Sewer District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		100		101
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
10.679% due 12/15/2013		370		340
New York State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
5.500% due 06/01/2017		200		207
New York State Tobacco Settlement Financing Corp. Revenue Notes, Series 2003
5.250% due 06/01/2013		620		621
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		600		41
				15,158
	Shares
Preferred Stocks 0.1%
DG Funding Trust
5.041% due 12/31/2049		130		1,297
	Principal Amount (000s)
U.S. Government Agencies 31.8%
Fannie Mae
2.682% due 10/27/2037	$	5,700		5,453
4.205% due 11/01/2034 (c)		5,375		5,476
4.940% due 12/01/2034 (c)		896		902
5.000% due 11/25/2032		4,400		4,129
5.000% due 07/01/2018 - 04/01/2038 (c)		24,555		23,358
5.070% due 05/01/2035 (c)		554		552
5.352% due 03/01/2024		22		23
5.500% due 10/01/2017 - 09/01/2037 (c)		88,256		87,236
5.500% due 09/25/2024 - 07/01/2038		6,008		6,055
6.000% due 01/01/2036 - 05/01/2038 (c)		101,886		102,934
6.470% due 09/25/2012		1,000		1,095
6.500% due 06/01/2029 - 10/01/2037 (c)		3,671		3,786
6.500% due 08/01/2037 - 07/01/2038		3,658		3,767
6.950% due 11/01/2023		10		10
9.000% due 04/01/2016		2		2
15.750% due 12/01/2011		0		1
Federal Farm Credit Bank
7.530% due 04/15/2009		475		492
Federal Home Loan Bank
5.750% due 08/15/2011		500		531
7.400% due 02/01/2021		137		137
Financing Corp.
0.000% due 12/27/2018		12,100		7,419
Freddie Mac
2.821% due 12/15/2030		557		550
4.500% due 02/15/2020		8,626		8,547
4.994% due 10/25/2044		4,113		4,002
5.000% due 12/15/2031		3,600		3,496
5.333% due 04/01/2037 (c)		1,587		1,611
5.381% due 04/01/2037 (c)		143		145
5.500% due 07/01/2037 (c)		1,918		1,891
5.832% due 05/01/2023		75		75
6.632% due 02/01/2029 (c)		328		332
Ginnie Mae
3.071% due 02/16/2030		249		252
5.125% due 12/20/2023 - 12/20/2026		76		77
5.250% due 01/20/2030		73		74
5.375% due 02/20/2024 (c)		149		149
5.625% due 07/20/2022 - 09/20/2026		162		163
6.000% due 08/20/2034 - 07/01/2038		30,403		30,897
6.375% due 05/20/2022 - 05/20/2030		197		201
6.500% due 07/01/2038		34,000		35,121
8.500% due 01/15/2030 - 02/15/2031 (c)		186		205
Small Business Administration
6.640% due 02/01/2011		150		155
7.640% due 03/10/2010		36		37
Tennessee Valley Authority
5.880% due 04/01/2036		3,900		4,226
7.140% due 05/23/2012		1,000		1,114
				346,678
U.S. Treasury Obligations 0.2%
U.S. Treasury Strips
0.000% due 08/15/2024		3,500		1,642
Total United States (Cost $858,038)				840,878
SHORT-TERM INSTRUMENTS 9.4%
Certificates of Deposit 0.6%
Unicredito Italiano NY
3.071% due 05/18/2009		6,100		6,100
Commercial Paper 4.7%
Citibank N.A.
3.570% due 08/19/2008		6,500		6,468
Federal Home Loan Bank
2.000% due 07/01/2008		20,000		20,000
Lloyds TSB Bank PLC
2.490% due 07/01/2008		25,300		25,300
				51,768
Repurchase Agreements 0.5%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		5,864		5,864
(Dated 06/30/2008. Collateralized by Fannie Mae 0.000% due 09/24/2008 valued at $5,982. Repurchase proceeds are $5,864.)
U.S. Treasury Bills 3.6%
1.843% due 08/28/2008 - 09/25/2008 (a)(b)		39,000		38,767
Total Short-Term Instruments (Cost $102,577)				102,499
Purchased Options (f) 0.8% (Cost $8,453)				8,648
Total Investments 160.5% (Cost $1,743,841)			$	1,751,053
Written Options (g) (0.8%) (Premiums $8,269)				(8,384	)
Other Assets and Liabilities (Net) (59.7%)				(651,715	)
Net Assets 100.0%			$	1,090,954

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 $36,780 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(c) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $168,548 at a weighted average interest rate of 2.476%. On June 30, 2008, securities valued at $230,245 were pledged as collateral for reverse repurchase agreements.

(d) Cash of $15,245 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
3-Month Canadian Bankers’ Acceptance December Futures	Short	12/2008	196	$	181
3-Month Canadian Bankers’ Acceptance March Futures	Short	03/2009	153		210
3-Month Canadian Bankers’ Acceptance September Futures	Short	09/2008	19		25
90-Day Euribor December Futures	Long	12/2008	1		0
90-Day Euribor March Futures	Short	03/2009	208		1,153
90-Day Euribor September Futures	Short	09/2008	278		11
90-Day Eurodollar December Futures	Long	12/2008	802		(165	)
90-Day Eurodollar December Futures	Long	12/2009	1,587		(2,895	)
90-Day Eurodollar March Futures	Long	03/2009	88		30
90-Day Eurodollar March Futures	Long	03/2010	315		(905	)
90-Day Eurodollar September Futures	Long	09/2008	47		35
90-Day Eurodollar September Futures	Long	09/2009	1,455		(3,624	)
Australia Government 3-Year Bond September Futures	Short	09/2008	258		(181	)
Australia Government 10-Year Bond September Futures	Short	09/2008	85		(129	)
Euro-Bobl September Futures	Short	09/2008	92		227
Euro-Bobl September Futures Call Options Strike @ EUR 115.500	Long	09/2008	199		0
Euro-Bobl September Futures Call Options Strike @ EUR 117.000	Long	09/2008	44		0
Euro-Bund 10-Year Bond September Futures	Long	09/2008	256		(500	)
Euro-Bund 10-Year Bond September Futures Put Options Strike @ EUR 104.000	Long	09/2008	609		0
Euro-Schatz September Futures	Short	09/2008	1,062		1,130
Euro-Schatz September Futures Call Options Strike @ EUR 108.000	Long	09/2008	1,582		0
Japan Government 10-Year Bond September Futures	Short	09/2008	8		(227	)
U.S. Treasury 2-Year Note September Futures	Short	09/2008	2,011		(600	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	4,240		3,328
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	54		46
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Short	09/2009	8		20
United Kingdom Government 10-Year Bond September Futures	Short	09/2008	53		189
				$	(2,641	)

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Ace INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	06/20/2014	DUB	$	500	$	9
Akzo Nobel NV 4.250% due 06/14/2011	Buy	(0.290	%)	06/20/2012	DUB	EUR	600		8
American Electric Power Co., Inc. 5.250% due 06/01/2015	Buy	(0.450	%)	06/20/2015	WAC	$	3,000		44
Anadarko Petroleum Corp. 6.125% due 03/15/2012	Buy	(0.330	%)	03/20/2012	BCLY		1,000		9
AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.920	%)	06/20/2013	RBS		3,000		1
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012	CITI		800		7
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.620	%)	12/20/2012	BOA		7,000		74
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.875	%)	06/20/2013	BCLY		2,000		5
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017	BOA		800		27
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017	JPM		400		13
Barclays Bank PLC 4.566% due 10/27/2015	Sell	1.480	%	03/20/2013	LEH	EUR	1,700		43
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(2.275	%)	03/20/2018	JPM	$	5,500		(496	)
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(2.180	%)	03/20/2018	BNP		5,100		(424	)
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(0.770	%)	03/20/2018	DUB		1,000		20
Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.510	%)	06/20/2011	MLP		1,000		35
Boston Scientific Corp. 6.400% due 06/15/2016	Buy	(2.060	%)	06/20/2016	UBS		1,700		(24	)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	08/20/2011	LEH		8,100		137
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.340	%	08/20/2011	MLP		9,000		170
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.350	%	08/20/2011	LEH		6,600		127
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011	LEH		3,100		62
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	08/20/2011	MSC		6,500		132
Carnival Corp. 6.650% due 01/15/2028	Buy	(0.210	%)	06/20/2012	GSC		900		36
Citigroup, Inc. 6.500% due 01/18/2011	Buy	(1.420	%)	09/20/2013	BCLY		3,800		(4	)
Citigroup, Inc. 6.500% due 01/18/2011	Buy	(1.336	%)	09/20/2018	DUB		1,500		12
Citigroup, Inc. 6.500% due 01/18/2011	Buy	(1.300	%)	09/20/2018	CSFB		10,000		107
CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011	BEAR		800		11
Compass Group PLC 6.375% due 05/29/2012	Buy	(0.390	%)	06/20/2012	MLP	EUR	800		3
Computer Sciences Corp. 6.500% due 03/15/2018	Buy	(1.160	%)	03/20/2018	BOA	$	3,000		(91	)
Cox Communications, Inc. 6.750% due 03/15/2011	Buy	(0.200	%)	03/20/2011	MSC		700		8
CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	09/20/2011	RBS		300		3
Daimler Canada Finance, Inc. 4.850% due 03/30/2009	Buy	(0.350	%)	06/20/2009	RBC		1,000		2
Daimler Finance N.A. LLC 4.875% due 06/15/2010	Buy	(0.520	%)	06/20/2010	BEAR		300		1
Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.620	%)	09/20/2011	RBS		400		2
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS		7,400		7
Deutsche Bank AG 5.500% due 05/18/2011	Buy	(0.920	%)	06/20/2013	BNP		1,000		2
Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012	BEAR		700		8
Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.485	%)	06/20/2017	BOA		600		10
Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.470	%)	06/20/2017	BCLY		400		7
Exelon Corp. 4.900% due 06/15/2015	Buy	(1.260	%)	06/20/2015	CITI		3,000		(13	)
Fannie Mae 5.500% due 06/09/2033	Buy	(0.520	%)	06/20/2013	LEH		6,300		32
Fannie Mae 5.500% due 06/09/2033	Buy	(0.570	%)	09/20/2013	JPM		4,800		17
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	7.400	%	03/20/2009	JPM		3,300		(83	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	7.500	%	03/20/2009	CITI		5,100		(125	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	5.000	%	06/20/2009	CITI		700		(1	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	3.950	%	12/20/2012	BOA		1,100		(263	)
Ford Motor Credit Co. LLC 7.875% due 06/15/2010	Buy	(2.310	%)	06/20/2010	LEH		1,000		159
Freddie Mac 4.500% due 01/15/2014	Buy	(0.570	%)	09/20/2013	JPM		5,700		21
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.770	%	03/20/2009	BOA		200		0
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.850	%	03/20/2009	DUB		400		(1	)
Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.290	%)	03/20/2012	RBS		1,900		431
GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.520	%)	06/20/2012	WAC		600		(4	)
GMAC LLC 6.875% due 08/28/2012	Sell	9.600	%	03/20/2009	GSC		2,100		(68	)
Goldman Sachs Group, Inc. 5.250% due 06/01/2016	Buy	(0.310	%)	06/20/2016	UBS		1,100		72
H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	03/20/2012	BEAR		1,000		0
HCP, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	09/20/2011	JPM		300		18
Home Depot, Inc. 5.250% due 12/16/2013	Buy	(0.980	%)	12/20/2013	MSC		3,000		46
HSBC Finance Corp. 7.000% due 05/15/2012	Sell	1.500	%	06/20/2010	GSC		1,600		(16	)
ICI Wilmington, Inc. 5.625% due 12/01/2013	Buy	(0.340	%)	06/20/2012	GSC	EUR	600		(6	)
International Lease Finance Corp. 5.300% due 05/01/2012	Buy	(1.620	%)	06/20/2012	JPM	$	1,000		62
International Lease Finance Corp. 5.350% due 03/01/2012	Buy	(0.130	%)	03/20/2012	MLP		1,000		110
International Lease Finance Corp. 6.625% due 11/15/2013	Buy	(1.540	%)	12/20/2013	BCLY		3,000		175
International Paper Co. 5.850% due 10/30/2012	Buy	(0.460	%)	06/20/2012	BEAR		2,000		126
International Paper Co. 5.850% due 10/30/2012	Buy	(0.700	%)	06/20/2017	DUB		400		47
JC Penney Corp., Inc. 8.000% due 03/01/2010	Sell	0.990	%	09/20/2010	GSC		500		(4	)
Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.240	%)	03/20/2011	CSFB		900		16
JPMorgan Chase & Co. 5.058% until 02/22/2016 and 1-Month CAD Offered Rate plus 1.000% thereafter, due 02/22/2021	Buy	(0.310	%)	03/20/2016	RBC		1,600		85
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.740	%)	03/20/2018	DUB		2,600		58
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.730	%)	03/20/2018	UBS		1,700		39
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.720	%)	03/20/2018	DUB		600		14
Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.490	%)	12/20/2011	RBS		900		194
Koninklijke DSM NV 4.000% due 11/10/2015	Buy	(0.365	%)	06/20/2012	GSC	EUR	900		7
Kraft Foods, Inc. 6.250% due 06/01/2012	Buy	(0.170	%)	06/20/2012	BEAR	$	1,000		27
Lehman Brothers Holdings, Inc. 6.875% due 05/02/2018	Buy	(1.600	%)	06/20/2018	DUB		3,000		133
Lehman Brothers Holdings, Inc. 6.875% due 05/02/2018	Buy	(1.552	%)	06/20/2018	JPM		3,100		151
Lennar Corp. 5.950% due 10/17/2011	Buy	(5.750	%)	12/20/2012	MLP		900		32
Lockheed Martin Corp. 7.650% due 05/01/2016	Buy	(0.089	%)	06/20/2012	MSC		900		6
Loews Corp. 5.250% due 03/15/2016	Buy	(0.330	%)	03/20/2016	BEAR		300		2
Loews Corp. 8.875% due 04/15/2011	Buy	(0.120	%)	06/20/2012	BOA		400		3
Macy’s Retail Holdings, Inc. 4.800% due 07/15/2009	Buy	(0.190	%)	09/20/2009	BOA		300		5
Marsh & McLennan Cos., Inc, 5.375% due 07/15/2014	Buy	(0.590	%)	09/20/2014	DUB		3,000		31
Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	09/20/2012	MSC		300		22
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.580	%)	06/20/2012	MLP		1,400		77
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.060	%)	06/20/2017	UBS		1,000		80
Morgan Stanley 6.600% due 04/01/2012	Buy	(1.800	%)	09/20/2018	BCLY		4,300		28
Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008	HSBC		2,100		4
Multiple Reference Entities of Gazprom	Sell	1.300	%	12/20/2008	HSBC		5,900		13
Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008	CSFB		1,500		3
Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008	MSC		1,200		3
Multiple Reference Entities of Gazprom	Sell	0.610	%	05/20/2012	MLP		1,200		(57	)
Nationwide Health Properties, Inc. 6.500% due 07/15/2011	Buy	(0.620	%)	09/20/2011	DUB		1,100		27
Newell Rubbermaid, Inc. 4.000% due 05/01/2010	Buy	(0.190	%)	06/20/2010	LEH		1,000		8
NiSource Finance Corp. 5.400% due 07/15/2014	Buy	(0.620	%)	09/20/2014	BEAR		300		13
Noble Corp. 5.875% due 06/01/2013	Buy	(0.542	%)	06/20/2012	BOA		300		1
Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012	BCLY		300		1
Nordstrom, Inc. 6.250% due 01/15/2018	Buy	(1.120	%)	03/20/2018	BOA		3,000		10
Nucor Corp. 5.850% due 06/01/2018	Buy	(0.530	%)	06/20/2018	GSC		3,000		2
Progress Energy, Inc. 5.625% due 01/15/2016	Buy	(0.105	%)	06/20/2012	MSC		800		10
RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.430	%)	06/20/2013	RBS		2,400		78
RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.410	%)	06/20/2013	GSC		3,700		123
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.630	%	12/20/2008	GSC		5,900		6
Ryder System, Inc. 3.500% due 03/15/2009	Buy	(0.110	%)	03/20/2009	BCLY		1,000		1
Ryder System, Inc. 6.000% due 03/01/2013	Buy	(0.850	%)	03/20/2013	BOA		3,000		23
Sara Lee Corp. 6.250% due 09/15/2011	Buy	(0.350	%)	09/20/2011	LEH		900		1
SCA Finans AB 4.500% due 07/15/2015	Buy	(0.250	%)	06/20/2012	GSC	EUR	1,000		40
Sealed Air Corp. 6.950% due 05/15/2009	Buy	(0.200	%)	06/20/2009	BCLY	$	900		4
Simon Property Group LP 6.125% due 05/30/2018	Buy	(0.947	%)	06/20/2018	DUB		2,000		41
SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009	DUB		3,000		(47	)
SLM Corp. 5.125% due 08/27/2012	Sell	3.300	%	03/20/2009	GSC		300		(4	)
SLM Corp. 5.125% due 08/27/2012	Sell	3.800	%	03/20/2009	GSC		1,500		(15	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.300	%	03/20/2009	CITI		700		(5	)
SLM Corp. 5.125% due 08/27/2012	Sell	0.700	%	06/20/2012	GSC		600		(80	)
Spain Government Bond 5.500% due 07/30/2017	Sell	0.270	%	03/20/2013	DUB		23,300		(16	)
Spain Government Bond 5.500% due 07/30/2017	Sell	0.270	%	03/20/2013	JPM		9,300		(13	)
Spain Government Bond 5.500% due 07/30/2017	Sell	0.435	%	03/20/2013	GSC		11,900		69
Spectra Energy Capital LLC 5.668% due 08/15/2014	Buy	(0.830	%)	09/20/2014	BOA		3,000		10
Sprint Nextel Corp. 6.000% due 12/01/2016	Buy	(1.065	%)	12/20/2016	BEAR		700		75
SUPERVALU, Inc. 7.500% due 05/15/2012	Sell	2.450	%	09/20/2012	RBS		600		12
Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014	DUB		400		25
Telecom Italia Capital S.A. 6.999% due 06/04/2018	Buy	(1.530	%)	06/20/2018	JPM		3,000		41
Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.700	%)	09/20/2010	MSC		200		(5	)
United Utilities PLC 6.875% due 08/15/2028	Buy	(0.235	%)	06/20/2012	DUB	EUR	600		17
Verizon Communications, Inc. 5.500% due 04/01/2017	Buy	(0.550	%)	06/20/2017	LEH	$	700		17
Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	06/20/2011	MSC		300		2
Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011	UBS		800		(16	)
Vivendi 6.625% due 04/04/2018	Buy	(1.500	%)	06/20/2018	JPM		2,500		0
WEA Finance LLC 7.125% due 04/15/2018	Buy	(2.080	%)	06/20/2018	HSBC		3,000		(37	)
Weatherford International Ltd. 5.500% due 02/15/2016	Buy	(0.560	%)	03/20/2016	BOA		1,600		38
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.990	%)	06/20/2017	LEH		1,900		149
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.895	%)	06/20/2017	BCLY		600		51
XL Capital Finance Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	03/20/2012	BCLY		400		37
								$	2,505

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012	DUB	$	600	$	(38	)
Dow Jones CDX N.A. HY8 Index	Sell	2.170	%	06/20/2012	CITI		9,300		(556	)
Dow Jones CDX N.A. HY8 Index	Sell	3.297	%	06/20/2012	CITI		1,100		(21	)
Dow Jones CDX N.A. HY8 Index	Sell	3.884	%	06/20/2012	MLP		1,200		2
Dow Jones CDX N.A. HY8 Index	Sell	3.920	%	06/20/2012	LEH		1,200		4
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	BCLY		2,000		122
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	BOA		4,400		268
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	GSC		9,000		541
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	JPM		2,100		127
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	LEH		8,900		531
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	MSC		9,400		571
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	UBS		4,700		285
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	CSFB		13,700		681
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	GSC		91,600		3,168
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	DUB		7,700		16
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		700		3
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		18,000		43
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		2,200		9
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		2,000		8
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	GSC		17,500		361
Dow Jones iTraxx Europe 9MAIN Index	Buy	(1.750	%)	06/20/2018	DUB	EUR	22,000		512
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	BCLY		5,300		448
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	BNP		2,300		196
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	HSBC		700		60
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	JPM		1,900		158
Home Equity Index AA Rating 2006-1	Sell	0.320	%	07/25/2045	CSFB	$	3,000		(217	)
Home Equity Index AAA Rating 2006-1	Sell	0.180	%	07/25/2045	DUB		6		0
Home Equity Index AAA Rating 2006-2	Sell	0.110	%	05/25/2046	LEH		1,800		(4	)
								$	7,278

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	6.500%	01/15/2009	CITI	AUD	23,700	$	(194	)
Pay	3-Month Australian Bank Bill	6.500%	01/15/2009	DUB		52,430		(416	)
Pay	3-Month Australian Bank Bill	7.000%	09/15/2009	BCLY		16,800		(162	)
Pay	3-Month Australian Bank Bill	7.000%	09/15/2009	JPM		16,800		(154	)
Receive	3-Month Canadian Bank Bill	4.500%	09/20/2011	BSN	CAD	2,300		(4	)
Receive	3-Month Canadian Bank Bill	4.500%	09/20/2011	RBC		2,800		(4	)
Receive	3-Month Canadian Bank Bill	4.250%	12/20/2013	RBC		6,800		(35	)
Receive	3-Month Canadian Bank Bill	5.000%	06/15/2015	CITI		2,300		(33	)
Pay	3-Month USD-LIBOR	4.000%	12/17/2009	DUB	$	43,200		(126	)
Pay	3-Month USD-LIBOR	4.000%	12/17/2010	RBS		72,000		170
Pay	3-Month USD-LIBOR	4.000%	06/17/2011	RBS		298,100		(2,830	)
Receive	3-Month USD-LIBOR	4.000%	12/17/2013	CITI		15,200		52
Receive	3-Month USD-LIBOR	4.000%	12/17/2013	MSC		54,500		64
Receive	3-Month USD-LIBOR	4.000%	12/17/2013	RBS		27,900		(121	)
Receive	3-Month USD-LIBOR	5.000%	12/17/2015	CITI		88,100		682
Receive	3-Month USD-LIBOR	5.000%	12/17/2015	DUB		68,800		1,287
Receive	3-Month USD-LIBOR	5.000%	12/17/2015	MSC		18,800		30
Receive	3-Month USD-LIBOR	5.000%	12/17/2015	RBS		18,300		31
Receive	3-Month USD-LIBOR	5.000%	12/18/2015	BCLY		175,200		(728	)
Receive	3-Month USD-LIBOR	5.000%	06/20/2017	BCLY		24,500		(504	)
Receive	3-Month USD-LIBOR	5.000%	06/20/2017	BOA		2,100		(93	)
Receive	3-Month USD-LIBOR	5.000%	06/20/2017	CITI		22,000		(485	)
Receive	3-Month USD-LIBOR	5.000%	06/20/2017	CSFB		5,800		(150	)
Receive	3-Month USD-LIBOR	5.000%	06/20/2017	JPM		1,500		(91	)
Receive	3-Month USD-LIBOR	5.000%	06/20/2017	LEH		7,800		(386	)
Receive	3-Month USD-LIBOR	5.000%	06/20/2017	MLP		6,100		(300	)
Receive	3-Month USD-LIBOR	5.000%	06/20/2017	RBS		41,000		(2,181	)
Receive	3-Month USD-LIBOR	5.000%	12/17/2018	CITI		22,100		(99	)
Receive	3-Month USD-LIBOR	5.000%	12/17/2018	DUB		7,700		(145	)
Receive	3-Month USD-LIBOR	5.000%	12/17/2018	RBS		16,900		(360	)
Receive	3-Month USD-LIBOR	5.000%	12/17/2023	BOA		5,100		(87	)
Receive	3-Month USD-LIBOR	5.000%	12/17/2023	RBS		33,400		(510	)
Receive	3-Month USD-LIBOR	6.000%	12/17/2031	GSC		13,400		(2,285	)
Receive	3-Month USD-LIBOR	6.000%	12/17/2031	MSC		5,500		(1,150	)
Receive	3-Month USD-LIBOR	5.000%	12/17/2038	CITI		2,500		7
Receive	3-Month USD-LIBOR	5.000%	12/17/2038	LEH		5,500		(126	)
Receive	3-Month USD-LIBOR	5.000%	12/17/2038	MLP		3,900		50
Receive	3-Month USD-LIBOR	5.000%	12/17/2038	MSC		5,800		(101	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090%	10/15/2010	BNP	EUR	9,000		(201	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103%	10/15/2010	BCLY		17,000		(340	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146%	10/15/2010	UBS		14,200		(289	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948%	03/15/2012	BCLY		2,300		(134	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.965%	03/15/2012	LEH		1,400		(72	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995%	03/15/2012	GSC		2,500		(140	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.950%	03/30/2012	RBS		500		(24	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958%	04/10/2012	JPM		600		(37	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.080%	06/15/2012	GSC		10,800		(580	)
Pay	6-Month Australian Bank Bill	6.000%	06/15/2010	CITI	AUD	38,900		(1,650	)
Pay	6-Month Australian Bank Bill	6.000%	06/15/2010	UBS		30,000		(1,228	)
Pay	6-Month Australian Bank Bill	7.000%	06/15/2010	MSC		23,700		(408	)
Pay	6-Month Australian Bank Bill	7.500%	03/15/2011	UBS		60,400		(128	)
Pay	6-Month Australian Bank Bill	7.500%	06/15/2011	DUB		83,500		585
Pay	6-Month Australian Bank Bill	7.250%	06/16/2011	DUB		54,300		(710	)
Pay	6-Month Australian Bank Bill	7.250%	06/16/2011	UBS		22,400		(269	)
Pay	6-Month Australian Bank Bill	7.250%	06/15/2013	CSFB		6,800		(120	)
Receive	6-Month Australian Bank Bill	6.000%	06/15/2015	CITI		22,300		1,965
Receive	6-Month Australian Bank Bill	6.000%	06/15/2015	UBS		20,000		1,787
Receive	6-Month Australian Bank Bill	6.500%	06/15/2017	DUB		18,500		671
Receive	6-Month Australian Bank Bill	6.500%	06/15/2017	MSC		22,100		762
Receive	6-Month Australian Bank Bill	7.000%	03/15/2019	UBS		3,100		29
Pay	6-Month EUR-LIBOR	4.000%	09/19/2009	MSC	EUR	6,300		(135	)
Pay	6-Month EUR-LIBOR	4.000%	03/19/2010	BCLY		29,400		(685	)
Pay	6-Month EUR-LIBOR	4.500%	03/19/2010	GSC		65,200		(1,550	)
Pay	6-Month EUR-LIBOR	4.500%	03/19/2010	JPM		18,700		(530	)
Pay	6-Month EUR-LIBOR	4.500%	03/19/2010	LEH		29,600		(778	)
Pay	6-Month EUR-LIBOR	4.500%	03/19/2010	MSC		75,300		(1,741	)
Pay	6-Month EUR-LIBOR	4.000%	06/17/2010	BCLY		1,400		(123	)
Pay	6-Month EUR-LIBOR	4.000%	06/17/2010	GSC		400		(20	)
Pay	6-Month EUR-LIBOR	4.000%	06/17/2010	JPM		20		(2	)
Pay	6-Month EUR-LIBOR	4.000%	06/17/2010	MLP		400		(35	)
Pay	6-Month EUR-LIBOR	4.000%	06/17/2010	UBS		3,400		(289	)
Pay	6-Month EUR-LIBOR	3.500%	09/17/2010	CITI		10,000		(493	)
Pay	6-Month EUR-LIBOR	4.000%	12/15/2011	DUB		1,300		(56	)
Pay	6-Month EUR-LIBOR	3.750%	06/18/2013	GSC		73,100		(6,388	)
Pay	6-Month EUR-LIBOR	4.000%	09/17/2013	DUB		6,600		(482	)
Pay	6-Month EUR-LIBOR	4.000%	09/17/2013	GSC		5,200		(349	)
Pay	6-Month EUR-LIBOR	4.000%	09/17/2013	JPM		39,200		(2,951	)
Pay	6-Month EUR-LIBOR	4.000%	09/17/2013	MSC		14,400		(1,055	)
Pay	6-Month EUR-LIBOR	4.000%	12/15/2014	MSC		4,000		(217	)
Receive	6-Month EUR-LIBOR	4.000%	12/15/2014	DUB		30,600		2,609
Receive	6-Month EUR-LIBOR	4.000%	12/15/2014	GSC		20,500		1,876
Receive	6-Month EUR-LIBOR	4.000%	12/15/2014	MSC		1,900		193
Receive	6-Month EUR-LIBOR	4.000%	06/15/2017	CSFB		27,700		3,181
Receive	6-Month EUR-LIBOR	4.000%	06/15/2017	MSC		7,100		614
Receive	6-Month EUR-LIBOR	5.000%	03/19/2018	BCLY		3,600		150
Receive	6-Month EUR-LIBOR	5.000%	09/17/2018	BCLY		1,700		30
Receive	6-Month EUR-LIBOR	5.000%	09/17/2018	DUB		3,200		66
Receive	6-Month EUR-LIBOR	5.000%	09/17/2018	JPM		1,700		34
Receive	6-Month EUR-LIBOR	5.000%	09/17/2018	RBS		1,700		31
Pay	6-Month EUR-LIBOR	4.500%	06/18/2034	MSC		11,200		37
Pay	6-Month EUR-LIBOR	4.500%	06/18/2034	RBS		2,200		8
Receive	6-Month EUR-LIBOR	6.000%	06/18/2034	GSC		500		(26	)
Receive	6-Month EUR-LIBOR	5.000%	03/19/2038	DUB		1,300		(41	)
Receive	6-Month EUR-LIBOR	5.000%	03/19/2038	GSC		6,700		(198	)
Receive	6-Month EUR-LIBOR	5.000%	09/17/2038	BCLY		2,500		8
Receive	6-Month EUR-LIBOR	5.000%	09/17/2038	BNP		1,200		(7	)
Receive	6-Month EUR-LIBOR	5.000%	09/17/2038	CITI		1,300		16
Receive	6-Month EUR-LIBOR	5.000%	09/17/2038	DUB		6,400		43
Receive	6-Month EUR-LIBOR	5.000%	09/17/2038	JPM		6,800		690
Receive	6-Month EUR-LIBOR	5.000%	09/17/2038	RBS		1,300		(6	)
Receive	6-Month EUR-LIBOR	5.000%	03/18/2039	BCLY		2,600		(10	)
Receive	6-Month EUR-LIBOR	5.000%	03/18/2039	BNP		200		(1	)
Pay	6-Month GBP-LIBOR	5.000%	06/15/2009	GSC	GBP	27,400		(358	)
Receive	6-Month GBP-LIBOR	5.000%	06/15/2009	CITI		27,400		642
Pay	6-Month GBP-LIBOR	5.300%	03/14/2010	RBS		6,000		(189	)
Pay	6-Month GBP-LIBOR	5.350%	03/14/2010	GSC		11,700		(347	)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2010	BCLY		5,900		(268	)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2010	DUB		9,100		(362	)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2010	GSC		12,300		(501	)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2010	HSBC		8,000		(352	)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2010	MSC		18,700		320
Pay	6-Month GBP-LIBOR	4.500%	09/17/2010	BCLY		11,700		(669	)
Pay	6-Month GBP-LIBOR	5.000%	03/20/2013	DUB		10,800		(579	)
Pay	6-Month GBP-LIBOR	5.000%	03/20/2013	GSC		10,800		(541	)
Pay	6-Month GBP-LIBOR	5.500%	03/20/2013	GSC		14,400		(730	)
Pay	6-Month GBP-LIBOR	5.000%	09/17/2013	GSC		16,800		(1,507	)
Pay	6-Month GBP-LIBOR	5.000%	09/17/2013	HSBC		21,000		(2,007	)
Pay	6-Month GBP-LIBOR	5.000%	09/17/2013	RBC		7,600		(678	)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2015	BCLY		1,500		(147	)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2015	CITI		2,200		(227	)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2015	DUB		1,800		(176	)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2015	GSC		6,400		(561	)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2015	HSBC		700		(75	)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2015	JPM		3,900		(392	)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2015	RBS		10,200		(495	)
Receive	6-Month GBP-LIBOR	4.500%	09/15/2017	BCLY		25,100		210
Pay	6-Month GBP-LIBOR	5.000%	03/20/2018	MLP		3,300		(206	)
Pay	6-Month GBP-LIBOR	5.000%	03/20/2018	MSC		5,300		(370	)
Receive	6-Month GBP-LIBOR	5.000%	06/18/2018	BCLY		3,000		(37	)
Receive	6-Month GBP-LIBOR	5.000%	09/17/2018	BCLY		2,000		125
Receive	6-Month GBP-LIBOR	5.000%	09/17/2018	CITI		2,000		106
Receive	6-Month GBP-LIBOR	5.000%	09/17/2018	HSBC		2,000		116
Receive	6-Month GBP-LIBOR	5.000%	09/17/2018	MSC		7,900		527
Receive	6-Month GBP-LIBOR	5.500%	09/17/2018	DUB		7,800		182
Receive	6-Month GBP-LIBOR	5.500%	09/17/2018	HSBC		7,700		(86	)
Receive	6-Month GBP-LIBOR	4.000%	12/15/2035	BCLY		13,900		256
Receive	6-Month GBP-LIBOR	4.000%	12/15/2035	HSBC		1,300		84
Pay	6-Month GBP-LIBOR	4.250%	06/12/2036	BCLY		1,000		(119	)
Pay	6-Month GBP-LIBOR	5.000%	03/18/2039	BCLY		2,200		(48	)
Receive	6-Month JPY-LIBOR	2.035%	05/18/2010	GSC	JPY	360,000		(57	)
Receive	6-Month JPY-LIBOR	1.300%	12/17/2010	DUB		2,040,000		(39	)
Receive	6-Month JPY-LIBOR	1.300%	09/21/2011	GSC		1,040,000		18
Pay	6-Month JPY-LIBOR	1.500%	06/17/2013	UBS		3,840,000		179
Pay	6-Month JPY-LIBOR	1.750%	12/17/2015	MSC		8,220,000		806
Pay	6-Month JPY-LIBOR	1.750%	12/17/2015	RBS		2,490,000		213
Receive	6-Month JPY-LIBOR	1.980%	09/27/2016	MSC		1,900,000		(422	)
Receive	6-Month JPY-LIBOR	2.000%	12/17/2017	BCLY		1,000,000		(106	)
Receive	6-Month JPY-LIBOR	2.000%	12/17/2017	DUB		3,890,000		(435	)
Receive	6-Month JPY-LIBOR	2.000%	12/17/2017	RBS		4,130,000		(468	)
Receive	6-Month JPY-LIBOR	2.500%	12/20/2027	DUB		250,000		(42	)
Receive	6-Month JPY-LIBOR	2.250%	06/20/2036	MSC		470,000		208
Receive	6-Month JPY-LIBOR	3.000%	06/20/2036	GSC		780,000		(493	)
Receive	30-Day USD-CMM Rate	5.500%	05/21/2009	MLP	$	6,000		131
							$	(30,566	)

(f) Purchased options outstanding on June 30, 2008:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	110.500	08/22/2008	786	$	27	$	13
Call - CBOT U.S. Treasury 2-Year Note September Futures		111.000	08/22/2008	1,445		49		23
Call - CBOT U.S. Treasury 5-Year Note September Futures		126.000	08/22/2008	446		8		4
Call - CBOT U.S. Treasury 10-Year Note September Futures		126.000	08/22/2008	26	$	0	$	0
Call - CBOT U.S. Treasury 10-Year Note September Futures		135.000	08/22/2008	1,890		34		31
Put - CBOT U.S. Treasury 10-Year Note September Futures		88.000	08/22/2008	160		3		2
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	3,826		69		57
Put - CBOT U.S. Treasury 10-Year Note September Futures		99.000	08/22/2008	100		2		2
Put - CBOT U.S. Treasury 10-Year Note September Futures		102.000	08/22/2008	175		3		3
					$	195	$	135

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	JPM	6-Month EUR-LIBOR	Pay	4.000	%	09/14/2009	EUR	27,000	$	144	$	75
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	270,000		1,458		1,280
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		109,200		1,087		1,911
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		42,500		427		744
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		96,500		1,131		978
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/03/2009		243,600		2,524		1,193
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		18,600		190		326
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		53,100		560		778
									$	7,521	$	7,285

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Euro versus U.S. dollar	$	1.150	07/09/2008	EUR	20,000	$	1	$	0
Put - OTC Euro versus U.S. dollar		1.190	07/09/2008		62,000		5		0
Call - OTC Euro versus U.S. dollar		1.367	05/19/2010		2,100		101		384
Put - OTC Euro versus U.S. dollar		1.367	05/19/2010		2,100		101		61
Call - OTC Euro versus U.S. dollar		1.375	05/21/2010		1,700		80		300
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		1,700		80		52
Call - OTC U.S. dollar versus Japanese yen	JPY	115.000	07/09/2008	$	40,000		2		2
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		4,000		192		173
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		4,000		147		248
						$	709	$	1,220

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Fannie Mae 6.500% due 09/01/2038	$	107.000	09/04/2008	$	20,000	$	2	$	3
Call - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017		106.500	09/04/2008		10,000		1		0
Call - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017		107.000	09/04/2008		10,000		1		1
Call - OTC Treasury Inflation Protected Securities 3.250% due 12/15/2009		104.641	07/25/2008		23,000		3		0
Call - OTC Treasury Inflation Protected Securities 3.250% due 12/15/2009		104.641	07/25/2008		23,200		3		0
Call - OTC Treasury Inflation Protected Securities 4.250% due 11/15/2013		121.000	07/25/2008		35,500		4		0
Call - OTC U.S. Treasury Note 4.250% due 08/15/2013		120.000	07/25/2008		20,300		2		0
Call - OTC U.S. Treasury Note 4.625% due 07/31/2012		115.500	10/10/2008		6,000		1		1
Put - OTC Fannie Mae 5.500% due 08/01/2038		86.000	08/06/2008		15,000		2		0
Put - OTC Fannie Mae 6.500% due 07/01/2038		87.000	07/07/2008		10,500		1		0
Put - OTC Ginnie Mae 6.000% due 08/01/2038		90.000	08/13/2008		10,000		1		0
Put - OTC Ginnie Mae 6.000% due 09/01/2038		85.500	09/15/2008		16,000		2		2
Put - OTC Ginnie Mae 6.500% due 09/01/2038		91.500	09/15/2008		31,000		4		1
Put - OTC Ginnie Mae 6.500% due 09/01/2038		92.000	09/15/2008		5,000		1		0
						$	28	$	8

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Put - CBOT U.S. Treasury 10-Year Note August Futures	$	109.500	07/25/2008	105	$	61	$	4
Put - CBOT U.S. Treasury 10-Year Note August Futures		110.500	07/25/2008	349		204		29
					$	265	$	33

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Put -OTC 30-Year Interest Rate Swap	CITI	6-Month EUR-LIBOR	Pay	5.200	%	12/15/2008	EUR	3,200	$	73	$	89
Put - OTC 30-Year Interest Rate Swap	GSC	6-Month EUR-LIBOR	Pay	5.200	%	12/15/2008		5,700		148		147
Call - OTC 2-Year Interest Rate Swap	HSBC	6-Month EUR-LIBOR	Receive	5.290	%	06/10/2009		12,500		166		144
Put - OTC 2-Year Interest Rate Swap	HSBC	6-Month EUR-LIBOR	Pay	5.290	%	06/10/2009		12,500		166		141
Put - OTC 30-Year Interest Rate Swap	JPM	6-Month EUR-LIBOR	Pay	5.000	%	09/15/2008		6,200		94		210
Call - OTC 7-Year Interest Rate Swap	JPM	6-Month EUR-LIBOR	Receive	4.230	%	09/14/2009		8,800		129		78
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009	$	90,000		1,323		1,212
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		36,400		978		1,690
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		14,200		385		659
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		32,200		1,083		1,034
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	08/03/2009		105,900		2,540		1,720
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		6,200		172		288
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		17,700		514		717
									$	7,771	$	8,129

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Brazilian real	BRL	1.650	07/24/2008	$	3,700	$	19	$	19
Call - OTC U.S. dollar versus Brazilian real		1.630	07/29/2008		5,600		40		53
Put - OTC U.S. dollar versus Japanese yen	JPY	80.000	08/21/2008		5,200		26		2
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		1,400		74		61
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		1,400		74		87
						$	233	$	222

(h) Restricted securities as of June 30, 2008:

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	$	1,986	$	2,022	0.18	%
Merna Reinsurance Ltd.	3.451	%	07/07/2010	09/21/2007		3,772		3,556	0.33	%
					$	5,758	$	5,578	0.51	%

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	02/13/2017	$	15,000	$	15,086	$	15,648
Fannie Mae	5.000	%	07/01/2038		12,000		11,443		11,503
Fannie Mae	5.500	%	07/01/2038		27,000		26,543		26,616
Fannie Mae	6.000	%	07/01/2038		68,500		69,151		69,110
Fannie Mae	6.500	%	07/01/2038		24,500		25,099		25,223
U.S. Treasury Bonds	5.000	%	05/15/2037		3,500		3,607		3,803
U.S. Treasury Notes	2.500	%	03/31/2013		3,100		2,941		3,017
U.S. Treasury Notes	3.250	%	12/31/2009		23,200		23,355		23,539
U.S. Treasury Notes	3.375	%	06/30/2013		7,800		7,771		7,838
U.S. Treasury Notes	3.500	%	02/15/2018		2,700		2,557		2,642
U.S. Treasury Notes	3.875	%	05/15/2018		2,600		2,519		2,599
U.S. Treasury Notes	4.250	%	08/15/2013		20,300		21,146		21,552
U.S. Treasury Notes	4.250	%	11/15/2013		38,200		39,961		40,157
U.S. Treasury Notes	4.500	%	11/15/2015		29,760		30,892		31,598
U.S. Treasury Notes	4.500	%	02/15/2016		2,500		2,592		2,682
U.S. Treasury Notes	4.500	%	05/15/2017		99,100		101,063		104,142
U.S. Treasury Notes	4.625	%	07/31/2012		6,000		6,214		6,459
U.S. Treasury Notes	4.625	%	02/15/2017		22,900		23,717		24,603
U.S. Treasury Notes	4.875	%	05/31/2011		100		104		106
U.S. Treasury Notes	5.125	%	05/15/2016		32,100		35,032		35,304
						$	450,793	$	458,141

⁽³⁾ Market value includes $2,988 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	14,909	04/2009	$	0	$	(41	)	$	(41	)
Sell	AUD	23,277	07/2008		0		(162	)		(162	)
Buy		513	08/2008		2		0			2
Buy	BRL	74,006	07/2008		6,782		0			6,782
Sell		74,006	07/2008		0		(3,417	)		(3,417	)
Buy		27,949	12/2008		481		0			481
Sell		18,238	12/2008		0		(972	)		(972	)
Sell	CAD	5,632	08/2008		51		0			51
Buy	CLP	66,358	07/2008		0		(7	)		(7	)
Sell		66,358	07/2008		15		0			15
Sell		83,585	12/2008		15		0			15
Buy		66,358	05/2009		0		(15	)		(15	)
Buy	CNY	91,240	07/2008		354		0			354
Sell		91,240	07/2008		0		(349	)		(349	)
Buy		21,618	11/2008		53		0			53
Buy		128,748	05/2009		185		(5	)		180
Buy		21,410	05/2010		0		(35	)		(35	)
Sell	DKK	44,568	09/2008		0		(171	)		(171	)
Buy	EUR	175,291	07/2008		2,822		0			2,822
Sell		4,559	07/2008		0		(105	)		(105	)
Buy	GBP	20,874	08/2008		236		0			236
Sell	HKD	599	07/2008		0		0			0
Buy	HUF	530	07/2008		0		0			0
Sell		530	07/2008		0		0			0
Buy		530	11/2008		0		0			0
Buy	INR	29,643	08/2008		0		(63	)		(63	)
Buy		241,332	11/2008		0		(472	)		(472	)
Buy	JPY	28,908,064	07/2008		4,233		0			4,233
Sell		619,200	07/2008		0		(90	)		(90	)
Buy	KRW	9,271,396	08/2008		0		(309	)		(309	)
Sell		3,756,896	08/2008		355		0			355
Buy	MXN	5,546	07/2008		36		0			36
Sell		5,546	07/2008		0		(36	)		(36	)
Buy		712	11/2008		0		0			0
Buy	MYR	59,702	11/2008		0		(845	)		(845	)
Sell	NZD	8,862	07/2008		0		(42	)		(42	)
Buy	PHP	133,480	08/2008		0		(106	)		(106	)
Buy	PLN	371	07/2008		39		0			39
Sell		371	07/2008		0		(15	)		(15	)
Buy		145	05/2009		2		0			2
Buy	RUB	18,874	07/2008		58		0			58
Sell		18,874	07/2008		0		(12	)		(12	)
Buy		174,410	11/2008		340		0			340
Sell		38,454	11/2008		0		(88	)		(88	)
Buy		18,874	05/2009		18		0			18
Buy	SAR	12,489	04/2009		0		(34	)		(34	)
Buy	SEK	48,644	09/2008		36		0			36
Buy	SGD	2,479	08/2008		75		0			75
Sell		1,746	08/2008		0		(25	)		(25	)
Buy		8,986	11/2008		238		0			238
Buy	TWD	60,810	09/2008		0		(10	)		(10	)
Buy	ZAR	2,858	07/2008		0		(16	)		(16	)
Sell		2,858	07/2008		0		(10	)		(10	)
Buy		2,858	12/2008		10		0			10
				$	16,436	$	(7,452	)	$	8,984

(k) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	4		$	1,720,835		$	30,214		$	1,751,053
Other Financial Instruments++		(2,641	)		(473,519	)		(1,817	)		(477,977	)
Total	$	(2,637	)	$	1,247,316		$	28,397		$	1,273,076

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	18,383	$	18,321	$	10	$	93		$	(6,593	)	$	30,214
Other Financial Instruments++		12		0		0		(1,829	)		0			(1,817	)
Total	$	18,395	$	18,321	$	10	$	(1,736	)	$	(6,593	)	$	28,397

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

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

See Accompanying Notes

Schedule of Investments

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

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
AUSTRALIA 1.2%
BHP Billiton Finance Ltd.
5.125% due 03/29/2012	$	200	$	200
Crusade Global Trust
5.000% due 11/19/2037	EUR	349		529
Puma Finance Ltd.
2.748% due 02/21/2038	$	612		583
7.820% due 08/22/2037	AUD	741		695
8.073% due 07/12/2036		209		197
Torrens Trust Series 2007-1 A
8.067% due 10/19/2038		1,012		945
Total Australia (Cost $3,158)				3,149
BERMUDA 0.2%
Merna Reinsurance Ltd.
3.451% due 07/07/2010 (i)	$	700		655
Total Bermuda (Cost $695)				655
CANADA 2.6%
Broadway Credit Card Trust
5.234% due 06/17/2011	CAD	1,400		1,381
Canada Housing Trust No. 1
3.950% due 06/15/2013		3,700		3,632
Citigroup Finance Canada, Inc.
5.500% due 05/21/2013		200		192
Province of Quebec Canada
5.125% due 11/14/2016	$	300		309
Rogers Communications, Inc.
7.625% due 12/15/2011	CAD	300		313
Toronto-Dominion Bank
5.375% due 05/14/2015	EUR	600		912
Total Canada (Cost $6,734)				6,739
CAYMAN ISLANDS 0.9%
Mizuho Financial Group Cayman Ltd.
8.375% due 12/29/2049	$	700		702
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		800		695
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	300		364
Residential Reinsurance 2007 Ltd.
10.432% due 06/07/2010	$	500		501
SHL Corp. Ltd.
1.626% due 12/25/2024	JPY	289		3
Total Cayman Islands (Cost $2,398)				2,265
DENMARK 3.0%
Nordea Kredit Realkreditaktieselskab
6.000% due 07/01/2029	DKK	28		6
Nykredit Realkredit A/S
4.000% due 01/01/2010		18,400		3,791
6.000% due 10/01/2029		192		40
Realkredit Danmark A/S
4.000% due 01/01/2010		8,800		1,815
5.000% due 10/01/2038		12,196		2,326
Total Denmark (Cost $7,454)				7,978
FRANCE 8.5%
AXA S.A.
3.750% due 01/01/2017	EUR	50		95
BNP Paribas Covered Bonds S.A.
4.750% due 05/28/2013		600		918
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049		300		402
CM-CIC Covered Bonds
5.250% due 06/09/2010		500		783
Credit Agricole S.A.
2.694% due 05/28/2010	$	900		891
6.637% due 05/29/2049		500		417
France Government Bond
4.000% due 04/25/2014	EUR	9,300		14,076
4.000% due 10/25/2014		700		1,057
4.000% due 10/25/2038		400		533
4.000% due 04/25/2055		100		130
4.750% due 04/25/2035		100		151
5.750% due 10/25/2032		1,200		2,077
Vivendi
5.750% due 04/04/2013	$	700		693
6.625% due 04/04/2018		100		100
Total France (Cost $22,204)				22,323
GERMANY 11.4%
Deutsche Bank AG
4.875% due 05/20/2013	$	1,000		985
5.375% due 10/12/2012		500		508
Republic of Germany
4.000% due 07/04/2016	EUR	2,900		4,373
4.000% due 01/04/2037		1,000		1,363
4.750% due 07/04/2034		2,000		3,064
5.500% due 01/04/2031		1,500		2,527
5.625% due 01/04/2028		4,740		8,065
6.250% due 01/04/2024		600		1,080
6.500% due 07/04/2027		4,340		8,117
Total Germany (Cost $29,686)				30,082
ICELAND 0.3%
Glitnir Banki HF
3.204% due 01/18/2012	$	400		310
Kaupthing Bank HF
5.750% due 10/04/2011		200		162
Landsbanki Islands HF
3.338% due 08/25/2009		200		187
Total Iceland (Cost $800)				659
IRELAND 0.8%
Immeo Residential Finance PLC
5.118% due 12/15/2016	EUR	391		561
Ireland Government Bond
4.400% due 06/18/2019		1,000		1,486
Lusitano Mortgages PLC
5.238% due 12/15/2035		102		157
Total Ireland (Cost $2,228)				2,204
ITALY 2.0%
Italy Buoni Poliennali Del Tesoro
4.250% due 08/01/2014	EUR	600		909
4.500% due 05/01/2009		1,280		2,011
5.500% due 11/01/2010		400		637
Siena Mortgages SpA
5.188% due 12/16/2038		1,096		1,685
Total Italy (Cost $4,913)				5,242
JAPAN 23.1%
Bank of Tokyo-Mitsubishi UFJ Ltd.
3.500% due 12/16/2015	EUR	200		290
Japan Government Bond
0.900% due 12/20/2012	JPY	400,000		3,733
1.100% due 09/20/2012		1,430,000		13,488
1.200% due 03/20/2012		620,000		5,878
1.500% due 12/20/2017		240,000		2,250
2.300% due 06/20/2035		440,000		4,060
2.400% due 03/20/2034		180,000		1,698
2.500% due 03/20/2036		20,000		192
2.500% due 09/20/2036		710,000		6,805
2.500% due 09/20/2037		190,000		1,825
Japanese Government CPI Linked Bond
0.800% due 12/10/2015		90,810		848
1.000% due 06/10/2016		303,300		2,850
1.100% due 12/10/2016		371,480		3,512
1.156% due 02/28/2016		44,568		416
1.200% due 03/10/2017		99,600		947
1.200% due 06/10/2017		850,080		8,053
1.200% due 12/10/2017		160,800		1,520
1.400% due 06/10/2018		110,000		1,056
Resona Bank Ltd.
5.850% due 09/29/2049	$	500		431
Sumitomo Mitsui Banking Corp.
1.764% due 12/31/2049	JPY	100,000		944
5.625% due 07/29/2049	$	100		90
Total Japan (Cost $59,075)				60,886
JERSEY, CHANNEL ISLANDS 0.4%
Haus Ltd.
4.779% due 12/10/2037	EUR	231		355
HBOS Capital Funding LP
9.540% due 03/31/2049	GBP	300		604
Total Jersey, Channel Islands (Cost $831)				959
LIBERIA 0.0%
Royal Caribbean Cruises Ltd.
8.000% due 05/15/2010	$	100		102
Total Liberia (Cost $103)				102
NETHERLANDS 2.3%
Delphinus BV
5.109% due 04/25/2093	EUR	500		782
5.147% due 11/28/2031		277		433
5.228% due 06/25/2066		107		167
Deutsche Telekom International Finance BV
8.750% due 06/15/2030	$	100		115
Dutch Mortgage-Backed Securities BV
5.007% due 10/02/2079	EUR	778		1,216
Holland Euro-Denominated Mortgage-Backed Series
5.044% due 04/18/2012		79		124
Netherlands Government Bond
3.750% due 07/15/2014		200		299
5.000% due 07/15/2011		200		317
Rabobank Nederland NV
3.119% due 05/19/2010	$	2,500		2,497
Siemens Financieringsmaatschappij NV
2.728% due 08/14/2009		200		200
Total Netherlands (Cost $5,485)				6,150
NORWAY 1.5%
DnB NOR Boligkreditt
4.375% due 11/15/2010	EUR	2,000		3,075
4.500% due 05/16/2011		600		934
Total Norway (Cost $3,958)				4,009
RUSSIA 0.3%
Gaz Capital S.A.
7.343% due 04/11/2013	$	300		308
8.146% due 04/11/2018		200		208
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013		71		70
VTB Capital S.A.
6.875% due 12/11/2008		200		203
Total Russia (Cost $771)				789
SOUTH KOREA 0.6%
Export-Import Bank of Korea
2.772% due 06/01/2009	$	1,000		991
5.750% due 05/22/2013	EUR	400		607
Total South Korea (Cost $1,616)				1,598
SPAIN 1.5%
Bankinter S.A.
5.000% due 05/14/2010	EUR	1,200		1,860
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	1,600		1,550
Spain Government Bond
4.400% due 01/31/2015	EUR	300		460
Total Spain (Cost $3,957)				3,870
SWITZERLAND 1.9%
Credit Suisse New York, Inc.
5.000% due 05/15/2013	$	2,400		2,339
UBS AG
3.704% due 05/05/2010		800		797
5.750% due 04/25/2018		1,500		1,436
5.875% due 12/20/2017		500		488
Total Switzerland (Cost $5,185)				5,060
TUNISIA 0.1%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	300		391
Total Tunisia (Cost $363)				391
UNITED KINGDOM 4.5%
Bank of Scotland PLC
5.625% due 05/23/2013	EUR	1,500		2,279
Barclays Bank PLC
6.050% due 12/04/2017	$	1,200		1,180
7.434% due 09/29/2049		600		564
7.700% due 04/29/2049		500		511
8.250% due 02/28/2049	GBP	300		608
Bauhaus Securities Ltd.
5.168% due 10/30/2052	EUR	173		267
HBOS PLC
5.920% due 09/29/2049	$	800		571
6.750% due 05/21/2018		700		671
HSBC Holdings PLC
6.500% due 05/02/2036		900		840
Lloyds TSB Bank PLC
5.625% due 07/15/2049	EUR	590		913
Pearson Dollar Finance Two PLC
6.250% due 05/06/2018	$	2,000		1,983
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		100		93
United Kingdom Gilt
4.500% due 12/07/2042	GBP	600		1,168
XL Capital Finance Europe PLC
6.500% due 01/15/2012	$	200		196
Total United Kingdom (Cost $11,818)				11,844
UNITED STATES 83.2%
Asset-Backed Securities 7.6%
AFC Home Equity Loan Trust
3.192% due 12/22/2027	$	14		8
American Express Credit Account Master Trust
2.471% due 03/15/2011		600		600
AmeriCredit Automobile Receivables Trust
2.694% due 06/12/2009		1,236		1,236
Amortizing Residential Collateral Trust
3.182% due 10/25/2031		11		11
Amresco Residential Securities Mortgage Loan Trust
3.422% due 06/25/2029		9		9
BA Credit Card Trust
3.051% due 04/15/2013		1,500		1,498
3.671% due 12/16/2013		900		914
Bear Stearns Asset-Backed Securities Trust
2.932% due 03/25/2043		19		19
3.142% due 10/25/2032		7		6
Capital Auto Receivables Asset Trust
3.171% due 09/15/2010		700		701
3.921% due 10/15/2012		700		707
Chase Issuance Trust
3.371% due 05/16/2011		700		703
Citibank Credit Card Master Trust I
2.811% due 03/10/2011		1,100		1,098
CS First Boston Mortgage Securities Corp.
3.102% due 01/25/2032		9		8
First Alliance Mortgage Loan Trust
2.712% due 12/20/2027		43		32
Ford Credit Auto Owner Trust
2.776% due 06/15/2009		1,264		1,264
3.071% due 07/15/2010		2,100		2,102
3.371% due 01/15/2011		2,500		2,508
3.891% due 06/15/2012		1,000		1,010
4.360% due 06/15/2010		700		704
Franklin Auto Trust
3.482% due 10/20/2011		600		599
GSAMP Trust
2.772% due 03/25/2034		85		84
MBNA Credit Card Master Note Trust
2.461% due 09/15/2011		600		598
4.900% due 07/15/2011		500		505
Mid-State Trust
8.330% due 04/01/2030		529		523
Nelnet Student Loan Trust
3.150% due 04/27/2015		700		702
Renaissance Home Equity Loan Trust
2.982% due 12/25/2033		42		35
Residential Asset Mortgage Products, Inc.
3.042% due 06/25/2032		10		9
Residential Asset Securities Corp.
2.982% due 07/25/2032		29		25
Sears Credit Account Master Trust
2.691% due 04/16/2013		700		690
SLC Student Loan Trust
3.212% due 06/15/2017		800		799
Structured Asset Securities Corp.
2.882% due 05/25/2034		39		34
Vanderbilt Acquisition Loan Trust
5.700% due 09/07/2023		111		110
Wells Fargo Home Equity Trust
2.712% due 10/25/2035		255		246
				20,097
Bank Loan Obligations 0.6%
Daimler Finance North America LLC
6.780% due 08/03/2012		1,890		1,566
Commodity Index-Linked Notes 0.4%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		1,000		993
Corporate Bonds & Notes 32.4%
ACE INA Holdings, Inc.
5.875% due 06/15/2014		100		100
Alcoa, Inc.
6.000% due 01/15/2012		1,000		1,002
Allstate Life Global Funding II
3.328% due 05/21/2010		1,800		1,789
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		500		499
American Express Bank FSB
2.542% due 04/26/2010		400		394
2.625% due 06/12/2012		300		280
5.500% due 04/16/2013		1,100		1,077
American Express Co.
7.000% due 03/19/2018		1,300		1,320
American Express Credit Corp.
3.882% due 05/27/2010		300		298
5.875% due 05/02/2013		400		398
American International Group, Inc.
4.875% due 03/15/2067	EUR	300		355
5.850% due 01/16/2018	$	500		470
8.000% due 05/22/2038	EUR	1,500		2,332
8.175% due 05/15/2058	$	1,300		1,228
Amgen, Inc.
2.726% due 11/28/2008		250		249
6.150% due 06/01/2018		1,000		1,008
AT&T, Inc.
6.300% due 01/15/2038		800		760
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.
2.904% due 11/06/2009		500		496
4.750% due 05/23/2017	EUR	500		717
5.750% due 12/01/2017	$	500		471
8.125% due 12/29/2049		500		473
Bank of America N.A.
2.786% due 06/12/2009		1,000		998
3.316% due 05/12/2010		1,000		996
Bear Stearns Cos., Inc.
3.403% due 10/02/2009 (i)	CAD	500		474
6.400% due 10/02/2017	$	1,200		1,190
6.950% due 08/10/2012		700		729
7.250% due 02/01/2018		1,100		1,151
BellSouth Corp.
5.200% due 09/15/2014		200		197
Boston Scientific Corp.
6.000% due 06/15/2011		200		196
6.400% due 06/15/2016		300		284
Burlington Northern Santa Fe Corp.
5.750% due 03/15/2018		700		686
Charter One Bank N.A.
2.957% due 04/24/2009		1,000		997
CIT Group, Inc.
2.839% due 08/17/2009		600		546
Citigroup Capital XXI
8.300% due 12/21/2057		300		285
Citigroup Funding, Inc.
2.481% due 04/23/2009		1,200		1,184
3.820% due 05/07/2010		2,800		2,780
Citigroup, Inc.
5.500% due 04/11/2013		1,300		1,271
6.000% due 08/15/2017		500		478
6.125% due 05/15/2018		2,800		2,688
8.400% due 04/29/2049		700		666
Cleveland Electric Illuminating Co.
5.700% due 04/01/2017		1,000		954
CNA Financial Corp.
6.000% due 08/15/2011		300		302
Computer Sciences Corp.
5.500% due 03/15/2013		1,000		987
ConocoPhillips Australia Funding Co.
2.810% due 04/09/2009		760		761
Constellation Energy Group, Inc.
7.000% due 04/01/2012		500		519
Consumers Energy Co.
5.000% due 02/15/2012		100		99
CVS Caremark Corp.
5.750% due 08/15/2011		200		205
Cytec Industries, Inc.
6.000% due 10/01/2015		1,000		981
Daimler Finance North America LLC
3.138% due 03/13/2009		500		499
5.750% due 09/08/2011		100		102
DR Horton, Inc.
6.000% due 04/15/2011		200		184
Erac USA Finance Co.
5.800% due 10/15/2012		700		662
Exelon Corp.
4.900% due 06/15/2015		1,000		922
Freeport-McMoRan Copper & Gold, Inc.
5.882% due 04/01/2015		100		101
GATX Financial Corp.
5.500% due 02/15/2012		1,000		993
General Electric Capital Corp.
2.826% due 12/12/2008		300		300
3.558% due 05/22/2013		700		696
6.375% due 11/15/2067		500		474
Genworth Financial Assurance Holdings, Inc.
1.600% due 06/20/2011	JPY	90,000		807
GMAC LLC
3.926% due 05/15/2009	$	200		188
3.951% due 09/23/2008		200		197
Goldman Sachs Group, Inc.
5.250% due 06/01/2016 (i)	CAD	500		460
5.375% due 02/15/2013	EUR	200		300
6.150% due 04/01/2018	$	600		584
6.250% due 09/01/2017		1,500		1,487
Health Care REIT, Inc.
5.875% due 05/15/2015		400		373
HJ Heinz Finance Co.
6.000% due 03/15/2012		200		206
Home Depot, Inc.
5.400% due 03/01/2016		1,000		921
HSBC Finance Corp.
2.899% due 06/19/2009		500		490
International Lease Finance Corp.
5.350% due 03/01/2012		200		179
JPMorgan & Co., Inc. CPI Linked Bond
5.886% due 02/15/2012		100		103
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	200		184
6.000% due 01/15/2018	$	900		880
JPMorgan Chase Bank N.A.
4.375% due 11/30/2021	EUR	200		264
6.000% due 10/01/2017	$	1,300		1,267
JPMorgan Chase Capital XX
6.550% due 09/29/2036		300		261
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		200		172
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038		2,100		2,093
Lehman Brothers Holdings, Inc.
2.778% due 05/25/2010		1,900		1,761
5.625% due 01/24/2013		500		474
6.875% due 05/02/2018		700		680
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		1,000		995
Masco Corp.
6.125% due 10/03/2016		200		182
Merrill Lynch & Co., Inc.
2.768% due 08/14/2009		100		97
2.901% due 03/23/2010		500		469
4.966% due 05/12/2010		2,100		2,068
6.875% due 04/25/2018		1,200		1,146
Metropolitan Life Global Funding I
5.125% due 04/10/2013		1,100		1,085
Morgan Stanley
2.820% due 05/07/2009		500		492
3.184% due 10/18/2016		200		174
4.778% due 05/14/2010		1,000		997
6.000% due 04/28/2015		1,700		1,630
6.625% due 04/01/2018		1,300		1,236
Nabors Industries, Inc.
6.150% due 02/15/2018		1,000		1,014
National Rural Utilities Cooperative Finance Corp.
3.566% due 07/01/2010		1,500		1,499
NGPL Pipe Co. LLC
7.768% due 12/15/2037		500		526
NiSource Finance Corp.
6.800% due 01/15/2019		1,000		984
Pricoa Global Funding I
3.473% due 06/04/2010		2,400		2,399
Principal Life Income Funding Trusts
5.300% due 04/24/2013		700		701
Reynolds American, Inc.
3.476% due 06/15/2011		200		190
Sabre Holdings Corp.
7.350% due 08/01/2011		200		174
Sara Lee Corp.
6.250% due 09/15/2011		200		205
Sealed Air Corp.
5.625% due 07/15/2013		200		193
Sprint Nextel Corp.
6.000% due 12/01/2016		100		86
SUPERVALU, Inc.
7.500% due 11/15/2014		100		101
Target Corp.
7.000% due 01/15/2038		500		515
U.S. Bancorp
2.512% due 04/28/2009		600		599
U.S. Bank N.A.
4.375% due 02/28/2017	EUR	1,100		1,539
UnitedHealth Group, Inc.
6.875% due 02/15/2038	$	1,600		1,521
Verizon Communications, Inc.
4.350% due 02/15/2013		1,000		963
6.400% due 02/15/2038		1,100		1,029
Viacom, Inc.
5.750% due 04/30/2011		200		201
Virginia Electric and Power Co.
6.350% due 11/30/2037		500		489
Wachovia Corp.
5.500% due 05/01/2013		1,300		1,246
Wells Fargo & Co.
4.375% due 01/31/2013		500		485
Xerox Corp.
9.750% due 01/15/2009		200		206
				85,326
Mortgage-Backed Securities 7.9%
American Home Mortgage Investment Trust
2.722% due 05/25/2047		452		259
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		355		343
BCAP LLC Trust
2.652% due 01/25/2037		871		558
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		1,262		1,207
4.415% due 05/25/2034		129		121
4.629% due 05/25/2034		46		44
4.641% due 10/25/2033		77		74
Bear Stearns Alt-A Trust
5.558% due 11/25/2035		401		335
5.784% due 11/25/2036		753		610
5.916% due 02/25/2036		596		459
6.250% due 08/25/2036		480		375
Bear Stearns Commercial Mortgage Securities
5.700% due 06/11/2050		500		472
Bear Stearns Structured Products, Inc.
5.674% due 01/26/2036		525		436
Citigroup Commercial Mortgage Trust
5.889% due 12/10/2049		300		284
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		220		208
4.748% due 08/25/2035		232		222
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		300		315
Countrywide Alternative Loan Trust
2.562% due 09/20/2046		151		148
2.762% due 02/25/2037		717		524
2.832% due 05/25/2037		88		61
5.250% due 06/25/2035		103		89
5.889% due 11/25/2035		699		572
6.166% due 08/25/2036		197		189
6.250% due 08/25/2037		87		66
Countrywide Home Loan Mortgage Pass-Through Trust
2.862% due 09/25/2034		120		99
5.607% due 08/25/2034		24		20
Credit Suisse Mortgage Capital Certificates
5.579% due 04/25/2037		300		243
CS First Boston Mortgage Securities Corp.
4.688% due 08/25/2033		103		100
6.500% due 04/25/2033		17		16
First Horizon Asset Securities, Inc.
4.384% due 12/25/2033		54		53
4.464% due 07/25/2033		25		24
GMAC Commercial Mortgage Securities, Inc.
6.420% due 05/15/2035		104		104
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		230		227
Greenpoint Mortgage Funding Trust
2.752% due 11/25/2045		27		22
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		317		297
GSR Mortgage Loan Trust
4.510% due 03/25/2033		66		63
4.519% due 06/25/2034		108		100
4.539% due 09/25/2035		414		402
Harborview Mortgage Loan Trust
2.672% due 01/19/2038		156		112
5.172% due 05/19/2033		105		101
Impac CMB Trust
3.392% due 07/25/2033		28		25
Indymac Index Mortgage Loan Trust
5.099% due 09/25/2035		723		594
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		1,400		1,300
5.429% due 12/12/2043		200		190
6.465% due 11/15/2035		600		617
JPMorgan Mortgage Trust
4.386% due 11/25/2033		61		59
MASTR Adjustable Rate Mortgages Trust
4.133% due 07/25/2034		95		91
MASTR Alternative Loans Trust
2.882% due 03/25/2036		112		80
Merrill Lynch Countrywide Commercial Mortgage Trust
5.172% due 12/12/2049		1,100		1,026
Merrill Lynch Mortgage Investors, Inc.
2.732% due 08/25/2036		84		53
6.239% due 02/25/2033		47		47
MLCC Mortgage Investors, Inc.
2.851% due 03/15/2025		47		35
4.430% due 10/25/2035		355		336
Morgan Stanley Capital I
5.560% due 03/12/2044		500		481
Morgan Stanley Mortgage Loan Trust
5.701% due 02/25/2047		800		576
Residential Accredit Loans, Inc.
2.662% due 06/25/2046		850		610
Residential Asset Securitization Trust
5.750% due 02/25/2036		75		63
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		19		19
Sequoia Mortgage Trust
2.829% due 07/20/2033		215		193
Structured Adjustable Rate Mortgage Loan Trust
4.180% due 02/25/2034		43		38
4.590% due 04/25/2034		108		103
Structured Asset Mortgage Investments, Inc.
2.692% due 05/25/2046		189		135
2.702% due 05/25/2036		471		330
2.772% due 07/19/2034		47		41
TBW Mortgage-Backed Pass-Through Certificates
2.592% due 01/25/2037		288		276
5.630% due 01/25/2037		300		216
Wachovia Bank Commercial Mortgage Trust
5.037% due 03/15/2042		700		681
5.572% due 10/15/2048		800		767
WaMu Mortgage Pass-Through Certificates
2.792% due 01/25/2045		115		90
3.022% due 12/25/2027		375		342
4.361% due 02/27/2034		110		102
4.561% due 06/25/2033		40		39
4.990% due 05/25/2041		26		24
Washington Mutual Alternative Mortgage Pass-Through Certificates
4.468% due 07/25/2046		158		112
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		828		798
5.577% due 04/25/2036		345		341
				20,784
Municipal Bonds & Notes 1.7%
California State General Obligation Bonds, Series 2007
5.000% due 11/01/2037		1,200		1,178
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
0.000% due 06/01/2037 (b)		600		348
Harris County, Texas General Obligation Bonds, Series 2003
5.000% due 08/01/2033		100		100
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		380		383
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
5.600% due 06/01/2034		1,200		1,049
Louisville & Jefferson Counties, Kentucky Metropolitan Sewer District Revenue Bonds, (MBIA Insured), Series 2001
5.000% due 05/15/2036		100		101
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		200		195
New York State Tobacco Settlement Financing Corp. Revenue Notes, Series 2003
5.250% due 06/01/2013		180		180
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		400		334
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		100		7
Southern California State Tobacco Securitization Authority Revenue Bonds, Series 2006
5.000% due 06/01/2037		100		78
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		495		442
				4,395
	Shares
Preferred Stocks 0.7%
DG Funding Trust
5.041% due 12/31/2049		172		1,716
	Principal Amount (000s)
U.S. Government Agencies 31.9%
Fannie Mae
2.582% due 01/25/2021	$	196		194
2.682% due 10/27/2037		1,000		957
2.732% due 06/25/2044		67		66
4.205% due 11/01/2034 (d)		467		476
4.940% due 12/01/2034 (d)		187		188
5.000% due 08/01/2035 (d)		1,131		1,088
5.500% due 10/01/2016 - 07/01/2038		5,734		5,687
5.500% due 12/01/2032 - 03/01/2048 (d)		42,995		42,464
6.000% due 07/01/2036 - 10/01/2037 (d)		16,377		16,547
6.000% due 04/25/2043 - 07/25/2044		271		277
6.470% due 09/25/2012		1,000		1,095
6.500% due 12/01/2037 (d)		2,931		3,021
Federal Home Loan Bank
5.750% due 08/15/2011		1,000		1,062
Freddie Mac
4.994% due 10/25/2044		361		351
Ginnie Mae
3.071% due 02/16/2030		71		72
3.121% due 02/16/2030		70		70
5.125% due 11/20/2021 - 12/20/2026		41		42
5.250% due 01/20/2030		30		30
5.625% due 07/20/2022 - 09/20/2026		96		98
6.000% due 08/20/2034		629		643
6.375% due 05/20/2028 - 06/20/2030		112		115
6.500% due 07/01/2038		7,000		7,231
Small Business Administration
6.640% due 02/01/2011		39		40
Tennessee Valley Authority
5.880% due 04/01/2036		1,000		1,083
7.140% due 05/23/2012		1,000		1,114
				84,011
Total United States (Cost $222,268)				218,888
SHORT-TERM INSTRUMENTS 7.6%
Certificates of Deposit 1.6%
Unicredito Italiano NY
3.071% due 05/18/2009		1,400		1,399
3.071% due 05/15/2009		2,800		2,800
				4,199
Commercial Paper 2.4%
Citibank N.A.
3.570% due 08/19/2008		1,400		1,393
Federal Home Loan Bank
2.000% due 07/01/2008		4,800		4,800
				6,193
Repurchase Agreements 1.1%
State Street Bank and Trust Co.
1.650% due 07/01/2008		3,005		3,005
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $3,068. Repurchase proceeds are $3,005.)
U.S. Treasury Bills 2.5%
1.821% due 08/28/2008 - 09/25/2008 (a)(c)		6,500		6,464
Total Short-Term Instruments (Cost $19,874)				19,861
Purchased Options (g) 0.8% (Cost $2,079)				2,128
Total Investments 158.7% (Cost $417,653)			$	417,831
Written Options (h) (0.7%) (Premiums $2,018)				(1,955	)
Other Assets and Liabilities (Net) (58.0%)				(152,659	)
Net Assets 100.0%			$	263,217

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) Security becomes interest bearing at a future date.

(c) Securities with an aggregate market value of $6,216 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $46,226 at a weighted average interest rate of 2.397%. On June 30, 2008, securities valued at $63,814 were pledged as collateral for reverse repurchase agreements.

(e) Cash of $3,893 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
3-Month Canadian Bankers’ Acceptance December Futures	Short	12/2008	31	$	20
3-Month Canadian Bankers’ Acceptance September Futures	Short	09/2008	4		5
90-Day Euribor December Futures	Long	12/2008	13		(13	)
90-Day Euribor June Futures	Long	06/2009	4		0
90-Day Euribor September Futures	Short	09/2008	67		3
90-Day Eurodollar December Futures	Long	12/2008	230		(10	)
90-Day Eurodollar December Futures	Long	12/2009	426		(649	)
90-Day Eurodollar March Futures	Long	03/2009	32		10
90-Day Eurodollar March Futures	Long	03/2010	52		(146	)
90-Day Eurodollar September Futures	Long	09/2008	17		13
90-Day Eurodollar September Futures	Long	09/2009	415		(1,051	)
Australia Government 3-Year Bond September Futures	Short	09/2008	34		(24	)
Australia Government 10-Year Bond September Futures	Short	09/2008	57		(87	)
Canada Government 10-Year Bond September Futures	Short	09/2008	3		2
Euro-Bobl September Futures	Short	09/2008	206		533
Euro-Bobl September Futures Call Options Strike @ EUR 117.000	Long	09/2008	242		0
Euro-Bund 10-Year Bond September Futures	Long	09/2008	151		(255	)
Euro-Bund 10-Year Bond September Futures Put Options Strike @ EUR 104.000	Long	09/2008	196		0
Euro-Schatz September Futures	Long	09/2008	41		(48	)
Euro-Schatz September Futures Put Options Strike @ EUR 99.000	Long	09/2008	81		0
Euro-Schatz September Futures Put Options Strike @ EUR 100.500	Long	09/2008	41		0
Japan Government 10-Year Bond September Futures	Long	09/2008	3		32
U.S. Treasury 2-Year Note September Futures	Short	09/2008	460		(87	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	433		161
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	207		371
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	54		(82	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	27		(98	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	6		(6	)
United Kingdom Government 10-Year Bond September Futures	Short	09/2008	27		81
				$	(1,325	)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Ace INA Holdings, Inc. 5.875% due 06/15/2014	Buy	(0.390	%)	06/20/2014	DUB	$	100	$	2
Akzo Nobel NV 4.250% due 06/14/2011	Buy	(0.290	%)	06/20/2012	DUB	EUR	200		2
Alcoa, Inc. 6.000% due 01/15/2012	Buy	(0.850	%)	03/20/2012	MSC	$	1,000		(1	)
Amgen, Inc. 6.150% due 06/01/2018	Buy	(1.000	%)	06/20/2018	UBS		1,000		(5	)
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.680	%)	12/20/2012	CITI		100		1
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.600	%)	06/20/2017	JPM		100		3
BAE Systems Holdings, Inc. 6.400% due 12/15/2011	Buy	(0.140	%)	12/20/2011	UBS		200		3
Barclays Bank PLC 4.566% due 10/27/2015	Sell	1.480	%	03/20/2013	LEH	EUR	300		10
Bear Stearns Cos., Inc. 6.400% due 10/02/2017	Buy	(0.820	%)	09/20/2017	BCLY	$	200		3
Bear Stearns Cos., Inc. 6.400% due 10/02/2017	Buy	(0.760	%)	12/20/2017	CSFB		1,000		19
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(2.275	%)	03/20/2018	JPM		800		(77	)
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(2.223	%)	03/20/2018	RBS		300		(28	)
BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014	LEH		200		1
BHP Billiton Finance Ltd. 5.125% due 03/29/2012	Buy	(0.135	%)	03/20/2012	BOA		200		4
Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.510	%)	06/20/2011	MLP		200		7
Boston Scientific Corp. 6.400% due 06/15/2016	Buy	(2.060	%)	06/20/2016	UBS		300		(6	)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.280	%	08/20/2011	LEH		3,600		61
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.345	%	08/20/2011	JPM		2,000		38
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.380	%	08/20/2011	MSC		2,100		43
Burlington Northern Santa Fe Corp. 5.750% due 03/15/2018	Buy	(0.510	%)	03/20/2018	RBS		700		22
Capital One Bank 5.125% due 02/15/2014	Buy	(0.160	%)	06/20/2012	BCLY		500		50
Carnival Corp. 6.650% due 01/15/2028	Buy	(0.210	%)	06/20/2012	GSC		200		8
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(0.940	%)	06/20/2018	BOA		2,000		70
Cleveland Electric Illuminating Co. 5.700% due 04/01/2017	Buy	(0.940	%)	06/20/2017	RBS		1,000		5
CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011	BEAR		100		1
CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011	JPM		200		3
Compass Group PLC 6.375% due 05/29/2012	Buy	(0.390	%)	06/20/2012	MLP	EUR	200		0
Computer Sciences Corp. 5.500% due 03/15/2013	Buy	(0.620	%)	03/20/2013	MSC	$	1,000		2
Constellation Energy Group, Inc. 7.000% due 04/01/2012	Buy	(0.665	%)	06/20/2012	JPM		500		10
Consumers Energy Co. 5.000% due 02/15/2012	Buy	(0.090	%)	03/20/2012	BOA		100		4
CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.210	%)	09/20/2011	LEH		200		2
Cytec Industries, Inc. 6.000% due 10/01/2015	Buy	(0.950	%)	12/20/2015	DUB		1,000		(3	)
Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.620	%)	09/20/2011	RBS		100		0
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS		1,200		1
Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012	BEAR		100		1
Diamond Offshore Drilling, Inc. 4.875% due 07/01/2015	Buy	(0.485	%)	06/20/2017	BOA		400		6
DR Horton, Inc. 6.000% due 04/15/2011	Buy	(3.950	%)	06/20/2011	LEH		200		2
Erac USA Finance Co. 5.800% due 10/15/2012	Buy	(2.700	%)	12/20/2012	JPM		700		(9	)
Exelon Corp. 4.900% due 06/15/2015	Buy	(1.260	%)	06/20/2015	CITI		1,000		(7	)
Fannie Mae 5.500% due 06/09/2033	Buy	(0.570	%)	09/20/2013	JPM		1,200		4
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	7.400	%	03/20/2009	JPM		600		(4	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	7.500	%	03/20/2009	CITI		1,000		(6	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	3.950	%	12/20/2012	BOA		200		(46	)
Freddie Mac 4.500% due 01/15/2014	Buy	(0.570	%)	09/20/2013	JPM		1,400		5
GATX Financial Corp. 5.500% due 02/15/2012	Buy	(0.605	%)	03/20/2012	RBS		1,000		23
Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.365	%)	03/20/2012	DUB		200		45
Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.290	%)	03/20/2012	RBS		200		45
GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.520	%)	06/20/2012	WAC		100		(1	)
GMAC LLC 6.875% due 08/28/2012	Sell	7.750	%	03/20/2009	GSC		200		(5	)
GMAC LLC 6.875% due 08/28/2012	Sell	8.650	%	03/20/2009	CITI		500		(8	)
Goldman Sachs Group, Inc. 5.250% due 06/01/2016	Buy	(0.310	%)	06/20/2016	UBS		400		26
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(1.520	%)	06/20/2013	BCLY		100		(1	)
H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	03/20/2012	BEAR		200		0
Health Care REIT, Inc. 5.875% due 05/15/2015	Buy	(2.930	%)	06/20/2015	BCLY		400		(28	)
Home Depot, Inc. 5.400% due 03/01/2016	Buy	(1.100	%)	03/20/2016	BOA		1,000		14
HSBC Finance Corp. 7.000% due 05/15/2012	Sell	1.550	%	06/20/2009	MLP		400		(2	)
ICI Wilmington, Inc. 5.625% due 12/01/2013	Buy	(0.340	%)	06/20/2012	GSC	EUR	200		(2	)
International Lease Finance Corp. 5.350% due 03/01/2012	Buy	(0.130	%)	03/20/2012	MLP	$	200		22
International Paper Co. 5.850% due 10/30/2012	Buy	(0.700	%)	06/20/2017	DUB		400		46
JPMorgan Chase & Co. 5.058% until 02/22/2016 and 1-Month CAD Offered Rate plus 1.000% thereafter, due 02/22/2021	Buy	(0.310	%)	03/20/2016	RBC		200		10
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.740	%)	03/20/2018	DUB		500		10
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.730	%)	03/20/2018	UBS		300		6
JPMorgan Chase & Co. 6.000% due 01/15/2018	Buy	(0.720	%)	03/20/2018	DUB		100		2
Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.490	%)	12/20/2011	RBS		200		43
Koninklijke DSM NV 4.000% due 11/10/2015	Buy	(0.365	%)	06/20/2012	GSC	EUR	200		1
Landsbanki Islands HF floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	09/20/2009	RBS	$	200		16
Lehman Brothers Holdings, Inc. 6.875% due 05/02/2018	Buy	(1.552	%)	06/20/2018	JPM		700		32
Lockheed Martin Corp. 7.650% due 05/01/2016	Buy	(0.089	%)	06/20/2012	MSC		200		1
Loews Corp. 8.875% due 04/15/2011	Buy	(0.120	%)	06/20/2012	BOA		100		1
Marsh & McLennan Cos., Inc. 5.750% due 09/15/2015	Buy	(0.990	%)	09/20/2015	BOA		1,000		(12	)
Masco Corp. 6.125% due 10/03/2016	Buy	(0.907	%)	12/20/2016	CSFB		200		18
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.040	%)	06/20/2017	GSC		100		8
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(1.019	%)	06/20/2017	LEH		400		32
Morgan Stanley 6.600% due 04/01/2012	Buy	(1.800	%)	06/20/2013	JPM		100		1
Morgan Stanley 6.600% due 04/01/2012	Buy	(1.800	%)	09/20/2018	BCLY		900		6
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016	RBS		200		20
Multiple Reference Entities of Gazprom	Sell	1.300	%	12/20/2008	HSBC		900		8
Multiple Reference Entities of Gazprom	Sell	1.320	%	12/20/2008	MSC		200		2
Multiple Reference Entities of Gazprom	Sell	1.330	%	12/20/2008	CSFB		300		3
Multiple Reference Entities of Gazprom	Sell	1.680	%	04/20/2009	MSC		300		3
Multiple Reference Entities of Gazprom	Sell	1.710	%	04/20/2009	MSC		300		3
Multiple Reference Entities of Gazprom	Sell	1.910	%	04/20/2009	MSC		600		7
Multiple Reference Entities of Gazprom	Sell	0.610	%	05/20/2012	MLP		300		(14	)
Nabors Industries, Inc. 6.150% due 02/15/2018	Buy	(0.630	%)	03/20/2018	DUB		1,000		19
Nisource Finance Corp. 6.800% due 01/15/2019	Buy	(1.470	%)	03/20/2019	MSC		1,000		10
Noble Corp. 5.875% due 06/01/2013	Buy	(0.530	%)	06/20/2012	BCLY		100		0
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(1.040	%)	06/20/2013	GSC		1,000		0
Pearson Dollar Finance Two PLC 6.250% due 05/06/2018	Buy	(0.700	%)	06/20/2018	LEH		1,000		12
Pearson Dollar Finance Two PLC 6.250% due 05/06/2018	Buy	(0.690	%)	06/20/2018	CITI		1,000		13
RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.430	%)	06/20/2013	RBS		800		24
Royal Caribbean Cruises Ltd. 8.000% due 05/15/2010	Buy	(0.480	%)	06/20/2010	BOA		100		5
RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	0.820	%	05/20/2012	GSC		400		(25	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.630	%	12/20/2008	GSC		700		3
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.450	%	01/20/2009	CSFB		1,000		0
Sabre Holdings Corp. 7.350% due 08/01/2011	Buy	(0.930	%)	09/20/2011	JPM		200		34
Sara Lee Corp. 6.250% due 09/15/2011	Buy	(0.350	%)	09/20/2011	LEH		200		0
SCA Finans AB 4.500% due 07/15/2015	Buy	(0.250	%)	06/20/2012	GSC	EUR	200		8
Sealed Air Corp. 5.625% due 07/15/2013	Buy	(0.500	%)	09/20/2013	CSFB	$	200		10
SLM Corp. 5.125% due 08/27/2012	Sell	3.200	%	12/20/2008	BNP		400		0
SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009	DUB		100		(1	)
SLM Corp. 5.125% due 08/27/2012	Sell	3.150	%	06/20/2009	BOA		500		(6	)
SLM Corp. 5.125% due 08/27/2012	Sell	0.700	%	06/20/2012	GSC		100		(13	)
Spain Government Bond 5.500% due 07/30/2017	Sell	0.260	%	03/20/2013	BCLY		2,500		(3	)
Spain Government Bond 5.500% due 07/30/2017	Sell	0.270	%	03/20/2013	JPM		2,100		(2	)
Spain Government Bond 5.500% due 07/30/2017	Sell	0.465	%	03/20/2013	HSBC		1,700		14
Sprint Nextel Corp. 6.000% due 12/01/2016	Buy	(1.065	%)	12/20/2016	BEAR		100		11
SUPERVALU, Inc. 7.500% due 05/15/2012	Sell	2.450	%	09/20/2012	RBS		100		3
Tate & Lyle International Finance PLC 5.000% due 11/15/2014	Buy	(0.510	%)	12/20/2014	DUB		100		6
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.730	%	04/20/2009	HSBC		500		(4	)
United Utilities PLC 6.875% due 08/15/2028	Buy	(0.235	%)	06/20/2012	DUB	EUR	200		5
Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011	UBS	$	200		(4	)
Vivendi 6.625% due 04/04/2018	Buy	(1.500	%)	06/20/2018	JPM		100		0
VTB Capital S.A. 6.250% due 06/30/2035	Sell	1.700	%	12/20/2008	DUB		200		2
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.990	%)	06/20/2017	LEH		400		31
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.895	%)	06/20/2017	BCLY		100		8
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.840	%)	06/20/2013	UBS		700		11
Xerox Corp. 9.750% due 01/15/2009	Buy	(0.290	%)	03/20/2009	MSC		200		0
XL Capital Finance Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	03/20/2012	BCLY		200		18
								$	771

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	BCLY	$	300	$	18
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	BOA		6,200		367
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	GSC		1,600		94
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	JPM		700		41
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	LEH		1,700		99
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	MSC		1,500		89
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	UBS		1,000		59
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	CSFB		1,700		82
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	DUB		5,800		274
Dow Jones CDX N.A. IG8 Index	Buy	(0.600	%)	06/20/2017	GSC		19,800		603
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	DUB		1,600		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		100		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		7,700		16
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		300		1
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		300		1
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	GSC		2,200		37
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	MSC		500		(1	)
Dow Jones iTraxx Europe 9MAIN Index	Buy	(1.750	%)	06/20/2018	DUB	EUR	3,700		49
Dow Jones iTraxx Europe 9SEN4 Index	Buy	(1.750	%)	06/20/2018	DUB		200		(8	)
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	BCLY		1,100		89
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	BNP		500		41
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	HSBC		100		8
Dow Jones iTraxx Europe HV6 Index	Buy	(0.850	%)	12/20/2016	JPM		300		24
Home Equity Index AA Rating 2006-1	Sell	0.320	%	07/25/2045	CSFB	$	400		(38	)
Home Equity Index AAA Rating 2006-2	Sell	0.110	%	05/25/2046	DUB		500		(1	)
								$	1,944

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	6.500	%	01/15/2009	CITI	AUD	4,800		(46	)
Pay	3-Month Australian Bank Bill	6.500	%	01/15/2009	DUB		10,540		(99	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	BCLY		4,800		(46	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	JPM		4,800		(44	)
Receive	3-Month Canadian Bank Bill	4.500	%	09/20/2011	BSN	CAD	600		(1	)
Receive	3-Month Canadian Bank Bill	4.500	%	09/20/2011	RBC		700		(1	)
Receive	3-Month Canadian Bank Bill	4.250	%	12/20/2013	RBC		1,900		(10	)
Receive	3-Month Canadian Bank Bill	5.000	%	06/15/2015	CITI		200		(4	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS	$	10,100		24
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	RBS		26,600		(253	)
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		1,900		14
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		11,000		13
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		1,400		(6	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	CITI		9,600		74
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		20,200		378
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	RBS		4,100		7
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	CSFB		2,700		(83	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	JPM		1,000		(26	)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	MLP		1,400		(76	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		9,000		(69	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		10,900		(40	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	DUB		1,900		(36	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		6,000		(10	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		4,100		(18	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		16,500		(133	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		2,100		26
Receive	3-Month USD-LIBOR	5.000	%	12/20/2026	UBS		300		(33	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		4,800		(116	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		6,900		(101	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	LEH		1,300		(30	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		4,400		(25	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		100		(2	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	3,000		(68	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103	%	10/15/2010	BCLY		6,300		(125	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146	%	10/15/2010	UBS		3,500		(73	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	BCLY		500		(29	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		400		(22	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.950	%	03/30/2012	RBS		600		(29	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.940	%	04/10/2012	RBS		500		(26	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.080	%	06/15/2012	GSC		1,600		(86	)
Pay	6-Month Australian Bank Bill	6.000	%	06/15/2010	CITI	AUD	6,900		(338	)
Pay	6-Month Australian Bank Bill	6.000	%	06/15/2010	UBS		3,600		(178	)
Pay	6-Month Australian Bank Bill	7.000	%	06/15/2010	DUB		15,000		(248	)
Pay	6-Month Australian Bank Bill	7.000	%	06/15/2010	MSC		6,000		(103	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS		41,300		(90	)
Pay	6-Month Australian Bank Bill	7.250	%	06/16/2011	UBS		17,000		(206	)
Pay	6-Month Australian Bank Bill	6.000	%	06/15/2012	DUB		1,400		(80	)
Pay	6-Month Australian Bank Bill	6.000	%	06/15/2012	HSBC		1,000		(58	)
Receive	6-Month Australian Bank Bill	6.000	%	06/15/2015	CITI		3,900		369
Receive	6-Month Australian Bank Bill	6.000	%	06/15/2015	UBS		2,300		226
Receive	6-Month Australian Bank Bill	6.000	%	06/15/2017	DUB		800		72
Receive	6-Month Australian Bank Bill	6.000	%	06/15/2017	HSBC		600		54
Receive	6-Month Australian Bank Bill	6.500	%	06/15/2017	DUB		3,900		138
Receive	6-Month Australian Bank Bill	6.500	%	06/15/2017	MSC		3,700		125
Receive	6-Month Australian Bank Bill	7.000	%	03/15/2019	UBS		1,700		16
Pay	6-Month EUR-LIBOR	4.000	%	09/19/2009	GSC	EUR	7,800		(184	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	BCLY		200		(20	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	JPM		500		(46	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	MLP		100		(10	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	MSC		300		(28	)
Pay	6-Month EUR-LIBOR	4.000	%	06/17/2010	UBS		800		(76	)
Pay	6-Month EUR-LIBOR	4.000	%	12/15/2011	DUB		9,200		(409	)
Pay	6-Month EUR-LIBOR	5.000	%	12/15/2011	LEH		1,700		(52	)
Pay	6-Month EUR-LIBOR	4.000	%	09/19/2012	LEH		6,500		(216	)
Pay	6-Month EUR-LIBOR	4.000	%	09/19/2012	RBS		2,100		(114	)
Pay	6-Month EUR-LIBOR	4.000	%	09/17/2013	GSC		3,800		(255	)
Pay	6-Month EUR-LIBOR	4.000	%	09/17/2013	JPM		15,400		(1,160	)
Pay	6-Month EUR-LIBOR	4.000	%	12/15/2014	MSC		3,200		(174	)
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	BCLY		300		24
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	DUB		20,170		1,567
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	GSC		300		27
Receive	6-Month EUR-LIBOR	4.000	%	06/15/2017	MSC		3,000		368
Receive	6-Month EUR-LIBOR	5.000	%	03/19/2018	BCLY		1,000		42
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	BCLY		2,000		18
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	DUB		1,400		29
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	JPM		800		16
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	RBS		700		13
Pay	6-Month EUR-LIBOR	4.500	%	06/18/2034	MSC		400		2
Pay	6-Month EUR-LIBOR	4.500	%	06/18/2034	RBS		400		2
Pay	6-Month EUR-LIBOR	5.000	%	06/18/2034	JPM		2,100		30
Receive	6-Month EUR-LIBOR	5.000	%	03/19/2038	DUB		1,600		(51	)
Receive	6-Month EUR-LIBOR	5.000	%	03/19/2038	GSC		1,500		(44	)
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	BCLY		300		1
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	BNP		100		(1	)
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	CITI		100		1
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	DUB		500		2
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	GSC		400		24
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	JPM		1,400		142
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	RBS		200		(1	)
Pay	6-Month GBP-LIBOR	5.350	%	03/14/2010	GSC	GBP	2,300		(68	)
Receive	6-Month GBP-LIBOR	5.000	%	03/20/2010	GSC		2,500		116
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	BCLY		1,100		(50	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	DUB		1,100		(46	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	GSC		100		(5	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	HSBC		7,800		(502	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	MSC		1,900		32
Pay	6-Month GBP-LIBOR	4.500	%	09/17/2010	BCLY		1,000		(57	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	GSC		1,100		(61	)
Pay	6-Month GBP-LIBOR	5.500	%	03/20/2013	GSC		4,200		(213	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		10,000		(892	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		3,500		(335	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	RBC		2,400		(214	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	CITI		100		(10	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	DUB		400		(39	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	GSC		1,800		(130	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	HSBC		400		(43	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	JPM		800		(80	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2015	RBS		600		(51	)
Receive	6-Month GBP-LIBOR	4.500	%	09/15/2017	BCLY		3,700		32
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2018	MSC		1,700		(123	)
Receive	6-Month GBP-LIBOR	5.000	%	06/18/2018	BCLY		800		(10	)
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	BCLY		400		25
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	CITI		400		21
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	HSBC		400		23
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	MSC		1,400		91
Receive	6-Month GBP-LIBOR	5.500	%	09/17/2018	DUB		1,100		26
Receive	6-Month GBP-LIBOR	5.500	%	09/17/2018	HSBC		400		(5	)
Receive	6-Month GBP-LIBOR	5.000	%	12/16/2019	CITI		200		3
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		1,900		(55	)
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	BCLY		100		18
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	DUB		300		55
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	RBS		100		(5	)
Receive	6-Month GBP-LIBOR	5.000	%	03/18/2039	RBS		600		21
Receive	6-Month JPY-LIBOR	1.300	%	12/17/2010	DUB	JPY	200,000		(4	)
Receive	6-Month JPY-LIBOR	1.300	%	09/21/2011	GSC		340,000		6
Pay	6-Month JPY-LIBOR	1.500	%	06/17/2013	UBS		590,000		27
Pay	6-Month JPY-LIBOR	1.750	%	12/17/2015	MSC		730,000		72
Pay	6-Month JPY-LIBOR	1.750	%	12/17/2015	RBS		220,000		19
Receive	6-Month JPY-LIBOR	1.980	%	09/27/2016	MSC		500,000		(111	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	BCLY		50,000		(5	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	DUB		190,000		(21	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	RBS		200,000		(23	)
Receive	6-Month JPY-LIBOR	2.500	%	12/20/2027	DUB		60,000		(10	)
Receive	6-Month JPY-LIBOR	2.500	%	06/20/2036	MSC		150,000		(31	)
Receive	6-Month JPY-LIBOR	3.000	%	06/20/2036	GSC		150,000		(95	)
Receive	30-Day USD-CMM Rate	5.500	%	05/21/2009	MLP	$	1,000	$	22
								$	(4,749	)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	110.500	08/22/2008	222	$	7	$	3
Call - CBOT U.S. Treasury 2-Year Note September Futures		111.000	08/22/2008	349		12		6
Call - CBOT U.S. Treasury 10-Year Note September Futures		136.000	08/22/2008	217		4		4
Call - CBOT U.S. Treasury 30-Year Bond September Futures		138.000	08/22/2008	115		2		2
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	55		1		1
Put - CBOT U.S. Treasury 10-Year Note September Futures		101.000	08/22/2008	202		4		3
Put - CBOT U.S. Treasury 30-Year Bond September Futures		92.000	08/22/2008	19		0		0
					$	30	$	19

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	JPM	6-Month EUR-LIBOR	Pay	4.000	%	09/14/2009	EUR	11,000	$	58	$	31
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	8,000		43		38
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		6,400		68		30
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		18,700		186		327
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		4,300		46		20
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		7,400		76		34
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		9,300		93		163
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		21,500		252		218
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		8,000		91		37
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/03/2009		52,200		541		256
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		7,300		77		51
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		4,000		41		70
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		23,000		243		337
									$	1,815	$	1,612

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.375	05/21/2010	EUR	2,400	$	116	$	423
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		2,400		116		74
						$	232	$	497

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. Treasury Note 4.250% due 08/15/2013	$	117.000	08/15/2008	$	4,400	$	1	$	0
Put - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017		88.500	09/04/2008		9,000		1		0
						$	2	$	0

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Put - CBOT U.S. Treasury 10-Year Note August Futures	$	109.500	07/25/2008	25	$	15	$	1
Put - CBOT U.S. Treasury 10-Year Note August Futures		110.500	07/25/2008	83		48		7
					$	63	$	8

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Put - OTC 30-Year Interest Rate Swap	CITI	6-Month EUR-LIBOR	Pay	5.200	%	12/15/2008	EUR	800	$	18	$	22
Put - OTC 30-Year Interest Rate Swap	GSC	6-Month EUR-LIBOR	Pay	5.200	%	12/15/2008		1,400		36		36
Call - OTC 2-Year Interest Rate Swap	HSBC	6-Month EUR-LIBOR	Receive	5.290	%	06/10/2009		3,000		40		35
Put - OTC 2-Year Interest Rate Swap	HSBC	6-Month EUR-LIBOR	Pay	5.290	%	06/10/2009		3,000		40		34
Put - OTC 30-Year Interest Rate Swap	JPM	6-Month EUR-LIBOR	Pay	5.000	%	09/15/2008		2,800		42		95
Call - OTC 7-Year Interest Rate Swap	JPM	6-Month EUR-LIBOR	Receive	4.230	%	09/14/2009		3,500		52		31
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009	$	3,000		44		40
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		1,200		30		17
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		1,200		39		23
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		6,200		166		288
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		1,400		46		27
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		2,500		82		49
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		3,100		84		144
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		7,200		242		231
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	08/03/2009		22,700		545		369
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		2,700		91		53
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		2,400		74		55
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		1,300		36		60
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		7,700		224		312
									$	1,931	$	1,921

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Call - OTC U.S. dollar versus Brazilian real	BRL	1.650	07/24/2008	$	900	$	5	$	5
Call - OTC U.S. dollar versus Brazilian real		1.630	07/29/2008		1,400		10		13
Call - OTC U.S. dollar versus Brazilian real		1.640	07/30/2008		1,000		9		8
						$	24	$	26

(i) Restricted securities as of June 30, 2008:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Bear Stearns Cos., Inc.	3.403	%	10/02/2009	06/06/2008	$	483	$	474	0.18	%
Goldman Sachs Group, Inc.	5.250	%	06/01/2016	11/03/2006		451		460	0.17	%
Merna Reinsurance Ltd.	3.451	%	07/07/2010	09/21/2007		695		655	0.25	%
					$	1,629	$	1,589	0.60	%

(j) Short sales outstanding on June 30, 2008:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	07/01/2038	$	1,000	$	956	$	959
Fannie Mae	5.500	%	07/01/2038		13,900		13,702		13,702
Fannie Mae	6.000	%	07/01/2038		9,000		9,079		9,080
Fannie Mae	6.500	%	07/01/2038		7,000		7,175		7,207
U.S. Treasury Bonds	4.500	%	02/15/2036		6,500		6,266		6,574
U.S. Treasury Bonds	5.000	%	05/15/2037		800		825		869
U.S. Treasury Notes	2.500	%	03/31/2013		700		664		681
U.S. Treasury Notes	3.000	%	02/15/2009		300		302		305
U.S. Treasury Notes	3.125	%	04/30/2013		1,600		1,559		1,599
U.S. Treasury Notes	3.500	%	02/15/2018		600		568		587
U.S. Treasury Notes	3.875	%	05/15/2018		1,700		1,647		1,700
U.S. Treasury Notes	4.250	%	08/15/2013		4,400		4,583		4,671
U.S. Treasury Notes	4.500	%	05/15/2017		5,100		5,201		5,360
U.S. Treasury Notes	4.625	%	11/15/2016		9,100		9,387		9,684
U.S. Treasury Notes	5.125	%	05/15/2016		6,100		6,657		6,709
						$	68,571	$	69,687

⁽³⁾ Market value includes $397 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	3,243	04/2009	$	0	$	(9	)	$	(9	)
Sell	AUD	2,009	07/2008		0		(14	)		(14	)
Buy		429	08/2008		1		0			1
Buy	BRL	12,271	07/2008		1,151		0			1,151
Sell		12,271	07/2008		0		(542	)		(542	)
Buy		5,807	12/2008		139		0			139
Sell		3,334	12/2008		0		(172	)		(172	)
Sell	CAD	3,060	08/2008		27		0			27
Buy	CLP	18,098	07/2008		0		(2	)		(2	)
Sell		18,098	07/2008		4		0			4
Buy		8,300	12/2008		0		(1	)		(1	)
Buy		18,098	05/2009		0		(4	)		(4	)
Buy	CNY	8,337	07/2008		64		0			64
Sell		8,337	07/2008		0		(63	)		(63	)
Buy		4,820	11/2008		12		0			12
Buy		28,969	05/2009		42		(1	)		41
Buy		4,753	05/2010		0		(8	)		(8	)
Sell	DKK	39,785	09/2008		0		(153	)		(153	)
Buy	EUR	551	07/2008		0		(1	)		(1	)
Sell		22,195	07/2008		0		(358	)		(358	)
Sell	GBP	4,248	08/2008		0		(47	)		(47	)
Buy	HKD	63	07/2008		0		0			0
Buy	HUF	273	07/2008		0		0			0
Sell		273	07/2008		0		0			0
Buy		273	11/2008		0		0			0
Buy	INR	51,926	11/2008		0		(102	)		(102	)
Buy	JPY	1,599,223	07/2008		206		0			206
Sell		3,624,019	07/2008		0		(564	)		(564	)
Buy	KRW	1,960,633	08/2008		0		(58	)		(58	)
Sell		1,125,385	08/2008		111		0			111
Buy	MXN	1,066	07/2008		7		0			7
Sell		1,066	07/2008		0		(7	)		(7	)
Buy		185	11/2008		0		0			0
Buy	MYR	13,824	11/2008		0		(187	)		(187	)
Sell	NZD	1,718	07/2008		0		(8	)		(8	)
Buy	PHP	30,012	08/2008		0		(18	)		(18	)
Buy	PLN	102	07/2008		11		0			11
Sell		102	07/2008		0		(5	)		(5	)
Buy		22	05/2009		0		0			0
Buy	RUB	2,431	07/2008		7		0			7
Sell		2,431	07/2008		0		(1	)		(1	)
Buy		49,620	11/2008		106		0			106
Sell		17,190	11/2008		0		(39	)		(39	)
Buy		2,431	05/2009		2		0			2
Buy	SAR	2,722	04/2009		0		(7	)		(7	)
Buy	SGD	234	08/2008		7		0			7
Buy		1,624	11/2008		35		0			35
Buy	TWD	15,056	09/2008		0		(2	)		(2	)
Buy	ZAR	216	07/2008		0		(1	)		(1	)
Sell		216	07/2008		0		(1	)		(1	)
Buy		216	12/2008		1		0			1
				$	1,933	$	(2,375	)	$	(442	)

(l) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0		$	412,135		$	5,696		$	417,831
Other Financial Instruments++		(1,325	)		(73,262	)		(459	)		(75,046	)
Total	$	(1,325	)	$	338,873		$	5,237		$	342,785

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	951	$	5,679	$	3	$	20		$	(957	)	$	5,696
Other Financial Instruments++		2		0		0		(486	)		25			(459	)
Total	$	953	$	5,679	$	3	$	(466	)	$	(932	)	$	5,237

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

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

See Accompanying Notes

Schedule of Investments GNMA Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 0.8%
Morgan Stanley
4.778% due 05/14/2010	$	4,000	$	3,987
Total Corporate Bonds & Notes (Cost $4,000)				3,987
MUNICIPAL BONDS & NOTES 1.2%
Massachusetts Educational Financing Authority Bonds, Series 2008
3.701% due 04/25/2028 (b)		6,200		6,200
Total Municipal Bonds & Notes (Cost $6,200)				6,200
U.S. GOVERNMENT AGENCIES 125.3%
Fannie Mae
4.000% due 08/01/2018 - 04/01/2023		3,547		3,349
4.500% due 02/01/2020		6,195		6,029
5.000% due 01/01/2018 - 03/01/2038		13,266		12,829
5.500% due 07/01/2021 - 07/01/2038		69,856		69,372
6.000% due 11/01/2028 - 07/01/2038		10,699		10,807
6.351% due 03/01/2018		13		13
6.500% due 08/01/2037 - 10/01/2037		14,578		15,028
9.000% due 07/01/2018		8		9
Federal Home Loan Bank
8.137% due 09/01/2040		13		13
Freddie Mac
5.000% due 12/01/2035		4,448		4,278
5.500% due 03/01/2038		3,325		3,279
5.700% due 05/01/2031		11		11
5.796% due 05/01/2019		11		11
6.274% due 06/01/2030		16		16
7.500% due 08/15/2029 (a)		30		8
Ginnie Mae
2.671% due 01/16/2031 - 02/16/2032		3,075		3,083
2.721% due 08/16/2032		1,555		1,540
2.771% due 12/16/2026 - 08/16/2031		700		695
2.871% due 06/16/2027		266		265
2.921% due 11/16/2029		3,885		3,908
2.971% due 07/16/2028		132		134
3.000% due 05/16/2027 - 02/20/2034		5,058		5,007
3.021% due 04/16/2032		258		258
3.121% due 05/16/2029		457		456
3.129% due 06/20/2030		4		4
3.559% due 01/16/2030 - 02/16/2030		11,920		12,201
3.625% due 02/20/2035		390		376
4.500% due 08/20/2033 - 01/20/2034		3,011		2,891
4.750% due 01/20/2031 - 03/20/2032		349		349
5.000% due 09/15/2033 - 07/01/2038		73,382		71,102
5.125% due 12/20/2017 - 10/20/2030		13		13
5.250% due 02/20/2030		1,038		1,043
5.375% due 02/20/2024 - 03/20/2027		848		851
5.500% due 02/20/2018 - 07/01/2038		147,725		147,321
5.625% due 07/20/2018 - 09/20/2035		4,810		4,865
6.000% due 06/15/2009 - 07/01/2038		167,005		169,443
6.375% due 06/20/2021 - 05/20/2032		7,912		8,054
6.500% due 05/20/2016 - 07/01/2038		79,014		81,681
7.500% due 10/15/2022 - 06/15/2033		4,524		4,855
Small Business Administration
7.449% due 08/01/2010		25		26
Total U.S. Government Agencies (Cost $643,536)				645,473
MORTGAGE-BACKED SECURITIES 10.0%
Bear Stearns Commercial Mortgage Securities
5.405% due 12/11/2040		6,000		5,829
5.700% due 06/11/2050		4,000		3,775
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		2,613		2,590
5.674% due 01/26/2036		7,168		5,966
Citigroup/Deutsche Bank Commercial Mortgage Trust
0.621% due 10/15/2048 (a)		174,007		3,262
Credit Suisse Mortgage Capital Certificates
0.775% due 09/15/2039 (a)		102,403		2,450
5.467% due 09/15/2039		12,200		11,620
CS First Boston Mortgage Securities Corp.
3.326% due 03/25/2032		65		59
GS Mortgage Securities Corp. II
0.987% due 01/10/2040 (a)		79,320		1,009
JPMorgan Chase Commercial Mortgage Securities Corp.
5.305% due 01/15/2049		6,000		5,836
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		8,000		7,375
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		1,753		1,677
Structured Asset Mortgage Investments, Inc.
2.812% due 09/19/2032		145		132
Total Mortgage-Backed Securities (Cost $51,513)				51,580
ASSET-BACKED SECURITIES 7.3%
Amortizing Residential Collateral Trust
2.772% due 07/25/2032		19		16
Centex Home Equity
2.782% due 01/25/2032		30		29
CIT Group Home Equity Loan Trust
2.752% due 06/25/2033		32		29
Citibank Omni Master Trust
3.581% due 12/23/2013		3,300		3,330
3.597% due 03/20/2013		5,000		5,000
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		1,584		1,169
Ford Credit Auto Owner Trust
3.891% due 06/15/2012		6,000		6,062
Home Equity Asset Trust
3.082% due 11/25/2032		3		2
Saxon Asset Securities Trust
3.002% due 08/25/2032		14		14
South Carolina Student Loan Corp.
3.207% due 09/02/2014		2,600		2,600
3.257% due 03/01/2018		6,500		6,500
3.457% due 03/02/2020		8,400		8,400
3.707% due 09/03/2024		4,300		4,300
Structured Asset Securities Corp.
2.772% due 01/25/2033		86		73
Total Asset-Backed Securities (Cost $37,596)				37,524
SHORT-TERM INSTRUMENTS 28.9%
Commercial Paper 27.4%
Australia & New Zealand Banking Group Ltd.
2.730% due 09/15/2008		18,800		18,688
Bank of America Corp.
2.450% due 08/01/2008		12,600		12,573
BNP Paribas Finance, Inc.
2.741% due 09/18/2008		17,300		17,193
Danske Corp.
2.500% due 07/15/2008		16,600		16,584
General Electric Capital Corp.
2.450% due 08/04/2008		10,900		10,875
Royal Bank of Scotland Group PLC
2.520% due 07/23/2008		18,400		18,372
Societe General N.A.
2.520% due 07/28/2008		18,400		18,365
2.650% due 08/08/2008		1,700		1,695
UBS Finance Delaware LLC
2.570% due 07/14/2008		13,200		13,188
2.625% due 09/02/2008		1,800		1,791
2.830% due 09/25/2008		600		596
Westpac Banking Corp.
2.730% due 09/18/2008		11,400		11,329
				141,249
Repurchase Agreements 0.1%
State Street Bank and Trust Co.
1.650% due 07/01/2008		349		349
(Dated 06/30/2008. Collateralized by Fannie Mae 6.300% due 12/21/2026 valued at $357. Repurchase proceeds are $349.)
U.S. Treasury Bills 1.4%
1.844% due 08/28/2008 - 09/25/2008 (c)(d)(e)		7,150		7,111
Total Short-Term Instruments (Cost $148,732)				148,709
Total Investments 173.5% (Cost $891,577)			$	893,473
Other Assets and Liabilities (Net) (73.5%)				(378,471	)
Net Assets 100.0%			$	515,002

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

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

(a) Interest only security.

(b) When-issued security.

(c) Coupon represents a weighted average rate.

(d) Securities with an aggregate market value of $6,713 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(e) Securities with an aggregate market value of $398 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2008.

(f) The average amount of borrowings outstanding during the period ended June 30, 2008 was $57,738 at a weighted average interest rate of 2.625%.

(g) Cash of $445 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar June Futures	Long	06/2009	340	$	(304	)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800%)	06/25/2046	LEH	$	1,500	$	1,460
Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 2.000% due 06/25/2038	Buy	(2.500%)	06/25/2038	LEH		1,500		1,454
Bear Stearns Asset-Backed Securities Trust floating rate based on 1-Month USD-LIBOR plus 2.000% due 12/25/2035	Buy	(2.250%)	12/25/2035	UBS		2,000		1,836
Bear Stearns Asset-Backed Securities Trust floating rate based on 1-Month USD-LIBOR plus 2.000% due 12/25/2035	Sell	2.550%	12/25/2035	BEAR		2,000		(1,831)
Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500%)	10/11/2021	GSC		500		122
							$	3,041

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 4 Index	Buy	(0.350%)	02/17/2051	BCLY	$	2,500	$	(29)
Home Equity Index A Rating 2006-1	Buy	(0.540%)	07/25/2045	BEAR		3,000		1,974
Home Equity Index BBB Rating 2006-2	Buy	(2.420%)	05/25/2046	LEH		2,500		1,612
Home Equity Index BBB Rating 2006-2	Sell	1.330%	05/25/2046	DUB		4,000		(1,626)
Home Equity Index BBB Rating 2006-2	Sell	1.330%	05/25/2046	RBS		2,500		(997)
Home Equity Index BBB Rating 2006-2	Sell	2.420%	05/25/2046	GSC		2,500		(1,640)
							$	(706)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI	$	2,300	$	(3	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	JPM		1,150		5
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		5,500		(20	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		33,400		(247	)
Pay	3-Month USD-LIBOR with 6.940% interest rate cap	0.000	%	07/01/2011	LEH		8,000		(301	)
Receive	30-Day USD-CMM Rate	4.500	%	01/23/2009	MLP		5,000		610
								$	44

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	07/01/2023	$	12,000	$	11,805	$	11,867
Fannie Mae	5.000	%	07/01/2038		3,000		2,860		2,876
Fannie Mae	6.000	%	07/01/2038		56,800		57,209		57,306
Fannie Mae	6.500	%	07/01/2038		8,500		8,738		8,751
Freddie Mac	6.000	%	07/01/2038		4,800		4,833		4,848
Ginnie Mae	6.500	%	07/01/2038		14,100		14,397		14,565
U.S. Treasury Notes	3.875	%	05/15/2018		2,500		2,456		2,499
U.S. Treasury Notes	4.500	%	05/15/2017		3,378		3,507		3,554
U.S. Treasury Notes	4.750	%	08/15/2017		1,300		1,357		1,406
						$	107,162	$	107,672

⁽³⁾ Market value includes $74 of interest payable on short sales.

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0		$	886,085		$	7,388	$	893,473
Other Financial Instruments++		(304	)		(108,255	)		3,036		(105,523	)
Total	$	(304	)	$	777,830		$	10,424	$	787,950

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/(Losses)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	1,498	$	5,892	$	0	$	(2	)	$	0	$	7,388
Other Financial Instruments++		2,849		0		0		187			0		3,036
Total	$	4,347	$	5,892	$	0	$	185		$	0	$	10,424

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

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

See Accompanying Notes

Schedule of Investments

High Yield Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 6.2%
AES Corp.
5.980% due 03/31/2010	$	3,300	$	3,284
6.360% due 03/31/2010		839		835
6.740% due 03/31/2010		250		249
7.960% due 03/31/2010		1,611		1,603
Allison Transmission, Inc.
5.235% due 08/07/2014		404		362
5.240% due 08/07/2014		2,400		2,148
5.450% due 08/07/2014		1,779		1,592
5.470% due 08/07/2014		404		362
Amadeus Global Travel Distribution S.A.
3.881% due 04/08/2012		3,371		3,053
6.846% due 04/08/2013		1,843		1,703
7.096% due 04/08/2014		1,641		1,505
7.096% due 04/08/2014		180		165
Biomet, Inc.
5.696% due 03/25/2015		1,244		1,221
Cablevision Term B
4.225% due 03/30/2013		2,487		2,369
Centennial Communications Corp.
4.381% due 01/20/2011		216		211
4.696% due 02/09/2011		2,789		2,730
Community Health Systems, Inc.
4.000% due 07/25/2014		718		677
4.631% due 07/25/2014		3,386		3,197
4.899% due 07/25/2014		10,644		10,047
Daimler Finance North America LLC
6.780% due 08/03/2012		64,562		53,474
Delphi Corp.
7.250% due 12/31/2008		1,000		999
8.500% due 12/31/2008		9,000		8,453
Ferrellgas Partners LP
7.240% due 08/01/2010 (k)		26,000		25,632
First Data Corp.
5.231% due 09/24/2014		5,038		4,639
5.446% due 09/24/2014		432		398
5.552% due 09/24/2014		1,013		933
Ford Motor Co.
5.480% due 12/15/2013		47,757		38,653
Georgia-Pacific Corp.
4.399% due 12/20/2012		583		551
4.446% due 12/20/2012		4,956		4,688
4.551% due 12/20/2012		445		421
Harrah’s Operating Co., Inc.
5.906% due 01/28/2015		20		18
5.920% due 01/28/2015		980		899
HCA, Inc.
5.051% due 11/18/2013		35,521		33,410
Headwaters, Inc.
4.400% due 04/30/2011		1,791		1,719
Health Management Associates, Inc.
4.446% due 02/28/2014		3,000		2,796
HealthSouth Corp.
5.290% due 03/10/2013		4,098		3,889
Hertz Corp.
2.801% due 12/21/2012		795		754
4.230% due 12/21/2012		3,869		3,671
4.240% due 12/21/2012		207		197
Idearc, Inc.
4.390% due 11/17/2014		340		273
4.800% due 11/17/2014		7,640		6,131
Ineos Group Holdings PLC
4.634% due 10/07/2012		972		885
4.885% due 10/07/2012		9,071		8,009
4.897% due 10/07/2012		1,626		1,436
Intelsat Bermuda Ltd.
5.200% due 02/01/2014		20,750		20,911
Las Vegas Sands Corp.
4.170% due 05/23/2014		335		306
4.450% due 05/23/2014		1,661		1,517
Lender Processing Services
7.000% due 06/18/2014		2,000		2,002
Local Insight
7.750% due 04/21/2015		4,750		4,376
Metro-Goldwyn-Mayer, Inc.
5.946% due 04/08/2012		15,760		12,974
Mylan Laboratories, Inc.
5.688% due 10/02/2014		3,388		3,360
5.938% due 10/02/2014		3,228		3,201
6.000% due 10/02/2014		1,614		1,601
Northwest Airlines, Inc.
4.480% due 08/22/2008		4,455		3,404
NRG Energy, Inc.
4.196% due 02/01/2013		4,314		4,121
NTL Investment
4.937% due 01/06/2013		1,627		1,566
Nuveen Investments, Inc.
5.381% due 11/13/2014		3,629		3,400
5.382% due 11/01/2014		197		184
5.392% due 11/01/2014		3,175		2,975
Nycomed A/S Term B2
4.946% due 12/20/2014		4,432		3,738
Nycomed A/S Term C2
5.696% due 12/20/2015		4,432		3,738
RH Donnelley Corp.
4.140% due 06/30/2011		246		241
4.150% due 06/30/2011		169		167
4.200% due 06/30/2011		54		53
4.400% due 06/30/2011		84		83
6.750% due 06/30/2011		860		845
Roundy’s Supermarket, Inc.
5.230% due 10/27/2011		9,818		9,450
Telesat Canada
5.570% due 10/22/2014		45		43
5.650% due 10/22/2014		705		680
5.790% due 10/22/2014		28		27
5.890% due 10/22/2014		286		276
5.900% due 10/22/2014		4,139		3,995
6.000% due 10/22/2014		135		130
Texas Competitive Electric Holdings Co., LLC
6.234% due 10/10/2014		16,596		15,388
6.478% due 10/10/2014		1,373		1,273
Thompson Learning, Inc.
4.880% due 06/27/2014		28,485		25,942
Tribune Co.
5.482% due 05/30/2014		4,846		3,665
5.541% due 05/30/2009		18,337		17,611
7.000% due 06/04/2014		8,565		6,324
Univision Communications, Inc.
4.631% due 09/15/2014		1,148		948
5.149% due 09/15/2014		17,852		14,739
Verso Paper Holdings LLC
8.709% due 02/01/2013		986		943
VNU/Nielson Finance LLC
4.734% due 08/09/2013		5,417		5,061
Weather Investment Term
9.984% due 12/21/2011		7,596		7,642
Weather Investments II SARL
8.760% due 10/26/2014		3,000		3,018
West Corp.
7.471% due 10/24/2013		3,000		2,757
Total Bank Loan Obligations (Cost $467,541)				434,916
CORPORATE BONDS & NOTES 77.6%
Banking & Finance 22.9%
AES Ironwood LLC
8.857% due 11/30/2025		46,770		48,758
AES Red Oak LLC
8.540% due 11/30/2019		18,960		19,766
9.200% due 11/30/2029		2,795		2,900
American Express Bank FSB
5.500% due 04/16/2013		34,750		34,027
American Express Co.
7.000% due 03/19/2018		61,950		62,908
American Express Credit Corp.
5.875% due 05/02/2013		6,275		6,248
American General Finance Corp.
6.900% due 12/15/2017		8,200		7,168
American International Group, Inc.
5.850% due 01/16/2018		18,900		17,763
8.175% due 05/15/2058		14,925		14,099
Bank of America Corp.
8.000% due 12/29/2049		106,025		99,583
Barclays Bank PLC
6.050% due 12/04/2017		19,275		18,953
7.434% due 09/29/2049		5,100		4,796
7.700% due 04/29/2049		48,525		49,616
Bear Stearns Cos., Inc.
6.400% due 10/02/2017		2,825		2,801
6.950% due 08/10/2012		2,500		2,603
7.250% due 02/01/2018		1,000		1,051
Buffalo Thunder Development Authority
9.375% due 12/15/2014		2,650		1,789
C10 Capital SPV Ltd.
6.722% due 12/31/2049		5,000		4,606
Caelus Re Ltd.
8.923% due 06/07/2011		2,950		2,950
Citigroup Capital XXI
8.300% due 12/21/2057		17,075		16,196
Citigroup Funding, Inc.
2.080% due 08/31/2012		8,000		7,857
Citigroup, Inc.
5.500% due 04/11/2013		25,525		24,948
6.125% due 05/15/2018		11,775		11,305
8.400% due 04/29/2049		31,850		30,317
Credit Suisse New York, Inc.
5.000% due 05/15/2013		10,550		10,282
El Paso Performance-Linked Trust
7.750% due 07/15/2011		23,705		24,005
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		1,000		983
5.700% due 01/15/2010		1,000		854
7.000% due 10/01/2013		19,975		14,732
7.163% due 04/15/2012		7,000		6,562
7.375% due 02/01/2011		3,704		3,008
7.800% due 06/01/2012		28,184		21,822
7.875% due 06/15/2010		880		760
8.000% due 12/15/2016		33,045		24,075
8.625% due 11/01/2010		3,225		2,738
12.000% due 05/15/2015		2,000		1,764
Forest City Enterprises, Inc.
7.625% due 06/01/2015		8,450		7,901
General Electric Capital Corp.
5.875% due 01/14/2038		4,000		3,642
GMAC LLC
4.882% due 12/01/2014		500		323
6.625% due 05/15/2012		11,850		8,138
6.750% due 12/01/2014		5,080		3,363
7.250% due 03/02/2011		5,010		3,685
8.000% due 11/01/2031		19,010		12,402
Goldman Sachs Group, Inc.
2.882% due 03/02/2010		4,500		4,420
5.950% due 01/18/2018		13,050		12,568
6.150% due 04/01/2018		14,825		14,429
6.750% due 10/01/2037		42,700		39,225
HBOS PLC
6.750% due 05/21/2018		14,100		13,522
Hexion U.S. Finance Corp.
9.750% due 11/15/2014		15,700		14,287
KRATON Polymers LLC
8.125% due 01/15/2014		21,795		11,224
Lehman Brothers Holdings, Inc.
5.625% due 01/24/2013		4,175		3,957
6.750% due 12/28/2017		19,425		18,304
6.875% due 05/02/2018		22,150		21,511
7.500% due 05/11/2038		23,600		21,977
LVB Acquisition Merger Sub, Inc.
10.000% due 10/15/2017		36,417		39,057
10.375% due 10/15/2017 (c)		38,640		41,152
11.625% due 10/15/2017		83,412		88,834
Merrill Lynch & Co., Inc.
4.966% due 05/12/2010		15,025		14,795
6.875% due 04/25/2018		44,325		42,318
Metropolitan Life Global Funding I
3.554% due 06/25/2010		5,000		4,998
Mirage Resorts, Inc.
7.250% due 08/01/2017		8,625		7,482
Morgan Stanley
2.870% due 05/07/2010		1,650		1,594
2.984% due 01/18/2011		2,325		2,211
4.778% due 05/14/2010		4,600		4,585
5.950% due 12/28/2017		53,100		48,357
6.000% due 04/28/2015		2,150		2,061
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		10,150		8,819
NSG Holdings LLC
7.750% due 12/15/2025		31,095		30,784
Nuveen Investments, Inc.
10.500% due 11/15/2015		2,350		2,180
Petroleum Export Ltd. II
6.340% due 06/20/2011		13,107		13,058
Petroplus Finance Ltd.
6.750% due 05/01/2014		5,650		5,142
7.000% due 05/01/2017		4,770		4,233
Rabobank Capital Funding Trust
5.254% due 12/29/2049		8,035		6,918
Residential Capital LLC
8.125% due 11/21/2008		16,600		14,608
9.625% due 05/15/2015		1,854		908
Royal Bank of Scotland Group PLC
6.990% due 10/29/2049		16,050		14,482
7.640% due 03/31/2049		36,825		33,754
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		29,400		28,478
SLM Corp.
3.080% due 07/26/2010		5,950		5,283
3.130% due 07/25/2008		10,575		10,539
5.000% due 04/15/2015		2,000		1,696
5.000% due 06/15/2018		1,000		766
Tenneco, Inc.
8.125% due 11/15/2015		13,175		11,989
8.625% due 11/15/2014		10,399		9,229
10.250% due 07/15/2013		2,050		2,155
TNK-BP Finance S.A.
6.625% due 03/20/2017		9,200		8,165
7.500% due 07/18/2016		14,750		14,001
TransCapitalInvest Ltd. for OJSC AK Transneft
5.670% due 03/05/2014		4,125		3,866
6.103% due 06/27/2012		7,000		7,044
UBS AG
2.910% due 07/23/2009		9,200		9,095
5.750% due 04/25/2018		29,675		28,410
5.875% due 12/20/2017		15,800		15,419
UBS Preferred Funding Trust V
6.243% due 05/12/2049		9,200		8,080
Universal City Development Partners
11.750% due 04/01/2010		3,000		3,090
Universal City Florida Holding Co. I & II
7.623% due 05/01/2010		12,273		11,905
8.375% due 05/01/2010		7,900		7,860
Ventas Realty LP
6.500% due 06/01/2016		4,560		4,378
6.750% due 04/01/2017		15,710		15,160
7.125% due 06/01/2015		9,475		9,297
9.000% due 05/01/2012		440		463
Wachovia Corp.
7.980% due 12/31/2049		115,400		106,289
Washington Mutual, Inc.
8.250% due 04/01/2010		12,225		10,823
Wells Fargo Capital XIII
7.700% due 12/29/2049		12,750		12,692
Wilmington Trust Co.
10.732% due 01/01/2013 (k)		4,960		5,379
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		14,570		15,371
				1,618,723
Industrials 43.1%
Actuant Corp.
6.875% due 06/15/2017		14,100		13,924
Allied Waste North America, Inc.
7.250% due 03/15/2015		32,327		32,408
Allison Transmission, Inc.
11.000% due 11/01/2015		24,920		22,428
11.250% due 11/01/2015 (c)		8,700		7,569
American Stores Co.
8.000% due 06/01/2026		32,000		32,565
AmeriGas Partners LP
7.125% due 05/20/2016		32,745		30,535
7.250% due 05/20/2015		19,670		18,490
ARAMARK Corp.
6.373% due 02/01/2015		3,950		3,713
8.500% due 02/01/2015		31,555		31,082
ArvinMeritor, Inc.
8.125% due 09/15/2015		47,765		37,734
8.750% due 03/01/2012		19,010		16,824
Berry Plastics Corp.
7.568% due 02/15/2015		20,100		19,346
Berry Plastics Holding Corp.
6.651% due 09/15/2014		2,365		1,904
8.875% due 09/15/2014		31,280		27,214
Bombardier, Inc.
8.000% due 11/15/2014		1,580		1,627
Bon-Ton Department Stores, Inc.
10.250% due 03/15/2014		35,110		23,216
Buhrmann U.S., Inc.
7.875% due 03/01/2015		13,790		15,409
8.250% due 07/01/2014		14,890		16,267
C8 Capital SPV Ltd.
6.640% due 12/29/2049		700		657
6.640% due 12/31/2049		3,800		3,534
CanWest MediaWorks LP
9.250% due 08/01/2015		3,851		3,158
Cascades, Inc.
7.250% due 02/15/2013		23,360		20,440
CCO Holdings LLC
8.750% due 11/15/2013		74,801		69,191
Celestica, Inc.
7.625% due 07/01/2013		11,815		11,401
7.875% due 07/01/2011		41,339		41,546
Chart Industries, Inc.
9.125% due 10/15/2015		8,865		9,242
Charter Communications Operating LLC
8.375% due 04/30/2014		3,950		3,762
Chemtura Corp.
6.875% due 06/01/2016		11,620		10,109
Chesapeake Energy Corp.
6.875% due 01/15/2016		2,140		2,076
7.000% due 08/15/2014		7,905		7,786
7.250% due 12/15/2018		5,025		4,912
7.500% due 09/15/2013		2,200		2,211
7.500% due 06/15/2014		7,655		7,636
7.625% due 07/15/2013		9,680		9,753
Choctaw Resort Development Enterprise
7.250% due 11/15/2019		4,883		4,126
Citic Resources Finance Ltd.
6.750% due 05/15/2014		2,975		2,785
Clorox Co.
4.200% due 01/15/2010		7,350		7,293
Colorado Interstate Gas Co.
5.950% due 03/15/2015		2,450		2,414
Community Health Systems, Inc.
8.875% due 07/15/2015		67,407		68,165
Compagnie Générale de Géophysique-Veritas
7.500% due 05/15/2015		10,280		10,306
7.750% due 05/15/2017		10,845		10,913
Continental Airlines, Inc.
6.920% due 04/02/2013 (k)		16,283		16,132
7.373% due 12/15/2015		1,048		870
7.566% due 03/15/2020		2,835		2,538
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		19,295		16,208
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		2,625		2,632
7.750% due 11/15/2015		20,045		20,145
CSC Holdings, Inc.
6.750% due 04/15/2012		7,935		7,499
7.625% due 04/01/2011		42,570		41,931
7.625% due 07/15/2018		28,650		26,501
DaVita, Inc.
7.250% due 03/15/2015		32,175		31,451
Delta Air Lines, Inc.
7.779% due 01/02/2012		7,855		6,991
Dex Media West LLC
9.875% due 08/15/2013		15,786		14,247
Dex Media, Inc.
8.000% due 11/15/2013		5,500		4,043
DirecTV Holdings LLC
8.375% due 03/15/2013		2,675		2,769
Dynegy Holdings, Inc.
6.875% due 04/01/2011		8,705		8,651
7.125% due 05/15/2018		6,005		5,254
7.500% due 06/01/2015		13,250		12,289
7.625% due 10/15/2026		3,985		3,327
8.750% due 02/15/2012		1,500		1,530
Dynegy Roseton/Danskammer Pass-Through Trust Series B
7.670% due 11/08/2016		20,010		19,710
EchoStar DBS Corp.
7.000% due 10/01/2013		16,080		15,397
7.125% due 02/01/2016		74,829		69,404
El Paso Corp.
7.000% due 06/15/2017		30,895		30,419
7.420% due 02/15/2037		1,375		1,327
7.750% due 06/15/2010		6,975		7,197
7.800% due 08/01/2031		29,497		29,907
8.050% due 10/15/2030		7,185		7,396
Enterprise Products Operating LP
7.034% due 01/15/2068		4,840		4,242
8.375% due 08/01/2066		22,115		22,159
Ferrellgas Partners LP
7.120% due 08/01/2008 (k)		11,000		11,047
8.750% due 06/15/2012		11,920		11,741
8.870% due 08/01/2009 (k)		12,250		12,825
First Data Corp.
9.875% due 09/24/2015		96,825		84,359
Ford Motor Co.
7.125% due 11/15/2025		8,722		4,928
7.500% due 08/01/2026		19,800		11,385
9.215% due 09/15/2021		1,225		827
Freeport-McMoRan Copper & Gold, Inc.
5.882% due 04/01/2015		5,595		5,657
8.250% due 04/01/2015		13,075		13,763
8.375% due 04/01/2017		42,080		44,463
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		34,320		28,057
9.125% due 12/15/2014 (c)		9,675		7,571
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		26,550		27,612
Gaz Capital S.A.
8.146% due 04/11/2018		13,375		13,893
General Motors Corp.
7.400% due 09/01/2025		600		312
7.700% due 04/15/2016		4,230		2,580
8.250% due 07/15/2023		26,630		15,645
Georgia-Pacific LLC
7.000% due 01/15/2015		2,690		2,542
7.125% due 01/15/2017		12,800		12,096
7.250% due 06/01/2028		12,525		10,521
7.375% due 12/01/2025		33,830		28,756
7.700% due 06/15/2015		2,335		2,218
7.750% due 11/15/2029		3,000		2,655
8.000% due 01/15/2024		62,090		57,744
9.500% due 12/01/2011		3,905		3,988
Goodyear Tire & Rubber Co.
7.857% due 08/15/2011		2,150		2,147
9.000% due 07/01/2015		22,238		22,294
Harrah’s Operating Co., Inc.
10.750% due 02/01/2016		31,143		26,004
HCA, Inc.
7.190% due 11/15/2015		24,542		21,284
8.750% due 09/01/2010		2,853		2,903
9.000% due 12/15/2014		7,936		7,583
9.125% due 11/15/2014		16,145		16,549
9.250% due 11/15/2016		136,030		140,451
9.625% due 11/15/2016 (c)		3,575		3,691
Health Management Associates, Inc.
6.125% due 04/15/2016		11,800		10,384
Hertz Corp.
8.875% due 01/01/2014		68,361		62,892
Ineos Group Holdings PLC
8.500% due 02/15/2016		42,206		27,961
Ingles Markets, Inc.
8.875% due 12/01/2011		18,110		18,427
Intergen NV
9.000% due 06/30/2017		28,908		30,064
JET Equipment Trust
7.630% due 08/15/2012 (a)		1,431		7
9.410% due 06/15/2010 (a)		713		592
10.000% due 06/15/2012 (a)		5,395		4,531
Kansas City Southern de Mexico S.A. de C.V.
9.375% due 05/01/2012		13,164		13,756
Legrand France S.A.
8.500% due 02/15/2025		16,900		19,076
Mattel, Inc.
3.176% due 06/15/2009		5,500		5,496
Meritor Automotive, Inc.
6.800% due 02/15/2009		1,000		986
MGM Mirage
6.625% due 07/15/2015		1,800		1,454
6.875% due 04/01/2016		24,365		19,736
7.500% due 06/01/2016		3,550		2,938
Nalco Co.
8.875% due 11/15/2013		24,590		25,328
New Albertson’s, Inc.
6.570% due 02/23/2028		500		402
7.450% due 08/01/2029		24,275		23,125
7.750% due 06/15/2026		580		573
Norampac Industries, Inc.
6.750% due 06/01/2013		13,879		11,728
Nordic Telephone Co. Holdings ApS
8.875% due 05/01/2016		21,635		21,310
Nortel Networks Ltd.
6.963% due 07/15/2011		23,035		21,883
10.125% due 07/15/2013		47,945		47,106
10.750% due 07/15/2016		4,085		4,065
Northwest Airlines, Inc.
7.691% due 04/01/2017		6,713		5,639
Northwest Pipeline Corp.
7.125% due 12/01/2025		4,300		4,354
Novelis, Inc.
7.250% due 02/15/2015		5,906		5,611
OPTI Canada, Inc.
8.250% due 12/15/2014		14,345		14,345
Quebecor Media, Inc.
7.750% due 03/15/2016		58,982		55,148
Quiksilver, Inc.
6.875% due 04/15/2015		10,735		9,178
Qwest Communications International, Inc.
6.176% due 02/15/2009		475		475
7.250% due 02/15/2011		2,535		2,462
7.500% due 02/15/2014		100,809		96,273
Reynolds American, Inc.
7.750% due 06/01/2018		4,555		4,797
RH Donnelley Corp.
6.875% due 01/15/2013		9,125		5,475
8.875% due 01/15/2016		82,470		49,894
8.875% due 10/15/2017		35,605		21,363
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		10,840		10,704
Roseton
7.270% due 11/08/2010		28,609		28,913
Royal Caribbean Cruises Ltd.
7.250% due 03/15/2018		3,225		2,749
SandRidge Energy, Inc.
6.416% due 04/01/2014		2,000		1,966
8.000% due 06/01/2018		1,300		1,311
8.625% due 04/01/2015 (c)		59,100		60,873
Sanmina-SCI Corp.
8.125% due 03/01/2016		20,905		18,919
SemGroup LP
8.750% due 11/15/2015		46,350		45,191
Sensata Technologies BV
8.000% due 05/01/2014		45,525		42,111
Service Corp. International
7.375% due 10/01/2014		2,095		2,105
7.625% due 10/01/2018		3,705		3,714
Smurfit Kappa Funding PLC
7.750% due 04/01/2015		1,650		1,510
Smurfit Kappa Treasury Funding Ltd.
7.500% due 11/20/2025		5,300		4,796
Sonat, Inc.
7.000% due 02/01/2018		7,109		7,137
Station Casinos, Inc.
7.750% due 08/15/2016		31,895		24,559
Suburban Propane Partners LP
6.875% due 12/15/2013		14,657		13,924
Sungard Data Systems, Inc.
9.125% due 08/15/2013		52,866		53,659
Superior Essex Communications LLC
9.000% due 04/15/2012		15,600		15,990
SUPERVALU, Inc.
7.500% due 11/15/2014		7,170		7,215
Terex Corp.
8.000% due 11/15/2017		1,935		1,930
Tesoro Petroleum Corp.
7.466% due 07/17/2012 (k)		10,000		9,920
TRW Automotive, Inc.
7.000% due 03/15/2014		24,550		21,420
7.250% due 03/15/2017		19,935		16,845
United Airlines, Inc.
6.071% due 03/01/2013		2,068		2,040
6.201% due 09/01/2008		1,524		1,501
6.602% due 09/01/2013		1,922		1,903
7.032% due 10/01/2010		998		983
United Rentals North America, Inc.
6.500% due 02/15/2012		23,805		21,544
Unitymedia GmbH
10.375% due 02/15/2015		11,350		11,222
Verso Paper Holdings LLC
6.623% due 08/01/2014		3,035		2,807
9.125% due 08/01/2014		35,570		34,948
Videotron Ltee
9.125% due 04/15/2018		1,500		1,575
Waste Management, Inc.
6.875% due 05/15/2009		14,400		14,687
West Corp.
9.500% due 10/15/2014		30,345		27,462
11.000% due 10/15/2016		9,600		8,160
Willamette Industries, Inc.
6.450% due 08/19/2009		10,650		10,794
Williams Cos., Inc.
6.375% due 10/01/2010		5,610		5,694
7.625% due 07/15/2019		9,340		9,854
Williams Partners LP
7.250% due 02/01/2017		6,100		6,130
Windstream Corp.
8.625% due 08/01/2016		34,400		34,486
Wynn Las Vegas Capital Corp.
6.625% due 12/01/2014		28,215		25,958
Xerox Corp.
7.125% due 06/15/2010		15,770		16,294
				3,042,265
Utilities 11.6%
AES Corp.
7.750% due 03/01/2014		2,050		2,032
8.000% due 10/15/2017		3,185		3,137
8.000% due 06/01/2020		4,575		4,438
8.875% due 02/15/2011		730		759
Cincinnati Bell Telephone Co. LLC
6.300% due 12/01/2028		2,000		1,610
Cincinnati Bell, Inc.
7.000% due 02/15/2015		4,255		3,989
7.250% due 07/15/2013		4,635		4,542
8.375% due 01/15/2014		5,564		5,411
Citizens Communications Co.
6.250% due 01/15/2013		2,375		2,215
6.625% due 03/15/2015		2,045		1,866
7.000% due 11/01/2025		1,650		1,221
7.125% due 03/15/2019		38,045		34,240
7.450% due 07/01/2035		5,460		4,040
7.875% due 01/15/2027		1,875		1,650
9.000% due 08/15/2031		21,060		19,059
9.250% due 05/15/2011		675		702
Edison Mission Energy
7.200% due 05/15/2019		1,670		1,566
7.750% due 06/15/2016		5,620		5,620
Energy Future Holdings Corp.
10.875% due 11/01/2017		115,230		116,958
11.250% due 11/01/2017 (c)		4,400		4,411
Hawaiian Telcom Communications, Inc.
8.486% due 05/01/2013		6,225		2,397
9.750% due 05/01/2013		26,110		10,575
Homer City Funding LLC
8.734% due 10/01/2026		11,691		12,598
Ipalco Enterprises, Inc.
7.250% due 04/01/2016		7,910		7,831
Kinder Morgan Finance Co. ULC
5.700% due 01/05/2016		24,955		22,335
Knight, Inc.
5.150% due 03/01/2015		750		666
6.500% due 09/01/2012		2,852		2,795
MetroPCS Wireless, Inc.
9.250% due 11/01/2014		19,715		19,074
Midwest Generation LLC
8.560% due 01/02/2016		63,758		65,830
NGPL Pipe Co. LLC
7.119% due 12/15/2017		25,610		26,245
NRG Energy, Inc.
7.250% due 02/01/2014		17,470		16,728
7.375% due 02/01/2016		64,265		60,650
7.375% due 01/15/2017		25,820		24,464
Oncor Electric Delivery Co.
7.250% due 01/15/2033		1,000		990
PetroHawk Energy Corp.
7.875% due 06/01/2015		1,800		1,766
PSEG Energy Holdings LLC
8.500% due 06/15/2011		47,705		50,289
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		12,360		12,051
Qwest Corp.
6.026% due 06/15/2013		4,915		4,718
7.200% due 11/10/2026		9,976		8,430
7.500% due 06/15/2023		12,355		11,058
8.875% due 03/15/2012		16,955		17,379
Reliant Energy, Inc.
6.750% due 12/15/2014		57,199		58,629
7.625% due 06/15/2014		785		769
Rural Cellular Corp.
9.875% due 02/01/2010		23,665		24,197
Sierra Pacific Resources
6.750% due 08/15/2017		5,905		5,772
Sprint Capital Corp.
7.625% due 01/30/2011		5,150		5,063
Sprint Nextel Corp.
6.000% due 12/01/2016		16,475		14,191
Telesat Canada/Telesat LLC
11.000% due 11/01/2015		8,200		7,708
12.500% due 11/01/2017		6,200		5,828
Tenaska Alabama Partners LP
7.000% due 06/30/2021		19,536		18,570
Texas Competitive Electric Holdings Co. LLC
10.250% due 11/01/2015		35,985		35,445
10.500% due 11/01/2016 (c)		3,180		3,093
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		33,609		34,533
UBS Luxembourg S.A. for OJSC Vimpel Communications
8.250% due 05/23/2016		4,500		4,416
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (k)		3,046		3,300
				819,849
Total Corporate Bonds & Notes (Cost $5,808,513)				5,480,837
CONVERTIBLE BONDS & NOTES 1.7%
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		11,950		7,588
ArvinMeritor, Inc.
4.000% due 02/15/2027		1,350		958
Chesapeake Energy Corp.
2.250% due 12/15/2038		18,500		21,345
2.500% due 05/15/2037		10,425		18,543
Citigroup Funding, Inc.
1.080% due 08/31/2012		5,000		4,760
CMS Energy Corp.
2.875% due 12/01/2024		14,290		16,916
Deutsche Bank AG
0.000% due 07/14/2008		4,900		1,943
0.000% due 09/29/2008		3,425		1,372
0.000% due 10/24/2008		4,525		1,903
0.450% due 08/31/2012		8,000		10,964
Morgan Stanley
1.700% due 10/15/2012		7,200		9,104
Mylan, Inc.
1.250% due 03/15/2012		5,250		4,423
Nortel Networks Corp.
1.750% due 04/15/2012		3,500		2,638
2.125% due 04/15/2014		11,900		8,032
NovaMed, Inc.
1.000% due 06/15/2012		200		153
Qwest Communications International, Inc.
3.500% due 11/15/2025		12,375		12,236
Total Convertible Bonds & Notes (Cost $128,679)				122,878
MUNICIPAL BONDS & NOTES 0.1%
Massachusetts Educational Financing Authority Bonds, Series 2008
3.701% due 04/25/2028 (b)		4,000		4,000
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		3,200		220
Total Municipal Bonds & Notes (Cost $4,275)				4,220
U.S. GOVERNMENT AGENCIES 12.7%
Fannie Mae
5.000% due 10/01/2033 - 07/01/2038		481,017		461,100
5.500% due 09/01/2017 - 07/01/2038		359,454		354,434
Freddie Mac
5.000% due 05/01/2023		46,833		46,321
5.500% due 07/01/2038		40,000		39,406
Total U.S. Government Agencies (Cost $895,816)				901,261
MORTGAGE-BACKED SECURITIES 0.6%
American Home Mortgage Assets Trust
4.448% due 11/25/2046		5,695		4,210
Banc of America Funding Corp.
5.357% due 11/20/2035		643		600
BCAP LLC Trust
2.652% due 01/25/2037		2,376		1,522
Bear Stearns Adjustable Rate Mortgage Trust
5.733% due 02/25/2036		567		472
Bear Stearns Alt-A Trust
2.702% due 12/25/2046		390		156
Countrywide Alternative Loan Trust
2.652% due 01/25/2037		700		410
2.712% due 08/25/2046		1,343		756
2.732% due 09/25/2046		700		238
2.732% due 10/25/2046		519		304
2.752% due 05/25/2036		572		321
3.252% due 11/25/2035		842		644
5.414% due 10/25/2035		501		471
5.750% due 03/25/2037		500		416
Countrywide Home Loan Mortgage Pass-Through Trust
2.782% due 04/25/2046		743		407
5.454% due 02/25/2047		619		461
5.555% due 04/20/2036		583		545
5.615% due 02/20/2036		641		628
5.650% due 03/25/2037		595		439
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.582% due 10/25/2035		496		429
5.869% due 10/25/2036		700		508
5.886% due 10/25/2036		700		501
Downey Savings & Loan Association Mortgage Loan Trust
2.802% due 07/19/2045		553		345
Greenpoint Mortgage Funding Trust
2.682% due 10/25/2046		800		420
2.682% due 12/25/2046		600		215
2.692% due 10/25/2046		800		305
2.752% due 04/25/2036		756		431
GSR Mortgage Loan Trust
2.742% due 08/25/2046		638		334
Harborview Mortgage Loan Trust
2.682% due 09/19/2046		828		573
Indymac INDA Mortgage Loan Trust
5.936% due 08/25/2036		700		549
Indymac Index Mortgage Loan Trust
2.752% due 06/25/2037		766		447
5.369% due 01/25/2036		481		462
5.439% due 09/25/2035		526		378
5.511% due 10/25/2035		492		396
5.987% due 06/25/2036		700		558
MASTR Adjustable Rate Mortgages Trust
2.782% due 05/25/2047		800		397
2.822% due 05/25/2047		600		230
Merrill Lynch Mortgage Investors, Inc.
4.863% due 12/25/2032		1,250		1,235
Morgan Stanley Capital I
5.544% due 11/12/2049		700		630
5.692% due 04/15/2049		1,100		1,040
Nomura Asset Acceptance Corp.
5.820% due 03/25/2047		600		500
Residential Accredit Loans, Inc.
2.662% due 06/25/2046		11,128		7,982
2.712% due 05/25/2037		969		503
5.672% due 09/25/2035		541		461
Sovereign Commercial Mortgage Securities Trust
5.833% due 07/22/2030		800		786
Structured Adjustable Rate Mortgage Loan Trust
5.246% due 05/25/2036		700		608
5.377% due 11/25/2035		504		428
5.431% due 09/25/2036		700		576
6.000% due 10/25/2037		625		467
Structured Asset Mortgage Investments, Inc.
2.692% due 05/25/2046		2,796		2,002
2.742% due 05/25/2046		674		382
2.782% due 08/25/2036		900		467
TBW Mortgage-Backed Pass-Through Certificates
6.014% due 07/25/2037		600		481
WaMu Mortgage Pass-Through Certificates
2.702% due 07/25/2046		670		531
2.892% due 11/25/2045		600		382
2.892% due 12/25/2045		600		326
2.928% due 11/25/2034		1,327		1,124
4.043% due 09/25/2033		1,207		1,155
4.338% due 07/25/2047		920		663
Washington Mutual Alternative Mortgage Pass-Through Certificates
4.288% due 04/25/2047		944		536
Total Mortgage-Backed Securities (Cost $45,623)				43,743
ASSET-BACKED SECURITIES 0.5%
Carrington Mortgage Loan Trust
2.602% due 02/25/2037		2,404		2,326
Credit-Based Asset Servicing & Securitization LLC
2.592% due 04/25/2036		4,483		4,406
Ford Credit Auto Owner Trust
3.891% due 06/15/2012		10,600		10,710
Franklin Auto Trust
4.062% due 06/20/2012		2,975		2,969
GSAA Trust
2.782% due 05/25/2047		700		362
GSAMP Trust
2.512% due 03/25/2047		2,844		2,708
Lehman XS Trust
2.712% due 06/25/2046		736		416
2.712% due 08/25/2046		666		440
2.722% due 09/25/2046		822		414
2.722% due 11/25/2046		789		438
Morgan Stanley Mortgage Loan Trust
2.712% due 02/25/2037		600		291
2.842% due 04/25/2037		800		467
5.750% due 04/25/2037		590		515
6.000% due 07/25/2047		604		520
Novastar Home Equity Loan
2.582% due 03/25/2037		5,103		4,860
RAAC Series 2007-SP2
2.882% due 06/25/2047		700		493
Residential Asset Securities Corp.
2.592% due 04/25/2037		2,968		2,831
Total Asset-Backed Securities (Cost $35,482)				35,166
FOREIGN CURRENCY-DENOMINATED ISSUES 4.3%
Amadeus Global Travel Distribution S.A.
6.959% due 04/08/2013	EUR	5,634		8,195
7.209% due 04/08/201		5,634		8,242
Bombardier, Inc.
7.250% due 11/15/2016		15,225		22,952
Credit Agricole S.A.
4.130% due 11/29/2049		2,800		3,487
General Motors Corp.
8.375% due 07/05/2033		5,000		4,265
Intesa Sanpaolo SpA
8.047% due 12/31/2049		7,700		11,801
Lighthouse International Co. S.A.
8.000% due 04/30/2014		15,975		18,864
M&G Finance Luxembourg S.A.
7.500% due 03/29/2049		5,000		4,487
Nordic Telephone Co. Holdings ApS
6.340% due 11/30/2013		3,385		5,194
6.565% due 11/30/2014		6,250		9,628
8.250% due 05/01/2016		18,275		26,327
OI European Group BV
6.875% due 03/31/2017		2,000		2,976
Prosieben Media AG
6.730% due 05/09/2015		4,000		5,208
Rockwood Specialties Group, Inc.
7.625% due 11/15/2014		9,900		14,379
Royal Bank of Scotland Group PLC
9.644% due 04/06/2011	GBP	7,131		12,453
Sensata Technologies BV
10.347% due 10/27/2013	EUR	14,000		20,224
Telenet Bidco
7.468% due 07/31/2015		20,000		30,229
Unitymedia GmbH
8.750% due 02/15/2015		1,000		1,425
Unitymedia Hessen GmbH & Co. KG
7.723% due 04/15/2013		700		1,050
UPC Broadband Holding BV
6.467% due 12/31/2014		13,916		19,924
6.491% due 12/31/2014		5,500		7,875
UPC Holding BV
7.750% due 01/15/2014		8,025		11,245
8.625% due 01/15/2014		18,550		27,016
Virgin Media Finance PLC
8.750% due 04/15/2014		18,000		26,002
Total Foreign Currency-Denominated Issues (Cost $287,856)				303,448
		Shares
COMMON STOCKS 0.0%
Pride International, Inc. (d)		40,570		1,918
Reliant Resources, Inc. - Warrants Exp. 08/25/2008 (k)		65,885		1,067
U.S. Airways Group, Inc. ‘A’		12,224		0
Total Common Stocks (Cost $1,824)				2,985
CONVERTIBLE PREFERRED STOCKS 1.6%
American International Group, Inc.
8.500% due 08/01/2011		102,200		6,059
Bank of America Corp.
7.250% due 12/31/2049		46,000		40,664
Citigroup, Inc.
6.500% due 12/31/2049		121,000		5,294
Fannie Mae
5.375% due 12/31/2049		9		542
Freeport-McMoRan Copper & Gold, Inc.
6.750% due 05/01/2010		83,800		14,068
General Motors Corp.
5.250% due 03/06/2032		1,414,035		19,708
Lehman Brothers Holdings, Inc.
8.160% due 05/30/2009		90,320		5,139
8.750% due 07/01/2011		6,700		5,172
Merrill Lynch & Co., Inc.
9.700% due 05/20/2009		97,328		5,348
Wachovia Corp.
7.500% due 12/31/2049		9,000		7,969
Total Convertible Preferred Stocks (Cost $122,451)				109,963
		Principal Amount (000)
SHORT-TERM INSTRUMENTS 6.2%
Certificates Of Deposit 0.2%
UBS AG Stamford
3.064% due 03/17/2009	$	7,700		7,518
Unicredito Italiano NY
3.071% due 05/15/2009		4,950		4,801
				12,319
Commercial Paper 4.0%
Danske Corp.
2.495% due 07/21/2008		750		749
Royal Bank of Scotland Group PLC
2.860% due 08/06/2008		24,800		24,729
Societe General N.A.
2.880% due 09/12/2008		59,200		58,865
UBS Finance Delaware LLC
2.625% due 09/02/2008		80,800		80,412
2.645% due 09/03/2008		115,100		114,537
				279,292
Repurchase Agreements 0.4%
Deutsche Bank AG
1.500% due 07/01/2008		22,000		22,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $22,414. Repurchase proceeds are $22,001.)
Fixed Income Clearing Corp.
1.650% due 07/01/2008		7,808		7,808
(Dated 06/30/2008. Collateralized by Freddie Mac 0.000% due 12/15/2008 valued at $7,964. Repurchase proceeds are $7,808.)
				29,808
U.S. Treasury Bills 1.6%
1.820% due 08/28/2008 - 09/25/2008 (e)(f)		116,250		115,567
Total Short-Term Instruments (Cost $437,541)				436,986
PURCHASED OPTIONS (i) 0.9% (Cost $59,291)				67,049
Total Investments 112.4% (Cost $8,294,892)			$	7,943,452
Written Options (j) (1.0%) (Premiums $69,109)				(72,489	)
Other Assets and Liabilities (Net) (11.4%)				(805,593	)
Net Assets 100.0%			$	7,065,370

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) Non-income producing security.

(e) Coupon represents a weighted average rate.

(f) Securities with an aggregate market value of $115,070 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(g) Cash of $22,748 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2009	3,540	$	209
90-Day Eurodollar March Futures	Long	03/2009	3,503		329
90-Day Eurodollar September Futures	Long	09/2009	3,143		(1,994)
U.S. Treasury 30-Year Bond September Futures	Short	09/2008	1,627		(2,284)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	1,570		(1,132)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	2,219		(1,448)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	202		(146)
				$	(6,466)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Allied Waste North America, Inc. 7.375% due 04/15/2014	Sell	3.050	%	06/20/2013	JPM	$	1,350	$	98
ARAMARK Corp. 8.500% due 02/01/2015	Sell	1.300	%	09/20/2008	BOA		4,800		(11)
ARAMARK Corp. 8.500% due 02/01/2015	Sell	2.150	%	09/20/2008	LEH		2,500		0
ARAMARK Corp. 8.500% due 02/01/2015	Sell	4.500	%	09/20/2013	GSC		11,500		(258)
ArvinMeritor, Inc. 8.750% due 03/01/2012	Sell	2.350	%	12/20/2009	LEH		2,000		(116)
Biomet, Inc. 0.000% due 09/25/2013	Sell	3.550	%	03/20/2013	MSC		1,500		57
Bon-Ton Department Stores, Inc. 10.250% due 03/15/2014	Sell	3.500	%	09/20/2008	LEH		5,000		(67)
Celestica, Inc. 7.625% due 07/01/2013	Sell	4.350	%	09/20/2013	CITI		950		(18)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	2.000	%	03/20/2013	LEH		12,000		(55)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	2.050	%	06/20/2013	RBS		7,500		(39)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Buy	(2.210	%)	06/20/2017	RBS		4,300		77
Chrysler Financial 9.360% due 08/03/2012	Sell	5.250	%	09/20/2012	DUB		3,500		(526)
Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	4.600	%	06/20/2013	GSC		2,000		(11)
Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	4.570	%	09/20/2013	GSC		24,700		(290)
CSC Holdings, Inc. 0.000% due 05/02/2012	Sell	3.650	%	03/20/2013	MSC		1,500		40
CSC Holdings, Inc. 7.625% due 04/01/2011	Sell	2.010	%	06/20/2012	MSC		1,000		(85)
CSC Holdings, Inc. 7.625% due 07/15/2018	Sell	1.250	%	09/20/2008	BCLY		4,675		13
CSC Holdings, Inc. 7.625% due 07/15/2018	Sell	2.080	%	06/20/2012	MLP		5,500		(455)
CSC Holdings, Inc. 7.625% due 07/15/2018	Sell	2.520	%	09/20/2012	LEH		1,000		(75)
Dynegy Holdings, Inc. 6.875% due 04/01/2011	Sell	1.800	%	09/20/2008	MLP		2,700		4
Dynegy Holdings, Inc. 8.375% due 05/01/2016	Sell	4.430	%	06/20/2013	GSC		2,000		(11)
Flextronics International Ltd. 6.500% due 05/15/2013	Buy	(3.250	%)	06/20/2013	GSC		5,000		(44)
Ford Motor Co. 6.500% due 08/01/2018	Sell	5.000	%	12/20/2008	MSC		18,000		(158)
Ford Motor Co. 7.450% due 07/16/2031	Buy	(2.850	%)	12/20/2008	MLP		18,000		609
Ford Motor Co. 7.450% due 07/16/2031	Sell	4.850	%	12/20/2010	MLP		18,000		(3,581)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.450	%	12/20/2008	CSFB		12,000		(432)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.800	%	12/20/2008	CITI		10,000		(343)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.000	%	12/20/2008	LEH		1,000		(23)
Forest Oil Corp. 7.750% due 05/01/2014	Sell	2.250	%	12/20/2012	CITI		4,500		(55)
Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	2.400	%	09/20/2008	LEH		4,875		(17)
Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	2.750	%	09/20/2008	LEH		2,750		(7)
Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	5.000	%	09/20/2013	CITI		11,000		(322)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.250	%	09/20/2008	CITI		1,600		(24)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.750	%	09/20/2012	CITI		2,000		(581)
General Motors Corp. 7.125% due 07/15/2013	Sell	7.100	%	09/20/2012	CITI		20,000		(5,157)
General Motors Corp. 7.125% due 07/15/2013	Sell	6.700	%	12/20/2012	GSC		3,000		(812)
General Motors Corp. 7.125% due 07/15/2013	Sell	6.700	%	12/20/2012	MLP		6,150		(1,664)
General Motors Corp. 7.125% due 07/15/2013	Sell	6.750	%	12/20/2012	BOA		3,000		(808)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	03/20/2013	LEH		3,200		(532)
Georgia-Pacific Corp. 0.000% due 12/20/2008	Sell	3.800	%	03/20/2013	MSC		1,500		67
Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	3.400	%	12/20/2012	MLP		3,000		(130)
Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	3.600	%	12/20/2012	MLP		5,000		(180)
Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	4.720	%	06/20/2013	BCLY		2,000		3
Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	5.150	%	06/20/2013	BOA		2,800		49
Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	4.550	%	09/20/2013	CITI		4,000		(33)
Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	4.700	%	09/20/2013	CITI		5,000		(12)
Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	4.650	%	06/20/2015	CITI		350		(4)
GMAC LLC 6.875% due 08/28/2012	Sell	3.650	%	09/20/2008	LEH		2,000		(41)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	09/20/2008	MLP		2,000		(34)
GMAC LLC 6.875% due 08/28/2012	Sell	1.120	%	12/20/2008	CITI		10,650		(599)
GMAC LLC 6.875% due 08/28/2012	Sell	6.800	%	12/20/2008	LEH		5,000		(144)
GMAC LLC 6.875% due 08/28/2012	Sell	6.850	%	12/20/2008	DUB		3,650		(104)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	03/20/2009	BOA		1,850		123
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	06/20/2009	GSC		1,370		(51)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	03/20/2010	MLP		1,500		(115)
GMAC LLC 6.875% due 08/28/2012	Sell	2.110	%	03/20/2012	JPM		10,000		(3,207)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	03/20/2012	DUB		3,000		(328)
GMAC LLC 6.875% due 08/28/2012	Sell	6.350	%	12/20/2012	DUB		3,650		(907)
GMAC LLC 6.875% due 08/28/2012	Sell	6.560	%	12/20/2012	MSC		11,500		(2,807)
GMAC LLC 6.875% due 08/28/2012	Sell	6.800	%	12/20/2012	GSC		5,000		(1,195)
GMAC LLC 6.875% due 08/28/2012	Sell	7.000	%	12/20/2012	BOA		2,500		(587)
GMAC LLC 6.875% due 08/28/2012	Sell	8.000	%	12/20/2012	LEH		1,000		(214)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	09/20/2013	BOA		80,000		(1,780)
Goodyear Tire & Rubber Co. 9.000% due 07/01/2015	Sell	3.650	%	06/20/2013	CITI		3,800		(142)
HCA, Inc. 6.375% due 01/15/2015	Sell	4.650	%	09/20/2013	BOA		3,000		(38)
HCA, Inc. 7.858% due 11/16/2012	Sell	1.250	%	09/20/2008	LEH		4,900		0
HCA, Inc. 8.750% due 09/01/2010	Buy	(3.730	%)	09/01/2010	BOA		5,500		(106)
HCA, Inc. 9.125% due 11/15/2014	Sell	2.000	%	09/20/2012	CITI		4,400		(85)
Intelsat Ltd. 6.500% due 11/01/2013	Buy	(1.300	%)	03/20/2010	BCLY		8,000		451
Liz Claiborne, Inc. 5.000% due 07/08/2013	Buy	(3.500	%)	06/20/2013	GSC		2,000		8
Ltd. Brands, Inc. 6.125% due 12/01/2012	Buy	(2.500	%)	06/20/2013	CSFB		2,000		23
Lyondell Chemical Co. 10.500% due 06/01/2013	Sell	2.950	%	12/20/2009	MLP		5,000		(109)
Mirant North America LLC 7.375% due 12/31/2013	Buy	(3.600	%)	06/20/2013	GSC		5,000		47
Nortel Networks Corp. 4.250% due 09/01/2008	Sell	1.400	%	09/20/2008	LEH		4,450		(14)
Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.520	%)	06/20/2010	LEH		4,400		232
Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.050	%	06/20/2011	CITI		4,400		(388)
Nortel Networks Corp. 4.250% due 09/01/2008	Sell	5.000	%	03/20/2013	CITI		24,000		2,382
NRG Energy, Inc. 7.250% due 02/01/2014	Sell	1.500	%	09/20/2008	RBS		4,950		(1)
NRG Energy, Inc. 7.250% due 02/01/2014	Sell	4.170	%	06/20/2013	GSC		2,000		2
NRG Energy, Inc. 7.250% due 02/01/2014	Sell	4.200	%	09/20/2013	GSC		6,875		(49)
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	3.000	%	12/20/2012	LEH		400		(27)
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	3.100	%	12/20/2012	CSFB		5,000		(318)
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	3.290	%	12/20/2014	BOA		3,000		(219)
Qwest Capital Funding, Inc. 7.750% due 02/15/2031	Sell	3.350	%	12/20/2012	CITI		5,600		(305)
RadioShack Corp. 7.375% due 05/15/2011	Buy	(2.050	%)	09/20/2013	CSFB		3,000		24
Reliant Energy, Inc. 6.750% due 12/15/2014	Sell	3.850	%	09/20/2013	GSC		21,100		(298)
RH Donnelley Corp. 8.875% due 01/15/2016	Sell	5.000	%	03/20/2009	GSC		3,000		148
RH Donnelley Corp. 8.875% due 01/15/2016	Sell	5.000	%	03/20/2009	LEH		2,750		67
RH Donnelley Corp. 8.875% due 01/15/2016	Sell	3.450	%	09/20/2012	LEH		3,000		(909)
RSHB Capital S.A. for OJSC Russian Agricultural Bank 7.175% due 05/16/2013	Sell	0.740	%	03/20/2009	BCLY		12,500		(25)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.760	%	02/20/2009	BCLY		21,500		11
Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	3.000	%	09/20/2008	LEH		2,000		(1)
Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	4.220	%	09/20/2012	CSFB		1,000		(76)
Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	5.450	%	09/20/2012	LEH		1,000		(36)
Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	6.430	%	06/20/2013	MLP		3,000		(42)
SLM Corp. 5.125% due 08/27/2012	Sell	1.730	%	06/20/2012	BOA		9,000		(902)
Sprint Nextel Corp. 6.000% due 12/01/2016	Sell	7.150	%	06/20/2009	BCLY		7,000		320
Starwood Hotels & Resorts Worldwide, Inc. 7.875% due 05/01/2012	Buy	(2.250	%)	06/20/2013	MLP		2,000		8
Station Casinos, Inc. 6.000% due 04/01/2012	Sell	5.000	%	06/20/2012	LEH		1,200		(53)
Station Casinos, Inc. 6.000% due 04/01/2012	Sell	5.000	%	06/20/2013	BCLY		6,400		(255)
Station Casinos, Inc. 6.000% due 04/01/2012	Sell	5.000	%	06/20/2013	GSC		7,625		(370)
Station Casinos, Inc. 6.000% due 04/01/2012	Sell	5.000	%	06/20/2013	JPM		3,000		(134)
Station Casinos, Inc. 6.000% due 04/01/2012	Sell	5.000	%	06/20/2013	MLP		5,900		(262)
Sungard Data Systems, Inc. 6.511% due 08/11/2011	Sell	3.800	%	03/20/2013	MSC		1,500		51
Sungard Data Systems, Inc. 9.125% due 08/15/2013	Sell	4.500	%	09/20/2013	DUB		13,050		(145)
Tenet Healthcare Corp. 7.375% due 02/01/2013	Buy	(1.150	%)	03/20/2009	UBS		500		3
Texas Competitive Electric Holdings Co. LLC 10.250% due 11/01/2015	Sell	5.800	%	06/20/2013	GSC		5,000		(17)
Toll Brothers Finance Corp. 6.875% due 11/15/2012	Buy	(2.670	%)	06/20/2013	MSC		2,000		10
Tribune Co. 7.358% due 05/17/2013	Sell	3.000	%	03/20/2011	LEH		5,000		(105)
TRW Automotive, Inc. 9.375% due 02/15/2013	Sell	0.950	%	09/20/2008	LEH		1,975		(3)
Univision Communications, Inc. 9.750% due 03/15/2015	Buy	(5.000	%)	06/20/2009	CITI		6,000		(38)
Univision Communications, Inc. 9.750% due 03/15/2015	Sell	5.000	%	06/20/2013	CITI		6,000		(101)
Weyerhaeuser Co. 7.125% due 07/15/2023	Buy	(1.740	%)	09/20/2013	MLP		10,000		194
Williams Cos., Inc. 6.375% due 10/01/2010	Buy	(0.770	%)	10/01/2010	CITI		5,000		(22)
								$	(29,523)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. HY9 Index	Sell	1.550	%	12/20/2010	MLP	$	9,589	$	98
Dow Jones CDX N.A. HY9 Index	Sell	1.670	%	12/20/2010	MLP		8,347		108
Dow Jones CDX N.A. HY9 Index	Sell	4.000	%	12/20/2010	DUB		3,000		87
Dow Jones CDX N.A. HY9 Index	Sell	4.530	%	12/20/2010	MLP		51,800		2,159
Dow Jones CDX N.A. HY9 Index	Sell	3.230	%	12/20/2012	MLP		35,600		(2,687)
Dow Jones CDX N.A. HY9 Index	Sell	3.330	%	12/20/2012	LEH		24,900		(1,782)
Dow Jones CDX N.A. IG9 Index	Sell	0.758	%	12/20/2012	BCLY		9,000		112
Dow Jones CDX N.A. IG9 Index	Sell	0.760	%	12/20/2012	DUB		12,000		118
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		7,200		28
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		122,000		416
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		23,100		93
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		21,900		90
LCDX N.A. Series 9 Index	Sell	2.250	%	12/20/2012	LEH		5,000		(113)
								$	(1,273)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS	$	906,600	$	(257)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	GSC		74,800		(484)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MSC		34,100		(157)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		118,900		(596)
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		6,000		44
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		40,100		47
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	GSC		20,100		204
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		15,100		234
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		11,500		(33)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		110,100		(437)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BOA		26,700		(457)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		98,600		(844)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		6,300		35
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		78,500		296
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	CITI		71,400		(833)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	GSC		9,700		(55)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		116,700		(4,072)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		5,500		(67)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	JPM		7,000		(216)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		75,900		(1,312)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		20,700		(312)
Receive	6-Month EUR-LIBOR	4.750	%	09/17/2013	GSC	EUR	9,800		316
Receive	6-Month EUR-LIBOR	4.750	%	09/17/2013	JPM		77,900		2,543
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	GSC		4,200		87
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	JPM		35,600		751
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2010	GSC	GBP	359,300		(7,424)
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2010	RBS		18,300		(375)
Pay	6-Month GBP-LIBOR	4.500	%	09/17/2011	GSC		79,300		(5,657)
Receive	6-Month GBP-LIBOR	5.250	%	09/17/2018	GSC		29,200		1,002
Receive	6-Month GBP-LIBOR	5.000	%	03/18/2039	GSC		37,700		918
Pay	28-Day Mexico Interbank TIIE Banxico	7.910	%	05/14/2009	CITI	MXN	373,000		(253)
Pay	28-Day Mexico Interbank TIIE Banxico	7.910	%	05/14/2009	MSC		455,000		(310)
Pay	BRL-CDI-Compounded	10.115	%	01/02/2012	MSC	BRL	478,100		(32,905)
Pay	BRL-CDI-Compounded	10.150	%	01/02/2012	GSC		45,100		(2,848)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		2,600		(156)
Pay	BRL-CDI-Compounded	10.680	%	01/02/2012	BCLY		370,500		(21,783)
								$	(75,366)

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)		Expiration Date	Counterparty	# of Shares/ Units	Unrealized Appreciation/ (Depreciation)
Receive	Financial Select Sector SPDR Fund	3.157	%	07/23/2008	MLP	665,000	$	(3,453)
Receive	Motorola, Inc.	0.000	%	07/23/2008	MLP	181,100		(401)
Receive	NRG Energy, Inc.	0.000	%	07/23/2008	MLP	255,400		(559)
Receive	SandRidge Energy, Inc.	3.157	%	07/23/2008	MLP	402,600		7,600
							$	3,187

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009	$	1,356,000	$	12,068	$	19,878
Call - OTC 2-Year Interest Rate Swap	CSFB	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		244,800		2,678		3,589
Call - OTC 2-Year Interest Rate Swap	LEH	3-Month USD-LIBOR	Pay	3.600	%	12/19/2008		447,000		3,330		2,356
Call - OTC 2-Year Interest Rate Swap	LEH	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		885,100		8,873		8,972
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		699,300		6,678		7,089
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		630,500		6,790		9,243
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.000	%	09/18/2009		2,010,500		18,874		15,922
									$	59,291	$	67,049

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	115.000	08/22/2008	350	$	245	$	317
Call - CBOT U.S. Treasury 10-Year Note September Futures		116.000	08/22/2008	900		709		531
Call - CBOT U.S. Treasury 10-Year Note September Futures		117.000	08/22/2008	3,600		2,576		1,343
Put - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/22/2008	350		245		40
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	900		672		288
Put - CBOT U.S. Treasury 10-Year Note September Futures		113.000	08/22/2008	3,600		4,211		3,030
					$	8,658	$	5,549

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 30-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.650	%	07/25/2008	$	101,700	$	1,078	$	283
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		452,000		11,707		18,311
Call - OTC 7-Year Interest Rate Swap	CSFB	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		68,100		2,109		2,759
Call - OTC 7-Year Interest Rate Swap	LEH	3-Month USD-LIBOR	Receive	4.680	%	12/19/2008		149,000		4,708		3,431
Call - OTC 7-Year Interest Rate Swap	LEH	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		311,500		8,804		10,002
Call - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		233,100		6,574		7,484
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		210,500		6,508		8,528
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	09/18/2009		671,100		18,237		15,743
									$	59,725	$	66,541

Credit Default Swaptions

Description	Counterparty	Reference Entity	Buy/Sell Protection(4)	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC Dow Jones CDX N.A. IG10 Index	BCLY	Dow Jones CDX N.A. IG10 Index	Buy	1.500	%	09/22/2008	$	3,200	$	61	$	35
Put - OTC Dow Jones CDX N.A. IG10 Index	BCLY	Dow Jones CDX N.A. IG10 Index	Sell	1.500	%	09/22/2008		3,200		60		32
Call - OTC Dow Jones CDX N.A. IG10 Index	CSFB	Dow Jones CDX N.A. IG10 Index	Buy	1.500	%	09/20/2008		16,000		312		173
Put - OTC Dow Jones CDX N.A. IG10 Index	CSFB	Dow Jones CDX N.A. IG10 Index	Sell	1.500	%	09/20/2008		16,000		293		159
									$	726	$	399

⁽⁴⁾ 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.

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

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Continental Airlines, Inc.	6.920	%	04/02/2013	07/01/2003	$	15,207	$	16,132	0.23	%
Ferrellgas Partners LP	7.120	%	08/01/2008	04/30/2002 - 01/15/2004		11,003		11,047	0.16	%
Ferrellgas Partners LP	7.240	%	08/01/2010	04/24/2006 - 01/22/2004		25,985		25,632	0.36	%
Ferrellgas Partners LP	8.870	%	08/01/2009	06/30/2003 - 06/03/2008		12,517		12,825	0.18	%
Reliant Resources, Inc.-Warrants Exp. 08/25/2008	NA		08/25/2008	07/15/2004		0		1,067	0.02	%
Tesoro Petroleum Corp.	7.466	%	07/17/2012	11/17/2004		9,970		9,920	0.14	%
Wilmington Trust Co.	10.732	%	01/01/2013	01/07/1993 - 05/16/2003		4,890		5,379	0.07	%
Wilmington Trust Co.-Tucson Electric	10.732	%	01/01/2013	05/16/2003 - 02/15/2000		3,033		3,300	0.05	%
					$	82,605	$	85,302	1.21	%

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

Description	Coupon	Maturity Date	Principal Amount		Proceeds		Value
Freddie Mac	5.000%	07/01/2023	$	47,000	$	46,310	$	46,420

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	246,429	07/2008	$	19,739	$	0	$	19,739
Sell		246,430	07/2008		0		(11,282)		(11,282)
Buy		170,966	12/2008		5,651		0		5,651
Sell		53,008	12/2008		0		(2,516)		(2,516)
Buy	CHF	697	09/2008		13		0		13
Sell	EUR	197,161	07/2008		0		(3,177)		(3,177)
Sell	GBP	37,078	08/2008		0		(408)		(408)
Buy	INR	3,229,605	11/2008		0		(6,318)		(6,318)
Sell		3,229,605	11/2008		1,573		0		1,573
Sell	JPY	419,937	07/2008		0		(66)		(66)
Buy	KRW	25,138,685	08/2008		0		(3,667)		(3,667)
Sell		25,138,685	08/2008		80		(11)		69
Buy	MXN	301,854	07/2008		2,214		0		2,214
Sell		301,854	07/2008		0		(1,983)		(1,983)
Buy	MYR	126,985	08/2008		0		(176)		(176)
Buy		48,730	11/2008		0		(163)		(163)
Buy	PHP	2,256,963	08/2008		0		(4,069)		(4,069)
Buy	RUB	487,266	07/2008		1,443		0		1,443
Sell		487,266	07/2008		0		(237)		(237)
Buy		2,458,528	11/2008		4,771		0		4,771
Buy		853,211	05/2009		670		0		670
Buy	SGD	76,063	11/2008		121		(31)		90
				$	36,275	$	(34,104)	$	2,171

(n) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	7,978	$	7,813,874	$	121,600	$	7,943,452
Other Financial Instruments++		(6,466)		(219,208)		(505)		(226,179)
Total	$	1,512	$	7,594,666	$	121,095	$	7,717,273

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	110,825	$	10,218	$	159	$	398	$	0	$	121,600
Other Financial Instruments++		(1,183)		(61)		0		1,594		(855)		(505)
Total	$	109,642	$	10,157	$	159	$	1,992	$	(855)	$	121,095

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

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

See Accompanying Notes

Schedule of Investments

High Yield Municipal Bond Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 2.7%
American International Group, Inc.
8.175% due 05/15/2058	$	1,200		$	1,134
Bank of America Corp.
8.000% due 12/29/2049		3,600			3,381
Citigroup, Inc.
8.400% due 04/29/2049		1,050			999
Wachovia Bank N.A.
3.619% due 05/14/2010		600			597
Wells Fargo Capital XIII
7.700% due 12/29/2049		500			498
Total Corporate Bonds & Notes (Cost $6,950)					6,609
MUNICIPAL BONDS & NOTES 91.8%
Alabama 1.1%
Butler, Alabama Industrial Development Board
Revenue Bonds, Series 1993
5.900% due 12/01/2012		50			49
Colbert County, Alabama Health Care Authority
Revenue Bonds, Series 2003
5.750% due 06/01/2027		670			651
Montgomery, Alabama Medical Clinic Board Revenue
Bonds, Series 2006
5.250% due 03/01/2031		250			221
5.250% due 03/01/2036		500			434
Tuscaloosa, Alabama Educational Building Authority
Revenue Bonds, Series 2007
5.000% due 06/01/2026		1,500			1,291
					2,646
Alaska 0.5%
Alaska State Industrial Development & Export
Authority Revenue Bonds, Series 2007
6.000% due 12/01/2036		1,400			1,224
Arizona 2.4%
Arizona State Health Facilities Authority Revenue
Bonds, Series 2007
5.200% due 10/01/2037		1,250			980
Arizona State Salt Verde Financial Corp. Revenue
Bonds, Series 2007
5.000% due 12/01/2037		1,000			872
Pima County, Arizona Industrial Development
Authority Revenue Bonds, Series 2006
6.375% due 06/01/2036		1,500			1,400
Pima County, Arizona Industrial Development
Authority Revenue Bonds, Series 2007
5.625% due 07/01/2038		1,000			896
Pima County, Arizona Industrial Development
Authority Revenue Bonds, Series 2008
6.375% due 09/01/2029		1,850			1,882
					6,030
California 5.1%
California State Association of Bay Area
Governments Financing Authority for Non-Profit
Corp. Certificates of Participation Bonds, (AMBAC
Insured), Series 1993
7.000% due 08/01/2023		1,000			1,000
California State Health Facilities Financing
Authority Revenue Bonds, Series 2008
5.625% due 07/01/2032		750			748
California State Infrastructure & Economic
Development Bank Revenue Notes, Series 2004
7.480% due 02/01/2010		2,000			2,000
California State Municipal Finance Authority
Revenue Bonds, Series 2008
5.875% due 10/01/2034		750			750
California Statewide Communities Development
Authority Revenue Bonds, Series 2007
5.500% due 11/01/2038		1,500			1,335
9.000% due 11/01/2017		500			511
Golden State, California Tobacco Securitization
Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2033		1,000			816
5.125% due 06/01/2047		5,000			3,827
Long Beach, California Special Tax Bonds,
Series 2008
5.375% due 10/01/2022		770			743
5.400% due 10/01/2023		320			309
Los Angeles, California Regional Airports
Improvement Corp. Revenue Bonds, Series 2002
7.500% due 12/01/2024		250			219
Palm Springs, California Revenue Bonds, Series 2008
6.400% due 07/01/2023		250			248
					12,506
Colorado 6.0%
City and County of Denver, Colorado Certificates of Participation Bonds, (AMBAC Insured),
Series 2003
7.750% due 12/01/2029		2,000			2,000
Colorado State Educational & Cultural Facilities
Authority Revenue Bonds, Series 2007
5.700% due 05/01/2037		800			691
5.750% due 05/15/2037		855			741
5.750% due 12/01/2037		1,000			839
Colorado State Health Facilities Authority Revenue
Bonds, Series 2007
5.300% due 07/01/2037		2,350			1,924
5.900% due 08/01/2037		1,000			871
Colorado State Health Facilities Authority Revenue
Bonds, Series 2008
5.750% due 05/15/2036		1,400			1,388
Colorado State Housing & Finance Authority Revenue
Bonds, Series 2007
5.875% due 06/01/2037		1,500			1,336
Confluence Metropolitan District, Colorado Revenue
Bonds, Series 2007
5.400% due 12/01/2027		500			425
5.450% due 12/01/2034		1,000			820
Copperleaf, Colorado Metropolitan District No. 2
General Obligation Bonds, Series 2006
5.950% due 12/01/2036		500			393
Madre, Colorado Metropolitan District No. 2
General Obligation Bonds, Series 2007
5.500% due 12/01/2036		900			695
Public Authority for Colorado Energy Revenue
Bonds, Series 2008
6.250% due 11/15/2028		2,250			2,189
Tallyns Reach, Colorado Metropolitan District No.
3 General Obligation Bonds, Series 2007
5.200% due 12/01/2036		500			384
					14,696
District Of Columbia 1.6%
District of Columbia Revenue Bonds, (AMBAC
Insured), Series 1985
10.000% due 10/01/2015		1,000			1,000
District of Columbia Revenue Bonds, (AMBAC
Insured), Series 1986
10.000% due 12/01/2015		3,000			3,000
					4,000
Florida 5.2%
Beacon Lakes, Florida Community Development
District Special Assessment Bonds, Series 2007
6.000% due 05/01/2038		500			419
Brevard County, Florida Health Facilities
Authority Revenue Bonds, Series 2005
5.000% due 04/01/2036		700			638
Florida State Development Finance Corp. Revenue
Bonds, Series 2007
6.000% due 02/15/2037		250			230
Hillsborough County, Florida Industrial
Development Authority Revenue Bonds, Series 2007
5.125% due 05/15/2037		1,000			840
Hillsborough County, Florida Industrial
Development Authority Revenue Bonds, Series 2008
5.625% due 08/15/2029		1,750			1,672
Jacksonville, Florida Economic Development
Commission Revenue Bonds, Series 2007
5.300% due 05/01/2037		2,500			2,015
Lee County, Florida Industrial Development
Authority Revenue Bonds, Series 2007
5.375% due 06/15/2037		1,500			1,217
Miami-Dade County, Florida Educational Facilities
Authority Revenue Bonds, Series 2008
5.500% due 04/01/2038		1,250			1,257
Sarasota County, Florida Health Facility Authority
Revenue Bonds, Series 2007
5.750% due 07/01/2037		1,680			1,428
Sarasota County, Florida Public Hospital District
Revenue Bonds, (MBIA Insured), Series 2007
9.000% due 07/01/2037		2,000			2,000
University Square, Florida Community Development
District Special Assessment Bonds, Series 2007
5.875% due 05/01/2038		1,250			1,075
					12,791
Georgia 1.0%
Fulton County, Georgia Revenue Bonds, Series 2006
5.125% due 07/01/2042		250			193
Georgia State Medical Center Hospital Authority
Revenue Bonds, Series 2007
5.250% due 07/01/2037		1,500			1,211
Main Street Natural Gas, Inc., Georgia Revenue
Notes, Series 2007
5.000% due 03/15/2009		1,000			1,004
					2,408
Idaho 0.5%
Nez Perce County, Idaho Revenue Bonds, Series 1996
6.000% due 10/01/2024		1,300			1,280
Illinois 8.6%
Belleville, Illinois Frank Scott Parkway
Redevelopment Authority Tax Allocation Bonds,
Series 2007
5.700% due 05/01/2036		1,000			866
Chicago, Illinois General Obligation Bonds, (MBIA
Insured), Series 2002
7.650% due 01/01/2037		6,000			6,000
Chicago, Illinois O’Hare International Airport
Revenue Bonds, (FGIC Insured), Series 2005
5.000% due 01/01/2033		1,900			1,802
Granite City, Illinois Revenue Bonds, Series 2007
5.125% due 04/01/2027		1,645			1,439
Hillside, Illinois Tax Allocation Bonds,
Series 2008
7.000% due 01/01/2028		2,000			1,965
Illinois State Finance Authority Revenue Bonds,
Series 2006
5.875% due 02/15/2038		200			173
Illinois State Finance Authority Revenue Bonds,
Series 2007
5.375% due 11/15/2039		1,600			1,299
5.500% due 05/15/2037		750			642
6.100% due 12/01/2041		1,650			1,453
7.000% due 12/01/2037		1,000			980
Illinois State Finance Authority Revenue Bonds,
Series 2008
6.250% due 08/15/2035		1,000			926
Illinois State Finance Authority Sports Facilities
Revenue Bonds, Series 2007
6.000% due 03/01/2037		1,775			1,541
Southwestern Illinois State Development Authority
Revenue Bonds, Series 2007
5.350% due 03/01/2031		1,250			1,120
6.625% due 06/01/2037		1,000			928
					21,134
Indiana 1.0%
East Chicago, Indiana Revenue Bonds, Series 1999
6.375% due 08/01/2029		100			94
Indiana State Health & Educational Facilities
Financing Authority Revenue Bonds, Series 2007
5.500% due 03/01/2037		1,000			870
Vigo County, Indiana Hospital Authority Revenue
Bonds, Series 2007
5.700% due 09/01/2037		1,650			1,438
					2,402
Iowa 1.6%
Iowa State Finance Authority Revenue Bonds,
Series 2006
5.450% due 11/01/2026		175			155
Iowa State Finance Authority Revenue Bonds,
Series 2007
5.500% due 11/15/2027		900			720
5.500% due 11/15/2037		1,550			1,151
5.625% due 12/01/2045		2,000			1,650
Iowa State Higher Education Loan Authority Revenue
Bonds, Series 2006
5.100% due 10/01/2036		200			176
					3,852
Kansas 1.1%
Labette County, Kansas Revenue Bonds, Series 2007
5.750% due 09/01/2037		1,100			1,031
Lenexa, Kansas Revenue Bonds, Series 2007
5.500% due 05/15/2039		1,000			836
Manhattan, Kansas Revenue Bonds, Series 2007
5.125% due 05/15/2037		250			202
5.125% due 05/15/2042		250			198
5.500% due 08/01/2021		250			223
Olathe, Kansas Tax Allocation Bonds, Series 2007
5.500% due 09/01/2026		200			182
					2,672
Kentucky 0.7%
Ohio County, Kentucky Revenue Bonds, (AMBAC
Insured), Series 1998
9.000% due 06/01/2013		1,800			1,800
Maryland 2.1%
Maryland State Economic Development Corp. Revenue
Bonds, Series 2006
5.000% due 12/01/2031		850			653
Maryland State Health & Higher Educational
Facilities Authority Revenue Bonds, Series 2007
5.000% due 07/01/2037		850			744
5.300% due 01/01/2037		300			243
Maryland State Health & Higher Educational
Facilities Authority Revenue Bonds, Series 2008
5.750% due 01/01/2038		1,000			950
6.000% due 01/01/2043		1,600			1,561
Maryland State Industrial Development Financing
Authority Revenue Notes, Series 2008
5.000% due 12/01/2010 (a)		1,000			996
					5,147
Massachusetts 1.2%
Massachusetts State Development Finance Agency
Revenue Bonds, Series 2007
5.750% due 11/15/2042		1,500			1,281
6.750% due 10/15/2037		1,250			1,117
Massachusetts State Health & Educational
Facilities Authority Revenue Bonds, Series 2008
5.125% due 07/01/2033		500			478
					2,876
Michigan 3.4%
Corner Creek Academy East, Michigan Revenue Bonds,
Series 2007
5.250% due 11/01/2036		250			205
Crescent Academy, Michigan Certificates of
Participation Bonds, Series 2006
5.750% due 12/01/2036		500			395
Doctor Charles Drew Academy, Michigan State
Certificates of Participation Bonds, Series 2006
5.700% due 11/01/2036		450			377
East Lansing, Michigan Economic Corp. Revenue
Bonds, Series 2007
5.250% due 07/01/2037		800			663
Garden City, Michigan Hospital Finance Authority
Revenue Bonds, Series 2007
5.000% due 08/15/2038		250			183
Hillsdale, Michigan Hospital Finance Authority
Revenue Bonds, Series 1998
5.000% due 05/15/2013		85			85
Meridian, Michigan Economic Development Corp.
Revenue Bonds, Series 2007
5.250% due 07/01/2026		995			895
Michigan State Grand Traverse Academy Revenue
Bonds, Series 2007
5.000% due 11/01/2036		1,200			882
Michigan State Hospital Finance Authority Revenue
Bonds, Series 2006
5.000% due 11/15/2038		1,000			908
Michigan State Public Educational Facilities
Authority Revenue Bonds, Series 2007
5.000% due 09/01/2036		2,500			2,097
6.500% due 09/01/2037		1,000			921
Michigan State Tobacco Settlement Finance
Authority Revenue Bonds, Series 2007
6.000% due 06/01/2048		750			647
					8,258
Minnesota 3.5%
Falcon Heights, Minnesota Revenue Bonds,
Series 2007
6.000% due 11/01/2037		400			359
Minneapolis & St Paul, Minnesota Housing &
Redevelopment Authority Revenue Bonds, (MBIA
Insured), Series 2007
9.000% due 11/15/2034		3,000			3,000
Minneapolis, Minnesota Revenue Bonds, (AMBAC
Insured), Series 2005
8.500% due 11/15/2032		2,000			2,000
Minneapolis, Minnesota Revenue Bonds, Series 2007
5.400% due 04/01/2028		725			643
5.750% due 10/01/2037		1,500			1,315
Minneapolis, Minnesota Tax Allocation Bonds,
Series 2006
5.350% due 02/01/2030		200			178
North Oaks, Minnesota Revenue Bonds, Series 2007
6.125% due 10/01/2039		250			243
Stillwater, Minnesota Revenue Bonds, Series 2007
5.375% due 02/01/2032		500			430
Washington County, Minnesota Housing &
Redevelopment Authority Revenue Bonds, Series 2007
5.625% due 06/01/2037		500			449
					8,617
Mississippi 0.7%
Mississippi State Business Finance Corp. Revenue
Bonds, Series 1998
5.875% due 04/01/2022		1,860			1,823
Missouri 4.0%
Branson, Missouri Regional Airport Transportation
Development District Revenue Bonds, Series 2007
6.000% due 07/01/2025		1,900			1,713
6.000% due 07/01/2037		750			660
Cottleville, Missouri Certificates of
Participation Bonds, Series 2006
5.250% due 08/01/2031		250			244
Grindstone Plaza, Missouri Transportation
Development District Sales Tax Revenue Bonds,
Series 2006
5.500% due 10/01/2031		250			225
5.550% due 10/01/2036		45			40
Independence, Missouri Thirty-Ninth Street
Transportation District Revenue Bonds, Series 2008
6.875% due 09/01/2032 (a)		500			502
Joplin, Missouri Industrial Development Authority
Revenue Bonds, Series 2007
5.750% due 05/15/2031		1,485			1,318
Missouri State Development Finance Board Revenue
Bonds, (MBIA Insured), Series 2001
7.750% due 12/01/2031		5,000			5,000
					9,702
Montana 0.2%&
Hardin, Montana Rocky Mountain Power, Inc. Tax
Allocation Bonds, Series 2006
0.000% due 09/01/2031 (b)		830			522
Nebraska 0.2%
Madison County, Nebraska Hospital Authority No. 1
Revenue Bonds, Series 2008
6.000% due 07/01/2033 (a)		500			486
Nevada 0.7%
Clark County, Nevada Revenue Bonds, (AMBAC
Insured), Series 2007
5.000% due 07/01/2040		1,750			1,685
New Jersey 2.5%
Middlesex County, New Jersey Improvement Authority
Revenue Bonds, Series 2005
6.125% due 01/01/2025		1,900			1,703
New Jersey State Economic Development Authority
Revenue Bonds, Series 2000
7.000% due 11/15/2030		60			49
New Jersey State Economic Development Authority
Revenue Bonds, Series 2006
5.375% due 11/01/2036		1,750			1,435
New Jersey State Health Care Facilities Financing
Authority Revenue Bonds, (AGC Insured), Series 2008
5.250% due 01/01/2036		900			914
New Jersey State Health Care Facilities Financing
Authority Revenue Bonds, Series 2007
5.750% due 07/01/2037		600			576
New Jersey State Tobacco Settlement Financing
Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2041		2,000			1,512
					6,189
New Mexico 1.2%
Albuquerque, New Mexico Revenue Bonds, (AMBAC
Insured), Series 1995
8.000% due 07/01/2014		1,900			1,900
New Mexico State Hospital Equipment Loan Council
Revenue Bonds, Series 2007
5.250% due 08/15/2026		500			433
Otero County, New Mexico Revenue Bonds, Series 2007
6.000% due 04/01/2028		650			596
					2,929
New York 3.3%
Erie County, New York Industrial Development
Agency Revenue Bonds, Series 2006
6.000% due 11/15/2036		150			133
Nassau County, New York Industrial Development
Agency Revenue Bonds, Series 2007
6.500% due 01/01/2027		395			396
6.700% due 01/01/2043		1,500			1,494
New York City, New York General Obligation Bonds,
(MBIA Insured), Series 1994
7.500% due 08/15/2023		1,700			1,700
New York City, New York Industrial Development
Agency Revenue Bonds, Series 2005
7.750% due 08/01/2031		150			133
New York City, New York Industrial Development
Agency Revenue Notes, (FGIC Insured), Series 2006
4.651% due 03/01/2016		1,250			1,183
New York State Dormitory Authority Revenue Bonds,
(MBIA Insured), Series 2003
7.630% due 02/15/2031		2,000			2,000
New York State Dormitory Authority Revenue Bonds,
Series 2008
6.250% due 12/01/2037		1,000			995
					8,034
North Carolina 2.1%
Charlotte, North Carolina Revenue Bonds,
Series 1998
5.600% due 07/01/2027		150			106
Charlotte, North Carolina Revenue Bonds,
Series 2000
7.750% due 02/01/2028		60			54
North Carolina Eastern Municipal Power Agency
Revenue Bonds, Series 2008
5.250% due 01/01/2020		1,250			1,264
North Carolina State Medical Care Commission
Revenue Bonds, (AMBAC Insured), Series 2006
8.470% due 12/01/2028		1,520			1,520
North Carolina State Medical Care Commission
Revenue Bonds, Series 2006
5.100% due 10/01/2030		50			43
North Carolina State Medical Care Commission
Revenue Bonds, Series 2007
5.250% due 01/01/2032		1,000			822
North Carolina State Medical Care Commission
Revenue Bonds, Series 2008
6.000% due 04/01/2038		500			460
Surry County, North Carolina Northern Hospital
District Revenue Bonds, Series 2008
6.250% due 10/01/2038		800			798
					5,067
Ohio 2.8%
Lake County, Ohio Revenue Bonds, Series 2008
5.625% due 08/15/2029		1,000			960
Ohio State Buckeye Tobacco Settlement Financing
Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		5,500			4,596
6.000% due 06/01/2042		1,520			1,319
					6,875
Pennsylvania 9.3%
Allegheny County, Pennsylvania Hospital
Development Authority Revenue Bonds, Series 2007
5.375% due 11/15/2040		3,500			2,890
Cambridge, Pennsylvania Area Joint Authority
Bonds, Series 2008
6.000% due 12/01/2037 (a)		500			501
Cumberland County, Pennsylvania Municipal
Authority Revenue Bonds, Series 2008
6.000% due 07/01/2035		500			480
Harrisburg, Pennsylvania Authority Revenue Bonds,
Series 2007
6.000% due 09/01/2036		500			478
Lancaster County, Pennsylvania Hospital Authority
Revenue Bonds, Series 2008
6.250% due 07/01/2026		250			247
6.375% due 07/01/2030		1,000			973
Montgomery County, Pennsylvania Higher Education &
Health Authority Revenue Bonds, Series 2006
5.250% due 01/01/2036		150			131
Pennsylvania State Economic Development Financing
Authority Revenue Bonds, Series 2001
6.750% due 12/01/2036		3,600			3,645
Pennsylvania State Economic Development Financing
Authority Revenue Bonds, Series 2003
6.750% due 12/01/2036		250			253
Philadelphia, Pennsylvania Authority for
Industrial Development Revenue Bonds, (MBIA
Insured), Series 2008
7.700% due 05/01/2037		5,000			5,000
Philadelphia, Pennsylvania Hospitals & Higher
Education Facilities Authority Revenue Bonds,
Series 2007
5.000% due 07/01/2034		750			632
Philadelphia, Pennsylvania Industrial Development
Authority Revenue Bonds, Series 2007
5.500% due 09/15/2037		450			393
Philadelphia, Pennsylvania Revenue Bonds, (AMBAC
Insured), Series 1997
8.250% due 08/01/2027		5,000			5,000
Susquehanna Area Regional Airport Authority,
Pennsylvania Revenue Bonds, Series 2008
6.500% due 01/01/2038		1,750			1,732
Washington County, Pennsylvania Redevelopment
Authority Tax Allocation Bonds, Series 2006
5.450% due 07/01/2035		550			475
					22,830
Puerto Rico 1.0%
Commonwealth of Puerto Rico Aqueduct & Sewer
Authority Revenue Bonds, Series 2008
6.000% due 07/01/2038		2,250			2,353
Rhode Island 0.1%
Rhode Island State Health & Educational Building
Corp. Revenue Bonds, Series 1998
5.400% due 07/01/2013		185			186
Rhode Island State Tobacco Settlement Financing
Corp. Revenue Bonds, Series 2002
6.125% due 06/01/2032		100			93
					279
South Carolina 2.3%
Greenville, South Carolina Hospital System Board
Revenue Bonds, (AMBAC Insured), Series 2005
4.000% due 05/01/2035		2,000			2,000
South Carolina State Jobs-Economic Development
Authority Revenue Bonds, Series 2007
5.500% due 05/01/2028		1,900			1,669
6.000% due 11/15/2037		2,000			1,781
South Carolina State Tobacco Settlement Revenue
Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2030		145			154
					5,604
South Dakota 0.2%
South Dakota State Health & Educational Facilities
Authority Revenue Bonds, Series 2008
5.250% due 07/01/2038		605			573
Tennessee 0.9%
Maury County, Tennessee Industrial Development
Board Revenue Bonds, Series 1994
6.500% due 09/01/2024		150			120
Sumner County, Tennessee Health Educational &
Housing Facilities Board Revenue Bonds, Series 2007
5.500% due 11/01/2037		1,250			1,139
Tennessee State Energy Acquisition Corp. Revenue
Bonds, Series 2006
5.250% due 09/01/2021		1,000			970
					2,229
Texas 7.7%
Brazos County, Texas River Authority Revenue
Bonds, Series 2001
8.250% due 05/01/2033		1,300			1,298
Brazos County, Texas River Authority Revenue
Bonds, Series 2003
6.300% due 07/01/2032		515			411
Brazos County, Texas River Authority Revenue
Bonds, Series 2006
5.000% due 03/01/2041		2,000			1,292
Fort Bend County, Texas General Obligation Bonds,
(MBIA Insured), Series 2007
4.750% due 03/01/2031		500			477
Guadalupe-Blanco, Texas River Authority Revenue
Notes, Series 2008
5.625% due 10/01/2017		275			273
Gulf Coast, Texas Industrial Development Authority
Revenue Bonds, Series 2006
7.000% due 12/01/2036		500			460
Gulf Coast, Texas Waste Disposal Authority Revenue
Bonds, Series 2003
5.200% due 05/01/2028		1,000			861
Harris County, Texas Health Facilities Development
Corp. Revenue Bonds, (MBIA Insured), Series 2006
7.750% due 05/01/2035		1,200			1,200
HFDC of Central Texas, Inc. Revenue Bonds,
Series 2006
5.500% due 02/15/2037		500			402
Houston, Texas Airport Systems Revenue Bonds,
Series 1997
6.125% due 07/15/2017		100			84
6.125% due 07/15/2027		45			33
Houston, Texas Airport Systems Revenue Bonds,
Series 2001
6.750% due 07/01/2021		100			84
Houston, Texas Authority Bonds General Obligation
Bonds, Series 2008
5.625% due 10/01/2038 (a)		1,000			1,004
Lubbock, Texas Health Facilities Development Corp.
Revenue Bonds, Series 2005
6.625% due 07/01/2036		265			258
Lubbock, Texas State Educational Facilities
Authority Revenue Bonds, Series 2007
5.250% due 11/01/2037		1,000			895
Lufkin, Texas Health Facilities Development Corp.
Revenue Bonds, Series 2007
5.500% due 02/15/2037		750			679
Maverick County, Texas Public Facility Corp.
Revenue Bonds, Series 2007
6.250% due 02/01/2024		635			576
6.375% due 02/01/2029		220			195
North Texas State Tollway Authority Revenue Bonds,
Series 2008
5.625% due 01/01/2033		1,500			1,505
Parmer County, Texas Hospital District General
Obligation Bonds, Series 2007
5.500% due 02/15/2027		345			334
Texas State Municipal Gas Acquisition & Supply
Corp. I Revenue Notes, Series 2006
5.000% due 12/15/2011		500			490
Texas State Municipal Gas Acquisition & Supply
Corp. Revenue Bonds, Series 2008
6.250% due 12/15/2026 (a)		1,000			958
Texas State Public Finance Authority Revenue
Bonds, Series 2007
5.375% due 02/15/2037		3,115			2,402
Texas State Water Development Board Revenue Bonds,
Series 2007
4.500% due 07/15/2023		500			496
Trinity River Authority, Texas Revenue Bonds,
Series 2000
6.250% due 05/01/2028		50			41
Tyler, Texas Health Facilities Development Corp.
Revenue Bonds, Series 2007
5.375% due 11/01/2037		1,750			1,532
Willacy County, Texas Revenue Bonds, Series 2007
6.875% due 09/01/2028		750			735
					18,975
Utah 2.9%
Spanish Fork City, Utah Revenue Bonds, Series 2006
5.550% due 11/15/2026		500			453
5.700% due 11/15/2036		1,000			882
St. George, Utah Revenue Bonds, (FSA Insured),
Series 2008
5.000% due 06/01/2038 (a)		1,400			1,407
Utah County, Utah General Obligation Bonds,
Series 2007
5.875% due 06/15/2037		1,650			1,492
Utah County, Utah Revenue Bonds, Series 2007
5.625% due 07/15/2037		2,550			2,229
Utah State Charter School Finance Authority
Revenue Bonds, Series 2007
6.000% due 07/15/2037		675			618
					7,081
Virginia 1.1%
Bedford County, Virginia Industrial Development
Authority Revenue Bonds, Series 1999
6.550% due 12/01/2025		100			94
James City County, Virginia Economic Development
Authority Revenue Bonds, Series 2007
5.500% due 07/01/2037		750			628
Lewistown, Virginia Commerce Center Community
Development Authority Revenue Bonds, Series 2007
6.050% due 03/01/2027		1,150			1,029
Peninsula Town Center, Virginia Community
Development Authority Revenue Bonds, Series 2007
6.450% due 09/01/2037		1,000			919
					2,670
Washington 0.8%
King County, Washington Public Hospital District
No. 1 General Obligation Bonds, Series 2008
5.250% due 12/01/2037		1,150			1,155
Washington State Housing Finance Commission
Revenue Bonds, Series 2007
5.625% due 01/01/2038		850			725
					1,880
West Virginia 0.3%
West Virginia State Tobacco Settlement Financing
Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		985			880
Wisconsin 0.9%
Janesville, Wisconsin Revenue Bonds, Series 1984
5.550% due 04/01/2009		750			737
Milwaukee, Wisconsin Redevelopment Authority
Revenue Bonds, Series 2007
5.650% due 08/01/2037		1,150			1,000
Waukesha, Wisconsin Redevelopment Authority
Revenue Bonds, Series 2006
5.250% due 07/01/2026		150			140
Wisconsin State Health & Educational Facilities
Authority Revenue Bonds, Series 2007
5.000% due 09/01/2033		250			223
					2,100
Total Municipal Bonds & Notes (Cost $242,052)					225,105
		Shares
CONVERTIBLE PREFERRED STOCKS 0.6%
American International Group, Inc.
8.500% due 08/01/2011		7,700			457
Wachovia Corp.
7.500% due 12/31/2049		1,000			885
Total Convertible Preferred Stocks (Cost $1,577)					1,342
		Principal
		Amount
		(000s	)
SHORT-TERM INSTRUMENTS 4.3%
Repurchase Agreements 4.3%
State Street Bank and Trust Co.
1.650% due 07/01/2008	$	10,548			10,548
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $10,760. Repurchase proceeds are $10,548.)
Total Short-Term Instruments (Cost $10,548)					10,548
Total Investments 99.4% (Cost $261,127)				$	243,604
Other Assets and Liabilities (Net) 0.6%					1,532
Net Assets 100.0%				$	245,136

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) Security becomes interest bearing at a future date.

(c) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation
Long Island, New York Power Authority Revenue Bonds, Series 2006 5.000% due 12/01/2035	Sell	0.950	%	06/20/2018	GSC	$	5,000	$	9
Puerto Rico Electric Power Authority Revenue Bonds, Series 2007 5.000% due 07/01/2037	Sell	1.500	%	06/20/2018	GSC		5,000		6
								$	15

⁽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 reference entity. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP	$	2,000	$	25
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		13,399		(347)
								$	(322)

(d) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	456	$	243,148	$	0	$	243,604
Other Financial Instruments++		0		(307)		0		(307)
Total	$	456	$	242,841	$	0	$	243,297

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

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

See Accompanying Notes

Schedule of Investments

Income Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.2%
Daimler Finance North America LLC
6.780% due 08/03/2012	$	496	$	411
Ford Motor Co.
5.480% due 12/15/2013		250		202
Telesat Canada
9.000% due 10/31/2008		100		94
Total Bank Loan Obligations (Cost $797)				707
CORPORATE BONDS & NOTES 20.5%
Banking & Finance 8.8%
American Express Bank FSB
5.500% due 04/16/2013		250		245
American Express Co.
7.000% due 03/19/2018		325		330
American Express Credit Corp.
5.875% due 05/02/2013		25		25
American International Group, Inc.
5.850% due 01/16/2018		2,100		1,974
8.175% due 05/15/2058		1,075		1,015
Bank of America Corp.
6.000% due 09/01/2017		500		483
8.000% due 12/29/2049		3,550		3,334
8.125% due 12/29/2049		40		38
Barclays Bank PLC
7.434% due 09/29/2049		100		94
7.700% due 04/29/2049		275		281
Bear Stearns Cos., Inc.
6.400% due 10/02/2017		1,000		991
6.950% due 08/10/2012		137		143
Chukchansi Economic Development Authority
8.000% due 11/15/2013		25		22
Citigroup Capital XXI
8.300% due 12/21/2057		175		166
Citigroup, Inc.
5.500% due 04/11/2013		20		20
6.000% due 08/15/2017		500		478
8.400% due 04/29/2049		2,325		2,213
Credit Suisse New York, Inc.
5.000% due 05/15/2013		4,000		3,898
El Paso Performance-Linked Trust
7.750% due 07/15/2011		100		101
Ferrellgas Escrow LLC
6.750% due 05/01/2014		67		61
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		150		147
7.375% due 10/28/2009		60		55
7.800% due 06/01/2012		125		97
8.625% due 11/01/2010		80		68
GMAC LLC
6.750% due 12/01/2014		80		53
6.875% due 08/28/2012		800		548
8.000% due 11/01/2031		160		104
Goldman Sachs Group, Inc.
5.950% due 01/18/2018		75		72
6.150% due 04/01/2018		50		49
6.250% due 09/01/2017		500		496
6.750% due 10/01/2037		250		230
HBOS PLC
6.750% due 05/21/2018		100		96
KRATON Polymers LLC
8.125% due 01/15/2014		50		26
Lehman Brothers Holdings, Inc.
5.625% due 01/24/2013		25		24
6.750% due 12/28/2017		100		94
6.875% due 05/02/2018		100		97
7.500% due 05/11/2038		125		116
LVB Acquisition Merger Sub, Inc.
10.000% due 10/15/2017		340		365
10.375% due 10/15/2017 (a)		100		106
11.625% due 10/15/2017		365		389
Merrill Lynch & Co., Inc.
4.966% due 05/12/2010		75		74
6.875% due 04/25/2018		225		215
Morgan Stanley
5.950% due 12/28/2017		300		273
NSG Holdings LLC
7.750% due 12/15/2025		125		124
Petroplus Finance Ltd.
7.000% due 05/01/2017		30		27
Royal Bank of Scotland Group PLC
7.640% due 03/31/2049		400		367
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		100		97
SLM Corp.
3.080% due 07/26/2010		50		44
3.130% due 07/25/2008		50		50
Tenneco, Inc.
8.125% due 11/15/2015		150		136
Times Square Hotel Trust
8.528% due 08/01/2026		2,319		2,342
TransCapitalInvest Ltd. for OJSC AK Transneft
5.670% due 03/05/2014		125		117
UBS AG
5.750% due 04/25/2018		100		96
5.875% due 12/20/2017		1,775		1,732
UBS Preferred Funding Trust V
6.243% due 05/12/2049		100		88
Universal City Florida Holding Co. I & II
7.623% due 05/01/2010		65		63
8.375% due 05/01/2010		50		50
Ventas Realty LP
6.750% due 04/01/2017		175		169
7.125% due 06/01/2015		25		25
Wachovia Corp.
7.980% due 12/31/2049		600		553
Wells Fargo Capital XIII
7.700% due 12/29/2049		1,000		995
				26,781
Industrials 9.1%
Actuant Corp.
6.875% due 06/15/2017		90		89
Allied Waste North America, Inc.
7.250% due 03/15/2015		215		216
Allison Transmission, Inc.
11.000% due 11/01/2015		170		153
11.250% due 11/01/2015 (a)		25		22
American Stores Co.
8.000% due 06/01/2026		250		254
AmeriGas Partners LP
7.125% due 05/20/2016		230		214
7.250% due 05/20/2015		100		94
Anadarko Petroleum Corp.
5.950% due 09/15/2016		500		502
ARAMARK Corp.
6.373% due 02/01/2015		25		23
8.500% due 02/01/2015		175		172
ArvinMeritor, Inc.
8.125% due 09/15/2015		335		265
Berry Plastics Corp.
7.568% due 02/15/2015		155		149
Berry Plastics Holding Corp.
8.875% due 09/15/2014		75		65
Bombardier, Inc.
8.000% due 11/15/2014		170		175
Bon-Ton Department Stores, Inc.
10.250% due 03/15/2014		150		99
Buhrmann U.S., Inc.
7.875% due 03/01/2015		25		28
Canadian Natural Resources Ltd.
5.700% due 05/15/2017		500		491
CanWest MediaWorks LP
9.250% due 08/01/2015		55		45
Cascades, Inc.
7.250% due 02/15/2013		25		22
Celestica, Inc.
7.875% due 07/01/2011		385		387
Charter Communications Operating LLC
8.000% due 04/30/2012		270		256
8.375% due 04/30/2014		150		143
Chemtura Corp.
6.875% due 06/01/2016		50		43
Chesapeake Energy Corp.
7.000% due 08/15/2014		100		98
7.250% due 12/15/2018		100		98
7.500% due 09/15/2013		50		50
7.500% due 06/15/2014		250		249
Colorado Interstate Gas Co.
5.950% due 03/15/2015		50		49
Comcast Corp.
5.900% due 03/15/2016		500		490
Community Health Systems, Inc.
8.875% due 07/15/2015		640		647
Compagnie Générale de Géophysique-Veritas
7.750% due 05/15/2017		140		141
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		200		168
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		85		85
CSC Holdings, Inc.
6.750% due 04/15/2012		75		71
7.625% due 07/15/2018		350		324
DaVita, Inc.
7.250% due 03/15/2015		275		269
Delhaize America, Inc.
8.050% due 04/15/2027		25		27
Devon Financing Corp. ULC
6.875% due 09/30/2011		500		531
Dex Media West LLC
8.500% due 08/15/2010		150		149
DirecTV Holdings LLC
8.375% due 03/15/2013		180		186
Dynegy Holdings, Inc.
6.875% due 04/01/2011		50		50
7.125% due 05/15/2018		25		22
7.500% due 06/01/2015		575		533
Eaton Vance Corp.
6.500% due 10/02/2017		1,000		1,012
EchoStar DBS Corp.
7.000% due 10/01/2013		145		139
7.125% due 02/01/2016		300		278
El Paso Corp.
7.800% due 08/01/2031		325		330
8.050% due 10/15/2030		25		26
Enterprise Products Operating LP
7.034% due 01/15/2068		50		44
8.375% due 08/01/2066		170		170
Ferrellgas Partners LP
8.750% due 06/15/2012		185		182
First Data Corp.
9.875% due 09/24/2015		525		457
Ford Motor Co.
9.215% due 09/15/2021		25		17
Freeport-McMoRan Copper & Gold, Inc.
8.250% due 04/01/2015		150		158
8.375% due 04/01/2017		300		317
Freescale Semiconductor, Inc.
6.651% due 12/15/2014		25		20
8.875% due 12/15/2014		50		41
10.125% due 12/15/2016		150		115
Gaz Capital S.A.
8.146% due 04/11/2018		100		104
General Motors Corp.
7.700% due 04/15/2016		170		104
8.250% due 07/15/2023		75		44
Georgia-Pacific LLC
7.000% due 01/15/2015		510		482
7.700% due 06/15/2015		125		119
7.750% due 11/15/2029		50		44
8.000% due 01/15/2024		25		23
9.500% due 12/01/2011		25		26
Goodyear Tire & Rubber Co.
7.857% due 08/15/2011		125		125
9.000% due 07/01/2015		132		132
HCA, Inc.
9.250% due 11/15/2016		1,075		1,110
Health Management Associates, Inc.
6.125% due 04/15/2016		125		110
Hertz Corp.
8.875% due 01/01/2014		520		478
Ineos Group Holdings PLC
8.500% due 02/15/2016		275		182
Intergen NV
9.000% due 06/30/2017		175		182
Kinder Morgan Energy Partners LP
6.000% due 02/01/2017		500		496
L-3 Communications Corp.
7.625% due 06/15/2012		150		152
Meritor Automotive, Inc.
6.800% due 02/15/2009		30		30
MGM Mirage
6.625% due 07/15/2015		150		121
Nalco Co.
8.875% due 11/15/2013		75		77
New Albertson’s, Inc.
7.450% due 08/01/2029		125		119
Nordic Telephone Co. Holdings ApS
8.875% due 05/01/2016		380		374
Nortel Networks Ltd.
6.963% due 07/15/2011		525		499
10.125% due 07/15/2013		25		25
NPC International, Inc.
9.500% due 05/01/2014		100		87
OPTI Canada, Inc.
8.250% due 12/15/2014		90		90
President and Fellows of Harvard College
5.625% due 10/01/2038		1,000		993
Quebecor Media, Inc.
7.750% due 03/15/2016		350		327
Qwest Communications International, Inc.
7.500% due 02/15/2014		275		263
RH Donnelley Corp.
8.875% due 01/15/2016		345		209
8.875% due 10/15/2017		435		261
SandRidge Energy, Inc.
8.000% due 06/01/2018		525		530
Sanmina-SCI Corp.
8.125% due 03/01/2016		100		90
Seagate Technology HDD Holdings
3.631% due 10/01/2009		300		293
SemGroup LP
8.750% due 11/15/2015		260		254
Sensata Technologies BV
8.000% due 05/01/2014		300		278
Service Corp. International
7.625% due 10/01/2018		75		75
Station Casinos, Inc.
7.750% due 08/15/2016		225		173
Suburban Propane Partners LP
6.875% due 12/15/2013		210		200
Sungard Data Systems, Inc.
9.125% due 08/15/2013		340		345
Superior Essex Communications LLC
9.000% due 04/15/2012		80		82
Terex Corp.
8.000% due 11/15/2017		15		15
Time Warner Cable, Inc.
5.850% due 05/01/2017		500		476
TRW Automotive, Inc.
7.000% due 03/15/2014		25		22
7.250% due 03/15/2017		300		254
United Airlines, Inc.
7.730% due 07/01/2010		88		88
United Rentals North America, Inc.
6.500% due 02/15/2012		190		172
UnitedHealth Group, Inc.
6.000% due 02/15/2018		3,300		3,203
Valero Energy Corp.
6.125% due 06/15/2017		500		484
Verso Paper Holdings LLC
9.125% due 08/01/2014		195		192
West Corp.
9.500% due 10/15/2014		220		199
Willamette Industries, Inc.
6.450% due 08/19/2009		50		51
Williams Cos., Inc.
7.625% due 07/15/2019		250		264
Windstream Corp.
8.625% due 08/01/2016		275		276
Wynn Las Vegas Capital Corp.
6.625% due 12/01/2014		140		129
Xerox Corp.
7.125% due 06/15/2010		75		77
XTO Energy, Inc.
6.250% due 08/01/2017		500		507
				27,567
Utilities 2.6%
AES Corp.
8.000% due 10/15/2017		300		296
8.000% due 06/01/2020		50		49
8.875% due 02/15/2011		50		52
AT&T Corp.
8.000% due 11/15/2031		250		288
Cincinnati Bell, Inc.
7.000% due 02/15/2015		145		136
Citizens Communications Co.
6.625% due 03/15/2015		100		91
7.125% due 03/15/2019		350		315
Deutsche Telekom International Finance BV
8.750% due 06/15/2030		250		288
Edison Mission Energy
7.000% due 05/15/2017		75		71
7.200% due 05/15/2019		385		361
7.750% due 06/15/2016		25		25
Energy Future Holdings Corp.
10.875% due 11/01/2017		475		482
11.250% due 11/01/2017 (a)		75		75
Exelon Generation Co. LLC
6.200% due 10/01/2017		590		576
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013		25		10
Ipalco Enterprises, Inc.
7.250% due 04/01/2016		75		74
8.625% due 11/14/2011		25		26
Kinder Morgan Finance Co. ULC
5.700% due 01/05/2016		225		201
Knight, Inc.
5.150% due 03/01/2015		50		44
MetroPCS Wireless, Inc.
9.250% due 11/01/2014		120		116
NGPL Pipe Co. LLC
7.119% due 12/15/2017		100		102
7.768% due 12/15/2037		1,000		1,052
NRG Energy, Inc.
7.375% due 02/01/2016		710		670
7.375% due 01/15/2017		100		95
PSEG Energy Holdings LLC
8.500% due 06/15/2011		250		264
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		25		24
Qwest Corp.
6.500% due 06/01/2017		450		404
7.875% due 09/01/2011		100		101
8.875% due 03/15/2012		150		154
Reliant Energy, Inc.
6.750% due 12/15/2014		100		102
7.875% due 06/15/2017		310		305
Rural Cellular Corp.
9.875% due 02/01/2010		100		102
Sprint Capital Corp.
7.625% due 01/30/2011		25		25
Sprint Nextel Corp.
6.000% due 12/01/2016		60		52
Tenaska Alabama Partners LP
7.000% due 06/30/2021		46		43
Texas Competitive Electric Holdings Co. LLC
10.250% due 11/01/2015		490		483
10.500% due 11/01/2016 (a)		100		97
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		170		175
				7,826
Total Corporate Bonds & Notes (Cost $64,634)				62,174
CONVERTIBLE BONDS & NOTES 0.1%
Chesapeake Energy Corp.
2.500% due 05/15/2037		100		178
Total Convertible Bonds & Notes (Cost $106)				178
U.S. GOVERNMENT AGENCIES 77.9%
Fannie Mae
2.602% due 03/25/2034		36		35
2.632% due 08/25/2034		23		22
2.682% due 10/27/2037		4,000		3,827
2.832% due 11/25/2032 - 03/25/2044		135		132
2.881% due 04/18/2028 - 09/18/2031		34		33
2.882% due 06/25/2029 - 08/25/2036		159		157
2.900% due 11/25/2021		20		20
2.950% due 07/25/2021		35		35
3.200% due 08/25/2022		16		16
3.300% due 05/25/2022		17		17
3.320% due 10/25/2008		3		3
3.350% due 05/25/2018 - 10/25/2020		67		67
3.400% due 04/25/2021 - 10/25/2021		137		137
3.550% due 04/25/2023		19		19
3.611% due 09/25/2022		17		16
3.700% due 01/25/2024		50		51
3.770% due 03/25/2022		31		30
3.800% due 11/25/2021		69		69
3.820% due 09/25/2022		15		15
3.870% due 01/25/2022		96		95
4.011% due 10/25/2008		8		8
4.011% due 11/01/2028 (d)		863		871
4.060% due 08/01/2033		303		309
4.112% due 05/01/2034		459		463
4.242% due 03/01/2034		111		112
4.306% due 12/01/2033		222		224
4.332% due 01/01/2035 (d)		719		726
4.504% due 11/01/2033		171		174
4.525% due 04/01/2033		18		18
4.530% due 11/01/2020		85		85
4.551% due 11/01/2034		63		63
4.637% due 09/01/2035		78		79
4.661% due 10/25/2008		6		6
4.687% due 01/01/2035		315		318
4.707% due 10/01/2035		539		558
4.713% due 10/01/2034		639		647
4.810% due 04/01/2017 - 07/01/2026		247		248
4.814% due 08/01/2026		23		23
4.822% due 03/01/2020		13		13
4.845% due 12/01/2027		41		41
4.945% due 02/01/2032		79		80
4.994% due 10/01/2044		26		26
5.000% due 01/01/2016 - 08/25/2033		398		348
5.060% due 05/01/2033		70		71
5.086% due 04/01/2018		94		95
5.194% due 10/01/2040		360		360
5.220% due 09/01/2017 - 03/01/2033		227		229
5.226% due 07/01/2018		12		12
5.250% due 08/01/2018 - 05/01/2032		78		78
5.295% due 10/01/2017		64		64
5.307% due 10/01/2033		21		22
5.315% due 09/01/2018 - 05/01/2024		90		92
5.320% due 04/01/2033		120		122
5.338% due 09/01/2024		10		10
5.370% due 07/01/2035		44		45
5.375% due 07/01/2025 - 02/01/2032		237		241
5.432% due 03/01/2034		201		204
5.500% due 04/01/2036 - 06/01/2048		14,480		14,242
5.500% due 03/01/2037 (d)		1,691		1,670
5.517% due 01/01/2018		11		11
5.572% due 09/01/2017		19		19
5.582% due 07/01/2032		451		462
5.594% due 02/01/2033		69		71
5.605% due 03/01/2016		9		9
5.668% due 06/01/2025		5		5
5.724% due 08/01/2017		29		29
5.750% due 09/01/2016 - 09/01/2017		83		84
5.784% due 01/01/2018		11		11
5.799% due 07/01/2017		9		9
5.835% due 01/01/2029		227		228
5.845% due 05/01/2028		19		19
5.850% due 07/01/2019		112		113
5.858% due 01/01/2027		17		17
5.864% due 02/01/2033		91		92
5.869% due 01/01/2033		146		149
5.875% due 11/01/2018		3		3
5.893% due 05/01/2018		54		54
5.899% due 01/01/2019		13		13
5.905% due 04/01/2032		142		145
5.922% due 02/01/2032		50		51
5.925% due 03/01/2036 (d)		744		753
5.967% due 01/01/2018		89		91
5.974% due 08/01/2017		20		20
5.982% due 02/01/2033		54		55
5.989% due 06/01/2032 - 10/01/2036		520		529
5.991% due 08/01/2036		33		34
5.998% due 12/01/2035		44		44
6.000% due 09/01/2034 - 05/01/2038		72,408		73,152
6.000% due 09/01/2035 - 04/01/2038 (d)		55,979		56,331
6.012% due 05/01/2033 (d)		687		697
6.073% due 05/01/2019		14		14
6.105% due 11/01/2020		17		17
6.107% due 12/01/2034		501		505
6.108% due 02/01/2028		5		5
6.125% due 03/01/2036		76		76
6.136% due 05/01/2038		400		405
6.146% due 09/01/2033		80		81
6.206% due 04/01/2028		28		28
6.212% due 12/01/2035		27		27
6.234% due 12/01/2027		8		8
6.240% due 11/01/2032		45		46
6.243% due 01/01/2033		118		120
6.250% due 11/01/2032		126		129
6.251% due 11/01/2029		104		105
6.254% due 07/01/2032 (d)		696		702
6.258% due 01/01/2028		5		5
6.297% due 12/01/2035		18		18
6.320% due 12/01/2031		49		49
6.395% due 09/01/2031		170		174
6.400% due 03/01/2038		12		12
6.415% due 12/01/2032		143		144
6.439% due 10/01/2032		70		71
6.441% due 12/01/2032		94		95
6.482% due 07/01/2036		107		109
6.486% due 09/01/2030		138		140
6.500% due 06/25/2028 - 10/25/2031		722		755
6.509% due 10/01/2025		99		100
6.510% due 09/01/2022		33		34
6.526% due 12/01/2032		48		49
6.566% due 07/01/2025		4		4
6.590% due 04/01/2024		22		22
6.608% due 04/01/2027		144		149
6.610% due 11/01/2029		82		84
6.686% due 03/01/2033		370		374
6.756% due 08/01/2036		406		412
6.777% due 08/01/2031		314		320
6.850% due 12/18/2027		56		59
6.858% due 07/01/2033		73		74
6.890% due 08/01/2032		45		45
6.900% due 05/25/2023		232		246
6.979% due 09/01/2031		4		4
7.000% due 07/25/2022 - 08/01/2036		5,571		5,823
7.010% due 11/01/2033		98		99
7.055% due 10/01/2025		2		2
7.058% due 08/01/2032		315		318
7.060% due 10/01/2032		300		304
7.061% due 07/01/2032		48		49
7.075% due 01/01/2018		5		5
7.077% due 09/01/2024		96		97
7.144% due 09/01/2033		42		42
7.185% due 08/01/2032		27		27
7.206% due 08/01/2032		50		50
7.242% due 06/01/2019		23		24
7.250% due 09/01/2024		220		223
7.275% due 09/01/2032		39		39
7.500% due 07/25/2022 - 06/25/2042		537		576
7.548% due 10/01/2025		5		5
7.660% due 05/01/2015 (d)		958		1,049
8.000% due 04/25/2021 - 07/25/2022		136		143
8.600% due 08/25/2019		424		465
Freddie Mac
4.000% due 02/15/2017		201		200
4.059% due 09/01/2033 (d)		757		773
4.379% due 01/01/2035		21		22
5.085% due 08/01/2017		14		14
5.194% due 07/25/2044		47		44
5.232% due 04/01/2036		85		86
5.258% due 11/01/2017		45		45
5.267% due 02/01/2036		168		170
5.322% due 06/01/2019		48		48
5.473% due 04/01/2032		178		179
5.500% due 01/01/2020 - 07/01/2037		685		678
5.500% due 02/01/2037 - 01/01/2038 (d)		12,673		12,500
5.509% due 09/01/2037		28		29
5.529% due 09/01/2037		72		72
5.541% due 04/01/2036		111		114
5.550% due 05/01/2035		414		413
5.589% due 05/01/2037		104		106
5.666% due 07/01/2037 (d)		626		637
5.698% due 06/01/2037		14		14
5.730% due 12/01/2037		39		39
5.783% due 09/01/2037		31		32
5.789% due 04/01/2033		8		8
5.796% due 05/01/2019		11		11
5.818% due 08/01/2037		29		29
5.844% due 02/01/2015 - 01/01/2037		677		688
5.855% due 08/01/2037		9		9
5.870% due 11/01/2036		19		20
5.872% due 08/01/2037		14		14
5.882% due 11/01/2031		138		140
5.902% due 09/01/2034		444		448
5.914% due 02/01/2033		11		11
5.926% due 08/01/2036		33		33
5.968% due 02/01/2018		57		58
5.969% due 09/01/2036		24		24
5.985% due 09/01/2037		67		68
6.000% due 03/15/2017 - 12/01/2023		924		972
6.000% due 12/01/2019 (d)		1,587		1,622
6.046% due 01/01/2035		401		404
6.108% due 10/01/2026		10		10
6.208% due 06/01/2019		75		75
6.270% due 07/01/2034		439		444
6.374% due 10/01/2035 (d)		662		670
6.406% due 05/01/2019		548		552
6.444% due 01/01/2033		39		39
6.486% due 03/01/2025		3		3
6.492% due 01/01/2033		38		38
6.500% due 11/15/2021 - 10/01/2024		560		587
6.503% due 12/01/2034		93		94
6.509% due 05/01/2029		192		193
6.515% due 02/01/2037		122		125
6.597% due 01/01/2035		464		472
6.617% due 09/01/2033		71		72
6.624% due 03/01/2032 (d)		913		924
6.671% due 03/01/2025		87		88
6.724% due 10/01/2032		169		169
6.750% due 01/15/2024		59		62
6.799% due 09/01/2037		2,236		2,285
6.832% due 09/01/2024		41		41
6.867% due 09/01/2018		45		46
6.872% due 03/01/2031		189		191
6.875% due 04/01/2017 - 06/01/2033		528		530
6.883% due 08/01/2034		6		6
6.890% due 02/01/2026		135		136
6.969% due 08/01/2024		36		36
7.000% due 10/15/2013 - 12/01/2047		5,541		5,800
7.000% due 09/01/2047 (d)		1,609		1,668
7.015% due 05/15/2023 - 08/01/2034		359		360
7.033% due 11/01/2031		131		132
7.080% due 07/01/2033		77		78
7.082% due 07/01/2025		136		139
7.106% due 12/01/2033		594		597
7.113% due 08/01/2030		63		64
7.117% due 09/01/2023		49		50
7.125% due 07/01/2017		50		50
7.129% due 07/01/2033		317		320
7.135% due 05/01/2033		63		64
7.137% due 07/01/2024		17		17
7.176% due 11/01/2035		386		388
7.223% due 11/01/2029 (d)		792		799
7.230% due 09/01/2031		367		368
7.250% due 09/01/2032		222		222
7.276% due 08/01/2035		41		42
7.500% due 09/01/2011 - 01/15/2023		485		505
7.500% due 06/01/2014 (d)		1,081		1,128
8.500% due 06/15/2031		614		723
9.000% due 09/15/2020 - 02/15/2021		479		516
9.500% due 03/15/2020		28		28
Ginnie Mae
4.000% due 01/20/2035		15		15
4.750% due 01/20/2032 - 03/20/2032		490		491
5.000% due 10/20/2030 - 12/20/2033		307		309
5.125% due 10/20/2025 - 12/20/2026		38		38
5.250% due 02/20/2029		61		61
5.375% due 02/20/2024 - 01/20/2027		42		42
5.500% due 04/20/2037		53		50
5.625% due 08/20/2027 - 10/20/2029		268		271
6.100% due 06/15/2028 - 03/15/2029		2,458		2,519
6.125% due 08/20/2033		43		44
6.375% due 06/20/2022 - 06/20/2032		965		982
6.490% due 01/15/2028 - 01/15/2029		2,252		2,340
Small Business Administration
5.160% due 02/01/2028		2,500		2,499
5.170% due 01/01/2028		5,000		4,946
5.370% due 04/01/2028		2,000		2,003
Vendee Mortgage Trust
6.500% due 09/15/2024		324		344
Total U.S. Government Agencies (Cost $237,029)				235,923
MORTGAGE-BACKED SECURITIES 19.8%
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		389		388
5.634% due 07/10/2046		500		483
6.186% due 06/11/2035		255		262
Banc of America Funding Corp.
4.110% due 05/25/2035		118		78
4.622% due 02/20/2036		149		141
4.972% due 06/20/2035		182		144
Banc of America Mortgage Securities, Inc.
2.882% due 03/25/2034		211		203
2.932% due 01/25/2034		82		79
4.144% due 07/25/2034		167		165
4.705% due 04/25/2035		263		259
6.186% due 07/20/2032		59		56
Bear Stearns Adjustable Rate Mortgage Trust
4.625% due 10/25/2035		1,879		1,806
4.630% due 01/25/2035		164		161
Bear Stearns Alt-A Trust
6.250% due 08/25/2036		2,951		2,305
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		20		20
7.000% due 05/20/2030		395		420
CC Mortgage Funding Corp.
2.612% due 05/25/2048		377		265
Citigroup Mortgage Loan Trust, Inc.
4.679% due 08/25/2035		280		252
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		500		463
Countrywide Alternative Loan Trust
4.838% due 07/20/2035		219		161
6.250% due 08/25/2037		2,001		1,506
Countrywide Home Loan Mortgage Pass-Through Trust
2.712% due 05/25/2035		117		89
2.752% due 03/25/2035		262		203
2.802% due 03/25/2035		318		246
5.250% due 02/20/2036		211		186
6.064% due 07/19/2033		402		386
6.562% due 02/25/2034		290		272
6.816% due 05/19/2033		280		280
CS First Boston Mortgage Securities Corp.
4.940% due 12/15/2035		500		486
5.169% due 03/25/2034		284		280
5.603% due 07/15/2035		500		500
5.750% due 04/22/2033		1,365		1,297
Downey Savings & Loan Association Mortgage Loan Trust
2.662% due 04/19/2048		783		418
2.882% due 11/19/2044		159		95
6.097% due 07/19/2044		103		83
First Horizon Asset Securities, Inc.
2.982% due 03/25/2018		202		202
6.198% due 03/25/2033		243		231
First Republic Mortgage Loan Trust
2.721% due 11/15/2030		132		127
2.821% due 11/15/2031		51		48
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		500		502
Greenpoint Mortgage Funding Trust
2.742% due 10/25/2045		63		46
GSAA Trust
6.000% due 04/01/2034		826		817
GSR Mortgage Loan Trust
4.539% due 09/25/2035		207		201
4.540% due 09/25/2035		207		192
4.751% due 09/25/2034		250		242
5.248% due 11/25/2035		482		454
6.315% due 08/25/2034		499		491
6.690% due 04/25/2032		74		70
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		601		547
2.672% due 01/19/2038		25,948		18,581
2.792% due 08/19/2045		64		50
Indymac Index Mortgage Loan Trust
7.178% due 10/25/2034		323		323
JPMorgan Chase Commercial Mortgage Securities Corp.
5.376% due 07/12/2037		500		505
LB-UBS Commercial Mortgage Trust
5.347% due 11/15/2038		500		472
5.430% due 02/15/2040		500		466
MASTR Adjustable Rate Mortgages Trust
3.787% due 11/21/2034		500		491
3.788% due 11/21/2034		300		296
3.818% due 04/21/2034		74		74
MASTR Alternative Loans Trust
7.000% due 06/25/2034		124		116
MASTR Reperforming Loan Trust
6.000% due 08/25/2034		203		195
Mellon Residential Funding Corp.
2.841% due 09/15/2030		256		248
2.911% due 12/15/2030		57		53
Merrill Lynch Mortgage Investors, Inc.
2.380% due 09/25/2033		63		62
MLCC Mortgage Investors, Inc.
2.822% due 04/25/2028		117		107
2.838% due 10/25/2028		756		705
3.480% due 01/25/2030		102		94
4.526% due 01/25/2029		393		385
Morgan Stanley Capital I
5.328% due 11/12/2041		580		548
5.378% due 11/14/2042		500		488
Nomura Asset Acceptance Corp.
5.500% due 05/25/2033		100		93
6.000% due 05/25/2033		67		60
7.000% due 04/25/2033		11		11
Provident Funding Mortgage Loan Trust
4.040% due 04/25/2034		226		225
Residential Accredit Loans, Inc.
2.662% due 06/25/2046		1,937		1,389
6.000% due 08/25/2035		2,888		2,630
Residential Asset Mortgage Products, Inc.
7.000% due 11/25/2031		543		563
Residential Asset Securitization Trust
6.000% due 03/25/2037		2,817		2,493
Sequoia Mortgage Trust
2.829% due 07/20/2033		129		116
2.859% due 10/20/2027		50		44
2.862% due 04/20/2033		195		190
2.879% due 10/20/2027		257		246
2.932% due 12/20/2032		219		208
Structured Asset Mortgage Investments, Inc.
2.712% due 07/25/2046		139		76
2.822% due 05/19/2035		238		202
6.404% due 05/25/2045		87		79
Thornburg Mortgage Securities Trust
2.602% due 07/25/2036		2,813		2,613
2.752% due 03/25/2044		245		222
2.852% due 09/25/2044		190		182
WaMu Mortgage Pass-Through Certificates
2.772% due 12/25/2045		208		182
2.792% due 01/25/2045		47		36
2.838% due 10/25/2044		232		208
2.878% due 11/25/2034		235		183
3.022% due 12/25/2027		391		357
3.796% due 06/25/2034		55		54
3.952% due 06/25/2033		190		185
4.056% due 10/25/2033		1,500		1,499
4.528% due 02/25/2046		364		268
4.728% due 11/25/2042		18		17
4.780% due 07/25/2046		1,266		1,014
Wells Fargo Mortgage-Backed Securities Trust
4.018% due 12/25/2034		148		146
4.234% due 09/25/2034		164		160
4.364% due 09/25/2034		253		246
4.493% due 01/25/2035		246		244
4.539% due 02/25/2035		411		406
5.500% due 12/25/2033		62		60
6.143% due 10/25/2034		315		314
Total Mortgage-Backed Securities (Cost $62,131)				60,088
ASSET-BACKED SECURITIES 7.1%
ACE Securities Corp.
5.732% due 04/25/2035		650		22
American Express Credit Account Master Trust
2.971% due 02/15/2012		40		39
Ameriquest Mortgage Securities, Inc.
6.008% due 11/25/2032		233		24
8.108% due 02/25/2033		200		27
Amortizing Residential Collateral Trust
2.772% due 07/25/2032		69		58
Bear Stearns Asset-Backed Securities Trust
2.812% due 01/25/2036		507		488
2.832% due 09/25/2034		1,948		1,903
2.882% due 10/27/2032		81		74
2.972% due 06/25/2036		400		314
3.142% due 10/25/2032		125		110
3.482% due 10/25/2037		203		168
5.250% due 10/25/2033		1,974		1,722
5.500% due 06/25/2034		1,950		1,728
Bear Stearns Second Lien Trust
2.702% due 12/25/2036		1,625		1,076
Chase Funding Mortgage Loan Asset-Backed Certificates
3.122% due 11/25/2031		127		126
Citibank Omni Master Trust
3.581% due 12/23/2013		2,000		2,018
Countrywide Asset-Backed Certificates
2.582% due 09/25/2047		553		541
First Franklin Mortgage Loan Asset-Backed Certificates
2.532% due 11/25/2036		551		529
Green Tree Financial Corp.
6.110% due 09/01/2023		549		546
6.870% due 01/15/2029		495		485
Greenpoint Manufactured Housing
8.300% due 10/15/2026		1,500		1,428
GSAA Trust
2.752% due 06/25/2035		792		509
HFC Home Equity Loan Asset-Backed Certificates
2.769% due 01/20/2034		2,050		1,817
3.279% due 11/20/2036		528		528
Home Equity Asset Trust
2.542% due 08/25/2036		1		1
HSI Asset Securitization Corp. Trust
2.532% due 10/25/2036		530		513
2.532% due 12/25/2036		305		292
Irwin Home Equity Corp.
3.022% due 07/25/2032		10		7
JPMorgan Mortgage Acquisition Corp.
2.532% due 10/25/2036		515		504
Morgan Stanley ABS Capital I
3.562% due 12/27/2032		268		246
New Century Home Equity Loan Trust
2.852% due 08/25/2034		57		46
RAAC Series 2007-SP3
3.682% due 09/25/2047		2,067		1,916
Renaissance Home Equity Loan Trust
2.982% due 12/25/2033		275		229
SBI HELOC Trust
2.652% due 08/25/2036		183		175
Soundview Home Equity Loan Trust
3.282% due 10/25/2037		445		431
Structured Asset Securities Corp.
4.900% due 04/25/2035		1,094		843
TABS Ltd.
3.875% due 02/12/2047		280		11
Truman Capital Mortgage Loan Trust
2.822% due 01/25/2034		81		79
Total Asset-Backed Securities (Cost $22,220)				21,573
SOVEREIGN ISSUES 1.7%
Ukraine Government International Bond
6.391% due 08/05/2009		5,000		5,075
Total Sovereign Issues (Cost $5,073)				5,075
FOREIGN CURRENCY-DENOMINATED ISSUES 0.0%
Japanese Government CPI Linked Bond
1.156% due 02/28/2016	JPY	7,428		69
Total Foreign Currency-Denominated Issues (Cost $63)				69
	Shares
CONVERTIBLE PREFERRED STOCKS 0.1%
American International Group, Inc.
8.500% due 08/01/2011		500		30
Bank of America Corp.
7.250% due 12/31/2049		250		221
General Motors Corp.
5.250% due 03/06/2032		2,000		28
Wachovia Corp.
7.500% due 12/31/2049		100		88
Total Convertible Preferred Stocks (Cost $431)				367
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 3.9%
Commercial Paper 0.4%
Federal Home Loan Bank
2.000% due 07/01/2008	$	600		600
UBS Finance Delaware LLC
2.625% due 09/02/2008		600		597
				1,197
Repurchase Agreements 0.1%
State Street Bank and Trust Co.
1.650% due 07/01/2008		490		490
(Dated 06/30/2008. Collateralized by Freddie Mac 5.000% due 01/16/2009 valued at $485. Repurchase proceeds are $490.)
U.S. Treasury Bills 3.4%
1.818% due 08/28/2008 - 09/25/2008 (b)(c)		10,250		10,194
Total Short-Term Instruments (Cost $11,900)				11,881
Total Investments 131.3% (Cost $404,384)			$	398,035
Written Options (g) (0.0%) (Premiums $50)				(32	)
Other Assets and Liabilities (Net) (31.3%)				(94,896	)
Net Assets 100.0%			$	303,107

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) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $10,194 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $57,028 at a weighted average interest rate of 2.403%. On June 30, 2008, securities valued at $79,280 were pledged as collateral for reverse repurchase agreements.

(e) Cash of $233 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	70	$	(2)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.100	%	03/20/2013	DUB	$	3,000	$	(6)
ARAMARK Corp. 8.500% due 02/01/2015	Sell	1.300	%	09/20/2008	BOA		50		0
Bear Stearns Cos., Inc. 6.400% due 10/02/2017	Buy	(3.000	%)	12/20/2017	GSC		1,000		(141)
Bear Stearns Cos., Inc. 6.950% due 08/10/2012	Buy	(4.050	%)	09/20/2012	CITI		137		(16)
Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	4.570	%	09/20/2013	GSC		50		(1)
CSC Holdings, Inc. 7.625% due 04/01/2011	Sell	2.010	%	06/20/2012	MSC		50		(4)
CSC Holdings, Inc. 7.625% due 07/15/2018	Sell	1.250	%	09/20/2008	BCLY		25		0
Fannie Mae 5.500% due 06/09/2033	Sell	0.660	%	12/20/2012	HSBC		1,000		5
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.520	%	09/20/2008	MLP		25		0
Freddie Mac 5.080% due 02/07/2019	Sell	0.670	%	12/20/2012	MSC		1,000		3
General Motors Corp. 7.125% due 07/15/2013	Sell	4.250	%	09/20/2008	CITI		50		(1)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	03/20/2013	LEH		100		(17)
Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	2.220	%	09/20/2012	CITI		50		(4)
GMAC LLC 6.875% due 08/28/2012	Sell	3.650	%	09/20/2008	LEH		100		(2)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	03/20/2012	DUB		100		(11)
HCA, Inc. 7.858% due 11/16/2012	Sell	1.250	%	09/20/2008	LEH		100		0
Multiple Reference Entities of Gazprom	Sell	1.380	%	12/20/2008	MSC		3,000		8
Nalco Co. 7.750% due 11/15/2011	Sell	0.820	%	09/20/2008	CSFB		75		0
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	BOA		2,500		1,430
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	JPM		2,500		(1,413)
Nortel Networks Corp. 4.250% due 09/01/2008	Sell	1.400	%	09/20/2008	LEH		50		0
NRG Energy, Inc. 7.250% due 02/01/2014	Sell	1.500	%	09/20/2008	RBS		50		0
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	3.000	%	12/20/2012	LEH		100		(7)
SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009	DUB		2,000		(31)
Sprint Nextel Corp. 6.000% due 12/01/2016	Sell	7.150	%	06/20/2009	BCLY		100		4
Sungard Data Systems, Inc. 9.125% due 08/15/2013	Sell	4.500	%	09/20/2013	DUB		75		(1)
TRW Automotive, Inc. 9.375% due 02/15/2013	Sell	0.950	%	09/20/2008	LEH		25		0
								$	(205)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	BCLY	$	1,000	$	(4)
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	JPM		7,000		(31)
Dow Jones CDX N.A. HY9 Index	Sell	1.550	%	12/20/2010	MLP		50		1
Dow Jones CDX N.A. HY9 Index	Sell	1.140	%	12/20/2012	MLP		1,987		(31)
Dow Jones CDX N.A. HY9 Index	Sell	1.443	%	12/20/2012	MLP		9,937		(49)
Dow Jones CDX N.A. IG9 Index	Sell	0.560	%	12/20/2012	DUB		10,000		(168)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		500		2
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		100		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		100		0
Dow Jones CDX N.A. IG10 Index	Sell	1.550	%	06/20/2013	DUB		2,000		(5)
Dow Jones CDX N.A. IG10 Index	Sell	1.550	%	06/20/2013	MSC		10,100		(8)
Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045	CSFB		4,000		(1,412)
Home Equity Index AA Rating 2006-2	Sell	0.170	%	05/25/2046	BEAR		2,000		(750)
Home Equity Index AA Rating 2007-1	Sell	0.150	%	08/25/2037	BEAR		3,000		(904)
Home Equity Index AA Rating 2007-1	Sell	0.150	%	08/25/2037	CSFB		11,000		(1,705)
Home Equity Index AA Rating 2007-2	Sell	1.920	%	01/25/2038	BEAR		3,000		(803)
Home Equity Index AAA Rating 2006-1	Sell	0.180	%	07/25/2045	CSFB		4,713		(48)
Home Equity Index AAA Rating 2006-1	Sell	0.180	%	07/25/2045	DUB		4,713		247
Home Equity Index AAA Rating 2006-1	Sell	0.180	%	07/25/2045	MSC		2,455		(20)
Home Equity Index AAA Rating 2006-2	Sell	0.110	%	05/25/2046	CSFB		1,800		(22)
								$	(5,710)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB	$	3,000	$	(22)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		1,100		(8)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MSC		8,300		(6)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		13,500		(60)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		6,900		(8)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		33,900		54
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		4,000		29
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		100		2
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		3,400		(10)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		2,300		(7)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	CITI		400		(5)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	GSC		300		1
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		500		(17)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		1,200		(15)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		300		(1)
Receive	6-Month GBP-LIBOR	5.000	%	03/18/2039	GSC	GBP	200		6
								$	(67)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	115.000	08/22/2008	3	$	2	$	3
Call - CBOT U.S. Treasury 10-Year Note September Futures		116.000	08/22/2008	5		4		3
Call - CBOT U.S. Treasury 10-Year Note September Futures		117.000	08/22/2008	20		15		7
Put - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/22/2008	3		2		0
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	5		4		2
Put - CBOT U.S. Treasury 10-Year Note September Futures		113.000	08/22/2008	20		23		17
					$	50	$	32

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Sell	JPY	10,000	07/2008	$	0	$	(2)	$	(2)

(i) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	30	$	397,994	$	11	$	398,035
Other Financial Instruments++		(2)		(5,985)		(31)		(6,018)
Total	$	28	$	392,009	$	(20)	$	392,017

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)		Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	33,324	$	(237)	$	(1)	$	(334)	$	(32,741)	$	11
Other Financial Instruments++		0		0		0		(31)		0		(31)
Total	$	33,324	$	(237)	$	(1)	$	(365)	$	(32,741)	$	(20)

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

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

See Accompanying Notes

Schedule of Investments

International StocksPLUS^® TR Strategy Fund (Unhedged)

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 35.7%
Banking & Finance 30.1%
Allstate Life Global Funding Trusts
2.841% due 03/23/2009	$	100	$	100
5.375% due 04/30/2013		100		100
American Express Centurion Bank
2.495% due 06/12/2009		600		595
American Express Co.
7.000% due 03/19/2018		100		102
American Express Credit Corp.
5.875% due 05/02/2013		100		100
American General Finance Corp.
6.900% due 12/15/2017		200		175
American Honda Finance Corp.
2.774% due 08/05/2008		130		130
American International Group, Inc.
5.850% due 01/16/2018		300		282
Bank of America Corp.
5.375% due 09/11/2012		200		201
5.750% due 12/01/2017		200		188
8.000% due 12/29/2049		1,400		1,315
8.125% due 12/29/2049		1,200		1,136
Bank of Ireland
2.862% due 12/18/2009		300		297
Barclays Bank PLC
5.450% due 09/12/2012		900		912
6.050% due 12/04/2017		100		98
Bear Stearns Cos., Inc.
2.839% due 05/18/2010		500		488
2.979% due 07/16/2009		100		99
6.950% due 08/10/2012		400		416
C10 Capital SPV Ltd.
6.722% due 12/31/2049		100		92
Caterpillar Financial Services Corp.
2.779% due 05/18/2009		200		199
CIT Group, Inc.
2.959% due 12/19/2008		500		495
Citigroup Capital XXI
8.300% due 12/21/2057		100		95
Citigroup Funding, Inc.
2.667% due 12/08/2008		200		198
2.809% due 06/26/2009		100		99
Citigroup, Inc.
2.869% due 05/18/2010		730		717
5.500% due 04/11/2013		400		391
6.000% due 08/15/2017		200		191
8.400% due 04/29/2049		800		761
Credit Agricole S.A.
2.646% due 05/28/2009		100		100
2.694% due 05/28/2010		100		99
Credit Suisse USA, Inc.
2.876% due 08/15/2010		600		591
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		500		388
General Electric Capital Corp.
2.888% due 01/20/2010		600		598
Goldman Sachs Group, Inc.
2.800% due 11/16/2009		290		286
2.851% due 03/30/2009		100		99
6.750% due 10/01/2037		1,200		1,102
HSBC Holdings PLC
6.500% due 05/02/2036		200		187
ICICI Bank Ltd.
3.250% due 01/12/2010		100		97
International Lease Finance Corp.
2.959% due 06/26/2009		370		364
JPMorgan Chase & Co.
2.532% due 06/26/2009		290		289
6.000% due 01/15/2018		100		98
KeyBank N.A.
4.682% due 06/02/2010		200		199
Lehman Brothers Holdings, Inc.
2.778% due 05/25/2010		100		93
5.625% due 01/24/2013		500		474
Merrill Lynch & Co., Inc.
2.808% due 05/08/2009		200		196
4.495% due 05/20/2009		600		596
6.875% due 04/25/2018		300		286
Metropolitan Life Global Funding I
2.759% due 05/17/2010		200		197
Monumental Global Funding Ltd.
5.500% due 04/22/2013		100		100
Morgan Stanley
2.820% due 05/07/2009		300		295
2.844% due 02/09/2009		340		337
2.993% due 01/15/2010		400		392
4.778% due 05/14/2010		200		199
Pricoa Global Funding I
2.999% due 01/30/2012		100		98
3.008% due 09/27/2013		100		98
Principal Life Income Funding Trusts
5.550% due 04/27/2015		100		99
Residential Capital LLC
5.758% due 05/22/2009		100		72
Royal Bank of Scotland Group PLC
6.990% due 10/29/2049		200		180
SLM Corp.
3.060% due 07/27/2009		30		28
3.130% due 07/25/2008		500		498
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		100		85
Travelers Cos., Inc.
8.125% due 04/15/2010		800		840
UBS AG
5.875% due 12/20/2017		100		98
Wachovia Corp.
2.732% due 12/01/2009		200		196
7.980% due 12/31/2049		2,500		2,303
				22,229
Industrials 4.7%
Amgen, Inc.
2.726% due 11/28/2008		100		100
6.900% due 06/01/2038		400		410
AstraZeneca PLC
5.900% due 09/15/2017		100		103
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		100		108
Daimler Finance North America LLC
3.138% due 03/13/2009		50		50
Dell, Inc.
4.700% due 04/15/2013		200		195
General Mills, Inc.
3.038% due 01/22/2010		100		99
Home Depot, Inc.
2.901% due 12/16/2009		100		97
International Business Machines Corp.
5.700% due 09/14/2017		900		916
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		300		293
Kraft Foods, Inc.
6.125% due 02/01/2018		100		98
Oracle Corp.
4.950% due 04/15/2013		300		303
5.750% due 04/15/2018		200		200
Philip Morris International, Inc.
6.375% due 05/16/2038		100		98
Rohm & Haas Co.
6.000% due 09/15/2017		100		98
Union Pacific Corp.
5.700% due 08/15/2018		200		196
UnitedHealth Group, Inc.
4.875% due 02/15/2013		100		97
				3,461
Utilities 0.9%
AT&T, Inc.
6.300% due 01/15/2038		200		190
Enel Finance International S.A.
6.800% due 09/15/2037		300		304
NGPL Pipe Co. LLC
6.514% due 12/15/2012		100		102
Verizon Communications, Inc.
5.250% due 04/15/2013		100		99
				695
Total Corporate Bonds & Notes (Cost $27,237)				26,385
MUNICIPAL BONDS & NOTES 1.3%
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		200		204
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2037		800		780
Total Municipal Bonds & Notes (Cost $994)				984
U.S. GOVERNMENT AGENCIES 82.7%
Fannie Mae
4.994% due 06/01/2043		54		54
5.000% due 02/25/2017 - 07/01/2038		5,324		5,107
5.000% due 01/01/2037 - 03/01/2038 (c)		5,458		5,238
5.500% due 02/01/2018 - 07/01/2038		8,603		8,508
5.500% due 04/01/2037 - 01/01/2038 (c)		5,058		4,993
6.000% due 12/01/2035 - 07/01/2038		5,129		5,180
6.000% due 01/01/2037 - 05/01/2038 (c)		18,251		18,440
6.500% due 10/01/2035 - 08/01/2037		454		468
6.500% due 08/01/2036 - 11/01/2036 (c)		1,401		1,444
Freddie Mac
2.621% due 07/15/2019 - 10/15/2020		1,707		1,674
2.701% due 02/15/2019		674		661
4.250% due 09/15/2024		240		241
5.000% due 07/15/2020		67		68
5.500% due 07/01/2037 - 01/01/2038		2,858		2,819
6.000% due 07/01/2038		4,400		4,445
Ginnie Mae
6.000% due 08/15/2037		980		996
Small Business Administration
5.290% due 12/01/2027		97		97
5.490% due 03/01/2028		700		705
Total U.S. Government Agencies (Cost $61,542)				61,138
MORTGAGE-BACKED SECURITIES 5.8%
Bear Stearns Alt-A Trust
2.642% due 02/25/2034		284		204
Bear Stearns Mortgage Funding Trust
2.552% due 02/25/2037		149		132
Countrywide Alternative Loan Trust
2.642% due 02/25/2047		222		156
4.528% due 02/25/2036		140		107
Countrywide Home Loan Mortgage Pass-Through Trust
4.720% due 02/20/2035		192		187
4.799% due 11/25/2034		113		109
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 01/25/2047		107		100
2.562% due 03/25/2037		46		44
Greenpoint Mortgage Funding Trust
2.562% due 01/25/2047		82		78
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		127		119
GSR Mortgage Loan Trust
5.248% due 11/25/2035		84		79
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		600		564
5.420% due 01/15/2049		300		279
JPMorgan Mortgage Trust
5.020% due 02/25/2035		65		61
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		66		63
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		32		26
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		57		49
Morgan Stanley Capital I
2.542% due 10/15/2020		36		34
5.809% due 12/12/2049		500		476
Residential Accredit Loans, Inc.
4.888% due 09/25/2045		240		197
Structured Asset Mortgage Investments, Inc.
2.612% due 03/25/2037		134		103
2.732% due 07/19/2035		55		46
TBW Mortgage-Backed Pass-Through Certificates
2.592% due 01/25/2037		205		197
Wachovia Bank Commercial Mortgage Trust
2.551% due 06/15/2020		178		164
5.681% due 04/15/2034		2		2
WaMu Mortgage Pass-Through Certificates
3.122% due 12/25/2027		246		233
4.258% due 01/25/2047		76		57
4.528% due 02/25/2046		454		335
Wells Fargo Mortgage-Backed Securities Trust
4.945% due 01/25/2035		124		120
Total Mortgage-Backed Securities (Cost $4,791)				4,321
ASSET-BACKED SECURITIES 10.7%
Accredited Mortgage Loan Trust
2.602% due 04/25/2036		195		193
American Express Credit Account Master Trust
2.971% due 02/15/2012		16		16
Asset-Backed Funding Certificates
2.542% due 01/25/2037		46		45
Bear Stearns Asset-Backed Securities Trust
2.572% due 06/25/2047		64		62
BNC Mortgage Loan Trust
2.582% due 05/25/2037		153		147
Carrington Mortgage Loan Trust
2.532% due 01/25/2037		241		233
Chase Issuance Trust
2.481% due 02/15/2011		300		300
Citigroup Mortgage Loan Trust, Inc.
2.522% due 12/25/2036		138		131
2.542% due 01/25/2037		107		106
2.592% due 08/25/2036		500		483
Countrywide Asset-Backed Certificates
2.532% due 05/25/2037		277		273
2.532% due 07/25/2037		329		318
2.552% due 06/25/2037		57		56
2.562% due 06/25/2037		299		294
2.562% due 10/25/2037		197		185
2.662% due 09/25/2036		430		411
Credit-Based Asset Servicing & Securitization LLC
2.542% due 11/25/2036		288		280
2.572% due 12/25/2037		198		190
First Franklin Mortgage Loan Asset-Backed Certificates
2.522% due 01/25/2038		119		115
First USA Credit Card Master Trust
2.641% due 04/18/2011		300		300
Fremont Home Loan Trust
2.582% due 05/25/2036		50		49
GSAMP Trust
2.552% due 12/25/2036		191		185
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		143		141
HSBC Asset Loan Obligation
2.542% due 12/25/2036		319		306
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		239		226
MASTR Asset-Backed Securities Trust
2.532% due 01/25/2037		74		67
2.542% due 11/25/2036		197		192
Merrill Lynch Mortgage Investors, Inc.
2.552% due 08/25/2036		118		114
Morgan Stanley ABS Capital I
2.522% due 01/25/2037		61		59
2.532% due 11/25/2036		160		152
Residential Asset Securities Corp.
2.552% due 02/25/2037		186		177
Securitized Asset-Backed Receivables LLC Trust
2.522% due 01/25/2037		377		365
SLM Student Loan Trust
3.393% due 07/25/2013		600		600
3.800% due 12/15/2038		500		496
Soundview Home Equity Loan Trust
2.542% due 12/25/2036		57		56
2.562% due 06/25/2037		145		139
Specialty Underwriting & Residential Finance
2.542% due 01/25/2038		152		149
Structured Asset Securities Corp.
2.582% due 01/25/2037		313		298
Total Asset-Backed Securities (Cost $8,127)				7,909
SOVEREIGN ISSUES 0.7%
Korea Development Bank
2.931% due 04/03/2010		500		499
Total Sovereign Issues (Cost $500)				499
FOREIGN CURRENCY-DENOMINATED ISSUES 0.8%
Bear Stearns Cos., Inc.
5.137% due 07/27/2012	EUR	100		150
General Electric Capital Corp.
5.500% due 09/15/2067		300		418
Total Foreign Currency-Denominated Issues (Cost $555)				568
SHORT-TERM INSTRUMENTS 17.0%
Commercial Paper 11.8%
CBA (de) Finance
2.740% due 09/24/2008	$	2,800		2,781
Citibank N.A.
3.570% due 08/19/2008		1,600		1,592
Societe General N.A.
2.520% due 07/28/2008		500		499
UBS Finance Delaware LLC
2.930% due 10/27/2008		1,600		1,585
Westpac Banking Corp.
2.500% due 08/06/2008		400		399
Westpac Trust Securities NZ Ltd.
2.770% due 09/18/2008		1,900		1,888
				8,744
Repurchase Agreements 1.2%
State Street Bank and Trust Co.
1.650% due 07/01/2008		854		854
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $875. Repurchase proceeds are $854.)
U.S. Treasury Bills 4.0%
1.730% due 08/28/2008 - 09/25/2008 (a)(b)		3,000		2,985
Total Short-Term Instruments (Cost $12,589)				12,583
Purchased Options (f) 0.1% (Cost $165)				67
Total Investments 154.8% (Cost $116,500)			$	114,454
Written Options (g) (0.2%) (Premiums $202)				(114	)
Other Assets and Liabilities (Net) (54.6%)				(40,385	)
Net Assets 100.0%			$	73,955

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 $2,985 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(c) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $31,512 at a weighted average interest rate of 2.469%. On June 30, 2008, securities valued at $28,842 were pledged as collateral for reverse repurchase agreements.

(d) Cash of $984 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	4	$	0
90-Day Euribor June Futures	Long	06/2009	2		(1	)
90-Day Euribor March Futures	Long	03/2009	3		0
90-Day Eurodollar December Futures	Long	12/2008	11		8
90-Day Eurodollar December Futures	Long	12/2009	16		(13	)
90-Day Eurodollar June Futures	Long	06/2009	53		(23	)
90-Day Eurodollar March Futures	Long	03/2009	17		(7	)
90-Day Eurodollar March Futures	Long	03/2010	16		(16	)
90-Day Eurodollar September Futures	Long	09/2008	12		4
90-Day Eurodollar September Futures	Long	09/2009	38		(18	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	66		80
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	6		(20	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	1		(3	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	4		(9	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	9		(10	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	33		(38	)
				$	(66	)

(e) Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.620	%	03/20/2011	BCLY	$	600	$	(12	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.640	%	12/20/2012	BCLY		500		(18	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.900	%	03/20/2013	GSC		100		(22	)
General Motors Corp. 7.125% due 07/15/2013	Sell	9.050	%	03/20/2013	GSC		100		(21	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	GSC		800		(114	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.000	%	09/20/2008	BOA		1,000		(28	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009	BCLY		500		(1	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.085	%	03/20/2012	RBS		100		(5	)
Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008	HSBC		100		0
Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008	HSBC		300		1
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009	CSFB		500		0
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.270	%	03/20/2009	CSFB		100		0
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009	MSC		300		0
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	03/20/2009	LEH		100		0
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009	MSC		500		(3	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.630	%	03/20/2009	BCLY		100		(1	)
								$	(224	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. HY8 Index	Sell	2.144%	06/20/2012	CITI	$	500	$	(31	)
Dow Jones CDX N.A. IG9 Index	Sell	0.708%	12/20/2012	DUB		400		3
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	BCLY		100		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	DUB		300		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	GSC		1,500		9
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	MSC		1,000		4
							$	(15	)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	UBS	AUD	1,900	$	(19	)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	UBS		100		0
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	800		3
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		1,100		2
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		400		(3	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		400		(2	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		900		(15	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		100		(1	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		100		(1	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		500		(4	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	LEH		100		(1	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		100		1
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		100		(1	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		400		0
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		1,700		(22	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		200		(4	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		1,700		(30	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM	EUR	100		(6	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		500		(29	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS	AUD	800		(8	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	BCLY	GBP	400		(2	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	DUB		200		(1	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS		200		(2	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY		300		2
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	GSC		500		0
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	GSC		1,200		(1	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		200		(19	)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	DUB		400		2
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	GSC		100		(5	)
Pay	BRL-CDI-Compounded	11.360	%	01/04/2010	BCLY	BRL	300		(8	)
Pay	BRL-CDI-Compounded	11.430	%	01/04/2010	MLP		200		(5	)
Pay	BRL-CDI-Compounded	11.465	%	01/04/2010	GSC		100		(3	)
Pay	BRL-CDI-Compounded	12.410	%	01/04/2010	UBS		200		(3	)
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MSC		200		(3	)
Pay	BRL-CDI-Compounded	12.948	%	01/04/2010	MLP		100		(1	)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		400		(17	)
Pay	BRL-CDI-Compounded	11.980	%	01/02/2012	MLP		300		(11	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MLP		400		(9	)
								$	(226	)

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)	Expiration Date	Counterparty	# of Shares/Units	Unrealized (Depreciation)
Receive	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	1,069,247	$	(3,096	)

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(f) Purchased options outstanding on June 30, 2008:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	3,700	$	40	$	17
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		800		9		4
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		600		6		3
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,200		11		6
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		5,500		50		15
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		1,500		16		4
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,400		15		6
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		1,700		18		12
									$	165	$	67

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	21	$	12	$	8
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	21		19		7
					$	31	$	15

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009	$	1,400	$	35	$	21
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009		300		10		6
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		200		5		3
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		100		3		2
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		200		7		4
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		400		13		8
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		1,900		49		25
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		500		15		6
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		500		16		10
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		600		18		14
									$	171	$	99

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(4)
Fannie Mae	5.500	%	07/01/2038	$	1,000	$	988	$	986
Fannie Mae	6.000	%	07/01/2038		12,000		12,022		12,107
Ginnie Mae	6.000	%	07/01/2038		900		903		914
U.S. Treasury Notes	2.000	%	02/28/2010		500		496		500
U.S. Treasury Notes	2.125	%	01/31/2010		500		496		502
U.S. Treasury Notes	2.125	%	04/30/2010		2,400		2,382		2,394
U.S. Treasury Notes	2.875	%	01/31/2013		3,800		3,687		3,788
U.S. Treasury Notes	3.125	%	11/30/2009		500		503		507
U.S. Treasury Notes	3.250	%	12/31/2009		300		302		304
U.S. Treasury Notes	3.500	%	02/15/2010		300		305		310
U.S. Treasury Notes	4.250	%	08/15/2013		200		208		212
U.S. Treasury Notes	4.500	%	05/15/2017		500		519		526
						$	22,811	$	23,050

⁽⁴⁾ Market value includes $83 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	56	04/2009	$	0	$	0		$	0
Buy	AUD	48	07/2008		0		0			0
Buy	BRL	11,858	07/2008		1,138		0			1,138
Sell		11,858	07/2008		0		(469	)		(469	)
Buy		3,160	12/2008		82		0			82
Sell		909	12/2008		0		(44	)		(44	)
Buy	CNY	1,352	11/2008		3		0			3
Sell	EUR	943	07/2008		0		(15	)		(15	)
Sell	GBP	1,559	08/2008		0		(17	)		(17	)
Buy	IDR	441,000	10/2008		1		0			1
Buy	INR	4,820	11/2008		0		(10	)		(10	)
Sell	JPY	26,147	07/2008		0		(4	)		(4	)
Buy	KRW	186,298	08/2008		0		(23	)		(23	)
Sell		186,298	08/2008		0		0			0
Buy	KWD	4	04/2009		0		0			0
Buy	MXN	2,645	07/2008		19		0			19
Sell		2,645	07/2008		0		(11	)		(11	)
Buy	MYR	599	11/2008		0		(2	)		(2	)
Buy		336	02/2009		0		(2	)		(2	)
Buy	PHP	10,596	08/2008		0		(5	)		(5	)
Buy	PLN	659	07/2008		69		0			69
Sell		659	07/2008		0		(46	)		(46	)
Buy	RUB	6,598	07/2008		12		0			12
Sell		6,598	07/2008		0		(10	)		(10	)
Buy		5,696	11/2008		12		0			12
Sell		2,607	11/2008		0		(7	)		(7	)
Buy		2,415	05/2009		1		0			1
Sell		3,089	05/2009		0		(3	)		(3	)
Buy	SAR	56	04/2009		0		0			0
Buy	SEK	382	09/2008		0		0			0
Buy	SGD	594	11/2008		5		0			5
				$	1,342	$	(668	)	$	674

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0		$	114,454		$	0		$	114,454
Other Financial Instruments++		(66	)		(25,936	)		(32	)		(26,034	)
Total	$	(66	)	$	88,518		$	(32	)	$	88,420

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/(Losses)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	0		$	0	$	0	$	0		$	0	$	0
Other Financial Instruments++		(12	)		0		0		(20	)		0		(32	)
Total	$	(12	)	$	0	$	0	$	(20	)	$	0	$	(32	)

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

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

See Accompanying Notes

Schedule of Investments

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

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 2.0%
Daimler Finance North America LLC
6.780% due 08/03/2012	$	1,985	$	1,644
Georgia-Pacific Corp.
4.399% due 12/20/2012		286		270
4.446% due 12/20/2012		3,421		3,236
4.551% due 12/20/2012		218		206
HCA, Inc.
5.051% due 11/18/2013		2,567		2,415
Total Bank Loan Obligations (Cost $8,356)				7,771
CORPORATE BONDS & NOTES 30.8%
Banking & Finance 20.4%
American Express Bank FSB
6.000% due 09/13/2017		5,200		5,033
American Express Centurion Bank
6.000% due 09/13/2017		5,100		4,936
American Express Co.
6.150% due 08/28/2017		1,200		1,176
American International Group, Inc.
5.850% due 01/16/2018		3,000		2,820
Bank of America Corp.
5.650% due 05/01/2018		1,000		937
Bank of America N.A.
3.351% due 06/23/2010		2,700		2,693
Barclays Bank PLC
5.450% due 09/12/2012		4,500		4,558
6.050% due 12/04/2017		1,600		1,573
7.434% due 09/29/2049		1,000		940
7.700% due 04/29/2049		1,300		1,329
Capital One Financial Corp.
6.750% due 09/15/2017		1,600		1,590
Caterpillar Financial Services Corp.
3.559% due 06/24/2011		3,200		3,198
Citigroup Capital XXI
8.300% due 12/21/2057		1,500		1,423
Citigroup, Inc.
5.500% due 04/11/2013		1,000		977
6.125% due 11/21/2017		5,000		4,814
Deutsche Bank AG
6.000% due 09/01/2017		3,900		3,950
Ford Motor Credit Co. LLC
7.000% due 10/01/2013		300		221
7.250% due 10/25/2011		1,950		1,513
9.750% due 09/15/2010		400		349
General Electric Capital Corp.
2.816% due 03/12/2010		2,800		2,787
6.375% due 11/15/2067		200		190
GMAC LLC
6.625% due 05/15/2012		600		412
6.875% due 08/28/2012		2,200		1,508
7.000% due 02/01/2012		1,100		766
Goldman Sachs Group, Inc.
6.150% due 04/01/2018		3,100		3,017
John Deere Capital Corp.
3.536% due 06/10/2011		3,900		3,899
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		4,600		4,483
Lehman Brothers Holdings, Inc.
6.750% due 12/28/2017		1,800		1,696
6.875% due 05/02/2018		200		194
Merrill Lynch & Co., Inc.
6.050% due 08/15/2012		400		392
6.875% due 04/25/2018		1,300		1,241
Metropolitan Life Global Funding I
5.125% due 04/10/2013		500		493
Morgan Stanley
6.000% due 04/28/2015		1,300		1,246
Principal Life Income Funding Trusts
5.300% due 04/24/2013		200		200
Royal Bank of Scotland Group PLC
7.640% due 03/31/2049		1,900		1,742
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		1,100		1,066
UBS AG
3.729% due 06/19/2010		2,000		1,996
5.875% due 12/20/2017		2,600		2,537
Wells Fargo Bank N.A.
4.750% due 02/09/2015		5,000		4,783
				78,678
Industrials 7.6%
Erac USA Finance Co.
6.375% due 10/15/2017		7,500		6,722
Gaz Capital S.A.
8.146% due 04/11/2018		700		727
Goodrich Corp.
6.290% due 07/01/2016		2,100		2,140
International Business Machines Corp.
5.700% due 09/14/2017		2,900		2,953
Kohl’s Corp.
6.250% due 12/15/2017		10,000		9,564
Kraft Foods, Inc.
6.125% due 02/01/2018		2,600		2,536
6.875% due 02/01/2038		300		293
Loews Corp.
5.250% due 03/15/2016		2,800		2,717
Nortel Networks Ltd.
10.125% due 07/15/2013		100		98
Williams Cos., Inc.
6.375% due 10/01/2010		200		203
Xerox Corp.
9.750% due 01/15/2009		1,100		1,132
				29,085
Utilities 2.8%
AT&T, Inc.
4.125% due 09/15/2009		500		501
5.500% due 02/01/2018		1,100		1,069
6.300% due 01/15/2038		500		475
BellSouth Corp.
5.200% due 09/15/2014		1,200		1,185
Embarq Corp.
6.738% due 06/01/2013		2,000		1,932
Enel Finance International S.A.
6.250% due 09/15/2017		5,400		5,479
				10,641
Total Corporate Bonds & Notes (Cost $122,395)				118,404
MUNICIPAL BONDS & NOTES 0.9%
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2007
5.000% due 11/15/2036		400		404
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
10.679% due 12/15/2013		2,265		2,085
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		700		585
Palomar, California Community College District General Obligation Bonds, (FSA Insured), Series 2007
4.750% due 05/01/2032		100		98
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		300		287
Total Municipal Bonds & Notes (Cost $3,791)				3,459
COMMODITY INDEX-LINKED NOTES 0.5%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		2,000		1,986
Total Commodity Index-Linked Notes (Cost $2,000)				1,986
U.S. GOVERNMENT AGENCIES 120.6%
Fannie Mae
2.602% due 03/25/2034 (f)		24		23
2.612% due 03/25/2036 (f)		2,354		2,355
2.732% due 06/25/2044		58		58
2.832% due 09/25/2042		746		692
3.375% due 11/25/2023 (f)		235		240
3.785% due 08/01/2010 (f)		364		361
4.000% due 04/25/2024 (f)		190		194
4.205% due 11/01/2034 (f)		888		905
4.264% due 08/01/2035 (f)		724		734
4.500% due 06/01/2010 - 09/25/2020 (f)		4,552		4,566
4.633% due 10/01/2035 (f)		825		827
4.646% due 07/01/2035 (f)		1,610		1,630
4.719% due 10/01/2035 (f)		708		721
4.724% due 10/01/2035 (f)		620		624
4.844% due 02/01/2034 (f)		712		720
4.916% due 09/01/2035 (f)		1,334		1,354
4.994% due 09/01/2044 - 10/01/2044 (f)		4,250		4,253
5.000% due 12/01/2018 - 07/01/2038		72,872		70,365
5.000% due 07/25/2019 - 12/01/2036 (f)		39,234		38,308
5.172% due 03/01/2036 (f)		2,260		2,264
5.231% due 08/01/2036 (f)		1,234		1,239
5.262% due 02/01/2036 (f)		5,261		5,273
5.393% due 07/01/2032 (f)		49		50
5.500% due 01/01/2021 - 04/01/2038		27,628		27,561
5.500% due 02/01/2023 - 05/01/2037 (f)		48,489		48,009
6.000% due 10/01/2035 - 02/01/2038 (f)		34,796		35,153
6.000% due 07/01/2038		1,500		1,513
6.217% due 02/01/2035 (f)		399		403
6.500% due 12/01/2036 - 05/01/2037 (f)		4,025		4,150
6.532% due 09/01/2031		2		2
7.500% due 12/01/2014		185		193
Freddie Mac
2.671% due 10/15/2020 (f)		741		732
2.821% due 06/15/2031 (f)		1,466		1,444
2.871% due 11/15/2016 - 03/15/2017 (f)		6,648		6,644
3.500% due 01/15/2022 - 01/15/2023 (f)		927		927
4.000% due 11/01/2013 - 05/15/2016 (f)		4,462		4,408
4.343% due 09/01/2035 (f)		1,603		1,603
4.500% due 02/15/2017 - 09/15/2020 (f)		11,391		11,409
4.994% due 10/25/2044		180		175
5.000% due 12/15/2015 - 09/01/2035 (f)		42,790		43,342
5.308% due 09/01/2035 (f)		2,188		2,219
5.500% due 03/15/2017 - 08/01/2037 (f)		16,833		16,619
5.500% due 08/15/2030 - 07/01/2038		93,005		91,624
Ginnie Mae
2.871% due 03/16/2032		38		38
5.000% due 07/01/2038		6,000		5,814
5.125% due 11/20/2024		99		99
6.000% due 07/01/2038		7,000		7,106
6.500% due 07/01/2038		6,000		6,198
Overseas Private Investment Corp.
5.660% due 06/10/2018		6,000		6,098
Small Business Administration
5.680% due 06/01/2028		2,500		2,504
Total U.S. Government Agencies (Cost $461,365)				463,743
U.S. TREASURY OBLIGATIONS 4.0%
Treasury Inflation Protected Securities (c)
2.375% due 04/15/2011		4,328		4,588
2.375% due 01/15/2027		1,278		1,339
U.S. Treasury Bonds
4.375% due 02/15/2038		9,500		9,277
Total U.S. Treasury Obligations (Cost $14,941)				15,204
MORTGAGE-BACKED SECURITIES 9.5%
Banc of America Funding Corp.
6.141% due 01/20/2047		168		137
Banc of America Mortgage Securities, Inc.
2.932% due 01/25/2034		192		185
5.000% due 05/25/2034		203		196
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		2,498		2,387
4.550% due 08/25/2035		588		558
4.625% due 10/25/2035		3,280		3,153
4.750% due 10/25/2035		338		335
Bear Stearns Alt-A Trust
5.372% due 05/25/2035		449		385
5.500% due 08/25/2036		900		508
5.701% due 09/25/2035		534		441
Bear Stearns Structured Products, Inc.
5.674% due 01/26/2036		525		436
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		660		624
4.700% due 12/25/2035		1,440		1,397
Countrywide Alternative Loan Trust
2.689% due 11/20/2035		78		73
2.689% due 03/20/2046		1,540		1,094
4.500% due 06/25/2035		367		364
5.465% due 06/25/2037		2,665		2,279
Countrywide Home Loan Mortgage Pass-Through Trust
2.772% due 04/25/2035		311		233
2.802% due 03/25/2035		249		188
CS First Boston Mortgage Securities Corp.
5.050% due 06/25/2033		292		283
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.562% due 02/25/2037		1,348		1,268
Downey Savings & Loan Association Mortgage Loan Trust
2.742% due 08/19/2045		1,362		1,053
5.973% due 07/19/2044		118		102
First Horizon Alternative Mortgage Securities
6.218% due 03/25/2035		264		231
First Horizon Asset Securities, Inc.
5.368% due 08/25/2035		122		117
First Republic Mortgage Loan Trust
2.821% due 11/15/2031		102		95
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		184		182
GSR Mortgage Loan Trust
4.539% due 09/25/2035		483		469
5.500% due 11/25/2035		300		301
GSRPM Mortgage Loan Trust
3.182% due 01/25/2032		17		15
Harborview Mortgage Loan Trust
2.722% due 03/19/2037		1,334		942
Homebanc Mortgage Trust
5.913% due 04/25/2037		900		537
Indymac Index Mortgage Loan Trust
2.582% due 01/25/2037		948		893
2.782% due 06/25/2037		779		451
5.044% due 12/25/2034		66		57
JPMorgan Mortgage Trust
5.020% due 02/25/2035		452		427
Lehman XS Trust
2.562% due 07/25/2046		665		650
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		259		208
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		63		57
3.482% due 10/25/2035		85		79
Morgan Stanley Capital I
2.542% due 10/15/2020		1,042		974
Residential Accredit Loans, Inc.
2.692% due 04/25/2046		2,076		1,487
2.882% due 03/25/2033		153		141
Residential Asset Securitization Trust
2.882% due 05/25/2033		240		218
Structured Adjustable Rate Mortgage Loan Trust
4.928% due 01/25/2035		310		293
Structured Asset Mortgage Investments, Inc.
2.732% due 07/19/2035		353		296
2.762% due 02/25/2036		814		623
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		1,854		1,774
WaMu Mortgage Pass-Through Certificates
2.792% due 01/25/2045		231		179
2.802% due 01/25/2045		221		182
Wells Fargo Mortgage-Backed Securities Trust
3.989% due 12/25/2034		660		645
4.321% due 07/25/2035		2,700		2,576
4.416% due 05/25/2035		332		326
4.500% due 11/25/2018		1,266		1,223
5.240% due 04/25/2036		2,349		2,309
Total Mortgage-Backed Securities (Cost $40,346)				36,636
ASSET-BACKED SECURITIES 2.0%
Aurum CLO 2002-1 Ltd.
3.143% due 04/15/2014		1,626		1,564
Bear Stearns Asset-Backed Securities Trust
5.431% due 10/25/2036		1,850		1,507
Carrington Mortgage Loan Trust
2.548% due 07/25/2036		67		67
Countrywide Asset-Backed Certificates
2.532% due 12/25/2046		480		474
GE-WMC Mortgage Securities LLC
2.522% due 08/25/2036		301		293
GSAMP Trust
2.552% due 01/25/2036		72		69
2.572% due 11/25/2035		137		126
2.772% due 03/25/2034		74		73
Lehman XS Trust
2.562% due 04/25/2046		279		276
2.562% due 08/25/2046		783		768
Long Beach Mortgage Loan Trust
2.762% due 10/25/2034		186		154
New Century Home Equity Loan Trust
2.552% due 08/25/2036		89		89
SLM Student Loan Trust
2.882% due 10/27/2014 (a)		1,700		1,699
Structured Asset Securities Corp.
4.900% due 04/25/2035		729		562
Total Asset-Backed Securities (Cost $8,330)				7,721
FOREIGN CURRENCY-DENOMINATED ISSUES 5.2%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	1,400		743
General Electric Capital Corp.
6.500% due 09/15/2067	GBP	1,800		3,330
Republic of Germany
4.250% due 07/04/2039	EUR	4,100		5,822
4.750% due 07/04/2034		3,100		4,749
5.500% due 01/04/2031		200		337
5.625% due 01/04/2028		3,000		5,104
Total Foreign Currency-Denominated Issues (Cost $20,168)				20,085
	Shares
CONVERTIBLE PREFERRED STOCKS 0.1%
Wachovia Corp.
7.500% due 12/31/2049		400		354
Total Convertible Preferred Stocks (Cost $400)				354
PREFERRED STOCKS 0.1%
Fannie Mae
8.250% due 12/31/2049		13,000	$	298
Total Preferred Stocks (Cost $325)				298
EXCHANGE-TRADED FUNDS 3.1%
iShares MSCI EAFE Index Fund		172,236		11,833
Total Exchange-Traded Funds (Cost $10,076)				11,833
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 32.7%
Commercial Paper 24.6%
Australia & New Zealand Banking Group Ltd.
2.760% due 09/18/2008	$	13,200		13,118
Danske Corp.
2.690% due 09/18/2008		3,400		3,379
Federal Home Loan Bank
2.000% due 07/01/2008		5,000		5,000
Intesa Funding LLC
2.790% due 09/24/2008		12,400		12,316
Lloyds TSB Bank PLC
2.490% due 07/01/2008		10,200		10,200
Nordea N.A., Inc.
2.770% due 09/29/2008		9,200		9,134
Royal Bank of Scotland Group PLC
2.790% due 09/22/2008		12,000		11,921
Societe General N.A.
2.900% due 09/18/2008		7,900		7,851
UBS Finance Delaware LLC
2.650% due 09/10/2008		1,200		1,193
Unicredito Italiano SpA
3.080% due 09/16/2008		10,800		10,735
Westpac Trust Securities NZ Ltd.
2.770% due 09/18/2008		9,800		9,739
				94,586
Repurchase Agreements 0.5%
State Street Bank and Trust Co.
1.650% due 07/01/2008		2,175		2,175
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $2,220. Repurchase proceeds are $2,175.)
U.S. Treasury Bills 7.6%
1.766% due 08/28/2008 - 09/25/2008 (b)(d)(e)		29,300		29,168
Total Short-Term Instruments (Cost $125,954)				125,929
Purchased Options (i) 0.8% (Cost $3,097)				3,020
Total Investments 212.3% (Cost $821,544)			$	816,443
Written Options (j) (0.4%) (Premiums $2,155)				(1,486)
Other Assets and Liabilities (Net) (111.9%)				(430,315)
Net Assets 100.0%			$	384,642

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) Coupon represents a weighted average rate.

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

(d) Securities with an aggregate market value of $28,122 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

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

(f) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $255,980 at a weighted average interest rate of 2.433%. On June 30, 2008, securities valued at $242,399 were pledged as collateral for reverse repurchase agreements.

(g) Cash of $8,105 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	51	$	(35)
90-Day Eurodollar December Futures	Long	12/2009	137		(106)
90-Day Eurodollar June Futures	Long	06/2009	146		(59)
90-Day Eurodollar March Futures	Long	03/2009	57		123
90-Day Eurodollar March Futures	Short	03/2009	56		(116)
90-Day Eurodollar March Futures	Long	03/2010	95		(93)
90-Day Eurodollar September Futures	Long	09/2008	34		2
90-Day Eurodollar September Futures	Long	09/2009	287		(67)
Euro-Bobl September Futures	Short	09/2008	144		323
Euro-Bobl September Futures Call Options Strike @ EUR 118.000	Long	09/2008	144		0
Euro-Bund 10-Year Bond September Futures	Short	09/2008	6		5
Euro-Bund 10-Year Bond September Futures Put Options Strike @ EUR 104.000	Long	09/2008	55		0
Euro-Schatz September Futures	Short	09/2008	467		544
Euro-Schatz September Futures Call Options Strike @ EUR 108.000	Long	09/2008	467		0
Japan Government 10-Year Bond September Futures	Long	09/2008	1		13
U.S. Treasury 2-Year Note September Futures	Short	09/2008	924		29
U.S. Treasury 5-Year Note September Futures	Short	09/2008	84		7
U.S. Treasury 10-Year Note September Futures	Long	09/2008	399		246
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	292		631
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	583		(740)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	185		(206)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	211		(26)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	103		(171)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	32		(69)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	149		(207)
United Kingdom Government 10-Year Bond September Futures	Short	09/2008	24		80
				$	108

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.665%)	06/20/2017	RBS	$	1,900	$	54
BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325%)	09/20/2014	LEH		1,200		4
Clorox Co. 6.125% due 02/01/2011	Buy	(0.330%)	12/20/2012	BOA		2,700		40
Erac USA Finance Co. 6.375% due 10/15/2017	Buy	(0.800%)	12/20/2017	GSC		7,500		935
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.920%	09/20/2012	CITI		700		(11)
Goodrich Corp. 6.290% due 07/01/2016	Buy	(0.510%)	09/20/2016	DUB		2,200		18
Hungary Government International Bond 4.750% due 02/03/2015	Buy	(1.660%)	03/20/2013	MSC		2,600		(56)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420%	12/20/2008	DUB		2,600		(4)
Kohl’s Corp. 6.250% due 12/15/2007	Buy	(0.680%)	12/20/2017	RBS		10,000		495
Loews Corp. 5.250% due 03/15/2016	Buy	(0.280%)	03/20/2016	BEAR		2,800		31
Ltd. Brands, Inc. 6.125% due 12/01/2012	Buy	(1.030%)	06/20/2017	GSC		5,000		545
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	0.950%	09/20/2012	CITI		700		(42)
Morgan Stanley 6.600% due 04/01/2012	Sell	0.190%	09/20/2008	BOA		2,400		(13)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260%	12/20/2008	BCLY		500		0
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290%	12/20/2008	BCLY		2,800		1
Reynolds American, Inc. 7.625% due 06/01/2016	Sell	1.280%	06/20/2017	DUB		1,000		1
Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.200%)	10/20/2010	MSC		100		(1)
Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.110%)	10/20/2010	LEH		100		(1)
Turkey Government International Bond 11.875% due 01/15/2030	Buy	(2.630%)	03/20/2013	MSC		2,600		17
Wells Fargo Bank N.A. 4.750% due 02/09/2015	Buy	(0.140%)	03/20/2015	GSC		5,000		285
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.960%)	06/20/2017	UBS		800		64
							$	2,362

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080%	12/13/2049	MSC	$	5,200	$	339
Dow Jones CDX N.A. EM9 Index	Buy	(2.650%)	06/20/2013	BCLY		3,900		64
Dow Jones CDX N.A. HV9 Index	Sell	1.400%	12/20/2012	CSFB		3,500		(222)
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	LEH		1,485		93
Dow Jones CDX N.A. HY8 Index	Sell	0.483%	06/20/2012	BCLY		3,776		(127)
Dow Jones CDX N.A. HY10 Index	Buy	(5.000%)	06/20/2013	BCLY		1,200		43
Dow Jones CDX N.A. HY10 Index	Buy	(5.000%)	06/20/2013	UBS		1,200		44
Dow Jones CDX N.A. IG5 Index	Buy	(0.143%)	12/20/2012	MSC		7,800		563
Dow Jones CDX N.A. IG5 Index	Sell	0.463%	12/20/2015	MSC		5,600		(622)
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	BCLY		1,400		37
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	GSC		3,100		70
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	MSC		2,100		31
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	RBS		900		22
Dow Jones CDX N.A. IG10 Index	Buy	(1.500%)	06/20/2018	GSC		1,400		31
Dow Jones CDX N.A. IG10 Index	Buy	(1.500%)	06/20/2018	MSC		400		11
Home Equity Index A Rating 2006-1	Buy	(0.540%)	07/25/2045	BEAR		2,200		1,735
Home Equity Index A Rating 2006-1	Sell	0.540%	07/25/2045	DUB		750		(540)
Home Equity Index A Rating 2006-1	Sell	0.540%	07/25/2045	MLP		700		(502)
Home Equity Index A Rating 2006-1	Sell	0.540%	07/25/2045	UBS		750		(540)
Home Equity Index AAA Rating 2006-2	Sell	0.110%	05/25/2046	GSC		1,000		18
							$	548

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	CITI	AUD	7,400	$	(50)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	LEH		9,800		(64)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BCLY	$	67,400		(452)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		16,800		(127)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		6,700		(51)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	BCLY		12,500		60
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		8,500		(88)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		78,200		(761)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	CITI		28,000		217
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	MSC		6,000		10
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	RBS		5,800		10
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		7,600		(34)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		37,200		(216)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	LEH		3,000		(56)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		9,200		31
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		30,400		(464)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	JPM		7,700		(12)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MLP		1,200		(6)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		4,100		(84)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		1,300		(9)
Pay	3-Month USD-LIBOR	5.000	%	12/15/2035	DUB		9,600		(38)
Pay	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		6,300		206
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS	EUR	500		(24)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		200		(12)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.980	%	04/30/2012	BCLY		600		(35)
Pay	6-Month Australian Bank Bill	7.000	%	06/15/2010	DUB	AUD	30,600		(603)
Pay	6-Month Australian Bank Bill	7.000	%	06/15/2010	MSC		15,800		(291)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	DUB		7,900		6
Pay	6-Month EUR-LIBOR	5.000	%	03/18/2010	BCLY	EUR	8,600		(5)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	JPM		9,210		(189)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	LEH		42,300		(993)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		5,890		(121)
Pay	6-Month EUR-LIBOR	4.000	%	06/18/2010	MSC		12,600		(607)
Pay	6-Month EUR-LIBOR	5.500	%	12/17/2010	BCLY		900		1
Pay	6-Month EUR-LIBOR	5.500	%	12/17/2010	MSC		3,800		14
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	BCLY		1,900		147
Receive	6-Month EUR-LIBOR	4.000	%	12/15/2014	DUB		1,000		75
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	BCLY		1,000		0
Receive	6-Month EUR-LIBOR	5.000	%	07/11/2037	CITI		2,000		(54)
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	BCLY		400		8
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	JPM		2,600		167
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2038	RBS		500		9
Receive	6-Month EUR-LIBOR	4.750	%	09/19/2038	GSC		3,100		285
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	DUB	GBP	12,800		28
Receive	6-Month GBP-LIBOR	6.000	%	06/19/2009	BCLY		18,000		12
Receive	6-Month GBP-LIBOR	6.000	%	06/19/2009	GSC		50,000		28
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	BCLY		4,600		(107)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	RBS		1,500		(33)
Pay	6-Month GBP-LIBOR	5.500	%	03/20/2013	LEH		2,800		(137)
Receive	6-Month GBP-LIBOR	5.000	%	09/20/2017	DUB		1,100		40
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	MSC		3,500		(118)
Receive	6-Month GBP-LIBOR	4.000	%	06/15/2037	GSC		2,700		(41)
Receive	6-Month JPY-LIBOR	1.750	%	12/17/2015	UBS	JPY	110,000		(11)
Pay	28-Day Mexico Interbank TIIE Banxico	8.860	%	09/12/2016	CITI	MXN	6,700		(33)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170	%	11/04/2016	MLP		5,500		(53)
Receive	30-Day USD-CMM Rate	5.500	%	05/21/2009	MLP	$	4,000		87
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MLP	BRL	10,600		(150)
Pay	BRL-CDI-Compounded	10.150	%	01/02/2012	GSC		13,300		(944)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		19,500		(946)
								$	(6,578)

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)	Expiration Date	Counterparty	# of Shares/Units	Unrealized Appreciation/ (Depreciation)
Receive	iShares MSCI EAFE Index	1-Month USD-LIBOR	6/30/2009	CSFB	184100	$	127
Receive	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.500%	06/30/2009	CSFB	1,494,976		(2,243)
Receive	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	155,151		(449)
Receive	iShares MSCI EAFE Index	1-Month USD-LIBOR less 0.350%	04/14/2009	MLP	3,553,175		(9,251)
						$	(11,816)

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	111.000	08/22/2008	924	$	31	$	15
Call - CBOT U.S. Treasury 5-Year Note September Futures		126.000	08/22/2008	178		3		1
Call - CBOT U.S. Treasury 10-Year Note September Futures		135.000	08/22/2008	330		6		6
Call - CBOT U.S. Treasury 10-Year Note September Futures		138.000	08/22/2008	323		6		5
Put - CBOT U.S. Treasury 30-Year Bond September Futures		92.000	08/22/2008	292		6		4
					$	52	$	31

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	DUB	6-Month EUR-LIBOR	Pay	4.070	%	09/14/2009	EUR	50,100	$	260	$	154
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	5,800		56		27
Call - OTC 5-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	5.050	%	12/18/2009		3,000		79		95
Put - OTC 5-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Receive	5.050	%	12/18/2009		3,000		79		63
Call - OTC 5-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	4.000	%	12/19/2008		13,300		277		127
Call - OTC 5-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	5.050	%	12/18/2009		3,000		79		95
Put - OTC 5-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	5.050	%	12/18/2009		3,000		79		63
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		8,500		82		46
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/03/2009		77,300		801		379
									$	1,792	$	1,049

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.375	05/21/2010	EUR	2,800	$	136	$	494
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		2,800		136		86
Call - OTC Euro versus U.S. dollar		1.375	06/03/2010		1,400		67		247
Put - OTC Euro versus U.S. dollar		1.375	06/03/2010		1,400		67		44
Call - OTC Euro versus Japanese yen	JPY	148.400	06/03/2010		1,000		56		127
Put - OTC Euro versus Japanese yen		148.400	06/03/2010		1,000		56		66
Call - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010	$	3,100		139		134
Put - OTC U.S. dollar versus Japanese yen		104.000	03/17/2010		3,100		126		192
Call - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		1,200		51		45
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		1,200		50		82
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		4,000		168		145
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		4,000		168		275
						$	1,220	$	1,937

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Fannie Mae 5.000% due 09/01/2038	$	78.000	09/04/2008	$	19,000	$	2	$	0
Call - OTC U.S. Treasury Bond 4.375% due 02/15/2038		135.000	09/19/2008		7,000		1		1
Call - OTC U.S. Treasury Note 2.000% due 02/28/2010		102.262	09/19/2008		24,000		3		1
Call - OTC U.S. Treasury Note 4.000% due 02/15/2014		117.000	08/15/2008		7,800		1		0
Call - OTC U.S. Treasury Note 4.500% due 02/28/2011		110.250	09/19/2008		8,500		1		1
Call - OTC U.S. Treasury Note 4.750% due 03/31/2011		112.375	08/15/2008		22,100		2		0
Call - OTC U.S. Treasury Note 5.125% due 06/30/2011		115.000	07/18/2008		59,100		7		0
Put - OTC Fannie Mae 5.000% due 07/01/2038		80.000	07/07/2008		24,000		3		0
Put - OTC Fannie Mae 5.000% due 08/01/2038		83.031	08/06/2008		8,000		1		0
Put - OTC Freddie Mac 5.500% due 08/01/2038		86.000	08/06/2008		82,000		9		0
Put - OTC Freddie Mac 5.500% due 09/01/2038		85.000	09/04/2008		11,000		1		0
Put - OTC Ginnie Mae 5.000% due 09/01/2038		78.125	09/15/2008		6,000		1		0
Put - OTC Ginnie Mae 6.500% due 08/01/2038		93.000	08/13/2008		6,000		1		0
						$	33	$	3

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	DUB	6-Month EUR- LIBOR	Receive	4.250	%	09/14/2009		EUR 16,200	$	239	$	149
Call - OTC 30-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.250	%	10/27/2008	$	800		35		45
Put - OTC 30-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.250	%	10/27/2008		800		35		17
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009		2,500		55		38
Put - OTC 5-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		22,200		267		157
Put - OTC 5-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		22,200		279		157
Call - OTC 30-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	5.250	%	10/27/2008		700		30		40
Put - OTC 30-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	5.250	%	10/27/2008		700		30		14
Call - OTC 30-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.250	%	10/27/2008		3,300		134		189
Put - OTC 30-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.250	%	10/27/2008		3,300		136		66
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		3,700		82		53
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	08/03/2009		33,600		806		546
									$	2,128	$	1,471

Credit Default Swaptions

Description	Counterparty	Reference Entity	Buy/Sell Protection(4)	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC Dow Jones CDX N.A. IG10 Index	CSFB	Dow Jones CDX N.A. IG10 Index	Buy	1.500	%	09/20/2008		700		14		8
Put - OTC Dow Jones CDX N.A. IG10 Index	CSFB	Dow Jones CDX N.A. IG10 Index	Sell	1.500	%	09/20/2008	$	700	$	13	$	7
									$	27	$	15

⁽⁴⁾ 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.

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(5)
Fannie Mae	5.500	%	07/01/2038	$	88,000	$	86,743	$	86,749
Fannie Mae	6.000	%	07/01/2038		8,000		8,020		8,071
Ginnie Mae	5.500	%	07/01/2038		10,000		9,911		9,951
U.S. Treasury Bonds	4.375	%	02/15/2038		9,400		8,793		9,351
U.S. Treasury Notes	2.000	%	02/28/2010		24,600		24,288		24,618
U.S. Treasury Notes	3.375	%	06/30/2013		3,300		3,288		3,316
U.S. Treasury Notes	3.625	%	10/31/2009		16,400		16,665		16,796
U.S. Treasury Notes	4.000	%	02/15/2014		7,800		7,925		8,194
U.S. Treasury Notes	4.125	%	08/31/2012		4,600		4,706		4,840
U.S. Treasury Notes	4.250	%	11/15/2017		9,700		9,784		9,984
U.S. Treasury Notes	4.500	%	02/28/2011		9,600		9,908		10,179
U.S. Treasury Notes	4.500	%	05/15/2017		23,300		24,190		24,514
U.S. Treasury Notes	4.750	%	03/31/2011	$	22,100		22,999		23,502
U.S. Treasury Notes	4.750	%	05/15/2014		2,800		2,938		3,028
U.S. Treasury Notes	4.750	%	08/15/2017		32,300		33,710		34,931
U.S. Treasury Notes	5.125	%	06/30/2011		59,100		62,245		62,916
						$	336,113	$	340,940

⁽⁵⁾ Market value includes $2,167 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	17,928	07/2008	$	0	$	(125)	$	(125)
Buy	BRL	13,932	07/2008		319		0		319
Sell		13,932	07/2008		0		(881)		(881)
Buy		42,843	12/2008		3,023		0		3,023
Sell		41,308	12/2008		0		(1,722)		(1,722)
Sell	CHF	27,076	09/2008		2		(473)		(471)
Buy	CLP	8,500	12/2008		0		(2)		(2)
Buy	CNY	39,344	07/2008		312		0		312
Sell		39,344	07/2008		0		(184)		(184)
Buy		35,304	10/2008		87		0		87
Sell		35,304	10/2008		0		(134)		(134)
Sell	DKK	12,414	09/2008		0		(48)		(48)
Buy	EUR	4,400	07/2008		0		(2)		(2)
Sell		92,893	07/2008		15		(1,427)		(1,412)
Sell	GBP	50,294	08/2008		2		(539)		(537)
Sell	HKD	46,317	07/2008		13		0		13
Sell	JPY	8,337,433	07/2008		0		(1,226)		(1,226)
Buy	KRW	4,688,113	08/2008		0		(531)		(531)
Sell		4,688,113	08/2008		287		(4)		283
Buy	MXN	56,073	07/2008		404		0		404
Sell		56,073	07/2008		0		(212)		(212)
Buy		20,079	11/2008		16		0		16
Buy	MYR	1,682	08/2008		19		0		19
Sell		3,876	08/2008		14		0		14
Buy		5,374	11/2008		0		(76)		(76)
Sell		405	11/2008		3		0		3
Sell	NOK	15,723	09/2008		0		(48)		(48)
Sell	NZD	415	07/2008		0		(2)		(2)
Buy	PLN	5,262	07/2008		552		0		552
Sell		5,262	07/2008		0		(221)		(221)
Buy		2,522	05/2009		34		0		34
Buy	RUB	108,382	07/2008		323		0		323
Sell		108,382	07/2008		0		(233)		(233)
Buy		69,176	11/2008		144		0		144
Sell		20,104	11/2008		0		(52)		(52)
Buy		18,188	05/2009		17		0		17
Sell	SEK	44,425	09/2008		2		(33)		(31)
Sell	SGD	4,114	11/2008		0		(21)		(21)
				$	5,588	$	(8,196)	$	(2,608)

(m) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	11,833	$	795,249		$	9,361		$	816,443
Other Financial Instruments++		108		(358,173	)		(178	)		(358,243	)
Total	$	11,941	$	437,076		$	9,183		$	458,200

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

	Beginning balance at 03/31/2008			Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/(losses)			Net transfers in/(out) of Level 3		Ending balance at 06/30/2008
Investments, at value	$	1,663		$	7,629	$	1	$	68		$	0	$	9,361
Other Financial Instruments++		(200	)		0		0		(13	)		35		(178	)
Total	$	1,463		$	7,629	$	1	$	55		$	35	$	9,183

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

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

See Accompanying Notes

Schedule of Investments

Investment Grade Corporate Bond Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.2%
Daimler Finance North America LLC
6.780% due 08/03/2012	$	1,588	$	1,315
Total Bank Loan Obligations (Cost $1,518)				1,315
CORPORATE BONDS & NOTES 68.5%
Banking & Finance 32.1%
Allstate Corp.
6.125% due 05/15/2037		100		91
7.200% due 12/01/2009		200		208
Allstate Life Global Funding II
3.328% due 05/21/2010		500		497
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		700		698
American Express Bank FSB
5.500% due 04/16/2013		600		588
American Express Co.
6.150% due 08/28/2017		300		294
7.000% due 03/19/2018		3,000		3,046
American Express Credit Corp.
5.875% due 05/02/2013		1,700		1,693
American International Group, Inc.
5.050% due 10/01/2015		200		182
5.850% due 01/16/2018		4,000		3,759
6.250% due 05/01/2036		200		175
8.175% due 05/15/2058		1,400		1,323
Anadarko Finance Co.
6.750% due 05/01/2011		200		208
AvalonBay Communities, Inc.
6.125% due 11/01/2012		50		50
BAE Systems Holdings, Inc.
5.200% due 08/15/2015		200		192
Bank of America Corp.
4.750% due 08/01/2015		200		188
5.625% due 10/14/2016		1,000		961
5.650% due 05/01/2018		2,000		1,873
6.000% due 09/01/2017		300		290
8.000% due 12/29/2049		200		188
8.125% due 12/29/2049		11,100		10,506
Bank of America N.A.
3.316% due 05/12/2010		2,000		1,992
6.000% due 10/15/2036		400		356
Bank One Corp.
5.250% due 01/30/2013		100		98
9.875% due 03/01/2009		50		52
Barclays Bank PLC
6.050% due 12/04/2017		2,600		2,557
7.434% due 09/29/2049		500		470
7.700% due 04/29/2049		300		307
BB&T Corp.
6.500% due 08/01/2011		30		30
Bear Stearns Cos., Inc.
3.218% due 07/19/2010		400		392
5.700% due 11/15/2014		100		97
BellSouth Capital Funding Corp.
7.875% due 02/15/2030		200		222
Berkshire Hathaway Finance Corp.
5.400% due 05/15/2018		3,500		3,510
BNP Paribas
5.186% due 06/29/2049		700		609
C10 Capital SPV Ltd.
6.722% due 12/31/2049		400		369
Caelus Re Ltd.
8.923% due 06/07/2011		500		500
Canadian Oil Sands Ltd.
4.800% due 08/10/2009		245		246
Caterpillar Financial Services Corp.
2.977% due 10/28/2008		105		105
3.559% due 06/24/2011		5,000		4,997
5.450% due 04/15/2018		2,500		2,487
Citigroup Capital XXI
8.300% due 12/21/2057		1,000		949
Citigroup, Inc.
5.000% due 09/15/2014		200		186
5.625% due 08/27/2012		400		394
6.000% due 02/21/2012		190		192
6.000% due 08/15/2017		740		708
6.125% due 05/15/2018		7,000		6,721
6.125% due 08/25/2036		800		679
8.400% due 04/29/2049		7,800		7,425
Commonwealth Bank of Australia
6.024% due 03/29/2049		350		303
ConocoPhillips Canada Funding Co.
5.625% due 10/15/2016		300		307
Credit Agricole S.A.
6.637% due 05/29/2049		200		167
Credit Suisse New York, Inc.
5.000% due 05/15/2013		1,500		1,462
6.000% due 02/15/2018		1,800		1,739
Deutsche Bank AG
4.875% due 05/20/2013		5,000		4,926
FIA Card Services N.A.
7.125% due 11/15/2012		145		155
Fleet National Bank
5.750% due 01/15/2009		175		177
Ford Motor Credit Co. LLC
7.875% due 06/15/2010		100		86
General Electric Capital Corp.
2.746% due 08/15/2011		150		148
5.000% due 01/08/2016		100		97
5.450% due 01/15/2013		350		358
5.625% due 05/01/2018		2,000		1,941
5.875% due 01/14/2038		4,200		3,824
6.375% due 11/15/2067		3,300		3,130
6.750% due 03/15/2032		500		506
GMAC LLC
3.951% due 09/23/2008		200		197
6.625% due 05/15/2012		100		69
6.875% due 09/15/2011		50		36
Goldman Sachs Group LP
4.500% due 06/15/2010		250		251
Goldman Sachs Group, Inc.
2.891% due 12/22/2008		200		195
5.250% due 10/15/2013		300		294
5.700% due 09/01/2012		300		301
5.950% due 01/18/2018		5,000		4,815
6.125% due 02/15/2033		600		540
6.150% due 04/01/2018		9,500		9,246
6.250% due 09/01/2017		1,600		1,587
6.600% due 01/15/2012		100		103
6.750% due 10/01/2037		700		643
HBOS Capital Funding LP
6.071% due 06/30/2049		800		693
HBOS PLC
5.920% due 09/29/2049		100		71
6.750% due 05/21/2018		2,300		2,206
HSBC Bank USA N.A.
7.000% due 01/15/2039		4,000		3,931
HSBC Capital Funding LP
4.610% due 12/31/2049		1,730		1,530
9.547% due 12/29/2049		100		104
HSBC Holdings PLC
6.500% due 05/02/2036		700		654
6.500% due 09/15/2037		1,100		1,007
6.800% due 06/01/2038		3,800		3,594
International Lease Finance Corp.
4.875% due 09/01/2010		150		145
JPMorgan & Co., Inc.
5.750% due 10/15/2008		100		100
JPMorgan Chase & Co.
4.750% due 03/01/2015		300		284
5.125% due 09/15/2014		100		97
6.000% due 01/15/2018		9,000		8,796
6.400% due 05/15/2038		1,100		1,025
6.625% due 03/15/2012		350		361
7.125% due 06/15/2009		100		102
7.900% due 04/29/2049		6,500		6,113
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		300		292
JPMorgan Chase Capital XVIII
6.950% due 08/17/2036		1,300		1,205
JPMorgan Chase Capital XX
6.550% due 09/29/2036		400		348
Lehman Brothers Holdings, Inc.
4.800% due 03/13/2014		300		270
6.625% due 01/18/2012		30		30
6.750% due 12/28/2017		300		283
6.875% due 05/02/2018		600		583
Merrill Lynch & Co., Inc.
4.250% due 02/08/2010		100		98
4.966% due 05/12/2010		500		492
6.875% due 04/25/2018		1,100		1,050
MetLife, Inc.
5.000% due 06/15/2015		1,600		1,559
Mizuho Financial Group Cayman Ltd.
5.790% due 04/15/2014		150		153
Morgan Stanley
2.844% due 02/09/2009		100		99
4.750% due 04/01/2014		900		822
5.375% due 10/15/2015		250		229
5.950% due 12/28/2017		400		364
6.000% due 04/28/2015		1,000		959
6.625% due 04/01/2018		10,200		9,695
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		1,050		912
National Australia Bank Ltd.
5.350% due 06/12/2013		1,500		1,500
Pacific Life Global Funding
5.150% due 04/15/2013		500		495
Preferred Term Securities XII
3.326% due 03/24/2034		100		90
Principal Life Income Funding Trusts
5.300% due 04/24/2013		500		501
Prudential Financial, Inc.
6.000% due 12/01/2017		1,500		1,488
Rabobank Capital Funding II
5.260% due 12/31/2049		150		138
Rabobank Capital Funding Trust
5.254% due 12/29/2049		3,600		3,099
RBS Capital Trust III
5.512% due 09/29/2049		200		174
Resona Bank Ltd.
5.850% due 09/29/2049		300		259
Royal Bank of Scotland Group PLC
6.990% due 10/29/2049		4,000		3,609
7.648% due 08/31/2049		1,000		977
9.118% due 03/31/2049		480		484
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		5,500		5,327
SLM Corp.
3.000% due 01/26/2009		200		190
State Street Capital Trust III
8.250% due 12/29/2049		400		408
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		300		270
Teco Finance, Inc.
6.572% due 11/01/2017		123		122
6.750% due 05/01/2015		200		202
7.000% due 05/01/2012		177		186
UBS AG
5.750% due 04/25/2018		3,600		3,447
UBS Preferred Funding Trust V
6.243% due 05/12/2049		800		703
United Overseas Bank Ltd.
5.375% due 09/03/2019		100		94
USB Capital IX
6.189% due 04/15/2049		975		741
Ventas Realty LP
6.750% due 06/01/2010		200		200
Wachovia Bank N.A.
5.000% due 08/15/2015		300		273
7.800% due 08/18/2010		30		32
Wachovia Corp.
5.500% due 05/01/2013		500		479
5.750% due 06/15/2017		3,500		3,238
7.980% due 12/31/2049		1,000		921
Wells Fargo & Co.
2.810% due 01/12/2011		200		197
2.861% due 03/23/2010		75		74
5.625% due 12/11/2017		3,000		2,912
Wells Fargo Bank N.A.
5.950% due 08/26/2036		400		376
6.450% due 02/01/2011		30		31
Wells Fargo Capital X
5.950% due 12/15/2036		1,100		1,003
Wells Fargo Capital XIII
7.700% due 12/29/2049		7,600		7,565
Xstrata Finance Canada Ltd.
5.800% due 11/15/2016		300		284
				193,608
Industrials 23.0%
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013		500		555
Allied Waste North America, Inc.
6.500% due 11/15/2010		300		301
American Airlines Pass-Through Trust
6.978% due 04/01/2011		62		60
7.858% due 10/01/2011		50		48
Amgen, Inc.
5.850% due 06/01/2017		1,000		988
6.150% due 06/01/2018		3,200		3,227
6.900% due 06/01/2038		1,000		1,026
Anadarko Petroleum Corp.
5.950% due 09/15/2016		3,000		3,010
Apache Corp.
6.000% due 01/15/2037		1,100		1,084
Barrick Gold Corp.
5.800% due 11/15/2034		100		86
Baxter International, Inc.
6.250% due 12/01/2037		100		101
Beckman Coulter, Inc.
6.875% due 11/15/2011		30		32
Boston Scientific Corp.
5.450% due 06/15/2014		100		93
C8 Capital SPV Ltd.
6.640% due 12/31/2049		100		93
Canadian National Railway Co.
4.400% due 03/15/2013		80		78
5.550% due 05/15/2018		500		495
6.375% due 11/15/2037		700		694
Canadian Natural Resources Ltd.
5.450% due 10/01/2012		100		101
5.850% due 02/01/2035		200		181
6.000% due 08/15/2016		100		100
6.250% due 03/15/2038		1,000		943
6.750% due 02/01/2039		5,100		5,139
Cardinal Health, Inc.
3.061% due 10/02/2009		200		196
CBS Corp.
5.625% due 08/15/2012		500		494
CenterPoint Energy Resources Corp.
7.875% due 04/01/2013		150		161
Chesapeake Energy Corp.
6.375% due 06/15/2015		300		285
6.875% due 01/15/2016		200		194
7.000% due 08/15/2014		23		23
7.500% due 06/15/2014		200		200
Cisco Systems, Inc.
2.738% due 02/20/2009		60		60
CODELCO, Inc.
6.150% due 10/24/2036		100		96
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		100		110
Comcast Cable Communications LLC
6.875% due 06/15/2009		7,000		7,191
8.875% due 05/01/2017		35		40
Comcast Corp.
5.300% due 01/15/2014		100		97
5.875% due 02/15/2018		5,100		4,920
6.450% due 03/15/2037		1,400		1,310
7.050% due 03/15/2033		100		102
ConocoPhillips
5.200% due 05/15/2018		1,500		1,483
Continental Airlines, Inc.
6.320% due 11/01/2008		50		50
6.503% due 06/15/2011		100		92
Covidien International Finance S.A.
6.550% due 10/15/2037		100		101
Cox Communications, Inc.
4.625% due 06/01/2013		160		152
6.750% due 03/15/2011		100		103
7.750% due 11/01/2010		130		137
CSC Holdings, Inc.
8.125% due 07/15/2009		50		50
8.125% due 08/15/2009		50		50
CSX Corp.
5.300% due 02/15/2014		250		240
Daimler Finance North America LLC
7.300% due 01/15/2012		100		106
DCP Midstream LLC
5.375% due 10/15/2015		100		94
Delta Air Lines, Inc.
6.619% due 03/18/2011		126		122
7.379% due 05/18/2010		47		45
Devon Energy Corp.
7.950% due 04/15/2032		4,500		5,361
Devon Financing Corp. ULC
7.875% due 09/30/2031		300		356
El Paso Natural Gas Co.
5.950% due 04/15/2017		1,000		971
Embraer Overseas Ltd.
6.375% due 01/24/2017		100		98
Enbridge Energy Partners LP
5.875% due 12/15/2016		500		479
6.500% due 04/15/2018		4,000		4,029
EnCana Corp.
4.750% due 10/15/2013		100		96
5.900% due 12/01/2017		1,000		1,008
6.500% due 08/15/2034		100		99
6.500% due 02/01/2038		400		398
Energy Transfer Partners LP
6.125% due 02/15/2017		500		486
6.700% due 07/01/2018		1,500		1,515
7.500% due 07/01/2038		2,800		2,894
Enterprise Products Operating LLC
6.500% due 01/31/2019		5,000		5,044
Enterprise Products Operating LP
5.000% due 03/01/2015		200		189
First Data Corp.
9.875% due 09/24/2015		200		174
Freeport-McMoRan Copper & Gold, Inc.
8.375% due 04/01/2017		100		106
Fund American Cos., Inc.
5.875% due 05/15/2013		150		145
Gaz Capital S.A.
7.288% due 08/16/2037		2,000		1,848
8.625% due 04/28/2034		200		218
Gazprom International S.A.
7.201% due 02/01/2020		85		85
General Mills, Inc.
5.700% due 02/15/2017		200		199
Georgia-Pacific LLC
7.000% due 01/15/2015		100		94
7.125% due 01/15/2017		700		662
GlaxoSmithKline Capital, Inc.
5.650% due 05/15/2018		2,700		2,699
6.375% due 05/15/2038		2,000		1,994
HCA, Inc.
6.750% due 07/15/2013		200		176
Hess Corp.
7.875% due 10/01/2029		200		230
HJ Heinz Co.
6.428% due 12/01/2020		200		202
Hospira, Inc.
6.050% due 03/30/2017		100		97
Humana, Inc.
6.450% due 06/01/2016		200		195
Hutchison Whampoa International Ltd.
6.500% due 02/13/2013		140		142
Hyundai Motor Manufacturing Alabama LLC
5.300% due 12/19/2008		100		100
International Business Machines Corp.
8.375% due 11/01/2019		30		37
Kellogg Co.
5.125% due 12/03/2012		100		101
Kern River Funding Corp.
4.893% due 04/30/2018		61		59
Kinder Morgan Energy Partners LP
5.000% due 12/15/2013		200		192
5.950% due 02/15/2018		5,500		5,376
7.750% due 03/15/2032		2,000		2,173
Kraft Foods, Inc.
6.500% due 08/11/2017		300		301
Kroger Co.
5.500% due 02/01/2013		200		201
MGM Mirage
6.625% due 07/15/2015		100		81
Monsanto Co.
5.125% due 04/15/2018		1,000		984
5.875% due 04/15/2038		800		774
Newmont Mining Corp.
5.875% due 04/01/2035		100		86
News America Holdings, Inc.
9.250% due 02/01/2013		400		459
Norfolk Southern Corp.
5.750% due 04/01/2018		100		99
7.250% due 02/15/2031		100		109
Northrop Grumman Systems Corp.
7.750% due 02/15/2031		100		118
Northwest Pipeline Corp.
5.950% due 04/15/2017		200		194
Nucor Corp.
5.850% due 06/01/2018		1,000		1,014
Oracle Corp.
5.750% due 04/15/2018		300		301
Phelps Dodge Corp.
8.750% due 06/01/2011		200		213
9.500% due 06/01/2031		200		262
Philip Morris International, Inc.
5.650% due 05/16/2018		1,550		1,512
6.375% due 05/16/2038		2,700		2,643
Plains All American Pipeline LP
6.125% due 01/15/2017		1,400		1,380
Plains Exploration & Production Co.
7.000% due 03/15/2017		100		96
Qwest Communications International, Inc.
7.250% due 02/15/2011		200		194
Reynolds American, Inc.
7.750% due 06/01/2018		100		105
Rockies Express Pipeline LLC
6.850% due 07/15/2018		6,000		6,100
Rogers Communications, Inc.
5.500% due 03/15/2014		100		96
6.750% due 03/15/2015		200		204
Safeway, Inc.
3.158% due 03/27/2009		200		199
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		200		206
Suncor Energy, Inc.
6.100% due 06/01/2018		2,000		2,010
6.500% due 06/15/2038		1,000		975
6.850% due 06/01/2039		4,500		4,616
Systems 2001 Asset Trust LLC
6.664% due 09/15/2013		51		53
Target Corp.
6.000% due 01/15/2018		1,000		1,007
7.000% due 01/15/2038		1,700		1,751
Time Warner Cable, Inc.
5.850% due 05/01/2017		4,240		4,038
6.550% due 05/01/2037		840		778
Time Warner, Inc.
6.750% due 04/15/2011		25		26
Transcontinental Gas Pipe Line Corp.
8.875% due 07/15/2012		30		33
Transocean, Inc.
6.000% due 03/15/2018		1,500		1,507
6.800% due 03/15/2038		4,000		4,113
Union Pacific Corp.
6.625% due 02/01/2029		50		51
United Airlines, Inc.
10.125% due 03/22/2015 (a)		83		41
UnitedHealth Group, Inc.
6.000% due 02/15/2018		4,200		4,076
Vale Overseas Ltd.
6.250% due 01/11/2016		2,200		2,162
6.250% due 01/23/2017		100		97
8.250% due 01/17/2034		1,700		1,851
Viacom, Inc.
6.250% due 04/30/2016		500		484
Wal-Mart Stores, Inc.
5.800% due 02/15/2018		1,000		1,039
6.200% due 04/15/2038		5,250		5,183
6.875% due 08/10/2009		30		31
Walt Disney Co.
6.375% due 03/01/2012		100		107
WEA Finance LLC
5.700% due 10/01/2016		100		94
WellPoint, Inc.
4.250% due 12/15/2009		100		99
Weyerhaeuser Co.
3.802% due 09/24/2009		300		297
Williams Cos., Inc.
6.375% due 10/01/2010		100		102
Xerox Corp.
3.562% due 12/18/2009		100		99
XTO Energy, Inc.
5.500% due 06/15/2018		3,800		3,641
6.100% due 04/01/2036		100		96
6.250% due 04/15/2013		100		103
6.375% due 06/15/2038		3,200		3,072
7.500% due 04/15/2012		100		107
Yum! Brands, Inc.
6.875% due 11/15/2037		200		185
8.875% due 04/15/2011		140		151
				139,072
Utilities 13.4%
Appalachian Power Co.
5.000% due 06/01/2017		4,000		3,627
5.650% due 08/15/2012		300		301
AT&T Corp.
7.300% due 11/15/2011		447		477
8.000% due 11/15/2031		11,800		13,611
AT&T Mobility LLC
6.500% due 12/15/2011		50		52
AT&T, Inc.
5.100% due 09/15/2014		300		295
5.600% due 05/15/2018		2,000		1,957
6.500% due 09/01/2037		500		487
BellSouth Corp.
5.200% due 09/15/2014		300		296
5.200% due 12/15/2016		100		97
British Telecommunications PLC
8.625% due 12/15/2010		100		107
9.125% due 12/15/2030		2,000		2,415
Bruce Mansfield Unit
6.850% due 06/01/2034		100		101
CenturyTel, Inc.
8.375% due 10/15/2010		100		105
Consolidated Edison Co. of New York, Inc.
5.850% due 04/01/2018		1,800		1,812
6.750% due 04/01/2038		1,800		1,873
Constellation Energy Group, Inc.
7.000% due 04/01/2012		100		104
Consumers Energy Co.
5.000% due 02/15/2012		100		99
5.375% due 04/15/2013		100		100
5.500% due 08/15/2016		350		346
Deutsche Telekom International Finance BV
8.500% due 06/15/2010		330		349
Duke Energy Carolinas LLC
6.000% due 01/15/2038		1,600		1,569
6.050% due 04/15/2038		1,100		1,094
6.450% due 10/15/2032		200		204
Energy East Corp.
6.750% due 07/15/2036		100		96
Entergy Gulf States, Inc.
4.875% due 11/01/2011		100		98
Entergy Louisiana LLC
5.560% due 09/01/2015		50		49
Florida Power & Light Co.
5.850% due 05/01/2037		1,800		1,760
5.950% due 02/01/2038		2,300		2,287
Florida Power Corp.
3.078% due 11/14/2008		50		50
6.400% due 06/15/2038		3,000		3,064
FPL Group Capital, Inc.
5.350% due 06/15/2013		400		406
France Telecom S.A.
8.500% due 03/01/2031		3,200		3,891
Indianapolis Power & Light Co.
6.300% due 07/01/2013		150		155
Ipalco Enterprises, Inc.
7.250% due 04/01/2016		150		148
Kentucky Power Co.
6.000% due 09/15/2017		200		195
Nevada Power Co.
6.500% due 05/15/2018		650		667
NGPL Pipe Co. LLC
7.119% due 12/15/2017		4,300		4,407
7.768% due 12/15/2037		2,800		2,947
Niagara Mohawk Power Corp.
7.750% due 10/01/2008		30		30
NiSource Finance Corp.
7.875% due 11/15/2010		100		104
Ohio Edison Co.
5.450% due 05/01/2015		100		96
Ohio Edison Co. Credit-Linked Certificate Trust
5.647% due 06/15/2009		100		101
Pacific Gas & Electric Co.
5.625% due 11/30/2017		500		499
6.050% due 03/01/2034		300		291
6.350% due 02/15/2038		1,000		1,005
PPL Capital Funding, Inc.
4.330% due 03/01/2009		200		200
Progress Energy, Inc.
6.850% due 04/15/2012		200		211
7.100% due 03/01/2011		94		99
PSEG Power LLC
6.950% due 06/01/2012		200		210
Public Service Co. of Oklahoma
6.150% due 08/01/2016		150		149
Public Service Electric & Gas Co.
5.300% due 05/01/2018		300		297
Qwest Corp.
6.026% due 06/15/2013		100		96
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		22		22
Sierra Pacific Power Co.
6.000% due 05/15/2016		200		199
Southern California Edison Co.
5.000% due 01/15/2014		200		200
5.950% due 02/01/2038		2,200		2,187
Sprint Capital Corp.
8.375% due 03/15/2012		500		495
Telecom Italia Capital S.A.
3.344% due 07/18/2011		200		191
4.000% due 01/15/2010		200		197
5.250% due 11/15/2013		100		95
6.999% due 06/04/2018		3,000		3,034
Telefonica Emisones SAU
5.984% due 06/20/2011		100		102
6.221% due 07/03/2017		3,000		3,007
TELUS Corp.
8.000% due 06/01/2011		30		32
Toledo Edison Co.
6.150% due 05/15/2037		200		174
Verizon Communications, Inc.
6.100% due 04/15/2018		10,200		10,155
6.900% due 04/15/2038		1,000		993
Verizon Global Funding Corp.
7.750% due 12/01/2030		200		216
Verizon New England, Inc.
6.500% due 09/15/2011		200		206
Virginia Electric and Power Co.
5.400% due 01/15/2016		500		490
5.400% due 04/30/2018		1,700		1,646
5.950% due 09/15/2017		300		302
6.000% due 05/15/2037		1,000		936
6.350% due 11/30/2037		1,000		979
Vodafone Group PLC
7.750% due 02/15/2010		30		31
				80,975
Total Corporate Bonds & Notes (Cost $418,934)				413,655
CONVERTIBLE BONDS & NOTES 0.0%
ERP Operating LP
3.850% due 08/15/2026		200		190
Total Convertible Bonds & Notes (Cost $202)				190
U.S. GOVERNMENT AGENCIES 3.8%
Fannie Mae
5.500% due 09/01/2035 - 07/01/2038		15,588		15,387
6.000% due 09/01/2036 - 07/01/2038		7,475		7,551
Freddie Mac
5.000% due 06/15/2016		7		7
Total U.S. Government Agencies (Cost $23,141)				22,945
MORTGAGE-BACKED SECURITIES 0.1%
Countrywide Alternative Loan Trust
6.000% due 01/25/2037		168		134
Merrill Lynch Mortgage Investors, Inc.
4.986% due 05/25/2033		102		98
Structured Adjustable Rate Mortgage Loan Trust
4.260% due 03/25/2034		107		105
Total Mortgage-Backed Securities (Cost $335)				337
SOVEREIGN ISSUES 0.1%
Croatia Government International Bond
4.000% due 07/30/2010		17		17
Korea Development Bank
4.750% due 07/20/2009		300		301
Mexico Government International Bond
6.750% due 09/27/2034		78		83
Panama Government International Bond
9.375% due 04/01/2029		85		112
South Africa Government International Bond
7.375% due 04/25/2012		90		95
Total Sovereign Issues (Cost $612)				608
FOREIGN CURRENCY-DENOMINATED ISSUES 0.8%
BAT International Finance PLC
3.625% due 06/29/2012	EUR	325		468
Credit Logement S.A.
4.604% due 03/29/2049		300		425
Deutsche Telekom International Finance BV
8.125% due 05/29/2012		100		167
General Electric Capital Corp.
5.500% due 09/15/2067		900		1,254
HSBC Holdings PLC
5.375% due 12/20/2012		60		92
RBS Capital Trust A
6.467% due 12/29/2049		325		469
Rogers Communications, Inc.
7.250% due 12/15/2011	CAD	50		52
Santander Perpetual S.A. Unipersonal
4.375% due 12/29/2049	EUR	1,000		1,330
Telefonica Europe BV
5.125% due 02/14/2013		325		496
Total Foreign Currency-Denominated Issues (Cost $4,349)				4,753
	Shares
CONVERTIBLE PREFERRED STOCKS 0.0%
American International Group, Inc.
8.500% due 08/01/2011		1,900		113
Total Convertible Preferred Stocks (Cost $142)				113
PREFERRED STOCKS 0.0%
Goldman Sachs Group, Inc.
3.750% due 12/31/2049		4,000		74
Total Preferred Stocks (Cost $100)				74
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 29.4%
Certificates of Deposit 0.6%
UBS AG Stamford Ct
3.751% due 07/01/2010 (b)	$	3,900		3,900
Commercial Paper 26.8%
ABN AMRO N.A. Finance
2.485% due 07/07/2008		3,100		3,099
Australia & New Zealand Banking Group Ltd.
2.730% due 09/15/2008		16,900		16,800
Banco Santander Central Hispano S.A.
2.780% due 09/15/2008		7,900		7,853
Bank of America Corp.
2.700% due 09/09/2008		1,300		1,293
Barclays U.S. Funding Corp.
2.680% due 09/02/2008		4,300		4,279
BNP Paribas Finance, Inc.
2.500% due 07/01/2008		11,600		11,600
2.510% due 07/31/2008		5,400		5,389
CBA (de) Finance
2.750% due 09/15/2008		10,900		10,835
Citibank N.A.
3.570% due 10/23/2008		3,000		2,972
Federal Home Loan Bank
2.000% due 07/01/2008		6,700		6,700
ING Funding LLC
2.500% due 08/01/2008		7,500		7,484
Intesa Funding LLC
2.750% due 09/09/2008		11,800		11,736
Lloyds TSB Bank PLC
2.475% due 08/04/2008		5,100		5,088
2.490% due 07/01/2008		12,600		12,600
Nordea N.A., Inc.
2.350% due 07/07/2008		10,400		10,396
Rabobank USA Financial Corp.
2.350% due 07/07/2008		3,100		3,099
2.650% due 09/29/2008		1,500		1,489
Royal Bank of Scotland Group PLC
2.555% due 08/01/2008		4,600		4,590
San Paolo U.S. Financial Co.
2.770% due 09/24/2008		8,100		8,045
Societe General N.A.
2.520% due 07/28/2008		5,800		5,789
UBS Finance Delaware LLC
2.550% due 07/16/2008		3,800		3,796
2.830% due 09/25/2008		500		496
Unicredito Italiano SpA
2.400% due 07/01/2008		5,900		5,900
Westpac Trust Securities NZ Ltd.
2.350% due 07/07/2008		10,200		10,196
				161,524
Repurchase Agreements 1.5%
Deutsche Bank AG
1.500% due 07/01/2008		8,000		8,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $8,152. Repurchase proceeds are $8,000.)
State Street Bank and Trust Co.
1.650% due 07/01/2008		986		986
(Dated 06/30/2008. Collateralized by Fannie Mae 6.300% due 12/21/2026 valued at $1,006. Repurchase proceeds are $986.)
				8,986
U.S. Treasury Bills 0.5%
1.723% due 08/28/2008 - 09/25/2008 (c)(d)		2,750		2,737
Total Short-Term Instruments (Cost $177,153)				177,147
Purchased Options (h) 0.1% (Cost $640)				901
Total Investments 103.0% (Cost $627,126)			$	622,038
Written Options (i) (0.2%) (Premiums $1,134)				(1,134	)
Other Assets and Liabilities (Net) (2.8%)				(17,205	)
Net Assets 100.0%			$	603,699

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

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

(a) Security is in default.

(b) When-issued security.

(c) Coupon represents a weighted average rate.

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

(e) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $1,846 at a weighted average interest rate of 2.528%. On June 30, 2008, there were no open reverse repurchase agreements.

(f) Cash of $4,599 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2009	982	$	34
90-Day Eurodollar June Futures	Long	06/2009	960		506
90-Day Eurodollar March Futures	Long	03/2009	40		(20	)
90-Day Eurodollar September Futures	Long	09/2009	500		(115	)
Euro-Bobl September Futures	Short	09/2008	20		51
U.S. Treasury 2-Year Note September Futures	Short	09/2008	17		(2	)
U.S. Treasury 5-Year Note September Futures	Long	09/2008	150		30
U.S. Treasury 10-Year Note September Futures	Long	09/2008	505		507
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	22		(32	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	523		(87	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	75		(107	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	90		(155	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	20		0
				$	610

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Altria Group, Inc. 7.000% due 11/04/2013	Sell	1.100	%	09/20/2010	JPM	$	300	$	4
American International Group, Inc. 4.250% due 05/15/2013	Sell	0.350	%	06/20/2010	JPM		50		(2	)
American International Group, Inc. 4.250% due 05/15/2013	Sell	0.890	%	12/20/2012	DUB		100		(5	)
American International Group, Inc. 4.250% due 05/15/2013	Sell	0.900	%	12/20/2012	DUB		300		(14	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.550	%	03/20/2013	CITI		1,000		(24	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.062	%	03/20/2013	JPM		1,000		(4	)
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.340	%)	06/20/2012	GSC		100		2
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.390	%)	09/20/2012	RBS		200		4
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.340	%)	12/20/2012	RBS		200		4
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.980	%)	06/20/2013	GSC		200		0
AvalonBay Communities, Inc. 6.125% due 11/01/2012	Buy	(1.220	%)	06/20/2013	MSC		1,000		13
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.480	%	09/20/2012	CITI		200		(4	)
Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.450	%)	09/20/2012	UBS		200		5
Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.400	%)	09/20/2012	BEAR		200		6
Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.420	%)	12/20/2012	MSC		100		3
Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.400	%)	12/20/2012	MSC		200		7
Burlington Northern Santa Fe Corp. 4.300% due 07/01/2013	Buy	(0.270	%)	09/20/2012	MLP		100		1
Burlington Northern Santa Fe Corp. 4.300% due 07/01/2013	Buy	(0.259	%)	09/20/2012	CSFB		100		1
CBS Corp. 4.625% due 05/15/2018	Buy	(0.610	%)	09/20/2012	DUB		400		11
Centex Corp. 5.250% due 06/15/2015	Buy	(0.820	%)	06/20/2012	JPM		100		12
CenturyTel, Inc. 7.875% due 08/15/2012	Buy	(0.355	%)	06/20/2010	BEAR		100		1
Chesapeake Energy Corp. 6.875% due 01/15/2016	Buy	(1.170	%)	12/20/2011	CITI		200		4
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.050	%	06/20/2012	DUB		200		(6	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	2.350	%	06/20/2013	BCLY		200		1
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.160	%	03/20/2014	LEH		100		(5	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.320	%	03/20/2014	GSC		100		(5	)
Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.280	%	09/20/2012	MSC		700		(27	)
Clorox Co. 6.125% due 02/01/2011	Buy	(0.350	%)	09/20/2012	CITI		200		2
Clorox Co. 6.125% due 02/01/2011	Buy	(0.330	%)	09/20/2012	UBS		200		2
Coca-Cola Enterprises, Inc. 6.125% due 08/15/2011	Buy	(0.140	%)	06/20/2012	CITI		100		1
ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299	%)	06/20/2012	GSC		100		1
ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.430	%)	06/20/2013	BCLY		1,000		11
ConocoPhillips 4.750% due 10/15/2012	Sell	0.230	%	03/20/2011	MSC		300		(2	)
Darden Restaurants, Inc. 6.000% due 08/15/2035	Buy	(1.570	%)	06/20/2013	DUB		200		0
Darden Restaurants, Inc. 6.000% due 08/15/2035	Buy	(1.530	%)	06/20/2013	DUB		200		1
Darden Restaurants, Inc. 7.125% due 02/01/2016	Buy	(0.490	%)	06/20/2012	MSC		100		4
Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.210	%)	06/20/2012	BEAR		500		6
Dominion Resources, Inc. 5.200% due 01/15/2016	Sell	0.670	%	06/20/2015	CITI		100		0
Dow Chemical Co. 6.000% due 10/01/2012	Buy	(0.259	%)	09/20/2012	CSFB		100		2
Dow Chemical Co. 6.000% due 10/01/2012	Buy	(0.249	%)	09/20/2012	LEH		100		2
DR Horton, Inc. 5.375% due 06/15/2012	Buy	(1.370	%)	06/20/2012	UBS		300		30
EnCana Corp. 4.750% due 10/15/2013	Sell	0.530	%	09/20/2009	BEAR		200		0
ERP Operating LP 3.850% due 08/15/2026	Buy	(0.255	%)	09/20/2011	RBS		200		4
Ford Motor Co. 6.500% due 08/01/2018	Buy	(5.000	%)	06/20/2013	DUB		1,000		131
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.350	%	09/20/2008	CITI		500		(9	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.700	%	03/20/2009	GSC		200		(13	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.600	%	06/20/2010	BEAR		100		(11	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.700	%	09/20/2011	DUB		300		(55	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Buy	(2.620	%)	03/20/2012	LEH		5,000		1,245
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	2.650	%	03/20/2012	JPM		5,000		(1,242	)
Freeport-McMoRan Copper & Gold, Inc. 6.875% due 02/01/2014	Sell	1.000	%	06/20/2012	CITI		300		(4	)
Gannett Co., Inc. 6.375% due 04/01/2012	Buy	(0.680	%)	09/20/2012	BOA		400		32
Gap, Inc. 10.050% due 12/15/2008	Buy	(1.200	%)	03/20/2013	JPM		1,200		(16	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.800	%	03/20/2009	CITI		1,000		0
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.300	%	06/20/2010	MLP		200		(4	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.630	%	12/20/2012	BCLY		600		(22	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.070	%	12/20/2012	DUB		4,000		(79	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.310	%	03/20/2013	CITI		1,000		(12	)
GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.440	%)	06/20/2012	DUB		500		(2	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.500	%	09/20/2009	DUB		500		(80	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.740	%	09/20/2009	CSFB		200		(27	)
GMAC LLC 6.875% due 08/28/2012	Buy	(2.500	%)	09/20/2011	DUB		300		90
GMAC LLC 6.875% due 08/28/2012	Sell	1.840	%	06/20/2012	JPM		500		(166	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.585	%	09/20/2012	LEH		200		(6	)
Home Depot, Inc. 5.875% due 12/16/2036	Buy	(1.100	%)	06/20/2013	BCLY		1,000		8
Inco Ltd. 7.750% due 05/15/2012	Buy	(0.500	%)	12/20/2011	MSC		500		12
International Game Technology 0.000% convertible until 01/29/2033	Sell	0.350	%	03/20/2010	CSFB		200		0
Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.220	%)	06/20/2012	GSC		100		4
Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.330	%)	09/20/2012	CITI		200		7
Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.300	%)	09/20/2012	BOA		100		3
Kohl’s Corp. 6.300% due 03/01/2011	Buy	(1.130	%)	06/20/2013	BCLY		1,000		7
Kroger Co. 5.500% due 02/01/2013	Buy	(0.650	%)	06/20/2013	BCLY		1,000		1
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.265	%	03/20/2011	BNP		200		(15	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.720	%	09/20/2012	MLP		400		(31	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.750	%	09/20/2012	BOA		100		(8	)
Lennar Corp. 5.950% due 03/01/2013	Buy	(1.130	%)	06/20/2012	LEH		200		34
Lennar Corp. 5.950% due 03/01/2013	Buy	(0.780	%)	06/20/2012	GSC		100		18
Liz Claiborne, Inc. 5.000% due 07/08/2013	Buy	(0.480	%)	06/20/2012	MSC		100		10
Lowe’s Cos., Inc. 8.250% due 06/01/2010	Buy	(0.540	%)	12/20/2012	MSC		100		0
Lowe’s Cos., Inc. 8.250% due 06/01/2010	Buy	(0.520	%)	12/20/2012	BOA		200		1
Marriott International, Inc. 4.625% due 06/15/2012	Buy	(1.620	%)	06/20/2013	MSC		1,000		33
Masco Corp. 5.875% due 07/15/2012	Buy	(0.630	%)	06/20/2012	BCLY		100		7
Masco Corp. 5.875% due 07/15/2012	Buy	(0.540	%)	06/20/2012	DUB		100		7
Masco Corp. 5.875% due 07/15/2012	Buy	(0.950	%)	03/20/2017	BNP		100		9
Mattel, Inc. 6.125% due 06/15/2011	Buy	(0.330	%)	06/20/2012	BCLY		100		1
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.570	%)	06/20/2012	BEAR		100		6
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.570	%)	06/20/2012	RBS		300		17
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.540	%)	06/20/2012	MSC		100		6
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.530	%)	06/20/2012	MSC		100		6
MetLife, Inc. 5.000% due 06/15/2015	Sell	2.073	%	03/20/2013	DUB		1,000		42
Morgan Stanley 6.600% due 04/01/2012	Sell	0.585	%	09/20/2012	LEH		100		(6	)
Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008	CSFB		200		0
Nabors Industries, Inc. 0.000% due 02/05/2021	Buy	(0.410	%)	06/20/2012	LEH		500		5
Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.290	%)	09/20/2012	RBS		100		2
Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.319	%)	12/20/2012	GSC		100		2
Newell Rubbermaid, Inc. 6.750% due 03/15/2012	Buy	(0.230	%)	06/20/2012	RBS		200		4
Noble Corp. 5.875% due 06/01/2013	Buy	(0.460	%)	06/20/2012	CSFB		500		3
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.180	%)	06/20/2011	GSC		100		2
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.180	%)	06/20/2012	RBS		200		6
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.280	%)	09/20/2012	LEH		100		3
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.230	%)	12/20/2012	UBS		300		10
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(1.000	%)	06/20/2013	BCLY		1,000		4
Norfolk Southern Corp. 7.700% due 05/15/2017	Buy	(0.240	%)	12/20/2012	MLP		200		3
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	03/20/2009	JPM		100		0
Phelps Dodge Corp. 8.750% due 06/01/2011	Buy	(0.520	%)	09/20/2011	GSC		200		(2	)
Proctor & Gamble Co. 4.950% due 08/15/2014	Sell	0.070	%	09/20/2008	LEH		500		0
RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.700	%)	06/20/2013	BCLY		1,000		20
RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.455	%)	06/20/2013	RBS		500		16
Raytheon Co. 7.200% due 08/15/2027	Buy	(0.090	%)	06/20/2009	CITI		100		0
Reynolds American, Inc. 7.625% due 06/01/2016	Sell	1.000	%	06/20/2012	LEH		500		2
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.540	%	09/20/2008	GSC		200		0
Safeway, Inc. 5.800% due 08/15/2012	Buy	(0.610	%)	06/20/2013	MSC		1,000		0
Sara Lee Corp. 6.125% due 11/01/2032	Buy	(0.570	%)	06/20/2013	BCLY		1,000		3
Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.230	%)	09/20/2012	BOA		200		5
Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.230	%)	09/20/2012	MSC		200		5
Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.280	%)	12/20/2012	MSC		100		3
Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.260	%)	12/20/2012	MSC		100		3
Southwest Airlines Co. 5.250% due 10/01/2014	Buy	(1.530	%)	06/20/2013	BCLY		1,000		16
Southwest Airlines Co. 6.500% due 03/01/2012	Buy	(0.290	%)	06/20/2011	GSC		100		4
Southwest Airlines Co. 6.500% due 03/01/2012	Buy	(0.480	%)	09/20/2012	RBS		200		10
Staples, Inc. 7.375% due 10/01/2012	Buy	(0.280	%)	06/20/2012	CSFB		200		6
Starwood Hotels & Resorts Worldwide, Inc. 7.875% due 05/01/2012	Buy	(1.890	%)	06/20/2013	GSC		1,000		19
Tesoro Corp. 6.250% due 11/01/2012	Sell	0.750	%	06/20/2012	LEH		500		(43	)
TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.250	%)	12/20/2012	RBS		400		4
Union Pacific Corp. 6.125% due 01/15/2012	Buy	(0.215	%)	06/20/2011	BNP		100		1
Union Pacific Corp. 6.650% due 01/15/2011	Sell	0.280	%	03/20/2010	LEH		100		0
Vale Overseas Ltd. 8.250% due 01/17/2034	Sell	0.700	%	12/20/2011	MSC		500		(9	)
VF Corp. 8.500% due 10/01/2010	Buy	(0.220	%)	06/20/2012	GSC		100		1
VF Corp. 8.500% due 10/01/2010	Buy	(0.450	%)	12/20/2012	GSC		300		3
Walt Disney Co. 6.375% due 03/01/2012	Buy	(0.180	%)	06/20/2011	MSC		100		1
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.530	%)	06/20/2012	JPM		100		5
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.520	%)	06/20/2012	BEAR		300		15
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.490	%)	06/20/2012	BCLY		200		10
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(1.018	%)	03/20/2017	GSC		100		7
Weyerhaeuser Co. 7.125% due 07/15/2023	Buy	(1.620	%)	06/20/2013	GSC		1,000		22
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.630	%)	06/20/2012	GSC		100		2
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.320	%)	09/20/2012	BOA		100		3
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.380	%)	12/20/2012	RBS		500		16
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.780	%)	03/20/2017	MSC		100		3
XTO Energy, Inc. 6.250% due 04/15/2013	Sell	0.380	%	03/20/2010	MLP		200		(1	)
								$	170

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	1,000	$	83
Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010	CITI		298		(4	)
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	BOA		500		30
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	GSC		250		15
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	MSC		1,300		74
Dow Jones CDX N.A. IG9 Index	Sell	0.640	%	12/20/2012	UBS		10,000		(134	)
Dow Jones CDX N.A. IG9 Index	Sell	0.680	%	12/20/2012	DUB		1,000		7
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	MSC		18,300		140
Dow Jones CDX N.A. IG9 Index	Sell	0.720	%	12/20/2012	DUB		500		4
Dow Jones CDX N.A. IG9 Index	Sell	0.880	%	12/20/2012	DUB		1,000		(3	)
Dow Jones CDX N.A. IG9 Index	Sell	1.290	%	12/20/2012	DUB		2,000		29
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		19,800		74
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		22,900		89
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		11,300		26
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		4,000		17
								$	447

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	CITI	AUD	6,800	$	(62	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	CSFB		7,900		(50	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	UBS		5,600		(52	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	DUB	$	700		(2	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	MLP		600		(1	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	MSC		500		(1	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	RBS		300		(1	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MLP		3,800		17
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		800		4
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		3,100		(24	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		6,600		(8	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		2,500		(2	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		1,600		30
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		2,000		(42	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	JPM		16,000		(123	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	LEH		5,300		(53	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		9,800		(246	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		9,000		(116	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		30,400		(28	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BOA		10,700		(155	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	DUB		33,300		(675	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		10,500		5
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MSC		24,100		(431	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		1,800		(65	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS	AUD	60,000		268
Pay	6-Month Australian Bank Bill	7.000	%	03/20/2013	CITI		2,800		(20	)
Pay	6-Month EUR-LIBOR	5.000	%	09/17/2010	BCLY	EUR	8,000		8
Receive	6-Month EUR-LIBOR	5.000	%	06/17/2012	CITI		200		25
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	BCLY		2,700		11
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	RBS	GBP	300		(7	)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	HSBC		400		21
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	GSC		500		(27	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170	%	11/04/2016	GSC	MXN	5,800		(60	)
								$	(1,862	)

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	400	$	5	$	2
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		7,300		73		128
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		5,700		53		100
Call - OTC 2-Year Interest Rate Swap	LEH	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		8,400		84		85
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		3,400		34		59
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		7,200		74		106
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		400		4		1
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/03/2009		8,000		83		39
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		12,000		123		210
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		7,400		78		108
									$	611	$	838

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.375	05/21/2010	EUR	200	$	10	$	36
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		200		9		6
Call - OTC Euro versus U.S. dollar		1.372	06/03/2010		100		5		18
Put - OTC Euro versus U.S. dollar		1.372	06/03/2010		100		5		3
						$	29	$	63

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	116.000	08/22/2008	100	$	56	$	59
Call - CBOT U.S. Treasury 10-Year Note September Futures		117.000	08/22/2008	309		169		115
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	409		266		131
					$	491	$	305

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 30-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.800	%	07/28/2008	$	2,800	$	27	$	21
Put - OTC 30-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.400	%	07/28/2008		2,800		33		4
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009		100		3		2
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		2,500		67		116
Put - OTC 5-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.100	%	03/16/2009		3,300		26		35
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		1,800		48		84
Call - OTC 7-Year Interest Rate Swap	LEH	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		2,400		68		77
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		1,100		30		51
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		2,400		72		97
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		200		5		3
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	08/03/2009		3,500		84		57
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		3,900		107		181
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		2,500		73		101
									$	643	$	829

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	1,368	07/2008	$	10	$	0		$	10
Buy	BRL	3,802	07/2008		217		0			217
Sell		3,802	07/2008		0		(128	)		(128	)
Buy		2,795	12/2008		77		0			77
Sell		865	12/2008		0		(43	)		(43	)
Buy	CLP	27,495	12/2008		0		(5	)		(5	)
Buy	CNY	10,884	07/2008		88		0			88
Sell		4,656	07/2008		0		(35	)		(35	)
Buy		6,228	10/2008		0		0			0
Sell		2,719	10/2008		0		(3	)		(3	)
Sell	EUR	5,971	07/2008		1		(80	)		(79	)
Sell	GBP	4,891	08/2008		0		(54	)		(54	)
Buy	INR	1,112	08/2008		0		(3	)		(3	)
Buy		14,556	11/2008		0		(29	)		(29	)
Buy	KRW	490,944	08/2008		0		(59	)		(59	)
Sell		490,944	08/2008		1		0			1
Buy	MXN	3,343	07/2008		24		0			24
Sell		3,342	07/2008		0		(21	)		(21	)
Buy		376	11/2008		0		0			0
Buy	MYR	1,078	08/2008		0		(3	)		(3	)
Buy		4,068	11/2008		0		(4	)		(4	)
Buy	NOK	1,111	09/2008		3		0			3
Buy	PHP	58,538	08/2008		5		(10	)		(5	)
Buy	PLN	1,442	07/2008		151		0			151
Sell		1,442	07/2008		0		(21	)		(21	)
Buy		2,166	11/2008		3		0			3
Buy		1,442	05/2009		20		0			20
Buy	RUB	8,062	07/2008		21		0			21
Sell		8,062	07/2008		0		(5	)		(5	)
Buy		37,041	11/2008		30		0			30
Sell		5,610	11/2008		0		(4	)		(4	)
Buy		8,062	05/2009		7		0			7
Buy	SGD	1,363	07/2008		3		0			3
Buy		470	08/2008		13		0			13
Buy		843	11/2008		7		0			7
Buy	TWD	574	09/2008		0		0			0
Buy	ZAR	153	12/2008		0		0			0
				$	681	$	(507	)	$	174

(k) Fair Value Measurements ⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	113	$	621,235		$	690	$	622,038
Other Financial Instruments ++		551		(2,297	)		151		(1,595	)
Total	$	664	$	618,938		$	841	$	620,443

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	192	$	500	$	1	$	(3	)	$	0	$	690
Other Financial Instruments ++		178		0		0		(27	)		0		151
Total	$	370	$	500	$	1	$	(30	)	$	0	$	841

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

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

See Accompanying Notes

Schedule of Investments

Japanese StocksPLUS^® TR Strategy Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 30.3%
Banking & Finance 21.8%
American Express Bank FSB
6.000% due 09/13/2017	$	400	$	387
American Express Credit Corp.
5.875% due 05/02/2013		200		199
American International Group, Inc.
8.175% due 05/15/2058		200		189
Bank of America Corp.
5.650% due 05/01/2018		100		94
8.000% due 12/29/2049		100		94
8.125% due 12/29/2049		200		189
Barclays Bank PLC
7.434% due 09/29/2049		100		94
7.700% due 04/29/2049		100		102
C10 Capital SPV Ltd.
6.722% due 12/18/2049		100		93
Capital One Financial Corp.
6.750% due 09/15/2017		100		99
Citigroup, Inc.
5.500% due 04/11/2013		100		98
5.875% due 05/29/2037		100		85
6.125% due 05/15/2018		500		480
8.400% due 04/29/2049		100		95
Deutsche Bank AG
4.875% due 05/20/2013		500		493
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		50		39
7.800% due 06/01/2012		50		39
9.750% due 09/15/2010		100		87
GMAC LLC
6.625% due 05/15/2012		100		69
7.000% due 02/01/2012		100		70
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		400		367
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		100		95
Morgan Stanley
4.778% due 05/14/2010		100		100
6.625% due 04/01/2018		200		190
New York Life Global Funding
4.650% due 05/09/2013		500		497
Royal Bank of Scotland Group PLC
7.640% due 03/31/2049		100		92
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		100		97
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		200		202
				4,735
Industrials 4.6%
Boston Scientific Corp.
6.000% due 06/15/2011		100		98
C8 Capital SPV Ltd.
6.640% due 12/31/2049		100		93
EchoStar DBS Corp.
5.750% due 10/01/2008		100		100
El Paso Corp.
6.375% due 02/01/2009		100		101
GlaxoSmithKline Capital, Inc.
6.375% due 05/15/2038		200		200
Loews Corp.
5.250% due 03/15/2016		200		194
Mandalay Resort Group
6.500% due 07/31/2009		100		99
Reynolds American, Inc.
7.750% due 06/01/2018		100		105
				990
Utilities 3.9%
AT&T, Inc.
5.500% due 02/01/2018		100		97
Embarq Corp.
6.738% due 06/01/2013		300		290
Enel Finance International S.A.
6.250% due 09/15/2017		200		203
Midwest Generation LLC
8.300% due 07/02/2009		53		53
NRG Energy, Inc.
7.375% due 02/01/2016		100		95
Qwest Corp.
5.625% due 11/15/2008		100		100
				838
Total Corporate Bonds & Notes (Cost $6,820)				6,563
MUNICIPAL BONDS & NOTES 1.8%
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		100		102
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		200		202
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		100		83
Total Municipal Bonds & Notes (Cost $399)				387
U.S. GOVERNMENT AGENCIES 111.6%
Fannie Mae
2.582% due 01/25/2021		196		194
2.832% due 05/25/2042 - 09/25/2042		193		184
3.375% due 11/25/2023		67		68
4.000% due 05/01/2013 (c)		658		649
4.205% due 11/01/2034		47		48
4.341% due 08/01/2033		159		161
4.897% due 12/01/2035 (c)		170		170
4.994% due 06/01/2043 - 09/01/2044 (c)		362		362
4.994% due 03/01/2044 - 10/01/2044		313		313
5.000% due 07/25/2019 - 07/01/2038		616		596
5.000% due 11/01/2033 - 10/01/2036 (c)		1,482		1,428
5.005% due 07/01/2035 (c)		211		214
5.393% due 07/01/2032		16		17
5.500% due 07/01/2020 - 04/01/2021		47		48
5.500% due 12/01/2021 - 12/01/2036 (c)		1,764		1,760
6.000% due 12/01/2036 - 02/01/2038 (c)		2,679		2,707
6.000% due 07/01/2038		1,000		1,009
Freddie Mac
2.671% due 10/15/2020		25		24
4.500% due 10/15/2013 - 10/15/2019		195		195
4.741% due 09/01/2035 (c)		207		210
4.994% due 02/25/2045		181		168
5.000% due 11/15/2024		56		56
5.500% due 08/15/2030 - 07/01/2038		13,000		12,807
5.500% due 05/01/2035 (c)		396		391
Overseas Private Investment Corp.
0.000% due 07/12/2010 - 07/12/2012		400		395
Total U.S. Government Agencies (Cost $24,197)				24,174
U.S. TREASURY OBLIGATIONS 8.6%
U.S. Treasury Bonds
4.375% due 02/15/2038		1,100		1,074
U.S. Treasury Notes
2.000% due 02/28/2010		800		795
Total U.S. Treasury Obligations (Cost $1,840)				1,869
MORTGAGE-BACKED SECURITIES 19.9%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		173		165
4.550% due 08/25/2035		65		62
4.625% due 10/25/2035		149		143
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		13		13
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		73		69
Countrywide Alternative Loan Trust
2.562% due 09/20/2046		90		88
2.682% due 05/25/2036		159		112
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		135		114
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.562% due 02/25/2037		96		91
Downey Savings & Loan Association Mortgage Loan Trust
2.742% due 08/19/2045		94		73
Greenpoint Mortgage Funding Trust
2.562% due 01/25/2047		164		155
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		63		59
Harborview Mortgage Loan Trust
2.702% due 05/19/2035		133		101
2.722% due 03/19/2037		127		90
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		43		40
Lehman XS Trust
2.562% due 07/25/2046		70		68
Mellon Residential Funding Corp.
2.821% due 11/15/2031		137		124
2.911% due 12/15/2030		77		71
Residential Accredit Loans, Inc.
2.692% due 04/25/2046		208		149
Structured Adjustable Rate Mortgage Loan Trust
4.928% due 01/25/2035		35		33
Structured Asset Mortgage Investments, Inc.
2.552% due 08/25/2036		140		137
2.762% due 02/25/2036		136		104
Structured Asset Securities Corp.
4.773% due 06/25/2033		141		123
TBW Mortgage-Backed Pass-Through Certificates
2.592% due 01/25/2037		82		79
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		132		127
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		206		194
WaMu Mortgage Pass-Through Certificates
2.752% due 12/25/2045		69		56
3.022% due 12/25/2027		31		29
3.796% due 06/25/2034		400		392
4.043% due 09/25/2033		168		160
4.258% due 01/25/2047		154		116
4.508% due 06/25/2046		175		128
4.528% due 02/25/2046		136		100
4.611% due 05/25/2046		137		114
4.990% due 05/25/2041		26		24
Wells Fargo Mortgage-Backed Securities Trust
4.321% due 07/25/2035		300		286
4.500% due 11/25/2018		90		87
5.240% due 04/25/2036		185		182
5.388% due 08/25/2035		61		60
Total Mortgage-Backed Securities (Cost $4,829)				4,318
ASSET-BACKED SECURITIES 9.7%
Asset-Backed Funding Certificates
2.542% due 11/25/2036		49		48
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		25		25
Bear Stearns Asset-Backed Securities Trust
2.532% due 11/25/2036		48		46
2.572% due 04/25/2036		1		1
5.431% due 10/25/2036		132		108
Carrington Mortgage Loan Trust
2.642% due 01/25/2036		162		160
Countrywide Asset-Backed Certificates
2.532% due 05/25/2037		163		160
2.532% due 05/25/2047		58		56
2.552% due 06/25/2037		114		112
2.642% due 02/25/2036		25		24
CSAB Mortgage-Backed Trust
2.582% due 06/25/2036		26		26
First Franklin Mortgage Loan Asset-Backed Certificates
2.532% due 12/25/2036		42		41
Fremont Home Loan Trust
2.542% due 01/25/2037		123		116
GSAMP Trust
2.552% due 01/25/2036		7		6
2.572% due 11/25/2035		25		23
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		57		56
2.829% due 09/20/2033		18		16
Indymac Residential Asset-Backed Trust
2.542% due 04/25/2037		87		86
JPMorgan Mortgage Acquisition Corp.
2.542% due 04/01/2037		72		68
Lehman XS Trust
2.552% due 05/25/2046		19		19
2.562% due 04/25/2046		29		29
2.572% due 05/25/2046		64		63
Long Beach Mortgage Loan Trust
2.662% due 08/25/2035		37		36
MASTR Asset-Backed Securities Trust
2.532% due 11/25/2036		54		52
2.542% due 11/25/2036		98		96
Merrill Lynch Mortgage Investors, Inc.
2.512% due 06/25/2037		46		45
2.552% due 08/25/2036		47		46
Morgan Stanley ABS Capital I
2.532% due 10/25/2036		86		83
Morgan Stanley IXIS Real Estate Capital Trust
2.532% due 11/25/2036		41		41
New Century Home Equity Loan Trust
2.662% due 05/25/2036		185		168
2.742% due 06/25/2035		17		16
Option One Mortgage Loan Trust
2.522% due 02/25/2037		35		35
Residential Asset Securities Corp.
2.522% due 06/25/2036		5		5
Soundview Home Equity Loan Trust
2.542% due 12/25/2036		38		37
Specialty Underwriting & Residential Finance
2.528% due 11/25/2037		39		38
Structured Asset Securities Corp.
4.900% due 04/25/2035		46		35
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		75		73
Total Asset-Backed Securities (Cost $2,194)				2,095
SOVEREIGN ISSUES 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012		12		13
Panama Government International Bond
9.375% due 04/01/2029		12		15
Total Sovereign Issues (Cost $29)				28
FOREIGN CURRENCY-DENOMINATED ISSUES 5.7%
General Electric Capital Corp.
6.500% due 09/15/2067	GBP	100		185
Republic of Germany
4.250% due 07/04/2039	EUR	500		710
5.625% due 01/04/2028		200		340
Total Foreign Currency-Denominated Issues (Cost $1,253)				1,235
	Shares
PREFERRED STOCKS 0.1%
Fannie Mae
8.250% due 12/31/2049		1,000		23
Total Preferred Stocks (Cost $25)				23
EXCHANGE-TRADED FUNDS 6.7%
iShares MSCI Japan Index Fund		116,689		1,456
Total Exchange-Traded Funds (Cost $1,728)				1,456
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 10.5%
Commercial Paper 5.1%
Federal Home Loan Bank
2.000% due 07/01/2008	$	300		300
Societe General N.A.
2.750% due 09/25/2008		800		795
				1,095
Repurchase Agreements 0.8%
State Street Bank and Trust Co.
1.650% due 07/01/2008		179		179
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $187. Repurchase proceeds are $179.)
U.S. Treasury Bills 4.6%
1.680% due 08/28/2008 - 09/25/2008 (a)(b)		1,000		994
Total Short-Term Instruments (Cost $2,270)				2,268
Purchased Options (f) 0.5% (Cost $194)				111
Total Investments 205.5% (Cost $45,778)			$	44,527
Written Options (g) (0.5%) (Premiums $175)				(113)
Other Assets and Liabilities (Net) (105.0%)				(22,750)
Net Assets 100.0%			$	21,664

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 $994 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(c) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $7,733 at a weighted average interest rate of 2.450%. On June 30, 2008, securities valued at $7,656 were pledged as collateral for reverse repurchase agreements.

(d) Cash of $1,041 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	5	$	(2)
90-Day Eurodollar December Futures	Long	12/2009	12		(9)
90-Day Eurodollar June Futures	Long	06/2009	12		(5)
90-Day Eurodollar March Futures	Long	03/2009	5		12
90-Day Eurodollar March Futures	Short	03/2009	1		(2)
90-Day Eurodollar March Futures	Long	03/2010	7		(7)
90-Day Eurodollar September Futures	Short	09/2008	3		4
90-Day Eurodollar September Futures	Long	09/2009	22		(7)
Euro-Bobl September Futures	Short	09/2008	12		31
Euro-Bobl September Futures Call Options Strike @ EUR 118.000	Long	09/2008	12		0
Euro-Bund 10-Year Bond September Futures	Short	09/2008	2		2
Euro-Bund 10-Year Bond September Futures Put Options Strike @ EUR 104.000	Long	09/2008	4		0
Euro-Schatz September Futures	Short	09/2008	36		32
Euro-Schatz September Futures Call Options Strike @ EUR 108.000	Long	09/2008	36		0
U.S. Treasury 2-Year Note September Futures	Short	09/2008	48		(11)
U.S. Treasury 5-Year Note September Futures	Short	09/2008	13		(5)
U.S. Treasury 10-Year Note September Futures	Short	09/2008	1		(1)
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	86		171
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	83		(83)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	1		(1)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	7		(12)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	4		(5)
United Kingdom Government 10-Year Bond September Futures	Short	09/2008	1		3
				$	105

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.665	%)	06/20/2017	RBS	$	200	$	6
BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014	LEH		200		1
Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.500	%)	06/20/2011	UBS		100		3
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(0.860	%)	06/20/2018	DUB		500		21
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.170	%	09/20/2008	BOA		200		0
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.900	%	09/20/2012	BOA		100		(2)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008	DUB		200		0
Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.440	%)	12/20/2012	LEH		200		7
Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016	BEAR		200		2
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	0.920	%	09/20/2012	RBS		100		(6)
Morgan Stanley 6.600% due 04/01/2012	Sell	0.190	%	09/20/2008	BOA		200		(1)
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008	BCLY		200		0
Reynolds American, Inc. 7.625% due 06/01/2016	Sell	1.280	%	06/20/2017	DUB		100		0
Time Warner, Inc. 5.500% due 11/15/2011	Buy	(0.310	%)	12/20/2011	BOA		400		13
								$	44

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	400	$	26
Dow Jones CDX N.A. HV9 Index	Sell	1.400	%	12/20/2012	CSFB		300		(19)
Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	LEH		99		6
Dow Jones CDX N.A. HY8 Index	Sell	0.483	%	06/20/2012	BCLY		298		(10)
Dow Jones CDX N.A. HY10 Index	Buy	(5.000	%)	06/20/2013	BCLY		100		4
Dow Jones CDX N.A. HY10 Index	Buy	(5.000	%)	06/20/2013	UBS		100		4
Dow Jones CDX N.A. IG5 Index	Buy	(0.140	%)	12/20/2012	MSC		300		22
Dow Jones CDX N.A. IG5 Index	Sell	0.460	%	12/20/2015	MSC		200		(22)
Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012	GSC		300		(2)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		200		1
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		100		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	GSC		100		2
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	MSC		400		11
								$	23

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000%	09/15/2009	CITI	AUD	400	$	(3)
Pay	3-Month Australian Bank Bill	7.000%	09/15/2009	LEH		500		(3)
Pay	3-Month USD-LIBOR	4.000%	12/17/2010	LEH	$	4,500		(34)
Receive	3-Month USD-LIBOR	4.000%	12/17/2013	MSC		300		0
Pay	3-Month USD-LIBOR	5.000%	12/17/2015	CITI		700		(5)
Pay	3-Month USD-LIBOR	5.000%	12/17/2015	RBS		2,100		(4)
Receive	3-Month USD-LIBOR	5.000%	12/17/2018	CITI		300		1
Receive	3-Month USD-LIBOR	5.000%	12/17/2023	BCLY		300		(7)
Receive	3-Month USD-LIBOR	5.000%	12/17/2023	MLP		6,000		5
Receive	3-Month USD-LIBOR	5.000%	12/17/2028	MSC		300		(6)
Receive	3-Month USD-LIBOR	5.000%	12/17/2028	RBS		700		(5)
Pay	3-Month USD-LIBOR	5.000%	12/17/2038	MLP		100		3
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.980%	04/30/2012	BCLY	EUR	100		(6)
Pay	6-Month Australian Bank Bill	7.000%	06/15/2010	DUB	AUD	2,500		(49)
Pay	6-Month Australian Bank Bill	7.000%	06/15/2010	MSC		1,100		(20)
Pay	6-Month EUR-LIBOR	4.500%	03/19/2010	LEH	EUR	3,200		(75)
Pay	6-Month EUR-LIBOR	4.500%	03/19/2010	MSC		310		(6)
Pay	6-Month EUR-LIBOR	4.000%	06/18/2010	MSC		1,000		(48)
Pay	6-Month EUR-LIBOR	5.500%	12/17/2010	BCLY		100		0
Pay	6-Month EUR-LIBOR	5.500%	12/17/2010	MSC		300		1
Pay	6-Month EUR-LIBOR	4.800%	07/11/2012	CITI		1,100		(16)
Receive	6-Month EUR-LIBOR	4.000%	12/15/2014	BCLY		300		24
Receive	6-Month EUR-LIBOR	5.000%	07/11/2037	CITI		200		(5)
Receive	6-Month EUR-LIBOR	5.000%	09/17/2038	BCLY		100		2
Receive	6-Month EUR-LIBOR	5.000%	09/17/2038	JPM		200		13
Receive	6-Month EUR-LIBOR	5.000%	09/17/2038	RBS		100		2
Receive	6-Month GBP-LIBOR	6.000%	06/19/2009	DUB	GBP	2,000		1
Receive	6-Month GBP-LIBOR	6.000%	06/19/2009	GSC		4,600		3
Pay	6-Month GBP-LIBOR	5.000%	09/15/2010	BCLY		500		(12)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2010	RBS		100		(2)
Pay	6-Month GBP-LIBOR	5.500%	03/20/2013	LEH		200		(10)
Receive	6-Month GBP-LIBOR	5.000%	09/20/2017	DUB		200		7
Receive	6-Month GBP-LIBOR	4.000%	12/15/2035	MSC		300		(10)
Receive	6-Month GBP-LIBOR	4.500%	12/15/2035	DUB		400		(27)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170%	11/04/2016	MLP	MXN	600		(6)
Pay	BRL-CDI-Compounded	10.150%	01/02/2012	GSC	BRL	1,400		(99)
Pay	BRL-CDI-Compounded	10.575%	01/02/2012	UBS		400		(17)
Pay	BRL-CDI-Compounded	10.680%	01/02/2012	BCLY		1,900		(92)
Pay	BRL-CDI-Compounded	12.540%	01/02/2012	UBS		100		(3)
							$	(508)

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)	Expiration Date	Counterparty	# of Shares/Units	Unrealized Appreciation/ (Depreciation)
Receive	iShares MSCI Japan Index	1-Month USD-LIBOR less 0.250%	11/15/2008	GSC	1,612,991	$	(936	)

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(f) Purchased options outstanding on June 30, 2008:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	109.000	08/22/2008	8	$	0	$	0
Call - CBOT U.S. Treasury 2-Year Note September Futures		111.000	08/22/2008	44		1		1
Call - CBOT U.S. Treasury 5-Year Note September Futures		126.000	08/22/2008	14		0		0
Call - CBOT U.S. Treasury 5-Year Note September Futures		129.500	08/22/2008	112		2		1
Call - CBOT U.S. Treasury 10-Year Note September Futures		132.000	08/22/2008	10		0		0
Call - CBOT U.S. Treasury 10-Year Note September Futures		135.000	08/22/2008	34		1		0
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	2		0		0
Put - CBOT U.S. Treasury 30-Year Bond September Futures		89.000	08/22/2008	40		1		1
Put - CBOT U.S. Treasury 30-Year Bond September Futures		92.000	08/22/2008	86		2		1
					$	7	$	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	DUB	6-Month EUR-LIBOR	Pay	4.070	%	09/14/2009	EUR	3,600	$	19	$	11
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	4,600		52		22
Call - OTC 5-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	4.000	%	12/19/2008		1,100		23		11
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/03/2009		6,200		64		30
									$	158	$	74

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	$	300	$	13	$	13
Put - OTC U.S. dollar versus Japanese yen		103.800	03/17/2010		300		13		19
						$	26	$	32

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. Treasury Bond 4.750% due 02/15/2037	$	160.000	07/11/2008	$	3,800	$	1	$	0
Call - OTC U.S. Treasury Note 2.000% due 02/28/2010		102.262	09/19/2008		1,800		0		0
Call - OTC U.S. Treasury Note 4.000% due 09/30/2009		103.813	10/10/2008		1,000		0		0
Call - OTC U.S. Treasury Note 4.000% due 02/15/2014		115.000	10/10/2008		1,200		0		1
Call - OTC U.S. Treasury Note 4.500% due 02/28/2011		110.250	09/19/2008		1,000		0		0
Call - OTC U.S. Treasury Note 5.125% due 06/30/2011		115.000	07/18/2008		400		0		0
Call - OTC U.S. Treasury Note 5.125% due 06/30/2011		113.000	09/19/2008		200		0		0
Put - OTC Fannie Mae 5.000% due 09/01/2038		78.000	09/04/2008		500		0		0
Put - OTC Freddie Mac 5.500% due 07/01/2038		85.000	07/07/2008		3,000		0		0
Put - OTC Freddie Mac 5.500% due 07/01/2038		89.000	07/07/2008		6,000		1		0
Put - OTC Freddie Mac 5.500% due 09/01/2038		85.000	09/04/2008		4,000		1		0
Put - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017		88.500	09/04/2008		1,000		0		0
						$	3	$	1

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	DUB	6-Month EUR-LIBOR	Receive	4.250	%	09/14/2009	EUR	1,200	$	18	$	11
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009	$	1,500		48		32
Put - OTC 5-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		1,800		22		13
Put - OTC 5-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.400	%	03/16/2009		1,800		22		13
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	08/03/2009		2,700		65		44
										$175		$113

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(4)
Fannie Mae	5.500	%	07/01/2038	$	2,500	$	2,464	$	2,464
Ginnie Mae	5.500	%	07/01/2038		800		793		796
U.S. Treasury Bonds	4.750	%	02/15/2037		2,800		2,808		2,959
U.S. Treasury Notes	2.000	%	02/28/2010		2,500		2,468		2,502
U.S. Treasury Notes	2.125	%	01/31/2010		400		396		402
U.S. Treasury Notes	3.375	%	06/30/2013		600		598		603
U.S. Treasury Notes	3.500	%	02/15/2018		500		473		489
U.S. Treasury Notes	4.000	%	09/30/2009		1,000		1,014		1,033
U.S. Treasury Notes	4.000	%	02/15/2014		600		610		630
U.S. Treasury Notes	4.125	%	08/31/2012		300		307		316
U.S. Treasury Notes	4.250	%	11/15/2017		1,200		1,210		1,235
U.S. Treasury Notes	4.500	%	02/28/2011		1,000		1,032		1,060
U.S. Treasury Notes	4.500	%	05/15/2017		900		934		947
U.S. Treasury Notes	4.750	%	03/31/2011		200		208		213
U.S. Treasury Notes	4.750	%	05/15/2014		500		525		541
U.S. Treasury Notes	4.750	%	08/15/2017		1,300		1,357		1,406
U.S. Treasury Notes	5.125	%	06/30/2011		700		737		745
						$	17,934	$	18,341

⁽⁴⁾ Market value includes $185 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	58	07/2008	$	0	$	0	$	0
Buy	BRL	2,549	07/2008		324		0		324
Sell		2,549	07/2008		0		(150)		(150)
Buy		1,010	12/2008		58		0		58
Sell		340	12/2008		0		(17)		(17)
Buy	CNY	4,103	07/2008		31		0		31
Sell		4,103	07/2008		0		(19)		(19)
Buy		1,743	10/2008		4		0		4
Sell		1,743	10/2008		0		(7)		(7)
Sell	EUR	97	07/2008		0		(2)		(2)
Sell	GBP	579	08/2008		0		(6)		(6)
Buy	JPY	109,000	07/2008		0		0		0
Sell		2,389,650	07/2008		0		(373)		(373)
Buy	KRW	327,883	08/2008		0		(38)		(38)
Sell		327,883	08/2008		10		0		10
Buy	MXN	4,237	07/2008		31		0		31
Sell		4,237	07/2008		0		(12)		(12)
Buy		1,758	11/2008		1		0		1
Buy	MYR	154	08/2008		2		0		2
Buy		348	11/2008		0		(5)		(5)
Sell		271	11/2008		2		0		2
Buy	PLN	437	07/2008		46		0		46
Sell		437	07/2008		0		(9)		(9)
Buy		194	05/2009		3		0		3
Buy	RUB	8,577	07/2008		26		0		26
Sell		8,577	07/2008		0		(21)		(21)
Buy		4,922	11/2008		10		0		10
Buy		138	05/2009		0		0		0
Buy	SGD	289	11/2008		3		0		3
Sell		168	11/2008		0		(1)		(1)
				$	551	$	(660)	$	(109)

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 06/30/2008
Investments, at value	$	1,456	$	42,675		$	396		$	44,527
Other Financial Instruments++		105		(19,745	)		(10	)		(19,650	)
Total	$	1,561	$	22,930		$	386		$	24,877

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

	Beginning balance at 03/31/2008			Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/(losses)			Net transfers in/(out) of level 3			Ending balance at 06/30/2008
Investments, at value	$	143		$	394	$	0	$	(13	)	$	(128	)	$	396
Other Financial Instruments++		(15	)		0		0		(1	)		6			(10	)
Total	$	128		$	394	$	0	$	(14	)	$	(122	)	$	386

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

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

See Accompanying Notes.

Schedule of Investments

Long Duration Total Return Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.1%
Daimler Finance North America LLC
6.780% due 08/03/2012	$	992	$	822
Total Bank Loan Obligations (Cost $952)				822
CORPORATE BONDS & NOTES 47.5%
Banking & Finance 21.7%
ABX Financing Co.
6.350% due 10/15/2036		810		769
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		200		192
American Express Co.
8.150% due 03/19/2038		1,500		1,674
American Express Credit Corp.
2.531% due 03/02/2009		10		10
American International Group, Inc.
2.952% due 01/29/2010		1,400		1,397
5.050% due 10/01/2015		1,200		1,091
6.250% due 05/01/2036		980		859
6.250% due 03/15/2037		2,000		1,573
8.175% due 05/15/2058		3,400		3,212
Bank of America Corp.
5.650% due 05/01/2018		1,000		937
8.125% due 12/29/2049		4,000		3,786
Bank of America N.A.
2.786% due 06/12/2009		200		200
6.000% due 10/15/2036		9,050		8,057
Barclays Bank PLC
6.050% due 12/04/2017		900		885
7.434% due 09/29/2049		2,500		2,351
7.700% due 04/29/2049		5,700		5,828
Bear Stearns Cos., Inc.
3.129% due 01/31/2011		1,800		1,748
BNP Paribas
3.126% due 06/04/2010		2,300		2,299
5.186% due 06/29/2049		6,600		5,745
Caterpillar Financial Services Corp.
3.559% due 06/24/2011		8,400		8,396
Citigroup Funding, Inc.
3.820% due 05/07/2010		3,200		3,177
Citigroup, Inc.
2.831% due 12/28/2009		900		878
2.848% due 12/26/2008		10		10
5.875% due 05/29/2037		500		427
6.000% due 08/15/2017		3,700		3,540
6.125% due 08/25/2036		2,400		2,038
6.625% due 06/15/2032		3,500		3,207
6.875% due 03/05/2038		7,100		6,881
8.400% due 04/29/2049		5,800		5,521
Credit Agricole S.A.
2.646% due 05/28/2009		200		199
Credit Suisse New York, Inc.
6.000% due 02/15/2018		3,800		3,671
Credit Suisse USA, Inc.
2.559% due 11/20/2009		2,200		2,173
2.757% due 06/05/2009		900		897
2.775% due 11/20/2009		2,400		2,373
General Electric Capital Corp.
2.746% due 08/15/2011		10		10
2.918% due 10/21/2010		10		10
5.875% due 01/14/2038		13,500		12,291
6.375% due 11/15/2067		2,300		2,181
6.750% due 03/15/2032		5,450		5,511
Goldman Sachs Group, Inc.
2.901% due 06/28/2010		1,400		1,366
2.964% due 02/06/2012		500		476
5.950% due 01/18/2018		1,500		1,445
6.125% due 02/15/2033		1,800		1,619
6.150% due 04/01/2018		3,800		3,699
6.250% due 09/01/2017		9,900		9,817
6.450% due 05/01/2036		800		716
6.750% due 10/01/2037		5,500		5,052
HBOS PLC
6.750% due 05/21/2018		8,300		7,960
HSBC Bank USA N.A.
5.625% due 08/15/2035		400		338
5.875% due 11/01/2034		60		53
HSBC Finance Corp.
2.966% due 05/10/2010		900		882
HSBC Holdings PLC
6.500% due 05/02/2036		1,390		1,298
6.500% due 09/15/2037		7,700		7,050
6.800% due 06/01/2038		2,800		2,648
John Deere Capital Corp.
3.536% due 06/10/2011		11,200		11,197
JPMorgan Chase & Co.
6.000% due 01/15/2018		1,800		1,759
6.400% due 05/15/2038		800		745
7.900% due 04/29/2049		2,900		2,727
JPMorgan Chase Capital XVIII
6.950% due 08/17/2036		11,500		10,660
JPMorgan Chase Capital XX
6.550% due 09/29/2036		1,010		878
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		3,100		2,670
Lehman Brothers Holdings, Inc.
6.875% due 07/17/2037		800		691
7.000% due 09/27/2027		1,200		1,113
MetLife, Inc.
5.700% due 06/15/2035		7,200		6,377
Metropolitan Life Global Funding I
2.759% due 05/17/2010		1,500		1,480
Morgan Stanley
2.820% due 05/07/2009		500		492
4.778% due 05/14/2010		3,300		3,289
6.625% due 04/01/2018		5,800		5,513
7.250% due 04/01/2032		1,900		1,840
National Rural Utilities Cooperative Finance Corp.
8.000% due 03/01/2032		320		369
Prudential Financial, Inc.
6.625% due 12/01/2037		1,000		948
Rabobank Capital Funding Trust
5.254% due 12/29/2049		6,100		5,252
RBS Capital Trust II
6.425% due 12/29/2049		9,290		8,296
Royal Bank of Scotland Group PLC
7.648% due 08/31/2049		2,350		2,297
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		10,400		10,074
UBS AG
5.750% due 04/25/2018		7,800		7,468
UBS Preferred Funding Trust V
6.243% due 05/12/2049		3,000		2,635
Wachovia Bank N.A.
3.619% due 05/14/2010		3,400		3,384
5.850% due 02/01/2037		800		640
6.600% due 01/15/2038		3,800		3,325
Wachovia Corp.
2.732% due 12/01/2009		1,800		1,763
5.500% due 08/01/2035		10		8
Wells Fargo & Co.
5.375% due 02/07/2035		100		87
Wells Fargo Bank N.A.
5.950% due 08/26/2036		6,500		6,113
Wells Fargo Capital X
5.950% due 12/15/2036		1,700		1,551
Wells Fargo Capital XIII
7.700% due 12/29/2049		4,600		4,579
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		30		30
				260,673
Industrials 12.7%
Amgen, Inc.
6.375% due 06/01/2037		5,100		4,892
6.900% due 06/01/2038		200		205
Anadarko Petroleum Corp.
6.450% due 09/15/2036		7,025		6,965
Apache Corp.
6.000% due 01/15/2037		6,000		5,915
AstraZeneca PLC
6.450% due 09/15/2037		4,500		4,607
Barrick Gold Corp.
5.800% due 11/15/2034		10		9
Burlington Northern Santa Fe Corp.
6.150% due 05/01/2037		450		426
Canadian National Railway Co.
6.375% due 11/15/2037		300		297
Canadian Natural Resources Ltd.
5.850% due 02/01/2035		1,790		1,620
6.250% due 03/15/2038		1,300		1,226
6.450% due 06/30/2033		100		98
6.500% due 02/15/2037		250		245
6.750% due 02/01/2039		3,125		3,149
Caterpillar, Inc.
6.050% due 08/15/2036		3,800		3,792
Colorado Interstate Gas Co.
6.850% due 06/15/2037		1,300		1,241
Comcast Corp.
6.450% due 03/15/2037		300		281
6.950% due 08/15/2037		200		198
7.050% due 03/15/2033		10,540		10,761
Conoco Funding Co.
7.250% due 10/15/2031		10		11
ConocoPhillips Canada Funding Co.
5.950% due 10/15/2036		2,500		2,501
Covidien International Finance S.A.
6.550% due 10/15/2037		500		507
CSX Corp.
6.150% due 05/01/2037		800		673
7.450% due 04/01/2038		4,200		4,227
CVS Caremark Corp.
2.982% due 06/01/2010		100		98
Devon Energy Corp.
7.950% due 04/15/2032		3,300		3,931
Devon Financing Corp. ULC
7.875% due 09/30/2031		2,930		3,475
Enbridge Energy Partners LP
6.300% due 12/15/2034		900		809
EnCana Corp.
6.500% due 08/15/2034		1,650		1,627
6.625% due 08/15/2037		300		301
Energy Transfer Partners LP
6.625% due 10/15/2036		1,300		1,215
7.500% due 07/01/2038		1,200		1,240
Enterprise Products Operating LP
5.750% due 03/01/2035		400		341
EOG Resources, Inc.
5.875% due 09/15/2017		1,900		1,918
Gaz Capital S.A.
7.288% due 08/16/2037		5,100		4,708
8.625% due 04/28/2034		510		563
Georgia-Pacific LLC
7.750% due 11/15/2029		30		27
GlaxoSmithKline Capital, Inc.
5.375% due 04/15/2034		4,100		3,575
6.375% due 05/15/2038		5,400		5,385
Hess Corp.
7.300% due 08/15/2031		1,300		1,458
International Business Machines Corp.
5.700% due 09/14/2017		700		713
Kinder Morgan Energy Partners LP
5.800% due 03/15/2035		850		741
6.500% due 02/01/2037		600		570
6.950% due 01/15/2038		5,010		4,994
Kraft Foods, Inc.
6.500% due 11/01/2031		530		492
6.875% due 02/01/2038		900		879
7.000% due 08/11/2037		800		795
Lockheed Martin Corp.
7.750% due 05/01/2026		7		8
Marathon Oil Corp.
6.600% due 10/01/2037		300		297
Norfolk Southern Corp.
7.250% due 02/15/2031		20		22
Nucor Corp.
6.400% due 12/01/2037		3,000		3,058
ONEOK Partners LP
6.850% due 10/15/2037		1,400		1,375
Oracle Corp.
6.500% due 04/15/2038		4,200		4,230
Pemex Project Funding Master Trust
6.625% due 06/15/2035		520		517
6.625% due 06/15/2038		100		103
Philip Morris International, Inc.
6.375% due 05/16/2038		3,200		3,133
Plains All American Pipeline LP
6.650% due 01/15/2037		700		656
Reynolds American, Inc.
7.250% due 06/15/2037		700		694
Suncor Energy, Inc.
6.500% due 06/15/2038		2,100		2,048
6.850% due 06/01/2039		12,400		12,721
Target Corp.
6.500% due 10/15/2037		500		483
7.000% due 01/15/2038		1,100		1,133
Teva Pharmaceutical Finance LLC
6.150% due 02/01/2036		1,000		963
Time Warner Cable, Inc.
6.550% due 05/01/2037		6,700		6,203
Time Warner, Inc.
7.700% due 05/01/2032		70		72
TransCanada Pipelines Ltd.
6.200% due 10/15/2037		300		276
Transocean, Inc.
6.800% due 03/15/2038		500		514
Union Pacific Corp.
6.150% due 05/01/2037		400		385
United Technologies Corp.
6.125% due 07/15/2038		3,500		3,533
Vale Overseas Ltd.
6.875% due 11/21/2036		10		9
Valero Energy Corp.
6.625% due 06/15/2037		1,700		1,565
7.500% due 04/15/2032		1,350		1,372
8.750% due 06/15/2030		25		28
Viacom, Inc.
6.875% due 04/30/2036		450		425
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		2,100		2,073
6.500% due 08/15/2037		4,000		4,136
XTO Energy, Inc.
6.100% due 04/01/2036		1,250		1,196
6.750% due 08/01/2037		4,650		4,736
Yum! Brands, Inc.
6.875% due 11/15/2037		100		93
				151,758
Utilities 13.1%
AEP Texas Central Co.
6.650% due 02/15/2033		1,500		1,449
Alabama Power Co.
6.125% due 05/15/2038		5,400		5,477
Appalachian Power Co.
6.700% due 08/15/2037		1,810		1,734
AT&T Corp.
8.000% due 11/15/2031		22,170		25,573
AT&T, Inc.
6.500% due 09/01/2037		450		438
BellSouth Corp.
6.550% due 06/15/2034		15		14
British Telecommunications PLC
9.125% due 12/15/2030		630		761
Carolina Power & Light Co.
6.300% due 04/01/2038		800		813
Consolidated Edison Co. of New York, Inc.
6.750% due 04/01/2038		13,790		14,349
Deutsche Telekom International Finance BV
8.750% due 06/15/2030		8,400		9,680
Duke Energy Carolinas LLC
6.000% due 01/15/2038		4,500		4,414
6.050% due 04/15/2038		2,000		1,988
6.450% due 10/15/2032		2,780		2,834
Enel Finance International S.A.
6.800% due 09/15/2037		1,300		1,318
FirstEnergy Corp.
7.375% due 11/15/2031		1,550		1,694
Florida Power Corp.
6.350% due 09/15/2037		200		204
6.400% due 06/15/2038		1,100		1,123
France Telecom S.A.
8.500% due 03/01/2031		8,780		10,677
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		1,330		1,284
6.500% due 09/15/2037		7,200		7,312
NGPL Pipe Co. LLC
7.768% due 12/15/2037		300		316
Oncor Electric Delivery Co.
7.000% due 09/01/2022		3,450		3,377
Pacific Gas & Electric Co.
5.800% due 03/01/2037		1,000		938
6.050% due 03/01/2034		3,670		3,558
6.350% due 02/15/2038		6,300		6,332
Progress Energy, Inc.
7.750% due 03/01/2031		4,500		5,167
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		600		508
Sierra Pacific Power Co.
6.750% due 07/01/2037		3,600		3,544
Southern California Edison Co.
5.550% due 01/15/2037		400		376
5.625% due 02/01/2036		1,400		1,331
5.950% due 02/01/2038		2,710		2,694
6.000% due 01/15/2034		3,800		3,804
Sprint Capital Corp.
8.750% due 03/15/2032		1,900		1,814
Telecom Italia Capital S.A.
7.200% due 07/18/2036		2,570		2,497
Telefonica Emisones SAU
7.045% due 06/20/2036		2,600		2,682
Verizon Communications, Inc.
5.850% due 09/15/2035		1,812		1,606
6.900% due 04/15/2038		8,600		8,544
Verizon Global Funding Corp.
7.750% due 12/01/2030		200		216
Virginia Electric and Power Co.
6.000% due 01/15/2036		20		19
6.000% due 05/15/2037		5,100		4,775
6.350% due 11/30/2037		3,400		3,328
Vodafone Group PLC
6.150% due 02/27/2037		7,710		7,089
				157,651
Total Corporate Bonds & Notes (Cost $587,933)				570,082
MUNICIPAL BONDS & NOTES 1.1%
Anaheim, California Public Financing Authority Revenue Bonds, (MBIA Insured), Series 2007
4.750% due 02/01/2039		2,700		2,574
California State Educational Facilities Authority Revenue Bonds, Series 2007
4.750% due 10/01/2037		2,900		2,798
California State General Obligation Bonds, Series 2008
5.125% due 08/01/2036 (a)		3,900		3,904
Connecticut State General Obligation Bonds, Series 2008
5.850% due 03/15/2032		1,100		1,145
Golden State, California Tobacco Securitization Corp. Revenue Bonds, (FGIC Insured), Series 2005
5.000% due 06/01/2038		300		280
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
5.600% due 06/01/2034		150		131
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2024		1,300		1,267
New York State Urban Development Corp. Revenue Bonds, Series 2008
5.000% due 12/15/2027		800		826
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		300		251
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		800		55
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		495		442
Total Municipal Bonds & Notes (Cost $13,598)				13,673
U.S. GOVERNMENT AGENCIES 22.4%
Fannie Mae
2.542% due 07/25/2037		250		247
2.682% due 10/27/2037		2,400		2,296
2.982% due 02/25/2032		25		25
4.000% due 02/25/2019		100		93
4.300% due 08/18/2010		10		10
5.000% due 02/25/2017 - 08/25/2033		62		55
5.500% due 09/25/2024 - 07/01/2038		167,282		164,889
5.750% due 04/12/2022		4,600		4,622
6.000% due 12/25/2034 - 05/01/2038		20,655		20,854
6.050% due 02/25/2044		500		521
6.210% due 08/06/2038		2,700		3,079
7.125% due 01/15/2030		200		251
Federal Farm Credit Bank
4.125% due 04/15/2010		15		15
4.180% due 09/22/2010		15		15
5.750% due 12/07/2028		20		21
Federal Home Loan Bank
3.660% due 09/30/2010		10		10
4.000% due 05/15/2009		10		10
4.250% due 12/18/2009		7,600		7,657
5.250% due 09/12/2014		4,900		5,149
Freddie Mac
2.701% due 02/15/2019		421		413
2.871% due 01/15/2033		2		2
4.080% due 05/14/2009		25		25
5.000% due 04/15/2033 - 04/15/2038		2,626		2,377
5.500% due 11/15/2023 - 04/01/2038		5,082		5,015
6.000% due 06/15/2035 - 07/01/2038		27,581		27,854
8.250% due 06/01/2016		30		37
Small Business Administration
5.290% due 12/01/2027		1,944		1,937
Tennessee Valley Authority
4.500% due 04/01/2018		3,000		2,940
4.875% due 01/15/2048		4,050		3,804
5.500% due 06/15/2038		14,300		14,746
Total U.S. Government Agencies (Cost $270,784)				268,969
U.S. TREASURY OBLIGATIONS 0.1%
Treasury Inflation Protected Securities (c)
2.375% due 01/15/2025		34		36
U.S. Treasury Strips
0.000% due 02/15/2027		4,000		1,650
Total U.S. Treasury Obligations (Cost $1,638)				1,686
MORTGAGE-BACKED SECURITIES 1.3%
American Home Mortgage Investment Trust
5.000% due 09/25/2035		300		269
Banc of America Commercial Mortgage, Inc.
7.226% due 10/11/2037		96		106
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		852		814
4.476% due 02/25/2034		110		106
Bear Stearns Alt-A Trust
5.701% due 09/25/2035		801		661
CC Mortgage Funding Corp.
2.612% due 05/25/2048		188		132
Citigroup Mortgage Loan Trust, Inc.
3.282% due 08/25/2035		579		498
Countrywide Alternative Loan Trust
2.674% due 12/20/2046		549		386
2.762% due 02/25/2037		287		209
CS First Boston Mortgage Securities Corp.
5.097% due 07/25/2033		123		116
CW Capital Cobalt Ltd.
5.484% due 04/15/2047		500		466
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 01/25/2047		5		5
First Horizon Asset Securities, Inc.
4.384% due 12/25/2033		136		132
GMAC Mortgage Corp. Loan Trust
4.305% due 06/25/2034		124		100
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		4,789		4,472
Harborview Mortgage Loan Trust
5.219% due 07/19/2035		249		246
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		500		470
5.937% due 02/12/2049		200		191
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		2,400		2,213
Residential Accredit Loans, Inc.
6.000% due 06/25/2036		346		305
Structured Asset Mortgage Investments, Inc.
2.582% due 09/25/2047		307		293
2.812% due 10/19/2034		82		68
Thornburg Mortgage Securities Trust
2.582% due 03/25/2037		250		233
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		206		194
WaMu Mortgage Pass-Through Certificates
4.229% due 03/25/2034		1,519		1,487
4.258% due 01/25/2047		8		6
4.780% due 10/25/2046		22		18
4.928% due 08/25/2042		9		8
Wells Fargo Mortgage-Backed Securities Trust
4.515% due 11/25/2033		836		830
Total Mortgage-Backed Securities (Cost $15,976)				15,034
ASSET-BACKED SECURITIES 4.1%
Argent Securities, Inc.
2.532% due 10/25/2036		12		11
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		8		8
2.532% due 12/25/2036		5		4
BA Credit Card Trust
2.481% due 02/15/2013		5,100		5,032
3.183% due 12/15/2014		5,400		5,369
3.221% due 08/15/2011		3,100		3,109
Bear Stearns Asset-Backed Securities Trust
5.624% due 07/25/2036		18		14
Chase Credit Card Master Trust
2.641% due 09/15/2011		200		200
Chase Issuance Trust
2.491% due 03/15/2013		5,600		5,515
2.921% due 01/15/2012		2,100		2,099
3.121% due 11/15/2011		3,300		3,309
3.227% due 08/17/2015		5,600		5,544
3.371% due 05/16/2011		1,800		1,809
Citibank Credit Card Issuance Trust
3.361% due 05/18/2011		3,100		3,114
Citigroup Mortgage Loan Trust, Inc.
2.542% due 07/25/2045		78		72
Countrywide Asset-Backed Certificates
2.592% due 10/25/2046		70		68
Credit-Based Asset Servicing & Securitization LLC
2.602% due 07/25/2037		236		220
First Franklin Mortgage Loan Asset-Backed Certificates
2.522% due 09/25/2036		87		84
First NLC Trust
2.552% due 08/25/2037		78		73
First USA Credit Card Master Trust
2.641% due 04/18/2011		300		300
Ford Credit Auto Owner Trust
3.371% due 01/15/2011		4,000		4,012
Fremont Home Loan Trust
2.592% due 02/25/2036		600		581
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		1,168		1,120
Indymac Residential Asset-Backed Trust
2.562% due 07/25/2037		124		122
Lehman ABS Mortgage Loan Trust
2.572% due 06/25/2037		78		73
MASTR Asset-Backed Securities Trust
2.562% due 05/25/2037		124		119
Merrill Lynch First Franklin Mortgage Loan Trust
2.542% due 07/25/2037		231		224
Morgan Stanley ABS Capital I
2.542% due 05/25/2037		216		210
Securitized Asset-Backed Receivables LLC Trust
2.612% due 05/25/2037		302		281
SLC Student Loan Trust
2.674% due 02/15/2015		390		388
SLM Student Loan Trust
2.900% due 04/25/2014		107		107
2.910% due 07/25/2013		330		330
2.910% due 10/25/2016		134		134
2.910% due 07/25/2017		142		141
2.910% due 10/25/2018		135		134
2.920% due 04/25/2017		158		157
2.982% due 10/25/2017 (a)		5,500		5,497
Soundview Home Equity Loan Trust
2.562% due 06/25/2037		145		139
Total Asset-Backed Securities (Cost $49,961)				49,723
SOVEREIGN ISSUES 0.1%
Brazilian Government International Bond
7.125% due 01/20/2037		200		221
Colombia Government International Bond
7.375% due 09/18/2037		720		772
Export-Import Bank of Korea
2.772% due 06/01/2009		200		199
Total Sovereign Issues (Cost $1,237)				1,192
FOREIGN CURRENCY-DENOMINATED ISSUES 0.7%
Brazilian Government International Bond
10.250% due 01/10/2028		BRL       13,000		6,893
12.500% due 01/05/2016		2,000		1,248
General Electric Capital Corp.
5.500% due 09/15/2066		GBP           100		172
HBOS PLC
6.367% due 06/29/2049		50		73
Total Foreign Currency-Denominated Issues (Cost $8,423)				8,386
	Shares
CONVERTIBLE PREFERRED STOCKS 0.4%
American International Group, Inc.
8.500% due 08/01/2011		46,650		2,766
Wachovia Corp.
7.500% due 12/31/2049		2,100		1,859
Total Convertible Preferred Stocks (Cost $5,599)				4,625
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 23.2%
Certificates of Deposit 0.9%
Abbey National Treasury Services PLC
2.409% due 07/02/2008	$	10		10
Fortis Bank NY
2.646% due 09/30/2008		10		10
Nordea Bank Finland PLC
2.436% due 04/09/2009		20		20
Sao Paolo IMI NY
3.312% due 06/09/2010		11,000		10,927
				10,967
Commercial Paper 17.2%
ABN AMRO N.A. Finance
2.450% due 07/14/2008		3,200		3,197
ANZ National International Ltd.
2.550% due 07/21/2008		19,000		18,973
Bank of America Corp.
2.500% due 07/15/2008		1,300		1,299
Barclays U.S. Funding Corp.
2.680% due 09/02/2008		19,600		19,506
ING Funding LLC
2.480% due 08/08/2008		38,500		38,399
Rabobank USA Financial Corp.
2.450% due 07/18/2008		25,800		25,770
Royal Bank of Scotland Group PLC
2.600% due 07/15/2008		15,500		15,484
2.630% due 07/11/2008		21,400		21,385
Societe General N.A.
2.860% due 08/06/2008		17,900		17,849
UBS Finance Delaware LLC
2.570% due 07/14/2008		17,500		17,484
2.625% due 09/02/2008		11,100		11,047
2.830% due 09/25/2008		16,200		16,089
				206,482
Repurchase Agreements 4.9%
Deutsche Bank AG
1.500% due 07/01/2008		59,000		59,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 8.125% due 08/15/2019 valued at $60,202. Repurchase proceeds are $59,002.)
State Street Bank and Trust Co.
1.650% due 07/01/2008		578		578
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $590. Repurchase proceeds are $578.)
				59,578
U.S. Treasury Bills 0.2%
1.885% due 08/28/2008 - 09/11/2008 (b)(d)		2,000		1,990
Total Short-Term Instruments (Cost $279,098)				279,017
Total Investments 101.0% (Cost $1,235,199)			$	1,213,209
Other Assets and Liabilities (Net) (1.0%)				(12,268)
Net Assets 100.0%			$	1,200,941

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

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

(d) Securities with an aggregate market value of $1,492 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(e) Cash of $8,831 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	911	$	(424	)
90-Day Eurodollar June Futures	Long	06/2009	462		(186	)
90-Day Eurodollar March Futures	Long	03/2009	232		(85	)
U.S. Treasury 5-Year Note September Futures	Long	09/2008	123		(1	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	598		81
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	1,909		3,766
				$	3,151

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

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012	BCLY	$	8,200	$	123
Dow Jones CDX N.A. IG10 Index	Sell	1.550	%	06/20/2013	GSC		9,800		(177	)
Dow Jones CDX N.A. IG10 Index	Sell	1.550	%	06/20/2013	MLP		22,400		(109	)
Dow Jones CDX N.A. IG10 Index	Sell	1.500	%	06/20/2018	MSC		9,400		(30	)
								$	(193	)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	BOA	$	82,900	$	(199	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	DUB		38,200		(102	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	RBS		25,400		5
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		37,000		(250	)
Pay	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		27,700		435
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	DUB		25,300		134
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		19,600		86
Pay	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		18,800		0
Pay	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		13,500		324
Pay	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		3,600		74
Pay	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		19,000		423
Pay	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		4,900		10
								$	940

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	07/01/2038	$	56,000	$	54,968	$	55,204
Freddie Mac	5.500	%	07/01/2038		6,000		5,926		5,911
						$	60,894	$	61,115

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	1,669	07/2008	$	11	$	0		$	11
Buy	BRL	10,821	07/2008		423		0			423
Sell		10,821	07/2008		0		(547	)		(547	)
Buy		2,057	12/2008		121		0			121
Sell		10,039	12/2008		0		(257	)		(257	)
Buy	CNY	235	07/2008		1		0			1
Sell		235	07/2008		0		0			0
Buy		118	10/2008		0		0			0
Sell	GBP	1,832	08/2008		0		(20	)		(20	)
Buy	KRW	1,064,760	08/2008		0		(124	)		(124	)
Sell		1,064,760	08/2008		3		0			3
Buy	MXN	20,139	07/2008		133		0			133
Sell		20,139	07/2008		0		(18	)		(18	)
Buy		20,139	11/2008		16		0			16
Buy	MYR	5,187	08/2008		0		(12	)		(12	)
Buy	PHP	43,431	08/2008		0		(107	)		(107	)
Buy	PLN	5,393	07/2008		521		0			521
Sell		5,393	07/2008		0		(77	)		(77	)
Buy		5,393	05/2009		74		0			74
Buy	RUB	89,353	11/2008		185		0			185
Buy	SGD	1,597	08/2008		47		0			47
Buy		2,679	11/2008		18		0			18
				$	1,553	$	(1,162	)	$	391

(i) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	2,766	$	1,202,734		$	7,709	$	1,213,209
Other Financial Instruments++		3,151		(59,977	)		0		(56,826	)
Total	$	5,917	$	1,142,757		$	7,709	$	1,156,383

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)		Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	2,293	$	7,713	$	2	$	15	$	(2,314	)	$	7,709
Other Financial Instruments++		0		0		0		0		0			0
Total	$	2,293	$	7,713	$	2	$	15	$	(2,314	)	$	7,709

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

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

See Accompanying Notes

Schedule of Investments

Long-Term U.S. Government Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 16.0%
Banking & Finance 11.1%
Bank of America Corp.
2.970% due 10/14/2016	$	5,000	$	4,529
CIT Group, Inc.
2.839% due 08/17/2009		6,000		5,463
Citigroup, Inc.
2.939% due 01/30/2009		9,500		9,414
Countrywide Financial Corp.
6.250% due 05/15/2016		5,000		4,464
Goldman Sachs Group, Inc.
2.964% due 02/06/2012		5,100		4,851
3.101% due 06/28/2010		2,300		2,237
HSBC Finance Corp.
2.906% due 09/15/2008		15,000		14,993
2.963% due 01/15/2014		5,000		4,702
3.112% due 06/01/2016		3,000		2,705
International Lease Finance Corp.
5.250% due 01/10/2013		2,900		2,534
JPMorgan Chase Capital XX
6.550% due 09/29/2036		4,200		3,650
Lehman Brothers Holdings, Inc.
3.010% due 01/23/2009		9,200		9,004
Morgan Stanley
2.844% due 02/09/2009		8,000		7,927
3.184% due 10/18/2016		9,400		8,168
3.193% due 10/15/2015		3,000		2,633
4.778% due 05/14/2010		6,900		6,877
RBS Capital Trust II
6.425% due 12/29/2049		600		536
Textron Financial Corp.
4.600% due 05/03/2010		3,000		3,026
U.S. Trade Funding Corp.
4.260% due 11/15/2014		5,578		5,761
Wachovia Bank N.A.
3.619% due 05/14/2010		1,450		1,443
Wells Fargo & Co.
2.861% due 03/23/2010		10,800		10,713
Wells Fargo Bank N.A.
4.750% due 02/09/2015		5,000		4,783
				120,413
Industrials 4.3%
Avon Products, Inc.
5.125% due 01/15/2011		2,800		2,846
Daimler Finance North America LLC
3.218% due 03/13/2009		11,800		11,782
Gannett Co., Inc.
5.750% due 06/01/2011		2,200		2,165
International Business Machines Corp.
5.700% due 09/14/2017		6,200		6,313
Johnson Controls, Inc.
5.250% due 01/15/2011		4,000		4,048
Kraft Foods, Inc.
5.625% due 11/01/2011		2,000		2,020
Loews Corp.
5.250% due 03/15/2016		3,000		2,911
Omnicom Group, Inc.
5.900% due 04/15/2016		1,500		1,470
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		900		864
United Technologies Corp.
6.125% due 07/15/2038		7,100		7,166
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		5,100		5,035
				46,620
Utilities 0.6%
BellSouth Corp.
5.200% due 09/15/2014		6,000		5,925
GTE Corp.
7.510% due 04/01/2009		100		102
				6,027
Total Corporate Bonds & Notes (Cost $178,426)				173,060
MUNICIPAL BONDS & NOTES 1.7%
Anaheim, California Public Financing Authority Revenue Bonds, (MBIA Insured), Series 2007
4.750% due 02/01/2039		5,345		5,096
Connecticut State General Obligation Bonds, Series 2008
5.850% due 03/15/2032		600		625
Fort Bend County, Texas General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 03/01/2031		100		95
Los Angeles, California Community College District General Obligation Bonds, (FGIC Insured), Series 2007
5.000% due 08/01/2027		2,300		2,354
5.000% due 08/01/2032		3,000		3,028
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 07/01/2044		6,000		5,960
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		3,350		230
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		600		572
Total Municipal Bonds & Notes (Cost $17,864)				17,960
U.S. GOVERNMENT AGENCIES 65.5%
Fannie Mae
0.000% due 03/25/2009 (b)		63		62
0.000% due 05/15/2030		12,489		4,083
2.542% due 07/25/2037		2,413		2,383
2.681% due 03/18/2031		966		955
3.082% due 10/25/2017		213		212
3.382% due 04/25/2032		201		202
4.250% due 04/25/2037		338		277
4.500% due 10/25/2023 - 09/01/2035		8,112		7,416
4.548% due 07/01/2035		780		783
4.994% due 06/01/2043 - 03/01/2044		2,137		2,137
5.000% due 11/25/2015 - 08/25/2036		18,629		16,282
5.125% due 07/16/2018		500		498
5.375% due 04/11/2022		11,900		11,928
5.380% due 07/01/2033		2,399		2,372
5.500% due 09/25/2024 - 10/01/2037		117,000		115,524
5.800% due 02/09/2026		15,000		15,341
5.919% due 10/01/2024		73		74
6.000% due 05/17/2027		1,094		1,128
6.197% due 11/01/2034		486		494
6.210% due 08/06/2038		8,000		9,122
6.250% due 12/25/2013		6		6
6.367% due 04/01/2028		106		108
6.471% due 11/01/2023		282		287
6.500% due 11/25/2023 - 07/25/2031		6,193		6,441
6.625% due 11/15/2030		900		1,073
6.750% due 06/25/2032		5,957		6,124
6.824% due 12/01/2027		107		108
6.855% due 05/01/2025		33		33
6.900% due 05/25/2023		247		261
6.950% due 07/25/2020		72		76
6.962% due 02/01/2028		22		22
6.970% due 08/01/2026		19		19
7.000% due 06/25/2022 - 05/18/2027		4,313		4,586
7.077% due 10/01/2024		2		2
7.500% due 07/01/2032		11		12
7.800% due 10/25/2022		34		37
9.000% due 08/01/2021 - 06/01/2027		79		87
Farmer Mac
7.316% due 07/25/2011		1,823		1,805
Federal Farm Credit Bank
4.375% due 06/16/2015		20,000		19,948
5.050% due 03/28/2019		1,000		1,016
5.125% due 07/09/2029		675		671
5.150% due 03/25/2020		1,000		1,014
5.750% due 12/07/2028		500		535
Federal Home Loan Bank
4.250% due 12/18/2009		16,300		16,423
5.125% due 12/29/2008		45,000		45,539
5.250% due 09/12/2014		16,400		17,234
5.300% due 06/26/2023		2,000		1,970
Federal Housing Administration
4.918% due 11/01/2019		7		8
6.896% due 07/01/2020		1,439		1,410
7.000% due 11/25/2019		374		371
7.430% due 10/01/2022 - 06/01/2024		782		783
Freddie Mac
0.000% due 12/11/2025		11,600		4,754
2.701% due 02/15/2019		11,794		11,564
2.871% due 01/15/2033		561		558
2.971% due 06/15/2030 - 12/15/2032		792		790
3.021% due 06/15/2031		255		255
4.000% due 11/15/2018		12,631		11,742
4.500% due 12/15/2019 - 07/15/2035		42,724		38,183
4.994% due 10/25/2044		8,483		8,253
5.000% due 03/18/2014 - 09/15/2035		58,384		53,291
5.194% due 07/25/2044		2,317		2,170
5.200% due 10/25/2023 - 09/01/2027		137		137
5.375% due 05/01/2022		7		7
5.400% due 03/17/2021		20,000		20,568
5.459% due 12/01/2024		60		62
5.500% due 11/15/2023 - 09/01/2037		32,466		31,410
5.625% due 11/23/2035		21,800		21,803
6.000% due 04/15/2034 - 05/15/2036		92,199		90,390
6.250% due 09/15/2023		4,203		4,386
6.271% due 01/01/2028		23		23
6.342% due 01/01/2028		173		174
6.459% due 02/01/2028		237		239
6.500% due 11/15/2008 (a)		3		0
6.500% due 11/15/2023 - 10/25/2043		2,563		2,693
6.872% due 06/01/2022		7		8
7.000% due 07/15/2022 - 01/15/2024		797		837
7.000% due 12/15/2023 (a)		22		1
7.112% due 10/01/2026		60		60
Ginnie Mae
3.429% due 03/20/2031		1,228		1,229
5.000% due 09/20/2035		27,669		22,884
5.125% due 12/20/2017 - 11/20/2027		332		333
5.375% due 02/20/2017 - 01/20/2028		380		381
5.500% due 03/20/2021 - 02/20/2033		1,669		1,682
5.625% due 09/20/2017 - 09/20/2026		550		557
6.000% due 08/20/2033		2,675		2,776
6.375% due 04/20/2017 - 05/20/2030		1,156		1,178
6.500% due 05/20/2032		320		327
7.000% due 03/16/2029		477		498
Overseas Private Investment Corp.
4.736% due 03/15/2022		4,095		3,931
Private Export Funding Corp.
5.000% due 12/15/2016		7,200		7,388
Small Business Administration
5.240% due 08/01/2023		5,485		5,518
Tennessee Valley Authority
4.500% due 04/01/2018		7,400		7,252
4.875% due 01/15/2048		11,700		10,988
5.375% due 04/01/2056		18,000		18,292
Total U.S. Government Agencies (Cost $707,079)				708,854
U.S. TREASURY OBLIGATIONS 4.7%
U.S. Treasury Bonds
4.375% due 02/15/2038		2,500		2,441
6.000% due 02/15/2026		2,700		3,163
8.750% due 08/15/2020		3,600		5,080
U.S. Treasury Notes
4.000% due 08/31/2009		10,000		10,194
4.250% due 08/15/2014		500		523
U.S. Treasury Strips
0.000% due 11/15/2024		2,100		980
0.000% due 05/15/2026		2,200		944
0.000% due 02/15/2032		22,500		7,527
0.000% due 08/15/2032		22,500		7,371
0.000% due 02/15/2033		38,400		12,293
Total U.S. Treasury Obligations (Cost $48,818)				50,516
MORTGAGE-BACKED SECURITIES 10.6%
American Home Mortgage Investment Trust
5.000% due 09/25/2035		5,200		4,657
Banc of America Funding Corp.
4.622% due 02/20/2036		8,183		7,759
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		6,880		6,576
4.476% due 02/25/2034		1,162		1,126
4.747% due 01/25/2034		482		462
4.750% due 10/25/2035		9,417		9,139
5.401% due 04/25/2033		563		533
6.736% due 02/25/2033		61		60
Bear Stearns Alt-A Trust
5.701% due 09/25/2035		1,602		1,323
Bear Stearns Mortgage Securities, Inc.
5.719% due 06/25/2030		32		32
Countrywide Alternative Loan Trust
2.662% due 05/25/2047		1,645		1,153
2.692% due 05/25/2035		1,461		1,111
5.500% due 10/25/2033		6,459		4,785
Countrywide Home Loan Mortgage Pass-Through Trust
2.772% due 04/25/2035		487		367
2.802% due 03/25/2035		2,473		1,918
2.822% due 06/25/2035		2,137		1,884
6.000% due 10/25/2034		5,199		4,368
CS First Boston Mortgage Securities Corp.
5.097% due 07/25/2033		1,187		1,120
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 01/25/2047		849		792
First Horizon Asset Securities, Inc.
4.384% due 12/25/2033		1,275		1,244
First Republic Mortgage Loan Trust
2.962% due 06/25/2030		200		180
GMAC Mortgage Corp. Loan Trust
4.305% due 06/25/2034		1,212		974
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		952		892
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		802		729
2.702% due 05/19/2035		1,141		866
2.722% due 03/19/2037		1,271		897
5.219% due 07/19/2035		2,370		2,336
Impac CMB Trust
2.732% due 10/25/2035		7,865		5,710
5.749% due 09/25/2034		2,875		2,637
JPMorgan Chase Commercial Mortgage Securities Corp.
5.937% due 02/12/2049		4,508		4,296
MASTR Asset Securitization Trust
5.500% due 09/25/2033		719		673
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		6,905		5,651
Residential Accredit Loans, Inc.
2.782% due 08/25/2035		1,170		908
2.882% due 01/25/2033		197		177
2.882% due 03/25/2033		534		495
6.000% due 06/25/2036		4,586		4,044
Sequoia Mortgage Trust
2.829% due 07/20/2033		1,196		1,071
Structured Adjustable Rate Mortgage Loan Trust
2.702% due 05/25/2037		4,197		3,024
Structured Asset Mortgage Investments, Inc.
2.582% due 09/25/2047		307		292
2.692% due 04/25/2036		7,153		5,065
2.702% due 05/25/2036		392		275
2.902% due 10/19/2033		287		267
Structured Asset Securities Corp.
5.369% due 01/25/2032		3		3
TBW Mortgage-Backed Pass-Through Certificates
2.582% due 09/25/2036		374		355
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		823		777
WaMu Mortgage Pass-Through Certificates
2.712% due 04/25/2045		960		756
2.742% due 11/25/2045		89		68
2.772% due 10/25/2045		1,776		1,386
2.792% due 01/25/2045		1,847		1,432
3.022% due 12/25/2027		1,406		1,284
4.338% due 12/25/2046		1,455		1,222
4.528% due 02/25/2046		2,499		1,841
4.528% due 08/25/2046		7,045		5,394
4.780% due 08/25/2046		917		755
4.928% due 06/25/2042		111		101
4.928% due 08/25/2042		65		58
4.990% due 05/25/2041		226		208
Wells Fargo Mortgage-Backed Securities Trust
5.106% due 03/25/2036		6,774		6,567
Total Mortgage-Backed Securities (Cost $132,441)				114,075
ASSET-BACKED SECURITIES 6.5%
Accredited Mortgage Loan Trust
2.532% due 02/25/2037		1,090		1,068
ACE Securities Corp.
2.532% due 07/25/2036		783		777
2.562% due 10/25/2036		594		588
Ameriquest Mortgage Securities, Inc.
2.622% due 03/25/2036		436		435
Amortizing Residential Collateral Trust
2.772% due 07/25/2032		23		19
Argent Securities, Inc.
2.532% due 09/25/2036		805		798
2.532% due 10/25/2036		1,398		1,359
Asset-Backed Securities Corp. Home Equity
2.542% due 07/25/2036		209		209
2.592% due 05/25/2036		802		799
Bear Stearns Asset-Backed Securities Trust
2.982% due 11/25/2042		1,926		1,616
3.142% due 10/25/2032		291		257
Carrington Mortgage Loan Trust
2.548% due 07/25/2036		33		33
2.802% due 10/25/2035		829		770
Chase Credit Card Master Trust
2.641% due 09/15/2011		3,900		3,894
Chase Issuance Trust
3.121% due 11/15/2011		6,900		6,918
CIT Group Home Equity Loan Trust
2.752% due 06/25/2033		40		37
Citigroup Mortgage Loan Trust, Inc.
2.552% due 08/25/2036		56		56
Countrywide Asset-Backed Certificates
2.512% due 01/25/2046		827		821
2.532% due 01/25/2037		82		81
2.532% due 03/25/2037		1,891		1,846
2.592% due 10/25/2046		348		342
2.642% due 02/25/2036		339		318
2.642% due 11/25/2036		189		185
2.692% due 10/25/2035		45		45
Credit-Based Asset Servicing & Securitization LLC
2.542% due 11/25/2036		346		337
2.572% due 12/25/2037		671		645
CS First Boston Mortgage Securities Corp.
2.732% due 01/25/2043		403		394
First Franklin Mortgage Loan Asset-Backed Certificates
2.532% due 11/25/2036		871		837
2.532% due 03/25/2037		3,014		2,888
First USA Credit Card Master Trust
2.641% due 04/18/2011		5,800		5,800
Ford Credit Auto Owner Trust
3.891% due 06/15/2012		7,000		7,072
Fremont Home Loan Trust
2.542% due 01/25/2037		1,226		1,159
GSAMP Trust
2.602% due 12/25/2035		84		83
GSR Mortgage Loan Trust
2.582% due 11/25/2030		66		65
GSRPM Mortgage Loan Trust
2.602% due 03/25/2035		377		353
Home Equity Mortgage Trust
2.662% due 05/25/2036		8,309		6,915
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		7,651		7,335
Indymac Residential Asset-Backed Trust
2.632% due 03/25/2036		3,639		3,588
LA Arena Funding LLC
7.656% due 12/15/2026		83		82
Long Beach Mortgage Loan Trust
2.542% due 10/25/2036		884		863
MASTR Asset-Backed Securities Trust
2.542% due 10/25/2036		61		60
Morgan Stanley ABS Capital I
2.582% due 04/25/2036		1,603		1,584
Residential Asset Securities Corp.
2.552% due 07/25/2036		75		75
2.552% due 11/25/2036		582		571
SACO I, Inc.
2.862% due 11/25/2035		1,924		1,454
Soundview Home Equity Loan Trust
2.532% due 10/25/2036		221		218
2.542% due 11/25/2036		923		901
Structured Asset Securities Corp.
2.532% due 10/25/2036		946		924
2.592% due 04/25/2036		1,067		1,050
Washington Mutual Asset-Backed Certificates
2.542% due 10/25/2036		1,312		1,244
Total Asset-Backed Securities (Cost $72,949)				69,768
SOVEREIGN ISSUES 1.6%
Israel Government AID Bond
0.000% due 05/15/2021		7,277		3,898
0.000% due 02/15/2023		3,193		1,554
0.000% due 05/15/2023		25,571		12,288
Total Sovereign Issues (Cost $18,059)				17,740
SHORT-TERM INSTRUMENTS 2.2%
Commercial Paper 1.3%
Federal Home Loan Bank
2.000% due 07/01/2008		14,400		14,400
Repurchase Agreements 0.9%
Fixed Income Clearing Corp.
1.650% due 07/01/2008 (Dated 06/30/2008. Collateralized by Freddie Mac 0.000% due 12/15/2008 valued at $9,944. Repurchase proceeds are $9,748.)		9,748		9,748
U.S. Treasury Bills 0.0%
1.835% due 09/11/2008 (c)		250		249
Total Short-Term Instruments (Cost $24,397)				24,397
Purchased Options (f) 0.1% (Cost $2,450)				924
Total Investments 108.9% (Cost $1,202,483)			$	1,177,294
Written Options (g) (0.1%) (Premiums $2,517)				(1,493	)
Other Assets and Liabilities (Net) (8.8%)				(94,887	)
Net Assets 100.0%			$	1,080,914

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

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

(a) Interest only security.

(b) Principal only security.

(c) Securities with an aggregate market value of $249 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) Cash of $19,308 have been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2009	27	$	(10	)
90-Day Eurodollar March Futures	Long	03/2009	27		(10	)
90-Day Eurodollar March Futures	Short	03/2010	25		3
U.S. Treasury 5-Year Note September Futures	Long	09/2008	472		(239	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	500		676
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	3,331		5,202
				$	5,622

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.150	%)	03/20/2011	CSFB	$	2,800	$	11
Bank of America Corp. 6.250% due 04/15/2012	Sell	0.900	%	03/20/2013	BNP		25,000		(158	)
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	MLP		5,000		307
BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014	LEH		6,000		20
California State General Obligation Notes, Series 2005 5.000% due 03/01/2018	Sell	0.670	%	03/20/2018	GSC		25,000		301
Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	06/20/2016	BEAR		5,000		401
Gannett Co., Inc. 5.750% due 06/01/2011	Buy	(0.330	%)	06/20/2011	JPM		2,350		150
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.830	%	12/20/2009	GSC		600		(3	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.850	%	12/20/2009	BOA		1,400		(7	)
HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.250% due 01/15/2014	Buy	(0.165	%)	12/20/2013	BNP		5,000		359
HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.430% due 06/01/2016	Buy	(0.220	%)	06/20/2016	BEAR		3,000		95
International Lease Finance Corp. 5.250% due 01/10/2013	Buy	(0.200	%)	03/20/2013	GSC		2,900		323
Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.240	%)	03/20/2011	BEAR		4,000		71
Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011	RBS		2,000		47
Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016	BEAR		3,000		34
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.340	%)	12/20/2016	LEH		5,000		490
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016	RBS		4,400		437
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.275	%)	12/20/2015	RBS		3,000		287
Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.390	%)	06/20/2016	MSC		1,500		27
Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.280	%)	06/20/2012	MSC		900		11
Textron Financial Corp. 4.600% due 05/03/2010	Buy	(0.110	%)	06/20/2010	BEAR		3,000		25
Wells Fargo Bank N.A. 4.750% due 02/09/2015	Buy	(0.140	%)	03/20/2015	GSC		5,000		285
								$	3,513

⁽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 reference entity. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH	$	6,200	$	(47	)
Pay	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		14,300		225
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		21,200		416
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		5,300		(193	)
								$	401

(f) Purchased options outstanding on June 30, 2008:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	23,800	$	270	$	113
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		14,600		156		68
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		9,800		104		45
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		19,700		198		91
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		74,400		654		198
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		51,000		551		149
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		33,600		359		156
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		14,900		158		104
									$	2,450	$	924

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009	$	8,000	$	257	$	173
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		3,200		80		45
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		2,400		78		47
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		3,300		109		65
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		6,600		212		129
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		24,900		621		325
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		17,000		513		229
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		11,200		364		219
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		5,000		153		115
Call - OTC 7-Year Interest Rate Swap	UBS	3-Month USD-LIBOR	Receive	5.420	%	08/28/2009		2,200		65		110
Put - OTC 7-Year Interest Rate Swap	UBS	3-Month USD-LIBOR	Pay	5.420	%	08/28/2009		2,200		65		36
									$	2,517	$	1,493

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	07/01/2038	$	104,000	$	103,049	$	102,521
Fannie Mae	6.000	%	07/01/2038		36,120		36,480		36,442
U.S. Treasury Bonds	4.375	%	02/15/2038		2,300		2,175		2,288
						$	141,704	$	141,251

⁽²⁾ Market value includes $42 of interest payable on short sales.

(i) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	1,168,986		$	8,308	$	1,177,294
Other Financial Instruments++		5,622		(138,788	)		0		(133,166	)
Total	$	5,622	$	1,030,198		$	8,308	$	1,044,128

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	8,631	$	(83	)	$	0	$	(240	)	$	0	$	8,308
Other Financial Instruments++		0		0			0		0			0		0
Total	$	8,631	$	(83	)	$	0	$	(240	)	$	0	$	8,308

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

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

See Accompanying Notes

Schedule of Investments

Low Duration Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.6%
Daimler Finance North America LLC
6.780% due 08/03/2012	$	47,640	$	39,458
Idearc, Inc.
4.390% due 11/17/2014		1,563		1,255
4.800% due 11/17/2014		35,102		28,169
Total Bank Loan Obligations (Cost $82,345)				68,882
CORPORATE BONDS & NOTES 34.2%
Banking & Finance 28.9%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		14,400		14,365
American Express Bank FSB
2.542% due 10/20/2009		23,800		23,497
5.500% due 04/16/2013		20,600		20,171
American Express Credit Corp.
2.508% due 11/09/2009		32,600		31,838
American Honda Finance Corp.
2.774% due 08/05/2008		18,670		18,668
ANZ National International Ltd.
2.798% due 08/07/2009		5,700		5,690
Bank of America Corp.
2.904% due 11/06/2009		3,200		3,171
2.921% due 09/25/2009		61,900		61,623
8.000% due 12/29/2049		188,900		177,422
8.125% due 12/29/2049		2,200		2,082
Bank of America N.A.
2.786% due 06/12/2009		12,000		11,973
Bank of Ireland
2.819% due 12/19/2008		4,100		4,099
Bank of New York Mellon Corp.
3.184% due 02/05/2010		63,300		63,289
Bear Stearns Cos., Inc.
2.768% due 08/21/2009		9,200		9,096
2.839% due 05/18/2010		64,800		63,281
2.891% due 03/30/2009		22,600		22,407
3.218% due 07/19/2010		32,030		31,426
4.500% due 10/28/2010		2,000		1,976
6.400% due 10/02/2017		59,100		58,583
6.950% due 08/10/2012		64,890		67,555
Calabash Re Ltd.
11.214% due 01/08/2010		4,700		4,699
13.714% due 01/08/2010		4,500		4,621
Capital One Financial Corp.
2.976% due 09/10/2009		100,770		94,039
Caterpillar Financial Services Corp.
2.977% due 10/28/2008		1,800		1,800
CIT Group, Inc.
2.787% due 06/08/2009		1,350		1,249
2.826% due 08/15/2008		2,000		1,998
2.839% due 08/17/2009		48,100		43,794
2.959% due 12/19/2008		31,200		30,872
Citigroup Funding, Inc.
2.481% due 04/23/2009		76,520		75,528
2.667% due 12/08/2008		23,100		22,924
2.809% due 06/26/2009		17,975		17,730
Citigroup, Inc.
2.831% due 12/28/2009		22,100		21,564
5.100% due 09/29/2011		1,500		1,484
5.500% due 04/11/2013		48,200		47,110
8.400% due 04/29/2049		1,900		1,809
Countrywide Financial Corp.
2.868% due 01/05/2009		13,000		12,747
Credit Agricole S.A.
2.646% due 05/28/2009		17,600		17,526
2.694% due 05/28/2010		24,400		24,157
DnB NOR Bank ASA
2.780% due 10/13/2009		18,900		18,913
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (a)		6,018		301
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		2,500		2,134
5.800% due 01/12/2009		3,600		3,438
7.250% due 10/25/2011		900		698
7.375% due 10/28/2009		13,000		11,845
7.375% due 02/01/2011		600		487
7.875% due 06/15/2010		1,700		1,468
8.625% due 11/01/2010		1,000		849
General Electric Capital Corp.
2.768% due 01/05/2009		4,900		4,899
2.788% due 10/06/2010		10,300		10,227
2.816% due 03/16/2009		2,600		2,601
2.816% due 03/12/2010		35,400		35,234
2.888% due 01/20/2010		39,800		39,655
2.932% due 06/20/2014		10,000		9,453
3.323% due 02/01/2011		24,300		24,295
GMAC LLC
6.000% due 12/15/2011		3,500		2,411
Goldman Sachs Group, Inc.
2.806% due 11/10/2008		31,800		31,730
2.851% due 03/30/2009		20,800		20,676
2.891% due 12/22/2008		36,400		35,541
2.891% due 06/23/2009		14,200		14,055
3.012% due 07/29/2008		21,600		21,593
3.250% due 07/23/2009		600		596
HSBC Bank USA N.A.
2.836% due 06/10/2009		9,200		9,158
HSBC Capital Funding LP
9.547% due 12/29/2049		20,046		20,974
HSBC Finance Capital Trust IX
5.911% due 11/30/2035		1,100		884
HSBC Finance Corp.
2.906% due 09/15/2008		16,600		16,592
8.000% due 07/15/2010		12,000		12,557
ICICI Bank Ltd.
3.250% due 01/12/2010		32,200		31,233
International Lease Finance Corp.
2.858% due 05/24/2010		8,950		8,377
John Deere Capital Corp.
4.500% due 08/25/2008		900		902
JPMorgan Chase & Co.
2.859% due 06/26/2009		1,000		999
KeyBank N.A.
4.682% due 06/02/2010		42,400		42,261
Lehman Brothers Holdings, Inc.
2.774% due 04/03/2009		10,900		10,584
2.778% due 08/21/2009		43,100		42,290
2.778% due 05/25/2010		1,400		1,297
2.966% due 11/10/2009		15,000		14,302
2.998% due 10/22/2008		29,970		29,859
5.625% due 01/24/2013		5,300		5,023
Longpoint Re Ltd.
8.064% due 05/08/2010		8,500		8,501
Merrill Lynch & Co., Inc.
2.756% due 12/04/2009		21,000		20,137
2.768% due 08/14/2009		23,000		22,276
2.960% due 10/23/2008		25,500		25,351
3.120% due 07/25/2011		32,700		29,852
4.495% due 05/20/2009		110,400		109,697
Metropolitan Life Global Funding I
5.125% due 04/10/2013		123,100		121,392
Morgan Stanley
2.521% due 11/21/2008		16,460		16,388
2.803% due 01/15/2010		30,900		29,896
2.844% due 02/09/2009		33,200		32,897
4.778% due 05/14/2010		28,500		28,405
Mystic Re Ltd.
8.982% due 12/05/2008		26,900		26,332
12.682% due 06/07/2011		6,400		6,548
National Australia Bank Ltd.
2.731% due 09/11/2009		23,500		23,487
3.208% due 02/08/2010		109,600		109,627
Osiris Capital PLC
5.563% due 01/15/2010		11,000		10,924
Pacific Life Global Funding
5.150% due 04/15/2013		81,100		80,314
Phoenix Quake Ltd.
5.134% due 07/03/2008		6,500		6,500
Phoenix Quake Wind Ltd.
5.134% due 07/03/2008		6,400		6,400
Phoenix Quake Wind II Ltd.
6.184% due 07/03/2008		3,000		3,000
PNC Bank N.A.
3.323% due 02/01/2010		73,400		73,313
Pricoa Global Funding I
2.741% due 03/03/2009		22,000		21,982
2.866% due 09/12/2008		10,000		9,998
2.999% due 01/30/2012		18,300		17,888
3.008% due 09/27/2013		14,770		14,401
Regions Financial Corp.
4.500% due 08/08/2008		19,318		19,342
Residential Reinsurance 2007 Ltd.
12.932% due 06/07/2010		1,800		1,806
Royal Bank of Scotland Group PLC
2.868% due 07/21/2008		49,100		49,085
9.118% due 03/31/2049		37,207		37,512
Santander U.S. Debt S.A. Unipersonal
2.683% due 11/20/2008		4,700		4,689
2.844% due 02/06/2009		200		199
SLM Corp.
3.060% due 07/27/2009		16,200		15,192
3.080% due 07/26/2010		5,200		4,617
U.S. Bancorp
3.184% due 02/04/2010		37,820		37,831
VTB Capital S.A.
3.384% due 08/01/2008		20,500		20,321
Wachovia Bank N.A.
2.841% due 03/23/2009		17,850		17,776
Wachovia Corp.
2.732% due 12/01/2009		25,600		25,067
2.949% due 10/28/2008		21,900		21,449
5.500% due 05/01/2013		70,000		67,095
7.980% due 12/31/2049		182,500		168,092
Wells Fargo & Co.
2.810% due 01/12/2011		6,600		6,515
3.342% due 01/29/2010		70,100		70,051
				3,080,399
Industrials 2.5%
AIG SunAmerica Global Financing VI
6.300% due 05/10/2011		112,618		114,474
Anadarko Petroleum Corp.
3.176% due 09/15/2009		6,800		6,724
Cisco Systems, Inc.
2.738% due 02/20/2009		2,400		2,399
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		7,000		7,534
Daimler Finance North America LLC
3.138% due 03/13/2009		28,600		28,518
3.234% due 08/03/2009		23,000		22,816
El Paso Corp.
7.625% due 09/01/2008		1,075		1,085
General Mills, Inc.
3.038% due 01/22/2010		17,700		17,482
Pemex Project Funding Master Trust
9.375% due 12/02/2008		4,492		4,604
Time Warner, Inc.
2.915% due 11/13/2009		17,400		16,915
Transocean, Inc.
2.873% due 09/05/2008		23,000		22,971
Wal-Mart Stores, Inc.
4.250% due 04/15/2013		25,100		24,997
				270,519
Utilities 2.8%
Ameritech Capital Funding Corp.
6.250% due 05/18/2009		49,800		50,513
AT&T, Inc.
2.884% due 02/05/2010		11,700		11,652
BellSouth Corp.
2.776% due 08/15/2008		38,950		38,926
Deutsche Telekom International Finance BV
2.981% due 03/23/2009		22,435		22,285
Pacific Gas & Electric Co.
4.200% due 03/01/2011		5,000		4,963
Public Service Electric & Gas Co.
3.661% due 03/12/2010		51,300		50,812
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		31,600		31,679
Southern California Edison Co.
2.950% due 02/02/2009		20,470		20,339
Telecom Italia Capital S.A.
3.344% due 07/18/2011		24,000		22,887
Telefonica Emisones SAU
3.102% due 06/19/2009		33,000		32,822
Verizon Communications, Inc.
6.100% due 04/15/2018		10,000		9,956
				296,834
Total Corporate Bonds & Notes (Cost $3,717,742)				3,647,752
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		28,000		27,810
Total Commodity Index-Linked Notes (Cost $28,000)				27,810
U.S. GOVERNMENT AGENCIES 36.4%
Fannie Mae
0.950% due 03/25/2009 (b)		130		0
2.542% due 12/25/2036		10,030		9,693
2.682% due 10/27/2037		107,300		102,651
2.832% due 03/25/2044		846		827
2.882% due 05/25/2031 - 06/25/2032		3,001		2,969
3.082% due 05/25/2030		685		680
3.100% due 04/25/2022		16		16
3.132% due 05/25/2030		685		677
4.000% due 05/01/2011		209		208
4.250% due 05/25/2033		9,052		8,898
4.500% due 06/01/2011 - 08/01/2035		4,537		4,576
4.506% due 09/01/2035		9,856		9,911
4.530% due 06/01/2017		14		14
4.566% due 03/01/2035		1,734		1,746
4.619% due 07/01/2035		11,225		11,317
4.646% due 07/01/2035		13,612		13,783
4.659% due 01/01/2035		15,528		15,713
4.673% due 05/01/2035		9,326		9,405
4.674% due 04/01/2034		1,862		1,867
4.750% due 03/01/2035		18,650		18,661
4.810% due 08/01/2017 - 02/01/2028		106		106
4.811% due 12/01/2017		25		25
4.923% due 10/01/2035		7,686		7,796
4.994% due 07/01/2042 - 07/01/2044		13,547		13,545
5.000% due 12/01/2013 - 07/01/2038		1,108,592		1,103,472
5.038% due 06/01/2035		4,248		4,286
5.044% due 09/01/2041		21,140		21,065
5.194% due 10/01/2030 - 11/01/2039		1,969		1,968
5.248% due 11/01/2017		35		35
5.365% due 09/01/2032		1,987		1,991
5.450% due 04/01/2018		855		859
5.452% due 03/01/2035		5,264		5,378
5.457% due 06/01/2022		8		8
5.500% due 10/01/2008 - 07/01/2038		330,960		329,226
5.611% due 07/01/2017		52		52
5.625% due 07/01/2017		44		44
5.786% due 01/01/2021		35		35
6.000% due 03/01/2009 - 07/01/2038		875,673		885,657
6.046% due 01/01/2024		152		154
6.162% due 04/01/2024		233		235
6.192% due 11/01/2017		60		60
6.259% due 08/01/2029		865		872
6.268% due 07/25/2017		474		481
6.295% due 11/01/2018		4		4
6.372% due 01/01/2024		10		11
6.436% due 10/01/2024		183		185
6.500% due 03/25/2009 (b)		32		1
6.500% due 08/01/2029 - 12/25/2042		115,043		119,394
6.962% due 02/01/2028		294		297
6.972% due 11/01/2027		97		98
7.000% due 05/01/2012 - 01/01/2032		955		960
7.257% due 07/01/2023		91		92
7.500% due 02/01/2013		3		3
8.000% due 04/01/2030 - 11/01/2031		3,095		3,349
8.500% due 02/01/2017 - 04/01/2025		147		162
8.800% due 01/25/2019		95		105
9.000% due 03/25/2021 - 01/01/2025		344		385
9.250% due 10/25/2018		6		6
9.500% due 03/25/2020 - 11/01/2025		753		832
10.000% due 10/01/2009 - 05/01/2022		27		29
10.500% due 07/01/2014 - 07/01/2021		3		3
11.000% due 11/01/2020		4		5
11.250% due 10/01/2015		7		7
11.500% due 11/01/2019 - 02/01/2020		2		2
11.750% due 02/01/2016		9		11
13.000% due 07/01/2015		3		3
13.250% due 09/01/2011		2		2
15.500% due 10/01/2012 - 12/01/2012		1		1
15.750% due 12/01/2011		2		2
16.000% due 09/01/2012 - 12/01/2012		1		2
Federal Housing Administration
4.918% due 11/01/2019		33		33
7.430% due 10/01/2020 - 11/01/2025		4,703		4,712
Freddie Mac
2.621% due 07/15/2019 - 10/15/2020		308,581		302,544
2.701% due 02/15/2019		103,195		101,174
2.742% due 08/25/2031		4,139		4,027
2.762% due 09/25/2031		6,907		6,827
2.771% due 05/15/2036		16,507		16,229
2.821% due 12/15/2030		13,488		13,328
2.871% due 06/15/2018		4,339		4,304
2.921% due 11/15/2030		11		11
3.450% due 10/15/2020		60		60
3.500% due 03/15/2021		32		33
4.000% due 09/15/2015		174		174
4.000% due 01/15/2024 (b)		3,684		681
4.470% due 03/01/2035		5,586		5,603
4.500% due 02/15/2015 - 06/01/2018		43,876		44,031
4.599% due 04/01/2035		13,320		13,417
4.627% due 04/01/2035		9,906		9,996
4.690% due 06/01/2035		48,791		48,699
4.704% due 08/01/2035		84,203		84,990
4.732% due 03/01/2035		9,882		9,964
4.803% due 08/01/2035		18,434		18,630
4.864% due 04/01/2035		2,258		2,280
4.908% due 07/01/2035		22,612		22,816
4.967% due 03/01/2035		2,374		2,389
5.000% due 04/01/2013 - 07/15/2024		57,475		57,932
5.049% due 04/01/2035		4,437		4,503
5.082% due 08/15/2032		797		797
5.194% due 07/25/2044		789		739
5.250% due 01/01/2017		5		5
5.500% due 02/15/2014 - 07/15/2034		21,279		21,576
6.000% due 03/01/2011 - 07/01/2038		34,240		34,778
6.364% due 02/01/2020		295		297
6.365% due 01/01/2024		99		100
6.373% due 11/01/2022		278		281
6.500% due 03/15/2029 - 07/25/2043		58,615		60,820
6.710% due 01/01/2024		108		109
6.714% due 06/01/2024		69		69
6.782% due 10/01/2027		29		30
7.000% due 01/01/2030 - 04/01/2032		73		77
7.046% due 11/01/2023		35		35
7.065% due 07/01/2018		55		56
7.117% due 10/01/2023		129		129
7.130% due 12/01/2022		45		45
7.152% due 09/01/2023		21		21
7.500% due 07/15/2030		591		599
8.000% due 01/01/2012 - 12/01/2024		327		347
8.500% due 06/01/2009 - 11/01/2025		848		939
9.000% due 12/15/2020 - 08/01/2022		311		328
9.500% due 07/01/2010 - 09/01/2021		103		110
9.750% due 11/01/2008		2		2
10.000% due 03/01/2016 - 05/15/2020		47		51
10.750% due 09/01/2009 - 08/01/2011		6		6
14.000% due 09/01/2012 - 04/01/2016		1		2
15.000% due 08/01/2011 - 12/01/2011		1		1
Ginnie Mae
3.021% due 12/16/2025		150		149
5.000% due 01/20/2032 - 02/20/2032		4,521		4,526
5.125% due 10/20/2023 - 12/20/2027		3,051		3,065
5.375% due 03/20/2017 - 03/20/2027		4,199		4,219
5.500% due 03/20/2019 - 03/20/2031		245		247
5.625% due 08/20/2022 - 07/20/2030		4,065		4,110
6.000% due 01/15/2029 - 07/01/2038		194,938		197,894
6.375% due 04/20/2016 - 05/20/2030		2,317		2,361
6.500% due 09/15/2032 - 05/15/2034		47		49
7.000% due 03/15/2011 - 10/15/2011		15		15
7.500% due 03/15/2022 - 09/15/2031		210		226
8.000% due 05/15/2016 - 06/20/2031		2,195		2,388
8.500% due 12/15/2021 - 08/15/2030		71		78
9.000% due 03/15/2017 - 11/15/2030		276		305
9.500% due 10/15/2016 - 06/15/2025		25		28
9.750% due 08/15/2017		20		22
10.000% due 10/15/2013 - 11/15/2020		6		6
10.500% due 11/15/2019 - 02/15/2021		1		1
11.000% due 09/15/2010		0		1
11.500% due 08/15/2018		4		4
11.750% due 08/15/2013		3		4
12.000% due 06/20/2015		1		1
13.000% due 10/15/2013		3		4
13.500% due 11/15/2012		4		5
16.000% due 02/15/2012		6		6
Small Business Administration
7.640% due 03/10/2010		164		169
Vendee Mortgage Trust
6.500% due 05/15/2029		40,678		43,022
Total U.S. Government Agencies (Cost $3,897,100)				3,881,554
U.S. TREASURY OBLIGATIONS 0.0%
U.S. Treasury Notes
3.375% due 12/15/2008		3,000		3,020
Total U.S. Treasury Obligations (Cost $3,025)				3,020
MORTGAGE-BACKED SECURITIES 13.4%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		49,826		43,763
4.390% due 02/25/2045		13,803		12,352
4.440% due 02/25/2045		48,329		43,245
Banc of America Funding Corp.
4.110% due 05/25/2035		251,284		235,087
Banc of America Mortgage Securities, Inc.
5.185% due 05/25/2033		394		377
6.500% due 10/25/2031		6,584		6,607
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		15,039		14,374
4.625% due 10/25/2035		55,692		53,523
4.747% due 01/25/2034		14,127		13,562
4.750% due 10/25/2035		157,281		151,845
5.033% due 04/25/2033		9,529		9,194
5.425% due 04/25/2033		24,655		23,296
5.519% due 11/25/2030		125		120
5.615% due 02/25/2033		1,967		1,849
6.736% due 02/25/2033		1,122		1,105
Bear Stearns Alt-A Trust
5.232% due 03/25/2035		30,591		25,479
5.372% due 05/25/2035		31,169		26,732
5.701% due 09/25/2035		8,386		6,922
Bear Stearns Mortgage Funding Trust
2.552% due 02/25/2037		29,504		26,175
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		2,048		2,030
5.674% due 01/26/2036		17,159		14,280
Citicorp Mortgage Securities, Inc.
5.375% due 12/25/2019		9		8
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		2,960		2,956
Countrywide Alternative Loan Trust
2.662% due 05/25/2047		13,159		9,225
2.762% due 02/25/2037		14,050		10,261
6.500% due 06/25/2033		699		699
Countrywide Home Loan Mortgage Pass-Through Trust
2.772% due 04/25/2035		4,348		3,265
4.720% due 02/20/2035		28,670		28,014
4.799% due 11/25/2034		16,436		15,807
5.250% due 02/20/2036		28,423		22,708
CS First Boston Mortgage Securities Corp.
3.326% due 03/25/2032		2,690		2,436
4.938% due 12/15/2040		12,279		12,298
5.785% due 06/25/2032		63		62
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.562% due 03/25/2037		8,087		7,742
DLJ Acceptance Trust
11.000% due 08/01/2019		64		67
DLJ Commercial Mortgage Corp.
7.300% due 06/10/2032		177		180
Drexel Burnham Lambert CMO Trust
3.209% due 05/01/2016		3		3
First Horizon Alternative Mortgage Securities
4.733% due 06/25/2034		18,146		15,881
First Horizon Asset Securities, Inc.
4.464% due 07/25/2033		7,442		7,309
GMAC Mortgage Securities Inc.
7.430% due 12/01/2021		91		91
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		17,476		15,371
2.562% due 01/25/2047		19,001		18,033
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		9,902		9,274
GSR Mortgage Loan Trust
4.539% due 09/25/2035		94,756		91,908
4.689% due 09/25/2035		10,944		10,809
6.000% due 03/25/2032		894		894
Harborview Mortgage Loan Trust
5.145% due 07/19/2035		13,600		12,565
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		7,928		7,409
Imperial Savings Association
6.503% due 02/25/2018		38		37
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		11,438		10,665
JPMorgan Mortgage Trust
5.020% due 02/25/2035		22,934		21,658
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		16,349		16,403
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		3,118		2,968
MASTR Adjustable Rate Mortgages Trust
3.786% due 11/21/2034		11,819		11,346
3.788% due 11/21/2034		12,732		12,579
MASTR Asset Securitization Trust
5.500% due 09/25/2033		25,045		23,472
Mellon Residential Funding Corp.
2.994% due 06/15/2030		20,166		19,044
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		14,077		11,323
4.490% due 02/25/2035		31,199		30,200
5.848% due 05/25/2033		12,848		12,495
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		2,545		2,300
4.250% due 10/25/2035		14,971		14,324
Morgan Stanley Capital I
2.542% due 10/15/2020		5,750		5,374
Prime Mortgage Trust
2.882% due 02/25/2019		1,264		1,197
2.882% due 02/25/2034		6,621		6,020
Prudential-Bache CMO Trust
8.400% due 03/20/2021		185		185
RAAC Series 2005-SP1
5.000% due 09/25/2034		1,706		1,673
Resecuritization Mortgage Trust
2.732% due 04/26/2021		34		34
Salomon Brothers Mortgage Securities VII, Inc.
8.000% due 09/25/2030		19		19
Sears Mortgage Securities
12.000% due 02/25/2014		7		7
Structured Asset Mortgage Investments, Inc.
2.732% due 07/19/2035		6,927		5,306
2.762% due 02/25/2036		7,120		5,450
2.812% due 09/19/2032		6,299		5,741
9.455% due 06/25/2029		577		614
Structured Asset Securities Corp.
5.369% due 01/25/2032		154		152
5.820% due 07/25/2032		122		110
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		17,391		16,648
Wachovia Bank Commercial Mortgage Trust
2.551% due 06/15/2020		32,261		29,869
2.561% due 09/15/2021		16,331		15,411
WaMu Mortgage Pass-Through Certificates
2.772% due 10/25/2045		6,324		4,936
2.792% due 01/25/2045		416		322
4.229% due 03/25/2034		5,889		5,767
4.258% due 01/25/2047		10,058		7,591
4.338% due 12/25/2046		45,840		38,490
4.361% due 02/27/2034		11,732		10,907
4.728% due 11/25/2042		2,347		2,170
4.928% due 06/25/2042		4,117		3,737
4.928% due 08/25/2042		3,206		2,876
5.028% due 09/25/2046		16,265		12,697
Washington Mutual MSC Mortgage Pass-Through Certificates
6.574% due 02/25/2033		303		302
6.792% due 02/25/2033		91		88
Wells Fargo Mortgage-Backed Securities Trust
4.705% due 12/25/2033		6,662		6,301
4.950% due 03/25/2036		31,839		30,681
5.388% due 08/25/2035		7,594		7,468
Total Mortgage-Backed Securities (Cost $1,544,683)				1,434,149
ASSET-BACKED SECURITIES 8.8%
ACE Securities Corp.
2.532% due 12/25/2036		5,702		5,468
Amortizing Residential Collateral Trust
2.772% due 07/25/2032		744		622
Argent Securities, Inc.
2.532% due 09/25/2036		5,049		5,004
Asset-Backed Funding Certificates
2.542% due 10/25/2036		4,711		4,671
2.542% due 01/25/2037		8,870		8,607
Asset-Backed Securities Corp. Home Equity
2.532% due 12/25/2036		2,180		2,109
2.991% due 06/15/2031		7		6
BA Credit Card Trust
3.051% due 04/15/2013		14,900		14,881
3.221% due 08/15/2011		82,800		83,041
Bear Stearns Asset-Backed Securities Trust
2.542% due 01/25/2037		4,347		4,152
2.562% due 10/25/2036		6,336		6,100
2.932% due 03/25/2043		4,575		4,507
3.482% due 10/25/2037		33,976		28,085
Carrington Mortgage Loan Trust
2.582% due 06/25/2037		1,489		1,433
2.802% due 10/25/2035		16,331		15,173
Chase Funding Mortgage Loan Asset-Backed Certificates
3.122% due 11/25/2031		1,381		1,362
Chase Issuance Trust
2.461% due 07/15/2011		1,300		1,296
2.481% due 02/15/2011		2,300		2,297
CIT Group Home Equity Loan Trust
2.752% due 06/25/2033		810		743
Citibank Credit Card Issuance Trust
3.361% due 05/18/2011		85,700		86,094
Citigroup Mortgage Loan Trust, Inc.
2.582% due 10/25/2036		16,595		15,469
Community Program Loan Trust
4.500% due 10/01/2018		3,782		3,742
Countrywide Asset-Backed Certificates
2.532% due 05/25/2037		10,215		9,864
2.532% due 12/25/2046		3,843		3,789
2.532% due 03/25/2047		8,768		8,653
Credit-Based Asset Servicing & Securitization LLC
2.572% due 12/25/2037		2,394		2,301
Daimler Chrysler Auto Trust
3.298% due 10/08/2010		41,000		41,072
4.980% due 02/08/2011		15,840		15,997
Equity One Asset-Backed Securities, Inc.
3.042% due 11/25/2032		10,292		9,011
First Franklin Mortgage Loan Asset-Backed Certificates
2.532% due 11/25/2036		32,071		30,819
2.532% due 12/25/2036		2,465		2,401
2.542% due 06/25/2036		5,223		5,121
Ford Credit Auto Owner Trust
3.071% due 07/15/2010		32,900		32,937
3.371% due 01/15/2011		94,200		94,489
3.891% due 06/15/2012		57,600		58,197
4.360% due 06/15/2010		4,050		4,073
Fremont Home Loan Trust
2.542% due 01/25/2037		9,926		9,385
2.552% due 02/25/2037		4,589		4,494
2.582% due 05/25/2036		8,842		8,651
GSAMP Trust
2.522% due 10/25/2046		7,216		7,051
2.552% due 09/25/2036		4,339		4,268
2.552% due 12/25/2036		16,137		15,643
HFC Home Equity Loan Asset-Backed Certificates
2.749% due 01/20/2035		3,238		3,005
2.769% due 01/20/2034		16,604		14,714
2.829% due 09/20/2033		7,789		7,311
HSI Asset Securitization Corp. Trust
2.532% due 10/25/2036		1,261		1,221
2.532% due 12/25/2036		8,760		8,398
Indymac Residential Asset-Backed Trust
2.542% due 04/25/2037		7,542		7,458
JPMorgan Mortgage Acquisition Corp.
2.532% due 07/25/2036		3,311		3,219
2.532% due 08/25/2036		5,131		5,051
2.552% due 11/25/2036		3,939		3,814
Lehman XS Trust
2.552% due 05/25/2046		3,440		3,301
Long Beach Mortgage Loan Trust
2.522% due 11/25/2036		8,231		7,991
2.542% due 10/25/2036		3,966		3,872
2.762% due 10/25/2034		589		489
MASTR Asset-Backed Securities Trust
2.522% due 08/25/2036		6,871		6,761
Morgan Stanley ABS Capital I
2.522% due 10/25/2036		5,819		5,730
2.522% due 01/25/2037		12,523		12,119
2.532% due 10/25/2036		5,063		4,888
Morgan Stanley IXIS Real Estate Capital Trust
2.532% due 11/25/2036		2,179		2,149
Option One Mortgage Loan Trust
2.532% due 01/25/2037		14,474		14,123
Renaissance Home Equity Loan Trust
3.182% due 08/25/2032		40		35
Residential Asset Mortgage Products, Inc.
2.552% due 11/25/2036		3,651		3,594
Residential Asset Securities Corp.
2.522% due 08/25/2036		3,113		3,097
2.552% due 11/25/2036		18,442		18,184
2.942% due 06/25/2031		4		3
Saxon Asset Securities Trust
2.542% due 10/25/2046		4,096		4,006
Securitized Asset-Backed Receivables LLC Trust
2.532% due 09/25/2036		4,137		4,054
2.542% due 12/25/2036		14,299		13,410
2.612% due 05/25/2037		3,626		3,366
SLM Student Loan Trust
2.982% due 10/25/2017 (c)		7,300		7,295
3.170% due 07/25/2013		13,737		13,714
3.220% due 01/25/2015		6,244		6,222
3.420% due 10/25/2017		40,400		39,833
Soundview Home Equity Loan Trust
2.542% due 11/25/2036		7,652		7,474
Specialty Underwriting & Residential Finance
2.528% due 11/25/2037		2,901		2,799
2.542% due 01/25/2038		9,420		9,221
Structured Asset Securities Corp.
2.532% due 10/25/2036		14,344		14,009
2.772% due 01/25/2033		754		640
4.930% due 01/25/2035		850		816
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		6,546		6,396
WMC Mortgage Loan Pass-Through Certificates
3.151% due 05/15/2030		226		225
Total Asset-Backed Securities (Cost $954,944)				937,085
SOVEREIGN ISSUES 0.0%
Export-Import Bank of Korea
2.920% due 10/04/2011		1,000		1,003
Korea Development Bank
2.938% due 11/22/2012		2,200		2,096
Total Sovereign Issues (Cost $3,203)				3,099
FOREIGN CURRENCY-DENOMINATED ISSUES 0.7%
Countrywide Home Loans, Inc.
5.305% due 11/24/2008	EUR	20,000		30,869
Morgan Stanley
5.190% due 03/01/2013		25,300		36,301
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	1,300,000		12,150
Total Foreign Currency-Denominated Issues (Cost $76,494)				79,320
	Shares
CONVERTIBLE PREFERRED STOCKS 0.6%
Bank of America Corp.
7.250% due 12/31/2049		63,000		55,692
Wachovia Corp.
7.500% due 12/31/2049		6,000		5,312
Total Convertible Preferred Stocks (Cost $69,000)				61,004
PREFERRED STOCKS 1.0%
DG Funding Trust
5.041% due 12/31/2049		10,254		102,316
Total Preferred Stocks (Cost $108,094)				102,316
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 7.3%
Certificates of Deposit 0.2%
Bank of Ireland
2.753% due 01/15/2010	$	1,000		985
HSBC Bank USA N.A.
2.957% due 07/28/2008		22,400		22,405
				23,390
Commercial Paper 5.2%
Barclays U.S. Funding Corp.
2.690% due 09/04/2008		49,900		49,652
Citibank N.A.
3.570% due 08/19/2008		239,800		238,635
Danske Corp.
2.690% due 09/18/2008		119,300		118,559
Societe General N.A.
2.740% due 09/10/2008		52,700		52,410
2.880% due 09/12/2008		35,800		35,597
Westpac Trust Securities NZ Ltd.
2.770% due 09/18/2008		56,200		55,851
				550,704
Repurchase Agreements 1.2%
Deutsche Bank AG
1.500% due 07/01/2008		122,000		122,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 8.125% due 08/15/2019 valued at $124,486. Repurchase proceeds are $122,005.)
Fixed Income Clearing Corp.
1.650% due 07/01/2008		5,021		5,021
(Dated 06/30/2008. Collateralized by Fannie Mae 0.000% due 10/31/2008 valued at $5,126. Repurchase proceeds are $5,021.)
				127,021
U.S. Treasury Bills 0.7%
1.792% due 08/28/2008 - 09/25/2008 (d)(e)		75,000		74,596
Total Short-Term Instruments (Cost $775,889)				775,711
PURCHASED OPTIONS (i) 0.1% (Cost $16,356)				6,757
Total Investments 103.4% (Cost $11,276,875)			$	11,028,459
Written Options (j) (0.1%) (Premiums $20,154)				(11,326	)
Other Assets and Liabilities (Net) (3.3%)				(347,056	)
Net Assets 100.0%			$	10,670,077

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

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

(a) Security is in default.

(b) Interest only security.

(c) When-issued security.

(d) Coupon represents a weighted average rate.

(e) Securities with an aggregate market value of $74,596 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $32,000 at a weighted average interest rate of 2.375%. On June 30, 2008, there were no open reverse repurchase agreements.

(g) Cash of $54,487 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	600	$	16
90-Day Euribor June Futures	Long	06/2009	340		(69	)
90-Day Euribor March Futures	Long	03/2009	570		(21	)
90-Day Eurodollar December Futures	Long	12/2008	15,779		66,375
90-Day Eurodollar December Futures	Long	12/2009	2,074		(5,535	)
90-Day Eurodollar June Futures	Long	06/2009	4,012		(5,769	)
90-Day Eurodollar March Futures	Long	03/2009	11,552		19,070
90-Day Eurodollar March Futures	Long	03/2010	1,209		(2,903	)
90-Day Eurodollar September Futures	Long	09/2008	1,341		461
90-Day Eurodollar September Futures	Long	09/2009	3,505		(5,359	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	24		21
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	865		(1,135	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	233		(773	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	704		(933	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	1,319		(1,005	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	4,778		(2,824	)
				$	59,617

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.970	%	03/20/2013	DUB	$	17,000	$	(124	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.100	%	03/20/2013	BCLY		20,500		(44	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.125	%	03/20/2013	LEH		5,000		(6	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.360	%	06/20/2013	RBS		20,300		(658	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.380	%	06/20/2013	GSC		20,200		(638	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.400	%	06/20/2013	DUB		23,200		(713	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.800	%	06/20/2013	GSC		50,000		(710	)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.290	%	06/20/2009	BCLY		43,300		6
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS		75,800		71
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012	GSC		4,500		(1,063	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.900	%	09/20/2012	JPM		7,500		(1,763	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.950	%	09/20/2012	JPM		10,000		(2,338	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.620	%	09/20/2012	MLP		2,000		(386	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.650	%	09/20/2012	DUB		2,200		(423	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.750	%	09/20/2012	JPM		1,000		(190	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.800	%	09/20/2012	BCLY		1,300		(245	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	7.250	%	03/20/2009	DUB		1,000		(26	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	6.400	%	06/20/2009	MLP		400		(18	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.950	%	01/20/2009	MSC		8,800		4
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.700	%	03/20/2009	BNP		1,100		(1	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.750	%	03/20/2009	CITI		13,700		(10	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.800	%	03/20/2009	CITI		2,200		(1	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.900	%	03/20/2009	BOA		1,100		1
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.900	%	12/20/2010	GSC		1,900		(20	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.780	%	03/20/2011	BNP		6,300		(96	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.800	%	06/20/2011	DUB		32,700		(554	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.250	%	03/20/2013	BNP		2,000		(29	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	12/20/2012	BOA		3,300		(1,072	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.550	%	12/20/2012	JPM		700		(227	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	12/20/2012	DUB		1,800		(580	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.630	%	12/20/2012	MSC		800		(257	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.800	%	12/20/2012	BNP		600		(190	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.150	%	03/20/2013	BCLY		10,000		(2,370	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.150	%	03/20/2013	GSC		10,000		(2,370	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.150	%	03/20/2013	UBS		1,100		(261	)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	03/20/2009	CITI		15,900		1,053
GMAC LLC 6.875% due 08/28/2012	Sell	8.500	%	03/20/2009	LEH		7,200		(286	)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	06/20/2009	MLP		7,200		(237	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.200	%	09/20/2012	DUB		5,500		(1,708	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.200	%	09/20/2012	GSC		4,300		(1,335	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.250	%	09/20/2012	JPM		7,500		(2,321	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.370	%	09/20/2012	JPM		10,000		(3,070	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.650	%	09/20/2012	BCLY		2,000		(603	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.670	%	09/20/2012	JPM		13,000		(3,912	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.720	%	09/20/2012	CITI		2,800		(840	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.750	%	09/20/2012	JPM		2,000		(599	)
GMAC LLC 6.875% due 08/28/2012	Sell	4.850	%	09/20/2012	JPM		8,300		(2,297	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.320	%	09/20/2008	BCLY		84,200		(158	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.810	%	09/20/2012	BNP		10,000		(201	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.820	%	09/20/2012	BEAR		3,500		(69	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.820	%	09/20/2012	BNP		25,000		(492	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.820	%	09/20/2012	JPM		5,000		(99	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008	LEH		7,200		(11	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.438	%	06/20/2009	RBS		43,300		(392	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.450	%	06/20/2009	RBS		6,000		(54	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.310	%	12/20/2011	RBS		4,900		(168	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008	RBS		3,600		(34	)
Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008	CSFB		3,200		5
Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011	LEH		4,900		(156	)
Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011	MSC		38,400		(1,211	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.750	%	01/20/2012	MSC		500		(4	)
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.250	%	05/20/2009	HSBC		6,000		(2	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.305	%	12/20/2008	MSC		6,000		(4	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.275	%	06/20/2009	BCLY		43,300		(95	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.910	%	06/20/2009	DUB		2,900		2
SLM Corp. 5.125% due 08/27/2012	Sell	5.050	%	03/20/2013	BNP		6,200		115
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	12/20/2008	LEH		6,000		(29	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008	BCLY		8,000		(39	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	04/20/2009	HSBC		4,300		(33	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.490	%	06/20/2009	HSBC		43,300		(565	)
								$	(37,150	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	133,500	$	8,194
Dow Jones CDX N.A. HY8 Index	Sell	0.355	%	06/20/2012	CITI		38,554		(1,294	)
Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012	CITI		8,943		(299	)
Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012	CITI		10,334		(331	)
Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012	MLP		5,500		(395	)
Dow Jones CDX N.A. HY8 Index	Sell	1.846	%	06/20/2012	CITI		2,800		(200	)
Dow Jones CDX N.A. HY8 Index	Sell	1.847	%	06/20/2012	MLP		1,900		(136	)
Dow Jones CDX N.A. HY8 Index	Sell	2.070	%	06/20/2012	MLP		3,900		(247	)
Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012	MSC		3,000		(189	)
Dow Jones CDX N.A. HY8 Index	Sell	2.127	%	06/20/2012	MLP		1,700		(104	)
Dow Jones CDX N.A. HY8 Index	Sell	2.140	%	06/20/2012	MSC		4,700		(286	)
Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	CITI		2,800		(170	)
Dow Jones CDX N.A. HY8 Index	Sell	2.170	%	06/20/2012	MSC		1,800		(107	)
Dow Jones CDX N.A. HY8 Index	Sell	2.179	%	06/20/2012	CITI		1,800		(107	)
Dow Jones CDX N.A. IG9 Index	Sell	0.701	%	12/20/2012	DUB		22,200		165
Dow Jones CDX N.A. IG9 Index	Sell	0.710	%	12/20/2012	DUB		40,300		313
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		101,600		315
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		102,300		127
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		9,200		43
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		16,200		51
Dow Jones CDX N.A. IG10 Index	Sell	0.463	%	06/20/2013	GSC		14,200		42
Dow Jones CDX N.A. IG10 Index	Sell	0.530	%	06/20/2013	DUB		11,300		1
								$	5,386

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	113,700	$	363
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		156,700		447
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		10,400		(77	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		3,600		(27	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		42,100		(188	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		6,050		(29	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		35,400		(40	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	LEH		64,850		(479	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		177,300		(1,108	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		44,500		(394	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BOA		15,400		(264	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		45,600		(394	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		152,900		1,314
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	JPM		156,200		(241	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		39,400		(600	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		14,500		(170	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		26,000		(452	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		6,200		(192	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	23,900		(571	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146	%	10/15/2010	UBS		9,100		(178	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM		25,800		(1,512	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS		7,000		(336	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.950	%	03/30/2012	RBS		7,100		(346	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		7,600		(448	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY		3,500		(204	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		25,100		(1,538	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS	AUD	123,800		(1,277	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	BCLY	GBP	77,900		(412	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	DUB		46,700		(261	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	BCLY		43,200		(409	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS		40,200		(400	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		8,800		0
Pay	6-Month GBP-LIBOR	4.500	%	09/20/2009	LEH		98,400		(4,559	)
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC		17,300		64
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	DUB		53,200		(756	)
Receive	6-Month GBP-LIBOR	5.000	%	12/19/2037	GSC		2,200		(204	)
Pay	BRL-CDI-Compounded	11.360	%	01/04/2010	BCLY	BRL	49,200		(1,352	)
Pay	BRL-CDI-Compounded	11.430	%	01/04/2010	MLP		32,100		(852	)
Pay	BRL-CDI-Compounded	11.465	%	01/04/2010	GSC		12,800		(334	)
Pay	BRL-CDI-Compounded	12.410	%	01/04/2010	UBS		25,000		(313	)
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MSC		25,000		(318	)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC		21,200		(229	)
Pay	BRL-CDI-Compounded	12.948	%	01/04/2010	MLP		19,300		(154	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	UBS		58,100		(1,713	)
Pay	BRL-CDI-Compounded	13.845	%	01/02/2012	BCLY		540,800		(7,784	)
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP	$	40,200		(149	)
Pay	USSP Semi 5-Year Index	0.763	%	02/05/2009	RBS		250,800		(1,487	)
								$	(30,563	)

Interest Rate Cap/Floor Swaps

Counterparty

Floating Rate Index

Cap/Floor

Cap/Floor Rate

Pay/Receive Floating Rate

Premium Amount

Expiration Date

Notional Amount

Unrealized Appreciation

JPM

10/2-Year EUR ISDA rate spread

Floor

(0.750

%)

Pay

$

(302

)

12/24/2008

EUR20,700

$

0

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	177,300	$	1,862	$	840
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		131,000		1,401		608
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		90,200		961		419
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		251,700		2,439		1,169
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		268,100		2,357		713
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.000	%	02/02/2009		74,000		766		172
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		184,200		1,989		538
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		303,500		3,235		1,410
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		127,300		1,346		888
									$	16,356	$	6,757

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	2,597	$	1,487	$	969
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	2,597		2,360		830
					$	3,847	$	1,799

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009	$	39,700	$	868	$	600
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009		28,700		921		622
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		30,600		768		426
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		20,200		660		395
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		30,100		997		589
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		83,900		2,643		1,642
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		89,400		2,228		1,168
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	3.950	%	02/02/2009		32,000		795		308
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		61,400		1,851		827
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		101,100		3,278		1,978
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		42,400		1,298		972
									$	16,307	$	9,527

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	05/01/2023	$	160	$	161	$	159
Fannie Mae	5.000	%	07/01/2023		435,010		425,968		430,184
Fannie Mae	5.500	%	07/01/2023		51,200		51,240		51,544
Freddie Mac	5.500	%	07/01/2038		4,000		3,951		3,941
U.S. Treasury Notes	2.125	%	04/30/2010		193,000		191,510		192,472
U.S. Treasury Notes	3.125	%	11/30/2009		64,300		64,711		65,234
U.S. Treasury Notes	3.250	%	12/31/2009		252,300		253,846		255,944
						$	991,387	$	999,478

⁽³⁾ Market value includes $1,495 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	7,651	04/2009	$	0	$	(19	)	$	(19	)
Buy	AUD	4,379	07/2008		31		0			31
Buy	BRL	271,091	07/2008		22,383		0			22,383
Sell		271,091	07/2008		0		(7,216	)		(7,216	)
Buy		344,115	12/2008		14,893		0			14,893
Sell		21,962	12/2008		0		(1,140	)		(1,140	)
Buy	CLP	2,743,870	12/2008		0		(484	)		(484	)
Buy	CNY	174,830	11/2008		332		0			332
Sell	EUR	108,657	07/2008		0		(1,378	)		(1,378	)
Sell	GBP	130,502	08/2008		0		(1,435	)		(1,435	)
Buy	INR	326,924	08/2008		0		(686	)		(686	)
Buy		886,080	11/2008		0		(1,733	)		(1,733	)
Sell	JPY	3,896,408	07/2008		0		(608	)		(608	)
Buy	KRW	33,054,898	08/2008		0		(3,675	)		(3,675	)
Sell		33,054,898	08/2008		86		(21	)		65
Buy	KWD	578	04/2009		0		(24	)		(24	)
Buy	MXN	371,486	07/2008		2,365		0			2,365
Sell		371,486	07/2008		0		(1,431	)		(1,431	)
Buy	MYR	67,086	11/2008		0		(264	)		(264	)
Buy		30,599	02/2009		0		(194	)		(194	)
Buy	PHP	756,791	08/2008		1		(198	)		(197	)
Buy	PLN	90,015	07/2008		9,224		0			9,224
Sell		90,015	07/2008		0		(6,214	)		(6,214	)
Buy	RUB	1,923,889	07/2008		4,645		0			4,645
Sell		1,923,889	07/2008		0		(3,626	)		(3,626	)
Buy		388,164	11/2008		740		0			740
Buy		337,180	05/2009		191		0			191
Sell		388,164	05/2009		0		(309	)		(309	)
Buy	SAR	7,838	04/2009		0		(18	)		(18	)
Buy	SEK	55,848	09/2008		41		0			41
Buy	SGD	96,137	11/2008		878		0			878
Buy	ZAR	11,656	07/2008		0		(215	)		(215	)
Sell		11,656	07/2008		0		(43	)		(43	)
Buy		11,656	12/2008		41		0			41
				$	55,851	$	(30,931	)	$	24,920

(m) Fair Value Measurements ⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0	$	11,003,824		$	24,635		$	11,028,459
Other Financial Instruments ++		59,617		(1,038,501	)		(8,215	)		(987,099	)
Total	$	59,617	$	9,965,323		$	16,420		$	10,041,360

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

	Beginning balance at 03/31/2008			Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/ (losses)			Net transfers in/ (out) of Level 3			Ending balance at 06/30/2008
Investments, at value	$	133,258		$	4,468	$	105	$	(4,903	)	$	(108,293	)	$	24,635
Other Financial Instruments ++		(3,360	)		0		0		(4,133	)		(722	)		(8,215	)
Total	$	129,898		$	4,468	$	105	$	(9,036	)	$	(109,015	)	$	16,420

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Other financial instruments may include open futures contracts, swap contracts, written options, short sales, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Low Duration Fund II

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 25.9%
Banking & Finance 23.7%
Allstate Life Global Funding Trusts
2.841% due 03/23/2009	$	300	$	299
5.375% due 04/30/2013		400		399
American Express Centurion Bank
2.495% due 06/12/2009		1,600		1,587
American Express Credit Corp.
2.508% due 11/09/2009		1,000		977
Bank of America Corp.
2.904% due 11/06/2009		400		396
8.000% due 12/29/2049		3,100		2,912
Bank of America N.A.
2.638% due 02/27/2009		800		797
3.056% due 06/15/2016		3,300		2,987
Bear Stearns Cos., Inc.
2.728% due 02/23/2010		1,900		1,864
2.768% due 08/21/2009		500		494
2.839% due 05/18/2010		1,600		1,562
3.218% due 07/19/2010		900		883
6.950% due 08/10/2012		900		937
CIT Group, Inc.
2.959% due 12/19/2008		500		495
3.049% due 01/30/2009		2,900		2,806
Citigroup Funding, Inc.
2.481% due 04/23/2009		2,400		2,369
2.667% due 12/08/2008		600		595
2.809% due 06/26/2009		400		394
Citigroup, Inc.
2.831% due 12/28/2009		500		488
2.848% due 12/26/2008		1,100		1,096
5.500% due 04/11/2013		1,400		1,368
General Electric Capital Corp.
2.816% due 03/12/2010		1,400		1,393
2.888% due 01/20/2010		1,600		1,594
2.937% due 10/26/2009		1,500		1,495
Goldman Sachs Group, Inc.
3.012% due 07/29/2008		900		900
3.250% due 07/23/2009		3,700		3,677
HSBC Finance Corp.
2.906% due 09/15/2008		3,500		3,498
KeyBank N.A.
4.682% due 06/02/2010		700		698
Lehman Brothers Holdings, Inc.
2.820% due 11/16/2009		900		858
2.998% due 10/22/2008		5,800		5,779
Merrill Lynch & Co., Inc.
2.756% due 12/04/2009		800		767
2.768% due 08/14/2009		200		194
2.831% due 12/22/2008		1,500		1,490
2.960% due 10/23/2008		900		895
Metropolitan Life Global Funding I
2.759% due 05/17/2010		1,100		1,085
5.125% due 04/10/2013		3,200		3,156
Morgan Stanley
2.521% due 11/21/2008		500		498
2.803% due 01/15/2010		1,300		1,258
2.820% due 05/07/2009		800		788
2.844% due 02/09/2009		700		694
Pacific Life Global Funding
5.150% due 04/15/2013		1,800		1,783
Pricoa Global Funding I
2.957% due 07/27/2009		2,500		2,483
Principal Life Income Funding Trusts
5.300% due 04/24/2013		300		300
Wachovia Corp.
2.843% due 10/15/2011		2,700		2,567
2.949% due 10/28/2008		900		881
5.500% due 05/01/2013		200		192
7.980% due 12/31/2049		5,000		4,605
				69,233
Industrials 1.4%
AIG SunAmerica Global Financing VI
6.300% due 05/10/2011		2,900		2,948
Amgen, Inc.
2.726% due 11/28/2008		600		597
Wal-Mart Stores, Inc.
4.250% due 04/15/2013		600		598
				4,143
Utilities 0.8%
Dominion Resources, Inc.
3.864% due 06/17/2010		2,200		2,203
Total Corporate Bonds & Notes (Cost $77,166)				75,579
COMMODITY INDEX-LINKED NOTES 0.3%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		1,000		993
Total Commodity Index-Linked Notes (Cost $1,000)				993
U.S. GOVERNMENT AGENCIES 47.3%
Fannie Mae
2.932% due 10/25/2030		175		175
4.646% due 07/01/2035		611		619
4.659% due 01/01/2035		669		677
4.810% due 09/01/2028		226		227
4.945% due 12/01/2034		3,171		3,279
4.991% due 06/01/2035		3,674		3,718
4.994% due 07/01/2042		402		402
5.000% due 11/01/2017 - 07/01/2037		43,957		43,684
5.044% due 09/01/2041		870		867
5.194% due 08/01/2030 - 10/01/2030		481		480
5.500% due 02/01/2009 - 02/01/2038		27,353		27,464
5.875% due 01/01/2024		133		135
6.000% due 03/01/2016 - 07/01/2038		26,058		26,373
6.500% due 09/01/2012 - 12/25/2042		527		541
8.000% due 11/25/2023		203		219
9.250% due 10/25/2018		6		6
10.500% due 05/01/2012		52		57
Federal Housing Administration
7.430% due 07/01/2024		921		923
Freddie Mac
2.621% due 07/15/2019 - 10/15/2020		9,594		9,406
2.701% due 02/15/2019		3,117		3,056
2.821% due 12/15/2030		597		590
2.871% due 06/15/2018		177		175
4.908% due 07/01/2035		893		901
4.994% due 02/25/2045		844		785
5.000% due 11/01/2018 - 07/15/2024		2,593		2,608
6.000% due 02/01/2016 - 07/01/2038		1,186		1,203
6.500% due 07/25/2043		1,570		1,618
7.340% due 07/01/2023		86		86
8.500% due 06/01/2009 - 06/01/2025		10		11
Ginnie Mae
2.982% due 09/20/2030		49		49
5.125% due 10/20/2025		396		398
5.625% due 07/20/2023 - 07/20/2030		762		770
6.000% due 07/01/2038		5,000		5,076
6.375% due 04/20/2022 - 05/20/2027		855		871
7.000% due 11/15/2022		145		155
7.500% due 02/15/2022 - 03/15/2024		218		234
7.750% due 01/17/2030		23		25
8.000% due 03/15/2023 - 05/15/2024		70		77
9.000% due 07/20/2016 - 08/15/2030		125		137
Total U.S. Government Agencies (Cost $138,279)				138,077
MORTGAGE-BACKED SECURITIES 10.9%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		2,157		1,895
4.390% due 02/25/2045		610		546
Banc of America Funding Corp.
4.110% due 05/25/2035		4,826		4,515
Bear Stearns Adjustable Rate Mortgage Trust
4.747% due 01/25/2034		522		501
4.750% due 10/25/2035		2,894		2,868
5.425% due 04/25/2033		1,180		1,115
5.615% due 02/25/2033		104		97
6.736% due 02/25/2033		63		62
Bear Stearns Alt-A Trust
5.372% due 05/25/2035		1,258		1,078
Bear Stearns Mortgage Funding Trust
2.552% due 02/25/2037		894		794
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		45		42
Countrywide Alternative Loan Trust
6.500% due 06/25/2033		29		29
Countrywide Home Loan Mortgage Pass-Through Trust
4.720% due 02/20/2035		911		890
4.799% due 11/25/2034		492		473
5.250% due 02/20/2036		1,206		964
CS First Boston Mortgage Securities Corp.
3.326% due 03/25/2032		162		147
5.785% due 06/25/2032		3		3
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 01/25/2047		537		501
First Horizon Alternative Mortgage Securities
4.733% due 06/25/2034		766		670
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		595		524
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		666		624
GSR Mortgage Loan Trust
4.519% due 06/25/2034		857		793
4.539% due 09/25/2035		4,144		4,019
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		301		281
JPMorgan Mortgage Trust
5.020% due 02/25/2035		129		122
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		730		733
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		106		101
Merrill Lynch Mortgage Investors, Inc.
4.490% due 02/25/2035		1,397		1,352
Morgan Stanley Capital I
2.542% due 10/15/2020		180		168
Prime Mortgage Trust
2.882% due 02/25/2019		59		56
2.882% due 02/25/2034		336		305
Structured Asset Mortgage Investments, Inc.
2.612% due 03/25/2037		882		678
2.732% due 07/19/2035		386		321
2.812% due 09/19/2032		349		318
9.455% due 06/25/2029		358		381
Structured Asset Securities Corp.
5.432% due 10/25/2035		393		359
5.820% due 07/25/2032		7		6
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		463		444
Wachovia Bank Commercial Mortgage Trust
2.551% due 06/15/2020		800		741
2.561% due 09/15/2021		480		453
WaMu Mortgage Pass-Through Certificates
2.752% due 12/25/2045		381		306
2.772% due 10/25/2045		249		194
4.258% due 01/25/2047		304		229
4.361% due 02/27/2034		939		873
4.728% due 11/25/2042		77		71
4.928% due 06/25/2042		167		152
Total Mortgage-Backed Securities (Cost $34,294)				31,794
ASSET-BACKED SECURITIES 9.6%
Amortizing Residential Collateral Trust
2.772% due 07/25/2032		43		36
Asset-Backed Funding Certificates
2.542% due 01/25/2037		323		314
Asset-Backed Securities Corp. Home Equity
2.758% due 09/25/2034		151		130
4.121% due 03/15/2032		554		485
BA Credit Card Trust
3.051% due 04/15/2013		400		399
3.183% due 12/15/2014		1,700		1,690
Bear Stearns Asset-Backed Securities Trust
2.542% due 01/25/2037		869		830
3.482% due 10/25/2037		1,109		916
Carrington Mortgage Loan Trust
2.532% due 01/25/2037		819		792
Chase Issuance Trust
2.481% due 02/15/2011		1,700		1,697
CIT Group Home Equity Loan Trust
2.752% due 06/25/2033		46		43
Countrywide Asset-Backed Certificates
2.532% due 03/25/2037		607		592
2.532% due 05/25/2037		2,838		2,774
2.532% due 07/25/2037		2,172		2,096
2.662% due 09/25/2036		2,412		2,308
2.962% due 12/25/2031		169		127
Credit-Based Asset Servicing & Securitization LLC
2.542% due 11/25/2036		404		393
2.572% due 12/25/2037		1,303		1,253
Daimler Chrysler Auto Trust
3.378% due 07/08/2011		600		603
3.928% due 09/10/2012		300		303
First Franklin Mortgage Loan Asset-Backed Certificates
2.522% due 01/25/2038		831		803
First USA Credit Card Master Trust
2.641% due 04/18/2011		1,500		1,500
Fremont Home Loan Trust
2.542% due 01/25/2037		368		348
GSAMP Trust
2.552% due 12/25/2036		510		495
GSR Mortgage Loan Trust
2.582% due 11/25/2030		25		25
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		229		225
HSBC Asset Loan Obligation
2.542% due 12/25/2036		2,106		2,021
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		1,490		1,411
Indymac Residential Asset-Backed Trust
2.542% due 04/25/2037		260		257
JPMorgan Mortgage Acquisition Corp.
2.532% due 08/25/2036		159		157
Lehman XS Trust
2.552% due 05/25/2046		117		112
Long Beach Mortgage Loan Trust
2.762% due 10/25/2034		19		15
MASTR Asset-Backed Securities Trust
2.542% due 11/25/2036		394		385
Morgan Stanley ABS Capital I
2.532% due 11/25/2036		642		607
Option One Mortgage Loan Trust
2.532% due 01/25/2037		496		484
Park Place Securities, Inc.
2.794% due 10/25/2034		700		611
Securitized Asset-Backed Receivables LLC Trust
2.542% due 12/25/2036		406		380
SLM Student Loan Trust
3.220% due 01/25/2015		195		194
Structured Asset Securities Corp.
2.772% due 01/25/2033		47		40
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		224		219
Total Asset-Backed Securities (Cost $29,243)				28,070
	Shares
CONVERTIBLE PREFERRED STOCKS 0.3%
Bank of America Corp.
7.250% due 12/31/2049		1,000		884
Total Convertible Preferred Stocks (Cost $1,000)				884
PREFERRED STOCKS 1.7%
DG Funding Trust
5.041% due 12/31/2049		510		5,089
Total Preferred Stocks (Cost $5,100)				5,089
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 6.1%
Commercial Paper 4.8%
Citibank N.A.
3.570% due 08/19/2008	$	5,700		5,672
Federal Home Loan Bank
2.000% due 07/01/2008		7,400		7,400
2.109% due 07/07/2008		900		900
				13,972
Repurchase Agreements 1.1%
State Street Bank and Trust Co.
1.650% due 07/01/2008		3,130		3,130
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $3,195. Repurchase proceeds are $3,130.)
U.S. Treasury Bills 0.2%
1.748% due 09/11/2008 - 09/25/2008 (a)(b)		500		497
Total Short-Term Instruments (Cost $17,600)				17,599
PURCHASED OPTIONS (f) 0.1% (Cost $730)				268
Total Investments 102.2% (Cost $304,412)			$	298,353
Written Options (g) (0.2%) (Premiums $816)				(445	)
Other Assets and Liabilities (Net) (2.0%)				(5,889	)
Net Assets 100.0%			$	292,019

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 $497 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(c) The average amount of borrowings outstanding during the period ended June 30, 2008 was $1,310 at a weighted average interest rate of 2.659%. On June 30, 2008, there were no open reverse repurchase agreements.

(d) Cash of $2,091 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	390	$	1,656
90-Day Eurodollar December Futures	Long	12/2009	59		(158	)
90-Day Eurodollar June Futures	Long	06/2009	112		(164	)
90-Day Eurodollar March Futures	Long	03/2009	263		393
90-Day Eurodollar March Futures	Long	03/2010	34		(81	)
90-Day Eurodollar September Futures	Long	09/2008	35		12
90-Day Eurodollar September Futures	Long	09/2009	148		(35	)
				$	1,623

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized (Depreciation)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.970	%	03/20/2013	DUB	$	400	$	(3	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.100	%	03/20/2013	BCLY		500		(1	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.360	%	06/20/2013	RBS		500		(16	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.380	%	06/20/2013	GSC		500		(16	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.320	%	09/20/2008	BCLY		2,500		(5	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.820	%	09/20/2012	BEAR		1,000		(20	)
								$	(61	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	3,100	$	185
Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012	MLP		1,000		(72	)
Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012	MSC		1,000		(63	)
Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	CITI		500		(30	)
								$	20

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	3,100	$	10
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		4,200		12
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		1,600		(12	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		11,200		(36	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		500		(6	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		2,400		32
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		10,000		(3	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		900		0
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		1,100		(13	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		900		(16	)
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP		1,000		(4	)
Pay	USSP Semi 5-Year Index	0.763	%	02/05/2009	RBS		6,500		(39	)
								$	(75	)

(f) Purchased options outstanding on June 30, 2008:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	6,700	$	76	$	32
Call -OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		4,400		47		21
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		3,000		32		14
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		7,200		68		34
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		7,400		83		34
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		21,200		186		56
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		15,000		162		44
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		7,200		76		33
									$	730	$	268

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

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	70	$	40	$	26
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	70		64		22
					$	104	$	48

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009	$	2,200	$	71	$	48
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		1,000		25		14
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		700		23		14
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		1,000		33		20
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		2,400		75		47
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		2,500		82		49
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		7,000		175		91
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		5,000		151		67
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		2,400		77		47
									$	712	$	397

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

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(3)
U.S. Treasury Notes	2.125	%	04/30/2010	$	5,000	$	4,961	$	4,986
U.S. Treasury Notes	3.125	%	11/30/2009		1,700		1,711		1,725
U.S. Treasury Notes	3.250	%	12/31/2009		500		503		507
						$	7,175	$	7,218

⁽³⁾ Market value includes $27 of interest payable on short sales.

(i) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0	$	297,431		$	922		$	298,353
Other Financial Instruments++		1,623		(7,710	)		(42	)		(6,129	)
Total	$	1,623	$	289,721		$	880		$	292,224

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/(Losses)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	938		$	(9	)	$	0	$	(7	)	$	0		$	922
Other Financial Instruments++		(1	)		0			0		(22	)		(19	)		(42	)
Total	$	937		$	(9	)	$	0	$	(29	)	$	(19	)	$	880

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

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

See Accompanying Notes

Schedule of Investments

Low Duration Fund III

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 31.0%
Banking & Finance 25.2%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013	$	200	$	200
American Express Centurion Bank
2.495% due 06/12/2009		1,000		992
American Honda Finance Corp.
2.774% due 08/05/2008		200		200
2.784% due 02/09/2010		1,000		999
ANZ National International Ltd.
2.798% due 08/07/2009		300		300
Bank of America Corp.
8.000% due 12/29/2049		3,500		3,287
Bank of America N.A.
2.786% due 06/12/2009		300		299
2.812% due 12/18/2008		100		100
3.056% due 06/15/2016		800		724
Bank of Ireland
2.819% due 12/19/2008		1,100		1,100
Bear Stearns Cos., Inc.
2.839% due 05/18/2010		300		293
2.979% due 07/16/2009		100		99
Calabash Re Ltd.
11.214% due 01/08/2010		300		300
13.714% due 01/08/2010		300		308
CIT Group, Inc.
2.826% due 08/15/2008		500		500
Citigroup Funding, Inc.
2.809% due 06/26/2009		200		197
Citigroup Global Markets Holdings, Inc.
4.344% due 01/12/2009		100		100
Citigroup, Inc.
2.831% due 12/28/2009		500		488
2.848% due 12/26/2008		200		199
2.869% due 05/18/2010		1,100		1,080
5.500% due 04/11/2013		700		684
Credit Agricole S.A.
2.646% due 05/28/2009		200		199
2.694% due 05/28/2010		200		198
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		100		85
7.375% due 10/28/2009		200		182
7.875% due 06/15/2010		100		86
General Electric Capital Corp.
2.918% due 10/21/2010		600		596
Goldman Sachs Group, Inc.
2.806% due 11/10/2008		100		100
2.851% due 03/30/2009		300		298
2.891% due 12/22/2008		300		293
HSBC Finance Corp.
2.813% due 12/05/2008		200		199
2.866% due 03/12/2010		800		778
2.906% due 09/15/2008		100		100
2.966% due 05/10/2010		100		98
ICICI Bank Ltd.
3.250% due 01/12/2010		300		291
JPMorgan Chase & Co.
6.625% due 03/15/2012		2,600		2,684
KeyBank N.A.
4.682% due 06/02/2010		300		299
Lehman Brothers Holdings, Inc.
2.774% due 04/03/2009		200		194
2.778% due 08/21/2009		300		294
2.778% due 05/25/2010		100		93
2.820% due 11/16/2009		300		286
3.011% due 12/23/2010		200		188
5.625% due 01/24/2013		300		284
Merrill Lynch & Co., Inc.
2.756% due 12/04/2009		300		288
2.768% due 08/14/2009		200		194
2.989% due 01/30/2009		300		295
3.120% due 07/25/2011		300		274
Metropolitan Life Global Funding I
2.759% due 05/17/2010		400		395
5.125% due 04/10/2013		1,700		1,676
Morgan Stanley
2.803% due 01/15/2010		300		290
2.844% due 02/09/2009		1,400		1,387
2.984% due 01/18/2011		400		381
Mystic Re Ltd.
8.982% due 12/05/2008		300		294
Pacific Life Global Funding
5.150% due 04/15/2013		1,000		990
Residential Capital LLC
5.758% due 05/22/2009		300		218
Santander U.S. Debt S.A. Unipersonal
2.861% due 09/19/2008		900		899
SLM Corp.
3.060% due 07/27/2009		200		188
3.080% due 07/26/2010		100		89
UBS AG
3.704% due 05/05/2010		800		797
Wachovia Corp.
2.949% due 10/28/2008		100		98
7.980% due 12/31/2049		4,500		4,145
				33,172
Industrials 3.2%
AIG SunAmerica Global Financing VI
6.300% due 05/10/2011		500		508
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		200		215
Daimler Finance North America LLC
3.138% due 03/13/2009		300		299
3.234% due 08/03/2009		300		298
3.403% due 10/31/2008		700		699
Home Depot, Inc.
2.901% due 12/16/2009		600		584
Kimberly-Clark Corp.
2.999% due 07/30/2010		400		398
Transocean, Inc.
2.873% due 09/05/2008		200		200
Tyco International Group S.A.
6.125% due 01/15/2009		1,000		1,010
				4,211
Utilities 2.6%
New Cingular Wireless Services, Inc.
7.875% due 03/01/2011		2,700		2,877
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		600		602
				3,479
Total Corporate Bonds & Notes (Cost $42,017)				40,862
U.S. GOVERNMENT AGENCIES 44.9%
Fannie Mae
2.582% due 01/25/2021 (b)		914		906
2.682% due 10/27/2037 (b)		1,900		1,818
2.832% due 09/25/2042		256		237
2.882% due 05/25/2031 (b)		223		220
4.460% due 05/01/2035 (b)		109		110
4.500% due 08/01/2035 (b)		567		571
4.551% due 11/01/2035 (b)		215		215
4.646% due 07/01/2035 (b)		111		112
4.761% due 08/01/2029 (b)		244		244
4.994% due 07/01/2042 (b)		74		74
5.000% due 03/25/2017 (b)		439		445
5.000% due 11/01/2019 - 07/01/2023		14,601		14,491
5.044% due 09/01/2041 (b)		158		158
5.194% due 09/01/2040 (b)		30		30
5.452% due 03/01/2035 (b)		30		31
5.500% due 02/01/2009 - 05/01/2037 (b)		19,911		20,022
5.500% due 02/01/2017 - 10/01/2022		8,777		8,851
5.745% due 11/01/2035 (b)		72		73
5.827% due 02/01/2031 (b)		64		65
6.000% due 03/01/2017 - 11/01/2017		366		377
6.169% due 11/01/2034 (b)		64		64
6.500% due 09/01/2036 - 09/01/2037 (b)		98		102
6.500% due 12/25/2042		19		19
Freddie Mac
2.522% due 12/25/2036		514		497
2.621% due 07/15/2019 - 10/15/2020 (b)		3,577		3,507
2.701% due 02/15/2019 (b)		1,264		1,239
2.821% due 12/15/2030 (b)		80		79
2.871% due 06/15/2018 (b)		50		50
2.921% due 11/15/2030 (b)		14		14
4.690% due 06/01/2035 (b)		508		507
4.704% due 08/01/2035 (b)		574		579
4.908% due 07/01/2035 (b)		187		189
4.994% due 02/25/2045		121		112
5.000% due 04/15/2012 - 07/15/2024 (b)		330		332
6.000% due 03/01/2016 - 08/01/2016 (b)		87		89
6.000% due 07/01/2038		400		404
6.500% due 07/25/2043		193		199
Ginnie Mae
5.000% due 02/20/2032		47		47
6.000% due 07/01/2038		2,000		2,030
6.375% due 06/20/2027 - 05/20/2030		99		101
8.500% due 10/20/2026		15		16
Total U.S. Government Agencies (Cost $59,109)				59,226
MORTGAGE-BACKED SECURITIES 18.1%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		389		342
4.390% due 02/25/2045		76		68
Banc of America Funding Corp.
4.110% due 05/25/2035		2,145		2,007
Bear Stearns Adjustable Rate Mortgage Trust
4.747% due 01/25/2034		80		77
4.750% due 10/25/2035		434		430
5.425% due 04/25/2033		145		136
5.615% due 02/25/2033		10		10
6.736% due 02/25/2033		6		6
Bear Stearns Alt-A Trust
5.372% due 05/25/2035		225		192
5.701% due 09/25/2035		53		44
Bear Stearns Mortgage Funding Trust
2.552% due 02/25/2037		298		264
Citigroup Mortgage Loan Trust, Inc.
2.552% due 01/25/2037		615		552
4.700% due 12/25/2035		76		73
4.900% due 12/25/2035		112		107
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		367		364
6.500% due 06/25/2033		3		3
Countrywide Home Loan Mortgage Pass-Through Trust
4.720% due 02/20/2035		336		328
4.799% due 11/25/2034		189		182
5.250% due 02/20/2036		190		152
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		113		113
GMAC Mortgage Corp. Loan Trust
5.012% due 11/19/2035		112		105
Greenpoint Mortgage Funding Trust
2.562% due 01/25/2047		164		155
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		254		238
GSR Mortgage Loan Trust
4.519% due 06/25/2034		122		113
4.539% due 09/25/2035		622		603
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		169		169
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		35		34
Mellon Residential Funding Corp.
2.911% due 12/15/2030		632		587
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		97		78
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		42		38
Morgan Stanley Capital I
2.542% due 10/15/2020		72		67
Prime Mortgage Trust
2.882% due 02/25/2019		15		14
2.882% due 02/25/2034		37		34
Structured Adjustable Rate Mortgage Loan Trust
4.580% due 02/25/2034		237		222
4.928% due 01/25/2035		155		147
5.305% due 08/25/2034		302		285
Structured Asset Mortgage Investments, Inc.
2.612% due 03/25/2037		321		247
2.732% due 07/19/2035		115		104
2.762% due 02/25/2036		68		52
Structured Asset Securities Corp.
5.369% due 01/25/2032		4		4
5.432% due 10/25/2035		147		135
Thornburg Mortgage Securities Trust
2.592% due 03/25/2046		239		236
2.592% due 11/25/2046		132		127
Wachovia Bank Commercial Mortgage Trust
2.551% due 06/15/2020		356		329
2.561% due 09/15/2021		137		130
WaMu Mortgage Pass-Through Certificates
2.752% due 12/25/2045		69		56
2.772% due 10/25/2045		36		28
2.808% due 11/25/2034		231		199
4.258% due 01/25/2047		76		57
4.928% due 06/25/2042		80		73
4.990% due 05/25/2041		30		27
5.028% due 09/25/2046		144		112
Washington Mutual MSC Mortgage Pass-Through Certificates
6.792% due 02/25/2033		16		16
Wells Fargo Mortgage-Backed Securities Trust
4.612% due 01/25/2034		14,342		13,641
Total Mortgage-Backed Securities (Cost $24,823)				23,912
ASSET-BACKED SECURITIES 24.3%
Accredited Mortgage Loan Trust
2.522% due 09/25/2036		196		194
Asset-Backed Funding Certificates
2.542% due 01/25/2037		92		90
Atrium CDO Corp.
3.337% due 06/27/2015		577		559
BA Credit Card Trust
2.671% due 01/15/2013		2,700		2,676
2.691% due 04/16/2012		200		199
3.051% due 04/15/2013		800		799
3.183% due 12/15/2014		800		795
3.671% due 12/16/2013		1,000		1,016
Bear Stearns Asset-Backed Securities Trust
2.542% due 01/25/2037		248		237
3.482% due 10/25/2037		462		382
Carrington Mortgage Loan Trust
2.582% due 06/25/2037		203		195
Citibank Credit Card Issuance Trust
2.990% due 07/25/2011		400		399
Citigroup Mortgage Loan Trust, Inc.
2.522% due 08/25/2036		19		19
2.542% due 01/25/2037		249		247
2.542% due 05/25/2037		527		500
2.542% due 07/25/2045		936		870
Countrywide Asset-Backed Certificates
2.532% due 01/25/2037		70		70
2.532% due 05/25/2037		581		561
2.662% due 09/25/2036		905		865
2.962% due 12/25/2031		28		21
Credit-Based Asset Servicing & Securitization LLC
2.602% due 07/25/2037		2,835		2,634
First Franklin Mortgage Loan Asset-Backed Certificates
2.522% due 01/25/2038		297		287
First USA Credit Card Master Trust
2.641% due 04/18/2011		500		500
Ford Credit Auto Owner Trust
3.071% due 07/15/2010		600		601
GE-WMC Mortgage Securities LLC
2.522% due 08/25/2036		86		84
GSAMP Trust
2.602% due 12/25/2035		25		25
2.772% due 03/25/2034		53		53
GSR Mortgage Loan Trust
2.582% due 11/25/2030		7		7
HSI Asset Securitization Corp. Trust
2.532% due 10/25/2036		5,904		5,715
2.532% due 12/25/2036		58		56
Lehman XS Trust
2.562% due 11/25/2046		6,139		5,836
Long Beach Mortgage Loan Trust
2.762% due 10/25/2034		6		5
Morgan Stanley ABS Capital I
2.532% due 07/25/2036		129		123
2.532% due 11/25/2036		4,386		4,147
Residential Asset Securities Corp.
2.522% due 08/25/2036		26		26
Securitized Asset-Backed Receivables LLC Trust
2.542% due 12/25/2036		203		190
SLM Student Loan Trust
3.170% due 07/25/2013		195		195
3.220% due 01/25/2015		98		97
3.420% due 10/25/2017		400		394
Soundview Home Equity Loan Trust
2.562% due 01/25/2037		400		391
Truman Capital Mortgage Loan Trust
2.822% due 01/25/2034		30		29
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		75		73
Total Asset-Backed Securities (Cost $32,962)				32,162
SOVEREIGN ISSUES 0.4%
Export-Import Bank of Korea
2.772% due 06/01/2009		300		298
Korea Development Bank
2.931% due 04/03/2010		300		299
Total Sovereign Issues (Cost $600)				597
FOREIGN CURRENCY-DENOMINATED ISSUES 0.2%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	400		212
Total Foreign Currency-Denominated Issues (Cost $206)				212
	Shares
CONVERTIBLE PREFERRED STOCKS 0.7%
Bank of America Corp.
7.250% due 12/31/2049		1,000		884
Total Convertible Preferred Stocks (Cost $1,000)				884
PREFERRED STOCKS 0.5%
DG Funding Trust
5.041% due 12/31/2049		65		648
Total Preferred Stocks (Cost $687)				648
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 2.1%
Certificates of Deposit 0.0%
Bank of Ireland
2.753% due 01/15/2010	$	50		49
Repurchase Agreements 1.9%
Deutsche Bank AG
1.500% due 07/01/2008		1,000		1,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $1,020. Repurchase proceeds are $1,000.)
State Street Bank and Trust Co.
1.650% due 07/01/2008		1,496		1,496
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $1,529. Repurchase proceeds are $1,496.)
				2,496
U.S. Treasury Bills 0.2%
1.850% due 09/11/2008 (a)		250		249
Total Short-Term Instruments (Cost $2,795)				2,794
PURCHASED OPTIONS (e) 0.1% (Cost $214)				79
Total Investments 122.3% (Cost $164,413)			$	161,376
Written Options (f) (0.1%) (Premiums $263)				(143	)
Other Assets and Liabilities (Net) (22.2%)				(29,267	)
Net Assets 100.0%			$	131,966

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) Securities with an aggregate market value of $249 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(b) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $41,249 at a weighted average interest rate of 2.375%. On June 30, 2008, securities valued at $30,146 were pledged as collateral for reverse repurchase agreements.

(c) Cash of $1,146 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	7	$	0
90-Day Euribor June Futures	Long	06/2009	4		(1	)
90-Day Euribor March Futures	Long	03/2009	7		0
90-Day Eurodollar December Futures	Long	12/2008	245		1,059
90-Day Eurodollar December Futures	Long	12/2009	18		(48	)
90-Day Eurodollar June Futures	Long	06/2009	44		(53	)
90-Day Eurodollar March Futures	Long	03/2009	170		344
90-Day Eurodollar March Futures	Long	03/2010	12		(29	)
90-Day Eurodollar September Futures	Long	09/2008	12		7
90-Day Eurodollar September Futures	Long	09/2009	102		135
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	10		(19	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	4		(13	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	8		(13	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	15		(15	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	67		(47	)
				$	1,307

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.125	%	03/20/2013	LEH	$	100	$	0
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.360	%	06/20/2013	RBS		300		(10	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.380	%	06/20/2013	GSC		300		(10	)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.290	%	06/20/2009	BCLY		1,000		0
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011	LEH		900		7
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	4.400	%	03/20/2013	BNP		200		17
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.770	%	06/20/2010	BCLY		200		(2	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.940	%	12/20/2010	BNP		200		(2	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.250	%	03/20/2013	BNP		100		(1	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.300	%	03/20/2013	BNP		100		(1	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.150	%	03/20/2013	UBS		400		(95	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.900	%	03/20/2013	LEH		600		(131	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.000	%	09/20/2008	BOA		1,000		(28	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.680	%	09/20/2008	LEH		600		(15	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.850	%	09/20/2009	MLP		1,000		(156	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.320	%	09/20/2008	BCLY		1,100		(2	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.820	%	09/20/2012	BEAR		400		(8	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008	LEH		100		0
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.438	%	06/20/2009	RBS		1,000		(9	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.190	%	09/20/2008	BCLY		200		(2	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008	RBS		200		(2	)
Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008	HSBC		400		1
Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011	MSC		400		(13	)
Multiple Reference Entities of Gazprom	Sell	2.480	%	02/20/2013	MSC		1,000		24
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.275	%	06/20/2009	BCLY		1,000		(2	)
SLM Corp. 5.125% due 08/27/2012	Sell	5.050	%	03/20/2013	BNP		200		4
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.490	%	06/20/2009	HSBC		1,000		(13	)
								$	(449	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	2,200	$	131
Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	CITI		500		(30	)
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB		1,100		8
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		200		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		1,500		6
								$	115

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	1,400	$	4
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		2,000		6
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		500		(4	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		2,700		(10	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		200		(2	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		1,500		20
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		6,400		(1	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		1,100		(27	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		500		0
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		300		(4	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM	EUR	200		(12	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS		200		(9	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.950	%	03/30/2012	RBS		200		(10	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		100		(6	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		700		(43	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS	AUD	1,900		(20	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	BCLY	GBP	800		(4	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	DUB		500		(3	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	BCLY		500		(5	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS		500		(5	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		100		0
Pay	6-Month GBP-LIBOR	4.500	%	09/20/2009	LEH		800		(37	)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	DUB		800		(12	)
Pay	BRL-CDI-Compounded	11.360	%	01/04/2010	BCLY	BRL	600		(16	)
Pay	BRL-CDI-Compounded	11.430	%	01/04/2010	MLP		400		(11	)
Pay	BRL-CDI-Compounded	11.465	%	01/04/2010	GSC		100		(3	)
Pay	BRL-CDI-Compounded	12.410	%	01/04/2010	UBS		400		(5	)
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MSC		400		(5	)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC		200		(2	)
Pay	BRL-CDI-Compounded	12.948	%	01/04/2010	MLP		200		(1	)
Pay	BRL-CDI-Compounded	13.845	%	01/02/2012	BCLY		6,700		(96	)
Pay	USSP Semi 5-Year Index	0.763	%	02/05/2009	RBS	$	4,600		(27	)
								$	(350	)

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	2,100	$	24	$	10
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,300		14		6
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		900		10		4
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		4,000		40		19
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		6,500		57		17
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		4,200		45		12
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		2,300		24		11
									$	214	$	79

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

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	34	$	19	$	13
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	34		31		11
					$	50	$	24

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009	$	700	$	22	$	15
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		300		8		4
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		200		7		4
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		300		10		6
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		1,300		41		25
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		2,300		57		30
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		1,400		42		19
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		800		26		16
									$	213	$	119

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

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(3)
U.S. Treasury Notes	2.125	%	04/30/2010	$	2,400	$	2,381	$	2,393
U.S. Treasury Notes	3.125	%	11/30/2009		1,200		1,208		1,217
U.S. Treasury Notes	3.250	%	12/31/2009		800		805		812
						$	4,394	$	4,422

⁽³⁾ Market value includes $16 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	134	04/2009	$	0	$	0		$	0
Buy	AUD	61	07/2008		0		0			0
Buy	BRL	3,836	07/2008		489		0			489
Sell		3,836	07/2008		0		(95	)		(95	)
Buy		4,448	12/2008		139		0			139
Sell		498	12/2008		0		(26	)		(26	)
Buy	CLP	35,403	12/2008		0		(6	)		(6	)
Buy	CNY	2,289	11/2008		4		0			4
Sell	EUR	831	07/2008		0		(13	)		(13	)
Sell	GBP	1,812	08/2008		0		(20	)		(20	)
Buy	INR	8,666	08/2008		0		(18	)		(18	)
Sell	JPY	33,095	07/2008		0		(5	)		(5	)
Buy	KRW	780,345	08/2008		0		(80	)		(80	)
Sell		780,345	08/2008		1		(1	)		0
Buy	KWD	10	04/2009		0		0			0
Buy	MXN	4,319	07/2008		31		0			31
Sell		4,319	07/2008		0		(13	)		(13	)
Buy	MYR	875	11/2008		0		(4	)		(4	)
Buy		393	02/2009		0		(3	)		(3	)
Buy	PHP	9,758	08/2008		0		(3	)		(3	)
Buy	PLN	1,097	07/2008		115		0			115
Sell		1,097	07/2008		0		(76	)		(76	)
Buy	RUB	16,026	07/2008		39		0			39
Sell		16,026	07/2008		0		(17	)		(17	)
Buy		3,237	11/2008		7		0			7
Buy		1,932	05/2009		1		0			1
Sell		3,237	05/2009		0		(2	)		(2	)
Buy	SAR	138	04/2009		0		0			0
Buy	SEK	756	09/2008		1		0			1
Buy	SGD	1,790	11/2008		36		0			36
Buy	ZAR	157	07/2008		0		(3	)		(3	)
Sell		157	07/2008		0		(1	)		(1	)
Buy		194	12/2008		0		0			0
				$	863	$	(386	)	$	477

(i) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0	$	160,724		$	652		$	161,376
Other Financial Instruments++		1,307		(4,657	)		(99	)		(3,449	)
Total	$	1,307	$	156,067		$	553		$	157,927

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/(Losses)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	1,922		$	709	$	3	$	(52	)	$	(1,930	)	$	652
Other Financial Instruments++		(23	)		0		0		(63	)		(13	)		(99	)
Total	$	1,899		$	709	$	3	$	(115	)	$	(1,943	)	$	553

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

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

See Accompanying Notes

Schedule of Investments

Moderate Duration Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.4%
Daimler Finance North America LLC
6.780% due 08/03/2012	$	7,940	$	6,576
Total Bank Loan Obligations (Cost $7,593)				6,576
CORPORATE BONDS & NOTES 26.5%
Banking & Finance 22.1%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		2,100		2,095
American Express Bank FSB
2.541% due 06/22/2009		2,740		2,720
2.775% due 06/12/2017		18,000		16,371
American General Finance Corp.
6.900% due 12/15/2017		13,000		11,364
ANZ National International Ltd.
2.798% due 08/07/2009		3,200		3,194
Bank of America Corp.
2.904% due 11/06/2009		2,000		1,982
8.000% due 12/29/2049		17,200		16,155
Bank of America N.A.
2.638% due 02/27/2009		4,000		3,986
3.056% due 06/15/2016		17,500		15,840
Bank of Ireland
2.819% due 12/19/2008		4,900		4,899
Bear Stearns Cos., Inc.
3.218% due 07/19/2010		15,500		15,208
6.950% due 08/10/2012		8,100		8,433
Citigroup Funding, Inc.
2.667% due 12/08/2008		3,100		3,076
2.809% due 06/26/2009		2,200		2,170
Citigroup Global Markets Holdings, Inc.
2.914% due 03/17/2009		20,700		20,500
Citigroup, Inc.
2.831% due 12/28/2009		2,100		2,049
5.500% due 04/11/2013		7,500		7,330
6.200% due 03/15/2009		110		111
8.400% due 04/29/2049		7,200		6,853
Credit Agricole S.A.
2.646% due 05/28/2009		2,500		2,489
2.694% due 05/28/2010		2,900		2,871
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		2,200		1,878
5.800% due 01/12/2009		3,300		3,151
7.250% due 10/25/2011		400		310
7.375% due 10/28/2009		2,100		1,913
7.375% due 02/01/2011		500		406
7.875% due 06/15/2010		1,500		1,296
8.625% due 11/01/2010		700		594
General Electric Capital Corp.
2.746% due 08/15/2011		100		99
2.768% due 01/05/2009		2,400		2,400
2.788% due 10/06/2010		4,500		4,468
2.888% due 01/20/2010		14,200		14,148
GMAC LLC
6.000% due 12/15/2011		500		344
Goldman Sachs Group, Inc.
2.841% due 12/23/2008		12,300		12,259
2.851% due 03/30/2009		6,800		6,760
3.308% due 07/22/2015		5,649		5,190
HSBC Finance Corp.
2.878% due 10/21/2009		2,300		2,247
ICICI Bank Ltd.
3.250% due 01/12/2010		4,700		4,559
Lehman Brothers Holdings, Inc.
2.532% due 11/24/2008		4,600		4,576
2.778% due 05/25/2010		2,500		2,317
2.820% due 11/16/2009		9,600		9,151
3.010% due 01/23/2009		2,000		1,957
5.625% due 01/24/2013		2,500		2,370
Longpoint Re Ltd.
8.064% due 05/08/2010		1,300		1,300
Merrill Lynch & Co., Inc.
2.756% due 12/04/2009		3,700		3,548
2.831% due 12/22/2008		12,500		12,418
Morgan Stanley
2.803% due 01/15/2010		9,700		9,385
4.778% due 05/14/2010		4,200		4,186
Mystic Re Ltd.
8.982% due 12/05/2008		4,100		4,014
12.682% due 06/07/2011		1,100		1,125
National Australia Bank Ltd.
3.208% due 02/08/2010		18,400		18,405
Osiris Capital PLC
7.713% due 01/15/2010		1,600		1,613
Petroleum Export Ltd.
5.265% due 06/15/2011		481		478
Phoenix Quake Ltd.
5.134% due 07/03/2008		700		700
Phoenix Quake Wind II Ltd.
6.184% due 07/03/2008		300		300
Phoenix Quake Wind Ltd.
5.134% due 07/03/2008		600		600
Principal Life Income Funding Trusts
5.300% due 04/24/2013		1,900		1,903
Residential Reinsurance 2007 Ltd.
12.932% due 06/07/2010		500		502
Santander U.S. Debt S.A. Unipersonal
2.683% due 11/20/2008		1,500		1,497
2.861% due 09/19/2008		12,600		12,587
Wachovia Corp.
2.732% due 12/01/2009		6,000		5,875
5.500% due 05/01/2013		400		383
7.980% due 12/31/2049		41,400		38,131
				351,039
Industrials 3.3%
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		1,900		2,045
Daimler Finance North America LLC
3.218% due 03/13/2009		15,800		15,775
Gaz Capital S.A.
8.625% due 04/28/2034		17,900		19,466
HJ Heinz Co.
6.428% due 12/01/2020		800		807
Tennessee Gas Pipeline Co.
7.000% due 03/15/2027		7,800		7,666
Time Warner, Inc.
2.915% due 11/13/2009		2,700		2,625
Transocean, Inc.
2.873% due 09/05/2008		3,400		3,396
				51,780
Utilities 1.1%
AT&T, Inc.
2.884% due 02/05/2010		1,700		1,693
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		461		449
Verizon Communications, Inc.
6.100% due 04/15/2018		16,000		15,930
				18,072
Total Corporate Bonds & Notes (Cost $432,727)				420,891
MUNICIPAL BONDS & NOTES 0.1%
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
5.250% due 06/01/2019		1,500		1,569
Total Municipal Bonds & Notes (Cost $1,494)				1,569
COMMODITY INDEX-LINKED NOTES 0.2%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		4,000		3,973
Total Commodity Index-Linked Notes (Cost $4,000)				3,973
U.S. GOVERNMENT AGENCIES 65.6%
Fannie Mae
2.542% due 07/25/2037		4,160		4,109
2.882% due 11/25/2032		9		9
4.834% due 06/01/2035 (c)		13,514		13,643
4.970% due 01/01/2027		105		105
5.000% due 12/01/2013 - 07/01/2038		503,912		497,116
5.000% due 02/01/2019 (c)		11,173		11,161
5.500% due 03/01/2016 - 07/01/2038		141,705		140,820
5.500% due 09/01/2034 (c)		106,455		105,372
6.000% due 09/25/2016 - 07/01/2038		122,342		123,621
6.130% due 10/01/2008		146		145
6.500% due 01/01/2013 - 06/25/2044		14,628		15,310
7.000% due 05/01/2012 - 05/01/2032		213		224
7.500% due 03/01/2015 - 07/25/2041		291		312
8.000% due 06/01/2015 - 08/01/2031		43		45
12.000% due 05/01/2016		2		2
Federal Housing Administration
1.000% due 06/01/2023		62		62
7.430% due 04/01/2022		219		219
Freddie Mac
2.621% due 07/15/2019 - 10/15/2020		45,284		44,399
2.701% due 02/15/2019		16,260		15,941
4.000% due 05/01/2019		108		103
4.500% due 05/01/2018 - 05/01/2034		895		871
5.000% due 04/15/2016 - 09/01/2035		10,177		10,147
5.500% due 06/01/2017 - 10/01/2034		1,978		1,978
6.000% due 09/01/2013 - 07/01/2038		10,258		10,376
6.500% due 07/25/2043		5		5
7.000% due 04/01/2032		38		40
7.500% due 05/01/2015		2		2
8.000% due 01/01/2012		5		5
8.500% due 04/15/2025		293		316
Ginnie Mae
2.921% due 10/16/2030		37		37
3.071% due 02/16/2030		646		652
3.121% due 02/16/2030		442		442
5.000% due 09/15/2017 - 12/15/2017		141		142
5.125% due 11/20/2017 - 11/20/2025		60		61
5.375% due 03/20/2020 - 03/20/2028		287		289
5.500% due 01/15/2017 - 09/20/2034		13,977		13,804
6.000% due 07/20/2015 - 08/20/2034		144		146
6.500% due 01/20/2034 - 08/20/2034		109		113
7.000% due 07/15/2031 - 12/15/2032		105		112
7.500% due 04/20/2027 - 01/15/2031		491		525
8.000% due 04/15/2017 - 11/15/2022		1,123		1,217
9.000% due 06/15/2009 - 10/15/2017		14		14
9.500% due 08/15/2021 - 12/15/2021		17		19
Small Business Administration
4.340% due 03/01/2024		65		62
4.504% due 02/01/2014		53		50
4.750% due 07/01/2025		16,844		16,262
5.130% due 09/01/2023		16		16
6.090% due 07/01/2011		61		62
6.640% due 02/01/2011		1,047		1,077
7.449% due 08/01/2010		764		783
U.S. Department of Housing and Urban Development
5.070% due 08/01/2015		2,000		2,040
5.290% due 08/01/2017		5,000		5,122
Total U.S. Government Agencies (Cost $1,049,518)				1,039,505
MORTGAGE-BACKED SECURITIES 3.7%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		2,059		1,843
Banc of America Funding Corp.
4.110% due 05/25/2035		3,351		3,135
Bear Stearns Adjustable Rate Mortgage Trust
5.615% due 02/25/2033		259		243
6.736% due 02/25/2033		116		114
Bear Stearns Alt-A Trust
5.372% due 05/25/2035		4,312		3,698
5.701% due 09/25/2035		1,068		882
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		4,355		4,317
Citigroup Mortgage Loan Trust, Inc.
4.748% due 08/25/2035		17,281		16,477
Countrywide Alternative Loan Trust
6.000% due 10/25/2032		2		2
Countrywide Home Loan Mortgage Pass-Through Trust
2.772% due 04/25/2035		357		269
4.720% due 02/20/2035		4,652		4,545
4.799% due 11/25/2034		2,648		2,547
CS First Boston Mortgage Securities Corp.
3.326% due 03/25/2032		81		73
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		3,078		2,883
Indymac ARM Trust
6.446% due 01/25/2032		85		84
JPMorgan Mortgage Trust
5.020% due 02/25/2035		2,391		2,258
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		1,458		1,173
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		420		379
Prime Mortgage Trust
2.882% due 02/25/2019		134		127
2.882% due 02/25/2034		690		628
Structured Asset Mortgage Investments, Inc.
2.732% due 07/19/2035		1,580		1,426
Structured Asset Securities Corp.
6.050% due 02/25/2032		33		30
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		2,251		2,155
Wachovia Bank Commercial Mortgage Trust
2.551% due 06/15/2020		3,999		3,703
WaMu Mortgage Pass-Through Certificates
2.772% due 10/25/2045		924		721
4.361% due 02/27/2034		8		7
4.728% due 11/25/2042		347		321
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		5,118		4,932
Total Mortgage-Backed Securities (Cost $62,318)				58,972
ASSET-BACKED SECURITIES 2.9%
Asset-Backed Funding Certificates
2.542% due 01/25/2037		1,524		1,479
BA Credit Card Trust
3.051% due 04/15/2013		2,100		2,097
Brazos Student Finance Corp.
2.870% due 06/01/2023		524		520
First USA Credit Card Master Trust
2.641% due 04/18/2011		6,800		6,800
Ford Credit Auto Owner Trust
3.891% due 06/15/2012		30,000		30,311
Fremont Home Loan Owner Trust
3.272% due 12/25/2029		216		157
HFC Home Equity Loan Asset-Backed Certificates
2.769% due 01/20/2034		2,699		2,392
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		1,226		1,176
Long Beach Mortgage Loan Trust
2.762% due 10/25/2034		87		72
SLM Student Loan Trust
3.220% due 01/25/2015		878		875
Total Asset-Backed Securities (Cost $45,996)				45,879
SOVEREIGN ISSUES 0.2%
Hydro Quebec
2.560% due 09/29/2049		5,000		4,410
Total Sovereign Issues (Cost $4,613)				4,410
FOREIGN CURRENCY-DENOMINATED ISSUES 0.8%
Banque Centrale de Tunisie
7.500% due 08/06/2009	EUR	6,000		9,553
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	800		820
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	200,000		1,869
Total Foreign Currency-Denominated Issues (Cost $8,271)				12,242
		Shares
CONVERTIBLE PREFERRED STOCKS 0.3%
Bank of America Corp.
7.250% due 12/31/2049		5,000		4,420
Total Convertible Preferred Stocks (Cost $5,000)				4,420
PREFERRED STOCKS 0.6%
DG Funding Trust
5.041% due 12/31/2049		912		9,100
Total Preferred Stocks (Cost $9,440)				9,100
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 4.3%
Commercial Paper 3.5%
BNP Paribas Finance, Inc.
2.500% due 07/01/2008	$	29,300		29,300
Danske Corp.
2.690% due 09/18/2008		6,500		6,460
Federal Home Loan Bank
2.000% due 07/01/2008		19,000		19,000
				54,760
Repurchase Agreements 0.3%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		4,932		4,932
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.400% due 05/13/2009 valued at $5,034. Repurchase proceeds are $4,932.)
U.S. Treasury Bills 0.5%
1.785% due 08/28/2008 - 09/25/2008 (a)(b)		7,750		7,707
Total Short-Term Instruments (Cost $67,413)				67,399
PURCHASED OPTIONS (f) 0.1% (Cost $3,447)				1,333
Total Investments 105.7% (Cost $1,701,830)			$	1,676,269
Written Options (g) (0.1%) (Premiums $3,944)				(2,197	)
Other Assets and Liabilities (Net) (5.6%)				(89,091	)
Net Assets 100.0%				$1,584,981

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 $7,707 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(c) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $16,281 at a weighted average interest rate of 2.458%. On June 30, 2008, securities valued at $20,707 were pledged as collateral for reverse repurchase agreements.

(d) Cash of $10,820 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	88	$	3
90-Day Euribor June Futures	Long	06/2009	50		(10	)
90-Day Euribor March Futures	Long	03/2009	84		(3	)
90-Day Eurodollar December Futures	Long	12/2008	2,568		10,611
90-Day Eurodollar December Futures	Long	12/2009	152		(245	)
90-Day Eurodollar June Futures	Long	06/2009	465		(298	)
90-Day Eurodollar March Futures	Long	03/2009	2,021		4,244
90-Day Eurodollar March Futures	Long	03/2010	116		(208	)
90-Day Eurodollar September Futures	Long	09/2008	195		67
90-Day Eurodollar September Futures	Long	09/2009	265		(60	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	224		115
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	130		(163	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	56		(186	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	127		(211	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	196		(114	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	829		(496	)
				$	13,046

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.970	%	03/20/2013	DUB	$	2,200	$	(16	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.100	%	03/20/2013	BCLY		2,800		(6	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.125	%	03/20/2013	LEH		700		(1	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.630	%	06/20/2013	DUB		13,800		(293	)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	1.200	%	06/20/2013	BNP		25,000		168
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	5.700	%	06/20/2009	RBS		7,000		159
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	5.150	%	06/20/2010	RBS		7,000		292
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	4.400	%	03/20/2013	BNP		1,500		129
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS		11,100		10
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012	GSC		300		(71	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.150	%	09/20/2012	LEH		1,700		(348	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.650	%	09/20/2012	BCLY		1,000		(192	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	7.250	%	03/20/2009	DUB		1,000		(26	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	6.400	%	06/20/2009	MLP		400		(18	)
Freddie Mac 5.080% due 02/07/2019	Sell	0.720	%	03/20/2013	BCLY		3,000		13
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.950	%	01/20/2009	MSC		4,300		2
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.750	%	03/20/2009	CITI		5,300		(4	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.900	%	12/20/2010	GSC		800		(9	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.670	%	03/20/2013	BCLY		12,100		37
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.270	%	06/20/2013	BCLY		15,000		(224	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.270	%	06/20/2013	RBS		10,000		(149	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	12/20/2012	BOA		500		(162	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.550	%	12/20/2012	JPM		100		(32	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	12/20/2012	DUB		300		(97	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.630	%	12/20/2012	MSC		100		(32	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.800	%	12/20/2012	BNP		200		(63	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.900	%	03/20/2013	LEH		4,200		(916	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	DUB		15,000		(2,252	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.050	%	09/20/2008	MSC		3,400		(93	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.680	%	09/20/2008	LEH		7,400		(191	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.200	%	09/20/2012	GSC		500		(155	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.650	%	09/20/2012	BCLY		1,000		(292	)
GMAC LLC 6.875% due 08/28/2012	Sell	4.850	%	09/20/2012	JPM		1,400		(387	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.880	%	09/20/2012	DUB		1,500		(26	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.940	%	09/20/2012	CSFB		3,100		(47	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008	LEH		1,100		(2	)
Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008	HSBC		200		0
Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008	CSFB		1,000		2
Multiple Reference Entities of Gazprom	Sell	0.360	%	05/20/2009	HSBC		2,000		(11	)
Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011	MSC		5,700		(180	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	1.250	%	01/20/2017	JPM		700		(20	)
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.650	%	09/20/2010	CSFB		1,000		19
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.795	%	08/20/2012	MSC		5,100		(28	)
SLM Corp. 5.125% due 08/27/2012	Sell	5.100	%	06/20/2009	BCLY		500		1
SLM Corp. 5.125% due 08/27/2012	Sell	5.050	%	03/20/2013	BNP		1,600		30
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	12/20/2008	LEH		3,000		(15	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008	BCLY		4,000		(19	)
								$	(5,515	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	3,200	$	255
Dow Jones CDX N.A. HY8 Index	Sell	0.355	%	06/20/2012	CITI		6,161		(207	)
Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012	CITI		4,968		(166	)
Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012	CITI		1,391		(44	)
Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012	MLP		1,400		(101	)
Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012	MSC		1,300		(82	)
Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	CITI		800		(48	)
Dow Jones CDX N.A. HY8 Index	Sell	2.179	%	06/20/2012	CITI		500		(30	)
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB		8,500		65
Dow Jones CDX N.A. IG9 Index	Sell	0.758	%	12/20/2012	BCLY		13,100		162
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		2,900		(5	)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		8,900		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		19,400		73
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		2,400		8
Dow Jones CDX N.A. IG10 Index	Sell	0.463	%	06/20/2013	GSC		2,100		6
Dow Jones CDX N.A. IG10 Index	Sell	0.530	%	06/20/2013	DUB		1,700		0
								$	(114	)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH	$	7,300	$	(55	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		1,100		(5	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		1,800		(14	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		5,400		(6	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		33,700		(208	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		3,800		(13	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		4,500		(70	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		2,100		0
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		2,700		(32	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	5,100		(122	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146	%	10/15/2010	UBS		1,400		(27	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM		3,500		(205	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS		900		(43	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.950	%	03/30/2012	RBS		700		(34	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		1,100		(65	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY		500		(29	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		2,500		(153	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS	AUD	17,500		(181	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	BCLY	GBP	11,400		(59	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	DUB		6,800		(37	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	BCLY		6,300		(60	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS		5,800		(58	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		1,300		0
Pay	6-Month GBP-LIBOR	4.500	%	09/20/2009	LEH		4,100		(198	)
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC		3,100		12
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	DUB		9,700		(142	)
Receive	6-Month GBP-LIBOR	5.000	%	12/19/2037	GSC		400		(37	)
Pay	BRL-CDI-Compounded	11.360	%	01/04/2010	BCLY	BRL	7,400		(203	)
Pay	BRL-CDI-Compounded	11.430	%	01/04/2010	MLP		4,800		(128	)
Pay	BRL-CDI-Compounded	11.465	%	01/04/2010	GSC		1,900		(50	)
Pay	BRL-CDI-Compounded	12.410	%	01/04/2010	UBS		3,600		(45	)
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MSC		3,600		(46	)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC		3,200		(35	)
Pay	BRL-CDI-Compounded	12.948	%	01/04/2010	MLP		2,900		(23	)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		3,200		(140	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	BCLY		4,300		(127	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	UBS		4,300		(127	)
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP	$	5,600		(21	)
								$	(2,786	)

Interest Rate Cap/Floor Swaps

Counterparty

Floating Rate Index

Cap/Floor

Cap/Floor Rate

Pay/Receive Floating Rate

Premium Amount

Expiration Date

Notional Amount

Unrealized (Depreciation)

JPM

10/2-Year EUR ISDA rate spread

Floor

(0.750

%)

Pay

$

(43

)

12/24/2008

EUR

3,000

$

0

(f) Purchased options outstanding on June 30, 2008:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	44,300	$	481	$	210
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		19,600		210		91
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		13,400		143		62
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		37,700		365		175
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		95,700		841		255
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		66,300		716		193
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		45,800		488		213
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		19,200		203		134
									$	3,447	$	1,333

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

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	388	$	222	$	145
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	388		353		124
					$	575	$	269

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009	$	5,900	$	129	$	89
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009		10,200		328		221
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		4,600		116		64
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		3,000		98		59
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		4,500		149		88
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		12,600		396		246
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		31,900		795		417
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		22,100		666		298
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		15,300		496		299
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		6,400		196		147
									$	3,369	$	1,928

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

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value(3)
Fannie Mae	5.500	%	07/01/2038	$	168,900	$	167,227	$	166,498
Ginnie Mae	5.500	%	07/01/2038		100		98		99
U.S. Treasury Notes	2.125	%	04/30/2010		27,900		27,685		27,824
U.S. Treasury Notes	3.125	%	11/30/2009		8,700		8,755		8,827
U.S. Treasury Notes	3.250	%	12/31/2009		33,400		33,623		33,888
						$	237,388	$	237,136

⁽³⁾ Market value includes $214 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	1,182	04/2009	$	0	$	(3	)	$	(3	)
Buy	AUD	551	07/2008		4		0			4
Buy	BRL	70,135	07/2008		8,433		0			8,433
Sell		70,135	07/2008		0		(2,227	)		(2,227	)
Buy		69,704	12/2008		2,706		0			2,706
Sell		24,394	12/2008		0		(1,180	)		(1,180	)
Buy	CLP	449,507	12/2008		0		(81	)		(81	)
Buy	CNY	26,278	11/2008		50		0			50
Sell	EUR	16,204	07/2008		0		(261	)		(261	)
Sell	GBP	20,292	08/2008		0		(223	)		(223	)
Buy	IDR	10,351,200	10/2008		10		0			10
Buy	INR	68,726	08/2008		0		(154	)		(154	)
Buy		394,283	11/2008		0		(771	)		(771	)
Sell	JPY	581,775	07/2008		0		(91	)		(91	)
Buy	KRW	6,245,788	08/2008		0		(722	)		(722	)
Sell		6,245,788	08/2008		16		(4	)		12
Buy	KWD	89	04/2009		0		(4	)		(4	)
Buy	MXN	78,869	07/2008		555		0			555
Sell		78,869	07/2008		0		(344	)		(344	)
Buy	MYR	10,327	11/2008		0		(41	)		(41	)
Buy		4,890	02/2009		0		(31	)		(31	)
Sell	NZD	1,202	07/2008		0		(6	)		(6	)
Buy	PHP	257,008	08/2008		0		(143	)		(143	)
Buy	PLN	16,035	07/2008		1,671		0			1,671
Sell		16,035	07/2008		0		(1,107	)		(1,107	)
Buy	RUB	313,755	07/2008		718		0			718
Sell		313,755	07/2008		0		(610	)		(610	)
Buy		81,071	11/2008		168		0			168
Sell		2,410	11/2008		0		(7	)		(7	)
Buy		50,481	05/2009		29		0			29
Sell		78,661	05/2009		0		(62	)		(62	)
Buy	SAR	1,211	04/2009		0		(3	)		(3	)
Buy	SEK	7,624	09/2008		6		0			6
Buy	SGD	16,795	11/2008		244		0			244
Buy	ZAR	2,078	07/2008		0		(35	)		(35	)
Sell		2,078	07/2008		0		(8	)		(8	)
Buy		2,626	12/2008		7		(1	)		6
				$	14,617	$	(8,119	)	$	6,498

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0	$	1,674,118		$	2,151		$	1,676,269
Other Financial Instruments++		13,046		(240,147	)		(889	)		(227,990	)
Total	$	13,046	$	1,433,971		$	1,262		$	1,448,279

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/(Losses)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	2,264		$	(3	)	$	0	$	(110	)	$	0	$	2,151
Other Financial Instruments++		(469	)		0			0		(420	)		0		(889	)
Total	$	1,795		$	(3	)	$	0	$	(530	)	$	0	$	1,262

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

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

See Accompanying Notes

Schedule of Investments

Money Market Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 9.4%
Banking & Finance 8.6%
American Express Centurion Bank
2.648% due 11/07/2008	$	3,900	$	3,900
American Honda Finance Corp.
4.200% due 07/14/2008		7,400		7,398
Citigroup, Inc.
3.625% due 02/09/2009		4,400		4,403
John Deere Capital Corp.
2.984% due 09/25/2008		3,800		3,800
National Australia Bank Ltd.
2.682% due 12/01/2008		2,000		2,001
Royal Bank of Canada
2.509% due 09/09/2008		3,800		3,799
Santander U.S. Debt S.A. Unipersonal
2.861% due 09/19/2008		7,700		7,704
Wachovia Corp.
2.532% due 10/28/2008		900		900
2.949% due 10/28/2008		5,405		5,403
				39,308
Industrials 0.8%
International Business Machines Corp.
2.431% due 09/02/2008		3,800		3,799
Total Corporate Bonds & Notes (Cost $43,108)				43,107
SHORT-TERM INSTRUMENTS 90.0%
Certificates of Deposit 7.3%
ABN AMRO N.A. Finance
2.605% due 08/13/2008		9,100		9,100
5.405% due 07/11/2008		8,100		8,100
Citibank N.A.
2.800% due 09/15/2008		16,500		16,500
				33,700
Commercial Paper 82.5%
ASB Finance Ltd.
2.750% due 07/09/2008		9,000		8,994
Australia & New Zealand Banking Group Ltd.
2.560% due 08/13/2008		17,000		16,948
Bank of America Corp.
2.700% due 09/09/2008		4,000		3,979
2.710% due 09/24/2008		14,000		13,910
Barclays U.S. Funding Corp.
2.680% due 08/01/2008		1,700		1,696
2.780% due 09/23/2008		11,100		11,028
BNP Paribas Finance, Inc.
2.741% due 09/18/2008		18,000		17,892
Danske Corp.
2.670% due 07/11/2008		9,000		8,993
DnB NOR Bank ASA
2.720% due 07/11/2008		4,000		3,997
Fannie Mae
2.270% due 11/12/2008		2,300		2,281
2.410% due 10/31/2008		14,400		14,282
Federal Home Loan Bank
2.000% due 07/01/2008		3,600		3,600
2.198% due 07/11/2008		48,900		48,870
2.260% due 11/07/2008		22,646		22,463
2.340% due 09/10/2008		10,000		9,954
Freddie Mac
2.639% due 12/26/2008		15,000		15,013
General Electric Capital Corp.
2.570% due 08/14/2008		9,000		8,972
HSBC Bank USA N.A.
2.760% due 07/07/2008		12,800		12,794
ING Funding LLC
2.640% due 07/01/2008		13,000		13,000
Intesa Funding LLC
2.780% due 09/16/2008		15,500		15,408
Nordea N.A., Inc.
2.700% due 07/11/2008		9,000		8,993
Rabobank USA Financial Corp.
2.240% due 07/01/2008		18,000		18,000
Royal Bank of Scotland Group PLC
2.680% due 07/08/2008		5,800		5,797
Societe General N.A.
2.900% due 09/18/2008		10,500		10,433
Svenska Handelsbanken AB
2.590% due 07/07/2008		4,800		4,798
Toyota Motor Credit Corp.
2.580% due 11/14/2008		10,600		10,497
UBS Finance Delaware LLC
2.625% due 09/02/2008		4,000		3,982
2.730% due 09/10/2008		2,000		1,989
3.070% due 12/08/2008		11,000		10,850
Unicredito Italiano SpA
2.990% due 09/08/2008		17,000		16,903
Wells Fargo & Co.
2.350% due 07/07/2008		17,800		17,793
Westpac Banking Corp.
2.700% due 07/09/2008		9,000		8,995
Westpac Trust Securities NZ Ltd.
2.700% due 09/04/2008		6,300		6,269
				379,373
Repurchase Agreements 0.2%
State Street Bank and Trust Co.
1.650% due 07/01/2008		1,047		1,047
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $1,070. Repurchase proceeds are $1,047.)
Total Short-Term Instruments (Cost $414,119)				414,120
Total Investments 99.4% (Cost $457,227)			$	457,227
Other Assets and Liabilities (Net) 0.6%				2,670
Net Assets 100.0%			$	459,897

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

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

(a) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	457,227	$	0	$	457,227
Other Financial Instruments++		0		0		0		0
Total	$	0	$	457,227	$	0	$	457,227

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

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

See Accompanying Notes

Schedule of Investments

Mortgage-Backed Securities Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 0.6%
Morgan Stanley
4.778% due 05/14/2010	$	5,000	$	4,983
Total Corporate Bonds & Notes (Cost $5,000)				4,983
U.S. GOVERNMENT AGENCIES 129.4%
Fannie Mae
0.000% due 04/25/2009 - 07/25/2022 (a)		109		101
2.602% due 03/25/2034		1,366		1,326
2.632% due 08/25/2034 - 10/25/2035		11,260		10,800
2.682% due 10/27/2037		10,000		9,567
2.722% due 06/25/2033		206		190
2.742% due 06/25/2032		585		537
2.822% due 11/25/2032		462		434
2.832% due 11/25/2032		148		147
2.881% due 04/18/2028		7		7
2.932% due 05/25/2023		1,241		1,239
2.982% due 03/25/2017 - 07/25/2034		4,630		4,571
3.150% due 02/25/2024		901		901
3.500% due 04/25/2023		4		4
3.905% due 05/01/2033		519		524
4.011% due 10/25/2008		4		4
4.500% due 02/01/2020 - 06/01/2023		40,200		39,066
4.994% due 08/01/2042 - 10/01/2044 (d)		4,648		4,652
4.994% due 03/01/2044 - 10/01/2044		1,610		1,610
5.000% due 06/01/2018 - 05/01/2038		85,706		84,051
5.000% due 09/01/2018 - 02/01/2037 (d)		127,134		122,570
5.037% due 12/01/2035 (d)		1,935		1,957
5.500% due 01/01/2021 - 07/01/2038		170,854		170,053
5.500% due 11/01/2032 - 03/01/2036 (d)		115,250		114,143
5.720% due 11/01/2018		3		3
6.000% due 10/01/2018 - 07/01/2038		48,631		49,124
6.000% due 09/01/2034 - 08/01/2037 (d)		17,036		17,215
6.071% due 08/01/2027 (d)		1,007		1,017
6.121% due 12/01/2034		788		796
6.208% due 03/01/2032		221		223
6.231% due 10/01/2036 (d)		3,424		3,509
6.353% due 05/01/2023		25		26
6.500% due 09/25/2023 - 02/01/2038		56,234		57,987
6.500% due 05/01/2036 - 12/01/2037 (d)		39,321		40,539
6.875% due 03/01/2027		101		102
6.970% due 10/01/2028		14		14
7.000% due 09/25/2023		3		3
7.500% due 06/01/2030 - 08/01/2031		179		193
7.750% due 08/25/2022		34		36
8.200% due 04/25/2025		59		61
Federal Housing Administration
5.022% due 10/25/2022		424		425
7.430% due 06/01/2019		220		221
Freddie Mac
2.871% due 12/15/2032		283		280
2.971% due 09/15/2030		47		47
3.500% due 12/15/2022		2		2
4.500% due 04/01/2020 - 03/15/2021		30		29
4.994% due 10/25/2044 - 02/25/2045		3,848		3,712
5.000% due 03/01/2038 - 06/01/2038		99,796		95,732
5.322% due 02/01/2018		64		64
5.500% due 12/01/2017 - 07/01/2038		36,121		35,655
5.500% due 02/01/2018 - 04/01/2038 (d)		44,374		43,835
5.882% due 11/01/2031		114		116
6.000% due 08/01/2037 - 07/01/2038		66,358		67,032
6.212% due 07/01/2030		24		24
6.500% due 12/15/2023 - 03/15/2024		97		102
6.564% due 08/01/2025		10		10
6.566% due 11/01/2028		7		7
6.842% due 05/01/2032		66		66
7.040% due 02/01/2028		183		185
8.000% due 06/15/2026		22		24
Ginnie Mae
2.671% due 02/16/2032		117		117
2.721% due 08/16/2032		2,088		2,068
2.871% due 06/16/2027		262		261
3.021% due 04/16/2032		387		387
4.500% due 08/20/2033		1,128		1,051
5.000% due 07/15/2033 - 06/15/2038		11,000		10,678
5.125% due 12/20/2021 - 11/20/2023		23		23
5.375% due 02/20/2017 - 03/20/2027		12		12
5.500% due 03/20/2016 - 07/01/2038		51,634		51,481
5.625% due 07/20/2022 - 08/20/2026		51		51
6.000% due 07/01/2038		30,000		30,455
6.375% due 06/20/2017		24		25
6.500% due 07/15/2024 - 07/01/2038		4,952		5,122
7.500% due 05/15/2027 - 08/15/2027		8		8
Total U.S. Government Agencies (Cost $1,091,623)				1,088,609
MORTGAGE-BACKED SECURITIES 18.6%
American Home Mortgage Assets Trust
2.712% due 09/25/2046		290		157
2.772% due 08/25/2037		2,000		689
American Home Mortgage Investment Trust
2.722% due 05/25/2047		407		233
Banc of America Structural Security Trust
2.948% due 10/11/2033		1,565		1,553
Banktrust Mortgage Trust
5.700% due 12/01/2023		75		67
Bear Stearns Alt-A Trust
2.702% due 12/25/2046		1,152		461
5.500% due 08/25/2036		6,300		3,558
5.920% due 11/25/2036		2,967		2,134
Bear Stearns Commercial Mortgage Securities
5.331% due 02/11/2044		6,400		5,932
5.405% due 12/11/2040		9,000		8,743
5.471% due 01/12/2045		3,100		2,898
5.540% due 09/11/2041		5,600		5,374
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		4,355		4,317
CBA Commercial Small Balance Commercial Mortgage
2.762% due 12/25/2036		923		601
CC Mortgage Funding Corp.
2.612% due 05/25/2048		2,450		1,719
2.762% due 01/25/2035		144		128
Commercial Mortgage Pass-Through Certificates
2.671% due 02/05/2019		2,000		1,937
Countrywide Alternative Loan Trust
2.682% due 07/20/2046		318		221
2.692% due 05/25/2035		1,333		1,013
2.712% due 08/25/2046		663		373
2.732% due 09/25/2046		450		153
2.732% due 10/25/2046		333		195
2.742% due 07/25/2046		450		158
2.752% due 05/25/2036		322		180
2.759% due 09/20/2046		450		193
2.822% due 10/25/2046		450		159
2.832% due 06/25/2037		443		269
2.852% due 11/25/2035		114		69
2.902% due 12/25/2035		203		130
2.992% due 11/20/2035		450		262
3.252% due 11/25/2035		316		241
Countrywide Home Loan Mortgage Pass-Through Trust
2.772% due 02/25/2035		47		37
2.772% due 04/25/2035		828		624
2.782% due 04/25/2046		334		183
2.802% due 03/25/2035		2,726		2,102
2.822% due 03/25/2036		231		140
2.832% due 02/25/2036		233		143
2.942% due 09/25/2034		771		578
4.799% due 11/25/2034		2,875		2,765
5.000% due 08/25/2033		154		154
5.420% due 04/25/2035		1,536		1,336
5.454% due 02/25/2047		4,600		3,422
5.650% due 03/25/2037		4,419		3,261
Credit Suisse Mortgage Capital Certificates
5.383% due 02/15/2040		9,921		9,224
CS First Boston Mortgage Securities Corp.
3.326% due 03/25/2032		41		37
Downey Savings & Loan Association Mortgage Loan Trust
2.792% due 11/19/2037		450		150
2.802% due 07/19/2045		178		111
First Horizon Asset Securities, Inc.
5.368% due 08/25/2035		4,147		3,968
Greenpoint Mortgage Funding Trust
2.682% due 10/25/2046		450		236
2.682% due 12/25/2046		450		161
2.692% due 10/25/2046		450		172
2.712% due 06/25/2045		726		600
2.752% due 04/25/2036		340		194
2.802% due 09/25/2046		450		187
2.822% due 10/25/2046		450		173
GSR Mortgage Loan Trust
2.742% due 08/25/2046		319		167
Harborview Mortgage Loan Trust
2.682% due 09/19/2046		287		199
2.702% due 05/19/2047		2,845		2,009
2.732% due 01/19/2038		351		186
2.732% due 09/19/2046		287		155
2.792% due 11/19/2035		2,004		1,526
Indymac Index Mortgage Loan Trust
2.672% due 04/25/2037		416		227
2.682% due 11/25/2046		452		221
2.722% due 04/25/2035		1,822		1,394
2.732% due 02/25/2037		450		176
2.752% due 06/25/2037		431		252
2.772% due 11/25/2036		767		427
2.802% due 02/25/2035		1,166		909
5.277% due 06/25/2035		4,682		3,760
JPMorgan Chase Commercial Mortgage Securities Corp.
5.305% due 01/15/2049		7,000		6,808
MASTR Adjustable Rate Mortgages Trust
2.782% due 05/25/2047		450		223
2.822% due 05/25/2047		450		173
MASTR Alternative Loans Trust
2.882% due 03/25/2036		2,464		1,754
Mellon Residential Funding Corp.
2.821% due 11/15/2031		610		550
Merrill Lynch Alternative Note Asset
5.660% due 06/25/2037		5,738		4,395
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		3,390		3,148
Merrill Lynch Mortgage Trust
5.017% due 01/12/2044		245		244
MLCC Mortgage Investors, Inc.
2.851% due 03/15/2025		28		22
4.250% due 10/25/2035		3,365		3,220
Morgan Stanley Dean Witter Capital I
5.500% due 04/25/2017		24		25
Opteum Mortgage Acceptance Corp.
2.742% due 07/25/2035		594		514
Prime Mortgage Trust
5.000% due 02/25/2019		446		427
Residential Accredit Loans, Inc.
2.642% due 01/25/2037		8,948		7,138
2.662% due 06/25/2046		7,960		5,710
2.662% due 02/25/2047		414		219
2.682% due 12/25/2046		450		176
2.712% due 05/25/2037		436		227
2.752% due 05/25/2046		450		167
2.882% due 10/25/2045		229		178
Residential Asset Mortgage Products, Inc.
8.500% due 10/25/2031		500		484
Residential Asset Securitization Trust
6.000% due 03/25/2037		3,783		3,348
Sequoia Mortgage Trust
2.829% due 07/20/2033		239		214
2.832% due 10/19/2026		374		354
2.859% due 10/20/2027		101		89
Structured Adjustable Rate Mortgage Loan Trust
2.702% due 05/25/2037		3,406		2,453
5.195% due 05/25/2035		2,088		1,779
Structured Asset Mortgage Investments, Inc.
2.732% due 09/25/2047		753		422
2.742% due 05/25/2046		394		223
2.782% due 08/25/2036		450		233
2.812% due 09/19/2032		145		133
Structured Asset Securities Corp.
2.982% due 12/25/2033		1,969		1,760
Thornburg Mortgage Securities Trust
2.602% due 07/25/2036		1,836		1,706
2.602% due 09/25/2046		2,865		2,764
3.162% due 04/25/2043		1,656		1,617
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		2,058		1,943
WaMu Mortgage Pass-Through Certificates
2.702% due 07/25/2046		377		299
2.752% due 12/25/2045		2,389		1,921
2.892% due 11/25/2045		450		287
2.892% due 12/25/2045		450		244
2.928% due 11/25/2034		284		241
2.938% due 07/25/2044		533		470
3.022% due 12/25/2027		2,186		1,997
3.182% due 12/25/2045		404		161
4.030% due 08/25/2033		1,584		1,562
4.278% due 06/25/2047		413		231
4.338% due 07/25/2047		414		298
4.528% due 02/25/2046		1,363		1,004
4.780% due 10/25/2046		6,405		5,000
5.756% due 03/25/2033		1,771		1,766
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.732% due 07/25/2046		151		85
4.288% due 04/25/2047		425		241
4.298% due 04/25/2047		404		231
4.368% due 05/25/2047		399		234
Total Mortgage-Backed Securities (Cost $166,635)				156,795
ASSET-BACKED SECURITIES 12.2%
ACE Securities Corp.
2.532% due 06/25/2036		214		213
American Express Credit Account Master Trust
3.421% due 08/15/2012		8,000		8,055
Amortizing Residential Collateral Trust
2.772% due 07/25/2032		25		21
3.182% due 10/25/2031		22		22
Amresco Residential Securities Mortgage Loan Trust
2.978% due 06/25/2028		443		373
3.038% due 06/25/2027		326		287
3.038% due 09/25/2027		800		712
3.112% due 09/25/2028		992		804
Argent Securities, Inc.
3.332% due 11/25/2034		2,500		1,877
BA Credit Card Trust
3.671% due 12/16/2013		10,000		10,156
Capital Auto Receivables Asset Trust
3.391% due 03/15/2011		9,200		9,235
3.921% due 10/15/2012		1,000		1,010
Centex Home Equity
2.782% due 01/25/2032		30		29
Chase Issuance Trust
2.721% due 09/15/2011		5,600		5,589
3.121% due 11/15/2011		10,000		10,026
CIT Group Home Equity Loan Trust
2.752% due 06/25/2033		120		110
Citibank Omni Master Trust
3.581% due 12/23/2013		5,600		5,650
Citigroup Mortgage Loan Trust, Inc.
2.722% due 08/25/2035		193		172
Conseco Finance
3.971% due 05/15/2032		1,146		991
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		1,821		1,344
Countrywide Asset-Backed Certificates
2.532% due 12/25/2046		1,011		997
EMC Mortgage Loan Trust
3.232% due 08/25/2040		271		234
First Franklin Mortgage Loan Asset-Backed Certificates
2.592% due 09/25/2036		5,500		5,001
3.402% due 08/25/2032		6		6
Ford Credit Auto Owner Trust
3.891% due 06/15/2012		10,000		10,104
Franklin Auto Trust
3.482% due 10/20/2011		7,000		6,987
4.062% due 06/20/2012		1,000		998
GSAA Trust
2.782% due 05/25/2047		1,896		979
GSR Mortgage Loan Trust
2.582% due 11/25/2030		148		146
HFC Home Equity Loan Asset-Backed Certificates
2.829% due 09/20/2033		1,764		1,656
Home Equity Asset Trust
3.082% due 11/25/2032		3		2
Lehman XS Trust
2.652% due 04/25/2046		450		420
2.712% due 06/25/2046		331		187
2.712% due 08/25/2046		374		248
2.722% due 09/25/2046		370		186
2.722% due 11/25/2046		355		197
2.802% due 11/25/2046		450		157
8.160% due 08/25/2046		451		96
Morgan Stanley Mortgage Loan Trust
2.842% due 04/25/2037		700		409
Park Place Securities, Inc.
2.982% due 07/25/2035 (h)		5,000		3,684
Quest Trust
3.382% due 06/25/2034		2,510		2,416
RAAC Series 2007-SP2
2.882% due 06/25/2047		500		352
Renaissance Home Equity Loan Trust
2.862% due 12/25/2032		54		51
2.922% due 08/25/2033		307		272
Residential Funding Mortgage Securities II, Inc.
2.582% due 02/25/2036		2,795		2,648
Salomon Brothers Mortgage Securities VII, Inc.
3.458% due 10/25/2028		951		817
Soundview Home Equity Loan Trust
2.562% due 06/25/2037		2,891		2,790
Specialty Underwriting & Residential Finance
3.162% due 01/25/2034		35		29
Structured Asset Securities Corp.
2.772% due 01/25/2033		43		37
United National Home Loan Owner Trust
6.910% due 03/25/2025		469		454
Wells Fargo Home Equity Trust
2.722% due 10/25/2035		1,067		1,043
2.732% due 12/25/2035		1,934		1,891
Total Asset-Backed Securities (Cost $103,122)				102,170
		Shares
CONVERTIBLE PREFERRED STOCKS 0.5%
American International Group, Inc.
8.500% due 08/01/2011		72,000		4,269
Total Convertible Preferred Stocks (Cost $5,400)				4,269
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 5.6%
Commercial Paper 3.0%
Citibank N.A.
3.570% due 08/19/2008	$	5,000		4,976
Federal Home Loan Bank
2.000% due 07/01/2008		4,800		4,800
UBS Finance Delaware LLC
2.930% due 10/27/2008		15,700		15,548
				25,324
Repurchase Agreements 1.0%
Deutsche Bank AG
1.500% due 07/01/2008		1,000		1,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $1,020. Repurchase proceeds are $1,000.)
State Street Bank and Trust Co.
1.650% due 07/01/2008		7,439		7,439
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $7,589. Repurchase proceeds are $7,439.)
				8,439
U.S. Treasury Bills 1.6%
1.844% due 08/28/2008 - 09/25/2008 (b)(c)		13,250		13,173
Total Short-Term Instruments (Cost $46,963)				46,936
Total Investments 166.9% (Cost $1,418,743)			$	1,403,762
Written Options (g) (0.0%) (Premiums $257)				(194	)
Other Assets and Liabilities (Net) (66.9%)				(562,456	)
Net Assets 100.0%			$	841,112

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

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

(a) Principal only security.

(b) Coupon represents a weighted average rate.

(c) Securities with an aggregate market value of $13,173 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $169,067 at a weighted average interest rate of 2.411%. On June 30, 2008, securities valued at $346,189 were pledged as collateral for reverse repurchase agreements.

(e) Cash of $2,440 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts		Unrealized (Depreciation	)
90-Day Eurodollar June Futures	Long	06/2009	720	$	(558	)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation
Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800%)	06/25/2046	LEH	$	1,500	$	1,460
Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 2.000% due 06/25/2038	Buy	(2.500%)	06/25/2038	LEH		1,500		1,454
Camber floating rate based on 3-Month USD-LIBOR plus 3.250% due 07/12/2043	Buy	(3.300%)	07/12/2043	BCLY		1,946		1,904
Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500%)	10/11/2021	GSC		500		122
							$	4,940

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 4 Index	Buy	(0.350%)	02/17/2051	BCLY	$	8,000	$	(96)
Home Equity Index A Rating 2006-1	Buy	(0.540%)	07/25/2045	BEAR		5,000		3,287
Home Equity Index BBB Rating 2006-2	Buy	(2.420%)	05/25/2046	LEH		3,000		1,928
Home Equity Index BBB Rating 2006-2	Sell	1.330%	05/25/2046	DUB		6,000		(2,431)
Home Equity Index BBB Rating 2006-2	Sell	1.330%	05/25/2046	RBS		4,500		(1,790)
Home Equity Index BBB Rating 2006-2	Sell	2.420%	05/25/2046	GSC		3,000		(1,841)
							$	(943)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI	$	5,400	$	(6	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	JPM		2,000		(15	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		23,300		(58	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		12,600		(46	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		26,600		(154	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		7,200		(251	)
Receive	30-Day USD-CMM Rate	5.000	%	01/16/2009	MLP		6,000		432
Receive	30-Day USD-CMM Rate	4.500	%	01/23/2009	MLP		10,000		1,220
								$	1,122

Interest Rate Cap/Floor Swaps

Counterparty

Floating Rate Index

Cap/Floor

Cap/Floor Rate

Pay/Receive Floating Rate

Premium Amount

Expiration Date

Notional Amount

Unrealized (Depreciation

)

LEH

3-Month USD-LIBOR with 6.940% interest rate cap

Cap

6.940%

Pay

$

119

07/01/2011

$

3,000

$

(113

)

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)	Expiration Date	Counterparty	# of Shares/Units		Unrealized Appreciation
Receive	Premium amount of $900	Interest and paydown on FFCA Secured Lending Corp. 8.180% due 09/18/2027	09/18/2027	MSC	3,000	$	968

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

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

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	116.000	08/22/2008	250	$	101	$	147
Put - CBOT U.S. Treasury 10-Year Note September Futures		110.000	08/22/2008	250		156		47
					$	257	$	194

(h) Restricted securities as of June 30, 2008:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Park Place Securities, Inc.	2.982	%	07/25/2035	03/13/2008	$	4,262	$	3,684	0.44	%

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

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(4)
Fannie Mae	5.000	%	07/01/2038	$	45,000	$	42,350	$	43,137
Fannie Mae	5.500	%	07/01/2038		29,000		28,827		28,587
Fannie Mae	6.000	%	07/01/2038		184,000		185,257		185,639
Fannie Mae	6.500	%	07/01/2038		17,500		17,989		18,017
U.S. Treasury Notes	3.875	%	05/15/2018		1,000		982		1,000
U.S. Treasury Notes	4.500	%	05/15/2017		5,778		5,999		6,079
						$	281,404	$	282,459

⁽⁴⁾ Market value includes $59 of interest payable on short sales.

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	4,269		$	1,385,662		$	13,831	$	1,403,762
Other Financial Instruments++		(558	)		(282,528	)		5,908		(277,178	)
Total	$	3,711		$	1,103,134		$	19,739	$	1,126,584

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

	Beginning balance at 03/31/2008		Net purchases/ (Sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/ (losses)		Net transfers in/(out) of Level 3			Ending balance at 06/30/2008
Investments, at value	$	10,213	$	13,136	$	9	$	40	$	(9,567	)	$	13,831
Other Financial Instruments++		5,678		0		0		230		0			5,908
Total	$	15,891	$	13,136	$	9	$	270	$	(9,567	)	$	19,739

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

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

See Accompanying Notes

Schedule of Investments

Municipal Bond Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 4.1%
Bank of America Corp.
8.000% due 12/29/2049	$	7,000	$	6,575
Citigroup, Inc.
8.400% due 04/29/2049		3,800		3,617
JPMorgan Chase & Co.
7.900% due 04/29/2049		3,800		3,573
Morgan Stanley
4.778% due 05/14/2010		7,600		7,575
Wachovia Corp.
7.980% due 12/31/2049		3,800		3,500
Total Corporate Bonds & Notes (Cost $25,980)				24,840
MUNICIPAL BONDS & NOTES 90.1%
ALABAMA 0.9%
Alabama State 21st Century Authority Revenue Bonds, Series 2001
5.750% due 12/01/2018		2,295		2,310
Jefferson County, Alabama Limited Obligation Revenue Bonds, Series 2004
5.250% due 01/01/2019		3,300		3,022
				5,332
ALASKA 0.4%
Alaska State Housing Finance Corp. Revenue Bonds, (MBIA Insured), Series 2002
5.250% due 06/01/2032		540		541
Anchorage, Alaska General Obligation Bonds, (FGIC Insured), Series 2006
5.000% due 10/01/2018		1,480		1,562
				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		1,976
Arizona State Salt Verde Financial Corp. Revenue Bonds, Series 2007
5.000% due 12/01/2037		6,000		5,229
Phoenix, Arizona Industrial Development Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2000
5.875% due 06/01/2016		5		5
Pima County, Arizona Industrial Development Authority Revenue Bonds, (HUD Sector 8 Insured), Series 1998
5.375% due 06/01/2010		660		676
				7,886
ARKANSAS 0.3%
Jefferson County, Arkansas Pollution Revenue Bonds, Series 2006
4.600% due 10/01/2017		2,000		1,928
CALIFORNIA 19.5%
Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997
0.000% due 09/01/2035		4,000		902
Bakersfield, California Certificates of Participation Bonds, Series 1991
0.000% due 04/15/2021		5,000		2,686
Bakersfield, California Revenue Bonds, (FSA Insured), Series 2007
5.000% due 09/15/2019		2,000		2,138
California State Association of Bay Area Governments Financing Authority for Non-Profit Corp. Revenue Bonds, Series 2003
5.200% due 11/15/2022		2,565		2,607
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2032		9,000		8,925
5.000% due 06/01/2037		5,300		5,204
5.000% due 11/01/2037		16,200		15,905
5.000% due 12/01/2037		4,200		4,123
California State Health Facilities Financing Authority Revenue Bonds, Series 2008
5.125% due 07/01/2022		7,800		7,808
5.625% due 07/01/2032		3,500		3,493
Culver, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2023		630		639
Foothill, California Eastern Transportation Corridor Agency Revenue Bonds, (MBIA-IBC Insured), Series 1999
0.000% due 01/15/2026 (a)		1,565		1,551
Foothill, California Eastern Transportation Corridor Agency Revenue Bonds, Series 1995
0.000% due 01/01/2026		1,000		429
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2003
6.250% due 06/01/2033		36,730		39,705
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2033		5,000		4,080
5.125% due 06/01/2047		2,000		1,531
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2031		3,010		788
Indian Wells, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2006
4.750% due 09/01/2034		5,850		5,353
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2015		2,890		2,127
0.000% due 08/01/2016		1,400		975
Poway, California Unified School District Special Tax Bonds, Series 2005
4.700% due 09/01/2016		940		895
4.800% due 09/01/2017		875		832
Poway, California Unified School District Special Tax Notes, Series 2005
4.600% due 09/01/2015		420		401
San Ramon Valley, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 07/01/2018		2,385		1,476
Southern California State Public Power Authority Revenue Bonds, Series 2007
5.250% due 11/01/2020		4,000		4,003
				118,576
COLORADO 0.4%
Colorado State Health Facilities Authority Revenue Bonds, Series 2006
5.250% due 06/01/2036		1,000		916
Colorado State Housing & Finance Authority Revenue Bonds, (FHA/VA Insured), Series 2000
5.700% due 10/01/2022		35		35
Colorado State Housing & Finance Authority Revenue Bonds, Series 2000
6.700% due 10/01/2016		20		20
6.750% due 04/01/2015		40		41
Denver, Colorado Health & Hospital Authority Revenue Bonds, Series 1998
5.000% due 12/01/2009		1,390		1,422
				2,434
CONNECTICUT 2.3%
Connecticut State General Obligation Bonds, (AMBAC Insured), Series 2005
9.164% due 06/01/2020		3,000		3,189
Connecticut State General Obligation Bonds, Series 2001
5.500% due 12/15/2012		10,000		10,882
				14,071
DISTRICT OF COLUMBIA 1.5%
District of Columbia Revenue Bonds, (FGIC Insured), Series 2006
5.000% due 02/01/2035		10,085		9,015
FLORIDA 3.2%
Florida Keys Aqueduct Authority Revenue Bonds, (FGIC Insured), Series 2007
5.000% due 09/01/2037		7,415		7,139
Florida State Board of Education General Obligation Bonds, (ST-GTD Insured), Series 2005
4.750% due 06/01/2035		2,270		2,142
Miami-Dade County, Florida Revenue Bonds, (MBIA Insured), Series 2005
0.000% due 10/01/2035 (a)		10,200		9,158
Orange County, Florida Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1996
6.250% due 10/01/2011		290		314
Tampa, Florida Guaranteed Entitlement Revenue Bonds, (AMBAC Insured), Series 2001
6.000% due 10/01/2018		800		909
				19,662
GEORGIA 0.9%
Georgia State Municipal Electric Authority Revenue Bonds, (MBIA-IBC Insured), Series 1997
6.500% due 01/01/2012		165		176
Main Street Natural Gas, Inc., Georgia Revenue Notes, Series 2007
5.000% due 03/15/2009		2,400		2,410
5.000% due 03/15/2010		2,800		2,808
				5,394
HAWAII 0.2%
Honolulu, Hawaii City & County General Obligation Bonds, (MBIA-IBC Insured), Series 1993
5.450% due 09/11/2008		1,000		1,007
ILLINOIS 6.7%
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2020		1,000		533
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1999
0.000% due 12/01/2031		1,000		278
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001
0.000% due 01/01/2020 (a)		1,290		1,214
Chicago, Illinois O'Hare International Airport Revenue Bonds, (FGIC Insured), Series 2005
5.250% due 01/01/2023		5,000		5,077
Chicago, Illinois Waste & Water Revenue Bonds, (MBIA Insured), Series 1998
0.000% due 01/01/2021		2,000		1,067
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		1,216
Cook County, Illinois School District No. 122-Oak Lawn General Obligation Bonds, (FGIC Insured), Series 2000
0.000% due 12/01/2016		2,570		1,752
Cook County, Illinois Township High School District No. 225-Northfield General Obligation Bonds, Series 2002
0.000% due 12/01/2012		135		112
0.000% due 12/01/2014		255		190
0.000% due 12/01/2015		1,885		1,334
Cook County, Illinois Township High School District No. 225-Northfield General Obligation Notes, Series 2002
0.000% due 12/01/2011		125		109
Illinois State Finance Authority Revenue Bonds, (AMBAC Insured), Series 2004
5.000% due 11/15/2023		5,935		5,903
Illinois State Finance Authority Revenue Bonds, Series 2008
1.500% due 02/01/2040		1,500		1,500
Illinois State Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1992
6.250% due 09/01/2021		695		806
Illinois State Municipal Electric Agency Revenue Bonds, (FGIC Insured), Series 2007
5.000% due 02/01/2035		6,000		5,720
Illinois State Northern Municipal Power Agency Revenue Bonds, (MBIA Insured), Series 2007
5.000% due 01/01/2018		1,000		1,060
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		695
Kendall, Kane & Will Counties, Illinois High School Districts General Obligation Notes, (FSA Insured), Series 2003
0.000% due 10/01/2012		3,000		2,560
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		3,642
Lake County, Illinois Community High School District No.127-Grayslake General Obligation Notes, (FGIC Insured), Series 2002
9.000% due 02/01/2009		650		676
9.000% due 02/01/2011		690		786
9.000% due 02/01/2012		1,065		1,258
Sangamon County, Illinois School District No. 186 Springfield General Obligation Notes, (FGIC Insured), Series 2004
0.000% due 10/01/2009		1,000		957
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		2,000
				40,445
INDIANA 2.4%
Brownsburg, Indiana 1999 School Building Corp. Revenue Bonds, (AMBAC Insured), Series 2002
5.375% due 02/01/2023		1,395		1,489
Danville, Indiana Multi-School Building Corp. Revenue Bonds, (FSA Insured), Series 2001
4.400% due 01/15/2012		170		174
4.500% due 01/15/2013		190		195
4.650% due 01/15/2014		210		215
4.750% due 01/15/2015		235		241
4.850% due 01/15/2016		295		302
Danville, Indiana Multi-School Building Corp. Revenue Notes, (FSA Insured), Series 2001
4.250% due 07/15/2011		290		298
4.750% due 07/15/2009		200		203
5.000% due 07/15/2010		180		186
Hamilton, Indiana Southeastern Consolidated School Building Revenue Notes, (FSA Insured), Series 2001
5.000% due 07/15/2010		760		783
Indiana State Development Finance Authority Revenue Bonds, Series 2005
5.000% due 06/01/2022		1,590		1,636
Indiana State Health & Educational Facilities Financing Authority Revenue Bonds, Series 2006
5.250% due 02/15/2040		5,000		4,756
Indianapolis, Indiana Local Public Improvement Revenue Bonds, Series 1992
6.750% due 02/01/2014		1,000		1,104
Mishawaka, Indiana School Building Corp. Revenue Bonds, (FSA Insured), Series 2006
4.250% due 01/15/2026		1,325		1,200
South Bend, Indiana Redevelopment Authority Revenue Bonds, Series 2000
5.100% due 02/01/2011		405		424
5.200% due 02/01/2012		230		240
5.500% due 02/01/2015		180		190
Tri-Creek School Building Corp., Indiana Revenue Bonds, (FSA Insured), Series 2007
4.250% due 07/15/2020		1,000		961
				14,597
KANSAS 0.1%
Lenexa, Kansas Revenue Notes, Series 2007
5.125% due 05/15/2015		575		563
KENTUCKY 0.1%
Kentucky State Development Finance Authority Hospital Revenue Bonds, Series 1989
6.000% due 10/01/2019		645		651
LOUISIANA 1.8%
Louisiana State General Obligation Bonds, (FGIC Insured), Series 2002
8.170% due 04/01/2019		2,850		2,986
Louisiana State Local Government Environmental Facilities & Community Development Authority Revenue Bonds, (MBIA Insured), Series 2000
5.700% due 01/01/2010		95		98
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		8,430		7,669
				10,753
MARYLAND 0.6%
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2007
5.000% due 07/01/2027		4,000		3,713
MASSACHUSETTS 1.7%
Commonwealth of Massachusetts General Obligation Bonds, (FSA Insured), Series 2006
4.884% due 11/01/2019		5,090		4,941
4.894% due 11/01/2020		2,595		2,423
Commonwealth of Massachusetts Revenue Bonds, (FGIC Insured), Series 2004
7.346% due 01/01/2017		1,000		1,041
Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 2005
5.000% due 03/01/2035		1,000		883
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		85		86
Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2001
6.000% due 07/01/2014		500		538
				10,003
MICHIGAN 1.9%
Lake Fenton, Michigan Community Schools General Obligation Bonds, (Q-SBLF Insured), Series 2002
5.000% due 05/01/2022		2,720		2,880
Michigan State Hospital Finance Authority Revenue Bonds, (AMBAC Insured), Series 2000
8.000% due 12/01/2030		6,000		6,000
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		1,049
Michigan State Tobacco Settlement Finance Authority Revenue Bonds, Series 2007
5.125% due 06/01/2022		1,350		1,238
				11,220
MINNESOTA 1.6%
Minneapolis & St Paul, Minnesota Housing & Redevelopment Authority Revenue Bonds, (MBIA Insured), Series 2007
9.000% due 11/15/2034		10,000		10,000
MISSOURI 2.2%
Lees Summit, Missouri Strother Interchange Transportation Development District Revenue Bonds, Series 2006
5.000% due 05/01/2024		500		444
Missouri State Development Finance Board Revenue Bonds, Series 2007
5.000% due 11/01/2022		2,000		1,723
Missouri State Development Finance Board Revenue Notes, Series 2007
5.000% due 11/01/2014		1,035		1,007
5.000% due 11/01/2015		540		520
Missouri State Environmental Improvement & Energy Resources Revenue Bonds, Series 2000
5.750% due 07/01/2014		350		366
Missouri State Housing Development Commission Revenue Bonds, (FHA Insured), Series 2001
5.250% due 12/01/2016		295		300
Springfield, Missouri Revenue Bonds, (FGIC Insured), Series 2006
4.750% due 08/01/2034		8,200		7,903
St. Louis County, Missouri Industrial Development Authority Revenue Bonds, Series 2005
5.000% due 11/01/2024		1,250		1,119
				13,382
NEVADA 0.4%
Clark County, Nevada Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 07/01/2040		2,750		2,648
NEW HAMPSHIRE 1.6%
New Hampshire State Health & Education Facilities Authority Revenue Bonds, Series 2005
1.500% due 07/01/2035		10,000		10,000
NEW JERSEY 4.1%
Camden County, New Jersey Improvement Authority Revenue Notes, Series 2005
5.250% due 02/15/2009		550		554
5.250% due 02/15/2010		570		579
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
0.000% due 04/01/2013		1,595		1,320
5.600% due 01/01/2012		820		823
6.000% due 11/01/2028		3,500		3,127
6.375% due 04/01/2018		1,500		1,714
6.500% due 04/01/2018		690		718
6.500% due 04/01/2031		2,115		2,155
New Jersey State Economic Development Authority Revenue Bonds, Series 1999
6.625% due 09/15/2012		3,500		3,252
New Jersey State General Obligation Bonds, Series 1992
6.000% due 02/15/2011		510		547
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
6.125% due 06/01/2024		3,335		3,513
6.375% due 06/01/2032		1,000		1,120
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2041		7,350		5,558
				24,980
NEW YORK 7.6%
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
4.811% due 09/01/2015		3,000		2,837
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2001
5.250% due 11/01/2015		2,000		2,103
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2018		1,150		1,207
New York City, New York General Obligation Bonds, Series 2005
1.750% due 08/01/2034		7,000		7,000
New York City, New York General Obligation Bonds, Series 2007
5.000% due 10/01/2019		4,300		4,511
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
4.727% due 03/01/2020		3,900		3,475
4.777% due 03/01/2022		3,500		3,191
5.000% due 03/01/2031		7,000		6,897
New York City, New York Industrial Development Agency Revenue Bonds, (MBIA Insured), Series 2006
5.000% due 03/01/2036		4,900		4,771
New York State Dormitory Authority Revenue Bonds, (ACA Insured), Series 2000
5.850% due 07/01/2010		630		647
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.250% due 08/15/2015		2,325		2,470
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		3,800		4,116
New York State Urban Development Corp. Revenue Bonds, Series 2002
5.500% due 01/01/2017		2,790		2,917
				46,142
NORTH CAROLINA 1.0%
Durham, North Carolina General Obligation Bonds, Series 2002
5.000% due 04/01/2021		550		568
North Carolina State Medical Care Commission Revenue Bonds, Series 2006
5.000% due 11/01/2039		3,000		2,854
North Carolina State Municipal Power Agency No. 1 Catawba Revenue Bonds, Series 2008
5.250% due 01/01/2020		2,700		2,790
				6,212
OHIO 2.3%
Ohio State American Municipal Power, Inc. Revenue Notes, Series 2007
5.000% due 02/01/2013		4,700		4,719
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.750% due 06/01/2034		450		386
5.875% due 06/01/2047		6,600		5,516
Ohio State Water Development Authority Revenue Bonds, Series 2002
5.375% due 12/01/2020		1,100		1,183
5.375% due 12/01/2021		1,750		1,882
				13,686
OKLAHOMA 0.0%
Oklahoma State Single-Family Housing Finance Agency Revenue Bonds, Series 2001
0.000% due 09/01/2032		770		163
PENNSYLVANIA 0.3%
Allegheny County, Pennsylvania Hospital Development Authority Revenue Notes, Series 2005
4.500% due 04/01/2015		790		765
Delaware County, Pennsylvania Authority Hospital Revenue Bonds, Series 1998
4.900% due 12/01/2008		100		100
Philadelphia, Pennsylvania Hospitals & Higher Education Facilities Authority Revenue Bonds, Series 2007
5.000% due 07/01/2022		1,000		931
				1,796
PUERTO RICO 1.1%
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		789
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2047		50,000		5,253
0.000% due 08/01/2054		10,000		686
				6,887
RHODE ISLAND 1.3%
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.125% due 06/01/2032		2,300		2,148
6.250% due 06/01/2042		6,025		5,603
				7,751
SOUTH CAROLINA 0.4%
Greenville County, South Carolina School District Revenue Bonds, (FSA Insured), Series 2006
5.000% due 12/01/2020		2,395		2,528
TENNESSEE 2.6%
Shelby County, Tennessee General Obligation Bonds, Series 2001
5.000% due 04/01/2023		1,000		1,050
Sullivan County, Tennessee Health Educational & Housing Facilities Board Revenue Bonds, Series 2002
6.250% due 09/01/2022		1,000		1,116
Sullivan County, Tennessee Industrial Development Board Revenue Bonds, (GNMA Insured), Series 1995
6.250% due 07/20/2015		605		613
Tennessee State Energy Acquisition Corp. Revenue Bonds, Series 2006
5.000% due 02/01/2023		7,800		7,260
5.000% due 02/01/2024		1,400		1,283
5.000% due 02/01/2027		5,000		4,428
				15,750
TEXAS 8.9%
Alliance, Texas Airport Authority Revenue Bonds, Series 2006
4.850% due 04/01/2021		1,000		897
Bastrop, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
5.650% due 02/15/2035		90		95
Bexar County, Texas Multi-Family Housing Finance Corp. Revenue Bonds, Series 2001
4.875% due 06/15/2011		405		415
Birdville, Texas Independent School District General Obligations Bonds, (PSF-GTD Insured), Series 2007
0.000% due 02/15/2024		2,260		952
Denton, Texas Independent School District General Obligations Bonds, (PSF-GTD Insured), Series 2006
0.000% due 08/15/2025		5,800		2,261
Ennis, Texas Independent School District 903 General Obligation Bonds, (PSF-GTD Insured), Series 2006
0.000% due 08/15/2033		9,155		2,069
Fort Bend County, Texas General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 03/01/2031		400		381
Godley, Texas Independent School District General Obligation Bonds, Series 2008
5.250% due 02/15/2028		3,340		3,447
Houston, Texas Airport Systems Revenue Bonds, (FGIC Insured), Series 2000
2.740% due 07/01/2025		2,500		2,085
Houston, Texas Airport Systems Revenue Bonds, Series 2001
6.750% due 07/01/2029		1,000		789
Houston, Texas Higher Education Finance Corp. Revenue Bonds, Series 2007
4.750% due 05/15/2037		1,790		1,738
Houston, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2005
0.000% due 02/15/2015		8,640		6,575
Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 2001
5.500% due 12/01/2017		1,000		1,063
Lower Colorado River Authority, Texas Revenue Bonds, (MBIA Insured), Series 2006
4.750% due 05/15/2029		8,000		7,712
Midlothian, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
0.000% due 02/15/2018		20		11
North Central Texas State Health Facility Development Corp. Revenue Bonds, (AMBAC Insured), Series 2002
5.500% due 08/15/2017		1,000		1,070
North Texas State Health Facilities Development Corp. Revenue Bonds, (FSA Insured), Series 2007
5.000% due 09/01/2020		895		910
Pasadena, Texas General Obligation Bonds, (FGIC Insured), Series 2002
5.125% due 04/01/2024		1,750		1,843
Red River, Texas Education Finance Revenue Bonds, Series 2000
5.750% due 05/15/2017		750		792
Sabine River Authority, Texas Revenue Bonds, Series 2001
5.500% due 05/01/2022		1,000		940
San Antonio, Texas Electricity & Gas Revenue Bonds, Series 1997
5.500% due 02/01/2015		975		1,076
San Jacinto, Texas Community College District General Obligation Bonds, (FGIC Insured), Series 2001
5.000% due 02/15/2021		225		236
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2007
5.000% due 02/15/2026		6,425		6,329
Texas State Leander Independent School District General Obligation Bonds, (FGIC Insured), Series 2005
0.000% due 08/15/2023		1,195		528
Texas State Municipal Gas Acquisition & Supply Corp. I Revenue Notes, Series 2006
5.000% due 12/15/2011		850		833
Texas State SA Energy Acquisition Public Facility Corp. Revenue Bonds, Series 2007
5.500% due 08/01/2027		2,000		1,885
Texas State Transportation Commission Revenue Bonds, Series 2006
4.750% due 04/01/2024		5,020		5,081
Travis County, Texas Health Facilities Development Corp. Revenue Bonds, Series 1993
6.000% due 11/15/2022 (d)		1,400		1,513
Waxahachie, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
0.000% due 08/15/2022		1,000		500
				54,026
UTAH 1.3%
Utah State Transit Authority Revenue Bonds, (MBIA Insured), Series 2007
0.000% due 06/15/2023		10,000		4,581
0.000% due 06/15/2029		10,000		3,157
				7,738
VIRGIN ISLANDS 0.2%
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		1,500		1,500
VIRGINIA 0.2%
Virginia State Housing Development Authority Revenue Bonds, (MBIA Insured), Series 2001
5.350% due 07/01/2031		1,000		1,005
WASHINGTON 4.0%
King County, Washington Public Hospital District No. 1 General Obligation Bonds, Series 2008
5.250% due 12/01/2037		5,000		5,023
Snohomish County, Washington School District No. 2 Everett General Obligation Bonds, (FGIC Insured), Series 2006
5.000% due 12/01/2017		1,845		1,955
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2019		2,520		1,458
Washington State General Obligation Notes, (AMBAC Insured), Series 2004
0.000% due 12/01/2011		5,435		4,788
Washington State Higher Education Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2007
5.250% due 11/01/2032		5,000		5,103
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.625% due 06/01/2032		5,000		4,985
Yakima County, Washington School District No. 208 General Obligation Bonds, (FSA Insured), Series 2007
5.000% due 12/01/2023		1,220		1,268
				24,580
WEST VIRGINIA 0.5%
Berkeley Brooke & Fayette Counties, West Virginia Revenue Bonds, Series 1983
0.000% due 12/01/2014		4,115		3,172
WISCONSIN 2.3%
Hudson, Wisconsin School District General Obligation Bonds, (FGIC Insured), Series 2002
5.000% due 10/01/2017		1,420		1,515
5.000% due 10/01/2019		1,040		1,109
South Milwaukee, Wisconsin School District General Obligation Notes, (FGIC Insured), Series 2002
3.750% due 04/01/2011		385		389
State of Wisconsin General Obligation Notes, Series 2008
4.750% due 05/01/2018		5,000		5,074
Wisconsin State Clean Water Revenue Bonds, Series 2002
5.000% due 06/01/2018		100		104
5.000% due 06/01/2019		100		103
5.000% due 06/01/2020		100		103
5.100% due 06/01/2021		100		103
5.100% due 06/01/2022		100		103
5.100% due 06/01/2023		100		103
5.250% due 06/01/2016		50		54
5.250% due 06/01/2017		50		54
Wisconsin State Housing & Economic Development Authority Revenue Bonds, (MBIA Insured), Series 2002
4.700% due 11/01/2012		790		809
5.350% due 11/01/2022		3,045		3,071
Wisconsin State Housing & Economic Development Authority Revenue Notes, (MBIA Insured), Series 2002
4.700% due 05/01/2012		1,530		1,560
				14,254
Total Municipal Bonds & Notes (Cost $563,055)				547,553
SHORT-TERM INSTRUMENTS 4.9%
Repurchase Agreements 4.9%
State Street Bank and Trust Co.
1.650% due 07/01/2008		29,756		29,756
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $30,355. Repurchase proceeds are $29,757.)
Total Short-Term Instruments (Cost $29,756)				29,756
Total Investments 99.1% (Cost $618,791)			$	602,149
Other Assets and Liabilities (Net) 0.9%				5,677
Net Assets 100.0%			$	607,826

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 becomes interest bearing at a future date.

(b) Cash of $3,062 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	70	$	24
U.S. Treasury 30-Year Bond September Futures	Short	09/2008	683		(423)
				$	(399)

(c) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2008 5.000% due 01/01/2038	Sell	0.530	%	06/20/2018	GSC	$	5,000	$	9
Bay Area, California Toll Authority Revenue Bonds, Series 2006 5.000% due 04/01/2031	Sell	0.700	%	06/20/2018	GSC		5,000		1
California State General Obligation Notes, Series 2005 5.000% due 03/01/2018	Sell	0.710	%	03/20/2018	GSC		7,000		92
Los Angeles, California Department of Water & Power Revenue Bonds, Series 2001 5.125% due 07/01/2041	Sell	0.640	%	06/20/2018	GSC		5,000		9
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2005 5.000% due 11/15/2035	Sell	0.650	%	06/20/2018	GSC		5,000		9
San Antonio, Texas Revenue Bonds, Series 2005 5.000% due 02/01/2022	Sell	0.700	%	06/20/2018	GSC		5,000		9
Utah State Intermountain Power Agency Revenue Bonds, Series 2008 5.250% due 07/01/2022	Sell	0.880	%	06/20/2018	GSC		5,000		5
Washington State Energy Northwest Revenue Notes, Series 2008 5.000% due 07/01/2017	Sell	0.700	%	06/20/2018	GSC		5,000		16
								$	150

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation
Municipal Bond Credit Derivative Index	Sell	0.350	%	06/20/2013	GSC	$	34,900	$	382

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized (Depreciation)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP	$	7,600	$	(85)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		17,600		(129)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		5,600		(35)
								$	(249)

(d) Restricted securities as of June 30, 2008:

Issuer Description	Coupon	Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Travis County, Texas Health Facilities Development Corp. Revenue Bonds, Series 1993	6.000%	11/15/2022	09/20/2002	$	1,497	$	1,513	0.25%

(e) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	602,149	$	0	$	602,149
Other Financial Instruments++		(399)		283		0		(116)
Total	$	(399)	$	602,432	$	0	$	602,033

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

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

See Accompanying Notes

Schedule of Investments

New York Municipal Bond Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 1.9%
Bank of America Corp.
8.000% due 12/29/2049	$	900	$	845
Morgan Stanley
4.778% due 05/14/2010		1,100		1,097
Total Corporate Bonds & Notes (Cost $2,000)				1,942
MUNICIPAL BONDS & NOTES 92.1%
Alabama 0.6%
Montgomery, Alabama Medical Clinic Board Revenue Bonds, Series 2006
4.750% due 03/01/2036		750		594
Arkansas 0.2%
University of Arkansas Revenue Bonds, (MBIA Insured), Series 2004
5.000% due 11/01/2034		250		253
California 1.7%
California Statewide Communities Development Authority Revenue Bonds, Series 2007
9.000% due 11/01/2017		300		307
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2029		1,490		443
Indian Wells, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2006
4.750% due 09/01/2034		1,000		915
				1,665
Illinois 0.5%
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		529
Indiana 0.5%
Mishawaka, Indiana School Building Corp. Revenue Bonds, (FSA Insured), Series 2006
4.250% due 01/15/2026		500		453
Minnesota 0.5%
Minneapolis & St Paul, Minnesota Housing & Redevelopment Authority Revenue Bonds, (MBIA Insured), Series 2007
9.000% due 11/15/2034		500		500
New Jersey 0.8%
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2041		1,000		756
New York 80.7%
Buffalo, New York Fiscal Stability Authority Revenue Notes, (MBIA Insured), Series 2005
5.000% due 09/01/2014		1,040		1,119
Buffalo, New York Municipal Water Systems Finance Authority Revenue Bonds, (FSA Insured), Series 2002
5.000% due 07/01/2027		500		534
East Rochester, New York Housing Authority Revenue Bonds, Series 2006
5.500% due 08/01/2033		100		86
Erie County, New York General Obligation Bonds, (FGIC Insured), Series 2003
5.250% due 03/15/2017		1,000		1,040
Erie County, New York Industrial Development Agency Revenue Bonds, (FSA Insured), Series 2004
5.750% due 05/01/2025		1,000		1,093
Erie County, New York Water Authority Revenue Bonds, (AMBAC Insured), Series 1993
3.750% due 12/01/2016		1,300		1,300
Liberty, New York Development Corp. Revenue Bonds, Series 2005
5.250% due 10/01/2035		525		533
Liberty, New York Development Corp. Revenue Bonds, Series 2007
5.500% due 10/01/2037		250		263
Long Island, New York Power Authority Revenue Bonds, (FSA Insured), Series 2003
1.400% due 12/01/2029		3,220		3,220
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
4.811% due 09/01/2015		500		473
Nassau County, New York Industrial Development Agency Revenue Bonds, Series 1999
1.450% due 01/01/2034		2,300		2,300
New York City, New York Capital Resources Corp. Revenue Bonds, Series 2007
1.450% due 01/01/2037		1,000		1,000
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2018		500		525
New York City, New York General Obligation Bonds, Series 2006
5.000% due 08/01/2022		1,000		1,030
New York City, New York General Obligation Bonds, Series 2007
5.000% due 08/01/2019		1,000		1,050
5.000% due 10/01/2019		2,300		2,413
New York City, New York General Obligation Notes, (MBIA-IBC Insured), Series 2002
5.750% due 08/01/2011		250		268
New York City, New York General Obligation Notes, Series 2005
5.000% due 04/01/2011		250		261
New York City, New York Industrial Development Agency Revenue Bonds, (AMBAC Insured), Series 2006
5.000% due 02/01/2036		500		503
5.000% due 01/01/2046		1,500		1,429
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
4.777% due 03/01/2022		1,400		1,276
5.000% due 03/01/2031		1,000		985
New York City, New York Industrial Development Agency Revenue Bonds, Series 2001
5.500% due 07/01/2028		250		220
New York City, New York Industrial Development Agency Revenue Bonds, Series 2002
6.450% due 07/01/2032		245		242
New York City, New York Industrial Development Agency Revenue Bonds, Series 2005
5.000% due 09/01/2035		35		30
New York City, New York Industrial Development Agency Revenue Notes, (FGIC Insured), Series 2006
4.651% due 03/01/2016		2,425		2,295
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2005
2.000% due 06/15/2032		600		600
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.000% due 08/01/2024		525		536
5.250% due 02/01/2029		500		518
New York City, New York Transitional Finance Authority Revenue Notes, Series 2002
5.250% due 11/01/2011		600		641
New York City, New York Transitional Finance Authority Revenue Notes, Series 2003
5.000% due 08/01/2010		395		414
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.250% due 08/15/2015		235		250
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000
6.240% due 08/15/2022		250		254
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2002
5.000% due 10/01/2030		750		761
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2006
7.750% due 07/01/2027		3,300		3,300
New York State Dormitory Authority Revenue Bonds, Series 2000
1.250% due 07/01/2030		1,630		1,630
6.000% due 07/01/2010		150		156
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		400		433
New York State Dormitory Authority Revenue Bonds, Series 2005
5.000% due 03/15/2035		750		759
New York State Dormitory Authority Revenue Bonds, Series 2006
5.000% due 12/15/2017		1,000		1,078
5.000% due 07/01/2026		500		456
New York State Dormitory Authority Revenue Bonds, Series 2007
5.000% due 07/01/2021		1,000		1,034
5.000% due 02/15/2037		1,000		995
New York State Dormitory Authority Revenue Bonds, Series 2008
1.400% due 07/01/2037		3,000		3,000
6.125% due 12/01/2029		500		496
6.250% due 12/01/2037		350		348
New York State Dormitory Authority Revenue Notes, (FGIC/FHA Insured), Series 2005
5.000% due 02/01/2013		965		1,006
New York State Dormitory Authority Revenue Notes, (FSA Insured), Series 2001
5.000% due 07/01/2011		455		480
New York State Dormitory Authority Revenue Notes, (MBIA Insured), Series 2002
5.000% due 10/01/2012		500		531
New York State Dormitory Authority Revenue Notes, (MBIA Insured), Series 2003
5.000% due 07/01/2011		250		263
New York State Dormitory Authority Revenue Notes, Series 1998
4.750% due 07/01/2008		150		150
New York State Dormitory Authority Revenue Notes, Series 2001
5.250% due 07/01/2010		860		878
New York State Dormitory Authority Revenue Notes, Series 2007
4.000% due 08/15/2014		1,765		1,789
New York State Dormitory Authority Revenue Notes, Series 2008
5.000% due 12/15/2016		2,000		2,172
New York State Environmental Facilities Corp. Revenue Bonds, Series 2002
4.550% due 05/01/2012		1,000		985
5.000% due 06/15/2014		400		423
New York State Environmental Facilities Corp. Revenue Bonds, Series 2006
5.000% due 06/15/2024		3,200		3,323
New York State Environmental Facilities Corp. Revenue Notes, Series 2002
5.000% due 06/15/2012		500		533
New York State Housing Finance Agency Revenue Bonds, (FGIC Insured), Series 2005
5.000% due 09/15/2030		1,000		1,008
New York State Local Government Assistance Corp. Revenue Bonds, Series 1993
6.000% due 04/01/2014		320		351
New York State Metropolitan Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 11/15/2032		200		199
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2006
5.000% due 11/15/2035		1,000		991
New York State Mortgage Agency Homeowner Mortgage Revenue Bonds, Series 2006
4.700% due 10/01/2031		500		436
New York State Power Authority Revenue Bonds, (FGIC Insured), Series 2006
5.000% due 11/15/2020		500		522
New York State Sales Tax Asset Receivables Corp. Revenue Bonds, (MBIA Insured), Series 2004
5.250% due 10/15/2018		1,000		1,072
New York State Thruway Authority Highway & Bridge Trust Revenue Notes, (FSA Insured), Series 2003
5.000% due 04/01/2010		250		260
New York State Thruway Authority Highway & Bridge Trust Revenue Notes, (FSA Insured), Series 2005
5.000% due 04/01/2014		500		539
5.000% due 04/01/2015		500		542
New York State Thruway Authority Highway & Bridge Trust Revenue Notes, (MBIA Insured), Series 2002
5.250% due 04/01/2011		500		528
New York State Thruway Authority Revenue Bonds, (FSA Insured), Series 2005
4.750% due 01/01/2030		1,000		1,005
New York State Triborough Bridge & Tunnel Authority Revenue Bonds, (FSA Insured), Series 2007
1.410% due 01/01/2019		1,500		1,500
New York State Triborough Bridge & Tunnel Authority Revenue Bonds, Series 2008
5.000% due 11/15/2037		2,000		2,029
New York State Triborough Bridge & Tunnel Authority Revenue Notes, (MBIA-IBC Insured), Series 2002
5.000% due 11/15/2010		500		526
New York State TSASC, Inc. Revenue Bonds, Series 2002
5.000% due 07/15/2014		750		798
New York State Urban Development Corp. Revenue Bonds, (FSA Insured), Series 2007
5.000% due 01/01/2019		2,000		2,145
New York State Urban Development Corp. Revenue Bonds, Series 2002
5.500% due 01/01/2017		500		523
New York State Urban Development Corp. Revenue Notes, Series 2003
5.000% due 03/15/2011		495		520
New York City, New York General Obligation Bonds, Series 2005
1.750% due 08/01/2034		3,000		3,000
Niagara County, New York Industrial Development Agency Revenue Bonds, (GNMA/FHA Insured), Series 2006
5.000% due 07/20/2038		500		443
Orange County, New York General Obligation Notes, Series 2005
5.000% due 07/15/2013		500		536
Saratoga County, New York Industrial Development Agency Revenue Notes, Series 2007
5.000% due 12/01/2017		400		404
Schenectady, New York Industrial Development Agency Revenue Bonds, (AMBAC Insured), Series 2001
5.500% due 07/01/2016		500		544
Spencerport, New York Central School District General Obligation Bonds, (MBIA Insured), Series 2002
5.000% due 06/15/2019		250		264
Tompkins County, New York Industrial Development Agency Revenue Bonds, Series 2008
1.400% due 07/01/2037		1,000		1,000
Triborough, New York Bridge & Tunnel Authority Revenue Bonds, (AMBAC Insured), Series 2001
7.750% due 01/01/2032		1,300		1,300
Triborough, New York Bridge & Tunnel Authority Revenue Bonds, Series 2002
1.410% due 11/01/2032		1,600		1,600
Troy, New York Industrial Development Agency Revenue Bonds, Series 2002
5.500% due 09/01/2015		500		530
				80,795
Puerto Rico 5.7%
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Revenue Bonds, Series 2008
6.000% due 07/01/2038		1,200		1,255
Commonwealth of Puerto Rico General Obligation Bonds, (AGC Insured), Series 2006
5.231% due 07/01/2020		1,000		925
Commonwealth of Puerto Rico General Obligation Bonds, Series 2006
5.000% due 07/01/2035		250		257
Commonwealth of Puerto Rico Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2008		1,000		1,009
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.500% due 07/01/2013		200		206
Commonwealth of Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2002
5.750% due 07/01/2041		1,000		1,079
Commonwealth of Puerto Rico Public Finance Corp. Revenue Bonds, Series 2004
5.750% due 08/01/2027		550		554
Puerto Rico Children's Trust Fund Revenue Bonds, Series 2000
6.000% due 07/01/2026		100		106
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		5,000		343
				5,734
Texas 0.7%
Coppell, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
0.000% due 08/15/2016		805		568
Waco, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
5.000% due 08/15/2021		120		127
				695
Virgin Islands 0.2%
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		250		250
Total Municipal Bonds & Notes (Cost $93,143)				92,224
SHORT-TERM INSTRUMENTS 4.7%
Repurchase Agreements 4.7%
State Street Bank and Trust Co.
1.650% due 07/01/2008		4,646		4,646
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $4,744. Repurchase proceeds are $4,646.)
Total Short-Term Instruments (Cost $4,646)				4,646
Total Investments 98.7% (Cost $99,789)			$	98,812
Other Assets and Liabilities (Net) 1.3%				1,286
Net Assets 100.0%			$	100,098

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

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

(a) Cash of $245 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
90-Day Eurodollar December Futures	Long	12/2008	34	$	25
U.S. Treasury 30-Year Bond September Futures	Short	09/2008	35		12
				$	37

(b) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	98,812	$	0	$	98,812
Other Financial Instruments++		37		0		0		37
Total	$	37	$	98,812	$	0	$	98,849

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

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

See Accompanying Notes

Schedule of Investments

Real Return Asset Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 0.4%
Daimler Finance North America LLC
6.780% due 08/03/2012	$	12,406		$	10,275
Georgia-Pacific Corp.
4.399% due 12/20/2012		191			180
4.446% due 12/20/2012		1,619			1,531
4.551% due 12/20/2012		145			138
Shackleton Re Ltd.
10.438% due 08/01/2008		3,000			2,955
10.938% due 08/01/2008		1,500			1,478
Total Bank Loan Obligations (Cost $18,321)					16,557
CORPORATE BONDS & NOTES 24.0%
Banking & Finance 21.3%
Allstate Life Global Funding II
3.328% due 05/21/2010		21,100			20,977
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		7,700			7,681
American Express Bank FSB
5.500% due 04/16/2013		2,500			2,448
6.000% due 09/13/2017		4,400			4,259
American Express Centurion Bank
6.000% due 09/13/2017		4,400			4,259
American Express Co.
7.000% due 03/19/2018		3,250			3,300
8.150% due 03/19/2038		930			1,038
American Honda Finance Corp.
3.184% due 02/05/2010		7,750			7,743
3.552% due 06/20/2011		29,400			29,384
American International Group, Inc.
5.850% due 01/16/2018		4,300			4,041
8.175% due 05/15/2058		4,500			4,251
Atlantic & Western Re Ltd.
9.041% due 01/09/2009		1,900			1,895
Bank of America Corp.
5.650% due 05/01/2018		3,100			2,904
8.000% due 12/29/2049		1,800			1,691
Bank of America N.A.
2.638% due 02/27/2009		7,200			7,176
3.316% due 05/12/2010		6,800			6,773
3.351% due 06/23/2010		30,000			29,921
Barclays Bank PLC
5.450% due 09/12/2012		12,100			12,256
6.050% due 12/04/2017		7,800			7,670
7.434% due 09/29/2049		1,200			1,128
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		5,800			6,038
7.250% due 02/01/2018		2,000			2,094
C10 Capital SPV Ltd.
6.722% due 12/31/2049		1,000			921
Caelus Re Ltd.
8.923% due 06/07/2011		1,000			1,000
Calabash Re Ltd.
13.714% due 01/08/2010		300			308
Caterpillar Financial Services Corp.
2.785% due 08/20/2010		11,100			10,993
3.559% due 06/24/2011		25,600			25,587
Chubb Corp.
6.500% due 05/15/2038		2,500			2,400
Citigroup Capital XXI
8.300% due 12/21/2057		1,600			1,518
Citigroup Funding, Inc.
2.481% due 04/23/2009		7,300			7,205
3.820% due 05/07/2010		800			794
Citigroup, Inc.
2.831% due 12/28/2009		20,500			20,003
2.939% due 01/30/2009		1,700			1,685
6.125% due 05/15/2018		11,700			11,233
8.400% due 04/29/2049		8,400			7,996
Credit Suisse USA, Inc.
2.528% due 06/05/2009		24,900			24,732
Everest Reinsurance Holdings, Inc.
5.400% due 10/15/2014		1,000			963
Ford Motor Credit Co. LLC
7.875% due 06/15/2010		7,500			6,477
Foundation Re II Ltd.
9.445% due 11/26/2010		2,000			2,015
General Electric Capital Corp.
2.908% due 05/08/2013		6,500			6,284
3.558% due 05/22/2013		3,400			3,383
5.875% due 01/14/2038		12,000			10,926
GMAC LLC
3.926% due 05/15/2009		1,000			940
6.875% due 09/15/2011		1,600			1,151
6.875% due 08/28/2012		2,500			1,714
Goldman Sachs Group, Inc.
2.800% due 11/16/2009		3,060			3,018
6.150% due 04/01/2018		3,600			3,504
6.750% due 10/01/2037		8,700			7,992
HBOS PLC
6.750% due 05/21/2018		4,000			3,836
HSBC Bank USA N.A.
7.000% due 01/15/2039		27,500			27,023
International Lease Finance Corp.
6.625% due 11/15/2013		2,100			1,890
John Deere Capital Corp.
3.536% due 06/10/2011		54,300			54,284
JPMorgan Chase & Co.
6.400% due 05/15/2038		2,200			2,050
Lehman Brothers Holdings, Inc.
2.778% due 05/25/2010		4,175			3,869
6.875% due 05/02/2018		3,600			3,496
7.500% due 05/11/2038		10,000			9,312
Longpoint Re Ltd.
8.064% due 05/08/2010		1,400			1,400
Marsh & McLennan Cos., Inc.
5.375% due 07/15/2014		5,000			4,865
Merrill Lynch & Co., Inc.
2.903% due 06/05/2012		7,500			6,661
2.937% due 09/09/2009		38,725			37,266
6.400% due 08/28/2017		4,800			4,461
6.875% due 04/25/2018		15,000			14,321
Metropolitan Life Global Funding I
3.554% due 06/25/2010		35,900			35,887
5.125% due 04/10/2013		2,100			2,071
Morgan Stanley
4.778% due 05/14/2010		30,600			30,498
6.000% due 04/28/2015		3,100			2,972
6.625% due 04/01/2018		5,700			5,418
Mystic Re Ltd.
11.682% due 12/05/2008		1,500			1,463
National Australia Bank Ltd.
5.350% due 06/12/2013		7,500			7,500
National Rural Utilities Cooperative Finance Corp.
2.760% due 07/09/2009		2,000			1,977
3.566% due 07/01/2010		37,000			36,984
New York Life Global Funding
4.650% due 05/09/2013		5,800			5,762
Nuveen Investments, Inc.
10.500% due 11/15/2015		1,400			1,298
Pacific Life Global Funding
5.150% due 04/15/2013		1,600			1,584
Pearson Dollar Finance PLC
5.700% due 06/01/2014		2,500			2,445
Phoenix Quake Wind Ltd.
5.134% due 07/03/2008		1,750			1,750
Pricoa Global Funding I
2.999% due 01/30/2012		5,100			4,985
3.008% due 09/27/2013		15,000			14,625
3.473% due 06/04/2010		66,600			66,565
ProLogis
5.625% due 11/15/2015		8,000			7,539
Prudential Financial, Inc.
6.000% due 06/10/2013		6,200			6,221
Rabobank Nederland NV
2.733% due 01/15/2009		1,400			1,399
3.119% due 05/19/2010		39,300			39,253
Rockies Express Pipeline LLC
5.100% due 08/20/2009		9,600			9,610
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		4,000			3,874
Simon Property Group LP
6.125% due 05/30/2018		6,100			5,954
SLM Corp.
3.130% due 07/25/2008		600			598
UBS AG
5.750% due 04/25/2018		10,100			9,669
5.875% due 12/20/2017		1,400			1,366
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		5,100			5,097
Vita Capital Ltd.
3.691% due 01/01/2010		400			392
Vita Capital III Ltd.
3.911% due 01/01/2012		1,600			1,538
VTB Capital S.A.
3.384% due 08/01/2008		4,200			4,163
Wachovia Bank N.A.
2.752% due 12/02/2010		5,200			4,946
3.619% due 05/14/2010		5,000			4,977
Wachovia Corp.
5.500% due 05/01/2013		14,600			13,994
Wells Fargo & Co.
4.375% due 01/31/2013		1,800			1,745
Wells Fargo Capital XIII
7.700% due 12/29/2049		2,700			2,688
					857,210
Industrials 2.0%
C8 Capital SPV Ltd.
6.640% due 12/31/2049		900			837
Cigna Corp.
6.350% due 03/15/2018		3,000			3,012
EchoStar DBS Corp.
5.750% due 10/01/2008		1,300			1,303
6.375% due 10/01/2011		2,000			1,935
Gaz Capital S.A.
7.343% due 04/11/2013		800			822
8.146% due 04/11/2018		1,200			1,246
Home Depot, Inc.
5.250% due 12/16/2013		6,000			5,765
Kraft Foods, Inc.
6.000% due 02/11/2013		2,200			2,226
6.125% due 02/01/2018		1,800			1,755
Macy’s Retail Holdings, Inc.
5.900% due 12/01/2016		1,000			871
Mohawk Industries, Inc.
6.125% due 01/15/2016		7,000			6,712
Monsanto Co.
5.875% due 04/15/2038		4,000			3,869
Oracle Corp.
2.738% due 05/14/2010		1,500			1,493
5.750% due 04/15/2018		4,100			4,110
Rexam PLC
6.750% due 06/01/2013		2,900			2,900
Southwest Airlines Co.
5.125% due 03/01/2017		2,000			1,704
Suncor Energy, Inc.
6.850% due 06/01/2039		14,200			14,567
Target Corp.
6.000% due 01/15/2018		1,000			1,007
Tyco International Group S.A.
6.000% due 11/15/2013		2,000			1,933
Tyco International Ltd.
7.000% due 12/15/2019		3,000			2,968
UnitedHealth Group, Inc.
4.875% due 02/15/2013		300			291
6.875% due 02/15/2038		5,000			4,752
Viacom, Inc.
6.250% due 04/30/2016		10,000			9,682
Weyerhaeuser Co.
3.802% due 09/24/2009		3,800			3,757
Yum! Brands, Inc.
6.250% due 03/15/2018		3,000			2,935
					82,452
Utilities 0.7%
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		100			101
Constellation Energy Group, Inc.
4.550% due 06/15/2015		1,200			1,071
Duke Energy Carolinas LLC
6.050% due 04/15/2038		6,000			5,966
Embarq Corp.
7.082% due 06/01/2016		800			761
Enel Finance International S.A.
5.700% due 01/15/2013		8,400			8,507
FPL Group Capital, Inc.
3.694% due 06/17/2011		4,000			4,037
Public Service Electric & Gas Co.
5.300% due 05/01/2018		2,000			1,979
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		2,500			2,500
Telecom Italia Capital S.A.
6.999% due 06/04/2018		2,200			2,225
					27,147
Total Corporate Bonds & Notes (Cost $977,546)					966,809
MUNICIPAL BONDS & NOTES 0.5%
California State Educational Facilities Authority Revenue Bonds, Series 2007
4.750% due 10/01/2037		6,400			6,174
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
10.579% due 01/01/2014		200			177
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047		1,100			939
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 07/01/2044		3,900			3,874
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		500			455
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		1,100			1,110
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
10.679% due 12/15/2013		200			184
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
6.000% due 06/01/2042		1,300			1,128
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		8,400			576
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		5,700			5,433
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		1,775			1,586
Total Municipal Bonds & Notes (Cost $23,055)					21,636
COMMODITY INDEX-LINKED NOTES 1.2%
AIG-Fp Matched Funding Corp. (DJAIGTR)
0.000% due 08/04/2009		8,000			8,000
5.074% due 07/15/2008		11,300			24,218
Morgan Stanley (GSCI)
2.422% due 07/09/2008		7,000			6,953
Svensk Exportkredit AB (DJAIGCI)
2.459% due 06/19/2009		8,000			9,981
Total Commodity Index-Linked Notes (Cost $34,300)					49,152
U.S. GOVERNMENT AGENCIES 19.9%
Fannie Mae
4.364% due 09/01/2034		1,875			1,896
4.500% due 04/01/2021		314			304
4.994% due 09/01/2044 - 10/01/2044		590			590
5.000% due 05/01/2036 - 03/01/2038		18,432			17,714
5.500% due 12/01/2033 - 02/01/2038		476,396			470,342
6.000% due 07/01/2021 - 07/01/2038		179,510			181,463
6.500% due 05/01/2036 - 03/01/2038		61,651			63,557
Freddie Mac
2.762% due 09/25/2031		130			129
4.500% due 06/01/2023		59,723			57,771
5.000% due 02/15/2020		5,410			5,490
5.500% due 09/01/2037		190			187
Small Business Administration
5.902% due 02/10/2018		1,000			1,009
Total U.S. Government Agencies (Cost $798,548)					800,452
U.S. TREASURY OBLIGATIONS 102.2%
Treasury Inflation Protected Securities (c)
0.875% due 04/15/2010		21,674			22,060
1.625% due 01/15/2018		18,367			18,677
1.750% due 01/15/2028		362,482			344,528
1.875% due 07/15/2013		23,768			25,139
1.875% due 07/15/2015		62,790			65,797
2.000% due 01/15/2014		63,016			66,949
2.000% due 01/15/2026		829,365			821,655
2.375% due 04/15/2011		24,388			25,854
2.375% due 01/15/2025		886,759			929,505
2.375% due 01/15/2027		397,643			416,438
2.625% due 07/15/2017		7,405			8,181
3.000% due 07/15/2012		13,391			14,712
3.375% due 01/15/2012		726			802
3.375% due 04/15/2032		852			1,070
3.625% due 04/15/2028		592,845			738,833
3.875% due 04/15/2029		475,753			617,327
Total U.S. Treasury Obligations (Cost $4,015,157)					4,117,527
MORTGAGE-BACKED SECURITIES 1.6%
Adjustable Rate Mortgage Trust
5.376% due 11/25/2035		1,389			1,286
5.417% due 01/25/2036		1,374			1,299
American Home Mortgage Assets Trust
4.448% due 11/25/2046		15,074			11,143
Banc of America Funding Corp.
5.756% due 03/20/2036		1,491			1,359
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		7,336			7,016
4.550% due 08/25/2035		4,923			4,709
4.760% due 11/25/2034		995			969
4.863% due 01/25/2035		1,681			1,628
4.960% due 01/25/2035		1,019			981
Bear Stearns Alt-A Trust
5.500% due 08/25/2036		2,600			1,468
5.784% due 11/25/2036		753			611
Bear Stearns Commercial Mortgage Securities
5.243% due 12/11/2038		900			808
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		316			299
4.248% due 08/25/2035		1,833			1,732
4.748% due 08/25/2035		1,812			1,728
4.900% due 12/25/2035		280			267
5.831% due 12/25/2035		1,095			852
Countrywide Alternative Loan Trust
6.000% due 01/25/2037		1,173			940
Countrywide Home Loan Mortgage Pass-Through Trust
2.822% due 06/25/2035		481			424
4.842% due 04/20/2035		965			936
Credit Suisse Mortgage Capital Certificates
5.383% due 02/15/2040		1,500			1,395
CW Capital Cobalt Ltd.
5.484% due 04/15/2047		1,400			1,305
GMAC Mortgage Corp. Loan Trust
5.298% due 11/19/2035		1,175			1,117
GSR Mortgage Loan Trust
4.539% due 09/25/2035		2,832			2,747
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		1,300			1,222
JPMorgan Mortgage Trust
4.881% due 04/25/2035		1,082			1,029
5.403% due 11/25/2035		1,412			1,351
5.500% due 10/25/2035		1,074			986
Lehman XS Trust
2.562% due 07/25/2046		770			752
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		1,800			1,671
5.485% due 03/12/2051		1,200			1,120
MLCC Mortgage Investors, Inc.
4.707% due 12/25/2034		813			792
4.958% due 04/25/2035		974			933
Morgan Stanley Capital I
5.544% due 11/12/2049		1,700			1,531
5.692% due 04/15/2049		1,400			1,323
Residential Asset Securitization Trust
2.882% due 01/25/2046		3,131			2,213
Sovereign Commercial Mortgage Securities Trust
5.833% due 07/22/2030		1,900			1,868
Structured Adjustable Rate Mortgage Loan Trust
5.505% due 07/25/2035		810			759
Wachovia Mortgage Loan Trust LLC
5.444% due 10/20/2035		986			933
WaMu Mortgage Pass-Through Certificates
2.752% due 12/25/2045		353			273
2.772% due 07/25/2045		104			84
2.802% due 08/25/2045		242			193
Total Mortgage-Backed Securities (Cost $66,067)					66,052
ASSET-BACKED SECURITIES 6.5%
American Express Credit Account Master Trust
3.275% due 03/15/2016		21,400			21,246
BA Credit Card Trust
3.183% due 12/15/2014		23,300			23,165
Bank One Issuance Trust
2.591% due 05/15/2014		5,000			4,914
Chase Issuance Trust
2.491% due 03/15/2013		10,200			10,046
2.511% due 10/15/2012		14,900			14,730
Citibank Omni Master Trust
3.597% due 03/20/2013		37,000			37,000
Ford Credit Auto Owner Trust
3.371% due 01/15/2011		26,700			26,782
Honda Auto Receivables Owner Trust
3.770% due 09/20/2010		8,900			8,903
MBNA Credit Card Master Note Trust
2.511% due 11/15/2012		4,400			4,352
Merrill Lynch Mortgage Investors, Inc.
2.542% due 04/25/2037		99			98
Morgan Stanley Mortgage Loan Trust
5.750% due 11/25/2036		1,299			1,128
SLM Student Loan Trust
2.882% due 10/27/2014 (a)		60,000			59,963
3.000% due 07/25/2019		6,000			5,866
3.382% due 07/25/2023 (a)		10,582			10,575
South Carolina Student Loan Corp.
3.207% due 09/02/2014		900			900
3.257% due 03/01/2018		10,400			10,400
3.457% due 03/02/2020		13,500			13,500
3.707% due 09/03/2024		6,800			6,800
Total Asset-Backed Securities (Cost $260,518)					260,368
SOVEREIGN ISSUES 0.1%
Export-Import Bank of Korea
2.920% due 10/04/2011		4,500			4,516
Total Sovereign Issues (Cost $4,496)					4,516
FOREIGN CURRENCY-DENOMINATED ISSUES 1.4%
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012	BRL	3,995			2,169
Canadian Government Bond
3.000% due 12/01/2036 (c)	CAD	331			439
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	3,400			4,736
6.500% due 09/15/2067	GBP	6,700			12,395
Green Valley Ltd.
8.342% due 01/10/2011	EUR	700			1,105
Japanese Government CPI Linked Bond
0.800% due 12/10/2015	JPY	504,500			4,710
1.100% due 12/10/2016		1,566,240			14,808
1.200% due 12/10/2017		211,050			1,996
Pylon Ltd.
6.460% due 12/29/2008	EUR	700			1,098
8.860% due 12/29/2008		1,200			1,889
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		800			1,090
Silver Arrow S.A.
4.544% due 08/15/2014		1,480			2,318
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	1,700			9,191
Total Foreign Currency-Denominated Issues (Cost $55,575)					57,944
		Shares
CONVERTIBLE PREFERRED STOCKS 0.1%
Bank of America Corp.
7.250% due 12/31/2049		1,000			884
Wachovia Corp.
7.500% due 12/31/2049		1,500			1,328
Total Convertible Preferred Stocks (Cost $2,500)					2,212
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS 45.2%
Certificates of Deposit 4.5%
Abbey National Treasury Services PLC
2.409% due 07/02/2008	$	14,100			14,100
Calyon Financial, Inc.
2.689% due 01/16/2009		4,800			4,787
Nordea Bank Finland PLC
2.422% due 12/01/2008		6,600			6,597
Sao Paolo IMI NY
3.312% due 06/09/2010		35,000			34,768
UBS AG
3.751% due 07/01/2010		56,800			56,800
Unicredito Italiano NY
3.071% due 05/18/2009		10,000			10,000
3.071% due 05/15/2009		56,000			56,000
					183,052
Commercial Paper 39.0%
ABN AMRO N.A. Finance
2.450% due 07/10/2008		1,000			999
2.470% due 07/14/2008		8,500			8,492
Australia & New Zealand Banking Group Ltd.
2.730% due 09/15/2008		5,950			5,915
Banco Santander Central Hispano S.A.
2.780% due 09/15/2008		53,400			53,083
Bank of America Corp.
2.500% due 07/15/2008		24,200			24,176
2.500% due 07/17/2008		8,000			7,991
2.700% due 09/19/2008		35,000			34,780
Barclays U.S. Funding Corp.
2.688% due 08/18/2008		6,900			6,875
2.690% due 09/04/2008		85,400			84,975
2.840% due 09/04/2008		300			299
BNP Paribas Finance, Inc.
2.570% due 08/01/2008		400			399
Caisse d’Amortissement de la Dette Sociale
2.820% due 09/17/2008		99,700			99,090
Calyon Financial, Inc.
2.500% due 07/08/2008		800			800
2.540% due 07/08/2008		8,900			8,896
CBA (de) Finance
2.490% due 07/29/2008		25,700			25,650
2.500% due 08/05/2008		23,000			22,944
Citibank N.A.
3.570% due 10/23/2008		1,700			1,684
3.580% due 10/23/2008		58,600			58,055
Danske Corp.
2.500% due 07/15/2008		13,000			12,987
2.500% due 08/06/2008		10,000			9,975
2.750% due 09/22/2008		78,000			77,488
ING Funding LLC
2.450% due 07/24/2008		600			599
2.480% due 08/05/2008		4,800			4,788
2.500% due 08/01/2008		33,100			33,029
2.500% due 08/04/2008		54,100			53,972
2.590% due 09/03/2008		25,000			24,878
Intesa Funding LLC
2.500% due 08/11/2008		68,000			67,806
2.750% due 09/09/2008		45,200			44,955
Lloyds TSB Bank PLC
2.390% due 07/18/2008		3,900			3,896
National Australia Bank Ltd.
2.600% due 09/08/2008		140,000			139,255
Rabobank USA Financial Corp.
2.450% due 07/18/2008		2,800			2,797
2.650% due 09/29/2008		18,000			17,870
Royal Bank of Scotland Group PLC
2.555% due 08/01/2008		23,000			22,949
2.580% due 08/07/2008		4,750			4,737
2.600% due 07/08/2008		2,100			2,099
2.600% due 07/15/2008		69,800			69,729
2.630% due 09/08/2008		73,000			72,612
2.650% due 08/01/2008		7,900			7,882
2.660% due 07/08/2008		30,100			30,085
2.660% due 07/09/2008		70,000			69,959
San Paolo U. S. Financial Co.
2.450% due 07/11/2008		2,800			2,798
2.770% due 09/17/2008		2,000			1,988
2.780% due 09/02/2008		800			796
Societe General N.A.
2.620% due 07/14/2008		25,000			24,976
2.620% due 08/06/2008		13,900			13,864
2.880% due 09/12/2008		76,900			76,464
Svenska Handelsbanken AB
2.490% due 08/04/2008		5,500			5,487
2.490% due 08/05/2008		400			399
UBS Finance Delaware LLC
2.500% due 07/10/2008		2,500			2,498
2.500% due 07/14/2008		5,600			5,595
2.520% due 07/16/2008		14,300			14,285
2.800% due 09/03/2008		1,000			995
2.830% due 09/25/2008		46,300			45,983
Unicredito Italiano SpA
2.680% due 07/07/2008		11,920			11,915
2.820% due 08/06/2008		1,700			1,695
2.870% due 09/11/2008		9,600			9,547
Westpac Banking Corp.
2.600% due 09/09/2008		135,800			135,065
					1,573,800
Repurchase Agreements 0.3%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		13,522			13,522
(Dated 06/30/2008. Collateralized by Freddie Mac 5.250% due 12/24/2008 valued at $13,795. Repurchase proceeds are $13,522.)
U.S. Treasury Bills 1.4%
1.864% due 08/28/2008 - 09/25/2008 (b)(d)(e)		54,700			54,416
Total Short-Term Instruments (Cost $1,825,102)					1,824,790
PURCHASED OPTIONS (h) 0.1% (Cost $2,059)					2,762
Total Investments 203.2% (Cost $8,083,244)				$	8,190,777
Written Options (i) (0.2%) (Premiums $9,177)					(9,114	)
Other Assets and Liabilities (Net) (103.0%)					(4,151,421	)
Net Assets 100.0%				$	4,030,242

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

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

(d) Securities with an aggregate market value of $18,395 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(e) Securities with an aggregate market value of $36,021 have been pledged as collateral for delayed-delivery securities on June 30, 2008.

(f) Cash of $17,720 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	32	$	(107	)
90-Day Euribor December Futures	Long	12/2009	95		(340	)
90-Day Euribor June Futures	Long	06/2009	210		(739	)
90-Day Euribor March Futures	Long	03/2009	43		(185	)
90-Day Euribor September Futures	Short	09/2008	65		237
90-Day Euribor September Futures	Long	09/2009	95		(384	)
90-Day Eurodollar December Futures	Long	12/2009	177		(149	)
90-Day Eurodollar June Futures	Long	06/2009	1,021		3,311
90-Day Eurodollar March Futures	Long	03/2009	1,895		7,504
90-Day Eurodollar March Futures	Long	03/2010	177		(178	)
90-Day Eurodollar September Futures	Long	09/2009	492		612
Euro-Bobl September Futures	Short	09/2008	139		287
Euro-Bobl September Futures Call Options Strike @ EUR 113.000	Long	09/2008	139		0
Euro-Bund 10-Year Bond September Futures	Short	09/2008	598		1,168
Euro-Bund 10-Year Bond September Futures Call Options Strike @ EUR 120.000	Long	09/2008	598		0
Euro-Schatz September Futures	Short	09/2008	430		513
Euro-Schatz September Futures Call Options Strike @ EUR 106.500	Long	09/2008	430		0
Japan Government 10-Year Bond September Futures	Short	09/2008	7		(118	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	2,460		1,196
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	22		(73	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	45		(120	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	30		(82	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	191		(286	)
United Kingdom Government 10-Year Bond September Futures	Short	09/2008	36		119
				$	12,186

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.992	%	03/20/2013	DUB	$	2,000	$	(13	)
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.529	%)	12/20/2012	GSC		500		7
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012	CITI		1,200		(16	)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012	JPM		1,700		(22	)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Buy	(1.780	%)	12/20/2012	GSC		1,000		(29	)
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(2.180	%)	03/20/2018	BNP		2,000		(166	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.970	%	06/20/2012	CSFB		400		(13	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.010	%	06/20/2012	CSFB		400		(13	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.040	%	06/20/2012	CSFB		300		(9	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.380	%	09/20/2012	GSC		1,000		(22	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.420	%	09/20/2012	LEH		1,200		(25	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.550	%	09/20/2012	CSFB		500		(8	)
Cigna Corp. 6.350% due 03/15/2018	Buy	(1.270	%)	03/20/2018	GSC		3,000		(135	)
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(0.900	%)	06/20/2018	BNP		600		23
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(0.850	%)	06/20/2018	UBS		800		34
Clorox Co. 6.125% due 02/01/2011	Buy	(0.470	%)	12/20/2012	CITI		900		8
ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299	%)	12/20/2012	GSC		600		9
Constellation Energy Group, Inc. 4.550% due 06/15/2015	Buy	(0.960	%)	06/20/2015	JPM		1,200		31
Everest Reinsurance Holdings, Inc. 5.400% due 10/15/2014	Buy	(0.535	%)	12/20/2014	BCLY		1,000		32
Fannie Mae 5.250% due 08/01/2012	Sell	1.401	%	03/20/2013	BNP		2,000		(10	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.400	%	09/20/2008	GSC		3,600		(63	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800	%	09/20/2012	BCLY		400		(92	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800	%	09/20/2012	MSC		1,800		(427	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012	JPM		800		(189	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.850	%	03/20/2009	DUB		1,500		(3	)
GMAC LLC 6.875% due 08/28/2012	Buy	(4.250	%)	09/20/2008	DUB		600		11
GMAC LLC 6.875% due 08/28/2012	Sell	1.400	%	09/20/2008	BCLY		1,400		(37	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.425	%	09/20/2008	LEH		2,200		(58	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.400	%	06/20/2011	GSC		1,900		(519	)
GMAC LLC 6.875% due 08/28/2012	Sell	6.850	%	06/20/2012	MSC		1,100		(256	)
GMAC LLC 6.875% due 08/28/2012	Buy	(5.000	%)	09/20/2012	CITI		2,100		575
GMAC LLC 6.875% due 08/28/2012	Sell	3.050	%	09/20/2012	BCLY		500		(157	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.050	%	09/20/2012	GSC		2,400		(753	)
GMAC LLC 6.875% due 08/28/2012	Sell	6.300	%	09/20/2012	BOA		700		(173	)
GMAC LLC 6.875% due 08/28/2012	Sell	7.000	%	09/20/2012	BOA		1,300		(303	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.740	%	09/20/2012	CSFB		1,500		(34	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.770	%	09/20/2012	BCLY		1,400		(30	)
Home Depot, Inc. 5.250% due 12/16/2013	Buy	(0.980	%)	12/20/2013	MSC		6,000		92
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.510	%	12/20/2008	DUB		6,400		(6	)
International Lease Finance Corp. 6.625% due 11/15/2013	Buy	(1.600	%)	12/20/2013	DUB		2,100		117
Kimberly-Clark Corp. 6.875% due 02/15/2014	Buy	(0.320	%)	12/20/2012	BEAR		3,400		18
Kroger Co. 5.500% due 02/01/2013	Buy	(0.360	%)	12/20/2012	BNP		900		11
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.660	%	09/20/2012	RBS		1,400		(110	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.700	%	09/20/2012	JPM		1,700		(131	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.120	%	09/20/2012	BNP		500		(31	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.200	%	09/20/2012	BNP		500		(30	)
Macy’s Retail Holdings, Inc. 5.900% due 12/01/2016	Buy	(2.111	%)	12/20/2016	RBS		1,000		23
Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640	%)	12/20/2012	CSFB		1,100		74
Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640	%)	12/20/2012	GSC		1,900		128
Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.630	%)	12/20/2012	MSC		6,400		435
Marsh & McLennan Cos., Inc, 5.375% due 07/15/2014	Buy	(0.670	%)	09/20/2014	DUB		5,000		29
Masco Corp. 5.875% due 07/15/2012	Buy	(0.840	%)	12/20/2012	DUB		2,500		167
Merrill Lynch & Co., Inc. 2.903% due 06/05/2012	Buy	(2.000	%)	06/20/2012	BNP		7,500		163
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.930	%)	12/20/2012	JPM		700		43
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.920	%)	12/20/2012	JPM		500		31
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.920	%)	12/20/2012	UBS		1,400		86
Mohawk Industries, Inc. 6.125% due 01/15/2016	Buy	(1.550	%)	03/20/2016	UBS		7,000		60
Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008	CSFB		1,300		2
Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.319	%)	12/20/2012	GSC		600		12
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.270	%)	09/20/2012	GSC		3,100		89
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.260	%)	09/20/2012	GSC		2,800		81
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.610	%)	12/20/2012	MSC		800		14
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008	BCLY		4,600		(3	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008	MSC		1,600		(1	)
Pearson Dollar Finance PLC 5.700% due 06/01/2014	Buy	(0.750	%)	06/20/2014	MSC		2,500		(1	)
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.350	%	12/20/2008	BCLY		3,200		2
Peru Government International Bond 9.125% due 02/21/2012	Sell	0.370	%	12/20/2008	LEH		3,000		2
Rexam PLC 6.750% due 06/01/2013	Buy	(1.450	%)	06/20/2013	BCLY		2,900		8
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.325	%	12/20/2008	DUB		3,000		(2	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.330	%	12/20/2008	BCLY		3,200		(1	)
Safeway, Inc. 5.800% due 08/15/2012	Buy	(0.340	%)	12/20/2012	BNP		1,100		12
Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.430	%)	12/20/2012	BOA		1,000		20
Simon Property Group LP 6.125% due 05/30/2018	Buy	(0.947	%)	06/20/2018	DUB		6,100		126
Southwest Airlines Co. 5.125% due 03/01/2017	Buy	(1.320	%)	03/20/2017	BOA		2,000		90
Staples, Inc. 7.375% due 10/01/2012	Buy	(0.700	%)	12/20/2012	MSC		800		15
Telecom Italia Capital S.A. 6.999% due 06/04/2018	Buy	(1.550	%)	06/20/2018	GSC		2,200		27
TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.460	%)	12/20/2012	MSC		900		1
Tyco International Group S.A. 6.000% due 11/15/2013	Buy	(0.750	%)	12/20/2013	BOA		2,000		16
Tyco International Ltd. 7.000% due 12/15/2019	Buy	(1.120	%)	12/20/2019	BOA		3,000		62
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.780	%	12/20/2008	BCLY		3,200		(14	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.790	%	12/20/2008	DUB		3,000		(13	)
VF Corp. 8.500% due 10/01/2010	Buy	(0.449	%)	12/20/2012	LEH		300		3
Viacom, Inc. 6.250% due 04/30/2016	Buy	(1.340	%)	06/20/2016	DUB		10,000		109
Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008	BCLY		1,800		(7	)
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.680	%)	12/20/2012	BNP		1,000		19
Yum! Brands, Inc. 6.250% due 03/15/2018	Buy	(1.245	%)	03/20/2018	BOA		3,000		(3	)
								$	(1,011	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	GSC	$	3,290	$	220
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC		9,900		728
Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	BCLY		4,356		184
Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	BEAR		36,323		2,092
Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	UBS		18,216		810
Dow Jones CDX N.A. HY9 Index	Sell	3.330	%	12/20/2012	LEH		9,700		(695	)
Dow Jones CDX N.A. HY9 Index	Sell	6.510	%	12/20/2012	MLP		4,900		256
Dow Jones CDX N.A. HY9 Index	Sell	6.690	%	12/20/2012	MLP		1,000		59
Dow Jones CDX N.A. IG8 Index	Buy	(0.350	%)	06/20/2012	BOA		3,800		111
Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012	GSC		6,700		87
Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012	LEH		5,300		117
Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012	MLP		28,600		1,091
Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012	MSC		16,300		622
Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012	RBS		20,900		370
Dow Jones CDX N.A. IG9 Index	Buy	(6.550	%)	12/20/2017	BCLY		2,700		137
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	BCLY		18,700		597
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	BOA		4,900		172
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	GSC		5,000		173
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	JPM		2,300		80
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	LEH		4,400		152
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	MSC		19,000		458
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		18,100		(19	)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		205,500		1,229
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		48,700		160
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MLP		9,500		(19	)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		10,700		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	BCLY		7,800		207
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	GSC		2,800		43
								$	9,422

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	DUB	$	5,100	$	(15	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	JPM		11,900		(54	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	MLP		1,000		(2	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	MSC		87,700		(210	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	RBS		9,900		(42	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MLP		6,500		30
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		27,900		132
Receive	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA		37,500		169
Receive	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		77,800		343
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		14,900		51
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		13,900		16
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		40,700		(177	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	CITI		12,500		97
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		9,700		181
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	RBS		5,200		9
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		40,100		(307	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		9,400		(11	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		21,800		(80	)
Receive	3-Month USD-LIBOR	5.000	%	12/20/2021	DUB		5,500		(497	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	LEH		25,000		(309	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		50,900		(613	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		5,700		32
Receive	3-Month USD-LIBOR	5.000	%	12/20/2026	DUB		5,900		(626	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		76,600		(970	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	LEH		1,200		(23	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		6,600		(240	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		30,600		(917	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		69,100		(2,090	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	3,800		(91	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103	%	10/15/2010	BCLY		3,700		(68	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146	%	10/15/2010	UBS		5,500		(114	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.040	%	02/21/2011	BNP		3,400		(113	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.261	%	07/14/2011	JPM		100		(2	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.028	%	10/15/2011	JPM		7,600		(304	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.095	%	10/15/2011	UBS		32,400		(1,091	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		2,500		(137	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.138	%	01/19/2016	BCLY		10,700		(544	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.350	%	10/15/2016	UBS		8,100		(96	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.353	%	10/15/2016	JPM		7,200		(70	)
Pay	6-Month Australian Bank Bill	7.000	%	12/15/2009	BCLY	AUD	33,100		(311	)
Pay	6-Month Australian Bank Bill	7.000	%	12/15/2009	MSC		35,200		(332	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	DUB		28,600		(660	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	JPM		4,900		(114	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	RBC		15,100		(345	)
Pay	6-Month Australian Bank Bill	7.500	%	06/15/2011	DUB		89,800		638
Receive	6-Month Australian Bank Bill	6.750	%	12/15/2017	BCLY		4,100		196
Receive	6-Month Australian Bank Bill	6.750	%	12/15/2017	MSC		4,400		211
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	DUB	EUR	12,200		(253	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		12,200		(253	)
Pay	6-Month EUR-LIBOR	5.000	%	09/17/2010	BCLY		16,700		16
Receive	6-Month EUR-LIBOR	4.000	%	06/15/2017	MSC		6,800		827
Receive	6-Month EUR-LIBOR	5.000	%	03/19/2018	BCLY		3,400		142
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	BCLY		3,900		16
Pay	6-Month EUR-LIBOR	4.500	%	06/18/2034	MSC		7,100		9
Pay	6-Month EUR-LIBOR	5.000	%	06/18/2034	JPM		3,585		55
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY	GBP	27,200		(364	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	DUB		51,900		(1,194	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	CSFB		4,700		(113	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	RBS		3,200		(74	)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	DUB		10,900		(1,094	)
Receive	6-Month GBP-LIBOR	5.000	%	09/15/2015	GSC		6,000		384
Receive	6-Month GBP-LIBOR	5.000	%	03/20/2018	BCLY		6,700		177
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		6,000		136
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	CSFB		1,900		42
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	HSBC		4,800		750
Pay	6-Month JPY-LIBOR	1.000	%	03/18/2009	MSC	JPY	3,500,000		36
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	BCLY		120,000		(13	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	DUB		470,000		(52	)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	RBS		510,000		(58	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.720	%	09/05/2016	BCLY	MXN	53,000		(302	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170	%	11/04/2016	CITI		62,300		(588	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.330	%	02/14/2017	BCLY		20,400		(168	)
Pay	BRL-CDI-Compounded	10.115	%	01/02/2012	MSC	BRL	9,400		(599	)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		55,600		(3,413	)
Pay	BRL-CDI-Compounded	10.680	%	01/02/2012	BCLY		31,100		(1,588	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	LEH		8,300		(252	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MLP		4,900		(126	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MSC		3,700		(100	)
Receive	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	2.275	%	10/15/2016	UBS	EUR	8,100		(96	)
Pay	U.S. CPI Urban Consumers NSA Index	2.970	%	03/05/2018	GSC	$	5,000		(23	)
Pay	U.S. CPI Urban Consumers NSA Index	2.980	%	03/06/2018	MSC		37,600		(264	)
Pay	U.S. CPI Urban Consumers NSA Index	3.065	%	03/14/2018	MSC		50,000		19
Pay	United Kingdom RPI Index	3.103	%	11/14/2016	UBS	GBP	7,500		(958	)
Pay	United Kingdom RPI Index	3.250	%	12/14/2017	BCLY		900		(90	)
Pay	United Kingdom RPI Index	3.183	%	12/19/2017	RBS		3,900		(424	)
Pay	United Kingdom RPI Index	3.110	%	01/03/2018	GSC		4,000		(476	)
Pay	United Kingdom RPI Index	3.440	%	09/10/2027	RBS		2,100		(347	)
								$	(20,143	)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	111.000	08/22/2008	940	$	32	$	15
Call - CBOT U.S. Treasury 5-Year Note September Futures		126.000	08/22/2008	730		13		6
Call - CBOT U.S. Treasury 10-Year Note September Futures		140.000	08/22/2008	952		9		16
Call - CBOT U.S. Treasury 30-Year Bond September Futures		147.000	08/22/2008	339		6		6
Put - CBOT U.S. Treasury 10-Year Note September Futures		91.000	08/22/2008	1,557		28		23
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	234		4		3
Put - CBOT U.S. Treasury 10-Year Note September Futures		93.000	08/22/2008	644		12		9
Put - CBOT U.S. Treasury 30-Year Bond September Futures		140.000	08/22/2008	3,689		67		62
					$	171	$	140

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	5,200	$	55	$	24
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		3,900		42		18
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		2,700		29		13
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		13,600		146		63
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		7,200		76		50
									$	348	$	168

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.392	07/08/2010		EUR 12,200	$	643	$	2,004
Put - OTC Euro versus U.S. dollar		1.392	07/08/2010		12,200		643		444
Call - OTC U.S. dollar versus Japanese yen		JPY 111.000	12/01/2008	$	4,000		72		5
						$	1,358	$	2,453

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Treasury Inflation Protected Securities 2.000% due 04/15/2012	$	114.000	07/23/2008	$	40,000	$	9	$	0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2026		85.000	07/14/2008		475,000		37		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		92.000	07/07/2008		14,800		1		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		89.500	07/21/2008		220,000		17		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		90.000	07/24/2008		400,000		31		1
Put - OTC Treasury Inflation Protected Securities 3.625% due 04/15/2028		107.500	07/03/2008		75,000		6		0
Put - OTC Treasury Inflation Protected Securities 3.625% due 04/15/2028		97.000	07/29/2008		200,000		47		0
Put - OTC Treasury Inflation Protected Securities 3.875% due 04/15/2029		109.500	07/23/2008		430,000		34		0
						$	182	$	1

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	116.000	08/22/2008	914	$	850	$	539
Call - CBOT U.S. Treasury 30-Year Bond September Futures		117.000	08/22/2008	400		369		438
Call - CBOT U.S. Treasury 30-Year Bond September Futures		119.000	08/22/2008	246		299		130
Call - CBOT U.S. Treasury 30-Year Bond September Futures		120.000	08/22/2008	200		228		72
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	492		371		157
Put - CBOT U.S. Treasury 10-Year Note September Futures		112.000	08/22/2008	205		224		108
Put - CBOT U.S. Treasury 30-Year Bond September Futures		109.000	08/22/2008	143		76		18
					$	2,417	$	1,462

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008	$	10,000	$	266	$	458
Put - OTC 10-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		10,000		266		43
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		1,100		28		15
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		900		29		18
Call - OTC 30-Year Interest Rate Swap	BOA	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		5,300		256		570
Put - OTC 30-Year Interest Rate Swap	BOA	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		5,300		193		3
Call - OTC 30-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		6,700		280		721
Put - OTC 30-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		6,700		283		4
Call - OTC 10-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		11,100		279		508
Put - OTC 10-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		11,100		269		48
Call - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		10,000		322		477
Put - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		10,000		322		284
Call - OTC 30-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		9,400		326		1,012
Put - OTC 30-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		9,400		465		5
Call - OTC 10-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		10,000		296		458
Put - OTC 10-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		10,000		201		43
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		1,300		43		26
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		900		30		18
Call - OTC 10-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		8,000		201		366
Put - OTC 10-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		8,000		194		34
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		4,500		147		88
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		2,400		73		55
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		30,000		859		1,432
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		30,000		1,066		853
									$	6,694	$	7,539

Foreign Currency Options

Description		Exercise Price	Expiration Date	Notional Amount		Premium		Value
Put - OTC U.S. dollar versus Japanese yen	JPY	100.000	12/01/2008	$	4,000	$	66	$	113

(j) Short sales outstanding on June 30, 2008:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	07/01/2038	$	20,000	$	19,122	$	19,172
Fannie Mae	5.500	%	07/01/2038		248,000		244,310		244,474
Fannie Mae	6.000	%	07/01/2023		9,000		9,158		9,226
Freddie Mac	4.500	%	07/01/2023		60,000		57,750		57,975
Freddie Mac	6.000	%	07/01/2038		5,300		5,342		5,354
Ginnie Mae	5.500	%	07/01/2038		100		99		100
Ginnie Mae	6.500	%	07/01/2038		500		512		516
Treasury Inflation Protected Securities	1.625	%	01/15/2015		51,396		51,841		53,139
Treasury Inflation Protected Securities	2.000	%	04/15/2012		20,980		21,727		22,257
Treasury Inflation Protected Securities	2.000	%	07/15/2014		85,321		88,420		90,715
Treasury Inflation Protected Securities	2.500	%	07/15/2016		55,874		60,248		61,129
Treasury Inflation Protected Securities	3.000	%	07/15/2012		25,361		27,309		27,880
U.S. Treasury Bonds	4.375	%	02/15/2038		114,500		107,783		113,896
U.S. Treasury Bonds	4.750	%	02/15/2037		6,700		6,718		7,079
U.S. Treasury Bonds	5.000	%	05/15/2037		74,300		76,976		80,695
U.S. Treasury Notes	2.125	%	04/30/2010		59,300		58,373		59,165
U.S. Treasury Notes	2.500	%	03/31/2013		25,800		24,504		25,107
U.S. Treasury Notes	3.125	%	04/30/2013		4,800		4,677		4,797
U.S. Treasury Notes	3.500	%	05/31/2013		2,000		2,011		2,027
U.S. Treasury Notes	3.500	%	02/15/2018		53,100		50,897		51,936
U.S. Treasury Notes	3.625	%	12/31/2012		3,660		3,731		3,723
U.S. Treasury Notes	3.875	%	10/31/2012		45,000		45,758		46,547
U.S. Treasury Notes	3.875	%	05/15/2018		22,700		22,093		22,695
U.S. Treasury Notes	4.000	%	02/15/2015		2,800		2,870		2,928
U.S. Treasury Notes	4.125	%	08/31/2012		20,700		21,178		21,782
U.S. Treasury Notes	4.250	%	11/15/2013		12,400		12,969		13,035
U.S. Treasury Notes	4.250	%	11/15/2017		9,760		9,844		10,045
U.S. Treasury Notes	4.750	%	08/15/2017		17,100		17,846		18,493
						$	1,054,066	$	1,075,887

⁽³⁾ Market value includes $5,688 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	1,111	07/2008	$	0	$	(8	)	$	(8	)
Buy	BRL	62,385	07/2008		7,549		0			7,549
Sell		62,385	07/2008		0		(2,392	)		(2,392	)
Buy		48,281	12/2008		1,876		0			1,876
Sell		12,665	12/2008		0		(586	)		(586	)
Sell	CAD	686	08/2008		6		0			6
Sell	CHF	1,305	09/2008		0		(24	)		(24	)
Sell	EUR	16,363	07/2008		0		(264	)		(264	)
Sell	GBP	23,236	08/2008		0		(255	)		(255	)
Buy	JPY	3,615,390	07/2008		518		0			518
Sell		5,521,103	07/2008		0		(862	)		(862	)
Buy	KRW	356,167	08/2008		0		(30	)		(30	)
Sell		356,167	08/2008		8		0			8
Buy	MXN	536,661	07/2008		3,618		0			3,618
Sell		536,661	07/2008		0		(3,041	)		(3,041	)
Buy		23,823	11/2008		19		0			19
Buy	MYR	4,530	11/2008		0		(24	)		(24	)
Buy		5,574	02/2009		0		(35	)		(35	)
Buy	PLN	14,904	07/2008		1,564		0			1,564
Sell		14,904	07/2008		0		(214	)		(214	)
Buy		14,904	05/2009		204		0			204
Buy	RUB	238,198	11/2008		447		0			447
Sell		84,763	11/2008		0		(220	)		(220	)
Buy	SGD	7,844	11/2008		61		0			61
				$	15,870	$	(7,955	)	$	7,915

(l) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	8,000	$	8,111,239		$	71,538		$	8,190,777
Other Financial Instruments++		12,186		(1,077,840	)		(5,290	)		(1,070,944	)
Total	$	20,186	$	7,033,399		$	66,248		$	7,119,833

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

	Beginning balance at 03/31/2008		Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/ (losses)			Net transfers in/ (out) of Level 3			Ending balance at 06/30/2008
Investments, at value	$	1,026	$	71,582	$	0	$	(61	)	$	(1,009	)	$	71,538
Other Financial Instruments++		890		0		0		(6,180	)		0			(5,290	)
Total	$	1,916	$	71,582	$	0	$	(6,241	)	$	(1,009	)	$	66,248

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

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

See Accompanying Notes

Schedule of Investments

Real Return Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.6%
Daimler Finance North America LLC
6.780% due 08/03/2012	$	60,198	$	49,859
Ford Motor Co.
5.480% due 12/15/2013		4,938		3,996
Georgia-Pacific Corp.
4.399% due 12/20/2012		1,333		1,261
4.446% due 12/20/2012		11,333		10,719
4.551% due 12/20/2012		1,018		963
Shackleton Re Ltd.
10.438% due 08/01/2008		9,000		8,865
10.938% due 08/01/2008		3,000		2,955
Tribune Co.
5.541% due 05/30/2009		10,000		9,604
Total Bank Loan Obligations (Cost $98,141)				88,222
CORPORATE BONDS & NOTES 21.6%
Banking & Finance 17.7%
Allstate Life Global Funding II
3.328% due 05/21/2010		100,500		99,914
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		46,400		46,286
Allstate Life Global Funding Trusts CPI Linked Bond
5.250% due 03/01/2010		9,708		9,841
American Express Bank FSB
5.500% due 04/16/2013		16,300		15,961
6.000% due 09/13/2017		25,600		24,778
American Express Centurion Bank
6.000% due 09/13/2017		26,600		25,746
American Express Co.
7.000% due 03/19/2018		25,830		26,229
8.150% due 03/19/2038		7,270		8,114
American General Finance Corp.
6.900% due 12/15/2017		5,000		4,371
American Honda Finance Corp.
3.552% due 06/20/2011		151,200		151,117
American International Group, Inc.
2.952% due 01/29/2010		6,300		6,288
5.850% due 01/16/2018		10,300		9,681
8.175% due 05/15/2058		26,700		25,222
Bank of America Corp.
5.650% due 05/01/2018		12,500		11,708
8.000% due 12/29/2049		15,500		14,558
8.125% due 12/29/2049		30,000		28,395
Bank of America N.A.
3.351% due 06/23/2010		8,600		8,577
Barclays Bank PLC
5.450% due 09/12/2012		70,800		71,716
6.050% due 12/04/2017		19,600		19,273
7.434% due 09/29/2049		8,700		8,181
7.700% due 04/29/2049		8,900		9,100
Bear Stearns Cos., Inc.
6.400% due 10/02/2017		5,000		4,956
6.950% due 08/10/2012		38,270		39,842
7.250% due 02/01/2018		17,000		17,796
C10 Capital SPV Ltd.
6.722% due 12/31/2049		6,000		5,528
Caelus Re Ltd.
8.923% due 06/07/2011		3,900		3,899
Calabash Re Ltd.
11.214% due 01/08/2010		4,900		4,899
13.714% due 01/08/2010		2,500		2,567
Capital One Financial Corp.
6.750% due 09/15/2017		28,000		27,828
Caterpillar Financial Services Corp.
3.329% due 06/25/2010		135,000		134,941
3.559% due 06/24/2011		9,700		9,695
Chubb Corp.
5.750% due 05/15/2018		3,000		2,917
CIT Group, Inc.
5.000% due 11/24/2008		25,000		24,465
Citigroup Capital XXI
8.300% due 12/21/2057		15,100		14,323
Citigroup Funding, Inc.
2.481% due 04/23/2009		6,300		6,218
3.820% due 05/07/2010		63,200		62,738
Citigroup, Inc.
2.939% due 01/30/2009		9,600		9,513
5.500% due 04/11/2013		23,400		22,871
6.125% due 05/15/2018		34,400		33,027
8.400% due 04/29/2049		93,000		88,523
Danske Bank A/S
5.914% due 12/29/2049		7,000		6,380
Foundation Re II Ltd.
9.445% due 11/26/2010		10,300		10,380
Foundation Re Ltd.
6.795% due 11/24/2008		7,250		7,075
General Electric Capital Corp.
2.826% due 12/12/2008		10,100		10,086
2.908% due 05/08/2013		27,300		26,393
3.007% due 07/28/2008		3,500		3,500
3.151% due 09/28/2011		10,300		10,181
5.875% due 01/14/2038		25,000		22,762
GMAC LLC
3.951% due 09/23/2008		200		197
Goldman Sachs Group, Inc.
2.891% due 06/23/2009		50,000		49,491
2.901% due 06/28/2010		20,000		19,518
3.128% due 10/07/2011		17,607		17,086
5.950% due 01/18/2018		7,500		7,223
6.150% due 04/01/2018		22,600		21,997
6.750% due 10/01/2037		65,400		60,077
HBOS PLC
6.750% due 05/21/2018		34,800		33,373
HCP, Inc.
6.300% due 09/15/2016		2,000		1,788
6.700% due 01/30/2018		5,000		4,509
HSBC Finance Corp. CPI Linked Bond
5.280% due 02/10/2009		2,000		2,015
International Lease Finance Corp.
6.625% due 11/15/2013		10,500		9,450
John Deere Capital Corp.
3.536% due 06/10/2011		4,000		3,999
JPMorgan Chase & Co.
2.884% due 06/25/2010		500		494
6.400% due 05/15/2038		11,300		10,528
Kamp Re 2005 Ltd.
2.582% due 12/14/2010 (a)		4,217		2
Lehman Brothers Holdings, Inc.
2.778% due 05/25/2010		10,200		9,453
6.200% due 09/26/2014		3,900		3,731
6.875% due 05/02/2018		26,100		25,347
7.000% due 09/27/2027		4,500		4,176
7.500% due 05/11/2038		5,000		4,656
Longpoint Re Ltd.
8.064% due 05/08/2010		11,200		11,201
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		2,500		2,486
Merna Reinsurance Ltd.
3.451% due 07/07/2010 (k)		28,400		26,574
Merrill Lynch & Co., Inc.
2.756% due 12/04/2009		13,130		12,590
4.966% due 05/12/2010		1,100		1,083
5.450% due 02/05/2013		8,000		7,556
6.400% due 08/28/2017		26,900		25,002
6.875% due 04/25/2018		90,300		86,211
Metropolitan Life Global Funding I
2.759% due 05/17/2010		1,700		1,677
3.554% due 06/25/2010		138,400		138,350
5.125% due 04/10/2013		14,800		14,595
Morgan Stanley
2.558% due 05/07/2010		10,000		9,588
2.820% due 05/07/2009		11,320		11,146
4.778% due 05/14/2010		26,600		26,511
6.000% due 04/28/2015		51,200		49,091
6.625% due 04/01/2018		34,100		32,413
Mystic Re Ltd.
8.982% due 12/05/2008		6,900		6,754
11.682% due 12/05/2008		3,300		3,218
National Australia Bank Ltd.
5.350% due 06/12/2013		32,200		32,199
Nuveen Investments, Inc.
10.500% due 11/15/2015		4,000		3,710
Osiris Capital PLC
7.713% due 01/15/2010		1,700		1,714
Pacific Life Global Funding
5.150% due 04/15/2013		11,100		10,992
Pearson Dollar Finance PLC
5.700% due 06/01/2014		3,000		2,934
Pearson Dollar Finance Two PLC
5.500% due 05/06/2013		3,000		2,975
6.250% due 05/06/2018		18,000		17,843
Phoenix Quake Ltd.
5.134% due 07/03/2008		50,550		50,550
Phoenix Quake Wind Ltd.
5.134% due 07/03/2008		9,000		9,000
Phoenix Quake Wind II Ltd.
6.184% due 07/03/2008		10,750		10,750
Pricoa Global Funding I
3.473% due 06/04/2010		100,600		100,547
Prudential Financial, Inc.
6.000% due 06/10/2013		32,500		32,609
6.100% due 06/15/2017		2,000		1,998
Rabobank Nederland NV
2.733% due 01/15/2009		11,300		11,293
3.119% due 05/19/2010		40,000		39,952
Residential Reinsurance 2007 Ltd.
9.932% due 06/07/2010		5,200		5,219
12.932% due 06/07/2010		20,000		20,073
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		6,200		6,251
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		9,900		9,589
UBS AG
5.750% due 04/25/2018		67,100		64,240
5.875% due 12/20/2017		13,900		13,565
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		22,000		21,986
Ventas Realty LP
8.750% due 05/01/2009		2,000		2,050
Vita Capital Ltd.
3.691% due 01/01/2010		3,500		3,426
4.191% due 01/01/2010		5,000		4,922
Vita Capital III Ltd.
3.911% due 01/01/2012		7,900		7,596
VTB Capital S.A.
3.384% due 08/01/2008		20,100		19,924
Wachovia Bank N.A.
2.752% due 12/02/2010		30,500		29,009
3.619% due 05/14/2010		40,800		40,611
Wachovia Corp.
5.500% due 05/01/2013		88,300		84,635
7.980% due 12/31/2049		8,100		7,461
Wells Fargo & Co.
4.375% due 01/31/2013		17,100		16,582
5.625% due 12/11/2017		1,200		1,165
Wells Fargo Capital X
5.950% due 12/15/2036		15,000		13,682
Wells Fargo Capital XIII
7.700% due 12/29/2049		16,400		16,325
				2,710,892
Industrials 3.0%
Amgen, Inc.
2.726% due 11/28/2008		1,000		997
5.850% due 06/01/2017		9,000		8,892
6.150% due 06/01/2018		11,500		11,596
Burlington Northern Santa Fe Corp.
5.650% due 05/01/2017		2,500		2,451
C8 Capital SPV Ltd.
6.640% due 12/31/2049		7,100		6,603
Cardinal Health, Inc.
6.000% due 06/15/2017		6,195		6,159
Computer Sciences Corp.
6.500% due 03/15/2018		2,500		2,520
ConocoPhillips Australia Funding Co.
2.810% due 04/09/2009		1,140		1,141
Con-way, Inc.
7.250% due 01/15/2018		10,000		10,182
CSC Holdings, Inc.
7.250% due 07/15/2008		3,510		3,519
CSX Corp.
6.250% due 03/15/2018		5,000		4,829
EchoStar DBS Corp.
5.750% due 10/01/2008		13,100		13,133
6.375% due 10/01/2011		2,000		1,935
Enterprise Products Operating LLC
6.500% due 01/31/2019		15,300		15,434
Erac USA Finance Co.
6.375% due 10/15/2017		5,000		4,482
Gaz Capital S.A.
7.343% due 04/11/2013		5,800		5,960
8.146% due 04/11/2018		7,900		8,206
General Electric Co.
2.717% due 12/09/2008		6,000		5,998
General Mills, Inc.
3.038% due 01/22/2010		600		593
GlaxoSmithKline Capital, Inc.
3.310% due 05/13/2010		67,700		67,916
HJ Heinz Co.
6.428% due 12/01/2020		20,000		20,177
Home Depot, Inc.
5.400% due 03/01/2016		2,500		2,302
Honeywell International, Inc.
2.957% due 07/27/2009		5,000		4,997
Hospira, Inc.
5.900% due 06/15/2014		2,500		2,513
Kraft Foods, Inc.
6.000% due 02/11/2013		13,200		13,355
6.125% due 02/01/2018		19,200		18,724
6.125% due 08/23/2018		6,700		6,510
Kroger Co.
6.400% due 08/15/2017		5,000		5,115
Lafarge S.A.
6.500% due 07/15/2016		5,000		4,836
Ltd. Brands, Inc.
6.900% due 07/15/2017		2,000		1,823
Macy’s Retail Holdings, Inc.
5.350% due 03/15/2012		3,000		2,791
7.450% due 07/15/2017		3,000		2,843
7.875% due 07/15/2015		10,000		10,103
Mandalay Resort Group
9.500% due 08/01/2008		3,700		3,718
Marriott International, Inc.
5.810% due 11/10/2015		5,000		4,612
Masco Corp.
5.850% due 03/15/2017		8,000		7,273
Motorola, Inc.
6.000% due 11/15/2017		4,000		3,506
New Albertson’s, Inc.
6.950% due 08/01/2009		1,000		1,013
Nucor Corp.
5.750% due 12/01/2017		4,000		4,018
PPG Industries, Inc.
6.650% due 03/15/2018		10,000		10,224
Rexam PLC
6.750% due 06/01/2013		13,600		13,599
Reynolds American, Inc.
7.250% due 06/01/2013		10,000		10,392
RPM International, Inc.
6.500% due 02/15/2018		8,550		8,582
Ryder System, Inc.
6.000% due 03/01/2013		1,100		1,103
SCA Finans AB
4.500% due 07/15/2015		6,000		5,845
Sealed Air Corp.
5.625% due 07/15/2013		10,000		9,676
Spectra Energy Capital LLC
5.668% due 08/15/2014		10,000		9,793
6.200% due 04/15/2018		15,000		14,641
Suncor Energy, Inc.
6.100% due 06/01/2018		7,900		7,947
Target Corp.
6.000% due 01/15/2018		6,000		6,041
Time Warner, Inc.
2.915% due 11/13/2009		1,600		1,555
Transocean, Inc.
2.873% due 09/05/2008		500		499
Tyco Electronics Group S.A.
6.550% due 10/01/2017		4,000		4,047
Tyco International Group S.A.
6.000% due 11/15/2013		8,000		7,733
Tyco International Ltd.
7.000% due 12/15/2019		12,000		11,874
UnitedHealth Group, Inc.
4.875% due 02/15/2013		2,300		2,229
6.875% due 02/15/2038		3,750		3,564
Viacom, Inc.
6.125% due 10/05/2017		4,000		3,846
6.250% due 04/30/2016		7,500		7,261
Wal-Mart Stores, Inc.
5.800% due 02/15/2018		16,100		16,725
Whirlpool Corp.
6.500% due 06/15/2016		6,000		5,898
				465,849
Utilities 0.9%
AT&T, Inc.
6.300% due 01/15/2038		1,100		1,045
Cleveland Electric Illuminating Co.
5.700% due 04/01/2017		5,000		4,768
6.860% due 10/01/2008		7,000		7,045
CMS Energy Corp.
7.750% due 08/01/2010		7,845		8,228
Constellation Energy Group, Inc.
4.550% due 06/15/2015		2,200		1,964
Embarq Corp.
7.082% due 06/01/2016		4,600		4,379
Enel Finance International S.A.
5.700% due 01/15/2013		60,100		60,863
Midwest Generation LLC
8.300% due 07/02/2009		8,005		8,064
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		9,550		9,574
7.250% due 02/15/2011		2,450		2,389
Qwest Corp.
5.625% due 11/15/2008		200		200
Sempra Energy
6.150% due 06/15/2018		4,500		4,470
Telecom Italia Capital S.A.
6.999% due 06/04/2018		10,700		10,821
Verizon Communications, Inc.
5.500% due 04/01/2017		5,000		4,819
6.100% due 04/15/2018		8,600		8,562
				137,191
Total Corporate Bonds & Notes (Cost $3,370,269)				3,313,932
MUNICIPAL BONDS & NOTES 0.8%
Badger, Wisconsin Tobacco Asset Securitization Corp. Revenue Bonds, Series 2002
6.375% due 06/01/2032		1,000		984
California State General Obligation Bonds, (AMBAC Insured), Series 2007
4.500% due 08/01/2028		2,500		2,326
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2037		2,500		2,455
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		3,065		3,061
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
10.579% due 01/01/2014		1,570		1,386
10.580% due 01/01/2014		930		767
District of Columbia Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
6.250% due 05/15/2024		7,455		7,432
Florida State Board of Education General Obligation Bonds, Series 2008
4.750% due 06/01/2037		6,700		6,309
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2033		4,100		3,346
5.125% due 06/01/2047		700		536
5.750% due 06/01/2047		6,400		5,460
Harris County, Texas Flood Control District General Obligation Bonds, Series 2006
4.750% due 10/01/2029		4,200		4,139
Los Angeles, California Community College District General Obligation Bonds, (FGIC Insured), Series 2007
5.000% due 08/01/2032		1,100		1,110
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		200		203
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2022		1,200		1,189
4.500% due 07/01/2024		2,000		1,949
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
4.500% due 07/01/2025		1,400		1,353
4.500% due 01/01/2028		1,700		1,593
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		400		389
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2037		1,200		1,212
5.000% due 06/15/2038		8,100		8,176
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
10.679% due 12/15/2013		1,570		1,445
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		10,100		8,440
6.000% due 06/01/2042		8,900		7,724
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		46,600		3,197
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2023		1,700		1,638
6.125% due 06/01/2032		740		691
San Bernardino, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		1,000		1,009
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		6,900		6,577
Texas State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2002
0.000% due 08/15/2021		4,500		2,231
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		385		390
West Orange Cove, Texas Consolidated Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2008
4.750% due 02/15/2038		17,600		16,923
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		13,305		11,886
Will County, Illinois Community Unit School District No. 201 General Obligation Bonds, (FGIC Insured), Series 2004
0.000% due 11/01/2022		9,990		4,385
Total Municipal Bonds & Notes				121,911
(Cost $125,413)
COMMODITY INDEX-LINKED NOTES 0.4%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		61,000		60,585
Total Commodity Index-Linked Notes				60,585
(Cost $61,000)
U.S. GOVERNMENT AGENCIES 35.5%
Fannie Mae
2.612% due 03/25/2036		3,116		3,117
2.682% due 10/27/2037		6,300		6,027
2.832% due 05/25/2042		21		21
4.048% due 04/01/2032		164		167
4.275% due 08/01/2035		397		403
4.376% due 07/01/2035		429		433
4.419% due 04/01/2027		126		127
4.548% due 06/01/2033		275		280
4.659% due 01/01/2035		48		48
4.666% due 05/25/2035		193		197
4.673% due 05/01/2035		1,293		1,304
4.994% due 06/01/2043 - 10/01/2044		5,584		5,587
5.000% due 06/25/2027 - 03/01/2038		143,098		137,739
5.103% due 04/01/2035		886		892
5.470% due 04/01/2033		1,147		1,173
5.485% due 05/01/2036		422		429
5.500% due 06/01/2022 - 05/01/2038		3,357,913		3,315,190
5.950% due 02/25/2044		50		51
6.000% due 07/01/2031 - 07/01/2038		1,125,038		1,136,591
6.500% due 04/01/2014 - 04/01/2038		291,062		300,108
6.974% due 10/01/2031		426		432
Federal Housing Administration
7.430% due 12/01/2020		68		68
Freddie Mac
2.621% due 07/15/2019 - 10/15/2020		815		799
2.701% due 02/15/2019		674		661
2.741% due 01/15/2037		410		401
2.762% due 09/25/2031		1,614		1,595
2.821% due 12/15/2030		5,730		5,661
4.500% due 05/15/2017 - 06/01/2023		7,193		6,927
4.994% due 10/25/2044 - 02/25/2045		8,059		7,830
5.000% due 06/01/2023 - 01/15/2024		229,748		227,275
5.194% due 07/25/2044		628		588
5.240% due 03/01/2034		2,671		2,683
5.250% due 08/15/2011		2,849		2,890
5.300% due 01/09/2012		30,000		30,296
5.500% due 05/15/2016 - 04/01/2038		187,542		185,256
6.000% due 01/01/2034 - 10/01/2037		22,619		22,904
6.500% due 01/25/2028		63		65
6.586% due 01/01/2034		1,076		1,078
6.692% due 10/01/2036		566		572
6.709% due 09/01/2036		516		528
6.732% due 07/01/2036		469		479
6.826% due 06/01/2033		894		902
7.000% due 10/15/2030		253		259
7.260% due 01/01/2034		1,488		1,496
Ginnie Mae
2.871% due 06/16/2031 - 03/16/2032		152		152
4.750% due 12/20/2035		2,261		2,268
5.500% due 02/15/2037		4,955		4,940
5.625% due 07/20/2035		123		124
6.500% due 05/15/2028 - 04/15/2031		993		1,032
Small Business Administration
5.490% due 03/01/2028		4,100		4,131
5.902% due 02/10/2018		6,100		6,157
Total U.S. Government Agencies				5,430,333
(Cost $5,453,076)
U.S. TREASURY OBLIGATIONS 101.8%
Treasury Inflation Protected Securities (d)
0.625% due 04/15/2013		161,544		161,090
0.875% due 04/15/2010		1,090,731		1,110,160
1.625% due 01/15/2015		358,983		371,014
1.625% due 01/15/2018		406,851		413,717
1.750% due 01/15/2028		270,912		257,832
1.875% due 07/15/2013		1,297,816		1,372,644
1.875% due 07/15/2015		687,525		720,451
2.000% due 04/15/2012		411,402		434,222
2.000% due 01/15/2014		873,244		927,754
2.000% due 07/15/2014		686,187		729,235
2.000% due 01/15/2016		155,635		164,049
2.000% due 01/15/2026		600,051		594,473
2.375% due 04/15/2011		463,712		491,572
2.375% due 01/15/2025		1,199,475		1,257,294
2.375% due 01/15/2027		236,533		247,713
2.500% due 07/15/2016		301,847		330,051
2.625% due 07/15/2017		381,835		421,868
3.000% due 07/15/2012		1,188,301		1,305,553
3.375% due 01/15/2012		141,478		156,289
3.375% due 04/15/2032		29,106		36,553
3.500% due 01/15/2011		892,418		971,970
3.625% due 04/15/2028		956,469		1,192,001
3.875% due 04/15/2029		900,160		1,168,029
4.250% due 01/15/2010		663,335		711,686
Total U.S. Treasury Obligations				15,547,220
(Cost $15,412,231)
MORTGAGE-BACKED SECURITIES 1.9%
Banc of America Funding Corp.
4.622% due 02/20/2036		39,867		37,801
6.141% due 01/20/2047		504		410
BCAP LLC Trust
2.652% due 01/25/2037		14,772		9,459
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		41,419		39,616
4.476% due 02/25/2034		460		446
4.550% due 08/25/2035		21,406		20,510
4.593% due 01/25/2034		3,424		3,157
4.747% due 01/25/2034		1,906		1,830
4.863% due 01/25/2035		7,520		7,283
5.519% due 11/25/2030		313		300
5.733% due 02/25/2036		1,214		1,012
Bear Stearns Alt-A Trust
5.372% due 05/25/2035		225		193
5.500% due 08/25/2036		900		508
5.701% due 09/25/2035		320		265
Chase Mortgage Finance Corp.
4.353% due 02/25/2037		799		760
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		2,291		2,168
4.248% due 08/25/2035		9,384		8,869
4.748% due 08/25/2035		9,198		8,770
4.900% due 12/25/2035		2,131		2,028
Countrywide Alternative Loan Trust
2.652% due 01/25/2037		1,500		880
2.662% due 02/20/2047		77		54
6.000% due 01/25/2037		8,461		6,782
6.000% due 02/25/2037		392		339
Countrywide Home Loan Mortgage Pass-Through Trust
2.822% due 06/25/2035		11,220		9,894
5.259% due 01/20/2035		829		764
5.454% due 02/25/2047		1,327		987
5.555% due 04/20/2036		1,249		1,168
5.615% due 02/20/2036		641		628
5.650% due 03/25/2037		1,275		941
CS First Boston Mortgage Securities Corp.
4.424% due 04/25/2034		1,000		977
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.582% due 10/25/2035		867		751
First Horizon Alternative Mortgage Securities
6.250% due 08/25/2037		1,193		1,144
First Republic Mortgage Loan Trust
2.771% due 08/15/2032		134		121
GE Capital Commercial Mortgage Corp.
4.970% due 08/11/2036		3,709		3,707
Greenpoint Mortgage Funding Trust
2.752% due 11/25/2045		27		22
GSR Mortgage Loan Trust
4.539% due 09/25/2035		32,874		31,886
Harborview Mortgage Loan Trust
2.722% due 03/19/2037		1,970		1,390
2.822% due 06/20/2035		986		765
4.643% due 04/19/2034		981		957
Homebanc Mortgage Trust
5.913% due 04/25/2037		1,600		954
Indymac INDA Mortgage Loan Trust
5.936% due 08/25/2036		1,500		1,175
Indymac INDB Mortgage Loan Trust
2.782% due 11/25/2035		770		552
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		53		49
2.782% due 06/25/2037		1,298		752
5.000% due 08/25/2035		1,613		1,394
5.369% due 01/25/2036		824		791
5.439% due 09/25/2035		855		615
5.511% due 10/25/2035		703		566
5.987% due 06/25/2036		1,100		877
JPMorgan Mortgage Trust
5.020% due 02/25/2035		646		610
5.379% due 08/25/2035		1,400		1,328
Lehman XS Trust
2.562% due 07/25/2046		3,379		3,299
MASTR Adjustable Rate Mortgages Trust
3.788% due 11/21/2034		890		879
4.663% due 12/25/2033		495		486
5.052% due 12/25/2033		1,552		1,532
MASTR Alternative Loans Trust
2.882% due 03/25/2036		2,072		1,475
Mellon Residential Funding Corp.
2.821% due 11/15/2031		46		41
2.911% due 12/15/2030		613		569
3.540% due 10/20/2029		308		297
Merrill Lynch Floating Trust
2.541% due 06/15/2022		3,029		2,850
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		745		599
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		99		87
2.851% due 03/15/2025		140		106
3.482% due 10/25/2035		56		52
Nomura Asset Acceptance Corp.
5.703% due 02/25/2036		924		725
5.820% due 03/25/2047		700		583
6.138% due 03/25/2047		1,100		849
Residential Accredit Loans, Inc.
2.662% due 06/25/2046		24,884		17,849
5.672% due 09/25/2035		1,149		979
Salomon Brothers Mortgage Securities VII, Inc.
6.500% due 09/25/2033		4,800		4,531
Sequoia Mortgage Trust
2.832% due 10/19/2026		37		35
Structured Adjustable Rate Mortgage Loan Trust
4.928% due 01/25/2035		17		16
5.246% due 05/25/2036		1,500		1,304
5.377% due 11/25/2035		793		673
5.431% due 09/25/2036		1,500		1,235
5.537% due 08/25/2035		169		151
6.000% due 10/25/2037		1,249		933
Structured Asset Mortgage Investments, Inc.
2.552% due 08/25/2036		35		34
2.602% due 08/25/2036		14,560		10,426
2.692% due 05/25/2046		9,686		6,935
2.732% due 07/19/2035		553		466
2.812% due 10/19/2034		15		13
Thornburg Mortgage Securities Trust
2.582% due 03/25/2037		835		777
2.602% due 09/25/2046		72		69
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		137		130
WaMu Mortgage Pass-Through Certificates
2.742% due 11/25/2045		8,116		6,229
2.772% due 07/25/2045		104		84
2.772% due 10/25/2045		178		139
3.022% due 12/25/2027		750		685
4.229% due 03/25/2034		706		692
4.361% due 02/27/2034		3,131		2,911
4.728% due 11/25/2042		5		5
4.780% due 07/25/2046		63		51
5.756% due 03/25/2033		204		203
Total Mortgage-Backed Securities (Cost $305,3942)				291,189
ASSET-BACKED SECURITIES 1.8%
ACE Securities Corp.
2.562% due 10/25/2036		317		313
American Express Credit Account Master Trust
3.421% due 08/15/2012		11,200		11,277
BA Credit Card Trust
3.051% due 04/15/2013		33,300		33,257
3.671% due 12/16/2013		49,400		50,171
Bear Stearns Asset-Backed Securities Trust
2.812% due 01/25/2036		953		918
2.932% due 03/25/2043		132		130
Bravo Mortgage Asset Trust
2.612% due 07/25/2036		575		564
Chase Issuance Trust
2.491% due 03/15/2013		8,800		8,667
2.511% due 02/15/2013		250		247
3.121% due 11/15/2011		2,300		2,306
3.227% due 08/17/2015		6,000		5,940
CSAB Mortgage-Backed Trust
5.684% due 12/25/2036		500		346
Equity One Asset-Backed Securities, Inc.
2.782% due 04/25/2034		162		136
First USA Credit Card Master Trust
2.641% due 04/18/2011		2,000		2,000
Ford Credit Auto Owner Trust
3.891% due 06/15/2012		142,700		144,178
GSAMP Trust
2.602% due 12/25/2035		406		403
GSR Mortgage Loan Trust
2.582% due 11/25/2030		163		162
Lehman XS Trust
2.562% due 04/25/2046		10		10
2.562% due 11/25/2046		48		46
2.572% due 05/25/2046		985		961
Merrill Lynch Mortgage Investors, Inc.
2.512% due 05/25/2037		3,657		3,621
2.532% due 05/25/2037		260		258
2.542% due 04/25/2037		378		375
2.602% due 02/25/2037		906		852
Morgan Stanley ABS Capital I
2.522% due 07/25/2036		286		284
Morgan Stanley Mortgage Loan Trust
5.750% due 04/25/2037		1,264		1,103
6.000% due 07/25/2047		776		668
Nelnet Student Loan Trust
2.811% due 12/22/2014		38		38
New Century Home Equity Loan Trust
2.552% due 08/25/2036		3,010		2,990
Nomura Asset Acceptance Corp.
2.622% due 01/25/2036		9		9
Popular ABS Mortgage Pass-Through Trust
2.572% due 06/25/2047		75		71
Residential Asset Securities Corp.
2.522% due 06/25/2036		5		5
2.552% due 07/25/2036		367		366
SACO I, Inc.
2.542% due 05/25/2036		2,074		1,458
SLM Student Loan Trust
2.920% due 01/25/2018		625		624
Soundview Home Equity Loan Trust
2.542% due 12/25/2036		379		373
Specialty Underwriting & Residential Finance
2.562% due 12/25/2036		28		29
USAA Auto Owner Trust
4.160% due 04/16/2012		1,700		1,707
Total Asset-Backed Securities (Cost $275,512)				276,863
SOVEREIGN ISSUES 0.1%
Export-Import Bank of Korea
2.920% due 10/04/2011		17,150		17,211
Total Sovereign Issues (Cost $17,135)				17,211
FOREIGN CURRENCY-DENOMINATED ISSUES 4.6%
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012	BRL	50,049		27,157
Brazilian Government International Bond
10.250% due 01/10/2028		10,000		5,302
Brazilian Government International CPI Linked Bond
6.000% due 08/15/2010		5,400		5,635
Canadian Government Bond
3.000% due 12/01/2036 (d)	CAD	21,190		28,152
France Government Bond
1.600% due 07/25/2011 (d)	EUR	6,584		10,249
1.600% due 07/25/2015 (d)		3,283		5,012
2.100% due 07/25/2023 (d)		2,040		3,125
2.500% due 07/25/2013		4,830		7,743
3.150% due 07/25/2032 (d)		7,015		12,833
4.250% due 10/25/2023		1,000		1,447
General Electric Capital Corp.
4.625% due 09/15/2066		4,450		5,894
5.500% due 09/15/2066	GBP	12,450		21,449
5.500% due 09/15/2067	EUR	500		697
6.500% due 09/15/2067	GBP	30,600		56,610
Green Valley Ltd.
8.342% due 01/10/2011	EUR	5,100		8,054
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (d)		2,254		3,513
4.250% due 08/01/2014		1,700		2,575
Japanese Government CPI Linked Bond
0.800% due 12/10/2015	JPY	3,016,910		28,163
1.100% due 12/10/2016		10,702,640		101,186
1.200% due 06/10/2017		14,390,640		136,327
1.200% due 12/10/2017		1,748,700		16,535
Network Rail Infrastructure Finance PLC
1.375% due 11/22/2037 (d)	GBP	100		225
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	10,000		10,244
Pylon Ltd.
6.460% due 12/29/2008	EUR	21,850		34,274
8.860% due 12/29/2008		40,700		64,061
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		5,000		6,812
Silver Arrow S.A.
4.544% due 08/15/2014		8,883		13,909
Sweden Government CPI Linked Bond
3.500% due 12/01/2028	SEK	9,600		2,440
4.000% due 12/01/2008		37,000		7,597
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	12,200		65,962
2.500% due 08/16/2013		2,500		12,340
Total Foreign Currency-Denominated Issues (Cost $645,160)				705,522
CONVERTIBLE PREFERRED STOCKS 0.2%
American International Group, Inc.
8.500% due 08/01/2011		157,000		9,308
Bank of America Corp.
7.250% due 12/31/2049		16,000		14,144
Wachovia Corp.
7.500% due 12/31/2049		9,000		7,969
Total Convertible Preferred Stocks (Cost $36,775)				31,421
SHORT-TERM INSTRUMENTS 23.9%
Certificates of Deposit 1.5%
Abbey National Treasury Services PLC
2.409% due 07/02/2008		96,900		96,900
Nordea Bank Finland PLC
3.082% due 12/01/2008		5,500		5,498
UBS AG Stamford Ct
3.751% due 07/01/2010 (b)		6,200		6,200
Unicredito Italiano NY
3.071% due 05/18/2009		126,000		122,149
				230,747
Commercial Paper 20.5%
ABN AMRO N.A. Finance
2.470% due 07/18/2008		5,300		5,294
Australia & New Zealand Banking Group Ltd.
2.740% due 09/05/2008		27,600		27,460
Bank of America Corp.
2.500% due 07/17/2008		8,000		7,991
2.700% due 09/09/2008		221,500		220,302
2.700% due 09/19/2008		20,000		19,874
Barclays U.S. Funding Corp.
2.680% due 08/01/2008		9,400		9,378
2.680% due 09/02/2008		37,700		37,519
2.780% due 09/23/2008		77,400		76,885
BNP Paribas Finance, Inc.
2.600% due 08/01/2008		50,700		50,586
2.622% due 09/08/2008		264,100		262,695
2.741% due 09/18/2008		12,300		12,224
Caisse d’Amortissement de la Dette Sociale
2.820% due 09/17/2008		67,200		66,789
CBA (de) Finance
2.510% due 08/04/2008		8,600		8,580
2.700% due 09/26/2008		300		298
2.750% due 09/15/2008		20,000		19,881
Citibank N.A.
3.570% due 08/19/2008		3,300		3,284
3.570% due 10/23/2008		25,300		25,065
Danske Corp.
2.450% due 07/15/2008		13,600		13,587
2.470% due 07/16/2008		7,100		7,093
2.500% due 08/06/2008		78,400		78,204
2.750% due 09/18/2008		249,400		247,851
2.760% due 09/16/2008		3,800		3,777
DnB NOR Bank ASA
2.700% due 09/05/2008		500		497
Federal Home Loan Bank
2.000% due 07/01/2008		117,000		117,000
ING Funding LLC
2.480% due 07/29/2008		5,500		5,489
2.485% due 07/15/2008		700		699
2.490% due 08/11/2008		46,300		46,169
2.500% due 08/13/2008		12,000		11,964
2.500% due 08/14/2008		42,800		42,669
Intesa Funding LLC
2.780% due 09/16/2008		700		696
National Australia Bank Ltd.
2.600% due 09/08/2008		311,200		309,544
Rabobank USA Financial Corp.
2.650% due 09/29/2008		100,300		99,577
Royal Bank of Scotland Group PLC
2.530% due 07/31/2008		100,000		99,789
2.560% due 08/11/2008		194,400		193,833
2.580% due 08/04/2008		26,900		26,834
2.600% due 07/15/2008		70,300		70,229
2.630% due 09/08/2008		23,000		22,878
2.650% due 07/23/2008		9,400		9,385
2.670% due 08/06/2008		2,200		2,194
2.860% due 08/04/2008		44,400		44,280
San Paolo U.S. Financial Co.
2.770% due 09/17/2008		40,000		39,755
Societe General N.A.
2.650% due 08/06/2008		10,000		9,974
2.650% due 08/08/2008		39,200		39,090
2.680% due 08/06/2008		12,200		12,167
2.750% due 08/06/2008		9,200		9,175
2.860% due 08/06/2008		200		199
2.900% due 09/18/2008		359,500		357,267
Svenska Handelsbanken AB
2.495% due 08/05/2008		12,000		11,971
2.520% due 07/15/2008		14,100		14,086
2.700% due 09/18/2008		16,500		16,398
UBS Finance Delaware LLC
2.400% due 07/16/2008		12,050		12,038
2.520% due 07/16/2008		28,500		28,470
2.625% due 09/02/2008		44,000		43,789
2.645% due 09/03/2008		6,300		6,269
2.730% due 09/02/2008		2,700		2,687
2.730% due 09/10/2008		4,800		4,774
2.750% due 08/05/2008		68,900		68,716
2.800% due 09/03/2008		900		896
2.845% due 09/30/2008		22,500		22,336
2.850% due 09/10/2008		25,100		24,962
Unicredito Italiano SpA
2.800% due 08/06/2008		15,000		14,958
3.080% due 09/16/2008		80,100		79,617
Westpac Banking Corp.
2.730% due 09/18/2008		1,100		1,093
				3,129,030
Repurchase Agreements 0.0%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		5,001		5,001
(Dated 06/30/2008. Collateralized by Fannie Mae 5.057% due 12/08/2028 valued at $307 and Federal Home Loan Bank 2.400% - 2.625% due 05/13/2009 - - 06/10/2009 valued at $4,799. Repurchase proceeds are $5,001.)
U.S. Treasury Bills 1.9%
1.848% due 08/28/2008 - 09/25/2008 (c)(e)(f)		290,750		289,132
Total Short-Term Instruments (Cost $3,658,476)				3,653,910
Purchased Options (i) 0.1% (Cost $11,072)				13,319
Total Investments 193.4% (Cost $29,470,202)			$	29,551,638
Written Options (j) (0.4%) (Premiums $67,591)				(66,226	)
Other Assets and Liabilities (Net) (93.0%)				(14,207,252	)
Net Assets 100.0%			$	15,278,160

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

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

(a) Security is in default.

(b) When-issued security.

(c) Coupon represents a weighted average rate.

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

(e) Securities with an aggregate market value of $178,738 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(f) Securities with an aggregate market value of $109,399 have been pledged as collateral for delayed-delivery securities on June 30, 2008.

(g) Cash of $83,350 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	852	$	(3,065	)
90-Day Euribor June Futures	Long	06/2009	1,187		(5,064	)
90-Day Euribor September Futures	Long	09/2008	373		(1,651	)
90-Day Euribor September Futures	Long	09/2009	1,192		(5,153	)
90-Day Eurodollar December Futures	Short	12/2008	258		566
90-Day Eurodollar December Futures	Long	12/2009	2,991		(2,745	)
90-Day Eurodollar June Futures	Long	06/2009	4,210		2,151
90-Day Eurodollar March Futures	Long	03/2010	2,827		(2,536	)
90-Day Eurodollar September Futures	Long	09/2008	1,228		(224	)
90-Day Eurodollar September Futures	Long	09/2009	4,423		983
Euro-Bobl September Futures	Short	09/2008	909		1,431
Euro-Bobl September Futures Call Options Strike @ EUR 117.500	Long	09/2008	539		0
Euro-Bund 10-Year Bond September Futures	Short	09/2008	3,501		6,967
Euro-Bund 10-Year Bond September Futures Call Options Strike @ EUR 126.000	Long	09/2008	3,501		0
Euro-Schatz September Futures	Short	09/2008	1,861		1,605
Euro-Schatz September Futures Call Options Strike @ EUR 108.500	Long	09/2008	1,861		0
Japan Government 10-Year Bond September Futures	Short	09/2008	50		(964	)
U.S. Treasury 5-Year Note September Futures	Long	09/2008	26		(13	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	11,452		4,529
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	2,342		8,225
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	870		(2,472	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	120		(428	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	1,095		(2,701	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	1,039		(2,696	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	2,597		(3,365	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2009	120		(439	)
United Kingdom Government 10-Year Bond September Futures	Short	09/2008	840		2,497
				$	(4,562	)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
American General Finance Corp. 6.900% due 12/15/2017	Buy	(1.820	%)	12/20/2017	RBS	$	5,000	$	518
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.992	%	03/20/2013	DUB		17,100		(110	)
Amgen, Inc. 5.850% due 06/01/2017	Buy	(0.670	%)	06/20/2017	DUB		9,000		171
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.529	%)	12/20/2012	GSC		4,100		58
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012	CITI		5,800		(75	)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012	JPM		8,600		(112	)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Buy	(1.780	%)	12/20/2012	GSC		8,500		(247	)
Bear Stearns Cos., Inc. 6.400% due 10/02/2017	Buy	(0.640	%)	12/20/2017	CSFB		5,000		146
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(2.180	%)	03/20/2018	BNP		17,000		(1,414	)
Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.680	%)	12/20/2012	BOA		800		18
Burlington Northern Santa Fe Corp. 5.650% due 05/01/2017	Buy	(0.720	%)	06/20/2017	BCLY		2,500		34
Capital One Financial Corp. 6.250% due 11/15/2013	Buy	(1.210	%)	09/20/2012	BEAR		7,200		793
Capital One Financial Corp. 6.250% due 11/15/2013	Buy	(1.200	%)	09/20/2012	RBS		10,000		1,105
Capital One Financial Corp. 6.250% due 11/15/2013	Buy	(1.200	%)	09/20/2012	UBS		10,000		1,105
Capital One Financial Corp. 6.250% due 11/15/2013	Buy	(1.150	%)	09/20/2012	JPM		800		90
Cardinal Health, Inc. 6.000% due 06/15/2017	Buy	(0.740	%)	06/20/2017	DUB		6,195		(8	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.970	%	06/20/2012	CSFB		3,200		(107	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.010	%	06/20/2012	CSFB		3,100		(99	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.020	%	06/20/2012	CSFB		9,000		(286	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.040	%	06/20/2012	CSFB		3,700		(115	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.370	%	09/20/2012	CITI		5,000		(112	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.370	%	09/20/2012	MSC		1,800		(40	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.380	%	09/20/2012	GSC		2,000		(44	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.150	%	12/20/2012	DUB		1,100		(39	)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	2.100	%	03/20/2013	CITI		1,300		(1	)
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(0.900	%)	06/20/2018	BNP		5,400		211
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(0.850	%)	06/20/2018	UBS		2,300		98
Clorox Co. 6.125% due 02/01/2011	Buy	(0.470	%)	12/20/2012	CITI		2,300		21
Computer Sciences Corp. 6.500% due 03/15/2018	Buy	(1.360	%)	03/20/2018	LEH		2,500		(114	)
ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299	%)	12/20/2012	GSC		4,600		67
Constellation Energy Group, Inc. 4.550% due 06/15/2015	Buy	(0.960	%)	06/20/2015	JPM		2,200		58
Con-way, Inc. 7.250% due 01/15/2018	Buy	(1.834	%)	03/20/2018	BOA		10,000		237
CSX Corp. 6.250% due 03/15/2018	Buy	(1.050	%)	03/20/2018	CSFB		5,000		278
Erac USA Finance Co. 6.375% due 10/15/2017	Buy	(2.700	%)	12/20/2017	GSC		5,000		22
Fannie Mae 5.250% due 08/01/2012	Sell	1.401	%	03/20/2013	BNP		20,000		(104	)
Fannie Mae 5.250% due 08/01/2012	Sell	1.580	%	03/20/2013	BNP		2,500		6
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	2.560	%	06/20/2012	UBS		1,500		(379	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800	%	09/20/2012	BCLY		2,500		(594	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800	%	09/20/2012	MSC		8,600		(2,042	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012	JPM		3,600		(851	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.770	%	03/20/2009	BOA		700		(2	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.850	%	03/20/2009	DUB		1,900		(4	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.010	%	03/20/2013	BCLY		4,700		(113	)
GMAC LLC 6.875% due 08/28/2012	Buy	(5.200	%)	09/20/2008	GSC		6,200		103
GMAC LLC 6.875% due 08/28/2012	Buy	(4.250	%)	09/20/2008	DUB		2,900		56
GMAC LLC 6.875% due 08/28/2012	Sell	3.400	%	06/20/2011	GSC		1,100		(300	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.620	%	06/20/2011	UBS		5,000		(1,300	)
GMAC LLC 6.875% due 08/28/2012	Sell	6.850	%	06/20/2012	MSC		5,700		(1,324	)
GMAC LLC 6.875% due 08/28/2012	Buy	(4.800	%)	09/20/2012	RBS		10,000		2,778
GMAC LLC 6.875% due 08/28/2012	Sell	3.050	%	09/20/2012	BCLY		3,200		(1,003	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.050	%	09/20/2012	GSC		11,300		(3,543	)
GMAC LLC 6.875% due 08/28/2012	Sell	5.100	%	09/20/2012	BOA		15,000		(4,075	)
GMAC LLC 6.875% due 08/28/2012	Sell	5.400	%	09/20/2012	JPM		3,100		(823	)
GMAC LLC 6.875% due 08/28/2012	Sell	5.450	%	09/20/2012	JPM		3,100		(820	)
GMAC LLC 6.875% due 08/28/2012	Sell	6.300	%	09/20/2012	BOA		1,200		(296	)
GMAC LLC 6.875% due 08/28/2012	Sell	6.300	%	09/20/2012	MLP		18,600		(4,597	)
GMAC LLC 6.875% due 08/28/2012	Sell	6.310	%	09/20/2012	GSC		9,300		(2,297	)
GMAC LLC 6.875% due 08/28/2012	Sell	7.000	%	09/20/2012	BOA		7,000		(1,630	)
Goldman Sachs Group, Inc. 5.950% due 01/18/2018	Buy	(0.970	%)	03/20/2018	BNP		7,500		226
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.720	%	09/20/2012	LEH		8,000		(188	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.740	%	09/20/2012	CSFB		9,600		(218	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.750	%	09/20/2012	MLP		5,000		(112	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.750	%	09/20/2012	MSC		2,100		(47	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.770	%	09/20/2012	BCLY		7,000		(151	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.780	%	09/20/2012	RBS		2,000		(42	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.800	%	09/20/2012	BEAR		600		(12	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(0.400	%)	12/20/2012	CITI		4,400		164
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(0.390	%)	12/20/2012	BNP		5,700		215
HCP, Inc. 6.300% due 09/15/2016	Buy	(2.830	%)	09/20/2016	JPM		2,000		(68	)
HCP, Inc. 6.700% due 01/30/2018	Buy	(2.260	%)	03/20/2018	MSC		5,000		(24	)
Home Depot, Inc. 5.400% due 03/01/2016	Buy	(1.750	%)	03/20/2016	LEH		2,500		(61	)
Hospira, Inc. 5.900% due 06/15/2014	Buy	(1.030	%)	06/20/2014	MSC		2,500		(27	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008	LEH		4,000		(6	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.510	%	12/20/2008	DUB		36,500		(36	)
International Lease Finance Corp. 6.625% due 11/15/2013	Buy	(1.600	%)	12/20/2013	BNP		2,500		139
International Lease Finance Corp. 6.625% due 11/15/2013	Buy	(1.600	%)	12/20/2013	DUB		4,100		228
International Lease Finance Corp. 6.625% due 11/15/2013	Buy	(1.530	%)	12/20/2013	JPM		3,900		229
Kimberly-Clark Corp. 6.875% due 02/15/2014	Buy	(0.320	%)	12/20/2012	BEAR		1,000		5
Kraft Foods, Inc. 6.125% due 02/01/2018	Buy	(1.130	%)	03/20/2018	RBS		2,000		3
Kraft Foods, Inc. 6.125% due 02/01/2018	Buy	(0.860	%)	03/20/2018	GSC		4,000		86
Kraft Foods, Inc. 6.125% due 08/23/2018	Buy	(1.040	%)	06/20/2018	BOA		3,700		32
Kroger Co. 6.400% due 08/15/2017	Buy	(0.900	%)	09/20/2017	BOA		5,000		(44	)
Lafarge S.A. 6.500% due 07/15/2016	Buy	(1.690	%)	09/20/2016	BOA		5,000		49
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.660	%	09/20/2012	RBS		7,000		(549	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.700	%	09/20/2012	JPM		8,700		(670	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.120	%	09/20/2012	BNP		3,200		(200	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.200	%	09/20/2012	BNP		3,200		(191	)
Ltd. Brands, Inc. 6.900% due 07/15/2017	Buy	(3.113	%)	09/20/2017	MSC		2,000		(34	)
Macy’s Retail Holdings, Inc. 5.350% due 03/15/2012	Buy	(2.000	%)	03/20/2012	JPM		3,000		17
Macy’s Retail Holdings, Inc. 7.450% due 07/15/2017	Buy	(2.110	%)	09/20/2017	DUB		2,000		48
Macy’s Retail Holdings, Inc. 7.450% due 07/15/2017	Buy	(2.100	%)	09/20/2017	DUB		1,000		24
Macy’s Retail Holdings, Inc. 7.875% due 07/15/2015	Buy	(2.470	%)	09/20/2015	MSC		10,000		11
Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640	%)	12/20/2012	GSC		2,100		142
Marriott International, Inc. 5.810% due 11/10/2015	Buy	(1.880	%)	12/20/2015	DUB		5,000		195
Marsh & McLennan Cos., Inc. 5.750% due 09/15/2015	Buy	(1.180	%)	09/20/2015	BOA		2,500		(55	)
Masco Corp. 5.850% due 03/15/2017	Buy	(1.920	%)	03/20/2017	CITI		8,000		236
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.950	%)	12/20/2012	BOA		1,600		97
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.930	%)	12/20/2012	BCLY		9,800		601
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.930	%)	12/20/2012	JPM		5,400		331
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.920	%)	12/20/2012	UBS		1,100		68
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.900	%)	12/20/2012	LEH		5,000		312
Merrill Lynch & Co., Inc. 5.450% due 02/05/2013	Buy	(1.380	%)	03/20/2013	BNP		8,000		361
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.670	%	01/20/2017	LEH		5,700		(236	)
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.210	%)	06/20/2015	CITI		10,000		418
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.210	%)	06/20/2015	DUB		4,000		167
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.200	%)	06/20/2015	GSC		900		38
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.100	%)	06/20/2015	DUB		13,900		663
Morgan Stanley 6.000% due 04/28/2015	Buy	(1.040	%)	06/20/2015	BCLY		2,000		102
Motorola, Inc. 6.000% due 11/15/2017	Buy	(1.020	%)	12/20/2017	LEH		4,000		495
Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008	CSFB		11,700		17
Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.319	%)	12/20/2012	GSC		4,200		83
Nucor Corp. 5.750% due 12/01/2017	Buy	(0.486	%)	12/20/2017	CSFB		4,000		16
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008	DUB		4,000		(4	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008	BCLY		26,300		(17	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	12/20/2008	MSC		8,900		(6	)
Pearson Dollar Finance Two PLC 5.500% due 05/06/2013	Buy	(0.570	%)	06/20/2013	CITI		1,500		9
Pearson Dollar Finance Two PLC 5.500% due 05/06/2013	Buy	(0.550	%)	06/20/2013	LEH		1,500		11
Pearson Dollar Finance Two PLC 6.250% due 05/06/2018	Buy	(0.720	%)	06/20/2018	DUB		11,000		122
Pearson Dollar Finance Two PLC 6.250% due 05/06/2018	Buy	(0.700	%)	06/20/2018	LEH		3,500		46
Pearson Dollar Finance Two PLC 6.250% due 05/06/2018	Buy	(0.690	%)	06/20/2018	CITI		3,500		49
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008	BCLY		7,000		3
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008	LEH		4,000		2
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.350	%	12/20/2008	BCLY		17,900		12
Peru Government International Bond 9.125% due 02/21/2012	Sell	0.370	%	12/20/2008	LEH		17,300		14
PPG Industries, Inc. 6.650% due 03/15/2018	Buy	(0.650	%)	03/20/2018	BOA		10,000		220
Prudential Financial, Inc. 6.100% due 06/15/2017	Buy	(0.870	%)	06/20/2017	BCLY		2,000		48
Rexam PLC 6.750% due 06/01/2013	Buy	(1.450	%)	06/20/2013	BCLY		10,600		30
Rexam PLC 6.750% due 06/01/2013	Buy	(1.450	%)	06/20/2013	CITI		3,000		9
Reynolds American, Inc. 7.250% due 06/01/2013	Buy	(1.020	%)	06/20/2013	DUB		10,000		12
RH Donnelley Corp. 8.875% due 01/15/2016	Sell	3.400	%	09/20/2012	CITI		100		(30	)
RPM International, Inc. 6.500% due 02/15/2018	Buy	(1.030	%)	03/20/2018	BOA		8,550		106
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.325	%	12/20/2008	DUB		19,000		(10	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.330	%	12/20/2008	BCLY		17,900		(9	)
Ryder System, Inc. 6.000% due 03/01/2013	Buy	(0.850	%)	03/20/2013	BOA		1,100		9
SCA Finans AB 4.500% due 07/15/2015	Buy	(0.810	%)	09/20/2015	DUB		6,000		100
Sealed Air Corp. 5.625% due 07/15/2013	Buy	(1.035	%)	09/20/2013	BCLY		10,000		237
Sempra Energy 6.150% due 06/15/2018	Buy	(0.580	%)	06/20/2018	BOA		3,000		24
Sempra Energy 6.150% due 06/15/2018	Buy	(0.550	%)	06/20/2018	DUB		1,500		16
SLM Corp. 5.125% due 08/27/2012	Sell	3.800	%	03/20/2009	GSC		8,000		(81	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.000	%	03/20/2009	BCLY		5,000		(43	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.750	%	03/20/2009	UBS		25,000		224
Spectra Energy Capital LLC 5.668% due 08/15/2014	Buy	(0.750	%)	09/20/2014	DUB		10,000		80
Spectra Energy Capital LLC 6.200% due 04/15/2018	Buy	(0.975	%)	06/20/2018	DUB		15,000		7
Staples, Inc. 7.375% due 10/01/2012	Buy	(0.700	%)	12/20/2012	MSC		400		7
Target Corp. 6.000% due 01/15/2018	Buy	(1.200	%)	03/20/2018	MSC		7,000		(242	)
Telecom Italia Capital S.A. 6.999% due 06/04/2018	Buy	(1.550	%)	06/20/2018	GSC		3,200		39
Telecom Italia Capital S.A. 6.999% due 06/04/2018	Buy	(1.530	%)	06/20/2018	JPM		7,500		102
Tyco Electronics Group S.A. 6.550% due 10/01/2017	Buy	(0.950	%)	12/20/2017	DUB		4,000		(28	)
Tyco International Group S.A. 6.000% due 11/15/2013	Buy	(0.750	%)	12/20/2013	BOA		8,000		65
Tyco International Ltd. 7.000% due 12/15/2019	Buy	(1.120	%)	12/20/2019	BOA		12,000		249
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.780	%	12/20/2008	BCLY		17,900		(80	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.790	%	12/20/2008	DUB		19,000		(84	)
Verizon Communications, Inc. 5.500% due 04/01/2017	Buy	(0.550	%)	06/20/2017	LEH		5,000		124
VF Corp. 8.500% due 10/01/2010	Buy	(0.449	%)	12/20/2012	LEH		3,100		27
Viacom, Inc. 6.125% due 10/05/2017	Buy	(1.110	%)	12/20/2017	BOA		4,000		121
Viacom, Inc. 6.250% due 04/30/2016	Buy	(1.250	%)	06/20/2016	LEH		2,500		41
Viacom, Inc. 6.250% due 04/30/2016	Buy	(1.150	%)	06/20/2016	DUB		5,000		111
Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008	BCLY		11,000		(41	)
Whirlpool Corp. 6.500% due 06/15/2016	Buy	(1.060	%)	06/20/2016	GSC		6,000		71
								$	(16,528	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection (2)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080%	12/13/2049	MSC	$	84,990	$	6,086
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	BCLY		11,484		487
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	BEAR		48,520		2,677
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	BOA		137,263		6,657
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	DUB		2,178		94
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	LEH		24,552		901
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	MLP		89,397		4,162
Dow Jones CDX N.A. HY8 Index	Buy	(2.750%)	06/20/2012	UBS		31,779		1,424
Dow Jones CDX N.A. HY9 Index	Sell	3.330%	12/20/2012	LEH		43,400		(3,107)
Dow Jones CDX N.A. HY9 Index	Sell	6.385%	12/20/2012	GSC		10,800		511
Dow Jones CDX N.A. HY9 Index	Sell	6.450%	12/20/2012	JPM		15,000		748
Dow Jones CDX N.A. HY9 Index	Sell	6.510%	12/20/2012	MLP		10,600		578
Dow Jones CDX N.A. HY9 Index	Sell	6.570%	12/20/2012	MSC		2,800		153
Dow Jones CDX N.A. HY9 Index	Sell	6.690%	12/20/2012	MLP		8,200		485
Dow Jones CDX N.A. IG8 Index	Buy	(0.350%)	06/20/2012	BCLY		26,400		774
Dow Jones CDX N.A. IG8 Index	Buy	(0.350%)	06/20/2012	BOA		13,000		395
Dow Jones CDX N.A. IG9 Index	Buy	(0.600%)	12/20/2012	LEH		25,200		556
Dow Jones CDX N.A. IG9 Index	Buy	(0.600%)	12/20/2012	MLP		143,200		5,463
Dow Jones CDX N.A. IG9 Index	Buy	(0.600%)	12/20/2012	RBS		30,300		536
Dow Jones CDX N.A. IG9 Index	Sell	0.600%	12/20/2012	DUB		15,000		121
Dow Jones CDX N.A. IG9 Index	Sell	0.600%	12/20/2012	GSC		91,900		989
Dow Jones CDX N.A. IG9 Index	Sell	0.600%	12/20/2012	JPM		37,300		(1,076)
Dow Jones CDX N.A. IG9 Index	Sell	0.990%	12/20/2012	DUB		6,500		10
Dow Jones CDX N.A. IG9 Index	Sell	1.130%	12/20/2012	MSC		4,800		63
Dow Jones CDX N.A. IG9 Index	Buy	(6.550%)	12/20/2017	GSC		22,700		1,150
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	BCLY		224,400		7,064
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	BOA		38,200		1,340
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	GSC		62,700		2,198
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	JPM		17,600		614
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	LEH		34,200		1,181
Dow Jones CDX N.A. IG9 Index	Buy	(0.800%)	12/20/2017	MSC		151,800		4,046
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	DUB		490,800		1,551
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	GSC		220,200		846
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	MLP		39,300		(80)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	MSC		136,700		1,012
Dow Jones CDX N.A. IG10 Index	Buy	(1.500%)	06/20/2018	BCLY		73,900		1,961
Dow Jones CDX N.A. IG10 Index	Buy	(1.500%)	06/20/2018	GSC		67,900		1,043
Dow Jones CDX N.A. XO8 Index	Buy	(1.400%)	06/20/2012	BOA		6,400		320
Home Equity Index A Rating 2007-1	Sell	0.640%	08/25/2037	LEH		4,100		(1,096)
							$	52,837

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	06/15/2009	CITI	AUD	145,000		(1,381)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	CITI		15,900		(102)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	UBS		468,200		(1,452)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	DUB	$	261,800		(766)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	JPM		295,800		(1,344)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	MLP		9,800		(22)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	MSC		1,085,200		(2,599)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	RBS		62,400		(256)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MLP		115,700		526
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		230,300		1,088
Receive	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA		132,400		780
Receive	3-Month USD-LIBOR	4.000	%	12/17/2010	MSC		439,985		3,454
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	BCLY		122,500		(1,142)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		22,000		(75)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		66,300		(121)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		403,100		(3,446)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2014	GSC		264,300		(8,392)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	CITI		80,400		1,520
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		37,900		709
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	BCLY		51,100		(1,533)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BOA		167,000		(1,987)
Receive	3-Month USD-LIBOR	5.000	%	12/20/2021	DUB		114,500		(10,347)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BOA		17,950		(308)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	GSC		3,000		(21)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	JPM		94,000		(1,038)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	LEH		95,950		(929)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		240,500		(3,183)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		32,200		179
Receive	3-Month USD-LIBOR	5.000	%	12/20/2026	DUB		146,500		(15,521)
Receive	3-Month USD-LIBOR	5.000	%	12/20/2026	UBS		59,600		(6,314)
Pay	3-Month USD-LIBOR	5.000	%	06/20/2027	BOA		46,000		1,923
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		196,400		(4,018)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	LEH		101,100		(2,636)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.040	%	03/15/2010	BCLY	EUR	50,000		(937)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103	%	09/14/2010	BNP		60,000		(1,378)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP		52,200		(1,131)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103	%	10/15/2010	BCLY		8,800		(183)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146	%	10/15/2010	UBS		22,700		(457)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.040	%	02/21/2011	BNP		33,900		(1,130)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.100	%	03/13/2011	DUB		4,800		(138)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.028	%	10/15/2011	JPM		31,400		(1,256)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.095	%	10/15/2011	UBS		27,800		(937)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.973	%	12/15/2011	JPM		6,900		(367)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.976	%	12/15/2011	GSC		40,900		(2,090)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.988	%	12/15/2011	BNP		72,600		(3,666)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	BCLY		5,900		(348)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM		12,600		(741)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.983	%	03/15/2012	BNP		5,200		(298)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		52,500		(2,887)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS		5,900		(283)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		6,900		(407)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY		3,000		(175)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		42,300		(2,593)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.980	%	04/30/2012	BCLY		9,200		(543)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.238	%	06/20/2012	BCLY		17,000		(694)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.098	%	09/28/2012	BNP		33,000		(1,777)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.150	%	01/19/2016	BNP		75,000		(3,631)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.350	%	10/15/2016	UBS		33,100		(394)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.353	%	10/15/2016	JPM		30,000		(291)
Pay	6-Month Australian Bank Bill	7.000	%	12/15/2009	BCLY	AUD	162,100		(1,521)
Pay	6-Month Australian Bank Bill	7.000	%	12/15/2009	MSC		169,500		(1,597)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	CITI		53,500		(1,246)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	DUB		209,600		(4,837)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	JPM		35,800		(836)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	RBC		21,900		(500)
Pay	6-Month Australian Bank Bill	7.000	%	06/15/2010	DUB		530,800		(9,318)
Pay	6-Month Australian Bank Bill	7.500	%	06/15/2011	DUB		83,700		586
Receive	6-Month Australian Bank Bill	6.500	%	06/15/2017	CITI		20,900		1,119
Receive	6-Month Australian Bank Bill	6.500	%	06/15/2017	DUB		14,300		740
Receive	6-Month Australian Bank Bill	6.750	%	12/15/2017	BCLY		20,200		896
Receive	6-Month Australian Bank Bill	6.750	%	12/15/2017	MSC		21,200		949
Receive	6-Month Australian Bank Bill	7.000	%	03/15/2019	UBS		28,600		569
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	DUB	EUR	169,800		(3,498)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		146,800		(3,024)
Receive	6-Month EUR-LIBOR	4.000	%	06/15/2017	MSC		104,450		12,009
Receive	6-Month EUR-LIBOR	5.000	%	03/19/2018	BCLY		500		21
Pay	6-Month EUR-LIBOR	4.500	%	06/18/2034	MSC		56,600		62
Pay	6-Month EUR-LIBOR	5.000	%	06/18/2034	JPM		15,927		245
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY	GBP	121,200		(1,615)
Pay	6-Month GBP-LIBOR	5.000	%	12/19/2009	MSC		327,600		(6,767)
Receive	6-Month GBP-LIBOR	5.000	%	03/20/2010	BCLY		2,900		130
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	DUB		95,200		(2,155)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	BCLY		54,200		(3,576)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	CSFB		48,500		(1,098)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	DUB		28,900		(2,891)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	GSC		39,200		(3,851)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	JPM		35,000		(3,072)
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2013	BCLY		1,700		95
Receive	6-Month GBP-LIBOR	5.000	%	09/15/2015	GSC		45,200		2,893
Receive	6-Month GBP-LIBOR	5.000	%	03/20/2018	BCLY		30,600		805
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		42,400		893
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	CSFB		19,300		424
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	HSBC		35,600		5,550
Pay	6-Month JPY-LIBOR	1.000	%	03/18/2009	MSC	JPY	33,800,000		358
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	BCLY		2,220,000		(236)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	DUB		8,630,000		(966)
Receive	6-Month JPY-LIBOR	2.000	%	12/17/2017	RBS		9,190,000		(1,041)
Pay	28-Day Mexico Interbank TIIE Banxico	8.720	%	09/05/2016	BCLY	MXN	210,000		(1,197)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170	%	11/04/2016	CITI		476,300		(4,332)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170	%	11/04/2016	GSC		11,800		(103)
Pay	28-Day Mexico Interbank TIIE Banxico	8.330	%	02/14/2017	BCLY		132,800		(1,096)
Pay	BRL-CDI-Compounded	12.410	%	01/04/2010	UBS	BRL	3,000		(2,812)
Pay	BRL-CDI-Compounded	10.115	%	01/02/2012	MSC		47,600		(3,033)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		277,300		(17,076)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	BCLY		6,000		(150)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	LEH		3,600		(109)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MLP		427,200		(11,156)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MSC		40,800		(1,107)
Receive	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	2.275	%	10/15/2016	UBS	EUR	33,900		(403)
Pay	U.S. CPI Urban Consumers NSA Index	2.538	%	01/16/2013	BCLY	$	45,000		(1,792)
Pay	U.S. CPI Urban Consumers NSA Index	2.790	%	10/07/2015	BNP		50,000		(2,078)
Pay	U.S. CPI Urban Consumers NSA Index	2.710	%	01/08/2018	BNP		40,000		(1,508)
Pay	U.S. CPI Urban Consumers NSA Index	2.970	%	03/05/2018	GSC		39,000		(178)
Pay	U.S. CPI Urban Consumers NSA Index	2.980	%	03/06/2018	MSC		6,900		(48)
Pay	United Kingdom RPI Index	3.100	%	11/14/2016	BCLY	GBP	40,000		(5,145)
Pay	United Kingdom RPI Index	3.250	%	12/14/2017	BCLY		3,000		(300)
Pay	United Kingdom RPI Index	3.183	%	12/19/2017	RBS		11,900		(1,291)
Pay	United Kingdom RPI Index	3.110	%	01/03/2018	GSC		34,800		(4,139)
Pay	United Kingdom RPI Index	3.381	%	06/14/2027	RBS		13,600		(2,474)
Pay	United Kingdom RPI Index	3.440	%	09/10/2027	RBS		17,000		(2,807)
Pay	United Kingdom RPI Index	3.425	%	10/17/2027	BCLY		5,250		(837)
								$	(177,958)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	111.000	08/22/2008	5,150	$	174	$	82
Call - CBOT U.S. Treasury 5-Year Note September Futures		126.000	08/22/2008	3,818		69		31
Call - CBOT U.S. Treasury 10-Year Note September Futures		137.000	08/22/2008	1,983		36		33
Call - CBOT U.S. Treasury 10-Year Note September Futures		138.000	08/22/2008	7,096		128		117
Call - CBOT U.S. Treasury 30-Year Bond September Futures		146.000	08/22/2008	5,700		103		94
Call - CBOT U.S. Treasury 30-Year Bond September Futures		148.000	08/22/2008	6,900		125		114
Call - CBOT U.S. Treasury 30-Year Bond September Futures		149.000	08/22/2008	4,137		75		68
Put - CBOT U.S. Treasury 10-Year Note September Futures		80.000	08/22/2008	962		9		15
Put - CBOT U.S. Treasury 10-Year Note September Futures		85.000	08/22/2008	1,100		10		17
Put - CBOT U.S. Treasury 10-Year Note September Futures		88.000	08/22/2008	1,316		24		20
Put - CBOT U.S. Treasury 10-Year Note September Futures		90.000	08/22/2008	1,000		10		15
Put - CBOT U.S. Treasury 10-Year Note September Futures		91.000	08/22/2008	7,221		131		108
					$	894	$	714

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate	Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500%	02/02/2009	$	170,800	$	1,879	$	809
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450%	08/03/2009		23,300		249		108
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450%	08/03/2009		15,700		167		73
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450%	08/03/2009		12,000		127		56
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450%	08/03/2009		55,500		596		258
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850%	08/03/2009		29,300		310		204
								$	3,328	$	1,508

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.392	07/08/2010	EUR	55,100	$	2,903	$	9,049
Put - OTC Euro versus U.S. dollar		1.392	07/08/2010		55,100		2,903		2,007
Call - OTC U.S. dollar versus Japanese yen	JPY	111.000	12/01/2008	$	32,000		579		41
						$	6,385	$	11,097

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 6.500% due 07/01/2038	$	92.000	07/07/2008	$	181,000	$	21	$	0
Put - OTC Treasury Inflation Protected Securities 0.875% due 04/15/2010		98.000	07/16/2008		1,000,000		78		0
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/15/2013		97.500	07/16/2008		1,000,000		78		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2014		97.500	07/16/2008		800,000		63		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2026		86.000	07/09/2008		21,000		2		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 04/15/2012		99.500	07/07/2008		200,000		16		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		91.500	07/09/2008		1,156,300		90		0
Put - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017		100.000	07/07/2008		500,000		39		0
Put - OTC Treasury Inflation Protected Securities 3.000% due 07/15/2012		102.500	07/16/2008		1,000,000		78		0
						$	465	$	0

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	116.000	08/22/2008	4,991	$	4,713	$	2,944
Call - CBOT U.S. Treasury 10-Year Note September Futures		117.000	08/22/2008	1,433		1,476		535
Call - CBOT U.S. Treasury 30-Year Bond September Futures		117.000	08/22/2008	2,298		1,951		2,516
Call - CBOT U.S. Treasury 30-Year Bond September Futures		119.000	08/22/2008	1,198		1,456		633
Call - CBOT U.S. Treasury 30-Year Bond September Futures		120.000	08/22/2008	1,260		1,436		453
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	2,525		1,905		808
Put - CBOT U.S. Treasury 10-Year Note September Futures		112.000	08/22/2008	1,251		1,365		660
Put - CBOT U.S. Treasury 10-Year Note September Futures		113.000	08/22/2008	1,433		1,558		1,206
Put - CBOT U.S. Treasury 30-Year Bond September Futures		109.000	08/22/2008	563		298		70
					$	16,158	$	9,825

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	BCLY	3 -Month USD -LIBOR	Receive	5.250	%	09/15/2008	$	72,000	$	1,917	$	3,296
Put - OTC 10-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		72,000		1,917		309
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009		74,000		1,950		1,118
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		4,900		123		68
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		4,000		131		78
Call - OTC 30-Year Interest Rate Swap	BOA	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		27,300		1,317		2,938
Put - OTC 30-Year Interest Rate Swap	BOA	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		27,300		996		16
Call - OTC 30-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		34,300		1,434		3,691
Put - OTC 30-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		34,300		1,447		20
Call - OTC 10-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		132,900		3,336		6,085
Put - OTC 10-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		132,900		3,216		570
Call - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		66,000		2,122		3,150
Put - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		66,000		2,122		1,877
Call - OTC 30-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		58,800		2,062		6,328
Put - OTC 30-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		58,800		2,889		34
Call - OTC 10-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		112,900		3,342		5,169
Put - OTC 10-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		112,900		2,269		484
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		5,200		172		102
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		4,000		135		78
Call - OTC 10-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008		94,400		2,369		4,322
Put - OTC 10-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		94,400		2,284		405
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		18,500		603		362
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		9,800		300		225
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		194,000		5,568		9,258
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		194,000		6,882		5,517
									$	50,903	$	55,500

Foreign Currency Options

Description	Exercise Price	Expiration Date	Notional Amount		Premium		Value
Put - OTC U.S. dollar versus Japanese yen	JPY  100.000	12/01/2008	$	32,000	$	530	$	901

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

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Merna Reinsurance Ltd.	3.451	%	07/07/2010	09/21/2007	$	28,189	$	26,574	0.17	%

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value (3)
Fannie Mae	5.000	%	07/01/2038	$	130,000	$	124,302	$	124,617
Fannie Mae	5.500	%	07/01/2023		4,800		4,804		4,832
Fannie Mae	5.500	%	07/01/2038		1,517,800		1,505,906		1,496,219
Fannie Mae	6.000	%	07/01/2038		307,800		308,204		310,541
Fannie Mae	6.500	%	07/01/2038		8,000		8,224		8,236
Freddie Mac	4.500	%	07/01/2023		5,000		4,812		4,831
Freddie Mac	5.000	%	07/01/2023		226,000		222,681		223,210
Freddie Mac	5.000	%	07/01/2038		200		192		192
Freddie Mac	5.500	%	07/01/2038		11,000		10,865		10,837
Freddie Mac	6.000	%	07/01/2038		92,500		93,237		93,440
Ginnie Mae	5.500	%	07/01/2038		6,000		5,920		5,971
Treasury Inflation Protected Securities	1.750	%	01/15/2028		128,608		119,295		123,437
U.S. Treasury Bonds	4.375	%	02/15/2038		642,200		603,495		638,812
U.S. Treasury Bonds	4.750	%	02/15/2037		107,800		108,091		113,905
U.S. Treasury Bonds	5.000	%	05/15/2037		325,600		337,276		353,628
U.S. Treasury Bonds	5.375	%	02/15/2031		700		751		794
U.S. Treasury Notes	2.000	%	02/28/2010		150,000		148,946		150,060
U.S. Treasury Notes	2.125	%	04/30/2010		359,700		354,079		358,883
U.S. Treasury Notes	2.500	%	03/31/2013		180,000		171,271		175,157
U.S. Treasury Notes	3.125	%	09/15/2008		177,200		177,605		179,487
U.S. Treasury Notes	3.125	%	04/30/2013		47,700		46,480		47,666
U.S. Treasury Notes	3.250	%	12/31/2009		93,300		93,922		94,664
U.S. Treasury Notes	3.500	%	05/31/2013		11,750		11,816		11,911
U.S. Treasury Notes	3.500	%	02/15/2018		306,200		293,847		299,466
U.S. Treasury Notes	3.625	%	12/31/2012		30,710		31,302		31,240
U.S. Treasury Notes	3.625	%	05/15/2013		21,700		21,975		22,161
U.S. Treasury Notes	3.875	%	10/31/2012		5,000		5,084		5,171
U.S. Treasury Notes	3.875	%	05/15/2018		93,300		90,521		93,280
U.S. Treasury Notes	4.000	%	02/15/2015		44,400		45,008		46,431
U.S. Treasury Notes	4.125	%	08/31/2012		123,600		126,457		130,061
U.S. Treasury Notes	4.125	%	05/15/2015		8,750		8,941		9,113
U.S. Treasury Notes	4.250	%	08/15/2014		97,800		100,772		104,109
U.S. Treasury Notes	4.250	%	11/15/2017		106,910		107,835		110,036
U.S. Treasury Notes	4.500	%	02/15/2016		108,600		112,616		116,490
U.S. Treasury Notes	4.750	%	05/15/2014		201,500		211,473		217,911
U.S. Treasury Notes	4.750	%	08/15/2017		110,300		115,114		119,285
U.S. Treasury Notes	4.875	%	05/31/2011		76,100		79,477		80,815
U.S. Treasury Notes	4.875	%	08/15/2016		123,550		130,733		135,105
U.S. Treasury Notes	5.125	%	05/15/2016		71,300		77,812		78,416
United Kingdom Gilt Inflation Linked Bond	2.000	%	01/26/2035		400		1,309		1,289
						$	6,022,450	$	6,131,709

⁽³⁾ Market value includes $43,855 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	1,035	07/2008	$	0	$	(7)	$	(7)
Buy	BRL	330,774	07/2008		27,746		0		27,746
Sell		330,774	07/2008		0		(12,577)		(12,577)
Buy		317,677	12/2008		15,820		0		15,820
Sell		143,523	12/2008		0		(6,737)		(6,737)
Sell	CAD	25,618	08/2008		207		0		207
Sell	CHF	10,851	09/2008		0		(198)		(198)
Buy	EUR	1,520	07/2008		0		(1)		(1)
Sell		140,029	07/2008		0		(2,256)		(2,256)
Sell	GBP	178,898	08/2008		0		(1,967)		(1,967)
Buy	JPY	15,528,506	07/2008		2,228		0		2,228
Sell		42,275,230	07/2008		0		(6,604)		(6,604)
Buy	KRW	6,423,533	08/2008		0		(636)		(636)
Sell		6,423,533	08/2008		46		(5)		41
Buy	MXN	2,483,735	07/2008		17,427		0		17,427
Sell		2,483,735	07/2008		0		(13,363)		(13,363)
Buy		188,254	11/2008		183		0		183
Sell		231,576	11/2008		0		(56)		(56)
Buy	MYR	313	08/2008		0		(1)		(1)
Buy		36,868	11/2008		0		(193)		(193)
Buy		45,351	02/2009		0		(287)		(287)
Sell	NZD	8,951	07/2008		0		(42)		(42)
Buy	PHP	670,219	08/2008		0		(1,585)		(1,585)
Buy	PLN	130,932	07/2008		14,264		0		14,264
Sell		130,932	07/2008		0		(1,197)		(1,197)
Buy		130,932	05/2009		1,186		0		1,186
Buy	RUB	17,945	07/2008		55		0		55
Sell		17,945	07/2008		0		(11)		(11)
Buy		2,071,529	11/2008		3,897		0		3,897
Sell		748,678	11/2008		0		(1,940)		(1,940)
Buy		17,945	05/2009		17		0		17
Sell	SEK	66,896	09/2008		0		(50)		(50)
Buy	SGD	69,446	11/2008		510		0		510
				$	83,586	$	(49,713)	$	33,873

(n) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	9,309	$	29,538,362	$	3,967	$	29,551,638
Other Financial Instruments++		(4,561)		(6,210,669)		(51,188)		(6,266,418)
Total	$	4,748	$	23,327,693	$	(47,221)	$	23,285,220

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

	Beginning balance at 03/31/2008		Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/ (losses)		Net transfers in/ (out) of Level 3		Ending balance at 06/30/2008
Investments, at value	$	6,330	$	3,899	$	0	$	(105)	$	(6,157)	$	3,967
Other Financial Instruments++		(10,099)		0		0		(41,632)		543		(51,188)
Total	$	(3,769)	$	3,899	$	0	$	(41,737)	$	(5,614)	$	(47,221)

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

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

See Accompanying Notes

Schedule of Investments

RealEstateRealReturn Strategy Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 15.6%
Banking & Finance 14.5%
Allstate Life Global Funding II
3.328% due 05/21/2010	$	5,000	$	4,971
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		1,900		1,895
American Express Bank FSB
5.500% due 04/16/2013		600		588
6.000% due 09/13/2017		300		290
American Express Centurion Bank
6.000% due 09/13/2017		300		290
American Express Co.
7.000% due 03/19/2018		670		680
8.150% due 03/19/2038		190		212
American Honda Finance Corp.
3.552% due 06/20/2011		7,600		7,596
American International Group, Inc.
5.850% due 01/16/2018		200		188
8.175% due 05/15/2058		1,100		1,039
Atlantic & Western Re Ltd.
9.041% due 01/09/2009		700		698
Bank of America Corp.
5.650% due 05/01/2018		4,800		4,496
8.125% due 12/29/2049		4,800		4,543
Bank of America N.A.
3.316% due 05/12/2010		300		299
Barclays Bank PLC
5.450% due 09/12/2012		800		810
6.050% due 12/04/2017		300		295
7.434% due 09/29/2049		100		94
7.700% due 04/29/2049		1,600		1,636
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		300		312
C10 Capital SPV Ltd.
6.722% due 12/31/2049		100		92
Capital One Financial Corp.
6.750% due 09/15/2017		300		298
Caterpillar Financial Services Corp.
3.559% due 06/24/2011		7,200		7,196
Chubb Corp.
6.500% due 05/15/2038		2,500		2,400
Citigroup Funding, Inc.
2.481% due 04/23/2009		900		888
3.820% due 05/07/2010		400		397
Citigroup, Inc.
2.831% due 12/28/2009		800		781
2.939% due 01/30/2009		500		496
6.125% due 05/15/2018		5,800		5,569
8.400% due 04/29/2049		2,100		1,999
Credit Suisse New York, Inc.
5.000% due 05/15/2013		6,500		6,335
GATX Financial Corp.
5.800% due 03/01/2016		1,000		968
General Electric Capital Corp.
2.826% due 12/12/2008		500		499
5.875% due 01/14/2038		5,000		4,552
Goldman Sachs Group, Inc.
6.150% due 04/01/2018		900		876
6.750% due 10/01/2037		1,000		919
HBOS PLC
6.750% due 05/21/2018		1,000		959
HSBC Bank USA N.A.
7.000% due 01/15/2039		5,300		5,208
Lehman Brothers Holdings, Inc.
6.200% due 09/26/2014		100		96
6.875% due 05/02/2018		900		874
7.500% due 05/11/2038		5,000		4,656
Merna Reinsurance Ltd.
3.451% due 07/07/2010 (j)		300		281
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		3,600		3,437
Metropolitan Life Global Funding I
3.554% due 06/25/2010		7,100		7,097
5.125% due 04/10/2013		500		493
Morgan Stanley
4.778% due 05/14/2010		8,200		8,173
6.625% due 04/01/2018		1,500		1,426
National Rural Utilities Cooperative Finance Corp.
3.566% due 07/01/2010		1,000		1,000
New York Life Global Funding
4.650% due 05/09/2013		1,400		1,391
Pacific Life Global Funding
5.150% due 04/15/2013		400		396
Rabobank Nederland NV
2.733% due 01/15/2009		400		400
3.119% due 05/19/2010		4,100		4,095
Residential Reinsurance 2007 Ltd.
9.932% due 06/07/2010		400		401
Rockies Express Pipeline LLC
5.100% due 08/20/2009		600		601
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		300		291
Simon Property Group LP
6.125% due 05/30/2018		1,400		1,366
UBS AG
5.750% due 04/25/2018		2,500		2,393
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		400		400
Vita Capital III Ltd.
3.911% due 01/01/2012		300		288
Wachovia Bank N.A.
2.752% due 12/02/2010		800		761
Wachovia Corp.
5.500% due 05/01/2013		3,600		3,451
Wells Fargo & Co.
4.375% due 01/31/2013		200		194
Wells Fargo Capital XIII
7.700% due 12/29/2049		700		697
				116,022
Industrials 1.0%
Canadian Natural Resources Ltd.
6.000% due 08/15/2016		100		100
Computer Sciences Corp.
6.500% due 03/15/2018		2,500		2,520
EchoStar DBS Corp.
7.000% due 10/01/2013		600		574
Gaz Capital S.A.
7.343% due 04/11/2013		200		206
8.146% due 04/11/2018		300		312
Oracle Corp.
5.750% due 04/15/2018		900		902
Suncor Energy, Inc.
6.850% due 06/01/2039		2,800		2,873
UnitedHealth Group, Inc.
6.875% due 02/15/2038		500		475
				7,962
Utilities 0.1%
Constellation Energy Group, Inc.
4.550% due 06/15/2015		100		89
Embarq Corp.
7.082% due 06/01/2016		100		95
NGPL Pipe Co. LLC
6.514% due 12/15/2012		500		509
Public Service Electric & Gas Co.
5.300% due 05/01/2018		400		396
				1,089
Total Corporate Bonds & Notes (Cost $127,523)				125,073
MUNICIPAL BONDS & NOTES 0.2%
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		200		195
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		100		83
Rhode Island State Tobacco Settlement Financing Corporations Revenue Bonds, Series 2002
6.000% due 06/01/2023		485		467
6.125% due 06/01/2032		400		374
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		100		89
Total Municipal Bonds & Notes (Cost $1,173)				1,208
U.S. GOVERNMENT AGENCIES 27.1%
Fannie Mae
4.994% due 09/01/2044 - 10/01/2044		154		154
5.000% due 08/01/2035 - 02/01/2037		2,477		2,381
5.500% due 03/01/2034 - 05/01/2038		118,529		117,022
6.000% due 08/01/2036 - 05/01/2038		38,450		38,845
Freddie Mac
4.500% due 05/15/2017		54		54
5.000% due 09/01/2035		171		165
5.500% due 12/01/2036 - 02/01/2038		44,238		43,630
6.000% due 09/01/2037 - 07/01/2038		11,981		12,103
6.692% due 10/01/2036		1,257		1,270
6.709% due 09/01/2036		1,147		1,173
6.732% due 07/01/2036		1,042		1,065
Total U.S. Government Agencies (Cost $219,773)				217,862
U.S. TREASURY OBLIGATIONS 104.2%
Treasury Inflation Protected Securities (c)
0.625% due 04/15/2013		24,538		24,469
0.875% due 04/15/2010		5,133		5,225
1.625% due 01/15/2015		2,604		2,691
1.625% due 01/15/2018		50,133		50,979
1.750% due 01/15/2028		53,449		50,802
1.875% due 07/15/2013		70,598		74,669
1.875% due 07/15/2015		29,243		30,644
2.000% due 04/15/2012		1,916		2,023
2.000% due 01/15/2014		35,454		37,667
2.000% due 07/15/2014		43,348		46,068
2.000% due 01/15/2016		5,411		5,703
2.000% due 01/15/2026		28,971		28,701
2.375% due 04/15/2011		42,959		45,540
2.375% due 01/15/2017		107		116
2.375% due 01/15/2025		43,692		45,798
2.375% due 01/15/2027		21,116		22,115
2.500% due 07/15/2016		21,086		23,057
2.625% due 07/15/2017		64,352		71,099
3.000% due 07/15/2012		80,461		88,400
3.375% due 04/15/2032		9,075		11,397
3.500% due 01/15/2011		5,091		5,545
3.625% due 04/15/2028		89,679		111,763
3.875% due 04/15/2029		35,372		45,897
4.250% due 01/15/2010		5,138		5,512
Total U.S. Treasury Obligations (Cost $822,896)				835,880
MORTGAGE-BACK0ED SECURITIES 0.9%
American Home Mortgage Assets Trust
4.448% due 11/25/2046		1,424		1,052
BCAP LLC Trust
2.652% due 01/25/2037		634		406
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		389		372
4.550% due 08/25/2035		218		209
4.863% due 01/25/2035		840		814
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		147		138
4.748% due 08/25/2035		93		89
4.900% due 12/25/2035		56		53
Countrywide Home Loan Mortgage Pass-Through Trust
2.822% due 06/25/2035		481		424
GSR Mortgage Loan Trust
4.539% due 09/25/2035		1,174		1,139
Lehman XS Trust
2.562% due 07/25/2046		53		51
MLCC Mortgage Investors, Inc.
4.430% due 10/25/2035		497		471
Residential Accredit Loans, Inc.
2.662% due 06/25/2046		696		499
Residential Asset Securitization Trust
2.882% due 01/25/2046		969		685
Structured Adjustable Rate Mortgage Loan Trust
6.000% due 03/25/2036		1,341		993
Total Mortgage-Backed Securities (Cost $7,592)				7,395
ASSET-BACKED SECURITIES 3.1%
BA Credit Card Trust
2.481% due 02/15/2013		4,600		4,539
3.671% due 12/16/2013		5,800		5,890
Chase Issuance Trust
2.921% due 01/15/2012		8,400		8,397
3.227% due 08/17/2015		6,200		6,138
Total Asset-Backed Securities (Cost $24,949)				24,964
FOREIGN CURRENCY-DENOMINATED ISSUES 1.4%
Canadian Government Bond
3.000% due 12/01/2036 (c)	CAD	219		291
France Government Bond
3.000% due 07/25/2012 (c)	EUR	1,907		3,124
General Electric Capital Corp.
6.500% due 09/15/2067	GBP	300		555
Italy Buoni Poliennali Del Tesoro
2.150% due 09/15/2014 (c)	EUR	564		878
Japanese Government CPI Linked Bond
0.800% due 12/10/2015	JPY	151,350		1,413
1.100% due 12/10/2016		110,440		1,044
1.200% due 06/10/2017		273,240		2,589
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049	EUR	100		136
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	200		1,081
Total Foreign Currency-Denominated Issues (Cost $10,074)				11,111
	Shares
CONVERTIBLE PREFERRED STOCKS 0.0%
Wachovia Corp.
7.500% due 12/31/2049		300		265
Total Convertible Preferred Stocks (Cost $300)				265
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 53.6%
Certificates of Deposit 4.3%
Abbey National Treasury Services PLC
2.409% due 07/02/2008	$	1,700		1,700
Sao Paolo IMI NY
3.312% due 06/09/2010		7,000		6,954
UBS AG Stamford Ct
3.751% due 07/01/2010 (a)		13,400		13,400
Unicredito Italiano NY
3.071% due 05/15/2009		6,700		6,700
3.071% due 05/18/2009		5,500		5,500
				34,254
Commercial Paper 37.2%
ABN AMRO N.A. Finance
2.500% due 07/11/2008		27,300		27,281
Barclays U.S. Funding Corp.
2.680% due 09/02/2008		17,900		17,814
BNP Paribas Finance, Inc.
2.510% due 07/31/2008		26,000		25,946
Caisse d’Amortissement de la Dette Sociale
2.430% due 07/07/2008		16,100		16,094
Citibank N.A.
3.570% due 10/23/2008		700		693
3.580% due 10/23/2008		11,400		11,294
Danske Corp.
2.750% due 09/22/2008		7,000		6,954
Federal Home Loan Bank
2.000% due 07/01/2008		2,000		2,000
ING Funding LLC
2.500% due 08/14/2008		27,900		27,815
Intesa Funding LLC
2.750% due 09/09/2008		11,000		10,940
Nordea N.A., Inc.
2.350% due 07/07/2008		27,900		27,889
Royal Bank of Scotland Group PLC
2.630% due 09/08/2008		27,900		27,752
2.660% due 07/08/2008		24,400		24,387
Societe General N.A.
2.880% due 09/12/2008		27,100		26,946
UBS Finance Delaware LLC
2.930% due 10/27/2008		18,200		18,024
Westpac Banking Corp.
2.500% due 08/06/2008		26,900		26,833
				298,662
Repurchase Agreements 0.2%
State Street Bank and Trust Co.
1.650% due 07/01/2008		1,562		1,562
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $1,595. Repurchase proceeds are $1,562.)
U.S. Treasury Bills 11.9%
1.751% due 08/28/2008 - 09/25/2008 (b)(d)(e)		95,750		95,262
Total Short-Term Instruments (Cost $429,888)				429,740
Purchased Options (h) 0.0% (Cost $125)				151
Total Investments 206.1% (Cost $1,644,293)			$	1,653,649
Written Options (i) (0.1%) (Premiums $944)				(786)
Other Assets and Liabilities (Net) (106.0%)				(850,386)
Net Assets 100.0%			$	802,477

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

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

(a) When-issued security.

(b) Coupon represents a weighted average rate.

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

(d) Securities with an aggregate market value of $92,776 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(e) Securities with an aggregate market value of $2,486 have been pledged as collateral for delayed-delivery securities on June 30, 2008.

(f) Cash of $ 6,282 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	30	$	(149)
90-Day Euribor June Futures	Long	06/2009	106		(584)
90-Day Euribor September Futures	Short	09/2008	12		44
90-Day Euribor September Futures	Long	09/2009	30		(163)
90-Day Eurodollar December Futures	Short	12/2008	42		(173)
90-Day Eurodollar December Futures	Long	12/2009	369		(246)
90-Day Eurodollar June Futures	Long	06/2009	366		9
90-Day Eurodollar March Futures	Long	03/2010	224		(200)
90-Day Eurodollar September Futures	Long	09/2009	357		(129)
Euro-Bobl September Futures	Short	09/2008	21		54
Euro-Bobl September Futures Call Options Strike @ EUR 117.500	Long	09/2008	21		0
Euro-Bund 10-Year Bond September Futures	Short	09/2008	96		247
Euro-Bund 10-Year Bond September Futures Call Options Strike @ EUR 126.000	Long	09/2008	96		0
Euro-Schatz September Futures	Short	09/2008	87		76
Euro-Schatz September Futures Call Options Strike @ EUR 108.500	Long	09/2008	87		0
Japan Government 10-Year Bond September Futures	Short	09/2008	2		(35)
U.S. Treasury 5-Year Note September Futures	Long	09/2008	90		55
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	28		(93)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	8		(21)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	6		(16)
				$	(1,324)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012	CITI	$	100	$	(1)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012	JPM		100		(1)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Buy	(1.780	%)	12/20/2012	GSC		100		(3)
Capital One Financial Corp. 6.250% due 11/15/2013	Buy	(1.150	%)	09/20/2012	JPM		300		33
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	0.970	%	06/20/2012	CSFB		100		(3)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.010	%	06/20/2012	CSFB		300		(10)
Chesapeake Energy Corp. 6.875% due 01/15/2016	Sell	1.380	%	09/20/2012	LEH		200		(4)
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(0.900	%)	06/20/2018	BNP		300		12
Citigroup, Inc. 6.125% due 05/15/2018	Buy	(0.850	%)	06/20/2018	UBS		400		17
Computer Sciences Corp. 6.500% due 03/15/2018	Buy	(1.248	%)	03/20/2018	MSC		2,500		(93)
Constellation Energy Group, Inc. 4.550% due 06/15/2015	Buy	(0.960	%)	06/20/2015	JPM		100		3
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.800	%	09/20/2012	MSC		100		(24)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012	JPM		100		(24)
GATX Financial Corp. 5.800% due 03/01/2016	Buy	(1.070	%)	03/20/2016	CITI		1,000		17
GMAC LLC 6.875% due 08/28/2012	Buy	(5.000	%)	09/20/2012	CITI		100		27
GMAC LLC 6.875% due 08/28/2012	Sell	3.050	%	09/20/2012	GSC		200		(63)
GMAC LLC 6.875% due 08/28/2012	Sell	6.300	%	09/20/2012	BOA		700		(173)
GMAC LLC 6.875% due 08/28/2012	Sell	7.000	%	09/20/2012	BOA		100		(23)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.740	%	09/20/2012	CSFB		100		(2)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.800	%	09/20/2012	BEAR		100		(2)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(0.390	%)	12/20/2012	BNP		100		4
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.660	%	09/20/2012	RBS		100		(8)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.700	%	09/20/2012	JPM		100		(8)
RH Donnelley Corp. 8.875% due 01/15/2016	Sell	3.400	%	09/20/2012	CITI		200		(61)
Simon Property Group LP 6.125% due 05/30/2018	Buy	(0.947	%)	06/20/2018	DUB		1,400		29
								$	(361)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	1,630	$	110
Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	BEAR		1,485		71
Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	BOA		495		32
Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	DUB		396		17
Dow Jones CDX N.A. HY8 Index	Buy	(2.750	%)	06/20/2012	LEH		495		22
Dow Jones CDX N.A. HY9 Index	Buy	(3.750	%)	12/20/2012	BEAR		198		14
Dow Jones CDX N.A. HY9 Index	Sell	3.330	%	12/20/2012	LEH		800		(56)
Dow Jones CDX N.A. HY9 Index	Sell	6.450	%	12/20/2012	JPM		300		15
Dow Jones CDX N.A. HY9 Index	Sell	6.510	%	12/20/2012	MLP		100		5
Dow Jones CDX N.A. HY9 Index	Sell	6.570	%	12/20/2012	MSC		400		22
Dow Jones CDX N.A. HY9 Index	Sell	6.690	%	12/20/2012	MLP		200		12
Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012	BCLY		41,000		668
Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012	GSC		12,900		168
Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012	MLP		500		19
Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012	RBS		5,700		101
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	BCLY		900		21
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	BOA		600		21
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	MSC		5,900		115
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		34,000		(76)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		9,600		37
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	BCLY		1,600		42
Dow Jones CDX N.A. IG10 Index	Buy	(1.500	%)	06/20/2018	GSC		2,700		41
								$	1,421

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.500%	03/15/2010	UBS	AUD	35,100	$	(105)
Pay	3-Month USD-LIBOR	4.000%	12/17/2009	DUB	$	3,400		(10)
Pay	3-Month USD-LIBOR	4.000%	12/17/2009	MSC		7,600		(18)
Receive	3-Month USD-LIBOR	5.000%	06/21/2013	BCLY		4,300		(183)
Receive	3-Month USD-LIBOR	5.000%	06/21/2013	MSC		9,500		(350)
Pay	3-Month USD-LIBOR	4.000%	12/17/2013	MSC		8,000		(9)
Pay	3-Month USD-LIBOR	4.000%	12/17/2013	RBS		10,300		17
Receive	3-Month USD-LIBOR	5.000%	12/17/2018	MSC		15,100		253
Receive	3-Month USD-LIBOR	5.000%	12/17/2023	LEH		2,700		(18)
Receive	3-Month USD-LIBOR	5.000%	12/17/2023	MLP		13,900		(42)
Receive	3-Month USD-LIBOR	5.000%	12/17/2023	RBS		1,200		7
Receive	3-Month USD-LIBOR	5.000%	12/17/2038	CITI		17,200		(179)
Receive	3-Month USD-LIBOR	5.000%	12/17/2038	MLP		100		(4)
Receive	3-Month USD-LIBOR	5.000%	12/17/2038	RBS		14,300		(323)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090%	10/15/2010	BNP	EUR	5,600		(124)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103%	10/15/2010	BCLY		1,400		(26)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146%	10/15/2010	UBS		1,500		(29)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948%	03/15/2012	BCLY		100		(6)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948%	03/15/2012	JPM		300		(18)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955%	03/28/2012	RBS		400		(19)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958%	04/10/2012	JPM		800		(49)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.138%	01/19/2016	BCLY		2,000		(102)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.350%	10/15/2016	UBS		500		(6)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.353%	10/15/2016	JPM		500		(5)
Pay	6-Month Australian Bank Bill	7.000%	12/15/2009	BCLY	AUD	1,600		(15)
Pay	6-Month Australian Bank Bill	7.000%	12/15/2009	MSC		2,400		(23)
Pay	6-Month Australian Bank Bill	6.500%	01/15/2010	CITI		900		(21)
Pay	6-Month Australian Bank Bill	6.500%	01/15/2010	RBC		1,900		(43)
Pay	6-Month Australian Bank Bill	7.000%	06/15/2010	DUB		8,300		(145)
Receive	6-Month Australian Bank Bill	6.750%	12/15/2017	BCLY		200		9
Receive	6-Month Australian Bank Bill	6.750%	12/15/2017	MSC		300		13
Receive	6-Month Australian Bank Bill	7.000%	03/15/2019	UBS		1,900		38
Receive	6-Month EUR-LIBOR	4.000%	06/15/2017	MSC	EUR	4,100		499
Pay	6-Month EUR-LIBOR	4.500%	06/18/2034	MSC		1,000		1
Pay	6-Month EUR-LIBOR	5.000%	06/18/2034	JPM		161		2
Pay	6-Month GBP-LIBOR	5.000%	12/19/2009	BCLY	GBP	11,400		(236)
Pay	6-Month GBP-LIBOR	5.000%	09/15/2010	RBS		1,600		(35)
Pay	6-Month GBP-LIBOR	5.000%	03/20/2013	DUB		700		(70)
Pay	6-Month GBP-LIBOR	5.000%	09/17/2013	RBS		3,400		(338)
Receive	6-Month GBP-LIBOR	5.000%	03/20/2018	BCLY		300		8
Receive	6-Month GBP-LIBOR	4.000%	12/15/2035	GSC		900		37
Receive	6-Month GBP-LIBOR	4.250%	06/12/2036	HSBC		1,100		178
Pay	6-Month JPY-LIBOR	1.000%	03/18/2009	MSC	JPY	500,000		5
Receive	6-Month JPY-LIBOR	2.000%	12/17/2017	BCLY		30,000		(3)
Receive	6-Month JPY-LIBOR	2.000%	12/17/2017	DUB		100,000		(11)
Receive	6-Month JPY-LIBOR	2.000%	12/17/2017	RBS		110,000		(12)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170%	11/04/2016	CITI	MXN	7,300		(68)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170%	11/04/2016	GSC		2,300		(20)
Pay	28-Day Mexico Interbank TIIE Banxico	8.170%	11/04/2016	MLP		1,200		(10)
Pay	28-Day Mexico Interbank TIIE Banxico	8.330%	02/14/2017	BCLY		2,000		(16)
Pay	BRL-CDI-Compounded	12.410%	01/04/2010	UBS	BRL	2,000		(35)
Pay	BRL-CDI-Compounded	10.115%	01/02/2012	MSC		1,700		(97)
Pay	BRL-CDI-Compounded	10.575%	01/02/2012	UBS		3,200		(196)
Pay	BRL-CDI-Compounded	10.680%	01/02/2012	BCLY		1,900		(97)
Pay	BRL-CDI-Compounded	12.540%	01/02/2012	LEH		2,300		(70)
Pay	BRL-CDI-Compounded	12.540%	01/02/2012	MLP		5,100		(129)
Pay	BRL-CDI-Compounded	12.540%	01/02/2012	MSC		1,500		(40)
Receive	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	2.275%	10/15/2016	UBS	EUR	500		(6)
Pay	U.S. CPI Urban Consumers NSA Index	2.970%	03/05/2018	GSC	$	1,000		(5)
Pay	United Kingdom RPI Index	3.250%	12/14/2017	BCLY	GBP	800		(80)
Pay	United Kingdom RPI Index	3.183%	12/19/2017	RBS		1,000		(108)
Pay	United Kingdom RPI Index	3.110%	01/03/2018	GSC		500		(59)
Pay	United Kingdom RPI Index	3.440%	09/10/2027	RBS		100		(17)
							$	(2,563)

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)	Expiration Date	Counterparty	# of Shares/Units	Unrealized Appreciation/ (Depreciation)
Receive	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR less 0.200%	11/30/2008	BCLY	12,107	$	(7,284	)
Receive	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR less 0.350%	11/30/2008	BCLY	10,191		(6,125	)
Receive	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR plus 0.300%	02/27/2009	BEAR	9,434		(5,699	)
Pay	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR	01/31/2009	CSFB	3,547		2,136
Receive	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR	01/31/2009	CSFB	43,009		(25,910	)
Receive	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR less 0.400%	02/27/2009	MLP	21,536		(12,939	)
Receive	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR	03/31/2009	MLP	17,113		(6,378	)
Receive	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR less 0.050%	03/31/2009	MLP	19,386		(10,565	)
Receive	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR less 0.150%	03/31/2009	MLP	19,548		(10,159	)
Receive	Dow Jones - Wilshire REIT Total Return	1-Month USD-LIBOR less 0.250%	03/31/2009	MLP	19,730		(11,866	)
						$	(94,789	)

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	110.500	08/22/2008	175	$	6	$	3
Put - CBOT U.S. Treasury 30-Year Bond September Futures		140.000	08/22/2008	306		6		5
					$	12	$	8

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.392	07/08/2010	EUR	700	$	37	$	115
Put - OTC Euro versus U.S. dollar		1.392	07/08/2010		700		37		26
Call - OTC U.S. dollar versus Japanese yen	JPY	111.000	12/01/2008	$	1,000		18		1
						$	92	$	142

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 6.000% due 07/01/2038	$	92.250	07/07/2008	$	19,500	$	2	$	0
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/15/2013		97.500	07/11/2008		18,000		1		0
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/15/2013		98.000	07/28/2008		45,000		3		0
Put - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017		99.500	07/28/2008		60,000		5		1
Put - OTC Treasury Inflation Protected Securities 3.000% due 07/15/2012		102.500	07/11/2008		45,000		4		0
Put - OTC Treasury Inflation Protected Securities 3.625% due 04/15/2028		106.500	07/11/2008		77,000		6		0
						$	21	$	1

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	116.000	08/22/2008	206	$	195	$	122
Call - CBOT U.S. Treasury 10-Year Note September Futures		117.000	08/22/2008	15		15		5
Call - CBOT U.S. Treasury 30-Year Bond September Futures		117.000	08/22/2008	82		76		90
Call - CBOT U.S. Treasury 30-Year Bond September Futures		119.000	08/22/2008	52		63		27
Call - CBOT U.S. Treasury 30-Year Bond September Futures		120.000	08/22/2008	51		58		18
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	102		77		33
Put - CBOT U.S. Treasury 10-Year Note September Futures		112.000	08/22/2008	52		57		27
Put - CBOT U.S. Treasury 10-Year Note September Futures		113.000	08/22/2008	15		16		13
Put - CBOT U.S. Treasury 30-Year Bond September Futures		109.000	08/22/2008	29		15		4
					$	572	$	339

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.250	%	09/15/2008	$	1,000	$	27	$	46
Put - OTC 10-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.250	%	09/15/2008		1,000		27		4
Call - OTC 30-Year Interest Rate Swap	BOA	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		300		14		32
Put - OTC 30-Year Interest Rate Swap	BOA	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		300		11		0
Call - OTC 30-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		400		17		43
Put - OTC 30-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		400		17		0
Call - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		1,000		32		48
Put - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		1,000		32		28
Call - OTC 30-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	5.670	%	08/07/2008		600		21		65
Put - OTC 30-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.670	%	08/07/2008		600		30		0
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.365	%	09/20/2010		2,000		58		96
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		2,000		69		57
									$	355	$	419

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Put - OTC U.S. dollar versus Japanese yen	JPY	100.000	12/01/2008	$	1,000	$	17	$	28

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

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Merna Reinsurance Ltd.	3.451	%	07/07/2010	09/21/2007	$	298	$	281	0.04	%

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(4)
Fannie Mae	5.000	%	07/01/2038	$	1,700	$	1,626	$	1,629
Fannie Mae	5.500	%	07/01/2038		76,000		74,762		74,919
Fannie Mae	6.000	%	07/01/2038		17,500		17,582		17,656
Freddie Mac	5.000	%	07/01/2038		400		385		383
Freddie Mac	5.500	%	07/01/2038		42,000		41,483		41,377
Treasury Inflation Protected Securities	2.000	%	04/15/2012		1		1		1
U.S. Treasury Bonds	4.375	%	02/15/2038		7,400		7,012		7,361
U.S. Treasury Bonds	4.750	%	02/15/2037		600		602		634
U.S. Treasury Bonds	5.000	%	05/15/2037		4,000		4,190		4,345
U.S. Treasury Notes	2.125	%	04/30/2010		15,200		14,962		15,165
U.S. Treasury Notes	2.500	%	03/31/2013		6,400		6,078		6,228
U.S. Treasury Notes	3.125	%	04/30/2013		5,900		5,749		5,896
U.S. Treasury Notes	3.500	%	02/15/2018		29,060		27,859		28,422
U.S. Treasury Notes	3.875	%	05/15/2018		1,300		1,259		1,300
U.S. Treasury Notes	4.125	%	08/31/2012		800		818		842
U.S. Treasury Notes	4.250	%	11/15/2013		8,200		8,576		8,620
U.S. Treasury Notes	4.250	%	08/15/2014		5,300		5,461		5,642
U.S. Treasury Notes	4.750	%	08/15/2017		1,200		1,252		1,298
U.S. Treasury Notes	5.125	%	05/15/2016		5,100		5,566		5,609
						$	225,223	$	227,327

⁽⁴⁾ Market value includes $975 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	10,302	07/2008	$	971	$	0	$	971
Sell		10,302	07/2008		0		(213)		(213)
Buy		8,556	12/2008		114		0		114
Sell		540	12/2008		0		(28)		(28)
Sell	EUR	3,011	07/2008		0		(48)		(48)
Sell	GBP	2,894	08/2008		0		(32)		(32)
Buy	JPY	236,300	07/2008		34		0		34
Sell		654,783	07/2008		0		(102)		(102)
Buy	KRW	121,851	08/2008		0		(12)		(12)
Sell		121,851	08/2008		1		0		1
Buy	MXN	32,673	07/2008		239		0		239
Sell		32,673	07/2008		0		(161)		(161)
Buy		5,104	11/2008		4		0		4
Buy	MYR	359	08/2008		0		(1)		(1)
Buy		717	11/2008		0		(4)		(4)
Buy		882	02/2009		0		(5)		(5)
Buy	PHP	16,477	08/2008		0		(39)		(39)
Buy	PLN	2,270	07/2008		238		0		238
Sell		2,270	07/2008		0		(33)		(33)
Buy		2,270	05/2009		31		0		31
Buy	RUB	27,910	11/2008		56		0		56
Sell		6,605	11/2008		0		(17)		(17)
Buy	SGD	4,661	11/2008		31		0		31
				$	1,719	$	(695)	$	1,024

(m) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	1,653,649	$	0	$	1,653,649
Other Financial Instruments++		(1,325)		(321,748)		(657)		(323,730)
Total	$	(1,325)	$	1,331,901	$	(657)	$	1,329,919

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	0	$	0	$	0	$	0	$	0	$	0
Other Financial Instruments++		(24)		0		0		(633)		0		(657)
Total	$	(24)	$	0	$	0	$	(633)	$	0	$	(657)

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

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

See Accompanying Notes

Schedule of Investments

RealRetirement^TM 2010 Fund

June 30, 2008 (Unaudited)

	Shares	Value (000s)
PIMCO FUNDS (a)(b) 99.9%
CommodityRealReturn Strategy Fund®	14,560	$	301
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)	52,346		519
Real Return Fund	51,294		576
RealEstateRealReturn Strategy Fund	79,849		453
Small Cap StocksPLUS® TR Fund	19,854		180
StocksPLUS® Fund	32,197		302
Total Return Fund	65,702		698
Total PIMCO Funds (Cost $3,089)			3,029
Total Investments 99.9%		$	3,029
(Cost $3,089)
Other Assets and Liabilities (Net) 0.1%			4
Net Assets 100.0%		$	3,033

Notes to Schedule of Investments:

(a) The RealRetirement^TM 2010 Fund is investing in shares of affiliated Funds.

(b) Institutional Class Shares of each PIMCO Fund.

(c) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	3,029	$	0	$	0	$	3,029
Other Financial Instruments++		0		0		0		0
Total	$	3,029	$	0	$	0	$	3,029

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

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

See Accompanying Notes

Schedule of Investments

RealRetirement^TM 2020 Fund

June 30, 2008 (Unaudited)

	Shares	Value (000s)
PIMCO FUNDS (a)(b) 98.9%
CommodityRealReturn Strategy Fund®	18,296	$	378
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)	61,259		607
Real Return Fund	39,577		444
RealEstateRealReturn Strategy Fund	83,617		474
Small Cap StocksPLUS® TR Fund	27,722		251
StocksPLUS® Fund	37,087		348
Total Return Fund	59,823		636
Total PIMCO Funds (Cost $3,195)			3,138
EXCHANGE-TRADED FUNDS 1.1%
iShares MSCI Emerging Markets Index Fund	258		35
Total Exchange-Traded Funds (Cost $35)			35
Total Investments 100.0%		$	3,173
(Cost $3,230)
Other Assets and Liabilities (Net) 0.0%			2
Net Assets 100.0%		$	3,175

Notes to Schedule of Investments:

(a) The RealRetirement^TM 2020 Fund is investing in shares of affiliated Funds.

(b) Institutional Class Shares of each PIMCO Fund.

(c) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	3,173	$	0	$	0	$	3,173
Other Financial Instruments++		0		0		0		0
Total	$	3,173	$	0	$	0	$	3,173

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

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

See Accompanying Notes

Schedule of Investments

RealRetirement^TM 2030 Fund

June 30, 2008 (Unaudited)

	Shares	Value (000s)
PIMCO FUNDS (a)(b) 95.8%
CommodityRealReturn Strategy Fund®	21,852	$	451
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)	61,632		611
Real Return Fund	13,508		152
RealEstateRealReturn Strategy Fund	79,904		453
Small Cap StocksPLUS® TR Fund	33,109		300
StocksPLUS® Fund	45,107		423
Total Return Fund	48,598		517
Total PIMCO Funds (Cost $2,949)			2,907
EXCHANGE-TRADED FUNDS 4.2%
iShares MSCI Emerging Markets Index Fund	939		127
Total Exchange-Traded Funds (Cost $127)			127
Total Investments 100.0%		$	3,034
(Cost $3,076)
Other Assets and Liabilities (Net) (0.0%)			0
Net Assets 100.0%		$	3,034

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

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

(a) The RealRetirement^TM 2030 Fund is investing in shares of affiliated Funds.

(b) Institutional Class Shares of each PIMCO Fund.

(c) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	3,034	$	0	$	0	$	3,034
Other Financial Instruments++		0		0		0		0
Total	$	3,034	$	0	$	0	$	3,034

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

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

See Accompanying Notes

Schedule of Investments

RealRetirement^TM 2040 Fund

June 30, 2008 (Unaudited)

	Shares	Value (000s)
PIMCO FUNDS (a)(b) 87.8%
CommodityRealReturn Strategy Fund®	20,317	$	420
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)	61,412		609
RealEstateRealReturn Strategy Fund	79,603		451
Small Cap StocksPLUS® TR Fund	46,171		418
StocksPLUS® Fund	57,778		542
Total Return Fund	19,938		212
Total PIMCO Funds (Cost $2,695)			2,652
ALLIANZ FUNDS (a)(c) 2.0%
Allianz NACM Emerging Markets Opportunities Fund	1,992		60
Total Allianz Funds (Cost $60)			60
EXCHANGE-TRADED FUNDS 9.8%
iShares MSCI Emerging Markets Index Fund	1,120		152
Vanguard Emerging Markets	3,114		146
Total Exchange-Traded Funds (Cost $297)			298
Total Investments 99.6%		$	3,010
(Cost $3,052)
Other Assets and Liabilities (Net) 0.4%			12
Net Assets 100.0%		$	3,022

Notes to Schedule of Investments:

(a) The RealRetirement^TM 2040 Fund is investing in shares of affiliated Funds.

(b) Institutional Class Shares of each PIMCO Fund.

(c) Institutional Class Shares of each Allianz Fund.

(d) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	3,010	$	0	$	0	$	3,010
Other Financial Instruments++		0		0		0		0
Total	$	3,010	$	0	$	0	$	3,010

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

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

See Accompanying Notes

Schedule of Investments

RealRetirement^TM 2050 Fund

June 30, 2008 (Unaudited)

	Shares	Value (000s)
PIMCO FUNDS (a)(c) 84.8%
CommodityRealReturn Strategy Fund®	5,696	$	118
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)	60,286		597
RealEstateRealReturn Strategy Fund	78,117		443
Small Cap StocksPLUS® TR Fund	48,535		439
StocksPLUS® Fund	91,354		858
Total Return Fund	5,591		60
Total PIMCO Funds (Cost $2,608)			2,515
ALLIANZ FUNDS (a)(b) 5.1%
Allianz NACM Emerging Markets Opportunities Fund	4,980		150
Total Allianz Funds (Cost $150)			150
EXCHANGE-TRADED FUNDS 9.9%
iShares MSCI Emerging Markets Index Fund	1,099		149
Vanguard Emerging Markets	3,120		146
Total Exchange-Traded Funds (Cost $295)			295
Total Investments 99.8%		$	2,960
(Cost $3,053)
Other Assets and Liabilities (Net) 0.2%			6
Net Assets 100.0%		$	2,966

Notes to Schedule of Investments:

(a) TheRealRetirement^TM 2050 Fund is investing in shares of affiliated Funds.

(b) Institutional Class Shares of each Allianz Fund.

(c) Institutional Class Shares of each PIMCO Fund.

(d) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	2,960	$	0	$	0	$	2,960
Other Financial Instruments++		0		0		0		0
Total	$	2,960	$	0	$	0	$	2,960

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

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

See Accompanying Notes

Schedule of Investments

Short Duration Municipal Income Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 3.9%
Bank of America Corp.
8.000% due 12/29/2049	$	2,900	$	2,724
Citigroup, Inc.
8.400% due 04/29/2049		1,400		1,333
General Electric Capital Corp.
6.375% due 11/15/2067		900		854
JPMorgan Chase & Co.
7.900% due 04/29/2049		1,400		1,316
Morgan Stanley
4.778% due 05/14/2010		2,900		2,890
Rabobank Capital Funding Trust
5.254% due 12/29/2049		900		775
Wachovia Corp.
7.980% due 12/31/2049		1,400		1,289
Total Corporate Bonds & Notes (Cost $11,749)				11,181
MUNICIPAL BONDS & NOTES 88.9%
Arizona 2.7%
Arizona State Greater Arizona Development Authority Infrastructure Revenue Notes, (MBIA Insured), Series 2005
5.000% due 08/01/2011		2,195		2,312
5.000% due 08/01/2012		2,305		2,442
Maricopa, Arizona Hospital Revenue Notes, Series 2005
5.000% due 04/01/2010		2,000		2,030
Nogales, Arizona Revenue Bonds, Series 2006
3.750% due 10/01/2046		1,000		1,008
				7,792
California 6.1%
Bakersfield, California Revenue Bonds, (FSA Insured), Series 2007
5.000% due 09/15/2019		1,175		1,256
California State Health Facilities Financing Authority Revenue Bonds, Series 2008
5.125% due 07/01/2022		3,200		3,203
5.625% due 07/01/2032		1,400		1,398
Culver, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2023		620		629
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2033		3,000		2,448
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2030		2,275		634
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2014		3,595		2,789
Southern California State Public Power Authority Revenue Bonds, Series 2007
5.250% due 11/01/2020		2,275		2,277
University of California Revenue Bonds, (FGIC Insured), Series 2007
5.000% due 05/15/2041		2,850		2,862
				17,496
District of Columbia 0.6%
District of Columbia Revenue Bonds, (AMBAC Insured), Series 1985
10.000% due 10/01/2015		1,700		1,700
Florida 0.9%
Collier, Florida Multi-Family Housing Finance Authority Revenue Notes, Series 2002
4.600% due 08/15/2011		590		604
Florida State Municipal Power Agency Revenue Bonds, (MBIA Insured), Series 1997
6.500% due 10/01/2019		1,300		1,300
Gulf Breeze, Florida Revenue Bonds, (MBIA Insured), Series 1997
9.174% due 12/01/2017		500		497
Hillsborough County, Florida Utility Revenue Bonds, Series 1978
6.200% due 12/01/2008		35		35
				2,436
Georgia 0.7%
Main Street Natural Gas, Inc., Georgia Revenue Notes, Series 2007
5.000% due 03/15/2009		900		904
5.000% due 03/15/2010		1,150		1,153
				2,057
Illinois 9.7%
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		1,277
Illinois State Finance Authority Revenue Bonds, (AMBAC Insured), Series 2002
7.750% due 09/01/2032		10,000		10,000
Illinois State Finance Authority Revenue Notes, Series 2004
5.250% due 11/15/2012		1,000		1,049
Illinois State Health Facilities Authority Revenue Bonds, Series 2002
1.550% due 08/15/2032		10,000		10,000
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		791
Kendall, Kane & Will Counties, Illinois High School Districts General Obligation Notes, (FSA Insured), Series 2003
0.000% due 10/01/2012		2,000		1,707
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		1,371
Melrose Park, Illinois General Obligation Bonds, (MBIA Insured), Series 2004
6.750% due 12/15/2016		100		120
Sangamon County, Illinois School District No. 186 Springfield General Obligation Notes, (FGIC Insured), Series 2004
0.000% due 10/01/2008		1,225		1,217
0.000% due 10/01/2010		15		14
				27,546
Indiana 0.4%
Indiana State Health Facility Financing Authority Revenue Bonds, Series 2005
5.000% due 11/01/2027		1,200		1,239
Kansas 0.1%
Wichita, Kansas Water & Sewer Utility Revenue Notes, (FGIC Insured), Series 2003
5.000% due 10/01/2010		355		371
Louisiana 1.8%
Louisiana State Jefferson Parish Finance Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2007
5.700% due 06/01/2039		5,000		5,121
Massachusetts 6.5%
Commonwealth of Massachusetts General Obligation Bonds, (FSA Insured), Series 2004
5.500% due 12/01/2017		1,600		1,798
Commonwealth of Massachusetts General Obligation Bonds, (FSA Insured), Series 2006
4.884% due 11/01/2019		3,000		2,912
4.894% due 11/01/2020		1,000		934
Commonwealth of Massachusetts General Obligation Bonds, (MBIA-IBC Insured), Series 1996
6.000% due 11/01/2011		1,500		1,633
Commonwealth of Massachusetts Revenue Bonds, (FGIC Insured), Series 2004
7.298% due 01/01/2016		3,200		3,333
Massachusetts State Bay Transportation Authority Revenue Bonds, Series 2004
6.428% due 07/01/2020		7,005		6,841
Massachusetts State Port Authority Revenue Bonds, (FSA Insured), Series 1998
5.500% due 07/01/2014		1,000		1,011
				18,462
Michigan 2.6%
Clintondale, Michigan Community Schools General Obligation Notes, (FGIC/Q-SBLF Insured), Series 2004
5.000% due 05/01/2011		960		1,004
Michigan State General Obligation Bonds, Series 1992
6.250% due 11/01/2012		2,750		2,918
Michigan State Hospital Finance Authority Revenue Bonds, (AMBAC Insured), Series 2000
8.000% due 12/01/2030		3,000		3,000
Michigan State Tobacco Settlement Finance Authority Revenue Bonds, Series 2007
5.125% due 06/01/2022		600		550
				7,472
Minnesota 2.0%
Minneapolis & St Paul, Minnesota Housing & Redevelopment Authority Revenue Bonds, (MBIA Insured), Series 2007
9.000% due 11/15/2034		5,600		5,600
Missouri 6.5%
Missouri State Environmental Improvement & Energy Resources Revenue Bonds, Series 2008
4.375% due 12/01/2034		1,500		1,518
Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 2004
2.050% due 02/15/2034		10,700		10,700
Springfield, Missouri Revenue Bonds, (FGIC Insured), Series 2006
4.750% due 08/01/2034		6,500		6,264
				18,482
Nevada 1.5%
Clark County, Nevada General Obligation Bonds, (AMBAC Insured), Series 2004
5.000% due 12/01/2015		3,910		4,182
New Hampshire 1.8%
New Hampshire State Health & Education Facilities Authority Revenue Bonds, Series 2005
1.500% due 07/01/2035		5,000		5,000
New Jersey 0.7%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.375% due 04/01/2018		500		571
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
6.125% due 06/01/2024		1,430		1,506
				2,077
New York 11.9%
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
4.811% due 09/01/2015		5,000		4,728
New York City, New York General Obligation Bonds, (FGIC Insured), Series 1998
5.250% due 08/01/2010		2,505		2,535
New York City, New York General Obligation Bonds, Series 2007
5.000% due 10/01/2019		8,400		8,811
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
4.727% due 03/01/2020		1,500		1,337
4.777% due 03/01/2022		8,000		7,294
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.500% due 11/01/2026		100		105
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		800		867
New York State Dormitory Authority Revenue Bonds, Series 2007
5.000% due 02/15/2037		1,500		1,493
New York State Dormitory Authority Revenue Bonds, Series 2008
1.400% due 07/01/2037		6,100		6,100
New York State Local Government Assistance Corp. Revenue Notes, (FSA Insured), Series 2003
5.000% due 04/01/2012		500		531
New York State Urban Development Corp. Revenue Bonds, Series 2002
5.500% due 01/01/2017		140		148
				33,949
North Carolina 3.6%
North Carolina State Medical Care Commission Revenue Bonds, (AMBAC Insured), Series 2006
8.000% due 12/01/2028		10,000		10,000
Ohio 5.4%
Ohio State Air Quality Development Authority Revenue Bonds, Series 1995
5.000% due 11/01/2015		1,000		1,019
Ohio State American Municipal Power, Inc. Revenue Notes, Series 2007
5.000% due 02/01/2013		2,800		2,811
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.750% due 06/01/2034		600		515
5.875% due 06/01/2030		1,200		1,071
Ohio State Revenue Bonds, Series 2008
2.050% due 12/01/2044		10,000		10,000
				15,416
Oklahoma 2.2%
Oklahoma City, Oklahoma General Obligation Bonds, Series 1999
5.000% due 07/01/2011		100		103
Oklahoma State Development Finance Authority Revenue Bonds, Series 1999
5.625% due 08/15/2029		5,900		6,150
				6,253
Oregon 0.4%
Oregon State Facilities Authority Revenue Notes, Series 2005
5.000% due 10/01/2011		795		823
5.000% due 10/01/2012		435		451
				1,274
Pennsylvania 0.2%
Philadelphia, Pennsylvania Hospitals & Higher Education Facilities Authority Revenue Notes, Series 2007
5.000% due 07/01/2012		550		555
Puerto Rico 0.1%
Puerto Rico Children’s Trust Fund Revenue Notes, Series 2000
5.750% due 07/01/2010		250		263
Tennessee 2.2%
Nashville & Davidson Counties, Tennessee Health & Educational Facilities Revenue Bonds, Series 1977
6.100% due 07/01/2010		210		216
Tennessee State Energy Acquisition Corp. Revenue Bonds, Series 2006
5.000% due 02/01/2023		1,625		1,513
Tennessee State Energy Acquisition Corp. Revenue Notes, Series 2006
5.000% due 09/01/2015		4,600		4,570
				6,299
Texas 9.8%
Birdville, Texas Independent School District General Obligations Bonds, (PSF-GTD Insured), Series 2007
0.000% due 02/15/2023		3,510		1,601
Ennis, Texas Independent School District 903 General Obligation Bonds, (PSF-GTD Insured), Series 2006
0.000% due 08/15/2032		4,055		975
Houston, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2005
0.000% due 02/15/2015		16,000		12,177
Houston, Texas Water Conveyance System Certificates of Participation Bonds, (AMBAC Insured), Series 1993
6.800% due 12/15/2011		3,000		3,329
Lower Colorado River Authority, Texas Revenue Bonds, (FSA Insured), Series 1999
6.000% due 05/15/2010		400		416
Lower Colorado River Authority, Texas Revenue Bonds, (MBIA Insured), Series 2006
4.750% due 05/15/2029		5,665		5,461
Sabine River Authority, Texas Revenue Bonds, Series 2001
5.500% due 05/01/2022		1,000		940
Southeast Texas State Hospital Financing Agency Revenue Bonds, Series 1979
7.500% due 12/01/2009		320		333
Texas State Municipal Gas Acquisition & Supply Corp. I Revenue Notes, Series 2006
5.000% due 12/15/2011		400		392
Texas State Municipal Power Agency Revenue Bonds, (AMBAC Insured), Series 1989
0.000% due 09/01/2008		10		10
Texas State Municipal Power Agency Revenue Bonds, (MBIA Insured), Series 1993
0.000% due 09/01/2016		3,380		2,343
				27,977
Virginia 0.3%
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
5.250% due 06/01/2019		750		785
Washington 4.8%
Everett, Washington Water & Sewer Revenue Notes, (MBIA Insured), Series 2003
4.500% due 07/01/2011		1,495		1,548
Washington State Energy Northwest Revenue Notes, (AMBAC Insured), Series 2004
5.250% due 07/01/2009		150		155
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2019		2,960		1,713
Washington State General Obligation Bonds, Series 2001
5.000% due 01/01/2012		2,000		2,077
Washington State Tobacco Settlement Authority Revenue Notes, Series 2002
5.250% due 06/01/2010		8,245		8,303
				13,796
West Virginia 0.0%
Kanawha County, West Virginia Residential Mortgage Revenue Bonds, (FGIC Insured), Series 1979
7.375% due 09/01/2010		70		74
Wisconsin 3.4%
Wisconsin State Housing & Economic Development Authority Revenue Bonds, (MBIA Insured), Series 2002
5.350% due 11/01/2022		5,765		5,814
Wisconsin State Housing & Economic Development Authority Revenue Notes, (MBIA Insured), Series 2002
4.500% due 05/01/2010		1,600		1,612
4.500% due 11/01/2010		1,335		1,362
Wisconsin State Petroleum Revenue Notes, (FSA Insured), Series 2004
5.000% due 07/01/2012		1,000		1,039
				9,827
Total Municipal Bonds & Notes (Cost $258,147)				253,501
SHORT-TERM INSTRUMENTS 5.1%
Repurchase Agreements 5.1%
State Street Bank and Trust Co.
1.650% due 07/01/2008		14,484		14,484
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $14,777. Repurchase proceeds are $14,485.)
Total Short-Term Instruments (Cost $14,484)				14,484
Total Investments 97.9% (Cost $284,380)			$	279,166
Written Options (c) (0.0%) (Premiums $264)				(90	)
Other Assets and Liabilities (Net) 2.1%				6,166
Net Assets 100.0%			$	285,242

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

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

(a) Cash of $4,410 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	96	$	69
U.S. Treasury 10-Year Note September Futures	Long	09/2008	84		30
U.S. Treasury 30-Year Bond September Futures	Short	09/2008	511		(681	)
				$	(582	)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection (1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation
California State General Obligation Notes, Series 2005 5.000% due 03/01/2018	Sell	0.710	%	03/20/2018	GSC	$	3,000	$	40

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

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection (2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation
Municipal Bond Credit Derivative Index	Sell	0.350	%	06/20/2013	GSC	$	16,600	$	181

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	11,500	$	24
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		2,900		(32	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		12,600		(93	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		4,000		(25	)
								$	(126	)

(c) Written options outstanding on June 30, 2008:

Options on Exchange-Traded Futures Contracts

Description	Strike Price		Expiration Date	# of Contracts	Premium		Value
Put - CBOT U.S. Treasury 30-Year Bond September Futures	$	113.000	08/22/2008	150	$	264	$	90

(d) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0		$	279,166	$	0	$	279,166
Other Financial Instruments++		(583	)		6		0		(577	)
Total	$	(583	)	$	279,172	$	0	$	278,589

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

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

See Accompanying Notes

Schedule of Investments

Short-Term Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.7%
Cablevision
4.225% due 03/30/2013	$	2,493	$	2,375
Daimler Finance North America LLC
6.780% due 08/03/2012		15,781		13,070
HCA, Inc.
5.051% due 11/18/2013		3,666		3,448
Metro-Goldwyn-Mayer, Inc.
3.191% due 10/03/2011		900		741
3.805% due 10/03/2011		720		593
MGM Mirage
3.154% due 10/03/2011		1,080		981
3.409% due 10/03/2011		1,800		1,635
3.664% due 10/03/2011		1,800		1,635
3.671% due 10/03/2011		2,700		2,452
NRG Energy, Inc.
4.196% due 02/01/2013		963		919
Total Bank Loan Obligations (Cost $30,648)				27,849
CORPORATE BONDS & NOTES 29.7%
Banking & Finance 23.9%
Allstate Life Global Funding II
3.328% due 05/21/2010		39,100		38,872
American Express Bank FSB
2.495% due 06/12/2009		12,700		12,613
2.541% due 06/22/2009		3,000		2,978
5.500% due 04/16/2013		13,100		12,827
American Express Centurion Bank
2.557% due 07/13/2010		5,300		5,203
American Express Credit Corp.
2.531% due 03/02/2009		900		895
3.882% due 05/27/2010		19,000		18,855
5.875% due 05/02/2013		7,800		7,766
American Honda Finance Corp.
2.774% due 08/05/2008		3,100		3,100
3.184% due 02/05/2010		5,000		4,995
American International Group, Inc.
2.952% due 01/29/2010		26,800		26,749
Bank of America N.A.
2.786% due 06/12/2009		12,700		12,672
3.316% due 05/12/2010		48,500		48,308
Bank of Ireland
2.819% due 12/19/2008		12,800		12,796
2.862% due 12/18/2009		5,200		5,148
Bear Stearns Cos., Inc.
2.728% due 02/23/2010		17,200		16,875
2.979% due 07/16/2009		12,300		12,157
6.950% due 08/10/2012		10,000		10,411
Calabash Re Ltd.
13.714% due 01/08/2010		2,300		2,362
CIT Group, Inc.
3.049% due 01/30/2009		19,100		18,482
Citigroup Funding, Inc.
3.820% due 05/07/2010		22,600		22,435
Citigroup, Inc.
2.848% due 12/26/2008		9,700		9,662
2.939% due 01/30/2009		21,000		20,810
Credit Agricole S.A.
2.646% due 05/28/2009		14,300		14,240
Danske Bank A/S
2.472% due 08/19/2008		19,200		19,201
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		2,950		2,288
General Electric Capital Corp.
2.746% due 08/15/2011		1,300		1,281
2.776% due 05/10/2010		16,500		16,393
2.788% due 10/06/2010		13,800		13,703
3.558% due 05/22/2013		10,100		10,048
Glitnir Banki HF
3.078% due 04/20/2010		6,000		5,213
GMAC LLC
3.926% due 05/15/2009		5,900		5,549
3.951% due 09/23/2008		2,600		2,561
Goldman Sachs Group, Inc.
2.841% due 12/23/2008		900		897
2.891% due 12/22/2008		5,200		5,077
2.891% due 06/23/2009		41,910		41,483
3.101% due 06/28/2010		5,260		5,116
3.250% due 07/23/2009		1,000		994
HSBC Finance Corp.
2.813% due 12/05/2008		1,600		1,593
2.866% due 03/12/2010		3,200		3,112
2.878% due 10/21/2009		5,000		4,884
2.906% due 09/15/2008		10,280		10,275
3.000% due 11/16/2009		4,000		3,947
John Deere Capital Corp.
2.984% due 09/25/2008		14,100		14,101
JPMorgan Chase & Co.
2.498% due 05/07/2010		19,100		18,939
KeyBank N.A.
4.682% due 06/02/2010		19,900		19,835
Lehman Brothers Holdings, Inc.
2.532% due 11/24/2008		700		696
3.011% due 12/23/2010		9,700		9,093
Longpoint Re Ltd.
8.064% due 05/08/2010		3,300		3,300
Merrill Lynch & Co., Inc.
3.034% due 02/06/2009		2,660		2,624
4.495% due 05/20/2009		6,700		6,657
4.966% due 05/12/2010		33,900		33,380
6.050% due 08/15/2012		10,400		10,191
Metropolitan Life Global Funding I
2.759% due 05/17/2010		19,100		18,846
Morgan Stanley
2.820% due 05/07/2009		9,700		9,551
2.844% due 02/09/2009		12,100		11,990
4.778% due 05/14/2010		17,200		17,143
Mystic Re Ltd.
12.682% due 06/07/2011		700		716
National Australia Bank Ltd.
2.731% due 09/11/2009		8,900		8,895
2.791% due 10/01/2008		2,000		2,000
3.208% due 02/08/2010		31,400		31,408
Pricoa Global Funding I
3.473% due 06/04/2010		27,800		27,785
Rabobank Nederland NV
2.728% due 04/06/2009		6,700		6,695
2.733% due 01/15/2009		14,800		14,791
3.119% due 05/19/2010		29,300		29,265
Residential Reinsurance 2007 Ltd.
9.399% due 06/06/2011		2,000		1,999
12.932% due 06/07/2010		3,400		3,412
Rockies Express Pipeline LLC
5.100% due 08/20/2009		20,900		20,921
Santander U.S. Debt S.A. Unipersonal
2.844% due 02/06/2009		19,200		19,143
2.861% due 09/19/2008		6,000		5,994
UBS AG
3.704% due 05/05/2010		40,600		40,462
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		13,570		13,562
Ventas Realty LP
6.750% due 06/01/2010		4,960		4,960
8.750% due 05/01/2009		3,000		3,075
Vita Capital III Ltd.
3.891% due 01/01/2011		2,200		2,136
VTB Capital S.A.
3.384% due 08/01/2008		17,200		17,049
Wachovia Bank N.A.
2.638% due 02/23/2009		7,900		7,870
2.841% due 03/23/2009		3,300		3,286
3.619% due 05/14/2010		32,000		31,852
Wells Fargo & Co.
2.481% due 03/22/2010		7,600		7,521
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		1,000		1,010
				976,979
Industrials 3.7%
Comcast Corp.
3.010% due 07/14/2009		2,100		2,084
CSC Holdings, Inc.
7.250% due 07/15/2008		2,800		2,807
CVS Caremark Corp.
2.982% due 06/01/2010		7,800		7,616
Daimler Finance North America LLC
3.138% due 03/13/2009		3,800		3,789
EchoStar DBS Corp.
5.750% due 10/01/2008		6,700		6,717
6.375% due 10/01/2011		1,900		1,838
7.000% due 10/01/2013		3,900		3,734
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		1,525		1,586
General Mills, Inc.
3.038% due 01/22/2010		8,000		7,901
GlaxoSmithKline Capital, Inc.
3.310% due 05/13/2010		10,000		10,032
HCA, Inc.
9.250% due 11/15/2016		1,400		1,446
HJ Heinz Co.
6.428% due 12/01/2020		13,500		13,619
Honeywell International, Inc.
2.957% due 07/27/2009		20,600		20,586
Mandalay Resort Group
6.500% due 07/31/2009		1,500		1,489
New Albertson’s, Inc.
6.950% due 08/01/2009		2,100		2,127
Reynolds American, Inc.
3.476% due 06/15/2011		9,600		9,121
Sungard Data Systems, Inc.
3.750% due 01/15/2009		3,400		3,370
SUPERVALU, Inc.
7.500% due 11/15/2014		5,200		5,232
Transocean, Inc.
2.873% due 09/05/2008		4,500		4,494
Trinity Industries Leasing Co.
7.755% due 02/15/2009		1,539		1,570
Weyerhaeuser Co.
3.802% due 09/24/2009		10,300		10,185
Williams Cos., Inc.
6.375% due 10/01/2010		7,000		7,105
Xerox Corp.
3.562% due 12/18/2009		2,000		1,988
9.750% due 01/15/2009		6,415		6,605
XTO Energy, Inc.
4.625% due 06/15/2013		16,500		15,975
				153,016
Utilities 2.1%
AT&T, Inc.
2.884% due 02/05/2010		11,900		11,851
2.888% due 11/14/2008		2,000		1,999
BellSouth Corp.
2.776% due 08/15/2008		1,400		1,399
Enel Finance International S.A.
5.700% due 01/15/2013		19,900		20,153
Entergy Gulf States, Inc.
3.427% due 12/08/2008		4,396		4,394
Florida Power Corp.
3.078% due 11/14/2008		17,400		17,354
Midwest Generation LLC
8.300% due 07/02/2009		5,682		5,724
Ohio Power Co.
2.908% due 04/05/2010		2,000		1,962
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		3,400		3,400
Qwest Corp.
5.625% due 11/15/2008		5,000		5,012
Sprint Nextel Corp.
3.201% due 06/28/2010		14,200		13,177
				86,425
Total Corporate Bonds & Notes (Cost $1,226,728)				1,216,420
MUNICIPAL BONDS & NOTES 0.0%
Palomar, California Community College District General Obligation Bonds, (FSA Insured), Series 2007
4.750% due 05/01/2032		500		488
Total Municipal Bonds & Notes (Cost $483)				488
COMMODITY INDEX-LINKED NOTES 0.2%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		10,000		9,932
Total Commodity Index-Linked Notes (Cost $10,000)				9,932
U.S. GOVERNMENT AGENCIES 43.8%
Fannie Mae
2.542% due 12/25/2036 - 07/25/2037		6,035		5,938
2.602% due 03/25/2034		143		138
2.612% due 03/25/2036		877		877
2.632% due 08/25/2034		857		835
2.782% due 03/25/2036		4,153		4,077
2.832% due 05/25/2042 - 03/25/2044		2,478		2,400
2.882% due 06/25/2032 - 09/25/2032		141		137
2.932% due 10/25/2030		24		24
3.000% due 02/25/2022 - 12/25/2022		16		16
3.082% due 10/25/2017		325		324
3.100% due 08/25/2022		9		9
3.150% due 12/25/2022		8		8
3.382% due 04/25/2032		13		13
4.500% due 09/25/2025		165		165
4.530% due 02/01/2018 - 04/01/2029		233		234
4.618% due 09/01/2035		825		825
4.721% due 11/01/2035 (d)		1,429		1,439
4.794% due 05/01/2036 (d)		14,326		14,357
4.810% due 11/01/2025		24		24
4.850% due 05/01/2036		261		262
4.991% due 06/01/2035 (d)		945		957
4.994% due 06/01/2043 - 10/01/2044		14,844		14,841
5.000% due 01/25/2017 - 01/01/2038		2,662		2,572
5.000% due 04/01/2035 (d)		1,949		1,878
5.006% due 01/01/2036		429		437
5.142% due 07/01/2034		34		34
5.220% due 05/01/2021		37		37
5.301% due 06/01/2034		20		20
5.479% due 01/01/2032		799		810
5.500% due 02/01/2014 - 04/01/2038		956,490		944,726
5.500% due 06/01/2034 - 11/01/2036 (d)		53,036		52,402
5.803% due 12/01/2036		189		192
5.896% due 12/01/2036		196		200
6.000% due 08/01/2032 - 07/01/2038		461,481		466,207
6.000% due 10/01/2035 - 02/01/2037 (d)		70,024		70,760
6.187% due 08/01/2029 (d)		1,924		1,950
6.194% due 07/01/2029		266		270
6.470% due 12/01/2040		476		480
6.500% due 10/25/2023 (a)		26		1
6.500% due 11/01/2028 - 10/25/2042		1,050		1,101
6.970% due 08/01/2026		19		19
7.000% due 03/01/2013		45		47
7.155% due 10/01/2023		36		37
8.834% due 06/25/2032		651		691
Federal Home Loan Bank
4.000% due 04/20/2009		1,300		1,312
4.020% due 06/30/2009		2,000		2,022
4.330% due 03/16/2010		2,500		2,550
4.500% due 06/22/2010		12,400		12,708
Federal Housing Administration
6.896% due 07/01/2020		361		354
7.350% due 04/01/2019		164		163
7.430% due 07/01/2021 - 09/01/2022		162		162
7.435% due 02/01/2019		189		189
Freddie Mac
2.522% due 12/25/2036		26,253		25,419
2.701% due 02/15/2019		74,558		73,098
2.821% due 12/15/2030 - 06/15/2031		401		396
2.871% due 06/15/2031		388		387
2.921% due 12/15/2031		13		13
3.250% due 03/15/2023		8		8
4.000% due 04/15/2022 - 11/15/2022		1,516		1,516
4.452% due 08/01/2035		847		851
4.500% due 12/15/2025		972		977
4.994% due 10/25/2044 - 02/25/2045		11,696		11,227
5.000% due 01/15/2018 - 03/15/2026		709		716
5.194% due 07/25/2044		12,174		11,401
5.500% due 05/01/2013 - 09/01/2037		30,696		30,894
5.500% due 05/01/2036 (d)		6,516		6,431
6.500% due 08/15/2008 - 07/25/2043		588		604
6.750% due 08/15/2023		613		631
Ginnie Mae
2.882% due 06/20/2030		5		6
2.971% due 02/16/2030		234		237
3.071% due 02/16/2030		147		148
3.121% due 02/16/2030		285		285
3.429% due 03/20/2031		1,057		1,057
5.000% due 02/20/2032		646		647
5.125% due 10/20/2017 - 10/20/2027		958		962
5.250% due 03/20/2029 - 03/20/2030		1,039		1,044
5.375% due 01/20/2022 - 01/20/2026		937		940
5.500% due 02/20/2019		20		20
5.625% due 07/20/2022 - 09/20/2029		3,071		3,102
6.000% due 01/15/2032 - 03/15/2032		1,925		1,962
6.375% due 05/20/2021 - 05/20/2030		3,765		3,836
7.500% due 02/20/2030		157		167
8.000% due 12/15/2030 - 03/15/2032		172		189
8.500% due 06/20/2027		162		179
Small Business Administration
7.540% due 08/10/2009		45		46
Total U.S. Government Agencies (Cost $1,801,154)				1,791,627
U.S. TREASURY OBLIGATIONS 1.0%
U.S. Treasury Notes
1.750% due 03/31/2010		9,100		8,988
2.875% due 06/30/2010		31,300		31,464
Total U.S. Treasury Obligations (Cost $40,266)				40,452
MORTGAGE-BACKED SECURITIES 10.3%
American Home Mortgage Investment Trust
2.632% due 09/25/2035		6		6
4.290% due 10/25/2034		3,006		2,640
4.440% due 02/25/2045		89		80
5.000% due 09/25/2035		2,100		1,881
Banc of America Funding Corp.
4.622% due 02/20/2036		9,150		8,675
6.141% due 01/20/2047		252		205
Banc of America Mortgage Securities, Inc.
6.186% due 07/20/2032		238		225
6.500% due 09/25/2033		996		977
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		12,117		11,584
4.593% due 01/25/2034		742		684
4.747% due 01/25/2034		361		347
4.750% due 10/25/2035		21,515		21,321
5.519% due 11/25/2030		313		300
5.662% due 11/25/2034		19,209		18,406
5.760% due 11/25/2034		2,567		2,523
Bear Stearns Alt-A Trust
2.642% due 02/25/2034		2,329		1,677
5.372% due 05/25/2035		674		578
5.701% due 09/25/2035		8,493		7,010
5.784% due 11/25/2036		5,269		4,273
5.869% due 01/25/2036		5,438		4,444
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		87		87
Bear Stearns Mortgage Funding Trust
2.552% due 02/25/2037		7,156		6,348
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		18,814		18,649
5.674% due 01/26/2036		18,708		15,568
5.777% due 12/26/2046		8,204		6,754
CC Mortgage Funding Corp.
2.612% due 05/25/2048		4,806		3,373
2.732% due 08/25/2035		861		764
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		5		5
Citigroup Mortgage Loan Trust, Inc.
2.552% due 01/25/2037		2,789		2,507
4.679% due 08/25/2035		2,375		2,145
Countrywide Alternative Loan Trust
2.562% due 09/20/2046		216		212
2.632% due 05/20/2046		228		208
2.642% due 02/25/2047		443		312
2.662% due 02/20/2047		8,818		6,207
2.662% due 05/25/2047		6,744		4,728
2.762% due 02/25/2037		7,742		5,654
4.528% due 02/25/2036		935		713
5.500% due 08/25/2035		171		163
Countrywide Home Loan Mortgage Pass-Through Trust
2.712% due 05/25/2035		601		456
2.802% due 03/25/2035		995		772
2.822% due 06/25/2035		14,159		12,485
5.750% due 07/19/2031		6		6
6.366% due 11/19/2033		444		443
CS First Boston Mortgage Securities Corp.
3.326% due 03/25/2032		193		174
5.550% due 05/25/2032		5		5
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 01/25/2047		1,289		1,203
2.562% due 02/25/2037		1,877		1,767
2.572% due 08/25/2037		2,476		2,423
First Horizon Asset Securities, Inc.
5.368% due 08/25/2035		183		175
First Republic Mortgage Loan Trust
2.771% due 08/15/2032		6,790		6,139
2.821% due 11/15/2031		427		396
2.962% due 06/25/2030		576		519
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		7,674		6,750
2.562% due 01/25/2047		6,879		6,529
2.702% due 06/25/2045		802		660
2.712% due 06/25/2045		377		312
2.752% due 11/25/2045		970		775
Greenwich Capital Acceptance, Inc.
7.162% due 06/25/2024		11		11
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		6,189		5,796
GSR Mortgage Loan Trust
4.539% due 09/25/2035		12,017		11,656
6.000% due 03/25/2032		2		2
GSRPM Mortgage Loan Trust
2.882% due 11/25/2031		2,090		2,086
3.182% due 01/25/2032		428		364
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		200		182
2.628% due 04/19/2038		2,384		1,670
2.702% due 05/19/2035		3,050		2,316
2.722% due 03/19/2037		7,880		5,560
2.852% due 02/19/2034		734		703
Impac CMB Trust
3.382% due 10/25/2033		106		101
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		3,134		2,929
Indymac ARM Trust
6.124% due 01/25/2032		8		6
6.446% due 01/25/2032		3		3
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		4,031		3,759
2.582% due 01/25/2037		266		250
5.044% due 12/25/2034		99		86
JPMorgan Mortgage Trust
5.020% due 02/25/2035		2,456		2,319
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		260		247
MASTR Asset Securitization Trust
5.500% due 09/25/2033		1,588		1,488
MASTR Seasoned Securities Trust
6.203% due 09/25/2017		552		549
Mellon Residential Funding Corp.
2.821% due 11/15/2031		381		344
2.911% due 12/15/2030		3,025		2,811
3.540% due 10/20/2029		3,851		3,709
Merrill Lynch Floating Trust
2.541% due 06/15/2022		3,365		3,167
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		7,712		6,203
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		5,859		5,212
2.851% due 03/15/2025		532		401
4.430% due 10/25/2035		8,232		7,802
Morgan Stanley Capital I
2.542% due 10/15/2020		6,037		5,643
RAAC Series 2005-SP1
5.000% due 09/25/2034		634		621
Residential Accredit Loans, Inc.
2.582% due 09/25/2046		997		681
2.692% due 04/25/2046		484		347
2.782% due 08/25/2035		2,296		1,781
4.888% due 09/25/2045		1,440		1,182
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		237		232
Sequoia Mortgage Trust
2.829% due 07/20/2033		4,189		3,752
2.859% due 10/20/2027		2,572		2,262
4.080% due 04/20/2035		1,642		1,505
Structured Adjustable Rate Mortgage Loan Trust
4.928% due 01/25/2035		138		130
5.537% due 08/25/2035		226		202
Structured Asset Mortgage Investments, Inc.
2.582% due 09/25/2047		1,176		1,122
2.612% due 03/25/2037		2,004		1,541
2.702% due 05/25/2036		13,018		9,135
2.712% due 05/25/2045		1,071		845
2.732% due 07/19/2035		11,652		9,676
2.762% due 02/25/2036		68		52
2.812% due 09/19/2032		97		88
2.832% due 03/19/2034		1,005		902
Structured Asset Securities Corp.
2.532% due 05/25/2036		616		600
5.369% due 01/25/2032		16		16
5.432% due 10/25/2035		1,327		1,211
5.820% due 07/25/2032		198		180
6.050% due 02/25/2032		281		259
TBW Mortgage-Backed Pass-Through Certificates
2.582% due 09/25/2036		19		18
2.592% due 01/25/2037		3,656		3,507
Thornburg Mortgage Securities Trust
2.582% due 03/25/2037		250		233
2.592% due 11/25/2046		7,746		7,415
2.602% due 03/25/2046		3,500		3,470
2.612% due 06/25/2037		251		235
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		19,350		18,260
5.681% due 04/15/2034		14		14
WaMu Mortgage Pass-Through Certificates
2.752% due 12/25/2045		554		446
2.772% due 10/25/2045		1,172		915
3.022% due 12/25/2027		7,497		6,848
3.122% due 12/25/2027		3,644		3,456
4.043% due 09/25/2033		3,352		3,209
4.258% due 01/25/2047		987		745
4.338% due 12/25/2046		3,856		3,238
4.528% due 02/25/2046		5,135		3,782
4.528% due 08/25/2046		24,146		18,485
4.611% due 05/25/2046		320		267
4.728% due 11/25/2042		1,046		967
4.780% due 07/25/2046		544		436
4.780% due 08/25/2046		13,820		11,383
4.780% due 12/25/2046		2,193		1,712
4.928% due 06/25/2042		1,478		1,342
4.928% due 08/25/2042		1,491		1,337
5.028% due 09/25/2046		1,008		787
5.028% due 11/25/2046		391		320
5.933% due 09/25/2036		115		115
Washington Mutual MSC Mortgage Pass-Through Certificates
6.792% due 02/25/2033		171		166
Wells Fargo Mortgage-Backed Securities Trust
3.989% due 12/25/2034		8,221		8,034
Total Mortgage-Backed Securities (Cost $476,777)				421,061
ASSET-BACKED SECURITIES 6.8%
Aames Mortgage Investment Trust
2.632% due 08/25/2035		117		110
Accredited Mortgage Loan Trust
2.532% due 02/25/2037		1,090		1,068
ACE Securities Corp.
2.532% due 06/25/2036		104		103
2.532% due 12/25/2036		1,208		1,159
2.542% due 10/25/2036		183		180
2.562% due 10/25/2036		1,465		1,449
2.572% due 06/25/2037		2,134		1,988
Amortizing Residential Collateral Trust
2.772% due 07/25/2032		57		48
2.832% due 08/25/2032		432		383
3.182% due 10/25/2031		510		489
Argent Securities, Inc.
2.532% due 10/25/2036		1,690		1,643
Asset-Backed Funding Certificates
2.542% due 10/25/2036		874		866
2.542% due 11/25/2036		1,564		1,531
2.542% due 01/25/2037		2,771		2,689
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		808		802
2.562% due 05/25/2037		1,324		1,304
2.758% due 09/25/2034		445		382
Bear Stearns Asset-Backed Securities Trust
2.532% due 11/25/2036		1,014		966
2.552% due 12/25/2036		1,222		1,124
2.562% due 10/25/2036		435		419
2.572% due 04/25/2036		10		10
2.812% due 01/25/2036		129		125
2.882% due 10/27/2032		271		247
2.932% due 03/25/2043		1,183		1,166
2.982% due 11/25/2042		139		117
3.142% due 10/25/2032		1,437		1,265
3.482% due 10/25/2037		5,082		4,201
Brazos Student Finance Corp.
2.870% due 06/01/2023		1,048		1,041
Capital Auto Receivables Asset Trust
3.921% due 10/15/2012		3,400		3,433
Carrington Mortgage Loan Trust
2.532% due 01/25/2037		144		140
2.802% due 10/25/2035		1,699		1,579
Chase Credit Card Master Trust
2.581% due 02/15/2011		3,700		3,698
2.641% due 09/15/2011		18,800		18,769
Chase Funding Mortgage Loan Asset-Backed Certificates
3.122% due 08/25/2032		73		72
CIT Group Home Equity Loan Trust
2.752% due 06/25/2033		48		44
Citigroup Mortgage Loan Trust, Inc.
2.522% due 12/25/2036		1,587		1,505
2.532% due 10/25/2036		648		642
2.532% due 11/25/2036		584		577
2.542% due 01/25/2037		711		706
2.542% due 07/25/2045		2,339		2,175
2.592% due 08/25/2036		1,500		1,449
2.592% due 03/25/2037		801		760
Contimortgage Home Equity Trust
3.151% due 03/15/2027		3		2
Countrywide Asset-Backed Certificates
2.512% due 01/25/2046		83		82
2.532% due 01/25/2037		58		58
2.532% due 03/25/2037		143		139
2.532% due 05/25/2037		7,270		7,033
2.532% due 07/25/2037		2,764		2,667
2.532% due 03/25/2047		616		608
2.532% due 05/25/2047		1,671		1,630
2.542% due 03/25/2037		1,147		1,126
2.542% due 09/25/2046		406		403
2.552% due 06/25/2037		1,931		1,899
2.562% due 06/25/2037		2,330		2,291
2.562% due 10/25/2037		1,310		1,233
2.582% due 08/25/2037		11,400		10,108
2.582% due 09/25/2037		1,360		1,283
2.582% due 09/25/2047		2,086		2,039
2.592% due 10/25/2046		1,324		1,300
2.642% due 02/25/2036		540		507
2.662% due 09/25/2036		2,412		2,308
2.672% due 06/25/2036		1,693		1,587
2.962% due 12/25/2031		75		56
3.222% due 05/25/2032		239		210
3.342% due 05/25/2033		42		42
Countrywide Home Equity Loan Trust
2.611% due 01/15/2037		192		165
Credit-Based Asset Servicing & Securitization LLC
2.542% due 11/25/2036		1,211		1,178
2.572% due 12/25/2037		1,501		1,443
2.602% due 07/25/2037		473		439
Delta Funding Home Equity Loan Trust
3.291% due 09/15/2029		34		25
EMC Mortgage Loan Trust
2.852% due 05/25/2040		165		153
Equity One Asset-Backed Securities, Inc.
2.782% due 04/25/2034		627		527
3.042% due 11/25/2032		916		802
Fieldstone Mortgage Investment Corp.
2.562% due 05/25/2036		4		4
First Franklin Mortgage Loan Asset-Backed Certificates
2.512% due 05/25/2036		816		813
2.522% due 01/25/2038		2,374		2,293
2.532% due 12/25/2036		861		839
2.552% due 12/25/2037		1,262		1,244
2.852% due 12/25/2034		79		66
First USA Credit Card Master Trust
2.641% due 04/18/2011		6,800		6,800
Fremont Home Loan Trust
2.532% due 10/25/2036		1,471		1,436
2.542% due 01/25/2037		2,022		1,912
2.552% due 02/25/2037		1,333		1,306
Greenpoint Home Equity Loan Trust
2.831% due 01/15/2030		645		483
GSAMP Trust
2.552% due 09/25/2036		914		899
2.552% due 10/25/2036		277		229
2.552% due 12/25/2036		3,062		2,968
2.582% due 01/25/2047		2,146		2,100
2.602% due 12/25/2035		54		54
2.772% due 03/25/2034		871		859
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		802		788
Home Equity Asset Trust
2.542% due 05/25/2037		1,257		1,193
3.402% due 02/25/2033		1		1
HSBC Asset Loan Obligation
2.542% due 12/25/2036		2,425		2,327
HSI Asset Securitization Corp. Trust
2.542% due 05/25/2037		360		329
2.592% due 03/25/2036		4,496		4,468
Indymac Residential Asset-Backed Trust
2.522% due 08/25/2036		78		77
2.532% due 11/25/2036		437		429
2.542% due 04/25/2037		1,864		1,843
2.562% due 07/25/2037		1,362		1,341
2.612% due 04/25/2047		852		842
Irwin Home Equity Corp.
3.022% due 07/25/2032		352		265
JPMorgan Mortgage Acquisition Corp.
2.522% due 08/25/2036		60		59
2.532% due 07/25/2036		1,490		1,449
2.532% due 08/25/2036		892		878
2.532% due 10/25/2036		3,216		3,148
2.542% due 04/01/2037		937		887
2.552% due 11/25/2036		795		770
2.562% due 03/25/2037		1,288		1,225
Lehman ABS Mortgage Loan Trust
2.572% due 06/25/2037		1,570		1,468
Lehman XS Trust
2.552% due 05/25/2046		644		618
2.562% due 04/25/2046		58		57
2.562% due 06/25/2046		909		876
2.562% due 08/25/2046		461		453
2.562% due 11/25/2046		2,926		2,781
2.572% due 05/25/2046		58		56
2.602% due 11/25/2036		271		264
2.632% due 04/25/2037		5,239		4,964
Long Beach Mortgage Loan Trust
2.522% due 11/25/2036		1,207		1,171
2.542% due 10/25/2036		44		43
2.662% due 08/25/2035		86		84
2.762% due 10/25/2034		359		298
3.092% due 03/25/2032		123		102
MASTR Asset-Backed Securities Trust
2.532% due 03/25/2036		1		1
2.532% due 11/25/2036		1,613		1,557
2.532% due 01/25/2037		893		806
2.542% due 10/25/2036		6		6
2.542% due 11/25/2036		2,017		1,971
2.562% due 01/25/2036		26		26
2.562% due 05/25/2037		1,176		1,135
MBNA Credit Card Master Note Trust
2.571% due 12/15/2011		2,000		1,994
Merrill Lynch First Franklin Mortgage Loan Trust
2.542% due 07/25/2037		2,927		2,832
Merrill Lynch Mortgage Investors, Inc.
2.512% due 05/25/2037		1,011		1,001
2.512% due 06/25/2037		732		724
2.542% due 04/25/2037		280		277
2.552% due 08/25/2036		3,989		3,860
2.552% due 02/25/2037		38		38
2.552% due 07/25/2037		175		171
2.562% due 09/25/2037		132		129
2.602% due 02/25/2037		2,189		2,059
Morgan Stanley ABS Capital I
2.512% due 06/25/2036		119		119
2.522% due 07/25/2036		548		543
2.522% due 09/25/2036		75		74
2.522% due 10/25/2036		2,298		2,262
2.522% due 01/25/2037		2,195		2,124
2.532% due 10/25/2036		2,381		2,298
2.532% due 11/25/2036		4,475		4,327
2.542% due 05/25/2037		5,431		5,292
2.582% due 09/25/2036		125		113
3.282% due 07/25/2037		539		485
Morgan Stanley Home Equity Loans
2.532% due 12/25/2036		1,514		1,478
Morgan Stanley IXIS Real Estate Capital Trust
2.532% due 11/25/2036		1,192		1,176
Nationstar Home Equity Loan Trust
2.542% due 03/25/2037		967		936
New Century Home Equity Loan Trust
2.552% due 08/25/2036		417		414
2.662% due 05/25/2036		1,483		1,348
2.742% due 06/25/2035		82		67
Option One Mortgage Loan Trust
2.522% due 02/25/2037		627		623
2.532% due 07/25/2036		167		167
2.532% due 01/25/2037		2,796		2,728
2.542% due 07/25/2037		1,452		1,399
3.022% due 06/25/2032		63		57
3.022% due 08/25/2032		266		250
Park Place Securities, Inc.
2.742% due 09/25/2035		617		585
Popular ABS Mortgage Pass-Through Trust
2.572% due 06/25/2047		2,612		2,501
Renaissance Home Equity Loan Trust
2.842% due 11/25/2034		619		552
2.922% due 08/25/2033		1,307		1,158
2.982% due 12/25/2033		771		641
Residential Asset Mortgage Products, Inc.
2.552% due 11/25/2036		593		584
2.562% due 10/25/2036		166		155
2.582% due 08/25/2046		828		800
3.042% due 06/25/2032		10		9
Residential Asset Securities Corp.
2.522% due 06/25/2036		225		224
2.542% due 01/25/2037		1,210		1,183
2.552% due 07/25/2036		49		49
2.552% due 11/25/2036		5,889		5,807
2.552% due 02/25/2037		1,237		1,180
2.562% due 10/25/2036		1,019		999
2.592% due 04/25/2037		1,959		1,869
Residential Funding Mortgage Securities II, Inc.
2.602% due 05/25/2037		1,992		1,787
SACO I, Inc.
2.542% due 05/25/2036		586		412
Salomon Brothers Mortgage Securities VII, Inc.
2.782% due 03/25/2032		116		114
Saxon Asset Securities Trust
2.542% due 10/25/2046		1,111		1,087
3.022% due 01/25/2032		20		19
Sears Credit Account Master Trust
2.691% due 04/16/2013		700		690
Securitized Asset-Backed Receivables LLC Trust
2.522% due 01/25/2037		1,069		1,035
2.542% due 03/25/2036		452		449
SLC Student Loan Trust
2.674% due 02/15/2015		5,195		5,179
SLM Student Loan Trust
2.900% due 04/25/2014		2,831		2,824
2.910% due 10/27/2014		2,091		2,084
2.910% due 10/25/2016		1,341		1,338
2.910% due 07/25/2017		1,891		1,884
3.800% due 12/15/2038		3,800		3,772
Soundview Home Equity Loan Trust
2.522% due 11/25/2036		30		30
2.542% due 12/25/2036		380		374
2.562% due 01/25/2037		1,675		1,636
2.562% due 06/25/2037		2,096		2,022
2.582% due 10/25/2036		34		34
Specialty Underwriting & Residential Finance
2.512% due 06/25/2037		420		417
2.528% due 11/25/2037		157		151
2.542% due 01/25/2038		1,596		1,562
2.562% due 12/25/2036		7		7
3.162% due 01/25/2034		90		74
Structured Asset Investment Loan Trust
2.532% due 07/25/2036		755		733
Structured Asset Securities Corp.
2.532% due 10/25/2036		426		416
2.562% due 01/25/2037		1,122		1,067
2.582% due 01/25/2037		1,316		1,250
2.592% due 04/25/2036		1,600		1,575
2.772% due 01/25/2033		1,775		1,507
4.900% due 04/25/2035		3,828		2,950
Truman Capital Mortgage Loan Trust
2.822% due 01/25/2034		157		154
Washington Mutual Asset-Backed Certificates
2.532% due 01/25/2037		2,260		2,132
2.542% due 10/25/2036		787		747
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		823		804
2.582% due 03/25/2037		544		538
2.722% due 10/25/2035		6,081		5,948
Total Asset-Backed Securities (Cost $290,441)				279,591
FOREIGN CURRENCY-DENOMINATED ISSUES 0.5%
Atlas Reinsurance PLC
8.947% due 01/10/2010	EUR	2,300		3,665
BTM Curacao Holdings NV
1.586% due 11/29/2049	JPY	100,000		940
Mizuho Bank Ltd.
1.432% due 12/31/2049		700,000		6,585
Sumitomo Mitsui Banking Corp.
1.544% due 06/29/2049		600,000		5,715
1.726% due 12/31/2049		100,000		945
1.764% due 11/26/2049		200,000		1,894
Total Foreign Currency-Denominated Issues (Cost $17,398)				19,744
	Shares
PREFERRED STOCKS 0.1%
DG Funding Trust
5.041% due 12/31/2049		328		3,273
Total Preferred Stocks (Cost $3,489)				3,273
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 8.6%
Certificates of Deposit 5.0%
Abbey National Treasury Services PLC
2.653% due 07/02/2008		6,800		6,800
ABN AMRO N.A. Finance
5.405% due 07/11/2008		12,100		12,101
Bank of Ireland
2.753% due 01/15/2010		16,800		16,554
Barclays Bank PLC
5.470% due 08/10/2009		9,600		9,552
Calyon Financial, Inc.
2.689% due 01/16/2009		16,900		16,853
5.266% due 06/29/2010		700		692
Calyon N.A. LLC
5.305% due 01/16/2009		5,600		5,586
Dexia Credit Local S.A.
2.654% due 09/29/2008		8,000		8,001
Fortis Bank NY
2.646% due 09/30/2008		3,700		3,695
HSBC Bank USA N.A.
2.957% due 07/28/2008		1,200		1,200
Nordea Bank Finland PLC
2.422% due 12/01/2008		1,700		1,699
2.436% due 04/09/2009		33,800		33,786
5.320% due 02/06/2009		3,500		3,498
Skandinaviska Enskilda Banken AB
2.675% due 02/13/2009		28,100		28,084
2.711% due 01/05/2009		8,000		7,994
2.738% due 02/13/2009		2,700		2,699
Svenska Handelsbanken AB
2.468% due 06/19/2009		4,000		4,003
Unicredito Italiano NY
3.071% due 05/15/2009		36,600		36,600
Wachovia Bank N.A.
2.654% due 10/03/2008		7,100		7,085
				206,482
Commercial Paper 3.2%
Federal Home Loan Bank
2.000% due 07/01/2008		70,800		70,800
Westpac Banking Corp.
2.700% due 09/18/2008		61,200		60,820
				131,620
Repurchase Agreements 0.1%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		5,609		5,609
(Dated 06/30/2008. Collateralized by Freddie Mac 0.000% due 12/15/2008 valued at $5,723. Repurchase proceeds are $5,609.)
U.S. Treasury Bills 0.3%
1.830% due 08/28/2008 - 09/25/2008 (b)(c)		10,500		10,445
Total Short-Term Instruments (Cost $354,572)				354,156
PURCHASED OPTIONS (g) 0.2% (Cost $5,101)				9,153
Total Investments 101.9% (Cost $4,257,057)			$	4,173,746
Other Assets and Liabilities (Net) (1.9%)				(79,805	)
Net Assets 100.0%			$	4,093,941

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 $10,445 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $123,690 at a weighted average interest rate of 2.315%. On June 30, 2008, securities valued at $147,549 were pledged as collateral for reverse repurchase agreements.

(e) Cash of $34,180 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	315	$	26
90-Day Eurodollar December Futures	Long	12/2009	4,167		3,993
90-Day Eurodollar June Futures	Long	06/2009	4,215		4,607
90-Day Eurodollar March Futures	Long	03/2009	459		1,274
90-Day Eurodollar March Futures	Short	03/2009	152		(353	)
90-Day Eurodollar September Futures	Long	09/2009	7,609		7,370
Euro-Schatz September Futures	Short	09/2008	2,490		2,270
U.S. Treasury 30-Year Bond September Futures	Short	09/2008	3,271		(1,597	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	5,530		(17,498	)
				$	92

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection (1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS	$	32,000	$	30
Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012	DUB		3,800		45
Enbridge Energy Partners LP 4.750% due 06/01/2013	Sell	0.280	%	06/20/2012	MLP		3,800		(88)
Energy Transfer Partners LP 5.950% due 02/01/2015	Sell	0.330	%	06/20/2012	BOA		3,800		(118)
Fannie Mae 5.250% due 08/01/2012	Sell	0.950	%	12/20/2012	RBS		5,000		(115)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.750	%	06/20/2009	GSC		200		0
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.000	%	06/20/2009	UBS		1,800		0
Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.260% due 04/20/2010	Buy	(0.170	%)	06/20/2010	BOA		6,000		987
GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.500	%)	06/20/2012	DUB		3,800		(24)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.850	%	09/20/2012	JPM		7,600		(141)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008	LEH		4,000		(6)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008	RBS		4,200		(7)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008	DUB		1,600		(2)
Kinder Morgan Energy Partners LP 6.750% due 03/15/2011	Sell	0.290	%	06/20/2012	MLP		3,800		(81)
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	0.800	%	09/20/2012	RBS		4,700		(304)
Morgan Stanley 6.600% due 04/01/2012	Sell	0.800	%	09/20/2012	BEAR		10,000		(516)
Morgan Stanley 6.600% due 04/01/2012	Sell	0.870	%	09/20/2012	BOA		2,800		(137)
Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.480	%)	06/20/2012	CITI		3,800		29
Noble Corp. 5.875% due 06/01/2013	Buy	(0.510	%)	06/20/2012	DUB		3,800		15
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008	DUB		2,200		(2)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008	BCLY		1,600		(1)
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008	BCLY		4,000		2
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008	LEH		1,700		1
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008	LEH		4,000		2
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008	DUB		1,600		1
Plains All American Pipeline LP 7.750% due 10/15/2012	Sell	0.320	%	06/20/2012	BOA		3,800		(100)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	12/20/2008	LEH		1,700		(1)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008	BCLY		3,900		(19)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008	BCLY		1,400		(7)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008	DUB		3,900		(19)
Valero Energy Corp. 6.875% due 04/15/2012	Sell	0.320	%	06/20/2012	BOA		3,800		(136)
								$	(712)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection (2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation
Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012	JPM	$	50,500	$	533
Dow Jones CDX N.A. IG9 Index	Sell	0.701	%	12/20/2012	DUB		11,000		85
Dow Jones CDX N.A. IG9 Index	Sell	0.705	%	12/20/2012	GSC		700		5
								$	623

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	CITI	AUD	77,900	$	(707)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	UBS		13,200		(121)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB	$	19,300		(131)
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		11,500		85
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		14,300		17
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		62,900		(273)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		70,600		(1,170)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	DUB		69,000		(1,136)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		65,100		1,079
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		40,100		(232)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		40,600		(452)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		13,200		73
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		14,800		(95)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.983	%	03/15/2012	BNP	EUR	3,400		(195)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		8,500		(473)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	DUB	AUD	40,500		(554)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	JPM		10,700		(116)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS		53,700		(536)
Pay	6-Month EUR-LIBOR	4.000	%	09/19/2009	GSC	EUR	50,200		(1,193)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	JPM		38,300		(1,085)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	LEH		53,100		(1,395)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		104,200		(2,795)
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	GSC		10,300		41
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	BCLY	GBP	44,100		(589)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBC		12,400		(166)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBS		85,900		(1,122)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	BCLY		22,500		(522)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		8,800		238
								$	(13,525)

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

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus Japanese yen	JPY	148.300	05/20/2010	EUR	8,100	$	464	$	1,042
Put - OTC Euro versus Japanese yen		148.300	05/20/2010		8,100		464		521
Call - OTC Euro versus U.S. dollar	$	1.375	05/21/2010		9,000		443		1,588
Put - OTC Euro versus U.S. dollar		1.375	05/21/2010		9,000		443		277
Call - OTC Euro versus U.S. dollar		1.372	06/03/2010		6,800		331		1,215
Put - OTC Euro versus U.S. dollar		1.372	06/03/2010		6,800		331		209
Call - OTC Euro versus U.S. dollar		1.375	06/03/2010		11,600		556		2,046
Put - OTC Euro versus U.S. dollar		1.375	06/03/2010		11,600		556		363
Call - OTC U.S. dollar versus Japanese yen	JPY	105.200	03/31/2010	$	5,000		211		186
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		5,000		211		340
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		13,000		545		471
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		13,000		546		895
						$	5,101	$	9,153

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value (3)
Fannie Mae	5.500	%	07/01/2038	$	848,000	$	841,919	$	835,942
U.S. Treasury Notes	4.250	%	08/15/2013		3,610		3,761		3,833
U.S. Treasury Notes	4.250	%	11/15/2014		60,200		62,242		63,299
U.S. Treasury Notes	4.250	%	08/15/2015		76,115		77,519		80,413
U.S. Treasury Notes	4.500	%	02/15/2016		1,300		1,348		1,394
U.S. Treasury Notes	5.500	%	05/15/2009		1,425		1,462		1,476
						$	988,251	$	986,357

⁽³⁾ Market value includes $1,781 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	280	07/2008	$	0	$	(2)	$	(2)
Buy	BRL	30,010	07/2008		2,550		0		2,550
Sell		30,010	07/2008		0		(1,292)		(1,292)
Buy		31,497	12/2008		1,858		0		1,858
Sell		12,051	12/2008		0		(533)		(533)
Buy	CLP	2,447,604	07/2008		0		(245)		(245)
Sell		2,447,604	07/2008		568		0		568
Buy		63,745	12/2008		0		(11)		(11)
Buy		2,447,604	05/2009		0		(565)		(565)
Sell		2,179,800	05/2009		440		0		440
Sell	EUR	6,143	07/2008		0		(99)		(99)
Sell	GBP	60,078	08/2008		0		(660)		(660)
Buy	JPY	1,561,698	07/2008		244		0		244
Buy	KRW	26,952,122	08/2008		0		(3,112)		(3,112)
Sell		26,952,122	08/2008		74		(5)		69
Buy	MXN	343,073	07/2008		2,390		0		2,390
Sell		343,073	07/2008		0		(390)		(390)
Buy		343,073	11/2008		334		0		334
Buy	NOK	57,384	09/2008		174		0		174
Buy	PLN	83,641	07/2008		6,052		0		6,052
Sell		83,641	07/2008		0		(858)		(858)
Buy		83,641	05/2009		828		0		828
Sell		78,047	05/2009		0		(650)		(650)
Buy	RUB	491,838	07/2008		1,548		0		1,548
Sell		491,838	07/2008		0		(240)		(240)
Buy		1,299,699	11/2008		2,924		0		2,924
Sell		190,440	11/2008		0		(80)		(80)
Buy		491,838	05/2009		391		0		391
Buy	SGD	43,372	11/2008		278		0		278
Sell		33,915	11/2008		0		(85)		(85)
Buy	ZAR	1,750	07/2008		0		(10)		(10)
Sell		1,750	07/2008		0		(6)		(6)
Buy		23,786	12/2008		6		(30)		(24)
				$	20,659	$	(8,873)	$	11,786

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0	$	4,168,371		$	5,375		$	4,173,746
Other Financial Instruments++		92		(985,827	)		(577	)		(986,312	)
Total	$	92	$	3,182,544		$	4,798		$	3,187,434

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

	Beginning balance at 03/31/2008			Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/ (losses)			Net transfers in/(out) of Level 3			Ending balance at 06/30/2008
Investments, at value	$	4,213		$	4,687	$	0	$	(706	)	$	(2,819	)	$	5,375
Other Financial Instruments++		(159	)		0		0		(418	)		0			(577	)
Total	$	4,054		$	4,687	$	0	$	(1,124	)	$	(2,819	)	$	4,798

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

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

See Accompanying Notes

Schedule of Investments

Small Cap StocksPLUS^® TR Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 14.4%
Banking & Finance 11.0%
Allstate Corp.
6.125% due 05/15/2037	$	200	$	182
American Express Credit Corp.
2.531% due 03/02/2009		30		30
American General Finance Corp.
6.900% due 12/15/2017		100		87
American International Group, Inc.
5.850% due 01/16/2018		100		94
ANZ National International Ltd.
2.798% due 08/07/2009		20		20
Bank of America Corp.
8.000% due 12/29/2049		500		470
8.125% due 12/29/2049		400		379
Barclays Bank PLC
5.450% due 09/12/2012		400		405
6.050% due 12/04/2017		100		98
Bear Stearns Cos., Inc.
2.768% due 08/21/2009		1,200		1,186
2.839% due 05/18/2010		200		195
3.218% due 07/19/2010		300		294
6.400% due 10/02/2017		1,100		1,090
7.250% due 02/01/2018		300		315
BNP Paribas
5.186% due 06/29/2049		130		113
Caterpillar Financial Services Corp.
4.850% due 12/07/2012		100		100
Citigroup Capital XXI
8.300% due 12/21/2057		100		95
Citigroup Global Markets Holdings, Inc.
2.993% due 08/03/2009		20		20
4.344% due 01/12/2009		700		698
Citigroup, Inc.
5.500% due 04/11/2013		100		98
5.850% due 07/02/2013		100		99
8.400% due 04/29/2049		300		286
Commonwealth Bank of Australia
6.024% due 03/29/2049		100		87
Countrywide Home Loans, Inc.
6.250% due 04/15/2009		2,900		2,857
Credit Agricole S.A.
2.646% due 05/28/2009		100		100
Credit Suisse USA, Inc.
2.876% due 08/15/2010		100		98
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		100		78
General Electric Capital Corp.
6.375% due 11/15/2067		200		190
Goldman Sachs Group, Inc.
5.625% due 01/15/2017		10		9
5.950% due 01/18/2018		100		96
6.150% due 04/01/2018		100		97
6.250% due 09/01/2017		100		99
International Lease Finance Corp.
2.858% due 05/24/2010		20		19
John Deere Capital Corp.
2.763% due 07/15/2008		30		30
JPMorgan Chase & Co.
2.532% due 06/26/2009		80		80
6.000% due 01/15/2018		30		29
Keycorp
2.582% due 05/26/2009		400		392
Lehman Brothers Holdings, Inc.
2.532% due 11/24/2008		10		10
2.774% due 04/03/2009		30		29
2.778% due 05/25/2010		300		278
5.625% due 01/24/2013		200		190
Merrill Lynch & Co., Inc.
4.495% due 05/20/2009		500		497
6.875% due 04/25/2018		100		95
Monumental Global Funding Ltd.
5.500% due 04/22/2013		100		100
Morgan Stanley
4.778% due 05/14/2010		100		100
6.250% due 08/28/2017		100		94
Nationwide Life Global Funding I
2.918% due 05/19/2010		1,600		1,599
Pricoa Global Funding I
2.999% due 01/30/2012		100		98
3.008% due 09/27/2013		100		98
Principal Life Income Funding Trusts
5.550% due 04/27/2015		100		99
Protective Life Secured Trusts
2.608% due 11/09/2010		1,500		1,460
Rabobank Capital Funding Trust
5.254% due 12/29/2049		100		86
RBS Capital Trust III
5.512% due 09/29/2049		300		261
Residential Capital LLC
5.758% due 05/22/2009		100		73
Royal Bank of Scotland Group PLC
6.990% due 10/29/2049		100		90
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		100		97
Sun Life Financial Global Funding LP
2.888% due 07/06/2011		1,000		988
Textron Financial Corp.
2.768% due 02/25/2011		1,000		947
UBS Preferred Funding Trust V
6.243% due 05/12/2049		100		88
Wachovia Corp.
7.980% due 12/31/2049		1,100		1,013
Wells Fargo & Co.
5.625% due 12/11/2017		100		97
				19,102
Industrials 2.0%
Amgen, Inc.
2.726% due 11/28/2008		50		50
6.900% due 06/01/2038		100		102
C8 Capital SPV Ltd.
6.640% due 12/31/2049		100		93
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		100		108
Daimler Finance North America LLC
3.138% due 03/13/2009		10		10
3.218% due 03/13/2009		100		100
3.403% due 10/31/2008		100		100
Dell, Inc.
5.650% due 04/15/2018		100		97
Diageo Capital PLC
2.816% due 11/10/2008		20		20
EchoStar DBS Corp.
5.750% due 10/01/2008		100		100
Gaz Capital S.A.
8.625% due 04/28/2034		100		109
International Business Machines Corp.
5.700% due 09/14/2017		400		407
Kimberly-Clark Corp.
2.999% due 07/30/2010		100		100
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		100		98
Kraft Foods, Inc.
6.125% due 02/01/2018		100		97
Martin Marietta Materials, Inc.
3.049% due 04/30/2010		1,400		1,360
Oracle Corp.
5.750% due 04/15/2018		200		200
Suncor Energy, Inc.
6.100% due 06/01/2018		200		201
Union Pacific Corp.
5.700% due 08/15/2018		100		98
				3,450
Utilities 1.4%
Deutsche Telekom International Finance BV
2.981% due 03/23/2009		1,800		1,788
Dominion Resources, Inc.
2.858% due 11/14/2008		40		39
3.864% due 06/17/2010		400		401
Ohio Power Co.
2.908% due 04/05/2010		100		98
Verizon Communications, Inc.
2.833% due 04/03/2009		50		50
				2,376
Total Corporate Bonds & Notes (Cost $25,280)				24,928
MUNICIPAL BONDS & NOTES 0.2%
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047		300		256
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2022		100		99
Total Municipal Bonds & Notes (Cost $367)				355
U.S. GOVERNMENT AGENCIES 30.4%
Fannie Mae
5.000% due 02/25/2017 - 07/01/2038		6,028		5,780
5.500% due 07/01/2038		8,000		7,886
6.000% due 08/01/2027 - 07/01/2038		7,772		7,852
6.000% due 09/01/2037 - 12/01/2037 (b)		3,380		3,414
6.500% due 09/01/2037		861		888
Freddie Mac
2.522% due 12/25/2036		64		62
2.621% due 07/15/2019 - 10/15/2020		490		481
2.701% due 02/15/2019		253		248
4.250% due 09/15/2024		40		40
5.000% due 06/01/2038		21,000		20,144
5.500% due 05/01/2037 - 07/01/2037		3,726		3,675
6.000% due 07/01/2038		900		909
Ginnie Mae
6.000% due 06/15/2037 - 07/15/2037		991		1,008
Small Business Administration
5.290% due 12/01/2027		195		194
Total U.S. Government Agencies (Cost $52,470)				52,581
MORTGAGE-BACKED SECURITIES 0.6%
American Home Mortgage Investment Trust
2.632% due 09/25/2035		1		1
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		1		1
Citigroup Mortgage Loan Trust, Inc.
2.552% due 01/25/2037		54		48
Countrywide Alternative Loan Trust
2.642% due 02/25/2047		74		52
2.682% due 06/25/2037		255		179
4.528% due 02/25/2036		28		21
Countrywide Home Loan Mortgage Pass-Through Trust
4.720% due 02/20/2035		48		47
4.799% due 11/25/2034		38		36
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		63		59
GSR Mortgage Loan Trust
5.248% due 11/25/2035		84		79
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		17		16
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		16		15
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		100		93
JPMorgan Mortgage Trust
5.020% due 02/25/2035		64		61
LB-UBS Commercial Mortgage Trust
4.904% due 06/15/2026		2		2
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		13		12
Structured Asset Securities Corp.
2.532% due 05/25/2036		14		13
5.432% due 10/25/2035		15		13
TBW Mortgage-Backed Pass-Through Certificates
2.582% due 09/25/2036		5		5
Thornburg Mortgage Securities Trust
2.592% due 03/25/2046		80		79
WaMu Mortgage Pass-Through Certificates
3.122% due 12/25/2027		49		47
4.258% due 01/25/2047		76		57
4.780% due 10/25/2046		18		15
5.028% due 09/25/2046		7		6
Total Mortgage-Backed Securities (Cost $1,110)				957
ASSET-BACKED SECURITIES 5.6%
Accredited Mortgage Loan Trust
2.602% due 04/25/2036		39		39
ACE Securities Corp.
2.542% due 10/25/2036		13		13
2.562% due 10/25/2036		8		8
American Express Credit Account Master Trust
2.971% due 02/15/2012		4		4
Asset-Backed Funding Certificates
2.542% due 10/25/2036		3		3
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		10		10
2.758% due 09/25/2034		1		1
BA Credit Card Trust
2.511% due 11/17/2014		600		585
Bear Stearns Asset-Backed Securities Trust
2.562% due 10/25/2036		22		21
2.572% due 06/25/2047		64		63
BNC Mortgage Loan Trust
2.582% due 05/25/2037		76		73
Chase Credit Card Master Trust
2.581% due 02/15/2011		10		10
Chase Issuance Trust
2.481% due 02/15/2011		100		100
2.921% due 01/15/2012		200		200
3.227% due 08/17/2015		300		297
Citigroup Mortgage Loan Trust, Inc.
2.522% due 08/25/2036		1		1
2.532% due 11/25/2036		5		5
2.542% due 07/25/2045		156		145
2.592% due 08/25/2036		100		97
Countrywide Asset-Backed Certificates
2.532% due 01/25/2037		2		2
2.532% due 05/25/2037		41		40
2.532% due 03/25/2047		6		6
2.532% due 05/25/2047		23		22
2.542% due 03/25/2037		7		7
2.562% due 10/25/2037		131		123
2.592% due 10/25/2046		4		3
2.662% due 09/25/2036		226		216
Credit-Based Asset Servicing & Securitization LLC
2.602% due 07/25/2037		79		73
First Franklin Mortgage Loan Asset-Backed Certificates
2.532% due 10/25/2036		51		50
2.532% due 11/25/2036		17		17
2.542% due 06/25/2036		9		9
First USA Credit Card Master Trust
2.641% due 04/18/2011		100		100
Ford Credit Auto Owner Trust
3.071% due 07/15/2010		100		100
Fremont Home Loan Trust
2.552% due 02/25/2037		7		6
GE-WMC Mortgage Securities LLC
2.522% due 08/25/2036		9		8
GSAMP Trust
2.552% due 09/25/2036		8		8
2.552% due 12/25/2036		64		62
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		29		28
2.749% due 01/20/2035		32		30
Honda Auto Receivables Owner Trust
3.770% due 09/20/2010		700		700
Indymac Residential Asset-Backed Trust
2.562% due 07/25/2037		62		61
2.612% due 04/25/2047		171		168
JPMorgan Mortgage Acquisition Corp.
2.532% due 10/25/2036		111		108
2.542% due 04/01/2037		72		68
2.562% due 03/25/2037		193		184
Lehman XS Trust
2.552% due 05/25/2046		8		7
2.562% due 11/25/2046		14		14
2.602% due 11/25/2036		3		3
Long Beach Mortgage Loan Trust
2.542% due 10/25/2036		13		13
MASTR Asset-Backed Securities Trust
2.562% due 05/25/2037		62		60
MBNA Credit Card Master Note Trust
2.571% due 12/15/2011		35		35
Morgan Stanley ABS Capital I
2.522% due 10/25/2036		13		13
2.532% due 07/25/2036		43		41
2.532% due 09/25/2036		12		12
2.532% due 11/25/2036		54		51
2.542% due 05/25/2037		143		139
Morgan Stanley IXIS Real Estate Capital Trust
2.532% due 11/25/2036		17		16
Nationstar Home Equity Loan Trust
2.542% due 03/25/2037		48		47
Option One Mortgage Loan Trust
2.522% due 02/25/2037		14		14
2.542% due 07/25/2037		145		140
Park Place Securities, Inc.
2.794% due 10/25/2034		7		6
Residential Asset Mortgage Products, Inc.
2.562% due 10/25/2036		10		10
Residential Asset Securities Corp.
2.522% due 08/25/2036		3		3
2.552% due 11/25/2036		12		11
2.552% due 02/25/2037		62		59
Residential Funding Mortgage Securities II, Inc.
2.602% due 05/25/2037		55		50
Saxon Asset Securities Trust
2.542% due 10/25/2046		6		6
SBI HELOC Trust
2.652% due 08/25/2036		9		8
SLM Student Loan Trust
2.900% due 04/25/2014		72		71
2.920% due 10/25/2016		64		64
2.930% due 10/26/2015		18		18
2.982% due 10/25/2017 (a)		2,500		2,498
3.393% due 07/25/2013		200		200
Soundview Home Equity Loan Trust
2.542% due 11/25/2036		46		45
2.542% due 12/25/2036		19		19
2.562% due 06/25/2037		72		70
South Carolina Student Loan Corp.
3.207% due 09/02/2014		200		200
3.257% due 03/01/2018		500		500
3.457% due 03/02/2020		700		700
3.707% due 09/03/2024		600		600
Specialty Underwriting & Residential Finance
2.528% due 11/25/2037		16		15
Structured Asset Securities Corp.
2.532% due 10/25/2036		14		14
Wells Fargo Home Equity Trust
2.582% due 03/25/2037		55		54
Total Asset-Backed Securities (Cost $9,814)				9,700
SOVEREIGN ISSUES 0.1%
Export-Import Bank of Korea
2.772% due 06/01/2009		100		99
Korea Development Bank
2.931% due 04/03/2010		100		100
Total Sovereign Issues (Cost $200)				199
FOREIGN CURRENCY-DENOMINATED ISSUES 2.5%
Brazilian Government International Bond
12.500% due 01/05/2022	BRL	300		183
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	300		418
Keycorp
5.056% due 11/22/2010		900		1,342
Morgan Stanley
5.190% due 03/01/2013		1,700		2,439
Total Foreign Currency-Denominated Issues (Cost $4,356)				4,382
	Shares
CONVERTIBLE PREFERRED STOCKS 0.1%
American International Group, Inc.
8.500% due 08/01/2011		2,300		136
Total Convertible Preferred Stocks (Cost $173)				136
PREFERRED STOCKS 0.0%
DG Funding Trust
5.041% due 12/31/2049		2		20
Total Preferred Stocks (Cost $21)				20
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 52.5%
Certificates of Deposit 0.1%
Calyon Financial, Inc.
5.266% due 06/29/2010	$	10		10
Dexia Credit Local S.A.
2.654% due 09/29/2008		100		100
Fortis Bank NY
2.646% due 09/30/2008		100		100
Skandinaviska Enskilda Banken AB
2.738% due 02/13/2009		30		30
				240
Commercial Paper 51.9%
Australia & New Zealand Banking Group Ltd.
2.730% due 09/15/2008		2,800		2,783
Banco Santander Central Hispano S.A.
2.780% due 09/15/2008		1,800		1,789
Bank of America Corp.
2.700% due 09/19/2008		2,100		2,087
Barclays U.S. Funding Corp.
2.688% due 08/18/2008		2,000		1,993
Caisse d’Amortissement de la Dette Sociale
2.820% due 09/17/2008		2,400		2,385
CBA (de) Finance
2.750% due 09/15/2008		1,800		1,789
Citibank N.A.
3.570% due 08/19/2008		600		597
3.570% due 10/23/2008		600		595
3.580% due 10/23/2008		1,500		1,486
Danske Corp.
2.500% due 07/15/2008		400		400
2.550% due 07/15/2008		1,200		1,199
DnB NOR Bank ASA
2.750% due 09/05/2008		4,500		4,477
Federal Home Loan Bank
2.000% due 07/01/2008		36,400		36,400
Lloyds TSB Bank PLC
2.490% due 07/01/2008		5,700		5,700
Nordea N.A., Inc.
2.770% due 09/29/2008		4,800		4,765
Rabobank USA Financial Corp.
2.240% due 07/01/2008		3,900		3,900
2.350% due 07/07/2008		500		500
2.650% due 09/29/2008		300		298
Royal Bank of Scotland Group PLC
2.770% due 09/17/2008		2,400		2,385
San Paolo U.S. Financial Co.
2.770% due 09/17/2008		3,100		3,081
Societe General N.A.
2.880% due 09/12/2008		1,800		1,790
UBS Finance Delaware LLC
2.525% due 07/16/2008		600		599
2.930% due 10/27/2008		3,700		3,664
Unicredito Italiano SpA
3.080% due 09/16/2008		2,400		2,386
Westpac Trust Securities NZ Ltd.
2.770% due 09/18/2008		2,800		2,783
				89,831
Repurchase Agreements 0.5%
State Street Bank and Trust Co.
1.650% due 07/01/2008		895		895
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $915. Repurchase proceeds are $895.)
Total Short-Term Instruments (Cost $90,964)				90,966
Purchased Options (e) 0.0% (Cost $75)				51
Total Investments 106.4% (Cost $184,830)			$	184,275
Written Options (f) (0.0%) (Premiums $35)				(20)
Other Assets and Liabilities (Net) (6.4%)				(11,130)
Net Assets 100.0%			$	173,125

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) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $12,776 at a weighted average interest rate of 2.483%. On June 30, 2008, securities valued at $9,629 were pledged as collateral for reverse repurchase agreements.

(c) Cash of $9,069 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	8	$	0
90-Day Euribor June Futures	Long	06/2009	4		(1)
90-Day Euribor March Futures	Long	03/2009	7		0
90-Day Eurodollar December Futures	Long	12/2008	41		56
90-Day Eurodollar December Futures	Long	12/2009	12		(20)
90-Day Eurodollar June Futures	Long	06/2009	34		(21)
90-Day Eurodollar March Futures	Long	03/2009	16		(2)
90-Day Eurodollar March Futures	Long	03/2010	9		(14)
90-Day Eurodollar September Futures	Long	09/2008	15		7
90-Day Eurodollar September Futures	Long	09/2009	29		(19)
E-mini Russell 2000 Index September Futures	Long	09/2008	2,467		(7,403)
Russell 2000 Index September Futures	Long	09/2008	8		(142)
S&P 500 Index September Futures	Short	09/2008	2		41
U.S. Treasury 10-Year Note September Futures	Long	09/2008	544		860
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	1		(3)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	4		(3)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	9		(7)
				$	(6,671)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Chrysler Financial 9.360% due 08/03/2012	Sell	5.050	%	09/20/2012	DUB	$	300	$	(46)
CIT Group, Inc. 7.750% due 04/02/2012	Sell	5.650	%	03/20/2013	MSC		100		(5)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.620	%	03/20/2011	BCLY		100		(2)
General Motors Corp. 7.125% due 07/15/2013	Sell	7.700	%	03/20/2013	DUB		100		(25)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	GSC		300		(43)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009	BCLY		100		0
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009	CSFB		100		0
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009	MSC		100		0
SLM Corp. 5.125% due 08/27/2012	Sell	4.550	%	03/20/2009	BOA		100		0
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009	MSC		100		(1)
								$	(122)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB	$	100	$	1
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		300		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		400		3
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		1,700		6
								$	10

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	UBS	AUD	700	$	(7)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	3,000		6
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		100		(1)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		200		(1)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		200		(1)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		200		0
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BCLY		1,200		(29)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		200		0
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		100		(2)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS	EUR	100		(5)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		20		(1)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS	AUD	300		(3)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	BCLY	GBP	100		(1)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY		100		1
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	GSC		100		0
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	GSC		500		(1)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	DUB		100		(2)
Pay	BRL-CDI-Compounded	11.360	%	01/04/2010	BCLY	BRL	100		(3)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		100		(4)
Pay	BRL-CDI-Compounded	11.980	%	01/02/2012	MLP		100		(4)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MLP		100		(2)
								$	(60)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Put - CBOT U.S. Treasury 10-Year Note September Futures	$	85.000	08/22/2008	30	$	0	$	1
Put - CBOT U.S. Treasury 10-Year Note September Futures		86.000	08/22/2008	421		4		6
Put - CBOT U.S. Treasury 10-Year Note September Futures		87.000	08/22/2008	30		0		0
Put - CBOT U.S. Treasury 10-Year Note September Futures		94.000	08/22/2008	50		1		1
Put - CBOT U.S. Treasury 10-Year Note September Futures		101.000	08/22/2008	77		2		1
Put - NYBEX Mini Russell 2000 Index September Futures		405.000	09/18/2008	550		13		13
Put - NYBEX Mini Russell 2000 Index September Futures		390.000	09/19/2008	280		7		3
Put - NYBEX Mini Russell 2000 Index September Futures		400.000	09/19/2008	347		8		2
Put - NYBEX Mini Russell 2000 Index September Futures		410.000	09/19/2008	150		4		4
Put - NYBEX Russell 2000 Index September Futures		400.000	09/19/2008	89		9		9
					$	48	$	40

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call -OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	500	$	5	$	2
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		700		8		3
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		600		6		3
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		600		6		3
									$	25	$	11

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.000% due 09/01/2038	$	78.000	09/04/2008	$	13,500	$	1	$	0
Put - OTC Fannie Mae 5.500% due 09/01/2038		77.000	09/04/2008		7,000		1		0
Put - OTC Fannie Mae 6.000% due 06/01/2038		87.000	07/07/2008		900		0		0
						$	2	$	0

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	7	$	4	$	3
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	7		6		2
					$	10	$	5

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009	$	100	$	3	$	1
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		100		3		2
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		200		7		4
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		200		6		4
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		200		6		4
									$	25	$	15

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Freddie Mac	5.000	%	07/01/2038	$	21,000	$	19,989	$	20,124
Ginnie Mae	6.000	%	07/01/2038		900		903		914
U.S. Treasury Notes	2.000	%	02/28/2010		200		198		200
U.S. Treasury Notes	2.125	%	01/31/2010		300		298		302
U.S. Treasury Notes	2.125	%	04/30/2010		900		893		898
U.S. Treasury Notes	2.875	%	01/31/2013		600		582		598
U.S. Treasury Notes	3.125	%	11/30/2009		200		201		203
U.S. Treasury Notes	3.250	%	12/31/2009		100		101		101
U.S. Treasury Notes	3.500	%	02/15/2010		100		102		103
U.S. Treasury Notes	4.250	%	08/15/2013		100		104		106
						$	23,371	$	23,549

⁽³⁾ Market value includes $20 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	AED	22	04/2009	$	0	$	0	$	0
Buy	BRL	1,250	07/2008		160		0		160
Sell		1,250	07/2008		0		(62)		(62)
Buy		240	12/2008		12		0		12
Sell		216	12/2008		0		(10)		(10)
Buy	CNY	503	11/2008		1		0		1
Sell	EUR	3,066	07/2008		0		(11)		(11)
Sell	GBP	486	08/2008		0		(5)		(5)
Buy	IDR	176,400	10/2008		0		0		0
Buy	INR	3,562	08/2008		0		(8)		(8)
Buy		6,626	11/2008		0		(13)		(13)
Sell	JPY	12,709	07/2008		0		(2)		(2)
Buy	KRW	86,292	08/2008		0		(10)		(10)
Sell		86,292	08/2008		0		0		0
Buy	KWD	2	04/2009		0		0		0
Buy	MXN	997	07/2008		7		0		7
Sell		997	07/2008		0		(4)		(4)
Buy	MYR	229	11/2008		0		(1)		(1)
Buy		131	02/2009		0		(1)		(1)
Buy	PHP	4,572	08/2008		0		(2)		(2)
Buy	PLN	187	07/2008		20		0		20
Sell		187	07/2008		0		(13)		(13)
Buy	RUB	1,774	07/2008		2		0		2
Sell		1,774	07/2008		0		(2)		(2)
Buy		1,811	11/2008		4		0		4
Sell		460	11/2008		0		(1)		(1)
Buy		966	05/2009		1		0		1
Sell		1,351	05/2009		0		(1)		(1)
Buy	SAR	22	04/2009		0		0		0
Buy	SEK	94	09/2008		0		0		0
Buy	SGD	246	11/2008		3		0		3
Buy	ZAR	2,009	07/2008		0		(12)		(12)
Sell		2,009	07/2008		0		(7)		(7)
Buy		2,009	12/2008		7		0		7
				$	217	$	(165)	$	52

(i) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	167		$	180,863		$	3,245		$	184,275
Other Financial Instruments++		(6,671	)		(23,617	)		(52	)		(30,340	)
Total	$	(6,504	)	$	157,246		$	3,193		$	153,935

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

	Beginning balance at 03/31/2008			Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/ (losses)			Net transfers in/(out) of Level 3			Ending balance at 06/30/2008
Investments, at value	$	22		$	3,251	$	0	$	(8	)	$	(20	)	$	3,245
Other Financial Instruments++		(41	)		0		0		(11	)		0			(52	)
Total	$	(19	)	$	3,251	$	0	$	(19	)	$	(20	)	$	3,193

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

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

See Accompanying Notes

Schedule of Investments

StocksPLUS^® Fund

June 30, 2008 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 1.0%
Allied Waste North America, Inc.
3.980% due 03/28/2014	$	33	$	33
4.090% due 03/28/2014		29		29
4.570% due 03/28/2014		49		49
Fresenius Medical Care Capital Trust
4.019% due 03/22/2013		57		55
4.071% due 03/22/2013		610		593
4.091% due 03/22/2013		28		28
4.184% due 03/22/2013		198		193
Goodyear Tire & Rubber Co.
4.540% due 04/30/2014		2,000		1,819
Metro-Goldwyn-Mayer, Inc.
5.946% due 04/08/2012		1,287		1,059
Sensata Technologies, Inc.
4.662% due 04/27/2013		2,475		2,299
Total Bank Loan Obligations (Cost $6,783)				6,157
CORPORATE BONDS & NOTES 39.9%
Banking & Finance 30.4%
American Express Bank FSB
2.541% due 06/22/2009		2,500		2,482
2.542% due 10/20/2009		2,100		2,073
American Express Centurion Bank
2.495% due 06/12/2009		1,900		1,885
American Express Credit Corp.
2.508% due 11/09/2009		2,100		2,051
Bank of America Corp.
2.904% due 11/06/2009		500		496
8.000% due 12/29/2049		6,000		5,636
Bank of America N.A.
2.786% due 06/12/2009		2,000		1,996
2.812% due 12/18/2008		800		798
3.056% due 06/15/2016		2,300		2,082
Bank of Ireland
2.862% due 12/18/2009		5,900		5,841
Bear Stearns Cos., Inc.
2.839% due 05/18/2010		4,800		4,687
2.886% due 08/15/2011		1,300		1,247
3.048% due 10/22/2010		2,400		2,328
3.250% due 03/25/2009		1,600		1,578
Capital One Financial Corp.
2.976% due 09/10/2009		1,800		1,680
CIT Group, Inc.
2.959% due 12/19/2008		1,500		1,484
5.000% due 11/24/2008		1,700		1,664
Citigroup Funding, Inc.
2.809% due 06/26/2009		11,200		11,047
Countrywide Financial Corp.
2.868% due 01/05/2009		700		686
Countrywide Home Loans, Inc.
6.250% due 04/15/2009		500		493
Credit Agricole S.A.
2.646% due 05/28/2009		1,700		1,693
2.694% due 05/28/2010		2,000		1,980
DnB NOR Bank ASA
2.780% due 10/13/2009		1,800		1,801
East Lane Re Ltd.
8.873% due 05/06/2011		9,500		9,524
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (a)		798		40
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		100		85
7.375% due 10/28/2009		600		547
7.875% due 06/15/2010		200		173
Foundation Re II Ltd.
9.445% due 11/26/2010		2,500		2,519
General Electric Capital Corp.
2.746% due 08/15/2011		6,300		6,208
2.788% due 10/06/2010		2,400		2,383
GMAC LLC
3.951% due 09/23/2008		7,400		7,288
Goldman Sachs Group, Inc.
2.841% due 12/23/2008		500		498
2.851% due 03/30/2009		1,300		1,292
3.250% due 07/23/2009		2,500		2,484
HSBC Finance Corp.
3.000% due 11/16/2009		1,600		1,579
3.112% due 06/01/2016		3,400		3,065
International Lease Finance Corp.
4.950% due 02/01/2011		6,000		5,686
JPMorgan Chase & Co.
2.532% due 06/26/2009		1,500		1,496
2.810% due 05/07/2010		2,800		2,773
Keycorp
2.582% due 05/26/2009		1,300		1,275
Lehman Brothers Holdings, Inc.
2.778% due 08/21/2009		1,700		1,668
2.778% due 05/25/2010		9,500		8,805
2.851% due 12/23/2008		200		196
2.966% due 11/10/2009		1,300		1,240
3.011% due 12/23/2010		2,500		2,343
Merrill Lynch & Co., Inc.
2.756% due 12/04/2009		2,300		2,205
3.004% due 02/05/2010		8,000		7,626
4.966% due 05/12/2010		200		197
Metropolitan Life Global Funding I
2.759% due 05/17/2010		3,700		3,651
Morgan Stanley
2.803% due 01/15/2010		1,400		1,355
2.820% due 05/07/2009		1,400		1,379
2.844% due 02/09/2009		2,800		2,774
2.984% due 01/18/2011		3,300		3,139
Osiris Capital PLC
5.563% due 01/15/2010		5,000		4,965
Phoenix Quake Ltd.
5.134% due 07/03/2008		500		500
Phoenix Quake Wind Ltd.
5.134% due 07/03/2008		600		600
Residential Capital LLC
5.758% due 05/22/2009		2,300		1,668
Rockies Express Pipeline LLC
5.100% due 08/20/2009		2,800		2,803
Royal Bank of Scotland Group PLC
2.868% due 07/21/2008		1,600		1,600
Santander U.S. Debt S.A. Unipersonal
2.861% due 09/19/2008		2,500		2,497
SLM Corp.
2.940% due 12/15/2008		1,700		1,672
3.000% due 01/26/2009		2,100		1,999
3.060% due 07/27/2009		1,700		1,594
3.120% due 01/26/2009		300		295
3.130% due 07/25/2008		700		698
VTB Capital S.A.
3.384% due 08/01/2008		1,900		1,883
4.484% due 11/02/2009		3,100		3,065
Wachovia Corp.
2.843% due 10/15/2011		5,700		5,419
7.980% due 12/31/2049		300		276
Wells Fargo & Co.
3.552% due 05/01/2009		5,100		5,100
				179,835
Industrials 4.4%
Anadarko Petroleum Corp.
3.176% due 09/15/2009		2,000		1,978
BP AMI Leasing, Inc.
2.819% due 06/26/2009		3,900		3,903
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		600		646
Home Depot, Inc.
2.901% due 12/16/2009		1,300		1,267
Hospira, Inc.
3.281% due 03/30/2010		2,400		2,328
Pemex Project Funding Master Trust
3.281% due 12/03/2012		3,600		3,532
Reynolds American, Inc.
3.476% due 06/15/2011		1,400		1,330
Time Warner, Inc.
2.915% due 11/13/2009		3,900		3,791
Transocean, Inc.
2.873% due 09/05/2008		2,400		2,397
UnitedHealth Group, Inc.
4.070% due 02/07/2011		5,200		5,193
				26,365
Utilities 5.1%
Ameritech Capital Funding Corp.
6.250% due 05/18/2009		5,600		5,680
Dominion Resources, Inc.
2.858% due 11/14/2008		4,460		4,399
Entergy Gulf States, Inc.
3.427% due 12/08/2008		1,374		1,373
Florida Power Corp.
3.078% due 11/14/2008		1,900		1,895
NiSource Finance Corp.
3.208% due 11/23/2009		600		584
Progress Energy, Inc.
3.163% due 01/15/2010		1,500		1,488
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		2,900		2,900
Qwest Corp.
5.625% due 11/15/2008		2,700		2,707
6.026% due 06/15/2013		3,400		3,264
Southern California Edison Co.
2.950% due 02/02/2009		2,000		1,987
Telecom Italia Capital S.A.
3.353% due 02/01/2011		1,300		1,249
Telefonica Emisones SAU
3.102% due 06/19/2009		2,600		2,586
				30,112
Total Corporate Bonds & Notes (Cost $241,149)				236,312
COMMODITY INDEX-LINKED NOTES 0.5%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		3,000		2,980
Total Commodity Index-Linked Notes (Cost $3,000)				2,980
U.S. GOVERNMENT AGENCIES 24.1%
Fannie Mae
2.602% due 03/25/2034		1,153		1,119
2.882% due 05/25/2031 (e)		3,227		3,192
2.882% due 11/25/2032		1,842		1,828
4.530% due 04/01/2018 (e)		50		50
4.618% due 09/01/2035 (e)		5,872		5,871
4.677% due 12/01/2033 (e)		1,383		1,390
4.771% due 04/01/2035 (e)		5,949		5,992
4.810% due 04/01/2028 - 11/01/2028 (e)		140		140
4.813% due 11/01/2028 (e)		66		66
4.841% due 11/01/2027 (e)		44		44
4.936% due 02/01/2027 (e)		6		6
4.994% due 07/01/2044 (e)		348		348
5.000% due 02/25/2017 - 04/25/2033		2,915		2,862
5.000% due 12/01/2019 - 04/01/2038 (e)		34,949		34,355
5.478% due 12/01/2036 (e)		1,668		1,672
5.500% due 09/01/2033 -02/01/2035 (e)		12,782		12,657
5.500% due 07/01/2038		7,000		6,900
5.529% due 09/01/2034 (e)		1,627		1,623
5.686% due 08/01/2029 (e)		31		31
5.745% due 11/01/2035 (e)		816		834
6.000% due 01/01/2017 - 05/01/2037 (e)		3,848		3,910
6.043% due 05/01/2022 (e)		8		8
7.000% due 02/01/2015 - 03/01/2015 (e)		997		1,046
7.500% due 09/01/2015 - 05/01/2016 (e)		750		783
8.000% due 03/01/2030 - 07/01/2031 (e)		150		163
8.000% due 05/01/2030		1		1
Freddie Mac
2.621% due 07/15/2019		2,755		2,701
2.621% due 10/15/2020 (e)		16,701		16,372
2.701% due 02/15/2019 (e)		11,373		11,151
2.821% due 12/15/2030		1,154		1,140
2.871% due 06/15/2018		429		425
4.690% due 06/01/2035 (e)		4,630		4,621
4.994% due 02/25/2045		1,743		1,621
5.000% due 07/15/2024 (e)		3,271		3,305
5.500% due 08/15/2030		20		20
6.000% due 03/01/2016 - 10/01/2033 (e)		5,128		5,212
6.000% due 07/01/2038		2,800		2,828
6.125% due 07/01/2019 (e)		570		586
6.451% due 12/01/2022 (e)		39		39
6.500% due 10/25/2043		2,169		2,195
6.740% due 06/01/2022 (e)		21		21
8.500% due 04/01/2025 - 06/01/2025 (e)		24		27
Ginnie Mae
2.879% due 09/20/2030		4		4
5.125% due 12/20/2022 - 12/20/2027		375		377
5.375% due 02/20/2026 - 02/20/2028		415		417
5.625% due 07/20/2018 - 07/20/2027		1,854		1,874
6.375% due 05/20/2026 - 06/20/2027		432		440
8.000% due 04/20/2030		181		198
Total U.S. Government Agencies (Cost $143,108)				142,465
MORTGAGE-BACKED SECURITIES 15.9%
Banc of America Funding Corp.
4.110% due 05/25/2035		1,944		1,818
Banc of America Mortgage Securities, Inc.
6.500% due 10/25/2031		675		677
Bank Mart
4.567% due 03/01/2019 (j)		567		511
Bear Stearns Adjustable Rate Mortgage Trust
4.593% due 01/25/2034		2,059		1,899
4.750% due 10/25/2035		5,596		5,545
4.760% due 11/25/2034		905		881
5.033% due 04/25/2033		630		608
5.068% due 11/25/2034		2,713		2,631
6.736% due 02/25/2033		96		94
6.854% due 01/25/2034		124		119
Bear Stearns Alt-A Trust
2.642% due 02/25/2034		1,420		1,023
5.701% due 09/25/2035		588		485
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		4,355		4,317
5.674% due 01/26/2036		1,923		1,600
5.777% due 12/26/2046		1,070		881
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		127		119
Citigroup Mortgage Loan Trust, Inc.
4.900% due 12/25/2035		1,570		1,494
Countrywide Alternative Loan Trust
2.662% due 05/25/2047		1,563		1,095
6.000% due 10/25/2033		1,145		1,104
Countrywide Home Loan Mortgage Pass-Through Trust
4.720% due 02/20/2035		3,021		2,952
4.799% due 11/25/2034		1,702		1,637
CS First Boston Mortgage Securities Corp.
3.326% due 03/25/2032		430		389
5.785% due 06/25/2032		10		10
6.127% due 06/25/2032		37		33
Fund America Investors Corp. II
6.152% due 06/25/2023		13		12
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		1,588		1,396
2.752% due 11/25/2045		701		560
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		2,158		2,021
GSR Mortgage Loan Trust
2.832% due 01/25/2034		319		270
Harborview Mortgage Loan Trust
2.672% due 01/19/2038		3,896		2,790
5.145% due 07/19/2035		1,387		1,281
Impac CMB Trust
3.242% due 10/25/2033		83		69
3.392% due 07/25/2033		1,558		1,402
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		859		803
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		1,059		987
JPMorgan Mortgage Trust
5.020% due 02/25/2035		1,292		1,220
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		213		202
MASTR Adjustable Rate Mortgages Trust
3.788% due 11/21/2034		1,335		1,319
MASTR Asset Securitization Trust
5.500% due 09/25/2033		2,048		1,920
Mellon Residential Funding Corp.
2.994% due 06/15/2030		3,672		3,467
Merrill Lynch Floating Trust
2.541% due 06/15/2022		6,310		5,937
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		778		625
4.910% due 12/25/2032		630		600
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		231		208
3.482% due 10/25/2035		395		367
4.546% due 01/25/2029		1,039		1,023
Morgan Stanley Capital I
2.542% due 10/15/2020		539		504
Prime Mortgage Trust
2.882% due 02/25/2019		134		127
2.882% due 02/25/2034		671		611
Resecuritization Mortgage Trust
2.732% due 04/26/2021		1		1
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		537		527
Salomon Brothers Mortgage Securities VII, Inc.
6.767% due 12/25/2030		576		551
Structured Adjustable Rate Mortgage Loan Trust
4.940% due 03/25/2034		1,263		1,153
Structured Asset Mortgage Investments, Inc.
2.732% due 07/19/2035		1,601		1,329
2.762% due 02/25/2036		881		675
9.455% due 06/25/2029		728		775
TBW Mortgage-Backed Pass-Through Certificates
2.592% due 01/25/2037		4,190		4,019
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		1,390		1,331
2.612% due 06/25/2037		2,306		2,205
Wachovia Bank Commercial Mortgage Trust
2.551% due 06/15/2020		2,844		2,633
2.561% due 09/15/2021		5,283		4,986
WaMu Mortgage Pass-Through Certificates
2.752% due 12/25/2045		900		724
2.772% due 10/25/2045		497		388
4.361% due 02/27/2034		1,894		1,761
4.528% due 02/25/2046		4,635		3,414
4.728% due 11/25/2042		219		203
4.928% due 06/25/2042		852		773
Wells Fargo Mortgage-Backed Securities Trust
4.945% due 01/25/2035		2,226		2,163
4.950% due 03/25/2036		3,086		2,974
Total Mortgage-Backed Securities (Cost $102,729)				94,228
ASSET-BACKED SECURITIES 10.2%
AFC Home Equity Loan Trust
3.032% due 06/25/2028		369		169
Asset-Backed Funding Certificates
2.542% due 01/25/2037		970		941
Asset-Backed Securities Corp. Home Equity
2.642% due 05/25/2035		95		94
Bear Stearns Asset-Backed Securities Trust
2.572% due 06/25/2047		903		875
Chase Funding Mortgage Loan Asset-Backed Certificates
3.222% due 10/25/2032		256		235
Citigroup Mortgage Loan Trust, Inc.
2.532% due 11/25/2036		241		237
2.542% due 05/25/2037		7,652		7,259
2.542% due 07/25/2045		8,110		7,539
Countrywide Asset-Backed Certificates
2.552% due 06/25/2037		3,294		3,239
CS First Boston Mortgage Securities Corp.
3.102% due 01/25/2032		323		297
First NLC Trust
2.552% due 08/25/2037		4,203		3,944
First USA Credit Card Master Trust
2.641% due 04/18/2011		4,800		4,800
Fremont Home Loan Trust
2.532% due 10/25/2036		2,720		2,655
GSAMP Trust
2.602% due 12/25/2035		238		237
GSR Mortgage Loan Trust
2.582% due 11/25/2030		66		65
HFC Home Equity Loan Asset-Backed Certificates
2.749% due 01/20/2035		1,716		1,592
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		759		728
JPMorgan Mortgage Acquisition Corp.
2.542% due 04/01/2037		1,730		1,637
2.552% due 11/25/2036		341		330
Lehman XS Trust
2.552% due 05/25/2046		312		300
Long Beach Mortgage Loan Trust
2.762% due 10/25/2034		49		41
Merrill Lynch Mortgage Investors, Inc.
2.552% due 08/25/2036		2,407		2,330
Morgan Stanley ABS Capital I
2.522% due 10/25/2036		574		566
Residential Asset Securities Corp.
2.552% due 11/25/2036		1,066		1,054
Saxon Asset Securities Trust
2.542% due 10/25/2046		476		466
Sears Credit Account Master Trust
2.691% due 04/16/2013		9,200		9,072
SLM Student Loan Trust
2.920% due 10/25/2016		1,668		1,659
3.393% due 07/25/2013		6,300		6,302
Specialty Underwriting & Residential Finance
2.512% due 06/25/2037		974		966
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		636		621
Total Asset-Backed Securities (Cost $62,365)				60,250
SOVEREIGN ISSUES 1.9%
Export-Import Bank of Korea
2.772% due 06/01/2009		2,400		2,379
2.960% due 11/16/2010		5,900		5,794
Hydro Quebec
2.560% due 09/29/2049		1,200		1,058
Korea Development Bank
2.938% due 11/22/2012		2,200		2,096
Total Sovereign Issues (Cost $11,530)				11,327
FOREIGN CURRENCY-DENOMINATED ISSUES 2.0%
Countrywide Home Loans, Inc.
5.305% due 11/24/2008	EUR	500		772
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	9,750		9,988
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	100,000		934
Total Foreign Currency-Denominated Issues (Cost $8,282)				11,694
	Shares
CONVERTIBLE PREFERRED STOCKS 3.7%
Bank of America Corp.
7.250% due 12/31/2049		11,000		9,724
Wachovia Corp.
7.500% due 12/31/2049		14,000		12,396
Total Convertible Preferred Stocks (Cost $25,000)				22,120
PREFERRED STOCKS 1.5%
DG Funding Trust
5.041% due 12/31/2049		913		9,110
Total Preferred Stocks (Cost $9,564)				9,110
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 11.6%
Commercial Paper 5.2%
Citibank N.A.
3.570% due 08/19/2008	$	16,100		16,022
Federal Home Loan Bank
2.000% due 07/01/2008		4,500		4,500
Westpac Trust Securities NZ Ltd.
2.770% due 09/18/2008		10,600		10,534
				31,056
Repurchase Agreements 5.2%
Deutsche Bank AG
1.500% due 07/01/2008		18,000		18,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $18,338. Repurchase proceeds are $18,001.)
Fixed Income Clearing Corp.
1.650% due 07/01/2008		12,500		12,500
(Dated 06/30/2008. Collateralized by Freddie Mac 0.000% due 09/26/2008 valued at $12,752. Repurchase proceeds are $12,501.)
				30,500
U.S. Treasury Bills 1.2%
1.764% due 08/28/2008 - 09/25/2008 (b)(c)(d)		7,200		7,165
Total Short-Term Instruments (Cost $68,730)				68,721
Purchased Options (h) 0.1% (Cost $2,399)				803
Total Investments 112.4% (Cost $684,639)			$	666,167
Written Options (i) (0.2%) (Premiums $2,443)				(1,300)
Other Assets and Liabilities (Net) (12.2%)				(72,350)
Net Assets 100.0%			$	592,517

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 $6,966 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) Securities with an aggregate market value of $199 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2008.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $112,952 at a weighted average interest rate of 2.538%. On June 30, 2008, securities valued at $111,652 were pledged as collateral for reverse repurchase agreements.

(f) Cash of $45,608 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	14	$	0
90-Day Euribor March Futures	Long	03/2009	13		0
90-Day Eurodollar December Futures	Long	12/2008	1,013		2,420
90-Day Eurodollar December Futures	Long	12/2009	62		(97)
90-Day Eurodollar June Futures	Long	06/2009	132		(103)
90-Day Eurodollar March Futures	Long	03/2009	697		788
90-Day Eurodollar March Futures	Long	03/2010	40		(61)
90-Day Eurodollar September Futures	Long	09/2008	84		27
90-Day Eurodollar September Futures	Long	09/2009	99		(82)
E-mini S&P 500 Index September Futures	Long	09/2008	9,484		(44,225)
S&P 500 Index September Futures	Short	09/2008	44		75
U.S. Treasury 10-Year Note September Futures	Long	09/2008	425		198
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	74		(79)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	14		(46)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	61		(71)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	117		(54)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	337		(209)
				$	(41,519)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
American Express Co. 4.875% due 07/15/2013	Sell	1.950	%	03/20/2013	CITI	$	1,600	$	15
American Express Co. 4.875% due 07/15/2013	Sell	2.060	%	03/20/2013	DUB		800		11
American International Group, Inc. 4.250% due 05/15/2013	Sell	0.780	%	12/20/2012	RBS		600		(32)
American International Group, Inc. 4.250% due 05/15/2013	Sell	0.910	%	12/20/2012	BOA		600		(29)
American International Group, Inc. 4.250% due 05/15/2013	Sell	0.930	%	12/20/2012	BOA		1,000		(47)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	Sell	0.850	%	03/20/2013	CSFB		1,500		(5)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	Sell	0.870	%	03/20/2013	RBS		1,500		(4)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	Sell	0.930	%	03/20/2013	DUB		1,800		0
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	Sell	1.000	%	03/20/2013	BCLY		600		2
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.980	%	01/20/2012	DUB		1,300		7
California State General Obligation Bonds, Series 2003 5.250% due 02/01/2018	Sell	0.470	%	12/20/2017	LEH		600		(2)
California State General Obligation Notes, Series 2005 5.000% due 03/01/2018	Sell	0.530	%	03/20/2018	GSC		1,400		0
CIT Group, Inc. 7.750% due 04/02/2012	Sell	5.750	%	03/20/2013	JPM		1,500		(73)
Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.530	%	09/20/2012	JPM		3,000		(86)
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	5.700	%	06/20/2009	DUB		1,100		25
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS		5,000		5
Fannie Mae 5.250% due 08/01/2012	Sell	0.670	%	12/20/2012	LEH		900		(31)
Fannie Mae 5.250% due 08/01/2012	Sell	0.675	%	12/20/2012	LEH		400		(14)
Fannie Mae 5.250% due 08/01/2012	Sell	0.700	%	12/20/2012	RBS		900		(30)
Fannie Mae 5.250% due 08/01/2012	Sell	0.785	%	12/20/2012	RBS		1,600		(47)
Fannie Mae 5.250% due 08/01/2012	Sell	0.840	%	12/20/2012	RBS		3,200		(87)
Fannie Mae 5.250% due 08/01/2012	Sell	0.950	%	12/20/2012	RBS		900		(21)
Fannie Mae 5.500% due 06/09/2033	Sell	0.440	%	12/20/2012	LEH		600		(4)
Fannie Mae 5.500% due 06/09/2033	Sell	0.445	%	12/20/2012	LEH		800		(5)
Fannie Mae 5.500% due 06/09/2033	Sell	0.510	%	12/20/2012	RBS		1,600		(6)
Fannie Mae 5.500% due 06/09/2033	Sell	0.520	%	03/20/2013	RBS		2,800		(12)
Fannie Mae 5.500% due 06/09/2033	Sell	0.615	%	03/20/2013	LEH		2,400		0
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.000	%	12/20/2008	LEH		200		(5)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.300	%	12/20/2008	LEH		200		(4)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	5.000	%	06/20/2009	CITI		1,600		(34)
Freddie Mac 5.080% due 02/07/2019	Sell	0.615	%	03/20/2013	LEH		3,000		0
Freddie Mac 5.080% due 02/07/2019	Sell	0.730	%	03/20/2013	RBS		1,500		7
Freddie Mac 5.080% due 02/07/2019	Sell	0.860	%	03/20/2013	BCLY		1,500		16
Freddie Mac 5.875% due 03/21/2011	Sell	0.850	%	12/20/2012	CSFB		600		(16)
Gannett Co., Inc. 6.375% due 04/01/2012	Sell	1.800	%	03/20/2013	UBS		600		(26)
Gannett Co., Inc. 6.375% due 04/01/2012	Sell	1.968	%	03/20/2013	BCLY		1,500		(56)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.950	%	01/20/2009	MSC		100		0
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.750	%	03/20/2013	MSC		2,300		(80)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.770	%	03/20/2013	BNP		1,400		(48)
General Motors Corp. 7.125% due 07/15/2013	Sell	1.810	%	09/20/2008	BEAR		5,100		(108)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	09/20/2008	RBS		3,100		(44)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	09/20/2009	DUB		3,800		(481)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.850	%	12/20/2012	BCLY		1,800		(569)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.880	%	12/20/2012	MLP		1,400		(442)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.900	%	12/20/2012	UBS		1,000		(315)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	03/20/2009	DUB		1,600		(64)
GMAC LLC 6.875% due 08/28/2012	Sell	1.850	%	09/20/2009	MLP		1,000		(156)
HSBC Finance Corp. 7.000% due 05/15/2012	Sell	1.800	%	03/20/2010	RBS		1,400		(7)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.000	%	03/20/2009	CITI		6,000		13
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008	RBS		700		(6)
MBIA, Inc.	Sell	2.800	%	12/20/2012	BOA		600		(254)
MBIA, Inc.	Sell	3.400	%	12/20/2012	DUB		600		(254)
MBIA, Inc. 6.625% due 10/01/2028	Sell	4.000	%	12/20/2012	BOA		600		(230)
MBIA, Inc. 6.625% due 10/01/2028	Sell	5.050	%	12/20/2012	WAC		600		(217)
MetLife, Inc. 5.000% due 06/15/2015	Sell	1.700	%	03/20/2013	JPM		1,000		27
MetLife, Inc. 5.000% due 06/15/2015	Sell	1.720	%	03/20/2013	LEH		2,200		60
MetLife, Inc. 5.000% due 06/15/2015	Sell	2.260	%	03/20/2013	LEH		1,800		90
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.270	%	03/20/2009	BCLY		3,000		5
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.390	%	01/20/2012	BCLY		5,000		(81)
Michigan State General Obligation Bonds, Series 2003 5.250% due 05/01/2020	Sell	0.400	%	12/20/2017	LEH		600		(12)
Michigan State General Obligation Notes, Series 2003 5.250% due 05/01/2017	Sell	0.440	%	03/20/2018	GSC		1,400		(24)
Multiple Reference Entities of Gazprom	Sell	1.430	%	12/20/2008	JPM		3,500		10
Multiple Reference Entities of Gazprom	Sell	0.360	%	05/20/2009	HSBC		1,000		(5)
Multiple Reference Entities of Gazprom	Sell	1.000	%	10/20/2011	DUB		3,200		(80)
Multiple Reference Entities of Gazprom	Sell	0.740	%	01/20/2012	BCLY		1,800		(64)
New York City, New York General Obligation Bonds, Series 2007 5.000% due 01/01/2026	Sell	0.420	%	12/20/2017	LEH		600		(4)
New York City, New York General Obligation Notes, Series 2007 5.000% due 01/01/2017	Sell	0.450	%	03/20/2018	GSC		1,400		(6)
Ohio State General Obligation Bonds, Series 2007 5.000% due 09/01/2020	Sell	0.300	%	12/20/2017	LEH		600		(1)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.600	%	03/20/2009	LEH		6,400		19
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008	LEH		1,200		1
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.320	%	03/20/2009	LEH		2,200		3
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	1.800	%	03/20/2013	BCLY		1,500		24
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	1.870	%	03/20/2013	CSFB		900		17
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	1.900	%	03/20/2013	RBS		600		12
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	1.960	%	03/20/2013	CSFB		2,500		56
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	2.350	%	03/20/2013	JPM		1,600		62
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	2.350	%	03/20/2013	RBS		600		23
Residential Capital LLC 6.500% due 04/17/2013	Sell	1.150	%	06/20/2009	LEH		6,000		(2,066)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	12/20/2008	LEH		1,200		(1)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.670	%	03/20/2009	GSC		2,800		10
SLM Corp. 5.125% due 08/27/2012	Sell	3.000	%	12/20/2008	BCLY		1,300		(14)
SLM Corp. 5.125% due 08/27/2012	Sell	3.000	%	12/20/2008	BOA		1,400		(15)
SLM Corp. 5.125% due 08/27/2012	Sell	4.500	%	03/20/2009	BNP		1,400		(7)
SLM Corp. 5.125% due 08/27/2012	Sell	4.550	%	03/20/2010	JPM		600		(9)
SLM Corp. 5.125% due 08/27/2012	Sell	4.600	%	03/20/2010	MLP		800		(12)
SLM Corp. 5.125% due 08/27/2012	Sell	2.860	%	12/20/2012	BOA		1,400		(88)
SLM Corp. 5.125% due 08/27/2012	Sell	4.930	%	03/20/2013	JPM		1,500		21
SLM Corp. 5.125% due 08/27/2012	Sell	5.025	%	03/20/2013	BOA		1,300		23
Wachovia Corp. 3.625% due 02/17/2009	Sell	1.630	%	03/20/2013	UBS		600		(12)
Wachovia Corp. 3.625% due 02/17/2009	Sell	1.700	%	03/20/2013	BNP		5,700		(94)
Wachovia Corp. 3.625% due 02/17/2009	Sell	1.700	%	03/20/2013	RBS		3,000		(50)
								$	(6,032)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	BCLY	$	1,800	$	9
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	GSC		200		0
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	LEH		200		2
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	MSC		300		1
Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012	CITI		4,968		(166)
Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012	CITI		1,193		(38)
Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012	MLP		1,100		(79)
Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012	MSC		1,100		(69)
Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	CITI		600		(37)
Dow Jones CDX N.A. HY8 Index	Sell	2.170	%	06/20/2012	MSC		500		(30)
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB		4,000		31
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		3,400		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		900		3
Dow Jones CDX N.A. IG10 Index	Sell	0.530	%	06/20/2013	DUB		1,000		0
								$	(373)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA	$	127,100	$	(593)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		30,700		(227)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		10,600		(80)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MSC		52,100		(360)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		15,300		(68)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		6,800		(20)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		7,200		18
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		28,600		31
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		40,400		(337)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		6,200		(70)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	LEH		7,400		(214)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		3,400		(59)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	2,300		(55)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146	%	10/15/2010	UBS		1,000		(20)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM		1,200		(71)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		27,000		(1,487)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		700		(41)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY		300		(17)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		300		(18)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS	GBP	3,500		(35)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		19,700		(310)
Pay	6-Month GBP-LIBOR	4.500	%	09/20/2009	LEH		800		(37)
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC		1,600		15
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	CSFB		2,400		238
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	DUB		4,000		23
Receive	6-Month GBP-LIBOR	5.000	%	12/19/2037	GSC		200		(16)
Receive	30-Day USD-CMM Rate	5.000	%	02/20/2009	MLP	$	5,900		319
Pay	BRL-CDI-Compounded	11.360	%	01/04/2010	BCLY	BRL	4,400		(121)
Pay	BRL-CDI-Compounded	11.430	%	01/04/2010	MLP		2,900		(77)
Pay	BRL-CDI-Compounded	11.465	%	01/04/2010	GSC		1,100		(29)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC		2,000		(22)
Pay	BRL-CDI-Compounded	12.948	%	01/04/2010	MLP		1,800		(14)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		2,100		(92)
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP	$	2,700		(10)
								$	(3,856)

Interest Rate Basis Swaps

Receive	Pay	Expiration Date	Counterparty	Notional Amount	Unrealized (Depreciation)
FFR plus 0.700%	3-Month USD-LIBOR	09/18/2008	BOA	116,900	$	(13)
FFR plus 0.700%	3-Month USD-LIBOR	09/18/2008	CITI	49,100		(6)
FFR plus 0.700%	3-Month USD-LIBOR	12/17/2008	CITI	24,600		0
					$	(19)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	111.000	08/22/2008	1,030	$	35	$	16
Put - CBOT U.S. Treasury 10-Year Note September Futures		90.000	08/22/2008	166		3		3
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	567		10		8
Put - CME S&P 500 Index September Futures		600.000	09/18/2008	959		27		0
Put - CME S&P 500 Index September Futures		625.000	09/18/2008	1,037		30		0
					$	105	$	27

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	36,900	$	412	$	175
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,300		14		6
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		300		3		1
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,200		12		6
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		101,300		890		270
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		70,200		758		205
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		13,800		133		74
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		2,600		27		12
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		2,700		29		19
									$	2,278	$	768

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC British Pound versus U.S. dollar	$	2.090	07/24/2008	GBP	3,000	$	0	$	2

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Treasury Inflation Protected Securities 3.125% due 11/15/2009	$	103.500	10/10/2008	$	4,900	$	1	$	1
Call - OTC Treasury Inflation Protected Securities 3.250% due 12/15/2009		104.250	09/04/2008		3,100		0		0
Call - OTC U.S. Treasury Note 2.125% due 04/30/2010		103.000	09/04/2008		124,400		15		5
Put - OTC Fannie Mae 6.000% due 08/01/2038		90.000	08/06/2008		2,000		0		0
Put - OTC Freddie Mac 6.000% due 09/01/2038		88.500	09/04/2008		2,800		0		0
						$	16	$	6

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	181	$	103	$	67
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	181		165		58
					$	268	$	125

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009	$	1,900	$	41	$	29
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009		11,400		366		247
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		300		8		4
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		200		7		4
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		100		3		2
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		400		13		8
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		33,800		842		442
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		23,400		705		315
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		6,000		133		86
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		900		29		17
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		900		28		21
									$	2,175	$	1,175

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

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Bank Mart	4.567	%	03/01/2019	07/07/1995 - 06/12/1997	$	568	$	511	0.09	%

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
U.S. Treasury Notes	2.125	%	04/30/2010	$	124,400	$	122,807	$	124,103
U.S. Treasury Notes	3.125	%	11/30/2009		4,900		4,931		4,971
U.S. Treasury Notes	3.250	%	12/31/2009		3,100		3,119		3,145
						$	130,857	$	132,219

⁽³⁾ Market value includes $563 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	AED	699	04/2009	$	0	$	(2)	$	(2)
Buy	AUD	331	07/2008		2		0		2
Buy	BRL	59,384	07/2008		7,176		0		7,176
Sell		59,384	07/2008		0		(2,399)		(2,399)
Buy		32,271	12/2008		1,321		0		1,321
Sell		10,366	12/2008		0		(506)		(506)
Buy	CNY	12,130	11/2008		23		0		23
Sell	EUR	3,501	07/2008		0		(56)		(56)
Sell	GBP	8,312	08/2008		0		(91)		(91)
Buy	IDR	7,136,000	10/2008		7		0		7
Buy	INR	22,858	08/2008		0		(48)		(48)
Buy		76,833	11/2008		0		(150)		(150)
Sell	JPY	236,955	07/2008		0		(37)		(37)
Buy	KRW	4,952,780	08/2008		0		(625)		(625)
Sell		4,952,780	08/2008		12		(3)		9
Buy	KWD	53	04/2009		0		(2)		(2)
Buy	MXN	50,265	07/2008		348		0		348
Sell		50,265	07/2008		0		(231)		(231)
Buy	MYR	7,285	11/2008		0		(32)		(32)
Buy		5,315	02/2009		0		(34)		(34)
Sell	NZD	12,853	07/2008		0		(61)		(61)
Buy	PHP	146,813	08/2008		0		(88)		(88)
Buy	PLN	17,125	07/2008		1,785		0		1,785
Sell		17,125	07/2008		0		(1,182)		(1,182)
Buy	RUB	153,195	07/2008		349		0		349
Sell		153,195	07/2008		0		(298)		(298)
Buy		65,045	11/2008		135		0		135
Sell		26,636	11/2008		0		(73)		(73)
Buy		5,797	05/2009		3		0		3
Sell		38,409	05/2009		0		(31)		(31)
Buy	SAR	717	04/2009		0		(2)		(2)
Buy	SGD	9,930	11/2008		99		0		99
Buy	ZAR	965	07/2008		0		(20)		(20)
Sell		965	07/2008		0		(3)		(3)
Buy		965	12/2008		4		0		4
				$	11,264	$	(5,974)	$	5,290

(m) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0		$	662,683		$	3,484		$	666,167
Other Financial Instruments++		(41,519	)		(136,054	)		(1,892	)		(179,465	)
Total	$	(41,519	)	$	526,629		$	1,592		$	486,702

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

	Beginning balance at 03/31/2008			Net purchases/ (sales)			Accrued discounts/ (premiums)		Total realized and unrealized gains/(losses)			Net transfers in/(out) of Level 3			Ending balance at 06/30/2008
Investments, at value	$	5,181		$	(311	)	$	32	$	(681	)	$	(737	)	$	3,484
Other Financial Instruments++		(860	)		0			0		(1,032	)		0			(1,892	)
Total	$	4,321		$	(311	)	$	32	$	(1,713	)	$	(737	)	$	1,592

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

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

See Accompanying Notes

Schedule of Investments

StocksPLUS^® Long Duration Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 52.5%
Banking & Finance 19.8%
ABX Financing Co.
6.350% due 10/15/2036	$	300	$	285
American International Group, Inc.
6.250% due 05/01/2036		800		701
Bank of America N.A.
6.000% due 10/15/2036		1,300		1,157
Barclays Bank PLC
7.700% due 04/29/2049		300		307
BNP Paribas
5.186% due 06/29/2049		700		609
Citigroup Funding, Inc.
3.820% due 05/07/2010		600		596
Citigroup, Inc.
5.875% due 05/29/2037		800		683
6.125% due 08/25/2036		600		510
6.625% due 06/15/2032		600		550
8.400% due 04/29/2049		500		476
Credit Suisse USA, Inc.
2.559% due 11/20/2009		300		296
2.775% due 11/20/2009		300		297
General Electric Capital Corp.
6.750% due 03/15/2032		1,400		1,416
Goldman Sachs Group, Inc.
5.950% due 01/18/2018		1,100		1,059
6.125% due 02/15/2033		880		792
6.750% due 10/01/2037		300		276
HBOS PLC
6.750% due 05/21/2018		500		479
HSBC Bank USA N.A.
5.875% due 11/01/2034		170		149
HSBC Holdings PLC
6.500% due 09/15/2037		1,600		1,465
John Deere Capital Corp.
3.536% due 06/10/2011		1,200		1,200
JPMorgan Chase & Co.
6.400% due 05/15/2038		400		373
JPMorgan Chase Capital XXII
6.450% due 02/02/2037		1,700		1,464
Lehman Brothers Holdings, Inc.
7.500% due 05/11/2038		500		466
Merrill Lynch & Co., Inc.
6.110% due 01/29/2037		200		159
Morgan Stanley
4.778% due 05/14/2010		600		598
6.625% due 04/01/2018		400		380
7.250% due 04/01/2032		400		387
Rabobank Capital Funding Trust
5.254% due 12/29/2049		1,300		1,119
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		1,100		1,065
UBS AG
5.875% due 12/20/2017		100		98
UBS Preferred Funding Trust V
6.243% due 05/12/2049		1,000		878
Wachovia Bank N.A.
3.619% due 05/14/2010		600		597
5.850% due 02/01/2037		500		400
6.600% due 01/15/2038		300		262
Wachovia Corp.
2.732% due 12/01/2009		600		588
Wells Fargo & Co.
5.375% due 02/07/2035		200		174
Wells Fargo Bank N.A.
5.950% due 08/26/2036		600		564
				22,875
Industrials 16.6%
Amgen, Inc.
6.375% due 06/01/2037		700		671
6.900% due 06/01/2038		100		103
Anadarko Petroleum Corp.
6.450% due 09/15/2036		1,200		1,190
Anheuser-Busch Cos., Inc.
6.450% due 09/01/2037		700		672
AstraZeneca PLC
6.450% due 09/15/2037		500		512
Canadian National Railway Co.
6.375% due 11/15/2037		100		99
Canadian Natural Resources Ltd.
6.250% due 03/15/2038		1,100		1,038
Comcast Corp.
6.500% due 11/15/2035		200		191
6.950% due 08/15/2037		600		593
7.050% due 03/15/2033		1,200		1,225
ConocoPhillips Canada Funding Co.
5.950% due 10/15/2036		900		900
CSX Corp.
6.150% due 05/01/2037		600		505
Devon Energy Corp.
7.950% due 04/15/2032		400		477
Devon Financing Corp. ULC
7.875% due 09/30/2031		600		711
EnCana Corp.
6.500% due 08/15/2034		600		592
Energy Transfer Partners LP
6.625% due 10/15/2036		300		280
Enterprise Products Operating LP
5.750% due 03/01/2035		100		85
GlaxoSmithKline Capital, Inc.
6.375% due 05/15/2038		600		598
Kinder Morgan Energy Partners LP
5.800% due 03/15/2035		400		349
6.950% due 01/15/2038		100		100
Marathon Oil Corp.
6.600% due 10/01/2037		100		99
ONEOK Partners LP
6.850% due 10/15/2037		300		295
Philip Morris International, Inc.
6.375% due 05/16/2038		500		489
Suncor Energy, Inc.
6.500% due 06/15/2038		700		683
6.850% due 06/01/2039		300		308
Target Corp.
6.500% due 10/15/2037		100		97
7.000% due 01/15/2038		200		206
Teva Pharmaceutical Finance LLC
6.150% due 02/01/2036		600		578
Time Warner Cable, Inc.
6.550% due 05/01/2037		1,000		926
Time Warner, Inc.
6.500% due 11/15/2036		800		716
TransCanada Pipelines Ltd.
6.200% due 10/15/2037		100		92
United Technologies Corp.
6.125% due 07/15/2038		700		707
Valero Energy Corp.
6.625% due 06/15/2037		300		276
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		400		395
6.500% due 08/15/2037		800		827
Wyeth
5.950% due 04/01/2037		700		679
XTO Energy, Inc.
6.100% due 04/01/2036		290		277
6.750% due 08/01/2037		700		713
				19,254
Utilities 16.1%
AEP Texas Central Co.
6.650% due 02/15/2033		300		290
Alabama Power Co.
6.125% due 05/15/2038		500		507
Appalachian Power Co.
6.700% due 08/15/2037		700		671
AT&T Corp.
8.000% due 11/15/2031		2,500		2,884
AT&T, Inc.
6.500% due 09/01/2037		200		195
British Telecommunications PLC
9.125% due 12/15/2030		600		724
Deutsche Telekom International Finance BV
8.750% due 06/15/2030		1,000		1,152
Duke Energy Carolinas LLC
6.450% due 10/15/2032		700		714
Enel Finance International S.A.
6.800% due 09/15/2037		500		507
FirstEnergy Corp.
7.375% due 11/15/2031		700		765
Florida Power Corp.
6.350% due 09/15/2037		400		409
France Telecom S.A.
8.500% due 03/01/2031		900		1,094
MidAmerican Energy Holdings Co.
5.950% due 05/15/2037		400		377
6.500% due 09/15/2037		1,100		1,117
Pacific Gas & Electric Co.
6.050% due 03/01/2034		900		872
6.350% due 02/15/2038		200		201
Progress Energy, Inc.
7.750% due 03/01/2031		100		115
PSEG Power LLC
8.625% due 04/15/2031		400		484
Sierra Pacific Power Co.
6.750% due 07/01/2037		1,000		984
Southern California Edison Co.
5.625% due 02/01/2036		600		571
6.000% due 01/15/2034		300		300
Sprint Capital Corp.
8.750% due 03/15/2032		600		573
Telecom Italia Capital S.A.
7.200% due 07/18/2036		800		777
Telefonica Emisones SAU
7.045% due 06/20/2036		800		825
Verizon Communications, Inc.
5.850% due 09/15/2035		900		798

Virginia Electric and Power Co.
6.000% due 05/15/2037		760		712
				18,618
Total Corporate Bonds & Notes (Cost $63,815)				60,747
MUNICIPAL BONDS & NOTES 1.6%
California State General Obligation Bonds, Series 2007
5.000% due 11/01/2037		200		196
Connecticut State General Obligation Bonds, Series 2008
5.850% due 03/15/2032		200		208
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
0.000% due 06/01/2037 (b)		170		99
Los Angeles, California Community College District General Obligation Bonds, (FGIC Insured), Series 2007
5.000% due 08/01/2032		300		303
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 07/01/2037		200		201
New York State Urban Development Corp. Revenue Bonds, Series 2008
5.000% due 12/15/2027		300		310
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		100		83
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		200		191
Waco, Texas Educational Finance Corp. Revenue Bonds, Series 2008
5.000% due 03/01/2036		200		200
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		100		89
Total Municipal Bonds & Notes (Cost $1,872)				1,880
U.S. GOVERNMENT AGENCIES 22.9%
Fannie Mae
2.682% due 10/27/2037		400		383
5.500% due 05/01/2037 - 03/01/2038		5,895		5,819
6.000% due 05/01/2037 - 05/01/2038		13,873		14,017
6.210% due 08/06/2038		500		570
Federal Home Loan Bank
4.250% due 12/18/2009		1,400		1,410
5.250% due 09/12/2014		900		946
Ginnie Mae
5.500% due 10/20/2037		310		268
Small Business Administration
5.290% due 12/01/2027		389		387
Tennessee Valley Authority
4.500% due 04/01/2018		700		686
4.875% due 01/15/2048		400		376
5.500% due 06/15/2038		1,600		1,650
Total U.S. Government Agencies (Cost $26,624)				26,512
U.S. TREASURY OBLIGATIONS 0.4%
U.S. Treasury Strips
0.000% due 05/15/2026		600		258
0.000% due 11/15/2028		600		230
0.000% due 02/15/2036		200		57
Total U.S. Treasury Obligations (Cost $551)				545
MORTGAGE-BACKED SECURITIES 1.2%
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		700		654
Structured Asset Mortgage Investments, Inc.
2.702% due 05/25/2036		314		220
Thornburg Mortgage Securities Trust
2.582% due 03/25/2037		83		78
Wells Fargo Mortgage-Backed Securities Trust
4.515% due 11/25/2033		418		415
Total Mortgage-Backed Securities (Cost $1,486)				1,367
ASSET-BACKED SECURITIES 1.7%
Chase Issuance Trust
3.121% due 11/15/2011		600		602
3.371% due 05/16/2011		300		301
Ford Credit Auto Owner Trust
3.371% due 01/15/2011		600		602
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		468		448
Total Asset-Backed Securities (Cost $1,963)				1,953
FOREIGN CURRENCY-DENOMINATED ISSUES 1.7%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	3,750		1,988
Total Foreign Currency-Denominated Issues (Cost $2,149)				1,988
	Shares
CONVERTIBLE PREFERRED STOCKS 0.5%
American International Group, Inc.
8.500% due 08/01/2011		9,300		551
Total Convertible Preferred Stocks (Cost $698)				551
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 11.0%
Commercial Paper 6.6%
Bank of America Corp.
2.920% due 08/26/2008	$	1,200		1,195
UBS Finance Delaware LLC
2.635% due 09/03/2008		300		298
2.650% due 09/10/2008		1,700		1,691
Unicredito Italiano SpA
3.030% due 08/06/2008		900		897
Westpac Banking Corp.
2.710% due 08/06/2008		3,500		3,490
				7,571
Repurchase Agreements 2.7%
Deutsche Bank AG
1.500% due 07/01/2008		2,000		2,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $2,038. Repurchase proceeds are $2,000.)
State Street Bank and Trust Co.
1.650% due 07/01/2008		1,148		1,148
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $1,175. Repurchase proceeds are $1,148.)
				3,148
U.S. Treasury Bills 1.7%
1.712% due 09/11/2008 - 09/25/2008 (a)(c)		2,000		1,987
Total Short-Term Instruments (Cost $12,712)				12,706
Purchased Options (g) 0.0% (Cost $6)				5
Total Investments 93.5%			$	108,254
(Cost $111,876)
Written Options (h) (0.0%)				0
(Premiums $1)
Other Assets and Liabilities (Net) 6.5%				7,506
Net Assets 100.0%			$	115,760

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) Security becomes interest bearing at a future date.

(c) Securities with an aggregate market value of $1,987 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $254 at a weighted average interest rate of 3.200%. On June 30, 2008, there were no open reverse repurchase agreements.

(e) Cash of $7,426 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	48	$	67
90-Day Eurodollar June Futures	Long	06/2009	33		(13	)
90-Day Eurodollar March Futures	Long	03/2009	154		372
E-mini S&P 500 Index September Futures	Short	09/2008	59		233
S&P 500 Index September Futures	Long	09/2008	292		(7,441	)
U.S. Treasury 5-Year Note September Futures	Short	09/2008	69		(6	)
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	172		304
				$	(6,484	)

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

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	BOA	$	12,300	$	(29	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	DUB		6,300		(17	)
Pay	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		600		10
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	DUB		1,900		23
Pay	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		200		4
Pay	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		800		16
Pay	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		3,400		59
								$	66

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(1)	Expiration Date	Counterparty	# of Shares/ Units	Unrealized (Depreciation)
Receive	S&P 500 Index	1-Month USD-LIBOR less 0.100%	09/08/2008	CSFB	20,598	$	(1,673	)

⁽¹⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 5-Year Note September Futures	$	127.500	08/22/2008	69	$	1	$	1
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	43		1		1
Put - CBOT U.S. Treasury 30-Year Bond September Futures		92.000	08/22/2008	234		4		3
Put - CME S&P 500 Index September Futures		625.000	09/18/2008	20		0		0
					$	6	$	5

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 30-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	07/25/2008	$	100	$	0	$	0
Put - OTC 30-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.400	%	07/25/2008		100		1		0
									$	1	$	0

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	456	07/2008	$	3	$	0		$	3
Buy	BRL	3,668	07/2008		127		0			127
Sell		3,668	07/2008		0		(187	)		(187	)
Buy		551	12/2008		33		0			33
Sell		2,983	12/2008		0		(50	)		(50	)
Sell	GBP	443	08/2008		0		(5	)		(5	)
Buy	KRW	137,820	08/2008		0		(20	)		(20	)
Sell		137,820	08/2008		0		0			0
Buy	MXN	9,561	07/2008		63		0			63
Sell		9,562	07/2008		0		(17	)		(17	)
Buy		3,536	11/2008		3		0			3
Buy	PLN	2,531	07/2008		220		0			220
Sell		2,531	07/2008		0		(36	)		(36	)
Buy		2,514	05/2009		34		0			34
Buy	RUB	3,772	07/2008		11		0			11
Sell		3,772	07/2008		0		(2	)		(2	)
Buy		17,393	11/2008		38		0			38
Sell		5,969	11/2008		0		(3	)		(3	)
Buy		3,772	05/2009		4		0			4
Buy	SGD	1,266	11/2008		9		0			9
				$	545	$	(320	)	$	225

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 06/30/2008
Investments, at value	$	551		$	107,703		$	0	$	108,254
Other Financial Instruments++		(6,484	)		(1,382	)		0		(7,866	)
Total	$	(5,933	)	$	106,321		$	0	$	100,388

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)		Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	379	$	0	$	1	$	3	$	(383	)	$	0
Other Financial Instruments++		0		0		0		0		0			0
Total	$	379	$	0	$	1	$	3	$	(383	)	$	0

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

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

See Accompanying Notes

Schedule of Investments

StocksPLUS^® Total Return Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.8%
Daimler Finance North America LLC
6.780% due 08/03/2012	$	1,985	$	1,644
Fresenius Medical Care Capital Trust
4.019% due 03/22/2013		23		23
4.071% due 03/22/2013		250		244
4.091% due 03/22/2013		11		11
4.184% due 03/22/2013		81		79
Total Bank Loan Obligations (Cost $2,265)				2,001
CORPORATE BONDS & NOTES 33.1%
Banking & Finance 26.5%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		300		299
American Express Bank FSB
5.500% due 04/16/2013		500		490
6.000% due 09/13/2017		1,000		968
American Express Centurion Bank
6.000% due 09/13/2017		1,000		968
American Express Credit Corp.
5.875% due 05/02/2013		300		299
American General Finance Corp.
6.900% due 12/15/2017		900		787
American International Group, Inc.
5.050% due 10/01/2015		100		91
5.850% due 01/16/2018		2,300		2,162
Bank of America Corp.
2.904% due 11/06/2009		400		396
5.375% due 09/11/2012		900		903
8.000% due 12/29/2049		6,600		6,199
8.125% due 12/29/2049		2,300		2,177
Barclays Bank PLC
5.450% due 09/12/2012		6,000		6,078
6.050% due 12/04/2017		600		590
Bear Stearns Cos., Inc.
3.199% due 01/30/2009		700		698
BNP Paribas
5.186% due 06/29/2049		1,200		1,045
Calabash Re Ltd.
11.214% due 01/08/2010		700		700
13.714% due 01/08/2010		800		822
Citigroup Capital XXI
8.300% due 12/21/2057		400		379
Citigroup, Inc.
5.500% due 04/11/2013		1,200		1,173
6.000% due 08/15/2017		1,900		1,818
6.125% due 08/25/2036		1,200		1,019
8.400% due 04/29/2049		2,800		2,665
DnB NOR Bank ASA
2.780% due 10/13/2009		600		600
Export-Import Bank of China
4.875% due 07/21/2015		100		97
General Electric Capital Corp.
5.875% due 01/14/2038		500		455
GMAC LLC
6.000% due 12/15/2011		100		69
Goldman Sachs Group, Inc.
6.150% due 04/01/2018		400		389
6.250% due 09/01/2017		1,200		1,190
6.750% due 10/01/2037		3,300		3,031
HBOS PLC
5.920% due 09/29/2049		100		71
HSBC Finance Corp.
2.866% due 03/12/2010		1,000		972
JPMorgan Chase & Co.
2.532% due 06/26/2009		500		499
6.000% due 01/15/2018		400		391
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		1,300		1,267
JPMorgan Chase Capital XX
6.550% due 09/29/2036		100		87
Lehman Brothers Holdings, Inc.
6.200% due 09/26/2014		1,800		1,722
Merrill Lynch & Co., Inc.
6.050% due 08/15/2012		1,200		1,176
6.875% due 04/25/2018		1,000		955
MetLife, Inc.
6.400% due 12/15/2036		300		263
Morgan Stanley
2.521% due 11/21/2008		500		498
4.778% due 05/14/2010		700		698
Mystic Re Ltd.
8.982% due 12/05/2008		800		783
National Australia Bank Ltd.
5.350% due 06/12/2013		400		400
Petroleum Export Ltd.
5.265% due 06/15/2011		69		68
Principal Life Income Funding Trusts
5.550% due 04/27/2015		500		494
Resona Bank Ltd.
5.850% due 09/29/2049		200		172
SLM Corp.
3.060% due 07/27/2009		400		375
State Street Capital Trust IV
3.776% due 06/15/2037		100		77
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		1,100		989
Sun Life Financial Global Funding LP
2.978% due 07/06/2010		2,500		2,489
TNK-BP Finance S.A.
6.125% due 03/20/2012		100		95
U.S. Bancorp
3.184% due 02/04/2010		2,600		2,601
UBS AG
5.750% due 04/25/2018		200		191
5.875% due 12/20/2017		400		390
USB Capital IX
6.189% due 04/15/2049		100		76
Wachovia Corp.
7.980% due 12/31/2049		11,000		10,132
				66,488
Industrials 4.9%
Anadarko Petroleum Corp.
3.176% due 09/15/2009		800		791
AstraZeneca PLC
5.900% due 09/15/2017		300		308
6.450% due 09/15/2037		200		205
CODELCO, Inc.
6.150% due 10/24/2036		100		96
Daimler Finance North America LLC
3.138% due 03/13/2009		300		299
HJ Heinz Co.
6.428% due 12/01/2020		100		101
International Business Machines Corp.
5.700% due 09/14/2017		5,800		5,905
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		1,300		1,271
Kraft Foods, Inc.
6.125% due 02/01/2018		500		488
Peabody Energy Corp.
7.875% due 11/01/2026		100		101
Philip Morris International, Inc.
6.375% due 05/16/2038		200		196
Rohm & Haas Co.
6.000% due 09/15/2017		400		391
Time Warner, Inc.
2.915% due 11/13/2009		600		583
Transocean, Inc.
2.873% due 09/05/2008		500		499
Union Pacific Corp.
5.700% due 08/15/2018		800		783
UnitedHealth Group, Inc.
4.875% due 02/15/2013		300		291
				12,308
Utilities 1.7%
Enel Finance International S.A.
6.800% due 09/15/2037		2,200		2,230
Ipalco Enterprises, Inc.
8.625% due 11/14/2011		600		627
Qwest Corp.
7.625% due 06/15/2015		500		484
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		300		255
Telefonica Emisones SAU
3.102% due 06/19/2009		700		696
				4,292
Total Corporate Bonds & Notes (Cost $86,090)				83,088
MUNICIPAL BONDS & NOTES 1.8%
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047		3,100		2,645
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		700		712
San Diego, California Tobacco Settlement Revenue Funding Corp. Revenue Bonds, Series 2006
7.125% due 06/01/2032		290		265
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		400		383
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		590		527
Total Municipal Bonds & Notes (Cost $4,759)				4,532
COMMODITY INDEX-LINKED NOTES 0.4%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		1,000		993
Total Commodity Index-Linked Notes (Cost $1,000)				993
U.S. GOVERNMENT AGENCIES 97.5%
Fannie Mae
2.542% due 12/25/2036		289		279
2.602% due 03/25/2034		190		184
2.832% due 03/25/2044		714		698
2.882% due 11/25/2032		68		68
3.895% due 08/01/2033		95		96
4.345% due 09/01/2033 (d)		830		846
4.666% due 05/25/2035		97		98
4.794% due 05/01/2036		13		13
4.880% due 06/01/2033		234		238
4.994% due 07/01/2044		109		109
5.000% due 11/01/2017 - 06/01/2037		15,280		15,147
5.000% due 08/01/2035 - 03/01/2038 (d)		9,076		8,717
5.279% due 01/01/2036 (d)		324		330
5.478% due 12/01/2036		58		58
5.500% due 01/01/2021 - 07/01/2038		8,845		8,826
5.500% due 10/01/2032 - 06/01/2037 (d)		68,036		67,273
5.529% due 09/01/2034		65		65
6.000% due 08/01/2036 - 05/01/2038 (d)		91,797		92,740
6.000% due 09/01/2036 - 07/01/2038		1,579		1,595
6.500% due 10/01/2035 - 10/01/2037 (d)		8,175		8,428
6.500% due 06/01/2036 - 10/01/2037		566		583
7.000% due 09/01/2013		7		7
Freddie Mac
2.621% due 07/15/2019 - 10/15/2020 (d)		10,488		10,283
2.701% due 02/15/2019 (d)		3,791		3,717
4.210% due 03/01/2034 (d)		402		406
4.994% due 02/25/2045		60		56
5.500% due 08/15/2030 - 07/01/2038		2,242		2,209
5.500% due 03/01/2037 - 01/01/2038 (d)		11,667		11,507
6.669% due 02/01/2024		19		20
8.000% due 01/01/2017		21		22
Ginnie Mae
5.375% due 03/20/2027		3		3
6.000% due 05/15/2033 - 09/15/2037		7,555		7,682
8.000% due 02/15/2030		2		2
Small Business Administration
4.750% due 07/01/2025		1,112		1,074
5.520% due 06/01/2024		1,135		1,148
Total U.S. Government Agencies (Cost $245,525)				244,527
MORTGAGE-BACKED SECURITIES 11.8%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		267		239
Banc of America Commercial Mortgage, Inc.
5.929% due 05/10/2045		400		391
Banc of America Funding Corp.
4.110% due 05/25/2035		469		439
6.141% due 01/20/2047		504		410
Banc of America Mortgage Securities, Inc.
6.500% due 10/25/2031		112		113
6.500% due 09/25/2033		40		39
Bear Stearns Adjustable Rate Mortgage Trust
4.593% due 01/25/2034		144		132
5.033% due 04/25/2033		6		6
6.854% due 01/25/2034		8		8
Bear Stearns Alt-A Trust
2.642% due 02/25/2034		511		368
5.372% due 05/25/2035		988		847
5.701% due 09/25/2035		214		176
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		151		147
Countrywide Alternative Loan Trust
2.662% due 05/25/2047		493		346
6.000% due 10/25/2033		104		100
Countrywide Home Loan Mortgage Pass-Through Trust
4.720% due 02/20/2035		1,151		1,125
4.799% due 11/25/2034		643		619
5.250% due 02/20/2036		141		124
CS First Boston Mortgage Securities Corp.
5.550% due 05/25/2032		2		2
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.562% due 02/25/2037		1,540		1,450
First Horizon Asset Securities, Inc.
5.368% due 08/25/2035		366		350
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		529		466
2.562% due 01/25/2047		655		622
GSR Mortgage Loan Trust
4.519% due 06/25/2034		352		325
5.248% due 11/25/2035		671		631
6.000% due 03/25/2032		1		1
Harborview Mortgage Loan Trust
3.938% due 06/19/2034		9,900		8,848
Impac CMB Trust
3.392% due 07/25/2033		72		64
Indymac Index Mortgage Loan Trust
5.044% due 12/25/2034		198		172
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		1,300		1,207
JPMorgan Mortgage Trust
5.020% due 02/25/2035		388		366
MASTR Asset Securitization Trust
5.500% due 09/25/2033		36		34
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		227		182
4.910% due 12/25/2032		16		15
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		170		147
3.482% due 10/25/2035		113		105
4.546% due 01/25/2029		107		106
Morgan Stanley Dean Witter Capital I
5.500% due 04/25/2017		1		1
Prime Mortgage Trust
2.882% due 02/25/2019		15		14
2.882% due 02/25/2034		93		85
Salomon Brothers Mortgage Securities VII, Inc.
4.000% due 12/25/2018		409		382
Structured Adjustable Rate Mortgage Loan Trust
5.537% due 08/25/2035		226		202
Structured Asset Mortgage Investments, Inc.
2.732% due 07/19/2035		497		413
Structured Asset Securities Corp.
5.432% due 10/25/2035		442		404
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		463		444
WaMu Mortgage Pass-Through Certificates
2.772% due 10/25/2045		107		83
3.122% due 12/25/2027		1,133		1,074
4.361% due 02/27/2034		63		58
4.528% due 02/25/2046		364		268
4.728% due 11/25/2042		71		66
4.928% due 08/25/2042		48		43
Wells Fargo Mortgage-Backed Securities Trust
4.945% due 01/25/2035		804		781
4.950% due 03/25/2036		602		580
4.992% due 10/25/2035		4,099		4,039
Total Mortgage-Backed Securities (Cost $31,959)				29,659
ASSET-BACKED SECURITIES 12.4%
ACE Securities Corp.
2.532% due 12/25/2036		165		158
Amortizing Residential Collateral Trust
2.772% due 07/25/2032		18		15
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		202		200
2.642% due 05/25/2035		25		25
Bear Stearns Asset-Backed Securities Trust
2.532% due 11/25/2036		531		506
2.562% due 10/25/2036		218		210
Carrington Mortgage Loan Trust
2.532% due 01/25/2037		1,878		1,818
Chase Credit Card Master Trust
2.581% due 02/15/2011		1,000		999
Chase Issuance Trust
3.371% due 05/16/2011		2,500		2,512
Countrywide Asset-Backed Certificates
2.532% due 05/25/2037		4,226		4,118
2.532% due 05/25/2047		288		281
2.562% due 06/25/2037		418		411
2.962% due 12/25/2031		84		64
CS First Boston Mortgage Securities Corp.
3.102% due 01/25/2032		16		15
First Franklin Mortgage Loan Asset-Backed Certificates
2.532% due 11/25/2036		755		725
2.532% due 12/25/2036		352		343
2.552% due 12/25/2037		2,052		2,022
First USA Credit Card Master Trust
2.641% due 04/18/2011		1,600		1,600
Fremont Home Loan Trust
2.532% due 10/25/2036		1,471		1,436
2.542% due 01/25/2037		368		348
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		258		253
JPMorgan Mortgage Acquisition Corp.
2.532% due 07/25/2036		530		515
2.532% due 10/25/2036		1,830		1,791
Lehman XS Trust
2.552% due 05/25/2046		98		94
Long Beach Mortgage Loan Trust
2.522% due 11/25/2036		1,379		1,339
2.762% due 10/25/2034		12		10
MASTR Asset-Backed Securities Trust
2.542% due 11/25/2036		443		433
Merrill Lynch Mortgage Investors, Inc.
2.512% due 06/25/2037		206		204
2.552% due 08/25/2036		920		891
Morgan Stanley ABS Capital I
2.532% due 10/25/2036		172		166
Nationstar Home Equity Loan Trust
2.602% due 04/25/2037		1,824		1,788
Option One Mortgage Loan Trust
2.532% due 07/25/2036		60		59
Residential Asset Mortgage Products, Inc.
2.552% due 11/25/2036		456		449
2.582% due 08/25/2046		1,699		1,641
SLM Student Loan Trust
3.393% due 07/25/2013		2,200		2,201
Soundview Home Equity Loan Trust
2.562% due 01/25/2037		1,420		1,387
Truman Capital Mortgage Loan Trust
2.822% due 01/25/2034		60		59
Total Asset-Backed Securities (Cost $31,723)				31,086
SOVEREIGN ISSUES 0.1%
China Development Bank
5.000% due 10/15/2015		100		98
Total Sovereign Issues (Cost $99)				98
FOREIGN CURRENCY-DENOMINATED ISSUES 1.2%
Brazilian Government International Bond
10.250% due 01/10/2028	BRL	300		159
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	2,000		2,786
Total Foreign Currency-Denominated Issues (Cost $2,885)				2,945
	Shares
CONVERTIBLE PREFERRED STOCKS 0.5%
American International Group, Inc.
8.500% due 08/01/2011		21,600		1,281
Total Convertible Preferred Stocks (Cost $1,620)				1,281
PREFERRED STOCKS 0.9%
DG Funding Trust
5.041% due 12/31/2049		217		2,165
Total Preferred Stocks (Cost $2,294)				2,165
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 8.8%
Commercial Paper 5.8%
Citibank N.A.
3.570% due 08/19/2008	$	5,500		5,473
Federal Home Loan Bank
2.000% due 07/01/2008		3,000		3,000
Unicredito Italiano SpA
3.080% due 09/16/2008		6,000		5,964
				14,437
Repurchase Agreements 2.2%
State Street Bank and Trust Co.
1.845% due 07/01/2008		5,628		5,628
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $5,741. Repurchase proceeds are $5,628.)
U.S. Treasury Bills 0.8%
1.845% due 08/28/2008 - 09/25/2008 (a)(b)(c)(e)		2,000		1,989
Total Short-Term Instruments (Cost $22,054)				22,054
Purchased Options (g) 0.3% (Cost $1,896)				815
Total Investments 169.6% (Cost $434,169)			$	425,244
Written Options (h) (0.4%) (Premiums $1,932)				(1,109	)
Other Assets and Liabilities (Net) (69.2%)				(173,387	)
Net Assets 100.0%			$	250,748

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 $1,741 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

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

(d) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $231,196 at a weighted average interest rate of 2.443%. On June 30, 2008, securities valued at $204,030 were pledged as collateral for reverse repurchase agreements.

(e) Securities with an aggregate market value of $149 and cash of $16,645 have been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	14	$	0
90-Day Euribor June Futures	Long	06/2009	8		(2	)
90-Day Euribor March Futures	Long	03/2009	13		0
90-Day Eurodollar December Futures	Long	12/2008	65		46
90-Day Eurodollar December Futures	Long	12/2009	38		(31	)
90-Day Eurodollar June Futures	Long	06/2009	111		(40	)
90-Day Eurodollar March Futures	Long	03/2009	68		(23	)
90-Day Eurodollar March Futures	Long	03/2010	35		(36	)
90-Day Eurodollar September Futures	Long	09/2008	58		23
90-Day Eurodollar September Futures	Long	09/2009	50		(16	)
E-mini S&P 500 Index September Futures	Long	09/2008	462		(2,164	)
S&P 500 Index September Futures	Long	09/2008	654		(17,114	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	286		347
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	47		(33	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	5		(17	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	28		(29	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	67		(43	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	57		(85	)
				$	(19,217	)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011	LEH	$	2,700	$	21
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.980	%	03/20/2016	LEH		1,500		65
CIT Group, Inc. 7.750% due 04/02/2012	Sell	5.170	%	03/20/2013	RBS		400		(27	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.620	%	03/20/2011	BCLY		700		(14	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.640	%	12/20/2012	BCLY		700		(26	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.670	%	03/20/2013	BCLY		1,400		4
General Motors Corp. 7.125% due 07/15/2013	Sell	4.550	%	12/20/2012	JPM		200		(65	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.900	%	03/20/2013	GSC		400		(87	)
General Motors Corp. 7.125% due 07/15/2013	Sell	9.050	%	03/20/2013	GSC		400		(86	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	DUB		2,700		(385	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.680	%	09/20/2008	LEH		1,500		(39	)
GMAC LLC 6.875% due 08/28/2012	Sell	4.850	%	09/20/2012	JPM		500		(138	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008	LEH		300		0
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009	BCLY		3,600		(9	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008	RBS		200		(2	)
Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008	HSBC		800		2
Multiple Reference Entities of Gazprom	Sell	1.600	%	12/20/2012	BCLY		1,200		(23	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009	CSFB		4,000		0
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009	MSC		1,900		2
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	03/20/2009	LEH		400		0
SLM Corp. 5.125% due 08/27/2012	Sell	5.100	%	03/20/2009	JPM		500		0
SLM Corp. 5.125% due 08/27/2012	Sell	5.100	%	06/20/2009	BCLY		100		0
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009	MSC		2,400		(13	)
Wachovia Corp. 3.625% due 02/17/2009	Sell	1.305	%	03/20/2013	JPM		1,300		(42	)
								$	(862	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	1,000	$	62
Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012	CITI		994		(32	)
Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012	MLP		1,000		(72	)
Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012	MSC		1,000		(63	)
Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	CITI		500		(30	)
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB		1,400		11
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		500		(1	)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		1,900		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		4,700		29
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		3,400		13
								$	(83	)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	UBS	AUD	13,900	$	(137	)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	UBS		500		0
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	2,700		9
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		3,700		10
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		5,100		(39	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		1,400		(6	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		1,000		(6	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		500		(6	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		1,600		(12	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	CITI		17,900		(491	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	LEH		400		(2	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		300		3
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		400		(3	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		5,300		(150	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		2,000		(30	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		800		(14	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		7,100		(123	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	1,100		(26	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM		500		(29	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS		300		(14	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.950	%	03/30/2012	RBS		400		(20	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		300		(18	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY		100		(6	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		900		(55	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS	AUD	2,600		(27	)
Pay	6-Month Australian Bank Bill	7.000	%	03/20/2013	DUB		1,400		(52	)
Receive	6-Month Australian Bank Bill	6.500	%	03/20/2018	DUB		1,900		40
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	BCLY	GBP	2,900		(16	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	DUB		1,700		(10	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	BCLY		1,500		(14	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS		1,400		(14	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY		1,700		(10	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		300		(4	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	GSC		3,400		(45	)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	GSC		7,400		(9	)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBS		2,100		(4	)
Pay	6-Month GBP-LIBOR	4.500	%	09/20/2009	LEH		5,900		(273	)
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC		800		2
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		100		(9	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		500		(48	)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	MLP		200		8
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	BCLY		200		29
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	HSBC		600		71
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	RBS		1,200		156
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	GSC		500		(22	)
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	RBS		100		(5	)
Receive	6-Month GBP-LIBOR	5.000	%	12/19/2037	GSC		100		(9	)
Receive	30-Day USD-CMM Rate	5.000	%	02/20/2009	MLP	$	700		5
Pay	BRL-CDI-Compounded	11.360	%	01/04/2010	BCLY	BRL	1,700		(47	)
Pay	BRL-CDI-Compounded	11.430	%	01/04/2010	MLP		1,100		(29	)
Pay	BRL-CDI-Compounded	11.465	%	01/04/2010	GSC		400		(10	)
Pay	BRL-CDI-Compounded	12.410	%	01/04/2010	UBS		600		(8	)
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MSC		600		(8	)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC		1,700		(18	)
Pay	BRL-CDI-Compounded	12.948	%	01/04/2010	MLP		700		(6	)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		2,900		(126	)
Pay	BRL-CDI-Compounded	11.980	%	01/02/2012	MLP		2,000		(76	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MLP		1,500		(35	)
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP	$	1,000		(4	)
								$	(1,792	)

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

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	111.000	08/22/2008	43	$	1	$	1
Call - CBOT U.S. Treasury 5-Year Note September Futures		123.000	08/22/2008	109		2		1
Call - CBOT U.S. Treasury 5-Year Note September Futures		126.000	08/22/2008	144		3		1
Call - CBOT U.S. Treasury 10-Year Note September Futures		135.000	08/22/2008	74		1		1
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	66		1		1
Put - CBOT U.S. Treasury 10-Year Note September Futures		110.000	08/22/2008	300		5		56
Put - CME S&P 500 Index September Futures		600.000	09/18/2008	384		11		0
Put - CME S&P 500 Index September Futures		625.000	09/18/2008	331		10		0
Put - CME S&P 500 Index September Futures		550.000	09/19/2008	25		1		0
					$	35	$	61

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	28,400	$	313	$	135
Call -OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		11,800		126		55
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		8,200		88		38
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		22,700		220		106
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		43,800		389		116
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		24,000		259		70
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		4,600		44		25
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		27,900		297		129
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		11,500		122		80
									$	1,858	$	754

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Fannie Mae 5.500% due 07/01/2038	$	106.000	07/07/2008	$	5,000	$	0	$	0
Call - OTC Freddie Mac 6.000% due 08/01/2038		106.500	08/06/2008		6,300		1		0
Put - OTC Fannie Mae 6.000% due 07/01/2038		88.000	07/07/2008		8,400		1		0
Put - OTC Freddie Mac 5.500% due 09/01/2038		84.000	09/04/2008		2,000		0		0
Put - OTC Freddie Mac 6.000% due 08/01/2038		89.500	08/06/2008		6,300		1		0
						$	3	$	0

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	66	$	38	$	25
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	66		60		21
					$	98	$	46

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009	$	7,200	$	182	$	109
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009		3,800		122		82
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		2,800		70		39
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		1,800		59		35
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		2,700		90		53
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		7,600		239		149
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		14,600		369		191
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		8,000		241		108
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		2,000		44		29
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		9,300		302		181
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		3,800		116		87
									$	1,834	$	1,063

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.500	%	07/01/2038	$	17,500	$	17,093	$	17,251
Fannie Mae	6.000	%	07/01/2038		43,000		43,082		43,383
Freddie Mac	6.000	%	07/01/2038		6,300		6,343		6,364
Ginnie Mae	6.000	%	07/01/2038		8,000		8,152		8,121
U.S. Treasury Notes	2.000	%	02/28/2010		1,800		1,784		1,801
U.S. Treasury Notes	2.125	%	01/31/2010		2,500		2,480		2,512
U.S. Treasury Notes	2.125	%	04/30/2010		8,000		7,938		7,978
U.S. Treasury Notes	2.875	%	01/31/2013		14,400		13,973		14,355
U.S. Treasury Notes	3.125	%	11/30/2009		2,100		2,113		2,130
U.S. Treasury Notes	3.250	%	12/31/2009		1,200		1,207		1,217
U.S. Treasury Notes	3.500	%	02/15/2010		900		914		930
U.S. Treasury Notes	4.250	%	08/15/2013		800		833		849
U.S. Treasury Notes	4.500	%	05/15/2017		7,400		7,683		7,786
						$	113,595	$	114,677

⁽³⁾ Market value includes $361 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	248	04/2009	$	0	$	(1	)	$	(1	)
Buy	AUD	249	07/2008		2		0			2
Buy	BRL	14,552	07/2008		1,807		0			1,807
Sell		14,552	07/2008		0		(585	)		(585	)
Buy		13,711	12/2008		686		0			686
Sell		11,255	12/2008		0		(562	)		(562	)
Buy	CLP	64,260	12/2008		0		(11	)		(11	)
Buy	CNY	4,354	11/2008		8		0			8
Sell	EUR	3,409	07/2008		0		(55	)		(55	)
Sell	GBP	3,093	08/2008		0		(34	)		(34	)
Buy	IDR	2,489,600	10/2008		2		0			2
Buy	INR	19,694	08/2008		0		(43	)		(43	)
Buy		30,541	11/2008		0		(60	)		(60	)
Sell	JPY	61,977	07/2008		0		(10	)		(10	)
Buy	KRW	1,205,984	08/2008		0		(134	)		(134	)
Sell		1,205,984	08/2008		3		(1	)		2
Buy	KWD	19	04/2009		0		(1	)		(1	)
Buy	MXN	19,690	07/2008		142		0			142
Sell		19,690	07/2008		0		(102	)		(102	)
Buy	MYR	2,499	11/2008		0		(11	)		(11	)
Buy		1,771	02/2009		0		(11	)		(11	)
Buy	PHP	52,593	08/2008		0		(31	)		(31	)
Buy	PLN	3,945	07/2008		411		0			411
Sell		3,945	07/2008		0		(272	)		(272	)
Buy	RUB	45,415	07/2008		99		0			99
Sell		45,415	07/2008		0		(84	)		(84	)
Buy		20,383	11/2008		43		0			43
Sell		6,732	11/2008		0		(18	)		(18	)
Buy		8,454	05/2009		5		0			5
Sell		13,650	05/2009		0		(11	)		(11	)
Buy	SAR	254	04/2009		0		(1	)		(1	)
Buy	SEK	534	09/2008		0		0			0
Buy	SGD	4,440	11/2008		44		0			44
Buy	ZAR	379	07/2008		0		(7	)		(7	)
Sell		379	07/2008		0		(1	)		(1	)
Buy		379	12/2008		1		0			1
				$	3,253	$	(2,046	)	$	1,207

(k) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	1,280		$	423,964		$	0		$	425,244
Other Financial Instruments++		(19,217	)		(116,762	)		(193	)		(136,172	)
Total	$	(17,937	)	$	307,202		$	(193	)	$	289,072

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

	Beginning balance at 03/31/2008			Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/ (losses)			Net transfers in/(out) of level 3		Ending balance at 06/30/2008
Investments, at value	$	0		$	0	$	0	$	0		$	0	$	0
Other Financial Instruments++		(80	)		0		0		(113	)		0		(193	)
Total	$	(80	)	$	0	$	0	$	(113	)	$	0	$	(193	)

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

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

See Accompanying Notes

Schedule of Investments

StocksPLUS^® TR Short Strategy Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 39.4%
Banking & Finance 30.1%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013	$	300	$	299
American Express Centurion Bank
2.541% due 04/17/2009		1,200		1,193
American Express Co.
7.000% due 03/19/2018		600		609
American Express Credit Corp.
5.875% due 05/02/2013		300		299
American General Finance Corp.
6.900% due 12/15/2017		400		350
American Honda Finance Corp.
2.737% due 03/09/2009		500		499
American International Group, Inc.
5.850% due 01/16/2018		400		376
ANZ National International Ltd.
2.798% due 08/07/2009		1,100		1,098
Bank of America Corp.
6.000% due 09/01/2017		300		290
8.000% due 12/29/2049		600		564
8.125% due 12/29/2049		3,800		3,597
Bank of Scotland PLC
2.737% due 12/08/2010		3,000		2,936
2.756% due 07/17/2009		600		600
Barclays Bank PLC
6.050% due 12/04/2017		200		197
Bear Stearns Cos., Inc.
2.768% due 08/21/2009		200		198
2.886% due 08/15/2011		1,300		1,247
2.891% due 03/30/2009		400		397
3.218% due 07/19/2010		300		294
6.950% due 08/10/2012		1,100		1,145
BNP Paribas
5.186% due 06/29/2049		200		174
C10 Capital SPV Ltd.
6.722% due 12/31/2049		200		184
Calabash Re Ltd.
11.214% due 01/08/2010		400		400
CIT Group, Inc.
2.959% due 12/19/2008		100		99
3.049% due 01/30/2009		1,100		1,064
Citigroup Capital XXI
8.300% due 12/21/2057		4,000		3,794
Citigroup Funding, Inc.
2.481% due 04/23/2009		100		99
2.667% due 12/08/2008		100		99
2.809% due 06/26/2009		200		197
Citigroup, Inc.
2.831% due 12/28/2009		300		293
5.300% due 10/17/2012		200		195
5.500% due 08/27/2012		500		494
5.500% due 04/11/2013		1,200		1,173
5.850% due 07/02/2013		200		198
6.000% due 08/15/2017		300		287
6.125% due 08/25/2036		100		85
8.400% due 04/29/2049		2,500		2,380
Countrywide Home Loans, Inc.
6.250% due 04/15/2009		5,100		5,025
Foundation Re II Ltd.
9.445% due 11/26/2010		400		403
General Electric Capital Corp.
2.816% due 03/12/2010		100		100
2.888% due 01/20/2010		700		697
6.375% due 11/15/2067		100		95
Goldman Sachs Group, Inc.
2.806% due 11/10/2008		300		299
2.851% due 03/30/2009		200		199
2.891% due 12/22/2008		200		195
3.012% due 07/29/2008		400		400
3.250% due 07/23/2009		20		20
5.950% due 01/18/2018		100		96
6.150% due 04/01/2018		900		876
6.250% due 09/01/2017		600		595
6.750% due 10/01/2037		1,500		1,378
HSBC Bank USA N.A.
2.836% due 06/10/2009		300		299
HSBC Finance Corp.
2.878% due 10/21/2009		200		195
2.906% due 09/15/2008		1,000		999
HSBC Holdings PLC
6.500% due 05/02/2036		400		374
6.500% due 09/15/2037		100		92
International Lease Finance Corp.
2.858% due 05/24/2010		900		842
JPMorgan Chase & Co.
2.981% due 10/02/2009		500		499
6.000% due 01/15/2018		200		195
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		300		292
Keycorp
2.582% due 05/26/2009		2,700		2,649
Lehman Brothers Holdings, Inc.
2.774% due 04/03/2009		300		291
2.778% due 05/25/2010		3,300		3,058
2.954% due 07/18/2011		300		274
2.966% due 11/10/2009		200		191
2.998% due 10/22/2008		500		498
3.011% due 12/23/2010		200		187
5.625% due 01/24/2013		300		284
MetLife, Inc.
6.400% due 12/15/2036		100		88
Morgan Stanley
2.844% due 02/09/2009		900		892
3.148% due 01/22/2009		100		99
4.778% due 05/14/2010		600		598
5.950% due 12/28/2017		200		182
6.250% due 08/28/2017		200		187
Mystic Re Ltd.
8.982% due 12/05/2008		300		294
National Australia Bank Ltd.
2.731% due 09/11/2009		400		400
5.350% due 06/12/2013		300		300
Nationwide Life Global Funding I
2.918% due 05/19/2010		3,400		3,397
Protective Life Secured Trusts
2.608% due 11/09/2010		3,000		2,920
Royal Bank of Scotland Group PLC
2.868% due 07/21/2008		300		300
6.990% due 10/29/2049		3,000		2,707
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		100		97
Santander U.S. Debt S.A. Unipersonal
2.861% due 09/19/2008		700		699
2.878% due 10/21/2008		600		599
SLM Corp.
3.080% due 07/26/2010		100		89
3.130% due 07/25/2008		1,300		1,296
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		200		170
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		100		90
Sun Life Financial Global Funding LP
2.978% due 07/06/2010		2,500		2,489
TNK-BP Finance S.A.
6.125% due 03/20/2012		100		95
UBS AG
3.704% due 05/05/2010		1,400		1,395
5.875% due 12/20/2017		200		195
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		200		200
Wachovia Bank N.A.
2.841% due 03/23/2009		800		797
Wachovia Corp.
2.843% due 10/15/2011		200		190
2.949% due 10/28/2008		600		588
5.750% due 02/01/2018		600		549
7.980% due 12/31/2049		7,200		6,632
Wells Fargo & Co.
2.861% due 03/23/2010		800		794
				78,328
Industrials 8.0%
Anadarko Petroleum Corp.
3.176% due 09/15/2009		500		494
AstraZeneca PLC
5.900% due 09/15/2017		100		103
6.450% due 09/15/2037		100		102
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		300		323
Comcast Corp.
3.010% due 07/14/2009		400		397
CSC Holdings, Inc.
7.250% due 07/15/2008		1,000		1,002
Daimler Finance North America LLC
3.138% due 03/13/2009		200		199
3.218% due 03/13/2009		300		300
3.234% due 08/03/2009		300		298
Diageo Capital PLC
2.816% due 11/10/2008		600		599
Gaz Capital S.A.
6.212% due 11/22/2016		100		94
General Electric Co.
2.717% due 12/09/2008		400		400
GlaxoSmithKline Capital, Inc.
3.310% due 05/13/2010		4,800		4,815
International Business Machines Corp.
5.700% due 09/14/2017		2,000		2,036
Kraft Foods, Inc.
6.125% due 02/01/2018		200		195
Oracle Corp.
4.950% due 04/15/2013		700		708
5.750% due 04/15/2018		700		702
Philip Morris International, Inc.
6.375% due 05/16/2038		200		196
Reynolds American, Inc.
3.476% due 06/15/2011		2,360		2,242
Rohm & Haas Co.
6.000% due 09/15/2017		100		98
Safeway, Inc.
3.158% due 03/27/2009		1,300		1,291
Siemens Financieringsmaatschappij NV
2.728% due 08/14/2009		500		500
5.500% due 02/16/2012		700		723
Suncor Energy, Inc.
6.100% due 06/01/2018		1,900		1,911
Transocean, Inc.
2.873% due 09/05/2008		300		300
Union Pacific Corp.
5.700% due 08/15/2018		600		588
Williams Cos., Inc.
6.375% due 10/01/2010		100		101
				20,717
Utilities 1.3%
BellSouth Corp.
2.776% due 08/15/2008		400		400
Enel Finance International S.A.
6.800% due 09/15/2037		700		710
Florida Power Corp.
3.078% due 11/14/2008		700		698
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		100		96
NGPL Pipe Co. LLC
6.514% due 12/15/2012		200		203
Southern California Edison Co.
2.950% due 02/02/2009		200		199
Telefonica Emisones SAU
3.102% due 06/19/2009		1,000		995
Verizon Communications, Inc.
5.250% due 04/15/2013		200		199
				3,500
Total Corporate Bonds & Notes (Cost $104,617)				102,545
MUNICIPAL BONDS & NOTES 2.5%
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047		1,100		938
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		90		83
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		500		508
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		25		23
Massachusetts Educational Financing Authority Bonds, Series 2008
3.701% due 04/25/2028 (a)		3,600		3,600
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		1,000		836
San Diego, California Tobacco Settlement Revenue Funding Corp. Revenue Bonds, Series 2006
7.125% due 06/01/2032		95		87
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		295		264
Total Municipal Bonds & Notes (Cost $6,514)				6,339
U.S. GOVERNMENT AGENCIES 48.9%
Fannie Mae
2.832% due 09/25/2042		192		178
4.194% due 06/01/2034		546		551
4.424% due 09/01/2035		199		200
4.548% due 07/01/2035		156		157
4.618% due 09/01/2035		206		206
4.673% due 12/01/2033		89		90
4.677% due 12/01/2033		51		51
4.834% due 06/01/2035		272		274
4.991% due 06/01/2035		252		255
5.000% due 10/01/2035 - 07/01/2038		16,865		16,171
5.000% due 03/01/2036 (d)		7,713		7,420
5.452% due 03/01/2035		30		31
5.500% due 11/01/2021 - 07/01/2038		31,432		31,055
5.500% due 04/01/2036 (d)		21,658		21,390
5.745% due 11/01/2035		36		37
6.000% due 10/01/2026 - 05/01/2038		24,304		24,576
6.000% due 01/01/2036 (d)		6,036		6,105
6.340% due 10/01/2034		19		19
6.500% due 08/01/2037 - 11/01/2037		1,901		1,960
Freddie Mac
2.621% due 07/15/2019 - 10/15/2020		4,471		4,383
2.701% due 02/15/2019		1,516		1,487
2.871% due 06/15/2018		25		25
4.690% due 06/01/2035		405		404
4.863% due 11/01/2034		150		153
5.000% due 01/15/2024		72		72
5.500% due 08/15/2030 - 03/01/2037		4,823		4,757
6.000% due 08/01/2027 - 07/01/2038		3,309		3,347
Ginnie Mae
6.000% due 02/15/2036 - 09/15/2037		1,737		1,767
Small Business Administration
5.520% due 06/01/2024		18		18
Total U.S. Government Agencies (Cost $127,616)				127,139
MORTGAGE-BACKED SECURITIES 5.0%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		38		34
Banc of America Commercial Mortgage, Inc.
5.929% due 05/10/2045		300		293
Banc of America Funding Corp.
4.110% due 05/25/2035		67		63
Banc of America Mortgage Securities, Inc.
5.185% due 05/25/2033		256		245
Bear Stearns Adjustable Rate Mortgage Trust
4.750% due 10/25/2035		145		143
4.760% due 11/25/2034		136		132
5.068% due 11/25/2034		433		419
Bear Stearns Alt-A Trust
5.372% due 05/25/2035		11		10
5.701% due 09/25/2035		53		44
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		76		74
4.900% due 12/25/2035		112		107
Countrywide Alternative Loan Trust
2.762% due 02/25/2037		717		524
4.500% due 06/25/2035		283		280
Countrywide Home Loan Mortgage Pass-Through Trust
4.720% due 02/20/2035		480		469
4.799% due 11/25/2034		265		255
5.250% due 02/20/2036		71		62
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		56		56
GSR Mortgage Loan Trust
4.539% due 09/25/2035		207		201
5.248% due 11/25/2035		335		316
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		802		730
2.702% due 05/19/2035		53		40
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		1,700		1,598
JPMorgan Mortgage Trust
5.020% due 02/25/2035		129		122
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		112		113
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		47		45
Mellon Residential Funding Corp.
2.911% due 12/15/2030		498		463
2.994% due 06/15/2030		6		6
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		1,590		1,476
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		65		52
5.848% due 05/25/2033		208		203
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		170		147
Morgan Stanley Capital I
5.809% due 12/12/2049		1,700		1,617
Structured Adjustable Rate Mortgage Loan Trust
4.580% due 02/25/2034		172		162
4.928% due 01/25/2035		121		114
5.305% due 08/25/2034		235		222
Structured Asset Mortgage Investments, Inc.
2.762% due 02/25/2036		68		52
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		199		190
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		892		842
WaMu Mortgage Pass-Through Certificates
4.728% due 11/25/2042		31		28
4.780% due 10/25/2046		670		523
Wells Fargo Mortgage-Backed Securities Trust
4.945% due 01/25/2035		371		360
4.950% due 03/25/2036		301		290
Total Mortgage-Backed Securities (Cost $13,592)				13,122
ASSET-BACKED SECURITIES 5.9%
ACE Securities Corp.
2.542% due 10/25/2036		229		225
American Express Credit Account Master Trust
2.971% due 02/15/2012		48		47
Argent Securities, Inc.
2.532% due 09/25/2036		62		61
Asset-Backed Securities Corp. Home Equity
2.642% due 05/25/2035		2		2
2.758% due 09/25/2034		71		61
BA Credit Card Trust
3.671% due 12/16/2013		1,800		1,828
Chase Issuance Trust
3.121% due 11/15/2011		2,400		2,406
Citigroup Mortgage Loan Trust, Inc.
2.542% due 05/25/2037		638		605
Countrywide Asset-Backed Certificates
2.532% due 03/25/2047		140		138
2.552% due 06/25/2037		170		167
2.962% due 12/25/2031		1		1
Ford Credit Auto Owner Trust
3.071% due 07/15/2010		500		501
GSR Mortgage Loan Trust
2.582% due 11/25/2030		5		5
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		117		112
JPMorgan Mortgage Acquisition Corp.
2.532% due 08/25/2036		64		63
Long Beach Mortgage Loan Trust
2.542% due 10/25/2036		707		691
2.762% due 10/25/2034		9		8
Park Place Securities, Inc.
2.794% due 10/25/2034		325		283
Residential Asset Mortgage Products, Inc.
2.562% due 10/25/2036		207		194
Residential Asset Securities Corp.
2.552% due 11/25/2036		152		150
SLM Student Loan Trust
2.910% due 10/27/2014		615		613
2.920% due 01/25/2016		28		28
2.920% due 01/25/2018		52		52
2.982% due 10/25/2017 (a)		4,900		4,897
3.393% due 07/25/2013		2,000		2,001
Structured Asset Securities Corp.
2.532% due 10/25/2036		237		231
Total Asset-Backed Securities (Cost $15,480)				15,370
SOVEREIGN ISSUES 0.0%
Russia Government International Bond
8.250% due 03/31/2010		9		9
Total Sovereign Issues (Cost $9)				9
FOREIGN CURRENCY-DENOMINATED ISSUES 1.4%
Bear Stearns Cos., Inc.
5.208% due 09/26/2013	EUR	600		885
General Electric Capital Corp.
5.500% due 09/15/2067		1,900		2,647
Total Foreign Currency-Denominated Issues (Cost $3,446)				3,532
	Shares
PREFERRED STOCKS 0.3%
DG Funding Trust
5.041% due 12/31/2049		85		848
Total Preferred Stocks (Cost $904)				848
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 14.5%
Commercial Paper 10.0%
Citibank N.A.
3.570% due 08/19/2008	$	5,200		5,175
Federal Home Loan Bank
2.000% due 07/01/2008		600		600
Intesa Funding LLC
2.440% due 07/01/2008		9,900		9,900
UBS Finance Delaware LLC
2.930% due 10/27/2008		5,700		5,645
Westpac Banking Corp.
2.700% due 09/18/2008		4,600		4,571
				25,891
Repurchase Agreements 4.0%
Deutsche Bank AG
1.500% due 07/01/2008		5,000		5,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 8.125% due 08/15/2019 valued at $5,102. Repurchase proceeds are $5,000.)
State Street Bank and Trust Co.
1.650% due 07/01/2008		5,418		5,418
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.500% due 05/08/2009 valued at $5,530. Repurchase proceeds are $5,418.)
				10,418
U.S. Treasury Bills 0.5%
1.765% due 09/11/2008 - 09/25/2008 (b)(c)		1,350		1,341
Total Short-Term Instruments (Cost $37,655)				37,650
Purchased Options (g) 0.1% (Cost $658)				264
Total Investments 118.0% (Cost $310,491)			$	306,818
Written Options (h) (0.2%) (Premiums $729)				(413)
Other Assets and Liabilities (Net) (17.8%)				(46,358)
Net Assets 100.0%			$	260,047

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 $1,242 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $49,033 at a weighted average interest rate of 2.415%. On June 30, 2008, securities valued at $33,245 were pledged as collateral for reverse repurchase agreements.

(e) Cash of $17,565 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2008	14	$	0
90-Day Euribor June Futures	Long	06/2009	8		(2)
90-Day Euribor March Futures	Long	03/2009	14		(1)
90-Day Eurodollar December Futures	Long	12/2008	286		1,116
90-Day Eurodollar December Futures	Long	12/2009	67		(95)
90-Day Eurodollar June Futures	Long	06/2009	207		(132)
90-Day Eurodollar March Futures	Long	03/2009	182		224
90-Day Eurodollar March Futures	Long	03/2010	52		(69)
90-Day Eurodollar September Futures	Long	09/2008	44		18
90-Day Eurodollar September Futures	Long	09/2009	160		(145)
E-mini S&P 500 Index September Futures	Short	09/2008	957		3,505
S&P 500 Index September Futures	Short	09/2008	636		10,586
U.S. Treasury 5-Year Note September Futures	Long	09/2008	75		1
U.S. Treasury 10-Year Note September Futures	Long	09/2008	78		102
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	29		(71)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	2		(7)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	15		(15)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	30		(13)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	53		(59)
				$	14,943

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	Sell	0.880	%	03/20/2013	RBS	$	8,200	$	(19)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011	LEH		1,200		9
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	08/20/2016	MSC		500		21
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.670	%	03/20/2013	BCLY		800		3
General Motors Corp. 7.125% due 07/15/2013	Sell	8.900	%	03/20/2013	GSC		300		(66)
General Motors Corp. 7.125% due 07/15/2013	Sell	9.050	%	03/20/2013	GSC		300		(64)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	GSC		2,600		(371)
GMAC LLC 6.875% due 08/28/2012	Sell	1.000	%	09/20/2008	BOA		1,000		(28)
GMAC LLC 6.875% due 08/28/2012	Sell	1.680	%	09/20/2008	LEH		700		(18)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008	LEH		100		0
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009	BCLY		1,300		(3)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.450	%	03/20/2009	MSC		200		0
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008	RBS		100		(1)
Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008	HSBC		100		0
Multiple Reference Entities of Gazprom	Sell	1.250	%	12/20/2008	HSBC		300		1
Multiple Reference Entities of Gazprom	Sell	2.180	%	02/20/2013	MSC		100		1
Multiple Reference Entities of Gazprom	Sell	2.480	%	02/20/2013	MSC		1,000		24
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009	CSFB		1,400		0
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.270	%	03/20/2009	CSFB		200		0
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009	MSC		800		1
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.620	%	08/20/2011	BCLY		500		(4)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	03/20/2009	LEH		200		0
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.495	%	08/20/2011	BCLY		500		(5)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009	MSC		700		(4)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.630	%	03/20/2009	BCLY		300		(2)
								$	(525)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	800	$	50
Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	CITI		500		(30)
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB		1,300		10
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		500		(1)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		2,000		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		4,800		29
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		3,500		13
								$	71

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	UBS	AUD	4,200	$	(41)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	UBS		300		0
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	2,700		9
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		3,600		10
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		1,800		(14)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		1,300		(5)
Receive	3-Month USD-LIBOR	5.000	%	06/20/2017	GSC		700		(40)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		3,100		(12)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		500		(6)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		1,500		(10)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	LEH		400		(2)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		200		2
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		400		(3)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		800		0
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		2,200		(26)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		600		(10)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		400		(7)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	200		(5)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM		200		(12)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS		200		(10)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.950	%	03/30/2012	RBS		200		(10)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		100		(6)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY		100		(6)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		700		(43)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS	AUD	2,800		(29)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	BCLY	GBP	1,000		(5)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	DUB		600		(3)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	BCLY		600		(6)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS		600		(6)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY		600		3
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		100		0
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	GSC		1,200		(1)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	GSC		3,000		(4)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBS		900		(2)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		100		(9)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		500		(48)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	MLP		200		8
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	BCLY		100		14
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	HSBC		300		32
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	RBS		600		74
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	GSC		200		(10)
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	RBS		100		(6)
Receive	30-Day USD-CMM Rate	5.000	%	02/20/2009	MLP	$	500		3
Pay	BRL-CDI-Compounded	11.360	%	01/04/2010	BCLY	BRL	700		(19)
Pay	BRL-CDI-Compounded	11.430	%	01/04/2010	MLP		500		(13)
Pay	BRL-CDI-Compounded	11.465	%	01/04/2010	GSC		200		(5)
Pay	BRL-CDI-Compounded	12.410	%	01/04/2010	UBS		600		(8)
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MSC		600		(8)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC		600		(6)
Pay	BRL-CDI-Compounded	12.948	%	01/04/2010	MLP		300		(2)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		1,100		(48)
Pay	BRL-CDI-Compounded	11.980	%	01/02/2012	MLP		800		(30)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MLP		1,000		(23)
Pay	USSP Semi 5-Year Index	0.763	%	02/05/2009	BNP	$	2,000		(11)
								$	(415)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CME S&P 500 Index September Futures	$	1,650.000	09/18/2008	100	$	3	$	0
Call - CME S&P 500 Index September Futures		1,675.000	09/18/2008	430		12		0
					$	15	$	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	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	11,500	$	127	$	55
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		4,900		52		23
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		3,500		37		16
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		17,300		179		80
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		3,000		28		8
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		9,600		104		28
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		2,300		22		13
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		8,900		93		41
									$	642	$	264

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Put - OTC Fannie Mae 5.000% due 09/01/2038	$	76.000	09/04/2008	$	5,000	$	1	$	0

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	60	$	35	$	23
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	60		54		19
					$	89	$	42

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009	$	2,900	$	73	$	44
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009		1,400		45		30
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		1,100		28		15
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		800		26		16
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		1,200		40		23
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		5,800		186		114
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		1,000		27		13
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		3,200		96		43
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		1,000		22		14
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		3,000		97		59
									$	640	$	371

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Ginnie Mae	6.000	%	07/01/2038	$	1,800	$	1,806	$	1,827
U.S. Treasury Notes	2.000	%	02/28/2010		1,500		1,486		1,501
U.S. Treasury Notes	2.125	%	01/31/2010		2,100		2,083		2,110
U.S. Treasury Notes	2.125	%	04/30/2010		7,300		7,244		7,280
U.S. Treasury Notes	2.875	%	01/31/2013		2,800		2,717		2,791
U.S. Treasury Notes	3.125	%	11/30/2009		1,000		1,006		1,015
U.S. Treasury Notes	3.250	%	12/31/2009		600		604		609
U.S. Treasury Notes	3.500	%	02/15/2010		800		812		826
U.S. Treasury Notes	4.250	%	08/15/2013		700		729		743
U.S. Treasury Notes	4.500	%	05/15/2017		1,900		1,973		1,999
						$	20,460	$	20,701

⁽³⁾ Market value includes $143 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	AED	114	04/2009	$	0	$	0	$	0
Buy	BRL	8,332	07/2008		1,049		0		1,049
Sell		8,332	07/2008		0		(202)		(202)
Buy		8,363	12/2008		228		0		228
Sell		1,309	12/2008		0		(68)		(68)
Buy	CNY	4,062	11/2008		8		0		8
Sell	EUR	3,906	07/2008		0		(63)		(63)
Sell	GBP	2,819	08/2008		0		(31)		(31)
Buy	IDR	970,200	10/2008		1		0		1
Buy	INR	7,782	08/2008		0		(17)		(17)
Buy		12,223	11/2008		0		(24)		(24)
Sell	JPY	61,006	07/2008		0		(9)		(9)
Buy	KRW	620,019	08/2008		0		(70)		(70)
Sell		620,019	08/2008		1		0		1
Buy	KWD	9	04/2009		0		0		0
Buy	MXN	8,681	07/2008		61		0		61
Sell		8,681	07/2008		0		(37)		(37)
Buy	MYR	1,451	11/2008		0		(6)		(6)
Buy		582	02/2009		0		(4)		(4)
Buy	PHP	28,176	08/2008		0		(13)		(13)
Buy	PLN	1,624	07/2008		170		0		170
Sell		1,624	07/2008		0		(112)		(112)
Buy	RUB	28,564	07/2008		62		0		62
Sell		28,564	07/2008		0		(50)		(50)
Buy		8,555	11/2008		18		0		18
Buy		7,487	05/2009		4		0		4
Sell		8,555	05/2009		0		(7)		(7)
Buy	SAR	116	04/2009		0		0		0
Buy	SEK	987	09/2008		1		0		1
Buy	SGD	1,853	11/2008		25		0		25
Buy	ZAR	150	07/2008		0		(3)		(3)
Sell		150	07/2008		0		(1)		(1)
Buy		150	12/2008		0		0		0
				$	1,628	$	(717)	$	911

(k) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 06/30/2008
Investments, at value	$	0	$	301,921	$	4,897	$	306,818
Other Financial Instruments++		14,943		(20,849)		(80)		(5,986)
Total	$	14,943	$	281,072	$	4,817	$	300,832

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)		Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	571	$	4,876	$	0	$	(27)	$	(523)	$	4,897
Other Financial Instruments++		(22)		0		0		(58)		0		(80)
Total	$	549	$	4,876	$	0	$	(85)	$	(523)	$	4,817

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

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

See Accompanying Notes

Schedule of Investments

Total Return Fund

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.6%
Allied Waste North America, Inc.
3.980% due 03/28/2014	$	1,820	$	1,804
4.090% due 03/28/2014		1,581		1,567
4.570% due 03/28/2014		2,673		2,650
4.600% due 03/28/2014		3,629		3,598
Cablevision Industries Corp.
4.225% due 03/30/2013		95		91
Cablevision Term B
4.225% due 03/30/2013		37,306		35,527
Community Health Systems, Inc.
4.000% due 07/25/2014		974		920
4.631% due 07/25/2014		4,599		4,342
4.899% due 07/25/2014		14,455		13,645
Daimler Finance North America LLC
6.780% due 08/03/2012		524,278		434,233
DaVita, Inc.
3.890% due 10/05/2012		8,194		7,890
4.000% due 10/05/2012		502		483
4.140% due 10/05/2012		1,075		1,035
4.180% due 10/05/2012		629		606
4.200% due 10/05/2012		8,756		8,431
4.220% due 10/05/2012		717		690
4.625% due 10/05/2012		1,582		1,523
Dex Media West LLC
5.500% due 09/09/2010		1,439		1,408
First Data Corp.
5.446% due 09/24/2014		66		61
5.552% due 09/24/2014		931		857
Ford Motor Co.
5.480% due 12/15/2013		21,615		17,495
Freescale Semiconductor, Inc.
4.209% due 12/01/2013		2,962		2,688
Fresenius Medical Care Capital Trust
4.019% due 03/22/2013		52		51
4.071% due 03/22/2013		446		434
4.091% due 03/22/2013		26		25
4.184% due 03/22/2013		182		177
General Motors Corp.
5.059% due 11/29/2013		34,552		29,024
Georgia-Pacific Corp.
4.399% due 12/20/2012		3,902		3,691
4.446% due 12/20/2012		33,413		31,601
4.551% due 12/20/2012		2,761		2,612
HCA, Inc.
4.696% due 11/16/2012		17,316		16,246
5.051% due 11/18/2013		4,975		4,679
Health Management Associates, Inc.
4.446% due 02/28/2014		4,859		4,529
Idearc, Inc.
3.890% due 11/17/2013		3,960		3,323
4.200% due 11/17/2013		11,040		9,264
Las Vegas Sands Corp.
4.170% due 05/23/2014		9,900		9,041
4.450% due 05/23/2014		39,303		35,894
Metro-Goldwyn-Mayer, Inc.
5.946% due 04/08/2012		31,264		25,737
Mylan Laboratories, Inc.
5.688% due 10/02/2014		4,106		4,073
5.938% due 10/02/2014		3,912		3,881
6.000% due 10/02/2014		1,956		1,940
NRG Energy, Inc.
4.196% due 02/01/2013		23,888		22,815
RH Donnelley Corp.
4.100% due 06/30/2011		169		167
4.140% due 06/30/2011		678		667
4.150% due 06/30/2011		468		460
4.180% due 03/09/2010		1,619		1,584
4.200% due 06/30/2011		148		146
4.400% due 06/30/2011		253		249
5.480% due 09/09/2010		597		584
5.500% due 09/09/2010		360		352
6.750% due 06/30/2011		2,374		2,334
Sensata Technologies, Inc.
4.662% due 04/27/2013		4,950		4,599
5.058% due 04/27/2013		12		12
Texas Competitive Electric Holdings Co., LLC
5.948% due 10/10/2014		605		561
6.234% due 10/10/2014		17,795		16,499
6.478% due 10/10/2014		2,547		2,362
Yell Group PLC
4.381% due 02/10/2013		33,000		29,724
Total Bank Loan Obligations (Cost $911,327)				810,881
CORPORATE BONDS & NOTES 29.7%
Banking & Finance 23.2%
ABX Financing Co.
5.750% due 10/15/2016		10,000		9,785
ACE INA Holdings, Inc.
5.700% due 02/15/2017		50		48
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		10,000		9,611
Allstate Corp.
6.125% due 12/15/2032		150		141
6.125% due 05/15/2037		1,500		1,365
Allstate Life Global Funding Trusts
2.841% due 03/23/2009		50,000		49,822
5.375% due 04/30/2013		165,800		165,393
American Express Bank FSB
2.492% due 09/26/2008		27,800		27,768
2.495% due 06/12/2009		18,100		17,976
5.500% due 04/16/2013		236,100		231,189
6.000% due 09/13/2017		309,400		299,461
American Express Centurion Bank
2.541% due 04/17/2009		89,100		88,605
2.642% due 12/17/2009		5,000		4,946
6.000% due 09/13/2017		309,400		299,461
American Express Co.
5.250% due 09/12/2011		600		594
5.500% due 09/12/2016		150		143
6.150% due 08/28/2017		53,500		52,418
7.000% due 03/19/2018		203,500		206,647
American Express Credit Corp.
2.510% due 04/06/2009		20,300		20,158
2.531% due 03/02/2009		2,480		2,468
2.532% due 12/19/2008		10,000		9,949
5.875% due 05/02/2013		153,600		152,927
American Express Travel Related Services Co., Inc.
2.671% due 06/01/2011		50,000		48,281
American General Corp.
7.500% due 08/11/2010		250		260
American General Finance Corp.
2.999% due 08/17/2011		21,640		19,952
5.375% due 10/01/2012		200		187
5.400% due 12/01/2015		100		85
6.900% due 12/15/2017		210,400		183,924
American Honda Finance Corp.
2.737% due 03/09/2009		61,080		61,005
2.776% due 05/12/2009		94,600		94,585
American International Group, Inc.
2.521% due 06/16/2009		15,000		14,730
2.952% due 01/29/2010		217,600		217,185
5.050% due 10/01/2015		46,300		42,081
5.375% due 10/18/2011		4,000		3,926
5.850% due 01/16/2018		170,420		160,171
6.250% due 05/01/2036		100,000		87,631
8.175% due 05/15/2058		370,000		349,514
Ameriprise Financial, Inc.
5.350% due 11/15/2010		145		146
Anadarko Finance Co.
6.750% due 05/01/2011		10,000		10,404
ANZ National International Ltd.
2.798% due 08/07/2009		45,000		44,918
Asian Development Bank
5.820% due 06/16/2028		1,100		1,211
Associates Corp. of North America
8.550% due 07/15/2009		250		260
AXA Financial, Inc.
7.750% due 08/01/2010		100		106
Bank of America Corp.
2.869% due 02/17/2009		11,000		10,972
2.904% due 11/06/2009		123,500		122,393
2.921% due 09/25/2009		102,700		102,240
2.922% due 03/24/2009		47,300		47,178
2.966% due 02/11/2009		20,000		19,950
2.970% due 10/14/2016		40,000		36,229
3.012% due 09/18/2009		100		100
3.375% due 02/17/2009		150		149
4.750% due 08/15/2013		500		475
5.125% due 11/15/2014		125		121
5.200% due 03/15/2018		100		90
5.750% due 12/01/2017		39,770		37,468
6.000% due 09/01/2017		198,720		192,066
7.250% due 10/15/2025		200		203
7.800% due 02/15/2010		500		522
Bank of America N.A.
2.638% due 02/27/2009		229,600		228,821
2.786% due 06/12/2009		165,460		165,091
2.812% due 12/18/2008		1,200		1,197
3.056% due 06/15/2016		100,760		91,203
3.316% due 05/12/2010		100,000		99,604
6.000% due 10/15/2036		70,100		62,409
6.100% due 06/15/2017		1,600		1,553
Bank of Ireland
2.819% due 12/19/2008		50,100		50,086
Bank of New York Mellon Corp.
6.375% due 04/01/2012		200		207
Bank of Scotland PLC
2.482% due 07/17/2008		25,100		25,100
2.756% due 07/17/2009		102,500		102,471
2.816% due 09/14/2009		100		99
Bank One Corp.
7.750% due 07/15/2025		200		211
Banque Paribas
6.875% due 03/01/2009		100		102
Barclays Bank PLC
5.450% due 09/12/2012		168,600		170,781
6.050% due 12/04/2017		174,980		172,061
7.434% due 09/29/2049		75,100		70,623
7.700% due 04/29/2049		378,900		387,421
BB&T Corp.
4.750% due 10/01/2012		145		140
BBVA U.S. Senior S.A. Unipersonal
2.786% due 04/17/2009		200,000		199,832
Bear Stearns Cos., Inc.
2.618% due 01/07/2009		10,000		9,900
2.728% due 02/23/2010		220,325		216,157
2.768% due 08/21/2009		18,850		18,637
2.836% due 11/28/2011		14,150		13,561
2.839% due 05/18/2010		31,400		30,664
2.875% due 07/02/2008		10,500		10,500
2.886% due 08/15/2011		49,490		47,457
2.891% due 03/30/2009		241,450		239,387
2.947% due 09/09/2009		23,980		23,710
3.048% due 10/22/2010		10,000		9,699
3.063% due 02/01/2012		30,000		28,699
3.068% due 11/21/2016		10,000		9,104
3.129% due 01/31/2011		119,900		116,427
3.199% due 01/30/2009		216,300		215,546
3.218% due 07/19/2010		15,700		15,404
4.500% due 10/28/2010		8,215		8,118
4.550% due 06/23/2010		9,175		9,104
5.300% due 10/30/2015		19,000		17,839
5.500% due 08/15/2011		10,300		10,285
5.550% due 01/22/2017		1,060		983
6.400% due 10/02/2017		20,500		20,321
6.950% due 08/10/2012		491,700		511,891
7.250% due 02/01/2018		35,000		36,638
7.625% due 12/07/2009		80		83
Berkshire Hathaway Finance Corp.
3.375% due 10/15/2008		100		100
BFC Finance Corp.
7.375% due 12/01/2017		1,000		1,159
BHP Billiton Finance Ltd.
5.125% due 03/29/2012		10,000		9,983
BNP Paribas
5.186% due 06/29/2049		600		522
Boeing Capital Corp.
4.750% due 09/15/2008		70		70
6.100% due 03/01/2011		300		316
7.375% due 09/27/2010		135		145
C5 Capital SPV Ltd.
6.196% due 12/01/2049		15,000		14,528
C10 Capital SPV Ltd.
6.722% due 12/31/2049		39,500		36,390
Caelus Re Ltd.
8.923% due 06/07/2011		25,000		24,996
Calabash Re Ltd.
13.714% due 01/08/2010		2,650		2,721
Capital One Financial Corp.
5.700% due 09/15/2011		7,000		6,665
6.750% due 09/15/2017		260,000		258,400
Caterpillar Financial Services Corp.
2.766% due 03/10/2009		28,560		28,505
2.779% due 05/18/2009		101,000		100,714
2.977% due 10/28/2008		400		400
5.450% due 04/15/2018		20		20
Charter One Bank N.A.
2.957% due 04/24/2009		100,000		99,731
Chubb Corp.
6.500% due 05/15/2038		10,000		9,599
CIT Group, Inc.
2.787% due 06/08/2009		82,375		76,215
2.826% due 08/15/2008		8,400		8,391
2.839% due 08/17/2009		17,380		15,824
2.906% due 03/12/2010		26,934		23,401
2.935% due 02/13/2012		340		271
2.959% due 12/19/2008		20,000		19,790
3.049% due 01/30/2009		230,175		222,733
3.187% due 07/28/2011		15,000		12,246
5.000% due 02/01/2015		150		104
6.000% due 02/15/2013		500		383
CitiFinancial, Inc.
6.625% due 06/01/2015		10,000		9,899
Citigroup Capital XXI
8.300% due 12/21/2057		263,530		249,963
Citigroup Funding, Inc.
2.481% due 04/23/2009		2,200		2,171
2.667% due 12/08/2008		173,000		171,682
2.809% due 06/26/2009		300		296
3.820% due 05/07/2010		100,000		99,270
Citigroup Global Markets Holdings, Inc.
2.914% due 03/17/2009		2,400		2,377
2.993% due 08/03/2009		39,980		39,490
4.344% due 01/12/2009		15,200		15,157
Citigroup, Inc.
2.809% due 05/18/2011		100,000		96,258
2.817% due 06/09/2009		102,559		101,442
2.831% due 12/28/2009		143,330		139,857
2.848% due 12/26/2008		40,980		40,821
2.869% due 05/18/2010		212,540		208,708
2.901% due 03/16/2012		17,100		15,866
2.939% due 01/30/2009		134,700		133,479
4.250% due 07/29/2009		300		298
5.000% due 09/15/2014		250		232
5.100% due 09/29/2011		3,000		2,968
5.300% due 10/17/2012		37,800		36,921
5.500% due 08/27/2012		93,000		91,826
5.500% due 04/11/2013		622,220		608,152
5.850% due 07/02/2013		24,300		24,088
5.875% due 02/22/2033		75		62
6.000% due 08/15/2017		66,300		63,437
6.125% due 11/21/2017		100,250		96,513
6.125% due 05/15/2018		88,400		84,872
6.125% due 08/25/2036		10,000		8,494
CNA Financial Corp.
5.850% due 12/15/2014		20,500		19,722
6.000% due 08/15/2011		25,000		25,134
6.600% due 12/15/2008		200		202
Commonwealth Bank of Australia
2.488% due 06/08/2009		96,300		96,313
Countrywide Financial Corp.
2.868% due 01/05/2009		41,000		40,203
3.022% due 03/24/2009		27,670		26,577
3.079% due 12/19/2008		2,930		2,857
4.500% due 06/15/2010		4,000		3,725
5.800% due 06/07/2012		5,185		4,910
6.250% due 05/15/2016		25,000		22,320
Countrywide Home Loans, Inc.
4.000% due 03/22/2011		20,000		18,224
4.125% due 09/15/2009		22,345		21,348
5.625% due 07/15/2009		39,950		38,969
6.250% due 04/15/2009		34,473		33,965
Credit Suisse New York, Inc.
5.000% due 05/15/2013		200,000		194,923
Credit Suisse USA, Inc.
2.807% due 12/09/2008		26,380		26,358
2.876% due 08/15/2010		5,590		5,502
2.920% due 08/16/2011		11,595		11,314
5.375% due 03/02/2016		250		245
5.500% due 08/16/2011		400		405
5.500% due 08/15/2013		100		100
7.125% due 07/15/2032		40		43
DBS Bank Ltd.
2.940% due 05/16/2017		22,000		20,563
5.000% due 11/15/2019		8,000		7,370
Deutsche Bank AG
4.875% due 05/20/2013		250,000		246,296
6.000% due 09/01/2017		361,100		365,751
DnB NOR Bank ASA
2.780% due 10/13/2009		100		100
East Lane Re Ltd.
8.873% due 05/06/2011		33,600		33,685
Eksportfinans A/S
4.750% due 12/15/2008		150		151
El Paso Performance-Linked Trust
7.750% due 07/15/2011		7,250		7,342
Enron Credit Linked Notes Trust
8.000% due 08/15/2005 (a)		2,320		116
Export-Import Bank of China
4.875% due 07/21/2015		28,200		27,439
Fifth Third Bancorp
6.250% due 05/01/2013		100,000		91,661
FNBC 1993-A Pass-Through Trust
8.080% due 01/05/2018		208		247
Ford Credit de Mexico S.A. de C.V.
4.502% due 03/20/2009		187,000		180,636
Ford Motor Credit Co. LLC
4.283% due 01/15/2010		20,300		17,879
5.625% due 10/01/2008		966		950
5.700% due 01/15/2010		28,600		24,412
5.800% due 01/12/2009		30,699		29,317
6.750% due 08/15/2008		11,475		11,390
7.250% due 10/25/2011		3,900		3,025
7.375% due 02/01/2011		5,100		4,142
7.875% due 06/15/2010		96,828		83,627
8.625% due 11/01/2010		23,300		19,779
Foundation Re II Ltd.
9.445% due 11/26/2010		40,850		41,168
GATX Financial Corp.
6.273% due 06/15/2011		10,355		10,516
General Electric Capital Corp.
2.551% due 08/22/2008		37,500		37,495
2.768% due 01/05/2009		37,350		37,343
2.776% due 05/10/2010		77,200		76,700
2.788% due 10/06/2010		23,700		23,533
2.816% due 03/16/2009		30,800		30,807
2.816% due 03/12/2010		8,500		8,460
2.826% due 12/12/2008		29,000		28,959
2.888% due 01/20/2010		197,600		196,881
2.896% due 12/15/2009		267,290		266,469
2.907% due 10/24/2008		100		100
2.918% due 10/21/2010		80,450		79,965
2.928% due 01/08/2016		82,800		78,459
2.932% due 06/20/2014		38,000		35,921
2.937% due 10/26/2009		1,700		1,695
2.941% due 06/22/2009		19,760		19,773
2.997% due 04/28/2011		39,970		39,624
2.999% due 04/30/2009		10,479		10,485
3.000% due 02/02/2009		42,768		42,813
3.007% due 07/28/2008		4,005		4,005
3.164% due 05/05/2026		29,950		25,530
3.250% due 06/15/2009		10,000		9,945
4.000% due 05/15/2010		100		99
4.125% due 09/01/2009		140		141
4.250% due 06/15/2012		1,596		1,558
5.625% due 05/01/2018		35		34
5.875% due 01/14/2038		531,510		483,925
6.000% due 06/15/2012		675		698
6.125% due 02/22/2011		1,100		1,150
6.375% due 11/15/2067		250,200		237,277
6.750% due 03/15/2032		250		253
8.125% due 05/15/2012		250		275
8.310% due 04/13/2009		41,300		42,656
Genworth Financial, Inc.
6.500% due 06/15/2034		160		142
Genworth Global Funding Trusts
2.816% due 05/15/2012		12,000		10,814
2.836% due 02/10/2009		50,000		49,520
2.936% due 12/15/2010		6,160		5,972
Glitnir Banki HF
3.078% due 04/20/2010		50,000		43,443
3.204% due 01/18/2012		20,000		15,502
3.258% due 01/21/2011		10,000		7,998
GMAC LLC
3.926% due 05/15/2009		123,000		115,682
3.951% due 09/23/2008		42,000		41,364
6.000% due 04/01/2011		15,000		10,656
6.000% due 12/15/2011		100		69
6.500% due 12/15/2018		200		89
6.700% due 06/15/2018		100		46
6.850% due 04/15/2016		200		96
7.000% due 02/15/2018		100		48
7.200% due 10/15/2017		125		61
7.250% due 09/15/2017		200		99
7.375% due 04/15/2018		100		49
Golden West Financial Corp.
4.750% due 10/01/2012		100		96
Goldman Sachs Group LP
3.434% due 02/09/2009		10,000		9,990
Goldman Sachs Group, Inc.
2.571% due 06/23/2009		36,000		35,631
2.800% due 11/16/2009		58,230		57,425
2.806% due 11/10/2008		41,000		40,910
2.841% due 12/23/2008		103,000		102,654
2.851% due 03/30/2009		4,700		4,672
2.881% due 12/23/2009		50,000		49,060
2.882% due 03/02/2010		68,584		67,369
2.891% due 12/22/2008		209,375		204,435
2.891% due 06/23/2009		100,400		99,377
3.012% due 07/29/2008		244,670		244,590
3.101% due 06/28/2010		28,120		27,352
3.250% due 07/23/2009		15,570		15,472
3.251% due 03/22/2016		10,000		8,954
3.875% due 01/15/2009		770		770
4.750% due 07/15/2013		500		482
5.000% due 01/15/2011		11,500		11,469
5.250% due 10/15/2013		665		652
5.625% due 01/15/2017		150		139
5.700% due 09/01/2012		2,325		2,335
5.950% due 01/18/2018		270,000		260,022
6.125% due 02/15/2033		20,000		17,990
6.150% due 04/01/2018		259,900		252,963
6.250% due 09/01/2017		417,000		413,509
6.600% due 01/15/2012		1,550		1,596
6.750% due 10/01/2037		293,325		269,451
6.875% due 01/15/2011		100		104
7.350% due 10/01/2009		150		154
Hartford Life Global Funding Trusts
2.726% due 11/15/2009		10,700		10,519
HBOS Capital Funding LP
6.071% due 06/30/2049		10,000		8,662
HBOS PLC
3.059% due 02/06/2014		100		97
5.920% due 09/29/2049		37,900		27,049
6.657% due 05/29/2049		200		141
6.750% due 05/21/2018		250,000		239,750
HCP, Inc.
5.950% due 09/15/2011		12,350		12,003
6.300% due 09/15/2016		13,000		11,620
Heller Financial, Inc.
7.375% due 11/01/2009		300		314
HSBC Bank USA N.A.
2.906% due 12/14/2009		9,700		9,575
5.875% due 11/01/2034		3,000		2,636
HSBC Capital Funding LP
4.610% due 12/31/2049		400		354
9.547% due 12/29/2049		43,400		45,310
10.176% due 12/29/2049		46,160		56,863
10.176% due 12/31/2049		20,000		24,588
HSBC Finance Capital Trust IX
5.911% due 11/30/2035		2,300		1,848
HSBC Finance Corp.
2.813% due 12/05/2008		73,500		73,198
2.878% due 10/21/2009		72,100		70,428
2.899% due 06/19/2009		158,250		155,145
2.906% due 09/15/2008		175,250		175,165
2.963% due 01/15/2014		15,000		14,105
2.966% due 05/10/2010		31,655		31,025
3.000% due 11/16/2009		83,479		82,370
3.112% due 06/01/2016		10,000		9,016
4.750% due 05/15/2009		4,000		4,005
7.000% due 05/15/2012		315		327
HSBC Holdings PLC
6.500% due 05/02/2036		191,500		178,818
6.500% due 09/15/2037		104,000		95,215
7.500% due 07/15/2009		33,000		33,751
IBM International Group Capital LLC
3.252% due 07/29/2009		88,000		88,321
Infrastructure Finance Corp. Ltd. AID Bonds
5.378% due 03/26/2009		2,000		2,025
Inter-American Development Bank
7.375% due 01/15/2010		350		372
International Lease Finance Corp.
2.858% due 05/24/2010		43,180		40,417
3.113% due 01/15/2010		34,630		32,570
3.121% due 07/11/2011		50,000		45,034
3.158% due 04/20/2009		6,500		6,428
4.750% due 07/01/2009		900		882
4.875% due 09/01/2010		160		155
5.250% due 01/10/2013		15,000		13,105
5.350% due 03/01/2012		20,000		17,914
5.400% due 02/15/2012		20,000		17,972
iStar Financial, Inc.
5.150% due 03/01/2012		10,000		8,257
5.950% due 10/15/2013		10,000		8,209
Jenkins-Empire Associates
6.840% due 08/01/2008		71		71
John Deere Capital Corp.
2.722% due 09/01/2009		25,000		24,878
2.763% due 07/15/2008		1,000		1,000
4.500% due 08/25/2008		5,100		5,109
4.950% due 12/17/2012		15		15
5.650% due 07/25/2011		9,000		9,305
7.000% due 03/15/2012		175		188
JPMorgan & Co., Inc. CPI Linked Bond
5.886% due 02/15/2012		600		616
JPMorgan Chase & Co.
2.532% due 06/26/2009		40		40
2.851% due 12/22/2008		15,200		15,167
2.857% due 03/09/2009		10,000		9,946
2.884% due 06/25/2010		1,300		1,283
2.981% due 10/02/2009		52,700		52,652
4.500% due 01/15/2012		4,000		3,889
4.875% due 03/15/2014		645		620
5.250% due 05/01/2015		700		681
5.750% due 01/02/2013		45		45
6.000% due 01/15/2018		147,320		143,972
6.125% due 06/27/2017		15		15
6.400% due 05/15/2038		36,000		33,540
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		317,300		309,208
JPMorgan Chase Capital XV
5.875% due 03/15/2035		75		62
JPMorgan Chase Capital XX
6.550% due 09/29/2036		37,600		32,679
Kaupthing Bank HF
5.750% due 10/04/2011		30,000		24,310
KeyBank N.A.
4.682% due 06/02/2010		283,200		282,273
7.413% due 05/06/2015		87,000		81,172
Keycorp
2.582% due 05/26/2009		55,800		54,746
6.500% due 05/14/2013		100,000		89,412
Kreditanstalt fuer Wiederaufbau
3.250% due 03/30/2009		250		249
Landsbanki Islands HF
3.338% due 08/25/2009		18,000		16,850
6.100% due 08/25/2011		10,000		8,824
Landwirtschaftliche Rentenbank
4.875% due 11/16/2015		175		182
Lehman Brothers Holdings, Inc.
2.532% due 11/24/2008		8,000		7,958
2.774% due 04/03/2009		166,080		161,258
2.778% due 08/21/2009		101,000		99,101
2.778% due 05/25/2010		108,850		100,883
2.820% due 11/16/2009		25,870		24,661
2.851% due 12/23/2008		478,200		469,100
2.998% due 10/22/2008		28,100		27,996
3.010% due 01/23/2009		108,600		106,285
3.011% due 12/23/2010		100		94
3.950% due 11/10/2009		100		97
4.000% due 04/16/2019		90		83
5.625% due 01/24/2013		141,970		134,560
5.750% due 01/03/2017		200		177
6.200% due 09/26/2014		49,670		47,522
6.750% due 12/28/2017		20,000		18,846
6.875% due 05/02/2018		105,600		102,555
7.500% due 05/11/2038		85,000		79,156
7.875% due 11/01/2009		65		66
Longpoint Re Ltd.
8.064% due 05/08/2010		87,500		87,509
LVB Acquisition Merger Sub, Inc.
10.000% due 10/15/2017		4,500		4,826
10.375% due 10/15/2017 (d)		4,500		4,792
11.625% due 10/15/2017		6,000		6,390
M&I Marshall & Ilsley Bank
5.250% due 09/04/2012		125		121
MBNA Capital B
3.673% due 02/01/2027		7,000		5,602
MBNA Corp.
6.125% due 03/01/2013		100		103
Mellon Bank N.A.
4.750% due 12/15/2014		50		48
Mellon Funding Corp.
5.000% due 12/01/2014		100		93
Merrill Lynch & Co., Inc.
2.572% due 06/26/2009		5,000		4,858
2.611% due 08/14/2008		85,000		84,904
2.748% due 08/22/2008		102,575		102,304
2.768% due 08/14/2009		16,750		16,223
2.831% due 12/22/2008		99,900		99,248
2.876% due 02/15/2011		11,600		10,825
2.989% due 01/30/2009		50,000		49,234
2.997% due 10/27/2008		82,000		81,508
3.004% due 02/05/2010		7,296		6,955
3.034% due 02/06/2009		78,400		77,343
4.250% due 02/08/2010		2,000		1,958
4.966% due 05/12/2010		120,800		118,947
5.000% due 01/15/2015		200		183
6.050% due 08/15/2012		448,500		439,505
6.220% due 09/15/2026		115		96
6.400% due 08/28/2017		168,800		156,889
6.750% due 06/01/2028		115		98
6.875% due 04/25/2018		509,200		486,140
MetLife, Inc.
5.375% due 12/15/2012		200		202
6.400% due 12/15/2036		69,900		61,341
Metropolitan Life Global Funding I
5.125% due 11/09/2011		4,325		4,378
Mizuho Financial Group Cayman Ltd.
8.375% due 12/29/2049		200		200
Monumental Global Funding Ltd.
2.851% due 09/22/2009		1,800		1,791
3.156% due 06/15/2011		60,000		57,999
5.500% due 04/22/2013		51,900		52,004
Morgan Stanley
2.558% due 05/07/2010		41,745		40,026
2.803% due 01/15/2010		74,590		72,166
2.844% due 02/09/2009		141,785		140,491
2.870% due 05/07/2010		48,300		46,662
2.984% due 01/18/2011		600		571
2.993% due 01/15/2010		6,600		6,463
3.010% due 01/09/2014		4,280		3,860
3.148% due 01/22/2009		302,300		299,405
3.184% due 10/18/2016		60,000		52,139
3.193% due 10/15/2015		10,220		8,971
4.250% due 05/15/2010		2,500		2,427
4.750% due 04/01/2014		460		420
4.778% due 05/14/2010		336,000		334,880
5.375% due 10/15/2015		500		459
5.625% due 01/09/2012		1,000		1,002
5.750% due 08/31/2012		370,000		367,537
6.250% due 08/28/2017		200		187
6.250% due 08/09/2026		225		199
6.600% due 04/01/2012		1,490		1,517
6.625% due 04/01/2018		500		475
6.750% due 04/15/2011		200		205
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		32,800		28,498
Mystic Re Ltd.
8.982% due 12/05/2008		4,250		4,160
11.682% due 12/05/2008		32,100		31,301
12.682% due 06/07/2011		12,200		12,481
National Australia Bank Ltd.
2.731% due 09/11/2009		300		300
2.999% due 06/19/2017		75,000		68,834
3.031% due 06/29/2016		10,000		9,404
3.101% due 06/23/2014		25,250		24,795
3.208% due 02/08/2010		15,900		15,904
5.350% due 06/12/2013		185,200		185,193
National Rural Utilities Cooperative Finance Corp.
7.250% due 03/01/2012		140		149
Nationwide Health Properties, Inc.
6.500% due 07/15/2011		13,000		13,178
Nationwide Life Global Funding I
2.918% due 05/19/2010		20,500		20,484
Nordea Bank Sweden AB
8.950% due 11/29/2049		28,000		28,973
Northern Rock PLC
2.866% due 11/10/2008		10,000		9,953
ORIX Corp.
5.480% due 11/22/2011		20,000		18,514
Osiris Capital PLC
5.563% due 01/15/2010		12,600		12,513
Petroleum Export Ltd.
5.265% due 06/15/2011		22,812		22,650
Phoenix Quake Ltd.
5.134% due 07/03/2008		36,600		36,600
Phoenix Quake Wind Ltd.
5.134% due 07/03/2008		36,600		36,600
Phoenix Quake Wind II Ltd.
6.184% due 07/03/2008		13,700		13,700
PMI Group, Inc.
6.000% due 09/15/2016		24,200		18,825
PNC Funding Corp.
5.125% due 12/14/2010		150		149
Popular North America, Inc.
3.128% due 04/06/2009		25,000		24,457
Premium Asset Trust
2.978% due 10/08/2009		44,950		42,403
Pricoa Global Funding I
2.866% due 09/12/2008		30,000		29,995
Principal Life Income Funding Trusts
5.100% due 04/15/2014		100		97
5.300% due 04/24/2013		148,600		148,819
5.550% due 04/27/2015		237,300		234,324
Progressive Corp.
6.700% due 06/15/2037		200		176
Prudential Financial, Inc.
6.000% due 12/01/2017		40,000		39,685
6.100% due 06/15/2017		100		100
6.625% due 12/01/2037		5,400		5,120
Rabobank Capital Funding II
5.260% due 12/31/2049		11,120		10,204
Rabobank Capital Funding Trust
5.254% due 12/29/2049		2,120		1,825
Rabobank Nederland NV
2.728% due 04/06/2009		7,650		7,644
2.733% due 01/15/2009		81,200		81,153
RBS Capital Trust I
4.709% due 12/29/2049		500		435
Regions Bank
7.500% due 05/15/2018		200,000		199,580
Regions Financial Corp.
6.375% due 05/15/2012		125		123
Republic New York Corp.
7.750% due 05/15/2009		4,375		4,482
Residential Reinsurance 2007 Ltd.
8.682% due 06/07/2010		12,500		12,522
9.399% due 06/06/2011		16,000		15,992
9.932% due 06/07/2010		12,500		12,545
10.432% due 06/07/2010		12,500		12,538
12.932% due 06/07/2010		1,500		1,505
Resona Bank Ltd.
5.850% due 09/29/2049		37,950		32,720
Rockies Express Pipeline LLC
5.100% due 08/20/2009		2,100		2,102
Royal Bank of Canada
3.875% due 05/04/2009		50		50
5.650% due 07/20/2011		125		130
Royal Bank of Scotland Group PLC
2.868% due 07/21/2008		38,000		37,988
5.000% due 10/01/2014		200		192
6.990% due 10/29/2049		91,500		82,563
7.640% due 03/31/2049		83,100		76,170
7.648% due 08/31/2049		10,195		9,963
9.118% due 03/31/2049		88,400		89,123
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		204,800		198,374
Santander U.S. Debt S.A. Unipersonal
2.683% due 11/20/2008		80,300		80,112
2.733% due 11/20/2009		160,000		158,496
2.844% due 02/06/2009		92,600		92,325
2.861% due 09/19/2008		107,680		107,565
2.878% due 10/21/2008		43,100		43,036
Simon Property Group LP
4.600% due 06/15/2010		8,000		7,875
5.100% due 06/15/2015		200		182
5.600% due 09/01/2011		5,000		4,950
SLM Corp.
2.940% due 12/15/2008		10,000		9,836
2.976% due 03/15/2011		62,970		54,280
3.060% due 07/27/2009		183,690		172,263
3.080% due 07/26/2010		4,755		4,222
3.120% due 01/26/2009		115,250		113,471
3.130% due 07/25/2008		140,965		140,489
3.150% due 10/25/2011		38,000		32,530
3.220% due 01/27/2014		1,390		1,170
4.000% due 01/15/2009		10,500		10,373
4.000% due 01/15/2010		6,500		6,058
5.125% due 08/27/2012		3,150		2,744
5.375% due 01/15/2013		12,920		11,395
5.400% due 10/25/2011		2,020		1,847
8.450% due 06/15/2018		40,000		38,472
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		120,700		102,659
State Street Capital Trust III
8.250% due 12/29/2049		300		306
State Street Capital Trust IV
3.776% due 06/15/2037		30,700		23,687
State Street Corp.
7.650% due 06/15/2010		175		184
Sun Life Financial Global Funding LP
2.888% due 07/06/2011		27,000		26,681
2.978% due 07/06/2010		25,000		24,891
Suntrust Bank
6.375% due 04/01/2011		200		204
Svensk ExportKredit AB
4.875% due 09/29/2011		125		129
5.125% due 03/01/2017		75		77
Textron Financial Corp.
2.860% due 11/07/2008		16,500		16,465
TNK-BP Finance S.A.
6.125% due 03/20/2012		39,300		37,237
7.500% due 03/13/2013		50,000		49,500
Toll Brothers Finance Corp.
5.950% due 09/15/2013		10,000		9,215
Toyota Motor Credit Corp.
4.250% due 03/15/2010		500		508
5.500% due 12/15/2008		100		100
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		25,000		25,090
Travelers Cos., Inc.
6.250% due 06/15/2037		125		117
Travelers Property Casualty Corp.
5.000% due 03/15/2013		70		68
6.375% due 03/15/2033		33		32
TXU Eastern Funding Co.
6.450% due 05/15/2005 (a)		15,270		1,050
U.S. Bancorp
2.512% due 04/28/2009		50,000		49,941
3.184% due 02/04/2010		40		40
4.500% due 07/29/2010		150		152
U.S. Bank N.A.
6.375% due 08/01/2011		3,000		3,137
UBS AG
5.750% due 04/25/2018		133,350		127,666
5.875% due 12/20/2017		143,300		139,844
UBS Paine Webber Group, Inc.
7.625% due 12/01/2009		100		106
UBS Preferred Funding Trust I
8.622% due 10/29/2049		58,900		59,224
UBS Preferred Funding Trust II
7.247% due 06/29/2049		8,000		7,981
UBS Preferred Funding Trust V
6.243% due 05/12/2049		20,000		17,565
UFJ Finance Aruba AEC
6.750% due 07/15/2013		4,700		4,945
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		98,900		98,839
Unilever Capital Corp.
7.125% due 11/01/2010		100		107
USB Capital IX
6.189% due 04/15/2049		30,600		23,270
USB Realty Corp.
6.091% due 12/22/2049		38,000		27,762
Ventas Realty LP
8.750% due 05/01/2009		30,150		30,904
VTB Capital S.A.
3.384% due 08/01/2008		4,220		4,183
Wachovia Bank N.A.
2.638% due 02/23/2009		90,900		90,551
2.698% due 05/25/2010		21,100		20,312
2.752% due 12/02/2010		125,000		118,888
2.841% due 03/23/2009		148,950		148,334
4.875% due 02/01/2015		300		273
5.600% due 03/15/2016		19,800		18,441
6.600% due 01/15/2038		10,000		8,750
Wachovia Capital Trust III
5.800% due 03/15/2042		20		14
Wachovia Corp.
2.732% due 12/01/2009		165,620		162,173
2.832% due 06/01/2010		17,600		17,187
2.896% due 03/15/2011		36,600		34,576
2.949% due 10/28/2008		81,945		80,259
3.083% due 10/15/2016		30,570		26,821
4.875% due 02/15/2014		20,000		18,303
5.300% due 10/15/2011		15,000		14,682
5.625% due 10/15/2016		91,600		83,531
5.750% due 02/01/2018		396,720		362,739
Wachovia Mortgage FSB
2.816% due 09/14/2009		45,985		45,592
4.125% due 12/15/2009		100		99
Wells Fargo & Co.
2.810% due 01/12/2011		10,000		9,871
2.861% due 03/23/2010		100,180		99,372
2.876% due 09/15/2009		92,130		91,851
4.375% due 01/31/2013		100,000		96,969
5.000% due 11/15/2014		100		99
5.125% due 09/01/2012		300		299
Wells Fargo Bank N.A.
4.750% due 02/09/2015		30,000		28,697
Wells Fargo Capital X
5.950% due 12/15/2036		10,400		9,486
Wells Fargo Capital XIII
7.700% due 12/29/2049		170,000		169,225
Williams Cos., Inc. Credit Linked Certificate Trust
6.750% due 04/15/2009		4,000		4,040
Wilmington Trust Co.
10.500% due 07/01/2008 (p)		99		98
XL Capital Finance Europe PLC
6.500% due 01/15/2012		10,000		9,795
Xstrata Finance Canada Ltd.
5.500% due 11/16/2011		11,250		11,140
5.800% due 11/15/2016		100		95
				29,936,872
Industrials 4.7%
America Movil SAB de C.V.
5.625% due 11/15/2017		25		24
America West Airlines, Inc.
6.870% due 01/02/2017		1,341		1,251
American Airlines Pass -Through Trust
6.978% due 04/01/2011		12,643		12,201
AmerisourceBergen Corp.
5.625% due 09/15/2012		10,000		9,994
Amgen, Inc.
2.726% due 11/28/2008		203,596		202,998
6.150% due 06/01/2018		4,500		4,538
6.900% due 06/01/2038		900		924
Anadarko Petroleum Corp.
3.176% due 09/15/2009		3,160		3,125
Anheuser-Busch Cos., Inc.
5.500% due 01/15/2018		9,100		8,562
Apache Corp.
7.950% due 04/15/2026		150		176
AstraZeneca PLC
5.900% due 09/15/2017		69,000		70,920
6.450% due 09/15/2037		73,800		75,551
Atlantic Richfield Co.
5.900% due 04/15/2009		100		102
AutoZone, Inc.
4.750% due 11/15/2010		200		199
5.500% due 11/15/2015		10,050		9,568
Avon Products, Inc.
5.125% due 01/15/2011		10,000		10,166
Baker Hughes, Inc.
6.875% due 01/15/2029		100		109
BHP Billiton Finance USA Ltd.
4.800% due 04/15/2013		145		142
Boeing Co.
8.750% due 08/15/2021		50		63
Boston Scientific Corp.
6.000% due 06/15/2011		10,000		9,825
BP Canada Finance Co.
3.625% due 01/15/2009		500		502
Brown-Forman Corp.
2.891% due 04/01/2010		14,000		13,771
Canadian National Railway Co.
6.250% due 08/01/2034		100		98
Canadian Natural Resources Ltd.
5.700% due 05/15/2017		35		34
6.250% due 03/15/2038		20,000		18,866
6.500% due 02/15/2037		25,000		24,486
Cardinal Health, Inc.
5.800% due 10/15/2016		13,000		12,760
Caterpillar, Inc.
5.700% due 08/15/2016		100		102
6.050% due 08/15/2036		100		100
7.250% due 09/15/2009		200		208
CBS Corp.
5.625% due 08/15/2012		15,000		14,821
Cisco Systems, Inc.
2.738% due 02/20/2009		73,800		73,773
5.250% due 02/22/2011		500		515
5.500% due 02/22/2016		100		101
Citic Resources Finance Ltd.
6.750% due 05/15/2014		14,000		13,108
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		157,170		169,162
Clear Channel Communications, Inc.
4.250% due 05/15/2009		2,960		2,857
CODELCO, Inc.
6.150% due 10/24/2036		23,100		22,083
Colgate-Palmolive Co.
5.980% due 04/25/2012		150		159
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		300		331
Comcast Cable Communications LLC
7.125% due 06/15/2013		400		422
Comcast Corp.
3.010% due 07/14/2009		9,000		8,930
5.300% due 01/15/2014		26,500		25,735
5.850% due 01/15/2010		420		427
5.850% due 11/15/2015		325		319
5.900% due 03/15/2016		5,000		4,897
6.450% due 03/15/2037		22,000		20,583
7.050% due 03/15/2033		125		128
ConocoPhillips
5.900% due 10/15/2032		300		298
ConocoPhillips Australia Funding Co.
2.810% due 04/09/2009		164,996		165,112
Continental Airlines, Inc.
6.503% due 06/15/2011		9,220		8,528
6.820% due 05/01/2018		4,904		4,448
7.056% due 09/15/2009		40,459		39,346
7.487% due 10/02/2010		1,215		1,177
7.707% due 04/02/2021		2,774		2,643
Costco Wholesale Corp.
5.500% due 03/15/2017		100		102
Cox Communications, Inc.
6.450% due 12/01/2036		5,000		4,665
CSC Holdings, Inc.
7.250% due 07/15/2008		34,275		34,361
CSX Corp.
6.750% due 03/15/2011		10,000		10,372
CVS Caremark Corp.
2.982% due 06/01/2010		128,200		125,183
5.750% due 08/15/2011		16,000		16,410
Daimler Finance North America LLC
3.138% due 03/13/2009		300		299
3.218% due 03/13/2009		116,050		115,868
3.234% due 08/03/2009		19,860		19,701
3.403% due 10/31/2008		10,953		10,932
4.875% due 06/15/2010		10,000		10,066
5.750% due 09/08/2011		25,000		25,519
5.875% due 03/15/2011		20,000		20,275
Dell, Inc.
4.700% due 04/15/2013		149,700		145,907
5.650% due 04/15/2018		77,170		74,715
6.500% due 04/15/2038		95,000		90,845
Diageo Capital PLC
5.500% due 09/30/2016		50		49
Dow Chemical Co.
5.970% due 01/15/2009		50		51
E.I. Du Pont De Nemours & Co.
4.125% due 04/30/2010		200		202
4.750% due 11/15/2012		175		176
5.000% due 01/15/2013		300		303
5.250% due 12/15/2016		10,000		10,078
Eastman Kodak Co.
7.250% due 11/15/2013		890		870
Eaton Corp.
2.796% due 08/10/2009		25,000		24,896
Eaton Vance Corp.
6.500% due 10/02/2017		21,100		21,352
EchoStar DBS Corp.
5.750% due 10/01/2008		185,684		186,148
El Paso Corp.
6.375% due 02/01/2009		30,230		30,425
6.750% due 05/15/2009		134,820		136,083
7.000% due 05/15/2011		12,000		12,101
7.625% due 09/01/2008		38,486		38,853
7.750% due 06/15/2010		16,500		17,026
7.750% due 01/15/2032		92,000		92,793
7.800% due 08/01/2031		11,300		11,457
7.875% due 06/15/2012		20,700		21,652
8.050% due 10/15/2030		9,700		9,984
9.625% due 05/15/2012		12,700		13,840
10.750% due 10/01/2010		24,700		26,776
El Paso Natural Gas Co.
8.375% due 06/15/2032		7,220		8,114
Electronic Data Systems Corp.
7.125% due 10/15/2009		2,640		2,724
Emerson Electric Co.
4.500% due 05/01/2013		95		94
Enbridge Energy Partners LP
5.875% due 12/15/2016		50		48
Enbridge, Inc.
4.900% due 03/01/2015		50		47
EnCana Corp.
6.300% due 11/01/2011		10,000		10,270
Enterprise Products Operating LP
4.950% due 06/01/2010		50		50
7.500% due 02/01/2011		10,000		10,484
FedEx Corp.
3.500% due 04/01/2009		14,350		14,304
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		5,000		5,200
Gannett Co., Inc.
5.750% due 06/01/2011		6,200		6,102
Gaz Capital S.A.
6.212% due 11/22/2016		37,600		35,224
7.288% due 08/16/2037		43,000		39,732
7.343% due 04/11/2013		49,900		51,272
8.146% due 04/11/2018		181,100		188,118
8.625% due 04/28/2034		164,000		178,350
Genentech, Inc.
4.750% due 07/15/2015		100		99
General Dynamics Corp.
4.500% due 08/15/2010		100		102
General Electric Co.
2.717% due 12/09/2008		117,775		117,731
5.250% due 12/06/2017		28,700		27,681
General Mills, Inc.
6.000% due 02/15/2012		10,000		10,294
General Motors Corp.
8.100% due 06/15/2024		2,000		1,060
8.250% due 07/15/2023		5,000		2,938
8.800% due 03/01/2021		15,000		8,888
General Motors Nova Scotia Finance Co.
6.850% due 10/15/2008		24,800		24,056
GlaxoSmithKline Capital, Inc.
3.310% due 05/13/2010		10,000		10,032
4.375% due 04/15/2014		100		97
4.850% due 05/15/2013		27,200		27,204
5.650% due 05/15/2018		100,020		99,974
Hess Corp.
6.650% due 08/15/2011		200		210
Hewlett-Packard Co.
6.500% due 07/01/2012		175		187
HJ Heinz Co.
6.428% due 12/01/2020		39,600		39,950
HJ Heinz Finance Co.
6.000% due 03/15/2012		23,000		23,695
Home Depot, Inc.
2.901% due 12/16/2009		4,300		4,190
4.625% due 08/15/2010		215		212
Honeywell International, Inc.
2.848% due 03/13/2009		48,600		48,583
5.300% due 03/01/2018		20		20
6.125% due 11/01/2011		575		611
International Business Machines Corp.
5.375% due 02/01/2009		350		353
International Paper Co.
4.000% due 04/01/2010		10,000		9,687
JC Penney Corp., Inc.
7.375% due 08/15/2008		700		702
8.000% due 03/01/2010		16,100		16,711
John Hancock Financial Services, Inc.
5.625% due 12/01/2008		300		303
Johnson & Johnson
6.950% due 09/01/2029		100		117
Johnson Controls, Inc.
5.500% due 01/15/2016		20,000		19,245
Kellogg Co.
5.125% due 12/03/2012		300		304
6.600% due 04/01/2011		10,000		10,530
Kerr-McGee Corp.
6.875% due 09/15/2011		10,000		10,445
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		25,850		25,266
6.950% due 01/15/2038		25,000		24,921
Kraft Foods, Inc.
4.125% due 11/12/2009		100		100
5.625% due 11/01/2011		56,335		56,899
6.125% due 02/01/2018		148,500		144,817
6.250% due 06/01/2012		10,000		10,228
6.500% due 08/11/2017		10		10
6.875% due 02/01/2038		63,300		61,808
Kroger Co.
5.500% due 02/01/2013		5,000		5,023
Lennar Corp.
5.950% due 10/17/2011		9,000		7,560
Liberty Media LLC
7.875% due 07/15/2009		4,220		4,283
Loews Corp.
5.250% due 03/15/2016		30,000		29,107
Lowe's Cos., Inc.
5.000% due 10/15/2015		100		99
5.500% due 10/15/2035		50		42
Macy's Retail Holdings, Inc.
4.800% due 07/15/2009		15,000		14,704
Mandalay Resort Group
6.500% due 07/31/2009		34,769		34,508
9.500% due 08/01/2008		27,350		27,487
Marathon Oil Corp.
6.000% due 10/01/2017		40,000		39,897
Marriott International, Inc.
4.625% due 06/15/2012		15,000		13,921
Masco Corp.
5.875% due 07/15/2012		5,000		4,780
7.125% due 08/15/2013		10,000		9,976
Mattel, Inc.
6.125% due 06/15/2011		10,000		10,277
Maytag Corp.
5.000% due 05/15/2015		10,000		9,815
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (p)		139		138
Mazda Motor Corp.
10.500% due 07/01/2008 (p)		16		16
McDonald's Corp.
5.300% due 03/15/2017		125		123
MDC Holdings, Inc.
7.000% due 12/01/2012		10,000		10,054
Medtronic, Inc.
4.375% due 09/15/2010		100		102
Miller Brewing Co.
5.500% due 08/15/2013		15,000		15,354
New Albertson's, Inc.
6.950% due 08/01/2009		7,000		7,088
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		24,000		23,534
Norfolk Southern Corp.
6.750% due 02/15/2011		150		157
Northrop Grumman Space & Mission Systems Corp.
6.250% due 01/15/2010		5,000		5,164
NSTAR
8.000% due 02/15/2010		100		106
Nucor Corp.
6.400% due 12/01/2037		600		612
Omnicom Group, Inc.
5.900% due 04/15/2016		9,600		9,407
ONEOK Partners LP
6.150% due 10/01/2016		10,000		9,879
6.850% due 10/15/2037		29,800		29,275
Oracle Corp.
4.950% due 04/15/2013		14,330		14,490
5.000% due 01/15/2011		200		204
5.750% due 04/15/2018		14,100		14,135
6.500% due 04/15/2038		40,000		40,284
Packaging Corp. of America
5.750% due 08/01/2013		10,000		9,785
Parker Hannifin Employee Stock Ownership Trust
6.340% due 07/15/2008		56		56
PC Financial Partnership
5.000% due 11/15/2014		10,000		9,457
Peabody Energy Corp.
7.375% due 11/01/2016		4,700		4,712
7.875% due 11/01/2026		20,695		20,902
Pemex Project Funding Master Trust
4.076% due 06/15/2010		5,900		5,918
7.875% due 02/01/2009		30,285		31,250
9.125% due 10/13/2010		25		27
9.375% due 12/02/2008		26,065		26,717
Pepsi Bottling Group, Inc.
7.000% due 03/01/2029		100		111
Pfizer, Inc.
4.650% due 03/01/2018		150		145
Philip Morris International, Inc.
4.875% due 05/16/2013		50,000		49,190
5.650% due 05/16/2018		26,700		26,038
6.375% due 05/16/2038		34,500		33,776
Plains All American Pipeline LP
5.625% due 12/15/2013		10,000		10,005
6.125% due 01/15/2017		25		25
Praxair, Inc.
6.375% due 04/01/2012		200		212
Procter & Gamble Co.
6.875% due 09/15/2009		100		104
Qwest Communications International, Inc.
6.176% due 02/15/2009		964		964
7.500% due 11/01/2008		16,227		16,247
RadioShack Corp.
7.375% due 05/15/2011		10,000		10,150
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		5,000		4,802
Reynolds American, Inc.
3.476% due 06/15/2011		45,900		43,608
6.750% due 06/15/2017		100		100
7.250% due 06/01/2013		80,000		83,136
7.625% due 06/01/2016		3,000		3,143
RH Donnelley Corp.
8.875% due 10/15/2017		30,000		18,000
Rio Tinto Finance USA Ltd.
2.625% due 09/30/2008		150		150
Rohm & Haas Co.
6.000% due 09/15/2017		110,100		107,546
Ryder System, Inc.
5.950% due 05/02/2011		5,000		5,028
SABMiller PLC
3.091% due 07/01/2009		25,000		25,067
Safeway, Inc.
3.158% due 03/27/2009		13,000		12,915
Sealed Air Corp.
6.950% due 05/15/2009		10,000		10,140
Siemens Financieringsmaatschappij NV
2.728% due 08/14/2009		96,200		96,234
Sonat, Inc.
7.625% due 07/15/2011		25,000		25,367
Systems 2001 Asset Trust LLC
7.156% due 12/15/2011		15,064		15,590
Target Corp.
5.125% due 01/15/2013		700		709
5.400% due 10/01/2008		200		201
5.875% due 03/01/2012		175		183
7.000% due 01/15/2038		151,500		156,020
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028		14,800		14,534
Texaco Capital, Inc.
5.500% due 01/15/2009		175		176
Time Warner Cable, Inc.
5.400% due 07/02/2012		100		99
Time Warner, Inc.
2.915% due 11/13/2009		102,478		99,619
5.875% due 11/15/2016		2,000		1,891
6.500% due 11/15/2036		20,000		17,894
6.875% due 05/01/2012		350		358
7.625% due 04/15/2031		120		122
Transocean, Inc.
2.873% due 09/05/2008		15,980		15,960
6.625% due 04/15/2011		5,330		5,491
Tyco International Group S.A.
6.125% due 11/01/2008		20,363		20,429
Union Pacific Corp.
5.700% due 08/15/2018		900		881
Union Pacific Railroad Co. 2003 Pass-Through Trust
4.698% due 01/02/2024		142		136
United Airlines, Inc.
6.071% due 03/01/2013		1,825		1,800
6.201% due 09/01/2008		3,947		3,888
6.602% due 09/01/2013		2,516		2,491
7.730% due 07/01/2010		29,009		29,046
8.030% due 07/01/2011 (a)		465		515
9.060% due 06/17/2015 (a)		3,580		35
9.200% due 12/31/2049 (a)		2,749		1,370
9.210% due 01/21/2017 (a)		8,980		52
10.020% due 03/22/2014 (a)		9,558		4,433
10.125% due 03/22/2015 (a)		11,854		5,853
10.360% due 11/13/2012 (a)		3,776		37
10.850% due 07/05/2014 (a)		34,111		3
10.850% due 02/19/2015 (a)		2,594		1,242
11.080% due 05/27/2024 (a)(p)		5,249		7
United Rentals North America, Inc.
6.500% due 02/15/2012		10,000		9,050
United Technologies Corp.
2.752% due 06/01/2009		107,000		106,976
5.375% due 12/15/2017		20		20
6.100% due 05/15/2012		150		159
UnitedHealth Group, Inc.
4.875% due 02/15/2013		44,500		43,121
4.875% due 04/01/2013		175		168
6.000% due 02/15/2018		100,000		97,046
Vale Overseas Ltd.
6.250% due 01/23/2017		39,830		38,789
6.875% due 11/21/2036		39,800		37,237
Valero Energy Corp.
6.625% due 06/15/2037		25		23
Viacom, Inc.
5.750% due 04/30/2011		15,200		15,250
Vivendi
5.750% due 04/04/2013		105,000		103,917
6.625% due 04/04/2018		100,000		99,533
Wal-Mart Stores, Inc.
4.550% due 05/01/2013		100		101
5.250% due 09/01/2035		1,850		1,615
5.800% due 02/15/2018		48,500		50,383
6.200% due 04/15/2038		21,800		21,520
6.500% due 08/15/2037		41,800		43,218
Walt Disney Co.
2.796% due 09/10/2009		44,390		44,366
Waste Management, Inc.
7.125% due 12/15/2017		1,800		1,933
7.375% due 08/01/2010		100		105
WellPoint, Inc.
5.000% due 01/15/2011		11,000		10,880
6.375% due 01/15/2012		10,360		10,611
Weyerhaeuser Co.
3.802% due 09/24/2009		2,300		2,274
Whirlpool Corp.
6.125% due 06/15/2011		12,000		12,326
Williams Cos., Inc.
6.375% due 10/01/2010		14,300		14,514
Wyeth
5.500% due 03/15/2013		10,000		10,221
5.500% due 02/01/2014		25		25
5.950% due 04/01/2037		250		242
Xerox Corp.
3.562% due 12/18/2009		1,200		1,193
9.750% due 01/15/2009		27,950		28,776
				6,111,281
Utilities 1.8%
Alabama Power Co.
2.828% due 08/25/2009		17,000		16,944
5.500% due 10/15/2017		250		252
AT&T Corp.
7.300% due 11/15/2011		1,100		1,173
AT&T Mobility LLC
6.500% due 12/15/2011		80		83
AT&T, Inc.
2.884% due 02/05/2010		113,570		113,102
2.888% due 11/14/2008		16,400		16,394
4.125% due 09/15/2009		250		250
4.950% due 01/15/2013		172,290		171,941
5.100% due 09/15/2014		525		516
5.500% due 02/01/2018		168,000		163,259
6.300% due 01/15/2038		117,600		111,708
6.450% due 06/15/2034		100		97
6.500% due 09/01/2037		307,300		299,012
BellSouth Corp.
2.776% due 08/15/2008		98,950		98,890
4.200% due 09/15/2009		5,000		5,012
5.200% due 09/15/2014		26,000		25,674
6.550% due 06/15/2034		20,000		19,415
British Telecommunications PLC
8.625% due 12/15/2010		310		333
9.125% due 12/15/2030		250		302
Consolidated Edison Co. of New York, Inc.
5.375% due 12/15/2015		100		100
5.850% due 04/01/2018		105,025		105,719
6.750% due 04/01/2038		90,000		93,650
7.500% due 09/01/2010		20,000		21,354
Consolidated Edison, Inc.
3.625% due 08/01/2008		50		50
Deutsche Telekom International Finance BV
2.981% due 03/23/2009		21,200		21,058
3.875% due 07/22/2008		29,459		29,458
Dominion Resources, Inc.
5.200% due 01/15/2016		15,300		14,487
5.700% due 09/17/2012		100		102
6.400% due 06/15/2018		22,000		22,259
DPL, Inc.
8.000% due 03/31/2009		28,000		28,724
Duke Energy Carolinas LLC
5.100% due 04/15/2018		12,000		11,738
6.050% due 04/15/2038		20,000		19,886
Edison Mission Energy
7.200% due 05/15/2019		900		844
Enel Finance International S.A.
5.700% due 01/15/2013		300		304
Entergy Gulf States, Inc.
3.082% due 12/01/2009		15,000		14,832
3.427% due 12/08/2008		12,841		12,834
5.700% due 06/01/2015		50		49
Exelon Corp.
4.900% due 06/15/2015		10,000		9,222
6.750% due 05/01/2011		200		206
FirstEnergy Corp.
6.450% due 11/15/2011		10,000		10,272
7.375% due 11/15/2031		15		16
Florida Power Corp.
3.078% due 11/14/2008		8,000		7,979
FPL Group Capital, Inc.
3.694% due 06/17/2011		15,000		15,139
France Telecom S.A.
7.750% due 03/01/2011		970		1,028
Georgia Power Co.
2.899% due 02/17/2009		14,550		14,540
Ipalco Enterprises, Inc.
8.625% due 11/14/2011		50,858		53,147
KT Corp.
4.875% due 07/15/2015		100		93
MidAmerican Energy Co.
4.650% due 10/01/2014		100		97
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		43,625		42,121
New Cingular Wireless Services, Inc.
8.125% due 05/01/2012		250		274
NGPL Pipe Co. LLC
6.514% due 12/15/2012		165,500		168,257
Niagara Mohawk Power Corp.
7.750% due 10/01/2008		125		126
NiSource Finance Corp.
3.208% due 11/23/2009		30,100		29,271
6.150% due 03/01/2013		12,000		11,985
Ohio Edison Co.
5.450% due 05/01/2015		350		336
Ohio Edison Co. Credit-Linked Certificate Trust
5.647% due 06/15/2009		1,250		1,261
Peco Energy Co.
5.950% due 10/01/2036		50		48
PPL Energy Supply LLC
5.700% due 10/15/2015		5,000		4,704
6.400% due 11/01/2011		15,000		15,358
Progress Energy, Inc.
3.163% due 01/15/2010		400		397
7.100% due 03/01/2011		23		24
7.750% due 03/01/2031		20		23
PSEG Power LLC
5.000% due 04/01/2014		400		381
5.500% due 12/01/2015		8,000		7,722
6.950% due 06/01/2012		172		181
Public Service Electric & Gas Co.
5.700% due 12/01/2036		50		48
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		37,494		37,494
7.250% due 02/15/2011		15,500		15,112
Qwest Corp.
5.625% due 11/15/2008		59,710		59,859
6.026% due 06/15/2013		4,020		3,859
7.200% due 11/10/2026		2,150		1,817
7.500% due 06/15/2023		6,850		6,131
7.625% due 06/15/2015		1,700		1,645
7.875% due 09/01/2011		100		100
8.875% due 03/15/2012		26,725		27,393
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		19		19
Ras Laffan Liquefied Natural Gas Co. Ltd. II
5.298% due 09/30/2020		57,850		54,110
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		40,650		34,521
Southern California Gas Co.
5.750% due 11/15/2035		75		72
Sprint Capital Corp.
8.375% due 03/15/2012		10,750		10,651
Telecom Italia Capital S.A.
3.344% due 07/18/2011		1,690		1,612
3.353% due 02/01/2011		2,770		2,662
Telefonica Emisones SAU
5.855% due 02/04/2013		35		35
United Telecom, Inc.
6.890% due 07/01/2008 (p)		700		689
United Telephone Co. of the Northwest
6.890% due 07/01/2008 (p)		2,760		2,717
Verizon Communications, Inc.
5.250% due 04/15/2013		58,100		57,853
5.500% due 04/01/2017		30		29
6.100% due 04/15/2018		55,000		54,758
6.900% due 04/15/2038		14,800		14,703
Verizon Global Funding Corp.
6.875% due 06/15/2012		150		159
7.250% due 12/01/2010		1,000		1,062
7.375% due 09/01/2012		235		254
7.750% due 12/01/2030		325		351
Verizon New England, Inc.
6.500% due 09/15/2011		300		309
Verizon North, Inc.
5.604% due 01/01/2022		3,000		2,774
5.634% due 01/01/2021		3,000		2,760
Verizon Northwest, Inc.
5.550% due 10/15/2008		250		251
Verizon Virginia, Inc.
4.625% due 03/15/2013		500		484
Virginia Electric and Power Co.
5.400% due 04/30/2018		7,230		7,000
6.350% due 11/30/2037		25,500		24,963
Vodafone Group PLC
2.918% due 02/27/2012		40,000		38,621
5.625% due 02/27/2017		50		48
				2,302,938
Total Corporate Bonds & Notes (Cost $39,246,271)				38,351,091

MUNICIPAL BONDS & NOTES 1.2%
Austin Trust Various States Certificates of Participation Bonds, (FSA Insured), Series 2007
11.496% due 02/01/2037		16,670		16,911
Austin Trust Various States Certificates of Participation Bonds, (FSA Insured), Series 2008
11.298% due 05/01/2026		4,880		5,308
Austin Trust Various States General Obligation Bonds, (FSA Insured), Series 2008
9.837% due 07/01/2024		16,235		14,988
11.356% due 08/01/2031		7,735		7,945
Austin Trust Various States General Obligation Bonds, (MBIA Insured), Series 2008
9.757% due 01/01/2028		13,735		11,125
Austin Trust Various States General Obligation Bonds, Series 2008
10.498% due 06/01/2034		13,225		11,021
10.513% due 06/01/2032		9,590		8,309
Austin Trust Various States Revenue Bonds, Series 2008
10.535% due 08/15/2030		4,400		4,252
10.570% due 11/01/2027		5,000		5,115
11.338% due 11/01/2027		5,000		5,550
11.338% due 06/15/2037		9,900		10,191
Austin Trust Various States Revenue Bonds, (AMBAC Insured), Series 2007
5.500% due 06/01/2037		3,335		3,349
Austin Trust Various States Revenue Bonds, Series 2007
10.753% due 10/01/2037		3,335		2,982
11.476% due 06/15/2038		44,345		45,583
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (AMBAC Insured), Series 2005
10.460% due 05/15/2035		1,955		1,988
Badger, Wisconsin Tobacco Asset Securitization Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2017		2,500		2,495
6.375% due 06/01/2032		7,300		7,179
Badger, Wisconsin Tobacco Asset Securitization Corp. Revenue Notes, Series 2002
5.750% due 06/01/2011		8,515		8,681
Bastrop, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
11.340% due 02/15/2037		4,075		4,082
California State Department of Water Resources Revenue Bonds, Series 2000
8.250% due 12/01/2029		2,500		2,508
California State Educational Facilities Authority Revenue Notes, Series 2008
10.595% due 10/01/2015		8,500		7,600
California State General Obligation Bonds, (AMBAC Insured), Series 2007
4.500% due 08/01/2028		97,500		90,715
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2032		5,800		5,752
5.000% due 11/01/2032		63,130		62,599
5.000% due 06/01/2037		27,200		26,709
5.000% due 11/01/2037		32,590		31,997
California State General Obligation Bonds, Series 2008
14.260% due 11/01/2037		4,980		4,618
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.750% due 06/01/2029		3,000		2,833
6.125% due 06/01/2038		2,000		1,869
6.125% due 06/01/2043		2,000		1,863
California State Tobacco Securitization Authority Revenue Bonds, Series 2005
5.400% due 06/01/2027		10,000		8,949
California State University Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2030		5,100		5,123
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1999
0.000% due 12/01/2028		21,000		7,064
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
10.579% due 01/01/2014		8,310		7,336
Chicago, Illinois General Obligation Notes, Series 2006
10.576% due 01/01/2014		7,810		6,330
Chicago, Illinois O'Hare International Airport Revenue Bonds, (FGIC Insured), Series 2005
5.000% due 01/01/2033		38,200		36,237
Clark County, Nevada General Obligation Notes, (FGIC Insured), Series 2006
9.729% due 11/01/2013		2,830		2,483
Comal, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2008
9.670% due 02/01/2034		4,550		3,463
Cook County, Illinois General Obligation Notes, (AMBAC Insured), Series 2006
9.710% due 11/15/2013		3,765		3,592
9.715% due 11/15/2013		6,680		6,679
Cypress-Fairbanks, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2006
10.577% due 02/15/2014		4,335		4,127
Cypress-Fairbanks, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2007
4.500% due 02/15/2026		11,000		10,699
Detroit, Michigan School District General Obligation Bonds, (FGIC/Q-SBLF Insured), Series 1998
4.750% due 05/01/2028		4,500		4,370
Florida State Board of Education General Obligation Bonds, (MBIA Insured), Series 2008
9.620% due 06/01/2037		5,575		4,573
Florida State Board of Education General Obligation Bonds, Series 2007
5.000% due 06/01/2027		8,225		8,438
5.000% due 06/01/2028		6,135		6,269
Frisco, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
0.000% due 08/15/2032		12,190		3,286
0.000% due 08/15/2034		5,265		1,257
Gainesville, Florida Utilities Systems Revenue Bonds, (FSA Insured), Series 2005
10.510% due 10/01/2036		2,275		1,919
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2033		15,300		12,485
5.125% due 06/01/2047		12,000		9,184
6.980% due 06/01/2047		15,000		9,133
9.240% due 06/01/2047		30,400		21,471
Harris County, Texas Flood Control District General Obligation Notes, Series 2008
10.489% due 10/01/2014		5,270		5,040
Houston, Texas Revenue Notes, (FSA Insured), Series 2008
11.193% due 11/15/2015		3,330		3,426
Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 1998
0.000% due 12/01/2028		8,720		2,910
Illinois State Educational Facilities Authority Revenue Bonds, Series 2005
8.220% due 07/01/2033		1,195		1,211
8.220% due 12/01/2033		5,000		5,084
Illinois State Metropolitan Pier & Exposition Authority Revenue Bonds, (MBIA Insured), Series 2002
0.000% due 12/15/2032		55,000		14,527
Indiana State Anderson School Building Corp. Revenue Bonds, (FSA Insured), Series 2006
4.750% due 01/15/2027		2,715		2,695
4.750% due 01/15/2028		2,000		1,972
Indiana State University Revenue Notes, Series 2008
11.249% due 12/15/2015		5,965		6,103
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		54,780		50,405
Keller, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2008
10.431% due 08/15/2015		5,335		5,063
King County, Washington General Obligation Notes, Series 2008
10.494% due 01/01/2016		15,200		13,567
King County, Washington Public Hospital District No. 1 General Obligation Bonds, Series 2008
5.250% due 12/01/2037		16,750		16,826
Las Vegas, Nevada Valley Water District General Obligation Bonds, Series 2008
5.000% due 02/01/2031		2,125		2,164
5.000% due 02/01/2033		8,300		8,426
5.000% due 02/01/2035		9,150		9,275
5.000% due 02/01/2036		9,605		9,729
Long Beach, California Community College District General Obligation Bonds, (FGIC Insured), Series 2007
5.000% due 05/01/2032		17,300		17,459
Los Angeles, California Community College District General Obligation Bonds, (FGIC Insured), Series 2007
5.000% due 08/01/2032		26,800		27,052
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 07/01/2038		11,900		11,908
Los Angeles, California Department of Water & Power Revenue Notes, (FSA Insured), Series 2006
10.661% due 07/01/2013		5,900		5,577
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2008
9.730% due 07/01/2023		6,800		6,400
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2008
8.930% due 07/01/2025		11,400		10,245
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		560		509
Massachusetts State Water Resources Authority Revenue Bonds, (MBIA Insured), Series 2005
7.730% due 08/01/2034		5,000		5,087
Missouri State Joint Municipal Electric Utility Commission Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 01/01/2042		39,525		36,629
Nevada State System of Higher Education Revenue Bonds, (AMBAC Insured), Series 2005
10.470% due 07/01/2030		3,335		3,422
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2029		13,200		10,924
5.000% due 06/01/2041		2,520		1,906
6.610% due 06/01/2041		16,325		9,905
9.490% due 05/15/2039		9,375		7,683
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2008
10.533% due 06/15/2015		6,800		6,336
11.294% due 12/15/2013		3,330		3,400
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2007
4.750% due 11/01/2028		7,000		7,030
New York State Counties Tobacco Trust III Revenue Bonds, Series 2005
6.000% due 06/01/2027		17,845		16,128
New York State Environmental Facilities Corp. Revenue Bonds, Series 2006
5.000% due 06/15/2025		9,700		10,041
New York State Metropolitan Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 11/15/2032		200		199
North Texas State Municipal Water District Revenue Notes, (MBIA Insured), Series 2008
10.341% due 09/01/2014		5,830		5,887
Northside, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
8.120% due 02/15/2035		4,022		4,034
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.000% due 06/01/2047		41,385		29,019
5.875% due 06/01/2030		13,700		12,228
8.800% due 06/01/2047		39,680		27,824
9.240% due 06/01/2034		5,000		3,584
9.490% due 06/01/2047		123,200		86,390
Palomar, California Community College District General Obligation Bonds, (FSA Insured), Series 2007
4.750% due 05/01/2032		7,375		7,200
Pennsylvania State Higher Educational Facilities Authority Revenue Notes, Series 2006
10.659% due 07/15/2013		6,375		5,976
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		33,000		2,264
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.125% due 06/01/2032		7,000		6,539
San Diego, California Tobacco Settlement Revenue Funding Corp. Revenue Bonds, Series 2006
7.125% due 06/01/2032		55,640		50,866
Southbridge, Massachusetts Associates LLC Revenue Bonds, (MBIA Insured), Series 2000
7.590% due 02/01/2022 (p)		31,105		35,652
Southern California State Tobacco Securitization Authority Revenue Bonds, Series 2006
5.000% due 06/01/2037		25,840		20,297
Texas State General Obligation Bonds, Series 2006
5.000% due 04/01/2033		140		141
Texas State General Obligation Notes, Series 2008
10.494% due 10/01/2015		51,805		44,536
10.499% due 10/01/2013		4,930		4,302
11.244% due 04/01/2015		19,970		20,261
11.248% due 04/01/2015		8,330		8,575
Truckee Meadows, Nevada Water Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 07/01/2036		5,560		5,543
University of Arkansas Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 11/01/2037		400		396
University of Texas Revenue Bonds, Series 2004
4.750% due 07/01/2030		7,745		7,600
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
5.500% due 06/01/2026		1,050		1,138
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
0.000% due 06/01/2046 (f)		11,000		6,451
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.625% due 06/01/2032		6,850		6,829
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		159,340		142,345
Total Municipal Bonds & Notes (Cost $1,593,380)				1,502,724
COMMODITY INDEX-LINKED NOTES 0.2%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		297,000		294,980
Total Commodity Index-Linked Notes (Cost $297,000)				294,980
U.S. GOVERNMENT AGENCIES 61.3%
Fannie Mae
0.000% due 04/25/2018 - 08/25/2023 (c)		35		31
0.950% due 03/25/2009 (b)		272		1
1.000% due 09/25/2023		3		3
2.602% due 03/25/2034		24		23
2.612% due 03/25/2036		19,941		19,948
2.632% due 08/25/2034		182		177
2.682% due 10/27/2037		81,600		78,065
2.732% due 06/25/2044		17		17
2.802% due 06/25/2037		87		85
2.832% due 07/25/2021 - 05/25/2042		5,219		5,092
2.881% due 04/18/2028		189		188
2.882% due 06/25/2029 - 11/25/2036		734		726
2.931% due 10/18/2030		1,440		1,438
2.932% due 10/25/2030		122		122
2.982% due 03/25/2017 - 08/25/2030		2,407		2,412
3.000% due 01/25/2025		89		89
3.082% due 05/25/2030		713		709
3.132% due 05/25/2030		713		705
3.382% due 04/25/2032		63		63
3.500% due 02/25/2013 - 09/25/2016		156		156
3.895% due 08/01/2033		43		44
3.917% due 04/01/2027		40		40
4.000% due 02/25/2009 - 09/01/2020		2,989		2,839
4.123% due 03/01/2035		2,762		2,779
4.245% due 03/01/2034		10,126		10,169
4.247% due 06/01/2035		4,038		4,045
4.250% due 04/25/2028		64		64
4.364% due 09/01/2034		1,957		1,979
4.375% due 04/01/2017		37		37
4.380% due 03/01/2034		14,840		14,946
4.386% due 11/01/2034		4,650		4,707
4.419% due 04/01/2027		42		42
4.424% due 09/01/2035		318		320
4.468% due 05/01/2035		51,419		52,003
4.479% due 05/01/2035		5,994		6,025
4.485% due 08/01/2035		11,807		11,865
4.488% due 07/01/2035		6,344		6,372
4.500% due 10/01/2010 - 12/01/2035		169,346		164,058
4.503% due 07/01/2035		4,786		4,797
4.598% due 02/01/2020		9		9
4.618% due 06/01/2015		251		253
4.620% due 05/01/2009		35		35
4.633% due 02/01/2035		4,905		4,972
4.640% due 07/01/2033		43		44
4.659% due 01/01/2035		478		483
4.661% due 11/01/2035		31,425		31,783
4.666% due 05/25/2035		44,956		45,783
4.670% due 05/01/2035 - 11/01/2035		45,038		45,433
4.680% due 12/01/2012		367		364
4.691% due 06/01/2035		21,409		21,439
4.693% due 02/01/2035		5,911		5,980
4.702% due 12/01/2034		507		513
4.704% due 09/01/2035		22,127		22,226
4.712% due 06/01/2035		5,102		5,129
4.721% due 09/01/2035		15,077		15,202
4.723% due 08/01/2035		6,222		6,283
4.750% due 11/01/2034 - 03/01/2035		5,001		5,056
4.799% due 11/01/2035		18,873		19,151
4.810% due 02/01/2028		40		40
4.830% due 09/01/2034		32,395		32,875
4.833% due 09/01/2017		772		771
4.834% due 06/01/2035		319		322
4.841% due 01/01/2035		18,218		18,385
4.870% due 05/01/2013		129		128
4.879% due 02/01/2035		9,784		9,895
4.892% due 01/01/2035		21,003		21,182
4.913% due 07/01/2035		5,399		5,480
4.915% due 04/01/2035		4,022		4,055
4.928% due 04/01/2038		49		49
4.940% due 01/01/2035		24,667		24,847
4.991% due 06/01/2035		1,513		1,531
4.994% due 07/01/2042 - 10/01/2044		50,241		50,272
4.995% due 12/01/2044		8,821		8,943
5.000% due 05/01/2009 - 07/01/2038		13,601,575		13,174,526
5.000% due 10/01/2035 - 03/01/2036 (k)		2,817,569		2,710,644
5.026% due 02/01/2021		138		140
5.044% due 09/01/2041		63		63
5.055% due 05/01/2024		83		85
5.057% due 06/01/2035		4,244		4,330
5.094% due 07/01/2035		4,554		4,640
5.105% due 05/01/2021		18		18
5.130% due 10/01/2035		4,272		4,253
5.146% due 09/01/2035		4,180		4,162
5.153% due 08/01/2035		2,507		2,499
5.161% due 10/01/2034		3,399		3,470
5.162% due 11/01/2035		2,829		2,817
5.171% due 10/01/2035		3,725		3,753
5.178% due 07/01/2035		3,766		3,754
5.181% due 09/01/2035		4,628		4,609
5.183% due 04/01/2027		7		7
5.194% due 10/01/2030 - 10/01/2040		9,317		9,298
5.199% due 08/01/2035		3,551		3,593
5.207% due 11/01/2024		2,387		2,400
5.214% due 08/01/2035		3,145		3,131
5.220% due 03/01/2033 - 09/01/2035		3,164		3,200
5.221% due 07/01/2035		3,283		3,268
5.227% due 09/01/2035		3,765		3,797
5.228% due 11/01/2035		4,323		4,309
5.230% due 10/01/2024		29		30
5.239% due 09/01/2024		201		202
5.243% due 07/01/2035		4,184		4,170
5.260% due 12/01/2035		4,482		4,475
5.288% due 10/01/2035		5,120		5,120
5.289% due 06/01/2024 - 10/01/2035		5,139		5,133
5.290% due 09/01/2035		76		76
5.307% due 11/01/2025		78		80
5.310% due 08/25/2033		4,400		4,491
5.347% due 11/01/2035		4,984		4,991
5.350% due 11/01/2035		5,260		5,267
5.370% due 08/25/2043		3,000		2,924
5.375% due 03/01/2023		85		86
5.384% due 01/01/2036		3,852		3,874
5.421% due 01/01/2036		113		115
5.433% due 01/01/2018		116		116
5.478% due 12/01/2036		556		558
5.500% due 10/01/2008 - 07/01/2038		36,224,523		35,813,332
5.500% due 01/01/2032 (l)		562		558
5.500% due 05/01/2034 - 01/01/2036 (k)		3,187,019		3,156,698
5.500% due 02/01/2035 (j)		276,391		274,097
5.527% due 03/01/2036		3,407		3,429
5.529% due 09/01/2034		987		984
5.549% due 07/01/2034		514		515
5.556% due 01/01/2036		2,616		2,654
5.581% due 02/01/2036		5,596		5,646
5.592% due 12/01/2035		2,800		2,828
5.619% due 03/01/2036		2,651		2,688
5.623% due 08/01/2027		1,436		1,434
5.690% due 09/01/2021		14		14
5.700% due 02/28/2025		150		149
5.705% due 05/01/2023		157		161
5.722% due 04/01/2026 - 03/01/2036		3,805		3,843
5.743% due 11/01/2025		606		616
5.750% due 01/01/2020 - 12/20/2027		1,341		1,343
5.764% due 03/01/2036		3,928		3,972
5.768% due 09/01/2037		46		47
5.786% due 01/01/2021		21		21
5.801% due 05/01/2025		239		244
5.825% due 10/01/2020		32		33
5.895% due 12/01/2018		95		95
5.899% due 05/01/2030		13		13
5.907% due 07/01/2021		44		45
5.920% due 02/01/2012 - 11/01/2023		104		107
5.930% due 06/01/2022		37		38
5.931% due 09/01/2014		21		21
5.934% due 06/01/2036		2,215		2,247
5.947% due 09/01/2019		741		747
5.960% due 04/01/2018		176		180
5.970% due 07/01/2019		14		14
5.977% due 12/01/2017		843		867
5.980% due 11/01/2011		126		130
5.990% due 02/01/2026		76		77
6.000% due 02/01/2009 - 10/25/2044		13,939,297		14,088,991
6.018% due 01/01/2026		156		159
6.024% due 02/01/2024		67		68
6.036% due 08/01/2027		1,680		1,707
6.041% due 08/01/2026		128		129
6.043% due 05/01/2022		24		25
6.055% due 02/01/2035		7,403		7,438
6.066% due 12/01/2020		567		570
6.067% due 02/01/2028 - 09/01/2036		787		792
6.069% due 02/01/2021		87		89
6.070% due 12/01/2017		5		5
6.080% due 07/01/2032		145		149
6.094% due 01/01/2020		758		761
6.126% due 07/01/2019		89		90
6.133% due 12/01/2008		15		15
6.139% due 03/01/2019		874		881
6.151% due 10/01/2034		4,223		4,260
6.172% due 11/01/2025		213		217
6.189% due 03/01/2023		439		441
6.194% due 02/25/2023 (b)		2		0
6.197% due 11/01/2034		2,744		2,784
6.203% due 03/01/2025		928		941
6.204% due 09/01/2022		153		155
6.215% due 04/01/2027		60		60
6.216% due 02/01/2022		199		200
6.221% due 12/01/2034		2,570		2,604
6.227% due 10/01/2027		253		262
6.234% due 11/01/2019		176		177
6.250% due 02/25/2029		1,857		1,901
6.266% due 10/01/2034		7,341		7,461
6.290% due 02/25/2029		500		517
6.300% due 10/17/2038		17,095		17,098
6.306% due 07/01/2024		158		162
6.315% due 11/01/2023 - 12/01/2023		361		364
6.320% due 10/01/2013		1,848		1,853
6.346% due 06/01/2025		77		78
6.353% due 05/01/2023		337		345
6.359% due 12/01/2033		791		803
6.372% due 01/01/2024		112		114
6.379% due 08/01/2025		1,164		1,196
6.382% due 07/01/2024		498		504
6.390% due 05/25/2036		16,785		17,106
6.399% due 12/01/2023		20		20
6.440% due 08/01/2022		1,257		1,291
6.450% due 12/01/2023		81		82
6.480% due 01/01/2011		71		74
6.500% due 09/25/2008 - 10/25/2022 (b)		6		0
6.500% due 02/25/2009 - 06/25/2044		397,281		412,124
6.503% due 11/01/2025		145		147
6.537% due 10/01/2027		105		106
6.539% due 03/01/2023		858		867
6.540% due 09/01/2021		8		8
6.555% due 05/01/2017		2		2
6.560% due 10/01/2019		280		283
6.566% due 04/01/2024		370		376
6.583% due 05/01/2014		77		78
6.585% due 11/01/2023		16		16
6.602% due 02/01/2027		290		293
6.623% due 10/01/2024		140		142
6.628% due 01/01/2024		55		56
6.643% due 06/01/2023		165		166
6.728% due 05/01/2026		47		48
6.730% due 06/01/2022		15		15
6.745% due 02/01/2018		45		47
6.750% due 10/25/2023		333		353
6.820% due 06/01/2023		20		21
6.824% due 12/01/2027		378		381
6.825% due 02/01/2020		59		60
6.844% due 11/01/2021		70		73
6.850% due 12/01/2026		13		13
6.875% due 12/01/2025		318		320
6.899% due 06/01/2025		464		471
6.900% due 05/25/2023		60		63
6.962% due 02/01/2028		66		66
6.975% due 09/01/2025		35		36
6.999% due 12/01/2025		222		223
7.000% due 01/01/2009 - 01/25/2048		16,382		17,256
7.015% due 09/01/2029		12		12
7.025% due 11/01/2022		20		21
7.040% due 12/01/2010		54		56
7.063% due 12/01/2022		40		40
7.077% due 10/01/2024		7		7
7.085% due 03/01/2026		55		56
7.087% due 02/01/2033		3		3
7.095% due 07/01/2026		12		12
7.110% due 10/01/2009		457		468
7.113% due 09/01/2024		144		146
7.134% due 09/01/2023		165		168
7.139% due 08/01/2023		88		89
7.145% due 11/01/2025		28		28
7.179% due 10/01/2023		25		25
7.200% due 05/01/2021		23		24
7.250% due 01/01/2023 - 11/01/2026		814		864
7.266% due 12/01/2023		69		70
7.296% due 08/01/2027		136		140
7.300% due 08/01/2031		131		134
7.375% due 05/25/2022		1,172		1,245
7.472% due 08/01/2027		36		36
7.500% due 11/01/2010 - 07/25/2041		5,515		6,031
7.504% due 06/01/2030		282		294
7.533% due 10/01/2026		11		11
7.750% due 06/01/2009 - 01/25/2022		1,858		2,007
7.780% due 01/01/2018		2,047		2,318
7.800% due 10/25/2022		248		267
7.920% due 03/01/2018		2,535		2,895
7.980% due 05/01/2030		6,160		6,736
8.000% due 02/01/2009 - 06/01/2032		4,723		5,094
8.000% due 08/18/2027 (b)		11		2
8.060% due 04/01/2030		1,714		1,887
8.080% due 04/01/2030		942		1,038
8.250% due 07/01/2009 - 02/01/2017		7		7
8.490% due 06/01/2025		873		973
8.500% due 01/01/2011 - 10/01/2032		3,659		4,019
8.750% due 01/25/2021		250		276
9.000% due 09/01/2014 - 12/01/2027		1,653		1,820
9.250% due 04/25/2018		23		25
9.300% due 05/25/2018 - 08/25/2019		71		79
9.500% due 11/01/2009 - 07/01/2022		1,016		1,128
9.541% due 09/25/2028		466		480
10.000% due 08/01/2009 - 05/01/2022		141		159
10.500% due 11/01/2013 - 04/01/2022		45		49
11.000% due 11/01/2013 - 11/01/2020		144		160
11.500% due 08/20/2016 - 11/01/2019		6		6
12.000% due 05/01/2016		1		1
12.443% due 09/25/2008		13		13
12.500% due 10/01/2015		3		3
13.250% due 09/01/2011		2		2
14.750% due 08/01/2012		11		13
15.000% due 10/15/2012		35		41
15.500% due 10/01/2012 - 12/01/2012		2		3
15.750% due 12/01/2011 - 08/01/2012		12		14
16.000% due 09/01/2012		18		20
903.212% due 08/25/2021 (b)		0		6
1000.000% due 04/25/2022 (b)		0		5
Farmer Mac
7.983% due 01/25/2012		296		294
Federal Home Loan Bank
4.250% due 07/17/2013		75		75
4.375% due 07/09/2013		100		100
7.400% due 02/01/2021		445		444
Federal Housing Administration
4.918% due 11/01/2019		18		18
6.780% due 07/25/2040		7,251		6,960
6.875% due 11/01/2015		1,853		1,817
6.880% due 02/01/2041		11,017		10,685
6.896% due 07/01/2020		10,449		10,243
6.900% due 12/01/2040		21,893		21,014
6.960% due 05/01/2016		310		307
6.997% due 09/01/2019		86		86
7.110% due 05/01/2019		1,676		1,654
7.315% due 08/01/2019		4,715		4,693
7.350% due 04/01/2019 - 11/01/2020		610		608
7.375% due 02/01/2018		154		154
7.400% due 01/25/2020 - 11/01/2020		3,078		3,078
7.430% due 10/01/2018 - 06/01/2024		14,719		14,749
7.450% due 05/01/2021		2,371		2,376
7.460% due 01/01/2023		235		235
7.465% due 11/01/2019		1,882		1,886
7.500% due 03/01/2032		3,134		3,130
7.580% due 12/01/2040		7,155		7,169
7.630% due 08/01/2041		17,168		17,165
7.780% due 11/01/2040		7,161		7,160
8.250% due 01/01/2041		4,580		4,534
8.375% due 02/01/2012		105		105
Freddie Mac
2.621% due 07/15/2019 - 10/15/2020		23,655		23,193
2.701% due 02/15/2019		11,958		11,724
2.711% due 05/15/2036		92		91
2.742% due 08/25/2031		210		204
2.821% due 12/15/2029 - 06/15/2031		8,735		8,609
2.871% due 06/15/2018 - 06/15/2031		797		794
2.921% due 11/15/2030 - 12/15/2031		37		36
2.971% due 09/15/2030 - 01/15/2032		231		231
3.000% due 05/15/2022		101		101
3.482% due 05/25/2043		13,835		13,855
3.500% due 05/15/2016 - 07/15/2032		1,129		1,085
4.000% due 04/01/2011 - 12/15/2024		33,437		33,463
4.250% due 04/15/2023 - 09/15/2024		7,000		7,010
4.500% due 11/01/2008 - 05/01/2034		21,342		21,349
4.540% due 01/01/2034		9,239		9,361
4.546% due 08/01/2035		1,210		1,215
4.586% due 09/01/2035		17,296		17,312
4.651% due 07/01/2035		17,176		17,234
4.690% due 06/01/2035		5,136		5,127
4.827% due 03/01/2035		4,950		4,997
4.829% due 10/01/2035		35,558		35,989
4.840% due 11/01/2035		34,137		34,489
4.863% due 11/01/2034		206		210
4.885% due 10/01/2035		4,137		4,196
4.904% due 10/01/2035		27,106		27,397
4.906% due 10/01/2035		35,585		35,923
4.908% due 07/01/2035		62		63
4.934% due 11/01/2035		26,371		26,639
4.994% due 10/25/2044 - 02/25/2045		32,610		30,898
5.000% due 06/15/2016 - 06/01/2038		293,999		293,404
5.050% due 10/25/2023		970		992
5.082% due 08/15/2032		5,211		5,213
5.098% due 10/01/2035		4,776		4,753
5.133% due 05/01/2035		37,768		38,278
5.194% due 07/25/2044		2,460		2,303
5.200% due 10/25/2023		194		194
5.409% due 11/01/2035		3,381		3,400
5.418% due 12/01/2035		3,479		3,497
5.462% due 12/01/2026		831		837
5.500% due 04/01/2021 - 07/01/2038		3,149,034		3,108,138
5.500% due 12/01/2036 - 09/01/2037 (k)		1,257,095		1,239,904
5.593% due 05/01/2023		14		14
5.596% due 05/01/2018		334		340
5.607% due 04/01/2025		136		137
5.704% due 03/01/2036		2,992		3,021
5.733% due 01/01/2022		92		93
5.839% due 04/01/2036		3,632		3,672
5.875% due 01/01/2019		1		1
5.950% due 06/15/2028		41,547		41,581
5.980% due 02/01/2021		6		7
5.986% due 02/01/2023		81		82
6.000% due 11/15/2008 - 07/01/2038		1,924,234		1,948,180
6.000% due 03/01/2035 (l)		553		562
6.028% due 05/01/2018		274		280
6.062% due 05/01/2021		1,352		1,364
6.125% due 12/01/2018		278		280
6.167% due 07/01/2019 - 03/01/2021		931		948
6.181% due 03/01/2022		1,267		1,297
6.200% due 12/15/2008		100		101
6.213% due 02/01/2019		224		225
6.250% due 03/15/2028 - 01/15/2036		2,618		2,687
6.265% due 05/01/2020		67		68
6.267% due 09/01/2023		190		191
6.280% due 02/01/2019		41		41
6.283% due 03/01/2024		234		236
6.365% due 01/01/2024		25		25
6.387% due 01/01/2021 - 11/01/2026		433		435
6.451% due 12/01/2022		19		19
6.475% due 09/01/2028		3		3
6.500% due 07/01/2008 - 07/25/2043		361,456		377,763
6.500% due 11/15/2008 - 09/15/2023 (b)		19		1
6.520% due 12/01/2023		148		149
6.569% due 07/01/2025		731		731
6.590% due 07/01/2023		234		233
6.625% due 04/01/2017		5		5
6.652% due 02/01/2026		414		418
6.671% due 11/01/2020		87		88
6.702% due 09/01/2023		576		582
6.710% due 01/01/2024		54		55
6.714% due 06/01/2024		545		552
6.721% due 04/01/2029		148		148
6.729% due 08/01/2023		1,237		1,251
6.737% due 04/01/2024		796		804
6.740% due 06/01/2022		29		29
6.785% due 05/01/2020		16		16
6.811% due 10/01/2020		10		10
6.832% due 09/01/2023		29		29
6.842% due 05/01/2022 - 11/01/2028		791		795
6.872% due 06/01/2022		149		151
6.875% due 09/01/2018		58		59
6.909% due 02/01/2025		24		24
6.916% due 10/01/2020		250		255
6.926% due 11/01/2023		232		234
6.928% due 06/01/2021		478		482
6.938% due 05/01/2023		186		187
6.940% due 10/01/2022		47		48
6.946% due 10/01/2026		426		432
6.950% due 07/15/2021 - 08/15/2021		46		47
6.962% due 07/01/2020		157		159
6.963% due 10/01/2024		212		214
6.979% due 08/01/2023 - 07/01/2032		5		5
7.000% due 01/01/2009 - 10/25/2043		42,665		44,953
7.000% due 09/15/2023 (b)		31		8
7.030% due 01/01/2019		57		57
7.046% due 11/01/2023		8		8
7.075% due 01/01/2019 - 09/01/2027		56		56
7.077% due 07/01/2023		69		70
7.105% due 05/01/2018 - 04/01/2023		71		71
7.110% due 07/01/2022		106		107
7.111% due 01/01/2028		29		29
7.117% due 10/01/2023 - 07/01/2024		283		284
7.138% due 08/01/2023		573		576
7.143% due 08/01/2023 - 10/01/2023		213		214
7.148% due 06/01/2022		412		416
7.156% due 10/01/2023		288		288
7.200% due 06/01/2024		258		261
7.209% due 08/01/2023		100		101
7.216% due 07/01/2027		13		14
7.240% due 09/01/2023		134		135
7.266% due 07/01/2030		1,059		1,073
7.280% due 10/01/2023		129		130
7.282% due 09/01/2023		370		373
7.332% due 05/01/2023		79		80
7.438% due 08/01/2023		45		46
7.464% due 05/01/2023		58		58
7.471% due 07/01/2019		229		231
7.500% due 09/01/2008 - 11/01/2037		18,838		20,005
7.606% due 10/01/2023		56		56
7.645% due 05/01/2025		5,751		6,122
8.000% due 04/01/2010 - 09/15/2024		4,681		4,752
8.250% due 06/15/2022		267		287
8.500% due 03/01/2009 - 06/01/2030		2,758		2,863
8.750% due 04/01/2009 - 12/15/2020		115		115
8.900% due 11/15/2020		877		949
9.000% due 04/01/2009 - 07/01/2030		690		708
9.000% due 05/01/2022 (b)		6		2
9.250% due 07/01/2017		3		3
9.500% due 09/01/2016 - 12/01/2022		685		732
10.000% due 11/01/2011 - 03/01/2021		58		64
10.100% due 09/01/2016		100		113
10.250% due 04/01/2009 - 07/01/2009		7		7
10.500% due 10/01/2017 - 01/01/2021		24		28
10.750% due 09/01/2009		1		1
11.000% due 06/01/2011 - 05/01/2020		38		42
11.250% due 10/01/2009 - 09/01/2015		2		2
11.500% due 01/01/2018		3		3
12.500% due 12/01/2012		1		1
13.250% due 10/01/2013		50		57
14.000% due 04/01/2016		2		3
15.500% due 08/01/2011		2		2
884.500% due 01/15/2021 (b)		0		3
1007.500% due 02/15/2022 (b)		0		5
Ginnie Mae
2.871% due 06/16/2031 - 03/16/2032		555		551
2.882% due 06/20/2030		29		29
2.921% due 10/16/2030		761		759
2.971% due 02/16/2030 - 04/16/2032		3,770		3,803
2.982% due 09/20/2030		216		216
3.021% due 12/16/2025		118		117
3.071% due 02/16/2030		2,570		2,595
3.121% due 02/16/2030		1,182		1,182
3.429% due 03/20/2031		200		200
4.500% due 11/16/2028 - 12/20/2028		6,380		6,290
4.500% due 07/15/2033 (l)		1,312		1,227
4.750% due 02/20/2032		1,551		1,554
5.000% due 02/20/2016 - 07/20/2037		4,005		3,981
5.125% due 12/20/2015 - 12/20/2029		29,235		29,392
5.250% due 01/20/2028 - 03/20/2030		7,244		7,274
5.375% due 02/20/2017 - 03/20/2028		24,403		24,499
5.500% due 02/20/2018 - 02/20/2036		1,794		1,789
5.625% due 07/20/2017 - 08/20/2030		35,885		36,281
5.650% due 10/15/2012		3		3
6.000% due 10/15/2008 - 08/15/2037		102,802		105,294
6.000% due 10/15/2034 - 04/15/2037 (l)		1,856		1,888
6.375% due 05/20/2017 - 05/20/2030		37,761		38,475
6.500% due 10/15/2008 - 07/15/2040		60,808		63,725
6.670% due 08/15/2040		915		927
6.750% due 06/20/2028 - 10/16/2040		43,729		44,842
7.000% due 07/15/2008 - 11/15/2032		7,419		7,842
7.250% due 07/16/2028		3		3
7.500% due 08/15/2008 - 05/15/2032		8,114		8,634
7.700% due 03/15/2041		6,523		6,994
7.750% due 12/20/2020 - 12/15/2040		1,579		1,646
8.000% due 10/15/2009 - 10/20/2031		1,145		1,250
8.250% due 04/15/2020		100		109
8.300% due 06/15/2019		20		22
8.500% due 09/15/2009 - 04/15/2031		1,036		1,138
9.000% due 09/15/2008 - 01/15/2031		1,142		1,253
9.250% due 12/20/2016		3		3
9.500% due 11/15/2008 - 07/15/2025		481		530
10.000% due 02/15/2013 - 02/15/2025		447		500
10.250% due 02/20/2019		9		11
10.500% due 12/15/2015 - 09/15/2021		100		113
11.000% due 04/15/2010 - 04/20/2019		18		20
11.500% due 04/15/2013 - 10/15/2015		11		12
12.000% due 11/15/2012 - 05/15/2016		76		86
13.000% due 12/15/2012		1		2
13.500% due 10/15/2012 - 09/15/2014		25		29
15.000% due 08/15/2011 - 11/15/2012		32		37
16.000% due 11/15/2011 - 05/15/2012		27		31
17.000% due 11/15/2011 - 12/15/2011		13		15
Small Business Administration
3.870% due 01/01/2014		1,271		1,254
4.340% due 03/01/2024		244		233
4.504% due 02/01/2014		95		91
4.524% due 02/10/2013		14,497		14,273
4.684% due 09/10/2014		5,138		5,060
4.754% due 08/10/2014		59		58
4.770% due 04/01/2024		1,065		1,042
4.870% due 12/01/2024		2,127		2,080
4.890% due 12/01/2023		1,341		1,307
4.930% due 01/01/2024		2,925		2,897
4.950% due 03/01/2025		2,464		2,381
4.980% due 11/01/2023		9,338		9,260
5.090% due 10/01/2025		932		916
5.110% due 04/01/2025 - 08/01/2025		2,087		2,062
5.130% due 09/01/2023		6,050		6,033
5.160% due 02/01/2028		2,700		2,698
5.190% due 07/01/2024		372		373
5.290% due 12/01/2027		88,098		87,803
5.310% due 05/01/2027		473		471
5.340% due 11/01/2021		7,495		7,579
5.490% due 05/01/2028		30,000		30,205
5.680% due 06/01/2028		30,133		30,184
5.780% due 08/01/2027		98		99
5.950% due 05/01/2009		113		114
6.030% due 02/01/2012		7,228		7,374
6.340% due 03/01/2021		12,860		13,302
6.344% due 08/01/2011		591		606
6.640% due 02/01/2011		1,766		1,817
6.700% due 12/01/2016		3,315		3,394
6.900% due 12/01/2020		3,652		3,820
6.950% due 11/01/2016		848		876
7.150% due 03/01/2017		1,725		1,786
7.190% due 12/01/2019		135		142
7.449% due 08/01/2010		6,319		6,469
7.452% due 09/10/2010		904		937
7.500% due 04/01/2017		825		859
7.540% due 08/10/2009		2,744		2,814
7.630% due 06/01/2020		6,541		6,923
7.640% due 03/10/2010		2,586		2,678
7.700% due 07/01/2016		121		125
8.017% due 02/10/2010		7,516		7,800
Tennessee Valley Authority
4.250% due 03/15/2013		180		176
6.000% due 03/15/2013		250		269
U.S. Department of Housing and Urban Development
3.820% due 08/01/2009		2,400		2,424
Vendee Mortgage Trust
0.449% due 06/15/2023 (b)		23,690		276
6.500% due 09/15/2024		17,265		18,339
6.814% due 01/15/2030		2,277		2,283
Total U.S. Government Agencies (Cost $79,529,252)				79,099,022
U.S. TREASURY OBLIGATIONS 0.0%
Treasury Inflation Protected Securities (g)
3.000% due 07/15/2012		62		68
U.S. Treasury Strips
0.000% due 05/15/2018		1,205		789
Total U.S. Treasury Obligations (Cost $853)				857
MORTGAGE-BACKED SECURITIES 3.5%
Adjustable Rate Mortgage Trust
5.376% due 11/25/2035		1,833		1,697
5.417% due 01/25/2036		3,229		3,053
American Home Mortgage Assets Trust
4.448% due 11/25/2046		74,282		54,910
American Home Mortgage Investment Trust
4.290% due 10/25/2034		495		435
4.390% due 02/25/2045		92,837		83,078
4.440% due 02/25/2045		45		40
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		91,782		91,609
5.414% due 09/10/2047		14,500		13,799
5.929% due 05/10/2045		28,900		28,274
Banc of America Funding Corp.
2.769% due 05/20/2035		2,834		2,068
4.105% due 03/20/2035		6,344		6,304
4.110% due 05/25/2035		154,698		144,727
4.622% due 02/20/2036		74		70
5.250% due 09/20/2034		200		193
5.357% due 11/20/2035		2,009		1,873
5.753% due 10/25/2036		2,400		1,744
5.756% due 03/20/2036		3,925		3,577
5.837% due 01/25/2037		1,900		1,376
5.888% due 04/25/2037		4,600		3,520
Banc of America Mortgage Securities, Inc.
5.500% due 11/25/2033		180		177
6.186% due 07/20/2032		1,468		1,389
6.500% due 10/25/2031		337		338
6.500% due 09/25/2033		15,249		14,958
BCAP LLC Trust
2.652% due 01/25/2037		125,938		80,641
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		454		434
4.534% due 08/25/2033		54		51
4.550% due 08/25/2035		261		248
4.593% due 01/25/2034		479		441
4.747% due 01/25/2034		20		19
4.750% due 10/25/2035		116,048		115,002
5.033% due 04/25/2033		218		210
5.068% due 11/25/2034		4,055		3,931
5.304% due 04/25/2033		6,096		5,876
5.401% due 04/25/2033		20,054		18,962
5.425% due 04/25/2033		624		590
5.519% due 11/25/2030		9,303		8,906
5.615% due 02/25/2033		14,241		13,387
5.733% due 02/25/2036		7,448		6,206
5.760% due 11/25/2034		116		114
6.736% due 02/25/2033		92		90
6.854% due 01/25/2034		34		33
Bear Stearns Alt-A Trust
2.682% due 02/25/2034		114		72
2.702% due 04/25/2035		5,195		3,182
2.702% due 12/25/2046		520		208
3.979% due 02/25/2034		11,080		9,909
5.272% due 09/25/2034		455		401
5.372% due 05/25/2035		177,945		152,616
5.500% due 08/25/2036		4,100		2,315
5.701% due 09/25/2035		83,250		68,714
5.869% due 01/25/2036		37,635		30,760
5.939% due 03/25/2036		4,364		3,334
6.600% due 01/25/2035		8,663		7,161
Bear Stearns Commercial Mortgage Securities
3.688% due 11/11/2041		1,413		1,410
5.060% due 11/15/2016		7,046		7,066
5.243% due 12/11/2038		2,600		2,334
5.302% due 10/12/2042		25,000		24,048
5.405% due 12/11/2040		15,435		14,994
5.623% due 03/11/2039		13,650		13,160
5.694% due 06/11/2050		20,000		18,891
6.440% due 06/16/2030		711		711
7.000% due 05/20/2030		33,239		34,707
Bear Stearns Mortgage Securities, Inc.
5.719% due 06/25/2030		243		239
CC Mortgage Funding Corp.
2.662% due 05/25/2036		5,928		4,748
Chaseflex Trust
5.500% due 06/25/2035		50		47
Citicorp Mortgage Securities, Inc.
5.250% due 12/25/2033		250		229
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		42		40
6.299% due 12/10/2049		21,000		20,555
Citigroup Mortgage Loan Trust, Inc.
3.282% due 08/25/2035		4,269		3,672
4.098% due 08/25/2035		17,383		16,447
4.248% due 08/25/2035		102,634		97,002
4.679% due 08/25/2035		120,640		108,967
4.700% due 12/25/2035		62,288		60,429
4.748% due 08/25/2035		186		177
5.831% due 12/25/2035		6,773		5,274
Citimortgage Alternative Loan Trust
6.000% due 06/25/2037		5,445		5,276
Collateralized Mortgage Obligation Trust
8.000% due 09/20/2021		535		535
Commercial Mortgage Acceptance Corp.
7.030% due 06/15/2031		54		55
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		145		152
Commercial Mortgage Pass-Through Certificates
2.971% due 07/16/2034		1,090		1,068
Countrywide Alternative Loan Trust
2.632% due 05/20/2046		2,505		2,293
2.652% due 01/25/2037		4,100		2,404
2.682% due 05/25/2036		4,015		2,824
2.832% due 09/25/2035		4,027		3,033
4.500% due 06/25/2035		678		672
4.528% due 02/25/2036		19		14
5.414% due 10/25/2035		1,671		1,571
5.750% due 03/25/2037		3,000		2,497
5.889% due 11/25/2035		3,913		3,205
6.000% due 10/25/2032		3,953		3,579
6.000% due 01/25/2037		18,178		14,570
6.000% due 02/25/2037		3,136		2,713
6.250% due 12/25/2033		36		35
6.250% due 11/25/2036		3,537		3,123
Countrywide Home Loan Mortgage Pass-Through Trust
2.712% due 05/25/2035		21,186		16,089
2.772% due 04/25/2035		25,087		18,839
2.802% due 03/25/2035		25		19
2.812% due 02/25/2035		22		18
2.822% due 02/25/2035		26		20
2.822% due 06/25/2035		588		518
2.862% due 09/25/2034		53		44
2.882% due 08/25/2018		2,055		2,025
3.947% due 07/25/2034		8,493		8,180
4.720% due 02/20/2035		14		14
4.799% due 11/25/2034		11		11
5.250% due 02/20/2036		57,226		50,444
5.259% due 01/20/2035		2,165		1,995
5.372% due 10/20/2035		4,122		3,758
5.454% due 02/25/2047		3,627		2,698
5.500% due 11/25/2035		15,449		12,187
5.555% due 04/20/2036		3,414		3,194
5.614% due 02/20/2036		962		942
5.650% due 03/25/2037		3,484		2,571
5.750% due 07/19/2031		28		28
5.804% due 05/20/2036		6,472		5,427
6.500% due 01/25/2034		641		590
7.070% due 10/19/2032		8		8
7.500% due 06/25/2035		615		593
Credit Suisse Mortgage Capital Certificates
5.383% due 02/15/2040		4,200		3,905
5.579% due 04/25/2037		2,100		1,703
5.863% due 02/25/2037		4,600		3,530
CS First Boston Mortgage Securities Corp.
3.326% due 03/25/2032		539		488
4.424% due 04/25/2034		57,009		55,743
5.550% due 05/25/2032		28		28
5.785% due 06/25/2032		15		15
6.127% due 06/25/2032		46		41
6.495% due 05/25/2032		166		164
6.500% due 04/25/2033		2,638		2,484
7.290% due 09/15/2041		236		242
7.500% due 12/25/2032		6		6
CW Capital Cobalt Ltd.
5.484% due 04/15/2047		4,100		3,823
Denver Arena Trust
6.940% due 11/15/2019		2,724		2,604
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 12/25/2036		24,132		23,330
2.562% due 03/25/2037		18		17
2.572% due 08/25/2037		18,607		18,208
5.500% due 12/25/2035		4,100		3,360
5.582% due 10/25/2035		2,973		2,575
5.869% due 10/25/2036		3,800		2,756
5.886% due 10/25/2036		3,800		2,721
6.005% due 10/25/2036		7,955		7,835
6.300% due 07/25/2036		4,200		3,458
DLJ Commercial Mortgage Corp.
7.300% due 06/10/2032		468		476
DLJ Mortgage Acceptance Corp.
6.502% due 08/01/2021 (p)		254		233
8.000% due 03/25/2022		21		21
Drexel Burnham Lambert CMO Trust
9.500% due 11/20/2017		26		28
First Horizon Alternative Mortgage Securities
6.250% due 08/25/2037		3,322		3,186
First Nationwide Trust
6.750% due 08/21/2031		3,287		3,282
First Republic Mortgage Loan Trust
2.771% due 08/15/2032		418		378
2.821% due 11/15/2031		17		16
2.962% due 06/25/2030		2,097		1,892
First Union National Bank Commercial Mortgage
6.141% due 02/12/2034		190		194
Fund America Investors Corp. II
5.996% due 06/25/2023		10		10
6.152% due 06/25/2023		289		281
GE Capital Commercial Mortgage Corp.
4.229% due 12/10/2037		22,746		22,552
GMAC Mortgage Securities, Inc.
7.430% due 12/01/2021		533		534
8.950% due 08/20/2017		45		49
Government Lease Trust
4.000% due 05/18/2011		35,750		35,398
6.480% due 05/18/2011		9,438		9,735
GS Mortgage Securities Corp. II
6.044% due 08/15/2018		9,834		10,010
6.624% due 05/03/2018		55,900		59,264
GSR Mortgage Loan Trust
2.832% due 01/25/2034		106		90
4.397% due 12/25/2034		87		81
4.519% due 06/25/2034		81		75
4.539% due 09/25/2035		106,324		103,128
4.689% due 09/25/2035		68,083		67,242
5.248% due 11/25/2035		210,151		197,683
5.347% due 11/25/2035		3,856		3,648
5.500% due 03/25/2035		150		146
6.000% due 03/25/2032		95		95
GSRPM Mortgage Loan Trust
3.182% due 01/25/2032		2,130		1,810
Harborview Mortgage Loan Trust
2.628% due 04/19/2038		30,772		21,561
2.722% due 03/19/2037		20,495		14,461
2.822% due 06/20/2035		2,076		1,610
2.832% due 01/19/2035		4,475		3,884
2.852% due 02/19/2034		15		14
3.938% due 06/19/2034		6,800		6,645
Homebanc Mortgage Trust
2.662% due 12/25/2036		5,102		3,941
5.800% due 04/25/2037		4,314		3,394
5.913% due 04/25/2037		4,100		2,446
Impac CMB Trust
3.392% due 07/25/2033		22		20
Impac Secured Assets CMN Owner Trust
2.572% due 11/25/2036		10,746		10,127
Indymac ARM Trust
6.124% due 01/25/2032		968		798
6.446% due 01/25/2032		223		220
6.947% due 08/25/2031		499		499
Indymac INDA Mortgage Loan Trust
5.936% due 08/25/2036		4,100		3,280
Indymac INDB Mortgage Loan Trust
2.782% due 11/25/2035		1,985		1,422
Indymac Index Mortgage Loan Trust
2.582% due 01/25/2037		38		36
2.782% due 06/25/2037		3,548		2,055
5.000% due 08/25/2035		4,320		3,731
5.099% due 09/25/2035		3,682		3,023
5.240% due 01/25/2036		19,420		15,705
5.277% due 06/25/2035		3,745		3,008
5.369% due 01/25/2036		2,198		2,110
5.439% due 09/25/2035		4,010		2,766
5.511% due 10/25/2035		1,968		1,585
5.704% due 04/25/2037		22,729		17,090
5.986% due 04/25/2037		50,275		37,369
5.987% due 06/25/2036		2,900		2,233
6.550% due 01/25/2035		436		397
Indymac Loan Trust
2.762% due 07/25/2009		21		20
JPMorgan Alternative Loan Trust
2.552% due 05/25/2036		609		607
JPMorgan Chase Commercial Mortgage Securities Corp.
4.575% due 07/15/2042		7,108		7,042
4.824% due 09/12/2037		16,300		16,008
4.851% due 08/15/2042		45		45
5.273% due 02/12/2051		36		35
5.336% due 05/15/2047		191,131		179,661
5.420% due 01/15/2049		54,699		50,802
5.440% due 06/12/2047		27,850		25,959
5.937% due 02/12/2049		100		95
JPMorgan Mortgage Trust
4.766% due 07/25/2035		162		141
4.792% due 02/25/2034		5,539		5,215
4.881% due 04/25/2035		2,438		2,318
4.930% due 02/25/2036		18,059		17,615
5.005% due 07/25/2035		45,193		43,297
5.020% due 02/25/2035		19		18
5.120% due 10/25/2035		3,723		3,488
5.379% due 08/25/2035		3,700		3,510
5.403% due 11/25/2035		3,450		3,299
5.500% due 10/25/2035		2,863		2,629
LB Mortgage Trust
8.423% due 01/20/2017		15,023		15,375
LB-UBS Commercial Mortgage Trust
3.323% due 03/15/2027		838		836
4.563% due 09/15/2026		14,000		13,840
5.424% due 02/15/2040		21,400		19,949
5.866% due 09/15/2045		16,135		15,427
5.969% due 03/15/2026		55		55
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		768		731
MASTR Adjustable Rate Mortgages Trust
2.722% due 05/25/2037		4,240		2,949
3.786% due 11/21/2034		11,700		11,232
5.195% due 05/25/2034		136		122
6.173% due 10/25/2032		3,613		3,601
MASTR Alternative Loans Trust
2.882% due 03/25/2036		17,470		12,437
MASTR Asset Securitization Trust
5.500% due 09/25/2033		2,300		2,155
MASTR Seasoned Securities Trust
6.203% due 09/25/2017		22,313		22,218
6.500% due 08/25/2032		45,982		44,156
Mellon Residential Funding Corp.
2.821% due 11/15/2031		19,600		17,684
2.911% due 12/15/2030		4,199		3,901
2.994% due 06/15/2030		648		612
3.540% due 10/20/2029		11,690		11,259
Merrill Lynch Alternative Note Asset
2.782% due 03/25/2037		5,200		3,158
5.660% due 06/25/2037		4,663		3,571
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		8,000		7,375
5.378% due 08/12/2048		4,000		3,714
5.485% due 03/12/2051		3,200		2,987
5.700% due 09/12/2049		35		33
6.156% due 08/12/2049		9,300		9,003
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		81		66
4.232% due 08/25/2034		5,921		5,788
4.872% due 06/25/2035		20,082		19,191
4.910% due 12/25/2032		113		108
Merrill Lynch Mortgage Trust
4.929% due 07/12/2034		3,461		3,457
MLCC Mortgage Investors, Inc.
2.812% due 06/25/2028		3,876		3,711
2.851% due 03/15/2025		233		176
4.430% due 10/25/2035		167,198		158,454
4.546% due 01/25/2029		12		12
4.958% due 04/25/2035		2,386		2,286
Morgan Stanley Capital I
2.542% due 10/15/2020		53,582		50,079
5.447% due 02/12/2044		50		47
5.569% due 12/15/2044		26,000		24,227
5.692% due 04/15/2049		3,600		3,402
5.809% due 12/12/2049		40,085		38,140
6.160% due 04/03/2014		1,581		1,591
6.170% due 10/03/2034		1,383		1,388
Morgan Stanley Dean Witter Capital I
4.740% due 11/13/2036		26,500		25,573
5.500% due 04/25/2017		40		40
Morgan Stanley Mortgage Loan Trust
5.701% due 02/25/2047		3,400		2,448
6.446% due 06/25/2036		39,709		33,076
Nomura Asset Acceptance Corp.
5.703% due 02/25/2036		2,424		1,903
5.820% due 03/25/2047		3,300		2,749
6.138% due 03/25/2047		3,000		2,316
7.000% due 02/19/2030		2,905		2,847
Opteum Mortgage Acceptance Corp.
2.742% due 07/25/2035		4,339		3,750
Pacific Collateralized Mortgage Obligation Trust
8.000% due 03/20/2018		36		36
Paine Webber CMO Trust
1359.500% due 08/01/2019 (b)		0		3
Prime Mortgage Trust
2.882% due 02/25/2019		2,775		2,629
2.882% due 02/25/2034		14,708		13,373
Provident Funding Mortgage Loan Trust
3.912% due 10/25/2035		14,816		14,234
4.443% due 04/25/2034		15,980		15,398
Prudential Home Mortgage Securities
7.500% due 08/25/2008		1		1
Prudential-Bache CMO Trust
8.400% due 03/20/2021		397		397
RAAC Series 2005-SP1
5.000% due 09/25/2034		9,066		9,024
Regal Trust IV
5.060% due 09/29/2031		1,363		1,360
Resecuritization Mortgage Trust
2.732% due 04/26/2021		1		1
Residential Accredit Loans, Inc.
2.582% due 09/25/2046		14,855		10,156
2.662% due 06/25/2046		174,386		125,084
5.300% due 08/25/2035		2,872		2,399
5.672% due 09/25/2035		3,042		2,591
5.714% due 02/25/2036		3,471		2,819
Residential Asset Mortgage Products, Inc.
2.652% due 07/25/2024		884		884
Residential Asset Securitization Trust
2.882% due 01/25/2046		36,527		25,821
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		669		656
Salomon Brothers Mortgage Securities VII, Inc.
2.982% due 05/25/2032		169		156
6.767% due 12/25/2030		138		132
Santa Barbara Savings & Loan Association
9.500% due 11/20/2018		225		226
Sears Mortgage Securities
12.000% due 02/25/2014		70		69
Securitized Asset Sales, Inc.
6.754% due 11/26/2023		144		140
Sequoia Mortgage Trust
2.829% due 07/20/2033		239		214
2.832% due 10/19/2026		374		354
4.080% due 04/20/2035		46,227		42,370
Sovereign Commercial Mortgage Securities Trust
5.833% due 07/22/2030		1,200		1,179
Structured Adjustable Rate Mortgage Loan Trust
2.722% due 06/25/2035		2,582		2,202
4.928% due 01/25/2035		275		260
5.246% due 05/25/2036		4,100		3,563
5.305% due 08/25/2034		840		793
5.377% due 11/25/2035		2,173		1,846
5.431% due 09/25/2036		4,100		3,377
5.450% due 01/25/2036		13,547		12,131
5.666% due 06/25/2035		6,426		5,481
5.950% due 02/25/2036		3,737		2,837
6.000% due 03/25/2036		3,599		2,664
6.000% due 10/25/2037		3,213		2,400
Structured Asset Mortgage Investments, Inc.
2.602% due 08/25/2036		18,027		12,909
2.612% due 03/25/2037		11		8
2.652% due 03/25/2037		53		37
2.672% due 06/25/2036		2,490		1,763
2.702% due 05/25/2036		78		55
2.732% due 07/19/2035		390		330
2.792% due 12/25/2035		5,241		3,766
2.812% due 09/19/2032		12,334		11,241
2.832% due 03/19/2034		19		17
5.758% due 04/30/2030		2		2
5.868% due 05/25/2022		1,899		1,768
Structured Asset Securities Corp.
4.510% due 01/25/2034		1,825		1,700
5.250% due 12/25/2034		9,886		9,710
5.369% due 01/25/2032		2,278		2,244
5.374% due 03/25/2033		10,620		10,195
5.432% due 10/25/2035		147		135
5.820% due 07/25/2032		1,069		971
6.050% due 02/25/2032		2,191		2,018
6.103% due 05/25/2032		76		76
Structured Mortgage Asset Residential Trust
7.250% due 07/25/2024		40		40
TBW Mortgage-Backed Pass-Through Certificates
2.592% due 01/25/2037		82		79
5.630% due 01/25/2037		1,600		1,153
5.970% due 09/25/2036		5,000		3,658
6.014% due 07/25/2037		3,300		2,644
6.080% due 09/25/2036		3,739		3,597
Thornburg Mortgage Securities Trust
2.588% due 05/25/2046		18,281		18,018
2.602% due 09/25/2046		5,228		5,044
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028		4,000		3,878
6.800% due 01/25/2028		1,689		1,701
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		2,264		2,137
5.342% due 12/15/2043		194,050		179,542
5.678% due 05/15/2046		60		57
5.893% due 05/15/2043		50		50
Wachovia Mortgage Loan Trust LLC
5.444% due 10/20/2035		2,275		2,153
WaMu Mortgage Pass-Through Certificates
2.742% due 11/25/2045		6,076		4,663
2.772% due 08/25/2045		170		168
2.772% due 10/25/2045		43,276		33,774
2.792% due 01/25/2045		23		18
2.808% due 11/25/2034		77		66
2.862% due 11/25/2045		6,634		6,279
3.022% due 12/25/2027		1,765		1,612
3.122% due 12/25/2027		28,305		26,842
4.361% due 02/27/2034		493		458
4.508% due 06/25/2046		48,578		35,483
4.528% due 02/25/2046		155		114
4.561% due 06/25/2033		14,731		14,362
4.611% due 05/25/2046		3,520		2,932
4.728% due 11/25/2042		291		269
4.780% due 10/25/2046		35,080		27,384
4.928% due 06/25/2042		1,649		1,497
4.928% due 08/25/2042		277		249
5.028% due 11/25/2046		2,425		1,984
Washington Mutual Alternative Mortgage Pass-Through Certificates
6.268% due 07/25/2036		2,400		1,718
Washington Mutual MSC Mortgage Pass-Through Certificates
4.813% due 06/25/2033		11,886		11,597
6.500% due 06/25/2032		35		36
6.544% due 05/25/2033		361		290
6.773% due 02/25/2031		65		63
6.792% due 02/25/2033		85		82
Wells Fargo Mortgage-Backed Securities Trust
2.982% due 07/25/2037		10,060		8,693
3.539% due 09/25/2034		34,567		32,919
3.989% due 12/25/2034		540		528
4.305% due 05/25/2035		16,687		16,465
4.321% due 07/25/2035		49,635		42,651
4.945% due 01/25/2035		19		18
4.950% due 03/25/2036		235,356		226,789
5.227% due 03/25/2036		8,102		7,529
Total Mortgage-Backed Securities (Cost $4,753,527)				4,510,500
ASSET-BACKED SECURITIES 1.9%
Accredited Mortgage Loan Trust
2.532% due 02/25/2037		8,178		8,008
ACE Securities Corp.
2.532% due 06/25/2036		1,801		1,795
2.532% due 07/25/2036		7,742		7,634
American Express Credit Account Master Trust
3.421% due 08/15/2012		392,000		394,681
AmeriCredit Automobile Receivables Trust
3.430% due 07/06/2011		64		63
Ameriquest Mortgage Securities, Inc.
2.912% due 10/25/2033		73		62
Amortizing Residential Collateral Trust
2.752% due 06/25/2032		315		295
2.772% due 07/25/2032		3		3
Argent Securities, Inc.
2.532% due 10/25/2036		7,989		7,766
2.682% due 10/25/2035		2,623		2,547
Asset-Backed Funding Certificates
2.542% due 10/25/2036		3,086		3,059
Asset-Backed Securities Corp. Home Equity
2.542% due 07/25/2036		1,947		1,941
2.562% due 05/25/2037		11,291		11,121
2.642% due 05/25/2035		20		20
2.642% due 06/25/2035		2,919		2,893
2.758% due 09/25/2034		84		72
BA Credit Card Trust
2.501% due 11/15/2013		19,860		19,500
2.671% due 01/15/2013		21,400		21,211
3.051% due 04/15/2013		163,210		162,999
Bay View Auto Trust
5.010% due 06/25/2014		45		45
Bear Stearns Asset-Backed Securities Trust
2.522% due 02/25/2037		7,983		7,774
2.542% due 05/25/2036		740		725
2.552% due 12/25/2036		12,218		11,242
2.572% due 04/25/2036		335		334
2.632% due 01/25/2037		30,701		27,991
2.672% due 01/25/2047		597		576
2.802% due 12/25/2034		10		9
2.882% due 10/27/2032		3,088		2,807
3.142% due 10/25/2032		7,910		6,962
5.695% due 06/25/2043		2,733		2,493
Brazos Student Finance Corp.
2.870% due 06/01/2023		2,917		2,899
Capital Auto Receivables Asset Trust
3.391% due 03/15/2011		43,200		43,364
3.921% due 10/15/2012		41,600		42,000
Carrington Mortgage Loan Trust
2.532% due 08/25/2036		2,958		2,930
2.532% due 01/25/2037		120		116
Cendant Mortgage Corp.
5.988% due 07/25/2043		2,142		2,016
Chase Funding Mortgage Loan Asset-Backed Certificates
3.122% due 08/25/2032		1,666		1,637
3.222% due 10/25/2032		103		95
Chase Issuance Trust
2.721% due 09/15/2011		45,800		45,711
3.371% due 05/16/2011		26,500		26,626
CIT Group Home Equity Loan Trust
2.752% due 06/25/2033		8		7
Citigroup Mortgage Loan Trust, Inc.
2.522% due 09/25/2036		1,810		1,788
2.532% due 11/25/2036		3,018		2,980
2.542% due 05/25/2037		3,188		3,025
2.552% due 12/25/2036		768		743
2.552% due 05/25/2037 (p)		25,289		24,027
5.764% due 01/25/2037		2,600		1,958
CNH Equipment Trust
4.270% due 01/15/2010		7		6
Community Program Loan Trust
4.500% due 10/01/2018		6,646		6,574
4.500% due 04/01/2029		26,000		23,283
Conseco Finance
2.921% due 05/15/2032		145		129
Countrywide Asset-Backed Certificates
2.512% due 01/25/2046		20,411		20,254
2.532% due 03/25/2037		18,055		17,629
2.532% due 05/25/2037		1,414		1,380
2.532% due 07/25/2037		132		127
2.532% due 08/25/2037		58,579		57,544
2.532% due 05/25/2047		634		618
2.562% due 06/25/2037		12,666		12,455
2.642% due 02/25/2036		5,844		5,481
2.962% due 12/25/2031		3		2
Credit-Based Asset Servicing & Securitization LLC
2.462% due 01/25/2037		128		124
3.582% due 04/25/2032		571		535
CS First Boston Mortgage Securities Corp.
3.102% due 01/25/2032		395		363
3.132% due 08/25/2032		1,556		1,439
3.182% due 07/25/2032		52		47
CSAB Mortgage-Backed Trust
5.684% due 12/25/2036		3,500		2,425
5.720% due 09/25/2036		4,000		3,276
6.172% due 06/25/2036		5,000		4,168
Daimler Chrysler Auto Trust
5.000% due 02/08/2012		50		51
Delta Funding Home Equity Loan Trust
3.291% due 09/15/2029		210		153
Discover Card Master Trust I
2.846% due 10/16/2013		400		395
Equity One Asset-Backed Securities, Inc.
3.042% due 11/25/2032		155		136
Equivantage Home Equity Loan Trust
7.300% due 10/25/2025		2		2
Fieldstone Mortgage Investment Corp.
2.562% due 05/25/2036		188		188
First Alliance Mortgage Loan Trust
3.242% due 03/20/2031		1,205		752
First Franklin Mortgage Loan Asset-Backed Certificates
2.512% due 07/25/2036		3,613		3,594
2.532% due 10/25/2036		17,233		16,701
2.532% due 11/25/2036		5,923		5,692
2.532% due 03/25/2037		9,458		9,063
2.552% due 12/25/2036		9,872		9,167
2.552% due 12/25/2037		2,420		2,385
2.852% due 12/25/2034		592		495
First USA Credit Card Master Trust
2.641% due 04/18/2011		20,030		20,030
FMAC Loan Receivables Trust
6.500% due 09/15/2020		22		16
7.900% due 04/15/2019		20		20
Ford Credit Auto Owner Trust
3.371% due 01/15/2011		77,600		77,838
3.891% due 06/15/2012		47,400		47,891
4.950% due 03/15/2013		25		25
Franklin Auto Trust
3.482% due 10/20/2011		92,700		92,527
4.062% due 06/20/2012		28,900		28,846
Fremont Home Loan Trust
2.532% due 10/25/2036		8,650		8,443
2.652% due 01/25/2036		8		8
Green Tree Financial Corp.
6.240% due 11/01/2016		36		34
6.480% due 12/01/2030		14		14
6.870% due 04/01/2030		834		772
Greenpoint Manufactured Housing
7.270% due 06/15/2029		110		87
GSAA Trust
2.782% due 03/25/2037		5,200		2,606
2.782% due 05/25/2047		1,000		517
GSAMP Trust
2.522% due 08/25/2036		226		224
2.552% due 01/25/2036		1,613		1,545
2.572% due 11/25/2035		1,073		985
2.772% due 03/25/2034		563		555
GSR Mortgage Loan Trust
2.582% due 11/25/2030		11		11
HFC Home Equity Loan Asset-Backed Certificates
2.632% due 03/20/2036		11,814		10,480
2.769% due 01/20/2034		15,545		13,776
2.829% due 09/20/2033		35		33
Home Equity Asset Trust
2.542% due 05/25/2037		21,992		20,882
3.082% due 11/25/2032		154		124
HSBC Asset Loan Obligation
2.542% due 12/25/2036		1,787		1,714
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		60,145		57,662
IMC Home Equity Loan Trust
7.115% due 07/25/2026		72		72
7.310% due 11/20/2028		41		40
7.500% due 04/25/2026		40		39
7.520% due 08/20/2028		30		30
Indymac Residential Asset-Backed Trust
2.522% due 08/25/2036		3,522		3,511
2.542% due 04/25/2037		108		107
JPMorgan Mortgage Acquisition Corp.
2.522% due 08/25/2036		4,762		4,701
2.532% due 07/25/2036		6,812		6,623
2.532% due 10/25/2036		2,551		2,497
2.542% due 05/25/2037		17,745		16,988
2.562% due 08/25/2036		13,560		13,005
2.572% due 10/25/2036		555		533
Lehman ABS Mortgage Loan Trust
2.572% due 06/25/2037		16,794		15,703
Lehman XS Trust
2.552% due 05/25/2046		137		131
2.562% due 04/25/2046		8,300		8,221
2.562% due 06/25/2046		10,059		9,697
2.562% due 08/25/2046		3,906		3,832
2.572% due 05/25/2046		10,523		10,275
Long Beach Mortgage Loan Trust
2.522% due 07/25/2036		5,058		5,037
2.522% due 11/25/2036		1,508		1,464
2.622% due 02/25/2036		11,741		11,604
2.762% due 10/25/2034		4,796		3,985
MASTR Asset-Backed Securities Trust
2.532% due 03/25/2036		25		25
2.532% due 01/25/2037		298		269
2.542% due 10/25/2036		182		181
2.562% due 01/25/2036		382		381
MBNA Credit Card Master Note Trust
2.461% due 09/15/2011		146,800		146,382
Merrill Lynch First Franklin Mortgage Loan Trust
2.542% due 07/25/2037		9,165		8,870
Merrill Lynch Mortgage Investors, Inc.
2.512% due 05/25/2037		1,609		1,593
2.552% due 08/25/2036		637		617
2.552% due 02/25/2037		450		448
2.552% due 07/25/2037		20,175		19,610
2.602% due 02/25/2037		7,700		7,241
Mesa Trust Asset-Backed Certificates
2.882% due 12/25/2031		2,010		1,988
Mid-State Trust
6.340% due 10/15/2036		21,596		17,616
7.340% due 07/01/2035		936		945
7.791% due 03/15/2038		3,638		3,229
8.330% due 04/01/2030		18,791		18,581
Morgan Stanley ABS Capital I
2.532% due 07/25/2036		302		288
2.582% due 09/25/2036		200		182
3.282% due 07/25/2037		31,640		28,426
Morgan Stanley Home Equity Loans
2.532% due 12/25/2036		21,642		21,124
2.562% due 12/25/2035		35		35
Morgan Stanley IXIS Real Estate Capital Trust
2.532% due 11/25/2036		82		81
2.592% due 11/25/2036		200		185
Morgan Stanley Mortgage Loan Trust
2.712% due 02/25/2037		1,700		826
2.842% due 04/25/2037		7,800		4,552
5.726% due 10/25/2036		2,800		2,275
5.750% due 11/25/2036		3,439		2,987
5.750% due 04/25/2037		3,285		2,867
6.000% due 07/25/2047		3,452		2,970
MPC Natural Gas Funding Trust
6.200% due 03/15/2013		3,942		4,084
Nationstar Home Equity Loan Trust
2.542% due 03/25/2037		14,499		14,034
Nelnet Student Loan Trust
2.801% due 12/24/2018		177		177
2.811% due 12/22/2014		148		148
2.930% due 01/26/2015		272		272
3.010% due 07/25/2016		817		817
New Century Home Equity Loan Trust
2.752% due 09/25/2035		35,031		33,836
Nissan Auto Receivables Owner Trust
4.280% due 06/16/2014		50		49
Nomura Asset Acceptance Corp.
2.622% due 01/25/2036		2,600		2,438
Option One Mortgage Loan Trust
2.522% due 02/25/2037		2,776		2,758
Origen Manufactured Housing
3.380% due 08/15/2017		1		1
Ownit Mortgage Loan Asset-Backed Certificates
2.542% due 03/25/2037		3,493		3,459
Popular ABS Mortgage Pass-Through Trust
2.572% due 06/25/2047		36,125		34,588
PP&L Transition Bond Co. LLC
7.150% due 06/25/2009		224		227
Quest Trust
2.912% due 12/25/2033		281		185
RAAC Series 2007-SP2
2.882% due 06/25/2047		1,700		1,196
Renaissance Home Equity Loan Trust
2.842% due 11/25/2034		177		158
3.182% due 08/25/2032		104		90
5.565% due 02/25/2036		29		29
Residential Asset Mortgage Products, Inc.
2.552% due 05/25/2036		1,727		1,710
2.632% due 11/25/2035		34		34
Residential Asset Securities Corp.
2.532% due 09/25/2036		6,124		6,095
2.552% due 11/25/2036		38		38
2.562% due 10/25/2036		14,791		14,513
Residential Funding Mortgage Securities II, Inc.
2.582% due 12/25/2035		6,519		5,970
Residential Mortgage Loan Trust
3.938% due 09/25/2029		15		15
SACO I, Inc.
2.542% due 05/25/2036		6,988		4,913
2.702% due 06/25/2035		998		908
2.732% due 12/25/2035		277		173
Salomon Brothers Mortgage Securities VII, Inc.
2.782% due 03/25/2032		592		580
3.042% due 09/25/2028		1,650		1,595
Saxon Asset Securities Trust
3.002% due 08/25/2032		809		803
3.022% due 01/25/2032		1		1
Securitized Asset-Backed Receivables LLC Trust
2.542% due 03/25/2036		2,526		2,511
2.542% due 12/25/2036		1,014		951
SLM Student Loan Trust
2.900% due 04/25/2014		34,109		34,037
2.910% due 10/25/2016		1,341		1,338
2.910% due 07/25/2017		3,946		3,932
2.910% due 10/25/2018		1,794		1,783
2.920% due 01/25/2016		1,112		1,111
2.936% due 12/15/2033		30,800		30,819
3.220% due 01/25/2015		67,515		67,279
3.514% due 10/25/2017		50,000		49,609
3.714% due 01/25/2019		40,000		39,544
Soundview Home Equity Loan Trust
2.522% due 11/25/2036		22		22
2.532% due 10/25/2036		840		828
2.602% due 03/25/2036		1,585		1,569
Specialty Underwriting & Residential Finance
2.512% due 06/25/2037		57		57
2.562% due 12/25/2036		100		100
Structured Asset Investment Loan Trust
3.182% due 04/25/2033		2,194		1,930
Structured Asset Securities Corp.
2.562% due 01/25/2037		23,840		22,677
2.772% due 01/25/2033		6,683		5,674
4.900% due 04/25/2035		30,936		23,838
UPFC Auto Receivables Trust
5.490% due 05/15/2012		32		31
Washington Mutual Asset-Backed Certificates
2.532% due 01/25/2037		21,975		20,732
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		898		877
2.722% due 10/25/2035		80		78
2.722% due 11/25/2035		25,099		24,899
2.732% due 12/25/2035		84,223		81,898
WMC Mortgage Loan Pass-Through Certificates
3.151% due 05/15/2030		2,879		2,865
3.371% due 10/15/2029		996		986
Total Asset-Backed Securities (Cost $2,530,268)				2,473,586
SOVEREIGN ISSUES 0.1%
Banque Centrale de Tunisie
7.375% due 04/25/2012		4,220		4,484
China Development Bank
5.000% due 10/15/2015		29,300		28,705
Export-Import Bank of Korea
2.920% due 10/04/2011		88,600		88,915
Hydro Quebec
2.560% due 09/29/2049		5,600		4,940
Italy Government International Bond
3.250% due 05/15/2009		160		160
Korea Development Bank
3.019% due 10/31/2008		100		100
4.750% due 07/20/2009		300		301
Korea Expressway Corp.
5.125% due 05/20/2015		100		94
Province of Ontario Canada
5.500% due 10/01/2008		150		151
Russia Government International Bond
8.250% due 03/31/2010		611		638
South Africa Government International Bond
5.875% due 05/30/2022		100		93
6.500% due 06/02/2014		27,000		27,844
Total Sovereign Issues (Cost $155,195)				156,425
FOREIGN CURRENCY-DENOMINATED ISSUES 3.7%
American International Group, Inc.
4.875% due 03/15/2067	EUR	30,000		35,462
8.625% due 05/22/2038	GBP	100,000		194,144
Atlas Reinsurance PLC
8.947% due 01/10/2010	EUR	3,000		4,779
Banque Centrale de Tunisie
7.500% due 08/06/2009		2,300		3,662
Bauhaus Securities Ltd.
5.168% due 10/30/2052		58		89
BBVA International Preferred S.A. Unipersonal
4.952% due 09/29/2049		18,000		23,098
Bear Stearns Cos., Inc.
5.034% due 10/20/2009		6,050		9,401
5.137% due 07/27/2012		9,000		13,507
5.208% due 09/26/2013		36,000		53,119
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012	BRL	4,810,676		2,611,994
10.000% due 01/01/2013		190,000		100,296
10.000% due 01/01/2017		1,518,624		742,061
Brazilian Government International Bond
10.250% due 01/10/2028		111,300		59,014
BTM Curacao Holdings NV
1.586% due 11/29/2049	JPY	1,000,000		9,400
Citigroup, Inc.
4.250% due 02/25/2030	EUR	60,000		64,600
Countrywide Financial Corp.
5.258% due 11/23/2010		14,000		20,277
Countrywide Home Loans, Inc.
5.305% due 11/24/2008		33,400		51,551
Danske Bank A/S
4.878% due 02/28/2049		8,000		10,451
5.684% due 12/29/2049	GBP	16,400		27,945
Gaz Capital S.A.
5.875% due 06/01/2015	EUR	20,000		28,120
General Electric Capital Corp.
4.625% due 09/15/2066		10,000		13,245
5.500% due 09/15/2067		151,800		211,467
General Motors Corp.
8.375% due 07/05/2033		25,000		21,324
HBOS PLC
4.875% due 03/29/2049		14,090		17,489
KBC Bank Funding Trust IV
8.220% due 11/29/2049		5,000		7,981
KeyBank N.A.
5.005% due 11/05/2009		2,500		3,804
Keycorp
5.056% due 11/22/2010		14,695		21,908
Lloyds TSB Capital
7.375% due 12/29/2049		26,000		40,234
Mexican Bonos
7.250% due 12/15/2016	MXN	275,000		23,650
Mizuho Finance Cayman Ltd.
1.879% due 01/01/2049	JPY	1,000,000		9,502
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	81,500		83,490
Nordic Telephone Co. Holdings ApS
6.340% due 11/30/2013	EUR	11,308		17,353
6.565% due 11/30/2014		13,540		20,856
Norinchukin Finance Ltd.
5.625% due 09/28/2016	GBP	25,000		45,339
Poland Government International Bond
5.750% due 03/24/2010	PLN	54,490		25,086
Principal Financial Global Funding LLC
5.958% due 03/20/2010	GBP	9,300		18,532
Pylon Ltd.
6.460% due 12/29/2008	EUR	250		392
Silver Arrow S.A.
4.544% due 08/15/2014		52,187		81,714
SLM Corp.
5.158% due 12/15/2010		7,000		9,494
Sumitomo Mitsui Banking Corp.
0.950% due 06/02/2049	JPY	1,000,000		9,346
1.766% due 12/31/2049		1,100,000		10,429
Suntrust Bank
5.072% due 12/20/2011	EUR	10,000		14,676
6.072% due 06/22/2012	GBP	5,000		9,589
Total Foreign Currency-Denominated Issues (Cost $4,562,242)				4,779,870
SHORT-TERM INSTRUMENTS 5.9%
Certificates of Deposit 1.4%
Abbey National Treasury Services PLC
2.409% due 07/02/2008	$	386,400		386,400
Bank of Ireland
2.753% due 01/15/2010		34,200		33,699
Calyon Financial, Inc.
2.689% due 01/16/2009		317,800		316,916
5.266% due 06/29/2010		43,140		42,673
Capital One Bank USA N.A.
2.763% due 02/23/2009		100,000		97,694
Fortis Bank NY
2.646% due 09/30/2008		187,070		186,812
HSBC Bank USA N.A.
2.957% due 07/28/2008		74,800		74,816
Lehman Brothers Bank FSB
4.033% due 01/28/2016		100		100
Nordea Bank Finland PLC
2.436% due 04/09/2009		432,700		432,524
Skandinaviska Enskilda Banken AB
2.658% due 08/21/2008		7,000		6,998
2.738% due 02/13/2009		237,460		237,321
				1,815,953
Commercial Paper 2.9%
Australia & New Zealand Banking Group Ltd.
2.730% due 09/15/2008		37,100		36,880
2.760% due 09/18/2008		15,800		15,702
Bank of America Corp.
2.450% due 08/01/2008		239,450		238,945
2.500% due 07/17/2008		15,600		15,583
2.700% due 08/05/2008		226,850		226,255
2.700% due 09/19/2008		60,400		60,019
2.730% due 09/22/2008		13,600		13,511
Barclays U.S. Funding Corp.
2.680% due 08/01/2008		400		399
2.680% due 09/02/2008		128,800		128,182
2.690% due 09/04/2008		78,200		77,811
2.780% due 09/23/2008		2,600		2,583
2.780% due 09/26/2008		28,400		28,203
BNP Paribas Finance, Inc.
2.500% due 07/01/2008		47,000		47,000
2.622% due 09/08/2008		33,000		32,824
2.691% due 10/02/2008		4,100		4,069
2.741% due 09/18/2008		13,800		13,714
2.750% due 08/01/2008		29,600		29,530
2.750% due 09/18/2008		6,100		6,062
Calyon Financial, Inc.
2.490% due 07/08/2008		3,000		2,999
CBA (de) Finance
2.540% due 08/04/2008		5,200		5,188
2.650% due 09/15/2008		5,100		5,070
2.700% due 09/26/2008		200		199
Citibank N.A.
3.570% due 10/23/2008		29,200		28,928
Danske Corp.
2.500% due 07/15/2008		1,300		1,299
2.720% due 08/01/2008		14,200		14,167
2.750% due 09/18/2008		600		596
2.750% due 09/22/2008		52,500		52,155
DnB NOR Bank ASA
2.750% due 09/05/2008		30,300		30,147
Federal Home Loan Bank
2.000% due 07/01/2008		665,000		665,000
2.180% due 08/04/2008		1,100		1,098
2.189% due 07/18/2008		800		799
2.190% due 07/24/2008		500		499
2.191% due 07/09/2008		1,000		1,000
2.198% due 07/11/2008		3,300		3,298
2.203% due 07/25/2008		3,100		3,095
2.250% due 08/20/2008		1,400		1,396
2.336% due 08/27/2008		9,800		9,764
General Electric Capital Corp.
2.450% due 08/01/2008		9,500		9,480
ING Funding LLC
2.480% due 08/08/2008		12,800		12,766
2.500% due 08/01/2008		4,500		4,490
2.540% due 08/01/2008		900		898
2.550% due 08/14/2008		100		100
2.730% due 08/14/2008		22,650		22,574
Intesa Funding LLC
2.440% due 07/01/2008		42,100		42,100
2.530% due 07/16/2008		300		300
2.640% due 08/04/2008		500		499
2.790% due 09/24/2008		2,000		1,986
2.800% due 09/26/2008		700		695
Lloyds TSB Bank PLC
2.490% due 07/01/2008		54,400		54,400
Nordea N.A., Inc.
2.620% due 07/09/2008		7,600		7,596
2.700% due 09/25/2008		3,300		3,277
2.770% due 09/29/2008		42,000		41,697
Rabobank USA Financial Corp.
2.240% due 07/01/2008		9,500		9,500
2.450% due 08/04/2008		8,400		8,381
Royal Bank of Scotland Group PLC
2.520% due 08/06/2008		44,100		43,989
2.550% due 08/06/2008		200		199
2.560% due 08/11/2008		2,100		2,094
2.600% due 07/10/2008		4,600		4,597
2.630% due 07/11/2008		3,100		3,098
2.630% due 09/08/2008		43,400		43,169
2.680% due 08/06/2008		7,500		7,480
2.750% due 08/05/2008		600		598
2.770% due 08/05/2008		17,000		16,954
2.770% due 09/17/2008		46,200		45,917
2.790% due 09/22/2008		70,600		70,136
2.860% due 08/06/2008		23,300		23,233
2.860% due 08/07/2008		3,300		3,290
3.150% due 07/22/2008		6,000		5,989
San Paolo U.S. Financial Co.
2.770% due 09/17/2008		4,800		4,771
2.770% due 09/24/2008		174,400		173,223
2.800% due 09/25/2008		22,900		22,743
2.920% due 10/20/2008		23,200		22,991
Santander U.S. Debt S.A. Unipersonal
2.750% due 09/30/2008		10,000		9,927
Societe General N.A.
2.650% due 08/06/2008		16,300		16,257
2.700% due 08/06/2008		12,150		12,117
2.700% due 08/08/2008		1,400		1,396
2.740% due 09/10/2008		340,200		338,329
2.750% due 09/25/2008		35,300		35,058
2.780% due 09/19/2008		5,500		5,465
2.800% due 09/10/2008		3,200		3,182
2.800% due 09/12/2008		6,000		5,966
2.860% due 08/06/2008		91,400		91,139
Svenska Handelsbanken AB
2.510% due 08/20/2008		4,500		4,484
2.590% due 07/07/2008		800		800
2.700% due 09/26/2008		25,000		24,826
UBS Finance Delaware LLC
2.500% due 07/16/2008		4,000		3,996
2.520% due 07/16/2008		1,700		1,698
2.525% due 07/16/2008		3,700		3,696
2.550% due 07/16/2008		4,559		4,554
2.625% due 09/02/2008		110,000		109,472
2.630% due 07/14/2008		9,550		9,541
2.635% due 09/03/2008		72,300		71,946
2.645% due 09/03/2008		152,600		151,854
2.650% due 08/05/2008		3,581		3,572
2.650% due 09/10/2008		51,400		51,117
2.725% due 08/05/2008		3,900		3,890
2.800% due 09/03/2008		5,000		4,976
2.800% due 09/10/2008		9,100		9,050
2.830% due 09/25/2008		20,900		20,757
2.845% due 09/30/2008		29,200		28,987
2.900% due 09/03/2008		7,700		7,662
2.930% due 10/27/2008		24,900		24,659
Unicredito Italiano SpA
2.650% due 08/06/2008		47,100		46,975
2.990% due 09/08/2008		22,600		22,480
3.030% due 08/06/2008		40,400		40,278
Westpac Banking Corp.
2.500% due 08/06/2008		1,900		1,895
2.690% due 08/01/2008		33,000		32,924
2.710% due 08/06/2008		75,300		75,096
2.730% due 09/18/2008		4,000		3,975
Westpac Trust Securities NZ Ltd.
2.770% due 09/18/2008		2,500		2,484
				3,805,659
Repurchase Agreements 1.0%
Deutsche Bank AG
1.500% due 07/01/2008		741,600		741,600
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% - 9.000% due 11/15/2018 - 02/15/2023 valued at $782,827 and U.S. Treasury Inflation Protected Securities 1.875% due 07/15/2013 valued at $10,632. Repurchase proceeds are $741,631.)
Fixed Income Clearing Corp.
1.650% due 07/01/2008		517,083		517,083
(Dated 06/30/2008. Collateralized by Fannie Mae 0.000% due 09/24/2008 valued at $241,089; Federal Home Loan Bank 0.000% - 2.550% due 09/12/2008 - 09/19/2008 valued at $118,038; and Freddie Mac 5.000% due 09/16/2008 valued at $168,300. Repurchase proceeds are $517,107.)
Lehman Brothers, Inc.
1.250% due 07/01/2008		1,400		1,400
(Dated 06/30/2008. Collateralized by U.S. Treasury Inflation Protected Securities 2.375% due 01/15/2025 valued at $1,436. Repurchase proceeds are $1,400.)
				1,260,083
U.S. Treasury Bills 0.6%
1.795% due 08/28/2008 - 09/25/2008 (e)(h)(i)		720,405		716,504
Total Short-Term Instruments (Cost $7,604,081)				7,598,199
Purchased Options (n) 0.2% (Cost $632,266)				257,918
Total Investments 108.3% (Cost $141,815,662)			$	139,836,053
Written Options (o) (0.3%) (Premiums $682,981)				(385,350	)
Other Assets and Liabilities (Net) (8.0%)				(10,365,106	)
Net Assets 100.0%			$	129,085,597

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) Payment in-kind bond security.

(e) Coupon represents a weighted average rate.

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

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

(h) Securities with an aggregate market value of $694,227 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(i) Securities with an aggregate market value of $994 have been pledged as collateral for delayed-delivery securities on June 30, 2008.

(j) Securities with an aggregate market value of $274,097 and cash of $113,000 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2008.

(k) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $6,544,598 at a weighted average interest rate of 2.395%. On June 30, 2008, securities valued at $6,680,639 were pledged as collateral for reverse repurchase agreements.

(l) Securities with an aggregate market value of $4,235 and cash of $682,029 have been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Euribor December Futures	Long	12/2008	7,436	$	152
90-Day Euribor June Futures	Long	06/2009	4,202		(859	)
90-Day Euribor March Futures	Long	03/2009	7,094		(262	)
90-Day Eurodollar December Futures	Long	12/2008	143,041		556,541
90-Day Eurodollar December Futures	Long	12/2009	41,510		(60,709	)
90-Day Eurodollar June Futures	Long	06/2009	81,416		(61,875	)
90-Day Eurodollar March Futures	Long	03/2009	77,979		60,087
90-Day Eurodollar March Futures	Long	03/2010	31,801		(44,465	)
90-Day Eurodollar September Futures	Long	09/2008	26,405		11,486
90-Day Eurodollar September Futures	Long	09/2009	59,444		(70,429	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	48,197		34,865
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	199		359
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	19,575		(41,855	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	2,016		(6,684	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	12,624		(12,775	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	29,184		(19,567	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	42,890		(49,427	)
				$	294,583

(m) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation	)
ABX Financing Co. 5.750% due 10/15/2016	Buy	(0.530	%)	12/20/2016	BEAR	$	10,000	$	103
American International Group, Inc. 0.000% convertible until 11/09/2031	Sell	0.195	%	03/20/2010	BOA		50,000		(1,722	)
American International Group, Inc. 5.600% due 10/18/2016	Sell	0.250	%	09/20/2008	GSC		90,000		(425	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.900	%	06/20/2009	DUB		25,000		(90	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.730	%	03/20/2013	DUB		25,000		(421	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.750	%	03/20/2013	JPM		10,000		(160	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.780	%	03/20/2013	DUB		10,000		(149	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.790	%	03/20/2013	CSFB		10,000		(145	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.790	%	03/20/2013	DUB		25,000		(361	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.800	%	03/20/2013	BCLY		18,900		(266	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.800	%	03/20/2013	CSFB		10,000		(141	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.800	%	03/20/2013	DUB		20,000		(281	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.800	%	03/20/2013	GSC		10,000		(141	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.810	%	03/20/2013	BCLY		30,000		(410	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.810	%	03/20/2013	CSFB		20,000		(273	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.815	%	03/20/2013	BCLY		25,000		(337	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.820	%	03/20/2013	DUB		20,000		(265	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.020	%	03/20/2013	DUB		10,000		(53	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.030	%	03/20/2013	CSFB		20,000		(99	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.050	%	03/20/2013	BOA		20,000		(83	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.150	%	03/20/2013	CITI		9,600		(2	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.210	%	03/20/2013	LEH		24,700		55
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.250	%	03/20/2013	UBS		25,000		95
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.270	%	03/20/2013	CSFB		15,000		69
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.120	%	06/20/2013	DUB		15,000		(635	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.130	%	06/20/2013	BCLY		25,000		(1,048	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.130	%	06/20/2013	DUB		50,000		(2,096	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.150	%	06/20/2013	GSC		10,000		(411	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.510	%	06/20/2013	DUB		20,000		(524	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.530	%	06/20/2013	DUB		40,900		(1,038	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.630	%	06/20/2013	DUB		25,000		(531	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.650	%	06/20/2013	GSC		25,000		(510	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.800	%	06/20/2013	DUB		25,000		(355	)
AmerisourceBergen Corp. 5.625% due 09/15/2012	Buy	(0.600	%)	09/20/2012	MSC		10,000		29
Anadarko Finance Co. 6.750% due 05/01/2011	Buy	(0.260	%)	06/20/2011	LEH		10,600		86
AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.810	%)	12/20/2015	RBS		10,000		139
Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.160	%)	03/20/2011	CSFB		10,000		37
Bank of America Corp. 6.250% due 04/15/2012	Sell	0.850	%	03/20/2013	BNP		25,000		(211	)
Bank of America Corp. 6.250% due 04/15/2012	Sell	0.920	%	03/20/2013	CITI		10,000		(55	)
Bank of America Corp. 6.250% due 04/15/2012	Sell	0.925	%	03/20/2013	MSC		20,000		(105	)
Bank of America Corp. 6.250% due 04/15/2012	Sell	0.950	%	03/20/2013	RBS		10,000		(42	)
Bank of America Corp. 6.250% due 04/15/2012	Sell	0.970	%	03/20/2013	BNP		10,000		(34	)
Bank of America Corp. 6.250% due 04/15/2012	Sell	0.980	%	03/20/2013	UBS		10,000		(29	)
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	MLP		5,000		307
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	UBS		35,000		2,150
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.740	%	09/20/2012	RBS		10,000		(122	)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	1.130	%	09/20/2012	LEH		10,000		26
BellSouth Corp. 4.200% due 09/15/2009	Buy	(0.140	%)	09/20/2009	BEAR		5,000		(1	)
BellSouth Corp. 5.200% due 09/15/2014	Buy	(0.325	%)	09/20/2014	LEH		35,000		118
BHP Billiton Finance Ltd. 5.125% due 03/29/2012	Buy	(0.135	%)	03/20/2012	BOA		10,000		225
Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.500	%)	06/20/2011	UBS		10,000		350
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.430	%	10/20/2011	LEH		25,000		480
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.120	%	11/20/2011	LEH		2,500		19
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.140	%	11/20/2011	LEH		50,000		418
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.140	%	11/20/2011	MSC		50,000		419
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.980	%	01/20/2012	BCLY		15,000		82
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	0.980	%	01/20/2012	DUB		7,500		41
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.620	%	03/20/2013	BCLY		20,900		516
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.660	%	03/20/2013	MSC		47,000		1,244
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.710	%	05/20/2013	MLP		15,000		382
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.720	%	05/20/2013	LEH		30,000		777
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.210	%	01/20/2014	LEH		25,000		107
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.920	%	03/20/2016	LEH		25,000		978
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.980	%	03/20/2016	LEH		6,900		297
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.950	%	04/20/2016	MLP		300		12
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	2.090	%	05/20/2016	CSFB		10,000		468
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.520	%	01/20/2017	MSC		6,000		77
California State General Obligation Bonds, Series 2003, 5.250% due 02/01/2018	Sell	0.560	%	03/20/2018	LEH		25,000		60
California State General Obligation Notes, Series 2005, 5.000% due 03/01/2018	Sell	0.610	%	03/20/2018	GSC		25,000		150
Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Buy	(0.380	%)	12/20/2012	BOA		10,000		261
Capital One Financial Corp. 5.700% due 09/15/2011	Buy	(0.350	%)	09/20/2011	UBS		7,000		924
Cardinal Health, Inc. 5.800% due 10/15/2016	Buy	(0.420	%)	12/20/2016	BCLY		13,000		262
CBS Corp. 5.625% due 08/15/2012	Buy	(0.590	%)	09/20/2012	BEAR		15,000		384
China Government International Bond 4.750% due 10/29/2013	Sell	0.230	%	03/20/2010	LEH		50,000		(182	)
Chrysler Financial 9.360% due 08/03/2012	Sell	5.050	%	09/20/2012	DUB		6,000		(924	)
CIT Group, Inc. 7.750% due 04/02/2012	Sell	7.550	%	03/20/2009	RBS		25,000		(509	)
CIT Group, Inc. 7.750% due 04/02/2012	Sell	7.650	%	03/20/2009	DUB		10,000		(197	)
CIT Group, Inc. 7.750% due 04/02/2012	Sell	7.300	%	03/20/2010	JPM		25,000		(1,102	)
CIT Group, Inc. 7.750% due 04/02/2012	Sell	7.300	%	03/20/2010	RBS		25,000		(1,102	)
CIT Group, Inc. 7.750% due 04/02/2012	Sell	7.350	%	03/20/2010	JPM		10,000		(434	)
CIT Group, Inc. 7.750% due 04/02/2012	Sell	7.350	%	03/20/2010	RBS		15,000		(650	)
CIT Group, Inc. 7.750% due 04/02/2012	Sell	7.550	%	03/20/2010	DUB		15,000		(606	)
CIT Group, Inc. 7.750% due 04/02/2012	Sell	7.600	%	03/20/2010	BNP		10,000		(397	)
CitiFinancial, Inc. 6.625% due 06/01/2015	Buy	(0.145	%)	06/20/2015	BCLY		11,000		774
Citigroup, Inc. 6.125% due 11/21/2017	Buy	(0.800	%)	12/20/2017	DUB		30,000		1,332
Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.320	%	09/20/2012	LEH		25,000		(913	)
Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.530	%	09/20/2012	JPM		359,600		(10,266	)
Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.810	%	03/20/2013	BOA		20,000		(442	)
Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.810	%	03/20/2013	UBS		20,000		(442	)
Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.820	%	03/20/2013	DUB		10,000		(217	)
Citigroup, Inc. 6.500% due 01/18/2011	Buy	(0.830	%)	12/20/2017	JPM		10,000		423
Citigroup, Inc. 6.500% due 01/18/2011	Buy	(0.820	%)	12/20/2017	HSBC		3,000		129
Citigroup, Inc. 6.500% due 01/18/2011	Buy	(0.770	%)	12/20/2017	JPM		10,000		465
CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.690	%)	12/20/2014	BOA		10,600		296
CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.470	%)	12/20/2014	CITI		10,200		407
CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.440	%)	09/20/2011	BEAR		10,300		142
CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.295	%)	09/20/2011	BCLY		15,000		273
Comcast Corp. 5.300% due 01/15/2014	Buy	(0.390	%)	03/20/2014	BCLY		15,000		(239	)
Comcast Corp. 5.300% due 01/15/2014	Buy	(0.360	%)	03/20/2014	MSC		11,500		496
Comcast Corp. 5.900% due 03/15/2016	Buy	(0.535	%)	03/20/2016	BEAR		15,000		684
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	5.750	%	12/20/2008	BCLY		15,000		209
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	5.750	%	12/20/2008	JPM		5,000		70
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	6.150	%	12/20/2008	DUB		25,000		433
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	4.725	%	06/20/2009	CSFB		20,000		270
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	4.800	%	06/20/2009	CSFB		5,000		74
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	5.300	%	06/20/2009	BCLY		5,000		94
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	5.450	%	06/20/2009	RBS		5,000		101
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	5.700	%	06/20/2009	RBS		3,000		68
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	6.000	%	06/20/2009	RBS		25,000		640
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	8.750	%	06/20/2009	GSC		10,000		578
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	9.500	%	06/20/2009	MLP		10,000		655
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	4.100	%	06/20/2010	BCLY		18,000		401
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	5.150	%	06/20/2010	RBS		3,000		125
Countrywide Home Loans, Inc. 6.000% due 01/24/2018	Sell	2.900	%	06/20/2013	GSC		25,000		746
CSX Corp. 6.750% due 03/15/2011	Buy	(0.165	%)	03/20/2011	BEAR		10,600		328
CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.250	%)	09/20/2011	CSFB		10,200		93
CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.240	%)	09/20/2011	RBS		6,200		59
Daimler Finance N.A. LLC 4.875% due 06/15/2010	Buy	(0.520	%)	06/20/2010	BEAR		10,000		33
Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.535	%)	09/20/2011	BCLY		15,000		117
Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.480	%)	09/20/2011	RBS		10,000		95
Daimler Finance N.A. LLC 5.875% due 03/15/2011	Buy	(0.655	%)	03/20/2011	BEAR		10,000		27
Daimler Finance N.A. LLC 5.875% due 03/15/2011	Buy	(0.520	%)	03/20/2011	BEAR		10,000		62
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS		31,200		29
Dominion Resources, Inc. 5.200% due 01/15/2016	Buy	(0.430	%)	03/20/2016	MLP		15,000		273
Dominion Resources, Inc. 6.400% due 06/15/2018	Buy	(0.750	%)	06/20/2018	JPM		2,000		12
Dominion Resources, Inc. 6.400% due 06/15/2018	Buy	(0.740	%)	06/20/2018	CITI		20,000		136
E.I. Du Pont De Nemours & Co. 5.250% due 12/15/2016	Buy	(0.210	%)	12/20/2016	DUB		10,000		247
EnCana Corp. 6.300% due 11/01/2011	Buy	(0.230	%)	12/20/2011	LEH		10,300		180
Enterprise Products Operating LP 7.500% due 02/01/2011	Buy	(0.200	%)	03/20/2011	MLP		10,700		204
Exelon Corp. 4.900% due 06/15/2015	Buy	(0.520	%)	06/20/2015	MLP		10,000		388
Fannie Mae 5.500% due 06/09/2033	Sell	0.510	%	03/20/2013	BCLY		50,000		(230	)
Fannie Mae 5.500% due 06/09/2033	Sell	0.520	%	03/20/2013	RBS		75,000		(312	)
Fannie Mae 5.500% due 06/09/2033	Sell	0.570	%	03/20/2013	BNP		50,000		(101	)
Fannie Mae 5.500% due 06/09/2033	Sell	0.630	%	03/20/2013	LEH		50,000		28
Fannie Mae 5.500% due 06/09/2033	Sell	0.730	%	03/20/2013	DUB		8,400		41
Fannie Mae 5.500% due 06/09/2033	Sell	0.730	%	03/20/2013	RBS		15,000		73
Fannie Mae 5.500% due 06/09/2033	Sell	0.810	%	03/20/2013	RBS		50,000		414
FirstEnergy Corp. 6.450% due 11/15/2011	Buy	(0.130	%)	12/20/2011	MLP		10,000		207
Florida State Board of Education General Obligation Notes, Series 2005 5.000% due 06/01/2018	Sell	0.470	%	03/20/2018	CITI		10,000		71
Florida State Board of Education General Obligation Notes, Series 2005 5.000% due 06/01/2018	Sell	0.470	%	03/20/2018	LEH		15,000		107
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.400	%	09/20/2008	CSFB		10,000		(97	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.150	%	06/20/2010	JPM		10,000		(1,299	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.350	%	12/20/2010	UBS		10,000		(1,357	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.750	%	03/20/2011	MSC		10,000		(1,601	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.750	%	03/20/2011	UBS		5,000		(800	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.760	%	03/20/2011	LEH		10,000		(1,599	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.450	%	06/20/2011	BNP		10,000		(1,783	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.470	%	06/20/2011	UBS		25,000		(4,448	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.500	%	06/20/2011	MSC		20,000		(3,546	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.600	%	06/20/2011	JPM		15,000		(2,629	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.760	%	06/20/2011	DUB		10,000		(1,720	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.770	%	06/20/2011	DUB		10,000		(1,718	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.800	%	06/20/2011	UBS		25,000		(4,280	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.830	%	06/20/2011	DUB		10,000		(1,706	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.920	%	06/20/2011	DUB		10,000		(1,687	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.020	%	06/20/2011	DUB		10,000		(1,667	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.050	%	06/20/2011	GSC		10,000		(1,661	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.050	%	06/20/2011	LEH		10,000		(1,661	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.320	%	06/20/2011	JPM		10,000		(1,606	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.620	%	09/20/2011	DUB		25,000		(4,654	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012	DUB		10,000		(2,363	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012	GSC		5,800		(1,370	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	4.150	%	09/20/2012	BCLY		10,000		(2,290	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.620	%	09/20/2012	JPM		10,000		(1,932	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.620	%	09/20/2012	MLP		5,100		(985	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.650	%	09/20/2012	DUB		3,500		(674	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.700	%	09/20/2012	GSC		10,000		(1,912	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.750	%	09/20/2012	DUB		10,000		(1,900	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.750	%	09/20/2012	JPM		8,000		(1,520	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.800	%	09/20/2012	BCLY		4,100		(774	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.800	%	09/20/2012	CITI		10,000		(1,888	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.850	%	09/20/2012	DUB		10,000		(1,876	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.000	%	12/20/2008	LEH		3,100		(73	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	4.300	%	12/20/2008	LEH		3,000		(66	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	7.250	%	03/20/2009	DUB		6,900		(182	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	5.000	%	06/20/2009	CITI		25,000		(297	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	5.000	%	06/20/2009	MLP		3,200		(52	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	6.400	%	06/20/2009	MLP		3,400		(153	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	5.850	%	09/20/2012	GSC		12,800		(2,401	)
Ford Motor Credit Co. LLC 7.875% due 06/15/2010	Buy	(2.310	%)	06/20/2010	LEH		40,000		6,349
Gannett Co., Inc. 5.750% due 06/01/2011	Buy	(0.330	%)	06/20/2011	JPM		6,500		415
GATX Financial Corp. 6.273% due 06/15/2011	Buy	(0.220	%)	06/20/2011	BEAR		10,500		299
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.950	%	01/20/2009	MSC		66,400		33
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.700	%	03/20/2009	BNP		13,600		(14	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.750	%	03/20/2009	CITI		116,600		(82	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.770	%	03/20/2009	BOA		10,000		(25	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.800	%	03/20/2009	CITI		27,100		(9	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.850	%	03/20/2009	DUB		65,000		(124	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.900	%	03/20/2009	BOA		13,600		6
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.750	%	06/20/2009	DUB		50,000		(114	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.750	%	06/20/2009	GSC		75,000		(176	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.770	%	06/20/2009	LEH		20,000		(43	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.000	%	06/20/2009	UBS		10,000		(2	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.190	%	03/20/2010	LEH		50,000		(886	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.193	%	03/20/2010	BOA		50,000		(884	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.770	%	06/20/2010	BCLY		6,500		(60	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.800	%	06/20/2010	BOA		25,000		(215	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.800	%	06/20/2010	DUB		20,200		(174	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.800	%	06/20/2010	MLP		15,000		(129	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.850	%	06/20/2010	BCLY		17,500		(139	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.900	%	12/20/2010	GSC		6,400		(68	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.935	%	12/20/2010	BCLY		7,200		(71	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.940	%	12/20/2010	BNP		22,800		(220	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.950	%	12/20/2010	DUB		10,400		(98	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.620	%	03/20/2011	BCLY		32,500		(646	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.800	%	06/20/2011	BNP		10,000		(169	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.960	%	06/20/2011	GSC		14,000		(181	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.640	%	12/20/2012	BCLY		33,800		(1,241	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.910	%	03/20/2013	BCLY		50,000		(1,412	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.580	%	03/20/2013	BCLY		25,000		(17	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.280	%	06/20/2013	BCLY		40,000		(580	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.280	%	06/20/2013	GSC		10,000		(145	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.280	%	03/20/2016	JPM		10,000		(786	)
General Mills, Inc. 6.000% due 02/15/2012	Buy	(0.180	%)	03/20/2012	BEAR		10,400		104
General Motors Corp. 7.125% due 07/15/2013	Sell	1.810	%	09/20/2008	BEAR		11,700		(249	)
General Motors Corp. 7.125% due 07/15/2013	Sell	6.150	%	09/20/2008	MLP		25,000		(249	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	12/20/2012	BOA		30,300		(9,841	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	12/20/2012	DUB		6,400		(2,079	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.550	%	12/20/2012	JPM		7,000		(2,265	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	12/20/2012	CITI		6,400		(2,063	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.600	%	12/20/2012	DUB		14,600		(4,706	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.630	%	12/20/2012	CITI		7,700		(2,476	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.630	%	12/20/2012	MSC		7,600		(2,444	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.800	%	12/20/2012	BNP		7,200		(2,285	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.850	%	12/20/2012	BCLY		18,200		(5,754	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.860	%	12/20/2012	GSC		15,000		(4,739	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.880	%	12/20/2012	MLP		14,100		(4,272	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.900	%	12/20/2012	UBS		34,900		(10,991	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.950	%	12/20/2012	CITI		15,000		(4,706	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.950	%	12/20/2012	UBS		10,000		(3,137	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	12/20/2012	GSC		10,000		(3,125	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	12/20/2012	LEH		10,000		(3,125	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	12/20/2012	RBS		10,000		(3,125	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.010	%	12/20/2012	DUB		10,000		(3,122	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.070	%	12/20/2012	BCLY		10,000		(3,108	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.150	%	12/20/2012	BOA		15,000		(4,632	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.150	%	12/20/2012	DUB		15,000		(4,632	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.150	%	12/20/2012	GSC		4,400		(1,359	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.150	%	12/20/2012	JPM		10,000		(3,088	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.150	%	12/20/2012	LEH		29,700		(9,171	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.200	%	12/20/2012	LEH		10,000		(3,076	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.250	%	12/20/2012	CITI		10,000		(3,063	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.250	%	12/20/2012	GSC		20,000		(6,126	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.250	%	12/20/2012	UBS		10,000		(3,063	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.450	%	12/20/2012	CITI		10,000		(3,014	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.450	%	12/20/2012	DUB		25,000		(7,535	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.450	%	12/20/2012	LEH		5,000		(1,507	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.500	%	12/20/2012	BOA		10,000		(3,002	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.500	%	12/20/2012	DUB		10,000		(3,002	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.550	%	12/20/2012	BOA		15,000		(4,484	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.900	%	12/20/2012	CITI		25,000		(7,258	)
General Motors Corp. 7.125% due 07/15/2013	Sell	6.450	%	12/20/2012	BOA		10,000		(2,767	)
General Motors Corp. 7.125% due 07/15/2013	Sell	6.450	%	12/20/2012	GSC		5,000		(1,384	)
General Motors Corp. 7.125% due 07/15/2013	Sell	6.550	%	12/20/2012	DUB		15,000		(4,114	)
General Motors Corp. 7.125% due 07/15/2013	Sell	6.550	%	12/20/2012	LEH		10,000		(2,743	)
General Motors Corp. 7.125% due 07/15/2013	Sell	6.650	%	12/20/2012	MLP		9,400		(2,555	)
General Motors Corp. 7.125% due 07/15/2013	Sell	6.660	%	12/20/2012	DUB		10,000		(2,716	)
General Motors Corp. 7.125% due 07/15/2013	Sell	6.820	%	12/20/2012	GSC		25,000		(6,691	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	03/20/2013	CSFB		5,000		(532	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	03/20/2013	DUB		30,000		(3,116	)
General Motors Corp. 7.125% due 07/15/2013	Sell	7.700	%	03/20/2013	GSC		30,000		(7,449	)
General Motors Corp. 7.125% due 07/15/2013	Sell	7.750	%	03/20/2013	BOA		10,000		(2,470	)
General Motors Corp. 7.125% due 07/15/2013	Sell	7.880	%	03/20/2013	BOA		10,000		(2,438	)
General Motors Corp. 7.125% due 07/15/2013	Sell	7.920	%	03/20/2013	GSC		10,000		(2,428	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.000	%	03/20/2013	RBS		10,000		(2,407	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.220	%	03/20/2013	BOA		25,000		(5,880	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.300	%	03/20/2013	CITI		10,000		(2,332	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.450	%	03/20/2013	DUB		25,000		(5,735	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.850	%	03/20/2013	BOA		25,000		(5,483	)
General Motors Corp. 7.125% due 07/15/2013	Sell	9.100	%	03/20/2013	CITI		10,000		(2,130	)
General Motors Corp. 7.125% due 07/15/2013	Sell	9.100	%	03/20/2013	DUB		10,000		(2,130	)
General Motors Corp. 7.125% due 07/15/2013	Sell	9.100	%	03/20/2013	GSC		4,900		(1,044	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	BCLY		5,000		(638	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	BOA		20,200		(2,729	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	CITI		40,000		(5,355	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	DUB		36,700		(5,401	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	GSC		35,000		(4,798	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	MSC		5,000		(688	)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	06/20/2013	RBS		5,000		(751	)
Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.260% due 04/20/2010	Buy	(0.170	%)	06/20/2010	BOA		50,000		8,226
Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.440% due 01/21/2011	Buy	(0.340	%)	03/20/2011	JPM		10,000		1,955
Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.365	%)	03/20/2012	DUB		20,000		4,495
GMAC LLC 6.000% due 04/01/2011	Buy	(1.250	%)	06/20/2011	RBS		15,000		4,667
GMAC LLC 6.875% due 08/28/2012	Sell	1.050	%	09/20/2008	MSC		1,400		(38	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.450	%	09/20/2008	GSC		50,000		(1,060	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.450	%	09/20/2008	MLP		25,000		(530	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.500	%	09/20/2008	MLP		50,000		(1,054	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.700	%	09/20/2008	DUB		15,000		(308	)
GMAC LLC 6.875% due 08/28/2012	Sell	4.250	%	09/20/2008	JPM		35,000		(670	)
GMAC LLC 6.875% due 08/28/2012	Sell	4.500	%	09/20/2008	LEH		20,000		(370	)
GMAC LLC 6.875% due 08/28/2012	Sell	4.600	%	09/20/2008	CITI		25,000		(456	)
GMAC LLC 6.875% due 08/28/2012	Sell	4.600	%	09/20/2008	UBS		3,800		(69	)
GMAC LLC 6.875% due 08/28/2012	Sell	4.750	%	09/20/2008	BCLY		25,000		(446	)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	03/20/2009	CITI		7,700		510
GMAC LLC 6.875% due 08/28/2012	Sell	8.500	%	03/20/2009	LEH		7,800		(310	)
GMAC LLC 6.875% due 08/28/2012	Sell	8.700	%	03/20/2009	JPM		10,000		(384	)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	06/20/2009	MLP		7,800		(257	)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	06/20/2009	MSC		2,500		5
GMAC LLC 6.875% due 08/28/2012	Sell	3.600	%	09/20/2009	GSC		50,000		(6,898	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.600	%	09/20/2009	LEH		25,000		(3,449	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.600	%	09/20/2009	UBS		25,000		(3,449	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.900	%	09/20/2009	LEH		25,000		(3,371	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.950	%	09/20/2009	GSC		25,000		(3,358	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.750	%	09/20/2012	JPM		12,000		(3,591	)
GMAC LLC 6.875% due 08/28/2012	Sell	4.000	%	09/20/2012	DUB		10,000		(2,942	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.580	%	09/20/2012	RBS		10,000		(287	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.800	%	09/20/2012	JPM		20,000		(409	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.830	%	09/20/2012	BNP		7,000		(135	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.850	%	09/20/2012	MSC		25,000		(464	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.900	%	09/20/2012	UBS		5,000		(83	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.920	%	09/20/2012	BCLY		5,000		(80	)
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	BEAR		10,000		625
H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.390	%)	03/20/2012	BEAR		15,400		(3	)
H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.370	%)	03/20/2012	BEAR		8,200		4
HCP, Inc. 5.950% due 09/15/2011	Buy	(0.610	%)	09/20/2011	JPM		5,000		293
HCP, Inc. 5.950% due 09/15/2011	Buy	(0.530	%)	09/20/2011	CSFB		7,350		447
HCP, Inc. 6.300% due 09/15/2016	Buy	(0.650	%)	09/20/2016	MLP		13,500		1,315
HSBC Finance Corp. 7.000% due 05/15/2012	Sell	1.800	%	03/20/2010	RBS		16,700		(81	)
HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.250% due 01/15/2014	Buy	(0.165	%)	12/20/2013	BNP		15,000		1,077
HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.430% due 06/01/2016	Buy	(0.220	%)	06/20/2016	BEAR		10,000		317
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.390	%	12/20/2008	RBS		33,000		(53	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008	LEH		3,500		(5	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008	DUB		17,000		(25	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.370	%	03/20/2009	BCLY		4,440		(12	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.450	%	03/20/2009	MSC		14,300		(29	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.450	%	06/20/2009	RBS		32,000		(286	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.310	%	12/20/2011	RBS		44,300		(1,522	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.330	%	12/20/2011	RBS		50,000		(1,686	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.085	%	03/20/2012	RBS		24,270		(1,133	)
International Lease Finance Corp. 5.250% due 01/10/2013	Buy	(0.200	%)	03/20/2013	GSC		15,000		1,669
International Lease Finance Corp. 5.350% due 03/01/2012	Buy	(0.130	%)	03/20/2012	MLP		20,000		2,191
International Lease Finance Corp. 5.400% due 02/15/2012	Buy	(0.170	%)	03/20/2012	LEH		20,000		2,166
International Paper Co. 4.000% due 04/01/2010	Buy	(0.190	%)	03/20/2010	MSC		9,700		251
iStar Financial, Inc. 5.150% due 03/01/2012	Buy	(0.400	%)	03/20/2012	BCLY		10,000		2,056
iStar Financial, Inc. 5.950% due 10/15/2013	Buy	(0.600	%)	12/20/2013	MSC		10,000		2,350
JC Penney Corp., Inc. 8.000% due 03/01/2010	Buy	(0.270	%)	03/20/2010	DUB		17,500		302
John Deere Capital Corp. 5.650% due 07/25/2011	Buy	(0.140	%)	09/20/2011	CSFB		9,000		94
Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	03/20/2016	BEAR		20,000		789
JPMorgan Chase & Co. 4.750% due 03/01/2015	Sell	0.850	%	03/20/2013	LEH		10,000		(71	)
JPMorgan Chase & Co. 4.750% due 03/01/2015	Sell	0.860	%	03/20/2013	MSC		19,000		(127	)
JPMorgan Chase & Co. 4.750% due 03/01/2015	Sell	0.870	%	03/20/2013	RBS		10,000		(62	)
JPMorgan Chase & Co. 4.750% due 03/01/2015	Sell	0.880	%	03/20/2013	BNP		10,000		(58	)
JPMorgan Chase & Co. 4.750% due 03/01/2015	Sell	0.930	%	03/20/2013	BNP		15,000		(56	)
JPMorgan Chase & Co. 4.750% due 03/01/2015	Sell	0.930	%	03/20/2013	BOA		10,000		(37	)
JPMorgan Chase & Co. 4.750% due 03/01/2015	Sell	1.850	%	03/20/2013	DUB		25,000		876
Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.550	%)	12/20/2011	CSFB		20,000		4,289
Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.530	%)	12/20/2011	DUB		10,000		2,149
Kellogg Co. 6.600% due 04/01/2011	Buy	(0.110	%)	06/20/2011	LEH		10,500		17
Kerr-McGee Corp. 6.875% due 09/15/2011	Buy	(0.160	%)	09/20/2011	RBS		10,500		47
Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.160	%)	12/20/2011	BEAR		10,000		232
Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011	BEAR		10,000		236
Kraft Foods, Inc. 6.250% due 06/01/2012	Buy	(0.170	%)	06/20/2012	BEAR		10,400		278
Kroger Co. 5.500% due 02/01/2013	Buy	(0.530	%)	03/20/2013	MSC		5,000		28
Landsbanki Islands HF 6.100% due 08/25/2011	Buy	(0.395	%)	09/20/2011	RBS		10,300		1,582
Landsbanki Islands HF floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	09/20/2009	RBS		18,000		1,449
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.190	%	09/20/2008	BCLY		29,200		(284	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.300	%	09/20/2008	RBS		56,200		(529	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.700	%	09/20/2012	RBS		10,000		(771	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.000	%	09/20/2012	MLP		10,000		(667	)
Lennar Corp. 5.950% due 10/17/2011	Buy	(0.785	%)	12/20/2011	DUB		9,000		1,515
Loews Corp. 5.250% due 03/15/2016	Buy	(0.300	%)	03/20/2016	BEAR		9,800		98
Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016	BEAR		20,000		225
Macy’s Retail Holdings, Inc. 4.800% due 07/15/2009	Buy	(0.190	%)	09/20/2009	BOA		5,000		89
Macy’s Retail Holdings, Inc. 4.800% due 07/15/2009	Buy	(0.160	%)	09/20/2009	CSFB		10,000		181
Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.260	%)	06/20/2012	CITI		15,000		1,076
Masco Corp. 5.875% due 07/15/2012	Buy	(0.580	%)	09/20/2012	MSC		5,000		365
Masco Corp. 7.125% due 08/15/2013	Buy	(0.680	%)	09/20/2013	MSC		10,800		888
Mattel, Inc. 6.125% due 06/15/2011	Buy	(0.400	%)	06/20/2011	JPM		10,300		48
Maytag Corp. 5.000% due 05/15/2015	Buy	(0.460	%)	06/20/2015	BEAR		10,000		49
MDC Holdings, Inc. 7.000% due 12/01/2012	Buy	(1.350	%)	12/20/2012	MLP		10,500		165
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	0.590	%	09/20/2012	RBS		10,000		(721	)
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	0.880	%	09/20/2012	CSFB		5,000		(309	)
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Sell	0.920	%	09/20/2012	BCLY		5,000		(302	)
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.220	%	03/20/2009	CSFB		2,200		2
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.180	%	05/20/2009	HSBC		15,000		(6	)
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016	JPM		6,950		(143	)
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016	LEH		41,200		(851	)
Miller Brewing Co. 5.500% due 08/15/2013	Buy	(0.400	%)	09/20/2013	LEH		15,000		413
Morgan Stanley 6.600% due 04/01/2012	Sell	2.100	%	06/20/2009	BCLY		25,000		(77	)
Morgan Stanley 6.600% due 04/01/2012	Sell	2.150	%	06/20/2009	DUB		21,200		(54	)
Morgan Stanley 6.600% due 04/01/2012	Sell	1.850	%	06/20/2010	RBS		6,100		(70	)
Morgan Stanley 6.600% due 04/01/2012	Sell	1.863	%	06/20/2010	DUB		40,000		(453	)
Morgan Stanley 6.600% due 04/01/2012	Sell	0.590	%	09/20/2012	RBS		10,000		(591	)
Morgan Stanley 6.600% due 04/01/2012	Sell	0.900	%	09/20/2012	GSC		5,000		(240	)
Morgan Stanley 6.600% due 04/01/2012	Sell	0.920	%	09/20/2012	BCLY		5,000		(236	)
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.340	%)	12/20/2016	LEH		20,000		1,962
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016	RBS		15,000		1,490
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.285	%)	12/20/2015	BEAR		10,000		950
Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008	HSBC		23,800		32
Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008	CSFB		34,600		51
Multiple Reference Entities of Gazprom	Sell	0.360	%	05/20/2009	HSBC		18,000		(96	)
Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011	LEH		44,300		(1,411	)
Multiple Reference Entities of Gazprom	Sell	0.870	%	11/20/2011	MSC		50,000		(1,560	)
Multiple Reference Entities of Gazprom	Sell	0.970	%	10/20/2012	JPM		45,400		(1,817	)
Multiple Reference Entities of Gazprom	Sell	1.020	%	10/20/2012	JPM		45,400		(1,725	)
Multiple Reference Entities of Gazprom	Sell	2.170	%	02/20/2013	JPM		58,600		659
Multiple Reference Entities of Gazprom	Sell	2.180	%	02/20/2013	JPM		49,900		586
Multiple Reference Entities of Gazprom	Sell	2.180	%	02/20/2013	MSC		29,600		348
Nationwide Health Properties, Inc. 6.500% due 07/15/2011	Buy	(0.620	%)	09/20/2011	DUB		13,600		332
Newell Rubbermaid, Inc. 4.000% due 05/01/2010	Buy	(0.190	%)	06/20/2010	LEH		10,000		76
Newell Rubbermaid, Inc. 4.000% due 05/01/2010	Buy	(0.130	%)	06/20/2010	CITI		14,000		123
NiSource Finance Corp. 6.150% due 03/01/2013	Buy	(0.540	%)	03/20/2013	RBS		12,400		407
Northrop Grumman Space & Mission Systems Corp. 6.250% due 01/15/2010	Buy	(0.110	%)	03/20/2010	JPM		5,000		9
Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.380	%)	06/20/2016	MSC		9,600		180
ONEOK Partners LP 6.150% due 10/01/2016	Buy	(0.660	%)	12/20/2016	BEAR		10,200		76
ORIX Corp. 5.480% due 11/22/2011	Buy	(0.280	%)	12/20/2011	MLP		20,000		1,149
Packaging Corp. of America 5.750% due 08/01/2013	Buy	(0.940	%)	09/20/2013	CSFB		10,000		34
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008	DUB		9,800		(9	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008	BCLY		12,000		(10	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.300	%	02/20/2009	CSFB		500		0
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.270	%	03/20/2009	CSFB		8,600		(6	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.730	%	01/20/2012	JPM		12,600		(115	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.750	%	01/20/2012	MSC		44,400		(372	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.760	%	01/20/2012	HSBC		4,600		(37	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	1.250	%	01/20/2017	JPM		2,800		(78	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	1.200	%	02/20/2017	CSFB		14,400		(477	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	1.230	%	02/20/2017	BEAR		10,000		(310	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	1.170	%	04/20/2017	DUB		20,000		(772	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	1.170	%	04/20/2017	LEH		20,000		(772	)
PC Financial Partnership 5.000% due 11/15/2014	Buy	(0.480	%)	12/20/2014	LEH		10,000		399
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008	BCLY		29,000		13
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008	LEH		300		0
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.320	%	03/20/2009	LEH		4,900		7
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.250	%	05/20/2009	HSBC		19,000		(5	)
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.320	%	12/20/2008	LEH		29,000		15
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008	DUB		13,000		8
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.310	%	03/20/2009	MSC		3,500		4
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.760	%	07/20/2011	DUB		300		(1	)
Plains All American Pipeline LP 5.625% due 12/15/2013	Buy	(0.550	%)	12/20/2013	MSC		10,000		339
PMI Group, Inc. 6.000% due 09/15/2016	Buy	(0.460	%)	09/20/2016	BEAR		9,500		3,198
PMI Group, Inc. 6.000% due 09/15/2016	Buy	(0.420	%)	09/20/2016	LEH		15,000		5,072
PPL Energy Supply LLC 5.700% due 10/15/2015	Buy	(0.600	%)	12/20/2015	MSC		5,000		261
PPL Energy Supply LLC 6.400% due 11/01/2011	Buy	(0.435	%)	12/20/2011	BOA		15,000		377
Proctor & Gamble Co. 4.950% due 08/15/2014	Sell	0.070	%	09/20/2008	LEH		370,000		(136	)
Prudential Financial, Inc. 4.500% due 07/15/2013	Sell	2.250	%	03/20/2013	GSC		10,000		345
PSEG Power LLC 5.500% due 12/01/2015	Buy	(0.520	%)	12/20/2015	BCLY		8,000		357
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.160	%	09/20/2010	CSFB		3,000		26
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.170	%	09/20/2010	CSFB		5,000		44
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.170	%	09/20/2010	GSC		5,000		44
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.650	%	09/20/2010	CSFB		2,000		37
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	4.750	%	09/20/2010	BOA		5,000		104
RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.250	%)	06/20/2011	BOA		10,700		207
Reed Elsevier Capital, Inc. 4.625% due 06/15/2012	Buy	(0.290	%)	06/20/2012	MLP		5,000		61
Residential Capital LLC 6.500% due 04/17/2013	Sell	1.130	%	06/20/2009	MLP		25,000		(8,611	)
RH Donnelley Corp. 8.875% due 01/15/2016	Buy	(3.080	%)	09/20/2012	LEH		5,000		1,562
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.590	%	09/20/2008	MSC		21,700		45
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.305	%	12/20/2008	MSC		43,000		(26	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	03/20/2009	LEH		12,800		(4	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.275	%	05/20/2009	BCLY		17,000		(28	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.780	%	03/20/2016	MSC		22,400		(582	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.800	%	03/20/2016	JPM		22,400		(553	)
Ryder System, Inc. 5.950% due 05/02/2011	Buy	(0.270	%)	06/20/2011	BEAR		5,300		80
Sealed Air Corp. 6.950% due 05/15/2009	Buy	(0.200	%)	06/20/2009	BCLY		10,500		47
Simon Property Group LP 4.600% due 06/15/2010	Buy	(0.180	%)	06/20/2010	JPM		8,000		118
Simon Property Group LP 5.600% due 09/01/2011	Buy	(0.220	%)	09/20/2011	RBS		5,100		134
SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009	BCLY		25,000		(390	)
SLM Corp. 5.125% due 08/27/2012	Sell	3.350	%	03/20/2009	GSC		25,000		(335	)
SLM Corp. 5.125% due 08/27/2012	Sell	3.700	%	03/20/2009	JPM		10,000		(109	)
SLM Corp. 5.125% due 08/27/2012	Sell	3.800	%	03/20/2009	GSC		15,000		(152	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.000	%	03/20/2009	BCLY		10,000		(87	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.500	%	03/20/2009	BOA		10,000		(50	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.550	%	03/20/2009	MLP		25,000		(116	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.600	%	03/20/2009	CITI		75,000		(321	)
SLM Corp. 5.125% due 08/27/2012	Sell	5.000	%	03/20/2009	JPM		35,000		(47	)
SLM Corp. 5.125% due 08/27/2012	Sell	5.250	%	03/20/2009	MLP		20,000		9
SLM Corp. 5.125% due 08/27/2012	Sell	5.600	%	03/20/2009	MLP		50,000		151
SLM Corp. 5.125% due 08/27/2012	Sell	4.450	%	06/20/2009	BOA		50,000		(385	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.910	%	06/20/2009	DUB		20,200		13
SLM Corp. 5.125% due 08/27/2012	Sell	5.000	%	06/20/2009	MSC		7,000		11
SLM Corp. 5.125% due 08/27/2012	Sell	5.050	%	06/20/2009	RBS		5,000		11
SLM Corp. 5.125% due 08/27/2012	Sell	5.100	%	06/20/2009	BCLY		500		1
SLM Corp. 5.125% due 08/27/2012	Sell	4.530	%	03/20/2010	DUB		20,000		(316	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.600	%	03/20/2010	BNP		5,000		(73	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.350	%	06/20/2010	BOA		50,000		(1,114	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.660	%	06/20/2010	GSC		25,000		(347	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.100	%	03/20/2011	RBS		10,000		(293	)
SLM Corp. 5.375% due 05/15/2014	Buy	(3.000	%)	06/20/2018	DUB		10,000		434
SLM Corp. 8.450% due 06/15/2018	Buy	(3.250	%)	06/20/2018	DUB		10,000		283
SLM Corp. 8.450% due 06/15/2018	Buy	(3.200	%)	06/20/2018	BOA		10,000		314
SLM Corp. 8.450% due 06/15/2018	Buy	(3.200	%)	06/20/2018	RBS		8,000		253
SLM Corp. 8.450% due 06/15/2018	Buy	(3.000	%)	06/20/2018	BOA		2,000		87
Sprint Capital Corp. 8.375% due 03/15/2012	Buy	(0.545	%)	03/20/2012	LEH		11,000		853
Time Warner, Inc. 5.875% due 11/15/2016	Buy	(0.700	%)	12/20/2016	RBS		12,000		596
Toll Brothers Finance Corp. 5.950% due 09/15/2013	Buy	(1.390	%)	09/20/2013	MSC		9,800		583
Transocean, Inc. 6.625% due 04/15/2011	Buy	(0.280	%)	06/20/2011	LEH		5,600		84
UBS Warburg LLC 4.549% due 04/18/2012	Sell	0.760	%	03/20/2013	BNP		30		0
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	12/20/2008	LEH		29,000		(141	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008	BCLY		9,000		(43	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008	BCLY		800		(4	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008	DUB		14,000		(67	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.610	%	02/20/2009	MSC		23,580		(126	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.630	%	03/20/2009	BCLY		14,600		(97	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.700	%	04/20/2009	HSBC		47,600		(361	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.520	%	05/20/2009	HSBC		31,000		(341	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.500	%	01/20/2012	DUB		8,000		(407	)
Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.640	%)	06/20/2011	MSC		5,200		37
Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011	UBS		10,000		(203	)
Wachovia Corp. 3.625% due 02/17/2009	Sell	1.240	%	03/20/2013	DUB		10,000		(350	)
Wachovia Corp. 3.625% due 02/17/2009	Sell	1.250	%	03/20/2013	MSC		15,000		(518	)
Wachovia Corp. 3.625% due 02/17/2009	Sell	2.500	%	03/20/2013	RBS		10,000		155
Wachovia Corp. 3.625% due 02/17/2009	Sell	3.000	%	03/20/2013	DUB		10,000		355
Wachovia Corp. 3.625% due 02/17/2009	Sell	3.020	%	03/20/2013	RBS		39,100		1,420
WellPoint, Inc. 5.000% due 01/15/2011	Buy	(0.165	%)	03/20/2011	RBS		11,000		231
WellPoint, Inc. 6.375% due 01/15/2012	Buy	(0.100	%)	03/20/2012	LEH		10,800		345
Wells Fargo & Co. floating rate based on 3-Month USD-LIBOR plus 0.200% due 10/28/2015	Sell	0.850	%	03/20/2013	BOA		8,000		(89	)
Wells Fargo & Co. floating rate based on 3-Month USD-LIBOR plus 0.200% due 10/28/2015	Sell	0.850	%	03/20/2013	LEH		10,000		(111	)
Wells Fargo & Co. floating rate based on 3-Month USD-LIBOR plus 0.200% due 10/28/2015	Sell	0.850	%	03/20/2013	MSC		10,000		(111	)
Wells Fargo & Co. floating rate based on 3-Month USD-LIBOR plus 0.200% due 10/28/2015	Sell	0.900	%	03/20/2013	UBS		22,000		(198	)
Wells Fargo & Co. floating rate based on 3-Month USD-LIBOR plus 0.200% due 10/28/2015	Sell	0.920	%	03/20/2013	BOA		25,000		(204	)
Wells Fargo Bank N.A. 4.750% due 02/09/2015	Buy	(0.140	%)	03/20/2015	GSC		10,000		570
Whirlpool Corp. 6.125% due 06/15/2011	Buy	(0.360	%)	06/20/2011	JPM		12,500		214
Wyeth 5.500% due 03/15/2013	Buy	(0.150	%)	03/20/2013	MSC		10,000		76
Xerox Corp. 9.750% due 01/15/2009	Buy	(0.120	%)	01/20/2009	MLP		10,500		13
XL Capital Finance Europe PLC 6.500% due 01/15/2012	Buy	(0.310	%)	03/20/2012	BCLY		10,600		973
Xstrata Finance Canada Ltd. 5.500% due 11/16/2011	Buy	(0.290	%)	12/20/2011	JPM		11,250		362
								$	(299,222	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	04/13/2049	CSFB	$	45,000	$	2,865
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	CITI		25,000		2,105
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	GSC		58,800		3,927
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	LEH		50,000		3,851
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC		544,800		38,048
Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012	CITI		103,340		(3,451	)
Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012	CITI		130,069		(4,166	)
Dow Jones CDX N.A. HY8 Index	Sell	0.415	%	06/20/2012	CITI		99,366		(3,136	)
Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012	MLP		51,800		(3,723	)
Dow Jones CDX N.A. HY8 Index	Sell	1.846	%	06/20/2012	CITI		35,500		(2,535	)
Dow Jones CDX N.A. HY8 Index	Sell	1.847	%	06/20/2012	MLP		40,400		(2,883	)
Dow Jones CDX N.A. HY8 Index	Sell	2.070	%	06/20/2012	MLP		48,800		(3,092	)
Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012	MLP		31,000		(1,953	)
Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012	MSC		7,600		(479	)
Dow Jones CDX N.A. HY8 Index	Sell	2.127	%	06/20/2012	MLP		25,200		(1,545	)
Dow Jones CDX N.A. HY8 Index	Sell	2.140	%	06/20/2012	MSC		65,700		(3,997	)
Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	CITI		32,300		(1,960	)
Dow Jones CDX N.A. HY8 Index	Sell	2.170	%	06/20/2012	MSC		23,800		(1,422	)
Dow Jones CDX N.A. HY8 Index	Sell	2.179	%	06/20/2012	CITI		22,600		(1,343	)
Dow Jones CDX N.A. IG9 Index	Sell	0.530	%	12/20/2012	DUB		219,100		10
Dow Jones CDX N.A. IG9 Index	Sell	0.695	%	12/20/2012	DUB		100,000		717
Dow Jones CDX N.A. IG9 Index	Sell	0.695	%	12/20/2012	GSC		14,600		105
Dow Jones CDX N.A. IG9 Index	Sell	0.701	%	12/20/2012	DUB		83,200		618
Dow Jones CDX N.A. IG9 Index	Sell	0.705	%	12/20/2012	DUB		10,200		77
Dow Jones CDX N.A. IG9 Index	Sell	0.705	%	12/20/2012	GSC		22,700		172
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB		14,400		110
Dow Jones CDX N.A. IG9 Index	Sell	0.710	%	12/20/2012	DUB		28,600		222
Dow Jones CDX N.A. IG9 Index	Sell	0.711	%	12/20/2012	MSC		400,000		2,481
Dow Jones CDX N.A. IG9 Index	Sell	0.770	%	12/20/2012	DUB		170,000		1,736
Dow Jones CDX N.A. IG9 Index	Sell	0.771	%	12/20/2012	MSC		190,000		1,638
Dow Jones CDX N.A. IG9 Index	Sell	0.780	%	12/20/2012	DUB		250,000		2,655
Dow Jones CDX N.A. IG9 Index	Sell	0.830	%	12/20/2012	GSC		30,000		(169	)
Dow Jones CDX N.A. IG9 Index	Sell	0.940	%	12/20/2012	GSC		35,000		(38	)
Dow Jones CDX N.A. IG9 Index	Sell	0.963	%	12/20/2012	MSC		102,700		(15	)
Dow Jones CDX N.A. IG9 Index	Sell	0.975	%	12/20/2012	GSC		98,800		35
Dow Jones CDX N.A. IG9 Index	Sell	0.990	%	12/20/2012	DUB		50,000		48
Dow Jones CDX N.A. IG9 Index	Sell	1.160	%	12/20/2012	DUB		100,000		798
Dow Jones CDX N.A. IG9 Index	Sell	1.180	%	12/20/2012	DUB		30,000		264
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		824,000		2,055
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		2,086,800		2,358
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		538,700		3,928
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MLP		165,400		763
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		2,670,000		10,147
Dow Jones CDX N.A. IG10 Index	Sell	0.461	%	06/20/2013	MLP		250,000		718
Dow Jones CDX N.A. IG10 Index	Sell	0.463	%	06/20/2013	GSC		169,600		496
Dow Jones CDX N.A. IG10 Index	Sell	0.530	%	06/20/2013	DUB		137,000		6
Home Equity Index AA Rating 2006-1	Sell	0.320	%	07/25/2045	DUB		25,000		(2,477	)
Home Equity Index AAA Rating 2006-1	Sell	0.180	%	07/25/2045	CITI		24,549		234
Home Equity Index AAA Rating 2006-1	Sell	0.180	%	07/25/2045	DUB		24,549		203
								$	45,006

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	BCLY	AUD	764,000	$	(7,329	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	CITI		1,528,000		(14,799	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	DUB		764,000		(7,521	)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	UBS		216,300		(2,132	)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	UBS		210,700		(133	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	1,314,000		4,193
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		1,930,100		5,503
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BCLY		123,100		(826	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA		5,321,580		(9,896	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		2,287,600		(16,964	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		229,300		(1,737	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		668,000		(2,782	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MSC		4,053,330		(6,678	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		2,606,500		(12,398	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		483,300		(2,520	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BOA		81,604		(881	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		481,850		(545	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	LEH		472,120		(3,490	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		87,000		(215	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		2,974,062		(10,642	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		508,900		(1,794	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		800		10
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		753,400		(6,121	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	JPM		207,900		(321	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	LEH		195,800		(923	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		117,900		1,066
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		348,100		(4,153	)
Pay	3-Month USD-LIBOR	0.000	%	06/20/2037	RBS		160,000		1,583
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		1,381,200		(30,456	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		667,600		(10,574	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	JPM		50,700		(1,568	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	LEH		216,750		(6,257	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		470,800		(12,172	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		221,410		(4,749	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		683,320		(15,739	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	65,400		(1,560	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103	%	10/15/2010	BCLY		50,700		(996	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146	%	10/15/2010	UBS		58,500		(1,146	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	BCLY		105,800		(6,239	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM		266,400		(15,557	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS		74,030		(3,552	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.950	%	03/30/2012	RBS		75,400		(3,678	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		74,100		(4,367	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY		34,200		(1,996	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		261,440		(16,015	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	JPM	AUD	242,000		(2,617	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS		1,079,200		(10,271	)
Pay	6-Month Australian Bank Bill	7.000	%	03/20/2013	DUB		352,100		(13,163	)
Receive	6-Month Australian Bank Bill	6.500	%	03/20/2018	DUB		483,800		10,252
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	BCLY	GBP	752,700		(3,984	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	DUB		417,800		(2,334	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	BCLY		2,418,300		(20,996	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS		385,600		(3,835	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY		971,000		(330	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		100,500		7
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	GSC		863,700		(665	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	HSBC		387,000		675
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	RBS		396,000		(1,844	)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	GSC		2,493,700		(2,966	)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	MSC		2,500,000		(6,176	)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBS		626,300		(1,145	)
Pay	6-Month GBP-LIBOR	5.000	%	09/18/2009	GSC		1,675,000		(18,876	)
Pay	6-Month GBP-LIBOR	6.000	%	09/18/2009	MSC		500,000		(5,357	)
Pay	6-Month GBP-LIBOR	4.500	%	09/20/2009	HSBC		325,000		(15,071	)
Pay	6-Month GBP-LIBOR	4.500	%	09/20/2009	LEH		130,500		(6,046	)
Pay	6-Month GBP-LIBOR	4.500	%	09/20/2009	MLP		154,700		(7,191	)
Pay	6-Month GBP-LIBOR	4.500	%	09/20/2009	UBS		250,000		(11,639	)
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC		188,200		698
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	GSC		300,000		(6,421	)
Pay	6-Month GBP-LIBOR	5.000	%	06/16/2011	BCLY		1,930		(142	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		23,300		(2,215	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		162,900		(15,671	)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		92,900		3,584
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	MLP		54,200		2,211
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	BCLY		258,300		29,338
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	HSBC		214,800		20,067
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	RBS		359,300		40,070
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	GSC		166,100		(8,024	)
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	RBS		41,900		(2,370	)
Receive	6-Month GBP-LIBOR	4.000	%	06/15/2037	GSC		25,000		(376	)
Receive	6-Month GBP-LIBOR	5.000	%	12/19/2037	GSC		24,000		(2,221	)
Receive	6-Month GBP-LIBOR	5.000	%	03/20/2038	GSC		36,100		416
Receive	30-Day USD-CMM Rate	5.000	%	02/20/2009	MLP	$	302,100		2,028
Receive	30-Day USD-CMM Rate	5.500	%	05/21/2009	MLP		362,800		7,940
Pay	BRL-CDI-Compounded	11.360	%	01/04/2010	BCLY	BRL	485,600		(13,341	)
Pay	BRL-CDI-Compounded	11.430	%	01/04/2010	MLP		148,200		(3,934	)
Pay	BRL-CDI-Compounded	11.430	%	01/04/2010	MSC		170,000		(4,512	)
Pay	BRL-CDI-Compounded	11.465	%	01/04/2010	GSC		126,400		(3,298	)
Pay	BRL-CDI-Compounded	12.410	%	01/04/2010	UBS		282,200		(3,529	)
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MSC		282,400		(3,597	)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC		427,800		(4,478	)
Pay	BRL-CDI-Compounded	12.860	%	01/04/2010	GSC		7,100		(75	)
Pay	BRL-CDI-Compounded	12.948	%	01/04/2010	MLP		203,900		(1,628	)
Pay	BRL-CDI-Compounded	14.370	%	01/04/2010	MLP		193,200		2,427
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		214,800		(9,339	)
Receive	USSP Semi 10-Year Index	0.620	%	01/05/2009	MSC	$	117,000		536
Pay	USSP Semi 2-Year Index	0.780	%	01/05/2009	MSC		500,000		(434	)
Pay	USSP Semi 2-Year Index	0.690	%	01/08/2009	BNP		535,700		(2,060	)
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP		432,000		(1,602	)
Pay	USSP Semi 5-Year Index	0.763	%	02/05/2009	BNP		85,900		(469	)
								$	(343,059	)

Interest Rate Cap/Floor Swaps

Counterparty

Floating Rate Index

Cap/Floor

Cap/Floor Rate

Pay/Receive Floating Rate

Premium Amount

Expiration Date

Notional Amount

Unrealized Appreciation

JPM

10/2-Year EUR ISDA rate spread

Floor

(0.750

%)

Pay

$

(3,698

)

12/24/2008

EUR

253,900

$

1

(n) Purchased options outstanding on June 30, 2008:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Put - CME 90-Day Eurodollar September Futures	$	92.250	09/15/2008	128	$	1	$	1

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	8,437,400	$	89,609	$	39,990
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		4,654,700		49,803		21,616
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		3,549,800		37,821		16,485
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		7,316,500		71,440		33,977
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		2,453,600		26,867		17,112
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		13,866,000		126,082		36,892
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.000	%	02/02/2009		4,951,600		51,076		11,527
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		2,664,200		28,773		7,782
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		1,570,400		15,096		8,480
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		10,636,900		113,469		49,397
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		2,102,000		22,229		14,659
									$	632,265	$	257,917

(o) Written options outstanding on June 30, 2008:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	31,912	$	18,272	$	11,901
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	31,912		29,022		10,205
					$	47,294	$	22,106

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD- LIBOR	Receive	4.300	%	02/02/2009	$	2,934,400	$	70,906	$	44,347
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD- LIBOR	Receive	4.600	%	02/02/2009		564,000		18,104		12,216
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD- LIBOR	Receive	4.150	%	08/03/2009		1,102,500		27,673		15,343
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD- LIBOR	Receive	4.400	%	08/03/2009		706,700		23,092		13,828
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD- LIBOR	Receive	4.400	%	08/03/2009		1,183,900		39,177		23,166
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD- LIBOR	Receive	4.400	%	08/03/2009		2,439,500		77,221		47,735
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD- LIBOR	Receive	4.550	%	08/03/2009		817,800		27,315		18,749
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD- LIBOR	Receive	4.300	%	12/15/2008		4,587,300		119,758		59,944
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD- LIBOR	Receive	3.950	%	02/02/2009		2,153,000		54,069		20,704
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD- LIBOR	Receive	4.250	%	02/02/2009		888,200		26,779		11,965
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD- LIBOR	Receive	4.200	%	07/02/2009		683,000		15,094		9,790
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD- LIBOR	Receive	4.400	%	08/03/2009		3,546,200		115,042		69,390
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD- LIBOR	Receive	4.550	%	08/03/2009		700,800		21,457		16,067
									$	635,687	$	363,244

(p) Restricted securities as of June 30, 2008:

Issuer Description	Coupon		Maturity Date	Acquisition Date		Cost		Market Value	Market Value as Percentage of Net Assets
Citigroup Mortgage Loan Trust, Inc.	2.552	%	05/25/2037	05/16/2007	$	25,289	$	24,027	0.02	%
DLJ Mortgage Acceptance Corp.	6.502	%	08/01/2021	07/21/1992		257		233	0.00	%
Mazda Manufacturing Corp.	10.500	%	07/01/2008	08/30/1993		139		138	0.00	%
Mazda Motor Corp.	10.500	%	07/01/2008	03/14/2003		16		16	0.00	%
Southbridge, Massachusetts Associates LLC Revenue Bonds, (MBIA Insured), Series 2000	7.590	%	02/01/2022	10/10/2000		30,661		35,652	0.03	%
United Airlines, Inc.	11.080	%	05/27/2024	12/28/2001		0		7	0.00	%
United Telecom, Inc.	6.890	%	07/01/2008	09/22/2003		700		689	0.00	%
United Telephone Co. of the Northwest	6.890	%	07/01/2008	05/02/2002		2,760		2,717	0.00	%
Wilmington Trust Co.	10.500	%	07/01/2008	03/14/2003		99		98	0.00	%
					$	59,921	$	63,577	0.05	%

(q) Short sales outstanding on June 30, 2008:

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(3)
Fannie Mae	4.500	%	12/01/2023	$	331,000	$	322,519	$	319,932
Fannie Mae	5.000	%	07/01/2038		59,800		57,173		57,324
Fannie Mae	5.500	%	07/01/2038		2,669,600		2,644,109		2,631,641
Freddie Mac	5.000	%	07/01/2038		25,300		24,085		24,245
Ginnie Mae	5.500	%	07/01/2038		900		884		896
Ginnie Mae	6.000	%	07/01/2038		71,000		72,353		72,076
U.S. Treasury Notes	2.000	%	02/28/2010		810,100		802,868		810,425
U.S. Treasury Notes	2.125	%	01/31/2010		1,219,300		1,209,546		1,225,069
U.S. Treasury Notes	2.125	%	04/30/2010		3,883,600		3,831,682		3,874,496
U.S. Treasury Notes	2.750	%	02/28/2013		15,300		14,759		15,114
U.S. Treasury Notes	2.875	%	01/31/2013		272,700		264,605		271,844
U.S. Treasury Notes	3.125	%	11/30/2009		2,669,400		2,686,664		2,708,147
U.S. Treasury Notes	3.250	%	12/31/2009		1,295,800		1,303,366		1,314,428
U.S. Treasury Notes	3.500	%	12/15/2009		2,150,000		2,172,167		2,190,714
U.S. Treasury Notes	3.500	%	02/15/2010		406,800		413,020		420,341
U.S. Treasury Notes	4.250	%	08/15/2013		341,700		355,929		362,781
U.S. Treasury Notes	4.250	%	11/15/2013		792,600		831,376		833,547
U.S. Treasury Notes	4.500	%	05/15/2017		1,535,980		1,586,654		1,615,268
						$	18,593,759	$	18,748,288

⁽³⁾ Market value includes $86,189 of interest payable on short sales.

(r) Foreign currency contracts outstanding on June 30, 2008:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	502,666	04/2009	$	0	$	(1,423	)	$	(1,423	)
Buy	AUD	2,030	07/2008		14		0			14
Buy	BRL	4,201,017	07/2008		288,099		0			288,099
Sell		4,201,017	07/2008		0		(207,763	)		(207,763	)
Buy		1,448,376	12/2008		96,610		0			96,610
Sell		4,237,053	12/2008		0		(152,958	)		(152,958	)
Buy	CAD	962	08/2008		0		(8	)		(8	)
Buy	CNY	2,172,103	11/2008		4,132		0			4,132
Sell	EUR	1,495,448	07/2008		0		(24,023	)		(24,023	)
Sell	GBP	1,666,064	08/2008		0		(18,378	)		(18,378	)
Buy	IDR	700,434,000	10/2008		658		0			658
Buy	INR	6,151,128	08/2008		0		(13,090	)		(13,090	)
Sell		284,897	08/2008		395		0			395
Buy		8,688,107	11/2008		0		(16,996	)		(16,996	)
Sell	JPY	47,368,421	07/2008		0		(7,397	)		(7,397	)
Buy	KRW	289,595,238	08/2008		0		(32,073	)		(32,073	)
Sell		289,595,478	08/2008		994		(174	)		820
Buy	KWD	10,922	04/2009		0		(449	)		(449	)
Buy	MXN	5,080,421	07/2008		39,339		0			39,339
Sell		5,080,421	07/2008		0		(24,717	)		(24,717	)
Buy		93	11/2008		0		0			0
Buy	MYR	955,795	11/2008		0		(3,939	)		(3,939	)
Buy		543,048	02/2009		0		(3,440	)		(3,440	)
Sell	NZD	106,557	07/2008		0		(503	)		(503	)
Buy	PHP	10,894,950	08/2008		13		(3,728	)		(3,715	)
Buy	PLN	85,694	07/2008		7,098		0			7,098
Sell		85,694	07/2008		0		(5,758	)		(5,758	)
Buy		1,326	11/2008		11		0			11
Buy		1,704	05/2009		23		0			23
Buy	RUB	14,749,721	07/2008		42,167		0			42,167
Sell		14,749,721	07/2008		0		(22,351	)		(22,351	)
Buy		112,495	11/2008		234		0			234
Sell		22,136	11/2008		0		(61	)		(61	)
Buy		4,103,591	05/2009		2,347		0			2,347
Sell		90,360	05/2009		0		(72	)		(72	)
Buy	SAR	884,562	04/2009		0		(2,432	)		(2,432	)
Buy	SEK	400,798	09/2008		296		0			296
Buy	SGD	1,122,388	11/2008		15,497		0			15,497
Buy	ZAR	179,933	07/2008		0		(2,654	)		(2,654	)
Sell		179,933	07/2008		0		(680	)		(680	)
Buy		179,933	12/2008		654		0			654
				$	498,581	$	(545,067	)	$	(46,486	)

(s) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0	$	139,196,098		$	639,955		$	139,836,053
Other Financial Instruments++		294,599		(19,633,372	)		(57,853	)		(19,396,626	)
Total	$	294,599	$	119,562,726		$	582,102		$	120,439,427

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	506,523		$	477,321	$	735	$	(10,059	)	$	(334,565	)	$	639,955
Other Financial Instruments++		(21,462	)		0		0		(38,451	)		2,060			(57,853	)
Total	$	485,061		$	477,321	$	735	$	(48,510	)	$	(332,505	)	$	582,102

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

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

See Accompanying Notes

Schedule of Investments

Total Return Fund II

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 32.0%
Banking & Finance 25.2%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013	$	3,100	$	3,092
American Express Bank FSB
2.542% due 10/20/2009		4,600		4,541
6.000% due 09/13/2017		4,000		3,872
American Express Centurion Bank
6.000% due 09/13/2017		4,000		3,872
American Express Co.
7.000% due 03/19/2018		200		203
American Express Credit Corp.
2.508% due 11/09/2009		6,600		6,446
5.875% due 05/02/2013		2,800		2,788
American International Group, Inc.
2.521% due 06/16/2009		4,800		4,713
5.050% due 10/01/2015		1,000		909
Bank of America Corp.
2.904% due 11/06/2009		2,700		2,676
8.000% due 12/29/2049		26,600		24,984
8.125% due 12/29/2049		27,900		26,408
Bank of America N.A.
2.638% due 02/27/2009		4,900		4,883
6.000% due 10/15/2036		1,300		1,157
6.100% due 06/15/2017		16,100		15,624
Bear Stearns Cos., Inc.
2.728% due 02/23/2010		4,000		3,924
2.768% due 08/21/2009		14,800		14,633
3.199% due 01/30/2009		4,900		4,883
3.218% due 07/19/2010		5,900		5,789
Citigroup Funding, Inc.
2.481% due 04/23/2009		8,600		8,488
2.667% due 12/08/2008		6,800		6,748
2.809% due 06/26/2009		3,000		2,959
Citigroup, Inc.
2.831% due 12/28/2009		4,800		4,684
2.848% due 12/26/2008		9,800		9,762
5.300% due 10/17/2012		1,000		977
5.500% due 08/27/2012		2,600		2,567
5.500% due 04/11/2013		11,200		10,947
5.850% due 07/02/2013		700		694
6.000% due 08/15/2017		7,900		7,559
8.400% due 04/29/2049		25,000		23,796
Credit Suisse USA, Inc.
2.876% due 08/15/2010		13,987		13,766
Fifth Third Bancorp
8.250% due 03/01/2038		16,000		13,005
General Electric Capital Corp.
2.888% due 01/20/2010		9,000		8,967
2.918% due 10/21/2010		800		795
2.937% due 10/26/2009		15,500		15,450
5.875% due 01/14/2038		10,200		9,287
Goldman Sachs Group LP
3.538% due 01/20/2009		5,000		4,995
Goldman Sachs Group, Inc.
2.800% due 11/16/2009		11,400		11,242
2.841% due 12/23/2008		100		100
2.891% due 12/22/2008		5,000		4,882
5.625% due 01/15/2017		5,800		5,390
5.950% due 01/18/2018		7,100		6,838
6.150% due 04/01/2018		3,700		3,601
6.250% due 09/01/2017		6,300		6,247
HSBC Bank USA N.A.
6.000% due 08/09/2017		69,400		69,249
HSBC Finance Corp.
2.866% due 03/12/2010		9,100		8,849
2.878% due 10/21/2009		3,000		2,930
3.000% due 11/16/2009		8,400		8,288
JPMorgan Chase & Co.
2.532% due 06/26/2009		3,300		3,291
2.810% due 05/07/2010		5,800		5,745
6.000% due 01/15/2018		1,700		1,661
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		7,600		7,406
JPMorgan Chase Capital XX
6.550% due 09/29/2036		800		695
KBC Bank Funding Trust III
9.860% due 11/29/2049		12,000		12,664
KeyBank N.A.
4.682% due 06/02/2010		5,600		5,582
Lehman Brothers Holdings, Inc.
2.778% due 05/25/2010		1,700		1,576
2.820% due 11/16/2009		14,700		14,013
2.851% due 12/23/2008		800		785
3.010% due 01/23/2009		6,100		5,970
5.625% due 01/24/2013		3,100		2,938
6.875% due 05/02/2018		1,200		1,165
Merrill Lynch & Co., Inc.
2.756% due 12/04/2009		4,800		4,603
2.768% due 08/14/2009		8,100		7,845
2.831% due 12/22/2008		3,700		3,676
2.960% due 10/23/2008		5,000		4,971
6.400% due 08/28/2017		4,400		4,090
MetLife, Inc.
6.400% due 12/15/2036		1,500		1,316
Metropolitan Life Global Funding I
2.759% due 05/17/2010		7,500		7,400
Morgan Stanley
2.521% due 11/21/2008		3,300		3,286
2.803% due 01/15/2010		10,900		10,546
2.820% due 05/07/2009		7,400		7,286
Principal Life Income Funding Trusts
5.300% due 04/24/2013		2,800		2,804
5.550% due 04/27/2015		4,000		3,950
SLM Corp.
3.060% due 07/27/2009		2,900		2,720
State Street Capital Trust III
8.250% due 12/29/2049		3,500		3,570
State Street Capital Trust IV
3.776% due 06/15/2037		600		463
UBS Preferred Funding Trust I
8.622% due 10/29/2049		19,700		19,808
USB Capital IX
6.189% due 04/15/2049		700		532
Wachovia Corp.
2.843% due 10/15/2011		13,600		12,929
2.949% due 10/28/2008		6,100		5,975
5.625% due 10/15/2016		1,300		1,185
5.750% due 02/01/2018		1,300		1,189
Wells Fargo & Co.
4.625% due 08/09/2010		25,000		25,270
ZFS Finance USA Trust I
5.875% due 05/09/2032		1,600		1,465
				608,829
Industrials 6.0%
Amgen, Inc.
6.900% due 06/01/2038		15,600		16,009
Comcast Corp.
5.875% due 02/15/2018		1,100		1,061
6.450% due 03/15/2037		1,100		1,029
Continental Airlines, Inc.
7.056% due 09/15/2009		1,600		1,556
Daimler Finance North America LLC
3.138% due 03/13/2009		9,800		9,772
3.218% due 03/13/2009		7,000		6,989
Dell, Inc.
5.650% due 04/15/2018		6,000		5,809
El Paso Corp.
6.750% due 05/15/2009		16,700		16,857
General Electric Co.
2.717% due 12/09/2008		5,500		5,498
General Mills, Inc.
3.038% due 01/22/2010		3,500		3,457
International Business Machines Corp.
5.700% due 09/14/2017		30,100		30,647
Oracle Corp.
4.950% due 04/15/2013		7,000		7,078
5.750% due 04/15/2018		6,900		6,917
Rohm & Haas Co.
6.000% due 09/15/2017		2,100		2,051
Target Corp.
5.125% due 01/15/2013		6,200		6,279
United Airlines, Inc.
6.071% due 03/01/2013		170		168
9.190% due 12/24/2013 (a)		6,202		3,078
Yum! Brands, Inc.
6.250% due 03/15/2018		20,000		19,565
				143,820
Utilities 0.8%
AT&T, Inc.
2.884% due 02/05/2010		2,300		2,291
4.950% due 01/15/2013		1,700		1,697
5.500% due 02/01/2018		1,700		1,652
6.300% due 01/15/2038		1,200		1,140
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		2,900		2,827
Verizon Communications, Inc.
2.833% due 04/03/2009		9,100		9,082
5.250% due 04/15/2013		500		498
				19,187
Total Corporate Bonds & Notes (Cost $789,614)				771,836
MUNICIPAL BONDS & NOTES 1.3%
California State General Obligation Bonds, Series 2007
5.000% due 11/01/2037		11,500		11,291
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2043		2,000		1,863
California State Tobacco Securitization Agency Revenue Bonds, Series 2006
5.125% due 06/01/2046		1,800		1,386
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		895		823
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2022		6,300		6,242
Miami, Florida Rent Revenue Bonds, Series 1989
8.650% due 07/01/2019		160		189
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		3,200		3,064
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		3,000		2,860
Truckee Meadows, Nevada Water Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 07/01/2036		2,800		2,792
Total Municipal Bonds & Notes (Cost $30,076)				30,510
COMMODITY INDEX-LINKED NOTES 0.2%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		6,000		5,959
Total Commodity Index-Linked Notes (Cost $6,000)				5,959
U.S. GOVERNMENT AGENCIES 70.7%
Fannie Mae
2.542% due 12/25/2036		2,020		1,953
4.500% due 06/25/2043		1,350		1,348
4.591% due 10/01/2035 (e)		4,898		4,912
4.666% due 05/25/2035		967		985
4.818% due 09/01/2035		924		927
4.830% due 09/01/2034		826		838
4.892% due 01/01/2035		1,980		1,997
4.994% due 07/01/2044		744		744
5.000% due 12/01/2016 - 07/01/2038		402,894		394,404
5.000% due 04/01/2035 - 04/01/2037 (e)		37,738		36,247
5.194% due 09/01/2040		2,995		2,994
5.304% due 03/01/2024		1		2
5.500% due 11/01/2013 - 07/01/2038		474,283		468,979
5.500% due 01/01/2033 - 04/01/2035 (e)		202,888		200,932
5.841% due 07/01/2020		91		91
6.000% due 05/01/2017 - 07/01/2038		328,919		332,398
6.000% due 12/01/2036 - 10/01/2037 (e)		42,405		42,843
6.325% due 02/01/2023		67		68
6.399% due 12/01/2023		60		60
6.500% due 07/01/2013 - 06/25/2044		9,089		9,375
6.628% due 01/01/2024		28		28
7.000% due 04/01/2011 - 09/25/2020		41		43
7.143% due 04/01/2024		16		16
8.000% due 04/01/2015 - 10/01/2030		10		11
8.500% due 04/01/2017		1		1
9.000% due 06/01/2010 - 06/25/2018		10		11
9.250% due 07/25/2019		142		158
10.000% due 11/01/2021		5		5
11.000% due 09/01/2010		4		4
Freddie Mac
2.621% due 07/15/2019		5,349		5,244
2.621% due 08/15/2019 - 10/15/2020 (e)		57,009		55,894
2.701% due 02/15/2019 (e)		21,904		21,475
4.994% due 02/25/2045		482		448
5.000% due 11/01/2018 - 12/01/2031		4,501		4,481
5.500% due 01/01/2018 - 06/01/2038		60,989		60,153
6.000% due 02/01/2016 - 07/01/2038		44,278		44,806
6.335% due 02/01/2023		45		46
6.500% due 12/01/2010		14		14
7.000% due 07/15/2022		1,243		1,307
7.130% due 12/01/2022		278		280
7.266% due 07/01/2030		78		79
7.500% due 01/15/2023 - 01/01/2026		2,929		3,143
8.000% due 11/01/2025 - 06/15/2030		1,405		1,454
9.000% due 12/15/2020		68		73
9.250% due 11/15/2019		2		2
9.500% due 02/01/2018		7		7
10.000% due 06/01/2011 - 03/01/2021		8		9
Ginnie Mae
5.125% due 12/20/2029		728		731
5.375% due 01/20/2024 - 02/20/2027		1,285		1,290
5.625% due 09/20/2024 - 07/20/2030		1,368		1,384
6.000% due 01/15/2024 - 06/15/2037		1,171		1,191
6.375% due 06/20/2023 - 06/20/2027		581		592
7.500% due 09/15/2014 - 09/15/2025		23		24
8.000% due 07/15/2010 - 08/15/2024		65		71
9.000% due 09/15/2008 - 11/15/2017		25		28
9.500% due 01/20/2019 - 12/15/2021		11		12
Small Business Administration
7.449% due 08/01/2010		300		307
7.970% due 01/25/2025		114		114
Total U.S. Government Agencies (Cost $1,720,497)				1,707,033
MORTGAGE-BACKED SECURITIES 2.4%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		2,326		2,081
Banc of America Funding Corp.
4.110% due 05/25/2035		3,955		3,700
Bear Stearns Adjustable Rate Mortgage Trust
5.033% due 04/25/2033		1,647		1,590
Bear Stearns Alt-A Trust
5.372% due 05/25/2035		5,524		4,738
5.701% due 09/25/2035		801		661
Bear Stearns Commercial Mortgage Securities
5.700% due 06/11/2050		5,000		4,719
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		271		254
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		1,213		1,176
Countrywide Alternative Loan Trust
2.662% due 05/25/2047		3,290		2,306
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		1,480		1,305
5.750% due 05/25/2033		115		115
CS First Boston Mortgage Securities Corp.
5.785% due 06/25/2032		65		63
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 01/25/2047		2,822		2,633
DLJ Acceptance Trust
11.000% due 08/01/2019		12		12
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		3,506		3,084
2.562% due 01/25/2047		3,767		3,576
GSR Mortgage Loan Trust
5.248% due 11/25/2035		4,193		3,944
Guaranteed Mortgage Corp. III GNMA-CMB
9.300% due 07/20/2019		39		44
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		1,889		1,766
Indymac ARM Trust
6.124% due 01/25/2032		38		31
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		3,700		3,478
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		685		652
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		700		650
Morgan Stanley Capital I
2.542% due 10/15/2020		1,114		1,041
Prime Mortgage Trust
2.882% due 02/25/2019		208		197
2.882% due 02/25/2034		1,119		1,018
Residential Funding Mortgage Securities I
5.593% due 02/25/2036		855		801
Structured Asset Mortgage Investments, Inc.
2.812% due 09/19/2032		630		574
Structured Asset Securities Corp.
5.369% due 01/25/2032		77		76
6.050% due 02/25/2032		84		78
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		2,979		2,852
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		3,019		2,849
WaMu Mortgage Pass-Through Certificates
2.772% due 10/25/2045		1,030		804
4.728% due 11/25/2042		469		434
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		5,420		5,222
Total Mortgage-Backed Securities (Cost $63,678)				58,524
ASSET-BACKED SECURITIES 5.7%
ACE Securities Corp.
2.532% due 12/25/2036		1,923		1,844
American Express Credit Account Master Trust
2.971% due 02/15/2012		662		649
Amortizing Residential Collateral Trust
2.752% due 06/25/2032		828		776
Asset-Backed Funding Certificates
2.542% due 11/25/2036		2,639		2,584
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		1,076		1,067
BA Credit Card Trust
3.183% due 12/15/2014		13,900		13,820
Bear Stearns Asset-Backed Securities Trust
2.542% due 01/25/2037		5,943		5,676
2.572% due 06/25/2047		1,870		1,813
2.932% due 03/25/2043		843		831
Chase Credit Card Master Trust
2.581% due 02/15/2011		6,600		6,597
Chase Issuance Trust
2.461% due 07/15/2011		7,200		7,178
Countrywide Asset-Backed Certificates
2.532% due 05/25/2037		3,183		3,084
EMC Mortgage Loan Trust
2.852% due 05/25/2040		2,205		2,039
First Franklin Mortgage Loan Asset-Backed Certificates
2.522% due 01/25/2038		5,738		5,543
2.532% due 11/25/2036		4,123		3,962
Ford Credit Auto Owner Trust
3.371% due 01/15/2011		20,800		20,864
3.891% due 06/15/2012		12,700		12,831
Fremont Home Loan Trust
2.542% due 01/25/2037		2,267		2,143
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		1,577		1,512
JPMorgan Mortgage Acquisition Corp.
2.532% due 07/25/2036		3,477		3,380
Lehman XS Trust
2.552% due 05/25/2046		683		655
Long Beach Mortgage Loan Trust
2.762% due 10/25/2034		107		89
MBNA Credit Card Master Note Trust
2.571% due 12/15/2011		12,280		12,244
Merrill Lynch Mortgage Investors, Inc.
2.512% due 06/25/2037		1,326		1,312
Morgan Stanley ABS Capital I
2.522% due 10/25/2036		1,193		1,175
Morgan Stanley IXIS Real Estate Capital Trust
2.532% due 11/25/2036		1,932		1,906
Option One Mortgage Loan Trust
2.522% due 02/25/2037		3,643		3,620
2.532% due 01/25/2037		2,435		2,376
Securitized Asset-Backed Receivables LLC Trust
2.542% due 12/25/2036		2,840		2,663
SLM Student Loan Trust
3.800% due 12/15/2038		13,800		13,699
Structured Asset Securities Corp.
2.772% due 01/25/2033		237		201
Total Asset-Backed Securities (Cost $139,877)				138,133
		Shares
CONVERTIBLE PREFERRED STOCKS 0.5%
Bank of America Corp.
7.250% due 12/31/2049		13,000		11,492
Total Convertible Preferred Stocks (Cost $13,000)				11,492
PREFERRED STOCKS 0.7%
DG Funding Trust
5.041% due 12/31/2049		1,568		15,646
Total Preferred Stocks (Cost $16,522)				15,646
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 4.4%
Commercial Paper 3.6%
Fannie Mae
2.130% due 07/21/2008	$	500		499
Federal Home Loan Bank
2.000% due 07/01/2008		71,900		71,900
2.115% due 07/07/2008		600		600
2.120% due 07/09/2008		800		800
2.140% due 08/22/2008		200		199
2.150% due 07/18/2008		6,000		5,994
2.192% due 07/18/2008		600		599
2.250% due 08/06/2008		6,800		6,785
				87,376
Repurchase Agreements 0.5%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		12,615		12,615
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.620% due 04/28/2009 valued at $12,871. Repurchase proceeds are $12,616.)
U.S. Treasury Bills 0.3%
1.776% due 08/28/2008 - 09/25/2008 (b)(c)(d)		6,550		6,521
Total Short-Term Instruments (Cost $106,518)				106,512
Purchased Options (h) 0.2% (Cost $14,922)				5,809
Total Investments 118.1% (Cost $2,900,704)			$	2,851,454
Written Options (i) (0.4%) (Premiums $15,584)				(8,773)
Other Assets and Liabilities (Net) (17.7%)				(427,340)
Net Assets 100.0%			$	2,415,341

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 $5,725 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) Securities with an aggregate market value of $796 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2008.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $316,863 at a weighted average interest rate of 2.416%. On June 30, 2008, securities valued at $345,285 were pledged as collateral for reverse repurchase agreements.

(f) Cash of $17,380 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	3,121	$	11,392
90-Day Eurodollar December Futures	Long	12/2009	757		(1,284)
90-Day Eurodollar June Futures	Long	06/2009	1,329		(1,268)
90-Day Eurodollar March Futures	Long	03/2009	1,727		1,624
90-Day Eurodollar March Futures	Long	03/2010	529		(790)
90-Day Eurodollar September Futures	Long	09/2008	361		133
90-Day Eurodollar September Futures	Long	09/2009	1,514		(546)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	1,287		675
				$	9,936

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.670	%	03/20/2013	BCLY	$	1,900	$	(37)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.056	%	03/20/2013	LEH		2,100		(8)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	Sell	0.850	%	03/20/2013	DUB		2,000		(7)
CIT Group, Inc. 7.750% due 04/02/2012	Sell	5.200	%	03/20/2013	BCLY		3,600		(236)
Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.890	%	03/20/2013	CSFB		10,300		(193)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.830	%	12/20/2009	GSC		1,500		(8)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.770	%	06/20/2010	BCLY		300		(3)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.935	%	12/20/2010	BCLY		100		(1)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.940	%	12/20/2010	BNP		300		(3)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.620	%	03/20/2011	BCLY		13,800		(274)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.640	%	12/20/2012	BCLY		13,700		(503)
SLM Corp. 5.125% due 08/27/2012	Sell	5.150	%	03/20/2009	BNP		3,800		(1)
SLM Corp. 5.125% due 08/27/2012	Sell	5.100	%	06/20/2009	BCLY		600		1
Wachovia Corp. 3.625% due 02/17/2009	Sell	1.320	%	03/20/2013	MSC		3,300		(105)
Wachovia Corp. 3.625% due 02/17/2009	Sell	3.020	%	03/20/2013	RBS		8,200		298
								$	(1,080)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	17,600	$	1,195
Dow Jones CDX N.A. HY8 Index	Sell	0.355	%	06/20/2012	CITI		8,247		(277)
Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012	CITI		4,968		(166)
Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012	CITI		1,987		(63)
Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012	MLP		2,000		(144)
Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012	MSC		1,900		(120)
Dow Jones CDX N.A. HY8 Index	Sell	2.127	%	06/20/2012	MLP		500		(31)
Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	CITI		600		(36)
Dow Jones CDX N.A. HY8 Index	Sell	2.179	%	06/20/2012	CITI		800		(47)
Dow Jones CDX N.A. IG9 Index	Sell	0.705	%	12/20/2012	GSC		12,700		96
Dow Jones CDX N.A. IG9 Index	Sell	0.758	%	12/20/2012	BCLY		19,200		238
Dow Jones CDX N.A. IG9 Index	Sell	0.963	%	12/20/2012	MSC		4,800		(1)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	BCLY		4,500		(7)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		22,400		1
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		47,200		285
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		36,300		135
Dow Jones CDX N.A. IG10 Index	Sell	0.463	%	06/20/2013	GSC		3,200		9
Dow Jones CDX N.A. IG10 Index	Sell	0.530	%	06/20/2013	DUB		2,600		0
								$	1,067

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	157,600	$	357
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		34,800		99
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		6,400		(47)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		2,200		(17)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		12,500		(52)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		25,600		(114)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		2,800		(21)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		8,600		(10)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	LEH		15,300		(113)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		42,100		(261)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		10,400		(73)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		14,400		(102)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	LEH		3,700		(17)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		2,400		22
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		3,700		(30)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		18,500		(420)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		6,400		(75)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		5,900		(103)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		3,900		(68)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		6,100		(188)
Receive	30-Day USD-CMM Rate	5.000	%	02/20/2009	MLP		5,800		39
Receive	30-Day USD-CMM Rate	5.500	%	05/21/2009	MLP		6,900		151
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP		8,400		(31)
Pay	USSP Semi 5-Year Index	0.763	%	02/05/2009	BNP		16,700		(91)
								$	(1,165)

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	206,600	$	2,245	$	979
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		80,200		858		373
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		55,200		588		256
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		154,300		1,495		716
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		516,800		4,662		1,375
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		181,800		1,963		531
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		32,200		309		174
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		263,500		2,802		1,405
									$	14,922	$	5,809

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	588	$	337	$	219
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	588		534		188
					$	871	$	407

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009	$	53,300	$	1,303	$	805
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009		28,100		902		609
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		18,700		469		260
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		12,400		405		243
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		18,400		609		360
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		51,400		1,619		1,006
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		173,000		4,469		2,261
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		60,600		1,827		816
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		14,000		310		201
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		61,900		2,007		1,211
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		25,900		793		594
									$	14,713	$	8,366

(j) Short sales outstanding on June 30, 2008:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	07/01/2023	$	17,000	$	16,726	$	16,811
Fannie Mae	5.500	%	07/01/2038		66,000		64,209		65,062
Ginnie Mae	6.000	%	07/01/2038		1,200		1,204		1,218
U.S. Treasury Notes	2.000	%	02/28/2010		15,100		14,965		15,106
U.S. Treasury Notes	2.125	%	01/31/2010		22,500		22,320		22,606
U.S. Treasury Notes	2.125	%	04/30/2010		71,700		71,146		71,504
U.S. Treasury Notes	3.125	%	11/30/2009		13,200		13,284		13,392
U.S. Treasury Notes	3.250	%	12/31/2009		67,500		67,950		68,487
U.S. Treasury Notes	3.500	%	02/15/2010		7,500		7,615		7,748
U.S. Treasury Notes	4.250	%	08/15/2013		6,600		6,875		7,007
U.S. Treasury Notes	4.500	%	05/15/2017		33,400		34,675		35,140
U.S. Treasury Notes	4.750	%	08/15/2017		19,200		20,039		20,764
						$	341,008	$	344,845

⁽³⁾ Market value includes $1,728 of interest payable on short sales.

(k) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 06/30/2008
Investments, at value	$	0	$	2,848,376	$	3,078	$	2,851,454
Other Financial Instruments++		9,936		(352,865)		(203)		(343,132)
Total	$	9,936	$	2,495,511	$	2,875	$	2,508,322

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Unrealized Gains /(Losses)		Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	3,261	$	(139)	$	3	$	(47)	$	0	$	3,078
Other Financial Instruments++		(306)		0		0		103		0		(203)
Total	$	2,955	$	(139)	$	3	$	56	$	0	$	2,875

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

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

See accompanying notes

Schedule of Investments

Total Return Fund III

June 30, 2008 (Unaudited)

		Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 0.8%
Daimler Finance North America LLC
6.780% due 08/03/2012	$	9,925	$	8,220
Idearc, Inc.
4.390% due 11/17/2014		362		291
4.800% due 11/17/2014		8,130		6,525
Sensata Technologies, Inc.
4.662% due 04/27/2013		2,970		2,759
Total Bank Loan Obligations (Cost $20,979)				17,795
CORPORATE BONDS & NOTES 27.7%
Banking & Finance 23.1%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		3,000		2,993
American Express Bank FSB
2.542% due 10/20/2009		4,000		3,949
6.000% due 09/13/2017		4,000		3,872
American Express Centurion Bank
6.000% due 09/13/2017		4,000		3,872
American Express Co.
7.000% due 03/19/2018		600		609
American Express Credit Corp.
2.508% due 11/09/2009		5,700		5,567
5.875% due 05/02/2013		2,700		2,688
American General Finance Corp.
6.900% due 12/15/2017		5,300		4,633
American International Group, Inc.
2.521% due 06/16/2009		5,800		5,695
5.050% due 10/01/2015		400		364
5.850% due 01/16/2018		10,400		9,775
ANZ National International Ltd.
2.798% due 08/07/2009		4,400		4,392
Bank of America Corp.
5.375% due 09/11/2012		7,000		7,022
8.000% due 12/29/2049		41,500		38,978
Bank of America N.A.
2.638% due 02/27/2009		800		797
Bank of Ireland
2.819% due 12/19/2008		4,700		4,699
Bank of Scotland PLC
2.756% due 07/17/2009		6,500		6,498
Barclays Bank PLC
5.450% due 09/12/2012		20,400		20,664
6.050% due 12/04/2017		3,400		3,343
Bear Stearns Cos., Inc.
2.768% due 08/21/2009		6,900		6,822
2.979% due 07/16/2009		12,600		12,453
3.199% due 01/30/2009		4,300		4,285
C10 Capital SPV Ltd.
6.722% due 12/31/2049		2,500		2,303
Calabash Re Ltd.
11.214% due 01/08/2010		3,400		3,400
CIT Group, Inc.
2.959% due 12/19/2008		2,600		2,573
Citigroup Capital XXI
8.300% due 12/21/2057		4,000		3,794
Citigroup Funding, Inc.
2.481% due 04/23/2009		700		691
2.809% due 06/26/2009		2,700		2,663
Citigroup Global Markets Holdings, Inc.
2.914% due 03/17/2009		3,900		3,862
Citigroup, Inc.
2.831% due 12/28/2009		400		390
2.848% due 12/26/2008		8,700		8,666
2.939% due 01/30/2009		3,100		3,072
5.300% due 10/17/2012		1,100		1,074
5.500% due 08/27/2012		2,600		2,567
5.500% due 04/11/2013		10,700		10,458
5.850% due 07/02/2013		700		694
6.125% due 08/25/2036		9,800		8,324
8.400% due 04/29/2049		200		190
Deutsche Bank AG
6.000% due 09/01/2017		7,200		7,293
DnB NOR Bank ASA
2.780% due 10/13/2009		3,300		3,302
Export-Import Bank of China
4.875% due 07/21/2015		500		487
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		500		388
7.375% due 10/28/2009		2,700		2,460
General Electric Capital Corp.
2.746% due 08/15/2011		7,600		7,488
2.768% due 01/05/2009		2,100		2,100
2.788% due 10/06/2010		4,200		4,170
2.888% due 01/20/2010		13,200		13,152
2.918% due 10/21/2010		500		497
GMAC LLC
6.000% due 12/15/2011		600		413
Goldman Sachs Group, Inc.
2.800% due 11/16/2009		5,000		4,931
2.841% due 12/23/2008		300		299
2.891% due 12/22/2008		10,410		10,164
3.250% due 07/23/2009		7,900		7,850
5.950% due 01/18/2018		8,500		8,186
6.250% due 09/01/2017		6,800		6,743
HBOS PLC
5.920% due 09/29/2049		700		500
HSBC Bank USA N.A.
2.836% due 06/10/2009		4,500		4,480
HSBC Capital Funding LP
9.547% due 12/29/2049		1,200		1,253
HSBC Finance Corp.
2.878% due 10/21/2009		2,600		2,540
3.000% due 11/16/2009		7,770		7,667
HSBC Holdings PLC
6.500% due 05/02/2036		3,800		3,548
6.500% due 09/15/2037		1,500		1,373
ICICI Bank Ltd.
3.250% due 01/12/2010		5,800		5,626
JPMorgan Chase & Co.
2.532% due 06/26/2009		2,900		2,892
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		5,700		5,555
JPMorgan Chase Capital XX
6.550% due 09/29/2036		700		608
KBC Bank Funding Trust III
9.860% due 11/29/2049		2,100		2,216
KeyBank N.A.
4.682% due 06/02/2010		5,300		5,283
Lehman Brothers Holdings, Inc.
2.774% due 04/03/2009		2,300		2,233
2.778% due 08/21/2009		3,950		3,876
2.778% due 05/25/2010		100		93
2.820% due 11/16/2009		11,000		10,486
2.954% due 07/18/2011		3,000		2,745
2.966% due 11/10/2009		2,500		2,384
5.625% due 01/24/2013		3,200		3,033
Longpoint Re Ltd.
8.064% due 05/08/2010		1,700		1,700
Merrill Lynch & Co., Inc.
2.756% due 12/04/2009		4,300		4,123
2.768% due 08/14/2009		3,800		3,680
2.831% due 12/22/2008		6,300		6,259
2.960% due 10/23/2008		4,400		4,374
6.050% due 08/15/2012		1,100		1,078
6.400% due 08/28/2017		4,000		3,718
6.875% due 04/25/2018		1,000		955
Morgan Stanley
2.521% due 11/21/2008		2,900		2,887
2.803% due 01/15/2010		10,100		9,772
4.750% due 04/01/2014		110		100
4.778% due 05/14/2010		5,900		5,880
6.250% due 08/28/2017		1,300		1,216
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		600		521
Mystic Re Ltd.
12.682% due 06/07/2011		1,100		1,125
National Australia Bank Ltd.
5.350% due 06/12/2013		3,100		3,100
Nordea Bank Sweden AB
8.950% due 11/29/2049		500		517
Petroleum Export Ltd.
5.265% due 06/15/2011		412		409
Phoenix Quake Ltd.
5.134% due 07/03/2008		600		600
Phoenix Quake Wind II Ltd.
6.184% due 07/03/2008		300		300
Phoenix Quake Wind Ltd.
5.134% due 07/03/2008		600		600
Prudential Financial, Inc.
6.625% due 12/01/2037		800		759
Prudential Holdings LLC
8.695% due 12/18/2023		265		309
Residential Reinsurance 2007 Ltd.
12.932% due 06/07/2010		700		703
Resona Bank Ltd.
5.850% due 09/29/2049		800		690
Royal Bank of Scotland Group PLC
2.868% due 07/21/2008		2,900		2,899
7.648% due 08/31/2049		3,800		3,714
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		3,700		3,584
Santander U.S. Debt S.A. Unipersonal
2.861% due 09/19/2008		18,800		18,780
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		1,700		1,446
State Street Capital Trust III
8.250% due 12/29/2049		3,400		3,468
State Street Capital Trust IV
3.776% due 06/15/2037		600		463
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		5,800		5,217
TNK-BP Finance S.A.
6.125% due 03/20/2012		700		663
UBS AG
5.750% due 04/25/2018		1,000		957
5.875% due 12/20/2017		2,500		2,440
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		18,400		18,389
USB Capital IX
6.189% due 04/15/2049		600		456
VTB Capital S.A.
3.384% due 08/01/2008		3,500		3,469
Wachovia Corp.
2.843% due 10/15/2011		14,600		13,880
7.980% due 12/31/2049		35,200		32,421
World Financial Properties
6.950% due 09/01/2013		144		143
				524,769
Industrials 3.7%
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		3,200		3,444
CODELCO, Inc.
6.150% due 10/24/2036		400		382
Comcast Corp.
5.875% due 02/15/2018		1,000		965
6.450% due 03/15/2037		1,000		936
Daimler Finance North America LLC
3.138% due 03/13/2009		1,900		1,894
3.234% due 08/03/2009		3,900		3,869
Dell, Inc.
4.700% due 04/15/2013		5,800		5,653
El Paso Corp.
9.625% due 05/15/2012		1,000		1,090
Gaz Capital S.A.
6.212% due 11/22/2016		700		656
General Mills, Inc.
3.038% due 01/22/2010		3,200		3,161
HJ Heinz Co.
6.428% due 12/01/2020		700		706
International Business Machines Corp.
5.700% due 09/14/2017		28,100		28,610
Kraft Foods, Inc.
6.125% due 02/01/2018		3,000		2,926
6.875% due 02/01/2038		1,300		1,269
Nucor Corp.
5.750% due 12/01/2017		4,800		4,822
Pemex Project Funding Master Trust
9.125% due 10/13/2010		15		16
Rohm & Haas Co.
6.000% due 09/15/2017		2,000		1,954
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028		8,400		8,249
Time Warner, Inc.
2.915% due 11/13/2009		3,400		3,305
Transocean, Inc.
2.873% due 09/05/2008		3,900		3,895
United Airlines, Inc.
6.071% due 03/01/2013		98		96
Vale Overseas Ltd.
6.250% due 01/23/2017		700		682
6.875% due 11/21/2036		700		655
Williams Cos., Inc.
6.375% due 10/01/2010		4,600		4,669
				83,904
Utilities 0.9%
AT&T, Inc.
4.950% due 01/15/2013		2,800		2,794
5.500% due 02/01/2018		3,000		2,915
6.300% due 01/15/2038		1,900		1,805
Deutsche Telekom International Finance BV
8.500% due 06/15/2010		150		159
Enel Finance International S.A.
6.800% due 09/15/2037		10,200		10,341
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		1,196		1,166
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		1,600		1,359
Virginia Electric and Power Co.
6.350% due 11/30/2037		500		489
				21,028
Total Corporate Bonds & Notes (Cost $647,692)				629,701
MUNICIPAL BONDS & NOTES 0.4%
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2005
4.750% due 01/01/2035		300		297
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2007
5.000% due 11/15/2036		3,100		3,130
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		2,200		2,107
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		2,900		2,764
Total Municipal Bonds & Notes (Cost $8,619)				8,298
COMMODITY INDEX-LINKED NOTES 0.2%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		5,000		4,966
Total Commodity Index-Linked Notes (Cost $5,000)				4,966
U.S. GOVERNMENT AGENCIES 66.9%
Fannie Mae
2.542% due 07/25/2037		5,242		5,178
4.500% due 09/01/2034		141		131
4.526% due 07/01/2035		5,403		5,462
4.666% due 05/25/2035		773		788
4.818% due 09/01/2035		924		927
4.830% due 09/01/2034		646		656
4.837% due 07/01/2034		36		37
4.841% due 01/01/2035		1,116		1,126
4.852% due 08/01/2035		2,701		2,713
4.994% due 07/01/2044		634		634
5.000% due 10/01/2017 - 07/01/2038		315,301		305,458
5.221% due 08/01/2035		4,857		4,913
5.500% due 05/01/2013 - 07/01/2038		558,391		552,398
5.500% due 04/01/2034 - 06/01/2037 (d)		137,877		136,451
5.607% due 03/01/2033		67		68
5.827% due 02/01/2031		5		5
6.000% due 10/01/2016 - 07/01/2038		227,653		230,060
6.000% due 10/01/2037 (d)		42,166		42,597
6.500% due 01/01/2011 - 06/25/2044		29,384		30,307
7.000% due 03/01/2013 - 10/01/2031		47		50
7.500% due 05/01/2011 - 02/01/2027		219		236
9.000% due 06/01/2025		1		1
12.500% due 06/15/2015		3		3
Federal Housing Administration
7.430% due 01/25/2023		649		651
Freddie Mac
2.621% due 07/15/2019 - 10/15/2020		56,666		55,558
2.701% due 02/15/2019		20,303		19,906
4.994% due 02/25/2045		392		364
5.000% due 12/01/2017 - 09/01/2035		2,923		2,876
5.082% due 08/15/2032		797		797
5.500% due 06/01/2019 - 06/01/2038		49,856		49,179
6.000% due 02/01/2016 - 07/01/2038		28,067		28,409
6.016% due 04/01/2033		9		9
6.500% due 05/01/2016 - 05/15/2032		28,913		30,407
7.000% due 11/01/2011 - 07/01/2029		2,037		2,152
7.130% due 12/01/2022		45		45
7.266% due 07/01/2030		23		23
7.500% due 07/01/2011 - 09/01/2025		38		41
8.000% due 01/01/2012		6		6
Ginnie Mae
3.071% due 02/16/2030		129		130
4.750% due 02/20/2032		1,154		1,155
5.125% due 10/20/2024 - 12/20/2026		319		321
5.375% due 01/20/2024 - 01/20/2026		440		441
5.625% due 09/20/2023 - 08/20/2027		344		348
6.000% due 01/15/2029 - 05/15/2037		1,322		1,345
6.375% due 06/20/2022		189		192
6.500% due 05/15/2032 - 06/15/2032		48		49
7.000% due 12/15/2011 - 02/20/2032		51		54
10.250% due 02/15/2017		447		480
Small Business Administration
5.130% due 09/01/2023		710		708
5.520% due 06/01/2024		4,819		4,875
7.449% due 08/01/2010		122		125
Total U.S. Government Agencies (Cost $1,529,877)				1,520,845
MORTGAGE-BACKED SECURITIES 4.6%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		1,830		1,638
Banc of America Funding Corp.
4.110% due 05/25/2035		2,681		2,508
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		252		248
Bear Stearns Adjustable Rate Mortgage Trust
4.593% due 01/25/2034		1,820		1,678
5.615% due 02/25/2033		207		195
6.736% due 02/25/2033		122		120
Bear Stearns Alt-A Trust
5.372% due 05/25/2035		3,458		2,966
5.701% due 09/25/2035		1,656		1,367
Bear Stearns Mortgage Funding Trust
2.552% due 02/25/2037		5,367		4,761
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		4,355		4,317
5.674% due 01/26/2036		3,759		3,128
5.777% due 12/26/2046		2,140		1,762
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		202		189
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		985		956
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		698		696
Countrywide Alternative Loan Trust
2.662% due 05/25/2047		2,796		1,960
Countrywide Home Loan Mortgage Pass-Through Trust
4.720% due 02/20/2035		5,851		5,717
4.799% due 11/25/2034		3,329		3,201
5.250% due 02/20/2036		1,198		1,056
5.750% due 05/25/2033		115		115
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 01/25/2047		3,009		2,808
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		3,043		2,677
2.562% due 01/25/2047		3,440		3,265
Greenpoint Mortgage Pass-Through Certificates
4.392% due 10/25/2033		2,653		2,527
GSR Mortgage Loan Trust
5.248% due 11/25/2035		3,941		3,708
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		3,729		3,392
5.145% due 07/19/2035		2,774		2,563
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		1,632		1,525
Indymac ARM Trust
6.124% due 01/25/2032		18		15
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		1,909		1,780
5.240% due 01/25/2036		4,165		3,368
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		3,600		3,384
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		520		495
MASTR Adjustable Rate Mortgages Trust
3.788% due 11/21/2034		2,595		2,564
Mellon Residential Funding Corp.
2.994% due 06/15/2030		2,937		2,774
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		6,200		5,716
5.378% due 08/12/2048		600		557
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		1,653		1,329
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		482		436
Morgan Stanley Capital I
2.542% due 10/15/2020		1,042		974
Prime Mortgage Trust
2.882% due 02/25/2019		119		113
2.882% due 02/25/2034		578		526
Structured Adjustable Rate Mortgage Loan Trust
5.505% due 07/25/2035		743		696
Structured Asset Mortgage Investments, Inc.
2.612% due 03/25/2037		4,455		3,427
2.732% due 07/19/2035		3,423		2,842
Structured Asset Securities Corp.
5.432% due 10/25/2035		2,367		2,159
6.050% due 02/25/2032		39		36
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		2,648		2,535
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		2,813		2,655
WaMu Mortgage Pass-Through Certificates
2.772% due 10/25/2045		817		638
4.728% due 11/25/2042		408		377
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		4,441		4,279
Total Mortgage-Backed Securities (Cost $114,249)				104,718
ASSET-BACKED SECURITIES 3.2%
Asset-Backed Funding Certificates
2.542% due 11/25/2036		1,760		1,723
2.542% due 01/25/2037		1,801		1,748
Asset-Backed Securities Corp. Home Equity
2.758% due 09/25/2034		778		667
Bear Stearns Asset-Backed Securities Trust
2.542% due 01/25/2037		5,403		5,160
2.932% due 03/25/2043		365		359
Carrington Mortgage Loan Trust
2.732% due 06/25/2035		460		459
2.802% due 10/25/2035		1,202		1,117
Countrywide Asset-Backed Certificates
2.532% due 07/25/2037		8,357		8,066
2.742% due 05/25/2036		6,856		6,690
2.962% due 12/25/2031		359		270
Credit-Based Asset Servicing & Securitization LLC
2.572% due 12/25/2037		7,781		7,479
First Franklin Mortgage Loan Asset-Backed Certificates
2.532% due 11/25/2036		3,600		3,460
Fremont Home Loan Trust
2.542% due 01/25/2037		2,022		1,912
GSAMP Trust
2.552% due 12/25/2036		2,934		2,844
HFC Home Equity Loan Asset-Backed Certificates
2.769% due 01/20/2034		3,416		3,028
HSBC Asset Loan Obligation
2.542% due 12/25/2036		5,844		5,608
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		1,402		1,344
JPMorgan Mortgage Acquisition Corp.
2.532% due 07/25/2036		3,080		2,994
2.532% due 08/25/2036		892		878
Lehman XS Trust
2.552% due 05/25/2046		605		580
Long Beach Mortgage Loan Trust
2.762% due 10/25/2034		97		81
MBNA Master Credit Card Trust
5.900% due 08/15/2011		300		305
7.800% due 10/15/2012		200		214
Morgan Stanley ABS Capital I
2.512% due 06/25/2036		493		492
2.522% due 10/25/2036		1,016		1,001
2.532% due 11/25/2036		4,493		4,248
Option One Mortgage Loan Trust
2.532% due 01/25/2037		2,976		2,904
Residential Asset Securities Corp.
2.552% due 11/25/2036		1,942		1,919
Securitized Asset-Backed Receivables LLC Trust
2.542% due 12/25/2036		2,637		2,473
Structured Asset Securities Corp.
2.532% due 10/25/2036		2,791		2,726
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		1,160		1,133
Total Asset-Backed Securities (Cost $76,941)				73,882
SOVEREIGN ISSUES 0.0%
Chile Government International Bond
5.500% due 01/15/2013		200		207
China Development Bank
5.000% due 10/15/2015		600		588
Total Sovereign Issues (Cost $794)				795
FOREIGN CURRENCY-DENOMINATED ISSUES 1.4%
Brazilian Government International Bond
10.250% due 01/10/2028 BRL		1,900		1,008
12.500% due 01/05/2022		2,800		1,707
General Electric Capital Corp.
5.500% due 09/15/2067 EUR		10,200		14,209
HBOS PLC
4.875% due 03/29/2049		7,480		9,285
KBC Bank Funding Trust II
6.875% due 06/30/2049		3,000		4,691
Total Foreign Currency-Denominated Issues (Cost $29,530)				30,900
	Shares
CONVERTIBLE PREFERRED STOCKS 0.8%
Bank of America Corp.
7.250% due 12/31/2049		17,000		15,028
Wachovia Corp.
7.500% due 12/31/2049		3,000		2,656
Total Convertible Preferred Stocks (Cost $20,000).				17,684
PREFERRED STOCKS 0.6%
Centaur Funding Corp.
9.080% due 04/21/2020		125		124
DG Funding Trust
5.041% due 12/31/2049		1,065		10,627
Northern Rock PLC
8.000% due 12/31/2049		260,000		3,705
Total Preferred Stocks (Cost $17,965)				14,456
SHORT-TERM INSTRUMENTS 6.0%
Certificates of Deposit 1.4%
Bank of Ireland
2.753% due 01/15/2010		11,100		10,937
Calyon Financial, Inc.
2.689% due 01/16/2009		7,900		7,878
Fortis Bank NY
2.646% due 09/30/2008		4,500		4,494
Nordea Bank Finland PLC
2.436% due 04/09/2009		8,100		8,097
				31,406
Commercial Paper 3.7%
Federal Home Loan Bank
2.000% due 07/01/2008		15,000		15,000
Lloyds TSB Bank PLC
2.490% due 07/01/2008		52,000		52,000
Westpac Banking Corp.
2.700% due 09/18/2008		16,900		16,795
				83,795
Repurchase Agreements 0.4%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		9,142		9,142
(Dated 06/30/2008. Collateralized by Freddie Mac 0.000% due 09/26/2008 valued at $9,329. Repurchase proceeds are $9,142.)
U.S. Treasury Bills 0.5%
1.769% due 08/28/2008 - 09/25/2008 (a)(b)(c)		11,700		11,644
Total Short-Term Instruments (Cost $136,194)				135,987
PURCHASED OPTIONS (g) 0.2% (Cost $13,621)				5,289
Total Investments 112.8% (Cost $2,621,461)			$	2,565,316
Written Options (h) (0.4%)				(8,006	)
(Premiums $14,243)
Other Assets and Liabilities (Net) (12.4%)				(282,538	)
Net Assets 100.0%			$	2,274,772

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

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

(a) Coupon represents a weighted average rate.

(b) Securities with an aggregate market value of $11,444 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(c) Securities with an aggregate market value of $200 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $157,025 at a weighted average interest rate of 2.471%. On June 30, 2008, securities valued at $168,923 were pledged as collateral for reverse repurchase agreements.

(e) Cash of $18,725 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
90-Day Euribor December Futures	Long	12/2008	128	$	4
90-Day Euribor June Futures	Long	06/2009	72		(15	)
90-Day Euribor March Futures	Long	03/2009	121		(4	)
90-Day Eurodollar December Futures	Long	12/2008	2,802		9,728
90-Day Eurodollar December Futures	Long	12/2009	538		(853	)
90-Day Eurodollar June Futures	Long	06/2009	1,148		(737	)
90-Day Eurodollar March Futures	Long	03/2009	2,625		4,543
90-Day Eurodollar March Futures	Long	03/2010	419		(541	)
90-Day Eurodollar September Futures	Long	09/2008	396		151
90-Day Eurodollar September Futures	Long	09/2009	765		(684	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	1,142		812
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	329		(759	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	43		(142	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	177		(204	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	388		(274	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	596		(632	)
				$	10,393

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
Berkshire Hathaway Finance Corp. 4.625% due 10/15/2013	Sell	0.850	%	03/20/2013	DUB	$	1,900	$	(7	)
CIT Group, Inc. 7.750% due 04/02/2012	Sell	5.650	%	03/20/2013	BCLY		8,300		(429	)
Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.890	%	03/20/2013	CSFB		9,900		(186	)
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS		10,600		10
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.850	%	09/20/2012	GSC		300		(71	)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	5.650	%	09/20/2012	BCLY		1,100		(212	)
Freddie Mac 5.080% due 02/07/2019	Sell	0.720	%	03/20/2013	BCLY		4,300		19
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.950	%	01/20/2009	MSC		3,800		2
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.750	%	03/20/2009	CITI		4,600		(3	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.770	%	06/20/2010	BCLY		200		(2	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.900	%	12/20/2010	GSC		800		(9	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.940	%	12/20/2010	BNP		200		(2	)
General Motors Corp. 7.125% due 07/15/2013	Sell	4.500	%	09/20/2008	RBS		1,400		(20	)
General Motors Corp. 7.125% due 07/15/2013	Sell	8.900	%	03/20/2013	JPM		3,300		(720	)
General Motors Corp. 7.125% due 07/15/2013	Sell	9.100	%	03/20/2013	GSC		3,200		(682	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.050	%	09/20/2008	MSC		4,200		(115	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.680	%	09/20/2008	LEH		10,000		(258	)
GMAC LLC 6.875% due 08/28/2012	Sell	1.850	%	09/20/2009	MLP		4,200		(656	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.200	%	09/20/2012	GSC		600		(186	)
GMAC LLC 6.875% due 08/28/2012	Sell	3.650	%	09/20/2012	BCLY		1,000		(301	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008	LEH		1,300		(2	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.310	%	12/20/2011	RBS		800		(27	)
MetLife, Inc. 5.000% due 06/15/2015	Sell	2.050	%	03/20/2013	LEH		6,200		257
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016	JPM		100		(2	)
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.920	%	03/20/2016	LEH		400		(8	)
Multiple Reference Entities of Gazprom	Sell	0.970	%	11/20/2008	HSBC		900		1
Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008	CSFB		1,000		2
Multiple Reference Entities of Gazprom	Sell	0.360	%	05/20/2009	HSBC		2,000		(11	)
Multiple Reference Entities of Gazprom	Sell	1.430	%	07/20/2011	LEH		1,400		(7	)
Multiple Reference Entities of Gazprom	Sell	0.850	%	11/20/2011	LEH		800		(26	)
Multiple Reference Entities of Gazprom	Sell	0.970	%	10/20/2012	JPM		400		(16	)
Multiple Reference Entities of Gazprom	Sell	1.020	%	10/20/2012	JPM		400		(15	)
Multiple Reference Entities of Gazprom	Sell	2.170	%	02/20/2013	JPM		1,000		11
Multiple Reference Entities of Gazprom	Sell	2.180	%	02/20/2013	MSC		600		7
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.730	%	01/20/2012	JPM		2,400		(22	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.750	%	01/20/2012	MSC		1,000		(8	)
Panama Government International Bond 8.875% due 09/30/2027	Sell	1.250	%	01/20/2017	JPM		900		(25	)
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.830	%	07/20/2011	BCLY		1,000		0
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.305	%	12/20/2008	MSC		4,000		(2	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.550	%	03/20/2009	BOA		3,000		(14	)
SLM Corp. 5.125% due 08/27/2012	Sell	4.910	%	06/20/2009	DUB		500		0
SLM Corp. 5.125% due 08/27/2012	Sell	4.800	%	03/20/2013	BOA		2,500		24
SLM Corp. 5.125% due 08/27/2012	Sell	4.850	%	03/20/2013	CITI		2,700		30
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008	BCLY		3,000		(14	)
Wachovia Corp. 3.625% due 02/17/2009	Sell	1.320	%	03/20/2013	MSC		3,100		(98	)
								$	(3,793	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	16,900	$	1,147
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	BCLY		3,000		18
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	LEH		15,600		64
Dow Jones CDX N.A. EM9 Index	Sell	2.650	%	06/20/2013	MSC		1,500		4
Dow Jones CDX N.A. HY8 Index	Sell	0.355	%	06/20/2012	CITI		7,751		(260	)
Dow Jones CDX N.A. HY8 Index	Sell	0.360	%	06/20/2012	CITI		4,968		(166	)
Dow Jones CDX N.A. HY8 Index	Sell	0.401	%	06/20/2012	CITI		1,888		(61	)
Dow Jones CDX N.A. HY8 Index	Sell	1.833	%	06/20/2012	MLP		1,800		(129	)
Dow Jones CDX N.A. HY8 Index	Sell	2.080	%	06/20/2012	MSC		1,800		(113	)
Dow Jones CDX N.A. HY8 Index	Sell	2.127	%	06/20/2012	MLP		500		(31	)
Dow Jones CDX N.A. HY8 Index	Sell	2.144	%	06/20/2012	CITI		600		(36	)
Dow Jones CDX N.A. HY8 Index	Sell	2.170	%	06/20/2012	MSC		700		(42	)
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB		12,100		93
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	)%	06/20/2013	BCLY		4,300		(7	)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	)%	06/20/2013	DUB		21,100		0
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	)%	06/20/2013	GSC		44,400		268
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	)%	06/20/2013	MSC		34,200		128
Dow Jones CDX N.A. IG10 Index	Sell	0.463	%	06/20/2013	GSC		3,000		(7	)
Dow Jones CDX N.A. IG10 Index	Sell	0.530	%	06/20/2013	DUB		2,400		0
								$	870

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	UBS	AUD	62,300	$	(614	)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	UBS		3,800		(2	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	MSC	$	24,000		77
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		32,700		93
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		5,800		(43	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		2,000		(15	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MLP		11,700		(49	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		22,900		(102	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		1,800		(14	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		5,400		(6	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		37,200		(251	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		7,900		(63	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		13,600		(96	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	LEH		3,500		(16	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	MSC		2,300		21
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	RBS		3,500		(28	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		17,600		(397	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		6,200		(72	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		5,700		(99	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		3,800		(66	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		5,800		(179	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	10,300		(240	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103	%	10/15/2010	BCLY		1,800		(38	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146	%	10/15/2010	UBS		1,200		(23	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.948	%	03/15/2012	JPM		4,300		(252	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.955	%	03/28/2012	RBS		400		(19	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	03/30/2012	GSC		1,400		(82	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY		700		(41	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		700		(43	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	UBS	AUD	24,600		(254	)
Pay	6-Month Australian Bank Bill	7.000	%	03/20/2013	DUB		6,600		(247	)
Receive	6-Month Australian Bank Bill	6.500	%	03/20/2018	DUB		9,000		191
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	BCLY	GBP	14,300		(76	)
Pay	6-Month GBP-LIBOR	6.000	%	12/20/2008	DUB		8,600		(48	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	BCLY		8,100		(77	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2009	RBS		7,500		(75	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY		8,600		50
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	CSFB		1,700		0
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	GSC		16,900		(13	)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	GSC		39,100		(46	)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBS		11,100		(20	)
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC		3,100		12
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		800		(76	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		4,900		(471	)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		2,000		77
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	MLP		800		33
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	BCLY		1,800		252
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	HSBC		3,200		335
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	RBS		5,900		691
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	GSC		2,600		(126	)
Receive	6-Month GBP-LIBOR	5.500	%	12/15/2036	RBS		700		(40	)
Receive	6-Month GBP-LIBOR	5.000	%	12/19/2037	GSC		400		(37	)
Receive	30-Day USD-CMM Rate	5.000	%	02/20/2009	MLP	$	5,500		37
Receive	30-Day USD-CMM Rate	5.500	%	05/21/2009	MLP		6,600		144
Pay	BRL-CDI-Compounded	11.360	%	01/04/2010	BCLY	BRL	9,400		(258	)
Pay	BRL-CDI-Compounded	11.430	%	01/04/2010	MLP		6,200		(165	)
Pay	BRL-CDI-Compounded	11.465	%	01/04/2010	GSC		2,400		(63	)
Pay	BRL-CDI-Compounded	12.410	%	01/04/2010	UBS		5,000		(63	)
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MSC		5,000		(64	)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC		8,200		(86	)
Pay	BRL-CDI-Compounded	12.948	%	01/04/2010	MLP		3,400		(27	)
Pay	BRL-CDI-Compounded	14.370	%	01/04/2010	MLP		3,700		46
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		14,400		(628	)
Pay	BRL-CDI-Compounded	11.980	%	01/02/2012	MLP		10,100		(381	)
Pay	BRL-CDI-Compounded	12.540	%	01/02/2012	MLP		12,600		(294	)
Pay	USSP Semi 2-Year Index	0.690	%	01/08/2009	BNP	$	9,800		(38	)
Pay	USSP Semi 2-Year Index	0.710	%	02/05/2009	BNP		8,100		(30	)
								$	(4,494	)

Interest Rate Cap/Floor Swaps

Counterparty

Floating Rate Index

Cap/Floor

Cap/Floor Rate

Pay/Receive Floating Rate

Premium Amount

Expiration Date

Notional Amount

Unrealized Appreciation

JPM

10/2-Year EUR ISDA rate spread

Floor

(0.750

)%

Pay

$

(64

)

12/24/2008

EUR

4,400

$

0

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	190,400	$	2,072	$	902
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		72,200		772		335
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		49,600		528		230
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		138,300		1,341		642
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		475,100		4,284		1,264
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		168,900		1,824		493
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		29,900		287		162
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		166,400		1,774		773
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		69,900		739		488
									$	13,621	$	5,289

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

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	556	$	319	$	207
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	556		505		178
					$	824	$	385

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009	$	48,400	$	1,186	$	732
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009		26,300		844		570
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		16,800		422		234
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		11,200		366		219
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		16,500		546		323
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		46,100		1,452		902
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		159,100		4,108		2,079
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		56,300		1,698		758
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		13,000		287		186
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		55,400		1,797		1,084
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		23,300		713		534
									$	13,419	$	7,621

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

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(3)
Fannie Mae	5.500	%	07/01/2038	$	1,000	$	988	$	986
Fannie Mae	6.000	%	06/01/2038		7,000		7,111		7,111
Ginnie Mae	6.000	%	07/01/2038		1,300		1,304		1,320
U.S. Treasury Notes	2.000	%	02/28/2010		14,500		14,371		14,506
U.S. Treasury Notes	2.125	%	01/31/2010		21,600		21,427		21,702
U.S. Treasury Notes	2.125	%	04/30/2010		68,600		68,070		68,412
U.S. Treasury Notes	2.875	%	01/31/2013		31,800		30,856		31,700
U.S. Treasury Notes	3.125	%	11/30/2009		13,000		13,083		13,189
U.S. Treasury Notes	3.250	%	12/31/2009		64,800		65,232		65,747
U.S. Treasury Notes	3.500	%	02/15/2010		7,200		7,310		7,438
U.S. Treasury Notes	4.250	%	08/15/2013		6,400		6,667		6,795
U.S. Treasury Notes	4.500	%	05/15/2017		32,300		33,533		33,983
						$	269,952	$	272,889

⁽³⁾ Market value includes $1,694 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	1,556	04/2009	$	0	$	(4	)	$	(4	)
Buy	AUD	1,203	07/2008		8		0			8
Buy	BRL	91,881	07/2008		11,062		0			11,062
Sell		91,881	07/2008		0		(2,815	)		(2,815	)
Buy		89,730	12/2008		3,174		0			3,174
Sell		29,878	12/2008		0		(1,465	)		(1,465	)
Buy	CLP	177,894	07/2008		0		(18	)		(18	)
Sell		177,894	07/2008		41		0			41
Buy		234,969	12/2008		0		(42	)		(42	)
Buy		177,894	05/2009		0		(41	)		(41	)
Buy	CNY	37,681	11/2008		72		0			72
Sell	EUR	32,946	07/2008		0		(531	)		(531	)
Buy	GBP	150	08/2008		0		0			0
Sell		26,441	08/2008		0		(290	)		(290	)
Buy	IDR	12,949,000	10/2008		12		0			12
Buy	INR	95,167	08/2008		0		(200	)		(200	)
Sell	JPY	550,235	07/2008		0		(86	)		(86	)
Buy	KRW	9,273,134	08/2008		0		(1,044	)		(1,044	)
Sell		9,273,134	08/2008		24		(6	)		18
Buy	KWD	118	04/2009		0		(5	)		(5	)
Buy	MXN	126,658	07/2008		812		0			812
Sell		126,658	07/2008		0		(566	)		(566	)
Buy		144	11/2008		0		0			0
Buy	MYR	16,695	11/2008		0		(69	)		(69	)
Buy		9,348	02/2009		0		(59	)		(59	)
Buy	PHP	330,089	08/2008		0		(174	)		(174	)
Buy	PLN	22,550	07/2008		2,331		0			2,331
Sell		22,550	07/2008		0		(1,557	)		(1,557	)
Buy	RUB	376,486	07/2008		822		0			822
Sell		376,486	07/2008		0		(699	)		(699	)
Buy		114,396	11/2008		238		0			238
Sell		2,990	11/2008		0		(8	)		(8	)
Buy		72,218	05/2009		41		0			41
Sell		111,406	05/2009		0		(89	)		(89	)
Buy	SAR	1,594	04/2009		0		(4	)		(4	)
Buy	SEK	11,210	09/2008		8		0			8
Buy	SGD	25,435	11/2008		367		0			367
Buy	ZAR	3,566	07/2008		0		(50	)		(50	)
Sell		3,566	07/2008		0		(13	)		(13	)
Buy		3,566	12/2008		13		0			13
				$	19,025	$	(9,835	)	$	9,190

(k) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0	$	2,558,842		$	6,474		$	2,565,316
Other Financial Instruments++		10,393		(276,266	)		(1,162	)		(267,035	)
Total	$	10,393	$	2,282,576		$	5,312		$	2,298,281

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

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	661		$	5,823	$	0	$	(10	)	$	0	$	6,474
Other Financial Instruments++		(588	)		0		0		(612	)		38		(1,162	)
Total	$	73		$	5,823	$	0	$	(622	)	$	38	$	5,312

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

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

See Accompanying Notes

Schedule of Investments

Unconstrained Bond Fund

June 30, 2008 (Unaudited)

		Principal Amount (000s)		Value (000s)
U.S. GOVERNMENT AGENCIES 64.0%
Ginnie Mae
5.000% due 07/01/2038	$	2,000	$	1,941
Total U.S. Government Agencies (Cost $1,941)				1,941
Total Investments 64.0% (Cost $1,941)			$	1,941
Other Assets and Liabilities (Net) 36.0%				1,089
Net Assets 100.0%			$	3,030

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

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

(a) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	1,941	$	0	$	1,941
Other Financial Instruments++		0		0		0		0
Total	$	0	$	1,941	$	0	$	1,941

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

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

See Accompanying Notes

Schedule of Investments

Asset-Backed Securities Portfolio

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 5.0%
American International Group, Inc.
5.850% due 01/16/2018	$	3,000	$	2,820
Bear Stearns Cos., Inc.
6.400% due 10/02/2017		2,000		1,983
6.950% due 08/10/2012		5,000		5,205
Charlotte Gateway Village LLC
6.410% due 12/01/2016		1,700		1,642
Citigroup, Inc.
8.400% due 04/29/2049		1,000		952
Credit Suisse New York, Inc.
5.000% due 05/15/2013		2,000		1,949
CVS Pass-Through Trust
5.880% due 01/10/2028		1,886		1,829
Exelon Generation Co. LLC
6.200% due 10/01/2017		1,410		1,377
Masco Corp.
5.875% due 07/15/2012		5,000		4,781
Northwest Airlines, Inc.
3.264% due 08/06/2013		1,624		1,551
Preferred Term Securities XII
3.326% due 03/24/2034		2,250		2,028
President and Fellows of Harvard College
3.700% due 04/01/2013		3,000		2,988
5.625% due 10/01/2038		3,000		2,978
Prudential Financial, Inc.
6.000% due 12/01/2017		10,000		9,921
6.625% due 12/01/2037		1,000		948
Times Square Hotel Trust
8.528% due 08/01/2026		7,162		7,234
United Airlines, Inc.
6.636% due 07/02/2022		1,946		1,613
Total Corporate Bonds & Notes (Cost $52,987)				51,799
MUNICIPAL BONDS & NOTES 0.7%
Massachusetts Educational Financing Authority Bonds, Series 2008
3.701% due 04/25/2028 (b)		3,600		3,600
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		3,940		3,520
Total Municipal Bonds & Notes (Cost $7,305)				7,120
U.S. GOVERNMENT AGENCIES 36.2%
Fannie Mae
0.000% due 09/25/2008 (c)		12		12
2.612% due 03/25/2036		508		508
2.682% due 10/27/2037 (f)		12,500		11,958
2.722% due 08/25/2031 - 05/25/2032		563		557
2.782% due 12/25/2025 - 04/25/2029		51		51
2.782% due 04/25/2036 (f)		7,711		7,571
2.832% due 12/25/2016 - 11/25/2032		68		68
2.881% due 05/18/2032		324		322
2.882% due 06/25/2029 - 11/17/2030		538		538
2.900% due 09/17/2027		10		10
2.932% due 10/25/2030 - 02/25/2033		734		733
2.950% due 06/25/2021 - 10/25/2021		117		116
2.982% due 05/25/2023 - 06/25/2032		3,560		3,556
2.992% due 10/25/2031		149		148
3.000% due 01/25/2020 - 03/25/2022		223		222
3.031% due 12/18/2031		925		924
3.050% due 12/25/2021		211		211
3.081% due 11/18/2031		37		38
3.105% due 08/01/2033		225		230
3.132% due 11/25/2031		673		674
3.200% due 04/25/2022		32		32
3.250% due 07/25/2008 - 05/25/2022		72		72
3.350% due 05/25/2018 - 10/25/2020		152		152
3.400% due 08/25/2023		99		98
3.444% due 09/01/2033		63		64
3.459% due 10/01/2033 (f)		585		585
3.482% due 04/25/2032		63		63
3.500% due 12/25/2023 - 09/01/2033		541		543
3.580% due 12/25/2021		17		16
3.600% due 12/25/2008		27		27
3.636% due 08/01/2033		204		207
3.650% due 10/25/2022 - 04/25/2023		301		303
3.692% due 06/01/2035 (f)		566		567
3.700% due 01/25/2024		577		586
3.701% due 09/01/2033		9		9
3.764% due 09/01/2033 (f)		1,728		1,716
3.837% due 04/01/2034		268		268
3.911% due 09/25/2008		3		3
3.940% due 09/01/2033 (f)		1,357		1,352
3.980% due 05/01/2034 (f)		782		782
4.000% due 06/01/2010 (f)		361		360
4.000% due 06/24/2011 - 11/25/2033		632		599
4.007% due 12/01/2033		12		12
4.011% due 10/25/2008		14		14
4.031% due 07/01/2033		241		241
4.061% due 09/25/2008		2		2
4.088% due 09/01/2033		138		138
4.097% due 02/01/2035		105		105
4.104% due 05/01/2034		190		192
4.125% due 07/09/2012		100		100
4.145% due 04/01/2034 (f)		655		660
4.205% due 11/01/2034 (f)		1,496		1,524
4.209% due 06/01/2035 (f)		401		407
4.219% due 05/01/2033		308		309
4.220% due 09/01/2033		183		183
4.250% due 03/25/2033 - 05/25/2033		596		585
4.270% due 01/01/2033		247		249
4.293% due 02/01/2035		124		125
4.298% due 04/01/2035		345		353
4.320% due 09/01/2035 (f)		1,238		1,242
4.333% due 01/01/2035		67		68
4.349% due 03/01/2035 (f)		1,491		1,512
4.382% due 05/01/2035		281		283
4.385% due 04/01/2034		39		39
4.396% due 07/01/2035 (f)		1,706		1,705
4.416% due 03/01/2035		198		200
4.424% due 04/01/2033 (f)		1,745		1,764
4.431% due 02/01/2035 (f)		527		537
4.447% due 04/01/2035		322		327
4.451% due 01/01/2035		214		217
4.463% due 05/01/2036 (f)		1,293		1,304
4.476% due 01/01/2035		216		219
4.489% due 06/01/2033		333		338
4.494% due 01/01/2035 (f)		758		774
4.495% due 03/01/2035		81		82
4.500% due 01/01/2010 - 09/25/2018		567		565
4.500% due 01/01/2011 (f)		360		364
4.512% due 01/01/2035		234		237
4.513% due 03/01/2034 (f)		1,701		1,701
4.518% due 12/01/2034		179		182
4.525% due 04/01/2033		82		83
4.530% due 10/01/2026 - 11/01/2040		194		194
4.544% due 06/01/2035 (f)		1,860		1,891
4.558% due 11/01/2034 (f)		369		376
4.574% due 09/01/2035 (f)		3,066		3,087
4.577% due 07/01/2033		96		97
4.577% due 04/01/2035 - 07/01/2035 (f)		3,001		3,021
4.578% due 11/01/2034		164		168
4.608% due 03/01/2033		13		13
4.616% due 07/01/2034		70		71
4.635% due 03/01/2034		64		64
4.637% due 11/01/2034		20		20
4.640% due 07/01/2033		157		158
4.659% due 04/01/2035		298		302
4.666% due 06/01/2033		135		136
4.666% due 05/25/2035 (f)		1,934		1,969
4.672% due 05/01/2035 (f)		944		955
4.691% due 04/01/2033 (f)		1,524		1,537
4.732% due 03/01/2035		193		193
4.736% due 05/01/2035 (f)		454		458
4.753% due 02/01/2035		147		148
4.763% due 10/01/2035 (f)		352		355
4.764% due 07/01/2034 (f)		491		497
4.767% due 10/01/2034		52		53
4.806% due 05/01/2036		181		181
4.810% due 10/01/2027		10		10
4.832% due 01/01/2035		342		345
4.834% due 07/01/2035 (f)		4,323		4,397
4.840% due 07/01/2035 (f)		2,121		2,142
4.850% due 05/01/2036		324		325
4.850% due 05/01/2036 (f)		1,523		1,517
4.852% due 01/01/2035		112		113
4.878% due 09/01/2035 (f)		2,702		2,726
4.880% due 06/01/2033		156		158
4.898% due 06/01/2035 (f)		847		855
4.920% due 02/01/2035 (f)		535		539
4.950% due 04/01/2036 (f)		570		577
4.994% due 07/01/2042 (f)		369		369
4.994% due 03/01/2044 - 10/01/2044		98		98
5.000% due 09/01/2009 - 05/01/2036		1,948		1,899
5.000% due 10/01/2019 - 09/01/2037 (f)		32,434		31,111
5.035% due 01/01/2015		33		32
5.043% due 07/01/2035		172		173
5.050% due 06/01/2033		128		131
5.052% due 07/01/2035 (f)		1,171		1,185
5.053% due 05/01/2033		61		63
5.056% due 02/01/2035 (f)		1,378		1,400
5.070% due 03/01/2036 (f)		550		550
5.098% due 08/01/2035		292		297
5.127% due 10/01/2035 (f)		1,845		1,869
5.152% due 12/01/2035 (f)		2,009		2,038
5.160% due 05/01/2025		58		59
5.163% due 04/01/2036 (f)		463		469
5.172% due 02/01/2036 (f)		1,507		1,519
5.188% due 12/01/2036 (f)		600		602
5.190% due 03/01/2036		270		271
5.194% due 11/01/2030 - 10/01/2040		244		244
5.215% due 05/01/2031		14		15
5.217% due 03/01/2032		113		114
5.223% due 12/01/2014		22		22
5.223% due 12/01/2032 (f)		774		780
5.249% due 03/01/2029		19		20
5.250% due 08/18/2017		100		100
5.254% due 02/01/2036 (f)		2,780		2,803
5.260% due 04/01/2037 (f)		407		410
5.286% due 12/01/2035		89		90
5.308% due 09/01/2035 (f)		2,343		2,394
5.370% due 08/25/2043		1,000		975
5.375% due 10/01/2016 - 12/01/2028		88		88
5.382% due 10/01/2028		54		55
5.386% due 04/01/2032		192		196
5.398% due 09/01/2015		44		44
5.410% due 12/01/2024		40		40
5.415% due 12/01/2017		38		38
5.417% due 05/01/2017		41		41
5.421% due 01/01/2017		29		29
5.429% due 01/01/2029		23		23
5.474% due 10/01/2017		21		21
5.498% due 01/01/2037		175		177
5.500% due 05/01/2015 - 07/01/2038		52,426		51,607
5.500% due 11/01/2018 - 05/01/2037 (f)		70,523		69,674
5.521% due 07/01/2034		118		118
5.667% due 05/01/2036		132		134
5.724% due 11/01/2024		120		121
5.776% due 04/01/2036		300		304
5.788% due 11/01/2035		43		43
5.803% due 12/01/2036		304		309
5.804% due 10/01/2018 (f)		842		846
5.850% due 09/16/2028		56		55
5.896% due 12/01/2036		311		316
6.000% due 03/01/2009 (f)		383		391
6.000% due 03/25/2016		168		174
6.047% due 01/01/2037 (f)		1,774		1,791
6.050% due 05/25/2023		47		48
6.134% due 05/01/2033		311		313
6.155% due 04/01/2036		51		52
6.200% due 04/01/2018		22		22
6.220% due 10/01/2031		70		72
6.250% due 02/01/2011 (f)		457		472
6.253% due 11/01/2032		224		227
6.280% due 02/01/2018		11		11
6.300% due 12/01/2024		12		12
6.301% due 09/01/2033		40		41
6.304% due 10/01/2032		38		38
6.350% due 11/01/2019		28		27
6.371% due 01/01/2028		27		27
6.382% due 09/01/2030		50		50
6.400% due 12/01/2017		54		54
6.413% due 10/01/2033 (f)		835		854
6.422% due 01/01/2033		258		261
6.440% due 07/01/2036 (f)		758		784
6.495% due 03/01/2019		25		25
6.500% due 09/25/2008 - 12/25/2023		205		215
6.510% due 08/01/2036 (f)		1,078		1,124
6.625% due 07/01/2010 - 08/01/2018		55		56
6.770% due 01/18/2029		222		232
6.801% due 10/01/2033		30		30
6.831% due 08/01/2032		58		59
6.951% due 03/01/2030		30		30
7.000% due 03/01/2015 (f)		1,023		1,073
7.000% due 02/01/2019 - 07/25/2042		164		172
7.036% due 03/01/2027		11		12
7.144% due 09/01/2033		7		7
7.190% due 03/01/2027		81		82
7.250% due 09/01/2032		27		28
7.500% due 08/25/2021 - 04/25/2022		321		332
9.639% due 10/25/2008		9		9
9.859% due 10/25/2008		8		8
13.100% due 08/25/2021		94		104
14.690% due 10/25/2008		16		16
Farmer Mac
7.538% due 01/25/2012		328		325
Federal Home Loan Bank
4.750% due 07/14/2017		100		99
5.000% due 06/19/2018		500		496
Federal Housing Administration
7.430% due 03/01/2021		11		11
Freddie Mac
2.671% due 03/15/2031		924		914
2.721% due 10/15/2032 - 07/15/2034		895		886
2.742% due 08/25/2031		234		228
2.821% due 12/15/2029		73		72
2.842% due 10/25/2029		3		3
2.900% due 09/15/2023		7		7
2.921% due 08/15/2029 - 12/15/2031		323		322
2.950% due 02/15/2024 - 09/15/2026		310		309
2.971% due 04/15/2032		1,164		1,158
2.985% due 05/15/2023		125		124
3.000% due 05/15/2023		292		290
3.021% due 08/15/2029 - 03/15/2032		1,836		1,832
3.050% due 10/15/2008 - 04/15/2022		24		24
3.150% due 03/15/2020		68		68
3.200% due 06/15/2022		70		70
3.350% due 08/15/2023		36		35
3.450% due 02/15/2021		26		26
3.500% due 10/15/2022		46		46
3.536% due 09/01/2033 (f)		370		372
3.550% due 10/15/2022		9		9
3.600% due 05/15/2023		40		40
3.791% due 09/01/2033		67		68
3.835% due 01/01/2034		81		81
4.000% due 03/15/2012 - 10/15/2033		390		340
4.156% due 04/01/2034		315		317
4.171% due 06/01/2034 (f)		1,245		1,250
4.185% due 02/01/2035 (f)		605		615
4.214% due 02/01/2035 (f)		788		793
4.233% due 03/01/2034		177		178
4.258% due 10/01/2033		144		145
4.286% due 12/01/2033		326		330
4.333% due 11/01/2034		237		237
4.336% due 02/01/2035		191		193
4.337% due 11/01/2034		96		97
4.351% due 02/01/2035		127		129
4.364% due 01/01/2035		170		171
4.376% due 11/01/2034		273		273
4.379% due 01/01/2035		282		284
4.392% due 09/01/2035 (f)		1,516		1,521
4.394% due 11/01/2034		84		84
4.397% due 11/01/2033		98		98
4.409% due 01/01/2035 (f)		650		659
4.420% due 02/01/2035		305		305
4.424% due 01/01/2035		315		316
4.424% due 04/01/2035 (f)		1,271		1,276
4.433% due 02/01/2035		175		176
4.436% due 02/01/2035		167		169
4.452% due 02/01/2035		81		82
4.453% due 06/01/2035 (f)		1,196		1,207
4.466% due 10/01/2034		144		145
4.468% due 03/01/2034 (f)		2,413		2,466
4.477% due 11/01/2034		136		137
4.500% due 08/01/2010 (f)		387		391
4.500% due 12/15/2010 - 02/01/2035		1,834		1,836
4.507% due 04/01/2035 (f)		709		715
4.582% due 08/01/2035 (f)		1,200		1,220
4.626% due 01/01/2035 (f)		830		847
4.680% due 09/01/2035 (f)		356		359
4.686% due 04/01/2033		52		52
4.738% due 12/01/2033 (f)		858		866
4.750% due 02/01/2017		9		9
4.788% due 11/01/2035 (f)		555		560
4.848% due 09/01/2035		124		125
4.911% due 03/01/2035 (f)		2,082		2,094
4.925% due 11/01/2035 (f)		3,000		3,031
4.983% due 03/01/2035		292		295
4.983% due 01/01/2037 (f)		1,264		1,273
4.994% due 10/25/2044 - 02/25/2045		196		188
5.000% due 02/15/2011 - 09/15/2035		1,861		1,842
5.001% due 05/01/2035 (f)		702		708
5.016% due 12/01/2035 (f)		542		550
5.090% due 09/25/2023		1,122		1,121
5.135% due 01/01/2036 (f)		591		598
5.141% due 07/01/2034 (f)		1,656		1,673
5.163% due 09/01/2035		297		301
5.194% due 07/25/2044		2,571		2,407
5.204% due 11/01/2034 (f)		630		631
5.223% due 04/01/2033		16		16
5.250% due 07/30/2018		100		100
5.251% due 04/01/2034		119		119
5.308% due 09/01/2035		74		75
5.309% due 04/01/2036		316		322
5.424% due 02/01/2036		140		142
5.439% due 07/01/2037		203		207
5.487% due 03/01/2025		85		86
5.500% due 12/01/2008 (f)		532		536
5.500% due 10/15/2015 - 05/15/2036		117		109
5.545% due 01/01/2032		48		48
5.569% due 03/01/2033 - 04/01/2035		374		380
5.583% due 12/01/2035		355		357
5.658% due 04/01/2036		225		228
5.721% due 03/01/2036 (f)		971		990
5.735% due 03/01/2037 (f)		2,575		2,623
5.836% due 04/01/2032		139		139
5.884% due 08/01/2031		295		298
5.901% due 12/01/2024 (f)		429		434
5.922% due 07/01/2037 (f)		5,177		5,267
6.013% due 11/01/2024		262		265
6.118% due 08/01/2029		24		24
6.465% due 03/01/2028		17		17
6.500% due 03/15/2009 - 07/25/2043		79		81
6.500% due 05/15/2029 - 09/01/2031 (f)		3,708		3,861
6.559% due 05/01/2026		62		63
6.597% due 01/01/2035		38		39
6.673% due 03/01/2030		85		86
6.692% due 10/01/2036 (f)		4,401		4,447
6.709% due 09/01/2036 (f)		6,574		6,723
6.717% due 11/01/2023		12		13
6.732% due 07/01/2036 (f)		6,250		6,393
6.838% due 10/01/2033		15		15
6.867% due 02/01/2026		30		30
7.000% due 06/01/2016 (f)		1,373		1,441
7.052% due 02/01/2022		15		15
7.101% due 09/01/2028		63		63
7.151% due 11/01/2027		120		120
7.158% due 04/01/2031		35		36
7.200% due 07/01/2032		33		34
7.236% due 08/01/2032		19		19
7.244% due 08/01/2023		36		36
9.250% due 11/15/2019		24		26
12.258% due 09/15/2014		35		36
Ginnie Mae
2.871% due 03/16/2029		205		204
2.879% due 02/20/2029 - 09/20/2030		357		356
3.021% due 10/16/2029		172		172
4.875% due 11/20/2031		29		29
5.000% due 01/20/2033 (f)		969		969
5.000% due 01/20/2034		76		76
5.125% due 10/20/2026 - 10/20/2033		199		200
5.250% due 02/20/2030		211		214
5.375% due 01/20/2023 - 01/20/2027		61		61
5.625% due 09/20/2018 - 09/20/2033		1,372		1,386
6.000% due 04/20/2016		21		22
6.375% due 04/20/2017 - 04/20/2033		833		848
6.500% due 05/20/2016 - 04/20/2019		28		29
7.000% due 10/20/2021		387		401
Small Business Administration
4.340% due 03/01/2024		2,556		2,439
4.504% due 02/01/2014		5,410		5,203
4.625% due 02/01/2025		758		728
4.930% due 01/01/2024		2,040		2,021
5.160% due 02/01/2028		2,500		2,499
5.780% due 08/01/2027		196		198
5.820% due 07/01/2027		196		202
6.344% due 08/01/2011		872		893
6.640% due 02/01/2011		478		491
7.449% due 08/01/2010		785		803
8.017% due 02/10/2010		300		312
Tennessee Valley Authority
5.880% due 04/01/2036		3,000		3,251
Total U.S. Government Agencies (Cost $373,336)				377,123
MORTGAGE-BACKED SECURITIES 35.6%
Adjustable Rate Mortgage Trust
5.231% due 11/25/2035		3,960		3,241
5.376% due 11/25/2035		327		303
5.417% due 01/25/2036		404		382
American Home Mortgage Assets Trust
4.448% due 11/25/2046		2,763		2,043
American Home Mortgage Investment Trust
2.632% due 09/25/2035		84		84
4.390% due 02/25/2045		534		478
4.809% due 06/25/2045		390		304
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		662		660
Banc of America Funding Corp.
4.110% due 05/25/2035		134		125
6.141% due 01/20/2047		84		68
Banc of America Mortgage Securities, Inc.
3.856% due 02/25/2034		3,457		3,302
4.113% due 06/25/2034		470		416
4.139% due 10/25/2033		9		9
4.144% due 07/25/2034		212		209
4.564% due 11/25/2033		324		309
5.355% due 07/25/2033		606		606
5.372% due 05/25/2033		363		362
6.070% due 08/25/2034		377		366
6.368% due 11/25/2034		271		239
6.500% due 09/25/2033		93		91
6.858% due 02/25/2033		291		286
Bear Stearns Adjustable Rate Mortgage Trust
3.947% due 04/25/2034		3,621		3,373
4.415% due 05/25/2034		64		61
4.449% due 04/25/2034		2,189		2,106
4.476% due 02/25/2034		1,557		1,508
4.534% due 08/25/2033		162		152
4.625% due 10/25/2035		671		645
4.750% due 10/25/2035		868		860
4.760% due 11/25/2034		2,261		2,202
5.296% due 10/25/2034		199		193
5.398% due 05/25/2033		1,698		1,673
5.519% due 11/25/2030		63		60
5.733% due 02/25/2036		2,753		2,293
5.763% due 02/25/2036		781		765
6.736% due 02/25/2033		20		20
6.758% due 10/25/2034		353		323
7.045% due 04/25/2034		443		414
Bear Stearns Alt-A Trust
4.371% due 12/25/2033		2,078		1,730
5.232% due 03/25/2035		165		138
5.316% due 02/25/2036		52		40
5.372% due 05/25/2035		135		116
5.644% due 08/25/2036		2,313		1,919
5.701% due 09/25/2035		214		176
5.869% due 01/25/2036		2,433		1,988
6.250% due 08/25/2036		5,353		4,181
Bear Stearns Commercial Mortgage Securities
2.581% due 03/15/2019		75		72
3.121% due 03/15/2019		2,500		2,174
Bear Stearns Mortgage Securities, Inc.
5.719% due 06/25/2030		404		398
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		7,316		7,252
5.674% due 01/26/2036		2,710		2,255
5.777% due 12/26/2046		1,605		1,321
Bella Vista Mortgage Trust
2.729% due 05/20/2045		161		125
Carey Commercial Mortgage Trust
5.970% due 09/20/2019		1,726		1,717
CBA Commercial Small Balance Commercial Mortgage
2.762% due 12/25/2036		923		601
CC Mortgage Funding Corp.
3.358% due 01/25/2035		1,719		1,362
Chase Mortgage Finance Corp.
5.000% due 11/25/2033		315		296
5.398% due 01/25/2036		378		324
Citicorp Mortgage Securities, Inc.
5.000% due 12/25/2033		164		162
6.350% due 11/25/2018		51		49
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		53		50
Citigroup Mortgage Loan Trust, Inc.
3.282% due 08/25/2035		579		498
4.098% due 08/25/2035		790		748
4.248% due 08/25/2035		2,199		2,079
4.679% due 08/25/2035		1,013		915
4.700% due 12/25/2035		606		588
4.900% due 12/25/2035		224		213
6.500% due 06/25/2016		3,374		3,417
Citimortgage Alternative Loan Trust
6.000% due 06/25/2037		681		660
Commercial Mortgage Pass-Through Certificates
2.671% due 02/05/2019		100		97
5.362% due 02/05/2019		3,000		2,987
5.665% due 02/05/2019		3,000		3,001
6.455% due 05/15/2032		340		340
6.715% due 02/01/2009		1,317		1,339
Countrywide Alternative Loan Trust
2.562% due 09/20/2046		22		21
2.672% due 11/25/2046		187		133
2.682% due 07/20/2046		3,962		2,745
2.689% due 03/20/2046		1,276		906
2.732% due 05/25/2035		562		427
2.752% due 02/25/2036		480		366
2.762% due 12/25/2035		834		624
2.772% due 11/25/2035		205		156
2.792% due 10/25/2035		292		225
2.799% due 11/20/2035		1,368		1,035
2.812% due 10/25/2035		233		181
2.982% due 09/25/2047		115		54
3.252% due 11/25/2035		8,067		6,170
4.250% due 02/25/2035		2,433		2,410
4.488% due 08/25/2046		5,332		3,927
4.528% due 02/25/2036		2,266		1,728
5.500% due 03/25/2036		382		347
5.750% due 06/25/2033		1,345		1,349
5.750% due 03/25/2037		1,500		1,249
6.000% due 10/25/2032		26		24
6.166% due 08/25/2036		921		881
6.250% due 08/25/2037		1,044		786
Countrywide Home Loan Mortgage Pass-Through Trust
2.752% due 02/25/2035		707		581
2.772% due 04/25/2035		198		150
2.782% due 03/25/2035		159		134
2.802% due 03/25/2035		1,755		1,329
2.822% due 02/25/2035		205		163
2.872% due 02/25/2035		512		383
2.942% due 09/25/2034		426		319
3.072% due 08/25/2034		2,146		1,613
4.500% due 10/25/2018		380		332
4.539% due 02/19/2034		78		67
4.611% due 01/19/2034		1,784		1,624
5.000% due 11/25/2018		372		360
5.000% due 06/25/2033		788		781
5.250% due 02/20/2036		1,544		1,303
5.420% due 04/25/2035		549		318
5.500% due 08/25/2033		923		753
5.500% due 11/25/2035		794		795
5.607% due 08/25/2034		247		219
6.064% due 07/19/2033		472		453
6.382% due 06/19/2031		11		11
6.816% due 05/19/2033		84		84
Credit Suisse Mortgage Capital Certificates
5.383% due 02/15/2040		500		465
CS First Boston Mortgage Securities Corp.
2.962% due 01/25/2033		10		10
3.326% due 03/25/2032		408		369
4.668% due 01/25/2034		1,953		1,820
4.688% due 08/25/2033		1,093		1,067
4.832% due 04/15/2037		2,000		1,890
4.940% due 12/15/2035		8,165		7,942
5.097% due 07/25/2033		31		29
5.500% due 11/25/2035		1,978		1,898
5.603% due 07/15/2035		1,180		1,180
5.750% due 04/25/2033		318		298
6.250% due 07/25/2035		1,580		1,525
6.500% due 04/25/2033		84		79
6.500% due 12/25/2033		3,040		2,876
6.628% due 12/25/2032		228		228
7.000% due 02/25/2033		103		104
CW Capital Cobalt Ltd.
5.484% due 04/15/2047		500		466
Denver Arena Trust
6.940% due 11/15/2019		1,834		1,753
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.000% due 10/25/2018		330		313
Downey Savings & Loan Association Mortgage Loan Trust
4.468% due 04/19/2047		2,402		1,727
Drexel Burnham Lambert CMO Trust
3.209% due 05/01/2016		190		190
First Horizon Alternative Mortgage Securities
4.733% due 06/25/2034		2,936		2,570
5.297% due 09/25/2034		1,121		1,028
6.218% due 03/25/2035		720		629
First Horizon Asset Securities, Inc.
4.464% due 07/25/2033		12		12
4.911% due 02/25/2035		585		574
5.368% due 08/25/2035		1,829		1,751
First Republic Mortgage Loan Trust
2.821% due 11/15/2031		718		666
2.962% due 06/25/2030		115		104
GMAC Commercial Mortgage Securities, Inc.
4.154% due 07/10/2039		3,455		3,389
5.713% due 10/15/2038		500		502
6.278% due 11/15/2039		4,000		4,096
6.420% due 05/15/2035		7		7
6.500% due 05/15/2035		3,000		3,014
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		138		136
Greenpoint Mortgage Funding Trust
2.692% due 04/25/2036		794		558
2.702% due 06/25/2045		566		466
2.712% due 06/25/2045		726		600
Greenpoint Mortgage Pass-Through Certificates
4.392% due 10/25/2033		101		96
Greenwich Capital Acceptance, Inc.
7.162% due 06/25/2024		73		73
Greenwich Capital Commercial Funding Corp.
5.224% due 04/10/2037		2,000		1,924
GS Mortgage Securities Corp. II
2.820% due 03/06/2020		4,500		4,192
6.044% due 08/15/2018		457		465
GSR Mortgage Loan Trust
2.832% due 01/25/2034		120		101
4.539% due 09/25/2035		829		804
4.689% due 09/25/2035		151		149
5.248% due 11/25/2035		4,696		4,417
6.000% due 03/25/2032		2		2
GSRPM Mortgage Loan Trust
3.182% due 01/25/2032		702		597
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		802		730
2.672% due 01/19/2038		1,558		1,116
2.672% due 02/19/2046		1,433		1,080
2.682% due 09/19/2046		1,464		1,015
2.702% due 05/19/2035		796		604
2.722% due 03/19/2037		921		650
2.832% due 01/19/2035		135		117
4.584% due 11/19/2034		138		135
5.130% due 06/19/2045		226		177
5.145% due 07/19/2035		8,049		7,436
5.172% due 05/19/2033		1,488		1,437
5.300% due 12/19/2035		165		162
6.276% due 08/19/2034		812		815
Hilton Hotel Pool Trust
2.958% due 10/03/2015		2,000		2,001
Impac CMB Trust
3.382% due 10/25/2033		1,062		1,012
Impac Secured Assets CMN Owner Trust
2.542% due 03/25/2037		1,348		1,163
2.832% due 05/25/2036		180		162
2.912% due 08/25/2036		3,049		2,137
Indymac ARM Trust
6.124% due 01/25/2032		34		28
Indymac Index Mortgage Loan Trust
2.692% due 06/25/2047		542		346
2.722% due 04/25/2035		607		465
2.762% due 03/25/2035		503		388
2.802% due 02/25/2035		530		413
3.092% due 09/25/2034		546		425
5.044% due 12/25/2034		1,681		1,462
Indymac Loan Trust
2.702% due 01/25/2011		69		56
2.762% due 07/25/2009		32		30
JPMorgan Chase Commercial Mortgage Securities Corp.
2.581% due 02/15/2019		3		3
3.890% due 01/12/2037		2,931		2,916
5.376% due 07/12/2037		1,900		1,917
JPMorgan Mortgage Trust
4.881% due 04/25/2035		297		283
5.020% due 02/25/2035		65		61
5.069% due 06/25/2035		709		695
5.120% due 10/25/2035		500		468
5.403% due 11/25/2035		411		393
5.500% due 10/25/2035		298		274
Kidder Peabody Mortgage Assets Trust
6.500% due 02/22/2017		53		54
LB Mortgage Trust
8.423% due 01/20/2017		241		246
LB-UBS Commercial Mortgage Trust
3.323% due 03/15/2027		45		45
4.394% due 07/15/2030		20		20
4.904% due 06/15/2026		314		314
5.430% due 02/15/2040		100		93
6.058% due 06/15/2020		39		39
Lehman XS Trust
2.562% due 07/25/2046		210		205
MASTR Adjustable Rate Mortgages Trust
3.787% due 11/21/2034		8,551		8,114
3.788% due 11/21/2034		79		78
4.133% due 07/25/2034		240		231
6.173% due 10/25/2032		1,618		1,613
6.323% due 12/25/2033		9		8
7.250% due 01/25/2034		6		5
MASTR Asset Securitization Trust
4.750% due 12/25/2033		1,533		1,512
Mellon Residential Funding Corp.
2.821% due 11/15/2031		80		72
2.911% due 12/15/2030		842		783
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		500		464
5.485% due 03/12/2051		500		467
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		32		26
4.986% due 05/25/2033		2,611		2,504
Merrill Lynch Mortgage Trust
4.218% due 06/12/2043		347		346
MLCC Mortgage Investors, Inc.
2.852% due 03/25/2028		14		13
4.250% due 10/25/2035		2,804		2,683
4.430% due 10/25/2035		142		135
4.707% due 12/25/2034		1,718		1,673
4.958% due 04/25/2035		322		309
6.139% due 08/25/2029		1,903		1,842
Morgan Stanley Capital I
2.542% due 10/15/2020		18		17
5.378% due 11/14/2042		1,090		1,064
5.544% due 11/12/2049		500		450
5.692% due 04/15/2049		500		473
Nomura Asset Acceptance Corp.
2.582% due 06/25/2036		21		21
Ocwen Residential MBS Corp.
6.886% due 06/25/2039		576		288
Provident Funding Mortgage Loan Trust
3.912% due 10/25/2035		1,815		1,744
4.443% due 04/25/2034		1,580		1,523
Prudential Securities Secured Financing Corp.
0.000% due 05/25/2022		193		194
Residential Accredit Loans, Inc.
2.582% due 09/25/2046		142		97
2.662% due 06/25/2046		5,023		3,603
2.672% due 04/25/2046		4,367		3,057
2.692% due 04/25/2046		277		198
2.782% due 08/25/2035		5,523		4,285
2.882% due 10/25/2045		5,747		4,472
5.332% due 09/25/2034		62		61
Residential Asset Mortgage Products, Inc.
7.000% due 06/25/2032		39		39
Residential Asset Securitization Trust
2.832% due 10/25/2018		289		279
2.882% due 05/25/2034		2,088		1,776
4.750% due 02/25/2019		565		509
5.194% due 12/25/2034		2,207		1,995
6.000% due 03/25/2037		4,748		4,202
Residential Funding Mortgage Securities I
2.882% due 07/25/2018		251		250
5.593% due 02/25/2036		389		364
6.500% due 03/25/2032		6		6
Rural Housing Trust 1987-1
8.330% due 04/01/2026		26		26
Salomon Brothers Mortgage Securities VII, Inc.
2.982% due 05/25/2032		195		180
4.112% due 09/25/2033		72		70
6.767% due 12/25/2030		1,276		1,222
8.500% due 05/25/2032		773		804
Sequoia Mortgage Trust
2.709% due 02/20/2035		98		83
2.832% due 10/19/2026		211		200
2.879% due 10/20/2027		39		37
3.159% due 10/20/2027		741		623
4.080% due 04/20/2035		316		289
4.111% due 02/20/2034		734		686
Starwood Commercial Mortgage Trust
6.920% due 02/03/2014		1,000		1,020
Structured Adjustable Rate Mortgage Loan Trust
2.822% due 08/25/2035		257		200
2.972% due 06/25/2034		1,545		1,383
4.500% due 02/25/2034		538		497
4.580% due 02/25/2034		172		162
4.928% due 01/25/2035		894		846
5.537% due 08/25/2035		1,974		1,766
Structured Asset Mortgage Investments, Inc.
2.582% due 09/25/2047		51		49
2.652% due 03/25/2037		1,336		914
2.702% due 05/25/2036		3,686		2,586
2.782% due 07/19/2034		2,563		2,043
2.792% due 12/25/2035		1,070		769
2.832% due 03/19/2034		880		789
2.902% due 10/19/2033		69		64
5.758% due 05/02/2030		355		301
Structured Asset Securities Corp.
4.694% due 06/25/2033		1,969		1,935
5.619% due 06/25/2032		21		21
5.649% due 02/25/2032		6		5
6.361% due 06/25/2033		672		682
6.437% due 10/25/2031		70		69
6.943% due 11/25/2032		18		17
TBW Mortgage-Backed Pass-Through Certificates
2.582% due 09/25/2036		56		53
Thornburg Mortgage Securities Trust
2.532% due 03/25/2046		531		528
2.582% due 03/25/2037		3,423		3,187
2.592% due 03/25/2046		1,595		1,572
2.602% due 07/25/2036		6,626		6,155
Travelers Mortgage Services, Inc.
7.354% due 09/25/2018		78		77
Wachovia Bank Commercial Mortgage Trust
0.257% due 10/15/2041 (a)		99,939		1,734
2.551% due 06/15/2020		89		82
2.561% due 09/15/2021		10,979		10,360
Wachovia Mortgage Loan Trust LLC
5.444% due 10/20/2035		379		359
WaMu Mortgage Pass-Through Certificates
2.742% due 11/25/2045		1,552		1,191
2.752% due 12/25/2045		1,385		1,114
2.772% due 07/25/2045		1,437		1,157
2.772% due 08/25/2045		4		4
2.772% due 10/25/2045		36		28
2.792% due 01/25/2045		462		358
2.802% due 07/25/2045		2,667		2,119
2.808% due 11/25/2034		58		50
2.828% due 10/25/2044		1,998		1,708
2.858% due 06/25/2044		269		250
2.858% due 07/25/2044		222		212
2.872% due 12/25/2045		89		88
2.928% due 11/25/2034		4,866		4,122
2.938% due 07/25/2044		178		156
3.022% due 12/25/2027		1,499		1,370
3.940% due 07/25/2034		470		464
3.952% due 06/25/2033		793		772
4.043% due 09/25/2033		5,799		5,552
4.056% due 10/25/2033		500		500
4.134% due 08/25/2034		625		616
4.162% due 08/25/2033		77		73
4.243% due 06/25/2034		454		445
4.361% due 02/27/2034		1,840		1,710
4.528% due 02/25/2046		1,136		837
4.530% due 11/25/2041		19		17
4.561% due 06/25/2033		27		26
4.669% due 04/25/2035		200		198
4.917% due 08/25/2035		5,904		5,845
4.928% due 06/25/2042		49		44
4.928% due 08/25/2042		52		47
4.928% due 04/25/2044		124		106
4.990% due 05/25/2041		192		176
4.994% due 11/25/2041		258		245
5.549% due 04/25/2033		449		441
5.756% due 03/25/2033		1,076		1,072
6.222% due 12/19/2039		947		928
Washington Mutual MSC Mortgage Pass-Through Certificates
2.982% due 01/25/2018		237		237
5.354% due 02/25/2033		1,840		1,834
6.549% due 11/25/2030		88		83
6.792% due 02/25/2033		49		48
Wells Fargo Mortgage-Backed Securities Trust
2.982% due 07/25/2037		1,025		885
3.541% due 09/25/2034		450		445
4.000% due 08/25/2034		410		402
4.365% due 05/25/2035		955		927
4.479% due 06/25/2035		1,148		1,122
4.487% due 11/25/2033		136		128
4.515% due 11/25/2033		1,672		1,660
4.527% due 06/25/2034		3,452		3,330
4.539% due 02/25/2035		1,476		1,456
4.556% due 01/25/2035		3,571		3,324
4.572% due 12/25/2034		1,049		1,014
4.596% due 12/25/2033		2,100		1,905
4.603% due 11/25/2034		1,404		1,378
4.705% due 12/25/2033		2,665		2,521
4.730% due 07/25/2034		2,051		2,028
4.945% due 01/25/2035		5,009		4,866
4.950% due 03/25/2036		1,280		1,233
4.993% due 12/25/2034		88		86
4.999% due 10/25/2035		176		172
5.250% due 02/25/2018		563		560
6.645% due 02/25/2033		26		26
Total Mortgage-Backed Securities (Cost $391,574)				370,115
ASSET-BACKED SECURITIES 52.2%
Aames Mortgage Investment Trust
2.882% due 10/25/2035		1,460		1,416
ABFS Mortgage Loan Trust
2.982% due 04/25/2034		201		177
6.285% due 07/15/2033		2,000		1,710
Accredited Mortgage Loan Trust
2.522% due 09/25/2036		151		150
2.532% due 02/25/2037		1,636		1,602
2.632% due 12/25/2035		1,107		1,098
2.692% due 12/25/2035		100		95
ACE Securities Corp.
2.532% due 06/25/2036		196		195
2.532% due 08/25/2036		20		20
2.572% due 06/25/2037		1,986		1,851
2.632% due 12/25/2035		3,517		3,467
2.692% due 08/25/2035		179		179
3.282% due 03/25/2035		601		188
Aircraft Certificate Owner Trust
6.455% due 09/20/2022		2,180		2,258
American Express Credit Account Master Trust
2.971% due 02/15/2012		281		275
3.421% due 08/15/2012		2,000		2,014
American Home Mortgage Investment Trust
2.662% due 08/25/2035		44		13
American Residential Eagle Certificate Trust
3.482% due 05/25/2028		717		698
Amortizing Residential Collateral Trust
2.732% due 01/25/2032		60		55
2.752% due 06/25/2032		76		71
2.772% due 07/25/2032		14		12
2.832% due 08/25/2032		17		15
Amresco Residential Securities Mortgage Loan Trust
2.978% due 06/25/2028		180		152
2.992% due 03/25/2027		9		9
3.038% due 06/25/2027		129		114
3.038% due 09/25/2027		479		426
Argent Securities, Inc.
2.532% due 09/25/2036		93		92
2.532% due 10/25/2036		38		37
2.642% due 03/25/2036		3,878		3,820
Asset-Backed Funding Certificates
2.522% due 09/25/2036		174		173
2.542% due 01/25/2037		185		179
2.832% due 06/25/2034		1,127		1,003
2.902% due 03/25/2035		4,905		4,206
3.502% due 03/25/2032		1,814		1,391
Asset-Backed Securities Corp. Home Equity
2.592% due 05/25/2036		534		533
2.882% due 05/25/2036		2,500		580
2.991% due 06/15/2031		70		61
3.821% due 04/15/2033		163		138
BA Credit Card Trust
3.671% due 12/16/2013		10,000		10,156
Bayview Financial Asset Trust
2.882% due 12/25/2039		604		352
Bear Stearns Asset-Backed Securities Trust
2.542% due 05/25/2036		388		381
2.552% due 12/25/2036		1,222		1,124
2.562% due 10/25/2036		898		865
2.572% due 04/25/2036		7		7
2.602% due 05/25/2037		344		332
2.632% due 08/25/2036		196		192
2.682% due 06/25/2036		2,416		2,220
2.812% due 01/25/2036		776		747
2.882% due 10/27/2032		81		74
2.932% due 12/25/2033		1,158		875
2.972% due 06/25/2036		1,100		864
2.982% due 06/25/2035		4,036		3,930
2.982% due 09/25/2034 (i)		481		413
3.072% due 06/25/2043		2,575		2,297
3.142% due 10/25/2032		182		160
3.232% due 11/25/2042		556		475
3.482% due 10/25/2037		12,732		10,240
3.682% due 10/25/2032		583		515
3.732% due 08/25/2037		6,959		5,949
4.082% due 10/25/2037		1,500		798
5.431% due 10/25/2036		3,633		3,016
5.624% due 07/25/2036		2,793		2,290
Bear Stearns Second Lien Trust
3.282% due 12/25/2036		5,000		1,011
4.982% due 12/25/2036		1,200		133
Capital Auto Receivables Asset Trust
3.391% due 03/15/2011		2,400		2,409
3.921% due 10/15/2012		2,300		2,322
5.040% due 05/17/2010		2,000		2,019
Carrington Mortgage Loan Trust
2.532% due 10/25/2036		1,596		1,579
2.532% due 01/25/2037		2,058		1,992
2.548% due 07/25/2036		3		3
CDC Mortgage Capital Trust
3.102% due 01/25/2033		46		37
3.532% due 01/25/2033		1,595		1,064
Cendant Mortgage Corp.
5.988% due 07/25/2043		181		171
Centex Home Equity
2.962% due 06/25/2034		30		26
3.172% due 09/25/2034		1,400		1,157
5.160% due 09/25/2034		1,881		1,449
Charming Shoppes Master Trust
2.801% due 05/15/2014		1,000		994
Chase Funding Mortgage Loan Asset-Backed Certificates
2.772% due 09/25/2033		7		6
3.022% due 04/25/2033		7		7
4.132% due 03/25/2032		62		41
4.515% due 02/25/2014		467		440
4.537% due 09/25/2032		8		7
Chase Issuance Trust
2.721% due 09/15/2011		3,600		3,593
CIT Group Home Equity Loan Trust
3.132% due 12/25/2031		1,201		852
Citibank Omni Master Trust
3.581% due 12/23/2013		10,000		10,090
Citigroup Mortgage Loan Trust, Inc.
2.522% due 08/25/2036		248		247
2.532% due 10/25/2036		500		496
2.552% due 08/25/2036		3		3
2.562% due 01/25/2037		374		348
2.582% due 10/25/2036		3,000		2,797
2.592% due 08/25/2036		2,100		2,029
2.592% due 03/25/2037		1,456		1,381
5.629% due 08/25/2035		2,777		2,423
Community Program Loan Trust
4.500% due 10/01/2018		3,658		3,619
4.500% due 04/01/2029		500		448
Conseco Finance
3.171% due 08/15/2033		175		113
Conseco Finance Securitizations Corp.
8.310% due 05/01/2032		2,019		1,526
Contimortgage Home Equity Trust
2.951% due 06/15/2025		30		7
7.780% due 04/25/2014		1		1
Countrywide Asset-Backed Certificates
2.512% due 01/25/2046		17		16
2.532% due 01/25/2037		688		685
2.532% due 03/25/2037		821		801
2.532% due 05/25/2037		522		506
2.532% due 07/25/2037		230		222
2.532% due 08/25/2037		1,253		1,231
2.532% due 03/25/2047		896		885
2.532% due 05/25/2047		461		450
2.542% due 03/25/2037		765		750
2.542% due 09/25/2046		793		788
2.562% due 10/25/2037		1,310		1,233
2.582% due 09/25/2047		1,822		1,781
2.592% due 06/25/2035		875		817
2.592% due 10/25/2046		35		34
2.622% due 04/25/2036		49		49
2.642% due 02/25/2036		327		306
2.662% due 09/25/2036		151		144
2.672% due 06/25/2036		1,774		1,662
2.692% due 10/25/2035		182		181
2.712% due 09/25/2034		172		148
2.782% due 11/25/2033		40		36
2.822% due 05/25/2036		22		22
2.852% due 12/25/2034		75		66
2.872% due 11/25/2034		1,267		1,124
2.942% due 11/25/2036		4,000		2,824
2.952% due 11/25/2033		276		248
2.962% due 12/25/2031		30		23
2.982% due 09/25/2032		382		342
3.102% due 09/25/2033		18		14
3.132% due 10/25/2034		6,304		4,624
3.162% due 06/25/2033		31		28
3.382% due 04/25/2032		587		551
3.382% due 05/25/2032		700		678
3.872% due 03/25/2020		400		385
4.946% due 10/25/2035		320		277
5.125% due 12/25/2034		4,908		3,988
Credit-Based Asset Servicing & Securitization LLC
2.542% due 04/25/2037		4,012		3,856
2.912% due 01/25/2036		1,000		528
3.382% due 11/25/2033		2,655		2,520
4.582% due 01/25/2031		486		474
CS First Boston Mortgage Securities Corp.
2.732% due 01/25/2043		238		233
2.842% due 05/25/2044		272		250
3.102% due 01/25/2032		16		15
EMC Mortgage Loan Trust
2.932% due 12/25/2042		2,797		2,321
3.232% due 08/25/2040		1,411		1,219
Equifirst Mortgage Loan Trust
3.750% due 09/25/2033		1,595		1,455
Equity One Asset-Backed Securities, Inc.
2.732% due 07/25/2034		76		63
2.782% due 04/25/2034		33		28
2.822% due 07/25/2034		5		4
First Alliance Mortgage Loan Trust
2.500% due 10/25/2024		16		14
2.692% due 09/20/2027		49		37
8.020% due 03/20/2031		29		23
First Franklin Mortgage Loan Asset-Backed Certificates
2.512% due 07/25/2036		15		15
2.522% due 01/25/2038		2,255		2,178
2.532% due 11/25/2036		2,613		2,511
2.532% due 12/25/2036		783		762
2.592% due 04/25/2036		5,000		4,898
2.592% due 09/25/2036		3,000		2,728
2.592% due 12/25/2037		1,150		925
2.862% due 10/25/2034		10		10
2.882% due 04/25/2035		3,000		2,509
3.102% due 11/25/2031		239		226
First International Bank N.A.
3.021% due 03/15/2027		125		49
First NLC Trust
2.552% due 08/25/2037		778		730
2.722% due 02/25/2036		1,711		1,691
Fleet Home Equity Loan Trust
2.729% due 01/20/2033		239		167
Ford Credit Auto Owner Trust
3.371% due 01/15/2011		2,200		2,207
3.891% due 06/15/2012		2,600		2,627
4.091% due 05/15/2012		5,000		5,045
Franklin Auto Trust
3.482% due 10/20/2011		10,000		9,981
Fremont Home Loan Trust
2.532% due 10/25/2036		1,650		1,610
2.552% due 02/25/2037		747		731
2.592% due 02/25/2036		600		581
2.602% due 04/25/2036		13		13
Green Tree Financial Corp.
6.110% due 09/01/2023		2,853		2,841
6.180% due 04/01/2030		1,251		1,126
6.220% due 03/01/2030		93		84
6.240% due 11/01/2016		4		3
6.450% due 06/01/2030		242		238
6.530% due 04/01/2030		894		817
6.810% due 12/01/2027		2,045		1,990
6.860% due 03/15/2028		39		39
6.860% due 07/15/2029		480		472
6.870% due 04/01/2030		55		51
7.140% due 03/15/2028		520		502
7.290% due 03/15/2028		320		321
7.360% due 02/15/2029		38		38
7.550% due 01/15/2029		1,815		1,800
7.620% due 06/15/2028		135		136
GSAA Trust
2.752% due 06/25/2035		776		498
GSAMP Trust
2.522% due 10/25/2046		854		834
2.552% due 12/25/2036		638		618
2.602% due 12/25/2035		25		25
2.602% due 01/25/2047		2,742		2,683
2.632% due 10/25/2036		6,750		2,524
2.672% due 11/25/2035		6,900		1,183
2.772% due 03/25/2034		286		282
2.832% due 01/25/2045		432		385
3.032% due 03/25/2034		2,357		2,013
3.132% due 08/25/2033		74		63
GSR Mortgage Loan Trust
2.582% due 11/25/2030		14		14
GSRPM Mortgage Loan Trust
2.602% due 03/25/2035		1,448		1,357
2.862% due 09/25/2042		74		74
HFC Home Equity Loan Asset-Backed Certificates
2.659% due 01/20/2036		1,871		1,714
2.769% due 01/20/2034		410		363
2.829% due 09/20/2033		524		492
3.009% due 01/20/2034		871		732
Home Equity Asset Trust
2.542% due 05/25/2037		1,257		1,193
2.632% due 10/25/2036		100		86
2.642% due 05/25/2036		6,215		5,984
3.012% due 07/25/2034		726		583
3.082% due 11/25/2032		1		1
3.402% due 02/25/2033		1		1
Home Equity Mortgage Trust
2.662% due 05/25/2036		2,865		2,385
5.300% due 05/25/2036		135		55
5.321% due 04/25/2035		316		208
HSBC Asset Loan Obligation
2.542% due 12/25/2036		278		266
HSI Asset Securitization Corp. Trust
2.532% due 12/25/2036		4,350		4,154
IMC Home Equity Loan Trust
7.310% due 11/20/2028		114		113
Indymac Home Equity Loan Asset-Backed Trust
3.832% due 07/25/2034		1,000		673
Indymac Residential Asset-Backed Trust
2.522% due 08/25/2036		106		106
2.532% due 11/25/2036		173		169
2.542% due 04/25/2037		2,340		2,315
2.642% due 07/25/2037		275		235
Irwin Home Equity Corp.
3.832% due 02/25/2029		1,079		835
Ischus CDO Ltd.
2.729% due 09/10/2013		655		532
JPMorgan Mortgage Acquisition Corp.
2.522% due 08/25/2036		346		341
2.532% due 08/25/2036		733		722
2.532% due 10/25/2036		1,275		1,248
2.552% due 11/25/2036		265		257
2.592% due 08/25/2036		3,353		2,887
5.935% due 11/25/2036		1,098		1,072
Keystone Owner Trust
7.900% due 01/25/2029		117		116
7.930% due 05/25/2025		22		21
LA Arena Funding LLC
7.656% due 12/15/2026		2,906		2,878
Lake Country Mortgage Loan Trust
3.012% due 12/25/2032		1,355		1,140
Lehman XS Trust
2.562% due 04/25/2046		19		19
2.562% due 11/25/2046		2,830		2,690
2.632% due 08/25/2035		198		192
2.632% due 04/25/2037		397		376
2.652% due 04/25/2046		7,600		7,088
Long Beach Mortgage Loan Trust
2.522% due 07/25/2036		37		37
2.662% due 08/25/2035		123		120
2.762% due 10/25/2034		23		19
2.812% due 01/25/2046		47		41
2.952% due 08/25/2035		2,000		1,626
3.092% due 03/25/2032		2		1
3.908% due 03/25/2032		333		258
Madison Avenue Manufactured Housing Contract
3.932% due 03/25/2032		1,500		1,293
MASTR Asset-Backed Securities Trust
2.632% due 05/25/2037		500		449
3.032% due 10/25/2034		1,234		1,000
MASTR Specialized Loan Trust
3.332% due 05/25/2037		630		465
MBNA Credit Card Master Note Trust
2.461% due 09/15/2011		600		598
Merrill Lynch First Franklin Mortgage Loan Trust
3.182% due 10/25/2037		1,393		1,371
Merrill Lynch Mortgage Investors, Inc.
2.512% due 05/25/2037		112		111
2.532% due 05/25/2037		550		544
2.542% due 10/25/2037		982		951
2.552% due 08/25/2036		1,699		1,645
2.562% due 09/25/2037		2,374		2,316
2.572% due 06/25/2037		2,000		1,961
2.622% due 01/25/2037		153		152
Mid-State Trust
6.005% due 08/15/2037		3,959		3,866
8.330% due 04/01/2030		1,034		1,022
Money Store Home Equity Trust
2.771% due 08/15/2029		125		94
Morgan Stanley ABS Capital I
2.512% due 06/25/2036		327		326
2.522% due 07/25/2036		976		969
2.532% due 09/25/2036		124		122
2.542% due 05/25/2037		1,990		1,955
2.552% due 08/25/2036		10		10
2.582% due 04/25/2036		10,019		9,899
2.582% due 09/25/2036		25		23
2.582% due 10/25/2036		5,000		4,525
2.582% due 11/25/2036		5,000		4,549
2.602% due 02/25/2036		342		338
2.632% due 06/25/2036		325		289
2.802% due 11/25/2035		2,850		2,413
4.082% due 08/25/2034		1,651		722
4.482% due 07/25/2037		1,250		727
Morgan Stanley Dean Witter Capital I
4.958% due 01/25/2032		1,215		919
Morgan Stanley Home Equity Loans
2.532% due 12/25/2036		54		53
2.592% due 02/25/2036		1,344		1,339
Morgan Stanley IXIS Real Estate Capital Trust
2.592% due 11/25/2036		3,000		2,782
Morgan Stanley Mortgage Loan Trust
2.642% due 11/25/2036		3,035		1,865
Nationstar Home Equity Loan Trust
2.552% due 09/25/2036		296		294
New Century Home Equity Loan Trust
2.662% due 05/25/2036		1,205		1,095
2.742% due 06/25/2035		9		8
3.579% due 06/20/2031		3,143		2,975
Nomura Asset Acceptance Corp.
2.622% due 01/25/2036		284		267
2.792% due 01/25/2036		3,000		1,777
Nomura Home Equity Loan, Inc.
2.792% due 05/25/2035		560		559
Novastar Home Equity Loan
3.262% due 05/25/2033		15		12
Oakwood Mortgage Investors, Inc.
2.846% due 03/15/2018		474		406
Option One Mortgage Loan Trust
2.532% due 01/25/2037		2,119		2,068
2.572% due 05/25/2037		346		341
2.979% due 08/20/2030		13		12
3.012% due 05/25/2034		35		27
3.022% due 06/25/2032		9		8
3.082% due 04/25/2033		50		44
Origen Manufactured Housing
2.711% due 05/15/2032		19		19
4.750% due 08/15/2021		2,000		1,867
7.650% due 03/15/2032		2,000		1,990
Ownit Mortgage Loan Asset-Backed Certificates
2.542% due 03/25/2037		200		198
Park Place Securities, Inc.
3.072% due 02/25/2035		2,000		1,784
Peco Energy Transition Trust
6.130% due 03/01/2009		63		63
People’s Choice Home Loan Securities Trust
2.912% due 05/25/2035		1,200		1,020
Popular ABS Mortgage Pass-Through Trust
2.572% due 06/25/2047		2,612		2,501
5.350% due 01/25/2036		205		205
5.500% due 01/25/2036		146		146
Quest Trust
2.602% due 08/25/2036		8,781		8,151
4.182% due 07/20/2034		22		20
RAAC Series 2007-SP2
2.882% due 06/25/2047		1,500		1,056
RAAC Series 2007-SP3
3.682% due 09/25/2047		2,067		1,918
Renaissance Home Equity Loan Trust
2.982% due 12/25/2033		250		208
3.102% due 03/25/2033		33		25
3.582% due 09/25/2037		2,253		2,143
3.682% due 08/25/2032		1,799		1,617
4.934% due 08/25/2035		140		129
Residential Asset Mortgage Products, Inc.
2.552% due 05/25/2036		37		37
2.552% due 02/25/2037		1,526		1,474
2.602% due 10/25/2036		2,483		2,365
3.202% due 04/25/2033		4		3
3.262% due 02/25/2033		11		9
5.707% due 08/25/2034		3,000		1,635
5.900% due 07/25/2034		2,000		664
5.942% due 04/25/2034		2,000		1,917
Residential Asset Securities Corp.
2.522% due 06/25/2036		5		5
2.522% due 08/25/2036		459		456
2.532% due 09/25/2036		13		13
2.542% due 01/25/2037		1,319		1,291
2.552% due 07/25/2036		61		61
2.552% due 02/25/2037		1,237		1,181
2.592% due 04/25/2037		2,025		1,931
2.612% due 03/25/2036		1,329		1,323
2.912% due 03/25/2035		7,000		5,748
3.062% due 06/25/2033		223		156
7.140% due 04/25/2032		764		228
Residential Funding Mortgage Securities II, Inc.
2.772% due 12/25/2032		18		13
6.230% due 05/25/2037		5,000		2,474
8.350% due 03/25/2025		90		79
SACO I, Inc.
2.542% due 05/25/2036		75		53
2.662% due 05/25/2036		4,930		843
2.692% due 03/25/2036		3,263		1,344
2.742% due 06/25/2036		1,452		853
2.982% due 07/25/2035		3,708		2,030
5.000% due 06/25/2036 (a)		1,569		7
Salomon Brothers Mortgage Securities VII, Inc.
2.962% due 03/25/2028		258		253
Saxon Asset Securities Trust
2.542% due 10/25/2046		889		870
2.982% due 03/25/2032		823		766
3.002% due 08/25/2032		362		359
3.022% due 01/25/2032		15		15
Securitized Asset-Backed Receivables LLC Trust
2.612% due 05/25/2037		3,022		2,805
2.812% due 10/25/2035		700		653
Security National Mortgage Loan Trust
2.772% due 10/25/2036		11,519		10,513
SLC Student Loan Trust
3.662% due 06/15/2021		10,700		10,685
SLM Student Loan Trust
2.816% due 06/15/2018		36		36
2.910% due 10/25/2016		331		331
2.920% due 04/25/2017		53		52
2.936% due 12/15/2033		4,000		4,003
2.960% due 10/25/2016		5,000		4,967
2.982% due 10/25/2017 (b)		46,600		46,571
3.060% due 10/25/2016		133		133
3.382% due 07/25/2023 (b)		10,800		10,793
3.420% due 10/25/2017		5,000		4,930
4.064% due 07/25/2023		5,000		5,002
Soundview Home Equity Loan Trust
2.522% due 11/25/2036		57		57
2.532% due 10/25/2036		575		567
2.672% due 02/25/2036		95		92
2.742% due 12/25/2035		5,500		5,203
2.782% due 11/25/2035		200		190
3.282% due 10/25/2037		5,269		5,100
South Carolina Student Loan Corp.
3.457% due 03/02/2020		5,300		5,300
3.707% due 09/03/2024		600		600
Specialty Underwriting & Residential Finance
2.582% due 11/25/2037		3,000		2,678
2.902% due 12/25/2035		1,000		964
Structured Asset Securities Corp.
2.532% due 10/25/2036		1,088		1,063
2.532% due 02/25/2037		687		666
2.562% due 01/25/2037		1,122		1,067
2.602% due 10/25/2036		2,836		2,671
2.772% due 01/25/2033		2,034		1,727
2.832% due 12/25/2034		2,073		1,911
2.882% due 05/25/2034		22		19
3.132% due 05/25/2034		98		86
3.375% due 08/25/2031		107		94
3.532% due 01/25/2033		163		107
4.900% due 04/25/2035		911		702
Superior Wholesale Inventory Financing Trust
2.771% due 01/15/2012		3,000		2,735
TABS Ltd.
3.875% due 02/12/2047		2,950		119
Trapeza CDO I LLC
3.589% due 11/16/2034		1,000		638
UCFC Manufactured Housing Contract
7.900% due 01/15/2028		1,000		542
Vanderbilt Mortgage Finance
5.840% due 02/07/2026		330		325
6.210% due 05/07/2026		1,605		1,586
7.905% due 02/07/2026		505		520
Washington Mutual Asset-Backed Certificates
2.542% due 10/25/2036		1,377		1,307
Wells Fargo Home Equity Trust
2.582% due 03/25/2037		1,089		1,076
2.712% due 10/25/2035		452		436
2.732% due 12/25/2035		4,834		4,728
WMC Mortgage Loan Pass-Through Certificates
3.307% due 03/20/2029		77		71
World Financial Network Credit Card Master Trust
3.471% due 03/15/2013		2,000		1,938
Total Asset-Backed Securities (Cost $602,795)				543,524
SHORT-TERM INSTRUMENTS 8.8%
Commercial Paper 1.0%
Federal Home Loan Bank
2.000% due 07/01/2008		11,000		11,000
Repurchase Agreements 0.6%
State Street Bank and Trust Co.
1.650% due 07/01/2008		6,031		6,031
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $6,156. Repurchase proceeds are $6,031.)
U.S. Treasury Bills 7.2%
1.837% due 08/28/2008 - 09/25/2008 (d)(e)		75,250		74,764
Total Short-Term Instruments (Cost $91,964)				91,795
Total Investments 138.5% (Cost $1,519,961)			$	1,441,476
Other Assets and Liabilities (Net) (38.5%)				(400,798)
Net Assets 100.0%			$	1,040,678

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

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

(a) Interest only security.

(b) When-issued security.

(c) Principal only security.

(d) Coupon represents a weighted average rate.

(e) Securities with an aggregate market value of $74,764 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $189,468 at a weighted average interest rate of 2.393%. On June 30, 2008, securities valued at $249,002 were pledged as collateral for reverse repurchase agreements.

(g) Cash of $5,525 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
90-Day Eurodollar December Futures	Long	12/2008	4,278	$	15,833
90-Day Eurodollar September Futures	Long	09/2008	775		2,218
				$	18,051

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
American International Group, Inc. 4.250% due 05/15/2013	Sell	0.850%	12/20/2012	MLP	$	10,000	$	(500)
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	RBS		1,396		512
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	GSC		1,396		(464)
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	RBS		2,500		1,094
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	GSC		2,500		(915)
Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800%)	06/25/2046	LEH		2,000		1,947
Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 0.750% due 06/25/2046	Buy	(0.800%)	06/25/2046	WAC		2,000		635
Baldwin Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 2.000% due 06/25/2038	Buy	(2.500%)	06/25/2038	LEH		2,000		1,938
Bear Stearns Asset-Backed Securities Trust floating rate based on 1-Month USD-LIBOR plus 2.000% due 12/25/2035	Buy	(2.250%)	12/25/2035	UBS		1,000		918
Bear Stearns Asset-Backed Securities Trust floating rate based on 1-Month USD-LIBOR plus 2.000% due 12/25/2035	Sell	2.550%	12/25/2035	BEAR		1,000		(915)
Bear Stearns Cos., Inc. 6.400% due 10/02/2017	Buy	(3.000%)	12/20/2017	GSC		2,000		(282)
Bear Stearns Cos., Inc. 6.950% due 08/10/2012	Buy	(4.050%)	09/20/2012	CITI		5,000		(570)
Camber floating rate based on 3-Month USD-LIBOR plus 3.250% due 07/12/2043	Buy	(3.300%)	07/12/2043	BCLY		1,946		1,904
Citigroup, Inc. 7.250% due 10/01/2010	Buy	(2.350%)	03/20/2013	BNP		9,400		(261)
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	CITI		1,000		246
Dell, Inc. 4.700% due 04/15/2013	Buy	(0.800%)	06/20/2013	BCLY		5,000		(41)
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	JPM		2,000		914
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	LEH		2,000		(912)
Fannie Mae 5.250% due 08/01/2012	Buy	(1.430%)	09/20/2013	DUB		12,000		62
Fannie Mae 5.250% due 08/01/2012	Buy	(1.380%)	09/20/2013	RBS		8,000		60
Fannie Mae 5.500% due 06/09/2033	Sell	0.660%	12/20/2012	HSBC		9,000		22
Fannie Mae 5.500% due 06/09/2033	Sell	0.615%	03/20/2013	LEH		10,000		(1)
FBR Securitization Trust floating rate based on 1-Month USD-LIBOR plus 1.850% due 10/25/2035	Buy	(3.000%)	10/25/2035	RBS		3,000		2,885
FBR Securitization Trust floating rate based on 1-Month USD-LIBOR plus 1.850% due 10/25/2035	Sell	3.500%	10/25/2035	JPM		3,000		(2,887)
Freddie Mac 5.080% due 02/07/2019	Sell	0.670%	12/20/2012	MSC		9,000		26
Freddie Mac 5.080% due 02/07/2019	Sell	0.720%	03/20/2013	MSC		5,000		22
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.800%	03/20/2009	CITI		3,000		(1)
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	BEAR		1,654		706
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	MSC		1,654		(672)
Jackson Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 1.750% due 09/27/2046	Buy	(3.500%)	09/27/2046	MLP		4,000		3,866
Jackson Segregated Portfolio floating rate based on 3-Month USD-LIBOR plus 1.750% due 09/27/2046	Buy	(3.500%)	09/27/2046	WAC		1,000		281
KLIO Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.800% due 04/23/2039	Buy	(1.700%)	04/23/2039	BEAR		1,000		753
LB-UBS Commercial Mortgage Trust 5.587% due 09/15/2040	Buy	(1.170%)	09/15/2040	BEAR		1,000		317
Lenox Street Ltd. floating rate based on 3-Month USD-LIBOR plus 1.750% due 03/04/2045	Buy	(3.500%)	03/04/2050	MLP		1,000		669
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	BCLY		246		42
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	CSFB		1,226		793
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	MSC		1,226		(764)
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	GSC		629		386
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	MLP		629		(382)
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	BOA		492		(417)
Masco Corp. 5.875% due 07/15/2012	Buy	(0.610%)	09/20/2012	BOA		5,000		360
Merrill Lynch & Co., Inc. 6.000% due 02/17/2009	Buy	(0.400%)	03/20/2017	JPM		5,000		539
Merrill Lynch Mortgage Trust 5.244% due 11/12/2037	Buy	(1.150%)	11/12/2037	BEAR		1,000		387
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	MSC		249		55
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	BOA		2,500		1,430
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	JPM		2,500		(1,395)
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	DUB		2,000		1,828
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	DUB		5,000		4,540
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	MSC		5,000		(4,534)
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	JPM		1,845		1,732
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	GSC		1,845		(1,713)
Race Point CLO floating rate based on 3-Month USD-LIBOR plus 1.650% due 04/15/2020	Buy	(1.950%)	04/15/2020	WAC		2,000		567
SLM Corp. 5.125% due 08/27/2012	Sell	3.100%	12/20/2008	BCLY		2,000		(20)
SLM Corp. 5.125% due 08/27/2012	Sell	3.100%	12/20/2008	MLP		5,000		(50)
SLM Corp. 5.125% due 08/27/2012	Sell	3.050%	03/20/2009	DUB		5,000		(78)
Specialty Underwriting & Residential Finance floating rate based on 1-Month USD-LIBOR plus 1.300% due 02/25/2035	Buy	(0.590%)	02/25/2035	BCLY		341		46
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	BCLY		474		431
Swiss Bank Corp. 7.375% due 06/15/2017	Buy	(2.400%)	03/20/2013	BNP		5,000		(135)
Swiss Bank Corp. 7.375% due 06/15/2017	Buy	(2.400%)	03/20/2013	GSC		10,000		(270)
Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500%)	10/11/2021	GSC		500		122
Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 03/08/2040	Buy	(3.900%)	03/08/2040	GSC		452		395
Trinity CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.600% due 03/08/2040	Buy	(1.700%)	03/08/2040	BEAR		2,000		1,564
Wachovia Corp. 5.625% due 12/15/2008	Buy	(2.930%)	03/20/2013	BNP		9,400		(156)
							$	16,659

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080%	12/13/2049	CITI	$	15,000	$	(284)
CMBX N.A. BBB- 1 Index	Sell	1.340%	10/12/2052	DUB		2,000		(797)
Dow Jones CDX N.A. HY8 Index	Sell	0.415%	06/20/2012	CITI		1,987		(63)
Dow Jones CDX N.A. HY8 Index	Sell	0.630%	06/20/2012	CITI		4,968		(121)
Dow Jones CDX N.A. HY8 Index	Sell	0.787%	06/20/2012	BCLY		2,484		(60)
Dow Jones CDX N.A. HY8 Index	Sell	0.830%	06/20/2012	CITI		9,937		(174)
Dow Jones CDX N.A. HY8 Index	Sell	0.910%	06/20/2012	MLP		2,484		(44)
Dow Jones CDX N.A. HY8 Index	Sell	1.465%	06/20/2012	BCLY		4,968		(7)
Dow Jones CDX N.A. HY9 Index	Sell	0.735%	12/20/2012	LEH		9,937		(335)
Dow Jones CDX N.A. HY9 Index	Sell	1.140%	12/20/2012	MLP		9,937		(157)
Dow Jones CDX N.A. HY9 Index	Sell	1.443%	12/20/2012	MLP		4,968		(25)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	DUB		31,000		84
Dow Jones CDX N.A. IG10 Index	Sell	1.550%	06/20/2013	MSC		6,600		(6)
Dow Jones CDX N.A. IG5 Index	Buy	(0.140%)	12/20/2012	MSC		11,200		810
Dow Jones CDX N.A. IG5 Index	Sell	0.460%	12/20/2015	MSC		8,000		(889)
Dow Jones CDX N.A. IG7 Index	Sell	0.145%	12/20/2016	LEH		25,000		(1,520)
Dow Jones CDX N.A. IG8 Index	Buy	(0.600%)	06/20/2017	UBS		20,000		734
Dow Jones CDX N.A. IG8 Index	Sell	0.600%	06/20/2017	GSC		20,000		(705)
Dow Jones CDX N.A. IG9 Index	Sell	0.560%	12/20/2012	DUB		5,000		(84)
Home Equity Index A Rating 2006-1	Sell	0.540%	07/25/2045	DUB		300		(112)
Home Equity Index A Rating 2006-1	Sell	0.540%	07/25/2045	LEH		5,000		(65)
Home Equity Index AA Rating 2006-2	Sell	0.170%	05/25/2046	DUB		300		(118)
Home Equity Index AA Rating 2007-1	Sell	0.150%	08/25/2037	CSFB		55,000		(7,149)
Home Equity Index AA Rating 2007-1	Sell	0.150%	08/25/2037	DUB		300		(93)
Home Equity Index AAA Rating 2006-1	Sell	0.180%	07/25/2045	CITI		2,455		32
Home Equity Index AAA Rating 2006-1	Sell	0.180%	07/25/2045	CSFB		13,551		121
Home Equity Index AAA Rating 2006-1	Sell	0.180%	07/25/2045	DUB		18,461		896
Home Equity Index AAA Rating 2006-1	Sell	0.180%	07/25/2045	MSC		19,640		(148)
Home Equity Index AAA Rating 2006-2	Sell	0.110%	05/25/2046	BOA		10,000		(972)
Home Equity Index AAA Rating 2006-2	Sell	0.110%	05/25/2046	CSFB		8,800		(107)
Home Equity Index AAA Rating 2006-2	Sell	0.110%	05/25/2046	MLP		5,000		(636)
Home Equity Index AAA Rating 2007-1	Sell	0.090%	08/25/2037	CITI		5,000		(1,076)
Home Equity Index AAA Rating 2007-1	Sell	0.090%	08/25/2037	CSFB		3,000		(563)
Home Equity Index BBB Rating 2006-2	Buy	(2.420%)	05/25/2046	BEAR		1,974		1,729
Home Equity Index BBB Rating 2006-2	Sell	2.420%	05/25/2046	JPM		2,000		(1,738)
							$	(13,642)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	5.000	%	06/21/2009	UBS	$	55,500	$	1,231
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		33,000		(244)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		11,400		(86)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		169,800		(765)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		43,100		(636)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		19,500		251
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		46,700		211
								$	(38)

(i) Restricted securities as of June 30, 2008:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Bear Stearns Asset-Backed Securities Trust	2.982	%	09/25/2034	03/29/2006	$	481	$	413	0.04%

(j) Short sales outstanding on June 30, 2008:

Description	Coupon	Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	6.000%	07/01/2038	$	1,500	$	1,515	$	1,514
Freddie Mac	6.000%	07/01/2038		2,300		2,318		2,323
					$	3,833	$	3,837

⁽³⁾ Market value includes $0 of interest payable on short sales.

(k) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 06/30/2008
Investments, at value	$	0	$	1,355,762		$	85,714	$	1,441,476
Other Financial Instruments++		18,051		(15,487	)		14,629		17,193
Total	$	18,051	$	1,340,275		$	100,343	$	1,458,669

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2008
Investments, at value	$	21,937	$	77,688	$	20	$	(404	)	$	(13,527	)	$	85,714
Other Financial Instruments++		21,210		0		0		(6,605	)		24		$	14,629
Total	$	43,147	$	77,688	$	20	$	(7,009	)	$	(13,503	)	$	100,343

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

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

See Accompanying Notes

Schedule of Investments

Developing Local Markets Portfolio

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 44.8%
Banking & Finance 28.6%
American Express Bank FSB
2.495% due 06/12/2009	$	1,000	$	993
2.541% due 06/22/2009		300		298
American Express Centurion Bank
2.642% due 12/17/2009		100		99
American Express Credit Corp.
2.542% due 05/19/2009		100		99
3.882% due 05/27/2010		2,500		2,481
American International Group, Inc.
2.521% due 06/16/2009		1,400		1,375
Banco Nacional de Comercio Exterior SNC
3.875% due 01/21/2009		4,400		4,394
Banco Santander Chile
3.027% due 12/09/2009		1,000		981
Bank of America Corp.
2.904% due 11/06/2009		200		198
2.921% due 09/25/2009		3,300		3,285
Bank of America N.A.
2.786% due 06/12/2009		1,300		1,297
Bank of Ireland
2.862% due 12/18/2009		1,800		1,782
Bank of Scotland PLC
2.482% due 07/17/2008		100		100
2.737% due 12/08/2010		1,500		1,468
2.756% due 07/17/2009		1,600		1,600
Bear Stearns Cos., Inc.
2.979% due 07/16/2009		1,600		1,581
3.129% due 01/31/2011		1,500		1,457
3.218% due 07/19/2010		4,659		4,571
5.300% due 10/30/2015		100		94
5.500% due 08/15/2011		100		100
6.950% due 08/10/2012		500		521
7.250% due 02/01/2018		4,900		5,129
Caterpillar Financial Services Corp.
2.760% due 10/09/2009		1,500		1,492
2.766% due 03/10/2009		500		499
2.766% due 08/11/2009		700		697
Charter One Bank N.A.
2.957% due 04/24/2009		1,000		997
CIT Group, Inc.
2.839% due 08/17/2009		700		637
3.049% due 01/30/2009		2,300		2,226
Citigroup Funding, Inc.
2.862% due 03/02/2009		2,456		2,438
Citigroup, Inc.
2.809% due 05/18/2011		900		866
2.831% due 12/28/2009		1,800		1,756
2.848% due 12/26/2008		200		199
2.869% due 05/18/2010		500		491
8.400% due 04/29/2049		3,200		3,046
Commonwealth Bank of Australia
2.488% due 06/08/2009		100		100
Countrywide Financial Corp.
2.868% due 01/05/2009		200		196
Countrywide Home Loans, Inc.
6.250% due 04/15/2009		400		394
Credit Agricole S.A.
2.646% due 05/28/2009		800		797
2.694% due 05/28/2010		3,300		3,267
Credit Suisse USA, Inc.
2.757% due 06/05/2009		1,500		1,496
2.775% due 11/20/2009		200		198
DnB NOR Bank ASA
2.780% due 10/13/2009		100		100
El Paso Performance-Linked Trust
7.750% due 07/15/2011		1,900		1,924
Export-Import Bank of Korea
4.250% due 11/06/2008		75		75
Ford Credit de Mexico S.A. de C.V.
4.502% due 03/20/2009		1,800		1,739
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		100		98
5.700% due 01/15/2010		2,500		2,134
7.375% due 10/28/2009		1,000		911
7.875% due 06/15/2010		300		259
8.625% due 11/01/2010		400		340
Fortis Bank NY
2.841% due 09/28/2009		1,600		1,586
General Electric Capital Corp.
2.746% due 08/15/2011		200		197
2.788% due 10/06/2010		1,400		1,390
2.876% due 06/15/2009		100		100
2.937% due 10/26/2009		200		199
GMAC LLC
3.926% due 05/15/2009		1,100		1,035
3.951% due 09/23/2008		5,740		5,653
5.625% due 05/15/2009		600		556
Goldman Sachs Group, Inc.
2.551% due 11/16/2009		2,500		2,459
2.800% due 11/16/2009		1,400		1,381
2.841% due 12/23/2008		300		299
2.882% due 03/02/2010		500		491
2.891% due 12/22/2008		1,200		1,172
2.891% due 06/23/2009		700		693
3.012% due 07/29/2008		1,300		1,299
5.950% due 01/18/2018		2,000		1,926
HSBC Bank USA N.A.
2.906% due 12/14/2009		250		247
HSBC Finance Corp.
2.866% due 03/12/2010		800		778
2.878% due 10/21/2009		200		195
3.000% due 11/16/2009		800		789
ICICI Bank Ltd.
3.250% due 01/12/2010		600		582
IDBI Bank Ltd.
5.125% due 12/23/2009		700		678
Industry & Construction Bank St. Petersburg OJSC
6.875% due 07/29/2008		300		301
International Lease Finance Corp.
2.858% due 05/24/2010		1,000		936
John Deere Capital Corp.
2.789% due 07/16/2010		1,700		1,688
3.536% due 06/10/2011		2,000		1,999
JPMorgan Chase & Co.
2.498% due 05/07/2010		1,100		1,091
2.532% due 06/26/2009		100		100
2.884% due 06/25/2010		1,500		1,481
2.886% due 01/17/2011		1,400		1,377
2.981% due 10/02/2009		3,790		3,787
KeyBank N.A.
4.682% due 06/02/2010		1,200		1,196
Lehman Brothers Holdings, Inc.
2.532% due 11/24/2008		100		99
2.778% due 08/21/2009		2,000		1,962
2.820% due 11/16/2009		1,400		1,335
2.851% due 12/23/2008		3,725		3,654
2.998% due 10/22/2008		1,600		1,594
3.010% due 01/23/2009		1,000		979
3.011% due 12/23/2010		1,100		1,031
Merrill Lynch & Co., Inc.
2.768% due 08/14/2009		900		872
2.831% due 12/22/2008		200		199
2.960% due 10/23/2008		200		199
2.989% due 01/30/2009		500		492
Metropolitan Life Global Funding I
2.759% due 05/17/2010		500		493
Morgan Stanley
2.521% due 11/21/2008		100		100
2.820% due 05/07/2009		200		197
3.148% due 01/22/2009		600		594
Pemex Finance Ltd.
9.690% due 08/15/2009		1,158		1,182
Petroleum Export Ltd.
4.623% due 06/15/2010		311		309
4.633% due 06/15/2010		44		44
5.265% due 06/15/2011		206		205
Royal Bank of Scotland Group PLC
2.868% due 07/21/2008		100		100
Santander U.S. Debt S.A. Unipersonal
2.733% due 11/20/2009		1,000		991
2.861% due 09/19/2008		100		100
SLM Corp.
3.060% due 07/27/2009		2,600		2,438
3.080% due 07/26/2010		100		89
UBS AG
2.910% due 07/23/2009		2,700		2,669
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		1,000		999
Ventas Realty LP
6.750% due 06/01/2010		600		600
8.750% due 05/01/2009		470		482
VTB Capital S.A.
3.384% due 08/01/2008		9,300		9,253
Wachovia Bank N.A.
2.698% due 05/25/2010		750		722
2.752% due 12/02/2010		1,000		951
Wachovia Corp.
2.732% due 12/01/2009		1,500		1,469
2.843% due 10/15/2011		600		570
2.949% due 10/28/2008		400		392
Wachovia Mortgage FSB
2.798% due 05/08/2009		250		248
2.807% due 03/02/2009		250		250
Wells Fargo & Co.
2.861% due 03/23/2010		2,600		2,579
3.010% due 01/24/2012		400		390
3.342% due 01/29/2010		2,470		2,468
				144,236
Industrials 10.4%
America Movil SAB de C.V.
4.125% due 03/01/2009		300		302
Anadarko Petroleum Corp.
3.176% due 09/15/2009		1,500		1,483
AstraZeneca PLC
2.991% due 09/11/2009		100		100
Cia Siderurgica Paulista
8.250% due 01/30/2009		500		508
Cisco Systems, Inc.
2.738% due 02/20/2009		300		300
Comcast Corp.
3.010% due 07/14/2009		2,800		2,779
ConocoPhillips Australia Funding Co.
2.810% due 04/09/2009		304		304
CSC Holdings, Inc.
7.250% due 07/15/2008		100		100
CSN Islands VII Corp.
10.750% due 09/12/2008		2,900		2,931
CVS Caremark Corp.
2.982% due 06/01/2010		500		488
Daimler Finance North America LLC
3.234% due 08/03/2009		700		695
EchoStar DBS Corp.
5.750% due 10/01/2008		1,250		1,253
6.375% due 10/01/2011		1,800		1,742
General Mills, Inc.
3.038% due 01/22/2010		400		395
Hewlett-Packard Co.
3.081% due 09/03/2009		300		299
HJ Heinz Co.
6.428% due 12/01/2020		700		706
Home Depot, Inc.
2.901% due 12/16/2009		200		195
Hyundai Motor Manufacturing Alabama LLC
5.300% due 12/19/2008		3,000		3,002
Kansas City Southern de Mexico S.A. de C.V.
9.375% due 05/01/2012		600		627
Kimberly-Clark Corp.
2.999% due 07/30/2010		2,900		2,889
Kraft Foods, Inc.
3.216% due 08/11/2010		700		688
Mandalay Resort Group
6.500% due 07/31/2009		800		794
9.500% due 08/01/2008		100		100
MMK Finance S.A.
8.000% due 10/21/2008		4,008		4,048
New Albertson’s, Inc.
6.950% due 08/01/2009		100		101
Pemex Project Funding Master Trust
4.513% due 10/15/2009		1,100		1,112
9.125% due 10/13/2010		110		120
9.375% due 12/02/2008		102		105
Qwest Communications International, Inc.
6.176% due 02/15/2009		33		33
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		7,400		7,620
Siemens Financieringsmaatschappij NV
2.728% due 08/14/2009		400		400
Target Corp.
6.000% due 01/15/2018		5,000		5,034
Time Warner, Inc.
2.915% due 11/13/2009		600		583
Transocean, Inc.
2.873% due 09/05/2008		1,600		1,598
United Technologies Corp.
2.752% due 06/01/2009		200		200
UnitedHealth Group, Inc.
4.070% due 02/07/2011		5,000		4,994
Walt Disney Co.
2.779% due 07/16/2010		1,500		1,493
Weyerhaeuser Co.
3.802% due 09/24/2009		2,100		2,077
Xerox Corp.
3.562% due 12/18/2009		300		298
				52,496
Utilities 5.8%
AT&T, Inc.
2.884% due 02/05/2010		2,000		1,992
2.888% due 11/14/2008		700		700
BellSouth Corp.
2.776% due 08/15/2008		1,200		1,199
Deutsche Telekom International Finance BV
2.981% due 03/23/2009		2,800		2,781
Dominion Resources, Inc.
2.858% due 11/14/2008		100		99
3.864% due 06/17/2010		400		400
Empresa Brasileira de Telecomunicacoes S.A.
11.000% due 12/15/2008		1,600		1,660
Empresa Nacional de Electricidad S.A.
7.750% due 07/15/2008		1,600		1,598
Entergy Gulf States, Inc.
3.427% due 12/08/2008		1,207		1,206
Ohio Power Co.
2.908% due 04/05/2010		1,400		1,373
Public Service Electric & Gas Co.
3.661% due 03/12/2010		1,800		1,783
Qwest Capital Funding, Inc.
6.375% due 07/15/2008		100		100
Qwest Corp.
5.625% due 11/15/2008		600		602
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		1,794		1,797
Sprint Nextel Corp.
3.201% due 06/28/2010		1,200		1,113
Telefonica Emisones SAU
3.102% due 06/19/2009		6,000		5,968
Telefonos de Mexico SAB de C.V.
4.500% due 11/19/2008		4,727		4,762
UBS Luxembourg S.A. for OJSC Vimpel Communications
10.000% due 06/16/2009		300		313
				29,446
Total Corporate Bonds & Notes (Cost $228,111)				226,178
U.S. GOVERNMENT AGENCIES 6.7%
Fannie Mae
2.542% due 12/25/2036 - 07/25/2037		1,151		1,135
2.682% due 10/27/2037		4,100		3,922
4.994% due 06/01/2043 - 09/01/2044		344		345
5.000% due 02/25/2017		47		48
5.592% due 12/01/2035		596		601
5.722% due 03/01/2036		768		775
5.764% due 03/01/2036		811		821
6.000% due 07/01/2036 - 11/01/2037		9,468		9,566
Freddie Mac
2.701% due 02/15/2019		15,501		15,198
2.742% due 08/25/2031		258		252
2.762% due 09/25/2031		245		242
2.821% due 12/15/2030		279		275
4.994% due 02/25/2045		633		589
5.000% due 08/15/2016 - 11/15/2029		220		222
Total U.S. Government Agencies (Cost $34,360)				33,991
U.S. TREASURY OBLIGATIONS 0.9%
U.S. Treasury Notes
3.500% due 05/31/2013		4,600		4,639
Total U.S. Treasury Obligations (Cost $4,601)				4,639
MORTGAGE-BACKED SECURITIES 11.7%
Adjustable Rate Mortgage Trust
5.141% due 09/25/2035		362		346
American Home Mortgage Investment Trust
2.632% due 09/25/2035		6		6
Banc of America Funding Corp.
6.141% due 01/20/2047		504		410
Banc of America Mortgage Securities, Inc.
4.719% due 07/25/2034		234		227
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		8,116		7,762
4.476% due 02/25/2034		438		425
4.550% due 08/25/2035		4,239		4,063
4.612% due 07/25/2033		5,622		5,394
4.844% due 04/25/2034		313		299
Bear Stearns Alt-A Trust
2.642% due 02/25/2034		57		41
5.701% due 09/25/2035		2,243		1,852
5.869% due 01/25/2036		811		663
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		6		6
Bear Stearns Mortgage Funding Trust
2.552% due 02/25/2037		149		132
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		4,355		4,317
5.674% due 01/26/2036		1,836		1,528
5.777% due 12/26/2046		1,070		881
CC Mortgage Funding Corp.
2.612% due 05/25/2048		377		265
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		3		2
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		316		299
4.248% due 08/25/2035		1,906		1,802
4.679% due 08/25/2035		349		312
4.748% due 08/25/2035		1,951		1,860
Commercial Mortgage Pass-Through Certificates
2.571% due 04/15/2017		27		26
6.455% due 05/15/2032		17		17
Countrywide Alternative Loan Trust
2.662% due 02/20/2047		155		109
2.662% due 05/25/2047		164		115
4.528% due 02/25/2036		47		36
Countrywide Home Loan Mortgage Pass-Through Trust
2.822% due 03/25/2036		922		559
4.842% due 04/20/2035		1,274		1,235
CS First Boston Mortgage Securities Corp.
5.050% due 06/25/2033		584		566
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 01/25/2047		54		50
2.562% due 02/25/2037		48		45
2.572% due 08/25/2037		425		415
First Horizon Asset Securities, Inc.
4.464% due 07/25/2033		198		195
5.368% due 08/25/2035		366		350
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		132		116
2.562% due 01/25/2047		164		156
2.752% due 11/25/2045		189		151
Greenpoint Mortgage Pass-Through Certificates
4.392% due 10/25/2033		571		544
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		635		595
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		40		37
2.672% due 01/19/2038		234		167
2.722% due 03/19/2037		254		179
5.219% due 07/19/2035		998		984
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		43		40
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		53		49
5.044% due 12/25/2034		231		201
JPMorgan Mortgage Trust
5.020% due 02/25/2035		1,422		1,343
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		83		79
MASTR Adjustable Rate Mortgages Trust
2.592% due 05/25/2047		44		44
3.788% due 11/21/2034		593		586
Merrill Lynch Floating Trust
2.541% due 06/15/2022		84		79
Merrill Lynch Mortgage Investors, Inc.
2.692% due 02/25/2036		1,523		1,225
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		655		579
3.482% due 10/25/2035		367		340
4.430% due 10/25/2035		2,626		2,488
Provident Funding Mortgage Loan Trust
4.612% due 08/25/2033		387		376
Residential Accredit Loans, Inc.
2.582% due 09/25/2046		47		32
2.782% due 08/25/2035		90		70
Residential Funding Mortgage Securities I
5.209% due 09/25/2035		348		305
Sequoia Mortgage Trust
4.080% due 04/20/2035		474		434
Structured Adjustable Rate Mortgage Loan Trust
4.880% due 07/25/2034		950		923
5.349% due 01/25/2035		358		349
5.537% due 08/25/2035		225		202
Structured Asset Mortgage Investments, Inc.
2.552% due 08/25/2036		175		171
2.582% due 09/25/2047		562		536
2.702% due 05/25/2036		392		275
2.732% due 07/19/2035		1,752		1,477
2.812% due 10/19/2034		547		454
Structured Asset Securities Corp.
4.773% due 06/25/2033		750		654
5.432% due 10/25/2035		46		42
TBW Mortgage-Backed Pass-Through Certificates
2.582% due 09/25/2036		19		18
2.592% due 01/25/2037		41		39
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		132		127
2.602% due 03/25/2046		100		99
2.602% due 09/25/2046		304		294
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		2,196		2,072
WaMu Mortgage Pass-Through Certificates
2.702% due 07/25/2046		670		531
2.772% due 08/25/2045		4		4
2.928% due 11/25/2034		1,327		1,124
4.229% due 03/25/2034		459		450
4.258% due 01/25/2047		76		57
4.338% due 12/25/2046		73		61
4.528% due 02/25/2046		91		67
4.561% due 06/25/2033		229		223
4.728% due 11/25/2042		41		38
4.780% due 10/25/2046		149		116
5.028% due 09/25/2046		288		225
Wells Fargo Mortgage-Backed Securities Trust
4.993% due 12/25/2034		378		368
Total Mortgage-Backed Securities (Cost $62,326)				58,805
ASSET-BACKED SECURITIES 8.4%
ACE Securities Corp.
2.532% due 08/25/2036		105		100
2.532% due 12/25/2036		55		53
2.562% due 10/25/2036		79		78
2.572% due 06/25/2037		147		137
American Express Credit Account Master Trust
2.971% due 02/15/2012		92		90
Argent Securities, Inc.
2.532% due 09/25/2036		93		92
2.532% due 10/25/2036		192		187
Asset-Backed Funding Certificates
2.522% due 09/25/2036		87		87
2.542% due 10/25/2036		94		93
2.542% due 11/25/2036		49		48
2.542% due 01/25/2037		416		403
2.832% due 06/25/2034		305		271
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		25		25
2.532% due 12/25/2036		45		44
Atrium CDO Corp.
3.337% due 06/27/2015		481		466
Aurum CLO 2002-1 Ltd.
3.143% due 04/15/2014		707		680
Bear Stearns Asset-Backed Securities Trust
2.532% due 11/25/2036		48		46
2.572% due 04/25/2036		1		1
3.482% due 10/25/2037		1,109		917
Carrington Mortgage Loan Trust
2.532% due 01/25/2037		48		47
2.582% due 06/25/2037		744		716
2.802% due 10/25/2035		41		38
Chase Credit Card Master Trust
2.581% due 02/15/2011		100		100
Chase Issuance Trust
2.491% due 02/15/2012		100		100
2.511% due 10/15/2012		300		297
3.227% due 08/17/2015		700		693
Citibank Omni Master Trust
3.581% due 12/23/2013		7,800		7,870
Citigroup Mortgage Loan Trust, Inc.
2.522% due 08/25/2036		25		25
2.532% due 11/25/2036		17		17
2.542% due 05/25/2037		159		151
2.542% due 07/25/2045		156		145
Countrywide Asset-Backed Certificates
2.532% due 01/25/2037		29		29
2.532% due 03/25/2037		71		70
2.532% due 05/25/2037		108		105
2.532% due 03/25/2047		112		111
2.532% due 05/25/2047		58		56
2.542% due 03/25/2037		104		102
2.542% due 09/25/2046		18		18
2.552% due 06/25/2037		57		56
2.562% due 06/25/2037		60		59
2.562% due 10/25/2037		131		123
2.592% due 10/25/2046		314		308
2.642% due 02/25/2036		63		59
2.662% due 09/25/2036		151		144
Credit-Based Asset Servicing & Securitization LLC
2.542% due 11/25/2036		58		56
2.602% due 07/25/2037		827		768
Daimler Chrysler Auto Trust
3.298% due 10/08/2010		2,000		2,004
First Franklin Mortgage Loan Asset-Backed Certificates
2.512% due 07/25/2036		15		15
2.522% due 01/25/2038		59		57
2.532% due 12/25/2036		39		38
2.552% due 12/25/2037		53		52
First NLC Trust
2.552% due 08/25/2037		545		511
First USA Credit Card Master Trust
2.641% due 04/18/2011		200		200
Ford Credit Auto Owner Trust
3.071% due 07/15/2010		1,700		1,702
3.671% due 12/15/2010		1,200		1,206
Fremont Home Loan Trust
2.532% due 10/25/2036		45		43
2.542% due 01/25/2037		61		58
2.552% due 02/25/2037		160		157
2.652% due 01/25/2036		4		4
GE-WMC Mortgage Securities LLC
2.522% due 08/25/2036		86		84
GSAMP Trust
2.552% due 09/25/2036		98		96
2.552% due 10/25/2036		15		12
2.552% due 12/25/2036		64		62
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		29		28
3.279% due 11/20/2036		377		377
Home Equity Asset Trust
2.542% due 05/25/2037		63		60
HSI Asset Securitization Corp. Trust
2.532% due 10/25/2036		57		55
2.532% due 12/25/2036		60		57
2.542% due 05/25/2037		360		329
Indymac Residential Asset-Backed Trust
2.532% due 11/25/2036		46		45
2.542% due 04/25/2037		43		43
2.562% due 07/25/2037		124		122
JPMorgan Mortgage Acquisition Corp.
2.532% due 08/25/2036		191		188
2.542% due 04/01/2037		216		205
2.552% due 11/25/2036		38		37
2.562% due 08/25/2036		78		75
2.562% due 03/25/2037		129		123
2.592% due 08/25/2036		573		506
Lehman ABS Mortgage Loan Trust
2.572% due 06/25/2037		157		147
Lehman XS Trust
2.552% due 05/25/2046		20		19
2.562% due 04/25/2046		77		76
2.562% due 08/25/2046		100		98
2.562% due 11/25/2046		240		228
2.572% due 05/25/2046		43		42
2.602% due 11/25/2036		121		117
Long Beach Mortgage Loan Trust
2.522% due 07/25/2036		37		37
2.522% due 11/25/2036		43		42
2.542% due 10/25/2036		88		86
2.762% due 10/25/2034		62		51
MASTR Asset-Backed Securities Trust
2.542% due 10/25/2036		3		3
2.542% due 11/25/2036		49		48
2.562% due 05/25/2037		124		119
MBNA Credit Card Master Note Trust
2.511% due 11/15/2012		200		198
2.651% due 10/17/2011		4,500		4,493
Merrill Lynch First Franklin Mortgage Loan Trust
2.542% due 07/25/2037		231		224
Merrill Lynch Mortgage Investors, Inc.
2.512% due 06/25/2037		23		23
2.532% due 05/25/2037		202		200
2.552% due 02/25/2037		7		7
2.552% due 07/25/2037		132		128
2.562% due 09/25/2037		220		214
Morgan Stanley ABS Capital I
2.522% due 10/25/2036		44		44
2.532% due 09/25/2036		124		122
2.532% due 10/25/2036		43		42
2.532% due 11/25/2036		100		96
2.542% due 05/25/2037		285		278
2.602% due 02/25/2036		57		56
Morgan Stanley IXIS Real Estate Capital Trust
2.532% due 11/25/2036		41		40
Nationstar Home Equity Loan Trust
2.542% due 06/25/2037		145		138
New Century Home Equity Loan Trust
2.552% due 08/25/2036		75		74
2.662% due 05/25/2036		93		84
Option One Mortgage Loan Trust
2.532% due 07/25/2036		6		6
2.532% due 01/25/2037		45		44
Popular ABS Mortgage Pass-Through Trust
2.572% due 06/25/2047		149		143
Residential Asset Mortgage Products, Inc.
2.552% due 11/25/2036		23		22
2.562% due 10/25/2036		124		117
2.582% due 08/25/2046		44		42
Residential Asset Securities Corp.
2.522% due 06/25/2036		20		20
2.522% due 08/25/2036		52		52
2.552% due 07/25/2036		10		10
2.552% due 11/25/2036		118		116
2.562% due 10/25/2036		109		107
2.602% due 04/25/2036		400		395
Saxon Asset Securities Trust
2.542% due 10/25/2046		159		155
Securitized Asset-Backed Receivables LLC Trust
2.542% due 03/25/2036		17		17
2.542% due 12/25/2036		135		127
2.562% due 11/25/2036		63		61
2.612% due 05/25/2037		2,115		1,964
SLC Student Loan Trust
2.674% due 02/15/2015		714		712
SLM Student Loan Trust
2.900% due 04/25/2014		502		501
2.910% due 07/25/2013		1,652		1,650
2.910% due 10/25/2016		67		67
2.910% due 07/25/2017		95		94
2.920% due 04/25/2017		2,211		2,202
3.070% due 01/25/2017		86		86
Soundview Home Equity Loan Trust
2.532% due 10/25/2036		110		109
2.542% due 11/25/2036		92		90
2.542% due 12/25/2036		19		19
2.562% due 01/25/2037		36		36
2.562% due 06/25/2037		145		139
2.582% due 10/25/2036		17		17
South Carolina Student Loan Corp.
3.207% due 09/02/2014		100		100
3.257% due 03/01/2018		200		200
Specialty Underwriting & Residential Finance
2.512% due 06/25/2037		19		19
2.528% due 11/25/2037		39		38
Structured Asset Investment Loan Trust
2.532% due 07/25/2036		34		33
Structured Asset Securities Corp.
2.532% due 10/25/2036		236		231
2.562% due 01/25/2037		56		53
4.900% due 04/25/2035		319		246
Washington Mutual Asset-Backed Certificates
2.532% due 01/25/2037		63		59
2.542% due 10/25/2036		66		62
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		37		37
Total Asset-Backed Securities (Cost $43,343)				42,404
SOVEREIGN ISSUES 4.1%
Export-Import Bank of Korea
2.772% due 06/01/2009		3,300		3271
4.125% due 02/10/2009		100		99
Korea Development Bank
3.019% due 10/31/2008		2,000		1998
3.218% due 10/20/2009		4,192		4197
3.875% due 03/02/2009		2,960		2956
5.300% due 01/17/2013		1,150		1143
Panama Government International Bond
9.375% due 04/01/2029		3,003		3941
Philippine Government International Bond
8.375% due 03/12/2009		800		826
Russia Government International Bond
8.250% due 03/31/2010		133		140
Ukraine Government International Bond
6.391% due 08/05/2009		1,100		1117
6.875% due 03/04/2011		780		770
Total Sovereign Issues (Cost $20,612)				20,458
FOREIGN CURRENCY-DENOMINATED ISSUES 15.0%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	2,700		214
Bear Stearns Cos., Inc.
5.208% due 09/26/2013	EUR	300		443
Brazil Notas do Tesouro Nacional Series B
9.892% due 05/15/2045	BRL	1,000		987
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012		56,537		30688
10.000% due 01/01/2017		63,140		30845
Brazilian Government International CPI Linked Bond
9.892% due 05/15/2017		4,400		4346
Colombia Government International Bond
9.850% due 06/28/2027	COP	7,680,000		3152
Countrywide Home Loans, Inc.
5.305% due 11/24/2008	EUR	200		309
SLM Corp.
5.158% due 12/15/2010		100		136
Telefonos de Mexico SAB de C.V.
8.750% due 01/31/2016	MXN	19,700		1804
Uruguay Government International Bond
3.700% due 06/26/2037 (b)	UYU	59,640		2811
Total Foreign Currency-Denominated Issues (Cost $73,810)				75,735
	Shares
COMMON STOCKS 0.0%
Mexico Government International Bond Warrants
0.000% due 10/09/2008		2,400		7
Total Common Stocks (Cost $55)				7
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 2.8%
Certificates of Deposit 1.0%
Abbey National Treasury Services PLC
2.409% due 07/02/2008	$	300		300
Barclays Bank PLC
5.470% due 08/10/2009		3,400		3,383
Calyon Financial, Inc.
2.689% due 01/16/2009		700		698
HSBC Bank USA N.A.
2.957% due 07/28/2008		100		100
Nordea Bank Finland PLC
2.436% due 04/09/2009		800		800
				5,281
Commercial Paper 0.5%
Royal Bank of Scotland Group PLC
2.770% due 09/17/2008		2,500		2,485
Repurchase Agreements 0.2%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		780		780
(Dated 06/30/2008. Collateralized by Freddie Mac 3.375% due 04/15/2009 valued at $799. Repurchase proceeds are $780.)
U.S. Treasury Bills 1.1%
1.828% due 08/28/2008 - 09/25/2008 (a)(c)		5,500		5,468
Total Short-Term Instruments (Cost $14,043)				14,014
Purchased Options (f) 0.0% (Cost $17)				15
Total Investments 94.4% (Cost $481,278)			$	476,246
Written Options (g) (0.1%) (Premiums $794)				(437	)
Other Assets and Liabilities (Net) 5.7%				28,858
Net Assets 100.0%			$	504,667

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

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

(a) Coupon represents a weighted average rate.

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

(c) Securities with an aggregate market value of $3,977 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $40,331 at a weighted average interest rate of 2.463%. On June 30, 2008, there were no open reverse repurchase agreements.

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(2.223	%)	03/20/2018	RBS	$	4,800	$	(414	)
Ford Motor Credit Co. LLC 7.250% due 10/25/2011	Sell	5.000	%	06/20/2009	CITI		200		(2	)
Goldman Sachs Group, Inc. 5.950% due 01/18/2018	Buy	(0.970	%)	03/20/2018	BOA		2,000		60
Korea Development Bank 5.750% due 09/10/2013	Buy	(0.940	%)	03/20/2013	MSC		1,150		20
Target Corp. 6.000% due 01/15/2018	Buy	(1.180	%)	03/20/2018	GSC		5,000		(166	)
								$	(502	)

⁽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 reference entity. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty		Notional Amount		Unrealized Appreciation/ (Depreciation)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC	$	28,600	$	414
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.990	%	11/09/2010	CITI	ZAR	16,750		(115	)
Pay	3-Month ZAR-Johannesburg Interbank Agreed Rate	9.990	%	11/09/2010	HSBC		16,750		(115	)
Pay	6-Month PLN-LIBOR	6.000	%	06/18/2010	JPM	PLN	30,000		(230	)
Pay	28-Day Mexico Interbank TIIE Banxico	9.920	%	08/12/2015	MSC	MXN	4,000		5
Pay	28-Day Mexico Interbank TIIE Banxico	8.770	%	08/03/2016	CITI		2,550		(14	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.780	%	08/03/2016	BCLY		2,550		(13	)
Receive	BRL-CDI-Compounded	12.290	%	01/02/2009	MLP	BRL	2,500		(4	)
Pay	BRL-CDI-Compounded	12.670	%	01/04/2010	MLP		36,900		(539	)
Pay	BRL-CDI-Compounded	14.225	%	01/04/2010	BCLY		390,100		(2,139	)
Pay	BRL-CDI-Compounded	13.845	%	01/02/2012	MSC		70,500		(946	)
								$	(3,696	)

(f) Purchased options outstanding on June 30, 2008:

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Cost		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	130.000	08/22/2008	460	$	9	$	8
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	460		8		7
					$	17	$	15

Options on Securities

Description		Strike Price	Expiration Date		Notional Amount		Cost		Value
Call - OTC Fannie Mae 6.000% due 07/01/2038	$	106.000	07/07/2008	$	1,120	$	0	$	0
Call - OTC Fannie Mae 6.000% due 07/01/2038		113.000	07/07/2008		500		0		0
Call - OTC Freddie Mac 6.000% due 07/01/2038		106.500	07/07/2008		700		0		0
						$	0	$	0

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

Options on Exchange-Traded Futures Contracts

Description		Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	631	$	361	$	235
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	631		433		202
					$	794	$	437

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

Description	Coupon		Maturity Date		Principal Amount		Proceeds		Value	(2)
Fannie Mae	6.000	%	07/01/2038	$	15,000	$	15,150	$	15,134
Freddie Mac	6.000	%	07/01/2038		700		706		707
U.S. Treasury Notes	3.625	%	12/31/2012		10,600		10,804		10,783
U.S. Treasury Notes	4.250	%	11/15/2017		14,300		14,423		14,718
						$	41,083	$	41,342

⁽²⁾ Market value includes $102 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AED	9,596	04/2009	$	0	$	(24	)	$	(24	)
Buy	BRL	243,635	07/2008		13,331		0			13,331
Sell		243,635	07/2008		0		(10,226	)		(10,226	)
Buy		201,157	12/2008		6,856		0			6,856
Sell		208,408	12/2008		0		(8,764	)		(8,764	)
Buy	CLP	16,879,662	07/2008		0		(2,618	)		(2,618	)
Sell		16,879,662	07/2008		5,077		0			5,077
Buy		6,198,536	12/2008		0		(1,093	)		(1,093	)
Sell		10,263,000	12/2008		2,666		0			2,666
Buy		8,998,462	05/2009		0		(2,079	)		(2,079	)
Sell		2,550,000	05/2009		251		0			251
Buy	CNY	5,327	07/2008		29		0			29
Sell		5,327	07/2008		0		(9	)		(9	)
Buy		11,842	10/2008		7		0			7
Sell		11,842	10/2008		0		(29	)		(29	)
Buy		229,152	03/2009		1,913		(220	)		1,693
Sell		183,282	03/2009		0		(1	)		(1	)
Buy	COP	43,944,198	12/2008		800		(81	)		719
Sell		44,702,402	12/2008		1,565		0			1,565
Buy	CZK	492,165	07/2008		6,101		0			6,101
Sell		492,165	07/2008		0		(2,431	)		(2,431	)
Buy		1,056,616	12/2008		10,856		0			10,856
Sell		872,093	12/2008		0		(6,096	)		(6,096	)
Sell	EUR	576	07/2008		0		(9	)		(9	)
Buy	HKD	238,798	07/2008		4		(37	)		(33	)
Sell		55,463	07/2008		0		(16	)		(16	)
Buy	HUF	5,590,421	07/2008		6,059		0			6,059
Sell		5,590,421	07/2008		0		(4,748	)		(4,748	)
Buy		227,217	11/2008		28		0			28
Buy	IDR	55,657,575	10/2008		52		0			52
Buy	ILS	28,812	11/2008		1,237		0			1,237
Sell		27,236	11/2008		0		(91	)		(91	)
Buy	INR	885,569	08/2008		0		(1,772	)		(1,772	)
Sell		853,510	08/2008		1,320		0			1,320
Buy		220,514	11/2008		0		(431	)		(431	)
Buy	KRW	54,711,669	08/2008		0		(6,206	)		(6,206	)
Sell		54,711,669	08/2008		2,698		0			2,698
Buy	KWD	752	04/2009		0		(30	)		(30	)
Buy	MXN	1,013,833	07/2008		5,622		0			5,622
Sell		1,013,833	07/2008		0		(3,420	)		(3,420	)
Buy		323,333	11/2008		314		0			314
Sell		63,506	11/2008		0		(35	)		(35	)
Buy	MYR	185,808	08/2008		208		(462	)		(254	)
Sell		74,190	08/2008		100		(59	)		41
Buy		90,558	11/2008		0		(703	)		(703	)
Buy	PEN	9,768	07/2008		0		(303	)		(303	)
Sell		9,768	07/2008		82		0			82
Buy		9,768	01/2009		0		(112	)		(112	)
Buy	PHP	3,870,566	08/2008		0		(4,020	)		(4,020	)
Sell		1,166,290	08/2008		320		(190	)		130
Buy	PLN	257,144	07/2008		21,106		0			21,106
Sell		257,144	07/2008		0		(7,267	)		(7,267	)
Buy		60,004	05/2009		810		0			810
Sell		23,946	05/2009		0		(360	)		(360	)
Buy	RON	89,900	11/2008		3,349		0			3,349
Sell		89,900	11/2008		0		(3,795	)		(3,795	)
Buy	RUB	207,492	07/2008		594		0			594
Sell		207,492	07/2008		0		(125	)		(125	)
Buy		1,980,818	11/2008		2,623		0			2,623
Sell		503,440	11/2008		0		(350	)		(350	)
Buy		207,492	05/2009		187		0			187
Buy	SAR	9,811	04/2009		0		(27	)		(27	)
Buy	SGD	72,380	08/2008		3,015		0			3,015
Sell		53,689	08/2008		0		(567	)		(567	)
Buy		98,763	11/2008		954		0			954
Buy	SKK	947,801	07/2008		6,690		0			6,690
Sell		947,801	07/2008		0		(3,518	)		(3,518	)
Buy		3,640	10/2008		31		0			31
Buy		153,413	01/2009		136		0			136
Buy	TRY	38,594	12/2008		399		(396	)		3
Sell		20,569	12/2008		0		(748	)		(748	)
Buy	TWD	580,723	09/2008		0		(209	)		(209	)
Sell		151,350	09/2008		0		(13	)		(13	)
Buy	ZAR	350,330	07/2008		420		(2,430	)		(2,010	)
Sell		350,330	07/2008		476		(218	)		258
Buy		158,388	12/2008		59		(192	)		(133	)
Sell		67,956	12/2008		0		(310	)		(310	)
				$	108,345	$	(76,840	)	$	31,505

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	475,559		$	687	$	476,246
Other Financial Instruments++		0		(14,370	)		0		(14,370	)
Total	$	0	$	461,189		$	687	$	461,876

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

	Beginning balance at 03/31/2008		Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/ (losses)			Net transfers in/(out) of Level 3			Ending balance at 06/30/2008
Investments, at value	$	6,711	$	6	$	24	$	(52	)	$	(6,002	)	$	687
Other Financial Instruments++		0		0		0		0			0			0
Total		$6,711		$6		$24		$(52)			$(6,002)			$687

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

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

See Accompanying Notes

Schedule of Investments

Emerging Markets Portfolio

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
AUSTRALIA 1.3%
National Australia Bank Ltd.
3.208% due 02/08/2010	$	15,000	$	15,004
Total Australia (Cost $15,000)				15,004
BRAZIL 41.4%
Brazil Notas do Tesouro Nacional Series B
9.892% due 05/15/2045	BRL	2,000		1,973
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012		442,141		239,993
10.000% due 01/01/2017		340,840		166,489
Brazilian Government International Bond
8.250% due 01/20/2034	$	100		123
12.500% due 01/05/2016	BRL	20,000		12,475
12.500% due 01/05/2022		40,750		24,848
Brazilian Government International CPI Linked Bond
9.892% due 05/15/2017		5,800		5,728
Cia de Saneamento Basico do Estado de Sao Paulo
7.500% due 11/03/2016	$	2,100		2,231
CSN Islands VII Corp.
10.750% due 09/12/2008		2,025		2,045
Embraer Overseas Ltd.
6.375% due 01/24/2017		1,200		1,173
ISA Capital do Brasil S.A.
7.875% due 01/30/2012		1,300		1,349
8.800% due 01/30/2017		1,500		1,564
Total Brazil (Cost $455,768)				459,991
CANADA 0.2%
General Motors Nova Scotia Finance Co.
6.850% due 10/15/2008	$	1,980		1,921
Total Canada (Cost $1,972)				1,921
CAYMAN ISLANDS 0.1%
Petrobras International Finance Co.
6.125% due 10/06/2016	$	650		653
Total Cayman Islands (Cost $631)				653
CHILE 0.2%
Banco Santander Chile
5.375% due 12/09/2014	$	1,500		1,525
CODELCO, Inc.
5.625% due 09/21/2035		100		89
6.150% due 10/24/2036		100		96
Total Chile (Cost $1,692)				1,710
CHINA 0.1%
China Development Bank
5.000% due 10/15/2015	$	500		490
Citic Resources Finance Ltd.
6.750% due 05/15/2014		600		562
Total China (Cost $1,094)				1,052
COLOMBIA 0.1%
Colombia Government International Bond
9.850% due 06/28/2027	COP	1,800,000		739
Total Colombia (Cost $930)				739
CZECH REPUBLIC 0.7%
Czech Republic Government Bond
3.700% due 06/16/2013	CZK	126,000		7,861
Total Czech Republic (Cost $7,657)				7,861
EGYPT 0.6%
Petroleum Export Ltd.
5.265% due 06/15/2011	$	687	$	682
Petroleum Export Ltd. II
6.340% due 06/20/2011		5,767		5,791
Total Egypt (Cost $6,371)				6,473
EL SALVADOR 0.4%
AES El Salvador Trust
6.750% due 02/01/2016	$	4,250		3,841
El Salvador Government International Bond
8.500% due 07/25/2011		125		134
Total El Salvador (Cost $4,367)				3,975
FRANCE 0.3%
Credit Agricole S.A.
2.694% due 05/28/2010	$	3,400		3,366
Total France (Cost $3,403)				3,366
GUATEMALA 0.5%
Guatemala Government Bond
9.250% due 08/01/2013	$	4,717		5,401
Total Guatemala (Cost $4,781)				5,401
HUNGARY 0.5%
Hungary Government Bond
7.500% due 02/12/2011	HUF	854,000		5,467
Total Hungary (Cost $5,117)				5,467
INDIA 0.3%
ICICI Bank Ltd.
5.750% due 01/12/2012	$	3,200		3,025
Total India (Cost $3,195)				3,025
KAZAKHSTAN 0.9%
Intergas Finance BV
6.375% due 05/14/2017	$	4,000		3,570
6.875% due 11/04/2011		500		494
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		5,990		5,776
Total Kazakhstan (Cost $10,519)				9,840
MEXICO 14.2%
America Movil SAB de C.V.
5.500% due 03/01/2014	$	5,000		4,945
5.750% due 01/15/2015		5,900		5,871
8.460% due 12/18/2036	MXN	10,900		866
C5 Capital SPV Ltd.
6.196% due 12/01/2049	$	400		387
C8 Capital SPV Ltd.
6.640% due 12/31/2049		600		558
C10 Capital SPV Ltd.
6.722% due 12/18/2049		2,000		1,859
6.722% due 12/31/2049		3,100		2,856
Cablemas S.A. de C.V.
9.375% due 11/15/2015		5,000		5,475
Desarrolladora Homex SAB de C.V.
7.500% due 09/28/2015		10,300		10,403
Hipotecaria Su Casita S.A.
8.500% due 10/04/2016		500		500
Kansas City Southern de Mexico S.A. de C.V.
9.375% due 05/01/2012		1,000		1,045
Mexican Bonos
8.000% due 12/24/2008	MXN	1,184,000		114,714
	Shares
Mexico Government International Bond Warrants
0.000% due 10/09/2008		4,900		15
	Principal Amount (000s)
Mexico Government International Bond
6.750% due 09/27/2034	$	98		104
Pemex Project Funding Master Trust
4.513% due 10/15/2009		2,000		2,022
6.625% due 06/15/2035		25		25
Telefonos de Mexico SAB de C.V.
4.750% due 01/27/2010		4,400		4,431
8.750% due 01/31/2016	MXN	10,000		916
Vitro SAB de C.V.
8.625% due 02/01/2012	$	700		638
9.125% due 02/01/2017		200		160
Total Mexico (Cost $154,692)				157,790
PANAMA 0.6%
Panama Government International Bond
6.700% due 01/26/2036	$	100		102
9.375% due 04/01/2029		4,787		6,283
Total Panama (Cost $6,541)				6,385
PERU 0.1%
Peru Government International Bond
6.900% due 08/12/2037	PEN	4,000		1,283
8.750% due 11/21/2033	$	100		129
Total Peru (Cost $1,630)				1,412
POLAND 2.8%
Poland Government International Bond
4.750% due 04/25/2012	PLN	23,000		10,055
5.750% due 09/23/2022		48,900		21,244
Total Poland (Cost $27,621)				31,299
QATAR 0.5%
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.832% due 09/30/2016	$	6,000		5,836
Total Qatar (Cost $5,953)				5,836
RUSSIA 5.0%
ABN AMRO Bank for OAO Gazprom
9.625% due 03/01/2013	$	1,050		1,165
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		9,216		9,919
Gaz Capital S.A.
6.212% due 11/22/2016		6,025		5,595
8.625% due 04/28/2034		5,100		5,546
Gazprom International S.A.
7.201% due 02/01/2020		9,118		9,113
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013		3,320		3,293
Mobile Telesystems Finance S.A.
8.000% due 01/28/2012		1,000		1,014
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.875% due 11/29/2010		3,200		3,244
7.175% due 05/16/2013		2,050		2,058
Russia Government International Bond
12.750% due 06/24/2028		100		178
Salomon Brothers AG for OAO Siberian Oil Co.
10.750% due 01/15/2009		1,000		1,030
TNK-BP Finance S.A.
6.125% due 03/20/2012		1,000		948
6.625% due 03/20/2017		4,400		3,905
7.500% due 07/18/2016		3,900		3,711
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		5,300		5,319
Total Russia (Cost $57,801)				56,038
SOUTH AFRICA 2.2%
South Africa Government International Bond
5.250% due 05/16/2013	EUR	10,052		14,924
5.875% due 05/30/2022	$	1,680		1,563
7.500% due 01/15/2014	ZAR	72,000		7,942
Total South Africa (Cost $22,275)				24,429
SOUTH KOREA 0.2%
Korea Development Bank
5.300% due 01/17/2013	$	2,350		2,336
Total South Korea (Cost $2,347)				2,336
SUPRANATIONAL 0.0%
Inter-American Development Bank
8.500% due 03/15/2011	$	120		135
Total Supranational (Cost $134)				135
TRINIDAD AND TOBAGO 0.3%
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022	$	3,300		3,160
Total Trinidad And Tobago (Cost $3,287)				3,160
UKRAINE 1.3%
Colvis Finance Ltd.
8.000% due 02/02/2009	$	2,500		2,514
Ukraine Government International Bond
6.391% due 08/05/2009		11,925		12,104
Total Ukraine (Cost $14,708)				14,618
UNITED STATES 20.2%
Asset-Backed Securities 0.1%
GSAA Trust
2.782% due 03/25/2037	$	700		351
Morgan Stanley Mortgage Loan Trust
2.842% due 04/25/2037		700		408
				759
Corporate Bonds & Notes 9.5%
American Express Credit Corp.
3.882% due 05/27/2010		8,800		8,733
Bank of America Corp.
8.000% due 12/29/2049		13,400		12,586
Bear Stearns Cos., Inc.
3.218% due 07/19/2010		3,041		2,984
Citigroup Funding, Inc.
2.862% due 03/02/2009		3,344		3,319
Citigroup, Inc.
8.400% due 04/29/2049		6,700		6,377
Cytec Industries, Inc.
6.000% due 10/01/2015		1,000		981
Florida Power Corp.
3.078% due 11/14/2008		4,000		3,989
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		1,000		983
5.700% due 01/15/2010		7,990		6,820
7.375% due 10/28/2009		800		729
7.875% due 06/15/2010		200		173
General Electric Capital Corp.
3.323% due 02/01/2011		12,500		12,497
GMAC LLC
3.926% due 05/15/2009		1,450		1,364
3.951% due 09/23/2008		6,860		6,756
5.625% due 05/15/2009		3,180		2,945
5.850% due 01/14/2009		160		152
John Deere Capital Corp.
2.984% due 09/25/2008		11,000		11,000
3.536% due 06/10/2011		3,500		3,499
JPMorgan Chase & Co.
2.886% due 01/17/2011		3,960		3,896
UnitedHealth Group, Inc.
4.070% due 02/07/2011		5,000		4,994
Wells Fargo & Co.
3.342% due 01/29/2010		10,530		10,523
				105,300
Mortgage-Backed Securities 1.0%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		8,514		8,138
Bear Stearns Alt-A Trust
2.702% due 12/25/2046		390		157
Countrywide Home Loan Mortgage Pass-Through Trust
5.372% due 10/20/2035		534		487
MASTR Adjustable Rate Mortgages Trust
2.722% due 05/25/2037		571		397
Merrill Lynch Alternative Note Asset
2.782% due 03/25/2037		700		425
5.660% due 06/25/2037		628		481
Morgan Stanley Capital I
5.692% due 04/15/2049		1,000		945
Structured Asset Mortgage Investments, Inc.
2.782% due 08/25/2036		800		415
				11,445
U.S. Government Agencies 8.9%
Fannie Mae
5.055% due 09/01/2035		512		509
5.500% due 01/01/2037 - 05/01/2037		9,557		9,439
6.000% due 07/01/2031 - 05/01/2038		84,525		85,417
Freddie Mac
5.000% due 05/01/2023		3,986		3,942
				99,307
U.S. Treasury Obligations 0.7%
U.S. Treasury Notes
3.500% due 05/31/2013		7,800		7,866
Total United States (Cost $227,028)				224,677
URUGUAY 0.8%
Uruguay Government International Bond
3.700% due 06/26/2037 (b)	UYU	105,482		4,972
7.500% due 03/15/2015	$	4,000		4,400
Total Uruguay (Cost $8,735)				9,372
VIETNAM 0.1%
Vietnam Government International Bond
6.875% due 01/15/2016	$	600		571
Total Vietnam (Cost $592)				571
SHORT-TERM INSTRUMENTS 4.4%
Certificates of Deposit 0.5%
Unicredito Italiano NY
3.071% due 05/15/2009	$	5,500		5,500
Commercial Paper 1.2%
Rabobank USA Financial Corp.
2.240% due 07/01/2008		11,700		11,700
UBS Finance Delaware LLC
2.650% due 09/10/2008		1,900		1,889
				13,589
Repurchase Agreements 0.2%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		1,883		1,883
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.400% due 05/13/2009 valued at $1,923. Repurchase proceeds are $1,883.)
U.S. Treasury Bills 2.5%
1.789% due 08/28/2008 - 09/25/2008 (a)(c)		27,750		27,603
Total Short-Term Instruments (Cost $48,617)				48,575
Purchased Options (f) 0.0% (Cost $51)				43
Total Investments 100.3% (Cost $1,104,509)			$	1,113,154
Written Options (g) (0.1%) (Premiums $1,451)				(799)
Other Assets and Liabilities (Net) (0.2%)				(2,364)
Net Assets 100.0%			$	1,109,991

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 $27,603 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) Cash of $5,876 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar September Futures	Long	09/2008	80	$	(15	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	788		(863	)
				$	(878	)

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.360	%	08/20/2011	BCLY	$	2,400	$	47
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	1.370	%	08/20/2011	BCLY		2,400		48
Brazilian Government International Bond 12.250% due 03/06/2030	Sell	2.020	%	07/20/2013	LEH		2,230		103
CEMEX SAB de C.V. 9.625% due 10/01/2009	Sell	1.050	%	12/20/2016	JPM		2,100		(240)
Colombia Government International Bond 10.375% due 01/28/2033	Sell	1.070	%	01/20/2012	UBS		6,500		(17)
Cytec Industries, Inc. 6.000% due 10/01/2015	Buy	(1.000	%)	12/20/2015	DUB		1,000		(4)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.270	%	12/20/2011	RBS		10,000		(356)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.520	%	12/20/2011	LEH		8,000		(221)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.525	%	12/20/2011	RBS		8,900		(245)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	1.540	%	12/20/2011	DUB		800		(22)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.280	%	06/20/2013	CITI		3,225		(74)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.330	%	06/20/2013	DUB		3,225		(68)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.360	%	09/20/2016	RBS		4,700		(243)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.385	%	09/20/2016	RBS		600		(30)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.480	%	09/20/2016	RBS		4,500		(199)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	2.320	%	12/20/2016	BCLY		6,500		(368)
Korea Development Bank 5.750% due 09/10/2013	Buy	(0.940	%)	03/20/2013	MSC		2,350		41
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.695	%	01/20/2017	UBS		600		(24)
Multiple Reference Entities of Gazprom	Sell	1.000	%	04/20/2011	JPM		31,000		(564)
Multiple Reference Entities of Gazprom	Sell	1.050	%	04/20/2011	MSC		1,000		(17)
Multiple Reference Entities of Gazprom	Sell	1.140	%	07/20/2011	LEH		2,700		(39)
Multiple Reference Entities of Gazprom	Sell	1.140	%	07/20/2011	MSC		600		(9)
Multiple Reference Entities of Gazprom	Sell	0.860	%	11/20/2011	DUB		10,000		(315)
Multiple Reference Entities of Gazprom	Buy	(2.460	%)	03/20/2012	UBS		2,500		(55)
Multiple Reference Entities of Gazprom	Sell	2.155	%	02/20/2013	BCLY		70,000		736
Multiple Reference Entities of Gazprom	Sell	1.390	%	05/20/2016	MSC		20,500		(1,237)
Multiple Reference Entities of Gazprom	Sell	1.580	%	06/20/2016	CSFB		5,000		(253)
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.430	%	05/20/2012	LEH		2,000		(49)
Peru Government International Bond 8.750% due 11/21/2033	Sell	1.220	%	10/20/2011	MSC		2,000		23
Peru Government International Bond 8.750% due 11/21/2033	Sell	1.840	%	08/20/2012	LEH		4,700		168
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.790	%	07/20/2011	CITI		300		0
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	0.800	%	07/20/2011	LEH		672		(1)
Petroleos Mexicanos 9.500% due 09/15/2027	Sell	1.220	%	04/20/2016	LEH		2,800		(40)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.690	%	03/20/2016	LEH		20,000		(639)
Target Corp. 6.000% due 01/15/2018	Buy	(1.180	%)	03/20/2018	GSC		5,000		(165)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.700	%	03/20/2011	BCLY		11,000		(309)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.500	%	01/20/2012	MLP		1,000		(51)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.480	%	03/20/2012	UBS		2,000		(116)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.590	%	04/20/2012	MSC		1,000		(57)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	1.400	%	05/20/2012	LEH		5,000		(336)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	2.060	%	05/20/2017	LEH		2,000		(271)
Uruguay Government International Bond 7.875% due 01/15/2033	Sell	1.050	%	01/20/2012	DUB		4,000		(15)
Vnesheconom 0.000% due 07/12/2009	Sell	0.650	%	11/20/2008	BCLY		1,700		(6)
								$	(5,489)

⁽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 reference entity. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY	$	5,900	$	32
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	GSC		100		1
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		74,400		1,179
Pay	6-Month Australian Bank Bill	7.250	%	06/15/2013	CSFB	AUD	23,600		(538	)
Pay	6-Month PLN-LIBOR	5.750	%	12/19/2017	BCLY	PLN	5,000		(113	)
Pay	28-Day Mexico Interbank TIIE Banxico	9.920	%	08/12/2015	MSC	MXN	38,000		45
Pay	28-Day Mexico Interbank TIIE Banxico	8.770	%	08/03/2016	CITI		5,700		(30	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.780	%	08/03/2016	BCLY		5,700		(30	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.720	%	09/05/2016	CITI		3,000		(25	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.865	%	09/12/2016	GSC		50,000		(246	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.850	%	09/21/2016	JPM		80,000		(397	)
Pay	28-Day Mexico Interbank TIIE Banxico	8.900	%	09/22/2016	CITI		52,250		(245	)
Pay	BRL-CDI-Compounded	12.780	%	01/04/2010	MSC	BRL	11,600		(136	)
Pay	BRL-CDI-Compounded	13.290	%	01/04/2010	MLP		21,900		(55	)
Pay	BRL-CDI-Compounded	13.840	%	01/04/2010	MLP		21,300		109
Pay	BRL-CDI-Compounded	14.225	%	01/04/2010	BCLY		439,900		(2,413	)
Pay	BRL-CDI-Compounded	10.115	%	01/02/2012	MSC		11,200		(508	)
Pay	BRL-CDI-Compounded	10.575	%	01/02/2012	UBS		106,800		(5,273	)
Pay	BRL-CDI-Compounded	13.845	%	01/02/2012	MSC		79,500		(1,066	)
								$	(9,709	)

(f) Purchased options outstanding on June 30, 2008:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 5-Year Note September Futures	$	125.500	08/22/2008	224	$	2	$	2
Call - CBOT U.S. Treasury 10-Year Note September Futures		134.000	08/22/2008	1,150		21		19
Call - CBOT U.S. Treasury 10-Year Note September Futures		140.000	08/22/2008	315		3		5
Put - CBOT U.S. Treasury 10-Year Note September Futures		93.000	08/22/2008	1,150		21		17
					$	47	$	43

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Fannie Mae 5.500% due 07/01/2038	$	105.500	07/07/2008	$	1,200	$	0	$	0
Call - OTC Fannie Mae 6.000% due 07/01/2038		106.000	07/07/2008		9,300		1		0
Call - OTC Treasury Inflation Protected Securities 2.625% due 07/15/2017		106.500	09/04/2008		27,000		3		0
						$	4	$	0

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	117.000	08/22/2008	1,153	$	657	$	430
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	1,153		794		369
					$	1,451	$	799

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	07/01/2038	$	11,000	$	10,866	$	10,844
Fannie Mae	6.000	%	07/01/2038		118,500		119,680		119,555
Freddie Mac	5.000	%	07/01/2023		4,000		3,941		3,951
U.S. Treasury Notes	3.625	%	12/31/2012		22,400		22,832		22,787
U.S. Treasury Notes	4.250	%	11/15/2017		31,500		31,772		32,421
						$	189,091	$	189,558

⁽²⁾ Market value includes $224 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	AED	53,698	04/2009	$	0	$	(136)	$	(136)
Buy	AUD	341	07/2008		2		0		2
Buy	BRL	259,491	07/2008		16,893		0		16,893
Sell		259,491	07/2008		0		(15,686)		(15,686)
Buy		223,774	12/2008		12,172		0		12,172
Sell		805,061	12/2008		0		(37,958)		(37,958)
Buy	CLP	344,624	07/2008		0		(34)		(34)
Sell		344,624	07/2008		80		0		80
Buy		25,866,243	12/2008		0		(5,774)		(5,774)
Sell		16,384,500	12/2008		2,134		0		2,134
Buy		344,624	05/2009		0		(80)		(80)
Buy	CNY	1,266,627	07/2008		9,593		0		9,593
Sell		1,266,627	07/2008		0		(4,569)		(4,569)
Buy		30,567	10/2008		75		0		75
Sell		30,567	10/2008		0		(39)		(39)
Buy		15,739	11/2008		27		0		27
Buy	CZK	8,071	12/2008		43		0		43
Sell	EUR	7,852	07/2008		0		(127)		(127)
Sell	GBP	1,100	08/2008		0		(12)		(12)
Sell	HKD	945	07/2008		0		0		0
Buy	HUF	895,550	07/2008		948		0		948
Sell		895,550	07/2008		0		(833)		(833)
Buy		243,800	11/2008		24		0		24
Sell	IDR	178,215,000	10/2008		0		(178)		(178)
Buy	ILS	465	11/2008		20		0		20
Buy	KRW	75,052,910	08/2008		0		(7,611)		(7,611)
Sell		75,052,910	08/2008		3,702		0		3,702
Buy	KWD	4,129	04/2009		0		(168)		(168)
Buy	MXN	1,596,003	07/2008		12,672		0		12,672
Sell		1,596,003	07/2008		0		(7,320)		(7,320)
Buy		16,974	11/2008		0		(1)		(1)
Sell		581,540	11/2008		12		(11)		1
Buy	MYR	496,220	08/2008		34		(2,012)		(1,978)
Sell		32,015	08/2008		201		0		201
Buy		37,629	11/2008		0		(4)		(4)
Buy	PHP	6,274,322	08/2008		0		(6,238)		(6,238)
Sell		422,000	08/2008		639		0		639
Buy	PLN	332,553	07/2008		22,983		0		22,983
Sell		332,553	07/2008		0		(8,338)		(8,338)
Buy		600	11/2008		0		0		0
Buy		105,895	05/2009		1,048		0		1,048
Sell	RON	44,023	01/2009		0		(1,902)		(1,902)
Buy	RUB	1,768,126	07/2008		5,986		0		5,986
Sell		1,768,126	07/2008		0		(1,415)		(1,415)
Buy		7,212,479	11/2008		10,290		0		10,290
Sell		4,358,217	11/2008		0		(2,673)		(2,673)
Buy	SAR	54,967	04/2009		0		(137)		(137)
Buy	SGD	607	08/2008		25		0		25
Sell		13,842	08/2008		0		(201)		(201)
Buy		295,184	11/2008		5,343		0		5,343
Buy	SKK	5,396	07/2008		42		0		42
Sell		5,396	07/2008		0		(5)		(5)
Buy		5,396	01/2009		5		0		5
Buy	ZAR	56,647	07/2008		0		(776)		(776)
Sell		56,647	07/2008		0		(208)		(208)
Buy		56,647	12/2008		201		0		201
				$	105,194	$	(104,446)	$	748

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	1,107,348	$	5,806	$	1,113,154
Other Financial Instruments++		(879)		(204,582)		0		(205,461)
Total	$	(879)	$	902,766	$	5,806	$	907,693

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	0	$	5,790	$	4	$	12	$	0	$	5,806
Other Financial Instruments++		0		0		0		0		0		0
Total	$	0	$	5,790	$	4	$	12	$	0	$	5,806

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

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

See Accompanying Notes

Schedule of Investments

High Yield Portfolio

June 30, 2008 (Unaudited)

	Principal Amount (000s)			Value (000s)
BANK LOAN OBLIGATIONS 4.7%
Allison Transmission, Inc.
5.235% due 08/07/2014	$	243		$	217
5.240% due 08/07/2014		1,440			1,289
5.450% due 08/07/2014		1,067			955
5.470% due 08/07/2014		243			217
Biomet, Inc.
5.696% due 03/25/2015		995			977
Community Health Systems, Inc.
4.000% due 07/25/2014		107			101
4.631% due 07/25/2014		503			475
4.899% due 07/25/2014		1,581			1,493
Daimler Finance North America LLC
6.780% due 08/03/2012		13,895			11,509
First Data Corp.
5.231% due 09/24/2014		904			832
5.446% due 09/24/2014		67			61
5.552% due 09/24/2014		27			25
Ford Motor Co.
5.480% due 12/15/2013		2,967			2,402
General Motors Corp.
5.059% due 11/29/2013		1,481			1,244
Georgia-Pacific Corp.
4.399% due 12/20/2012		97			92
4.446% due 12/20/2012		2,311			2,186
4.551% due 12/20/2012		74			70
Hawaiian Telcom Communications, Inc.
5.310% due 06/01/2014		1,127			928
HCA, Inc.
5.051% due 11/18/2013		3,471			3,265
Headwaters, Inc.
4.400% due 04/30/2011		341			327
Idearc, Inc.
4.390% due 11/17/2014		85			68
4.800% due 11/17/2014		1,910			1,533
Metro-Goldwyn-Mayer, Inc.
5.946% due 04/08/2012		2,945			2,424
Mylan Laboratories, Inc.
5.688% due 10/02/2014		821			815
5.938% due 10/02/2014		782			776
6.000% due 10/02/2014		391			388
Nuveen Investments, Inc.
5.381% due 11/13/2014		778			728
5.382% due 11/01/2014		42			39
5.392% due 11/01/2014		680			637
Roundy’s Supermarket, Inc.
5.230% due 10/27/2011		906			872
Telesat Canada
11.000% due 11/01/2015		3,800			3,572
Texas Competitive Electric Holdings Co., LLC
6.234% due 10/10/2014		2,766			2,565
6.478% due 10/10/2014		229			212
Thompson Learning, Inc.
4.880% due 06/27/2014		1,290			1,175
Tribune Co.
5.541% due 05/30/2009		327			314
7.000% due 06/04/2014		596			440
Weather Investment Term
9.984% due 12/21/2011		351			353
Total Bank Loan Obligations (Cost $49,261)					45,576
CORPORATE BONDS & NOTES 84.3%
Banking & Finance 25.1%
AES Red Oak LLC
8.540% due 11/30/2019		700			730
9.200% due 11/30/2029		2,000			2,075
American Express Bank FSB
5.500% due 04/16/2013		3,450			3,378
American Express Co.
7.000% due 03/19/2018		10,600			10,764
American General Finance Corp.
6.900% due 12/15/2017		1,800			1,574
American International Group, Inc.
5.850% due 01/16/2018		2,475			2,326
8.175% due 05/15/2058		2,475			2,338
Bank of America Corp.
8.000% due 12/29/2049		17,450			16,390
Barclays Bank PLC
6.050% due 12/04/2017		1,025			1,008
7.434% due 09/29/2049		1,250			1,175
7.700% due 04/29/2049		7,100			7,260
Caelus Re Ltd.
8.923% due 06/07/2011		250			250
Citigroup Capital XXI
8.300% due 12/21/2057		5,100			4,837
Citigroup, Inc.
8.400% due 04/29/2049		8,425			8,019
Credit Suisse New York, Inc.
5.000% due 05/15/2013		750			731
El Paso Performance-Linked Trust
7.750% due 07/15/2011		6,495			6,577
Ford Motor Credit Co. LLC
5.625% due 10/01/2008		150			147
5.700% due 01/15/2010		3,400			2,902
7.250% due 10/25/2011		3,544			2,749
7.375% due 02/01/2011		5,425			4,406
7.800% due 06/01/2012		17,850			13,820
7.875% due 06/15/2010		500			432
8.625% due 11/01/2010		7,120			6,044
GMAC LLC
3.951% due 09/23/2008		3,000			2,955
6.750% due 12/01/2014		4,505			2,982
7.000% due 02/01/2012		11,175			7,776
7.250% due 03/02/2011		2,350			1,729
8.000% due 11/01/2031		5,880			3,836
Goldman Sachs Group, Inc.
5.950% due 01/18/2018		1,675			1,613
6.750% due 10/01/2037		9,700			8,911
HBOS PLC
6.750% due 05/21/2018		2,400			2,302
Hexion U.S. Finance Corp.
9.750% due 11/15/2014		1,400			1,274
HSBC Holdings PLC
6.500% due 09/15/2037		5,200			4,761
Lehman Brothers Holdings, Inc.
5.625% due 01/24/2013		830			787
6.750% due 12/28/2017		4,725			4,452
6.875% due 05/02/2018		2,325			2,258
7.500% due 05/11/2038		3,600			3,352
LVB Acquisition Merger Sub, Inc.
10.000% due 10/15/2017		3,140			3,368
11.625% due 10/15/2017		13,825			14,724
Merrill Lynch & Co., Inc.
4.966% due 05/12/2010		850			837
6.875% due 04/25/2018		8,975			8,569
Mirage Resorts, Inc.
7.250% due 08/01/2017		4,075			3,535
Morgan Stanley
6.000% due 04/28/2015		7,000			6,712
NSG Holdings LLC
7.750% due 12/15/2025		4,450			4,406
Petroplus Finance Ltd.
6.750% due 05/01/2014		175			159
7.000% due 05/01/2017		175			155
Rabobank Capital Funding Trust
5.254% due 12/29/2049		700			603
Residential Capital LLC
8.125% due 11/21/2008		2,775			2,442
Royal Bank of Scotland Group PLC
7.640% due 03/31/2049		9,200			8,433
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		5,450			5,279
SLM Corp.
3.130% due 07/25/2008		2,400			2,392
5.125% due 08/27/2012		1,250			1,089
Tenneco, Inc.
8.125% due 11/15/2015		945			860
8.625% due 11/15/2014		2,850			2,529
UBS AG
5.750% due 04/25/2018		300			287
5.875% due 12/20/2017		600			585
UBS Preferred Funding Trust V
6.243% due 05/12/2049		2,100			1,844
Universal City Florida Holding Co. I & II
7.623% due 05/01/2010		3,460			3,356
Ventas Realty LP
6.750% due 06/01/2010		30			30
6.750% due 04/01/2017		2,830			2,731
7.125% due 06/01/2015		2,565			2,517
8.750% due 05/01/2009		22			22
Wachovia Corp.
7.980% due 12/31/2049		15,000			13,816
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		1,950			2,057
					242,257
Industrials 44.6%
Actuant Corp.
6.875% due 06/15/2017		2,400			2,370
Allied Waste North America, Inc.
7.250% due 03/15/2015		1,940			1,945
Allison Transmission, Inc.
11.000% due 11/01/2015		3,700			3,330
11.250% due 11/01/2015 (b)		725			631
American Stores Co.
8.000% due 06/01/2026		13,250			13,484
AmeriGas Partners LP
7.125% due 05/20/2016		1,600			1,492
7.250% due 05/20/2015		3,500			3,290
ARAMARK Corp.
6.373% due 02/01/2015		1,250			1,175
8.500% due 02/01/2015		4,190			4,127
ArvinMeritor, Inc.
8.125% due 09/15/2015		10,875			8,591
Berry Plastics Corp.
7.568% due 02/15/2015		4,700			4,524
Berry Plastics Holding Corp.
8.875% due 09/15/2014		1,340			1,166
Bombardier, Inc.
8.000% due 11/15/2014		150			154
Bon-Ton Department Stores, Inc.
10.250% due 03/15/2014		6,250			4,133
Buhrmann U.S., Inc.
8.250% due 07/01/2014		900			983
Cascades, Inc.
7.250% due 02/15/2013		6,875			6,016
Celestica, Inc.
7.875% due 07/01/2011		5,120			5,146
Chart Industries, Inc.
9.125% due 10/15/2015		2,300			2,398
Charter Communications Operating LLC
8.375% due 04/30/2014		7,650			7,287
Chemtura Corp.
6.875% due 06/01/2016		1,625			1,414
Chesapeake Energy Corp.
7.250% due 12/15/2018		2,450			2,395
7.500% due 09/15/2013		750			754
7.625% due 07/15/2013		2,000			2,015
Colorado Interstate Gas Co.
5.950% due 03/15/2015		60			59
Community Health Systems, Inc.
8.875% due 07/15/2015		7,874			7,963
Compagnie Générale de Géophysique-Veritas
7.500% due 05/15/2015		30			30
7.750% due 05/15/2017		3,590			3,612
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		2,425			2,037
Crown Americas LLC & Crown Americas Capital Corp.
7.625% due 11/15/2013		561			562
7.750% due 11/15/2015		3,275			3,291
CSC Holdings, Inc.
6.750% due 04/15/2012		3,900			3,686
7.625% due 04/01/2011		6,175			6,082
7.625% due 07/15/2018		800			740
DaVita, Inc.
7.250% due 03/15/2015		3,350			3,275
Delhaize America, Inc.
8.050% due 04/15/2027		600			650
Delta Air Lines, Inc.
7.779% due 01/02/2012		905			805
Dex Media West LLC
8.500% due 08/15/2010		25			25
Dex Media, Inc.
8.000% due 11/15/2013		400			294
DirecTV Holdings LLC
8.375% due 03/15/2013		225			233
Dynegy Holdings, Inc.
6.875% due 04/01/2011		2,950			2,932
7.500% due 06/01/2015		10,325			9,576
8.750% due 02/15/2012		200			204
EchoStar DBS Corp.
7.000% due 10/01/2013		700			670
7.125% due 02/01/2016		15,690			14,552
El Paso Corp.
7.000% due 06/15/2017		4,150			4,086
8.050% due 10/15/2030		2,225			2,290
Enterprise Products Operating LP
7.034% due 01/15/2068		1,160			1,017
8.375% due 08/01/2066		3,330			3,337
Ferrellgas Partners LP
8.750% due 06/15/2012		7,000			6,895
First Data Corp.
9.875% due 09/24/2015		13,045			11,365
Ford Motor Co.
9.215% due 09/15/2021		800			540
Freeport-McMoRan Copper & Gold, Inc.
8.250% due 04/01/2015		1,250			1,316
8.375% due 04/01/2017		12,200			12,891
Freescale Semiconductor, Inc.
6.651% due 12/15/2014		1,000			795
8.875% due 12/15/2014		4,550			3,720
9.125% due 12/15/2014 (b)		1,975			1,545
Fresenius Medical Care Capital Trust
7.875% due 06/15/2011		2,600			2,704
General Motors Corp.
7.400% due 09/01/2025		145			75
7.700% due 04/15/2016		1,000			610
8.250% due 07/15/2023		8,530			5,011
Georgia-Pacific LLC
7.000% due 01/15/2015		4,000			3,780
7.250% due 06/01/2028		750			630
7.700% due 06/15/2015		1,175			1,116
8.000% due 01/15/2024		9,335			8,682
9.500% due 12/01/2011		170			174
Goodyear Tire & Rubber Co.
7.857% due 08/15/2011		600			599
9.000% due 07/01/2015		4,225			4,236
Harrah’s Operating Co., Inc.
10.750% due 02/01/2016		3,482			2,907
HCA, Inc.
8.750% due 09/01/2010		240			244
9.125% due 11/15/2014		200			205
9.250% due 11/15/2016		29,375			30,330
Health Management Associates, Inc.
6.125% due 04/15/2016		2,180			1,918
Hertz Corp.
8.875% due 01/01/2014		11,370			10,460
Ineos Group Holdings PLC
8.500% due 02/15/2016		10,275			6,807
Intergen NV
9.000% due 06/30/2017		5,030			5,231
JET Equipment Trust
7.630% due 08/15/2012 (a)		152			1
10.000% due 06/15/2012 (a)		373			313
Legrand France S.A.
8.500% due 02/15/2025		670			756
MGM Mirage
7.500% due 06/01/2016		925			765
Nalco Co.
8.875% due 11/15/2013		1,000			1,030
Norampac Industries, Inc.
6.750% due 06/01/2013		1,000			845
Nordic Telephone Co. Holdings ApS
8.875% due 05/01/2016		6,425			6,329
Nortel Networks Ltd.
6.963% due 07/15/2011		3,900			3,705
10.125% due 07/15/2013		8,975			8,818
10.750% due 07/15/2016		500			498
OPTI Canada, Inc.
8.250% due 12/15/2014		685			685
Quebecor Media, Inc.
7.750% due 03/15/2016		10,830			10,126
Qwest Communications International, Inc.
6.176% due 02/15/2009		1,250			1,250
7.250% due 02/15/2011		1,000			971
7.500% due 02/15/2014		10,450			9,980
Reynolds American, Inc.
7.750% due 06/01/2018		1,900			2,001
RH Donnelley Corp.
6.875% due 01/15/2013		175			105
8.875% due 01/15/2016		24,950			15,095
8.875% due 10/15/2017		3,500			2,100
Roseton
7.270% due 11/08/2010		406			410
SandRidge Energy, Inc.
8.000% due 06/01/2018		1,725			1,742
8.625% due 04/01/2015 (b)		6,330			6,520
Seagate Technology HDD Holdings
3.631% due 10/01/2009		3,285			3,211
6.375% due 10/01/2011		2,330			2,266
SemGroup LP
8.750% due 11/15/2015		7,145			6,966
Sensata Technologies BV
8.000% due 05/01/2014		11,570			10,702
Service Corp. International
7.625% due 10/01/2018		2,125			2,130
Smurfit Kappa Funding PLC
7.750% due 04/01/2015		200			183
Sonat, Inc.
7.625% due 07/15/2011		4,065			4,125
Station Casinos, Inc.
7.750% due 08/15/2016		5,887			4,533
Sungard Data Systems, Inc.
9.125% due 08/15/2013		8,665			8,795
Superior Essex Communications LLC
9.000% due 04/15/2012		1,170			1,199
TRW Automotive, Inc.
7.000% due 03/15/2014		7,500			6,544
7.250% due 03/15/2017		1,310			1,107
United Rentals North America, Inc.
6.500% due 02/15/2012		3,100			2,806
Verso Paper Holdings LLC
6.623% due 08/01/2014		500			462
9.125% due 08/01/2014		3,000			2,948
Videotron Ltee
9.125% due 04/15/2018		250			262
West Corp.
9.500% due 10/15/2014		8,400			7,602
Williams Cos., Inc.
7.625% due 07/15/2019		5,700			6,014
Windstream Corp.
8.125% due 08/01/2013		1,000			1,002
8.625% due 08/01/2016		4,695			4,707
Wynn Las Vegas Capital Corp.
6.625% due 12/01/2014		3,250			2,990
					430,213
Utilities 14.6%
AES Corp.
8.000% due 10/15/2017		3,500			3,448
8.000% due 06/01/2020		3,500			3,395
8.875% due 02/15/2011		3,000			3,120
Cincinnati Bell, Inc.
7.000% due 02/15/2015		3,325			3,117
Citizens Communications Co.
6.625% due 03/15/2015		1,950			1,779
7.875% due 01/15/2027		1,100			968
9.000% due 08/15/2031		7,700			6,968
Energy Future Holdings Corp.
10.875% due 11/01/2017		18,600			18,879
11.250% due 11/01/2017 (b)		875			877
Ipalco Enterprises, Inc.
7.250% due 04/01/2016		2,700			2,673
8.625% due 11/14/2011		1,000			1,045
Kinder Morgan Finance Co. ULC
5.700% due 01/05/2016		4,510			4,037
Knight, Inc.
5.150% due 03/01/2015		750			666
Midwest Generation LLC
8.560% due 01/02/2016		13,540			13,981
NGPL Pipe Co. LLC
7.119% due 12/15/2017		6,000			6,149
NRG Energy, Inc.
7.250% due 02/01/2014		10,705			10,250
7.375% due 02/01/2016		8,605			8,121
7.375% due 01/15/2017		3,075			2,914
Oncor Electric Delivery Co.
7.250% due 01/15/2033		500			495
PSEG Energy Holdings LLC
8.500% due 06/15/2011		1,200			1,265
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		5,000			5,012
Qwest Corp.
6.026% due 06/15/2013		1,000			960
6.500% due 06/01/2017		12,505			11,223
8.875% due 03/15/2012		1,750			1,794
Reliant Energy, Inc.
6.750% due 12/15/2014		5,650			5,791
7.875% due 06/15/2017		5,550			5,453
Rural Cellular Corp.
9.875% due 02/01/2010		1,300			1,329
Sprint Capital Corp.
7.625% due 01/30/2011		1,750			1,720
Sprint Nextel Corp.
6.000% due 12/01/2016		3,400			2,929
Tenaska Alabama Partners LP
7.000% due 06/30/2021		1,483			1,409
Texas Competitive Electric Holdings Co. LLC
10.250% due 11/01/2015		2,165			2,133
10.500% due 11/01/2016 (b)		500			486
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		3,800			3,904
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (i)		1,851			2,008
					140,298
Total Corporate Bonds & Notes (Cost $863,570)					812,768
CONVERTIBLE BONDS & NOTES 1.6%
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		3,075			1,953
Chesapeake Energy Corp.
2.250% due 12/15/2038		4,700			5,423
2.500% due 05/15/2037		325			578
CMS Energy Corp.
2.875% due 12/01/2024		650			769
Deutsche Bank AG
0.000% due 07/14/2008		325			129
0.000% due 09/29/2008		100			40
0.000% due 10/24/2008		200			84
Mylan, Inc.
1.250% due 03/15/2012		875			737
Nortel Networks Corp.
1.750% due 04/15/2012		2,000			1,508
2.125% due 04/15/2014		1,975			1,333
Qwest Communications International, Inc.
3.500% due 11/15/2025		2,850			2,818
Total Convertible Bonds & Notes (Cost $17,306)					15,372
U.S. GOVERNMENT AGENCIES 13.8%
Fannie Mae
5.000% due 03/01/2038 - 07/01/2038		136,976			131,305
6.000% due 07/01/2038		180			181
Freddie Mac
5.500% due 07/01/2038		1,800			1,773
Total U.S. Government Agencies (Cost $131,646)					133,259
MORTGAGE-BACKED SECURITIES 0.2%
American Home Mortgage Assets Trust
2.712% due 09/25/2046		1,161			628
Countrywide Alternative Loan Trust
2.742% due 07/25/2046		500			176
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.000% due 10/25/2018		604			573
Nomura Asset Acceptance Corp.
6.138% due 03/25/2047		500			386
Total Mortgage-Backed Securities (Cost $1,875)					1,763
ASSET-BACKED SECURITIES 0.3%
Credit-Based Asset Servicing & Securitization LLC
2.592% due 04/25/2036		943			927
CSAB Mortgage-Backed Trust
6.172% due 06/25/2036		900			750
Ford Credit Auto Owner Trust
3.891% due 06/15/2012		1,700			1,717
Total Asset-Backed Securities (Cost $3,338)					3,394
FOREIGN CURRENCY-DENOMINATED ISSUES 1.9%
Amadeus Global Travel Distribution S.A.
6.959% due 04/08/2013	EUR	1,454			2,115
Bombardier, Inc.
7.250% due 11/15/2016		775			1,168
Chesapeake Energy Corp.
6.250% due 01/15/2017		2,000			2,881
Lighthouse International Co. S.A.
8.000% due 04/30/2014		265			313
Nordic Telephone Co. Holdings ApS
6.340% due 11/30/2013		365			560
6.565% due 11/30/2014		440			677
8.250% due 05/01/2016		1,900			2,737
OI European Group BV
6.875% due 03/31/2017		300			446
Societe Generale
6.999% due 12/29/2049		900			1,268
UBS AG
7.152% due 12/29/2049		3,100			4,309
UPC Holding BV
7.750% due 01/15/2014		605			848
8.625% due 01/15/2014		400			583
Total Foreign Currency-Denominated Issues (Cost $16,749)					17,905
	Shares
CONVERTIBLE PREFERRED STOCKS 1.6%
American International Group, Inc.
8.500% due 08/01/2011		16,900			1,002
Bank of America Corp.
7.250% due 12/31/2049		8,500			7,514
Citigroup, Inc.
6.500% due 12/31/2049		25,000			1,094
Fannie Mae
5.375% due 12/31/2049		3			181
Freeport-McMoRan Copper & Gold, Inc.
6.750% due 05/01/2010		12,800			2,149
General Motors Corp.
5.250% due 03/06/2032		91,000			1,267
Lehman Brothers Holdings, Inc.
8.160% due 05/30/2009		4,000			228
Merrill Lynch & Co., Inc.
9.700% due 05/20/2009		16,000			879
Wachovia Corp.
7.500% due 12/31/2049		1,800			1,594
Total Convertible Preferred Stocks (Cost $17,965)					15,908
		Principal Amount (000s	)
SHORT-TERM INSTRUMENTS 3.2%
Commercial Paper 2.7%
Federal Home Loan Bank
2.000% due 07/01/2008	$	1,100			1,100
UBS Finance Delaware LLC
2.635% due 09/03/2008		1,900			1,891
Westpac Trust Securities NZ Ltd.
2.770% due 09/18/2008		23,400			23,254
					26,245
Repurchase Agreements 0.2%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		1,829			1,829
(Dated 06/30/2008. Collateralized by Freddie Mac 4.875% due 02/17/2009 valued at $1,869. Repurchase proceeds are $1,829.)
U.S. Treasury Bills 0.3%
1.743% due 09/11/2008 - 09/25/2008 (c)(d)		3,250			3,231
Total Short-Term Instruments (Cost $31,315)					31,305
Purchased Options (g) 2.2% (Cost $16,443)					20,883
Total Investments 113.8% (Cost $1,149,468)				$	1,098,133
Written Options (h) (2.1%) (Premiums $17,236)					(20,384	)
Other Assets and Liabilities (Net) (11.7%)					(113,112	)
Net Assets 100.0%				$	964,637

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) Securities with an aggregate market value of $3,231 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(e) Cash of $4,435 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar June Futures	Long	06/2009	402	$	(49	)
90-Day Eurodollar March Futures	Long	03/2009	402		(43	)
90-Day Eurodollar September Futures	Long	09/2009	576		(352)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	178		(35	)
U.S. Treasury 30-Year Bond September Futures	Short	09/2008	283		(276	)
				$	(755	)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Allied Waste North America, Inc. 7.375% due 04/15/2014	Sell	3.050	%	06/20/2013	JPM	$	250	$	18
ARAMARK Corp. 8.500% due 02/01/2015	Sell	4.500	%	09/20/2013	GSC		600		(14	)
Bon-Ton Department Stores, Inc. 10.250% due 03/15/2014	Sell	3.500	%	09/20/2008	LEH		775		(10)
Celestica, Inc. 7.625% due 07/01/2013	Sell	4.350	%	09/20/2013	CITI		450		(8)
Chrysler Financial 9.360% due 08/03/2012	Sell	5.250	%	09/20/2012	DUB		1,000		(150	)
Community Health Systems, Inc. 8.875% due 07/15/2015	Sell	4.570	%	09/20/2013	GSC		4,050		(48)
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	1.450	%	12/20/2008	CSFB		2,000		(72)
Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	2.750	%	09/20/2008	LEH		1,000		(2)
Freescale Semiconductor, Inc. 8.875% due 12/15/2014	Sell	5.000	%	09/20/2013	CITI		300		(9)
General Motors Corp. 7.125% due 07/15/2013	Sell	5.000	%	03/20/2013	LEH		2,000		(333	)
Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	4.700	%	09/20/2013	CITI		1,000		(2)
Georgia-Pacific LLC 7.750% due 11/15/2029	Sell	4.650	%	06/20/2015	CITI		400		(4)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	03/20/2009	BOA		1,000		66
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	06/20/2009	GSC		2,000		(75	)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	03/20/2010	MLP		1,500		(115)
GMAC LLC 6.875% due 08/28/2012	Sell	2.110	%	03/20/2012	JPM		1,000		(321)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	03/20/2012	DUB		1,000		(109)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	03/20/2012	MLP		3,000		(358)
GMAC LLC 6.875% due 08/28/2012	Sell	7.230	%	12/20/2012	DUB		5,000		(1,150)
GMAC LLC 6.875% due 08/28/2012	Sell	5.000	%	09/20/2013	MLP		1,000		(22)
Nortel Networks Corp. 4.250% due 09/01/2008	Buy	(1.520	%)	06/20/2010	LEH		1,000		53
Nortel Networks Corp. 4.250% due 09/01/2008	Sell	2.050	%	06/20/2011	CITI		1,000		(88)
Nortel Networks Corp. 4.250% due 09/01/2008	Sell	5.000	%	03/20/2013	CITI		300		30
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	3.000	%	12/20/2012	LEH		1,000		(67)
Qwest Capital Funding, Inc. 7.250% due 02/15/2011	Sell	3.290	%	12/20/2014	BOA		1,000		(73	)
Reliant Energy, Inc. 6.750% due 12/15/2014	Sell	3.850	%	09/20/2013	GSC		750		(11	)
Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	3.000	%	09/20/2008	LEH		2,650		(2	)
Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	4.220	%	09/20/2012	CSFB		600		(46)
Sanmina-SCI Corp. 8.125% due 03/01/2016	Sell	5.450	%	09/20/2012	LEH		2,000		(72)
Sprint Nextel Corp. 6.000% due 12/01/2016	Sell	7.150	%	06/20/2009	BCLY		500		23
Station Casinos, Inc. 6.000% due 04/01/2012	Sell	5.000	%	06/20/2012	LEH		225		(10	)
Station Casinos, Inc. 6.000% due 04/01/2012	Sell	5.000	%	06/20/2013	BCLY		1,000		(29	)
Station Casinos, Inc. 6.000% due 04/01/2012	Sell	5.000	%	06/20/2013	GSC		375		(20	)
								$	(3,030	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate	Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. HY9 Index	Sell	4.530%	12/20/2010	MLP	$	4,800	$	206
Dow Jones CDX N.A. HY9 Index	Sell	3.230%	12/20/2012	MLP		5,500		(415)
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	BCLY		2,100		8
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	DUB		35,000		120
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	GSC		6,600		26
Dow Jones CDX N.A. IG10 Index	Buy	(1.550%)	06/20/2013	MSC		6,300		26
							$	(29)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS	$	146,500	$	(42	)
Receive	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		138,400		611
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		27,800		45
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		7,000		(8	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		31,300		(34	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		16,300		(60	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		18,800		(81	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BOA		12,800		(219	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		6,400		27
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		1,100		6
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	BOA		14,000		53
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	CITI		11,800		(138	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2028	GSC		3,700		(6	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		16,300		(569	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		1,600		(20	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		300		(5	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		11,400		(203	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		12,300		(282	)
Receive	6-Month EUR-LIBOR	4.750	%	09/17/2013	JPM	EUR	9,100		297
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	JPM		5,200		110
								$	(518	)

Total Return Swaps

Pay/Receive Total Return on Reference Entity	Reference Entity	Floating Rate(3)		Expiration Date	Counterparty	# of Shares/ Units	Unrealized Appreciation/ (Depreciation)
Receive	Financial Select Sector SPDR Fund	3.157	%	07/23/2008	MLP	100,000	$	(519	)
Receive	Motorola, Inc.	2.907	%	07/23/2008	MLP	7,875		(18	)
Receive	SandRidge Energy, Inc.	3.157	%	07/23/2008	MLP	80,000		1,510
							$	973

⁽³⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009	$	177,500	$	1,722	$	1,799
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		510,000		4,539		7,476
Call - OTC 2-Year Interest Rate Swap	CSFB	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		153,900		1,684		2,256
Call - OTC 2-Year Interest Rate Swap	LEH	3-Month USD-LIBOR	Pay	3.600	%	12/19/2008		55,000		410		290
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		401,200		4,319		5,882
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.000	%	09/18/2009		401,500		3,769		3,180
									$	16,443	$	20,883

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	115.000	08/22/2008	42	$	29	$	38
Call - CBOT U.S. Treasury 10-Year Note September Futures		116.000	08/22/2008	148		117		87
Call - CBOT U.S. Treasury 10-Year Note September Futures		117.000	08/22/2008	543		374		203
Put - CBOT U.S. Treasury 10-Year Note September Futures		109.000	08/22/2008	42		29		5
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	148		110		47
Put - CBOT U.S. Treasury 10-Year Note September Futures		113.000	08/22/2008	543		640		457
					$	1,299	$	837

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 30-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.650	%	07/25/2008	$	20,900	$	221	$	58
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		59,200		1,652		1,901
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		170,000		4,403		6,887
Call - OTC 7-Year Interest Rate Swap	CSFB	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		42,800		1,326		1,734
Call - OTC 7-Year Interest Rate Swap	LEH	3-Month USD-LIBOR	Receive	4.680	%	12/19/2008		18,000		569		415
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		133,700		4,133		5,416
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	09/18/2009		133,700		3,633		3,136
									$	15,937	$	19,547

(i) Restricted securities as of June 30, 2008:

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	$	1,929	$	2,008	0.21%

(j) Short sales outstanding on June 30, 2008:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	5.500	%	07/01/2038	$	1,000	$	994	$	986

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	EUR	12,835	07/2008	$	0	$	(207)		$	(207)
Sell	GBP	4,957	08/2008		0		(54)			(54)
Sell	JPY	57,493	07/2008		0		(9)			(9)
				$	0	$	(270	)	$	(270	)

(l) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	1,002		$	1,094,332		$	2,799		$	1,098,133
Other Financial Instruments++		(755	)		(24,094	)		(150	)		(24,999	)
Total	$	247		$	1,070,238		$	2,649		$	1,073,134

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value		$2,478	$	424	$	6		$(109)		$	0	$	2,799
Other Financial Instruments++		(125)		0		0		(25)			0		(150	)
Total	$	2,353	$	424	$	6	$	(134	)	$	0	$	2,649

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

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

See Accompanying Notes

Schedule of Investments

International Portfolio

June 30, 2008 (Unaudited)

		Principal Amount (000s	)		Value (000s	)
AUSTRALIA 0.1%
Commonwealth Bank of Australia
2.488% due 06/08/2009	$	1,100		$	1,100
Total Australia (Cost $1,100)					1,100
CAYMAN ISLANDS 0.0%
SHL Corp. Ltd.
1.626% due 12/25/2024	JPY	8,784			81
Total Cayman Islands (Cost $79)					81
CROATIA 0.0%
Croatia Government International Bond
4.000% due 07/30/2010	$	682			677
Total Croatia (Cost $679)					677
FINLAND 0.7%
Sampo Housing Loan Bank PLC
2.500% due 09/23/2010	EUR	10,000			14,811
Total Finland (Cost $14,621)					14,811
FRANCE 0.1%
AXA S.A.
3.750% due 01/01/2017	EUR	1,357			2,584
Total France (Cost $1,234)					2,584
IRELAND 0.0%
Bank of Ireland
2.862% due 12/18/2009	$	1,100			1,089
Total Ireland (Cost $1,101)					1,089
JERSEY, CHANNEL ISLANDS 0.6%
Haus Ltd.
4.779% due 12/10/2037	EUR	3,475			5,349
Lloyds TSB Capital
7.375% due 12/29/2049		5,250			8,124
Total Jersey, Channel Islands (Cost $7,986)					13,473
MEXICO 0.0%
Mexico Government International Bond
6.750% due 09/27/2034	$	883			939
Total Mexico (Cost $946)					939
NETHERLANDS 2.9%
Deutsche Telekom International Finance BV
2.981% due 03/23/2009	$	52,630			52,279
Siemens Financieringsmaatschappij NV
2.728% due 08/14/2009		12,150			12,154
Total Netherlands (Cost $64,812)					64,433
NEW ZEALAND 0.2%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	3,523			3,609
Total New Zealand (Cost $1,775)					3,609
NORWAY 0.7%
DnB NOR Boligkreditt
4.375% due 11/15/2010	EUR	10,000			15,377
Total Norway (Cost $15,163)					15,377
PORTUGAL 0.7%
Banco Espirito Santo S.A.
4.375% due 01/25/2011	EUR	10,000		$	15,302
Total Portugal (Cost $15,080)					15,302
SPAIN 0.8%
Bankinter S.A.
5.000% due 05/14/2010	EUR	10,000			15,495
Santander U.S. Debt S.A. Unipersonal
2.861% due 09/19/2008	$	1,100			1,099
Total Spain (Cost $16,422)					16,594
SUPRANATIONAL 0.2%
European Investment Bank
5.500% due 12/07/2009	GBP	2,300			4,576
Total Supranational (Cost $3,280)					4,576
TUNISIA 0.2%
Banque Centrale de Tunisie
7.375% due 04/25/2012	$	500			531
7.500% due 08/06/2009	EUR	1,800			2,866
Total Tunisia (Cost $2,333)					3,397
UNITED KINGDOM 0.3%
Bauhaus Securities Ltd.
5.168% due 10/30/2052	EUR	3,864			5,955
Royal Bank of Scotland Group PLC
2.868% due 07/21/2008	$	1,100			1,100
Total United Kingdom (Cost $4,392)					7,055
UNITED STATES 81.4%
Asset-Backed Securities 13.3%
Accredited Mortgage Loan Trust
2.602% due 04/25/2036	$	976			965
ACE Securities Corp.
2.532% due 07/25/2036		118			118
2.532% due 08/25/2036		98			97
2.572% due 06/25/2037		6,474			6,033
AFC Home Equity Loan Trust
3.192% due 12/22/2027		44			25
American Express Credit Account Master Trust
2.971% due 02/15/2012		297			291
Ameriquest Mortgage Securities, Inc.
2.622% due 03/25/2036		291			290
2.712% due 11/25/2035		905			879
Amortizing Residential Collateral Trust
2.772% due 07/25/2032		58			49
3.182% due 10/25/2031		567			544
Argent Securities, Inc.
2.532% due 10/25/2036		192			187
2.572% due 07/25/2036		6,500			6,182
Asset-Backed Funding Certificates
2.542% due 01/25/2037		277			269
2.832% due 06/25/2034		998			888
Asset-Backed Securities Corp. Home Equity
2.562% due 05/25/2037		2,647			2,607
BA Credit Card Trust
3.051% due 04/15/2013		2,000			1,997
Bear Stearns Asset-Backed Securities Trust
2.532% due 11/25/2036		97			92
2.562% due 10/25/2036		1,088			1,048
2.572% due 04/25/2036		29			29
2.572% due 06/25/2047		4,900			4,751
2.682% due 06/25/2036		12,856			11,809
2.812% due 01/25/2036		727			701
2.932% due 03/25/2043		1,082			1,066
2.972% due 06/25/2036		1,900			1,493
3.142% due 10/25/2032		601			529
BNC Mortgage Loan Trust
2.582% due 05/25/2037		1,526			1,466
Carrington Mortgage Loan Trust
2.532% due 01/25/2037		289			280
2.642% due 01/25/2036		687			681
2.802% due 10/25/2035		1,865			1,733
Chase Credit Card Master Trust
2.641% due 09/15/2011		67,050			66,940
3.271% due 02/15/2011		5,000			4,990
CIT Group Home Equity Loan Trust
2.752% due 06/25/2033		40			37
Citicorp Residential Mortgage Securities, Inc.
2.572% due 03/25/2037		9,778			9,558
Citigroup Mortgage Loan Trust, Inc.
2.511% due 05/15/2036		1,355			1,215
2.532% due 10/25/2036		74			73
2.532% due 11/25/2036		103			102
2.582% due 10/25/2036		500			466
2.592% due 03/25/2037		3,858			3,661
Countrywide Asset-Backed Certificates
2.532% due 01/25/2037		58			58
2.532% due 05/25/2037		1,020			991
2.532% due 03/25/2047		168			166
2.552% due 12/25/2036		305			302
2.552% due 06/25/2037		801			787
2.562% due 06/25/2037		1,891			1,859
2.562% due 10/25/2037		1,310			1,233
2.582% due 07/25/2037		20,000			17,739
2.582% due 08/25/2037		1,600			1,419
2.582% due 09/25/2037		2,720			2,565
2.582% due 05/25/2047		210			201
2.582% due 09/25/2047		7,372			7,204
2.592% due 10/25/2046		2,718			2,668
2.672% due 06/25/2036		9,676			9,068
3.222% due 05/25/2032		153			135
Credit-Based Asset Servicing & Securitization LLC
2.462% due 01/25/2037		1,283			1,239
2.542% due 11/25/2036		346			337
2.572% due 12/25/2037		790			759
CS First Boston Mortgage Securities Corp.
3.102% due 01/25/2032		244			225
CSAB Mortgage-Backed Trust
2.582% due 06/25/2036		18			18
Equifirst Mortgage Loan Trust
2.642% due 10/25/2034		2			2
Equity One Asset-Backed Securities, Inc.
2.782% due 04/25/2034		553			465
Fieldstone Mortgage Investment Corp.
2.572% due 07/25/2036		3,850			3,772
First Franklin Mortgage Loan Asset-Backed Certificates
2.512% due 05/25/2036		42			42
2.532% due 11/25/2036		929			893
2.552% due 02/25/2036		185			185
2.552% due 12/25/2036		1,234			1,146
2.852% due 12/25/2034		79			66
2.862% due 10/25/2034		7			7
Fremont Home Loan Trust
2.532% due 10/25/2036		1,561			1,523
2.542% due 01/25/2037		2,083			1,970
2.552% due 02/25/2037		427			418
2.602% due 04/25/2036		696			693
2.652% due 01/25/2036		102			102
GSAMP Trust
2.522% due 10/25/2046		213			209
2.552% due 09/25/2036		718			706
2.772% due 03/25/2034		43			42
GSR Mortgage Loan Trust
2.582% due 11/25/2030		36			36
HFC Home Equity Loan Asset-Backed Certificates
2.829% due 09/20/2033		1,851			1,738
Home Equity Asset Trust
3.082% due 11/25/2032		1			1
HSI Asset Securitization Corp. Trust
2.532% due 10/25/2036		917			888
2.532% due 12/25/2036		993			952
Indymac Residential Asset-Backed Trust
2.532% due 11/25/2036		138			135
2.542% due 04/25/2037		260			257
2.562% due 07/25/2037		371			366
JPMorgan Mortgage Acquisition Corp.
2.532% due 07/25/2036		629			612
2.552% due 11/25/2036		227			220
2.632% due 03/25/2037		10,000			7,909
Lehman XS Trust
2.562% due 04/25/2046		58			57
2.562% due 06/25/2046		193			187
2.562% due 11/25/2046		240			228
2.632% due 04/25/2037		476			451
Long Beach Mortgage Loan Trust
2.542% due 10/25/2036		221			216
2.762% due 10/25/2034		28			23
MASTR Asset-Backed Securities Trust
2.542% due 10/25/2036		18			18
2.542% due 11/25/2036		295			289
2.592% due 02/25/2036		1,032			1,018
2.612% due 10/25/2036		5,000			4,851
MBNA Credit Card Master Note Trust
2.571% due 12/15/2011		4,800			4,786
Merrill Lynch Mortgage Investors, Inc.
2.552% due 08/25/2036		1,180			1,142
2.552% due 07/25/2037		219			213
2.562% due 09/25/2037		967			944
2.592% due 03/25/2037		7,397			7,268
Morgan Stanley ABS Capital I
2.532% due 09/25/2036		206			204
2.532% due 10/25/2036		1,336			1,290
2.542% due 05/25/2037		1,924			1,878
2.572% due 01/25/2037		20,000			17,673
2.582% due 04/25/2036		3,206			3,168
2.582% due 10/25/2036		10,000			9,050
2.582% due 11/25/2036		20,000			18,072
2.592% due 10/25/2036		600			554
Morgan Stanley Home Equity Loans
2.592% due 02/25/2036		244			243
Nationstar Home Equity Loan Trust
2.542% due 06/25/2037		1,961			1,858
Park Place Securities, Inc.
2.742% due 09/25/2035		185			175
Residential Asset Mortgage Products, Inc.
2.552% due 11/25/2036		114			112
2.562% due 10/25/2036		207			194
Residential Asset Securities Corp.
2.522% due 08/25/2036		66			65
2.552% due 11/25/2036		1,786			1,760
2.562% due 10/25/2036		182			178
Saxon Asset Securities Trust
2.542% due 10/25/2046		159			155
Securitized Asset-Backed Receivables LLC Trust
2.522% due 01/25/2037		755			731
2.532% due 09/25/2036		860			842
Soundview Home Equity Loan Trust
2.522% due 11/25/2036		2			2
2.532% due 10/25/2036		155			153
2.542% due 11/25/2036		1,569			1,532
2.542% due 12/25/2036		38			37
2.562% due 01/25/2037		146			142
2.582% due 10/25/2036		119			118
Structured Asset Securities Corp.
2.532% due 10/25/2036		331			323
2.882% due 05/25/2034		20			17
4.900% due 04/25/2035		46			35
Washington Mutual Asset-Backed Certificates
2.542% due 10/25/2036		393			373
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		374			366
					291,460
Commodity Index-Linked Notes 0.4%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		9,000			8,939
Corporate Bonds & Notes 15.5%
American Express Bank FSB
2.541% due 06/22/2009		8,500			8,438
American Express Credit Corp.
2.510% due 04/06/2009		1,100			1,092
2.531% due 03/02/2009		1,100			1,095
American Honda Finance Corp.
2.774% due 08/05/2008		1,100			1,100
Anadarko Petroleum Corp.
3.176% due 09/15/2009		700			692
AT&T, Inc.
2.884% due 02/05/2010		2,200			2,191
Bank of America Corp.
2.970% due 10/14/2016		10,000			9,057
Bank of America N.A.
2.812% due 12/18/2008		1,750			1,746
Bear Stearns Cos., Inc.
3.199% due 01/30/2009		15,200			15,147
Cadbury Schweppes US Finance LLC
5.125% due 10/01/2013		7,000			6,710
Caterpillar Financial Services Corp.
2.779% due 05/18/2009		1,100			1,097
3.559% due 06/24/2011		2,300			2,299
Charter One Bank N.A.
2.957% due 04/24/2009		3,500			3,491
Cisco Systems, Inc.
2.738% due 02/20/2009		2,200			2,199
Citigroup Funding, Inc.
2.809% due 06/26/2009		25,000			24,659
Citigroup, Inc.
2.831% due 12/28/2009		12,540			12,236
2.848% due 12/26/2008		1,100			1,096
Comcast Corp.
3.010% due 07/14/2009		2,200			2,183
ConocoPhillips Australia Funding Co.
2.810% due 04/09/2009		1,596			1,597
Credit Suisse USA, Inc.
2.876% due 08/15/2010		17,073			16,803
Daimler Finance North America LLC
3.138% due 03/13/2009		26,000			25,925
Dominion Resources, Inc.
2.858% due 11/14/2008		900			888
Florida Power Corp.
3.078% due 11/14/2008		2,200			2,194
General Electric Capital Corp.
2.918% due 10/21/2010		45,400			45,127
General Mills, Inc.
3.038% due 01/22/2010		2,200			2,173
Goldman Sachs Group, Inc.
2.841% due 12/23/2008		900			897
2.891% due 12/22/2008		200			195
3.101% due 06/28/2010		20,320			19,765
HSBC Finance Corp.
2.899% due 06/19/2009		2,200			2,157
2.963% due 01/15/2014		5,000			4,702
3.112% due 06/01/2016		3,000			2,705
International Lease Finance Corp.
3.158% due 04/20/2009		285			282
JPMorgan Chase & Co.
2.532% due 06/26/2009		1,100			1,097
Kroger Co.
5.500% due 02/01/2013		100			100
Lehman Brothers Holdings, Inc.
2.851% due 12/23/2008		700			687
2.966% due 11/10/2009		14,020			13,368
Merrill Lynch & Co., Inc.
2.768% due 08/14/2009		200			194
2.960% due 10/23/2008		900			895
Safeway, Inc.
3.158% due 03/27/2009		1,080			1,073
SLM Corp.
3.130% due 07/25/2008		1,100			1,096
Time Warner, Inc.
2.915% due 11/13/2009		1,100			1,069
U.S. Bancorp
2.512% due 04/28/2009		1,250			1,249
Wachovia Bank N.A.
2.638% due 02/23/2009		400			398
2.841% due 03/23/2009		2,250			2,241
Wachovia Mortgage FSB
2.798% due 05/08/2009		75,000			74,556
2.807% due 03/02/2009		1,100			1,100
Wells Fargo & Co.
2.810% due 01/12/2011		20,530			20,265
					341,326
Mortgage-Backed Securities 8.8%
American Home Mortgage Investment Trust
2.632% due 09/25/2035		38			37
4.290% due 10/25/2034		71			62
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		203			196
Bear Stearns Adjustable Rate Mortgage Trust
4.550% due 08/25/2035		557			541
4.625% due 10/25/2035		373			358
Bear Stearns Alt-A Trust
5.644% due 08/25/2036		124			103
5.916% due 02/25/2036		357			276
Bear Stearns Mortgage Funding Trust
2.552% due 02/25/2037		2,385			2,116
CC Mortgage Funding Corp.
2.662% due 07/25/2036		331			242
Citigroup Mortgage Loan Trust, Inc.
4.679% due 08/25/2035		349			316
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		136			136
Countrywide Alternative Loan Trust
2.562% due 09/20/2046		108			106
2.642% due 02/25/2047		443			312
2.662% due 02/20/2047		15,200			10,698
2.662% due 05/25/2047		2,714			1,903
2.672% due 08/25/2046		654			459
2.672% due 11/25/2046		1,120			798
2.689% due 03/20/2046		1,345			955
2.742% due 12/25/2035		256			198
2.762% due 12/25/2035		902			675
2.762% due 02/25/2037		430			314
2.782% due 08/25/2035		1,539			1,150
2.782% due 12/25/2035		2,695			2,059
2.802% due 11/25/2035		17,537			13,366
2.832% due 09/25/2035		5,702			4,294
Countrywide Home Loan Mortgage Pass-Through Trust
2.712% due 05/25/2035		572			435
2.772% due 03/25/2035		2,583			1,999
2.772% due 04/25/2035		32			24
2.782% due 03/25/2035		198			167
2.802% due 03/25/2035		13,857			10,745
2.812% due 02/25/2035		44			35
2.862% due 09/25/2034		53			44
4.708% due 08/25/2034		226			215
Credit Suisse Mortgage Capital Certificates
5.311% due 12/15/2039		500			471
CS First Boston Mortgage Securities Corp.
6.500% due 04/25/2033		93			87
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.492% due 10/25/2036		168			165
Downey Savings & Loan Association Mortgage Loan Trust
2.692% due 03/19/2045		2,547			1,979
2.742% due 08/19/2045		939			726
2.812% due 08/19/2045		5,854			4,553
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		138			136
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		2,779			2,444
2.562% due 01/25/2047		1,638			1,555
2.712% due 06/25/2045		5,807			4,803
GSR Mortgage Loan Trust
6.000% due 03/25/2032		3			3
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		5,957			5,420
2.672% due 01/19/2038		1,325			949
2.702% due 05/19/2035		2,785			2,115
2.722% due 06/19/2035		760			572
2.722% due 01/19/2036		404			313
2.722% due 03/19/2037		5,020			3,542
2.732% due 01/19/2036		6,429			4,821
2.792% due 11/19/2035		911			694
2.812% due 09/19/2035		71			53
2.822% due 06/20/2035		235			182
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		6,826			6,380
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		265			247
2.582% due 01/25/2037		228			214
JPMorgan Chase Commercial Mortgage Securities Corp.
5.429% due 12/12/2043		300			285
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		59			56
MLCC Mortgage Investors, Inc.
2.851% due 03/15/2025		14			11
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		116			95
Residential Accredit Loans, Inc.
2.582% due 09/25/2046		237			162
2.692% due 04/25/2046		415			297
2.782% due 08/25/2035		315			244
Sequoia Mortgage Trust
2.742% due 10/20/2034		1,338			1,255
2.829% due 07/20/2033		3,414			3,058
2.832% due 10/19/2026		62			59
Structured Asset Mortgage Investments, Inc.
2.552% due 08/25/2036		175			171
2.772% due 07/19/2034		21			18
TBW Mortgage-Backed Pass-Through Certificates
2.582% due 09/25/2036		93			89
Thornburg Mortgage Securities Trust
2.592% due 11/25/2046		397			380
2.602% due 03/25/2046		2,000			1,983
2.602% due 09/25/2046		358			345
2.722% due 10/25/2045		1,665			1,659
2.752% due 03/25/2044		366			331
Wachovia Bank Commercial Mortgage Trust
2.551% due 06/15/2020		37,327			34,559
2.561% due 09/15/2021		549			518
WaMu Mortgage Pass-Through Certificates
2.562% due 08/25/2046		11			11
2.712% due 04/25/2045		278			219
2.772% due 10/25/2045		107			83
2.792% due 01/25/2045		69			54
2.802% due 01/25/2045		66			55
2.802% due 07/25/2045		76			61
3.022% due 12/25/2027		187			171
4.338% due 12/25/2046		437			367
4.361% due 02/27/2034		47			44
4.528% due 08/25/2046		59,414			45,486
4.728% due 11/25/2042		13			12
4.780% due 10/25/2046		149			116
4.928% due 08/25/2042		52			47
5.028% due 11/25/2046		1,252			1,024
Wells Fargo Mortgage-Backed Securities Trust
3.539% due 09/25/2034		1,106			1,053
4.500% due 11/25/2018		226			219
4.950% due 03/25/2036		452			435
5.577% due 04/25/2036		86			85
					192,875
U.S. Government Agencies 43.4%
Fannie Mae
2.602% due 03/25/2034		48			46
2.632% due 08/25/2034		30			29
2.832% due 09/25/2042		149			138
2.882% due 06/25/2029		30			30
4.205% due 11/01/2034		234			238
4.500% due 05/25/2015 - 02/25/2021		1,611			1,615
4.940% due 12/01/2034		75			75
5.000% due 12/01/2036 - 06/01/2038		288,436			277,050
5.500% due 09/25/2024 - 11/01/2037		390,393			385,474
6.000% due 06/01/2031 - 07/25/2044		232,842			235,316
6.500% due 05/01/2028 - 07/01/2029		350			364
7.000% due 09/25/2023		110			117
7.149% due 12/01/2030		6			7
8.800% due 01/25/2019		153			169
Freddie Mac
2.632% due 09/25/2035		5,667			5,594
2.701% due 02/15/2019		33,699			33,039
2.762% due 09/25/2031		92			91
2.921% due 12/15/2031		8			8
4.500% due 04/15/2013 - 02/15/2020		1,202			1,200
4.994% due 10/25/2044 - 02/25/2045		432			415
5.000% due 03/15/2016 - 03/15/2025		1,700			1,722
5.194% due 07/25/2044		93			87
5.408% due 10/01/2036		406			406
6.500% due 07/15/2028		2,475			2,599
Ginnie Mae
5.125% due 11/20/2022 - 11/20/2024		971			977
5.375% due 03/20/2022 - 02/20/2025		217			218
5.625% due 08/20/2022 - 09/20/2026		601			608
6.000% due 08/20/2034		629			643
6.375% due 04/20/2022 - 06/20/2030		2,022			2,063
7.500% due 09/15/2025 - 11/15/2030		2,509			2,694
8.500% due 05/15/2028 - 07/15/2030		26			29
Small Business Administration
4.625% due 02/01/2025		152			146
5.090% due 10/01/2025		85			83
					953,290
Total United States (Cost $1,849,085)					1,787,890
SHORT-TERM INSTRUMENTS 24.2%
Certificates Of Deposit 1.8%
Barclays Bank PLC
2.798% due 03/13/2009	$	26,025			25,995
Calyon Financial, Inc.
5.266% due 06/29/2010		15,000			14,837
					40,832
Commercial Paper 10.4%
DnB NOR Bank ASA
2.750% due 09/05/2008		78,800			78,401
Federal Home Loan Bank
2.000% due 07/01/2008		3,800			3,800
UBS Finance Delaware LLC
2.650% due 09/10/2008		5,800			5,768
Unicredito Italiano SpA
3.030% due 08/06/2008		61,500			61,314
Westpac Banking Corp.
2.710% due 08/06/2008		78,900			78,686
					227,969
Repurchase Agreements 0.0%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		227			227
(Dated 06/30/2008. Collateralized by Fannie Mae 0.000% due 10/31/2008 valued at $233. Repurchase proceeds are $227.)
France Treasury Bills 0.1%
3.808% due 07/17/2008	EUR	2,000			3,144
U.S. Treasury Bills 11.9%
1.862% due 08/28/2008 - 09/25/2008 (a)(b)	$	262,250			260,845
Total Short-Term Instruments (Cost $533,647)					533,017
Purchased Options (e) 0.3% (Cost $5,124)					6,411
Total Investments 113.4% (Cost $2,538,859)				$	2,492,415
Other Assets and Liabilities (Net) (13.4%)					(294,300	)
Net Assets 100.0%				$	2,198,115

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 $256,612 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(c) Cash of $7,545 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
U.S. Treasury 2-Year Note September Futures	Long	09/2008	41	$	(7)
U.S. Treasury 5-Year Note September Futures	Long	09/2008	14		(7)
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	15		40
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	3,500		(12,066)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	2,500		(8,382)
				$	(20,422)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Cadbury Schweppes US Finance LLC 5.125% due 10/01/2013	Buy	(0.460	%)	12/20/2013	BOA	$	7,000	$	125
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.800	%	03/20/2009	CITI		2,100		(1	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.935	%	12/20/2010	BCLY		6,000		(59	)
								$	65

⁽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 reference entity. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	BCLY	AUD	133,000	$	(1,276)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	CITI		295,000		(2,839)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	DUB		567,000		(4,110)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	MSC		66,000		(434)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	UBS		489,000		(4,664)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	CITI		786,800		(2,399)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	DUB		500,000		(846)
Pay	3-Month Australian Bank Bill	7.500	%	03/15/2010	UBS		213,200		(656)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC	$	500		(1)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		10,700		17
Pay	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		2,600		53
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.960	%	04/05/2012	BCLY	EUR	1,000		(58)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.958	%	04/10/2012	JPM		700		(43	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	DUB		AUD 650,000		(5,233	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	LEH		500,000		(4,956	)
Pay	6-Month Australian Bank Bill	7.500	%	03/15/2011	MSC		500,000		(3,192	)
Pay	6-Month Australian Bank Bill	7.250	%	06/16/2011	BCLY		790,000		(9,388	)
Pay	6-Month Australian Bank Bill	7.250	%	06/16/2011	DUB		1,260,000		(14,772	)
Pay	6-Month Australian Bank Bill	7.250	%	06/16/2011	MSC		100,000		(1,191	)
Pay	6-Month Australian Bank Bill	7.250	%	06/16/2011	UBS		568,500		(6,551	)
Pay	6-Month EUR-LIBOR	4.000	%	12/15/2014	JPM	EUR	6,500		(513)
Pay	6-Month EUR-LIBOR	4.000	%	12/15/2014	LEH		6,500		(674	)
Pay	6-Month EUR-LIBOR	4.000	%	06/21/2036	GSC		700		(82	)
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY	GBP	300,000		(9,488)
Pay	6-Month GBP-LIBOR	6.000	%	09/18/2009	GSC		1,500,000		(1,491	)
Pay	6-Month GBP-LIBOR	5.500	%	09/20/2009	JPM		725,000		(11,385)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	GSC		675,000		(3,749)
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2010	MSC		1,500,000		(6,588)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	DUB		65,100		(3,054	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	GSC		820,000		(13,505)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	HSBC		324,000		(21,373)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	RBS		25,100		(557)
Pay	6-Month GBP-LIBOR	5.000	%	03/20/2013	MSC		80,000		(4,320	)
Pay	6-Month GBP-LIBOR	5.500	%	03/20/2013	GSC		314,600		(15,946	)
Pay	6-Month GBP-LIBOR	5.500	%	03/20/2013	LEH		277,000		(13,583	)
Pay	6-Month GBP-LIBOR	5.500	%	03/20/2013	MSC		39,300		(1,940	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	BCLY		100,000		(8,597	)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		300,000		(27,182)
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		400,000		(33,809)
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	BCLY		32,600		2,041
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	CITI		32,700		1,729
Receive	6-Month GBP-LIBOR	5.000	%	09/17/2018	HSBC		34,700		2,006
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		151,100		8,794
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	CSFB		20,000		473
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	DUB		21,600		1,317
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	GSC		521,800		(10,607)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	HSBC		123,000		7,267
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	JPM		36,000		2,174
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	MSC		16,000		967
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	HSBC		25,200		3,825
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2036	RBS		14,900		1,955
Receive	6-Month GBP-LIBOR	5.000	%	03/20/2038	GSC		83,500		(3,870)
								$	(222,304	)

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

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	$	633
Put - OTC U.S. dollar versus Japanese yen	105.200	03/31/2010		17,000		716		1,155
Call - OTC U.S. dollar versus Japanese yen	105.400	03/31/2010		44,000		1,846		1,594
Put - OTC U.S. dollar versus Japanese yen	105.400	03/31/2010		44,000		1,846		3,029
					$	5,124	$	6,411

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value
Fannie Mae	5.000	%	07/01/2023	$	1,800	$	1,771	$	1,780
Fannie Mae	5.000	%	06/01/2038		150,000		147,469		143,649
Fannie Mae	5.000	%	07/01/2038		150,000		143,766		143,789
Fannie Mae	5.500	%	07/01/2038		424,300		421,762		418,267
Fannie Mae	6.000	%	07/01/2038		301,500		304,503		304,185
Freddie Mac	5.500	%	07/01/2038		130		128		128
						$	1,019,399	$	1,011,798

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)		Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	82,221	07/2008	$	714	$	0	$	714
Sell		13,643	07/2008		0		(164)		(164)
Buy		31,000	08/2008		104		0		104
Sell		10,847	08/2008		0		0		0
Buy	BRL	363,419	07/2008		30,986		0		30,986
Sell		363,419	07/2008		0		(5,800)		(5,800)
Buy		324,968	12/2008		3,398		0		3,398
Sell		78,562	12/2008		0		(3,786)		(3,786)
Buy	CAD	1,150	08/2008		0		(9)		(9)
Sell	EUR	87,861	07/2008		0		(1,421)		(1,421)
Buy	GBP	15,000	07/2008		594		0		594
Sell		142,317	08/2008		0		(1,893)		(1,893)
Sell	JPY	2,481,130	07/2008		0		(387)		(387)
Buy	KRW	189,158,204	08/2008		0		(24,037)		(24,037)
Sell		168,820,010	08/2008		862		(19)		843
Buy	MXN	2,517,555	07/2008		21,602		0		21,602
Sell		2,517,555	07/2008		0		(16,804)		(16,804)
Buy		489	11/2008		0		0		0
Buy	MYR	289,552	11/2008		0		(1,511)		(1,511)
Buy		356,169	02/2009		0		(2,256)		(2,256)
Sell	NZD	3,013	07/2008		0		(14)		(14)
Buy	RUB	3,516,710	07/2008		5,428		0		5,428
Sell		3,516,710	07/2008		0		(1,911)		(1,911)
Buy		2,676,025	11/2008		5,819		0		5,819
Sell		487,809	11/2008		0		(387)		(387)
Sell		2,124,369	05/2009		0		(1,690)		(1,690)
Buy	SGD	35,386	08/2008		1,079		0		1,079
Buy		301,627	11/2008		1,935		0		1,935
				$	72,521	$	(62,089)	$	10,432

(h) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	2,492,334	$	81	$	2,492,415
Other Financial Instruments++		(20,422)		(1,223,547)		(58)		(1,244,027)
Total	$	(20,422)	$	1,268,787	$	23	$	1,248,388

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	1,299	$	(55)	$	1	$	(24)	$	(1,140)	$	81
Other Financial Instruments++		(39)		0		0		(62)		43		(58)
Total	$	1,260	$	(55)	$	1	$	(86)	$	(1,097)	$	23

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

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

See Accompanying Notes

Schedule of Investments

Investment Grade Corporate Portfolio

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 88.8%
Banking & Finance 62.4%
ABN AMRO Bank NV
3.162% due 09/18/2013	$	1,700	$	1,691
ABX Financing Co.
6.350% due 10/15/2036		400		380
AFLAC, Inc.
6.500% due 04/15/2009		1,000		1,020
AGFC Capital Trust I
6.000% due 01/15/2067		3,080		2,450
Allstate Life Global Funding II
3.328% due 05/21/2010		24,800		24,655
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		20,000		19,951
American Express Bank FSB
5.500% due 04/16/2013		25,000		24,480
6.000% due 09/13/2017		20,200		19,551
American Express Centurion Bank
6.000% due 09/13/2017		20,000		19,358
American Express Co.
6.150% due 08/28/2017		2,000		1,960
6.800% due 09/01/2066		1,280		1,186
7.000% due 03/19/2018		40,000		40,619
8.150% due 03/19/2038		12,000		13,393
American Express Credit Corp.
5.875% due 05/02/2013		46,500		46,296
American International Group, Inc.
5.450% due 05/18/2017		8,090		7,416
5.850% due 01/16/2018		27,750		26,081
6.250% due 05/01/2036		5,000		4,382
6.250% due 03/15/2037		16,000		12,585
8.175% due 05/15/2058		116,500		110,050
Anadarko Finance Co.
6.750% due 05/01/2011		2,700		2,809
AvalonBay Communities, Inc.
6.125% due 11/01/2012		150		151
AXA S.A.
6.463% due 12/14/2018		10,000		8,022
BAC Capital Trust XIV
5.630% due 12/31/2049		20		16
Bank of America Corp.
2.970% due 10/14/2016		5,000		4,529
4.750% due 08/01/2015		2,400		2,253
5.625% due 10/14/2016		300		288
5.750% due 12/01/2017		10,000		9,421
6.000% due 09/01/2017		20,800		20,104
8.000% due 12/29/2049		97,490		91,567
8.125% due 12/29/2049		75,000		70,988
Bank of America N.A.
6.100% due 06/15/2017		25,000		24,261
Barclays Bank PLC
5.450% due 09/12/2012		30,000		30,388
6.050% due 12/04/2017		20,700		20,355
6.860% due 09/29/2049		360		323
7.434% due 09/29/2049		21,400		20,124
7.700% due 04/29/2049		40,000		40,900
Bear Stearns Cos., Inc.
5.550% due 01/22/2017		6,300		5,840
6.400% due 10/02/2017		50,000		49,563
6.950% due 08/10/2012		25,000		26,027
7.250% due 02/01/2018		25,000		26,170
BNP Paribas
2.877% due 12/09/2016		1,000		963
5.186% due 06/29/2049		17,700		15,415
Canadian Oil Sands Ltd.
4.800% due 08/10/2009		7,000		7,027
Caterpillar Financial Services Corp.
3.559% due 06/24/2011		26,500		26,486
CIT Group, Inc.
2.935% due 02/13/2012		10,000		7,973
3.187% due 07/28/2011		5,000		4,082
Citigroup Capital XXI
8.300% due 12/21/2057		27,300		25,895
Citigroup, Inc.
2.939% due 01/30/2009		500		495
5.500% due 04/11/2013		24,000		23,457
6.000% due 08/15/2017		19,000		18,180
6.125% due 11/21/2017		55,900		53,816
6.125% due 05/15/2018		35,000		33,603
6.125% due 08/25/2036		13,900		11,806
8.400% due 04/29/2049		81,000		77,101
CNA Financial Corp.
5.850% due 12/15/2014		2,000		1,924
6.000% due 08/15/2011		2,000		2,011
Commonwealth Bank of Australia
6.024% due 03/29/2049		8,015		6,936
Countrywide Financial Corp.
6.250% due 05/15/2016		4,000		3,571
Credit Agricole S.A.
6.637% due 05/29/2049		20,000		16,697
Credit Suisse New York, Inc.
5.000% due 05/15/2013		75,000		73,096
Credit Suisse USA, Inc.
6.125% due 11/15/2011		170		175
Danske Bank A/S
5.914% due 12/29/2049		10,100		9,206
Deutsche Bank AG
6.000% due 09/01/2017		40,000		40,515
FIA Card Services N.A.
7.125% due 11/15/2012		1,300		1,389
Fleet Capital Trust V
3.812% due 12/18/2028		3,000		2,474
General Electric Capital Corp.
5.625% due 05/01/2018		43,800		42,499
5.875% due 01/14/2038		119,300		108,619
6.375% due 11/15/2067		1,005		953
6.750% due 03/15/2032		2,800		2,831
GMAC LLC
4.900% due 07/15/2008		50		50
6.750% due 12/01/2014		100		66
6.875% due 08/28/2012		100		69
8.000% due 11/01/2031		120		78
Goldman Sachs Group, Inc.
2.561% due 12/23/2009		21,000		20,677
2.881% due 12/23/2009		7,700		7,555
2.964% due 02/06/2012		300		285
5.700% due 09/01/2012		800		804
5.750% due 10/01/2016		5,000		4,864
5.950% due 01/18/2018		34,200		32,936
6.150% due 04/01/2018		30,000		29,199
6.250% due 09/01/2017		51,400		50,970
6.450% due 05/01/2036		9,700		8,686
6.750% due 10/01/2037		60,000		55,117
HBOS Capital Funding LP
6.071% due 06/30/2049		13,000		11,261
HBOS PLC
5.375% due 12/29/2049		3,600		3,180
5.920% due 09/29/2049		13,000		9,278
6.750% due 05/21/2018		15,000		14,385
HSBC Bank USA N.A.
4.625% due 04/01/2014		500		476
7.000% due 01/15/2039		34,000		33,411
HSBC Capital Funding LP
4.610% due 12/31/2049		17,150		15,163
HSBC Holdings PLC
6.500% due 05/02/2036		24,500		22,878
6.500% due 09/15/2037		17,600		16,113
6.800% due 06/01/2038		11,200		10,593
7.625% due 05/17/2032		730		757
International Lease Finance Corp.
5.250% due 01/10/2013		5,000		4,368
JPMorgan Chase & Co.
2.926% due 12/21/2011		8,400		8,134
5.750% due 01/02/2013		5,000		5,039
6.000% due 01/15/2018		45,000		43,977
6.400% due 05/15/2038		25,000		23,292
7.900% due 04/29/2049		11,000		10,345
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		50,000		48,725
JPMorgan Chase Capital XIII
3.751% due 09/30/2034		3,000		2,344
JPMorgan Chase Capital XVIII
6.950% due 08/17/2036		2,100		1,947
JPMorgan Chase Capital XX
6.550% due 09/29/2036		2,100		1,825
Kaupthing Bank HF
5.750% due 10/04/2011		3,200		2,593
6.125% due 10/04/2016		2,000		1,463
Landsbanki Islands HF
3.338% due 08/25/2009		2,000		1,872
Lehman Brothers Holdings, Inc.
5.750% due 01/03/2017		5,000		4,425
6.875% due 05/02/2018		50,000		48,558
6.875% due 07/17/2037		4,700		4,062
7.500% due 05/11/2038		15,000		13,969
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		2,000		1,988
MBNA Capital B
3.673% due 02/01/2027		2,000		1,601
Merrill Lynch & Co., Inc.
4.966% due 05/12/2010		42,200		41,553
5.700% due 05/02/2017		5,400		4,769
6.050% due 08/15/2012		29,000		28,418
6.400% due 08/28/2017		33,000		30,671
6.875% due 04/25/2018		57,340		54,743
MetLife, Inc.
6.400% due 12/15/2036		20		18
Metropolitan Life Global Funding I
5.125% due 04/10/2013		9,000		8,875
Mizuho Financial Group Cayman Ltd.
5.790% due 04/15/2014		1,500		1,532
Morgan Stanley
3.184% due 10/18/2016		7,000		6,083
3.193% due 10/15/2015		2,000		1,755
4.750% due 04/01/2014		5,000		4,566
5.450% due 01/09/2017		5,000		4,555
5.550% due 04/27/2017		930		834
5.750% due 08/31/2012		40,000		39,734
5.750% due 10/18/2016		10,000		9,270
5.950% due 12/28/2017		11,000		10,017
6.000% due 04/28/2015		90,000		86,293
6.625% due 04/01/2018		27,500		26,139
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		25,630		22,268
National Australia Bank Ltd.
5.350% due 06/12/2013		30,000		29,999
National City Bank of Pennsylvania
7.250% due 10/21/2011		853		778
Pacific Life Global Funding
5.150% due 04/15/2013		9,000		8,913
Principal Life Income Funding Trusts
5.300% due 04/24/2013		10,000		10,015
Rabobank Capital Funding II
5.260% due 12/31/2049		8,500		7,800
Rabobank Capital Funding Trust
5.254% due 12/29/2049		19,000		16,358
RBS Capital Trust III
5.512% due 09/29/2049		26,000		22,641
Resona Bank Ltd.
5.850% due 09/29/2049		6,900		5,949
Resona Preferred Global Securities Cayman Ltd.
7.191% due 12/29/2049		360		333
Rockies Express Pipeline LLC
5.100% due 08/20/2009		50,000		50,050
Royal Bank of Scotland Group PLC
2.916% due 04/11/2016		40,000		37,374
6.990% due 10/29/2049		14,850		13,399
9.118% due 03/31/2049		9,670		9,749
Santander Issuances S.A Unipersonal
5.805% due 06/20/2016		440		425
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		12,700		12,301
SLM Corp.
3.060% due 07/27/2009		9,140		8,571
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		5,000		4,253
State Street Capital Trust III
8.250% due 12/29/2049		3,000		3,060
State Street Capital Trust IV
3.776% due 06/15/2037		15,500		11,959
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		5,600		5,037
SunTrust Capital VIII
6.100% due 12/15/2036		180		144
Tiers Trust
8.125% due 09/15/2017		666		774
UBS AG
3.704% due 05/05/2010		500		498
5.750% due 04/25/2018		25,000		23,934
5.875% due 12/20/2017		11,440		11,164
UBS Preferred Funding Trust V
6.243% due 05/12/2049		12,000		10,539
UFJ Finance Aruba AEC
6.750% due 07/15/2013		26,512		27,894
USB Capital IX
6.189% due 04/15/2049		14,300		10,874
Wachovia Bank N.A.
2.841% due 03/23/2009		800		797
3.619% due 05/14/2010		20,000		19,907
Wachovia Capital Trust III
5.800% due 03/15/2042		22,810		15,519
Wachovia Corp.
2.732% due 12/01/2009		2,200		2,154
5.500% due 05/01/2013		59,000		56,551
5.750% due 02/01/2018		25,000		22,859
7.980% due 12/31/2049		15,000		13,816
Wells Fargo & Co.
2.861% due 03/23/2010		400		397
Wells Fargo Capital X
5.950% due 12/15/2036		21,660		19,756
Wells Fargo Capital XIII
7.700% due 12/29/2049		30,800		30,660
Williams Cos., Inc. Credit Linked Certificate Trust
6.123% due 05/01/2009		300		301
6.750% due 04/15/2009		1,100		1,111
Wilmington Trust Co.
10.500% due 07/01/2008 (h)		46		46
Xstrata Finance Canada Ltd.
5.800% due 11/15/2016		5,900		5,578
				2,946,506
Industrials 16.0%
America Movil SAB de C.V.
5.625% due 11/15/2017		50		48
Amgen, Inc.
6.375% due 06/01/2037		1,200		1,151
Anadarko Petroleum Corp.
5.950% due 09/15/2016		4,900		4,917
6.450% due 09/15/2036		10,200		10,114
Apache Corp.
5.625% due 01/15/2017		200		203
6.000% due 01/15/2037		1,000		986
AutoZone, Inc.
5.500% due 11/15/2015		2,500		2,380
6.500% due 07/15/2008		2,000		2,002
Avon Products, Inc.
5.125% due 01/15/2011		3,000		3,050
Barrick Gold Corp.
5.800% due 11/15/2034		2,700		2,329
Baxter International, Inc.
6.250% due 12/01/2037		10,000		10,073
Boston Scientific Corp.
5.450% due 06/15/2014		1,300		1,206
6.000% due 06/15/2011		2,500		2,456
Canadian Natural Resources Ltd.
6.250% due 03/15/2038		500		472
6.500% due 02/15/2037		2,000		1,959
6.750% due 02/01/2039		4,000		4,030
Cardinal Health, Inc.
3.061% due 10/02/2009		2,600		2,554
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		200		220
9.455% due 11/15/2022		350		425
Comcast Cable Communications LLC
6.875% due 06/15/2009		2,000		2,054
Comcast Corp.
5.300% due 01/15/2014		7,000		6,798
5.700% due 05/15/2018		5,000		4,757
5.875% due 02/15/2018		25,000		24,120
5.900% due 03/15/2016		2,900		2,840
6.500% due 01/15/2017		1,340		1,351
6.950% due 08/15/2037		2,000		1,977
7.050% due 03/15/2033		5,000		5,105
ConocoPhillips
5.200% due 05/15/2018		18,700		18,493
Continental Airlines, Inc.
6.320% due 11/01/2008		15,195		15,085
7.056% due 09/15/2009		5,000		4,862
Covidien International Finance S.A.
6.550% due 10/15/2037		4,300		4,361
Cox Communications, Inc.
7.125% due 10/01/2012		5,100		5,330
7.750% due 11/01/2010		100		105
CSX Corp.
5.300% due 02/15/2014		400		384
CVS Caremark Corp.
2.982% due 06/01/2010		450		439
5.750% due 08/15/2011		2,000		2,051
CVS Pass-Through Trust
6.943% due 01/10/2030		12,899		12,431
Daimler Finance North America LLC
3.218% due 03/13/2009		400		399
5.750% due 09/08/2011		2,000		2,042
6.500% due 11/15/2013		340		353
8.000% due 06/15/2010		270		287
DCP Midstream LLC
5.375% due 10/15/2015		2,000		1,889
Delta Air Lines, Inc.
6.619% due 03/18/2011		1,050		1,014
Devon Energy Corp.
7.950% due 04/15/2032		700		834
Devon Financing Corp. ULC
6.875% due 09/30/2011		400		425
7.875% due 09/30/2031		700		830
Dow Chemical Co.
6.000% due 10/01/2012		1,080		1,121
E.I. Du Pont De Nemours & Co.
5.000% due 01/15/2013		1,600		1,616
El Paso Corp.
6.750% due 05/15/2009		1,106		1,116
7.750% due 06/15/2010		13,533		13,964
7.750% due 01/15/2032		19,185		19,350
7.800% due 08/01/2031		41,285		41,859
8.050% due 10/15/2030		9,200		9,470
El Paso Natural Gas Co.
8.375% due 06/15/2032		3,850		4,327
Enbridge Energy Partners LP
5.875% due 12/15/2016		3,600		3,447
EnCana Corp.
5.900% due 12/01/2017		13,400		13,506
6.500% due 02/01/2038		9,400		9,349
Energy Transfer Partners LP
5.650% due 08/01/2012		8,100		8,177
6.125% due 02/15/2017		800		777
6.625% due 10/15/2036		1,900		1,776
6.700% due 07/01/2018		500		505
7.500% due 07/01/2038		8,800		9,095
Enterprise Products Operating LLC
6.500% due 01/31/2019		5,000		5,044
Enterprise Products Operating LP
5.000% due 03/01/2015		900		850
EOG Resources, Inc.
5.875% due 09/15/2017		20,000		20,190
Fund American Cos., Inc.
5.875% due 05/15/2013		2,500		2,422
Gaz Capital S.A.
6.212% due 11/22/2016		130		122
6.510% due 03/07/2022		150		135
8.146% due 04/11/2018		14,000		14,542
General Electric Co.
5.250% due 12/06/2017		10,000		9,645
General Mills, Inc.
5.700% due 02/15/2017		4,500		4,474
GlaxoSmithKline Capital, Inc.
6.375% due 05/15/2038		23,000		22,937
Hess Corp.
7.300% due 08/15/2031		1,900		2,131
HJ Heinz Finance Co.
6.000% due 03/15/2012		3,000		3,091
Hospira, Inc.
6.050% due 03/30/2017		1,300		1,258
Humana, Inc.
6.450% due 06/01/2016		5,000		4,864
International Business Machines Corp.
5.700% due 09/14/2017		23,400		23,825
Johnson Controls, Inc.
5.250% due 01/15/2011		2,000		2,024
5.500% due 01/15/2016		2,000		1,924
Kellogg Co.
5.125% due 12/03/2012		1,500		1,522
Kern River Funding Corp.
4.893% due 04/30/2018		12,627		12,205
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		5,000		4,887
6.000% due 02/01/2017		2,090		2,071
6.500% due 02/01/2037		300		285
7.125% due 03/15/2012		5,000		5,225
7.300% due 08/15/2033		5,500		5,650
Kraft Foods, Inc.
5.625% due 11/01/2011		2,000		2,020
6.500% due 08/11/2017		6,600		6,629
Kroger Co.
5.500% due 02/01/2013		3,000		3,014
Lockheed Martin Corp.
4.121% due 03/14/2013		1,000		972
Loews Corp.
5.250% due 03/15/2016		2,000		1,940
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (h)		68		68
Mazda Motor Corp.
10.500% due 07/01/2008 (h)		12		12
New Albertson’s, Inc.
8.000% due 05/01/2031		5,000		5,148
News America Holdings, Inc.
9.250% due 02/01/2013		4,800		5,507
News America, Inc.
6.650% due 11/15/2037		10		10
Norfolk Southern Corp.
5.640% due 05/17/2029		77		70
5.750% due 04/01/2018		2,000		1,975
7.800% due 05/15/2027		3		3
Occidental Petroleum Corp.
6.750% due 01/15/2012		500		538
Omnicom Group, Inc.
5.900% due 04/15/2016		3,800		3,724
ONEOK Partners LP
6.850% due 10/15/2037		8,000		7,859
Oracle Corp.
5.750% due 04/15/2018		12,000		12,030
Packaging Corp. of America
4.375% due 08/01/2008		2,800		2,801
Parker Hannifin Employee Stock Ownership Trust
6.340% due 07/15/2008		225		225
Pemex Project Funding Master Trust
3.281% due 12/03/2012		171		168
4.076% due 06/15/2010		21		21
5.750% due 03/01/2018		120		119
7.875% due 02/01/2009		26,375		27,215
9.375% due 12/02/2008		5,968		6,117
Philip Morris International, Inc.
6.375% due 05/16/2038		22,400		21,930
Plains All American Pipeline LP
6.125% due 01/15/2017		1,000		986
6.650% due 01/15/2037		1,700		1,592
Quest Diagnostics, Inc.
7.500% due 07/12/2011		200		212
RadioShack Corp.
7.375% due 05/15/2011		1,900		1,928
Reynolds American, Inc.
6.750% due 06/15/2017		10,400		10,408
Rohm & Haas Co.
6.000% due 09/15/2017		25,000		24,420
Rowan Cos., Inc.
5.880% due 03/15/2012		1,164		1,223
Safeway, Inc.
6.500% due 03/01/2011		300		311
Sealed Air Corp.
6.950% due 05/15/2009		1,500		1,521
Systems 2001 Asset Trust LLC
6.664% due 09/15/2013		2,729		2,809
7.156% due 12/15/2011		816		845
Target Corp.
7.000% due 01/15/2038		10,000		10,298
Teva Pharmaceutical Finance LLC
6.150% due 02/01/2036		800		770
Time Warner Cable, Inc.
5.850% due 05/01/2017		22,800		21,713
6.550% due 05/01/2037		10,100		9,350
Transocean, Inc.
5.250% due 03/15/2013		560		567
6.000% due 03/15/2018		5,000		5,022
Union Pacific Corp.
6.150% due 05/01/2037		1,700		1,635
United Airlines, Inc.
6.071% due 03/01/2013		900		888
6.602% due 09/01/2013		1,174		1,162
8.390% due 01/21/2011 (a)		2,231		6
10.020% due 03/22/2014 (a)		801		372
10.125% due 03/22/2015 (a)		1,907		941
10.850% due 02/19/2015 (a)		865		414
United Technologies Corp.
6.125% due 07/15/2038		11,800		11,910
UnitedHealth Group, Inc.
4.875% due 02/15/2013		140		136
Univision Communications, Inc.
7.850% due 07/15/2011		5,067		4,763
Vale Overseas Ltd.
6.250% due 01/23/2017		310		302
Viacom, Inc.
3.126% due 06/16/2009		3,000		2,969
5.750% due 04/30/2011		3,000		3,010
Vivendi
6.625% due 04/04/2018		11,600		11,546
Wal-Mart Stores, Inc.
4.250% due 04/15/2013		800		797
5.800% due 02/15/2018		10,000		10,388
6.200% due 04/15/2038		1,700		1,678
Walt Disney Co.
2.796% due 09/10/2009		1,500		1,499
Waste Management, Inc.
7.375% due 08/01/2010		90		94
WEA Finance LLC
5.700% due 10/01/2016		2,000		1,872
Wyeth
5.500% due 03/15/2013		2,500		2,555
5.950% due 04/01/2037		1,300		1,261
XTO Energy, Inc.
4.900% due 02/01/2014		5,000		4,900
5.500% due 06/15/2018		6,000		5,749
5.650% due 04/01/2016		800		795
6.100% due 04/01/2036		5,000		4,784
6.250% due 04/15/2013		640		660
6.750% due 08/01/2037		1,500		1,528
7.500% due 04/15/2012		830		892
Yum! Brands, Inc.
6.250% due 04/15/2016		2,500		2,503
6.875% due 11/15/2037		5,700		5,282
				753,350
Utilities 10.4%
AEP Texas Central Co.
6.650% due 02/15/2033		300		290
Alabama Power Co.
5.500% due 10/15/2017		300		303
Appalachian Power Co.
5.650% due 08/15/2012		10,100		10,118
6.375% due 04/01/2036		500		462
AT&T Corp.
7.300% due 11/15/2011		6,947		7,407
8.000% due 11/15/2031		43,200		49,830
AT&T Mobility LLC
6.500% due 12/15/2011		450		468
AT&T, Inc.
5.500% due 02/01/2018		23,000		22,351
5.600% due 05/15/2018		4,300		4,208
6.500% due 09/01/2037		50,000		48,651
Beaver Valley II Funding
9.000% due 06/01/2017		1,349		1,455
Bruce Mansfield Unit
6.850% due 06/01/2034		1,700		1,721
BVPS II Funding Corp.
8.890% due 06/01/2017		1,497		1,595
Carolina Power & Light Co.
6.300% due 04/01/2038		3,600		3,658
CenturyTel, Inc.
8.375% due 10/15/2010		2,100		2,196
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		4		4
Consolidated Edison Co. of New York, Inc.
5.850% due 04/01/2018		2,400		2,416
6.750% due 04/01/2038		10,000		10,406
Consumers Energy Co.
5.000% due 02/15/2012		1,900		1,884
5.000% due 03/15/2015		300		289
5.150% due 02/15/2017		2,500		2,401
5.375% due 04/15/2013		600		601
5.500% due 08/15/2016		2,250		2,223
Deutsche Telekom International Finance BV
5.750% due 03/23/2016		500		489
8.500% due 06/15/2010		3,200		3,387
8.750% due 06/15/2030		11,700		13,483
Dominion Resources, Inc.
5.200% due 01/15/2016		3,000		2,841
5.600% due 11/15/2016		1,800		1,743
5.700% due 09/17/2012		650		661
6.000% due 11/30/2017		500		495
Duke Energy Ohio, Inc.
6.900% due 06/01/2025		2,821		2,959
Embarq Corp.
7.082% due 06/01/2016		780		743
Enel Finance International S.A.
6.250% due 09/15/2017		32,000		32,468
6.800% due 09/15/2037		14,550		14,750
Energy East Corp.
6.750% due 07/15/2036		1,300		1,246
Entergy Arkansas, Inc.
5.400% due 05/01/2018		9,384		8,775
Entergy Gulf States, Inc.
5.250% due 08/01/2015		600		568
Entergy Louisiana LLC
4.670% due 06/01/2010		400		399
Exelon Corp.
6.750% due 05/01/2011		3,050		3,136
FirstEnergy Corp.
7.375% due 11/15/2031		50		55
Florida Power Corp.
3.078% due 11/14/2008		2,300		2,294
5.650% due 06/15/2018		16,800		17,005
6.400% due 06/15/2038		1,000		1,021
FPL Group Capital, Inc.
5.350% due 06/15/2013		5,200		5,279
France Telecom S.A.
7.750% due 03/01/2011		810		859
8.500% due 03/01/2031		600		730
GG1C Funding Corp.
5.129% due 01/15/2014		2,120		2,063
Kentucky Power Co.
6.000% due 09/15/2017		18,600		18,163
MidAmerican Energy Holdings Co.
5.875% due 10/01/2012		240		247
6.500% due 09/15/2037		100		102
7.520% due 09/15/2008		350		353
New Cingular Wireless Services, Inc.
8.125% due 05/01/2012		500		548
NGPL Pipe Co. LLC
7.119% due 12/15/2017		2,500		2,562
7.768% due 12/15/2037		4,200		4,420
Niagara Mohawk Power Corp.
7.750% due 10/01/2008		70		71
Ohio Edison Co.
6.875% due 07/15/2036		3,000		2,939
Ohio Power Co.
6.375% due 07/15/2033		5,500		5,060
PNPP II Funding Corp.
9.120% due 05/30/2016		1,327		1,493
PPL Capital Funding, Inc.
4.330% due 03/01/2009		3,300		3,299
Progress Energy, Inc.
7.100% due 03/01/2011		188		198
7.750% due 03/01/2031		15,550		17,855
PSEG Power LLC
3.750% due 04/01/2009		2,500		2,497
8.625% due 04/15/2031		12,000		14,531
Public Service Co. of Oklahoma
6.625% due 11/15/2037		2,300		2,182
Public Service Electric & Gas Co.
5.300% due 05/01/2018		4,800		4,749
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		13,650		13,309
Qwest Corp.
6.875% due 09/15/2033		9,880		8,200
8.875% due 03/15/2012		6,000		6,150
SCANA Corp.
6.250% due 02/01/2012		10,000		10,305
Sierra Pacific Power Co.
6.750% due 07/01/2037		2,300		2,264
Sprint Capital Corp.
6.375% due 05/01/2009		2,000		2,000
8.375% due 03/15/2012		630		624
Telecom Italia Capital S.A.
5.250% due 10/01/2015		10,350		9,494
7.200% due 07/18/2036		200		194
Telefonica Emisones SAU
3.114% due 02/04/2013		1,770		1,682
5.984% due 06/20/2011		3,300		3,352
United Telecom, Inc.
6.890% due 07/01/2008 (h)		1,000		984
Verizon Communications, Inc.
6.900% due 04/15/2038		1,550		1,540
Verizon Global Funding Corp.
7.250% due 12/01/2010		710		754
Virginia Electric and Power Co.
5.400% due 04/30/2018		35,500		34,370
5.950% due 09/15/2017		20,000		20,154
				489,031
Total Corporate Bonds & Notes (Cost $4,316,474)				4,188,887
CONVERTIBLE BONDS & NOTES 0.1%
ERP Operating LP
3.850% due 08/15/2026		3,800		3,614
Total Convertible Bonds & Notes (Cost $3,838)				3,614
U.S. GOVERNMENT AGENCIES 4.5%
Fannie Mae
5.500% due 01/01/2037 - 04/01/2038		173,860		171,618
Freddie Mac
5.500% due 12/01/2036		43,539		42,967
Ginnie Mae
8.500% due 07/15/2030 - 08/15/2030		74		82
Total U.S. Government Agencies (Cost $219,734)				214,667
MORTGAGE-BACKED SECURITIES 0.2%
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.545% due 01/15/2046		8,600		8,218
Denver Arena Trust
6.940% due 11/15/2019		1,779		1,700
Total Mortgage-Backed Securities (Cost $10,343)				9,918
ASSET-BACKED SECURITIES 0.0%
MASTR Asset-Backed Securities Trust
2.562% due 05/25/2037		309		298
Total Asset-Backed Securities (Cost $309)				298
SOVEREIGN ISSUES 0.0%
Export-Import Bank of Korea
2.772% due 06/01/2009		700		694
Total Sovereign Issues (Cost $700)				694
	Shares
COMMON STOCKS 0.1%
Devon Energy Corp.		33,898		4,073
Total Common Stocks (Cost $862)				4,073
CONVERTIBLE PREFERRED STOCKS 0.1%
American International Group, Inc.
8.500% due 08/01/2011		86,000		5,099
Total Convertible Preferred Stocks (Cost $6,450)				5,099
PREFERRED STOCKS 0.1%
Goldman Sachs Group, Inc.
3.750% due 12/31/2049		200,000		3,690
Lehman Brothers Holdings, Inc.
5.670% due 12/01/2049		5,200		174
Total Preferred Stocks (Cost $5,231)				3,864
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 5.0%
Commercial Paper 4.3%
UBS Finance Delaware LLC
2.625% due 09/02/2008	$	87,500		87,080
Westpac Banking Corp.
2.710% due 08/06/2008		118,200		117,880
				204,960
Repurchase Agreements 0.3%
Deutsche Bank AG
1.500% due 07/01/2008		8,000		8,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $8,152. Repurchase proceeds are $8,000.)
Fixed Income Clearing Corp.
1.650% due 07/01/2008		5,408		5,408
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.400% due 05/13/2009 valued at $5,518. Repurchase proceeds are $5,408.)
				13,408
U.S. Treasury Bills 0.4%
1.844% due 08/28/2008 - 09/25/2008 (b)(c)		18,250		18,161
Total Short-Term Instruments (Cost $236,571)				236,529
Purchased Options (f) 0.5% (Cost $15,091)				21,749
Total Investments 99.4% (Cost $4,815,603)			$	4,689,392
Written Options (g) (0.4%) (Premiums $13,670)				(19,805	)
Other Assets and Liabilities (Net) 1.0%				49,752
Net Assets 100.0%			$	4,719,339

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 $16,669 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) Cash of $6,235 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
U.S. Treasury 2-Year Note September Futures	Short	09/2008	249	$	(63	)
U.S. Treasury 5-Year Note September Futures	Long	09/2008	1,239		1,384
U.S. Treasury 10-Year Note September Futures	Long	09/2008	2,754		(230	)
				$	1,091

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Altria Group, Inc. 7.000% due 11/04/2013	Sell	1.090	%	09/20/2010	MSC	$	10,000	$	168
American Electric Power Co., Inc. 5.375% due 03/15/2010	Sell	0.410	%	09/20/2011	MSC		2,000		(1	)
American Express Co. 4.875% due 07/15/2013	Sell	2.050	%	03/20/2013	RBS		4,800		89
American International Group, Inc. 4.250% due 05/15/2013	Sell	0.350	%	06/20/2010	JPM		2,000		(70	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.800	%	03/20/2013	MSC		4,700		(44	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.920	%	03/20/2013	DUB		25,000		(88	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.062	%	03/20/2013	JPM		10,000		16
American International Group, Inc. 6.250% due 05/01/2036	Sell	2.150	%	03/20/2013	LEH		9,000		62
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.150	%	06/20/2013	BCLY		7,100		(278	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.200	%	06/20/2013	RBS		1,700		(63	)
American International Group, Inc. 6.250% due 05/01/2036	Sell	1.430	%	06/20/2013	DUB		25,000		(675	)
Apache Corp. 6.250% due 04/15/2012	Sell	0.200	%	03/20/2010	JPM		6,300		(14	)
AT&T, Inc. 5.875% due 08/15/2012	Sell	0.980	%	06/20/2013	BCLY		4,600		38
AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.810	%)	12/20/2015	RBS		2,500		30
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.340	%)	06/20/2012	GSC		1,900		33
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.390	%)	09/20/2012	RBS		5,400		91
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.340	%)	12/20/2012	RBS		8,400		177
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.860	%)	06/20/2013	GSC		3,000		5
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.850	%)	06/20/2013	RBS		4,000		8
AutoZone, Inc. 6.500% due 07/15/2008	Buy	(0.160	%)	09/20/2008	CITI		2,100		0
Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.150	%)	03/20/2011	CSFB		3,000		11
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	MLP		5,000		305
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.480	%	09/20/2012	CITI		4,900		(103	)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.670	%	09/20/2012	JPM		700		(9	)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	1.100	%	09/20/2012	CSFB		10,000		43
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	2.270	%	03/20/2013	BOA		5,000		285
Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.450	%)	09/20/2012	UBS		6,000		151
Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.400	%)	09/20/2012	BEAR		1,800		49
Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.420	%)	12/20/2012	MSC		3,400		107
Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.400	%)	12/20/2012	MSC		7,600		247
Burlington Northern Santa Fe Corp. 4.300% due 07/01/2013	Buy	(0.270	%)	09/20/2012	MLP		4,800		53
Burlington Northern Santa Fe Corp. 4.300% due 07/01/2013	Buy	(0.259	%)	09/20/2012	CSFB		4,000		46
Burlington Resources Finance Co. 6.400% due 08/15/2011	Sell	0.280	%	03/20/2010	MLP		5,000		(7	)
Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Sell	0.320	%	03/20/2010	MLP		5,000		(33	)
Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Sell	0.420	%	09/20/2010	UBS		5,000		(35	)
Canadian Natural Resources Ltd. 5.450% due 10/01/2012	Sell	1.130	%	06/20/2013	BCLY		4,700		30
CBS Corp. 4.625% due 05/15/2018	Buy	(0.600	%)	09/20/2012	CSFB		8,400		226
Centex Corp. 5.250% due 06/15/2015	Buy	(0.820	%)	06/20/2012	JPM		1,600		189
CenturyTel, Inc. 7.875% due 08/15/2012	Buy	(0.355	%)	06/20/2010	BEAR		2,100		22
Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.290	%	09/20/2012	BCLY		20,000		(738	)
Citigroup, Inc. 6.500% due 01/18/2011	Sell	0.290	%	09/20/2012	BEAR		20,000		(738	)
Citigroup, Inc. 6.500% due 01/18/2011	Sell	1.500	%	06/20/2013	MSC		1,500		14
Clorox Co. 6.125% due 02/01/2011	Buy	(0.350	%)	09/20/2012	CITI		3,000		33
Clorox Co. 6.125% due 02/01/2011	Buy	(0.330	%)	09/20/2012	UBS		5,700		67
Clorox Co. 6.125% due 02/01/2011	Buy	(0.420	%)	12/20/2012	UBS		2,800		28
CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.470	%)	12/20/2014	CITI		2,000		77
CNA Financial Corp. 6.000% due 08/15/2011	Buy	(0.285	%)	09/20/2011	BCLY		2,000		36
Coca-Cola Enterprises, Inc. 6.125% due 08/15/2011	Buy	(0.140	%)	06/20/2012	CITI		4,300		40
Comcast Corp. 5.300% due 01/15/2014	Sell	1.600	%	06/20/2013	BCLY		4,600		98
Comcast Corp. 5.300% due 01/15/2014	Buy	(0.390	%)	03/20/2014	BCLY		2,000		(34	)
ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299	%)	06/20/2012	GSC		3,000		32
ConocoPhillips 4.750% due 10/15/2012	Sell	0.210	%	03/20/2010	GSC		5,000		(12	)
Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	06/20/2016	BEAR		4,000		313
CVS Caremark Corp. 5.750% due 08/15/2011	Buy	(0.250	%)	09/20/2011	CSFB		2,000		17
Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.535	%)	09/20/2011	BCLY		2,000		13
Darden Restaurants, Inc. 6.000% due 08/15/2035	Buy	(1.630	%)	06/20/2013	GSC		3,200		(10	)
Darden Restaurants, Inc. 6.000% due 08/15/2035	Buy	(1.620	%)	06/20/2013	UBS		8,200		(22	)
Darden Restaurants, Inc. 6.000% due 08/15/2035	Buy	(1.530	%)	06/20/2013	DUB		4,400		6
Darden Restaurants, Inc. 7.125% due 02/01/2016	Buy	(0.490	%)	06/20/2012	MSC		1,800		63
Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012	DUB		700		8
Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.210	%)	06/20/2012	BEAR		3,300		40
Dominion Resources, Inc. 5.200% due 01/15/2016	Sell	0.670	%	06/20/2015	CITI		3,900		7
Dominion Resources, Inc. 5.200% due 01/15/2016	Buy	(0.455	%)	03/20/2016	BOA		3,000		46
Dow Chemical Co. 6.000% due 10/01/2012	Buy	(0.259	%)	09/20/2012	CSFB		2,700		52
Dow Chemical Co. 6.000% due 10/01/2012	Buy	(0.249	%)	09/20/2012	LEH		6,300		123
DR Horton, Inc. 5.375% due 06/15/2012	Buy	(1.370	%)	06/20/2012	UBS		5,800		551
DTE Energy Co. 7.050% due 06/01/2011	Buy	(0.650	%)	09/20/2016	MSC		2,000		49
EnCana Corp. 4.750% due 10/15/2013	Sell	0.530	%	09/20/2009	BEAR		7,000		10
EnCana Corp. 4.750% due 10/15/2013	Sell	0.320	%	03/20/2010	CSFB		2,000		(8	)
EnCana Corp. 4.750% due 10/15/2013	Sell	0.330	%	09/20/2010	JPM		5,000		(28	)
EnCana Corp. 4.750% due 10/15/2013	Sell	1.030	%	06/20/2013	BCLY		4,700		45
Enterprise Products Operating LP 6.375% due 02/01/2013	Sell	1.300	%	06/20/2013	MSC		4,700		53
ERP Operating LP 3.850% due 08/15/2026	Buy	(0.255	%)	09/20/2011	RBS		3,800		79
Exelon Corp. 6.750% due 05/01/2011	Buy	(0.290	%)	06/20/2011	MLP		3,200		47
Ford Motor Credit Co. LLC 7.000% due 10/01/2013	Sell	3.760	%	09/20/2010	UBS		1,600		(223	)
Gannett Co., Inc. 6.375% due 04/01/2012	Buy	(0.680	%)	09/20/2012	BOA		9,100		711
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.160	%	06/20/2011	MSC		10,000		(348	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.160	%	06/20/2011	WAC		10,000		(348	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.630	%	12/20/2012	BCLY		4,200		(149	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.070	%	12/20/2012	DUB		5,430		(107	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.310	%	03/20/2013	CITI		12,000		(90	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.450	%	03/20/2013	BCLY		4,500		(10	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.500	%	03/20/2013	BNP		25,000		14
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	1.280	%	06/20/2013	BCLY		25,000		(301	)
GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.530	%)	06/20/2012	DUB		4,200		(37	)
GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.500	%)	06/20/2012	DUB		1,500		(11	)
GMAC LLC 5.125% due 05/09/2008	Sell	2.100	%	09/20/2008	MLP		25,000		(483	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.900	%	09/20/2012	UBS		10,000		(144	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	1.600	%	03/20/2013	RBS		4,600		67
H.J. Heinz Finance Co. 6.000% due 03/15/2012	Buy	(0.380	%)	03/20/2012	RBS		3,100		(3	)
Halliburton Co. 5.500% due 10/15/2010	Sell	0.290	%	03/20/2010	JPM		7,000		(2	)
HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.430% due 06/01/2016	Buy	(0.220	%)	06/20/2016	BEAR		2,000		62
International Game Technology 0.000% convertible until 01/29/2033	Sell	0.350	%	03/20/2010	CSFB		1,800		(3	)
International Lease Finance Corp. 5.250% due 01/10/2013	Buy	(0.200	%)	03/20/2013	GSC		5,000		554
International Paper Co. 5.850% due 10/30/2012	Buy	(0.490	%)	06/20/2012	BEAR		5,200		316
International Paper Co. 5.850% due 10/30/2012	Buy	(0.460	%)	06/20/2012	BEAR		1,000		62
Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.240	%)	03/20/2011	BEAR		2,000		34
Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	03/20/2016	BEAR		2,000		76
JPMorgan Chase & Co. 4.750% due 03/01/2015	Sell	1.050	%	03/20/2013	RBS		4,500		18
Kaupthing Bank HF 5.750% due 10/04/2011	Buy	(0.530	%)	12/20/2011	DUB		3,200		683
Kaupthing Bank HF 6.125% due 10/04/2016	Buy	(0.600	%)	12/20/2016	DUB		2,000		585
Kinder Morgan Energy Partners LP 6.750% due 03/15/2011	Sell	1.200	%	06/20/2013	BCLY		4,700		62
Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.220	%)	06/20/2012	GSC		1,900		67
Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.330	%)	09/20/2012	CITI		3,000		100
Kohl’s Corp. 6.300% due 03/01/2011	Buy	(0.300	%)	09/20/2012	BOA		3,900		135
Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011	BEAR		2,000		46
Kroger Co. 5.500% due 02/01/2013	Buy	(0.560	%)	03/20/2013	MSC		3,000		9
Landsbanki Islands HF floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	09/20/2009	RBS		2,000		159
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.265	%	03/20/2011	BNP		2,800		(212	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.755	%	09/20/2012	UBS		20,000		(1,464	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.930	%	03/20/2013	BNP		25,000		(711	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.960	%	03/20/2013	CSFB		25,000		(680	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	2.300	%	06/20/2013	MSC		1,800		(26	)
Lennar Corp. 5.950% due 03/01/2013	Buy	(1.130	%)	06/20/2012	LEH		4,400		729
Lennar Corp. 5.950% due 03/01/2013	Buy	(1.090	%)	06/20/2012	LEH		1,100		183
Loews Corp. 5.250% due 03/15/2016	Buy	(0.280	%)	03/20/2016	BEAR		2,000		21
Lowe’s Cos., Inc. 8.250% due 06/01/2010	Buy	(0.520	%)	12/20/2012	BOA		11,500		38
Macy’s Retail Holdings, Inc. 6.625% due 04/01/2011	Buy	(0.530	%)	06/20/2012	GSC		1,900		110
Marsh & McLennan Cos., Inc. 5.150% due 09/15/2010	Buy	(0.590	%)	09/20/2010	MSC		10,000		(25	)
Masco Corp. 5.875% due 07/15/2012	Buy	(0.630	%)	06/20/2012	BCLY		1,300		86
Masco Corp. 5.875% due 07/15/2012	Buy	(0.589	%)	06/20/2012	LEH		700		47
Masco Corp. 5.875% due 07/15/2012	Buy	(0.540	%)	06/20/2012	DUB		1,300		90
Masco Corp. 5.875% due 07/15/2012	Buy	(0.950	%)	03/20/2017	BNP		2,200		191
Mattel, Inc. 6.125% due 06/15/2011	Buy	(0.330	%)	06/20/2012	BCLY		2,400		26
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.570	%)	06/20/2012	BEAR		4,300		232
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.570	%)	06/20/2012	RBS		4,100		221
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.540	%)	06/20/2012	MSC		400		22
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.528	%)	06/20/2012	JPM		1,200		67
MeadWestvaco Corp. 6.850% due 04/01/2012	Buy	(0.510	%)	06/20/2012	LEH		1,000		56
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(0.850	%)	12/20/2012	JPM		3,300		205
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(1.910	%)	03/20/2013	CSFB		25,000		463
Merrill Lynch & Co., Inc. 5.000% due 01/15/2015	Buy	(1.880	%)	03/20/2013	BNP		25,000		494
MetLife, Inc. 5.000% due 06/15/2015	Sell	2.073	%	03/20/2013	DUB		7,000		334
Morgan Stanley 6.600% due 04/01/2012	Sell	0.900	%	09/20/2012	GSC		4,400		(201	)
Morgan Stanley 6.600% due 04/01/2012	Sell	2.000	%	03/20/2013	RBS		4,700		1
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.340	%)	12/20/2016	LEH		3,000		292
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016	RBS		4,000		394
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.275	%)	12/20/2015	RBS		2,000		190
Multiple Reference Entities of Gazprom	Sell	1.000	%	11/20/2008	CSFB		7,900		54
Nabors Industries, Inc. 0.000% due 02/05/2021	Buy	(0.470	%)	06/20/2012	LEH		500		3
Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.480	%)	06/20/2012	CITI		1,400		9
Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.290	%)	09/20/2012	RBS		3,600		66
Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.319	%)	12/20/2012	GSC		6,300		119
Newell Rubbermaid, Inc. 6.750% due 03/15/2012	Buy	(0.230	%)	06/20/2012	RBS		3,500		67
Noble Corp. 5.875% due 06/01/2013	Buy	(0.522	%)	06/20/2012	MSC		4,300		9
Noble Corp. 5.875% due 06/01/2013	Buy	(0.510	%)	06/20/2012	DUB		1,400		4
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.179	%)	06/20/2012	LEH		1,300		38
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.280	%)	09/20/2012	LEH		5,800		159
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.240	%)	09/20/2012	CITI		2,100		61
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.230	%)	12/20/2012	UBS		9,800		316
Norfolk Southern Corp. 7.700% due 05/15/2017	Buy	(0.240	%)	12/20/2012	MLP		7,000		111
Occidental Petroleum Corp. 6.750% due 01/15/2012	Sell	0.250	%	03/20/2010	JPM		7,000		(10	)
Ohio Edison Co. 5.450% due 05/01/2015	Sell	0.470	%	03/20/2010	WAC		10,000		(4	)
Omnicom Group, Inc. 5.900% due 04/15/2016	Buy	(0.390	%)	06/20/2016	MSC		3,800		65
Proctor & Gamble Co. 4.950% due 08/15/2014	Sell	0.070	%	09/20/2008	LEH		7,500		(1	)
Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(1.250	%)	06/20/2012	MSC		500		35
Pulte Homes, Inc. 7.875% due 08/01/2011	Buy	(1.030	%)	06/20/2012	MSC		1,700		134
RadioShack Corp. 7.375% due 05/15/2011	Buy	(1.290	%)	06/20/2011	BOA		2,100		31
Raytheon Co. 7.200% due 08/15/2027	Buy	(0.090	%)	06/20/2009	CITI		2,000		1
SCANA Corp. 6.250% due 02/01/2012	Buy	(0.380	%)	03/20/2012	BOA		10,000		16
Sealed Air Corp. 6.950% due 05/15/2009	Buy	(0.200	%)	06/20/2009	BCLY		1,600		6
Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.230	%)	09/20/2012	BOA		5,800		144
Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.230	%)	09/20/2012	MSC		3,400		85
Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.280	%)	12/20/2012	MSC		3,400		85
Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.260	%)	12/20/2012	MSC		5,200		135
SLM Corp. 5.125% due 08/27/2012	Sell	2.870	%	12/20/2012	BNP		5,000		(277	)
SLM Corp. 5.125% due 08/27/2012	Sell	2.900	%	12/20/2012	DUB		2,000		(109	)
SLM Corp. 5.125% due 08/27/2012	Sell	2.950	%	03/20/2013	BOA		4,300		(216	)
Southwest Airlines Co. 6.500% due 03/01/2012	Buy	(0.480	%)	09/20/2012	RBS		6,300		303
Sprint Capital Corp. 8.375% due 03/15/2012	Sell	0.316	%	06/20/2011	BOA		24,000		(1,605	)
Sprint Nextel Corp. 6.000% due 12/01/2016	Sell	6.000	%	03/20/2009	LEH		2,500		112
Sprint Nextel Corp. 6.000% due 12/01/2016	Sell	7.150	%	06/20/2009	BCLY		9,000		610
Staples, Inc. 7.375% due 10/01/2012	Buy	(0.280	%)	06/20/2012	CSFB		2,500		70
Temple-Inland, Inc. 6.750% due 03/01/2009	Buy	(0.280	%)	03/20/2009	JPM		2,600		44
Time Warner Entertainment Co. LP 8.375% due 03/15/2023	Sell	1.830	%	06/20/2013	MSC		1,700		39
Time Warner, Inc. 6.875% due 05/01/2012	Sell	0.290	%	06/20/2009	UBS		11,000		(43	)
Time Warner, Inc. 6.875% due 05/01/2012	Sell	0.570	%	09/20/2010	HSBC		5,000		(52	)
TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.270	%)	12/20/2012	RBS		5,600		45
TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.250	%)	12/20/2012	RBS		12,900		114
Transocean, Inc. 7.375% due 04/15/2018	Sell	0.910	%	06/20/2013	MSC		4,700		(3	)
Union Pacific Corp. 6.125% due 01/15/2012	Buy	(0.215	%)	06/20/2011	BNP		1,900		18
Verizon Communications, Inc. 4.900% due 09/15/2015	Sell	0.930	%	06/20/2013	MSC		1,700		13
VF Corp. 8.500% due 10/01/2010	Buy	(0.220	%)	06/20/2012	GSC		1,800		24
VF Corp. 8.500% due 10/01/2010	Buy	(0.470	%)	12/20/2012	MSC		4,500		30
VF Corp. 8.500% due 10/01/2010	Buy	(0.450	%)	12/20/2012	GSC		5,200		39
Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011	UBS		3,000		(65	)
Viacom, Inc. 6.250% due 04/30/2016	Sell	0.510	%	06/20/2011	MSC		8,000		(76	)
Walt Disney Co. 6.375% due 03/01/2012	Buy	(0.180	%)	06/20/2011	MSC		1,300		8
Wells Fargo & Co. 5.000% due 11/15/2014	Sell	0.210	%	09/20/2012	BEAR		20,000		(855	)
Wells Fargo & Co. floating rate based on 3-Month USD-LIBOR plus 0.200% due 10/28/2015	Sell	0.950	%	03/20/2013	RBS		4,500		(20	)
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.530	%)	06/20/2012	JPM		3,000		149
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.520	%)	06/20/2012	BEAR		5,300		265
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.480	%)	06/20/2012	BEAR		500		26
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(0.450	%)	06/20/2012	LEH		900		47
Weyerhaeuser Co. 6.750% due 03/15/2012	Buy	(1.018	%)	03/20/2017	GSC		1,700		124
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.630	%)	06/20/2012	GSC		900		14
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.500	%)	06/20/2012	MSC		2,900		60
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.320	%)	09/20/2012	BOA		2,600		78
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.380	%)	12/20/2012	RBS		15,300		465
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.780	%)	03/20/2017	MSC		1,700		50
Wyeth 5.500% due 03/15/2013	Buy	(0.150	%)	03/20/2013	MSC		2,500		18
XTO Energy, Inc. 4.900% due 02/01/2014	Sell	0.870	%	06/20/2013	MSC		4,700		(15	)
XTO Energy, Inc. 6.250% due 04/15/2013	Sell	0.380	%	03/20/2010	MLP		5,000		(21	)
								$	5,238

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Dow Jones CDX N.A. HV8 Index	Sell	0.750	%	06/20/2012	BOA	$	10,000	$	(439	)
Dow Jones CDX N.A. HY8 Index	Sell	1.070	%	06/20/2012	MLP		49,682		(475	)
Dow Jones CDX N.A. HY8 Index	Sell	1.100	%	06/20/2012	MLP		49,683		(418	)
Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010	CITI		7,341		(88	)
Dow Jones CDX N.A. IG3 Index	Sell	0.500	%	03/20/2010	LEH		4,960		(60	)
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	BOA		9,000		527
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	GSC		3,000		178
Dow Jones CDX N.A. IG7 Index	Buy	(0.650	%)	12/20/2016	MSC		22,100		1,225
Dow Jones CDX N.A. IG9 Index	Sell	0.670	%	12/20/2012	DUB		30,000		240
Dow Jones CDX N.A. IG9 Index	Sell	0.680	%	12/20/2012	DUB		30,000		264
Dow Jones CDX N.A. IG9 Index	Sell	0.680	%	12/20/2012	GSC		86,000		736
Dow Jones CDX N.A. IG9 Index	Sell	0.695	%	12/20/2012	GSC		19,500		180
Dow Jones CDX N.A. IG9 Index	Sell	0.701	%	12/20/2012	DUB		88,200		838
Dow Jones CDX N.A. IG9 Index	Sell	0.705	%	12/20/2012	GSC		43,300		419
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	DUB		21,300		208
Dow Jones CDX N.A. IG9 Index	Sell	0.708	%	12/20/2012	MSC		100,000		952
Dow Jones CDX N.A. IG9 Index	Sell	0.710	%	12/20/2012	DUB		8,700		86
Dow Jones CDX N.A. IG9 Index	Sell	0.740	%	12/20/2012	GSC		25,000		250
Dow Jones CDX N.A. IG9 Index	Sell	0.750	%	12/20/2012	GSC		5,000		52
Dow Jones CDX N.A. IG9 Index	Sell	0.770	%	12/20/2012	DUB		30,000		369
Dow Jones CDX N.A. IG9 Index	Sell	1.120	%	12/20/2012	GSC		15,000		147
Dow Jones CDX N.A. IG9 Index	Sell	1.120	%	12/20/2012	JPM		5,000		49
Dow Jones CDX N.A. IG9 Index	Sell	1.130	%	12/20/2012	MSC		20,000		214
Dow Jones CDX N.A. IG9 Index	Sell	1.160	%	12/20/2012	DUB		10,000		116
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MSC		177,700		1,262
Dow Jones CDX N.A. IG10 Index	Sell	1.550	%	06/20/2013	DUB		177,700		(1,189	)
Dow Jones CDX N.A. IG10 Index	Sell	1.550	%	06/20/2013	GSC		125,000		280
Dow Jones CDX N.A. IG10 Index	Sell	1.550	%	06/20/2013	RBS		65,800		18
								$	5,941

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BCLY	$	63,500	$	(426	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		16,000		(121	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		6,400		(48	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		305,200		(413	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		382,900		(2,484	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		14,100		264
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		68,200		187
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	BOA		41,500		(729	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	DUB		10,900		(221	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		105,600		(967	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MSC		7,400		(142	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		24,900		(380	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		47,900		(1,734	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		1,700		(30	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		10,300		(346	)
								$	(7,590	)

(f) Purchased options outstanding on June 30, 2008:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	4,200	$	48	$	20
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		219,150		2,181		3,835
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		138,700		1,300		2,427
Call-OTC 2-Year Interest Rate Swap	LEH	3-Month USD-LIBOR	Pay	4.250	%	07/06/2009		117,500		1,178		1,191
Call-OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		119,100		1,196		2,084
Call-OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		13,100		115		35
Call-OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		9,000		97		26
Call-OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/03/2009		176,600		1,830		865
Call-OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		406,350		4,156		7,111
Call-OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.750	%	09/08/2009		283,400		2,990		4,155
									$	15,091	$	21,749

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call-OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009	$	1,400	$	45	$	30
Call-OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		73,000		1,961		3,388
Call-OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		44,300		1,176		2,056
Call-OTC 7-Year Interest Rate Swap	LEH	3-Month USD-LIBOR	Receive	4.900	%	07/06/2009		33,100		935		1,063
Call-OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		38,900		1,054		1,806
Call-OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		4,400		110		58
Call-OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		3,000		90		40
Call-OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	08/03/2009		76,800		1,842		1,248
Call-OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.320	%	08/28/2009		135,200		3,704		6,275
Call-OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	5.150	%	09/08/2009		94,800		2,753		3,841
									$	13,670	$	19,805

(h) Restricted securities as of June 30, 2008:

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	$	68	$	68	0.00	%
Mazda Motor Corp.	10.500	%	07/01/2008	03/28/2003		12		12	0.00	%
United Telecom, Inc.	6.890	%	07/01/2008	06/25/2003		1,000		984	0.02	%
Wilmington Trust Co.	10.500	%	07/01/2008	03/28/2003		46		46	0.00	%
					$	1,126	$	1,110	0.02	%

(i) Short sales outstanding on June 30, 2008:
Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.500	%	07/01/2038	$	115,000	$	113,996	$	113,365
Freddie Mac	5.500	%	07/01/2038		47,000		46,422		46,302
U.S. Treasury Bonds	4.500	%	02/15/2036		2,000		1,928		2,023
U.S. Treasury Bonds	4.750	%	02/15/2037		29,960		30,041		31,657
U.S. Treasury Bonds	5.000	%	05/15/2037		4,850		4,999		5,269
U.S. Treasury Notes	3.250	%	12/31/2009		37,400		37,649		37,947
U.S. Treasury Notes	4.750	%	08/15/2017		54,900		57,296		59,372
						$	292,331	$	295,935

⁽³⁾ Market value includes $1,926 of interest payable on short sales.

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	9,172	$	4,679,105		$	1,115	$	4,689,392
Other Financial Instruments++		1,091		(313,926	)		3,701		(309,134	)
Total	$	10,263	$	4,365,179		$	4,816	$	4,380,258

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)			Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	1,131	$	0	$	8	$	(8	)	$	0	$	1,115
Other Financial Instruments++		2,884		0		0		817			0		3,701
Total	$	4,015	$	0	$	8	$	809		$	0	$	4,816

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

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

See Accompanying Notes

Schedule of Investments

Mortgage Portfolio

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 0.4%
CVS Pass-Through Trust
6.036% due 12/10/2028	$	1,932	$	1,799
Morgan Stanley
4.778% due 05/14/2010		50,000		49,833
Total Corporate Bonds & Notes (Cost $51,932)				51,632
MUNICIPAL BONDS & NOTES 0.0%
Ennis, Texas Economic Development Corporations Revenue Bonds, (FGIC Insured), Series 1999
0.000% due 08/01/2034		7,990		1,470
Total Municipal Bonds & Notes (Cost $1,050)				1,470
U.S. GOVERNMENT AGENCIES 161.8%
Fannie Mae
0.000% due 08/25/2022 (c)		16		13
2.542% due 07/25/2037		749		740
2.592% due 09/26/2033		36		34
2.622% due 04/25/2035		3,582		3,492
2.632% due 10/25/2035		13,440		12,890
2.682% due 10/27/2037		73,400		70,220
2.702% due 07/25/2032		497		497
2.732% due 06/25/2044		100		100
2.742% due 06/25/2032		9		8
2.762% due 10/25/2033		3		3
2.782% due 12/25/2028		67		66
2.842% due 02/25/2033		104		100
2.881% due 04/18/2028		88		88
2.882% due 06/25/2029 - 06/25/2032		1,844		1,844
2.931% due 10/18/2030		115		115
2.982% due 06/25/2030 - 07/25/2034		7,338		7,220
3.000% due 09/18/2027		317		318
3.050% due 06/25/2018		6		6
3.132% due 09/25/2023		142		142
3.150% due 06/25/2022		1		1
3.382% due 04/25/2032		125		126
3.400% due 04/25/2021		3		3
3.600% due 05/25/2023		93		94
3.875% due 06/01/2017		6		6
4.000% due 02/25/2009		13		13
4.125% due 04/01/2033		308		308
4.500% due 11/01/2019 - 01/01/2038		475,110		461,468
4.500% due 10/01/2020 (g)		113,307		110,276
4.530% due 10/01/2016 - 10/01/2031		265		265
4.538% due 02/01/2017		270		271
4.549% due 02/01/2035		2,938		2,951
4.566% due 03/01/2035		1,157		1,165
4.619% due 07/01/2035		1,303		1,313
4.716% due 09/01/2035 (g)		9,297		9,343
4.724% due 10/01/2035		842		847
4.794% due 05/01/2036		4,551		4,561
4.810% due 03/01/2017 - 11/01/2028		912		914
4.811% due 12/01/2017		188		188
4.814% due 08/01/2026		40		40
4.822% due 08/01/2029		95		95
4.833% due 09/01/2017		229		228
4.839% due 06/01/2029		24		24
4.844% due 02/01/2034		970		981
4.850% due 05/01/2036		93		94
4.865% due 02/01/2021		81		81
4.886% due 05/01/2036		42		42
4.897% due 01/01/2029		55		56
4.926% due 05/01/2036		31		31
4.994% due 08/01/2042 - 10/01/2044		9,868		9,878
4.996% due 01/01/2024		11		11
5.000% due 06/01/2013 - 07/01/2038		1,453,622		1,428,756
5.000% due 02/01/2020 - 02/01/2038 (g)		2,547,299		2,456,058
5.006% due 07/01/2024		15		15
5.015% due 05/01/2029		19		19
5.127% due 02/01/2032		2,556		2,554
5.194% due 09/01/2040 - 12/01/2040		493		492
5.210% due 05/01/2028		15		15
5.220% due 05/01/2019		20		20
5.250% due 05/01/2019		14		14
5.254% due 04/01/2030		95		96
5.259% due 04/01/2030		20		20
5.277% due 12/01/2030		345		342
5.352% due 03/01/2024		41		42
5.428% due 05/01/2019		248		248
5.461% due 04/01/2019		77		77
5.500% due 01/01/2009 - 07/01/2038		3,522,842		3,499,193
5.500% due 07/01/2034 - 09/01/2036 (g)		1,051,519		1,040,266
5.500% due 10/01/2035 (f)		158,426		156,665
5.502% due 03/01/2018		12		12
5.509% due 02/01/2030		696		704
5.514% due 09/01/2020		23		23
5.529% due 09/01/2034		217		216
5.572% due 04/01/2032		17		17
5.625% due 07/01/2017		4		4
5.662% due 11/01/2008		40		40
5.730% due 10/01/2016		76		77
5.743% due 11/01/2025		197		200
5.750% due 07/01/2029		5		5
5.788% due 11/01/2035		3,063		3,130
5.800% due 11/01/2011		1,828		1,877
5.818% due 02/01/2015 - 11/01/2024		63		64
5.924% due 10/01/2028		96		97
5.950% due 02/25/2044		65		66
5.982% due 02/01/2031		323		329
6.000% due 03/25/2017 - 07/01/2038		2,713,449		2,739,911
6.000% due 02/01/2034 - 05/01/2038 (g)		896,561		905,861
6.027% due 11/01/2017		11		11
6.112% due 04/01/2022		71		72
6.125% due 06/01/2017		53		53
6.154% due 02/01/2026		63		63
6.172% due 11/01/2025		114		117
6.173% due 02/01/2026		13		13
6.211% due 05/01/2027		189		191
6.217% due 02/01/2035		538		544
6.230% due 04/01/2030		9		9
6.231% due 10/01/2036		6,004		6,153
6.250% due 12/25/2013		1,020		1,041
6.259% due 08/01/2029		13		13
6.262% due 02/01/2009		2,687		2,689
6.290% due 02/25/2029		1,500		1,551
6.300% due 06/25/2031 - 10/17/2038		5,225		5,278
6.305% due 04/01/2020		111		113
6.339% due 12/01/2031		24		24
6.350% due 06/25/2020		2,081		2,118
6.390% due 05/25/2036		1,243		1,267
6.410% due 08/01/2016		949		995
6.450% due 09/01/2016 - 12/01/2026		3,482		3,656
6.455% due 09/01/2023		75		77
6.500% due 02/25/2009 - 06/17/2038		445,715		459,843
6.500% due 06/01/2035 - 12/01/2037 (g)		775,592		799,579
6.518% due 11/01/2031		42		43
6.532% due 09/01/2031		53		54
6.573% due 03/01/2025		29		29
6.589% due 10/25/2031		51		49
6.602% due 02/01/2027		99		101
6.610% due 12/01/2029		5		5
6.643% due 06/01/2023		56		56
6.703% due 08/01/2028		1,392		1,509
6.728% due 05/01/2026		37		37
6.750% due 12/01/2023		80		81
6.825% due 08/01/2009 - 11/01/2026		4,459		4,533
6.850% due 12/18/2027		1,813		1,911
6.875% due 02/01/2018		141		141
6.907% due 11/01/2031		67		68
6.970% due 02/01/2024		129		131
6.978% due 01/01/2030		157		160
6.981% due 01/01/2030		365		390
7.000% due 07/25/2008 (a)		1		0
7.000% due 01/01/2010 - 06/01/2037		4,375		4,628
7.027% due 07/01/2032		79		80
7.045% due 06/01/2019		7		7
7.125% due 06/01/2026		10		10
7.145% due 09/01/2028 - 06/01/2029		33		34
7.224% due 03/01/2030		431		439
7.250% due 02/01/2009 - 01/01/2010		1,083		1,112
7.277% due 09/01/2030		26		26
7.324% due 07/01/2024		4		4
7.491% due 08/01/2014		7		7
7.500% due 05/01/2009 - 07/25/2041		5,364		5,772
7.730% due 01/01/2025		979		1,064
7.800% due 10/25/2022 - 06/25/2026		264		277
8.000% due 06/01/2015 - 08/01/2030		78		83
8.025% due 05/01/2030		37		37
8.200% due 04/25/2025		529		550
8.500% due 10/01/2009 - 11/01/2017		203		218
8.750% due 11/25/2019 - 06/25/2021		227		250
8.834% due 06/25/2032		339		360
9.000% due 05/01/2009 - 11/01/2025		215		235
9.000% due 05/25/2022 - 06/25/2022 (a)		65		14
9.250% due 10/01/2009		11		11
9.500% due 11/25/2020 - 04/01/2025		529		596
15.500% due 10/01/2012		1		1
510.000% due 09/25/2019 (a)		0		4
839.670% due 08/25/2020 (a)		0		1
Farmer Mac
6.780% due 01/25/2013		2,081		2,059
8.400% due 04/25/2030		1,163		1,082
Federal Home Loan Bank
7.400% due 02/01/2021		291		291
Federal Housing Administration
6.875% due 12/01/2016		286		279
6.896% due 07/01/2020		362		354
7.430% due 07/01/2018 - 07/01/2024		6,063		6,077
Freddie Mac
0.000% due 01/15/2009 (c)		5		5
2.671% due 03/15/2031		506		502
2.722% due 07/25/2031		94		90
2.732% due 05/25/2031		374		301
2.762% due 09/25/2031		121		119
2.821% due 12/15/2029 - 12/15/2030		1,590		1,572
2.921% due 11/15/2030 - 12/15/2031		175		174
2.950% due 03/15/2024 - 09/15/2026		642		640
2.971% due 02/15/2028 - 03/15/2032		222		221
3.000% due 05/15/2023		2		2
3.021% due 03/15/2032		8		8
3.421% due 04/15/2031		8,792		8,847
3.500% due 12/15/2022 - 07/15/2032		206		197
3.671% due 07/15/2027		2,544		2,590
4.500% due 04/15/2013 - 09/15/2020		793		793
4.750% due 02/01/2017		4		4
5.000% due 06/15/2016 - 07/01/2038		1,036,220		995,660
5.000% due 04/01/2020 - 10/01/2036 (g)		135,809		133,904
5.082% due 08/15/2032		1,593		1,594
5.194% due 07/25/2044		27,821		26,055
5.200% due 09/01/2027		35		35
5.220% due 05/01/2017 - 09/01/2018		292		293
5.250% due 01/01/2017		11		11
5.402% due 07/01/2030		360		363
5.500% due 11/01/2028 - 07/01/2038		1,686,017		1,662,551
5.500% due 06/01/2035 (g)		73,072		72,272
5.572% due 08/01/2018		87		87
5.711% due 03/01/2032		142		144
5.995% due 07/01/2019		128		129
6.000% due 03/01/2017 - 08/01/2038		922,725		932,109
6.030% due 03/01/2033		110		111
6.125% due 04/01/2019		22		23
6.151% due 08/01/2027		19		20
6.206% due 02/01/2031		26		27
6.250% due 07/01/2019 - 12/15/2028		1,831		1,903
6.315% due 12/01/2032		159		160
6.322% due 10/01/2023		1,116		1,124
6.329% due 03/01/2027		32		32
6.342% due 01/01/2028		111		111
6.406% due 10/01/2024		115		117
6.450% due 11/01/2027		19		20
6.451% due 04/01/2031		9		9
6.475% due 09/01/2028		49		49
6.500% due 08/15/2008 - 01/01/2038		84,209		87,116
6.500% due 10/15/2013 (a)		39		2
6.500% due 08/01/2037 (g)		52,621		54,308
6.541% due 03/01/2029		155		159
6.608% due 06/01/2022		57		58
6.615% due 12/01/2029		325		329
6.625% due 05/01/2023		32		32
6.632% due 02/01/2029		412		417
6.667% due 07/01/2028		531		536
6.714% due 06/01/2024		41		42
6.720% due 11/01/2029		2,091		2,147
6.737% due 12/01/2026		27		28
6.762% due 02/01/2027		510		512
6.782% due 10/01/2027		29		29
6.783% due 08/01/2030		15		16
6.825% due 09/01/2027		24		24
6.842% due 05/01/2032		630		633
6.852% due 11/01/2027		169		170
6.864% due 10/01/2018		7		7
6.872% due 06/01/2022		7		8
6.919% due 10/01/2024		172		173
6.923% due 09/01/2024		36		37
6.950% due 09/01/2026		433		435
6.960% due 04/01/2025		39		40
6.973% due 08/01/2029		80		80
7.000% due 07/15/2008 - 10/25/2023 (a)		68		15
7.000% due 11/15/2020 - 12/01/2032		1,771		1,859
7.021% due 11/01/2031		5		4
7.071% due 11/01/2027		166		166
7.073% due 07/01/2029		71		72
7.100% due 05/01/2032		138		139
7.116% due 05/01/2032		982		996
7.125% due 04/01/2018 - 09/01/2018		37		38
7.143% due 10/01/2023		85		85
7.216% due 07/01/2027		86		87
7.231% due 08/01/2031 - 05/01/2032		37		37
7.244% due 10/01/2024		168		170
7.250% due 08/01/2031		2		2
7.266% due 07/01/2030		3		3
7.287% due 02/01/2027		104		104
7.325% due 05/01/2019		15		15
7.500% due 11/01/2010 - 06/01/2031		805		856
7.500% due 08/15/2029 (a)		30		8
7.645% due 05/01/2025		1,288		1,371
8.000% due 03/01/2009 - 09/01/2030		103		110
8.500% due 12/01/2008 - 08/01/2027		359		384
9.000% due 12/15/2020 - 02/15/2021		431		436
9.050% due 06/15/2019		70		70
9.500% due 12/15/2020 - 06/01/2021		382		387
9.500% due 11/01/2021 (a)		35		9
Ginnie Mae
2.671% due 02/16/2032		46		46
2.771% due 12/16/2026 - 01/16/2031		151		150
2.829% due 06/20/2032		430		428
2.871% due 06/16/2031 - 03/16/2032		1,211		1,212
2.921% due 10/16/2030		58		58
2.971% due 02/16/2030 - 04/16/2032		946		954
3.021% due 12/16/2025		655		651
3.071% due 02/16/2030		107		108
3.121% due 02/16/2030		101		101
3.250% due 07/16/2026		803		801
3.429% due 03/20/2031		4,647		4,650
3.479% due 02/20/2031		2,806		2,842
4.000% due 07/16/2026		803		804
4.500% due 01/15/2038		597		556
4.750% due 02/20/2032		146		146
4.875% due 11/20/2031		2,230		2,235
5.000% due 10/20/2028 - 07/01/2038		180,205		175,071
5.125% due 10/20/2018 - 01/20/2030		7,417		7,459
5.250% due 01/20/2028 - 03/20/2030		869		873
5.375% due 03/20/2021 - 03/20/2028		3,822		3,840
5.500% due 03/20/2016 - 07/01/2038		712,738		710,814
5.625% due 08/20/2017 - 07/20/2035		47,306		47,792
6.000% due 12/15/2008 - 07/01/2038		382,389		388,255
6.250% due 03/16/2029		3,660		3,807
6.375% due 04/20/2017 - 05/20/2032		21,554		21,968
6.500% due 05/15/2009 - 07/01/2038		136,266		140,962
6.875% due 04/20/2019		38		39
6.919% due 03/16/2041		5,146		5,447
7.000% due 09/15/2012 - 02/16/2029		1,530		1,614
7.270% due 12/15/2040		1,729		1,761
7.500% due 02/15/2017 - 11/15/2031		2,228		2,381
7.750% due 10/15/2025		20		22
8.000% due 08/15/2011 - 09/20/2031		6,528		7,105
8.500% due 06/15/2027 - 03/20/2031		1,506		1,654
9.000% due 04/15/2020 - 08/20/2030		99		109
9.500% due 10/15/2009 - 12/15/2021		68		75
Small Business Administration
5.370% due 04/01/2028		13,581		13,598
5.490% due 05/01/2028		16,800		16,915
6.344% due 08/01/2011		194		199
6.640% due 02/01/2011		229		236
7.190% due 12/01/2019		325		341
7.220% due 11/01/2020		882		928
7.449% due 08/01/2010		286		292
8.017% due 02/10/2010		60		63
Vendee Mortgage Trust
6.500% due 03/15/2029		2,281		2,406
6.814% due 01/15/2030		733		735
Total U.S. Government Agencies (Cost $19,833,090)				19,834,067
MORTGAGE-BACKED SECURITIES 11.8%
Adjustable Rate Mortgage Trust
5.022% due 03/25/2035		31,846		30,095
5.141% due 09/25/2035		3,677		3,515
5.417% due 01/25/2036		3,229		3,053
American Home Mortgage Assets Trust
2.712% due 09/25/2046		7,516		4,064
2.772% due 08/25/2037		12,942		4,459
American Home Mortgage Investment Trust
2.722% due 05/25/2047		4,069		2,331
4.290% due 10/25/2034		9,371		8,231
4.440% due 02/25/2045		4,635		4,147
Banc of America Commercial Mortgage, Inc.
5.414% due 09/10/2047		10,000		9,516
Banc of America Funding Corp.
2.769% due 05/20/2035		2,243		1,638
4.110% due 05/25/2035		1,609		1,505
5.357% due 11/20/2035		3,816		3,558
5.753% due 10/25/2036		4,600		3,343
5.756% due 03/20/2036		7,410		6,753
5.837% due 01/25/2037		3,700		2,680
5.888% due 04/25/2037		8,624		6,600
Banc of America Mortgage Securities, Inc.
2.932% due 01/25/2034		714		686
4.088% due 08/25/2033		21,465		20,251
4.250% due 04/25/2034		145		145
5.000% due 05/25/2034		355		343
6.181% due 06/20/2031		505		483
6.186% due 07/20/2032		73		68
6.500% due 10/25/2031		207		208
Banc of America Structural Security Trust
2.948% due 10/11/2033		391		388
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		33,222		31,773
4.476% due 02/25/2034		4,626		4,482
4.550% due 08/25/2035		16,943		16,240
4.750% due 10/25/2035		1,447		1,434
4.760% due 11/25/2034		4,522		4,404
4.960% due 01/25/2035		3,454		3,326
5.519% due 11/25/2030		19		18
5.733% due 02/25/2036		14,119		11,763
6.736% due 02/25/2033		31		30
6.854% due 01/25/2034		21		20
Bear Stearns Alt-A Trust
5.372% due 05/25/2035		1,437		1,233
5.500% due 08/25/2036		7,800		4,405
5.701% due 09/25/2035		23,289		19,223
5.784% due 11/25/2036		1,957		1,587
5.796% due 11/25/2036		1,144		842
5.869% due 01/25/2036		3,053		2,495
5.920% due 11/25/2036		964		693
Bear Stearns Commercial Mortgage Securities
3.688% due 11/11/2041		270		270
5.060% due 11/15/2016		43		43
5.243% due 12/11/2038		2,600		2,334
5.331% due 02/11/2044		24,000		22,247
5.405% due 12/11/2040		6,000		5,829
5.540% due 09/11/2041		45,000		43,184
5.694% due 06/11/2050		9,800		9,257
5.700% due 06/11/2050		30,000		28,315
5.902% due 06/11/2040		40,000		38,134
7.000% due 05/20/2030		1,813		1,925
Bear Stearns Mortgage Securities, Inc.
5.719% due 06/25/2030		73		72
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		12,208		12,101
5.674% due 01/26/2036		6,906		5,747
5.777% due 12/26/2046		3,924		3,230
CC Mortgage Funding Corp.
2.662% due 05/25/2036		921		738
2.732% due 08/25/2035		1,635		1,451
3.358% due 01/25/2035		982		778
Citicorp Mortgage Securities, Inc.
5.375% due 12/25/2019		27		26
6.500% due 02/25/2024		676		673
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		430		403
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		3,161		2,990
4.248% due 08/25/2035		19,794		18,708
4.679% due 08/25/2035		3,647		3,253
4.748% due 08/25/2035		7,960		7,590
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.617% due 10/15/2048		2,000		1,926
Collateralized Mortgage Obligation Trust
0.000% due 09/23/2017 (c)		5		5
Commercial Mortgage Pass-Through Certificates
2.571% due 04/15/2017		1,456		1,417
6.455% due 05/15/2032		1,106		1,104
Countrywide Alternative Loan Trust
2.632% due 05/20/2046		85		78
2.682% due 07/20/2046		2,300		1,593
2.692% due 05/25/2035		3,090		2,350
2.702% due 05/25/2035		548		417
2.712% due 08/25/2046		8,148		4,587
2.732% due 05/25/2035		834		635
2.732% due 09/25/2046		4,050		1,378
2.732% due 10/25/2046		2,853		1,670
2.742% due 07/25/2046		2,850		1,003
2.752% due 05/25/2036		2,970		1,663
2.759% due 09/20/2046		8,850		3,802
2.762% due 02/25/2037		789		576
2.822% due 10/25/2046		2,250		793
2.832% due 06/25/2037		4,680		2,840
2.852% due 11/25/2035		1,408		853
2.902% due 12/25/2035		2,141		1,370
2.992% due 11/20/2035		3,350		1,952
3.252% due 11/25/2035		5,226		3,997
5.000% due 06/25/2033		219		219
5.414% due 10/25/2035		3,217		3,024
5.750% due 03/25/2037		5,600		4,661
5.889% due 11/25/2035		7,386		6,051
6.000% due 10/25/2032		412		373
6.000% due 02/25/2037		5,802		5,019
6.250% due 11/25/2036		6,455		5,699
Countrywide Home Loan Mortgage Pass-Through Trust
2.772% due 04/25/2035		2,113		1,587
2.782% due 04/25/2046		4,123		2,261
2.792% due 03/25/2035		5,460		4,200
2.802% due 03/25/2035		25,594		19,575
2.812% due 02/25/2035		1,636		1,329
2.822% due 02/25/2035		51		41
2.822% due 06/25/2035		1,122		989
2.822% due 03/25/2036		2,024		1,228
2.832% due 02/25/2036		3,083		1,891
3.072% due 08/25/2034		4,293		3,225
4.500% due 01/25/2033		284		284
4.799% due 11/25/2034		3,480		3,347
5.259% due 01/20/2035		4,053		3,736
5.372% due 10/20/2035		7,862		7,169
5.500% due 11/25/2035		3,581		3,341
5.555% due 04/20/2036		6,578		6,154
5.607% due 08/25/2034		2,294		1,909
5.614% due 02/20/2036		1,923		1,884
5.750% due 07/19/2031		10		10
5.804% due 05/20/2036		12,480		10,465
6.243% due 11/19/2033		31		27
6.366% due 11/19/2033		78		77
Credit Suisse Mortgage Capital Certificates
5.467% due 09/15/2039		2,600		2,476
5.579% due 04/25/2037		4,073		3,303
5.863% due 02/25/2037		8,700		6,677
5.913% due 06/15/2039		3,500		3,335
CS First Boston Mortgage Securities Corp.
0.206% due 08/15/2038 (a)		369,592		1,250
4.832% due 04/15/2037		3,000		2,835
5.785% due 06/25/2032		5		5
7.290% due 09/15/2041		46		47
CW Capital Cobalt Ltd.
5.484% due 04/15/2047		3,900		3,636
Denver Arena Trust
6.940% due 11/15/2019		8,912		8,520
Deutsche ALT-A Securities, Inc.
Alternate Loan Trust
5.500% due 12/25/2035		7,967		6,529
5.582% due 10/25/2035		5,823		5,042
5.869% due 10/25/2036		7,393		5,361
5.886% due 10/25/2036		7,400		5,298
6.300% due 07/25/2036		8,098		6,668
DLJ Commercial Mortgage Corp.
7.340% due 10/10/2032		5,459		5,598
DLJ Mortgage Acceptance Corp.
6.178% due 11/25/2023		17		17
Downey Savings & Loan Association Mortgage Loan Trust
2.792% due 11/19/2037		6,250		2,086
2.802% due 07/19/2045		3,340		2,081
FFCA Secured Lending Corp.
8.180% due 09/18/2027		2,000		1,298
8.970% due 09/18/2027		4,000		1,683
Fifth Third Mortgage Loan Trust
5.963% due 11/19/2032		142		119
First Horizon Alternative Mortgage Securities
6.250% due 08/25/2037		6,474		6,209
First Horizon Asset Securities, Inc.
4.384% due 12/25/2033		5,914		5,770
First Nationwide Trust
6.750% due 08/21/2031		320		320
First Republic Mortgage Loan Trust
2.771% due 08/15/2032		15,875		14,353
2.821% due 11/15/2031		6,343		5,880
3.737% due 11/15/2031		1,510		1,456
GMAC Commercial Mortgage Securities, Inc.
6.420% due 05/15/2035		109		109
GMAC Mortgage Corp. Loan Trust
4.305% due 06/25/2034		5,675		4,563
5.500% due 09/25/2034		7,354		7,271
Greenpoint Mortgage Funding Trust
2.682% due 10/25/2046		3,550		1,862
2.682% due 12/25/2046		3,350		1,199
2.692% due 10/25/2046		4,750		1,813
2.702% due 06/25/2045		2,525		2,078
2.712% due 06/25/2045		9,029		7,468
2.752% due 04/25/2036		4,122		2,347
2.802% due 09/25/2046		2,850		1,183
2.822% due 10/25/2046		3,852		1,476
Greenpoint Mortgage Pass-Through Certificates
4.392% due 10/25/2033		269		256
GS Mortgage Securities Corp. II
6.044% due 08/15/2018		8,696		8,852
GSR Mortgage Loan Trust
2.742% due 08/25/2046		3,793		1,984
4.519% due 06/25/2034		189		175
4.539% due 09/25/2035		622		603
5.248% due 11/25/2035		49,058		46,147
5.347% due 11/25/2035		7,267		6,875
5.460% due 04/25/2036		930		813
GSRPM Mortgage Loan Trust
2.882% due 11/25/2031		2,787		2,782
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		1,203		1,094
2.672% due 01/19/2038		25,558		18,302
2.672% due 02/19/2046		15,583		11,745
2.682% due 09/19/2046		4,744		3,286
2.702% due 05/19/2035		7,241		5,499
2.732% due 01/19/2038		2,610		1,383
2.732% due 09/19/2046		3,852		2,089
4.943% due 11/19/2034		210		198
6.276% due 08/19/2034		7,196		6,459
Homebanc Mortgage Trust
2.662% due 12/25/2036		1,384		1,069
5.800% due 04/25/2037		8,213		6,462
Indymac ARM Trust
6.124% due 01/25/2032		21		17
Indymac Index Mortgage Loan Trust
2.672% due 04/25/2037		2,264		1,236
2.682% due 11/25/2046		4,458		2,180
2.722% due 04/25/2035		5,467		4,182
2.732% due 02/25/2037		2,450		960
2.752% due 06/25/2037		4,550		2,655
2.772% due 11/25/2036		3,836		2,135
2.782% due 06/25/2037		952		551
5.000% due 08/25/2035		3,957		3,303
5.099% due 09/25/2035		7,166		5,884
5.369% due 01/25/2036		4,191		4,023
JPMorgan Chase Commercial Mortgage Securities Corp.
4.853% due 03/15/2046		15,000		14,570
5.305% due 01/15/2049		37,000		36,053
5.336% due 05/15/2047		2,700		2,538
5.937% due 02/12/2049		26,000		24,778
JPMorgan Mortgage Trust
5.120% due 10/25/2035		3,600		3,373
5.379% due 08/25/2035		6,968		6,610
5.403% due 11/25/2035		3,285		3,141
Kidder Peabody Mortgage Assets Trust
9.500% due 04/22/2018 (a)		56		11
LB Mortgage Trust
8.423% due 01/20/2017		1,932		1,978
LB-UBS Commercial Mortgage Trust
5.424% due 02/15/2040		4,000		3,729
5.866% due 09/15/2045		25,000		23,903
6.133% due 12/15/2030		470		480
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		4,311		4,103
Lehman XS Trust
2.562% due 07/25/2046		1,051		1,026
MASTR Adjustable Rate Mortgages Trust
2.722% due 05/25/2037		1,141		794
2.782% due 05/25/2047		3,950		1,960
2.822% due 05/25/2047		3,350		1,287
3.788% due 11/21/2034		6,081		6,007
MASTR Asset Securitization Trust
5.500% due 09/25/2033		6,540		6,129
MASTR Reperforming Loan Trust
7.000% due 08/25/2034		330		327
Mellon Residential Funding Corp.
2.821% due 11/15/2031		3,432		3,096
2.911% due 12/15/2030		3,255		3,024
2.994% due 06/15/2030		259		245
3.351% due 11/15/2031		337		327
Merrill Lynch Alternative Note Asset
2.782% due 03/25/2037		1,400		850
Merrill Lynch Countrywide Commercial Mortgage Trust
5.700% due 09/12/2049		1,100		1,039
Merrill Lynch Mortgage Investors, Inc.
0.668% due 04/25/2028 (a)		1,243		48
2.692% due 02/25/2036		5,125		4,122
Merrill Lynch Mortgage Trust
1.772% due 07/12/2034 (a)		59,918		870
MLCC Mortgage Investors, Inc.
2.732% due 11/25/2035		2,146		1,899
2.851% due 03/15/2025		280		211
3.482% due 10/25/2035		1,269		1,178
4.546% due 01/25/2029		4,000		3,774
Morgan Stanley Capital I
2.542% due 10/15/2020		5,786		5,408
5.544% due 11/12/2049		4,500		4,053
5.692% due 04/15/2049		3,600		3,402
Morgan Stanley Dean Witter Capital I
4.740% due 11/13/2036		4,500		4,343
Morgan Stanley Mortgage Loan Trust
2.852% due 11/25/2035		3,628		1,611
2.992% due 02/25/2047		4,082		2,692
5.701% due 02/25/2047		6,516		4,691
6.446% due 06/25/2036		9,757		8,128
Nomura Asset Acceptance Corp.
5.820% due 03/25/2047		6,200		5,165
6.138% due 03/25/2047		5,600		4,323
7.000% due 02/19/2030		777		762
Ocwen Residential MBS Corp.
6.886% due 06/25/2039		676		338
Opteum Mortgage Acceptance Corp.
2.742% due 07/25/2035		1,189		1,027
Prime Mortgage Trust
2.882% due 02/25/2034		373		339
5.000% due 02/25/2019		25		24
Residential Accredit Loans, Inc.
2.582% due 09/25/2046		1,566		1,071
2.642% due 01/25/2037		2,238		1,785
2.662% due 06/25/2046		77		55
2.662% due 02/25/2047		2,345		1,240
2.682% due 12/25/2046		3,250		1,274
2.712% due 05/25/2037		5,860		3,044
2.752% due 05/25/2046		2,650		983
2.788% due 09/25/2046		5,900		2,424
2.882% due 03/25/2033		636		589
2.882% due 10/25/2045		3,789		2,948
5.300% due 08/25/2035		763		637
5.672% due 09/25/2035		5,747		4,895
5.714% due 02/25/2036		6,542		5,312
Residential Asset Mortgage Products, Inc.
6.500% due 11/25/2031		525		532
Residential Asset Securitization Trust
2.882% due 05/25/2033		600		545
6.000% due 03/25/2037		966		855
Residential Funding Mortgage Securities I
5.209% due 09/25/2035		3,413		2,994
Sequoia Mortgage Trust
2.829% due 07/20/2033		3,351		3,001
2.832% due 10/19/2026		149		141
2.859% due 10/20/2027		3,884		3,415
4.080% due 04/20/2035		7,326		6,715
Sovereign Commercial Mortgage Securities Trust
5.833% due 07/22/2030		5,300		5,209
Starwood Commercial Mortgage Trust
6.920% due 02/03/2014		1,000		1,020
Structured Adjustable Rate Mortgage Loan Trust
2.702% due 05/25/2037		2,554		1,840
2.972% due 06/25/2034		1,545		1,383
4.590% due 04/25/2034		7,912		7,552
5.349% due 01/25/2035		4,031		3,938
5.377% due 11/25/2035		4,252		3,611
5.505% due 07/25/2035		2,161		2,025
5.950% due 02/25/2036		7,171		5,445
6.000% due 03/25/2036		6,703		4,963
6.000% due 10/25/2037		6,247		4,667
Structured Asset Mortgage Investments, Inc.
2.662% due 06/25/2036		23,942		16,781
2.692% due 04/25/2036		32,955		23,336
2.702% due 05/25/2036		5,568		3,907
2.712% due 05/25/2045		3,407		2,689
2.732% due 07/19/2035		8,720		7,511
2.732% due 09/25/2047		6,439		3,610
2.742% due 05/25/2046		7,245		4,100
2.782% due 08/25/2036		4,250		2,204
2.812% due 09/19/2032		6,512		5,935
2.812% due 10/19/2034		412		342
2.832% due 03/19/2034		1,837		1,647
5.758% due 05/02/2030		274		233
6.243% due 05/25/2022		1,704		1,575
Structured Asset Securities Corp.
4.510% due 01/25/2034		6,516		6,071
5.000% due 05/25/2035		25,130		23,369
5.369% due 01/25/2032		318		313
5.432% due 10/25/2035		1,082		987
5.820% due 07/25/2032		3		3
6.050% due 02/25/2032		4		4
6.675% due 08/25/2032		569		544
TBW Mortgage-Backed Pass-Through Certificates
5.630% due 01/25/2037		3,000		2,162
5.970% due 09/25/2036		9,600		7,023
6.014% due 07/25/2037		6,218		4,981
Thornburg Mortgage Securities Trust
2.582% due 03/25/2037		11,522		10,726
2.612% due 06/25/2037		6,280		5,870
2.632% due 11/25/2046		3,575		3,368
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		3,431		3,237
5.342% due 12/15/2043		9,611		8,892
Wachovia Mortgage Loan Trust LLC
5.444% due 10/20/2035		2,199		2,082
WaMu Mortgage Pass-Through Certificates
2.702% due 07/25/2046		1,215		961
2.712% due 04/25/2045		253		199
2.742% due 11/25/2045		1,774		1,361
2.772% due 10/25/2045		11,156		8,707
2.792% due 01/25/2045		8,129		6,303
2.802% due 07/25/2045		254		202
2.808% due 11/25/2034		4,705		4,040
2.822% due 01/25/2045		287		233
2.872% due 12/25/2045		89		88
2.892% due 11/25/2045		3,250		2,072
2.892% due 12/25/2045		3,250		1,765
2.928% due 11/25/2034		3,001		2,543
2.938% due 07/25/2044		711		626
3.022% due 12/25/2027		7,996		7,304
3.122% due 12/25/2027		492		467
3.182% due 12/25/2045		1,123		448
4.043% due 09/25/2033		18,572		17,780
4.278% due 06/25/2047		4,357		2,441
4.338% due 07/25/2047		5,567		4,011
4.561% due 06/25/2033		2,424		2,363
4.585% due 04/25/2035		3,625		3,595
4.780% due 07/25/2046		13,836		11,075
4.780% due 08/25/2046		776		639
4.917% due 08/25/2035		4,765		4,717
4.928% due 06/25/2042		1,332		1,209
4.928% due 08/25/2042		2,635		2,364
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.732% due 07/25/2046		2,596		1,459
4.288% due 04/25/2047		5,709		3,243
4.298% due 04/25/2047		5,429		3,109
4.368% due 05/25/2047		5,360		3,150
6.268% due 07/25/2036		4,600		3,292
Washington Mutual MSC Mortgage Pass-Through Certificates
6.500% due 09/25/2032		3,921		3,639
6.549% due 11/25/2030		769		723
Wells Fargo Mortgage-Backed Securities Trust
3.989% due 12/25/2034		9,001		8,796
4.416% due 05/25/2035		475		466
4.596% due 12/25/2033		8,169		7,410
4.945% due 01/25/2035		15,398		14,960
4.993% due 12/25/2034		3,715		3,615
5.515% due 08/25/2036		863		842
Total Mortgage-Backed Securities (Cost $1,557,037)				1,451,143
ASSET-BACKED SECURITIES 8.3%
Aames Mortgage Investment Trust
2.882% due 10/25/2035		1,946		1,888
ABFS Mortgage Loan Trust
6.285% due 07/15/2033		2,000		1,710
Accredited Mortgage Loan Trust
2.522% due 09/25/2036		1,907		1,891
ACE Securities Corp.
2.532% due 06/25/2036		37		37
2.562% due 10/25/2036		2,534		2,507
2.612% due 05/25/2036		8,289		8,197
3.182% due 08/25/2030		77		70
AFC Home Equity Loan Trust
2.892% due 06/25/2029		740		314
3.032% due 12/26/2029		34		24
Aircraft Certificate Owner Trust
6.455% due 09/20/2022		2,180		2,258
American Express Credit Account Master Trust
2.471% due 03/15/2011		11,400		11,398
2.561% due 03/15/2012		9,330		9,297
American Express Issuance Trust
2.671% due 09/15/2011		12,000		11,884
Amortizing Residential Collateral Trust
2.752% due 06/25/2032		68		64
2.772% due 07/25/2032		736		615
3.182% due 10/25/2031		404		387
Amresco Residential Securities Mortgage Loan Trust
2.978% due 06/25/2028		197		166
3.038% due 06/25/2027		847		746
3.112% due 09/25/2028		1,983		1,609
3.422% due 06/25/2029		204		199
Argent Securities, Inc.
2.532% due 10/25/2036		1,037		1,008
Asset-Backed Funding Certificates
2.522% due 09/25/2036		1,628		1,616
2.542% due 10/25/2036		905		897
3.502% due 03/25/2032		1,323		1,014
Asset-Backed Securities Corp. Home Equity
2.532% due 12/25/2036		1,680		1,625
2.542% due 07/25/2036		314		313
2.991% due 06/15/2031		332		288
BA Credit Card Trust
3.671% due 12/16/2013		167,000		169,606
Bear Stearns Asset-Backed Securities Trust
3.132% due 02/25/2034		439		399
3.232% due 11/25/2042		2,090		1,783
3.482% due 10/25/2037		6,838		5,652
3.682% due 10/25/2032		845		747
5.695% due 06/25/2043		106		96
Capital Auto Receivables Asset Trust
3.921% due 10/15/2012		500		505
Carrington Mortgage Loan Trust
2.532% due 10/25/2036		319		316
2.548% due 07/25/2036		80		80
2.582% due 06/25/2037		5,685		5,470
CDC Mortgage Capital Trust
3.532% due 01/25/2033		2,309		1,540
Centex Home Equity
2.782% due 01/25/2032		122		114
3.332% due 01/25/2032		1,409		1,069
Charming Shoppes Master Trust
2.801% due 05/15/2014		6,000		5,966
Chase Credit Card Master Trust
2.821% due 02/15/2011		7,000		6,990
Chase Funding Mortgage Loan Asset-Backed Certificates
2.782% due 07/25/2033		133		121
3.122% due 08/25/2032		605		595
3.142% due 11/25/2032		929		873
Chase Issuance Trust
3.227% due 08/17/2015		19,900		19,701
CIT Group Home Equity Loan Trust
2.752% due 06/25/2033		951		872
2.772% due 03/25/2033		449		419
3.132% due 12/25/2031		1,521		1,080
Citibank Omni Master Trust
3.581% due 12/23/2013		135,300		136,514
3.597% due 03/20/2013		19,000		19,000
Citigroup Mortgage Loan Trust, Inc.
2.522% due 08/25/2036		496		494
2.532% due 10/25/2036		427		423
2.552% due 08/25/2036		67		67
5.764% due 01/25/2037		4,900		3,690
Community Program Loan Trust
4.500% due 10/01/2018		720		713
Conseco Finance
3.171% due 08/15/2033		3,151		2,039
3.971% due 05/15/2032		1,175		1,016
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		12,434		9,175
8.200% due 02/01/2032		40,000		31,096
8.400% due 02/01/2032		1,322		50
Countrywide Asset-Backed Certificates
2.512% due 01/25/2046		3,473		3,447
2.532% due 01/25/2037		1,469		1,463
2.532% due 04/25/2047		3,629		3,542
2.542% due 03/25/2037		2,990		2,934
2.542% due 09/25/2046		443		440
2.552% due 12/25/2036		185		183
2.592% due 10/25/2046		941		924
2.692% due 10/25/2035		45		45
2.932% due 06/25/2033		902		790
2.952% due 11/25/2033		920		826
2.982% due 09/25/2032		2,750		2,465
Credit-Based Asset Servicing & Securitization LLC
3.582% due 04/25/2032		537		503
CS First Boston Mortgage Securities Corp.
2.842% due 05/25/2044		1,290		1,186
CSAB Mortgage-Backed Trust
2.582% due 06/25/2036		159		158
5.684% due 12/25/2036		6,700		4,643
5.720% due 09/25/2036		7,600		6,225
6.172% due 06/25/2036		9,400		7,836
Delta Funding Home Equity Loan Trust
3.291% due 09/15/2029		17		12
EMC Mortgage Loan Trust
2.852% due 05/25/2040		1,103		1,020
Equifirst Mortgage Loan Trust
2.722% due 01/25/2034		565		514
Fieldstone Mortgage Investment Corp.
2.562% due 05/25/2036		28		28
First Franklin Mortgage Loan Asset-Backed Certificates
2.532% due 11/25/2036		14,924		14,341
2.862% due 10/25/2034		314		311
First International Bank N.A.
3.021% due 03/15/2027		3,127		1,234
3.051% due 04/15/2026		204		72
First Plus Home Loan Trust
7.670% due 05/10/2024		982		981
Ford Credit Auto Owner Trust
3.371% due 01/15/2011		8,600		8,626
3.671% due 12/15/2010		24,000		24,113
3.891% due 06/15/2012		114,000		115,181
4.360% due 06/15/2010		1,255		1,262
Franklin Auto Trust
3.482% due 10/20/2011		4,900		4,891
4.062% due 06/20/2012		3,700		3,693
Fremont Home Loan Trust
2.652% due 01/25/2036		119		119
GE-WMC Mortgage Securities LLC
2.522% due 08/25/2036		1,765		1,716
GMAC Mortgage Corp. Loan Trust
2.722% due 01/25/2029		1,584		922
Green Tree Financial Corp.
6.240% due 11/01/2016		4,029		3,849
7.060% due 02/01/2031		7,000		5,447
7.400% due 06/15/2027		3,096		3,217
7.550% due 01/15/2029		403		400
8.000% due 07/15/2018		1,070		1,091
8.050% due 10/15/2027		411		429
9.100% due 04/15/2025		3,278		3,361
GSAMP Trust
2.552% due 06/25/2036		5		5
2.552% due 09/25/2036		3,002		2,952
2.602% due 12/25/2035		226		224
2.632% due 10/25/2036		9,709		3,630
2.772% due 03/25/2034		138		136
2.882% due 02/25/2033		814		712
GSRPM Mortgage Loan Trust
2.862% due 09/25/2042		986		977
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		687		676
2.829% due 09/20/2033		2,137		2,006
Home Equity Asset Trust
2.642% due 05/25/2036		7,103		6,839
IMC Home Equity Loan Trust
6.880% due 11/20/2028		173		172
7.520% due 08/20/2028		96		96
Irwin Home Equity Corp.
3.832% due 02/25/2029		1,619		1,252
Ischus CDO Ltd.
2.729% due 09/10/2013		655		532
JPMorgan Mortgage Acquisition Corp.
2.562% due 08/25/2036		2,450		2,349
Lehman XS Trust
2.562% due 06/25/2046		2,399		2,312
2.562% due 08/25/2046		2,829		2,775
2.572% due 05/25/2046		706		689
2.602% due 11/25/2036		875		850
2.652% due 04/25/2046		4,750		4,430
2.712% due 06/25/2046		4,381		2,476
2.712% due 08/25/2046		3,951		2,613
2.722% due 09/25/2046		4,889		2,465
2.722% due 11/25/2046		4,695		2,607
2.802% due 11/25/2046		2,050		715
8.160% due 08/25/2046		3,557		756
Long Beach Mortgage Loan Trust
3.908% due 03/25/2032		2,730		2,114
MASTR Asset-Backed Securities Trust
2.542% due 10/25/2036		76		76
2.582% due 03/25/2036		9,650		9,449
5.049% due 11/25/2035		4,862		4,854
Merrill Lynch Mortgage Investors, Inc.
2.542% due 10/25/2037		3,366		3,261
2.562% due 09/25/2037		5,451		5,318
2.842% due 06/25/2035		1,181		1,053
Mesa Trust Asset-Backed Certificates
2.882% due 12/25/2031		1,269		1,255
Mid-State Trust
6.340% due 10/15/2036		1,770		1,444
7.340% due 07/01/2035		1,023		1,033
7.400% due 07/01/2035		44		44
7.790% due 07/01/2035		58		56
7.791% due 03/15/2038		2,159		1,917
8.330% due 04/01/2030		10,943		10,821
Morgan Stanley ABS Capital I
2.512% due 06/25/2036		12		12
2.522% due 07/25/2036		3,833		3,804
2.522% due 09/25/2036		209		205
2.582% due 10/25/2036		5,000		4,525
2.982% due 03/25/2033		2,511		2,214
Morgan Stanley Mortgage Loan Trust
2.842% due 04/25/2037		700		409
5.726% due 10/25/2036		5,324		4,326
5.750% due 11/25/2036		6,725		5,840
5.750% due 04/25/2037		6,234		5,439
6.000% due 07/25/2047		6,644		5,717
Nationstar Home Equity Loan Trust
2.542% due 06/25/2037		316		299
Nelnet Student Loan Trust
2.811% due 12/22/2014		30		31
3.010% due 07/25/2016		220		220
New Century Home Equity Loan Trust
2.552% due 08/25/2036		358		355
Oakwood Mortgage Investors, Inc.
2.846% due 03/15/2018		1,304		1,116
Option One Mortgage Loan Trust
3.082% due 01/25/2032		272		254
Origen Manufactured Housing
7.650% due 03/15/2032		13,200		13,135
Ownit Mortgage Loan Asset-Backed Certificates
2.542% due 03/25/2037		738		731
Preferred Credit Corp.
7.590% due 07/25/2026		58		58
Renaissance Home Equity Loan Trust
2.842% due 11/25/2034		530		473
2.922% due 08/25/2033		2,259		2,000
2.982% due 12/25/2033		5,856		4,872
3.682% due 08/25/2032		2,698		2,425
Residential Asset Mortgage Products, Inc.
2.562% due 10/25/2036		3,559		3,342
2.602% due 10/25/2036		6,777		6,456
Residential Asset Securities Corp.
2.552% due 07/25/2036		36		36
2.552% due 11/25/2036		3,998		3,952
2.562% due 10/25/2036		2,656		2,606
2.982% due 07/25/2032		1,843		1,604
3.062% due 06/25/2033		231		162
3.082% due 06/25/2032		150		113
Residential Funding Mortgage Securities II, Inc.
2.582% due 02/25/2036		1,589		1,506
8.350% due 12/25/2024		805		732
8.350% due 03/25/2025		180		157
Residential Mortgage Loan Trust
3.938% due 09/25/2029		196		193
SACO I, Inc.
2.742% due 06/25/2036		1,950		1,145
Salomon Brothers Mortgage Securities VII, Inc.
3.400% due 01/25/2032		382		261
3.458% due 10/25/2028		546		470
6.930% due 08/25/2028		662		654
Saxon Asset Securities Trust
2.542% due 10/25/2046		4,160		4,068
2.822% due 12/26/2034		1,041		840
2.982% due 03/25/2032		1,604		1,494
3.002% due 08/25/2032		18		18
SBI HELOC Trust
2.652% due 08/25/2036		1,259		1,204
Sears Credit Account Master Trust
2.691% due 04/16/2013		19,000		18,736
Securitized Asset-Backed Receivables LLC Trust
2.542% due 03/25/2036		439		436
2.542% due 12/25/2036		10,143		9,512
SLM Student Loan Trust
2.882% due 10/27/2014 (b)		24,000		23,985
2.910% due 10/27/2014		5,892		5,873
2.950% due 10/25/2019		1,750		1,728
3.000% due 04/27/2020		6,048		5,946
3.030% due 04/25/2017		469		468
Soundview Home Equity Loan Trust
2.542% due 11/25/2036		415		406
2.582% due 10/25/2036		508		504
Specialty Underwriting & Residential Finance
2.532% due 09/25/2037		18,666		18,220
3.162% due 01/25/2034		289		238
Structured Asset Securities Corp.
2.532% due 10/25/2036		7,380		7,207
2.772% due 01/25/2033		17		15
2.882% due 05/25/2034		1,235		1,068
3.532% due 01/25/2033		1,138		747
TABS Ltd.
3.875% due 02/12/2047		2,920		118
Trapeza CDO I LLC
3.589% due 11/16/2034		1,000		638
Truman Capital Mortgage Loan Trust
2.822% due 01/25/2034		82		81
UCFC Manufactured Housing Contract
7.900% due 01/15/2028		2,500		1,356
Vanderbilt Mortgage Finance
7.905% due 02/07/2026		83		86
Wells Fargo Home Equity Trust
2.722% due 10/25/2035		13,069		12,782
2.732% due 12/25/2035		8,943		8,747
WMC Mortgage Loan Pass-Through Certificates
3.371% due 10/15/2029		31		30
Total Asset-Backed Securities (Cost $1,055,702)				1,021,074
		Shares
CONVERTIBLE PREFERRED STOCKS 0.1%
American International Group, Inc.
8.500% due 08/01/2011		261,000		15,475
Total Convertible Preferred Stocks (Cost $19,575)				15,475
		Principal Amount (000s)
SHORT-TERM INSTRUMENTS 4.9%
Commercial Paper 2.5%
Citibank N.A.
3.570% due 08/19/2008	$	98,000		97,524
UBS Finance Delaware LLC
2.930% due 10/27/2008		208,400		206,387
				303,911
U.S. Treasury Bills 2.4%
1.851% due 08/28/2008 - 09/25/2008 (d)(e)		291,500		290,313
Total Short-Term Instruments (Cost $594,463)				594,224
Purchased Options (j) 0.0% (Cost $907)				443
Total Investments 187.3% (Cost $23,113,756)			$	22,969,528
Written Options (k) (0.0%) (Premiums $889)				(615	)
Other Assets and Liabilities (Net) (87.3%)				(10,707,941	)
Net Assets 100.0%			$	12,260,972

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) Interest only security.

(b) When-issued security.

(c) Principal only security.

(d) Coupon represents a weighted average rate.

(e) Securities with an aggregate market value of $290,313 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(f) Securities with an aggregate market value of $156,665 and cash of $40,000 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2008.

(g) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $2,942,742 at a weighted average interest rate of 2.515%. On June 30, 2008, securities valued at $5,118,955 were pledged as collateral for reverse repurchase agreements.

(h) Cash of $5,480 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar June Futures	Long	06/2009	2,726	$	1,861
90-Day Eurodollar March Futures	Long	03/2009	696		(1,027	)
				$	834

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
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	BCLY	$	5,000	$	4,220
Altius Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 12/09/2040	Buy	(1.230	%)	12/09/2040	MLP		2,986		2,493
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	UBS		2,526		933
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	BEAR		5,000		1,233
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	BEAR		2,460		2,390
Buckingham CDO Ltd. floating rate based on 1-Month USD-LIBOR plus 1.600% due 04/05/2041	Buy	(1.250	%)	04/05/2041	BOA		116		97
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	CITI		5,000		1,229
CS First Boston Mortgage Securities Corp. 5.300% due 07/15/2037	Buy	(1.080	%)	07/15/2037	UBS		10,000		3,979
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	JPM		3,000		1,371
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	LEH		3,000		(1,367	)
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	BCLY		5,000		4,693
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	%)	06/25/2034	MLP		1,667		1,553
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	RBS		5,000		4,719
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	GSC		3,455		3,158
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	MLP		5,000		4,664
KLIO Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.800% due 04/23/2039	Buy	(1.700	%)	04/23/2039	BEAR		4,000		3,028
Lancer Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 3.250% due 04/06/2046	Buy	(2.900	%)	04/06/2046	BEAR		7,053		6,794
LB-UBS Commercial Mortgage Trust 5.587% due 09/15/2040	Buy	(1.170	%)	09/15/2040	BEAR		4,000		1,266
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	BCLY		982		167
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	UBS		5,000		4,777
Merrill Lynch Mortgage Trust 5.244% due 11/12/2037	Buy	(1.150	%)	11/12/2037	BEAR		4,000		1,555
Merrill Lynch Mortgage Trust 5.527% due 06/12/2043	Buy	(1.080	%)	06/12/2043	UBS		10,000		3,972
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	DUB		5,000		4,833
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	BCLY		5,000		(4,815	)
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	MSC		998		220
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	GSC		3,413		3,189
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	JPM		1,000		220
Race Point CLO floating rate based on 3-Month USD-LIBOR plus 1.650% due 04/15/2020	Buy	(1.950	%)	04/15/2020	WAC		2,000		567
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	MLP		5,000		4,639
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	CITI		5,000		(4,596	)
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	LEH		5,000		4,656
RFC CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 2.900% due 07/15/2051	Buy	(3.100	%)	07/15/2051	LEH		4,766		4,236
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	LEH		3,000		754
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	LEH		10,000		8,811
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	MLP		5,000		4,699
Specialty Underwriting & Residential Finance floating rate based on 1-Month USD-LIBOR plus 1.300% due 02/25/2035	Buy	(0.590	%)	02/25/2035	BCLY		1,362		183
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	BCLY		1,896		1,725
Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500	%)	10/11/2021	GSC		1,500		367
Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 03/08/2040	Buy	(4.300	%)	03/08/2040	BOA		1,211		1,069
Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.275% due 03/08/2040	Buy	(3.900	%)	03/08/2040	GSC		678		599
Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.600% due 03/08/2040	Buy	(2.420	%)	03/08/2040	LEH		5,000		3,930
Trinity CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.600% due 03/08/2040	Buy	(1.700	%)	03/08/2040	BEAR		1,000		786
Vertical CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 3.350% due 02/09/2046	Buy	(3.200	%)	02/09/2046	LEH		2,457		2,291
								$	95,287

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	BCLY	$	8,600	$	89
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC		214,400		11,479
CMBX N.A. AAA 4 Index	Buy	(0.350	%)	02/17/2051	BCLY		21,100		(247	)
CMBX N.A. AAA 4 Index	Buy	(0.350	%)	02/17/2051	MSC		55,000		(645	)
CMBX N.A. BBB- 1 Index	Sell	1.340	%	10/12/2052	DUB		8,000		(3,195	)
Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045	BOA		25,000		19,722
Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045	CITI		25,000		19,801
Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045	LEH		10,000		7,892
Home Equity Index A Rating 2006-1	Buy	(0.540	%)	07/25/2045	UBS		1,000		790
Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045	BCLY		11,000		(8,365	)
Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045	GSC		50,000		(39,540	)
Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046	CSFB		25,000		(8,774	)
Home Equity Index A Rating 2006-2	Sell	0.440	%	05/25/2046	UBS		2,000		(783	)
Home Equity Index AA Rating 2007-1	Sell	0.150	%	08/25/2037	CITI		5,000		(1,951	)
Home Equity Index AAA Rating 2006-2	Buy	(0.110	%)	05/25/2046	CSFB		10,000		2,459
Home Equity Index AAA Rating 2006-2	Sell	0.110	%	05/25/2046	GSC		7,000		(2,158	)
Home Equity Index AAA Rating 2006-2	Sell	0.110	%	05/25/2046	JPM		3,000		(924	)
Home Equity Index BBB Rating 2006-1	Buy	(1.540	%)	07/25/2045	CITI		31,000		28,059
Home Equity Index BBB Rating 2006-1	Buy	(1.540	%)	07/25/2045	CSFB		2,000		1,808
Home Equity Index BBB Rating 2006-1	Buy	(1.540	%)	07/25/2045	GSC		1,500		1,218
Home Equity Index BBB Rating 2006-1	Buy	(1.540	%)	07/25/2045	JPM		100,000		90,664
Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045	BOA		2,500		(2,074	)
Home Equity Index BBB Rating 2006-1	Sell	1.540	%	07/25/2045	UBS		132,000		(116,418	)
Home Equity Index BBB Rating 2006-2	Buy	(1.330	%)	05/25/2046	BEAR		5,000		1,944
Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046	CITI		62,000		(43,915	)
Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046	JPM		7,000		(6,476	)
Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046	MLP		5,500		(3,672	)
Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046	MSC		10,000		(6,739	)
Home Equity Index BBB Rating 2006-2	Sell	1.330	%	05/25/2046	UBS		95,500		(71,197	)
Home Equity Index BBB Rating 2007-1	Sell	2.240	%	08/25/2037	MLP		10,000		(7,238	)
								$	(138,386	)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI	$	2,200	$	16
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		14,700		(64	)
Receive	3-Month USD-LIBOR	5.000	%	12/15/2014	BOA		6,800		(26	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		76,400		(86	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		30,420		(75	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		215,100		(386	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		512,830		(4,953	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		218,900		(7,638	)
Receive	30-Day USD-CMM Rate	5.000	%	01/16/2009	MLP		130,000		9,368
Receive	30-Day USD-CMM Rate	4.500	%	01/23/2009	MLP		26,000		1,760
Receive	30-Day USD-CMM Rate	5.500	%	05/21/2009	MLP		98,000		2,145
								$	61

Interest Rate Cap/Floor Swaps

Counterparty

Floating Rate Index

Cap/ Floor

Cap/Floor Rate

Pay/Receive Floating Rate

Premium Amount

Expiration Date

Notional Amount

Unrealized (Depreciation)

LEH

3-Month USD-LIBOR with 6.150% interest rate cap

Cap

6.150

%

Receive

$

2,211

10/01/2011

$

39,000

$

(2,046

)

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

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Cost

Value

Call - OTC 2-Year Interest Rate Swap

BCLY

3-Month USD-LIBOR

Pay

3.500

%

02/02/2009

$

93,500

$

907

$

443

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

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call - OTC 5-Year Interest Rate Swap

BCLY

3-Month USD-LIBOR

Receive

4.300

%

02/02/2009

$

40,700

$

889

$

615

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	4.500	%	12/01/2099	$	54,000	$	51,752	$	52,194
Fannie Mae	5.000	%	07/01/2023		131,000		128,482		129,547
Fannie Mae	5.000	%	07/01/2038		770,000		726,696		738,117
Fannie Mae	5.500	%	07/01/2023		176,000		176,184		177,183
Fannie Mae	5.500	%	07/01/2038		501,630		498,630		494,497
Fannie Mae	6.000	%	07/01/2038		3,700,000		3,736,277		3,732,952
Fannie Mae	6.500	%	07/01/2038		225,800		231,128		232,468
U.S. Treasury Notes	3.500	%	02/15/2018		336,000		318,846		328,180
U.S. Treasury Notes	3.875	%	05/15/2018		10,500		10,317		10,498
U.S. Treasury Notes	4.250	%	11/15/2017		28,100		28,342		28,922
U.S. Treasury Notes	4.750	%	08/15/2017		213,534		222,863		230,927
						$	6,129,517	$	6,155,485

⁽³⁾ Market value includes $8,961 of interest payable on short sales.

(m) Fair Value Measurements ⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	15,475	$	22,883,316		$	70,737	$	22,969,528
Other Financial Instruments++		834		(6,235,078	)		42,855		(6,191,389	)
Total	$	16,309	$	16,648,238		$	113,592	$	16,778,139

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

	Beginning balance at 03/31/2008		Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/(losses)			Net transfers in/(out) of Level 3			Ending balance at 06/30/2008
Investments, at value	$	84,606	$	54,774	$	198	$	208		$	(69,049	)	$	70,737
Other Financial Instruments++		73,699		0		0		(30,844	)		0			42,855
Total	$	158,305	$	54,774	$	198	$	(30,636	)	$	(69,049	)	$	113,592

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

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

See Accompanying Notes

Schedule of Investments

Municipal Sector Portfolio

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 1.4%
Bank of America Corp.
8.000% due 12/29/2049	$	2,600	$	2,442
Citigroup, Inc.
8.400% due 04/29/2049		1,100		1,047
JPMorgan Chase & Co.
7.900% due 04/29/2049		1,100		1,035
Wachovia Corp.
7.980% due 12/31/2049		1,100		1,013
Total Corporate Bonds & Notes (Cost $5,894)				5,537
MUNICIPAL BONDS & NOTES 115.7%
California 28.9%
Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997
0.000% due 09/01/2035		5,000		1,127
California State Association of Bay Area Governments Financing Authority for Non-Profit Corp. Revenue Bonds, Series 2003
5.200% due 11/15/2022		5,000		5,082
California State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 10/01/2033		800		858
California State General Obligation Bonds, (AMBAC Insured), Series 2007
4.500% due 08/01/2028		12,500		11,630
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2032		6,000		5,950
5.000% due 06/01/2037		500		491
California State Health Facilities Financing Authority Revenue Bonds, (MBIA-IBC Insured), Series 2007
5.000% due 11/15/2042		13,750		13,205
California State Hollister Joint Powers Financing Authority Revenue Bonds, (FSA Insured), Series 2006
4.500% due 06/01/2037		1,870		1,678
California State Tobacco Securitization Agency Revenue Bonds, Series 2006
5.125% due 06/01/2046		9,500		7,316
California State University Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2030		700		703
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.125% due 06/01/2047		2,600		1,990
5.750% due 06/01/2047		3,190		2,721
Los Angeles, California Community College District General Obligation Bonds, (FGIC Insured), Series 2007
5.000% due 08/01/2027		2,200		2,252
5.000% due 08/01/2032		3,400		3,432
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		2,600		2,643
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2023		4,900		4,806
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
4.500% due 07/01/2025		4,400		4,253
4.500% due 01/01/2028		5,300		4,965
Los Gatos, California Union School District General Obligation Bonds, (FSA Insured), Series 2003
5.000% due 08/01/2030		510		521
Metropolitan Water District of Southern California State Revenue Bonds, (FGIC Insured), Series 2003
5.000% due 10/01/2036		500		502
Norco, California Redevelopment Agency Tax Allocation Bonds, (Radian Insured), Series 2004
5.000% due 03/01/2032		1,000		919
Palomar, California Community College District General Obligation Bonds, (FSA Insured), Series 2007
4.750% due 05/01/2032		11,900		11,617
Salinas, California Union High School District General Obligation Bonds, (FGIC Insured), Series 2003
0.000% due 10/01/2027		1,000		337
San Bernardino, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		3,000		3,028
San Francisco, California City & County Public Utilities Commission Revenue Bonds, (FSA Insured), Series 2006
4.750% due 11/01/2036		10,000		9,816
Santa Monica-Malibu, California Unified School District General Obligation Bonds, (FGIC Insured), Series 1999
0.000% due 08/01/2022		5,000		2,417
Southern California State Public Power Authority Revenue Bonds, (AMBAC Insured), Series 2005
8.090% due 07/01/2033		250		289
Southern California State Public Power Authority Revenue Bonds, (FGIC Insured), Series 1988
0.000% due 07/01/2014		8,155		6,469
Southern California State Tobacco Securitization Authority Revenue Bonds, Series 2006
5.000% due 06/01/2037		100		79
				111,096
Colorado 5.1%
Colorado State Certificates of Participation Bonds, (MBIA Insured), Series 2005
5.000% due 11/01/2030 (b)		8,000		8,004
Dawson Ridge, Colorado Metropolitan District No. 1 General Obligation Bonds, Series 1992
0.000% due 10/01/2022		2,930		1,485
El Paso County, Colorado Single-Family Mortgage Revenue Bonds, Series 1984
0.000% due 09/01/2015		2,000		1,500
Regional Transportation District of Colorado State Revenue Bonds, (AMBAC Insured), Series 2006
4.500% due 11/01/2032		9,085		8,596
				19,585
Connecticut 0.5%
Connecticut State Revenue Bonds, Series 2006
5.000% due 07/01/2024		1,750		1,824
Florida 3.1%
Florida Keys Aqueduct Authority Revenue Bonds, (FGIC Insured), Series 2007
5.000% due 09/01/2037		4,850		4,670
Florida State Board of Education General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 06/01/2037		100		94
Florida State General Obligation Bonds, Series 2008
5.250% due 07/01/2037		1,800		1,842
Palm Beach County, Florida Solid Waste Authority Revenue Bonds, (AMBAC Insured), Series 2002
0.000% due 10/01/2014		7,000		5,409
				12,015
Hawaii 0.2%
Honolulu, Hawaii Revenue Bonds, (FGIC Insured), Series 1998
4.750% due 07/01/2028		1,000		991
Idaho 0.2%
Idaho State Health Facilities Authority Revenue Bonds, (Radian Insured), Series 2005
5.000% due 09/01/2035		1,000		917
Illinois 7.4%
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		2,977
0.000% due 12/01/2020		6,550		3,527
Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998
0.000% due 12/01/2027		2,000		715
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001
0.000% due 01/01/2023 (a)		5,965		5,678
Chicago, Illinois O’Hare International Airport Revenue Bonds, (FGIC Insured), Series 2005
5.250% due 01/01/2023		5,000		5,077
Chicago, Illinois Revenue Bonds, (FHA/GNMA Insured), Series 2007
4.625% due 09/20/2037		1,725		1,434
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		800		808
Illinois State Finance Authority Revenue Bonds, Series 1991
0.000% due 07/15/2025		10,000		4,290
Illinois State Municipal Electric Agency Revenue Bonds, (FGIC Insured), Series 2007
5.000% due 02/01/2035		4,000		3,813
				28,319
Indiana 1.5%
Indiana State Ball State University Revenue Bonds, (FSA Insured), Series 2004
5.500% due 07/01/2020		475		530
Indiana State Purdue University Revenue Bonds, Series 2006
5.000% due 07/01/2022		5,000		5,177
				5,707
Louisiana 3.8%
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		16,160		14,701
Maryland 0.2%
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2007
5.000% due 07/01/2027		1,000		928
Massachusetts 2.6%
Commonwealth of Massachusetts General Obligation Bonds, (FSA Insured), Series 2004
5.500% due 12/01/2017		2,600		2,923
Commonwealth of Massachusetts General Obligation Bonds, (FSA Insured), Series 2006
4.884% due 11/01/2019		2,000		1,941
Massachusetts State Housing Finance Agency Revenue Bonds, Series 2003
5.000% due 06/01/2034 (b)		5,000		4,756
Massachusetts State Water Resources Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2034		250		252
				9,872
Michigan 4.7%
Detroit, Michigan Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 07/01/2034		125		120
Michigan State Building Authority Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 10/15/2020 (b)		9,905		10,576
Michigan State Higher Education Student Loan Authority Revenue Bonds, (AMBAC Insured), Series 2005
4.875% due 03/01/2030		8,500		7,357
				18,053
Mississippi 0.8%
Mississippi State Housing Finance Corp. Revenue Bonds, Series 1983
0.000% due 06/01/2015		4,180		3,124
Missouri 0.4%
Lees Summit, Missouri Industrial Development Authority Revenue Notes, Series 2007
5.000% due 08/15/2010		520		519
Missouri State Housing Development Commission Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2007
4.750% due 09/01/2032		490		423
St. Louis, Missouri Industrial Development Authority Revenue Bonds, Series 2007
4.875% due 03/01/2032		1,000		850
				1,792
Nevada 6.2%
Clark County, Nevada General Obligation Bonds, (FGIC Insured), Series 2006
4.750% due 11/01/2035 (b)		25,000		23,716
New Jersey 2.6%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.000% due 11/01/2028		2,480		2,215
New Jersey State Educational Facilities Authority Revenue Bonds, (Radian Insured), Series 2004
5.250% due 07/01/2034		2,000		1,920
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
5.750% due 06/01/2032		760		813
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2029		100		83
5.000% due 06/01/2041		6,400		4,840
				9,871
New York 7.2%
New York City, New York General Obligation Bonds, (MBIA Insured), Series 1999
5.125% due 05/15/2029 (b)		11,830		11,934
New York City, New York Municipal Water Finance Authority Revenue Bonds, (FSA Insured), Series 2005
8.390% due 06/15/2034		850		878
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2005
5.000% due 06/15/2031 (b)		10,000		10,117
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2037		3,800		3,838
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000
6.240% due 08/15/2022		750		763
				27,530
Ohio 3.5%
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.750% due 06/01/2034		200		172
5.875% due 06/01/2030		400		357
5.875% due 06/01/2047		9,700		8,106
6.000% due 06/01/2042		5,600		4,860
				13,495
Oregon 2.1%
Clackamas County, Oregon School District No. 12 General Obligation Bonds, (FSA Insured), Series 2007
0.000% due 06/15/2019 (a)		1,000		914
0.000% due 06/15/2020 (a)		4,140		3,752
0.000% due 06/15/2021 (a)		3,665		3,303
				7,969
Puerto Rico 0.0%
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		1,400		96
Rhode Island 0.7%
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.250% due 06/01/2042		2,925		2,720
South Carolina 2.1%
Lexington, South Carolina Health Services District Revenue Bonds, Series 2004
5.500% due 05/01/2037		1,500		1,624
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2030		6,000		6,361
				7,985
Tennessee 1.3%
Tennessee State Energy Acquisition Corp. Revenue Bonds, Series 2006
5.000% due 02/01/2024		3,500		3,206
5.000% due 02/01/2027		2,000		1,771
				4,977
Texas 25.4%
Arlington, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000
8.120% due 02/15/2024		750		755
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 05/15/2035 (b)		10,000		10,051
Austin, Texas Water and Wastewater Utilities Revenue Bonds, (XLCA Insured), Series 2007
5.000% due 11/15/2032		4,500		4,425
Carrollton-Farmers Branch, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2007
4.750% due 02/15/2032		5,000		4,882
Dallas, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2006
4.750% due 08/15/2032		2,000		1,952
Houston, Texas Higher Education Finance Corp. Revenue Bonds, Series 2007
4.750% due 05/15/2037		7,725		7,500
Houston, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
4.750% due 02/15/2026 (b)		1,500		1,501
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2007
5.000% due 11/15/2036		100		101
Lancaster, Texas Independent School District General Obligation Bonds, (FSA Insured), Series 2006
0.000% due 02/15/2024		2,250		975
Lubbock, Texas Health Facilities Development Corp. Revenue Bonds, Series 1998
5.250% due 07/01/2011		575		581
San Antonio, Texas General Obligation Notes, Series 2001
5.000% due 08/01/2010		50		52
San Antonio, Texas Utilities Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 02/01/2030 (b)		7,070		7,101
San Antonio, Texas Water Revenue Bonds, (MBIA Insured), Series 2005
4.750% due 05/15/2037		3,000		2,851
4.750% due 05/15/2038 (b)		25,000		23,664
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2007
5.000% due 02/15/2026		4,500		4,432
Tarrant, Texas Regional Water District Revenue Bonds, (FGIC Insured), Series 2006
4.750% due 03/01/2029		5,000		4,790
Texas State Capital Area Housing Finance Corp. Revenue Bonds, (FHA/VA Private Insured), Series 1984
0.000% due 01/01/2016		6,060		4,383
Texas State Transportation Commission Revenue Bonds, Series 2006
4.750% due 04/01/2024		11,445		11,585
University of Texas Revenue Bonds, Series 2006
4.750% due 08/15/2028		6,020		6,024
				97,605
Virginia 0.2%
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
5.500% due 06/01/2026		700		758
Washington 3.1%
King County, Washington General Obligation Bonds, (FGIC Insured), Series 2005
15.940% due 01/01/2035		3,410		3,551
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2026		10,480		4,000
Washington State General Obligation Bonds, (FGIC Insured), Series 2003
0.000% due 06/01/2016		6,230		4,375
				11,926
West Virginia 1.0%
Berkeley Brooke & Fayette Counties, West Virginia Revenue Bonds, Series 1983
0.000% due 12/01/2014		3,250		2,506
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		1,480		1,322
				3,828
Wisconsin 0.9%
Badger, Wisconsin Tobacco Asset Securitization Corp. Revenue Bonds, Series 2002
6.125% due 06/01/2027		2,455		2,424
6.375% due 06/01/2032		250		246
Wisconsin State General Obligation Bonds, (MBIA Insured), Series 2006
5.000% due 05/01/2037		200		187
Wisconsin State Housing & Economic Development Authority Revenue Bonds, (MBIA Insured), Series 2002
4.700% due 11/01/2012		35		35
Wisconsin State Housing & Economic Development Authority Revenue Notes, (MBIA Insured), Series 2002
4.600% due 05/01/2011		585		597
				3,489
Total Municipal Bonds & Notes (Cost $450,030)				444,890
SHORT-TERM INSTRUMENTS 0.9%
Commercial Paper 0.4%
Federal Home Loan Bank
2.000% due 07/01/2008		1,600		1,600
Repurchase Agreements 0.5%
State Street Bank and Trust Co.
1.650% due 07/01/2008		1,730		1,730
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $1,767. Repurchase proceeds are $1,730.)
Total Short-Term Instruments (Cost $3,330)				3,330
Total Investments 118.0% (Cost $459,254)			$	453,756
Other Assets and Liabilities (Net) (18.0%)				(69,254	)
Net Assets 100.0%		$384,502

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 becomes interest bearing at a future date.

(b) Securities represent fixed-rate municipal bonds transferred to a trust in a financing transaction in which the Portfolio acquired Residual Interest Municipal Bonds.

(c) Cash of $1,860 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Depreciation
U.S. Treasury 30-Year Bond September Futures	Short	09/2008	627	$	(750	)

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

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation
Municipal Bond Credit Derivative Index	Sell	0.350	%	06/20/2013	GSC	$	22,100	$	234

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Depreciation
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP	$	3,500	$	(39	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		15,600		(114	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		4,900		(31	)
								$	(184	)

(e) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0		$	453,756		$	0	$	453,756
Other Financial Instruments++		(750	)		(184	)		234		(700	)
Total	$	(750	)	$	453,572		$	234	$	453,056

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

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized and Unrealized Gains/ (Losses)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2008
Investments, at value	$	0	$	0	$	0	$	0	$	0	$	0
Other Financial Instruments++		0		0		0		234		0		234
Total	$	0	$	0	$	0	$	234	$	0	$	234

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

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

See Accompanying Notes

Schedule of Investments

Real Return Portfolio

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 13.1%
Banking & Finance 11.6%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013	$	2,100	$	2,095
American Express Bank FSB
5.500% due 04/16/2013		700		686
6.000% due 09/13/2017		2,300		2,226
American Express Centurion Bank
6.000% due 09/13/2017		2,200		2,129
American Express Co.
7.000% due 03/19/2018		1,200		1,219
8.150% due 03/19/2038		340		379
American International Group, Inc.
8.175% due 05/15/2058		1,100		1,039
Bank of America Corp.
5.650% due 05/01/2018		100		94
8.000% due 12/29/2049		800		751
Bank of America N.A.
3.316% due 05/12/2010		300		299
Barclays Bank PLC
5.450% due 09/12/2012		6,200		6,280
7.434% due 09/29/2049		600		564
7.700% due 04/29/2049		1,700		1,738
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		2,200		2,290
7.250% due 02/01/2018		1,000		1,047
Capital One Financial Corp.
6.750% due 09/15/2017		4,900		4,870
Citigroup Capital XXI
8.300% due 12/21/2057		1,100		1,043
Citigroup Funding, Inc.
3.820% due 05/07/2010		5,900		5,857
Citigroup, Inc.
2.939% due 01/30/2009		600		595
8.400% due 04/29/2049		2,300		2,189
GATX Financial Corp.
5.800% due 03/01/2016		1,000		968
General Electric Capital Corp.
2.826% due 12/12/2008		600		599
5.875% due 01/14/2038		1,000		910
Goldman Sachs Group, Inc.
6.150% due 04/01/2018		1,000		973
6.750% due 10/01/2037		5,200		4,777
Merna Reinsurance Ltd.
3.451% due 07/07/2010 (i)		4,000		3,743
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		4,000		3,819
Metropolitan Life Global Funding I
5.125% due 04/10/2013		600		592
Morgan Stanley
6.625% due 04/01/2018		1,500		1,426
National Australia Bank Ltd.
5.350% due 06/12/2013		1,300		1,300
New York Life Global Funding
4.650% due 05/09/2013		1,500		1,490
Pacific Life Global Funding
5.150% due 04/15/2013		500		495
Prudential Financial, Inc.
6.000% due 06/10/2013		1,400		1,405
Rabobank Nederland NV
2.733% due 01/15/2009		500		500
Rockies Express Pipeline LLC
5.100% due 08/20/2009		5,000		5,005
UBS AG
5.750% due 04/25/2018		2,700		2,585
5.875% due 12/20/2017		1,000		976
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		1,400		1,399
Vita Capital III Ltd.
3.911% due 01/01/2012		600		577
Vita Capital Ltd.
3.691% due 01/01/2010		300		294
Wachovia Bank N.A.
2.752% due 12/02/2010		2,100		1,997
Wachovia Corp.
5.500% due 05/01/2013		3,900		3,738
Wells Fargo & Co.
4.375% due 01/31/2013		900		873
				77,831
Industrials 1.2%
Cigna Corp.
6.350% due 03/15/2018		2,000		2,008
Kraft Foods, Inc.
6.000% due 02/11/2013		800		809
6.125% due 02/01/2018		900		878
Oracle Corp.
5.750% due 04/15/2018		1,300		1,303
Philip Morris International, Inc.
5.650% due 05/16/2018		3,500		3,413
				8,411
Utilities 0.3%
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		640		644
Exelon Corp.
4.900% due 06/15/2015		1,000		922
Public Service Electric & Gas Co.
5.300% due 05/01/2018		600		594
				2,160
Total Corporate Bonds & Notes (Cost $89,992)				88,402
MUNICIPAL BONDS & NOTES 1.4%
Badger, Wisconsin Tobacco Asset Securitization Corp. Revenue Bonds, Series 2002
6.375% due 06/01/2032		1,000		983
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2037		1,900		1,866
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		210		210
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		300		292
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		700		707
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2023		485		467
University of California Revenue Bonds, (FSA/FGIC Insured), Series 2007
5.000% due 05/15/2037		2,700		2,723
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		1,060		1,074
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		985		880
Total Municipal Bonds & Notes (Cost $9,251)				9,202
U.S. GOVERNMENT AGENCIES 50.7%
Fannie Mae
4.659% due 01/01/2035		334		339
4.994% due 09/01/2044 - 10/01/2044		205		205
5.000% due 04/01/2036 - 02/01/2037		9,128		8,777
5.103% due 04/01/2035		443		446
5.500% due 09/01/2023 - 12/01/2037		181,899		179,586
5.863% due 09/01/2018		59		59
6.000% due 08/01/2036 - 05/01/2038		44,758		45,217
Freddie Mac
2.522% due 12/25/2036		3,594		3,480
2.762% due 09/25/2031		76		76
2.821% due 12/15/2030		239		236
4.500% due 05/15/2017		243		244
5.000% due 02/15/2020		4,446		4,512
5.500% due 05/15/2016 - 02/01/2038		63,205		62,513
6.000% due 11/01/2037 - 07/01/2038		35,400		35,760
Ginnie Mae
6.500% due 05/15/2026 - 06/15/2028		74		77
Total U.S. Government Agencies (Cost $343,480)				341,527
U.S. TREASURY OBLIGATIONS 133.0%
Treasury Inflation Protected Securities (b)
0.875% due 04/15/2010		2,795		2,845
1.625% due 01/15/2015		5,102		5,273
1.625% due 01/15/2018		2,973		3,023
1.750% due 01/15/2028		5,789		5,502
1.875% due 07/15/2013		37,970		40,159
1.875% due 07/15/2015		65,869		69,023
2.000% due 04/15/2012		17,040		17,985
2.000% due 01/15/2014		25,153		26,723
2.000% due 07/15/2014		54,579		58,003
2.000% due 01/15/2026		20,345		20,156
2.375% due 04/15/2011		37,508		39,761
2.375% due 01/15/2017		62,170		67,343
2.375% due 01/15/2025		79,288		83,110
2.375% due 01/15/2027		18,083		18,938
2.500% due 07/15/2016		95,093		103,978
2.625% due 07/15/2017		37,672		41,622
3.000% due 07/15/2012		53,663		58,957
3.375% due 01/15/2012		12,171		13,445
3.500% due 01/15/2011		36,257		39,489
3.625% due 04/15/2028		57,074		71,129
3.875% due 04/15/2029		20,857		27,063
4.250% due 01/15/2010		76,763		82,358
Total U.S. Treasury Obligations (Cost $883,609)				895,885
MORTGAGE-BACKED SECURITIES 2.7%
Bear Stearns Adjustable Rate Mortgage Trust
4.125% due 03/25/2035		2,779		2,658
4.550% due 08/25/2035		1,472		1,410
5.519% due 11/25/2030		313		300
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		79		75
4.248% due 08/25/2035		733		693
4.748% due 08/25/2035		697		664
4.900% due 12/25/2035		112		107
Countrywide Home Loan Mortgage Pass-Through Trust
2.822% due 06/25/2035		855		754
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		4,763		4,189
GSR Mortgage Loan Trust
4.539% due 09/25/2035		1,312		1,273
Lehman XS Trust
2.562% due 07/25/2046		228		222
MLCC Mortgage Investors, Inc.
4.707% due 12/25/2034		4,295		4,183
WaMu Mortgage Pass-Through Certificates
2.742% due 11/25/2045		310		238
2.772% due 10/25/2045		1,848		1,442
Total Mortgage-Backed Securities (Cost $19,538)				18,208
ASSET-BACKED SECURITIES 0.1%
Bear Stearns Asset-Backed Securities Trust
2.932% due 03/25/2043		126		124
Structured Asset Securities Corp.
4.900% due 04/25/2035		820		632
Total Asset-Backed Securities (Cost $940)				756
SOVEREIGN ISSUES 0.2%
Export-Import Bank of Korea
2.920% due 10/04/2011		1,300		1,305
Total Sovereign Issues (Cost $1,299)				1,305
FOREIGN CURRENCY-DENOMINATED ISSUES 7.1%
Canadian Government Bond
3.000% due 12/01/2036 (b)	CAD	1,432		1,903
France Government Bond
1.800% due 07/25/2040 (b)	EUR	105		149
2.500% due 07/25/2013		16,736		26,831
General Electric Capital Corp.
5.500% due 09/15/2067		100		139
6.500% due 09/15/2067	GBP	4,500		8,325
Pylon Ltd.
6.460% due 12/29/2008	EUR	3,200		5,019
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		400		545
United Kingdom Gilt Inflation Linked Bond
2.500% due 05/20/2009	GBP	900		4,866
Total Foreign Currency-Denominated Issues (Cost $45,530)				47,777
	Shares
CONVERTIBLE PREFERRED STOCKS 0.1%
Wachovia Corp.
7.500% due 12/31/2049		400		354
Total Convertible Preferred Stocks (Cost $400)				354
	Principal Amount (000s)
SHORT-TERM INSTRUMENTS 13.5%
Certificates of Deposit 1.2%
Abbey National Treasury Services PLC
2.653% due 07/02/2008	$	7,400		7,400
Skandinaviska Enskilda Banken AB
2.675% due 02/13/2009		700		700
				8,100
Commercial Paper 7.5%
Royal Bank of Scotland Group PLC
2.770% due 09/17/2008		25,000		24,847
Societe General N.A.
2.650% due 08/08/2008		800		798
UBS Finance Delaware LLC
2.845% due 09/30/2008		11,600		11,515
Unicredito Italiano SpA
2.980% due 09/23/2008		13,800		13,708
				50,868
Repurchase Agreements 2.6%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		17,384		17,384
(Dated 06/30/2008. Collateralized by Freddie Mac 3.375% due 04/15/2009 valued at $17,732. Repurchase proceeds are $17,385.)
U.S. Treasury Bills 2.2%
1.839% due 08/28/2008 - 09/25/2008 (a)(c)(d)		14,650		14,573
Total Short-Term Instruments (Cost $90,949)				90,925
Purchased Options (g) 0.1% (Cost $766)				966
Total Investments 222.0% (Cost $1,485,754)			$	1,495,307
Written Options (h) (0.8%) (Premiums $4,896)				(5,142	)
Other Assets and Liabilities (Net) (121.2%)				(816,507	)
Net Assets 100.0%			$	673,658

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 $13,181 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) Securities with an aggregate market value of $1,392 have been pledged as collateral for delayed-delivery securities on June 30, 2008.

(e) Cash of $9,073 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	80	$	(286	)
90-Day Euribor June Futures	Long	06/2009	217		(1,062	)
90-Day Euribor March Futures	Long	03/2009	55		(236	)
90-Day Euribor September Futures	Short	09/2008	60		219
90-Day Euribor September Futures	Long	09/2009	80		(323	)
90-Day Eurodollar December Futures	Long	12/2009	306		(241	)
90-Day Eurodollar June Futures	Long	06/2009	362		(48	)
90-Day Eurodollar March Futures	Long	03/2010	209		(198	)
90-Day Eurodollar September Futures	Long	09/2009	380		0
Euro-Bobl September Futures	Short	09/2008	171		160
Euro-Bobl September Futures Call Options Strike @ EUR 115.500	Long	09/2008	171		0
Euro-Bund 10-Year Bond September Futures	Short	09/2008	271		529
Euro-Schatz September Futures	Short	09/2008	66		58
Japan Government 10-Year Bond September Futures	Short	09/2008	1		(16	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	1,450		832
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	39		122
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2008	160		(434	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2009	84		(194	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2009	71		(161	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2008	105		(161	)
United Kingdom Government 10-Year Bond September Futures	Short	09/2008	100		234
				$	(1,206	)

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.529	%)	12/20/2012	GSC	$	400	$	6
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012	CITI		400		(5	)
Bear Stearns Cos., Inc. 5.300% due 10/30/2015	Sell	0.720	%	09/20/2012	JPM		600		(8	)
Bear Stearns Cos., Inc. 7.250% due 02/01/2018	Buy	(2.180	%)	03/20/2018	BNP		1,000		(83	)
Black & Decker Corp. 7.125% due 06/01/2011	Buy	(0.680	%)	12/20/2012	BOA		8,100		180
Capital One Financial Corp. 6.250% due 11/15/2013	Buy	(1.150	%)	09/20/2012	JPM		4,900		549
Cigna Corp. 6.350% due 03/15/2018	Buy	(1.210	%)	03/20/2018	MSC		2,000		(81	)
Clorox Co. 6.125% due 02/01/2011	Buy	(0.470	%)	12/20/2012	CITI		500		4
ConAgra Foods, Inc. 7.000% due 10/01/2028	Buy	(0.299	%)	12/20/2012	GSC		400		6
Exelon Corp. 4.900% due 06/15/2015	Buy	(0.960	%)	06/20/2015	CITI		1,000		13
Fannie Mae 5.250% due 08/01/2012	Sell	1.401	%	03/20/2013	BNP		1,000		(5	)
GATX Financial Corp. 5.800% due 03/01/2016	Buy	(1.070	%)	03/20/2016	CITI		1,000		17
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.740	%	09/20/2012	CSFB		600		(14	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Sell	0.800	%	09/20/2012	MSC		500		(10	)
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(0.400	%)	12/20/2012	CITI		1,800		67
Goldman Sachs Group, Inc. 6.600% due 01/15/2012	Buy	(0.390	%)	12/20/2012	BNP		2,400		90
Kimberly-Clark Corp. 6.875% due 02/15/2014	Buy	(0.320	%)	12/20/2012	BEAR		3,000		16
Kroger Co. 5.500% due 02/01/2013	Buy	(0.360	%)	12/20/2012	BNP		600		7
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.660	%	09/20/2012	RBS		500		(39	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.700	%	09/20/2012	JPM		600		(46	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.900	%	09/20/2012	BNP		3,800		(267	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.950	%	09/20/2012	JPM		6,300		(431	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	0.965	%	09/20/2012	BCLY		4,900		(333	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.120	%	09/20/2012	BNP		300		(19	)
Lehman Brothers Holdings, Inc. 6.625% due 01/18/2012	Sell	1.200	%	09/20/2012	BNP		300		(18	)
Lowe’s Cos., Inc. 8.250% due 06/01/2010	Buy	(0.530	%)	12/20/2012	BOA		10,000		43
Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640	%)	12/20/2012	CSFB		400		27
Marriott International, Inc. 4.625% due 06/15/2012	Buy	(0.640	%)	12/20/2012	GSC		1,300		88
Mattel, Inc. 6.125% due 06/15/2011	Buy	(0.868	%)	12/20/2012	BOA		5,000		(37	)
Newell Rubbermaid, Inc. 6.350% until 07/15/2008 and variable thereafter, due 07/15/2028	Buy	(0.319	%)	12/20/2012	GSC		300		6
Nordstrom, Inc. 6.950% due 03/15/2028	Buy	(0.610	%)	12/20/2012	MSC		600		11
Safeway, Inc. 5.800% due 08/15/2012	Buy	(0.340	%)	12/20/2012	BNP		800		9
Sherwin-Williams Co. 7.375% due 02/01/2027	Buy	(0.430	%)	12/20/2012	BOA		700		14
Staples, Inc. 7.375% due 10/01/2012	Buy	(0.700	%)	12/20/2012	MSC		500		9
TJX Cos., Inc. 7.450% due 12/15/2009	Buy	(0.460	%)	12/20/2012	MSC		600		1
VF Corp. 8.500% due 10/01/2010	Buy	(0.449	%)	12/20/2012	LEH		400		3
Whirlpool Corp. 7.750% due 07/15/2016	Buy	(0.680	%)	12/20/2012	BNP		700		14
								$	(216	)

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
CMBX N.A. AAA 3 Index	Sell	0.080	%	12/13/2049	MSC	$	4,270	$	288
Dow Jones CDX N.A. HY9 Index	Sell	3.330	%	12/20/2012	LEH		800		(57	)
Dow Jones CDX N.A. HY9 Index	Sell	6.350	%	12/20/2012	DUB		1,400		92
Dow Jones CDX N.A. HY9 Index	Sell	6.450	%	12/20/2012	JPM		700		35
Dow Jones CDX N.A. HY9 Index	Sell	6.510	%	12/20/2012	MLP		100		7
Dow Jones CDX N.A. IG9 Index	Buy	(0.600	%)	12/20/2012	LEH		4,000		88
Dow Jones CDX N.A. IG9 Index	Sell	0.600	%	12/20/2012	GSC		4,800		52
Dow Jones CDX N.A. IG9 Index	Sell	0.760	%	12/20/2012	DUB		2,300		22
Dow Jones CDX N.A. IG9 Index	Sell	0.990	%	12/20/2012	DUB		2,400		10
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	BCLY		22,500		690
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	BOA		3,400		119
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	GSC		3,000		103
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	JPM		1,600		56
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	LEH		3,100		107
Dow Jones CDX N.A. IG9 Index	Buy	(0.800	%)	12/20/2017	MSC		8,800		226
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	DUB		13,600		20
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	GSC		9,400		36
Dow Jones CDX N.A. IG10 Index	Buy	(1.550	%)	06/20/2013	MLP		1,600		(3	)
								$	1,891

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	MSC	$	128,100	$	(307	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2009	RBS		6,000		(14	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2010	RBS		16,800		79
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA		10,100		(48	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		6,400		(48	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		13,000		(131	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		24,700		(84	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		19,400		(34	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		96,900		(749	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	CITI		3,600		28
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		8,500		159
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BOA		12,900		(154	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		3,900		(4	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		16,500		(41	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		57,900		925
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		94,200		426
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	LEH		2,800		(19	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		13,600		(41	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	RBS		1,200		7
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	MLP		4,200		(153	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.090	%	10/15/2010	BNP	EUR	1,800		(43	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.103	%	10/15/2010	BCLY		1,600		(29	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.146	%	10/15/2010	UBS		1,600		(31	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.028	%	10/15/2011	JPM		3,700		(148	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.095	%	10/15/2011	UBS		6,900		(232	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.973	%	12/15/2011	JPM		2,000		(106	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.976	%	12/15/2011	GSC		4,500		(230	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.988	%	12/15/2011	BNP		4,500		(227	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		16,000		(876	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.138	%	01/19/2016	BCLY		4,000		(203	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.350	%	10/15/2016	UBS		2,200		(26	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	2.353	%	10/15/2016	JPM		1,900		(18	)
Pay	6-Month Australian Bank Bill	7.000	%	12/15/2009	BCLY	AUD	11,300		(106	)
Pay	6-Month Australian Bank Bill	7.000	%	12/15/2009	MSC		12,000		(113	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	DUB		16,200		(212	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	JPM		2,700		(36	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	RBC		8,600		(110	)
Pay	6-Month Australian Bank Bill	7.000	%	06/15/2010	DUB		34,600		(598	)
Receive	6-Month Australian Bank Bill	6.750	%	12/15/2017	BCLY		1,400		62
Receive	6-Month Australian Bank Bill	6.750	%	12/15/2017	MSC		1,500		72
Receive	6-Month EUR-LIBOR	4.000	%	06/15/2017	MSC	EUR	1,300		158
Receive	6-Month EUR-LIBOR	5.000	%	03/19/2018	BCLY		100		4
Pay	6-Month EUR-LIBOR	4.500	%	06/18/2034	MSC		3,200		4
Pay	6-Month EUR-LIBOR	5.000	%	06/18/2034	JPM		963		15
Pay	6-Month GBP-LIBOR	5.000	%	06/15/2009	BCLY	GBP	9,500		(126	)
Pay	6-Month GBP-LIBOR	5.000	%	12/19/2009	MSC		25,600		(529	)
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	DUB		10,300		(237	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	CSFB		3,700		(84	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	RBS		10,800		(237	)
Receive	6-Month GBP-LIBOR	5.000	%	09/15/2015	GSC		3,400		218
Receive	6-Month GBP-LIBOR	5.000	%	03/20/2018	BCLY		4,500		120
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		1,500		28
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	CSFB		1,500		33
Receive	6-Month GBP-LIBOR	4.250	%	06/12/2036	HSBC		2,200		343
Pay	6-Month JPY-LIBOR	1.000	%	03/18/2009	MSC	JPY	2,500,000		26
Receive	Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index	2.275	%	10/15/2016	UBS	EUR	2,200		(26	)
Pay	U.S. CPI Urban Consumers NSA Index	2.980	%	03/06/2018	MSC	$	4,800		(34	)
Pay	United Kingdom RPI Index	3.250	%	12/14/2017	BCLY	GBP	3,200		(320	)
Pay	United Kingdom RPI Index	3.183	%	12/19/2017	RBS		3,600		(385	)
Pay	United Kingdom RPI Index	3.110	%	01/03/2018	GSC		100		(12	)
Pay	United Kingdom RPI Index	3.440	%	09/10/2027	RBS		1,100		(182	)
								$	(4,636	)

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	111.000	08/22/2008	282	$	9	$	4
Call - CBOT U.S. Treasury 5-Year Note September Futures		126.000	08/22/2008	750		14		6
Call - CBOT U.S. Treasury 10-Year Note September Futures		135.000	08/22/2008	624		11		10
Call - CBOT U.S. Treasury 10-Year Note September Futures		139.000	08/22/2008	44		1		1
Call - CBOT U.S. Treasury 30-Year Bond September Futures		142.000	08/22/2008	407		7		7
Put - CBOT U.S. Treasury 10-Year Note September Futures		93.000	08/22/2008	1,540		28		23
Put - CBOT U.S. Treasury 10-Year Note September Futures		94.000	08/22/2008	44		1		1
					$	71	$	52

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	1,800	$	19	$	8
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,000		11		5
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		900		10		4
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		3,800		40		18
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		1,700		18		12
									$	98	$	47

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.392	07/08/2010	EUR	4,300	$	226	$	706
Put - OTC Euro versus U.S. dollar		1.392	07/08/2010		4,300		227		157
Call - OTC U.S. dollar versus Japanese yen	JPY	111.000	12/01/2008	$	3,000		54		4
						$	507	$	867

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2016	$	123.000	07/17/2008	$	110,000	$	26	$	0
Call - OTC Treasury Inflation Protected Securities 4.250% due 11/15/2013		112.453	07/25/2008		36,800		4		0
Put - OTC Freddie Mac 6.000% due 07/01/2038		88.000	07/07/2008		35,400		4		0
Put - OTC Treasury Inflation Protected Securities 1.750% due 01/15/2028		79.000	07/18/2008		11,000		1		0
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/15/2013		97.500	07/16/2008		100,000		8		0
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/15/2015		96.000	07/03/2008		45,000		4		0
Put - OTC Treasury Inflation Protected Securities 1.875% due 07/15/2015		89.000	07/29/2008		10,000		2		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2014		97.500	07/16/2008		25,000		2		0
Put - OTC Treasury Inflation Protected Securities 2.000% due 01/15/2026		84.000	07/16/2008		25,000		2		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2017		98.000	07/03/2008		60,000		5		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		91.000	07/02/2008		40,000		3		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2025		89.500	07/16/2008		15,000		1		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 01/15/2027		88.000	07/18/2008		18,000		2		0
Put - OTC Treasury Inflation Protected Securities 2.375% due 04/15/2011		99.000	07/23/2008		30,000		7		0
Put - OTC Treasury Inflation Protected Securities 2.500% due 07/15/2016		98.500	07/16/2008		90,000		7		0
Put - OTC Treasury Inflation Protected Securities 3.000% due 07/15/2012		103.000	07/03/2008		9,000		1		0
Put - OTC Treasury Inflation Protected Securities 3.000% due 07/15/2012		102.000	07/18/2008		44,000		3		0
Put - OTC Treasury Inflation Protected Securities 3.500% due 01/15/2011		103.500	07/02/2008		30,000		2		0
Put - OTC Treasury Inflation Protected Securities 4.250% due 01/15/2010		103.500	07/03/2008		75,000		6		0
						$	90	$	0

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

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	116.000	08/22/2008	212	$	202	$	125
Call - CBOT U.S. Treasury 30-Year Bond September Futures		117.000	08/22/2008	77		72		85
Call - CBOT U.S. Treasury 30-Year Bond September Futures		119.000	08/22/2008	53		65		28
Call - CBOT U.S. Treasury 30-Year Bond September Futures		120.000	08/22/2008	53		60		19
Put - CBOT U.S. Treasury 10-Year Note September Futures		111.000	08/22/2008	104		78		33
Put - CBOT U.S. Treasury 10-Year Note September Futures		112.000	08/22/2008	55		60		29
Put - CBOT U.S. Treasury 30-Year Bond September Futures		109.000	08/22/2008	25		13		3
					$	550	$	322

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	BCLY	3-Month USD- LIBOR	Receive	5.250	%	09/15/2008	$	6,000	$	160	$	275
Put - OTC 10-Year Interest Rate Swap	BCLY	3-Month USD- LIBOR	Pay	5.250	%	09/15/2008		6,000		160		26
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD- LIBOR	Receive	4.150	%	08/03/2009		400		10		6
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD- LIBOR	Receive	4.400	%	08/03/2009		300		10		6
Call - OTC 30-Year Interest Rate Swap	BOA	3-Month USD- LIBOR	Receive	5.670	%	08/07/2008		2,100		101		226
Put - OTC 30-Year Interest Rate Swap	BOA	3-Month USD- LIBOR	Pay	5.670	%	08/07/2008		2,100		77		1
Call - OTC 30-Year Interest Rate Swap	CITI	3-Month USD- LIBOR	Receive	5.670	%	08/07/2008		2,600		109		280
Put - OTC 30-Year Interest Rate Swap	CITI	3-Month USD- LIBOR	Pay	5.670	%	08/07/2008		2,600		110		1
Call - OTC 10-Year Interest Rate Swap	GSC	3-Month USD- LIBOR	Receive	5.250	%	09/15/2008		11,700		294		536
Put - OTC 10-Year Interest Rate Swap	GSC	3-Month USD- LIBOR	Pay	5.250	%	09/15/2008		11,700		283		50
Call - OTC 7-Year Interest Rate Swap	GSC	3-Month USD- LIBOR	Receive	5.365	%	09/20/2010		6,000		193		286
Put - OTC 7-Year Interest Rate Swap	GSC	3-Month USD- LIBOR	Pay	5.365	%	09/20/2010		6,000		193		171
Call - OTC 30-Year Interest Rate Swap	JPM	3-Month USD- LIBOR	Receive	5.670	%	08/07/2008		3,700		128		398
Put - OTC 30-Year Interest Rate Swap	JPM	3-Month USD- LIBOR	Pay	5.670	%	08/07/2008		3,700		183		2
Call - OTC 10-Year Interest Rate Swap	JPM	3-Month USD- LIBOR	Receive	5.250	%	09/15/2008		14,200		420		650
Put - OTC 10-Year Interest Rate Swap	JPM	3-Month USD- LIBOR	Pay	5.250	%	09/15/2008		14,200		285		61
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD- LIBOR	Receive	4.400	%	08/03/2009		300		10		6
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD- LIBOR	Receive	4.400	%	08/03/2009		300		10		6
Call - OTC 10-Year Interest Rate Swap	RBS	3-Month USD- LIBOR	Receive	5.250	%	09/15/2008		8,300		208		380
Put - OTC 10-Year Interest Rate Swap	RBS	3-Month USD- LIBOR	Pay	5.250	%	09/15/2008		8,300		201		36
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD- LIBOR	Receive	4.400	%	08/03/2009		1,300		42		25
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD- LIBOR	Receive	4.550	%	08/03/2009		600		18		14
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD- LIBOR	Receive	5.365	%	09/20/2010		17,000		489		811
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD- LIBOR	Pay	5.365	%	09/20/2010		17,000		602		483
									$	4,296	$	4,736

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Value
Put - OTC U.S. dollar versus Japanese yen	JPY	100.000	12/01/2008	$	3,000	$	50	$	84

(i) Restricted securities as of June 30, 2008:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Merna Reinsurance Ltd.	3.451	%	07/07/2010	09/21/2007	$	3,970	$	3,743	0.56	%

(j) Short sales outstanding on June 30, 2008:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.000	%	07/01/2038	$	9,400	$	8,987	$	9,011
Fannie Mae	5.500	%	12/01/2038		183,100		180,869		180,497
Fannie Mae	6.000	%	07/01/2038		13,600		13,664		13,721
Freddie Mac	5.500	%	07/01/2038		40,000		39,508		39,406
Treasury Inflation Protected Securities	2.000	%	07/15/2014		54,931		56,926		58,404
Treasury Inflation Protected Securities	2.000	%	01/15/2016		156,801		163,035		165,431
Treasury Inflation Protected Securities	2.500	%	07/15/2016		21,408		23,019		23,421
U.S. Treasury Bonds	4.375	%	02/15/2038		12,000		11,370		11,937
U.S. Treasury Bonds	4.750	%	02/15/2037		4,300		4,312		4,543
U.S. Treasury Bonds	5.000	%	05/15/2037		3,800		3,980		4,127
U.S. Treasury Notes	2.500	%	03/31/2013		7,000		6,649		6,812
U.S. Treasury Notes	3.500	%	02/15/2018		55,260		53,310		54,030
U.S. Treasury Notes	3.625	%	12/31/2012		1,830		1,865		1,862
U.S. Treasury Notes	3.625	%	05/15/2013		2,000		2,025		2,042
U.S. Treasury Notes	3.875	%	05/15/2018		3,200		3,100		3,199
U.S. Treasury Notes	4.125	%	08/31/2012		6,200		6,343		6,524
U.S. Treasury Notes	4.250	%	11/15/2013		35,700		37,338		37,528
U.S. Treasury Notes	4.250	%	11/15/2017		2,130		2,148		2,192
U.S. Treasury Notes	4.500	%	02/15/2016		18,400		19,081		19,737
U.S. Treasury Notes	4.750	%	08/15/2017		9,500		9,915		10,274
U.S. Treasury Notes	4.875	%	05/31/2011		15,000		15,666		15,929
						$	663,110	$	670,627

⁽³⁾ Market value includes $2,357 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	CAD	1,662	08/2008	$	13	$	0		$	13
Sell	CHF	891	09/2008		0		(16	)		(16	)
Sell	EUR	5,733	07/2008		0		(92	)		(92	)
Sell	GBP	11,974	08/2008		0		(132	)		(132	)
Buy	JPY	980,645	07/2008		141		0			141
Sell		877,874	07/2008		0		(137	)		(137	)
				$	154	$	(377	)	$	(223	)

(l) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0		$	1,495,307		$	0		$	1,495,307
Other Financial Instruments++		(1,206	)		(673,489	)		(3,107	)		(677,802	)
Total	$	(1,206	)	$	821,818		$	(3,107	)	$	817,505

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

	Beginning balance at 03/31/2008			Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/(losses)			Net transfers in/(out) of Level 3		Ending balance at 06/30/2008
Investments, at value	$	0		$	0	$	0	$	0		$	0	$	0
Other Financial Instruments++		(592	)		0		0		(2,515	)		0		(3,107	)
Total	$	(592	)	$	0	$	0	$	(2,515	)	$	0	$	(3,107	)

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

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

See Accompanying Notes.

Schedule of Investments

Short-Term Portfolio

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 16.0%
Banking & Finance 11.1%
ABX Financing Co.
5.750% due 10/15/2016	$	3,000	$	2,936
Allstate Life Global Funding II
3.328% due 05/21/2010		25,000		24,854
American Express Centurion Bank
2.557% due 07/13/2010		10,000		9,816
American International Group, Inc.
8.175% due 05/15/2058		3,000		2,834
BAE Systems Holdings, Inc.
6.400% due 12/15/2011		2,000		2,059
Bank of Scotland PLC
2.737% due 12/08/2010		5,000		4,893
2.756% due 07/17/2009		8,500		8,498
Bear Stearns Cos., Inc.
6.950% due 08/10/2012		5,863		6,104
BHP Billiton Finance Ltd.
5.125% due 03/29/2012		3,000		2,995
CIT Group, Inc.
2.826% due 08/15/2008		4,250		4,246
3.049% due 01/30/2009		6,600		6,387
5.000% due 11/24/2008		10,700		10,471
Citigroup Funding, Inc.
3.820% due 05/07/2010		23,000		22,832
CNA Financial Corp.
5.850% due 12/15/2014		3,000		2,886
Countrywide Financial Corp.
6.250% due 05/15/2016		5,000		4,464
Credit Suisse New York, Inc.
5.000% due 05/15/2013		6,500		6,335
DBS Bank Ltd.
2.940% due 05/16/2017		25,000		23,368
FIA Card Services N.A.
4.625% due 08/03/2009		18,380		18,341
First Union National Bank of Florida
6.180% due 02/15/2036		600		611
General Electric Capital Corp.
2.918% due 10/21/2010		9,220		9,164
Glitnir Banki HF
3.204% due 01/18/2012		2,000		1,550
Goldman Sachs Group, Inc.
2.882% due 03/02/2010		2,000		1,965
2.891% due 06/23/2009		10,000		9,898
3.250% due 07/23/2009		18,969		18,850
HSBC Finance Corp.
2.866% due 03/12/2010		13,300		12,933
2.878% due 10/21/2009		2,600		2,540
6.375% due 10/15/2011		6,000		6,143
International Lease Finance Corp.
5.625% due 09/20/2013		5,000		4,379
iStar Financial, Inc.
5.950% due 10/15/2013		6,000		4,925
John Deere Capital Corp.
5.650% due 07/25/2011		2,000		2,068
Kaupthing Bank HF
6.125% due 10/04/2016		3,000		2,194
Landsbanki Islands HF
3.338% due 08/25/2009		3,000		2,808
Lehman Brothers Holdings, Inc.
3.011% due 12/23/2010		4,000		3,750
6.200% due 09/26/2014		5,000		4,784
7.000% due 09/27/2027		2,000		1,856
Merrill Lynch & Co., Inc.
4.966% due 05/12/2010		25,000		24,616
Morgan Stanley
2.803% due 01/15/2010		6,000		5,805
2.820% due 05/07/2009		12,700		12,505
3.148% due 01/22/2009		2,000		1,981
3.184% due 10/18/2016		5,000		4,345
3.193% due 10/15/2015		3,000		2,633
4.778% due 05/14/2010		2,000		1,993
ORIX Corp.
5.480% due 11/22/2011		5,000		4,628
Rabobank Nederland NV
2.728% due 04/06/2009		800		799
Residential Capital LLC
8.000% due 02/22/2011		5,000		1,975
Santander U.S. Debt S.A. Unipersonal
2.733% due 11/20/2009		2,500		2,476
SLM Corp.
3.150% due 10/25/2011		8,000		6,848
Textron Financial Corp.
4.600% due 05/03/2010		2,000		2,018
UBS AG
2.910% due 07/23/2009		5,000		4,943
3.729% due 06/19/2010		25,000		24,943
VTB Capital S.A.
3.384% due 08/01/2008		13,300		13,184
Wachovia Mortgage FSB
2.798% due 05/08/2009		2,000		1,988
Wells Fargo & Co.
2.481% due 03/22/2010		12,000		11,875
Wells Fargo Capital XIII
7.700% due 12/29/2049		3,000		2,986
				387,278
Industrials 4.1%
Alcan, Inc.
5.000% due 06/01/2015		2,500		2,402
AutoZone, Inc.
5.500% due 11/15/2015		2,500		2,380
5.875% due 10/15/2012		3,000		2,996
Avon Products, Inc.
5.125% due 01/15/2011		4,000		4,066
Boston Scientific Corp.
6.000% due 06/15/2011		2,500		2,456
Comcast Corp.
3.010% due 07/14/2009		900		893
5.300% due 01/15/2014		5,000		4,856
CVS Caremark Corp.
2.982% due 06/01/2010		25,000		24,412
Daimler Finance North America LLC
5.750% due 09/08/2011		14,000		14,291
EnCana Corp.
6.300% due 11/01/2011		2,500		2,568
HJ Heinz Co.
6.428% due 12/01/2020		6,800		6,860
JC Penney Corp., Inc.
7.375% due 08/15/2008		3,693		3,703
Johnson Controls, Inc.
5.250% due 01/15/2011		5,000		5,061
5.500% due 01/15/2016		3,000		2,887
Kellogg Co.
6.600% due 04/01/2011		2,000		2,106
Kerr-McGee Corp.
6.875% due 09/15/2011		4,000		4,178
Kraft Foods, Inc.
5.625% due 11/01/2011		3,000		3,030
Kroger Co.
5.500% due 02/01/2013		4,000		4,018
Lennar Corp.
5.950% due 10/17/2011		3,000		2,520
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		2,100		2,059
Northwest Airlines, Inc.
7.150% due 10/01/2019		14,459		13,264
Sealed Air Corp.
5.625% due 07/15/2013		5,000		4,838
Time Warner, Inc.
5.875% due 11/15/2016		5,000		4,727
Transocean, Inc.
2.873% due 09/05/2008		8,100		8,090
United Airlines, Inc.
6.636% due 07/02/2022		1,459		1,210
Viacom, Inc.
5.750% due 04/30/2011		3,000		3,010
Weatherford International Ltd.
4.950% due 10/15/2013		2,500		2,451
Weyerhaeuser Co.
3.802% due 09/24/2009		5,000		4,944
Wyeth
5.500% due 03/15/2013		2,500		2,555
				142,831
Utilities 0.8%
Consumers Energy Co.
5.000% due 02/15/2012		3,000		2,975
Dominion Resources, Inc.
2.858% due 11/14/2008		2,800		2,762
5.200% due 01/15/2016		3,000		2,841
DPL, Inc.
6.875% due 09/01/2011		2,500		2,605
Exelon Corp.
6.750% due 05/01/2011		3,000		3,085
Florida Power Corp.
3.078% due 11/14/2008		3,400		3,391
FPL Group Capital, Inc.
3.694% due 06/17/2011		2,500		2,523
Ohio Power Co.
2.908% due 04/05/2010		4,000		3,923
Progress Energy, Inc.
7.100% due 03/01/2011		3,348		3,526
				27,631
Total Corporate Bonds & Notes (Cost $575,175)				557,740
MUNICIPAL BONDS & NOTES 0.3%
Massachusetts Educational Financing Authority Bonds, Series 2008
3.701% due 04/25/2028 (a)		11,000		11,000
Total Municipal Bonds & Notes (Cost $11,000)				11,000
U.S. GOVERNMENT AGENCIES 27.9%
Fannie Mae
2.542% due 12/25/2036 - 07/25/2037		16,273		16,041
2.602% due 03/25/2034		475		461
2.632% due 10/25/2035		6,400		6,138
2.682% due 10/27/2037		29,400		28,126
2.782% due 03/25/2018 - 01/25/2034		1,357		1,352
2.832% due 05/25/2042 - 02/25/2044		1,093		1,077
2.882% due 08/25/2017 - 12/25/2033		1,330		1,316
2.932% due 02/25/2033		866		864
2.950% due 09/17/2027		173		173
2.981% due 05/18/2032		696		693
2.982% due 08/25/2031 - 09/25/2034		13,675		13,641
3.000% due 12/25/2013 - 01/25/2025		89		89
3.016% due 08/01/2033		477		480
3.031% due 12/18/2031		1,365		1,364
3.032% due 12/25/2030		155		154
3.100% due 04/25/2022 - 12/25/2023		240		241
3.132% due 09/25/2023 - 11/25/2031		730		731
3.150% due 10/25/2022		162		162
3.182% due 04/25/2032		1,257		1,243
3.200% due 09/25/2022		50		50
3.250% due 05/25/2022		224		224
3.268% due 04/01/2034		155		155
3.284% due 05/01/2034		445		459
3.300% due 12/25/2008 - 09/25/2020		176		175
3.328% due 06/01/2034		308		317
3.330% due 01/25/2022		210		210
3.375% due 07/01/2033		326		329
3.410% due 08/01/2033		36		35
3.421% due 08/01/2033 (d)		6,836		6,885
3.460% due 08/01/2033		1,157		1,153
3.482% due 04/25/2032		252		253
3.500% due 08/01/2010 - 01/01/2035		1,973		1,970
3.500% due 08/01/2013 (d)		3,490		3,396
3.514% due 08/01/2033 (d)		1,309		1,307
3.514% due 09/01/2033		353		351
3.526% due 08/01/2033		839		836
3.534% due 09/01/2033		386		384
3.545% due 04/01/2034		216		219
3.593% due 08/01/2033		297		295
3.598% due 06/01/2033		407		406
3.604% due 06/01/2033		548		543
3.650% due 09/25/2023 - 10/25/2023		286		290
3.656% due 01/01/2034		959		967
3.686% due 10/01/2043		58		58
3.700% due 05/25/2022		209		207
3.750% due 03/25/2022 - 01/01/2035		1,017		1,015
3.767% due 07/01/2034		520		518
3.770% due 03/25/2022		28		28
3.789% due 06/01/2033 (d)		1,724		1,757
3.793% due 04/01/2034		541		541
3.844% due 07/01/2033		147		148
3.865% due 08/01/2033		63		63
3.870% due 10/25/2021		82		81
3.882% due 07/01/2033		176		178
3.887% due 09/01/2033		454		451
3.890% due 09/01/2034		343		340
3.895% due 08/01/2033		123		125
3.908% due 05/01/2034		240		241
3.915% due 11/01/2033 (d)		3,402		3,413
3.932% due 08/01/2034		675		674
3.945% due 11/01/2033		832		826
3.950% due 11/01/2033		836		832
3.955% due 03/01/2034		264		264
3.970% due 05/01/2034		883		883
3.989% due 11/01/2033 (d)		3,335		3,377
3.992% due 03/01/2034 (d)		2,259		2,251
4.000% due 08/01/2010 - 12/01/2033		15,949		15,864
4.007% due 07/01/2033		1,055		1,051
4.013% due 06/01/2034		129		130
4.052% due 05/01/2033		247		249
4.055% due 03/01/2034		183		184
4.059% due 06/01/2033		392		394
4.060% due 08/01/2033 (d)		3,639		3,709
4.062% due 11/01/2034		87		88
4.068% due 05/01/2034		365		364
4.078% due 07/01/2033		697		709
4.097% due 06/01/2033 - 02/01/2035		813		815
4.108% due 05/01/2034		1,536		1,538
4.112% due 03/01/2034 - 04/01/2034		1,403		1,415
4.122% due 08/01/2035		1,414		1,416
4.126% due 12/01/2034		179		180
4.131% due 05/01/2035		851		858
4.132% due 07/01/2035		154		154
4.133% due 06/01/2033		829		830
4.134% due 11/01/2034		319		322
4.137% due 08/01/2033 - 04/01/2034		970		976
4.151% due 01/01/2035		159		161
4.154% due 03/01/2034		993		1,000
4.157% due 09/01/2033		291		295
4.174% due 09/01/2033		952		951
4.188% due 06/01/2034		2,237		2,253
4.192% due 01/01/2034		299		302
4.198% due 11/01/2033		649		649
4.204% due 12/01/2034		290		293
4.205% due 11/01/2034		124		126
4.210% due 03/01/2034		171		173
4.220% due 09/01/2033 - 04/01/2034		474		473
4.240% due 05/01/2033		222		224
4.242% due 03/01/2034		995		1,008
4.243% due 04/01/2034		505		509
4.244% due 02/01/2034		1,252		1,267
4.247% due 07/01/2035		646		646
4.250% due 04/25/2028 - 12/01/2033		1,837		1,852
4.255% due 09/01/2034		925		936
4.257% due 07/01/2034		1,314		1,318
4.264% due 04/01/2034		1,477		1,486
4.275% due 12/01/2034 - 03/01/2035		2,346		2,364
4.277% due 03/01/2034		896		910
4.282% due 01/01/2033 (d)		635		643
4.282% due 11/01/2034		2,029		2,037
4.284% due 03/01/2033		67		68
4.285% due 06/01/2034		1,012		1,024
4.287% due 08/01/2033 (d)		1,683		1,684
4.296% due 07/01/2034		672		677
4.306% due 12/01/2033 - 04/01/2034		1,088		1,102
4.311% due 04/25/2023		65		64
4.312% due 01/01/2034		489		490
4.318% due 10/01/2033		63		64
4.319% due 05/01/2034		2,928		2,953
4.322% due 07/01/2034		371		374
4.325% due 05/01/2034		434		438
4.326% due 06/01/2036		386		386
4.329% due 01/01/2035		792		804
4.343% due 11/01/2034		178		179
4.345% due 09/01/2033		930		948
4.352% due 11/01/2035		405		405
4.360% due 06/01/2034		183		185
4.361% due 09/01/2035		2,357		2,386
4.366% due 02/01/2034		586		592
4.370% due 11/01/2034		391		395
4.372% due 05/01/2033		57		58
4.375% due 03/01/2035		1,452		1,451
4.379% due 03/01/2033		174		176
4.380% due 04/01/2034 (d)		2,154		2,159
4.380% due 03/01/2035		3,045		3,070
4.381% due 03/01/2034		1,283		1,293
4.383% due 12/01/2034		219		222
4.385% due 04/01/2033		178		180
4.388% due 05/01/2033		112		114
4.389% due 09/01/2032 (d)		417		423
4.393% due 04/01/2034		416		420
4.395% due 11/01/2034		248		251
4.421% due 02/01/2034		90		91
4.426% due 09/01/2034		1,000		1,027
4.435% due 01/01/2035		223		226
4.438% due 07/01/2034		1,775		1,795
4.443% due 01/01/2035		780		788
4.446% due 09/01/2033 (d)		1,351		1,364
4.453% due 07/01/2034		1,422		1,432
4.457% due 04/01/2033		328		331
4.471% due 04/01/2033 (d)		2,500		2,528
4.476% due 09/01/2019		950		957
4.481% due 11/01/2033 - 10/01/2034		1,414		1,437
4.484% due 10/01/2036		1,306		1,319
4.500% due 11/01/2009 - 08/01/2035		53,062		53,056
4.500% due 06/01/2013 - 03/01/2014 (d)		5,138		5,115
4.513% due 11/01/2034		103		105
4.515% due 12/01/2034		189		190
4.519% due 04/01/2034		174		176
4.527% due 07/01/2035		851		857
4.535% due 03/01/2036		293		295
4.536% due 08/01/2034		3,294		3,376
4.540% due 08/01/2034		827		838
4.545% due 01/01/2034		1,076		1,087
4.546% due 10/01/2033 (d)		2,196		2,199
4.547% due 07/01/2035 (d)		4,911		4,929
4.548% due 11/01/2033		260		261
4.554% due 08/01/2033		1,213		1,214
4.557% due 05/01/2033 (d)		1,722		1,743
4.558% due 02/01/2035		284		285
4.570% due 05/01/2035		1,158		1,176
4.576% due 08/01/2034		1,773		1,813
4.580% due 06/01/2033 - 03/01/2035		3,140		3,184
4.583% due 04/01/2033		24		25
4.587% due 03/01/2035		2,763		2,798
4.596% due 06/01/2033		403		403
4.600% due 04/01/2034 - 01/01/2035		1,966		1,980
4.601% due 06/01/2035		514		518
4.602% due 06/01/2035		182		184
4.608% due 09/01/2034		649		659
4.616% due 07/01/2034		245		249
4.617% due 08/01/2033 (d)		1,358		1,364
4.621% due 09/01/2035		813		819
4.630% due 01/01/2035 (d)		6,029		6,111
4.632% due 04/01/2034 (d)		1,848		1,872
4.635% due 10/01/2033		430		434
4.636% due 10/01/2034		104		106
4.637% due 03/25/2027		1,114		1,072
4.640% due 07/01/2033		84		85
4.646% due 07/01/2035		56		56
4.647% due 03/01/2033 (d)		1,690		1,708
4.648% due 08/01/2035		2,983		2,989
4.653% due 03/25/2027		474		473
4.666% due 02/01/2033		196		197
4.675% due 07/01/2035		1,670		1,691
4.677% due 07/01/2035		2,944		2,970
4.685% due 10/01/2034 (d)		5,818		5,914
4.685% due 10/01/2035		751		758
4.686% due 04/01/2033		767		776
4.693% due 02/01/2035		2,609		2,639
4.698% due 04/01/2033 (d)		1,501		1,519
4.700% due 06/01/2034		649		655
4.705% due 07/01/2034		1,208		1,223
4.707% due 10/01/2035		1,021		1,032
4.708% due 02/01/2033		369		371
4.723% due 08/01/2035		1,387		1,393
4.730% due 09/01/2035		2,280		2,289
4.735% due 03/01/2035		1,519		1,530
4.737% due 11/01/2032 (d)		1,390		1,409
4.739% due 02/01/2035		475		482
4.740% due 07/01/2035		597		603
4.742% due 07/01/2034 - 10/01/2034		1,674		1,700
4.744% due 09/01/2034		47		48
4.750% due 03/01/2034 - 07/01/2034		1,506		1,512
4.753% due 02/01/2035		279		282
4.754% due 07/01/2036		771		770
4.760% due 07/01/2035		252		254
4.763% due 04/01/2035		1,367		1,375
4.764% due 11/01/2034		732		743
4.767% due 12/01/2032		373		375
4.769% due 03/01/2035		1,336		1,341
4.774% due 10/01/2024 - 08/01/2035		348		351
4.783% due 01/01/2033 - 07/01/2035		418		423
4.791% due 02/01/2035		330		333
4.794% due 11/01/2035		1,268		1,285
4.794% due 05/01/2036 (d)		1,746		1,750
4.804% due 02/01/2035		79		81
4.805% due 01/01/2033		167		169
4.806% due 11/01/2043		371		373
4.809% due 11/01/2033 (d)		1,334		1,350
4.811% due 01/01/2036		70		70
4.814% due 10/01/2035		489		494
4.823% due 09/01/2034		1,769		1,793
4.824% due 11/01/2034		2,286		2,319
4.832% due 01/01/2035		138		139
4.833% due 11/01/2032		222		224
4.837% due 10/01/2034		1,553		1,591
4.838% due 03/01/2035		2,423		2,436
4.848% due 11/01/2032 (d)		527		528
4.850% due 02/01/2013 - 05/01/2036		311		312
4.852% due 07/01/2034 - 01/01/2035		895		904
4.854% due 01/01/2035		218		220
4.855% due 01/01/2033		39		39
4.857% due 10/01/2034		3,206		3,262
4.863% due 10/01/2035		1,715		1,731
4.865% due 09/01/2035		2,736		2,760
4.866% due 04/01/2035		137		138
4.868% due 01/01/2036		4,199		4,243
4.870% due 01/01/2033		76		78
4.873% due 08/01/2035		784		797
4.879% due 04/01/2035 - 07/01/2036		1,392		1,430
4.883% due 05/01/2035 (d)		6,241		6,306
4.886% due 05/01/2036 (d)		424		425
4.896% due 05/01/2033 (d)		2,010		2,017
4.897% due 12/01/2035		567		566
4.902% due 07/01/2036		2,210		2,226
4.905% due 09/01/2034		4,129		4,181
4.920% due 02/01/2035		201		202
4.925% due 09/01/2035		4,563		4,622
4.930% due 03/01/2035		1,358		1,377
4.934% due 02/01/2034		551		561
4.940% due 12/01/2034		187		188
4.941% due 05/01/2035		429		430
4.950% due 12/01/2034		476		479
4.951% due 06/01/2034		1,128		1,143
4.953% due 08/01/2034		2,542		2,579
4.954% due 01/01/2033 (d)		2,177		2,245
4.954% due 04/01/2035		228		230
4.961% due 02/01/2034		405		408
4.964% due 07/01/2035		171		174
4.982% due 03/01/2036		1,266		1,283
4.992% due 03/01/2036		715		713
4.994% due 07/01/2042 - 07/01/2044		3,086		3,086
4.998% due 07/01/2035		151		152
5.000% due 02/01/2009 - 01/01/2035		23,638		23,862
5.000% due 10/01/2009 - 11/01/2013 (d)		4,245		4,272
5.005% due 07/01/2035		2,489		2,520
5.006% due 01/01/2036		161		164
5.013% due 12/01/2035		256		259
5.028% due 05/01/2035		3,980		4,025
5.043% due 11/01/2035		3,188		3,223
5.044% due 09/01/2041		111		110
5.049% due 10/01/2033 (d)		2,766		2,782
5.052% due 07/01/2035		222		223
5.058% due 01/01/2035		3,408		3,499
5.075% due 09/01/2035		1,690		1,722
5.079% due 07/01/2036		1,447		1,469
5.096% due 06/01/2035		1,973		1,998
5.101% due 05/01/2037		855		850
5.102% due 03/01/2033		192		195
5.128% due 12/01/2035		551		555
5.137% due 12/01/2035		793		798
5.139% due 05/01/2035		783		799
5.144% due 08/01/2032		310		315
5.154% due 12/01/2035		920		931
5.171% due 09/01/2035		967		991
5.186% due 02/01/2033		114		115
5.194% due 09/01/2040		35		35
5.207% due 04/01/2033 (d)		1,603		1,660
5.211% due 02/01/2036		919		934
5.232% due 01/01/2037		58		59
5.254% due 05/01/2036 - 07/01/2037		1,328		1,348
5.255% due 05/01/2035		772		781
5.265% due 04/01/2036		756		770
5.271% due 09/01/2034		2,185		2,219
5.280% due 02/01/2036		142		144
5.290% due 04/01/2033		156		158
5.301% due 05/01/2036		651		664
5.309% due 01/01/2019 (d)		436		434
5.318% due 02/01/2035		334		338
5.324% due 06/01/2035		2,533		2,568
5.325% due 11/01/2036		1,279		1,285
5.376% due 05/01/2036		2,005		2,036
5.378% due 02/01/2036		111		113
5.389% due 12/01/2035		974		991
5.393% due 03/01/2038		1,000		1,010
5.400% due 10/01/2035 (d)		8,827		9,024
5.420% due 11/01/2036		523		530
5.422% due 03/01/2033		200		203
5.426% due 10/01/2032		320		324
5.445% due 01/01/2036		246		249
5.479% due 08/01/2046		1,102		1,103
5.497% due 04/01/2036		70		71
5.500% due 02/01/2009 - 02/01/2036		8,954		9,094
5.500% due 02/01/2022 (d)		1,015		1,033
5.513% due 11/01/2031		164		164
5.519% due 05/01/2032		346		353
5.526% due 12/01/2032 (d)		562		563
5.546% due 10/01/2012		69		69
5.555% due 07/01/2036		583		594
5.578% due 12/01/2036		1,552		1,580
5.588% due 10/01/2036		4,804		4,890
5.591% due 12/01/2036		2,112		2,148
5.613% due 01/01/2036		62		63
5.627% due 04/01/2036		4,172		4,251
5.653% due 04/01/2037 (d)		5,373		5,453
5.692% due 12/01/2036		164		167
5.699% due 05/01/2037		2,766		2,810
5.745% due 11/01/2035		322		329
5.766% due 12/01/2018		45		46
5.788% due 11/01/2035		808		826
5.899% due 05/01/2036		1,075		1,089
5.934% due 02/01/2033		109		109
5.944% due 09/01/2035 (d)		5,070		5,169
5.950% due 02/25/2044		3,356		3,407
5.965% due 09/01/2017		38		39
5.990% due 07/01/2036		54		55
6.000% due 09/25/2014 - 08/25/2044		5,102		5,236
6.007% due 03/01/2037		892		909
6.034% due 08/25/2042		116		115
6.042% due 01/01/2035		44		44
6.061% due 01/01/2033		75		77
6.100% due 02/25/2009		74		75
6.189% due 09/01/2036		72		73
6.194% due 07/01/2029		57		58
6.220% due 04/01/2040 (d)		1,634		1,670
6.250% due 05/25/2042		107		111
6.360% due 08/01/2036		833		840
6.431% due 02/01/2037		665		685
6.470% due 12/01/2040		258		260
6.500% due 11/01/2008 - 01/25/2044		4,361		4,541
6.682% due 11/01/2014		39		39
6.752% due 07/01/2018		53		53
7.000% due 12/01/2009 - 02/25/2044		650		681
7.000% due 09/01/2011 (d)		698		730
7.143% due 04/01/2024		14		14
7.145% due 11/01/2025		128		130
7.218% due 09/01/2032		194		196
7.368% due 09/01/2029		279		281
7.500% due 12/01/2014 - 05/25/2042		522		551
7.504% due 06/01/2030		97		102
7.660% due 05/01/2015 (d)		2,440		2,669
7.775% due 05/01/2030		28		29
8.000% due 08/25/2022 - 10/01/2026		404		438
9.000% due 04/01/2020 - 01/01/2026		216		238
9.500% due 07/01/2021 - 06/01/2025		211		235
Freddie Mac
2.500% due 04/15/2013		306		305
2.742% due 08/25/2031		937		911
2.762% due 09/25/2031		1,017		1,005
2.771% due 04/15/2035 - 03/15/2036		69		68
2.821% due 06/15/2018 - 06/15/2031		7,230		7,163
2.832% due 06/25/2029		226		209
2.871% due 11/15/2032		141		140
2.882% due 05/25/2043		2,896		2,922
2.950% due 03/15/2024		250		250
2.971% due 01/15/2032		81		81
3.000% due 05/15/2022 - 10/15/2026		655		652
3.021% due 04/15/2028 - 03/15/2032		1,751		1,748
3.071% due 06/15/2029 - 12/15/2031		1,864		1,862
3.100% due 08/15/2022 - 03/15/2023		739		741
3.200% due 04/15/2022		146		146
3.409% due 03/15/2029		1,004		1,009
3.500% due 08/01/2008 - 03/15/2018		662		659
3.627% due 10/01/2033 (d)		562		569
3.661% due 10/15/2013		144		143
3.862% due 07/01/2033 (d)		1,652		1,675
3.870% due 12/15/2013		24		24
3.876% due 08/01/2033		150		151
3.887% due 05/01/2034		1,357		1,360
3.905% due 06/01/2033		63		63
3.957% due 03/01/2034		705		713
3.972% due 04/01/2034		1,891		1,913
4.000% due 08/01/2008 - 10/15/2026		27,336		27,218
4.002% due 04/01/2034		591		598
4.019% due 03/01/2034 (d)		2,084		2,077
4.087% due 01/01/2035		92		93
4.096% due 11/01/2033		184		186
4.124% due 04/01/2034		1,404		1,406
4.146% due 04/01/2034		389		392
4.147% due 01/01/2035		153		155
4.165% due 02/01/2034		921		932
4.166% due 01/01/2034		596		602
4.193% due 10/01/2034		1,038		1,059
4.194% due 07/01/2034		486		489
4.219% due 03/01/2034 (d)		2,497		2,517
4.230% due 07/01/2033		373		376
4.233% due 03/01/2034		354		356
4.239% due 10/01/2033		360		366
4.250% due 11/15/2020 - 09/15/2024		6,974		6,972
4.254% due 12/01/2033		334		338
4.280% due 01/01/2034		159		161
4.286% due 12/01/2033		488		495
4.302% due 11/01/2034 (d)		2,846		2,862
4.306% due 03/01/2035		233		235
4.321% due 10/01/2033 (d)		1,047		1,059
4.332% due 11/01/2033		343		346
4.333% due 11/01/2034		949		947
4.343% due 09/01/2035		134		134
4.345% due 12/01/2034		103		104
4.379% due 01/01/2035		639		645
4.412% due 12/01/2033		481		488
4.415% due 09/01/2034		173		175
4.452% due 08/01/2035		1,892		1,902
4.454% due 01/01/2035		788		796
4.468% due 11/01/2034		1,243		1,251
4.483% due 09/01/2036		503		507
4.488% due 03/01/2035		920		931
4.500% due 07/01/2008 - 08/15/2034		63,298		63,437
4.500% due 06/01/2013 - 08/01/2015 (d)		18,174		18,069
4.520% due 12/01/2034 (d)		2,698		2,730
4.537% due 12/01/2034		88		89
4.538% due 09/01/2034		255		258
4.550% due 03/01/2035 (d)		4,096		4,140
4.571% due 11/01/2034		1,340		1,358
4.592% due 01/01/2035		96		97
4.634% due 03/01/2035		1,025		1,038
4.741% due 04/01/2035		2,517		2,536
4.746% due 09/01/2034 (d)		2,394		2,415
4.748% due 12/01/2034 (d)		6,448		6,526
4.750% due 12/15/2016 - 01/15/2031		1,872		1,884
4.752% due 07/01/2036		957		961
4.766% due 10/01/2034 (d)		2,071		2,081
4.774% due 09/01/2035		501		508
4.796% due 11/01/2034		552		559
4.815% due 05/01/2035 (d)		5,061		5,106
4.817% due 02/01/2035 (d)		3,159		3,167
4.836% due 01/01/2035		867		872
4.837% due 03/01/2035		620		630
4.848% due 09/01/2035		134		136
4.853% due 08/01/2015		72		72
4.867% due 07/01/2035		994		1,003
4.871% due 04/01/2034		36		37
4.884% due 07/01/2035		1,337		1,328
4.908% due 07/01/2035		62		63
4.915% due 04/01/2035		881		890
4.931% due 12/01/2032		204		206
4.933% due 07/01/2033		71		70
4.940% due 08/01/2036 (d)		7,030		7,078
4.969% due 08/01/2034		1,138		1,155
4.973% due 12/01/2034 (d)		2,616		2,628
4.980% due 01/01/2036		147		147
4.983% due 03/01/2035		70		70
4.994% due 10/25/2044 - 02/25/2045		902		873
4.995% due 06/01/2035		137		139
5.000% due 05/01/2009 - 11/15/2029		59,704		60,381
5.000% due 04/01/2013 - 11/01/2017 (d)		9,099		9,052
5.001% due 05/01/2035		1,327		1,340
5.009% due 05/01/2033		47		46
5.041% due 12/01/2035		112		113
5.099% due 08/01/2035		1,011		1,024
5.125% due 09/01/2034		440		445
5.141% due 05/01/2035		724		735
5.151% due 03/01/2035		1,207		1,222
5.169% due 11/01/2033 (d)		3,204		3,188
5.183% due 11/01/2033 (d)		3,981		3,948
5.194% due 07/25/2044		5,517		5,166
5.195% due 11/01/2035		3,731		3,787
5.196% due 10/01/2032 (d)		497		501
5.220% due 02/01/2019		132		132
5.230% due 08/01/2036		1,402		1,419
5.235% due 03/01/2036		2,098		2,129
5.239% due 02/01/2036		103		104
5.241% due 04/01/2036		484		491
5.243% due 09/01/2035		903		914
5.267% due 02/01/2036		137		138
5.272% due 02/01/2036		103		104
5.273% due 09/01/2035 - 02/01/2037		2,099		2,117
5.283% due 02/01/2036		186		189
5.298% due 10/01/2035		2,054		2,076
5.301% due 02/01/2037		144		146
5.333% due 01/01/2037		3,925		3,966
5.348% due 12/01/2036		976		985
5.354% due 12/01/2035		4,566		4,648
5.389% due 02/01/2036		272		277
5.408% due 10/01/2036 (d)		6,347		6,348
5.422% due 01/01/2030		186		188
5.480% due 12/01/2036		3,072		3,107
5.500% due 08/01/2009 - 07/01/2038		19,325		19,318
5.529% due 08/01/2036		991		997
5.540% due 10/01/2035		269		271
5.550% due 11/15/2027		5		5
5.570% due 11/01/2036		2,102		2,128
5.593% due 08/01/2036		620		627
5.609% due 12/01/2035		884		893
5.636% due 04/01/2037		2,074		2,104
5.667% due 05/01/2037 (d)		5,716		5,801
5.683% due 02/01/2037		3,816		3,889
5.689% due 03/01/2036		136		137
5.726% due 02/01/2036		4,028		4,081
5.767% due 11/01/2035		31		32
5.780% due 04/01/2032 (d)		434		436
5.787% due 04/01/2036		488		492
5.814% due 11/01/2036		134		136
5.815% due 01/01/2037		110		112
5.826% due 03/01/2030		193		196
5.830% due 03/01/2032 (d)		565		570
5.871% due 04/01/2032 (d)		828		836
5.888% due 07/01/2036		52		53
5.948% due 11/01/2036		98		98
6.000% due 11/15/2008 - 10/01/2033		9,817		10,054
6.000% due 06/01/2017 - 07/01/2017 (d)		2,217		2,277
6.167% due 07/01/2019		17		17
6.250% due 12/15/2023 - 03/15/2028		1,139		1,151
6.500% due 05/15/2012		95		96
6.892% due 12/01/2034		72		72
7.000% due 06/01/2017 - 07/15/2027		171		180
7.017% due 09/01/2034		118		118
7.021% due 11/01/2031		218		220
7.099% due 10/01/2029		34		34
7.438% due 08/01/2023		23		23
Ginnie Mae
2.671% due 01/16/2031		46		46
2.829% due 06/20/2032		152		151
2.871% due 02/16/2032		268		266
2.882% due 06/20/2030 - 04/20/2031		777		776
2.921% due 03/16/2031		312		311
2.971% due 04/16/2030 - 04/16/2032		360		358
4.000% due 09/16/2025		109		109
4.500% due 08/16/2028 - 08/20/2035		2,837		2,855
5.000% due 05/20/2030		2,708		2,746
5.125% due 10/20/2029		1,744		1,752
5.250% due 01/20/2030		23		23
5.375% due 02/20/2025 - 01/20/2027		843		846
5.625% due 07/20/2026 - 07/20/2031		1,738		1,756
6.000% due 10/20/2012 - 03/15/2032		478		482
6.500% due 07/20/2017		59		59
8.000% due 06/20/2025		3		3
8.500% due 12/20/2026 - 11/20/2027		50		55
Small Business Administration
5.090% due 10/01/2025		3,051		2,998
6.100% due 02/01/2009		37		37
Total U.S. Government Agencies (Cost $964,071)				977,775
MORTGAGE-BACKED SECURITIES 38.0%
ABN AMRO Mortgage Corp.
5.000% due 02/25/2018		807		807
5.000% due 07/25/2018		1,642		1,588
Adjustable Rate Mortgage Trust
2.732% due 10/25/2035		45		33
2.852% due 01/25/2035		1,741		1,494
2.852% due 02/25/2035		1,973		1,667
4.584% due 05/25/2035		1,189		1,159
4.829% due 01/25/2036		3,314		3,186
5.016% due 01/25/2035		3,108		2,996
5.376% due 11/25/2035		982		909
5.417% due 01/25/2036		888		840
American Home Mortgage Investment Trust
4.290% due 10/25/2034		1,379		1,211
4.390% due 02/25/2045		1,220		1,092
4.440% due 02/25/2045		2,897		2,592
Banc of America Alternative Loan Trust
5.000% due 06/25/2019		1,749		1,644
Banc of America Commercial Mortgage, Inc.
4.342% due 03/11/2041		1,248		1,238
4.875% due 06/10/2039		3,899		3,905
Banc of America Funding Corp.
4.105% due 03/20/2035		232		230
4.110% due 05/25/2035		2,681		2,508
4.420% due 11/20/2034		6,275		5,749
5.357% due 11/20/2035		723		674
Banc of America Large Loan, Inc.
2.981% due 08/15/2029		13,711		12,880
Banc of America Mortgage Securities, Inc.
2.882% due 03/25/2034		266		256
3.701% due 04/25/2034		1,147		1,115
3.856% due 02/25/2034		4,521		4,318
4.144% due 07/25/2034		8,000		7,913
4.500% due 02/25/2018		1,446		1,440
5.000% due 12/25/2018		338		327
5.000% due 05/25/2035		8,212		8,195
5.250% due 03/25/2034		423		418
5.270% due 10/25/2035		293		274
5.500% due 04/25/2033		732		732
6.500% due 09/25/2033		970		951
6.858% due 02/25/2033		832		818
Bank of America-First Union NB Commercial Mortgage
4.890% due 04/11/2037		2,246		2,250
Bear Stearns Adjustable Rate Mortgage Trust
3.989% due 07/25/2034		491		477
4.593% due 01/25/2034		1,604		1,479
4.625% due 10/25/2035		6,486		6,234
4.650% due 10/25/2035		300		278
4.725% due 10/25/2033		9		9
4.747% due 01/25/2034		1,104		1,060
4.750% due 10/25/2035		15,032		14,800
4.789% due 10/25/2034		9,204		8,750
4.845% due 01/25/2035		328		313
4.879% due 10/25/2033		6		6
4.928% due 10/25/2033		57		55
4.960% due 01/25/2035		1,812		1,745
5.033% due 04/25/2033		104		101
5.425% due 04/25/2033		217		205
5.615% due 02/25/2033		72		68
5.760% due 11/25/2034		2,354		2,314
6.383% due 05/25/2033		3		3
6.736% due 02/25/2033		10		10
Bear Stearns Alt-A Trust
2.642% due 02/25/2034		1,704		1,227
2.652% due 08/25/2036		39		27
2.682% due 02/25/2034		6,951		4,413
4.909% due 11/25/2034		11,926		10,964
5.372% due 05/25/2035		225		193
5.728% due 11/25/2035		54		28
5.796% due 11/25/2036		1,001		737
5.869% due 01/25/2036		5,056		4,133
5.916% due 02/25/2036		39,765		30,658
6.250% due 08/25/2036		9,607		7,504
Bear Stearns Commercial Mortgage Securities
3.970% due 11/11/2035		19,386		19,162
5.016% due 02/11/2044		2,328		2,292
5.243% due 12/11/2038		800		718
5.817% due 05/14/2016		5,250		5,356
6.020% due 02/14/2031		26,445		26,553
6.440% due 06/16/2030		447		447
Bear Stearns Structured Products, Inc.
2.592% due 01/26/2037		20,469		20,290
Cendant Mortgage Corp.
5.250% due 10/25/2033		64		64
Chase Mortgage Finance Corp.
4.353% due 02/25/2037		10,898		10,241
5.000% due 04/25/2018		502		500
5.237% due 12/25/2035		2,931		2,901
5.250% due 01/25/2034		2,551		2,541
Citicorp Mortgage Securities, Inc.
5.000% due 04/25/2018		3,444		3,442
5.000% due 02/25/2035		200		165
5.500% due 09/25/2035		1,230		1,216
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		204		191
Citigroup Mortgage Loan Trust, Inc.
3.282% due 08/25/2035		724		622
4.248% due 08/25/2035		13,929		13,165
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		7,000		6,485
5.617% due 10/15/2048		15,000		14,442
Citimortgage Alternative Loan Trust
6.000% due 06/25/2037		936		907
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		20,549		19,337
6.455% due 05/15/2032		629		629
Countrywide Alternative Loan Trust
2.682% due 06/25/2037		1,698		1,190
2.882% due 03/25/2034		534		505
4.528% due 02/25/2036		935		713
4.838% due 07/20/2035		938		692
5.414% due 10/25/2035		585		550
5.465% due 06/25/2037		8,182		6,028
5.500% due 02/25/2034		204		196
6.166% due 08/25/2036		1,316		1,259
6.500% due 06/25/2033		5		5
Countrywide Home Loan Mortgage Pass-Through Trust
2.752% due 02/25/2035		583		479
2.822% due 06/25/2035		6,412		5,654
2.832% due 08/25/2035		957		911
3.775% due 10/25/2033		5,000		4,968
4.352% due 06/20/2035		1,046		916
4.500% due 10/25/2018		90		78
4.688% due 08/25/2034		9,125		8,825
4.842% due 04/20/2035		5,791		5,613
4.873% due 08/25/2034		9,978		9,688
5.000% due 02/25/2033		317		315
5.000% due 05/25/2034		3,486		3,395
5.250% due 02/20/2036		127		101
5.259% due 01/20/2035		1,033		953
5.500% due 04/25/2033		5,077		5,077
5.500% due 01/25/2034		20		19
5.500% due 10/25/2035		2,753		2,746
5.500% due 11/25/2035		3,462		3,389
5.850% due 05/25/2036		744		730
Credit Suisse Mortgage Capital Certificates
5.383% due 02/15/2040		800		744
5.467% due 09/15/2039		20,000		19,049
CS First Boston Mortgage Securities Corp.
4.106% due 12/15/2035		10,195		9,910
4.585% due 10/25/2033		7,312		7,036
4.668% due 01/25/2034		8,326		7,758
5.097% due 07/25/2033		1,809		1,707
5.169% due 03/25/2034		174		172
6.500% due 04/25/2033		274		258
6.763% due 11/25/2032		39		37
CW Capital Cobalt Ltd.
5.223% due 08/15/2048		20,000		18,685
5.484% due 04/15/2047		700		653
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.492% due 10/25/2036		269		264
2.552% due 01/25/2047		1,075		1,003
2.562% due 03/25/2037		5,873		5,622
5.000% due 10/25/2018		660		626
5.500% due 12/25/2035		2,000		1,639
First Horizon Alternative Mortgage Securities
4.628% due 07/25/2035		608		492
5.401% due 09/25/2035		184		155
First Horizon Asset Securities, Inc.
2.752% due 02/25/2035		40		37
4.384% due 12/25/2033		1,926		1,879
4.911% due 02/25/2035		1,241		1,216
5.000% due 03/25/2034		4,808		4,760
5.188% due 06/25/2033		6,355		6,254
6.000% due 05/25/2036		679		681
First Republic Mortgage Loan Trust
2.771% due 08/15/2032		2,509		2,268
2.821% due 11/15/2031		445		412
2.871% due 11/15/2032		552		516
2.962% due 06/25/2030		576		519
GE Capital Commercial Mortgage Corp.
5.512% due 11/10/2045		11,000		10,691
GMAC Commercial Mortgage Securities, Inc.
5.238% due 11/10/2045		20,000		18,948
6.420% due 05/15/2035		57		57
GMAC Mortgage Corp. Loan Trust
4.305% due 06/25/2034		1,865		1,499
5.298% due 11/19/2035		1,018		968
5.500% due 09/25/2034		5,883		5,817
Greenwich Capital Commercial Funding Corp.
4.344% due 06/10/2036		2,090		2,087
5.444% due 03/10/2039		25,000		23,345
GS Mortgage Securities Corp. II
3.500% due 03/06/2020		3,000		2,649
GSAA Trust
6.000% due 04/01/2034		1,704		1,686
GSR Mortgage Loan Trust
2.832% due 01/25/2034		2,649		2,363
3.930% due 06/25/2034		1,308		1,222
4.397% due 12/25/2034		22,825		21,340
4.500% due 08/25/2019		1,029		1,016
4.510% due 03/25/2033		138		132
4.519% due 06/25/2034		108		100
4.539% due 09/25/2035		10,422		10,109
4.540% due 09/25/2035		13,892		12,897
5.000% due 08/25/2019		684		669
5.020% due 05/25/2035		312		309
5.347% due 11/25/2035		1,409		1,333
6.000% due 03/25/2032		55		55
GSRPM Mortgage Loan Trust
2.882% due 11/25/2031		912		910
Harborview Mortgage Loan Trust
2.628% due 04/19/2038		2,683		1,880
2.672% due 01/19/2038		38,493		27,565
2.672% due 02/19/2046		2,866		2,160
2.682% due 02/19/2046		151		118
2.702% due 05/19/2035		159		121
3.938% due 06/19/2034		10,000		8,938
5.172% due 05/19/2033		3,267		3,154
Impac CMB Trust
3.382% due 10/25/2033		2,031		1,936
Indymac ARM Trust
6.124% due 01/25/2032		16		13
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		1,059		987
2.582% due 01/25/2037		759		715
2.702% due 04/25/2046		2,359		1,663
3.262% due 05/25/2034		739		635
6.550% due 01/25/2035		4,251		3,871
JPMorgan Chase Commercial Mortgage Securities Corp.
5.050% due 12/12/2034		10,000		9,877
5.336% due 05/15/2047		16,100		15,134
5.429% due 12/12/2043		20,000		18,982
5.475% due 04/15/2043		20,000		19,154
5.552% due 05/12/2045		20,000		19,174
JPMorgan Mortgage Trust
4.492% due 06/25/2035		139		133
4.766% due 07/25/2035		4,057		3,532
4.832% due 12/25/2034		769		740
4.843% due 12/25/2034		210		198
4.881% due 04/25/2035		714		679
4.948% due 11/25/2035		19,033		18,762
4.971% due 08/25/2035		4,693		4,646
5.005% due 07/25/2035		2,001		1,917
5.120% due 10/25/2035		600		562
5.299% due 07/25/2035		11,688		11,384
5.379% due 08/25/2035		1,400		1,328
5.403% due 11/25/2035		903		864
5.500% due 10/25/2035		597		548
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		56		56
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		1,181		1,124
Lehman XS Trust
2.562% due 07/25/2046		403		393
MASTR Adjustable Rate Mortgages Trust
3.788% due 11/21/2034		28,085		26,545
4.697% due 07/25/2034		6,715		6,442
4.848% due 01/25/2036		240		232
MASTR Asset Securitization Trust
5.000% due 04/25/2018		4,622		4,619
5.000% due 05/25/2018		1,057		1,052
5.250% due 09/25/2033		302		301
5.500% due 09/25/2033		2,152		2,017
5.750% due 05/25/2036		8,920		8,910
Mellon Residential Funding Corp.
2.901% due 08/15/2032		585		560
2.911% due 12/15/2030		325		302
2.994% due 06/15/2030		661		624
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		1,000		929
5.414% due 07/12/2046		28,500		27,085
5.485% due 03/12/2051		500		467
Merrill Lynch Floating Trust
2.541% due 06/15/2022		1,683		1,583
Merrill Lynch Mortgage Investors, Inc.
2.380% due 09/25/2033		54		54
4.872% due 06/25/2035		3,213		3,108
Merrill Lynch Mortgage Trust
5.291% due 01/12/2044		20,000		19,278
MLCC Mortgage Investors, Inc.
2.792% due 08/25/2028		271		269
2.812% due 06/25/2028		648		620
2.848% due 11/25/2029		157		149
3.321% due 03/25/2030		231		215
3.481% due 03/25/2028		2,173		1,989
4.250% due 10/25/2035		4,837		4,628
4.705% due 01/25/2029		4,842		4,768
4.958% due 04/25/2035		580		556
Morgan Stanley Capital I
2.542% due 10/15/2020		2,408		2,250
5.332% due 12/15/2043		20,000		18,848
5.378% due 11/14/2042		14,000		13,665
5.544% due 11/12/2049		900		811
5.692% due 04/15/2049		600		567
6.540% due 04/03/2014		11,000		11,170
Morgan Stanley Dean Witter Capital I
5.720% due 12/18/2032		12,620		12,745
Morgan Stanley Mortgage Loan Trust
4.367% due 07/25/2034		3,364		3,316
4.750% due 08/25/2034		577		576
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		174		142
Opteum Mortgage Acceptance Corp.
2.742% due 07/25/2035		1,605		1,387
Prime Mortgage Trust
2.882% due 02/25/2019		15		14
2.882% due 02/25/2034		37		34
Provident Funding Mortgage Loan Trust
4.040% due 04/25/2034		277		276
4.612% due 08/25/2033		304		295
RAAC Series 2005-SP1
5.250% due 09/25/2034		2,750		2,749
Residential Accredit Loans, Inc.
2.762% due 12/25/2045		4,175		3,078
2.782% due 08/25/2035		1,170		908
2.912% due 02/25/2033		1,109		1,010
5.384% due 04/25/2035		15		10
Residential Asset Mortgage Products, Inc.
7.500% due 12/25/2031		2,333		2,353
Residential Asset Securitization Trust
2.982% due 03/25/2033		770		706
3.750% due 10/25/2018		79		72
Residential Funding Mortgage Securities I
5.000% due 04/25/2018		152		150
5.593% due 02/25/2036		699		655
6.500% due 03/25/2032		173		169
Sequoia Mortgage Trust
2.632% due 05/20/2034		1,180		1,121
2.782% due 12/20/2034		518		489
2.859% due 10/20/2027		494		435
2.879% due 10/20/2027		499		478
2.932% due 12/20/2032		555		526
Structured Adjustable Rate Mortgage Loan Trust
2.702% due 05/25/2037		21,285		15,333
2.722% due 03/25/2035		484		357
2.782% due 09/25/2034		455		426
4.260% due 03/25/2034		859		842
4.880% due 07/25/2034		539		523
4.940% due 03/25/2034		185		169
5.305% due 08/25/2034		3,361		3,048
5.505% due 07/25/2035		675		633
Structured Asset Mortgage Investments, Inc.
2.582% due 09/25/2047		3,835		3,657
2.612% due 03/25/2037		534		411
2.652% due 03/25/2037		6,542		4,476
2.672% due 03/25/2037		5,837		4,260
2.702% due 05/25/2036		9,332		6,548
2.712% due 02/25/2036		2,328		1,672
2.792% due 12/25/2035		960		690
2.812% due 09/19/2032		988		901
2.822% due 05/19/2035		48		40
2.832% due 03/19/2034		995		893
2.902% due 02/19/2033		1,042		1,005
6.363% due 02/19/2035		1,873		1,855
Structured Asset Securities Corp.
4.737% due 11/25/2033		345		334
5.374% due 03/25/2033		2,890		2,774
5.432% due 10/25/2035		983		897
5.820% due 07/25/2032		1		1
6.103% due 05/25/2032		76		75
TBW Mortgage-Backed Pass-Through Certificates
2.582% due 09/25/2036		836		793
Thornburg Mortgage Securities Trust
2.582% due 03/25/2037		16,528		15,507
2.592% due 03/25/2046		1,595		1,572
2.592% due 11/25/2046		2,334		2,234
2.602% due 07/25/2036		2,555		2,373
2.602% due 09/25/2046		3,796		3,662
2.632% due 11/25/2046		3,509		3,306
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		7,616		7,187
Wachovia Mortgage Loan Trust LLC
5.444% due 10/20/2035		531		502
WaMu Mortgage Pass-Through Certificates
2.702% due 08/25/2046		7,879		6,641
2.712% due 04/25/2045		429		338
2.722% due 06/25/2046		4,309		3,674
2.742% due 11/25/2045		2,439		1,872
2.752% due 12/25/2045		5,712		4,594
2.772% due 07/25/2045		6,142		4,943
2.772% due 10/25/2045		8,282		6,464
2.772% due 12/25/2045		69		61
2.792% due 01/25/2045		8,129		6,303
2.798% due 11/25/2034		251		227
2.802% due 08/25/2045		333		266
2.808% due 11/25/2034		6,553		5,626
2.822% due 01/25/2045		4,422		3,593
2.838% due 10/25/2044		1,552		1,392
2.872% due 12/25/2045		169		168
3.022% due 12/25/2027		5,092		4,651
3.952% due 06/25/2033		1,714		1,668
4.030% due 08/25/2033		5,029		4,960
4.043% due 02/25/2034		182		181
4.056% due 10/25/2033		17,000		16,987
4.162% due 08/25/2033		3,063		2,229
4.229% due 03/25/2034		3,426		3,355
4.338% due 12/25/2046		2,547		2,138
4.528% due 08/25/2046		256		196
4.585% due 04/25/2035		2,600		2,579
4.611% due 05/25/2046		183		152
4.636% due 03/25/2035		776		740
4.669% due 04/25/2035		1,500		1,485
4.677% due 05/25/2035		2,200		2,169
4.728% due 11/25/2042		724		670
4.780% due 07/25/2046		2,279		1,825
4.780% due 08/25/2046		5,711		4,704
4.833% due 10/25/2035		7,907		7,597
4.835% due 09/25/2035		1,184		1,160
4.917% due 08/25/2035		5,110		5,060
4.928% due 06/25/2042		654		593
4.928% due 08/25/2042		61		54
5.028% due 09/25/2046		576		450
5.028% due 11/25/2046		1,330		1,088
5.099% due 12/25/2035		2,069		2,044
5.500% due 06/25/2034		747		731
5.500% due 07/25/2034		414		415
Washington Mutual MSC Mortgage Pass-Through Certificates
6.574% due 02/25/2033		156		156
6.773% due 02/25/2031		27		27
6.792% due 02/25/2033		131		127
Wells Fargo Mortgage-Backed Securities Trust
2.982% due 07/25/2037		1,956		1,690
3.541% due 09/25/2034		1,100		1,088
4.051% due 11/25/2034		12,650		12,225
4.108% due 06/25/2035		4,252		4,127
4.364% due 09/25/2034		632		616
4.493% due 01/25/2035		575		569
4.500% due 08/25/2018		12,027		11,729
4.500% due 11/25/2018		7,689		7,428
4.539% due 02/25/2035		491		484
4.541% due 03/25/2035		3,306		3,197
4.553% due 11/25/2034		27,642		26,962
4.643% due 09/25/2033		18,953		18,335
4.679% due 01/25/2034		2,257		2,081
4.705% due 12/25/2033		2,132		2,016
4.730% due 07/25/2034		4,461		4,409
4.731% due 07/25/2034		10,721		10,594
4.750% due 10/25/2018		9,770		9,638
4.950% due 03/25/2036		5,796		5,585
4.993% due 12/25/2034		1,259		1,225
4.999% due 10/25/2035		337		329
5.000% due 07/25/2019		92		89
5.106% due 03/25/2036		9,785		9,486
5.240% due 04/25/2036		250		246
5.471% due 10/25/2035		2,210		2,158
6.000% due 09/25/2036		791		784
Total Mortgage-Backed Securities (Cost $1,425,123)				1,330,064
ASSET-BACKED SECURITIES 22.2%
American Express Credit Account Master Trust
2.501% due 12/15/2013		3,000		2,947
2.971% due 02/15/2012		189		185
3.421% due 08/15/2012		6,000		6,041
Aurum CLO 2002-1 Ltd.
3.143% due 04/15/2014		5,442		5,237
BA Credit Card Trust
2.671% due 01/15/2013		10,200		10,110
3.051% due 04/15/2013		700		699
3.183% due 12/15/2014		10,000		9,942
3.671% due 12/16/2013		40,000		40,624
BankAmerica Manufactured Housing Contract Trust
6.940% due 04/10/2023		15,000		14,496
Bear Stearns Asset-Backed Securities Trust
2.532% due 11/25/2036		966		920
2.552% due 12/25/2036		107		98
3.482% due 10/25/2037		2,212		1,829
3.732% due 08/25/2037		4,349		3,718
5.333% due 10/25/2036		7,348		6,680
5.431% due 10/25/2036		4,672		3,808
5.789% due 10/25/2036		7,739		7,078
6.250% due 12/25/2036		8,950		7,007
6.250% due 02/25/2037		17,512		15,632
Bear Stearns Second Lien Trust
3.282% due 12/25/2036		21,100		4,265
4.982% due 12/25/2036		2,450		271
Capital Auto Receivables Asset Trust
3.391% due 03/15/2011		8,900		8,934
3.921% due 10/15/2012		8,600		8,683
Carrington Mortgage Loan Trust
2.582% due 06/25/2037		1,353		1,302
Chase Issuance Trust
2.721% due 09/15/2011		10,000		9,981
2.941% due 06/15/2012		4,950		4,819
Citibank Credit Card Issuance Trust
2.551% due 04/24/2014		650		635
Citibank Credit Card Master Trust I
5.875% due 03/10/2011		30,548		31,083
Countrywide Asset-Backed Certificates
2.592% due 10/25/2046		697		684
2.742% due 05/25/2036		8,007		7,814
Daimler Chrysler Auto Trust
3.378% due 07/08/2011		13,800		13,861
3.928% due 09/10/2012		5,600		5,659
Fieldstone Mortgage Investment Corp.
2.562% due 05/25/2036		27		26
First Franklin Mortgage Loan Asset-Backed Certificates
2.572% due 07/25/2036		24,261		23,332
2.592% due 04/25/2036		1,800		1,763
Ford Credit Auto Owner Trust
2.801% due 06/15/2010		16,587		16,583
3.371% due 01/15/2011		7,800		7,824
3.891% due 06/15/2012		9,400		9,497
4.091% due 05/15/2012		5,000		5,045
Franklin Auto Trust
3.482% due 10/20/2011		11,600		11,578
Green Tree Financial Corp.
6.110% due 09/01/2023		6,205		6,179
HFC Home Equity Loan Asset-Backed Certificates
2.659% due 01/20/2036		4,365		3,999
3.279% due 11/20/2036		2,111		2,110
Home Equity Asset Trust
3.082% due 11/25/2032		8		6
Home Equity Mortgage Trust
5.321% due 04/25/2035		947		625
HSI Asset Securitization Corp. Trust
2.532% due 10/25/2036		229		222
2.592% due 12/25/2036		9,000		6,972
Indymac Residential Asset-Backed Trust
2.612% due 04/25/2047		3,409		3,366
3.002% due 10/25/2035		1,600		887
Irwin Home Equity Corp.
3.022% due 07/25/2032		370		279
Ischus CDO Ltd.
2.729% due 09/10/2013		655		532
JPMorgan Mortgage Acquisition Corp.
2.542% due 05/25/2037		1,420		1,359
2.552% due 11/25/2036		757		733
2.552% due 01/25/2037		21,945		20,901
2.562% due 03/25/2037		1,931		1,838
2.572% due 10/25/2036		1,009		969
2.582% due 07/25/2036		21,000		20,401
2.592% due 08/25/2036		577		574
Lehman XS Trust
2.552% due 05/25/2046		390		374
2.572% due 05/25/2046		856		835
2.632% due 04/25/2037		20,340		19,270
5.390% due 11/25/2035		22,136		18,455
Long Beach Mortgage Loan Trust
2.662% due 08/25/2035		493		482
2.762% due 10/25/2034		382		317
3.092% due 03/25/2032		95		79
Madison Avenue Manufactured Housing Contract
3.932% due 03/25/2032		15,397		13,269
MASTR Asset-Backed Securities Trust
2.532% due 01/25/2037		14,070		12,694
2.562% due 05/25/2037		15,844		15,291
MBNA Credit Card Master Note Trust
2.531% due 11/16/2015		3,000		2,902
3.650% due 03/15/2011		11,450		11,470
MBNA Master Credit Card Trust
5.900% due 08/15/2011		8,510		8,666
Merrill Lynch First Franklin Mortgage Loan Trust
3.182% due 10/25/2037		14,482		14,257
Merrill Lynch Mortgage Investors, Inc.
2.562% due 09/25/2037		3,033		2,960
2.662% due 09/25/2036		1,267		948
Morgan Stanley ABS Capital I
3.282% due 07/25/2037		2,247		2,019
Morgan Stanley IXIS Real Estate Capital Trust
2.592% due 11/25/2036		15,000		13,911
Morgan Stanley Mortgage Loan Trust
2.552% due 01/25/2047		11,130		10,298
Nationstar Home Equity Loan Trust
2.602% due 04/25/2037		8,113		7,950
Nationstar NIM Trust
8.000% due 06/25/2037		117		49
Nelnet Student Loan Trust
3.010% due 07/25/2016		138		138
3.320% due 07/25/2018		10,000		9,980
3.550% due 10/25/2019		5,000		4,965
New Century Home Equity Loan Trust
2.552% due 08/25/2036		194		192
2.652% due 12/25/2035		6,504		6,482
2.662% due 05/25/2036		1,854		1,685
2.742% due 06/25/2035		1,313		1,072
Renaissance Home Equity Loan Trust
2.922% due 08/25/2033		458		406
2.982% due 12/25/2033		1,615		1,344
3.182% due 08/25/2032		10		8
3.582% due 09/25/2037		12,393		11,787
Residential Asset Mortgage Products, Inc.
2.542% due 12/25/2036		443		430
2.552% due 11/25/2036		456		449
2.552% due 02/25/2037		4,791		4,631
2.562% due 07/25/2036		1,622		1,609
2.562% due 10/25/2036		1,573		1,477
2.602% due 05/25/2037		18,312		16,498
Residential Asset Securities Corp.
2.552% due 07/25/2036		1,307		1,301
2.552% due 11/25/2036		1,897		1,870
2.552% due 02/25/2037		3,712		3,542
2.562% due 10/25/2036		509		500
2.592% due 07/25/2036		1,900		1,853
2.592% due 04/25/2037		7,135		6,805
2.612% due 03/25/2036		222		220
2.622% due 12/25/2035		294		294
SACO I, Inc.
2.862% due 11/25/2035		1,757		1,327
Salomon Brothers Mortgage Securities VII, Inc.
2.782% due 03/25/2032		261		255
Saxon Asset Securities Trust
3.022% due 01/25/2032		27		27
SBI HELOC Trust
2.652% due 08/25/2036		304		291
Securitized Asset-Backed Receivables LLC Trust
2.542% due 03/25/2036		14		14
2.562% due 11/25/2036		14,508		14,144
SLC Student Loan Trust
3.662% due 06/15/2021		3,100		3,096
SLM Student Loan Trust
2.910% due 07/25/2017		1,512		1,507
2.920% due 01/25/2018		163		163
2.960% due 10/25/2016		20,000		19,868
3.420% due 10/25/2017		5,000		4,930
Soundview Home Equity Loan Trust
2.542% due 11/25/2036		2,492		2,434
2.562% due 01/25/2037		3,350		3,273
2.562% due 06/25/2037		6,143		5,928
2.582% due 10/25/2036		610		605
2.592% due 01/25/2037		10,000		8,964
2.602% due 01/25/2037		3,211		3,163
2.632% due 06/25/2037		35,000		27,401
3.282% due 10/25/2037		7,025		6,800
Specialty Underwriting & Residential Finance
2.582% due 11/25/2037		13,000		11,606
3.162% due 01/25/2034		50		41
Stone Tower CLO Ltd.
3.240% due 08/21/2013		4,350		4,121
Structured Asset Securities Corp.
2.532% due 09/25/2036		1,154		1,117
2.562% due 01/25/2037		721		686
2.682% due 11/25/2035		2,518		2,481
2.772% due 01/25/2033		802		680
TABS Ltd.
3.875% due 02/12/2047		2,950		119
Trapeza CDO I LLC
3.589% due 11/16/2034		1,000		638
Vanderbilt Acquisition Loan Trust
7.120% due 05/07/2032		5,000		4,808
Washington Mutual Asset-Backed Certificates
2.592% due 01/25/2037		14,656		12,332
Wells Fargo Home Equity Trust
2.552% due 07/25/2036		571		566
2.582% due 07/25/2036		11,075		10,854
2.582% due 03/25/2037		1,633		1,614
2.722% due 10/25/2035		1,920		1,878
2.732% due 12/25/2035		1,450		1,418
WMC Mortgage Loan Pass-Through Certificates
3.151% due 05/15/2030		226		225
Total Asset-Backed Securities (Cost $842,505)				778,050
SOVEREIGN ISSUES 0.6%
Export-Import Bank of Korea
2.772% due 06/01/2009		22,000		21,808
Total Sovereign Issues (Cost $21,998)				21,808
SHORT-TERM INSTRUMENTS 2.8%
Certificates of Deposit 0.7%
Unicredito Italiano NY
3.071% due 05/15/2009		25,000		25,000
Repurchase Agreements 0.3%
Fixed Income Clearing Corp.
1.650% due 07/01/2008		11,885		11,885
(Dated 06/30/2008. Collateralized by Freddie Mac 3.375% due 04/15/2009 valued at $12,125. Repurchase proceeds are $11,886.)
U.S. Treasury Bills 1.8%
1.840% due 08/28/2008 - 09/25/2008 (b)(c)		62,000		61,603
Total Short-Term Instruments (Cost $98,626)				98,488
Purchased Options (g) 0.0% (Cost $4,214)				1,659
Total Investments 107.8% (Cost $3,942,712)			$	3,776,584
Written Options (h) (0.1%) (Premiums $4,119)				(2,368	)
Other Assets and Liabilities (Net) (7.7%)				(270,616	)
Net Assets 100.0%			$	3,503,600

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 $61,603 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(d) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $84,811 at a weighted average interest rate of 2.588%. On June 30, 2008, securities valued at $205,103 were pledged as collateral for reverse repurchase agreements.

(e) Cash of $920 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
U.S. Treasury 5-Year Note September Futures	Short	09/2008	351	$	15

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

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
ABX Financing Co. 5.750% due 10/15/2016	Buy	(0.500	%)	12/20/2016	BEAR	$	3,000	$	37
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	BCLY		5,000		4,220
Alcan, Inc. 5.000% due 06/01/2015	Buy	(0.420	%)	06/20/2015	BEAR		2,500		(6	)
AutoZone, Inc. 5.500% due 11/15/2015	Buy	(0.810	%)	12/20/2015	RBS		2,500		35
AutoZone, Inc. 5.875% due 10/15/2012	Buy	(0.650	%)	12/20/2012	JPM		3,000		28
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	BEAR		2,500		616
Avon Products, Inc. 5.125% due 01/15/2011	Buy	(0.150	%)	03/20/2011	CSFB		4,000		16
BAE Systems Holdings, Inc. 6.400% due 12/15/2011	Buy	(0.140	%)	12/20/2011	UBS		2,000		27
Bank of America Corp. 5.625% due 10/14/2016	Buy	(0.180	%)	12/20/2016	DUB		10,000		608
Bear Stearns Cos., Inc. 6.950% due 08/10/2012	Buy	(4.050	%)	09/20/2012	CITI		5,863		(669	)
BHP Billiton Finance Ltd. 5.125% due 03/29/2012	Buy	(0.135	%)	03/20/2012	BOA		3,000		67
Boston Scientific Corp. 6.000% due 06/15/2011	Buy	(0.500	%)	06/20/2011	UBS		2,500		88
CNA Financial Corp. 5.850% due 12/15/2014	Buy	(0.470	%)	12/20/2014	CITI		3,100		124
Comcast Corp. 5.300% due 01/15/2014	Buy	(0.390	%)	03/20/2014	BCLY		5,000		(80	)
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	CITI		500		123
Consumers Energy Co. 5.000% due 02/15/2012	Buy	(0.090	%)	03/20/2012	BOA		3,000		131
Countrywide Financial Corp. 6.250% due 05/15/2016	Buy	(0.710	%)	06/20/2016	BEAR		5,000		400
Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.580	%)	09/20/2011	BCLY		4,000		26
Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.535	%)	09/20/2011	BCLY		5,000		39
Daimler Finance N.A. LLC 5.750% due 09/08/2011	Buy	(0.480	%)	09/20/2011	RBS		5,000		48
Dominion Resources, Inc. 5.200% due 01/15/2016	Buy	(0.455	%)	03/20/2016	BOA		3,000		50
DPL, Inc. 6.875% due 09/01/2011	Buy	(0.330	%)	09/20/2011	CSFB		2,600		7
EnCana Corp. 6.300% due 11/01/2011	Buy	(0.230	%)	12/20/2011	LEH		2,600		45
Exelon Corp. 6.750% due 05/01/2011	Buy	(0.290	%)	06/20/2011	MLP		3,200		49
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.935	%	12/20/2010	BCLY		3,000		(30	)
Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.470% due 01/18/2012	Buy	(0.365	%)	03/20/2012	DUB		2,000		450
HSBC Finance Corp. 6.375% due 10/15/2011	Buy	(0.200	%)	12/20/2011	RBS		6,300		155
HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.250% due 01/15/2014	Buy	(0.165	%)	12/20/2013	BNP		5,000		359
HSBC Finance Corp. floating rate based on 3-Month USD-LIBOR plus 0.430% due 06/01/2016	Buy	(0.220	%)	06/20/2016	BEAR		3,000		95
International Lease Finance Corp. 5.625% due 09/20/2013	Buy	(0.220	%)	09/20/2013	LEH		5,200		587
iStar Financial, Inc. 5.950% due 10/15/2013	Buy	(0.565	%)	12/20/2013	RBS		6,000		1,418
JC Penney Corp., Inc. 7.375% due 08/15/2008	Buy	(0.100	%)	09/20/2008	MSC		3,693		9
John Deere Capital Corp. 5.650% due 07/25/2011	Buy	(0.140	%)	09/20/2011	CSFB		2,000		21
Johnson Controls, Inc. 5.250% due 01/15/2011	Buy	(0.280	%)	03/20/2011	JPM		5,000		84
Johnson Controls, Inc. 5.500% due 01/15/2016	Buy	(0.500	%)	03/20/2016	BEAR		3,000		118
Kaupthing Bank HF 6.125% due 10/04/2016	Buy	(0.600	%)	12/20/2016	DUB		3,000		882
Kellogg Co. 6.600% due 04/01/2011	Buy	(0.110	%)	06/20/2011	LEH		2,000		3
Kerr-McGee Corp. 6.875% due 09/15/2011	Buy	(0.160	%)	09/20/2011	RBS		4,100		18
Kraft Foods, Inc. 5.625% due 11/01/2011	Buy	(0.150	%)	12/20/2011	RBS		3,000		71
Kroger Co. 5.500% due 02/01/2013	Buy	(0.560	%)	03/20/2013	MSC		4,000		17
Landsbanki Islands HF floating rate based on 3-Month USD-LIBOR plus 0.700% due 08/25/2009	Buy	(0.330	%)	09/20/2009	RBS		3,000		242
Lennar Corp. 5.950% due 10/17/2011	Buy	(0.660	%)	12/20/2011	JPM		3,000		515
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.190	%	01/20/2009	JPM		5,000		5
Mexico Government International Bond 7.500% due 04/08/2033	Sell	0.390	%	01/20/2012	LEH		9,000		(146	)
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.450% due 10/18/2016	Buy	(0.320	%)	12/20/2016	RBS		5,000		497
Morgan Stanley floating rate based on 3-Month USD-LIBOR plus 0.480% due 10/15/2015	Buy	(0.275	%)	12/20/2015	RBS		3,000		287
Newell Rubbermaid, Inc. 4.000% due 05/01/2010	Buy	(0.190	%)	06/20/2010	LEH		2,100		16
ORIX Corp. 5.480% due 11/22/2011	Buy	(0.280	%)	12/20/2011	MLP		5,000		287
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.300	%	01/20/2009	JPM		10,000		18
Proctor & Gamble Co. 4.950% due 08/15/2014	Sell	0.070	%	09/20/2008	LEH		20,000		(7	)
Progress Energy, Inc. 7.100% due 03/01/2011	Buy	(0.100	%)	03/20/2011	MLP		3,348		27
Residential Capital LLC 6.000% due 02/22/2011	Buy	(0.580	%)	03/20/2011	LEH		5,000		3,054
Sealed Air Corp. 5.625% due 07/15/2013	Buy	(0.590	%)	09/20/2013	MSC		5,000		221
SLM Corp. 5.125% due 08/27/2012	Sell	3.050	%	03/20/2009	DUB		3,000		(47	)
SLM Corp. floating rate based on 3-Month USD-LIBOR plus 0.230% due 10/25/2011	Buy	(0.190	%)	12/20/2011	RBS		8,000		1,111
Telos CLO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.700% due 10/11/2021	Buy	(2.500	%)	10/11/2021	GSC		2,000		489
Textron Financial Corp. 4.600% due 05/03/2010	Buy	(0.110	%)	06/20/2010	BEAR		2,000		16
Time Warner, Inc. 5.875% due 11/15/2016	Buy	(0.700	%)	12/20/2016	BCLY		5,000		248
Topanga CDO Ltd. floating rate based on 3-Month USD-LIBOR plus 1.600% due 03/08/2040	Buy	(2.420	%)	03/08/2040	LEH		5,000		3,930
Viacom, Inc. 5.750% due 04/30/2011	Buy	(0.470	%)	06/20/2011	UBS		3,000		(61	)
Weatherford International Ltd. 4.950% due 10/15/2013	Buy	(0.410	%)	12/20/2013	DUB		2,500		54
Wyeth 5.500% due 03/15/2013	Buy	(0.150	%)	03/20/2013	MSC		2,500		19
								$	21,061

⁽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 reference entity. 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.

Credit Default Swaps on Credit Indices

Reference Entity	Buy/Sell Protection(2)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized (Depreciation)
Dow Jones CDX N.A. IG7 Index	Sell	0.060	%	12/20/2011	GSC	$	25,000	$	(1,297	)
Dow Jones CDX N.A. IG7 Index	Sell	0.068	%	12/20/2011	JPM		75,000		(3,874	)
Dow Jones CDX N.A. IG7 Index	Sell	0.145	%	12/20/2016	LEH		25,000		(1,521	)
Dow Jones CDX N.A. IG7 Index	Sell	0.145	%	12/20/2016	MLP		25,000		(1,522	)
Dow Jones CDX N.A. IG7 Index	Sell	0.153	%	12/20/2016	BCLY		75,000		(4,525	)
Dow Jones CDX N.A. IG7 Index	Sell	0.153	%	12/20/2016	GSC		25,000		(1,508	)
Dow Jones CDX N.A. IG7 Index	Sell	0.157	%	12/20/2016	DUB		25,000		(1,500	)
Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045	DUB		350		(252	)
Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045	LEH		5,000		(69	)
Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045	MLP		300		(216	)
Home Equity Index A Rating 2006-1	Sell	0.540	%	07/25/2045	UBS		350		(252	)
Home Equity Index AA Rating 2007-1	Sell	0.150	%	08/25/2037	CSFB		60,000		(8,481	)
								$	(25,017	)

⁽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 underlying securities comprising the reference entity index. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BCLY	$	22,600	$	(152	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA		100		0
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		16,600		(120	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		4,900		(37	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		44,900		(200	)
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	CITI		3,700		27
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		11,700		14
Receive	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		12,800		(55	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	RBS		102,500		53
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		900		(3	)
								$	(473	)

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.500	%	02/02/2009	$	43,600	$	480	$	207
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		29,400		314		137
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		20,500		218		95
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		39,400		396		182
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		107,500		945		286
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	02/02/2009		73,800		797		216
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		68,800		736		320
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		31,000		328		216
									$	4,214	$	1,659

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.300	%	02/02/2009	$	4,000	$	88	$	60
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.600	%	02/02/2009		11,500		369		249
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009		6,500		163		91
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		4,800		157		94
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		6,800		225		133
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		13,100		421		257
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		35,900		895		469
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.250	%	02/02/2009		24,600		742		331
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		22,900		744		448
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		10,300		315		236
									$	4,119	$	2,368

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(3)
Fannie Mae	5.500	%	07/01/2038	$	3,400	$	3,359	$	3,352
Freddie Mac	5.500	%	07/01/2038		12,000		11,852		11,822
Freddie Mac	6.000	%	07/01/2038		3,800		3,826		3,839
U.S. Treasury Notes	4.250	%	08/15/2015		193,000		196,561		203,897
U.S. Treasury Notes	4.375	%	08/15/2012		120,000		126,159		127,884
U.S. Treasury Notes	4.500	%	04/30/2009		50,000		50,751		51,393
U.S. Treasury Notes	4.500	%	11/15/2015		186,000		193,074		197,486
U.S. Treasury Notes	4.625	%	02/29/2012		23,000		23,833		24,617
U.S. Treasury Notes	4.625	%	02/15/2017		11,500		11,875		12,349
						$	621,290	$	636,639

⁽³⁾ Market value includes $8,036 of interest payable on short sales.

(j) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	3,738,550		$	38,034	$	3,776,584
Other Financial Instruments++		15		(640,558	)		5,158		(635,385	)
Total	$	15	$	3,097,992		$	43,192	$	3,141,199

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

	Beginning balance at 03/31/2008		Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/(losses)			Net transfers in/(out) of Level 3			Ending balance at 06/30/2008
Investments, at value	$	70,511	$	13,359	$	155	$	(2,609	)	$	(43,382	)	$	38,034
Other Financial Instruments++		8,055		0		0		(2,897	)		0			5,158
Total	$	78,566	$	13,359	$	155	$	(5,506	)	$	(43,382	)	$	43,192

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

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

See Accompanying Notes

Schedule of Investments

Short-Term II Portfolio

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
BANK LOAN OBLIGATIONS 2.9%
Daimler Finance North America LLC
6.780% due 08/03/2012	$	1,194	$	989
HCA, Inc.
5.051% due 11/18/2013		1,287		1,211
Total Bank Loan Obligations (Cost $2,432)				2,200
CORPORATE BONDS & NOTES 32.6%
Banking & Finance 26.3%
Allstate Life Global Funding II
3.328% due 05/21/2010		1,000		994
American Express Bank FSB
5.500% due 04/16/2013		600		587
American Express Centurion Bank
2.557% due 07/13/2010		400		393
American Honda Finance Corp.
3.552% due 06/20/2011		1,100		1,099
Bank of America N.A.
3.316% due 05/12/2010		1,100		1,096
Bear Stearns Cos., Inc.
3.129% due 01/31/2011		300		291
Caterpillar Financial Services Corp.
3.559% due 06/24/2011		700		700
Citigroup Funding, Inc.
3.820% due 05/07/2010		400		397
Citigroup, Inc.
5.500% due 04/11/2013		600		586
General Electric Capital Corp.
3.558% due 05/22/2013		1,000		995
Glitnir Banki HF
3.078% due 04/20/2010		1,000		869
John Deere Capital Corp.
3.536% due 06/10/2011		1,100		1,100
JPMorgan Chase & Co.
3.538% due 06/13/2011		800		797
KeyBank N.A.
4.682% due 06/02/2010		300		299
Longpoint Re Ltd.
8.064% due 05/08/2010		500		500
Merrill Lynch & Co., Inc.
4.966% due 05/12/2010		1,000		985
Metropolitan Life Global Funding I
3.026% due 03/15/2012		1,100		1,082
National Rural Utilities Cooperative Finance Corp.
3.566% due 07/01/2010		700		700
Pricoa Global Funding I
3.473% due 06/04/2010		700		699
Rabobank Nederland NV
3.119% due 05/19/2010		1,000		999
SLM Corp.
3.080% due 07/26/2010		600		533
UBS AG
3.704% due 05/05/2010		700		698
Ventas Realty LP
6.750% due 06/01/2010		600		600
8.750% due 05/01/2009		1,000		1,025
Wachovia Bank N.A.
3.619% due 05/14/2010		1,000		995
Wells Fargo & Co.
2.481% due 03/22/2010		700		693
3.552% due 05/01/2009		300		300
				20,012
Industrials 4.3%
CSC Holdings, Inc.
7.250% due 07/15/2008		1,500		1,503
El Paso Corp.
7.625% due 09/01/2008		100		101
GlaxoSmithKline Capital, Inc.
3.310% due 05/13/2010		300		301
Sungard Data Systems, Inc.
3.750% due 01/15/2009		800		793
XTO Energy, Inc.
4.625% due 06/15/2013		600		581
				3,279
Utilities 2.0%
Midwest Generation LLC
8.300% due 07/02/2009		1,473		1,484
Total Corporate Bonds & Notes (Cost $24,985)				24,775
COMMODITY INDEX-LINKED NOTES 1.3%
Morgan Stanley (GSCI)
2.422% due 07/09/2008		1,000		993
Total Commodity Index-Linked Notes (Cost $1,000)				993
U.S. GOVERNMENT AGENCIES 66.8%
Fannie Mae
2.682% due 10/27/2037		600		574
2.832% due 09/25/2042		661		612
2.950% due 09/17/2027		12		12
3.000% due 02/25/2022 - 07/18/2027		32		32
3.100% due 08/25/2022		13		13
3.150% due 12/25/2022		11		11
3.200% due 09/25/2022		9		9
3.350% due 02/25/2023		6		6
3.650% due 09/25/2023		158		161
4.530% due 11/01/2017 - 11/01/2018		46		46
4.942% due 02/01/2024		5		5
4.981% due 06/01/2024		3		3
4.994% due 03/01/2044		1,205		1,205
5.194% due 10/01/2040		20		20
5.243% due 11/01/2018		12		11
5.500% due 04/01/2021 - 11/01/2035		2,258		2,261
5.500% due 04/01/2037 - 05/01/2037 (a)		21,312		21,038
5.625% due 07/01/2017		13		13
5.626% due 01/01/2018		43		43
5.730% due 12/01/2017		6		6
5.788% due 11/01/2035		1,145		1,171
5.950% due 02/25/2044		1,252		1,271
6.000% due 03/01/2036 - 10/01/2037 (a)		14,035		14,181
6.000% due 08/01/2036 - 05/01/2038		6,756		6,825
6.040% due 01/01/2033		21		21
6.532% due 09/01/2031		912		917
Freddie Mac
2.900% due 01/15/2022		2		1
3.150% due 03/15/2020		5		5
3.250% due 03/15/2023		13		13
5.220% due 06/01/2017 - 09/01/2017		27		27
5.500% due 08/15/2030		27		27
5.875% due 11/01/2016		56		57
6.082% due 02/01/2036		27		27
6.125% due 06/01/2018		82		83
6.260% due 11/01/2018		35		36
6.650% due 12/01/2025		26		26
6.821% due 11/01/2028		17		17
Ginnie Mae
5.625% due 07/20/2027		22		22
6.375% due 04/20/2030		19		20
Total U.S. Government Agencies (Cost $50,924)				50,828
U.S. TREASURY OBLIGATIONS 1.7%
U.S. Treasury Notes
2.875% due 06/30/2010		600		603
4.250% due 08/15/2015		700		728
Total U.S. Treasury Obligations (Cost $1,327)				1,331
MORTGAGE-BACKED SECURITIES 16.8%
American Home Mortgage Investment Trust
2.632% due 09/25/2035		94		93
Banc of America Funding Corp.
6.141% due 01/20/2047		2,688		2,187
Countrywide Home Loan Mortgage Pass-Through Trust
2.822% due 06/25/2035		2,939		2,591
First Horizon Asset Securities, Inc.
5.368% due 08/25/2035		2,012		1,926
First Republic Mortgage Loan Trust
2.771% due 08/15/2032		1,004		907
Indymac Index Mortgage Loan Trust
5.044% due 12/25/2034		1,483		1,290
Mellon Residential Funding Corp.
2.911% due 12/15/2030		2,259		2,099
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		300		277
Structured Adjustable Rate Mortgage Loan Trust
5.537% due 08/25/2035		1,579		1,413
Total Mortgage-Backed Securities (Cost $14,149)				12,783
ASSET-BACKED SECURITIES 5.8%
Asset-Backed Funding Certificates
2.832% due 06/25/2034		1,025		913
BA Credit Card Trust
3.671% due 12/16/2013		500		508
Chase Issuance Trust
3.121% due 11/15/2011		300		301
Lehman XS Trust
2.602% due 11/25/2036		814		791
SBI HELOC Trust
2.652% due 08/25/2036		1,172		1,121
Securitized Asset-Backed Receivables LLC Trust
2.532% due 09/25/2036		781		765
Total Asset-Backed Securities (Cost $4,594)				4,399
FOREIGN CURRENCY-DENOMINATED ISSUES 4.1%
BTM Curacao Holdings NV
1.586% due 11/29/2049	JPY	100,000		940
Countrywide Home Loans, Inc.
5.305% due 11/24/2008	EUR	200		309
Mizuho Bank Ltd.
1.432% due 12/31/2049	JPY	100,000		941
Sumitomo Mitsui Banking Corp.
1.544% due 06/29/2049		100,000		952
Total Foreign Currency-Denominated Issues (Cost $2,852)				3,142
SHORT-TERM INSTRUMENTS 8.6%
Certificates of Deposit 0.9%
Unicredito Italiano NY
3.071% due 05/15/2009	$	700		679
Commercial Paper 5.9%
Barclays U.S. Funding Corp.
2.690% due 09/04/2008		1,100		1,094
Citibank N.A.
3.570% due 08/19/2008		600		597
UBS Finance Delaware LLC
2.625% due 09/02/2008		1,300		1,294
Westpac Banking Corp.
2.710% due 08/06/2008		1,500		1,496
				4,481
Repurchase Agreements 1.8%
State Street Bank and Trust Co.
1.650% due 07/01/2008		1,349		1,349
(Dated 06/30/2008. Collateralized by Freddie Mac 3.250% due 02/12/2010 valued at $1,377. Repurchase proceeds are $1,349.)
Total Short-Term Instruments (Cost $6,531)				6,509
Purchased Options (d) 1.4% (Cost $1,243)				1,093
Total Investments 142.0% (Cost $110,037)			$	108,053
Written Options (e) (0.7%) (Premiums $787)				(494	)
Other Assets and Liabilities (Net) (41.3%)				(31,464	)
Net Assets 100.0%			$	76,095

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) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $40,521 at a weighted average interest rate of 2.488%. On June 30, 2008, securities valued at $34,900 were pledged as collateral for reverse repurchase agreements.

(b) Cash of $1,895 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	21	$	2
90-Day Eurodollar December Futures	Long	12/2009	131		129
90-Day Eurodollar June Futures	Long	06/2009	133		148
90-Day Eurodollar March Futures	Short	03/2009	46		(107	)
90-Day Eurodollar September Futures	Long	09/2009	176		176
Euro-Schatz September Futures	Short	09/2008	173		201
U.S. Treasury 30-Year Bond September Futures	Short	09/2008	51		(67	)
				$	482

(c) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG 5.500% due 05/18/2011	Sell	0.550	%	12/20/2008	RBS	$	1,000	$	1
Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020	Buy	(0.230	%)	06/20/2012	DUB		600		7
Enbridge Energy Partners LP 4.750% due 06/01/2013	Sell	0.280	%	06/20/2012	MLP		600		(14	)
Energy Transfer Partners LP 5.950% due 02/01/2015	Sell	0.330	%	06/20/2012	BOA		600		(19	)
Glitnir Banki HF floating rate based on 3-Month USD-LIBOR plus 0.260% due 04/20/2010	Buy	(0.170	%)	06/20/2010	BOA		1,000		165
GlobalSantaFe Corp. 5.000% due 02/15/2013	Buy	(0.500	%)	06/20/2012	DUB		600		(4	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.400	%	12/20/2008	RBS		700		(1	)
Indonesia Government International Bond 6.750% due 03/10/2014	Sell	0.420	%	12/20/2008	DUB		300		(1	)
Kinder Morgan Energy Partners LP 6.750% due 03/15/2011	Sell	0.290	%	06/20/2012	MLP		600		(13	)
Nabors Industries, Inc. 5.375% due 08/15/2012	Buy	(0.480	%)	06/20/2012	CITI		600		5
Noble Corp. 5.875% due 06/01/2013	Buy	(0.510	%)	06/20/2012	DUB		600		2
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.250	%	12/20/2008	DUB		400		0
Panama Government International Bond 8.875% due 09/30/2027	Sell	0.260	%	12/20/2008	BCLY		300		0
Pemex Project Funding Master Trust 9.500% due 09/15/2027	Sell	0.290	%	12/20/2008	LEH		300		0
Peru Government International Bond 8.750% due 11/21/2033	Sell	0.330	%	12/20/2008	DUB		300		0
Plains All American Pipeline LP 7.750% due 10/15/2012	Sell	0.320	%	06/20/2012	BOA		600		(16	)
Russia Government International Bond 7.500% due 03/31/2030	Sell	0.310	%	12/20/2008	LEH		300		0
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.710	%	12/20/2008	BCLY		700		(3	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008	BCLY		300		(2	)
Ukraine Government International Bond 7.650% due 06/11/2013	Sell	0.720	%	12/20/2008	DUB		700		(3	)
Valero Energy Corp. 6.875% due 04/15/2012	Sell	0.320	%	06/20/2012	BOA		600		(21	)
								$	83

⁽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 reference entity. 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

Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month Australian Bank Bill	7.000	%	09/15/2009	CITI	AUD	7,400	$	(67	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY	$	600		(10	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	DUB		800		(13	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.983	%	03/15/2012	BNP	EUR	900		(52	)
Pay	5-Year French CPI Ex Tobacco Daily Reference Index	1.995	%	03/15/2012	GSC		200		(11	)
Pay	6-Month Australian Bank Bill	6.500	%	01/15/2010	DUB	AUD	6,300		(149	)
Pay	6-Month EUR-LIBOR	4.000	%	09/19/2009	GSC	EUR	4,000		(95	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	JPM		5,000		(142	)
Pay	6-Month EUR-LIBOR	4.500	%	03/19/2010	MSC		8,200		(220	)
Receive	6-Month EUR-LIBOR	5.000	%	09/17/2018	GSC		700		3
Pay	6-Month GBP-LIBOR	6.000	%	06/19/2009	RBS	GBP	11,800		(154	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	BCLY		4,300		(100	)
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	RBS		400		(9	)
Receive	6-Month GBP-LIBOR	4.000	%	12/15/2035	BCLY		1,700		46
								$	(973	)

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	8,800	$	94	$	41
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		6,100		65		28
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		16,200		158		75
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		15,400		148		83
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		20,200		216		94
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		8,700		92		61
									$	773	$	382

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC Euro versus U.S. dollar	$	1.375	06/03/2010	EUR	1,400	$	67	$	247
Put - OTC Euro versus U.S. dollar		1.375	06/03/2010		1,400		67		44
Call - OTC U.S. dollar versus Japanese yen	JPY	105.200	03/31/2010	$	1,000		42		37
Put - OTC U.S. dollar versus Japanese yen		105.200	03/31/2010		1,000		42		68
Call - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		3,000		126		109
Put - OTC U.S. dollar versus Japanese yen		105.400	03/31/2010		3,000		126		206
						$	470	$	711

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009	$	2,000	$	50	$	28
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		1,400		46		27
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		2,000		66		39
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		5,200		171		106
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.200	%	07/02/2009		6,700		148		96
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		6,700		217		131
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		2,900		89		67
									$	787	$	494

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
Fannie Mae	5.500	%	07/01/2038	$	23,500	$	23,226	$	23,165
Fannie Mae	6.000	%	07/01/2038		12,500		12,625		12,611
U.S. Treasury Notes	4.250	%	11/15/2014		7,700		7,961		8,097
U.S. Treasury Notes	4.250	%	08/15/2015		3,700		3,768		3,909
						$	47,580	$	47,782

⁽²⁾ Market value includes $111 of interest payable on short sales.

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

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	4,373	07/2008	$	471	$	0		$	471
Sell		4,373	07/2008		0		(335	)		(335	)
Buy		4,218	12/2008		275		0			275
Sell		3,730	12/2008		0		(134	)		(134	)
Buy	CLP	410,566	07/2008		0		(41	)		(41	)
Sell		410,566	07/2008		93		0			93
Buy		37,459	12/2008		0		(7	)		(7	)
Buy		128,566	05/2009		0		(30	)		(30	)
Sell		96,880	05/2009		20		0			20
Sell	EUR	413	07/2008		0		(7	)		(7	)
Sell	GBP	908	08/2008		0		(9	)		(9	)
Sell	JPY	408,066	07/2008		0		(63	)		(63	)
Buy	KRW	1,869,475	08/2008		0		(273	)		(273	)
Sell		1,869,475	08/2008		169		0			169
Buy	MXN	17,790	07/2008		124		0			124
Sell		17,790	07/2008		0		(99	)		(99	)
Buy	NOK	2,922	09/2008		9		0			9
Buy	PLN	10,801	07/2008		1,138		0			1,138
Sell		10,801	07/2008		0		(718	)		(718	)
Buy	RUB	32,077	07/2008		32		0			32
Sell		32,078	07/2008		0		(67	)		(67	)
Buy		162,017	11/2008		370		0			370
Sell		135,030	11/2008		0		(281	)		(281	)
Sell		25,894	05/2009		0		(21	)		(21	)
Buy	SGD	3,347	11/2008		24		0			24
Sell		1,221	11/2008		0		(3	)		(3	)
Buy	ZAR	1,020	07/2008		0		(5	)		(5	)
Sell		1,020	07/2008		6		0			6
				$	2,731	$	(2,093	)	$	638

(h) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Value at 6/30/2008
Investments, at value	$	0	$	107,776		$	277		$	108,053
Other Financial Instruments++		482		(48,354	)		(63	)		(47,935	)
Total	$	482	$	59,422		$	214		$	60,118

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

	Beginning balance at 03/31/2008			Net purchases/ (sales)		Accrued discounts/ (premiums)		Total realized and unrealized gains/ (losses)			Net transfers in/(out) of Level 3			Ending balance at 06/30/2008
Investments, at value	$	568		$	277	$	0	$	6		$	(574	)	$	277
Other Financial Instruments++		(44	)		0		0		(19	)		0			(63	)
Total	$	524		$	277	$	0	$	(13	)	$	(574	)	$	214

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

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

See Accompanying Notes

Schedule of Investments

U.S. Government Sector Portfolio

June 30, 2008 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 13.9%
Banking & Finance 12.1%
American Express Bank FSB
2.495% due 06/12/2009	$	27,600	$	27,411
American Express Credit Corp.
2.510% due 04/06/2009		2,800		2,780
American Honda Finance Corp.
2.737% due 03/09/2009		2,000		1,998
2.774% due 08/05/2008		6,400		6,399
Bank of America Corp.
2.904% due 11/06/2009		20,000		19,821
2.921% due 09/25/2009		2,000		1,991
Bank of America N.A.
2.638% due 02/27/2009		30,200		30,097
Bank of Ireland
2.819% due 12/19/2008		35,500		35,490
2.862% due 12/18/2009		5,500		5,445
Bank of Scotland PLC
2.482% due 07/17/2008		3,400		3,400
2.756% due 07/17/2009		2,500		2,499
Bear Stearns Cos., Inc.
3.199% due 01/30/2009		5,000		4,983
Caterpillar Financial Services Corp.
2.779% due 05/18/2009		1,300		1,296
CIT Group, Inc.
2.826% due 08/15/2008		2,000		1,998
3.049% due 01/30/2009		8,600		8,322
Citigroup, Inc.
2.817% due 06/09/2009		2,000		1,978
General Electric Capital Corp.
2.907% due 10/24/2008		5,500		5,494
2.918% due 10/21/2010		5,440		5,407
2.937% due 10/26/2009		4,500		4,486
Goldman Sachs Group, Inc.
2.891% due 12/22/2008		14,800		14,451
3.101% due 06/28/2010		11,600		11,283
3.128% due 10/07/2011		2,000		1,941
HSBC Finance Corp.
2.866% due 03/12/2010		8,100		7,876
2.878% due 10/21/2009		18,600		18,169
JPMorgan Chase & Co.
2.859% due 06/26/2009		2,500		2,496
Lehman Brothers Holdings, Inc.
2.532% due 11/24/2008		4,950		4,924
2.851% due 12/23/2008		35,000		34,334
2.998% due 10/22/2008		6,470		6,446
3.010% due 01/23/2009		10,000		9,787
Merrill Lynch & Co., Inc.
2.768% due 08/14/2009		5,900		5,714
2.831% due 12/22/2008		16,000		15,896
Morgan Stanley
2.521% due 11/21/2008		12,000		11,947
2.820% due 05/07/2009		15,200		14,967
2.844% due 02/09/2009		27,300		27,051
Royal Bank of Scotland Group PLC
2.868% due 07/21/2008		6,900		6,898
Santander U.S. Debt S.A. Unipersonal
2.861% due 09/19/2008		10,600		10,589
SLM Corp.
3.130% due 07/25/2008		3,900		3,887
U.S. Trade Funding Corp.
4.260% due 11/15/2014		8,913		9,206
Unicredit Luxembourg Finance S.A.
2.970% due 10/24/2008		8,700		8,695
Wachovia Bank N.A.
2.638% due 02/23/2009		11,200		11,157
2.841% due 03/23/2009		2,000		1,992
				411,001
Industrials 1.0%
CVS Caremark Corp.
2.982% due 06/01/2010		14,100		13,768
Daimler Finance North America LLC
3.138% due 03/13/2009		16,000		15,954
Totem Ocean Trailer Express, Inc.
4.514% due 12/18/2019		575		588
Yum! Brands, Inc.
6.875% due 11/15/2037		3,000		2,780
				33,090
Utilities 0.8%
AT&T, Inc.
2.884% due 02/05/2010		22,000		21,909
Dominion Resources, Inc.
2.858% due 11/14/2008		2,700		2,663
Ohio Power Co.
2.908% due 04/05/2010		2,400		2,354
				26,926
Total Corporate Bonds & Notes (Cost $475,679)				471,017
MUNICIPAL BONDS & NOTES 0.1%
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		2,675		2,461
Total Municipal Bonds & Notes (Cost $2,675)				2,461
U.S. GOVERNMENT AGENCIES 35.0%
Fannie Mae
2.542% due 12/25/2036		4,243		4,095
2.602% due 03/25/2034		1,854		1,800
2.612% due 03/25/2036		3,600		3,602
2.642% due 03/25/2032		802		761
2.702% due 07/25/2032		932		931
2.722% due 06/25/2033		1,575		1,456
2.742% due 06/25/2032		3		3
2.822% due 11/25/2032		12		11
2.832% due 05/25/2042		956		931
2.950% due 08/25/2021 - 03/25/2022		149		148
3.100% due 08/25/2022		39		39
3.200% due 04/25/2022		66		65
3.382% due 04/25/2032		1,135		1,143
4.000% due 04/01/2014		9,664		9,486
4.500% due 10/25/2015 - 09/25/2020		26,903		26,957
4.530% due 11/01/2020		30		30
4.565% due 03/01/2018		30		30
4.650% due 08/01/2014		37		37
4.666% due 05/25/2035		10,345		10,535
4.750% due 03/01/2035		3,959		3,962
4.897% due 12/01/2035		1,248		1,246
4.994% due 02/01/2041 - 10/01/2044		19,670		19,672
5.000% due 10/25/2013 - 02/25/2017		10,087		10,184
5.114% due 06/01/2032		7		7
5.194% due 11/01/2030		2		2
5.231% due 08/01/2036		1,234		1,239
5.234% due 01/01/2036		6,470		6,489
5.244% due 05/01/2032		33		34
5.415% due 09/01/2032		7		7
5.433% due 09/01/2017		27		27
5.449% due 01/01/2018		22		22
5.500% due 09/25/2024 (c)		45,941		46,391
5.500% due 05/25/2027 - 07/01/2038		197,451		195,715
5.597% due 03/01/2026		24		25
5.650% due 11/01/2014		27		27
5.745% due 11/01/2035		1,502		1,535
5.788% due 11/01/2035		3,446		3,522
5.800% due 02/09/2026		30,000		30,682
5.851% due 06/01/2021		2,472		2,488
5.950% due 02/25/2044		7,414		7,527
5.970% due 02/01/2026		14		14
6.000% due 12/01/2022 - 07/01/2038		132,785		134,085
6.080% due 07/01/2018		641		650
6.105% due 01/01/2018		104		104
6.174% due 05/01/2025		19		19
6.197% due 09/01/2033		8		8
6.207% due 01/01/2029		39		40
6.210% due 08/06/2038		14,200		16,191
6.246% due 12/01/2029		14		15
6.259% due 12/01/2029		9		9
6.304% due 10/01/2032		57		58
6.320% due 12/01/2032		11		11
6.321% due 06/01/2025		20		21
6.344% due 12/01/2029		27		27
6.525% due 12/01/2031		11		11
6.544% due 09/01/2026		908		914
6.979% due 09/01/2031		101		103
7.063% due 12/01/2022		60		61
7.097% due 08/01/2028		14		14
7.125% due 09/01/2022 - 01/15/2030		206		256
7.145% due 09/01/2028		39		40
7.250% due 05/01/2022		15		15
7.347% due 10/01/2025		40		41
Farmer Mac
7.316% due 07/25/2011		1,939		1,920
Federal Home Loan Bank
4.070% due 07/16/2014		1,000		981
4.250% due 12/18/2009		43,100		43,424
4.500% due 06/12/2013		6,900		6,911
4.625% due 09/11/2020		30,800		29,870
5.125% due 08/15/2019		98,000		100,079
6.640% due 12/13/2016		75		85
Freddie Mac
0.000% due 12/11/2025		9,084		3,722
2.722% due 07/25/2031		769		731
2.821% due 12/15/2030 - 06/15/2031		3,737		3,688
2.871% due 11/15/2016 - 03/15/2017		6,075		6,071
2.971% due 06/15/2030 - 12/15/2032		1,368		1,364
3.000% due 05/15/2022		581		580
3.021% due 06/15/2031		379		378
3.200% due 02/15/2027		30		29
3.500% due 01/15/2022 - 05/15/2022		221		221
4.000% due 05/15/2016 - 10/15/2023		9,737		9,746
4.080% due 05/14/2009		30		30
4.250% due 05/22/2013 - 02/15/2025		8,296		8,320
4.500% due 07/06/2010 - 09/15/2035		40,874		39,513
4.644% due 02/01/2035		6,603		6,666
4.690% due 06/01/2035		21,054		21,014
4.994% due 10/25/2044 - 02/25/2045		9,074		8,737
5.000% due 03/18/2014 - 01/15/2034		116,736		117,385
5.084% due 03/01/2035		360		364
5.194% due 07/25/2044		4,634		4,340
5.400% due 03/17/2021		500		514
5.412% due 04/01/2027		22		22
5.413% due 08/01/2019		51		52
5.424% due 02/01/2025		19		20
5.500% due 08/15/2030 - 01/01/2038		13,161		12,956
5.516% due 02/01/2032		13		13
5.625% due 11/23/2035		74,000		74,010
5.968% due 02/01/2018		57		58
6.006% due 02/01/2032		30		31
6.334% due 07/01/2020		212		216
6.365% due 12/01/2031		9		9
6.500% due 12/01/2031 - 10/25/2043		2,035		2,059
6.561% due 08/01/2020		47		48
6.566% due 01/01/2032		69		69
6.787% due 03/01/2025		2		2
6.832% due 07/01/2029		26		26
6.873% due 10/01/2031		9		9
6.960% due 02/01/2024		60		60
7.000% due 12/01/2031		84		88
7.083% due 05/01/2032		20		20
7.231% due 08/01/2031		7		7
Ginnie Mae
5.000% due 05/20/2034		25,948		22,576
5.125% due 10/20/2023 - 10/20/2024		156		157
5.250% due 02/20/2030		2,034		2,045
5.375% due 02/20/2024 - 02/20/2026		450		452
5.625% due 07/20/2025 - 08/20/2026		1,126		1,138
6.375% due 04/20/2023 - 04/20/2032		1,479		1,506
6.500% due 04/15/2029 - 06/15/2029		144		149
8.500% due 03/20/2025		86		93
Small Business Administration
2.750% due 05/25/2025		151		152
2.875% due 05/25/2021 - 01/25/2022		874		879
3.000% due 03/25/2025 - 07/25/2025		804		811
3.100% due 01/25/2019 - 11/25/2024		1,211		1,223
4.500% due 03/01/2023		1,066		1,033
4.760% due 09/01/2025		30,116		28,930
4.770% due 04/01/2024		7,985		7,816
4.875% due 09/10/2013		1,886		1,887
4.930% due 01/01/2024		6,802		6,737
5.136% due 08/10/2013		12,034		12,079
5.240% due 08/01/2023		4,366		4,393
7.060% due 11/01/2019		1,365		1,423
7.220% due 11/01/2020		1,176		1,238
7.449% due 08/01/2010		122		125
8.017% due 02/10/2010		901		935
Tennessee Valley Authority
5.375% due 04/01/2056		22,600		22,967
U.S. Department of Housing and Urban Development
4.930% due 08/01/2014		4,000		4,103
5.190% due 08/01/2016		5,000		5,100
Total U.S. Government Agencies (Cost $1,179,308)				1,181,975
U.S. TREASURY OBLIGATIONS 25.9%
U.S. Treasury Notes
4.125% due 08/15/2008		160,000		160,500
4.500% due 03/31/2009		372,000		378,075
4.750% due 12/31/2008		320,000		324,200
4.875% due 06/30/2012		12,700		13,508
Total U.S. Treasury Obligations (Cost $874,282)				876,283
MORTGAGE-BACKED SECURITIES 26.6%
American Home Mortgage Investment Trust
2.632% due 09/25/2035		147		146
Banc of America Funding Corp.
4.622% due 02/20/2036		39,946		37,876
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		1,155		1,134
Bear Stearns Adjustable Rate Mortgage Trust
4.593% due 01/25/2034		1,221		1,126
4.625% due 10/25/2035		14,985		14,402
4.750% due 10/25/2035		17,222		17,066
5.033% due 04/25/2033		957		923
5.304% due 04/25/2033		83		80
5.401% due 04/25/2033		1,239		1,172
5.760% due 11/25/2034		5,018		4,932
6.736% due 02/25/2033		163		160
Bear Stearns Alt-A Trust
2.642% due 02/25/2034		6,079		4,377
5.701% due 09/25/2035		17,787		14,682
5.784% due 11/25/2036		35,380		28,689
5.796% due 11/25/2036		49,247		36,276
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		321		321
Bear Stearns Mortgage Funding Trust
2.552% due 02/25/2037		11,032		9,787
CBA Commercial Small Balance Commercial Mortgage
2.762% due 12/25/2036		4,615		3,003
CC Mortgage Funding Corp.
2.612% due 05/25/2048		8,952		6,283
2.732% due 08/25/2035		2,074		1,842
Citigroup Commercial Mortgage Trust
2.541% due 08/15/2021		316		296
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		29,250		28,377
4.900% due 10/25/2035		57,523		55,880
4.900% due 12/25/2035		4,205		4,003
Commercial Mortgage Pass-Through Certificates
6.455% due 05/15/2032		970		968
Countrywide Alternative Loan Trust
2.562% due 09/20/2046		3,274		3,206
2.642% due 02/25/2047		1,698		1,194
2.662% due 02/20/2047		13,305		9,364
2.662% due 05/25/2047		10,281		7,207
2.682% due 05/25/2036		1,058		744
2.689% due 03/20/2046		10,665		7,570
2.692% due 05/25/2035		2,247		1,709
2.762% due 12/25/2035		902		675
4.500% due 06/25/2035		1,328		1,316
4.528% due 02/25/2036		1,075		820
5.500% due 03/25/2036		9,434		8,557
Countrywide Home Loan Mortgage Pass-Through Trust
2.712% due 05/25/2035		3,635		2,760
2.772% due 04/25/2035		811		612
2.812% due 02/25/2035		2,356		1,913
2.822% due 02/25/2035		1,383		1,100
2.822% due 06/25/2035		374		330
4.708% due 08/25/2034		6,166		5,864
5.420% due 04/25/2035		1,234		1,074
5.822% due 09/20/2036		17,447		13,706
CS First Boston Mortgage Securities Corp.
5.550% due 05/25/2032		87		87
6.127% due 06/25/2032		76		68
6.300% due 11/15/2030		216		217
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
2.552% due 01/25/2047		2,256		2,106
2.562% due 02/25/2037		2,888		2,718
Downey Savings & Loan Association Mortgage Loan Trust
2.742% due 08/19/2045		2,066		1,598
First Republic Mortgage Loan Trust
2.721% due 11/15/2030		827		799
2.962% due 06/25/2030		767		693
GMAC Commercial Mortgage Securities, Inc.
6.957% due 09/15/2035		408		422
Greenpoint Mortgage Funding Trust
2.562% due 10/25/2046		11,908		10,473
2.562% due 01/25/2047		10,893		10,338
2.702% due 06/25/2045		1,959		1,612
GS Mortgage Securities Corp. II
2.540% due 03/06/2020		10,505		9,839
GSR Mortgage Loan Trust
5.460% due 04/25/2036		12,831		11,217
GSRPM Mortgage Loan Trust
3.182% due 01/25/2032		343		291
Harborview Mortgage Loan Trust
2.572% due 01/19/2038		4,090		3,721
2.628% due 04/19/2038		4,551		3,189
2.702% due 05/19/2035		4,615		3,505
2.722% due 03/19/2037		10,676		7,533
2.852% due 02/19/2034		1,482		1,420
Impac CMB Trust
3.392% due 07/25/2033		253		227
Impac Secured Assets CMN Owner Trust
2.562% due 01/25/2037		4,937		4,614
Indymac Index Mortgage Loan Trust
2.572% due 11/25/2046		6,142		5,727
2.582% due 01/25/2037		986		929
2.802% due 02/25/2035		7,421		5,786
JPMorgan Mortgage Trust
4.766% due 07/25/2035		46,250		44,355
5.005% due 07/25/2035		5,837		5,592
5.359% due 02/25/2036		12,311		12,073
LB-UBS Commercial Mortgage Trust
3.323% due 03/15/2027		239		238
Lehman Brothers Floating Rate Commercial Mortgage Trust
2.551% due 09/15/2021		2,598		2,473
MASTR Adjustable Rate Mortgages Trust
2.592% due 05/25/2047		665		653
5.195% due 05/25/2034		599		535
MASTR Asset Securitization Trust
4.500% due 03/25/2018		2,637		2,586
5.500% due 09/25/2033		1,258		1,179
Mellon Residential Funding Corp.
2.821% due 11/15/2031		3,371		3,041
2.911% due 12/15/2030		3,484		3,238
Merrill Lynch Floating Trust
2.541% due 06/15/2022		5,384		5,066
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		694		661
Morgan Stanley Capital I
2.542% due 10/15/2020		12,362		11,554
4.490% due 01/13/2041		350		343
New Century Alternative Mortgage Loan Trust
2.542% due 07/25/2036		7,942		7,637
Prime Mortgage Trust
5.000% due 02/25/2019		4,446		4,258
RAAC Series 2005-SP1
5.000% due 09/25/2034		975		956
Residential Accredit Loans, Inc.
2.582% due 09/25/2046		3,650		2,495
2.782% due 08/25/2035		3,556		2,759
2.882% due 01/25/2033		2,129		1,915
2.882% due 03/25/2033		5,772		5,345
4.888% due 09/25/2045		1,440		1,182
Residential Asset Mortgage Products, Inc.
8.500% due 10/25/2031		1,499		1,451
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		320		314
Sequoia Mortgage Trust
2.829% due 07/20/2033		3,948		3,536
2.832% due 10/19/2026		2,857		2,703
2.952% due 07/20/2033		2,776		2,612
Structured Adjustable Rate Mortgage Loan Trust
4.928% due 01/25/2035		1,115		1,056
Structured Asset Mortgage Investments, Inc.
2.552% due 08/25/2036		2,488		2,430
2.582% due 09/25/2047		1,892		1,804
2.672% due 06/25/2036		1,082		767
2.702% due 05/25/2036		43,462		30,497
2.772% due 07/19/2034		675		581
2.832% due 03/19/2034		1,244		1,116
Structured Asset Securities Corp.
2.532% due 05/25/2036		3,252		3,167
5.432% due 10/25/2035		4,080		3,722
TBW Mortgage-Backed Pass-Through Certificates
2.582% due 09/25/2036		710		674
2.592% due 01/25/2037		5,504		5,279
Thornburg Mortgage Securities Trust
2.582% due 03/25/2037		18,181		17,058
2.592% due 03/25/2046		1,595		1,572
2.592% due 11/25/2046		14,366		13,752
2.602% due 09/25/2046		17,976		17,342
Wachovia Bank Commercial Mortgage Trust
2.561% due 09/15/2021		31,701		29,915
5.681% due 04/15/2034		16		16
WaMu Mortgage Pass-Through Certificates
2.712% due 04/25/2045		5,645		4,445
2.742% due 11/25/2045		3,814		2,927
2.752% due 12/25/2045		2,320		1,865
2.772% due 10/25/2045		4,583		3,577
3.022% due 12/25/2027		9,652		8,816
4.056% due 10/25/2033		6,300		6,295
4.229% due 03/25/2034		848		830
4.258% due 01/25/2047		2,961		2,235
4.338% due 12/25/2046		5,821		4,888
4.361% due 02/27/2034		1,566		1,456
4.508% due 06/25/2046		8,354		6,102
4.528% due 02/25/2046		6,271		4,618
4.611% due 05/25/2046		1,553		1,294
4.728% due 11/25/2042		1,617		1,495
4.780% due 07/25/2046		14,183		11,353
4.780% due 08/25/2046		36,524		30,082
4.780% due 10/25/2046		3,203		2,500
4.780% due 12/25/2046		3,245		2,533
4.928% due 06/25/2042		1,339		1,215
4.990% due 05/25/2041		759		697
5.028% due 09/25/2046		6,120		4,778
5.028% due 11/25/2046		2,425		1,984
Washington Mutual MSC Mortgage Pass-Through Certificates
6.544% due 05/25/2033		131		106
6.574% due 02/25/2033		6		7
6.792% due 02/25/2033		82		79
Wells Fargo Mortgage-Backed Securities Trust
3.539% due 09/25/2034		4,355		4,148
4.321% due 07/25/2035		12,100		11,543
4.487% due 11/25/2033		651		613
4.500% due 11/25/2018		8,323		8,040
4.950% due 03/25/2036		76,174		73,401
Total Mortgage-Backed Securities (Cost $1,017,383)				898,071
ASSET-BACKED SECURITIES 20.2%
Accredited Mortgage Loan Trust
2.532% due 02/25/2037		3,816		3,737
ACE Securities Corp.
2.532% due 07/25/2036		1,185		1,176
2.532% due 08/25/2036		2,095		2,000
2.532% due 12/25/2036		3,351		3,213
2.542% due 04/25/2036		17		17
2.562% due 10/25/2036		2,494		2,468
2.632% due 12/25/2035		3,930		3,875
American Express Credit Account Master Trust
2.461% due 08/15/2011		1,800		1,797
2.471% due 03/15/2011		1,500		1,500
Argent Securities, Inc.
2.532% due 09/25/2036		2,292		2,272
Asset-Backed Funding Certificates
2.542% due 10/25/2036		2,309		2,289
2.542% due 11/25/2036		8,750		8,565
2.542% due 01/25/2037		5,126		4,974
2.832% due 06/25/2034		8,073		7,188
Asset-Backed Securities Corp. Home Equity
2.532% due 11/25/2036		3,257		3,232
2.532% due 12/25/2036		795		769
2.562% due 05/25/2037		1,324		1,304
2.991% due 06/15/2031		486		421
3.011% due 11/15/2031		46		41
Bear Stearns Asset-Backed Securities Trust
2.522% due 02/25/2037		5,338		5,198
2.532% due 11/25/2036		4,684		4,462
2.542% due 05/25/2036		1,110		1,088
2.552% due 12/25/2036		1,588		1,461
2.562% due 10/25/2036		2,558		2,463
2.592% due 11/25/2036		9,465		8,476
2.982% due 11/25/2042		5,349		4,489
3.142% due 10/25/2032		182		160
Carrington Mortgage Loan Trust
2.532% due 08/25/2036		557		552
2.532% due 10/25/2036		3,855		3,813
2.532% due 12/25/2036		2,652		2,587
2.532% due 01/25/2037		12,037		11,652
2.548% due 07/25/2036		473		473
2.642% due 01/25/2036		4,846		4,807
2.802% due 10/25/2035		2,611		2,426
Chase Credit Card Master Trust
2.581% due 02/15/2011		12,475		12,469
CIT Group Home Equity Loan Trust
2.752% due 06/25/2033		336		308
Citigroup Mortgage Loan Trust, Inc.
2.522% due 08/25/2036		582		581
2.522% due 12/25/2036		4,278		4,056
2.532% due 10/25/2036		4,268		4,233
2.532% due 11/25/2036		1,220		1,204
2.542% due 01/25/2037		1,777		1,765
2.542% due 05/25/2037		3,188		3,025
2.542% due 07/25/2045		5,303		4,929
2.552% due 08/25/2036		236		236
2.582% due 10/25/2036		6,400		5,966
2.592% due 08/25/2036		3,200		3,092
2.592% due 03/25/2037		2,184		2,072
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		1,584		1,169
Countrywide Asset-Backed Certificates
2.532% due 01/25/2037		2,635		2,625
2.532% due 03/25/2037		7,741		7,558
2.532% due 05/25/2037		23,577		22,859
2.532% due 07/25/2037		6,120		5,906
2.532% due 12/25/2046		2,629		2,593
2.532% due 03/25/2047		2,885		2,847
2.532% due 05/25/2047		3,688		3,598
2.542% due 03/25/2037		1,653		1,622
2.542% due 09/25/2046		2,637		2,620
2.552% due 06/25/2037		3,919		3,853
2.562% due 06/25/2037		6,452		6,345
2.562% due 10/25/2037		2,096		1,973
2.582% due 09/25/2037		2,040		1,924
2.582% due 09/25/2047		3,130		3,058
2.592% due 10/25/2046		4,844		4,755
2.642% due 02/25/2036		993		931
2.662% due 09/25/2036		4,146		3,966
2.672% due 06/25/2036		3,225		3,023
2.962% due 12/25/2031		238		179
Credit-Based Asset Servicing & Securitization LLC
2.462% due 01/25/2037		4,297		4,151
2.542% due 11/25/2036		3,114		3,029
2.572% due 12/25/2037		2,646		2,544
CS First Boston Mortgage Securities Corp.
3.102% due 01/25/2032		159		147
CSAB Mortgage-Backed Trust
2.582% due 06/25/2036		1,331		1,327
First Franklin Mortgage Loan Asset-Backed Certificates
2.512% due 05/25/2036		67		67
2.512% due 07/25/2036		1,024		1,018
2.522% due 09/25/2036		5,858		5,636
2.522% due 01/25/2038		5,044		4,872
2.532% due 11/25/2036		18,002		17,299
2.532% due 12/25/2036		6,691		6,518
2.532% due 03/25/2037		25,221		24,168
2.552% due 12/25/2037		3,472		3,422
2.852% due 12/25/2034		118		99
Fremont Home Loan Trust
2.532% due 10/25/2036		3,210		3,133
2.542% due 01/25/2037		4,779		4,519
2.652% due 01/25/2036		107		106
GE-WMC Mortgage Securities LLC
2.522% due 08/25/2036		2,066		2,008
GSAMP Trust
2.522% due 10/25/2046		2,135		2,086
2.552% due 01/25/2036		276		264
2.552% due 10/25/2036		375		310
2.552% due 12/25/2036		4,656		4,514
2.572% due 11/25/2035		399		367
GSR Mortgage Loan Trust
2.582% due 11/25/2030		141		140
GSRPM Mortgage Loan Trust
2.862% due 09/25/2042		1,017		1,009
HFC Home Equity Loan Asset-Backed Certificates
2.549% due 03/20/2036		1,260		1,238
2.829% due 09/20/2033		1,380		1,295
Home Equity Asset Trust
2.542% due 05/25/2037		1,885		1,790
3.402% due 02/25/2033		1		1
HSI Asset Securitization Corp. Trust
2.532% due 10/25/2036		3,955		3,828
2.532% due 12/25/2036		1,496		1,413
Indymac Residential Asset-Backed Trust
2.522% due 08/25/2036		85		84
2.542% due 04/25/2037		4,722		4,670
2.562% due 07/25/2037		2,848		2,804
2.612% due 04/25/2047		3,409		3,366
IXIS Real Estate Capital Trust
2.542% due 05/25/2037		153		146
JPMorgan Mortgage Acquisition Corp.
2.522% due 08/25/2036		830		819
2.532% due 07/25/2036		2,417		2,350
2.532% due 08/25/2036		5,482		5,396
2.532% due 10/25/2036		8,650		8,467
2.542% due 04/01/2037		2,523		2,388
2.542% due 05/25/2037		3,549		3,398
2.552% due 11/25/2036		1,212		1,173
2.562% due 08/25/2036		1,827		1,753
2.562% due 03/25/2037		1,931		1,838
LA Arena Funding LLC
7.656% due 12/15/2026		83		82
Lehman ABS Mortgage Loan Trust
2.572% due 06/25/2037		2,511		2,348
Lehman XS Trust
2.552% due 05/25/2046		1,795		1,723
2.562% due 04/25/2046		1,451		1,437
2.562% due 08/25/2046		2,869		2,815
2.562% due 11/25/2046		6,571		6,246
2.572% due 05/25/2046		1,519		1,483
2.602% due 11/25/2036		3,077		2,988
Long Beach Mortgage Loan Trust
2.522% due 11/25/2036		7,025		6,819
2.532% due 08/25/2036		2,559		2,508
2.542% due 10/25/2036		2,167		2,115
2.662% due 08/25/2035		493		482
2.762% due 10/25/2034		1,548		1,286
MASTR Asset-Backed Securities Trust
2.532% due 03/25/2036		2		2
2.532% due 11/25/2036		2,581		2,491
2.542% due 10/25/2036		236		236
2.542% due 11/25/2036		4,133		4,039
2.562% due 01/25/2036		68		67
2.562% due 05/25/2037		3,466		3,345
MBNA Credit Card Master Note Trust
2.471% due 12/15/2010		2,600		2,600
2.571% due 12/15/2011		2,300		2,293
Merrill Lynch First Franklin Mortgage Loan Trust
2.542% due 07/25/2037		6,777		6,559
Merrill Lynch Mortgage Investors, Inc.
2.512% due 05/25/2037		1,183		1,171
2.512% due 06/25/2037		2,995		2,964
2.542% due 04/25/2037		560		554
2.552% due 08/25/2036		9,842		9,525
2.552% due 07/25/2037		3,552		3,453
2.602% due 02/25/2037		2,265		2,130
Mid-State Trust
7.340% due 07/01/2035		292		295
Morgan Stanley ABS Capital I
2.512% due 06/25/2036		244		243
2.522% due 07/25/2036		5,143		5,104
2.522% due 10/25/2036		4,330		4,264
2.522% due 01/25/2037		11,279		10,916
2.532% due 09/25/2036		5,197		5,132
2.532% due 10/25/2036		4,223		4,077
2.532% due 11/25/2036		9,232		8,916
2.542% due 05/25/2037		16,269		15,816
2.602% due 02/25/2036		3,765		3,722
Morgan Stanley Home Equity Loans
2.532% due 12/25/2036		4,651		4,539
Morgan Stanley IXIS Real Estate Capital Trust
2.532% due 11/25/2036		4,851		4,784
Morgan Stanley Mortgage Loan Trust
2.552% due 01/25/2047		6,787		6,279
Nationstar Home Equity Loan Trust
2.542% due 03/25/2037		2,417		2,339
2.542% due 06/25/2037		4,938		4,679
2.602% due 04/25/2037		2,806		2,750
Nelnet Student Loan Trust
2.811% due 12/22/2014		87		86
New Century Home Equity Loan Trust
2.552% due 08/25/2036		1,580		1,569
2.662% due 05/25/2036		2,503		2,274
2.742% due 06/25/2035		796		735
Option One Mortgage Loan Trust
2.522% due 02/25/2037		2,124		2,111
2.532% due 07/25/2036		376		375
2.532% due 01/25/2037		5,862		5,720
2.542% due 07/25/2037		2,178		2,099
Park Place Securities, Inc.
2.742% due 09/25/2035		617		585
Popular ABS Mortgage Pass-Through Trust
2.532% due 07/25/2036		9		9
2.572% due 06/25/2047		4,404		4,216
Renaissance Home Equity Loan Trust
2.982% due 12/25/2033		1,896		1,578
3.182% due 08/25/2032		2		2
Residential Asset Mortgage Products, Inc.
2.552% due 11/25/2036		890		876
2.552% due 02/25/2037		2,999		2,898
2.582% due 08/25/2046		2,570		2,483
Residential Asset Securities Corp.
2.522% due 06/25/2036		365		364
2.542% due 01/25/2037		6,432		6,294
2.552% due 07/25/2036		213		213
2.552% due 11/25/2036		9,963		9,832
2.552% due 02/25/2037		2,412		2,302
2.592% due 04/25/2037		3,265		3,115
Salomon Brothers Mortgage Securities VII, Inc.
2.782% due 03/25/2032		197		193
3.400% due 01/25/2032		147		100
Saxon Asset Securities Trust
2.542% due 10/25/2046		5,970		5,838
3.002% due 08/25/2032		40		39
3.022% due 01/25/2032		41		41
SBI HELOC Trust
2.652% due 08/25/2036		2,821		2,699
Securitized Asset-Backed Receivables LLC Trust
2.522% due 01/25/2037		5,030		4,873
2.532% due 09/25/2036		1,954		1,914
2.542% due 12/25/2036		7,235		6,785
2.562% due 11/25/2036		2,814		2,743
SLM Student Loan Trust
2.900% due 04/25/2014		4,443		4,433
2.910% due 10/27/2014		4,099		4,086
2.910% due 07/25/2017		5,199		5,181
3.800% due 12/15/2038		6,900		6,849
Soundview Home Equity Loan Trust
2.522% due 11/25/2036		227		226
2.532% due 10/25/2036		2,873		2,833
2.542% due 11/25/2036		3,138		3,065
2.542% due 12/25/2036		550		542
2.562% due 01/25/2037		3,677		3,593
2.562% due 06/25/2037		3,469		3,348
2.582% due 10/25/2036		729		723
Specialty Underwriting & Residential Finance
2.512% due 06/25/2037		1,433		1,421
2.528% due 11/25/2037		3,372		3,253
2.542% due 01/25/2038		4,028		3,943
Structured Asset Investment Loan Trust
2.522% due 09/25/2036		1,706		1,680
2.532% due 07/25/2036		6,348		6,162
Structured Asset Securities Corp.
2.532% due 10/25/2036		10,076		9,841
2.562% due 01/25/2037		1,683		1,601
2.582% due 01/25/2037		2,569		2,441
2.882% due 05/25/2034		487		421
Truman Capital Mortgage Loan Trust
2.822% due 01/25/2034		93		92
Washington Mutual Asset-Backed Certificates
2.532% due 01/25/2037		6,279		5,923
Wells Fargo Home Equity Trust
2.532% due 01/25/2037		2,095		2,047
2.582% due 03/25/2037		1,089		1,076
Total Asset-Backed Securities (Cost $708,965)				680,612
SOVEREIGN ISSUES 3.5%
Canada Mortgage & Housing Corp.
3.375% due 12/01/2008		27,900		27,976
Export-Import Bank of Korea
2.772% due 06/01/2009		12,000		11,895
Israel Government AID Bond
0.000% due 11/01/2024		178,000		79,579
Total Sovereign Issues (Cost $114,589)				119,450
SHORT-TERM INSTRUMENTS 7.6%
Certificates of Deposit 0.1%
HSBC Bank USA N.A.
2.957% due 07/28/2008		2,200		2,200
Commercial Paper 1.9%
Rabobank USA Financial Corp.
2.240% due 07/01/2008		55,200		55,200
UBS Finance Delaware LLC
2.650% due 09/10/2008		4,600		4,575
Westpac Banking Corp.
2.700% due 09/18/2008		3,500		3,478
				63,253
Repurchase Agreements 3.1%
Deutsche Bank AG
1.500% due 07/01/2008		101,000		101,000
(Dated 06/30/2008. Collateralized by U.S. Treasury Bonds 7.125% due 02/15/2023 valued at $102,898. Repurchase proceeds are $101,004.)
Fixed Income Clearing Corp.
1.650% due 07/01/2008		5,470		5,470
(Dated 06/30/2008. Collateralized by Federal Home Loan Bank 2.400% due 05/13/2009 valued at $5,583. Repurchase proceeds are $5,470.)
				106,470
U.S. Treasury Bills 2.5%
1.841% due 08/28/2008 - 09/25/2008 (a)(b)		84,500		84,013
Total Short-Term Instruments (Cost $256,084)				255,936
Purchased Options (f) 0.6% (Cost $54,371)				20,645
Total Investments 133.4% (Cost $4,683,336)			$	4,506,450
Written Options (g) (0.9%) (Premiums $53,800)				(29,747)
Other Assets and Liabilities (Net) (32.5%)				(1,097,437)
Net Assets 100.0%			$	3,379,266

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 $82,766 have been pledged as collateral for swap and swaption contracts on June 30, 2008.

(c) The average amount of borrowings while outstanding during the period ended June 30, 2008 was $50,134 at a weighted average interest rate of 2.430%. On June 30, 2008, securities valued at $33,339 were pledged as collateral for reverse repurchase agreements.

(d) Cash of $71,530 has been pledged as collateral for the following open futures contracts on June 30, 2008:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2008	6,610	$	22,885
90-Day Eurodollar December Futures	Long	12/2009	1,000		(1,106	)
90-Day Eurodollar June Futures	Long	06/2009	12,000		(4,377	)
90-Day Eurodollar March Futures	Long	03/2009	12,087		(1,427	)
90-Day Eurodollar March Futures	Long	03/2010	1,000		(1,269	)
90-Day Eurodollar September Futures	Long	09/2009	1,000		(894	)
U.S. Treasury 2-Year Note September Futures	Short	09/2008	5,258		(1,249	)
U.S. Treasury 10-Year Note September Futures	Long	09/2008	14,232		4,246
U.S. Treasury 30-Year Bond September Futures	Long	09/2008	3,135		5,586
				$	22,395

(e) Swap agreements outstanding on June 30, 2008:

Credit Default Swaps on Securities

Reference Entity	Buy/Sell Protection(1)	(Pay)/Receive Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Altius Funding Ltd. floating rate based on 3-Month USD-LIBOR plus 1.400% due 12/09/2040	Buy	(1.230	%)	12/09/2040	MLP	$	2,986	$	2,493
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.830	%	12/20/2009	GSC		1,500		(8	)
General Electric Capital Corp. 6.000% due 06/15/2012	Sell	0.935	%	12/20/2010	BCLY		3,000		(29	)
								$	2,456

⁽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 reference entity. 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

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Expiration Date	Counterparty	Notional Amount		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	5.000	%	12/20/2009	UBS	$	470,000	$	15,805
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	DUB		149,500		(934	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	LEH		2,600		(20	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		31,300		(138	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	BCLY		68,900		(141	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	JPM		55,900		(437	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	MSC		1,244,800		(10,213	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	RBS		427,500		(4,782	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	CITI		27,500		213
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	DUB		35,400		662
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	MSC		5,900		10
Receive	3-Month USD-LIBOR	5.000	%	12/17/2015	RBS		5,700		10
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	CITI		82,900		(94	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MLP		355,100		(877	)
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		529,110		2,412
Receive	3-Month USD-LIBOR	5.000	%	12/17/2018	RBS		503,800		2,282
Receive	3-Month USD-LIBOR	5.000	%	12/17/2023	MLP		525,000		7,774
Pay	3-Month USD-LIBOR	5.000	%	12/17/2038	CITI		130,600		1,596
Pay	3-Month USD-LIBOR	5.000	%	12/17/2038	MSC		20,500		356
Pay	3-Month USD-LIBOR	5.000	%	12/17/2038	RBS		245,300		4,766
								$	18,250

(f) Purchased options outstanding on June 30, 2008:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Value
Call - CBOT U.S. Treasury 2-Year Note September Futures	$	110.500	08/22/2008	5,000	$	169	$	80
Call - CBOT U.S. Treasury 5-Year Note September Futures		137.000	08/22/2008	4,867		46		39
Put - CBOT U.S. Treasury 10-Year Note September Futures		90.000	08/22/2008	4,226		76		63
Put - CBOT U.S. Treasury 10-Year Note September Futures		91.000	08/22/2008	5,226		95		78
Put - CBOT U.S. Treasury 10-Year Note September Futures		92.000	08/22/2008	95		2		2
Put - CBOT U.S. Treasury 10-Year Note September Futures		96.000	08/22/2008	750		13		11
Put - CBOT U.S. Treasury 10-Year Note September Futures		97.000	08/22/2008	1,194		22		18
Put - CBOT U.S. Treasury 30-Year Bond September Futures		92.000	08/22/2008	3,135		57		46
					$	480	$	337

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	362,300	$	3,874	$	1,683
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		258,200		2,748		1,199
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		652,600		6,351		3,030
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.150	%	12/15/2008		3,058,000		28,323		8,136
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		837,200		8,931		3,888
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		340,100		3,597		2,372
									$	53,824	$	20,308

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Value
Call - OTC U.S. Treasury Note 4.500% due 02/28/2011	$	111.719	07/21/2008	$	200,000	$	24	$	0
Call - OTC U.S. Treasury Note 4.750% due 03/31/2011		112.375	08/15/2008		290,000		34		0
Call - OTC U.S. Treasury Note 4.875% due 05/31/2011		113.844	07/25/2008		70,000		8		0
Put - OTC Fannie Mae 6.000% due 07/01/2038		86.000	07/07/2008		10,000		1		0
						$	67	$	0

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

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.150	%	08/03/2009	$	83,700	$	2,101	$	1,165
Call - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		56,600		1,849		1,108
Call - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		86,000		2,847		1,683
Call - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		217,500		6,867		4,255
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.300	%	12/15/2008		1,031,200		27,607		13,475
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.400	%	08/03/2009		279,100		9,057		5,461
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	4.550	%	08/03/2009		113,400		3,472		2,600
									$	53,800	$	29,747

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

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Value(2)
U.S. Treasury Notes	3.250	%	08/15/2008	$	160,000	$	160,201	$	162,436
U.S. Treasury Notes	3.250	%	12/31/2009		88,400		88,990		89,692
U.S. Treasury Notes	4.250	%	01/15/2011		249,100		258,933		263,736
U.S. Treasury Notes	4.500	%	02/28/2011		250,000		258,014		265,075
U.S. Treasury Notes	4.625	%	02/15/2017		197,000		203,422		211,549
U.S. Treasury Notes	4.750	%	03/31/2011		290,000		301,793		308,392
U.S. Treasury Notes	4.875	%	05/31/2011		239,000		249,551		253,807
						$	1,520,904	$	1,554,687

⁽²⁾ Market value includes $20,837 of interest payable on short sales.

(i) Fair Value Measurements⁺

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

	Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Value at 6/30/2008
Investments, at value	$	0	$	4,504,530		$	1,920	$	4,506,450
Other Financial Instruments++		22,395		(1,545,385	)		2,494		(1,520,496	)
Total	$	22,395	$	2,959,145		$	4,414	$	2,985,954

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

	Beginning balance at 12/31/2007		Net purchases/ (sales)			Accrued discounts/ (premiums)		Total realized and unrealized gains/ (losses)			Net transfers in/(out) of Level 3			Ending balance at 06/30/2008
Investments, at value	$	21,914	$	(722	)	$	0	$	(1,375	)	$	(17,897	)	$	1,920
Other Financial Instruments++		2,376		0			0		118			0			2,494
Total	$	24,290	$	(722	)	$	0	$	(1,257	)	$	(17,897	)	$	4,414

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

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

See Accompanying Notes

Supplementary Notes to Schedule of Investments

1. Basis for Consolidation for the PIMCO CommodityRealReturn Strategy Fund^®

The PIMCO Cayman Commodity Fund I Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on July 21, 2006 as a wholly owned subsidiary acting as an investment vehicle for the CommodityRealReturn Strategy Fund^® (the “CRRS Fund”) in order to effect certain investments for the CRRS Fund consistent with the CRRS Fund’s investment objectives and policies specified in its prospectus and statement of additional information. A subscription agreement was entered into between the CRRS Fund and the Subsidiary on August 1, 2006, comprising the entire issued share capital of the Subsidiary with the intent that the CRRS Fund will remain the sole shareholder and retain all rights. Under the Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. As of June 30, 2008, net assets of the CRRS Fund were approximately $16 billion, of which approximately $2.402 billion, or approximately 15%, represented the CRRS Fund’s ownership of all issued shares and voting rights of the Subsidiary.

2. Federal Income Tax Matters

As of June 30, 2008, 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):

	Aggregate Gross Unrealized Appreciation		Aggregate Gross Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
All Asset All Authority Fund	$	38,259	$	(19,874	)	$	18,385
All Asset Fund		365,374		(419,093	)		(53,719	)
California Intermediate Municipal Bond Fund		1,312		(3,767	)		(2,455	)
California Short Duration Municipal Income Fund		5		(211	)		(206	)
CommodityRealReturn Strategy Fund®		1,457,200		(144,961	)		1,312,239
Convertible Fund		16,876		(47,860	)		(30,984	)
Developing Local Markets Fund		43,803		(85,029	)		(41,226	)
Diversified Income Fund		44,387		(99,112	)		(54,725	)
Emerging Local Bond Fund		90,260		(40,212	)		50,048
Emerging Markets Bond Fund		79,174		(87,015	)		(7,841	)
European StocksPLUS® TR Strategy Fund		78		(141	)		(63	)
Extended Duration Fund		676		(3,546	)		(2,870	)
Far East (ex-Japan) StocksPLUS® TR Strategy Fund		202		(766	)		(564	)
Floating Income Fund		31,696		(40,644	)		(8,948	)
Foreign Bond Fund (Unhedged)		86,279		(95,897	)		(9,618	)
Foreign Bond Fund (U.S. Dollar-Hedged)		77,986		(78,062	)		(76	)
Fundamental Advantage Tax Efficient Strategy Fund		55		(82	)		(27	)
Fundamental Advantage Total Return Strategy Fund		2,291		(5,476	)		(3,185	)
Fundamental IndexPLUSTM Fund		387		(13,577	)		(13,190	)
Fundamental IndexPLUSTM TR Fund		2,075		(17,382	)		(15,307	)
Global Bond Fund (Unhedged)		37,079		(29,867	)		7,212
Global Bond Fund (U.S. Dollar-Hedged)		7,167		(6,989	)		178
GNMA Fund		3,991		(2,095	)		1,896
High Yield Fund		108,837		(460,277	)		(351,440	)
High Yield Municipal Bond Fund		623		(18,146	)		(17,523	)
Income Fund		2,102		(8,451	)		(6,349	)
International StocksPLUS® TR Strategy Fund (Unhedged)		308		(2,354	)		(2,046	)
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)		6,900		(12,001	)		(5,101	)
Investment Grade Corporate Bond Fund		2,051		(7,139	)		(5,088	)
Japanese StocksPLUS® TR Strategy Fund		113		(1,364	)		(1,251	)
Long Duration Total Return Fund		2,697		(24,687	)		(21,990	)
Long-Term U.S. Government Fund		12,272		(37,461	)		(25,189	)
Low Duration Fund		27,625		(276,041	)		(248,416	)
Low Duration Fund II		830		(6,889	)		(6,059	)
Low Duration Fund III		393		(3,430	)		(3,037	)
Moderate Duration Fund		8,426		(33,987	)		(25,561	)
Mortgage-Backed Securities Fund		6,608		(21,589	)		(14,981	)
Municipal Bond Fund		3,979		(20,621	)		(16,642	)
New York Municipal Bond Fund		882		(1,859	)		(977	)
Real Return Asset Fund		132,039		(24,506	)		107,533
Real Return Fund		324,686		(243,250	)		81,436
RealEstateRealReturn Strategy Fund		16,777		(7,421	)		9,356
RealRetirementTM 2010 Fund		34		(94	)		(60	)
RealRetirementTM 2020 Fund		43		(100	)		(57	)
RealRetirementTM 2030 Fund		52		(94	)		(42	)
RealRetirementTM 2040 Fund		49		(91	)		(42	)
RealRetirementTM 2050 Fund		15		(108	)		(93	)
Short Duration Municipal Income Fund		702		(5,916	)		(5,214	)
Short-Term Fund		12,044		(95,355	)		(83,311	)
Small Cap StocksPLUS® TR Fund		439		(994	)		(555	)
StocksPLUS® Fund		4,317		(22,789	)		(18,472	)
StocksPLUS® Long Duration Fund		254		(3,876	)		(3,622	)
StocksPLUS® Total Return Fund		1,351		(10,276	)		(8,925	)
StocksPLUS® TR Short Strategy Fund		1,143		(4,816	)		(3,673	)
Total Return Fund		770,807		(2,750,416	)		(1,979,609	)
Total Return Fund II		9,485		(58,735	)		(49,250	)
Total Return Fund III		8,037		(64,182	)		(56,145	)
Unconstrained Bond Fund		0		0			0
Asset-Backed Securities Portfolio		10,324		(88,809	)		(78,485	)
Developing Local Markets Portfolio		3,869		(8,901	)		(5,032	)
Emerging Markets Portfolio		27,322		(18,677	)		8,645
High Yield Portfolio		13,389		(64,724	)		(51,335	)
International Portfolio		24,338		(70,782	)		(46,444	)
Investment Grade Corporate Portfolio		43,557		(169,768	)		(126,211	)
Mortgage Portfolio		116,136		(260,364	)		(144,228	)
Municipal Sector Portfolio		9,463		(14,961	)		(5,498	)
Real Return Portfolio		21,041		(11,488	)		9,553
Short-Term Portfolio		20,609		(186,737	)		(166,128	)
Short-Term II Portfolio		694		(2,678	)		(1,984	)
U.S. Government Sector Portfolio		17,656		(194,542	)		(176,886	)

3. Fair Value Measurements

Effective April 1, 2008, PIMCO Funds adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”). In accordance with FAS 157, fair value is defined as the price that the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. FAS 157 establishes and requires disclosure of a fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Levels 1, 2, and 3). Categorization of fair value measurements is determined by the nature of the inputs as follows: inputs using quoted prices in active markets for identical assets or liabilities (“Level 1”), significant other observable inputs (“Level 2”), and significant unobservable inputs (“Level 3”). Valuation levels are not necessarily an indication of the risk associated with investing in those securities. For fair valuations using significant unobservable inputs, FAS 157 requires a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period. A fair value hierarchy and Level 3 reconciliation can be found in the Notes to the Schedule of Investments.

GLOSSARY: (abbreviations that may be used in the preceding statements)
Counterparty Abbreviations:
ABN	ABN AMRO Bank, N.V.	CSFB	Credit Suisse First Boston	RBC	Royal Bank of Canada
AIG	AIG International, Inc.	DUB	Deutsche Bank AG	RBS	Royal Bank of Scotland Group PLC
BOA	Bank of America	GSC	Goldman Sachs & Co.	UBS	UBS Warburg LLC
BCLY	Barclays Bank PLC	HSBC	HSBC Bank USA	WAC	Wachovia Bank N.A.
BEAR	Bear Stearns & Co., Inc.	JPM	JPMorgan Chase & Co.
BNP	BNP Paribas Bank	LEH	Lehman Brothers, Inc.
BSN	Bank of Nova Scotia	MLP	Merrill Lynch & Co., Inc.
CITI	Citibank N.A.	MSC	Morgan Stanley
Currency Abbreviations:
AED	UAE Dirham	HKD	Hong Kong Dollar	PLN	Polish Zloty
ARS	Argentine Peso	HUF	Hungarian Forint	RON	Romanian New Leu
AUD	Australian Dollar	IDR	Indonesian Rupiah	RUB	Russian Ruble
BRL	Brazilian Real	ILS	Israeli Shekel	SAR	Saudi Riyal
CAD	Canadian Dollar	INR	Indian Rupee	SEK	Swedish Krona
CHF	Swiss Franc	JPY	Japanese Yen	SGD	Singapore Dollar
CLP	Chilean Peso	KRW	South Korean Won	SKK	Slovakian Koruna
CNY	Chinese Renminbi	KWD	Kuwaiti Dinar	THB	Thai Baht
COP	Colombian Peso	MXN	Mexican Peso	TRY	Turkish New Lira
CZK	Czech Koruna	MYR	Malaysian Ringgit	TWD	Taiwanese Dollar
DKK	Danish Krone	NOK	Norwegian Krone	UAH	Ukrainian Hryvnia
EGP	Egyptian Pound	NZD	New Zealand Dollar	USD	United States Dollar
EUR	Euro	PEN	Peruvian New Sol	UYU	Uruguayan Peso
GBP	British Pound	PHP	Philippine Peso	ZAR	South African Rand
Exchange Abbreviations:
AMEX	American Stock Exchange	LMEX	London Metal Exchange
CBOT	Chicago Board of Trade	NYBEX	New York Board of Trade
CME	Chicago Mercantile Exchange	NYMEX	New York Mercantile Exchange
FTSE	Financial Times Stock Exchange	OTC	Over-the-Counter
ICEX	Iceland Stock Exchange
Index Abbreviations:
CDI	Credit Default Swap Index	GSCI	Goldman Sachs Commodity Index Total Return
CDX	Credit Derivatives Index	HICP	Harmonized Index of Consumer Prices
CMBX	Commercial Mortgage-Backed Index	LCDX	Liquid Credit Derivative Index
CPI	Consumer Price Index	RPI	Retail Price Index
DJAIGCI	Dow Jones-AIG Commodity Index	UKRPI	United Kingdom Retail Price Index
DJAIGTR	Dow Jones-AIG Commodity Index Total Return	USSP	USD Swap Spread
EAFE	Europe, Australasia, and Far East Index
Municipal Bond or Agency Abbreviations:
ACA	American Capital Access Holding Ltd.	HUD	U.S. Department of Housing and Urban Development
AGC	Assured Guaranty Corp.	IBC	Insured Bond Certificate
AMBAC	American Municipal Bond Assurance Corp.	MAIA	Michigan Association of Insurance Agents
CM	California Mortgage Insurance	MBIA	Municipal Bond Investors Assurance
FGIC	Financial Guaranty Insurance Co.	PSF	Public School Fund
FHA	Federal Housing Administration	Q-SBLF	Qualified School Bond Loan Fund
FHLMC	Federal Home Loan Mortgage Corporation	Radian	Radian Guaranty, Inc.
FNMA	Federal National Mortgage Association	ST	State
FSA	Financial Security Assurance, Inc.	VA	Department of Veterans Affairs
GNMA	Government National Mortgage Association	XLCA	XL Capital Assurance
GTD	Guaranteed
Other Abbreviations:
ABS	Asset-Backed Security	IG	Investment Grade
CMBS	Collateralized Mortgage-Backed Security	ISDA	International Swaps and Derivatives Association, Inc.
CMM	Constant Maturity Mortgage Rate	LIBOR	London Interbank Offered Rate
CMO	Collateralized Mortgage Obligation	MBS	Mortgage-Backed Security
EM	Emerging Markets	MSCI	Morgan Stanley Capital International
EURIBOR	Euro Interbank Offered Rate	REIT	Real Estate Investment Trust
FFR	Federal Funds Rate	SPDR	Standard & Poor’s Depository Receipts
HVOL	High Volatility	TIIE	Tasa de Interés Interbancaria de Equilibrio
HY	High Yield	WTI	West Texas Intermediate

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, 2008

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

By:	/s/    ERNEST L. SCHMIDER
	Ernest L. Schmider
	President, Principal Executive Officer
Date:	August 29, 2008
By:	/s/    JOHN P. HARDAWAY
	John P. Hardaway
	Treasurer, Principal Financial Officer
Date:	August 29, 2008

EX-99.CERT

99.CERT

Certification Under Rule 30a-2(a)

CERTIFICATION

I, Ernest L. Schmider, certify that:

1. I have reviewed this report on Form N-Q of PIMCO Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	August 29, 2008
Signature:	/s/ Ernest L. Schmider
Name:	Ernest L. Schmider
Title:	President, Principal Executive Officer

99.CERT

Certification Under Rule 30a-2(a)

CERTIFICATION

I, John P. Hardaway, certify that:

1. I have reviewed this report on Form N-Q of PIMCO Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	August 29, 2008
Signature:	/s/ John P. Hardaway
Name:	John P. Hardaway
Title:	Treasurer, Principal Financial Officer