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, 2009

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	Mortgage-Backed Securities Fund
All Asset Fund	Municipal Bond Fund
California Intermediate Municipal Bond Fund	New York Municipal Bond Fund
California Short Duration Municipal Income Fund	Real Return Asset Fund
CommodityRealReturn Strategy Fund®	Real Return Fund
Convertible Fund	RealEstateRealReturn Strategy Fund
Developing Local Markets Fund	RealRetirementTM 2010 Fund
Diversified Income Fund	RealRetirementTM 2020 Fund
EM Fundamental IndexPLUSTM TR Strategy Fund	RealRetirementTM 2030 Fund
Emerging Local Bond Fund	RealRetirementTM 2040 Fund
Emerging Markets Bond Fund	RealRetirementTM 2050 Fund
Extended Duration Fund	Short Duration Municipal Income Fund
Floating Income Fund	Short-Term Fund
Foreign Bond Fund (Unhedged)	Small Cap StocksPLUS® TR Fund
Foreign Bond Fund (U.S. Dollar-Hedged)	StocksPLUS® Fund
Fundamental Advantage Total Return Strategy Fund	StocksPLUS® Long Duration Fund
Fundamental IndexPLUSTM Fund	StocksPLUS® Total Return Fund
Fundamental IndexPLUSTM TR Fund	StocksPLUS® TR Short Strategy Fund
Global Advantage Strategy Bond Fund	Total Return Fund
Global Bond Fund (Unhedged)	Total Return Fund II
Global Bond Fund (U.S. Dollar-Hedged)	Total Return Fund III
Global Multi-Asset Fund	Unconstrained Bond Fund
GNMA Fund	Unconstrained Tax Managed Bond Fund
Government Money Market Fund	Asset-Backed Securities Portfolio
High Yield Fund	Developing Local Markets Portfolio
High Yield Municipal Bond Fund	Emerging Markets Portfolio
Income Fund	High Yield Portfolio
International StocksPLUS® TR Strategy Fund (Unhedged)	International Portfolio
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)	Investment Grade Corporate Portfolio
Investment Grade Corporate Bond Fund	Long Duration Corporate Bond Portfolio
Long Duration Total Return Fund	Mortgage Portfolio
Long-Term Credit Fund	Municipal Sector Portfolio
Long-Term U.S. Government Fund	Real Return Portfolio
Low Duration Fund	Short-Term Floating NAV Portfolio
Low Duration Fund II	Short-Term Floating NAV Portfolio II
Low Duration Fund III	Short-Term Portfolio
Moderate Duration Fund	U.S. Government Sector Portfolio
Money Market Fund

Schedule of Investments

All Asset All Authority Fund

June 30, 2009 (Unaudited)

	SHARES	MARKET VALUE (000s)
PIMCO FUNDS (a)(b) 111.0%
CommodityRealReturn
Strategy Fund®	25,157,773	$	179,626
Convertible Fund	3,474,582		34,468
Developing Local Markets Fund	2,160,337		20,048
Diversified Income Fund	2,916,614		27,562
EM Fundamental IndexPLUSTM TR Strategy Fund	2,165,113		31,286
Emerging Local Bond Fund	2,973,789		26,675
Emerging Markets Bond Fund	5,294,149		49,606
Floating Income Fund	8,044,970		63,073
Foreign Bond Fund (Unhedged)	988,800		8,899
Fundamental Advantage Total Return Strategy Fund	17,441,840		85,291
Fundamental IndexPLUSTM Fund	118,551		689
Fundamental IndexPLUSTM TR Fund	1,422,405		9,046
Global Advantage Strategy Bond Fund	982,191		10,441
High Yield Fund	16,130,518		121,301
Income Fund	4,997,607		45,128
Investment Grade Corporate Bond Fund	30,731,516		319,300
Long Duration Total Return Fund	9,600,284		100,419
Long-Term Credit Fund	4,219,489		44,853
Long-Term U.S. Government Fund	3,878,472		43,323
Low Duration Fund	81,332		802
Real Return Asset Fund	37,319,331		392,226
Real Return Fund	4,229,966		43,696
RealEstateRealReturn Strategy Fund	1,691,893		4,856
Short-Term Fund	68		1
Small Cap StocksPLUS® TR Fund	535,222		3,939
StocksPLUS® Fund	148,730		916
StocksPLUS® Total Return Fund	240,365		1,464
StocksPLUS® TR Short Strategy Fund	30,800,234		188,189
Total Return Fund	22,391,885		233,995
Total PIMCO Funds (Cost $2,022,140)			2,091,118
Total Investments 111.0% (Cost $2,022,140)		$	2,091,118
Other Assets and Liabilities (Net) (11.0%)			(206,990	)
Net Assets 100.0%		$	1,884,128

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

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

(a) Affiliated to the Fund.

(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, 2009 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)		Fair Value at 06/30/2009
Investments, at value	$	2,091,118	$	0	$	0	$	2,091,118

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

See Accompanying Notes

Schedule of Investments

All Asset Fund

June 30, 2009 (Unaudited)

	SHARES		MARKET VALUE (000s)
PIMCO FUNDS (a)(b) 100.2%
CommodityRealReturn Strategy Fund®		149,851,177	$	1,069,937
Convertible Fund		49,749,536		493,515
Developing Local Markets Fund		22,379,056		207,678
Diversified Income Fund		44,197,546		417,667
EM Fundamental IndexPLUSTM TR Strategy Fund		13,208,179		190,858
Emerging Local Bond Fund		58,331,849		523,237
Emerging Markets Bond Fund		32,508,790		304,607
Floating Income Fund		48,395,730		379,423
Foreign Bond Fund (Unhedged)		793,104		7,138
Fundamental Advantage Total Return Strategy Fund		70,943,227		346,912
Fundamental IndexPLUSTM Fund		1,789,250		10,396
Fundamental IndexPLUSTM TR Fund		29,194,053		185,674
Global Advantage Strategy Bond Fund		4,773,609		50,743
High Yield Fund		64,110,264		482,109
Income Fund		24,497,893		221,216
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)		18,451,374		152,224
International StocksPLUS® TR Strategy Fund (Unhedged)		5,614,916		35,093
Investment Grade Corporate Bond Fund		187,524,282		1,948,377
Long Duration Total Return Fund		40,809,184		426,864
Long-Term Credit Fund		27,658,987		294,015
Long-Term U.S. Government Fund		12,131,171		135,505
Low Duration Fund		594,144		5,858
Real Return Asset Fund		265,070,674		2,785,893
Real Return Fund		26,624,247		275,029
RealEstateRealReturn Strategy Fund		44,881,354		128,810
Short-Term Fund		10,988,476		106,039
Small Cap StocksPLUS® TR Fund		9,918,238		72,998
StocksPLUS® Fund		1,396,556		8,603
StocksPLUS® Total Return Fund		5,910,377		35,994
Total Return Fund		90,860,550		949,493
Total PIMCO Funds (Cost $12,181,699)				12,251,905
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 0.1%
REPURCHASE AGREEMENTS 0.1%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	13,994		13,994
(Dated 06/30/2009. Collateralized by Fannie Mae 1.722% due 05/10/2011 valued at $55; Federal Home Loan Bank 0.900% due 04/08/2010 valued at $35; and U.S. Treasury Bills 0.000% due 08/27/2009 valued at $14,187. Repurchase proceeds are $13,994.)
Total Short-Term Instruments (Cost $13,994)				13,994
Total Investments 100.3% (Cost $12,195,693)			$	12,265,899
Other Assets and Liabilities (Net) (0.3%)				(40,894	)
Net Assets 100.0%			$	12,225,005

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

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

(a) Affiliated to the Fund.

(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, 2009 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)		Fair Value at 06/30/2009
PIMCO Funds	$	12,251,905	$	0	$	0	$	12,251,905
Short-Term Instruments		0		13,994		0		13,994
Investments, at value	$	12,251,905	$	13,994	$	0	$	12,265,899

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

See Accompanying Notes

Schedule of Investments

California Intermediate Municipal Bond Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 1.7%
American International Group, Inc.
4.700% due 10/01/2010	$	400	$	325
8.175% due 05/15/2058		700		200
8.250% due 08/15/2018		100		59
Citigroup, Inc.
8.400% due 04/29/2049 (a)		500		376
General Electric Capital Corp.
1.262% due 07/27/2012		250		227
SLM Corp.
4.500% due 07/26/2010		450		425
Total Corporate Bonds & Notes (Cost $2,247)				1,612
MUNICIPAL BONDS & NOTES 97.1%
CALIFORNIA 88.8%
Alameda, California Business Park Assessment Revenue Bonds, Series 1998
5.500% due 09/02/2012		1,180		1,160
Alum Rock, California Union Elementary School District General Obligation Bonds, (AGC Insured), Series 2008
5.000% due 08/01/2019		265		285
Burbank, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 12/01/2009		100		101
Cajon Valley, California Union Elementary School District General Obligation Bonds, Series 2008
5.000% due 08/01/2019		1,320		1,411
California State Association of Bay Area Governments Finance Authority for Non-Profit Corp. Revenue Bonds, (CM Insured), Series 2001
5.250% due 04/01/2026		2,000		1,903
California State Association of Bay Area Governments Finance Authority for Non-Profit Corp. Revenue Bonds, (CM Insured), Series 2003
5.200% due 11/15/2022		2,000		2,004
California State Educational Facilities Authority Revenue Bonds, (MBIA Insured), Series 2001
0.000% due 10/01/2014		500		410
California State Educational Facilities Authority Revenue Notes, Series 2005
5.000% due 10/01/2012		540		574
5.000% due 10/01/2013		570		606
California State Educational Facilities Authority Revenue Notes, Series 2006
5.000% due 11/01/2014		750		794
California State Encinitas Union School District General Obligation Bonds, (MBIA Insured), Series 1996
0.000% due 08/01/2018		1,500		991
California State Health Facilities Financing Authority Revenue Bonds, Series 2002
0.200% due 09/01/2025		1,700		1,700
California State Health Facilities Financing Authority Revenue Bonds, Series 2008
5.500% due 08/15/2018		500		537
California State Health Facilities Financing Authority Revenue Notes, (CM Insured), Series 2000
5.000% due 09/01/2010		350		354
California State Health Facilities Financing Authority Revenue Notes, Series 2008
6.000% due 10/01/2018		250		282
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		1,411
California State Mountain House Public Financing Authority Revenue Notes, Series 2007
5.000% due 12/01/2015		640		624
California State M-S-R Public Power Agency Revenue Bonds, (FSA Insured), Series 2008
5.000% due 07/01/2019		2,000		2,084
California State M-S-R Public Power Agency Revenue Notes, (FSA Insured), Series 2008
5.000% due 07/01/2018		2,000		2,205
California State Pollution Control Financing Authority Revenue Bonds, (FGIC Insured), Series 2004
4.750% due 12/01/2023		2,000		1,684
California State Pollution Control Financing Authority Revenue Bonds, Series 1996
0.240% due 11/01/2026		300		300
California State Pollution Control Financing Authority Revenue Bonds, Series 2002
5.000% due 01/01/2022		1,000		904
California State Public Works Board Revenue Bonds, (MBIA Insured), Series 2005
5.250% due 11/01/2019		1,000		1,045
California State Public Works Board Revenue Bonds, Series 2005
5.000% due 04/01/2017		2,000		2,091
California State Public Works Board Revenue Notes, (MBIA-FGIC Insured), Series 2006
5.000% due 10/01/2016		2,500		2,535
California State San Ramon Valley Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 1998
0.000% due 07/01/2018		3,300		2,160
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2043		1,000		656
California State Tobacco Securitization Agency Revenue Bonds, Series 2006
0.000% due 06/01/2028 (b)		3,500		2,077
California Statewide Communities Development Authority Revenue Bonds, (CM Insured), Series 2001
5.000% due 10/01/2018		1,500		1,470
California Statewide Communities Development Authority Revenue Bonds, (XLCA Insured), Series 2006
4.100% due 04/01/2028		1,000		989
California Statewide Communities Development Authority Revenue Bonds, Series 2002
6.750% due 07/01/2032 (e)		1,280		1,066
California Statewide Communities Development Authority Revenue Bonds, Series 2005
5.000% due 03/01/2018		125		119
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.150% due 07/01/2030		650		426
5.500% due 11/01/2038		400		251
California Statewide Communities Development Authority Revenue Notes, Series 2004
5.500% due 05/15/2012		1,000		979
California Statewide Communities Development Authority Revenue Notes, Series 2005
5.000% due 07/01/2013		850		880
Campbell, California Redevelopment Agency Tax Allocation Notes, Series 2002
4.700% due 10/01/2011		505		500
Capistrano, California Unified School District Special Tax Bonds, Series 2003
5.250% due 09/01/2016		700		636
5.375% due 09/01/2017		800		721
Contra Costa County, California Public Financing Authority Tax Allocation Bonds, Series 2003
5.625% due 08/01/2033		355		313
Corona, California Community Facilities District Special Tax Bonds, Series 1998
5.875% due 09/01/2023		955		784
Desert Sands, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 06/01/2014		3,000		2,517
El Monte, California School District General Obligation Notes, (MBIA-FGIC Insured), Series 2005
0.000% due 05/01/2012		1,555		1,437
El Monte, California Union High School District General Obligation Notes, (MBIA-FGIC Insured), Series 2006
0.000% due 06/01/2013		1,195		1,058
Fresno, California Revenue Bonds, (AGC Insured), Series 2008
5.000% due 09/01/2019		700		757
Grossmont-Cuyamaca, California Community College District General Obligation Bonds, (AGC Insured), Series 2008
5.000% due 08/01/2018		500		557
Inland Empire, California Tobacco Securitization Authority Revenue Bonds, Series 2007
4.625% due 06/01/2021		905		753
Irvine, California Ranch Water District Revenue Bonds, Series 1993
0.250% due 04/01/2033		200		200
Irvine, California Special Assessment Bonds, Series 1997
0.250% due 09/02/2022		200		200
Irvine, California Unified School District Special Tax Notes, Series 2009
0.250% due 03/01/2012		100		100
Long Beach, California Bond Finance Authority Revenue Bonds, Series 2007
5.000% due 11/15/2029		500		395
5.250% due 11/15/2018		1,000		901
5.250% due 11/15/2019		500		444
Long Beach, California Special Tax Bonds, Series 2008
5.375% due 10/01/2022		250		219
Los Angeles, California Department of Airports Revenue Notes, (MBIA Insured), Series 2006
5.000% due 05/15/2016		1,000		1,021
Los Angeles, California Municipal Improvement Corp. Revenue Bonds, Series 2008
5.000% due 09/01/2019		250		253
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 1999
4.750% due 07/01/2010		30		30
Modesto, California Irrigation District Certificates of Participation Notes, (AMBAC Insured), Series 2006
5.000% due 10/01/2015		3,545		3,899
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2016		500		377
Oakland, California Port Authority Revenue Bonds, (MBIA-FGIC Insured), Series 2000
5.750% due 11/01/2012		500		506
Palm Springs, California Revenue Notes, Series 2008
5.300% due 07/01/2013		250		225
Redding, California Redevelopment Agency Tax Allocation Bonds, Series 2006
5.000% due 09/01/2036		1,250		929
Rio Vista, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 09/01/2009		170		170
Riverbank, California Redevelopment Agency Tax Allocation Notes, Series 2007
4.100% due 08/01/2013		255		246
Sacramento County, California Sanitation District Revenue Bonds, (MBIA-FGIC Insured), Series 2006
5.000% due 12/01/2017		1,000		1,081
Sacramento, California Municipal Utility District Revenue Bonds, Series 1983
9.000% due 04/01/2013		485		565
San Diego County, California Certificates of Participation Notes, Series 2006
5.000% due 09/01/2013		1,340		1,283
San Diego, California Redevelopment Agency Tax Allocation Bonds, (XLCA Insured), Series 2004
5.250% due 09/01/2016		1,000		1,012
San Fernando, California Redevelopment Agency Tax Allocation Bonds, Series 2006
4.500% due 09/15/2017		1,425		1,307
San Francisco, California City & County Airports Commission Revenue Bonds, (MBIA-FGIC Insured), Series 2006
5.250% due 05/01/2019		1,460		1,519
San Francisco, California City & County Airports Commission Revenue Bonds, Series 2008
6.750% due 05/01/2019		1,000		1,043
San Francisco, California City & County Unified School District General Obligation Notes, (FSA Insured), Series 2005
5.000% due 06/15/2015		1,100		1,184
San Joaquin, California Delta Community College District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2014		2,000		1,677
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2017		1,000		967
San Jose, California Redevelopment Agency Tax Allocation Bonds, Series 2008
6.500% due 08/01/2019		1,000		1,072
San Luis Obispo County, California Financing Authority Revenue Bonds, (MBIA Insured), Series 2007
5.000% due 09/01/2018		750		772
San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979
8.000% due 10/01/2011		55		55
Santa Clara, California Revenue Bonds, Series 2008
0.250% due 07/01/2034		1,000		1,000
Santa Cruz County, California Redevelopment Agency Tax Allocation Bonds, Series 2009
7.000% due 09/01/2036		1,000		1,042
Sonoma County, California Junior College District General Obligation Bonds, (MBIA Insured), Series 2007
5.000% due 08/01/2018		1,250		1,352
Southern California State Public Power Authority Revenue Bonds, Series 2008
0.180% due 07/01/2020		700		700
Turlock, California Certificates of Participation Notes, Series 2007
5.000% due 10/15/2010		360		361
University of California Regents Medical Center Revenue Bonds, (MBIA Insured), Series 2007
1.202% due 05/15/2030		1,500		947
University of California Regents Medical Center Revenue Notes, Series 2008
5.000% due 05/15/2017		2,000		2,177
University of California Revenue Bonds, (FSA Insured), Series 2005
5.000% due 05/15/2016		3,240		3,485
University of California Revenue Bonds, Series 2008
5.000% due 05/15/2018		350		379
				84,231
MONTANA 0.4%
Hardin, Montana Rocky Mountain Power, Inc. Tax Allocation Bonds, Series 2006
0.000% due 09/01/2031 (b)		830		374
NEW JERSEY 0.2%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.500% due 04/01/2018		230		212
PUERTO RICO 6.6%
Commonwealth of Puerto Rico General Obligation Bonds, (AGC Insured), Series 2006
4.675% due 07/01/2020		1,000		679
Puerto Rico Electric Power Authority Revenue Notes, Series 2008
5.000% due 07/01/2012		500		512
Puerto Rico Government Development Bank Revenue Notes, Series 2006
5.000% due 12/01/2014		2,500		2,489
Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2007
5.500% due 07/01/2021		2,500		2,438
Puerto Rico Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998
5.250% due 07/01/2010		150		151
				6,269
TEXAS 0.1%
Houston, Texas Airport Systems Revenue Bonds, Series 1997
6.125% due 07/15/2017		100		74
VIRGIN ISLANDS 1.0%
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		1,000		950
Total Municipal Bonds & Notes (Cost $96,471)				92,110
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.0%
American International Group, Inc.
8.500% due 08/01/2011		5,200		49
Total Convertible Preferred Stocks (Cost $390)				49
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 0.3%
REPURCHASE AGREEMENTS
0.2% State Street Bank and Trust Co.
0.010% due 07/01/2009	$	139		139
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $145. Repurchase proceeds are $139.)
U.S. TREASURY BILLS 0.1%
0.111% due 07/23/2009 (c)		130		130
Total Short-Term Instruments (Cost $269)				269
Total Investments 99.1% (Cost $99,377)			$	94,040
Other Assets and Liabilities (Net) 0.9%				834
Net Assets 100.0%			$	94,874

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

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

(a) Security is in default.

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

(c) Securities with an aggregate market value of $130 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(d) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(2)		Market Value(3)			Upfront Premiums (Received)			Unrealized (Depreciation)
MCDX 5-Year Index	GSC	0.350	%	06/20/2013	$	500	$	(28	)	$	(12	)	$	(16	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities compromising the referenced index.

⁽²⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽³⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(e) Restricted securities as of June 30, 2009:

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	$	1,280	$	1,066	1.12	%

(f) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
California	$	0	$	84,231		$	0	$	84,231
Puerto Rico		0		6,269			0		6,269
Other Investments++		49		3,491			0		3,540
Investments, at value	$	49	$	93,991		$	0	$	94,040
Financial Derivative Instruments+++	$	0	$	(16	)	$	0	$	(16	)
Total	$	49	$	93,975		$	0	$	94,024

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
Investments, at value	$	0		$	0	$	0	$	0	$	0	$	0	$	0
Financial Derivative Instruments+++	$	(236	)	$	0	$	0	$	0	$	220	$	16	$	0
Total	$	(236	)	$	0	$	0	$	0	$	220	$	16	$	0

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

California Short Duration Municipal Income Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 1.0%
American Express Bank FSB
0.399% due 07/13/2010	$	250	$	244
American International Group, Inc.
4.700% due 10/01/2010		300		244
5.600% due 10/18/2016		100		54
8.175% due 05/15/2058		100		29
Citigroup, Inc.
8.400% due 04/29/2049 (a)		100		75
General Electric Capital Corp.
1.262% due 07/27/2012		150		136
Morgan Stanley
3.006% due 05/14/2010		250		249
SLM Corp.
4.500% due 07/26/2010		450		425
Wachovia Bank N.A.
1.806% due 05/14/2010		100		100
Total Corporate Bonds & Notes (Cost $1,644)				1,556
MUNICIPAL BONDS & NOTES 98.3%
CALIFORNIA 93.0%
Alameda County, California Certificates of Participation Bonds, (AMBAC Insured), Series 2007
5.000% due 12/01/2017		495		541
Anaheim, California Public Financing Authority Revenue Notes, Series 2008
4.000% due 08/01/2010		2,275		2,352
Brentwood, California Union School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2007
5.250% due 08/01/2017		110		125
Brentwood, California Union School District General Obligation Notes, (MBIA-FGIC Insured), Series 2007
5.250% due 08/01/2016		135		153
California State Association of Bay Area Governments Finance Authority for Non-Profit Corp. Revenue Notes, (CM Insured), Series 2002
4.500% due 04/01/2011		500		513
California State Bay Area Toll Authority Revenue Bonds, Series 2003
0.250% due 04/01/2037		3,085		3,085
California State Bay Area Toll Authority Revenue Notes, Series 2006
5.000% due 04/01/2015		100		109
California State Department of Water Resources Revenue Bonds, Series 2002
0.270% due 05/01/2022		550		550
California State Department of Water Resources Revenue Bonds, Series 2008
0.150% due 05/01/2018		1,500		1,500
California State Department of Water Resources Revenue Notes, Series 2005
0.200% due 05/01/2011		100		100
California State Department of Water Resources Revenue Notes, Series 2008
4.000% due 12/01/2012		30		33
California State General Obligation Bonds, (FSA-CR Insured), Series 2000
5.750% due 03/01/2021		3,000		3,133
California State General Obligation Bonds, (XLCA-ICR Insured), Series 2000
5.750% due 03/01/2020		2,500		2,611
California State General Obligation Bonds, Series 1991
6.600% due 02/01/2011		1,455		1,545
California State General Obligation Bonds, Series 2004
5.000% due 07/01/2016		2,000		2,017
California State General Obligation Bonds, Series 2008
5.000% due 07/01/2023		3,175		3,267
California State General Obligation Notes, Series 2004
5.250% due 07/01/2012		1,000		1,063
California State General Obligation Notes, Series 2008
5.000% due 01/01/2011		1,500		1,567
5.000% due 04/01/2015		450		467
California State Health Facilities Financing Authority Revenue Bonds, Series 1998
5.250% due 10/01/2014		3,000		3,032
California State Health Facilities Financing Authority Revenue Bonds, Series 2002
0.200% due 09/01/2025		1,400		1,400
California State Health Facilities Financing Authority Revenue Bonds, Series 2004
0.250% due 07/01/2033		1,000		1,000
California State Health Facilities Financing Authority Revenue Bonds, Series 2005
0.150% due 05/01/2022		1,050		1,050
California State Health Facilities Financing Authority Revenue Bonds, Series 2008
0.240% due 10/01/2031		1,200		1,200
5.500% due 08/15/2018		250		268
California State Health Facilities Financing Authority Revenue Bonds, Series 2009
0.150% due 09/01/2038		500		500
5.000% due 07/01/2037		1,250		1,278
California State Health Facilities Financing Authority Revenue Notes, Series 2005
5.000% due 07/01/2010		500		512
California State Health Facilities Financing Authority Revenue Notes, Series 2008
5.000% due 08/15/2009		250		251
California State Health Facilities Financing Authority Revenue Notes, Series 2009
5.000% due 03/01/2010		500		507
5.000% due 03/01/2011		1,000		1,025
California State Housing Finance Agency Revenue Bonds, Series 2008
0.250% due 08/01/2040		190		190
California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2001
0.180% due 11/15/2037		3,000		3,000
California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2005
3.750% due 12/01/2018		2,000		2,007
California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2008
0.180% due 09/01/2037		2,700		2,700
California State Infrastructure & Economic Development Bank Revenue Notes, (AMBAC Insured), Series 2004
5.250% due 10/01/2013		250		274
California State M-S-R Public Power Agency Revenue Notes, (FSA Insured), Series 2008
5.000% due 07/01/2018		250		276
California State Northern Power Agency Revenue Notes, Series 2008
5.000% due 07/01/2012		1,500		1,595
California State Pollution Control Financing Authority Revenue Bonds, Series 1996
0.240% due 11/01/2026		1,800		1,800
California State Public Works Board Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 01/01/2019		150		141
California State Public Works Board Revenue Bonds, (MBIA Insured), Series 2005
5.250% due 11/01/2019		270		282
California State Public Works Board Revenue Bonds, (MBIA-FGIC Insured), Series 2006
5.250% due 10/01/2017		380		387
California State Public Works Board Revenue Notes, Series 2003
5.500% due 06/01/2013		750		784
California Statewide Communities Development Authority Certificates of Participation Bonds, (MBIA Insured), Series 1993
5.500% due 08/15/2013		2,000		2,000
California Statewide Communities Development Authority Revenue Bonds, (FSA Insured), Series 2007
5.250% due 07/01/2018		250		267
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.150% due 07/01/2030		100		66
California Statewide Communities Development Authority Revenue Bonds, Series 2008
0.170% due 08/15/2041		700		700
0.180% due 12/01/2034		700		700
California Statewide Communities Development Authority Revenue Notes, (FHA Insured), Series 2009
5.500% due 08/01/2012		1,215		1,307
5.500% due 08/01/2014		2,610		2,857
California Statewide Communities Development Authority Revenue Notes, (MBIA Insured), Series 2005
5.000% due 05/01/2015		150		154
California Statewide Communities Development Authority Revenue Notes, Series 2004
5.500% due 05/15/2012		250		245
California Statewide Communities Development Authority Revenue Notes, Series 2005
5.000% due 07/01/2012		640		662
California Statewide Financing Authority Revenue Notes, Series 2002
4.600% due 05/01/2012		1,030		1,004
Capistrano, California Unified School District Community Facilities District No. 87-1 Special Tax Notes, (AMBAC Insured), Series 2006
5.000% due 09/01/2014		1,100		1,116
Carlsbad, California Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 1997
0.000% due 11/01/2009		1,350		1,345
Cerritos, California Community College District General Obligation Notes, Series 2009
4.000% due 08/01/2011		400		421
Contra Costa County, California Revenue Bonds, (FNMA Insured), Series 1992
0.180% due 11/15/2022		1,500		1,500
Cucamonga County, California Water District Certificates of Participation Notes, (FSA Insured), Series 2009
2.500% due 09/01/2011		450		454
Desert Sands, California Unified School District Certificates of Participation Notes, Series 2008
4.000% due 03/01/2012		1,000		1,027
East Bay, California Municipal Utility District Revenue Bonds, (FSA Insured), Series 2002
0.600% due 06/01/2025		1,740		1,740
Fontana, California Unified School District General Obligation Notes, (AGC Insured), Series 2009
4.000% due 05/01/2011		350		364
Golden State, California Tobacco Securitization Corp. Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 06/01/2038		1,175		1,293
5.000% due 06/01/2043		100		110
Golden State, California Tobacco Securitization Corp. Revenue Bonds, (FGIC Insured), Series 2003
5.625% due 06/01/2038		100		112
Golden State, California Tobacco Securitization Corp. Revenue Bonds, (XLCA-ICR Insured), Series 2003
5.500% due 06/01/2043		1,735		1,941
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2003
5.500% due 06/01/2033		1,500		1,678
5.500% due 06/01/2043		2,655		2,970
5.625% due 06/01/2038		3,315		3,724
6.250% due 06/01/2033		7,570		8,404
6.625% due 06/01/2040		1,270		1,471
6.750% due 06/01/2039		4,870		5,664
7.875% due 06/01/2042		105		127
Golden State, California Tobacco Securitization Corp. Revenue Notes, Series 2007
4.000% due 06/01/2010		1,900		1,885
4.200% due 06/01/2012		600		575
5.000% due 06/01/2011		500		499
Irvine, California Ranch Water District Revenue Bonds, Series 1993
0.250% due 04/01/2033		1,000		1,000
Irvine, California Special Assessment Bonds, Series 1994
0.250% due 09/02/2020		600		600
Kern, California Community College District General Obligation Notes, (MBIA-FGIC Insured), Series 2003
5.000% due 11/01/2009		100		101
Lake Arrowhead, California Rim World Unified School District General Obligation Notes, (FSA Insured), Series 2009
3.000% due 08/01/2012		275		283
Lincoln, California Unified School District Special Tax Notes, (AMBAC Insured), Series 2006
5.000% due 09/01/2015		185		204
Long Beach, California Unified School District General Obligation Notes, Series 2009
5.000% due 08/01/2011		1,000		1,075
Los Angeles County, California Metropolitan Transportation Authority Revenue Bonds, Series 2008
0.250% due 07/01/2031		1,000		1,000
Los Angeles County, California Metropolitan Transportation Authority Revenue Bonds, Series 2009
0.200% due 07/01/2023		1,500		1,500
Los Angeles, California Community College District General Obligation Notes, Series 2008
3.000% due 08/01/2011		250		257
3.000% due 08/01/2012		500		514
Los Angeles, California Department of Water & Power Revenue Bonds, Series 2001
0.300% due 07/01/2034		500		500
Los Angeles, California Harbor Department Revenue Notes, Series 2009
5.000% due 08/01/2012 (b)		1,000		1,089
Los Angeles, California Unified School District Certificates of Participation Bonds, Series 2008
0.250% due 10/01/2031		1,000		1,000
Los Angeles, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2007
4.000% due 07/01/2010		1,000		1,031
Los Angeles, California Unified School District General Obligation Notes, Series 2009
5.000% due 07/01/2014		2,000		2,168
Los Angeles, California Wastewater System Revenue Notes, (MBIA Insured), Series 2003
5.000% due 06/01/2011		100		106
Lynwood, California Utility Authority Revenue Notes, (AGC Insured), Series 2008
3.000% due 06/01/2010		165		168
Merced, California Union High School District General Obligation Notes, (AGC Insured), Series 2009
2.000% due 08/01/2010		775		783
Modesto, California Revenue Bonds, (MBIA Insured), Series 1993
6.000% due 06/01/2011		1,375		1,380
Montebello, California Unified School District General Obligation Notes, (FSA Insured), Series 2008
3.000% due 08/01/2011		145		150
Newport Beach, California Revenue Bonds, Series 2009
4.000% due 12/01/2038		4,000		4,090
Norwalk-La Mirada, California Unified School District General Obligation Notes, (FSA Insured), Series 2009
4.000% due 08/01/2013 (b)		880		924
Orange County, California Public Financing Authority Revenue Notes, (MBIA insured), Series 2005
5.000% due 07/01/2011		100		104
Orange County, California Sanitation District Certificates of Participation Bonds, Series 2000
0.350% due 08/01/2030		1,100		1,100
Orange County, California Sanitation District Certificates of Participation Notes, Series 2008
4.000% due 08/01/2009		100		100
Pasadena, California Certificates of Participation Bonds, Series 2008
0.250% due 02/01/2035		1,000		1,000
Pasadena, California Certificates of Participation Notes, Series 2008
4.000% due 02/01/2012		570		595
5.000% due 02/01/2010		500		512
Pittsburg, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2002
5.250% due 08/01/2013		100		107
Placentia, California Public Financing Authority Special Tax Notes, Series 2009
2.625% due 09/01/2011		675		676
Pleasanton, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 08/01/2015		150		165
Rancho, California Water District Financing Authority Revenue Notes, Series 2008
4.000% due 08/01/2009		500		501
Redding, California Joint Powers Financing Authority Revenue Notes, (MBIA Insured), Series 2002
4.000% due 12/01/2010		50		52
Rio Vista, California Community Facilities District Special Tax Notes, Series 2006
4.000% due 09/01/2009		100		100
Riverbank, California Redevelopment Agency Tax Allocation Notes, Series 2007
4.000% due 08/01/2012		145		142
Riverside County, California Palm Desert Financing Authority Revenue Notes, Series 2008
4.000% due 05/01/2010		500		513
Riverside County, California Transportation Commission Revenue Bonds, Series 2008
5.000% due 06/01/2029		250		254
Riverside, California Revenue Bonds, (AMBAC Insured), Series 1998
5.375% due 10/01/2009		500		505
Riverside, California Revenue Bonds, (MBIA-FGIC Insured), Series 1993
5.000% due 08/01/2010		1,000		1,026
Roseville, California Natural Gas Finance Authority Revenue Notes, Series 2007
5.000% due 02/15/2012		100		97
Sacramento, California Municipal Utility District Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 11/15/2013		1,375		1,485
San Diego County, California Regional Transportation Commission Revenue Bonds, Series 2008
0.600% due 04/01/2038		295		295
San Diego, California Unified School District General Obligation Bonds, Series 2009
0.000% due 07/01/2012		325		296
San Francisco, California City & County Certificates of Participation Notes, Series 2009
1.950% due 04/01/2011		1,000		1,000
San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2002
5.000% due 08/01/2022		2,000		2,116
San Luis Obispo County, California Financing Authority Revenue Bonds, (MBIA Insured), Series 2007
5.000% due 09/01/2018		250		257
San Mateo County, California Joint Powers Financing Authority Revenue Notes, Series 2008
4.000% due 07/15/2011		350		366
5.000% due 07/15/2014		150		165
Santa Ana, California Certificates of Participation Bonds, (AMBAC Insured), Series 2003
5.000% due 06/01/2015		195		195
Santa Ana, California Unified School District General Obligation Notes, Series 2008
3.500% due 08/01/2011		900		926
Santa Barbara, California Community College District General Obligation Notes, Series 2008
4.000% due 08/01/2009		310		311
4.000% due 08/01/2010		155		160
Santa Barbara, California Financing Authority Revenue Notes, Series 2009
4.000% due 07/01/2012		400		420
Santa Clara County, California East Side Union High School District General Obligation Notes, (XLCA Insured), Series 2005
4.000% due 08/01/2012		200		209
Santa Clara, California Revenue Bonds, Series 2008
0.250% due 07/01/2034		1,000		1,000
Santa Clara, California Valley Transportation Authority Revenue Bonds, Series 2008
0.400% due 06/01/2026		3,000		3,000
Santa Clara, California Valley Water District Certificates of Participation Notes, Series 2007
5.000% due 02/01/2016		150		167
Santa Monica, California Community College District General Obligation Notes, (MBIA-FGIC Insured), Series 2007
0.000% due 08/01/2013		225		195
South Orange County, California Public Financing Authority Special Tax Bonds, (MBIA Insured), Series 2003
5.000% due 09/01/2013		125		132
South Orange County, California Public Financing Authority Special Tax Notes, (MBIA-FGIC Insured), Series 2004
5.000% due 08/15/2011		200		209
Southern California State Metropolitan Water District General Obligation Bonds, Series 2001
5.250% due 03/01/2014		1,405		1,520
Southern California State Public Power Authority Revenue Bonds, Series 2008
0.180% due 07/01/2020		2,000		2,000
Sulphur Springs, California Union School District General Obligation Bonds, (MBIA Insured), Series 1991
0.000% due 09/01/2009		700		698
Torrance, California Unified School District General Obligation Notes, Series 2009
4.000% due 08/01/2011		500		524
University of California Regents Medical Center Revenue Bonds, (MBIA Insured), Series 2007
1.202% due 05/15/2030		1,000		631
Upland, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 2002
4.600% due 10/01/2016		100		104
Vernon, California Revenue Notes, Series 2009
4.000% due 08/01/2010		2,000		2,042
West Hollywood, California Public Financing Authority Revenue Notes, Series 2009
3.000% due 02/01/2011 (b)		535		545
3.000% due 02/01/2012 (b)		695		710
Westlake Village, California Certificates of Participation Notes, Series 2009
2.000% due 06/01/2011		310		312
Whittier, California Revenue Notes, Series 2009
3.000% due 06/01/2011		1,600		1,595
				149,629
COLORADO 0.7%
Denver, Colorado City & County Certificates of Participation Bonds, Series 2008
0.150% due 12/01/2031		1,100		1,100
NEW HAMPSHIRE 0.6%
New Hampshire State Health & Education Facilities Authority Revenue Bonds, Series 2005
0.230% due 07/01/2033		1,000		1,000
PUERTO RICO 4.0%
Commonwealth of Puerto Rico General Obligation Notes, Series 2008
5.000% due 07/01/2011		1,500		1,536
Commonwealth of Puerto Rico Revenue Notes, Series 2008
3.000% due 07/30/2009		1,000		1,002
Puerto Rico Electric Power Authority Revenue Bonds, (MBIA Insured), Series 1997
5.500% due 07/01/2009		1,000		1,000
Puerto Rico Electric Power Authority Revenue Notes, Series 2008
5.000% due 07/01/2010		1,000		1,004
Puerto Rico Highway & Transportation Authority Revenue Bonds, Series 2000
6.000% due 07/01/2039		1,750		1,858
				6,400
Total Municipal Bonds & Notes (Cost $157,324)				158,129
U.S. TREASURY OBLIGATIONS 0.0%
U.S. Treasury Notes
0.875% due 04/30/2011 (c)		2		2
Total U.S. Treasury Obligations (Cost $2)				2
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.0%
American International Group, Inc.
8.500% due 08/01/2011		1,000		10
Total Convertible Preferred Stocks (Cost $75)				10
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 0.8%
REPURCHASE AGREEMENTS 0.8%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	1,304		1,304
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $1,335. Repurchase proceeds are $1,304.)
Total Short-Term Instruments (Cost $1,304)				1,304
Total Investments 100.1% (Cost $160,349)			$	161,001
Other Assets and Liabilities (Net) (0.1%)				(212	)
Net Assets 100.0%			$	160,789

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

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

(a) Security is in default.

(b) When-Issued security.

(c) Securities with an aggregate market value of $2 and cash of $3 have been pledged as collateral for futures contracts on June 30, 2009.

(d) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
California	$	0	$	149,629	$	0	$	149,629
Other Investments++		10		11,362		0		11,372
Investments, at value	$	10	$	160,991	$	0	$	161,001

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

See Accompanying Notes

Consolidated Schedule of Investments

CommodityRealReturn Strategy Fund^®

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.6%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	45,824	$	42,673
Georgia-Pacific Corp.
2.319% due 12/20/2012		338		320
2.323% due 12/20/2012		524		495
2.518% due 12/20/2012		256		242
2.650% due 12/20/2012		8,381		7,928
HCA, Inc.
2.848% due 11/18/2013		16,696		15,110
Total Bank Loan Obligations (Cost $70,346)				66,768
CORPORATE BONDS & NOTES 13.6%
BANKING & FINANCE 10.4%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		43,300		44,825
Allstate Life Global Funding Trusts CPI Linked Bond
0.670% due 03/01/2010		7,000		6,803
American Express Bank FSB
5.500% due 04/16/2013		14,700		14,443
6.000% due 09/13/2017		18,100		16,536
American Express Centurion Bank
0.399% due 07/13/2010		5,000		4,867
6.000% due 09/13/2017		24,800		22,657
American Express Co.
7.000% due 03/19/2018		25,740		25,034
American Honda Finance Corp.
1.359% due 06/20/2011		29,400		28,386
American International Group, Inc.
5.850% due 01/16/2018		22,500		11,920
8.175% due 05/15/2058		23,800		6,795
8.250% due 08/15/2018		12,500		7,366
ANZ National International Ltd.
6.200% due 07/19/2013		33,200		34,242
Australia & New Zealand Banking Group Ltd.
3.200% due 12/15/2011		12,500		12,576
Bank of America Corp.
1.127% due 11/06/2009		9,600		9,584
5.650% due 05/01/2018		84,300		74,615
Bank of Scotland PLC
0.689% due 12/08/2010		5,000		4,764
1.152% due 07/17/2009		4,600		4,597
Barclays Bank PLC
6.050% due 12/04/2017		41,300		35,871
7.434% due 09/29/2049		8,500		5,703
10.179% due 06/12/2021		29,440		31,464
C5 Capital SPV Ltd.
6.196% due 12/31/2049		5,000		2,659
C10 Capital SPV Ltd.
6.722% due 12/31/2049		1,000		513
Caelus Re Ltd.
6.918% due 06/07/2011		3,900		3,548
Calabash Re Ltd.
9.024% due 01/08/2010		4,100		3,913
11.524% due 01/08/2010		2,400		2,339
Citigroup Capital XXI
8.300% due 12/21/2077		15,100		11,794
Citigroup, Inc.
0.631% due 12/28/2009		24,400		24,168
0.754% due 03/07/2014		3,000		2,416
5.500% due 04/11/2013		21,000		19,705
6.125% due 05/15/2018		10,800		9,462
8.400% due 04/29/2049 (a)		52,600		39,519
Commonwealth Bank of Australia
1.108% due 06/25/2014		52,000		51,825
Credit Suisse New York
5.000% due 05/15/2013		34,900		35,723
Danske Bank A/S
5.914% due 12/29/2049		3,000		1,862
Dexia Credit Local
1.262% due 09/23/2011		18,000		17,953
Ford Motor Credit Co. LLC
7.000% due 10/01/2013		200		161
7.250% due 10/25/2011		15,825		13,696
7.800% due 06/01/2012		1,000		861
7.875% due 06/15/2010		5,400		5,130
Foundation Re II Ltd.
7.576% due 11/26/2010		10,500		9,831
General Electric Capital Corp.
0.839% due 03/12/2012		14,300		14,409
Goldman Sachs Group, Inc.
1.059% due 03/22/2016		1,200		1,018
5.950% due 01/18/2018		7,500		7,287
HBOS PLC
6.750% due 05/21/2018		14,500		10,961
HSBC Finance Corp.
1.162% due 10/21/2009		600		598
International Lease Finance Corp.
6.625% due 11/15/2013		9,700		7,475
JPMorgan Chase & Co.
0.732% due 06/25/2012		1,200		1,147
Kamp Re 2005 Ltd.
0.418% due 12/14/2010 (a)		1,698		119
Kreditanstalt fuer Wiederaufbau
4.875% due 06/17/2019		6,000		6,228
LeasePlan Corp. NV
3.000% due 05/07/2012		14,500		14,567
Lehman Brothers Holdings, Inc.
6.875% due 05/02/2018 (a)		27,869		4,598
7.500% due 05/11/2038 (a)		5,000		1
Longpoint Re Ltd.
5.874% due 05/08/2010		11,900		11,567
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		2,500		2,386
Merna Reinsurance Ltd.
1.248% due 07/07/2010		27,000		25,126
Merrill Lynch & Co., Inc.
3.188% due 05/12/2010		19,200		19,097
5.450% due 02/05/2013		3,000		2,923
6.400% due 08/28/2017		29,100		25,800
Metropolitan Life Global Funding I
0.879% due 03/15/2012		6,000		5,689
5.125% due 04/10/2013		12,800		13,034
Morgan Stanley
3.006% due 05/14/2010		52,400		52,260
National Australia Bank Ltd.
5.350% due 06/12/2013		27,100		27,946
Osiris Capital PLC
6.131% due 01/15/2010		1,700		1,676
Pacific Life Global Funding
5.150% due 04/15/2013		9,200		9,180
Pearson Dollar Finance Two PLC
5.500% due 05/06/2013		3,000		2,962
Pricoa Global Funding I
1.139% due 01/30/2012		5,100		4,788
1.446% due 06/04/2010		3,200		3,174
Prudential Financial, Inc.
1.570% due 06/10/2013		36,200		29,939
Residential Reinsurance 2007 Ltd.
7.918% due 06/07/2010		14,100		13,537
10.918% due 06/07/2010		8,800		8,363
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		7,300		5,410
SLM Corp.
0.000% due 10/01/2014		500		249
0.000% due 11/01/2016		700		272
0.829% due 03/15/2011		5,000		4,291
TransCapitalInvest Ltd. for OJSC AK Transneft
7.700% due 08/07/2013		3,300		3,179
8.700% due 08/07/2018		17,800		17,159
UBS AG
1.927% due 05/05/2010		400		401
Vita Capital Ltd.
2.108% due 01/01/2010		3,500		3,417
2.608% due 01/01/2010		5,500		5,374
Vita Capital III Ltd.
2.308% due 01/01/2011		300		274
2.328% due 01/01/2012		8,000		6,934
Wachovia Bank N.A.
0.726% due 12/02/2010		27,200		26,841
1.806% due 05/14/2010		23,400		23,407
Wachovia Corp.
2.798% due 05/01/2013		8,650		8,359
Wells Fargo & Co.
7.980% due 03/29/2049		11,800		9,808
Wells Fargo Capital XIII
7.700% due 12/29/2049		14,500		12,044
				1,115,400
INDUSTRIALS 2.4%
Altria Group, Inc.
9.250% due 08/06/2019		20,000		22,496
AutoZone, Inc.
6.950% due 06/15/2016		10,000		10,269
Black & Decker Corp.
5.750% due 11/15/2016		5,000		4,712
Burlington Northern Santa Fe Corp.
5.650% due 05/01/2017		2,500		2,556
C8 Capital SPV Ltd.
6.640% due 12/29/2049		6,500		3,336
Computer Sciences Corp.
6.500% due 03/15/2018		2,500		2,559
Con-way, Inc.
7.250% due 01/15/2018		10,000		8,490
CSX Corp.
6.250% due 03/15/2018		5,000		5,051
DISH DBS Corp.
6.375% due 10/01/2011		3,000		2,918
7.000% due 10/01/2013		5,000		4,775
Enterprise Products Operating LLC
6.500% due 01/31/2019		14,700		14,966
Gaz Capital S.A.
7.343% due 04/11/2013		4,600		4,462
8.146% due 04/11/2018		7,000		6,405
HCA, Inc.
9.250% due 11/15/2016		5,000		4,937
Home Depot, Inc.
5.400% due 03/01/2016		2,500		2,499
Hospira, Inc.
5.900% due 06/15/2014		2,500		2,595
Kroger Co.
4.950% due 01/15/2015		13,800		13,053
6.400% due 08/15/2017		5,000		5,309
Ltd. Brands, Inc.
6.900% due 07/15/2017		2,000		1,733
Macy’s Retail Holdings, Inc.
5.350% due 03/15/2012		1,500		1,366
7.450% due 07/15/2017		2,000		1,743
Motorola, Inc.
6.000% due 11/15/2017		4,000		3,265
Nabors Industries, Inc.
6.150% due 02/15/2018		5,000		4,808
Nucor Corp.
5.750% due 12/01/2017		4,000		4,163
Philip Morris International, Inc.
5.650% due 05/16/2018		16,200		17,010
Rexam PLC
6.750% due 06/01/2013		12,800		12,414
Rockies Express Pipeline LLC
4.500% due 08/20/2009		11,600		11,602
Ryder System, Inc.
6.000% due 03/01/2013		6,900		6,877
Suncor Energy, Inc.
6.100% due 06/01/2018		6,500		6,545
Tate & Lyle International Finance PLC
6.625% due 06/15/2016		3,500		3,204
Tyco Electronics Group S.A.
6.550% due 10/01/2017		3,500		3,182
Tyco International Finance S.A.
6.000% due 11/15/2013		8,000		8,145
Tyco International Ltd.
7.000% due 12/15/2019		11,000		10,841
UnitedHealth Group, Inc.
4.875% due 02/15/2013		2,300		2,327
Valero Energy Corp.
6.625% due 06/15/2037		4,500		3,846
Viacom, Inc.
6.125% due 10/05/2017		4,000		3,893
6.250% due 04/30/2016		2,500		2,466
Weatherford International Ltd.
5.500% due 02/15/2016		5,000		4,802
Williams Cos., Inc.
6.375% due 10/01/2010		20,000		20,004
				255,624
UTILITIES 0.8%
Consolidated Natural Gas Co.
5.000% due 03/01/2014		5,000		5,098
Constellation Energy Group, Inc.
4.550% due 06/15/2015		1,900		1,650
Duke Energy Carolinas LLC
5.100% due 04/15/2018		5,000		5,179
Enel Finance International S.A.
5.700% due 01/15/2013		23,200		24,271
FirstEnergy Corp.
6.450% due 11/15/2011		2,500		2,611
Midwest Generation LLC
8.300% due 07/02/2009		2,684		2,670
NiSource Finance Corp.
6.800% due 01/15/2019		6,000		5,632
Pacific Gas & Electric Co.
1.598% due 06/10/2010		7,800		7,841
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		10,000		10,025
7.250% due 02/15/2011		2,000		1,950
Sempra Energy
6.150% due 06/15/2018		4,500		4,531
Telecom Italia Capital S.A.
6.999% due 06/04/2018		10,000		10,132
Verizon Wireless Capital LLC
3.316% due 05/20/2011		4,200		4,325
				85,915
Total Corporate Bonds & Notes (Cost $1,587,559)				1,456,939
MUNICIPAL BONDS & NOTES 0.6%
California State General Obligation Bonds, (AMBAC Insured), Series 2007
4.500% due 08/01/2028		1,500		1,200
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2037		1,950		1,639
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		990		907
California State University Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2030		200		187
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2006
4.750% due 01/01/2030		2,810		2,703
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
8.514% due 01/01/2014		1,095		883
Florida State Board of Education General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 06/01/2037		4,500		4,241
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.125% due 06/01/2047		700		379
5.750% due 06/01/2047		1,900		1,142
Los Angeles, California Community College District General Obligation Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 08/01/2027		5,000		5,023
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2023		1,600		1,524
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		1,140		897
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2029		3,600		2,362
5.000% due 06/01/2041		1,200		650
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2038		710		701
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2030		2,100		1,471
5.875% due 06/01/2047		16,000		9,052
6.000% due 06/01/2042		300		179
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		42,500		2,199
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.125% due 06/01/2032		1,200		987
Santa Rosa, California Revenue Bonds, (AMBAC Insured), Series 2002
0.000% due 09/01/2024		11,225		4,496
Southern California State Metropolitan Water District Revenue Bonds, Series 2006
5.000% due 07/01/2029		5,565		5,644
5.000% due 07/01/2031		4,550		4,566
Texas State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2002
0.000% due 08/15/2021		4,500		2,067
Texas State Water Development Board Revenue Bonds, Series 2007
4.500% due 07/15/2024		1,255		1,273
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		2,765		2,696
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		10,580		7,109
Total Municipal Bonds & Notes (Cost $79,190)				66,177
U.S. GOVERNMENT AGENCIES 19.9%
Fannie Mae
0.444% due 03/25/2036		2,159		1,868
1.375% due 04/28/2011		20,000		20,064
2.638% due 07/01/2044 - 10/01/2044		4,296		4,228
3.464% due 04/01/2033		1,001		1,044
4.227% due 04/01/2035		305		316
4.706% due 05/01/2035		868		902
5.000% due 11/01/2033 - 07/01/2039		69,308		70,753
5.491% due 05/01/2036		362		379
5.500% due 09/01/2035 - 04/01/2039		1,167,847		1,207,152
5.950% due 02/25/2044		5,925		6,266
6.000% due 07/01/2035 - 10/01/2038		226,479		237,190
6.000% due 10/01/2038 (h)		163,778		171,433
Freddie Mac
0.549% due 02/15/2019		77,381		75,968
0.589% due 01/15/2037		352		345
0.669% due 12/15/2030		30		29
0.719% due 11/15/2016 - 03/15/2017		1,841		1,828
0.888% due 02/01/2011 (e)		7,612		7,601
0.926% due 05/04/2011		861		863
0.937% due 08/05/2011		17		17
1.211% due 04/07/2011		1,000		1,003
3.490% due 03/01/2034		1,935		1,975
4.000% due 10/15/2023		6		6
4.033% due 01/01/2034		21		22
4.328% due 06/01/2033		712		718
4.500% due 05/15/2017		135		139
4.591% due 01/01/2034		577		586
5.000% due 01/15/2018 - 09/01/2038		32,264		31,770
5.250% due 08/15/2011		1,824		1,885
5.370% due 01/01/2034		1,100		1,125
5.500% due 05/15/2016 - 09/01/2038		205,141		211,964
6.000% due 07/01/2033 - 07/01/2038		196		206
Ginnie Mae
3.750% due 12/20/2035		1,818		1,833
4.625% due 07/20/2035		96		98
5.500% due 01/15/2037 - 12/15/2038		31,253		32,303
6.000% due 09/15/2034 - 10/15/2038		21,830		22,785
Small Business Administration
5.902% due 02/10/2018		5,691		6,184
Total U.S. Government Agencies (Cost $2,062,728)				2,122,848
U.S. TREASURY OBLIGATIONS 95.6%
Treasury Inflation Protected Securities (c)
0.625% due 04/15/2013		136,185		134,568
1.250% due 04/15/2014		209,864		210,717
1.375% due 07/15/2018		45,435		44,058
1.625% due 01/15/2018		420,140		415,676
1.625% due 01/15/2015 (g)		532,875		530,210
1.875% due 07/15/2013 (g)		1,027,644		1,053,656
1.875% due 07/15/2015 (g)		828,475		837,278
2.000% due 04/15/2012		267,734		275,514
2.000% due 01/15/2026		18,693		18,290
2.000% due 01/15/2014 (g)		710,493		726,479
2.000% due 07/15/2014 (g)		1,050,185		1,074,470
2.000% due 01/15/2016 (g)		347,052		352,149
2.125% due 01/15/2019 (g)		164,387		169,627
2.375% due 04/15/2011		500,545		515,561
2.375% due 01/15/2017 (g)		293,477		306,042
2.375% due 01/15/2025 (g)		21,323		21,896
2.375% due 01/15/2027 (g)		83,876		86,760
2.500% due 07/15/2016		949		996
2.500% due 01/15/2029		14,900		15,808
2.500% due 07/15/2016 (g)		885,778		929,236
2.625% due 07/15/2017 (g)		627,171		667,741
3.000% due 07/15/2012 (g)		1,018,304		1,079,084
3.375% due 01/15/2012		86,879		92,418
3.500% due 01/15/2011 (g)		561,206		586,110
3.625% due 04/15/2028		29,668		36,084
3.875% due 04/15/2029		30,188		38,207
4.250% due 01/15/2010		6,844		6,980
U.S. Treasury Notes
0.875% due 04/30/2011 (h)		1,123		1,120
Total U.S. Treasury Obligations (Cost $10,087,655)				10,226,735
MORTGAGE-BACKED SECURITIES 3.2%
American Home Mortgage Assets
2.260% due 11/25/2046		11,156		5,117
Banc of America Commercial Mortgage, Inc.
5.492% due 02/10/2051		10,140		7,146
5.837% due 06/10/2049		7,100		5,045
5.929% due 05/10/2045		9,700		8,117
5.935% due 02/10/2051		7,100		5,747
Banc of America Funding Corp.
0.605% due 05/20/2035		594		275
6.102% due 01/20/2047		1,138		606
Banc of America Large Loan, Inc.
0.829% due 08/15/2029		486		361
BCAP LLC Trust
0.484% due 01/25/2037		13,937		5,325
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		6,189		5,318
2.500% due 08/25/2035		4,692		4,109
2.900% due 03/25/2035		15,667		13,556
4.471% due 05/25/2033		227		208
4.550% due 08/25/2035		9,694		8,563
4.828% due 01/25/2035		6,620		5,583
5.733% due 02/25/2036		1,334		786
Bear Stearns Alt-A Trust
0.534% due 12/25/2046		325		32
5.490% due 09/25/2035		1,174		638
Chase Mortgage Finance Corp.
5.426% due 03/25/2037		7,239		4,442
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		58		49
5.888% due 12/10/2049		914		725
Citigroup Mortgage Loan Trust, Inc.
2.850% due 12/25/2035		1,624		1,326
4.098% due 08/25/2035		1,587		1,153
4.248% due 08/25/2035		8,688		6,919
4.735% due 12/25/2035		1,171		652
4.748% due 08/25/2035		7,358		5,857
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.886% due 11/15/2044		3,600		2,880
CitiMortgage Alternative Loan Trust
6.000% due 06/25/2037		1,647		1,061
Commercial Mortgage Pass-Through Certificates
6.010% due 12/10/2049		3,680		2,935
Countrywide Alternative Loan Trust
0.395% due 09/20/2046		1,400		1,366
0.494% due 05/25/2047		5,471		2,056
0.495% due 02/20/2047		12,685		4,939
0.510% due 12/20/2046		1,046		420
0.594% due 12/25/2035		812		382
2.340% due 12/25/2035		2,466		1,118
5.750% due 03/25/2037		1,100		505
5.889% due 11/25/2035		1,343		754
Countrywide Home Loan Mortgage Pass-Through Trust
0.654% due 06/25/2035		5,907		4,293
5.364% due 10/20/2035		1,445		697
6.069% due 09/25/2047		3,521		2,073
Deutsche ALT-A Securities, Inc.
Alternate Loan Trust
0.394% due 02/25/2037		469		434
0.414% due 10/25/2036		2,416		2,072
5.500% due 12/25/2035		1,500		849
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		3,914		3,225
GS Mortgage Securities Corp. II
5.560% due 11/10/2039		2,379		1,947
GSR Mortgage Loan Trust
4.469% due 09/25/2035		19,337		16,288
5.347% due 11/25/2035		1,193		854
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		1,476		1,364
0.493% due 07/19/2046		14,935		6,200
0.533% due 05/19/2035		2,065		926
5.849% due 08/19/2036		2,930		1,772
Homebanc Mortgage Trust
0.494% due 12/25/2036		1,615		705
5.797% due 04/25/2037		1,383		963
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		1,105		1,037
Indymac IMSC Mortgage Loan Trust
0.494% due 07/25/2047		6,396		2,455
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		4,507		4,199
0.504% due 09/25/2046		11,720		4,578
5.099% due 09/25/2035		1,269		786
5.268% due 06/25/2035		1,257		770
JPMorgan Chase Commercial Mortgage Securities Corp.
5.429% due 12/12/2043		9,790		7,941
5.440% due 06/12/2047		730		552
5.794% due 02/12/2051		9,500		7,123
LB-UBS Commercial Mortgage Trust
5.424% due 02/15/2040		3,750		2,737
5.430% due 02/15/2040		2,525		1,832
5.661% due 03/15/2039		9,810		8,281
5.866% due 09/15/2045		2,000		1,535
Luminent Mortgage Trust
0.484% due 12/25/2036		8,677		3,412
0.514% due 10/25/2046		3,045		1,256
MASTR Adjustable Rate Mortgages Trust
0.554% due 05/25/2037		1,388		592
Merrill Lynch Alternative Note Asset
0.614% due 03/25/2037		2,000		698
5.557% due 06/25/2037		1,574		726
Merrill Lynch Countrywide Commercial Mortgage Trust
5.700% due 09/12/2049		2,200		1,524
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		1,563		844
Merrill Lynch Mortgage Trust
5.840% due 05/12/2039		10,170		8,309
Merrill Lynch Mortgage-Backed Securities Trust
5.845% due 04/25/2037		7,273		3,909
Morgan Stanley Capital I
5.447% due 02/12/2044		3,470		2,661
6.076% due 06/11/2049		11,235		8,493
Opteum Mortgage Acceptance Corp.
0.574% due 07/25/2035		938		646
Residential Accredit Loans, Inc.
0.614% due 08/25/2035		3,099		1,420
2.049% due 08/25/2035		971		435
5.880% due 02/25/2036		1,152		590
Residential Asset Securitization Trust
0.764% due 12/25/2036		2,112		947
6.250% due 10/25/2036		3,000		1,520
6.500% due 08/25/2036		1,000		479
Securitized Asset Sales, Inc.
4.848% due 11/26/2023		84		76
Sequoia Mortgage Trust
5.102% due 01/20/2047		2,761		1,573
Structured Adjustable Rate Mortgage Loan Trust
5.950% due 02/25/2036		1,217		646
Structured Asset Mortgage Investments, Inc.
0.384% due 08/25/2036		2,113		2,024
0.534% due 05/25/2046		6,531		2,595
Structured Asset Securities Corp.
0.364% due 05/25/2036		198		184
4.440% due 12/25/2034		53		51
4.504% due 10/25/2035		3,511		2,418
TBW Mortgage-Backed Pass-Through Certificates
0.414% due 09/25/2036		96		96
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046		1,079		970
0.434% due 09/25/2046		16,809		15,430
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		37,720		27,184
5.617% due 05/15/2046		1,900		1,652
WaMu Mortgage Pass-Through Certificates
2.080% due 01/25/2047		8,287		2,901
2.100% due 04/25/2047		12,159		5,081
2.150% due 12/25/2046		3,291		1,418
2.340% due 08/25/2046		1,985		711
2.540% due 11/25/2042		641		370
2.840% due 11/25/2046		2,639		1,728
3.127% due 07/25/2046		14,884		6,271
5.581% due 12/25/2036		12,236		7,549
5.833% due 02/25/2037		12,119		7,598
5.928% due 09/25/2036		6,065		3,909
Wells Fargo Mortgage-Backed Securities Trust
3.581% due 09/25/2034		4,186		3,643
Total Mortgage-Backed Securities (Cost $426,738)				339,098
ASSET-BACKED SECURITIES 0.5%
Aames Mortgage Investment Trust
0.464% due 08/25/2035		149		141
ACE Securities Corp.
0.364% due 07/25/2036		162		160
0.374% due 10/25/2036		194		126
American Express Credit Account Master Trust
1.269% due 08/15/2012		10,300		10,325
Argent Securities, Inc.
0.364% due 10/25/2036		186		183
Asset-Backed Funding Certificates
0.374% due 11/25/2036		308		295
0.664% due 06/25/2034		8,608		4,228
Bear Stearns Asset-Backed Securities Trust
0.364% due 11/25/2036		436		384
0.394% due 10/25/2036		619		549
0.644% due 01/25/2036		387		354
0.764% due 03/25/2043		69		62
Bravo Mortgage Asset Trust
0.444% due 07/25/2036		25		25
Citigroup Mortgage Loan Trust, Inc.
0.394% due 01/25/2037		415		301
Countrywide Asset-Backed Certificates
0.364% due 03/25/2037		1,229		1,210
0.424% due 10/25/2046		2,720		2,562
First Franklin Mortgage Loan Asset-Backed Certificates
0.364% due 11/25/2036		6,521		6,144
Fremont Home Loan Trust
0.364% due 10/25/2036		448		280
0.374% due 01/25/2037		682		443
GSAA Trust
0.614% due 03/25/2037		2,000		659
GSAMP Trust
0.354% due 10/25/2046		679		643
0.384% due 10/25/2036		85		68
HSI Asset Securitization Corp. Trust
0.364% due 10/25/2036		834		492
Indymac Residential Asset-Backed Trust
0.364% due 11/25/2036		96		95
JPMorgan Mortgage Acquisition Corp.
0.364% due 07/25/2036		886		840
0.364% due 08/25/2036		1,352		1,256
0.377% due 11/25/2036		417		394
Lehman XS Trust
0.394% due 11/25/2046		4,395		3,679
Long Beach Mortgage Loan Trust
0.354% due 11/25/2036		234		217
MBNA Credit Card Master Note Trust
0.419% due 12/15/2011		1,300		1,300
Merrill Lynch Mortgage Investors, Inc.
0.364% due 05/25/2037		844		828
0.384% due 07/25/2037		1,368		1,279
Morgan Stanley ABS Capital I
0.354% due 10/25/2036		1,770		1,659
0.364% due 09/25/2036		1,031		988
Morgan Stanley IXIS Real Estate Capital Trust
0.364% due 11/25/2036		306		290
Morgan Stanley Mortgage Loan Trust
0.674% due 04/25/2037		2,000		729
Option One Mortgage Loan Trust
0.354% due 02/25/2037		27		27
Park Place Securities, Inc.
0.574% due 09/25/2035		401		255
Residential Asset Securities Corp.
0.384% due 11/25/2036		1,861		1,834
Securitized Asset-Backed Receivables LLC Trust
0.364% due 09/25/2036		389		342
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		1,584		854
Specialty Underwriting & Residential Finance
0.359% due 11/25/2037		134		130
Structured Asset Investment Loan Trust
0.364% due 07/25/2036		266		242
Structured Asset Securities Corp.
0.364% due 10/25/2036		2,977		2,720
Total Asset-Backed Securities (Cost $59,182)				49,592
SOVEREIGN ISSUES 0.1%
Export-Import Bank of Korea
1.386% due 10/04/2011		15,200		15,240
Total Sovereign Issues (Cost $15,190)				15,240
FOREIGN CURRENCY-DENOMINATED ISSUES 3.0%
Brazil Notas do Tesouro Nacional Series B
6.000% due 08/15/2010	BRL	5,511		5,209
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012		46,160		23,058
Credit Logement S.A.
1.874% due 06/23/2015	EUR	1,400		1,727
General Electric Capital Corp.
5.500% due 09/15/2067		34,400		27,990
6.500% due 09/15/2067	GBP	9,400		9,666
Green Valley Ltd.
5.045% due 01/10/2011	EUR	5,400		7,331
Japan Government CPI Linked Bond
0.800% due 12/10/2015	JPY	5,533,920		50,647
1.100% due 12/10/2016		10,702,010		98,117
1.200% due 06/10/2017		8,613,720		78,302
Lehman Brothers Holdings, Inc.
1.121% due 06/05/2012 (a)		2,100,000		1,744
Merrill Lynch & Co., Inc.
1.855% due 07/22/2014	EUR	5,000		5,452
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		5,200		2,517
Silver Arrow S.A.
0.915% due 08/15/2014		2,333		3,259
Svenska Handelsbanken AB
1.830% due 03/16/2015		2,900		3,826
Total Foreign Currency-Denominated Issues (Cost $348,428)				318,845
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.1%
Wells Fargo & Co.
7.500% due 12/31/2049		8,200		6,437
Total Convertible Preferred Stocks (Cost $8,200)				6,437
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 12.7%
CERTIFICATES OF DEPOSIT 0.1%
Sao Paolo IMI NY
1.272% due 06/09/2010	$	13,500		13,499
REPURCHASE AGREEMENTS 3.9%
Barclays Capital, Inc.
0.020% due 07/01/2009		29,000		29,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $30,019. Repurchase proceeds are $29,000.)
JPMorgan Chase Bank N.A.
0.090% due 07/01/2009		137,000		137,000
(Dated 06/30/2009. Collateralized by Freddie Mac 2.170% - 2.230% due
04/23/2012 - 05/07/2012 valued at $140,446. Repurchase proceeds are $137,000.)
0.150% due 07/08/2009		221,750		221,750
(Dated 07/01/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.625% due 07/15/2017 valued at $221,705. Repurchase proceeds are $221,751.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		31,863		31,863
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 - 08/27/2009 valued at $32,504. Repurchase proceeds are $31,863.)
				419,613
U.S. TREASURY BILLS 3.0%
0.372% due 07/02/2009 - 11/19/2009 (b)(e)(f)(h)		324,869		324,843
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 5.7%
		60,313,175		603,674
Total Short-Term Instruments (Cost $1,361,630)				1,361,629
PURCHASED OPTIONS (j) 0.1% (Cost $10,642)				6,776
Total Investments 150.0% (Cost $16,117,488)			$	16,037,084
Written Options (k) (0.5%) (Premiums $32,808)				(46,932	)
Other Assets and Liabilities (Net) (49.5%)				(5,296,290	)
Net Assets 100.0%			$	10,693,862

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $44,557 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) Securities with an aggregate market value of $5,450 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(g) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $2,790,830 at a weighted average interest rate of 0.391%. On June 30, 2009, securities valued at $3,385,138 were pledged as collateral for reverse repurchase agreements.

(h) Securities with an aggregate market value of $9,438 and cash of $30 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2010	319	$	(131	)
90-Day Euribor June Futures	Long	06/2010	303		147
90-Day Euribor September Futures	Long	09/2010	834		(24	)
90-Day Eurodollar December Futures	Long	12/2009	671		(15	)
90-Day Eurodollar June Futures	Long	06/2010	1,000		575
90-Day Eurodollar March Futures	Long	03/2010	1,037		569
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	45		295
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	1,448		(445	)
				$	971

(i) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Altria Group, Inc.	GSC	(1.417	%)	03/20/2019	1.088	%	$	20,000	$	(524	)	$	0	$	(524	)
AutoZone, Inc.	BOA	(1.110	%)	06/20/2016	0.518	%		10,000		(372	)		0		(372	)
Black & Decker Corp.	BOA	(1.020	%)	12/20/2016	1.565	%		5,000		168			0		168
Burlington Northern Santa Fe Corp.	BCLY	(0.720	%)	06/20/2017	0.512	%		2,500		(37	)		0		(37	)
Computer Sciences Corp.	BCLY	(0.870	%)	03/20/2018	0.573	%		2,500		(56	)		0		(56	)
Consolidated Natural Gas Co.	UBS	(0.590	%)	03/20/2014	0.555	%		1,000		(2	)		0		(2	)
Constellation Energy Group, Inc.	JPM	(0.960	%)	06/20/2015	1.799	%		1,900		81			0		81
Con-way, Inc.	BOA	(1.834	%)	03/20/2018	2.227	%		10,000		256			0		256
CSX Corp.	CSFB	(1.050	%)	03/20/2018	0.775	%		5,000		(102	)		0		(102	)
DISH DBS Corp.	BCLY	(3.100	%)	12/20/2011	2.667	%		1,000		(11	)		0		(11	)
DISH DBS Corp.	CITI	(3.650	%)	12/20/2013	3.465	%		5,000		(41	)		0		(41	)
DISH DBS Corp.	GSC	(3.200	%)	12/20/2011	2.667	%		2,000		(27	)		0		(27	)
FirstEnergy Corp.	CSFB	(0.500	%)	12/20/2011	1.861	%		2,500		80			0		80
Home Depot, Inc.	GSC	(1.920	%)	03/20/2016	0.918	%		2,500		(149	)		0		(149	)
Hospira, Inc.	MSC	(1.030	%)	06/20/2014	0.723	%		2,500		(36	)		0		(36	)
International Lease Finance Corp.	BCLY	(1.540	%)	12/20/2013	9.030	%		8,000		1,874			0		1,874
International Lease Finance Corp.	DUB	(1.600	%)	12/20/2013	9.030	%		1,700		395			0		395
Kroger Co.	BOA	(0.900	%)	09/20/2017	0.821	%		5,000		(29	)		0		(29	)
Kroger Co.	MSC	(0.595	%)	03/20/2015	0.889	%		13,800		209			0		209
Ltd. Brands, Inc.	MSC	(3.113	%)	09/20/2017	2.573	%		2,000		(69	)		0		(69	)
Macy’s Retail Holdings, Inc.	DUB	(2.110	%)	09/20/2017	3.432	%		2,000		154			0		154
Macy’s Retail Holdings, Inc.	JPM	(2.000	%)	03/20/2012	4.204	%		1,500		80			0		80
Marsh & McLennan Cos., Inc.	BOA	(1.180	%)	09/20/2015	0.552	%		2,500		(90	)		0		(90	)
Motorola, Inc.	DUB	(2.600	%)	12/20/2017	2.330	%		4,000		(73	)		0		(73	)
Nabors Industries, Inc.	DUB	(0.630	%)	03/20/2018	1.382	%		5,000		264			0		264
NiSource Finance Corp.	MSC	(1.470	%)	03/20/2019	2.136	%		6,000		284			0		284
Nucor Corp.	CSFB	(0.486	%)	12/20/2017	0.576	%		4,000		26			0		26
Pearson Dollar Finance PLC	SOG	(0.900	%)	06/20/2013	0.467	%		1,500		(25	)		0		(25	)
Pearson Dollar Finance Two PLC	CITI	(0.570	%)	06/20/2013	0.467	%		1,500		(6	)		0		(6	)
Qwest Capital Funding, Inc.	JPM	(3.250	%)	09/20/2009	5.644	%		12,000		55			0		55
Rexam PLC	BCLY	(1.450	%)	06/20/2013	2.041	%		800		17			0		17
Rexam PLC	CITI	(1.450	%)	06/20/2013	2.041	%		12,000		253			0		253
Ryder System, Inc.	BOA	(0.850	%)	03/20/2013	2.291	%		6,900		337			0		337
Sempra Energy	BOA	(0.580	%)	06/20/2018	0.947	%		3,000		81			0		81
Sempra Energy	DUB	(0.550	%)	06/20/2018	0.947	%		1,500		44			0		44
Tate & Lyle International Finance PLC	BCLY	(1.150	%)	06/20/2016	1.520	%		3,500		76			0		76
Telecom Italia Capital S.A.	GSC	(1.550	%)	06/20/2018	1.962	%		2,500		71			0		71
Telecom Italia Capital S.A.	JPM	(1.530	%)	06/20/2018	1.962	%		7,500		223			0		223
Tyco Electronics Group S.A.	DUB	(0.950	%)	12/20/2017	2.072	%		3,500		259			0		259
Tyco International Finance S.A.	BOA	(0.750	%)	12/20/2013	1.285	%		8,000		176			0		176
Tyco International Finance S.A.	BOA	(1.120	%)	12/20/2019	1.119	%		11,000		(4	)		0		(4	)
Viacom, Inc.	BOA	(1.930	%)	06/20/2016	1.593	%		2,500		(51	)		0		(51	)
Viacom, Inc.	BOA	(1.110	%)	12/20/2017	1.556	%		4,000		120			0		120
Weatherford International Ltd.	BOA	(0.560	%)	03/20/2016	1.318	%		5,000		220			0		220
									$	4,099		$	0	$	4,099

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
FirstEnergy Corp.	MSC	0.940	%	06/20/2017	2.086	%	$	5,000	$	(363	)	$	31	$	(394	)
Ford Motor Credit Co. LLC	BCLY	3.800	%	09/20/2012	10.284	%		3,000		(478	)		0		(478	)
Ford Motor Credit Co. LLC	JPM	3.850	%	09/20/2012	10.284	%		3,300		(522	)		0		(522	)
Ford Motor Credit Co. LLC	MSC	3.800	%	09/20/2012	10.284	%		4,500		(717	)		0		(717	)
General Electric Capital Corp.	BCLY	1.020	%	09/20/2010	3.944	%		2,500		(86	)		0		(86	)
General Electric Capital Corp.	BCLY	1.010	%	03/20/2013	4.347	%		22,200		(2,368	)		0		(2,368	)
General Electric Capital Corp.	BOA	0.850	%	12/20/2009	3.899	%		5,100		(72	)		0		(72	)
General Electric Capital Corp.	CITI	1.120	%	12/20/2010	4.048	%		2,000		(82	)		0		(82	)
General Electric Capital Corp.	GSC	0.830	%	12/20/2009	3.899	%		4,000		(57	)		0		(57	)
General Electric Capital Corp.	RBS	1.100	%	09/20/2009	3.899	%		1,600		(10	)		0		(10	)
GMAC LLC	BOA	3.100	%	06/20/2011	11.039	%		3,500		(459	)		0		(459	)
GMAC LLC	JPM	5.400	%	09/20/2012	10.203	%		3,000		(349	)		0		(349	)
GMAC LLC	JPM	5.450	%	09/20/2012	10.203	%		3,000		(346	)		0		(346	)
GMAC LLC	MSC	7.500	%	09/20/2012	10.203	%		10,000		(644	)		0		(644	)
GMAC LLC	UBS	3.620	%	06/20/2011	11.039	%		1,000		(122	)		0		(122	)
Goldman Sachs Group, Inc.	CSFB	0.740	%	09/20/2012	1.683	%		6,100		(174	)		0		(174	)
Goldman Sachs Group, Inc.	JPM	0.750	%	09/20/2012	1.683	%		7,100		(200	)		0		(200	)
Goldman Sachs Group, Inc.	MLP	0.750	%	09/20/2012	1.683	%		4,000		(113	)		0		(113	)
Goldman Sachs Group, Inc.	MSC	0.800	%	09/20/2012	1.683	%		500		(13	)		0		(13	)
Goldman Sachs Group, Inc.	RBS	0.780	%	09/20/2012	1.683	%		2,000		(54	)		0		(54	)
									$	(7,229	)	$	31	$	(7,260	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.IG-9 5-Year Index	MLP	(0.600	%)	12/20/2012	$	85,888	$	3,437	$	5,195	$	(1,758	)
CDX.IG-9 10-Year Index	BCLY	(0.800	%)	12/20/2017		193,345		10,907		1,816		9,091
CDX.IG-9 10-Year Index	MSC	(0.800	%)	12/20/2017		99,162		5,594		1,412		4,182
CDX.IG-12 5-Year Index	DUB	(1.000	%)	06/20/2014		55,800		793		1,757		(964	)
CDX.IG-12 5-Year Index	GSC	(1.000	%)	06/20/2014		188,500		2,677		4,935		(2,258	)
CDX.IG-12 5-Year Index	MSC	(1.000	%)	06/20/2014		273,200		3,879		10,966		(7,087	)
							$	27,287	$	26,081	$	1,206

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Receive	1-Month EUR- CPTFEMU Index	2.275	%	10/15/2016	UBS	EUR	26,000	$	272		$	0		$	272
Pay	1-Month EUR- FRCPXTOB Index	2.103	%	09/14/2010	BNP		30,000		1,455			0			1,455
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP		32,700		1,580			(77	)		1,657
Pay	1-Month EUR-FRCPXTOB Index	2.103	%	10/15/2010	BCLY		4,900		274			0			274
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		23,700		1,362			55			1,307
Pay	1-Month EUR-FRCPXTOB Index	2.040	%	02/21/2011	BNP		21,200		896			0			896
Pay	1-Month EUR-FRCPXTOB Index	2.028	%	10/15/2011	JPM		25,900		1,008			0			1,008
Pay	1-Month EUR-FRCPXTOB Index	2.095	%	10/15/2011	UBS		39,400		1,736			0			1,736
Pay	1-Month EUR-FRCPXTOB Index	1.970	%	12/15/2011	JPM		12,300		313			0			313
Pay	1-Month EUR-FRCPXTOB Index	1.988	%	12/15/2011	BNP		71,500		1,745			0			1,745
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS		3,700		64			0			64
Pay	1-Month EUR-FRCPXTOB Index	1.950	%	03/30/2012	RBS		8,500		143			0			143
Pay	1-Month EUR-FRCPXTOB Index	2.238	%	06/20/2012	BCLY		35,000		1,169			0			1,169
Pay	1-Month EUR-FRCPXTOB Index	2.138	%	01/19/2016	BCLY		32,700		195			0			195
Pay	1-Month EUR-FRCPXTOB Index	2.150	%	01/19/2016	BNP		45,000		285			27			258
Pay	1-Month EUR-FRCPXTOB Index	2.350	%	10/15/2016	UBS		26,000		(830	)		0			(830	)
Pay	1-Month EUR-FRCPXTOB Index	2.353	%	10/15/2016	JPM		25,000		(816	)		0			(816	)
Pay	1-Year BRL-CDI	10.115	%	01/02/2012	MSC	BRL	46,000		(1,015	)		(336	)		(679	)
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		206,000		(2,765	)		(49	)		(2,716	)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		13,900		524			92			432
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	JPM		20,000		753			69			684
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		79,700		3,004			462			2,542
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	DUB	$	19,900		1,046			700			346
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	DUB		86,800		2,671			547			2,124
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	DUB		3,900		24			0			24
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	DUB	GBP	700		50			12			38
Pay	GBP-UKRPI Index	3.103	%	11/14/2016	UBS		35,000		686			0			686
Pay	GBP-UKRPI Index	3.250	%	12/14/2017	BCLY		7,500		345			31			314
Pay	GBP-UKRPI Index	3.183	%	12/19/2017	RBS		24,200		689			48			641
Pay	GBP-UKRPI Index	3.110	%	01/03/2018	GSC		39,100		771			0			771
Pay	GBP-UKRPI Index	3.381	%	06/14/2027	RBS		8,000		(452	)		0			(452	)
Pay	GBP-UKRPI Index	3.440	%	09/10/2027	RBS		11,800		(484	)		0			(484	)
Pay	GBP-UKRPI Index	3.425	%	10/17/2027	BCLY		4,250		(195	)		0			(195	)
Pay	GBP-UKRPI Index	3.488	%	12/06/2027	RBS		4,500		(105	)		0			(105	)
								$	16,398		$	1,581		$	14,817

Total Return Swaps on Commodities

Pay/Receive Commodity Exchange	Reference Entity	(Pay)/Receive Fixed Price Per Unit			Maturity Date	Counterparty	# of Units	Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Receive	CBOT Corn December Futures	$	445.000		11/26/2010	MSC	2,000	$	(817	)	$	0	$	(817	)
Receive	CBOT Corn December Futures		447.000		11/26/2010	MSC	3,110		(1,331	)		0		(1,331	)
Pay	CBOT Wheat December Futures		(670.000	)	11/20/2009	CITI	120		124			0		124
Pay	CBOT Wheat December Futures		(576.850	)	11/25/2009	MSC	1,000		110			0		110
Pay	CBOT Wheat December Futures		(577.000	)	11/25/2009	MSC	1,500		168			0		168
Pay	CBOT Wheat December Futures		(589.000	)	11/25/2009	MSC	500		116			0		116
Pay	CBOT Wheat December Futures		(624.000	)	11/25/2009	MSC	1,000		580			0		580
Pay	CBOT Wheat December Futures		(627.000	)	11/25/2009	MSC	1,350		823			0		823
Pay	CBOT Wheat December Futures		(637.810	)	11/25/2009	MSC	2,000		1,434			0		1,434
Pay	ICE Gas Oil June Futures		(472.479	)	06/09/2010	MSC	29		(4,987	)		0		(4,987	)
Pay	ICE Gas Oil June Futures		(585.123	)	06/09/2010	MSC	13		(798	)		0		(798	)
Receive	ICE Gas Oil June Futures		673.000		06/09/2010	MSC	14		(363	)		0		(363	)
Receive	KCBT Wheat December Futures		680.000		11/20/2009	CITI	120		(99	)		0		(99	)
Receive	KCBT Wheat December Futures		604.500		11/25/2009	MSC	1,500		(112	)		0		(112	)
Receive	KCBT Wheat December Futures		610.000		11/25/2009	MSC	500		(65	)		0		(65	)
Receive	KCBT Wheat December Futures		636.000		11/25/2009	MSC	1,000		(388	)		0		(388	)
Receive	KCBT Wheat December Futures		638.510		11/25/2009	MSC	1,350		(558	)		0		(558	)
Receive	KCBT Wheat December Futures		660.000		11/25/2009	MSC	2,000		(1,254	)		0		(1,254	)
Pay	NYMEX Heating Oil June Futures		(209.080	)	05/27/2010	MSC	4,200		286			0		286
Receive	NYMEX Heating Oil June Futures		141.000		05/27/2010	MSC	9,156		5,520			0		5,520
Receive	NYMEX Heating Oil June Futures		177.000		05/27/2010	MSC	4,200		1,042			0		1,042
Receive	NYSE LIFFE Mill Wheat Euro November Futures		147.500		11/09/2009	MSC	27		(304	)		0		(304	)
								$	(873	)	$	0	$	(873	)

Total Return Swaps on Indices

Pay/Receive Total Return on Reference Index	Index	# of Shares or Units	Floating Rate(6)	Notional Amount		Maturity Date	Counterparty	Unrealized Appreciation/ (Depreciation)
Receive	DJUBSTR Index	15,734,339	3-Month U.S. Treasury Bill rate plus a specified spread	$	1,392,797	07/27/2009	BCLY	$	(13,423	)
Receive	GSCITR Index	27,878	3-Month U.S. Treasury Bill rate plus a specified spread		17,310	07/27/2009	BCLY		(226	)
Receive	DJUBSTR Index	3,114,387	3-Month U.S. Treasury Bill rate plus a specified spread		995,080	07/27/2009	CITI		(11,388	)
Receive	DJUBSTR Index	8,249,441	3-Month U.S. Treasury Bill rate plus a specified spread		1,187,010	07/27/2009	CSFB		(13,187	)
Receive	DJUBSTR Index	4,851,014	3-Month U.S. Treasury Bill rate plus a specified spread		1,279,640	07/27/2009	GSC		(14,719	)
Receive	DJUBSTR Index	3,805,958	3-Month U.S. Treasury Bill rate plus a specified spread		1,210,110	07/27/2009	JPM		(13,752	)
Receive	DJUBSTR Index	399,241	3-Month U.S. Treasury Bill rate plus a specified spread		99,207	08/27/2009	JPM		(1,109	)
Receive	DJUBSTR Index	3,123,828	3-Month U.S. Treasury Bill rate plus a specified spread		776,240	07/27/2009	MLP		(8,683	)
Receive	DJUBSTR Index	8,563,715	3-Month U.S. Treasury Bill rate plus a specified spread		2,259,250	07/13/2009	MSC		(25,307	)
Pay	DJUBHGTR Index	33,198	3-Month U.S. Treasury Bill rate plus a specified spread		17,240	07/27/2009	MSC		277
Pay	DJUBSTR Index	165,801	3-Month U.S. Treasury Bill rate plus a specified spread		41,200	07/27/2009	MSC		461
Receive	DJUBSTR Index	5,558,629	3-Month U.S. Treasury Bill rate plus a specified spread		1,454,020	07/27/2009	MSC		(16,272	)
Pay	SPGCCNTR Index	118,061	3-Month U.S. Treasury Bill rate plus a specified spread		13,990	07/27/2009	MSC		1,330
Receive	DJUBSTR Index	1,014,367	3-Month U.S. Treasury Bill rate plus a specified spread		252,060	07/27/2009	RBS		(2,819	)
Receive	DJUBSTR Index	333,655	3-Month U.S. Treasury Bill rate plus a specified spread		82,910	07/27/2009	UBS		(928	)
								$	(119,745	)

⁽⁶⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(j) Purchased options outstanding on June 30, 2009:

Options on Commodity Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Market Value
Call - OTC NYMEX WTI Crude December Futures	$	73.250	12/31/2009	516	$	2,167	$	2,903
Call - OTC NYMEX WTI Crude December Futures		102.000	12/31/2009	502		4,428		201
Call - OTC NYMEX WTI Crude December Futures		86.500	12/31/2010	516		3,034		3,048
Put - OTC SPGCCLP December Futures		432.180	12/16/2009	21,785,000		1,013		624
					$	10,642	$	6,776

(k) Written options outstanding on June 30, 2009:

Options on Commodity Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Call - OTC NYMEX Gulf Coast 54-Grade Jet Fuel December Futures	$	200.000	12/31/2009	516	$	2,167	$	2,863
Call - OTC NYMEX Gulf Coast 54-Grade Jet Fuel December Futures		250.000	12/31/2010	516		3,034		3,558
Call - OTC NYMEX Heating Oil December Futures		300.000	12/31/2009	502		4,428		142
Put - OTC NYMEX WTI Crude January Futures		60.000	12/16/2009	298		1,055		886
					$	10,684	$	7,449

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	120.000	08/21/2009	1,695	$	667	$	700
Call - OTC DJUBS January Futures		245.000	01/04/2011	37,500,000		1,492		133
Call - OTC DJUBS January Futures		250.000	01/11/2011	19,800,000		756		64
Call - OTC DJUBS October Futures		230.000	10/19/2010	68,000,000		0		194
Call - OTC GSCITR July Futures		452.500	07/06/2009	21,600,000		209		66
Call - OTC GSCITR July Futures		467.823	07/17/2009	26,300,000		329		149
Put - CBOT U.S. Treasury 10-Year Note September Futures		110.000	08/21/2009	1,648		1,110		368
Put - CBOT U.S. Treasury 10-Year Note September Futures		112.000	08/21/2009	47		18		22
Put - CME 90-Day Eurodollar September Futures		98.500	09/14/2009	321		94		14
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	504		99		26
Put - OTC DJUBS January Futures		160.000	01/04/2011	37,500,000		2,035		8,190
Put - OTC DJUBS January Futures		160.000	01/11/2011	19,800,000		1,071		4,309
Put - OTC DJUBS October Futures		150.000	10/19/2010	68,000,000		0		13,039
					$	7,880	$	27,274

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009	$	188,800	$	1,400	$	1,049
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009		22,800		397		555
Put - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		22,800		524		415
Call - OTC 7-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Receive	2.950	%	08/21/2009		25,000		180		144
Put - OTC 7-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		25,000		124		129
Call - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009		76,500		1,071		1,860
Put - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		76,500		2,157		1,392
Put - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		64,000		2,058		1,153
Put - OTC 7-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		153,000		1,346		850
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		210,300		1,882		1,168
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		194,000		3,105		3,494
									$	14,244	$	12,209

(l) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.000	%	07/01/2039	$	64,200	$	64,331	$	65,334
Fannie Mae	5.500	%	07/01/2039		1,007,000		1,028,700		1,039,255
Fannie Mae	6.000	%	07/01/2039		202,800		210,703		211,958
Freddie Mac	5.500	%	07/01/2039		79,000		81,463		81,530
						$	1,385,197	$	1,398,077

(m) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	DUB	26,417	07/2009	$	0	$	(242	)	$	(242	)
Buy		GSC	29,630	07/2009		556		0			556
Sell	BRL	MLP	58,841	08/2009		0		(2,459	)		(2,459	)
Sell	CHF	JPM	11,295	07/2009		190		0			190
Buy		RBC	11,295	07/2009		0		(49	)		(49	)
Sell		RBC	11,295	10/2009		49		0			49
Sell	CNY	BCLY	97,841	07/2009		2		(4	)		(2	)
Buy		DUB	133,246	07/2009		0		(1,168	)		(1,168	)
Sell		DUB	128,389	07/2009		29		(5	)		24
Buy		HSBC	92,984	07/2009		0		(767	)		(767	)
Buy		BCLY	149,754	09/2009		3		(173	)		(170	)
Buy		CITI	42,401	09/2009		62		0			62
Buy		DUB	44,684	09/2009		3		0			3
Sell		DUB	23,254	09/2009		0		(84	)		(84	)
Buy		HSBC	133,642	09/2009		0		(211	)		(211	)
Sell		JPM	213,691	09/2009		0		(773	)		(773	)
Buy		BCLY	48,467	03/2010		0		(15	)		(15	)
Buy		BOA	26,482	03/2010		0		(2	)		(2	)
Buy		CITI	21,543	03/2010		0		(14	)		(14	)
Buy		DUB	97,463	03/2010		0		(77	)		(77	)
Buy		HSBC	20,729	03/2010		0		(10	)		(10	)
Buy		JPM	194	03/2010		0		0			0
Buy	EUR	BCLY	123	07/2009		1		0			1
Sell		BCLY	44,714	07/2009		0		(336	)		(336	)
Sell	GBP	BCLY	496	07/2009		0		(9	)		(9	)
Sell		CITI	10,643	07/2009		0		(1,043	)		(1,043	)
Sell		GSC	575	07/2009		0		(23	)		(23	)
Buy		MSC	10,002	07/2009		0		(69	)		(69	)
Buy		RBS	1,712	07/2009		132		0			132
Sell		MSC	10,002	08/2009		68		0			68
Sell	JPY	BNP	21,696,708	07/2009		0		(249	)		(249	)
Buy		DUB	21,696,708	07/2009		0		(729	)		(729	)
Sell		DUB	21,696,708	07/2009		735		0			735
Buy	MXN	CITI	1,997	11/2009		15		0			15
Sell		CITI	2,579	11/2009		0		(19	)		(19	)
Buy		JPM	1,580	11/2009		9		0			9
Buy	MYR	BCLY	1,978	08/2009		4		0			4
Sell	PHP	CITI	8,748	08/2009		1		0			1
Buy	SGD	CITI	86	07/2009		3		0			3
Sell		CITI	10,414	07/2009		0		(208	)		(208	)
Buy		DUB	157	07/2009		5		0			5
Buy		HSBC	10,443	07/2009		0		(12	)		(12	)
					$	1,867	$	(8,750	)	$	(6,883	)

(n) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)			Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	1,371,696		$	85,243		$	1,456,939
U.S. Government Agencies		0		2,122,848			0			2,122,848
U.S. Treasury Obligations		0		10,226,735			0			10,226,735
Short-Term Instruments		603,674		757,955			0			1,361,629
Other Investments++		6,437		851,558			10,938			868,933
Investments, at value	$	610,111	$	15,330,792		$	96,181		$	16,037,084
Short Sales, at value	$	0	$	(1,398,077	)	$	0		$	(1,398,077	)
Financial Derivative Instruments+++	$	971	$	(113,057	)	$	(48,514	)	$	(160,600	)
Total	$	611,082	$	13,819,658		$	47,667		$	14,478,407

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2008			Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0		$	29,514		$	24	$	0	$	1,971	$	53,734		$	85,243
Other Investments++		1,951			6,084			1		0		745		2,157			10,938
Investments, at value	$	1,951		$	35,598		$	25	$	0	$	2,716	$	55,891		$	96,181
Financial Derivative Instruments+++	$	(72,024	)	$	(6,795	)	$	0	$	0	$	31,229	$	(924	)	$	(48,514	)
Total	$	(70,073	)	$	28,803		$	25	$	0	$	33,945	$	54,967		$	47,667

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Convertible Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.7%
Berry Plastics Holding Corp.
8.161% due 06/05/2014	$	4	$	4
CSC Holdings, Inc.
9.750% due 08/01/2013		2,000		2,010
Daimler Finance North America LLC
4.320% due 08/03/2012		1,965		1,830
Verso Paper Holdings LLC
7.278% due 02/01/2013		135		30
8.028% due 02/01/2013		7		1
Total Bank Loan Obligations (Cost $4,020)				3,875
CORPORATE BONDS & NOTES 13.7%
BANKING & FINANCE 12.5%
American International Group, Inc.
1.217% due 10/18/2011 (g)		650		420
5.050% due 10/01/2015 (g)		1,500		810
8.250% due 08/15/2018 (g)		5,550		3,271
Capital One Bank USA N.A.
8.800% due 07/15/2019		32,300		33,053
CIT Group, Inc.
4.750% due 12/15/2010		4,700		3,691
Citigroup Capital XXI
8.300% due 12/21/2077		1,000		781
Citigroup Funding, Inc.
2.080% due 08/31/2012		2,000		1,777
Citigroup, Inc.
8.400% due 04/29/2049 (a)		1,000		751
Ford Motor Credit Co. LLC
7.375% due 02/01/2011		1,000		906
8.000% due 06/01/2014		8,000		6,482
GMAC LLC
6.000% due 04/01/2011		2,700		2,323
7.250% due 03/02/2011		10,000		9,077
7.500% due 12/31/2013		2,700		2,120
Goldman Sachs Group, Inc.
6.750% due 10/01/2037 (g)		225		200
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018 (g)		1,825		1,692
Residential Capital LLC
8.500% due 05/15/2010		3,500		3,062
SLM Corp.
5.000% due 10/01/2013		545		441
UBS AG
5.750% due 04/25/2018		1,850		1,688
				72,545
INDUSTRIALS 0.7%
Allison Transmission, Inc.
11.000% due 11/01/2015		1,300		1,033
Biomet, Inc.
11.625% due 10/15/2017		1,300		1,280
Continental Airlines, Inc.
9.798% due 04/01/2021		216		140
First Data Corp.
9.875% due 09/24/2015		1,300		930
Freescale Semiconductor, Inc.
4.504% due 12/15/2014		425		164
9.125% due 12/15/2014 (b)		498		187
				3,734
UTILITIES 0.5%
Telesat Canada
11.000% due 11/01/2015		1,700		1,751
12.500% due 11/01/2017		1,300		1,287
				3,038
Total Corporate Bonds & Notes (Cost $82,184)				79,317
CONVERTIBLE BONDS & NOTES 60.8%
BANKING & FINANCE 6.5%
Affiliated Managers Group, Inc.
3.950% due 08/15/2038		11,500		9,890
AngloGold Ashanti Holdings Finance PLC
3.500% due 05/22/2014		4,000		4,116
Boston Properties LP
2.875% due 02/15/2037		3,000		2,644
Citigroup Funding, Inc.
1.080% due 08/31/2012		2,000		1,656
NASDAQ OMX Group, Inc.
2.500% due 08/15/2013		1,500		1,237
National City Corp.
4.000% due 02/01/2011		9,500		9,381
U.S. Bancorp
0.000% due 12/11/2035		9,000		8,539
				37,463
INDUSTRIALS 49.5%
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		14,550		6,893
Alpha Natural Resources, Inc.
2.375% due 04/15/2015		625		502
Amgen, Inc.
0.375% due 02/01/2013		22,000		19,965
Anixter International, Inc.
1.000% due 02/15/2013		3,150		2,611
Archer-Daniels-Midland Co.
0.875% due 02/15/2014		11,975		10,957
ArvinMeritor, Inc.
4.625% due 03/01/2026		2,500		1,203
Beckman Coulter, Inc.
2.500% due 12/15/2036		5,000		4,969
Bill Barrett Corp.
5.000% due 03/15/2028		200		182
BioMarin Pharmaceutical, Inc.
1.875% due 04/23/2017		3,400		3,086
Cephalon, Inc.
2.500% due 05/01/2014		7,000		6,982
Chesapeake Energy Corp.
2.250% due 12/15/2038		23,475		14,525
2.500% due 05/15/2037		12,000		8,550
DST Systems, Inc.
4.125% due 08/15/2023		1,800		1,784
General Cable Corp.
1.000% due 10/15/2012		3,800		3,002
Goodrich Petroleum Corp.
3.250% due 12/01/2026		6,865		5,741
Hologic, Inc.
2.000% due 12/15/2037		19,015		13,596
Host Hotels & Resorts LP
2.625% due 04/15/2027		6,125		5,229
Intel Corp.
2.950% due 12/15/2035		11,628		9,826
Interpublic Group of Cos., Inc.
4.250% due 03/15/2023		1,100		982
Kinross Gold Corp.
1.750% due 03/15/2028		5,000		4,638
L-1 Identity Solutions, Inc.
3.750% due 05/15/2027		2,000		1,590
L-3 Communications Holdings, Inc.
3.000% due 08/01/2035		9,150		8,841
Leap Wireless International, Inc.
4.500% due 07/15/2014		2,275		1,797
Life Technologies Corp.
1.500% due 02/15/2024		9,850		9,813
LifePoint Hospitals, Inc.
3.500% due 05/15/2014		11,060		8,931
Linear Technology Corp.
3.000% due 05/01/2027		5,600		4,662
Massey Energy Co.
3.250% due 08/01/2015		600		399
Medtronic, Inc.
1.625% due 04/15/2013		17,000		15,746
Millipore Corp.
3.750% due 06/01/2026		9,800		9,726
Mylan, Inc.
1.250% due 03/15/2012		9,825		8,560
Nabors Industries, Inc.
0.940% due 05/15/2011		5,000		4,675
NetApp, Inc.
1.750% due 06/01/2013		3,000		2,651
Nortel Networks Corp.
1.750% due 04/15/2012 (a)		3,100		1,038
2.125% due 04/15/2014 (a)		6,950		2,328
NovaMed, Inc.
1.000% due 06/15/2012		2,400		1,779
Omnicare, Inc.
3.250% due 12/15/2035		3,775		2,633
Peabody Energy Corp.
4.750% due 12/15/2066		9,825		7,111
Pioneer Natural Resources Co.
2.875% due 01/15/2038		5,000		4,381
Rayonier TRS Holdings, Inc.
3.750% due 10/15/2012		7,600		7,296
SanDisk Corp.
1.000% due 05/15/2013		4,500		2,846
Stillwater Mining Co.
1.875% due 03/15/2028		2,000		1,183
Transocean, Inc.
1.500% due 12/15/2037		32,000		28,360
Trinity Industries, Inc.
3.875% due 06/01/2036		5,500		3,025
Ventas, Inc.
3.875% due 11/15/2011		7,500		7,153
Wright Medical Group, Inc.
2.625% due 12/01/2014		7,777		5,911
Wyeth
0.965% due 01/15/2024		10,000		10,031
				287,689
UTILITIES 4.8%
Covanta Holding Corp.
1.000% due 02/01/2027		3,875		3,381
Penn Virginia Corp.
4.500% due 11/15/2012		9,500		7,837
Qwest Communications International, Inc.
3.500% due 11/15/2025		13,800		13,662
Time Warner Telecom Holdings, Inc.
2.375% due 04/01/2026		3,700		3,113
				27,993
Total Convertible Bonds & Notes (Cost $361,098)				353,145
MUNICIPAL BONDS & NOTES 0.0%
Illinois State Finance Authority Sports Facilities Revenue Notes, Series 2007
9.000% due 03/01/2014		320		132
Total Municipal Bonds & Notes (Cost $320)				132
U.S. GOVERNMENT AGENCIES 0.8%
Freddie Mac
0.702% due 03/09/2011 (f)		332		333
0.896% due 05/05/2011 (f)		1,416		1,417
0.926% due 05/04/2011 (f)		2,355		2,361
0.937% due 08/05/2011 (f)		623		623
Total U.S. Government Agencies (Cost $4,732)				4,734
U.S. TREASURY OBLIGATIONS 0.3%
U.S. Treasury Notes
0.875% due 04/30/2011 (h)		1,633		1,629
Total U.S. Treasury Obligations (Cost $1,633)				1,629
FOREIGN CURRENCY-DENOMINATED ISSUES 0.0%
Kronos International, Inc.
6.500% due 04/15/2013	EUR	100		57
Magyar Telecom BV
4.372% due 02/01/2013		100		75
Total Foreign Currency-Denominated Issues (Cost $130)				132
	SHARES
COMMON STOCKS 0.0%
Elan Corp. PLC (c)		1		0
Time Warner Cable, Inc. (c)		2		0
Total Common Stocks (Cost $0)				0
CONVERTIBLE PREFERRED STOCKS 24.7%
BANKING & FINANCE 17.7%
American International Group, Inc.
8.500% due 08/01/2011		1,309,695		12,468
Bank of America Corp.
7.250% due 12/31/2049		10,000		8,360
CIT Group, Inc.
8.750% due 12/31/2049		324,000		5,657
Citigroup, Inc.
6.500% due 12/31/2049 (a)		850,000		28,526
KeyCorp
7.750% due 12/31/2049		50,000		3,475
Legg Mason, Inc.
7.000% due 06/30/2011		230,000		5,796
Lehman Brothers Holdings, Inc.
7.250% due 12/31/2049 (a)		9,000		14
Sovereign Capital Trust IV
4.375% due 03/01/2034		256,000		5,408
Wells Fargo & Co.
7.500% due 12/31/2049		42,198		33,124
				102,828
CONSUMER SERVICES 0.2%
Simon Property Group, Inc.
6.000% due 12/31/2049		25,400		1,196
ENERGY 2.1%
CMS Energy Corp.
4.500% due 12/31/2049		5,000		322
El Paso Corp.
4.990% due 12/31/2049		8,775		6,803
NRG Energy, Inc.
4.000% due 12/31/2049		4,000		5,196
				12,321
HEALTHCARE 1.3%
Schering-Plough Corp.
6.000% due 08/13/2010		34,000		7,712
INDUSTRIALS 3.4%
Freeport-McMoRan Copper & Gold, Inc.
5.500% due 12/31/2049		17,500		19,692
Total Convertible Preferred Stocks (Cost $138,968)				143,749
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 1.0%
REPURCHASE AGREEMENTS 0.7%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	4,112		4,112
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $4,199. Repurchase proceeds are $4,112.)
U.S. TREASURY BILLS 0.2%
0.119% due 07/02/2009 -
07/30/2009 (d)(f)		1,330		1,330
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (e) 0.1%
		18,361		184
Total Short-Term Instruments (Cost $5,626)				5,626
Total Investments 102.0% (Cost $598,711)			$	592,339
Written Options (j) (0.0%) (Premiums $203)				(66	)
Other Assets and Liabilities (Net) (2.0%)				(11,622	)
Net Assets 100.0%			$	580,651

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) Non-income producing security.

(d) Coupon represents a weighted average rate.

(e) Affiliated to the Fund.

(f) Securities with an aggregate market value of $4,782 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(g) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $9,741 at a weighted average interest rate of 0.800%. On June 30, 2009, securities valued at $10,598 were pledged as collateral for reverse repurchase agreements.

(h) Securities with an aggregate market value of $1,629 and cash of $107 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar December Futures	Long	12/2010	361	$	(220	)

(i) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American Express Co.	DUB	5.000	%	06/20/2014	2.244	%	$	15,000	$	1,808		$	1,454		$	354
Berkshire Hathaway Finance Corp.	JPM	3.250	%	03/20/2014	2.399	%		5,000		180			0			180
Berkshire Hathaway Finance Corp.	MSC	3.300	%	03/20/2014	2.399	%		10,000		380			0			380
Chrysler Financial	DUB	5.250	%	09/20/2012	8.590	%		2,000		(165	)		0			(165	)
Freescale Semiconductor, Inc.	DUB	2.600	%	12/20/2009	20.930	%		1,000		(82	)		0			(82	)
General Electric Capital Corp.	CITI	4.050	%	03/20/2014	4.336	%		20,000		(201	)		0			(201	)
General Electric Capital Corp.	DUB	5.000	%	06/20/2014	4.176	%		15,000		518			(190	)		708
General Electric Capital Corp.	JPM	4.000	%	03/20/2014	4.336	%		10,000		(120	)		0			(120	)
HCA, Inc.	CITI	2.000	%	09/20/2012	5.559	%		600		(59	)		0			(59	)
HCA, Inc.	CITI	2.400	%	06/20/2014	6.004	%		400		(55	)		0			(55	)
MetLife, Inc.	JPM	5.000	%	06/20/2014	5.352	%		15,000		(185	)		(207	)		22
SLM Corp.	BOA	1.350	%	06/20/2010	9.053	%		1,400		(98	)		0			(98	)
SLM Corp.	BOA	5.000	%	12/20/2010	8.988	%		3,000		(156	)		(720	)		564
SLM Corp.	BOA	5.000	%	12/20/2010	8.657	%		10,000		(476	)		(875	)		399
SLM Corp.	DUB	5.000	%	09/20/2014	7.854	%		100		(10	)		(11	)		1
									$	1,279		$	(549	)	$	1,828

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
CDX.HY-9 3-Year Index 25-35%	GSC	1.750	%	12/20/2010	$	12,000	$	(1,176	)	$	0	$	(1,176	)
CDX.HY-9 3-Year Index 25-35%	MLP	4.530	%	12/20/2010		8,500		(491	)		0		(491	)
CDX.HY-9 5-Year Index 25-35%	JPM	3.200	%	12/20/2012		6,600		(1,767	)		0		(1,767	)
							$	(3,434	)	$	0	$	(3,434	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	10.115	%	01/02/2012	MSC	BRL	8,200	$	(181	)	$	(29	)	$	(152	)
Pay	1-Year BRL-CDI	10.150	%	01/02/2012	GSC		800		(17	)		(6	)		(11	)
Pay	1-Year BRL-CDI	10.680	%	01/02/2012	BCLY		5,600		(66	)		(8	)		(58	)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		500		19			3			16
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	JPM		600		22			2			20
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		500		19			4			15
								$	(204	)	$	(34	)	$	(170	)

Total Return Swaps on Securities

Pay/Receive Total Return on Reference Entity	Reference Entity	# of Shares or Units	Floating Rate(5)		Notional Amount		Maturity Date	Counterparty	Unrealized Appreciation
Receive	SPDR Trust Series 1	400,000	0.000	%	$	36,520	07/23/2009	MLP	$	448

⁽⁵⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(j) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.625	09/14/2009	1,078	$	186	$	55

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009	$	1,800	$	5	$	4
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		3,400		12		7
									$	17	$	11

(k) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	EUR	BCLY	55	07/2009	$	0	$	0		$	0
Sell	GBP	CITI	1,552	07/2009		0		(152	)		(152	)
Buy		MSC	1,541	07/2009		0		(11	)		(11	)
Buy		RBS	11	07/2009		1		0			1
Sell		MSC	1,541	08/2009		10		0			10
Sell	SGD	CITI	391	07/2009		3		0			3
Buy		HSBC	390	07/2009		0		0			0
					$	14	$	(163	)	$	(149	)

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)			Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0		$	77,540		$	1,777		$	79,317
Convertible Bonds & Notes		0			353,145			0			353,145
Convertible Preferred Stocks		98,603			45,146			0			143,749
Other Investments++		184			15,944			0			16,128
Investments, at value	$	98,787		$	491,775		$	1,777		$	592,339
Financial Derivative Instruments+++	$	(220	)	$	(1,378	)	$	(165	)	$	(1,763	)
Total	$	98,567		$	490,397		$	1,612		$	590,576

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)			Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	1,764		$	0		$	0	$	0		$	13	$	0	$	1,777
Other Investments++		816			(1,036	)		0		(70	)		290		0		0
Investments, at value	$	2,580		$	(1,036	)	$	0	$	(70	)	$	303	$	0	$	1,777
Financial Derivative Instruments+++	$	(901	)	$	0		$	0	$	0		$	736	$	0	$	(165	)
Total	$	1,679		$	(1,036	)	$	0	$	(70	)	$	1,039	$	0	$	1,612

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Developing Local Markets Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BRAZIL 6.1%
Brazil Notas do Tesouro Nacional Series B
6.000% due 05/15/2017	BRL	1,900	$	1,708
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017		199,826		89,129
Total Brazil (Cost $103,739)				90,837
CAYMAN ISLANDS 0.6%
Atrium CDO Corp.
1.522% due 06/27/2015	$	1,139		878
Vita Capital III Ltd.
2.308% due 01/01/2011		9,300		8,499
Total Cayman Islands (Cost $10,272)				9,377
CHILE 0.9%
Banco Santander Chile
0.982% due 12/09/2009	$	13,220		13,156
Total Chile (Cost $13,186)				13,156
COLOMBIA 1.5%
Colombia Government International Bond
9.850% due 06/28/2027	COP	20,664,000		9,807
12.000% due 10/22/2015		23,500,000		12,591
Total Colombia (Cost $23,729)				22,398
EGYPT 2.4%
Petroleum Export Ltd.
4.623% due 06/15/2010	$	7,789		7,643
4.633% due 06/15/2010		929		911
5.265% due 06/15/2011		21,676		20,986
Petroleum Export Ltd. II
6.340% due 06/20/2011		7,593		6,942
Total Egypt (Cost $37,665)				36,482
GERMANY 4.2%
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009	$	60,262		61,844
Total Germany (Cost $61,375)				61,844
INDIA 0.8%
ICICI Bank Ltd.
1.679% due 01/12/2010	$	5,700		5,588
IDBI Bank Ltd.
5.125% due 12/23/2009		5,700		5,691
Total India (Cost $11,333)				11,279
KAZAKHSTAN 0.0%
Intergas Finance BV
6.875% due 11/04/2011	$	378		342
Total Kazakhstan (Cost $384)				342
MEXICO 2.2%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	42,900		2,420
Mexican Bonos
7.750% due 12/14/2017		94,000		6,995
Pemex Finance Ltd.
9.030% due 02/15/2011	$	3,150		3,371
9.690% due 08/15/2009		1,018		1,026
Pemex Project Funding Master Trust
2.931% due 10/15/2009		2,918		2,924
Telefonos de Mexico SAB de C.V.
4.750% due 01/27/2010		1,000		1,020
8.750% due 01/31/2016	MXN	214,500		15,669
Total Mexico (Cost $39,281)				33,425
NETHERLANDS 0.0%
Deutsche Telekom International Finance BV
8.500% due 06/15/2010	$	500		526
Total Netherlands (Cost $513)				526
NORWAY 0.1%
DnB NOR Bank ASA
1.209% due 10/13/2009	$	1,500		1,491
Total Norway (Cost $1,500)				1,491
PANAMA 1.1%
Panama Government International Bond
9.625% due 02/08/2011	$	14,814		16,184
Total Panama (Cost $16,218)				16,184
POLAND 0.0%
Poland Government International Bond
4.750% due 04/25/2012	PLN	200		62
Total Poland (Cost $93)				62
QATAR 1.4%
Qatar Petroleum
5.579% due 05/30/2011	$	17,469		17,760
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		2,544		2,531
Total Qatar (Cost $20,198)				20,291
RUSSIA 3.1%
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013	$	8,445		8,213
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.875% due 11/29/2010		17,600		17,875
Russia Government International Bond
8.250% due 03/31/2010		333		344
VTB Capital S.A.
2.716% due 11/02/2009		20,270		20,159
Total Russia (Cost $46,293)				46,591
SOUTH KOREA 7.7%
Export-Import Bank of Korea
1.094% due 11/16/2010	$	7,500		7,231
4.500% due 08/12/2009		11,300		11,299
Korea Development Bank
0.996% due 11/22/2012		8,700		7,681
1.317% due 04/03/2010		38,900		38,088
1.507% due 10/20/2009		50,238		49,869
5.300% due 01/17/2013		1,100		1,088
Total South Korea (Cost $117,023)				115,256
SPAIN 0.3%
Santander U.S. Debt S.A. Unipersonal
0.697% due 11/20/2009	$	4,400		4,373
Total Spain (Cost $4,400)				4,373
UNITED KINGDOM 2.7%
AstraZeneca PLC
0.948% due 09/11/2009	$	1,820		1,821
Bank of Scotland PLC
0.669% due 09/14/2009		1,400		1,391
0.689% due 12/08/2010		20,300		19,343
Barclays Bank PLC
10.179% due 06/12/2021		15,240		16,288
Vodafone Group PLC
0.940% due 02/27/2012		800		765
Total United Kingdom (Cost $39,566)				39,608
UNITED STATES 50.5%
ASSET-BACKED SECURITIES 2.1%
ACE Securities Corp.
0.364% due 12/25/2036	$	500		367
0.404% due 06/25/2037		527		374
American Express Credit Account Master Trust
0.819% due 02/15/2012		414		413
Asset-Backed Securities Corp. Home Equity
0.394% due 05/25/2037		471		376
Bear Stearns Asset-Backed Securities Trust
0.364% due 11/25/2036		384		339
0.394% due 10/25/2036		495		439
1.314% due 10/25/2037		4,401		2,373
Carrington Mortgage Loan Trust
0.414% due 06/25/2037		2,859		2,276
0.634% due 10/25/2035		424		329
Citigroup Mortgage Loan Trust, Inc.
0.374% due 05/25/2037		613		493
0.374% due 07/25/2045		658		463
Countrywide Asset-Backed Certificates
0.394% due 10/25/2047		463		407
0.414% due 09/25/2047		601		527
0.474% due 02/25/2036		252		238
Credit-Based Asset Servicing & Securitization LLC
0.374% due 11/25/2036		450		368
0.434% due 07/25/2037		240		177
Daimler Chrysler Auto Trust
1.798% due 09/10/2012		2,300		2,291
First Franklin Mortgage Loan Asset-Backed Certificates
0.354% due 09/25/2036		132		129
Fremont Home Loan Trust
0.364% due 10/25/2036		287		179
0.374% due 01/25/2037		574		373
GE-WMC Mortgage Securities LLC
0.354% due 08/25/2036		296		219
GSAA Trust
0.614% due 05/25/2047		700		244
GSAMP Trust
0.384% due 10/25/2036		55		44
0.384% due 12/25/2036		589		312
Home Equity Asset Trust
0.374% due 05/25/2037		552		488
HSBC Asset Loan Obligation
0.374% due 12/25/2036		566		500
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		486		422
0.374% due 05/25/2037		817		578
JPMorgan Mortgage Acquisition Corp.
0.364% due 10/25/2036		562		437
0.374% due 03/25/2047		490		353
0.377% due 11/25/2036		198		187
0.394% due 03/25/2037		465		369
0.424% due 08/25/2036		5,200		1,873
Lehman ABS Mortgage Loan Trust
0.404% due 06/25/2037		564		359
Lehman XS Trust
0.384% due 05/25/2046		2		2
0.394% due 11/25/2046		2,083		1,744
0.434% due 11/25/2036		432		422
0.484% due 04/25/2046		542		429
0.554% due 09/25/2046		797		169
Long Beach Mortgage Loan Trust
0.374% due 10/25/2036		253		236
0.594% due 10/25/2034		835		534
MASTR Asset-Backed Securities Trust
0.354% due 08/25/2036		107		104
0.364% due 01/25/2037		382		104
Morgan Stanley ABS Capital I
0.354% due 10/25/2036		343		321
0.364% due 10/25/2036		251		233
0.364% due 11/25/2036		544		516
0.374% due 05/25/2037		507		322
Morgan Stanley Mortgage Loan Trust
0.544% due 02/25/2037		700		171
5.750% due 04/25/2037		486		322
Nationstar Home Equity Loan Trust
0.374% due 03/25/2037		333		309
New Century Home Equity Loan Trust
0.494% due 05/25/2036		1,110		753
Option One Mortgage Loan Trust
0.364% due 01/25/2037		189		180
Popular ABS Mortgage Pass-Through Trust
0.404% due 06/25/2047		640		502
Residential Asset Mortgage Products, Inc.
0.384% due 02/25/2037		349		299
0.414% due 08/25/2046		209		200
Residential Asset Securities Corp.
0.374% due 01/25/2037		351		313
0.424% due 04/25/2037		475		413
Securitized Asset-Backed Receivables LLC Trust
0.354% due 01/25/2037		458		386
0.364% due 09/25/2036		200		176
0.374% due 12/25/2036		643		361
0.394% due 11/25/2036		404		166
Soundview Home Equity Loan Trust
0.394% due 01/25/2037		108		106
0.394% due 06/25/2037		523		419
Specialty Underwriting & Residential Finance
0.359% due 11/25/2037		152		147
Structured Asset Securities Corp.
0.394% due 01/25/2037		415		367
4.900% due 04/25/2035		520		308
WaMu Asset-Backed Certificates
0.364% due 01/25/2037		443		317
Washington Mutual Asset-Backed Certificates
0.374% due 10/25/2036		593		487
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		47		46
0.414% due 03/25/2037		241		228
				31,428
BANK LOAN OBLIGATIONS 0.0%
OAO Rosneft Oil Co.
0.958% due 09/17/2009		484		426
CORPORATE BONDS & NOTES 39.6%
Allied Waste North America, Inc.
6.500% due 11/15/2010		300		305
American Express Centurion Bank
0.479% due 12/17/2009		1,400		1,392
American Express Credit Corp.
1.708% due 05/27/2010		23,600		23,313
American International Group, Inc.
1.217% due 10/18/2011		2,800		1,808
Bank of America Corp.
1.127% due 11/06/2009		3,200		3,194
Bank of America N.A.
1.162% due 06/23/2010		1,000		996
Bear Stearns Cos. LLC
0.902% due 09/09/2009		600		600
1.445% due 09/26/2013	EUR	4,400		5,664
5.300% due 10/30/2015	$	800		787
6.400% due 10/02/2017		300		301
Caterpillar Financial Services Corp.
1.006% due 08/11/2009		9,000		9,006
CIT Group, Inc.
0.974% due 08/17/2009		3,100		3,013
Citigroup, Inc.
0.944% due 05/18/2011		8,900		8,417
1.004% due 05/18/2010		12,800		12,572
8.400% due 04/29/2049 (a)		10,950		8,227
Countrywide Financial Corp.
1.659% due 11/23/2010	EUR	500		676
Countrywide Home Loans, Inc.
4.125% due 09/15/2009	$	1,900		1,906
5.625% due 07/15/2009		1,300		1,301
Credit Suisse USA, Inc.
0.865% due 11/20/2009		2,000		1,998
1.083% due 08/15/2010		800		796
Daimler Finance North America LLC
1.466% due 08/03/2009		9,300		9,272
DISH DBS Corp.
6.375% due 10/01/2011		2,600		2,528
Dynegy Roseton/Danskammer Pass-Through Trust Series A
7.270% due 11/08/2010		665		670
El Paso Performance-Linked Trust
7.750% due 07/15/2011		2,900		2,861
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		16,950		16,361
7.375% due 10/28/2009		8,610		8,537
General Electric Capital Corp.
0.655% due 10/06/2010		6,100		5,993
0.953% due 08/15/2011		2,800		2,653
1.259% due 04/10/2012		24,000		22,451
1.478% due 02/01/2011		28,000		27,120
General Mills, Inc.
1.231% due 01/22/2010		3,700		3,695
Genworth Global Funding Trusts
1.321% due 04/15/2014		4,800		2,374
Hartford Life Global Funding Trusts
0.809% due 06/16/2014		4,800		3,006
Hewlett-Packard Co.
0.689% due 06/15/2010		3,900		3,905
1.710% due 05/27/2011		12,000		12,161
Home Depot, Inc.
0.749% due 12/16/2009		1,800		1,795
HSBC Bank USA N.A.
0.759% due 12/14/2009		1,750		1,747
HSBC Finance Corp.
0.719% due 03/12/2010		3,825		3,763
1.134% due 11/16/2009		15,600		15,479
1.206% due 05/10/2010		4,414		4,299
International Lease Finance Corp.
0.881% due 05/24/2010		19,000		17,333
1.531% due 01/15/2010		5,000		4,646
1.538% due 07/01/2011		10,000		8,128
John Deere Capital Corp.
1.400% due 06/10/2011		20,900		20,755
JPMorgan Chase & Co.
1.282% due 01/17/2011		10,960		10,845
Kimberly-Clark Corp.
1.139% due 07/30/2010		12,400		12,421
Lehman Brothers Holdings, Inc.
2.875% due 09/28/2009 (a)	CHF	3,855		408
2.907% due 11/16/2009 (a)	$	4,600		702
2.950% due 05/25/2010 (a)		6,600		1,006
3.011% due 12/23/2010 (a)		5,900		900
4.730% due 06/01/2011 (a)(i)	CAD	5,325		513
6.875% due 05/02/2018 (a)	$	6,974		1,151
7.875% due 05/08/2018 (a)	GBP	5,000		1,234
Merrill Lynch & Co., Inc.
3.188% due 05/12/2010	$	27,400		27,253
Metropolitan Life Global Funding I
0.879% due 03/15/2012		4,100		3,887
0.894% due 05/17/2010		6,050		6,002
Morgan Stanley
1.221% due 01/15/2010		8,800		8,730
1.357% due 01/18/2011		6,989		6,774
National Rural Utilities Cooperative Finance Corp.
1.982% due 07/01/2010		300		300
Pacific Gas & Electric Co.
1.598% due 06/10/2010		5,000		5,026
Pemex Project Funding Master Trust
1.929% due 06/15/2010		99,918		98,514
Pricoa Global Funding I
1.142% due 07/27/2009		2,300		2,297
SLM Corp.
0.829% due 03/15/2011		700		601
1.232% due 07/27/2009		8,400		8,364
1.252% due 07/26/2010		800		726
1.322% due 10/25/2011		1,000		811
1.477% due 12/15/2010	EUR	600		734
5.375% due 05/15/2014	$	1,100		885
Sprint Nextel Corp.
1.001% due 06/28/2010		3,400		3,207
U.S. Bancorp
1.407% due 05/06/2010		500		501
UnitedHealth Group, Inc.
0.789% due 06/21/2010		2,400		2,378
2.286% due 02/07/2011		16,000		15,864
Universal City Florida Holding Co. I & II
5.778% due 05/01/2010		4,500		3,701
Verizon Wireless Capital LLC
3.316% due 05/20/2011		15,000		15,446
Wachovia Bank N.A.
0.721% due 05/25/2010		9,400		9,353
0.726% due 12/02/2010		9,000		8,881
Wachovia Corp.
0.718% due 12/01/2009		100		100
0.749% due 03/15/2011		9,700		9,364
1.261% due 10/15/2011		22,800		21,668
Wells Fargo & Co.
0.415% due 03/22/2010		4,700		4,679
1.189% due 01/24/2012		3,700		3,492
Xerox Corp.
1.363% due 12/18/2009		3,600		3,563
				590,085
MORTGAGE-BACKED SECURITIES 4.9%
Adjustable Rate Mortgage Trust
5.152% due 09/25/2035		1,455		947
American Home Mortgage Investment Trust
0.554% due 05/25/2047		533		111
Banc of America Mortgage Securities, Inc.
4.185% due 07/25/2034		930		747
Bear Stearns Adjustable Rate Mortgage Trust
2.900% due 03/25/2035		18,095		15,657
Bear Stearns Alt-A Trust
0.474% due 02/25/2034		727		412
5.303% due 08/25/2036		600		228
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		32		32
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		649		500
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		7,943		4,390
5.714% due 12/26/2046		4,472		2,724
CC Mortgage Funding Corp.
0.444% due 05/25/2048		1,603		586
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		6		5
Citigroup Mortgage Loan Trust, Inc.
0.379% due 01/25/2037		497		415
4.669% due 08/25/2035		1,379		409
Commercial Mortgage Pass-Through Certificates
0.419% due 04/15/2017		366		356
0.818% due 02/16/2034		1,943		1,730
Countrywide Alternative Loan Trust
0.494% due 05/25/2047		1,849		695
0.495% due 02/20/2047		2,225		866
0.544% due 08/25/2046		629		121
0.584% due 05/25/2036		435		63
0.664% due 06/25/2037		652		145
1.084% due 11/25/2035		606		258
2.340% due 02/25/2036		581		267
5.306% due 10/25/2035		464		317
6.000% due 02/25/2037		464		281
Countrywide Home Loan Mortgage Pass-Through Trust
0.654% due 03/25/2036		821		152
4.789% due 04/20/2035		4,309		3,790
5.575% due 02/20/2036		618		324
CS First Boston Mortgage Securities Corp.
3.755% due 06/25/2033		2,067		1,723
CW Capital Cobalt Ltd.
5.484% due 04/15/2047		600		397
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		435		395
0.394% due 02/25/2037		376		347
0.394% due 03/25/2037		191		188
0.404% due 08/25/2037		1,197		1,039
Downey Savings & Loan Association Mortgage Loan Trust
0.623% due 11/19/2037		800		68
First Horizon Alternative Mortgage Securities
6.250% due 08/25/2037		436		329
First Horizon Asset Securities, Inc.
3.170% due 07/25/2033		827		733
5.365% due 08/25/2035		1,442		1,097
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		1,305		1,075
0.394% due 01/25/2047		876		666
0.524% due 10/25/2046		600		80
0.584% due 04/25/2036		646		197
0.584% due 11/25/2045		286		136
Greenpoint Mortgage Pass-Through Certificates
4.826% due 10/25/2033		1,682		1,273
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		409		378
0.458% due 04/19/2038		992		396
0.513% due 09/19/2046		1,207		518
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		355		333
Indymac Index Mortgage Loan Trust
4.976% due 12/25/2034		930		705
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		600		462
MASTR Adjustable Rate Mortgages Trust
0.424% due 05/25/2047		73		72
MASTR Alternative Loans Trust
0.714% due 03/25/2036		543		195
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		600		401
Merrill Lynch Floating Trust
0.389% due 06/15/2022		998		701
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		2,827		1,916
1.314% due 10/25/2035		1,598		1,274
Morgan Stanley Capital I
0.380% due 10/15/2020		1,160		861
Residential Accredit Loans, Inc.
0.414% due 09/25/2046		624		490
0.614% due 08/25/2035		914		419
0.714% due 10/25/2045		466		212
Residential Asset Securitization Trust
0.714% due 01/25/2046		1,166		535
Residential Funding Mortgage Securities I
5.202% due 09/25/2035		1,382		991
Sequoia Mortgage Trust
4.263% due 04/20/2035		605		466
Sovereign Commercial Mortgage Securities Trust
5.835% due 07/22/2030		600		529
Structured Adjustable Rate Mortgage Loan Trust
4.266% due 07/25/2034		3,969		3,325
5.334% due 01/25/2035		1,483		997
5.516% due 08/25/2035		1,056		688
Structured Asset Mortgage Investments, Inc.
0.384% due 08/25/2036		1,092		1,046
0.414% due 09/25/2047		2,118		1,974
0.444% due 03/25/2037		417		152
0.504% due 06/25/2036		655		248
0.563% due 07/19/2035		3,236		2,081
Structured Asset Securities Corp.
3.986% due 06/25/2033		2,839		2,102
4.504% due 10/25/2035		658		453
TBW Mortgage-Backed Pass-Through Certificates
0.414% due 09/25/2036		51		51
0.424% due 01/25/2037		354		322
WaMu Mortgage Pass-Through Certificates
0.724% due 11/25/2045		600		147
0.724% due 12/25/2045		600		141
2.150% due 12/25/2046		1,234		532
2.150% due 07/25/2047		1,427		534
2.540% due 11/25/2042		465		268
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.100% due 04/25/2047		802		223
				73,409
U.S. GOVERNMENT AGENCIES 3.8%
Fannie Mae
2.638% due 06/01/2043 - 07/01/2044		984		976
4.672% due 11/01/2035		469		485
5.000% due 02/25/2017		177		183
5.184% due 09/01/2035		627		654
5.193% due 10/01/2035		431		449
5.224% due 11/01/2035		515		537
5.227% due 08/01/2035		421		439
5.231% due 09/01/2035		447		470
5.500% due 09/01/2026		294		305
Freddie Mac
0.574% due 08/25/2031		371		299
0.594% due 09/25/2031		350		319
0.641% due 08/24/2010		157		157
0.702% due 03/09/2011		11,500		11,542
1.268% due 04/01/2011 (d)		39,400		39,533
5.000% due 11/15/2029		11		11
5.130% due 08/01/2035		69		71
				56,430
U.S. TREASURY OBLIGATIONS 0.1%
U.S. Treasury Notes
0.875% due 04/30/2011 (e)		624		622
Total United States (Cost $827,631)				752,400
SHORT-TERM INSTRUMENTS 11.5%
REPURCHASE AGREEMENTS 0.9%
JPMorgan Chase Bank N.A.
0.090% due 07/01/2009	$	6,900		6,900
(Dated 06/30/2009. Collateralized by Fannie Mae 5.700% due 09/20/2022 valued at $7,170. Repurchase proceeds are $6,900.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		5,996		5,996
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $6,119. Repurchase proceeds are $5,996.)
				12,896
U.S. TREASURY BILLS 0.5%
3.724% due 07/02/2009 - 09/17/2009 (b)(d)(e)		8,013		8,013
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 10.1%
		15,061,472		150,750
Total Short-Term Instruments (Cost $171,657)				171,659
PURCHASED OPTIONS (g) 0.0% (Cost $0)				0
Total Investments 97.1% (Cost $1,546,056)			$	1,447,581
Written Options (h) (0.2%) (Premiums $2,219)				(2,874	)
Other Assets and Liabilities (Net) 3.1%				46,457
Net Assets 100.0%			$	1,491,164

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) Affiliated to the Fund.

(d) Securities with an aggregate market value of $7,577 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) Securities with an aggregate market value of $1,575 and cash of $380 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar December Futures	Long	12/2010	1,072	$	(551	)
U.S. Treasury 10-Year Note September Futures	Long	09/2009	2		(1	)
				$	(552	)

(f) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)			Notional Amount(4)	Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
UBS Warburg LLC	BCLY	(2.250	%)	03/20/2014	1.256	%	EUR	7,000	$	(430	)	$	0	$	(430	)

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
General Electric Capital Corp.	MLP	1.100	%	12/20/2009	3.899	%	$	2,000	$	(26	)	$	0	$	(26	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Pay	1-Year BRL-CDI	14.120	%	01/04/2010	BCLY	BRL	3,600	$	123	$	0		$	123
Pay	1-Year BRL-CDI	14.190	%	01/04/2010	BCLY		4,000		139		0			139
Pay	1-Year BRL-CDI	13.720	%	01/02/2017	MLP		18,200		385		73			312
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	DUB	$	700		4		0			4
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	JPM		4,000		25		0			25
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	RBS		3,190		6		(74	)		80
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	GSC	EUR	28,500		3,263		(535	)		3,798
								$	3,945	$	(536	)	$	4,481

(g) Purchased options outstanding on June 30, 2009:

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC Freddie Mac 6.000% due 08/01/2039	$	109.000	08/06/2009	$	2,400	$	0	$	0

(h) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	608	$	146	$	27
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	94		15		5
					$	161	$	32

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	3.750	%	11/23/2009	$	180,000	$	1,764	$	2,328
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	2.500	%	08/21/2009		24,000		116		38
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/21/2009		24,000		178		476
									$	2,058	$	2,842

(i) Restricted securities as of June 30, 2009:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Lehman Brothers Holdings, Inc.	4.730	%	06/01/2011	10/10/2008	$	393	$	513	0.03	%

(j) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Freddie Mac	6.000	%	07/01/2039	$	2,400	$	2,496	$	2,505

(k) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	BCLY	21,525	08/2009	$	1,134	$	0		$	1,134
Sell		DUB	3,959	08/2009		0		(8	)		(8	)
Buy		HSBC	6,691	08/2009		0		(25	)		(25	)
Sell		HSBC	19,405	08/2009		0		(215	)		(215	)
Buy		JPM	29,362	08/2009		0		(25	)		(25	)
Buy		MLP	33,477	08/2009		0		(52	)		(52	)
Sell		MLP	182,452	08/2009		4		(5,502	)		(5,498	)
Buy		UBS	31,873	08/2009		318		0			318
Sell	CAD	JPM	340	08/2009		18		0			18
Sell	CHF	JPM	319	07/2009		5		0			5
Sell		RBC	319	10/2009		1		0			1
Buy	CLP	BCLY	18,848,849	11/2009		2,911		0			2,911
Sell		BOA	536,150	11/2009		0		(8	)		(8	)
Buy		CITI	11,874,655	11/2009		1,773		0			1,773
Sell		CITI	8,731,917	11/2009		34		(98	)		(64	)
Sell		DUB	1,065,000	11/2009		0		(3	)		(3	)
Sell		HSBC	4,224,850	11/2009		0		(645	)		(645	)
Sell		JPM	585,000	11/2009		0		(100	)		(100	)
Buy	CNY	BCLY	62,229	07/2009		2		(25	)		(23	)
Sell		BCLY	151,992	07/2009		13		(6	)		7
Sell		BOA	10,255	07/2009		0		(1	)		(1	)
Buy		CITI	24,964	07/2009		21		0			21
Sell		CITI	69,250	07/2009		0		(218	)		(218	)
Sell		DUB	176,907	07/2009		23		(223	)		(200	)
Sell		HSBC	2,601	07/2009		0		(3	)		(3	)
Buy		JPM	445,625	07/2009		0		(1,975	)		(1,975	)
Sell		JPM	111,568	07/2009		2		(229	)		(227	)
Sell		RBS	10,245	07/2009		0		0			0
Buy		BCLY	48,610	09/2009		2		0			2
Sell		BCLY	91,644	09/2009		0		(3	)		(3	)
Buy		CITI	43,849	09/2009		64		0			64
Sell		CITI	13,635	09/2009		2		0			2
Buy		DUB	244,560	09/2009		3		(158	)		(155	)
Sell		DUB	125,196	09/2009		24		(366	)		(342	)
Buy		JPM	128,919	09/2009		431		0			431
Sell		JPM	61,266	09/2009		24		0			24
Buy		BCLY	63,236	03/2010		0		(21	)		(21	)
Buy		BOA	67,040	03/2010		0		(4	)		(4	)
Buy		CITI	54,344	03/2010		0		(35	)		(35	)
Buy		DUB	110,295	03/2010		0		(84	)		(84	)
Sell		DUB	13,614	03/2010		5		0			5
Buy		HSBC	52,292	03/2010		0		(24	)		(24	)
Buy		JPM	488	03/2010		0		0			0
Buy	COP	BCLY	19,883,055	11/2009		686		0			686
Sell		BCLY	11,631,467	11/2009		0		(321	)		(321	)
Sell		BOA	2,116,500	11/2009		34		0			34
Buy		CITI	22,834,748	11/2009		154		(2	)		152
Sell		CITI	4,579,000	11/2009		28		(118	)		(90	)
Sell		HSBC	2,843,400	11/2009		34		(32	)		2
Sell		MSC	4,168,000	11/2009		97		0			97
Buy		RBS	30,880,618	11/2009		1,276		0			1,276
Buy	CZK	BCLY	211,498	07/2009		482		0			482
Sell		BCLY	766,960	07/2009		0		(2,585	)		(2,585	)
Sell		BOA	500,000	07/2009		0		(453	)		(453	)
Buy		CITI	1,316,000	07/2009		4,753		0			4,753
Buy		DUB	1,315,362	07/2009		4,659		0			4,659
Sell		DUB	378,430	07/2009		0		(321	)		(321	)
Buy		HSBC	1,122,290	07/2009		2,814		0			2,814
Sell		HSBC	1,232,023	07/2009		0		(4,699	)		(4,699	)
Buy		JPM	179	07/2009		1		0			1
Sell		JPM	923,909	07/2009		0		(3,719	)		(3,719	)
Sell		UBS	164,008	07/2009		0		(863	)		(863	)
Buy		BCLY	326,728	11/2009		734		0			734
Sell		BCLY	75,113	11/2009		0		(44	)		(44	)
Buy		BOA	500,000	11/2009		440		0			440
Buy		DUB	378,430	11/2009		310		0			310
Buy		HSBC	500,000	11/2009		1,149		0			1,149
Buy		JPM	661,911	11/2009		1,265		0			1,265
Sell		JPM	38,676	11/2009		0		(82	)		(82	)
Sell		UBS	101,576	11/2009		1		(50	)		(49	)
Sell	EUR	BCLY	7,892	07/2009		0		(59	)		(59	)
Buy		RBS	987	07/2009		16		0			16
Sell		RBS	33	07/2009		0		0			0
Buy	GBP	CITI	33	07/2009		3		0			3
Sell		CITI	1,394	07/2009		0		(137	)		(137	)
Sell		MSC	1,361	08/2009		9		0			9
Buy	HKD	BCLY	131,828	09/2009		0		(1	)		(1	)
Sell		BCLY	23,256	09/2009		0		0			0
Buy		BOA	418,326	09/2009		0		(4	)		(4	)
Buy		CITI	214,107	09/2009		0		(1	)		(1	)
Buy		DUB	276,247	09/2009		1		0			1
Sell		HSBC	69,707	09/2009		0		0			0
Buy		JPM	236,724	09/2009		0		(2	)		(2	)
Sell		JPM	38,728	09/2009		0		0			0
Buy	HUF	BCLY	10,226,268	10/2009		6,375		0			6,375
Sell		BCLY	209,015	10/2009		0		(53	)		(53	)
Sell		CITI	213,207	10/2009		0		(74	)		(74	)
Buy		DUB	1,094,576	10/2009		12		0			12
Sell		HSBC	1,237,915	10/2009		0		(730	)		(730	)
Buy		JPM	188	10/2009		0		0			0
Sell		UBS	1,037,235	10/2009		0		(225	)		(225	)
Buy	IDR	BCLY	130,451,000	11/2009		0		(303	)		(303	)
Sell		BCLY	11,176,000	11/2009		0		(62	)		(62	)
Buy		CITI	8,022,600	11/2009		0		(13	)		(13	)
Buy		HSBC	52,610,406	11/2009		0		(125	)		(125	)
Buy		JPM	22,827,204	11/2009		0		(37	)		(37	)
Sell		RBS	10,695,000	11/2009		0		(16	)		(16	)
Buy	ILS	BCLY	43,261	11/2009		535		0			535
Sell		BCLY	19,695	11/2009		0		(15	)		(15	)
Buy		HSBC	100,000	11/2009		455		0			455
Buy		JPM	97,907	11/2009		394		0			394
Sell		JPM	19,741	11/2009		0		(21	)		(21	)
Sell	INR	BCLY	255,007	07/2009		0		(108	)		(108	)
Buy		BOA	738,643	07/2009		1,427		0			1,427
Buy		CITI	737,899	07/2009		1,362		0			1,362
Sell		CITI	755,404	07/2009		5		(190	)		(185	)
Buy		DUB	649,218	07/2009		1,092		0			1,092
Sell		DUB	48,290	07/2009		0		(8	)		(8	)
Sell		HSBC	204,777	07/2009		0		(34	)		(34	)
Sell		JPM	528,952	07/2009		24		(86	)		(62	)
Sell		MSC	201,553	07/2009		0		(30	)		(30	)
Sell		UBS	47,960	07/2009		0		(1	)		(1	)
Buy		BCLY	204,607	10/2009		58		0			58
Buy		CITI	688,441	10/2009		17		0			17
Buy		HSBC	204,777	10/2009		41		0			41
Buy		JPM	577,178	10/2009		212		0			212
Sell		JPM	72,435	10/2009		0		(1	)		(1	)
Buy		MSC	201,553	10/2009		35		0			35
Sell	JPY	BNP	27,608	07/2009		0		0			0
Sell		MSC	27,608	08/2009		0		0			0
Sell	KRW	BOA	1,261,500	07/2009		8		0			8
Buy		HSBC	17,878,768	07/2009		0		(315	)		(315	)
Buy		JPM	25,093,936	07/2009		0		(498	)		(498	)
Sell		UBS	1,257,200	07/2009		12		0			12
Buy		CITI	738,000	11/2009		0		(18	)		(18	)
Sell		HSBC	2,556,000	11/2009		0		(16	)		(16	)
Buy	MXN	BCLY	1,263,567	11/2009		1,105		0			1,105
Sell		BCLY	138,175	11/2009		0		(164	)		(164	)
Buy		CITI	148,706	11/2009		1,083		0			1,083
Sell		CITI	53,863	11/2009		0		(173	)		(173	)
Buy		DUB	683,001	11/2009		2,508		(3	)		2,505
Sell		DUB	107,539	11/2009		48		(46	)		2
Sell		HSBC	258,886	11/2009		0		(255	)		(255	)
Buy		JPM	728,544	11/2009		1,649		0			1,649
Sell		JPM	311,364	11/2009		7		(232	)		(225	)
Buy		MLP	103,195	11/2009		760		0			760
Buy	MYR	BCLY	108,892	08/2009		488		0			488
Sell		BCLY	3,646	08/2009		0		(36	)		(36	)
Buy		CITI	19,570	08/2009		198		0			198
Sell		CITI	3,600	08/2009		0		(23	)		(23	)
Sell		DUB	3,544	08/2009		0		(7	)		(7	)
Buy		HSBC	22,358	08/2009		262		0			262
Sell		HSBC	3,651	08/2009		0		(37	)		(37	)
Buy		JPM	4,226	08/2009		1		0			1
Sell		JPM	31,812	08/2009		7		(166	)		(159	)
Sell		RBS	3,542	08/2009		0		(6	)		(6	)
Sell	PEN	BCLY	52,473	07/2009		76		0			76
Buy		CITI	43,585	07/2009		914		0			914
Sell		CITI	16,273	07/2009		0		(411	)		(411	)
Buy		DUB	25,162	07/2009		515		0			515
Sell		HSBC	5,980	08/2009		15		0			15
Sell		MSC	5,990	08/2009		11		0			11
Buy		BCLY	52,473	01/2010		0		(65	)		(65	)
Sell		BOA	3,023	01/2010		3		0			3
Buy		CITI	1,520	01/2010		1		0			1
Sell		CITI	12,097	01/2010		0		(9	)		(9	)
Sell	PHP	BCLY	575,825	08/2009		0		(329	)		(329	)
Buy		CITI	2,149,321	08/2009		50		(194	)		(144	)
Sell		CITI	12,588	08/2009		0		(11	)		(11	)
Sell		DUB	326,515	08/2009		0		(273	)		(273	)
Sell		JPM	299,330	08/2009		15		(213	)		(198	)
Buy		BCLY	364,839	11/2009		0		(40	)		(40	)
Sell		BOA	194,440	11/2009		4		0			4
Buy		CITI	417,250	11/2009		0		(53	)		(53	)
Sell		DUB	49,400	11/2009		0		(15	)		(15	)
Buy		JPM	14,625	11/2009		1		0			1
Sell		UBS	49,250	11/2009		0		(12	)		(12	)
Sell	PLN	BCLY	33,115	11/2009		0		(347	)		(347	)
Sell		CITI	6,626	11/2009		0		(70	)		(70	)
Buy		DUB	122,366	11/2009		1,381		0			1,381
Buy		HSBC	405,702	11/2009		8,768		0			8,768
Sell		HSBC	135,208	11/2009		0		(1,381	)		(1,381	)
Buy		JPM	27,878	11/2009		441		0			441
Sell		JPM	9,681	11/2009		0		(25	)		(25	)
Buy		MLP	219,008	11/2009		6,165		0			6,165
Sell		MLP	49	11/2009		0		(1	)		(1	)
Buy		UBS	1,706	11/2009		25		0			25
Sell		UBS	16,414	11/2009		0		(129	)		(129	)
Sell	RON	BCLY	25,968	08/2009		3		0			3
Buy		JPM	86,555	08/2009		1,909		0			1,909
Buy	RUB	CITI	262,088	07/2009		967		0			967
Sell		HSBC	234,185	07/2009		0		(707	)		(707	)
Sell		JPM	27,903	07/2009		0		(1	)		(1	)
Buy		JPM	27,903	11/2009		3		0			3
Sell	SGD	BCLY	7,530	07/2009		0		(198	)		(198	)
Sell		BOA	5,832	07/2009		0		(25	)		(25	)
Buy		CITI	175,059	07/2009		2,233		0			2,233
Sell		CITI	8,850	07/2009		0		(108	)		(108	)
Buy		DUB	66,575	07/2009		2,095		(31	)		2,064
Sell		DUB	58,588	07/2009		201		(75	)		126
Buy		HSBC	28,480	07/2009		0		(33	)		(33	)
Sell		HSBC	30,792	07/2009		2		(506	)		(504	)
Buy		JPM	103,819	07/2009		2,734		0			2,734
Sell		JPM	26,428	07/2009		6		(247	)		(241	)
Sell		UBS	8,863	07/2009		0		(118	)		(118	)
Buy		JPM	434	08/2009		0		0			0
Buy	THB	CITI	114,544	11/2009		35		0			35
Buy		DUB	94,488	11/2009		23		0			23
Sell		DUB	34,360	11/2009		0		(7	)		(7	)
Buy		JPM	364,287	11/2009		11		(5	)		6
Sell		RBS	34,360	11/2009		0		(7	)		(7	)
Sell	TRY	BCLY	32,041	07/2009		0		(1,958	)		(1,958	)
Buy		CITI	100,260	07/2009		6,226		0			6,226
Sell		CITI	9,099	07/2009		0		(260	)		(260	)
Buy		DUB	198,551	07/2009		13,028		0			13,028
Buy		HSBC	2,749	07/2009		169		0			169
Sell		HSBC	165,518	07/2009		0		(6,689	)		(6,689	)
Buy		JPM	28,081	07/2009		1,808		0			1,808
Sell		JPM	116,728	07/2009		0		(3,423	)		(3,423	)
Sell		UBS	6,254	07/2009		0		(45	)		(45	)
Buy		BCLY	7,280	11/2009		0		(25	)		(25	)
Sell		BCLY	3,220	11/2009		0		(23	)		(23	)
Buy		HSBC	56,039	11/2009		704		0			704
Buy		JPM	93,278	11/2009		1,405		0			1,405
Buy		UBS	14,316	11/2009		0		(55	)		(55	)
Buy	TWD	BCLY	226,528	08/2009		238		0			238
Buy		CITI	65,948	08/2009		59		0			59
Buy		DUB	85,792	08/2009		86		0			86
Buy		JPM	212,195	08/2009		173		0			173
Sell		JPM	32,340	08/2009		6		0			6
Buy		CITI	320,463	11/2009		27		0			27
Buy		DUB	254,956	11/2009		38		0			38
Sell		DUB	129,920	11/2009		0		(34	)		(34	)
Buy	ZAR	BCLY	610,955	11/2009		14,542		0			14,542
Sell		BCLY	698,711	11/2009		0		(5,181	)		(5,181	)
Buy		DUB	184,286	11/2009		3,875		0			3,875
Sell		HSBC	120,067	11/2009		0		(1,660	)		(1,660	)
Buy		JPM	1,932	11/2009		8		0			8
Sell		JPM	79,084	11/2009		0		(1,558	)		(1,558	)
Buy		MLP	771,284	11/2009		17,696		0			17,696
Sell		UBS	48,318	11/2009		0		(101	)		(101	)
					$	134,635	$	(54,334	)	$	80,301

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Brazil	$	0		$	90,837		$	0	$	90,837
South Korea		0			115,256			0		115,256
United States		0			751,947			453		752,400
Short-Term Instruments		150,750			20,909			0		171,659
Other Investments++		0			294,199			23,230		317,429
Investments, at value	$	150,750		$	1,273,148		$	23,683	$	1,447,581
Short Sales, at value	$	0		$	(2,505	)	$	0	$	(2,505	)
Financial Derivative Instruments+++	$	(552	)	$	81,140		$	312	$	80,900
Total	$	150,198		$	1,351,783		$	23,995	$	1,525,976

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
United States	$	0	$	(25	)	$	1	$	0	$	73	$	404	$	453
Other Investments++		0		14,954			9		3		1,789		6,475		23,230
Investments, at value	$	0	$	14,929		$	10	$	3	$	1,862	$	6,879	$	23,683
Financial Derivative Instruments+++	$	0	$	0		$	0	$	0	$	17	$	295	$	312
Total	$	0	$	14,929		$	10	$	3	$	1,879	$	7,174	$	23,995

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Diversified Income Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 2.5%
Berry Plastics Holding Corp.
8.161% due 06/05/2014	$	5,331	$	4,570
Boc Group, Inc.
2.310% due 05/31/2014		2,456		1,597
Community Health Systems, Inc.
2.560% due 07/25/2014		1,055		952
2.924% due 07/25/2014		8,014		7,233
CSC Holdings, Inc.
2.069% due 03/29/2016		3,365		3,232
2.250% due 03/29/2016		9		8
Daimler Finance North America LLC
4.320% due 08/03/2012		12,773		11,894
Dex Media West LLC
7.000% due 10/13/2024		946		785
FCI Connectors
3.520% due 03/09/2013		1,717		884
Georgia-Pacific Corp.
2.319% due 12/20/2012		47		45
2.323% due 12/20/2012		160		151
2.650% due 12/20/2012		519		491
Hawaiian Telcom Communications, Inc.
4.750% due 06/01/2024 (a)		962		570
Health Management Associates, Inc.
2.348% due 02/28/2014		3,716		3,287
Ineos Group Holdings PLC
5.952% due 10/07/2012		147		110
7.001% due 10/07/2012		1,220		911
7.501% due 10/07/2013		2,339		1,699
8.001% due 10/07/2014		2,339		1,739
Las Vegas Sands Corp.
2.060% due 05/23/2014		4,922		3,493
MGM Mirage
6.000% due 10/03/2011		1,764		1,380
Polypore, Inc.
2.590% due 05/15/2014		4,421		4,079
RH Donnelley Corp.
6.750% due 06/30/2011		105		83
6.750% due 06/30/2024		665		525
Texas Competitive Electric Holdings Co. LLC
3.810% due 10/10/2014		61		44
3.821% due 10/10/2014		6,452		4,622
Tribune Co.
8.375% due 06/04/2024 (a)		4,691		1,609
Total Bank Loan Obligations (Cost $69,086)				55,993
CORPORATE BONDS & NOTES 42.8%
BANKING & FINANCE 21.7%
AES Red Oak LLC
8.540% due 11/30/2019		2,411		2,169
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		220		105
American Express Bank FSB
0.399% due 07/13/2010		2,400		2,338
American Express Co.
7.250% due 05/20/2014		1,700		1,761
American General Finance Corp.
6.900% due 12/15/2017		5,000		2,711
American International Group, Inc.
1.217% due 10/18/2011		4,900		3,164
5.850% due 01/16/2018		13,600		7,205
8.175% due 05/15/2058		1,400		400
Banco Santander Chile
0.982% due 12/09/2009		5,000		4,976
Bank of America Corp.
0.959% due 09/15/2014		12,000		9,961
4.750% due 08/01/2015		1,400		1,268
5.750% due 12/01/2017		12,975		11,572
Bank of America Institutional Capital A
8.070% due 12/31/2026		500		416
Bank of Scotland PLC
1.152% due 07/17/2009		1,600		1,599
Barclays Bank PLC
5.450% due 09/12/2012		11,600		12,107
6.050% due 12/04/2017		600		521
10.179% due 06/12/2021		15,680		16,758
Bear Stearns Cos. LLC
0.842% due 08/21/2009		100		100
0.854% due 11/28/2011		100		98
1.093% due 08/15/2011		100		97
1.269% due 01/31/2011		1,900		1,880
6.400% due 10/02/2017		18,500		18,562
6.950% due 08/10/2012		6,500		7,071
7.250% due 02/01/2018		10,900		11,507
Berkshire Hathaway Finance Corp.
4.625% due 10/15/2013		500		523
C5 Capital SPV Ltd.
6.196% due 12/31/2049		200		106
C10 Capital SPV Ltd.
6.722% due 12/31/2049		2,300		1,179
Caelus Re Ltd.
6.918% due 06/07/2011		3,800		3,457
Calabash Re Ltd.
11.524% due 01/08/2010		1,000		975
CBA Capital Trust II
6.024% due 03/29/2049		3,400		2,264
Citigroup Capital XXI
8.300% due 12/21/2077		14,175		11,071
Citigroup Funding, Inc.
2.036% due 05/07/2010		100		98
Citigroup, Inc.
0.631% due 12/28/2009		1,800		1,783
0.944% due 05/18/2011		900		851
1.004% due 05/18/2010		100		98
5.300% due 10/17/2012		275		266
6.000% due 02/21/2012		650		643
8.400% due 04/29/2049 (a)		4,100		3,080
ConocoPhillips Canada Funding Co. I
5.300% due 04/15/2012		2,800		2,984
Credit Suisse New York
5.000% due 05/15/2013		8,500		8,700
DBS Bank Ltd.
1.074% due 05/16/2017		5,000		4,391
El Paso Performance-Linked Trust
7.750% due 07/15/2011		2,300		2,269
Ferrellgas Escrow LLC
6.750% due 05/01/2014		625		544
Ford Motor Credit Co. LLC
7.000% due 10/01/2013		1,835		1,477
7.375% due 10/28/2009		1,800		1,785
7.800% due 06/01/2012		400		344
7.875% due 06/15/2010		420		399
8.000% due 12/15/2016		2,800		2,143
Foundation Re II Ltd.
7.576% due 11/26/2010		1,800		1,685
General Electric Capital Corp.
0.655% due 10/06/2010		1,400		1,375
0.889% due 09/15/2014		3,500		2,974
1.259% due 04/10/2012		2,800		2,619
1.478% due 02/01/2011		100		97
GMAC LLC
6.000% due 12/15/2011		200		168
6.875% due 09/15/2011		600		516
6.875% due 08/28/2012		875		714
7.000% due 02/01/2012		2,500		2,076
7.250% due 03/02/2011		1,525		1,384
7.750% due 01/19/2010		800		780
Goldman Sachs Group, Inc.
0.701% due 06/28/2010		600		596
0.934% due 11/16/2009		1,400		1,399
1.059% due 03/22/2016		50		42
4.750% due 07/15/2013		1,225		1,228
5.250% due 10/15/2013		1,700		1,737
5.300% due 02/14/2012		400		414
5.700% due 09/01/2012		165		173
6.150% due 04/01/2018		5,150		5,022
6.750% due 10/01/2037		14,200		12,646
7.350% due 10/01/2009		500		508
HBOS PLC
6.750% due 05/21/2018		400		302
HCP, Inc.
6.700% due 01/30/2018		5,000		4,350
Hipotecaria Su Casita S.A. de C.V.
8.500% due 10/04/2016		2,900		2,045
HSBC Bank USA N.A.
4.625% due 04/01/2014		400		393
HSBC Capital Funding LP
4.610% due 12/29/2049		4,700		3,317
HSBC Finance Corp.
4.750% due 07/15/2013		120		117
HSBC Holdings PLC
6.500% due 05/02/2036		5,300		5,185
6.500% due 09/15/2037		125		121
Intergas Finance BV
6.375% due 05/14/2017		2,700		2,066
6.875% due 11/04/2011		378		342
International Lease Finance Corp.
4.950% due 02/01/2011		4,700		3,999
6.625% due 11/15/2013		4,000		3,083
John Deere Capital Corp.
1.412% due 10/16/2009		500		501
JPMorgan Chase & Co.
0.964% due 05/16/2011		100		97
1.282% due 01/17/2011		1,400		1,385
4.750% due 05/01/2013		1,900		1,926
7.900% due 04/29/2049		7,300		6,406
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		825		126
2.950% due 05/25/2010 (a)		100		15
Lloyds Banking Group PLC
5.920% due 09/29/2049		7,500		2,662
Longpoint Re Ltd.
5.874% due 05/08/2010		4,700		4,568
M&T Capital Trust II
8.277% due 06/01/2027		500		331
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		5,000		4,772
MBNA Capital B
1.828% due 02/01/2027		3,000		1,582
Merna Reinsurance Ltd.
1.248% due 07/07/2010		20,000		18,612
Merrill Lynch & Co., Inc.
0.892% due 09/09/2009		100		100
1.236% due 02/05/2010		100		99
6.050% due 08/15/2012		8,000		8,029
6.875% due 04/25/2018		10,300		9,549
MetLife, Inc.
5.375% due 12/15/2012		45		46
Morgan Stanley
1.357% due 01/18/2011		400		388
1.411% due 01/15/2010		200		198
5.750% due 08/31/2012		4,400		4,551
5.950% due 12/28/2017		2,400		2,307
6.000% due 04/28/2015		16,100		16,085
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		2,400		2,104
Mystic Re Ltd.
10.668% due 06/07/2011		700		652
National Rural Utilities Cooperative Finance Corp.
1.982% due 07/01/2010		300		300
4.750% due 03/01/2014		750		773
7.250% due 03/01/2012		4,815		5,263
Petroleum Export Ltd.
4.623% due 06/15/2010		889		872
5.265% due 06/15/2011		4,652		4,505
Petroleum Export Ltd. II
6.340% due 06/20/2011		3,254		2,991
Rabobank Nederland NV
11.000% due 12/29/2049		2,288		2,552
Residential Reinsurance 2007 Ltd.
7.918% due 06/07/2010		15,500		14,882
Residential Reinsurance 2008 Ltd.
7.418% due 06/06/2011		1,250		1,158
Resona Bank Ltd.
5.850% due 09/29/2049		900		680
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		6,600		6,594
7.640% due 03/29/2049		300		122
9.118% due 03/31/2049		500		408
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.299% due 05/15/2017		5,320		4,602
7.175% due 05/16/2013		2,350		2,244
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		13,500		10,005
SLM Corp.
1.322% due 10/25/2011		2,100		1,702
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		2,100		1,936
Swiss Bank Corp. NY
7.000% due 10/15/2015		500		483
Teco Finance, Inc.
6.750% due 05/01/2015		7,050		6,799
Tenneco, Inc.
10.250% due 07/15/2013		617		588
Textron Financial Corp.
1.239% due 01/11/2010		11,000		10,618
TNK-BP Finance S.A.
6.125% due 03/20/2012		1,000		928
6.625% due 03/20/2017		4,400		3,498
7.500% due 07/18/2016		7,050		6,137
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		3,300		3,203
UBS AG
5.750% due 04/25/2018		1,850		1,688
5.875% due 12/20/2017		5,400		5,037
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,500		1,463
UBS Preferred Funding Trust V
6.243% due 05/29/2049		2,500		1,477
UFJ Finance Aruba AEC
6.750% due 07/15/2013		250		259
Universal City Development Partners
11.750% due 04/01/2010		500		478
Universal City Florida Holding Co. I & II
8.375% due 05/01/2010		500		411
Ventas Realty LP
6.500% due 06/01/2016		400		360
6.750% due 04/01/2017		2,635		2,378
Vita Capital III Ltd.
2.308% due 01/01/2011		3,150		2,879
VTB Capital S.A.
6.875% due 05/29/2018		200		184
Wachovia Bank N.A.
0.721% due 05/25/2010		1,000		995
1.806% due 05/14/2010		17,800		17,806
6.600% due 01/15/2038		3,000		2,930
Wachovia Corp.
1.230% due 04/23/2012		435		409
1.261% due 10/15/2011		600		570
5.250% due 08/01/2014		500		490
Wells Fargo & Co.
4.375% due 01/31/2013		2,965		2,994
5.250% due 10/23/2012		15,780		16,352
Wells Fargo Capital X
5.950% due 12/15/2036		2,800		2,078
Wells Fargo Capital XIII
7.700% due 12/29/2049		400		332
				475,753
INDUSTRIALS 16.6%
AES El Salvador Trust
6.750% due 02/01/2016		11,800		8,488
Alcoa, Inc.
5.550% due 02/01/2017		5,000		4,229
Altria Group, Inc.
7.750% due 02/06/2014		900		993
9.250% due 08/06/2019		2,000		2,250
America Movil SAB de C.V.
5.500% due 03/01/2014		3,380		3,467
5.750% due 01/15/2015		15,400		15,614
AmeriGas Partners LP
7.125% due 05/20/2016		5,075		4,669
7.250% due 05/20/2015		500		471
ARAMARK Corp.
4.528% due 02/01/2015		1,525		1,247
8.500% due 02/01/2015		2,000		1,950
ArvinMeritor, Inc.
8.125% due 09/15/2015		6,410		3,397
8.750% due 03/01/2012		1,760		1,122
Atlantic Richfield Co.
8.530% due 02/27/2012		500		567
Barrick Gold Finance Co.
4.875% due 11/15/2014		1,000		1,028
BHP Billiton Finance USA Ltd.
5.500% due 04/01/2014		1,200		1,289
Biomet, Inc.
11.625% due 10/15/2017		5,425		5,344
C8 Capital SPV Ltd.
6.640% due 12/29/2049		29,000		15,268
CBS Corp.
5.625% due 08/15/2012		3,500		3,455
Celestica, Inc.
7.875% due 07/01/2011		1,100		1,106
Chart Industries, Inc.
9.125% due 10/15/2015		1,300		1,216
Cie Generale de Geophysique-Veritas
9.500% due 05/15/2016		2,500		2,506
Cisco Systems, Inc.
5.500% due 02/22/2016		500		531
Colorado Interstate Gas Co.
6.800% due 11/15/2015		2,300		2,374
Columbia University
6.875% due 12/15/2015		500		578
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		315		359
Comcast Cable Communications LLC
7.125% due 06/15/2013		2,130		2,345
Comcast Corp.
5.300% due 01/15/2014		2,000		2,071
5.900% due 03/15/2016		2,900		3,004
6.500% due 01/15/2015		100		106
Community Health Systems, Inc.
8.875% due 07/15/2015		2,000		1,970
Compagnie Générale de Géophysique-Veritas
7.750% due 05/15/2017		950		869
Con-way, Inc.
7.250% due 01/15/2018		5,000		4,245
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		2,400		480
Cox Communications, Inc.
7.125% due 10/01/2012		725		780
CSC Holdings, Inc.
7.875% due 02/15/2018		2,000		1,882
CSX Corp.
5.600% due 05/01/2017		5,000		4,877
Cytec Industries, Inc.
6.000% due 10/01/2015		1,000		883
Daimler Finance North America LLC
5.750% due 09/08/2011		4,500		4,595
Delhaize America, Inc.
8.050% due 04/15/2027		600		617
Delta Air Lines, Inc.
7.379% due 11/18/2011		1,562		1,523
Dex Media West LLC
8.500% due 08/15/2010 (a)		2,500		1,812
9.875% due 08/15/2013 (a)		2,980		462
DISH DBS Corp.
7.125% due 02/01/2016		1,250		1,172
Dow Chemical Co.
6.000% due 10/01/2012		250		253
Dynegy Holdings, Inc.
7.750% due 06/01/2019		3,630		2,845
8.375% due 05/01/2016		6,270		5,345
El Paso Corp.
7.000% due 06/15/2017		4,500		4,120
7.750% due 06/15/2010		300		302
EnCana Corp.
6.500% due 05/15/2019		700		752
Encore Acquisition Co.
6.250% due 04/15/2014		2,933		2,537
Energy Transfer Partners LP
5.650% due 08/01/2012		4,400		4,491
FBG Finance Ltd.
5.125% due 06/15/2015		1,000		938
Ferrellgas Partners LP
8.750% due 06/15/2012		1,305		1,220
First Data Corp.
9.875% due 09/24/2015		5,715		4,086
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		7,070		3,606
Gaz Capital S.A.
6.212% due 11/22/2016		6,750		5,679
7.288% due 08/16/2037		11,500		8,694
8.625% due 04/28/2034		4,740		4,663
Gazprom International S.A.
7.201% due 02/01/2020		7,435		7,119
Georgia-Pacific LLC
7.000% due 01/15/2015		800		752
7.125% due 01/15/2017		2,200		2,057
8.000% due 01/15/2024		1,995		1,706
GlaxoSmithKline Capital, Inc.
1.545% due 05/13/2010		1,800		1,813
GTL Trade Finance, Inc.
7.250% due 10/20/2017		3,100		2,945
HCA, Inc.
7.190% due 11/15/2015		1,700		1,315
9.625% due 11/15/2016 (b)		3,471		3,445
Health Management Associates, Inc.
6.125% due 04/15/2016		290		250
Hewlett-Packard Co.
6.500% due 07/01/2012		500		551
Ineos Group Holdings PLC
8.500% due 02/15/2016		1,300		410
Kinder Morgan Energy Partners LP
5.125% due 11/15/2014		2,000		1,992
Kohl’s Corp.
6.250% due 12/15/2017		5,000		5,150
Kraft Foods, Inc.
6.500% due 08/11/2017		2,000		2,110
Kroger Co.
7.000% due 05/01/2018		5,000		5,393
Ltd. Brands, Inc.
6.900% due 07/15/2017		2,000		1,733
Marathon Global Funding Corp.
6.000% due 07/01/2012		500		529
Marks & Spencer PLC
6.250% due 12/01/2017		5,000		4,394
Masco Corp.
6.125% due 10/03/2016		5,000		4,204
McKesson Corp.
5.700% due 03/01/2017		5,000		5,003
MGM Mirage
7.500% due 06/01/2016		2,020		1,321
Miller Brewing Co.
5.500% due 08/15/2013		1,000		990
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		35,550		36,794
Nalco Co.
8.875% due 11/15/2013		400		410
New Albertson’s, Inc.
6.570% due 02/23/2028		800		563
7.450% due 08/01/2029		5,100		4,207
7.750% due 06/15/2026		2,150		1,844
Norampac Industries, Inc.
6.750% due 06/01/2013		1,170		1,006
Northwest Airlines, Inc.
7.626% due 04/01/2010		517		471
Northwest Pipeline GP
7.000% due 06/15/2016		5,000		5,281
OneBeacon U.S. Holdings, Inc.
5.875% due 05/15/2013		375		354
Pemex Project Funding Master Trust
1.929% due 06/15/2010		700		690
6.625% due 06/15/2035		3,400		3,089
Petrobras International Finance Co.
7.875% due 03/15/2019		500		547
Petroleos Mexicanos
8.000% due 05/03/2019		7,800		8,502
Quebecor Media, Inc.
7.750% due 03/15/2016		2,800		2,551
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		1,000		945
Rogers Communications, Inc.
6.750% due 03/15/2015		1,800		1,909
Rowan Cos., Inc.
5.880% due 03/15/2012		1,907		1,989
SandRidge Energy, Inc.
8.625% due 04/01/2015 (b)		6,442		5,814
Sanmina-SCI Corp.
8.125% due 03/01/2016		3,125		2,293
SEACOR Holdings, Inc.
5.875% due 10/01/2012		500		464
SemGroup LP
8.750% due 11/15/2015 (a)		5,150		232
Sensata Technologies BV
8.000% due 05/01/2014		2,940		1,459
Tesco PLC
5.500% due 11/15/2017		9,250		9,437
Time Warner Cable, Inc.
5.850% due 05/01/2017		1,350		1,350
Time Warner, Inc.
6.875% due 05/01/2012		2,625		2,810
TRW Automotive, Inc.
7.250% due 03/15/2017		2,200		1,529
Tyco International Finance S.A.
6.375% due 10/15/2011		445		469
6.750% due 02/15/2011		500		520
UAL 1991 Equipment Trust AB
10.850% due 02/19/2015 (a)		952		295
United Airlines, Inc.
6.201% due 03/29/2049		21		21
7.336% due 01/02/2021		445		234
7.730% due 07/01/2010		248		243
Vale Overseas Ltd.
6.250% due 01/11/2016		3,200		3,288
6.250% due 01/23/2017		3,700		3,749
8.250% due 01/17/2034		4,025		4,568
Valero Energy Corp.
6.125% due 06/15/2017		8,045		7,768
6.875% due 04/15/2012		1,550		1,650
9.375% due 03/15/2019		4,000		4,564
Verso Paper Holdings LLC
9.125% due 08/01/2014		2,400		1,128
Viacom, Inc.
6.250% due 04/30/2016		5,000		4,932
Walt Disney Co.
6.200% due 06/20/2014		500		558
6.375% due 03/01/2012		640		703
Williams Cos., Inc.
7.625% due 07/15/2019		925		915
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		1,000		1,005
Wynn Las Vegas LLC
6.625% due 12/01/2014		45		40
XTO Energy, Inc.
7.500% due 04/15/2012		3,500		3,880
Yum! Brands, Inc.
6.250% due 03/15/2018		5,000		5,153
				364,147
UTILITIES 4.5%
AT&T Corp.
7.300% due 11/15/2011		947		1,039
Beaver Valley II Funding
9.000% due 06/01/2017		260		257
Carolina Power & Light Co.
5.125% due 09/15/2013		750		795
CenturyTel, Inc.
6.000% due 04/01/2017		5,000		4,519
Constellation Energy Group, Inc.
7.000% due 04/01/2012		655		677
Consumers Energy Co.
5.000% due 02/15/2012		1,500		1,526
Dayton Power & Light Co.
5.125% due 10/01/2013		1,480		1,514
Dominion Resources, Inc.
5.700% due 09/17/2012		260		277
Duke Energy Carolinas LLC
4.500% due 04/01/2010		1,250		1,267
5.300% due 10/01/2015		1,500		1,573
5.625% due 11/30/2012		225		241
Enel Finance International S.A.
5.700% due 01/15/2013		4,850		5,074
Energy Future Holdings Corp.
10.875% due 11/01/2017		2,000		1,470
Frontier Communications Corp.
7.000% due 11/01/2025		400		286
7.875% due 01/15/2027		1,750		1,409
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013 (a)		4,000		60
Homer City Funding LLC
8.734% due 10/01/2026		3,714		3,324
Ipalco Enterprises, Inc.
8.625% due 11/14/2011		4,125		4,166
Kinder Morgan Finance Co. ULC
5.350% due 01/05/2011		4,000		3,940
Majapahit Holding BV
7.250% due 10/17/2011		7,600		7,486
7.250% due 06/28/2017		400		342
7.750% due 10/17/2016		600		531
7.875% due 06/29/2037		400		302
MidAmerican Energy Holdings Co.
5.875% due 10/01/2012		300		320
Midwest Generation LLC
8.560% due 01/02/2016		355		348
Nevada Power Co.
5.875% due 01/15/2015		450		462
6.500% due 05/15/2018		6,050		6,193
New Cingular Wireless Services, Inc.
8.125% due 05/01/2012		2,175		2,437
Nextel Communications, Inc.
7.375% due 08/01/2015		4,625		3,712
NRG Energy, Inc.
7.375% due 02/01/2016		3,675		3,487
7.375% due 01/15/2017		330		312
Pedernales Electric Cooperative
5.952% due 11/15/2022		500		464
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022		3,600		2,985
PSEG Energy Holdings LLC
8.500% due 06/15/2011		1,200		1,218
PSEG Power LLC
5.500% due 12/01/2015		900		895
6.950% due 06/01/2012		270		291
Qwest Communications International, Inc.
7.500% due 02/15/2014		11,225		10,299
Qwest Corp.
6.500% due 06/01/2017		1,000		885
7.250% due 09/15/2025		2,250		1,732
7.250% due 10/15/2035		1,365		996
7.500% due 06/15/2023		3,900		3,120
7.625% due 06/15/2015		1,250		1,181
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		470		395
RRI Energy, Inc.
6.750% due 12/15/2014		3,728		3,611
Sierra Pacific Power Co.
6.000% due 05/15/2016		1,700		1,724
Sprint Capital Corp.
8.375% due 03/15/2012		850		841
Sprint Nextel Corp.
6.000% due 12/01/2016		5,200		4,277
Telefonos de Mexico SAB de C.V.
5.500% due 01/27/2015		1,850		1,858
Telesat Canada
11.000% due 11/01/2015		1,000		1,030
Verizon Communications, Inc.
5.250% due 04/15/2013		200		210
5.550% due 02/15/2016		400		415
Verizon Global Funding Corp.
4.375% due 06/01/2013		500		511
Verizon New York, Inc.
6.875% due 04/01/2012		25		27
Verizon Pennsylvania, Inc.
5.650% due 11/15/2011		500		524
Virginia Electric and Power Co.
4.750% due 03/01/2013		245		251
				99,086
Total Corporate Bonds & Notes (Cost $1,036,006)				938,986
MUNICIPAL BONDS & NOTES 1.8%
Adams County, Pennsylvania General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
4.750% due 11/15/2028		1,000		999
California State Chino Valley Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2006
0.000% due 08/01/2023		850		351
California State University Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2030		100		94
Chicago, Illinois Board of Education General Obligation Bonds, (MBIA-FGIC Insured), Series 1998
0.000% due 12/01/2027		2,000		654
Clovis, California Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 08/01/2020		500		272
Connecticut State Housing Finance Authority Revenue Bonds, Series 1997
6.880% due 11/15/2011		500		506
East Bay, California Municipal Utility District Revenue Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 06/01/2032		7,915		7,840
Florida State Board of Education General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 06/01/2037		500		471
Florida State Board of Education General Obligation Bonds, Series 2008
4.750% due 06/01/2037		2,300		2,200
Florida State General Obligation Bonds, Series 2008
5.250% due 07/01/2037		400		406
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2033		980		657
5.750% due 06/01/2047		800		481
Indiana University Revenue Bonds, Series 2008
5.000% due 06/01/2038		600		600
Kentucky State Property & Buildings Commission Revenue Bonds, (MBIA Insured), Series 2003
5.020% due 10/01/2014		500		524
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		400		390
Los Angeles, California Community College District General Obligation Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 08/01/2032		900		856
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 07/01/2037		1,800		1,712
5.000% due 07/01/2044		5,000		4,724
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2022		700		672
4.500% due 07/01/2023		800		762
4.500% due 07/01/2024		1,100		1,040
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
4.500% due 07/01/2025		700		649
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2029		800		525
5.000% due 06/01/2041		1,930		1,046
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2037		700		688
New York State Urban Development Corp. Revenue Notes, Series 2003
4.970% due 12/15/2012		500		532
North Texas State Municipal Water District Revenue Bonds, (MBIA Insured), Series 2006
5.000% due 09/01/2035		600		601
Northern Alaska State Tobacco Securitization Corp. Revenue Bonds, Series 2006
5.000% due 06/01/2046		100		54
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		4,000		2,263
San Bernardino, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		500		481
Southern California State Tobacco Securitization Authority Revenue Bonds, Series 2006
5.000% due 06/01/2037		450		273
Tamalpais, California Union High School District General Obligation Bonds, (MBIA Insured), Series 2001
5.000% due 08/01/2026		2,000		2,023
University of Arkansas Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 11/01/2037		600		595
University of California Revenue Bonds, (FSA-CR/FGIC Insured), Series 2007
5.000% due 05/15/2037		200		192
5.000% due 05/15/2041		400		377
University of California Revenue Bonds, Series 2008
5.000% due 05/15/2036		700		672
Washington State General Obligation Bonds, Series 2008
5.000% due 01/01/2033		400		398
West Orange Cove, Texas Consolidated Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2008
4.750% due 02/15/2038		2,200		2,110
Total Municipal Bonds & Notes (Cost $42,644)				39,690
U.S. GOVERNMENT AGENCIES 20.3%
Fannie Mae
0.768% due 10/18/2030		14		14
0.814% due 03/25/2017		76		75
0.966% due 08/05/2010 (e)		14,501		14,530
2.638% due 03/01/2044		136		136
3.755% due 04/01/2036		311		320
4.042% due 03/01/2036		323		333
4.500% due 05/01/2023 - 07/01/2039		14,046		14,078
4.532% due 09/01/2031		27		27
4.647% due 12/01/2036		200		201
4.919% due 02/01/2035		212		219
5.000% due 02/25/2017 - 07/01/2039		1,781		1,823
5.500% due 02/01/2037 - 10/01/2038 (g)		231,641		239,409
5.500% due 03/01/2037 - 10/01/2038		16,143		16,686
6.000% due 05/01/2038 (g)		15,674		16,407
6.000% due 07/01/2039		700		732
6.260% due 03/01/2011		373		392
6.500% due 06/25/2028 - 07/01/2039		673		700
6.850% due 12/18/2027		190		204
Farm Credit Bank of Texas
7.561% due 11/29/2049		500		325
Federal Home Loan Bank
1.625% due 07/27/2011		6,200		6,239
4.060% due 08/25/2009		215		216
Freddie Mac
0.549% due 02/15/2019		5,503		5,403
0.819% due 09/15/2030		47		46
0.888% due 02/01/2011		815		814
0.896% due 05/05/2011 (e)		5,448		5,450
0.926% due 05/04/2011		10,000		10,026
0.937% due 08/05/2011 (e)		98,420		98,456
2.638% due 10/25/2044		230		227
2.639% due 02/25/2045		38		36
2.838% due 07/25/2044		413		409
3.326% due 05/01/2023		23		23
5.000% due 09/15/2024		303		305
5.500% due 03/15/2017 - 07/01/2038		3,413		3,555
6.500% due 07/25/2043		18		19
7.000% due 06/15/2013		33		33
7.500% due 06/01/2024		7		8
Ginnie Mae
3.956% due 09/16/2021		180		181
4.045% due 07/16/2020		581		589
4.125% due 11/20/2023 - 11/20/2027		84		85
4.375% due 03/20/2026		28		28
4.385% due 08/16/2030		1,037		1,058
4.625% due 07/20/2026		36		37
5.146% due 06/16/2023		57		57
5.375% due 05/20/2026		41		42
6.569% due 09/16/2026		857		921
9.250% due 12/20/2019 - 06/20/2021		18		20
New Valley Generation I
7.299% due 03/15/2019		757		828
Private Export Funding Corp.
4.550% due 05/15/2015		750		801
Small Business Administration
4.340% due 03/01/2024		232		237
4.504% due 02/01/2014		61		63
5.130% due 09/01/2023		44		46
5.886% due 09/01/2011		226		236
6.030% due 02/01/2012		892		933
6.900% due 12/01/2020		772		836
7.150% due 03/01/2017		314		341
7.300% due 05/01/2017		186		203
Vendee Mortgage Trust
6.000% due 12/15/2030		1,000		920
Total U.S. Government Agencies (Cost $439,066)				446,338
U.S. TREASURY OBLIGATIONS 0.2%
U.S. Treasury Notes
0.875% due 04/30/2011 (h)		3,932		3,922
Total U.S. Treasury Obligations (Cost $3,929)				3,922
MORTGAGE-BACKED SECURITIES 7.2%
Adjustable Rate Mortgage Trust
4.973% due 01/25/2035		7,721		6,206
5.409% due 01/25/2036		662		512
American Home Mortgage Assets
0.524% due 10/25/2046		2,010		655
American Home Mortgage Investment Trust
5.660% due 09/25/2045		466		286
Banc of America Commercial Mortgage, Inc.
5.451% due 01/15/2049		10,500		7,862
5.492% due 02/10/2051		2,220		1,564
5.837% due 06/10/2049		2,900		2,061
5.929% due 05/10/2045		2,400		2,008
5.935% due 02/10/2051		4,400		3,561
Banc of America Funding Corp.
0.810% due 06/26/2035		3,000		2,439
4.000% due 07/26/2036		2,000		1,498
5.745% due 03/20/2036		512		299
Banc of America Mortgage Securities, Inc.
4.185% due 07/25/2034		547		439
5.433% due 02/25/2036		178		119
Bear Stearns Adjustable Rate Mortgage Trust
2.900% due 03/25/2035		7,319		6,333
4.991% due 01/25/2035		117		87
5.088% due 02/25/2033		8		7
5.106% due 01/25/2034		34		26
5.409% due 01/25/2034		14		11
5.457% due 05/25/2047		1,532		894
5.609% due 02/25/2033		72		67
5.733% due 02/25/2036		491		289
Bear Stearns Alt-A Trust
0.534% due 12/25/2046		325		32
5.303% due 08/25/2036		700		266
5.362% due 05/25/2035		119		80
5.490% due 09/25/2035		2,347		1,275
Chase Commercial Mortgage Securities Corp.
7.631% due 07/15/2032		499		505
Citicorp Mortgage Securities, Inc.
5.500% due 10/25/2033		12		12
Citigroup Commercial Mortgage Trust
5.888% due 12/10/2049		1,880		1,492
Citigroup Mortgage Loan Trust, Inc.
4.669% due 08/25/2035		599		178
4.685% due 03/25/2034		170		146
5.994% due 09/25/2037		2,523		1,368
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.886% due 11/15/2044		1,000		800
CitiMortgage Alternative Loan Trust
6.000% due 06/25/2037		573		369
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		4,400		3,221
Countrywide Alternative Loan Trust
0.510% due 12/20/2046		3,067		1,232
0.525% due 07/20/2046		1,506		582
0.544% due 08/25/2046		422		84
0.595% due 09/20/2046		600		61
0.644% due 11/20/2035		602		273
2.340% due 12/25/2035		762		346
5.306% due 10/25/2035		464		317
5.750% due 03/25/2037		500		229
6.000% due 10/25/2032		4		4
Countrywide Home Loan Mortgage Pass-Through Trust
0.544% due 05/25/2035		299		133
0.614% due 04/25/2046		550		91
4.789% due 04/20/2035		1,141		1,004
5.309% due 10/19/2032		8		2
5.528% due 02/25/2034		1,557		1,277
Credit Suisse Mortgage Capital Certificates
5.383% due 02/15/2040		500		338
5.681% due 02/15/2039		5,000		4,520
CS First Boston Mortgage Securities Corp.
3.755% due 06/25/2033		802		669
4.666% due 03/15/2036		11,500		11,091
5.435% due 09/15/2034		478		487
CSAB Mortgage-Backed Trust
6.172% due 06/25/2036		798		425
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.000% due 10/25/2018		486		465
5.500% due 12/25/2035		700		396
5.590% due 10/25/2035		463		239
6.300% due 07/25/2036		700		351
First Horizon Asset Securities, Inc.
3.170% due 07/25/2033		326		289
General Electric Capital Assurance Co.
5.254% due 05/12/2035		1,000		948
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		12,000		12,026
Greenpoint Mortgage Pass-Through Certificates
4.826% due 10/25/2033		1,092		827
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		2,497		2,142
6.624% due 05/03/2018		600		646
GSR Mortgage Loan Trust
5.176% due 01/25/2036		613		412
5.347% due 11/25/2035		440		315
Homebanc Mortgage Trust
5.797% due 04/25/2037		509		355
Indymac Index Mortgage Loan Trust
0.554% due 07/25/2035		171		75
0.584% due 06/25/2037		642		142
JPMorgan Chase Commercial Mortgage Securities Corp.
5.050% due 12/12/2034		14,800		14,071
5.336% due 05/15/2047		2,100		1,616
5.429% due 12/12/2043		2,140		1,736
5.506% due 12/12/2044		4,985		4,676
5.794% due 02/12/2051		2,700		2,024
5.935% due 02/12/2049		1,600		1,214
LB-UBS Commercial Mortgage Trust
5.372% due 09/15/2039		1,700		1,383
5.424% due 02/15/2040		740		540
5.430% due 02/15/2040		3,300		2,395
5.866% due 09/15/2045		700		537
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.489% due 10/15/2017		2,609		2,486
MASTR Adjustable Rate Mortgages Trust
0.554% due 05/25/2037		486		207
0.654% due 05/25/2047		500		38
4.327% due 11/25/2033		70		59
5.145% due 08/25/2034		185		151
MASTR Alternative Loans Trust
0.714% due 03/25/2036		1,135		408
Merrill Lynch Alternative Note Asset
5.557% due 06/25/2037		580		267
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		600		401
5.700% due 09/12/2049		750		519
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		2,948		1,593
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		4,109		3,318
Morgan Stanley Capital I
5.332% due 12/15/2043		10,000		7,507
5.692% due 04/15/2049		1,200		878
5.809% due 12/12/2049		4,200		3,212
6.076% due 06/11/2049		3,400		2,570
Morgan Stanley Mortgage Loan Trust
5.380% due 06/25/2036		227		186
Nomura Asset Acceptance Corp.
5.820% due 03/25/2047		500		292
Provident Funding Mortgage Loan Trust
3.680% due 08/25/2033		468		392
Residential Accredit Loans, Inc.
0.544% due 05/25/2037		816		169
5.880% due 02/25/2036		424		217
Residential Asset Securitization Trust
0.714% due 01/25/2046		2,538		1,164
Residential Funding Mortgage Securities I
5.202% due 09/25/2035		658		472
Salomon Brothers Mortgage Securities VII, Inc.
0.814% due 05/25/2032		70		64
Structured Adjustable Rate Mortgage Loan Trust
5.334% due 01/25/2035		946		636
6.000% due 03/25/2036		460		234
Structured Asset Mortgage Investments, Inc.
0.534% due 05/25/2036		3,437		1,364
0.574% due 05/25/2046		532		117
Structured Asset Securities Corp.
3.986% due 06/25/2033		1,159		858
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		2,308		1,699
5.617% due 05/15/2046		700		609
Wachovia Mortgage Loan Trust LLC
5.453% due 10/20/2035		493		365
WaMu Mortgage Pass-Through Certificates
0.854% due 12/25/2027		455		341
2.090% due 06/25/2047		615		199
2.139% due 02/25/2047		1,702		686
2.340% due 08/25/2046		1,023		366
2.740% due 06/25/2042		17		12
2.877% due 02/27/2034		21		17
2.909% due 06/25/2033		327		256
5.394% due 02/25/2037		1,655		983
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.100% due 04/25/2047		802		223
2.110% due 04/25/2047		757		190
2.180% due 05/25/2047		758		149
Washington Mutual MSC Mortgage Pass-Through Certificates
5.380% due 02/25/2033		7		6
Wells Fargo Mortgage-Backed Securities Trust
0.814% due 07/25/2037		1,076		652
4.981% due 12/25/2034		1,017		907
5.593% due 07/25/2036		671		451
Total Mortgage-Backed Securities (Cost $186,107)				157,842
ASSET-BACKED SECURITIES 1.2%
Aurum CLO 2002-1 Ltd.
1.561% due 04/15/2014		3,948		3,671
Chase Issuance Trust
0.969% due 11/15/2011		1,000		1,001
Countrywide Asset-Backed Certificates
0.424% due 10/25/2046		36		33
CPL Transition Funding LLC
6.250% due 01/15/2017		750		820
Denver Arena Trust
6.940% due 11/15/2019		242		213
Detroit Edison Securitization Funding LLC
6.420% due 03/01/2015		750		816
Ford Credit Auto Owner Trust
1.219% due 01/15/2011		2,405		2,407
GSAA Trust
0.614% due 03/25/2037		700		231
0.614% due 05/25/2047		700		244
JCP&L Transition Funding LLC
6.160% due 06/05/2019		650		709
JPMorgan Mortgage Acquisition Corp.
0.374% due 03/25/2047		245		177
Lehman XS Trust
0.544% due 06/25/2046		636		109
Morgan Stanley ABS Capital I
0.364% due 10/25/2036		863		803
Morgan Stanley Mortgage Loan Trust
0.674% due 04/25/2037		700		255
5.726% due 10/25/2036		500		347
Residential Asset Securities Corp.
0.384% due 11/25/2036		196		194
SLM Student Loan Trust
1.072% due 04/25/2014		678		676
1.242% due 01/25/2017		324		322
2.592% due 04/25/2023		13,653		13,942
Total Asset-Backed Securities (Cost $27,851)				26,970
SOVEREIGN ISSUES 16.7%
Banque Centrale de Tunisie
7.375% due 04/25/2012		3,361		3,613
8.250% due 09/19/2027		570		590
Brazil Government International Bond
5.875% due 01/15/2019		18,700		18,962
6.000% due 01/17/2017		2,100		2,166
8.250% due 01/20/2034		2,500		2,981
8.750% due 02/04/2025		2,830		3,495
8.875% due 10/14/2019		28,600		35,178
8.875% due 04/15/2024		8,057		10,051
11.000% due 08/17/2040		14,300		18,676
China Development Bank Corp.
5.000% due 10/15/2015		500		518
Colombia Government International Bond
7.375% due 01/27/2017		9,700		10,491
7.375% due 09/18/2037		3,900		3,998
8.250% due 12/22/2014		5,200		6,032
10.375% due 01/28/2033		275		365
10.750% due 01/15/2013		8,800		10,692
11.750% due 02/25/2020		725		993
Croatia Government International Bond
2.500% due 07/30/2010		42		41
Export-Import Bank of China
4.875% due 07/21/2015		2,050		2,136
5.250% due 07/29/2014		6,625		7,064
Export-Import Bank of Korea
1.094% due 11/16/2010		400		386
Guatemala Government Bond
9.250% due 08/01/2013		1,845		2,025
10.250% due 11/08/2011		1,000		1,092
Hong Kong Government International Bond
5.125% due 08/01/2014		750		799
Indonesia Government International Bond
6.875% due 03/09/2017		10,600		10,318
6.875% due 01/17/2018		1,800		1,719
11.625% due 03/04/2019		3,500		4,442
Korea Development Bank
0.996% due 11/22/2012		8,200		7,240
1.507% due 10/20/2009		1,600		1,588
5.300% due 01/17/2013		800		791
5.750% due 09/10/2013		385		387
Mexico Government International Bond
5.950% due 03/19/2019		40,600		41,209
6.750% due 09/27/2034		10,100		10,236
8.000% due 09/24/2022		45		53
Panama Government International Bond
6.700% due 01/26/2036		2,179		2,125
7.250% due 03/15/2015		7,825		8,568
8.875% due 09/30/2027		2,600		3,152
9.375% due 04/01/2029		1,705		2,148
Peru Government International Bond
6.550% due 03/14/2037		320		312
8.375% due 05/03/2016		7,421		8,590
8.750% due 11/21/2033		1,000		1,223
Philippines Government International Bond
6.375% due 01/15/2032		12,300		11,193
7.750% due 01/14/2031		3,700		3,867
8.375% due 06/17/2019		5,310		6,133
Poland Government International Bond
4.000% due 10/27/2024		55		47
Russia Government International Bond
7.500% due 03/31/2030		53,737		53,441
8.250% due 03/31/2010		222		229
South Africa Government International Bond
5.875% due 05/30/2022		750		690
6.500% due 06/02/2014		7,500		7,894
6.875% due 05/27/2019		8,400		8,673
7.375% due 04/25/2012		2,730		2,938
Uruguay Government International Bond
7.625% due 03/21/2036		1,000		968
8.000% due 11/18/2022		12,054		12,657
9.250% due 05/17/2017		100		115
Vietnam Government International Bond
4.000% due 03/12/2028		10,000		7,731
6.875% due 01/15/2016		3,000		2,997
Total Sovereign Issues (Cost $359,820)				366,018
FOREIGN CURRENCY-DENOMINATED ISSUES 11.5%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	10,900		615
Atlas Reinsurance PLC
5.520% due 01/10/2010	EUR	1,500		2,094
Bank of America Corp.
4.750% due 05/23/2017		300		300
Banque Centrale de Tunisie
6.250% due 02/20/2013		2,820		4,134
Barclays Bank PLC
6.000% due 01/23/2018		200		272
BNP Paribas Capital Trust VI
5.868% due 01/29/2049		4,870		4,953
Brazil Government International Bond
12.500% due 01/05/2016	BRL	1,000		569
Brazil Notas do Tesouro Nacional Series B
6.000% due 08/15/2024		26,700		23,807
Chesapeake Energy Corp.
6.250% due 01/15/2017	EUR	1,925		2,390
Citigroup Capital XVIII
6.829% due 06/28/2067	GBP	500		432
Citigroup, Inc.
4.750% due 02/10/2019	EUR	5,000		4,774
Codere Finance Luxembourg S.A.
8.250% due 06/15/2015		1,500		1,326
Colombia Government International Bond
12.000% due 10/22/2015	COP	10,000,000		5,358
Deutsche Telekom International Finance BV
8.125% due 05/29/2012	EUR	2,334		3,721
Enterprise Inns PLC
6.500% due 12/06/2018	GBP	900		1,074
FCE Bank PLC
2.120% due 09/30/2009	EUR	400		553
Gaz Capital S.A.
5.440% due 11/02/2017		200		216
5.875% due 06/01/2015		14,000		16,768
7.800% due 09/27/2010		3,500		5,071
General Electric Capital Corp.
4.625% due 09/15/2066		5,700		4,655
Goldman Sachs Group, Inc.
1.665% due 02/04/2013		500		639
Green Valley Ltd.
5.045% due 01/10/2011		1,300		1,765
HBOS Capital Funding LP
6.461% due 11/29/2049	GBP	1,560		924
HSBC Holdings PLC
5.375% due 12/20/2012	EUR	298		437
6.000% due 06/10/2019		2,000		2,812
6.375% due 10/18/2022	GBP	100		162
Ineos Group Holdings PLC
7.875% due 02/15/2016	EUR	1,900		840
International Endesa BV
6.125% due 07/05/2012	GBP	1,080		1,859
Lehman Brothers Holdings, Inc.
5.259% due 06/12/2013 (a)	EUR	3,472		718
Lighthouse International Co. S.A.
8.000% due 04/30/2014		2,250		1,499
Mexican Bonos
7.250% due 12/15/2016	MXN	52,000		3,802
Mitchells & Butlers Finance PLC
6.469% due 09/15/2032	GBP	1,700		1,629
Mizuho Bank Ltd.
1.317% due 11/24/2049	JPY	100,000		1,034
Mizuho Financial Group Aruba AEC
1.883% due 12/31/2049		100,000		1,037
Nordic Telephone Co. Holdings ApS
8.250% due 05/01/2016	EUR	3,300		4,560
OI European Group BV
6.875% due 03/31/2017		820		1,012
PagesJaunes Groupe
2.463% due 01/11/2014		4,000		4,573
Pemex Project Funding Master Trust
5.500% due 02/24/2025		14,000		15,098
Punch Taverns Finance PLC
6.468% due 04/15/2033	GBP	7,300		6,037
QBE International Holdings PLC
5.028% due 08/02/2020	AUD	3,000		1,508
Republic of Germany
3.750% due 01/04/2017	EUR	20,000		29,185
4.750% due 07/04/2028		7,900		11,769
Royal Bank of Scotland Group PLC
6.000% due 06/29/2049	GBP	1,620		1,346
6.334% due 04/06/2011		3,129		2,019
SLM Corp.
3.125% due 09/17/2012	EUR	7,000		7,218
4.750% due 03/17/2014		4,400		4,475
South Africa Government International Bond
5.250% due 05/16/2013		1,050		1,493
Sumitomo Mitsui Banking Corp.
0.950% due 06/02/2049	JPY	100,000		984
1.075% due 12/31/2049		100,000		1,008
4.375% due 10/27/2014	EUR	3,500		4,898
Telefonos de Mexico SAB de C.V.
8.750% due 01/31/2016	MXN	128,300		9,372
UBS AG
7.152% due 12/29/2049	EUR	100		88
Unitymedia Hessen GmbH & Co. KG
4.259% due 04/15/2013		2,825		3,653
UPC Broadband Holding BV
4.516% due 12/31/2016		3,750		4,620
4.943% due 12/31/2017		2,705		3,347
UPC Holding BV
7.750% due 01/15/2014		2,300		2,904
Uruguay Government International Bond
6.875% due 01/19/2016		13,000		17,325
Veolia Environnement
4.875% due 05/28/2013		3,460		5,053
Virgin Media Finance PLC
8.750% due 04/15/2014		2,300		3,033
Wind Acquisition Finance S.A.
9.750% due 12/01/2015		2,300		3,162
Total Foreign Currency-Denominated Issues (Cost $282,990)				251,979
SHORT-TERM INSTRUMENTS 5.2%
REPURCHASE AGREEMENTS 1.0%
Barclays Capital, Inc.
0.020% due 07/01/2009	$	13,000		13,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $13,458. Repurchase proceeds are $13,000.)
0.100% due 07/01/2009		4,900		4,900
(Dated 06/30/2009. Collateralized by Freddie Mac 0.926% due 05/04/2011 valued at $5,048. Repurchase proceeds are $4,900.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		4,905		4,905
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $5,004. Repurchase proceeds are $4,905.)				22,805
U.S. TREASURY BILLS 1.4%
0.111% due 07/02/2009 - 07/30/2009 (c)(e)(f)(h)		29,272		29,271
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 2.8%
		6,143,697		61,492
Total Short-Term Instruments (Cost $113,568)				113,568
Total Investments 109.4% (Cost $2,561,067)			$	2,401,306
Written Options (j) (0.0%) (Premiums $821)				(601	)
Other Assets and Liabilities (Net) (9.4%)				(205,367	)
Net Assets 100.0%			$	2,195,338

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $50,249 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) Securities with an aggregate market value of $270 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(g) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $235,274 at a weighted average interest rate of 0.403%. On June 30, 2009, securities valued at $235,890 were pledged as collateral for reverse repurchase agreements.

(h) Securities with an aggregate market value of $4,544 and cash of $2,680 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2009	725	$	(9	)
90-Day Eurodollar December Futures	Long	12/2010	5,638		(4,001	)
Euro-Bobl September Futures	Long	09/2009	18		18
Euro-Bund 10-Year Bond September Futures	Long	09/2009	160		548
U.S. Treasury 10-Year Note September Futures	Long	09/2009	1		(1	)
				$	(3,445	)

(i) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Alcoa, Inc.	BOA	(0.560	%)	03/20/2017	4.168	%	$	5,000	$	983		$	0	$	983
American General Finance Corp.	MLP	(1.370	%)	12/20/2017	12.008	%		2,500		1,027			0		1,027
American General Finance Corp.	RBS	(1.300	%)	12/20/2017	12.008	%		2,500		1,034			0		1,034
CenturyTel, Inc.	BOA	(0.595	%)	06/20/2017	0.915	%		5,000		108			0		108
Con-way, Inc.	BOA	(1.834	%)	03/20/2018	2.227	%		5,000		128			0		128
CSX Corp.	UBS	(0.880	%)	06/20/2017	0.785	%		5,000		(34	)		0		(34	)
Cytec Industries, Inc.	DUB	(1.000	%)	12/20/2015	2.522	%		1,000		80			0		80
Daimler Finance N.A. LLC	BNP	(4.100	%)	09/20/2011	1.524	%		4,500		(256	)		0		(256	)
FBG Finance Ltd.	BCLY	(1.600	%)	06/20/2015	0.773	%		1,000		(45	)		0		(45	)
HCP, Inc.	BOA	(1.227	%)	03/20/2018	3.339	%		5,000		647			0		647
Kohl’s Corp.	BOA	(0.786	%)	12/20/2017	0.793	%		5,000		2			0		2
Kraft Foods, Inc.	DUB	(0.590	%)	09/20/2017	0.580	%		2,000		(2	)		0		(2	)
Kroger Co.	JPM	(0.550	%)	06/20/2018	0.808	%		5,000		96			0		96
Ltd. Brands, Inc.	GSC	(2.410	%)	09/20/2017	2.573	%		2,000		19			0		19
Marks & Spencer PLC	RBS	(0.950	%)	12/20/2017	1.893	%		5,000		314			0		314
Marsh & McLennan Cos., Inc.	BCLY	(0.760	%)	09/20/2015	0.552	%		5,000		(60	)		0		(60	)
Masco Corp.	CSFB	(0.915	%)	12/20/2016	3.379	%		5,000		682			0		682
McKesson Corp.	BOA	(0.380	%)	03/20/2017	0.331	%		5,000		(17	)		0		(17	)
Sprint Nextel Corp.	JPM	(1.125	%)	12/20/2016	3.755	%		5,000		724			0		724
Time Warner, Inc.	JPM	(0.830	%)	12/20/2016	0.830	%		2,600		(1	)		0		(1	)
Valero Energy Corp.	GSC	(2.700	%)	03/20/2019	2.450	%		4,000		(73	)		0		(73	)
Viacom, Inc.	MSC	(0.900	%)	06/20/2016	1.593	%		5,000		203			0		203
Yum! Brands, Inc.	DUB	(0.820	%)	03/20/2018	0.722	%		5,000		(37	)		0		(37	)
									$	5,522		$	0	$	5,522

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value	Upfront Premiums Paid/ (Received)	Unrealized Appreciation/ (Depreciation)
American International Group, Inc.	BCLY	1.950	%	03/20/2013	16.024	%	$	2,800	$(963)	$0	$	(963	)
American International Group, Inc.	RBS	1.975	%	03/20/2013	16.024	%		5,400	(1,854)	0		(1,854	)
Biomet, Inc.	CSFB	8.000	%	03/20/2014	3.724	%		1,473	231	0		231
Brazil Government International Bond	BCLY	2.300	%	12/20/2009	0.793	%		6,700	52	0		52
Brazil Government International Bond	BCLY	1.360	%	08/20/2011	1.177	%		1,800	16	0		16
Brazil Government International Bond	BCLY	1.370	%	08/20/2011	1.177	%		1,800	16	0		16
Brazil Government International Bond	CSFB	3.350	%	12/20/2009	0.793	%		5,000	65	0		65
Brazil Government International Bond	DUB	2.340	%	12/20/2009	0.793	%		12,500	100	0		100
Brazil Government International Bond	MSC	1.470	%	02/20/2017	1.913	%		700	(16)	0		(16	)
Celestica, Inc.	BCLY	2.850	%	09/20/2011	4.008	%		2,100	(50)	0		(50	)
CEMEX SAB de C.V.	JPM	1.050	%	12/20/2016	8.875	%		1,500	(475)	0		(475	)
Chesapeake Energy Corp.	CSFB	1.000	%	06/20/2012	6.758	%		3,700	(534)	0		(534	)
Chesapeake Energy Corp.	CSFB	1.710	%	09/20/2012	6.782	%		5,650	(765)	0		(765	)
Chesapeake Energy Corp.	JPM	5.000	%	09/20/2014	7.108	%		1,900	(148)	(142)		(6	)
CIT Group, Inc.	BOA	5.000	%	09/20/2014	15.218	%		2,000	(579)	(630)		51
CIT Group, Inc.	DUB	5.000	%	09/20/2014	15.218	%		1,700	(491)	(527)		36
CIT Group, Inc.	GSC	5.000	%	09/20/2014	15.218	%		4,000	(1,156)	(1,120)		(36	)
Citigroup, Inc.	MSC	0.163	%	06/20/2011	7.114	%		12,000	(1,504)	0		(1,504	)
Codere Finance S.A.	GSC	3.920	%	12/20/2012	15.182	%	EUR	1,700	(656)	0		(656	)
Codere Finance S.A.	JPM	4.150	%	12/20/2012	15.182	%		1,500	(567)	0		(567	)
Colombia Government International Bond	UBS	1.070	%	01/20/2012	1.527	%	$	1,000	(6)	0		(6	)
El Paso Corp.	BOA	5.000	%	09/20/2014	6.974	%		400	(30)	(30)		0
El Paso Corp.	CSFB	5.000	%	09/20/2014	6.974	%		4,400	(325)	(333)		8
Ford Motor Credit Co. LLC	UBS	5.000	%	12/20/2010	11.061	%		4,400	(343)	(1,100)		757
France Telecom S.A.	UBS	0.330	%	09/20/2011	0.316	%	EUR	3,900	2	0		2
France Telecom S.A.	WAC	0.325	%	09/20/2011	0.316	%		3,900	2	0		2
Freeport-McMoRan Copper & Gold, Inc.	BOA	0.910	%	06/20/2012	2.122	%	$	1,800	(61)	0		(61	)
Freeport-McMoRan Copper & Gold, Inc.	MSC	0.890	%	06/20/2012	2.122	%		5,950	(205)	0		(205	)
General Electric Capital Corp.	BCLY	5.000	%	06/20/2012	4.175	%		5,200	121	134		(13	)
General Electric Capital Corp.	BOAr	7.000	%	06/20/2013	4.342	%		400	37	0		37
General Electric Capital Corp.	CITI	7.250	%	03/20/2012	4.303	%		500	37	0		37
General Electric Capital Corp.	CITI	6.950	%	03/20/2013	4.347	%		5,000	425	0		425
General Electric Capital Corp.	CITI	3.950	%	03/20/2017	4.020	%		9,425	(27)	0		(27	)
General Electric Capital Corp.	DUB	1.070	%	12/20/2012	4.354	%		3,540	(351)	0		(351	)
General Electric Capital Corp.	GSC	5.000	%	06/20/2012	4.175	%		5,000	116	(350)		466
Goldman Sachs Group, Inc.	MSC	0.235	%	06/20/2012	1.693	%		4,000	(164)	0		(164	)
HCA, Inc.	CSFB	5.000	%	03/20/2014	6.455	%		880	(40)	(132)		92
Indonesia Government International Bond	BCLY	2.320	%	12/20/2016	3.211	%		3,000	(156)	0		(156	)
Indonesia Government International Bond	RBS	1.390	%	12/20/2011	2.930	%		5,000	(179)	0		(179	)
Indonesia Government International Bond	RBS	1.525	%	12/20/2011	2.930	%		3,000	(98)	0		(98	)
Indonesia Government International Bond	RBS	2.385	%	09/20/2016	3.206	%		700	(33)	0		(33	)
JSC Gazprom	DUB	1.490	%	09/20/2017	4.189	%		5,000	(777)	0		(777	)
Mexico Government International Bond	CSFB	2.950	%	12/20/2009	1.180	%		5,000	46	0		46
Mexico Government International Bond	DUB	2.400	%	12/20/2009	1.180	%		6,100	39	0		39
Mexico Government International Bond	GSC	2.050	%	09/20/2013	1.909	%		210	2	0		2
Mexico Government International Bond	JPM	0.920	%	03/20/2016	2.125	%		650	(43)	0		(43	)
Mexico Government International Bond	MSC	2.070	%	09/20/2013	1.909	%		530	7	0		7
Mexico Government International Bond	MSC	2.170	%	09/20/2013	1.909	%		120	2	0		2
Mexico Government International Bond	UBS	0.695	%	01/20/2017	2.152	%		500	(44)	0		(44	)
Peru Government International Bond	MSC	1.960	%	10/20/2016	1.889	%		600	5	0		5
Petroleos Mexicanos	BCLY	0.880	%	04/20/2011	1.650	%		11,500	(137)	0		(137	)
Petroleos Mexicanos	BCLY	1.200	%	04/20/2016	2.430	%		3,900	(265)	0		(265	)
Petroleos Mexicanos	DUB	1.000	%	09/20/2017	2.479	%		5,000	(470)	0		(470	)
Philippines Government International Bond	BCLY	1.920	%	09/20/2012	1.962	%		2,500	(2)	0		(2	)
Philippines Government International Bond	BCLY	2.510	%	09/20/2017	2.281	%		1,000	16	0		16
Philippines Government International Bond	BCLY	2.530	%	09/20/2017	2.281	%		1,000	17	0		17
Philippines Government International Bond	CITI	1.770	%	12/20/2017	2.289	%		5,200	(180)	0		(180	)
Philippines Government International Bond	DUB	2.500	%	09/20/2017	2.281	%		4,500	68	0		68
Philippines Government International Bond	MSC	2.440	%	09/20/2017	2.281	%		300	3	0		3
Philippines Government International Bond	UBS	2.260	%	06/20/2013	2.044	%		3,800	32	0		32
RRI Energy, Inc.	GSC	5.000	%	09/20/2014	9.460	%		4,000	(554)	(657)		103
RSHB Capital S.A.	BCLY	1.650	%	07/20/2011	4.405	%		3,900	(180)	0		(180	)
RSHB Capital S.A.	CSFB	1.870	%	10/20/2012	4.427	%		1,400	(101)	0		(101	)
RSHB Capital S.A. for OJSC Russian Agricultural Bank	MSC	2.000	%	10/20/2012	4.427	%		3,000	(203)	0		(203	)
SLM Corp.	BOA	0.820	%	06/20/2012	8.543	%		4,500	(832)	0		(832	)
SLM Corp.	BOA	5.000	%	09/20/2014	7.854	%		5,800	(576)	(652)		76
Sungard Data Systems, Inc.	BCLY	5.000	%	09/20/2014	7.916	%		500	(54)	(55)		1
Sungard Data Systems, Inc.	CITI	5.000	%	09/20/2014	7.916	%		2,100	(227)	(234)		7
Sungard Data Systems, Inc.	CSFB	5.000	%	09/20/2014	7.916	%		2,400	(259)	(270)		11
Telecom Italia Finance S.A.	UBS	0.520	%	09/20/2011	1.594	%	EUR	3,900	(126)	0		(126	)
Telecom Italia Finance S.A.	WAC	0.525	%	09/20/2011	1.594	%		3,900	(126)	0		(126	)
Uruguay Government International Bond	DUB	1.050	%	01/20/2012	3.370	%	$	3,000	(154)	0		(154	)
Wells Fargo & Co.	BCLY	1.000	%	03/20/2013	1.510	%		2,000	(39)	(41)		2
Wells Fargo & Co.	CITI	1.000	%	03/20/2013	1.510	%		1,100	(19)	(25)		6
Wells Fargo & Co.	MSC	1.000	%	03/20/2013	1.510	%		900	(16)	(21)		5
Wells Fargo & Co.	UBS	0.800	%	09/20/2009	1.781	%			(6)	0		(6	)
									$(15,709)	$(6,185)	$	(9,524	)

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
ABX.HE A 06-1 Index	CITI	0.540	%	07/25/2045	$	8,784	$	(8,091	)	$	(231	)	$	(7,860	)
ABX.HE A 06-2 Index	CITI	0.440	%	05/25/2046		7,844		(7,560	)		(534	)		(7,026	)
ABX.HE A 06-2 Index	GSC	0.440	%	05/25/2046		7,431		(7,165	)		(502	)		(6,663	)
ABX.HE A 06-2 Index	UBS	0.440	%	05/25/2046		7,844		(7,563	)		(534	)		(7,029	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.360	%	06/20/2012		8,739		(420	)		0			(420	)
CDX.HY-10 3-Year Index 25-35%	MLP	2.360	%	06/20/2011		2,000		(297	)		0			(297	)
CDX.HY-10 5-Year Index	BCLY	5.000	%	06/20/2013		9,879		(1,218	)		(654	)		(564	)
CDX.HY-11 5-Year Index	GSC	5.000	%	12/20/2013		45,123		(6,999	)		(8,912	)		1,913
CDX.IG-5 Index	GSC	0.450	%	12/20/2010		14,580		(414	)		(6	)		(408	)
CDX.IG-6 Index	DUB	0.400	%	06/20/2011		16,388		(516	)		22			(538	)
CDX.IG-6 Index	MSC	0.400	%	06/20/2011		964		(30	)		0			(30	)
CDX.IG-9 5-Year Index 15-30%	DUB	0.900	%	12/20/2012		500		1			0			1
CDX.IG-9 5-Year Index 15-30%	DUB	1.040	%	12/20/2012		2,500		17			0			17
CDX.IG-9 5-Year Index 15-30%	DUB	1.160	%	12/20/2012		12,300		136			0			136
CDX.IG-9 5-Year Index 15-30%	DUB	1.180	%	12/20/2012		7,400		87			0			87
CDX.IG-9 5-Year Index 15-30%	GSC	1.210	%	12/20/2012		5,000		62			0			62
CDX.IG-9 5-Year Index 15-30%	JPM	1.120	%	12/20/2012		4,800		47			0			47
CDX.IG-9 5-Year Index 30-100%	DUB	0.701	%	12/20/2012		5,153		61			0			61
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012		1,750		21			0			21
CDX.IG-9 5-Year Index 30-100%	DUB	0.710	%	12/20/2012		875		11			0			11
CDX.IG-9 5-Year Index 30-100%	GSC	0.695	%	12/20/2012		1,070		12			0			12
CDX.IG-9 5-Year Index 30-100%	GSC	0.705	%	12/20/2012		1,750		21			0			21
CDX.IG-9 5-Year Index 30-100%	GSC	0.720	%	12/20/2012		13,612		170			0			170
CDX.IG-9 5-Year Index 30-100%	MSC	0.720	%	12/20/2012		972		12			0			12
CDX.IG-11 5-Year Index	GSC	1.500	%	12/20/2013		100,500		(673	)		(673	)		0
iTraxx Europe 4 Index	MSC	0.350	%	12/20/2010	EUR	43,600		(1,072	)		(39	)		(1,033	)
iTraxx Europe 5 Index	MSC	0.400	%	06/20/2011		2,500		(75	)		14			(89	)
iTraxx Europe Crossover 5 Index	DUB	2.900	%	06/20/2011		4,791		(580	)		89			(669	)
iTraxx Europe Crossover 5 Index	JPM	2.900	%	06/20/2011		6,819		(825	)		132			(957	)
iTraxx Europe Crossover 7 Index	DUB	2.300	%	06/20/2012		2,940		(667	)		53			(720	)
iTraxx Europe Crossover 9 Index	DUB	6.500	%	06/20/2013		25,480		(2,500	)		271			(2,771	)
							$	(46,007	)	$	(11,504	)	$	(34,503	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	1.970	%	12/15/2011	JPM	EUR	23,000	$	586		$	0		$	586
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	BCLY		8,000		154			3			151
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	JPM		1,100		21			0			21
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS		1,600		28			0			28
Pay	1-Month EUR-FRCPXTOB Index	1.950	%	03/30/2012	RBS		2,000		34			0			34
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	03/30/2012	GSC		3,200		60			0			60
Pay	1-Year BRL-CDI	11.140	%	01/02/2012	HSBC	BRL	37,300		28			47			(19	)
Pay	1-Year BRL-CDI	11.140	%	01/02/2012	JPM		8,200		6			10			(4	)
Pay	3-Month USD-LIBOR	3.000	%	12/16/2010	RBS	$	17,000		269			228			41
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	CSFB		47,200		2,353			1,788			565
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	DUB		126,500		6,304			4,009			2,295
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	MLP		21,000		1,047			494			553
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	RBS		220,400		10,984			5,043			5,941
Pay	3-Month USD-LIBOR	3.100	%	05/27/2016	BCLY		7,000		(114	)		0			(114	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2016	DUB		1,400		54			116			(62	)
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	DUB		5,600		35			0			35
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	GSC		17,000		106			0			106
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		12,000		1,266			1,219			47
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	MSC		2,100		221			48			173
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		5,300		10			(73	)		83
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	RBS		700		2			(16	)		18
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	GSC	EUR	29,000		3,319			(544	)		3,863
Pay	6-Month EUR-LIBOR	4.000	%	09/19/2017	BCLY		4,100		246			(309	)		555
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2019	DUB		500		57			14			43
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	GSC	GBP	7,500		845			(166	)		1,011
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	RBS		18,100		2,039			(453	)		2,492
Pay	6-Month JPY-LIBOR	2.000	%	12/20/2016	DUB	JPY	2,140,000		1,354			338			1,016
Pay	28-Day MXN TIIE	8.660	%	01/31/2019	BCLY	MXN	29,800		77			152			(75	)
Pay	28-Day MXN TIIE	7.780	%	04/09/2019	JPM		188,000		(426	)		175			(601	)
								$	30,965		$	12,123		$	18,842

(j) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	208	$	47	$	9
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	49		8		3
					$	55	$	12

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009	$	10,000	$	51	$	55
Call - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009		5,000		96		122
Put - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		5,000		105		91
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		38,800		231		31
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	1.750	%	08/21/2009		50,500		111		184
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		19,000		172		106
									$	766	$	589

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.000	%	07/01/2039	$	1,000	$	1,017	$	1,018
Fannie Mae	5.500	%	07/01/2039		55,300		56,620		57,071
Fannie Mae	6.000	%	07/01/2039		16,000		16,599		16,722
Fannie Mae	6.500	%	07/01/2039		1,000		1,064		1,065
Fannie Mae	6.500	%	08/01/2039		500		531		530
						$	75,831	$	76,406

(l) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	GSC	348	07/2009	$	0	$	(7	)	$	(7	)
Buy		JPM	348	07/2009		4		0			4
Buy	BRL	HSBC	400	08/2009		7		0			7
Buy		JPM	44,116	08/2009		286		(163	)		123
Sell		MLP	44,517	08/2009		0		(1,861	)		(1,861	)
Buy	CNY	BCLY	35,054	09/2009		69		0			69
Buy		CITI	22,628	09/2009		55		0			55
Buy		DUB	102,761	09/2009		225		0			225
Buy		HSBC	45,763	09/2009		105		0			105
Buy		JPM	18,707	09/2009		31		0			31
Sell	EUR	BCLY	110,351	07/2009		0		(830	)		(830	)
Sell	GBP	CITI	10,486	07/2009		0		(1,027	)		(1,027	)
Buy		MSC	9,699	07/2009		0		(66	)		(66	)
Buy		RBS	787	07/2009		61		0			61
Sell		MSC	9,699	08/2009		66		0			66
Buy	HUF	BCLY	477	10/2009		0		0			0
Sell		DUB	143	10/2009		0		0			0
Sell		HSBC	477	10/2009		0		0			0
Buy		JPM	143	10/2009		0		0			0
Buy	ILS	BCLY	890	11/2009		11		0			11
Sell		HSBC	890	11/2009		0		0			0
Buy	JPY	BCLY	4,375,155	07/2009		65		0			65
Buy		BNP	2,013,593	07/2009		0		(98	)		(98	)
Sell		BNP	6,170,088	07/2009		0		(71	)		(71	)
Buy		MSC	218,661	08/2009		0		0			0
Sell	MXN	BCLY	26,702	11/2009		0		(26	)		(26	)
Sell		DUB	42	11/2009		0		0			0
Buy		HSBC	235,993	11/2009		86		0			86
Sell		HSBC	2,048	11/2009		0		(3	)		(3	)
Buy		JPM	2,543	11/2009		14		0			14
Sell		JPM	209,744	11/2009		0		(61	)		(61	)
Buy	MYR	BCLY	1,840	08/2009		3		0			3
Sell		CITI	1,840	08/2009		0		(2	)		(2	)
Buy	PHP	CITI	664,847	08/2009		15		(60	)		(45	)
Sell		CITI	664,846	08/2009		0		(143	)		(143	)
Sell	PLN	CITI	191	11/2009		0		(3	)		(3	)
Buy		DUB	56	11/2009		2		0			2
Buy		JPM	135	11/2009		2		0			2
Sell	SGD	BCLY	22,578	07/2009		0		(521	)		(521	)
Buy		CITI	12,051	07/2009		107		0			107
Buy		JPM	10,528	07/2009		277		0			277
Sell	TRY	HSBC	824	07/2009		0		(67	)		(67	)
Buy		JPM	824	07/2009		53		0			53
Sell	ZAR	CITI	1,269	11/2009		0		(18	)		(18	)
Buy		DUB	1,269	11/2009		32		0			32
Buy		JPM	299	11/2009		1		0			1
					$	1,577	$	(5,027	)	$	(3,450	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0		$	880,279		$	58,707	$	938,986
U.S. Government Agencies		0			446,338			0		446,338
Mortgage-Backed Securities		2,439			155,403			0		157,842
Sovereign Issues		0			366,018			0		366,018
Foreign Currency-Denominated Issues		0			246,881			5,098		251,979
Short-Term Instruments		61,492			52,076			0		113,568
Other Investments++		0			120,657			5,918		126,575
Investments, at value	$	63,931		$	2,267,652		$	69,723	$	2,401,306
Short Sales, at value	$	0		$	(76,406	)	$	0	$	(76,406	)
Financial Derivative Instruments+++	$	(3,445	)	$	(24,443	)	$	729	$	(27,159	)
Total	$	60,486		$	2,166,803		$	70,452	$	2,297,741

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)			Total Realized Gain/(Loss)			Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	15,700	$	90		$	0		$	949		$	41,968		$	58,707
Foreign Currency-Denominated Issues		4,752		0		(4	)		0			350			0			5,098
Other Investments++		4,525		914		(3	)		(225	)		707			0			5,918
Investments, at value	$	9,277	$	16,614	$	83		$	(225	)	$	2,006		$	41,968		$	69,723
Financial Derivative Instruments+++	$	2,391	$	0	$	0		$	0		$	(1,633	)	$	(29	)	$	729
Total	$	11,668	$	16,614	$	83		$	(225	)	$	373		$	41,939		$	70,452

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

EM Fundamental IndexPLUS^TM TR Strategy Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 16.2%
BANKING & FINANCE 14.6%
American Express Bank FSB
0.371% due 04/26/2010	$	200	$	198
American Express Centurion Bank
0.478% due 11/16/2009		300		298
American Express Credit Corp.
0.496% due 12/02/2010		330		316
1.708% due 05/27/2010		100		99
American Express Travel Related Services Co., Inc.
0.520% due 06/01/2011		800		710
5.250% due 11/21/2011		300		298
American International Group, Inc.
1.217% due 10/18/2011		200		129
BA Covered Bond Issuer
5.500% due 06/14/2012		700		689
Bank of Scotland PLC
0.689% due 12/08/2010		100		95
Barclays Bank PLC
6.050% due 12/04/2017		900		782
Bear Stearns Cos. LLC
6.400% due 10/02/2017		1,175		1,179
Capital One Financial Corp.
6.150% due 09/01/2016		300		266
Caterpillar Financial Services Corp.
6.125% due 02/17/2014		2,100		2,243
CIT Group, Inc.
4.250% due 02/01/2010		30		27
12.000% due 12/18/2018		100		47
Citibank N.A.
1.625% due 03/30/2011		100		101
Citigroup Capital XXI
8.300% due 12/21/2077		400		312
Citigroup, Inc.
0.902% due 06/09/2016		500		356
1.004% due 05/18/2010		1,800		1,768
5.500% due 04/11/2013		2,600		2,440
6.000% due 02/21/2012		40		40
Deutsche Bank AG
1.154% due 02/17/2015		500		438
6.000% due 09/01/2017		600		613
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		800		692
7.375% due 02/01/2011		1,500		1,358
General Electric Capital Corp.
0.785% due 10/06/2015		1,500		1,193
3.000% due 12/09/2011		100		103
6.875% due 01/10/2039		100		90
Goldman Sachs Group, Inc.
1.236% due 08/05/2011		1,000		960
5.300% due 02/14/2012		200		207
International Lease Finance Corp.
0.881% due 05/24/2010		100		91
4.375% due 11/01/2009		400		387
JPMorgan Chase & Co.
0.734% due 12/21/2011		2,700		2,616
5.750% due 01/02/2013		200		207
Lloyds Banking Group PLC
5.920% due 09/29/2049		100		36
Merrill Lynch & Co., Inc.
0.867% due 06/05/2012		200		178
1.228% due 11/01/2011		1,000		917
1.292% due 07/25/2011		200		185
6.875% due 04/25/2018		300		278
Morgan Stanley
0.550% due 04/19/2012		200		179
1.399% due 01/09/2012		900		812
5.950% due 12/28/2017		600		577
New York Life Global Funding
4.650% due 05/09/2013		200		203
Northern Rock PLC
5.625% due 06/22/2017		2,600		2,279
Pricoa Global Funding I
1.446% due 06/04/2010		200		198
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		5,200		5,195
Santander Issuances S.A. Unipersonal
5.911% due 06/20/2016		200		181
SLM Corp.
1.252% due 07/26/2010		500		454
SLM Corp. CPI Linked Bond
1.741% due 11/21/2013		30		20
Societe Generale
5.922% due 04/29/2049		300		186
USB Capital IX
6.189% due 04/15/2049		100		68
Wachovia Corp.
1.218% due 08/01/2013		500		449
1.261% due 10/15/2011		2,900		2,756
Wells Fargo & Co.
7.980% due 03/29/2049		1,100		914
				37,413
INDUSTRIALS 1.3%
CODELCO, Inc.
7.500% due 01/15/2019		100		116
Petroleos Mexicanos
8.000% due 05/03/2019		100		109
President and Fellows of Harvard College
6.500% due 01/15/2039		200		227
Reynolds American, Inc.
7.750% due 06/01/2018		200		193
Roche Holdings, Inc.
2.661% due 02/25/2011		1,500		1,517
7.000% due 03/01/2039		600		697
Union Pacific Corp.
5.700% due 08/15/2018		500		502
				3,361
UTILITIES 0.3%
Duke Energy Carolinas LLC
5.750% due 11/15/2013		100		108
Verizon Wireless Capital LLC
3.316% due 05/20/2011		500		515
5.250% due 02/01/2012		200		211
				834
Total Corporate Bonds & Notes (Cost $39,907)				41,608
MUNICIPAL BONDS & NOTES 1.6%
Clark County, Nevada General Obligation Bonds, (FSA Insured), Series 2006
4.750% due 06/01/2030		300		269
District of Columbia Revenue Bonds, Series 2009
5.250% due 12/01/2034		600		627
Massachusetts State General Obligation Bonds, Series 2003
5.500% due 10/01/2017		25		29
Miami-Dade County, Florida General Obligation Bonds, Series 2009
5.625% due 07/01/2038		2,100		2,101
New York State Thruway Authority Revenue Bonds, (FSA Insured), Series 2005
4.750% due 01/01/2029		300		290
North Carolina State Capital Facilities Finance Agency Revenue Bonds, Series 2009
5.000% due 10/01/2038		700		711
Total Municipal Bonds & Notes (Cost $3,923)				4,027
U.S. GOVERNMENT AGENCIES 75.1%
Fannie Mae
5.500% due 05/01/2037 - 01/01/2039		22,165		22,909
6.000% due 11/01/2032 - 07/01/2039		141,135		147,704
Freddie Mac
0.937% due 08/05/2011 (d)		19,500		19,507
5.500% due 10/01/2038		1,638		1,693
Ginnie Mae
5.500% due 07/01/2039		500		516
Small Business Administration
6.220% due 12/01/2028		98		106
Total U.S. Government Agencies (Cost $190,663)				192,435
U.S. TREASURY OBLIGATIONS 5.0%
Treasury Inflation Protected Securities (b)
1.625% due 01/15/2015		782		778
1.875% due 07/15/2013		1,162		1,191
1.875% due 07/15/2015		109		111
2.000% due 04/15/2012		526		541
2.375% due 01/15/2025		113		116
2.500% due 07/15/2016		1,268		1,330
U.S. Treasury Bonds
4.250% due 05/15/2039 (e)		7,100		7,023
U.S. Treasury Notes
0.875% due 04/30/2011 (f)		1,656		1,652
Total U.S. Treasury Obligations (Cost $12,301)				12,742
MORTGAGE-BACKED SECURITIES 0.6%
Bear Stearns Commercial Mortgage Securities
5.593% due 06/11/2040		79		80
GS Mortgage Securities Corp. II
6.615% due 02/14/2016		200		216
Thornburg Mortgage Securities Trust
0.414% due 03/25/2037		1,460		1,273
Total Mortgage-Backed Securities (Cost $1,477)				1,569
ASSET-BACKED SECURITIES 0.1%
Asset-Backed Funding Certificates
0.374% due 11/25/2036		116		110
Chase Issuance Trust
5.160% due 04/16/2018		100		101
Countrywide Asset-Backed Certificates
0.364% due 05/25/2047		182		166
Total Asset-Backed Securities (Cost $368)				377
FOREIGN CURRENCY-DENOMINATED ISSUES 1.6%
ASIF III Jersey Ltd.
5.500% due 03/07/2011	EUR	600		721
CIT Group, Inc.
5.000% due 05/13/2014		100		76
Fortis Bank Nederland Holding NV
3.000% due 04/17/2012		100		142
General Electric Capital Corp.
5.500% due 09/15/2067		400		325
LeasePlan Corp. NV
3.125% due 02/10/2012		300		427
Merrill Lynch & Co., Inc.
1.585% due 03/22/2011		400		513
Principal Financial Global Funding LLC
2.750% due 07/12/2010	CHF	100		89
Province of Ontario Canada
5.850% due 03/08/2033	CAD	1,400		1,349
SLM Corp.
3.125% due 09/17/2012	EUR	500		516
Total Foreign Currency-Denominated Issues (Cost $3,967)				4,158
		SHARES
CONVERTIBLE PREFERRED STOCKS 0.1%
American International Group, Inc.
8.500% due 08/01/2011		9,500		91
Wells Fargo & Co.
7.500% due 12/31/2049		200		157
Total Convertible Preferred Stocks (Cost $174)				248
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 11.6%
REPURCHASE AGREEMENTS 0.7%
JPMorgan Chase Bank N.A.
0.010% due 07/01/2009	$	800		800
(Dated 06/30/2009. Collateralized by U.S. Treasury Notes 2.000% due 11/30/2013 valued at $818. Repurchase proceeds are $800.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		1,054		1,054
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $1,080. Repurchase proceeds are $1,054.)
				1,854
U.S. TREASURY BILLS 0.3%
0.106% due 07/16/2009 - 07/23/2009 (a)(d)		630		630
		SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 10.6%
		2,711,444		27,139
Total Short-Term Instruments (Cost $29,624)				29,623
Total Investments 111.9% (Cost $282,404)			$	286,787
Written Options (h) (0.0%) (Premiums $56)				(35	)
Other Assets and Liabilities (Net) (11.9%)				(30,394	)
Net Assets 100.0%			$	256,358

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) Affiliated to the Fund.

(d) Securities with an aggregate market value of $500 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $8,001 at a weighted average interest rate of 0.402%. On June 30, 2009, securities valued at $5,737 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $1,652 and cash of $25 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	6	$	5
90-Day Euribor March Futures	Long	03/2010	10		14
90-Day Eurodollar December Futures	Long	12/2009	51		19
90-Day Eurodollar December Futures	Long	12/2010	264		(217	)
90-Day Eurodollar June Futures	Long	06/2010	264		13
90-Day Eurodollar March Futures	Long	03/2011	260		(325	)
90-Day Eurodollar September Futures	Long	09/2009	10		3
90-Day Eurodollar September Futures	Long	09/2010	263		(111	)
U.S. Treasury 10-Year Note September Futures	Long	09/2009	3		(3	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	6		(5	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	6		(1	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	3		2
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	3		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	6		(3	)
				$	(613	)

(g) Swap agreements outstanding on June 30, 2009:

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	BCLY	BRL	900	$	(4	)	$	0		$	(4	)
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	JPM		600		(3	)		0			(3	)
Pay	1-Year BRL-CDI	10.610	%	01/02/2012	HSBC		1,400		(6	)		0			(6	)
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC	$	22,300		42			(362	)		404
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	RBS		5,300		10			(123	)		133
								$	39		$	(485	)	$	524

Total Return Swaps on Indices

Pay/Receive Total Return on Reference Index	Index	# of Shares or Units	Floating Rate(1)	Notional Amount		Maturity Date	Counterparty	Unrealized Appreciation/ (Depreciation)
Receive	eRAFI EM Index	10,675	1-Month USD-LIBOR plus 1.750%	$	15,516	06/30/2009	CSFB	$	(197	)
Receive	eRAFI EM Index	39,986	1-Month USD-LIBOR plus 1.340%		58,119	01/29/2010	JPM		(706	)
Receive	eRAFI EM Index	81,768	1-Month USD-LIBOR plus 1.370%		118,851	01/29/2010	JPM		(1,447	)
Receive	eRAFI EM Index	20,327	1-Month USD-LIBOR plus 1.390%		29,546	01/29/2010	JPM		(360	)
Receive	eRAFI EM Index	18,540	3-Month USD-LIBOR plus 0.800%		22,730	01/29/2010	JPM		3,855
								$	1,145

⁽¹⁾ 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, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	28	$	6	$	1
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	9		2		1
					$	8	$	2

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009	$	500	$	2	$	1
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		500		2		1
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		2,000		10		11
Put - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		1,000		8		5
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		2,000		8		4
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		2,000		18		11
									$	48	$	33

(i) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.500	%	07/01/2039	$	2,000	$	2,043	$	2,064

(j) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	HSBC	3,041	08/2009	$	101	$	0		$	101
Buy	CAD	JPM	104	08/2009		0		(6	)		(6	)
Buy	CNY	BCLY	284	03/2010		0		0			0
Buy		HSBC	284	03/2010		0		0			0
Buy		JPM	1,738	03/2010		0		(1	)		(1	)
Sell	EUR	BCLY	1,414	07/2009		0		(11	)		(11	)
Sell		GSC	15	07/2009		0		0			0
Sell	GBP	CITI	310	07/2009		0		(30	)		(30	)
Buy		JPM	310	07/2009		0		(2	)		(2	)
Sell		JPM	310	08/2009		2		0			2
Buy	JPY	BNP	7,586	07/2009		0		0			0
Buy		DUB	7,586	07/2009		0		0			0
Sell		DUB	7,586	07/2009		0		0			0
					$	103	$	(50	)	$	53

(k) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0		$	41,608		$	0	$	41,608
U.S. Government Agencies		0			192,435			0		192,435
Short-Term Instruments		27,139			2,484			0		29,623
Other Investments++		248			22,873			0		23,121
Investments, at value	$	27,387		$	259,400		$	0	$	286,787
Short Sales, at value	$	0		$	(2,064	)	$	0	$	(2,064	)
Financial Derivative Instruments+++	$	(613	)	$	542		$	1,145	$	1,074
Total	$	26,774		$	257,878		$	1,145	$	285,797

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
Investments, at value	$	0	$	0	$	0	$	0	$	0		$	0	$	0
Financial Derivative Instruments+++	$	19,108	$	0	$	0	$	0	$	(17,966	)	$	3	$	1,145
Total	$	19,108	$	0	$	0	$	0	$	(17,966	)	$	3	$	1,145

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Emerging Local Bond Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BRAZIL 9.0%
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017	BRL	194,030	$	86,544
Total Brazil (Cost $83,820)				86,544
CHILE 0.7%
Bonos de la Tesoreria de la Republica
4.500% due 10/15/2023	CLP	1,465,311		3,108
Bonos del Banco Central de Chile en UF
3.000% due 05/01/2017		627,991		1,185
3.000% due 07/01/2018		1,172,250		2,214
3.000% due 10/01/2018		31,400		60
Total Chile (Cost $5,535)				6,567
COLOMBIA 6.2%
Bogota Distrito Capital
9.750% due 07/26/2028	COP	31,200,000		12,695
Colombia Government International Bond
9.850% due 06/28/2027		19,070,000		9,050
11.750% due 03/01/2010		1,000		1
12.000% due 10/22/2015		70,076,000		37,548
Total Colombia (Cost $63,949)				59,294
EGYPT 1.4%
Egypt Government Bond
8.750% due 07/18/2012	EGP	10,800		1,911
Petroleum Export Ltd.
4.623% due 06/15/2010	$	1,267		1,243
4.633% due 06/15/2010		200		196
5.265% due 06/15/2011		3,701		3,584
Petroleum Export Ltd. II
6.340% due 06/20/2011		7,338		6,709
Total Egypt (Cost $14,227)				13,643
FRANCE 0.0%
Credit Agricole S.A.
0.714% due 05/28/2010	$	400		398
Total France (Cost $397)				398
GERMANY 1.8%
Citigroup Global Markets Deutschland AG for OAO
Gazprom
10.500% due 10/21/2009	$	16,515		16,948
Total Germany (Cost $16,747)				16,948
HUNGARY 10.9%
Hungary Government Bond
5.500% due 02/12/2014	HUF	9,303,240		40,625
5.500% due 02/12/2016		6,390,600		26,281
6.750% due 04/22/2011		3,745,000		18,440
6.750% due 02/12/2013		4,044,000		18,978
Total Hungary (Cost $132,024)				104,324
INDONESIA 3.6%
Indonesia Government International Bond
9.500% due 07/15/2023	IDR	112,807,000		9,407
10.000% due 02/15/2028		76,479,000		6,266
12.800% due 06/15/2021		176,824,000		18,972
Total Indonesia (Cost $25,388)				34,645
MALAYSIA 0.1%
Malaysia Government International Bond
4.240% due 02/07/2018	MYR	2,000		570
Total Malaysia (Cost $653)				570
MEXICO 1.3%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	87,700		4,947
Pemex Finance Ltd.
9.030% due 02/15/2011	$	2,450		2,622
Pemex Project Funding Master Trust
2.931% due 10/15/2009		2,000		2,002
Telefonos de Mexico SAB de C.V.
4.750% due 01/27/2010		1,000		1,020
8.750% due 01/31/2016	MXN	25,000		1,826
Total Mexico (Cost $15,957)				12,417
NEW ZEALAND 0.3%
ANZ National International Ltd.
1.249% due 04/14/2010	$	2,660		2,637
Total New Zealand (Cost $2,652)				2,637
PERU 3.1%
Peru Government International Bond
7.840% due 08/12/2020	PEN	4,750		1,807
9.910% due 05/05/2015		68,234		28,383
Total Peru (Cost $28,749)				30,190
POLAND 9.5%
Poland Government Bond
5.750% due 09/23/2022	PLN	92,435		27,688
Poland Government International Bond
4.250% due 05/24/2011		320		99
4.750% due 04/25/2012		113,090		35,070
5.250% due 10/25/2017		17,300		5,144
6.250% due 10/24/2015		72,220		23,057
Total Poland (Cost $124,144)				91,058
QATAR 0.5%
Qatar Petroleum
5.579% due 05/30/2011	$	4,312		4,384
Total Qatar (Cost $4,335)				4,384
RUSSIA 1.1%
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013	$	642		624
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.875% due 11/29/2010		1,000		1,016
VTB Capital S.A.
2.716% due 11/02/2009		8,600		8,567
Total Russia (Cost $10,239)				10,207
SOUTH AFRICA 3.8%
South Africa Government International Bond
8.000% due 12/21/2018	ZAR	25,000		3,050
8.250% due 09/15/2017		132,100		16,524
13.500% due 09/15/2015		104,300		16,756
Total South Africa (Cost $33,181)				36,330
SOUTH KOREA 0.1%
Korea Development Bank
1.507% due 10/20/2009	$	1,000		993
Total South Korea (Cost $1,000)				993
THAILAND 4.9%
Bank of Thailand
3.700% due 01/24/2011	THB	29,620		896
Thailand Government Bond
5.125% due 03/13/2018		1,232,830		39,868
6.150% due 07/07/2026		176,000		6,086
Total Thailand (Cost $45,130)				46,850
TURKEY 5.3%
Turkey Government Bond
10.000% due 02/15/2012 (c)	TRY	808		541
12.000% due 08/14/2013 (c)		4,779		3,469
Turkey Government International Bond
14.000% due 01/19/2011		68,608		45,930
15.000% due 02/10/2010		1,055		704
Total Turkey (Cost $54,256)				50,644
UNITED KINGDOM 0.8%
Bank of Scotland PLC
0.669% due 09/14/2009	$	400		397
0.689% due 12/08/2010		1,100		1,048
1.152% due 07/17/2009		600		600
Barclays Bank PLC
10.179% due 06/12/2021		4,680		5,002
Vodafone Group PLC
0.940% due 02/27/2012		200		191
Total United Kingdom (Cost $6,967)				7,238
UNITED STATES 25.2%
ASSET-BACKED SECURITIES 1.0%
Citigroup Mortgage Loan Trust, Inc.
0.354% due 12/25/2036	$	955		745
1.214% due 07/25/2037		1,632		1,364
Countrywide Asset-Backed Certificates
0.364% due 05/25/2037		81		77
0.414% due 05/25/2047		400		349
0.414% due 09/25/2047		1,780		1,560
Credit-Based Asset Servicing & Securitization LLC
0.434% due 07/25/2037		106		79
First Franklin Mortgage Loan Asset-Backed Certificates
0.364% due 11/25/2036		136		129
Indymac Residential Asset-Backed Trust
0.394% due 07/25/2037		821		745
JPMorgan Mortgage Acquisition Corp.
0.374% due 05/25/2037		959		783
Long Beach Mortgage Loan Trust
0.374% due 12/25/2036		39		28
MASTR Asset-Backed Securities Trust
0.394% due 05/25/2037		1,167		945
Merrill Lynch Mortgage Investors, Inc.
0.384% due 08/25/2036		25		25
Morgan Stanley ABS Capital I
0.374% due 05/25/2037		2,889		2,083
Morgan Stanley Mortgage Loan Trust
5.750% due 11/25/2036		420		189
Soundview Home Equity Loan Trust
1.114% due 10/25/2037		82		78
				9,179
CORPORATE BONDS & NOTES 21.6%
Allied Waste North America, Inc.
6.500% due 11/15/2010		100		102
American Express Credit Corp.
1.708% due 05/27/2010		11,600		11,459
American Honda Finance Corp.
1.006% due 02/09/2010		1,500		1,495
American International Group, Inc.
1.094% due 01/29/2010		5,045		4,301
5.375% due 10/18/2011		4,525		3,262
8.175% due 05/15/2058		700		200
Bank of America Corp.
5.650% due 05/01/2018		6,700		5,930
Bank of America N.A.
0.909% due 06/15/2016		12,000		8,936
Bear Stearns Cos. LLC
0.842% due 08/21/2009		100		100
0.902% due 09/09/2009		200		200
0.974% due 05/18/2010		1,900		1,898
1.269% due 01/31/2011		200		198
5.300% due 10/30/2015		300		295
6.400% due 10/02/2017		4,000		4,013
7.250% due 02/01/2018		400		422
Caterpillar Financial Services Corp.
0.875% due 08/20/2010		600		597
1.424% due 02/08/2010		300		300
Citigroup Funding, Inc.
2.036% due 05/07/2010		12,300		12,049
Citigroup, Inc.
5.500% due 04/11/2013		5,800		5,442
8.400% due 04/29/2049 (a)		5,000		3,757
Comcast Corp.
1.439% due 07/14/2009		3,500		3,501
Countrywide Home Loans, Inc.
4.125% due 09/15/2009		700		702
5.625% due 07/15/2009		300		300
Credit Suisse USA, Inc.
0.865% due 11/20/2009		800		799
1.083% due 08/15/2010		200		199
Dominion Resources, Inc.
1.664% due 06/17/2010		900		896
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		10,550		10,184
7.375% due 10/28/2009		1,500		1,487
General Electric Capital Corp.
0.669% due 03/12/2010		8,900		8,819
1.162% due 04/28/2011		6,500		6,218
Goldman Sachs Group, Inc.
0.398% due 11/16/2009		3,600		3,598
0.934% due 11/16/2009		3,500		3,497
HSBC Finance Corp.
0.719% due 03/12/2010		1,000		984
1.134% due 11/16/2009		900		893
1.206% due 05/10/2010		1,500		1,461
John Deere Capital Corp.
1.202% due 07/16/2010		2,600		2,590
1.400% due 06/10/2011		5,100		5,065
1.412% due 10/16/2009		1,300		1,302
1.807% due 01/18/2011		4,000		3,975
JPMorgan Chase & Co.
1.282% due 01/17/2011		8,000		7,916
Kraft Foods, Inc.
1.456% due 08/11/2010		3,000		2,973
Lehman Brothers Holdings, Inc.
2.950% due 05/25/2010 (a)		11,400		1,738
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		12,100		11,217
Metropolitan Life Global Funding I
0.894% due 05/17/2010		4,200		4,166
Morgan Stanley
1.086% due 05/07/2010		6,000		5,914
1.221% due 01/15/2010		2,000		1,984
1.357% due 01/18/2011		2,200		2,132
Pemex Project Funding Master Trust
1.929% due 06/15/2010		14,119		13,916
Pricoa Global Funding I
1.142% due 07/27/2009		750		749
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		4,000		4,010
Reynolds American, Inc.
1.329% due 06/15/2011		9,600		8,984
SLM Corp.
0.829% due 03/15/2011		250		215
1.232% due 07/27/2009		1,000		996
1.252% due 07/26/2010		2,300		2,088
1.322% due 10/25/2011		300		243
1.477% due 12/15/2010	EUR	200		245
5.375% due 05/15/2014	$	600		483
U.S. Bancorp
1.407% due 05/06/2010		100		100
UnitedHealth Group, Inc.
0.789% due 06/21/2010		800		793
Wachovia Corp.
0.718% due 12/01/2009		10,800		10,781
0.749% due 03/15/2011		200		193
1.261% due 10/15/2011		1,000		950
Walt Disney Co.
0.750% due 09/10/2009		400		400
Wells Fargo & Co.
7.980% due 03/29/2049		2,400		1,995
				206,607
MORTGAGE-BACKED SECURITIES 1.5%
American Home Mortgage Assets
0.504% due 05/25/2046		1,180		436
0.504% due 09/25/2046		469		198
2.040% due 02/25/2047		492		162
2.260% due 11/25/2046		3,938		1,806
Banc of America Funding Corp.
5.745% due 03/20/2036		512		299
BCAP LLC Trust
0.484% due 01/25/2037		1,418		542
Bear Stearns Adjustable Rate Mortgage Trust
4.991% due 01/25/2035		80		59
5.733% due 02/25/2036		491		289
Bear Stearns Alt-A Trust
5.303% due 08/25/2036		700		266
5.490% due 09/25/2035		94		51
Chase Mortgage Finance Corp.
5.426% due 03/25/2037		485		298
Citigroup Mortgage Loan Trust, Inc.
4.685% due 03/25/2034		115		99
5.672% due 07/25/2046		371		198
CitiMortgage Alternative Loan Trust
6.000% due 06/25/2037		573		369
Commercial Mortgage Pass-Through Certificates
0.818% due 02/16/2034		591		527
Countrywide Alternative Loan Trust
0.524% due 07/25/2046		186		80
0.644% due 11/20/2035		459		208
2.340% due 12/25/2035		627		284
Countrywide Home Loan Mortgage Pass-Through Trust
6.069% due 09/25/2047		245		144
Downey Savings & Loan Association Mortgage Loan Trust
3.472% due 07/19/2044		1,092		603
GSR Mortgage Loan Trust
5.347% due 11/25/2035		440		315
Harborview Mortgage Loan Trust
0.505% due 08/21/2036		202		86
0.513% due 09/19/2046		287		123
0.813% due 02/19/2034		1,817		822
5.849% due 08/19/2036		206		125
Homebanc Mortgage Trust
5.797% due 04/25/2037		509		355
Indymac IMSC Mortgage Loan Trust
0.494% due 07/25/2047		428		164
Indymac Index Mortgage Loan Trust
0.514% due 06/25/2047		399		166
0.524% due 05/25/2046		132		54
0.554% due 07/25/2035		119		53
Luminent Mortgage Trust
0.484% due 12/25/2036		556		218
0.494% due 12/25/2036		251		90
0.514% due 10/25/2046		223		92
MASTR Adjustable Rate Mortgages Trust
0.524% due 04/25/2046		363		149
0.614% due 05/25/2047		800		86
MASTR Alternative Loans Trust
0.714% due 03/25/2036		197		71
Merrill Lynch Mortgage-Backed Securities Trust
5.845% due 04/25/2037		479		258
Morgan Stanley Mortgage Loan Trust
5.380% due 06/25/2036		155		126
Residential Accredit Loans, Inc.
0.564% due 08/25/2037		373		148
5.880% due 02/25/2036		424		217
Residential Asset Securitization Trust
0.714% due 01/25/2046		480		220
Sequoia Mortgage Trust
5.102% due 01/20/2047		187		107
Structured Adjustable Rate Mortgage Loan Trust
6.000% due 03/25/2036		460		234
Structured Asset Mortgage Investments, Inc.
0.534% due 05/25/2046		427		170
WaMu Mortgage Pass-Through Certificates
2.080% due 01/25/2047		517		181
2.100% due 04/25/2047		767		321
2.139% due 03/25/2047		1,073		438
2.160% due 12/25/2046		480		164
2.877% due 01/25/2047		313		131
5.293% due 01/25/2037		381		223
5.468% due 04/25/2037		261		156
5.575% due 12/25/2036		231		149
5.581% due 12/25/2036		800		493
5.632% due 05/25/2037		638		413
5.928% due 09/25/2036		378		244
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.310% due 05/25/2046		275		117
Wells Fargo Mortgage-Backed Securities Trust
0.814% due 07/25/2037		662		401
				14,798
U.S. GOVERNMENT AGENCIES 1.0%
Fannie Mae
5.500% due 05/01/2036 - 12/01/2036		619		640
Freddie Mac
0.702% due 03/09/2011 (e)		1,462		1,467
0.888% due 02/01/2011 (e)		5,960		5,952
0.926% due 05/04/2011 (e)		1,510		1,514
0.937% due 08/05/2011 (e)		430		430
				10,003
U.S. TREASURY OBLIGATIONS 0.1%
U.S. Treasury Notes
0.875% due 04/30/2011 (f)		1,050		1,047
Total United States (Cost $266,492)				241,634
SHORT-TERM INSTRUMENTS 11.6%
CERTIFICATES OF DEPOSIT 0.5%
Barclays Bank PLC
1.066% due 08/10/2009		5,030		5,029
Deutsche Bank NY
1.383% due 02/16/2010		200		198
				5,227
REPURCHASE AGREEMENTS 0.8%
Barclays Capital, Inc.
0.020% due 07/01/2009		1,000		1,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $1,034. Repurchase proceeds are $1,000.)
0.100% due 07/01/2009		4,300		4,300
(Dated 06/30/2009. Collateralized by Freddie Mac 0.926% due 05/04/2011 valued at $4,431. Repurchase proceeds are $4,300.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		2,198		2,198
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $2,245. Repurchase proceeds are $2,198.)
				7,498
U.S. TREASURY BILLS 2.4%
0.117% due 07/02/2009 - 07/30/2009 (b)(e)		23,250		23,249
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 7.9%
		7,529,274		75,361
Total Short-Term Instruments (Cost $111,337)				111,335
Total Investments 101.2% (Cost $1,047,179)			$	968,850
Written Options (h) (0.2%)				(1,734	)
(Premiums $1,246)
Other Assets and Liabilities (Net) (1.0%)				(9,750	)
Net Assets 100.0%			$	957,366

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $31,328 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) Securities with an aggregate market value of $1,047 and cash of $307 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar December Futures	Long	12/2010	72	$	(36	)
U.S. Treasury 10-Year Note September Futures	Long	09/2009	2		(2	)
				$	(38	)

(g) Swap agreements outstanding on June 30, 2009:

Asset Swaps

Underlying Asset	Receive	Pay Floating Rate	Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Indonesia Government International Bond 10.000% due 07/15/2017	Cash Flow from Underlying Asset	6-Month USD-LIBOR	07/22/2017	DUB	$	4,066	$	(911	)	$	(455	)	$	(456	)
Indonesia Government International Bond 11.000% due 12/15/2012	Cash Flow from Underlying Asset	6-Month USD-LIBOR	12/17/2012	BCLY		8,017		(1,144	)		78			(1,222	)
Indonesia Government International Bond 11.000% due 10/15/2014	Cash Flow from Underlying Asset	6-Month USD-LIBOR	10/17/2014	BCLY		67,470		(10,774	)		(2,347	)		(8,427	)
Malaysia Government International Bond 3.756% due 04/28/2011	Cash Flow from Underlying Asset	6-Month USD-LIBOR	05/02/2011	BCLY		36,140		321			152			169
Malaysia Government International Bond 4.262% due 09/15/2016	Cash Flow from Underlying Asset	6-Month USD-LIBOR	09/19/2016	CITI		30,052		(1,179	)		915			(2,094	)
							$	(13,687	)	$	(1,657	)	$	(12,030	)

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	11.650	%	01/02/2012	BCLY	BRL	32,900	$	176		$	(47	)	$	223
Pay	1-Year BRL-CDI	14.415	%	01/02/2012	BCLY		68,600		2,264			(566	)		2,830
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		264,400		9,964			1,876			8,088
Pay	1-Year BRL-CDI	14.770	%	01/02/2012	BCLY		47,100		1,778			0			1,778
Pay	3-Month MYR- KLIBOR	3.200	%	12/03/2013	BCLY	MYR	59,000		(242	)		0			(242	)
Pay	3-Month MYR- KLIBOR	2.980	%	12/09/2013	BCLY		11,780		(83	)		0			(83	)
Pay	3-Month MYR- KLIBOR	2.825	%	01/06/2014	DUB		29,590		(259	)		0			(259	)
Pay	3-Month ZAR- JIBOR	9.155	%	10/19/2014	BCLY	ZAR	483,000		1,336			(2,203	)		3,539
Pay	6-Month EUR- LIBOR	4.500	%	03/18/2016	JPM	EUR	11,149		1,320			(120	)		1,440
Pay	6-Month THB- THBFIX Reuters	2.780	%	01/23/2014	HSBC	THB	78,730		(75	)		0			(75	)
Pay	6-Month THB- THBFIX Reuters	2.870	%	02/04/2014	BCLY		106,060		(96	)		0			(96	)
Pay	6-Month THB- THBFIX Reuters	3.160	%	04/21/2014	BCLY		136,500		(95	)		0			(95	)
Pay	6-Month THB- THBFIX Reuters	3.170	%	04/21/2014	HSBC		68,250		(46	)		0			(46	)
Pay	6-Month THB- THBFIX Reuters	3.200	%	04/22/2014	BCLY		105,400		(68	)		0			(68	)
Pay	6-Month THB- THBFIX Reuters	3.030	%	04/24/2014	BCLY		65,700		(58	)		0			(58	)
Pay	28-Day MXN TIIE	9.190	%	07/29/2015	JPM	MXN	1,096,000		6,698			0			6,698
Pay	28-Day MXN TIIE	9.850	%	06/19/2018	MLP		204,831		1,818			641			1,177
Pay	28-Day MXN TIIE	9.440	%	10/25/2018	BCLY		517,700		3,431			1,296			2,135
Pay	28-Day MXN TIIE	8.050	%	12/26/2018	CITI		136,300		(90	)		0			(90	)
Pay	28-Day MXN TIIE	8.050	%	12/26/2018	JPM		99,300		(65	)		29			(94	)
								$	27,608		$	906		$	26,702

(h) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	124.000	08/21/2009	3	$	2	$	0
Put - CBOT U.S. Treasury 10-Year Note September Futures		116.000	08/21/2009	3		2		5
Put - CME 90-Day Eurodollar September Futures		98.500	09/14/2009	82		19		3
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	53		8		3
					$	31	$	11

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	3.750	%	11/23/2009	$	91,000	$	892	$	1,177
Put - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	1.750	%	08/21/2009		38,000		90		139
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	2.500	%	08/21/2009		19,000		92		30
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/21/2009		19,000		141		377
									$	1,215	$	1,723

(i) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	BCLY	6,981	08/2009	$	368	$	0		$	368
Sell		BCLY	4,115	08/2009		0		(87	)		(87	)
Buy		CITI	20,419	08/2009		414		0			414
Sell		DUB	6,264	08/2009		0		(177	)		(177	)
Buy		HSBC	68,805	08/2009		1,665		0			1,665
Sell		HSBC	189,372	08/2009		0		(4,895	)		(4,895	)
Buy		JPM	45,154	08/2009		0		(39	)		(39	)
Buy		MLP	27,210	08/2009		125		(32	)		93
Sell		MLP	5,904	08/2009		5		0			5
Buy		UBS	52,800	08/2009		816		0			816
Buy	CLP	BCLY	1,591,291	11/2009		249		0			249
Sell		BCLY	1,726,950	11/2009		0		(248	)		(248	)
Buy		CITI	7,016,075	11/2009		1,037		0			1,037
Sell		CITI	7,499,028	11/2009		11		(699	)		(688	)
Buy		DUB	2,286,341	11/2009		401		0			401
Sell		DUB	1,597,500	11/2009		0		(4	)		(4	)
Sell		HSBC	7,263,550	11/2009		10		(970	)		(960	)
Buy		JPM	15,000,000	11/2009		2,356		0			2,356
Sell		JPM	1,170,000	11/2009		0		(200	)		(200	)
Buy		CITI	1,581,269	11/2010		93		0			93
Buy	CNY	BCLY	51,947	07/2009		2		0			2
Sell		BOA	10,255	07/2009		0		(1	)		(1	)
Buy		CITI	7,337	07/2009		6		0			6
Sell		CITI	47,190	07/2009		0		(149	)		(149	)
Buy		DUB	30,838	07/2009		1		(5	)		(4	)
Sell		DUB	47,059	07/2009		0		(150	)		(150	)
Buy		JPM	45,132	07/2009		0		(393	)		(393	)
Sell		JPM	20,505	07/2009		0		(2	)		(2	)
Sell		RBS	10,245	07/2009		0		0			0
Buy		BCLY	107,576	09/2009		382		0			382
Sell		BCLY	97,295	09/2009		16		(3	)		13
Sell		BOA	33,967	09/2009		24		0			24
Sell		CITI	68,279	09/2009		3		(6	)		(3	)
Buy		DUB	177,832	09/2009		325		(53	)		272
Sell		DUB	41,473	09/2009		28		(1	)		27
Buy		JPM	35,651	09/2009		119		0			119
Sell		JPM	27,244	09/2009		9		0			9
Buy		BCLY	68,823	03/2010		0		(125	)		(125	)
Sell		BCLY	15,535	03/2010		5		0			5
Sell		BOA	8,075	03/2010		1		0			1
Buy		CITI	15,479	03/2010		0		(19	)		(19	)
Sell		CITI	6,643	03/2010		4		0			4
Sell		DUB	20,804	03/2010		16		0			16
Sell		HSBC	6,392	03/2010		3		0			3
Buy		JPM	37,151	03/2010		0		(34	)		(34	)
Sell		JPM	60	03/2010		0		0			0
Buy	COP	BCLY	50,000,000	11/2009		2,036		0			2,036
Sell		BCLY	16,225,552	11/2009		0		(450	)		(450	)
Buy		CITI	13,140,000	11/2009		0		(1	)		(1	)
Sell		CITI	26,139,702	11/2009		0		(846	)		(846	)
Sell		HSBC	12,900,600	11/2009		104		(293	)		(189	)
Sell		JPM	9,114,000	11/2009		14		(175	)		(161	)
Sell		MSC	6,252,000	11/2009		146		0			146
Sell		RBS	7,467,000	11/2009		0		(409	)		(409	)
Buy	CZK	BCLY	16,712	07/2009		37		0			37
Buy		DUB	1,239	07/2009		7		0			7
Buy		HSBC	389	07/2009		1		0			1
Sell		HSBC	21,914	07/2009		0		(72	)		(72	)
Buy		JPM	3,574	07/2009		26		0			26
Sell		BCLY	16,712	11/2009		0		(38	)		(38	)
Sell	EUR	BCLY	1,733	07/2009		0		(13	)		(13	)
Buy		RBS	470	07/2009		8		0			8
Buy	GBP	CITI	829	07/2009		68		0			68
Sell		CITI	829	07/2009		0		(81	)		(81	)
Buy	HKD	BCLY	131	09/2009		0		0			0
Buy		BOA	338	09/2009		0		0			0
Buy		CITI	173	09/2009		0		0			0
Buy		DUB	184	09/2009		0		0			0
Buy		JPM	184	09/2009		0		0			0
Buy	HUF	BCLY	1,673,000	10/2009		593		0			593
Sell		BCLY	1,822,460	10/2009		0		(719	)		(719	)
Sell		CITI	852,827	10/2009		0		(296	)		(296	)
Buy		DUB	1,000,000	10/2009		491		0			491
Sell		DUB	777,065	10/2009		0		(8	)		(8	)
Buy		HSBC	741,832	10/2009		398		0			398
Sell		HSBC	7,689,668	10/2009		0		(3,791	)		(3,791	)
Sell		JPM	1,215,805	10/2009		0		(496	)		(496	)
Buy		UBS	1,670,000	10/2009		224		0			224
Buy	IDR	BCLY	139,766,000	11/2009		13		(229	)		(216	)
Sell		BCLY	360,461,000	11/2009		785		(123	)		662
Sell		CITI	20,800,000	11/2009		24		0			24
Sell		HSBC	110,657,000	11/2009		262		0			262
Buy		JPM	172,050,000	11/2009		845		0			845
Sell		JPM	10,605,000	11/2009		0		(8	)		(8	)
Sell	ILS	JPM	486	11/2009		0		(2	)		(2	)
Sell	INR	BCLY	274	07/2009		0		0			0
Buy		BOA	660	07/2009		1		0			1
Buy		CITI	662	07/2009		1		0			1
Sell		CITI	829	07/2009		0		0			0
Buy		DUB	583	07/2009		1		0			1
Sell		HSBC	274	07/2009		0		0			0
Sell		JPM	275	07/2009		0		0			0
Sell		MSC	252	07/2009		0		0			0
Buy		BCLY	274	10/2009		0		0			0
Buy		CITI	833	10/2009		0		0			0
Buy		HSBC	274	10/2009		0		0			0
Buy		JPM	478,334	10/2009		81		0			81
Buy		MSC	252	10/2009		0		0			0
Sell	KRW	BCLY	2,464,400	07/2009		62		0			62
Sell		BOA	1,261,500	07/2009		8		0			8
Buy		HSBC	12,726,120	07/2009		0		(224	)		(224	)
Buy		JPM	18,136,546	07/2009		0		(360	)		(360	)
Sell		UBS	1,257,200	07/2009		12		0			12
Buy		CITI	295,200	11/2009		0		(7	)		(7	)
Buy	MXN	BCLY	431,309	11/2009		185		(2	)		183
Sell		BCLY	41,040	11/2009		0		(52	)		(52	)
Sell		CITI	80,738	11/2009		5		(10	)		(5	)
Buy		DUB	17,081	11/2009		0		(1	)		(1	)
Sell		DUB	108,234	11/2009		29		(79	)		(50	)
Sell		HSBC	234,055	11/2009		4		(205	)		(201	)
Buy		JPM	921,801	11/2009		1,513		0			1,513
Sell		JPM	193,950	11/2009		0		(149	)		(149	)
Buy		MLP	483,175	11/2009		3,559		0			3,559
Buy	MYR	BCLY	229,191	08/2009		912		0			912
Sell		BCLY	14,200	08/2009		0		(34	)		(34	)
Sell		BOA	7,094	08/2009		0		(15	)		(15	)
Buy		CITI	35,626	08/2009		337		0			337
Sell		CITI	67,902	08/2009		9		(299	)		(290	)
Buy		DUB	380	08/2009		0		(1	)		(1	)
Sell		DUB	31,868	08/2009		0		(53	)		(53	)
Buy		HSBC	35,034	08/2009		411		0			411
Sell		HSBC	35,988	08/2009		0		(224	)		(224	)
Buy		JPM	25,547	08/2009		278		0			278
Sell		JPM	66,355	08/2009		16		(288	)		(272	)
Buy	PEN	CITI	54,862	07/2009		455		(65	)		390
Sell		CITI	66,221	07/2009		0		(1,968	)		(1,968	)
Buy		DUB	23,817	07/2009		0		(57	)		(57	)
Sell		DUB	3,478	07/2009		0		(83	)		(83	)
Sell		HSBC	8,980	07/2009		14		0			14
Sell		HSBC	11,960	08/2009		29		0			29
Sell		MSC	8,985	08/2009		17		0			17
Sell		CITI	33,138	01/2010		60		0			60
Sell	PHP	BCLY	303,850	08/2009		1		(162	)		(161	)
Buy		BOA	148,500	08/2009		75		0			75
Buy		CITI	77,481	08/2009		2		(7	)		(5	)
Sell		CITI	300,886	08/2009		0		(238	)		(238	)
Sell		DUB	286,844	08/2009		0		(230	)		(230	)
Buy		BCLY	318,666	11/2009		0		(35	)		(35	)
Buy		CITI	364,489	11/2009		0		(47	)		(47	)
Buy	PLN	BCLY	156,646	11/2009		2,580		0			2,580
Sell		BCLY	23,118	11/2009		0		(223	)		(223	)
Buy		CITI	24	11/2009		0		0			0
Sell		CITI	6,626	11/2009		0		(71	)		(71	)
Buy		DUB	791	11/2009		16		0			16
Sell		DUB	5,572	11/2009		0		(11	)		(11	)
Sell		GSC	888	11/2009		0		(12	)		(12	)
Buy		HSBC	94,225	11/2009		633		0			633
Sell		HSBC	196,544	11/2009		19		(1,854	)		(1,835	)
Buy		JPM	15,378	11/2009		243		0			243
Sell		JPM	30,782	11/2009		0		(118	)		(118	)
Buy		MLP	77,073	11/2009		2,780		0			2,780
Sell		MSC	43	11/2009		0		0			0
Buy	RON	BCLY	31,477	08/2009		242		(1	)		241
Buy		HSBC	12,088	08/2009		0		(12	)		(12	)
Sell		JPM	102,048	08/2009		0		(2,250	)		(2,250	)
Sell	RUB	HSBC	250,543	07/2009		0		(756	)		(756	)
Buy		JPM	250,543	07/2009		1,779		0			1,779
Sell	SGD	BOA	1,458	07/2009		0		(6	)		(6	)
Buy		CITI	18,567	07/2009		61		0			61
Sell		DUB	1,503	07/2009		0		(37	)		(37	)
Buy		HSBC	3,081	07/2009		0		(4	)		(4	)
Sell		HSBC	2,059	07/2009		0		(68	)		(68	)
Sell		JPM	7,197	07/2009		33		0			33
Sell		UBS	1,460	07/2009		0		(8	)		(8	)
Buy		HSBC	330	08/2009		1		0			1
Buy		JPM	5,645	08/2009		0		(4	)		(4	)
Buy	THB	BCLY	244,112	11/2009		38		0			38
Buy		CITI	381,071	11/2009		116		0			116
Buy		DUB	314,348	11/2009		77		0			77
Sell		DUB	68,720	11/2009		0		(13	)		(13	)
Buy		JPM	433,583	11/2009		36		(1	)		35
Sell	TRY	BCLY	32,478	07/2009		2		(1,800	)		(1,798	)
Sell		CITI	9,695	07/2009		0		(233	)		(233	)
Buy		DUB	495	07/2009		34		0			34
Sell		GSC	2,038	07/2009		0		(68	)		(68	)
Buy		HSBC	48,356	07/2009		1,220		0			1,220
Sell		HSBC	141,577	07/2009		73		(4,648	)		(4,575	)
Buy		JPM	102,638	07/2009		5,359		0			5,359
Sell		JPM	18,801	07/2009		0		(685	)		(685	)
Buy		UBS	53,100	07/2009		770		0			770
Buy		BCLY	17,688	11/2009		10		(47	)		(37	)
Sell		BCLY	6,440	11/2009		0		(46	)		(46	)
Buy		CITI	1,524	11/2009		0		(1	)		(1	)
Buy		HSBC	50,000	11/2009		0		(77	)		(77	)
Sell		HSBC	25,237	11/2009		0		(318	)		(318	)
Sell	TWD	BCLY	178,691	08/2009		0		(188	)		(188	)
Sell		CITI	63,557	08/2009		0		(57	)		(57	)
Sell		DUB	82,681	08/2009		0		(83	)		(83	)
Sell		JPM	167,399	08/2009		0		(137	)		(137	)
Buy		CITI	268,501	11/2009		22		0			22
Buy		DUB	213,563	11/2009		32		0			32
Buy	ZAR	BCLY	197,181	11/2009		3,572		0			3,572
Sell		BCLY	954,415	11/2009		0		(9,098	)		(9,098	)
Buy		CITI	40,014	11/2009		435		0			435
Buy		DUB	168,474	11/2009		3,563		0			3,563
Buy		HSBC	16,047	11/2009		185		0			185
Sell		HSBC	225,172	11/2009		0		(2,930	)		(2,930	)
Buy		JPM	98,894	11/2009		2,404		0			2,404
Sell		JPM	72,887	11/2009		0		(1,436	)		(1,436	)
Buy		MLP	1,200,000	11/2009		28,845		0			28,845
Sell		UBS	19,244	11/2009		0		(80	)		(80	)
					$	77,833	$	(48,618	)	$	29,215

(j) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)			Fair Value at 06/30/2009
Brazil	$	0		$	86,544	$	0		$	86,544
Colombia		0			59,294		0			59,294
Hungary		0			104,324		0			104,324
Poland		0			91,058		0			91,058
Turkey		0			50,644		0			50,644
United States		0			241,634		0			241,634
Short-Term Instruments		75,361			35,974		0			111,335
Other Investments++		0			212,307		11,710			224,017
Investments, at value	$	75,361		$	881,779	$	11,710		$	968,850
Financial Derivative Instruments+++	$	(38	)	$	54,182	$	(12,029	)	$	42,115
Total	$	75,323		$	935,961	$	(319	)	$	1,010,965

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)			Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
Other Investments++	$	3,248		$	(157	)	$	0	$	(766	)	$	3,128	$	6,257	$	11,710
Investments, at value	$	3,248		$	(157	)	$	0	$	(766	)	$	3,128	$	6,257	$	11,710
Financial Derivative Instruments+++	$	(26,351	)	$	0		$	0	$	0		$	14,322	$	0	$	(12,029	)
Total	$	(23,103	)	$	(157	)	$	0	$	(766	)	$	17,450	$	6,257	$	(319	)

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Emerging Markets Bond Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BRAZIL 11.3%
Banco Nacional de Desenvolvimento Economico e Social
6.369% due 06/16/2018	$	3,000	$	2,963
6.500% due 06/10/2019		4,100		4,129
Brazil Government International Bond
5.875% due 01/15/2019		10,600		10,748
7.125% due 01/20/2037		3,260		3,553
8.000% due 01/15/2018		3,487		3,923
8.250% due 01/20/2034		36,780		43,860
8.750% due 02/04/2025		17,175		21,211
8.875% due 10/14/2019		11,076		13,623
8.875% due 04/15/2024		19,685		24,557
10.125% due 05/15/2027		39,100		54,349
10.250% due 01/10/2028	BRL	8,400		4,244
10.500% due 07/14/2014	$	874		1,093
12.500% due 01/05/2016	BRL	2,000		1,138
12.750% due 01/15/2020	$	3,750		5,719
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017	BRL	43,974		19,614
Centrais Eletricas Brasileiras S.A.
7.750% due 11/30/2015	$	2,000		2,150
GTL Trade Finance, Inc.
7.250% due 10/20/2017		11,310		10,744
Petrobras International Finance Co.
7.875% due 03/15/2019		13,260		14,520
Vale Overseas Ltd.
6.250% due 01/11/2016		1,900		1,953
6.875% due 11/21/2036		15,100		14,399
8.250% due 01/17/2034		1,150		1,305
Total Brazil (Cost $227,162)				259,795
CHILE 1.6%
AES Gener S.A.
7.500% due 03/25/2014	$	1,000		1,034
Banco Santander Chile
5.375% due 12/09/2014		3,000		2,858
Chile Government International Bond
5.500% due 01/15/2013		3,000		3,264
CODELCO, Inc.
5.625% due 09/21/2035		7,900		7,247
6.150% due 10/24/2036		8,200		8,231
7.500% due 01/15/2019		10,700		12,423
Enersis S.A.
7.375% due 01/15/2014		420		450
Total Chile (Cost $33,941)				35,507
COLOMBIA 5.1%
Colombia Government International Bond
7.375% due 01/27/2017	$	36,475		39,448
7.375% due 03/18/2019		1,600		1,716
7.375% due 09/18/2037		18,140		18,594
8.250% due 12/22/2014		24,165		28,031
9.850% due 06/28/2027	COP	600,000		285
10.375% due 01/28/2033	$	1,850		2,456
10.750% due 01/15/2013		7,535		9,155
11.750% due 02/25/2020		3,047		4,174
12.000% due 10/22/2015	COP	25,375,000		13,596
Total Colombia (Cost $115,747)				117,455
EGYPT 0.5%
Petroleum Export Ltd.
4.623% due 06/15/2010	$	689		676
5.265% due 06/15/2011		4,605		4,444
Petroleum Export Ltd. II
6.340% due 06/20/2011		7,063		6,457
Total Egypt (Cost $12,191)				11,577
EL SALVADOR 0.3%
AES El Salvador Trust
6.750% due 02/01/2016	$	10,260		7,380
Total El Salvador (Cost $10,147)				7,380
GERMANY 0.8%
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009	$	18,600		19,088
Total Germany (Cost $18,527)				19,088
GUATEMALA 0.1%
Guatemala Government Bond
9.250% due 08/01/2013	$	2,030		2,228
10.250% due 11/08/2011		771		842
Total Guatemala (Cost $3,087)				3,070
INDIA 0.1%
NTPC Ltd.
5.875% due 03/02/2016	$	1,900		1,692
Total India (Cost $1,853)				1,692
INDONESIA 5.0%
Indonesia Government International Bond
6.625% due 02/17/2037	$	2,000		1,623
6.875% due 03/09/2017		27,100		26,488
6.875% due 01/17/2018		14,400		13,752
7.750% due 01/17/2038		1,775		1,645
10.375% due 05/04/2014		3,300		3,766
11.625% due 03/04/2019		25,590		32,447
Majapahit Holding BV
7.250% due 10/17/2011		7,405		7,294
7.250% due 06/28/2017		10,600		9,051
7.750% due 10/17/2016		1,050		929
7.875% due 06/29/2037		23,600		17,942
Total Indonesia (Cost $121,644)				114,937
IRELAND 0.0%
TransCapitalInvest Ltd. for OJSC AK Transneft
5.670% due 03/05/2014	$	250		222
Total Ireland (Cost $159)				222
KAZAKHSTAN 0.9%
Intergas Finance BV
6.375% due 05/14/2017	$	7,425		5,677
6.875% due 11/04/2011		625		566
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		16,343		14,757
Total Kazakhstan (Cost $24,103)				21,000
LUXEMBOURG 0.1%
Gaz Capital S.A.
8.146% due 04/11/2018	$	1,200		1,125
Total Luxembourg (Cost $1,100)				1,125
MALAYSIA 1.0%
Petroliam Nasional Bhd.
7.625% due 10/15/2026	$	14,550		16,842
7.750% due 08/15/2015		1,690		1,969
Petronas Capital Ltd.
7.875% due 05/22/2022		3,000		3,633
Total Malaysia (Cost $22,717)				22,444
MEXICO 11.0%
America Movil SAB de C.V.
5.625% due 11/15/2017	$	8,400		8,251
5.750% due 01/15/2015		12,700		12,877
8.460% due 12/18/2036	MXN	10,900		615
C5 Capital SPV Ltd.
6.196% due 12/31/2049	$	6,935		3,679
C8 Capital SPV Ltd.
6.640% due 12/29/2049		15,200		7,959
C10 Capital SPV Ltd.
6.722% due 12/31/2049		5,700		2,922
Hipotecaria Su Casita S.A. de C.V.
8.500% due 10/04/2016		1,775		1,279
Kansas City Southern de Mexico S.A. de C.V.
7.375% due 06/01/2014		1,000		845
Mexican Bonos
7.750% due 12/14/2017	MXN	88,992		6,622
Mexico Government International Bond
5.950% due 03/19/2019	$	20,300		20,604
6.750% due 09/27/2034		40,238		40,781
7.500% due 04/08/2033		24,715		27,248
8.000% due 09/24/2022		16,880		20,045
8.300% due 08/15/2031		1,920		2,299
Pemex Finance Ltd.
9.030% due 02/15/2011		12,656		13,544
9.690% due 08/15/2009		231		233
Pemex Project Funding Master Trust
5.750% due 03/01/2018		4,300		3,978
6.625% due 06/15/2035		30,600		27,803
6.625% due 06/15/2038		2,200		1,914
9.125% due 10/13/2010		110		119
Petroleos Mexicanos
8.000% due 05/03/2019		43,900		47,851
Telefonos de Mexico SAB de C.V.
5.500% due 01/27/2015		1,000		1,004
8.750% due 01/31/2016	MXN	10,000		731
Total Mexico (Cost $254,702)				253,203
NETHERLANDS 0.2%
VTB Europe Finance BV
1.966% due 10/06/2009	$	5,000		5,080
Total Netherlands (Cost $4,974)				5,080
PANAMA 4.4%
AES Panama S.A.
6.350% due 12/21/2016	$	9,030		8,592
Panama Government International Bond
6.700% due 01/26/2036		11,713		11,420
7.125% due 01/29/2026		22,425		23,322
7.250% due 03/15/2015		120		131
9.375% due 04/01/2029		45,294		57,071
Total Panama (Cost $97,979)				100,536
PERU 1.3%
Peru Government International Bond
6.550% due 03/14/2037	$	4,147		4,043
7.350% due 07/21/2025		1,000		1,075
8.375% due 05/03/2016		15,200		17,594
8.750% due 11/21/2033		4,795		5,862
Total Peru (Cost $27,016)				28,574
PHILIPPINES 3.1%
Philippines Government International Bond
7.750% due 01/14/2031	$	7,650		7,994
8.250% due 01/15/2014		600		667
8.375% due 02/15/2011		3,800		4,114
8.375% due 06/17/2019		22,230		25,676
8.875% due 03/17/2015		6,000		6,870
9.875% due 01/15/2019		6,120		7,528
10.625% due 03/16/2025		14,000		18,340
Total Philippines (Cost $67,310)				71,189
QATAR 0.6%
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009	$	722		718
Ras Laffan Liquefied Natural Gas Co. Ltd. II
5.298% due 09/30/2020		8,850		8,153
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.832% due 09/30/2016		1,000		982
5.838% due 09/30/2027		895		752
6.332% due 09/30/2027		3,250		2,804
Total Qatar (Cost $13,828)				13,409
RUSSIA 18.2%
Gaz Capital S.A.
5.875% due 06/01/2015	EUR	7,650		9,163
6.212% due 11/22/2016	$	27,200		23,058
6.510% due 03/07/2022		36,300		27,584
7.288% due 08/16/2037		25,575		19,409
8.625% due 04/28/2034		800		787
Gazprom International S.A.
7.201% due 02/01/2020		22,212		21,222
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.299% due 05/15/2017		16,160		13,978
7.175% due 05/16/2013		6,500		6,207
9.000% due 06/11/2014		14,050		14,261
Russia Government International Bond
7.500% due 03/31/2030		150,765		149,912
8.250% due 03/31/2010		667		688
12.750% due 06/24/2028		13,275		19,448
TNK-BP Finance S.A.
6.125% due 03/20/2012		3,900		3,617
6.625% due 03/20/2017		31,250		24,838
6.875% due 07/18/2011		4,000		3,905
7.500% due 07/18/2016		12,050		10,529
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		8,700		8,445
8.700% due 08/07/2018		27,400		26,413
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,000		975
VTB Capital S.A.
2.716% due 11/02/2009		23,500		23,358
6.609% due 10/31/2012		6,600		6,220
6.875% due 05/29/2018		100		90
7.500% due 10/12/2011		3,000		3,000
Total Russia (Cost $451,703)				417,107
SOUTH AFRICA 3.2%
South Africa Government International Bond
5.250% due 05/16/2013	EUR	12,160		17,289
5.875% due 05/30/2022	$	5,690		5,235
6.500% due 06/02/2014		14,580		15,345
6.875% due 05/27/2019		27,900		28,807
7.375% due 04/25/2012		5,580		6,005
Total South Africa (Cost $68,388)				72,681
SOUTH KOREA 0.4%
Export-Import Bank of Korea
4.500% due 08/12/2009	$	1,300		1,300
Korea Development Bank
1.507% due 10/20/2009		4,192		4,161
5.300% due 01/17/2013		2,800		2,769
Total South Korea (Cost $8,256)				8,230
TRINIDAD AND TOBAGO 0.4%
Petroleum Co. of Trinidad & Tobago Ltd.
6.000% due 05/08/2022	$	10,200		8,457
Total Trinidad And Tobago (Cost $10,149)				8,457
TUNISIA 1.2%
Banque Centrale de Tunisie
4.500% due 06/22/2020	EUR	7,100		8,322
4.750% due 04/07/2011		450		647
7.375% due 04/25/2012	$	16,022		17,223
8.250% due 09/19/2027		1,680		1,739
Total Tunisia (Cost $27,276)				27,931
TURKEY 0.1%
Turkey Government International Bond
7.250% due 03/15/2015	$	1,285		1,343
9.000% due 06/30/2011		1,600		1,724
Total Turkey (Cost $3,004)				3,067
UNITED ARAB EMIRATES 0.7%
Emirate of Abu Dhabi
6.750% due 04/08/2019	$	15,000		15,548
Total United Arab Emirates (Cost $14,888)				15,548
UNITED KINGDOM 0.7%
Barclays Bank PLC
7.434% due 09/29/2049	$	1,000		671
10.179% due 06/12/2021		9,040		9,661
HBOS PLC
6.750% due 05/21/2018		7,500		5,670
Total United Kingdom (Cost $17,470)				16,002
UNITED STATES 32.9%
ASSET-BACKED SECURITIES 0.1%
Morgan Stanley Mortgage Loan Trust
0.674% due 04/25/2037	$	800		292
5.726% due 10/25/2036		500		347
6.000% due 07/25/2047		434		288
Securitized Asset-Backed Receivables LLC Trust
0.444% due 05/25/2037		248		154
				1,081
CORPORATE BONDS & NOTES 2.1%
American International Group, Inc.
1.217% due 10/18/2011		10,000		6,457
4.950% due 03/20/2012		500		340
5.000% due 06/26/2017	EUR	700		501
5.750% due 03/15/2067	GBP	1,300		439
8.175% due 05/15/2058	$	15,400		4,397
8.250% due 08/15/2018		1,700		1,002
8.625% due 05/22/2038	GBP	200		79
Bank of America Corp.
5.650% due 05/01/2018	$	3,900		3,452
Bank of America N.A.
0.909% due 06/15/2016		500		372
Bear Stearns Cos. LLC
4.650% due 07/02/2018		741		656
5.700% due 11/15/2014		155		158
Citigroup Capital XXI
8.300% due 12/21/2077		8,960		6,998
Citigroup, Inc.
8.400% due 04/29/2049 (a)		10,450		7,851
Goldman Sachs Group, Inc.
1.059% due 03/22/2016		500		424
5.950% due 01/18/2018		1,610		1,564
6.750% due 10/01/2037		4,715		4,199
JPMorgan Chase Bank N.A.
5.875% due 06/13/2016		600		579
Pemex Project Funding Master Trust
1.250% due 12/03/2012		1,200		1,128
1.929% due 06/15/2010		2,300		2,266
Wachovia Bank N.A.
1.806% due 05/14/2010		2,190		2,191
Wells Fargo Bank N.A.
4.750% due 02/09/2015		500		475
Wells Fargo Capital XIII
7.700% due 12/29/2049		4,300		3,572
				49,100
MORTGAGE-BACKED SECURITIES 3.3%
Adjustable Rate Mortgage Trust
5.383% due 11/25/2035		706		485
American Home Mortgage Assets
0.504% due 05/25/2046		1,747		645
0.504% due 09/25/2046		571		241
2.040% due 02/25/2047		834		274
2.260% due 11/25/2046		1,054		483
Banc of America Commercial Mortgage, Inc.
5.492% due 02/10/2051		2,220		1,565
5.837% due 06/10/2049		3,900		2,771
5.929% due 05/10/2045		2,300		1,925
5.935% due 02/10/2051		4,500		3,642
Banc of America Funding Corp.
5.357% due 11/20/2035		633		387
5.888% due 04/25/2037		700		438
Bear Stearns Adjustable Rate Mortgage Trust
4.991% due 01/25/2035		108		80
5.733% due 02/25/2036		421		248
Chase Mortgage Finance Corp.
5.426% due 03/25/2037		776		476
Citigroup Commercial Mortgage Trust
5.888% due 12/10/2049		2,191		1,738
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		2,164		1,572
4.685% due 03/25/2034		167		144
5.672% due 07/25/2046		545		291
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.617% due 10/15/2048		3,400		2,777
5.886% due 11/15/2044		1,400		1,120
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		3,800		2,781
Countrywide Alternative Loan Trust
0.474% due 02/25/2047		1,338		505
0.484% due 01/25/2037		600		234
0.494% due 05/25/2047		4,007		1,506
0.495% due 02/20/2047		1,409		549
0.510% due 12/20/2046		2,166		870
0.524% due 07/25/2046		259		111
0.564% due 09/25/2046		700		58
0.644% due 11/20/2035		695		315
0.824% due 11/20/2035		500		64
2.340% due 12/25/2035		911		413
2.340% due 02/25/2036		830		382
5.750% due 03/25/2037		500		229
6.250% due 11/25/2036		539		371
Countrywide Home Loan Mortgage Pass-Through Trust
0.544% due 05/25/2035		299		133
0.664% due 02/25/2036		482		87
5.373% due 02/25/2047		482		247
5.550% due 04/20/2036		455		302
5.575% due 03/25/2037		460		215
6.069% due 09/25/2047		323		190
Credit Suisse Mortgage Capital Certificates
5.467% due 09/15/2039		1,600		1,124
5.863% due 02/25/2037		500		222
CS First Boston Mortgage Securities Corp.
3.755% due 06/25/2033		1,296		1,080
CSAB Mortgage-Backed Trust
5.720% due 09/25/2036		600		382
6.172% due 06/25/2036		798		425
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		667		605
0.394% due 02/25/2037		775		716
0.394% due 03/25/2037		472		463
5.000% due 10/25/2018		506		484
5.500% due 12/25/2035		700		396
5.590% due 10/25/2035		463		239
5.869% due 10/25/2036		500		271
5.886% due 10/25/2036		500		271
6.300% due 07/25/2036		700		351
Harborview Mortgage Loan Trust
0.505% due 08/21/2036		320		136
0.513% due 09/19/2046		410		176
0.553% due 03/19/2036		6,673		2,817
5.849% due 08/19/2036		284		172
Homebanc Mortgage Trust
5.866% due 04/25/2037		600		286
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		751		705
Indymac IMSC Mortgage Loan Trust
0.494% due 07/25/2047		606		233
Indymac INDA Mortgage Loan Trust
5.862% due 08/25/2036		600		333
Indymac Index Mortgage Loan Trust
0.514% due 06/25/2047		573		238
0.524% due 05/25/2046		191		79
0.554% due 07/25/2035		168		74
0.614% due 06/25/2037		448		140
5.369% due 10/25/2035		527		327
5.800% due 06/25/2036		600		250
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		2,900		2,231
5.429% due 12/12/2043		2,060		1,671
5.794% due 02/12/2051		3,600		2,699
5.935% due 02/12/2049		2,100		1,594
JPMorgan Mortgage Trust
4.873% due 04/25/2035		479		426
5.377% due 08/25/2035		600		465
5.397% due 11/25/2035		745		615
LB-UBS Commercial Mortgage Trust
5.424% due 02/15/2040		630		460
5.430% due 02/15/2040		4,100		2,975
Luminent Mortgage Trust
0.484% due 12/25/2036		919		362
0.494% due 12/25/2036		437		157
0.514% due 10/25/2046		323		133
MASTR Adjustable Rate Mortgages Trust
0.524% due 04/25/2046		516		212
MASTR Alternative Loans Trust
0.714% due 03/25/2036		296		106
Merrill Lynch Countrywide Commercial Mortgage Trust
5.700% due 09/12/2049		600		416
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		4,393		2,373
Merrill Lynch Mortgage-Backed Securities Trust
5.845% due 04/25/2037		627		337
Morgan Stanley Capital I
5.809% due 12/12/2049		4,800		3,671
6.076% due 06/11/2049		400		302
Morgan Stanley Mortgage Loan Trust
5.380% due 06/25/2036		223		182
Nomura Asset Acceptance Corp.
5.820% due 03/25/2047		500		292
Residential Accredit Loans, Inc.
0.564% due 08/25/2037		513		204
0.584% due 05/25/2046		1,000		110
0.614% due 08/25/2035		397		182
0.714% due 10/25/2045		419		191
Residential Asset Securitization Trust
0.714% due 01/25/2046		686		315
Sequoia Mortgage Trust
5.102% due 01/20/2047		263		150
Structured Adjustable Rate Mortgage Loan Trust
5.246% due 05/25/2036		1,200		497
5.376% due 11/25/2035		465		277
5.411% due 09/25/2036		600		329
6.000% due 10/25/2037		474		221
Structured Asset Mortgage Investments, Inc.
0.534% due 05/25/2036		3,723		1,478
0.534% due 05/25/2046		575		229
TBW Mortgage-Backed Pass-Through Certificates
0.424% due 01/25/2037		1,334		1,211
5.970% due 09/25/2036		600		301
Wachovia Bank Commercial Mortgage Trust
5.617% due 05/15/2046		600		522
WaMu Mortgage Pass-Through Certificates
2.080% due 01/25/2047		891		312
2.100% due 04/25/2047		1,135		474
2.139% due 03/25/2047		1,620		662
2.160% due 12/25/2046		680		233
2.877% due 01/25/2047		316		132
3.711% due 03/25/2034		527		443
5.293% due 01/25/2037		567		332
5.468% due 04/25/2037		392		235
5.575% due 12/25/2036		366		236
5.581% due 12/25/2036		1,136		701
5.632% due 05/25/2037		883		571
5.928% due 09/25/2036		588		379
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.310% due 05/25/2046		379		161
				76,626
U.S. GOVERNMENT AGENCIES 27.2%
Fannie Mae
5.500% due 03/01/2036 - 11/01/2038		174,708		180,575
5.500% due 05/01/2037 - 09/01/2038 (e)		72,925		75,372
6.000% due 08/01/2037 - 12/01/2038		6,423		6,723
6.000% due 09/01/2037 - 10/01/2038 (e)		83,358		87,254
6.000% due 09/01/2037 (e)(f)		72,444		75,830
Freddie Mac
0.888% due 02/01/2011 (d)		22,371		22,339
0.926% due 05/04/2011 (d)		108,647		108,927
0.937% due 08/05/2011 (d)		63,000		63,023
1.268% due 04/01/2011 (d)		1,193		1,197
5.500% due 07/01/2038 - 08/01/2038 (f)		2,175		2,248
				623,488
U.S. TREASURY OBLIGATIONS 0.2%
U.S. Treasury Notes
0.875% due 04/30/2011 (f)		4,059		4,048
Total United States (Cost $786,754)				754,343
URUGUAY 1.4%
Uruguay Government International Bond
5.000% due 09/14/2018	UYU	61,518		2,439
7.625% due 03/21/2036	$	200		194
7.875% due 01/15/2033		1,000		975
8.000% due 11/18/2022		21,997		23,097
9.250% due 05/17/2017		5,000		5,750
Total Uruguay (Cost $32,757)				32,455
	SHARES
VENEZUELA 0.0%
Venezuela Government International Bond Warrants
0.000% due 04/15/2020		3,500		117
Total Venezuela (Cost $0)				117
	PRINCIPAL AMOUNT (000s)
VIETNAM 0.2%
Vietnam Government International Bond
4.000% due 03/12/2028	$	5,000		3,866
Total Vietnam (Cost $4,295)				3,866
VIRGIN ISLANDS (BRITISH) 0.0%
GTL Trade Finance, Inc.
7.250% due 10/20/2017	$	260		247
Total Virgin Islands (British) (Cost $249)				247
SHORT-TERM INSTRUMENTS 2.4%
REPURCHASE AGREEMENTS 0.3%
Credit Suisse Securities (USA) LLC
0.070% due 07/01/2009	$	1,000		1,000
(Dated 06/30/2009. Collateralized by Fannie Mae 6.000% due 05/15/2011 valued at $1,025. Repurchase proceeds are $1,000.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		5,534		5,534
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $5,649. Repurchase proceeds are $5,534.)
				6,534
U.S. TREASURY BILLS 0.1%
4.682% due 07/02/2009 - 07/30/2009 (b)(d)(f)		3,611		3,611
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 2.0%
		4,575,092		45,792
Total Short-Term Instruments (Cost $55,941)				55,937
Total Investments 109.2% (Cost $2,539,317)			$	2,503,271
Written Options (h) (0.0%) (Premiums $328)				(247	)
Other Assets and Liabilities (Net) (9.2%)				(209,803	)
Net Assets 100.0%			$	2,293,221

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) Affiliated to the Fund.

(d) Securities with an aggregate market value of $11,823 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $211,637 at a weighted average interest rate of 0.399%. On June 30, 2009, securities valued at $222,020 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $9,301 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar December Futures	Long	12/2010	7,272	$	(4,704	)

(g) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
American International Group, Inc.	CSFB	2.066	%	03/20/2013	16.024	%	$	16,000	$	(5,458	)	$	0	$	(5,458	)
Brazil Government International Bond	BCLY	3.100	%	11/20/2009	0.794	%		5,000		64			0		64
Brazil Government International Bond	BCLY	1.360	%	08/20/2011	1.177	%		6,500		57			0		57
Brazil Government International Bond	BCLY	1.370	%	08/20/2011	1.177	%		8,000		72			0		72
Brazil Government International Bond	CSFB	3.250	%	12/20/2009	0.793	%		5,900		74			0		74
Brazil Government International Bond	DUB	3.050	%	12/20/2009	0.793	%		5,500		63			0		63
Brazil Government International Bond	DUB	1.400	%	05/20/2010	0.915	%		11,450		81			0		81
Brazil Government International Bond	MLP	1.950	%	04/20/2016	1.867	%		16,500		144			0		144
Brazil Government International Bond	UBS	1.030	%	07/20/2017	1.934	%		3,875		(215	)		0		(215	)
CEMEX SAB de C.V.	JPM	1.050	%	12/20/2016	8.875	%		6,600		(2,090	)		0		(2,090	)
Colombia Government International Bond	BCLY	0.780	%	07/20/2012	1.621	%		4,500		(95	)		0		(95	)
Colombia Government International Bond	BCLY	0.790	%	07/20/2012	1.621	%		2,000		(42	)		0		(42	)
Colombia Government International Bond	DUB	2.150	%	05/20/2010	1.033	%		11,970		169			0		169
Colombia Government International Bond	JPM	1.060	%	01/20/2012	1.527	%		5,000		(34	)		0		(34	)
Colombia Government International Bond	MSC	1.640	%	08/20/2011	1.426	%		6,200		65			0		65
Colombia Government International Bond	UBS	1.070	%	01/20/2012	1.527	%		3,000		(20	)		0		(20	)
Indonesia Government International Bond	CITI	1.580	%	12/20/2011	2.930	%		3,400		(107	)		0		(107	)
Indonesia Government International Bond	CITI	2.290	%	12/20/2016	3.211	%		1,300		(70	)		0		(70	)
Indonesia Government International Bond	RBS	1.525	%	12/20/2011	2.930	%		7,000		(228	)		0		(228	)
Indonesia Government International Bond	RBS	2.360	%	09/20/2016	3.206	%		9,900		(476	)		0		(476	)
Indonesia Government International Bond	RBS	2.385	%	09/20/2016	3.206	%		3,100		(145	)		0		(145	)
Indonesia Government International Bond	RBS	2.480	%	09/20/2016	3.206	%		2,000		(82	)		0		(82	)
Indonesia Government International Bond	RBS	2.430	%	12/20/2016	3.211	%		2,000		(91	)		0		(91	)
Indonesia Government International Bond	UBS	2.320	%	06/20/2013	3.049	%		8,000		(204	)		0		(204	)
Mexico Government International Bond	BCLY	2.970	%	11/20/2009	1.180	%		5,000		53			0		53
Mexico Government International Bond	CSFB	2.950	%	12/20/2009	1.180	%		1,400		13			0		13
Mexico Government International Bond	DUB	2.850	%	12/20/2009	1.180	%		200		2			0		2
Mexico Government International Bond	DUB	2.950	%	12/20/2009	1.180	%		200		2			0		2
Mexico Government International Bond	HSBC	2.900	%	12/20/2009	1.180	%		1,000		9			0		9
Mexico Government International Bond	JPM	3.000	%	12/20/2009	1.180	%		4,000		38			0		38
Mexico Government International Bond	JPM	3.030	%	12/20/2009	1.180	%		10,000		96			0		96
Mexico Government International Bond	MLP	2.100	%	05/20/2010	1.280	%		80		1			0		1
Mexico Government International Bond	RBS	2.850	%	12/20/2009	1.180	%		3,000		26			0		26
Mexico Government International Bond	UBS	4.780	%	03/20/2014	1.994	%		15,000		2,022			0		2,022
Mexico Government International Bond	UBS	0.695	%	01/20/2017	2.152	%		2,700		(237	)		0		(237	)
Peru Government International Bond	BCLY	1.920	%	03/20/2013	1.485	%		5,000		104			0		104
Peru Government International Bond	MSC	1.220	%	10/20/2011	1.181	%		6,350		21			0		21
Peru Government International Bond	MSC	1.960	%	10/20/2016	1.889	%		3,000		25			0		25
Petroleos Mexicanos	JPM	1.130	%	04/20/2016	2.430	%		26,250		(1,889	)		0		(1,889	)
Philippines Government International Bond	BCLY	1.920	%	09/20/2012	1.962	%		5,500		(4	)		0		(4	)
Philippines Government International Bond	BCLY	2.250	%	09/20/2012	1.962	%		6,500		61			0		61
Philippines Government International Bond	BCLY	2.320	%	03/20/2013	2.020	%		35,000		385			0		385
Philippines Government International Bond	BCLY	2.300	%	06/20/2013	2.044	%		7,000		70			0		70
Philippines Government International Bond	BCLY	2.510	%	09/20/2017	2.281	%		1,250		20			0		20
Philippines Government International Bond	BCLY	2.530	%	09/20/2017	2.281	%		1,250		21			0		21
Philippines Government International Bond	CITI	1.950	%	03/20/2013	2.020	%		30,000		(58	)		0		(58	)
Philippines Government International Bond	CITI	2.000	%	03/20/2013	2.020	%		18,550		(4	)		0		(4	)
Philippines Government International Bond	CITI	2.140	%	03/20/2013	2.020	%		8,000		38			0		38
Philippines Government International Bond	CITI	2.340	%	03/20/2013	2.020	%		9,600		112			0		112
Philippines Government International Bond	CITI	2.380	%	03/20/2013	2.020	%		17,000		223			0		223
Philippines Government International Bond	CITI	1.770	%	12/20/2017	2.289	%		24,100		(835	)		0		(835	)
Philippines Government International Bond	CITI	2.730	%	03/20/2018	2.297	%		9,800		299			0		299
Philippines Government International Bond	DUB	2.340	%	03/20/2013	2.020	%		13,700		160			0		160
Philippines Government International Bond	MSC	1.770	%	09/20/2012	1.962	%		1,900		(10	)		0		(10	)
Philippines Government International Bond	MSC	2.440	%	09/20/2017	2.281	%		6,200		69			0		69
Philippines Government International Bond	UBS	1.790	%	09/20/2012	1.962	%		7,960		(38	)		0		(38	)
Republic of Korea Government Bond	DUB	3.750	%	12/20/2009	1.595	%		3,800		43			0		43
Republic of Korea Government Bond	JPM	3.430	%	12/20/2009	1.595	%		5,400		52			0		52
Republic of Korea Government Bond	JPM	3.800	%	12/20/2009	1.595	%		10,000		115			0		115
Republic of Korea Government Bond	RBS	3.350	%	12/20/2009	1.595	%		1,100		10			0		10
Republic of Korea Government Bond	RBS	3.650	%	12/20/2009	1.595	%		2,000		21			0		21
Republic of Korea Government Bond	UBS	3.850	%	12/20/2009	1.595	%		3,000		35			0		35
RSHB Capital S.A.	CSFB	1.870	%	10/20/2012	4.427	%		6,900		(496	)		0		(496	)
RSHB Capital S.A. for OJSC Russian Agricultural Bank	GSC	1.380	%	10/20/2011	4.468	%		5,000		(319	)		0		(319	)
RSHB Capital S.A. for OJSC Russian Agricultural Bank	MSC	2.000	%	10/20/2012	4.427	%		13,000		(882	)		0		(882	)
Russia Government International Bond	BCLY	7.000	%	11/20/2009	1.770	%		5,000		144			0		144
Uruguay Government International Bond	DUB	1.050	%	01/20/2012	3.370	%		12,000		(616	)		0		(616	)
									$	(9,666	)	$	0	$	(9,666	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-9 5-Year Index 30-100%	DUB	0.701	%	12/20/2012	$	20,807	$	246	$	0	$	246
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012		7,000		84		0		84
CDX.IG-9 5-Year Index 30-100%	DUB	0.710	%	12/20/2012		3,500		43		0		43
CDX.IG-9 5-Year Index 30-100%	GSC	0.695	%	12/20/2012		4,570		53		0		53
CDX.IG-9 5-Year Index 30-100%	GSC	0.705	%	12/20/2012		7,000		84		0		84
CDX.IG-9 5-Year Index 30-100%	GSC	0.720	%	12/20/2012		56,393		703		0		703
							$	1,213	$	0	$	1,213

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	11.140	%	01/02/2012	BCLY	BRL	36,000	$	27		$	0		$	27
Pay	1-Year BRL-CDI	11.140	%	01/02/2012	HSBC		4,000		3			5			(2	)
Pay	1-Year BRL-CDI	11.140	%	01/02/2012	JPM		60,600		46			76			(30	)
Pay	1-Year BRL-CDI	11.140	%	01/02/2012	MLP		176,900		133			239			(106	)
Pay	1-Year BRL-CDI	11.650	%	01/02/2012	HSBC		133,200		713			557			156
Pay	1-Year BRL-CDI	11.650	%	01/02/2012	JPM		152,400		817			730			87
Pay	1-Year BRL-CDI	11.650	%	01/02/2012	MLP		114,300		613			609			4
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC	$	3,500		6			(65	)		71
Pay	28-Day MXN TIIE	8.660	%	01/31/2019	BCLY	MXN	43,700		114			223			(109	)
Pay	28-Day MXN TIIE	8.660	%	01/31/2019	CITI		633,000		1,635			1,225			410
Pay	28-Day MXN TIIE	8.660	%	01/31/2019	HSBC		51,700		135			(59	)		194
Pay	28-Day MXN TIIE	8.950	%	02/19/2019	JPM		82,000		324			0			324
Pay	28-Day MXN TIIE	7.780	%	04/09/2019	DUB		71,000		(161	)		53			(214	)
								$	4,405		$	3,593		$	812

(h) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	120.000	08/21/2009	5	$	2	$	2
Put - CBOT U.S. Treasury 10-Year Note September Futures		112.000	08/21/2009	5		2		3
Put - CME 90-Day Eurodollar September Futures		98.500	09/14/2009	137		31		6
					$	35	$	11

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Call - OTC 7-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Receive	2.950	%	08/21/2009	$	17,000	$	123	$	97
Put - OTC 7-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		17,000		84		88
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		24,600		86		51
									$	293	$	236

(i) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.500	%	07/01/2039	$	25,000	$	25,799	$	25,801
Fannie Mae	6.000	%	07/01/2039		17,000		17,747		17,767
Freddie Mac	5.000	%	07/01/2024		500		511		517
						$	44,057	$	44,085

(j) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	JPM	45,081	08/2009	$	795	$	0		$	795
Sell		MLP	45,081	08/2009		0		(1,884	)		(1,884	)
Buy	CLP	BCLY	1,239,857	11/2009		194		0			194
Sell		CITI	1,300,184	11/2009		0		(194	)		(194	)
Buy		JPM	60,327	11/2009		7		0			7
Buy	CNY	BCLY	57,280	09/2009		112		0			112
Buy		CITI	36,926	09/2009		90		0			90
Buy		DUB	167,549	09/2009		367		0			367
Buy		HSBC	74,676	09/2009		171		0			171
Buy		JPM	83,591	09/2009		228		0			228
Sell	COP	BCLY	32,025,818	11/2009		0		(816	)		(816	)
Sell	EUR	BCLY	22,987	07/2009		0		(173	)		(173	)
Buy	GBP	CITI	1,116	07/2009		109		0			109
Sell		UBS	1,116	07/2009		0		(44	)		(44	)
Sell	HUF	BCLY	5,248,047	10/2009		0		(3,272	)		(3,272	)
Sell		DUB	6	10/2009		0		0			0
Buy		JPM	94	10/2009		0		0			0
Sell	MXN	BCLY	81,088	11/2009		0		(82	)		(82	)
Buy		DUB	93,717	11/2009		373		0			373
Sell		HSBC	3,486	11/2009		0		(4	)		(4	)
Buy		JPM	3,490	11/2009		21		0			21
Sell		JPM	9,023	11/2009		0		(17	)		(17	)
Buy	MYR	BCLY	535	08/2009		2		0			2
Buy		CITI	92	08/2009		1		0			1
Buy		HSBC	107	08/2009		1		0			1
Sell		JPM	734	08/2009		0		0			0
Sell	PHP	CITI	465	08/2009		0		0			0
Buy		JPM	465	08/2009		0		0			0
Buy	PLN	CITI	9,787	11/2009		53		0			53
Buy		DUB	50	11/2009		2		0			2
Sell		DUB	9,837	11/2009		0		(156	)		(156	)
Buy	SGD	CITI	11,669	07/2009		104		0			104
Sell		CITI	21,613	07/2009		0		(581	)		(581	)
Buy		HSBC	492	07/2009		0		(1	)		(1	)
Sell		HSBC	739	07/2009		0		(25	)		(25	)
Buy		JPM	10,191	07/2009		268		0			268
Buy	TRY	BCLY	23,043	07/2009		434		0			434
Sell		JPM	23,043	07/2009		0		(1,481	)		(1,481	)
Buy	ZAR	BCLY	284	11/2009		7		0			7
Sell		CITI	284	11/2009		0		(4	)		(4	)
					$	3,339	$	(8,734	)	$	(5,395	)

(k) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Brazil	$	0		$	259,795		$	0	$	259,795
Colombia		0			117,455			0		117,455
Indonesia		0			114,937			0		114,937
Mexico		0			253,203			0		253,203
Russia		0			417,107			0		417,107
United States		0			754,343			0		754,343
Other Investments++		45,792			524,520			16,119		586,431
Investments, at value	$	45,792		$	2,441,360		$	16,119	$	2,503,271
Short Sales, at value	$	0		$	(44,085	)	$	0	$	(44,085	)
Financial Derivative Instruments+++	$	(4,704	)	$	(13,283	)	$	0	$	(17,987	)
Total	$	41,088		$	2,383,992		$	16,119	$	2,441,199

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)			Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Other Investments++	$	2,449	$	5,981	$	0	$	(404	)	$	2,806		$	5,287		$	16,119
Investments, at value	$	2,449	$	5,981	$	0	$	(404	)	$	2,806		$	5,287		$	16,119
Financial Derivative Instruments+++	$	126	$	0	$	0	$	0		$	(122	)	$	(4	)	$	0
Total	$	2,575	$	5,981	$	0	$	(404	)	$	2,684		$	5,283		$	16,119

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Extended Duration Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 3.6%
ABX Financing Co.
6.350% due 10/15/2036	$	10	$	10
American International Group, Inc.
8.250% due 08/15/2018		2,300		1,355
EDF S.A.
6.950% due 01/26/2039		1,100		1,239
Gaz Capital S.A.
8.146% due 04/11/2018		700		640
Georgia-Pacific LLC
7.750% due 11/15/2029		30		24
GlaxoSmithKline Capital, Inc.
6.375% due 05/15/2038		900		981
Goldman Sachs Group, Inc.
1.187% due 02/06/2012		20		19
6.750% due 10/01/2037		200		178
TransCapitalInvest Ltd. for OJSC AK Transneft
8.700% due 08/07/2018		900		868
United Technologies Corp.
6.125% due 07/15/2038		900		979
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		500		538
Total Corporate Bonds & Notes (Cost $7,535)				6,831
MUNICIPAL BONDS & NOTES 1.7%
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2037		500		420
Clark County, Nevada School District General Obligation Bonds, (FSA Insured), Series 2005
5.000% due 06/15/2020		300		302
Connecticut State General Obligation Bonds, Series 2008
5.850% due 03/15/2032		700		704
Florida State General Obligation Bonds, Series 2008
5.250% due 07/01/2037		300		304
Hamilton County, Ohio Revenue Bonds, (AMBAC Insured), Series 2000
0.000% due 12/01/2028		300		91
Illinois State General Obligation Bonds, (AMBAC Insured), Series 2004
5.000% due 11/01/2028		1,000		1,000
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		100		57
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		67
Total Municipal Bonds & Notes (Cost $3,220)				3,139
U.S. GOVERNMENT AGENCIES 29.2%
Fannie Mae
0.000% due 06/01/2017 - 10/03/2033		29,432		10,970
4.000% due 02/25/2019		100		99
5.000% due 08/25/2033 - 07/01/2039		7,706		7,842
5.500% due 04/25/2033 - 01/01/2039		6,995		7,228
5.625% due 07/15/2037		200		211
6.000% due 12/25/2034		132		144
6.210% due 08/06/2038		10,305		11,761
Federal Farm Credit Bank
5.750% due 12/07/2028		80		84
Financing Corp.
0.000% due 10/06/2016 - 09/26/2019		4,500		3,057
Freddie Mac
0.000% due 01/15/2031 - 07/15/2032		5,700		1,610
0.719% due 01/15/2033		2		2
5.000% due 02/15/2023 - 10/15/2033		121		121
5.500% due 02/15/2024		40		40
6.000% due 06/15/2035		212		231
8.250% due 06/01/2016		30		35
Ginnie Mae
5.500% due 10/20/2037		110		113
Residual Funding Strip
0.000% due 04/15/2030		21,700		7,851
Resolution Funding Corp.
0.000% due 04/15/2028		891		351
Small Business Administration
5.290% due 12/01/2027		533		558
Tennessee Valley Authority
4.500% due 04/01/2018		600		613
4.875% due 01/15/2048		100		92
5.500% due 06/15/2038		2,200		2,228
Total U.S. Government Agencies (Cost $56,890)				55,241
U.S. TREASURY OBLIGATIONS 97.8%
Treasury Inflation Protected Securities (b)
1.750% due 01/15/2028		305		288
2.000% due 01/15/2026		968		947
2.375% due 01/15/2025		2,262		2,323
2.375% due 01/15/2027		1,903		1,969
U.S. Treasury Bonds
5.375% due 02/15/2031		1,800		2,064
6.125% due 11/15/2027		1,500		1,847
6.500% due 11/15/2026		500		636
U.S. Treasury Strips
0.000% due 08/15/2020		1,500		935
0.000% due 11/15/2026		10,600		4,790
0.000% due 02/15/2027		41,800		18,937
0.000% due 11/15/2027		52,600		22,913
0.000% due 02/15/2028		12,100		5,186
0.000% due 11/15/2028		51,400		21,639
0.000% due 02/15/2029		36,700		15,303
0.000% due 08/15/2029		51,500		20,947
0.000% due 05/15/2030		27,800		10,934
0.000% due 02/15/2031		53,900		20,575
0.000% due 02/15/2036		57,100		17,877
0.000% due 02/15/2037		200		60
0.000% due 05/15/2039		54,300		14,848
Total U.S. Treasury Obligations (Cost $189,288)				185,018
MORTGAGE-BACKED SECURITIES 2.6%
Bear Stearns Adjustable Rate Mortgage Trust
2.900% due 03/25/2035		33		28
Countrywide Alternative Loan Trust
0.525% due 07/20/2046		2,054		794
Countrywide Home Loan Mortgage Pass-Through Trust
6.069% due 09/25/2047		1,265		745
CS First Boston Mortgage Securities Corp.
3.844% due 07/25/2033		4		3
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		3		3
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		1,300		1,040
Harborview Mortgage Loan Trust
0.505% due 08/21/2036		1,136		482
Indymac Index Mortgage Loan Trust
0.504% due 09/25/2046		1,965		768
JPMorgan Chase Commercial Mortgage Securities Corp.
5.935% due 02/12/2049		20		15
Thornburg Mortgage Securities Trust
0.414% due 03/25/2037		73		64
WaMu Mortgage Pass-Through Certificates
2.070% due 01/25/2047		7		3
2.160% due 12/25/2046		2,743		940
3.127% due 10/25/2046		21		9
Wells Fargo Mortgage-Backed Securities Trust
4.517% due 11/25/2033		109		108
Total Mortgage-Backed Securities (Cost $7,099)				5,002
ASSET-BACKED SECURITIES 0.0%
Asset-Backed Securities Corp. Home Equity
0.364% due 12/25/2036		2		2
Bear Stearns Asset-Backed Securities Trust
5.062% due 07/25/2036		15		8
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		108		66
Total Asset-Backed Securities (Cost $125)				76
SOVEREIGN ISSUES 2.7%
Israel Government AID Bond
0.000% due 05/15/2021		800		441
0.000% due 02/15/2023		3,400		1,695
0.000% due 05/15/2023		6,100		2,994
Total Sovereign Issues (Cost $5,346)				5,130
SHORT-TERM INSTRUMENTS 1.9%
REPURCHASE AGREEMENTS 0.2%
State Street Bank and Trust Co.
0.010% due 07/01/2009		326		326
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $335. Repurchase proceeds are $326.)
U.S. TREASURY BILLS 0.2%
0.127% due 07/02/2009 - 07/16/2009 (a)(d)(e)		342		342
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 1.5%
		290,755	$	2,910
Total Short-Term Instruments (Cost $3,578)				3,578
Total Investments 139.5% (Cost $273,081)			$	264,015
Other Assets and Liabilities (Net) (39.5%)				(74,789	)
Net Assets 100.0%			$	189,226

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) Affiliated to the Fund.

(d) Securities with an aggregate market value of $120 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) Securities with an aggregate market value of $222 have been pledged as collateral for delayed-delivery securities on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $45,579 at a weighted average interest rate of 0.350%. On June 30, 2009, there were no open reverse repurchase agreements.

(g) Cash of $98 has been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
90-Day Euribor December Futures	Long	12/2010	28	$	17
90-Day Euribor September Futures	Long	09/2010	28		26
				$	43

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value		Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
General Electric Capital Corp.	BCLY	1.020	%	09/20/2010	3.944	%	$	10	$	0	$	0	$	0

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month CAD Bank Bill	5.000	%	12/19/2028	RBS	CAD	1,800	$	(74	)	$	(14	)	$	(60	)
Pay	3-Month USD-LIBOR	3.000	%	12/16/2010	BOA	$	13,000		206			180			26
Pay	3-Month USD-LIBOR	3.000	%	12/16/2010	CSFB		22,700		360			309			51
Pay	3-Month USD-LIBOR	3.000	%	12/16/2010	DUB		4,800		76			70			6
Pay	3-Month USD-LIBOR	3.000	%	06/16/2011	RBS		10,800		94			130			(36	)
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		1,000		2			(18	)		20
Pay	6-Month GBP-LIBOR	5.000	%	09/16/2010	BCLY	GBP	8,000		422			(36	)		458
Pay	6-Month GBP-LIBOR	5.000	%	09/16/2010	GSC		2,400		127			(10	)		137
Pay	6-Month GBP-LIBOR	5.000	%	09/16/2010	RBS		5,600		296			(25	)		321
								$	1,509		$	586		$	923

(i) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.500	%	07/01/2039	$	4,100	$	4,188	$	4,231

(j) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	CNY	BCLY	10	07/2009	$	0	$	0		$	0
Sell		BCLY	2,621	07/2009		0		0			0
Buy		DUB	3,604	07/2009		0		(23	)		(23	)
Sell		DUB	3,439	07/2009		1		0			1
Buy		HSBC	2,416	07/2009		0		(16	)		(16	)
Buy		JPM	30	07/2009		0		0			0
Buy		BCLY	1,403	09/2009		0		0			0
Buy		DUB	1,197	09/2009		0		0			0
Buy		BCLY	1,220	03/2010		0		0			0
Buy		BOA	24	03/2010		0		0			0
Buy		CITI	20	03/2010		0		0			0
Buy		DUB	2,238	03/2010		0		(2	)		(2	)
Sell		DUB	0	03/2010		0		0			0
Buy		HSBC	20	03/2010		0		0			0
Buy		JPM	0	03/2010		0		0			0
Sell	EUR	BCLY	129	07/2009		0		(1	)		(1	)
Sell	GBP	CITI	338	07/2009		0		(33	)		(33	)
Buy		MSC	322	07/2009		0		(2	)		(2	)
Buy		RBS	16	07/2009		1		0			1
Sell		MSC	322	08/2009		2		0			2
Sell	MXN	DUB	40,550	11/2009		0		(181	)		(181	)
Buy	MYR	BCLY	1,153	08/2009		5		0			5
Buy		CITI	205	08/2009		2		0			2
Buy		HSBC	237	08/2009		3		0			3
Buy	PHP	BCLY	2,123	08/2009		0		0			0
Buy		CITI	10,327	08/2009		0		(1	)		(1	)
Buy		DUB	900	08/2009		0		0			0
Buy	SGD	CITI	418	07/2009		8		0			8
Buy		DUB	334	07/2009		11		0			11
Buy		HSBC	87	07/2009		0		0			0
Buy		JPM	219	07/2009		6		0			6
					$	39	$	(259	)	$	(220	)

(k) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 6/30/2009
U.S. Government Agencies	$	0	$	55,241		$	0	$	55,241
U.S. Treasury Obligations		0		185,018			0		185,018
Other Investments++		2,910		20,846			0		23,756
Investments, at value	$	2,910	$	261,105		$	0	$	264,015
Short Sales, at value	$	0	$	(4,231	)	$	0	$	(4,231	)
Financial Derivative Instruments+++	$	43	$	703		$	0	$	746
Total	$	2,953	$	257,577		$	0	$	260,530

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Floating Income Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 3.2%
Bausch & Lomb, Inc.
3.570% due 04/26/2015	$	100	$	92
3.848% due 04/26/2015		1,776		1,635
7.000% due 10/26/2015		100		92
Community Health Systems, Inc.
2.560% due 07/25/2014		105		95
2.924% due 07/25/2014		810		731
Cooper-Standard Automotive, Inc.
3.125% due 12/31/2011		1,954		1,290
CSC Holdings, Inc.
2.069% due 03/29/2016		1,925		1,848
Daimler Finance North America LLC
4.320% due 08/03/2012		1,924		1,792
FCI Connectors
3.520% due 03/09/2013		1,717		884
Freescale Semiconductor, Inc.
12.500% due 12/15/2014		585		516
Georgia-Pacific Corp.
2.319% due 12/20/2012		121		115
2.323% due 12/20/2012		411		389
2.650% due 12/20/2012		1,336		1,264
Hawaiian Telcom Communications, Inc.
4.750% due 06/01/2024 (a)		1,704		1,010
Headwaters, Inc.
5.600% due 04/30/2011		552		464
Hertz Corp.
2.080% due 12/21/2012		1		1
Idearc, Inc.
4.250% due 11/17/2014		889		384
Ineos Group Holdings PLC
7.501% due 10/07/2013		1,107		804
8.001% due 10/07/2014		1,107		823
Las Vegas Sands Corp.
2.060% due 05/23/2014		959		680
Nielson Finance LLC
2.321% due 08/09/2013		893		806
OAO Rosneft Oil Co.
0.958% due 09/17/2009		484		426
PanAmSat Corp.
2.819% due 07/03/2012		534		502
Renal Advantage, Inc.
2.818% due 10/06/2012		203		186
3.124% due 10/06/2012		1,555		1,430
RH Donnelley Corp.
6.750% due 06/30/2011		876		691
6.750% due 06/30/2024		856		676
Roundy’s Supermarket, Inc.
3.060% due 10/27/2011		691		662
3.080% due 10/27/2011		872		835
Smurfit-Stone Container Corp.
2.290% due 11/01/2024		55		51
2.630% due 11/01/2011		178		163
Texas Competitive Electric Holdings Co. LLC
3.810% due 10/10/2014		16		11
3.821% due 10/10/2014		2,038		1,461
Wimar Landco LLC
4.946% due 07/03/2024		5,000		1,010
Total Bank Loan Obligations (Cost $34,267)				23,819
CORPORATE BONDS & NOTES 60.3%
BANKING & FINANCE 28.3%
American Express Bank FSB
0.399% due 07/13/2010		700		682
Bank of America Corp.
0.989% due 06/22/2012		8,000		8,118
4.375% due 12/01/2010		7,000		7,020
4.500% due 08/01/2010		7,000		7,036
5.375% due 08/15/2011		2,000		2,046
Barclays Bank PLC
5.450% due 09/12/2012		1,600		1,670
7.434% due 09/29/2049		6,200		4,160
Bear Stearns Cos. LLC
0.902% due 09/09/2009		1,680		1,679
C5 Capital SPV Ltd.
6.196% due 12/31/2049		500		266
C10 Capital SPV Ltd.
6.722% due 12/31/2049		2,400		1,230
Calabash Re Ltd.
11.524% due 01/08/2010		3,000		2,923
CIT Group Funding Co. of Canada
4.650% due 07/01/2010		5,000		4,250
Citigroup, Inc.
0.749% due 03/16/2012		20,000		18,173
2.125% due 04/30/2012		5,000		5,026
5.100% due 09/29/2011		6,000		5,879
Ford Motor Credit Co. LLC
3.889% due 01/13/2012		15,010		11,633
7.000% due 10/01/2013		6,100		4,911
7.250% due 10/25/2011		100		87
7.375% due 10/28/2009		6,425		6,370
7.800% due 06/01/2012		200		172
7.875% due 06/15/2010		200		190
8.000% due 12/15/2016		800		612
Foundation Re II Ltd.
7.576% due 11/26/2010		3,700		3,464
General Electric Capital Corp.
0.889% due 09/15/2014		2,900		2,464
Goldman Sachs Group, Inc.
0.856% due 03/02/2010		2,500		2,431
1.561% due 10/07/2011		2,000		1,921
1.639% due 01/12/2015		1,000		878
HBOS PLC
6.750% due 05/21/2018		2,500		1,890
Hipotecaria Su Casita S.A. de C.V.
8.500% due 10/04/2016		6,575		4,635
Intergas Finance BV
6.375% due 05/14/2017		4,000		3,060
6.875% due 11/04/2011		189		171
International Lease Finance Corp.
1.531% due 01/15/2010		4,500		4,181
1.538% due 07/01/2011		5,000		4,064
JPMorgan Chase & Co.
1.282% due 01/17/2011		7,000		6,926
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		1,100		168
2.950% due 05/25/2010 (a)		900		137
MBNA Corp.
5.000% due 05/04/2010		8,000		8,111
Merna Reinsurance Ltd.
1.248% due 07/07/2010		5,800		5,398
Merrill Lynch & Co., Inc.
3.188% due 05/12/2010		400		398
5.450% due 02/05/2013		2,350		2,290
Morgan Stanley
1.399% due 01/09/2012		1,300		1,173
1.411% due 01/15/2010		3,500		3,469
1.449% due 01/09/2014		1,000		899
Mystic Re Ltd.
10.668% due 06/07/2011		1,500		1,397
National Australia Bank Ltd.
0.901% due 08/19/2009		500		499
Osiris Capital PLC
6.131% due 01/15/2010		2,000		1,972
Pemex Finance Ltd.
9.690% due 08/15/2009		49		49
Petroleum Export Ltd.
4.623% due 06/15/2010		1,556		1,526
5.265% due 06/15/2011		3,436		3,312
Petroleum Export Ltd. II
6.340% due 06/20/2011		1,978		1,819
Residential Reinsurance 2007 Ltd.
6.668% due 06/07/2010		3,500		3,318
Royal Bank of Scotland Group PLC
2.625% due 05/11/2012		4,900		4,940
9.118% due 03/31/2049		4,000		3,261
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		3,500		2,594
TNK-BP Finance S.A.
7.500% due 03/13/2013		5,300		4,916
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		5,500		5,339
UBS Luxembourg S.A. for Sberbank
6.230% due 02/11/2015		1,500		1,463
UBS Preferred Funding Trust I
8.622% due 10/29/2049		8,250		5,877
Universal City Florida Holding Co. I & II
5.778% due 05/01/2010		3,200		2,632
VTB Capital S.A.
6.609% due 10/31/2012		3,500		3,299
Wachovia Corp.
1.230% due 04/23/2012		600		564
Wells Fargo Capital XIII
7.700% due 12/29/2049		7,600		6,313
				207,351
INDUSTRIALS 24.1%
Altria Group, Inc.
7.750% due 02/06/2014		3,300		3,660
9.250% due 08/06/2019		13,300		14,960
9.700% due 11/10/2018		10,000		11,483
AutoZone, Inc.
7.125% due 08/01/2018		2,000		2,120
Berry Plastics Corp.
4.504% due 09/15/2014		2,500		1,638
Biomet, Inc.
10.375% due 10/15/2017 (b)		1,300		1,264
Cie Generale de Geophysique-Veritas
9.500% due 05/15/2016		100		100
Compagnie Générale de Géophysique-Veritas
7.500% due 05/15/2015		1,000		922
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		800		160
CVS Caremark Corp.
0.968% due 06/01/2010		3,800		3,774
Delta Air Lines, Inc.
7.379% due 11/18/2011		4,571		4,457
Dex Media West LLC
9.875% due 08/15/2013 (a)		2,600		403
Dynegy Roseton/Danskammer Pass-Through Trust Series A
7.270% due 11/08/2010		713		718
First Data Corp.
9.875% due 09/24/2015		1,350		965
Goodyear Tire & Rubber Co.
5.010% due 12/01/2009		3,000		2,985
Hanesbrands, Inc.
4.592% due 12/15/2014		7,000		5,670
Home Depot, Inc.
0.749% due 12/16/2009		2,500		2,493
International Paper Co.
7.400% due 06/15/2014		3,000		2,991
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		52,670		54,513
Northwest Airlines, Inc.
7.626% due 04/01/2010		1,649		1,500
OneBeacon U.S. Holdings, Inc.
5.875% due 05/15/2013		375		354
Pemex Project Funding Master Trust
1.250% due 12/03/2012		15,000		14,100
Petroleos Mexicanos
8.000% due 05/03/2019		8,600		9,374
Pfizer, Inc.
4.450% due 03/15/2012		2,000		2,100
Rohm & Haas Co.
6.000% due 09/15/2017		3,000		2,686
RR Donnelley & Sons Co.
5.625% due 01/15/2012		6,000		5,800
11.250% due 02/01/2019 (h)		8,000		8,482
Ryder System, Inc.
6.000% due 03/01/2013		4,000		3,987
SandRidge Energy, Inc.
4.832% due 04/01/2014		4,775		3,756
SUPERVALU, Inc.
7.500% due 11/15/2014		275		265
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014		707		640
United Airlines, Inc.
6.201% due 03/29/2049		78		78
7.730% due 07/01/2010		370		362
Vale Overseas Ltd.
6.250% due 01/11/2016		5,000		5,138
Xerox Corp.
1.363% due 12/18/2009		3,000		2,969
XTO Energy, Inc.
7.500% due 04/15/2012		90		100
				176,967
UTILITIES 7.9%
AES Panama S.A.
6.350% due 12/21/2016		5,000		4,757
AT&T Corp.
7.300% due 11/15/2011		473		519
AT&T, Inc.
4.850% due 02/15/2014		4,800		4,989
CMS Energy Corp.
2.081% due 01/15/2013		9,400		7,849
Consolidated Edison Co. of New York, Inc.
5.550% due 04/01/2014		4,800		5,130
Embarq Corp.
7.082% due 06/01/2016		3,000		2,933
Ipalco Enterprises, Inc.
8.625% due 11/14/2011		1,100		1,111
Majapahit Holding BV
7.250% due 10/17/2011		2,100		2,069
Ohio Power Co.
0.775% due 04/05/2010		2,000		1,978
6.000% due 06/01/2016		4,800		5,056
PG&E Corp.
5.750% due 04/01/2014		4,800		5,117
Progress Energy, Inc.
6.050% due 03/15/2014		4,800		5,144
PSEG Energy Holdings LLC
8.500% due 06/15/2011		3,000		3,044
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		2,050		1,999
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		141		140
Sierra Pacific Power Co.
6.000% due 05/15/2016		200		203
Telesat Canada
11.000% due 11/01/2015		400		412
Verizon Communications, Inc.
5.350% due 02/15/2011		200		209
5.550% due 02/15/2016		4,800		4,952
				57,611
Total Corporate Bonds & Notes (Cost $454,872)				441,929
U.S. GOVERNMENT AGENCIES 21.5%
Fannie Mae
0.454% due 04/25/2035		68		62
0.514% due 10/27/2037		200		182
4.500% due 03/01/2038 - 05/01/2039		49,467		49,414
4.919% due 02/01/2035		212		219
5.000% due 11/01/2033 - 08/01/2038		12,765		13,027
5.045% due 05/01/2035		538		561
5.500% due 03/01/2033 - 01/01/2039		16,748		17,309
6.000% due 07/01/2039		31,600		33,027
Federal Home Loan Bank
1.625% due 07/27/2011		16,500		16,603
Freddie Mac
0.641% due 08/24/2010 (f)		4,283		4,294
0.888% due 02/01/2011		226		226
0.926% due 05/04/2011 (f)		4,782		4,794
0.937% due 08/05/2011 (f)		2,198		2,199
1.268% due 04/01/2011 (f)		14,500		14,549
5.500% due 09/01/2038		602		623
Ginnie Mae
0.618% due 12/16/2026		213		209
Total U.S. Government Agencies (Cost $157,861)				157,298
U.S. TREASURY OBLIGATIONS 0.1%
U.S. Treasury Notes
0.875% due 04/30/2011 (i)		427		426
Total U.S. Treasury Obligations (Cost $427)				426
MORTGAGE-BACKED SECURITIES 5.4%
Adjustable Rate Mortgage Trust
5.383% due 11/25/2035		706		485
American Home Mortgage Assets
0.524% due 10/25/2046		443		145
American Home Mortgage Investment Trust
0.554% due 05/25/2047		532		111
5.660% due 09/25/2045		128		79
Banc of America Commercial Mortgage, Inc.
5.837% due 06/10/2049		900		640
5.935% due 02/10/2051		900		728
Banc of America Funding Corp.
3.966% due 06/25/2034		347		307
4.000% due 07/26/2036		1,000		856
5.888% due 04/25/2037		700		438
Banc of America Mortgage Securities, Inc.
4.247% due 07/25/2033		150		131
4.403% due 07/25/2033		1,967		1,738
5.433% due 02/25/2036		46		31
Bear Stearns Adjustable Rate Mortgage Trust
4.767% due 12/25/2035		825		639
4.991% due 01/25/2035		40		30
5.457% due 05/25/2047		417		243
Bear Stearns Alt-A Trust
0.474% due 02/25/2034		2,083		1,182
5.490% due 09/25/2035		5,680		3,086
5.746% due 03/25/2036		244		108
Bear Stearns Structured Products, Inc.
5.714% due 12/26/2046		2,076		1,265
CC Mortgage Funding Corp.
0.444% due 05/25/2048		4,186		1,531
Citigroup Commercial Mortgage Trust
5.888% due 12/10/2049		400		317
Citigroup Mortgage Loan Trust, Inc.
0.379% due 01/25/2037		1,790		1,492
4.669% due 08/25/2035		1,559		462
4.685% due 03/25/2034		25		22
4.735% due 12/25/2035		390		217
5.994% due 09/25/2037		763		413
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		900		659
Countrywide Alternative Loan Trust
0.510% due 12/20/2046		878		352
0.525% due 07/20/2046		381		147
0.544% due 08/25/2046		629		121
0.595% due 09/20/2046		600		61
0.644% due 11/20/2035		170		77
0.824% due 11/20/2035		500		64
2.340% due 12/25/2035		247		112
5.889% due 11/25/2035		448		251
Countrywide Home Loan Mortgage Pass-Through Trust
5.364% due 10/20/2035		506		244
5.575% due 02/20/2036		618		324
5.752% due 05/20/2036		732		371
Credit Suisse Mortgage Capital Certificates
5.863% due 02/25/2037		500		222
CS First Boston Mortgage Securities Corp.
1.135% due 03/25/2032		40		31
CSAB Mortgage-Backed Trust
5.720% due 09/25/2036		600		382
Deutsche ALT-A Securities, Inc.
Alternate Loan Trust
5.869% due 10/25/2036		500		271
5.886% due 10/25/2036		500		271
Downey Savings & Loan Association Mortgage Loan Trust
0.623% due 11/19/2037		800		68
Greenpoint Mortgage Funding Trust
0.524% due 10/25/2046		600		80
GSR Mortgage Loan Trust
5.176% due 01/25/2036		171		115
Harborview Mortgage Loan Trust
0.458% due 04/19/2038		2,250		899
Homebanc Mortgage Trust
0.494% due 12/25/2036		514		224
Indymac Index Mortgage Loan Trust
0.414% due 01/25/2037		131		125
0.554% due 07/25/2035		43		19
5.099% due 09/25/2035		423		262
5.268% due 06/25/2035		402		246
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		700		539
5.794% due 02/12/2051		700		525
5.935% due 02/12/2049		500		380
JPMorgan Mortgage Trust
4.873% due 04/25/2035		479		426
5.397% due 11/25/2035		670		553
LB-UBS Commercial Mortgage Trust
5.430% due 02/15/2040		673		488
Merrill Lynch Alternative Note Asset
0.614% due 03/25/2037		700		244
Morgan Stanley Capital I
5.809% due 12/12/2049		900		688
Morgan Stanley Mortgage Loan Trust
5.380% due 06/25/2036		37		30
Opteum Mortgage Acceptance Corp.
0.574% due 07/25/2035		402		277
Residential Accredit Loans, Inc.
2.700% due 09/25/2045		1,282		574
Residential Funding Mortgage Securities I
5.202% due 09/25/2035		1,514		1,085
Sequoia Mortgage Trust
0.665% due 07/20/2033		403		324
Structured Adjustable Rate Mortgage Loan Trust
5.334% due 01/25/2035		1,419		955
Structured Asset Mortgage Investments, Inc.
0.444% due 03/25/2037		1,741		634
0.564% due 09/25/2047		632		139
0.643% due 10/19/2034		540		412
0.663% due 03/19/2034		85		53
Structured Asset Securities Corp.
3.986% due 06/25/2033		1,622		1,201
4.504% due 10/25/2035		475		327
TBW Mortgage-Backed Pass-Through Certificates
0.414% due 09/25/2036		60		60
5.970% due 09/25/2036		500		251
Thornburg Mortgage Securities Trust
0.414% due 03/25/2037		417		367
WaMu Mortgage Pass-Through Certificates
0.624% due 01/25/2045		207		97
2.070% due 01/25/2047		1,511		671
2.139% due 02/25/2047		429		173
2.150% due 12/25/2046		823		354
2.340% due 02/25/2046		2,643		1,179
2.540% due 11/25/2042		456		263
2.909% due 06/25/2033		688		538
5.394% due 02/25/2037		452		268
Wells Fargo Mortgage-Backed Securities Trust
3.902% due 06/25/2035		3,046		2,426
5.593% due 07/25/2036		163		110
Total Mortgage-Backed Securities (Cost $61,478)				39,305
ASSET-BACKED SECURITIES 2.8%
Asset-Backed Funding Certificates
0.374% due 10/25/2036		29		29
Asset-Backed Securities Corp. Home Equity
1.969% due 03/15/2032		1,672		992
Atrium CDO Corp.
1.522% due 06/27/2015		2,373		1,829
Citigroup Mortgage Loan Trust, Inc.
0.374% due 07/25/2045		1,795		1,262
Countrywide Asset-Backed Certificates
0.364% due 08/25/2037		470		420
0.364% due 05/25/2047		333		303
Credit-Based Asset Servicing & Securitization LLC
0.374% due 11/25/2036		901		736
0.404% due 12/25/2037		381		363
GSAMP Trust
0.354% due 10/25/2046		151		143
0.384% due 12/25/2036		393		208
0.414% due 01/25/2047		922		849
HSBC Asset Loan Obligation
0.374% due 12/25/2036		982		867
JPMorgan Mortgage Acquisition Corp.
0.364% due 08/25/2036		101		94
Lehman XS Trust
0.434% due 11/25/2036		157		154
Long Beach Mortgage Loan Trust
0.594% due 10/25/2034		288		184
MASTR Asset-Backed Securities Trust
0.364% due 01/25/2037		621		169
Morgan Stanley ABS Capital I
0.354% due 10/25/2036		171		160
0.364% due 11/25/2036		204		193
Residential Asset Mortgage Products, Inc.
0.714% due 06/25/2047		600		220
SACO I, Inc.
0.564% due 12/25/2035		1,481		309
SLM Student Loan Trust
2.592% due 04/25/2023		10,706		10,933
Specialty Underwriting & Residential Finance
0.994% due 01/25/2034		17		5
WaMu Asset-Backed Certificates
0.364% due 01/25/2037		633		453
Total Asset-Backed Securities (Cost $25,127)				20,875
SOVEREIGN ISSUES 5.6%
Colombia Government International Bond
7.375% due 03/18/2019		10,000		10,725
Export-Import Bank of Korea
1.386% due 10/04/2011		500		501
Korea Development Bank
1.507% due 10/20/2009		5,150		5,112
5.300% due 01/17/2013		1,150		1,137
Panama Government International Bond
7.250% due 03/15/2015		2,000		2,190
9.625% due 02/08/2011		9,000		9,833
South Africa Government International Bond
6.875% due 05/27/2019		5,400		5,576
Vietnam Government International Bond
6.875% due 01/15/2016		6,000		5,993
Total Sovereign Issues (Cost $40,188)				41,067
FOREIGN CURRENCY-DENOMINATED ISSUES 9.4%
Atlas Reinsurance PLC
5.520% due 01/10/2010	EUR	3,100		4,328
Brazil Government International Bond
12.500% due 01/05/2022	BRL	280		159
Brazil Notas do Tesouro Nacional Series B
6.000% due 08/15/2024		3,600		3,210
Citigroup, Inc.
4.750% due 02/10/2019	EUR	2,000		1,910
FCE Bank PLC
2.120% due 09/30/2009		200		276
Green Valley Ltd.
5.045% due 01/10/2011		1,900		2,579
Lehman Brothers Holdings, Inc.
5.259% due 06/12/2013 (a)		2,543		526
5.316% due 04/05/2011 (a)		1,816		376
Mizuho Bank Ltd.
1.317% due 11/24/2049	JPY	500,000		5,169
Mizuho Financial Group Aruba AEC
1.883% due 12/31/2049		600,000		6,223
PagesJaunes Groupe
2.463% due 01/11/2014	EUR	2,000		2,287
Rhodia S.A.
4.185% due 10/15/2013		7,500		7,654
Royal Bank of Scotland Group PLC
6.334% due 04/06/2011	GBP	3,129		2,019
Seat Pagine Gialle SpA
0.818% due 05/25/2012	EUR	1,325		1,563
Sumitomo Mitsui Banking Corp.
0.950% due 06/02/2049	JPY	700,000		6,891
1.075% due 12/31/2049		700,000		7,058
Unitymedia Hessen GmbH & Co. KG
4.259% due 04/15/2013	EUR	2,475		3,200
UPC Broadband Holding BV
4.516% due 12/31/2016		2,174		2,678
4.943% due 12/31/2017		1,568		1,940
Uruguay Government International Bond
6.875% due 01/19/2016		6,500		8,663
Total Foreign Currency-Denominated Issues (Cost $71,063)				68,709
		SHARES
COMMON STOCKS 0.0%
DURA Automotive Systems, Inc. (a)(c)		9,042		9
Total Common Stocks (Cost $146)				9
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 1.3%
REPURCHASE AGREEMENTS 0.0%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	406		406
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $415. Repurchase proceeds are $406.)
U.S. TREASURY BILLS 0.9%
0.128% due 07/02/2009 - 07/30/2009 (d)(f)(g)		6,280		6,280
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (e) 0.4%
		267,098		2,673
Total Short-Term Instruments (Cost $9,359)				9,359
Total Investments 109.6% (Cost $854,788)			$	802,796
Written Options (k) (0.1%) (Premiums $275)				(276	)
Other Assets and Liabilities (Net) (9.5%)				(69,725	)
Net Assets 100.0%			$	732,795

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) Non-income producing security.

(d) Coupon represents a weighted average rate.

(e) Affiliated to the Fund.

(f) Securities with an aggregate market value of $18,265 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(g) Securities with an aggregate market value of $1,380 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(h) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $1,890 at a weighted average interest rate of (2.750%). On June 30, 2009, securities valued at $2,120 were pledged as collateral for reverse repurchase agreements.

(i) Securities with an aggregate market value of $426 have been pledged as collateral for futures contracts on June 30, 2009.

(j) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Altria Group, Inc.	GSC	(1.417	%)	03/20/2019	1.088	%	$	10,000	$	(262	)	$	0	$	(262	)
AutoZone, Inc.	DUB	(1.320	%)	09/20/2018	0.521	%		2,000		(125	)		0		(125	)
Embarq Corp.	JPM	(1.550	%)	06/20/2016	1.094	%		3,000		(84	)		0		(84	)
International Paper Co.	MSC	(5.980	%)	06/20/2014	2.669	%		1,000		(143	)		0		(143	)
International Paper Co.	MSC	(6.110	%)	06/20/2014	2.669	%		2,000		(298	)		0		(298	)
Rohm & Haas Co.	CSFB	(1.850	%)	09/20/2017	0.902	%		3,000		(200	)		0		(200	)
RR Donnelley & Sons Co.	BOA	(3.500	%)	03/20/2019	3.314	%		8,000		(106	)		0		(106	)
RR Donnelley & Sons Co.	CITI	(4.030	%)	03/20/2012	3.365	%		6,000		(107	)		0		(107	)
Ryder System, Inc.	CITI	(3.060	%)	03/20/2013	2.291	%		4,000		(108	)		0		(108	)
									$	(1,433	)	$	0	$	(1,433	)

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
AES Corp.	CSFB	3.850	%	09/20/2009	6.112	%	$	150	$	(1	)	$	1		$	(2	)
American International Group, Inc.	GSC	0.095	%	09/20/2011	18.182	%		800		(249	)		0			(249	)
Amgen, Inc.	GSC	1.000	%	09/20/2014	1.000	%		9,200		199			197			2
ARAMARK Corp.	CITI	5.000	%	03/20/2014	6.662	%		2,400		(140	)		(65	)		(75	)
ArvinMeritor, Inc.	MLP	2.250	%	12/20/2009	31.269	%		500		(64	)		0			(64	)
AT&T Corp.	CSFB	1.300	%	12/20/2009	0.245	%		1,000		5			0			5
Berkshire Hathaway Finance Corp.	BCLY	1.000	%	03/20/2013	2.416	%		2,200		(105	)		0			(105	)
Berkshire Hathaway Finance Corp.	DUB	1.000	%	09/20/2014	1.000	%		2,000		(116	)		(117	)		1
Brazil Government International Bond	BCLY	2.300	%	12/20/2009	0.793	%		5,700		44			0			44
Brazil Government International Bond	BCLY	1.360	%	08/20/2011	1.177	%		1,800		16			0			16
Brazil Government International Bond	BCLY	1.370	%	08/20/2011	1.177	%		4,800		43			0			43
Brazil Government International Bond	BCLY	2.370	%	05/20/2014	1.700	%		3,400		113			0			113
Brazil Government International Bond	BCLY	1.740	%	06/20/2014	1.714	%		6,900		15			0			15
Brazil Government International Bond	BOA	1.800	%	06/20/2014	1.714	%		3,500		18			0			18
Brazil Government International Bond	CSFB	3.350	%	12/20/2009	0.793	%		2,000		26			0			26
Brazil Government International Bond	MLP	2.900	%	05/20/2014	1.700	%		5,200		306			0			306
Brazil Government International Bond	MLP	2.920	%	05/20/2014	1.700	%		2,500		149			0			149
Brazil Government International Bond	UBS	2.250	%	05/20/2014	1.700	%		3,600		100			0			100
Celestica, Inc.	BCLY	2.850	%	09/20/2011	4.008	%		3,200		(76	)		0			(76	)
CEMEX SAB de C.V.	DUB	0.620	%	06/20/2012	10.530	%		6,700		(1,497	)		0			(1,497	)
CEMEX SAB de C.V.	JPM	1.050	%	12/20/2016	8.875	%		2,900		(919	)		0			(919	)
Chesapeake Energy Corp.	JPM	5.000	%	09/20/2014	7.108	%		2,500		(196	)		(188	)		(8	)
Community Health Systems, Inc.	GSC	5.000	%	09/20/2012	5.880	%		4,200		(98	)		(273	)		175
Dynegy Holdings, Inc.	JPM	2.350	%	12/20/2009	4.491	%		1,500		(14	)		0			(14	)
El Paso Corp.	BOA	5.000	%	09/20/2014	6.974	%		400		(30	)		(30	)		0
El Paso Corp.	CSFB	5.000	%	09/20/2014	6.974	%		4,600		(340	)		(346	)		6
France Telecom S.A.	UBS	0.330	%	09/20/2011	0.316	%	EUR	5,300		3			0			3
France Telecom S.A.	WAC	0.325	%	09/20/2011	0.316	%		2,700		1			0			1
General Electric Capital Corp.	CITI	3.950	%	03/20/2017	4.020	%	$	14,525		(41	)		0			(41	)
General Electric Capital Corp.	DUB	0.125	%	09/20/2011	4.219	%		1,000		(84	)		0			(84	)
General Electric Capital Corp.	DUB	3.730	%	12/20/2013	4.336	%		5,000		(108	)		0			(108	)
Georgia-Pacific LLC	BOA	5.000	%	06/20/2014	4.705	%		1,000		14			(102	)		116
Georgia-Pacific LLC	JPM	1.240	%	09/20/2009	3.242	%		300		(1	)		0			(1	)
Goldman Sachs Group, Inc.	MSC	0.235	%	06/20/2012	1.693	%		6,000		(246	)		0			(246	)
Host Hotels & Resorts LP	JPM	1.950	%	09/20/2009	5.886	%		300		(3	)		0			(3	)
Indonesia Government International Bond	BCLY	2.320	%	12/20/2016	3.211	%		7,500		(389	)		0			(389	)
Indonesia Government International Bond	RBS	1.525	%	12/20/2011	2.930	%		7,000		(228	)		0			(228	)
Mexico Government International Bond	BCLY	2.680	%	05/20/2014	2.019	%		3,400		111			0			111
Mexico Government International Bond	BCLY	3.180	%	05/20/2014	2.020	%		6,000		341			0			341
Mexico Government International Bond	BCLY	2.090	%	06/20/2014	2.031	%		6,300		24			0			24
Mexico Government International Bond	BCLY	2.310	%	06/20/2014	2.031	%		2,900		38			0			38
Mexico Government International Bond	BOA	2.130	%	06/20/2014	2.031	%		3,500		20			0			20
Mexico Government International Bond	DUB	2.850	%	12/20/2009	1.180	%		1,900		17			0			17
Mexico Government International Bond	MLP	3.200	%	05/20/2014	2.020	%		2,800		162			0			162
Mexico Government International Bond	UBS	2.450	%	05/20/2014	2.020	%		3,500		78			0			78
Petroleos Mexicanos	DUB	0.760	%	07/20/2011	1.685	%		1,000		(15	)		0			(15	)
Pfizer, Inc.	MSC	1.000	%	09/20/2014	1.000	%		9,700		224			222			2
Philippines Government International Bond	BCLY	1.920	%	09/20/2012	1.962	%		2,500		(2	)		0			(2	)
Philippines Government International Bond	BCLY	2.510	%	09/20/2017	2.281	%		1,500		24			0			24
Philippines Government International Bond	BCLY	2.530	%	09/20/2017	2.281	%		1,500		26			0			26
Philippines Government International Bond	DUB	2.050	%	09/20/2012	1.962	%		3,700		12			0			12
Philippines Government International Bond	DUB	2.500	%	09/20/2017	2.281	%		3,000		45			0			45
Philippines Government International Bond	MSC	2.440	%	09/20/2017	2.281	%		4,300		48			0			48
PSEG Energy Holdings LLC	MLP	1.300	%	06/20/2012	2.516	%		5,000		(167	)		0			(167	)
Qwest Capital Funding, Inc.	BCLY	1.470	%	03/20/2012	6.720	%		2,000		(250	)		0			(250	)
Qwest Capital Funding, Inc.	BCLY	1.500	%	03/20/2012	6.720	%		3,000		(373	)		0			(373	)
RRI Energy, Inc.	GSC	5.000	%	09/20/2014	9.460	%		2,800		(362	)		(468	)		106
RSHB Capital S.A.	BCLY	1.650	%	07/20/2011	4.405	%		4,800		(221	)		0			(221	)
RSHB Capital S.A. for OJSC Russian Agricultural Bank	GSC	0.700	%	06/20/2012	4.442	%		6,700		(676	)		0			(676	)
Russia Government International Bond	ABN	2.360	%	08/24/2009	1.769	%		100		1			0			1
SLM Corp.	BOA	0.820	%	06/20/2012	8.543	%		9,200		(1,700	)		0			(1,700	)
SLM Corp.	BOA	5.000	%	09/20/2014	7.854	%		1,000		(102	)		(108	)		6
Sungard Data Systems, Inc.	BCLY	5.000	%	09/20/2014	7.916	%		1,500		(162	)		(165	)		3
TECO Energy, Inc.	CSFB	2.050	%	09/20/2009	1.785	%		100		0			0			0
TECO Energy, Inc.	GSC	1.690	%	09/20/2009	1.785	%		300		0			0			0
TRW Automotive, Inc.	GSC	2.150	%	09/20/2009	6.743	%		250		(3	)		0			(3	)
Uruguay Government International Bond	DUB	1.050	%	01/20/2012	3.370	%		19,000		(975	)		0			(975	)
Vale Overseas Ltd.	UBS	0.650	%	06/20/2014	1.756	%		2,700		(135	)		0			(135	)
									$	(7,865	)	$	(1,442	)	$	(6,423	)

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/(Received)			Unrealized Appreciation/ (Depreciation)
CDX.EM-10 Index	JPM	3.350	%	12/20/2013	$	14,350	$	(670	)	$	(2,188	)	$	1,518
CDX.EM-10 Index	MLP	3.350	%	12/20/2013		9,395		(439	)		(1,409	)		970
CDX.HY-8 5-Year Index 35-100%	CITI	0.360	%	06/20/2012		13,212		(635	)		0			(635	)
CDX.HY-10 3-Year Index 25-35%	MLP	2.360	%	06/20/2011		5,000		(741	)		0			(741	)
CDX.IG-9 5-Year Index 15-30%	DUB	1.160	%	12/20/2012		10,700		118			0			118
CDX.IG-9 5-Year Index 15-30%	DUB	1.180	%	12/20/2012		6,400		75			0			75
CDX.IG-9 5-Year Index 15-30%	JPM	1.120	%	12/20/2012		4,300		42			0			42
CDX.IG-9 5-Year Index 30-100%	DUB	0.701	%	12/20/2012		5,056		60			0			60
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012		1,653		20			0			20
CDX.IG-9 5-Year Index 30-100%	DUB	0.710	%	12/20/2012		875		11			0			11
CDX.IG-9 5-Year Index 30-100%	GSC	0.695	%	12/20/2012		1,167		13			0			13
CDX.IG-9 5-Year Index 30-100%	GSC	0.705	%	12/20/2012		1,653		20			0			20
iTraxx Europe Crossover 5 Index	DUB	2.900	%	06/20/2011	EUR	4,399		(533	)		85			(618	)
iTraxx Europe Crossover 7 Index	DUB	2.300	%	06/20/2012		6,860		(1,558	)		123			(1,681	)
iTraxx Europe Crossover 7 Index	JPM	2.300	%	06/20/2012		2,254		(512	)		(103	)		(409	)
Select Aggregate Market Index	CSFB	2.150	%	12/20/2009	$	210		(1	)		3			(4	)
							$	(4,730	)	$	(3,489	)	$	(1,241	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	11.140	%	01/02/2012	HSBC	BRL	20,600	$	15		$	26		$	(11	)
Pay	1-Year BRL-CDI	11.650	%	01/02/2012	MLP		39,400		211			120			91
Receive	3-Month USD-LIBOR	4.000	%	12/16/2014	MSC	$	74,000		(2,277	)		(1,602	)		(675	)
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	DUB		11,000		68			0			68
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	GSC		12,000		75			0			75
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	RBS		2,800		18			0			18
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		13,100		24			(243	)		267
Receive	3-Month USD-LIBOR	4.000	%	06/17/2024	CSFB		6,300		26			(762	)		788
Receive	3-Month USD-LIBOR	4.000	%	06/17/2024	RBS		60,000		249			(4,020	)		4,269
Receive	3-Month USD-LIBOR	4.000	%	12/16/2024	JPM		19,000		430			1,264			(834	)
Receive	3-Month USD-LIBOR	4.000	%	12/16/2024	MSC		40,000		905			3,010			(2,105	)
Pay	6-Month EUR-LIBOR	4.750	%	09/17/2010	BCLY	EUR	74,000		3,346			(576	)		3,922
Pay	6-Month GBP-LIBOR	5.500	%	09/16/2010	GSC	GBP	158,000		9,627			(1,052	)		10,679
Pay	28-Day MXN TIIE	8.170	%	11/04/2016	MSC	MXN	37,900		47			(35	)		82
Pay	28-Day MXN TIIE	8.660	%	01/31/2019	BCLY		113,000		292			577			(285	)
Pay	28-Day MXN TIIE	8.950	%	02/19/2019	JPM		9,200		36			0			36
Pay	28-Day MXN TIIE	7.780	%	04/09/2019	JPM		67,500		(153	)		63			(216	)
								$	12,939		$	(3,230	)	$	16,169

(k) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	72	$	16	$	3
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	30		5		2
					$	21	$	5

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009	$	5,500	$	16	$	11
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	09/18/2009		25,600		49		150
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		11,100		66		9
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		28,000		98		58
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	2.500	%	08/21/2009		2,000		10		3
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/21/2009		2,000		15		40
									$	254	$	271

(l) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	4.500	%	08/01/2039	$	50,000	$	49,891	$	49,688

(m) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	HSBC	10,877	08/2009	$	193	$	0		$	193
Sell		HSBC	10,877	08/2009		0		(606	)		(606	)
Buy	CNY	BCLY	21,461	09/2009		42		0			42
Buy		CITI	13,882	09/2009		34		0			34
Buy		DUB	62,987	09/2009		138		0			138
Buy		HSBC	28,081	09/2009		64		0			64
Buy		JPM	11,459	09/2009		19		0			19
Buy	EUR	BCLY	3,258	07/2009		25		0			25
Sell		BCLY	21,544	07/2009		0		(162	)		(162	)
Sell	GBP	CITI	5,831	07/2009		0		(571	)		(571	)
Sell		MSC	5,831	08/2009		40		0			40
Buy	HUF	BCLY	262	10/2009		0		0			0
Sell		DUB	79	10/2009		0		0			0
Sell		HSBC	262	10/2009		0		0			0
Buy		JPM	79	10/2009		0		0			0
Buy	ILS	BCLY	2,332	11/2009		29		0			29
Buy	JPY	BCLY	3,510,324	07/2009		52		0			52
Sell		BNP	9,654,891	07/2009		0		(111	)		(111	)
Buy		CSFB	2,137,364	07/2009		0		(175	)		(175	)
Sell		MSC	4,007,203	08/2009		0		0			0
Sell	MXN	BCLY	432	11/2009		0		0			0
Sell		CITI	5,603	11/2009		0		(41	)		(41	)
Sell		HSBC	7,332	11/2009		0		(9	)		(9	)
Buy		JPM	176	11/2009		0		0			0
Sell		JPM	872	11/2009		0		(1	)		(1	)
Buy	MYR	BCLY	531	08/2009		1		0			1
Sell		CITI	531	08/2009		0		(1	)		(1	)
Buy	PHP	CITI	334,705	08/2009		7		(30	)		(23	)
Sell		CITI	334,705	08/2009		0		(72	)		(72	)
Sell	PLN	CITI	176	11/2009		0		(2	)		(2	)
Buy		DUB	52	11/2009		2		0			2
Buy		JPM	125	11/2009		2		0			2
Sell	SGD	BCLY	9,952	07/2009		0		(230	)		(230	)
Buy		CITI	5,313	07/2009		47		0			47
Buy		JPM	4,639	07/2009		122		0			122
Sell	TRY	HSBC	2,132	07/2009		0		(173	)		(173	)
Buy		JPM	2,133	07/2009		137		0			137
					$	954	$	(2,184	)	$	(1,230	)

(n) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)			Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	436,395		$	5,534		$	441,929
U.S. Government Agencies		0		157,298			0			157,298
Mortgage-Backed Securities		0		38,978			327			39,305
Sovereign Issues		0		41,067			0			41,067
Foreign Currency-Denominated Issues		0		48,239			20,470			68,709
Other Investments++		2,673		51,806			9			54,488
Investments, at value	$	2,673	$	773,783		$	26,340		$	802,796
Short Sales, at value	$	0	$	(49,688	)	$	0		$	(49,688	)
Financial Derivative Instruments+++	$	5	$	5,565		$	(4	)	$	5,566
Total	$	2,678	$	729,660		$	26,336		$	758,674

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)			Total Realized Gain/ (Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0		$	(3	)	$	6		$	0	$	69		$	5,462		$	5,534
Mortgage-Backed Securities		0			(18	)		0			0		53			292			327
Foreign Currency-Denominated Issues		19,499			0			(4	)		0		975			0			20,470
Other Investments++		25			0			0			0		(16	)		0			9
Investments, at value	$	19,524		$	(21	)	$	2		$	0	$	1,081		$	5,754		$	26,340
Financial Derivative Instruments+++	$	(671	)	$	0		$	0		$	0	$	758		$	(91	)	$	(4	)
Total	$	18,853		$	(21	)	$	2		$	0	$	1,839		$	5,663		$	26,336

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Foreign Bond Fund (Unhedged)

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
AUSTRALIA 4.0%
Citigroup Pty Ltd.
3.904% due 06/18/2012	AUD	17,500	$	14,130
5.500% due 06/18/2012		5,500		4,426
ING Bank Australia Ltd.
3.884% due 06/24/2014		10,000		8,016
Kreditanstalt fuer Wiederaufbau
5.500% due 06/05/2014		5,700		4,471
Medallion Trust
0.791% due 05/25/2035	$	3,615		3,256
Morgan Stanley
3.537% due 03/01/2013	AUD	5,200		3,621
Puma Finance Ltd.
0.822% due 02/21/2038	$	5,221		4,666
3.290% due 08/22/2037	AUD	8,208		6,151
3.555% due 07/12/2036		2,133		1,629
Seven Media Group
5.365% due 12/28/2012		5,736		2,600
5.730% due 12/28/2012		1,373		622
Torrens Trust
3.527% due 10/19/2038		10,521		7,550
Total Australia (Cost $68,817)				61,138
BERMUDA 0.4%
Merna Reinsurance Ltd.
1.248% due 07/07/2010	$	7,500		6,980
Total Bermuda (Cost $7,258)				6,980
CANADA 5.5%
Broadway Credit Card Trust
5.234% due 06/17/2011	CAD	19,900		17,008
Canadian Imperial Bank of Commerce
5.250% due 09/16/2010	EUR	9,000		12,979
Citigroup Finance Canada, Inc.
5.500% due 05/21/2013	CAD	3,900		3,120
Honda Canada Finance, Inc.
0.620% due 03/26/2012		27,000		21,427
Master Credit Card Trust
5.297% due 08/21/2012		5,500		5,038
Province of Ontario Canada
5.850% due 03/08/2033		11,100		10,697
6.200% due 06/02/2031		7,200		7,177
Rio Tinto Alcan, Inc.
6.450% due 03/15/2011	$	2,400		2,481
Toronto-Dominion Bank
5.375% due 05/14/2015	EUR	2,800		4,181
Total Canada (Cost $89,768)				84,108
CAYMAN ISLANDS 2.5%
Calabash Re Ltd.
9.024% due 01/08/2010	$	2,450		2,338
Foundation Re II Ltd.
7.576% due 11/26/2010		1,500		1,404
Green Valley Ltd.
5.045% due 01/10/2011	EUR	3,100		4,208
Longpoint Re Ltd.
5.874% due 05/08/2010	$	3,300		3,208
Mizuho Financial Group Cayman Ltd.
8.375% due 01/29/2049		7,600		7,410
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		4,700		4,120
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	1,800		1,790
Residential Reinsurance 2007 Ltd.
8.418% due 06/07/2010	$	5,900		5,629
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		4,200		3,378
6.164% due 01/29/2049	GBP	1,230		1,375
Vita Capital III Ltd.
2.308% due 01/01/2011	$	4,000		3,656
Total Cayman Islands (Cost $41,413)				38,516
DENMARK 0.1%
Realkredit Danmark A/S
4.100% due 10/01/2038	DKK	5,193		932
Total Denmark (Cost $891)				932
FRANCE 6.5%
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049	EUR	7,600		5,811
Credit Agricole S.A.
6.637% due 05/29/2049	$	5,900		3,471
Dexia Credit Local
1.262% due 09/23/2011		7,300		7,281
2.375% due 09/23/2011		2,000		2,015
France Government Bond
3.750% due 04/25/2021	EUR	4,600		6,322
4.000% due 10/25/2038		21,000		27,780
4.250% due 04/25/2019		5,000		7,307
4.750% due 04/25/2035		10,700		15,859
5.750% due 10/25/2032		8,300		13,938
Societe Generale
5.922% due 04/29/2049	$	700		434
7.756% due 05/22/2049	EUR	1,000		982
Vivendi
5.750% due 04/04/2013	$	1,440		1,451
6.625% due 04/04/2018		6,400		6,453
Total France (Cost $103,835)				99,104
GERMANY 13.1%
Kreditanstalt fuer Wiederaufbau
4.250% due 07/04/2014	EUR	2,000		2,971
Republic of Germany
4.000% due 01/04/2037		12,000		16,206
4.250% due 07/04/2014		51,100		77,325
4.250% due 07/04/2018		39,100		59,021
4.250% due 07/04/2039		11,600		16,450
4.750% due 07/04/2034		11,700		17,492
5.500% due 01/04/2031		3,200		5,208
6.250% due 01/04/2030		3,640		6,396
Total Germany (Cost $195,292)				201,069
IRELAND 1.0%
Atlas Reinsurance PLC
5.520% due 01/10/2010	EUR	2,000		2,792
Cars Alliance Funding PLC
1.586% due 10/08/2023		1,800		2,260
Depfa ACS Bank
1.650% due 12/20/2016	JPY	250,000		1,716
Immeo Residential Finance PLC
1.437% due 12/15/2016	EUR	4,827		4,398
Osiris Capital PLC
6.131% due 01/15/2010	$	1,000		986
SC Germany Auto
1.032% due 08/11/2015	EUR	2,173		2,951
Total Ireland (Cost $17,952)				15,103
ITALY 1.2%
Asset-Backed European Securitisation Transaction SRL
1.640% due 10/01/2015	EUR	10,877		14,786
Locat Securitisation Vehicle SRL
1.463% due 12/12/2024		2,983		3,901
Total Italy (Cost $20,280)				18,687
JAPAN 9.9%
Japan Government CPI Linked Bond
0.800% due 12/10/2015	JPY	997,920		9,133
1.000% due 06/10/2016		2,696,700		24,586
1.200% due 03/10/2017		171,020		1,569
1.200% due 06/10/2017		7,117,440		64,700
1.200% due 12/10/2017		1,084,320		9,809
Japan Government International Bond
2.500% due 09/20/2036		1,250,000		13,788
2.500% due 09/20/2037		2,250,000		24,935
Resona Bank Ltd.
5.850% due 09/29/2049	$	3,500		2,646
Total Japan (Cost $146,474)				151,166
JERSEY, CHANNEL ISLANDS 0.6%
HBOS Capital Funding LP
9.540% due 03/29/2049	GBP	4,200		3,213
HBOS Euro Finance LP
7.627% due 12/29/2049	EUR	1,742		1,026
HSBC Capital Funding LP
9.547% due 12/29/2049	$	4,852		4,526
Total Jersey, Channel Islands (Cost $14,180)				8,765
NETHERLANDS 6.0%
Arena BV
1.760% due 12/17/2064	EUR	2,837		3,637
Fortis Bank Nederland Holding NV
3.375% due 05/19/2014		14,900		21,006
Globaldrive BV
1.078% due 06/20/2015		4,180		5,600
1.106% due 06/20/2015		1,500		1,450
ING Bank NV
3.900% due 03/19/2014	$	15,500		15,803
LeasePlan Corp. NV
3.250% due 05/22/2014	EUR	4,500		6,320
Netherlands Government Bond
2.500% due 01/15/2012		2,900		4,135
3.250% due 07/15/2015		6,200		8,771
4.000% due 07/15/2019		11,100		15,886
5.000% due 07/15/2011		5,500		8,252
Rabobank Nederland NV
11.000% due 12/29/2049	$	1,500		1,673
Total Netherlands (Cost $92,518)				92,533
NORWAY 0.6%
DnB NOR Boligkreditt
4.500% due 05/16/2011	EUR	6,500		9,418
Total Norway (Cost $10,004)				9,418
PORTUGAL 0.7%
Banco Espirito Santo S.A.
5.500% due 07/21/2010	EUR	7,900		11,407
Total Portugal (Cost $12,416)				11,407
QATAR 0.1%
Ras Laffan Liquefied Natural Gas Co. Ltd. II
5.298% due 09/30/2020	$	1,000		921
Total Qatar (Cost $823)				921
RUSSIA 0.0%
Gaz Capital S.A.
5.875% due 06/01/2015	EUR	600		719
Total Russia (Cost $754)				719
SOUTH KOREA 0.5%
Export-Import Bank of Korea
5.750% due 05/22/2013	EUR	5,300		7,419
Total South Korea (Cost $8,164)				7,419
SPAIN 0.8%
Bankinter S.A.
5.000% due 05/14/2010	EUR	4,750		6,797
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	7,000		5,188
Total Spain (Cost $14,372)				11,985
SWITZERLAND 1.5%
UBS AG
5.750% due 04/25/2018	$	17,000		15,508
5.875% due 12/20/2017		7,500		6,996
Total Switzerland (Cost $24,396)				22,504
UNITED KINGDOM 6.2%
Barclays Bank PLC
6.050% due 12/04/2017	$	16,600		14,418
7.434% due 09/29/2049		7,500		5,032
10.179% due 06/12/2021		5,040		5,386
HBOS PLC
6.750% due 05/21/2018		4,000		3,024
Lloyds Banking Group PLC
5.920% due 09/29/2049		17,200		6,106
6.657% due 05/19/2049		1,708		616
Lloyds TSB Bank PLC
2.208% due 04/02/2012		8,500		8,484
Opera Finance PLC
1.625% due 01/15/2015	EUR	4,350		3,781
Pearson Dollar Finance PLC
5.700% due 06/01/2014	$	6,800		6,735
Pearson Dollar Finance Two PLC
5.500% due 05/06/2013		2,500		2,468
Royal Bank of Scotland Group PLC
2.625% due 05/11/2012		6,000		6,049
5.500% due 12/03/2049	GBP	310		288
6.666% due 12/31/2049	CAD	4,700		1,617
7.092% due 10/29/2049	EUR	9,200		4,453
Tate & Lyle International Finance PLC
5.000% due 11/15/2014	$	1,100		988
TI Group Ltd.
7.875% due 07/12/2010	GBP	5,500		9,329
United Kingdom Gilt
4.250% due 06/07/2032		4,400		7,151
4.250% due 03/07/2036		3,800		6,097
4.750% due 12/07/2038		220		383
Weather Investments II SARL
7.099% due 11/26/2014	EUR	1,000		1,341
XL Capital Finance Europe PLC
6.500% due 01/15/2012	$	500		466
Total United Kingdom (Cost $116,067)				94,212
UNITED STATES 62.7%
ASSET-BACKED SECURITIES 1.9%
ABSC Manufactured Housing Contract
5.019% due 04/16/2030	$	2,643		2,149
Accredited Mortgage Loan Trust
0.364% due 02/25/2037		118		109
Amortizing Residential Collateral Trust
0.604% due 07/25/2032		8		4
1.014% due 10/25/2031		4		3
Argent Securities, Inc.
0.364% due 10/25/2036		114		112
Asset-Backed Funding Certificates
0.374% due 10/25/2036		248		243
0.664% due 06/25/2034		4,406		2,164
Bear Stearns Asset-Backed Securities Trust
0.764% due 03/25/2043		14		12
Carrington Mortgage Loan Trust
0.634% due 10/25/2035		182		141
CIT Group Home Equity Loan Trust
0.604% due 03/25/2033		7		6
Citigroup Mortgage Loan Trust, Inc.
0.384% due 05/25/2037 (k)		1,018		654
0.414% due 10/25/2036		225		211
Community Program Loan Trust
4.500% due 10/01/2018		402		402
Conseco Finance Securitizations Corp.
6.030% due 03/01/2033		505		422
6.681% due 12/01/2033		419		358
Countrywide Asset-Backed Certificates
0.364% due 03/25/2047		580		564
0.364% due 06/25/2047		132		122
0.414% due 09/25/2047		4,227		3,706
0.494% due 09/25/2036		419		297
0.654% due 12/25/2036		225		131
0.794% due 12/25/2031		3		1
CS First Boston Mortgage Securities Corp.
0.934% due 01/25/2032		3		2
GSAMP Trust
0.604% due 03/25/2034		7		7
HFC Home Equity Loan Asset-Backed Certificates
0.665% due 09/20/2033		699		523
Home Equity Asset Trust
0.914% due 11/25/2032		1		1
Home Equity Mortgage Trust
5.500% due 01/25/2037		532		69
HSI Asset Securitization Corp. Trust
0.424% due 04/25/2037		206		158
Indymac Residential Asset-Backed Trust
0.374% due 04/25/2037		75		71
Lehman XS Trust
0.384% due 05/25/2046		1		1
0.394% due 11/25/2046		1,741		1,457
0.464% due 04/25/2037		4,395		2,937
0.544% due 06/25/2046		636		109
0.554% due 11/25/2046		710		199
0.634% due 11/25/2046		1,000		170
Long Beach Mortgage Loan Trust
0.594% due 10/25/2034		360		231
MASTR Asset-Backed Securities Trust
0.374% due 11/25/2036		74		69
Merrill Lynch Mortgage Investors, Inc.
0.364% due 05/25/2037		42		41
0.384% due 08/25/2036		415		412
0.384% due 07/25/2037		1,686		1,576
0.394% due 09/25/2037		461		396
0.434% due 02/25/2037		167		88
Morgan Stanley ABS Capital I
0.374% due 05/25/2037		91		73
Morgan Stanley Mortgage Loan Trust
0.674% due 04/25/2037		1,100		401
Nationstar Home Equity Loan Trust
0.374% due 06/25/2037		278		249
Popular ABS Mortgage Pass-Through Trust
0.404% due 06/25/2047		267		209
Renaissance Home Equity Loan Trust
0.814% due 12/25/2033		932		445
Residential Asset Mortgage Products, Inc.
0.384% due 02/25/2037		149		128
0.394% due 10/25/2036		1,039		1,028
Residential Asset Securities Corp.
0.384% due 02/25/2037		189		174
0.394% due 10/25/2036		279		276
0.814% due 07/25/2032		48		18
SACO I, Inc.
0.374% due 05/25/2036		382		221
Saxon Asset Securities Trust
0.374% due 10/25/2046		1,117		1,075
0.834% due 08/25/2032		1		1
SBI HELOC Trust
0.484% due 08/25/2036		2,075		1,866
Securitized Asset-Backed Receivables LLC Trust
0.354% due 01/25/2037		457		386
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		97		53
0.394% due 01/25/2037		43		42
Structured Asset Securities Corp.
0.604% due 01/25/2033		13		9
0.714% due 05/25/2034		10		8
Washington Mutual Asset-Backed Certificates
0.374% due 10/25/2036		395		324
Wells Fargo Home Equity Trust
0.544% due 10/25/2035		1,368		1,293
0.554% due 11/25/2035		412		406
				29,013
BANK LOAN OBLIGATIONS 0.3%
Daimler Finance North America LLC
4.320% due 08/03/2012		5,050		4,703
Ford Motor Co.
3.320% due 12/16/2013		499		363
4.140% due 12/16/2013		251		182
				5,248
CORPORATE BONDS & NOTES 17.1%
American Express Bank FSB
0.438% due 05/29/2012		100		89
0.471% due 06/12/2012		4,500		3,990
American Express Co.
7.000% due 03/19/2018		7,000		6,808
American Express Credit Corp.
5.875% due 05/02/2013		700		696
American International Group, Inc.
4.250% due 05/15/2013		1,100		638
4.875% due 03/15/2067	EUR	5,200		1,495
8.000% due 05/22/2038		18,700		5,902
8.175% due 05/15/2058	$	10,900		3,112
AutoZone, Inc.
5.875% due 10/15/2012		1,600		1,664
7.125% due 08/01/2018		700		742
Bank of America Corp.
1.399% due 10/14/2016		1,600		1,213
4.750% due 05/23/2017	EUR	6,200		6,202
4.750% due 05/06/2019		2,000		1,950
BellSouth Corp.
4.950% due 04/26/2021	$	1,800		1,839
Boston Scientific Corp.
6.400% due 06/15/2016		2,700		2,524
Cameron International Corp.
6.375% due 07/15/2018		3,000		2,773
CenturyTel, Inc.
6.000% due 04/01/2017		2,800		2,531
Citigroup Capital XVIII
6.829% due 06/28/2067	GBP	1,000		864
Citigroup Capital XXI
8.300% due 12/21/2077	$	300		234
Citigroup, Inc.
1.305% due 06/28/2013	EUR	6,000		7,039
1.400% due 03/05/2014		2,200		2,504
1.527% due 02/09/2016		5,035		5,267
8.400% due 04/29/2049 (a)	$	3,900		2,930
CNA Financial Corp.
6.000% due 08/15/2011		2,000		1,904
Computer Sciences Corp.
6.500% due 03/15/2018		5,600		5,732
Cox Communications, Inc.
6.750% due 03/15/2011		1,700		1,794
Daimler Finance North America LLC
4.875% due 06/15/2010		700		701
5.750% due 09/08/2011		1,100		1,123
Erac USA Finance Co.
6.375% due 10/15/2017		1,300		1,176
Exelon Corp.
4.900% due 06/15/2015		2,300		2,145
General Electric Capital Corp.
1.396% due 05/05/2026		650		430
1.616% due 05/22/2013		2,000		1,798
6.375% due 11/15/2067		5,100		3,407
GMAC LLC
4.750% due 09/14/2009	EUR	2,300		3,178
Goldman Sachs Group, Inc.
1.616% due 05/18/2015		6,900		8,303
1.665% due 02/04/2013		2,000		2,555
1.815% due 02/02/2015		2,500		3,048
5.250% due 06/01/2016 (k)	CAD	4,800		3,985
5.375% due 02/15/2013	EUR	3,800		5,389
5.950% due 01/18/2018	$	5,000		4,858
6.150% due 04/01/2018		5,784		5,641
6.250% due 09/01/2017		4,300		4,261
HCP, Inc.
5.650% due 12/15/2013		3,000		2,735
5.950% due 09/15/2011		700		686
6.700% due 01/30/2018		2,900		2,523
Home Depot, Inc.
5.400% due 03/01/2016		8,000		7,998
HRPT Properties Trust
5.750% due 11/01/2015		8,250		6,733
International Lease Finance Corp.
5.300% due 05/01/2012		8,000		6,206
5.400% due 02/15/2012		2,400		1,874
6.625% due 11/15/2013		8,000		6,165
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	3,100		2,311
JPMorgan Chase Bank N.A.
4.375% due 11/30/2021	EUR	7,600		9,287
Lehman Brothers Holdings, Inc.
5.625% due 01/24/2013 (a)	$	10,400		1,625
6.875% due 05/02/2018 (a)		14,600		2,409
Lennar Corp.
5.950% due 10/17/2011		700		654
Loews Corp.
5.250% due 03/15/2016		800		805
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		1,900		1,905
Masco Corp.
5.875% due 07/15/2012		700		659
6.125% due 10/03/2016		11,000		9,248
Maytag Corp.
5.000% due 05/15/2015		2,200		1,910
McKesson Corp.
5.700% due 03/01/2017		1,900		1,901
Merrill Lynch & Co., Inc.
1.559% due 08/25/2014	EUR	600		702
1.570% due 05/30/2014		1,800		2,045
1.644% due 01/31/2014		2,700		3,172
1.855% due 07/22/2014		3,700		4,035
Midwest Generation LLC
8.300% due 07/02/2009	$	235		233
Morgan Stanley
1.557% due 10/18/2016		2,200		1,782
1.600% due 03/01/2013	EUR	1,000		1,248
1.611% due 10/15/2015	$	7,200		6,179
1.845% due 04/13/2016	EUR	200		229
NGPL PipeCo. LLC
7.119% due 12/15/2017	$	400		420
NiSource Finance Corp.
5.400% due 07/15/2014		800		758
PPG Industries, Inc.
6.650% due 03/15/2018		4,000		4,260
ProLogis
5.625% due 11/15/2015		4,000		3,177
Qwest Corp.
3.879% due 06/15/2013		1,500		1,348
Reynolds American, Inc.
7.250% due 06/01/2013		4,000		4,118
Sara Lee Corp.
6.250% due 09/15/2011		1,600		1,692
Sealed Air Corp.
5.625% due 07/15/2013		2,300		2,082
Simon Property Group LP
6.125% due 05/30/2018		4,000		3,727
Southwest Airlines Co.
5.125% due 03/01/2017		3,300		2,840
Sprint Capital Corp.
8.375% due 03/15/2012		2,900		2,871
8.750% due 03/15/2032		1,100		891
State Street Capital Trust IV
1.629% due 06/01/2077		5,900		3,422
Tyco International Ltd.
7.000% due 12/15/2019		7,500		7,392
United Airlines, Inc.
9.060% due 06/17/2015 (a)		173		1
Universal Health Services, Inc.
7.125% due 06/30/2016		1,000		1,005
Valero Energy Corp.
6.125% due 06/15/2017		2,000		1,931
Verizon Communications, Inc.
6.100% due 04/15/2018		5,200		5,342
Viacom, Inc.
5.750% due 04/30/2011		2,800		2,868
				261,838
MORTGAGE-BACKED SECURITIES 14.9%
Adjustable Rate Mortgage Trust
5.152% due 09/25/2035		593		386
American Home Mortgage Assets
0.504% due 09/25/2046		2,789		1,174
0.544% due 09/25/2046		763		166
2.260% due 11/25/2046		7,254		3,327
American Home Mortgage Investment Trust
4.290% due 10/25/2034		957		680
Banc of America Commercial Mortgage, Inc.
5.414% due 09/10/2047		1,100		880
Banc of America Funding Corp.
5.967% due 10/20/2046		4,645		2,391
6.102% due 01/20/2047		835		445
BCAP LLC Trust
0.484% due 01/25/2037		11,201		4,279
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		2,767		2,378
2.500% due 08/25/2035		4,779		4,185
2.900% due 03/25/2035		6,791		5,876
4.248% due 05/25/2034		1,715		1,348
4.550% due 08/25/2035		3,843		3,395
4.625% due 10/25/2035		4,512		3,578
4.630% due 05/25/2034		596		416
4.654% due 10/25/2033		841		740
5.172% due 02/25/2034		92		60
5.609% due 02/25/2033		107		100
5.733% due 02/25/2036		1,123		662
Bear Stearns Alt-A Trust
5.490% due 09/25/2035		4,272		2,321
5.521% due 11/25/2035		202		109
5.673% due 11/25/2036		2,995		1,524
5.694% due 11/25/2036		5,988		3,036
5.731% due 02/25/2036		6,734		2,982
5.841% due 11/25/2036		1,692		824
6.250% due 08/25/2036		4,254		2,005
Bear Stearns Commercial Mortgage Securities
0.429% due 03/15/2019		144		124
5.540% due 09/11/2041		2,600		2,163
Bella Vista Mortgage Trust
0.565% due 05/20/2045		73		29
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		14		12
5.888% due 12/10/2049		3,900		2,768
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		3,059		2,436
4.748% due 08/25/2035		2,729		2,172
4.900% due 10/25/2035		4,271		3,246
5.672% due 07/25/2046		5,189		2,772

Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		11,800		8,740
Commercial Mortgage Pass-Through Certificates
0.539% due 02/05/2019		300		215
Countrywide Alternative Loan Trust
0.510% due 12/20/2046		4,929		1,979
0.514% due 05/25/2036		142		56
0.524% due 05/25/2035		3,114		1,407
0.524% due 07/25/2046		2,982		1,273
0.525% due 03/20/2046		165		68
0.564% due 09/25/2046		1,700		140
0.574% due 07/25/2046		1,300		110
0.594% due 02/25/2037		136		62
0.595% due 09/20/2046		1,700		172
0.664% due 05/25/2037		1,767		702
0.664% due 06/25/2037		932		207
0.734% due 12/25/2035		812		192
2.840% due 11/25/2035		1,366		603
3.380% due 11/25/2035		1,085		474
5.250% due 06/25/2035		930		743
6.000% due 10/25/2032		27		23
6.000% due 01/25/2037		4,009		2,191
6.000% due 04/25/2037		4,452		2,415
6.250% due 08/25/2037		1,338		720
Countrywide Home Loan Mortgage Pass-Through Trust
0.604% due 04/25/2035		235		108
0.634% due 03/25/2035		2,295		969
0.644% due 02/25/2035		194		101
0.654% due 02/25/2035		230		122
0.654% due 03/25/2036		1,141		211
4.122% due 11/19/2033		112		100
4.543% due 08/25/2034		306		189
5.250% due 01/20/2035		728		579
5.250% due 02/20/2036		1,979		1,345
5.550% due 04/20/2036		1,215		806
6.069% due 09/25/2047		3,442		2,027
Credit Suisse Mortgage Capital Certificates
5.311% due 12/15/2039		11,200		7,710
6.500% due 07/26/2036		1,483		810
CS First Boston Mortgage Securities Corp.
0.964% due 03/25/2034		540		253
3.844% due 07/25/2033		93		82
4.214% due 08/25/2033		808		707
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		261		237
0.414% due 10/25/2036		1,236		1,060
5.500% due 12/25/2035		1,600		906
6.300% due 07/25/2036		1,600		801
First Horizon Asset Securities, Inc.
3.170% due 07/25/2033		152		135
4.742% due 12/25/2033		587		485
5.365% due 08/25/2035		486		370
6.250% due 08/25/2017		944		930
GMAC Mortgage Corp. Loan Trust
4.765% due 06/25/2034		119		65
5.500% due 09/25/2034		1,064		1,067
Greenpoint Mortgage Funding Trust
0.494% due 01/25/2037		2,397		971
0.514% due 12/25/2046		1,500		141
0.524% due 04/25/2036		1,291		472
0.534% due 06/25/2045		762		325
0.584% due 11/25/2045		154		73
Greenpoint Mortgage Pass-Through Certificates
4.826% due 10/25/2033		109		83
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		274		235
GSR Mortgage Loan Trust
4.469% due 09/25/2035		818		689
4.535% due 03/25/2033		734		670
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		1,498		1,385
0.503% due 09/19/2037		1,431		589
0.503% due 01/19/2038		7,938		3,393
0.505% due 08/21/2036		3,091		1,312
0.533% due 05/19/2035		1,465		657
0.553% due 03/19/2036		384		162
0.683% due 02/19/2034		12		9
4.353% due 05/19/2033		1,038		884
5.143% due 07/19/2035		245		142
Indymac IMSC Mortgage Loan Trust
0.494% due 07/25/2047		6,253		2,400
Indymac Index Mortgage Loan Trust
0.524% due 05/25/2046		2,289		945
0.554% due 06/25/2037		459		188
0.604% due 11/25/2036		1,728		275
4.976% due 12/25/2034		360		273
5.000% due 08/25/2035		833		469
5.302% due 09/25/2035		846		461
JPMorgan Alternative Loan Trust
5.500% due 11/25/2036		2,423		1,969
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		500		385
JPMorgan Mortgage Trust
4.381% due 11/25/2033		788		686
5.012% due 02/25/2035		2,340		2,048
5.377% due 08/25/2035		1,400		1,086
Luminent Mortgage Trust
0.484% due 12/25/2036		9,801		3,854
MASTR Adjustable Rate Mortgages Trust
0.524% due 04/25/2046		704		289
0.654% due 05/25/2047		1,500		115
MASTR Alternative Loans Trust
0.714% due 03/25/2036		937		337
MASTR Asset Securitization Trust
5.500% due 11/25/2017		285		285
Mellon Residential Funding Corp.
0.759% due 12/15/2030		17		14
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		3,800		2,538
5.414% due 07/12/2046		100		76
6.156% due 08/12/2049		9,802		6,798
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		10,319		5,575
0.564% due 08/25/2036		715		328
4.668% due 02/25/2033		304		259
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		2,092		1,446
1.314% due 10/25/2035		3,399		2,710
4.250% due 10/25/2035		3,933		3,176
Morgan Stanley Capital I
5.558% due 03/12/2044		1,000		813
5.692% due 04/15/2049		1,500		1,098
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		448		269
5.524% due 02/25/2036		849		363
5.820% due 03/25/2047		1,300		758
6.138% due 03/25/2047		1,100		648
Residential Accredit Loans, Inc.
0.464% due 02/25/2047		3,163		1,215
0.494% due 06/25/2046		7,269		2,802
0.524% due 04/25/2046		177		67
0.619% due 09/25/2046		2,200		255
5.667% due 09/25/2035		1,168		727
Residential Asset Securitization Trust
0.764% due 12/25/2036		812		364
5.750% due 02/25/2036		1,529		977
6.250% due 10/25/2036		1,000		507
6.500% due 08/25/2036		1,500		718
Residential Funding Mortgage Securities I
5.202% due 09/25/2035		592		425
Structured Adjustable Rate Mortgage Loan Trust
0.534% due 05/25/2037		221		87
2.610% due 01/25/2035		79		34
4.026% due 04/25/2034		1,282		1,072
4.802% due 02/25/2034		529		405
6.000% due 10/25/2037		1,107		517
Structured Asset Mortgage Investments, Inc.
0.414% due 09/25/2047		297		277
0.504% due 07/25/2046		2,199		920
0.534% due 05/25/2036		6,158		2,445
0.534% due 09/25/2047		200		38
0.544% due 05/25/2045		1,037		467
0.563% due 07/19/2035		7,054		4,493
0.564% due 09/25/2047		789		174
0.624% due 12/25/2035		73		33
0.893% due 07/19/2034		33		18
2.939% due 08/25/2047		3,688		1,391
TBW Mortgage-Backed Pass-Through Certificates
5.970% due 09/25/2036		200		100
Thornburg Mortgage Securities Trust
0.434% due 09/25/2046		61		56
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		6,906		4,977
WaMu Mortgage Pass-Through Certificates
0.534% due 07/25/2046		855		225
0.544% due 04/25/2045		2,370		1,219
0.574% due 11/25/2045		533		258
0.584% due 12/25/2045		1,865		884
0.604% due 10/25/2045		228		120
0.624% due 01/25/2045		477		222
0.634% due 01/25/2045		322		162
0.802% due 11/25/2034		1,787		602
0.854% due 12/25/2027		1,259		942
2.080% due 01/25/2047		2,230		781
2.100% due 04/25/2047		1,534		641
2.139% due 02/25/2047		2,441		984
2.160% due 12/25/2046		7,463		2,556
2.320% due 06/25/2046		3,910		1,783
2.340% due 02/25/2046		126		56
2.674% due 05/25/2041		47		38
2.740% due 06/25/2042		259		188
2.740% due 08/25/2042		124		79
2.909% due 06/25/2033		273		213
3.127% due 07/25/2046		1,452		612
3.127% due 10/25/2046		3,042		1,365
3.711% due 03/25/2034		1,952		1,638
3.997% due 08/25/2034		2,032		1,773
4.542% due 09/25/2033		6,200		5,267
5.468% due 04/25/2037		3,910		2,345
5.581% due 12/25/2036		4,298		2,652
5.687% due 02/25/2037		3,156		1,765
Washington Mutual Alternative Mortgage Pass-Through Certificates
0.564% due 07/25/2046		468		137
2.280% due 07/25/2046		1,345		455
2.310% due 05/25/2046		3,920		1,666
Washington Mutual MSC Mortgage Pass-Through Certificates
5.380% due 02/25/2033		13		11
Wells Fargo Mortgage-Backed Securities Trust
4.694% due 04/25/2036		1,315		1,061
4.950% due 03/25/2036		5,391		3,815
5.775% due 04/25/2036		1,046		275
				227,133
MUNICIPAL BONDS & NOTES 1.5%
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
8.514% due 01/01/2014		630		582
Golden State, California Tobacco Securitization Corp. Revenue Bonds, (FGIC Insured), Series 2005
5.000% due 06/01/2035		6,900		5,848
5.000% due 06/01/2038		4,600		3,849
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		800		599
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2022		5,700		5,472
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2029		3,400		2,231
5.000% due 06/01/2041		500		271
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
8.850% due 12/15/2013		330		292
Northern Alaska State Tobacco Securitization Corp. Revenue Bonds, Series 2006
5.000% due 06/01/2046		5,000		2,708
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		2,000		104
South Carolina State Transportation Infrastructure Bank Revenue Bonds, (AMBAC Insured), Series 2001
5.000% due 10/01/2023		1,500		1,508
				23,464
	SHARES
PREFERRED STOCKS 0.0%
SLM Corp. CPI Linked
0.750% due 01/16/2018		25,700		322
	PRINCIPAL AMOUNT (000s)
U.S. GOVERNMENT AGENCIES 26.8%
Fannie Mae
0.374% due 07/25/2037	$	4,535		4,023
0.429% due 03/25/2034		33		30
0.464% due 08/25/2034		25		24
0.514% due 10/27/2037		7,400		6,739
0.564% due 06/25/2044		9		9
0.714% due 06/25/2029		31		30
2.638% due 06/01/2043 - 10/01/2044		654		648
3.014% due 06/01/2035		171		172
3.705% due 03/01/2033		247		247
4.000% due 02/01/2014 - 04/01/2014		3,004		3,057
4.287% due 11/01/2034		3,632		3,673
4.500% due 02/01/2013 - 05/01/2013		2,847		2,918
4.647% due 12/01/2036		340		342
4.828% due 09/01/2035		949		983
4.880% due 12/01/2015		1,867		1,952
4.922% due 05/01/2026		24		24
4.934% due 12/01/2034		187		193
5.000% due 02/01/2013 - 05/01/2038		7,031		7,195
5.029% due 09/01/2019		13		13
5.360% due 01/01/2016		983		1,050
5.500% due 05/25/2027 - 02/01/2048		129,102		133,429
5.500% due 10/01/2033 - 06/01/2038 (f)		117,264		121,422
5.700% due 08/01/2018		3,741		3,704
6.000% due 01/01/2023 - 07/25/2044		13,136		13,807
6.500% due 09/01/2024 - 06/25/2044		6,911		7,339
Federal Housing Administration
6.896% due 07/01/2020		977		962
7.430% due 09/01/2022 - 11/01/2022		80		80
Freddie Mac
0.574% due 08/25/2031		58		47
0.669% due 12/15/2030		384		379
0.702% due 03/09/2011 (d)		2,331		2,340
0.769% due 12/15/2031		147		145
0.926% due 05/04/2011 (d)		545		546
0.937% due 08/05/2011 (d)		1,619		1,620
1.089% due 01/28/2011 (d)		1,280		1,285
4.261% due 06/01/2024		56		57
4.500% due 07/15/2018		1,981		2,050
4.850% due 11/01/2035		841		872
4.881% due 10/01/2035		792		799
5.000% due 11/15/2021 - 03/15/2025		2,808		2,864
5.023% due 08/01/2035		937		965
5.096% due 10/01/2035		857		892
5.261% due 03/01/2036		906		943
5.338% due 09/01/2035		161		165
5.500% due 06/01/2036		3,283		3,403
6.000% due 09/01/2021 - 07/01/2039		4,329		4,575
7.000% due 09/01/2036		4,795		5,140
Ginnie Mae
4.125% due 10/20/2029		37		37
4.500% due 09/15/2033		36		36
5.500% due 07/01/2039		50,000		51,602
6.000% due 08/20/2034 - 01/15/2039		11,456		12,033
Small Business Administration
4.625% due 02/01/2025		834		861
4.754% due 08/10/2014		39		40
5.110% due 04/01/2025		1,792		1,868
				409,629
U.S. TREASURY OBLIGATIONS 0.2%
U.S. Treasury Notes
0.875% due 04/30/2011 (g)		1,665		1,661
0.875% due 05/31/2011		1,040		1,036
				2,697
Total United States (Cost $1,144,292)				959,344
SHORT-TERM INSTRUMENTS 5.4%
REPURCHASE AGREEMENTS 0.7%
Barclays Capital, Inc.
0.020% due 07/01/2009	$	2,000		2,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $2,069. Repurchase proceeds are $2,000.)
JPMorgan Chase Bank N.A.
0.090% due 07/01/2009		7,200		7,200
(Dated 06/30/2009. Collateralized by Freddie Mac 6.875% due 09/15/2010 valued at $7,352. Repurchase proceeds are $7,200.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		1,702		1,702
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $1,740. Repurchase proceeds are $1,702.)
				10,902
U.S. TREASURY BILLS 0.6%
0.767% due 07/16/2009 - 12/24/2009 (b)(d)(e)(g)		8,593		8,592
		SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 4.1%
		6,248,318		62,539
Total Short-Term Instruments (Cost $82,033)				82,033
PURCHASED OPTIONS (i) 0.0% (Cost $29)				28
Total Investments 129.3% (Cost $2,212,028)			$	1,978,091
Written Options (j) (0.0%) (Premiums $747)				(337	)
Other Assets and Liabilities (Net) (29.3%)				(448,260	)
Net Assets 100.0%			$	1,529,494

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

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

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(c) Affiliated to the Fund.

(d) Securities with an aggregate market value of $8,840 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) Securities with an aggregate market value of $580 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $178,762 at a weighted average interest rate of 0.479%. On June 30, 2009, securities valued at $113,545 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $6,339 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2010	41	$	(16	)
90-Day Euribor March Futures	Long	03/2011	990		(1,114	)
Euro-Bobl September Futures Put Options Strike @ EUR 107.000	Long	09/2009	564		0
Euro-Bund 10-Year Bond September Futures Put Options Strike @ EUR 105.000	Long	09/2009	649		0
Japan Government 10-Year Bond September Futures	Long	09/2009	74		1,768
U.S. Treasury 10-Year Note September Futures	Long	09/2009	22		20
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	1,734		(1,641	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 92.000	Short	12/2009	713		275
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	147		(139	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	1,185		(282	)
				$	(1,129	)

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
AutoZone, Inc.	CITI	(0.680	%)	12/20/2012	0.502	%	$	1,600	$	(10	)	$	0	$	(10	)
AutoZone, Inc.	GSC	(1.090	%)	09/20/2018	0.521	%		700		(31	)		0		(31	)
Bank of America Corp.	CITI	(0.170	%)	12/20/2016	2.080	%		1,600		183			0		183
Bank of America Corp.	DUB	(1.720	%)	12/20/2013	2.293	%		4,000		89			0		89
Barclays Bank PLC	RBS	(2.350	%)	12/20/2017	2.120	%		6,900		(112	)		0		(112	)
Boston Scientific Corp.	UBS	(2.060	%)	06/20/2016	1.111	%		2,700		(156	)		0		(156	)
Cameron International Corp.	DUB	(0.770	%)	09/20/2018	1.708	%		3,000		202			0		202
CenturyTel, Inc.	BOA	(0.595	%)	06/20/2017	0.915	%		2,800		61			0		61
CNA Financial Corp.	JPM	(0.440	%)	09/20/2011	3.246	%		2,000		117			0		117
Computer Sciences Corp.	BCLY	(0.760	%)	03/20/2018	0.573	%		1,000		(14	)		0		(14	)
Computer Sciences Corp.	GSC	(1.180	%)	03/20/2018	0.573	%		4,600		(210	)		0		(210	)
Cox Communications, Inc.	MSC	(0.200	%)	03/20/2011	0.449	%		1,700		7			0		7
Daimler Finance N.A. LLC	JPM	(0.520	%)	06/20/2010	1.289	%		700		5			0		5
Daimler Finance N.A. LLC	RBS	(0.620	%)	09/20/2011	1.524	%		1,100		21			0		21
Erac USA Finance Co.	GSC	(0.800	%)	12/20/2017	2.386	%		1,300		132			0		132
Exelon Corp.	MLP	(0.520	%)	06/20/2015	2.226	%		2,300		198			0		198
Goldman Sachs Group, Inc.	CITI	(1.130	%)	03/20/2018	1.423	%		5,000		101			0		101
Goldman Sachs Group, Inc.	CITI	(1.100	%)	06/20/2018	1.416	%		2,500		56			0		56
Goldman Sachs Group, Inc.	CITI	(1.370	%)	06/20/2018	1.416	%		3,800		11			0		11
Goldman Sachs Group, Inc.	JPM	(1.470	%)	06/20/2018	1.416	%		5,700		(24	)		0		(24	)
Goldman Sachs Group, Inc.	UBS	(0.310	%)	06/20/2016	1.486	%		500		35			0		35
HCP, Inc.	BCLY	(1.150	%)	03/20/2018	3.339	%		2,900		389			0		389
HCP, Inc.	JPM	(0.610	%)	09/20/2011	3.797	%		700		46			0		46
HCP, Inc.	MSC	(2.030	%)	12/20/2013	3.695	%		3,000		188			0		188
Home Depot, Inc.	BCLY	(1.150	%)	03/20/2016	0.918	%		8,000		(112	)		0		(112	)
HRPT Properties Trust	MSC	(1.960	%)	12/20/2015	5.877	%		8,250		1,434			0		1,434
International Lease Finance Corp.	BCLY	(0.170	%)	03/20/2012	9.924	%		2,400		508			0		508
International Lease Finance Corp.	JPM	(1.620	%)	06/20/2012	9.716	%		8,000		1,502			0		1,502
International Lease Finance Corp.	MSC	(1.590	%)	12/20/2013	9.030	%		8,000		1,862			0		1,862
Lennar Corp.	MLP	(5.750	%)	12/20/2012	4.047	%		700		(37	)		0		(37	)
Loews Corp.	JPM	(0.330	%)	03/20/2016	0.610	%		800		14			0		14
Marsh & McLennan Cos., Inc.	BCLY	(0.650	%)	09/20/2010	0.366	%		1,900		(7	)		0		(7	)
Masco Corp.	CITI	(1.910	%)	12/20/2016	3.379	%		11,000		891			0		891
Masco Corp.	MSC	(0.580	%)	09/20/2012	3.728	%		700		63			0		63
Maytag Corp.	JPM	(0.460	%)	06/20/2015	0.820	%		2,200		43			0		43
McKesson Corp.	BOA	(0.380	%)	03/20/2017	0.331	%		1,900		(7	)		0		(7	)
Merrill Lynch & Co., Inc.	DUB	(1.540	%)	06/20/2018	2.238	%		2,000		93			0		93
NiSource Finance Corp.	JPM	(0.620	%)	09/20/2014	2.386	%		800		63			0		63
Pearson Dollar Finance PLC	MSC	(0.540	%)	06/20/2014	0.497	%		6,800		(15	)		0		(15	)
Pearson Dollar Finance Two PLC	BCLY	(0.610	%)	06/20/2013	0.467	%		2,500		(14	)		0		(14	)
PPG Industries, Inc.	CSFB	(0.830	%)	03/20/2018	1.426	%		4,000		167			0		167
ProLogis	BOA	(1.480	%)	12/20/2015	4.818	%		4,000		629			0		629
Reynolds American, Inc.	BCLY	(1.200	%)	06/20/2013	2.411	%		4,000		172			0		172
Rio Tinto Alcan, Inc.	BOA	(0.290	%)	03/20/2011	0.303	%		2,400		0			0		0
Sara Lee Corp.	CITI	(0.330	%)	09/20/2011	0.299	%		1,600		(1	)		0		(1	)
Sealed Air Corp.	CSFB	(0.500	%)	09/20/2013	1.255	%		2,300		68			0		68
Simon Property Group LP	DUB	(0.947	%)	06/20/2018	2.178	%		4,000		333			0		333
Smith Group PLC	RBS	(0.530	%)	09/20/2010	0.653	%	GBP	5,500		12			0		12
Southwest Airlines Co.	BCLY	(0.640	%)	03/20/2017	2.098	%	$	3,300		299			0		299
Sprint Capital Corp.	MLP	(0.460	%)	03/20/2012	3.778	%		3,700		307			0		307
Tate & Lyle International Finance PLC	DUB	(0.510	%)	12/20/2014	1.529	%		1,000		50			0		50
Tyco International Finance S.A.	BOA	(1.120	%)	12/20/2019	1.119	%		7,500		(3	)		0		(3	)
UBS Warburg LLC	BCLY	(1.820	%)	12/20/2013	1.255	%	EUR	8,900		(298	)		0		(298	)
UBS Warburg LLC	BCLY	(2.250	%)	03/20/2014	1.256	%		6,000		(369	)		0		(369	)
UBS Warburg LLC	CITI	(2.200	%)	03/20/2014	1.256	%		2,000		(117	)		0		(117	)
UBS Warburg LLC	DUB	(2.200	%)	03/20/2014	1.256	%		500		(29	)		0		(29	)
Universal Health Services, Inc.	BOA	(1.250	%)	06/20/2016	0.664	%	$	1,000		(37	)		0		(37	)
Valero Energy Corp.	CITI	(1.120	%)	06/20/2017	2.469	%		2,000		166			0		166
Viacom, Inc.	BOA	(3.200	%)	06/20/2011	1.490	%		1,800		(61	)		0		(61	)
Viacom, Inc.	MSC	(0.640	%)	06/20/2011	1.490	%		700		11			0		11
Viacom, Inc.	RBS	(3.250	%)	06/20/2011	1.490	%		300		(10	)		0		(10	)
Vivendi	JPM	(1.500	%)	06/20/2018	1.284	%		6,400		(103	)		0		(103	)
Vivendi	RBS	(3.100	%)	06/20/2013	1.186	%		1,440		(104	)		0		(104	)
XL Capital Finance Europe PLC	BCLY	(0.310	%)	03/20/2012	4.249	%		500		49			0		49
									$	8,696		$	0	$	8,696

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Berkshire Hathaway Finance Corp.	GSC	0.980	%	09/20/2013	2.396	%	$	2,900	$	(154	)	$	0	$	(154	)
Berkshire Hathaway Finance Corp.	JPM	1.000	%	09/20/2013	2.396	%		3,600		(188	)		0		(188	)
Brazil Government International Bond	JPM	1.260	%	08/20/2011	1.177	%		4,200		26			0		26
Brazil Government International Bond	JPM	1.345	%	08/20/2011	1.177	%		5,800		49			0		49
General Electric Capital Corp.	BOA	5.000	%	06/20/2014	4.176	%		7,000		242			99		143
JSC Gazprom	MLP	0.610	%	05/20/2012	5.007	%		500		(57	)		0		(57	)
SLM Corp.	GSC	0.700	%	06/20/2012	8.543	%		1,400		(263	)		0		(263	)
									$	(345	)	$	99	$	(444	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate	Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-8 10-Year Index	CSFB	(0.600%)	06/20/2017	$	51,923	$	3,247	$	1,282	$	1,965
CDX.IG-8 10-Year Index	GSC	(0.600%)	06/20/2017		186,904		11,687		3,473		8,214
						$	14,934	$	4,755	$	10,179

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate	Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/ (Received)			Unrealized (Depreciation)
ABX.HE AA 06-1 Index	CSFB	0.320%	07/25/2045	$	8,500	$	(6,544	)	$	(2,724	)	$	(3,820	)
ABX.HE AAA 06-2 Index	DUB	0.110%	05/25/2046		3,991		(2,674	)		(1,502	)		(1,172	)
						$	(9,218	)	$	(4,226	)	$	(4,992	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP	EUR	10,000	$	483		$	(11	)	$	494
Pay	1-Month EUR-FRCPXTOB Index	2.103	%	10/15/2010	BCLY		15,000		841			(16	)		857
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		17,300		994			23			971
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	BCLY		5,700		110			0			110
Pay	1-Month EUR-FRCPXTOB Index	2.080	%	06/15/2012	GSC		18,700		429			0			429
Pay	3-Month AUD Bank Bill	5.000	%	12/15/2011	DUB	AUD	9,800		(43	)		24			(67	)
Pay	3-Month AUD Bank Bill	5.000	%	12/15/2011	UBS		236,000		(1,034	)		606			(1,640	)
Pay	3-Month SEK-STIBOR	4.500	%	03/18/2014	GSC	SEK	18,000		203			(19	)		222
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	RBS	$	2,900		18			0			18
Pay	6-Month EUR-LIBOR	3.000	%	09/15/2012	JPM	EUR	117,700		246			1,130			(884	)
Pay	6-Month EUR-LIBOR	3.000	%	09/15/2012	RBS		25,500		53			149			(96	)
Pay	6-Month GBP-LIBOR	3.500	%	03/17/2015	BCLY	GBP	1,200		(59	)		(62	)		3
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2010	UBS	JPY	1,220,000		58			41			17
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	BOA		7,620,000		106			(165	)		271
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	RBS		10,620,000		148			(100	)		248
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	UBS		13,220,000		185			(14	)		199
								$	2,738		$	1,586		$	1,152

(i) Purchased options outstanding on June 30, 2009:

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC EUR versus USD	$	1.180	07/20/2009	EUR	200,000	$	28	$	27

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC Fannie Mae 6.000% due 09/01/2039	$	94.625	09/08/2009	$	10,900	$	1	$	1

(j) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	1.750	%	08/21/2009	$	14,800	$	30	$	54
Put - OTC 5-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.300	%	08/03/2009		57,000		143		29
Put - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		80,500		370		167
Put - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.150	%	08/03/2009		14,100		32		11
Put - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.300	%	08/03/2009		32,100		60		16
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		43,500		112		60
									$	747	$	337

(k) Restricted securities as of June 30, 2009:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Citigroup Mortgage Loan Trust, Inc.	0.384	%	05/25/2037	03/26/2008	$	907	$	654	0.04	%
Goldman Sachs Group, Inc.	5.250	%	06/01/2016	11/03/2006		4,325		3,985	0.26	%
					$	5,232	$	4,639	0.30	%

(l) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.500	%	07/01/2039	$	175,500	$	179,911	$	181,121
Fannie Mae	6.000	%	07/01/2039		1,100		1,144		1,150
Freddie Mac	5.500	%	07/01/2039		3,000		3,097		3,096
						$	184,152	$	185,367

(m) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	BCLY	10,000	07/2009	$	6	$	0		$	6
Sell		DUB	15,066	07/2009		0		(138	)		(138	)
Sell		GSC	4,663	07/2009		0		(87	)		(87	)
Sell		MSC	2,679	07/2009		0		(24	)		(24	)
Sell		RBC	22,983	07/2009		0		(316	)		(316	)
Buy	BRL	GSC	5,211	08/2009		100		0			100
Sell		HSBC	4,383	08/2009		0		(39	)		(39	)
Buy		JPM	5,211	08/2009		99		0			99
Sell	CAD	GSC	1,943	08/2009		66		0			66
Sell		JPM	21,377	08/2009		1,037		0			1,037
Buy		MSC	1,730	08/2009		0		(81	)		(81	)
Sell		RBC	1,522	08/2009		33		0			33
Sell	CLP	BCLY	449,185	11/2009		0		(71	)		(71	)
Buy		CITI	479,200	11/2009		72		0			72
Buy	CNY	BCLY	4,341	07/2009		0		(40	)		(40	)
Sell		BCLY	39,954	07/2009		0		(125	)		(125	)
Buy		DUB	65,957	07/2009		0		(581	)		(581	)
Buy		HSBC	20,656	07/2009		0		(181	)		(181	)
Buy		JPM	27,196	07/2009		0		(239	)		(239	)
Sell		JPM	78,196	07/2009		0		(293	)		(293	)
Buy		BCLY	5,936	09/2009		10		0			10
Buy		CITI	5,900	09/2009		14		0			14
Buy		DUB	26,747	09/2009		59		0			59
Sell		DUB	55,341	09/2009		0		(269	)		(269	)
Buy		HSBC	11,926	09/2009		27		0			27
Buy		JPM	4,832	09/2009		8		0			8
Buy		BCLY	27,062	05/2010		0		(391	)		(391	)
Sell		BCLY	57,553	05/2010		0		(482	)		(482	)
Buy		MLP	30,492	05/2010		0		(424	)		(424	)
Buy	DKK	RBS	88,533	07/2009		0		(223	)		(223	)
Buy		RBS	88,533	10/2009		4		0			4
Buy	EUR	BCLY	369,326	07/2009		2,777		0			2,777
Sell		BCLY	50,429	07/2009		42		(840	)		(798	)
Buy		BOA	2,711	07/2009		0		(12	)		(12	)
Sell		BOA	4,480	07/2009		0		(1	)		(1	)
Buy		CITI	7,433	07/2009		0		(38	)		(38	)
Sell		CITI	27,322	07/2009		0		(334	)		(334	)
Sell		DUB	794	07/2009		0		(7	)		(7	)
Buy		GSC	2,692	07/2009		0		(28	)		(28	)
Sell		GSC	32,149	07/2009		0		(31	)		(31	)
Buy		JPM	2,475	07/2009		42		0			42
Buy		RBC	1,149	07/2009		30		0			30
Sell		RBC	87,267	07/2009		69		(1,228	)		(1,159	)
Buy		RBS	299	07/2009		0		0			0
Buy	GBP	BCLY	4,633	07/2009		280		0			280
Sell		BCLY	9,204	07/2009		14		(718	)		(704	)
Sell		BOA	8,300	07/2009		0		(499	)		(499	)
Buy		CITI	79,679	07/2009		7,777		0			7,777
Sell		CITI	9,300	07/2009		0		(493	)		(493	)
Buy		CSFB	2,482	07/2009		106		0			106
Buy		DUB	768	07/2009		24		0			24
Sell		GSC	1,063	07/2009		2		0			2
Buy		JPM	1,500	07/2009		2		(1	)		1
Sell		JPM	7,951	07/2009		0		(220	)		(220	)
Buy		MSC	3,796	07/2009		144		0			144
Sell		MSC	6,990	07/2009		98		0			98
Buy		RBC	1,003	07/2009		14		0			14
Buy		RBS	4,536	07/2009		161		(4	)		157
Buy		UBS	1,167	07/2009		23		0			23
Buy		RBS	56,426	08/2009		41		0			41
Buy	INR	BCLY	211	07/2009		0		0			0
Sell		BOA	512	07/2009		0		(1	)		(1	)
Buy		CITI	640	07/2009		0		0			0
Sell		CITI	510	07/2009		0		(1	)		(1	)
Sell		DUB	449	07/2009		0		(1	)		(1	)
Buy		HSBC	212	07/2009		0		0			0
Buy		JPM	213	07/2009		0		0			0
Buy		MSC	195	07/2009		0		0			0
Sell		BCLY	211	10/2009		0		0			0
Sell		CITI	643	10/2009		0		0			0
Sell		HSBC	212	10/2009		0		0			0
Sell		JPM	213	10/2009		0		0			0
Sell		MSC	195	10/2009		0		0			0
Buy	JPY	BCLY	1,560,125	07/2009		202		(29	)		173
Buy		BNP	68,254,016	07/2009		782		0			782
Sell		BNP	3,274,913	07/2009		269		(60	)		209
Buy		CITI	956,976	07/2009		0		(120	)		(120	)
Buy		CSFB	865,547	07/2009		83		(14	)		69
Sell		CSFB	26,075	07/2009		0		(5	)		(5	)
Buy		GSC	158,005	07/2009		34		0			34
Sell		GSC	87,089	07/2009		0		(11	)		(11	)
Buy		JPM	12,811	07/2009		0		(1	)		(1	)
Sell		JPM	3,573,000	07/2009		293		0			293
Sell		RBC	3,500,000	07/2009		0		(85	)		(85	)
Sell		BOA	572,270	08/2009		0		(2	)		(2	)
Buy		MSC	18,093,775	08/2009		1		0			1
Sell	KRW	BCLY	59,078	07/2009		0		(3	)		(3	)
Sell		BOA	34,391	07/2009		0		(2	)		(2	)
Sell		CITI	34,745	07/2009		0		(1	)		(1	)
Sell		DUB	10,376	07/2009		0		0			0
Buy	MXN	CITI	124	11/2009		1		0			1
Buy	MYR	BCLY	3,965	08/2009		48		0			48
Sell		BCLY	10,708	08/2009		0		(24	)		(24	)
Buy		CITI	3,065	08/2009		31		0			31
Buy		HSBC	3,538	08/2009		41		0			41
Buy	PHP	BCLY	52,949	08/2009		0		(1	)		(1	)
Buy		CITI	33,717	08/2009		3		0			3
Sell		CITI	115,075	08/2009		10		(2	)		8
Buy		DUB	22,460	08/2009		0		0			0
Buy	SEK	RBS	93,313	07/2009		0		(577	)		(577	)
Buy		RBS	93,313	10/2009		11		0			11
Buy	SGD	HSBC	1,360	07/2009		0		(2	)		(2	)
Sell		HSBC	1,477	07/2009		0		(49	)		(49	)
Sell	TWD	BCLY	778	08/2009		0		(1	)		(1	)
Sell		CITI	276	08/2009		0		0			0
Sell		DUB	359	08/2009		0		0			0
Sell		JPM	729	08/2009		0		(1	)		(1	)
Buy	ZAR	BCLY	74	11/2009		2		0			2
					$	14,992	$	(9,451	)	$	5,541

(n) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Canada	$	0		$	62,681		$	21,427	$	84,108
France		0			99,104			0		99,104
Germany		0			201,069			0		201,069
Japan		0			151,166			0		151,166
Netherlands		0			92,533			0		92,533
United Kingdom		0			88,825			5,387		94,212
United States		0			956,153			3,191		959,344
Short-Term Instruments		62,539			19,494			0		82,033
Other Investments++		0			204,335			10,187		214,522
Investments, at value	$	62,539		$	1,875,360		$	40,192	$	1,978,091
Short Sales, at value	$	0		$	(185,367	)	$	0	$	(185,367	)
Financial Derivative Instruments+++	$	(1,129	)	$	18,015		$	1,780	$	18,666
Total	$	61,410		$	1,708,008		$	41,972	$	1,811,390

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)			Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Canada	$	18,516	$	0		$	0	$	0		$	2,911		$	0		$	21,427
United Kingdom		0		5,053			0		0			334			0			5,387
United States		3,538		(401	)		1		18			35			0			3,191
Other Investments++		12,256		(1,038	)		67		(129	)		1,146			(2,115	)		10,187
Investments, at value	$	34,310	$	3,614		$	68	$	(111	)	$	4,426		$	(2,115	)	$	40,192
Financial Derivative Instruments+++	$	2,878	$	0		$	0	$	0		$	(18	)	$	(1,080	)	$	1,780
Total	$	37,188	$	3,614		$	68	$	(111	)	$	4,408		$	(3,195	)	$	41,972

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

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

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
AUSTRALIA 3.8%
Australia & New Zealand Banking Group Ltd.
5.250% due 01/16/2014	AUD	5,000	$	3,939
Citigroup Pty Ltd.
5.500% due 06/18/2012		32,500		26,151
Commonwealth Bank of Australia
2.400% due 01/12/2012	$	4,000		4,019
4.500% due 02/20/2014	AUD	18,900		14,400
Medallion Trust
0.791% due 05/25/2035	$	2,339		2,107
National Australia Bank Ltd.
0.800% due 06/19/2017		500		420
0.831% due 06/29/2016		5,600		4,919
4.875% due 01/21/2013	EUR	1,600		2,345
New South Wales Treasury Corp.
6.000% due 05/01/2012	AUD	3,350		2,769
Puma Finance Ltd.
0.822% due 02/21/2038	$	3,751		3,352
3.290% due 08/22/2037	AUD	4,104		3,075
3.555% due 07/12/2036		1,847		1,410
Seven Media Group
5.365% due 12/28/2012		6,286		2,849
5.730% due 12/28/2012		1,505		682
Superannuation Members Home Loans Global Fund
0.769% due 03/09/2036	$	5,948		5,184
Swan Trust
1.018% due 05/12/2037		303		264
Torrens Trust
3.527% due 10/19/2038	AUD	10,251		7,357
Westpac Banking Corp.
3.380% due 05/25/2017		1,000		746
4.750% due 03/05/2014		2,000		1,539
Total Australia (Cost $92,225)				87,527
BERMUDA 0.5%
Merna Reinsurance Ltd.
1.248% due 07/07/2010	$	10,700		9,957
Total Bermuda (Cost $10,029)				9,957
CANADA 3.1%
Agrium, Inc.
6.750% due 01/15/2019		5,000		4,949
Broadway Credit Card Trust
5.234% due 06/17/2011	CAD	18,300		15,640
Canadian Imperial Bank of Commerce
5.250% due 09/16/2010	EUR	9,000		12,979
Ford Auto Securitization Trust
4.817% due 10/15/2012	CAD	1,700		1,460
Glacier Credit Card Trust
5.027% due 02/20/2013		6,400		5,507
Honda Canada Finance, Inc.
0.620% due 03/26/2012		3,000		2,381
Master Credit Card Trust
5.297% due 08/21/2012		2,700		2,473
Province of Ontario Canada
5.600% due 06/02/2035		8,400		7,953
Province of Quebec Canada
5.000% due 12/01/2038		12,100		10,554
5.750% due 12/01/2036		8,700		8,362
Total Canada (Cost $72,669)				72,258
CAYMAN ISLANDS 1.5%
Foundation Re II Ltd.
7.576% due 11/26/2010	$	1,650		1,545
Green Valley Ltd.
5.045% due 01/10/2011	EUR	2,400		3,258
Longpoint Re Ltd.
5.874% due 05/08/2010	$	2,900		2,819
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		10,700		9,379
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	3,300		3,282
Residential Reinsurance 2007 Ltd.
6.668% due 06/07/2010	$	400		379
8.418% due 06/07/2010		6,300		6,010
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		4,400		3,539
6.164% due 01/29/2049	GBP	1,412		1,578
Vita Capital III Ltd.
2.308% due 01/01/2011	$	4,000		3,656
Total Cayman Islands (Cost $38,543)				35,445
DENMARK 0.1%
Nykredit Realkredit A/S
6.000% due 10/01/2029	DKK	1,249		244
Realkredit Danmark A/S
4.100% due 10/01/2038		14,926		2,678
Total Denmark (Cost $2,698)				2,922
FRANCE 8.8%
AUTO Asset-Backed Securities
1.354% due 02/25/2019	EUR	300		387
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049		6,700		5,122
CM-CIC Covered Bonds
5.250% due 06/09/2010		5,200		7,501
Credit Agricole S.A.
6.637% due 05/29/2049	$	6,400		3,765
Dexia Credit Local
1.262% due 09/23/2011		12,400		12,368
France Government Bond
3.750% due 04/25/2021	EUR	20,100		27,624
4.000% due 04/25/2014		11,400		16,932
4.000% due 10/25/2014		39,000		57,782
4.250% due 04/25/2019		6,000		8,768
4.750% due 10/25/2012		3,700		5,618
5.750% due 10/25/2032		11,100		18,641
France Treasury Notes
2.500% due 01/12/2014		5,900		8,237
3.750% due 01/12/2013		2,700		3,980
Societe Financement de l’Economie Francaise
2.125% due 05/20/2012		1,700		2,383
3.375% due 05/05/2014	$	13,000		13,051
Societe Generale
4.196% due 01/29/2049	EUR	250		186
5.922% due 04/29/2049	$	700		435
7.756% due 05/22/2049	EUR	4,550		4,468
Vivendi
5.750% due 04/04/2013	$	7,000		7,052
Total France (Cost $208,747)				204,300
GERMANY 10.9%
Driver One GmbH
0.916% due 10/21/2015	EUR	100		133
Kreditanstalt fuer Wiederaufbau
3.875% due 01/21/2019		8,500		11,852
Republic of Germany
3.750% due 01/04/2015		4,500		6,647
4.250% due 07/04/2014		8,400		12,711
4.750% due 07/04/2034		6,600		9,867
5.500% due 01/04/2031		33,550		54,608
5.625% due 01/04/2028		23,070		37,751
6.250% due 01/04/2030		20,712		36,395
6.500% due 07/04/2027		46,660		83,726
Total Germany (Cost $242,012)				253,690
IRELAND 0.7%
Atlas Reinsurance PLC
5.520% due 01/10/2010	EUR	2,000		2,792
Cars Alliance Funding PLC
1.586% due 10/08/2023		300		377
Celtic Residential Irish Mortgage Securitisation
1.193% due 06/13/2035		738		793
DECO Series
1.576% due 10/27/2019		46		47
Depfa ACS Bank
1.650% due 12/20/2016	JPY	360,000		2,471
German Residential Asset Note Distributor PLC
1.650% due 07/20/2016	EUR	1,494		1,506
Immeo Residential Finance PLC
1.437% due 12/15/2016		4,259		3,880
Osiris Capital PLC
6.131% due 01/15/2010	$	1,000		986
SC Germany Auto
1.032% due 08/11/2015	EUR	2,244		3,049
1.083% due 07/10/2019		500		642
Total Ireland (Cost $18,672)				16,543
ITALY 0.3%
IntesaBci Sec 2 SRL
1.546% due 08/28/2023	EUR	3,059		4,158
Locat Securitisation Vehicle SRL
1.443% due 12/12/2028		90		112
Siena Mortgages SpA
1.498% due 12/16/2038		622		841
Vela Home SRL
1.685% due 10/24/2027		1,285		1,768
Total Italy (Cost $7,085)				6,879
JAPAN 15.9%
Development Bank of Japan
4.250% due 06/09/2015	$	7,300		7,497
Japan Government CPI Linked Bond
0.800% due 12/10/2015	JPY	1,088,640		9,963
1.000% due 06/10/2016		3,494,600		31,860
1.200% due 03/10/2017		50,300		461
1.200% due 06/10/2017		10,120,110		91,996
1.200% due 12/10/2017		1,476,884		13,360
Japan Government International Bond
1.500% due 12/20/2017		8,910,000		95,077
1.500% due 09/20/2018		2,150,000		22,780
1.800% due 06/20/2017		2,850,000		31,163
2.300% due 06/20/2035		1,860,000		19,739
2.400% due 03/20/2034		950,000		10,271
2.500% due 09/20/2035		1,730,000		19,108
2.500% due 09/20/2036		900,000		9,927
Resona Bank Ltd.
5.850% due 09/29/2049	$	9,600		7,258
Total Japan (Cost $353,710)				370,460
JERSEY, CHANNEL ISLANDS 0.3%
Arran Master Trust
0.679% due 12/15/2012	$	400		371
HBOS Capital Funding LP
9.540% due 03/29/2049	GBP	200		153
HBOS Euro Finance LP
7.627% due 12/29/2049	EUR	2,000		1,178
WPP PLC
6.000% due 04/04/2017	GBP	4,075		5,812
Total Jersey, Channel Islands (Cost $6,170)				7,514
LIBERIA 0.1%
Royal Caribbean Cruises Ltd.
8.000% due 05/15/2010	$	1,700		1,708
Total Liberia (Cost $1,727)				1,708
LUXEMBOURG 1.1%
Covidien International Finance S.A.
6.000% due 10/15/2017	$	4,100		4,366
European Investment Bank
4.125% due 12/07/2017	GBP	4,300		7,128
Silver Arrow S.A.
0.915% due 08/15/2014	EUR	106		148
Tyco Electronics Group S.A.
5.950% due 01/15/2014	$	2,000		1,870
6.550% due 10/01/2017		13,000		11,820
Total Luxembourg (Cost $26,421)				25,332
MEXICO 0.0%
C10 Capital SPV Ltd.
6.722% due 12/31/2049	$	540		277
Total Mexico (Cost $540)				277
NETHERLANDS 4.0%
Atomium Mortgage Finance BV
1.151% due 07/01/2034	EUR	304		412
Delphinus BV
1.680% due 09/25/2096		400		526
Dutch Mortgage-Backed Securities BV
1.612% due 11/02/2035		32		44
1.630% due 07/02/2037		215		276
1.790% due 10/02/2079		2,316		3,153
Dutch Mortgage Portfolio Loans BV
1.494% due 11/20/2035		786		1,004
Fortis Bank Nederland Holding NV
3.375% due 05/19/2014		19,000		26,786
Holland Euro-Denominated Mortgage-Backed Series
1.680% due 04/18/2012		30		42
ING Bank NV
3.900% due 03/19/2014	$	9,500		9,686
LeasePlan Corp. NV
3.125% due 02/10/2012	EUR	50		71
3.250% due 05/22/2014		5,300		7,443
Netherlands Government Bond
3.250% due 07/15/2015		4,400		6,225
3.750% due 07/15/2014		23,500		34,362
Rabobank Nederland NV
11.000% due 12/29/2049	$	2,925		3,262
Saecure BV
1.394% due 05/25/2036	EUR	169		227
Total Netherlands (Cost $90,500)				93,519
NEW ZEALAND 0.0%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	1,000		934
Total New Zealand (Cost $615)				934
NORWAY 0.2%
DnB NOR Boligkreditt
4.500% due 05/16/2011	EUR	3,100		4,492
Total Norway (Cost $4,771)				4,492
RUSSIA 0.1%
Gaz Capital S.A.
5.875% due 06/01/2015	EUR	700		838
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013	$	889		865
Total Russia (Cost $1,710)				1,703
SOUTH KOREA 0.3%
Export-Import Bank of Korea
5.750% due 05/22/2013	EUR	4,200		5,879
Total South Korea (Cost $6,469)				5,879
SPAIN 1.3%
Bankinter S.A.
5.000% due 05/14/2010	EUR	17,000		24,328
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	8,500		6,299
Total Spain (Cost $34,285)				30,627
SWITZERLAND 0.5%
UBS AG
5.750% due 04/25/2018	$	5,000		4,561
5.875% due 12/20/2017		6,000		5,597
7.152% due 12/29/2049	EUR	550		484
Total Switzerland (Cost $11,209)				10,642
UNITED KINGDOM 4.4%
Bank of Scotland PLC
5.625% due 05/23/2013	EUR	6,200		8,715
Barclays Bank PLC
6.050% due 12/04/2017	$	15,650		13,593
7.434% due 09/29/2049		3,300		2,214
10.179% due 06/12/2021		4,400		4,703
Bauhaus Securities Ltd.
1.704% due 10/30/2052	EUR	959		1,307
GKN Holdings PLC
7.000% due 05/14/2012	GBP	5,700		9,072
Hanson Ltd.
6.125% due 08/15/2016	$	2,000		1,497
HBOS PLC
6.750% due 05/21/2018		7,100		5,367
HSBC Holdings PLC
6.500% due 05/02/2036		1,000		978
Lloyds Banking Group PLC
5.920% due 09/29/2049		17,900		6,353
6.657% due 05/19/2049		1,000		360
Lloyds TSB Bank PLC
6.350% due 10/29/2049	EUR	500		368
National Grid PLC
4.980% due 06/22/2011 (i)	CAD	4,900		4,271
Pearson Dollar Finance Two PLC
5.500% due 05/06/2013	$	2,500		2,468
Permanent Financing PLC
1.411% due 09/10/2032	EUR	100		132
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		4,400		2,130
Tate & Lyle International Finance PLC
5.000% due 11/15/2014	$	1,500		1,348
TI Group Ltd.
7.875% due 07/12/2010	GBP	7,000		11,873
United Kingdom Gilt
4.250% due 06/07/2032		2,400		3,901
4.250% due 03/07/2036		2,100		3,369
4.750% due 12/07/2038		10,600		18,458
Total United Kingdom (Cost $117,093)				102,477
UNITED STATES 62.1%
ASSET-BACKED SECURITIES 2.8%
ABSC Manufactured Housing Contract
5.019% due 04/16/2030	$	2,903		2,359
Accredited Mortgage Loan Trust
0.364% due 02/25/2037		325		299
ACE Securities Corp.
0.364% due 07/25/2036		3		3
Amortizing Residential Collateral Trust
0.604% due 07/25/2032		44		24
Amresco Residential Securities Mortgage Loan Trust
1.254% due 06/25/2029		221		129
Asset-Backed Funding Certificates
0.374% due 10/25/2036		49		48
0.374% due 01/25/2037		1,559		1,288
Asset-Backed Securities Corp. Home Equity
0.364% due 12/25/2036		98		90
Bear Stearns Asset-Backed Securities Trust
0.384% due 12/25/2036		73		62
0.394% due 10/25/2036		62		55
0.714% due 10/27/2032		130		89
0.764% due 03/25/2043		10		9
0.974% due 10/25/2032		76		47
1.314% due 10/25/2037		160		86
BNC Mortgage Loan Trust
0.414% due 05/25/2037		112		85
Carrington Mortgage Loan Trust
0.364% due 01/25/2037		1,614		1,344
0.634% due 10/25/2035		212		165
Citicorp Residential Mortgage Securities, Inc.
0.404% due 03/25/2037		198		197
Citigroup Mortgage Loan Trust, Inc.
0.374% due 01/25/2037		6		5
0.414% due 10/25/2036		282		264
Conseco Finance Securitizations Corp.
6.030% due 03/01/2033		429		358
6.681% due 12/01/2033		349		298
Countrywide Asset-Backed Certificates
0.364% due 07/25/2037		299		276
0.364% due 12/25/2046		13		13
0.364% due 06/25/2047		2,042		1,895
0.384% due 06/25/2047		515		478
0.394% due 06/25/2037		66		61
0.394% due 10/25/2047		421		370
0.414% due 09/25/2047		5,696		4,993
0.424% due 10/25/2046		230		217
0.494% due 09/25/2036		658		466
0.654% due 12/25/2036		1,294		753
Credit-Based Asset Servicing & Securitization LLC
0.374% due 11/25/2036		64		53
CS First Boston Mortgage Securities Corp.
0.564% due 01/25/2043		16		16
0.934% due 01/25/2032		72		47
First Alliance Mortgage Loan Trust
0.545% due 12/20/2027		15		9
First Franklin Mortgage Loan Asset-Backed Certificates
0.364% due 11/25/2036		255		240
0.384% due 12/25/2037		32		30
Fremont Home Loan Trust
0.364% due 10/25/2036		36		22
0.374% due 01/25/2037		72		47
0.424% due 02/25/2036		103		95
Home Equity Asset Trust
0.914% due 11/25/2032		2		1
Indymac Residential Asset-Backed Trust
0.374% due 04/25/2037		941		894
JPMorgan Mortgage Acquisition Corp.
0.364% due 10/25/2036		66		51
0.404% due 10/25/2036		1,141		990
0.424% due 08/25/2036		200		72
Long Beach Mortgage Loan Trust
0.594% due 10/25/2034		12		8
MASTR Asset-Backed Securities Trust
0.354% due 08/25/2036		72		69
0.374% due 11/25/2036		92		86
Merrill Lynch Mortgage Investors, Inc.
0.364% due 05/25/2037		14		14
0.384% due 08/25/2036		246		244
0.394% due 09/25/2037		93		80
0.434% due 02/25/2037		209		110
Mesa Trust Asset-Backed Certificates
0.714% due 12/25/2031		337		277
Morgan Stanley ABS Capital I
0.374% due 05/25/2037		137		110
Nationstar Home Equity Loan Trust
0.374% due 06/25/2037		366		328
0.434% due 04/25/2037		38		34
Nelnet Student Loan Trust
1.622% due 04/27/2015		73		73
Popular ABS Mortgage Pass-Through Trust
0.404% due 06/25/2047		373		293
Renaissance Home Equity Loan Trust
0.814% due 12/25/2033		168		80
Residential Asset Mortgage Products, Inc.
0.384% due 02/25/2037		498		427
0.394% due 10/25/2036		65		65
0.874% due 06/25/2032		10		5
Residential Asset Securities Corp.
0.384% due 02/25/2037		315		290
0.814% due 07/25/2032		248		95
Securitized Asset-Backed Receivables LLC Trust
0.444% due 05/25/2037		99		62
SLC Student Loan Trust
0.863% due 02/15/2015		90		90
1.079% due 06/15/2017		100		97
SLM Student Loan Trust
0.829% due 12/17/2018		22		21
1.072% due 04/25/2014		85		85
1.082% due 10/27/2014		1,711		1,702
1.092% due 10/25/2013		74		74
1.092% due 07/25/2017		200		194
1.592% due 10/25/2017		9,100		8,888
1.772% due 07/25/2013		594		594
1.892% due 10/25/2013		78		78
2.592% due 04/25/2023		28,190		28,787
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		122		66
0.394% due 01/25/2037		65		63
South Carolina Student Loan Corp.
1.168% due 09/02/2014		248		245
Structured Asset Securities Corp.
0.604% due 01/25/2033		17		12
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		6		6
0.544% due 10/25/2035		1,723		1,628
				64,773
BANK LOAN OBLIGATIONS 0.5%
Daimler Finance North America LLC
4.320% due 08/03/2012		8,191		7,628
Ford Motor Co.
3.320% due 12/16/2013		1,426		1,037
4.140% due 12/16/2013		717		521
NRG Energy, Inc.
2.970% due 02/01/2013		864		815
Texas Competitive Electric Holdings Co. LLC
3.810% due 10/10/2014		30		22
3.821% due 10/10/2014		2,932		2,102
				12,125
CORPORATE BONDS & NOTES 20.6%
Altria Group, Inc.
9.700% due 11/10/2018		11,500		13,205
American Express Co.
7.000% due 03/19/2018		13,900		13,519
American Express Credit Corp.
0.431% due 02/24/2012		200		181
0.496% due 12/02/2010		600		574
American International Group, Inc.
1.217% due 10/18/2011		5,000		3,229
4.875% due 03/15/2067	EUR	5,500		1,582
4.950% due 03/20/2012	$	10,000		6,805
5.600% due 10/18/2016		1,300		704
5.750% due 03/15/2067	GBP	8,200		2,766
5.850% due 01/16/2018	$	17,000		9,006
8.000% due 05/22/2038	EUR	17,100		5,397
8.175% due 05/15/2058	$	17,500		4,996
8.250% due 08/15/2018		5,400		3,182
Anadarko Petroleum Corp.
6.125% due 03/15/2012		3,900		3,978
AutoZone, Inc.
5.875% due 10/15/2012		2,000		2,079
6.500% due 01/15/2014		1,000		1,038
Avnet, Inc.
6.625% due 09/15/2016		1,700		1,596
Avon Products, Inc.
6.500% due 03/01/2019		1,500		1,647
Bank of America Corp.
4.750% due 05/23/2017	EUR	12,700		12,704
4.750% due 05/06/2019		100		97
Bear Stearns Cos. LLC
7.250% due 02/01/2018	$	7,000		7,390
Black & Decker Corp.
5.750% due 11/15/2016		3,000		2,827
Boston Scientific Corp.
6.000% due 06/15/2011		400		401
6.400% due 06/15/2016		4,300		4,020
Brunswick Corp.
11.750% due 08/15/2013		3,000		2,235
Burlington Northern Santa Fe Corp.
5.650% due 05/01/2017		2,669		2,728
Cardinal Health, Inc.
6.000% due 06/15/2017		10,000		9,408
CIT Group, Inc.
0.974% due 08/17/2009		7,800		7,581
Citigroup Capital XXI
8.300% due 12/21/2077		18,600		14,527
Citigroup Funding, Inc.
2.036% due 05/07/2010		8,900		8,718
Citigroup, Inc.
1.305% due 06/28/2013	EUR	4,100		4,810
1.400% due 03/05/2014		700		797
1.614% due 01/16/2012	GBP	5,800		8,410
4.750% due 02/10/2019	EUR	2,350		2,244
6.000% due 08/15/2017	$	7,000		6,112
8.400% due 04/29/2049 (a)		3,500		2,630
CNA Financial Corp.
5.850% due 12/15/2014		3,000		2,413
6.000% due 08/15/2011		3,600		3,428
Comcast Corp.
1.439% due 07/14/2009		500		500
Computer Sciences Corp.
6.500% due 03/15/2018		6,000		6,141
CSX Corp.
6.750% due 03/15/2011		2,000		2,100
Daimler Finance North America LLC
4.875% due 06/15/2010		1,000		1,001
5.750% due 09/08/2011		1,900		1,940
6.500% due 11/15/2013		400		407
Dominion Resources, Inc.
5.600% due 11/15/2016		2,000		2,048
FirstEnergy Corp.
6.450% due 11/15/2011		6,500		6,789
Fortune Brands, Inc.
5.375% due 01/15/2016		7,400		6,799
GATX Financial Corp.
5.125% due 04/15/2010		500		500
General Electric Capital Corp.
1.396% due 05/05/2026		13,700		9,069
1.616% due 05/22/2013		7,100		6,382
4.625% due 09/15/2066	EUR	700		572
6.375% due 11/15/2067	$	9,200		6,147
GMAC LLC
4.750% due 09/14/2009	EUR	2,300		3,178
Goldman Sachs Group, Inc.
1.059% due 03/22/2016	$	2,900		2,460
1.734% due 01/30/2017	EUR	6,050		6,982
5.375% due 02/15/2013		2,000		2,836
HCP, Inc.
5.650% due 12/15/2013	$	6,000		5,470
5.950% due 09/15/2011		1,400		1,371
Humana, Inc.
6.300% due 08/01/2018		6,300		5,262
International Business Machines Corp.
1.652% due 07/28/2011		300		302
International Lease Finance Corp.
5.350% due 03/01/2012		2,900		2,265
5.400% due 02/15/2012		2,700		2,108
6.625% due 11/15/2013		7,000		5,395
International Paper Co.
7.950% due 06/15/2018		3,000		2,899
JPMorgan Chase & Co.
6.000% due 01/15/2018		8,700		8,657
6.300% due 04/23/2019		1,300		1,310
JPMorgan Chase & Co. CPI Linked Bond
3.574% due 02/15/2012		4,670		4,051
JPMorgan Chase Bank N.A.
0.959% due 06/13/2016		1,350		1,102
4.375% due 11/30/2021	EUR	2,500		3,055
6.000% due 10/01/2017	$	4,000		3,900
JPMorgan Chase Capital XX
6.550% due 09/15/2066		4,800		3,822
JPMorgan Chase Capital XXII
6.450% due 01/15/2087		5,100		4,086
Lehman Brothers Holdings, Inc.
2.950% due 05/25/2010 (a)		8,400		1,281
5.625% due 01/24/2013 (a)		6,800		1,062
6.875% due 05/02/2018 (a)		7,000		1,155
Lennar Corp.
5.950% due 10/17/2011		3,100		2,898
Lloyds Banking Group PLC
6.413% due 09/29/2049		1,800		649
Loews Corp.
5.250% due 03/15/2016		1,200		1,208
Ltd. Brands, Inc.
6.900% due 07/15/2017		5,000		4,333
Macy’s Retail Holdings, Inc.
5.875% due 01/15/2013		4,000		3,508
Marriott International, Inc.
5.810% due 11/10/2015		1,300		1,140
6.375% due 06/15/2017		4,300		4,092
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		2,200		2,205
Masco Corp.
5.875% due 07/15/2012		1,000		941
Merrill Lynch & Co., Inc.
1.559% due 08/25/2014	EUR	300		351
1.570% due 05/30/2014		7,000		7,952
1.855% due 07/22/2014		10,000		10,905
Morgan Stanley
1.357% due 01/18/2011	$	400		388
1.570% due 11/29/2013	EUR	5,050		6,148
1.611% due 10/15/2015	$	5,300		4,549
1.843% due 01/16/2017	EUR	1,550		1,732
1.845% due 04/13/2016		2,000		2,288
Nabors Industries, Inc.
6.150% due 02/15/2018	$	2,000		1,923
Newell Rubbermaid, Inc.
5.500% due 04/15/2013		5,000		4,820
NGPL PipeCo. LLC
7.768% due 12/15/2037		6,600		7,225
NiSource Finance Corp.
5.400% due 07/15/2014		1,200		1,137
6.400% due 03/15/2018		4,000		3,676
Omnicom Group, Inc.
5.900% due 04/15/2016		1,000		1,003
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		1,200		1,161
RR Donnelley & Sons Co.
5.625% due 01/15/2012		6,000		5,800
Ryder System, Inc.
6.000% due 03/01/2013		5,000		4,984
Sealed Air Corp.
5.625% due 07/15/2013		12,900		11,680
Sempra Energy
6.150% due 06/15/2018		8,000		8,055
Sheraton Holding Corp.
7.375% due 11/15/2015		5,000		4,606
Simon Property Group LP
5.250% due 12/01/2016		7,000		6,227
5.625% due 08/15/2014		3,000		2,869
SLM Corp.
8.450% due 06/15/2018		7,000		5,996
Southwest Airlines Co.
5.125% due 03/01/2017		1,100		947
6.500% due 03/01/2012		500		519
Spectra Energy Capital LLC
6.200% due 04/15/2018		5,000		4,918
Sprint Capital Corp.
8.750% due 03/15/2032		800		648
Tyco International Ltd.
7.000% due 12/15/2019		7,000		6,899
U.S. Bank N.A.
4.375% due 02/28/2017	EUR	2,000		2,348
Union Pacific Corp.
7.000% due 02/01/2016	$	1,000		1,033
Verizon Wireless Capital LLC
3.316% due 05/20/2011		13,000		13,387
Viacom, Inc.
5.750% due 04/30/2011		6,100		6,248
6.250% due 04/30/2016		6,500		6,412
Wells Fargo Capital XIII
7.700% due 12/29/2049		7,200		5,981
				479,157
MORTGAGE-BACKED SECURITIES 10.3%
Adjustable Rate Mortgage Trust
5.152% due 09/25/2035		647		421
American Home Mortgage Assets
0.504% due 05/25/2046		842		311
0.524% due 10/25/2046		3,030		988
0.544% due 09/25/2046		704		154
2.040% due 02/25/2047		8,711		2,866
2.260% due 11/25/2046		13,179		6,045
Banc of America Commercial Mortgage, Inc.
5.414% due 09/10/2047		1,400		1,120
Banc of America Funding Corp.
5.745% due 03/20/2036		1,170		684
5.967% due 10/20/2046		326		168
6.102% due 01/20/2047		835		445
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		3,401		3,338
BCAP LLC Trust
0.484% due 01/25/2037		19,069		7,286
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		2,825		2,428
2.500% due 08/25/2035		4,874		4,268
2.900% due 03/25/2035		6,994		6,052
4.248% due 05/25/2034		1,142		897
4.550% due 08/25/2035		3,949		3,488
4.630% due 05/25/2034		779		544
4.654% due 10/25/2033		779		686
4.808% due 11/25/2034		36		30
5.172% due 02/25/2034		107		69
Bear Stearns Alt-A Trust
4.787% due 08/25/2036		601		266
5.303% due 08/25/2036		1,600		608
5.490% due 09/25/2035		4,553		2,474
5.521% due 11/25/2035		302		163
5.694% due 11/25/2036		6,440		3,265
5.731% due 02/25/2036		8,806		3,900
5.738% due 01/25/2036		168		84
5.841% due 11/25/2036		1,489		725
6.250% due 08/25/2036		4,626		2,181
Bear Stearns Commercial Mortgage Securities
5.540% due 09/11/2041		200		166
5.700% due 06/11/2050		4,100		3,268
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		72		56
Citigroup Commercial Mortgage Trust
5.888% due 12/10/2049		3,600		2,555
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		14,700		10,888
Citigroup Mortgage Loan Trust, Inc.
2.850% due 12/25/2035		541		442
4.248% due 08/25/2035		3,059		2,436
4.748% due 08/25/2035		3,143		2,502
4.900% due 10/25/2035		9,988		7,591
5.934% due 03/25/2037		2,556		1,203
5.994% due 09/25/2037		4,227		2,292
Commercial Mortgage Pass-Through Certificates
0.818% due 02/16/2034		1,859		1,655
Countrywide Alternative Loan Trust
0.484% due 01/25/2037		1,600		623
0.495% due 02/20/2047		890		347
0.504% due 09/25/2046		2,695		1,031
0.510% due 12/20/2046		9,444		3,792
0.514% due 05/25/2036		190		75
0.524% due 07/25/2046		171		67
0.525% due 03/20/2046		220		91
0.525% due 07/20/2046		2,203		851
0.544% due 08/25/2046		603		120
0.594% due 02/25/2037		204		93
0.664% due 05/25/2037		1,502		597
2.840% due 11/25/2035		1,039		458
3.380% due 11/25/2035		884		387
5.250% due 06/25/2035		847		677
5.886% due 02/25/2037		748		441
6.000% due 10/25/2032		34		29
6.000% due 01/25/2037		3,404		1,860
6.000% due 04/25/2037		1,796		974
6.250% due 08/25/2037		1,170		630
Countrywide Home Loan Mortgage Pass-Through Trust
0.604% due 04/25/2035		53		24
0.634% due 03/25/2035		1,751		734
0.644% due 02/25/2035		39		20
4.122% due 11/19/2033		140		125
4.543% due 08/25/2034		327		201
4.786% due 11/25/2034		1,173		891
5.330% due 02/20/2036		3,066		1,773
5.373% due 02/25/2047		1,286		659
5.575% due 03/25/2037		1,227		575
CS First Boston Mortgage Securities Corp.
0.964% due 03/25/2034		1,080		506
3.044% due 05/25/2032		39		36
3.844% due 07/25/2033		101		89
4.214% due 08/25/2033		528		462
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.394% due 02/25/2037		47		43
Downey Savings & Loan Association Mortgage Loan Trust
0.633% due 07/19/2045		491		121
First Horizon Asset Securities, Inc.
3.170% due 07/25/2033		163		145
4.742% due 12/25/2033		605		499
5.365% due 08/25/2035		547		416
First Republic Mortgage Loan Trust
0.669% due 11/15/2031		165		132
GE Capital Commercial Mortgage Corp.
5.513% due 11/10/2045		3,300		2,786
GMAC Mortgage Corp. Loan Trust
4.765% due 06/25/2034		119		65
5.500% due 09/25/2034		1,725		1,730
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		93		77
0.394% due 01/25/2047		759		577
0.494% due 01/25/2037		1,598		647
0.524% due 04/25/2036		1,291		472
0.584% due 11/25/2045		308		147
Greenpoint Mortgage Pass-Through Certificates
4.826% due 10/25/2033		109		83
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		274		235
GSR Mortgage Loan Trust
4.469% due 09/25/2035		2,629		2,214
4.535% due 03/25/2033		799		729
Harborview Mortgage Loan Trust
0.493% due 07/19/2046		3,068		1,274
0.503% due 09/19/2037		1,074		441
0.503% due 01/19/2038		2,789		1,192
0.533% due 05/19/2035		2,219		995
0.553% due 03/19/2036		413		175
4.353% due 05/19/2033		1,130		963
5.143% due 07/19/2035		245		142
Homebanc Mortgage Trust
5.797% due 04/25/2037		1,165		811
5.866% due 04/25/2037		1,600		761
Impac CMB Trust
1.314% due 07/25/2033		136		100
Indymac INDA Mortgage Loan Trust
5.862% due 08/25/2036		1,600		889
Indymac INDB Mortgage Loan Trust
0.614% due 11/25/2035		649		247
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		133		124
0.504% due 04/25/2037		443		79
0.504% due 09/25/2046		8,422		3,290
0.554% due 06/25/2037		459		188
0.564% due 02/25/2037		1,100		136
0.614% due 06/25/2037		1,194		373
4.976% due 12/25/2034		330		250
JPMorgan Alternative Loan Trust
5.500% due 11/25/2036		1,846		1,500
5.550% due 10/25/2036		2,200		1,914
JPMorgan Chase Commercial Mortgage Securities Corp.
5.429% due 12/12/2043		4,300		3,488
JPMorgan Commercial Mortgage Finance Corp.
7.770% due 10/15/2032		675		677
JPMorgan Mortgage Trust
4.381% due 11/25/2033		841		732
4.500% due 09/25/2034		65		64
5.012% due 02/25/2035		8,815		7,715
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		166		167
MASTR Adjustable Rate Mortgages Trust
0.524% due 04/25/2046		4,992		2,048
0.614% due 05/25/2047		1,700		183
3.469% due 11/21/2034		100		82
MASTR Alternative Loans Trust
0.714% due 03/25/2036		839		302
MASTR Asset Securitization Trust
5.500% due 11/25/2017		518		518
Mellon Residential Funding Corp.
0.799% due 06/15/2030		172		143
2.615% due 10/20/2029		100		94
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		2,700		1,804
5.414% due 07/12/2046		7,800		5,895
6.156% due 08/12/2049		7,300		5,063
Merrill Lynch Mortgage Investors, Inc.
0.564% due 08/25/2036		547		251
4.668% due 02/25/2033		313		267
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		126		87
4.250% due 10/25/2035		6,282		5,072
Morgan Stanley Capital I
5.558% due 03/12/2044		1,300		1,057
5.692% due 04/15/2049		1,100		805
Residential Accredit Loans, Inc.
0.464% due 02/25/2047		4,095		1,573
0.494% due 06/25/2046		7,409		2,856
0.514% due 12/25/2046		1,400		169
0.524% due 04/25/2046		118		45
0.584% due 05/25/2046		1,200		132
0.619% due 09/25/2046		2,000		232
Residential Asset Securitization Trust
0.764% due 12/25/2036		812		364
5.750% due 02/25/2036		834		533
6.250% due 10/25/2036		1,000		507
6.500% due 08/25/2036		1,300		622
Residential Funding Mortgage Securities I
5.202% due 09/25/2035		658		472
6.500% due 03/25/2032		176		177
Sovereign Commercial Mortgage Securities Trust
5.835% due 07/22/2030		2,300		2,028
Structured Adjustable Rate Mortgage Loan Trust
4.026% due 04/25/2034		769		643
4.802% due 02/25/2034		547		419
5.199% due 09/25/2034		401		345
5.246% due 05/25/2036		1,600		662
5.411% due 09/25/2036		1,600		877
Structured Asset Mortgage Investments, Inc.
0.414% due 09/25/2047		483		450
0.504% due 06/25/2036		262		99
0.524% due 05/25/2046		1,486		602
0.534% due 05/25/2036		1,360		540
0.534% due 09/25/2047		6,300		1,195
0.563% due 07/19/2035		206		130
0.564% due 09/25/2047		395		87
0.574% due 05/25/2046		829		184
0.614% due 08/25/2036		1,800		219
0.624% due 12/25/2035		24		11
0.893% due 07/19/2034		43		23
2.939% due 08/25/2047		3,872		1,461
TBW Mortgage-Backed Pass-Through Certificates
0.424% due 01/25/2037		42		38
Thornburg Mortgage Securities Trust
0.434% due 09/25/2046		728		668
4.531% due 10/25/2043		252		212
Wachovia Bank Commercial Mortgage Trust
5.342% due 12/15/2043		800		528
5.416% due 01/15/2045		6,600		5,209
5.572% due 10/15/2048		600		464
WaMu Mortgage Pass-Through Certificates
0.544% due 04/25/2045		91		47
0.574% due 11/25/2045		1,065		517
0.624% due 01/25/2045		1,182		551
0.854% due 12/25/2027		3,375		2,525
2.080% due 01/25/2047		2,014		705
2.090% due 06/25/2047		878		285
2.100% due 04/25/2047		8,646		3,613
2.139% due 03/25/2047		3,868		1,580
2.320% due 06/25/2046		326		149
2.340% due 02/25/2046		336		150
2.674% due 05/25/2041		18		15
2.877% due 02/27/2034		1,088		892
2.909% due 06/25/2033		273		213
3.127% due 07/25/2046		787		331
3.127% due 10/25/2046		138		62
5.394% due 02/25/2037		2,280		1,354
5.581% due 12/25/2036		9,035		5,574
5.687% due 02/25/2037		8,523		4,768
5.833% due 02/25/2037		2,439		1,529
Washington Mutual Alternative Mortgage Pass-Through Certificates
0.564% due 07/25/2046		187		55
2.100% due 04/25/2047		891		248
2.110% due 04/25/2047		1,262		317
2.180% due 05/25/2047		843		166
2.280% due 07/25/2046		1,420		480
Wells Fargo Mortgage-Backed Securities Trust
4.612% due 06/25/2035		7,778		6,833
4.697% due 12/25/2033		41		36
4.950% due 03/25/2036		10,716		7,583
5.775% due 04/25/2036		1,046		275
				239,351
MUNICIPAL BONDS & NOTES 0.9%
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
8.514% due 01/01/2014		1,810		1,672
District of Columbia Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
6.500% due 05/15/2033		1,115		898
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047		1,200		721
Illinois State General Obligation Bonds, (AMBAC Insured), Series 2004
5.000% due 11/01/2027		700		703
Illinois State General Obligation Bonds, (MBIA-FGIC Insured), Series 2001
5.000% due 11/01/2022		5,500		5,645
Illinois State Regional Transportation Authority Revenue Bonds, (FSA Insured), Series 1999
5.750% due 06/01/2014		20		23
Illinois State Regional Transportation Authority Revenue Bonds, (MBIA Insured), Series 2006
5.000% due 07/01/2025		1,000		1,029
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2001
5.300% due 06/01/2025		2,980		3,181
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		1,440		1,079
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
8.850% due 12/15/2013		1,530		1,354
New York State Tobacco Settlement Financing Authority Revenue Bonds, Series 2003
5.500% due 06/01/2014		80		80
5.500% due 06/01/2017		600		614
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		1,980		102
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		5,965		4,008
				21,109
	SHARES
PREFERRED STOCKS 0.3%
DG Funding Trust
1.343% due 12/31/2049		640		5,536
SLM Corp.
0.700% due 03/15/2017		33,200		420
				5,956
	PRINCIPAL AMOUNT (000s)
U.S. GOVERNMENT AGENCIES 26.6%
Fannie Mae
0.429% due 03/25/2034	$	208		189
0.614% due 03/25/2036		144		139
2.638% due 06/01/2043		225		224
2.972% due 04/01/2032		69		71
3.350% due 06/01/2035		2,149		2,159
3.825% due 01/01/2023		57		57
4.000% due 07/01/2024		3,000		3,004
4.283% due 08/01/2023		157		160
4.287% due 11/01/2034		5,708		5,771
4.915% due 11/01/2022		17		17
4.934% due 12/01/2034		1,309		1,352
5.000% due 08/01/2035 (e)		3,331		3,402
5.000% due 03/01/2036 (e)(f)		18,060		18,443
5.111% due 12/01/2030		18		18
5.200% due 11/01/2015		16,534		17,549
5.270% due 12/01/2015		3,389		3,606
5.310% due 12/01/2010		21,634		22,380
5.370% due 12/01/2015		2,626		2,807
5.425% due 01/01/2016		2,873		3,078
5.500% due 01/01/2023 - 05/01/2048		22,855		23,518
5.500% due 11/01/2028 - 01/01/2039 (e)		128,817		133,330
5.500% due 12/01/2033 - 04/01/2038 (d)		19,244		19,824
6.000% due 01/01/2029 - 07/25/2044		9,292		9,718
6.000% due 07/01/2034 - 03/01/2039 (e)		15,570		16,379
6.000% due 09/01/2037 (d)		869		910
6.500% due 02/01/2026 - 09/01/2037		3,905		4,179
6.500% due 12/01/2034 - 09/01/2037 (e)		6,773		7,226
6.500% due 04/01/2037 (d)		795		848
7.000% due 08/01/2036		2,219		2,401
Federal Home Loan Bank
0.920% due 10/23/2009		31,385		31,406
Freddie Mac
0.669% due 12/15/2030		680		671
0.719% due 11/15/2016 - 03/15/2017		240		239
0.926% due 05/04/2011 (d)		1,100		1,103
0.937% due 08/05/2011 (d)		22		22
1.268% due 04/01/2011 (d)		3,713		3,725
2.638% due 10/25/2044		5,876		5,786
2.639% due 02/25/2045		432		412
3.604% due 06/01/2022		196		197
4.500% due 09/01/2013 - 07/15/2023		1,756		1,797
5.000% due 03/15/2016 - 08/15/2035		4,200		4,059
5.338% due 09/01/2035		348		358
6.000% due 12/01/2033		2,169		2,257
7.000% due 08/01/2036		493		528
9.050% due 06/15/2019		4		4
Ginnie Mae
4.125% due 11/20/2021 - 11/20/2030		243		247
4.625% due 07/20/2022 - 08/20/2027		542		556
5.375% due 05/20/2022 - 05/20/2030		956		987
5.500% due 07/01/2039		48,000		49,537
6.000% due 08/20/2034 - 07/01/2039		81,158		84,350
6.500% due 08/15/2036 - 07/01/2039		114,186		120,745
Small Business Administration
5.600% due 09/01/2028		2,546		2,707
5.980% due 05/01/2022		3,968		4,236
6.344% due 08/01/2011		331		347
6.640% due 02/01/2011		153		161
				619,196
U.S. TREASURY OBLIGATIONS 0.1%
U.S. Treasury Notes
0.875% due 04/30/2011 (f)		1,354		1,350
Total United States (Cost $1,599,492)				1,443,017
SHORT-TERM INSTRUMENTS 1.1%
REPURCHASE AGREEMENTS 0.2%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	4,899		4,899
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $5,000. Repurchase proceeds are $4,899.)
U.S. TREASURY BILLS 0.6%
0.119% due 07/02/2009 - 07/30/2009 (b)(d)(f)		14,866		14,865
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 0.3%
		635,886		6,364
Total Short-Term Instruments (Cost $26,129)				26,128
Total Investments 121.1% (Cost $2,973,521)			$	2,814,230
Written Options (h) (0.2%) (Premiums $4,021)				(5,313	)
Other Assets and Liabilities (Net) (20.9%)				(484,116	)
Net Assets 100.0%			$	2,324,801

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) Affiliated to the Fund.

(d) Securities with an aggregate market value of $11,122 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $66,659 at a weighted average interest rate of 0.451%. On June 30, 2009, securities valued at $156,171 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $13,462 and cash of $170 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2010	991	$	(57	)
90-Day Euribor March Futures	Long	03/2011	158		(116	)
Euro-Bobl September Futures	Long	09/2009	51		58
Euro-Bund 10-Year Bond September Futures	Long	09/2009	437		607
Japan Government 10-Year Bond September Futures	Long	09/2009	62		1,478
U.S. Treasury 10-Year Note September Futures	Long	09/2009	14		13
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	1,815		(1,188	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 92.000	Short	12/2009	618		238
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	18		(17	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	1,674		(333	)
				$	683

(g) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Agrium, Inc.	MLP	(1.250	%)	03/20/2019	1.057	%	$	5,000	$	(77	)	$	0		$	(77	)
Altria Group, Inc.	BCLY	(1.090	%)	12/20/2018	1.080	%		3,500		(4	)		0			(4	)
Altria Group, Inc.	GSC	(1.520	%)	12/20/2018	1.080	%		5,000		(172	)		0			(172	)
Altria Group, Inc.	MSC	(1.550	%)	12/20/2018	1.080	%		3,000		(110	)		0			(110	)
Anadarko Petroleum Corp.	BCLY	(0.330	%)	03/20/2012	0.737	%		3,900		42			76			(34	)
AutoZone, Inc.	BOA	(1.070	%)	03/20/2014	0.564	%		1,000		(23	)		0			(23	)
AutoZone, Inc.	CITI	(0.680	%)	12/20/2012	0.502	%		2,000		(12	)		0			(12	)
Avnet, Inc.	UBS	(1.530	%)	09/20/2016	1.297	%		1,700		(25	)		0			(25	)
Avon Products, Inc.	BOA	(0.770	%)	03/20/2019	0.393	%		1,500		(47	)		0			(47	)
Bear Stearns Cos. LLC	DUB	(0.870	%)	03/20/2018	1.074	%		6,000		86			0			86
Bear Stearns Cos. LLC	RBS	(1.050	%)	03/20/2018	1.074	%		2,000		3			0			3
Black & Decker Corp.	BOA	(1.020	%)	12/20/2016	1.565	%		3,000		100			0			100
Boston Scientific Corp.	BOA	(0.510	%)	06/20/2011	1.056	%		400		4			15			(11	)
Boston Scientific Corp.	UBS	(2.060	%)	06/20/2016	1.111	%		4,300		(248	)		0			(248	)
Brunswick Corp.	BOA	(4.100	%)	09/20/2013	11.803	%		3,000		658			0			658
Burlington Northern Santa Fe Corp.	BOA	(0.500	%)	06/20/2017	0.512	%		2,669		2			0			2
Cardinal Health, Inc.	DUB	(0.590	%)	06/20/2017	0.486	%		5,000		(37	)		0			(37	)
Cardinal Health, Inc.	DUB	(0.610	%)	06/20/2017	0.486	%		5,000		(44	)		35			(79	)
CNA Financial Corp.	BCLY	(1.390	%)	12/20/2014	2.864	%		3,000		200			0			200
CNA Financial Corp.	JPM	(0.440	%)	09/20/2011	3.246	%		3,600		210			0			210
Computer Sciences Corp.	BOA	(1.060	%)	03/20/2018	0.573	%		6,000		(220	)		0			(220	)
Covidien International Finance S.A.	DUB	(0.750	%)	12/20/2017	0.661	%		4,100		(27	)		0			(27	)
CSX Corp.	JPM	(0.165	%)	03/20/2011	0.699	%		2,300		21			0			21
Daimler Finance N.A. LLC	BCLY	(0.535	%)	09/20/2011	1.524	%		800		17			68			(51	)
Daimler Finance N.A. LLC	JPM	(0.520	%)	06/20/2010	1.289	%		1,000		7			0			7
Daimler Finance N.A. LLC	RBS	(0.620	%)	09/20/2011	1.524	%		1,500		29			0			29
Dominion Resources, Inc.	CITI	(0.475	%)	12/20/2016	0.573	%		2,000		13			0			13
FirstEnergy Corp.	RBS	(0.500	%)	12/20/2011	1.861	%		6,500		209			0			209
Fortune Brands, Inc.	BOA	(1.460	%)	03/20/2016	1.558	%		7,400		39			0			39
GATX Financial Corp.	JPM	(0.160	%)	06/20/2010	2.142	%		500		10			0			10
GKN Holdings PLC	JPM	(8.750	%)	06/20/2012	3.443	%	GBP	5,700		(1,370	)		0			(1,370	)
Goldman Sachs Group, Inc.	JPM	(0.330	%)	03/20/2016	1.493	%	$	2,900		192			0			192
Hanson Ltd.	BCLY	(1.000	%)	09/20/2016	6.275	%		1,000		256			243			13
Hanson Ltd.	BCLY	(5.000	%)	09/20/2016	6.275	%		1,000		61			485			(424	)
HCP, Inc.	BCLY	(0.550	%)	09/20/2011	3.797	%		400		27			50			(23	)
HCP, Inc.	JPM	(0.610	%)	09/20/2011	3.797	%		1,000		66			0			66
HCP, Inc.	MSC	(2.030	%)	12/20/2013	3.695	%		6,000		375			0			375
Humana, Inc.	BCLY	(1.050	%)	09/20/2018	3.118	%		1,800		244			0			244
Humana, Inc.	JPM	(1.530	%)	09/20/2018	3.118	%		4,500		467			0			467
International Lease Finance Corp.	BCLY	(0.170	%)	03/20/2012	9.924	%		2,700		571			0			571
International Lease Finance Corp.	BCLY	(1.540	%)	12/20/2013	9.030	%		7,000		1,640			0			1,640
International Lease Finance Corp.	MLP	(0.130	%)	03/20/2012	9.924	%		2,900		616			0			616
International Paper Co.	CSFB	(2.400	%)	06/20/2018	2.455	%		3,000		9			0			9
JPMorgan Chase & Co.	BOA	(0.720	%)	03/20/2018	1.025	%		5,000		109			0			109
JPMorgan Chase & Co.	DUB	(0.720	%)	03/20/2018	1.025	%		1,500		33			0			33
JPMorgan Chase & Co.	UBS	(0.730	%)	03/20/2018	1.025	%		3,500		74			0			74
Lennar Corp.	CITI	(6.000	%)	12/20/2011	4.154	%		2,400		(104	)		0			(104	)
Lennar Corp.	MLP	(5.750	%)	12/20/2012	4.047	%		700		(37	)		0			(37	)
Loews Corp.	JPM	(0.330	%)	03/20/2016	0.610	%		1,150		19			0			19
Ltd. Brands, Inc.	BOA	(2.850	%)	09/20/2017	2.573	%		4,000		(72	)		548			(620	)
Ltd. Brands, Inc.	BOA	(3.550	%)	09/20/2017	2.573	%		1,000		(62	)		98			(160	)
Macy’s Retail Holdings, Inc.	BOA	(2.430	%)	03/20/2013	3.976	%		4,000		196			0			196
Marriott International, Inc.	BCLY	(1.250	%)	12/20/2015	1.999	%		1,300		52			205			(153	)
Marriott International, Inc.	BOA	(1.730	%)	06/20/2017	1.919	%		4,300		50			0			50
Marsh & McLennan Cos., Inc.	BCLY	(0.650	%)	09/20/2010	0.366	%		2,200		(8	)		0			(8	)
Masco Corp.	MSC	(0.580	%)	09/20/2012	3.728	%		1,000		91			0			91
Merrill Lynch & Co., Inc.	CITI	(1.380	%)	06/20/2018	2.238	%		5,000		286			0			286
Nabors Industries, Inc.	CITI	(0.820	%)	03/20/2018	1.382	%		2,000		79			0			79
National Grid PLC	BCLY	(0.208	%)	06/20/2011	1.109	%		4,300		75			0			75
Newell Rubbermaid, Inc.	GSC	(0.780	%)	06/20/2013	1.548	%		5,000		141			0			141
NiSource Finance Corp.	CITI	(1.660	%)	03/20/2018	2.162	%		4,000		132			0			132
NiSource Finance Corp.	JPM	(0.620	%)	09/20/2014	2.386	%		1,150		91			0			91
Omnicom Group, Inc.	CITI	(0.940	%)	06/20/2016	0.821	%		1,000		(8	)		0			(8	)
Pearson Dollar Finance Two PLC	BCLY	(0.610	%)	06/20/2013	0.467	%		2,500		(14	)		0			(14	)
Reed Elsevier Capital, Inc.	MSC	(0.280	%)	06/20/2012	0.436	%		1,200		5			0			5
Reynolds American, Inc.	BCLY	(3.460	%)	06/20/2017	2.512	%		700		(41	)		0			(41	)
Royal Caribbean Cruises Ltd.	BOA	(0.480	%)	06/20/2010	7.313	%		1,700		108			0			108
RR Donnelley & Sons Co.	CITI	(4.030	%)	03/20/2012	3.365	%		6,000		(107	)		0			(107	)
Ryder System, Inc.	CITI	(1.160	%)	03/20/2013	2.291	%		5,000		191			0			191
Sealed Air Corp.	BCLY	(1.035	%)	09/20/2013	1.255	%		6,000		50			198			(148	)
Sealed Air Corp.	BOA	(1.135	%)	09/20/2013	1.255	%		6,900		31			0			31
Sempra Energy	CITI	(0.795	%)	06/20/2018	0.947	%		8,000		89			0			89
Sheraton Holding Corp.	DUB	(2.390	%)	12/20/2015	3.447	%		5,000		262			231			31
Simon Property Group LP	GSC	(1.470	%)	12/20/2016	2.247	%		7,000		321			0			321
Simon Property Group LP	MSC	(1.006	%)	09/20/2014	2.370	%		3,000		184			0			184
SLM Corp.	GSC	(4.250	%)	06/20/2013	8.328	%		200		24			0			24
SLM Corp.	RBS	(3.200	%)	06/20/2018	7.340	%		2,000		401			0			401
Smith Group PLC	RBS	(0.530	%)	09/20/2010	0.653	%	GBP	7,000		16			0			16
Southwest Airlines Co.	BCLY	(0.640	%)	03/20/2017	2.098	%	$	1,100		100			90			10
Southwest Airlines Co.	DUB	(0.420	%)	03/20/2012	2.115	%		500		22			0			22
Spectra Energy Capital LLC	DUB	(0.860	%)	06/20/2018	0.627	%		5,000		(90	)		0			(90	)
Tate & Lyle International Finance PLC	DUB	(0.510	%)	12/20/2014	1.529	%		1,400		69			0			69
Tyco Electronics Group S.A.	BOA	(1.100	%)	03/20/2014	2.148	%		2,000		85			160			(75	)
Tyco Electronics Group S.A.	DUB	(0.850	%)	12/20/2017	2.072	%		6,000		483			0			483
Tyco Electronics Group S.A.	DUB	(0.950	%)	12/20/2017	2.072	%		7,000		517			0			517
Tyco International Finance S.A.	BOA	(1.120	%)	12/20/2019	1.119	%		7,000		(3	)		0			(3	)
UBS Warburg LLC	BCLY	(2.330	%)	03/20/2014	1.256	%	EUR	5,000		(332	)		0			(332	)
UBS Warburg LLC	BCLY	(2.250	%)	03/20/2014	1.256	%	$	3,300		(144	)		0			(144	)
UBS Warburg LLC	CITI	(2.200	%)	03/20/2014	1.256	%	EUR	1,700		(99	)		0			(99	)
Union Pacific Corp.	BCLY	(0.600	%)	03/20/2016	0.596	%	$	800		0			31			(31	)
Union Pacific Corp.	BOA	(1.000	%)	03/20/2016	0.574	%		200		(5	)		(3	)		(2	)
Viacom, Inc.	BOA	(3.200	%)	06/20/2011	1.490	%		2,700		(91	)		0			(91	)
Viacom, Inc.	JPM	(1.150	%)	06/20/2016	1.593	%		6,500		167			0			167
Viacom, Inc.	MSC	(0.640	%)	06/20/2011	1.490	%		1,000		16			0			16
Viacom, Inc.	UBS	(0.470	%)	06/20/2011	1.490	%		2,400		47			78			(31	)
Vivendi	BOA	(1.280	%)	06/20/2013	1.186	%		7,000		(27	)		0			(27	)
WPP Group PLC	BCLY	(3.750	%)	06/20/2017	2.391	%	GBP	2,425		(339	)		0			(339	)
WPP Group PLC	JPM	(3.750	%)	06/20/2017	2.391	%		1,650		(231	)		0			(231	)
									$	6,560		$	2,608		$	3,952

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Brazil Government International Bond	JPM	1.345	%	08/20/2011	1.177	%	$	11,900	$	100		$	0	$	100
Brazil Government International Bond	MLP	1.340	%	08/20/2011	1.177	%		10,000		83			0		83
General Electric Capital Corp.	CITI	5.000	%	06/20/2014	4.176	%		2,900		99			46		53
General Electric Capital Corp.	DUB	4.100	%	12/20/2013	4.336	%		1,000		(8	)		0		(8	)
General Electric Capital Corp.	RBS	1.320	%	03/20/2013	4.347	%		12,500		(1,208	)		0		(1,208	)
HSBC Finance Corp.	GSC	1.500	%	06/20/2010	4.848	%		1,400		(43	)		0		(43	)
JSC Gazprom	MLP	0.610	%	05/20/2012	5.007	%		700		(80	)		0		(80	)
RSHB Capital S.A. for OJSC Russian Agricultural Bank	BCLY	0.740	%	06/20/2012	4.442	%		1,000		(100	)		0		(100	)
SLM Corp.	GSC	0.700	%	06/20/2012	8.543	%		1,600		(300	)		0		(300	)
									$	(1,457	)	$	46	$	(1,503	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX.IG-7 10-Year Index	BCLY	(0.650	%)	12/20/2016	$	2,333	$	141	$	(17	)	$	158
CDX.IG-7 10-Year Index	GSC	(0.650	%)	12/20/2016		42,476		2,571		(301	)		2,872
CDX.IG-7 10-Year Index	MSC	(0.650	%)	12/20/2016		14,580		883		(101	)		984
CDX.IG-7 10-Year Index	UBS	(0.650	%)	12/20/2016		11,664		706		(80	)		786
CDX.IG-8 10-Year Index	BCLY	(0.600	%)	06/20/2017		14,152		885		190			695
CDX.IG-8 10-Year Index	BOA	(0.600	%)	06/20/2017		37,478		2,344		89			2,255
CDX.IG-8 10-Year Index	GSC	(0.600	%)	06/20/2017		4,002		250		95			155
CDX.IG-8 10-Year Index	JPM	(0.600	%)	06/20/2017		67,246		4,205		464			3,741
CDX.IG-9 10-Year Index	DUB	(0.800	%)	12/20/2017		11,810		667		443			224
CDX.IG-10 10-Year Index	GSC	(1.500	%)	06/20/2018		19,618		174		(662	)		836
CDX.IG-11 5-Year Index	BCLY	(1.500	%)	12/20/2013		3,000		20		88			(68	)
CDX.IG-12 10-Year Index	DUB	(1.000	%)	06/20/2019		25,300		442		1,100			(658	)
CDX.IG-12 10-Year Index	GSC	(1.000	%)	06/20/2019		9,800		171		441			(270	)
							$	13,459	$	1,749		$	11,710

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/ (Received)			Unrealized (Depreciation)
ABX.HE AA 06-1 Index	CSFB	0.320	%	07/25/2045	$	4,800	$	(3,696	)	$	(1,440	)	$	(2,256	)
ABX.HE AAA 06-2 Index	DUB	0.110	%	05/25/2046		2,994		(2,005	)		(1,126	)		(879	)
							$	(5,701	)	$	(2,566	)	$	(3,135	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP	EUR	16,000	$	773		$	(22	)	$	795
Pay	1-Month EUR-FRCPXTOB Index	2.103	%	10/15/2010	BCLY		19,000		1,064			(18	)		1,082
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		20,500		1,178			23			1,155
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	BCLY		7,100		137			0			137
Pay	1-Month EUR-FRCPXTOB Index	2.080	%	06/15/2012	GSC		20,500		471			0			471
Pay	3-Month AUD Bank Bill	5.000	%	12/15/2011	UBS	AUD	278,200		(1,219	)		714			(1,933	)
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2012	DUB		23,000		(285	)		9			(294	)
Pay	3-Month SEK-STIBOR	4.500	%	03/18/2014	BCLY	SEK	17,000		191			(18	)		209
Pay	3-Month SEK-STIBOR	4.500	%	03/18/2014	GSC		18,000		203			(19	)		222
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	BCLY	$	3,900		24			0			24
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	RBS		6,700		42			0			42
Pay	6-Month EUR-LIBOR	3.000	%	09/15/2012	DUB	EUR	111,700		234			613			(379	)
Pay	6-Month EUR-LIBOR	3.000	%	09/15/2012	JPM		286,000		598			2,754			(2,156	)
Pay	6-Month EUR-LIBOR	3.500	%	09/16/2019	GSC		7,200		(183	)		(183	)		0
Pay	6-Month GBP-LIBOR	2.500	%	03/17/2011	BCLY	GBP	24,300		(8	)		(3	)		(5	)
Pay	6-Month GBP-LIBOR	3.500	%	03/17/2015	GSC		17,400		(854	)		(148	)		(706	)
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	BOA	JPY	8,680,000		121			(188	)		309
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	RBS		12,110,000		169			(114	)		283
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	UBS		13,920,000		194			(7	)		201
Pay	6-Month JPY-LIBOR	1.500	%	12/16/2016	BCLY		1,400,000		309			279			30
								$	3,159		$	3,672		$	(513	)

(h) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	116.500	08/21/2009	2,068	$	2,044	$	3,281
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	262		44		13
					$	2,088	$	3,294

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009	$	25,800	$	498	$	628
Put - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		25,800		498		470
Call - OTC 5-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009		20,900		407		508
Put - OTC 5-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		20,900		408		380
Put - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.300	%	08/03/2009		64,900		122		33
									$	1,933	$	2,019

(i) Restricted securities as of June 30, 2009:

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	$	4,363	$	4,271	0.18	%

(j) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.000	%	07/01/2039	$	9,000	$	9,020	$	9,159
Fannie Mae	5.500	%	07/01/2039		58,000		59,787		59,858
						$	68,807	$	69,017

(k) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	DUB	32,222	07/2009	$	0	$	(296	)	$	(296	)
Buy		GSC	4,536	07/2009		0		(19	)		(19	)
Sell		GSC	17,344	07/2009		0		(325	)		(325	)
Buy		HSBC	179	07/2009		1		0			1
Buy		JPM	78	07/2009		0		0			0
Sell		MSC	2,911	07/2009		0		(26	)		(26	)
Sell		RBC	32,472	07/2009		0		(447	)		(447	)
Sell	BRL	HSBC	225	08/2009		0		(12	)		(12	)
Buy	CAD	CSFB	2,721	07/2009		0		(100	)		(100	)
Buy		MSC	3,384	07/2009		0		(149	)		(149	)
Sell		BCLY	638	08/2009		7		0			7
Buy		HSBC	1,400	08/2009		0		(5	)		(5	)
Sell		HSBC	1,000	08/2009		4		0			4
Sell		JPM	74,122	08/2009		3,726		0			3,726
Buy		MSC	1,360	08/2009		0		(63	)		(63	)
Buy		RBS	3,384	08/2009		0		(2	)		(2	)
Sell	CLP	BCLY	467,828	11/2009		0		(73	)		(73	)
Buy		CITI	499,300	11/2009		75		0			75
Buy	CNY	BCLY	3,982	07/2009		0		(37	)		(37	)
Sell		BCLY	36,885	07/2009		0		(116	)		(116	)
Buy		DUB	64,409	07/2009		0		(566	)		(566	)
Buy		HSBC	21,800	07/2009		0		(174	)		(174	)
Buy		JPM	18,891	07/2009		0		(165	)		(165	)
Sell		JPM	72,196	07/2009		0		(271	)		(271	)
Buy		BCLY	5,177	09/2009		8		0			8
Buy		CITI	5,206	09/2009		13		0			13
Buy		DUB	23,490	09/2009		51		0			51
Sell		DUB	48,692	09/2009		0		(237	)		(237	)
Buy		HSBC	10,539	09/2009		24		0			24
Buy		JPM	4,280	09/2009		7		0			7
Buy		BCLY	23,791	05/2010		0		(343	)		(343	)
Sell		BCLY	50,600	05/2010		0		(423	)		(423	)
Buy		MLP	26,809	05/2010		0		(373	)		(373	)
Sell	DKK	RBS	18,354	07/2009		46		0			46
Sell		CITI	31,456	10/2009		0		0			0
Sell		RBS	18,355	10/2009		0		(1	)		(1	)
Buy	EUR	BCLY	237	07/2009		0		(2	)		(2	)
Sell		BCLY	332,162	07/2009		36		(2,472	)		(2,436	)
Sell		BNP	1,722	07/2009		0		(2	)		(2	)
Buy		GSC	65	07/2009		0		0			0
Sell		GSC	5,772	07/2009		0		(6	)		(6	)
Buy		JPM	7,335	07/2009		1		0			1
Sell		JPM	5	07/2009		0		0			0
Sell		RBC	98,606	07/2009		190		(1,134	)		(944	)
Buy	GBP	BCLY	67,215	07/2009		64		(758	)		(694	)
Sell		BCLY	14,128	07/2009		0		(1,463	)		(1,463	)
Buy		CITI	941	07/2009		30		0			30
Sell		CITI	31,775	07/2009		0		(2,957	)		(2,957	)
Buy		CSFB	6,397	07/2009		303		0			303
Sell		CSFB	101	07/2009		0		(3	)		(3	)
Sell		DUB	4	07/2009		0		0			0
Buy		GSC	1,635	07/2009		0		(4	)		(4	)
Sell		GSC	2,776	07/2009		23		(50	)		(27	)
Buy		JPM	1,407	07/2009		0		0			0
Sell		JPM	177	07/2009		0		(3	)		(3	)
Buy		MSC	2,778	07/2009		136		0			136
Sell		MSC	2,856	07/2009		0		(158	)		(158	)
Sell		RBC	6,094	07/2009		0		(102	)		(102	)
Buy		RBS	2,897	07/2009		103		0			103
Sell		RBS	69,191	07/2009		198		0			198
Buy		UBS	1,244	07/2009		25		0			25
Sell		DUB	13,162	08/2009		0		(6	)		(6	)
Buy		RBC	174	08/2009		0		(2	)		(2	)
Sell		RBS	42,687	08/2009		0		(31	)		(31	)
Sell	HKD	BCLY	123	09/2009		0		0			0
Sell		BOA	316	09/2009		0		0			0
Sell		CITI	162	09/2009		0		0			0
Sell		DUB	172	09/2009		0		0			0
Sell		JPM	172	09/2009		0		0			0
Buy	INR	BCLY	41	07/2009		0		0			0
Sell		BOA	100	07/2009		0		0			0
Buy		CITI	123	07/2009		0		0			0
Sell		CITI	95	07/2009		0		0			0
Sell		DUB	87	07/2009		0		0			0
Buy		HSBC	41	07/2009		0		0			0
Buy		JPM	41	07/2009		0		0			0
Buy		MSC	37	07/2009		0		0			0
Sell		BCLY	41	10/2009		0		0			0
Sell		CITI	123	10/2009		0		0			0
Sell		HSBC	41	10/2009		0		0			0
Sell		JPM	41	10/2009		0		0			0
Sell		MSC	37	10/2009		0		0			0
Buy	JPY	BCLY	1,240,349	07/2009		156		(18	)		138
Sell		BCLY	224,024	07/2009		7		(2	)		5
Buy		BNP	123,992	07/2009		6		0			6
Sell		BNP	20,145,190	07/2009		0		(231	)		(231	)
Buy		CSFB	151,628	07/2009		32		0			32
Buy		GSC	163,735	07/2009		35		0			35
Sell		GSC	290,817	07/2009		0		(50	)		(50	)
Sell		JPM	1,038	07/2009		0		0			0
Buy		RBC	394,081	07/2009		57		0			57
Buy		RBS	112,012	07/2009		0		(6	)		(6	)
Buy		JPM	160,631	08/2009		0		0			0
Sell		MSC	18,463,411	08/2009		174		0			174
Buy	KRW	BCLY	24,571	07/2009		1		0			1
Buy		BOA	14,296	07/2009		1		0			1
Buy		CITI	14,488	07/2009		1		0			1
Buy		DUB	4,313	07/2009		0		0			0
Buy	MXN	CITI	970	11/2009		7		0			7
Buy	MYR	BCLY	4,573	08/2009		55		0			55
Sell		BCLY	11,558	08/2009		0		(26	)		(26	)
Buy		CITI	3,534	08/2009		36		0			36
Buy		HSBC	4,080	08/2009		48		0			48
Buy	NZD	GSC	1,462	07/2009		40		0			40
Sell		GSC	2,925	07/2009		0		(80	)		(80	)
Buy	PHP	BCLY	40,552	08/2009		0		(1	)		(1	)
Buy		CITI	25,826	08/2009		2		0			2
Sell		CITI	82,548	08/2009		8		(2	)		6
Buy		DUB	17,201	08/2009		0		0			0
Sell	SEK	RBS	4,313	07/2009		27		0			27
Sell		RBS	4,313	10/2009		0		(1	)		(1	)
Buy	SGD	HSBC	535	07/2009		0		(1	)		(1	)
Sell		HSBC	673	07/2009		0		(22	)		(22	)
Sell	TWD	BCLY	1,351	08/2009		0		(1	)		(1	)
Sell		CITI	480	08/2009		0		0			0
Sell		DUB	624	08/2009		0		(1	)		(1	)
Sell		JPM	1,264	08/2009		0		(1	)		(1	)
					$	5,764	$	(13,819	)	$	(8,055	)

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
France	$	0	$	204,300		$	0	$	204,300
Germany		0		253,690			0		253,690
Japan		0		370,460			0		370,460
United States		0		1,440,658			2,359		1,443,017
Other Investments++		6,364		515,079			21,320		542,763
Investments, at value	$	6,364	$	2,784,187		$	23,679	$	2,814,230
Short Sales, at value	$	0	$	(69,017	)	$	0	$	(69,017	)
Financial Derivative Instruments+++	$	683	$	(5,206	)	$	2,349	$	(2,174	)
Total	$	7,047	$	2,709,964		$	26,028	$	2,743,039

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)			Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
United States	$	2,705	$	(419	)	$	1	$	20		$	52	$	0		$	2,359
Other Investments++		10,643		7,287			194		(138	)		1,388		1,946			21,320
Investments, at value	$	13,348	$	6,868		$	195	$	(118	)	$	1,440	$	1,946		$	23,679
Financial Derivative Instruments+++	$	3,609	$	0		$	0	$	0		$	31	$	(1,291	)	$	2,349
Total	$	16,957	$	6,868		$	195	$	(118	)	$	1,471	$	655		$	26,028

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Fundamental Advantage Total Return Strategy Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 31.5%
BANKING & FINANCE 22.8%
American Express Centurion Bank
0.377% due 03/23/2010	$	2,700	$	2,647
0.479% due 12/17/2009		600		596
American Express Co.
7.000% due 03/19/2018		800		778
American International Group, Inc.
1.217% due 10/18/2011		6,500		4,197
ANZ National International Ltd.
6.200% due 07/19/2013		900		928
Bear Stearns Cos. LLC
0.751% due 02/23/2010		400		400
0.854% due 11/28/2011		2,800		2,734
1.269% due 01/31/2011		400		396
7.250% due 02/01/2018		2,000		2,111
CIT Group, Inc.
4.250% due 02/01/2010		700		629
Citibank N.A.
1.625% due 03/30/2011		600		605
Citigroup, Inc.
2.125% due 04/30/2012		300		302
5.500% due 04/11/2013		5,000		4,692
Comerica Bank
0.771% due 05/24/2011		3,100		2,862
Dexia Credit Local
1.262% due 09/23/2011		4,700		4,688
Duke University
4.200% due 04/01/2014		900		927
5.150% due 04/01/2019		800		827
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		1,800		1,558
7.375% due 02/01/2011		2,300		2,083
General Electric Capital Corp.
1.800% due 03/11/2011		300		303
3.000% due 12/09/2011		2,000		2,065
5.875% due 01/14/2038		800		634
Goldman Sachs Group, Inc.
1.059% due 03/22/2016		2,300		1,951
6.150% due 04/01/2018		2,300		2,243
Hartford Life Global Funding Trusts
0.933% due 11/15/2009		3,000		2,927
HSBC Finance Corp.
1.166% due 08/09/2011		3,200		2,897
International Lease Finance Corp.
1.489% due 07/13/2012		6,400		4,617
JPMorgan Chase & Co.
7.900% due 04/29/2049		2,100		1,843
KeyBank N.A.
2.906% due 06/02/2010		1,200		1,165
Lehman Brothers Holdings, Inc.
2.950% due 05/25/2010 (a)		8,800		1,342
3.375% due 01/26/2017 (a)		900		137
Merrill Lynch & Co., Inc.
1.083% due 02/15/2011		1,600		1,466
1.236% due 02/05/2010		4,200		4,151
1.292% due 07/25/2011		400		371
Morgan Stanley
1.611% due 10/15/2015		5,700		4,892
3.006% due 05/14/2010		1,200		1,197
National Australia Bank Ltd.
2.550% due 01/13/2012		3,000		3,023
Northern Rock PLC
5.625% due 06/22/2017		3,800		3,331
Pacific Life Global Funding
0.839% due 06/22/2011		3,094		2,721
Premium Asset Trust
1.407% due 10/08/2009		4,000		3,720
Pricoa Global Funding I
0.801% due 09/27/2013		700		541
1.139% due 01/30/2012		900		845
1.446% due 06/04/2010		2,700		2,678
Princeton University
5.700% due 03/01/2039		800		804
Principal Life Income Funding Trusts
5.550% due 04/27/2015		900		891
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		7,000		6,993
3.000% due 12/09/2011		2,600		2,656
SLM Corp.
0.829% due 03/15/2011		1,800		1,545
4.000% due 01/15/2010		2,800		2,713
TransCapitalInvest Ltd. for OJSC AK Transneft
8.700% due 08/07/2018		300		289
UBS AG
1.927% due 05/05/2010		2,800		2,809
5.750% due 04/25/2018		400		365
Wachovia Corp.
0.899% due 06/15/2017		1,000		748
5.750% due 02/01/2018		1,000		984
Wells Fargo & Co.
7.980% due 03/29/2049		6,100		5,070
				110,887
INDUSTRIALS 7.6%
Amgen, Inc.
6.900% due 06/01/2038		2,600		2,953
CODELCO, Inc.
7.500% due 01/15/2019		400		464
CVS Caremark Corp.
0.968% due 06/01/2010		1,660		1,649
Dell, Inc.
5.650% due 04/15/2018		1,600		1,628
Gaz Capital S.A.
7.343% due 04/11/2013		100		97
8.146% due 04/11/2018		600		549
8.625% due 04/28/2034		3,300		3,246
Martin Marietta Materials, Inc.
1.189% due 04/30/2010		4,160		4,098
Norfolk Southern Corp.
5.750% due 04/01/2018		3,600		3,687
Oracle Corp.
5.750% due 04/15/2018		2,700		2,853
Petroleos Mexicanos
8.000% due 05/03/2019		1,100		1,199
Philip Morris International, Inc.
6.375% due 05/16/2038		400		427
Reynolds American, Inc.
1.329% due 06/15/2011		3,100		2,901
Roche Holdings, Inc.
2.661% due 02/25/2011		2,100		2,124
Suncor Energy, Inc.
6.100% due 06/01/2018		4,000		4,028
Time Warner, Inc.
1.150% due 11/13/2009		2,900		2,893
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		2,200		2,369
				37,165
UTILITIES 1.1%
EDF S.A.
5.500% due 01/26/2014		300		324
6.500% due 01/26/2019		300		329
6.950% due 01/26/2039		300		338
New Cingular Wireless Services, Inc.
7.875% due 03/01/2011		3,000		3,237
Public Service Electric & Gas Co.
5.300% due 05/01/2018		1,100		1,151
Verizon Wireless Capital LLC
3.316% due 05/20/2011		100		103
				5,482
Total Corporate Bonds & Notes (Cost $163,457)				153,534
CONVERTIBLE BONDS & NOTES 0.6%
Bristol-Myers Squibb Co.
0.129% due 09/15/2023		3,200		2,832
Total Convertible Bonds & Notes (Cost $2,824)				2,832
MUNICIPAL BONDS & NOTES 0.8%
California State General Obligation Bonds, Series 2009
5.650% due 04/01/2039		100		98
7.500% due 04/01/2034		100		92
7.550% due 04/01/2039		100		91
Chicago, Illinois Transit Authority Revenue Bonds, Series 2008
6.300% due 12/01/2021		100		104
6.899% due 12/01/2040		1,600		1,712
Seattle, Washington Revenue Bonds, Series 2008
5.250% due 02/01/2033		2,000		2,054
Total Municipal Bonds & Notes (Cost $3,998)				4,151
U.S. GOVERNMENT AGENCIES 26.9%
Fannie Mae
3.283% due 03/01/2034		983		999
4.024% due 12/01/2034		1,197		1,213
4.122% due 07/01/2035		1,375		1,388
4.500% due 06/01/2023		1,817		1,856
4.500% due 06/01/2023 - 11/01/2023 (g)		1,815		1,854
5.000% due 07/01/2023 - 04/01/2034 (g)		833		863
5.000% due 06/01/2035 - 07/01/2039		18,594		18,987
5.500% due 11/01/2036 - 11/01/2038		16,750		17,312
5.500% due 07/01/2038 (g)		117		121
6.000% due 08/01/2036 - 10/01/2036 (g)		929		974
6.000% due 09/01/2036 - 11/01/2036		9,066		9,498
Freddie Mac
0.641% due 08/24/2010 (e)		84		84
0.702% due 03/09/2011 (e)		664		666
0.926% due 05/04/2011 (e)		28		28
0.937% due 08/05/2011 (e)		29,400		29,411
1.625% due 04/26/2011		7,100		7,159
5.000% due 02/15/2016 - 11/01/2035		1,798		1,829
5.000% due 10/01/2035 (g)		11,338		11,572
5.500% due 09/01/2037 - 09/01/2038		16,970		17,540
Ginnie Mae
6.000% due 02/15/2037 - 09/15/2037 (g)		1,377		1,437
Small Business Administration
5.490% due 03/01/2028		470		493
6.020% due 08/01/2028		5,093		5,584
Total U.S. Government Agencies (Cost $126,938)				130,868
U.S. TREASURY OBLIGATIONS 7.1%
Treasury Inflation Protected Securities (c)
1.875% due 07/15/2013		116		119
2.500% due 01/15/2029 (e)		992		1,053
U.S. Treasury Bonds
4.250% due 05/15/2039 (g)		11,400		11,275
U.S. Treasury Notes
0.875% due 04/30/2011 (g)		21,463		21,408
0.875% due 05/31/2011 (g)		508		506
Total U.S. Treasury Obligations (Cost $33,630)				34,361
MORTGAGE-BACKED SECURITIES 2.7%
Banc of America Commercial Mortgage, Inc.
5.837% due 06/10/2049		7,100		5,045
Bear Stearns Commercial Mortgage Securities
5.201% due 12/11/2038		3,400		2,833
GS Mortgage Securities Corp. II
5.993% due 08/10/2045		1,600		1,214
JPMorgan Chase Commercial Mortgage Securities Corp.
5.440% due 06/12/2047		2,300		1,738
WaMu Mortgage Pass-Through Certificates
5.674% due 06/25/2037		3,831		2,377
Total Mortgage-Backed Securities (Cost $15,753)				13,207
ASSET-BACKED SECURITIES 5.8%
Access Group, Inc.
2.392% due 10/27/2025		3,290		3,317
Chase Issuance Trust
2.129% due 09/15/2015		5,400		5,402
IXIS Real Estate Capital Trust
0.654% due 02/25/2036		4,222		3,354
Long Beach Mortgage Loan Trust
0.374% due 12/25/2036		327		237
SLM Student Loan Trust
2.592% due 04/25/2023		6,581		6,720
South Carolina Student Loan Corp.
1.418% due 03/02/2020		3,100		2,946
1.668% due 09/03/2024		1,400		1,318
Structured Asset Securities Corp.
0.424% due 01/25/2037		10,000		5,052
Total Asset-Backed Securities (Cost $33,012)				28,346
FOREIGN CURRENCY-DENOMINATED ISSUES 1.3%
Fortis Bank Nederland Holding NV
3.000% due 04/17/2012	EUR	500		709
Goldman Sachs Group, Inc.
6.375% due 05/02/2018		400		575
KeyCorp
1.444% due 11/22/2010		1,600		2,017
LeasePlan Corp. NV
3.125% due 02/10/2012		100		142
Merrill Lynch & Co., Inc.
1.570% due 05/30/2014		1,900		2,158
Principal Financial Global Funding LLC
2.750% due 07/12/2010	CHF	600		537
Total Foreign Currency-Denominated Issues (Cost $5,508)				6,138
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.4%
Wells Fargo & Co.
7.500% due 12/31/2049		2,500		1,962
Total Convertible Preferred Stocks (Cost $1,950)				1,962
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 21.5%
REPURCHASE AGREEMENTS 3.3%
Barclays Capital, Inc.
0.100% due 07/01/2009	$	1,900		1,900
(Dated 06/30/2009. Collateralized by Freddie Mac 0.926% due 05/04/2011 valued at $1,957. Repurchase proceeds are $1,900.) Credit Suisse Securities (USA) LLC 0.070% due 07/01/2009		12,000		12,000
(Dated 06/30/2009. Collateralized by Fannie Mae 6.000% due 05/15/2011 valued at $12,296. Repurchase proceeds are $12,000.) State Street Bank and Trust Co. 0.010% due 07/01/2009		1,994		1,994
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $2,035. Repurchase proceeds are $1,994.)
				15,894
U.S. TREASURY BILLS 2.7%
1.120% due 07/02/2009 - 07/30/2009 (b)(g)		13,198		13,197
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 15.5%
		7,528,904		75,357
Total Short-Term Instruments (Cost $104,447)				104,448
PURCHASED OPTIONS (i) 0.0% (Cost $7)				0
Total Investments 98.6% (Cost $491,524)			$	479,847
Written Options (j) (0.0%) (Premiums $134)				(121	)
Other Assets and Liabilities (Net) 1.4%				6,986
Net Assets 100.0%			$	486,712

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $462 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $115,988 at a weighted average interest rate of 0.597%. On June 30, 2009, there were no open reverse repurchase agreements.

(g) Securities with an aggregate market value of $45,720 and cash of $3,966 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	10	$	9
90-Day Euribor March Futures	Long	03/2010	15		20
90-Day Eurodollar December Futures	Long	12/2009	171		614
90-Day Eurodollar December Futures	Long	12/2010	85		(65	)
90-Day Eurodollar June Futures	Long	06/2010	92		48
90-Day Eurodollar March Futures	Long	03/2010	77		510
90-Day Eurodollar March Futures	Long	03/2011	81		(99	)
90-Day Eurodollar September Futures	Long	09/2009	338		2,356
90-Day Eurodollar September Futures	Long	09/2010	92		8
E-mini S&P 500 Index September Futures	Short	09/2009	790		987
S&P 500 Index September Futures	Short	09/2009	1,914		8,906
U.S. Treasury 5-Year Note September Futures	Long	09/2009	6		(12	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	7		(6	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	7		(1	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	3		2
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	4		(5	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	7		(4	)
				$	13,268

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Mexico Government International Bond	JPM	3.030	%	12/20/2009	1.180	%	$	1,000	$	10	$	0	$	10

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-9 5-Year Index 30-100%	BCLY	0.757	%	12/20/2012	$	486	$	7	$	0	$	7
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017		2,334		9		0		9
CDX.IG-10 5-Year Index 30-100%	DUB	0.530	%	06/20/2013		972		8		0		8
							$	24	$	0	$	24

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	BCLY	BRL	900	$	(4	)	$	0		$	(4	)
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	JPM		600		(3	)		0			(3	)
Pay	1-Year BRL-CDI	10.610	%	01/02/2012	HSBC		1,400		(6	)		0			(6	)
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA	$	6,100		259			119			140
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	BOA		1,200		60			44			16
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	CITI		4,300		215			155			60
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	DUB		1,200		60			38			22
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	BOA		200		1			(4	)		5
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		700		1			(12	)		13
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	BNP	EUR	1,400		160			(21	)		181
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC	GBP	500		55			5			50
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	CSFB		9,200		1,027			(117	)		1,144
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	DUB		500		56			0			56
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	RBS		7,900		882			(94	)		976
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	RBS		1,400		183			(1	)		184
								$	2,946		$	112		$	2,834

Total Return Swaps on Indices

Pay/Receive Total Return on Reference Index	Index	# of Shares or Units	Floating Rate(5)	Notional Amount		Maturity Date	Counterparty	Unrealized (Depreciation)
Receive	eRAFI 1000 Index	1,319,523	1-Month USD-LIBOR plus 0.300%	$	109,130	03/12/2010	CSFB	$	(945	)
Receive	eRAFI 1000 Index	1,051,105	1-Month USD-LIBOR plus 0.310%		86,466	02/26/2010	JPM		(312	)
Receive	eRAFI 1000 Index	2,348,124	1-Month USD-LIBOR plus 0.300%		194,199	10/15/2009	MLP		(1,581	)
Receive	eRAFI 1000 Index	1,035,004	1-Month USD-LIBOR plus 0.170%		85,142	08/31/2009	UBS		(297	)
								$	(3,135	)

⁽⁵⁾ 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, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Market Value
Call - CME S&P 500 Index September Futures	$	1,450.000	09/17/2009	380	$	6	$	0

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC Fannie Mae 5.500% due 07/01/2039	$	87.500	07/06/2009	$	8,000	$	1	$	0
Put - OTC Fannie Mae 5.500% due 07/01/2039		93.000	07/06/2009		2,000		0		0
						$	1	$	0

(j) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	56	$	14	$	2

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate	Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000%	07/27/2009	$	1,000	$	4	$	1
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400%	08/03/2009		1,500		7		3
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550%	08/03/2009		1,500		7		2
Put - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	3.750%	11/23/2009		8,000		78		104
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000%	07/27/2009		1,000		4		1
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000%	07/27/2009		1,500		7		1
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400%	08/03/2009		3,500		13		7
								$	120	$	119

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	6.000	%	07/01/2039	$	5,000	$	5,200	$	5,226

(l) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	DUB	208	07/2009	$	2	$	0		$	2
Buy	BRL	HSBC	2,816	08/2009		91		0			91
Buy		MLP	886	08/2009		37		0			37
Buy	CAD	JPM	390	08/2009		0		(21	)		(21	)
Buy	CNY	BCLY	4,654	07/2009		0		(37	)		(37	)
Sell		BCLY	3,553	07/2009		0		(21	)		(21	)
Sell		CITI	4,707	07/2009		0		(23	)		(23	)
Buy		DUB	14,457	07/2009		0		(117	)		(117	)
Sell		DUB	14,072	07/2009		0		(57	)		(57	)
Buy		HSBC	12,348	07/2009		23		(33	)		(10	)
Sell		HSBC	2,410	07/2009		0		(12	)		(12	)
Buy		JPM	4,507	07/2009		0		(39	)		(39	)
Sell		JPM	11,224	07/2009		0		(46	)		(46	)
Buy		BCLY	1,326	09/2009		3		0			3
Sell		BCLY	4,139	09/2009		0		(15	)		(15	)
Buy		CITI	833	09/2009		2		0			2
Sell		CITI	4,260	09/2009		0		(14	)		(14	)
Buy		DUB	3,950	09/2009		9		0			9
Buy		HSBC	1,803	09/2009		4		0			4
Sell		HSBC	84	09/2009		0		0			0
Buy		JPM	690	09/2009		1		0			1
Sell		JPM	119	09/2009		0		(1	)		(1	)
Buy		JPM	1,968	03/2010		0		(1	)		(1	)
Sell	EUR	BCLY	3,158	07/2009		0		(24	)		(24	)
Sell		GSC	49	07/2009		0		0			0
Sell	GBP	BCLY	9	07/2009		0		0			0
Sell		CITI	2,226	07/2009		0		(218	)		(218	)
Sell		GSC	15	07/2009		0		(1	)		(1	)
Buy		JPM	2,296	07/2009		0		(18	)		(18	)
Buy		RBS	19	07/2009		1		0			1
Sell		RBS	65	07/2009		0		(1	)		(1	)
Sell		JPM	2,296	08/2009		18		0			18
Sell	SGD	BOA	202	07/2009		0		(6	)		(6	)
Buy		HSBC	202	07/2009		0		0			0
					$	191	$	(705	)	$	(514	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)			Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	153,534		$	0		$	153,534
U.S. Government Agencies		0		130,868			0			130,868
U.S. Treasury Obligations		0		34,361			0			34,361
Asset-Backed Securities		0		28,346			0			28,346
Short-Term Instruments		75,357		29,091			0			104,448
Other Investments++		1,962		26,328			0			28,290
Investments, at value	$	77,319	$	402,528		$	0		$	479,847
Short Sales, at value	$	0	$	(5,226	)	$	0		$	(5,226	)
Financial Derivative Instruments+++	$	13,268	$	651		$	(1,553	)	$	12,366
Total	$	90,587	$	397,953		$	(1,553	)	$	486,987

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 07/31/2008		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3		Ending Balance at 03/31/2009
Investments, at value	$	0	$	0	$	0	$	0	$	0		$	0	$	0
Financial Derivative Instruments+++		13,181		0		0		0		(20,553	)		5,819		(1,553	)
Total	$	13,181	$	0	$	0	$	0	$	(20,553	)	$	5,819	$	(1,553	)

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Fundamental IndexPLUS^TM Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 1.9%
HCA, Inc.
2.848% due 11/18/2013	$	1,510	$	1,367
Total Bank Loan Obligations (Cost $1,510)				1,367
CORPORATE BONDS & NOTES 15.9%
BANKING & FINANCE 12.7%
American General Finance Corp.
4.875% due 05/15/2010		800		673
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		100		97
8.625% due 11/01/2010		100		94
Foundation Re II Ltd.
7.576% due 11/26/2010		500		468
Goldman Sachs Group, Inc.
1.059% due 03/22/2016		300		255
1.501% due 07/22/2015		100		86
International Lease Finance Corp.
5.625% due 09/15/2010		100		90
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		300		293
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		3,000		458
3.005% due 07/18/2011 (a)		200		30
Macquarie Bank Ltd.
2.600% due 01/20/2012		1,400		1,409
Marshall & Ilsley Corp.
5.626% due 08/17/2009		300		299
Morgan Stanley
1.611% due 10/15/2015		400		343
Osiris Capital PLC
3.981% due 01/15/2010		700		686
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		2,800		2,797
2.625% due 05/11/2012		800		807
				8,885
INDUSTRIALS 2.5%
Daimler Finance North America LLC
1.466% due 08/03/2009		200		199
5.750% due 09/08/2011		400		409
Hospira, Inc.
1.078% due 03/30/2010		600		595
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		10		10
Pemex Project Funding Master Trust
1.250% due 12/03/2012		200		188
Reynolds American, Inc.
1.329% due 06/15/2011		400		374
				1,775
UTILITIES 0.7%
AT&T, Inc.
1.116% due 02/05/2010		500		501
Total Corporate Bonds & Notes (Cost $13,895)				11,161
MUNICIPAL BONDS & NOTES 0.4%
Louisiana State Revenue Bonds, Series 2009
2.809% due 05/01/2043 (b)		300		300
Total Municipal Bonds & Notes (Cost $300)				300
U.S. GOVERNMENT AGENCIES 78.1%
Fannie Mae
0.374% due 12/25/2036		398		359
0.414% due 01/25/2021		472		462
0.664% due 09/25/2042		112		105
0.714% due 05/25/2031		135		133
2.638% due 07/01/2044		98		96
3.392% due 11/01/2035		32		33
3.512% due 05/01/2035		60		61
3.782% due 09/01/2036 (f)		694		714
3.785% due 05/01/2036 (f)		680		696
3.820% due 07/01/2036 (f)		646		661
3.873% due 05/01/2035		55		56
3.904% due 08/01/2036 (f)		711		727
4.471% due 07/01/2034		19		19
4.486% due 11/01/2034		36		38
4.558% due 07/01/2035 (f)		157		160
4.600% due 07/01/2034		26		27
4.676% due 10/01/2034		14		14
4.885% due 09/01/2035 (f)		83		85
4.968% due 06/01/2035 (f)		335		347
5.025% due 11/01/2035 (f)		120		123
5.082% due 12/01/2033		45		46
5.220% due 08/01/2035 (f)		1,108		1,138
6.000% due 10/01/2037 - 07/01/2039		7,794		8,147
6.000% due 10/01/2037 - 10/01/2038 (f)		2,515		2,633
Freddie Mac
0.354% due 12/25/2036		1,568		1,492
0.641% due 08/24/2010 (e)		365		366
0.669% due 12/15/2030		30		29
0.719% due 06/15/2018		20		20
0.926% due 05/04/2011		1,897		1,902
0.937% due 08/05/2011 (e)		32,530		32,542
2.639% due 02/25/2045		81		77
4.700% due 06/01/2035 (f)		176		181
4.710% due 08/01/2035 (f)		245		250
5.000% due 07/15/2024		87		88
5.500% due 10/01/2035		200		208
6.000% due 01/01/2037 - 07/01/2039		836		873
Total U.S. Government Agencies (Cost $54,832)				54,908
MORTGAGE-BACKED SECURITIES 19.0%
Banc of America Funding Corp.
6.102% due 01/20/2047		987		525
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		613		473
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		1,003		554
5.714% due 12/26/2046		559		340
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		5		4
Citigroup Mortgage Loan Trust, Inc.
2.850% due 12/25/2035		45		37
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		38		37
First Horizon Asset Securities, Inc.
5.365% due 08/25/2035		696		530
GMAC Mortgage Corp. Loan Trust
5.468% due 11/19/2035		47		31
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		419		345
0.394% due 01/25/2047		584		444
0.584% due 11/25/2045		22		10
Greenpoint Mortgage Pass-Through Certificates
4.826% due 10/25/2033		524		397
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		700		601
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		159		147
0.533% due 05/19/2035		48		21
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		133		124
0.414% due 01/25/2037		39		38
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		33		29
Mellon Residential Funding Corp.
0.759% due 12/15/2030		290		234
Merrill Lynch Floating Trust
0.389% due 06/15/2022		1,719		1,207
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		501		271
MLCC Mortgage Investors, Inc.
3.145% due 01/25/2029		247		195
Morgan Stanley Capital I
0.380% due 10/15/2020		246		182
Structured Adjustable Rate Mortgage Loan Trust
5.334% due 01/25/2035		1,041		700
5.516% due 08/25/2035		452		295
Structured Asset Mortgage Investments, Inc.
0.563% due 07/19/2035		222		145
0.594% due 02/25/2036		62		29
Structured Asset Securities Corp.
4.504% due 10/25/2035		183		126
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		1,049		772
0.409% due 09/15/2021		1,063		766
WaMu Mortgage Pass-Through Certificates
0.584% due 12/25/2045		32		15
0.604% due 10/25/2045		33		17
0.954% due 12/25/2027		1,140		881
2.070% due 01/25/2047		360		160
2.340% due 02/25/2046		2,349		1,048
2.540% due 11/25/2042		62		36
2.674% due 05/25/2041		12		10
2.877% due 02/27/2034		488		400
3.127% due 10/25/2046		415		186
3.127% due 12/25/2046		2,423		1,030
Total Mortgage-Backed Securities (Cost $20,969)				13,392
ASSET-BACKED SECURITIES 0.8%
Countrywide Asset-Backed Certificates
0.374% due 03/25/2037		31		30
Indymac Residential Asset-Backed Trust
0.374% due 04/25/2037		105		99
Lehman XS Trust
0.384% due 05/25/2046		1		1
0.434% due 11/25/2036		165		161
Morgan Stanley IXIS Real Estate Capital Trust
0.364% due 11/25/2036		116		111
SBI HELOC Trust
0.484% due 08/25/2036		40		36
Securitized Asset-Backed Receivables LLC Trust
0.364% due 09/25/2036		111		98
Total Asset-Backed Securities (Cost $569)				536
SOVEREIGN ISSUES 0.1%
Korea Development Bank
0.996% due 11/22/2012		100		88
Total Sovereign Issues (Cost $100)				88
FOREIGN CURRENCY-DENOMINATED ISSUES 2.6%
ASB Finance Ltd.
1.349% due 02/13/2012	EUR	500		644
Principal Financial Global Funding LLC
2.750% due 07/12/2010	CHF	200		179
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	100,000		976
Total Foreign Currency-Denominated Issues (Cost $1,586)				1,799
		SHARES
CONVERTIBLE PREFERRED STOCKS 0.4%
General Motors Corp.
5.250% due 03/06/2032		96,000		277
Lehman Brothers Holdings, Inc.
8.750% due 07/01/2011 (a)		1,400		1
Total Convertible Preferred Stocks (Cost $1,700)				278
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 14.9%
REPURCHASE AGREEMENTS 0.9%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	587		587
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $600. Repurchase proceeds are $587.)
U.S. TREASURY BILLS 1.6%
0.111% due 07/02/2009 - 07/23/2009 (c)(e)(g)		1,139		1,139
		SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 12.4%
		870,509		8,713
Total Short-Term Instruments (Cost $10,439)				10,439
Total Investments 134.1% (Cost $105,900)			$	94,268
Written Options (i) (0.0%) (Premiums $31)				(14	)
Other Assets and Liabilities (Net) (34.1%)				(23,977	)
Net Assets 100.0%			$	70,277

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $6,068 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $16,580 at a weighted average interest rate of 0.434%. On June 30, 2009, securities valued at $7,120 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $449 and cash of $89 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
90-Day Euribor December Futures	Long	12/2009	2	$	2
90-Day Euribor March Futures	Long	03/2010	2		2
90-Day Eurodollar December Futures	Long	12/2009	99		206
90-Day Eurodollar March Futures	Long	03/2010	24		145
90-Day Eurodollar September Futures	Long	09/2009	3		1
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	21		143
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Put Options Strike @ GBP 93.000	Short	09/2009	198		141
				$	640

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American International Group, Inc.	BOA	0.910	%	12/20/2012	16.302	%	$	400	$	(144	)	$	0		$	(144	)
American International Group, Inc.	BOA	0.930	%	12/20/2012	16.302	%		600		(216	)		0			(216	)
American International Group, Inc.	RBS	0.780	%	12/20/2012	16.302	%		400		(145	)		0			(145	)
Berkshire Hathaway Finance Corp.	BCLY	1.000	%	03/20/2013	2.416	%		300		(14	)		0			(14	)
CIT Group, Inc.	JPM	5.750	%	03/20/2013	17.180	%		800		(207	)		0			(207	)
Ford Motor Credit Co. LLC	GSC	3.850	%	09/20/2012	10.284	%		100		(16	)		0			(16	)
General Electric Capital Corp.	BCLY	5.000	%	06/20/2012	4.175	%		200		5			4			1
General Electric Capital Corp.	BNP	4.600	%	12/20/2013	4.336	%		600		6			0			6
General Electric Capital Corp.	BNP	4.700	%	12/20/2013	4.336	%		300		4			0			4
General Electric Capital Corp.	BOA	5.000	%	06/20/2014	4.176	%		100		4			4			0
General Electric Capital Corp.	DUB	5.000	%	06/20/2014	4.176	%		100		3			4			(1	)
General Electric Capital Corp.	MSC	5.500	%	12/20/2009	3.899	%		400		4			0			4
General Electric Capital Corp.	RBS	1.100	%	09/20/2009	3.899	%		100		(1	)		0			(1	)
GMAC LLC	GSC	3.200	%	09/20/2012	10.203	%		300		(51	)		0			(51	)
GMAC LLC	JPM	3.670	%	09/20/2012	10.203	%		1,000		(159	)		0			(159	)
GMAC LLC	MLP	1.850	%	09/20/2009	13.784	%		1,100		(29	)		0			(29	)
JSC Gazprom	BCLY	0.740	%	01/20/2012	5.037	%		800		(78	)		0			(78	)
JSC Gazprom	DUB	1.000	%	10/20/2011	5.065	%		400		(34	)		0			(34	)
MBIA, Inc.	BOA	2.800	%	12/20/2012	37.168	%		400		(228	)		0			(228	)
MBIA, Inc.	DUB	3.400	%	12/20/2012	44.795	%		400		(253	)		0			(253	)
MetLife, Inc.	JPM	1.700	%	03/20/2013	5.554	%		600		(71	)		0			(71	)
Michigan State General Obligation Notes, Series 2003	GSC	0.440	%	03/20/2018	2.850	%		500		(55	)		0			(55	)
New York City, New York General Obligation Notes, Series 2007	GSC	0.450	%	03/20/2018	2.450	%		500		(49	)		0			(49	)
Prudential Financial, Inc.	BCLY	1.800	%	03/20/2013	5.559	%		800		(92	)		0			(92	)
Prudential Financial, Inc.	CSFB	1.870	%	03/20/2013	5.559	%		500		(57	)		0			(57	)
Prudential Financial, Inc.	RBS	1.900	%	03/20/2013	5.559	%		300		(34	)		0			(34	)
Prudential Financial, Inc.	RBS	2.350	%	03/20/2013	5.559	%		300		(29	)		0			(29	)
SLM Corp.	BOA	5.000	%	12/20/2011	8.365	%		100		(7	)		(7	)		0
									$	(1,943	)	$	5		$	(1,948	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	03/30/2012	GSC	EUR	300	$	6		$	0		$	6
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	04/05/2012	BCLY		200		3			0			3
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	2,400		2			0			2
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		1,500		2			0			2
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		600		1			0			1
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		900		15			1			14
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		800		16			1			15
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		1,000		(13	)		(18	)		5
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	BCLY		1,500		23			(1	)		24
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	UBS		1,600		25			(1	)		26
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		200		8			1			7
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC	GBP	800		30			(9	)		39
								$	118		$	(26	)	$	144

Total Return Swaps on Indices

Pay/Receive Total Return on Reference Index	Index	# of Shares or Units	Floating Rate(4)	Notional Amount		Maturity Date	Counterparty	Unrealized Appreciation/ (Depreciation)
Receive	eRAFI 1000 Index	13,292	1-Month USD-LIBOR plus 0.300%	$	1,099	03/12/2010	CSFB	$	(10	)
Pay	eRAFI 1000 Index	162,719	1-Month USD-LIBOR plus 0.230%		17,005	08/17/2009	MLP		3,664
Receive	eRAFI 1000 Index	317,787	1-Month USD-LIBOR plus 0.230%		33,219	08/17/2009	MLP		(7,165	)
Pay	eRAFI 1000 Index	395,403	1-Month USD-LIBOR plus 0.230%		44,450	09/18/2009	MLP		12,033
Receive	eRAFI 1000 Index	400,000	1-Month USD-LIBOR plus 0.230%		44,970	09/18/2009	MLP		(12,177	)
Receive	eRAFI 1000 Index	669,927	1-Month USD-LIBOR plus 0.300%		55,406	10/15/2009	MLP		(479	)
								$	(4,134	)

⁽⁴⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(i) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	30	$	9	$	1

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009	$	500	$	2	$	1
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		500		2		1
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		2,000		18		11
									$	22	$	13

(j) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	6.000	%	07/01/2039	$	12,000	$	12,486	$	12,542

(k) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	HSBC	271	08/2009	$	9	$	0		$	9
Sell		HSBC	1,966	08/2009		0		(101	)		(101	)
Buy		MLP	193	08/2009		8		0			8
Buy	CAD	JPM	90	08/2009		0		(5	)		(5	)
Buy	CNY	BCLY	2,857	07/2009		0		(23	)		(23	)
Sell		BCLY	12,827	07/2009		0		(25	)		(25	)
Sell		CITI	1,014	07/2009		0		(4	)		(4	)
Buy		DUB	8,565	07/2009		0		(69	)		(69	)
Sell		DUB	4,470	07/2009		0		(15	)		(15	)
Buy		HSBC	6,110	07/2009		9		(21	)		(12	)
Sell		HSBC	873	07/2009		0		(4	)		(4	)
Buy		JPM	2,229	07/2009		0		(19	)		(19	)
Sell		JPM	577	07/2009		0		(4	)		(4	)
Buy		BCLY	997	09/2009		2		0			2
Sell		BCLY	2,917	09/2009		0		(10	)		(10	)
Buy		CITI	625	09/2009		2		0			2
Sell		CITI	2,810	09/2009		0		(10	)		(10	)
Buy		DUB	2,910	09/2009		6		0			6
Buy		HSBC	1,317	09/2009		3		0			3
Sell		HSBC	273	09/2009		0		(1	)		(1	)
Buy		JPM	552	09/2009		1		0			1
Sell		JPM	400	09/2009		0		(2	)		(2	)
Buy		HSBC	203	03/2010		0		0			0
Buy		JPM	609	03/2010		0		(1	)		(1	)
Buy	EUR	BCLY	539	07/2009		2		0			2
Sell		BCLY	966	07/2009		0		(7	)		(7	)
Buy		GSC	184	07/2009		0		(2	)		(2	)
Sell		RBC	8	07/2009		0		0			0
Sell	GBP	CITI	427	07/2009		0		(42	)		(42	)
Buy		RBS	312	07/2009		8		0			8
Sell		MSC	115	08/2009		1		0			1
Sell	JPY	BNP	91,701	07/2009		0		(1	)		(1	)
Sell		MSC	91,701	08/2009		0		0			0
Buy	SGD	HSBC	304	07/2009		0		0			0
Sell		HSBC	304	07/2009		0		(10	)		(10	)
					$	51	$	(376	)	$	(325	)

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)			Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	11,161		$	0		$	11,161
U.S. Government Agencies		0		54,908			0			54,908
Mortgage-Backed Securities		0		13,266			126			13,392
Short-Term Instruments		8,713		1,726			0			10,439
Other Investments++		0		3,392			976			4,368
Investments, at value	$	8,713	$	84,453		$	1,102		$	94,268
Short Sales, at value	$	0	$	(12,542	)	$	0		$	(12,542	)
Financial Derivative Instruments+++	$	640	$	(2,632	)	$	(3,645	)	$	(5,637	)
Total	$	9,353	$	69,279		$	(2,543	)	$	76,089

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
Mortgage-Backed Securities	$	0		$	(7	)	$	0	$	0	$	20	$	113	$	126
Other Investments++		951			0			0		0		25		0		976
Investments, at value	$	951		$	(7	)	$	0	$	0	$	45	$	113	$	1,102
Financial Derivative Instruments+++	$	(43,801	)	$	0		$	0	$	0	$	40,152	$	4	$	(3,645	)
Total	$	(42,850	)	$	(7	)	$	0	$	0	$	40,197	$	117	$	(2,543	)

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Fundamental IndexPLUS^TM TR Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.7%
HCA, Inc.
2.848% due 11/18/2013	$	2,098	$	1,898
Total Bank Loan Obligations (Cost $2,097)				1,898
CORPORATE BONDS & NOTES 23.7%
BANKING & FINANCE 16.6%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		700		725
American Express Centurion Bank
5.550% due 10/17/2012		1,100		1,100
American Express Credit Corp.
5.875% due 05/02/2013		700		696
American General Finance Corp.
6.900% due 12/15/2017		1,600		868
American International Group, Inc.
5.050% due 10/01/2015		100		54
5.850% due 01/16/2018		4,000		2,119
Bank of America Corp.
0.813% due 09/18/2009		200		200
1.213% due 08/15/2016		400		314
Barclays Bank PLC
6.050% due 12/04/2017		1,000		869
Bear Stearns Cos. LLC
6.950% due 08/10/2012		2,400		2,611
7.250% due 02/01/2018		500		528
Calabash Re Ltd.
9.024% due 01/08/2010		1,200		1,145
CIT Group, Inc.
0.974% due 08/17/2009		300		292
Comerica Bank
0.771% due 05/24/2011		2,800		2,585
Deutsche Bank AG
1.154% due 02/17/2015		2,700		2,362
DnB NOR Bank ASA
1.209% due 10/13/2009		1,000		994
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		1,000		865
7.375% due 02/01/2011		1,700		1,540
Foundation Re II Ltd.
7.576% due 11/26/2010		1,400		1,311
HSBC Holdings PLC
6.500% due 05/02/2036		1,900		1,859
ICICI Bank Ltd.
1.679% due 01/12/2010		1,800		1,764
JPMorgan Chase & Co.
6.000% due 01/15/2018		900		896
7.900% due 04/29/2049		500		439
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		1,700		1,657
Lehman Brothers Holdings, Inc.
2.950% due 05/25/2010 (a)		100		15
3.011% due 12/23/2010 (a)		900		137
6.200% due 09/26/2014 (a)		400		61
Lloyds Banking Group PLC
5.920% due 09/29/2049		100		36
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		2,200		2,039
Morgan Stanley
3.006% due 05/14/2010		1,500		1,496
National Australia Bank Ltd.
0.688% due 09/11/2009		800		799
5.350% due 06/12/2013		800		825
Northern Rock PLC
5.625% due 06/22/2017		2,800		2,454
Petroleum Export Ltd.
5.265% due 06/15/2011		53		51
Principal Life Income Funding Trusts
5.550% due 04/27/2015		1,000		990
Resona Bank Ltd.
5.850% due 09/29/2049		200		151
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		5,900		5,894
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		900		667
Societe Financement de l’Economie Francaise
2.375% due 03/26/2012		600		606
Societe Generale
5.922% due 04/29/2049		600		373
Sun Life Financial Global Funding LP
0.845% due 07/06/2010		1,009		980
TNK-BP Finance S.A.
6.125% due 03/20/2012		200		186
TransCapitalInvest Ltd. for OJSC AK Transneft
8.700% due 08/07/2018		300		289
UBS AG
5.750% due 04/25/2018		600		547
5.875% due 12/20/2017		700		653
				47,042
INDUSTRIALS 5.6%
Amgen, Inc.
6.900% due 06/01/2038		314		357
AstraZeneca PLC
5.900% due 09/15/2017		400		429
6.450% due 09/15/2037		300		333
C8 Capital SPV Ltd.
6.640% due 12/29/2049		5,100		2,618
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		400		410
CODELCO, Inc.
6.150% due 10/24/2036		100		98
Comcast Corp.
5.875% due 02/15/2018		300		305
6.450% due 03/15/2037		300		296
Gaz Capital S.A.
6.212% due 11/22/2016		200		168
International Business Machines Corp.
1.652% due 07/28/2011		2,000		2,013
5.700% due 09/14/2017		742		789
Kraft Foods, Inc.
6.125% due 02/01/2018		800		829
Peabody Energy Corp.
7.875% due 11/01/2026		300		260
Roche Holdings, Inc.
2.661% due 02/25/2011		2,400		2,428
7.000% due 03/01/2039		127		148
Rohm & Haas Co.
6.000% due 09/15/2017		500		448
Time Warner, Inc.
5.875% due 11/15/2016		2,100		2,072
TransCanada Pipelines Ltd.
7.625% due 01/15/2039		300		351
UnitedHealth Group, Inc.
4.875% due 02/15/2013		700		708
Williams Cos., Inc.
6.375% due 10/01/2010		700		700
				15,760
UTILITIES 1.5%
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		600		594
NGPL PipeCo. LLC
6.514% due 12/15/2012		800		840
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		250		210
Verizon Wireless Capital LLC
3.316% due 05/20/2011		2,600		2,677
				4,321
Total Corporate Bonds & Notes (Cost $73,359)				67,123
U.S. GOVERNMENT AGENCIES 111.1%
Fannie Mae
0.374% due 12/25/2036		531		479
0.664% due 09/25/2042		825		768
2.638% due 06/01/2043 - 07/01/2044		727		722
3.392% due 11/01/2035		259		264
3.622% due 03/01/2035		75		78
3.992% due 12/01/2033		426		431
4.203% due 07/01/2035		627		643
4.453% due 01/01/2035		890		919
4.474% due 07/01/2034		668		685
4.500% due 06/01/2023 - 08/01/2035		2,295		2,364
4.558% due 07/01/2035		848		867
4.631% due 05/25/2035		147		147
4.676% due 10/01/2034		127		131
4.816% due 10/01/2035		408		424
4.827% due 06/01/2035		1,560		1,616
4.885% due 09/01/2035		538		552
4.968% due 06/01/2035		1,507		1,561
5.000% due 06/25/2027 - 10/01/2035		988		1,010
5.000% due 06/01/2035 - 05/01/2036 (f)		36,533		37,311
5.076% due 09/01/2035		822		844
5.082% due 12/01/2033		234		241
5.500% due 02/01/2014 - 05/01/2037		4,523		4,698
5.500% due 07/01/2035 - 02/01/2038 (f)		14,092		14,596
6.000% due 02/01/2029 - 07/01/2039		24,688		25,879
6.000% due 08/01/2035 - 07/01/2038 (f)		64,283		67,314
6.500% due 08/01/2029 - 07/01/2039		642		684
Freddie Mac
0.469% due 07/15/2019		1,319		1,294
0.574% due 08/25/2031		179		144
0.641% due 08/24/2010 (e)		32		32
0.719% due 06/15/2018		120		118
0.926% due 05/04/2011 (e)		50,966		51,097
0.937% due 08/05/2011 (e)		6,000		6,002
2.639% due 02/25/2045		81		77
4.700% due 06/01/2035		1,361		1,402
4.710% due 08/01/2035		1,147		1,168
4.732% due 11/01/2034		722		739
4.886% due 10/01/2035		876		898
5.338% due 09/01/2035		349		358
5.500% due 12/01/2037 - 11/01/2038 (f)		63,615		65,748
5.500% due 02/01/2038 - 09/01/2038		733		757
6.000% due 07/01/2039		7,800		8,142
Ginnie Mae
6.000% due 05/15/2037 - 09/15/2038		1,020		1,064
Small Business Administration
5.290% due 12/01/2027		622		651
5.490% due 03/01/2028		4,694		4,935
5.600% due 09/01/2028		4,505		4,789
Total U.S. Government Agencies (Cost $306,202)				314,643
U.S. TREASURY OBLIGATIONS 7.4%
Treasury Inflation Protected Securities (c)
1.875% due 07/15/2013		4,534		4,649
3.000% due 07/15/2012		8,194		8,683
U.S. Treasury Bonds
4.250% due 05/15/2039		7,600		7,517
U.S. Treasury Notes
0.875% due 04/30/2011 (g)		20		20
Total U.S. Treasury Obligations (Cost $20,047)				20,869
MORTGAGE-BACKED SECURITIES 10.5%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		223		176
Banc of America Commercial Mortgage, Inc.
5.929% due 05/10/2045		900		753
Bear Stearns Adjustable Rate Mortgage Trust
4.740% due 10/25/2035		955		921
5.106% due 01/25/2034		1,394		1,071
Bear Stearns Alt-A Trust
0.474% due 02/25/2034		726		412
5.490% due 09/25/2035		188		102
Bear Stearns Commercial Mortgage Securities
5.331% due 02/11/2044		100		81
5.471% due 01/12/2045		300		250
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		694		384
Citigroup Mortgage Loan Trust, Inc.
2.850% due 12/25/2035		451		368
4.700% due 12/25/2035		270		218
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		900		659
Countrywide Alternative Loan Trust
0.494% due 05/25/2047		693		261
0.594% due 02/25/2037		3,123		1,423
4.500% due 06/25/2035		297		290
Countrywide Home Loan Mortgage Pass-Through Trust
5.250% due 02/20/2036		185		126
Credit Suisse Mortgage Capital Certificates
5.846% due 03/15/2039		100		72
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		221		222
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.394% due 02/25/2037		1,432		1,324
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		606		499
0.394% due 01/25/2047		759		577
Greenwich Capital Commercial Funding Corp.
4.799% due 08/10/2042		100		85
5.444% due 03/10/2039		500		400
GS Mortgage Securities Corp. II
5.993% due 08/10/2045		900		683
GSR Mortgage Loan Trust
4.469% due 09/25/2035		1,577		1,329
5.241% due 11/25/2035		1,218		949
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		208		196
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		298		278
0.414% due 01/25/2037		52		50
4.317% due 01/25/2036		649		312
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		2,900		2,143
5.882% due 02/15/2051		300		225
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		276		278
Mellon Residential Funding Corp.
0.759% due 12/15/2030		2,136		1,722
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		1,500		1,351
5.485% due 03/12/2051		600		404
Merrill Lynch Floating Trust
0.389% due 06/15/2022		2,717		1,908
Morgan Stanley Capital I
5.364% due 03/15/2044		2,500		1,901
5.809% due 12/12/2049		100		76
Structured Adjustable Rate Mortgage Loan Trust
2.610% due 01/25/2035		507		215
5.073% due 08/25/2034		944		670
Structured Asset Mortgage Investments, Inc.
0.594% due 02/25/2036		312		143
TBW Mortgage-Backed Pass-Through Certificates
0.424% due 01/25/2037		54		49
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046		702		631
0.434% due 09/25/2046		1,153		1,058
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		1,926		1,388
5.509% due 04/15/2047		400		266
WaMu Mortgage Pass-Through Certificates
0.604% due 10/25/2045		98		51
2.540% due 11/25/2042		93		54
2.674% due 05/25/2041		90		73
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		1,065		754
Total Mortgage-Backed Securities (Cost $39,150)				29,831
ASSET-BACKED SECURITIES 4.4%
ACE Securities Corp.
0.364% due 12/25/2036		188		138
0.394% due 10/25/2036		38		37
Asset-Backed Funding Certificates
0.374% due 11/25/2036		167		160
Asset-Backed Securities Corp. Home Equity
0.589% due 09/25/2034		151		98
Bear Stearns Asset-Backed Securities Trust
0.364% due 11/25/2036		461		406
Countrywide Asset-Backed Certificates
0.364% due 05/25/2037		1,982		1,875
0.364% due 03/25/2047		66		64
0.364% due 05/25/2047		273		248
0.374% due 03/25/2037		101		98
0.384% due 06/25/2047		419		388
0.394% due 06/25/2037		365		338
0.424% due 10/25/2046		177		167
Credit-Based Asset Servicing & Securitization LLC
0.374% due 11/25/2036		386		315
First Franklin Mortgage Loan Asset-Backed Certificates
0.364% due 11/25/2036		509		480
0.364% due 12/25/2036		5		5
Fremont Home Loan Trust
0.364% due 10/25/2036		896		560
0.374% due 01/25/2037		359		233
HFC Home Equity Loan Asset-Backed Certificates
0.385% due 03/20/2036		126		123
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		216		131
Indymac Residential Asset-Backed Trust
0.374% due 04/25/2037		149		142
JPMorgan Mortgage Acquisition Corp.
0.364% due 08/25/2036		42		39
0.364% due 10/25/2036		2,016		1,566
Lehman XS Trust
0.384% due 05/25/2046		1		1
Long Beach Mortgage Loan Trust
0.494% due 08/25/2035		36		35
0.594% due 10/25/2034		17		11
MBNA Credit Card Master Note Trust
0.419% due 12/15/2011		2,900		2,900
Merrill Lynch Mortgage Investors, Inc.
0.384% due 08/25/2036		221		220
Morgan Stanley ABS Capital I
0.354% due 10/25/2036		114		107
0.364% due 10/25/2036		110		102
Option One Mortgage Loan Trust
0.354% due 02/25/2037		50		50
Park Place Securities, Inc.
0.626% due 10/25/2034		665		497
Residential Asset Mortgage Products, Inc.
0.394% due 10/25/2036		98		97
Residential Asset Securities Corp.
0.384% due 11/25/2036		84		83
SBI HELOC Trust
0.484% due 08/25/2036		141		127
Soundview Home Equity Loan Trust
0.394% due 01/25/2037		455		443
Structured Asset Securities Corp.
0.364% due 10/25/2036		265		242
Total Asset-Backed Securities (Cost $14,249)				12,526
SOVEREIGN ISSUES 0.4%
Brazil Government International Bond
8.000% due 01/15/2018		600		675
China Development Bank Corp.
5.000% due 10/15/2015		100		104
Export-Import Bank of China
4.875% due 07/21/2015		100		104
Mexico Government International Bond
5.950% due 03/19/2019		300		304
Total Sovereign Issues (Cost $1,031)				1,187
FOREIGN CURRENCY-DENOMINATED ISSUES 3.5%
Bear Stearns Cos. LLC
1.445% due 09/26/2013	EUR	1,500		1,931
Brazil Government International Bond
10.250% due 01/10/2028	BRL	600		303
Citigroup Capital XVIII
6.829% due 06/28/2067	GBP	2,400		2,073
Fortis Bank Nederland Holding NV
3.000% due 04/17/2012	EUR	100		142
General Electric Capital Corp.
5.500% due 09/15/2067		3,400		2,767
KeyCorp
1.444% due 11/22/2010		1,500		1,891
LeasePlan Corp. NV
3.125% due 02/10/2012		400		569
Swedbank AB
3.625% due 12/02/2011		100		145
Total Foreign Currency-Denominated Issues (Cost $10,967)				9,821
	SHARES
CONVERTIBLE PREFERRED STOCKS 1.5%
American International Group, Inc.
8.500% due 08/01/2011		44,400		423
General Motors Corp.
5.250% due 03/06/2032		80,000		230
Wells Fargo & Co.
7.500% due 12/31/2049		4,700		3,689
Total Convertible Preferred Stocks (Cost $3,894)				4,342
PREFERRED STOCKS 0.7%
DG Funding Trust
1.343% due 12/31/2049		243		2,102
Total Preferred Stocks (Cost $2,585)				2,102
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 9.5%
U.S. TREASURY BILLS 0.3%
0.124% due 07/16/2009 - 07/30/2009 (b)(e)(g)	$	738		738
		SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 9.2%
		2,613,167		26,155
Total Short-Term Instruments (Cost $26,894)				26,893
PURCHASED OPTIONS (i) 1.5% (Cost $1,200)				4,295
Total Investments 174.9% (Cost $501,675)				495,530
Written Options (j) (0.0%) (Premiums $99)				(39	)
Other Assets and Liabilities (Net) (74.9%)				(212,213	)
Net Assets 100.0%			$	283,278

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $15,885 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $275,600 at a weighted average interest rate of 0.414%. On June 30, 2009, securities valued at $159,465 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $458 and cash of $199 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	7	$	6
90-Day Euribor March Futures	Long	03/2010	17		24
90-Day Eurodollar December Futures	Long	12/2009	57		22
90-Day Eurodollar December Futures	Long	12/2010	93		(64	)
90-Day Eurodollar June Futures	Long	06/2010	81		40
90-Day Eurodollar March Futures	Long	03/2010	95		629
90-Day Eurodollar September Futures	Long	09/2009	11		3
90-Day Eurodollar September Futures	Long	09/2010	13		31
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	15		102
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	11		(8	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	11		0
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	7		4
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	4		(5	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	11		(4	)
				$	780

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American Express Co.	DUB	1.750	%	03/20/2013	2.406	%	$	1,300	$	(28	)	$	0		$	(28	)
Brazil Government International Bond	MLP	1.950	%	04/20/2016	1.867	%		300		3			0			3
CIT Group, Inc.	CITI	5.000	%	12/20/2013	16.484	%		700		(203	)		(179	)		(24	)
General Electric Capital Corp.	BCLY	0.620	%	03/20/2011	4.121	%		1,500		(85	)		0			(85	)
General Electric Capital Corp.	BCLY	0.640	%	12/20/2012	4.354	%		1,500		(168	)		0			(168	)
General Electric Capital Corp.	BNP	4.700	%	12/20/2013	4.336	%		700		10			0			10
General Electric Capital Corp.	CITI	4.325	%	12/20/2013	4.336	%		700		0			0			0
General Electric Capital Corp.	DUB	4.750	%	12/20/2013	4.336	%		800		13			0			13
GMAC LLC	JPM	4.850	%	09/20/2012	10.203	%		500		(65	)		0			(65	)
GMAC LLC	MLP	1.850	%	09/20/2009	13.784	%		1,600		(42	)		0			(42	)
JSC Gazprom	BCLY	1.600	%	12/20/2012	4.955	%		1,800		(183	)		0			(183	)
JSC Gazprom	JPM	2.170	%	02/20/2013	4.938	%		1,000		(80	)		0			(80	)
JSC Gazprom	MSC	2.180	%	02/20/2013	4.938	%		400		(32	)		0			(32	)
Mexico Government International Bond	DUB	2.950	%	12/20/2009	1.180	%		1,000		9			0			9
SLM Corp.	CITI	5.000	%	12/20/2013	8.248	%		1,600		(166	)		(228	)		62
SLM Corp.	JPM	4.300	%	03/20/2013	8.375	%		1,900		(218	)		0			(218	)
									$	(1,235	)	$	(407	)	$	(828	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.HY-8 5-Year Index 35-100%	CITI	0.360	%	06/20/2012	$	4,855	$	(233	)	$	0	$	(233	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.401	%	06/20/2012		971		(46	)		0		(46	)
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012		3,014		36			0		36
CDX.IG-9 10-Year Index 30-100%	GSC	0.548	%	12/20/2017		681		3			0		3
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017		1,556		6			0		6
CDX.IG-10 5-Year Index 30-100%	DUB	0.530	%	06/20/2013		972		8			0		8
							$	(226	)	$	0	$	(226	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP	EUR	2,400	$	116		$	(1	)	$	117
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	JPM		800		16			1			15
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS		400		7			0			7
Pay	1-Month EUR-FRCPXTOB Index	1.950	%	03/30/2012	RBS		500		8			0			8
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	03/30/2012	GSC		400		7			0			7
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	04/05/2012	BCLY		200		3			0			3
Pay	1-Month EUR-FRCPXTOB Index	1.958	%	04/10/2012	JPM		100		2			0			2
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	3,000		2			0			2
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		1,900		3			0			3
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		800		2			0			2
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS		1,300		17			(2	)		19
Pay	1-Year BRL-CDI	12.670	%	01/04/2010	MSC		1,300		17			(2	)		19
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		2,700		47			3			44
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		1,100		21			1			20
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		3,300		(45	)		(60	)		15
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	BCLY		900		(4	)		0			(4	)
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	JPM		600		(3	)		0			(3	)
Pay	1-Year BRL-CDI	10.610	%	01/02/2012	HSBC		1,400		(7	)		0			(7	)
Pay	1-Year BRL-CDI	11.980	%	01/02/2012	MLP		2,900		25			0			25
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MLP		3,200		50			(21	)		71
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		200		7			1			6
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		600		23			3			20
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	DUB	AUD	15,300		(45	)		12			(57	)
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	UBS		5,700		(17	)		3			(20	)
Pay	6-Month AUD Bank Bill	4.250	%	09/15/2011	UBS		6,000		(21	)		51			(72	)
Pay	6-Month AUD Bank Bill	5.000	%	06/15/2013	DUB		1,400		(29	)		5			(34	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	BNP	EUR	900		103			(13	)		116
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC	GBP	1,600		61			(17	)		78
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		200		22			2			20
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		1,200		134			12			122
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	DUB		300		34			0			34
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	GSC		300		40			0			40
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	RBS		600		79			(1	)		80
								$	675		$	(23	)	$	698

Total Return Swaps on Indices

Pay/Receive Total Return on Reference Index	Index	# of Shares or Units	Floating Rate(5)	Notional Amount		Maturity Date	Counterparty	Unrealized (Depreciation)
Receive	eRAFI 1000 Index	920,601	1-Month USD-LIBOR plus 0.250%	$	75,731	02/26/2010	BCLY	$	(269	)
Receive	eRAFI 1000 Index	1,173,669	1-Month USD-LIBOR plus 0.200%		97,067	10/15/2009	CSFB		(837	)
Receive	eRAFI 1000 Index	471,425	1-Month USD-LIBOR plus 0.230%		52,989	09/18/2009	MLP		(14,339	)
Receive	eRAFI 1000 Index	881,847	1-Month USD-LIBOR plus 0.300%		72,932	10/15/2009	MLP		(631	)
								$	(16,076	)

⁽⁵⁾ 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, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	18,800	$	201	$	674
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		13,000		138		466
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		5,100		57		183
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		31,200		295		1,118
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		9,200		88		374
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		18,600		211		667
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		18,600		197		813
									$	1,187	$	4,295

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC Fannie Mae 5.500% due 07/01/2039	$	96.250	07/06/2009	$	76,000	$	9	$	0
Put - OTC Fannie Mae 5.500% due 07/01/2039		96.500	07/06/2009		33,300		4		0
						$	13	$	0

(j) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	1,000	$	4	$	1
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		4,300		21		9
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		6,500		30		9
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		1,000		4		1
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		1,500		6		1
Put - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		500		2		0
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		8,500		32		18
									$	99	$	39

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.000	%	07/01/2039	$	34,000	$	34,082	$	34,600
Fannie Mae	5.500	%	07/01/2039		5,000		5,107		5,160
Fannie Mae	6.000	%	07/01/2039		6,000		6,242		6,271
						$	45,431	$	46,031

(l) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	DUB	151	07/2009	$	1	$	0		$	1
Buy		GSC	1,284	07/2009		24		0			24
Buy	BRL	HSBC	1,946	08/2009		65		0			65
Buy		MLP	822	08/2009		34		0			34
Buy	CAD	JPM	586	08/2009		0		(31	)		(31	)
Buy	CNY	BCLY	4,015	07/2009		0		(32	)		(32	)
Sell		BCLY	2,549	07/2009		0		(16	)		(16	)
Sell		CITI	4,700	07/2009		0		(20	)		(20	)
Buy		DUB	12,487	07/2009		0		(101	)		(101	)
Sell		DUB	11,397	07/2009		0		(44	)		(44	)
Buy		HSBC	4,159	07/2009		0		(29	)		(29	)
Sell		HSBC	2,815	07/2009		0		(12	)		(12	)
Buy		JPM	3,459	07/2009		0		(30	)		(30	)
Sell		JPM	2,660	07/2009		0		(17	)		(17	)
Buy		BCLY	1,455	09/2009		3		0			3
Sell		BCLY	3,977	09/2009		0		(14	)		(14	)
Buy		CITI	972	09/2009		2		0			2
Sell		CITI	3,392	09/2009		0		(12	)		(12	)
Buy		DUB	4,366	09/2009		10		0			10
Buy		HSBC	1,942	09/2009		4		0			4
Sell		HSBC	855	09/2009		0		(3	)		(3	)
Buy		JPM	759	09/2009		1		0			1
Sell		JPM	1,269	09/2009		0		(5	)		(5	)
Buy		BCLY	993	03/2010		0		(1	)		(1	)
Buy		HSBC	995	03/2010		0		0			0
Buy		JPM	6,052	03/2010		0		(3	)		(3	)
Sell	EUR	BCLY	3,940	07/2009		0		(30	)		(30	)
Sell		GSC	44	07/2009		0		0			0
Buy		RBC	490	07/2009		13		0			13
Sell	GBP	CITI	3,071	07/2009		0		(301	)		(301	)
Buy		MSC	2,862	07/2009		0		(20	)		(20	)
Buy		RBS	209	07/2009		16		0			16
Sell		MSC	2,862	08/2009		20		0			20
Buy	JPY	BNP	26,550	07/2009		0		0			0
Buy		MSC	26,550	08/2009		0		0			0
Buy	SGD	HSBC	376	07/2009		0		(1	)		(1	)
Sell		HSBC	376	07/2009		0		(12	)		(12	)
					$	193	$	(734	)	$	(541	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)			Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	67,123		$	0		$	67,123
U.S. Government Agencies		0		314,643			0			314,643
U.S. Treasury Obligations		0		20,869			0			20,869
Mortgage-Backed Securities		0		29,831			0			29,831
Short-Term Instruments		26,155		738			0			26,893
Other Investments++		4,112		32,059			0			36,171
Investments, at value	$	30,267	$	465,263		$	0		$	495,530
Short Sales, at value	$	0	$	(46,031	)	$	0		$	(46,031	)
Financial Derivative Instruments+++	$	780	$	(1,727	)	$	(15,285	)	$	(16,232	)
Total	$	31,047	$	417,505		$	(15,285	)	$	433,267

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
Investments, at value	$	0		$	0	$	0	$	0	$	0	$	0		$	0
Financial Derivative Instruments+++	$	(63,107	)	$	0	$	0	$	0	$	47,853	$	(31	)	$	(15,285	)
Total	$	(63,107	)	$	0	$	0	$	0	$	47,853	$	(31	)	$	(15,285	)

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Global Advantage Strategy Bond Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
AUSTRALIA 0.2%
New South Wales Treasury Corp.
6.000% due 05/01/2012	AUD	200	$	165
Total Australia (Cost $147)				165
BRAZIL 4.1%
Brazil Government International Bond
6.000% due 01/17/2017	$	60		62
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012	BRL	1,757		877
10.000% due 01/01/2017		7,156		3,192
Petrobras International Finance Co.
7.875% due 03/15/2019	$	200		219
Vale Overseas Ltd.
6.250% due 01/11/2016		30		31
6.875% due 11/21/2036		130		124
Total Brazil (Cost $4,412)				4,505
CANADA 1.5%
Province of Ontario Canada
5.850% due 03/08/2033	CAD	509		491
6.200% due 06/02/2031		502		500
6.500% due 03/08/2029		250		255
TransCanada Pipelines Ltd.
7.125% due 01/15/2019	$	68		77
7.625% due 01/15/2039		310		363
Total Canada (Cost $1,649)				1,686
CHILE 0.0%
CODELCO, Inc.
7.500% due 01/15/2019	$	40		46
Total Chile (Cost $42)				46
DENMARK 0.3%
Danske Bank A/S
4.500% due 07/01/2016	EUR	250		353
Total Denmark (Cost $355)				353
FRANCE 11.0%
BNP Paribas Covered Bonds S.A.
2.875% due 05/22/2012	EUR	200		279
4.750% due 05/28/2013		50		73
BNP Paribas Home Loan Covered Bonds S.A.
4.500% due 05/30/2014		450		652
Carrefour S.A.
5.375% due 06/12/2015		50		75
CIF Euromortgage
3.250% due 10/20/2015		550		733
CM-CIC Covered Bonds
4.750% due 07/17/2012		550		801
Compagnie de Financement Foncier
3.750% due 01/24/2017		300		406
4.500% due 01/09/2013		150		219
4.625% due 09/23/2017		300		427
4.875% due 05/25/2021		100		140
Credit Agricole Covered Bonds
4.500% due 01/29/2016		150		216
Dexia Credit Local
1.262% due 09/23/2011	$	1,000		997
Dexia Municipal Agency
4.250% due 02/20/2013	EUR	77		111
4.500% due 04/27/2015		500		717
EDF S.A.
6.500% due 01/26/2019	$	50		55
6.950% due 01/26/2039		22		25
France Government Bond
2.250% due 07/25/2020 (b)	EUR	1,368		1,991
3.150% due 07/25/2032 (b)		26		44
France Telecom S.A.
4.750% due 02/21/2017		50		71
GDF Suez
6.875% due 01/24/2019		45		74
Societe Financement de l’Economie Francaise
2.375% due 03/10/2012		590		838
3.000% due 04/07/2014		1,545		2,151
Societe Generale
5.125% due 12/19/2013		50		74
Societe Generale Societe de Credit Fonciere
4.750% due 06/06/2013		100		146
5.000% due 03/27/2019		550		805
Total France (Cost $11,859)				12,120
GERMANY 3.3%
Berlin-Hannover Hypothekenbank
3.500% due 02/22/2013		27		39
Deutsche Genossenschafts-Hypothekenbank AG
4.500% due 01/17/2013		50		74
Deutsche Postbank AG
3.750% due 02/12/2014		50		72
Kreditanstalt fuer Wiederaufbau
4.250% due 07/04/2014		1,300		1,931
4.875% due 06/17/2019	$	900		934
Muenchener Hypothekenbank eG
5.000% due 01/16/2012	EUR	75		112
Republic of Germany
4.750% due 07/04/2034		349		522
Total Germany (Cost $3,567)				3,684
IRELAND 0.1%
TransCapitalInvest Ltd. for OJSC AK Transneft
8.700% due 08/07/2018	$	100		99
Total Ireland (Cost $93)				99
ITALY 0.4%
Unicredit SpA
4.250% due 07/29/2016	EUR	350		489
Total Italy (Cost $491)				489
JAPAN 7.3%
Japan Government CPI Linked Bond
1.100% due 12/10/2016	JPY	50,150		460
1.200% due 12/10/2017		139,556		1,262
1.400% due 06/10/2018		407,592		3,698
Japan Government International Bond
0.900% due 03/20/2014		92,000		965
1.500% due 09/20/2018		154,000		1,632
Total Japan (Cost $7,966)				8,017
LUXEMBOURG 0.3%
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.299% due 05/15/2017	$	100		88
7.750% due 05/29/2018		300		277
Total Luxembourg (Cost $358)				365
MEXICO 4.3%
Mexican Bonos
7.750% due 12/14/2017	MXN	37,713		2,806
8.000% due 12/17/2015		2,500		192
9.000% due 12/22/2011		2,300		187
9.000% due 12/20/2012		10,978		898
Pemex Project Funding Master Trust
5.750% due 03/01/2018	$	30		28
6.625% due 06/15/2035		250		227
Petroleos Mexicanos
8.000% due 05/03/2019		330		360
Total Mexico (Cost $4,700)				4,698
NETHERLANDS 15.7%
ABN Amro Bank NV
3.250% due 01/18/2013	EUR	150		207
Deutsche Telekom International Finance BV
4.875% due 07/08/2014	$	400		403
6.000% due 01/20/2017	EUR	30		45
E.ON International Finance BV
5.750% due 05/07/2020		40		61
Fortis Bank Nederland Holding NV
3.000% due 04/17/2012		300		425
3.375% due 05/19/2014		1,817		2,562
ING Bank NV
2.625% due 02/09/2012	$	750		759
3.375% due 03/03/2014	EUR	1,930		2,740
3.900% due 03/19/2014	$	100		102
4.250% due 03/19/2013	EUR	150		214
4.750% due 05/27/2019		100		143
5.250% due 06/05/2018		600		870
Netherlands Government Bond
3.250% due 07/15/2015		1,000		1,415
NIBC Bank NV
3.125% due 02/17/2012		1,350		1,939
3.500% due 04/07/2014		1,200		1,689
Rabobank Nederland NV
11.000% due 12/29/2049	$	300		335
RWE Finance BV
5.000% due 02/10/2015	EUR	200		296
6.625% due 01/31/2019		50		81
SNS Bank NV
3.500% due 03/10/2014		2,150		3,063
Total Netherlands (Cost $16,934)				17,349
NORWAY 0.9%
DnB NOR Bank ASA
5.875% due 06/20/2013	EUR	50		75
DnB NOR Boligkreditt
4.125% due 02/01/2013		100		143
4.625% due 07/03/2012		500		730
Total Norway (Cost $931)				948
POLAND 1.2%
Poland Government Bond
5.750% due 09/23/2022	PLN	132		39
Poland Government International Bond
5.500% due 10/25/2019		450		133
6.000% due 11/24/2010		3,605		1,154
Total Poland (Cost $1,302)				1,326
RUSSIA 1.4%
Gaz Capital S.A.
8.146% due 04/11/2018	$	360		338
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013		49		48
Russia Government International Bond
7.500% due 03/31/2030		1,188		1,181
Total Russia (Cost $1,541)				1,567
SOUTH AFRICA 1.3%
South Africa Government International Bond
6.875% due 05/27/2019	$	1,400		1,446
Total South Africa (Cost $1,389)				1,446
SOUTH KOREA 1.3%
Korea Development Bank
8.000% due 01/23/2014	$	1,350		1,466
Total South Korea (Cost $1,443)				1,466
SPAIN 0.5%
Telefonica Emisiones SAU
4.949% due 01/15/2015 (a)	$	500		509
Total Spain (Cost $512)				509
SUPRANATIONAL 0.1%
European Community
3.125% due 04/03/2014	EUR	90		127
Total Supranational (Cost $122)				127
SWEDEN 1.1%
Stadshypotek AB
3.750% due 12/12/2013	EUR	400		563
Swedbank AB
2.800% due 02/10/2012	$	300		304
2.900% due 01/14/2013		150		151
Vattenfall AB
6.125% due 12/16/2019	GBP	100		173
Total Sweden (Cost $1,163)				1,191
UNITED KINGDOM 1.6%
Bank of Scotland PLC
5.625% due 05/23/2013	EUR	50		70
Barclays Bank PLC
6.750% due 05/22/2019	$	500		497
BAT International Finance PLC
5.875% due 03/12/2015	EUR	50		75
HSBC Bank PLC
3.875% due 11/09/2011		50		71
Royal Bank of Scotland Group PLC
2.625% due 05/11/2012	$	600		605
United Kingdom Gilt
4.750% due 09/07/2015	GBP	140		254
4.750% due 03/07/2020		64		115
United Kingdom Gilt Inflation Linked Bond
2.500% due 07/26/2016		11		51
Vodafone Group PLC
6.250% due 01/15/2016	EUR	50		76
Total United Kingdom (Cost $1,755)				1,814
UNITED STATES 42.2%
CORPORATE BONDS & NOTES 16.3%
Altria Group, Inc.
9.250% due 08/06/2019	$	400		450
American Express Bank FSB
0.438% due 05/29/2012		50		44
3.150% due 12/09/2011		300		311
American Express Co.
7.250% due 05/20/2014		400		414
American International Group, Inc.
5.850% due 01/16/2018		42		22
AT&T Corp.
8.000% due 11/15/2031		200		231
Bank of America Corp.
0.989% due 06/22/2012		200		203
7.375% due 05/15/2014		200		207
Bank of the West
2.150% due 03/27/2012		120		121
Bear Stearns Cos. LLC
6.400% due 10/02/2017		55		55
Black & Decker Corp.
8.950% due 04/15/2014		50		55
Capital One Financial Corp.
7.375% due 05/23/2014		500		516
CIT Group, Inc.
5.400% due 03/07/2013		20		12
Citibank N.A.
1.875% due 05/07/2012		1,500		1,495
Citigroup Funding, Inc.
1.369% due 04/30/2012		100		101
Citigroup, Inc.
6.125% due 05/15/2018		689		604
Consolidated Edison Co. of New York, Inc.
7.125% due 12/01/2018		20		23
CSX Corp.
6.250% due 03/15/2018		50		51
Cytec Industries, Inc.
8.950% due 07/01/2017 (a)		250		249
General Electric Capital Corp.
0.839% due 03/12/2012		100		101
2.250% due 03/12/2012		550		555
2.625% due 12/28/2012		2,250		2,281
3.000% due 12/09/2011		100		103
5.625% due 05/01/2018		40		38
5.875% due 01/14/2038		430		341
6.875% due 01/10/2039		200		180
GMAC LLC
2.200% due 12/19/2012		3,000		2,991
Goldman Sachs Group, Inc.
1.059% due 03/22/2016		34		29
1.639% due 01/12/2015		200		176
2.150% due 03/15/2012 (d)		300		303
6.150% due 04/01/2018		55		54
HSBC USA, Inc.
3.125% due 12/16/2011		300		311
JPMorgan Chase & Co.
0.859% due 06/15/2012		100		101
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		19		19
6.850% due 02/15/2020		400		411
6.950% due 01/15/2038		75		73
7.400% due 03/15/2031		200		195
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		50		48
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		320		297
6.875% due 11/15/2018		54		50
Morgan Stanley
0.959% due 06/20/2012		100		101
1.557% due 10/18/2016		200		162
1.611% due 10/15/2015		44		38
2.250% due 03/13/2012		200		202
6.000% due 05/13/2014		100		101
6.625% due 04/01/2018		200		200
Nabors Industries, Inc.
6.150% due 02/15/2018		50		48
NGPL PipeCo. LLC
7.119% due 12/15/2017		500		525
Pacific Gas & Electric Co.
1.598% due 06/10/2010		800		804
Pacificorp
5.650% due 07/15/2018		29		31
PNC Funding Corp.
0.889% due 06/22/2011		125		126
Regions Bank
3.250% due 12/09/2011		100		104
Roche Holdings, Inc.
2.661% due 02/25/2011		40		40
SLM Corp.
1.392% due 01/27/2014		46		32
Sovereign Bank
2.750% due 01/17/2012		100		101
State Street Corp.
2.150% due 04/30/2012		200		201
Valero Energy Corp.
9.375% due 03/15/2019		50		57
Verizon Wireless Capital LLC
3.750% due 05/20/2011		500		511
Wachovia Corp.
0.899% due 06/15/2017		64		48
Williams Cos., Inc.
6.375% due 10/01/2010		700		700
				17,953
MUNICIPAL BONDS & NOTES 0.0%
Utah State Transit Authority Revenue Bonds, Series 2009
5.937% due 06/15/2039		25		25
U.S. GOVERNMENT AGENCIES 20.0%
Fannie Mae
5.500% due 06/01/2036 - 11/01/2038		10,736		11,099
6.000% due 08/01/2036 - 10/01/2038		3,371		3,529
Federal Home Loan Bank
1.625% due 07/27/2011		2,100		2,113
Freddie Mac
0.926% due 05/04/2011		5,000		5,013
5.500% due 09/01/2038		360		372
				22,126
U.S. TREASURY OBLIGATIONS 5.9%
Treasury Inflation Protected Securities (b)
1.875% due 07/15/2015		252		255
2.000% due 01/15/2014		519		531
2.000% due 01/15/2026		18		18
2.000% due 07/15/2014 (e)		2,320		2,374
2.375% due 01/15/2025		251		258
2.375% due 01/15/2027		14		14
2.500% due 07/15/2016		127		133
2.625% due 07/15/2017		65		69
3.000% due 07/15/2012		1,542		1,634
3.625% due 04/15/2028		626		762
3.875% due 04/15/2029		169		213
U.S. Treasury Notes
0.875% due 04/30/2011 (e)		250		249
				6,510
Total United States (Cost $46,344)				46,614
SHORT-TERM INSTRUMENTS 3.5%
REPURCHASE AGREEMENTS 0.7%
State Street Bank and Trust Co.
0.010% due 07/01/2009		770		770
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $790. Repurchase proceeds are $770.)
U.S. TREASURY BILLS 0.0%
0.114% due 07/02/2009 (e)		29		29
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 2.8%
		310,701		3,110
Total Short-Term Instruments (Cost $3,909)				3,909
Total Investments 103.6% (Cost $112,984)			$	114,493
Written Options (g) (0.0%) (Premiums $87)				(56	)
Other Assets and Liabilities (Net) (3.6%)				(3,960	)
Net Assets 100.0%			$	110,477

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) Principal amount of security is adjusted for inflation.

(c) Affiliated to the Fund.

(d) Securities with an aggregate market value of $303 have been pledged as collateral for reverse repurchase agreements on June 30, 2009. On June 30, 2009, there were no open reverse repurchase agreements.

(e) Securities with an aggregate market value of $310 and cash of $19 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	4	$	8
90-Day Euribor March Futures	Long	03/2011	1		0
90-Day Eurodollar December Futures	Long	12/2009	2		3
90-Day Eurodollar March Futures	Long	03/2010	45		3
Euro-Bobl September Futures	Long	09/2009	17		45
Euro-Bund 10-Year Bond September Futures	Long	09/2009	10		28
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	144		(130	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	1		0
				$	(43	)

(f) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Bank of America Corp.	BCLY	(1.000	%)	06/20/2014	2.169	%	$	200	$	10		$	8	$	2
Black & Decker Corp.	CITI	(2.200	%)	06/20/2014	1.650	%		50		(1	)		0		(1	)
Capital One Financial Corp.	JPM	(1.000	%)	06/20/2014	2.078	%		500		24			23		1
Cytec Industries, Inc.	CITI	(1.000	%)	09/20/2017	1.000	%		250		23			23		0
CSX Corp.	BCLY	(1.350	%)	03/20/2018	0.775	%		50		(2	)		0		(2	)
Marsh & McLennan Cos., Inc.	BCLY	(0.760	%)	09/20/2015	0.552	%		50		(1	)		0		(1	)
Nabors Industries, Inc.	BCLY	(2.710	%)	03/20/2018	1.382	%		50		(5	)		0		(5	)
Valero Energy Corp.	GSC	(2.700	%)	03/20/2019	2.450	%		50		(1	)		0		(1	)
									$	47		$	54	$	(7	)

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Brazil Government International Bond	BCLY	3.810	%	02/20/2014	1.656	%	$	40	$	4	$	0	$	4
Mexico Government International Bond	DUB	4.970	%	03/20/2019	2.206	%		60		14		0		14
									$	18	$	0	$	18

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	11.650	%	01/02/2012	BCLY	BRL	100	$	1		$	0	$	1
Pay	1-Year BRL-CDI	11.650	%	01/02/2012	HSBC		600		3			2		1
Pay	28-Day MXN TIIE	8.660	%	01/31/2019	JPM	MXN	450		1			0		1
Pay	28-Day MXN TIIE	8.450	%	06/03/2019	BCLY		3,700		4			0		4
Pay	6-Month GBP-LIBOR	3.500	%	09/16/2014	JPM	GBP	111		(2	)		2		(4	)
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	UBS	JPY	20,000		0			0		0
								$	7		$	4	$	3

(g) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009	$	1,000	$	5	$	6
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		9,000		82		50
									$	87	$	56

(h) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	GSC	998	07/2009	$	19	$	0		$	19
Buy		HSBC	15	07/2009		0		0			0
Buy		JPM	181	07/2009		1		0			1
Buy		RBC	63	07/2009		0		0			0
Buy		UBS	63	07/2009		0		0			0
Buy	BRL	BCLY	455	08/2009		1		0			1
Buy		HSBC	2,334	08/2009		70		0			70
Sell		HSBC	824	08/2009		0		(33	)		(33	)
Buy		JPM	734	08/2009		11		0			11
Sell		JPM	5,059	08/2009		0		(49	)		(49	)
Buy	CAD	UBS	89	07/2009		0		(4	)		(4	)
Buy		BOA	122	08/2009		0		(6	)		(6	)
Buy		CITI	69	08/2009		0		(1	)		(1	)
Buy		HSBC	40	08/2009		0		0			0
Buy		JPM	3,174	08/2009		0		(151	)		(151	)
Buy		RBS	89	08/2009		0		0			0
Buy		UBS	39	08/2009		0		(2	)		(2	)
Buy	CHF	BOA	53	07/2009		0		(1	)		(1	)
Buy		JPM	184	07/2009		0		(1	)		(1	)
Buy		RBS	1,055	07/2009		0		(19	)		(19	)
Buy		UBS	54	07/2009		0		0			0
Buy		RBC	1,395	10/2009		0		(6	)		(6	)
Sell	CNY	DUB	226	07/2009		0		0			0
Buy		JPM	34	07/2009		0		0			0
Buy		UBS	191	07/2009		0		0			0
Buy		BOA	163	09/2009		0		0			0
Buy		DUB	205	09/2009		0		0			0
Buy		JPM	374	09/2009		0		0			0
Buy		BCLY	1,541	03/2010		0		(1	)		(1	)
Buy		BOA	492	03/2010		0		0			0
Buy		CITI	405	03/2010		0		0			0
Buy		DUB	935	03/2010		0		(1	)		(1	)
Buy		HSBC	3,953	03/2010		0		(4	)		(4	)
Buy		JPM	9,914	03/2010		0		(11	)		(11	)
Sell		JPM	1,325	03/2010		0		0			0
Buy	EUR	BCLY	1,926	07/2009		15		0			15
Sell		BCLY	2,087	07/2009		0		(24	)		(24	)
Buy		BNP	114	07/2009		1		0			1
Buy		BOA	228	07/2009		0		(1	)		(1	)
Buy		CITI	224	07/2009		4		0			4
Sell		GSC	715	07/2009		8		0			8
Buy		HSBC	107	07/2009		0		0			0
Buy		JPM	1,777	07/2009		16		(4	)		12
Sell		RBC	762	07/2009		0		(12	)		(12	)
Sell		RBS	1,937	07/2009		0		(1	)		(1	)
Buy	GBP	BCLY	116	07/2009		3		0			3
Sell		BCLY	165	07/2009		0		(9	)		(9	)
Buy		BNP	92	07/2009		2		0			2
Buy		BOA	235	07/2009		3		(2	)		1
Buy		CITI	596	07/2009		55		0			55
Buy		GSC	47	07/2009		2		0			2
Sell		GSC	211	07/2009		0		(3	)		(3	)
Buy		JPM	1,802	07/2009		110		0			110
Sell		JPM	51	07/2009		0		(3	)		(3	)
Buy		RBC	107	07/2009		2		0			2
Sell		RBC	90	07/2009		0		(1	)		(1	)
Buy		RBS	75	07/2009		2		0			2
Sell		RBS	82	07/2009		0		(4	)		(4	)
Buy		UBS	179	07/2009		4		0			4
Sell		UBS	46	07/2009		0		(2	)		(2	)
Buy		JPM	2,767	08/2009		0		(22	)		(22	)
Buy		RBS	22	08/2009		0		0			0
Buy	INR	BCLY	2,787	07/2009		2		0			2
Buy		BOA	671	07/2009		1		0			1
Buy		CITI	1,677	07/2009		2		0			2
Sell		CITI	43,200	07/2009		0		0			0
Buy		DUB	594	07/2009		1		0			1
Buy		HSBC	9,453	07/2009		1		(2	)		(1	)
Buy		JPM	28,018	07/2009		5		(5	)		0
Buy		CITI	43,273	10/2009		1		0			1
Buy		BCLY	4,395	11/2009		1		0			1
Buy	JPY	BNP	18,337	07/2009		0		0			0
Buy		BOA	33,645	07/2009		4		0			4
Buy		CITI	9,565	07/2009		0		(1	)		(1	)
Buy		DUB	295,726	07/2009		0		(10	)		(10	)
Sell		GSC	147,206	07/2009		19		0			19
Buy		JPM	88,264	07/2009		2		(1	)		1
Buy		RBS	217,515	07/2009		0		0			0
Buy		UBS	28,411	07/2009		5		0			5
Sell		UBS	59,844	07/2009		0		(11	)		(11	)
Buy		RBS	6,221	08/2009		0		0			0
Sell		RBS	20,050	08/2009		0		0			0
Buy	KRW	BCLY	179,492	07/2009		3		(3	)		0
Buy		BOA	38,571	07/2009		2		0			2
Buy		CITI	39,038	07/2009		2		0			2
Buy		DUB	61,904	07/2009		0		0			0
Buy		HSBC	122,413	07/2009		0		(1	)		(1	)
Buy		JPM	1,461,218	07/2009		6		(27	)		(21	)
Buy		BCLY	210,940	11/2009		0		(4	)		(4	)
Buy		HSBC	376,320	11/2009		0		(3	)		(3	)
Buy		JPM	403,012	11/2009		0		(7	)		(7	)
Buy	MXN	BCLY	5,689	11/2009		3		0			3
Sell		BCLY	17,955	11/2009		0		(12	)		(12	)
Buy		CITI	1,759	11/2009		2		0			2
Sell		CITI	1,159	11/2009		0		(9	)		(9	)
Buy		DUB	1,754	11/2009		0		0			0
Sell		DUB	629	11/2009		0		(3	)		(3	)
Buy		HSBC	6,345	11/2009		4		(1	)		3
Buy		JPM	4,379	11/2009		5		0			5
Sell		JPM	11,473	11/2009		0		(9	)		(9	)
Buy	PLN	BCLY	426	11/2009		3		0			3
Sell		BCLY	435	11/2009		0		(4	)		(4	)
Buy		DUB	132	11/2009		2		0			2
Sell		GSC	1,165	11/2009		0		0			0
Buy		HSBC	1,679	11/2009		6		(1	)		5
Sell		HSBC	957	11/2009		1		(5	)		(4	)
Buy		JPM	71	11/2009		1		0			1
Sell		JPM	321	11/2009		0		(1	)		(1	)
Buy	RUB	BCLY	3,928	07/2009		6		0			6
Buy		HSBC	2,198	07/2009		0		0			0
Buy		JPM	3,167	07/2009		1		0			1
Sell		JPM	9,293	07/2009		0		0			0
Buy		JPM	9,293	11/2009		1		0			1
Buy	SEK	BOA	374	07/2009		0		(2	)		(2	)
Buy		JPM	1,126	07/2009		2		(1	)		1
Buy		RBS	6,022	07/2009		0		(37	)		(37	)
Buy		UBS	193	07/2009		0		0			0
Buy		RBS	8,314	10/2009		1		0			1
Buy	SGD	CITI	14	07/2009		1		0			1
Buy		DUB	137	07/2009		2		0			2
Buy		HSBC	395	07/2009		1		0			1
Buy		BCLY	58	08/2009		0		0			0
Buy	TWD	BCLY	6,540	08/2009		1		0			1
Buy		JPM	8,708	08/2009		0		(3	)		(3	)
Buy		BCLY	2,430	11/2009		1		0			1
Buy		HSBC	9,711	11/2009		0		(1	)		(1	)
Buy		JPM	27,800	11/2009		2		(4	)		(2	)
Buy	ZAR	BCLY	1,791	11/2009		26		0			26
Buy		DUB	281	11/2009		6		0			6
Buy		HSBC	4,725	11/2009		42		0			42
Buy		JPM	1,334	11/2009		18		0			18
Buy		UBS	632	11/2009		10		0			10
					$	534	$	(546	)	$	(12	)

(i) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
France	$	0		$	12,120		$	0	$	12,120
Japan		0			8,017			0		8,017
Netherlands		0			17,349			0		17,349
United States		0			46,614			0		46,614
Other Investments++		3,110			27,283			0		30,393
Investments, at value	$	3,110		$	111,383		$	0	$	114,493
Financial Derivative Instruments+++	$	(44	)	$	(53	)	$	0	$	(97	)
Total	$	3,066		$	111,330		$	0	$	114,396

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Global Bond Fund (Unhedged)

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
AUSTRALIA 3.2%
Australia & New Zealand Banking Group Ltd.
5.250% due 01/16/2014	AUD	3,500	$	2,757
Citigroup Pty Ltd.
5.500% due 06/18/2012		2,500		2,012
Kreditanstalt fuer Wiederaufbau
5.500% due 06/05/2014		4,000		3,137
Medallion Trust
0.791% due 05/25/2035	$	2,339		2,107
National Australia Bank Ltd.
4.875% due 01/21/2013	EUR	1,500		2,198
Puma Finance Ltd.
0.822% due 02/21/2038	$	2,180		1,948
3.290% due 08/22/2037	AUD	1,918		1,437
3.555% due 07/12/2036		780		596
Royal Bank of Scotland Group PLC
4.375% due 03/27/2012		3,500		2,750
Seven Media Group
5.365% due 12/28/2012		2,514		1,140
5.730% due 12/28/2012		602		273
St. George Bank Ltd.
3.422% due 07/15/2010		1,100		882
Torrens Trust
3.527% due 10/19/2038		3,979		2,856
Total Australia (Cost $26,191)				24,093
BERMUDA 0.3%
Merna Reinsurance Ltd.
1.248% due 07/07/2010	$	2,800		2,606
Total Bermuda (Cost $2,789)				2,606
CANADA 3.5%
Broadway Credit Card Trust
5.234% due 06/17/2011	CAD	5,600		4,786
Ford Auto Securitization Trust
3.396% due 11/15/2011		500		430
4.817% due 10/15/2012		1,300		1,117
Glacier Credit Card Trust
5.027% due 02/20/2013		5,500		4,732
Honda Canada Finance, Inc.
0.620% due 03/26/2012		9,000		7,142
Master Credit Card Trust
5.297% due 08/21/2012		1,000		916
Province of Ontario Canada
4.700% due 06/02/2037		3,000		2,534
5.600% due 06/02/2035		1,900		1,799
6.200% due 06/02/2031		200		199
Province of Quebec Canada
5.750% due 12/01/2036		3,200		3,076
Total Canada (Cost $28,746)				26,731
CAYMAN ISLANDS 1.4%
Foundation Re II Ltd.
7.576% due 11/26/2010	$	500		468
Longpoint Re Ltd.
5.874% due 05/08/2010		700		680
Mizuho Financial Group Cayman Ltd.
8.375% due 01/29/2049		1,500		1,462
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		2,900		2,542
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	1,100		1,094
Residential Reinsurance 2007 Ltd.
8.418% due 06/07/2010	$	700		668
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		2,100		1,689
Vita Capital III Ltd.
2.308% due 01/01/2011		2,300		2,102
Total Cayman Islands (Cost $12,093)				10,705
DENMARK 0.1%
Nykredit Realkredit A/S
6.000% due 10/01/2029	DKK	657		128
Realkredit Danmark A/S
4.100% due 10/01/2038		2,610		468
Total Denmark (Cost $520)				596
FRANCE 10.1%
BNP Paribas Covered Bonds S.A.
4.750% due 05/28/2013	EUR	2,600		3,811
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049		1,800		1,376
Dexia Credit Local
1.262% due 09/23/2011	$	3,700		3,690
France Government Bond
4.000% due 10/25/2014	EUR	7,700		11,408
4.000% due 10/25/2038		1,100		1,455
4.750% due 10/25/2012		1,200		1,822
4.750% due 04/25/2035		100		148
5.500% due 04/25/2010		700		1,018
5.750% due 10/25/2032		3,900		6,549
France Treasury Notes
2.500% due 01/12/2014		8,100		11,309
3.750% due 01/12/2013		10,400		15,329
Societe Financement de l’Economie Francaise
2.125% due 05/20/2012		400		561
2.250% due 06/11/2012	$	8,000		8,007
3.375% due 05/05/2014		4,000		4,016
Societe Generale
5.922% due 04/29/2049		1,000		621
Vivendi
5.750% due 04/04/2013		3,400		3,425
6.625% due 04/04/2018		2,500		2,521
Total France (Cost $78,068)				77,066
GERMANY 7.4%
Kreditanstalt fuer Wiederaufbau
2.500% due 10/11/2010	EUR	6,900		9,847
4.875% due 06/17/2019	$	2,200		2,284
Republic of Germany
3.750% due 01/04/2015	EUR	6,400		9,453
4.250% due 07/04/2039		500		709
4.750% due 07/04/2034		5,750		8,596
5.500% due 01/04/2031		6,900		11,231
5.625% due 01/04/2028		8,700		14,236
Total Germany (Cost $54,361)				56,356
IRELAND 1.4%
Atlas Reinsurance PLC
5.520% due 01/10/2010	EUR	2,000		2,792
Cars Alliance Funding PLC
1.586% due 10/08/2023		2,300		2,888
Celtic Residential Irish Mortgage Securitisation
1.193% due 06/13/2035		922		991
Depfa ACS Bank
1.650% due 12/20/2016	JPY	90,000		618
Immeo Residential Finance PLC
1.437% due 12/15/2016	EUR	1,704		1,552
Osiris Capital PLC
6.131% due 01/15/2010	$	500		493
SC Germany Auto
1.032% due 08/11/2015	EUR	432		586
Talisman Finance PLC
1.635% due 04/22/2017		624		479
Total Ireland (Cost $12,140)				10,399
ITALY 0.5%
Locat Securitisation Vehicle SRL
1.463% due 12/12/2024	EUR	920		1,203
Siena Mortgages SpA
1.498% due 12/16/2038		1,711		2,312
Total Italy (Cost $3,389)				3,515
JAPAN 8.0%
Development Bank of Japan
4.250% due 06/09/2015	$	2,300		2,362
Japan Government CPI Linked Bond
0.800% due 12/10/2015	JPY	443,520		4,059
1.000% due 06/10/2016		1,525,100		13,904
1.200% due 03/10/2017		171,020		1,569
1.200% due 06/10/2017		2,679,150		24,355
Japan Government International Bond
2.300% due 06/20/2035		620,000		6,580
2.500% due 09/20/2037		390,000		4,322
JLOC Ltd.
1.222% due 01/15/2015		69,641		685
Resona Bank Ltd.
5.850% due 09/29/2049	$	3,800		2,873
Total Japan (Cost $58,796)				60,709
JERSEY, CHANNEL ISLANDS 0.9%
Arran Master Trust
0.679% due 12/15/2012	$	800		741
HSBC Capital Funding LP
9.547% due 12/29/2049		2,400		2,239
WPP PLC
6.000% due 04/04/2017	GBP	2,500		3,566
Total Jersey, Channel Islands (Cost $6,164)				6,546
LUXEMBOURG 0.4%
Telecom Italia Capital S.A.
6.999% due 06/04/2018	$	3,000		3,040
Total Luxembourg (Cost $3,000)				3,040
NETHERLANDS 6.2%
Delphinus BV
1.556% due 11/28/2031	EUR	1,936		2,613
Dutch Mortgage Portfolio Loans BV
1.494% due 11/20/2035		1,571		2,008
Dutch Mortgage-Backed Securities BV
1.612% due 11/02/2035		32		44
1.790% due 10/02/2079		662		901
Fortis Bank Nederland Holding NV
3.375% due 05/19/2014		5,500		7,754
Globaldrive BV
1.106% due 06/20/2015		800		773
Holland Euro-Denominated Mortgage-Backed Series
1.680% due 04/18/2012		15		21
LeasePlan Corp. NV
3.250% due 05/22/2014		1,600		2,247
Netherlands Government Bond
2.500% due 01/15/2012		200		285
3.250% due 07/15/2015		9,600		13,581
3.750% due 07/15/2014		9,300		13,598
5.000% due 07/15/2011		500		750
NIBC Bank NV
3.500% due 04/07/2014		2,000		2,815
Total Netherlands (Cost $46,117)				47,390
NEW ZEALAND 0.0%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	400		373
Total New Zealand (Cost $184)				373
NORWAY 0.5%
DnB NOR Boligkreditt
4.500% due 05/16/2011	EUR	2,600		3,767
Total Norway (Cost $4,002)				3,767
PORTUGAL 0.8%
Banco Espirito Santo S.A.
5.500% due 07/21/2010	EUR	4,200		6,065
Total Portugal (Cost $6,601)				6,065
SOUTH KOREA 0.3%
Export-Import Bank of Korea
5.750% due 05/22/2013	EUR	1,800		2,520
Total South Korea (Cost $2,773)				2,520
SPAIN 1.7%
Bankinter S.A.
5.000% due 05/14/2010	EUR	7,900		11,305
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	2,500		1,853
Total Spain (Cost $14,836)				13,158
SUPRANATIONAL 0.2%
European Investment Bank
5.375% due 05/20/2014	AUD	1,700		1,332
Total Supranational (Cost $1,335)				1,332
SWITZERLAND 0.2%
Weatherford International Ltd.
5.500% due 02/15/2016	$	1,600		1,537
Total Switzerland (Cost $1,578)				1,537
UNITED KINGDOM 5.7%
Bank of Scotland PLC
5.625% due 05/23/2013	EUR	7,900		11,104
Barclays Bank PLC
6.050% due 12/04/2017	$	4,900		4,256
7.434% due 09/29/2049		2,500		1,677
10.179% due 06/12/2021		2,000		2,138
Bauhaus Securities Ltd.
1.704% due 10/30/2052	EUR	1,651		2,251
HBOS PLC
6.750% due 05/21/2018	$	3,000		2,268
Lloyds Banking Group PLC
5.920% due 09/29/2049		5,200		1,846
Lloyds TSB Bank PLC
2.800% due 04/02/2012		4,500		4,556
5.625% due 07/29/2049	EUR	2,410		3,381
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049	$	2,400		1,956
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		400		359
TI Group Ltd.
7.875% due 07/12/2010	GBP	1,000		1,696
United Kingdom Gilt
4.250% due 06/07/2032		2,400		3,901
Weather Investments II SARL
7.099% due 11/26/2014	EUR	1,000		1,341
XL Capital Finance Europe PLC
6.500% due 01/15/2012	$	400		373
Total United Kingdom (Cost $48,183)				43,103
UNITED STATES 64.7%
ASSET-BACKED SECURITIES 1.4%
ABSC Manufactured Housing Contract
5.019% due 04/16/2030	$	1,140		927
AFC Home Equity Loan Trust
1.024% due 12/22/2027		23		13
Amortizing Residential Collateral Trust
1.014% due 10/25/2031		31		19
Amresco Residential Securities Mortgage Loan Trust
1.254% due 06/25/2029		54		31
Bear Stearns Asset-Backed Securities Trust
0.714% due 10/27/2032		65		44
0.764% due 03/25/2043		27		25
0.974% due 10/25/2032		35		22
Conseco Finance Securitizations Corp.
6.030% due 03/01/2033		177		148
6.681% due 12/01/2033		157		134
Countrywide Asset-Backed Certificates
0.654% due 12/25/2036		112		66
CS First Boston Mortgage Securities Corp.
0.934% due 01/25/2032		24		16
Ford Credit Auto Owner Trust
1.219% due 01/15/2011		3,187		3,190
1.739% due 06/15/2012		2,100		2,107
Home Equity Mortgage Trust
5.500% due 01/25/2037		532		69
HSI Asset Securitization Corp. Trust
0.374% due 05/25/2037		531		375
Lehman XS Trust
0.484% due 04/25/2046		1,549		1,226
Residential Asset Mortgage Products, Inc.
0.874% due 06/25/2032		30		15
Residential Asset Securities Corp.
0.814% due 07/25/2032		84		32
SLC Student Loan Trust
0.863% due 02/15/2015		1,055		1,053
Wells Fargo Home Equity Trust
0.544% due 10/25/2035		787		744
0.554% due 11/25/2035		31		30
				10,286
BANK LOAN OBLIGATIONS 0.4%
Daimler Finance North America LLC
4.320% due 08/03/2012		3,123		2,908
Ford Motor Co.
3.320% due 12/16/2013		434		316
4.140% due 12/16/2013		219		159
				3,383
CORPORATE BONDS & NOTES 20.2%
Altria Group, Inc.
9.250% due 08/06/2019		4,000		4,499
American Electric Power Co., Inc.
5.250% due 06/01/2015		3,000		2,948
American Express Bank FSB
0.471% due 06/12/2012		800		709
American Express Centurion Bank
0.399% due 07/13/2010		1,700		1,655
0.471% due 06/12/2012		600		555
American Express Co.
7.000% due 03/19/2018		3,900		3,793
American International Group, Inc.
4.875% due 03/15/2067	EUR	1,400		403
5.850% due 01/16/2018	$	3,000		1,589
8.000% due 05/22/2038	EUR	6,500		2,052
8.175% due 05/15/2058	$	5,100		1,456
Anadarko Petroleum Corp.
6.125% due 03/15/2012		1,000		1,020
AutoZone, Inc.
5.875% due 10/15/2012		7,800		8,110
Bank of America Corp.
4.750% due 05/23/2017	EUR	3,800		3,801
Bear Stearns Cos. LLC
7.250% due 02/01/2018	$	11,600		12,246
Board of Trustees of The Leland Stanford Junior University
4.750% due 05/01/2019		2,600		2,625
Boston Scientific Corp.
6.000% due 06/15/2011		1,000		1,002
6.400% due 06/15/2016		1,700		1,590
Citigroup Capital XVIII
6.829% due 06/28/2067	GBP	1,000		864
Citigroup Capital XXI
8.300% due 12/21/2077	$	1,500		1,172
Citigroup Funding, Inc.
2.036% due 05/07/2010		2,000		1,959
2.125% due 07/12/2012		4,600		4,605
Citigroup, Inc.
1.305% due 06/28/2013	EUR	2,200		2,581
4.750% due 02/10/2019		900		859
6.000% due 08/15/2017	$	3,400		2,969
6.125% due 05/15/2018		4,600		4,030
8.400% due 04/29/2049 (a)		1,400		1,052
CNA Financial Corp.
6.000% due 08/15/2011		800		762
Comcast Corp.
1.439% due 07/14/2009		900		900
Computer Sciences Corp.
6.500% due 03/15/2018		3,000		3,071
Cox Communications, Inc.
6.750% due 03/15/2011		700		739
Daimler Finance North America LLC
4.875% due 06/15/2010		300		300
5.750% due 09/08/2011		400		408
Exelon Corp.
4.900% due 06/15/2015		3,000		2,798
General Electric Capital Corp.
4.625% due 09/15/2066	EUR	1,000		817
6.375% due 11/15/2067	$	3,400		2,272
GMAC LLC
4.750% due 09/14/2009	EUR	600		829
Goldman Sachs Group, Inc.
1.059% due 03/22/2016		300		254
5.250% due 06/01/2016 (i)	CAD	2,200		1,827
5.375% due 02/15/2013	EUR	800		1,134
5.950% due 01/18/2018	$	2,000		1,943
6.150% due 04/01/2018		1,500		1,463
6.250% due 09/01/2017		2,900		2,874
HCP, Inc.
5.950% due 09/15/2011		300		294
Historic TW, Inc.
8.050% due 01/15/2016		1,500		1,511
International Lease Finance Corp.
5.300% due 05/01/2012		1,000		776
5.350% due 03/01/2012		1,000		781
6.625% due 11/15/2013		3,000		2,312
Johnson Controls, Inc.
5.250% due 01/15/2011		900		910
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	1,800		1,342
6.000% due 01/15/2018	$	4,300		4,279
6.300% due 04/23/2019		600		605
JPMorgan Chase & Co. CPI Linked Bond
3.574% due 02/15/2012		760		659
JPMorgan Chase Bank N.A.
4.375% due 11/30/2021	EUR	2,300		2,810
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038	$	3,300		3,202
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		600		92
5.625% due 01/24/2013 (a)		3,700		578
6.875% due 05/02/2018 (a)		6,100		1,006
Lennar Corp.
5.950% due 10/17/2011		900		841
Loews Corp.
5.250% due 03/15/2016		300		302
Marsh & McLennan Cos., Inc.
5.375% due 07/15/2014		3,000		2,925
Masco Corp.
5.875% due 07/15/2012		300		282
Merrill Lynch & Co., Inc.
1.644% due 01/31/2014	EUR	600		705
3.188% due 05/12/2010	$	3,300		3,282
6.875% due 04/25/2018		3,200		2,967
Morgan Stanley
1.570% due 11/29/2013	EUR	1,900		2,313
1.845% due 04/13/2016		600		686
6.250% due 08/28/2017	$	400		388
Nationwide Health Properties, Inc.
6.500% due 07/15/2011		900		887
NiSource Finance Corp.
5.400% due 07/15/2014		300		284
Nordstrom, Inc.
6.250% due 01/15/2018		2,500		2,460
Rohm & Haas Co.
5.600% due 03/15/2013		4,500		4,454
Ryder System, Inc.
6.000% due 03/01/2013		3,000		2,990
Sara Lee Corp.
6.250% due 09/15/2011		900		952
Simon Property Group LP
6.125% due 05/30/2018		2,000		1,863
Spectra Energy Capital LLC
5.668% due 08/15/2014		3,000		3,034
Sprint Capital Corp.
8.750% due 03/15/2032		200		162
Sprint Nextel Corp.
6.000% due 12/01/2016		700		576
State Street Capital Trust IV
1.629% due 06/01/2077		2,400		1,392
Temple-Inland, Inc.
6.625% due 01/15/2016		3,500		3,182
Viacom, Inc.
5.750% due 04/30/2011		2,000		2,049
Westpac Capital Trust IV
5.256% due 12/29/2049		1,000		774
				153,442
MORTGAGE-BACKED SECURITIES 10.7%
Adjustable Rate Mortgage Trust
5.152% due 09/25/2035		216		140
American Home Mortgage Assets
0.504% due 05/25/2046		2,139		789
2.260% due 11/25/2046		1,286		590
American Home Mortgage Investment Trust
4.290% due 10/25/2034		957		680
Banc of America Funding Corp.
4.585% due 02/20/2036		989		752
6.102% due 01/20/2047		304		162
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		2,280		2,238
BCAP LLC Trust
0.484% due 01/25/2037		4,324		1,652
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		845		726
2.500% due 08/25/2035		2,230		1,953
2.900% due 03/25/2035		3,497		3,026
3.530% due 08/25/2033		396		342
4.248% due 05/25/2034		487		382
4.532% due 08/25/2033		50		44
4.550% due 08/25/2035		2,738		2,418
4.630% due 05/25/2034		229		160
4.654% due 10/25/2033		280		247
4.808% due 11/25/2034		396		328
5.172% due 02/25/2034		31		20
5.457% due 05/25/2047		1,001		584
Bear Stearns Alt-A Trust
5.490% due 09/25/2035		1,455		791
5.694% due 11/25/2036		4,627		2,346
5.731% due 02/25/2036		2,538		1,124
5.841% due 11/25/2036		609		297
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		2,082		1,151
Citigroup Commercial Mortgage Trust
5.888% due 12/10/2049		1,400		993
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		1,040		828
4.748% due 08/25/2035		898		715
4.900% due 10/25/2035		3,286		2,497
5.994% due 09/25/2037		3,558		1,929
Countrywide Alternative Loan Trust
0.504% due 09/25/2046		2,785		1,065
0.510% due 12/20/2046		2,465		990
0.524% due 07/25/2046		114		45
0.664% due 05/25/2037		707		281
2.840% due 11/25/2035		402		177
3.380% due 11/25/2035		322		141
5.250% due 06/25/2035		381		304
5.886% due 02/25/2037		1,497		883
6.000% due 01/25/2037		1,664		909
6.000% due 04/25/2037		703		381
6.250% due 08/25/2037		334		180
Countrywide Home Loan Mortgage Pass-Through Trust
0.634% due 03/25/2035		3,079		1,306
0.644% due 02/25/2035		465		243
4.543% due 08/25/2034		112		69
4.786% due 11/25/2034		380		289
4.789% due 04/20/2035		171		151
CS First Boston Mortgage Securities Corp.
0.964% due 03/25/2034		463		217
3.044% due 05/25/2032		15		14
3.844% due 07/25/2033		31		27
4.214% due 08/25/2033		425		372
6.500% due 04/25/2033		69		64
First Horizon Asset Securities, Inc.
3.170% due 07/25/2033		131		116
4.742% due 12/25/2033		231		191
5.365% due 08/25/2035		199		151
GMAC Mortgage Corp. Loan Trust
4.765% due 06/25/2034		48		26
5.500% due 09/25/2034		1,150		1,153
GMAC Mortgage Securities, Inc.
7.430% due 12/01/2021		37		37
Greenpoint Mortgage Funding Trust
0.394% due 01/25/2047		350		266
0.494% due 01/25/2037		559		227
0.514% due 10/25/2046		1,600		169
0.524% due 04/25/2036		575		210
Greenpoint Mortgage Pass-Through Certificates
4.826% due 10/25/2033		44		33
GSR Mortgage Loan Trust
4.469% due 09/25/2035		351		295
4.535% due 03/25/2033		245		223
Harborview Mortgage Loan Trust
0.493% due 07/19/2046		2,271		943
0.503% due 09/19/2037		954		392
0.503% due 01/19/2038		787		336
2.190% due 12/19/2036		930		327
4.353% due 05/19/2033		398		339
5.143% due 07/19/2035		98		57
Indymac Index Mortgage Loan Trust
0.504% due 09/25/2046		2,117		827
0.514% due 11/25/2046		1,911		290
4.976% due 12/25/2034		120		91
JPMorgan Alternative Loan Trust
5.500% due 11/25/2036		923		750
5.550% due 10/25/2036		880		765
JPMorgan Mortgage Trust
4.381% due 11/25/2033		315		274
5.012% due 02/25/2035		585		512
MASTR Alternative Loans Trust
0.714% due 03/25/2036		345		124
Mellon Residential Funding Corp.
0.759% due 12/15/2030		752		606
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		1,200		802
6.156% due 08/12/2049		2,700		1,873
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		3,833		2,071
0.564% due 08/25/2036		273		126
4.668% due 02/25/2033		150		128
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		1,468		1,185
Residential Accredit Loans, Inc.
0.464% due 02/25/2047		1,082		416
0.494% due 06/25/2046		3,425		1,320
0.524% due 04/25/2046		354		134
0.544% due 05/25/2037		907		187
0.619% due 09/25/2046		800		93
Residential Asset Securitization Trust
0.764% due 12/25/2036		406		182
5.750% due 02/25/2036		556		355
6.250% due 10/25/2036		2,156		1,093
6.500% due 08/25/2036		1,000		479
Residential Funding Mortgage Securities I
5.202% due 09/25/2035		197		142
6.500% due 03/25/2032		55		55
Sequoia Mortgage Trust
0.663% due 10/19/2026		377		286
0.665% due 07/20/2033		726		584
Structured Adjustable Rate Mortgage Loan Trust
4.026% due 04/25/2034		466		390
4.802% due 02/25/2034		194		149
5.199% due 09/25/2034		935		806
Structured Asset Mortgage Investments, Inc.
0.504% due 07/25/2046		531		222
0.524% due 05/25/2046		892		361
0.563% due 07/19/2035		1,608		1,048
0.893% due 07/19/2034		213		117
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046		270		243
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		7,118		5,242
5.572% due 10/15/2048		4,300		3,322
WaMu Mortgage Pass-Through Certificates
0.544% due 04/25/2045		1,254		644
0.574% due 11/25/2045		573		278
0.624% due 01/25/2045		581		271
0.854% due 12/25/2027		1,902		1,423
2.080% due 01/25/2047		935		327
2.139% due 03/25/2047		2,503		1,022
2.909% due 06/25/2033		142		111
3.711% due 03/25/2034		765		642
3.766% due 03/25/2033		768		622
3.997% due 08/25/2034		1,254		1,094
5.833% due 02/25/2037		2,430		1,523
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.100% due 04/25/2047		1,336		372
2.110% due 04/25/2047		841		211
2.280% due 07/25/2046		672		227
Wells Fargo Mortgage-Backed Securities Trust
4.612% due 06/25/2035		2,130		1,871
				81,791
MUNICIPAL BONDS & NOTES 1.2%
California State General Obligation Bonds, Series 2007
5.000% due 11/01/2032		2,700		2,324
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
8.514% due 01/01/2014		270		249
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.125% due 06/01/2047		1,200		650
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		285		286
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
5.600% due 06/01/2034		5,600		3,760
6.500% due 06/01/2023		640		480
Los Angeles, California Wastewater System Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 06/01/2027		900		886
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
8.850% due 12/15/2013		370		328
New York State Tobacco Settlement Financing Authority Revenue Bonds, Series 2003
5.500% due 06/01/2017		200		205
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		600		31
				9,199
	SHARES
PREFERRED STOCKS 0.2%
DG Funding Trust
1.343% due 12/31/2049		130		1,125
SLM Corp. CPI Linked
0.750% due 01/16/2018		10,700		134
				1,259
	PRINCIPAL AMOUNT (000s)
U.S. GOVERNMENT AGENCIES 30.4%
Fannie Mae
0.514% due 10/27/2037	$	5,700		5,191
3.352% due 03/01/2024		19		19
4.287% due 11/01/2034		3,978		4,022
4.934% due 12/01/2034		748		772
4.949% due 11/01/2023		9		10
5.000% due 07/01/2018 - 04/01/2038		15,479		15,750
5.000% due 07/01/2035 - 03/01/2036 (e)		6,761		6,905
5.045% due 05/01/2035		489		510
5.500% due 10/01/2017 - 11/01/2038		11,443		11,835
5.500% due 06/01/2033 - 09/01/2037 (e)		51,545		53,348
5.500% due 05/01/2037 (e)(f)		9,952		10,286
6.000% due 01/01/2036 - 01/01/2037		199		209
6.500% due 06/01/2029 - 10/01/2037		2,350		2,490
Federal Home Loan Bank
7.400% due 02/01/2021		126		127
Freddie Mac
0.669% due 12/15/2030		414		409
0.702% due 03/09/2011 (d)		1,042		1,046
0.888% due 02/01/2011 (d)		990		989
0.926% due 05/04/2011 (d)		898		900
0.937% due 08/05/2011 (d)		18		18
1.268% due 04/01/2011 (d)		1,021		1,025
2.638% due 10/25/2044		3,687		3,630
3.326% due 05/01/2023		50		50
4.510% due 02/01/2029		260		264
5.328% due 04/01/2037		1,217		1,258
5.500% due 02/01/2038 (e)		1,562		1,615
6.000% due 12/15/2024		312		327
Ginnie Mae
0.918% due 02/16/2030		218		218
4.125% due 12/20/2023 - 12/20/2026		68		69
4.250% due 01/20/2030		59		60
4.375% due 02/20/2024		131		134
4.625% due 07/20/2022 - 09/20/2026		142		145
5.375% due 05/20/2022 - 05/20/2030		167		172
5.500% due 07/01/2039		46,000		47,473
6.000% due 08/20/2034 - 01/15/2039		18,805		19,752
6.500% due 01/15/2029 - 07/01/2039		32,869		34,954
8.500% due 01/15/2030 - 02/15/2031		171		191
Small Business Administration
6.640% due 02/01/2011		80		84
Tennessee Valley Authority
5.880% due 04/01/2036		3,900		4,162
7.140% due 05/23/2012		1,000		1,136
				231,555
U.S. TREASURY OBLIGATIONS 0.2%
U.S. Treasury Notes
0.875% due 04/30/2011 (f)		1,903		1,898
Total United States (Cost $553,469)				492,813
SHORT-TERM INSTRUMENTS 2.2%
REPURCHASE AGREEMENTS 0.3%
JPMorgan Chase Bank N.A.
0.010% due 07/01/2009	$	600		600
(Dated 06/30/2009. Collateralized by U.S. Treasury Notes 2.000% due 11/30/2013 valued at $614. Repurchase proceeds are $600.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		1,229		1,229
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $1,255. Repurchase proceeds are $1,229.)
				1,829
U.S. TREASURY BILLS 0.8%
0.109% due 07/02/2009 - 07/30/2009 (b)(d)(f)		6,462		6,462
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 1.1%
		812,944		8,137
Total Short-Term Instruments (Cost $16,427)				16,428
Total Investments 119.7% (Cost $981,762)				910,848
Written Options (h) (0.0%) (Premiums $275)				(107	)
Other Assets and Liabilities (Net) (19.7%)				(149,757	)
Net Assets 100.0%			$	760,984

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) Affiliated to the Fund.

(d) Securities with an aggregate market value of $3,363 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $64,729 at a weighted average interest rate of 0.400%. On June 30, 2009, securities valued at $66,137 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $3,890 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Euro-Bobl September Futures	Long	09/2009	132	$	137
Euro-Bund 10-Year Bond September Futures	Long	09/2009	247		701
Japan Government 10-Year Bond September Futures	Long	09/2009	45		1,039
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	871		(611	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 92.000	Short	12/2009	242		93
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	799		(230	)
				$	1,129

(g) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection ⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Altria Group, Inc.	DUB	(1.455	%)	03/20/2019	1.088	%	$	4,000	$	(117	)	$	0	$	(117	)
American Electric Power Co., Inc.	WAC	(0.450	%)	06/20/2015	0.623	%		3,000		28			0		28
Anadarko Petroleum Corp.	BCLY	(0.330	%)	03/20/2012	0.737	%		1,000		11			0		11
AutoZone, Inc.	BOA	(0.620	%)	12/20/2012	0.502	%		7,000		(29	)		0		(29	)
AutoZone, Inc.	CITI	(0.680	%)	12/20/2012	0.502	%		800		(5	)		0		(5	)
Bank of America Corp.	BCLY	(1.700	%)	12/20/2013	2.293	%		1,500		35			0		35
Bank of America Corp.	DUB	(1.720	%)	12/20/2013	2.293	%		1,200		27			0		27
Barclays Bank PLC	DUB	(4.350	%)	09/20/2013	2.139	%	EUR	800		(98	)		0		(98	)
Barclays Bank PLC	RBS	(2.350	%)	12/20/2017	2.120	%	$	1,100		(18	)		0		(18	)
Bear Stearns Cos. LLC	BNP	(2.180	%)	03/20/2018	1.074	%		5,100		(408	)		0		(408	)
Bear Stearns Cos. LLC	CITI	(1.200	%)	03/20/2018	1.074	%		5,500		(51	)		0		(51	)
Bear Stearns Cos. LLC	DUB	(0.770	%)	03/20/2018	1.074	%		1,000		22			0		22
Boston Scientific Corp.	MLP	(0.510	%)	06/20/2011	1.056	%		1,000		10			0		10
Boston Scientific Corp.	UBS	(2.060	%)	06/20/2016	1.111	%		1,700		(98	)		0		(98	)
Citigroup, Inc.	CSFB	(1.300	%)	09/20/2018	3.802	%		6,100		926			0		926
CNA Financial Corp.	JPM	(0.440	%)	09/20/2011	3.246	%		800		47			0		47
Computer Sciences Corp.	BOA	(1.160	%)	03/20/2018	0.573	%		3,000		(132	)		0		(132	)
Cox Communications, Inc.	MSC	(0.200	%)	03/20/2011	0.449	%		700		3			0		3
Daimler Finance N.A. LLC	JPM	(0.520	%)	06/20/2010	1.289	%		300		2			0		2
Daimler Finance N.A. LLC	RBS	(0.620	%)	09/20/2011	1.524	%		400		8			0		8
Exelon Corp.	CITI	(1.260	%)	06/20/2015	2.226	%		3,000		145			0		145
Goldman Sachs Group, Inc.	CITI	(1.130	%)	03/20/2018	1.423	%		5,000		101			0		101
Goldman Sachs Group, Inc.	UBS	(0.310	%)	06/20/2016	1.486	%		1,100		76			0		76
HCP, Inc.	JPM	(0.610	%)	09/20/2011	3.797	%		300		20			0		20
International Lease Finance Corp.	BCLY	(1.540	%)	12/20/2013	9.030	%		3,000		703			0		703
International Lease Finance Corp.	JPM	(1.620	%)	06/20/2012	9.716	%		1,000		188			0		188
International Lease Finance Corp.	MLP	(0.130	%)	03/20/2012	9.924	%		1,000		212			0		212
Johnson Controls, Inc.	CSFB	(0.240	%)	03/20/2011	2.404	%		900		32			0		32
JPMorgan Chase & Co.	DUB	(0.720	%)	03/20/2018	1.025	%		600		13			0		13
JPMorgan Chase & Co.	DUB	(0.740	%)	03/20/2018	1.025	%		2,600		53			0		53
JPMorgan Chase & Co.	UBS	(0.730	%)	03/20/2018	1.025	%		1,700		36			0		36
Lennar Corp.	MLP	(5.750	%)	12/20/2012	4.047	%		900		(48	)		0		(48	)
Loews Corp.	JPM	(0.330	%)	03/20/2016	0.610	%		300		5			0		5
Marsh & McLennan Cos., Inc.	DUB	(0.590	%)	09/20/2014	0.533	%		3,000		(9	)		0		(9	)
Masco Corp.	MSC	(0.580	%)	09/20/2012	3.728	%		300		27			0		27
Nationwide Health Properties, Inc.	DUB	(0.620	%)	09/20/2011	3.181	%		900		48			0		48
NiSource Finance Corp.	JPM	(0.620	%)	09/20/2014	2.386	%		300		24			0		24
Nordstrom, Inc.	BOA	(1.120	%)	03/20/2018	2.066	%		2,500		159			0		159
Rohm & Haas Co.	DUB	(0.470	%)	03/20/2013	0.840	%		4,500		59			0		59
Ryder System, Inc.	BOA	(0.850	%)	03/20/2013	2.291	%		3,000		153			0		153
Sara Lee Corp.	RBS	(0.630	%)	09/20/2011	0.299	%		900		(7	)		0		(7	)
Simon Property Group LP	DUB	(0.947	%)	06/20/2018	2.178	%		2,000		166			0		166
Smith Group PLC	RBS	(0.530	%)	09/20/2010	0.653	%	GBP	1,000		2			0		2
Spectra Energy Capital LLC	BOA	(0.830	%)	09/20/2014	0.575	%	$	3,000		(38	)		0		(38	)
Sprint Nextel Corp.	JPM	(1.065	%)	12/20/2016	3.755	%		700		104			0		104
Tate & Lyle International Finance PLC	DUB	(0.510	%)	12/20/2014	1.529	%		400		20			0		20
Telecom Italia Capital S.A.	JPM	(1.530	%)	06/20/2018	1.962	%		3,000		89			0		89
Temple-Inland, Inc.	GSC	(6.680	%)	03/20/2016	2.444	%		3,500		(813	)		0		(813	)
Time Warner, Inc.	BCLY	(1.050	%)	03/20/2016	0.832	%		1,500		(20	)		0		(20	)
Viacom, Inc.	BOA	(3.200	%)	06/20/2011	1.490	%		900		(30	)		0		(30	)
Viacom, Inc.	MSC	(0.640	%)	06/20/2011	1.490	%		300		5			0		5
Viacom, Inc.	UBS	(0.470	%)	06/20/2011	1.490	%		800		16			26		(10	)
Vivendi	BNP	(1.742	%)	06/20/2013	1.186	%		1,200		(26	)		0		(26	)
Vivendi	BNP	(1.780	%)	06/20/2013	1.186	%		1,200		(27	)		0		(27	)
Vivendi	BNP	(1.820	%)	06/20/2013	1.186	%		1,000		(24	)		0		(24	)
Vivendi	JPM	(1.500	%)	06/20/2018	1.284	%		2,500		(40	)		0		(40	)
Weatherford International Ltd.	BOA	(0.560	%)	03/20/2016	1.318	%		1,600		70			0		70
WPP Group PLC	JPM	(3.750	%)	06/20/2017	2.391	%	GBP	2,500		(350	)		0		(350	)
XL Capital Finance Europe PLC	BCLY	(0.310	%)	03/20/2012	4.249	%	$	400		39			0		39
									$	1,296		$	26	$	1,270

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Berkshire Hathaway Finance Corp.	HSBC	0.980	%	09/20/2013	2.396	%	$	2,600	$	(138	)	$	0	$	(138	)
Brazil Government International Bond	MLP	1.340	%	08/20/2011	1.177	%		7,000		58			0		58
General Electric Capital Corp.	BCLY	5.000	%	06/20/2014	4.176	%		2,000		69			44		25
General Electric Capital Corp.	BOA	7.000	%	06/20/2013	4.342	%		600		55			0		55
General Electric Capital Corp.	DUB	4.100	%	12/20/2013	4.336	%		5,000		(39	)		0		(39	)
HSBC Finance Corp.	GSC	1.500	%	06/20/2010	4.848	%		1,600		(50	)		0		(50	)
JSC Gazprom	MLP	0.610	%	05/20/2012	5.007	%		400		(45	)		0		(45	)
SLM Corp.	GSC	0.700	%	06/20/2012	8.543	%		600		(113	)		0		(113	)
									$	(203	)	$	44	$	(247	)

Credit Default Swaps on Credit Indices - Buy Protection ⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX.IG-8 10-Year Index	GSC	(0.600	%)	06/20/2017	$	80,325	$	5,024	$	1,821		$	3,203
CDX.IG-9 10-Year Index	DUB	(0.800	%)	12/20/2017		7,515		424		282			142
CDX.IG-10 10-Year Index	GSC	(1.500	%)	06/20/2018		17,080		152		(576	)		728
CDX.IG-12 10-Year Index	GSC	(1.000	%)	06/20/2019		8,100		141		243			(102	)
							$	5,741	$	1,770		$	3,971

Credit Default Swaps on Credit Indices - Sell Protection ⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/ (Received)			Unrealized (Depreciation)
ABX.HE AA 06-1 Index	CSFB	0.320	%	07/25/2045	$	3,000	$	(2,310	)	$	(966	)	$	(1,344	)
ABX.HE AAA 06-2 Index	DUB	0.110	%	05/25/2046		998		(668	)		(375	)		(293	)
							$	(2,978	)	$	(1,341	)	$	(1,637	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP	EUR	9,000	$	435		$	(14	)	$	449
Pay	1-Month EUR-FRCPXTOB Index	2.103	%	10/15/2010	BCLY		17,000		952			(17	)		969
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		14,200		816			11			805
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	BCLY		2,300		44			0			44
Pay	1-Month EUR-FRCPXTOB Index	2.080	%	06/15/2012	GSC		10,800		248			0			248
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2012	DUB	AUD	71,700		(887	)		29			(916	)
Pay	3-Month AUD Bank Bill	6.500	%	06/15/2012	DUB		7,400		14			10			4
Pay	3-Month AUD Bank Bill	6.500	%	06/15/2012	RBS		40,600		80			29			51
Pay	3-Month SEK-STIBOR	4.500	%	03/18/2014	BCLY	SEK	4,000		45			(4	)		49
Pay	3-Month SEK-STIBOR	4.500	%	03/18/2014	GSC		57,000		643			(59	)		702
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	RBS	$	600		3			0			3
Pay	6-Month GBP-LIBOR	3.500	%	03/17/2015	GSC	GBP	3,500		(172	)		(30	)		(142	)
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	BOA	JPY	1,010,000		14			(22	)		36
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	RBS		1,420,000		20			(13	)		33
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	UBS		1,620,000		23			(1	)		24
Pay	6-Month JPY-LIBOR	1.500	%	12/16/2016	BCLY		2,260,000		499			449			50
Pay	6-Month JPY-LIBOR	1.500	%	12/16/2019	BOA		340,000		3			(6	)		9
Pay	6-Month JPY-LIBOR	1.500	%	12/16/2019	RBS		190,000		2			3			(1	)
								$	2,782		$	365		$	2,417

(h) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.625	09/14/2009	20	$	3	$	1

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009	$	7,000	$	21	$	14
Put - OTC 5-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.300	%	08/03/2009		50,800		127		26
Put - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.300	%	08/03/2009		16,200		30		8
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		13,000		45		27
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.320	%	08/28/2009		37,500		49		31
									$	272	$	106

(i) Restricted securities as of June 30, 2009:

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	$	1,982	$	1,827	0.24	%

(j) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.000	%	07/01/2039	$	3,000	$	3,007	$	3,053
Fannie Mae	5.500	%	07/01/2039		24,100		24,908		24,872
Freddie Mac	5.500	%	07/01/2039		1,000		1,032		1,032
						$	28,947	$	28,957

(k) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	DUB	11,590	07/2009	$	0	$	(106	)	$	(106	)
Sell		GSC	4,342	07/2009		2		(70	)		(68	)
Sell		MSC	752	07/2009		0		(7	)		(7	)
Sell		RBC	2,493	07/2009		0		(34	)		(34	)
Buy	BRL	HSBC	34	08/2009		2		0			2
Sell	CAD	HSBC	1,800	08/2009		6		0			6
Sell		JPM	11,514	08/2009		569		0			569
Buy	CLP	BCLY	66,358	11/2009		10		0			10
Sell		CITI	83,585	11/2009		0		(12	)		(12	)
Buy	CNY	BCLY	1,451	07/2009		0		(13	)		(13	)
Sell		BCLY	8,262	07/2009		0		(26	)		(26	)
Buy		DUB	18,327	07/2009		0		(162	)		(162	)
Buy		HSBC	2,420	07/2009		0		(22	)		(22	)
Buy		JPM	2,243	07/2009		0		(20	)		(20	)
Sell		JPM	16,179	07/2009		0		(61	)		(61	)
Buy		BCLY	2,209	09/2009		4		0			4
Buy		CITI	2,221	09/2009		5		0			5
Buy		DUB	9,978	09/2009		22		0			22
Sell		DUB	20,641	09/2009		0		(100	)		(100	)
Buy		HSBC	4,438	09/2009		10		0			10
Buy		JPM	1,795	09/2009		3		0			3
Buy		BCLY	10,063	05/2010		0		(145	)		(145	)
Sell		BCLY	21,410	05/2010		0		(179	)		(179	)
Buy		MLP	11,346	05/2010		0		(158	)		(158	)
Buy	DKK	RBS	33,319	07/2009		0		(84	)		(84	)
Buy		RBS	33,319	10/2009		1		0			1
Buy	EUR	BCLY	19,780	07/2009		148		(1	)		147
Sell		BCLY	2,666	07/2009		27		0			27
Sell		DUB	377	07/2009		0		(3	)		(3	)
Sell		GSC	2,665	07/2009		28		0			28
Buy		JPM	1,270	07/2009		12		(1	)		11
Sell		RBC	8,468	07/2009		60		0			60
Buy		RBS	108	07/2009		0		0			0
Sell	GBP	BCLY	2,505	07/2009		3		(147	)		(144	)
Buy		CITI	24,479	07/2009		2,398		0			2,398
Sell		CITI	20,773	07/2009		0		(23	)		(23	)
Sell		CSFB	662	07/2009		1		(27	)		(26	)
Buy		GSC	771	07/2009		23		0			23
Sell		GSC	832	07/2009		4		(24	)		(20	)
Sell		JPM	1,030	07/2009		0		(113	)		(113	)
Buy		MSC	444	07/2009		22		0			22
Sell		RBC	272	07/2009		0		(5	)		(5	)
Buy		RBS	927	07/2009		15		(1	)		14
Buy		UBS	607	07/2009		12		0			12
Buy		GSC	1,044	08/2009		0		(1	)		(1	)
Buy		RBS	21,461	08/2009		16		0			16
Buy	HKD	BCLY	12	09/2009		0		0			0
Buy		BOA	30	09/2009		0		0			0
Buy		CITI	15	09/2009		0		0			0
Buy		DUB	16	09/2009		0		0			0
Buy		JPM	16	09/2009		0		0			0
Buy	HUF	JPM	112	10/2009		0		0			0
Sell	INR	BCLY	226	07/2009		0		0			0
Buy		BOA	549	07/2009		1		0			1
Buy		CITI	547	07/2009		1		0			1
Sell		CITI	685	07/2009		0		0			0
Buy		DUB	478	07/2009		1		0			1
Sell		HSBC	226	07/2009		0		0			0
Sell		JPM	227	07/2009		0		0			0
Sell		MSC	208	07/2009		0		0			0
Buy		BCLY	226	10/2009		0		0			0
Buy		CITI	688	10/2009		0		0			0
Buy		HSBC	226	10/2009		0		0			0
Buy		JPM	228	10/2009		0		0			0
Buy		MSC	208	10/2009		0		0			0
Buy	JPY	BCLY	315,439	07/2009		35		(7	)		28
Buy		BNP	22,263,840	07/2009		255		0			255
Sell		BNP	357,761	07/2009		0		(78	)		(78	)
Sell		BOA	1,177	07/2009		0		0			0
Buy		GSC	20,486	07/2009		4		0			4
Sell		GSC	29,686	07/2009		0		(4	)		(4	)
Buy		JPM	1,544	07/2009		0		0			0
Sell		JPM	266,777	07/2009		0		(52	)		(52	)
Sell		RBS	26,274	07/2009		1		0			1
Buy		MSC	22,148,721	08/2009		2		0			2
Sell		RBC	20,117	08/2009		1		0			1
Sell	KRW	BCLY	24,840	07/2009		0		(1	)		(1	)
Sell		BOA	14,431	07/2009		0		(1	)		(1	)
Sell		CITI	14,488	07/2009		0		(1	)		(1	)
Sell		DUB	4,288	07/2009		0		0			0
Sell	MXN	CITI	162	11/2009		0		(1	)		(1	)
Buy	MYR	BCLY	879	08/2009		11		0			11
Sell		BCLY	2,359	08/2009		0		(5	)		(5	)
Buy		CITI	680	08/2009		7		0			7
Buy		HSBC	784	08/2009		9		0			9
Buy	NZD	GSC	737	07/2009		20		0			20
Sell		GSC	1,352	07/2009		0		(37	)		(37	)
Buy	PHP	BCLY	21,854	08/2009		0		(1	)		(1	)
Buy		CITI	13,915	08/2009		1		0			1
Sell		CITI	46,090	08/2009		4		(1	)		3
Buy		DUB	9,270	08/2009		0		0			0
Sell	SEK	CSFB	23	07/2009		0		0			0
Buy		RBS	22,130	07/2009		0		(137	)		(137	)
Buy		RBS	22,107	10/2009		3		0			3
Buy	SGD	HSBC	796	07/2009		0		(1	)		(1	)
Sell		HSBC	811	07/2009		0		(27	)		(27	)
Sell	TWD	BCLY	91	08/2009		0		0			0
Sell		CITI	32	08/2009		0		0			0
Sell		DUB	42	08/2009		0		0			0
Sell		JPM	84	08/2009		0		0			0
Buy	ZAR	BCLY	279	11/2009		7		0			7
					$	3,766	$	(1,899	)	$	1,867

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
France	$	0	$	77,066		$	0	$	77,066
Germany		0		56,356			0		56,356
Japan		0		60,709			0		60,709
Netherlands		0		47,390			0		47,390
United Kingdom		0		40,965			2,138		43,103
United States		0		491,722			1,091		492,813
Other Investments++		8,137		113,300			11,974		133,411
Investments, at value	$	8,137	$	887,508		$	15,203	$	910,848
Short Sales, at value	$	0	$	(28,957	)	$	0	$	(28,957	)
Financial Derivative Instruments+++	$	1,129	$	5,867		$	1,667	$	8,663
Total	$	9,266	$	864,418		$	16,870	$	890,554

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)			Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
United Kingdom	$	0	$	2,005		$	0	$	0		$	133	$	0		$	2,138
United States		1,230		(167	)		0		8			20		0			1,091
Other Investments++		13,069		(1,161	)		16		(287	)		1,886		(1,549	)		11,974
Investments, at value	$	14,299	$	677		$	16	$	(279	)	$	2,039	$	(1,549	)	$	15,203
Financial Derivative Instruments+++	$	2,429	$	0		$	0	$	0		$	87	$	(849	)	$	1,667
Total	$	16,728	$	677		$	16	$	(279	)	$	2,126	$	(2,398	)	$	16,870

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

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

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
AUSTRALIA 4.8%
Citigroup Pty Ltd.
5.500% due 06/18/2012	AUD	500	$	402
Commonwealth Bank of Australia
1.030% due 12/10/2012	$	800		801
4.500% due 02/20/2014	AUD	1,100		838
Crusade Global Trust
1.390% due 11/19/2037	EUR	266		329
ING Bank Australia Ltd.
3.884% due 06/24/2014	AUD	2,000		1,599
Kreditanstalt fuer Wiederaufbau
5.500% due 06/05/2014		500		392
Macquarie Bank Ltd.
4.100% due 12/17/2013	$	1,700		1,745
Puma Finance Ltd.
0.822% due 02/21/2038		456		408
3.290% due 08/22/2037	AUD	154		115
3.555% due 07/12/2036		156		119
Superannuation Members Home Loans Global Fund
0.769% due 03/09/2036	$	686		598
Torrens Trust
3.527% due 10/19/2038	AUD	809		581
Total Australia (Cost $8,182)				7,927
BERMUDA 0.4%
Merna Reinsurance Ltd.
1.248% due 07/07/2010	$	700		652
Total Bermuda (Cost $697)				652
CANADA 3.6%
Broadway Credit Card Trust
5.234% due 06/17/2011	CAD	892		762
Canada Housing Trust No. 1
4.050% due 03/15/2011		2,000		1,803
4.600% due 09/15/2011		800		733
Canadian Imperial Bank of Commerce
5.250% due 09/16/2010	EUR	400		577
Citigroup Finance Canada, Inc.
5.500% due 05/21/2013	CAD	200		160
Ford Auto Securitization Trust
4.817% due 10/15/2012		300		258
Master Credit Card Trust
5.297% due 08/21/2012		200		183
Province of Ontario Canada
5.850% due 03/08/2033		200		193
Province of Quebec Canada
5.125% due 11/14/2016	$	300		311
5.750% due 12/01/2036	CAD	1,000		961
Total Canada (Cost $6,229)				5,941
CAYMAN ISLANDS 1.0%
Mizuho Financial Group Cayman Ltd.
8.375% due 01/29/2049	$	450		439
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		510		447
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049	EUR	300		298
Residential Reinsurance 2007 Ltd.
8.418% due 06/07/2010	$	500		477
Total Cayman Islands (Cost $1,842)				1,661
DENMARK 0.2%
Nykredit Realkredit A/S
6.000% due 10/01/2029	DKK	175		34
Realkredit Danmark A/S
4.100% due 10/01/2038		2,185		392
Total Denmark (Cost $401)				426
FRANCE 13.4%
BNP Paribas Covered Bonds S.A.
4.750% due 05/28/2013	EUR	400		586
Caisse Nationale des Caisses d’Epargne et de Prevoyance
5.250% due 09/17/2010		1,250		1,819
6.117% due 10/29/2049		300		229
Credit Agricole S.A.
6.637% due 05/29/2049	$	500		294
Dexia Credit Local
1.262% due 09/23/2011		800		798
France Government Bond
3.750% due 04/25/2021	EUR	1,800		2,474
4.000% due 10/25/2014		1,000		1,482
4.000% due 10/25/2038		600		794
4.250% due 04/25/2019		5,300		7,745
4.750% due 04/25/2035		300		445
5.750% due 10/25/2032		1,100		1,847
Societe Financement de l’Economie Francaise
2.125% due 05/20/2012		400		561
2.250% due 06/11/2012	$	1,600		1,601
3.375% due 05/05/2014		800		803
Vivendi
5.750% due 04/04/2013		446		449
6.625% due 04/04/2018		100		101
Total France (Cost $22,112)				22,028
GERMANY 3.4%
Kreditanstalt fuer Wiederaufbau
4.875% due 06/17/2019	$	800		830
Republic of Germany
4.250% due 07/04/2039	EUR	300		425
5.500% due 01/04/2031		1,800		2,930
6.250% due 01/04/2030		800		1,406
Total Germany (Cost $5,355)				5,591
IRELAND 0.3%
Depfa ACS Bank
1.650% due 12/20/2016	JPY	20,000		137
Immeo Residential Finance PLC
1.437% due 12/15/2016	EUR	237		216
Lusitano Mortgages PLC
1.557% due 12/15/2035		89		107
Total Ireland (Cost $573)				460
ITALY 0.2%
Siena Mortgages SpA
1.498% due 12/16/2038	EUR	259		350
Total Italy (Cost $316)				350
JAPAN 7.7%
Japan Government CPI Linked Bond
0.800% due 12/10/2015	JPY	90,720		830
1.000% due 06/10/2016		303,000		2,762
1.100% due 12/10/2016		1,805		17
1.200% due 03/10/2017		65,390		600
1.200% due 06/10/2017		540,885		4,917
Japan Government International Bond
2.500% due 09/20/2036		170,000		1,875
2.500% due 09/20/2037		70,000		776
JLOC Ltd.
0.796% due 02/16/2016		42,102		419
Resona Bank Ltd.
5.850% due 09/29/2049	$	500		378
Total Japan (Cost $12,124)				12,574
JERSEY, CHANNEL ISLANDS 0.1%
HBOS Capital Funding LP
9.540% due 03/29/2049	GBP	191		146
Total Jersey, Channel Islands (Cost $387)				146
LIBERIA 0.1%
Royal Caribbean Cruises Ltd.
8.000% due 05/15/2010	$	100		101
Total Liberia (Cost $102)				101
LUXEMBOURG 0.6%
Tyco Electronics Group S.A.
5.950% due 01/15/2014	$	1,000		935
Total Luxembourg (Cost $902)				935
NETHERLANDS 2.2%
Delphinus BV
1.556% due 11/28/2031	EUR	193		261
1.830% due 06/25/2066		60		82
Dutch Mortgage-Backed Securities BV
1.790% due 10/02/2079		662		901
Fortis Bank Nederland Holding NV
3.375% due 05/19/2014		1,200		1,692
Holland Euro-Denominated Mortgage-Backed Series
1.680% due 04/18/2012		4		5
LeasePlan Corp. NV
3.250% due 05/22/2014		300		421
Netherlands Government Bond
3.750% due 07/15/2014		200		292
Total Netherlands (Cost $3,442)				3,654
NORWAY 1.1%
DnB NOR Boligkreditt
4.375% due 11/15/2010	EUR	1,275		1,831
Total Norway (Cost $1,951)				1,831
PORTUGAL 0.6%
Banco Espirito Santo S.A.
5.500% due 07/21/2010	EUR	650		939
Total Portugal (Cost $1,021)				939
SOUTH KOREA 0.2%
Export-Import Bank of Korea
5.750% due 05/22/2013	EUR	255		357
Total South Korea (Cost $393)				357
SPAIN 0.5%
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	$	1,100		815
Total Spain (Cost $1,119)				815
SUPRANATIONAL 0.1%
European Investment Bank
5.375% due 05/20/2014	AUD	200		157
Total Supranational (Cost $157)				157
SWITZERLAND 0.7%
UBS AG
5.750% due 04/25/2018	$	956		872
5.875% due 12/20/2017		319		298
Total Switzerland (Cost $1,269)				1,170
UNITED KINGDOM 4.9%
Barclays Bank PLC
6.050% due 12/04/2017	$	765		664
7.434% due 09/29/2049		600		403
10.179% due 06/12/2021		400		427
Bauhaus Securities Ltd.
1.704% due 10/30/2052	EUR	80		109
British Sky Broadcasting Group PLC
9.500% due 11/15/2018	$	800		958
HBOS PLC
6.750% due 05/21/2018		446		337
HSBC Holdings PLC
6.500% due 05/02/2036		574		562
Lloyds Banking Group PLC
5.920% due 09/29/2049		1,300		461
Lloyds TSB Bank PLC
2.208% due 04/02/2012		600		599
5.625% due 07/29/2049	EUR	377		529
Pearson Dollar Finance Two PLC
6.250% due 05/06/2018	$	1,275		1,225
Royal Bank of Scotland Group PLC
2.625% due 05/11/2012		800		806
7.092% due 10/29/2049	EUR	400		194
9.118% due 03/31/2049	$	382		311
Tate & Lyle International Finance PLC
5.000% due 11/15/2014		100		90
United Kingdom Gilt
4.250% due 06/07/2032	GBP	100		163
XL Capital Finance Europe PLC
6.500% due 01/15/2012	$	200		186
Total United Kingdom (Cost $8,850)				8,024
UNITED STATES 63.4%
ASSET-BACKED SECURITIES 3.6%
ABSC Manufactured Housing Contract
5.019% due 04/16/2030	$	259		211
AFC Home Equity Loan Trust
1.024% due 12/22/2027		11		6
Amortizing Residential Collateral Trust
1.014% due 10/25/2031		10		6
Amresco Residential Securities Mortgage Loan Trust
1.254% due 06/25/2029		9		5
Bear Stearns Asset-Backed Securities Trust
0.764% due 03/25/2043		10		9
0.974% due 10/25/2032		6		4
Capital Auto Receivables Asset Trust
1.769% due 10/15/2012		700		695
Countrywide Asset-Backed Certificates
0.364% due 08/25/2037		245		219
CS First Boston Mortgage Securities Corp.
0.934% due 01/25/2032		8		5
First Alliance Mortgage Loan Trust
0.545% due 12/20/2027		39		23
Ford Credit Auto Owner Trust
0.919% due 07/15/2010		537		537
1.219% due 01/15/2011		532		533
1.739% due 06/15/2012		365		366
Franklin Auto Trust
1.315% due 10/20/2011		223		224
GSAMP Trust
0.604% due 03/25/2034		29		28
Home Equity Mortgage Trust
5.500% due 01/25/2037		160		21
Mid-State Trust
8.330% due 04/01/2030		312		251
Nelnet Student Loan Trust
1.622% due 04/27/2015		325		325
Renaissance Home Equity Loan Trust
0.814% due 12/25/2033		37		18
Residential Asset Mortgage Products, Inc.
0.874% due 06/25/2032		10		5
Residential Asset Securities Corp.
0.814% due 07/25/2032		22		9
SLC Student Loan Trust
1.079% due 06/15/2017		510		495
SLM Student Loan Trust
2.592% due 04/25/2023		1,690		1,726
Structured Asset Securities Corp.
0.714% due 05/25/2034		39		32
Vanderbilt Acquisition Loan Trust
5.700% due 09/07/2023		39		38
Wells Fargo Home Equity Trust
0.544% due 10/25/2035		110		104
				5,895
CORPORATE BONDS & NOTES 17.5%
Aetna, Inc.
6.500% due 09/15/2018		300		301
American Express Bank FSB
0.438% due 05/29/2012		100		89
0.471% due 06/12/2012		300		266
American Express Co.
7.000% due 03/19/2018		829		806
American International Group, Inc.
4.875% due 03/15/2067	EUR	300		86
5.850% due 01/16/2018	$	500		265
8.000% due 05/22/2038	EUR	1,500		474
8.175% due 05/15/2058	$	1,300		371
8.250% due 08/15/2018		700		413
AutoZone, Inc.
5.875% due 10/15/2012		100		104
BAE Systems Holdings, Inc.
6.400% due 12/15/2011		200		212
Bank of America Corp.
4.750% due 05/23/2017	EUR	400		400
5.750% due 12/01/2017	$	320		285
Bear Stearns Cos. LLC
0.763% due 10/02/2009 (i)	CAD	500		429
6.400% due 10/02/2017	$	1,200		1,204
7.250% due 02/01/2018		1,100		1,161
Boston Scientific Corp.
6.000% due 06/15/2011		200		201
6.400% due 06/15/2016		300		281
Burlington Northern Santa Fe Corp.
5.750% due 03/15/2018		446		457
Citigroup Capital XXI
8.300% due 12/21/2077		300		234
Citigroup Funding, Inc.
2.125% due 07/12/2012		2,300		2,303
Citigroup, Inc.
6.000% due 08/15/2017		1,319		1,152
6.125% due 05/15/2018		1,085		951
Cleveland Electric Illuminating Co.
5.700% due 04/01/2017		637		621
CNA Financial Corp.
6.000% due 08/15/2011		300		286
Computer Sciences Corp.
5.500% due 03/15/2013		637		634
Constellation Energy Group, Inc.
7.000% due 04/01/2012		319		330
Cytec Industries, Inc.
6.000% due 10/01/2015		637		563
Daimler Finance North America LLC
5.750% due 09/08/2011		100		102
DR Horton, Inc.
6.000% due 04/15/2011		200		197
Erac USA Finance Co.
5.800% due 10/15/2012		700		656
Exelon Corp.
4.900% due 06/15/2015		637		594
GATX Financial Corp.
5.500% due 02/15/2012		637		633
General Electric Capital Corp.
1.616% due 05/22/2013		446		401
6.375% due 11/15/2067		500		334
Goldman Sachs Group, Inc.
1.616% due 05/18/2015	EUR	1,000		1,203
5.250% due 06/01/2016 (i)	CAD	500		415
5.375% due 02/15/2013	EUR	200		284
Health Care REIT, Inc.
5.875% due 05/15/2015	$	400		349
Home Depot, Inc.
5.400% due 03/01/2016		637		637
International Business Machines Corp.
1.652% due 07/28/2011		200		201
International Lease Finance Corp.
5.350% due 03/01/2012		200		156
JPMorgan Chase & Co.
5.058% due 02/22/2021	CAD	200		149
6.000% due 01/15/2018	$	500		498
JPMorgan Chase & Co. CPI Linked Bond
3.574% due 02/15/2012		100		87
JPMorgan Chase Bank N.A.
4.375% due 11/30/2021	EUR	200		244
JPMorgan Chase Capital XX
6.550% due 09/15/2066	$	300		239
JPMorgan Chase Capital XXII
6.450% due 01/15/2087		200		160
Kinder Morgan Energy Partners LP
6.950% due 01/15/2038		1,339		1,299
Lehman Brothers Holdings, Inc.
2.950% due 05/25/2010 (a)		1,200		183
5.625% due 01/24/2013 (a)		500		78
6.875% due 05/02/2018 (a)		700		116
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		638		609
Masco Corp.
6.125% due 10/03/2016		200		168
Merrill Lynch & Co., Inc.
1.559% due 08/25/2014	EUR	100		117
1.570% due 05/30/2014		500		568
Morgan Stanley
1.557% due 10/18/2016	$	200		162
Nabors Industries, Inc.
6.150% due 02/15/2018		637		612
NiSource Finance Corp.
6.800% due 01/15/2019		637		598
Sabre Holdings Corp.
7.350% due 08/01/2011		200		171
Sara Lee Corp.
6.250% due 09/15/2011		200		212
Sealed Air Corp.
5.625% due 07/15/2013		200		181
Sprint Nextel Corp.
6.000% due 12/01/2016		100		82
U.S. Bank N.A.
4.375% due 02/28/2017	EUR	750		880
Verizon Communications, Inc.
6.400% due 02/15/2038	$	1		1
Viacom, Inc.
5.750% due 04/30/2011		200		205
				28,660
MORTGAGE-BACKED SECURITIES 8.3%
American Home Mortgage Assets
0.504% due 05/25/2046		536		198
0.524% due 10/25/2046		395		129
American Home Mortgage Investment Trust
0.554% due 05/25/2047		444		93
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		270		266
BCAP LLC Trust
0.484% due 01/25/2037		414		158
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		71		61
2.500% due 08/25/2035		79		69
2.900% due 03/25/2035		146		126
3.788% due 08/25/2033		7		6
4.248% due 05/25/2034		93		73
4.630% due 05/25/2034		46		32
4.654% due 10/25/2033		62		55
5.457% due 05/25/2047		834		487
Bear Stearns Alt-A Trust
0.474% due 02/25/2034		97		55
5.362% due 05/25/2035		40		27
5.521% due 11/25/2035		353		191
5.694% due 11/25/2036		340		173
5.731% due 02/25/2036		1,036		459
6.250% due 08/25/2036		444		209
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		263		145
Citigroup Commercial Mortgage Trust
5.888% due 12/10/2049		300		213
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		184		146
4.748% due 08/25/2035		207		165
5.994% due 09/25/2037		847		459
Countrywide Alternative Loan Trust
0.395% due 09/20/2046		70		68
0.510% due 12/20/2046		395		159
0.525% due 07/20/2046		663		256
0.594% due 02/25/2037		679		309
0.664% due 05/25/2037		88		35
2.840% due 11/25/2035		120		53
3.380% due 11/25/2035		40		18
5.250% due 06/25/2035		85		68
5.886% due 02/25/2037		225		132
5.889% due 11/25/2035		640		359
6.000% due 04/25/2037		156		85
6.133% due 08/25/2036		252		218
6.250% due 08/25/2037		84		45
6.500% due 06/25/2036		188		93
Countrywide Home Loan Mortgage Pass-Through Trust
0.694% due 09/25/2034		101		51
4.543% due 08/25/2034		31		19
4.789% due 04/20/2035		28		25
Credit Suisse Mortgage Capital Certificates
5.579% due 04/25/2037		300		136
CS First Boston Mortgage Securities Corp.
4.214% due 08/25/2033		83		73
6.500% due 04/25/2033		14		13
First Horizon Asset Securities, Inc.
3.170% due 07/25/2033		22		19
4.742% due 12/25/2033		36		29
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		144		144
Greenpoint Mortgage Funding Trust
0.584% due 11/25/2045		22		11
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		305		261
GSR Mortgage Loan Trust
3.726% due 06/25/2034		89		76
4.469% due 09/25/2035		350		295
4.535% due 03/25/2033		49		45
Harborview Mortgage Loan Trust
0.503% due 01/19/2038		143		61
2.190% due 12/19/2036		248		87
4.353% due 05/19/2033		83		71
Impac CMB Trust
1.314% due 07/25/2033		23		17
Indymac Index Mortgage Loan Trust
5.099% due 09/25/2035		289		179
JPMorgan Alternative Loan Trust
5.550% due 10/25/2036		220		191
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		1,400		1,034
JPMorgan Mortgage Trust
4.381% due 11/25/2033		53		46
MASTR Alternative Loans Trust
0.714% due 03/25/2036		99		36
Merrill Lynch Countrywide Commercial Mortgage Trust
5.172% due 12/12/2049		701		512
Merrill Lynch Mortgage Investors, Inc.
0.564% due 08/25/2036		68		31
4.668% due 02/25/2033		31		26
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		293		237
Morgan Stanley Capital I
5.558% due 03/12/2044		319		259
Morgan Stanley Mortgage Loan Trust
5.701% due 02/25/2047		510		240
Residential Accredit Loans, Inc.
0.464% due 02/25/2047		250		96
0.494% due 06/25/2046		769		296
Residential Asset Securitization Trust
5.750% due 02/25/2036		69		44
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		12		12
Sequoia Mortgage Trust
0.665% due 07/20/2033		181		146
Structured Adjustable Rate Mortgage Loan Trust
4.026% due 04/25/2034		93		78
4.802% due 02/25/2034		35		27
Structured Asset Mortgage Investments, Inc.
0.524% due 05/25/2046		178		72
0.534% due 05/25/2036		430		171
0.534% due 09/25/2047		500		95
0.893% due 07/19/2034		43		23
TBW Mortgage-Backed Pass-Through Certificates
0.424% due 01/25/2037		146		132
5.630% due 01/25/2037		300		141
Wachovia Bank Commercial Mortgage Trust
5.572% due 10/15/2048		800		618
WaMu Mortgage Pass-Through Certificates
0.624% due 01/25/2045		104		48
0.854% due 12/25/2027		321		240
2.139% due 02/25/2047		716		289
2.674% due 05/25/2041		21		17
2.877% due 02/27/2034		98		80
2.909% due 06/25/2033		33		26
5.394% due 02/25/2037		449		267
Washington Mutual Alternative Mortgage
Pass-Through Certificates
2.280% due 07/25/2046		149		51
Wells Fargo Mortgage-Backed Securities Trust
4.500% due 11/25/2018		69		67
4.694% due 04/25/2036		270		218
4.950% due 03/25/2036		370		262
				13,633
MUNICIPAL BONDS & NOTES 1.7%
Chicago, Illinois General Obligation Bonds, Series 2009
5.000% due 01/01/2034		900		870
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
0.000% due 06/01/2037 (b)		600		253
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		380		382
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
5.600% due 06/01/2034		765		514
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2038		200		189
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		400		226
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		100		5
Southern California State Tobacco Securitization Authority Revenue Bonds, Series 2006
5.000% due 06/01/2037		100		61
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		485		326
				2,826
	SHARES
PREFERRED STOCKS 0.9%
DG Funding Trust
1.343% due 12/31/2049		172		1,488
SLM Corp. CPI Linked
0.750% due 01/16/2018		1,800		22
				1,510
	PRINCIPAL AMOUNT (000s)
U.S. GOVERNMENT AGENCIES 30.6%
Fannie Mae
0.414% due 01/25/2021	$	134		131
0.514% due 10/27/2037		1,000		911
0.564% due 06/25/2044		37		37
4.287% due 11/01/2034		346		350
4.934% due 12/01/2034		156		161
5.000% due 08/25/2016 - 08/01/2035		1,394		1,427
5.500% due 10/01/2016 - 06/01/2038		12,667		13,112
5.500% due 11/01/2038 (f)		25		26
6.000% due 09/01/2037 (d)		6,714		7,028
6.000% due 10/01/2037 - 07/25/2044		1,216		1,271
6.500% due 11/25/2042		308		315
Freddie Mac
0.702% due 03/09/2011 (d)		300		301
0.769% due 12/15/2031		2		2
0.888% due 02/01/2011 (d)		423		422
0.926% due 05/04/2011 (d)		6		6
2.638% due 10/25/2044		346		340
4.500% due 12/15/2010 - 07/15/2018		253		261
5.000% due 11/15/2021 - 03/15/2025		99		101
5.328% due 04/01/2037		43		44
Ginnie Mae
0.918% due 02/16/2030		62		62
0.968% due 02/16/2030		56		56
4.125% due 11/20/2021 - 12/20/2026		34		35
4.250% due 01/20/2030		24		24
4.625% due 07/20/2022 - 09/20/2026		84		86
5.375% due 05/20/2028 - 06/20/2030		89		92
5.500% due 07/01/2039		6,000		6,192
6.000% due 07/01/2024 - 07/01/2039		8,264		8,700
6.500% due 08/15/2038 - 12/15/2038		6,001		6,369
Small Business Administration
5.600% due 09/01/2028		874		929
6.640% due 02/01/2011		21		22
Tennessee Valley Authority
5.880% due 04/01/2036		637		680
7.140% due 05/23/2012		637		724
				50,217
U.S. TREASURY OBLIGATIONS 0.8%
U.S. Treasury Notes
0.875% due 04/30/2011 (f)		1,309		1,306
Total United States (Cost $116,957)				104,047
SHORT-TERM INSTRUMENTS 0.6%
REPURCHASE AGREEMENTS 0.4%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	785		785
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $805. Repurchase proceeds are $785.)
U.S. TREASURY BILLS 0.1%
0.127% due 07/02/2009 (d)		120		120
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 0.1%
		10,697		107
Total Short-Term Instruments (Cost $1,012)				1,012
Total Investments 110.1% (Cost $195,393)			$	180,798
Written Options (h) (0.0%) (Premiums $45)				(17	)
Other Assets and Liabilities (Net) (10.1%)				(16,608	)
Net Assets 100.0%			$	164,173

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) Security becomes interest bearing at a future date.

(c) Affiliated to the Fund.

(d) Securities with an aggregate market value of $881 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $2,059 at a weighted average interest rate of 0.293%. On June 30, 2009, there were no open reverse repurchase agreements.

(f) Securities with an aggregate market value of $1,331 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2010	36	$	4
Japan Government 10-Year Bond September Futures	Long	09/2009	6		143
U.S. Treasury 10-Year Note September Futures	Long	09/2009	8		7
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	135		(86	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 92.000	Short	12/2009	58		22
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	2		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	284		(84	)
				$	4

(g) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Aetna, Inc.	GSC	(0.950	%)	09/20/2018	0.740	%	$	300	$	(5	)	$	0	$	(5	)
AutoZone, Inc.	CITI	(0.680	%)	12/20/2012	0.502	%		100		(1	)		0		(1	)
BAE Systems Holdings, Inc.	UBS	(0.140	%)	12/20/2011	0.705	%		200		3			0		3
Barclays Bank PLC	RBS	(2.350	%)	12/20/2017	2.120	%		300		(5	)		0		(5	)
Bear Stearns Cos. LLC	CITI	(1.200	%)	03/20/2018	1.074	%		800		(7	)		0		(7	)
Bear Stearns Cos. LLC	CSFB	(0.760	%)	12/20/2017	1.077	%		1,000		22			0		22
Bear Stearns Cos. LLC	RBS	(2.223	%)	03/20/2018	1.074	%		300		(25	)		0		(25	)
Boston Scientific Corp.	MLP	(0.510	%)	06/20/2011	1.056	%		200		2			0		2
Boston Scientific Corp.	UBS	(2.060	%)	06/20/2016	1.111	%		300		(17	)		0		(17	)
British Sky Broadcasting Group PLC	BCLY	(0.700	%)	12/20/2018	0.707	%		800		0			0		0
Burlington Northern Santa Fe Corp.	RBS	(0.510	%)	03/20/2018	0.513	%		446		0			0		0
Cleveland Electric Illuminating Co.	RBS	(0.940	%)	06/20/2017	2.148	%		637		49			0		49
CNA Financial Corp.	JPM	(0.440	%)	09/20/2011	3.246	%		300		18			0		18
Computer Sciences Corp.	MSC	(0.620	%)	03/20/2013	0.490	%		637		(3	)		0		(3	)
Constellation Energy Group, Inc.	JPM	(0.665	%)	06/20/2012	1.822	%		319		10			0		10
Cytec Industries, Inc.	DUB	(0.950	%)	12/20/2015	2.522	%		637		53			0		53
Daimler Finance N.A. LLC	RBS	(0.620	%)	09/20/2011	1.524	%		100		2			0		2
DR Horton, Inc.	BNP	(4.030	%)	06/20/2011	2.851	%		200		(5	)		0		(5	)
Erac USA Finance Co.	JPM	(2.700	%)	12/20/2012	2.718	%		700		0			0		0
Exelon Corp.	CITI	(1.260	%)	06/20/2015	2.226	%		637		31			0		31
GATX Financial Corp.	RBS	(0.605	%)	03/20/2012	2.344	%		637		28			0		28
Health Care REIT, Inc.	BCLY	(2.930	%)	06/20/2015	3.164	%		400		4			0		4
Home Depot, Inc.	BOA	(1.100	%)	03/20/2016	0.918	%		637		(7	)		0		(7	)
International Lease Finance Corp.	MLP	(0.130	%)	03/20/2012	9.924	%		200		43			0		43
JPMorgan Chase & Co.	DUB	(0.720	%)	03/20/2018	1.025	%		100		2			0		2
JPMorgan Chase & Co.	DUB	(0.740	%)	03/20/2018	1.025	%		500		10			0		10
JPMorgan Chase & Co.	UBS	(0.730	%)	03/20/2018	1.025	%		300		6			0		6
Marsh & McLennan Cos., Inc.	BOA	(0.990	%)	09/20/2015	0.552	%		638		(16	)		0		(16	)
Masco Corp.	CSFB	(0.907	%)	12/20/2016	3.379	%		200		27			0		27
Nabors Industries, Inc.	DUB	(0.630	%)	03/20/2018	1.382	%		637		34			0		34
NiSource Finance Corp.	MSC	(1.470	%)	03/20/2019	2.136	%		637		30			0		30
Pearson Dollar Finance PLC	SOG	(1.040	%)	06/20/2018	0.560	%		1,000		(37	)		0		(37	)
Pearson Dollar Finance Two PLC	CITI	(0.690	%)	06/20/2018	0.560	%		275		(3	)		0		(3	)
Royal Caribbean Cruises Ltd.	BOA	(0.480	%)	06/20/2010	7.313	%		100		6			0		6
Sabre Holdings Corp.	JPM	(0.930	%)	09/20/2011	10.049	%		200		36			0		36
Sara Lee Corp.	RBS	(0.630	%)	09/20/2011	0.299	%		200		(1	)		0		(1	)
Sealed Air Corp.	CSFB	(0.500	%)	09/20/2013	1.255	%		200		6			0		6
Sprint Nextel Corp.	JPM	(1.065	%)	12/20/2016	3.755	%		100		15			0		15
Tate & Lyle International Finance PLC	DUB	(0.510	%)	12/20/2014	1.529	%		100		5			0		5
Tyco Electronics Group S.A.	BOA	(1.100	%)	03/20/2014	2.148	%		1,000		43			80		(37	)
UBS Warburg LLC	BCLY	(2.300	%)	03/20/2014	1.256	%	EUR	400		(26	)		0		(26	)
UBS Warburg LLC	BOA	(2.280	%)	06/20/2018	1.273	%	$	100		(7	)		0		(7	)
UBS Warburg LLC	DUB	(2.080	%)	03/20/2014	1.256	%	EUR	500		(25	)		0		(25	)
Viacom, Inc.	UBS	(0.470	%)	06/20/2011	1.490	%	$	200		4			7		(3	)
Vivendi	BNP	(1.742	%)	06/20/2013	1.186	%		200		(4	)		0		(4	)
Vivendi	BNP	(1.780	%)	06/20/2013	1.186	%		100		(2	)		0		(2	)
Vivendi	BNP	(1.820	%)	06/20/2013	1.186	%		146		(4	)		0		(4	)
Vivendi	JPM	(1.500	%)	06/20/2018	1.284	%		100		(2	)		0		(2	)
XL Capital Finance Europe PLC	BCLY	(0.310	%)	03/20/2012	4.249	%		200		19			0		19
									$	306		$	87	$	219

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Berkshire Hathaway Finance Corp.	DUB	1.000	%	09/20/2013	2.396	%	$	600	$	(31	)	$	0	$	(31	)
General Electric Capital Corp.	DUB	4.100	%	12/20/2013	4.336	%		1,000		(8	)		0		(8	)
SLM Corp.	GSC	0.700	%	06/20/2012	8.543	%		100		(19	)		0		(19	)
									$	(58	)	$	0	$	(58	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX.IG-7 10-Year Index	BOA	(0.650	%)	12/20/2016	$	6,026	$	365	$	(43	)	$	408
CDX.IG-7 10-Year Index	MSC	(0.650	%)	12/20/2016		486		29		(3	)		32
CDX.IG-8 10-Year Index	DUB	(0.600	%)	06/20/2017		5,661		354		43			311
CDX.IG-8 10-Year Index	GSC	(0.600	%)	06/20/2017		2,928		183		71			112
CDX.IG-9 10-Year Index	DUB	(0.800	%)	12/20/2017		1,562		88		58			30
CDX.IG-10 10-Year Index	GSC	(1.500	%)	06/20/2018		585		5		(20	)		25
CDX.IG-10 10-Year Index	MSC	(1.500	%)	06/20/2018		488		4		(7	)		11
CDX.IG-12 5-Year Index	MSC	(1.000	%)	06/20/2014		3,600		51		141			(90	)
CDX.IG-12 10-Year Index	GSC	(1.000	%)	06/20/2019		2,800		49		115			(66	)
							$	1,128	$	355		$	773

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/ (Received)			Unrealized (Depreciation)
ABX.HE AA 06-1 Index	CSFB	0.320	%	07/25/2045	$	400	$	(308	)	$	(120	)	$	(188	)
ABX.HE AAA 06-2 Index	DUB	0.110	%	05/25/2046		499		(334	)		(152	)		(182	)
							$	(642	)	$	(272	)	$	(370	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP		EUR 3,000	$	145		$	(3	)	$	148
Pay	1-Month EUR-FRCPXTOB Index	2.103	%	10/15/2010	BCLY		6,300		353			(7	)		360
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		3,500		201			4			197
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	BCLY		500		10			0			10
Pay	1-Month EUR-FRCPXTOB Index	1.950	%	03/30/2012	RBS		600		10			0			10
Pay	1-Month EUR-FRCPXTOB Index	2.080	%	06/15/2012	GSC		1,600		37			0			37
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2012	DUB		AUD 18,500		(229	)		8			(237	)
Pay	3-Month SEK-STIBOR	4.500	%	03/18/2014	BCLY		SEK 1,000		11			(1	)		12
Pay	3-Month SEK-STIBOR	4.500	%	03/18/2014	GSC		1,000		11			(1	)		12
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	BCLY	$	400		2			0			2
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	RBS		300		2			0			2
Pay	6-Month EUR-LIBOR	3.000	%	09/15/2011	DUB		EUR 3,200		22			9			13
Pay	6-Month EUR-LIBOR	3.000	%	09/15/2012	DUB		8,900		19			49			(30	)
Pay	6-Month EUR-LIBOR	3.000	%	09/15/2012	JPM		11,500		24			77			(53	)
Pay	6-Month EUR-LIBOR	3.000	%	09/15/2012	RBS		7,600		16			44			(28	)
Pay	6-Month GBP-LIBOR	3.500	%	03/17/2015	CITI		GBP 200		(11	)		(11	)		0
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	BOA		JPY 450,000		6			(10	)		16
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	RBS		640,000		9			(6	)		15
Pay	6-Month JPY-LIBOR	1.000	%	12/16/2014	UBS		730,000		10			(1	)		11
Pay	6-Month JPY-LIBOR	1.500	%	12/16/2016	BCLY		380,000		84			76			8
								$	732		$	227		$	505

(h) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.625	09/14/2009	7	$	1	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009	$	7,800	$	36	$	16
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.900	%	07/06/2009		5,600		5		0
Put - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.150	%	08/03/2009		1,200		3		1
									$	44	$	17

(i) Restricted securities as of June 30, 2009:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Bear Stearns Cos. LLC	0.763	%	10/02/2009	06/06/2008	$	488	$	429	0.26	%
Goldman Sachs Group, Inc.	5.250	%	06/01/2016	11/03/2006		451		415	0.25	%
					$	939	$	844	0.51	%

(j) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.500	%	07/01/2039	$	6,000	$	6,198	$	6,192

(k) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	CNY	BCLY	16,933	03/2009		61		0			61
Sell	AUD	BCLY	2,000	07/2009	$	1	$	0		$	1
Sell		DUB	2,020	07/2009		0		(19	)		(19	)
Buy		GSC	97	07/2009		0		0			0
Sell		GSC	518	07/2009		0		(10	)		(10	)
Sell		MSC	141	07/2009		0		(1	)		(1	)
Sell		RBC	499	07/2009		0		(7	)		(7	)
Sell	BRL	HSBC	27	08/2009		0		(1	)		(1	)
Buy	CAD	CSFB	96	07/2009		0		(4	)		(4	)
Sell		HSBC	300	08/2009		1		0			1
Sell		JPM	7,220	08/2009		369		0			369
Buy		MSC	305	08/2009		0		(14	)		(14	)
Sell	CLP	BCLY	11,032	11/2009		0		(2	)		(2	)
Buy		CITI	8,300	11/2009		1		0			1
Buy	CNY	BCLY	385	07/2009		0		(4	)		(4	)
Sell		BCLY	3,260	07/2009		0		(10	)		(10	)
Buy		DUB	5,831	07/2009		0		(51	)		(51	)
Buy		HSBC	1,806	07/2009		0		(15	)		(15	)
Buy		JPM	1,624	07/2009		0		(14	)		(14	)
Sell		JPM	6,386	07/2009		0		(24	)		(24	)
Buy		BCLY	483	09/2009		1		0			1
Buy		CITI	486	09/2009		1		0			1
Buy		DUB	2,217	09/2009		5		0			5
Sell		DUB	4,571	09/2009		0		(22	)		(22	)
Buy		HSBC	971	09/2009		2		0			2
Buy		JPM	414	09/2009		1		0			1
Buy		BCLY	2,234	05/2010		0		(32	)		(32	)
Sell		BCLY	4,753	05/2010		0		(40	)		(40	)
Buy		MLP	2,519	05/2010		0		(35	)		(35	)
Sell	DKK	RBS	2,426	07/2009		6		0			6
Sell		RBS	2,426	10/2009		0		0			0
Buy	EUR	BCLY	607	07/2009		2		(3	)		(1	)
Sell		BCLY	8,394	07/2009		2		(62	)		(60	)
Sell		BNP	132	07/2009		0		0			0
Buy		GSC	564	07/2009		0		0			0
Sell		GSC	15,179	07/2009		160		0			160
Sell		HSBC	4,898	07/2009		0		(46	)		(46	)
Buy		JPM	39	07/2009		0		0			0
Buy		RBS	68	07/2009		0		0			0
Sell	GBP	BCLY	1,382	07/2009		0		(157	)		(157	)
Buy		CITI	51	07/2009		2		0			2
Sell		CITI	570	07/2009		0		(47	)		(47	)
Buy		CSFB	479	07/2009		23		0			23
Buy		JPM	63	07/2009		0		0			0
Buy		RBS	743	07/2009		48		0			48
Sell		RBC	230	07/2009		0		(4	)		(4	)
Buy		UBS	101	07/2009		2		0			2
Sell		MSC	895	08/2009		6		0			6
Sell	HKD	BCLY	223	09/2009		0		0			0
Sell		BOA	287	09/2009		0		0			0
Sell		CITI	147	09/2009		0		0			0
Sell		DUB	156	09/2009		0		0			0
Sell		JPM	156	09/2009		0		0			0
Sell	INR	BCLY	12	07/2009		0		0			0
Buy		BOA	26	07/2009		0		0			0
Buy		CITI	32	07/2009		0		0			0
Sell		CITI	31	07/2009		0		0			0
Buy		DUB	24	07/2009		0		0			0
Sell		HSBC	12	07/2009		0		0			0
Sell		JPM	12	07/2009		0		0			0
Sell		MSC	11	07/2009		0		0			0
Buy		BCLY	12	10/2009		0		0			0
Buy		CITI	36	10/2009		0		0			0
Buy		HSBC	12	10/2009		0		0			0
Buy		JPM	12	10/2009		0		0			0
Buy		MSC	11	10/2009		0		0			0
Buy	JPY	BCLY	53,259	07/2009		7		(1	)		6
Buy		BNP	1,065	07/2009		0		0			0
Sell		BNP	262,698	07/2009		0		(3	)		(3	)
Buy		GSC	7,867	07/2009		2		0			2
Sell		GSC	5,805	07/2009		0		(1	)		(1	)
Buy		RBC	68,207	07/2009		10		0			10
Sell		MSC	138,106	08/2009		0		0			0
Sell	KRW	BCLY	3,357	07/2009		0		0			0
Sell		BOA	2,023	07/2009		0		0			0
Sell		CITI	2,012	07/2009		0		0			0
Sell		DUB	625	07/2009		0		0			0
Buy	MYR	BCLY	414	08/2009		5		0			5
Sell		BCLY	1,090	08/2009		0		(3	)		(3	)
Buy		CITI	320	08/2009		3		0			3
Buy		HSBC	369	08/2009		4		0			4
Buy	PHP	BCLY	4,710	08/2009		0		0			0
Buy		CITI	3,002	08/2009		0		0			0
Sell		CITI	10,004	08/2009		1		0			1
Buy		DUB	1,998	08/2009		0		0			0
Sell	SEK	RBS	264	07/2009		2		0			2
Sell		RBS	264	10/2009		0		0			0
Buy	SGD	HSBC	101	07/2009		0		0			0
Sell		HSBC	90	07/2009		0		(3	)		(3	)
Buy	TWD	BCLY	67	08/2009		0		0			0
Buy		CITI	24	08/2009		0		0			0
Buy		DUB	31	08/2009		0		0			0
Buy		JPM	63	08/2009		0		0			0
Sell	ZAR	BCLY	4	11/2009		0		0			0
					$	667	$	(635	)	$	32

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
France	$	0	$	22,028		$	0	$	22,028
Japan		0		12,574			0		12,574
United States		0		103,836			211		104,047
Other Investments++		107		40,705			1,337		42,149
Investments, at value	$	107	$	179,143		$	1,548	$	180,798
Short Sales, at value	$	0	$	(6,192	)	$	0	$	(6,192	)
Financial Derivative Instruments+++	$	4	$	530		$	554	$	1,088
Total	$	111	$	173,481		$	2,102	$	175,694

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)			Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
United States	$	242	$	(38	)	$	0	$	2		$	5	$	0		$	211
Other Investments++		996		577			2		(9	)		116		(345	)		1,337
Investments, at value	$	1,238	$	539		$	2	$	(7	)	$	121	$	(345	)	$	1,548
Financial Derivative Instruments+++	$	719	$	0		$	0	$	0		$	30	$	(195	)	$	554
Total	$	1,957	$	539		$	2	$	(7	)	$	151	$	(540	)	$	2,102

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Global Multi-Asset Fund

June 30, 2009 (Unaudited)

	SHARES		MARKET VALUE (000s)
PIMCO FUNDS (b)(c) 26.0%
CommodityRealReturn Strategy Fund®		4,049,189	$	28,911
Emerging Local Bond Fund		956,915		8,583
Emerging Markets Bond Fund		1,288,763		12,076
Global Bond Fund (Unhedged)		2,932,242		25,892
Investment Grade Corporate Bond Fund		787,452		8,182
Real Return Fund		1,233,609		12,743
RealEstateRealReturn Strategy Fund		2,499,178		7,173
Total Return Fund		4,095,452		42,797
Total PIMCO Funds (Cost $139,277)				146,357
	PRINCIPAL AMOUNT (000s)
CORPORATE BONDS & NOTES 15.2%
BANKING & FINANCE 12.0%
American Express Bank FSB
3.150% due 12/09/2011	$	5,000		5,180
Bank of America Corp.
2.100% due 04/30/2012		5,000		5,012
5.750% due 12/01/2017		1,465		1,307
7.375% due 05/15/2014		4,800		4,965
Bear Stearns Cos. LLC
7.250% due 02/01/2018		1,465		1,547
Block Financial LLC
7.875% due 01/15/2013		1,000		1,085
Citibank N.A.
1.016% due 05/07/2012		10,000		9,984
General Electric Capital Corp.
3.000% due 12/09/2011		5,000		5,161
ING Bank NV
2.625% due 02/09/2012		1,250		1,266
3.900% due 03/19/2014		4,000		4,078
LeasePlan Corp. NV
3.000% due 05/07/2012		7,000		7,032
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		1,000		954
Pearson Dollar Finance Two PLC
6.250% due 05/06/2018		750		721
Rabobank Nederland NV
11.000% due 12/29/2049		2,200		2,454
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		10,000		9,991
Swedbank AB
2.800% due 02/10/2012		5,330		5,398
Wachovia Corp.
1.218% due 08/01/2013		1,460		1,312
				67,447
INDUSTRIALS 2.4%
Black & Decker Corp.
8.950% due 04/15/2014		500		549
CSX Corp.
6.250% due 03/15/2018		250		253
Cytec Industries, Inc.
8.950% due 07/01/2017 (a)		500		499
Daimler Finance North America LLC
5.750% due 09/08/2011		500		511
Darden Restaurants, Inc.
6.200% due 10/15/2017		500		475
Gaz Capital S.A.
8.146% due 04/11/2018		1,500		1,406
Macy’s Retail Holdings, Inc.
8.875% due 07/15/2015		2,000		1,938
Nabors Industries, Inc.
6.150% due 02/15/2018		500		481
Newell Rubbermaid, Inc.
6.250% due 04/15/2018		965		809
Rio Tinto Alcan, Inc.
5.000% due 06/01/2015		500		449
Rohm & Haas Co.
6.000% due 09/15/2017		1,000		895
RR Donnelley & Sons Co.
5.625% due 01/15/2012		2,000		1,933
11.250% due 02/01/2019		1,000		1,060
UST, Inc.
5.750% due 03/01/2018		1,000		914
Valero Energy Corp.
9.375% due 03/15/2019		250		285
Whirlpool Corp.
7.750% due 07/15/2016		1,000		981
				13,438
UTILITIES 0.8%
CenturyTel, Inc.
6.000% due 04/01/2017		1,000		904
Embarq Corp.
7.082% due 06/01/2016		4,000		3,911
				4,815
Total Corporate Bonds & Notes (Cost $82,491)				85,700
U.S. GOVERNMENT AGENCIES 22.8%
Fannie Mae
0.966% due 08/05/2010 (d)		9,640		9,660
5.500% due 06/01/2038 - 11/01/2038		22,556		23,313
6.000% due 03/01/2036 - 12/01/2038		44,972		47,078
6.000% due 08/01/2037 (f)		22,233		23,272
Federal Home Loan Bank
1.625% due 07/27/2011		11,300		11,370
Freddie Mac
0.926% due 05/04/2011		314		315
2.125% due 03/23/2012		13,600		13,736
Total U.S. Government Agencies (Cost $128,244)				128,744
U.S. TREASURY OBLIGATIONS 0.4%
U.S. Treasury Notes
0.875% due 04/30/2011 (f)		2,554		2,548
Total U.S. Treasury Obligations (Cost $2,555)				2,548
	SHARES
EXCHANGE-TRADED FUNDS 5.3%
iShares MSCI EAFE Index Fund		321,000		14,705
SPDR Gold Trust		164,073		14,960
Total Exchange-Traded Funds (Cost $27,712)				29,665
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 29.2%
REPURCHASE AGREEMENTS 4.3%
Barclays Capital, Inc.
0.020% due 07/01/2009	$	3,000		3,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $3,103. Repurchase proceeds are $3,000.)
JPMorgan Chase Bank N.A.
0.090% due 07/01/2009		20,000		20,000
(Dated 06/30/2009. Collateralized by Fannie Mae 1.750% due 03/23/2011 valued at $20,443. Repurchase proceeds are $20,000.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		1,190		1,190
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $1,215. Repurchase proceeds are $1,190.)
				24,190
U.S. TREASURY BILLS 0.2%
0.104% due 07/16/2009 (d)(e)		1,060		1,060
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (b) 24.7%
		13,889,017		139,015
Total Short-Term Instruments (Cost $164,251)				164,265
PURCHASED OPTIONS (h) 0.7% (Cost $9,857)				3,861
Total Investments 99.6% (Cost $554,387)			$	561,140
Written Options (i) (0.4%) (Premiums $4,752)				(2,086	)
Other Assets and Liabilities (Net) 0.8%				4,141
Net Assets 100.0%			$	563,195

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) Affiliated to the Fund

(c) Institutional Class Shares of each Allianz Fund.

(d) Securities with an aggregate market value of $1,174 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) Securities with an aggregate market value of $290 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(f) Securities with an aggregate market value of $5,362 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
S&P 500 Index September Futures	Long	09/2009	217	$	(907	)

(g) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Bank of America Corp.	BCLY	(1.000	%)	06/20/2014	2.169	%	$	4,800	$	243		$	196		$	47
Black & Decker Corp.	CITI	(2.200	%)	06/20/2014	1.650	%		500		(13	)		0			(13	)
Block Financial LLC	JPM	(1.270	%)	03/20/2013	0.709	%		1,000		(20	)		0			(20	)
CenturyTel, Inc.	JPM	(2.000	%)	06/20/2017	0.881	%		1,000		(77	)		0			(77	)
CSX Corp.	BCLY	(1.350	%)	03/20/2018	0.775	%		250		(11	)		0			(11	)
Cytec Industries, Inc.	CITI	(1.000	%)	09/20/2017	1.000	%		300		28			28			0
Cytec Industries, Inc.	DUB	(1.000	%)	09/20/2017	1.000	%		200		17			17			0
Daimler Finance N.A. LLC	BNP	(4.100	%)	09/20/2011	1.524	%		500		(29	)		0			(29	)
Darden Restaurants, Inc.	DUB	(2.250	%)	12/20/2017	1.218	%		500		(36	)		0			(36	)
Embarq Corp.	BCLY	(1.650	%)	06/20/2016	1.094	%		2,000		(68	)		0			(68	)
Embarq Corp.	DUB	(1.000	%)	06/20/2016	1.054	%		1,000		3			(16	)		19
Embarq Corp.	JPM	(2.350	%)	06/20/2016	1.094	%		1,000		(77	)		0			(77	)
JSC Gazprom	BCLY	(8.850	%)	12/20/2018	4.615	%		1,500		(406	)		0			(406	)
Macy’s Retail Holdings, Inc.	BCLY	(6.780	%)	09/20/2015	3.846	%		2,000		(287	)		0			(287	)
Marsh & McLennan Cos., Inc.	DUB	(1.000	%)	09/20/2015	0.531	%		1,000		(27	)		(23	)		(4	)
Nabors Industries, Inc.	BCLY	(2.710	%)	03/20/2018	1.382	%		500		(47	)		0			(47	)
Newell Rubbermaid, Inc.	UBS	(1.790	%)	06/20/2018	1.533	%		965		(18	)		0			(18	)
Pearson Dollar Finance Two PLC	BCLY	(0.770	%)	06/20/2018	0.560	%		750		(12	)		0			(12	)
Rio Tinto Alcan, Inc.	BCLY	(1.740	%)	06/20/2015	0.463	%		500		(35	)		0			(35	)
Rohm & Haas Co.	BNP	(1.600	%)	09/20/2017	0.902	%		1,000		(49	)		0			(49	)
RR Donnelley & Sons Co.	BOA	(3.500	%)	03/20/2019	3.314	%		1,000		(13	)		0			(13	)
RR Donnelley & Sons Co.	UBS	(2.640	%)	03/20/2012	3.365	%		2,000		35			0			35
UST, Inc.	BCLY	(0.700	%)	03/20/2018	0.381	%		1,000		(24	)		0			(24	)
Valero Energy Corp.	GSC	(2.700	%)	03/20/2019	2.450	%		250		(5	)		0			(5	)
Whirlpool Corp.	BOA	(2.980	%)	09/20/2016	2.483	%		1,000		(29	)		0			(29	)
									$	(957	)	$	202		$	(1,159	)

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Brazil Government International Bond	DUB	3.050	%	12/20/2009	0.793	%	$	500	$	6	$	0	$	6
Brazil Government International Bond	DUB	1.400	%	05/20/2010	0.915	%		1,500		11		0		11
Brazil Government International Bond	JPM	2.900	%	11/20/2009	0.794	%		1,000		12		0		12
Brazil Government International Bond	JPM	3.050	%	11/20/2009	0.794	%		100		1		0		1
Brazil Government International Bond	MLP	2.250	%	11/20/2009	0.794	%		150		1		0		1
Brazil Government International Bond	UBS	3.250	%	12/20/2009	0.793	%		500		6		0		6
Colombia Government International Bond	DUB	2.150	%	05/20/2010	1.033	%		2,000		28		0		28
General Electric Capital Corp.	BNP	4.700	%	12/20/2013	4.336	%		1,465		21		0		21
Mexico Government International Bond	DUB	2.950	%	12/20/2009	1.180	%		500		5		0		5
Mexico Government International Bond	JPM	2.100	%	11/20/2009	1.180	%		150		1		0		1
Mexico Government International Bond	JPM	2.850	%	11/20/2009	1.180	%		1,000		10		0		10
Mexico Government International Bond	JPM	2.900	%	11/20/2009	1.180	%		100		1		0		1
Mexico Government International Bond	MLP	2.100	%	05/20/2010	1.280	%		920		10		0		10
Mexico Government International Bond	UBS	3.100	%	12/20/2009	1.180	%		500		5		0		5
Republic of Korea Government Bond	JPM	3.430	%	12/20/2009	1.595	%		500		5		0		5
Republic of Korea Government Bond	JPM	3.450	%	12/20/2009	1.595	%		1,000		10		0		10
Republic of Korea Government Bond	JPM	3.800	%	12/20/2009	1.595	%		100		1		0		1
Republic of Korea Government Bond	UBS	1.900	%	12/20/2009	1.595	%		150		0		0		0
Republic of Korea Government Bond	UBS	3.500	%	12/20/2009	1.595	%		500		5		0		5
Russia Government International Bond	JPM	6.500	%	11/20/2009	1.770	%		100		3		0		3
Russia Government International Bond	MLP	3.800	%	11/20/2009	1.770	%		150		2		0		2
Russia Government International Bond	MSC	10.500	%	11/20/2009	1.770	%		1,000		47		0		47
									$	191	$	0	$	191

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-9 5-Year Index 15-30%	DUB	0.900	%	12/20/2012	$	500	$	1	$	0	$	1
CDX.IG-9 5-Year Index 15-30%	DUB	1.040	%	12/20/2012		500		3		0		3
CDX.IG-9 5-Year Index 15-30%	DUB	1.160	%	12/20/2012		500		6		0		6
CDX.IG-9 5-Year Index 15-30%	DUB	1.820	%	12/20/2012		2,500		84		0		84
CDX.IG-9 5-Year Index 15-30%	MLP	1.720	%	12/20/2012		2,500		75		0		75
CDX.IG-9 5-Year Index 15-30%	MSC	1.163	%	12/20/2012		3,000		33		0		33
							$	202	$	0	$	202

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Total Return Swaps on Indices

Pay/Receive Total Return on Reference Index	Index	# of Shares or Units	Floating Rate(6)	Notional Amount		Maturity Date	Counterparty	Unrealized Appreciation/ (Depreciation)
Receive	iShares MSCI EM Index	512,997	1-Month USD-LIBOR plus 0.175%	$	17,062	07/31/2009	MLP	$	(408	)
Receive	iShares MSCI EAFE Index	353,131	1-Month USD-LIBOR plus 0.210%		16,488	04/15/2010	MLP		20
								$	(388	)

⁽⁶⁾ 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, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Market Value
Put - CBOE S&P 500 Index December Futures	$	600.000	12/19/2009	293	$	1,284	$	170
Put - CBOE S&P 500 Index December Futures		700.000	12/19/2009	115		817		155
Put - CBOE S&P 500 Index September Futures		700.000	09/19/2009	115		642		52
Put - CME S&P 500 Index December Futures		700.000	12/18/2010	735		7,058		3,381
					$	9,801	$	3,758

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Cost

Market Value

Put - OTC 10-Year Interest Rate Swap

HSBC

6-Month GBP-LIBOR

Receive

5.000

%

09/14/2018

GBP

2,000

$

56

$

103

(i) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CBOE S&P 500 Index December Futures	$	500.000	12/19/2009	115	$	197	$	28
Put - CME S&P 500 Index December Futures		600.000	12/18/2010	735		4,555		2,058
					$	4,752	$	2,086

(j) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.500	%	07/01/2039	$	23,200	$	23,693	$	23,943
Fannie Mae	6.000	%	07/01/2039		66,500		69,207		69,503
						$	92,900	$	93,446

(k) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	BCLY	2,729	08/2009	$	1	$	0		$	1
Sell	EUR	JPM	73	07/2009		0		0			0
Sell	GBP	JPM	135	07/2009		0		(13	)		(13	)
Sell		JPM	135	08/2009		0		0			0
					$	1	$	(13	)	$	(12	)

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
PIMCO Funds	$	146,357		$	0		$	0	$	146,357
Corporate Bonds & Notes		0			85,700			0		85,700
U.S. Government Agencies		0			128,744			0		128,744
Exchange-Traded Funds		29,665			0			0		29,665
Short-Term Instruments		139,015			25,250			0		164,265
Other Investments++		3,758			2,651			0		6,409
Investments, at value	$	318,795		$	242,345		$	0	$	561,140
Short Sales, at value	$	0		$	(93,446	)	$	0	$	(93,446	)
Financial Derivative Instruments+++	$	(2,993	)	$	(1,166	)	$	0	$	(4,159	)
Total	$	315,802		$	147,733		$	0	$	463,535

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

GNMA Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
U.S. GOVERNMENT AGENCIES 186.4%
Fannie Mae
4.000% due 08/01/2018 - 08/01/2039	$	82,976	$	81,414
4.500% due 07/01/2024 - 08/01/2039		112,700		112,284
4.925% due 09/01/2021		9		10
5.000% due 01/01/2018 - 08/01/2039		234,490		238,844
5.351% due 03/01/2018		11		12
5.500% due 12/01/2020 - 07/01/2039		166,237		171,859
6.000% due 09/01/2021 - 07/01/2039		115,101		120,517
6.387% due 03/25/2039		14,907		15,169
6.500% due 08/01/2039		30,200		32,021
Freddie Mac
3.700% due 05/01/2031		10		11
4.000% due 07/01/2039		31,000		29,967
4.348% due 05/01/2019		10		10
4.575% due 06/01/2030		3		3
5.000% due 11/01/2036		3,845		3,924
5.500% due 04/01/2038 - 01/01/2039		3,684		3,808
6.000% due 02/01/2039		200		209
7.500% due 08/15/2029 (a)		26		4
Ginnie Mae
0.518% due 01/16/2031 - 02/16/2032		2,430		2,415
0.568% due 08/16/2032		1,271		1,251
0.618% due 12/16/2026 - 08/16/2031		605		593
0.707% due 11/16/2045 (a)		160,611		5,776
0.768% due 11/16/2029		3,392		3,376
0.818% due 07/16/2028		110		110
0.868% due 04/16/2032		221		219
0.875% due 05/16/2027		60		59
0.968% due 05/16/2029		291		291
1.420% due 01/16/2030 - 02/16/2030		10,359		10,559
1.690% due 08/20/2058		47,756		44,354
2.625% due 02/20/2035		381		377
3.000% due 02/20/2034		2,604		2,619
3.157% due 05/20/2039		9,732		9,906
3.208% due 02/20/2059		12,492		12,716
3.255% due 05/20/2058		91,120		84,312
3.290% due 05/20/2039		12,308		12,529
3.500% due 01/20/2034		1,061		1,067
3.750% due 01/20/2031 - 11/20/2034		7,146		7,205
4.000% due 10/20/2033 - 08/01/2039		168,004		162,314
4.125% due 12/20/2017 - 10/20/2030		4,576		4,653
4.250% due 02/20/2030		836		850
4.375% due 02/20/2024 - 03/20/2028		801		817
4.500% due 02/20/2018 - 08/01/2039		169,390		169,226
4.625% due 07/20/2018 - 09/20/2035		13,909		14,250
5.000% due 02/20/2034 - 07/01/2039		146,298		149,104
5.375% due 06/20/2021 - 05/20/2032		6,737		6,946
5.500% due 05/20/2016 - 08/01/2039		281,007		289,880
6.000% due 06/15/2028 - 07/01/2039		276,275		288,152
6.000% due 08/15/2038 (g)		28,605		29,847
6.500% due 12/15/2023 - 07/01/2039		51,865		55,034
7.500% due 10/15/2022 - 06/15/2032		3,675		3,960
Small Business Administration
5.600% due 09/01/2028		5,191		5,517
7.449% due 08/01/2010		23		23
Total U.S. Government Agencies (Cost $2,172,648)				2,190,373
U.S. TREASURY OBLIGATIONS 0.0%
U.S. Treasury Notes
0.875% due 05/31/2011 (g)		333		332
Total U.S. Treasury Obligations (Cost $330)				332
MORTGAGE-BACKED SECURITIES 6.4%
Bear Stearns Commercial Mortgage Securities
0.555% due 09/11/2042 (a)		30,382		320
5.405% due 12/11/2040		3,000		2,676
5.700% due 06/11/2050		4,000		3,189
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		6,323		3,495
Citigroup/Deutsche Bank Commercial Mortgage Trust
0.617% due 10/15/2048 (a)		163,066		2,450
5.322% due 12/11/2049		6,790		5,030
Credit Suisse Mortgage Capital Certificates
0.772% due 09/15/2039 (a)		97,840		1,839
5.467% due 09/15/2039		12,200		8,574
CS First Boston Mortgage Securities Corp.
0.422% due 08/15/2038 (a)		8,218		53
1.135% due 03/25/2032		54		41
GMAC Commercial Mortgage Securities, Inc.
0.119% due 05/10/2040 (a)		133,975		72
GS Mortgage Securities Corp. II
0.972% due 01/10/2040 (a)		141,291		813
JPMorgan Alternative Loan Trust
0.808% due 06/27/2037		13,832		9,364
JPMorgan Chase Commercial Mortgage Securities Corp.
0.694% due 07/15/2019		6,989		5,059
5.305% due 01/15/2049		6,000		5,434
6.162% due 05/12/2034		4,720		4,831
LB-UBS Commercial Mortgage Trust
0.335% due 11/15/2040 (a)		67,098		350
1.234% due 03/15/2036 (a)		2,817		46
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		8,000		7,207
5.172% due 12/12/2049		9,000		6,573
Merrill Lynch Mortgage Trust
1.787% due 07/12/2034 (a)		12,681		1
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		1,513		1,212
Morgan Stanley Capital I
0.690% due 11/12/2041 (a)		41,257		579
0.984% due 04/15/2038 (a)		53,521		836
Structured Asset Mortgage Investments, Inc.
0.973% due 09/19/2032		127		95
Thornburg Mortgage Securities Trust
0.444% due 07/25/2036		4,744		4,245
WaMu Mortgage Pass-Through Certificates
4.542% due 09/25/2033		674		668
Total Mortgage-Backed Securities (Cost $85,463)				75,052
ASSET-BACKED SECURITIES 6.4%
Amortizing Residential Collateral Trust
0.604% due 07/25/2032		19		10
BA Credit Card Trust
0.519% due 01/15/2013		4,300		4,260
Centex Home Equity
0.614% due 01/25/2032		30		21
Chase Issuance Trust
0.359% due 04/15/2013		698		686
4.260% due 05/15/2013		15,800		16,265
4.550% due 03/15/2013		7,139		7,383
CIT Group Home Equity Loan Trust
0.584% due 06/25/2033		27		20
Citibank Omni Master Trust
1.415% due 12/23/2013		3,300		3,295
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		1,463		891
Ford Credit Auto Owner Trust
1.739% due 06/15/2012		6,000		6,021
Home Equity Asset Trust
0.914% due 11/25/2032		3		1
Massachusetts Educational Financing Authority
2.042% due 04/25/2038		5,709		5,645
Saxon Asset Securities Trust
0.834% due 08/25/2032		7		6
SLM Student Loan Trust
2.392% due 01/25/2018		4,780		4,801
2.592% due 04/25/2023		6,146		6,276
South Carolina Student Loan Corp.
1.168% due 09/02/2014		1,610		1,590
1.218% due 03/01/2018		6,500		6,283
1.418% due 03/02/2020		8,400		7,983
1.668% due 09/03/2024		4,300		4,048
Structured Asset Securities Corp.
0.604% due 01/25/2033		86		61
Total Asset-Backed Securities (Cost $76,047)				75,546
SHORT-TERM INSTRUMENTS 3.4%
REPURCHASE AGREEMENTS 1.2%
Barclays Capital, Inc.
0.020% due 07/01/2009		7,000		7,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $7,246. Repurchase proceeds are $7,000.)
JPMorgan Chase Bank N.A.
0.090% due 07/01/2009		5,300		5,300
(Dated 06/30/2009. Collateralized by Freddie Mac 3.000% due 12/30/2013 valued at $5,460. Repurchase proceeds are $5,300.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		1,968		1,968
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $2,010. Repurchase proceeds are $1,968.)
				14,268
U.S. TREASURY BILLS 0.1%
0.123% due 07/02/2009 - 07/23/2009 (b)(d)(e)		1,000		1,000
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 2.1%
		2,422,053		24,242
Total Short-Term Instruments (Cost $39,510)				39,510
Total Investments 202.6% (Cost $2,373,998)			$	2,380,813
Written Options (i) (0.0%) (Premiums $70)				(22	)
Other Assets and Liabilities (Net) (102.6%)				(1,205,567	)
Net Assets 100.0%			$	1,175,224

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) Affiliated to the Fund.

(d) Securities with an aggregate market value of $790 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) Securities with an aggregate market value of $210 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $10,000 at a weighted average interest rate of 0.350%. On June 30, 2009, there were no open reverse repurchase agreements.

(g) Securities with an aggregate market value of $721 and cash of $40 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
90-Day Eurodollar June Futures	Long	06/2010	671	$	881

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Asset Backed Securities - Buy Protection⁽¹⁾

Reference Obligation	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Bear Stearns Asset-Backed Securities Trust 1-Month USD-LIBOR plus 2.000% due 12/25/2035	UBS	(2.250	%)	12/25/2035	$	331	$	319	$	0	$	319
Telos CLO Ltd. 3-Month USD-LIBOR plus 1.700% due 10/11/2021	GSC	(2.500	%)	10/11/2021		500		397		0		397
							$	716	$	0	$	716

Credit Default Swaps on Asset Backed Securities - Sell Protection⁽²⁾

Reference Obligation	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Bear Stearns Asset-Backed Securities Trust 1-Month USD-LIBOR plus 2.000% due 12/25/2035	JPM	2.550	%	12/25/2035	$	331	$	(319	)	$	0	$	(319	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
ABX.HE A 06-1 Index	JPM	(0.540	%)	07/25/2045	$	2,928	$	2,697	$	381	$	2,316
CMBX.NA AAA 2 Index	MSC	(0.070	%)	03/15/2049		4,750		880		1,058		(178	)
CMBX.NA AAA 3 Index	BOA	(0.080	%)	12/13/2049		6,400		1,592		1,120		472
CMBX.NA AAA 4 Index	BCLY	(0.350	%)	02/17/2051		2,250		602		184		418
CMBX.NA AAA 4 Index	DUB	(0.350	%)	02/17/2051		5,000		1,338		1,754		(416	)
							$	7,109	$	4,497	$	2,612

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)			Unrealized (Depreciation)
ABX.HE BBB 06-2 Index	DUB	1.330	%	05/25/2046		934	$	(891	)	$	(502	)	$	(389	)
ABX.HE BBB 06-2 Index	RBS	1.330	%	05/25/2046		583		(557	)		(318	)		(239	)
ABX.HE BBB- 06-2 Index	GSC	2.420	%	05/25/2046	$	379		(354	)		(110	)		(244	)
							$	(1,802	)	$	(930	)	$	(872	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	BOA	$	1,700	$	3	$	(40	)	$	43
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	RBS		1,300		3		(20	)		23
								$	6	$	(60	)	$	66

(i) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	217	$	49	$	10

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Market Value

Put - OTC 7-Year Interest Rate Swap

RBS

3-Month USD-LIBOR

Pay

4.400

%

08/03/2009

$

6,000

$

21

$

12

(j) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	4.000	%	08/01/2039	$	51,000	$	49,295	$	49,378
Fannie Mae	4.500	%	07/01/2024		40,000		40,658		40,788
Fannie Mae	4.500	%	07/01/2039		75,000		74,888		74,812
Fannie Mae	4.500	%	08/01/2039		115,000		114,449		114,281
Fannie Mae	5.000	%	07/01/2024		5,000		5,107		5,174
Fannie Mae	5.000	%	07/01/2039		148,200		148,520		150,817
Fannie Mae	5.000	%	08/01/2039		80,000		80,748		81,238
Fannie Mae	5.500	%	07/01/2024		700		723		733
Fannie Mae	5.500	%	07/01/2039		181,000		186,222		186,798
Fannie Mae	5.500	%	08/01/2039		22,000		22,591		22,622
Fannie Mae	6.000	%	07/01/2039		12,600		13,107		13,169
Freddie Mac	4.000	%	07/01/2039		31,000		29,209		29,967
Ginnie Mae	4.500	%	08/01/2039		87,000		86,361		86,483
Ginnie Mae	5.000	%	08/01/2039		64,000		64,866		64,950
Ginnie Mae	6.500	%	07/01/2039		33,800		35,699		35,865
						$	952,443	$	957,075

(k) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 6/30/2009
U.S. Government Agencies	$	0	$	2,070,909		$	119,464	$	2,190,373
Mortgage-Backed Securities		0		75,052			0		75,052
Asset-Backed Securities		0		75,546			0		75,546
Other Investments++		24,242		15,600			0		39,842
Investments, at value	$	24,242	$	2,237,107		$	119,464	$	2,380,813
Short Sales, at value	$	0	$	(957,075	)	$	0	$	(957,075	)
Financial Derivative Instruments+++	$	881	$	1,784		$	397	$	3,062
Total	$	25,123	$	1,281,816		$	119,861	$	1,426,800

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
U.S. Government Agencies	$	91,318	$	71,399	$	39	$	671	$	390		$	(44,353	)	$	119,464
Investments, at value	$	91,318	$	71,399	$	39	$	671	$	390		$	(44,353	)	$	119,464
Financial Derivative Instruments+++	$	447	$	0	$	0	$	0	$	(466	)	$	416		$	397
Total	$	91,765	$	71,399	$	39	$	671	$	(76	)	$	(43,937	)	$	119,861

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Government Money Market Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
U.S. GOVERNMENT AGENCIES 6.9%
Fannie Mae
3.250% due 02/10/2010	$	1,000	$	1,013
3.875% due 02/15/2010		150		153
5.125% due 07/13/2009		1,600		1,603
7.125% due 06/15/2010		300		318
Freddie Mac
3.125% due 02/04/2010		1,000		1,012
7.000% due 03/15/2010		250		261
Total U.S. Government Agencies (Cost $4,360)				4,360
SHORT-TERM INSTRUMENTS 93.0%
COMMERCIAL PAPER 55.4%
Fannie Mae
0.200% due 07/20/2009		6,300		6,299
Federal Home Loan Bank
0.097% due 07/01/2009		5,700		5,700
0.850% due 03/11/2010		6,000		6,025
Freddie Mac
0.410% due 03/16/2010		9,000		8,974
0.620% due 01/08/2010		3,600		3,607
1.219% due 10/30/2009		4,200		4,209
				34,814
REPURCHASE AGREEMENTS 37.6%
Barclays Capital, Inc.
0.120% due 07/01/2009		6,200		6,200
(Dated 06/30/2009. Collateralized by General Electric Capital Corp. 0.924% due 05/08/2012 valued at $6,387. Repurchase proceeds are $6,200.)
0.210% due 07/02/2009		2,500		2,500
(Dated 06/03/2009. Collateralized by Fannie Mae 2.750% due 03/13/2014 valued at $2,572. Repurchase proceeds are $2,500.)
Credit Suisse Securities (USA) LLC
0.070% due 07/01/2009		1,000		1,000
(Dated 06/30/2009. Collateralized by Fannie Mae 6.000% due 05/15/2011 valued at $1,025. Repurchase proceeds are $1,000.)
JPMorgan Chase Bank N.A.
0.090% due 07/01/2009		13,800		13,800
(Dated 06/30/2009. Collateralized by Fannie Mae 7.000% due 10/01/2038 valued at $9,423; Freddie Mac 5.875% due 09/21/2022 valued at $4,713. Repurchase proceeds are $13,800.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		113		113
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $120. Repurchase proceeds are $113.)
				23,613
Total Short-Term Instruments (Cost $58,427)				58,427
Total Investments 99.9% (Cost $62,787)			$	62,787
Other Assets and Liabilities (Net) 0.1%				70
Net Assets 100.0%			$	62,857

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, 2009 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)		Fair Value at 06/30/2009
U.S. Government Agencies	$	0	$	4,360	$	0	$	4,360
Short-Term Instruments		0		58,427		0		58,427
Investments, at value	$	0	$	62,787	$	0	$	62,787

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

See Accompanying Notes

Schedule of Investments

High Yield Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 4.0%
AES Corp.
8.849% due 03/31/2010	$	1,750	$	1,575
Allison Transmission, Inc.
3.070% due 08/07/2014		8,962		7,149
3.080% due 08/07/2014		824		657
Cengage Learning, Inc.
2.820% due 07/05/2014		23,709		20,008
CSC Holdings, Inc.
9.750% due 08/01/2013		19,750		19,849
Daimler Finance North America LLC
4.320% due 08/03/2012		57,940		53,956
Delphi Corp.
7.250% due 07/10/2009		622		622
8.500% due 06/30/2020		9,000		2,841
Dex Media West LLC
7.000% due 10/13/2024		946		785
Ford Motor Co.
3.320% due 12/16/2013		34,917		25,393
4.140% due 12/16/2013		15,798		11,489
Freescale Semiconductor, Inc.
12.500% due 12/15/2014		3,320		2,930
Goodyear Tire & Rubber Co.
2.070% due 04/30/2014		3,000		2,557
Harrah’s Operating Co., Inc.
4.092% due 01/28/2015		875		645
Headwaters, Inc.
5.600% due 04/30/2011		1,684		1,415
Idearc, Inc.
4.250% due 11/17/2014		7,688		3,320
Ineos Group Holdings PLC
7.001% due 10/07/2012		8,677		6,479
Intelsat Ltd.
2.821% due 02/01/2014		20,750		17,326
Local Insight
5.000% due 04/23/2015		4,568		2,901
Nuveen Investments, Inc.
3.308% due 11/01/2014		1,801		1,405
3.310% due 11/01/2014		62		48
3.310% due 11/13/2014		2,058		1,606
RH Donnelley Corp.
6.750% due 06/30/2011		306		242
6.750% due 06/30/2024		2,936		2,317
Texas Competitive Electric Holdings Co. LLC
3.810% due 10/10/2014		545		391
3.821% due 10/10/2014		90,102		64,300
7.000% due 10/10/2014		1,524		1,080
Tribune Co.
5.000% due 06/04/2024 (a)		6,212		2,125
5.250% due 06/04/2024 (a)		8,522		2,612
8.375% due 06/04/2024 (a)		4,822		1,654
Verso Paper Holdings LLC
7.278% due 02/01/2013		986		222
8.028% due 02/01/2013		51		11
Weather Investments II SARL
7.991% due 10/26/2014		3,000		2,862
8.357% due 12/21/2011		8,405		8,439
West Corp.
7.250% due 10/24/2013		2,961		2,726
Total Bank Loan Obligations (Cost $327,300)				273,937
CORPORATE BONDS & NOTES 80.6%
BANKING & FINANCE 24.1%
AES Ironwood LLC
8.857% due 11/30/2025		55,923		48,653
AES Red Oak LLC
8.540% due 11/30/2019		28,157		25,342
9.200% due 11/30/2029		3,795		3,226
American Express Co.
7.000% due 03/19/2018 (i)		46,500		45,225
American General Finance Corp.
6.900% due 12/15/2017		8,200		4,446
American International Group, Inc.
0.709% due 03/20/2012		1,510		787
1.094% due 01/29/2010		1,150		980
1.298% due 09/27/2010		13,000		8,884
4.950% due 03/20/2012		47,300		32,186
5.050% due 10/01/2015		4,600		2,485
5.375% due 10/18/2011		7,375		5,316
5.450% due 05/18/2017		4,885		2,575
5.850% due 01/16/2018		18,900		10,013
8.175% due 05/15/2058		15,925		4,546
8.250% due 08/15/2018		73,825		43,504
ASIF I
1.242% due 07/26/2010		6,000		5,218
ASIF Global Financing XIX
4.900% due 01/17/2013		5,401		4,600
Bank of America Institutional Capital B
7.700% due 12/31/2026		426		348
Barclays Bank PLC
6.050% due 12/04/2017		19,175		16,654
7.434% due 09/29/2049		5,100		3,422
10.179% due 06/12/2021		38,820		41,489
Buffalo Thunder Development Authority
9.375% due 12/15/2014		2,650		384
C10 Capital SPV Ltd.
6.722% due 12/31/2049		5,000		2,563
Caelus Re Ltd.
6.918% due 06/07/2011		4,000		3,639
Capital One Bank USA N.A.
8.800% due 07/15/2019		10,100		10,336
CIT Group Funding Co. of Canada
4.650% due 07/01/2010		16,860		14,332
5.600% due 11/02/2011		10,170		7,468
CIT Group, Inc.
0.759% due 03/12/2010		5,825		4,962
0.974% due 08/17/2009		13,625		13,242
1.306% due 11/03/2010		1,525		1,138
1.322% due 04/27/2011		1,750		1,240
1.352% due 07/28/2011		6,375		4,339
4.125% due 11/03/2009		2,900		2,749
4.250% due 02/01/2010		5,800		5,208
4.750% due 12/15/2010		14,490		11,378
5.200% due 11/03/2010		28,175		22,263
5.400% due 03/07/2013		4,675		2,900
5.600% due 04/27/2011		10,100		7,577
5.800% due 07/28/2011		26,775		20,086
Citigroup Capital XXI
8.300% due 12/21/2077		19,500		15,230
Citigroup Funding, Inc.
2.080% due 08/31/2012		8,000		7,106
Citigroup, Inc.
0.902% due 06/09/2016		19,200		13,670
4.875% due 05/07/2015		46,805		38,300
5.000% due 09/15/2014		28,400		23,845
6.125% due 05/15/2018		4,450		3,899
8.400% due 04/29/2049 (a)		55,200		41,473
8.500% due 05/22/2019		25,000		25,473
El Paso Performance-Linked Trust
7.750% due 07/15/2011		33,630		33,177
Ford Motor Credit Co. LLC
3.889% due 01/13/2012		26,555		20,580
5.700% due 01/15/2010		18,400		17,761
7.000% due 10/01/2013		82,580		66,477
7.200% due 09/27/2010		7,000		6,438
7.800% due 06/01/2012		14,300		12,314
7.875% due 06/15/2010		23,700		22,517
8.000% due 06/01/2014		28,550		23,131
8.000% due 12/15/2016		9,500		7,272
9.875% due 08/10/2011		5,000		4,628
Fresenius U.S. Finance II, Inc.
9.000% due 07/15/2015		7,300		7,647
General Electric Capital Corp.
1.156% due 05/11/2016		2,100		1,675
6.875% due 01/10/2039		23,250		20,965
GMAC LLC
2.868% due 12/01/2014		500		366
6.625% due 05/15/2012		175		143
6.750% due 12/01/2014		2,850		2,194
7.000% due 02/01/2012		1,200		997
7.500% due 12/31/2013		1,582		1,242
8.000% due 11/01/2031		20,740		14,223
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		35,075		31,236
HBOS PLC
6.750% due 05/21/2018		16,100		12,171
HCP, Inc.
5.625% due 02/28/2013		500		461
5.650% due 12/15/2013		5,250		4,786
5.950% due 09/15/2011		1,000		979
6.000% due 01/30/2017		2,000		1,698
International Lease Finance Corp.
0.881% due 05/24/2010		1,720		1,569
1.538% due 07/01/2011		5,000		4,064
4.750% due 07/01/2009		5,000		5,000
4.875% due 09/01/2010		2,810		2,519
5.000% due 04/15/2010		7,400		6,779
5.400% due 02/15/2012		2,000		1,561
5.875% due 05/01/2013		9,275		7,033
6.375% due 03/25/2013		8,000		6,093
6.625% due 11/15/2013		11,100		8,554
JPMorgan Chase & Co.
7.900% due 04/29/2049		32,050		28,125
JPMorgan Chase Capital XVIII
6.950% due 08/17/2036		1,000		844
JPMorgan Chase Capital XX
6.550% due 09/15/2066		1,000		796
JPMorgan Chase Capital XXII
6.450% due 01/15/2087		1,000		801
Lehman Brothers Holdings, Inc.
5.625% due 01/24/2013 (a)		4,175		652
6.625% due 01/18/2012 (a)		1,375		210
6.750% due 12/28/2017 (a)		19,425		2
6.875% due 05/02/2018 (a)		18,975		3,131
7.500% due 05/11/2038 (a)		14,175		1
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018 (i)		28,875		26,768
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		11,350		9,948
NB Capital Trust IV
8.250% due 04/15/2027		1,200		1,009
NSG Holdings LLC
7.750% due 12/15/2025		34,880		28,078
Pacific Life Insurance Co.
9.250% due 06/15/2039		71,105		69,111
Petroleum Export Ltd. II
6.340% due 06/20/2011		11,166		10,273
Rabobank Nederland NV
11.000% due 12/29/2049		112,114		125,043
Residential Reinsurance 2008 Ltd.
7.418% due 06/06/2011		1,500		1,389
Royal Bank of Scotland Group PLC
5.000% due 11/12/2013		15,530		12,808
6.990% due 10/29/2049		16,050		7,874
RSHB Capital S.A. for OJSC Russian Agricultural Bank
9.000% due 06/11/2014		30,000		30,450
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		26,100		19,342
SLM Corp.
1.232% due 07/27/2009		500		498
1.252% due 07/26/2010		10,250		9,306
1.392% due 01/27/2014		2,125		1,479
4.500% due 07/26/2010		250		236
5.000% due 10/01/2013		10,450		8,463
5.000% due 04/15/2015		2,000		1,525
5.000% due 06/15/2018		1,000		664
5.125% due 08/27/2012		2,608		2,233
5.450% due 04/25/2011		5,000		4,603
8.450% due 06/15/2018		27,000		23,129
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		10,000		8,043
SMFG Preferred Capital USD 3 Ltd.
9.500% due 07/29/2049		6,600		6,413
Societe Generale
5.922% due 04/29/2049		8,850		5,495
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		7,700		7,099
Teco Finance, Inc.
6.572% due 11/01/2017		5,734		5,346
Tenneco, Inc.
8.125% due 11/15/2015		2,990		2,377
10.250% due 07/15/2013		3,327		3,169
TNK-BP Finance S.A.
6.625% due 03/20/2017		9,200		7,314
7.500% due 07/18/2016		14,750		12,693
TransCapitalInvest Ltd. for OJSC AK Transneft
5.670% due 03/05/2014		4,125		3,661
6.103% due 06/27/2012		7,000		6,735
UBS Preferred Funding Trust V
6.243% due 05/29/2049		9,200		5,435
Universal City Development Partners
11.750% due 04/01/2010		15,175		14,492
Universal City Florida Holding Co. I & II
5.778% due 05/01/2010		12,273		10,095
8.375% due 05/01/2010		6,780		5,560
USB Capital IX
6.189% due 04/15/2049		2,000		1,351
Ventas Realty LP
6.500% due 06/01/2016		14,365		12,935
6.750% due 04/01/2017		19,310		17,427
7.125% due 06/01/2015		11,947		11,589
Wachovia Capital Trust III
5.800% due 03/29/2049		3,000		1,801
Wells Fargo & Co.
7.980% due 03/29/2049		43,275		35,971
Wells Fargo Capital XV
9.750% due 09/26/2044 (i)		48,874		47,326
Wilmington Trust Co.
10.732% due 01/01/2013 (m)		4,961		4,651
				1,638,718
INDUSTRIALS 41.0%
Actuant Corp.
6.875% due 06/15/2017		5,000		4,575
AIG SunAmerica Global Financing VI
6.300% due 05/10/2011		5,000		4,700
Allison Transmission, Inc.
11.000% due 11/01/2015		19,970		15,876
Altria Group, Inc.
9.250% due 08/06/2019		13,450		15,129
9.950% due 11/10/2038		4,600		5,318
American Airlines Pass-Through Trust 2001-02
8.608% due 10/01/2012		1,645		1,316
American Stores Co.
7.100% due 03/20/2028		1,034		801
7.900% due 05/01/2017		3,960		3,762
8.000% due 06/01/2026		36,175		31,744
AmeriGas Partners LP
7.125% due 05/20/2016		30,085		27,678
7.250% due 05/20/2015		19,695		18,563
Apria Healthcare Group, Inc.
11.250% due 11/01/2014		10,875		10,549
ARAMARK Corp.
4.528% due 02/01/2015		16,850		13,775
8.500% due 02/01/2015		12,255		11,949
ArvinMeritor, Inc.
8.125% due 09/15/2015		43,515		23,063
8.750% due 03/01/2012		20,010		12,756
Berry Plastics Corp.
4.504% due 09/15/2014		1,165		763
5.881% due 02/15/2015		20,570		18,256
8.875% due 09/15/2014		31,280		26,510
Biomet, Inc.
10.000% due 10/15/2017		28,677		29,322
10.375% due 10/15/2017 (c)		30,385		29,549
11.625% due 10/15/2017		89,462		88,120
Boston Scientific Corp.
4.250% due 01/12/2011		7,600		7,391
Cascades, Inc.
7.250% due 02/15/2013		23,360		20,498
CC Holdings GS V LLC
7.750% due 05/01/2017		14,250		13,965
Celestica, Inc.
7.875% due 07/01/2011		27,609		27,747
Chart Industries, Inc.
9.125% due 10/15/2015		8,865		8,289
Charter Communications Operating LLC
10.375% due 04/30/2014 (a)		5,475		5,270
Chesapeake Energy Corp.
6.625% due 01/15/2016		1,400		1,235
6.875% due 01/15/2016		4,294		3,811
7.000% due 08/15/2014		8,335		7,752
7.250% due 12/15/2018		16,825		14,722
7.500% due 09/15/2013		1,600		1,540
7.500% due 06/15/2014		11,835		11,273
7.625% due 07/15/2013		1,275		1,218
9.500% due 02/15/2015		33,170		33,585
Cie Generale de Geophysique-Veritas
9.500% due 05/15/2016		15,225		15,263
Colorado Interstate Gas Co.
5.950% due 03/15/2015		2,450		2,419
Community Health Systems, Inc.
8.875% due 07/15/2015		41,332		40,712
Compagnie Générale de Géophysique-Veritas
7.500% due 05/15/2015		12,985		11,979
7.750% due 05/15/2017		25,785		23,593
Continental Airlines, Inc.
6.920% due 04/02/2013 (m)		12,786		11,109
7.373% due 06/15/2017		960		682
7.566% due 09/15/2021		2,729		2,238
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		18,295		3,659
Crown Americas LLC
7.750% due 11/15/2015		15,885		15,607
CSC Holdings, Inc.
6.750% due 04/15/2012		4,164		4,039
7.625% due 04/01/2011		38,645		38,452
7.625% due 07/15/2018		39,248		36,550
7.875% due 02/15/2018		12,175		11,460
8.500% due 04/15/2014		4,425		4,408
8.500% due 06/15/2015		13,945		13,771
8.625% due 02/15/2019		6,950		6,794
DaVita, Inc.
6.625% due 03/15/2013		6,470		6,130
Delta Air Lines, Inc.
7.779% due 07/02/2013		6,733		6,195
Deluxe Corp.
5.125% due 10/01/2014		1,000		770
Dex Media West LLC
9.875% due 08/15/2013 (a)		46,244		7,168
DirecTV Holdings LLC
8.375% due 03/15/2013		775		781
DISH DBS Corp.
6.375% due 10/01/2011		2,350		2,285
6.625% due 10/01/2014		2,225		2,058
7.000% due 10/01/2013		12,575		12,009
7.125% due 02/01/2016		89,894		84,276
7.750% due 05/31/2015		4,075		3,902
Dow Chemical Co.
8.550% due 05/15/2019		13,900		13,948
Dynegy Holdings, Inc.
7.125% due 05/15/2018		1,200		822
7.625% due 10/15/2026		3,985		2,491
Dynegy Roseton/Danskammer Pass-Through Trust Series A
7.270% due 11/08/2010		14,529		14,638
Dynegy Roseton/Danskammer Pass-Through Trust Series B
7.670% due 11/08/2016		25,635		22,495
El Paso Corp.
6.875% due 06/15/2014		650		610
6.950% due 06/01/2028		275		208
7.000% due 05/15/2011		1,505		1,484
7.000% due 06/15/2017		28,420		26,023
7.250% due 06/01/2018		10,050		9,329
7.420% due 02/15/2037		1,860		1,439
7.750% due 06/15/2010		6,975		7,018
7.750% due 01/15/2032		2,000		1,637
7.800% due 08/01/2031		38,856		31,866
8.050% due 10/15/2030		5,485		4,588
8.250% due 02/15/2016		2,500		2,444
El Paso Natural Gas Co.
5.950% due 04/15/2017		3,295		3,188
8.375% due 06/15/2032		1,600		1,747
8.625% due 01/15/2022		1,000		1,085
Enterprise Products Operating LLC
7.034% due 01/15/2068		4,840		3,575
8.375% due 08/01/2066		57,581		46,410
Ferrellgas Partners LP
6.750% due 05/01/2014		325		283
7.240% due 08/01/2010 (m)		26,000		25,118
8.870% due 08/01/2009 (m)		32,250		32,083
First Data Corp.
9.875% due 09/24/2015		82,150		58,737
Ford Motor Co.
7.125% due 11/15/2025		8,722		4,841
7.500% due 08/01/2026		20,800		11,336
9.215% due 09/15/2021		1,225		717
Freeport-McMoRan Copper & Gold, Inc.
8.375% due 04/01/2017		41,805		42,178
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		29,520		15,055
Fresenius Medical Care Capital Trust IV
7.875% due 06/15/2011		24,550		25,102
Gaz Capital S.A.
8.146% due 04/11/2018		13,375		12,238
Georgia-Pacific LLC
7.000% due 01/15/2015		6,210		5,837
7.125% due 01/15/2017		9,025		8,438
7.250% due 06/01/2028		13,550		10,196
7.375% due 12/01/2025		28,210		22,004
8.000% due 01/15/2024		76,715		65,591
8.250% due 05/01/2016		21,970		21,421
8.875% due 05/15/2031		4,550		3,958
9.500% due 12/01/2011		1,430		1,480
Goodyear Tire & Rubber Co.
5.010% due 12/01/2009		475		473
9.000% due 07/01/2015		24,758		24,634
10.500% due 05/15/2016		2,250		2,284
Harrah’s Operating Co., Inc.
10.000% due 12/15/2018		28,975		16,805
HCA, Inc.
7.190% due 11/15/2015		21,417		16,568
8.500% due 04/15/2019		15,775		15,538
9.000% due 12/15/2014		3,246		2,700
9.125% due 11/15/2014		28,223		28,011
9.250% due 11/15/2016		136,095		134,394
9.875% due 02/15/2017		7,325		7,435
Host Hotels & Resorts LP
6.375% due 03/15/2015		6,375		5,546
6.875% due 11/01/2014		400		362
Host Marriott LP
6.750% due 06/01/2016		3,900		3,403
Ineos Group Holdings PLC
8.500% due 02/15/2016		12,030		3,789
Intelsat Corp.
9.250% due 08/15/2014		1,450		1,410
9.250% due 06/15/2016		905		871
Intelsat Jackson Holdings Ltd.
9.500% due 06/15/2016		9,475		9,570
Intergen NV
9.000% due 06/30/2017		35,103		33,436
JC Penney Corp., Inc.
6.875% due 10/15/2015		4,375		4,111
7.125% due 11/15/2023		11,425		10,104
7.950% due 04/01/2017		16,923		16,611
JET Equipment Trust
7.630% due 08/15/2012 (a)		1,431		573
9.410% due 06/15/2010 (a)		672		363
10.000% due 06/15/2012 (a)		5,105		2,785
Kansas City Southern de Mexico S.A. de C.V.
9.375% due 05/01/2012		16,939		16,177
Kerr-McGee Corp.
6.950% due 07/01/2024		26,475		24,621
Legrand France S.A.
8.500% due 02/15/2025		16,900		14,576
Lender Processing Services, Inc.
8.125% due 07/01/2016		3,629		3,575
MGM Mirage
6.875% due 04/01/2016		4,285		2,817
10.375% due 05/15/2014		7,250		7,558
11.125% due 11/15/2017		13,500		14,377
Motorola, Inc.
8.000% due 11/01/2011		7,845		7,903
Nalco Co.
7.750% due 11/15/2011		1,400		1,407
8.875% due 11/15/2013		20,940		21,463
New Albertson’s, Inc.
6.570% due 02/23/2028		500		352
7.450% due 08/01/2029		23,775		19,614
7.500% due 02/15/2011		150		152
7.750% due 06/15/2026		1,255		1,076
8.000% due 05/01/2031		1,675		1,445
Newfield Exploration Co.
6.625% due 09/01/2014		2,550		2,362
6.625% due 04/15/2016		250		227
7.125% due 05/15/2018		8,325		7,607
Norampac Industries, Inc.
6.750% due 06/01/2013		13,879		11,936
Nordic Telephone Co. Holdings ApS
8.875% due 05/01/2016		21,080		20,448
Nortel Networks Ltd.
6.963% due 07/15/2011 (a)		14,775		5,060
10.125% due 07/15/2013 (a)		34,195		11,797
Northwest Airlines, Inc.
7.691% due 10/01/2018		5,665		3,343
Northwest Pipeline GP
7.125% due 12/01/2025		4,300		4,170
OPTI Canada, Inc.
7.875% due 12/15/2014		6,800		4,437
8.250% due 12/15/2014		25,455		16,928
Owens-Brockway Glass Container, Inc.
6.750% due 12/01/2014		1,575		1,512
7.375% due 05/15/2016		9,400		9,165
Quebecor Media, Inc.
7.750% due 03/15/2016		58,982		53,747
Quicksilver Resources, Inc.
11.750% due 01/01/2016		23,225		24,154
Reynolds American, Inc.
7.250% due 06/01/2012		5,500		5,522
7.750% due 06/01/2018		2,970		2,864
RH Donnelley, Inc.
11.750% due 05/15/2015 (a)		21,980		10,221
Rockwood Specialties Group, Inc.
7.500% due 11/15/2014		11,095		10,485
Royal Caribbean Cruises Ltd.
6.875% due 12/01/2013		965		811
7.000% due 06/15/2013		4,325		3,801
7.250% due 06/15/2016		4,000		3,180
7.250% due 03/15/2018		5,425		4,313
8.750% due 02/02/2011		1,675		1,608
SandRidge Energy, Inc.
4.832% due 04/01/2014		2,000		1,573
8.625% due 04/01/2015 (c)		64,765		58,450
Sanmina-SCI Corp.
8.125% due 03/01/2016		5,470		4,014
SemGroup LP
8.750% due 11/15/2015 (a)		46,350		2,086
Sensata Technologies BV
8.000% due 05/01/2014		45,525		22,592
Service Corp. International
7.625% due 10/01/2018		2,600		2,424
Sheraton Holding Corp.
7.375% due 11/15/2015		400		368
Smurfit Kappa Funding PLC
7.750% due 04/01/2015		1,650		1,283
Smurfit Kappa Treasury Funding Ltd.
7.500% due 11/20/2025		5,300		3,816
Sonat, Inc.
7.000% due 02/01/2018		7,109		6,495
Southern Natural Gas Co.
5.900% due 04/01/2017		3,950		3,845
8.000% due 03/01/2032		500		531
Speedway Motorsports, Inc.
8.750% due 06/01/2016		4,400		4,477
Starwood Hotels & Resorts Worldwide, Inc.
6.750% due 05/15/2018		1,000		859
7.875% due 05/01/2012		4,300		3,958
7.875% due 10/15/2014		3,950		3,717
Suburban Propane Partners LP
6.875% due 12/15/2013		9,682		8,956
Sungard Data Systems, Inc.
9.125% due 08/15/2013		63,141		59,984
10.625% due 05/15/2015		9,925		9,776
SUPERVALU, Inc.
8.000% due 05/01/2016		7,625		7,434
Teck Resources Ltd.
9.750% due 05/15/2014		22,950		23,776
10.250% due 05/15/2016		22,525		23,624
10.750% due 05/15/2019		57,025		61,396
Tennessee Gas Pipeline Co.
7.500% due 04/01/2017		2,350		2,470
8.375% due 06/15/2032		4,400		4,804
Tesoro Petroleum Corp.
7.466% due 07/17/2012 (m)		10,000		9,395
TRW Automotive, Inc.
7.000% due 03/15/2014		27,250		19,756
7.250% due 03/15/2017		19,585		13,612
United Airlines, Inc.
6.071% due 03/01/2013		161		159
6.201% due 03/29/2049		119		117
6.602% due 03/01/2015		150		149
7.032% due 10/01/2010		414		407
United Rentals North America, Inc.
6.500% due 02/15/2012		34,270		33,413
Unitymedia GmbH
10.375% due 02/15/2015		11,925		12,163
Verso Paper Holdings LLC
9.125% due 08/01/2014		28,670		13,475
Videotron Ltee
9.125% due 04/15/2018		2,775		2,834
West Corp.
9.500% due 10/15/2014		21,220		18,674
Willamette Industries, Inc.
6.450% due 08/19/2009		10,650		10,682
Williams Cos., Inc.
6.375% due 10/01/2010		5,360		5,361
7.500% due 01/15/2031		269		237
7.625% due 07/15/2019		6,740		6,667
7.750% due 06/15/2031		1,000		902
8.750% due 01/15/2020		7,850		8,198
Williams Partners LP
7.250% due 02/01/2017		6,100		5,574
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		16,420		16,502
Windstream Corp.
8.125% due 08/01/2013		130		126
8.625% due 08/01/2016		58,915		56,706
WMG Acquisition Corp.
9.500% due 06/15/2016		24,425		24,425
Wynn Las Vegas LLC
6.625% due 12/01/2014		24,635		21,802
				2,786,968
UTILITIES 15.5%
AES Corp.
7.750% due 03/01/2014		4,890		4,658
7.750% due 10/15/2015		3,589		3,356
8.000% due 10/15/2017		11,295		10,561
8.000% due 06/01/2020		7,905		7,134
8.875% due 02/15/2011		4,125		4,208
9.750% due 04/15/2016		16,575		16,865
Berry Petroleum Co.
10.250% due 06/01/2014		5,700		5,786
Cincinnati Bell Telephone Co. LLC
6.300% due 12/01/2028		2,000		1,250
CMS Energy Corp.
2.081% due 01/15/2013		5,500		4,592
8.750% due 06/15/2019		5,375		5,464
Dominion Resources, Inc.
6.300% due 09/30/2066		24,950		16,974
7.500% due 06/30/2066		3,925		2,947
Energy Future Holdings Corp.
10.875% due 11/01/2017		78,110		57,411
11.250% due 11/01/2017 (c)		5,618		3,455
FPL Group Capital, Inc.
6.350% due 10/01/2066		1,825		1,425
Frontier Communications Corp.
6.250% due 01/15/2013		2,375		2,197
6.625% due 03/15/2015		5,725		5,067
7.000% due 11/01/2025		1,650		1,180
7.125% due 03/15/2019		38,695		33,181
7.450% due 07/01/2035		6,539		4,675
7.875% due 01/15/2027		1,875		1,509
8.250% due 05/01/2014		8,475		8,051
9.000% due 08/15/2031		28,060		23,290
Hawaiian Telcom Communications, Inc.
8.765% due 05/01/2013 (a)		5,865		88
9.750% due 05/01/2013 (a)		24,985		375
Homer City Funding LLC
8.734% due 10/01/2026		11,596		10,378
Ipalco Enterprises, Inc.
7.250% due 04/01/2016		7,910		7,594
8.625% due 11/14/2011		1,010		1,020
Kinder Morgan Finance Co. ULC
5.350% due 01/05/2011		200		197
5.700% due 01/05/2016		35,225		30,382
Knight, Inc.
5.150% due 03/01/2015		2,218		1,935
6.500% due 09/01/2012		10,802		10,613
MetroPCS Wireless, Inc.
9.250% due 11/01/2014		18,870		18,846
Midwest Generation LLC
8.560% due 01/02/2016		63,758		62,483
NRG Energy, Inc.
7.250% due 02/01/2014		20,020		19,469
7.375% due 02/01/2016		64,935		61,607
7.375% due 01/15/2017		24,490		23,143
NV Energy, Inc.
6.750% due 08/15/2017		1,905		1,735
7.803% due 06/15/2012		13,825		13,805
Penn Virginia Corp.
10.375% due 06/15/2016		12,375		12,653
PSEG Energy Holdings LLC
8.500% due 06/15/2011		47,705		48,409
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		1,763		1,719
7.900% due 08/15/2010		900		904
Qwest Communications International, Inc.
7.250% due 02/15/2011		325		317
7.500% due 02/15/2014		104,609		95,979
Qwest Corp.
3.879% due 06/15/2013		4,915		4,417
7.200% due 11/10/2026		9,976		7,582
7.500% due 06/15/2023		13,606		10,885
7.875% due 09/01/2011		3,850		3,869
8.375% due 05/01/2016		5,175		5,020
8.875% due 03/15/2012		27,230		27,570
Reliant Energy Mid-Atlantic Power Holdings LLC
9.681% due 07/02/2026		1,505		1,422
RRI Energy, Inc.
6.750% due 12/15/2014		36,708		35,561
7.625% due 06/15/2014		475		437
7.875% due 06/15/2017		3,650		3,285
Sithe Independence Funding Corp.
9.000% due 12/30/2013		7,772		7,604
Sprint Capital Corp.
6.900% due 05/01/2019		84,855		70,642
7.625% due 01/30/2011		14,934		14,841
8.375% due 03/15/2012		22,760		22,532
8.750% due 03/15/2032		32,110		26,009
1Sprint Nextel Corp.
1.001% due 06/28/2010		3,875		3,655
6.000% due 12/01/2016		31,445		25,864
Telesat Canada
11.000% due 11/01/2015		33,411		34,413
12.500% due 11/01/2017		6,200		6,138
Tenaska Alabama Partners LP
7.000% due 06/30/2021		29,556		25,592
Texas Competitive Electric Holdings Co. LLC
3.823% due 10/10/2014		753		534
10.250% due 11/01/2015		42,045		26,383
10.500% due 11/01/2016 (c)		3,359		1,562
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		21,184		21,131
Virgin Media Finance PLC
9.500% due 08/15/2016		16,125		15,964
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (m)		3,046		2,866
				1,054,665
Total Corporate Bonds & Notes (Cost $6,071,614)				5,480,351
CONVERTIBLE BONDS & NOTES 1.9%
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		8,600		4,074
ArvinMeritor, Inc.
4.000% due 02/15/2027		1,350		550
Chesapeake Energy Corp.
2.250% due 12/15/2038		48,795		30,192
2.500% due 05/15/2037		6,625		4,720
Citigroup Funding, Inc.
1.080% due 08/31/2012		5,000		4,140
LifePoint Hospitals, Inc.
3.500% due 05/15/2014		19,450		15,706
Mylan, Inc.
1.250% due 03/15/2012		25,963		22,620
National City Corp.
4.000% due 02/01/2011		20,985		20,723
Nortel Networks Corp.
1.750% due 04/15/2012 (a)		3,500		1,173
2.125% due 04/15/2014 (a)		10,475		3,509
NovaMed, Inc.
1.000% due 06/15/2012		200		148
Peabody Energy Corp.
4.750% due 12/15/2066		19,675		14,240
Ventas, Inc.
3.875% due 11/15/2011		3,000		2,861
Wright Medical Group, Inc.
2.625% due 12/01/2014		7,400		5,624
Total Convertible Bonds & Notes (Cost $143,628)				130,280
MUNICIPAL BONDS & NOTES 0.3%
Los Angeles, California Community Redevelopment Agency Revenue Bonds, Series 2002
9.000% due 09/01/2012		605		609
9.750% due 09/01/2017		1,160		1,181
9.750% due 09/01/2022		1,375		1,328
9.750% due 09/01/2027		2,170		1,996
9.750% due 09/01/2032		3,480		3,147
Pennsylvania State Economic Development Financing Authority Revenue Bonds, Series 2001
6.750% due 12/01/2036		4,053		3,774
Pennsylvania State Economic Development Financing Authority Revenue Bonds, Series 2003
6.750% due 12/01/2036		765		712
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		3,200		166
San Diego, California Redevelopment Agency Tax Allocation Bonds, Series 2003
6.590% due 11/01/2013		1,785		1,630
7.490% due 11/01/2018		1,435		1,403
7.740% due 11/01/2021		1,885		1,747
Total Municipal Bonds & Notes (Cost $16,921)				17,693
U.S. GOVERNMENT AGENCIES 0.5%
Freddie Mac
0.702% due 03/09/2011 (g)		5,199		5,218
0.896% due 05/05/2011 (g)		479		479
0.926% due 05/04/2011 (g)		18,811		18,860
0.937% due 08/05/2011 (g)		11,474		11,478
Total U.S. Government Agencies (Cost $36,032)				36,035
U.S. TREASURY OBLIGATIONS 0.1%
U.S. Treasury Notes
0.875% due 04/30/2011 (j)		6,985		6,967
Total U.S. Treasury Obligations (Cost $6,900)				6,967
MORTGAGE-BACKED SECURITIES 3.7%
Adjustable Rate Mortgage Trust
4.281% due 10/25/2035		3,781		2,051
American Home Mortgage Assets
0.504% due 05/25/2046		3,440		1,270
0.504% due 09/25/2046		1,433		603
0.524% due 10/25/2046		4,393		1,432
2.040% due 02/25/2047		1,547		509
2.260% due 11/25/2046		25,387		11,644
6.250% due 06/25/2037		10,792		5,371
American Home Mortgage Investment Trust
5.660% due 09/25/2045		1,272		779
Banc of America Alternative Loan Trust
0.714% due 05/25/2035		2,222		1,420
Banc of America Funding Corp.
5.256% due 12/20/2034		39		26
5.357% due 11/20/2035		632		387
Banc of America Mortgage Securities, Inc.
5.433% due 02/25/2036		557		374
BCAP LLC Trust
0.484% due 01/25/2037		2,127		813
Bear Stearns Adjustable Rate Mortgage Trust
4.991% due 01/25/2035		438		325
5.457% due 05/25/2047		3,621		2,113
5.733% due 02/25/2036		491		289
Bear Stearns Alt-A Trust
0.534% due 12/25/2046		325		32
4.493% due 01/25/2035		103		50
5.208% due 03/25/2035		228		122
Chase Mortgage Finance Corp.
4.179% due 02/25/2037		186		160
5.426% due 03/25/2037		1,462		897
Citigroup Mortgage Loan Trust, Inc.
4.685% due 03/25/2034		323		279
5.672% due 07/25/2046		1,088		581
5.994% due 09/25/2037		7,049		3,822
Commercial Mortgage Pass-Through Certificates
6.010% due 12/10/2049		26,400		21,054
Countrywide Alternative Loan Trust
0.484% due 01/25/2037		700		273
0.504% due 09/25/2046		2,917		1,116
0.510% due 12/20/2046		10,946		4,395
0.524% due 07/25/2046		644		276
0.525% due 03/20/2046		716		295
0.525% due 07/20/2046		3,665		1,417
0.544% due 08/25/2046		1,269		248
0.564% due 09/25/2046		700		58
0.564% due 10/25/2046		473		113
0.574% due 06/25/2035		352		164
0.584% due 05/25/2036		498		72
0.644% due 11/20/2035		1,529		693
0.684% due 02/25/2037		29,985		7,663
1.084% due 11/25/2035		808		344
2.340% due 12/25/2035		4,537		2,057
5.306% due 10/25/2035		464		317
5.648% due 10/25/2035		1,599		673
5.750% due 03/25/2037		500		229
5.886% due 02/25/2037		3,040		1,793
6.000% due 11/25/2036		2,619		1,457
6.000% due 01/25/2037		756		413
6.500% due 11/25/2037		1,320		813
6.836% due 07/25/2036 (b)		31,884		3,336
Countrywide Home Loan Mortgage Pass-Through Trust
0.614% due 04/25/2046		687		113
5.373% due 02/25/2047		563		288
5.550% due 04/20/2036		531		353
5.575% due 02/20/2036		618		324
5.575% due 03/25/2037		537		251
6.069% due 09/25/2047		765		450
Credit Suisse Mortgage Capital Certificates
6.000% due 10/25/2021		125		83
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.590% due 10/25/2035		463		239
5.869% due 10/25/2036		700		379
5.886% due 10/25/2036		700		379
Downey Savings & Loan Association Mortgage Loan Trust
0.563% due 03/19/2045		520		232
0.633% due 07/19/2045		491		121
First Horizon Alternative Mortgage Securities
5.382% due 10/25/2034		110		66
6.000% due 05/25/2036		4,291		3,257
Greenpoint Mortgage Funding Trust
0.514% due 10/25/2046		800		85
0.514% due 12/25/2046		600		56
0.524% due 10/25/2046		800		106
0.584% due 04/25/2036		646		197
GS Mortgage Securities Corp. II
5.560% due 11/10/2039		2,482		2,031
GSR Mortgage Loan Trust
0.574% due 08/25/2046		638		170
5.056% due 04/25/2035		69		41
5.176% due 01/25/2036		1,569		1,054
Harborview Mortgage Loan Trust
0.493% due 07/19/2046		2,988		1,240
0.503% due 01/19/2038		429		183
0.505% due 08/21/2036		753		319
0.513% due 09/19/2046		1,647		707
0.553% due 03/19/2036		12,949		5,467
2.190% due 12/19/2036		4,031		1,416
5.750% due 08/19/2036		6,325		2,843
5.849% due 08/19/2036		730		442
Impac CMB Trust
1.054% due 11/25/2034		73		38
Indymac IMSC Mortgage Loan Trust
0.494% due 07/25/2047		1,291		496
Indymac INDA Mortgage Loan Trust
5.862% due 08/25/2036		700		389
Indymac Index Mortgage Loan Trust
0.504% due 09/25/2046		2,219		867
0.514% due 06/25/2047		1,290		536
0.524% due 05/25/2046		448		185
0.554% due 07/25/2035		438		193
0.584% due 06/25/2037		734		162
5.222% due 08/25/2035		3,392		2,179
5.275% due 01/25/2036		440		298
5.302% due 09/25/2035		3,143		1,911
5.369% due 10/25/2035		461		286
5.537% due 11/25/2035		17,502		10,531
5.800% due 06/25/2036		700		291
JPMorgan Alternative Loan Trust
5.550% due 10/25/2036		3,576		3,109
JPMorgan Chase Commercial Mortgage Securities Corp.
5.440% due 06/12/2047		730		552
JPMorgan Mortgage Trust
4.810% due 02/25/2034		149		134
6.000% due 08/25/2037		4,259		3,044
LB-UBS Commercial Mortgage Trust
5.372% due 09/15/2039		2,000		1,627
5.424% due 02/15/2040		3,500		2,554
Luminent Mortgage Trust
0.484% due 12/25/2036		2,384		938
0.494% due 12/25/2036		906		326
0.514% due 10/25/2046		725		299
MASTR Adjustable Rate Mortgages Trust
0.524% due 04/25/2046		1,431		587
0.614% due 05/25/2047		800		86
0.654% due 05/25/2047		600		46
Merrill Lynch Mortgage-Backed Securities Trust
5.845% due 04/25/2037		1,455		782
Morgan Stanley Capital I
5.332% due 12/15/2043		7,770		5,833
5.447% due 02/12/2044		3,570		2,738
5.544% due 11/12/2049		700		369
5.692% due 04/15/2049		1,100		805
6.076% due 06/11/2049		10,700		8,089
Morgan Stanley Mortgage Loan Trust
0.624% due 01/25/2035		130		67
5.380% due 06/25/2036		545		445
Nomura Asset Acceptance Corp.
4.872% due 12/25/2034		250		206
5.820% due 03/25/2047		600		350
Residential Accredit Loans, Inc.
0.474% due 01/25/2037		18,801		7,586
0.494% due 06/25/2046		10,065		3,880
0.544% due 05/25/2037		907		187
0.564% due 08/25/2037		1,419		564
0.644% due 03/25/2037		12,050		4,221
5.667% due 09/25/2035		519		323
6.321% due 02/25/2036		10,187		5,507
6.500% due 07/25/2037		20,205		10,420
Residential Asset Securitization Trust
0.764% due 12/25/2036		1,624		728
6.000% due 05/25/2037		2,932		1,844
6.250% due 10/25/2036		1,900		963
6.500% due 08/25/2036		3,300		1,579
Sequoia Mortgage Trust
5.102% due 01/20/2047		631		359
Sovereign Commercial Mortgage Securities Trust
5.835% due 07/22/2030		800		706
Structured Adjustable Rate Mortgage Loan Trust
4.371% due 03/25/2034		117		91
5.246% due 05/25/2036		700		290
5.376% due 11/25/2035		465		277
5.411% due 09/25/2036		700		384
6.000% due 10/25/2037		554		258
Structured Asset Mortgage Investments, Inc.
0.494% due 09/25/2047		7,513		3,720
0.504% due 07/25/2046		5,287		2,213
0.524% due 05/25/2046		2,645		1,071
0.534% due 05/25/2036		430		171
0.534% due 05/25/2046		1,809		719
0.534% due 09/25/2047		60,479		11,471
0.563% due 07/19/2035		164		105
0.574% due 05/25/2046		638		140
0.594% due 02/25/2036		436		201
0.614% due 08/25/2036		900		110
Suntrust Alternative Loan Trust
0.664% due 04/25/2036		9,697		3,209
TBW Mortgage-Backed Pass-Through Certificates
6.014% due 07/25/2037		600		308
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		6,973		5,025
WaMu Mortgage Pass-Through Certificates
0.534% due 07/25/2046		622		163
0.724% due 11/25/2045		600		147
0.724% due 12/25/2045		600		141
0.802% due 11/25/2034		1,211		408
2.080% due 01/25/2047		2,439		854
2.100% due 04/25/2047		3,438		1,437
2.139% due 02/25/2047		4,072		1,642
2.139% due 03/25/2047		4,506		1,840
2.150% due 07/25/2047		892		334
2.160% due 12/25/2046		1,566		537
2.877% due 01/25/2047		878		366
4.214% due 08/25/2033		115		100
4.478% due 09/25/2033		881		794
4.672% due 10/25/2033		330		273
5.293% due 01/25/2037		1,179		689
5.394% due 02/25/2037		4,244		2,520
5.468% due 04/25/2037		866		519
5.575% due 12/25/2036		859		554
5.581% due 12/25/2036		2,450		1,511
5.632% due 05/25/2037		1,764		1,142
5.687% due 02/25/2037		2,130		1,192
5.752% due 10/25/2036		6,448		3,809
5.833% due 02/25/2037		2,516		1,577
5.928% due 09/25/2036		1,172		755
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.100% due 04/25/2047		891		248
2.280% due 07/25/2046		149		51
2.310% due 05/25/2046		881		375
Wells Fargo Mortgage-Backed Securities Trust
5.593% due 07/25/2036		1,576		1,058
Total Mortgage-Backed Securities (Cost $312,065)				252,524
ASSET-BACKED SECURITIES 0.6%
Carrington Mortgage Loan Trust
0.434% due 02/25/2037		1,628		1,269
0.464% due 08/25/2036		850		281
Countrywide Asset-Backed Certificates
5.689% due 10/25/2046		86		37
Credit-Based Asset Servicing & Securitization LLC
0.424% due 04/25/2036		2,035		1,873
5.721% due 01/25/2037		9,605		3,554
GSAA Trust
0.614% due 05/25/2047		700		244
GSAMP Trust
0.384% due 12/25/2036		471		250
0.429% due 03/25/2047		1,667		1,235
0.464% due 08/25/2036		935		213
Lehman XS Trust
0.534% due 04/25/2046		503		212
0.544% due 06/25/2046		636		109
0.544% due 08/25/2046		585		125
0.554% due 09/25/2046		725		154
0.554% due 11/25/2046		710		199
MASTR Asset-Backed Securities Trust
0.524% due 11/25/2036		3,200		840
Merrill Lynch First Franklin Mortgage Loan Trust
0.434% due 07/25/2037		27,800		9,901
Mid-State Trust
7.791% due 03/15/2038		329		232
Morgan Stanley ABS Capital I
0.454% due 05/25/2037		1,555		402
Morgan Stanley Mortgage Loan Trust
0.544% due 02/25/2037		600		147
0.674% due 04/25/2037		800		292
5.750% due 04/25/2037		486		322
6.000% due 07/25/2047		506		336
Novastar Home Equity Loan
0.414% due 03/25/2037		3,069		2,513
Residential Asset Mortgage Products, Inc.
0.714% due 06/25/2047		700		256
Residential Asset Securities Corp.
0.424% due 04/25/2037		1,659		1,445
0.464% due 08/25/2036		700		188
Structured Asset Securities Corp.
0.464% due 05/25/2037		10,064		5,571
0.614% due 06/25/2035		22,717		7,879
Total Asset-Backed Securities (Cost $59,554)				40,079
FOREIGN CURRENCY-DENOMINATED ISSUES 5.9%
American International Group, Inc.
1.556% due 04/26/2011	EUR	7,500		6,581
4.000% due 09/20/2011		1,400		1,316
5.950% due 10/04/2010	GBP	2,850		3,138
8.625% due 05/22/2038		7,750		3,060
BAC Capital Trust VII
5.250% due 08/10/2035		4,400		3,945
Barclays Bank PLC
14.000% due 11/29/2049		25,500		48,141
Beverage Packaging Holdings Luxembourg II S.A.
8.000% due 12/15/2016	EUR	1,000		1,227
Bombardier, Inc.
7.250% due 11/15/2016		11,625		14,025
Brazil Government International Bond
10.250% due 01/10/2028	BRL	34,000		17,178
12.500% due 01/05/2022		58,750		33,430
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2017		152,000		67,797
Chesapeake Energy Corp.
6.250% due 01/15/2017	EUR	5,975		7,418
CIT Group, Inc.
1.610% due 11/30/2011		7,150		6,269
FCE Bank PLC
2.120% due 09/30/2009		700		967
Fresenius Finance BV
5.500% due 01/31/2016		2,100		2,725
Hertz Corp.
7.875% due 01/01/2014		2,500		2,893
International Lease Finance Corp.
1.656% due 08/15/2011		10,000		10,465
Intesa Sanpaolo SpA
8.047% due 06/29/2049		7,700		8,480
Lighthouse International Co. S.A.
8.000% due 04/30/2014		13,975		9,312
M&G Finance Luxembourg S.A.
7.500% due 03/29/2049		5,000		1,333
Nordic Telephone Co. Holdings ApS
8.250% due 05/01/2016		15,975		22,074
OI European Group BV
6.875% due 03/31/2017		3,725		4,599
Rockwood Specialties Group, Inc.
7.625% due 11/15/2014		5,650		7,451
Royal Bank of Scotland Group PLC
6.334% due 04/06/2011	GBP	5,866		3,786
Sensata Technologies BV
11.250% due 01/15/2014	EUR	14,000		8,642
SLM Corp.
1.607% due 06/17/2013		51,500		50,934
1.756% due 04/26/2011		3,500		4,061
2.750% due 03/15/2011	CHF	4,220		3,505
Unitymedia GmbH
8.750% due 02/15/2015	EUR	100		139
Unitymedia Hessen GmbH & Co. KG
4.259% due 04/15/2013		1,500		1,939
UPC Broadband Holding BV
4.516% due 12/31/2016		11,280		13,894
4.943% due 12/31/2017		8,136		10,066
UPC Holding BV
7.750% due 01/15/2014		1,700		2,146
8.000% due 11/01/2016		1,200		1,422
9.750% due 04/15/2018		9,623		12,217
Wind Acquisition Finance S.A.
9.750% due 12/01/2015		4,000		5,499
Total Foreign Currency-Denominated Issues (Cost $424,905)				402,074
	SHARES
COMMON STOCKS 0.0%
U.S. Airways Group, Inc. ‘A’ (d)		12,224		0
Total Common Stocks (Cost $0)				0
CONVERTIBLE PREFERRED STOCKS 1.7%
American International Group, Inc.
8.500% due 08/01/2011		1,017,971		9,691
Citigroup, Inc.
6.500% due 12/31/2049 (a)		296,850		9,962
Lehman Brothers Holdings, Inc.
8.750% due 07/01/2011 (a)		6,700		5
Wells Fargo & Co.
7.500% due 12/31/2049		120,725		94,766
Total Convertible Preferred Stocks (Cost $104,769)				114,424
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 0.9%
REPURCHASE AGREEMENTS 0.5%
Barclays Capital, Inc.
0.020% due 07/01/2009	$	19,000		19,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000%     due 01/15/2016 valued at $19,670. Repurchase proceeds are $19,000.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		11,993		11,993
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/20/2009 valued at     $12,238. Repurchase proceeds are $11,993.)
				30,993
U.S. TREASURY BILLS 0.4%
0.127% due 07/02/2009 - 11/19/2009 (e)(g)(h)(j)		28,595		28,591
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (f) 0.0%
		14,176		142
Total Short-Term Instruments (Cost $59,726)				59,726
Total Investments 100.2% (Cost $7,563,414)			$	6,814,090
Written Options (l) (0.0%) (Premiums $3,152)				(2,422	)
Other Assets and Liabilities (Net) (0.2%)				(10,612	)
Net Assets 100.0%			$	6,801,056

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) Payment in-kind bond security.

(d) Non-income producing security.

(e) Coupon represents a weighted average rate.

(f) Affiliated to the Fund.

(g) Securities with an aggregate market value of $60,304 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(h) Securities with an aggregate market value of $710 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(i) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $71,392 at a weighted average interest rate of 0.800%. On June 30, 2009, securities valued at $143,025 were pledged as collateral for reverse repurchase agreements.

(j) Securities with an aggregate market value of $8,246 and cash of $3,629 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2009	128	$	(3	)
90-Day Eurodollar December Futures	Long	12/2010	7,114		(2,303	)
90-Day Eurodollar June Futures	Long	06/2010	434		1,716
90-Day Eurodollar March Futures	Long	03/2011	103		(137	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	2,026		(1,102	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	1,892		(1,483	)
				$	(3,312	)

(k) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection ⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
AES Corp.	CSFB	5.000	%	06/20/2014	6.261	%	$	4,100	$	(190	)	$	(246	)	$	56
AES Corp.	GSC	5.000	%	12/20/2013	6.212	%		11,250		(463	)		(872	)		409
ARAMARK Corp.	CITI	5.000	%	03/20/2014	6.662	%		5,100		(299	)		(139	)		(160	)
Berkshire Hathaway Finance Corp.	DUB	1.000	%	06/20/2014	2.311	%		17,400		(983	)		(995	)		12
Berkshire Hathaway Finance Corp.	GSC	1.000	%	06/20/2014	2.311	%		19,300		(1,090	)		(1,055	)		(35	)
Berkshire Hathaway Finance Corp.	JPM	5.000	%	06/20/2014	2.311	%		5,000		588			480			108
Biomet, Inc.	CITI	6.500	%	06/20/2014	3.747	%		3,000		315			0			315
Biomet, Inc.	JPM	8.000	%	03/20/2014	3.724	%		4,000		627			0			627
Biomet, Inc.	MSC	3.550	%	03/20/2013	3.615	%		1,500		(1	)		0			(1	)
Chesapeake Energy Corp.	CITI	5.000	%	12/20/2013	7.015	%		3,750		(253	)		(188	)		(65	)
Chesapeake Energy Corp.	CSFB	5.000	%	12/20/2013	7.015	%		3,750		(252	)		(161	)		(91	)
Chesapeake Energy Corp.	DUB	5.000	%	09/20/2014	7.108	%		5,600		(439	)		(445	)		6
Chesapeake Energy Corp.	GSC	5.000	%	12/20/2013	7.015	%		3,750		(253	)		(113	)		(140	)
Chesapeake Energy Corp.	GSC	5.000	%	06/20/2014	7.080	%		2,900		(217	)		(145	)		(72	)
Chesapeake Energy Corp.	GSC	5.000	%	09/20/2014	7.108	%		8,200		(641	)		(636	)		(5	)
Chrysler Financial	DUB	5.250	%	09/20/2012	8.590	%		3,500		(289	)		0			(289	)
CIT Group, Inc.	BCLY	5.000	%	06/20/2014	15.418	%		10,000		(2,868	)		(1,900	)		(968	)
CIT Group, Inc.	GSC	5.000	%	06/20/2014	15.418	%		13,600		(3,900	)		(1,921	)		(1,979	)
CIT Group, Inc.	JPM	5.000	%	12/20/2009	19.378	%		5,000		(315	)		(625	)		310
CIT Group, Inc.	MSC	5.000	%	06/20/2014	15.418	%		1,500		(430	)		(322	)		(108	)
Community Health Systems, Inc.	GSC	5.000	%	12/20/2013	6.389	%		22,500		(1,082	)		(2,231	)		1,149
Community Health Systems, Inc.	GSC	5.000	%	03/20/2014	6.463	%		24,700		(1,301	)		(2,253	)		952
Community Health Systems, Inc.	GSC	5.000	%	06/20/2014	6.531	%		10,000		(572	)		(500	)		(72	)
Community Health Systems, Inc.	JPM	5.000	%	12/20/2013	6.389	%		3,750		(180	)		(365	)		185
CSC Holdings, Inc.	MSC	3.650	%	03/20/2013	2.000	%		1,500		84			0			84
Dynegy Holdings, Inc.	CITI	5.000	%	03/20/2014	12.138	%		625		(134	)		(113	)		(21	)
El Paso Corp.	CITI	5.000	%	12/20/2013	6.902	%		3,750		(240	)		(107	)		(133	)
El Paso Corp.	CITI	5.000	%	03/20/2014	6.928	%		4,500		(303	)		(333	)		30
El Paso Corp.	CITI	5.000	%	06/20/2014	6.952	%		7,000		(495	)		(560	)		65
El Paso Corp.	CSFB	5.000	%	09/20/2014	6.974	%		4,200		(310	)		(316	)		6
El Paso Corp.	CSFB	5.000	%	09/20/2014	6.970	%		8,100		(608	)		(618	)		10
El Paso Corp.	GSC	5.000	%	12/20/2013	6.902	%		12,750		(816	)		(330	)		(486	)
El Paso Corp.	GSC	5.000	%	06/20/2014	6.952	%		3,200		(226	)		(160	)		(66	)
El Paso Corp.	GSC	5.000	%	09/20/2014	6.974	%		3,750		(277	)		(238	)		(39	)
El Paso Corp.	JPM	5.000	%	06/20/2014	6.952	%		3,800		(269	)		(209	)		(60	)
Ford Motor Co.	MLP	4.850	%	12/20/2010	19.231	%		18,000		(3,279	)		0			(3,279	)
General Electric Capital Corp.	BOA	5.000	%	06/20/2014	4.176	%		76,900		2,656			2,415			241
General Electric Capital Corp.	CITI	4.100	%	12/20/2013	4.336	%		8,250		(64	)		0			(64	)
General Electric Capital Corp.	CITI	3.250	%	03/20/2014	4.336	%		22,900		(942	)		0			(942	)
General Electric Capital Corp.	CITI	5.000	%	06/20/2014	4.176	%		20,900		722			681			41
General Electric Capital Corp.	DUB	5.000	%	06/20/2014	4.176	%		24,800		857			(89	)		946
Georgia-Pacific LLC	BOA	5.000	%	09/20/2014	4.718	%		18,000		235			(1,845	)		2,080
Georgia-Pacific LLC	GSC	5.000	%	12/20/2013	4.675	%		3,750		50			(338	)		388
Georgia-Pacific LLC	JPM	5.000	%	12/20/2013	4.675	%		9,000		121			(799	)		920
Georgia-Pacific LLC	MLP	5.000	%	12/20/2013	4.675	%		5,250		70			(479	)		549
Georgia-Pacific LLC	MSC	3.800	%	03/20/2013	2.663	%		1,500		56			0			56
GMAC LLC	BOA	7.000	%	12/20/2012	10.076	%		2,500		(195	)		0			(195	)
GMAC LLC	BOA	5.000	%	09/20/2013	9.786	%		37,000		(5,226	)		(9,712	)		4,486
GMAC LLC	DUB	5.000	%	03/20/2012	10.541	%		3,000		(354	)		(465	)		111
GMAC LLC	DUB	6.350	%	12/20/2012	10.076	%		3,650		(347	)		0			(347	)
GMAC LLC	GSC	6.800	%	12/20/2012	10.076	%		5,000		(416	)		0			(416	)
GMAC LLC	JPM	2.110	%	03/20/2012	10.541	%		10,000		(1,810	)		0			(1,810	)
GMAC LLC	MLP	5.000	%	03/20/2010	13.789	%		1,500		(87	)		(146	)		59
Goodyear Tire & Rubber Co.	CITI	3.650	%	06/20/2013	5.501	%		3,800		(236	)		0			(236	)
HCA, Inc.	BOA	4.650	%	09/20/2013	6.782	%		3,000		(213	)		0			(213	)
HCA, Inc.	CITI	2.000	%	09/20/2012	5.559	%		4,400		(434	)		0			(434	)
HCA, Inc.	CSFB	5.000	%	06/20/2014	6.495	%		9,600		(460	)		(1,050	)		590
International Lease Finance Corp.	MSC	5.000	%	06/20/2014	8.548	%		1,000		(119	)		(150	)		31
NRG Energy, Inc.	CSFB	5.000	%	12/20/2013	4.319	%		3,750		100			(42	)		142
NRG Energy, Inc.	GSC	4.200	%	09/20/2013	4.266	%		6,875		(9	)		0			(9	)
NRG Energy, Inc.	JPM	5.380	%	12/20/2013	4.319	%		4,500		184			0			184
NRG Energy, Inc.	MLP	5.500	%	12/20/2013	4.319	%		5,250		239			0			239
Prudential Financial, Inc.	JPM	5.000	%	06/20/2014	5.307	%		1,000		(11	)		4			(15	)
Qwest Capital Funding, Inc.	CITI	3.350	%	12/20/2012	6.947	%		1,100		(114	)		0			(114	)
Qwest Capital Funding, Inc.	CSFB	3.100	%	12/20/2012	6.947	%		5,000		(556	)		0			(556	)
RRI Energy, Inc.	BCLY	5.000	%	09/20/2014	9.460	%		3,800		(594	)		(599	)		5
RRI Energy, Inc.	GSC	5.000	%	09/20/2014	9.460	%		21,650		(2,999	)		(3,767	)		768
SLM Corp.	BCLY	5.000	%	12/20/2013	8.248	%		4,700		(487	)		(517	)		30
SLM Corp.	BOA	5.000	%	12/20/2010	8.657	%		22,000		(1,048	)		(1,925	)		877
SLM Corp.	BOA	5.000	%	09/20/2014	7.854	%		22,100		(2,252	)		(3,094	)		842
SLM Corp.	DUB	5.000	%	06/20/2010	8.719	%		15,600		(512	)		(878	)		366
SLM Corp.	DUB	5.000	%	06/20/2012	8.228	%		9,900		(759	)		(1,287	)		528
SLM Corp.	DUB	5.000	%	09/20/2014	7.854	%		2,000		(204	)		(225	)		21
SLM Corp.	GSC	7.600	%	03/20/2012	8.608	%		4,750		(98	)		0			(98	)
SLM Corp.	MSC	5.000	%	06/20/2014	7.881	%		6,000		(598	)		(1,020	)		422
Sungard Data Systems, Inc.	BCLY	5.000	%	09/20/2014	7.916	%		2,000		(216	)		(230	)		14
Sungard Data Systems, Inc.	CITI	5.000	%	03/20/2014	7.892	%		4,000		(401	)		(261	)		(140	)
Sungard Data Systems, Inc.	MSC	3.800	%	03/20/2013	3.480	%		1,500		17			0			17
									$	(37,815	)	$	(43,434	)	$	5,619

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.HY-9 3-Year Index 25-35%	DUB	4.000	%	12/20/2010	$	3,000	$	(196	)	$	0	$	(196	)
CDX.HY-9 3-Year Index 25-35%	MLP	4.530	%	12/20/2010		51,800		(2,994	)		0		(2,994	)
CDX.HY-9 3-Year Index 35-100%	MLP	1.550	%	12/20/2010		9,368		54			0		54
CDX.HY-9 3-Year Index 35-100%	MLP	1.670	%	12/20/2010		8,155		61			0		61
CDX.HY-9 5-Year Index 25-35%	MLP	3.230	%	12/20/2012		5,050		(1,348	)		0		(1,348	)
CDX.HY-10 5-Year Index 25-35%	MLP	6.520	%	06/20/2013		2,000		(398	)		0		(398	)
CDX.IG-9 5-Year Index 30-100%	BCLY	0.757	%	12/20/2012		8,751		120			0		120
CDX.IG-9 5-Year Index 30-100%	DUB	0.760	%	12/20/2012		11,667		161			0		161
							$	(4,540	)	$	0	$	(4,540	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount	Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	10.115	%	01/02/2012	MSC	BRL478,100	$	(10,545	)	$	(1,047	)	$	(9,498	)
Pay	1-Year BRL-CDI	10.150	%	01/02/2012	GSC	45,100		(967	)		(325	)		(642	)
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS	2,600		(35	)		(4	)		(31	)
Pay	1-Year BRL-CDI	10.680	%	01/02/2012	BCLY	288,400		(3,384	)		(368	)		(3,016	)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC	25,500		961			168			793
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	JPM	30,500		1,149			106			1,043
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP	27,100		1,021			189			832
							$	(11,800	)	$	(1,281	)	$	(10,519	)

Total Return Swaps on Securities

Pay/Receive Total Return on Reference Entity	Reference Entity	# of Shares or Units	Floating Rate(5)		Notional Amount		Maturity Date	Counterparty	Unrealized Appreciation
Receive	NRG Energy, Inc.	255,400	0.000	%	$	5,846	07/23/2009	MLP	$	784

⁽⁵⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(l) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	124.000	08/21/2009	3	$	2	$	0
Put - CBOT U.S. Treasury 10-Year Note September Futures		116.000	08/21/2009	3		2		5
Put - CME 90-Day Eurodollar September Futures		98.500	09/14/2009	113		27		5
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	1,771		299		90
					$	330	$	100

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009	$	16,300	$	48	$	34
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		21,000		184		117
Put - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		6,000		49		33
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		31,600		111		65
Call - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	2.500	%	08/21/2009		41,000		199		66
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/21/2009		41,000		303		812
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		215,000		1,928		1,195
									$	2,822	$	2,322

(m) Restricted securities as of June 30, 2009:

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	$	12,092	$	11,109	0.16	%
Ferrellgas Partners LP	7.240	%	08/01/2010	10/17/2001 - 04/24/2006		25,993		25,118	0.37	%
Ferrellgas Partners LP	8.870	%	08/01/2009	06/30/2003 - 02/25/2009		32,179		32,083	0.47	%
Tesoro Petroleum Corp.	7.466	%	07/17/2012	11/17/2004		9,976		9,395	0.14	%
Wilmington Trust Co.	10.732	%	01/01/2013	01/07/1993 - 05/16/2003		4,906		4,651	0.07	%
Wilmington Trust Co. - Tucson Electric	10.732	%	01/01/2013	05/09/1995 - 05/16/2003		3,037		2,866	0.04	%
					$	88,183	$	85,222	1.25	%

(n) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	CHF	RBS	3,664	10/2009	$	0	$	0		$	0
Buy	CNY	BCLY	22,489	07/2009		0		(206	)		(206	)
Sell		BCLY	98,480	07/2009		2		(4	)		(2	)
Buy		DUB	67,956	07/2009		0		(583	)		(583	)
Sell		DUB	129,228	07/2009		29		(5	)		24
Buy		HSBC	44,595	07/2009		0		(301	)		(301	)
Buy		JPM	92,668	07/2009		0		(811	)		(811	)
Buy		BCLY	52,712	09/2009		3		0			3
Buy		DUB	44,976	09/2009		3		0			3
Buy		BCLY	45,732	03/2010		0		(13	)		(13	)
Buy		DUB	83,579	03/2010		0		(67	)		(67	)
Sell	EUR	BCLY	131,961	07/2009		0		(992	)		(992	)
Sell		RBS	7,570	07/2009		0		(34	)		(34	)
Buy	GBP	BCLY	30,698	07/2009		40		(137	)		(97	)
Sell		BCLY	53,663	07/2009		0		(1,547	)		(1,547	)
Sell		CITI	5,930	07/2009		0		(581	)		(581	)
Sell		CSFB	987	07/2009		0		(47	)		(47	)
Buy		GSC	3,176	07/2009		40		(5	)		35
Sell		GSC	4,428	07/2009		46		(52	)		(6	)
Buy		MSC	33,797	07/2009		0		(232	)		(232	)
Sell		RBC	4,659	07/2009		0		(67	)		(67	)
Buy		RBS	1,996	07/2009		154		0			154
Sell		MSC	33,797	08/2009		231		0			231
Sell	JPY	BNP	29,354	07/2009		0		0			0
Sell		MSC	29,354	08/2009		0		0			0
Sell	SGD	CITI	7,174	07/2009		52		0			52
Buy		HSBC	7,174	07/2009		0		(8	)		(8	)
					$	600	$	(5,692	)	$	(5,092	)

(o) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)			Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0		$	5,332,902		$	147,449		$	5,480,351
Foreign Currency-Denominated Issues		0			398,288			3,786			402,074
Other Investments++		114,561			817,104			0			931,665
Investments, at value	$	114,561		$	6,548,294		$	151,235		$	6,814,090
Financial Derivative Instruments+++	$	(3,312	)	$	(15,882	)	$	(288	)	$	(19,482	)
Total	$	111,249		$	6,532,412		$	150,947		$	6,794,608

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)			Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	98,156		$	41,399		$	643	$	(396	)	$	7,565	$	82	$	147,449
Foreign Currency-Denominated Issues		3,367			0			3		0			416		0		3,786
Other Investments++		1,296			(2,225	)		0		(3,504	)		4,433		0		0
Investments, at value	$	102,819		$	39,174		$	646	$	(3,900	)	$	12,414	$	82	$	151,235
Financial Derivative Instruments+++	$	(1,576	)	$	0		$	0	$	0		$	1,288	$	0	$	(288	)
Total	$	101,243		$	39,174		$	646	$	(3,900	)	$	13,702	$	82	$	150,947

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

High Yield Municipal Bond Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 1.1%
American International Group, Inc.
4.700% due 10/01/2010	$	500	$	406
8.175% due 05/15/2058		1,600		457
8.250% due 08/15/2018		400		236
Citigroup, Inc.
8.400% due 04/29/2049 (a)		550		413
SLM Corp.
4.500% due 07/26/2010		700		662
Total Corporate Bonds & Notes (Cost $3,190)				2,174
MUNICIPAL BONDS & NOTES 96.3%
ALABAMA 1.2%
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		574
Montgomery, Alabama Medical Clinic Board Revenue Bonds, Series 2006
5.250% due 03/01/2031		250		197
5.250% due 03/01/2036		500		383
Tuscaloosa, Alabama Educational Building Authority Revenue Bonds, Series 2007
5.000% due 06/01/2026		1,500		1,089
				2,292
ALASKA 0.5%
Alaska State Industrial Development & Export Authority Revenue Bonds, Series 2007
6.000% due 12/01/2036		1,400		891
ARIZONA 3.8%
Apache County, Arizona Industrial Development Authority Revenue Bonds, Series 1998
5.875% due 03/01/2033		1,215		1,051
Arizona State Health Facilities Authority Revenue Bonds, Series 2007
5.200% due 10/01/2037		1,250		768
Arizona State Salt Verde Financial Corp. Revenue Bonds, Series 2007
5.000% due 12/01/2037		1,000		739
Mohave County, Arizona Industrial Development Authority Revenue Bonds, Series 2008
8.000% due 05/01/2025		1,100		1,209
Pima County, Arizona Industrial Development Authority Revenue Bonds, Series 2006
6.375% due 06/01/2036		1,500		1,107
Pima County, Arizona Industrial Development Authority Revenue Bonds, Series 2007
5.625% due 07/01/2038		1,000		701
Pima County, Arizona Industrial Development Authority Revenue Bonds, Series 2008
6.375% due 09/01/2029		1,850		1,762
				7,337
CALIFORNIA 5.3%
California State Educational Facilities Authority Revenue Bonds, Series 2008
0.250% due 10/01/2036		2,000		2,000
California State Health Facilities Financing Authority Revenue Bonds, Series 2009
5.750% due 09/01/2039		1,000		923
6.000% due 07/01/2039		1,500		1,453
California State Municipal Finance Authority Revenue Bonds, Series 2008
5.875% due 10/01/2034		600		544
7.000% due 10/01/2039		500		406
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.500% due 11/01/2038		1,350		849
9.000% due 11/01/2017		500		417
Chula Vista, California Revenue Bonds, Series 2004
5.875% due 02/15/2034		1,000		1,003
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2003
5.625% due 06/01/2038		80		90
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2033		1,000		671
Los Angeles, California Regional Airports Improvement Corp. Revenue Bonds, Series 2002
7.500% due 12/01/2024		250		218
Santa Clara, California Revenue Bonds, Series 2008
0.250% due 07/01/2034		500		500
University of California Regents Medical Center Revenue Bonds, (MBIA Insured), Series 2007
1.202% due 05/15/2030		1,750		1,105
				10,179
COLORADO 6.8%
Colorado Springs, Colorado Revenue Bonds, Series 2006
0.300% due 06/01/2029		1,600		1,600
Colorado State Confluence Metropolitan District Revenue Bonds, Series 2007
5.400% due 12/01/2027		500		335
5.450% due 12/01/2034		1,000		624
Colorado State Educational & Cultural Facilities Authority Revenue Bonds, Series 2007
5.700% due 05/01/2037 (f)		800		555
5.750% due 05/15/2037		835		581
5.750% due 12/01/2037		1,000		677
Colorado State Health Facilities Authority Revenue Bonds, Series 2007
5.300% due 07/01/2037		2,350		1,428
5.900% due 08/01/2037		1,000		676
Colorado State Health Facilities Authority Revenue Bonds, Series 2008
5.750% due 05/15/2036		1,000		872
Colorado State Housing & Finance Authority Revenue Bonds, Series 2007
5.875% due 06/01/2037		1,500		953
Colorado State Public Authority for Energy Revenue Bonds, Series 2008
6.250% due 11/15/2028		2,205		2,087
Colorado State School of Mines Revenue Bonds, Series 2008
0.350% due 12/01/2037		225		225
Copperleaf, Colorado Metropolitan District No. 2 General Obligation Bonds, Series 2006
5.950% due 12/01/2036		500		304
Denver, Colorado City & County Certificates of Participation Bonds, Series 2008
0.200% due 12/01/2029		1,300		1,300
Madre, Colorado Metropolitan District No. 2 General Obligation Bonds, Series 2007
5.500% due 12/01/2036		900		449
Tallyns Reach, Colorado Metropolitan District No. 3 General Obligation Bonds, Series 2007
5.200% due 12/01/2036		500		364
				13,030
FLORIDA 4.7%
Beacon Lakes, Florida Community Development District Special Assessment Bonds, Series 2007
6.000% due 05/01/2038		455		268
Brevard County, Florida Health Facilities Authority Revenue Bonds, Series 2005
5.000% due 04/01/2036		700		545
Broward County, Florida Educational Facilities Authority Revenue Bonds, Series 2008
0.320% due 04/01/2038		500		500
Florida State Development Finance Corp. Revenue Bonds, Series 2007
6.000% due 02/15/2037		250		182
Hillsborough County, Florida Industrial Development Authority Revenue Bonds, Series 2007
5.125% due 05/15/2037		1,000		635
Hillsborough County, Florida Industrial Development Authority Revenue Bonds, Series 2008
5.625% due 08/15/2029		1,750		1,319
Jacksonville, Florida Economic Development Commission Revenue Bonds, Series 2007
5.300% due 05/01/2037		2,500		1,485
Lee County, Florida Industrial Development Authority Revenue Bonds, Series 2007
5.375% due 06/15/2037		1,500		877
Miami-Dade County, Florida Educational Facilities Authority Revenue Bonds, Series 2008
5.500% due 04/01/2038		500		492
Orange County, Florida School Board Certificates of Participation Bonds, Series 2008
0.300% due 08/01/2022		700		700
Sarasota County, Florida Health Facility Authority Revenue Bonds, Series 2007
5.750% due 07/01/2037		1,680		1,189
University Square, Florida Community Development District Special Assessment Bonds, Series 2007
5.875% due 05/01/2038		1,235		701
				8,893
GEORGIA 0.9%
Atlanta, Georgia Downtown Development Authority Revenue Notes, (AGC Insured), Series 2009
4.000% due 07/01/2011		500		516
Fulton County, Georgia Revenue Bonds, Series 2006
5.125% due 07/01/2042		250		150
Georgia State Medical Center Hospital Authority Revenue Bonds, Series 2007
5.250% due 07/01/2037		1,500		1,024
				1,690
IDAHO 0.5%
Nez Perce County, Idaho Revenue Bonds, Series 1996
6.000% due 10/01/2024		1,300		1,018
ILLINOIS 6.5%
Belleville, Illinois Frank Scott Parkway Redevelopment Authority Tax Allocation Bonds, Series 2007
5.700% due 05/01/2036		1,000		726
Granite City, Illinois Revenue Bonds, Series 2007
5.125% due 04/01/2027		1,645		1,072
Hillside, Illinois Tax Allocation Bonds, Series 2008
7.000% due 01/01/2028		2,000		1,551
Illinois State Finance Authority Revenue Bonds, Series 1993
5.950% due 08/15/2026		800		705
Illinois State Finance Authority Revenue Bonds, Series 2006
5.875% due 02/15/2038		200		148
Illinois State Finance Authority Revenue Bonds, Series 2007
5.375% due 11/15/2039		1,600		957
5.500% due 05/15/2037		750		444
6.100% due 12/01/2041		1,650		1,144
7.000% due 12/01/2037		1,000		643
Illinois State Finance Authority Revenue Bonds, Series 2008
6.250% due 08/15/2035		1,000		734
Illinois State Finance Authority Sports Facilities Revenue Bonds, Series 2007
6.000% due 03/01/2037		1,775		709
Illinois State General Obligation Notes, Series 2009
4.000% due 05/20/2010		2,000		2,047
Southwestern Illinois State Development Authority Revenue Bonds, Series 2007
5.350% due 03/01/2031		1,250		835
6.625% due 06/01/2037		1,000		741
				12,456
INDIANA 2.2%
East Chicago, Indiana Revenue Bonds, Series 1999
6.375% due 08/01/2029		100		62
Indiana State Health & Educational Facilities Financing Authority Revenue Bonds, Series 2007
5.500% due 03/01/2037		1,000		843
Indiana State Municipal Power Agency Revenue Bonds, Series 2009
5.750% due 01/01/2034		1,000		1,006
6.000% due 01/01/2039		1,000		1,021
Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2007
5.700% due 09/01/2037		1,650		1,169
				4,101
IOWA 1.7%
Altoona, Iowa Tax Allocation Bonds, Series 2008
6.000% due 06/01/2034		1,000		969
Iowa State Finance Authority Revenue Bonds, Series 2006
5.450% due 11/01/2026		175		124
Iowa State Finance Authority Revenue Bonds, Series 2007
5.500% due 11/15/2027		900		559
5.500% due 11/15/2037		1,550		865
5.625% due 12/01/2045		1,700		769
				3,286
KANSAS 1.2%
Labette County, Kansas Revenue Bonds, Series 2007
5.750% due 09/01/2037		1,100		881
Lenexa, Kansas Revenue Bonds, Series 2007
5.500% due 05/15/2039		1,000		644
Manhattan, Kansas Revenue Bonds, Series 2007
5.125% due 05/15/2037		250		171
5.125% due 05/15/2042		250		167
5.500% due 08/01/2021		250		186
Olathe, Kansas Tax Allocation Bonds, Series 2007
5.500% due 09/01/2026		200		143
				2,192
LOUISIANA 3.3%
East Baton Rouge, Louisiana Revenue Bonds, Series 2009
5.250% due 02/01/2039		1,500		1,491
Louisiana State Citizens Property Insurance Corp. Revenue Bonds, (AGC Insured), Series 2009
6.125% due 06/01/2025		2,250		2,393
Louisiana State St. John Parish Baptist Revenue Bonds, Series 2007
5.125% due 06/01/2037		2,220		1,864
New Orleans, Louisiana Aviation Board Revenue Bonds, (AGC Insured), Series 2009
6.000% due 01/01/2023		500		517
				6,265
MARYLAND 1.5%
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2007
5.300% due 01/01/2037		300		173
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2008
0.300% due 07/01/2023		580		580
5.750% due 01/01/2038		1,000		849
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2009
6.750% due 07/01/2039		250		273
Maryland State Industrial Development Financing Authority Revenue Notes, Series 2008
5.000% due 12/01/2010		985		976
				2,851
MASSACHUSETTS 2.1%
Massachusetts State Development Finance Agency Revenue Bonds, Series 2007
5.750% due 11/15/2042		1,500		877
6.750% due 10/15/2037		1,250		930
Massachusetts State Development Finance Agency Revenue Bonds, Series 2008
0.270% due 09/01/2037		570		570
Massachusetts State Educational Financing Authority Revenue Bonds, Series 2009
6.000% due 01/01/2028		1,500		1,507
Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2007
0.270% due 12/01/2037		200		200
				4,084
MICHIGAN 2.7%
East Lansing, Michigan Economic Corp. Revenue Bonds, Series 2007
5.250% due 07/01/2037		795		495
Garden City, Michigan Hospital Finance Authority Revenue Bonds, Series 2007
5.000% due 08/15/2038		250		122
Hillsdale, Michigan Hospital Finance Authority Revenue Bonds, Series 1998
5.000% due 05/15/2013		70		69
Meridian, Michigan Economic Development Corp. Revenue Bonds, Series 2007
5.250% due 07/01/2026		965		654
Michigan State Corner Creek Academy East Revenue Bonds, Series 2007
5.250% due 11/01/2036		250		164
Michigan State Doctor Charles Drew Academy Certificates of Participation Bonds, Series 2006
5.700% due 11/01/2036		450		279
Michigan State Grand Traverse Academy Revenue Bonds, Series 2007
5.000% due 11/01/2036		1,200		735
Michigan State Hospital Finance Authority Revenue Bonds, Series 2006
5.000% due 11/15/2038		1,000		734
Michigan State Public Educational Facilities Authority Revenue Bonds, (Q-SBLF Insured), Series 2008
7.000% due 10/01/2036 (f)		230		188
Michigan State Public Educational Facilities Authority Revenue Bonds, Series 2007
6.500% due 09/01/2037		1,000		765
Michigan State Tobacco Settlement Finance Authority Revenue Bonds, Series 2007
6.000% due 06/01/2048		750		448
Royal Oak, Michigan Hospital Finance Authority Revenue Bonds, Series 2009
8.250% due 09/01/2039		500		566
				5,219
MINNESOTA 2.5%
Falcon Heights, Minnesota Revenue Bonds, Series 2007
6.000% due 11/01/2037		400		289
Minneapolis, Minnesota Revenue Bonds, Series 2007
5.400% due 04/01/2028		725		538
5.750% due 10/01/2037		1,500		1,010
Minneapolis, Minnesota Revenue Bonds, Series 2008
6.750% due 11/15/2032		950		998
Minneapolis, Minnesota Tax Allocation Bonds, Series 2006
5.350% due 02/01/2030		200		131
Minnesota State Higher Education Facilities Authority Revenue Bonds, Series 2007
5.500% due 05/01/2037		1,000		813
North Oaks, Minnesota Revenue Bonds, Series 2007
6.125% due 10/01/2039		250		204
Stillwater, Minnesota Revenue Bonds, Series 2007
5.375% due 02/01/2032		500		340
Washington County, Minnesota Housing & Redevelopment Authority Revenue Bonds, Series 2007
5.625% due 06/01/2037		500		368
				4,691
MISSISSIPPI 0.9%
Mississippi State Business Finance Corp. Revenue Bonds, Series 1998
5.875% due 04/01/2022		1,860		1,713
MISSOURI 2.1%
Branson, Missouri Regional Airport Transportation Development District Revenue Bonds, Series 2007
6.000% due 07/01/2025		1,900		1,381
6.000% due 07/01/2037		750		504
Cottleville, Missouri Certificates of Participation Bonds, Series 2006
5.250% due 08/01/2031		250		227
Grindstone Plaza, Missouri Transportation Development District Sales Tax Revenue Bonds, Series 2006
5.500% due 10/01/2031		250		148
5.550% due 10/01/2036		45		26
Independence, Missouri Thirty-Ninth Street Transportation District Revenue Bonds, Series 2008
6.875% due 09/01/2032		500		392
Joplin, Missouri Industrial Development Authority Revenue Bonds, Series 2007
5.750% due 05/15/2031		1,485		1,025
Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 2003
0.300% due 02/15/2033		200		200
				3,903
MONTANA 0.2%
Hardin, Montana Rocky Mountain Power, Inc. Tax Allocation Bonds, Series 2006
0.000% due 09/01/2031 (c)		830		374
NEW HAMPSHIRE 0.7%
New Hampshire State Health & Education Facilities Authority Revenue Bonds, Series 2007
0.250% due 06/01/2041		1,300		1,300
NEW JERSEY 3.5%
Middlesex County, New Jersey Improvement Authority Revenue Bonds, Series 2005
6.125% due 01/01/2025		1,675		874
New Jersey State Economic Development Authority Revenue Bonds, Series 2000
7.000% due 11/15/2030		60		50
New Jersey State Economic Development Authority Revenue Bonds, Series 2006
5.375% due 11/01/2036		1,000		651
New Jersey State Health Care Facilities Financing Authority Revenue Bonds, (AGC Insured), Series 2008
5.250% due 01/01/2036		900		897
New Jersey State Health Care Facilities Financing Authority Revenue Bonds, Series 2007
5.750% due 07/01/2037		600		492
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2041		7,000		3,793
				6,757
NEW MEXICO 0.4%
New Mexico State Hospital Equipment Loan Council Revenue Bonds, Series 2007
5.250% due 08/15/2026		500		356
Otero County, New Mexico Revenue Bonds, Series 2007
6.000% due 04/01/2028		650		489
				845
NEW YORK 4.8%
Erie County, New York Industrial Development Agency Revenue Bonds, Series 2006
6.000% due 11/15/2036		150		99
Long Island, New York Power Authority Revenue Bonds, Series 2009
5.750% due 04/01/2039		500		518
Nassau County, New York Industrial Development Agency Revenue Bonds, Series 2007
6.500% due 01/01/2027		395		317
6.700% due 01/01/2043		1,500		1,138
New York City, New York General Obligation Bonds, Series 1993
0.200% due 08/01/2020		1,000		1,000
0.200% due 08/01/2021		500		500
New York City, New York Industrial Development Agency Revenue Bonds, Series 2005
7.750% due 08/01/2031		150		130
New York City, New York Industrial Development Agency Revenue Notes, (FGIC Insured), Series 2006
0.000% due 03/01/2016		1,250		1,052
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
0.270% due 11/01/2022		1,300		1,300
5.250% due 02/01/2029		1,000		1,041
New York City, New York Trust for Cultural Resources Revenue Bonds, Series 2008
0.270% due 04/01/2027		300		300
New York State Dormitory Authority Revenue Bonds, Series 2008
6.250% due 12/01/2037		1,000		765
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2009
5.000% due 11/15/2034		1,000		983
				9,143
NORTH CAROLINA 1.5%
Charlotte, North Carolina Revenue Bonds, Series 1998
5.600% due 07/01/2027		150		90
Charlotte, North Carolina Revenue Bonds, Series 2000
7.750% due 02/01/2028		60		46
Charlotte-Mecklenburg, North Carolina Hospital Authority Revenue Bonds, Series 2007
0.260% due 01/15/2045		400		400
North Carolina State Medical Care Commission Revenue Bonds, Series 2006
5.100% due 10/01/2030		50		34
North Carolina State Medical Care Commission Revenue Bonds, Series 2007
5.250% due 01/01/2032		1,000		633
North Carolina State Medical Care Commission Revenue Bonds, Series 2008
6.000% due 11/01/2033		750		647
6.000% due 04/01/2038		500		369
Surry County, North Carolina Northern Hospital District Revenue Bonds, Series 2008
6.250% due 10/01/2038		800		720
				2,939
OHIO 1.9%
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2030		1,000		701
5.875% due 06/01/2047		3,500		1,980
6.000% due 06/01/2042		1,520		904
Ohio State Higher Educational Facility Commission Revenue Bonds, Series 1998
0.250% due 08/01/2033		100		100
				3,685
OREGON 0.5%
Clackamas County, Oregon Hospital Facility Authority Revenue Bonds, Series 2009
5.500% due 07/15/2035		1,000		983
PENNSYLVANIA 7.7%
Allegheny County, Pennsylvania Higher Education Building Authority Revenue Bonds, Series 2008
6.000% due 10/15/2038		750		596
Allegheny County, Pennsylvania Hospital Development Authority Revenue Bonds, Series 2007
5.375% due 11/15/2040		3,500		2,094
Cambridge, Pennsylvania Area Joint Authority Revenue Bonds, Series 2008
6.000% due 12/01/2037		500		428
Cumberland County, Pennsylvania Municipal Authority Revenue Bonds, Series 2008
6.000% due 07/01/2035		500		386
Geisinger, Pennsylvania Authority Revenue Bonds, Series 2002
0.200% due 11/15/2032		1,000		1,000
Geisinger, Pennsylvania Authority Revenue Bonds, Series 2009
0.250% due 06/01/2039		400		400
Harrisburg, Pennsylvania Authority Revenue Bonds, Series 2007
6.000% due 09/01/2036		500		406
Lancaster County, Pennsylvania Hospital Authority Revenue Bonds, Series 2008
6.250% due 07/01/2026		250		226
6.375% due 07/01/2030		1,000		881
Montgomery County, Pennsylvania Higher Education & Health Authority Revenue Bonds, Series 2006
5.250% due 01/01/2036		150		110
Pennsylvania State Economic Development Financing Authority Revenue Bonds, Series 2001
6.750% due 12/01/2036		2,745		2,556
Pennsylvania State Economic Development Financing Authority Revenue Bonds, Series 2003
6.750% due 12/01/2036		190		177
Philadelphia, Pennsylvania Hospitals & Higher Education Facilities Authority Revenue Bonds, Series 1993
6.625% due 11/15/2023		2,000		1,922
Philadelphia, Pennsylvania Hospitals & Higher Education Facilities Authority Revenue Bonds, Series 2007
5.000% due 07/01/2034		2,250		1,573
Philadelphia, Pennsylvania Industrial Development Authority Revenue Bonds, Series 2007
5.500% due 09/15/2037		450		303
Susquehanna, Pennsylvania Area Regional Airport Authority Revenue Bonds, Series 2008
6.500% due 01/01/2038		1,750		1,381
Washington County, Pennsylvania Redevelopment Authority Tax Allocation Bonds, Series 2006
5.450% due 07/01/2035		550		329
				14,768
PUERTO RICO 0.6%
Commonwealth of Puerto Rico General Obligation Bonds, Series 2008
6.000% due 07/01/2038		900		863
Puerto Rico Aqueduct & Sewer Authority Revenue Bonds, Series 2008
6.000% due 07/01/2038		380		344
				1,207
RHODE ISLAND 0.1%
Rhode Island State Health & Educational Building Corp. Revenue Bonds, Series 1998
5.400% due 07/01/2013		155		148
SOUTH CAROLINA 2.3%
South Carolina State Jobs-Economic Development Authority Revenue Bonds, Series 2007
5.500% due 05/01/2028		1,900		1,333
6.000% due 11/15/2037		2,000		1,244
South Carolina State Public Service Authority Revenue Notes, Series 2009
4.000% due 01/01/2011		1,500		1,567
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2030		145		170
				4,314
TENNESSEE 2.0%
Knox County, Tennessee Health Educational & Housing Facilities Board Revenue Bonds, Series 2007
5.250% due 04/01/2036		750		609
Maury County, Tennessee Industrial Development Board Revenue Bonds, Series 1994
6.500% due 09/01/2024		150		28
Sumner County, Tennessee Health Educational & Housing Facilities Board Revenue Bonds, Series 2007
5.500% due 11/01/2037		1,150		451
Tennessee State Energy Acquisition Corp. Revenue Bonds, Series 2006
5.000% due 02/01/2020		850		742
5.250% due 09/01/2021		1,000		870
5.250% due 09/01/2024		1,375		1,150
				3,850
TEXAS 11.5%
Alliance, Texas Airport Authority Revenue Bonds, Series 2007
5.250% due 12/01/2029		1,250		501
Brazos County, Texas River Authority Revenue Bonds, Series 2001
5.750% due 05/01/2036		1,500		1,168
8.250% due 05/01/2033		1,300		625
Brazos County, Texas River Authority Revenue Bonds, Series 2003
6.300% due 07/01/2032		515		248
Brazos County, Texas River Authority Revenue Bonds, Series 2006
5.000% due 03/01/2041		2,000		923
Guadalupe-Blanco, Texas River Authority Revenue Notes, Series 2008
5.625% due 10/01/2017		275		265
Gulf Coast, Texas Waste Disposal Authority Revenue Bonds, Series 2003
5.200% due 05/01/2028		1,000		847
Harris County, Texas Cultural Education Facilities Finance Corp. Revenue Notes, Series 2009
5.000% due 06/01/2012		2,000		2,116
Harris County, Texas Health Facilities Development Corp. Revenue Bonds, Series 2008
7.250% due 12/01/2035		750		800
Houston, Texas Airport Systems Revenue Bonds, Series 1997
6.125% due 07/15/2017		100		74
6.125% due 07/15/2027		45		31
Houston, Texas Airport Systems Revenue Bonds, Series 2001
6.750% due 07/01/2021		100		88
6.750% due 07/01/2029		1,000		843
Lubbock, Texas Health Facilities Development Corp. Revenue Bonds, Series 2005
6.625% due 07/01/2036		265		207
Lubbock, Texas State Educational Facilities Authority Revenue Bonds, Series 2007
5.250% due 11/01/2037		1,000		801
Lufkin, Texas Health Facilities Development Corp. Revenue Bonds, Series 2007
5.500% due 02/15/2037		750		527
North Texas State Tollway Authority Revenue Bonds, Series 2008
5.625% due 01/01/2033		150		147
5.750% due 01/01/2033		1,600		1,558
Parmer County, Texas Hospital District General Obligation Bonds, Series 2007
5.500% due 02/15/2027		345		279
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2008
0.200% due 11/15/2019		100		100
0.200% due 11/15/2033		1,000		1,000
5.500% due 08/15/2031		1,000		988
Texas State General Obligation Notes, Series 2009
5.000% due 08/01/2013		445		496
Texas State Municipal Gas Acquisition & Supply Corp. I Revenue Bonds, Series 2006
5.250% due 12/15/2023		1,150		975
Texas State Municipal Gas Acquisition & Supply Corp. I Revenue Notes, Series 2006
5.000% due 12/15/2011		500		493
Texas State Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2008
6.250% due 12/15/2026		1,600		1,502
Texas State Public Finance Authority Revenue Bonds, Series 2007
5.375% due 02/15/2037		2,115		1,497
Tomball, Texas Independent School District General Obligation Notes, (AGC Insured), Series 2009
3.000% due 02/15/2011		250		257
Trinity, Texas River Authority Revenue Bonds, Series 2000
6.250% due 05/01/2028		50		24
Tyler, Texas Health Facilities Development Corp. Revenue Bonds, Series 2007
5.375% due 11/01/2037		2,500		1,925
Willacy County, Texas Revenue Bonds, Series 2007
6.875% due 09/01/2028		750		605
				21,910
UTAH 2.7%
Spanish Fork City, Utah Revenue Bonds, Series 2006
5.550% due 11/15/2026		500		369
5.700% due 11/15/2036		1,000		683
St. George, Utah Revenue Notes, Series 2009
2.500% due 11/01/2011		225		230
Utah County, Utah General Obligation Bonds, Series 2007
5.875% due 06/15/2037		1,650		1,195
Utah County, Utah Revenue Bonds, Series 2007
5.625% due 07/15/2037		2,550		1,757
Utah State Charter School Finance Authority Revenue Bonds, Series 2007
6.000% due 07/15/2037		675		464
Utah State Charter School Finance Authority Revenue Bonds, Series 2008
6.750% due 08/15/2028		500		416
				5,114
VIRGINIA 2.1%
Bedford County, Virginia Industrial Development Authority Revenue Bonds, Series 1999
6.550% due 12/01/2025		100		81
James City County, Virginia Economic Development Authority Revenue Bonds, Series 2007
5.500% due 07/01/2037		570		276
Lewistown, Virginia Commerce Center Community Development Authority Revenue Bonds, Series 2007
6.050% due 03/01/2027		1,150		777
Virginia State Peninsula Town Center Community Development Authority Revenue Bonds, Series 2007
6.450% due 09/01/2037		1,000		744
Virginia State Public School Authority Revenue Notes, Series 2009
5.000% due 04/15/2011		2,000		2,138
				4,016
WASHINGTON 0.9%
Clallam County, Washington Public Hospital District No. 1 Revenue Bonds, Series 2008
7.000% due 12/01/2033		1,000		882
Washington State Health Care Facilities Authority Revenue Bonds, Series 2009
7.375% due 03/01/2038		250		263
Washington State Housing Finance Commission Revenue Bonds, Series 2007
5.625% due 01/01/2038		850		547
				1,692
WEST VIRGINIA 1.0%
West Virginia State Economic Development Authority Revenue Bonds, Series 2008
4.850% due 05/01/2019		1,200		1,251
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		960		645
				1,896
WISCONSIN 1.3%
Milwaukee, Wisconsin Redevelopment Authority Revenue Bonds, Series 2007
5.650% due 08/01/2037		1,150		733
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Series 2007
5.000% due 09/01/2033		250		193
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Series 2009
6.625% due 02/15/2032		1,450		1,475
				2,401
WYOMING 0.2%
University of Wyoming Revenue Notes, Series 2009
3.000% due 06/01/2011		390		401
Total Municipal Bonds & Notes (Cost $228,194)				183,834
MORTGAGE-BACKED SECURITIES 0.3%
Countrywide Alternative Loan Trust
2.840% due 11/25/2035		402		177
Residential Accredit Loans, Inc.
0.464% due 02/25/2047		832		320
Total Mortgage-Backed Securities (Cost $745)				497
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.0%
American International Group, Inc.
8.500% due 08/01/2011		7,700		73
Total Convertible Preferred Stocks (Cost $578)				73
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 0.7%
U.S. TREASURY BILLS 0.7%
0.120% due 07/02/2009 - 07/23/2009 (b)(d)	$	1,290		1,290
Total Short-Term Instruments (Cost $1,290)				1,290
Total Investments 98.4% (Cost $233,997)			$	187,868
Other Assets and Liabilities (Net) 1.6%				3,118
Net Assets 100.0%			$	190,986

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

* 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) Security becomes interest bearing at a future date.

(d) Securities with an aggregate market value of $1,290 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Long Island, New York Power Authority Revenue Bonds, Series 2006	GSC	0.950	%	06/20/2018	3.590	%	$	5,000	$	(543	)	$	0	$	(543	)
Puerto Rico Electric Power Authority Revenue Bonds, Series 2007	GSC	1.500	%	06/20/2018	4.440	%		5,000		(532	)		0		(532	)
									$	(1,075	)	$	0	$	(1,075	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)			Unrealized (Depreciation)
MCDX 5-Year Index	GSC	0.350	%	06/20/2013	$	1,600	$	(91	)	$	(40	)	$	(51	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(f) Restricted securities as of June 30, 2009:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Colorado State Educational & Cultural Facilities Authority Revenue Bonds, Series 2007	5.700	%	05/01/2037	06/27/2007	$	800	$	555	0.29	%
Michigan State Public Educational Facilities Authority Revenue Bonds, (Q-SBLF Insured), Series 2008	7.000	%	10/01/2036	07/30/2008		230		188	0.10	%
					$	1,030	$	743	0.39	%

(g) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)			Fair Value at 06/30/2009
California	$	0	$	10,179		$	0		$	10,179
Colorado		0		13,030			0			13,030
Illinois		0		12,456			0			12,456
Pennsylvania		0		14,768			0			14,768
Texas		0		21,910			0			21,910
Other Investments++		73		115,452			0			115,525
Investments, at value	$	73	$	187,795		$	0		$	187,868
Financial Derivative Instruments+++	$	0	$	(51	)	$	(1,075	)	$	(1,126	)
Total	$	73	$	187,744		$	(1,075	)	$	186,742

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
Investments, at value	$	0		$	0	$	0	$	0	$	0	$	0	$	0
Financial Derivative Instruments+++	$	(2,711	)	$	0	$	0	$	0	$	1,585	$	51	$	(1,075	)
Total	$	(2,711	)	$	0	$	0	$	0	$	1,585	$	51	$	(1,075	)

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Income Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.3%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	491	$	458
Ford Motor Co.
3.320% due 12/16/2013		164		119
4.140% due 12/16/2013		83		60
Texas Competitive Electric Holdings Co. LLC
3.821% due 10/10/2014		500		354
Total Bank Loan Obligations (Cost $1,067)				991
CORPORATE BONDS & NOTES 19.5%
BANKING & FINANCE 9.5%
AES Ironwood LLC
8.857% due 11/30/2025		83		72
American Express Centurion Bank
0.471% due 06/12/2012		2,000		1,850
American Express Co.
7.000% due 03/19/2018		150		146
American General Finance Corp.
4.625% due 09/01/2010		300		227
American International Group, Inc.
4.250% due 05/15/2013		500		290
5.850% due 01/16/2018		2,100		1,113
8.175% due 05/15/2058		1,075		307
8.250% due 08/15/2018		275		162
Bank of America Corp.
6.000% due 09/01/2017		500		455
Barclays Bank PLC
7.434% due 09/29/2049		100		67
10.179% due 06/12/2021		220		235
Bear Stearns Cos. LLC
6.400% due 10/02/2017		1,000		1,003
6.950% due 08/10/2012		137		149
Chukchansi Economic Development Authority
8.000% due 11/15/2013		25		17
CIT Group Funding Co. of Canada
4.650% due 07/01/2010		75		64
5.600% due 11/02/2011		25		18
CIT Group, Inc.
0.974% due 08/17/2009		125		122
1.170% due 02/13/2012		2,640		1,559
1.306% due 11/03/2010		125		93
1.352% due 07/28/2011		1,400		953
4.125% due 11/03/2009		25		24
4.250% due 02/01/2010		125		112
5.125% due 09/30/2014		200		118
Citigroup Capital XXI
8.300% due 12/21/2077		275		215
Citigroup, Inc.
5.000% due 09/15/2014		225		189
5.500% due 02/15/2017		250		204
6.000% due 08/15/2017		500		437
8.400% due 04/29/2049 (a)		2,325		1,747
Credit Suisse New York
5.000% due 05/15/2013		4,000		4,094
El Paso Performance-Linked Trust
7.750% due 07/15/2011		250		247
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		50		48
7.000% due 10/01/2013		175		141
7.375% due 10/28/2009		285		283
7.875% due 06/15/2010		150		143
8.000% due 06/01/2014		25		20
8.000% due 12/15/2016		550		421
Fresenius U.S. Finance II, Inc.
9.000% due 07/15/2015		100		105
General Electric Capital Corp.
1.158% due 11/01/2012		790		713
1.259% due 04/10/2012		1,060		992
6.875% due 01/10/2039		4,200		3,787
GMAC LLC
6.875% due 08/28/2012		100		82
7.500% due 12/31/2013		400		314
8.000% due 11/01/2031		290		199
Goldman Sachs Group, Inc.
6.250% due 09/01/2017		500		496
6.750% due 10/01/2037		250		223
HBOS PLC
6.750% due 05/21/2018		1,000		756
HCP, Inc.
5.650% due 12/15/2013		200		182
6.000% due 01/30/2017		25		21
International Lease Finance Corp.
0.881% due 05/24/2010		25		23
4.875% due 09/01/2010		850		762
5.000% due 04/15/2010		25		23
Lehman Brothers Holdings, Inc.
5.625% due 01/24/2013 (a)		25		4
6.625% due 01/18/2012 (a)		100		15
6.750% due 12/28/2017 (a)		100		0
6.875% due 05/02/2018 (a)		100		16
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		200		185
NSG Holdings LLC
7.750% due 12/15/2025		225		181
Pacific Life Insurance Co.
9.250% due 06/15/2039		400		389
Rabobank Nederland NV
11.000% due 12/29/2049		1,000		1,115
Royal Bank of Scotland Group PLC
7.640% due 03/29/2049		400		162
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		100		74
SLM Corp.
1.252% due 07/26/2010		50		45
1.322% due 10/25/2011		1,060		859
8.450% due 06/15/2018		25		21
SLM Corp. CPI Linked Bond
1.096% due 03/15/2012		269		198
2.066% due 06/15/2013		260		181
Tenneco, Inc.
8.125% due 11/15/2015		25		20
TransCapitalInvest Ltd. for OJSC AK Transneft
5.670% due 03/05/2014		125		111
UBS AG
5.750% due 04/25/2018		100		91
UBS Preferred Funding Trust V
6.243% due 05/29/2049		100		59
Universal City Development Partners
11.750% due 04/01/2010		200		191
Universal City Florida Holding Co. I & II
5.778% due 05/01/2010		65		53
8.375% due 05/01/2010		50		41
Ventas Realty LP
6.750% due 04/01/2017		175		158
7.125% due 06/01/2015		49		48
Wells Fargo & Co.
7.980% due 03/29/2049		400		332
Wells Fargo Capital XIII
7.700% due 12/29/2049		1,025		851
Wells Fargo Capital XV
9.750% due 09/26/2044		350		339
				31,762
INDUSTRIALS 7.8%
Actuant Corp.
6.875% due 06/15/2017		50		46
AIG SunAmerica Global Financing VI
6.300% due 05/10/2011		250		235
Allison Transmission, Inc.
11.000% due 11/01/2015		170		135
American Stores Co.
8.000% due 06/01/2026		250		219
AmeriGas Partners LP
7.125% due 05/20/2016		180		166
7.250% due 05/20/2015		25		24
Anadarko Petroleum Corp.
5.950% due 09/15/2016		500		494
Apria Healthcare Group, Inc.
11.250% due 11/01/2014		100		97
ARAMARK Corp.
4.528% due 02/01/2015		75		61
8.500% due 02/01/2015		150		146
ArvinMeritor, Inc.
8.125% due 09/15/2015		335		178
Berry Plastics Corp.
5.881% due 02/15/2015		155		138
8.875% due 09/15/2014		75		64
Biomet, Inc.
10.000% due 10/15/2017		290		297
10.375% due 10/15/2017 (c)		100		97
11.625% due 10/15/2017		315		310
Boston Scientific Corp.
4.250% due 01/12/2011		25		24
Canadian Natural Resources Ltd.
5.700% due 05/15/2017		500		506
Cascades, Inc.
7.250% due 02/15/2013		25		22
CC Holdings GS V LLC
7.750% due 05/01/2017		50		49
Celestica, Inc.
7.875% due 07/01/2011		120		121
Charter Communications Operating LLC
10.000% due 04/30/2012 (a)		70		68
10.375% due 04/30/2014 (a)		75		72
Chesapeake Energy Corp.
7.250% due 12/15/2018		125		109
7.500% due 09/15/2013		125		120
7.500% due 06/15/2014		250		238
Colorado Interstate Gas Co.
5.950% due 03/15/2015		50		49
Comcast Corp.
5.900% due 03/15/2016		500		518
Community Health Systems, Inc.
8.875% due 07/15/2015		440		433
Compagnie Générale de Géophysique-Veritas
7.750% due 05/15/2017		155		142
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		200		40
Crown Americas LLC
7.625% due 11/15/2013		60		59
CSC Holdings, Inc.
6.750% due 04/15/2012		75		73
7.625% due 04/01/2011		25		25
7.625% due 07/15/2018		475		442
7.875% due 02/15/2018		30		28
8.500% due 06/15/2015		125		123
DaVita, Inc.
6.625% due 03/15/2013		100		95
Delhaize America, Inc.
8.050% due 04/15/2027		25		26
Devon Financing Corp. ULC
6.875% due 09/30/2011		500		543
Dex Media West LLC
9.875% due 08/15/2013 (a)		140		22
DirecTV Holdings LLC
8.375% due 03/15/2013		180		181
DISH DBS Corp.
6.375% due 10/01/2011		100		97
7.000% due 10/01/2013		85		81
7.125% due 02/01/2016		355		333
7.750% due 05/31/2015		25		24
Dynegy Roseton/Danskammer Pass-Through Trust Series A
7.270% due 11/08/2010		71		72
Eaton Vance Corp.
6.500% due 10/02/2017		1,000		948
El Paso Corp.
7.800% due 08/01/2031		325		267
8.050% due 10/15/2030		25		21
Enterprise Products Operating LLC
7.034% due 01/15/2068		50		37
8.375% due 08/01/2066		370		298
FBG Finance Ltd.
5.125% due 06/15/2015		2,000		1,876
Ferrellgas Partners LP
6.750% due 05/01/2014		75		65
First Data Corp.
9.875% due 09/24/2015		405		290
Ford Motor Co.
9.215% due 09/15/2021		25		15
Freeport-McMoRan Copper & Gold, Inc.
8.375% due 04/01/2017		300		303
Freescale Semiconductor, Inc.
4.504% due 12/15/2014		25		10
8.875% due 12/15/2014		75		38
Fresenius Medical Care Capital Trust IV
7.875% due 06/15/2011		100		102
Gaz Capital S.A.
8.146% due 04/11/2018		100		91
Georgia-Pacific LLC
7.000% due 01/15/2015		200		188
7.700% due 06/15/2015		215		202
8.000% due 01/15/2024		175		150
8.250% due 05/01/2016		100		98
8.875% due 05/15/2031		150		130
Goodyear Tire & Rubber Co.
8.625% due 12/01/2011		125		124
10.500% due 05/15/2016		25		25
Harrah’s Operating Co., Inc.
10.000% due 12/15/2018		140		81
HCA, Inc.
8.500% due 04/15/2019		50		49
9.125% due 11/15/2014		225		223
9.250% due 11/15/2016		790		780
Host Hotels & Resorts LP
6.375% due 03/15/2015		25		22
Host Marriott LP
6.750% due 06/01/2016		25		22
7.000% due 08/15/2012		25		24
Intelsat Corp.
9.250% due 08/15/2014		50		49
9.250% due 06/15/2016		60		58
Intelsat Jackson Holdings Ltd.
9.500% due 06/15/2016		50		50
9.500% due 06/15/2016 (b)		50		51
Intergen NV
9.000% due 06/30/2017		175		167
JC Penney Corp., Inc.
7.125% due 11/15/2023		50		44
7.950% due 04/01/2017		100		98
Lender Processing Services, Inc.
8.125% due 07/01/2016		25		25
MGM Mirage
10.375% due 05/15/2014		50		52
11.125% due 11/15/2017		75		80
Motorola, Inc.
8.000% due 11/01/2011		50		50
Nalco Co.
7.750% due 11/15/2011		14		14
8.250% due 05/15/2017		25		25
8.875% due 11/15/2013		75		77
New Albertson’s, Inc.
7.450% due 08/01/2029		125		103
Newfield Exploration Co.
7.125% due 05/15/2018		125		114
Nordic Telephone Co. Holdings ApS
8.875% due 05/01/2016		305		296
Nortel Networks Ltd.
6.963% due 07/15/2011 (a)		380		130
Northwest Airlines, Inc.
1.535% due 05/20/2014		1,115		836
NPC International, Inc.
9.500% due 05/01/2014		100		92
OPTI Canada, Inc.
8.250% due 12/15/2014		165		110
Owens-Brockway Glass Container, Inc.
8.250% due 05/15/2013		25		25
President and Fellows of Harvard College
5.625% due 10/01/2038		1,000		1,016
Quebecor Media, Inc.
7.750% due 03/15/2016		350		319
Quicksilver Resources, Inc.
11.750% due 01/01/2016		100		104
Range Resources Corp.
7.500% due 10/01/2017		75		72
Royal Caribbean Cruises Ltd.
6.875% due 12/01/2013		70		59
7.000% due 06/15/2013		25		22
8.000% due 05/15/2010		25		25
SandRidge Energy, Inc.
4.832% due 04/01/2014		275		216
8.625% due 04/01/2015 (c)		150		135
SemGroup LP
8.750% due 11/15/2015 (a)		250		11
Sensata Technologies BV
8.000% due 05/01/2014		300		149
Sonat, Inc.
7.625% due 07/15/2011		200		197
Speedway Motorsports, Inc.
8.750% due 06/01/2016		25		25
Starwood Hotels & Resorts Worldwide, Inc.
6.750% due 05/15/2018		75		64
7.875% due 05/01/2012		25		23
Suburban Propane Partners LP
6.875% due 12/15/2013		60		56
Sungard Data Systems, Inc.
9.125% due 08/15/2013		320		304
Teck Resources Ltd.
9.750% due 05/15/2014		125		129
10.250% due 05/15/2016		100		105
10.750% due 05/15/2019		200		215
Times Square Hotel Trust
8.528% due 08/01/2026		2,264		1,787
TRW Automotive, Inc.
7.250% due 03/15/2017		300		208
United Airlines, Inc.
7.730% due 07/01/2010		36		36
United Rentals North America, Inc.
6.500% due 02/15/2012		215		210
UnitedHealth Group, Inc.
6.000% due 02/15/2018		3,300		3,172
Verso Paper Holdings LLC
9.125% due 08/01/2014		170		80
West Corp.
9.500% due 10/15/2014		120		106
Willamette Industries, Inc.
6.450% due 08/19/2009		50		50
Williams Cos., Inc.
7.625% due 07/15/2019		125		124
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		75		75
Windstream Corp.
8.625% due 08/01/2016		425		409
WMG Acquisition Corp.
9.500% due 06/15/2016		100		100
Wynn Las Vegas LLC
6.625% due 12/01/2014		140		124
Xerox Corp.
7.125% due 06/15/2010		75		77
				26,271
UTILITIES 2.2%
AES Corp.
7.750% due 03/01/2014		20		19
8.000% due 10/15/2017		325		304
8.000% due 06/01/2020		50		45
8.875% due 02/15/2011		50		51
9.750% due 04/15/2016		250		254
Berry Petroleum Co.
10.250% due 06/01/2014		25		25
Deutsche Telekom International Finance BV
8.750% due 06/15/2030		250		293
Energy Future Holdings Corp.
10.875% due 11/01/2017		45		33
11.250% due 11/01/2017 (c)		80		49
Frontier Communications Corp.
6.625% due 03/15/2015		25		22
7.000% due 11/01/2025		120		86
7.125% due 03/15/2019		165		141
8.250% due 05/01/2014		25		24
9.000% due 08/15/2031		100		83
Hawaiian Telcom Communications, Inc.
9.750% due 05/01/2013 (a)		25		0
Ipalco Enterprises, Inc.
7.250% due 04/01/2016		75		72
8.625% due 11/14/2011		25		25
Kinder Morgan Finance Co. ULC
5.700% due 01/05/2016		285		246
Knight, Inc.
5.150% due 03/01/2015		50		44
6.500% due 09/01/2012		25		25
MetroPCS Wireless, Inc.
9.250% due 11/01/2014		120		120
Midwest Generation LLC
8.560% due 01/02/2016		63		61
NGPL PipeCo. LLC
7.119% due 12/15/2017		100		105
7.768% due 12/15/2037		1,000		1,095
NRG Energy, Inc.
7.375% due 02/01/2016		710		674
7.375% due 01/15/2017		125		118
PSEG Energy Holdings LLC
8.500% due 06/15/2011		200		203
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		100		101
7.900% due 08/15/2010		25		25
Qwest Communications International, Inc.
7.250% due 02/15/2011		25		24
7.500% due 02/15/2014		275		252
Qwest Corp.
7.875% due 09/01/2011		100		100
8.375% due 05/01/2016		400		388
8.875% due 03/15/2012		150		152
RRI Energy, Inc.
6.750% due 12/15/2014		168		163
Sprint Capital Corp.
6.900% due 05/01/2019		300		250
7.625% due 01/30/2011		65		65
8.375% due 03/15/2012		75		74
8.750% due 03/15/2032		400		324
Sprint Nextel Corp.
6.000% due 12/01/2016		160		132
Telesat Canada
11.000% due 11/01/2015		175		180
Tenaska Alabama Partners LP
7.000% due 06/30/2021		131		114
Texas Competitive Electric Holdings Co. LLC
10.250% due 11/01/2015		490		307
10.500% due 11/01/2016 (c)		422		196
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		135		135
Virgin Media Finance PLC
9.500% due 08/15/2016		100		99
				7,298
Total Corporate Bonds & Notes (Cost $70,974)				65,331
CONVERTIBLE BONDS & NOTES 0.0%
Chesapeake Energy Corp.
2.250% due 12/15/2038		150		93
2.500% due 05/15/2037		75		53
Total Convertible Bonds & Notes (Cost $150)				146
U.S. GOVERNMENT AGENCIES 99.4%
Fannie Mae
0.374% due 12/25/2036		367		331
0.429% due 03/25/2034		33		30
0.464% due 08/25/2034		19		18
0.514% due 10/27/2037		4,000		3,643
0.664% due 11/25/2032 - 03/25/2044		97		93
0.714% due 06/25/2029 - 08/25/2036		138		133
0.718% due 04/18/2028 - 09/18/2031		29		29
0.744% due 11/25/2021		18		18
0.794% due 07/25/2021		30		29
1.044% due 08/25/2022		14		14
1.144% due 05/25/2022		13		13
1.194% due 05/25/2018 - 10/25/2020		60		60
1.244% due 04/25/2021 - 10/25/2021		112		112
1.544% due 01/25/2024		47		48
1.644% due 11/25/2021		56		56
1.730% due 11/01/2028		834		847
1.880% due 09/25/2022		14		14
2.638% due 10/01/2044		23		23
2.795% due 03/01/2034		65		66
2.838% due 10/01/2040		270		269
2.877% due 11/01/2020		73		72
2.945% due 02/01/2032 - 05/01/2034		504		508
3.067% due 05/01/2033		65		66
3.100% due 04/25/2023		16		17
3.176% due 04/01/2018		73		73
3.220% due 05/01/2024		119		120
3.232% due 03/01/2020		12		12
3.250% due 04/01/2017 - 05/01/2032		10		10
3.252% due 05/01/2018		44		45
3.253% due 07/01/2017 - 07/01/2018		116		117
3.300% due 03/25/2022		26		27
3.315% due 05/01/2024		52		52
3.331% due 04/01/2033		107		108
3.350% due 09/25/2022		13		13
3.375% due 07/01/2025 - 02/01/2032		230		232
3.387% due 05/01/2018		26		27
3.389% due 11/01/2033		132		136
3.392% due 01/01/2018		79		78
3.400% due 01/25/2022		76		74
3.452% due 03/01/2034		155		156
3.545% due 07/01/2035		43		44
3.554% due 06/01/2025		5		5
3.559% due 08/01/2026		20		20
3.583% due 07/01/2032		442		444
3.590% due 02/01/2033		68		68
3.600% due 07/01/2026		17		17
3.636% due 04/01/2033		17		17
3.705% due 09/01/2017 - 03/01/2033		92		92
3.750% due 08/01/2018 - 12/01/2020		52		52
3.798% due 07/01/2019		92		91
3.840% due 12/01/2033		161		162
3.875% due 04/01/2032		127		127
3.884% due 03/01/2036		687		694
3.923% due 02/01/2032		49		50
3.936% due 02/01/2033		73		74
3.938% due 08/01/2036		28		28
3.998% due 12/01/2035		43		43
4.004% due 05/01/2033		625		630
4.036% due 02/01/2033		49		49
4.067% due 08/01/2033		221		226
4.107% due 12/01/2034		493		494
4.137% due 09/01/2033		67		68
4.148% due 01/01/2033		102		104
4.182% due 05/01/2038		327		332
4.183% due 01/01/2018		10		10
4.211% due 12/01/2035		26		27
4.241% due 12/01/2027		37		37
4.250% due 11/01/2032 - 01/01/2033		216		219
4.251% due 11/01/2029		101		102
4.257% due 09/01/2017		17		17
4.271% due 11/01/2032		35		36
4.345% due 05/01/2028		12		12
4.360% due 12/01/2032		58		59
4.409% due 12/01/2032		118		121
4.416% due 03/01/2038		10		10
4.429% due 07/01/2018		10		10
4.472% due 01/01/2035		488		502
4.478% due 01/01/2029		198		198
4.495% due 10/01/2035		533		546
4.537% due 11/01/2018		2		2
4.542% due 07/01/2025		3		3
4.546% due 12/01/2032		35		36
4.548% due 07/01/2036		105		107
4.549% due 04/01/2024		19		20
4.575% due 11/01/2034		47		48
4.611% due 08/01/2017		24		24
4.624% due 09/01/2035		63		65
4.645% due 08/01/2036		210		214
4.651% due 09/01/2024 - 10/01/2025		84		85
4.683% due 03/01/2033		360		363
4.687% due 01/01/2035		310		317
4.695% due 05/01/2019		11		11
4.729% due 10/01/2034		476		492
4.734% due 12/01/2027		7		7
4.750% due 01/01/2027		16		16
4.758% due 01/01/2028		4		4
4.780% due 07/01/2017		8		8
4.793% due 11/01/2033		48		49
4.808% due 07/01/2033		56		57
4.820% due 12/01/2031		46		48
4.836% due 08/01/2031		235		239
4.861% due 08/01/2017		18		18
4.905% due 10/01/2032		44		45
4.975% due 09/01/2022		32		34
4.980% due 11/01/2020		16		16
4.990% due 06/01/2032		373		385
5.000% due 01/01/2016 - 08/25/2033		383		383
5.022% due 09/01/2031		4		4
5.029% due 03/01/2016		6		7
5.045% due 01/01/2019		10		10
5.060% due 07/01/2032		41		41
5.125% due 10/01/2016 - 09/01/2024		68		70
5.132% due 10/01/2032		260		265
5.142% due 09/01/2033		24		25
5.146% due 08/01/2032		235		238
5.163% due 09/01/2018		31		32
5.172% due 01/01/2018		9		9
5.193% due 08/01/2032		32		32
5.223% due 04/01/2028		25		26
5.250% due 09/01/2016 - 09/01/2024		231		232
5.255% due 07/01/2032		682		712
5.275% due 09/01/2032		38		39
5.277% due 08/01/2032		27		27
5.290% due 06/01/2019		21		21
5.305% due 10/01/2033		14		15
5.395% due 09/01/2031		167		170
5.459% due 09/01/2030		109		110
5.500% due 07/01/2017 - 06/01/2048		20,750		21,420
5.500% due 06/01/2038 - 09/01/2038 (f)		30,521		31,548
5.548% due 10/01/2025		5		5
5.609% due 11/01/2029		80		81
5.625% due 06/01/2017		9		9
6.000% due 09/01/2034 - 09/01/2038		49,683		52,019
6.000% due 11/01/2037 - 07/01/2038 (f)		51,683		54,096
6.000% due 04/01/2038 (e)		25,667		26,791
6.012% due 10/01/2036		119		125
6.042% due 03/01/2036		70		71
6.500% due 06/25/2028 - 10/25/2031		526		555
6.623% due 04/01/2027		138		142
6.850% due 12/18/2027		47		50
6.900% due 05/25/2023		194		210
7.000% due 07/25/2022 - 08/01/2036		4,313		4,684
7.500% due 07/25/2022 - 06/25/2042		452		492
7.660% due 05/01/2015		938		1,032
8.000% due 04/25/2021 - 07/25/2022		92		98
8.600% due 08/25/2019		365		404
Freddie Mac
0.702% due 03/09/2011 (e)		3,350		3,362
0.937% due 08/05/2011 (e)		780		780
1.089% due 01/28/2011 (e)		70		70
1.268% due 04/01/2011 (e)		28,778		28,875
2.838% due 07/25/2044		41		41
2.875% due 04/01/2017		361		361
3.019% due 06/01/2033		53		54
3.135% due 05/01/2033		62		63
3.253% due 06/01/2019		28		28
3.460% due 05/01/2035		358		362
3.718% due 04/01/2033		6		6
3.747% due 09/01/2023		41		41
3.750% due 01/01/2020		31		31
3.967% due 09/01/2033		545		550
3.975% due 02/01/2033		7		7
3.996% due 03/01/2031		145		147
4.000% due 02/15/2017		136		140
4.102% due 07/01/2037		221		225
4.112% due 10/01/2026		9		9
4.182% due 05/01/2029		159		160
4.190% due 07/01/2025		117		119
4.249% due 09/01/2033		29		29
4.335% due 08/01/2017		11		11
4.336% due 11/01/2031		96		97
4.348% due 05/01/2019		10		10
4.362% due 01/01/2035		285		290
4.386% due 01/01/2035		16		16
4.389% due 07/01/2034		329		335
4.405% due 11/01/2017		34		35
4.413% due 12/01/2034		79		80
4.444% due 01/01/2033		32		33
4.498% due 01/01/2033		29		29
4.499% due 02/01/2018		52		52
4.500% due 10/01/2024		52		53
4.544% due 01/01/2035		376		386
4.607% due 09/01/2034		341		349
4.653% due 03/01/2032		730		745
4.724% due 10/01/2032		95		97
4.807% due 11/01/2029		723		739
4.867% due 09/01/2018 - 08/01/2024		76		77
4.883% due 02/01/2026		129		131
4.884% due 08/01/2034		6		6
4.967% due 06/01/2019		65		65
4.999% due 07/01/2033		57		58
5.015% due 08/01/2034		271		274
5.033% due 11/01/2031		129		133
5.037% due 09/01/2024		39		39
5.087% due 07/01/2033		228		233
5.090% due 05/01/2019		483		484
5.125% due 07/01/2017		45		46
5.132% due 11/01/2035		316		323
5.137% due 07/01/2024		16		16
5.205% due 08/01/2035		28		28
5.230% due 09/01/2031		289		290
5.240% due 02/01/2015		72		73
5.250% due 09/01/2032		217		221
5.251% due 02/01/2036		156		161
5.319% due 04/01/2036		67		69
5.326% due 12/01/2033		458		471
5.464% due 09/01/2037		21		22
5.500% due 08/23/2017 - 08/01/2037		31,488		35,339
5.500% due 02/01/2038 (f)		9,278		9,590
5.519% due 04/01/2036		90		92
5.525% due 09/01/2037		66		69
5.559% due 05/01/2037		89		92
5.707% due 06/01/2037		12		13
5.712% due 12/01/2037		36		37
5.736% due 09/01/2037		27		28
5.805% due 08/01/2037		7		8
5.806% due 08/01/2037		26		27
5.844% due 01/01/2037		594		624
5.863% due 11/01/2036		16		17
5.888% due 08/01/2037		13		14
5.920% due 08/01/2036		26		27
5.939% due 03/01/2025		3		3
5.955% due 09/01/2037		56		59
5.967% due 09/01/2036		22		24
6.000% due 03/15/2017 - 12/01/2023		2,249		2,393
6.075% due 03/01/2025		82		84
6.374% due 10/01/2035		653		674
6.418% due 02/01/2037		75		79
6.500% due 11/15/2021 - 03/15/2024		451		484
6.750% due 01/15/2024		51		54
6.862% due 09/01/2037		1,728		1,794
7.000% due 10/15/2013 - 12/01/2047		4,487		4,811
7.000% due 09/01/2047 (e)		1,438		1,541
7.500% due 09/01/2011 - 01/15/2023		1,129		1,191
8.500% due 06/15/2031		654		719
8.707% due 05/15/2023		70		73
9.000% due 09/15/2020 - 02/15/2021		374		410
9.500% due 03/15/2020		9		10
Ginnie Mae
3.000% due 01/20/2035		12		12
3.750% due 01/20/2032 - 03/20/2032		410		415
4.000% due 10/20/2030 - 12/20/2033		257		261
4.125% due 10/20/2025 - 12/20/2026		35		35
4.250% due 02/20/2029		51		52
4.375% due 02/20/2024 - 01/20/2027		37		38
4.625% due 08/20/2027 - 10/20/2029		207		212
5.125% due 08/20/2033		33		34
5.375% due 06/20/2022 - 06/20/2032		834		859
5.500% due 04/20/2037		56		57
6.100% due 06/15/2028 - 03/15/2029		2,294		2,425
6.490% due 01/15/2028 - 01/15/2029		1,939		2,093
Small Business Administration
4.727% due 02/10/2019		1,968		2,001
5.160% due 02/01/2028		2,358		2,460
5.170% due 01/01/2028		4,715		4,978
5.370% due 04/01/2028		1,862		1,967
Vendee Mortgage Trust
6.500% due 09/15/2024		280		291
Total U.S. Government Agencies (Cost $323,775)				333,246
MORTGAGE-BACKED SECURITIES 13.5%
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		183		187
5.634% due 07/10/2046		500		396
6.186% due 06/11/2035		255		262
Banc of America Funding Corp.
3.433% due 06/20/2035		165		70
3.781% due 05/25/2035		118		20
4.585% due 02/20/2036		132		100
5.967% due 10/20/2046		1,874		965
Banc of America Mortgage Securities, Inc.
0.714% due 03/25/2034		126		125
0.764% due 01/25/2034		53		49
4.703% due 04/25/2035		221		150
4.765% due 07/20/2032		57		48
Bear Stearns Adjustable Rate Mortgage Trust
4.600% due 01/25/2035		2,039		1,497
4.625% due 10/25/2035		1,648		1,307
5.348% due 03/25/2035		770		497
Bear Stearns Alt-A Trust
0.474% due 06/25/2046		3,288		1,340
6.250% due 08/25/2036		2,725		1,284
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		7		7
7.000% due 05/20/2030		393		369
CC Mortgage Funding Corp.
0.444% due 05/25/2048		356		130
Citigroup Mortgage Loan Trust, Inc.
4.669% due 08/25/2035		306		226
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		6,000		4,444
Countrywide Alternative Loan Trust
2.650% due 07/20/2035		204		80
6.000% due 04/25/2037		2,620		1,421
6.250% due 08/25/2037		1,923		1,034
6.500% due 06/25/2036		1,504		747
Countrywide Home Loan Mortgage Pass-Through Trust
0.544% due 05/25/2035		104		46
0.584% due 03/25/2035		231		106
0.634% due 03/25/2035		282		118
4.506% due 07/19/2033		312		246
4.963% due 02/25/2034		225		196
5.072% due 05/19/2033		201		172
5.250% due 02/20/2036		186		126
Credit Suisse Mortgage Capital Certificates
6.500% due 07/26/2036		960		524
CS First Boston Mortgage Securities Corp.
0.964% due 03/25/2034		1,158		542
4.940% due 12/15/2035		500		486
5.213% due 03/25/2034		204		174
5.603% due 07/15/2035		500		502
5.750% due 04/22/2033		1,077		1,062
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.464% due 02/25/2047		1,563		589
Downey Savings & Loan Association Mortgage Loan Trust
0.493% due 04/19/2048		727		125
0.713% due 11/19/2044		129		29
3.699% due 07/19/2044		95		26
First Horizon Asset Securities, Inc.
0.814% due 03/25/2018		147		139
4.207% due 03/25/2033		147		136
First Republic Mortgage Loan Trust
0.569% due 11/15/2030		112		91
0.669% due 11/15/2031		49		40
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		500		501
Greenpoint Mortgage Funding Trust
0.494% due 01/25/2037		2,881		1,167
0.574% due 10/25/2045		47		23
GSAA Trust
6.000% due 04/01/2034		526		442
GSR Mortgage Loan Trust
4.210% due 04/25/2032		70		51
4.469% due 09/25/2035		351		221
4.669% due 08/25/2034		432		378
4.713% due 09/25/2034		196		158
5.241% due 11/25/2035		438		341
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		341		315
0.503% due 01/19/2038		5,292		2,262
0.623% due 08/19/2045		53		24
Indymac Index Mortgage Loan Trust
5.167% due 10/25/2034		301		224
JPMorgan Chase Commercial Mortgage Securities Corp.
5.376% due 07/12/2037		500		496
LB-UBS Commercial Mortgage Trust
5.347% due 11/15/2038		500		399
5.430% due 02/15/2040		500		363
MASTR Adjustable Rate Mortgages Trust
3.469% due 11/21/2034		500		377
3.489% due 11/21/2034		300		116
4.369% due 04/21/2034		52		45
MASTR Alternative Loans Trust
7.000% due 06/25/2034		97		72
MASTR Reperforming Loan Trust
6.000% due 08/25/2034		183		188
Mellon Residential Funding Corp.
0.689% due 09/15/2030		213		175
0.759% due 12/15/2030		51		41
Merrill Lynch Mortgage Investors, Inc.
5.486% due 09/25/2033		42		36
MLCC Mortgage Investors, Inc.
0.654% due 04/25/2028		105		84
1.449% due 01/25/2030		98		61
2.096% due 10/25/2028		581		404
3.422% due 01/25/2029		374		315
Morgan Stanley Capital I
5.328% due 11/12/2041		580		471
5.378% due 11/14/2042		500		442
Nomura Asset Acceptance Corp.
5.500% due 05/25/2033		86		80
6.000% due 05/25/2033		43		41
7.000% due 04/25/2033		11		10
Provident Funding Mortgage Loan Trust
3.843% due 04/25/2034		134		118
Residential Accredit Loans, Inc.
0.494% due 06/25/2046		1,747		674
0.644% due 04/25/2037		3,482		1,411
6.000% due 08/25/2035		2,630		1,832
Residential Asset Mortgage Products, Inc.
7.000% due 11/25/2031		461		432
Residential Asset Securitization Trust
6.000% due 03/25/2037		2,383		1,419
Residential Funding Mortgage Securities I
5.770% due 07/27/2037		1,317		704
Sequoia Mortgage Trust
0.665% due 07/20/2033		109		88
0.695% due 10/20/2027		42		34
0.695% due 04/20/2033		171		148
0.715% due 10/20/2027		234		197
1.215% due 12/20/2032		191		159
Structured Asset Mortgage Investments, Inc.
0.544% due 07/25/2046		129		28
0.653% due 05/19/2035		203		105
4.889% due 05/25/2045		83		40
Thornburg Mortgage Securities Trust
0.434% due 07/25/2036		2,419		2,107
0.584% due 03/25/2044		208		119
0.684% due 09/25/2044		155		125
WaMu Mortgage Pass-Through Certificates
0.604% due 12/25/2045		189		88
0.624% due 01/25/2045		41		19
0.712% due 10/25/2044		204		106
0.752% due 11/25/2034		211		64
0.854% due 12/25/2027		335		250
2.340% due 02/25/2046		336		150
2.540% due 11/25/2042		15		9
3.052% due 06/25/2033		152		122
3.127% due 07/25/2046		1,210		510
Wells Fargo Mortgage-Backed Securities Trust
4.185% due 09/25/2034		126		110
4.360% due 09/25/2034		196		162
4.490% due 12/25/2034		917		848
4.500% due 01/25/2035		44		43
4.544% due 02/25/2035		338		292
4.594% due 10/25/2034		247		212
5.500% due 12/25/2033		50		46
Total Mortgage-Backed Securities (Cost $58,696)				45,324
ASSET-BACKED SECURITIES 5.4%
American Express Credit Account Master Trust
0.819% due 02/15/2012		40		40
Ameriquest Mortgage Securities, Inc.
3.839% due 11/25/2032 (a)		192		12
5.939% due 02/25/2033 (a)		150		12
Amortizing Residential Collateral Trust
0.604% due 07/25/2032		69		37
Bear Stearns Asset-Backed Securities Trust
0.644% due 01/25/2036		237		217
0.664% due 09/25/2034		1,045		970
0.714% due 10/27/2032		65		44
0.804% due 06/25/2036		400		140
0.974% due 10/25/2032		100		61
1.314% due 10/25/2037		174		94
5.250% due 10/25/2033		1,761		1,524
5.500% due 06/25/2034		1,752		1,456
5.500% due 08/25/2036		3,729		2,086
Bear Stearns Second Lien Trust
0.534% due 12/25/2036		1,045		441
Chase Funding Mortgage Loan Asset-Backed Certificates
0.954% due 11/25/2031		74		60
Citibank Omni Master Trust
1.415% due 12/23/2013		2,000		1,997
Conseco Financial Corp.
6.110% due 09/01/2023		190		189
6.870% due 01/15/2029		414		374
Countrywide Asset-Backed Certificates
0.414% due 09/25/2047		347		304
0.654% due 12/25/2036		1,631		950
First Franklin Mortgage Loan Asset-Backed Certificates
0.364% due 11/25/2036		229		216
Greenpoint Manufactured Housing
8.300% due 10/15/2026		1,500		1,014
GSAA Trust
0.584% due 06/25/2035		637		372

HFC Home Equity Loan Asset-Backed Certificates
0.605% due 01/20/2034		1,911		1,324
1.115% due 11/20/2036		345		323
HSI Asset Securitization Corp. Trust
0.364% due 10/25/2036		289		170
0.364% due 12/25/2036		135		82
Irwin Home Equity Corp.
0.854% due 07/25/2032		7		4
JPMorgan Mortgage Acquisition Corp.
0.364% due 10/25/2036		297		231
Morgan Stanley ABS Capital I
0.494% due 01/25/2036		622		506
1.394% due 03/25/2033		268		165
New Century Home Equity Loan Trust
0.684% due 08/25/2034		57		29
Renaissance Home Equity Loan Trust
0.814% due 12/25/2033		242		116
Residential Asset Mortgage Products, Inc.
1.514% due 09/25/2047		1,603		998
SBI HELOC Trust
0.484% due 08/25/2036		81		72
Soundview Home Equity Loan Trust
1.114% due 10/25/2037		288		272
Specialty Underwriting & Residential Finance
0.564% due 09/25/2036		741		583
Structured Asset Securities Corp.
4.900% due 04/25/2035		959		568
Truman Capital Mortgage Loan Trust
0.654% due 01/25/2034		57		56
Total Asset-Backed Securities (Cost $21,468)				18,109
FOREIGN CURRENCY-DENOMINATED ISSUES 1.6%
American International Group, Inc.
5.750% due 03/15/2067	GBP	9,000		3,035
8.625% due 05/22/2038		1,200		474
Barclays Bank PLC
14.000% due 11/29/2049		200		378
CIT Group, Inc.
4.250% due 09/22/2011	EUR	100		98
JLOC Ltd.
0.796% due 02/16/2016	JPY	7,017		70
SLM Corp.
1.531% due 11/15/2011	EUR	1,000		1,101
Total Foreign Currency-Denominated Issues (Cost $5,428)				5,156
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.1%
American International Group, Inc.
8.500% due 08/01/2011		500		5
Citigroup, Inc.
6.500% due 12/31/2049 (a)		100		3
Wells Fargo & Co.
7.500% due 12/31/2049		300		236
Total Convertible Preferred Stocks (Cost $265)				244
PREFERRED STOCKS 0.2%
SLM Corp. CPI Linked
0.750% due 01/16/2018		51,000		639
Total Preferred Stocks (Cost $574)				639
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 3.0%
REPURCHASE AGREEMENTS 0.5%
Barclays Capital, Inc.
0.100% due 07/01/2009	$	1,000		1,000
(Dated 06/30/2009. Collateralized by Freddie Mac 0.926% due 05/04/2011 valued at $1,029. Repurchase proceeds are $1,000.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		753		753
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $775. Repurchase proceeds are $753.)
				1,753
U.S. TREASURY BILLS 0.0%
9.108% due 07/16/2009 (g)		11		11
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 2.5%
		830,891		8,317
Total Short-Term Instruments (Cost $10,079)				10,081
Total Investments 143.0% (Cost $492,476)			$	479,267
Written Options (i) (0.0%) (Premiums $23)				(6	)
Other Assets and Liabilities (Net) (43.0%)				(143,995	)
Net Assets 100.0%			$	335,266

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) Security is in default.

(b) When-Issued security.

(c) Payment in-kind bond security.

(d) Affiliated to the Fund.

(e) Securities with an aggregate market value of $33,926 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $89,264 at a weighted average interest rate of 0.423%. On June 30, 2009, securities valued at $82,615 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $11 and cash of $262 have been pledged as collateral for the following open futures contracts on June 30, 2009:

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Bear Stearns Cos. LLC	CITI	(4.050	%)	09/20/2012	1.133	%	$	137	$	(12	)	$	0	$	(12	)
Bear Stearns Cos. LLC	GSC	(3.000	%)	12/20/2017	1.077	%		1,000		(136	)		0		(136	)
FBG Finance Ltd.	BCLY	(1.600	%)	06/20/2015	0.773	%		2,000		(91	)		0		(91	)
									$	(239	)	$	0	$	(239	)

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American Express Co.	MLP	4.100	%	12/20/2013	2.341	%	$	2,000	$	141		$	0		$	141
American International Group, Inc.	DUB	2.100	%	03/20/2013	16.024	%		3,000		(1,021	)		0			(1,021	)
Berkshire Hathaway Finance Corp.	GSC	1.000	%	06/20/2014	2.311	%		100		(6	)		(6	)		0
Community Health Systems, Inc.	GSC	5.000	%	03/20/2014	6.463	%		50		(3	)		(5	)		2
El Paso Corp.	CSFB	5.000	%	09/20/2014	6.970	%		100		(8	)		(8	)		0
El Paso Corp.	CSFB	5.000	%	09/20/2014	6.974	%		100		(8	)		(8	)		0
General Electric Capital Corp.	BCLY	5.000	%	06/20/2014	4.176	%		100		4			4			0
General Electric Capital Corp.	BOA	5.000	%	06/20/2014	4.176	%		300		10			9			1
General Electric Capital Corp.	DUB	4.820	%	12/20/2013	4.336	%		2,000		38			0			38
General Electric Capital Corp.	DUB	5.000	%	06/20/2014	4.176	%		100		3			4			(1	)
Georgia-Pacific LLC	BOA	5.000	%	06/20/2014	4.705	%		50		1			(5	)		6
RRI Energy, Inc.	GSC	5.000	%	09/20/2014	9.460	%		300		(41	)		(55	)		14
SLM Corp.	BCLY	5.000	%	12/20/2013	8.248	%		50		(5	)		(5	)		0
SLM Corp.	BOA	5.000	%	12/20/2011	8.365	%		300		(21	)		(24	)		3
SLM Corp.	GSC	5.000	%	06/20/2010	8.719	%		200		(6	)		(12	)		6
SLM Corp.	GSC	7.600	%	03/20/2012	8.608	%		250		(5	)		0			(5	)
SLM Corp.	MLP	5.000	%	12/20/2013	8.248	%		2,000		(207	)		(245	)		38
									$	(1,134	)	$	(356	)	$	(778	)

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
ABX.HE A 06-1 Index	CSFB	0.540	%	07/25/2045	$	3,904	$	(3,596	)	$	(1,698	)	$	(1,898	)
ABX.HE AA 06-2 Index	JPM	0.170	%	05/25/2046		1,960		(1,812	)		(823	)		(989	)
ABX.HE AA 07-1 Index	CSFB	0.150	%	08/25/2037		11,000		(10,668	)		(8,320	)		(2,348	)
ABX.HE AA 07-1 Index	JPM	0.150	%	08/25/2037		3,000		(2,910	)		(1,830	)		(1,080	)
ABX.HE AA 07-2 Index	JPM	1.920	%	01/25/2038		3,000		(2,880	)		(1,860	)		(1,020	)
ABX.HE AAA 06-1 Index	CSFB	0.180	%	07/25/2045		1,462		(255	)		(237	)		(18	)
ABX.HE AAA 06-1 Index	DUB	0.180	%	07/25/2045		4,463		(1,371	)		(603	)		(768	)
ABX.HE AAA 06-1 Index	MSC	0.180	%	07/25/2045		2,324		(715	)		(173	)		(542	)
ABX.HE AAA 07-1 Index	CSFB	0.090	%	08/25/2037		12,500		(9,272	)		(8,500	)		(772	)
CDX.EM-10 Index	BCLY	3.350	%	12/20/2013		1,000		(46	)		(24	)		(22	)
CDX.EM-10 Index	JPM	3.350	%	12/20/2013		7,000		(327	)		(1,120	)		793
CDX.HY-9 3-Year Index 35-100%	MLP	1.550	%	12/20/2010		49		1			0			1
CDX.HY-9 5-Year Index 35-100%	MLP	1.140	%	12/20/2012		1,942		(118	)		0			(118	)
CDX.HY-9 5-Year Index 35-100%	MLP	1.442	%	12/20/2012		9,708		(496	)		0			(496	)
CDX.IG-9 5-Year Index 15-30%	DUB	0.560	%	12/20/2012		10,000		(93	)		0			(93	)
							$	(34,558	)	$	(25,188	)	$	(9,370	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	CSFB	$	65,600	$	3,270	$	3,280		$	(10	)
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	DUB		1,000		6		0			6
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	GSC		1,000		6		0			6
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	JPM		1,000		6		0			6
Pay	3-Month USD-LIBOR	5.000	%	12/17/2018	BCLY		19,000		2,004		976			1,028
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		200		1		(3	)		4
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	RBS		100		0		(3	)		3
								$	5,293	$	4,250		$	1,043

(i) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	47	$	11	$	2
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	73		12		4
					$	23	$	6

(j) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	EUR	BCLY	751	07/2009	$	0	$	(6	)	$	(6	)
Sell	GBP	BCLY	252	07/2009		0		(6	)		(6	)
Sell		CITI	2,573	07/2009		0		(252	)		(252	)
Buy		RBS	33	07/2009		3		0			3
Sell		MSC	2,792	08/2009		19		0			19
Sell	JPY	BNP	10,000	07/2009		0		0			0
Sell		MSC	20,000	08/2009		0		0			0
					$	22	$	(264	)	$	(242	)

(k) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	65,096		$	235	$	65,331
U.S. Government Agencies		0		333,246			0		333,246
Mortgage-Backed Securities		0		45,324			0		45,324
Asset-Backed Securities		0		18,109			0		18,109
Other Investments++		8,560		8,697			0		17,257
Investments, at value	$	8,560	$	470,472		$	235	$	479,267
Financial Derivative Instruments+++	$	0	$	(9,592	)	$	0	$	(9,592	)
Total	$	8,560	$	460,880		$	235	$	469,675

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	59	$	217	$	0	$	0	$	15	$	(56	)	$	235
Investments, at value	$	59	$	217	$	0	$	0	$	15	$	(56	)	$	235
Financial Derivative Instruments+++	$	0	$	0	$	0	$	0	$	0	$	0		$	0
Total	$	59	$	217	$	0	$	0	$	15	$	(56	)	$	235

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

International StocksPLUS^® TR Strategy Fund (Unhedged)

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 28.5%
BANKING & FINANCE 20.3%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013	$	100	$	104
American Express Co.
7.000% due 03/19/2018		100		97
American Express Credit Corp.
5.875% due 05/02/2013		100		99
American General Finance Corp.
6.900% due 12/15/2017		200		108
American International Group, Inc.
5.850% due 01/16/2018		300		159
ANZ National International Ltd.
6.200% due 07/19/2013		100		103
Bank of America Corp.
5.750% due 12/01/2017		200		178
Barclays Bank PLC
6.050% due 12/04/2017		100		87
Bear Stearns Cos. LLC
0.974% due 05/18/2010		500		499
1.392% due 07/16/2009		100		100
C10 Capital SPV Ltd.
6.722% due 12/31/2049		100		51
CIT Group, Inc.
0.974% due 08/17/2009		100		97
Citigroup Capital XXI
8.300% due 12/21/2077		900		703
Citigroup, Inc.
1.004% due 05/18/2010		230		226
5.625% due 08/27/2012		100		94
6.000% due 08/15/2017		200		175
Countrywide Financial Corp.
5.800% due 06/07/2012		200		201
Credit Agricole S.A.
0.714% due 05/28/2010		100		100
Credit Suisse USA, Inc.
1.083% due 08/15/2010		600		597
Deutsche Bank AG
1.154% due 02/17/2015		200		175
Dexia Credit Local
1.262% due 09/23/2011		200		200
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		500		433
GMAC LLC
6.875% due 08/28/2012		200		163
Goldman Sachs Group, Inc.
0.934% due 11/16/2009		290		290
6.750% due 10/01/2037		1,200		1,069
HSBC Holdings PLC
6.500% due 05/02/2036		200		196
ICICI Bank Ltd.
1.679% due 01/12/2010		100		98
JPMorgan Chase & Co.
6.000% due 01/15/2018		100		100
KeyBank N.A.
2.906% due 06/02/2010		200		194
Lehman Brothers Holdings, Inc.
2.950% due 05/25/2010 (a)		100		15
5.625% due 01/24/2013 (a)		500		78
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		300		278
Metropolitan Life Global Funding I
0.894% due 05/17/2010		200		198
Monumental Global Funding Ltd.
5.500% due 04/22/2013		100		97
Northern Rock PLC
5.625% due 06/22/2017		500		438
Pricoa Global Funding I
0.801% due 09/27/2013		100		77
1.139% due 01/30/2012		100		94
1.446% due 06/04/2010		400		397
Principal Life Income Funding Trusts
5.550% due 04/27/2015		100		99
Royal Bank of Scotland Group PLC
2.625% due 05/11/2012		800		806
6.990% due 10/29/2049		200		98
SLM Corp.
1.232% due 07/27/2009		30		30
1.252% due 07/26/2010		500		454
UBS AG
5.875% due 12/20/2017		100		93
Wachovia Corp.
0.718% due 12/01/2009		200		200
Wells Fargo & Co.
7.980% due 03/29/2049		700		582
				10,730
INDUSTRIALS 6.3%
Amgen, Inc.
6.900% due 06/01/2038		400		454
AstraZeneca PLC
5.900% due 09/15/2017		100		107
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		100		103
Dell, Inc.
4.700% due 04/15/2013		200		206
General Mills, Inc.
1.231% due 01/22/2010		100		100
Home Depot, Inc.
0.749% due 12/16/2009		100		100
International Business Machines Corp.
5.700% due 09/14/2017		400		425
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		300		294
Kraft Foods, Inc.
6.125% due 02/01/2018		100		104
Oracle Corp.
4.950% due 04/15/2013		300		314
5.750% due 04/15/2018		200		211
Philip Morris International, Inc.
6.375% due 05/16/2038		100		107
Roche Holdings, Inc.
2.661% due 02/25/2011		400		405
Rohm & Haas Co.
6.000% due 09/15/2017		100		90
Union Pacific Corp.
5.700% due 08/15/2018		200		201
UnitedHealth Group, Inc.
4.875% due 02/15/2013		100		101
				3,322
UTILITIES 1.9%
AT&T, Inc.
6.300% due 01/15/2038		200		194
Enel Finance International S.A.
6.800% due 09/15/2037		300		312
NGPL PipeCo. LLC
6.514% due 12/15/2012		100		105
Verizon Communications, Inc.
5.250% due 04/15/2013		100		105
Verizon Wireless Capital LLC
5.250% due 02/01/2012		300		316
				1,032
Total Corporate Bonds & Notes (Cost $15,523)				15,084
MUNICIPAL BONDS & NOTES 2.9%
California State General Obligation Bonds, Series 2009
5.650% due 04/01/2039		100		98
7.500% due 04/01/2034		100		92
7.550% due 04/01/2039		100		91
Chicago, Illinois Transit Authority Revenue Bonds, Series 2008
6.899% due 12/01/2040		200		214
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		200		195
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2037		800		751
Washington State General Obligation Bonds, (MBIA Insured), Series 2003
0.000% due 12/01/2020		200		117
Total Municipal Bonds & Notes (Cost $1,604)				1,558
U.S. GOVERNMENT AGENCIES 59.0%
Fannie Mae
5.000% due 02/25/2017 - 01/01/2037		1,360		1,389
5.500% due 02/01/2018 - 07/01/2039		6,251		6,475
5.500% due 12/01/2038 (g)		564		583
6.000% due 09/01/2038 - 07/01/2039		7,075		7,396
6.500% due 10/01/2035 - 07/01/2039		1,659		1,767
Freddie Mac
0.926% due 05/04/2011		700		702
0.937% due 08/05/2011 (e)		3,800		3,801
4.250% due 09/15/2024		104		105
5.000% due 11/01/2035 - 08/01/2039		3,737		3,799
5.500% due 07/01/2037 - 08/01/2038		3,063		3,166
Ginnie Mae
6.000% due 08/15/2037		825		861
Small Business Administration
4.430% due 05/01/2029		300		304
5.290% due 12/01/2027		89		93
5.490% due 03/01/2028		657		691
6.220% due 12/01/2028		98		106
Total U.S. Government Agencies (Cost $30,721)				31,238
U.S. TREASURY OBLIGATIONS 7.5%
Treasury Inflation Protected Securities (c)
0.875% due 04/15/2010		225		225
1.875% due 07/15/2015		329		333
2.375% due 01/15/2025		1,358		1,394
3.500% due 01/15/2011		491		512
U.S. Treasury Bonds
4.250% due 05/15/2039		1,500		1,484
Total U.S. Treasury Obligations (Cost $3,841)				3,948
MORTGAGE-BACKED SECURITIES 6.2%
Banc of America Commercial Mortgage, Inc.
5.837% due 06/10/2049		600		426
Bear Stearns Alt-A Trust
0.474% due 02/25/2034		242		137
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		72		56
Countrywide Alternative Loan Trust
0.474% due 02/25/2047		201		76
2.340% due 02/25/2036		124		57
Countrywide Home Loan Mortgage Pass-Through Trust
4.711% due 02/20/2035		163		130
4.786% due 11/25/2034		95		72
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		58		53
Greenpoint Mortgage Funding Trust
0.394% due 01/25/2047		58		44
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		122		104
GSR Mortgage Loan Trust
5.241% due 11/25/2035		76		59
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		600		462
5.420% due 01/15/2049		300		222
JPMorgan Mortgage Trust
5.012% due 02/25/2035		53		47
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		61		54
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		30		16
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		55		36
Morgan Stanley Capital I
0.380% due 10/15/2020		35		26
5.809% due 12/12/2049		500		382
Residential Accredit Loans, Inc.
2.700% due 09/25/2045		214		96
Structured Asset Mortgage Investments, Inc.
0.444% due 03/25/2037		123		45
0.563% due 07/19/2035		51		32
TBW Mortgage-Backed Pass-Through Certificates
0.424% due 01/25/2037		104		95
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		150		110
WaMu Mortgage Pass-Through Certificates
0.954% due 12/25/2027		211		163
2.070% due 01/25/2047		72		32
2.340% due 02/25/2046		420		187
Wells Fargo Mortgage-Backed Securities Trust
4.947% due 01/25/2035		101		85
Total Mortgage-Backed Securities (Cost $4,708)				3,304
ASSET-BACKED SECURITIES 4.2%
American Express Credit Account Master Trust
0.819% due 02/15/2012		16		16
Asset-Backed Funding Certificates
0.374% due 01/25/2037		23		19
Asset-Backed Securities Corp. Home Equity
0.364% due 12/25/2036		256		235
Bear Stearns Asset-Backed Securities Trust
0.404% due 06/25/2047		44		33
BNC Mortgage Loan Trust
0.414% due 05/25/2037		112		85
Citigroup Mortgage Loan Trust, Inc.
0.374% due 01/25/2037		3		3
0.424% due 08/25/2036		273		195
Countrywide Asset-Backed Certificates
0.364% due 07/25/2037		213		197
0.364% due 06/25/2047		165		153
0.384% due 06/25/2047		32		30
0.394% due 06/25/2037		166		154
0.394% due 10/25/2047		126		111
Credit-Based Asset Servicing & Securitization LLC
0.404% due 12/25/2037		73		70
First Franklin Mortgage Loan Asset-Backed Certificates
0.354% due 01/25/2038		44		40
GSAMP Trust
0.384% due 12/25/2036		118		62
HFC Home Equity Loan Asset-Backed Certificates
0.385% due 03/20/2036		42		41
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		139		120
MASTR Asset-Backed Securities Trust
0.364% due 01/25/2037		48		13
0.374% due 11/25/2036		74		69
Merrill Lynch Mortgage Investors, Inc.
0.384% due 08/25/2036		18		17
Morgan Stanley ABS Capital I
0.354% due 01/25/2037		31		27
0.364% due 11/25/2036		61		58
Residential Asset Securities Corp.
0.384% due 02/25/2037		95		87
Securitized Asset-Backed Receivables LLC Trust
0.354% due 01/25/2037		183		155
Soundview Home Equity Loan Trust
0.394% due 06/25/2037		95		76
Specialty Underwriting & Residential Finance
0.359% due 11/25/2037		98		95
0.374% due 01/25/2038		83		68
Total Asset-Backed Securities (Cost $2,603)				2,229
SOVEREIGN ISSUES 0.9%
Korea Development Bank
1.317% due 04/03/2010		500		490
Total Sovereign Issues (Cost $500)				490
FOREIGN CURRENCY-DENOMINATED ISSUES 2.2%
Bear Stearns Cos. LLC
1.706% due 07/27/2012	EUR	100		132
CIT Group, Inc.
5.000% due 05/13/2014		100		77
Citigroup Capital XVIII
6.829% due 06/28/2067	GBP	100		86
General Electric Capital Corp.
0.748% due 03/03/2010	CHF	600		544
Principal Financial Global Funding LLC
2.750% due 07/12/2010		100		89
SMFG Preferred Capital USD 1 Ltd.
6.164% due 01/29/2049	GBP	200		224
Total Foreign Currency-Denominated Issues (Cost $942)				1,152
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.0%
General Motors Corp.
5.250% due 03/06/2032		8,000		23
Total Convertible Preferred Stocks (Cost $25)				23
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 12.9%
REPURCHASE AGREEMENTS 1.0%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	526		526
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $540. Repurchase proceeds are $526.)
U.S. TREASURY BILLS 2.5%
0.127% due 07/16/2009 - 07/30/2009 (b)(e)		1,310		1,310
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 9.4%
		500,447		5,009
Total Short-Term Instruments (Cost $6,845)				6,845
PURCHASED OPTIONS (i) 0.4%
(Cost $50)				185
Total Investments 124.7% (Cost $67,362)			$	66,056
Written Options (j) (0.0%) (Premiums $2)				(1	)
Other Assets and Liabilities (Net) (24.7%)				(13,079	)
Net Assets 100.0%			$	52,976

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $1,128 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $5,954 at a weighted average interest rate of 0.460%. On June 30, 2009, there were no open reverse repurchase agreements.

(g) Securities with an aggregate market value of $127 and cash of $132 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	1	$	1
90-Day Euribor March Futures	Long	03/2010	1		1
90-Day Eurodollar December Futures	Long	12/2009	48		123
90-Day Eurodollar December Futures	Long	12/2010	18		(15	)
90-Day Eurodollar June Futures	Long	06/2010	14		10
90-Day Eurodollar March Futures	Long	03/2010	17		113
90-Day Eurodollar September Futures	Long	09/2009	40		278
90-Day Eurodollar September Futures	Long	09/2010	1		6
U.S. Treasury 5-Year Note September Futures	Long	09/2009	1		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	1		7
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	2		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	2		0
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	1		1
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	1		(1	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	2		(1	)
				$	519

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection ⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
General Electric Capital Corp.	BCLY	0.620	%	03/20/2011	4.121	%	$	600	$	(34	)	$	0	$	(34	)
General Electric Capital Corp.	BCLY	0.640	%	12/20/2012	4.354	%		500		(56	)		0		(56	)
Indonesia Government International Bond	RBS	1.085	%	03/20/2012	2.953	%		100		(5	)		0		(5	)
Procter & Gamble Co.	CSFB	1.000	%	06/20/2014	0.746	%		900		10			8		2
									$	(85	)	$	8	$	(93	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012	$	389	$	5	$	0	$	5
CDX.IG-9 10-Year Index 30-100%	GSC	0.548	%	12/20/2017		97		0		0		0
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017		195		1		0		1
							$	6	$	0	$	6

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	JPM	EUR	100	$	2		$	0		$	2
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	300		0			0			0
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		200		0			0			0
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		100		0			0			0
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS		200		3			0			3
Pay	1-Year BRL-CDI	12.670	%	01/04/2010	MSC		200		3			0			3
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		100		2			0			2
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		400		(5	)		(7	)		2
Pay	1-Year BRL-CDI	11.980	%	01/02/2012	MLP		300		3			0			3
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MLP		400		6			(3	)		9
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	DUB	AUD	100		0			0			0
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	UBS		2,100		(6	)		1			(7	)
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	BCLY	$	3,300		115			(32	)		147
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	RBS		1,500		52			(5	)		57
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	BOA		600		30			22			8
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	DUB		100		5			3			2
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	MLP		700		35			16			19
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	RBS		200		10			7			3
Pay	3-Month USD-LIBOR	4.000	%	06/17/2014	CITI		900		45			58			(13	)
Pay	6-Month AUD Bank Bill	4.250	%	09/15/2011	UBS	AUD	800		(3	)		7			(10	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	BNP	EUR	100		11			(2	)		13
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC	GBP	200		22			2			20
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	RBS		100		13			0			13
								$	343		$	67		$	276

Total Return Swaps on Indices

Pay/Receive Total Return on Reference Index	Index	# of Shares or Units	Floating Rate(5)	Notional Amount		Maturity Date	Counterparty	Unrealized Appreciation/ (Depreciation)
Receive	iShares MSCI EAFE Index	973,452	1-Month USD-LIBOR less 0.500%	$	46,141	06/30/2009	CSFB	$	(621	)
Receive	iShares MSCI EAFE Index	120,769	1-Month USD-LIBOR plus 0.210%		5,639	04/15/2010	MLP		7
								$	(614	)

⁽⁵⁾ 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, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	800	$	9	$	29
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		600		6		21
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,200		11		43
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		500		6		18
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		1,700		18		74
									$	50	$	185

(j) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009	$	100	$	0	$	0
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		500		2		1
									$	2	$	1

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.000	%	07/01/2039	$	1,000	$	1,015	$	1,018

(l) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	GSC	152	07/2009	$	3	$	0		$	3
Buy	BRL	HSBC	528	08/2009		20		0			20
Buy		MLP	180	08/2009		7		0			7
Buy	CAD	JPM	65	08/2009		0		(3	)		(3	)
Buy	CNY	BCLY	446	07/2009		0		(4	)		(4	)
Sell		BCLY	406	07/2009		0		(2	)		(2	)
Sell		CITI	642	07/2009		0		(3	)		(3	)
Buy		DUB	1,769	07/2009		0		(14	)		(14	)
Sell		DUB	1,774	07/2009		0		(7	)		(7	)
Buy		HSBC	884	07/2009		1		(5	)		(4	)
Sell		HSBC	318	07/2009		0		(1	)		(1	)
Buy		JPM	482	07/2009		0		(4	)		(4	)
Sell		JPM	440	07/2009		0		(3	)		(3	)
Buy		BCLY	255	09/2009		0		0			0
Sell		BCLY	602	09/2009		0		(2	)		(2	)
Buy		CITI	139	09/2009		0		0			0
Sell		CITI	537	09/2009		0		(2	)		(2	)
Buy		DUB	554	09/2009		1		0			1
Buy		HSBC	277	09/2009		1		0			1
Sell		HSBC	91	09/2009		0		0			0
Buy		JPM	138	09/2009		0		0			0
Sell		JPM	133	09/2009		0		(1	)		(1	)
Buy		JPM	345	03/2010		0		0			0
Sell	EUR	BCLY	117	07/2009		0		(1	)		(1	)
Sell		GSC	5	07/2009		0		0			0
Sell	GBP	BCLY	7	07/2009		0		0			0
Sell		CITI	540	07/2009		0		(53	)		(53	)
Buy		MSC	519	07/2009		0		(4	)		(4	)
Buy		RBS	28	07/2009		2		0			2
Sell		MSC	519	08/2009		4		0			4
Buy	JPY	BNP	1,654	07/2009		0		0			0
Buy		MSC	1,654	08/2009		0		0			0
Buy	SGD	HSBC	58	07/2009		0		0			0
Sell		HSBC	58	07/2009		0		(2	)		(2	)
					$	39	$	(111	)	$	(72	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	15,084		$	0	$	15,084
U.S. Government Agencies		0		31,238			0		31,238
U.S. Treasury Obligations		0		3,948			0		3,948
Mortgage-Backed Securities		0		3,304			0		3,304
Short-Term Instruments		5,009		1,836			0		6,845
Other Investments++		0		5,637			0		5,637
Investments, at value	$	5,009	$	61,047		$	0	$	66,056
Short Sales, at value	$	0	$	(1,018	)	$	0	$	(1,018	)
Financial Derivative Instruments+++	$	519	$	(500	)	$	2	$	21
Total	$	5,528	$	59,529		$	2	$	65,059

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Investments, at value	$	0	$	0	$	0	$	0	$	0	$	0		$	0
Financial Derivative Instruments+++	$	9	$	0	$	0	$	0	$	0	$	(7	)	$	2
Total	$	9	$	0	$	0	$	0	$	0	$	(7	)	$	2

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

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

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 3.5%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	1,965	$	1,830
Georgia-Pacific Corp.
2.319% due 12/20/2012		746		706
2.323% due 12/20/2012		873		826
2.650% due 12/20/2012		1,857		1,756
HCA, Inc.
2.848% due 11/18/2013		2,181		1,974
Total Bank Loan Obligations (Cost $7,532)				7,092
CORPORATE BONDS & NOTES 25.0%
BANKING & FINANCE 18.1%
American Express Co.
6.150% due 08/28/2017		1,200		1,108
American International Group, Inc.
4.950% due 03/20/2012		700		476
5.850% due 01/16/2018		3,000		1,589
8.250% due 08/15/2018		5,900		3,477
Bank of America Corp.
5.650% due 05/01/2018		400		354
Barclays Bank PLC
6.050% due 12/04/2017		1,600		1,390
7.434% due 09/29/2049		600		403
10.179% due 06/12/2021		1,040		1,112
Capital One Financial Corp.
6.750% due 09/15/2017		1,600		1,533
Citigroup Capital XXI
8.300% due 12/21/2077		1,500		1,172
Citigroup, Inc.
6.125% due 11/21/2017		2,500		2,195
General Electric Capital Corp.
6.375% due 11/15/2067		200		134
GMAC LLC
6.625% due 05/15/2012		600		489
6.875% due 08/28/2012		2,200		1,795
7.000% due 02/01/2012		1,100		914
Goldman Sachs Group, Inc.
1.059% due 03/22/2016		400		339
Lehman Brothers Holdings, Inc.
6.750% due 12/28/2017 (a)		1,800		0
6.875% due 05/02/2018 (a)		200		33
Merrill Lynch & Co., Inc.
1.236% due 02/05/2010		1,700		1,680
1.292% due 07/25/2011		700		649
1.591% due 01/15/2015		5,000		3,995
6.050% due 08/15/2012		400		402
6.875% due 04/25/2018		1,300		1,205
Metropolitan Life Global Funding I
5.125% due 04/10/2013		500		509
Principal Life Income Funding Trusts
5.300% due 04/24/2013		200		200
Royal Bank of Scotland Group PLC
7.640% due 03/29/2049		1,900		770
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		1,100		815
TransCapitalInvest Ltd. for OJSC AK Transneft
7.700% due 08/07/2013		1,200		1,156
8.700% due 08/07/2018		1,100		1,060
UBS AG
1.530% due 06/19/2010		2,000		1,971
5.875% due 12/20/2017		2,600		2,425
Wachovia Mortgage FSB
0.709% due 03/22/2011		1,100		1,061
				36,411
INDUSTRIALS 4.8%
Gaz Capital S.A.
8.146% due 04/11/2018		700		641
Goodrich Corp.
6.290% due 07/01/2016		2,100		2,149
Loews Corp.
5.250% due 03/15/2016		2,800		2,818
Nabors Industries, Inc.
6.150% due 02/15/2018		2,000		1,923
Reynolds American, Inc.
7.250% due 06/01/2013		2,000		2,059
				9,590
UTILITIES 2.1%
AT&T, Inc.
4.125% due 09/15/2009		500		503
Embarq Corp.
6.738% due 06/01/2013		2,000		2,021
Enel Finance International S.A.
6.250% due 09/15/2017		1,700		1,777
				4,301
Total Corporate Bonds & Notes (Cost $58,806)				50,302
MUNICIPAL BONDS & NOTES 0.6%
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2007
5.000% due 11/15/2036		400		390
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		700		396
Palomar, California Community College District General Obligation Bonds, (FSA Insured), Series 2007
4.750% due 05/01/2032		100		91
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		300		287
Total Municipal Bonds & Notes (Cost $1,483)				1,164
U.S. GOVERNMENT AGENCIES 225.0%
Fannie Mae
0.429% due 03/25/2034		22		20
0.444% due 03/25/2036		1,967		1,701
0.564% due 06/25/2044		33		32
0.664% due 09/25/2042		525		489
0.966% due 08/05/2010 (e)		521		522
1.625% due 11/25/2023		196		198
1.844% due 04/25/2024		160		162
2.638% due 09/01/2044 - 10/01/2044		3,626		3,572
3.334% due 08/01/2035 (g)		608		604
3.785% due 08/01/2010 (e)		356		361
3.814% due 03/01/2036 (g)		1,772		1,806
4.000% due 07/01/2039		8,000		7,752
4.287% due 11/01/2034 (g)		657		664
4.318% due 02/01/2035		296		306
4.370% due 09/01/2035 (g)		1,034		1,057
4.449% due 10/01/2035 (g)		502		510
4.500% due 06/01/2010 (e)		192		197
4.500% due 09/25/2020		2,708		2,755
4.532% due 09/01/2031		2		2
4.615% due 08/01/2036 (g)		932		965
4.648% due 07/01/2035 (g)		1,241		1,284
4.842% due 02/01/2034 (g)		521		539
4.877% due 10/01/2035 (g)		510		525
4.980% due 10/01/2035		478		490
5.000% due 07/25/2019 - 07/01/2024		1,486		1,547
5.000% due 07/01/2020 - 01/01/2021 (e)		113		118
5.000% due 07/01/2020 - 02/01/2036 (g)		38,677		39,753
5.474% due 07/01/2032		25		25
5.500% due 01/01/2021 - 01/01/2039 (g)		50,066		51,891
5.500% due 09/01/2021 (e)		84		88
5.500% due 03/01/2023 (g)(h)		4,806		5,037
5.500% due 09/01/2035		2		2
6.000% due 03/01/2023 - 09/01/2037 (g)		7,717		8,162
6.000% due 07/01/2024 - 07/01/2039		51,700		54,518
6.500% due 11/01/2036 (g)		2,201		2,348
6.500% due 07/01/2039 - 08/01/2039		21,900		23,287
6.625% due 11/15/2030		400		491
7.500% due 12/01/2014 (g)		109		115
Freddie Mac
0.519% due 10/15/2020		550		540
0.888% due 02/01/2011 (e)		1,123		1,121
0.926% due 05/04/2011 (e)		414		415
0.937% due 08/05/2011 (e)		641		641
1.268% due 04/01/2011 (e)		1,365		1,370
2.638% due 10/25/2044		161		159
2.838% due 07/25/2044		785		778
4.000% due 11/01/2013		2,791		2,844
4.500% due 02/15/2017 - 01/15/2018		8,050		8,316
5.000% due 12/15/2015		623		624
5.000% due 01/01/2037 (g)		361		368
5.293% due 09/01/2035		1,813		1,880
5.500% due 03/15/2017 - 08/15/2030		160		167
5.500% due 12/01/2034 - 10/01/2038 (g)		75,499		78,040
Ginnie Mae
0.718% due 03/16/2032		33		32
4.125% due 11/20/2024		86		87
5.500% due 01/15/2033 - 10/15/2038 (g)		3,779		3,916
5.500% due 08/15/2035 - 05/15/2038		1,993		2,061
6.000% due 08/15/2037 - 09/15/2038 (g)		25,638		26,753
6.000% due 04/15/2038 - 07/01/2039		23,528		24,520
6.000% due 08/15/2038 (e)		5,382		5,616
6.500% due 04/15/2031 - 07/01/2039		61,100		64,844
6.500% due 08/15/2036 - 11/15/2038 (g)		5,606		5,955
Overseas Private Investment Corp.
5.660% due 06/10/2015		6,000		6,172
Small Business Administration
5.680% due 06/01/2028		2,341		2,528
Total U.S. Government Agencies (Cost $445,926)				453,642
U.S. TREASURY OBLIGATIONS 1.4%
Treasury Inflation Protected Securities (c)
2.000% due 07/15/2014 (e)		1,584		1,620
2.125% due 01/15/2019		298		307
U.S. Treasury Notes
0.875% due 04/30/2011 (h)		886		884
Total U.S. Treasury Obligations (Cost $2,804)				2,811
MORTGAGE-BACKED SECURITIES 15.6%
American Home Mortgage Assets
0.504% due 05/25/2046		2,009		742
0.524% due 10/25/2046		760		248
Banc of America Commercial Mortgage, Inc.
5.451% due 01/15/2049		690		517
Banc of America Funding Corp.
6.102% due 01/20/2047		152		81
Banc of America Mortgage Securities, Inc.
0.764% due 01/25/2034		124		113
5.000% due 05/25/2034		155		152
Bear Stearns Adjustable Rate Mortgage Trust
4.550% due 08/25/2035		474		419
4.625% due 10/25/2035		2,877		2,281
4.740% due 10/25/2035		248		239
5.457% due 05/25/2047		2,053		1,198
Bear Stearns Alt-A Trust
5.303% due 08/25/2036		900		342
5.362% due 05/25/2035		397		257
5.490% due 09/25/2035		469		255
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		463		256
Citigroup Commercial Mortgage Trust
5.888% due 12/10/2049		274		217
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		551		438
4.700% due 12/25/2035		1,284		1,037
5.994% due 09/25/2037		1,961		1,063
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.617% due 10/15/2048		950		776
5.886% due 11/15/2044		500		400
Commercial Mortgage Pass-Through Certificates
6.010% due 12/10/2049		590		471
Countrywide Alternative Loan Trust
0.510% due 12/20/2046		2,018		810
0.525% due 11/20/2035		23		22
0.525% due 03/20/2046		1,433		589
0.525% due 07/20/2046		1,985		767
4.500% due 06/25/2035		82		80
5.255% due 06/25/2037		2,498		1,169
Countrywide Home Loan Mortgage Pass-Through Trust
0.604% due 04/25/2035		289		130
0.634% due 03/25/2035		223		102
Credit Suisse Mortgage Capital Certificates
5.467% due 09/15/2039		500		351
CS First Boston Mortgage Securities Corp.
3.755% due 06/25/2033		222		185
Downey Savings & Loan Association Mortgage Loan Trust
0.573% due 08/19/2045		1,163		513
3.472% due 07/19/2044		102		56
First Horizon Alternative Mortgage Securities
4.539% due 03/25/2035		223		117
First Horizon Asset Securities, Inc.
5.365% due 08/25/2035		99		76
First Republic Mortgage Loan Trust
0.669% due 11/15/2031		99		79
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		115		115
Greenpoint Mortgage Funding Trust
0.494% due 01/25/2037		1,758		712
GSR Mortgage Loan Trust
4.469% due 09/25/2035		409		344
GSRPM Mortgage Loan Trust
1.014% due 01/25/2032		13		8
Harborview Mortgage Loan Trust
0.553% due 03/19/2036		1,240		524
Homebanc Mortgage Trust
5.866% due 04/25/2037		900		428
Indymac Index Mortgage Loan Trust
0.414% due 01/25/2037		163		157
0.614% due 06/25/2037		672		210
4.976% due 12/25/2034		60		45
JPMorgan Chase Commercial Mortgage Securities Corp.
5.440% due 06/12/2047		210		159
JPMorgan Mortgage Trust
5.012% due 02/25/2035		372		326
LB-UBS Commercial Mortgage Trust
5.430% due 02/15/2040		900		653
Merrill Lynch Countrywide Commercial Mortgage Trust
5.700% due 09/12/2049		400		277
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		236		127
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		54		37
1.314% due 10/25/2035		76		61
Morgan Stanley Capital I
0.380% due 10/15/2020		1,019		756
6.076% due 06/11/2049		100		76
Residential Accredit Loans, Inc.
0.524% due 04/25/2046		1,772		668
0.714% due 03/25/2033		126		110
Residential Asset Securitization Trust
0.664% due 10/25/2018		1,693		1,392
0.714% due 05/25/2033		167		143
Structured Adjustable Rate Mortgage Loan Trust
2.610% due 01/25/2035		285		121
Structured Asset Mortgage Investments, Inc.
0.563% due 07/19/2035		330		210
0.594% due 02/25/2036		748		344
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046		1,511		1,359
WaMu Mortgage Pass-Through Certificates
0.624% due 01/25/2045		207		97
0.634% due 01/25/2045		201		101
2.139% due 03/25/2047		1,042		426
5.394% due 02/25/2037		278		165
Wells Fargo Mortgage-Backed Securities Trust
3.585% due 12/25/2034		489		451
4.121% due 07/25/2035		1,921		1,738
4.500% due 11/25/2018		971		940
4.679% due 05/25/2035		240		206
5.241% due 04/25/2036		1,818		1,434
Total Mortgage-Backed Securities (Cost $43,381)				31,468
ASSET-BACKED SECURITIES 2.5%
Access Group, Inc.
2.392% due 10/27/2025		2,322		2,342
Aurum CLO 2002-1 Ltd.
1.561% due 04/15/2014		1,297		1,206
Bear Stearns Asset-Backed Securities Trust
4.939% due 10/25/2036		1,603		901
Countrywide Asset-Backed Certificates
0.364% due 12/25/2046		85		83
GE-WMC Mortgage Securities LLC
0.354% due 08/25/2036		77		57
GSAMP Trust
0.404% due 11/25/2035		101		21
0.604% due 03/25/2034		25		24
Long Beach Mortgage Loan Trust
0.594% due 10/25/2034		185		119
Structured Asset Securities Corp.
4.900% due 04/25/2035		639		379
Total Asset-Backed Securities (Cost $6,288)				5,132
FOREIGN CURRENCY-DENOMINATED ISSUES 3.0%
Brazil Government International Bond
10.250% due 01/10/2028	BRL	1,400		707
Fortis Bank Nederland Holding NV
1.737% due 06/10/2011	EUR	500		700
General Electric Capital Corp.
6.500% due 09/15/2067	GBP	1,800		1,851
Lloyds TSB Bank PLC
1.418% due 06/09/2011	EUR	300		419
SMFG Preferred Capital GBP 2 Ltd.
10.231% due 07/18/2049	GBP	1,600		2,434
Total Foreign Currency-Denominated Issues (Cost $7,912)				6,111
	SHARES
PREFERRED STOCKS 0.0%
Fannie Mae
8.250% due 12/31/2049		13,000		18
Total Preferred Stocks (Cost $325)				18
EXCHANGE-TRADED FUNDS 3.9%
iShares MSCI EAFE
Index Fund		172,236		7,890
Total Exchange-Traded Funds (Cost $10,076)				7,890
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 11.8%
REPURCHASE AGREEMENTS 0.7%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	1,334		1,334
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/13/2009 valued at $1,365. Repurchase proceeds are $1,334.)
U.S. TREASURY BILLS 3.7%
0.121% due 07/02/2009 - 07/30/2009 (b)(e)(f)		7,478		7,477
		SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 7.4%
		1,502,532		15,039
Total Short-Term Instruments (Cost $23,850)				23,850
PURCHASED OPTIONS (j) 0.0% (Cost $11)				0
Total Investments 292.3% (Cost $608,394)			$	589,480
Written Options (k) (0.0%) (Premiums $32)				(17	)
Other Assets and Liabilities (Net) (192.3%)				(387,819	)
Net Assets 100.0%			$	201,644

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $9,173 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) Securities with an aggregate market value of $880 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(g) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $259,027 at a weighted average interest rate of 0.422%. On June 30, 2009, securities valued at $223,794 were pledged as collateral for reverse repurchase agreements.

(h) Securities with an aggregate market value of $402 and cash of $292 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor June Futures	Long	06/2010	32	$	43
90-Day Euribor September Futures	Long	09/2010	30		40
90-Day Eurodollar March Futures	Long	03/2010	274		1,668
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	130		(25	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	69		(9	)
				$	1,717

(i) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection ⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Embarq Corp.	BOA	(1.370	%)	03/20/2014	1.063	%	$	100	$	(1	)	$	0	$	(1	)
Embarq Corp.	DUB	(1.250	%)	03/20/2014	1.063	%		300		(3	)		0		(3	)
Embarq Corp.	DUB	(1.270	%)	03/20/2014	1.063	%		600		(6	)		0		(6	)
Embarq Corp.	DUB	(1.425	%)	03/20/2014	1.063	%		500		(8	)		0		(8	)
Embarq Corp.	MSC	(1.300	%)	03/20/2014	1.063	%		200		(2	)		0		(2	)
Goodrich Corp.	DUB	(0.510	%)	09/20/2016	0.574	%		2,100		9			0		9
JPMorgan Chase & Co.	DUB	(2.750	%)	03/20/2014	1.637	%		1,000		(49	)		0		(49	)
Loews Corp.	JPM	(0.280	%)	03/20/2016	0.610	%		2,300		46			0		46
Nabors Industries, Inc.	CITI	(1.050	%)	03/20/2018	1.382	%		2,000		46			0		46
Reynolds American, Inc.	BCLY	(1.200	%)	06/20/2013	2.411	%		2,000		86			0		86
UBS Warburg LLC	BCLY	(1.900	%)	12/20/2013	1.255	%	EUR	900		(35	)		0		(35	)
UBS Warburg LLC	BCLY	(2.200	%)	03/20/2014	1.256	%		1,000		(58	)		0		(58	)
UBS Warburg LLC	DUB	(2.200	%)	03/20/2014	1.256	%		600		(35	)		0		(35	)
									$	(10	)	$	0	$	(10	)

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection ⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
General Electric Capital Corp.	DUB	5.000	%	06/20/2010	3.783	%	$	2,800	$	36	$	(98	)	$	134

Credit Default Swaps on Credit Indices - Buy Protection ⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-5 7-Year Index 10-15%	MSC	(0.142	%)	12/20/2012	$	7,800	$	796	$	0	$	796
CDX.IG-9 10-Year Index	BCLY	(0.800	%)	12/20/2017		1,366		77		18		59
CDX.IG-9 10-Year Index	GSC	(0.800	%)	12/20/2017		3,026		171		51		120
CDX.IG-9 10-Year Index	MSC	(0.800	%)	12/20/2017		2,050		115		50		65
CDX.IG-9 10-Year Index	RBS	(0.800	%)	12/20/2017		878		50		13		37
							$	1,209	$	132	$	1,077

Credit Default Swaps on Credit Indices - Sell Protection ⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
ABX.HE AAA 06-2 Index	GSC	0.110	%	05/25/2046	$	998	$	(668	)	$	(324	)	$	(344	)
CDX.HY-8 5-Year Index 35-100%	BCLY	0.483	%	06/20/2012		1,942		(87	)		0			(87	)
CDX.IG-5 10-Year Index 10-15%	MSC	0.463	%	12/20/2015		5,600		(1,071	)		0			(1,071	)
CDX.IG-7 10-Year Index	GSC	0.650	%	12/20/2016		2,527		(153	)		(202	)		49
							$	(1,979	)	$	(526	)	$	(1,453	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS	EUR	500	$	9		$	0		$	9
Pay	1-Month EUR-FRCPXTOB Index	1.980	%	04/30/2012	BCLY		600		10			0			10
Pay	1-Year BRL-CDI	12.670	%	01/04/2010	MLP		BRL 10,200		132			0			132
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	RBS	$	17,200		529			185			344
Pay	3-Month USD-LIBOR	3.100	%	05/27/2016	BCLY		700		(11	)		0			(11	)
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	DUB		3,100		19			0			19
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	GSC		4,200		26			0			26
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		500		1			(8	)		9
								$	715		$	177		$	538

Total Return Swaps on Indices

Pay/Receive Total Return on Reference Index	Index	# of Shares or Units	Floating Rate(6)	Notional Amount		Maturity Date	Counterparty	Unrealized Appreciation/ (Depreciation)
Receive	iShares MSCI EAFE Index	2,339,386	1-Month USD-LIBOR less 0.500%	$	110,887	07/06/2009	CSFB	$	(1,493	)
Receive	iShares MSCI EAFE Index	1,494,976	1-Month USD-LIBOR less 0.550%		70,862	07/06/2009	CSFB		(951	)
Receive	iShares MSCI EAFE Index	236,229	1-Month USD-LIBOR plus 0.210%		11,029	04/15/2010	MLP		13
								$	(2,431	)

⁽⁶⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(j) Purchased options outstanding on June 30, 2009:

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC Fannie Mae 5.500% due 07/01/2039	$	96.250	07/06/2009	$	17,000	$	2	$	0
Put - OTC Ginnie Mae 6.500% due 07/01/2039		98.000	07/13/2009		79,000		9		0
						$	11	$	0

(k) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar December Futures	$	98.625	12/14/2009	24	$	8	$	7
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	21		4		1
					$	12	$	8

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.950	%	12/15/2009	$	300	$	2	$	1
Put - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	2.950	%	12/15/2009		2,900		18		8
									$	20	$	9

(l) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	4.000	%	07/01/2039	$	37,000	$	35,798	$	35,851
Fannie Mae	4.000	%	08/01/2039		8,000		7,748		7,725
Fannie Mae	5.000	%	07/01/2024		13,000		13,369		13,453
Fannie Mae	5.000	%	07/01/2039		13,300		13,327		13,535
Fannie Mae	5.500	%	07/01/2024		10,000		10,396		10,464
Fannie Mae	5.500	%	07/01/2039		45,500		46,467		46,958
Freddie Mac	5.500	%	07/01/2039		76,000		78,089		78,434
Ginnie Mae	5.500	%	07/01/2039		6,900		7,021		7,121
Ginnie Mae	6.000	%	07/01/2039		18,400		18,986		19,173
						$	231,201	$	232,714

(m) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	DUB	24,034	07/2009	$	0	$	(221	)	$	(221	)
Buy		GSC	6,317	07/2009		118		0			118
Buy	BRL	HSBC	576	08/2009		4		0			4
Sell		HSBC	576	08/2009		0		(29	)		(29	)
Sell	CAD	JPM	48	08/2009		3		0			3
Sell	CHF	JPM	16,208	07/2009		273		0			273
Sell		RBC	16,208	10/2009		71		0			71
Buy	CLP	CITI	8,500	11/2009		1		0			1
Buy	CNY	BCLY	3,625	07/2009		0		(33	)		(33	)
Sell		BCLY	4,188	07/2009		0		(13	)		(13	)
Sell		CITI	3,249	07/2009		1		0			1
Buy		DUB	47,384	07/2009		0		(398	)		(398	)
Sell		DUB	6,137	07/2009		2		0			2
Buy		HSBC	8,588	07/2009		0		(75	)		(75	)
Buy		JPM	5,956	07/2009		0		(52	)		(52	)
Sell		JPM	51,979	07/2009		1		(140	)		(139	)
Buy		CITI	3,249	09/2009		0		(1	)		(1	)
Buy		DUB	2,550	09/2009		0		(2	)		(2	)
Buy		JPM	2,546	09/2009		0		(1	)		(1	)
Buy		DUB	3,551	03/2010		0		(3	)		(3	)
Buy		BCLY	6,628	06/2010		0		(5	)		(5	)
Buy		CITI	2,389	06/2010		0		(2	)		(2	)
Buy		DUB	1,993	06/2010		0		(2	)		(2	)
Buy		HSBC	1,097	06/2010		0		(1	)		(1	)
Buy		JPM	3,460	06/2010		0		(3	)		(3	)
Sell	DKK	RBS	23,032	07/2009		58		0			58
Sell		RBS	23,032	10/2009		0		(1	)		(1	)
Sell	EUR	BNP	867	07/2009		0		(17	)		(17	)
Sell		BOA	45,187	07/2009		0		(194	)		(194	)
Sell		GSC	126	07/2009		0		0			0
Sell		RBS	799	07/2009		0		0			0
Sell	GBP	BCLY	85	07/2009		1		0			1
Sell		CITI	29,500	07/2009		0		(2,890	)		(2,890	)
Sell		GSC	81	07/2009		0		0			0
Buy		JPM	930	07/2009		27		0			27
Buy		RBC	161	07/2009		3		0			3
Buy		RBS	281	07/2009		22		0			22
Sell		RBS	49	07/2009		0		0			0
Sell		UBS	500	07/2009		0		(23	)		(23	)
Sell		MSC	28,843	08/2009		198		0			198
Sell	HKD	BCLY	7,051	09/2009		0		0			0
Sell		BOA	18,114	09/2009		0		0			0
Sell		CITI	9,271	09/2009		0		0			0
Sell		DUB	9,867	09/2009		0		0			0
Sell		JPM	9,866	09/2009		0		0			0
Sell	JPY	BNP	4,431,833	07/2009		0		(51	)		(51	)
Sell		UBS	70,000	07/2009		0		(17	)		(17	)
Sell		JPM	48,000	08/2009		0		0			0
Sell		MSC	4,501,833	08/2009		0		0			0
Buy	MXN	CITI	20,330	11/2009		148		0			148
Buy		JPM	45	11/2009		0		0			0
Sell		JPM	21,047	11/2009		0		(97	)		(97	)
Buy	MYR	BCLY	1,547	08/2009		3		0			3
Sell		JPM	1,531	08/2009		0		(17	)		(17	)
Sell	NOK	RBS	7,027	07/2009		53		0			53
Sell		RBS	7,027	10/2009		0		(1	)		(1	)
Sell	SEK	RBS	44,053	07/2009		272		0			272
Sell		RBS	44,053	10/2009		0		(5	)		(5	)
Sell	SGD	HSBC	4,115	07/2009		0		(137	)		(137	)
					$	1,259	$	(4,431	)	$	(3,172	)

(n) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	49,190		$	1,112	$	50,302
U.S. Government Agencies		0		453,642			0		453,642
Mortgage-Backed Securities		0		31,468			0		31,468
Short-Term Instruments		15,039		8,811			0		23,850
Other Investments++		8,327		20,685			1,206		30,218
Investments, at value	$	23,366	$	563,796		$	2,318	$	589,480
Short Sales, at value	$	0	$	(232,714	)	$	0	$	(232,714	)
Financial Derivative Instruments+++	$	1,717	$	(5,352	)	$	18	$	(3,617	)
Total	$	25,083	$	325,730		$	2,336	$	353,149

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	1,043		$	0	$	0	$	69	$	0		$	1,112
Asset-Backed Securities		1,172		(44	)		0		0		78		0			1,206
Other Investments++		0		0			0		0		0		0			0
Investments, at value	$	1,172	$	999		$	0	$	0	$	147	$	0		$	2,318
Financial Derivative Instruments+++	$	108	$	0		$	0	$	0	$	32	$	(122	)	$	18
Total	$	1,280	$	999		$	0	$	0	$	179	$	(122	)	$	2,336

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Investment Grade Corporate Bond Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.0%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	1,572	$	1,464
Total Bank Loan Obligations (Cost $1,501)				1,464
CORPORATE BONDS & NOTES 82.8%
BANKING & FINANCE 32.1%
Abbey National PLC
7.950% due 10/26/2029		1,600		1,424
Ace INA Holdings, Inc.
5.900% due 06/15/2019		7,500		7,532
Allstate Corp.
7.200% due 12/01/2009		200		203
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		1,200		1,242
American Express Bank FSB
0.399% due 07/13/2010		3,600		3,508
5.500% due 04/16/2013		12,100		11,889
American Express Centurion Bank
0.375% due 09/22/2009		4,000		3,987
0.377% due 03/23/2010		3,600		3,530
0.399% due 07/13/2010		8,500		8,273
0.478% due 11/16/2009		200		199
6.000% due 09/13/2017		20,000		18,272
American Express Co.
6.150% due 08/28/2017		300		277
6.800% due 09/01/2066		2,465		1,777
7.000% due 03/19/2018		3,000		2,918
7.250% due 05/20/2014		1,500		1,554
8.125% due 05/20/2019		20,000		20,790
American Express Credit Corp.
0.431% due 02/24/2012		5,250		4,752
0.496% due 12/02/2010		2,240		2,144
5.875% due 05/02/2013		1,700		1,690
7.300% due 08/20/2013		12,000		12,492
American General Finance Corp.
5.200% due 12/15/2011		2,600		1,633
American International Group, Inc.
4.950% due 03/20/2012		5,250		3,572
5.050% due 10/01/2015		700		378
5.450% due 05/18/2017		2,000		1,054
5.850% due 01/16/2018		22,920		12,143
6.250% due 05/01/2036		200		86
8.175% due 05/15/2058		2,000		571
8.250% due 08/15/2018		29,500		17,384
Anadarko Finance Co.
6.750% due 05/01/2011		2,900		3,020
ANZ National International Ltd.
6.200% due 07/19/2013		2,000		2,063
BAE Systems Holdings, Inc.
5.200% due 08/15/2015		200		199
6.375% due 06/01/2019		2,000		2,049
Bank of America Corp.
4.750% due 08/01/2015		200		181
5.625% due 10/14/2016		2,000		1,810
5.650% due 05/01/2018		44,000		38,945
5.750% due 08/15/2016		500		434
5.750% due 12/01/2017		26,800		23,902
6.000% due 09/01/2017		10,700		9,744
7.375% due 05/15/2014		11,400		11,793
7.625% due 06/01/2019		2,100		2,113
Bank of America N.A.
0.929% due 06/15/2017		5,170		3,481
1.162% due 06/23/2010		600		597
1.538% due 05/12/2010		2,000		1,982
6.000% due 10/15/2036		400		321
Bank of Scotland PLC
0.689% due 12/08/2010		10,000		9,529
Bank One Corp.
5.250% due 01/30/2013		100		101
Barclays Bank PLC
6.050% due 12/04/2017		13,000		11,291
6.750% due 05/22/2019		11,000		10,929
7.434% due 09/29/2049		500		335
10.179% due 06/12/2021		240		256
BB&T Corp.
6.500% due 08/01/2011		30		31
Bear Stearns Cos. LLC
0.842% due 08/21/2009		100		100
0.854% due 11/28/2011		100		98
1.093% due 08/15/2011		200		195
1.142% due 11/21/2016		7,500		5,615
1.218% due 02/01/2012		2,290		2,162
1.269% due 01/31/2011		3,500		3,462
1.507% due 07/19/2010		400		400
5.300% due 10/30/2015		12,400		12,202
5.350% due 02/01/2012		2,000		2,099
5.550% due 01/22/2017		1,000		928
5.700% due 11/15/2014		100		102
6.400% due 10/02/2017		16,800		16,856
6.950% due 08/10/2012		24,600		26,763
7.250% due 02/01/2018		33,150		34,996
BellSouth Capital Funding Corp.
7.875% due 02/15/2030		200		221
Berkshire Hathaway Finance Corp.
5.400% due 05/15/2018		3,500		3,613
Block Financial LLC
7.875% due 01/15/2013		13,000		14,099
BNP Paribas
0.832% due 12/09/2016		4,000		3,502
1.096% due 06/04/2010		700		697
5.186% due 06/29/2049		6,200		4,040
7.195% due 06/29/2049		2,225		1,628
C10 Capital SPV Ltd.
6.722% due 12/31/2049		400		205
Caelus Re Ltd.
6.918% due 06/07/2011		500		455
Canadian Oil Sands Ltd.
4.800% due 08/10/2009		7,245		7,254
7.750% due 05/15/2019		21,325		21,841
Caterpillar Financial Services Corp.
1.129% due 06/25/2010		700		700
1.354% due 06/24/2011		5,680		5,613
5.450% due 04/15/2018		2,500		2,384
7.150% due 02/15/2019		4,000		4,289
CBA Capital Trust II
6.024% due 03/29/2049		600		399
CIT Group, Inc.
0.974% due 08/17/2009		100		97
1.170% due 02/13/2012		3,600		2,125
1.352% due 07/28/2011		7,500		5,104
4.750% due 12/15/2010		3,000		2,356
Citigroup Capital XXI
8.300% due 12/21/2077		17,000		13,277
Citigroup Funding, Inc.
1.351% due 10/22/2009		100		100
2.036% due 05/07/2010		100		98
Citigroup, Inc.
0.631% due 12/28/2009		21,900		21,692
0.754% due 03/07/2014		3,000		2,416
0.944% due 05/18/2011		9,000		8,512
1.004% due 05/18/2010		100		98
2.583% due 05/15/2018		600		471
5.000% due 09/15/2014		9,700		8,144
5.250% due 02/27/2012		5,000		4,886
5.300% due 10/17/2012		1,500		1,448
5.500% due 08/27/2012		9,000		8,730
5.500% due 04/11/2013		20,100		18,860
5.625% due 08/27/2012		400		375
5.850% due 07/02/2013		4,800		4,546
5.875% due 05/29/2037		3,000		2,348
6.000% due 02/21/2012		1,190		1,177
6.000% due 08/15/2017		22,660		19,785
6.125% due 11/21/2017		32,225		28,298
6.125% due 05/15/2018		15,500		13,579
6.125% due 08/25/2036		800		597
6.500% due 08/19/2013		7,800		7,586
8.500% due 05/22/2019		20,000		20,379
ConocoPhillips Canada Funding Co. I
5.625% due 10/15/2016		300		320
Countrywide Financial Corp.
4.500% due 06/15/2010		1,700		1,683
Credit Agricole S.A.
0.714% due 05/28/2010		9,600		9,551
6.637% due 05/29/2049		200		118
Credit Suisse New York
5.000% due 05/15/2013		8,000		8,189
6.000% due 02/15/2018		1,800		1,800
Credit Suisse USA, Inc.
6.125% due 11/15/2011		100		107
EnCana Holdings Finance Corp.
5.800% due 05/01/2014		5,000		5,300
FIA Card Services N.A.
7.125% due 11/15/2012		145		153
First Union Capital I
7.935% due 01/15/2027		6,000		5,443
First Union Institutional Capital II
7.850% due 01/01/2027		3,910		3,168
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		2,400		2,317
7.000% due 10/01/2013		1,000		805
7.375% due 10/28/2009		6,250		6,197
9.750% due 09/15/2010		1,420		1,361
9.875% due 08/10/2011		6,325		5,854
12.000% due 05/15/2015		500		468
General Electric Capital Corp.
0.785% due 10/06/2015		1,700		1,352
0.889% due 09/15/2014		2,600		2,209
0.953% due 08/15/2011		150		142
1.357% due 01/08/2016		18,000		14,645
1.478% due 02/01/2011		100		97
1.616% due 05/22/2013		400		360
5.625% due 05/01/2018		16,830		15,945
5.875% due 01/14/2038		9,500		7,532
6.375% due 11/15/2067		3,140		2,098
GMAC LLC
2.200% due 12/19/2012		1,500		1,496
6.625% due 05/15/2012		100		81
6.875% due 09/15/2011		50		43
Goldman Sachs Group, Inc.
0.397% due 12/23/2009		700		699
0.701% due 06/28/2010		1,300		1,291
1.059% due 03/22/2016		34,769		29,489
1.187% due 02/06/2012		4,500		4,300
1.201% due 09/29/2014		12,000		10,644
1.501% due 07/22/2015		10,000		8,622
1.639% due 01/12/2015		34,300		30,098
4.500% due 06/15/2010		250		256
5.125% due 01/15/2015		10,000		9,853
5.250% due 10/15/2013		4,600		4,701
5.350% due 01/15/2016		1,100		1,050
5.450% due 11/01/2012		7,684		7,954
5.700% due 09/01/2012		1,500		1,572
5.750% due 10/01/2016		1,100		1,079
5.950% due 01/18/2018		18,000		17,488
6.000% due 05/01/2014		1,000		1,045
6.125% due 02/15/2033		600		561
6.150% due 04/01/2018		18,075		17,627
6.250% due 09/01/2017		39,800		39,441
6.600% due 01/15/2012		2,000		2,131
6.750% due 10/01/2037		3,700		3,295
6.875% due 01/15/2011		4,900		5,182
7.500% due 02/15/2019		7,950		8,527
HBOS Capital Funding LP
6.071% due 06/29/2049		800		292
HBOS PLC
5.375% due 11/29/2049		3,490		1,688
6.750% due 05/21/2018		14,582		11,023
HSBC Bank USA N.A.
6.000% due 08/09/2017		1,500		1,517
7.000% due 01/15/2039		13,800		14,616
HSBC Capital Funding LP
4.610% due 12/29/2049		11,430		8,066
9.547% due 12/29/2049		300		280
HSBC Finance Corp.
0.719% due 03/12/2010		100		98
0.979% due 09/14/2012		1,800		1,585
1.166% due 08/09/2011		2,000		1,811
1.206% due 05/10/2010		140		136
1.381% due 01/15/2014		3,000		2,436
HSBC Holdings PLC
6.500% due 05/02/2036		700		685
6.500% due 09/15/2037		5,400		5,233
6.800% due 06/01/2038		3,800		3,826
International Lease Finance Corp.
4.875% due 09/01/2010		150		134
5.350% due 03/01/2012		5,000		3,905
5.750% due 06/15/2011		2,000		1,659
John Deere Capital Corp.
1.202% due 07/16/2010		5,000		4,980
1.400% due 06/10/2011		900		894
JPMorgan Chase & Co.
0.732% due 06/25/2012		200		191
0.964% due 05/16/2011		100		97
1.282% due 01/17/2011		200		198
1.382% due 10/02/2009		500		500
4.750% due 03/01/2015		300		303
5.125% due 09/15/2014		100		100
5.250% due 05/01/2015		300		289
6.000% due 01/15/2018		28,000		27,861
6.300% due 04/23/2019		31,500		31,741
6.625% due 03/15/2012		350		369
7.900% due 04/29/2049		34,300		30,099
JPMorgan Chase Bank N.A.
0.959% due 06/13/2016		9,100		7,431
5.875% due 06/13/2016		3,100		2,992
6.000% due 10/01/2017		600		585
JPMorgan Chase Capital XV
5.875% due 03/15/2035		2,900		2,326
JPMorgan Chase Capital XVIII
6.950% due 08/17/2036		1,290		1,089
JPMorgan Chase Capital XX
6.550% due 09/15/2066		3,400		2,707
JPMorgan Chase Capital XXV
6.800% due 10/01/2037		3,100		2,671
KeyBank N.A.
2.906% due 06/02/2010		400		388
5.800% due 07/01/2014		700		650
Lehman Brothers Holdings, Inc.
4.800% due 03/13/2014 (a)		300		46
6.625% due 01/18/2012 (a)		15,030		2,292
6.875% due 05/02/2018 (a)		3,403		561
Lloyds Banking Group PLC
5.920% due 09/29/2049		5,100		1,810
Macquarie Bank Ltd.
4.100% due 12/17/2013		15,700		16,106
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		5,000		4,772
9.250% due 04/15/2019		2,000		2,254
Merrill Lynch & Co., Inc.
0.892% due 09/09/2009		100		100
1.236% due 02/05/2010		7,300		7,215
1.292% due 07/25/2011		105		97
3.188% due 05/12/2010		13,300		13,228
4.250% due 02/08/2010		100		100
5.000% due 02/03/2014		10,000		9,607
5.000% due 01/15/2015		10,300		9,423
5.450% due 02/05/2013		100		97
5.450% due 07/15/2014		7,500		7,185
6.050% due 08/15/2012		5,000		5,018
6.150% due 04/25/2013		25,250		25,315
6.400% due 08/28/2017		13,000		11,526
6.500% due 07/15/2018		22,671		20,456
6.875% due 04/25/2018		40,600		37,638
MetLife, Inc.
5.000% due 06/15/2015		1,600		1,527
7.717% due 02/15/2019		9,000		9,643
Metropolitan Life Global Funding I
0.894% due 05/17/2010		100		99
2.550% due 06/10/2011		19,600		19,576
5.125% due 04/10/2013		3,910		3,981
5.125% due 06/10/2014		15,800		15,701
Mizuho Financial Group Cayman Ltd.
5.790% due 04/15/2014		150		155
Morgan Stanley
0.550% due 04/19/2012		10,000		8,957
1.357% due 01/18/2011		12,600		12,212
1.399% due 01/09/2012		13,000		11,726
1.411% due 01/15/2010		200		198
1.449% due 01/09/2014		28,600		25,705
1.557% due 10/18/2016		16,600		13,450
1.611% due 10/15/2015		14,500		12,444
3.006% due 05/14/2010		17,300		17,254
4.750% due 04/01/2014		4,700		4,446
5.375% due 10/15/2015		250		245
5.750% due 10/18/2016		5,400		5,185
5.950% due 12/28/2017		6,600		6,343
6.000% due 05/13/2014		1,400		1,420
6.000% due 04/28/2015		2,500		2,498
6.250% due 08/28/2017		30,110		29,180
6.625% due 04/01/2018		35,900		35,848
6.750% due 04/15/2011		6,000		6,289
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		4,025		3,528
National Australia Bank Ltd.
1.424% due 02/08/2010		50		50
5.350% due 06/12/2013		12,200		12,581
National City Bank
0.704% due 06/18/2010		1,500		1,466
0.999% due 06/07/2017		2,600		1,777
National City Bank of Kentucky
6.300% due 02/15/2011		1,000		1,012
National City Corp.
0.794% due 06/16/2010		1,000		992
Pacific Life Global Funding
5.150% due 04/15/2013		500		499
Pearson Dollar Finance Two PLC
6.250% due 05/06/2018		2,000		1,921
PNC Bank N.A.
1.416% due 08/05/2009		4,000		3,999
Preferred Term Securities XII Ltd.
1.164% due 03/24/2034		93		36
Principal Life Income Funding Trusts
5.300% due 04/24/2013		500		499
Prudential Financial, Inc.
6.000% due 12/01/2017		1,500		1,413
Rabobank Nederland NV
11.000% due 12/29/2049		37,225		41,518
11.000% due 12/31/2049		730		818
Regions Financial Corp.
0.774% due 06/26/2012		3,500		2,755
Resona Bank Ltd.
5.850% due 09/29/2049		300		227
Royal Bank of Scotland Group PLC
6.990% due 10/29/2049		14,000		6,869
7.648% due 08/29/2049		2,000		992
9.118% due 03/31/2049		480		391
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		11,500		8,522
Simon Property Group LP
6.750% due 05/15/2014		12,200		12,276
SLM Corp.
1.252% due 07/26/2010		15,000		13,618
1.322% due 10/25/2011		1,000		811
4.500% due 07/26/2010		3,000		2,836
5.000% due 10/01/2013		1,000		810
8.450% due 06/15/2018		9,205		7,885
SMFG Preferred Capital USD 3 Ltd.
9.500% due 07/29/2049		1,500		1,457
Societe Financement de l’Economie Francaise
3.375% due 05/05/2014		5,800		5,823
State Street Bank and Trust Co.
0.829% due 12/08/2015		7,500		6,271
State Street Capital Trust III
8.250% due 03/15/2042		2,400		2,029
State Street Corp.
4.300% due 05/30/2014		5,000		4,951
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		300		277
Teco Finance, Inc.
6.572% due 11/01/2017		123		115
6.750% due 05/01/2015		200		193
TransCapitalInvest Ltd. for OJSC AK Transneft
8.700% due 08/07/2018		2,500		2,410
UBS AG
1.090% due 07/23/2009		1,580		1,579
1.530% due 06/19/2010		600		591
1.927% due 05/05/2010		800		803
5.750% due 04/25/2018		3,000		2,737
UBS Preferred Funding Trust V
6.243% due 05/29/2049		800		473
United Overseas Bank Ltd.
5.375% due 09/03/2019		100		96
USB Capital IX
6.189% due 04/15/2049		975		658
Ventas Realty LP
6.500% due 06/01/2016		1,400		1,262
Wachovia Bank N.A.
0.959% due 03/15/2016		13,500		10,675
1.806% due 05/14/2010		17,800		17,806
5.000% due 08/15/2015		300		283
7.800% due 08/18/2010		30		31
Wachovia Capital Trust V
7.965% due 06/01/2027		1,300		1,063
Wachovia Corp.
0.718% due 12/01/2009		600		599
0.818% due 03/01/2012		4,000		3,788
0.899% due 06/15/2017		15,100		11,291
1.230% due 04/23/2012		24,400		22,941
1.261% due 10/15/2011		14,000		13,305
5.500% due 05/01/2013		26,500		27,407
5.700% due 08/01/2013		100		104
5.750% due 06/15/2017		500		494
5.750% due 02/01/2018		1,048		1,031
Wells Fargo & Co.
0.672% due 03/23/2010		75		75
0.782% due 09/23/2009		600		601
1.239% due 01/12/2011		600		586
1.272% due 10/28/2015		8,000		6,893
4.375% due 01/31/2013		2,500		2,524
5.625% due 12/11/2017		17,200		16,959
7.980% due 03/29/2049		8,000		6,650
Wells Fargo Bank N.A.
1.064% due 05/16/2016		3,800		2,878
4.750% due 02/09/2015		5,840		5,547
5.950% due 08/26/2036		400		359
6.450% due 02/01/2011		30		31
Wells Fargo Capital X
5.950% due 12/15/2036		2,700		2,004
Wells Fargo Capital XIII
7.700% due 12/29/2049		22,600		18,772
Xstrata Finance Canada Ltd.
5.800% due 11/15/2016		300		269
				1,893,292
INDUSTRIALS 31.9%
Allied Waste North America, Inc.
6.500% due 11/15/2010		300		305
Altria Group, Inc.
7.750% due 02/06/2014		23,545		25,989
9.250% due 08/06/2019		32,200		36,219
9.700% due 11/10/2018		3,000		3,445
10.200% due 02/06/2039		11,880		14,059
American Airlines Pass-Through Trust 2001-02
6.978% due 10/01/2012		44		42
7.858% due 04/01/2013		50		47
American Airlines Pass-Through Trust 2009-1A
10.375% due 07/02/2019 (b)		4,050		4,050
American Stores Co.
8.000% due 06/01/2026		250		219
Amgen, Inc.
5.850% due 06/01/2017		6,500		6,908
6.150% due 06/01/2018		3,200		3,484
Anadarko Petroleum Corp.
6.950% due 06/15/2019		7,455		7,537
8.700% due 03/15/2019		300		337
Anglo American Capital PLC
9.375% due 04/08/2014		7,500		8,155
AstraZeneca PLC
5.400% due 09/15/2012		5,292		5,746
5.400% due 06/01/2014		9,105		9,867
Barrick Gold Corp.
6.950% due 04/01/2019		49,500		55,532
Beckman Coulter, Inc.
6.875% due 11/15/2011		30		32
BHP Billiton Finance USA Ltd.
5.500% due 04/01/2014		6,000		6,446
6.500% due 04/01/2019		57,100		63,527
Black & Decker Corp.
8.950% due 04/15/2014		4,000		4,392
Board of Trustees of The Leland Stanford Junior University
3.625% due 05/01/2014		26,500		26,745
Bunge Ltd. Finance Corp.
8.500% due 06/15/2019		5,000		5,237
Burlington Northern Santa Fe Corp.
6.750% due 03/15/2029		600		601
6.875% due 12/01/2027		6,500		6,533
7.000% due 02/01/2014		3,840		4,114
Canadian National Railway Co.
4.400% due 03/15/2013		80		82
5.550% due 05/15/2018		500		523
Canadian Natural Resources Ltd.
5.450% due 10/01/2012		100		105
5.850% due 02/01/2035		200		189
5.900% due 02/01/2018		5,000		5,115
6.000% due 08/15/2016		1,600		1,651
Cardinal Health, Inc.
1.462% due 10/02/2009		200		199
5.500% due 06/15/2013		5,000		4,972
CenterPoint Energy Resources Corp.
7.875% due 04/01/2013		150		160
Chesapeake Energy Corp.
7.625% due 07/15/2013		50		48
CODELCO, Inc.
6.150% due 10/24/2036		100		98
7.500% due 01/15/2019		6,200		7,198
Colorado Interstate Gas Co.
6.800% due 11/15/2015		991		1,023
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		13,730		15,665
Comcast Cable Communications LLC
8.875% due 05/01/2017		35		41
Comcast Corp.
5.875% due 02/15/2018		28,600		29,036
5.900% due 03/15/2016		4,300		4,454
6.400% due 05/15/2038		1,000		981
6.500% due 01/15/2017		6,000		6,374
7.050% due 03/15/2033		100		107
ConocoPhillips
4.600% due 01/15/2015		8,700		8,956
6.000% due 01/15/2020		18,000		19,311
Continental Airlines, Inc.
6.503% due 12/15/2012		100		93
Covidien International Finance S.A.
6.550% due 10/15/2037		100		111
CSX Corp.
5.300% due 02/15/2014		250		253
6.250% due 03/15/2018		5,370		5,425
CVS Caremark Corp.
0.968% due 06/01/2010		10,678		10,605
Daimler Finance North America LLC
1.466% due 08/03/2009		2,500		2,492
5.750% due 09/08/2011		2,000		2,042
5.875% due 03/15/2011		3,050		3,102
6.500% due 11/15/2013		4,300		4,377
7.300% due 01/15/2012		100		104
DCP Midstream LLC
5.375% due 10/15/2015		100		90
Delta Air Lines, Inc.
6.619% due 09/18/2012		93		89
7.379% due 11/18/2011		23		23
Devon Energy Corp.
5.625% due 01/15/2014		12,500		13,187
6.300% due 01/15/2019		19,500		20,876
Diamond Offshore Drilling, Inc.
5.875% due 05/01/2019		11,500		11,740
DISH DBS Corp.
6.375% due 10/01/2011		400		389
6.625% due 10/01/2014		500		463
7.000% due 10/01/2013		400		382
7.750% due 05/31/2015		200		192
Dow Chemical Co.
8.550% due 05/15/2019		13,500		13,546
DR Horton, Inc.
5.625% due 09/15/2014		1,500		1,290
5.625% due 01/15/2016		2,500		2,062
6.500% due 04/15/2016		5,000		4,300
El Paso Natural Gas Co.
5.950% due 04/15/2017		5,445		5,268
8.375% due 06/15/2032		17,070		18,637
Enbridge Energy Partners LP
5.875% due 12/15/2016		1,200		1,143
6.500% due 04/15/2018		7,000		6,908
EnCana Corp.
4.750% due 10/15/2013		100		101
5.900% due 12/01/2017		18,500		18,994
6.500% due 05/15/2019		38,850		41,718
Energy Transfer Partners LP
5.950% due 02/01/2015		4,000		4,037
6.000% due 07/01/2013		3,330		3,392
6.125% due 02/15/2017		6,000		5,970
6.700% due 07/01/2018		4,500		4,608
8.500% due 04/15/2014		3,000		3,370
9.000% due 04/15/2019		16,450		18,816
9.700% due 03/15/2019		29,000		33,348
Enterprise Products Operating LLC
5.000% due 03/01/2015		200		185
6.300% due 09/15/2017		5,572		5,609
6.500% due 01/31/2019		11,000		11,199
Express Scripts, Inc.
5.250% due 06/15/2012		14,300		14,788
6.250% due 06/15/2014		5,400		5,722
7.250% due 06/15/2019		3,800		4,198
Florida Gas Transmission Co. LLC
7.900% due 05/15/2019		47,584		52,390
Freeport-McMoRan Copper & Gold, Inc.
8.375% due 04/01/2017		500		504
Freeport-McMoRan Corp.
8.750% due 06/01/2011		200		197
9.500% due 06/01/2031		200		202
Gaz Capital S.A.
7.288% due 08/16/2037		2,000		1,510
7.510% due 07/31/2013		5,000		4,846
8.625% due 04/28/2034		200		197
Gazprom International S.A.
7.201% due 02/01/2020		5,858		5,609
General Electric Co.
5.250% due 12/06/2017		38,500		37,872
General Mills, Inc.
5.700% due 02/15/2017		200		211
Georgia-Pacific LLC
7.000% due 01/15/2015		100		94
7.125% due 01/15/2017		1,450		1,356
8.250% due 05/01/2016		1,970		1,921
GlaxoSmithKline Capital, Inc.
4.850% due 05/15/2013		17,000		17,805
5.650% due 05/15/2018		12,700		13,475
HCA, Inc.
9.250% due 11/15/2016		900		889
9.625% due 11/15/2016 (c)		3,300		3,275
Hewlett-Packard Co.
0.689% due 06/15/2010		100		100
0.778% due 03/01/2012		100		99
1.710% due 05/27/2011		5,000		5,067
2.250% due 05/27/2011		8,000		8,029
2.950% due 08/15/2012		5,000		5,042
Hospira, Inc.
6.050% due 03/30/2017		100		98
6.400% due 05/15/2015		8,100		8,541
Humana, Inc.
6.450% due 06/01/2016		5,200		4,582
7.200% due 06/15/2018		10,000		9,026
Hutchison Whampoa International Ltd.
6.500% due 02/13/2013		140		150
International Business Machines Corp.
1.652% due 07/28/2011		5,700		5,738
7.625% due 10/15/2018		1,000		1,197
8.375% due 11/01/2019		30		37
International Game Technology
7.500% due 06/15/2019		3,500		3,538
KB Home
5.750% due 02/01/2014		3,000		2,640
6.250% due 06/15/2015		2,500		2,150
Kellogg Co.
5.125% due 12/03/2012		100		107
Kern River Funding Corp.
4.893% due 04/30/2018		56		54
Kinder Morgan Energy Partners LP
5.000% due 12/15/2013		200		197
5.625% due 02/15/2015		9,390		9,506
5.950% due 02/15/2018		25,347		24,853
6.000% due 02/01/2017		5,200		5,166
6.850% due 02/15/2020		13,900		14,274
6.950% due 01/15/2038		7,150		6,939
7.125% due 03/15/2012		5,078		5,434
7.300% due 08/15/2033		4,000		3,849
7.750% due 03/15/2032		2,000		2,118
9.000% due 02/01/2019		29,735		33,877
Kraft Foods, Inc.
1.456% due 08/11/2010		3,100		3,072
6.500% due 08/11/2017		300		316
Kroger Co.
5.500% due 02/01/2013		200		207
Lorillard Tobacco Co.
8.125% due 06/23/2019		7,500		7,774
Ltd. Brands, Inc.
5.250% due 11/01/2014		2,500		2,138
Magellan Midstream Partners LP
6.400% due 07/15/2018		3,900		3,982
6.550% due 07/15/2019		7,000		7,199
McKesson Corp.
6.500% due 02/15/2014		5,470		5,844
Monsanto Co.
5.125% due 04/15/2018		1,000		1,038
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		500		514
Newell Rubbermaid, Inc.
5.500% due 04/15/2013		10,000		9,640
Norfolk Southern Corp.
5.750% due 04/01/2018		100		102
5.900% due 06/15/2019		5,000		5,192
7.250% due 02/15/2031		100		109
Northwest Pipeline GP
5.950% due 04/15/2017		200		199
Nucor Corp.
5.850% due 06/01/2018		1,000		1,039
Oracle Corp.
0.966% due 05/14/2010		900		900
5.000% due 07/08/2019 (b)		12,100		12,055
5.750% due 04/15/2018		300		317
Pepperdine University
5.450% due 08/01/2019		5,000		5,186
PepsiCo, Inc.
7.900% due 11/01/2018		20,000		24,374
Petroleos Mexicanos
8.000% due 05/03/2019		12,600		13,734
Pfizer, Inc.
5.350% due 03/15/2015		20,500		22,067
6.200% due 03/15/2019		43,600		47,770
7.200% due 03/15/2039		16,800		19,989
Philip Morris International, Inc.
5.650% due 05/16/2018		1,550		1,628
6.375% due 05/16/2038		2,700		2,878
Plains All American Pipeline LP
6.125% due 01/15/2017		1,400		1,352
Potash Corp. of Saskatchewan, Inc.
5.250% due 05/15/2014		41,735		43,131
6.500% due 05/15/2019		7,500		8,095
President and Fellows of Harvard College
6.000% due 01/15/2019		5,000		5,464
Principal Financial Group, Inc.
8.875% due 05/15/2019		10,000		10,515
Procter & Gamble Co.
3.500% due 02/15/2015		10,000		10,110
Pulte Homes, Inc.
6.250% due 02/15/2013		13,000		12,188
Reynolds American, Inc.
7.750% due 06/01/2018		100		96
Rio Tinto Finance USA Ltd.
5.875% due 07/15/2013		3,000		3,022
6.500% due 07/15/2018		2,100		2,104
8.950% due 05/01/2014		9,800		10,904
9.000% due 05/01/2019		5,100		5,677
Roche Holdings, Inc.
2.661% due 02/25/2011		5,000		5,058
5.000% due 03/01/2014		12,000		12,569
6.000% due 03/01/2019		50,200		53,626
Rockies Express Pipeline LLC
6.250% due 07/15/2013		30,445		30,686
6.850% due 07/15/2018		29,200		30,920
Rogers Communications, Inc.
5.500% due 03/15/2014		13,176		13,684
6.375% due 03/01/2014		6,000		6,440
6.750% due 03/15/2015		8,040		8,525
6.800% due 08/15/2018		2,800		3,006
7.250% due 12/15/2012		5,000		5,378
RR Donnelley & Sons Co.
6.125% due 01/15/2017		7,000		6,166
Ryder System, Inc.
6.000% due 03/01/2013		3,000		2,990
Ryland Group, Inc.
8.400% due 05/15/2017		1,000		965
Southern Co.
1.485% due 08/20/2010		5,400		5,402
Southern Natural Gas Co.
5.900% due 04/01/2017		6,800		6,619
8.000% due 03/01/2032		758		805
Southwest Airlines Co.
10.500% due 12/15/2011		8,000		8,612
Starwood Hotels & Resorts Worldwide, Inc.
7.875% due 10/15/2014		400		376
Suncor Energy, Inc.
6.100% due 06/01/2018		5,000		5,034
6.500% due 06/15/2038		920		868
Systems 2001 Asset Trust LLC
6.664% due 09/15/2013		42		42
Target Corp.
6.000% due 01/15/2018		1,000		1,062
Teck Resources Ltd.
9.750% due 05/15/2014		500		518
10.750% due 05/15/2019		4,050		4,360
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028		400		383
7.500% due 04/01/2017		800		841
7.625% due 04/01/2037		1,000		1,017
8.000% due 02/01/2016		11,100		11,683
8.375% due 06/15/2032		1,400		1,529
Time Warner Cable, Inc.
5.850% due 05/01/2017		17,240		17,240
7.300% due 07/01/2038		1,500		1,566
7.500% due 04/01/2014		16,000		17,649
8.250% due 04/01/2019		6,000		6,818
8.750% due 02/14/2019		7,750		9,042
Time Warner, Inc.
6.750% due 04/15/2011		25		26
TransCanada Pipelines Ltd.
7.125% due 01/15/2019		10,500		11,870
7.250% due 08/15/2038		15,000		17,096
Transcontinental Gas Pipe Line Co. LLC
8.875% due 07/15/2012		30		33
Transocean, Inc.
6.000% due 03/15/2018		33,696		35,085
Union Pacific Corp.
5.125% due 02/15/2014		1,950		2,018
7.875% due 01/15/2019		8,500		9,747
United Airlines, Inc.
10.125% due 03/22/2015 (a)		76		35
UnitedHealth Group, Inc.
0.789% due 06/21/2010		1,000		991
6.000% due 06/15/2017		1,800		1,738
6.000% due 02/15/2018		11,400		10,959
6.625% due 11/15/2037		10,000		8,982
Vale Overseas Ltd.
6.250% due 01/11/2016		2,200		2,261
6.250% due 01/23/2017		6,300		6,383
8.250% due 01/17/2034		1,700		1,919
Wal-Mart Stores, Inc.
5.800% due 02/15/2018		1,000		1,091
6.875% due 08/10/2009		30		30
Walt Disney Co.
6.375% due 03/01/2012		100		110
WEA Finance LLC
5.700% due 10/01/2016		100		87
WellPoint, Inc.
4.250% due 12/15/2009		100		101
6.000% due 02/15/2014		2,000		2,040
7.000% due 02/15/2019		5,200		5,385
Williams Cos., Inc.
6.375% due 10/01/2010		19,800		19,804
7.125% due 09/01/2011		1,000		1,021
7.875% due 09/01/2021		5,100		5,033
8.750% due 01/15/2020		30,085		31,418
XTO Energy, Inc.
4.900% due 02/01/2014		27,500		27,864
5.500% due 06/15/2018		6,150		6,173
5.750% due 12/15/2013		4,000		4,211
6.100% due 04/01/2036		100		97
6.250% due 08/01/2017		33,700		35,518
6.375% due 06/15/2038		9,950		10,189
6.500% due 12/15/2018		4,500		4,836
7.500% due 04/15/2012		2,900		3,215
Yum! Brands, Inc.
8.875% due 04/15/2011		140		153
				1,876,780
UTILITIES 18.8%
AES Corp.
8.000% due 06/01/2020		900		812
Appalachian Power Co.
5.000% due 06/01/2017		4,000		3,775
5.650% due 08/15/2012		300		317
7.000% due 04/01/2038		3,400		3,531
7.950% due 01/15/2020		33,920		39,175
AT&T Corp.
7.300% due 11/15/2011		447		491
8.000% due 11/15/2031		48,850		56,489
AT&T, Inc.
5.100% due 09/15/2014		11,708		12,180
5.600% due 05/15/2018		3,000		3,021
5.800% due 02/15/2019		34,000		34,579
6.300% due 01/15/2038		5,000		4,842
6.450% due 06/15/2034		1,000		988
6.500% due 09/01/2037		500		497
AT&T Mobility LLC
6.500% due 12/15/2011		50		54
BellSouth Corp.
4.750% due 11/15/2012		4,325		4,482
5.200% due 09/15/2014		300		313
5.200% due 12/15/2016		100		100
British Telecommunications PLC
5.150% due 01/15/2013		4,000		3,990
5.950% due 01/15/2018		1,500		1,354
9.125% due 12/15/2010		100		106
9.625% due 12/15/2030		2,000		2,221
Bruce Mansfield Unit
6.850% due 06/01/2034		99		77
CenturyTel, Inc.
8.375% due 10/15/2010		100		105
CMS Energy Corp.
2.081% due 01/15/2013		2,000		1,670
Consolidated Edison Co. of New York, Inc.
5.850% due 04/01/2018		1,800		1,894
6.650% due 04/01/2019		20,000		22,276
7.125% due 12/01/2018		11,500		13,085
Constellation Energy Group, Inc.
7.000% due 04/01/2012		100		103
Consumers Energy Co.
5.000% due 02/15/2012		100		102
5.375% due 04/15/2013		100		103
5.500% due 08/15/2016		6,780		6,860
6.700% due 09/15/2019		21,050		22,950
6.875% due 03/01/2018		3,534		3,827
Deutsche Telekom International Finance BV
4.875% due 07/08/2014		6,900		6,955
5.875% due 08/20/2013		24,633		25,869
6.000% due 07/08/2019		10,000		10,106
6.750% due 08/20/2018		25,128		26,711
8.500% due 06/15/2010		330		347
Dominion Resources, Inc.
1.664% due 06/17/2010		770		766
6.400% due 06/15/2018		5,950		6,290
Duke Energy Carolinas LLC
5.750% due 11/15/2013		5,000		5,383
6.450% due 10/15/2032		200		217
7.000% due 11/15/2018		4,000		4,671
Duke Energy Corp.
6.250% due 06/15/2018		6,000		6,315
6.300% due 02/01/2014		10,000		10,811
Duke Energy Ohio, Inc.
5.450% due 04/01/2019		12,700		13,237
EDF S.A.
5.500% due 01/26/2014		20,000		21,561
6.500% due 01/26/2019		28,150		30,882
Embarq Corp.
6.738% due 06/01/2013		2,500		2,526
7.082% due 06/01/2016		2,000		1,956
Energy East Corp.
6.750% due 07/15/2036		100		99
Entergy Gulf States, Inc.
4.875% due 11/01/2011		100		100
Entergy Louisiana LLC
5.560% due 09/01/2015		50		50
Entergy Texas, Inc.
7.125% due 02/01/2019		4,300		4,491
FirstEnergy Corp.
7.375% due 11/15/2031		4,800		4,539
Florida Power Corp.
5.650% due 06/15/2018		5,951		6,361
FPL Group Capital, Inc.
5.350% due 06/15/2013		400		425
7.875% due 12/15/2015		15,475		18,369
France Telecom S.A.
4.375% due 07/08/2014 (b)		4,300		4,307
8.500% due 03/01/2031		4,400		5,662
Illinois Power Co.
9.750% due 11/15/2018		688		793
Indiana Michigan Power Co.
7.000% due 03/15/2019		10,700		11,519
Indianapolis Power & Light Co.
6.300% due 07/01/2013		150		150
Ipalco Enterprises, Inc.
7.250% due 04/01/2016		150		144
Jersey Central Power & Light Co.
7.350% due 02/01/2019		2,100		2,312
Kentucky Power Co.
6.000% due 09/15/2017		200		201
Metropolitan Edison Co.
7.700% due 01/15/2019		4,500		4,930
Nevada Power Co.
6.500% due 05/15/2018		650		665
New Cingular Wireless Services, Inc.
8.125% due 05/01/2012		15,000		16,808
NGPL PipeCo. LLC
6.514% due 12/15/2012		17,442		18,301
7.119% due 12/15/2017		68,120		71,508
7.768% due 12/15/2037		3,000		3,284
Ohio Edison Co.
5.450% due 05/01/2015		100		98
Ohio Power Co.
0.775% due 04/05/2010		5,200		5,144
Oncor Electric Delivery Co.
6.375% due 05/01/2012		5,400		5,703
6.800% due 09/01/2018		22,300		23,867
7.000% due 09/01/2022		3,240		3,427
7.250% due 01/15/2033		3,000		3,271
Pacific Gas & Electric Co.
5.625% due 11/30/2017		500		530
8.250% due 10/15/2018		32,750		40,028
Pacificorp
5.500% due 01/15/2019		17,000		18,010
PG&E Corp.
5.750% due 04/01/2014		37,400		39,905
Progress Energy, Inc.
1.581% due 01/15/2010		5,000		4,986
6.850% due 04/15/2012		200		217
7.100% due 03/01/2011		94		100
PSEG Power LLC
6.950% due 06/01/2012		2,100		2,263
Public Service Co. of Colorado
5.800% due 08/01/2018		7,800		8,429
Public Service Co. of Oklahoma
6.150% due 08/01/2016		150		153
Public Service Electric & Gas Co.
5.300% due 05/01/2018		300		314
Qwest Communications International, Inc.
7.250% due 02/15/2011		200		195
Qwest Corp.
3.879% due 06/15/2013		100		90
6.500% due 06/01/2017		200		177
7.875% due 09/01/2011		550		553
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009		8		7
Ras Laffan Liquefied Natural Gas Co. Ltd. II
5.298% due 09/30/2020		4,200		3,869
Sierra Pacific Power Co.
6.000% due 05/15/2016		200		203
Southern California Edison Co.
5.000% due 01/15/2014		200		210
5.500% due 08/15/2018		12,000		12,752
Sprint Capital Corp.
6.900% due 05/01/2019		750		624
Telecom Italia Capital S.A.
1.508% due 02/01/2011		10,000		9,612
1.717% due 07/18/2011		1,900		1,817
4.000% due 01/15/2010		200		201
5.250% due 11/15/2013		4,300		4,222
5.250% due 10/01/2015		15,000		14,497
6.175% due 06/18/2014		29,900		30,279
6.200% due 07/18/2011		3,000		3,108
6.999% due 06/04/2018		11,000		11,145
7.175% due 06/18/2019		5,000		5,077
7.721% due 06/04/2038		6,520		6,653
Telefonica Emisiones SAU
1.346% due 02/04/2013		4,000		3,744
5.855% due 02/04/2013		15,000		15,829
5.984% due 06/20/2011		1,634		1,721
6.221% due 07/03/2017		12,600		13,350
6.421% due 06/20/2016		10,775		11,536
7.045% due 06/20/2036		12,800		14,215
TELUS Corp.
8.000% due 06/01/2011		30		32
Toledo Edison Co.
6.150% due 05/15/2037		200		189
7.250% due 05/01/2020		21,700		24,204
Verizon Communications, Inc.
6.100% due 04/15/2018		25,700		26,403
6.350% due 04/01/2019		18,700		19,486
8.750% due 11/01/2018		14,800		17,557
Verizon Global Funding Corp.
7.750% due 12/01/2030		200		224
Verizon New England, Inc.
6.500% due 09/15/2011		200		213
Verizon Wireless Capital LLC
3.316% due 05/20/2011		25,000		25,743
3.750% due 05/20/2011		10,000		10,211
5.550% due 02/01/2014		38,775		41,219
Virginia Electric and Power Co.
5.400% due 01/15/2016		500		522
5.400% due 04/30/2018		1,700		1,767
5.950% due 09/15/2017		300		323
Vodafone Group PLC
4.150% due 06/10/2014		6,000		5,914
5.450% due 06/10/2019		6,000		5,910
5.625% due 02/27/2017		11,000		11,188
7.750% due 02/15/2010		30		31
				1,109,257
Total Corporate Bonds & Notes (Cost $4,677,904)				4,879,329
MUNICIPAL BONDS & NOTES 1.1%
California State General Obligation Bonds, Series 2009
6.000% due 04/01/2038		14,500		14,520
7.500% due 04/01/2034		7,200		6,590
7.550% due 04/01/2039		2,000		1,823
California State General Obligation Notes, Series 2009
5.250% due 04/01/2014		3,000		2,949
5.450% due 04/01/2015		14,000		13,689
5.950% due 04/01/2016		5,000		4,878
Dallas, Texas Revenue Bonds, Series 2008
5.000% due 10/01/2037		4,600		4,606
Friendswood, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2008
5.000% due 02/15/2037		2,600		2,625
Louisiana State Revenue Bonds, Series 2009
3.000% due 05/01/2043		3,000		2,976
Miami-Dade County, Florida Revenue Bonds, (FSA Insured), Series 2008
5.000% due 10/01/2041		2,100		1,930
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2008
5.000% due 06/15/2037		3,800		3,733
Phoenix, Arizona Civic Improvement Corp. Revenue Bonds, Series 2008
5.000% due 07/01/2038		2,300		2,310
San Antonio, Texas Electricity & Gas Revenue Bonds, Series 2008
5.000% due 02/01/2032		2,000		2,006
San Francisco, California City & County Airports Commission Revenue Bonds, (MBIA Insured), Series 2002
5.000% due 05/01/2032		1,500		1,304
Total Municipal Bonds & Notes (Cost $66,804)				65,939
U.S. GOVERNMENT AGENCIES 13.5%
Fannie Mae
5.500% due 10/01/2035 - 07/01/2039		551,974		570,204
5.500% due 03/01/2038 (f)		15,521		16,041
6.000% due 07/01/2036 - 07/01/2039		184,103		192,443
Freddie Mac
0.888% due 02/01/2011 (f)		2,859		2,855
0.937% due 08/05/2011 (f)		206		206
5.500% due 07/01/2039		13,500		13,932
Total U.S. Government Agencies (Cost $791,528)				795,681
U.S. TREASURY OBLIGATIONS 0.2%
U.S. Treasury Notes
0.875% due 04/30/2011 (g)		10,924		10,896
Total U.S. Treasury Obligations (Cost $10,886)				10,896
MORTGAGE-BACKED SECURITIES 0.1%
Banc of America Commercial Mortgage, Inc.
5.492% due 02/10/2051		110		78
Bear Stearns Commercial Mortgage Securities
5.405% due 12/11/2040		280		250
Citigroup Commercial Mortgage Trust
5.888% due 12/10/2049		91		72
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.617% due 10/15/2048		200		163
5.886% due 11/15/2044		100		80
Countrywide Alternative Loan Trust
6.000% due 01/25/2037		151		83
Credit Suisse Mortgage Capital Certificates
5.467% due 09/15/2039		100		70
GS Mortgage Securities Corp. II
5.560% due 11/10/2039		2,500		2,046
LB-UBS Commercial Mortgage Trust
5.424% due 02/15/2040		200		146
Merrill Lynch Countrywide Commercial Mortgage Trust
5.700% due 09/12/2049		100		69
Merrill Lynch Mortgage Investors, Inc.
4.997% due 05/25/2033		72		69
Structured Adjustable Rate Mortgage Loan Trust
4.371% due 03/25/2034		90		70
Total Mortgage-Backed Securities (Cost $3,088)				3,196
ASSET-BACKED SECURITIES 0.5%
Chase Issuance Trust
2.129% due 09/15/2015		11,500		11,504
Ford Credit Auto Owner Trust
1.739% due 06/15/2012		800		803
1.939% due 05/15/2012		2,000		1,988
MBNA Credit Card Master Note Trust
0.359% due 05/15/2013		500		492
SLM Student Loan Trust
2.592% due 04/25/2023		16,600		16,951
Total Asset-Backed Securities (Cost $31,132)				31,738
SOVEREIGN ISSUES 0.5%
Croatia Government International Bond
2.500% due 07/30/2010		10		10
Korea Development Bank
4.750% due 07/20/2009		300		300
Mexico Government International Bond
5.950% due 03/19/2019		28,000		28,420
South Africa Government International Bond
7.375% due 04/25/2012		90		97
Total Sovereign Issues (Cost $28,173)				28,827
FOREIGN CURRENCY-DENOMINATED ISSUES 1.9%
American International Group, Inc.
4.000% due 09/20/2011	EUR	2,000		1,880
4.375% due 04/26/2016		2,000		1,461
4.875% due 03/15/2067		1,700		489
8.000% due 05/22/2038		2,000		631
8.625% due 05/22/2038	GBP	1,000		395
Barclays Bank PLC
14.000% due 11/29/2049		13,400		25,297
BAT International Finance PLC
3.625% due 06/29/2012	EUR	325		462
Bear Stearns Cos. LLC
1.445% due 09/26/2013		500		644
BNP Paribas S.A.
7.781% due 06/29/2049		7,000		7,610
Brazil Government International Bond
10.250% due 01/10/2028	BRL	7,000		3,537
Caisse Nationale des Caisses d’Epargne et de Prevoyance
5.250% due 07/30/2049	EUR	4,600		3,356
CIT Group, Inc.
4.250% due 09/22/2011		8,000		7,856
5.000% due 05/13/2014		2,000		1,529
5.500% due 12/01/2014	GBP	670		573
Citigroup Capital XVIII
6.829% due 06/28/2067		2,403		2,076
Citigroup, Inc.
1.305% due 06/28/2013	EUR	1,800		2,112
1.527% due 02/09/2016		1,000		1,046
Credit Logement S.A.
4.604% due 03/29/2049		300		194
Deutsche Telekom International Finance BV
8.125% due 05/29/2012		100		159
Fortis Bank S.A.
6.500% due 09/29/2049		9,000		9,848
General Electric Capital Corp.
5.500% due 09/15/2067		10,000		8,137
6.500% due 09/15/2067	GBP	500		514
Goldman Sachs Group, Inc.
1.665% due 02/04/2013	EUR	1,700		2,172
1.734% due 01/30/2017		1,100		1,269
HSBC Capital Funding LP
8.030% due 12/29/2049		100		118
HSBC Holdings PLC
5.375% due 12/20/2012		60		88
Intesa Sanpaolo SpA
8.047% due 06/29/2049		6,200		6,828
JPMorgan Chase & Co.
6.125% due 05/30/2017	GBP	3,550		5,586
Lehman Brothers Holdings, Inc.
1.150% due 10/26/2010 (a)	JPY	800,000		685
Morgan Stanley
1.570% due 11/29/2013	EUR	1,000		1,217
1.765% due 05/02/2014		2,000		2,415
MUFG Capital Finance 2 Ltd.
4.850% due 07/29/2049		400		398
MUFG Capital Finance 5 Ltd.
6.299% due 01/25/2049	GBP	710		835
RBS Capital Trust A
6.467% due 12/29/2049	EUR	325		207
Rogers Cable, Inc.
7.250% due 12/15/2011	CAD	50		47
Santander Perpetual S.A. Unipersonal
4.375% due 12/29/2049	EUR	1,000		1,031
SLM Corp.
1.477% due 12/15/2010		1,500		1,835
1.756% due 04/26/2011		1,279		1,484
Sumitomo Mitsui Banking Corp.
4.375% due 12/31/2049		350		373
Telefonica Europe BV
5.125% due 02/14/2013		325		482
Wachovia Corp.
1.465% due 08/01/2011		2,400		3,187
Total Foreign Currency-Denominated Issues (Cost $95,460)				110,063
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.2%
American International Group, Inc.
8.500% due 08/01/2011		15,100		144
Citigroup, Inc.
6.500% due 12/31/2049 (a)		25,000		839
Wells Fargo & Co.
7.500% due 12/31/2049		15,500		12,167
Total Convertible Preferred Stocks (Cost $11,497)				13,150
PREFERRED STOCKS 0.0%
Goldman Sachs Group, Inc.
3.750% due 12/31/2049		4,000		66
SLM Corp.
0.700% due 03/15/2017		21,400		271
Total Preferred Stocks (Cost $341)				337
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 4.9%
CERTIFICATES OF DEPOSIT 0.1%
Bank of Ireland
0.351% due 02/26/2010	$	1,100		1,081
UBS AG
1.547% due 07/01/2010		3,900		3,900
				4,981
COMMERCIAL PAPER 0.2%
Federal Home Loan Bank
0.097% due 07/01/2009		12,600		12,600
REPURCHASE AGREEMENTS 0.8%
Barclays Capital, Inc.
0.020% due 07/01/2009		35,000		35,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $36,231. Repurchase proceeds are $35,000.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		10,418		10,418
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/20/2009 valued at $10,628. Repurchase proceeds are $10,418.)
				45,418
U.S. TREASURY BILLS 0.2%
1.333% due 07/16/2009 - 07/23/2009 (d)(g)		11,696		11,695
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (e) 3.6%
		21,211,522		212,306
Total Short-Term Instruments (Cost $287,007)				287,000
PURCHASED OPTIONS (i) 0.0% (Cost $593)				1,430
Total Investments 105.7% (Cost $6,005,914)			$	6,229,050
Written Options (j) (0.0%) (Premiums $1,716)				(1,093	)
Other Assets and Liabilities (Net) (5.7%)				(333,176	)
Net Assets 100.0%			$	5,894,781

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

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

(a) Security is in default.

(b) When-Issued security.

(c) Payment in-kind bond security.

(d) Coupon represents a weighted average rate.

(e) Affiliated to the Fund.

(f) Securities with an aggregate market value of $3,067 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(g) Securities with an aggregate market value of $22,591 and cash of $4,677 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2010	100	$	(9	)
90-Day Euribor June Futures	Long	06/2011	1,573		(341	)
90-Day Euribor March Futures	Long	03/2011	1,404		21
90-Day Euribor September Futures	Long	09/2010	684		164
90-Day Euribor September Futures	Long	09/2011	130		(62	)
90-Day Eurodollar December Futures	Long	12/2010	6,170		714
90-Day Eurodollar March Futures	Long	03/2011	5,511		(2,436	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	5,303		(456	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2011	1,920		(2,787	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	3,894		(3,422	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2011	50		(99	)
				$	(8,713	)

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Abbey National PLC	BNP	(1.000	%)	12/20/2018	1.342	%	$	1,600	$	42		$	0		$	42
Altria Group, Inc.	BNP	(1.300	%)	12/20/2018	1.080	%		3,000		(52	)		0			(52	)
American Electric Power Co., Inc.	BCLY	(0.793	%)	06/20/2019	0.638	%		36,000		(465	)		0			(465	)
Black & Decker Corp.	BCLY	(2.250	%)	06/20/2014	1.650	%		4,000		(109	)		0			(109	)
Block Financial LLC	BOA	(1.550	%)	03/20/2013	0.709	%		10,000		(303	)		0			(303	)
Block Financial LLC	CSFB	(1.110	%)	03/20/2013	0.709	%		3,000		(44	)		0			(44	)
Cardinal Health, Inc.	BOA	(0.580	%)	06/20/2013	0.429	%		5,000		(29	)		0			(29	)
CenturyTel, Inc.	JPM	(0.355	%)	06/20/2010	0.382	%		100		0			0			0
CSX Corp.	BCLY	(1.440	%)	03/20/2018	0.775	%		5,370		(264	)		0			(264	)
CSX Corp.	BNP	(1.000	%)	03/20/2014	0.764	%		250		(2	)		3			(5	)
Daimler Finance N.A. LLC	GSC	(3.200	%)	06/20/2011	1.493	%		8,050		(272	)		0			(272	)
Dominion Resources, Inc.	BOA	(0.780	%)	06/20/2018	0.581	%		5,950		(91	)		0			(91	)
DR Horton, Inc.	BNP	(1.000	%)	03/20/2016	2.570	%		2,500		210			229			(19	)
DR Horton, Inc.	BNP	(1.000	%)	06/20/2016	2.553	%		5,000		428			328			100
DR Horton, Inc.	GSC	(1.000	%)	09/20/2014	2.710	%		1,500		113			81			32
Embarq Corp.	DUB	(1.000	%)	06/20/2013	0.981	%		2,500		(3	)		(6	)		3
Embarq Corp.	DUB	(1.000	%)	06/20/2016	1.054	%		2,000		6			(32	)		38
Freeport-McMoRan Corp.	GSC	(0.520	%)	09/20/2011	0.819	%		200		1			0			1
Humana, Inc.	BOA	(1.440	%)	06/20/2018	3.120	%		10,000		1,079			0			1,079
JSC Gazprom	UBS	(4.450	%)	09/27/2010	4.499	%		2,000		(10	)		0			(10	)
KB Home	BNP	(1.000	%)	06/20/2015	3.010	%		2,500		245			232			13
KB Home	DUB	(1.000	%)	03/20/2014	3.100	%		3,000		254			249			5
Ltd. Brands, Inc.	BNP	(1.000	%)	12/20/2014	1.000	%		2,500		192			193			(1	)
Marsh & McLennan Cos., Inc.	BOA	(0.900	%)	06/20/2019	0.603	%		2,000		(50	)		0			(50	)
Marsh & McLennan Cos., Inc.	CITI	(1.000	%)	09/20/2015	0.531	%		5,000		(134	)		(141	)		7
Morgan Stanley	BCLY	(4.000	%)	03/20/2014	2.105	%		2,600		(208	)		0			(208	)
Newell Rubbermaid, Inc.	BOA	(0.660	%)	06/20/2013	1.548	%		10,000		326			0			326
Pearson Dollar Finance Two PLC	BCLY	(0.770	%)	06/20/2018	0.560	%		2,000		(33	)		0			(33	)
Pulte Homes, Inc.	GSC	(1.000	%)	03/20/2013	2.468	%		13,000		641			721			(80	)
RR Donnelley & Sons Co.	BOA	(1.850	%)	03/20/2017	3.383	%		7,000		612			0			612
Ryder System, Inc.	CITI	(3.060	%)	03/20/2013	2.291	%		3,000		(81	)		0			(81	)
Ryland Group, Inc.	BCLY	(1.000	%)	06/20/2017	2.088	%		550		38			40			(2	)
Ryland Group, Inc.	RBS	(1.000	%)	06/20/2017	2.088	%		500		33			37			(4	)
The Dow Chemical Co.	CITI	(1.000	%)	06/20/2019	2.001	%		2,500		183			226			(43	)
									$	2,253		$	2,160		$	93

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American Express Co.	JPM	2.750	%	03/20/2014	2.335	%	$	3,000	$	53		$	0		$	53
American International Group, Inc.	CITI	1.550	%	03/20/2013	16.024	%		1,000		(354	)		0			(354	)
American International Group, Inc.	DUB	0.890	%	12/20/2012	16.302	%		100		(36	)		0			(36	)
American International Group, Inc.	DUB	0.900	%	12/20/2012	16.302	%		300		(108	)		0			(108	)
American International Group, Inc.	JPM	0.350	%	06/20/2010	17.388	%		50		(8	)		0			(8	)
American International Group, Inc.	JPM	2.062	%	03/20/2013	16.024	%		1,000		(341	)		0			(341	)
Berkshire Hathaway Finance Corp.	DUB	1.230	%	12/20/2013	2.398	%		5,000		(229	)		0			(229	)
Brazil Government International Bond	BCLY	2.300	%	12/20/2009	0.793	%		20,000		156			0			156
Brazil Government International Bond	CSFB	3.350	%	12/20/2009	0.793	%		25,000		326			0			326
Brazil Government International Bond	DUB	3.050	%	12/20/2009	0.793	%		15,000		173			0			173
Canadian Natural Resources Ltd.	DUB	5.000	%	06/20/2014	1.891	%		7,000		972			370			602
Citigroup, Inc.	BOA	5.000	%	09/20/2014	4.228	%		12,200		405			200			205
Citigroup, Inc.	MSC	0.280	%	09/20/2012	4.590	%		700		(85	)		0			(85	)
Comcast Corp.	BCLY	1.610	%	12/20/2013	1.522	%		7,000		28			0			28
Dominion Resources, Inc.	CITI	0.670	%	06/20/2015	0.570	%		100		1			0			1
Ford Motor Credit Co. LLC	DUB	4.700	%	09/20/2011	10.482	%		300		(32	)		0			(32	)
Ford Motor Credit Co. LLC	JPM	5.600	%	06/20/2010	11.315	%		100		(5	)		0			(5	)
Ford Motor Credit Co. LLC	JPM	2.650	%	03/20/2012	10.364	%		5,000		(835	)		0			(835	)
Freeport-McMoRan Copper & Gold, Inc.	CITI	1.000	%	06/20/2012	2.122	%		300		(9	)		0			(9	)
General Electric Capital Corp.	BCLY	0.630	%	12/20/2012	4.354	%		600		(68	)		0			(68	)
General Electric Capital Corp.	BCLY	4.450	%	12/20/2013	4.336	%		4,000		21			0			21
General Electric Capital Corp.	BCLY	5.000	%	06/20/2014	4.176	%		12,500		432			(1,000	)		1,432
General Electric Capital Corp.	BNP	4.750	%	12/20/2013	4.336	%		1,500		25			0			25
General Electric Capital Corp.	BNP	3.900	%	03/20/2014	4.336	%		10,000		(159	)		0			(159	)
General Electric Capital Corp.	BOA	5.000	%	06/20/2012	4.175	%		3,700		86			70			16
General Electric Capital Corp.	BOA	7.000	%	06/20/2013	4.342	%		4,800		439			0			439
General Electric Capital Corp.	CITI	1.310	%	03/20/2013	4.347	%		1,000		(97	)		0			(97	)
General Electric Capital Corp.	CITI	6.950	%	03/20/2013	4.347	%		2,425		206			0			206
General Electric Capital Corp.	CITI	4.200	%	03/20/2014	4.336	%		10,000		(42	)		0			(42	)
General Electric Capital Corp.	CITI	5.000	%	06/20/2014	4.176	%		25,000		864			1,085			(221	)
General Electric Capital Corp.	DUB	1.070	%	12/20/2012	4.354	%		4,000		(397	)		0			(397	)
General Electric Capital Corp.	DUB	4.750	%	12/20/2013	4.336	%		2,000		33			0			33
General Electric Capital Corp.	GSC	5.700	%	12/20/2013	4.336	%		5,000		260			0			260
General Electric Capital Corp.	MLP	0.300	%	06/20/2010	3.927	%		200		(7	)		0			(7	)
General Electric Capital Corp.	MSC	5.000	%	06/20/2014	4.176	%		12,500		432			(1,000	)		1,432
GMAC LLC	CSFB	3.740	%	09/20/2009	13.784	%		200		(2	)		0			(2	)
GMAC LLC	DUB	1.500	%	09/20/2009	13.784	%		500		(13	)		0			(13	)
GMAC LLC	JPM	1.840	%	06/20/2012	10.358	%		500		(98	)		0			(98	)
International Game Technology	CSFB	0.350	%	03/20/2010	1.354	%		200		(1	)		0			(1	)
MetLife, Inc.	DUB	2.073	%	03/20/2013	5.554	%		1,000		(107	)		0			(107	)
MetLife, Inc.	DUB	5.000	%	06/20/2014	5.352	%		9,000		(111	)		(90	)		(21	)
MetLife, Inc.	JPM	5.000	%	06/20/2014	5.352	%		6,000		(74	)		(36	)		(38	)
Mexico Government International Bond	DUB	2.300	%	12/20/2009	1.180	%		12,500		74			0			74
Mexico Government International Bond	DUB	2.400	%	12/20/2009	1.180	%		8,500		55			0			55
Mexico Government International Bond	DUB	2.950	%	12/20/2009	1.180	%		4,000		37			0			37
Mexico Government International Bond	JPM	3.030	%	12/20/2009	1.180	%		9,000		86			0			86
Pacific Gas & Electric Co.	BCLY	3.650	%	03/20/2014	1.529	%		8,000		737			0			737
Republic of Korea Government Bond	BCLY	3.350	%	12/20/2009	1.595	%		5,000		46			0			46
Republic of Korea Government Bond	JPM	3.430	%	12/20/2009	1.595	%		6,000		58			0			58
Republic of Korea Government Bond	JPM	3.800	%	12/20/2009	1.595	%		5,000		57			0			57
Republic of Korea Government Bond	RBS	3.650	%	12/20/2009	1.595	%		2,000		21			0			21
Republic of Korea Government Bond	UBS	3.850	%	12/20/2009	1.595	%		9,000		106			0			106
Rio Tinto Finance USA Ltd.	RBS	5.300	%	12/20/2013	2.275	%		5,000		613			0			613
SLM Corp.	BCLY	5.000	%	12/20/2013	8.248	%		4,000		(401	)		(690	)		289
SLM Corp.	BCLY	5.000	%	03/20/2014	8.214	%		5,000		(532	)		(525	)		(7	)
SLM Corp.	CITI	5.000	%	12/20/2013	8.248	%		10,000		(1,036	)		(1,050	)		14
SLM Corp.	DUB	5.000	%	03/20/2010	8.950	%		3,700		(97	)		(139	)		42
Transocean, Inc.	BCLY	2.900	%	12/20/2013	0.946	%		3,000		248			0			248
Vale Overseas Ltd.	MSC	0.700	%	12/20/2011	1.326	%		500		(7	)		0			(7	)
Wells Fargo & Co.	BCLY	1.000	%	03/20/2013	1.510	%		1,000		(20	)		(21	)		1
Wells Fargo & Co.	DUB	1.000	%	09/20/2013	1.476	%		5,000		(90	)		(125	)		35
Wells Fargo & Co.	MSC	1.000	%	03/20/2013	1.510	%		500		(8	)		(11	)		3
									$	1,641		$	(2,962	)	$	4,603

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	11.140	%	01/02/2012	GSC	BRL	250,000	$	188	$	499		$	(311	)
Pay	1-Year BRL-CDI	11.650	%	01/02/2012	HSBC		87,400		468		(33	)		501
Pay	1-Year BRL-CDI	11.670	%	01/02/2012	GSC		200,000		1,161		0			1,161
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	JPM	$	21,400		671		725			(54	)
Pay	6-Month EUR-LIBOR	5.000	%	09/17/2010	BCLY	EUR	8,000		560		(85	)		645
Pay	6-Month EUR-LIBOR	4.000	%	03/18/2014	GSC		5,700		465		(94	)		559
Pay	6-Month EUR-LIBOR	4.000	%	03/18/2014	JPM		44,000		3,587		265			3,322
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	RBS	GBP	300		23		(10	)		33
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	BCLY		49,000		5,520		(105	)		5,625
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	GSC		45,300		5,103		573			4,530
Pay	28-Day MXN TIIE	8.170	%	11/04/2016	GSC	MXN	5,800		9		9			0
Pay	28-Day MXN TIIE	8.660	%	01/31/2019	BCLY		243,800		628		200			428
Pay	28-Day MXN TIIE	8.660	%	01/31/2019	JPM		19,100		51		17			34
Pay	28-Day MXN TIIE	8.300	%	02/07/2019	BCLY		115,000		72		16			56
Pay	28-Day MXN TIIE	8.300	%	02/07/2019	BOA		85,000		54		40			14
								$	18,560	$	2,017		$	16,543

(i) Purchased options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009	$	5,200	$	52	$	335
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		5,700		53		367
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	5.000	%	08/28/2009		3,400		34		219
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.500	%	08/03/2009		8,000		83		295
									$	222	$	1,216

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC EUR versus USD	$	1.375	05/21/2010	EUR	200	$	10	$	17
Put - OTC EUR versus USD		1.375	05/21/2010		200		10		12
Call - OTC EUR versus USD		1.372	06/03/2010		100		5		9
Put - OTC EUR versus USD		1.372	06/03/2010		100		5		6
Call - OTC USD versus JPY	JPY	106.000	03/31/2010	$	18,300		341		170
						$	371	$	214

(j) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	18	$	5	$	1
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	141		23		7
					$	28	$	8

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009	$	155,000	$	1,356	$	861
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	1.750	%	08/21/2009		3,000		7		11
									$	1,363	$	872

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC USD versus JPY	JPY	80.000	03/31/2010	$	18,300	$	325	$	213

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.500	%	07/01/2039	$	6,500	$	6,716	$	6,708
Fannie Mae	6.000	%	07/01/2039		5,000		5,186		5,226
						$	11,902	$	11,934

(l) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	BCLY	208	07/2009	$	0	$	(2	)	$	(2	)
Sell		DUB	14,264	07/2009		0		(131	)		(131	)
Buy		GSC	9,475	07/2009		178		0			178
Buy	BRL	CITI	666	08/2009		6		0			6
Buy		HSBC	55,497	08/2009		37		0			37
Sell		HSBC	218	08/2009		0		(11	)		(11	)
Buy	CLP	CITI	27,495	11/2009		4		0			4
Buy	CNY	BCLY	3,437	07/2009		0		(29	)		(29	)
Sell		BCLY	37,702	07/2009		0		(105	)		(105	)
Buy		DUB	8,959	07/2009		0		(76	)		(76	)
Buy		HSBC	9,794	07/2009		0		(66	)		(66	)
Buy		JPM	15,512	07/2009		0		(127	)		(127	)
Buy		CITI	689	09/2009		1		0			1
Sell		DUB	689	09/2009		0		(3	)		(3	)
Buy		BOA	92,325	03/2010		0		(139	)		(139	)
Sell	EUR	BCLY	45,571	07/2009		0		(343	)		(343	)
Buy		HSBC	431	07/2009		4		0			4
Buy	GBP	BCLY	1,243	07/2009		23		0			23
Sell		BCLY	11,945	07/2009		18		(222	)		(204	)
Sell		CITI	21,522	07/2009		0		(2,109	)		(2,109	)
Buy		GSC	1,385	07/2009		0		(3	)		(3	)
Sell		GSC	6,119	07/2009		20		(103	)		(83	)
Buy		JPM	20,105	07/2009		162		0			162
Sell		RBC	1,385	07/2009		0		(23	)		(23	)
Sell		MSC	18,238	08/2009		125		0			125
Sell		RBS	2,688	08/2009		0		(2	)		(2	)
Buy	JPY	BNP	553,783	07/2009		6		0			6
Buy		MSC	553,783	08/2009		0		0			0
Sell	MXN	BCLY	389	11/2009		0		0			0
Sell		BOA	657	11/2009		0		0			0
Sell		CITI	2,881	11/2009		0		(21	)		(21	)
Buy		JPM	304	11/2009		0		0			0
Buy	MYR	BCLY	2,903	08/2009		7		0			7
Sell		HSBC	2,903	08/2009		0		(29	)		(29	)
Buy	PHP	CITI	38,693	08/2009		1		(4	)		(3	)
Sell		DUB	38,693	08/2009		0		0			0
Buy	SGD	CITI	250	07/2009		2		0			2
Sell		DUB	568	07/2009		0		(13	)		(13	)
Buy		HSBC	101	07/2009		0		0			0
Buy		JPM	217	07/2009		6		0			6
Buy	TWD	BCLY	209	08/2009		0		0			0
Buy		CITI	73	08/2009		0		0			0
Buy		DUB	95	08/2009		0		0			0
Buy		JPM	194	08/2009		0		0			0
Buy	ZAR	BCLY	153	11/2009		4		0			4
					$	604	$	(3,561	)	$	(2,957	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0		$	4,878,618		$	711	$	4,879,329
U.S. Government Agencies		0			795,681			0		795,681
Other Investments++		225,456			328,584			0		554,040
Investments, at value	$	225,456		$	6,002,883		$	711	$	6,229,050
Short Sales, at value	$	0		$	(11,934	)	$	0	$	(11,934	)
Financial Derivative Instruments+++	$	(8,713	)	$	17,189		$	0	$	8,476
Total	$	216,743		$	6,008,138		$	711	$	6,225,592

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	240	$	0	$	0	$	0	$	471	$	711
Investments, at value	$	0	$	240	$	0	$	0	$	0	$	471	$	711
Financial Derivative Instruments+++	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Total	$	0	$	240	$	0	$	0	$	0	$	471	$	711

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Long Duration Total Return Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.0%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	982	$	915
Total Bank Loan Obligations (Cost $952)				915
CORPORATE BONDS & NOTES 45.9%
BANKING & FINANCE 18.6%
ABX Financing Co.
6.350% due 10/15/2036		10,490		10,491
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		735		351
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		100		104
American Express Bank FSB
6.000% due 09/13/2017		200		183
American Express Co.
5.500% due 09/12/2016		300		273
6.150% due 08/28/2017		1,800		1,663
8.150% due 03/19/2038		10,500		11,118
American General Finance Corp.
3.875% due 10/01/2009		240		229
5.625% due 08/17/2011		475		304
6.900% due 12/15/2017		200		108
American International Group, Inc.
1.094% due 01/29/2010		1,400		1,194
4.700% due 10/01/2010		295		240
5.050% due 10/01/2015		2,000		1,081
5.850% due 01/16/2018		3,000		1,589
6.250% due 05/01/2036		7,080		3,043
6.250% due 03/15/2037		2,300		604
8.175% due 05/15/2058		3,400		971
8.250% due 08/15/2018		1,900		1,120
ANZ National International Ltd.
1.014% due 08/07/2009		500		500
Bank of America Corp.
1.127% due 11/06/2009		100		100
1.213% due 08/15/2016		100		79
5.650% due 05/01/2018		3,300		2,921
5.750% due 12/01/2017		1,550		1,382
6.000% due 09/01/2017		200		182
Bank of America N.A.
6.000% due 10/15/2036		17,990		14,444
Bank One Corp.
7.625% due 10/15/2026		95		99
8.000% due 04/29/2027		100		108
Barclays Bank PLC
6.050% due 12/04/2017		1,100		955
7.434% due 09/29/2049		3,700		2,482
10.179% due 06/12/2021		4,560		4,874
Bear Stearns Cos. LLC
0.842% due 08/21/2009		700		701
0.854% due 11/28/2011		100		98
1.093% due 08/15/2011		100		97
1.269% due 01/31/2011		2,200		2,176
1.392% due 07/16/2009		400		400
7.250% due 02/01/2018		3,000		3,167
Berkshire Hathaway Finance Corp.
5.400% due 05/15/2018		230		237
BNP Paribas
1.096% due 06/04/2010		2,300		2,290
5.186% due 06/29/2049		7,000		4,561
Caterpillar Financial Services Corp.
1.354% due 06/24/2011		8,400		8,301
Chubb Corp.
6.500% due 05/15/2038		200		217
CIT Group, Inc.
0.974% due 08/17/2009		400		389
Citigroup Capital XXI
8.300% due 12/21/2077		100		78
Citigroup Funding, Inc.
1.351% due 10/22/2009		100		100
2.036% due 05/07/2010		3,300		3,233
Citigroup, Inc.
0.631% due 12/28/2009		1,600		1,585
1.004% due 05/18/2010		100		98
5.500% due 04/11/2013		500		469
5.850% due 12/11/2034		220		171
5.875% due 05/29/2037		500		391
6.000% due 08/15/2017		3,700		3,230
6.125% due 08/25/2036		2,750		2,051
6.625% due 06/15/2032		4,250		3,490
6.875% due 03/05/2038		21,600		19,109
8.400% due 04/29/2049 (a)		5,330		4,005
ConocoPhillips Canada Funding Co. I
5.950% due 10/15/2036		2,700		2,731
Countrywide Financial Corp.
5.800% due 06/07/2012		300		302
Credit Agricole S.A.
0.714% due 05/28/2010		200		199
6.637% due 05/29/2049		5,800		3,412
Credit Suisse New York
6.000% due 02/15/2018		3,800		3,800
Credit Suisse USA, Inc.
0.395% due 11/20/2009		2,200		2,198
0.865% due 11/20/2009		2,400		2,398
6.125% due 11/15/2011		100		107
Fifth Third Bancorp
6.250% due 05/01/2013		255		251
General Electric Capital Corp.
0.953% due 08/15/2011		100		95
1.016% due 05/10/2010		100		99
1.478% due 02/01/2011		100		97
5.875% due 01/14/2038		37,650		29,850
6.150% due 08/07/2037		255		210
6.375% due 11/15/2067		6,150		4,109
6.750% due 03/15/2032		7,180		6,456
6.875% due 01/10/2039		21,600		19,477
Goldman Sachs Group, Inc.
0.701% due 06/28/2010		1,900		1,887
1.187% due 02/06/2012		500		478
5.300% due 02/14/2012		380		394
5.750% due 10/01/2016		200		196
5.950% due 01/18/2018		1,500		1,457
6.125% due 02/15/2033		3,900		3,647
6.150% due 04/01/2018		7,600		7,411
6.250% due 09/01/2017		15,300		15,162
6.450% due 05/01/2036		900		765
6.750% due 10/01/2037		6,885		6,131
HBOS PLC
6.750% due 05/21/2018		8,500		6,426
HSBC Bank USA N.A.
5.625% due 08/15/2035		400		358
5.875% due 11/01/2034		230		214
7.000% due 01/15/2039		16,700		17,687
HSBC Capital Funding LP
4.610% due 12/29/2049		600		423
HSBC Finance Corp.
1.206% due 05/10/2010		1,000		974
5.700% due 06/01/2011		400		404
HSBC Holdings PLC
6.500% due 05/02/2036		2,040		1,996
6.500% due 09/15/2037		7,900		7,656
6.800% due 06/01/2038		2,800		2,819
John Deere Capital Corp.
1.400% due 06/10/2011		11,700		11,619
JPMorgan Chase & Co.
0.964% due 05/16/2011		100		97
6.000% due 01/15/2018		2,000		1,990
6.400% due 05/15/2038		18,505		18,588
7.900% due 04/29/2049		2,900		2,545
JPMorgan Chase Capital XV
5.875% due 03/15/2035		17,000		13,633
JPMorgan Chase Capital XVIII
6.950% due 08/17/2036		11,500		9,710
JPMorgan Chase Capital XX
6.550% due 09/15/2066		1,710		1,362
JPMorgan Chase Capital XXII
6.450% due 01/15/2087		7,550		6,049
Lehman Brothers Holdings, Inc.
7.000% due 09/27/2027 (a)		1,200		183
Lincoln National Corp.
6.300% due 10/09/2037		400		289
Merrill Lynch & Co., Inc.
0.892% due 09/09/2009		100		100
0.996% due 08/14/2009		200		200
1.236% due 02/05/2010		100		99
1.292% due 07/25/2011		300		278
6.050% due 08/15/2012		335		336
6.110% due 01/29/2037		200		155
6.400% due 08/28/2017		10,900		9,664
6.875% due 04/25/2018		8,400		7,787
7.750% due 05/14/2038		400		372
MetLife, Inc.
5.700% due 06/15/2035		7,400		6,476
Metropolitan Life Global Funding I
0.894% due 05/17/2010		1,500		1,488
Monumental Global Funding Ltd.
5.500% due 04/22/2013		100		97
Morgan Stanley
1.221% due 01/15/2010		300		298
1.357% due 01/18/2011		300		291
1.411% due 01/15/2010		200		198
3.006% due 05/14/2010		3,300		3,291
5.550% due 04/27/2017		200		186
5.625% due 01/09/2012		575		589
6.250% due 08/28/2017		14,000		13,567
6.625% due 04/01/2018		10,100		10,085
7.250% due 04/01/2032		2,100		2,089
National Australia Bank Ltd.
0.688% due 09/11/2009		200		200
National City Bank
5.800% due 06/07/2017		380		362
6.200% due 12/15/2011		250		257
National Rural Utilities Cooperative Finance Corp.
8.000% due 03/01/2032		520		585
PNC Funding Corp.
5.500% due 09/28/2012		130		132
PNC Preferred Funding Trust I
8.700% due 03/29/2049		200		164
Prudential Financial, Inc.
6.625% due 12/01/2037		1,000		868
Rabobank Nederland NV
11.000% due 12/29/2049		4,875		5,437
RBS Capital Trust II
6.425% due 12/29/2049		9,690		4,660
Resona Bank Ltd.
5.850% due 09/29/2049		100		76
Royal Bank of Scotland Group PLC
7.648% due 08/29/2049		2,850		1,413
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		13,000		9,634
SLM Corp.
1.232% due 07/27/2009		100		100
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		500		461
SunTrust Banks, Inc.
6.000% due 09/11/2017		505		458
TransCapitalInvest Ltd. for OJSC AK Transneft
8.700% due 08/07/2018		5,400		5,205
UBS AG
5.750% due 04/25/2018		7,900		7,207
5.875% due 12/20/2017		100		93
UBS Preferred Funding Trust V
6.243% due 05/29/2049		4,200		2,481
Wachovia Bank N.A.
1.806% due 05/14/2010		3,400		3,401
5.850% due 02/01/2037		1,050		928
6.600% due 01/15/2038		22,300		21,780
Wachovia Corp.
0.718% due 12/01/2009		1,800		1,797
5.500% due 08/01/2035		160		124
5.625% due 10/15/2016		100		96
Wells Fargo & Co.
5.375% due 02/07/2035		100		88
5.625% due 12/11/2017		2,000		1,972
7.980% due 03/29/2049		3,200		2,660
Wells Fargo Bank N.A.
5.950% due 08/26/2036		12,400		11,118
Wells Fargo Capital X
5.950% due 12/15/2036		2,000		1,484
Wells Fargo Capital XIII
7.700% due 12/29/2049		4,935		4,099
				488,763
INDUSTRIALS 13.5%
Altria Group, Inc.
9.950% due 11/10/2038		1,055		1,220
10.200% due 02/06/2039		600		710
Amgen, Inc.
6.150% due 06/01/2018		4,900		5,335
6.375% due 06/01/2037		6,600		7,040
6.400% due 02/01/2039		2,825		3,011
6.900% due 06/01/2038		300		341
Anadarko Petroleum Corp.
6.450% due 09/15/2036		7,025		6,326
Anheuser-Busch Cos., Inc.
6.450% due 09/01/2037		500		467
Apache Corp.
6.000% due 01/15/2037		6,000		6,365
AstraZeneca PLC
6.450% due 09/15/2037		5,485		6,095
Barrick Gold Corp.
5.800% due 11/15/2034		10		9
Baxter International, Inc.
6.250% due 12/01/2037		1,780		1,958
Burlington Northern Santa Fe Corp.
6.150% due 05/01/2037		450		450
6.200% due 08/15/2036		500		510
Canadian National Railway Co.
6.375% due 11/15/2037		400		439
Canadian Natural Resources Ltd.
5.850% due 02/01/2035		2,090		1,972
6.250% due 03/15/2038		1,300		1,301
6.450% due 06/30/2033		100		101
6.500% due 02/15/2037		250		250
6.750% due 02/01/2039		5,125		5,364
Caterpillar, Inc.
6.050% due 08/15/2036		4,940		4,721
CODELCO, Inc.
7.500% due 01/15/2019		200		232
Colorado Interstate Gas Co.
6.850% due 06/15/2037		1,300		1,205
Comcast Corp.
6.400% due 05/15/2038		1,070		1,050
6.450% due 03/15/2037		300		296
6.550% due 07/01/2039		5,500		5,503
6.950% due 08/15/2037		800		836
7.050% due 03/15/2033		10,990		11,720
Conoco Funding Co.
7.250% due 10/15/2031		10		11
Covidien International Finance S.A.
6.550% due 10/15/2037		500		555
Cox Communications, Inc.
6.450% due 12/01/2036		300		272
CSX Corp.
6.150% due 05/01/2037		800		745
7.450% due 04/01/2038		4,200		4,556
CVS Caremark Corp.
0.968% due 06/01/2010		100		99
CVS Pass-Through Trust
6.036% due 12/10/2028		155		133
Daimler Finance North America LLC
8.500% due 01/18/2031		8,141		8,577
Devon Energy Corp.
7.950% due 04/15/2032		5,500		6,570
Devon Financing Corp. ULC
7.875% due 09/30/2031		3,755		4,429
Eli Lilly & Co.
5.550% due 03/15/2037		35		35
Enbridge Energy Partners LP
6.300% due 12/15/2034		900		719
EnCana Corp.
6.500% due 08/15/2034		1,850		1,883
6.500% due 02/01/2038		8,350		8,574
6.625% due 08/15/2037		1,600		1,660
Energy Transfer Partners LP
6.625% due 10/15/2036		1,300		1,273
7.500% due 07/01/2038		1,200		1,262
Enterprise Products Operating LLC
5.750% due 03/01/2035		600		522
EOG Resources, Inc.
5.875% due 09/15/2017		1,900		2,024
Gaz Capital S.A.
7.288% due 08/16/2037		5,100		3,854
8.625% due 04/28/2034		510		498
Georgia-Pacific LLC
7.750% due 11/15/2029		80		63
GlaxoSmithKline Capital, Inc.
5.375% due 04/15/2034		4,100		3,890
6.375% due 05/15/2038		11,700		12,749
HCA, Inc.
9.250% due 11/15/2016		100		99
Hess Corp.
7.300% due 08/15/2031		1,300		1,344
Hewlett-Packard Co.
0.778% due 03/01/2012		100		99
International Business Machines Corp.
8.000% due 10/15/2038		1,100		1,427
KeySpan Corp.
5.803% due 04/01/2035		120		100
Kinder Morgan Energy Partners LP
5.800% due 03/15/2035		4,450		3,763
6.500% due 02/01/2037		700		640
6.950% due 01/15/2038		15,060		14,615
7.300% due 08/15/2033		3,000		2,886
7.400% due 03/15/2031		300		293
Kraft Foods, Inc.
1.456% due 08/11/2010		600		595
6.500% due 11/01/2031		530		527
6.875% due 02/01/2038		900		954
7.000% due 08/11/2037		900		952
Kroger Co.
7.500% due 04/01/2031		200		231
Lockheed Martin Corp.
7.750% due 05/01/2026		7		8
Marathon Oil Corp.
6.600% due 10/01/2037		900		872
McDonald’s Corp.
5.700% due 02/01/2039		55		55
Merck & Co., Inc.
5.750% due 11/15/2036		55		55
5.850% due 06/30/2039		5,300		5,456
Monsanto Co.
5.875% due 04/15/2038		100		102
News America, Inc.
6.200% due 12/15/2034		300		257
Norfolk Southern Corp.
7.050% due 05/01/2037		2,300		2,542
7.250% due 02/15/2031		220		241
Novartis Securities Investment Ltd.
5.125% due 02/10/2019		2,500		2,562
Nucor Corp.
6.400% due 12/01/2037		3,000		3,090
ONEOK Partners LP
6.850% due 10/15/2037		4,600		4,381
Oracle Corp.
6.125% due 07/08/2039 (b)		2,400		2,384
6.500% due 04/15/2038		4,200		4,483
Pemex Project Funding Master Trust
6.625% due 06/15/2035		520		472
6.625% due 06/15/2038		100		87
Petro-Canada
5.950% due 05/15/2035		300		271
Pfizer, Inc.
7.200% due 03/15/2039		14,800		17,609
Philip Morris International, Inc.
6.375% due 05/16/2038		4,200		4,478
Plains All American Pipeline LP
6.650% due 01/15/2037		700		651
Reynolds American, Inc.
7.250% due 06/15/2037		700		579
Roche Holdings, Inc.
7.000% due 03/01/2039		16,000		18,587
Rockies Express Pipeline LLC
6.850% due 07/15/2018		200		212
7.500% due 07/15/2038		3,100		3,354
Rohm & Haas Co.
6.000% due 09/15/2017		100		90
Siemens Financieringsmaatschappij NV
0.956% due 08/14/2009		300		300
6.125% due 08/17/2026		7,160		7,296
Suncor Energy, Inc.
6.500% due 06/15/2038		2,800		2,642
6.850% due 06/01/2039		12,500		12,318
Target Corp.
6.500% due 10/15/2037		1,600		1,622
7.000% due 01/15/2038		15,640		16,702
Tennessee Gas Pipeline Co.
7.625% due 04/01/2037		150		153
Teva Pharmaceutical Finance LLC
6.150% due 02/01/2036		1,000		1,034
Time Warner Cable, Inc.
6.550% due 05/01/2037		7,050		6,774
7.300% due 07/01/2038		2,825		2,949
Time Warner, Inc.
1.150% due 11/13/2009		200		200
5.875% due 11/15/2016		100		99
6.500% due 11/15/2036		100		88
7.700% due 05/01/2032		70		69
TransCanada Pipelines Ltd.
6.200% due 10/15/2037		400		410
7.250% due 08/15/2038		8,100		9,232
7.625% due 01/15/2039		10,200		11,930
Transocean, Inc.
6.800% due 03/15/2038		1,300		1,394
Union Pacific Corp.
6.150% due 05/01/2037		400		370
United Technologies Corp.
6.125% due 07/15/2038		3,500		3,807
UnitedHealth Group, Inc.
6.625% due 11/15/2037		7,800		7,006
6.875% due 02/15/2038		1,800		1,669
UST, Inc.
5.750% due 03/01/2018		600		548
Vale Overseas Ltd.
6.875% due 11/21/2036		110		105
Valero Energy Corp.
7.500% due 04/15/2032		1,350		1,294
Viacom, Inc.
6.875% due 04/30/2036		750		692
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		2,100		2,261
6.500% due 08/15/2037		11,000		12,317
XTO Energy, Inc.
6.100% due 04/01/2036		1,520		1,476
6.375% due 06/15/2038		800		819
6.750% due 08/01/2037		5,350		5,596
Yum! Brands, Inc.
6.875% due 11/15/2037		100		101
				354,456
UTILITIES 13.8%
AEP Texas Central Co.
6.650% due 02/15/2033		1,800		1,749
Alabama Power Co.
6.125% due 05/15/2038		5,400		5,806
Appalachian Power Co.
6.700% due 08/15/2037		2,510		2,511
AT&T Corp.
8.000% due 11/15/2031		35,270		40,785
AT&T, Inc.
6.300% due 01/15/2038		13,600		13,170
6.400% due 05/15/2038		600		589
6.500% due 09/01/2037		450		447
BellSouth Corp.
6.550% due 06/15/2034		365		359
British Telecommunications PLC
9.625% due 12/15/2030		730		811
Carolina Power & Light Co.
6.300% due 04/01/2038		800		880
Columbus Southern Power Co.
5.850% due 10/01/2035		100		91
6.600% due 03/01/2033		65		65
Consolidated Edison Co. of New York, Inc.
6.750% due 04/01/2038		13,890		15,626
Deutsche Telekom International Finance BV
8.750% due 06/15/2030		27,627		32,401
9.250% due 06/01/2032		3,700		4,546
Duke Energy Carolinas LLC
6.000% due 01/15/2038		4,500		4,744
6.050% due 04/15/2038		2,000		2,123
6.450% due 10/15/2032		3,080		3,335
Duke Energy Indiana, Inc.
6.450% due 04/01/2039		700		786
Duke Energy Ohio, Inc.
5.400% due 06/15/2033		110		91
EDF S.A.
5.500% due 01/26/2014		100		108
6.500% due 01/26/2019		100		110
6.950% due 01/26/2039		11,520		12,977
Embarq Corp.
7.082% due 06/01/2016		5,000		4,889
Enel Finance International S.A.
6.800% due 09/15/2037		1,500		1,560
Entergy Gulf States, Inc.
1.068% due 12/01/2009		60		60
Exelon Generation Co. LLC
6.200% due 10/01/2017		600		598
FirstEnergy Corp.
7.375% due 11/15/2031		2,350		2,222
Florida Power & Light Co.
5.625% due 04/01/2034		100		102
5.850% due 02/01/2033		60		63
5.950% due 02/01/2038		200		214
5.960% due 04/01/2039		5,000		5,376
Florida Power Corp.
6.350% due 09/15/2037		200		221
6.400% due 06/15/2038		1,300		1,449
France Telecom S.A.
8.500% due 03/01/2031		10,475		13,479
Georgia Power Co.
5.950% due 02/01/2039		3,000		3,153
MidAmerican Energy Holdings Co.
6.125% due 04/01/2036		1,330		1,318
6.500% due 09/15/2037		7,200		7,489
NGPL PipeCo. LLC
7.119% due 12/15/2017		200		210
7.768% due 12/15/2037		12,100		13,246
Ohio Power Co.
6.000% due 06/01/2016		20		20
6.600% due 02/15/2033		30		30
Oncor Electric Delivery Co.
7.000% due 09/01/2022		3,450		3,649
Pacific Gas & Electric Co.
5.800% due 03/01/2037		1,000		1,007
6.050% due 03/01/2034		10,770		11,198
6.250% due 03/01/2039		4,100		4,392
6.350% due 02/15/2038		12,900		13,987
Pacificorp
5.750% due 04/01/2037		60		61
6.000% due 01/15/2039		2,040		2,143
6.100% due 08/01/2036		60		64
6.250% due 10/15/2037		105		115
Progress Energy, Inc.
7.750% due 03/01/2031		4,500		5,297
PSEG Power LLC
8.625% due 04/15/2031		300		354
Public Service Co. of Colorado
6.250% due 09/01/2037		235		258
6.500% due 08/01/2038		5,200		5,912
Public Service Electric & Gas Co.
5.800% due 05/01/2037		145		150
Qwest Corp.
7.500% due 06/15/2023		100		80
7.625% due 06/15/2015		100		94
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		850		716
Sierra Pacific Power Co.
6.750% due 07/01/2037		3,600		3,717
Southern California Edison Co.
5.550% due 01/15/2037		400		401
5.625% due 02/01/2036		2,000		2,027
5.950% due 02/01/2038		7,710		8,177
6.000% due 01/15/2034		3,800		4,040
6.050% due 03/15/2039		2,900		3,120
Sprint Capital Corp.
8.750% due 03/15/2032		1,900		1,539
Telecom Italia Capital S.A.
7.200% due 07/18/2036		2,880		2,798
7.721% due 06/04/2038		2,200		2,245
Telefonica Emisiones SAU
7.045% due 06/20/2036		7,100		7,885
Telefonica Europe BV
8.250% due 09/15/2030		245		304
Verizon Communications, Inc.
5.850% due 09/15/2035		3,062		2,854
6.900% due 04/15/2038		15,900		16,623
7.350% due 04/01/2039		8,300		9,064
8.950% due 03/01/2039		6,400		8,099
Verizon Global Funding Corp.
7.750% due 12/01/2030		500		559
Virginia Electric and Power Co.
6.000% due 01/15/2036		20		21
6.000% due 05/15/2037		5,100		5,278
6.350% due 11/30/2037		3,600		3,876
8.875% due 11/15/2038		12,750		17,125
Vodafone Group PLC
6.150% due 02/27/2037		11,910		11,744
				360,782
Total Corporate Bonds & Notes (Cost $1,174,806)				1,204,001
MUNICIPAL BONDS & NOTES 2.0%
Anaheim, California Public Financing Authority Revenue Bonds, (MBIA Insured), Series 2007
4.750% due 02/01/2039		2,700		2,346
Austin Trust Various States Revenue Bonds, (FSA Insured), Series 2008
7.578% due 10/01/2041		1,050		880
Badger, Wisconsin Tobacco Asset Securitization Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2017		500		554
California State Educational Facilities Authority Revenue Bonds, Series 2007
4.750% due 10/01/2037		2,900		2,673
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2037		300		252
California State General Obligation Bonds, Series 2008
5.125% due 08/01/2036		3,900		3,368
Chicago, Illinois Transit Authority Revenue Bonds, Series 2008
6.899% due 12/01/2040		600		642
Colorado State Health Facilities Authority Revenue Bonds, (FSA Insured), Series 2006
5.000% due 09/01/2036		2,400		2,358
Connecticut State General Obligation Bonds, Series 2008
5.850% due 03/15/2032		1,100		1,107
Dallas, Texas Area Rapid Transit Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 12/01/2036		2,500		2,492
Dallas, Texas Area Rapid Transit Revenue Bonds, Series 2009
6.249% due 12/01/2034		6,600		6,672
Detroit, Michigan Revenue Bonds, (FSA Insured), Series 2006
5.000% due 07/01/2029		250		241
Golden State, California Tobacco Securitization Corp. Revenue Bonds, (FGIC Insured), Series 2005
5.000% due 06/01/2038		300		251
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047		200		120
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
5.600% due 06/01/2034		150		101
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2023		100		95
4.500% due 07/01/2024		1,300		1,229
New Jersey State Turnpike Authority Revenue Bonds, Series 2009
7.414% due 01/01/2040		8,600		10,024
New York State JPMorgan Chase Putters/Drivers Trust Revenue Bonds, Series 2008
9.847% due 06/15/2031		2,000		2,111
New York State Urban Development Corp. Revenue Bonds, Series 2008
5.000% due 12/15/2027		1,000		1,023
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		400		226
Phoenix, Arizona Civic Improvement Corp. Revenue Bonds, Series 2008
5.000% due 07/01/2038		2,300		2,310
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		800		41
San Francisco, California City & County Airports Commission Revenue Bonds, (MBIA Insured), Series 2002
5.000% due 05/01/2032		1,600		1,391
Texas State General Obligation Bonds, Series 2007
5.000% due 04/01/2037		800		799
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		100		95
Texas State JPMorgan Chase Putters/Drivers Trust General Obligation Bonds, (PSF-GTD Insured), Series 2008
9.798% due 02/15/2031		1,300		1,464
Texas State JPMorgan Chase Putters/Drivers Trust Revenue Bonds, Series 2008
9.813% due 02/01/2027		1,000		1,096
9.902% due 10/01/2031		2,400		2,663
University of California Revenue Bonds, (FSA-CR/FGIC Insured), Series 2007
5.000% due 05/15/2041		800		754
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		2,400		1,613
Wisconsin State Public Power, Inc. Revenue Bonds, (FSA Insured), Series 2008
5.000% due 07/01/2037		2,590		2,533
Total Municipal Bonds & Notes (Cost $49,620)				53,524
U.S. GOVERNMENT AGENCIES 36.7%
Fannie Mae
0.000% due 06/01/2017 - 03/23/2028		57,600		40,338
0.374% due 07/25/2037		236		209
0.444% due 03/25/2036		77		67
0.514% due 10/27/2037		2,400		2,186
0.714% due 09/25/2032		199		189
0.814% due 02/25/2032		18		18
2.638% due 06/01/2043		585		584
3.992% due 12/01/2033		126		128
4.000% due 02/25/2019		100		99
4.300% due 08/18/2010		10		10
4.500% due 04/01/2019 - 07/01/2039		2,071		2,090
4.600% due 06/05/2018		5,900		6,055
4.631% due 05/25/2035		4,185		4,181
4.875% due 12/15/2016		11,800		12,777
4.885% due 09/01/2035		166		170
5.000% due 02/13/2017 - 07/01/2039		24,621		25,659
5.000% due 11/01/2033 (g)		64,104		65,668
5.346% due 11/01/2035		389		407
5.500% due 06/01/2023 - 07/01/2039		213,982		221,159
5.500% due 11/01/2036 (i)		2,842		2,939
5.625% due 04/17/2028 - 07/15/2037		75,555		80,004
5.750% due 04/12/2022		4,600		4,670
5.800% due 02/09/2026		500		518
5.900% due 07/25/2042		31		32
6.000% due 10/25/2021 - 10/01/2038		24,831		26,041
6.050% due 02/25/2044		500		516
6.080% due 09/01/2028		1,800		2,044
6.210% due 08/06/2038		13,500		15,408
6.250% due 05/15/2029		16,300		19,174
6.280% due 06/15/2027		15,800		16,652
6.483% due 05/25/2032		92		91
6.625% due 11/15/2030		22,850		28,038
7.125% due 01/15/2030		29,150		37,666
7.250% due 05/15/2030		26,900		35,086
8.100% due 08/12/2019		200		260
Federal Farm Credit Bank
4.125% due 04/15/2010		15		15
4.180% due 09/22/2010		15		16
5.125% due 07/09/2029		500		488
5.410% due 04/17/2036		20,000		19,499
5.750% due 12/07/2028		20		21
Federal Home Loan Bank
3.660% due 09/30/2010		10		10
5.250% due 09/12/2014 - 08/15/2022		5,360		5,916
5.500% due 07/15/2036		5,855		5,984
5.625% due 06/11/2021		800		842
6.640% due 12/13/2016		50		60
Financing Corp.
0.000% due 02/08/2018 - 09/26/2019		72,274		48,532
Freddie Mac
0.469% due 07/15/2019 - 10/15/2020		2,095		2,053
0.549% due 02/15/2019		1,141		1,120
0.669% due 12/15/2030		177		175
0.719% due 01/15/2033		41		41
0.819% due 09/15/2030		11		11
0.888% due 02/01/2011 (g)		440		439
2.638% due 10/25/2044		115		113
2.639% due 02/25/2045		27		26
4.250% due 09/15/2024		175		176
4.500% due 03/15/2016		4,836		4,966
4.845% due 06/01/2035		416		428
4.886% due 10/01/2035		244		250
4.982% due 04/01/2035		339		350
5.000% due 12/14/2018 - 12/01/2038		14,518		14,850
5.400% due 03/17/2021 (g)		500		538
5.500% due 11/15/2023 - 09/01/2038		3,744		3,845
6.000% due 06/15/2035 - 07/01/2039		27,961		29,190
6.500% due 10/25/2043		204		217
8.250% due 06/01/2016		130		151
Ginnie Mae
5.375% due 05/20/2030		264		273
Residual Funding Strip
0.000% due 10/15/2019 - 04/15/2030		121,700		51,423
Resolution Funding Corp.
0.000% due 04/15/2028		500		197
Small Business Administration
5.290% due 12/01/2027		1,777		1,859
5.510% due 11/01/2027		460		485
7.449% due 08/01/2010		14		14
Tennessee Valley Authority
0.000% due 04/15/2042 (d)		500		464
4.500% due 04/01/2018		3,000		3,066
4.875% due 01/15/2048		4,050		3,742
5.375% due 04/01/2056		400		392
5.500% due 07/18/2017 - 06/15/2038		26,900		28,245
5.880% due 04/01/2036		21,000		22,409
7.125% due 05/01/2030		50,000		60,614
Total U.S. Government Agencies (Cost $979,585)				964,638
U.S. TREASURY OBLIGATIONS 19.8%
Treasury Inflation Protected Securities (e)
1.625% due 01/15/2015		7,258		7,222
2.000% due 01/15/2026		322		315
2.375% due 01/15/2025		8,823		9,060
2.375% due 01/15/2027		15,342		15,870
2.500% due 01/15/2029		14,312		15,184
3.625% due 04/15/2028		132		160
3.875% due 04/15/2029		1,038		1,313
U.S. Treasury Bonds
4.375% due 02/15/2038		8,000		8,071
5.375% due 02/15/2031		32,800		37,618
5.500% due 08/15/2028		10,100		11,659
6.125% due 11/15/2027		17,600		21,670
6.500% due 11/15/2026		18,800		23,902
7.125% due 02/15/2023		6,200		8,099
7.250% due 08/15/2022		14,100		18,520
7.625% due 11/15/2022		43,100		58,414
7.875% due 02/15/2021		16,500		22,401
8.000% due 11/15/2021		58,100		80,169
8.125% due 08/15/2021		15,300		21,231
8.750% due 05/15/2017		5,200		7,122
U.S. Treasury Notes
0.875% due 04/30/2011 (i)		4,805		4,793
3.750% due 11/15/2018		715		727
U.S. Treasury Strips
0.000% due 05/15/2020		41,300		26,061
0.000% due 08/15/2020		14,800		9,224
0.000% due 05/15/2021		14,300		8,498
0.000% due 11/15/2021		7,200		4,180
0.000% due 08/15/2022		18,000		10,073
0.000% due 08/15/2024		128,500		64,446
0.000% due 08/15/2026		500		228
0.000% due 02/15/2027		4,100		1,832
0.000% due 11/15/2027		46,500		20,335
0.000% due 08/15/2028		900		377
0.000% due 02/15/2029		1,600		667
Total U.S. Treasury Obligations (Cost $503,985)				519,441
MORTGAGE-BACKED SECURITIES 2.1%
American Home Mortgage Assets
2.260% due 11/25/2046		4,008		1,839
American Home Mortgage Investment Trust
4.390% due 02/25/2045		64		50
5.000% due 09/25/2035		400		305
Banc of America Commercial Mortgage, Inc.
4.877% due 07/10/2042		725		634
7.226% due 10/11/2037		94		109
Banc of America Funding Corp.
3.781% due 05/25/2035		113		96
6.102% due 01/20/2047		228		121
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		10		10
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		874		751
2.900% due 03/25/2035		1,830		1,583
3.859% due 11/25/2030		19		17
4.550% due 08/25/2035		1,579		1,395
4.740% due 10/25/2035		318		307
5.063% due 11/25/2034		179		150
5.172% due 02/25/2034		77		50
5.457% due 05/25/2047		6,537		3,815
Bear Stearns Alt-A Trust
5.490% due 09/25/2035		798		434
CC Mortgage Funding Corp.
0.444% due 05/25/2048		178		65
Chase Mortgage Finance Corp.
5.426% due 03/25/2037		2,601		1,596
Citigroup Mortgage Loan Trust, Inc.
0.379% due 01/25/2037		331		276
1.114% due 08/25/2035		567		363
4.248% due 08/25/2035		795		633
4.700% due 12/25/2035		473		382
4.748% due 08/25/2035		1,036		825
Commercial Mortgage Pass-Through Certificates
0.539% due 02/05/2019		200		144
Countrywide Alternative Loan Trust
0.465% due 05/20/2046		379		319
0.504% due 09/25/2046		4,936		1,888
0.510% due 12/20/2046		2,539		1,020
0.525% due 03/20/2046		110		45
0.594% due 02/25/2037		272		124
6.250% due 08/25/2037		502		270
Countrywide Home Loan Mortgage Pass-Through Trust
4.711% due 02/20/2035		245		195
4.786% due 11/25/2034		539		409
Credit Suisse Mortgage Capital Certificates
5.467% due 09/15/2039		900		633
CS First Boston Mortgage Securities Corp.
3.844% due 07/25/2033		93		82
3.936% due 05/15/2038		355		321
CW Capital Cobalt Ltd.
5.484% due 04/15/2047		500		330
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		3		3
First Horizon Asset Securities, Inc.
4.742% due 12/25/2033		89		73
5.365% due 08/25/2035		149		114
GE Capital Commercial Mortgage Corp.
4.229% due 12/10/2037		310		310
4.596% due 11/10/2038		1,270		1,144
GMAC Mortgage Corp. Loan Trust
4.765% due 06/25/2034		96		52
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		4,789		3,830
GSR Mortgage Loan Trust
4.469% due 09/25/2035		526		443
5.241% due 11/25/2035		152		119
Harborview Mortgage Loan Trust
0.493% due 07/19/2046		5,366		2,227
0.503% due 01/19/2038		1,073		459
0.513% due 09/19/2046		1,523		654
5.234% due 07/19/2035		197		121
Indymac Index Mortgage Loan Trust
0.514% due 06/25/2047		2,312		960
4.976% due 12/25/2034		90		68
5.479% due 04/25/2037		506		230
5.752% due 04/25/2037		1,117		565
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		700		539
5.429% due 12/12/2043		600		487
5.794% due 02/12/2051		300		225
5.935% due 02/12/2049		2,900		2,201
6.007% due 06/15/2049		10		8
JPMorgan Mortgage Trust
5.012% due 02/25/2035		160		140
LB-UBS Commercial Mortgage Trust
4.568% due 01/15/2031		10		9
5.020% due 08/15/2029		1,140		965
5.866% due 09/15/2045		100		77
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		22		19
MASTR Adjustable Rate Mortgages Trust
0.524% due 04/25/2046		1,983		813
3.469% due 11/21/2034		600		379
MASTR Asset Securitization Trust
5.500% due 11/25/2017		56		56
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		2,400		2,162
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		89		48
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		36		25
1.314% due 10/25/2035		51		40
Morgan Stanley Capital I
5.332% due 12/15/2043		495		372
Prime Mortgage Trust
0.714% due 02/25/2034		29		24
Residential Accredit Loans, Inc.
6.000% due 06/25/2036		300		159
Residential Asset Securitization Trust
0.714% due 01/25/2046		686		314
Structured Adjustable Rate Mortgage Loan Trust
5.190% due 12/25/2034		99		75
5.516% due 08/25/2035		101		65
Structured Asset Mortgage Investments, Inc.
0.414% due 09/25/2047		223		208
0.524% due 04/25/2036		183		77
0.563% due 07/19/2035		206		132
0.594% due 02/25/2036		872		402
0.624% due 12/25/2035		24		11
0.643% due 10/19/2034		77		59
Structured Asset Securities Corp.
4.687% due 02/25/2032		4		4
Thornburg Mortgage Securities Trust
0.414% due 03/25/2037		219		191
0.424% due 11/25/2046		108		97
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		2,847		2,097
0.409% due 09/15/2021		731		526
5.426% due 07/15/2041		490		440
5.926% due 05/15/2043		2,500		1,978
WaMu Mortgage Pass-Through Certificates
0.604% due 10/25/2045		1,725		905
2.070% due 01/25/2047		7		3
2.100% due 04/25/2047		4,368		1,826
2.139% due 02/25/2047		1,932		779
2.740% due 08/25/2042		7		4
3.127% due 09/25/2046		67		29
3.127% due 10/25/2046		21		9
3.711% due 03/25/2034		1,134		952
5.575% due 12/25/2036		1,297		836
5.833% due 02/25/2037		2,137		1,340
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.310% due 05/25/2046		1,440		612
Wells Fargo Mortgage-Backed Securities Trust
4.517% due 11/25/2033		218		216
4.947% due 01/25/2035		151		127
4.950% due 03/25/2036		200		141
Total Mortgage-Backed Securities (Cost $65,326)				56,161
ASSET-BACKED SECURITIES 3.5%
ACE Securities Corp.
0.364% due 12/25/2036		1,907		1,400
0.394% due 10/25/2036		11		11
Amortizing Residential Collateral Trust
0.604% due 07/25/2032		1		1
Asset-Backed Securities Corp. Home Equity
0.364% due 12/25/2036		2		2
0.589% due 09/25/2034		16		10
BA Credit Card Trust
0.329% due 02/15/2013		5,100		5,035
0.519% due 01/15/2013		1,100		1,090
0.899% due 04/15/2013		2,000		1,985
Bear Stearns Asset-Backed Securities Trust
4.939% due 10/25/2036		114		64
5.062% due 07/25/2036		371		193
Capital Auto Receivables Asset Trust
0.379% due 05/15/2011		147		146
1.769% due 10/15/2012		1,300		1,291
Chase Issuance Trust
0.339% due 03/15/2013		5,600		5,505
0.769% due 01/15/2012		2,100		2,099
0.969% due 11/15/2011		3,300		3,303
2.129% due 09/15/2015		6,600		6,603
Citigroup Mortgage Loan Trust, Inc.
0.374% due 07/25/2045		60		42
Countrywide Asset-Backed Certificates
0.364% due 05/25/2037		1,928		1,845
0.364% due 06/25/2047		2,700		2,506
0.374% due 03/25/2037		23		23
0.384% due 06/25/2047		2,222		2,060
0.394% due 06/25/2037		3,951		3,654
0.424% due 10/25/2046		2,765		2,603
0.494% due 09/25/2036		598		424
0.794% due 12/25/2031		16		7
Credit-Based Asset Servicing & Securitization LLC
0.384% due 01/25/2037		79		38
0.434% due 07/25/2037		160		118
First Franklin Mortgage Loan Asset-Backed Certificates
0.354% due 09/25/2036		24		23
0.364% due 03/25/2037		47		43
First NLC Trust
0.384% due 08/25/2037		57		36
Ford Credit Auto Owner Trust
1.219% due 01/15/2011		2,766		2,768
Fremont Home Loan Trust
0.424% due 02/25/2036		309		286
GE-WMC Mortgage Securities LLC
0.354% due 08/25/2036		11		8
GSAMP Trust
0.384% due 09/25/2036		16		15
0.384% due 12/25/2036		39		21
HFC Home Equity Loan Asset-Backed Certificates
0.585% due 01/20/2035		151		94
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		566		343
0.374% due 05/25/2037		123		87
Indymac Residential Asset-Backed Trust
0.394% due 07/25/2037		66		60
JPMorgan Mortgage Acquisition Corp.
0.364% due 08/25/2036		8		8
Lehman ABS Mortgage Loan Trust
0.404% due 06/25/2037		51		33
Long Beach Mortgage Loan Trust
0.594% due 10/25/2034		5		3
MASTR Asset-Backed Securities Trust
0.354% due 08/25/2036		14		14
0.394% due 05/25/2037		73		59
Merrill Lynch First Franklin Mortgage Loan Trust
0.374% due 07/25/2037		123		97
Merrill Lynch Mortgage Investors, Inc.
0.384% due 08/25/2036		467		465
Mesa Trust Asset-Backed Certificates
0.714% due 12/25/2031		96		79
Morgan Stanley ABS Capital I
0.374% due 05/25/2037		137		110
Nelnet Student Loan Trust
1.622% due 04/27/2015		1,385		1,385
New Century Home Equity Loan Trust
0.684% due 08/25/2034		16		8
Park Place Securities, Inc.
0.626% due 10/25/2034		176		131
Residential Asset Mortgage Products, Inc.
0.394% due 10/25/2036		25		24
Residential Asset Securities Corp.
0.384% due 02/25/2037		158		145
0.424% due 04/25/2037		329		286
Saxon Asset Securities Trust
0.374% due 10/25/2046		1,434		1,380
Securitized Asset-Backed Receivables LLC Trust
0.444% due 05/25/2037		198		124
SLC Student Loan Trust
0.863% due 02/15/2015		247		246
SLM Student Loan Trust
1.072% due 04/25/2014		85		85
1.082% due 10/27/2014		114		113
1.082% due 10/25/2016		27		27
1.082% due 07/25/2017		59		59
1.082% due 10/25/2018		100		99
1.092% due 04/25/2017		1,557		1,553
1.592% due 10/25/2017		5,500		5,372
2.592% due 04/25/2023		32,413		33,100
Soundview Home Equity Loan Trust
0.394% due 01/25/2037		72		70
0.394% due 06/25/2037		95		76
Wells Fargo Home Equity Trust
0.414% due 03/25/2037		185		176
Total Asset-Backed Securities (Cost $90,115)				91,169
SOVEREIGN ISSUES 1.1%
Albania Government International Bond
0.000% due 08/31/2025		4,800		1,823
Asian Development Bank
5.820% due 06/16/2028		500		547
Colombia Government International Bond
7.375% due 09/18/2037		720		738
Israel Government AID Bond
5.500% due 09/18/2023		200		214
5.500% due 09/18/2033		23,297		24,264
Korea Development Bank
1.317% due 04/03/2010		800		783
Mexico Government International Bond
6.050% due 01/11/2040		225		206
Total Sovereign Issues (Cost $29,071)				28,575
FOREIGN CURRENCY-DENOMINATED ISSUES 0.8%
Brazil Government International Bond
10.250% due 01/10/2028	BRL	13,000		6,568
12.500% due 01/05/2016		2,000		1,138
Citigroup Capital XVIII
6.829% due 06/28/2067	GBP	1,100		950
General Electric Capital Corp.
5.500% due 09/15/2066		100		99
Goldman Sachs Group, Inc.
7.250% due 04/10/2028		2,000		3,520
HSBC Holdings PLC
6.375% due 10/18/2022		2,300		3,734
Lloyds TSB Group PLC
6.367% due 07/19/2049		50		28
Merrill Lynch & Co., Inc.
7.750% due 04/30/2018		1,900		3,118
SMFG Preferred Capital USD 1 Ltd.
6.164% due 01/29/2049		800		894
Total Foreign Currency-Denominated Issues (Cost $18,769)				20,049
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.1%
American International Group, Inc.
8.500% due 08/01/2011		74,450		709
Wells Fargo & Co.
7.500% due 12/31/2049		3,500		2,747
Total Convertible Preferred Stocks (Cost $6,424)				3,456
PREFERRED STOCKS 0.0%
DG Funding Trust
1.343% due 12/31/2049		46		398
Total Preferred Stocks (Cost $465)				398
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 1.0%
CERTIFICATES OF DEPOSIT 0.4%
Bank of Ireland
0.351% due 02/26/2010	$	500		491
Sao Paolo IMI NY
1.272% due 06/09/2010		11,000		10,999
				11,490
REPURCHASE AGREEMENTS 0.1%
Barclays Capital, Inc.
0.020% due 07/01/2009		2,000		2,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $2,069. Repurchase proceeds are $2,000.)
U.S. TREASURY BILLS 0.0%
3.491% due 07/02/2009 - 09/03/2009 (c)(g)(i)		1,089		1,089
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (f) 0.5%
		1,245,378		12,465
Total Short-Term Instruments (Cost $27,048)				27,044
Total Investments 113.0% (Cost $2,946,166)			$	2,969,371
Written Options (k) (0.0%) (Premiums $462)				(283	)
Other Assets and Liabilities (Net) (13.0%)				(342,220	)
Net Assets 100.0%			$	2,626,868

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

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

(a) Security is in default.

(b) When-Issued security.

(c) Coupon represents a weighted average rate.

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

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

(f) Affiliated to the Fund.

(g) Securities with an aggregate market value of $1,819 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(h) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $132,360 at a weighted average interest rate of 0.258%. On June 30, 2009, there were no open reverse repurchase agreements.

(i) Securities with an aggregate market value of $6,797 and cash of $59 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2010	367	$	229
90-Day Euribor September Futures	Long	09/2010	399		361
90-Day Eurodollar December Futures	Long	12/2009	214		1,327
90-Day Eurodollar December Futures	Long	12/2010	680		(263	)
90-Day Eurodollar June Futures	Long	06/2010	420		1,306
90-Day Eurodollar March Futures	Long	03/2010	1,288		2,049
90-Day Eurodollar September Futures	Long	09/2009	16		114
90-Day Eurodollar September Futures	Long	09/2010	404		1,024
U.S. Treasury 30-Year Bond September Futures	Long	09/2009	188		1,019
				$	7,166

(j) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
General Electric Capital Corp.	BCLY	1.020	%	09/20/2010	3.944	%	$	10	$	0	$	0		$	0
General Electric Capital Corp.	JPM	5.000	%	06/20/2010	3.783	%		500		6		(18	)		24
									$	6	$	(18	)	$	24

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month CAD Bank Bill	5.000	%	12/19/2028	RBS	CAD	18,100	$	(747	)	$	(145	)	$	(602	)
Pay	3-Month USD-LIBOR	3.000	%	12/16/2010	BOA	$	33,100		526			459			67
Pay	3-Month USD-LIBOR	3.000	%	12/16/2010	CSFB		108,100		1,716			1,579			137
Pay	3-Month USD-LIBOR	3.000	%	12/16/2010	DUB		12,400		196			180			16
Pay	3-Month USD-LIBOR	3.000	%	12/16/2010	RBS		82,900		1,316			1,114			202
Pay	3-Month USD-LIBOR	4.000	%	12/16/2010	BCLY		107,000		2,755			2,450			305
Pay	3-Month USD-LIBOR	4.000	%	12/16/2010	CSFB		400,000		10,299			9,021			1,278
Pay	3-Month USD-LIBOR	4.000	%	12/16/2010	DUB		90,000		2,317			1,894			423
Pay	3-Month USD-LIBOR	4.000	%	12/16/2010	MSC		32,000		824			682			142
Pay	3-Month USD-LIBOR	4.000	%	12/16/2010	RBS		171,000		4,402			3,945			457
Pay	3-Month USD-LIBOR	3.000	%	06/16/2011	RBS		292,600		2,533			3,514			(981	)
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	BOA		1,300		3			(28	)		31
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		87,300		164			(1,634	)		1,798
Pay	6-Month GBP-LIBOR	5.000	%	09/16/2010	BCLY	GBP	39,600		2,093			(175	)		2,268
Pay	6-Month GBP-LIBOR	5.000	%	09/16/2010	GSC		28,900		1,527			(123	)		1,650
Pay	6-Month GBP-LIBOR	5.000	%	09/16/2010	RBS		52,900		2,795			(235	)		3,030
								$	32,719		$	22,498		$	10,221

(k) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	126	$	39	$	6
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	31		5		1
					$	44	$	7

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009	$	3,000	$	9	$	6
Call - OTC 7-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Receive	2.950	%	08/21/2009		5,000		36		29
Put - OTC 7-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		5,000		25		26
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		12,700		44		26
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		34,000		304		189
									$	418	$	276

(l) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	4.500	%	07/01/2039	$	1,500	$	1,464	$	1,499
Fannie Mae	5.000	%	07/01/2039		78,000		78,998		79,377
Freddie Mac	5.500	%	07/01/2039		2,800		2,880		2,890
						$	83,342	$	83,766

(m) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	BRL	HSBC	7,982	08/2009	$	0	$	(408	)	$	(408	)
Sell	CAD	JPM	70	08/2009		4		0			4
Buy	CNY	BCLY	10	07/2009		0		0			0
Sell		BCLY	17,081	07/2009		0		(1	)		(1	)
Buy		DUB	23,720	07/2009		0		(147	)		(147	)
Sell		DUB	22,415	07/2009		5		(1	)		4
Buy		HSBC	15,735	07/2009		0		(106	)		(106	)
Buy		JPM	30	07/2009		0		0			0
Buy		BCLY	9,143	09/2009		0		0			0
Buy		DUB	7,801	09/2009		1		0			1
Buy		BCLY	7,935	03/2010		0		(2	)		(2	)
Buy		BOA	24	03/2010		0		0			0
Buy		CITI	19	03/2010		0		0			0
Buy		DUB	14,510	03/2010		0		(12	)		(12	)
Buy		HSBC	18	03/2010		0		0			0
Sell	EUR	BCLY	2,470	07/2009		0		(19	)		(19	)
Sell	GBP	CITI	13,285	07/2009		0		(1,302	)		(1,302	)
Buy		MSC	13,139	07/2009		0		(90	)		(90	)
Buy		RBS	146	07/2009		11		0			11
Sell		MSC	13,139	08/2009		90		0			90
Buy	MXN	CITI	20,138	11/2009		147		0			147
Buy	MYR	BCLY	3,771	08/2009		17		0			17
Buy		CITI	667	08/2009		7		0			7
Buy		HSBC	770	08/2009		9		0			9
Buy	PHP	BCLY	6,827	08/2009		0		0			0
Buy		CITI	33,525	08/2009		1		(3	)		(2	)
Buy		DUB	2,896	08/2009		0		0			0
Buy	SGD	CITI	1,675	07/2009		35		0			35
Buy		DUB	1,500	07/2009		48		0			48
Buy		HSBC	333	07/2009		0		0			0
Buy		JPM	736	07/2009		19		0			19
					$	394	$	(2,091	)	$	(1,697	)

(n) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	1,199,127		$	4,874	$	1,204,001
U.S. Government Agencies		0		964,638			0		964,638
U.S. Treasury Obligations		0		519,441			0		519,441
Other Investments++		15,922		263,547			1,822		281,291
Investments, at value	$	15,922	$	2,946,753		$	6,696	$	2,969,371
Short Sales, at value	$	0	$	(83,766	)	$	0	$	(83,766	)
Financial Derivative Instruments+++	$	7,166	$	8,265		$	0	$	15,431
Total	$	23,088	$	2,871,252		$	6,696	$	2,901,036

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	4,572	$	0	$	0	$	302	$	0	$	4,874
Other Investments++		0		1,747		0		0		75		0		1,822
Investments, at value	$	0	$	6,319	$	0	$	0	$	377	$	0	$	6,696
Financial Derivative Instruments+++	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Total	$	0	$	6,319	$	0	$	0	$	377	$	0	$	6,696

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Long-Term U.S. Credit Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 87.8%
BANKING & FINANCE 24.3%
ABX Financing Co.
6.350% due 10/15/2036	$	300	$	300
American Express Co.
8.150% due 03/19/2038		4,912		5,201
American International Group, Inc.
5.850% due 01/16/2018		380		201
6.250% due 05/01/2036		130		56
Bank of America Corp.
5.750% due 12/01/2017		500		446
7.625% due 06/01/2019		6,300		6,339
Bear Stearns Cos. LLC
7.250% due 02/01/2018		1,800		1,900
BNP Paribas
5.186% due 06/29/2049		300		195
Canadian Oil Sands Ltd.
7.750% due 05/15/2019		5,600		5,735
Citigroup, Inc.
5.875% due 05/29/2037		240		188
6.125% due 11/21/2017		2,400		2,108
6.875% due 03/05/2038		8,720		7,715
8.500% due 05/22/2019		1,000		1,019
General Electric Capital Corp.
5.875% due 01/14/2038		15,800		12,527
6.150% due 08/07/2037		334		276
6.750% due 03/15/2032		260		234
6.875% due 01/10/2039		4,645		4,188
Goldman Sachs Group, Inc.
6.125% due 02/15/2033		1,900		1,777
6.750% due 10/01/2037		700		623
7.500% due 02/15/2019		14,700		15,767
HBOS PLC
6.000% due 11/01/2033		400		239
6.750% due 05/21/2018		4,660		3,523
HSBC Bank USA N.A.
5.875% due 11/01/2034		250		232
7.000% due 01/15/2039		6,250		6,619
HSBC Holdings PLC
6.500% due 09/15/2037		800		775
JPMorgan Chase & Co.
6.400% due 05/15/2038		7,800		7,835
7.900% due 04/29/2049		200		176
JPMorgan Chase Capital XVIII
6.950% due 08/17/2036		200		169
JPMorgan Chase Capital XX
6.550% due 09/15/2066		1,200		956
JPMorgan Chase Capital XXV
6.800% due 10/01/2037		720		620
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		9,250		8,575
6.875% due 11/15/2018		1,146		1,060
MetLife, Inc.
7.717% due 02/15/2019		480		514
Metropolitan Life Global Funding I
5.125% due 06/10/2014		2,200		2,186
Morgan Stanley
6.625% due 04/01/2018		5,350		5,342
7.300% due 05/13/2019		2,800		2,909
National Rural Utilities Cooperative Finance Corp.
8.000% due 03/01/2032		1,950		2,195
Rabobank Nederland NV
11.000% due 12/29/2049		2,500		2,788
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		2,520		1,868
Wachovia Bank N.A.
5.850% due 02/01/2037		351		310
6.600% due 01/15/2038		7,025		6,861
Wachovia Corp.
5.750% due 02/01/2018		3,200		3,148
Wells Fargo Capital X
5.950% due 12/15/2036		700		520
				126,215
INDUSTRIALS 36.3%
Abbott Laboratories
6.150% due 11/30/2037		107		117
Altria Group, Inc.
9.950% due 11/10/2038		5,008		5,790
10.200% due 02/06/2039		3,700		4,379
Amgen, Inc.
6.375% due 06/01/2037		1,189		1,268
6.400% due 02/01/2039		2,600		2,771
Anadarko Petroleum Corp.
7.000% due 11/15/2027		600		527
7.950% due 06/15/2039		6,300		6,562
Anglo American Capital PLC
9.375% due 04/08/2019		2,400		2,596
Archer-Daniels-Midland Co.
6.450% due 01/15/2038		447		486
AstraZeneca PLC
6.450% due 09/15/2037		3,353		3,726
Barrick Gold Corp.
5.800% due 11/15/2034		100		93
Barrick North America Finance LLC
7.500% due 09/15/2038		1,800		2,100
Bunge Ltd. Finance Corp.
8.500% due 06/15/2019		1,000		1,047
Burlington Northern Santa Fe Corp.
6.150% due 05/01/2037		1,100		1,101
6.200% due 08/15/2036		101		103
6.530% due 07/15/2037		4,500		4,730
8.125% due 04/15/2020		1,000		1,125
Canadian National Railway Co.
6.375% due 11/15/2037		1,078		1,183
6.900% due 07/15/2028		1,600		1,782
7.375% due 10/15/2031		126		148
Canadian Natural Resources Ltd.
5.700% due 05/15/2017		2,000		2,025
6.450% due 06/30/2033		100		101
6.500% due 02/15/2037		2,250		2,251
6.750% due 02/01/2039		1,200		1,256
Caterpillar, Inc.
8.250% due 12/15/2038		90		112
Cisco Systems, Inc.
5.900% due 02/15/2039		2,500		2,467
Comcast Corp.
6.400% due 05/15/2038		2,900		2,845
6.550% due 07/01/2039		1,600		1,601
6.950% due 08/15/2037		2,500		2,612
ConocoPhillips
5.900% due 05/15/2038		89		89
6.500% due 02/01/2039		4,652		4,962
Devon Energy Corp.
7.950% due 04/15/2032		3,675		4,390
El Paso Corp.
7.420% due 02/15/2037		1,000		774
El Paso Natural Gas Co.
8.375% due 06/15/2032		2,400		2,620
EnCana Corp.
6.500% due 02/01/2038		3,550		3,645
6.625% due 08/15/2037		925		960
Energy Transfer Partners LP
7.500% due 07/01/2038		5,150		5,418
Enterprise Products Operating LLC
6.875% due 03/01/2033		500		514
Florida Gas Transmission Co. LLC
7.900% due 05/15/2019		1,000		1,101
Gazprom International S.A.
7.201% due 02/01/2020		3,755		3,596
GlaxoSmithKline Capital, Inc.
5.375% due 04/15/2034		100		95
6.375% due 05/15/2038		4,800		5,230
International Business Machines Corp.
8.000% due 10/15/2038		2,665		3,456
Kimberly-Clark Corp.
6.625% due 08/01/2037		100		114
Kinder Morgan Energy Partners LP
6.500% due 02/01/2037		200		183
6.950% due 01/15/2038		8,300		8,055
7.400% due 03/15/2031		100		98
Magellan Midstream Partners LP
6.550% due 07/15/2019		3,000		3,085
McDonald’s Corp.
5.700% due 02/01/2039		935		928
6.300% due 10/15/2037		189		204
6.300% due 03/01/2038		250		271
Merck & Co., Inc.
5.850% due 06/30/2039		4,300		4,427
Monsanto Co.
5.875% due 04/15/2038		76		78
Newmont Mining Corp.
5.875% due 04/01/2035		3,000		2,807
News America, Inc.
6.650% due 11/15/2037		350		315
Nokia Corp.
6.625% due 05/15/2039		1,600		1,693
Norfolk Southern Corp.
7.050% due 05/01/2037		600		663
7.250% due 02/15/2031		256		280
Norfolk Southern Railway Co.
9.750% due 06/15/2020		2,000		2,663
Nucor Corp.
6.400% due 12/01/2037		499		514
ONEOK Partners LP
6.850% due 10/15/2037		1,200		1,143
Oracle Corp.
6.125% due 07/08/2039 (a)		1,000		993
6.500% due 04/15/2038		1,700		1,814
Pemex Project Funding Master Trust
6.625% due 06/15/2035		4,000		3,634
Pfizer, Inc.
7.200% due 03/15/2039		6,162		7,332
Philip Morris International, Inc.
6.375% due 05/16/2038		509		543
Plains All American Pipeline LP
6.650% due 01/15/2037		400		372
President and Fellows of Harvard College
6.500% due 01/15/2039		100		113
Rio Tinto Finance USA Ltd.
7.125% due 07/15/2028		412		394
Roche Holdings, Inc.
7.000% due 03/01/2039		2,200		2,556
Rogers Communications, Inc.
7.500% due 08/15/2038		200		222
Shell International Finance BV
6.375% due 12/15/2038		3,300		3,603
Siemens Financieringsmaatschappij NV
6.125% due 08/17/2026		200		204
Suncor Energy, Inc.
6.850% due 06/01/2039		1,700		1,675
Target Corp.
6.500% due 10/15/2037		1,170		1,186
7.000% due 01/15/2038		2,800		2,990
Tennessee Gas Pipeline Co.
7.625% due 04/01/2037		1,400		1,424
8.000% due 02/01/2016		100		105
Time Warner Cable, Inc.
6.550% due 05/01/2037		2,200		2,114
6.750% due 06/15/2039		2,000		1,951
7.300% due 07/01/2038		1,225		1,279
Time Warner, Inc.
6.500% due 11/15/2036		500		439
TransCanada Pipelines Ltd.
6.200% due 10/15/2037		552		566
7.250% due 08/15/2038		1,641		1,870
7.625% due 01/15/2039		2,700		3,158
Transocean, Inc.
6.800% due 03/15/2038		5,100		5,467
United Parcel Service, Inc.
6.200% due 01/15/2038		516		566
Vale Overseas Ltd.
6.875% due 11/21/2036		8,300		7,915
Veolia Environnement
6.750% due 06/01/2038		200		208
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		3,900		4,200
6.500% due 08/15/2037		2,740		3,068
Williams Cos., Inc.
8.750% due 03/15/2032		200		201
XTO Energy, Inc.
6.375% due 06/15/2038		900		922
6.500% due 12/15/2018		2,000		2,149
6.750% due 08/01/2037		1,675		1,752
				188,260
UTILITIES 27.2%
Alabama Power Co.
6.000% due 03/01/2039		200		212
Appalachian Power Co.
6.375% due 04/01/2036		500		480
7.950% due 01/15/2020		3,000		3,465
AT&T Corp.
8.000% due 11/15/2031		14,500		16,767
AT&T, Inc.
5.800% due 02/15/2019		2,425		2,466
6.300% due 01/15/2038		40		39
6.400% due 05/15/2038		700		687
6.500% due 09/01/2037		618		614
6.550% due 02/15/2039		1,400		1,401
British Telecommunications PLC
9.625% due 12/15/2030		2,000		2,221
Columbus Southern Power Co.
5.850% due 10/01/2035		512		465
Consolidated Edison Co. of New York, Inc.
6.750% due 04/01/2038		3,071		3,455
Consumers Energy Co.
5.650% due 04/15/2020		1,300		1,311
Deutsche Telekom International Finance BV
8.750% due 06/15/2030		8,475		9,940
Duke Energy Carolinas LLC
6.000% due 01/15/2038		32		34
6.050% due 04/15/2038		1,500		1,592
6.100% due 06/01/2037		70		74
Duke Energy Indiana, Inc.
6.450% due 04/01/2039		3,900		4,379
EDF S.A.
6.950% due 01/26/2039		2,645		2,980
Enel Finance International S.A.
6.800% due 09/15/2037		1,700		1,768
Entergy Arkansas, Inc.
5.660% due 02/01/2025		600		537
Entergy Gulf States, Inc.
6.180% due 03/01/2035		400		356
Florida Power & Light Co.
5.400% due 09/01/2035		283		281
5.850% due 02/01/2033		65		69
5.850% due 05/01/2037		1,800		1,903
5.950% due 10/01/2033		20		21
5.950% due 02/01/2038		200		215
5.960% due 04/01/2039		100		108
France Telecom S.A.
8.500% due 03/01/2031		3,900		5,018
Georgia Power Co.
5.950% due 02/01/2039		3,350		3,520
Jersey Central Power & Light Co.
6.150% due 06/01/2037		250		234
MidAmerican Energy Holdings Co.
5.950% due 05/15/2037		5,000		4,837
6.125% due 04/01/2036		2,600		2,576
6.500% due 09/15/2037		100		104
NGPL PipeCo. LLC
7.119% due 12/15/2017		2,000		2,100
7.768% due 12/15/2037		2,550		2,791
Northern States Power Co.
5.250% due 07/15/2035		136		131
6.375% due 09/01/2038		200		224
Ohio Edison Co.
6.875% due 07/15/2036		1,900		1,918
8.250% due 10/15/2038		2,950		3,693
Ohio Power Co.
6.375% due 07/15/2033		800		760
Oncor Electric Delivery Co.
7.000% due 05/01/2032		2,700		2,877
7.500% due 09/01/2038		2,300		2,600
Pacific Gas & Electric Co.
6.250% due 03/01/2039		4,200		4,499
6.350% due 02/15/2038		700		759
Pacificorp
6.000% due 01/15/2039		1,800		1,891
6.250% due 10/15/2037		220		240
Progress Energy, Inc.
7.750% due 03/01/2031		200		235
PSEG Power LLC
8.625% due 04/15/2031		1,500		1,771
Public Service Co. of Colorado
6.250% due 09/01/2037		100		110
6.500% due 08/01/2038		235		267
Public Service Co. of Oklahoma
6.625% due 11/15/2037		360		348
Public Service Electric & Gas Co.
5.800% due 05/01/2037		175		181
Southern California Edison Co.
6.050% due 03/15/2039		400		430
Telecom Italia Capital S.A.
7.175% due 06/18/2019		2,103		2,135
7.721% due 06/04/2038		6,740		6,877
Telefonica Emisiones SAU
7.045% due 06/20/2036		5,000		5,553
Verizon Communications, Inc.
6.400% due 02/15/2038		900		883
6.900% due 04/15/2038		1,084		1,133
7.350% due 04/01/2039		6,016		6,570
8.950% due 03/01/2039		1,678		2,123
Virginia Electric and Power Co.
8.875% due 11/15/2038		5,600		7,521
Vodafone Group PLC
6.150% due 02/27/2037		6,750		6,656
				141,405
Total Corporate Bonds & Notes (Cost $444,106)				455,880
MUNICIPAL BONDS & NOTES 2.5%
California State General Obligation Bonds, Series 2009
7.500% due 04/01/2034		165		151
7.550% due 04/01/2039		2,065		1,882
Florida State Turnpike Authority Revenue Bonds, Series 2009
6.800% due 07/01/2039 (a)		4,000		4,038
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series 2009
6.875% due 12/15/2039		900		916
New Jersey State Turnpike Authority Revenue Bonds, Series 2009
7.414% due 01/01/2040		1,500		1,748
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2009
7.336% due 11/15/2039		1,400		1,652
Pennsylvania State Turnpike Commission Revenue Bonds, Series 2009
6.105% due 12/01/2039 (a)		2,250		2,276
Sacramento, California Municipal Utility District Revenue Bonds, Series 2009
6.322% due 05/15/2036		300		309
Total Municipal Bonds & Notes (Cost $12,846)				12,972
U.S. GOVERNMENT AGENCIES 2.8%
Fannie Mae
5.500% due 06/01/2038 - 07/01/2039		13,900		14,361
Total U.S. Government Agencies (Cost $14,356)				14,361
U.S. TREASURY OBLIGATIONS 0.2%
U.S. Treasury Notes
0.875% due 04/30/2011 (d)		479		478
0.875% due 05/31/2011 (d)		506		504
U.S. Treasury Strips
0.000% due 02/15/2038		27		8
0.000% due 05/15/2038		630		179
Total U.S. Treasury Obligations (Cost $1,172)				1,169
SOVEREIGN ISSUES 1.6%
Brazil Government International Bond
8.250% due 01/20/2034		1,000		1,192
8.750% due 02/04/2025		1,500		1,853
Mexico Government International Bond
5.950% due 03/19/2019		5,000		5,075
Total Sovereign Issues (Cost $7,991)				8,120
FOREIGN CURRENCY-DENOMINATED ISSUES 0.5%
Barclays Bank PLC
14.000% due 11/29/2049	GBP	800		1,510
Brazil Government International Bond
10.250% due 01/10/2028	BRL	2,000		1,011
Total Foreign Currency-Denominated Issues (Cost $2,524)				2,521
SHORT-TERM INSTRUMENTS 13.9%
U.S. TREASURY BILLS 0.2%
0.106% due 07/16/2009 - 07/23/2009 (b)(d)	$	1,400		1,400
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 13.7%
		7,094,758		71,011
Total Short-Term Instruments (Cost $72,411)				72,411
Total Investments 109.3% (Cost $555,406)			$	567,434
Other Assets and Liabilities (Net) (9.3%)				(48,110	)
Net Assets 100.0%			$	519,324

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) Affiliated to the Fund.

(d) Securities with an aggregate market value of $2,272 and cash of $241 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor March Futures	Long	03/2011	8	$	(1	)
90-Day Eurodollar December Futures	Long	12/2010	588		75
90-Day Eurodollar March Futures	Long	03/2011	407		(13	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	333		(19	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2011	200		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	765		(106	)
				$	(66	)

(e) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation
SLM Corp.	BOA	5.000	%	09/20/2014	7.854	%	$	2,700	$	(240	)	$	(418	)	$	178

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/(Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	0.000	%	01/02/2012	GSC	BRL	29,100	$	22	$	47		$	(25	)
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC	$	15,200		29		(247	)		276
Pay	28-Day MXN TIIE	8.300	%	02/07/2019	BCLY	MXN	60,000		38		9			29
Pay	28-Day MXN TIIE	8.300	%	02/07/2019	BOA		1,500		0		0			0
								$	89	$	(191	)	$	280

(f) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	BCLY	2,007	08/2009	$	0	$	(1	)	$	(1	)
Buy		HSBC	1,140	08/2009		6		0			6
Buy	CNY	BOA	3,418	03/2010		0		(5	)		(5	)
Buy	EUR	JPM	694	07/2009		4		0			4
Sell	GBP	BCLY	58	07/2009		0		0			0
Sell		GSC	129	07/2009		0		(1	)		(1	)
Buy		JPM	622	07/2009		5		0			5
Sell		JPM	247	07/2009		0		(3	)		(3	)
Sell		RBC	808	07/2009		0		(10	)		(10	)
Sell		JPM	1,425	08/2009		11		0			11
Sell		RBS	247	08/2009		0		0			0
Sell	MXN	BCLY	203	11/2009		0		0			0
Sell		BOA	12	11/2009		0		0			0
					$	26	$	(20	)	$	6

(g) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0		$	455,880	$	0	$	455,880
Short-Term Instruments		71,011			1,400		0		72,411
Other Investments++		0			39,143		0		39,143
Investments, at value	$	71,011		$	496,423	$	0	$	567,434
Financial Derivative Instruments+++	$	(66	)	$	464	$	0	$	398
Total	$	70,945		$	496,887	$	0	$	567,832

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Long-Term U.S. Government Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 11.3%
BANKING & FINANCE 8.7%
Bank of America Corp.
1.148% due 09/11/2012	$	23,305	$	21,412
1.399% due 10/14/2016		5,000		3,790
CIT Group, Inc.
0.974% due 08/17/2009		6,000		5,831
Countrywide Financial Corp.
6.250% due 05/15/2016		5,000		4,442
Goldman Sachs Group, Inc.
0.901% due 06/28/2010		2,300		2,288
1.187% due 02/06/2012		5,100		4,873
HSBC Finance Corp.
1.098% due 06/01/2016		3,000		2,297
1.381% due 01/15/2014		5,000		4,060
International Lease Finance Corp.
5.250% due 01/10/2013		2,900		2,195
Morgan Stanley
1.557% due 10/18/2016		9,400		7,616
1.611% due 10/15/2015		3,000		2,575
3.006% due 05/14/2010		6,900		6,882
RBS Capital Trust II
6.425% due 12/29/2049		600		289
Textron Financial Corp.
4.600% due 05/03/2010		3,000		2,865
U.S. Trade Funding Corp.
4.260% due 11/15/2014		4,699		5,018
Wachovia Bank N.A.
1.806% due 05/14/2010		1,450		1,450
Wells Fargo & Co.
0.672% due 03/23/2010		10,800		10,768
Wells Fargo Bank N.A.
4.750% due 02/09/2015		5,000		4,749
				93,400
INDUSTRIALS 2.0%
Avon Products, Inc.
5.125% due 01/15/2011		2,800		2,924
Gannett Co., Inc.
5.750% due 06/01/2011		2,200		1,697
Johnson Controls, Inc.
5.250% due 01/15/2011		4,000		4,045
Kraft Foods, Inc.
5.625% due 11/01/2011		2,000		2,126
Loews Corp.
5.250% due 03/15/2016		3,000		3,019
Omnicom Group, Inc.
5.900% due 04/15/2016		1,500		1,505
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012		900		871
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		5,100		5,492
				21,679
UTILITIES 0.6%
BellSouth Corp.
5.200% due 09/15/2014		6,000		6,256
Total Corporate Bonds & Notes (Cost $126,189)				121,335
MUNICIPAL BONDS & NOTES 1.6%
Anaheim, California Public Financing Authority Revenue Bonds, (MBIA Insured), Series 2007
4.750% due 02/01/2039		5,345		4,644
Connecticut State General Obligation Bonds, Series 2008
5.850% due 03/15/2032		600		604
Fort Bend County, Texas General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 03/01/2031		100		98
Los Angeles, California Community College District General Obligation Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 08/01/2027		2,300		2,311
5.000% due 08/01/2032		3,000		2,854
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 07/01/2044		6,000		5,669
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		3,350		173
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		600		571
Total Municipal Bonds & Notes (Cost $17,872)				16,924
U.S. GOVERNMENT AGENCIES 43.9%
Fannie Mae
0.000% due 06/01/2017 - 05/15/2030		15,489		6,119
0.374% due 07/25/2037		2,277		2,020
0.518% due 03/18/2031		771		755
0.914% due 10/25/2017		183		182
1.214% due 04/25/2032		168		171
2.638% due 06/01/2043 - 03/01/2044		1,829		1,822
3.916% due 10/01/2024 (f)		69		70
4.250% due 04/25/2037		353		302
4.441% due 11/01/2023 (f)		247		251
4.500% due 10/25/2023 - 07/01/2039		8,053		8,020
4.500% due 08/01/2035 - 09/01/2035 (f)		1,977		1,979
4.558% due 07/01/2035 (f)		628		642
4.773% due 12/01/2027 (f)		72		74
4.970% due 08/01/2026		18		18
4.980% due 02/01/2028		21		21
5.000% due 03/15/2016 - 08/25/2036		9,403		9,424
5.016% due 05/01/2025		25		25
5.033% due 11/01/2034 (f)		366		377
5.125% due 10/01/2024		1		1
5.273% due 04/01/2028 (f)		92		93
5.375% due 04/11/2022		11,900		12,251
5.380% due 07/01/2033		2,358		2,295
5.500% due 09/25/2024 - 08/25/2035		9,347		9,815
5.500% due 09/01/2036 - 11/01/2037 (f)		3,346		3,459
5.625% due 04/17/2028 - 07/15/2037		4,800		5,072
5.800% due 02/09/2026		15,000		15,549
6.000% due 05/17/2027 - 04/18/2036		1,746		1,855
6.250% due 12/25/2013 - 05/15/2029		5,205		6,122
6.500% due 11/25/2023 - 07/25/2031		6,565		7,028
6.750% due 06/25/2032		6,372		6,741
6.900% due 05/25/2023		206		222
6.950% due 07/25/2020		50		54
7.000% due 06/25/2022 - 05/18/2027		4,177		4,500
7.500% due 07/01/2032		11		12
7.800% due 10/25/2022		28		31
9.000% due 08/01/2021 - 06/01/2027		70		76
Farmer Mac
7.320% due 07/25/2011		1,645		1,614
Federal Farm Credit Bank
4.375% due 06/16/2015		20,000		21,072
5.050% due 03/28/2019		1,000		1,035
5.125% due 07/09/2029		675		658
5.150% due 03/25/2020		1,000		1,032
5.750% due 12/07/2028		500		528
Federal Home Loan Bank
5.250% due 09/12/2014		16,400		18,197
5.500% due 07/15/2036		2,200		2,248
Federal Housing Administration
4.918% due 11/01/2019		7		7
6.896% due 07/01/2020		1,214		1,195
7.000% due 11/25/2019		354		349
7.430% due 10/01/2022 - 06/01/2024		690		691
Financing Corp.
0.000% due 09/26/2019		2,500		1,517
Freddie Mac
0.000% due 12/11/2025		11,600		4,818
0.549% due 02/15/2019		9,396		9,224
0.719% due 01/15/2033		456		451
0.819% due 06/15/2030 - 12/15/2032		605		602
0.869% due 06/15/2031		203		202
2.638% due 10/25/2044		7,604		7,488
2.791% due 12/01/2024 (f)		56		58
2.838% due 07/25/2044		2,067		2,047
3.200% due 09/01/2027 (f)		38		38
3.256% due 10/01/2026		25		25
3.375% due 05/01/2022		6		6
3.384% due 06/01/2022		7		7
4.271% due 01/01/2028		22		23
4.345% due 01/01/2028 (f)		161		162
4.460% due 02/01/2028 (f)		231		235
4.500% due 12/15/2019 - 07/15/2035		43,273		42,748
5.000% due 12/14/2018		25,000		23,779
5.200% due 10/25/2023		86		80
5.500% due 11/15/2023 - 06/15/2035		9,037		9,353
5.500% due 07/01/2038 (f)(g)		2,594		2,680
5.625% due 11/23/2035 (e)		19,400		19,922
6.000% due 04/15/2034 - 05/15/2036		80,002		82,751
6.250% due 09/15/2023		3,455		3,672
6.500% due 11/15/2023 - 10/25/2043		2,289		2,457
7.000% due 07/15/2022 - 01/15/2024		678		735
7.000% due 12/15/2023 (a)		10		0
Ginnie Mae
1.265% due 03/20/2031		1,026		1,026
4.125% due 12/20/2017 - 11/20/2027		294		299
4.375% due 02/20/2017 - 01/20/2028		338		345
4.500% due 03/20/2021		17		17
4.625% due 09/20/2017 (f)		161		166
4.625% due 08/20/2018 - 09/20/2026		298		306
5.000% due 09/20/2035		14,972		14,360
5.375% due 04/20/2017 - 04/20/2027		505		521
5.375% due 05/20/2030 (f)		434		447
5.500% due 05/20/2032 (f)		314		325
5.500% due 02/20/2033		1,389		1,471
6.000% due 08/20/2033		2,854		3,055
7.000% due 03/16/2029		511		531
Overseas Private Investment Corp.
4.736% due 03/15/2022		3,918		3,831
Private Export Funding Corp.
5.000% due 12/15/2016		7,200		7,844
Residual Funding Strip
0.000% due 10/15/2019 - 04/15/2030		34,000		12,462
Small Business Administration
5.240% due 08/01/2023		4,759		4,941
Tennessee Valley Authority
4.500% due 04/01/2018		7,400		7,562
4.875% due 01/15/2048		11,700		10,811
5.375% due 04/01/2056		18,000		17,645
5.500% due 07/18/2017		5,400		5,898
5.880% due 04/01/2036		2,000		2,134
Total U.S. Government Agencies (Cost $446,253)				467,151
U.S. TREASURY OBLIGATIONS 51.5%
Treasury Inflation Protected Securities (c)
1.625% due 01/15/2015		8,822		8,778
2.375% due 01/15/2025		4,298		4,414
2.375% due 01/15/2027		6,132		6,343
2.500% due 01/15/2029		7,548		8,008
U.S. Treasury Bonds
4.375% due 02/15/2038		19,000		19,169
5.250% due 11/15/2028		1,900		2,134
5.375% due 02/15/2031		17,700		20,300
5.500% due 08/15/2028		20,600		23,780
6.125% due 11/15/2027		62,000		76,338
6.500% due 11/15/2026		58,100		73,869
7.125% due 02/15/2023		5,300		6,923
8.000% due 11/15/2021		51,300		70,786
8.125% due 05/15/2021		4,000		5,538
8.125% due 08/15/2021		18,700		25,949
8.750% due 08/15/2020		23,000		32,940
U.S. Treasury Notes
0.875% due 04/30/2011 (g)		4,016		4,006
4.000% due 08/31/2009		10,000		10,066
U.S. Treasury Strips
0.000% due 08/15/2020		7,000		4,355
0.000% due 05/15/2021		13,500		8,050
0.000% due 11/15/2021		46,000		26,708
0.000% due 08/15/2022		87,100		48,743
0.000% due 11/15/2022		25,000		13,741
0.000% due 02/15/2026		14,800		7,040
0.000% due 05/15/2026		2,200		1,012
0.000% due 02/15/2027		22,600		10,098
0.000% due 11/15/2027		13,700		5,991
0.000% due 02/15/2032		22,500		8,088
0.000% due 08/15/2032		22,500		7,918
0.000% due 02/15/2033		20,400		7,032
Total U.S. Treasury Obligations (Cost $543,261)				548,117
MORTGAGE-BACKED SECURITIES 7.1%
American Home Mortgage Investment Trust
5.000% due 09/25/2035		5,200		3,964
Banc of America Funding Corp.
4.585% due 02/20/2036		7,257		5,517
Bear Stearns Adjustable Rate Mortgage Trust
2.900% due 03/25/2035		4,928		4,264
4.740% due 10/25/2035		8,079		6,194
5.088% due 02/25/2033		48		43
5.172% due 02/25/2034		814		525
5.409% due 01/25/2034		326		263
5.426% due 04/25/2033		375		347
Bear Stearns Alt-A Trust
5.490% due 09/25/2035		1,408		765
Bear Stearns Mortgage Securities, Inc.
4.276% due 06/25/2030		19		18
Countrywide Alternative Loan Trust
0.494% due 05/25/2047		1,541		579
0.524% due 05/25/2035		1,316		595
5.500% due 10/25/2033		6,824		5,466
Countrywide Home Loan Mortgage Pass-Through Trust
0.604% due 04/25/2035		441		203
0.634% due 03/25/2035		2,233		933
0.654% due 06/25/2035		1,890		1,374
6.000% due 10/25/2034		5,520		5,136
CS First Boston Mortgage Securities Corp.
3.844% due 07/25/2033		895		791
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		458		416
First Horizon Asset Securities, Inc.
4.742% due 12/25/2033		836		690
First Republic Mortgage Loan Trust
0.794% due 06/25/2030		175		151
GMAC Mortgage Corp. Loan Trust
4.765% due 06/25/2034		932		506
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		914		784
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		454		420
0.533% due 05/19/2035		1,033		463
0.553% due 03/19/2036		1,181		499
5.234% due 07/19/2035		1,874		1,145
Impac CMB Trust
0.564% due 10/25/2035		6,352		2,765
5.749% due 09/25/2034		2,534		1,888
JPMorgan Chase Commercial Mortgage Securities Corp.
5.935% due 02/12/2049		4,508		3,421
MASTR Asset Securitization Trust
5.500% due 09/25/2033		584		556
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		5,920		3,553
Residential Accredit Loans, Inc.
0.614% due 08/25/2035		1,033		473
0.714% due 01/25/2033		146		130
0.714% due 03/25/2033		440		385
6.000% due 06/25/2036		3,981		2,108
Sequoia Mortgage Trust
0.665% due 07/20/2033		1,009		810
Structured Adjustable Rate Mortgage Loan Trust
0.534% due 05/25/2037		3,635		1,431
Structured Asset Mortgage Investments, Inc.
0.414% due 09/25/2047		223		208
0.524% due 04/25/2036		6,403		2,698
0.534% due 05/25/2036		358		142
0.733% due 10/19/2033		272		208
Structured Asset Securities Corp.
3.716% due 01/25/2032		3		3
TBW Mortgage-Backed Pass-Through Certificates
0.414% due 09/25/2036		60		60
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		797		574
WaMu Mortgage Pass-Through Certificates
0.544% due 04/25/2045		866		445
0.574% due 11/25/2045		82		40
0.604% due 10/25/2045		1,628		854
0.624% due 01/25/2045		1,659		774
0.854% due 12/25/2027		1,205		902
2.150% due 12/25/2046		1,371		591
2.340% due 02/25/2046		2,307		1,029
2.340% due 08/25/2046		6,617		2,369
2.674% due 05/25/2041		179		146
2.740% due 06/25/2042		89		65
2.740% due 08/25/2042		53		34
3.127% due 08/25/2046		860		392
Wells Fargo Mortgage-Backed Securities Trust
5.072% due 03/25/2036		5,991		4,298
Total Mortgage-Backed Securities (Cost $116,762)				75,403
ASSET-BACKED SECURITIES 2.4%
Accredited Mortgage Loan Trust
0.364% due 02/25/2037		590		543
ACE Securities Corp.
0.364% due 07/25/2036		50		49
0.394% due 10/25/2036		82		80
Amortizing Residential Collateral Trust
0.604% due 07/25/2032		23		12
Argent Securities, Inc.
0.364% due 10/25/2036		47		46
Bear Stearns Asset-Backed Securities Trust
0.814% due 11/25/2042		1,465		1,099
0.974% due 10/25/2032		235		145
Carrington Mortgage Loan Trust
0.634% due 10/25/2035		606		470
Chase Issuance Trust
0.969% due 11/15/2011		6,900		6,906
CIT Group Home Equity Loan Trust
0.584% due 06/25/2033		34		25
Countrywide Asset-Backed Certificates
0.364% due 03/25/2037		587		578
0.424% due 10/25/2046		177		167
0.474% due 02/25/2036		151		143
Credit-Based Asset Servicing & Securitization LLC
0.374% due 11/25/2036		193		158
0.404% due 12/25/2037		249		237
CS First Boston Mortgage Securities Corp.
0.564% due 01/25/2043		107		104
First Franklin Mortgage Loan Asset-Backed Certificates
0.364% due 11/25/2036		382		360
0.364% due 03/25/2037		1,117		1,036
Ford Credit Auto Owner Trust
1.739% due 06/15/2012		7,000		7,025
Fremont Home Loan Trust
0.374% due 01/25/2037		718		466
GSRPM Mortgage Loan Trust
0.434% due 03/25/2035		226		208
Home Equity Mortgage Trust
0.494% due 05/25/2036		5,777		3,003
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		270		163
Indymac Residential Asset-Backed Trust
0.464% due 03/25/2036		241		238
LA Arena Funding LLC
7.656% due 12/15/2026		79		74
Long Beach Mortgage Loan Trust
0.374% due 10/25/2036		195		182
Residential Asset Securities Corp.
0.384% due 11/25/2036		106		104
SACO I, Inc.
0.694% due 11/25/2035		1,415		577
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		488		263
Structured Asset Securities Corp.
0.364% due 10/25/2036		408		373
0.424% due 04/25/2036		69		68
Washington Mutual Asset-Backed Certificates
0.374% due 10/25/2036		790		649
Total Asset-Backed Securities (Cost $30,786)				25,551
SOVEREIGN ISSUES 2.5%
Israel Government AID Bond
0.000% due 05/15/2021		7,277		4,011
0.000% due 02/15/2023		3,193		1,592
0.000% due 05/15/2023		25,571		12,551
5.500% due 09/18/2023		5,700		6,108
5.500% due 09/18/2033		2,800		2,916
Total Sovereign Issues (Cost $28,653)				27,178
SHORT-TERM INSTRUMENTS 2.3%
REPURCHASE AGREEMENTS 0.3%
State Street Bank and Trust Co.
0.010% due 07/01/2009		3,333		3,333
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $3,400. Repurchase proceeds are $3,333.)
U.S. TREASURY BILLS 0.2%
0.135% due 07/02/2009 - 07/30/2009 (b)(e)		1,840		1,840
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 1.8%
		1,889,215		18,909
Total Short-Term Instruments (Cost $24,082)				24,082
PURCHASED OPTIONS (i) 0.3% (Cost $862)				3,017
Total Investments 122.9% (Cost $1,334,720)			$	1,308,758
Other Assets and Liabilities (Net) (22.9%)				(244,268	)
Net Assets 100.0%			$	1,064,490

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) Principal amount of security is adjusted for inflation.

(d) Affiliated to the Fund.

(e) Securities with an aggregate market value of $2,089 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $80,538 at a weighted average interest rate of 0.279%. On June 30, 2009, securities valued at $10,402 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $4,610 and cash of $702 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
90-Day Eurodollar December Futures	Long	12/2010	913	$	1,034
90-Day Eurodollar June Futures	Long	06/2010	252		1,193
90-Day Eurodollar March Futures	Long	03/2010	418		350
U.S. Treasury 30-Year Bond September Futures	Long	09/2009	734		3,950
				$	6,527

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Avon Products, Inc.	CSFB	(0.150	%)	03/20/2011	0.330	%	$	2,800	$	8	$	0	$	8
Bank of America Corp.	MLP	(0.170	%)	12/20/2016	2.080	%		5,000		571		0		571
Countrywide Financial Corp.	JPM	(0.710	%)	06/20/2016	3.263	%		5,000		711		0		711
Gannett Co., Inc.	JPM	(0.330	%)	06/20/2011	13.875	%		2,200		496		0		496
HSBC Finance Corp.	BNP	(0.165	%)	12/20/2013	4.498	%		5,000		793		0		793
HSBC Finance Corp.	JPM	(0.220	%)	06/20/2016	4.233	%		3,000		608		0		608
International Lease Finance Corp.	GSC	(0.200	%)	03/20/2013	9.304	%		2,900		726		0		726
Johnson Controls, Inc.	JPM	(0.240	%)	03/20/2011	2.404	%		4,000		145		0		145
Kraft Foods, Inc.	RBS	(0.150	%)	12/20/2011	0.528	%		2,000		18		0		18
Loews Corp.	JPM	(0.280	%)	03/20/2016	0.610	%		3,000		60		0		60
Morgan Stanley	RBS	(0.275	%)	12/20/2015	1.976	%		3,000		275		0		275
Morgan Stanley	RBS	(0.320	%)	12/20/2016	1.917	%		4,400		423		0		423
Omnicom Group, Inc.	MSC	(0.390	%)	06/20/2016	0.821	%		1,500		40		0		40
Reed Elsevier Capital, Inc.	MSC	(0.280	%)	06/20/2012	0.436	%		900		4		0		4
Textron Financial Corp.	JPM	(0.110	%)	06/20/2010	8.273	%		3,000		225		0		225
Wells Fargo Bank N.A.	GSC	(0.140	%)	03/20/2015	1.918	%		5,000		447		0		447
									$	5,550	$	0	$	5,550

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
California State General Obligation Notes, Series 2005	GSC	0.670	%	03/20/2018	2.950	%	$	25,000	$	(2,572	)	$	0	$	(2,572	)
General Electric Capital Corp.	BOA	0.850	%	12/20/2009	3.899	%		1,400		(20	)		0		(20	)
General Electric Capital Corp.	GSC	0.830	%	12/20/2009	3.899	%		600		(8	)		0		(8	)
									$	(2,600	)	$	0	$	(2,600	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	3.000	%	12/16/2010	CSFB	$	11,000	$	175	$	148		$	27
Pay	3-Month USD-LIBOR	3.150	%	12/17/2010	RBS		74,400		2,200		0			2,200
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	BCLY		23,800		818		(234	)		1,052
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	RBS		51,000		1,753		(151	)		1,904
Pay	3-Month USD-LIBOR	3.000	%	12/16/2011	CITI		6,200		110		122			(12	)
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	BCLY		200		1		0			1
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	RBS		300		2		0			2
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		2,200		4		(41	)		45
								$	5,063	$	(156	)	$	5,219

(i) Purchased options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	14,600	$	156	$	524
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		9,800		104		351
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		4,100		46		147
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		15,600		152		559
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		25,800		280		925
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		11,700		124		511
									$	862	$	3,017

(j) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	4.500	%	07/01/2039	$	3,100	$	3,026	$	3,092
Fannie Mae	5.500	%	07/01/2039		3,100		3,186		3,200
Freddie Mac	5.500	%	07/01/2039		2,500		2,568		2,580
						$	8,780	$	8,872

(k) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	121,335		$	0	$	121,335
U.S. Government Agencies		0		459,464			7,687		467,151
U.S. Treasury Obligations		0		548,117			0		548,117
Mortgage-Backed Securities		0		75,403			0		75,403
Other Investments++		18,909		77,843			0		96,752
Investments, at value	$	18,909	$	1,282,162		$	7,687	$	1,308,758
Short Sales, at value	$	0	$	(8,872	)	$	0	$	(8,872	)
Financial Derivative Instruments+++	$	6,527	$	8,169		$	0	$	14,696
Total	$	25,436	$	1,281,459		$	7,687	$	1,314,582

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
U.S. Government Agencies	$	7,801	$	(58	)	$	0	$	0	$	(56	)	$	0	$	7,687
Investments, at value	$	7,801	$	(58	)	$	0	$	0	$	(56	)	$	0	$	7,687
Financial Derivative Instruments+++	$	0	$	0		$	0	$	0	$	0		$	0	$	0
Total	$	7,801	$	(58	)	$	0	$	0	$	(56	)	$	0	$	7,687

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Low Duration Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.4%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	47,160	$	43,918
Total Bank Loan Obligations (Cost $45,694)				43,918
CORPORATE BONDS & NOTES 33.6%
BANKING & FINANCE 25.5%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		14,400		14,907
American Express Bank FSB
0.371% due 04/26/2010		4,100		4,050
0.375% due 10/20/2009		23,235		23,234
5.500% due 04/16/2013		20,600		20,240
American Express Credit Corp.
0.381% due 11/09/2009		32,600		32,383
American Express Travel Related Services Co., Inc.
0.520% due 06/01/2011		20,600		18,281
American International Group, Inc.
1.217% due 10/18/2011		1,500		969
4.950% due 03/20/2012		7,700		5,240
5.050% due 10/01/2015		10,000		5,403
5.375% due 10/18/2011		4,600		3,316
5.450% due 05/18/2017		10,000		5,271
5.850% due 01/16/2018		33,700		17,854
8.250% due 08/15/2018		15,400		9,075
ANZ National International Ltd.
1.014% due 08/07/2009		5,700		5,701
6.200% due 07/19/2013		17,600		18,152
BA Covered Bond Issuer
5.500% due 06/14/2012		25,000		24,611
Bank of America Corp.
1.127% due 11/06/2009		3,100		3,095
2.100% due 04/30/2012		90,100		90,315
Bank of New York Mellon Corp.
1.416% due 02/05/2010		63,300		63,408
Barclays Bank PLC
6.050% due 12/04/2017		1,200		1,042
Bear Stearns Cos. LLC
0.842% due 08/21/2009		8,800		8,807
0.974% due 05/18/2010		64,800		64,720
1.093% due 08/15/2011		800		780
4.500% due 10/28/2010		12,000		12,277
6.400% due 10/02/2017		59,100		59,299
6.950% due 08/10/2012		74,890		81,474
Calabash Re Ltd.
9.024% due 01/08/2010		4,700		4,485
11.524% due 01/08/2010		4,500		4,385
Capital One Financial Corp.
0.930% due 09/10/2009		100,770		100,407
CIT Group Funding Co. of Canada
4.650% due 07/01/2010		9,500		8,076
CIT Group, Inc.
0.974% due 08/17/2009		48,100		46,749
1.170% due 02/13/2012		14,400		8,502
Citibank N.A.
1.625% due 03/30/2011		25,400		25,612
Citigroup, Inc.
0.631% due 12/28/2009		22,100		21,890
1.004% due 05/18/2010		4,400		4,322
1.070% due 08/13/2010		150		147
2.125% due 04/30/2012		20,100		20,206
5.100% due 09/29/2011		1,500		1,470
5.125% due 02/14/2011		27,165		27,099
5.500% due 04/11/2013		48,200		45,228
5.625% due 08/27/2012		14,600		13,682
8.400% due 04/29/2049 (a)		8,700		6,536
Countrywide Home Loans, Inc.
4.125% due 09/15/2009		19,700		19,765
5.625% due 07/15/2009		100		100
Credit Agricole S.A.
0.714% due 05/28/2010		24,400		24,275
Deutsche Bank Capital Funding Trust I
3.032% due 12/29/2049		3,100		1,550
Dexia Credit Local
1.262% due 09/23/2011		28,000		27,927
DnB NOR Bank ASA
1.209% due 10/13/2009		18,900		18,783
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		2,500		2,413
7.250% due 10/25/2011		900		779
7.375% due 10/28/2009		13,000		12,890
7.375% due 02/01/2011		10,600		9,600
7.875% due 06/15/2010		1,700		1,615
8.625% due 11/01/2010		1,000		940
General Electric Capital Corp.
0.609% due 12/21/2012		3,000		3,014
0.655% due 10/06/2010		1,000		982
0.924% due 05/08/2012		9,000		9,023
1.177% due 01/20/2010		35,200		34,999
1.418% due 06/20/2014		10,000		7,687
1.478% due 02/01/2011		6,300		6,102
1.800% due 03/11/2011		23,700		23,925
2.250% due 03/12/2012		100,000		100,961
3.000% due 12/09/2011		63,100		65,137
GMAC LLC
6.000% due 12/15/2011		3,500		2,940
Goldman Sachs Group, Inc.
1.059% due 03/22/2016		15,000		12,722
1.187% due 02/06/2012		20,000		19,110
1.430% due 07/23/2009		600		600
5.300% due 02/14/2012		3,000		3,107
HSBC Capital Funding LP
9.547% due 12/31/2049		20,046		18,743
HSBC Finance Capital Trust IX
5.911% due 11/30/2035		1,100		582
HSBC Finance Corp.
8.000% due 07/15/2010		12,000		12,461
ICICI Bank Ltd.
1.679% due 01/12/2010		32,200		31,564
ING Bank NV
3.900% due 03/19/2014		22,400		22,838
International Lease Finance Corp.
0.881% due 05/24/2010		8,950		8,165
JPMorgan Chase & Co.
1.282% due 01/17/2011		1,600		1,583
2.125% due 06/22/2012		13,000		13,061
2.200% due 06/15/2012		3,000		3,018
KeyBank N.A.
2.906% due 06/02/2010		42,400		41,174
Lehman Brothers Holdings, Inc.
2.911% due 08/21/2009 (a)		38,000		5,795
2.950% due 05/25/2010 (a)		1,400		214
3.053% due 11/10/2009 (a)		15,000		2,288
5.625% due 01/24/2013 (a)		5,300		828
Lloyds Banking Group PLC
5.920% due 09/29/2049		700		248
Lloyds TSB Bank PLC
2.300% due 04/01/2011		19,100		19,266
2.800% due 04/02/2012		122,000		123,518
Longpoint Re Ltd.
5.874% due 05/08/2010		8,500		8,262
Merrill Lynch & Co., Inc.
0.726% due 12/04/2009		21,000		20,962
0.867% due 06/05/2012		25,000		22,273
0.996% due 08/14/2009		23,000		23,001
1.228% due 11/01/2011		6,000		5,504
1.236% due 02/05/2010		275		272
3.188% due 05/12/2010		4,500		4,476
6.050% due 08/15/2012		8,330		8,360
Metropolitan Life Global Funding I
5.125% due 04/10/2013		41,000		41,750
Morgan Stanley
1.221% due 01/15/2010		30,900		30,655
1.357% due 01/18/2011		400		388
3.006% due 05/14/2010		29,100		29,023
3.250% due 12/01/2011		19,400		20,138
Mystic Re Ltd.
10.668% due 06/07/2011		6,400		5,959
National Australia Bank Ltd.
0.688% due 09/11/2009		23,500		23,483
1.424% due 02/08/2010		77,800		77,799
National City Bank
0.704% due 06/18/2010		1,500		1,466
National City Corp.
0.794% due 06/16/2010		3,000		2,975
Osiris Capital PLC
3.981% due 01/15/2010		11,000		10,786
Pacific Life Global Funding
5.150% due 04/15/2013		98,678		98,465
PNC Bank N.A.
1.478% due 02/01/2010		73,400		72,433
Pricoa Global Funding I
0.801% due 09/27/2013		14,770		11,405
1.139% due 01/30/2012		18,300		17,181
Principal Life Income Funding Trusts
1.043% due 11/15/2010		8,100		7,697
Residential Reinsurance 2007 Ltd.
10.918% due 06/07/2010		1,800		1,711
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		92,300		92,213
3.000% due 12/09/2011		22,400		22,886
9.118% due 03/31/2049		37,207		30,328
Scotland International Finance No. 2 BV
6.500% due 02/15/2011		9,450		8,992
SLM Corp.
1.232% due 07/27/2009		20,200		20,114
1.252% due 07/26/2010		20,000		18,158
Societe Financement de l’Economie Francaise
2.375% due 03/26/2012		13,100		13,223
Societe Generale
5.922% due 04/29/2049		2,800		1,738
TransCapitalInvest Ltd. for OJSC AK Transneft
7.700% due 08/07/2013		85,800		82,653
U.S. Bancorp
1.416% due 02/04/2010		37,820		37,840
Wachovia Corp.
0.899% due 06/15/2017		1,100		822
5.500% due 05/01/2013		32,300		33,406
Wells Fargo & Co.
1.239% due 01/12/2011		6,600		6,441
7.980% due 03/29/2049		229,100		190,432
Westpac Banking Corp.
3.250% due 12/16/2011		65,800		67,332
				2,821,994
INDUSTRIALS 5.5%
AIG SunAmerica Global Financing VI
6.300% due 05/10/2011		163,818		153,983
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		7,000		7,184
Daimler Finance North America LLC
1.466% due 08/03/2009		23,000		22,931
7.750% due 01/18/2011		3,000		3,128
Gaz Capital S.A.
7.510% due 07/31/2013		44,200		42,839
General Mills, Inc.
1.231% due 01/22/2010		17,700		17,677
General Motors Corp.
8.100% due 06/15/2024 (a)		1,100		135
Hewlett-Packard Co.
1.710% due 05/27/2011		55,000		55,737
International Business Machines Corp.
1.652% due 07/28/2011		72,500		72,983
PACCAR, Inc.
6.375% due 02/15/2012		42,800		46,316
6.875% due 02/15/2014		19,900		21,824
Roche Holdings, Inc.
2.661% due 02/25/2011		14,780		14,951
6.000% due 03/01/2019		87,100		93,044
Ryder System, Inc.
5.950% due 05/02/2011		10,380		10,362
Time Warner, Inc.
1.150% due 11/13/2009		17,400		17,360
Wal-Mart Stores, Inc.
4.250% due 04/15/2013		25,100		26,111
				606,565
UTILITIES 2.6%
AT&T Corp.
7.300% due 11/15/2011		47,000		51,579
AT&T, Inc.
1.116% due 02/05/2010		11,700		11,710
BellSouth Corp.
4.950% due 04/26/2021		35,200		35,970
Pacific Gas & Electric Co.
4.200% due 03/01/2011		5,000		5,162
Public Service Electric & Gas Co.
1.514% due 03/12/2010		51,300		51,242
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		3,200		3,208
Telecom Italia Capital S.A.
1.717% due 07/18/2011		24,000		22,948
Verizon Communications, Inc.
6.100% due 04/15/2018		10,000		10,274
Verizon Wireless Capital LLC
3.316% due 05/20/2011		1,000		1,030
5.250% due 02/01/2012		88,480		93,390
				286,513
Total Corporate Bonds & Notes (Cost $3,776,614)				3,715,072
CONVERTIBLE BONDS & NOTES 0.2%
Bristol-Myers Squibb Co.
0.129% due 09/15/2023		18,950		16,771
Total Convertible Bonds & Notes (Cost $16,784)				16,771
MUNICIPAL BONDS & NOTES 0.3%
Louisiana State Revenue Bonds, Series 2009
3.000% due 05/01/2043		35,300		35,017
Total Municipal Bonds & Notes (Cost $35,300)				35,017
U.S. GOVERNMENT AGENCIES 55.9%
Fannie Mae
0.374% due 12/25/2036		9,220		8,324
0.514% due 10/27/2037		107,300		97,710
0.664% due 03/25/2044		719		678
0.714% due 05/25/2031 - 06/25/2032		2,429		2,389
0.914% due 05/25/2030		562		554
0.944% due 04/25/2022		13		13
0.964% due 05/25/2030		562		552
1.750% due 03/23/2011 (f)		3,500		3,535
2.638% due 07/01/2042 - 07/01/2044		11,261		11,156
2.693% due 09/01/2041		18,912		18,790
2.838% due 10/01/2030 - 11/01/2039		1,658		1,653
2.920% due 06/01/2017		12		12
3.250% due 08/01/2017		6		6
3.253% due 07/01/2018		12		12
3.375% due 05/19/2011		13,900		14,479
3.487% due 12/01/2017		23		23
3.512% due 05/01/2035		3,331		3,381
3.529% due 06/01/2022		6		6
3.582% due 07/01/2017		44		44
3.622% due 03/01/2035		2,179		2,266
3.748% due 11/01/2017		29		29
3.758% due 01/01/2021		29		28
3.769% due 03/01/2035		1,398		1,382
3.992% due 12/01/2033		441		447
4.000% due 05/01/2011 - 07/01/2017		185		188
4.046% due 01/01/2024		145		148
4.089% due 04/01/2024		195		199
4.176% due 11/01/2017 - 09/01/2032		1,718		1,765
4.250% due 05/25/2033		7,588		7,720
4.295% due 11/01/2018		4		4
4.372% due 01/01/2024		10		10
4.436% due 10/01/2024		175		180
4.452% due 04/01/2034		1,189		1,229
4.458% due 02/01/2028		10		10
4.486% due 11/01/2034		1,956		2,017
4.500% due 06/01/2011 - 08/01/2035		8,181		8,412
4.535% due 01/01/2028		64		64
4.582% due 07/01/2035		10,044		10,399
4.620% due 08/01/2035		14,775		15,304
4.644% due 01/01/2035		14,051		14,499
4.648% due 07/01/2035		10,495		10,855
4.676% due 10/01/2034		6,104		6,279
4.706% due 05/01/2035		7,829		8,135
4.751% due 03/01/2035		16,277		16,743
4.847% due 07/25/2017		407		414
4.908% due 10/01/2035		6,263		6,446
4.928% due 09/01/2035		7,787		7,984
4.934% due 11/01/2027		61		62
4.968% due 06/01/2035		1,563		1,619
4.980% due 02/01/2028		276		282
4.998% due 12/01/2023		32		32
5.000% due 12/01/2013 - 07/01/2039		1,152,013		1,193,254
5.014% due 06/01/2035		3,123		3,224
5.040% due 04/01/2018		661		677
5.500% due 05/01/2014 - 07/01/2039		981,534		1,015,894
5.500% due 02/01/2038 (i)		48,411		50,067
6.000% due 05/01/2016 - 07/01/2039		1,634,082		1,710,324
6.000% due 05/01/2038 - 10/01/2038 (f)		301,255		315,335
6.000% due 07/01/2038 (i)		21,519		22,525
6.106% due 07/01/2023		87		90
6.250% due 02/01/2011		78,000		82,077
6.325% due 08/01/2029		686		692
6.500% due 08/01/2028 - 12/25/2042		101,878		108,634
7.000% due 05/01/2012 - 01/01/2032		372		390
7.500% due 02/01/2013		2		2
8.000% due 04/01/2030 - 11/01/2031		2,717		2,965
8.500% due 04/01/2025		129		142
8.800% due 01/25/2019		84		91
9.000% due 03/25/2021 - 01/01/2025		291		328
9.250% due 10/25/2018		5		5
9.500% due 03/25/2020 - 11/01/2025		665		741
10.000% due 01/01/2011 - 05/01/2022		11		12
10.500% due 07/01/2014 - 07/01/2021		3		3
11.000% due 11/01/2020		3		3
11.250% due 10/01/2015		6		6
11.500% due 11/01/2019 - 02/01/2020		2		2
11.750% due 02/01/2016		8		9
13.000% due 07/01/2015		2		2
13.250% due 09/01/2011		1		1
15.750% due 12/01/2011		1		1
16.000% due 09/01/2012 - 12/01/2012		1		1
Federal Home Loan Bank
3.375% due 06/24/2011		700		726
Federal Housing Administration
4.918% due 11/01/2019		30		30
7.430% due 10/01/2020 - 07/01/2024		3,133		3,141
Freddie Mac
0.469% due 07/15/2019 - 10/15/2020		158,167		155,002
0.574% due 08/25/2031		3,525		2,833
0.594% due 09/25/2031		5,848		5,335
0.619% due 05/15/2036		14,701		14,200
0.669% due 12/15/2030		10,026		9,894
0.702% due 03/09/2011 (f)		1,352		1,357
0.719% due 06/15/2018		3,446		3,386
0.769% due 11/15/2030		10		10
0.888% due 02/01/2011		4,600		4,594
0.926% due 05/04/2011 (f)		20,952		21,006
0.937% due 08/05/2011 (f)		70,100		70,125
1.125% due 06/01/2011		95,900		95,778
1.325% due 10/15/2020		46		46
1.375% due 03/15/2021		27		27
1.625% due 04/26/2011		74,700		75,316
2.500% due 03/01/2017		24		24
2.838% due 07/25/2044		703		696
3.250% due 01/01/2017		4		4
3.500% due 02/01/2023		1		1
3.832% due 08/15/2032		670		676
4.000% due 09/15/2015		96		98
4.000% due 01/15/2024 (b)		3,130		408
4.143% due 08/01/2035		15,060		15,501
4.261% due 06/01/2024		56		57
4.376% due 11/01/2022		259		263
4.453% due 03/01/2035		4,297		4,413
4.500% due 02/15/2015 - 06/01/2018		28,703		29,482
4.598% due 04/01/2035		10,360		10,620
4.636% due 04/01/2035		8,170		8,408
4.700% due 06/01/2035		72,904		75,068
4.710% due 08/01/2035		66,817		68,061
4.720% due 01/01/2024		92		94
4.729% due 03/01/2035		8,185		8,468
4.742% due 02/01/2020		261		268
4.824% due 10/01/2027		27		28
4.855% due 07/01/2035		741		766
4.875% due 06/13/2018		7,400		7,978
4.924% due 07/01/2035		18,773		19,452
4.990% due 11/01/2023		10		10
4.995% due 04/01/2035		1,947		2,012
5.000% due 04/01/2013 - 07/15/2024		26,663		27,138
5.003% due 03/01/2035		1,367		1,418
5.060% due 04/01/2035		3,974		4,138
5.065% due 07/01/2018		51		52
5.112% due 10/01/2023		119		119
5.129% due 12/01/2022		41		42
5.219% due 09/01/2023		14		15
5.250% due 07/18/2011		8,700		9,393
5.500% due 02/15/2014 - 01/01/2039		79,474		82,521
5.875% due 03/21/2011		58,000		60,847
6.000% due 03/01/2011 - 07/01/2039		29,207		30,685
6.500% due 03/15/2029 - 07/25/2043		50,307		53,689
7.000% due 01/01/2030 - 04/01/2032		64		69
7.500% due 07/15/2030		497		539
8.000% due 01/01/2012 - 12/01/2024		293		316
8.500% due 06/01/2022 - 11/01/2025		754		837
9.000% due 12/15/2020 - 08/01/2022		255		281
9.500% due 08/01/2016 - 09/01/2021		83		90
10.000% due 11/01/2016 - 05/15/2020		37		40
14.000% due 09/01/2012 - 04/01/2016		1		1
Ginnie Mae
0.868% due 12/16/2025		124		122
4.000% due 01/20/2032 - 02/20/2032		3,849		3,902
4.125% due 10/20/2023 - 12/20/2027		2,771		2,813
4.375% due 03/20/2017 - 03/20/2027		3,723		3,804
4.500% due 03/20/2019 - 03/20/2031		195		200
4.625% due 08/20/2022 - 07/20/2030		3,645		3,734
5.375% due 04/20/2016 - 05/20/2030		2,031		2,095
6.000% due 01/15/2029 - 12/15/2038		140,749		146,855
6.500% due 09/15/2032 - 05/15/2034		44		48
6.500% due 04/15/2036 (i)		153,189		162,962
7.000% due 03/15/2011 - 10/15/2011		8		9
7.500% due 03/15/2022 - 09/15/2031		166		181
8.000% due 05/15/2016 - 06/20/2031		1,824		2,001
8.500% due 12/15/2021 - 05/15/2030		8		8
9.000% due 03/15/2017 - 11/15/2030		250		280
9.500% due 10/15/2016 - 06/15/2025		23		25
9.750% due 08/15/2017		19		20
10.000% due 10/15/2013 - 11/15/2020		5		5
10.500% due 11/15/2019 - 02/15/2021		1		1
11.500% due 08/15/2018		2		3
11.750% due 08/15/2013		2		3
12.000% due 06/20/2015		0		1
13.000% due 10/15/2013		3		4
13.500% due 11/15/2012		3		4
16.000% due 02/15/2012		4		4
Small Business Administration
4.310% due 04/01/2029		30,600		30,864
Vendee Mortgage Trust
6.500% due 05/15/2029		36,658		37,105
Total U.S. Government Agencies (Cost $6,078,453)				6,180,910
U.S. TREASURY OBLIGATIONS 1.1%
Treasury Inflation Protected Securities (d)
2.000% due 01/15/2016		95,831		97,239
2.500% due 07/15/2016		11,404		11,963
U.S. Treasury Notes
0.875% due 04/30/2011 (i)		7,299		7,280
Total U.S. Treasury Obligations (Cost $116,075)				116,482
MORTGAGE-BACKED SECURITIES 9.9%
American Home Mortgage Assets
0.524% due 10/25/2046		32,371		10,555
American Home Mortgage Investment Trust
4.290% due 10/25/2034		38,540		27,379
4.390% due 02/25/2045		11,519		9,079
4.440% due 02/25/2045		37,436		28,537
Banc of America Funding Corp.
3.781% due 05/25/2035		212,134		180,419
Banc of America Mortgage Securities, Inc.
3.919% due 05/25/2033		277		229
6.500% due 10/25/2031		4,702		4,620
Bear Stearns Adjustable Rate Mortgage Trust
2.900% due 03/25/2035		11,995		10,379
3.859% due 11/25/2030		93		84
4.550% due 08/25/2035		1,000		884
4.625% due 10/25/2035		48,845		38,732
4.740% due 10/25/2035		139,776		101,510
4.991% due 01/25/2035		4,798		3,557
5.021% due 04/25/2033		6,617		5,930
5.088% due 02/25/2033		876		785
5.409% due 01/25/2034		9,562		7,707
5.423% due 04/25/2033		19,260		17,480
5.609% due 02/25/2033		1,360		1,266
Bear Stearns Alt-A Trust
5.208% due 03/25/2035		26,742		14,330
5.362% due 05/25/2035		27,525		17,844
5.490% due 09/25/2035		7,370		4,004
Bear Stearns Commercial Mortgage Securities
5.331% due 02/11/2044		1,500		1,218
5.471% due 01/12/2045		4,200		3,500
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		14,272		11,005
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		14,916		8,244
Citicorp Mortgage Securities, Inc.
5.375% due 12/25/2019		8		8
Citigroup Mortgage Loan Trust, Inc.
4.685% due 03/25/2034		4,622		3,985
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		13,100		9,588
Countrywide Alternative Loan Trust
0.494% due 05/25/2047		12,329		4,634
0.594% due 02/25/2037		13,306		6,062
Countrywide Home Loan Mortgage Pass-Through Trust
0.604% due 04/25/2035		4,042		1,819
4.711% due 02/20/2035		24,366		19,396
4.786% due 11/25/2034		13,772		10,466
5.250% due 02/20/2036		25,050		14,638
Credit Suisse Mortgage Capital Certificates
5.846% due 03/15/2039		1,400		1,005
CS First Boston Mortgage Securities Corp.
1.135% due 03/25/2032		2,234		1,691
4.938% due 12/15/2040		6,036		6,060
5.329% due 06/25/2032		62		52
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.394% due 03/25/2037		2,262		2,218
DLJ Acceptance Trust
11.000% due 08/01/2019		55		54
Drexel Burnham Lambert CMO Trust
1.070% due 05/01/2016		2		2
First Horizon Alternative Mortgage Securities
3.572% due 06/25/2034		16,033		10,388
First Horizon Asset Securities, Inc.
3.170% due 07/25/2033		6,539		5,794
GMAC Mortgage Securities, Inc.
7.430% due 12/01/2021		75		75
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		12,308		10,141
0.394% due 01/25/2047		13,553		10,294
Greenwich Capital Commercial Funding Corp.
4.799% due 08/10/2042		500		427
5.444% due 03/10/2039		6,800		5,439
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		9,502		8,152
5.993% due 08/10/2045		13,400		10,164
GSR Mortgage Loan Trust
3.949% due 09/25/2035		8,568		6,549
4.469% due 09/25/2035		80,152		67,513
6.000% due 03/25/2032		757		753
Harborview Mortgage Loan Trust
5.143% due 07/19/2035		11,519		6,703
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		3,850		3,614
Imperial Savings Association
6.503% due 02/25/2018		35		35
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		7,026		6,546
0.524% due 05/25/2046		6,000		2,478
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		2,000		1,478
5.882% due 02/15/2051		4,400		3,307
6.007% due 06/15/2049		50,985		39,141
JPMorgan Mortgage Trust
5.012% due 02/25/2035		18,875		16,519
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		8,031		8,078
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		2,873		2,544
MASTR Adjustable Rate Mortgages Trust
3.469% due 11/21/2034		11,819		7,471
MASTR Asset Securitization Trust
5.500% due 09/25/2033		20,346		19,381
Mellon Residential Funding Corp.
0.799% due 06/15/2030		17,874		14,881
Merrill Lynch Countrywide Commercial Mortgage Trust
5.485% due 03/12/2051		9,400		6,333
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		12,809		6,920
4.296% due 05/25/2033		9,648		7,788
4.482% due 02/25/2035		26,252		21,101
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		2,188		1,512
4.250% due 10/25/2035		12,925		10,348
Morgan Stanley Capital I
0.380% due 10/15/2020		5,625		4,173
5.809% due 12/12/2049		18,825		14,396
Prime Mortgage Trust
0.714% due 02/25/2019		840		796
0.714% due 02/25/2034		5,163		4,179
Prudential-Bache CMO Trust
8.400% due 03/20/2021		102		102
Resecuritization Mortgage Trust
0.558% due 04/26/2021		30		30
Residential Asset Mortgage Products, Inc.
5.000% due 09/25/2034		889		867
Salomon Brothers Mortgage Securities VII, Inc.
8.000% due 09/25/2030		16		15
Sears Mortgage Securities
12.000% due 02/25/2014		5		5
Structured Asset Mortgage Investments, Inc.
0.563% due 07/19/2035		6,139		4,001
0.594% due 02/25/2036		6,544		3,013
0.973% due 09/19/2032		5,503		4,115
9.383% due 06/25/2029		511		509
Structured Asset Securities Corp.
3.716% due 01/25/2032		149		137
4.093% due 07/25/2032		113		86
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046		14,177		12,747
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		27,198		20,029
0.409% due 09/15/2021		15,805		11,390
5.509% due 04/15/2047		6,200		4,131
WaMu Mortgage Pass-Through Certificates
0.604% due 10/25/2045		5,795		3,039
0.624% due 01/25/2045		373		174
2.070% due 01/25/2047		9,353		4,151
2.150% due 12/25/2046		43,189		18,609
2.540% due 11/25/2042		2,035		1,174
2.740% due 06/25/2042		3,300		2,399
2.740% due 08/25/2042		2,621		1,661
2.877% due 02/27/2034		10,396		8,521
2.877% due 01/25/2047		6,456		2,691
3.127% due 09/25/2046		15,221		6,634
3.711% due 03/25/2034		4,398		3,690
Washington Mutual MSC Mortgage Pass-Through Certificates
5.185% due 02/25/2033		215		178
5.380% due 02/25/2033		80		68
Wells Fargo Mortgage-Backed Securities Trust
4.697% due 12/25/2033		5,095		4,602
4.950% due 03/25/2036		28,155		19,922
5.388% due 08/25/2035		5,673		5,068
5.593% due 07/25/2036		23,293		15,643
Total Mortgage-Backed Securities (Cost $1,439,440)				1,095,767
ASSET-BACKED SECURITIES 4.5%
Access Group, Inc.
2.392% due 10/27/2025		65,603		66,146
ACE Securities Corp.
0.364% due 12/25/2036		3,244		2,383
Amortizing Residential Collateral Trust
0.604% due 07/25/2032		744		396
Asset-Backed Funding Certificates
0.374% due 10/25/2036		492		484
0.374% due 01/25/2037		4,404		3,638
Asset-Backed Securities Corp. Home Equity
0.364% due 12/25/2036		944		867
0.839% due 06/15/2031		7		3
BA Credit Card Trust
0.899% due 04/15/2013		7,640		7,583
Bear Stearns Asset-Backed Securities Trust
0.374% due 01/25/2037		2,590		2,101
0.394% due 10/25/2036		3,605		3,195
0.764% due 03/25/2043		2,496		2,269
1.314% due 10/25/2037		29,423		15,862
Carrington Mortgage Loan Trust
0.364% due 01/25/2037		9,440		7,857
0.414% due 06/25/2037		1,258		1,002
0.634% due 10/25/2035		11,928		9,261
Chase Funding Mortgage Loan Asset-Backed Certificates
0.954% due 11/25/2031		833		672
Chase Issuance Trust
0.359% due 02/15/2013		850		837
0.969% due 11/15/2011		4,100		4,104
CIT Group Home Equity Loan Trust
0.584% due 06/25/2033		692		507
Citigroup Mortgage Loan Trust, Inc.
0.414% due 10/25/2036		9,347		8,773
Community Program Loan Trust
4.500% due 10/01/2018		2,816		2,816
Countrywide Asset-Backed Certificates
0.364% due 05/25/2037		5,203		4,925
0.364% due 12/25/2046		677		663
0.364% due 03/25/2047		2,062		2,004
Credit-Based Asset Servicing & Securitization LLC
0.404% due 12/25/2037		888		846
Daimler Chrysler Auto Trust
1.168% due 10/08/2010		10,683		10,688
4.980% due 02/08/2011		5,155		5,209
Equity One Asset-Backed Securities, Inc.
0.874% due 11/25/2032		10,134		5,756
First Franklin Mortgage Loan Asset-Backed Certificates
0.364% due 11/25/2036		14,068		13,256
0.364% due 12/25/2036		20		20
Ford Credit Auto Owner Trust
0.649% due 06/15/2010		181		181
0.919% due 07/15/2010		8,408		8,410
1.219% due 01/15/2011		56,642		56,689
1.739% due 06/15/2012		57,600		57,805
1.939% due 05/15/2012		13,500		13,420
Fremont Home Loan Trust
0.374% due 01/25/2037		5,814		3,773
0.414% due 05/25/2036		64		63
GSAMP Trust
0.354% due 10/25/2046		2,549		2,414
0.384% due 09/25/2036		709		679
0.384% due 12/25/2036		9,937		5,268
HFC Home Equity Loan Asset-Backed Certificates
0.585% due 01/20/2035		3,019		1,880
0.605% due 01/20/2034		15,476		10,723
0.665% due 09/20/2033		7,425		5,558
HSI Asset Securitization Corp. Trust
0.364% due 10/25/2036		706		417
0.364% due 12/25/2036		4,045		2,452
Indymac Residential Asset-Backed Trust
0.374% due 04/25/2037		2,599		2,469
JPMorgan Mortgage Acquisition Corp.
0.364% due 07/25/2036		1,452		1,376
0.364% due 08/25/2036		1,361		1,264
0.377% due 11/25/2036		1,141		1,079
Lehman XS Trust
0.384% due 05/25/2046		21		21
Long Beach Mortgage Loan Trust
0.354% due 11/25/2036		2,131		1,978
0.374% due 10/25/2036		874		815
0.594% due 10/25/2034		589		377
MASTR Asset-Backed Securities Trust
0.354% due 08/25/2036		1,557		1,505
Morgan Stanley ABS Capital I
0.354% due 10/25/2036		2,506		2,349
0.354% due 01/25/2037		6,430		5,570
0.364% due 10/25/2036		1,841		1,713
Morgan Stanley IXIS Real Estate Capital Trust
0.364% due 11/25/2036		772		733
Option One Mortgage Loan Trust
0.364% due 01/25/2037		4,053		3,843
Renaissance Home Equity Loan Trust
1.014% due 08/25/2032		40		19
Residential Asset Securities Corp.
0.384% due 11/25/2036		3,385		3,332
0.774% due 06/25/2031		3		2
Saxon Asset Securities Trust
0.374% due 10/25/2046		974		937
Securitized Asset-Backed Receivables LLC Trust
0.364% due 09/25/2036		1,176		1,034
0.374% due 12/25/2036		7,557		4,238
0.444% due 05/25/2037		2,376		1,483
SLM Student Loan Trust
1.132% due 01/25/2019		7,000		6,966
1.182% due 10/25/2016		177		177
1.342% due 07/25/2013		9,433		9,415
1.392% due 01/25/2015		4,694		4,664
1.592% due 10/25/2017		47,700		46,356
1.772% due 07/25/2013		29,786		29,790
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		4,119		2,219
Specialty Underwriting & Residential Finance
0.359% due 11/25/2037		662		640
0.374% due 01/25/2038		4,928		4,046
Structured Asset Securities Corp.
0.364% due 10/25/2036		6,184		5,650
0.604% due 01/25/2033		754		537
4.930% due 01/25/2035		816		728
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		543		536
WMC Mortgage Loan Pass-Through Certificates
0.999% due 05/15/2030		202		179
Total Asset-Backed Securities (Cost $554,265)				501,895
SOVEREIGN ISSUES 1.9%
Export-Import Bank of Korea
1.386% due 10/04/2011		1,000		1,003
8.125% due 01/21/2014		105,700		115,848
Korea Development Bank
0.996% due 11/22/2012		2,200		1,942
Province of Ontario Canada
4.100% due 06/16/2014		86,100		87,935
Total Sovereign Issues (Cost $194,577)				206,728
FOREIGN CURRENCY-DENOMINATED ISSUES 1.4%
Bear Stearns Cos. LLC
2.625% due 12/07/2011	CHF	35,000		31,978
Citigroup Capital XVIII
6.829% due 06/28/2067	GBP	10,000		8,637
Fortis Bank Nederland Holding NV
3.000% due 04/17/2012	EUR	19,000		26,951
KeyCorp
1.444% due 11/22/2010		7,085		8,932
LeasePlan Corp. NV
3.125% due 02/10/2012		2,900		4,127
Lehman Brothers Holdings, Inc.
5.154% due 03/17/2011 (a)		6,427		1,352
Morgan Stanley
1.600% due 03/01/2013		25,300		31,563
Pacific Life Global Funding
2.750% due 05/15/2012	CHF	9,000		8,010
SLM Corp.
1.756% due 04/26/2011	EUR	5,000		5,801
Societe Financement de l’Economie Francaise
2.125% due 05/20/2012		12,500		17,522
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	1,300,000		12,689
Swedbank AB
3.625% due 12/02/2011	EUR	400		579
Total Foreign Currency-Denominated Issues (Cost $156,205)				158,141
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.2%
General Motors Corp.
5.250% due 03/06/2032		428,000		1,233
Wells Fargo & Co.
7.500% due 12/31/2049		29,900		23,470
Total Convertible Preferred Stocks (Cost $19,886)				24,703
PREFERRED STOCKS 0.8%
DG Funding Trust
1.343% due 12/31/2049		10,254		88,697
Total Preferred Stocks (Cost $108,094)				88,697
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 2.3%
COMMERCIAL PAPER 0.5%
Federal Home Loan Bank
0.097% due 07/01/2009	$	54,500		54,500
REPURCHASE AGREEMENTS 0.6%
Barclays Capital, Inc.
0.020% due 07/01/2009		62,000		62,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $64,181. Repurchase proceeds are $62,000.)
U.S. TREASURY BILLS 0.1%
0.116% due 07/02/2009 -
07/30/2009 (c)(f)(g)(i)		16,525		16,523
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (e) 1.1%
		11,738,998		117,496
Total Short-Term Instruments (Cost $250,523)				250,519
PURCHASED OPTIONS (k) 0.2% (Cost $7,603)				27,120
Total Investments 112.7% (Cost $12,799,513)			$	12,461,740
Written Options (l) (0.0%) (Premiums $1,508)				(532	)
Other Assets and Liabilities (Net) (12.7%)				(1,403,389	)
Net Assets 100.0%			$	11,057,819

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

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

(a) Security is in default.

(b) Interest only security.

(c) Coupon represents a weighted average rate.

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

(e) Affiliated to the Fund.

(f) Securities with an aggregate market value of $40,358 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(g) Securities with an aggregate market value of $320 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(h) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $155,425 at a weighted average interest rate of 0.628%. On June 30, 2009, there were no open reverse repurchase agreements.

(i) Securities with an aggregate market value of $14,429 and cash of $495 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	284	$	255
90-Day Euribor March Futures	Long	03/2010	482		659
90-Day Eurodollar December Futures	Long	12/2009	5,515		11,691
90-Day Eurodollar December Futures	Long	12/2010	1,505		(1,010	)
90-Day Eurodollar June Futures	Long	06/2010	1,240		342
90-Day Eurodollar March Futures	Long	03/2010	1,209		6,406
90-Day Eurodollar September Futures	Long	09/2009	3,925		22,052
90-Day Eurodollar September Futures	Long	09/2010	162		45
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	233		1,588
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	137		(73	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	137		41
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	137		85
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	137		(11	)
				$	42,070

(j) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American International Group, Inc.	BCLY	2.100	%	03/20/2013	16.024	%	$	12,700	$	(4,322	)	$	0		$	(4,322	)
American International Group, Inc.	DUB	1.400	%	06/20/2013	15.775	%		16,200		(5,936	)		0			(5,936	)
American International Group, Inc.	GSC	1.380	%	06/20/2013	15.775	%		20,200		(7,413	)		0			(7,413	)
American International Group, Inc.	GSC	1.800	%	06/20/2013	15.775	%		2,000		(712	)		0			(712	)
American International Group, Inc.	RBS	1.360	%	06/20/2013	15.775	%		20,300		(7,460	)		0			(7,460	)
Berkshire Hathaway Finance Corp.	DUB	1.000	%	09/20/2013	2.396	%		20,000		(1,045	)		0			(1,045	)
Ford Motor Credit Co. LLC	BCLY	5.800	%	09/20/2012	10.284	%		1,300		(142	)		0			(142	)
Ford Motor Credit Co. LLC	DUB	5.650	%	09/20/2012	10.284	%		2,200		(249	)		0			(249	)
Ford Motor Credit Co. LLC	GSC	3.850	%	09/20/2012	10.284	%		4,500		(711	)		0			(711	)
Ford Motor Credit Co. LLC	JPM	3.900	%	09/20/2012	10.284	%		7,500		(1,176	)		0			(1,176	)
Ford Motor Credit Co. LLC	JPM	3.950	%	09/20/2012	10.284	%		10,000		(1,556	)		0			(1,556	)
Ford Motor Credit Co. LLC	JPM	5.750	%	09/20/2012	10.284	%		1,000		(111	)		0			(111	)
Ford Motor Credit Co. LLC	MLP	5.620	%	09/20/2012	10.284	%		2,000		(228	)		0			(228	)
General Electric Capital Corp.	BNP	0.780	%	03/20/2011	4.121	%		6,300		(342	)		0			(342	)
General Electric Capital Corp.	BNP	1.250	%	03/20/2013	4.347	%		2,000		(198	)		0			(198	)
General Electric Capital Corp.	CITI	1.050	%	03/20/2010	3.900	%		6,300		(126	)		0			(126	)
General Electric Capital Corp.	CITI	1.100	%	03/20/2010	3.900	%		2,800		(55	)		0			(55	)
General Electric Capital Corp.	CITI	1.150	%	03/20/2010	3.900	%		1,800		(35	)		0			(35	)
General Electric Capital Corp.	CITI	5.000	%	06/20/2010	3.783	%		4,800		62			(30	)		92
General Electric Capital Corp.	CITI	4.000	%	12/20/2013	4.336	%		16,600		(190	)		0			(190	)
General Electric Capital Corp.	CITI	4.325	%	12/20/2013	4.336	%		10,200		7			0			7
General Electric Capital Corp.	DUB	0.800	%	06/20/2011	4.176	%		32,700		(2,035	)		0			(2,035	)
General Electric Capital Corp.	GSC	0.900	%	12/20/2010	4.048	%		1,900		(84	)		0			(84	)
General Electric Capital Corp.	GSC	8.000	%	03/20/2011	4.121	%		8,000		522			0			522
General Electric Capital Corp.	GSC	5.000	%	06/20/2011	4.022	%		10,000		194			(500	)		694
General Electric Capital Corp.	RBS	1.200	%	03/20/2010	3.900	%		16,700		(316	)		0			(316	)
GMAC LLC	BCLY	3.650	%	09/20/2012	10.203	%		2,000		(320	)		0			(320	)
GMAC LLC	CITI	3.720	%	09/20/2012	10.203	%		2,800		(442	)		0			(442	)
GMAC LLC	DUB	3.200	%	09/20/2012	10.203	%		5,500		(940	)		0			(940	)
GMAC LLC	GSC	3.200	%	09/20/2012	10.203	%		4,300		(735	)		0			(735	)
GMAC LLC	JPM	3.250	%	09/20/2012	10.203	%		7,500		(1,273	)		0			(1,273	)
GMAC LLC	JPM	3.370	%	09/20/2012	10.203	%		10,000		(1,667	)		0			(1,667	)
GMAC LLC	JPM	3.670	%	09/20/2012	10.203	%		13,000		(2,071	)		0			(2,071	)
GMAC LLC	JPM	3.750	%	09/20/2012	10.203	%		2,000		(315	)		0			(315	)
GMAC LLC	JPM	4.850	%	09/20/2012	10.203	%		8,300		(1,080	)		0			(1,080	)
Indonesia Government International Bond	RBS	1.310	%	12/20/2011	2.930	%		4,900		(185	)		0			(185	)
JSC Gazprom	MSC	0.860	%	11/20/2011	5.055	%		38,400		(3,521	)		0			(3,521	)
Mexico Government International Bond	CSFB	2.950	%	12/20/2009	1.180	%		1,000		9			0			9
Panama Government International Bond	MSC	0.750	%	01/20/2012	1.532	%		500		(8	)		0			(8	)
SLM Corp.	BNP	5.050	%	03/20/2013	8.375	%		6,200		(577	)		0			(577	)
SLM Corp.	BOA	4.600	%	03/20/2010	8.950	%		100		(2	)		(19	)		17
SLM Corp.	BOA	2.860	%	12/20/2012	8.427	%		100		(15	)		(31	)		16
SLM Corp.	BOA	4.930	%	03/20/2013	8.375	%		100		(10	)		(27	)		17
SLM Corp.	BOA	5.025	%	03/20/2013	8.375	%		200		(19	)		(54	)		35
SLM Corp.	BOA	5.000	%	12/20/2013	8.248	%		100		(10	)		(28	)		18
SLM Corp.	BOA	5.000	%	03/20/2014	8.214	%		100		(11	)		(29	)		18
Wells Fargo & Co.	DUB	1.000	%	09/20/2013	1.476	%		2,700		(49	)		(68	)		19
									$	(46,898	)	$	(786	)	$	(46,112	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.HY-8 5-Year Index 25-35%	CITI	1.846	%	06/20/2012	$	2,800	$	(662	)	$	0	$	(662	)
CDX.HY-8 5-Year Index 25-35%	CITI	2.144	%	06/20/2012		300		(69	)		0		(69	)
CDX.HY-8 5-Year Index 25-35%	CITI	2.179	%	06/20/2012		1,800		(410	)		0		(410	)
CDX.HY-8 5-Year Index 25-35%	MLP	1.833	%	06/20/2012		5,500		(1,303	)		0		(1,303	)
CDX.HY-8 5-Year Index 25-35%	MLP	1.847	%	06/20/2012		1,900		(449	)		0		(449	)
CDX.HY-8 5-Year Index 25-35%	MLP	2.070	%	06/20/2012		3,900		(899	)		0		(899	)
CDX.HY-8 5-Year Index 25-35%	MLP	2.127	%	06/20/2012		1,700		(390	)		0		(390	)
CDX.HY-8 5-Year Index 25-35%	MSC	2.080	%	06/20/2012		3,000		(691	)		0		(691	)
CDX.HY-8 5-Year Index 25-35%	MSC	2.140	%	06/20/2012		4,700		(1,075	)		0		(1,075	)
CDX.HY-8 5-Year Index 25-35%	MSC	2.170	%	06/20/2012		1,800		(410	)		0		(410	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.355	%	06/20/2012		37,676		(1,817	)		0		(1,817	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.360	%	06/20/2012		8,739		(420	)		0		(420	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.401	%	06/20/2012		10,099		(474	)		0		(474	)
CDX.IG-9 5-Year Index 30-100%	DUB	0.701	%	12/20/2012		21,585		256			0		256
CDX.IG-9 5-Year Index 30-100%	DUB	0.710	%	12/20/2012		39,183		475			0		475
CDX.IG-9 10-Year Index 30-100%	GSC	0.548	%	12/20/2017		4,472		15			0		15
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017		9,626		37			0		37
CDX.IG-10 5-Year Index 30-100%	DUB	0.530	%	06/20/2013		10,987		91			0		91
CDX.IG-10 5-Year Index 30-100%	GSC	0.463	%	06/20/2013		13,806		79			0		79
							$	(8,116	)	$	0	$	(8,116	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP	EUR	23,900	$	1,155		$	1		$	1,154
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		9,100		523			0			523
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	JPM		25,800		507			10			497
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS		7,000		122			0			122
Pay	1-Month EUR-FRCPXTOB Index	1.950	%	03/30/2012	RBS		7,100		119			0			119
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	03/30/2012	GSC		7,600		142			0			142
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	04/05/2012	BCLY		3,500		60			0			60
Pay	1-Month EUR-FRCPXTOB Index	1.958	%	04/10/2012	JPM		2,000		34			1			33
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	49,200		34			0			34
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		32,100		50			0			50
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		12,800		25			0			25
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS		25,000		320			(45	)		365
Pay	1-Year BRL-CDI	12.670	%	01/04/2010	MSC		25,000		323			(36	)		359
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		21,200		366			29			337
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		19,300		374			17			357
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	UBS		58,100		907			(32	)		939
Pay	1-Year BRL-CDI	13.845	%	01/02/2012	BCLY		540,800		15,847			(391	)		16,238
Pay	3-Month USD-LIBOR	3.150	%	12/17/2010	RBS	$	146,600		4,374			0			4,374
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA		90,600		3,850			1,769			2,081
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	BCLY		163,100		5,670			(1,604	)		7,274
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	RBS		213,100		7,409			(545	)		7,954
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	BOA		2,400		120			88			32
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	DUB		68,000		422			0			422
Pay	6-Month AUD Bank Bill	4.250	%	09/15/2011	UBS	AUD	125,900		(438	)		1,017			(1,455	)
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC	GBP	17,300		654			(180	)		834
Pay	6-Month GBP-LIBOR	5.100	%	09/15/2013	RBS		14,500		1,734			(27	)		1,761
								$	44,703		$	72		$	44,631

(k) Purchased options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	131,000	$	1,401	$	4,696
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		90,200		961		3,234
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		35,100		393		1,258
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		216,600		2,046		7,765
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		128,400		1,456		4,603
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		127,300		1,346		5,564
									$	7,603	$	27,120

(l) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	1,228	$	279	$	55
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	369		60		19
					$	339	$	74

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	27,000	$	112	$	22
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		30,500		90		63
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		24,000		94		33
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		27,000		109		22
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		49,500		234		40
Put - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		13,500		58		11
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		129,000		472		267
									$	1,169	$	458

(m) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.500	%	07/01/2024	$	40,900	$	42,255	$	42,798
Freddie Mac	5.500	%	07/01/2039		31,000		32,005		31,993
						$	74,260	$	74,791

(n) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	GSC	11,746	07/2009	$	220	$	0		$	220
Buy	BRL	HSBC	103,807	08/2009		3,514		0			3,514
Buy		JPM	5,061	08/2009		192		0			192
Buy	CAD	JPM	18,952	08/2009		0		(1,010	)		(1,010	)
Buy	CNY	BCLY	89,648	07/2009		0		(724	)		(724	)
Sell		BCLY	49,683	07/2009		0		(326	)		(326	)
Sell		CITI	132,306	07/2009		0		(509	)		(509	)
Buy		DUB	284,104	07/2009		0		(2,311	)		(2,311	)
Sell		DUB	229,955	07/2009		0		(867	)		(867	)
Buy		HSBC	90,750	07/2009		0		(637	)		(637	)
Sell		HSBC	90,819	07/2009		0		(340	)		(340	)
Buy		JPM	88,551	07/2009		0		(774	)		(774	)
Sell		JPM	50,288	07/2009		0		(329	)		(329	)
Buy		BCLY	27,585	09/2009		54		0			54
Sell		BCLY	55,781	09/2009		0		(203	)		(203	)
Buy		CITI	17,769	09/2009		43		0			43
Sell		CITI	53,796	09/2009		0		(183	)		(183	)
Buy		DUB	80,518	09/2009		176		0			176
Buy		HSBC	35,917	09/2009		82		0			82
Sell		HSBC	21,275	09/2009		0		(82	)		(82	)
Buy		JPM	14,634	09/2009		24		0			24
Sell		JPM	45,571	09/2009		0		(173	)		(173	)
Buy		BCLY	15,782	03/2010		0		(11	)		(11	)
Buy		HSBC	15,819	03/2010		0		(5	)		(5	)
Buy		JPM	96,305	03/2010		0		(46	)		(46	)
Sell	EUR	BCLY	30,722	07/2009		0		(231	)		(231	)
Sell		GSC	1,592	07/2009		0		(2	)		(2	)
Sell	GBP	CITI	30,522	07/2009		0		(2,990	)		(2,990	)
Buy		RBS	3,691	07/2009		285		0			285
Sell		MSC	26,831	08/2009		184		0			184
Sell	JPY	BNP	292,098	07/2009		0		(3	)		(3	)
Sell		MSC	292,098	08/2009		0		0			0
Buy	SGD	HSBC	7,854	07/2009		0		(9	)		(9	)
Sell		HSBC	7,854	07/2009		0		(258	)		(258	)
					$	4,774	$	(12,023	)	$	(7,249	)

(o) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	3,706,810		$	8,262	$	3,715,072
U.S. Government Agencies		0		6,177,738			3,172		6,180,910
Mortgage-Backed Securities		0		1,095,692			75		1,095,767
Other Investments++		140,966		1,316,336			12,689		1,469,991
Investments, at value	$	140,966	$	12,296,576		$	24,198	$	12,461,740
Short Sales, at value	$	0	$	(74,791	)	$	0	$	(74,791	)
Financial Derivative Instruments+++	$	42,070	$	(19,505	)	$	2,127	$	24,692
Total	$	183,036	$	12,202,280		$	26,325	$	12,411,641

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	0		$	0	$	0	$	5		$	8,257		$	8,262
U.S. Government Agencies		3,242		(53	)		0		0		(17	)		0			3,172
Mortgage-Backed Securities		77		(1	)		0		0		(1	)		0			75
Other Investments++		13,152		0			0		0		325			(788	)		12,689
Investments, at value	$	16,471	$	(54	)	$	0	$	0	$	312		$	7,469		$	24,198
Financial Derivative Instruments+++	$	1,786	$	0		$	0	$	0	$	(6	)	$	347		$	2,127
Total	$	18,257	$	(54	)	$	0	$	0	$	306		$	7,816		$	26,325

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Low Duration Fund II

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 19.7%
BANKING & FINANCE 15.6%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013	$	400	$	414
American Express Centurion Bank
0.377% due 03/23/2010		800		784
American Express Credit Corp.
0.381% due 11/09/2009		1,000		993
American Express Travel Related Services Co., Inc.
0.520% due 06/01/2011		500		444
American International Group, Inc.
1.217% due 10/18/2011		100		65
4.950% due 03/20/2012		100		68
8.250% due 08/15/2018		400		236
Bank of America Corp.
1.127% due 11/06/2009		400		399
1.213% due 08/15/2016		200		157
Bear Stearns Cos. LLC
0.842% due 08/21/2009		500		500
0.974% due 05/18/2010		1,600		1,598
1.507% due 07/19/2010		900		901
6.950% due 08/10/2012		1,000		1,088
CIT Group, Inc.
1.170% due 02/13/2012		100		59
Citibank N.A.
1.625% due 03/30/2011		1,300		1,311
Citigroup Funding, Inc.
0.639% due 09/22/2009		2,000		1,981
Citigroup, Inc.
0.631% due 12/28/2009		500		495
2.125% due 04/30/2012		2,900		2,915
5.125% due 02/14/2011		700		698
5.500% due 04/11/2013		1,400		1,314
5.625% due 08/27/2012		300		281
General Electric Capital Corp.
0.924% due 05/08/2012		3,700		3,709
1.122% due 10/26/2009		200		200
1.177% due 01/20/2010		1,300		1,293
1.800% due 03/11/2011		600		606
3.000% due 12/09/2011		3,300		3,406
Goldman Sachs Group, Inc.
1.430% due 07/23/2009		3,700		3,701
JPMorgan Chase & Co.
2.200% due 06/15/2012		600		604
JPMorgan Chase Bank N.A.
0.959% due 06/13/2016		700		572
KeyBank N.A.
2.906% due 06/02/2010		700		680
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		900		137
Merrill Lynch & Co., Inc.
0.726% due 12/04/2009		800		799
0.867% due 06/05/2012		2,800		2,494
0.996% due 08/14/2009		200		200
Metropolitan Life Global Funding I
0.894% due 05/17/2010		1,100		1,091
5.125% due 04/10/2013		2,400		2,444
Morgan Stanley
1.221% due 01/15/2010		1,300		1,290
1.357% due 01/18/2011		300		291
3.006% due 05/14/2010		1,200		1,197
3.250% due 12/01/2011		700		727
National City Bank
0.999% due 06/07/2017		2,200		1,504
Pacific Life Global Funding
5.150% due 04/15/2013		2,300		2,295
Pricoa Global Funding I
1.142% due 07/27/2009		2,500		2,497
Principal Life Income Funding Trusts
1.043% due 11/15/2010		200		190
5.300% due 04/24/2013		300		300
Regions Financial Corp.
0.774% due 06/26/2012		3,000		2,361
Wachovia Corp.
5.500% due 05/01/2013		200		207
Wells Fargo & Co.
7.980% due 03/29/2049		10,800		8,977
				60,473
INDUSTRIALS 1.6%
AIG SunAmerica Global Financing VI
6.300% due 05/10/2011		2,900		2,726
PACCAR, Inc.
6.875% due 02/15/2014		100		110
Roche Holdings, Inc.
6.000% due 03/01/2019		2,600		2,777
Wal-Mart Stores, Inc.
4.250% due 04/15/2013		600		624
				6,237
UTILITIES 2.5%
BellSouth Corp.
4.950% due 04/26/2021		3,700		3,781
Dominion Resources, Inc.
1.664% due 06/17/2010		2,200		2,190
Verizon Wireless Capital LLC
3.316% due 05/20/2011		800		823
5.250% due 02/01/2012		2,700		2,850
				9,644
Total Corporate Bonds & Notes (Cost $75,760)				76,354
MUNICIPAL BONDS & NOTES 0.3%
Louisiana State Revenue Bonds, Series 2009
3.000% due 05/01/2043		1,200		1,190
Total Municipal Bonds & Notes (Cost $1,200)				1,190
U.S. GOVERNMENT AGENCIES 99.5%
Fannie Mae
0.764% due 10/25/2030		161		161
1.375% due 04/28/2011		2,500		2,508
2.638% due 07/01/2042		324		323
2.693% due 09/01/2041		779		774
2.838% due 08/01/2030 - 10/01/2030		287		287
3.875% due 01/01/2024		127		128
4.287% due 11/01/2034		1,903		1,924
4.412% due 09/01/2028		194		194
4.644% due 01/01/2035		605		625
4.648% due 07/01/2035		471		487
4.968% due 06/01/2035		3,254		3,372
5.000% due 11/01/2017 - 07/01/2039		45,233		46,886
5.056% due 12/01/2034		2,342		2,396
5.500% due 12/01/2013 - 01/01/2039		101,681		105,336
5.500% due 04/01/2038 (e)		12,684		13,109
5.700% due 08/01/2018		1,000		990
6.000% due 03/01/2016 - 07/01/2039		148,590		155,403
6.250% due 02/01/2011		2,100		2,210
6.500% due 09/01/2012 - 12/25/2042		457		487
8.000% due 11/25/2023		174		193
9.250% due 10/25/2018		5		5
10.500% due 05/01/2012		36		39
Federal Home Loan Bank
3.375% due 06/24/2011		600		623
Federal Housing Administration
7.430% due 07/01/2024		887		889
Freddie Mac
0.469% due 07/15/2019 - 10/15/2020		4,962		4,863
0.669% due 12/15/2030		444		438
0.719% due 06/15/2018		140		138
0.888% due 02/01/2011		200		200
0.926% due 05/04/2011 (c)		8,200		8,221
0.937% due 08/05/2011		2,100		2,101
1.125% due 06/01/2011		3,400		3,396
1.211% due 04/07/2011		1,400		1,405
1.625% due 04/26/2011		3,700		3,730
2.638% due 10/25/2044		1,152		1,135
2.639% due 02/25/2045		756		720
4.875% due 06/13/2018		200		216
4.924% due 07/01/2035		725		751
5.000% due 11/01/2018 - 05/15/2027		2,308		2,387
5.250% due 07/18/2011		300		324
5.340% due 07/01/2023		82		83
5.500% due 08/01/2038 - 01/01/2039		4,497		4,647
6.000% due 02/01/2016 - 07/01/2039		1,100		1,151
6.500% due 07/25/2043		1,420		1,517
8.500% due 06/01/2025		9		10
Ginnie Mae
0.815% due 09/20/2030		42		41
4.125% due 10/20/2025		355		361
4.625% due 07/20/2023 - 07/20/2030		658		674
5.375% due 04/20/2022 - 05/20/2027		745		769
6.000% due 08/15/2036 - 08/15/2038		3,648		3,807
6.500% due 04/15/2036		1,856		1,974
7.000% due 11/15/2022		109		119
7.500% due 02/15/2022 - 03/15/2024		177		193
7.750% due 01/17/2030		21		23
8.000% due 03/15/2023 - 05/15/2024		62		68
9.000% due 07/20/2016 - 08/15/2030		106		117
Small Business Administration
4.310% due 04/01/2029		1,100		1,109
Total U.S. Government Agencies (Cost $381,000)				386,037
MORTGAGE-BACKED SECURITIES 7.4%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		1,668		1,185
4.390% due 02/25/2045		509		401
Banc of America Funding Corp.
3.781% due 05/25/2035		4,074		3,465
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		495		425
2.500% due 08/25/2035		1,864		1,633
4.740% due 10/25/2035		2,123		2,048
5.088% due 02/25/2033		49		44
5.409% due 01/25/2034		353		285
5.423% due 04/25/2033		922		837
5.609% due 02/25/2033		72		67
Bear Stearns Alt-A Trust
5.362% due 05/25/2035		1,111		720
Bear Stearns Commercial Mortgage Securities
5.331% due 02/11/2044		100		81
5.471% due 01/12/2045		200		167
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		433		334
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		5		4
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		612		487
4.748% due 08/25/2035		518		413
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		600		439
Countrywide Home Loan Mortgage Pass-Through Trust
4.122% due 11/19/2033		419		373
4.711% due 02/20/2035		774		616
4.786% due 11/25/2034		412		313
5.250% due 02/20/2036		1,063		621
Credit Suisse Mortgage Capital Certificates
5.846% due 03/15/2039		100		72
CS First Boston Mortgage Securities Corp.
1.135% due 03/25/2032		135		102
5.329% due 06/25/2032		3		2
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		290		263
First Horizon Alternative Mortgage Securities
3.572% due 06/25/2034		676		438
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		419		346
Greenwich Capital Commercial Funding Corp.
4.799% due 08/10/2042		100		85
5.444% due 03/10/2039		300		240
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		640		549
5.993% due 08/10/2045		600		455
GSR Mortgage Loan Trust
3.726% due 06/25/2034		707		603
4.469% due 09/25/2035		3,505		2,952
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		146		137
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		100		74
5.882% due 02/15/2051		200		150
JPMorgan Mortgage Trust
5.012% due 02/25/2035		106		93
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		359		361
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		98		87
Merrill Lynch Countrywide Commercial Mortgage Trust
5.485% due 03/12/2051		400		269
Merrill Lynch Mortgage Investors, Inc.
4.482% due 02/25/2035		1,175		945
Morgan Stanley Capital I
0.380% due 10/15/2020		176		130
5.809% due 12/12/2049		100		76
Prime Mortgage Trust
0.714% due 02/25/2019		40		37
0.714% due 02/25/2034		262		212
Structured Asset Mortgage Investments, Inc.
0.444% due 03/25/2037		809		295
0.563% due 07/19/2035		360		227
0.973% due 09/19/2032		305		228
9.383% due 06/25/2029		317		316
Structured Asset Securities Corp.
4.093% due 07/25/2032		6		5
4.504% due 10/25/2035		293		201
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046		1,457		1,310
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		674		497
0.409% due 09/15/2021		465		335
5.509% due 04/15/2047		300		200
WaMu Mortgage Pass-Through Certificates
0.584% due 12/25/2045		346		163
0.604% due 10/25/2045		228		120
2.070% due 01/25/2047		288		128
2.540% due 11/25/2042		66		38
2.740% due 06/25/2042		134		97
2.877% due 02/27/2034		837		686
Total Mortgage-Backed Securities (Cost $34,863)				28,482
ASSET-BACKED SECURITIES 4.7%
Amortizing Residential Collateral Trust
0.604% due 07/25/2032		43		23
Asset-Backed Funding Certificates
0.374% due 01/25/2037		161		133
Asset-Backed Securities Corp. Home Equity
0.589% due 09/25/2034		151		98
1.969% due 03/15/2032		479		284
BA Credit Card Trust
0.899% due 04/15/2013		400		397
Bear Stearns Asset-Backed Securities Trust
0.374% due 01/25/2037		518		420
1.314% due 10/25/2037		960		518
Carrington Mortgage Loan Trust
0.364% due 01/25/2037		538		448
Chase Issuance Trust
2.129% due 09/15/2015		2,700		2,701
CIT Group Home Equity Loan Trust
0.584% due 06/25/2033		40		29
Countrywide Asset-Backed Certificates
0.364% due 03/25/2037		188		185
0.364% due 05/25/2037		489		462
0.364% due 07/25/2037		1,409		1,301
0.364% due 06/25/2047		1,120		1,039
0.494% due 09/25/2036		1,914		1,355
0.794% due 12/25/2031		142		62
Credit-Based Asset Servicing & Securitization LLC
0.374% due 11/25/2036		225		184
0.404% due 12/25/2037		483		461
Daimler Chrysler Auto Trust
1.248% due 07/08/2011		388		389
1.798% due 09/10/2012		300		299
First Franklin Mortgage Loan Asset-Backed Certificates
0.354% due 01/25/2038		305		281
Fremont Home Loan Trust
0.374% due 01/25/2037		215		140
GSAMP Trust
0.384% due 12/25/2036		314		167
HFC Home Equity Loan Asset-Backed Certificates
0.385% due 03/20/2036		67		65
HSBC Asset Loan Obligation
0.374% due 12/25/2036		1,246		1,100
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		837		698
Indymac Residential Asset-Backed Trust
0.374% due 04/25/2037		90		85
JPMorgan Mortgage Acquisition Corp.
0.364% due 08/25/2036		42		39
Lehman XS Trust
0.384% due 05/25/2046		1		1
Long Beach Mortgage Loan Trust
0.594% due 10/25/2034		19		12
MASTR Asset-Backed Securities Trust
0.374% due 11/25/2036		148		137
Morgan Stanley ABS Capital I
0.364% due 11/25/2036		245		231
Option One Mortgage Loan Trust
0.364% due 01/25/2037		139		132
Park Place Securities, Inc.
0.626% due 10/25/2034		639		477
Securitized Asset-Backed Receivables LLC Trust
0.374% due 12/25/2036		214		120
SLM Student Loan Trust
1.082% due 10/27/2014		1,007		1,002
1.392% due 01/25/2015		147		146
2.592% due 04/25/2023		2,652		2,708
Structured Asset Securities Corp.
0.604% due 01/25/2033		47		34
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		19		18
Total Asset-Backed Securities (Cost $21,020)				18,381
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.1%
Wells Fargo & Co.
7.500% due 12/31/2049		500		393
Total Convertible Preferred Stocks (Cost $360)				393
PREFERRED STOCKS 1.1%
DG Funding Trust
1.343% due 12/31/2049		510		4,412
Total Preferred Stocks (Cost $5,100)				4,412
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 2.9%
REPURCHASE AGREEMENTS 0.2%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	889		889
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/20/2009 valued at $910. Repurchase proceeds are $889.)
U.S. TREASURY BILLS 0.1%
0.106% due 07/16/2009 (c)(d)		300		300
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (b) 2.6%
		1,013,249		10,142
Total Short-Term Instruments (Cost $11,331)				11,331
PURCHASED OPTIONS (g) 0.2% (Cost $237)				810
Total Investments 135.9% (Cost $530,871)			$	527,390
Written Options (h) (0.0%) (Premiums $37)				(14	)
Other Assets and Liabilities (Net) (35.9%)				(139,341	)
Net Assets 100.0%			$	388,035

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) Affiliated to the Fund.

(c) Securities with an aggregate market value of $546 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(d) Securities with an aggregate market value of $30 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(e) Securities with an aggregate market value of $180 and cash of $912 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2009	181	$	338
90-Day Eurodollar December Futures	Long	12/2010	83		(67	)
90-Day Eurodollar June Futures	Long	06/2010	68		19
90-Day Eurodollar March Futures	Long	03/2010	34		180
90-Day Eurodollar September Futures	Long	09/2009	163		1,122
				$	1,592

(f) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American International Group, Inc.	BCLY	2.100	%	03/20/2013	16.024	%	$	300	$	(102	)	$	0		$	(102	)
American International Group, Inc.	GSC	1.380	%	06/20/2013	15.775	%		500		(184	)		0			(184	)
American International Group, Inc.	RBS	1.360	%	06/20/2013	15.775	%		500		(184	)		0			(184	)
General Electric Capital Corp.	BNP	1.100	%	12/20/2009	3.899	%		1,100		(14	)		0			(14	)
General Electric Capital Corp.	CITI	1.050	%	03/20/2010	3.900	%		500		(10	)		0			(10	)
General Electric Capital Corp.	CITI	1.100	%	03/20/2010	3.900	%		200		(4	)		0			(4	)
General Electric Capital Corp.	CITI	1.150	%	03/20/2010	3.900	%		100		(2	)		0			(2	)
General Electric Capital Corp.	CITI	5.000	%	06/20/2010	3.783	%		300		4			(1	)		5
General Electric Capital Corp.	CITI	4.000	%	12/20/2013	4.336	%		300		(3	)		0			(3	)
General Electric Capital Corp.	CITI	4.325	%	12/20/2013	4.336	%		300		0			0			0
General Electric Capital Corp.	CITI	4.850	%	12/20/2013	4.336	%		400		8			0			8
General Electric Capital Corp.	DUB	4.230	%	12/20/2013	4.336	%		300		(1	)		0			(1	)
General Electric Capital Corp.	DUB	4.750	%	12/20/2013	4.336	%		400		7			0			7
General Electric Capital Corp.	RBS	1.100	%	09/20/2009	3.899	%		200		(1	)		0			(1	)
Procter & Gamble Co.	GSC	1.000	%	06/20/2014	0.746	%		7,100		85			65			20
									$	(401	)	$	64		$	(465	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
CDX.HY-8 5-Year Index 25-35%	MLP	1.833	%	06/20/2012	$	1,000	$	(237	)	$	0	$	(237	)
CDX.HY-8 5-Year Index 25-35%	MSC	2.080	%	06/20/2012		1,000		(230	)		0		(230	)
							$	(467	)	$	0	$	(467	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	BCLY	$	6,200	$	215	$	(61	)	$	276
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	RBS		12,700		441		(38	)		479
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	BOA		3,000		150		110			40
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	DUB		700		35		22			13
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	RBS		1,500		75		53			22
								$	916	$	86		$	830

(g) Purchased options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	4,400	$	47	$	158
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		3,000		32		108
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		7,400		83		265
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		7,200		68		258
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		600		7		21
									$	237	$	810

(h) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	1,000	$	4	$	1
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		1,000		3		2
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		500		2		1
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		1,000		4		1
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		1,500		7		1
Put - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		500		2		0
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		4,000		15		8
									$	37	$	14

(i) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value(6)
Fannie Mae	5.500	%	07/01/2039	$	4,000	$	4,126	$	4,128
Freddie Mac	5.500	%	07/01/2039		2,000		2,065		2,064
						$	6,191	$	6,192

(j) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	76,354		$	0	$	76,354
U.S. Government Agencies		0		385,148			889		386,037
Mortgage-Backed Securities		0		28,280			202		28,482
Other Investments++		10,534		25,983			0		36,517
Investments, at value	$	10,534	$	515,765		$	1,091	$	527,390
Short Sales, at value	$	0	$	(6,192	)	$	0	$	(6,192	)
Financial Derivative Instruments+++	$	1,592	$	(116	)	$	0	$	1,476
Total	$	12,126	$	509,457		$	1,091	$	522,674

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)			Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
U.S. Government Agencies	$	903	$	(9	)	$	0		$	0	$	(5	)	$	0	$	889
Mortgage-Backed Securities		0		(11	)		(1	)		0		34			180		202
Investments, at value	$	903	$	(20	)	$	(1	)	$	0	$	29		$	180	$	1,091
Financial Derivative Instruments+++	$	0	$	0		$	0		$	0	$	0		$	0	$	0
Total	$	903	$	(20	)	$	(1	)	$	0	$	29		$	180	$	1,091

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Low Duration Fund III

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 26.1%
BANKING & FINANCE 21.8%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013	$	200	$	207
American Express Travel Related Services Co., Inc.
0.520% due 06/01/2011		200		178
ANZ National International Ltd.
1.014% due 08/07/2009		300		300
6.200% due 07/19/2013		200		206
Bank of America Corp.
1.213% due 08/15/2016		100		79
2.100% due 04/30/2012		2,200		2,205
Bear Stearns Cos. LLC
0.974% due 05/18/2010		300		300
1.392% due 07/16/2009		100		100
Calabash Re Ltd.
9.024% due 01/08/2010		300		286
11.524% due 01/08/2010		300		292
CIT Group, Inc.
0.759% due 03/12/2010		600		511
1.170% due 02/13/2012		500		295
Citibank N.A.
1.625% due 03/30/2011		100		101
Citigroup Capital XXI
8.300% due 12/21/2077		800		625
Citigroup, Inc.
0.631% due 12/28/2009		300		297
1.004% due 05/18/2010		1,100		1,080
2.125% due 04/30/2012		100		101
5.125% due 02/14/2011		300		299
5.500% due 04/11/2013		700		657
5.625% due 08/27/2012		200		187
Credit Agricole S.A.
0.714% due 05/28/2010		200		199
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		100		97
7.375% due 10/28/2009		200		198
7.875% due 06/15/2010		500		475
General Electric Capital Corp.
1.800% due 03/11/2011		100		101
3.000% due 12/09/2011		2,900		2,994
Goldman Sachs Group, Inc.
5.300% due 02/14/2012		700		725
HSBC Finance Corp.
1.206% due 05/10/2010		100		97
ICICI Bank Ltd.
1.679% due 01/12/2010		300		294
ING Bank NV
3.900% due 03/19/2014		300		306
JPMorgan Chase & Co.
2.200% due 06/15/2012		500		503
KeyBank N.A.
2.906% due 06/02/2010		300		291
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		300		46
2.911% due 08/21/2009 (a)		300		46
2.950% due 05/25/2010 (a)		100		15
3.011% due 12/23/2010 (a)		200		30
5.625% due 01/24/2013 (a)		300		47
Merrill Lynch & Co., Inc.
0.726% due 12/04/2009		300		299
0.867% due 06/05/2012		700		624
1.292% due 07/25/2011		300		278
Metropolitan Life Global Funding I
0.894% due 05/17/2010		400		397
Morgan Stanley
1.221% due 01/15/2010		300		298
1.357% due 01/18/2011		400		388
3.250% due 12/01/2011		600		623
National Australia Bank Ltd.
2.550% due 01/13/2012		800		806
Pacific Life Global Funding
5.150% due 04/15/2013		1,200		1,197
Principal Life Income Funding Trusts
1.043% due 11/15/2010		100		95
Regions Bank
3.250% due 12/09/2011		900		934
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		1,000		999
SLM Corp.
0.829% due 03/15/2011		500		429
1.232% due 07/27/2009		200		199
1.252% due 07/26/2010		100		91
TransCapitalInvest Ltd. for OJSC AK Transneft
7.700% due 08/07/2013		1,100		1,060
UBS AG
1.927% due 05/05/2010		800		803
Wells Fargo & Co.
7.980% due 03/29/2049		4,100		3,408
Westpac Banking Corp.
3.250% due 12/16/2011		700		716
				28,414
INDUSTRIALS 2.5%
AIG SunAmerica Global Financing VI
6.300% due 05/10/2011		500		470
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		200		205
Daimler Finance North America LLC
1.466% due 08/03/2009		300		299
Gaz Capital S.A.
7.510% due 07/31/2013		500		485
General Motors Corp.
8.100% due 06/15/2024 (a)		400		49
Home Depot, Inc.
0.749% due 12/16/2009		600		598
Kimberly-Clark Corp.
1.139% due 07/30/2010		400		401
PACCAR, Inc.
6.875% due 02/15/2014		700		768
				3,275
UTILITIES 1.8%
New Cingular Wireless Services, Inc.
7.875% due 03/01/2011		1,100		1,187
Verizon Wireless Capital LLC
3.316% due 05/20/2011		100		103
5.250% due 02/01/2012		1,000		1,055
				2,345
Total Corporate Bonds & Notes (Cost $35,500)				34,034
MUNICIPAL BONDS & NOTES 0.3%
Louisiana State Revenue Bonds, Series 2009
3.000% due 05/01/2043		400		397
Total Municipal Bonds & Notes (Cost $400)				397
U.S. GOVERNMENT AGENCIES 61.9%
Fannie Mae
0.414% due 01/25/2021		623		611
0.514% due 10/27/2037		1,900		1,730
0.664% due 09/25/2042		225		210
0.714% due 05/25/2031		180		177
1.375% due 04/28/2011		100		100
2.638% due 07/01/2042		60		59
2.693% due 09/01/2041		141		141
2.838% due 09/01/2040		22		22
3.392% due 11/01/2035		65		66
3.512% due 05/01/2035		90		91
3.622% due 03/01/2035		12		13
3.635% due 08/01/2029		206		206
4.486% due 11/01/2034		55		56
4.500% due 08/01/2035		481		498
4.648% due 07/01/2035		86		89
5.000% due 03/25/2017 - 10/01/2023		12,354		12,850
5.025% due 11/01/2035		160		164
5.500% due 02/01/2017 - 07/01/2039		18,740		19,543
5.500% due 07/01/2021 - 04/01/2038 (e)		7,233		7,557
5.799% due 02/01/2031		53		54
6.000% due 03/01/2017 - 07/01/2039		8,651		9,057
6.250% due 02/01/2011		900		947
6.500% due 07/01/2039 - 12/25/2042		117		124
Federal Home Loan Bank
3.375% due 06/24/2011		300		311
Freddie Mac
0.354% due 12/25/2036		369		351
0.469% due 07/15/2019 - 10/15/2020		1,717		1,682
0.669% due 12/15/2030		59		58
0.719% due 06/15/2018		40		39
0.769% due 11/15/2030		12		12
0.888% due 02/01/2011		200		200
0.926% due 05/04/2011		7,600		7,620
0.937% due 08/05/2011		3,400		3,401
1.125% due 06/01/2011		2,300		2,297
1.211% due 04/07/2011		1,000		1,003
1.625% due 04/26/2011		1,700		1,714
2.639% due 02/25/2045		108		103
4.700% due 06/01/2035		395		407
4.710% due 08/01/2035		441		450
4.875% due 06/13/2018		100		108
4.924% due 07/01/2035		155		161
5.000% due 11/01/2018 - 07/15/2024		196		202
5.250% due 07/18/2011		200		216
5.500% due 08/01/2038 - 10/01/2038		2,496		2,580
6.000% due 03/01/2016 - 07/01/2039		463		485
6.500% due 07/25/2043		174		186
Ginnie Mae
4.000% due 02/20/2032		40		40
5.375% due 06/20/2027 - 05/20/2030		85		88
6.000% due 03/15/2037 - 04/15/2038		803		836
6.000% due 11/15/2038 (f)		724		755
6.500% due 04/15/2036		853		907
8.500% due 10/20/2026		14		16
Total U.S. Government Agencies (Cost $78,798)				80,593
MORTGAGE-BACKED SECURITIES 9.5%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		301		214
4.390% due 02/25/2045		64		50
Banc of America Funding Corp.
3.781% due 05/25/2035		1,811		1,540
Bear Stearns Adjustable Rate Mortgage Trust
4.740% due 10/25/2035		318		307
5.088% due 02/25/2033		5		4
5.409% due 01/25/2034		54		44
5.423% due 04/25/2033		113		102
5.609% due 02/25/2033		7		7
Bear Stearns Alt-A Trust
5.362% due 05/25/2035		198		128
5.490% due 09/25/2035		47		25
Bear Stearns Commercial Mortgage Securities
5.331% due 02/11/2044		100		81
5.471% due 01/12/2045		300		250
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		144		111
Citigroup Mortgage Loan Trust, Inc.
0.379% due 01/25/2037		380		317
2.850% due 12/25/2035		90		74
4.700% due 12/25/2035		68		55
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		400		293
Countrywide Alternative Loan Trust
4.500% due 06/25/2035		82		80
Countrywide Home Loan Mortgage Pass-Through Trust
4.711% due 02/20/2035		285		227
4.786% due 11/25/2034		158		120
5.250% due 02/20/2036		168		98
Credit Suisse Mortgage Capital Certificates
5.846% due 03/15/2039		100		72
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040		55		56
GMAC Mortgage Corp. Loan Trust
5.468% due 11/19/2035		94		61
Greenpoint Mortgage Funding Trust
0.394% due 01/25/2047		117		89
Greenwich Capital Commercial Funding Corp.
4.799% due 08/10/2042		100		85
5.444% due 03/10/2039		300		240
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		244		209
5.993% due 08/10/2045		300		228
GSR Mortgage Loan Trust
3.726% due 06/25/2034		100		86
4.469% due 09/25/2035		526		443
JPMorgan Chase Commercial Mortgage Securities Corp.
5.882% due 02/15/2051		300		226
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		83		83
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		33		29
Mellon Residential Funding Corp.
0.759% due 12/15/2030		564		455
Merrill Lynch Countrywide Commercial Mortgage Trust
5.485% due 03/12/2051		300		202
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		36		25
Morgan Stanley Capital I
0.380% due 10/15/2020		70		52
5.809% due 12/12/2049		100		76
Prime Mortgage Trust
0.714% due 02/25/2019		10		9
0.714% due 02/25/2034		29		23
Structured Adjustable Rate Mortgage Loan Trust
2.610% due 01/25/2035		143		60
4.802% due 02/25/2034		194		146
5.073% due 08/25/2034		266		188
Structured Asset Mortgage Investments, Inc.
0.444% due 03/25/2037		294		107
0.563% due 07/19/2035		109		70
0.594% due 02/25/2036		62		29
Structured Asset Securities Corp.
3.716% due 01/25/2032		4		4
4.504% due 10/25/2035		110		76
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		300		221
0.409% due 09/15/2021		133		96
WaMu Mortgage Pass-Through Certificates
0.584% due 12/25/2045		63		30
0.604% due 10/25/2045		33		17
0.682% due 11/25/2034		211		109
2.070% due 01/25/2047		72		32
2.674% due 05/25/2041		23		19
2.740% due 06/25/2042		64		47
3.127% due 09/25/2046		135		59
Washington Mutual MSC Mortgage Pass-Through Certificates
5.380% due 02/25/2033		14		12
Wells Fargo Mortgage-Backed Securities Trust
4.603% due 01/25/2034		4,460		4,106
Total Mortgage-Backed Securities (Cost $14,756)				12,304
ASSET-BACKED SECURITIES 5.7%
Asset-Backed Funding Certificates
0.374% due 01/25/2037		46		38
Atrium CDO Corp.
1.522% due 06/27/2015		570		439
BA Credit Card Trust
0.519% due 01/15/2013		400		396
0.539% due 04/16/2012		200		200
0.899% due 04/15/2013		200		199
Bear Stearns Asset-Backed Securities Trust
0.374% due 01/25/2037		148		120
1.314% due 10/25/2037		400		216
Citibank Credit Card Issuance Trust
1.169% due 07/25/2011		400		400
Citigroup Mortgage Loan Trust, Inc.
0.374% due 01/25/2037		8		8
Countrywide Asset-Backed Certificates
0.364% due 05/25/2037		299		283
0.794% due 12/25/2031		24		10
First Franklin Mortgage Loan Asset-Backed Certificates
0.354% due 01/25/2038		109		100
Ford Credit Auto Owner Trust
0.919% due 07/15/2010		153		153
GE-WMC Mortgage Securities LLC
0.354% due 08/25/2036		22		16
GSAMP Trust
0.604% due 03/25/2034		18		18
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		27		16
Lehman XS Trust
0.394% due 11/25/2046		3,653		3,058
Long Beach Mortgage Loan Trust
0.594% due 10/25/2034		6		4
Morgan Stanley ABS Capital I
0.364% due 07/25/2036		52		31
0.364% due 11/25/2036		1,674		1,581
Securitized Asset-Backed Receivables LLC Trust
0.374% due 12/25/2036		107		60
Soundview Home Equity Loan Trust
0.394% due 01/25/2037		79		77
Truman Capital Mortgage Loan Trust
0.654% due 01/25/2034		22		21
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		6		6
Total Asset-Backed Securities (Cost $8,516)				7,450
SOVEREIGN ISSUES 1.2%
Export-Import Bank of Korea
8.125% due 01/21/2014		1,100		1,206
Korea Development Bank
1.317% due 04/03/2010		300		294
Total Sovereign Issues (Cost $1,396)				1,500
FOREIGN CURRENCY-DENOMINATED ISSUES 0.5%
Brazil Government International Bond
10.250% due 01/10/2028	BRL	400		202
Fortis Bank Nederland Holding NV
3.000% due 04/17/2012	EUR	200		284
Societe Financement de l’Economie Francaise
2.125% due 05/20/2012		100		140
Total Foreign Currency-Denominated Issues (Cost $619)				626
	SHARES
PREFERRED STOCKS 0.4%
DG Funding Trust
1.343% due 12/31/2049		65		562
Total Preferred Stocks (Cost $688)				562
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 3.9%
REPURCHASE AGREEMENTS 0.2%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	311		311
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $320. Repurchase proceeds are $311.)
U.S. TREASURY BILLS 0.0%
0.116% due 07/02/2009 - 07/16/2009 (b)(d)		20		20
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 3.7%
		480,216		4,806
Total Short-Term Instruments (Cost $5,137)				5,137
PURCHASED OPTIONS (h) 0.1% (Cost $48)				168
Total Investments 109.6% (Cost $145,858)			$	142,771
Written Options (i) (0.0%) (Premiums $29)				(9	)
Other Assets and Liabilities (Net) (9.6%)				(12,551	)
Net Assets 100.0%			$	130,211

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

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

(a) Security is in default.

(b) Coupon represents a weighted average rate.

(c) Affiliated to the Fund.

(d) Securities with an aggregate market value of $20 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $21,225 at a weighted average interest rate of 0.430%. On June 30, 2009, securities valued at $3,137 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $171 and cash of $722 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	3	$	3
90-Day Euribor March Futures	Long	03/2010	6		8
90-Day Eurodollar December Futures	Long	12/2009	43		104
90-Day Eurodollar December Futures	Long	12/2010	18		(11	)
90-Day Eurodollar June Futures	Long	06/2010	14		4
90-Day Eurodollar March Futures	Long	03/2010	12		63
90-Day Eurodollar September Futures	Long	09/2009	107		931
90-Day Eurodollar September Futures	Long	09/2010	1		0
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	4		27
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	2		(1	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	2		0
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	2		1
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	2		0
				$	1,129

(g) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
American International Group, Inc.	GSC	1.380	%	06/20/2013	15.775	%	$	300	$	(110	)	$	0	$	(110	)
American International Group, Inc.	RBS	1.360	%	06/20/2013	15.775	%		300		(110	)		0		(110	)
General Electric Capital Corp.	BCLY	0.770	%	06/20/2010	3.927	%		200		(6	)		0		(6	)
General Electric Capital Corp.	BCLY	1.020	%	09/20/2010	3.944	%		200		(7	)		0		(7	)
General Electric Capital Corp.	BCLY	4.400	%	12/20/2013	4.336	%		100		0			0		0
General Electric Capital Corp.	BCLY	4.700	%	12/20/2013	4.336	%		200		3			0		3
General Electric Capital Corp.	BNP	0.940	%	12/20/2010	4.048	%		200		(9	)		0		(9	)
General Electric Capital Corp.	BNP	1.250	%	03/20/2013	4.347	%		100		(10	)		0		(10	)
General Electric Capital Corp.	BNP	1.300	%	03/20/2013	4.347	%		100		(10	)		0		(10	)
General Electric Capital Corp.	CITI	1.120	%	12/20/2010	4.048	%		200		(8	)		0		(8	)
General Electric Capital Corp.	CITI	4.000	%	12/20/2013	4.336	%		300		(3	)		0		(3	)
General Electric Capital Corp.	CITI	4.200	%	12/20/2013	4.336	%		300		(1	)		0		(1	)
General Electric Capital Corp.	CITI	4.325	%	12/20/2013	4.336	%		200		0			0		0
General Electric Capital Corp.	DUB	1.070	%	09/20/2010	3.944	%		200		(7	)		0		(7	)
General Electric Capital Corp.	DUB	4.230	%	12/20/2013	4.336	%		300		(1	)		0		(1	)
GMAC LLC	MLP	1.850	%	09/20/2009	13.784	%		1,000		(26	)		0		(26	)
JSC Gazprom	MSC	0.860	%	11/20/2011	5.055	%		400		(37	)		0		(37	)
JSC Gazprom	MSC	2.480	%	02/20/2013	4.938	%		1,000		(69	)		0		(69	)
SLM Corp.	BNP	5.050	%	03/20/2013	8.375	%		200		(18	)		0		(18	)
									$	(429	)	$	0	$	(429	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012	$	1,070	$	13	$	0	$	13
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017		97		0		0		0
							$	13	$	0	$	13

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	JPM	EUR	200	$	4		$	0		$	4
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS		200		3			0			3
Pay	1-Month EUR-FRCPXTOB Index	1.950	%	03/30/2012	RBS		200		3			0			3
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	03/30/2012	GSC		100		2			0			2
Pay	1-Month EUR-FRCPXTOB Index	1.958	%	04/10/2012	JPM		100		2			0			2
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	600		0			0			0
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		400		1			0			1
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		100		0			0			0
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS		400		5			(1	)		6
Pay	1-Year BRL-CDI	12.670	%	01/04/2010	MSC		400		6			0			6
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		200		3			0			3
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		200		4			0			4
Pay	1-Year BRL-CDI	13.845	%	01/02/2012	BCLY		6,700		196			(5	)		201
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	BCLY	$	1,900		66			(19	)		85
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	RBS		4,100		143			(12	)		155
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	BOA		1,200		60			44			16
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	DUB		1,000		6			0			6
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	RBS		300		2			0			2
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		100		0			(2	)		2
Pay	6-Month AUD Bank Bill	4.250	%	09/15/2011	UBS	AUD	1,900		(7	)		15			(22	)
Pay	6-Month GBP-LIBOR	5.100	%	09/15/2013	RBS	GBP	100		12			0			12
								$	511		$	20		$	491

(h) Purchased options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	900	$	9	$	32
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,600		18		57
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		2,200		21		79
									$	48	$	168

(i) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	47	$	11	$	2
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	4		1		0
					$	12	$	2

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	500	$	2	$	1
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		500		1		1
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		500		2		1
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		500		2		0
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		1,000		4		1
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		1,500		6		3
									$	17	$	7

(j) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value(6)
Fannie Mae	6.000	%	07/01/2039	$	8,000	$	8,321	$	8,361
Freddie Mac	5.500	%	07/01/2039		1,000		1,033		1,032
						$	9,354	$	9,393

(k) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	GSC	180	07/2009	$	3	$	0		$	3
Buy	BRL	HSBC	779	08/2009		24		0			24
Sell		HSBC	331	08/2009		0		(17	)		(17	)
Buy		MLP	383	08/2009		16		0			16
Buy	CAD	JPM	158	08/2009		0		(8	)		(8	)
Buy	CNY	BCLY	1,019	07/2009		0		(8	)		(8	)
Sell		BCLY	671	07/2009		0		(4	)		(4	)
Sell		CITI	1,350	07/2009		0		(6	)		(6	)
Buy		DUB	3,421	07/2009		0		(28	)		(28	)
Sell		DUB	3,081	07/2009		0		(12	)		(12	)
Buy		HSBC	1,066	07/2009		0		(8	)		(8	)
Sell		HSBC	818	07/2009		0		(3	)		(3	)
Buy		JPM	1,104	07/2009		0		(10	)		(10	)
Sell		JPM	690	07/2009		0		(4	)		(4	)
Buy		BCLY	438	09/2009		1		0			1
Sell		BCLY	955	09/2009		0		(3	)		(3	)
Buy		CITI	208	09/2009		1		0			1
Sell		CITI	801	09/2009		0		(3	)		(3	)
Buy		DUB	1,039	09/2009		2		0			2
Buy		HSBC	416	09/2009		1		0			1
Sell		HSBC	224	09/2009		0		(1	)		(1	)
Buy		JPM	207	09/2009		0		0			0
Sell		JPM	330	09/2009		0		(1	)		(1	)
Buy		BCLY	182	03/2010		0		0			0
Buy		HSBC	183	03/2010		0		0			0
Buy		JPM	1,102	03/2010		0		(1	)		(1	)
Sell	EUR	BCLY	34	07/2009		0		0			0
Sell		GSC	17	07/2009		0		0			0
Sell	GBP	CITI	330	07/2009		0		(32	)		(32	)
Buy		MSC	251	07/2009		0		(2	)		(2	)
Buy		RBS	79	07/2009		6		0			6
Sell		MSC	251	08/2009		2		0			2
Buy	JPY	BNP	4,863	07/2009		0		0			0
Buy		MSC	4,863	08/2009		0		0			0
Buy	SEK	BCLY	12,648	07/2009		33		0			33
Buy		RBS	12,648	10/2009		1		0			1
Buy	SGD	HSBC	116	07/2009		0		0			0
Sell		HSBC	116	07/2009		0		(4	)		(4	)
					$	90	$	(155	)	$	(65	)

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	34,034		$	0	$	34,034
U.S. Government Agencies		0		80,593			0		80,593
Mortgage-Backed Securities		0		12,228			76		12,304
Asset-Backed Securities		0		7,450			0		7,450
Other Investments++		4,806		3,584			0		8,390
Investments, at value	$	4,806	$	137,889		$	76	$	142,771
Short Sales, at value	$	0	$	(9,393	)	$	0	$	(9,393	)
Financial Derivative Instruments+++	$	1,129	$	(13	)	$	14	$	1,130
Total	$	5,935	$	128,483		$	90	$	134,508

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
Mortgage-Backed Securities	$	0	$	(4	)	$	0	$	0	$	12		$	68		$	76
Asset-Backed Securities	$	23	$	(1	)	$	0	$	0	$	0		$	(22	)	$	0
Investments, at value	$	23	$	(5	)	$	0	$	0	$	12		$	46		$	76
Financial Derivative Instruments+++	$	3	$	0		$	0	$	0	$	(1	)	$	12		$	14
Total	$	26	$	(5	)	$	0	$	0	$	11		$	58		$	90

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Moderate Duration Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.4%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	7,860	$	7,319
Total Bank Loan Obligations (Cost $7,573)				7,319
CORPORATE BONDS & NOTES 23.6%
BANKING & FINANCE 18.6%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		2,100		2,174
American Express Bank FSB
0.621% due 06/12/2017		18,000		13,232
American Express Centurion Bank
5.550% due 10/17/2012		3,200		3,200
American General Finance Corp.
6.900% due 12/15/2017		13,000		7,049
American International Group, Inc.
1.217% due 10/18/2011		200		129
4.950% due 03/20/2012		1,700		1,157
5.375% due 10/18/2011		100		72
5.850% due 01/16/2018		100		53
8.250% due 08/15/2018		2,400		1,414
ANZ National International Ltd.
1.014% due 08/07/2009		3,200		3,201
6.200% due 07/19/2013		2,600		2,682
Bank of America Corp.
1.127% due 11/06/2009		1,900		1,897
1.213% due 08/15/2016		900		707
4.500% due 08/01/2010		265		266
6.250% due 04/15/2012		415		427
Bank of America N.A.
0.909% due 06/15/2016		17,500		13,032
Bank of Scotland PLC
0.689% due 12/08/2010		2,600		2,477
Bear Stearns Cos. LLC
1.507% due 07/19/2010		15,500		15,517
6.950% due 08/10/2012		8,100		8,812
Bellsouth Capital Funding Corp.
7.750% due 02/15/2010		427		443
CIT Group, Inc.
0.759% due 03/12/2010		8,060		6,866
1.170% due 02/13/2012		10,000		5,904
Citigroup Capital XXI
8.300% due 12/21/2077		12,500		9,763
Citigroup, Inc.
0.631% due 12/28/2009		2,100		2,080
2.125% due 04/30/2012		2,100		2,111
5.500% due 04/11/2013		7,500		7,038
5.625% due 08/27/2012		1,800		1,687
6.500% due 08/19/2013		880		856
8.400% due 04/29/2049 (a)		10,000		7,513
Countrywide Home Loans, Inc.
5.625% due 07/15/2009		100		100
Credit Agricole S.A.
0.714% due 05/28/2010		2,900		2,885
Dexia Credit Local
1.262% due 09/23/2011		3,000		2,992
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		2,200		2,124
7.250% due 10/25/2011		400		346
7.375% due 10/28/2009		2,100		2,082
7.375% due 02/01/2011		2,000		1,811
7.875% due 06/15/2010		1,500		1,425
8.000% due 12/15/2016		1,000		766
8.625% due 11/01/2010		700		658
General Electric Capital Corp.
0.655% due 10/06/2010		900		884
0.953% due 08/15/2011		100		95
1.177% due 01/20/2010		4,400		4,375
1.800% due 03/11/2011		3,700		3,735
GMAC LLC
6.000% due 12/15/2011		500		420
6.875% due 08/28/2012		7,600		6,200
Goldman Sachs Group, Inc.
1.187% due 02/06/2012		4,600		4,395
1.501% due 07/22/2015		5,649		4,870
5.125% due 01/15/2015		385		379
5.750% due 10/01/2016		410		402
6.875% due 01/15/2011		195		206
HSBC Finance Corp.
1.162% due 10/21/2009		2,300		2,293
ICICI Bank Ltd.
1.679% due 01/12/2010		4,700		4,607
International Lease Finance Corp.
5.300% due 05/01/2012		10,000		7,758
5.450% due 03/24/2011		4,496		3,771
5.625% due 09/15/2010		10,000		8,986
JPMorgan Chase Bank N.A.
0.959% due 06/13/2016		6,600		5,389
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		9,600		1,464
2.950% due 05/25/2010 (a)		2,500		381
5.625% due 01/24/2013 (a)		2,500		391
Longpoint Re Ltd.
5.874% due 05/08/2010		1,300		1,264
Merrill Lynch & Co., Inc.
0.726% due 12/04/2009		3,700		3,693
0.867% due 06/05/2012		10,500		9,355
Morgan Stanley
1.221% due 01/15/2010		9,700		9,623
3.006% due 05/14/2010		4,200		4,189
Mystic Re Ltd.
10.668% due 06/07/2011		1,100		1,024
National Australia Bank Ltd.
1.424% due 02/08/2010		18,400		18,400
Osiris Capital PLC
6.131% due 01/15/2010		1,600		1,577
Petroleum Export Ltd.
5.265% due 06/15/2011		370		357
Pricoa Global Funding I
5.400% due 10/18/2012		10,890		10,576
Principal Life Income Funding Trusts
5.300% due 04/24/2013		1,900		1,898
Residential Reinsurance 2007 Ltd.
10.918% due 06/07/2010		500		475
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		2,500		2,498
SLM Corp.
1.252% due 07/26/2010		10,000		9,079
Wachovia Corp.
0.718% due 12/01/2009		6,000		5,990
5.500% due 05/01/2013		400		414
Wells Fargo & Co.
7.980% due 03/29/2049		41,400		34,412
				312,773
INDUSTRIALS 3.6%
BHP Billiton Finance USA Ltd.
4.800% due 04/15/2013		90		94
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		1,900		1,950
Comcast Corp.
4.950% due 06/15/2016		220		216
5.300% due 01/15/2014		200		207
Gaz Capital S.A.
8.625% due 04/28/2034		17,900		17,609
Kinder Morgan Energy Partners LP
7.500% due 11/01/2010		205		214
Pemex Project Funding Master Trust
9.125% due 10/13/2010		45		49
Philip Morris International, Inc.
4.875% due 05/16/2013		16,300		17,126
Roche Holdings, Inc.
2.661% due 02/25/2011		13,500		13,656
Tennessee Gas Pipeline Co.
7.000% due 03/15/2027		7,800		7,480
Time Warner, Inc.
1.150% due 11/13/2009		2,700		2,694
				61,295
UTILITIES 1.4%
AT&T, Inc.
1.116% due 02/05/2010		1,700		1,701
5.100% due 09/15/2014		410		427
5.500% due 02/01/2018		290		290
6.250% due 03/15/2011		333		353
British Telecommunications PLC
9.125% due 12/15/2010		540		574
Dominion Resources, Inc.
5.150% due 07/15/2015		90		91
5.600% due 11/15/2016		210		215
Nevada Power Co.
7.125% due 03/15/2019		1,130		1,210
New Cingular Wireless Services, Inc.
8.125% due 05/01/2012		185		207
Pacific Gas & Electric Co.
4.800% due 03/01/2014		226		238
Progress Energy, Inc.
6.850% due 04/15/2012		139		151
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		461		449
Verizon Communications, Inc.
5.550% due 02/15/2016		270		280
6.100% due 04/15/2018		16,000		16,438
Verizon Global Funding Corp.
7.375% due 09/01/2012		280		314
				22,938
Total Corporate Bonds & Notes (Cost $423,251)				397,006
MUNICIPAL BONDS & NOTES 0.1%
California State General Obligation Bonds, Series 2009
5.650% due 04/01/2039		100		98
7.500% due 04/01/2034		100		92
7.550% due 04/01/2039		100		91
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
5.250% due 06/01/2019		1,230		1,298
Total Municipal Bonds & Notes (Cost $1,528)				1,579
U.S. GOVERNMENT AGENCIES 90.2%
Fannie Mae
0.374% due 07/25/2037		3,926		3,483
0.714% due 11/25/2032		7		7
4.500% due 06/01/2023		905		925
4.801% due 01/01/2027		74		74
4.827% due 06/01/2035		11,938		12,365
5.000% due 12/01/2013 - 07/01/2039		714,282		734,929
5.500% due 03/01/2016 - 05/01/2039		163,037		169,139
5.500% due 09/01/2034 (g)		90,360		93,691
6.000% due 09/25/2016 - 07/01/2039		244,605		256,077
6.500% due 01/01/2013 - 06/25/2044		15,548		16,601
7.000% due 05/01/2012 - 05/01/2032		177		191
7.500% due 03/01/2015 - 07/25/2041		316		343
8.000% due 06/01/2015 - 08/01/2031		53		57
12.000% due 05/01/2016		1		2
Federal Home Loan Bank
3.375% due 06/24/2011		600		623
Federal Housing Administration
7.430% due 04/01/2022 - 06/01/2023		243		244
Freddie Mac
0.469% due 07/15/2019 - 10/15/2020		23,086		22,624
0.641% due 08/24/2010 (e)		6,396		6,413
0.888% due 02/01/2011		600		599
0.926% due 05/04/2011 (e)		25,657		25,723
0.937% due 08/05/2011		9,300		9,303
1.125% due 06/01/2011		3,900		3,895
1.625% due 04/26/2011		6,400		6,453
4.000% due 05/01/2019		75		77
4.500% due 05/01/2018 - 05/01/2034		730		754
4.875% due 06/13/2018		1,200		1,294
5.000% due 04/15/2016 - 01/01/2037		6,047		6,196
5.250% due 07/18/2011		400		432
5.500% due 06/01/2017 - 01/01/2039		50,880		52,603
6.000% due 09/01/2013 - 07/01/2039		9,583		10,018
6.500% due 07/25/2043		4		5
7.000% due 04/01/2032		31		33
7.500% due 05/01/2015		1		1
8.000% due 01/01/2012		3		3
8.500% due 04/15/2025		210		227
Ginnie Mae
0.768% due 10/16/2030		25		24
0.918% due 02/16/2030		565		565
0.968% due 02/16/2030		355		353
4.125% due 11/20/2017 - 11/20/2025		53		54
4.375% due 03/20/2020 - 03/20/2028		256		261
5.000% due 09/15/2017 - 12/15/2017		123		130
5.500% due 01/15/2017 - 09/20/2034		14,643		15,335
6.000% due 07/20/2015 - 08/20/2034		117		122
6.500% due 01/20/2034 - 08/20/2034		88		93
7.000% due 07/15/2031 - 12/15/2032		81		89
7.500% due 04/20/2027 - 01/15/2031		404		433
8.000% due 04/15/2017 - 11/15/2022		893		974
9.000% due 10/15/2017		2		2
9.500% due 08/15/2021 - 12/15/2021		14		16
Small Business Administration
4.340% due 03/01/2024		58		59
4.504% due 02/01/2014		34		35
4.727% due 02/10/2019		41,627		42,316
4.750% due 07/01/2025		15,170		15,784
5.130% due 09/01/2023		14		15
6.090% due 07/01/2011		38		39
6.640% due 02/01/2011		558		585
7.449% due 08/01/2010		681		705
U.S. Department of Housing and Urban Development
5.070% due 08/01/2015		2,000		2,142
5.290% due 08/01/2017		5,000		5,328
Total U.S. Government Agencies (Cost $1,490,187)				1,520,863
U.S. TREASURY OBLIGATIONS 0.3%
Treasury Inflation Protected Securities (c)
1.750% due 01/15/2028		1,118		1,056
2.625% due 07/15/2017		1,028		1,094
U.S. Treasury Notes
0.875% due 04/30/2011 (g)		3,450		3,441
Total U.S. Treasury Obligations (Cost $5,491)				5,591
MORTGAGE-BACKED SECURITIES 3.2%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		1,718		1,354
5.660% due 09/25/2045		8,754		5,366
Banc of America Funding Corp.
3.781% due 05/25/2035		2,829		2,406
Bear Stearns Adjustable Rate Mortgage Trust
5.088% due 02/25/2033		90		81
5.609% due 02/25/2033		179		167
Bear Stearns Alt-A Trust
5.362% due 05/25/2035		3,807		2,468
5.490% due 09/25/2035		939		510
Bear Stearns Commercial Mortgage Securities
5.331% due 02/11/2044		100		81
5.471% due 01/12/2045		300		250
Citigroup Mortgage Loan Trust, Inc.
4.748% due 08/25/2035		12,850		10,230
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		600		439
Countrywide Alternative Loan Trust
6.000% due 10/25/2032		2		1
Countrywide Home Loan Mortgage Pass-Through Trust
0.604% due 04/25/2035		324		149
4.711% due 02/20/2035		3,953		3,147
4.786% due 11/25/2034		2,219		1,686
Credit Suisse Mortgage Capital Certificates
5.846% due 03/15/2039		100		72
6.425% due 02/15/2041		12,100		8,763
CS First Boston Mortgage Securities Corp.
1.135% due 03/25/2032		67		51
Greenwich Capital Commercial Funding Corp.
4.799% due 08/10/2042		100		85
5.444% due 03/10/2039		200		160
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		2,954		2,534
5.993% due 08/10/2045		700		531
Indymac ARM Trust
4.129% due 01/25/2032		84		54
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		100		74
5.882% due 02/15/2051		200		150
JPMorgan Mortgage Trust
5.012% due 02/25/2035		1,968		1,722
Merrill Lynch Countrywide Commercial Mortgage Trust
5.485% due 03/12/2051		400		269
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		1,327		717
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		361		249
Morgan Stanley Capital I
5.809% due 12/12/2049		100		77
Prime Mortgage Trust
0.714% due 02/25/2019		89		84
0.714% due 02/25/2034		538		436
Structured Asset Mortgage Investments, Inc.
0.563% due 07/19/2035		1,501		959
Structured Asset Securities Corp.
4.687% due 02/25/2032		32		28
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046		1,835		1,650
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		3,371		2,483
5.509% due 04/15/2047		300		200
WaMu Mortgage Pass-Through Certificates
0.604% due 10/25/2045		846		444
2.540% due 11/25/2042		301		174
2.877% due 02/27/2034		7		6
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		4,526		3,203
Total Mortgage-Backed Securities (Cost $67,038)				53,510
ASSET-BACKED SECURITIES 2.1%
Asset-Backed Funding Certificates
0.374% due 01/25/2037		757		625
BA Credit Card Trust
0.899% due 04/15/2013		2,100		2,084
Brazos Student Finance Corp.
1.110% due 06/01/2023		190		189
Ford Credit Auto Owner Trust
1.739% due 06/15/2012		30,000		30,107
Freemont Home Loan Owner Trust
1.104% due 12/25/2029		195		126
HFC Home Equity Loan Asset-Backed Certificates
0.605% due 01/20/2034		2,516		1,743
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		566		343
Long Beach Mortgage Loan Trust
0.594% due 10/25/2034		87		55
SLM Student Loan Trust
1.392% due 01/25/2015		660		656
Total Asset-Backed Securities (Cost $37,029)				35,928
SOVEREIGN ISSUES 0.2%
Hydro Quebec
1.875% due 09/29/2049		5,000		3,476
Republic of Korea
4.250% due 06/01/2013		135		133
Total Sovereign Issues (Cost $4,755)				3,609
FOREIGN CURRENCY-DENOMINATED ISSUES 1.5%
Banque Centrale de Tunisie
7.500% due 08/06/2009	EUR	6,000		8,448
CIT Group, Inc.
1.645% due 06/20/2013		4,000		3,058
Fortis Bank Nederland Holding NV
3.000% due 04/17/2012		1,000		1,419
General Electric Capital Corp.
0.748% due 03/03/2010	CHF	8,200		7,430
Societe Financement de l’Economie Francaise
2.125% due 05/20/2012	EUR	2,000		2,804
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	200,000		1,952
Total Foreign Currency-Denominated Issues (Cost $21,649)				25,111
		SHARES
CONVERTIBLE PREFERRED STOCKS 0.6%
General Motors Corp.
5.250% due 03/06/2032		4,000		12
Wells Fargo & Co.
7.500% due 12/31/2049		12,100		9,498
Total Convertible Preferred Stocks (Cost $8,411)				9,510
PREFERRED STOCKS 0.5%
DG Funding Trust
1.343% due 12/31/2049		912		7,889
Total Preferred Stocks (Cost $9,440)				7,889
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 1.7%
REPURCHASE AGREEMENTS 0.8%
Barclays Capital, Inc.
0.020% due 07/01/2009	$	4,000		4,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $4,143. Repurchase proceeds are $4,000.)
JPMorgan Chase Bank N.A.
0.090% due 07/01/2009		8,000		8,000
(Dated 06/30/2009. Collateralized by Fannie Mae 1.780% due 04/01/2011 valued at $8,189. Repurchase proceeds are $8,000.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		1,381		1,381
(Dated 06/30/2009. Collateralized by Fannie Mae 1.722% due 05/10/2011 valued at $1,412. Repurchase proceeds are $1,381.)
				13,381
U.S. TREASURY BILLS 0.1%
0.111% due 07/02/2009 - 07/16/2009 (b)(e)(g)		1,358		1,358
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 0.8%
		1,379,622		13,809
Total Short-Term Instruments (Cost $28,549)				28,548
PURCHASED OPTIONS (i) 0.2% (Cost $1,142)				4,073
Total Investments 124.6% (Cost $2,106,043)			$	2,100,536
Written Options (j) (0.0%) (Premiums $151)				(55	)
Other Assets and Liabilities (Net) (24.6%)				(415,048	)
Net Assets 100.0%			$	1,685,433

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $7,477 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $119,489 at a weighted average interest rate of 0.463%. On June 30, 2009, there were no open reverse repurchase agreements.

(g) Securities with an aggregate market value of $4,946 and cash of $160 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	45	$	40
90-Day Euribor March Futures	Long	03/2010	75		102
90-Day Eurodollar December Futures	Long	12/2009	1,464		1,096
90-Day Eurodollar December Futures	Long	12/2010	596		(212	)
90-Day Eurodollar June Futures	Long	06/2010	503		45
90-Day Eurodollar March Futures	Long	03/2010	116		686
90-Day Eurodollar March Futures	Long	03/2011	95		(119	)
90-Day Eurodollar September Futures	Long	09/2009	331		2,022
90-Day Eurodollar September Futures	Long	09/2010	121		(34	)
U.S. Treasury 5-Year Note September Futures	Long	09/2009	1,500		(2,442	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	56		382
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	22		(12	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	22		7
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	22		14
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	22		(2	)
				$	1,573

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
American International Group, Inc.	BCLY	2.100	%	03/20/2013	16.024	%	$	1,100	$	(374	)	$	0	$	(374	)
American International Group, Inc.	DUB	1.630	%	06/20/2013	15.775	%		13,200		(4,759	)		0		(4,759	)
Brazil Government International Bond	CSFB	3.350	%	12/20/2009	0.793	%		1,000		13			0		13
Ford Motor Credit Co. LLC	BCLY	5.650	%	09/20/2012	10.284	%		1,000		(113	)		0		(113	)
Ford Motor Credit Co. LLC	GSC	3.850	%	09/20/2012	10.284	%		300		(47	)		0		(47	)
General Electric Capital Corp.	BCLY	1.670	%	03/20/2013	4.347	%		12,100		(1,033	)		0		(1,033	)
General Electric Capital Corp.	BCLY	1.270	%	06/20/2013	4.342	%		15,000		(1,551	)		0		(1,551	)
General Electric Capital Corp.	CITI	1.100	%	03/20/2010	3.900	%		1,000		(20	)		0		(20	)
General Electric Capital Corp.	CITI	1.150	%	03/20/2010	3.900	%		600		(12	)		0		(12	)
General Electric Capital Corp.	GSC	0.900	%	12/20/2010	4.048	%		800		(35	)		0		(35	)
General Electric Capital Corp.	RBS	1.270	%	06/20/2013	4.342	%		10,000		(1,034	)		0		(1,034	)
GMAC LLC	BCLY	3.650	%	09/20/2012	10.203	%		1,000		(160	)		0		(160	)
GMAC LLC	GSC	3.200	%	09/20/2012	10.203	%		500		(86	)		0		(86	)
GMAC LLC	JPM	4.850	%	09/20/2012	10.203	%		1,400		(182	)		0		(182	)
JSC Gazprom	MSC	0.860	%	11/20/2011	5.055	%		5,700		(523	)		0		(523	)
Panama Government International Bond	JPM	1.250	%	01/20/2017	2.195	%		700		(37	)		0		(37	)
Qwest Capital Funding, Inc.	CSFB	4.650	%	09/20/2010	6.155	%		1,000		(16	)		0		(16	)
SLM Corp.	BNP	5.050	%	03/20/2013	8.375	%		1,600		(149	)		0		(149	)
SLM Corp.	CITI	5.600	%	09/20/2009	8.948	%		5,800		(35	)		0		(35	)
									$	(10,153	)	$	0	$	(10,153	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.HY-8 5-Year Index 25-35%	CITI	2.179	%	06/20/2012	$	500	$	(114	)	$	0	$	(114	)
CDX.HY-8 5-Year Index 25-35%	MLP	1.833	%	06/20/2012		1,400		(332	)		0		(332	)
CDX.HY-8 5-Year Index 25-35%	MSC	2.080	%	06/20/2012		1,300		(299	)		0		(299	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.355	%	06/20/2012		6,020		(290	)		0		(290	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.360	%	06/20/2012		4,855		(233	)		0		(233	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.401	%	06/20/2012		1,360		(64	)		0		(64	)
CDX.IG-9 5-Year Index 30-100%	BCLY	0.757	%	12/20/2012		12,737		174			0		174
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012		8,264		99			0		99
CDX.IG-9 10-Year Index 30-100%	GSC	0.548	%	12/20/2017		195		1			0		1
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017		583		2			0		2
CDX.IG-10 5-Year Index 30-100%	DUB	0.530	%	06/20/2013		1,653		14			0		14
CDX.IG-10 5-Year Index 30-100%	GSC	0.463	%	06/20/2013		2,042		12			0		12
							$	(1,030	)	$	0	$	(1,030	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP	EUR	5,100	$	246		$	0		$	246
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		1,400		80			0			80
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	JPM		3,500		69			1			68
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS		900		16			0			16
Pay	1-Month EUR-FRCPXTOB Index	1.950	%	03/30/2012	RBS		700		12			0			12
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	03/30/2012	GSC		1,100		21			0			21
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	04/05/2012	BCLY		500		9			0			9
Pay	1-Month EUR-FRCPXTOB Index	1.958	%	04/10/2012	JPM		200		3			0			3
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY		BRL 7,400		5			0			5
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		4,800		7			0			7
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		1,900		4			0			4
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS		3,600		46			(7	)		53
Pay	1-Year BRL-CDI	12.670	%	01/04/2010	MSC		3,600		47			(5	)		52
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		3,200		55			4			51
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		2,900		56			3			53
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		2,600		(35	)		(47	)		12
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	BCLY		4,300		67			(2	)		69
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	UBS		4,300		67			(2	)		69
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		600		23			2			21
Pay	3-Month USD-LIBOR	3.150	%	12/17/2010	RBS	$	52,000		1,534			0			1,534
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	BCLY		40,700		1,435			(400	)		1,835
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	RBS		54,500		1,922			(161	)		2,083
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	BCLY		1,100		54			40			14
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	BOA		2,700		133			98			35
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	CSFB		9,000		446			341			105
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	DUB		3,900		193			126			67
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	MLP		1,800		90			41			49
Pay	6-Month AUD Bank Bill	4.250	%	09/15/2011	UBS	AUD	17,800		(62	)		144			(206	)
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC	GBP	3,100		117			(32	)		149
Pay	6-Month GBP-LIBOR	5.100	%	09/15/2013	RBS		600		70			(1	)		71
								$	6,730		$	143		$	6,587

(i) Purchased options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	19,600	$	210	$	703
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		13,400		143		480
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		5,300		59		190
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		32,400		306		1,162
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		19,500		221		699
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		19,200		203		839
									$	1,142	$	4,073

(j) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	4,000	$	17	$	3
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		2,500		7		5
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		3,500		14		5
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		4,000		16		3
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		7,000		33		6
Put - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		2,000		9		2
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		15,000		55		31
									$	151	$	55

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.500	%	07/01/2039	$	7,000	$	7,224	$	7,224
Freddie Mac	5.500	%	07/01/2039		27,000		27,876		27,865
						$	35,100	$	35,089

(l) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	GSC	1,661	07/2009	$	31	$	0		$	31
Buy	BRL	HSBC	15,421	08/2009		513		0			513
Buy		MLP	6,052	08/2009		253		0			253
Buy	CAD	JPM	2,266	08/2009		0		(121	)		(121	)
Buy	CNY	BCLY	12,334	07/2009		0		(101	)		(101	)
Sell		BCLY	6,953	07/2009		0		(46	)		(46	)
Sell		CITI	18,589	07/2009		0		(71	)		(71	)
Buy		DUB	40,254	07/2009		0		(329	)		(329	)
Sell		DUB	32,574	07/2009		0		(122	)		(122	)
Buy		HSBC	12,467	07/2009		0		(87	)		(87	)
Sell		HSBC	12,959	07/2009		0		(48	)		(48	)
Buy		JPM	13,009	07/2009		0		(114	)		(114	)
Sell		JPM	6,989	07/2009		0		(46	)		(46	)
Buy		BCLY	4,136	09/2009		8		0			8
Sell		BCLY	10,543	09/2009		0		(38	)		(38	)
Buy		CITI	2,638	09/2009		6		0			6
Sell		CITI	8,206	09/2009		0		(28	)		(28	)
Buy		DUB	12,126	09/2009		27		0			27
Buy		HSBC	5,408	09/2009		12		0			12
Sell		HSBC	3,126	09/2009		0		(12	)		(12	)
Buy		JPM	2,209	09/2009		4		0			4
Sell		JPM	4,642	09/2009		0		(18	)		(18	)
Buy		BCLY	2,546	03/2010		0		(2	)		(2	)
Buy		HSBC	2,552	03/2010		0		(1	)		(1	)
Buy		JPM	15,540	03/2010		0		(7	)		(7	)
Sell	EUR	BCLY	9,108	07/2009		0		(69	)		(69	)
Sell		GSC	251	07/2009		0		0			0
Sell	GBP	CITI	4,231	07/2009		0		(415	)		(415	)
Buy		MSC	3,460	07/2009		0		(24	)		(24	)
Buy		RBS	771	07/2009		59		0			59
Sell		MSC	3,460	08/2009		24		0			24
Sell	JPY	BNP	119,689	07/2009		0		(1	)		(1	)
Sell		MSC	119,689	08/2009		0		0			0
Buy	NZD	GSC	986	07/2009		27		0			27
Buy	SGD	HSBC	1,258	07/2009		0		(1	)		(1	)
Sell		HSBC	1,258	07/2009		0		(41	)		(41	)
					$	964	$	(1,742	)	$	(778	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	395,742		$	1,264	$	397,006
U.S. Government Agencies		0		1,520,619			244		1,520,863
Other Investments++		23,307		157,408			1,952		182,667
Investments, at value	$	23,307	$	2,073,769		$	3,460	$	2,100,536
Short Sales, at value	$	0	$	(35,089	)	$	0	$	(35,089	)
Financial Derivative Instruments+++	$	1,573	$	(5,802	)	$	373	$	(3,856	)
Total	$	24,880	$	2,032,878		$	3,833	$	2,061,591

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	0		$	0	$	0	$	1		$	1,263	$	1,264
U.S. Government Agencies		249		(3	)		0		0		(2	)		0		244
Other Investments++		1,902		0			0		0		50			0		1,952
Investments, at value	$	2,151	$	(3	)	$	0	$	0	$	49		$	1,263	$	3,460
Financial Derivative Instruments+++	$	337	$	0		$	0	$	0	$	4		$	32	$	373
Total	$	2,488	$	(3	)	$	0	$	0	$	53		$	1,295	$	3,833

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Money Market Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 3.8%
Merrill Lynch & Co., Inc.
3.188% due 05/12/2010	$	13,400	$	13,340
Wells Fargo & Co.
0.370% due 08/03/2009		6,600		6,600
Total Corporate Bonds & Notes (Cost $19,940)				19,940
U.S. GOVERNMENT AGENCIES 3.3%
Fannie Mae
3.250% due 02/10/2010		7,000		7,097
Federal Home Loan Bank
0.601% due 12/02/2009		10,000		10,007
Total U.S. Government Agencies (Cost $17,104)				17,104
SHORT-TERM INSTRUMENTS 94.7%
COMMERCIAL PAPER 53.2%
BNP Paribas Finance, Inc.
0.125% due 07/01/2009		15,000		15,000
0.320% due 09/02/2009		11,100		11,094
Citigroup Funding, Inc.
0.400% due 07/17/2009		10,300		10,298
Dexia Credit Local S.A.
1.160% due 12/23/2009		10,700		10,701
Fannie Mae
0.448% due 02/22/2010		57,600		57,438
Federal Home Loan Bank
0.097% due 07/01/2009		19,200		19,200
0.770% due 01/27/2010		15,800		15,800
0.850% due 03/11/2010		26,000		26,108
Freddie Mac
0.620% due 01/08/2010		6,400		6,413
0.703% due 01/04/2010		17,100		17,052
1.024% due 02/05/2010		15,000		14,909
1.219% due 10/30/2009		30,205		30,267
JPMorgan Chase & Co.
0.250% due 07/01/2009		10,800		10,800
Nordea North America, Inc.
0.300% due 08/17/2009		10,000		9,996
Rabobank USA Financial Corp.
0.300% due 09/03/2009		11,100		11,094
Societe Generale N.A.
0.400% due 08/21/2009		10,500		10,494
				276,664
REPURCHASE AGREEMENTS 41.5%
Barclays Capital, Inc.
0.120% due 07/01/2009		54,100		54,100
(Dated 06/30/2009. Collateralized by General Electric Capital Corp. 0.924% due 05/08/2012 valued at $55,724. Repurchase proceeds are $54,100.)
0.210% due 07/02/2009		22,200		22,200
(Dated 06/03/2009. Collateralized by Freddie Mac 5.500% due 07/18/2016 valued at $23,237. Repurchase proceeds are $22,200.)
Goldman Sachs & Co.
0.050% due 07/01/2009		19,100		19,100
(Dated 06/30/2009. Collateralized by Freddie Mac 5.500% due 06/01/2036 valued at $18,955. Repurchase proceeds are $19,100.)
JPMorgan Chase Bank N.A.
0.090% due 07/01/2009		119,000		119,000
(Dated 06/30/2009. Collateralized by Fannie Mae 4.625%-7.000% due 10/15/2014-10/01/2038 valued at $120,898. Repurchase proceeds are $119,000.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		1,020		1,020
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/20/2009 valued at $1,045. Repurchase proceeds are $1,020.)
				215,420
Total Short-Term Instruments (Cost $492,084)				492,084
Total Investments 101.8% (Cost $529,128)			$	529,128
Other Assets and Liabilities (Net) (1.8%)				(9,243	)
Net Assets 100.0%			$	519,885

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, 2009 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)		Fair Value at 06/30/2009
Short-Term Instruments	$	0	$	492,084	$	0	$	492,084
Other Investments++		0		37,044		0		37,044
Investments, at value	$	0	$	529,128	$	0	$	529,128

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

See Accompanying Notes

Schedule of Investments

Mortgage-Backed Securities Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 2.3%
American International Group, Inc.
1.217% due 10/18/2011	$	500	$	323
4.250% due 05/15/2013		800		464
5.050% due 10/01/2015		1,800		973
5.450% due 05/18/2017		1,100		580
8.250% due 08/15/2018		7,400		4,361
Citigroup, Inc.
0.749% due 03/16/2012		5,000		4,543
General Electric Capital Corp.
1.156% due 05/11/2016		2,000		1,595
1.262% due 07/27/2012		5,000		4,545
Merrill Lynch & Co., Inc.
1.228% due 11/01/2011		5,495		5,041
Total Corporate Bonds & Notes (Cost $23,088)				22,425
U.S. GOVERNMENT AGENCIES 146.3%
Fannie Mae
0.000% due 07/25/2022 (a)		40		35
0.374% due 12/25/2036		12,232		11,044
0.429% due 03/25/2034		1,237		1,127
0.464% due 08/25/2034 - 10/25/2035		10,000		9,727
0.514% due 10/27/2037		36,200		32,965
0.554% due 06/25/2033		186		177
0.574% due 06/25/2032		478		405
0.614% due 03/25/2018		958		940
0.654% due 11/25/2032		412		259
0.664% due 11/25/2032		80		79
0.718% due 04/18/2028		6		6
0.764% due 05/25/2023		1,057		1,044
0.814% due 03/25/2017 - 07/25/2034		3,641		3,546
0.824% due 10/25/2031		483		479
0.994% due 02/25/2024		754		749
1.314% due 04/25/2032		764		762
1.344% due 04/25/2023		3		3
1.656% due 05/01/2033		508		515
2.638% due 08/01/2042 - 10/01/2044		5,236		5,179
3.432% due 11/01/2035		655		666
3.494% due 08/01/2027		901		915
4.000% due 08/01/2018 - 08/01/2039		72,927		71,878
4.000% due 06/01/2019 (f)		4,449		4,532
4.121% due 12/01/2034		774		777
4.152% due 04/01/2033		505		512
4.208% due 03/01/2032		149		151
4.303% due 02/01/2035		223		230
4.307% due 09/01/2034		1,000		1,016
4.368% due 02/01/2035		291		302
4.470% due 02/01/2035		125		129
4.500% due 04/01/2013 - 07/01/2039		32,064		32,516
4.553% due 05/01/2035		588		610
4.561% due 02/01/2035		191		198
4.569% due 12/01/2034		254		262
4.615% due 08/01/2036		2,852		2,953
4.630% due 10/01/2032		284		290
4.631% due 05/25/2035		734		734
4.636% due 07/01/2035		179		185
4.695% due 03/01/2035		137		142
4.734% due 03/01/2035		168		174
4.737% due 12/01/2034 - 01/01/2035		182		187
4.756% due 01/01/2035		236		240
4.763% due 01/01/2035		180		186
4.772% due 02/01/2035		132		137
4.783% due 07/01/2035		188		191
4.799% due 10/01/2035		82		85
4.809% due 11/01/2034		104		107
4.816% due 10/01/2035		413		429
4.826% due 01/01/2035		700		716
4.851% due 01/01/2035		245		251
4.875% due 03/01/2027		98		98
4.905% due 02/01/2035		377		390
4.919% due 07/01/2035		417		432
4.950% due 04/01/2035		1,598		1,661
4.970% due 10/01/2028		13		13
5.000% due 10/01/2012 - 07/01/2039		56,273		57,870
5.000% due 06/01/2035 (f)		130,096		132,936
5.002% due 12/01/2035		1,291		1,315
5.076% due 09/01/2035		1,163		1,194
5.107% due 02/01/2036		898		935
5.117% due 05/01/2035		142		145
5.177% due 05/01/2035		914		935
5.185% due 03/01/2035		20		21
5.195% due 11/01/2018		2		2
5.342% due 11/01/2035		645		675
5.346% due 11/01/2035		779		814
5.500% due 04/01/2011 - 07/01/2039		78,928		81,796
5.500% due 02/01/2033 - 10/01/2038 (f)		128,519		133,050
5.898% due 05/01/2023		24		24
5.990% due 08/01/2017		1,100		1,146
6.000% due 04/01/2012 - 07/01/2039		44,760		46,929
6.000% due 08/01/2022 - 06/01/2038 (f)		61,386		64,349
6.229% due 10/01/2036		3,052		3,237
6.500% due 06/01/2021 - 08/01/2039		14,306		15,243
6.500% due 09/01/2036 - 07/01/2038 (f)		38,927		41,509
7.000% due 09/25/2023		2		3
7.475% due 06/01/2030		21		22
7.500% due 10/01/2028 - 09/01/2034		2,535		2,766
7.500% due 09/01/2035 (f)		3,323		3,691
7.750% due 08/25/2022		34		37
8.200% due 04/25/2025		34		35
Federal Housing Administration
7.430% due 06/01/2019		204		205
Freddie Mac
0.469% due 08/15/2019		2,375		2,328
0.549% due 02/15/2019		5,705		5,600
0.619% due 04/15/2017		213		211
0.702% due 03/09/2011 (d)		1,877		1,884
0.719% due 06/15/2032 - 12/15/2032		885		873
0.769% due 12/15/2031		390		386
0.819% due 09/15/2030		40		40
1.275% due 02/15/2021		594		597
2.638% due 10/25/2044		2,765		2,723
2.639% due 02/25/2045		675		643
3.253% due 02/01/2018		55		55
3.500% due 12/15/2022		1		2
3.847% due 02/01/2028		176		178
4.000% due 07/01/2039		11,000		10,656
4.033% due 01/01/2034		64		65
4.258% due 02/01/2035		101		104
4.296% due 07/01/2030		20		20
4.336% due 11/01/2031		77		78
4.372% due 02/01/2035		43		44
4.386% due 01/01/2035		181		187
4.420% due 03/01/2034		1,326		1,352
4.435% due 04/01/2035		282		285
4.491% due 10/01/2036		1,451		1,508
4.500% due 04/01/2020 - 07/01/2039		9,025		9,000
4.606% due 01/01/2035		638		658
4.637% due 02/01/2035		38		38
4.651% due 03/01/2035		71		73
4.717% due 03/01/2035		425		440
4.748% due 04/01/2035		351		356
4.800% due 09/01/2035		692		715
4.908% due 05/01/2032		52		52
5.000% due 01/01/2037 - 08/01/2039		50,699		51,340
5.110% due 05/01/2035		520		539
5.196% due 08/01/2036		147		153
5.304% due 06/01/2035		137		140
5.338% due 09/01/2035		3,859		3,968
5.340% due 06/01/2037		247		256
5.500% due 12/01/2017 - 07/01/2039		159,975		165,185
5.500% due 07/01/2038 (f)		5,623		5,812
5.957% due 08/01/2025		7		7
6.000% due 11/01/2036 - 03/01/2038 (f)		11,666		12,198
6.000% due 01/01/2037 - 07/01/2039		30,598		31,949
6.362% due 11/01/2028		6		7
6.500% due 12/15/2023 - 05/15/2028		1,675		1,800
8.000% due 06/15/2026		19		21
Ginnie Mae
0.518% due 02/16/2032 - 07/16/2032		419		412
0.568% due 08/16/2032		1,707		1,678
0.868% due 04/16/2032		332		328
4.000% due 05/15/2039 - 08/01/2039		36,000		34,719
4.125% due 12/20/2021 - 11/20/2023		21		22
4.375% due 02/20/2017 - 03/20/2027		11		11
4.500% due 03/20/2016 - 07/01/2039		31,042		31,037
4.625% due 07/20/2022 - 08/20/2026		44		45
5.000% due 07/01/2039 - 08/01/2039		35,000		35,585
5.375% due 06/20/2017		20		21
5.500% due 09/15/2032 - 07/01/2039		29,969		30,974
6.000% due 02/15/2032 - 07/01/2039		192,820		201,004
6.500% due 07/15/2024 - 08/15/2038		5,740		6,099
7.500% due 05/15/2027 - 08/15/2027		6		6
Total U.S. Government Agencies (Cost $1,417,672)				1,440,687
U.S. TREASURY OBLIGATIONS 0.1%
U.S. Treasury Notes
0.875% due 04/30/2011 (g)		562		560
0.875% due 05/31/2011 (g)		363		362
Total U.S. Treasury Obligations (Cost $922)				922
MORTGAGE-BACKED SECURITIES 15.8%
American Home Mortgage Assets
0.544% due 09/25/2046		264		58
0.604% due 08/25/2037		2,000		111
2.260% due 11/25/2046		755		346
American Home Mortgage Investment Trust
0.554% due 05/25/2047		399		83
Banc of America Funding Corp.
0.605% due 05/20/2035		206		96
6.102% due 01/20/2047		1,670		889
Banc of America Structural Security Trust
0.821% due 10/11/2033		359		355
Banktrust Mortgage Trust
5.700% due 12/01/2023		51		50
BCAP LLC Trust
0.484% due 01/25/2037		3,261		1,246
Bear Stearns Alt-A Trust
0.534% due 12/25/2046		959		94
5.303% due 08/25/2036		6,300		2,393
5.841% due 11/25/2036		2,707		1,318
Bear Stearns Commercial Mortgage Securities
5.331% due 02/11/2044		6,400		5,197
5.405% due 12/11/2040		9,000		8,029
5.540% due 09/11/2041		5,600		4,659
CBA Commercial Small Balance Commercial Mortgage
0.594% due 12/25/2036		765		345
CC Mortgage Funding Corp.
0.444% due 05/25/2048		2,316		847
0.594% due 01/25/2035		120		84
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		6,000		4,444
Citigroup Mortgage Loan Trust, Inc.
1.114% due 08/25/2035		1,205		771
Commercial Mortgage Pass-Through Certificates
0.539% due 02/05/2019		2,000		1,436
Countrywide Alternative Loan Trust
0.515% due 07/20/2046		299		115
0.524% due 05/25/2035		1,201		543
0.544% due 08/25/2046		625		122
0.564% due 09/25/2046		450		37
0.564% due 10/25/2046		304		73
0.574% due 07/25/2046		450		38
0.584% due 05/25/2036		280		40
0.595% due 09/20/2046		450		45
0.654% due 10/25/2046		450		51
0.664% due 06/25/2037		419		93
0.684% due 11/25/2035		101		19
0.734% due 12/25/2035		183		43
0.824% due 11/20/2035		450		58
1.084% due 11/25/2035		303		129
Countrywide Home Loan Mortgage Pass-Through Trust
0.604% due 02/25/2035		36		17
0.604% due 04/25/2035		750		345
0.614% due 04/25/2046		309		51
0.634% due 03/25/2035		2,456		1,047
0.654% due 03/25/2036		205		38
0.664% due 02/25/2036		197		36
0.774% due 09/25/2034		654		179
3.815% due 04/25/2035		1,410		491
4.786% due 11/25/2034		2,409		1,831
5.373% due 02/25/2047		4,179		2,143
5.575% due 03/25/2037		3,989		1,867
CS First Boston Mortgage Securities Corp.
1.135% due 03/25/2032		34		25
Downey Savings & Loan Association Mortgage Loan Trust
0.623% due 11/19/2037		450		38
0.633% due 07/19/2045		158		39
First Horizon Asset Securities, Inc.
5.365% due 08/25/2035		3,381		2,573
5.844% due 08/25/2037		17,155		10,126
Greenpoint Mortgage Funding Trust
0.514% due 10/25/2046		450		48
0.514% due 12/25/2046		450		42
0.524% due 10/25/2046		450		60
0.544% due 06/25/2045		601		253
0.584% due 04/25/2036		291		89
0.634% due 09/25/2046		450		20
0.654% due 10/25/2046		450		21
GSR Mortgage Loan Trust
0.574% due 08/25/2046		319		85
Harborview Mortgage Loan Trust
0.513% due 09/19/2046		272		117
0.533% due 05/19/2047		2,563		990
0.563% due 01/19/2038		322		58
0.563% due 09/19/2046		272		67
0.623% due 11/19/2035		1,814		873
Homebanc Mortgage Trust
0.494% due 12/25/2036		587		256
Indymac Index Mortgage Loan Trust
0.504% due 04/25/2037		398		71
0.514% due 11/25/2046		453		69
0.554% due 04/25/2035		1,663		743
0.564% due 02/25/2037		450		56
0.584% due 06/25/2037		413		91
0.604% due 11/25/2036		707		113
0.634% due 02/25/2035		1,031		458
5.268% due 06/25/2035		4,214		2,580
JPMorgan Alternative Loan Trust
0.808% due 06/27/2037		6,629		4,488
JPMorgan Chase Commercial Mortgage Securities Corp.
0.694% due 07/15/2019		11,358		8,221
5.305% due 01/15/2049		7,000		6,340
5.882% due 02/15/2051		500		376
MASTR Adjustable Rate Mortgages Trust
0.614% due 05/25/2047		450		48
0.654% due 05/25/2047		450		35
MASTR Alternative Loans Trust
0.714% due 03/25/2036		2,171		781
Mellon Residential Funding Corp.
0.669% due 11/15/2031		499		363
Merrill Lynch Alternative Note Asset
5.557% due 06/25/2037		5,303		2,445
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		1,400		1,261
5.378% due 08/12/2048		3,390		2,264
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		2,905		2,326
Morgan Stanley Capital I
5.332% due 12/15/2043		4,250		3,190
Morgan Stanley Dean Witter Capital I
5.500% due 04/25/2017		17		16
Opteum Mortgage Acceptance Corp.
0.574% due 07/25/2035		893		615
Prime Mortgage Trust
5.000% due 02/25/2019		296		289
RBSSP Resecuritization Trust
0.813% due 11/21/2035		11,584		9,244
Residential Accredit Loans, Inc.
0.474% due 01/25/2037		9,038		3,647
0.494% due 06/25/2046		7,200		2,776
0.494% due 02/25/2047		375		86
0.514% due 12/25/2046		450		54
0.544% due 05/25/2037		408		84
0.584% due 05/25/2046		450		49
0.714% due 10/25/2045		210		96
2.049% due 08/25/2035		364		163
Residential Asset Mortgage Products, Inc.
8.500% due 10/25/2031		446		396
Residential Asset Securitization Trust
6.000% due 03/25/2037		3,200		1,906
Sequoia Mortgage Trust
0.663% due 10/19/2026		323		245
0.665% due 07/20/2033		202		162
0.695% due 10/20/2027		85		69
Structured Adjustable Rate Mortgage Loan Trust
0.534% due 05/25/2037		2,949		1,161
2.839% due 05/25/2035		1,885		735
5.410% due 09/25/2035		4,998		3,090
Structured Asset Mortgage Investments, Inc.
0.564% due 09/25/2047		710		157
0.574% due 05/25/2046		373		83
0.614% due 08/25/2036		450		55
0.864% due 09/25/2047		6,406		1,392
0.973% due 09/19/2032		127		95
Structured Asset Securities Corp.
0.814% due 12/25/2033		1,640		1,499
Thornburg Mortgage Securities Trust
0.434% due 07/25/2036		1,589		1,385
0.434% due 09/25/2046		8,496		7,798
0.994% due 04/25/2043		1,311		1,073
6.189% due 09/25/2037		540		348
6.207% due 09/25/2037		565		409
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		1,992		1,436
WaMu Mortgage Pass-Through Certificates
0.534% due 07/25/2046		350		92
0.584% due 12/25/2045		2,171		1,020
0.724% due 11/25/2045		450		110
0.724% due 12/25/2045		450		106
0.802% due 11/25/2034		259		87
0.812% due 07/25/2044		484		136
0.854% due 12/25/2027		1,875		1,403
1.014% due 12/25/2045		395		46
2.090% due 06/25/2047		395		128
2.150% due 07/25/2047		401		150
2.340% due 02/25/2046		1,259		561
3.127% due 10/25/2046		5,946		2,668
3.766% due 03/25/2033		1,311		1,062
4.214% due 08/25/2033		1,153		1,005
5.600% due 12/25/2036		6,958		4,282
Washington Mutual Alternative Mortgage Pass-Through Certificates
0.564% due 07/25/2046		140		41
2.100% due 04/25/2047		401		112
2.110% due 04/25/2047		379		95
2.180% due 05/25/2047		379		75
Wells Fargo Mortgage-Backed Securities Trust
6.000% due 10/25/2037		9,466		7,537
Total Mortgage-Backed Securities (Cost $211,110)				155,730
ASSET-BACKED SECURITIES 11.3%
American Express Credit Account Master Trust
1.269% due 08/15/2012		8,000		8,020
Amortizing Residential Collateral Trust
0.604% due 07/25/2032		25		14
1.014% due 10/25/2031		21		13
Amresco Residential Securities Mortgage Loan Trust
0.809% due 06/25/2028		400		206
0.869% due 06/25/2027		299		255
0.869% due 09/25/2027		713		421
0.944% due 09/25/2028		892		538
Argent Securities, Inc.
1.164% due 11/25/2034		2,500		1,314
BA Credit Card Trust
1.519% due 12/16/2013		3,843		3,835
Capital Auto Receivables Asset Trust
1.239% due 03/15/2011		5,868		5,875
1.769% due 10/15/2012		1,000		993
Centex Home Equity
0.614% due 01/25/2032		30		21
Chase Issuance Trust
0.359% due 04/15/2013		1,021		1,003
0.569% due 09/15/2011		5,600		5,599
0.969% due 11/15/2011		10,000		10,009
4.260% due 05/15/2013		8,500		8,750
4.550% due 03/15/2013		4,000		4,136
CIT Group Home Equity Loan Trust
0.584% due 06/25/2033		102		75
Citibank Omni Master Trust
1.415% due 12/23/2013		6,100		6,091
Citigroup Mortgage Loan Trust, Inc.
0.554% due 08/25/2035		84		74
Conseco Finance
1.819% due 05/15/2032		1,008		605
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		1,682		1,025
Countrywide Asset-Backed Certificates
0.364% due 12/25/2046		178		175
0.654% due 06/25/2033		985		641
EMC Mortgage Loan Trust
1.064% due 08/25/2040		249		214
First Franklin Mortgage Loan Asset-Backed Certificates
0.424% due 09/25/2036		5,500		4,550
Ford Credit Auto Owner Trust
1.739% due 06/15/2012		20,000		20,071
Franklin Auto Trust
1.315% due 10/20/2011		4,091		4,097
1.895% due 06/20/2012		1,000		1,002
GSAA Trust
0.614% due 03/25/2037		700		231
0.614% due 05/25/2047		1,896		662
HFC Home Equity Loan Asset-Backed Certificates
0.665% due 09/20/2033		1,681		1,259
Home Equity Asset Trust
0.914% due 11/25/2032		3		1
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		695		602
Lehman XS Trust
0.484% due 04/25/2046		349		276
0.544% due 06/25/2046		286		49
0.544% due 08/25/2046		329		70
0.554% due 09/25/2046		326		69
0.554% due 11/25/2046		320		89
0.564% due 08/25/2046		451		43
0.634% due 11/25/2046		450		76
Morgan Stanley Mortgage Loan Trust
0.544% due 02/25/2037		200		49
0.674% due 04/25/2037		1,700		620
Park Place Securities, Inc.
0.814% due 07/25/2035 (j)		5,000		2,340
Quest Trust
1.214% due 06/25/2034		1,557		1,366
Renaissance Home Equity Loan Trust
0.694% due 12/25/2032		54		31
0.754% due 08/25/2033		307		148
Residential Asset Mortgage Products, Inc.
0.714% due 06/25/2047		700		256
Residential Funding Mortgage Securities II, Inc.
0.414% due 02/25/2036		471		465
Salomon Brothers Mortgage Securities VII, Inc.
1.289% due 10/25/2028		920		778
SLM Student Loan Trust
2.592% due 04/25/2023		9,343		9,541
Soundview Home Equity Loan Trust
0.394% due 06/25/2037		1,901		1,522
Specialty Underwriting & Residential Finance
0.994% due 01/25/2034		35		11
Structured Asset Securities Corp.
0.604% due 01/25/2033		43		31
United National Home Loan Owner Trust
6.910% due 03/25/2025		367		346
Wells Fargo Home Equity Trust
0.554% due 10/25/2035		421		403
0.564% due 12/25/2035		845		786
Total Asset-Backed Securities (Cost $117,965)				111,742
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.1%
American International Group, Inc.
8.500% due 08/01/2011		72,000		685
Total Convertible Preferred Stocks (Cost $5,400)				685
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 1.4%
REPURCHASE AGREEMENTS 0.8%
Barclays Capital, Inc.
0.020% due 07/01/2009	$	1,000		1,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $1,034. Repurchase proceeds are $1,000.)
0.100% due 07/01/2009		4,000		4,000
(Dated 06/30/2009. Collateralized by Freddie Mac 0.926% due 05/04/2011 valued at $4,119. Repurchase proceeds are $4,000.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		2,912		2,912
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $2,974. Repurchase proceeds are $2,912.)
				7,912
U.S. TREASURY BILLS 0.3%
1.962% due 07/02/2009 - 07/30/2009 (b)(d)(e)		3,220		3,220
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 0.3%
		262,508		2,627
Total Short-Term Instruments (Cost $13,760)				13,759
Total Investments 177.3% (Cost $1,789,917)			$	1,745,950
Written Options (i) (0.0%) (Premiums $14)				(8	)
Other Assets and Liabilities (Net) (77.3%)				(761,061	)
Net Assets 100.0%			$	984,881

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) Affiliated to the Fund.

(d) Securities with an aggregate market value of $1,757 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) Securities with an aggregate market value of $1,560 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $360,198 at a weighted average interest rate of 0.433%. On June 30, 2009, securities valued at $333,214 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $922 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
90-Day Eurodollar June Futures	Long	06/2010	252	$	312

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Asset Backed Securities - Buy Protection ⁽¹⁾

Reference Obligation	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Telos CLO Ltd. 3-Month USD-LIBOR plus 1.700% due 10/11/2021	GSC	(2.500	%)	10/11/2021	$	500	$	397	$	0	$	397

Credit Default Swaps on Credit Indices - Buy Protection ⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
ABX.HE A 06-1 Index	JPM	(0.540	%)	07/25/2045	$	4,880	$	4,495	$	634	$	3,861
CMBX.NA AAA 2 Index	DUB	(0.070	%)	03/15/2049		2,800		519		815		(296	)
CMBX.NA AAA 3 Index	BOA	(0.080	%)	12/13/2049		4,400		1,094		770		324
CMBX.NA AAA 3 Index	CSFB	(0.080	%)	12/13/2049		4,000		995		995		0
CMBX.NA AAA 3 Index	JPM	(0.080	%)	12/13/2049		2,000		497		498		(1	)
CMBX.NA AAA 4 Index	BCLY	(0.350	%)	02/17/2051		2,000		535		164		371
CMBX.NA AAA 4 Index	DUB	(0.350	%)	02/17/2051		2,800		749		982		(233	)
							$	8,884	$	4,858	$	4,026

Credit Default Swaps on Credit Indices - Sell Protection ⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)			Unrealized (Depreciation)
ABX.HE BBB 06-2 Index	DUB	1.330	%	05/25/2046	$	1,400	$	(1,341	)	$	(753	)	$	(588	)
ABX.HE BBB 06-2 Index	GSC	2.420	%	05/25/2046		455		(431	)		(150	)		(281	)
ABX.HE BBB 06-2 Index	RBS	1.330	%	05/25/2046		1,050		(1,001	)		(572	)		(429	)
							$	(2,773	)	$	(1,475	)	$	(1,298	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities compromising the referenced index.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	JPM	$	2,000	$	4	$	(76	)	$	80
Receive	Interest and paydown on FFCA Secured Lending Corp. 8.180% due 09/18/2027	8.180	%	09/18/2027	MSC		3,000		1,910		900			1,010
								$	1,914	$	824		$	1,090

(i) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Market Value

Put - OTC 7-Year Interest Rate Swap

RBS

3-Month USD-LIBOR

Pay

4.400

%

08/03/2009

$

4,000

$

14

$

8

(j) Restricted securities as of June 30, 2009:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Park Place Securities, Inc.	0.814	%	07/25/2035	03/13/2008	$	4,305	$	2,340	0.24	%

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	4.000	%	08/01/2039	$	34,000	$	32,842	$	32,919
Fannie Mae	5.000	%	07/01/2024		2,000		2,056		2,070
Fannie Mae	5.000	%	07/01/2039		146,500		146,899		149,086
Fannie Mae	5.000	%	08/01/2039		19,000		19,168		19,258
Fannie Mae	5.500	%	07/01/2039		11,000		11,229		11,352
Fannie Mae	6.000	%	07/01/2024		2,000		2,111		2,117
Fannie Mae	6.000	%	07/01/2039		14,000		14,652		14,632
Freddie Mac	4.000	%	07/01/2039		11,000		10,694		10,665
Freddie Mac	4.500	%	07/01/2039		9,000		8,868		8,972
Ginnie Mae	4.000	%	07/01/2039		2,000		1,920		1,934
Ginnie Mae	4.500	%	07/01/2039		5,000		4,958		4,989
Ginnie Mae	6.000	%	07/01/2039		159,000		164,108		165,683
						$	419,505	$	423,677

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
U.S. Government Agencies	$	0	$	1,440,482		$	205	$	1,440,687
Mortgage-Backed Securities		0		146,436			9,294		155,730
Asset-Backed Securities		0		111,742			0		111,742
Other Investments++		3,312		34,479			0		37,791
Investments, at value	$	3,312	$	1,733,139		$	9,499	$	1,745,950
Short Sales, at value	$	0	$	(423,677	)	$	0	$	(423,677	)
Financial Derivative Instruments+++	$	312	$	2,800		$	1,407	$	4,519
Total	$	3,624	$	1,312,262		$	10,906	$	1,326,792

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
U.S. Government Agencies	$	210	$	(4	)	$	0	$	0	$	(1	)	$	0	$	205
Mortgage-Backed Securities		53		8,672			56		77		436			0		9,294
Investments, at value	$	263	$	8,668		$	56	$	77	$	435		$	0	$	9,499
Financial Derivative Instruments+++	$	1,610	$	0		$	0	$	0	$	(436	)	$	233	$	1,407
Total	$	1,873	$	8,668		$	56	$	77	$	(1	)	$	233	$	10,906

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Municipal Bond Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 1.3%
American International Group, Inc.
4.250% due 05/15/2013	$	600	$	348
4.700% due 10/01/2010		1,400		1,137
4.950% due 03/20/2012		100		68
5.600% due 10/18/2016		100		54
8.175% due 05/15/2058		200		57
8.250% due 08/15/2018		900		531
JPMorgan Chase & Co.
7.900% due 04/29/2049		1,900		1,667
SLM Corp.
4.500% due 07/26/2010		1,500		1,418
Total Corporate Bonds & Notes (Cost $5,741)				5,280
MUNICIPAL BONDS & NOTES 97.2%
ALABAMA 1.1%
Alabama State 21st Century Authority Revenue Bonds, Series 2001
5.750% due 12/01/2018		2,295		2,246
Jefferson County, Alabama Limited Obligation Revenue Bonds, Series 2004
5.250% due 01/01/2019		3,300		2,054
				4,300
ALASKA 0.5%
Alaska State Housing Finance Corp. Revenue Bonds, (MBIA Insured), Series 2002
5.250% due 06/01/2032		540		529
Anchorage, Alaska General Obligation Bonds, (MBIA-FGIC Insured), Series 2006
5.000% due 10/01/2018		1,480		1,610
				2,139
ARIZONA 1.3%
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2005
4.750% due 01/01/2035		500		486
Arizona State Salt Verde Financial Corp. Revenue Bonds, Series 2007
5.000% due 12/01/2037		6,000		4,432
Pima County, Arizona Industrial Development Authority Revenue Bonds, (HUD Insured), Series 1998
5.375% due 06/01/2010		455		464
				5,382
CALIFORNIA 16.3%
Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997
0.000% due 09/01/2035		4,000		668
California State Association of Bay Area Governments Finance Authority for Non-Profit Corp. Revenue Bonds, (CM Insured), Series 2003
5.200% due 11/15/2022		2,565		2,570
California State Department of Water Resources Revenue Notes, (MBIA-IBC Insured), Series 2002
5.500% due 05/01/2012		1,000		1,085
California State Educational Facilities Authority Revenue Bonds, Series 2008
0.250% due 10/01/2036		500		500
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2032		4,000		3,446
California State Health Facilities Financing Authority Revenue Bonds, Series 2008
5.125% due 07/01/2022		7,800		7,654
5.625% due 07/01/2032		3,200		3,024
California State Health Facilities Financing Authority Revenue Bonds, Series 2009
5.750% due 09/01/2039		1,000		924
6.000% due 07/01/2039		1,000		969
California State San Ramon Valley Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 1998
0.000% due 07/01/2018		2,385		1,561
Culver, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2023		630		547
Foothill, California Eastern Transportation Corridor Agency Revenue Bonds, (MBIA-IBC Insured), Series 1999
0.000% due 01/15/2026 (c)		1,565		1,282
Foothill, California Eastern Transportation Corridor Agency Revenue Bonds, Series 1995
0.000% due 01/01/2026		1,000		455
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2003
6.250% due 06/01/2033		18,690		20,748
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2033		5,000		3,353
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2031		3,010		614
Indian Wells, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2006
4.750% due 09/01/2034		4,850		3,830
Los Angeles County, California Metropolitan Transportation Authority Revenue Bonds, Series 2009
0.200% due 07/01/2023		3,800		3,800
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2015		2,890		2,311
0.000% due 08/01/2016		1,400		1,054
Poway, California Unified School District Special Tax Bonds, Series 2005
4.700% due 09/01/2016		940		903
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		406
Southern California State Public Power Authority Revenue Bonds, Series 2007
5.250% due 11/01/2020		4,000		3,640
				66,176
COLORADO 1.7%
Colorado State Health Facilities Authority Revenue Bonds, Series 2006
5.250% due 06/01/2036		1,000		847
Colorado State Housing & Finance Authority Revenue Bonds, (FHA/VA Insured), Series 2000
5.700% due 10/01/2022		25		25
Colorado State Housing & Finance Authority Revenue Bonds, Series 2000
6.700% due 10/01/2016		10		10
6.750% due 04/01/2015		40		41
Colorado State Public Authority for Energy Revenue Bonds, Series 2008
6.500% due 11/15/2038		6,500		6,174
				7,097
DISTRICT OF COLUMBIA 1.3%
District of Columbia Revenue Bonds, (MBIA-FGIC Insured), Series 2006
5.000% due 02/01/2035		7,085		5,322
FLORIDA 7.0%
Florida State Board of Education General Obligation Bonds, (ST-GTD Insured), Series 2005
4.750% due 06/01/2035		1,270		1,211
Florida State JEA Water & Sewer System Revenue Bonds, (MBIA Insured), Series 2006
1.010% due 10/01/2020		5,000		3,984
Florida State JEA Water & Sewer System Revenue Bonds, Series 2008
0.300% due 10/01/2036		600		600
Florida State Keys Aqueduct Authority Revenue Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 09/01/2037		7,415		6,801
Miami-Dade County, Florida Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 10/01/2035		10,200		9,373
Miami-Dade County, Florida Revenue Bonds, Series 2009
5.500% due 10/01/2036		1,000		955
Orange County, Florida Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1996
6.250% due 10/01/2011		290		309
Sarasota County, Florida Public Hospital Board Revenue Bonds, (MBIA Insured), Series 1997
6.870% due 10/01/2021		5,000		4,261
Tampa, Florida Guaranteed Entitlement Revenue Bonds, (AMBAC Insured), Series 2001
6.000% due 10/01/2018		800		924
				28,418
GEORGIA 1.1%
Atlanta, Georgia Downtown Development Authority Revenue Notes, (AGC Insured), Series 2009
4.000% due 07/01/2011		1,000		1,031
Georgia State Main Street Natural Gas, Inc. Revenue Bonds, Series 2008
6.250% due 07/15/2028 (a)		1,000		435
Georgia State Main Street Natural Gas, Inc. Revenue Notes, Series 2007
5.000% due 03/15/2010		2,800		2,787
Georgia State Municipal Electric Authority Revenue Bonds, (MBIA-IBC Insured), Series 1997
6.500% due 01/01/2012		125		133
				4,386
ILLINOIS 7.0%
Chicago, Illinois Board of Education General Obligation Bonds, (MBIA-FGIC Insured), Series 1998
0.000% due 12/01/2020		1,000		550
Chicago, Illinois Board of Education General Obligation Bonds, (MBIA-FGIC Insured), Series 1999
0.000% due 12/01/2031		1,000		236
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001
0.000% due 01/01/2020 (c)		1,290		1,307
Chicago, Illinois O’Hare International Airport Revenue Bonds, (MBIA-FGIC Insured), Series 2005
5.250% due 01/01/2023		5,000		5,080
Chicago, Illinois Waste & Water Revenue Bonds, (MBIA Insured), Series 1998
0.000% due 01/01/2021		2,000		1,146
Cook County, Illinois Community School District No. 97-Oak Park General Obligation Bonds, (MBIA-FGIC Insured), Series 1999
9.000% due 12/01/2012		1,000		1,214
Cook County, Illinois School District No. 122-Oak Lawn General Obligation Bonds, (MBIA-FGIC Insured), Series 2000
0.000% due 12/01/2016		2,570		1,958
Cook County, Illinois Township High School District No. 225-Northfield General Obligation Bonds, Series 2002
0.000% due 12/01/2012		135		123
0.000% due 12/01/2014		255		211
0.000% due 12/01/2015		1,885		1,482
Cook County, Illinois Township High School District No. 225-Northfield General Obligation Notes, Series 2002
0.000% due 12/01/2011		125		118
Cook, Kane, Lake & McHenry Counties, Illinois Community College District No. 512 General Obligation Bonds, Series 2009
5.000% due 12/01/2019		150		166
Illinois State Finance Authority Revenue Bonds, (AMBAC Insured), Series 2004
5.000% due 11/15/2023		3,935		3,315
Illinois State Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1992
6.250% due 09/01/2021		695		829
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		734
Kendall, Kane & Will Counties, Illinois High School Districts General Obligation Notes, (FSA Insured), Series 2003
0.000% due 10/01/2012		3,000		2,700
Lake County, Illinois Community High School District No. 127-Grayslake General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 02/01/2017		5,420		4,022
Northern Illinois State Municipal Power Agency Revenue Bonds, (MBIA Insured), Series 2007
5.000% due 01/01/2018		1,000		1,050
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		2,069
				28,310
INDIANA 4.2%
Danville, Indiana Multi-School Building Corp. Revenue Bonds, (FSA Insured), Series 2001
4.400% due 01/15/2012		170		176
4.500% due 01/15/2013		190		196
4.650% due 01/15/2014		210		216
4.750% due 01/15/2015		235		241
4.850% due 01/15/2016		295		301
Danville, Indiana Multi-School Building Corp. Revenue Notes, (FSA Insured), Series 2001
4.250% due 07/15/2011		290		301
4.750% due 07/15/2009		105		105
5.000% due 07/15/2010		180		184
Indiana State Development Finance Authority Revenue Bonds, Series 2005
5.000% due 06/01/2022		1,590		1,650
Indiana State Health & Educational Facilities Financing Authority Revenue Bonds, Series 2006
5.250% due 02/15/2040		5,000		4,184
Indiana State IPS Multi-School Building Corp. Revenue Bonds, (MBIA Insured), Series 2007
3.000% due 01/15/2026		6,800		5,322
Indiana State Tri-Creek School Building Corp. Revenue Bonds, (FSA Insured), Series 2007
4.250% due 07/15/2020		1,000		996
Indianapolis, Indiana Local Public Improvement Revenue Bonds, Series 1992
6.750% due 02/01/2014		1,000		1,111
Mishawaka, Indiana School Building Corp. Revenue Bonds, (FSA Insured), Series 2006
4.250% due 01/15/2026		1,325		1,235
South Bend, Indiana Redevelopment Authority Revenue Bonds, Series 2000
5.100% due 02/01/2011		405		423
5.200% due 02/01/2012		230		240
5.500% due 02/01/2015		180		188
				17,069
KANSAS 0.2%
Kansas State Development Finance Authority Revenue Bonds, Series 2009
5.750% due 11/15/2038 (b)		500		496
Lenexa, Kansas Revenue Notes, Series 2007
5.125% due 05/15/2015		575		511
				1,007
KENTUCKY 0.1%
Kentucky State Development Finance Authority Hospital Revenue Bonds, Series 1989
6.000% due 10/01/2019		605		605
LOUISIANA 1.7%
Louisiana State General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
5.000% due 04/01/2019		270		277
Louisiana State Local Government Environmental Facilities & Community Development Authority Revenue Bonds, (MBIA Insured), Series 2000
5.700% due 01/01/2010		50		50
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		8,430		6,634
				6,961
MARYLAND 0.8%
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2007
5.000% due 07/01/2027		4,000		3,144
MASSACHUSETTS 2.3%
Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 2005
5.000% due 03/01/2035		1,000		767
Massachusetts State General Obligation Bonds, (FSA Insured), Series 2006
0.153% due 11/01/2019		5,090		4,311
0.153% due 11/01/2020		2,595		2,158
Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2001
6.000% due 07/01/2014		500		535
Massachusetts State Revenue Bonds, (MBIA-FGIC Insured), Series 2004
0.000% due 01/01/2016		750		696
0.000% due 01/01/2017		1,000		910
				9,377
MICHIGAN 0.9%
Michigan State Building Authority Revenue Bonds, (FSA-CR/FGIC Insured), Series 2006
0.000% due 10/15/2023		3,400		1,429
Michigan State Hospital Finance Authority Revenue Bonds, Series 1999
6.125% due 11/15/2026		50		52
Michigan State Public Power Agency Revenue Bonds, (AMBAC Insured), Series 2001
5.250% due 01/01/2015		1,000		1,043
Michigan State Tobacco Settlement Finance Authority Revenue Bonds, Series 2007
5.125% due 06/01/2022		1,350		1,107
				3,631
MISSOURI 1.5%
Lees Summit, Missouri Strother Interchange Transportation Development District Revenue Bonds, Series 2006
5.000% due 05/01/2024		500		353
Missouri State Development Finance Board Revenue Bonds, Series 2007
5.000% due 11/01/2022		2,000		1,586
Missouri State Development Finance Board Revenue Notes, Series 2007
5.000% due 11/01/2014		1,035		967
5.000% due 11/01/2015		540		494
Missouri State Environmental Improvement & Energy Resources Revenue Bonds, Series 2000
5.750% due 07/01/2014		350		363
Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 2003
0.300% due 02/15/2033		1,300		1,300
Missouri State Housing Development Commission Revenue Bonds, (FHA Insured), Series 2001
5.250% due 12/01/2016		275		280
St. Louis County, Missouri Industrial Development Authority Revenue Bonds, Series 2005
5.000% due 11/01/2024		1,250		894
				6,237
NEW JERSEY 3.3%
Camden County, New Jersey Improvement Authority Revenue Notes, Series 2005
5.250% due 02/15/2010		570		570
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
5.600% due 01/01/2012		630		606
6.000% due 11/01/2028		3,500		2,275
6.500% due 04/01/2018		665		613
6.500% due 04/01/2031		2,115		1,708
New Jersey State Economic Development Authority Revenue Bonds, Series 1999
6.625% due 09/15/2012		3,500		3,276
New Jersey State General Obligation Bonds, Series 1992
6.000% due 02/15/2011		510		550
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2041		7,350		3,983
				13,581
NEW MEXICO 1.3%
New Mexico State Mortgage Finance Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2008
5.000% due 07/01/2025		5,000		5,172
NEW YORK 9.5%
Arlington, New York Central School District General Obligation Notes, Series 2009
3.000% due 05/15/2011		780		804
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
0.856% due 09/01/2015		3,000		2,478
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2001
5.250% due 11/01/2015		2,000		2,160
New York City, New York General Obligation Bonds, Series 2007
5.000% due 10/01/2019		4,300		4,531
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
0.053% due 03/01/2020		3,900		2,832
0.103% due 03/01/2022		4,000		2,720
5.000% due 03/01/2031		6,700		5,827
New York City, New York Industrial Development Agency Revenue Bonds, (MBIA Insured), Series 2006
0.113% due 03/01/2023		4,000		2,625
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.250% due 02/01/2029		3,000		3,124
New York State Dormitory Authority Revenue Bonds, (ACA Insured), Series 2000
5.850% due 07/01/2010		430		428
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.250% due 08/15/2015		1,990		2,086
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		3,800		4,107
New York State Dormitory Authority Revenue Bonds, Series 2003
0.250% due 02/15/2031		1,000		1,000
New York State Port Authority of New York & New Jersey Revenue Bonds, Series 2006
5.000% due 07/15/2021		150		159
New York State Urban Development Corp. Revenue Bonds, Series 2002
5.500% due 01/01/2017		2,790		2,910
Syracuse, New York Industrial Development Agency Revenue Bonds, Series 2008
0.240% due 07/01/2037		1,000		1,000
				38,791
NORTH CAROLINA 0.6%
Catawba, North Carolina Municipal Power Agency No. 1 Revenue Bonds, Series 2008
5.250% due 01/01/2020		1,800		1,849
Durham, North Carolina General Obligation Bonds, Series 2002
5.000% due 04/01/2021		550		572
				2,421
OHIO 3.2%
Ohio State American Municipal Power, Inc. Revenue Notes, Series 2007
5.000% due 02/01/2013		4,500		4,475
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.750% due 06/01/2034		450		290
5.875% due 06/01/2047		6,600		3,734
Ohio State Building Authority Revenue Bonds, Series 2009
5.000% due 10/01/2020		140		153
Ohio State General Obligation Bonds, Series 2009
5.000% due 08/01/2020		3,145		3,471
Ohio State Turnpike Commission Revenue Notes, Series 2009
5.000% due 02/15/2013		700		766
				12,889
PENNSYLVANIA 1.8%
Allegheny County, Pennsylvania Hospital Development Authority Revenue Notes, Series 2005
4.500% due 04/01/2015		790		707
Pennsylvania State General Obligation Bonds, Series 2009
5.000% due 04/15/2020		5,000		5,598
Philadelphia, Pennsylvania Hospitals & Higher Education Facilities Authority Revenue Bonds, Series 2007
5.000% due 07/01/2022		1,000		821
				7,126
PUERTO RICO 1.7%
Commonwealth of Puerto Rico General Obligation Bonds, (AGC Insured), Series 2006
4.655% due 07/01/2019		3,000		2,131
Puerto Rico Children’s Trust Fund Revenue Bonds, Series 2000
6.000% due 07/01/2026		150		158
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2047		50,000		4,098
0.000% due 08/01/2054		9,200		476
				6,863
RHODE ISLAND 1.1%
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.250% due 06/01/2042		6,025		4,431
SOUTH CAROLINA 0.9%
Greenville County, South Carolina School District Revenue Bonds, (FSA Insured), Series 2006
5.000% due 12/01/2020		2,395		2,587
South Carolina State Jobs-Economic Development Authority Revenue Bonds, (AGC Insured), Series 2009
5.500% due 02/01/2038		1,000		980
				3,567
TENNESSEE 2.9%
Tennessee State Energy Acquisition Corp. Revenue Bonds, Series 2006
5.000% due 02/01/2023		7,800		6,490
5.000% due 02/01/2024		1,400		1,151
5.000% due 02/01/2027		5,000		3,964
				11,605
TEXAS 13.7%
Alliance, Texas Airport Authority Revenue Bonds, Series 2006
4.850% due 04/01/2021		1,000		829
Bastrop, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
5.650% due 02/15/2035		90		93
Bexar County, Texas Multi-Family Housing Finance Corp. Revenue Bonds, Series 2001
4.875% due 06/15/2011		285		289
Birdville, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2007
0.000% due 02/15/2024		2,260		1,121
Fort Bend County, Texas General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 03/01/2031		400		391
Godley, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2008
5.250% due 02/15/2028		3,000		3,181
Harris County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2008
0.200% due 09/01/2031		900		900
Harris County, Texas Cultural Education Facilities Finance Corp. Revenue Notes, Series 2009
5.000% due 06/01/2012		4,000		4,231
Houston, Texas Airport Systems Revenue Bonds, Series 2001
6.750% due 07/01/2029		1,000		843
Houston, Texas Higher Education Finance Corp. Revenue Bonds, Series 2007
4.750% due 05/15/2037		165		162
Houston, Texas Revenue Bonds, (MBIA-FGIC Insured), Series 1998
5.000% due 07/01/2025		5,000		4,458
Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 2001
5.500% due 12/01/2017		1,000		1,071
Midlothian, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
0.000% due 02/15/2018		20		12
North Central Texas State Health Facility Development Corp. Revenue Bonds, (AMBAC Insured), Series 2002
5.500% due 08/15/2017		1,000		1,040
North Texas State Health Facilities Development Corp. Revenue Bonds, (FSA Insured), Series 2007
5.000% due 09/01/2020		895		879
Springtown, Texas Independent School District, General Obligation Bonds, (PSF-GTD Insured), Series 2008
5.000% due 02/15/2033		10,160		10,337
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2007
5.000% due 02/15/2026		3,425		3,349
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2008
0.200% due 11/15/2033		700		700
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2009
6.250% due 11/15/2029		1,500		1,612
Texas State General Obligation Bonds, Series 2007
5.000% due 04/01/2037		1,400		1,398
Texas State Leander Independent School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2005
0.000% due 08/15/2023		1,195		553
Texas State Lower Colorado River Authority Revenue Bonds, (MBIA Insured), Series 2006
4.750% due 05/15/2029		8,000		7,284
Texas State Municipal Gas Acquisition & Supply Corp. I Revenue Bonds, Series 2006
5.250% due 12/15/2021		2,150		1,865
Texas State Municipal Gas Acquisition & Supply Corp. I Revenue Notes, Series 2006
5.000% due 12/15/2011		850		839
Texas State Sabine River Authority Revenue Bonds, Series 2001
5.500% due 05/01/2022		1,000		779
Texas State Transportation Commission Revenue Bonds, Series 2006
4.750% due 04/01/2024		5,020		5,201
Travis County, Texas Health Facilities Development Corp. Revenue Bonds, Series 1993
6.000% due 11/15/2022 (f)		1,400		1,565
Waxahachie, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
0.000% due 08/15/2022		1,000		557
Williamson County, Texas General Obligation Bonds, (MBIA Insured), Series 2005
5.250% due 02/15/2018		150		166
				55,705
VIRGIN ISLANDS 0.3%
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		1,500		1,425
VIRGINIA 2.0%
Virginia State Housing Development Authority Revenue Bonds, (MBIA Insured), Series 2001
5.350% due 07/01/2031		1,000		1,001
Virginia State Public Building Authority Revenue Bonds, Series 2009
5.000% due 08/01/2019		4,030		4,583
Virginia State Public Building Authority Revenue Notes, Series 2009
5.000% due 08/01/2011		2,290		2,471
				8,055
WASHINGTON 3.5%
Snohomish County, Washington School District No. 2 Everett General Obligation Bonds, (MBIA-FGIC Insured), Series 2006
5.000% due 12/01/2017		1,845		2,044
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2019		2,520		1,578
Washington State General Obligation Notes, (AMBAC Insured), Series 2004
0.000% due 12/01/2011		5,435		5,164
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.625% due 06/01/2032		5,000		4,103
Yakima County, Washington School District No. 208 General Obligation Bonds, (FSA Insured), Series 2007
5.000% due 12/01/2023		1,220		1,281
				14,170
WISCONSIN 2.4%
South Milwaukee, Wisconsin School District General Obligation Notes, (MBIA-FGIC Insured), Series 2002
3.750% due 04/01/2011		385		402
Wisconsin State Clean Water Revenue Bonds, Series 2002
5.000% due 06/01/2018		100		105
5.000% due 06/01/2019		100		104
5.000% due 06/01/2020		100		104
5.100% due 06/01/2021		100		104
5.100% due 06/01/2022		100		103
5.100% due 06/01/2023		100		103
Wisconsin State General Obligation Notes, Series 2008
4.750% due 05/01/2018		5,000		5,204
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Series 2009
6.625% due 02/15/2032		580		590
Wisconsin State Housing & Economic Development Authority Revenue Bonds, (MBIA Insured), Series 2002
4.700% due 11/01/2012		325		329
5.350% due 11/01/2022		1,250		1,271
Wisconsin State Housing & Economic Development Authority Revenue Notes, (MBIA Insured), Series 2002
4.700% due 05/01/2012		1,180		1,189
				9,608
Total Municipal Bonds & Notes (Cost $431,538)				394,970
MORTGAGE-BACKED SECURITIES 1.0%
Countrywide Alternative Loan Trust
2.840% due 11/25/2035		2,411		1,064
3.380% due 11/25/2035		2,613		1,142
Residential Accredit Loans, Inc.
0.464% due 02/25/2047		4,786		1,838
Total Mortgage-Backed Securities (Cost $6,076)				4,044
SHORT-TERM INSTRUMENTS 1.1%
REPURCHASE AGREEMENTS 0.4%
State Street Bank and Trust Co.
0.010% due 07/01/2009		1,547		1,547
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $1,580. Repurchase proceeds are $1,547.)
U.S. TREASURY BILLS 0.7%
0.127% due 07/02/2009 (d)		3,010		3,010
Total Short-Term Instruments (Cost $4,557)				4,557
Total Investments 100.6% (Cost $447,912)			$	408,851
Other Assets and Liabilities (Net) (0.6%)				(2,243	)
Net Assets 100.0%			$	406,608

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

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

(a) Security is in default.

(b) When-Issued security.

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

(d) Securities with an aggregate market value of $3,010 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection ⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2008	GSC	0.530	%	06/20/2018	1.690	%	$	5,000	$	(330	)	$	0	$	(330	)
Bay Area, California Toll Authority Revenue Bonds, Series 2006	GSC	0.700	%	06/20/2018	2.340	%		5,000		(416	)		0		(416	)
Los Angeles, California Department of Water & Power Revenue Bonds, Series 2001	GSC	0.640	%	06/20/2018	1.990	%		5,000		(364	)		0		(364	)
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2005	GSC	0.650	%	06/20/2018	2.730	%		5,000		(494	)		0		(494	)
San Antonio, Texas Revenue Bonds, Series 2005	GSC	0.700	%	06/20/2018	1.830	%		5,000		(315	)		0		(315	)
Utah State Intermountain Power Agency Revenue Bonds, Series 2008	GSC	0.880	%	06/20/2018	2.240	%		5,000		(351	)		0		(351	)
Washington State Energy Northwest Revenue Notes, Series 2008	GSC	0.700	%	06/20/2018	2.450	%		5,000		(433	)		0		(433	)
									$	(2,703	)	$	0	$	(2,703	)

Credit Default Swaps on Credit Indices - Sell Protection ⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)			Unrealized (Depreciation)
MCDX 5-Year Index	GSC	0.350	%	06/20/2013	$	4,600	$	(261	)	$	(115	)	$	(146	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(f) Restricted securities as of June 30, 2009:

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	$	1,492	$	1,565	0.38	%

(g) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)			Fair Value at 06/30/2009
California	$	0	$	66,176		$	0		$	66,176
Florida		0		28,418			0			28,418
Illinois		0		28,310			0			28,310
New York		0		38,791			0			38,791
Texas		0		55,705			0			55,705
Other Investments++		0		191,451			0			191,451
Investments, at value	$	0	$	408,851		$	0		$	408,851
Financial Derivative Instruments+++	$	0	$	(146	)	$	(2,703	)	$	(2,849	)
Total	$	0	$	408,705		$	(2,703	)	$	406,002

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
Investments, at value	$	0		$	0	$	0	$	0	$	0	$	0	$	0
Financial Derivative Instruments+++	$	(12,606	)	$	0	$	0	$	0	$	9,757	$	146	$	(2,703	)
Total	$	(12,606	)	$	0	$	0	$	0	$	9,757	$	146	$	(2,703	)

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

New York Municipal Bond Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 1.6%
American Express Bank FSB
0.399% due 07/13/2010	$	250	$	243
American International Group, Inc.
4.250% due 05/15/2013		150		87
4.700% due 10/01/2010		300		244
5.600% due 10/18/2016		100		54
General Electric Capital Corp.
1.262% due 07/27/2012		200		182
Morgan Stanley
3.006% due 05/14/2010		1,100		1,097
SLM Corp.
1.322% due 10/25/2011		50		40
4.500% due 07/26/2010		300		284
Total Corporate Bonds & Notes (Cost $2,246)				2,231
MUNICIPAL BONDS & NOTES 98.0%
ALABAMA 0.4%
Montgomery, Alabama Medical Clinic Board Revenue Bonds, Series 2006
4.750% due 03/01/2036		750		524
CALIFORNIA 1.7%
California Statewide Communities Development Authority Revenue Bonds, Series 2007
9.000% due 11/01/2017		300		250
Hayward, California Unified School District General Obligation Bonds, Series 2008
5.000% due 08/01/2033		1,000		970
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2029		1,490		362
Indian Wells, California Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2006
4.750% due 09/01/2034		1,000		790
				2,372
ILLINOIS 0.4%
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		548
INDIANA 0.3%
Mishawaka, Indiana School Building Corp. Revenue Bonds, (FSA Insured), Series 2006
4.250% due 01/15/2026		500		466
NEW JERSEY 0.4%
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2041		1,000		542
NEW YORK 90.4%
Buffalo, New York Fiscal Stability Authority Revenue Notes, (MBIA Insured), Series 2005
5.000% due 09/01/2014		1,040		1,164
East Rochester, New York Housing Authority Revenue Bonds, Series 2006
5.500% due 08/01/2033		100		68
Erie County, New York General Obligation Bonds, (MBIA-FGIC Insured), Series 2003
5.250% due 03/15/2017		1,000		1,013
Erie County, New York Industrial Development Agency Revenue Bonds, (FSA Insured), Series 2004
5.750% due 05/01/2025		1,000		1,050
Liberty, New York Development Corp. Revenue Bonds, Series 2005
5.250% due 10/01/2035		3,025		2,746
Liberty, New York Development Corp. Revenue Bonds, Series 2007
5.500% due 10/01/2037		1,495		1,407
Long Island, New York Power Authority Revenue Bonds, (MBIA Insured), Series 2006
5.000% due 09/01/2023		1,000		1,000
Long Island, New York Power Authority Revenue Bonds, Series 2008
6.000% due 05/01/2033		2,000		2,122
Long Island, New York Power Authority Revenue Bonds, Series 2009
5.750% due 04/01/2039		1,500		1,553
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
0.856% due 09/01/2015		500		413
Nassau County, New York Interim Finance Authority Revenue Bonds, Series 2009
5.000% due 11/15/2020		2,000		2,177
New York City, New York General Obligation Bonds, (FSA Insured), Series 2005
1.957% due 08/01/2016		2,500		2,279
New York City, New York General Obligation Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2018		500		527
New York City, New York General Obligation Bonds, Series 1993
0.200% due 08/01/2020		750		750
New York City, New York General Obligation Bonds, Series 2005
5.000% due 08/01/2022		1,770		1,806
New York City, New York General Obligation Bonds, Series 2006
5.000% due 08/01/2022		1,000		1,023
New York City, New York General Obligation Bonds, Series 2007
5.000% due 08/01/2019		1,000		1,053
5.000% due 10/01/2019		2,300		2,424
New York City, New York General Obligation Notes, (MBIA-IBC Insured), Series 2002
5.750% due 08/01/2011		250		269
New York City, New York General Obligation Notes, Series 2005
5.000% due 04/01/2011		250		263
New York City, New York Industrial Development Agency Revenue Bonds, (AGC Insured), Series 2009
7.000% due 03/01/2049		500		542
New York City, New York Industrial Development Agency Revenue Bonds, (AMBAC Insured), Series 2006
5.000% due 02/01/2036		500		443
5.000% due 01/01/2046		1,500		1,208
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
0.103% due 03/01/2022		1,400		952
5.000% due 03/01/2031		1,000		870
New York City, New York Industrial Development Agency Revenue Bonds, (MBIA Insured), Series 2006
0.113% due 03/01/2023		2,350		1,542
New York City, New York Industrial Development Agency Revenue Bonds, Series 2001
5.500% due 07/01/2028		250		171
New York City, New York Industrial Development Agency Revenue Bonds, Series 2002
6.450% due 07/01/2032		240		200
New York City, New York Industrial Development Agency Revenue Bonds, Series 2003
5.125% due 05/01/2015		1,500		1,501
New York City, New York Industrial Development Agency Revenue Bonds, Series 2005
5.000% due 09/01/2035		835		586
5.500% due 01/01/2016		1,000		995
New York City, New York Industrial Development Agency Revenue Notes, (FGIC Insured), Series 2006
0.000% due 03/01/2016		2,425		2,042
New York City, New York Local Government Assistance Corp. Revenue Bonds, Series 2008
5.000% due 04/01/2019		2,500		2,754
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
4.750% due 06/15/2035		1,000		944
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2008
5.875% due 06/15/2035		1,000		1,071
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2009
5.000% due 06/15/2039		500		489
5.000% due 06/15/2040		2,660		2,603
5.250% due 06/15/2040		1,000		1,012
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
0.270% due 11/01/2022		100		100
5.000% due 08/01/2024		525		537
5.250% due 02/01/2029		1,500		1,562
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2009
5.000% due 01/15/2020		5,000		5,149
New York City, New York Transitional Finance Authority Revenue Notes, Series 2002
5.250% due 11/01/2011		600		653
New York City, New York Trust for Cultural Resources Revenue Bonds, Series 2008
0.270% due 04/01/2027		1,000		1,000
5.000% due 04/01/2028		2,540		2,625
New York City, New York Trust for Cultural Resources Revenue Bonds, Series 2009
5.000% due 01/01/2034		2,000		2,012
New York State Dormitory Authority Revenue Bonds, (BHAC-CR Insured), Series 2001
5.000% due 01/15/2026		1,000		1,028
New York State Dormitory Authority Revenue Bonds, (BHAC-CR/MBIA Insured), Series 2007
5.000% due 02/15/2027		1,000		1,060
New York State Dormitory Authority Revenue Bonds, (FHA Insured), Series 2004
6.250% due 08/15/2015		200		210
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1999
4.750% due 08/15/2022		500		496
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2002
5.000% due 10/01/2030		750		756
New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2007
5.250% due 07/01/2021		1,000		1,047
New York State Dormitory Authority Revenue Bonds, Series 1990
0.200% due 07/01/2025		500		500
New York State Dormitory Authority Revenue Bonds, Series 2000
6.000% due 07/01/2010		150		153
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		400		432
New York State Dormitory Authority Revenue Bonds, Series 2005
5.000% due 03/15/2035		750		740
New York State Dormitory Authority Revenue Bonds, Series 2006
5.000% due 12/15/2017		1,000		1,097
5.000% due 07/01/2026		500		438
New York State Dormitory Authority Revenue Bonds, Series 2007
5.000% due 07/01/2021		1,000		1,023
5.000% due 02/15/2037		2,500		2,301
New York State Dormitory Authority Revenue Bonds, Series 2008
0.200% due 07/01/2037		800		800
5.000% due 07/01/2029		2,500		2,540
5.000% due 07/01/2038		1,000		981
6.125% due 12/01/2029		500		394
6.250% due 12/01/2037		350		268
New York State Dormitory Authority Revenue Bonds, Series 2009
5.000% due 03/15/2038		1,000		981
New York State Dormitory Authority Revenue Notes, (FSA Insured), Series 2001
5.000% due 07/01/2011		455		490
New York State Dormitory Authority Revenue Notes, (MBIA Insured), Series 2002
5.000% due 10/01/2012		500		550
New York State Dormitory Authority Revenue Notes, (MBIA Insured), Series 2003
5.000% due 07/01/2011		250		267
New York State Dormitory Authority Revenue Notes, (MBIA-FGIC/FHA Insured), Series 2005
5.000% due 02/01/2013		965		1,039
New York State Dormitory Authority Revenue Notes, Series 2001
5.250% due 07/01/2010		860		861
New York State Dormitory Authority Revenue Notes, Series 2007
4.000% due 08/15/2014		1,765		1,808
New York State Dormitory Authority Revenue Notes, Series 2008
5.000% due 12/15/2016		2,000		2,230
New York State Environmental Facilities Corp. Revenue Bonds, Series 2002
4.550% due 05/01/2012		1,000		1,000
5.000% due 06/15/2014		400		438
New York State Environmental Facilities Corp. Revenue Bonds, Series 2004
5.000% due 06/15/2023		2,000		2,091
New York State Environmental Facilities Corp. Revenue Bonds, Series 2006
5.000% due 06/15/2024		3,200		3,329
New York State Environmental Facilities Corp. Revenue Bonds, Series 2007
4.750% due 06/15/2032		1,250		1,206
New York State Environmental Facilities Corp. Revenue Bonds, Series 2009
5.000% due 06/15/2034		3,200		3,191
New York State Environmental Facilities Corp. Revenue Notes, Series 2002
5.000% due 06/15/2012		500		553
New York State Housing Finance Agency Revenue Bonds, (MBIA-FGIC Insured), Series 2005
5.000% due 09/15/2030		1,000		1,010
New York State Local Government Assistance Corp. Revenue Bonds, Series 1993
6.000% due 04/01/2014		320		354
New York State Metropolitan Transportation Authority Revenue Bonds, (MBIA-FGIC Insured), Series 2003
5.000% due 11/15/2032		200		191
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2006
5.000% due 11/15/2035		1,000		943
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2009
5.000% due 11/15/2034		2,500		2,458
New York State Mortgage Agency Homeowner Mortgage Revenue Bonds, Series 2006
4.700% due 10/01/2031		500		426
New York State Port Authority of New York & New Jersey Revenue Bonds, (FSA Insured), Series 2006
4.750% due 12/01/2026		3,000		2,769
New York State Port Authority of New York & New Jersey Revenue Bonds, Series 1995
0.220% due 06/01/2020		200		200
New York State Power Authority Revenue Bonds, (FGIC Insured), Series 2006
5.000% due 11/15/2020		500		529
New York State Sales Tax Asset Receivables Corp. Revenue Bonds, (MBIA Insured), Series 2004
5.250% due 10/15/2018		1,000		1,099
New York State Thruway Authority Revenue Bonds, (FSA Insured), Series 2005
4.750% due 01/01/2029		2,000		1,933
4.750% due 01/01/2030		1,000		943
New York State Thruway Authority Revenue Notes, (FSA Insured), Series 2005
5.000% due 04/01/2014		500		551
New York State Thruway Authority Revenue Notes, (MBIA Insured), Series 2002
5.250% due 04/01/2011		500		533
New York State Tobacco Settlement Financing Authority Revenue Bonds, (AMBAC Insured), Series 2003
5.250% due 06/01/2022		1,000		1,018
New York State Triborough Bridge & Tunnel Authority Revenue Bonds, Series 2008
5.000% due 11/15/2037		2,000		1,982
New York State TSASC, Inc. Revenue Bonds, Series 2006
5.000% due 06/01/2034		2,000		1,372
New York State Urban Development Corp. Revenue Bonds, (FSA Insured), Series 2007
5.000% due 01/01/2019		2,000		2,153
New York State Urban Development Corp. Revenue Bonds, Series 2002
5.500% due 01/01/2017		500		522
New York State Urban Development Corp. Revenue Bonds, Series 2009
5.250% due 03/15/2038		550		557
Niagara County, New York Industrial Development Agency Revenue Bonds, (GNMA/FHA Insured), Series 2006
5.000% due 07/20/2038		500		441
Oneida County, New York Industrial Development Agency, Revenue Bonds, Series 2008
5.000% due 09/15/2028		2,640		2,708
Orange County, New York General Obligation Notes, Series 2005
5.000% due 07/15/2013		500		561
Rensselaer, New York Municipal Leasing Corp. Revenue Notes, Series 2009
5.000% due 06/01/2019		1,000		1,003
Saratoga County, New York Industrial Development Agency Revenue Notes, Series 2007
5.000% due 12/01/2017		400		384
St. Lawrence County, New York Industrial Development Agency Revenue Notes, Series 2009
4.000% due 10/01/2014 (a)		1,500		1,538
Syracuse, New York Industrial Development Agency Revenue Bonds, Series 2008
0.240% due 12/01/2037		200		200
Troy, New York Industrial Development Agency Revenue Bonds, Series 2002
5.500% due 09/01/2015		500		531
				123,877
PUERTO RICO 3.7%
Commonwealth of Puerto Rico General Obligation Bonds, (AGC Insured), Series 2006
4.655% due 07/01/2019		3,650		2,593
4.675% due 07/01/2020		1,000		679
Commonwealth of Puerto Rico General Obligation Bonds, Series 2006
5.000% due 07/01/2035		250		259
Puerto Rico Aqueduct & Sewer Authority Revenue Bonds, Series 2008
6.000% due 07/01/2038		1,200		1,087
Puerto Rico Highway & Transportation Authority Revenue Bonds, (FGIC Insured), Series 2003
5.500% due 07/01/2013		200		199
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		5,000		259
				5,076
TEXAS 0.5%
Coppell, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001
0.000% due 08/15/2016		805		640
VIRGIN ISLANDS 0.2%
Virgin Islands Public Finance Authority Revenue Bonds, Series 2003
6.125% due 07/01/2022		250		237
Total Municipal Bonds & Notes (Cost $136,680)				134,282
SHORT-TERM INSTRUMENTS 0.2%
REPURCHASE AGREEMENTS 0.0%
State Street Bank and Trust Co.
0.010% due 07/01/2009		7		7
(Dated 06/30/2009. Collateralized by Fannie Mae 1.722% due 05/10/2011 valued at $10. Repurchase proceeds are $7.)
U.S. TREASURY BILLS 0.2%
0.127% due 07/02/2009 (b)		310		310
Total Short-Term Instruments (Cost $317)				317
Total Investments 99.8% (Cost $139,243)			$	136,830
Other Assets and Liabilities (Net) 0.2%				232
Net Assets 100.0%			$	137,062

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) Securities with an aggregate market value of $310 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(c) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(2)		Market Value(3)			Upfront Premiums Paid/ (Received)			Unrealized (Depreciation)
MCDX 5-Year Index	GSC	0.350	%	06/20/2013	$	1,200	$	(68	)	$	(24	)	$	(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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities compromising the referenced index.

⁽²⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽³⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(d) Fair Value Measurements ⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
New York	$	0	$	123,877		$	0	$	123,877
Other Investments++		0		12,953			0		12,953
Investments, at value	$	0	$	136,830		$	0	$	136,830
Financial Derivative Instruments+++	$	0	$	(44	)	$	0	$	(44	)
Total	$	0	$	136,786		$	0	$	136,786

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
Investments, at value	$	0		$	0	$	0	$	0	$	0	$	0	$	0
Financial Derivative Instruments+++	$	(2,013	)	$	0	$	0	$	0	$	1,969	$	44	$	0
Total	$	(2,013	)	$	0	$	0	$	0	$	1,969	$	44	$	0

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Real Return Asset Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.4%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	12,281	$	11,437
Georgia-Pacific Corp.
2.319% due 12/20/2012		108		102
2.323% due 12/20/2012		381		361
2.650% due 12/20/2012		1,238		1,171
Total Bank Loan Obligations (Cost $13,560)				13,071
CORPORATE BONDS & NOTES 18.0%
BANKING & FINANCE 14.1%
American Express Bank FSB
5.500% due 04/16/2013		2,500		2,456
6.000% due 09/13/2017		3,300		3,015
American Express Centurion Bank
6.000% due 09/13/2017		4,400		4,020
American Express Co.
7.000% due 03/19/2018		3,250		3,161
American Honda Finance Corp.
1.359% due 06/20/2011		29,400		28,386
American International Group, Inc.
1.217% due 10/18/2011		2,000		1,291
4.700% due 10/01/2010		7,000		5,685
5.850% due 01/16/2018		4,300		2,278
8.175% due 05/15/2058		4,500		1,285
8.250% due 08/15/2018		4,300		2,534
ANZ National International Ltd.
6.200% due 07/19/2013		8,600		8,870
Bank of America Corp.
5.650% due 05/01/2018		3,100		2,744
Bank of America N.A.
1.162% due 06/23/2010		30,000		29,865
1.538% due 05/12/2010		6,800		6,739
Bank of New York Mellon Corp.
0.761% due 06/29/2012		6,200		6,255
Bank of Scotland PLC
0.689% due 12/08/2010		2,500		2,382
Barclays Bank PLC
0.539% due 12/11/2009		27,000		23,245
6.050% due 12/04/2017		7,800		6,775
7.434% due 09/29/2049		1,200		805
Bear Stearns Cos. LLC
1.093% due 08/15/2011		1,900		1,852
Block Financial LLC
7.875% due 01/15/2013		2,500		2,711
C10 Capital SPV Ltd.
6.722% due 12/31/2049		1,000		513
Caelus Re Ltd.
6.918% due 06/07/2011		1,000		910
Calabash Re Ltd.
11.524% due 01/08/2010		300		292
Caterpillar Financial Services Corp.
1.354% due 06/24/2011		25,600		25,298
Citigroup Capital XXI
8.300% due 12/21/2077		1,600		1,250
Citigroup Funding, Inc.
2.036% due 05/07/2010		4,500		4,408
Citigroup, Inc.
0.631% due 12/28/2009		20,500		20,305
6.125% due 05/15/2018		1,700		1,489
8.400% due 04/29/2049 (a)		8,400		6,311
Commonwealth Bank of Australia
1.108% due 06/25/2014		16,100		16,046
Credit Suisse USA, Inc.
1.083% due 08/15/2010		8,450		8,405
Dexia Credit Local
1.262% due 09/23/2011		5,600		5,557
Everest Reinsurance Holdings, Inc.
5.400% due 10/15/2014		1,000		875
Ford Motor Credit Co. LLC
7.875% due 06/15/2010		7,500		7,126
Foundation Re II Ltd.
7.576% due 11/26/2010		2,000		1,873
General Electric Capital Corp.
1.124% due 05/08/2013		6,500		5,676
1.616% due 05/22/2013		3,400		3,056
GMAC LLC
6.875% due 09/15/2011		1,600		1,377
6.875% due 08/28/2012		2,500		2,039
Goldman Sachs Group, Inc.
0.934% due 11/16/2009		3,060		3,057
6.150% due 04/01/2018		3,600		3,511
HBOS PLC
6.750% due 05/21/2018		4,000		3,024
ING Bank NV
2.625% due 02/09/2012		12,500		12,658
International Lease Finance Corp.
6.625% due 11/15/2013		2,100		1,618
John Deere Capital Corp.
1.400% due 06/10/2011		30,000		29,792
Kreditanstalt fuer Wiederaufbau
4.875% due 06/17/2019		1,800		1,869
LeasePlan Corp. NV
3.000% due 05/07/2012		4,500		4,521
Lehman Brothers Holdings, Inc.
2.950% due 05/25/2010 (a)		4,175		637
6.875% due 05/02/2018 (a)		3,600		594
7.500% due 05/11/2038 (a)		10,000		1
Longpoint Re Ltd.
5.874% due 05/08/2010		1,400		1,361
Marsh & McLennan Cos., Inc.
5.375% due 07/15/2014		5,000		4,875
Merna Reinsurance Ltd.
1.248% due 07/07/2010		900		838
Merrill Lynch & Co., Inc.
0.892% due 09/09/2009		38,725		38,714
Metropolitan Life Global Funding I
5.125% due 04/10/2013		2,100		2,138
Morgan Stanley
1.357% due 01/18/2011		10,000		9,692
1.557% due 10/18/2016		700		567
3.006% due 05/14/2010		4,600		4,588
5.750% due 10/18/2016		4,600		4,416
National Australia Bank Ltd.
5.350% due 06/12/2013		7,500		7,734
National Rural Utilities Cooperative Finance Corp.
1.219% due 07/09/2009		2,000		2,000
1.982% due 07/01/2010		37,000		37,020
Pacific Life Global Funding
5.150% due 04/15/2013		1,600		1,597
Pearson Dollar Finance PLC
5.700% due 06/01/2014		2,500		2,476
Pricoa Global Funding I
0.801% due 09/27/2013		15,000		11,582
1.446% due 06/04/2010		31,700		31,438
Residential Reinsurance 2007 Ltd.
7.918% due 06/07/2010		300		288
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		4,000		2,964
Simon Property Group LP
6.125% due 05/30/2018		14,100		13,137
TransCapitalInvest Ltd. for OJSC AK Transneft
7.700% due 08/07/2013		6,400		6,165
Vita Capital III Ltd.
2.328% due 01/01/2012		1,600		1,387
Vita Capital Ltd.
2.108% due 01/01/2010		400		390
Wachovia Bank N.A.
0.726% due 12/02/2010		5,200		5,131
1.806% due 05/14/2010		5,000		5,002
Wells Fargo Capital XIII
7.700% due 12/29/2049		2,700		2,243
				518,185
INDUSTRIALS 3.4%
C8 Capital SPV Ltd.
6.640% due 12/29/2049		900		462
CIGNA Corp.
6.350% due 03/15/2018		3,000		2,660
DISH DBS Corp.
6.375% due 10/01/2011		2,000		1,945
Gaz Capital S.A.
7.343% due 04/11/2013		800		776
8.146% due 04/11/2018		1,200		1,098
Home Depot, Inc.
5.250% due 12/16/2013		6,000		6,173
International Business Machines Corp.
1.652% due 07/28/2011		28,200		28,388
Macy’s Retail Holdings, Inc.
5.875% due 01/15/2013		2,000		1,754
5.900% due 12/01/2016		1,000		816
8.875% due 07/15/2015		2,050		1,987
Mohawk Industries, Inc.
6.625% due 01/15/2016		7,000		6,229
Monsanto Co.
5.875% due 04/15/2038		4,000		4,089
Oracle Corp.
0.966% due 05/14/2010		1,500		1,500
5.750% due 04/15/2018		4,100		4,332
Rexam PLC
6.750% due 06/01/2013		2,900		2,813
Rockies Express Pipeline LLC
4.500% due 08/20/2009		9,600		9,601
Ryder System, Inc.
7.200% due 09/01/2015		6,000		6,023
Southwest Airlines Co.
5.125% due 03/01/2017		2,000		1,722
Starwood Hotels & Resorts Worldwide, Inc.
6.250% due 02/15/2013		3,000		2,792
Target Corp.
6.000% due 01/15/2018		1,000		1,062
Time Warner, Inc.
1.150% due 11/13/2009		5,000		4,989
Tyco Electronics Group S.A.
5.950% due 01/15/2014		6,000		5,610
Tyco International Finance S.A.
6.000% due 11/15/2013		2,000		2,036
Tyco International Ltd.
7.000% due 12/15/2019		3,000		2,957
Union Pacific Corp.
5.650% due 05/01/2017		1,500		1,507
UnitedHealth Group, Inc.
4.875% due 02/15/2013		300		304
Viacom, Inc.
5.750% due 04/30/2011		7,500		7,683
6.250% due 04/30/2016		10,000		9,864
Yum! Brands, Inc.
6.250% due 03/15/2018		3,000		3,092
				124,264
UTILITIES 0.5%
Constellation Energy Group, Inc.
4.550% due 06/15/2015		1,200		1,042
Enel Finance International S.A.
5.700% due 01/15/2013		8,400		8,788
FPL Group Capital, Inc.
1.494% due 06/17/2011		4,000		4,043
Telecom Italia Capital S.A.
6.999% due 06/04/2018		2,200		2,229
				16,102
Total Corporate Bonds & Notes (Cost $700,801)				658,551
MUNICIPAL BONDS & NOTES 0.2%
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047		1,100		661
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		500		393
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
6.000% due 06/01/2042		1,300		773
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		4,700		4,477
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		1,735		1,166
Total Municipal Bonds & Notes (Cost $9,186)				7,470
U.S. GOVERNMENT AGENCIES 11.5%
Fannie Mae
2.638% due 09/01/2044 - 10/01/2044		569		561
3.512% due 05/01/2035		8,311		8,434
4.286% due 01/01/2028		1,662		1,691
4.307% due 09/01/2034		1,469		1,493
4.500% due 04/01/2021		270		276
4.647% due 12/01/2036		8,915		8,970
4.885% due 09/01/2035		22,441		23,028
5.000% due 02/25/2017 - 03/01/2039		28,452		29,377
5.259% due 04/01/2024		35		35
5.500% due 12/01/2033 - 07/01/2039		199,251		205,821
5.500% due 01/01/2037 (i)		17,485		18,083
6.000% due 04/01/2024 - 07/01/2039		37,670		39,456
6.500% due 05/01/2036		829		884
Freddie Mac
0.594% due 09/25/2031		110		100
0.669% due 12/15/2030		5,679		5,604
0.674% due 10/25/2029		869		796
0.888% due 02/01/2011 (e)		4,380		4,374
0.937% due 08/05/2011 (e)		20,300		20,307
5.000% due 11/15/2017 - 08/15/2020		13,429		13,494
5.408% due 07/01/2035		924		939
5.500% due 12/01/2036 - 07/01/2039		8,140		8,417
5.617% due 05/01/2035		1,311		1,335
6.500% due 04/01/2038 - 08/01/2038		600		638
Ginnie Mae
4.125% due 12/20/2023		1,355		1,376
4.375% due 03/20/2026		1,149		1,173
4.625% due 08/20/2023		1,391		1,424
5.375% due 05/20/2028		1,469		1,514
6.000% due 02/15/2036 - 07/01/2039		21,086		21,978
6.500% due 07/01/2039		200		212
Small Business Administration
5.902% due 02/10/2018		933		1,014
Total U.S. Government Agencies (Cost $414,090)				422,804
U.S. TREASURY OBLIGATIONS 97.8%
Treasury Inflation Protected Securities (c)
1.750% due 01/15/2028 (h)		171,272		161,638
2.000% due 01/15/2016		1,826		1,853
2.000% due 01/15/2026 (h)		607,647		594,545
2.125% due 01/15/2019		5,959		6,149
2.375% due 01/15/2017		3,489		3,638
2.375% due 01/15/2025 (h)		935,161		960,293
2.375% due 01/15/2027 (h)		515,577		533,300
2.500% due 07/15/2016		4,118		4,320
2.500% due 01/15/2029		83,720		88,822
3.375% due 01/15/2012		720		766
3.625% due 04/15/2028 (h)		628,341		764,220
3.875% due 04/15/2029 (h)		365,438		462,508
U.S. Treasury Notes
0.875% due 04/30/2011 (i)		1,721		1,716
Total U.S. Treasury Obligations (Cost $3,409,247)				3,583,768
MORTGAGE-BACKED SECURITIES 4.0%
Adjustable Rate Mortgage Trust
5.383% due 11/25/2035		1,236		848
5.409% due 01/25/2036		1,250		967
American Home Mortgage Assets
2.260% due 11/25/2046		14,465		6,635
Banc of America Commercial Mortgage, Inc.
5.837% due 06/10/2049		2,500		1,776
5.929% due 05/10/2045		1,530		1,280
5.935% due 02/10/2051		2,500		2,023
Banc of America Funding Corp.
5.745% due 03/20/2036		1,389		812
Banc of America Large Loan, Inc.
0.829% due 08/15/2029		584		434
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		1,307		1,123
2.500% due 08/25/2035		1,086		951
2.900% due 03/25/2035		3,865		3,344
4.550% due 08/25/2035		2,984		2,636
4.808% due 11/25/2034		792		656
4.828% due 01/25/2035		1,367		1,153
4.965% due 01/25/2035		750		633
Bear Stearns Alt-A Trust
5.303% due 08/25/2036		2,600		988
5.694% due 11/25/2036		1,497		759
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		56		56
Citigroup Commercial Mortgage Trust
5.888% due 12/10/2049		640		508
Citigroup Mortgage Loan Trust, Inc.
2.850% due 12/25/2035		226		184
4.098% due 08/25/2035		288		210
4.248% due 08/25/2035		1,530		1,218
4.735% due 12/25/2035		867		483
4.748% due 08/25/2035		1,347		1,073
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.886% due 11/15/2044		1,400		1,120
Commercial Mortgage Pass-Through Certificates
0.818% due 02/16/2034		9,462		8,425
6.010% due 12/10/2049		340		271
Countrywide Alternative Loan Trust
0.510% due 12/20/2046		4,407		1,770
2.340% due 12/25/2035		1,233		559
5.886% due 02/25/2037		748		441
6.000% due 01/25/2037		1,059		579
Countrywide Home Loan Mortgage Pass-Through Trust
0.654% due 06/25/2035		662		481
4.789% due 04/20/2035		713		627
Credit Suisse Mortgage Capital Certificates
5.383% due 02/15/2040		1,500		1,014
CW Capital Cobalt Ltd.
5.484% due 04/15/2047		1,400		925
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.394% due 02/25/2037		868		803
GMAC Mortgage Corp. Loan Trust
4.530% due 06/19/2035		2,331		1,510
5.303% due 11/19/2035		1,059		803
GS Mortgage Securities Corp. II
5.560% due 11/10/2039		414		339
GSR Mortgage Loan Trust
4.469% due 09/25/2035		2,862		2,411
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		2,780		2,139
5.794% due 02/12/2051		3,500		2,624
JPMorgan Mortgage Trust
4.873% due 04/25/2035		862		768
5.397% due 11/25/2035		1,266		1,045
5.500% due 10/25/2035		931		634
LB-UBS Commercial Mortgage Trust
5.372% due 09/15/2039		1,290		1,049
5.424% due 02/15/2040		420		306
5.430% due 02/15/2040		700		508
5.866% due 09/15/2045		1,200		921
MASTR Asset Securitization Trust
5.500% due 09/25/2033		1,664		1,585
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		1,800		1,202
5.485% due 03/12/2051		1,200		808
5.700% due 09/12/2049		1,100		762
MLCC Mortgage Investors, Inc.
4.561% due 12/25/2034		653		579
4.948% due 04/25/2035		747		588
Morgan Stanley Capital I
5.447% due 02/12/2044		650		498
5.544% due 11/12/2049		1,700		897
5.692% due 04/15/2049		1,400		1,025
6.076% due 06/11/2049		2,300		1,739
Prime Mortgage Trust
5.000% due 02/25/2019		435		423
Residential Accredit Loans, Inc.
0.494% due 06/25/2046		419		162
Residential Asset Securitization Trust
0.714% due 01/25/2046		2,881		1,321
0.764% due 12/25/2036		812		364
6.250% due 10/25/2036		1,000		507
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		3,114		3,133
Sovereign Commercial Mortgage Securities Trust
5.835% due 07/22/2030		1,900		1,676
Structured Adjustable Rate Mortgage Loan Trust
5.497% due 07/25/2035		730		500
Structured Asset Mortgage Investments, Inc.
0.504% due 07/25/2046		8,342		3,491
TBW Mortgage-Backed Pass-Through Certificates
0.424% due 01/25/2037		14,794		13,435
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046		540		485
0.439% due 06/25/2037		30,485		27,152
Wachovia Mortgage Loan Trust LLC
5.453% due 10/20/2035		915		679
WaMu Mortgage Pass-Through Certificates
0.584% due 12/25/2045		318		151
0.604% due 07/25/2045		97		44
0.634% due 08/25/2045		224		122
2.139% due 02/25/2047		20,056		8,087
2.340% due 08/25/2046		1,504		539
5.394% due 02/25/2037		20,878		12,395
Total Mortgage-Backed Securities (Cost $171,933)				147,171
ASSET-BACKED SECURITIES 10.3%
Aames Mortgage Investment Trust
0.464% due 08/25/2035		135		128
Access Group, Inc.
2.392% due 10/27/2025		27,870		28,101
ACE Securities Corp.
0.364% due 07/25/2036		52		51
0.364% due 12/25/2036		1,125		826
0.374% due 10/25/2036		237		154
Asset-Backed Funding Certificates
0.374% due 10/25/2036		46		45
0.374% due 11/25/2036		796		761
0.374% due 01/25/2037		160		133
Bank One Issuance Trust
0.439% due 05/15/2014		5,000		4,871
0.449% due 03/15/2014		2,000		1,953
Bear Stearns Asset-Backed Securities Trust
1.314% due 10/25/2037		2,721		1,467
Capital Auto Receivables Asset Trust
1.239% due 03/15/2011		446		447
Carrington Mortgage Loan Trust
0.364% due 01/25/2037		158		132
0.414% due 06/25/2037		4,402		3,506
Chase Issuance Trust
0.339% due 03/15/2013		11,800		11,599
0.339% due 10/15/2013		2,000		1,946
0.359% due 10/15/2012		14,900		14,743
2.129% due 09/15/2015		15,000		15,006
Citigroup Mortgage Loan Trust, Inc.
0.374% due 05/25/2037		2,229		1,794
Countrywide Asset-Backed Certificates
0.364% due 03/25/2037		89		87
0.364% due 05/25/2037		3,236		3,068
0.364% due 12/25/2046		58		57
0.364% due 03/25/2047		178		173
0.364% due 05/25/2047		1,182		1,076
0.364% due 06/25/2047		230		214
0.374% due 03/25/2037		23		23
0.384% due 06/25/2047		2,898		2,687
1.214% due 10/25/2047		946		586
Credit-Based Asset Servicing & Securitization LLC
0.374% due 11/25/2036		322		263
First Franklin Mortgage Loan Asset-Backed Certificates
0.384% due 12/25/2037		849		803
Ford Credit Auto Owner Trust
0.919% due 07/15/2010		1,457		1,457
1.219% due 01/15/2011		27,960		27,983
1.739% due 06/15/2012		15,400		15,455
Fremont Home Loan Trust
0.374% due 01/25/2037		1,328		862
HFC Home Equity Loan Asset-Backed Certificates
0.385% due 03/20/2036		42		41
1.115% due 11/20/2036		3,101		2,906
Honda Auto Receivables Owner Trust
3.770% due 09/20/2010		4,986		5,021
MASTR Asset-Backed Securities Trust
0.374% due 11/25/2036		92		86
MBNA Credit Card Master Note Trust
0.359% due 11/15/2012		4,400		4,361
Morgan Stanley ABS Capital I
0.354% due 10/25/2036		1,085		1,017
0.364% due 10/25/2036		611		568
0.414% due 09/25/2036		9,900		7,386
Morgan Stanley Mortgage Loan Trust
5.750% due 11/25/2036		1,189		536
Nelnet Student Loan Trust
0.669% due 12/22/2016		22,431		22,223
Option One Mortgage Loan Trust
0.714% due 02/25/2035		1,626		1,169
Popular ABS Mortgage Pass-Through Trust
0.404% due 06/25/2047		1,067		837
0.744% due 06/25/2035		6,300		1,789
Securitized Asset-Backed Receivables LLC Trust
0.444% due 05/25/2037		7,673		4,788
SLC Student Loan Trust
0.863% due 02/15/2015		4,869		4,862
SLM Student Loan Trust
1.092% due 10/25/2016		14,009		13,961
1.092% due 07/25/2017		2,200		2,139
1.172% due 07/25/2019		6,000		5,752
1.492% due 10/27/2014		51,363		51,215
1.592% due 10/25/2017		11,100		10,842
1.992% due 07/25/2023		10,582		9,808
2.592% due 04/25/2023		42,253		43,148
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		975		525
0.394% due 06/25/2037		713		571
0.424% due 01/25/2037		7,000		5,055
1.114% due 10/25/2037		4,244		4,002
South Carolina Student Loan Corp.
1.168% due 09/02/2014		557		550
1.218% due 03/01/2018		10,600		10,246
1.418% due 03/02/2020		13,500		12,830
1.668% due 09/03/2024		6,800		6,401
Structured Asset Securities Corp.
0.424% due 04/25/2036		22		21
Total Asset-Backed Securities (Cost $385,357)				377,113
SOVEREIGN ISSUES 0.1%
Export-Import Bank of Korea
1.386% due 10/04/2011		4,500		4,512
Total Sovereign Issues (Cost $4,497)				4,512
FOREIGN CURRENCY-DENOMINATED ISSUES 3.3%
American International Group, Inc.
5.750% due 03/15/2067	GBP	3,850		1,299
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012	BRL	4,215		2,105
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	3,400		2,766
6.500% due 09/15/2067	GBP	6,700		6,889
Green Valley Ltd.
5.045% due 01/10/2011	EUR	700		950
Japan Government CPI Linked Bond
0.800% due 12/10/2015	JPY	30,240		277
1.100% due 12/10/2016		1,564,680		14,345
1.200% due 12/10/2017		5,559,358		50,290
1.400% due 06/10/2018		4,395,600		39,877
Lehman Brothers Holdings, Inc.
5.259% due 06/12/2013 (a)	EUR	3,028		627
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		800		387
Silver Arrow S.A.
0.915% due 08/15/2014		424		593
Total Foreign Currency-Denominated Issues (Cost $127,900)				120,405
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.0%
Wells Fargo & Co.
7.500% due 12/31/2049		1,700		1,334
Total Convertible Preferred Stocks (Cost $1,629)				1,334
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 3.5%
CERTIFICATES OF DEPOSIT 2.6%
Barclays Bank PLC
1.066% due 08/10/2009	$	2,000		1,999
Sao Paolo IMI NY
1.272% due 06/09/2010		35,000		34,997
UBS AG
1.547% due 07/01/2010		56,800		56,789
				93,785
REPURCHASE AGREEMENTS 0.2%
State Street Bank and Trust Co.
0.010% due 07/01/2009		6,493		6,493
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $6,624. Repurchase proceeds are $6,493.)
U.S. TREASURY BILLS 0.0%
3.759% due 07/16/2009 - 07/30/2009 (b)(e)(f)(g)		1,057		1,057
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 0.7%
		2,699,979		27,024
Total Short-Term Instruments (Cost $128,370)				128,359
Total Investments 149.1% (Cost $5,366,570)			$	5,464,558
Written Options (k) (0.1%) (Premiums $3,754)				(3,366	)
Other Assets and Liabilities (Net) (49.0%)				(1,796,286	)
Net Assets 100.0%			$	3,664,906

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $2,606 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) Securities with an aggregate market value of $187 have been pledged as collateral for delayed-delivery securities on June 30, 2009.

(g) Securities with an aggregate market value of $250 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(h) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $1,061,646 at a weighted average interest rate of 0.463%. On June 30, 2009, securities valued at $1,113,435 were pledged as collateral for reverse repurchase agreements.

(i) Securities with an aggregate market value of $2,445 and cash of $68 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2010	139	$	72
90-Day Euribor June Futures	Long	06/2010	159		77
90-Day Euribor September Futures	Long	09/2010	274		144
90-Day Eurodollar December Futures	Long	12/2009	72		(8	)
90-Day Eurodollar June Futures	Long	06/2010	1		3
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	236		(30	)
				$	258

(j) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Block Financial LLC	DUB	(1.050	%)	03/20/2013	0.709	%	$	2,500	$	(31	)	$	0	$	(31	)
CIGNA Corp.	GSC	(1.270	%)	03/20/2018	1.672	%		3,000		83			0		83
Constellation Energy Group, Inc.	JPM	(0.960	%)	06/20/2015	1.799	%		1,200		51			0		51
DISH DBS Corp.	BCLY	(3.100	%)	12/20/2011	2.667	%		1,000		(11	)		0		(11	)
DISH DBS Corp.	GSC	(3.200	%)	12/20/2011	2.667	%		1,000		(13	)		0		(13	)
Everest Reinsurance Holdings, Inc.	BCLY	(0.535	%)	12/20/2014	1.010	%		1,000		24			0		24
Home Depot, Inc.	MSC	(0.980	%)	12/20/2013	0.956	%		6,000		(8	)		0		(8	)
International Lease Finance Corp.	DUB	(1.600	%)	12/20/2013	9.030	%		2,100		488			0		488
Macy’s Retail Holdings, Inc.	BOA	(2.430	%)	03/20/2013	3.976	%		2,000		98			0		98
Macy’s Retail Holdings, Inc.	DUB	(6.950	%)	09/20/2015	3.592	%		2,050		(335	)		0		(335	)
Macy’s Retail Holdings, Inc.	RBS	(2.111	%)	12/20/2016	3.692	%		1,000		87			0		87
Marsh & McLennan Cos., Inc.	DUB	(0.670	%)	09/20/2014	0.533	%		5,000		(34	)		0		(34	)
Merrill Lynch & Co., Inc.	JPM	(1.000	%)	06/20/2019	2.108	%		10,000		800			1,427		(627	)
Mohawk Industries, Inc.	UBS	(1.550	%)	03/20/2016	3.260	%		7,000		621			0		621
Pearson Dollar Finance PLC	MSC	(0.750	%)	06/20/2014	0.497	%		2,500		(30	)		0		(30	)
Rexam PLC	BCLY	(1.450	%)	06/20/2013	2.041	%		2,900		61			0		61
Ryder System, Inc.	BOA	(1.730	%)	09/20/2015	2.231	%		6,000		154			0		154
Simon Property Group LP	DUB	(0.947	%)	06/20/2018	2.178	%		6,100		507			0		507
Simon Property Group LP	MSC	(1.306	%)	06/20/2018	2.178	%		8,000		470			0		470
Southwest Airlines Co.	BOA	(1.320	%)	03/20/2017	2.098	%		2,000		96			0		96
Starwood Hotels & Resorts Worldwide, Inc.	BOA	(2.370	%)	03/20/2013	3.858	%		3,000		143			0		143
Telecom Italia Capital S.A.	GSC	(1.550	%)	06/20/2018	1.962	%		2,200		62			0		62
Tyco Electronics Group S.A.	BOA	(1.100	%)	03/20/2014	2.148	%		6,000		262			0		262
Tyco International Finance S.A.	BOA	(0.750	%)	12/20/2013	1.285	%		2,000		44			0		44
Tyco International Finance S.A.	BOA	(1.120	%)	12/20/2019	1.119	%		3,000		(1	)		0		(1	)
Union Pacific Corp.	UBS	(0.810	%)	06/20/2017	0.603	%		1,500		(22	)		0		(22	)
Viacom, Inc.	CITI	(1.220	%)	06/20/2011	1.490	%		7,500		37			0		37
Viacom, Inc.	DUB	(1.340	%)	06/20/2016	1.593	%		10,000		145			0		145
Yum! Brands, Inc.	BOA	(1.245	%)	03/20/2018	0.722	%		3,000		(116	)		0		(116	)
									$	3,632		$	1,427	$	2,205

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Ford Motor Credit Co. LLC	BCLY	3.800	%	09/20/2012	10.284	%	$	400	$	(64	)	$	0		$	(64	)
Ford Motor Credit Co. LLC	JPM	3.850	%	09/20/2012	10.284	%		800		(126	)		0			(126	)
GMAC LLC	GSC	3.400	%	06/20/2011	11.039	%		1,900		(240	)		0			(240	)
Wells Fargo & Co.	BCLY	1.000	%	03/20/2013	1.510	%		1,800		(38	)		(39	)		1
									$	(468	)	$	(39	)	$	(429	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
CDX.IG-12 5-Year Index	MSC	(1.000	%)	06/20/2014	$	55,000	$	781	$	2,114	$	(1,333	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Receive	1-Month EUR-CPTFEMU Index	2.275	%	10/15/2016	UBS	EUR	8,100	$	85		$	0		$	85
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP		3,800		184			1			183
Pay	1-Month EUR-FRCPXTOB Index	2.103	%	10/15/2010	BCLY		3,700		207			(10	)		217
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		5,500		316			7			309
Pay	1-Month EUR-FRCPXTOB Index	2.040	%	02/21/2011	BNP		3,400		144			0			144
Pay	1-Month EUR-FRCPXTOB Index	2.261	%	07/14/2011	JPM		100		6			0			6
Pay	1-Month EUR-FRCPXTOB Index	2.028	%	10/15/2011	JPM		7,600		296			0			296
Pay	1-Month EUR-FRCPXTOB Index	2.095	%	10/15/2011	UBS		32,400		1,428			0			1,428
Pay	1-Month EUR-FRCPXTOB Index	2.138	%	01/19/2016	BCLY		10,700		64			0			64
Pay	1-Month EUR-FRCPXTOB Index	2.350	%	10/15/2016	UBS		8,100		(259	)		0			(259	)
Pay	1-Month EUR-FRCPXTOB Index	2.353	%	10/15/2016	JPM		7,200		(235	)		0			(235	)
Pay	1-Year BRL-CDI	10.115	%	01/02/2012	MSC	BRL	9,400		(207	)		(69	)		(138	)
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		35,500		(477	)		(7	)		(470	)
Pay	1-Year BRL-CDI	10.680	%	01/02/2012	BCLY		31,100		(365	)		(271	)		(94	)
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MSC		3,700		57			(11	)		68
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		1,200		45			8			37
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		10,100		381			47			334
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	DUB	$	6,100		322			215			107
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	JPM		4,200		129			33			96
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	RBS		56,600		1,742			322			1,420
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	DUB		10,300		64			0			64
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	GSC		10,400		65			0			65
Pay	6-Month EUR-LIBOR	5.000	%	09/17/2010	BCLY	EUR	16,700		1,159			(176	)		1,335
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2011	GSC		14,800		1,126			(31	)		1,157
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	DUB	GBP	31,300		2,211			529			1,682
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	HSBC		1,500		169			14			155
Pay	GBP-UKRPI Index	3.103	%	11/14/2016	UBS		7,500		147			0			147
Pay	GBP-UKRPI Index	3.250	%	12/14/2017	BCLY		900		41			3			38
Pay	GBP-UKRPI Index	3.183	%	12/19/2017	RBS		3,900		111			9			102
Pay	GBP-UKRPI Index	3.110	%	01/03/2018	GSC		4,000		79			0			79
Pay	GBP-UKRPI Index	3.440	%	09/10/2027	RBS		2,100		(86	)		0			(86	)
								$	8,949		$	613		$	8,336

(k) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	313	$	82	$	14
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	376		70		19
					$	152	$	33

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009	$	26,100	$	77	$	54
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		37,000		187		206
Put - OTC 5-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	3.750	%	11/23/2009		74,000		727		957
Put - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		10,000		321		180
Put - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	1.750	%	08/21/2009		17,900		37		65
Put - OTC 5-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.750	%	11/23/2009		35,000		350		453
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		35,400		124		73
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		144,800		1,297		805
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		30,000		482		540
									$	3,602	$	3,333

(l) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.000	%	07/01/2039	$	11,600	$	11,625	$	11,805
Fannie Mae	5.500	%	07/01/2039		170,000		173,666		175,445
Fannie Mae	6.000	%	07/01/2039		40,400		41,984		42,224
Fannie Mae	6.500	%	08/01/2039		1,200		1,273		1,272
Freddie Mac	4.500	%	07/01/2024		900		904		918
Freddie Mac	5.500	%	07/01/2039		6,000		6,164		6,192
						$	235,616	$	237,856

(m) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	DUB	3,624	07/2009	$	0	$	(33	)	$	(33	)
Buy		GSC	3,861	07/2009		72		0			72
Sell	BRL	HSBC	3,094	08/2009		0		(158	)		(158	)
Sell	CHF	JPM	1,305	07/2009		22		0			22
Sell		RBC	1,305	10/2009		6		0			6
Sell	CNY	BCLY	29,168	07/2009		1		(1	)		0
Buy		DUB	35,562	07/2009		0		(312	)		(312	)
Sell		DUB	38,274	07/2009		8		(1	)		7
Buy		HSBC	12,536	07/2009		0		(85	)		(85	)
Buy		JPM	19,344	07/2009		0		(168	)		(168	)
Buy		BCLY	69,699	09/2009		1		(96	)		(95	)
Buy		CITI	12,479	09/2009		18		0			18
Buy		DUB	13,321	09/2009		1		0			1
Buy		HSBC	50,512	09/2009		0		(80	)		(80	)
Buy		BCLY	14,442	03/2010		0		(4	)		(4	)
Buy		BOA	7,753	03/2010		0		(1	)		(1	)
Buy		CITI	6,377	03/2010		0		(4	)		(4	)
Buy		DUB	29,025	03/2010		0		(23	)		(23	)
Buy		HSBC	6,136	03/2010		0		(3	)		(3	)
Buy		JPM	57	03/2010		0		0			0
Sell	EUR	BCLY	8,281	07/2009		0		(62	)		(62	)
Sell		GSC	213	07/2009		0		0			0
Sell	GBP	BCLY	50	07/2009		0		(1	)		(1	)
Sell		CITI	9,494	07/2009		0		(930	)		(930	)
Buy		RBS	3,193	07/2009		95		0			95
Sell		MSC	6,351	08/2009		44		0			44
Sell	JPY	BNP	5,897,444	07/2009		0		(68	)		(68	)
Sell		CSFB	64,818	07/2009		0		(13	)		(13	)
Sell		MSC	5,962,262	08/2009		0		0			0
Sell	MXN	CITI	2,140	11/2009		0		(16	)		(16	)
Buy		JPM	483	11/2009		3		0			3
Sell	MYR	BCLY	120	08/2009		0		0			0
Sell	SGD	CITI	984	07/2009		0		(20	)		(20	)
Buy		HSBC	984	07/2009		0		(1	)		(1	)
					$	271	$	(2,080	)	$	(1,809	)

(n) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	655,155		$	3,396	$	658,551
U.S. Government Agencies		0		422,804			0		422,804
U.S. Treasury Obligations		0		3,583,768			0		3,583,768
Asset-Backed Securities		0		377,113			0		377,113
Other Investments++		28,358		393,964			0		422,322
Investments, at value	$	28,358	$	5,432,804		$	3,396	$	5,464,558
Short Sales, at value	$	0	$	(237,856	)	$	0	$	(237,856	)
Financial Derivative Instruments+++	$	258	$	1,395		$	2,209	$	3,862
Total	$	28,616	$	5,196,343		$	5,605	$	5,230,564

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	26,305	$	(39,555	)	$	8	$	14,795	$	(1,578	)	$	3,421		$	3,396
Investments, at value	$	26,305	$	(39,555	)	$	8	$	14,795	$	(1,578	)	$	3,421		$	3,396
Financial Derivative Instruments+++	$	2,612	$	0		$	0	$	0	$	(94	)	$	(309	)	$	2,209
Total	$	28,917	$	(39,555	)	$	8	$	14,795	$	(1,672	)	$	3,112		$	5,605

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Real Return Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000S)
BANK LOAN OBLIGATIONS 0.4%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	42,910	$	39,960
Ford Motor Co.
3.320% due 12/16/2013		3,240		2,356
4.140% due 12/16/2013		1,629		1,185
Georgia-Pacific Corp.
2.319% due 12/20/2012		756		715
2.323% due 12/20/2012		2,667		2,522
2.650% due 12/20/2012		8,667		8,198
Total Bank Loan Obligations (Cost $58,534)				54,936
CORPORATE BONDS & NOTES 17.6%
BANKING & FINANCE 13.3%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		16,000		16,564
Allstate Life Global Funding Trusts CPI Linked Bond
0.670% due 03/01/2010		9,708		9,435
American Express Bank FSB
5.500% due 04/16/2013		16,300		16,015
6.000% due 09/13/2017		19,400		17,724
American Express Centurion Bank
6.000% due 09/13/2017		26,500		24,210
American Express Co.
7.000% due 03/19/2018		30		29
American General Finance Corp.
6.900% due 12/15/2017		5,000		2,711
American Honda Finance Corp.
1.359% due 06/20/2011		141,700		136,813
American International Group, Inc.
1.094% due 01/29/2010		6,300		5,371
1.217% due 10/18/2011		7,100		4,585
4.950% due 03/20/2012		400		272
5.450% due 05/18/2017		600		316
5.850% due 01/16/2018		14,400		7,629
8.175% due 05/15/2058		26,700		7,623
8.250% due 08/15/2018		23,100		13,612
ANZ National International Ltd.
6.200% due 07/19/2013		33,900		34,964
Australia & New Zealand Banking Group Ltd.
0.893% due 06/18/2012		23,500		23,419
3.200% due 12/15/2011		12,000		12,073
Bank of America Corp.
0.813% due 09/18/2009		800		799
1.127% due 11/06/2009		100		100
5.650% due 05/01/2018		12,500		11,064
Bank of America N.A.
1.162% due 06/23/2010		8,600		8,561
Barclays Bank PLC
5.450% due 09/12/2012		25,500		26,614
6.050% due 12/04/2017		19,600		17,023
7.434% due 09/29/2049		8,700		5,837
10.179% due 06/12/2021		7,120		7,610
BNP Paribas
1.096% due 06/04/2010		2,600		2,589
Brookfield Asset Management, Inc.
5.800% due 04/25/2017		7,500		6,215
C10 Capital SPV Ltd.
6.722% due 12/31/2049		6,000		3,076
Caelus Re Ltd.
6.918% due 06/07/2011		3,900		3,548
Calabash Re Ltd.
9.024% due 01/08/2010		4,900		4,676
11.524% due 01/08/2010		2,500		2,436
Capital One Financial Corp.
6.750% due 09/15/2017		2,200		2,108
Caterpillar Financial Services Corp.
1.129% due 06/25/2010		135,000		134,916
1.199% due 10/09/2009		1,000		1,000
CIT Group, Inc.
0.974% due 08/17/2009		600		583
Citibank N.A.
0.616% due 06/04/2012		3,100		3,111
Citigroup Capital XXI
8.300% due 12/21/2077		15,100		11,794
Citigroup Funding, Inc.
2.036% due 05/07/2010		64,000		62,694
Citigroup, Inc.
5.500% due 04/11/2013		23,400		21,957
6.500% due 08/19/2013		10,000		9,726
8.400% due 04/29/2049 (a)		74,500		55,973
Commonwealth Bank of Australia
1.030% due 12/10/2012		2,000		2,003
1.108% due 06/25/2014		62,000		61,791
Countrywide Financial Corp.
5.800% due 06/07/2012		5,300		5,338
Countrywide Home Loans, Inc.
5.625% due 07/15/2009		10,000		10,005
Credit Suisse New York
5.000% due 05/15/2013		21,400		21,904
Credit Suisse USA, Inc.
0.865% due 11/20/2009		100		100
Danske Bank A/S
5.914% due 12/29/2049		4,000		2,483
Dexia Credit Local
1.262% due 09/23/2011		21,500		21,337
DnB NOR Bank ASA
1.209% due 10/13/2009		200		199
Foundation Re II Ltd.
7.576% due 11/26/2010		10,300		9,644
General Electric Capital Corp.
0.839% due 03/12/2012		1,400		1,411
0.945% due 09/28/2011		10,300		9,776
1.122% due 10/26/2009		100		100
1.124% due 05/08/2013		27,300		23,838
Goldman Sachs Group, Inc.
0.701% due 06/28/2010		20,000		19,863
0.901% due 06/28/2010		500		497
0.934% due 11/16/2009		2,000		1,998
1.059% due 03/22/2016		1,000		848
1.561% due 10/07/2011		15,007		14,416
5.950% due 01/18/2018		7,500		7,287
6.150% due 04/01/2018		21,600		21,064
Governor & Co. of the Bank of Ireland
0.663% due 12/18/2009		200		198
HBOS PLC
6.750% due 05/21/2018		34,800		26,307
HCP, Inc.
6.300% due 09/15/2016		2,000		1,737
6.700% due 01/30/2018		5,000		4,350
HSBC Finance Corp.
1.206% due 05/10/2010		2,400		2,337
ING Bank NV
2.625% due 02/09/2012		12,500		12,658
International Lease Finance Corp.
6.625% due 11/15/2013		10,500		8,092
John Deere Capital Corp.
1.400% due 06/10/2011		4,000		3,972
JPMorgan Chase & Co.
0.688% due 06/25/2010		500		499
JPMorgan Chase & Co. CPI Linked Bond
3.574% due 02/15/2012		4,000		3,470
Kamp Re 2005 Ltd.
0.418% due 12/14/2010 (a)		1,698		119
Kreditanstalt fuer Wiederaufbau
4.875% due 06/17/2019		7,200		7,474
LeasePlan Corp. NV
3.000% due 05/07/2012		17,440		17,520
Lehman Brothers Holdings, Inc.
2.950% due 05/25/2010 (a)		10,200		1,556
6.200% due 09/26/2014 (a)		3,900		595
6.875% due 05/02/2018 (a)		32,405		5,347
7.000% due 09/27/2027 (a)		4,500		686
7.500% due 05/11/2038 (a)		5,000		1
Longpoint Re Ltd.
5.874% due 05/08/2010		11,200		10,886
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		2,500		2,386
Merna Reinsurance Ltd.
1.248% due 07/07/2010		28,900		26,894
Merrill Lynch & Co., Inc.
0.726% due 12/04/2009		13,130		13,106
5.450% due 02/05/2013		3,000		2,923
6.400% due 08/28/2017		26,900		23,850
6.875% due 04/25/2018		40,600		37,638
Metropolitan Life Global Funding I
0.894% due 05/17/2010		1,700		1,686
1.358% due 06/25/2010		123,400		123,020
2.550% due 06/10/2011		2,000		1,998
5.125% due 04/10/2013		14,800		15,071
Morgan Stanley
0.428% due 05/07/2010		10,000		9,853
1.357% due 01/18/2011		17,600		17,058
1.611% due 10/15/2015		500		429
3.006% due 05/14/2010		27,300		27,227
6.750% due 04/15/2011		7,000		7,337
National Australia Bank Ltd.
1.424% due 02/08/2010		1,900		1,900
Osiris Capital PLC
6.131% due 01/15/2010		1,700		1,676
Pacific Life Global Funding
5.150% due 04/15/2013		11,100		11,076
Pearson Dollar Finance Two PLC
5.500% due 05/06/2013		3,000		2,962
6.250% due 05/06/2018		19,200		18,446
Pricoa Global Funding I
1.446% due 06/04/2010		100,900		100,066
Prudential Financial, Inc.
1.570% due 06/10/2013		32,500		26,879
Residential Reinsurance 2007 Ltd.
7.918% due 06/07/2010		5,900		5,665
10.918% due 06/07/2010		20,000		19,006
Royal Bank of Scotland Group PLC
9.118% due 03/31/2049		6,200		5,054
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		9,900		7,337
SLM Corp.
1.232% due 07/27/2009		1,800		1,792
1.252% due 07/26/2010		1,000		908
SLM Corp. CPI Linked Bond
0.866% due 06/15/2010		472		431
1.666% due 02/01/2014		1,000		606
TransCapitalInvest Ltd. for OJSC AK Transneft
7.700% due 08/07/2013		3,300		3,179
8.700% due 08/07/2018		22,200		21,400
Vita Capital III Ltd.
2.328% due 01/01/2012		7,900		6,847
Vita Capital Ltd.
2.108% due 01/01/2010		3,500		3,417
2.608% due 01/01/2010		5,000		4,886
Wachovia Bank N.A.
0.726% due 12/02/2010		31,400		30,986
1.806% due 05/14/2010		41,800		41,813
Wachovia Corp.
1.230% due 04/23/2012		5,100		4,795
5.500% due 05/01/2013		3,600		3,723
Wells Fargo & Co.
0.672% due 03/23/2010		700		698
1.272% due 10/28/2015		1,200		1,034
4.375% due 01/31/2013		7,600		7,674
7.980% due 03/29/2049		6,300		5,237
Wells Fargo Capital X
5.950% due 12/15/2036		15,000		11,132
Wells Fargo Capital XIII
7.700% due 12/29/2049		16,400		13,622
				1,755,804
INDUSTRIALS 3.8%
American Standard, Inc.
5.500% due 04/01/2015		6,000		6,015
Amgen, Inc.
5.850% due 06/01/2017		9,000		9,565
AutoZone, Inc.
6.500% due 01/15/2014		5,000		5,193
Burlington Northern Santa Fe Corp.
5.650% due 05/01/2017		2,500		2,556
C8 Capital SPV Ltd.
6.640% due 12/29/2049		7,100		3,644
Cardinal Health, Inc.
6.000% due 06/15/2017		6,195		5,828
Computer Sciences Corp.
6.500% due 03/15/2018		2,500		2,559
Con-way, Inc.
7.250% due 01/15/2018		10,000		8,490
CSX Corp.
6.250% due 03/15/2018		5,000		5,051
DISH DBS Corp.
6.375% due 10/01/2011		2,000		1,945
Enterprise Products Operating LLC
6.500% due 01/31/2019		15,300		15,577
Erac USA Finance Co.
6.375% due 10/15/2017		5,000		4,522
Gaz Capital S.A.
7.343% due 04/11/2013		5,800		5,626
8.146% due 04/11/2018		7,900		7,229
General Mills, Inc.
1.231% due 01/22/2010		600		599
GlaxoSmithKline Capital, Inc.
1.545% due 05/13/2010		67,700		68,187
Hewlett-Packard Co.
2.250% due 05/27/2011		8,700		8,732
HJ Heinz Co.
5.350% due 07/15/2013		7,500		7,852
Home Depot, Inc.
5.400% due 03/01/2016		2,500		2,499
Honeywell International, Inc.
1.142% due 07/27/2009		5,000		5,002
Hospira, Inc.
5.900% due 06/15/2014		2,500		2,595
International Business Machines Corp.
1.652% due 07/28/2011		40,600		40,871
International Paper Co.
5.250% due 04/01/2016		14,250		12,152
Kroger Co.
6.400% due 08/15/2017		5,000		5,309
Lafarge S.A.
6.500% due 07/15/2016		5,000		4,603
Ltd. Brands, Inc.
6.900% due 07/15/2017		3,200		2,773
Macy’s Retail Holdings, Inc.
5.350% due 03/15/2012		3,000		2,733
5.875% due 01/15/2013		2,000		1,754
7.450% due 07/15/2017		3,000		2,615
8.875% due 07/15/2015		13,000		12,600
Marriott International, Inc.
5.810% due 11/10/2015		5,000		4,386
Masco Corp.
5.850% due 03/15/2017		8,000		6,400
Mattel, Inc.
5.625% due 03/15/2013		20,000		20,286
Motorola, Inc.
6.000% due 11/15/2017		4,000		3,265
National Semiconductor Corp.
6.600% due 06/15/2017		12,000		10,511
Nucor Corp.
5.750% due 12/01/2017		4,000		4,163
PPG Industries, Inc.
6.650% due 03/15/2018		10,000		10,649
Rexam PLC
6.750% due 06/01/2013		13,600		13,190
Reynolds American, Inc.
1.329% due 06/15/2011		1,500		1,404
7.250% due 06/01/2012		15,000		15,060
7.250% due 06/01/2013		10,000		10,296
Roche Holdings, Inc.
2.661% due 02/25/2011		5,800		5,867
Rockies Express Pipeline LLC
4.500% due 08/20/2009		800		800
Rohm & Haas Co.
5.600% due 03/15/2013		7,000		6,928
RPM International, Inc.
6.500% due 02/15/2018		8,550		7,774
RR Donnelley & Sons Co.
4.950% due 04/01/2014		10,000		8,717
Ryder System, Inc.
6.000% due 03/01/2013		1,100		1,096
7.200% due 09/01/2015		9,000		9,035
SCA Finans AB
4.500% due 07/15/2015		6,000		5,344
Sealed Air Corp.
5.625% due 07/15/2013		10,000		9,054
Spectra Energy Capital LLC
5.668% due 08/15/2014		10,000		10,113
6.200% due 04/15/2018		15,000		14,755
Starwood Hotels & Resorts Worldwide, Inc.
6.250% due 02/15/2013		3,000		2,792
Suncor Energy, Inc.
6.100% due 06/01/2018		6,000		6,041
Tate & Lyle International Finance PLC
6.625% due 06/15/2016		3,500		3,204
Time Warner, Inc.
1.150% due 11/13/2009		1,600		1,596
Tyco Electronics Group S.A.
6.550% due 10/01/2017		4,000		3,637
Tyco International Finance S.A.
6.000% due 11/15/2013		4,760		4,846
Tyco International Ltd.
7.000% due 12/15/2019		12,000		11,827
Union Pacific Corp.
5.650% due 05/01/2017		5,000		5,022
UnitedHealth Group, Inc.
4.875% due 02/15/2013		2,300		2,328
Viacom, Inc.
6.125% due 10/05/2017		4,000		3,893
6.250% due 04/30/2016		7,500		7,398
Whirlpool Corp.
6.500% due 06/15/2016		6,000		5,673
				502,026
UTILITIES 0.5%
AT&T, Inc.
1.116% due 02/05/2010		500		500
CenturyTel, Inc.
6.000% due 04/01/2017		10,803		9,764
Cleveland Electric Illuminating Co.
5.700% due 04/01/2017		4,600		4,488
CMS Energy Corp.
7.750% due 08/01/2010		7,845		8,211
Constellation Energy Group, Inc.
4.550% due 06/15/2015		2,200		1,910
Enel Finance International S.A.
5.700% due 01/15/2013		12,100		12,659
FirstEnergy Corp.
6.450% due 11/15/2011		2,500		2,611
Midwest Generation LLC
8.300% due 07/02/2009		2,777		2,764
NiSource Finance Corp.
1.231% due 11/23/2009		200		198
Public Service Electric & Gas Co.
1.514% due 03/12/2010		1,000		999
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.
8.875% due 03/15/2012		300		304
Sempra Energy
6.150% due 06/15/2018		4,500		4,531
Telecom Italia Capital S.A.
6.999% due 06/04/2018		10,700		10,841
				71,743
Total Corporate Bonds & Notes (Cost $2,498,979)				2,329,573
MUNICIPAL BONDS & NOTES 0.5%
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		2,630		2,410
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
8.514% due 01/01/2014		1,395		1,125
District of Columbia Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
6.250% due 05/15/2024		6,770		6,455
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2033		4,100		2,750
5.125% due 06/01/2047		700		379
5.750% due 06/01/2047		6,400		3,845
Harris County, Texas Flood Control District General Obligation Bonds, Series 2006
4.750% due 10/01/2029		4,200		4,141
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		200		195
Los Angeles, California Community College District General Obligation Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 08/01/2032		1,100		1,046
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2022		1,200		1,152
4.500% due 07/01/2024		2,000		1,891
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
4.500% due 07/01/2025		1,400		1,299
4.500% due 01/01/2028		1,700		1,523
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
5.000% due 06/15/2037		1,200		1,179
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.750% due 06/01/2034		200		129
5.875% due 06/01/2047		10,200		5,771
6.000% due 06/01/2042		8,900		5,293
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		31,600		1,635
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2023		1,950		1,770
6.125% due 06/01/2032		740		608
San Bernardino, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		1,000		962
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		5,900		5,620
Texas State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2002
0.000% due 08/15/2021		4,500		2,067
Texas State Water Development Board Revenue Bonds, Series 2007
4.500% due 07/15/2024		1,100		1,116
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		360		351
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		13,180		8,856
Will County, Illinois Community Unit School District No. 201-Crete-Monee General Obligation Bonds, (MBIA-FGIC Insured), Series 2004
0.000% due 11/01/2022		9,990		4,689
Total Municipal Bonds & Notes (Cost $82,622)				68,257
U.S. GOVERNMENT AGENCIES 17.4%
Fannie Mae
0.374% due 07/25/2037		6,046		5,363
0.444% due 03/25/2036		2,603		2,252
0.454% due 04/25/2035		109		100
0.514% due 10/27/2037		13,500		12,293
0.664% due 07/25/2021 - 05/25/2042		281		276
1.791% due 04/01/2032		140		143
2.638% due 06/01/2043 - 10/01/2044		4,937		4,868
3.023% due 04/01/2027		121		122
3.464% due 04/01/2033		1,001		1,044
3.638% due 06/01/2033		246		251
3.705% due 07/01/2035		393		396
4.170% due 08/01/2035		387		392
4.227% due 04/01/2035		610		632
4.400% due 02/01/2032		8		8
4.550% due 02/01/2034		51		52
4.631% due 05/25/2035		147		147
4.644% due 01/01/2035		43		45
4.647% due 12/01/2036		370		372
4.706% due 05/01/2035		1,085		1,128
4.845% due 09/01/2034		357		359
4.990% due 10/01/2031		344		346
5.000% due 06/25/2027 - 02/01/2037		44,186		45,125
5.075% due 09/01/2034		219		225
5.076% due 11/01/2033		60		61
5.192% due 10/01/2033		29		29
5.491% due 05/01/2036		362		379
5.500% due 02/01/2033 - 07/01/2039		1,204,546		1,245,528
5.950% due 02/25/2044		37		39
6.000% due 12/01/2028 - 07/01/2039		573,022		599,934
6.500% due 04/01/2014 - 07/01/2039		45,489		48,554
Federal Housing Administration
7.430% due 12/01/2020		65		65
Freddie Mac
0.469% due 07/15/2019 - 10/15/2020		636		623
0.549% due 02/15/2019		537		527
0.574% due 08/25/2031		585		470
0.589% due 01/15/2037		352		345
0.594% due 09/25/2031		1,367		1,246
0.669% due 12/15/2030		4,318		4,261
0.702% due 03/09/2011		1,490		1,495
0.888% due 02/01/2011 (e)		1,490		1,488
0.896% due 05/05/2011 (e)		14,557		14,562
0.926% due 05/04/2011 (e)		772		774
0.937% due 08/05/2011		15		15
2.638% due 10/25/2044		6,982		6,875
2.639% due 02/25/2045		225		215
2.838% due 07/25/2044		558		553
3.490% due 03/01/2034		1,935		1,975
4.328% due 06/01/2033		724		730
4.500% due 05/15/2017 - 07/15/2020		2,154		2,206
4.591% due 01/01/2034		613		622
5.000% due 12/14/2018 - 07/01/2024		22,700		21,624
5.250% due 08/15/2011		1,824		1,885
5.370% due 01/01/2034		1,100		1,125
5.500% due 05/15/2016 - 07/01/2039		110,032		113,692
6.000% due 05/01/2035 - 07/01/2038		19,197		20,163
6.500% due 01/25/2028		55		59
6.595% due 10/01/2036		440		461
6.656% due 09/01/2036		388		407
6.701% due 07/01/2036		367		384
7.000% due 10/15/2030		212		222
Ginnie Mae
0.718% due 06/16/2031 - 03/16/2032		132		131
3.750% due 12/20/2035		1,818		1,833
4.625% due 07/20/2035		96		98
6.000% due 03/15/2029 - 07/01/2039		97,349		101,474
6.000% due 08/15/2038 (h)		7,774		8,111
6.500% due 05/15/2028 - 09/20/2038		2,015		2,153
Small Business Administration
4.310% due 04/01/2029		2,900		2,925
5.170% due 01/01/2028		1,697		1,792
5.490% due 03/01/2028 - 05/01/2028		10,428		10,993
5.902% due 02/10/2018		5,690		6,184
Total U.S. Government Agencies (Cost $2,256,687)				2,305,226
U.S. TREASURY OBLIGATIONS 97.3%
Treasury Inflation Protected Securities (c)
0.625% due 04/15/2013		111,067		109,748
1.250% due 04/15/2014		158,683		159,327
1.375% due 07/15/2018		128,247		124,360
1.625% due 01/15/2015 (g)		437,958		435,768
1.625% due 01/15/2018 (g)		131,803		130,402
1.750% due 01/15/2028 (g)		59,297		55,961
1.875% due 07/15/2013		1,093,949		1,121,639
1.875% due 07/15/2015 (g)		712,485		720,055
2.000% due 04/15/2012		456,870		470,148
2.000% due 01/15/2014 (g)		963,527		985,206
2.000% due 07/15/2014		560,055		573,006
2.000% due 01/15/2016		528,658		536,423
2.000% due 01/15/2026 (g)		579,666		567,167
2.125% due 01/15/2019 (g)		215,792		222,671
2.375% due 04/15/2011 (g)		214,418		220,851
2.375% due 01/15/2017 (g)		174,888		182,375
2.375% due 01/15/2025 (g)		1,049,942		1,078,159
2.375% due 01/15/2027		266,072		275,218
2.500% due 07/15/2016 (g)		452,019		474,196
2.500% due 01/15/2029		8,650		9,177
2.625% due 07/15/2017		581,849		619,488
3.000% due 07/15/2012 (g)		774,770		821,014
3.375% due 01/15/2012		67,541		71,847
3.375% due 04/15/2032		20,794		26,031
3.500% due 01/15/2011 (g)		503,861		526,219
3.625% due 04/15/2028		973,554		1,184,085
3.875% due 04/15/2029 (g)		920,363		1,164,835
U.S. Treasury Notes
0.875% due 04/30/2011 (h)		4,915		4,902
Total U.S. Treasury Obligations (Cost $12,436,060)				12,870,278
MORTGAGE-BACKED SECURITIES 3.3%
1211 Finance Corp.
7.745% due 04/11/2035		10,350		10,542
American Home Mortgage Assets
0.504% due 05/25/2046		921		340
0.504% due 09/25/2046		1,187		500
0.524% due 10/25/2046		21,906		7,143
Banc of America Commercial Mortgage, Inc.
5.837% due 06/10/2049		10,000		7,106
5.929% due 05/10/2045		12,525		10,481
5.935% due 02/10/2051		10,000		8,094
Banc of America Funding Corp.
4.585% due 02/20/2036		35,355		26,881
5.753% due 10/25/2036		900		564
5.837% due 01/25/2037		700		349
5.888% due 04/25/2037		500		313
6.102% due 01/20/2047		1,290		687
Banc of America Large Loan, Inc.
0.829% due 08/15/2029		778		578
BCAP LLC Trust
0.484% due 01/25/2037		16,127		6,162
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		7,824		6,724
2.500% due 08/25/2035		6,596		5,776
2.900% due 03/25/2035		18,937		16,386
3.859% due 11/25/2030		231		211
4.550% due 08/25/2035		10,068		8,894
4.828% due 01/25/2035		6,117		5,158
5.106% due 01/25/2034		2,401		1,846
5.172% due 02/25/2034		322		208
5.409% due 01/25/2034		1,290		1,040
5.457% due 05/25/2047		5,764		3,364
5.733% due 02/25/2036		1,053		620
Bear Stearns Alt-A Trust
4.787% due 08/25/2036		1,051		466
5.303% due 08/25/2036		900		342
5.362% due 05/25/2035		198		133
5.490% due 09/25/2035		282		153
5.694% due 11/25/2036		3,062		1,553
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		2		2
Chase Mortgage Finance Corp.
4.747% due 02/25/2037		538		443
Citigroup Commercial Mortgage Trust
5.888% due 12/10/2049		3,116		2,472
Citigroup Mortgage Loan Trust, Inc.
2.850% due 12/25/2035		1,714		1,399
4.098% due 08/25/2035		2,091		1,519
4.248% due 08/25/2035		7,831		6,236
4.685% due 03/25/2034		924		797
4.748% due 08/25/2035		7,634		6,077
5.672% due 07/25/2046		5,308		2,835
5.994% due 09/25/2037		3,052		1,655
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.886% due 11/15/2044		5,900		4,720
Countrywide Alternative Loan Trust
0.484% due 01/25/2037		1,500		585
0.495% due 02/20/2047		223		87
0.510% due 12/20/2046		13,625		5,471
0.525% due 07/20/2046		18,085		6,990
2.340% due 12/25/2035		3,288		1,491
5.886% due 02/25/2037		15,125		8,919
6.000% due 01/25/2037		8,472		4,630
6.000% due 02/25/2037		331		201
Countrywide Home Loan Mortgage Pass-Through Trust
0.654% due 06/25/2035		9,924		7,212
5.250% due 01/20/2035		689		549
5.373% due 02/25/2047		1,206		618
5.550% due 04/20/2036		1,139		756
5.575% due 02/20/2036		618		324
5.575% due 03/25/2037		1,151		539
Credit Suisse Mortgage Capital Certificates
5.579% due 04/25/2037		800		364
CS First Boston Mortgage Securities Corp.
4.059% due 04/25/2034		730		645
4.938% due 12/15/2040		83		83
CSAB Mortgage-Backed Trust
5.684% due 12/25/2036		500		280
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.590% due 10/25/2035		810		419
First Horizon Alternative Mortgage Securities
6.250% due 08/25/2037		1,016		767
First Horizon Asset Securities, Inc.
5.365% due 08/25/2035		547		416
First Republic Mortgage Loan Trust
0.619% due 08/15/2032		120		102
First Union-Lehman Brothers-Bank of America
6.730% due 11/18/2035		10,800		10,732
GE Capital Commercial Mortgage Corp.
4.970% due 08/11/2036		1,955		1,973
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		47		38
0.394% due 01/25/2047		526		399
0.584% due 11/25/2045		22		10
GS Mortgage Securities Corp. II
6.624% due 05/03/2018		300		323
GSR Mortgage Loan Trust
4.469% due 09/25/2035		27,866		23,472
Harborview Mortgage Loan Trust
0.505% due 08/21/2036		3,161		1,342
0.553% due 03/19/2036		1,831		773
0.655% due 06/20/2035		916		456
4.496% due 04/19/2034		654		519
Homebanc Mortgage Trust
5.866% due 04/25/2037		1,600		762
Impac CMB Trust
1.214% due 10/25/2033		1,373		1,092
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		646		607
Indymac INDA Mortgage Loan Trust
5.862% due 08/25/2036		1,500		833
Indymac INDB Mortgage Loan Trust
0.614% due 11/25/2035		617		235
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		33		31
0.514% due 06/25/2047		6,435		2,673
0.614% due 06/25/2037		1,119		350
4.976% due 12/25/2034		360		273
5.000% due 08/25/2035		1,457		803
5.275% due 01/25/2036		755		510
5.302% due 09/25/2035		786		428
5.369% due 10/25/2035		659		408
5.800% due 06/25/2036		1,100		458
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		13,300		10,233
5.794% due 02/12/2051		1,210		907
5.935% due 02/12/2049		13,000		9,867
JPMorgan Mortgage Trust
4.811% due 12/25/2034		296		260
4.873% due 04/25/2035		575		512
5.012% due 02/25/2035		532		465
5.377% due 08/25/2035		1,400		1,086
5.500% due 10/25/2035		517		352
LB-UBS Commercial Mortgage Trust
5.372% due 09/15/2039		9,400		7,647
5.424% due 02/15/2040		5,400		3,941
5.866% due 09/15/2045		14,000		10,748
Luminent Mortgage Trust
0.494% due 12/25/2036		4,121		1,484
MASTR Adjustable Rate Mortgages Trust
0.524% due 04/25/2046		5,518		2,263
4.081% due 12/25/2033		1,192		1,005
5.509% due 12/25/2033		309		261
MASTR Alternative Loans Trust
0.714% due 03/25/2036		2,072		745
Mellon Residential Funding Corp.
0.669% due 11/15/2031		774		563
0.749% due 08/15/2032		547		497
0.759% due 12/15/2030		1,128		909
0.799% due 06/15/2030		586		488
2.615% due 10/20/2029		266		250
Merrill Lynch Countrywide Commercial Mortgage Trust
5.700% due 09/12/2049		2,937		2,034
Merrill Lynch Floating Trust
0.389% due 06/15/2022		1,996		1,402
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		678		366
Merrill Lynch Mortgage Trust
5.840% due 05/12/2039		15,125		12,358
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		779		528
1.314% due 10/25/2035		431		344
2.001% due 03/25/2030		199		125
2.106% due 11/25/2029		138		98
Morgan Stanley Capital I
6.076% due 06/11/2049		2,090		1,580
Morgan Stanley Mortgage Loan Trust
5.701% due 02/25/2047		600		282
Nomura Asset Acceptance Corp.
5.524% due 02/25/2036		799		342
5.820% due 03/25/2047		1,200		700
6.138% due 03/25/2047		1,100		648
Provident Funding Mortgage Loan Trust
3.680% due 08/25/2033		221		185
3.843% due 04/25/2034		164		145
Residential Accredit Loans, Inc.
0.494% due 06/25/2046		23,766		9,162
0.594% due 12/25/2045		3,716		1,635
2.700% due 09/25/2045		385		172
5.667% due 09/25/2035		1,103		687
Residential Asset Securitization Trust
0.714% due 01/25/2046		206		94
0.764% due 12/25/2036		2,924		1,311
5.500% due 06/25/2033		1,579		1,368
6.250% due 10/25/2036		4,000		2,027
Salomon Brothers Mortgage Securities VII, Inc.
6.500% due 09/25/2033		4,004		3,765
Sequoia Mortgage Trust
0.663% due 10/19/2026		32		25
0.695% due 10/20/2027		417		336
0.715% due 10/20/2027		454		382
1.215% due 12/20/2032		485		404
Structured Adjustable Rate Mortgage Loan Trust
2.610% due 01/25/2035		16		7
5.246% due 05/25/2036		1,500		621
5.376% due 11/25/2035		730		436
5.411% due 09/25/2036		1,500		822
5.516% due 08/25/2035		452		295
6.000% due 10/25/2037		1,107		517
Structured Asset Mortgage Investments, Inc.
0.384% due 08/25/2036		19		18
0.414% due 09/25/2047		743		693
0.434% due 08/25/2036		13,459		5,401
0.444% due 03/25/2037		490		179
0.504% due 07/25/2046		12,709		5,319
0.524% due 04/25/2036		2,744		1,156
0.524% due 05/25/2046		9,370		3,793
0.563% due 07/19/2035		1,317		846
0.624% due 12/25/2035		846		384
0.643% due 10/19/2034		14		11
0.663% due 03/19/2034		884		551
0.973% due 09/19/2032		864		646
TBW Mortgage-Backed Pass-Through Certificates
5.970% due 09/25/2036		1,300		652
Thornburg Mortgage Securities Trust
0.414% due 03/25/2037		730		636
0.424% due 11/25/2046		378		340
0.434% due 09/25/2046		61		56
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		10,984		8,089
0.409% due 09/15/2021		2,656		1,914
5.418% due 01/15/2045		320		256
5.617% due 05/15/2046		2,700		2,347
WaMu Mortgage Pass-Through Certificates
0.574% due 11/25/2045		9,749		4,730
0.604% due 07/25/2045		97		44
0.604% due 10/25/2045		163		85
0.654% due 01/25/2045		4,021		1,855
0.712% due 10/25/2044		1,368		707
0.854% due 12/25/2027		643		481
2.139% due 03/25/2047		17,226		7,034
2.160% due 12/25/2046		7,634		2,615
2.540% due 11/25/2042		4		3
2.740% due 06/25/2042		524		381
2.877% due 02/27/2034		2,791		2,288
3.127% due 07/25/2046		61		26
3.711% due 03/25/2034		528		443
3.766% due 03/25/2033		151		122
4.585% due 04/25/2035		1,859		1,841
4.639% due 03/25/2035		662		511
4.913% due 08/25/2035		6,886		5,926
5.092% due 12/25/2035		1,603		1,218
5.293% due 01/25/2037		5,678		3,321
5.468% due 04/25/2037		4,000		2,399
5.575% due 12/25/2036		3,609		2,327
5.632% due 05/25/2037		8,754		5,664
5.687% due 02/25/2037		10,718		5,996
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.310% due 05/25/2046		4,009		1,704
Total Mortgage-Backed Securities (Cost $545,320)				436,411
ASSET-BACKED SECURITIES 4.3%
ACE Securities Corp.
0.394% due 10/25/2036		44		42
American Express Credit Account Master Trust
1.269% due 08/15/2012		11,600		11,629
Argent Securities, Inc.
0.364% due 10/25/2036		106		104
Asset-Backed Funding Certificates
0.664% due 06/25/2034		1,967		966
BA Credit Card Trust
0.899% due 04/15/2013		16,030		15,910
1.519% due 12/16/2013		13,700		13,671
Bear Stearns Asset-Backed Securities Trust
0.424% due 11/25/2036		1,349		791
0.644% due 01/25/2036		466		426
0.764% due 03/25/2043		72		66
1.314% due 10/25/2037		1,916		1,033
1.564% due 08/25/2037		3,796		2,013
Bravo Mortgage Asset Trust
0.444% due 07/25/2036		65		64
Capital Auto Receivables Asset Trust
1.239% due 03/15/2011		510		511
Carrington Mortgage Loan Trust
0.364% due 01/25/2037		823		685
Chase Issuance Trust
0.339% due 03/15/2013		10,400		10,223
0.359% due 02/15/2013		250		246
0.569% due 09/15/2011		1,600		1,600
0.969% due 11/15/2011		2,300		2,302
2.129% due 09/15/2015		14,000		14,005
Countrywide Asset-Backed Certificates
0.364% due 12/25/2046		36		35
0.364% due 06/25/2047		494		458
CS First Boston Mortgage Securities Corp.
0.564% due 01/25/2043		7		7
Daimler Chrysler Auto Trust
4.980% due 02/08/2011		3,640		3,679
Denver Arena Trust
6.940% due 11/15/2019		604		533
Equity One Asset-Backed Securities, Inc.
0.614% due 04/25/2034		162		62
First Franklin Mortgage Loan Asset-Backed Certificates
0.364% due 12/25/2036		21		21
Ford Credit Auto Owner Trust
1.219% due 01/15/2011		1,864		1,866
1.739% due 06/15/2012		142,700		143,207
Fremont Home Loan Trust
0.364% due 10/25/2036		1,176		735
Indymac Residential Asset-Backed Trust
0.444% due 04/25/2047		2,055		1,746
JPMorgan Mortgage Acquisition Corp.
0.374% due 05/25/2037		959		783
0.394% due 03/25/2037		1,267		1,006
Lehman XS Trust
0.394% due 11/25/2046		29		24
MASTR Asset-Backed Securities Trust
0.374% due 11/25/2036		332		308
MBNA Credit Card Master Note Trust
0.419% due 12/15/2011		3,100		3,100
Merrill Lynch Mortgage Investors, Inc.
0.364% due 05/25/2037		62		61
0.394% due 09/25/2037		306		263
0.434% due 02/25/2037		501		263
Morgan Stanley ABS Capital I
1.114% due 07/25/2037		1,492		1,069
Morgan Stanley Mortgage Loan Trust
5.750% due 04/25/2037		1,041		689
6.000% due 07/25/2047		650		433
Nomura Asset Acceptance Corp.
0.454% due 01/25/2036		3		3
Park Place Securities, Inc.
0.626% due 10/25/2034		398		297
Popular ABS Mortgage Pass-Through Trust
0.404% due 06/25/2047		53		42
Renaissance Home Equity Loan Trust
0.814% due 12/25/2033		1,445		690
SACO I, Inc.
0.374% due 05/25/2036		1,464		845
Securitized Asset-Backed Receivables LLC Trust
0.444% due 05/25/2037		2,376		1,483
SLM Student Loan Trust
1.092% due 01/25/2018		55		55
2.592% due 04/25/2023		316,667		323,373
Specialty Underwriting & Residential Finance
0.359% due 11/25/2037		277		268
0.374% due 01/25/2038		372		306
Structured Asset Securities Corp.
0.604% due 01/25/2033		13		9
USAA Auto Owner Trust
4.160% due 04/16/2012		1,700		1,733
WaMu Asset-Backed Certificates
0.364% due 01/25/2037		728		521
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		96		95
0.564% due 12/25/2035		169		157
Total Asset-Backed Securities (Cost $566,185)				566,512
SOVEREIGN ISSUES 0.1%
Export-Import Bank of Korea
1.386% due 10/04/2011		17,150		17,195
Total Sovereign Issues (Cost $17,139)				17,195
FOREIGN CURRENCY-DENOMINATED ISSUES 4.1%
American International Group, Inc.
8.625% due 05/22/2038	GBP	5,600		2,211
Barclays Bank PLC
14.000% due 11/29/2049		8,000		15,103
Brazil Government International Bond
10.250% due 01/10/2028	BRL	10,000		5,052
Brazil Notas do Tesouro Nacional Series B
6.000% due 08/15/2010		5,400		5,104
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012		52,819		26,384
General Electric Capital Corp.
4.625% due 09/15/2066	EUR	4,450		3,635
5.500% due 09/15/2066	GBP	12,450		12,290
5.500% due 09/15/2067	EUR	500		407
6.500% due 09/15/2067	GBP	30,600		31,465
Green Valley Ltd.
5.045% due 01/10/2011	EUR	5,100		6,924
Japan Government CPI Linked Bond
0.800% due 12/10/2015	JPY	191,520		1,753
1.100% due 12/10/2016		10,691,980		98,025
1.200% due 06/10/2017		14,376,420		130,688
1.200% due 12/10/2017		12,901,400		116,706
1.400% due 06/10/2018		7,422,570		67,338
Lehman Brothers Holdings, Inc.
1.150% due 10/26/2010 (a)		1,600,000		1,370
Merrill Lynch & Co., Inc.
1.855% due 07/22/2014	EUR	5,000		5,452
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049		5,000		2,420
Silver Arrow S.A.
0.915% due 08/15/2014		2,545		3,555
Total Foreign Currency-Denominated Issues (Cost $576,085)				535,882
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.1%
American International Group, Inc.
8.500% due 08/01/2011		157,000		1,495
Wells Fargo & Co.
7.500% due 12/31/2049		8,900		6,986
Total Convertible Preferred Stocks (Cost $20,675)				8,481
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 1.2%
CERTIFICATES OF DEPOSIT 0.0%
UBS AG
1.547% due 07/01/2010	$	6,200		6,199
REPURCHASE AGREEMENTS 0.2%
Credit Suisse Securities (USA) LLC
0.070% due 07/01/2009		20,000		20,000
(Dated 06/30/2009. Collateralized by Fannie Mae 6.000% due 05/15/2011 valued at $20,492. Repurchase proceeds are $20,000.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		4,064		4,064
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $4,149. Repurchase proceeds are $4,064.)
				24,064
U.S. TREASURY BILLS 0.2%
0.123% due 07/02/2009 - 07/30/2009 (b)(e)(f)(h)		28,085		28,083
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 0.8%
		10,144,825		101,540
Total Short-Term Instruments (Cost $159,887)				159,886
Total Investments 146.3% (Cost $19,218,173)			$	19,352,637
Written Options (j) (0.1%) (Premiums $22,133)				(18,693	)
Other Assets and Liabilities (Net) (46.2%)				(6,104,355	)
Net Assets 100.0%			$	13,229,589

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $7,224 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) Securities with an aggregate market value of $9,589 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(g) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $3,427,514 at a weighted average interest rate of 0.414%. On June 30, 2009, securities valued at $3,283,539 were pledged as collateral for reverse repurchase agreements.

(h) Securities with an aggregate market value of $26,918 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2010	795	$	(269	)
90-Day Euribor June Futures	Long	06/2010	636		357
90-Day Euribor September Futures	Long	09/2010	857		(53	)
90-Day Eurodollar December Futures	Long	12/2009	545		(16	)
90-Day Eurodollar March Futures	Long	03/2010	41		118
90-Day Eurodollar March Futures	Long	03/2011	9		(11	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	120		787
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	2,563		(801	)
				$	112

(i) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/(Received)		Unrealized Appreciation/ (Depreciation)
American General Finance Corp.	RBS	(1.820	%)	12/20/2017	12.008	%	$	5,000	$	1,966		$	0	$	1,966
American Standard, Inc.	BOA	(0.660	%)	06/20/2015	0.700	%		6,000		12			0		12
AutoZone, Inc.	BOA	(1.070	%)	03/20/2014	0.564	%		5,000		(114	)		0		(114	)
Brookfield Asset Management, Inc.	UBS	(2.180	%)	06/20/2017	4.427	%		7,500		916			0		916
Burlington Northern Santa Fe Corp.	BCLY	(0.720	%)	06/20/2017	0.512	%		2,500		(37	)		0		(37	)
Cardinal Health, Inc.	DUB	(0.740	%)	06/20/2017	0.486	%		6,195		(111	)		0		(111	)
CenturyTel, Inc.	BCLY	(1.850	%)	06/20/2017	0.915	%		10,803		(694	)		0		(694	)
Computer Sciences Corp.	BCLY	(0.870	%)	03/20/2018	0.573	%		2,500		(56	)		0		(56	)
Constellation Energy Group, Inc.	JPM	(0.960	%)	06/20/2015	1.799	%		2,200		94			0		94
Con-way, Inc.	BOA	(1.834	%)	03/20/2018	2.227	%		10,000		256			0		256
CSX Corp.	CSFB	(1.050	%)	03/20/2018	0.775	%		5,000		(102	)		0		(102	)
DISH DBS Corp.	BCLY	(3.100	%)	12/20/2011	2.667	%		1,000		(11	)		0		(11	)
DISH DBS Corp.	GSC	(3.200	%)	12/20/2011	2.667	%		1,000		(13	)		0		(13	)
Erac USA Finance Co.	GSC	(2.700	%)	12/20/2017	2.386	%		5,000		(104	)		0		(104	)
FirstEnergy Corp.	CSFB	(0.500	%)	12/20/2011	1.861	%		2,500		80			0		80
HCP, Inc.	JPM	(2.830	%)	09/20/2016	3.428	%		2,000		63			0		63
HCP, Inc.	MSC	(2.260	%)	03/20/2018	3.339	%		5,000		328			0		328
H.J. Heinz Co.	JPM	(0.530	%)	09/20/2013	0.404	%		5,000		(26	)		0		(26	)
Home Depot, Inc.	GSC	(1.920	%)	03/20/2016	0.918	%		2,500		(150	)		0		(150	)
Hospira, Inc.	MSC	(1.030	%)	06/20/2014	0.723	%		2,500		(36	)		0		(36	)
International Lease Finance Corp.	BNP	(1.600	%)	12/20/2013	9.030	%		2,500		581			0		581
International Lease Finance Corp.	DUB	(1.600	%)	12/20/2013	9.030	%		4,100		953			0		953
International Lease Finance Corp.	JPM	(1.530	%)	12/20/2013	9.030	%		3,900		915			0		915
Kroger Co.	BOA	(0.900	%)	09/20/2017	0.821	%		5,000		(29	)		0		(29	)
Lafarge S.A.	BOA	(1.690	%)	09/20/2016	2.647	%		5,000		269			0		269
Ltd. Brands, Inc.	BCLY	(4.910	%)	09/20/2017	2.573	%		1,200		(178	)		0		(178	)
Ltd. Brands, Inc.	MSC	(3.113	%)	09/20/2017	2.573	%		2,000		(69	)		0		(69	)
Macy’s Retail Holdings, Inc.	BOA	(2.430	%)	03/20/2013	3.976	%		2,000		98			0		98
Macy’s Retail Holdings, Inc.	DUB	(6.950	%)	09/20/2015	3.592	%		3,000		(490	)		0		(490	)
Macy’s Retail Holdings, Inc.	DUB	(2.100	%)	09/20/2017	3.696	%		1,000		93			0		93
Macy’s Retail Holdings, Inc.	DUB	(2.110	%)	09/20/2017	3.432	%		2,000		154			0		154
Macy’s Retail Holdings, Inc.	JPM	(2.000	%)	03/20/2012	4.204	%		3,000		161			0		161
Macy’s Retail Holdings, Inc.	MSC	(2.470	%)	09/20/2015	3.846	%		10,000		659			0		659
Marriott International, Inc.	DUB	(1.880	%)	12/20/2015	1.999	%		5,000		30			0		30
Marsh & McLennan Cos., Inc.	BOA	(1.180	%)	09/20/2015	0.552	%		2,500		(90	)		0		(90	)
Masco Corp.	CITI	(1.920	%)	03/20/2017	3.365	%		8,000		652			0		652
Mattel, Inc.	BOA	(2.450	%)	03/20/2013	0.520	%		20,000		(1,398	)		0		(1,398	)
Motorola, Inc.	DUB	(2.600	%)	12/20/2017	2.330	%		4,000		(73	)		0		(73	)
Nucor Corp.	CSFB	(0.486	%)	12/20/2017	0.576	%		4,000		26			0		26
Pearson Dollar Finance PLC	SOG	(0.900	%)	06/20/2013	0.467	%		1,500		(25	)		0		(25	)
Pearson Dollar Finance PLC	SOG	(1.040	%)	06/20/2018	0.560	%		3,500		(130	)		0		(130	)
Pearson Dollar Finance Two PLC	CITI	(0.570	%)	06/20/2013	0.467	%		1,500		(6	)		0		(6	)
Pearson Dollar Finance Two PLC	CITI	(0.690	%)	06/20/2018	0.560	%		3,500		(36	)		0		(36	)
Pearson Dollar Finance Two PLC	DUB	(0.720	%)	06/20/2018	0.560	%		11,000		(137	)		0		(137	)
PPG Industries, Inc.	BOA	(0.650	%)	03/20/2018	1.426	%		10,000		544			0		544
Qwest Capital Funding, Inc.	JPM	(3.250	%)	09/20/2009	5.644	%		12,000		55			0		55
Rexam PLC	BCLY	(1.450	%)	06/20/2013	2.041	%		10,600		224			0		224
Rexam PLC	CITI	(1.450	%)	06/20/2013	2.041	%		3,000		63			0		63
Reynolds American, Inc.	BCLY	(1.100	%)	06/20/2012	2.437	%		12,500		461			0		461
Reynolds American, Inc.	DUB	(1.020	%)	06/20/2013	2.411	%		10,000		496			0		496
Rohm & Haas Co.	DUB	(0.470	%)	03/20/2013	0.840	%		7,000		91			0		91
RPM International, Inc.	BOA	(1.030	%)	03/20/2018	1.943	%		8,550		527			0		527
Ryder System, Inc.	BOA	(0.850	%)	03/20/2013	2.291	%		1,100		54			0		54
Ryder System, Inc.	BOA	(1.550	%)	09/20/2015	2.231	%		9,000		315			0		315
SCA Finans AB	DUB	(0.810	%)	09/20/2015	1.096	%		6,000		93			0		93
Sealed Air Corp.	BCLY	(1.035	%)	09/20/2013	1.255	%		10,000		84			0		84
Sempra Energy	BOA	(0.580	%)	06/20/2018	0.947	%		3,000		81			0		81
Sempra Energy	DUB	(0.550	%)	06/20/2018	0.947	%		1,500		44			0		44
Spectra Energy Capital LLC	DUB	(0.750	%)	09/20/2014	0.575	%		10,000		(87	)		0		(87	)
Spectra Energy Capital LLC	DUB	(0.975	%)	06/20/2018	0.627	%		15,000		(401	)		0		(401	)
Starwood Hotels & Resorts Worldwide, Inc.	BOA	(2.370	%)	03/20/2013	3.858	%		3,000		143			0		143
Tate & Lyle International Finance PLC	BCLY	(1.150	%)	06/20/2016	1.520	%		3,500		76			0		76
Telecom Italia Capital S.A.	GSC	(1.550	%)	06/20/2018	1.962	%		3,200		91			0		91
Telecom Italia Capital S.A.	JPM	(1.530	%)	06/20/2018	1.962	%		7,500		223			0		223
Tyco Electronics Group S.A.	DUB	(0.950	%)	12/20/2017	2.072	%		4,000		296			0		296
Tyco International Finance S.A.	BOA	(0.750	%)	12/20/2013	1.285	%		4,760		105			0		105
Tyco International Finance S.A.	BOA	(1.120	%)	12/20/2019	1.119	%		12,000		(5	)		0		(5	)
Union Pacific Corp.	UBS	(0.810	%)	06/20/2017	0.603	%		5,000		(73	)		0		(73	)
Viacom, Inc.	BOA	(1.930	%)	06/20/2016	1.593	%		2,500		(51	)		0		(51	)
Viacom, Inc.	BOA	(1.110	%)	12/20/2017	1.556	%		4,000		120			0		120
Viacom, Inc.	DUB	(1.150	%)	06/20/2016	1.593	%		5,000		129			0		129
Whirlpool Corp.	GSC	(1.060	%)	06/20/2016	2.497	%		6,000		480			0		480
									$	8,369		$	0	$	8,369

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American International Group, Inc.	DUB	1.992	%	03/20/2013	16.024	%	$	10,000	$	(3,430	)	$	0		$	(3,430	)
Ford Motor Credit Co. LLC	BCLY	3.800	%	09/20/2012	10.284	%		2,500		(398	)		0			(398	)
Ford Motor Credit Co. LLC	JPM	3.850	%	09/20/2012	10.284	%		3,600		(569	)		0			(569	)
Ford Motor Credit Co. LLC	MSC	3.800	%	09/20/2012	10.284	%		4,600		(733	)		0			(733	)
Ford Motor Credit Co. LLC	UBS	2.560	%	06/20/2012	10.321	%		1,500		(270	)		0			(270	)
General Electric Capital Corp.	BCLY	1.010	%	03/20/2013	4.347	%		4,700		(501	)		0			(501	)
GMAC LLC	BOA	5.100	%	09/20/2012	10.203	%		5,000		(619	)		0			(619	)
GMAC LLC	GSC	3.400	%	06/20/2011	11.039	%		1,100		(139	)		0			(139	)
GMAC LLC	JPM	5.400	%	09/20/2012	10.203	%		2,300		(268	)		0			(268	)
GMAC LLC	JPM	5.450	%	09/20/2012	10.203	%		2,300		(265	)		0			(265	)
GMAC LLC	UBS	3.620	%	06/20/2011	11.039	%		5,000		(612	)		0			(612	)
Goldman Sachs Group, Inc.	CSFB	0.740	%	09/20/2012	1.683	%		4,400		(125	)		0			(125	)
Goldman Sachs Group, Inc.	RBS	0.780	%	09/20/2012	1.683	%		2,000		(54	)		0			(54	)
Wells Fargo & Co.	BCLY	1.000	%	03/20/2013	1.510	%		2,200		(39	)		(44	)		5
Wells Fargo & Co.	CITI	1.000	%	03/20/2013	1.510	%		200		(3	)		(4	)		1
Wells Fargo & Co.	DUB	1.000	%	09/20/2013	1.476	%		500		(10	)		(13	)		3
Wells Fargo & Co.	MSC	1.000	%	03/20/2013	1.510	%		2,000		(34	)		(46	)		12
									$	(8,069	)	$	(107	)	$	(7,962	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.IG-9 5-Year Index	MLP	(0.600	%)	12/20/2012	$	279,429	$	11,185	$	16,788	$	(5,603	)
CDX.IG-9 10-Year Index	BCLY	(0.800	%)	12/20/2017		154,598		8,721		1,473		7,248
CDX.IG-9 10-Year Index	BOA	(0.800	%)	12/20/2017		4,099		231		18		213
CDX.IG-9 10-Year Index	MSC	(0.800	%)	12/20/2017		50,362		2,841		1,004		1,837
CDX.IG-12 5-Year Index	DUB	(1.000	%)	06/20/2014		399,000		5,666		14,471		(8,805	)
CDX.IG-12 5-Year Index	GSC	(1.000	%)	06/20/2014		35,500		504		726		(222	)
CDX.IG-12 5-Year Index	MSC	(1.000	%)	06/20/2014		309,000		4,387		12,297		(7,910	)
							$	33,535	$	46,777	$	(13,242	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Receive	1-Month EUR-CPTFEMU Index	2.275	%	10/15/2016	UBS	EUR	33,900	$	355		$	0		$	355
Pay	1-Month EUR-FRCPXTOB Index	2.040	%	03/15/2010	BCLY		50,000		2,181			0			2,181
Pay	1-Month EUR-FRCPXTOB Index	2.103	%	09/14/2010	BNP		60,000		2,910			0			2,910
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP		52,200		2,522			(115	)		2,637
Pay	1-Month EUR-FRCPXTOB Index	2.103	%	10/15/2010	BCLY		8,800		493			(2	)		495
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		22,700		1,304			12			1,292
Pay	1-Month EUR-FRCPXTOB Index	2.040	%	02/21/2011	BNP		33,900		1,433			0			1,433
Pay	1-Month EUR-FRCPXTOB Index	2.100	%	03/13/2011	DUB		4,800		248			0			248
Pay	1-Month EUR-FRCPXTOB Index	2.028	%	10/15/2011	JPM		31,400		1,222			0			1,222
Pay	1-Month EUR-FRCPXTOB Index	2.095	%	10/15/2011	UBS		27,800		1,225			0			1,225
Pay	1-Month EUR-FRCPXTOB Index	1.988	%	12/15/2011	BNP		72,600		1,771			0			1,771
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS		2,500		44			0			44
Pay	1-Month EUR-FRCPXTOB Index	2.238	%	06/20/2012	BCLY		15,000		501			0			501
Pay	1-Month EUR-FRCPXTOB Index	2.098	%	09/28/2012	BNP		33,000		583			0			583
Pay	1-Month EUR-FRCPXTOB Index	2.150	%	01/19/2016	BNP		75,000		476			46			430
Pay	1-Month EUR-FRCPXTOB Index	2.350	%	10/15/2016	UBS		33,100		(1,057	)		0			(1,057	)
Pay	1-Month EUR-FRCPXTOB Index	2.353	%	10/15/2016	JPM		30,000		(979	)		0			(979	)
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS	BRL	163,000		2,085			482			1,603
Pay	1-Year BRL-CDI	10.115	%	01/02/2012	MSC		47,600		(1,049	)		(347	)		(702	)
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		190,500		(2,557	)		(38	)		(2,519	)
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MLP		231,000		3,607			(792	)		4,399
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		4,500		170			30			140
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		55,200		2,080			237			1,843
Pay	3-Month USD-LIBOR	4.000	%	12/17/2013	DUB	$	24,000		1,266			845			421
Pay	3-Month USD-LIBOR	4.000	%	06/17/2014	DUB		31,100		1,566			933			633
Pay	3-Month USD-LIBOR	4.000	%	06/17/2014	RBS		195,900		9,864			5,740			4,124
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	CITI		6,500		200			123			77
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	JPM		57,100		1,757			451			1,306
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	RBS		280,300		8,626			375			8,251
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	DUB		8,400		52			0			52
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2011	GSC	EUR	36,100		2,747			(76	)		2,823
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	DUB	GBP	10,800		763			182			581
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	BCLY		5,500		620			(137	)		757
Pay	GBP-UKRPI Index	3.100	%	11/14/2016	BCLY		40,000		1,073			0			1,073
Pay	GBP-UKRPI Index	3.250	%	12/14/2017	BCLY		3,000		137			12			125
Pay	GBP-UKRPI Index	3.183	%	12/19/2017	RBS		11,900		339			23			316
Pay	GBP-UKRPI Index	3.110	%	01/03/2018	GSC		34,800		686			0			686
Pay	GBP-UKRPI Index	3.381	%	06/14/2027	RBS		13,600		(768	)		0			(768	)
Pay	GBP-UKRPI Index	3.440	%	09/10/2027	RBS		17,000		(698	)		0			(698	)
Pay	GBP-UKRPI Index	3.425	%	10/17/2027	BCLY		5,250		(242	)		0			(242	)
								$	47,556		$	7,984		$	39,572

(j) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	120.000	08/21/2009	3,978	$	1,470	$	1,643
Put - CBOT U.S. Treasury 10-Year Note September Futures		110.000	08/21/2009	3,978		2,694		887
Put - CME 90-Day Eurodollar September Futures		98.500	09/14/2009	679		191		30
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	940		179		48
					$	4,534	$	2,608

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009	$	399,200	$	3,393	$	2,218
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009		69,800		1,237		1,697
Put - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		69,800		1,576		1,271
Call - OTC 7-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Receive	2.950	%	08/21/2009		22,000		158		126
Put - OTC 7-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		22,000		109		114
Call - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009		88,300		1,236		2,147
Put - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		88,300		2,490		1,607
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.950	%	12/15/2009		60,300		207		174
Put - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		66,000		2,122		1,189
Put - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	1.750	%	08/21/2009		2,400		5		9
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		41,300		371		230
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009		32,600		522		793
Put - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		32,600		769		593
Put - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	2.950	%	12/15/2009		46,700		159		135
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		210,000		3,245		3,782
									$	17,599	$	16,085

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value(6)
Fannie Mae	5.000	%	07/01/2039	$	40,300	$	40,385	$	41,012
Fannie Mae	5.500	%	07/01/2039		1,187,450		1,213,015		1,225,485
Fannie Mae	6.000	%	07/01/2039		387,400		402,903		404,894
Fannie Mae	6.500	%	07/01/2039		14,100		15,008		15,014
Fannie Mae	6.500	%	08/01/2039		30,800		32,687		32,658
Freddie Mac	4.500	%	07/01/2024		200		201		204
Freddie Mac	5.500	%	07/01/2039		34,000		35,102		35,089
Treasury Inflation Protected Securities	1.750	%	01/15/2028		48,699		41,413		46,377
Treasury Inflation Protected Securities	1.875	%	07/15/2013		1,162		1,189		1,196
Treasury Inflation Protected Securities	2.125	%	01/15/2019		21,879		23,025		22,576
						$	1,804,928	$	1,824,505

⁽⁶⁾ Market value includes $422 of interest payable on short sales.

(l) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	DUB	34,632	07/2009	$	0	$	(318	)	$	(318	)
Buy		GSC	37,420	07/2009		702		0			702
Sell	BRL	HSBC	103,948	08/2009		0		(3,567	)		(3,567	)
Buy	CAD	JPM	617	08/2009		0		(33	)		(33	)
Sell	CHF	JPM	10,850	07/2009		183		0			183
Sell		RBC	10,850	10/2009		47		0			47
Buy	CNY	BCLY	51,344	07/2009		0		(483	)		(483	)
Sell		BCLY	114,280	07/2009		2		(5	)		(3	)
Buy		DUB	138,073	07/2009		0		(1,210	)		(1,210	)
Sell		DUB	149,962	07/2009		33		(5	)		28
Buy		HSBC	74,825	07/2009		0		(506	)		(506	)
Buy		BCLY	259,376	09/2009		3		(351	)		(348	)
Buy		CITI	52,053	09/2009		76		0			76
Buy		DUB	52,192	09/2009		4		0			4
Sell		DUB	27,440	09/2009		0		(100	)		(100	)
Buy		HSBC	197,458	09/2009		0		(311	)		(311	)
Sell		JPM	20,823	09/2009		0		(71	)		(71	)
Buy		BCLY	53,069	03/2010		0		(16	)		(16	)
Sell		BCLY	416	03/2010		0		0			0
Sell		BOA	3,591	03/2010		0		0			0
Sell		CITI	2,954	03/2010		2		0			2
Buy		DUB	96,988	03/2010		0		(77	)		(77	)
Sell		DUB	1,978	03/2010		2		0			2
Sell		HSBC	2,842	03/2010		1		0			1
Sell		JPM	27	03/2010		0		0			0
Sell	EUR	BCLY	38,588	07/2009		0		(290	)		(290	)
Sell	GBP	BCLY	8,943	07/2009		0		(251	)		(251	)
Sell		CITI	36,290	07/2009		0		(3,555	)		(3,555	)
Sell		GSC	758	07/2009		0		(31	)		(31	)
Buy		RBS	3,610	07/2009		266		0			266
Sell		MSC	42,381	08/2009		290		0			290
Sell	JPY	BNP	27,388,392	07/2009		0		(314	)		(314	)
Sell		CSFB	176,577	07/2009		0		(37	)		(37	)
Sell		JPM	27,564,969	08/2009		686		0			686
Sell	MXN	CITI	11,642	11/2009		0		(85	)		(85	)
Buy		JPM	2,368	11/2009		14		0			14
Sell	MYR	BCLY	635	08/2009		0		(1	)		(1	)
Buy	NZD	GSC	4,842	07/2009		133		0			133
Sell	PHP	CITI	31,152	08/2009		2		(2	)		0
Sell	SEK	RBS	4,114	07/2009		25		0			25
Sell		RBS	4,114	10/2009		0		0			0
Sell	SGD	CITI	8,664	07/2009		0		(173	)		(173	)
Buy		HSBC	8,664	07/2009		0		(10	)		(10	)
					$	2,471	$	(11,802	)	$	(9,331	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	2,274,970		$	54,603	$	2,329,573
U.S. Government Agencies		0		2,305,161			65		2,305,226
U.S. Treasury Obligations		0		12,870,278			0		12,870,278
Other Investments++		110,020		1,737,540			0		1,847,560
Investments, at value	$	110,020	$	19,187,949		$	54,668	$	19,352,637
Short Sales, at value	$	0	$	(1,824,505	)	$	0	$	(1,824,505	)
Financial Derivative Instruments+++	$	112	$	(15,778	)	$	14,491	$	(1,175	)
Total	$	110,132	$	17,347,666		$	69,159	$	17,526,957

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	7,138		$	37	$	0	$	579		$	46,849		$	54,603
U.S. Government Agencies		66		(1	)		0		0		0			0			65
Investments, at value	$	66	$	7,137		$	37	$	0	$	579		$	46,849		$	54,668
Financial Derivative Instruments+++	$	22,424	$	0		$	0	$	0	$	(2,361	)	$	(5,572	)	$	14,491
Total	$	22,490	$	7,137		$	37	$	0	$	(1,782	)	$	41,277		$	69,159

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

RealEstateRealReturn Strategy Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 18.0%
BANKING & FINANCE 16.5%
American Express Bank FSB
5.500% due 04/16/2013	$	600	$	590
American Express Centurion Bank
6.000% due 09/13/2017		300		274
American Express Co.
7.000% due 03/19/2018		670		652
American Honda Finance Corp.
1.359% due 06/20/2011		2,300		2,221
American International Group, Inc.
5.850% due 01/16/2018		200		106
8.175% due 05/15/2058		1,100		314
8.250% due 08/15/2018		1,000		589
ANZ National International Ltd.
6.200% due 07/19/2013		1,800		1,856
Bank of Scotland PLC
0.689% due 12/08/2010		2,500		2,382
Barclays Bank PLC
6.050% due 12/04/2017		300		261
7.434% due 09/29/2049		100		67
10.179% due 06/12/2021		1,280		1,368
Bear Stearns Cos. LLC
1.269% due 01/31/2011		2,380		2,354
C10 Capital SPV Ltd.
6.722% due 12/31/2049		100		51
Caterpillar Financial Services Corp.
1.354% due 06/24/2011		1,400		1,384
Danske Bank A/S
5.914% due 12/29/2049		3,000		1,862
Dexia Credit Local
1.262% due 09/23/2011		300		298
GATX Financial Corp.
5.800% due 03/01/2016		1,000		842
Goldman Sachs Group, Inc.
6.150% due 04/01/2018		900		878
HBOS PLC
6.750% due 05/21/2018		1,000		756
LeasePlan Corp. NV
3.000% due 05/07/2012		400		402
Lehman Brothers Holdings, Inc.
6.200% due 09/26/2014 (a)		100		15
6.875% due 05/02/2018 (a)		900		149
7.500% due 05/11/2038 (a)		5,000		1
Merna Reinsurance Ltd.
1.248% due 07/07/2010		300		279
Metropolitan Life Global Funding I
1.358% due 06/25/2010		1,600		1,595
5.125% due 04/10/2013		500		509
Morgan Stanley
1.357% due 01/18/2011		1,000		969
1.557% due 10/18/2016		1,000		810
National Rural Utilities Cooperative Finance Corp.
1.982% due 07/01/2010		1,000		1,001
New York Life Global Funding
4.650% due 05/09/2013		1,400		1,422
Pacific Life Global Funding
5.150% due 04/15/2013		400		399
Pricoa Global Funding I
1.446% due 06/04/2010		2,000		1,983
Residential Reinsurance 2007 Ltd.
7.918% due 06/07/2010		400		384
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		300		222
Simon Property Group LP
6.125% due 05/30/2018		1,400		1,304
TransCapitalInvest Ltd. for OJSC AK Transneft
7.700% due 08/07/2013		1,500		1,445
Vita Capital III Ltd.
2.328% due 01/01/2012		300		260
Wachovia Bank N.A.
0.726% due 12/02/2010		300		296
Wells Fargo & Co.
4.375% due 01/31/2013		200		202
Wells Fargo Capital XIII
7.700% due 12/29/2049		700		581
				33,333
INDUSTRIALS 1.3%
Canadian Natural Resources Ltd.
6.000% due 08/15/2016		100		103
DISH DBS Corp.
7.000% due 10/01/2013		600		573
Gaz Capital S.A.
7.343% due 04/11/2013		200		194
8.146% due 04/11/2018		300		275
Hewlett-Packard Co.
2.250% due 05/27/2011		800		803
Rockies Express Pipeline LLC
4.500% due 08/20/2009		600		600
				2,548
UTILITIES 0.2%
Constellation Energy Group, Inc.
4.550% due 06/15/2015		100		87
NGPL PipeCo. LLC
6.514% due 12/15/2012		300		314
				401
Total Corporate Bonds & Notes (Cost $44,224)				36,282
MUNICIPAL BONDS & NOTES 0.4%
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		100		57
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2023		390		354
6.125% due 06/01/2032		400		329
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		100		67
Total Municipal Bonds & Notes (Cost $889)				807
U.S. GOVERNMENT AGENCIES 29.1%
Fannie Mae
2.638% due 09/01/2044 - 10/01/2044		136		134
5.000% due 02/01/2038 (e)		1,423		1,453
5.500% due 09/01/2036 - 07/01/2039		15,124		15,611
6.000% due 10/01/2035 - 07/01/2039		14,674		15,352
6.000% due 10/01/2037 (e)		1,835		1,921
Freddie Mac
0.702% due 03/09/2011 (e)		485		487
0.926% due 05/04/2011 (e)		453		454
1.268% due 04/01/2011 (e)		513		515
4.500% due 05/15/2017		39		40
5.000% due 12/14/2018		1,100		1,046
5.500% due 02/01/2038 (i)		91		93
5.500% due 09/01/2038 - 11/01/2038		1,071		1,107
6.000% due 08/01/2036 (e)		3,800		3,976
6.000% due 07/01/2039		6,800		7,099
6.595% due 10/01/2036 (i)		1,004		1,051
6.656% due 09/01/2036		863		905
6.701% due 07/01/2036		829		866
Ginnie Mae
6.000% due 08/15/2034 - 07/01/2039		6,378		6,650
Total U.S. Government Agencies (Cost $58,111)				58,760
U.S. TREASURY OBLIGATIONS 129.6%
Treasury Inflation Protected Securities (c)
1.625% due 01/15/2015		2,568		2,556
1.625% due 01/15/2018		2,341		2,316
1.750% due 01/15/2028 (e)		8,855		8,357
1.875% due 07/15/2015		26,649		26,932
2.000% due 01/15/2026		5,909		5,781
2.000% due 07/15/2014 (h)		53,165		54,394
2.125% due 01/15/2019		496		512
2.375% due 01/15/2027		12,688		13,124
2.375% due 01/15/2025 (h)		19,569		20,095
2.500% due 07/15/2016		17,843		18,719
2.500% due 01/15/2029		596		632
2.625% due 07/15/2017 (h)		36,110		38,446
3.000% due 07/15/2012		474		503
3.500% due 01/15/2011		5,023		5,246
3.625% due 04/15/2028 (h)		25,707		31,266
3.875% due 04/15/2029 (h)		25,941		32,831
Total U.S. Treasury Obligations (Cost $250,379)				261,710
MORTGAGE-BACKED SECURITIES 4.4%
American Home Mortgage Assets
2.260% due 11/25/2046		1,366		627
Banc of America Commercial Mortgage, Inc.
5.492% due 02/10/2051		210		148
BCAP LLC Trust
0.484% due 01/25/2037		567		217
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		69		60
2.500% due 08/25/2035		61		54
2.900% due 03/25/2035		188		162
4.550% due 08/25/2035		110		97
4.828% due 01/25/2035		684		576
Citigroup Commercial Mortgage Trust
5.888% due 12/10/2049		91		72
Citigroup Mortgage Loan Trust, Inc.
2.850% due 12/25/2035		45		37
4.248% due 08/25/2035		122		97
4.685% due 03/25/2034		637		549
4.748% due 08/25/2035		69		55
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.886% due 11/15/2044		100		80
Countrywide Home Loan Mortgage Pass-Through Trust
0.654% due 06/25/2035		425		309
Credit Suisse Mortgage Capital Certificates
5.467% due 09/15/2039		200		141
GSR Mortgage Loan Trust
4.469% due 09/25/2035		993		836
JPMorgan Chase Commercial Mortgage Securities Corp.
5.429% due 12/12/2043		210		170
LB-UBS Commercial Mortgage Trust
5.424% due 02/15/2040		210		153
Merrill Lynch Countrywide Commercial Mortgage Trust
5.700% due 09/12/2049		100		69
MLCC Mortgage Investors, Inc.
4.250% due 10/25/2035		411		332
Morgan Stanley Capital I
6.076% due 06/11/2049		330		249
Residential Accredit Loans, Inc.
0.494% due 06/25/2046		629		242
0.564% due 08/25/2037		4,680		1,862
Residential Asset Securitization Trust
0.714% due 01/25/2046		892		409
6.500% due 08/25/2036		1,000		479
Structured Adjustable Rate Mortgage Loan Trust
6.000% due 03/25/2036		1,247		635
Wachovia Bank Commercial Mortgage Trust
5.418% due 01/15/2045		210		168
Total Mortgage-Backed Securities (Cost $11,652)				8,885
ASSET-BACKED SECURITIES 0.9%
MBNA Credit Card Master Note Trust
0.359% due 05/15/2013		1,900		1,869
Total Asset-Backed Securities (Cost $1,773)				1,869
FOREIGN CURRENCY-DENOMINATED ISSUES 2.5%
General Electric Capital Corp.
6.500% due 09/15/2067	GBP	300		308
Japan Government CPI Linked Bond
0.800% due 12/10/2015	JPY	30,240		277
1.100% due 12/10/2016		110,330		1,012
1.400% due 06/10/2018		369,630		3,353
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049	EUR	100		48
Total Foreign Currency-Denominated Issues (Cost $5,350)				4,998
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.1%
Wells Fargo & Co.
7.500% due 12/31/2049		300		235
Total Convertible Preferred Stocks (Cost $300)				235
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 22.8%
REPURCHASE AGREEMENTS 14.1%
JPMorgan Chase Bank N.A.
0.180% due 07/08/2009	$	28,170		28,170
(Dated 06/23/2009. Collateralized by U.S. Treasury Inflation Protected Securities 3.625% due 04/15/2028 valued at $29,015. Repurchase proceeds are $28,170.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		362		362
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/20/2009 valued at $370. Repurchase proceeds are $362.)
				28,532
U.S. TREASURY BILLS 3.7%
0.126% due 07/02/2009 - 07/30/2009 (b)(e)(f)(g)(i)		7,371		7,371
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 5.0%
		1,002,107		10,030
Total Short-Term Instruments (Cost $45,934)				45,933
PURCHASED OPTIONS (k) 0.0% (Cost $1)				0
Total Investments 207.8% (Cost $418,613)			$	419,479
Written Options (l) (0.3%) (Premiums $626)				(609	)
Other Assets and Liabilities (Net) (107.5%)				(216,998	)
Net Assets 100.0%			$	201,872

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $8,909 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) Securities with an aggregate market value of $1,779 have been pledged as collateral for delayed-delivery securities on June 30, 2009.

(g) Securities with an aggregate market value of $20 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(h) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $172,884 at a weighted average interest rate of 0.427%. On June 30, 2009, securities valued at $159,308 were pledged as collateral for reverse repurchase agreements.

(i) Securities with an aggregate market value of $615 and cash of $35 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2010	30	$	(15	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	8		6
				$	(9	)

(j) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Constellation Energy Group, Inc.	JPM	(0.960	%)	06/20/2015	1.799	%	$	100	$	4		$	0	$	4
DISH DBS Corp.	BOA	(3.650	%)	12/20/2013	3.465	%		600		(5	)		0		(5	)
GATX Financial Corp.	CITI	(1.070	%)	03/20/2016	2.318	%		1,000		68			0		68
Simon Property Group LP	DUB	(0.947	%)	06/20/2018	2.178	%		1,400		117			0		117
									$	184		$	0	$	184

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Ford Motor Credit Co. LLC	JPM	3.850	%	09/20/2012	10.284	%	$	100	$	(16	)	$	0	$	(16	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.IG-9 5-Year Index	MLP	(0.600	%)	12/20/2012	$	7,027	$	281	$	421	$	(140	)
CDX.IG-9 10-Year Index	BCLY	(0.800	%)	12/20/2017		879		49		12		37
CDX.IG-9 10-Year Index	BOA	(0.800	%)	12/20/2017		586		33		2		31
CDX.IG-9 10-Year Index	MSC	(0.800	%)	12/20/2017		5,758		325		115		210
CDX.IG-12 5-Year Index	DUB	(1.000	%)	06/20/2014		4,900		70		203		(133	)
							$	758	$	753	$	5

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Receive	1-Month EUR-CPTFEMU Index	2.275	%	10/15/2016	UBS	EUR	500	$	5		$	0		$	5
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP		5,600		270			(10	)		280
Pay	1-Month EUR-FRCPXTOB Index	2.103	%	10/15/2010	BCLY		1,400		78			(4	)		82
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		1,500		86			0			86
Pay	1-Month EUR-FRCPXTOB Index	2.138	%	01/19/2016	BCLY		2,000		12			0			12
Pay	1-Month EUR-FRCPXTOB Index	2.350	%	10/15/2016	UBS		500		(16	)		0			(16	)
Pay	1-Month EUR-FRCPXTOB Index	2.353	%	10/15/2016	JPM		500		(16	)		0			(16	)
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS	BRL	2,000		26			6			20
Pay	1-Year BRL-CDI	10.115	%	01/02/2012	MSC		1,700		(37	)		(24	)		(13	)
Pay	1-Year BRL-CDI	10.680	%	01/02/2012	BCLY		1,900		(22	)		(16	)		(6	)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		1,900		72			13			59
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		1,300		50			3			47
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	JPM	$	3,200		98			25			73
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	RBS		3,900		120			5			115
Pay	GBP-UKRPI Index	3.250	%	12/14/2017	BCLY	GBP	800		37			3			34
Pay	GBP-UKRPI Index	3.183	%	12/19/2017	RBS		1,000		28			1			27
Pay	GBP-UKRPI Index	3.440	%	09/10/2027	RBS		100		(4	)		0			(4	)
								$	787		$	2		$	785

Total Return Swaps on Indices

Pay/ Receive Total Return on Reference Index	Index	# of Shares or Units	Floating Rate(6)	Notional Amount		Maturity Date	Counterparty	Unrealized (Depreciation)
Receive	DWRTT Index	22,297	1-Month USD-LIBOR plus 1.060%	$	60,059	11/30/2009	BCLY	$	(2,118	)
Receive	DWRTT Index	1,374	1-Month USD-LIBOR less 0.150%		3,701	11/30/2009	JPM		(130	)
Receive	DWRTT Index	24,110	1-Month USD-LIBOR less 0.050%		64,940	02/26/2010	JPM		(2,283	)
Receive	DWRTT Index	5,945	1-Month USD-LIBOR plus 0.100%		16,013	10/30/2009	MLP		(565	)
Receive	DWRTT Index	23,381	1-Month USD-LIBOR less 0.300%		62,976	07/31/2009	UBS		(2,209	)
								$	(7,305	)

⁽⁶⁾ Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed.

(k) Purchased options outstanding on June 30, 2009:

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC Fannie Mae 6.000% due 07/01/2039	$	97.250	07/06/2009	$	10,000	$	1	$	0

(l) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	120.000	08/21/2009	54	$	20	$	22
Put - CBOT U.S. Treasury 10-Year Note September Futures		110.000	08/21/2009	54		36		12
Put - CME 90-Day Eurodollar September Futures		98.500	09/14/2009	7		2		1
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	22		4		1
					$	62	$	36

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009	$	7,200	$	125	$	175
Put - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		7,200		166		131
Call - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009		2,300		32		56
Put - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		2,300		65		42
Put - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		1,000		32		18
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009		1,800		29		44
Put - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		1,800		43		33
Put - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	2.950	%	12/15/2009		7,100		24		20
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		3,000		48		54
									$	564	$	573

(m) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value(7)
Fannie Mae	5.500	%	07/01/2039	$	16,000	$	16,345	$	16,513
Ginnie Mae	6.000	%	07/01/2039		7,000		7,219		7,294
Treasury Inflation Protected Securities	2.000	%	07/15/2014		50,487		49,382		52,140
Treasury Inflation Protected Securities	3.625	%	04/15/2028		9,890		11,942		12,105
						$	84,888	$	88,052

⁽⁷⁾ Market value includes $562 of interest payable on short sales.

(n) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	DUB	472	07/2009	$	0	$	(4	)	$	(4	)
Buy		GSC	550	07/2009		10		0			10
Sell	BRL	HSBC	202	08/2009		0		(10	)		(10	)
Buy	CNY	BCLY	1,062	07/2009		0		0			0
Sell		BCLY	668	07/2009		0		0			0
Buy		DUB	8,627	07/2009		0		(68	)		(68	)
Sell		DUB	15,156	07/2009		1		(39	)		(38	)
Buy		HSBC	9,533	07/2009		0		(64	)		(64	)
Sell		JPM	3,397	07/2009		0		0			0
Buy		BCLY	12,544	09/2009		0		(22	)		(22	)
Sell		BCLY	1,062	09/2009		0		0			0
Buy		CITI	1,861	09/2009		3		0			3
Sell		DUB	906	09/2009		0		0			0
Buy		HSBC	13,371	09/2009		0		(21	)		(21	)
Sell		JPM	21,012	09/2009		0		(75	)		(75	)
Buy		BCLY	802	03/2010		0		0			0
Buy		BOA	1,151	03/2010		0		0			0
Buy		CITI	948	03/2010		0		(1	)		(1	)
Buy		DUB	1,857	03/2010		0		(1	)		(1	)
Buy		HSBC	912	03/2010		0		0			0
Buy		JPM	8	03/2010		0		0			0
Sell	EUR	BCLY	464	07/2009		0		(4	)		(4	)
Sell	GBP	CITI	321	07/2009		0		(31	)		(31	)
Buy		MSC	321	07/2009		0		(2	)		(2	)
Sell		MSC	321	08/2009		2		0			2
Sell	JPY	BNP	334,000	07/2009		0		(4	)		(4	)
Sell		MSC	334,000	08/2009		0		0			0
Sell	MXN	CITI	338	11/2009		0		(3	)		(3	)
Buy	MYR	BCLY	167	08/2009		0		0			0
Buy	PHP	CITI	698	08/2009		0		0			0
Sell	SGD	CITI	579	07/2009		0		(12	)		(12	)
Buy		HSBC	579	07/2009		0		(1	)		(1	)
					$	16	$	(362	)	$	(346	)

(o) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0		$	34,251		$	2,031	$	36,282
U.S. Government Agencies		0			58,760			0		58,760
U.S. Treasury Obligations		0			261,710			0		261,710
Short-Term Instruments		10,030			35,903			0		45,933
Other Investments++		235			16,559			0		16,794
Investments, at value	$	10,265		$	407,183		$	2,031	$	419,479
Short Sales, at value	$	0		$	(88,052	)	$	0	$	(88,052	)
Financial Derivative Instruments+++	$	(9	)	$	(7,706	)	$	404	$	(7,311	)
Total	$	10,256		$	311,425		$	2,435	$	324,116

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Rrealized Gain/ (Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	1,283	$	0	$	0	$	84		$	664		$	2,031
Investments, at value	$	0	$	1,283	$	0	$	0	$	84		$	664		$	2,031
Financial Derivative Instruments+++	$	501	$	0	$	0	$	0	$	(11	)	$	(86	)	$	404
Total	$	501	$	1,283	$	0	$	0	$	73		$	578		$	2,435

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

RealRetirement^TM 2010 Fund

June 30, 2009 (Unaudited)

	SHARES		MARKET VALUE (000s)
PIMCO FUNDS (a)(b) 71.5%
CommodityRealReturn
Strategy Fund®		21,240	$	152
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)		53,187		439
Real Return Fund		55,886		577
RealEstateRealReturn Strategy Fund		81,135		233
Small Cap StocksPLUS® TR Fund		20,259		149
StocksPLUS® Fund		34,624		213
Total Return Fund		74,164		775
Total PIMCO Funds (Cost $3,303)				2,538
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 23.5%
REPURCHASE AGREEMENTS 3.7%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	132		132
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $135. Repurchase proceeds are $132.)
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (a) 19.8%
		69,952		700
Total Short-Term Instruments (Cost $832)				832
PURCHASED OPTIONS (d) 4.7% (Cost $85)				167
Total Investments 99.7% (Cost $4,220)			$	3,537
Other Assets and Liabilities (Net) 0.3%				10
Net Assets 100.0%			$	3,547

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) Affiliated to the Fund.

(b) Institutional Class Shares of each PIMCO Fund.

(c) Cash of $15 has been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
U.S. Treasury 30-Year Bond September Futures	Long	09/2009	3	$	3

(d) Purchased options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Market Value
Put - CBOE S&P 500 Index December Futures	$	600.000	12/19/2009	2	$	8	$	1

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC 10-Year Interest Rate Swap	BCLY	6-Month GBP-LIBOR	Receive	3.000	%	09/15/2028	GBP	1,000	$	35	$	69
Put - OTC 15-Year Interest Rate Swap	HSBC	6-Month GBP-LIBOR	Receive	3.455	%	09/15/2023		1,000		42		97
									$	77	$	166

(e) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	GBP	RBS	45	07/2009	$	0	$	(4	)	$	(4	)
Sell		RBS	45	08/2009		0		0			0
					$	0	$	(4	)	$	(4	)

(f) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
PIMCO Funds	$	2,538	$	0		$	0	$	2,538
Short-Term Instruments		700		132			0		832
Purchased Options		1		166			0		167
Investments, at value	$	3,239	$	298		$	0	$	3,537
Financial Derivative Instruments++	$	3	$	(4	)	$	0	$	(1	)
Total	$	3,242	$	294		$	0	$	3,536

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

See Accompanying Notes

Schedule of Investments

RealRetirement^TM 2020 Fund

June 30, 2009 (Unaudited)

	SHARES	MARKET VALUE (000s)
PIMCO FUNDS (a)(b) 67.8%
CommodityRealReturn Strategy Fund®	26,269	$	187
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)	61,260		505
Real Return Fund	42,459		439
RealEstateRealReturn Strategy Fund	83,617		240
Small Cap StocksPLUS® TR Fund	27,833		205
StocksPLUS® Fund	39,247		242
Total Return Fund	56,948		595
Total PIMCO Funds (Cost $3,254)			2,413
EXCHANGE-TRADED FUNDS 0.7%
iShares MSCI Emerging Markets Index Fund	774		25
Total Exchange-Traded Funds (Cost $35)			25
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 25.3%
U.S. TREASURY BILLS 2.8%
0.064% due 07/09/2009 $	100		101
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (a) 22.5%
	79,972		800
Total Short-Term Instruments (Cost $900)			901
PURCHASED OPTIONS (d) 4.7% (Cost $85)			167
Total Investments 98.5% (Cost $4,274)		$	3,506
Other Assets and Liabilities (Net) 1.5%			55
Net Assets 100.0%		$	3,561

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) Affiliated to the Fund.

(b) Institutional Class Shares of each PIMCO Fund.

(c) Cash of $21 has been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
U.S. Treasury 30-Year Bond September Futures	Long	09/2009	1	$	1

(d) Purchased options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Market Value
Put - CBOE S&P 500 Index December Futures	$	600.000	12/19/2009	2	$	8	$	1

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount	Cost		Market Value
Put - OTC 10-Year Interest Rate Swap	BCLY	6-Month GBP-LIBOR	Receive	3.000	%	09/15/2028	GBP 1,000	$	35	$	69
Put - OTC 15-Year Interest Rate Swap	HSBC	6-Month GBP-LIBOR	Receive	3.455	%	09/15/2023	1,000		42		97
								$	77	$	166

(e) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	GBP	RBS	45	07/2009	$	0	$	(4	)	$	(4	)
Sell		RBS	45	08/2009		0		0			0
					$	0	$	(4	)	$	(4	)

(f) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
PIMCO Funds	$	2,413	$	0		$	0	$	2,413
Short-Term Instruments		801		100			0		901
Other Investments++		26		166			0		192
Investments, at value	$	3,240	$	266		$	0	$	3,506
Financial Derivative Instruments+++	$	1	$	(4	)	$	0	$	(3	)
Total	$	3,241	$	262		$	0	$	3,503

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

RealRetirement^TM 2030 Fund

June 30, 2009 (Unaudited)

	SHARES		MARKET VALUE (000s)
PIMCO FUNDS (a)(b) 69.1%
CommodityRealReturn
Strategy Fund®		31,237	$	223
International
StocksPLUS® TR Strategy
Fund (U.S.
Dollar-Hedged)		61,632		509
Real Return Fund		14,492		150
RealEstateRealReturn
Strategy Fund		79,904		229
Small Cap StocksPLUS®
TR Fund		33,241		245
StocksPLUS® Fund		47,734		294
Total Return Fund		37,051		387
Total PIMCO Funds (Cost $2,907)				2,037
EXCHANGE-TRADED FUNDS 3.1%
iShares MSCI Emerging Markets Index Fund		2,817		91
Total Exchange-Traded Funds (Cost $127)				91
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 21.4%
REPURCHASE AGREEMENTS 4.5%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	132		132
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $135. Repurchase proceeds are $132.)
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (a) 16.9%
		49,978		500
Total Short-Term Instruments (Cost $632)				632
PURCHASED OPTIONS (d) 5.7% (Cost $85)				167
Total Investments 99.3% (Cost $3,751)			$	2,927
Other Assets and Liabilities (Net) 0.7%				20
Net Assets 100.0%			$	2,947

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) Affiliated to the Fund.

(b) Institutional Class Shares of each PIMCO Fund.

(c) Cash of $24 has been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
U.S. Treasury 30-Year Bond September Futures	Long	09/2009	4	$	4

(d) Purchased options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Market Value
Put -CBOE S&P 500 Index December Futures	$	600.000	12/19/2009	2	$	8	$	1

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC 10-Year Interest Rate Swap	BCLY	6-Month GBP-LIBOR	Receive	3.000	%	09/15/2028	GBP	1,000	$	35	$	69
Put - OTC 15-Year Interest Rate Swap	HSBC	6-Month GBP-LIBOR	Receive	3.455	%	09/15/2023		1,000		42		97
									$	77	$	166

(e) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	GBP	RBS	45	07/2009	$	0	$	(4	)	$	(4	)
Sell		RBS	45	08/2009		0		0			0
					$	0	$	(4	)	$	(4	)

(f) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
PIMCO Funds	$	2,037	$	0		$	0	$	2,037
Exchange-Traded Funds		91		0			0		91
Short-Term Instruments		500		132			0		632
Purchased Options		1		166			0		167
Investments, at value	$	2,629	$	298		$	0	$	2,927
Financial Derivative Instruments++	$	4	$	(4	)	$	0	$	0
Total	$	2,633	$	294		$	0	$	2,927

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

⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

RealRetirement^TM 2040 Fund

June 30, 2009 (Unaudited)

	SHARES		MARKET VALUE (000s)
PIMCO FUNDS (a)(b) 59.9%
CommodityRealReturn Strategy Fund®		29,172	$	208
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)		61,412		507
RealEstateRealReturn Strategy Fund		79,603		228
Small Cap StocksPLUS® TR Fund		46,142		340
StocksPLUS® Fund		61,143		377
Total Return Fund		7,318		76
Total PIMCO Funds (Cost $2,636)				1,736
ALLIANZ FUNDS (a)(c) 1.2%
Allianz NACM Emerging Markets Opportunities Fund		2,093		37
Total Allianz Funds (Cost $62)				37
EXCHANGE-TRADED FUNDS 7.2%
iShares MSCI Emerging Markets Index Fund		3,360		108
Vanguard Emerging Markets		3,114		99
Total Exchange-Traded Funds (Cost $297)				207
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 25.0%
REPURCHASE AGREEMENTS 4.3%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	124		124
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $130. Repurchase proceeds are $124.)
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (a) 20.7%
		59,961		600
Total Short-Term Instruments (Cost $724)				724
PURCHASED OPTIONS (e) 5.8% (Cost $85)				167
Total Investments 99.1% (Cost $3,804)			$	2,871
Other Assets and Liabilities (Net) 0.9%				25
Net Assets 100.0%			$	2,896

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) Affiliated to the Fund.

(b) Institutional Class Shares of each PIMCO Fund.

(c) Institutional Class Shares of each Allianz Fund.

(d) Cash of $18 has been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
U.S. Treasury 30-Year Bond September Futures	Long	09/2009	2	$	2

(e) Purchased options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Market Value
Put - CBOE S&P 500 Index December Futures	$	600.000	12/19/2009	2	$	8	$	1

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC 10-Year Interest Rate Swap	BCLY	6-Month GBP-LIBOR	Receive	3.000	%	09/15/2028	GBP	1,000	$	35	$	69
Put - OTC 15-Year Interest Rate Swap	HSBC	6-Month GBP-LIBOR	Receive	3.455	%	09/15/2023		1,000		42		97
									$	77	$	166

(f) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	GBP	RBS	45	07/2009	$	0	$	(4	)	$	(4	)
Sell		RBS	45	08/2009		0		0			0
					$	0	$	(4	)	$	(4	)

(g) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
PIMCO Funds	$	1,736	$	0		$	0	$	1,736
Allianz Funds		37		0			0		37
Exchange-Traded Funds		207		0			0		207
Short-Term Instruments		600		124			0		724
Purchased Options		1		166			0		167
Investments, at value	$	2,581	$	290		$	0	$	2,871
Financial Derivative Instruments++	$	2	$	(4	)	$	0	$	(2	)
Total	$	2,583	$	286		$	0	$	2,869

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

See Accompanying Notes

Schedule of Investments

RealRetirement^TM 2050 Fund

June 30, 2009 (Unaudited)

	SHARES		MARKET VALUE (000s)
PIMCO FUNDS (a)(b) 68.3%
CommodityRealReturn
Strategy Fund®		8,178	$	59
International
StocksPLUS® TR
Strategy Fund
(U.S. Dollar-Hedged)		60,286		497
RealEstateRealReturn
Strategy Fund		78,118		224
Small Cap StocksPLUS®
TR Fund		44,459		327
StocksPLUS® Fund		87,279		538
Total Return Fund		3,564		37
Total PIMCO Funds (Cost $2,509)				1,682
ALLIANZ FUNDS (a)(c) 3.7%
Allianz NACM Emerging Markets Opportunities Fund		5,233		91
Total Allianz Funds (Cost $153)				91
EXCHANGE-TRADED FUNDS 8.3%
iShares MSCI Emerging Markets Index Fund		3,297		106
Vanguard Emerging Markets		3,120		100
Total Exchange-Traded Funds (Cost $295)				206
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 13.0%
REPURCHASE AGREEMENTS 4.9%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	119		119
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $125. Repurchase proceeds are $119.)
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (a) 8.1%
		19,986		200
Total Short-Term Instruments (Cost $319)				319
PURCHASED OPTIONS (f) 6.8% (Cost $85)				167
Total Investments 100.1% (Cost $3,361)			$	2,465
Other Assets and Liabilities (Net) (0.1)%				(4	)
Net Assets 100.0%			$	2,461

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) Affiliated to the Fund.

(b) Institutional Class Shares of each PIMCO Fund.

(c) Institutional Class Shares of each Allianz Fund.

(d) Cash of $13 has been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation
U.S. Treasury 30-Year Bond September Futures	Long	09/2009	3	$	3

(e) Swap agreements outstanding on June 30, 2009:

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	UBS	AUD	4,200	$	(12	)	$	13	$	(25	)

(f) Purchased options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Market Value
Put - CBOE S&P 500 Index December Futures	$	600.000	12/19/2009	2	$	8	$	1

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC 10-Year Interest Rate Swap	BCLY	6-Month GBP-LIBOR	Receive	3.000%		09/15/2028	GBP	1,000	$	35	$	69
Put - OTC 15-Year Interest Rate Swap	HSBC	6-Month GBP-LIBOR	Receive	3.455	%	09/15/2023		1,000		42		97
									$	77	$	166

(g) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	GSC	18	07/2009	$	0	$	(1	)	$	(1	)
Sell	GBP	RBS	45	07/2009		0		(4	)		(4	)
Sell		RBS	45	08/2009		0		0			0
					$	0	$	(5	)	$	(5	)

(h) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
PIMCO Funds	$	1,682	$	0		$	0	$	1,682
Allianz Funds		91		0			0		91
Exchange-Traded Funds		206		0			0		206
Short-Term Instruments		200		119			0		319
Purchased Options		1		166			0		167
Investments, at value	$	2,180	$	285		$	0	$	2,465
Financial Derivative Instruments++	$	3	$	(30	)	$	0	$	(27	)
Total	$	2,183	$	255		$	0	$	2,438

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

⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Short Duration Municipal Income Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 1.7%
American International Group, Inc.
4.250% due 05/15/2013	$	300	$	174
4.700% due 10/01/2010		700		569
General Electric Capital Corp.
1.262% due 07/27/2012		450		409
JPMorgan Chase & Co.
7.900% due 04/29/2049		1,400		1,229
SLM Corp.
1.322% due 10/25/2011		125		101
4.500% due 07/26/2010		800		756
Total Corporate Bonds & Notes (Cost $3,459)				3,238
MUNICIPAL BONDS & NOTES 97.4%
ARIZONA 4.2%
Greater Arizona State Development Authority Infrastructure Revenue Notes, (MBIA Insured), Series 2005
5.000% due 08/01/2011		2,195		2,326
5.000% due 08/01/2012		2,305		2,488
Maricopa, Arizona Hospital Revenue Notes, Series 2005
5.000% due 04/01/2010		2,000		2,063
Nogales, Arizona Revenue Bonds, Series 2006
3.750% due 10/01/2046		1,000		1,006
				7,883
CALIFORNIA 18.3%
California State Bay Area Toll Authority Revenue Bonds, Series 2003
0.250% due 04/01/2037		2,000		2,000
California State Department of Water Resources Revenue Bonds, Series 2002
0.200% due 05/01/2022		2,000		2,000
0.600% due 05/01/2022		2,000		2,000
California State Educational Facilities Authority Revenue Bonds, Series 2008
0.250% due 10/01/2026		600		600
0.250% due 10/01/2036		700		700
California State Health Facilities Financing Authority Revenue Bonds, Series 2005
0.270% due 07/01/2035		2,000		2,000
California State Health Facilities Financing Authority Revenue Bonds, Series 2008
5.125% due 07/01/2022		1,600		1,572
California State Infrastructure & Economic Development Bank Revenue Bonds, Series 2008
0.180% due 09/01/2037		900		900
California State Pollution Control Financing Authority Revenue Bonds, Series 1996
0.150% due 11/01/2026		1,600		1,600
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2003
6.250% due 06/01/2033		4,490		4,984
Irvine, California Special Assessment Bonds, Series 1994
0.250% due 09/02/2020		1,700		1,700
Irvine, California Special Assessment Bonds, Series 2006
0.250% due 09/02/2029		1,400		1,400
Irvine, California Unified School District Special Tax Notes, Series 2009
0.250% due 03/01/2012		400		400
Morgan Hill, California Unified School District General Obligation Notes, (AMBAC Insured), Series 2006
0.000% due 08/01/2014		3,595		3,014
Newport Beach, California Revenue Bonds, Series 2008
0.240% due 12/01/2040		1,000		1,000
Newport Beach, California Revenue Bonds, Series 2009
4.000% due 12/01/2038		350		358
Orange County, California Sanitation District Certificates of Participation Bonds, Series 2000
0.350% due 08/01/2029		2,000		2,000
San Diego County, California Regional Transportation Commission Revenue Bonds, Series 2008
0.600% due 04/01/2038		1,970		1,970
San Francisco, California City & County Finance Corp. Revenue Bonds, Series 2008
0.250% due 04/01/2030		2,190		2,190
Santa Clara, California Revenue Bonds, Series 2008
0.250% due 07/01/2034		1,100		1,100
Santa Margarita-Dana, California Point Authority Revenue Notes, Series 2009
3.000% due 08/01/2011		150		152
Southern California State Public Power Authority Revenue Bonds, Series 2007
5.250% due 11/01/2020		575		523
				34,163
COLORADO 2.0%
Colorado Springs, Colorado Revenue Bonds, Series 2007
0.900% due 11/01/2026		1,700		1,700
Denver, Colorado City & County Certificates of Participation Bonds, Series 2008
0.220% due 12/01/2029		2,000		2,000
				3,700
CONNECTICUT 0.5%
Connecticut State Health & Educational Facility Authority Revenue Bonds, Series 2003
0.450% due 07/01/2038		1,000		1,000
DISTRICT OF COLUMBIA 1.4%
District of Columbia Revenue Bonds, Series 1998
0.200% due 08/15/2038		1,600		1,600
District of Columbia Revenue Bonds, Series 2007
0.270% due 04/01/2041		1,000		1,000
				2,600
FLORIDA 3.4%
Collier, Florida Multi-Family Housing Finance Authority Revenue Notes, Series 2002
4.600% due 08/15/2011		430		436
Florida State JEA Water & Sewer System Revenue Bonds, Series 2004
0.200% due 10/01/2034		2,000		2,000
Florida State JEA Water & Sewer System Revenue Bonds, Series 2008
0.320% due 10/01/2036		2,000		2,000
Gulf Breeze, Florida Revenue Bonds, (MBIA Insured), Series 1997
4.908% due 12/01/2017		500		425
Orange County, Florida School Board Certificates of Participation Bonds, Series 2008
0.300% due 08/01/2022		1,500		1,500
				6,361
GEORGIA 0.6%
Georgia State Main Street Natural Gas, Inc. Revenue Notes, Series 2007
5.000% due 03/15/2010		1,150		1,145
ILLINOIS 5.1%
Chicago, Illinois General Obligation Bonds, Series 2002
0.250% due 01/01/2037		1,600		1,600
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		1,424
Illinois State Finance Authority Revenue Bonds, (AMBAC Insured), Series 2001
0.200% due 05/01/2031		1,715		1,715
Illinois State Finance Authority Revenue Notes, Series 2004
5.250% due 11/15/2012		1,000		1,062
Illinois State General Obligation Notes, Series 2009
4.000% due 04/26/2010		900		920
Kane County, Illinois Community Unit School District No. 304 Geneva General Obligation Notes, (MBIA-FGIC Insured), Series 2004
0.000% due 01/01/2014		1,000		875
Kendall, Kane & Will Counties, Illinois High School Districts General Obligation Notes, (FSA Insured), Series 2003
0.000% due 10/01/2012		2,000		1,800
Melrose Park, Illinois General Obligation Bonds, (MBIA Insured), Series 2004
6.750% due 12/15/2016		100		125
Sangamon County, Illinois School District No. 186 Springfield General Obligation Notes, (MBIA-FGIC Insured), Series 2004
0.000% due 10/01/2010		15		15
				9,536
INDIANA 0.7%
Indiana State Health Facility Financing Authority Revenue Bonds, Series 2005
5.000% due 11/01/2027		1,200		1,246
KANSAS 0.2%
Wichita, Kansas Water & Sewer Utility Revenue Notes, (MBIA-FGIC Insured), Series 2003
5.000% due 10/01/2010		355		369
LOUISIANA 3.0%
Jefferson, Louisiana Sales Tax District Revenue Notes, (AGC Insured), Series 2009
4.000% due 12/01/2010		730		749
Louisiana State Jefferson Parish Finance Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2007
5.700% due 06/01/2039		4,750		4,815
				5,564
MASSACHUSETTS 8.0%
Massachusetts State Bay Transportation Authority Revenue Bonds, Series 2004
0.000% due 07/01/2020		7,005		5,970
Massachusetts State Development Finance Agency Revenue Bonds, Series 2008
0.270% due 09/01/2037		2,000		2,000
Massachusetts State General Obligation Bonds, (FSA Insured), Series 2006
0.153% due 11/01/2019		2,000		1,694
Massachusetts State General Obligation Bonds, (MBIA-IBC Insured), Series 1996
6.000% due 11/01/2011		1,500		1,658
Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2008
0.150% due 08/15/2034		700		700
Massachusetts State Revenue Bonds, (MBIA-FGIC Insured), Series 2004
0.000% due 01/01/2016		3,200		2,971
				14,993
MICHIGAN 2.4%
Clintondale, Michigan Community Schools General Obligation Notes, (MBIA-FGIC/Q-SBLF Insured), Series 2004
5.000% due 05/01/2011		960		1,026
Michigan State General Obligation Bonds, Series 1992
6.250% due 11/01/2012		2,750		2,953
Michigan State Tobacco Settlement Finance Authority Revenue Bonds, Series 2007
5.125% due 06/01/2022		600		492
				4,471
MISSOURI 2.0%
Missouri State Environmental Improvement & Energy Resources Revenue Bonds, Series 2008
4.375% due 12/01/2034		1,500		1,547
Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 2004
0.300% due 02/15/2034		1,100		1,100
Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 2008
0.280% due 10/01/2035		1,050		1,050
				3,697
NEVADA 2.2%
Clark County, Nevada General Obligation Bonds, (AMBAC Insured), Series 2004
5.000% due 12/01/2015		3,910		4,139
NEW HAMPSHIRE 1.0%
New Hampshire State Health & Education Facilities Authority Revenue Bonds, Series 2005
0.230% due 07/01/2033		1,095		1,095
0.350% due 07/01/2033		805		805
				1,900
NEW JERSEY 0.8%
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.375% due 04/01/2018		300		353
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
6.125% due 06/01/2024		1,010		1,080
				1,433
NEW YORK 12.7%
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
0.856% due 09/01/2015		5,000		4,130
New York City, New York General Obligation Bonds, (MBIA-FGIC Insured), Series 1998
5.250% due 08/01/2010		55		55
New York City, New York General Obligation Bonds, Series 1993
0.200% due 08/01/2019		800		800
0.200% due 08/01/2021		400		400
0.200% due 10/01/2023		2,000		2,000
New York City, New York General Obligation Bonds, Series 2008
0.250% due 04/01/2032		100		100
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
0.053% due 03/01/2020		1,500		1,089
0.103% due 03/01/2022		8,000		5,439
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
0.250% due 06/15/2033		3,000		3,000
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.500% due 11/01/2026		100		107
New York State Dormitory Authority Revenue Bonds, Series 1990
0.200% due 07/01/2025		1,400		1,400
New York State Dormitory Authority Revenue Bonds, Series 2002
6.000% due 11/15/2029		800		865
New York State Dormitory Authority Revenue Bonds, Series 2003
0.250% due 02/15/2031		1,700		1,700
New York State Dormitory Authority Revenue Bonds, Series 2008
0.200% due 07/01/2037		2,400		2,400
New York State Urban Development Corp. Revenue Bonds, Series 2002
5.500% due 01/01/2017		140		149
				23,634
NORTH CAROLINA 0.9%
Mecklenburg County, North Carolina General Obligation Bonds, Series 2000
0.300% due 02/01/2017		1,600		1,600
OHIO 1.9%
Ohio State Air Quality Development Authority Revenue Bonds, Series 1995
5.000% due 11/01/2015		1,000		1,018
Ohio State American Municipal Power, Inc. Revenue Notes, Series 2007
5.000% due 02/01/2013		1,800		1,790
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2030		940		659
				3,467
OKLAHOMA 0.1%
Oklahoma City, Oklahoma General Obligation Bonds, Series 1999
5.000% due 07/01/2011		100		100
OREGON 1.7%
Oregon State Department of Transportation Revenue Bonds, Series 2006
0.550% due 11/15/2026		2,000		2,000
Oregon State Facilities Authority Revenue Notes, Series 2005
5.000% due 10/01/2011		795		810
5.000% due 10/01/2012		435		443
				3,253
PENNSYLVANIA 1.9%
Berks County, Pennsylvania Municipal Authority Revenue Notes, Series 2009
3.000% due 11/01/2010 (a)		1,000		1,009
Pennsylvania State Economic Development Financing Authority Revenue Notes, Series 2009
5.000% due 10/15/2010		2,000		2,045
Philadelphia, Pennsylvania Hospitals & Higher Education Facilities Authority Revenue Notes, Series 2007
5.000% due 07/01/2012		550		541
				3,595
SOUTH CAROLINA 2.9%
South Carolina State Educational Facilities Authority Revenue Bonds, Series 2006
0.300% due 10/01/2039		1,300		1,300
South Carolina State Public Service Authority Revenue Notes, Series 2009
4.000% due 01/01/2011		4,000		4,179
				5,479
TENNESSEE 3.8%
Nashville & Davidson Counties, Tennessee Health & Educational Facilities Revenue Bonds, Series 1977
6.100% due 07/01/2010		145		148
Shelby County, Tennessee General Obligation Bonds, Series 2006
0.600% due 12/01/2031		2,000		2,000
Tennessee State Energy Acquisition Corp. Revenue Notes, Series 2006
5.000% due 02/01/2010		1,500		1,504
5.000% due 09/01/2015		3,550		3,416
				7,068
TEXAS 6.6%
Corpus Christi, Texas General Obligation Notes, (AGC Insured), Series 2009
3.000% due 03/01/2011		1,315		1,352
Houston, Texas Water Conveyance System Certificates of Participation Bonds, (AMBAC Insured), Series 1993
6.800% due 12/15/2011		3,000		3,268
Southeast Texas State Hospital Financing Agency Revenue Bonds, Series 1979
7.500% due 12/01/2009		165		169
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2008
0.200% due 11/15/2019		2,000		2,000
0.200% due 11/15/2033		800		800
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Notes, Series 2009
5.000% due 11/15/2010		685		713
Texas State Lower Colorado River Authority Revenue Bonds, (FSA Insured), Series 1999
6.000% due 05/15/2010		400		410
Texas State Municipal Gas Acquisition & Supply Corp. I Revenue Notes, Series 2006
5.000% due 12/15/2011		400		395
Texas State Municipal Power Agency Revenue Bonds, (MBIA Insured), Series 1993
0.000% due 09/01/2016		3,380		2,422
Texas State Sabine River Authority Revenue Bonds, Series 2001
5.500% due 05/01/2022		1,000		779
				12,308
VIRGINIA 1.1%
Virginia State College Building Authority Revenue Bonds, Series 2006
0.300% due 02/01/2026		400		400
Virginia State Public Building Authority Revenue Notes, Series 2009
5.000% due 08/01/2011		1,000		1,079
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
5.250% due 06/01/2019		615		649
				2,128
WASHINGTON 6.5%
Everett, Washington Water & Sewer Revenue Notes, (MBIA Insured), Series 2003
4.500% due 07/01/2011		1,495		1,591
Washington State Energy Northwest Revenue Bonds, Series 2003
0.200% due 07/01/2017		2,050		2,050
Washington State Energy Northwest Revenue Notes, (AMBAC Insured), Series 2004
5.250% due 07/01/2009		150		150
Washington State Tobacco Settlement Authority Revenue Notes, Series 2002
5.250% due 06/01/2010		8,245		8,297
				12,088
WEST VIRGINIA 0.0%
Kanawha County, West Virginia Residential Mortgage Revenue Bonds, (FGIC Insured), Series 1979
7.375% due 09/01/2010		50		52
WISCONSIN 1.5%
Wisconsin State Housing & Economic Development Authority Revenue Notes, (MBIA Insured), Series 2002
4.500% due 05/01/2010		1,270		1,285
4.500% due 11/01/2010		550		555
Wisconsin State Petroleum Revenue Notes, (FSA Insured), Series 2004
5.000% due 07/01/2012		1,000		1,023
				2,863
Total Municipal Bonds & Notes (Cost $187,564)				181,835
MORTGAGE-BACKED SECURITIES 1.2%
Countrywide Alternative Loan Trust
2.840% due 11/25/2035		1,486		656
3.380% due 11/25/2035		1,689		738
Residential Accredit Loans, Inc.
0.464% due 02/25/2047		2,289		879
Total Mortgage-Backed Securities (Cost $3,416)				2,273
SHORT-TERM INSTRUMENTS 0.4%
REPURCHASE AGREEMENTS 0.3%
State Street Bank and Trust Co.
0.010% due 07/01/2009		500		500
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/20/2009 valued at $515. Repurchase proceeds are $500.)
U.S. TREASURY BILLS 0.1%
0.127% due 07/02/2009 (b)		290		290
Total Short-Term Instruments (Cost $790)				790
Total Investments 100.7% (Cost $195,229)			$	188,136
Other Assets and Liabilities (Net) (0.7%)				(1,373	)
Net Assets 100.0%			$	186,763

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) Securities with an aggregate market value of $290 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(c) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(2)		Market Value(3)			Upfront Premiums Paid/ (Received)			Unrealized (Depreciation)
MCDX 5-Year Index	GSC	0.350	%	06/20/2013	$	1,900	$	(108	)	$	(48	)	$	(60	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities compromising the referenced index.

⁽²⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽³⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(d) Fair Value Measurements ⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
California	$	0	$	34,163		$	0	$	34,163
Illinois		0		9,536			0		9,536
Massachusetts		0		14,993			0		14,993
New York		0		23,635			0		23,635
Texas		0		12,309			0		12,309
Washington		0		12,088			0		12,088
Other Investments++		0		81,412			0		81,412
Investments, at value	$	0	$	188,136		$	0	$	188,136
Financial Derivative Instruments+++	$	0	$	(60	)	$	0	$	(60	)
Total	$	0	$	188,076		$	0	$	188,076

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
Investments, at value	$	0		$	0	$	0	$	0	$	0	$	0	$	0
Financial Derivative Instruments+++	$	(3,560	)	$	0	$	0	$	0	$	3,500	$	60	$	0
Total	$	(3,560	)	$	0	$	0	$	0	$	3,500	$	60	$	0

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Short-Term Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.3%
CSC Holdings, Inc.
2.069% due 03/29/2016	$	2,462	$	2,364
Daimler Finance North America LLC
4.320% due 08/03/2012		15,622		14,548
HCA, Inc.
2.848% due 11/18/2013		3,114		2,819
NRG Energy, Inc.
0.498% due 02/01/2013		316		298
1.979% due 02/01/2013		134		126
2.970% due 02/01/2013		455		429
Total Bank Loan Obligations (Cost $21,393)				20,584
CORPORATE BONDS & NOTES 29.2%
BANKING & FINANCE 23.0%
American Express Centurion Bank
0.377% due 03/23/2010		4,000		3,922
0.399% due 07/13/2010		5,850		5,694
American Express Credit Corp.
1.708% due 05/27/2010		19,000		18,769
2.013% due 06/19/2013		9,000		8,117
5.875% due 05/02/2013		7,300		7,257
American Honda Finance Corp.
1.359% due 06/20/2011		700		676
1.416% due 02/05/2010		2,800		2,796
American International Group, Inc.
1.094% due 01/29/2010		29,000		24,722
5.850% due 01/16/2018		2,100		1,113
6.250% due 03/15/2037		10,000		2,625
ANZ National International Ltd.
6.200% due 07/19/2013		15,250		15,729
Bank of America N.A.
0.659% due 09/13/2010		35,300		35,415
Bank of Scotland PLC
0.689% due 12/08/2010		1,200		1,143
Bear Stearns Cos. LLC
0.854% due 11/28/2011		298		291
1.093% due 08/15/2011		4,300		4,191
1.218% due 02/01/2012		12,300		11,610
1.269% due 01/31/2011		1,200		1,187
6.950% due 08/10/2012		10,000		10,879
Calabash Re Ltd.
11.524% due 01/08/2010		2,300		2,241
Capital One Financial Corp.
6.750% due 09/15/2017		1,500		1,437
Caterpillar Financial Services Corp.
1.354% due 06/24/2011		1,900		1,878
Citibank N.A.
1.016% due 05/07/2012		17,750		17,722
Citigroup Funding, Inc.
0.645% due 07/12/2012		47,400		47,443
0.936% due 05/05/2011		68,900		69,013
1.369% due 04/30/2012		19,800		20,062
2.036% due 05/07/2010		22,400		21,943
Citigroup, Inc.
0.749% due 03/16/2012		15,133		13,751
0.944% due 05/18/2011		3,400		3,216
1.004% due 05/18/2010		300		295
1.070% due 08/13/2010		100		98
2.125% due 04/30/2012		1,000		1,005
5.500% due 04/11/2013		2,000		1,877
6.125% due 11/21/2017		2,480		2,178
6.500% due 08/19/2013		29,100		28,302
8.400% due 04/29/2049 (a)		4,300		3,231
Credit Suisse USA, Inc.
6.125% due 11/15/2011		300		321
Danske Bank A/S
0.945% due 05/24/2012		80,700		80,425
Dexia Credit Local
1.262% due 09/23/2011		26,300		26,232
General Electric Capital Corp.
0.609% due 12/21/2012		30,000		30,135
0.728% due 03/11/2011		16,900		16,967
0.759% due 06/12/2012		3,200		2,970
0.839% due 03/12/2012		7,500		7,557
0.889% due 09/15/2014		10,975		9,325
1.156% due 05/11/2016		11,165		8,907
1.478% due 02/01/2011		250		242
1.616% due 05/22/2013		11,100		9,977
5.450% due 01/15/2013		70		72
6.875% due 01/10/2039		2,600		2,344
GMAC LLC
0.629% due 12/19/2012		28,000		28,137
Goldman Sachs Group, Inc.
0.692% due 12/23/2009		2,100		2,096
0.709% due 03/15/2011		7,400		7,439
1.059% due 03/22/2016		980		831
1.187% due 02/06/2012		16,500		15,766
1.206% due 11/09/2011		16,000		16,175
1.430% due 07/23/2009		1,000		1,000
1.561% due 10/07/2011		2,000		1,921
1.639% due 01/12/2015		300		263
6.750% due 10/01/2037		1,400		1,247
Governor & Co. of the Bank of Ireland
0.663% due 12/18/2009		5,200		5,152
HSBC Capital Funding LP
4.610% due 12/29/2049		150		106
HSBC Finance Corp.
0.719% due 03/12/2010		3,200		3,148
1.134% due 11/16/2009		4,000		3,969
1.162% due 10/21/2009		5,000		4,986
1.166% due 08/09/2011		2,400		2,173
1.206% due 05/10/2010		200		195
4.125% due 11/16/2009		6,600		6,637
ING Bank NV
2.625% due 02/09/2012		46,900		47,492
John Deere Capital Corp.
1.400% due 06/10/2011		6,550		6,505
JPMorgan Chase & Co.
0.734% due 12/21/2011		300		291
0.854% due 12/26/2012		38,800		39,228
0.964% due 05/16/2011		450		438
1.282% due 01/17/2011		700		693
1.379% due 06/13/2011		3,500		3,475
6.400% due 05/15/2038		2,250		2,260
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		300		292
KeyBank N.A.
2.906% due 06/02/2010		20,200		19,616
Kreditanstalt fuer Wiederaufbau
4.750% due 05/15/2012		900		966
Lehman Brothers Holdings, Inc.
3.011% due 12/23/2010 (a)		9,700		1,479
Longpoint Re Ltd.
5.874% due 05/08/2010		4,700		4,568
Merna Reinsurance Ltd.
1.248% due 07/07/2010		3,000		2,792
Merrill Lynch & Co., Inc.
0.867% due 06/05/2012		20,800		18,531
0.892% due 09/09/2009		200		200
1.228% due 11/01/2011		5,300		4,862
1.236% due 02/05/2010		442		437
1.292% due 07/25/2011		200		185
3.188% due 05/12/2010		23,650		23,523
5.450% due 02/05/2013		200		195
Metropolitan Life Global Funding I
0.879% due 03/15/2012		1,100		1,043
0.894% due 05/17/2010		19,100		18,948
2.550% due 06/10/2011		28,700		28,665
Morgan Stanley
0.829% due 03/13/2012		24,500		24,744
1.236% due 02/10/2012		11,000		11,130
1.357% due 01/18/2011		1,150		1,115
1.399% due 01/09/2012		22,700		20,475
1.411% due 01/15/2010		500		496
1.518% due 12/01/2011		25,200		25,643
1.611% due 10/15/2015		28,000		24,030
3.006% due 05/14/2010		17,500		17,453
5.750% due 08/31/2012		2,300		2,379
6.000% due 04/28/2015		1,800		1,798
Mystic Re Ltd.
10.668% due 06/07/2011		1,400		1,304
National Australia Bank Ltd.
0.688% due 09/11/2009		8,900		8,893
1.424% due 02/08/2010		31,400		31,400
National City Bank
0.999% due 06/07/2017		1,800		1,230
6.200% due 12/15/2011		3,500		3,599
National Rural Utilities Cooperative Finance Corp.
1.982% due 07/01/2010		3,400		3,402
PNC Bank N.A.
1.416% due 08/05/2009		4,500		4,498
Pricoa Global Funding I
0.801% due 09/27/2013		600		463
1.139% due 01/30/2012		5,700		5,352
1.446% due 06/04/2010		28,900		28,661
Rabobank Nederland NV
11.000% due 12/29/2049		2,480		2,766
Regions Bank
7.500% due 05/15/2018		700		618
Residential Reinsurance 2007 Ltd.
10.918% due 06/07/2010		3,400		3,231
Residential Reinsurance 2008 Ltd.
7.418% due 06/06/2011		2,000		1,852
Royal Bank of Scotland Group PLC
1.638% due 05/11/2012		42,600		42,954
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		2,200		1,630
SLM Corp.
1.252% due 07/26/2010		2,400		2,179
State Street Bank and Trust Co.
0.829% due 12/08/2015		5,700		4,766
State Street Capital Trust III
8.250% due 03/15/2042		14,000		11,835
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		100		92
Suncorp-Metway Ltd.
0.989% due 12/17/2010		25,000		24,959
Swedbank AB
1.045% due 01/14/2013		48,100		47,984
TransCapitalInvest Ltd. for OJSC AK Transneft
7.700% due 08/07/2013		19,200		18,496
UBS AG
1.927% due 05/05/2010		20,500		20,566
UBS Preferred Funding Trust I
8.622% due 10/29/2049		1,000		712
UBS Preferred Funding Trust V
6.243% due 05/29/2049		4,700		2,776
UFJ Finance Aruba AEC
6.750% due 07/15/2013		50		52
USB Capital IX
6.189% due 04/15/2049		100		68
Vita Capital III Ltd.
2.308% due 01/01/2011		2,200		2,011
Wachovia Bank N.A.
1.806% due 05/14/2010		40,850		40,863
Wachovia Corp.
0.818% due 03/01/2012		8,000		7,577
0.899% due 06/15/2017		10,300		7,702
1.261% due 10/15/2011		12,780		12,146
5.500% due 05/01/2013		1,600		1,655
Wells Fargo & Co.
0.849% due 06/15/2012		7,000		7,070
7.980% due 03/29/2049		200		166
Wells Fargo Bank N.A.
1.064% due 05/16/2016		3,000		2,272
Wells Fargo Capital X
5.950% due 12/15/2036		2,000		1,484
Westpac Banking Corp.
3.250% due 12/16/2011		7,600		7,777
				1,411,551
INDUSTRIALS 3.4%
Comcast Corp.
1.439% due 07/14/2009		2,100		2,101
CVS Caremark Corp.
0.968% due 06/01/2010		7,800		7,747
General Electric Co.
5.000% due 02/01/2013		20		21
General Mills, Inc.
1.231% due 01/22/2010		8,000		7,990
GlaxoSmithKline Capital, Inc.
1.545% due 05/13/2010		10,000		10,072
Hewlett-Packard Co.
0.778% due 03/01/2012		100		98
Honeywell International, Inc.
1.142% due 07/27/2009		20,600		20,609
International Business Machines Corp.
1.652% due 07/28/2011		8,400		8,456
Kimberly-Clark Corp.
1.139% due 07/30/2010		150		150
Merck & Co., Inc.
1.875% due 06/30/2011		22,400		22,444
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		3,676		3,688
Reynolds American, Inc.
1.329% due 06/15/2011		9,600		8,984
Roche Holdings, Inc.
2.661% due 02/25/2011		43,550		44,054
Rockies Express Pipeline LLC
4.500% due 08/20/2009		20,900		20,903
Siemens Financieringsmaatschappij NV
5.750% due 10/17/2016		400		416
6.125% due 08/17/2026		900		917
Southern Co.
1.485% due 08/20/2010		5,300		5,302
Southwest Airlines Co.
10.500% due 12/15/2011		5,000		5,382
SUPERVALU, Inc.
7.500% due 11/15/2014		2,000		1,930
Weyerhaeuser Co.
1.610% due 09/24/2009		10,300		10,170
Williams Cos., Inc.
6.375% due 10/01/2010		7,000		7,001
Xerox Corp.
1.363% due 12/18/2009		2,000		1,979
XTO Energy, Inc.
4.625% due 06/15/2013		16,500		16,579
				206,993
UTILITIES 2.8%
AT&T, Inc.
6.300% due 01/15/2038		1,100		1,065
BellSouth Corp.
4.950% due 04/26/2021		11,900		12,161
CMS Energy Corp.
2.081% due 01/15/2013		1,500		1,253
Deutsche Telekom International Finance BV
8.500% due 06/15/2010		11,200		11,782
Dominion Resources, Inc.
1.664% due 06/17/2010		1,450		1,443
Enel Finance International S.A.
5.700% due 01/15/2013		19,900		20,819
France Telecom S.A.
7.750% due 03/01/2011		220		238
Midwest Generation LLC
8.300% due 07/02/2009		2,483		2,470
Ohio Power Co.
0.775% due 04/05/2010		2,000		1,979
Pacific Gas & Electric Co.
1.598% due 06/10/2010		20,000		20,104
PSEG Power LLC
6.950% due 06/01/2012		143		154
Sprint Nextel Corp.
1.001% due 06/28/2010		14,200		13,392
Telecom Italia Capital S.A.
6.175% due 06/18/2014		29,500		29,874
Verizon Communications, Inc.
5.350% due 02/15/2011		100		104
Verizon Wireless Capital LLC
3.316% due 05/20/2011		47,700		49,119
Virginia Electric and Power Co.
5.400% due 04/30/2018		2,100		2,182
				168,139
Total Corporate Bonds & Notes (Cost $1,774,561)				1,786,683
CONVERTIBLE BONDS & NOTES 0.4%
U.S. Bancorp
0.000% due 12/11/2035		26,625		25,260
Total Convertible Bonds & Notes (Cost $24,994)				25,260
MUNICIPAL BONDS & NOTES 0.5%
Arcadia, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
5.000% due 08/01/2037		500		486
California State General Obligation Bonds, (AMBAC Insured), Series 2007
4.500% due 08/01/2028		600		480
California State General Obligation Bonds, Series 2007
5.000% due 12/01/2037		800		672
California State General Obligation Bonds, Series 2009
5.650% due 04/01/2039		10,100		9,942
6.000% due 04/01/2038		500		501
7.550% due 04/01/2039		3,850		3,509
Chabot-Las Positas, California General Obligation Bonds, (AMBAC Insured), Series 2006
5.000% due 08/01/2031		3,050		2,994
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2024		700		662
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
4.500% due 01/01/2028		700		627
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series 2009
6.875% due 12/15/2039		500		509
New Jersey State Turnpike Authority Revenue Bonds, Series 2009
7.414% due 01/01/2040		1,000		1,166
New York State Triborough Bridge & Tunnel Authority Revenue Bonds, Series 2008
5.000% due 11/15/2038		2,500		2,473
Palomar, California Community College District General Obligation Bonds, (FSA Insured), Series 2007
4.750% due 05/01/2032		500		457
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		4,600		4,402
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		1,700		1,619
Total Municipal Bonds & Notes (Cost $31,055)				30,499
U.S. GOVERNMENT AGENCIES 69.0%
Fannie Mae
0.374% due 12/25/2036 - 07/25/2037		5,629		5,007
0.429% due 03/25/2034		131		120
0.444% due 03/25/2036		733		634
0.464% due 08/25/2034		709		676
0.514% due 10/27/2037		300		273
0.614% due 03/25/2036		3,605		3,482
0.664% due 05/25/2042 - 03/25/2044		2,704		2,532
0.714% due 06/25/2032 - 09/25/2032		131		124
0.764% due 10/25/2030		23		22
0.794% due 09/17/2027		10		10
0.800% due 05/13/2011 (f)		100,000		100,029
0.844% due 02/25/2022 - 07/18/2027		41		41
0.914% due 10/25/2017		280		278
0.944% due 08/25/2022		21		21
0.966% due 08/05/2010 (h)		320,471		321,117
0.994% due 12/25/2022		17		16
1.044% due 09/25/2022		8		8
1.194% due 02/25/2023		5		5
1.214% due 04/25/2032		11		11
1.494% due 09/25/2023		132		134
2.638% due 06/01/2043 - 10/01/2044		12,957		12,865
2.870% due 02/01/2018		23		23
2.877% due 01/01/2027 - 04/01/2029		152		151
2.960% due 01/01/2029		38		38
3.491% due 01/01/2032		570		575
3.644% due 01/01/2036		353		368
3.693% due 05/01/2036		12,189		12,163
3.705% due 05/01/2021		33		33
4.050% due 11/01/2025		21		21
4.121% due 05/01/2036		223		223
4.167% due 06/01/2034		17		17
4.173% due 08/01/2029		1,652		1,669
4.255% due 07/01/2034		30		30
4.307% due 09/01/2034		1,219		1,239
4.390% due 07/01/2028		32		32
4.478% due 12/01/2040		408		417
4.500% due 09/25/2025		86		88
4.672% due 11/01/2035		1,082		1,119
4.714% due 05/01/2035		697		719
4.968% due 06/01/2035		837		867
4.970% due 08/01/2026		18		18
5.000% due 01/25/2017 - 07/01/2039		2,172		2,220
5.045% due 05/01/2035		440		459
5.071% due 07/01/2029		182		186
5.076% due 09/01/2035		487		500
5.155% due 10/01/2023		35		35
5.173% due 08/01/2035		427		449
5.257% due 12/01/2035		357		372
5.310% due 08/25/2033		393		406
5.500% due 02/01/2014 - 03/01/2039		691,146		714,287
5.500% due 06/01/2038 (i)		313,951		324,691
5.570% due 01/01/2036		397		410
5.630% due 03/01/2036		477		501
5.775% due 12/01/2036		167		175
5.883% due 12/01/2036		173		182
5.924% due 06/01/2036		320		333
5.950% due 02/25/2044		932		985
6.000% due 02/01/2019 - 12/01/2038		384,729		402,892
6.500% due 10/25/2023 (b)		7		0
6.500% due 11/01/2028 - 10/25/2042		943		1,005
7.000% due 03/01/2013		30		32
8.639% due 06/25/2032		454		486
Federal Farm Credit Bank
0.408% due 05/18/2011		65,000		65,063
Federal Home Loan Bank
0.518% due 09/15/2011		12,000		11,981
4.330% due 03/16/2010		2,500		2,568
Federal Housing Administration
6.896% due 07/01/2020		305		301
7.350% due 04/01/2019		154		153
7.430% due 07/01/2021 - 09/01/2022		146		146
7.435% due 02/01/2019		176		176
Freddie Mac
0.354% due 12/25/2036		19,228		18,297
0.549% due 02/15/2019		60,603		59,496
0.580% due 09/24/2010		51,500		51,603
0.669% due 12/15/2030 - 06/15/2031		301		297
0.702% due 03/09/2011 (h)		395,321		396,775
0.719% due 06/15/2031		339		340
0.769% due 12/15/2031		12		12
0.775% due 01/15/2022		1		1
0.888% due 02/01/2011 (f)(h)		354,319		353,818
0.896% due 05/05/2011		4,270		4,272
0.926% due 05/04/2011 (f)(h)		377,290		378,262
0.937% due 08/05/2011 (f)(h)		381,971		382,110
1.025% due 03/15/2020		4		4
1.089% due 01/28/2011		13,260		13,308
1.102% due 01/14/2011		3,000		3,007
1.125% due 03/15/2023		18		17
1.211% due 04/07/2011		300,350		301,328
1.268% due 04/01/2011		119,065		119,468
2.638% due 10/25/2044		7,305		7,193
2.639% due 02/25/2045		3,157		3,010
2.838% due 07/25/2044		13,601		13,470
4.500% due 08/01/2017 - 12/15/2025		2,813		2,881
5.000% due 01/15/2018 - 08/01/2039		4,156		4,184
5.023% due 08/01/2035		375		386
5.130% due 08/01/2035		586		599
5.413% due 11/01/2035		386		404
5.500% due 05/01/2013 - 04/01/2038		25,175		25,960
6.000% due 03/15/2023		19		19
6.500% due 07/25/2043		523		559
6.750% due 08/15/2023		480		499
Ginnie Mae
0.818% due 02/16/2030		203		203
0.918% due 02/16/2030		129		129
0.968% due 02/16/2030		228		227
1.265% due 03/20/2031		883		883
4.000% due 02/20/2032		552		559
4.125% due 10/20/2017 - 10/20/2027		818		830
4.250% due 03/20/2029 - 03/20/2030		871		886
4.375% due 01/20/2022 - 01/20/2026		824		841
4.500% due 02/20/2019		18		19
4.625% due 07/20/2022 - 09/20/2029		2,460		2,518
5.375% due 05/20/2021 - 05/20/2030		3,039		3,136
5.500% due 07/15/2037 - 07/01/2039		73,919		76,409
6.000% due 01/15/2032 - 03/15/2032		1,588		1,669
7.500% due 02/20/2030		134		145
8.000% due 12/15/2030 - 03/15/2032		150		170
8.500% due 06/20/2027		87		96
Small Business Administration
4.340% due 03/01/2024		386		394
4.524% due 02/10/2013		106		108
5.490% due 03/01/2028		282		296
7.540% due 08/10/2009		45		45
Total U.S. Government Agencies (Cost $4,175,650)				4,229,351
U.S. TREASURY OBLIGATIONS 1.0%
Treasury Inflation Protected Securities (d)
3.500% due 01/15/2011		61,300		64,020
U.S. Treasury Notes
0.875% due 04/30/2011 (i)		46		46
Total U.S. Treasury Obligations (Cost $64,172)				64,066
MORTGAGE-BACKED SECURITIES 5.9%
American Home Mortgage Assets
0.504% due 05/25/2046		4,244		1,567
0.504% due 09/25/2046		1,705		718
0.524% due 10/25/2046		7,291		2,377
2.040% due 02/25/2047		1,864		613
2.260% due 11/25/2046		3,580		1,642
American Home Mortgage Investment Trust
4.290% due 10/25/2034		2,325		1,652
4.440% due 02/25/2045		276		211
5.000% due 09/25/2035		2,100		1,601
5.660% due 09/25/2045		1,434		879
Banc of America Funding Corp.
4.585% due 02/20/2036		8,444		6,420
6.102% due 01/20/2047		455		243
Banc of America Mortgage Securities, Inc.
4.765% due 07/20/2032		233		195
5.433% due 02/25/2036		481		322
6.500% due 09/25/2033		763		722
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		728		626
2.500% due 08/25/2035		127		112
2.900% due 03/25/2035		7,726		6,685
3.859% due 11/25/2030		231		211
4.374% due 11/25/2034		2,073		1,779
4.740% due 10/25/2035		16,278		15,523
4.991% due 01/25/2035		392		290
5.106% due 01/25/2034		554		426
5.409% due 01/25/2034		258		208
5.457% due 05/25/2047		4,399		2,567
5.477% due 11/25/2034		17,567		13,613
Bear Stearns Alt-A Trust
0.474% due 02/25/2034		1,986		1,127
5.362% due 05/25/2035		595		399
5.490% due 09/25/2035		7,464		4,055
5.694% due 11/25/2036		5,715		2,898
5.738% due 01/25/2036		4,777		2,391
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		30		30
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		3,461		2,669
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		16,502		9,121
5.714% due 12/26/2046		8,464		5,156
CC Mortgage Funding Corp.
0.444% due 05/25/2048		4,543		1,661
0.564% due 08/25/2035		742		482
Chase Mortgage Finance Corp.
5.426% due 03/25/2037		1,750		1,074
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		1		1
Citigroup Mortgage Loan Trust, Inc.
0.379% due 01/25/2037		1,723		1,437
2.850% due 12/25/2035		1,579		1,289
4.098% due 08/25/2035		288		210
4.669% due 08/25/2035		5,036		3,725
4.685% due 03/25/2034		377		325
4.900% due 10/25/2035		657		499
5.672% due 07/25/2046		1,283		685
5.994% due 09/25/2037		8,398		4,554
Countrywide Alternative Loan Trust
0.395% due 09/20/2046		100		98
0.465% due 05/20/2046		152		128
0.474% due 02/25/2047		401		152
0.494% due 05/25/2047		7,012		2,635
0.495% due 02/20/2047		8,456		3,293
0.504% due 09/25/2046		3,321		1,270
0.510% due 12/20/2046		9,793		3,932
0.524% due 07/25/2046		695		298
0.525% due 07/20/2046		4,373		1,690
0.594% due 02/25/2037		7,332		3,340
0.644% due 11/20/2035		1,856		841
2.340% due 12/25/2035		2,352		1,067
2.340% due 02/25/2036		830		382
5.500% due 08/25/2035		1,409		1,205
5.886% due 02/25/2037		3,837		2,263
6.000% due 04/25/2037		625		339
6.250% due 12/25/2033		38		34
Countrywide Home Loan Mortgage Pass-Through Trust
0.544% due 05/25/2035		598		267
0.604% due 04/25/2035		118		54
0.634% due 03/25/2035		898		375
0.654% due 06/25/2035		12,523		9,101
3.750% due 07/19/2031		5		5
4.616% due 11/19/2033		436		374
6.069% due 09/25/2047		851		501
6.500% due 01/25/2034		26		19
Credit Suisse Mortgage Capital Certificates
5.912% due 06/15/2039		600		410
CS First Boston Mortgage Securities Corp.
1.135% due 03/25/2032		167		126
3.044% due 05/25/2032		3		3
4.625% due 10/25/2034		1,711		1,616
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		696		632
0.394% due 02/25/2037		916		846
0.404% due 08/25/2037		2,084		1,808
First Horizon Alternative Mortgage Securities
5.500% due 03/25/2035		873		819
First Horizon Asset Securities, Inc.
5.365% due 08/25/2035		1,790		1,362
First Republic Mortgage Loan Trust
0.619% due 08/15/2032		6,993		5,943
0.669% due 11/15/2031		543		435
0.794% due 06/25/2030		505		435
First Union-Lehman Brothers-Bank of America
6.730% due 11/18/2035		7,700		7,652
GE Capital Commercial Mortgage Corp.
4.229% due 12/10/2037		265		266
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		5,405		4,453
0.394% due 01/25/2047		4,907		3,727
0.534% due 06/25/2045		682		291
0.544% due 06/25/2045		313		132
0.584% due 11/25/2045		792		378
Greenwich Capital Acceptance, Inc.
5.230% due 06/25/2024		9		8
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		2,900		2,320
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		5,939		5,095
GSR Mortgage Loan Trust
4.469% due 09/25/2035		10,691		9,005
4.971% due 04/25/2036		738		417
5.176% due 01/25/2036		1,886		1,267
6.000% due 03/25/2032		2		2
GSRPM Mortgage Loan Trust
0.714% due 11/25/2031		1,419		1,325
1.014% due 01/25/2032		314		203
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		114		105
0.458% due 04/19/2038		2,183		872
0.493% due 07/19/2046		3,609		1,498
0.505% due 08/21/2036		764		324
0.513% due 09/19/2046		1,024		440
0.533% due 05/19/2035		2,762		1,239
0.553% due 03/19/2036		7,323		3,092
0.683% due 02/19/2034		600		465
5.849% due 08/19/2036		709		429
Impac CMB Trust
1.214% due 10/25/2033		72		57
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		1,522		1,429
Indymac ARM Trust
3.708% due 01/25/2032		6		4
4.129% due 01/25/2032		3		2
Indymac IMSC Mortgage Loan Trust
0.494% due 07/25/2047		1,546		593
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		2,519		2,347
0.414% due 01/25/2037		46		44
0.504% due 09/25/2046		2,833		1,107
0.514% due 06/25/2047		1,555		646
0.524% due 05/25/2046		498		206
0.554% due 07/25/2035		447		197
4.976% due 12/25/2034		90		68
JPMorgan Mortgage Trust
5.012% due 02/25/2035		2,500		2,188
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		239		212
Luminent Mortgage Trust
0.484% due 12/25/2036		2,098		825
0.494% due 12/25/2036		996		359
0.514% due 10/25/2046		736		304
MASTR Adjustable Rate Mortgages Trust
0.524% due 04/25/2046		1,333		547
MASTR Asset Securitization Trust
5.500% due 09/25/2033		1,290		1,229
MASTR Seasoned Securities Trust
6.198% due 09/25/2017		398		390
Mellon Residential Funding Corp.
0.669% due 11/15/2031		399		290
0.759% due 12/15/2030		4,750		3,829
2.615% due 10/20/2029		3,321		3,121
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		500		450
Merrill Lynch Floating Trust
0.389% due 06/15/2022		2,218		1,557
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		10,555		5,702
4.910% due 12/25/2032		35		30
Merrill Lynch Mortgage-Backed Securities Trust
5.845% due 04/25/2037		1,758		945
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		5,267		3,589
1.314% due 10/25/2035		76		61
4.250% due 10/25/2035		6,810		5,499
Morgan Stanley Capital I
0.380% due 10/15/2020		5,906		4,382
Morgan Stanley Dean Witter Capital I
4.740% due 11/13/2036		1,700		1,607
Morgan Stanley Mortgage Loan Trust
0.534% due 02/25/2047		970		444
5.380% due 06/25/2036		505		413
Residential Accredit Loans, Inc.
0.414% due 09/25/2046		690		542
0.494% due 06/25/2046		2,446		943
0.524% due 04/25/2046		413		156
0.564% due 08/25/2037		1,131		450
0.614% due 08/25/2035		2,026		929
2.700% due 09/25/2045		1,282		574
Residential Asset Mortgage Products, Inc.
5.000% due 09/25/2034		330		322
Residential Asset Securitization Trust
5.750% due 02/25/2036		417		266
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		145		146
Sequoia Mortgage Trust
0.665% due 07/20/2033		3,532		2,838
0.695% due 10/20/2027		2,210		1,783
4.263% due 04/20/2035		1,259		970
5.102% due 01/20/2047		667		380
Structured Adjustable Rate Mortgage Loan Trust
2.610% due 01/25/2035		127		54
4.802% due 02/25/2034		247		186
5.516% due 08/25/2035		1,609		1,048
Structured Asset Mortgage Investments, Inc.
0.414% due 09/25/2047		855		797
0.444% due 03/25/2037		1,839		670
0.504% due 07/25/2046		4,562		1,909
0.534% due 05/25/2036		12,316		4,890
0.534% due 05/25/2046		1,579		627
0.544% due 05/25/2045		977		440
0.563% due 07/19/2035		11,335		7,142
0.594% due 02/25/2036		62		29
0.663% due 03/19/2034		892		557
0.893% due 07/19/2034		62		34
0.973% due 09/19/2032		85		63
Structured Asset Securities Corp.
0.364% due 05/25/2036		274		255
3.716% due 01/25/2032		16		14
4.093% due 07/25/2032		185		141
4.504% due 10/25/2035		988		680
4.687% due 02/25/2032		275		243
TBW Mortgage-Backed Pass-Through Certificates
0.414% due 09/25/2036		3		3
0.424% due 01/25/2037		1,854		1,684
Thornburg Mortgage Securities Trust
0.414% due 03/25/2037		219		191
0.424% due 11/25/2046		6,314		5,677
0.444% due 06/25/2037		214		187
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		18,727		13,496
WaMu Mortgage Pass-Through Certificates
0.574% due 11/25/2045		266		129
0.584% due 12/25/2045		504		237
0.604% due 10/25/2045		1,074		563
0.624% due 01/25/2045		436		203
0.854% due 12/25/2027		7,955		5,951
0.954% due 12/25/2027		3,125		2,414
2.070% due 01/25/2047		935		415
2.080% due 01/25/2047		2,003		701
2.100% due 04/25/2047		2,938		1,228
2.139% due 02/25/2047		4,848		1,955
2.139% due 03/25/2047		4,164		1,701
2.150% due 12/25/2046		3,633		1,565
2.160% due 12/25/2046		1,845		632
2.340% due 02/25/2046		4,741		2,114
2.340% due 08/25/2046		27,551		9,865
2.540% due 11/25/2042		907		523
2.740% due 06/25/2042		1,193		867
2.740% due 08/25/2042		1,219		772
2.840% due 11/25/2046		377		247
2.877% due 02/27/2034		209		172
2.877% due 01/25/2047		527		220
2.880% due 05/25/2046		336		121
3.127% due 07/25/2046		520		219
3.127% due 08/25/2046		12,959		5,912
3.127% due 09/25/2046		943		411
3.127% due 12/25/2046		2,113		898
4.478% due 09/25/2033		2,447		2,205
4.542% due 09/25/2033		6,600		5,607
5.293% due 01/25/2037		1,372		802
5.394% due 02/25/2037		5,047		2,996
5.468% due 04/25/2037		967		580
5.575% due 12/25/2036		872		562
5.581% due 12/25/2036		2,957		1,824
5.632% due 05/25/2037		2,116		1,369
5.687% due 02/25/2037		2,590		1,449
5.833% due 02/25/2037		2,929		1,836
5.928% due 09/25/2036		1,550		1,007
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.310% due 05/25/2046		969		412
Washington Mutual MSC Mortgage Pass-Through Certificates
4.773% due 02/25/2031		3		3
5.380% due 02/25/2033		151		128
Wells Fargo Mortgage-Backed Securities Trust
3.585% due 12/25/2034		6,086		5,613
5.593% due 07/25/2036		1,901		1,277
Total Mortgage-Backed Securities (Cost $518,776)				361,787
ASSET-BACKED SECURITIES 6.0%
Aames Mortgage Investment Trust
0.464% due 08/25/2035		68		64
Accredited Mortgage Loan Trust
0.364% due 02/25/2037		590		543
ACE Securities Corp.
0.364% due 12/25/2036		688		505
0.374% due 10/25/2036		86		56
0.394% due 10/25/2036		203		197
0.404% due 06/25/2037		1,275		903
Amortizing Residential Collateral Trust
0.604% due 07/25/2032		63		34
1.014% due 10/25/2031		468		288
1.014% due 08/25/2032		432		194
Amresco Residential Securities Mortgage Loan Trust
1.254% due 06/25/2029		99		58
Argent Securities, Inc.
0.364% due 10/25/2036		57		56
Asset-Backed Funding Certificates
0.374% due 10/25/2036		91		90
0.374% due 11/25/2036		2,709		2,590
0.374% due 01/25/2037		3,921		3,239
0.664% due 06/25/2034		1,025		504
Asset-Backed Securities Corp. Home Equity
0.394% due 05/25/2037		785		626
0.589% due 09/25/2034		446		288
BA Credit Card Trust
0.519% due 01/15/2013		2,400		2,378
0.899% due 04/15/2013		1,000		993
Bear Stearns Asset-Backed Securities Trust
0.364% due 11/25/2036		538		474
0.384% due 12/25/2036		725		616
0.394% due 10/25/2036		248		220
0.644% due 01/25/2036		63		58
0.714% due 10/27/2032		224		153
0.764% due 03/25/2043		677		616
0.814% due 11/25/2042		106		79
0.974% due 10/25/2032		1,158		714
1.314% due 10/25/2037		4,401		2,373
Brazos Student Finance Corp.
1.110% due 06/01/2023		378		375
Capital Auto Receivables Asset Trust
1.239% due 03/15/2011		11,417		11,431
1.769% due 10/15/2012		3,400		3,378
Carrington Mortgage Loan Trust
0.364% due 01/25/2037		8,008		6,665
0.634% due 10/25/2035		1,241		964
Cendant Mortgage Corp.
5.986% due 07/25/2043		32		32
Chase Funding Mortgage Loan Asset-Backed Certificates
0.954% due 08/25/2032		67		48
CIT Group Home Equity Loan Trust
0.584% due 06/25/2033		41		30
Citigroup Mortgage Loan Trust, Inc.
0.354% due 12/25/2036		955		745
0.374% due 01/25/2037		22		22
0.374% due 07/25/2045		1,795		1,262
0.424% due 08/25/2036		820		584
0.424% due 03/25/2037		407		282
Contimortgage Home Equity Trust
0.999% due 03/15/2027		3		2
Countrywide Asset-Backed Certificates
0.364% due 03/25/2037		2,447		2,409
0.364% due 05/25/2037		10,907		10,321
0.364% due 07/25/2037		1,793		1,656
0.364% due 03/25/2047		145		141
0.364% due 05/25/2047		879		800
0.364% due 06/25/2047		428		397
0.374% due 03/25/2037		255		248
0.384% due 06/25/2047		1,095		1,015
0.394% due 06/25/2037		4,880		4,514
0.394% due 10/25/2047		842		740
0.414% due 08/25/2037		11,400		6,261
0.414% due 09/25/2037		878		785
0.414% due 09/25/2047		1,335		1,170
0.424% due 10/25/2046		673		634
0.474% due 02/25/2036		241		228
0.494% due 09/25/2036		1,914		1,356
0.504% due 06/25/2036		1,252		848
0.794% due 12/25/2031		63		27
1.054% due 05/25/2032		239		100
1.174% due 05/25/2033		33		19
Countrywide Home Equity Loan Trust
0.459% due 01/15/2037		131		78
Credit-Based Asset Servicing & Securitization LLC
0.374% due 11/25/2036		675		552
0.404% due 12/25/2037		557		531
0.434% due 07/25/2037		319		236
CS First Boston Mortgage Securities Corp.
0.934% due 01/25/2032		4		2
Daimler Chrysler Auto Trust
1.248% due 07/08/2011		2,460		2,461
Delta Funding Home Equity Loan Trust
1.139% due 09/15/2029		34		12
EMC Mortgage Loan Trust
0.684% due 05/25/2040		148		103
Equity One Asset-Backed Securities, Inc.
0.614% due 04/25/2034		627		238
0.874% due 11/25/2032		902		512
First Franklin Mortgage Loan Asset-Backed Certificates
0.354% due 01/25/2038		871		803
0.364% due 12/25/2036		7		7
0.384% due 12/25/2037		384		364
0.684% due 12/25/2034		79		63
First NLC Trust
0.384% due 08/25/2037		917		574
Ford Credit Auto Owner Trust
0.988% due 06/15/2010		68,100		68,154
1.219% due 01/15/2011		5,592		5,597
1.519% due 12/15/2010		1,219		1,221
1.739% due 06/15/2012		46,550		46,716
Franklin Auto Trust
1.315% due 10/20/2011		34,367		34,419
Fremont Home Loan Trust
0.364% due 10/25/2036		591		370
0.374% due 01/25/2037		1,184		769
Greenpoint Home Equity Loan Trust
0.679% due 01/15/2030		549		297
GSAMP Trust
0.384% due 09/25/2036		149		143
0.384% due 10/25/2036		78		63
0.384% due 12/25/2036		1,885		1,000
0.414% due 01/25/2047		976		899
0.604% due 03/25/2034		292		289
HFC Home Equity Loan Asset-Backed Certificates
0.385% due 03/20/2036		235		229
0.605% due 01/20/2034		1,720		1,191
Home Equity Asset Trust
0.374% due 05/25/2037		736		650
1.234% due 02/25/2033		1		0
HSBC Asset Loan Obligation
0.374% due 12/25/2036		1,435		1,267
HSI Asset Securitization Corp. Trust
0.374% due 05/25/2037		204		144
Indymac Residential Asset-Backed Trust
0.364% due 11/25/2036		29		29
0.374% due 04/25/2037		642		610
0.394% due 07/25/2037		722		656
0.444% due 04/25/2047		514		437
Irwin Home Equity Corp.
0.854% due 07/25/2032		270		139
JPMorgan Mortgage Acquisition Corp.
0.364% due 07/25/2036		653		619
0.364% due 08/25/2036		237		220
0.364% due 10/25/2036		1,916		1,489
0.374% due 03/25/2047		637		459
0.377% due 11/25/2036		230		218
0.394% due 03/25/2037		845		671
Lehman ABS Mortgage Loan Trust
0.404% due 06/25/2037		1,026		654
Lehman XS Trust
0.384% due 05/25/2046		4		4
0.394% due 11/25/2046		1,741		1,457
0.434% due 11/25/2036		283		276
0.464% due 04/25/2037		3,920		2,619
Long Beach Mortgage Loan Trust
0.354% due 11/25/2036		312		290
0.374% due 10/25/2036		10		9
0.494% due 08/25/2035		20		19
0.594% due 10/25/2034		359		230
1.014% due 03/25/2032		118		62
MASTR Asset-Backed Securities Trust
0.364% due 11/25/2036		665		553
0.364% due 01/25/2037		573		156
0.374% due 11/25/2036		757		703
0.394% due 05/25/2037		693		561
MBNA Credit Card Master Note Trust
0.419% due 12/15/2011		2,000		2,000
Merrill Lynch First Franklin Mortgage Loan Trust
0.374% due 07/25/2037		1,560		1,235
Merrill Lynch Mortgage Investors, Inc.
0.384% due 08/25/2036		594		590
0.384% due 07/25/2037		64		59
0.394% due 09/25/2037		13		11
0.434% due 02/25/2037		1,211		636
Morgan Stanley ABS Capital I
0.354% due 09/25/2036		17		17
0.354% due 10/25/2036		989		928
0.354% due 01/25/2037		1,127		976
0.364% due 10/25/2036		866		805
0.364% due 11/25/2036		1,659		1,577
0.374% due 05/25/2037		3,483		2,543
0.414% due 09/25/2036		125		83
1.114% due 07/25/2037		1,611		1,155
Morgan Stanley Home Equity Loan Trust
0.364% due 12/25/2036		820		733
Morgan Stanley IXIS Real Estate Capital Trust
0.364% due 11/25/2036		423		401
Nationstar Home Equity Loan Trust
0.374% due 03/25/2037		444		412
New Century Home Equity Loan Trust
0.494% due 05/25/2036		1,269		861
0.574% due 06/25/2035		82		41
Option One Mortgage Loan Trust
0.354% due 02/25/2037		37		37
0.364% due 01/25/2037		783		742
0.374% due 07/25/2037		911		765
0.854% due 06/25/2032		53		28
0.854% due 08/25/2032		252		139
Park Place Securities, Inc.
0.574% due 09/25/2035		617		393
Popular ABS Mortgage Pass-Through Trust
0.404% due 06/25/2047		1,867		1,465
Renaissance Home Equity Loan Trust
0.674% due 11/25/2034		456		302
0.754% due 08/25/2033		1,311		634
0.814% due 12/25/2033		709		338
Residential Asset Mortgage Products, Inc.
0.394% due 10/25/2036		33		32
0.414% due 08/25/2046		284		271
0.874% due 06/25/2032		10		5
Residential Asset Securities Corp.
0.374% due 01/25/2037		514		460
0.384% due 11/25/2036		1,081		1,064
0.384% due 02/25/2037		630		581
0.394% due 10/25/2036		73		72
0.424% due 04/25/2037		1,095		954
0.814% due 07/25/2032		141		54
SACO I, Inc.
0.374% due 05/25/2036		414		239
Salomon Brothers Mortgage Securities VII, Inc.
0.614% due 03/25/2032		297		265
Saxon Asset Securities Trust
0.374% due 10/25/2046		264		254
SBI HELOC Trust
0.484% due 08/25/2036		544		489
Securitized Asset-Backed Receivables LLC Trust
0.354% due 01/25/2037		518		438
0.364% due 09/25/2036		222		195
0.444% due 05/25/2037		545		340
SLC Student Loan Trust
0.863% due 02/15/2015		2,288		2,285
SLM Student Loan Trust
1.072% due 04/25/2014		3,441		3,432
1.082% due 10/27/2014		3,270		3,254
1.082% due 10/25/2016		271		271
1.082% due 07/25/2017		784		784
1.092% due 07/25/2017		2,300		2,237
2.592% due 04/25/2023		50,683		51,756
Soundview Home Equity Loan Trust
0.394% due 06/25/2037		1,378		1,103
Specialty Underwriting & Residential Finance
0.359% due 11/25/2037		36		35
0.374% due 01/25/2038		869		713
0.994% due 01/25/2034		90		29
Structured Asset Investment Loan Trust
0.364% due 07/25/2036		326		295
Structured Asset Securities Corp.
0.364% due 10/25/2036		4,527		4,136
0.394% due 01/25/2037		593		524
0.414% due 01/25/2037		919		658
0.424% due 04/25/2036		104		103
0.604% due 01/25/2033		1,784		1,271
4.900% due 04/25/2035		3,357		1,990
Truman Capital Mortgage Loan Trust
0.654% due 01/25/2034		114		113
WaMu Asset-Backed Certificates
0.364% due 01/25/2037		1,139		815
Washington Mutual Asset-Backed Certificates
0.374% due 10/25/2036		474		389
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		68		67
0.414% due 03/25/2037		371		351
0.554% due 10/25/2035		2,402		2,298
Total Asset-Backed Securities (Cost $395,364)				366,020
SOVEREIGN ISSUES 0.8%
International Bank for Reconstruction & Development
0.821% due 03/04/2011		12,800		12,796
Kommunalbanken AS
3.375% due 11/15/2011		33,300		34,210
Total Sovereign Issues (Cost $47,095)				47,006
FOREIGN CURRENCY-DENOMINATED ISSUES 0.5%
Atlas Reinsurance PLC
5.520% due 01/10/2010	EUR	2,300		3,211
Autoroutes du Sud de la France
5.625% due 07/04/2022		1,300		1,620
BTM Curacao Holdings NV
1.320% due 11/29/2049	JPY	200,000		2,007
Citigroup, Inc.
1.305% due 06/28/2013	EUR	2,300		2,698
Mizuho Bank Ltd.
1.432% due 12/31/2049	JPY	800,000		8,302
New York Life Funding
2.375% due 12/11/2009	CHF	600		554
Sumitomo Mitsui Banking Corp.
1.231% due 12/31/2049	JPY	100,000		1,035
1.269% due 06/29/2049		700,000		6,929
1.843% due 11/26/2049		200,000		2,068
Total Foreign Currency-Denominated Issues (Cost $24,439)				28,424
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.1%
Wells Fargo & Co.
7.500% due 12/31/2049		10,000		7,850
Total Convertible Preferred Stocks (Cost $3,950)				7,850
PREFERRED STOCKS 0.1%
DG Funding Trust
1.343% due 12/31/2049		328		2,837
Total Preferred Stocks (Cost $3,489)				2,837
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 4.5%
CERTIFICATES OF DEPOSIT 0.7%
Bank of Ireland
0.351% due 02/26/2010	$	1,200		1,179
Barclays Bank PLC
1.066% due 08/10/2009		9,670		9,668
Calyon Financial, Inc.
0.636% due 06/29/2010		400		395
Governor & Co. of the Bank of Ireland
1.171% due 01/15/2010		31,900		31,460
				42,702
REPURCHASE AGREEMENTS 0.3%
Barclays Capital, Inc.
0.020% due 07/01/2009		14,000		14,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $14,492. Repurchase proceeds are $14,000.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		5,873		5,873
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $5,994. Repurchase proceeds are $5,873.)
				19,873
U.S. TREASURY BILLS 0.2%
0.111% due 07/02/2009 - 07/30/2009 (c)(f)(g)(i)		13,393		13,393
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (e) 3.3%
		20,010,971		200,290
Total Short-Term Instruments (Cost $276,654)				276,258
PURCHASED OPTIONS (k) 0.1% (Cost $5,101)				7,896
Total Investments 118.4% (Cost $7,366,693)			$	7,254,521
Written Options (l) (0.1%) (Premiums $3,848)				(3,001	)
Other Assets and Liabilities (Net) (18.3%)				(1,122,725	)
Net Assets 100.0%			$	6,128,795

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

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

(a) Security is in default.

(b) Interest only security.

(c) Coupon represents a weighted average rate.

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

(e) Affiliated to the Fund.

(f) Securities with an aggregate market value of $9,356 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(g) Securities with an aggregate market value of $4,290 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(h) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $333,668 at a weighted average interest rate of 0.274%. On June 30, 2009, securities valued at $720,535 were pledged as collateral for reverse repurchase agreements.

(i) Securities with an aggregate market value of $4,546 and cash of $110 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	315	$	4,318
90-Day Eurodollar June Futures	Long	06/2010	796		(488	)
90-Day Eurodollar June Futures	Long	06/2011	1,000		(1,514	)
				$	2,316

(j) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection ⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Enbridge Energy Partners LP	MLP	0.280	%	06/20/2012	2.467	%	$	3,800	$	(230	)	$	0		$	(230	)
Energy Transfer Partners LP	BOA	0.330	%	06/20/2012	2.208	%		3,800		(199	)		0			(199	)
General Electric Capital Corp.	BCLY	5.000	%	06/20/2010	3.783	%		3,000		38			(165	)		203
General Electric Capital Corp.	BCLY	5.000	%	06/20/2011	4.022	%		5,000		97			(375	)		472
General Electric Capital Corp.	BCLY	5.000	%	06/20/2012	4.175	%		19,900		462			376			86
General Electric Capital Corp.	CITI	1.100	%	06/20/2010	3.927	%		7,000		(186	)		0			(186	)
General Electric Capital Corp.	DUB	1.020	%	06/20/2010	3.927	%		1,300		(36	)		0			(36	)
General Electric Capital Corp.	DUB	1.500	%	09/20/2011	4.219	%		1,300		(72	)		0			(72	)
General Electric Capital Corp.	MSC	5.000	%	06/20/2010	3.783	%		2,200		28			(77	)		105
General Electric Capital Corp.	MSC	5.000	%	06/20/2011	4.022	%		8,100		157			(486	)		643
Goldman Sachs Group, Inc.	JPM	0.850	%	09/20/2012	1.683	%		7,600		(191	)		0			(191	)
Kinder Morgan Energy Partners LP	MLP	0.290	%	06/20/2012	1.246	%		3,800		(104	)		0			(104	)
Morgan Stanley	BOA	0.870	%	09/20/2012	2.256	%		2,800		(115	)		0			(115	)
Morgan Stanley	JPM	0.800	%	09/20/2012	2.256	%		10,000		(432	)		0			(432	)
Plains All American Pipeline LP	BOA	0.320	%	06/20/2012	1.521	%		3,800		(129	)		0			(129	)
Valero Energy Corp.	BOA	0.320	%	06/20/2012	2.393	%		3,800		(218	)		0			(218	)
Wells Fargo & Co.	DUB	1.000	%	09/20/2013	1.476	%		1,000		(18	)		(25	)		7
									$	(1,148	)	$	(752	)	$	(396	)

Credit Default Swaps on Credit Indices - Sell Protection ⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-9 5-Year Index 30-100%	DUB	0.701	%	12/20/2012	$	10,695	$	127	$	0	$	127
CDX.IG-9 5-Year Index 30-100%	GSC	0.705	%	12/20/2012		681		8		0		8
							$	135	$	0	$	135

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	1.983	%	03/15/2012	BNP	EUR	3,400	$	68		$	7		$	61
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2012	UBS	AUD	141,300		(1,748	)		(598	)		(1,150	)
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	MSC	$	79,800		498			0			498
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	RBS		35,600		222			0			222
								$	(960	)	$	(591	)	$	(369	)

(k) Purchased options outstanding on June 30, 2009:

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC EUR versus JPY	JPY	148.300	05/20/2010	EUR	8,100	$	464	$	254
Put - OTC EUR versus JPY		148.300	05/20/2010		8,100		464		1,422
Call - OTC EUR versus USD	$	1.375	05/21/2010		9,000		443		785
Put - OTC EUR versus USD		1.375	05/21/2010		9,000		443		539
Call - OTC EUR versus USD		1.372	06/03/2010		6,800		331		614
Put - OTC EUR versus USD		1.372	06/03/2010		6,800		331		407
Call - OTC EUR versus USD		1.375	06/03/2010		11,600		556		1,029
Put - OTC EUR versus USD		1.375	06/03/2010		11,600		556		710
Call - OTC USD versus JPY	JPY	105.200	03/31/2010	$	5,000		211		54
Put - OTC USD versus JPY		105.200	03/31/2010		5,000		211		535
Call - OTC USD versus JPY		105.400	03/31/2010		13,000		546		135
Put - OTC USD versus JPY		105.400	03/31/2010		13,000		545		1,412
						$	5,101	$	7,896

(l) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar December Futures	$	98.625	12/14/2009	1,374	$	340	$	369
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	206		33		11
					$	373	$	380

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009	$	116,000	$	585	$	644
Put - OTC 7-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		200,000		1,590		1,111
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		122,000		1,091		678
Put - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.750	%	11/23/2009		14,500		209		188
									$	3,475	$	2,621

(m) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.500	%	07/01/2039	$	702,100	$	717,070	$	724,589
Fannie Mae	6.000	%	07/01/2039		381,100		396,433		398,309
						$	1,113,503	$	1,122,898

(n) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	DUB	7,690	07/2009	$	0	$	(71	)	$	(71	)
Buy		GSC	9,502	07/2009		178		0			178
Sell	CHF	JPM	605	07/2009		10		0			10
Buy		RBC	605	07/2009		0		(3	)		(3	)
Sell		RBC	605	10/2009		3		0			3
Buy	CLP	BCLY	267,804	11/2009		42		0			42
Buy		CITI	63,745	11/2009		10		0			10
Buy	CNY	BCLY	128,791	07/2009		0		(907	)		(907	)
Sell		BCLY	516,222	07/2009		1		(3,809	)		(3,808	)
Buy		DUB	333,126	07/2009		0		(2,267	)		(2,267	)
Sell		DUB	58,696	07/2009		13		(2	)		11
Buy		HSBC	73,588	07/2009		0		(547	)		(547	)
Buy		JPM	39,412	07/2009		0		(345	)		(345	)
Buy		BCLY	23,942	09/2009		1		0			1
Buy		DUB	20,428	09/2009		1		0			1
Buy		BCLY	20,771	03/2010		0		(6	)		(6	)
Buy		DUB	37,962	03/2010		0		(30	)		(30	)
Buy	EUR	BCLY	9,043	07/2009		68		0			68
Buy	GBP	BCLY	3,960	07/2009		449		0			449
Sell		BCLY	3,113	07/2009		0		(188	)		(188	)
Sell		CITI	18,344	07/2009		0		(1,797	)		(1,797	)
Buy		MSC	5,915	07/2009		0		(41	)		(41	)
Buy		RBS	11,582	07/2009		893		0			893
Sell		MSC	5,915	08/2009		41		0			41
Buy	MXN	DUB	343,073	11/2009		1,530		0			1,530
Buy	SGD	HSBC	1,186	07/2009		0		(1	)		(1	)
Sell		HSBC	1,039	07/2009		0		(34	)		(34	)
Buy	ZAR	BCLY	23,786	11/2009		565		0			565
					$	3,805	$	(10,048	)	$	(6,243	)

(o) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	1,779,323		$	7,360	$	1,786,683
U.S. Government Agencies		0		4,228,575			776		4,229,351
Mortgage-Backed Securities		0		361,107			680		361,787
Asset-Backed Securities		0		366,020			0		366,020
Other Investments++		208,140		302,540			0		510,680
Investments, at value	$	208,140	$	7,037,565		$	8,816	$	7,254,521
Short Sales, at value	$	0	$	(1,122,898	)	$	0	$	(1,122,898	)
Financial Derivative Instruments+++	$	2,316	$	(9,935	)	$	61	$	(7,558	)
Total	$	210,456	$	5,904,732		$	8,877	$	6,124,065

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	0		$	36	$	0	$	0		$	7,324		$	7,360
U.S. Government Agencies		797		(13	)		0		0		(8	)		0			776
Mortgage-Backed Securities		0		(37	)		0		0		110			607			680
Asset-Backed Securities		119		(6	)		0		0		0			(113	)		0
Investments, at value	$	916	$	(56	)	$	36	$	0	$	102		$	7,818		$	8,816
Financial Derivative Instruments+++	$	66	$	0		$	0	$	0	$	(5	)	$	0		$	61
Total	$	982	$	(56	)	$	36	$	0	$	97		$	7,818		$	8,877

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Small Cap StocksPLUS^® TR Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 28.2%
BANKING & FINANCE 22.1%
Allstate Corp.
6.125% due 05/15/2037	$	200	$	149
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		1,000		1,035
American General Finance Corp.
6.900% due 12/15/2017		100		54
American International Group, Inc.
5.850% due 01/16/2018		100		53
8.250% due 08/15/2018		1,800		1,061
ANZ National International Ltd.
1.014% due 08/07/2009		20		20
6.200% due 07/19/2013		400		413
Bank of America Corp.
1.213% due 08/15/2016		400		314
Barclays Bank PLC
5.450% due 09/12/2012		400		417
6.050% due 12/04/2017		100		87
Bear Stearns Cos. LLC
0.974% due 05/18/2010		200		200
1.093% due 08/15/2011		100		97
7.250% due 02/01/2018		300		317
7.625% due 12/07/2009		700		718
BNP Paribas
5.186% due 06/29/2049		130		85
Caterpillar Financial Services Corp.
4.850% due 12/07/2012		100		105
CBA Capital Trust II
6.024% due 03/29/2049		100		67
Citibank N.A.
1.625% due 03/30/2011		300		303
Citigroup Global Markets Holdings, Inc.
1.148% due 08/03/2009		20		20
Citigroup, Inc.
2.125% due 04/30/2012		200		201
5.850% due 07/02/2013		100		95
Credit Suisse USA, Inc.
1.083% due 08/15/2010		100		99
Deutsche Bank AG
1.154% due 02/17/2015		280		245
Dexia Credit Local
1.262% due 09/23/2011		2,300		2,294
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		600		519
7.375% due 02/01/2011		400		362
General Electric Capital Corp.
1.800% due 03/11/2011		200		202
3.000% due 12/09/2011		900		929
Goldman Sachs Group, Inc.
5.625% due 01/15/2017		10		9
5.950% due 01/18/2018		100		97
6.150% due 04/01/2018		100		97
6.250% due 09/01/2017		100		99
HBOS PLC
5.375% due 11/29/2049		900		435
International Lease Finance Corp.
0.881% due 05/24/2010		20		18
5.125% due 11/01/2010		1,000		893
JPMorgan Chase & Co.
6.000% due 01/15/2018		30		30
Lehman Brothers Holdings, Inc.
2.950% due 05/25/2010 (a)		300		46
5.625% due 01/24/2013 (a)		200		31
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		100		93
Monumental Global Funding Ltd.
5.500% due 04/22/2013		100		97
Morgan Stanley
6.250% due 08/28/2017		100		97
National Australia Bank Ltd.
2.550% due 01/13/2012		1,000		1,008
Nationwide Life Global Funding I
5.450% due 10/02/2012		700		686
Northern Rock PLC
5.625% due 06/22/2017		1,100		964
Pricoa Global Funding I
0.801% due 09/27/2013		100		77
1.139% due 01/30/2012		100		94
1.446% due 06/04/2010		700		694
Principal Life Income Funding Trusts
5.550% due 04/27/2015		100		99
Protective Life Secured Trusts
0.481% due 11/09/2010		1,200		1,061
Rabobank Nederland NV
11.000% due 12/29/2049		75		84
Regions Financial Corp.
6.375% due 05/15/2012		390		358
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		2,700		2,697
2.625% due 05/11/2012		2,300		2,319
6.990% due 10/29/2049		100		49
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		100		74
Societe Financement de l’Economie Francaise
2.375% due 03/26/2012		200		202
Textron Financial Corp.
0.791% due 02/25/2011		1,000		888
TransCapitalInvest Ltd. for OJSC AK Transneft
8.700% due 08/07/2018		200		193
UBS Preferred Funding Trust V
6.243% due 05/29/2049		100		59
Wells Fargo & Co.
5.625% due 12/11/2017		100		99
				24,208
INDUSTRIALS 4.6%
Amgen, Inc.
6.900% due 06/01/2038		100		114
C8 Capital SPV Ltd.
6.640% due 12/29/2049		100		51
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		100		103
Dell, Inc.
5.650% due 04/15/2018		100		102
EnCana Corp.
4.600% due 08/15/2009		1,000		1,004
Gaz Capital S.A.
8.625% due 04/28/2034		100		98
Home Depot, Inc.
3.750% due 09/15/2009		900		902
International Business Machines Corp.
5.700% due 09/14/2017		400		425
Kimberly-Clark Corp.
1.139% 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		104
Oracle Corp.
5.750% due 04/15/2018		200		211
Suncor Energy, Inc.
6.100% due 06/01/2018		200		201
TransCanada Pipelines Ltd.
7.625% due 01/15/2039		400		468
Union Pacific Corp.
5.700% due 08/15/2018		100		100
UST, Inc.
5.750% due 03/01/2018		1,100		1,006
				5,087
UTILITIES 1.5%
Dominion Resources, Inc.
1.664% due 06/17/2010		400		398
Ohio Power Co.
0.775% due 04/05/2010		100		99
Verizon Communications, Inc.
8.950% due 03/01/2039		800		1,013
Verizon Wireless Capital LLC
3.316% due 05/20/2011		100		103
				1,613
Total Corporate Bonds & Notes (Cost $31,898)				30,908
U.S. GOVERNMENT AGENCIES 147.1%
Fannie Mae
5.000% due 02/25/2017 - 10/01/2023		892		927
5.000% due 09/01/2035 (f)		2,266		2,315
5.500% due 05/01/2022		744		780
5.500% due 09/01/2023 (g)		95		100
5.953% due 06/21/2027		4,000		4,225
6.000% due 08/01/2027 - 07/01/2039		37,303		39,013
6.000% due 02/01/2036 - 12/01/2038 (f)		44,451		46,538
6.000% due 12/01/2037 - 11/01/2038 (g)		5,920		6,195
6.500% due 09/01/2037		728		776
Freddie Mac
0.354% due 12/25/2036		46		44
0.469% due 07/15/2019 - 10/15/2020		385		377
0.702% due 03/09/2011 (e)		282		283
0.926% due 05/04/2011		3,907		3,917
0.937% due 08/05/2011 (e)		18,500		18,507
4.250% due 09/15/2024		18		18
5.500% due 09/01/2037 - 07/01/2038		840		868
5.500% due 02/01/2038 - 11/01/2038 (f)		25,051		25,891
6.000% due 07/01/2039		900		939
Ginnie Mae
5.500% due 05/15/2037 - 07/01/2039		1,919		1,981
6.000% due 06/15/2037 - 07/15/2037		913		953
Small Business Administration
5.290% due 12/01/2027		178		186
5.720% due 01/01/2029		2,800		3,017
6.020% due 08/01/2028		3,036		3,329
Total U.S. Government Agencies (Cost $157,862)				161,179
U.S. TREASURY OBLIGATIONS 6.4%
Treasury Inflation Protected Securities (c)
1.625% due 01/15/2015		3,131		3,115
1.875% due 07/15/2013		3,718		3,812
U.S. Treasury Notes
0.875% due 04/30/2011 (g)		51		51
Total U.S. Treasury Obligations (Cost $6,908)				6,978
MORTGAGE-BACKED SECURITIES 2.3%
Citigroup Mortgage Loan Trust, Inc.
0.379% due 01/25/2037		33		28
Commercial Mortgage Pass-Through Certificates
0.818% due 02/16/2034		1,182		1,053
Countrywide Alternative Loan Trust
0.474% due 02/25/2047		67		25
0.514% due 06/25/2037		235		92
2.340% due 02/25/2036		25		11
Countrywide Home Loan Mortgage Pass-Through Trust
4.711% due 02/20/2035		41		32
4.786% due 11/25/2034		32		24
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		61		52
GSR Mortgage Loan Trust
5.241% due 11/25/2035		76		59
Harborview Mortgage Loan Trust
0.483% due 12/19/2036		2,398		993
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		8		8
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		10		9
JPMorgan Mortgage Trust
5.012% due 02/25/2035		53		46
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		12		11
Structured Asset Securities Corp.
4.504% due 10/25/2035		11		8
TBW Mortgage-Backed Pass-Through Certificates
0.414% due 09/25/2036		1		1
WaMu Mortgage Pass-Through Certificates
0.954% due 12/25/2027		42		33
2.070% due 01/25/2047		72		32
3.127% due 09/25/2046		7		3
3.127% due 10/25/2046		17		8
Total Mortgage-Backed Securities (Cost $3,484)				2,528
ASSET-BACKED SECURITIES 0.8%
Asset-Backed Securities Corp. Home Equity
0.589% due 09/25/2034		1		1
Bear Stearns Asset-Backed Securities Trust
0.394% due 10/25/2036		12		11
Citigroup Mortgage Loan Trust, Inc.
0.374% due 07/25/2045		120		84
0.424% due 08/25/2036		55		39
Countrywide Asset-Backed Certificates
0.494% due 09/25/2036		179		127
Credit-Based Asset Servicing & Securitization LLC
0.434% due 07/25/2037		53		39
Ford Credit Auto Owner Trust
0.919% due 07/15/2010		26		26
GE-WMC Mortgage Securities LLC
0.354% due 08/25/2036		2		2
Honda Auto Receivables Owner Trust
3.770% due 09/20/2010		392		395
Indymac Residential Asset-Backed Trust
0.394% due 07/25/2037		33		30
0.444% due 04/25/2047		103		87
JPMorgan Mortgage Acquisition Corp.
0.374% due 03/25/2047		49		35
Lehman XS Trust
0.394% due 11/25/2046		8		7
0.434% due 11/25/2036		1		1
Long Beach Mortgage Loan Trust
0.374% due 10/25/2036		3		3
Morgan Stanley ABS Capital I
0.364% due 07/25/2036		17		10
Park Place Securities, Inc.
0.626% due 10/25/2034		7		5
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		24		13
Total Asset-Backed Securities (Cost $1,092)				915
SOVEREIGN ISSUES 0.5%
Korea Development Bank
1.317% due 04/03/2010		100		98
Mexico Government International Bond
5.950% due 03/19/2019		400		406
Total Sovereign Issues (Cost $499)				504
FOREIGN CURRENCY-DENOMINATED ISSUES 4.1%
Brazil Government International Bond
12.500% due 01/05/2022	BRL	300		171
Citigroup Capital XVIII
6.829% due 06/28/2067	GBP	1,500		1,295
Fortis Bank Nederland Holding NV
3.000% due 04/17/2012	EUR	100		142
Goldman Sachs Group, Inc.
1.665% due 02/04/2013		400		511
LeasePlan Corp. NV
3.125% due 02/10/2012		200		284
Morgan Stanley
1.600% due 03/01/2013		1,700		2,121
Total Foreign Currency-Denominated Issues (Cost $4,178)				4,524
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.0%
American International Group, Inc.
8.500% due 08/01/2011		2,300		22
Total Convertible Preferred Stocks (Cost $173)				22
PREFERRED STOCKS 0.0%
DG Funding Trust
1.343% due 12/31/2049		2		17
Total Preferred Stocks (Cost $21)				17
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 13.7%
U.S. TREASURY BILLS 6.6%
1.194% due 07/02/2009 - 07/23/2009 (b)(e)(g)	$	7,285		7,285
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 7.1%
		775,722		7,764
Total Short-Term Instruments (Cost $15,049)				15,049
PURCHASED OPTIONS (i) 0.1% (Cost $23)				68
Total Investments 203.2% (Cost $221,187)			$	222,692
Written Options (j) (0.0%) (Premiums $113)				(45	)
Other Assets and Liabilities (Net) (103.2%)				(113,077	)
Net Assets 100.0%			$	109,570

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $1,153 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $98,815 at a weighted average interest rate of 0.423%. On June 30, 2009, securities valued at $74,415 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $13,270 and cash of $282 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	3	$	2
90-Day Euribor March Futures	Long	03/2010	10		15
90-Day Eurodollar December Futures	Long	12/2009	21		8
90-Day Eurodollar December Futures	Long	12/2010	77		(53	)
90-Day Eurodollar June Futures	Long	06/2010	69		42
90-Day Eurodollar March Futures	Long	03/2010	13		81
90-Day Eurodollar September Futures	Long	09/2009	4		1
90-Day Eurodollar September Futures	Long	09/2010	11		25
E-Mini Russell 2000 Index September Futures	Long	09/2009	110		(165	)
S&P 500 Index September Futures	Short	09/2009	2		12
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	7		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	7		1
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	6		4
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	1		(1	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	7		(1	)
				$	(33	)

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American International Group, Inc.	BCLY	5.000	%	12/20/2013	15.312	%	$	900	$	(254	)	$	(81	)	$	(173	)
Brazil Government International Bond	CSFB	3.250	%	12/20/2009	0.793	%		1,000		13			0			13
Chrysler Financial	DUB	5.050	%	09/20/2012	8.590	%		300		(26	)		0			(26	)
CIT Group, Inc.	MSC	5.650	%	03/20/2013	17.180	%		100		(26	)		0			(26	)
General Electric Capital Corp.	BCLY	0.620	%	03/20/2011	4.121	%		100		(6	)		0			(6	)
General Electric Capital Corp.	BCLY	4.700	%	12/20/2013	4.336	%		1,700		25			0			25
General Electric Capital Corp.	CITI	4.325	%	12/20/2013	4.336	%		300		0			0			0
General Electric Capital Corp.	CITI	4.850	%	12/20/2013	4.336	%		900		18			0			18
General Electric Capital Corp.	DUB	4.750	%	12/20/2013	4.336	%		900		15			0			15
SLM Corp.	BCLY	5.000	%	12/20/2013	8.248	%		1,000		(104	)		(135	)		31
SLM Corp.	CITI	5.600	%	09/20/2009	8.948	%		1,500		(9	)		0			(9	)
SLM Corp.	CITI	5.000	%	12/20/2013	8.248	%		1,900		(197	)		(271	)		74
									$	(551	)	$	(487	)	$	(64	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012	$	97	$	1	$	0	$	1
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017		194		1		0		1
							$	2	$	0	$	2

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS	EUR	100	$	2		$	0		$	2
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	100		0			0			0
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	BCLY		900		(4	)		0			(4	)
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	JPM		600		(2	)		0			(2	)
Pay	1-Year BRL-CDI	10.610	%	01/02/2012	HSBC		1,400		(6	)		0			(6	)
Pay	1-Year BRL-CDI	11.980	%	01/02/2012	MLP		100		1			0			1
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MLP		100		(3	)		(1	)		(2	)
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		100		4			0			4
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	UBS	AUD	700		(2	)		0			(2	)
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	BOA	$	700		2			(15	)		17
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		2,100		4			(33	)		37
Pay	6-Month AUD Bank Bill	4.250	%	09/15/2011	UBS	AUD	300		0			3			(3	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	BNP	EUR	900		103			(14	)		117
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	DUB	GBP	300		34			0			34
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	GSC		300		40			0			40
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	RBS		500		66			0			66
								$	239		$	(60	)	$	299

Total Return Swaps on Indices

Pay/Receive Total Return on Reference Index	Index	# of Shares or Units	Floating Rate(5)	Notional Amount		Maturity Date	Counterparty	Unrealized (Depreciation)
Receive	Russell 2000 Index	46,060	1-Month USD-LIBOR less 1.600%	$	103,212	10/15/2009	MLP	$	(592	)

⁽⁵⁾ 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, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	500	$	5	$	18
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		700		7		25
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		600		6		21
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		100		1		4
									$	19	$	68

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC Fannie Mae 5.000% due 07/01/2039	$	90.000	07/06/2009	$	6,400	$	1	$	0
Put - OTC Fannie Mae 5.500% due 07/01/2039		93.000	07/06/2009		6,600		1		0
Put - OTC Fannie Mae 5.500% due 07/01/2039		96.000	07/06/2009		16,000		2		0
Put - OTC Ginnie Mae 5.500% due 07/01/2039		93.000	07/06/2009		2,000		0		0
						$	4	$	0

(j) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	55	$	12	$	2

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	1,000	$	4	$	1
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		4,000		16		8
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		5,500		25		8
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		1,000		4		1
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		1,500		8		1
Put - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		500		2		0
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		11,500		42		24
									$	101	$	43

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.000	%	07/01/2039	$	2,000	$	2,031	$	2,035

(l) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	HSBC	883	08/2009	$	33	$	0		$	33
Buy		MLP	295	08/2009		12		0			12
Buy	CAD	JPM	318	08/2009		0		(17	)		(17	)
Buy	CNY	BCLY	3,849	07/2009		0		(29	)		(29	)
Sell		BCLY	1,008	07/2009		0		(8	)		(8	)
Sell		CITI	5,565	07/2009		0		(18	)		(18	)
Buy		DUB	10,657	07/2009		0		(86	)		(86	)
Sell		DUB	4,438	07/2009		0		(16	)		(16	)
Buy		HSBC	3,642	07/2009		0		(25	)		(25	)
Sell		HSBC	5,082	07/2009		0		(17	)		(17	)
Buy		JPM	3,766	07/2009		0		(33	)		(33	)
Sell		JPM	5,821	07/2009		0		(23	)		(23	)
Buy		BCLY	1,799	09/2009		6		0			6
Sell		BCLY	554	09/2009		0		(2	)		(2	)
Buy		CITI	69	09/2009		0		0			0
Buy		DUB	139	09/2009		0		0			0
Buy		HSBC	139	09/2009		0		0			0
Sell		HSBC	638	09/2009		0		(2	)		(2	)
Sell		JPM	954	09/2009		0		(4	)		(4	)
Buy		BCLY	878	03/2010		0		(1	)		(1	)
Buy		HSBC	880	03/2010		0		0			0
Buy		JPM	5,363	03/2010		0		(2	)		(2	)
Sell	EUR	BCLY	1,416	07/2009		0		(11	)		(11	)
Sell		GSC	13	07/2009		0		0			0
Buy	GBP	BCLY	1,331	07/2009		13		(4	)		9
Sell		BCLY	9	07/2009		0		0			0
Sell		CITI	2,534	07/2009		0		(248	)		(248	)
Sell		GSC	13	07/2009		0		0			0
Buy		MSC	968	07/2009		0		(7	)		(7	)
Buy		RBC	227	07/2009		4		0			4
Buy		RBS	30	07/2009		2		0			2
Sell		MSC	968	08/2009		7		0			7
Buy	JPY	BNP	23,535	07/2009		0		0			0
Buy		MSC	23,535	08/2009		0		0			0
Buy	SGD	HSBC	29	07/2009		0		0			0
Sell		HSBC	29	07/2009		0		(1	)		(1	)
					$	77	$	(554	)	$	(477	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)			Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0		$	30,908		$	0		$	30,908
U.S. Government Agencies		0			161,179			0			161,179
U.S. Treasury Obligations		0			6,978			0			6,978
Short-Term Instruments		7,764			7,285			0			15,049
Other Investments++		22			8,548			8			8,578
Investments, at value	$	7,786		$	214,898		$	8		$	222,692
Short Sales, at value	$	0		$	(2,035	)	$	0		$	(2,035	)
Financial Derivative Instruments+++	$	(33	)	$	(852	)	$	(25	)	$	(910	)
Total	$	7,753		$	212,011		$	(17	)	$	219,747

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
Other Investments++	$	0		$	0	$	0	$	0	$	0	$	8	$	8
Investments, at value	$	0		$	0	$	0	$	0	$	0	$	8	$	8
Financial Derivative Instruments+++	$	(135	)	$	0	$	0	$	0	$	107	$	3	$	(25	)
Total	$	(135	)	$	0	$	0	$	0	$	107	$	11	$	(17	)

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

StocksPLUS^® Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 20.7%
BANKING & FINANCE 14.7%
CIT Group, Inc.
1.170% due 02/13/2012	$	500	$	295
Citigroup, Inc.
6.125% due 11/21/2017		1,100		966
Comerica Bank
0.400% due 06/30/2010		1,100		1,064
Dexia Credit Local
1.262% due 09/23/2011		7,900		7,880
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		100		97
7.375% due 10/28/2009		600		595
7.875% due 06/15/2010		200		190
Goldman Sachs Group, Inc.
1.059% due 03/22/2016		1,100		933
1.501% due 07/22/2015		400		345
International Lease Finance Corp.
5.625% due 09/15/2010		300		270
JPMorgan Chase Bank N.A.
0.959% due 06/13/2016		700		572
6.000% due 10/01/2017		700		682
Lehman Brothers Holdings, Inc.
2.911% due 08/21/2009 (a)		1,500		229
2.950% due 05/25/2010 (a)		9,500		1,449
3.011% due 12/23/2010 (a)		2,500		381
3.053% due 11/10/2009 (a)		1,300		198
Macquarie Bank Ltd.
2.600% due 01/20/2012		4,100		4,127
Marshall & Ilsley Corp.
5.626% due 08/17/2009		900		897
Morgan Stanley
1.449% due 01/09/2014		800		719
1.611% due 10/15/2015		1,600		1,373
Pricoa Global Funding I
1.446% due 06/04/2010		1,500		1,488
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		7,000		6,993
2.625% due 05/11/2012		2,500		2,520
Sun Life Financial Global Funding LP
0.755% due 07/06/2011		1,000		899
Wells Fargo & Co.
7.980% due 03/29/2049		2,600		2,161
				37,323
INDUSTRIALS 5.3%
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		600		616
Daimler Finance North America LLC
5.750% due 09/08/2011		1,400		1,429
Home Depot, Inc.
0.749% due 12/16/2009		1,300		1,296
Hospira, Inc.
1.078% due 03/30/2010		1,200		1,190
Pemex Project Funding Master Trust
1.250% due 12/03/2012		3,600		3,384
Reynolds American, Inc.
1.329% due 06/15/2011		2,800		2,620
Rockies Express Pipeline LLC
4.500% due 08/20/2009		2,800		2,800
				13,335
UTILITIES 0.7%
NiSource Finance Corp.
1.231% due 11/23/2009		600		595
Telecom Italia Capital S.A.
1.508% due 02/01/2011		1,300		1,250
				1,845
Total Corporate Bonds & Notes (Cost $63,964)				52,503
U.S. GOVERNMENT AGENCIES 30.5%
Fannie Mae
0.429% due 03/25/2034		1,062		967
0.714% due 05/25/2031		2,608		2,567
2.638% due 07/01/2044		313		307
2.877% due 04/01/2018		45		45
3.392% due 11/01/2035		746		758
4.149% due 05/01/2022		4		4
4.273% due 11/01/2027		39		40
4.331% due 11/01/2028		52		52
4.390% due 07/01/2028		35		35
4.418% due 04/01/2028		34		34
4.467% due 11/01/2028		59		59
4.647% due 12/01/2036		1,439		1,448
4.712% due 04/01/2035		5,187		5,371
4.824% due 02/01/2027		5		5
4.845% due 09/01/2034		1,372		1,381
4.998% due 12/01/2023		3		3
5.000% due 02/25/2017 - 06/01/2035		7,224		7,491
5.082% due 12/01/2033		980		1,012
5.500% due 09/01/2033 - 02/01/2037		8,244		8,546
5.500% due 11/01/2034 (e)		4,098		4,249
5.691% due 08/01/2029		28		28
6.000% due 01/01/2017 - 07/01/2039		3,910		4,105
6.000% due 04/01/2036 - 11/01/2036 (e)		11,560		12,111
7.000% due 02/01/2015 - 03/01/2015		714		754
7.500% due 09/01/2015 - 05/01/2016		546		581
8.000% due 03/01/2030 - 07/01/2031		129		141
Freddie Mac
0.669% due 12/15/2030		858		846
0.702% due 03/09/2011 (d)		928		931
0.719% due 06/15/2018		341		335
0.888% due 02/01/2011 (d)		320		320
0.937% due 08/05/2011 (d)		2,957		2,958
2.639% due 02/25/2045		1,565		1,492
3.566% due 06/01/2022		15		15
4.256% due 12/01/2022		33		33
4.577% due 07/01/2019		412		421
4.700% due 06/01/2035		3,513		3,618
5.000% due 07/15/2024		1,645		1,676
5.500% due 08/15/2030 - 10/01/2038		2,473		2,556
6.000% due 03/01/2016 - 08/01/2038		4,668		4,911
6.500% due 10/25/2043		1,921		2,042
8.500% due 04/01/2025 - 06/01/2025		19		22
Ginnie Mae
0.715% due 09/20/2030		3		3
4.125% due 12/20/2022 - 12/20/2027		343		348
4.375% due 02/20/2026 - 02/20/2028		378		386
4.625% due 07/20/2018 - 07/20/2027		1,540		1,578
5.375% due 05/20/2026 - 06/20/2027		357		368
8.000% due 04/20/2030		151		171
Total U.S. Government Agencies (Cost $75,567)				77,124
U.S. TREASURY OBLIGATIONS 1.4%
U.S. Treasury Notes
0.875% due 04/30/2011 (f)		3,498		3,489
Total U.S. Treasury Obligations (Cost $3,499)				3,489
MORTGAGE-BACKED SECURITIES 11.4%
Bank Mart
4.567% due 03/01/2019 (j)		503		398
Bear Stearns Adjustable Rate Mortgage Trust
5.021% due 04/25/2033		437		392
5.063% due 11/25/2034		2,057		1,728
5.088% due 02/25/2033		75		67
5.106% due 01/25/2034		1,444		1,110
5.583% due 01/25/2034		82		74
Bear Stearns Alt-A Trust
5.490% due 09/25/2035		516		281
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		1,697		938
5.714% due 12/26/2046		958		584
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		15		13
Citigroup Mortgage Loan Trust, Inc.
2.850% due 12/25/2035		1,263		1,031
Countrywide Alternative Loan Trust
0.494% due 05/25/2047		1,464		550
6.000% due 10/25/2033		813		785
CS First Boston Mortgage Securities Corp.
1.135% due 03/25/2032		357		270
4.151% due 06/25/2032		34		29
5.329% due 06/25/2032		10		8
Fund America Investors Corp. II
4.325% due 06/25/2023		10		9
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		1,118		921
0.584% due 11/25/2045		572		273
GSR Mortgage Loan Trust
0.664% due 01/25/2034		273		208
Harborview Mortgage Loan Trust
0.503% due 01/19/2038		3,575		1,529
Impac CMB Trust
1.074% due 10/25/2033		64		40
1.314% due 07/25/2033		1,281		945
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		417		391
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		663		618
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		196		173
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		708		382
Morgan Stanley Capital I
0.380% due 10/15/2020		527		391
Prime Mortgage Trust
0.714% due 02/25/2019		89		84
0.714% due 02/25/2034		524		424
Resecuritization Mortgage Trust
0.558% due 04/26/2021		1		1
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		329		331
Salomon Brothers Mortgage Securities VII, Inc.
4.416% due 12/25/2030		536		467
Structured Asset Mortgage Investments, Inc.
0.563% due 07/19/2035		1,493		940
0.594% due 02/25/2036		810		373
9.383% due 06/25/2029		645		642
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		2,398		1,766
0.409% due 09/15/2021		5,113		3,685
WaMu Mortgage Pass-Through Certificates
0.584% due 12/25/2045		818		384
0.604% due 10/25/2045		456		239
2.340% due 02/25/2046		4,279		1,908
2.540% due 11/25/2042		190		110
2.740% due 06/25/2042		683		497
2.877% due 02/27/2034		1,689		1,384
Wells Fargo Mortgage-Backed Securities Trust
4.947% due 01/25/2035		1,817		1,521
Total Mortgage-Backed Securities (Cost $42,930)				28,894
ASSET-BACKED SECURITIES 4.0%
AFC Home Equity Loan Trust
0.864% due 06/25/2028		333		146
Bear Stearns Asset-Backed Securities Trust
0.404% due 06/25/2047		613		466
Chase Funding Mortgage Loan Asset-Backed Certificates
1.054% due 10/25/2032		214		164
Chase Issuance Trust
2.129% due 09/15/2015		5,200		5,202
Citigroup Mortgage Loan Trust, Inc.
0.374% due 07/25/2045		3,111		2,188
CS First Boston Mortgage Securities Corp.
0.934% due 01/25/2032		275		180
HFC Home Equity Loan Asset-Backed Certificates
0.585% due 01/20/2035		1,600		996
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		351		213
JPMorgan Mortgage Acquisition Corp.
0.377% due 11/25/2036		99		93
Long Beach Mortgage Loan Trust
0.594% due 10/25/2034		49		32
Morgan Stanley ABS Capital I
0.354% due 10/25/2036		247		232
Saxon Asset Securities Trust
0.374% due 10/25/2046		113		109
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		53		52
Total Asset-Backed Securities (Cost $12,226)				10,073
SOVEREIGN ISSUES 4.7%
Export-Import Bank of Korea
1.094% due 11/16/2010		5,900		5,688
8.125% due 01/21/2014		3,100		3,398
Hydro Quebec
1.875% due 09/29/2049		1,200		834
Korea Development Bank
0.996% due 11/22/2012		2,200		1,942
Total Sovereign Issues (Cost $12,224)				11,862
FOREIGN CURRENCY-DENOMINATED ISSUES 1.7%
American International Group, Inc.
2.875% due 06/20/2011	CHF	1,000		661
ASB Finance Ltd.
1.349% due 02/13/2012	EUR	2,000		2,574
Sumitomo Mitsui Banking Corp.
1.151% due 06/02/2049	JPY	100,000		976
Total Foreign Currency-Denominated Issues (Cost $3,916)				4,211
		SHARES
CONVERTIBLE PREFERRED STOCKS 0.5%
American International Group, Inc.
8.500% due 08/01/2011		109,100		1,039
General Motors Corp.
5.250% due 03/06/2032		72,000		207
Total Convertible Preferred Stocks (Cost $1,221)				1,246
PREFERRED STOCKS 3.1%
DG Funding Trust
1.343% due 12/31/2049		913		7,897
Total Preferred Stocks (Cost $9,564)				7,897
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 20.1%
REPURCHASE AGREEMENTS 1.0%
Barclays Capital, Inc.
0.020% due 07/01/2009	$	700		700
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $726. Repurchase proceeds are $700.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		1,729		1,729
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $1,765. Repurchase proceeds are $1,729.)
				2,429
U.S. TREASURY BILLS 0.2%
0.108% due 07/16/2009 - 07/30/2009 (b)(d)(f)		471		471
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 18.9%
		4,780,508		47,848
Total Short-Term Instruments (Cost $50,749)				50,748
PURCHASED OPTIONS (h) 0.3% (Cost $161)				679
Total Investments 98.4% (Cost $276,021)			$	248,726
Written Options (i) (0.0%) (Premiums $62)				(13	)
Other Assets and Liabilities (Net) 1.6%				4,134
Net Assets 100.0%			$	252,847

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) Affiliated to the Fund.

(d) Securities with an aggregate market value of $4,219 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $96,321 at a weighted average interest rate of 0.421%. On June 30, 2009, securities valued at $16,189 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $3,306 and cash of $145 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	7	$	6
90-Day Euribor March Futures	Long	03/2010	7		8
90-Day Eurodollar December Futures	Long	12/2009	47		19
90-Day Eurodollar December Futures	Long	12/2010	48		(39	)
90-Day Eurodollar June Futures	Long	06/2010	39		11
90-Day Eurodollar March Futures	Long	03/2010	40		246
90-Day Eurodollar September Futures	Long	09/2009	10		3
E-mini S&P 500 Index September Futures	Long	09/2009	496		336
S&P 500 Index September Futures	Long	09/2009	25		(44	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	14		96
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures Put Options Strike @ GBP 93.000	Short	09/2009	335		239
				$	881

(g) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American Express Co.	CITI	1.950	%	03/20/2013	2.406	%	$	1,600	$	(24	)	$	0		$	(24	)
American Express Co.	CITI	4.250	%	12/20/2013	2.341	%		800		61			0			61
American Express Co.	DUB	2.060	%	03/20/2013	2.406	%		800		(9	)		0			(9	)
American International Group, Inc.	BOA	0.910	%	12/20/2012	16.302	%		600		(216	)		0			(216	)
American International Group, Inc.	BOA	0.930	%	12/20/2012	16.302	%		1,000		(360	)		0			(360	)
American International Group, Inc.	RBS	0.780	%	12/20/2012	16.302	%		600		(218	)		0			(218	)
Berkshire Hathaway Finance Corp.	BCLY	1.000	%	03/20/2013	2.416	%		600		(28	)		0			(28	)
Berkshire Hathaway Finance Corp.	CSFB	0.850	%	03/20/2013	2.416	%		1,500		(79	)		0			(79	)
Berkshire Hathaway Finance Corp.	DUB	0.930	%	03/20/2013	2.416	%		1,800		(90	)		0			(90	)
Berkshire Hathaway Finance Corp.	RBS	0.870	%	03/20/2013	2.416	%		1,500		(78	)		0			(78	)
Brazil Government International Bond	DUB	0.980	%	01/20/2012	1.265	%		1,300		(3	)		0			(3	)
CIT Group, Inc.	DUB	5.000	%	12/20/2013	16.484	%		1,100		(319	)		(275	)		(44	)
CIT Group, Inc.	JPM	5.750	%	03/20/2013	17.180	%		1,500		(388	)		0			(388	)
General Electric Capital Corp.	BNP	0.770	%	03/20/2013	4.347	%		1,400		(160	)		0			(160	)
General Electric Capital Corp.	BNP	4.600	%	12/20/2013	4.336	%		2,800		31			0			31
General Electric Capital Corp.	BNP	4.700	%	12/20/2013	4.336	%		600		9			0			9
General Electric Capital Corp.	CITI	4.000	%	12/20/2013	4.336	%		700		(8	)		0			(8	)
General Electric Capital Corp.	CITI	4.200	%	12/20/2013	4.336	%		1,300		(5	)		0			(5	)
General Electric Capital Corp.	CITI	4.325	%	12/20/2013	4.336	%		800		0			0			0
General Electric Capital Corp.	DUB	4.230	%	12/20/2013	4.336	%		900		(3	)		0			(3	)
General Electric Capital Corp.	MSC	0.750	%	03/20/2013	4.347	%		2,300		(265	)		0			(265	)
GMAC LLC	MLP	1.850	%	09/20/2009	13.784	%		1,000		(26	)		0			(26	)
HSBC Finance Corp.	RBS	1.800	%	03/20/2010	4.882	%		1,400		(30	)		0			(30	)
MBIA, Inc.	BOA	2.800	%	12/20/2012	37.168	%		600		(342	)		0			(342	)
MBIA, Inc.	DUB	3.400	%	12/20/2012	44.795	%		600		(380	)		0			(380	)
MetLife, Inc.	JPM	1.700	%	03/20/2013	5.554	%		1,000		(118	)		0			(118	)
Mexico Government International Bond	BCLY	0.390	%	01/20/2012	1.663	%		5,000		(149	)		0			(149	)
Mexico Government International Bond	JPM	3.030	%	12/20/2009	1.180	%		1,000		10			0			10
Michigan State General Obligation Notes, Series 2003	GSC	0.440	%	03/20/2018	2.850	%		1,400		(154	)		0			(154	)
Prudential Financial, Inc.	BCLY	1.800	%	03/20/2013	5.559	%		1,500		(173	)		0			(173	)
Prudential Financial, Inc.	CSFB	1.870	%	03/20/2013	5.559	%		900		(102	)		0			(102	)
Prudential Financial, Inc.	CSFB	1.960	%	03/20/2013	5.559	%		2,500		(276	)		0			(276	)
Prudential Financial, Inc.	JPM	2.350	%	03/20/2013	5.559	%		1,600		(157	)		0			(157	)
Prudential Financial, Inc.	RBS	1.900	%	03/20/2013	5.559	%		600		(67	)		0			(67	)
Prudential Financial, Inc.	RBS	2.350	%	03/20/2013	5.559	%		600		(59	)		0			(59	)
SLM Corp.	BOA	5.000	%	12/20/2011	8.365	%		500		(34	)		(35	)		1
SLM Corp.	BOA	2.860	%	12/20/2012	8.427	%		1,400		(209	)		0			(209	)
SLM Corp.	BOA	5.025	%	03/20/2013	8.375	%		1,300		(122	)		0			(122	)
SLM Corp.	JPM	4.550	%	03/20/2010	8.950	%		600		(17	)		0			(17	)
SLM Corp.	JPM	4.930	%	03/20/2013	8.375	%		1,500		(145	)		0			(145	)
SLM Corp.	MLP	4.600	%	03/20/2010	8.950	%		800		(23	)		0			(23	)
Wells Fargo & Co	RBS	1.700	%	03/20/2013	1.568	%		500		2			0			2
									$	(4,723	)	$	(310	)	$	(4,413	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.HY-8 5-Year Index 35-100%	CITI	0.360	%	06/20/2012	$	4,855	$	(233	)	$	0	$	(233	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.401	%	06/20/2012		1,165		(55	)		0		(55	)
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012		3,889		47			0		47
CDX.IG-9 10-Year Index 30-100%	GSC	0.548	%	12/20/2017		195		1			0		1
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017		389		1			0		1
CDX.IG-10 5-Year Index 30-100%	DUB	0.530	%	06/20/2013		972		8			0		8
							$	(231	)	$	0	$	(231	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP	EUR	2,300	$	111		$	0		$	111
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		1,000		58			0			58
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	03/30/2012	GSC		700		13			0			13
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	04/05/2012	BCLY		300		5			0			5
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	4,400		3			0			3
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		2,900		5			0			5
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		1,100		2			0			2
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		2,000		35			3			32
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		1,800		35			2			33
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		1,800		(25	)		(33	)		8
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		300		12			1			11
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC	GBP	1,600		60			(17	)		77
Pay	6-Month GBP-LIBOR	5.100	%	09/15/2013	RBS		100		12			0			12
								$	326		$	(44	)	$	370

Total Return Swaps on Indices

Pay/Receive Total Return on Reference Index	Index	# of Shares or Units	Floating Rate(5)	Notional Amount		Maturity Date	Counterparty	Unrealized Appreciation
Receive	S&P 500 Index	44,836	3-Month USD-LIBOR less 0.300%	$	57,972	09/30/2009	MLP	$	9,108
Receive	S&P 500 Index	102,037	3-Month USD-LIBOR less 0.070%		144,558	01/29/2010	MLP		8,178
								$	17,286

⁽⁵⁾ 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, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009	$	13,800	$	133	$	561
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		2,700		28		118
									$	161	$	679

(i) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	113	$	35	$	5
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	11		2		1
					$	37	$	6

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	1,000	$	4	$	1
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		1,000		4		1
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		1,500		7		1
Put - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		500		2		0
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		2,000		8		4
									$	25	$	7

(j) Restricted securities as of June 30, 2009:

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	$	504	$	398	0.16	%

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.000	%	07/01/2039	$	1,000	$	1,015	$	1,018
Fannie Mae	5.500	%	07/01/2039		11,900		12,172		12,281
Freddie Mac	5.500	%	07/01/2039		2,000		2,055		2,064
						$	15,242	$	15,363

(l) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	HSBC	2,307	08/2009	$	81	$	0		$	81
Buy		MLP	931	08/2009		39		0			39
Buy	CAD	JPM	339	08/2009		0		(18	)		(18	)
Buy	CNY	BCLY	4,705	07/2009		0		(38	)		(38	)
Sell		BCLY	26,255	07/2009		0		(46	)		(46	)
Sell		CITI	80	07/2009		0		(1	)		(1	)
Buy		DUB	14,422	07/2009		0		(116	)		(116	)
Sell		DUB	80	07/2009		0		(1	)		(1	)
Buy		HSBC	15,688	07/2009		31		(36	)		(5	)
Sell		HSBC	1,140	07/2009		0		(4	)		(4	)
Buy		JPM	2,711	07/2009		0		(24	)		(24	)
Sell		JPM	9,973	07/2009		0		(33	)		(33	)
Buy		BCLY	1,917	09/2009		4		0			4
Sell		BCLY	5,860	09/2009		0		(21	)		(21	)
Buy		CITI	1,249	09/2009		3		0			3
Sell		CITI	6,009	09/2009		0		(20	)		(20	)
Buy		DUB	5,543	09/2009		12		0			12
Buy		HSBC	2,496	09/2009		6		0			6
Sell		HSBC	147	09/2009		0		(1	)		(1	)
Buy		JPM	1,035	09/2009		2		0			2
Sell		JPM	224	09/2009		0		(1	)		(1	)
Buy		BCLY	382	03/2010		0		0			0
Buy		HSBC	382	03/2010		0		0			0
Buy		JPM	2,333	03/2010		0		(1	)		(1	)
Buy	EUR	BCLY	2,086	07/2009		16		0			16
Sell		BCLY	4,457	07/2009		0		(33	)		(33	)
Buy		GSC	942	07/2009		0		(10	)		(10	)
Sell		RBC	11	07/2009		0		0			0
Sell	GBP	CITI	1,024	07/2009		0		(100	)		(100	)
Buy		RBS	167	07/2009		13		0			13
Sell		MSC	857	08/2009		6		0			6
Sell	JPY	BNP	90,638	07/2009		0		(1	)		(1	)
Sell		MSC	90,638	08/2009		0		0			0
Buy	NZD	CITI	9,740	07/2009		67		0			67
Buy		GSC	571	07/2009		15		0			15
Buy	SGD	HSBC	492	07/2009		0		(1	)		(1	)
Sell		HSBC	492	07/2009		0		(16	)		(16	)
					$	295	$	(522	)	$	(227	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	52,503		$	0	$	52,503
U.S. Government Agencies		0		77,124			0		77,124
Mortgage-Backed Securities		0		28,496			398		28,894
Short-Term Instruments		47,848		2,900			0		50,748
Other Investments++		1,039		37,442			976		39,457
Investments, at value	$	48,887	$	198,465		$	1,374	$	248,726
Short Sales, at value	$	0	$	(15,363	)	$	0	$	(15,363	)
Financial Derivative Instruments+++	$	881	$	12,643		$	129	$	13,653
Total	$	49,768	$	195,745		$	1,503	$	247,016

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Mortgage-Backed Securities	$	414	$	(15	)	$	0	$	0	$	(1	)	$	0		$	398
Other Investments++		951		0			0		0		25			0			976
Investments, at value	$	1,365	$	(15	)	$	0	$	0	$	24		$	0		$	1,374
Financial Derivative Instruments+++	$	175	$	0		$	0	$	0	$	6		$	(52	)	$	129
Total	$	1,540	$	(15	)	$	0	$	0	$	30		$	(52	)	$	1,503

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

StocksPLUS^® Long Duration Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 46.1%
BANKING & FINANCE 17.9%
ABX Financing Co.
6.350% due 10/15/2036	$	600	$	600
American Express Co.
8.150% due 03/19/2038		1,000		1,059
American International Group, Inc.
5.850% due 01/16/2018		900		477
Bank of America Corp.
5.650% due 05/01/2018		500		443
5.750% due 12/01/2017		500		446
7.625% due 06/01/2019		3,500		3,522
Bank of America N.A.
1.162% due 06/23/2010		1,900		1,891
6.000% due 10/15/2036		1,900		1,526
Barclays Bank PLC
10.179% due 06/12/2021		240		256
Bear Stearns Cos. LLC
6.400% due 10/02/2017		600		602
7.250% due 02/01/2018		700		739
BNP Paribas
5.186% due 06/29/2049		700		456
Caterpillar Financial Services Corp.
1.354% due 06/24/2011		300		296
Citigroup Funding, Inc.
2.036% due 05/07/2010		600		588
Citigroup, Inc.
5.875% due 05/29/2037		2,100		1,644
6.125% due 08/25/2036		800		597
6.625% due 06/15/2032		600		493
6.875% due 03/05/2038		2,800		2,477
8.400% due 04/29/2049 (a)		500		376
Credit Agricole S.A.
6.637% due 05/29/2049		200		118
Credit Suisse USA, Inc.
0.395% due 11/20/2009		300		300
0.865% due 11/20/2009		300		300
1.054% due 08/16/2011		700		682
General Electric Capital Corp.
5.875% due 01/14/2038		600		476
6.750% due 03/15/2032		2,900		2,608
6.875% due 01/10/2039		5,400		4,869
Goldman Sachs Group, Inc.
5.950% due 01/18/2018		1,400		1,360
6.125% due 02/15/2033		2,180		2,038
6.750% due 10/01/2037		300		267
7.500% due 02/15/2019		5,400		5,792
HBOS Capital Funding LP
6.071% due 06/29/2049		600		219
HBOS PLC
6.750% due 05/21/2018		1,900		1,436
HSBC Bank USA N.A.
7.000% due 01/15/2039		1,900		2,012
HSBC Holdings PLC
6.500% due 09/15/2037		2,700		2,617
John Deere Capital Corp.
1.400% due 06/10/2011		1,700		1,688
JPMorgan Chase & Co.
6.400% due 05/15/2038		3,200		3,214
Lehman Brothers Holdings, Inc.
7.500% due 05/11/2038 (a)		500		0
Merrill Lynch & Co., Inc.
6.110% due 01/29/2037		200		155
6.400% due 08/28/2017		1,200		1,064
Morgan Stanley
3.006% due 05/14/2010		2,200		2,194
6.625% due 04/01/2018		4,100		4,094
7.250% due 04/01/2032		400		398
7.300% due 05/13/2019		1,300		1,350
Prudential Financial, Inc.
6.625% due 12/01/2037		700		608
Rabobank Nederland NV
11.000% due 12/29/2049		1,425		1,589
Sallie Mae, Inc.
0.000% due 10/03/2022		655		320
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		1,100		815
UBS AG
5.875% due 12/20/2017		100		93
Wachovia Bank N.A.
1.806% due 05/14/2010		1,400		1,400
5.850% due 02/01/2037		750		663
6.600% due 01/15/2038		2,300		2,246
Wachovia Corp.
0.718% due 12/01/2009		600		599
Wells Fargo & Co.
5.375% due 02/07/2035		200		176
Wells Fargo Bank N.A.
5.950% due 08/26/2036		400		359
				66,607
INDUSTRIALS 14.2%
Altria Group, Inc.
10.200% due 02/06/2039		300		355
Amgen, Inc.
6.400% due 02/01/2039		1,700		1,812
6.900% due 06/01/2038		200		227
Anheuser-Busch Cos., Inc.
6.450% due 09/01/2037		900		840
Apache Corp.
6.000% due 01/15/2037		300		318
AstraZeneca PLC
6.450% due 09/15/2037		800		889
Burlington Northern Santa Fe Corp.
6.150% due 05/01/2037		1,300		1,301
Canadian National Railway Co.
6.375% due 11/15/2037		100		110
Canadian Natural Resources Ltd.
6.250% due 03/15/2038		1,800		1,801
Caterpillar, Inc.
6.050% due 08/15/2036		400		382
Comcast Corp.
6.400% due 05/15/2038		2,450		2,404
6.500% due 11/15/2035		200		203
6.950% due 08/15/2037		700		731
7.050% due 03/15/2033		600		640
CSX Corp.
6.150% due 05/01/2037		1,000		931
Devon Energy Corp.
7.950% due 04/15/2032		2,100		2,509
Devon Financing Corp. ULC
7.875% due 09/30/2031		400		472
EnCana Corp.
6.500% due 08/15/2034		600		611
6.500% due 02/01/2038		300		308
6.625% due 08/15/2037		800		830
Energy Transfer Partners LP
6.625% due 10/15/2036		500		489
Enterprise Products Operating LLC
5.750% due 03/01/2035		200		174
GlaxoSmithKline Capital, Inc.
5.375% due 04/15/2034		700		664
6.375% due 05/15/2038		200		218
International Business Machines Corp.
5.875% due 11/29/2032		400		414
8.000% due 10/15/2038		700		908
Kinder Morgan Energy Partners LP
5.800% due 03/15/2035		400		338
6.500% due 02/01/2037		400		366
6.950% due 01/15/2038		4,800		4,658
Marathon Oil Corp.
6.600% due 10/01/2037		200		194
Nokia Corp.
6.625% due 05/15/2039		1,100		1,164
Nucor Corp.
6.400% due 12/01/2037		200		206
ONEOK Partners LP
6.850% due 10/15/2037		300		286
Oracle Corp.
6.500% due 04/15/2038		300		320
Pfizer, Inc.
7.200% due 03/15/2039		1,000		1,190
Philip Morris International, Inc.
6.375% due 05/16/2038		700		746
Plains All American Pipeline LP
6.650% due 01/15/2037		100		93
President and Fellows of Harvard College
6.500% due 01/15/2039		300		340
Roche Holdings, Inc.
7.000% due 03/01/2039		900		1,046
Siemens Financieringsmaatschappij NV
6.125% due 08/17/2026		300		306
Suncor Energy, Inc.
6.500% due 06/15/2038		200		189
6.850% due 06/01/2039		800		788
Target Corp.
6.500% due 10/15/2037		500		507
7.000% due 01/15/2038		1,400		1,495
Teva Pharmaceutical Finance LLC
6.150% due 02/01/2036		600		620
Time Warner Cable, Inc.
6.550% due 05/01/2037		3,200		3,075
7.300% due 07/01/2038		200		209
Time Warner, Inc.
6.500% due 11/15/2036		800		702
TransCanada Pipelines Ltd.
6.200% due 10/15/2037		100		103
7.250% due 08/15/2038		300		342
7.625% due 01/15/2039		3,200		3,743
Transocean, Inc.
6.800% due 03/15/2038		1,100		1,179
Union Pacific Railroad Co. 2004 Pass-Through Trust
5.404% due 07/02/2025		928		906
United Technologies Corp.
6.125% due 07/15/2038		700		761
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		900		969
6.500% due 08/15/2037		500		560
Williams Cos., Inc.
8.750% due 03/15/2032		300		302
Wyeth
5.950% due 04/01/2037		900		933
XTO Energy, Inc.
6.100% due 04/01/2036		590		573
6.375% due 06/15/2038		1,800		1,843
6.750% due 08/01/2037		900		941
				52,534
UTILITIES 14.0%
Alabama Power Co.
6.125% due 05/15/2038		700		753
Appalachian Power Co.
6.700% due 08/15/2037		200		200
AT&T Corp.
8.000% due 11/15/2031		6,900		7,979
AT&T, Inc.
6.400% due 05/15/2038		200		196
6.550% due 02/15/2039		600		600
British Telecommunications PLC
9.625% due 12/15/2030		600		666
Consolidated Edison Co. of New York, Inc.
6.750% due 04/01/2038		700		788
Deutsche Telekom International Finance BV
8.750% due 06/15/2030		4,300		5,043
Duke Energy Carolinas LLC
6.450% due 10/15/2032		700		758
Duke Energy Indiana, Inc.
6.350% due 08/15/2038		300		330
6.450% due 04/01/2039		1,600		1,797
EDF S.A.
6.950% due 01/26/2039		1,300		1,464
Enel Finance International S.A.
6.800% due 09/15/2037		400		416
Entergy Arkansas, Inc.
5.660% due 02/01/2025		1,500		1,343
FirstEnergy Corp.
7.375% due 11/15/2031		400		378
France Telecom S.A.
8.500% due 03/01/2031		1,300		1,673
Georgia Power Co.
5.950% due 02/01/2039		300		315
MidAmerican Energy Holdings Co.
5.950% due 05/15/2037		400		387
6.500% due 09/15/2037		1,600		1,664
NGPL PipeCo. LLC
7.768% due 12/15/2037		400		438
Pacific Gas & Electric Co.
6.050% due 03/01/2034		400		416
6.250% due 03/01/2039		200		214
6.350% due 02/15/2038		900		976
Pacificorp
6.000% due 01/15/2039		1,300		1,366
Progress Energy, Inc.
7.750% due 03/01/2031		400		471
PSEG Power LLC
8.625% due 04/15/2031		400		472
Public Service Co. of Colorado
6.500% due 08/01/2038		700		796
Sierra Pacific Power Co.
6.750% due 07/01/2037		1,000		1,033
Southern California Edison Co.
5.625% due 02/01/2036		200		203
6.000% due 01/15/2034		300		319
Sprint Capital Corp.
8.750% due 03/15/2032		800		648
Telecom Italia Capital S.A.
7.200% due 07/18/2036		800		777
7.721% due 06/04/2038		3,200		3,265
Telefonica Emisiones SAU
7.045% due 06/20/2036		1,300		1,444
Verizon Communications, Inc.
6.900% due 04/15/2038		1,900		1,986
7.350% due 04/01/2039		3,900		4,259
Virginia Electric and Power Co.
6.000% due 05/15/2037		1,260		1,304
8.875% due 11/15/2038		1,000		1,343
Vodafone Group PLC
6.150% due 02/27/2037		3,400		3,353
				51,833
Total Corporate Bonds & Notes (Cost $167,331)				170,974
MUNICIPAL BONDS & NOTES 2.1%
California State General Obligation Bonds, Series 2007
5.000% due 11/01/2037		200		168
California State General Obligation Bonds, Series 2009
7.500% due 04/01/2034		700		641
7.550% due 04/01/2039		1,400		1,276
Chicago, Illinois Transit Authority Revenue Bonds, Series 2008
6.899% due 12/01/2040		900		963
Connecticut State General Obligation Bonds, Series 2008
5.850% due 03/15/2032		200		201
Florida State Board of Education General Obligation Bonds, Series 2008
4.750% due 06/01/2034		700		675
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
0.000% due 06/01/2037 (c)		170		72
King County, Washington General Obligation Bonds, Series 2008
4.750% due 01/01/2034		500		489
Los Angeles, California Community College District General Obligation Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 08/01/2032		300		285
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 07/01/2037		200		190
5.000% due 07/01/2044		100		94
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
4.500% due 01/01/2028		100		90
New York State Urban Development Corp. Revenue Bonds, Series 2008
5.000% due 12/15/2027		400		409
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047		100		57
Port Neches-Groves, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2008
5.000% due 02/15/2033		200		203
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		200		190
Utah State Transit Authority Revenue Bonds, Series 2009
5.937% due 06/15/2039		1,300		1,320
Waco, Texas Educational Finance Corp. Revenue Bonds, Series 2008
5.000% due 03/01/2036		200		194
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		100		67
Total Municipal Bonds & Notes (Cost $7,840)				7,584
U.S. GOVERNMENT AGENCIES 27.8%
Fannie Mae
0.000% due 06/01/2017		2,400		1,685
0.514% due 10/27/2037		400		364
5.000% due 06/01/2035 - 03/01/2038 (g)		6,451		6,592
5.000% due 10/25/2035 - 07/01/2039		5,206		5,227
5.500% due 05/01/2037 - 09/01/2038 (g)		3,260		3,369
5.500% due 03/01/2039		600		620
5.625% due 04/17/2028 - 07/15/2037		8,400		8,868
6.000% due 04/18/2036		900		942
6.000% due 02/01/2038 (g)		2,869		3,003
6.210% due 08/06/2038		2,300		2,625
6.250% due 05/15/2029		25,200		29,643
6.280% due 06/15/2027		700		738
6.625% due 11/15/2030		2,800		3,436
7.125% due 01/15/2030		2,400		3,101
7.250% due 05/15/2030		700		913
Federal Home Loan Bank
5.250% due 09/12/2014		900		999
Financing Corp.
0.000% due 12/06/2018 - 12/27/2018		10,400		6,672
8.600% due 09/26/2019		1,470		1,962
Freddie Mac
0.702% due 03/09/2011		520		522
5.000% due 04/15/2038		300		310
Ginnie Mae
5.500% due 10/20/2037		329		338
Residual Funding Strip
0.000% due 10/15/2019 - 04/15/2030		21,100		12,062
Small Business Administration
5.290% due 12/01/2027		622		651
Tennessee Valley Authority
4.500% due 04/01/2018		700		715
4.875% due 01/15/2048		1,900		1,756
5.500% due 07/18/2017 - 06/15/2038		2,600		2,713
5.880% due 04/01/2036		3,000		3,201
Total U.S. Government Agencies (Cost $103,226)				103,027
U.S. TREASURY OBLIGATIONS 20.7%
Treasury Inflation Protected Securities (d)
2.000% due 01/15/2026		967		946
2.375% due 01/15/2025		792		814
2.375% due 01/15/2027		741		766
2.500% due 01/15/2029		894		949
3.625% due 04/15/2028		132		160
U.S. Treasury Bonds
5.375% due 02/15/2031		600		688
5.500% due 08/15/2028		1,200		1,385
6.125% due 11/15/2027		2,500		3,078
6.500% due 11/15/2026		14,800		18,817
7.125% due 02/15/2023		900		1,176
7.250% due 08/15/2022		8,100		10,639
7.875% due 02/15/2021		1,500		2,036
8.500% due 02/15/2020		9,900		13,922
U.S. Treasury Notes
0.875% due 04/30/2011 (g)		8,944		8,921
0.875% due 05/31/2011 (g)		42		42
U.S. Treasury Strips
0.000% due 08/15/2020		8,600		5,360
0.000% due 05/15/2026		600		276
0.000% due 02/15/2027		4,700		2,100
0.000% due 08/15/2028		10,800		4,526
Total U.S. Treasury Obligations (Cost $75,167)				76,601
MORTGAGE-BACKED SECURITIES 0.5%
Citigroup Mortgage Loan Trust, Inc.
4.685% due 03/25/2034		561		484
Credit Suisse Mortgage Capital Certificates
5.467% due 09/15/2039		600		422
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		700		560
Indymac IMSC Mortgage Loan Trust
0.494% due 07/25/2047		343		131
Structured Asset Mortgage Investments, Inc.
0.504% due 07/25/2046		152		63
0.534% due 05/25/2036		286		114
Thornburg Mortgage Securities Trust
0.414% due 03/25/2037		73		64
Wells Fargo Mortgage-Backed Securities Trust
4.517% due 11/25/2033		109		108
Total Mortgage-Backed Securities (Cost $2,191)				1,946
ASSET-BACKED SECURITIES 0.2%
Ford Credit Auto Owner Trust
1.219% due 01/15/2011		180		180
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		54		33
SLM Student Loan Trust
2.592% due 04/25/2023		589		602
Total Asset-Backed Securities (Cost $809)				815
SOVEREIGN ISSUES 0.6%
Israel Government AID Bond
5.500% due 09/18/2023		300		321
5.500% due 09/18/2033		1,800		1,875
Total Sovereign Issues (Cost $2,183)				2,196
FOREIGN CURRENCY-DENOMINATED ISSUES 0.5%
Brazil Government International Bond
10.250% due 01/10/2028	BRL	3,750		1,895
Total Foreign Currency-Denominated Issues (Cost $2,149)				1,895
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.0%
American International Group, Inc.
8.500% due 08/01/2011		9,300		89
Total Convertible Preferred Stocks (Cost $698)				89
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 16.5%
CERTIFICATES OF DEPOSIT 0.3%
Sao Paolo IMI NY
1.272% due 06/09/2010	$	1,000		1,000
REPURCHASE AGREEMENTS 2.9%
Barclays Capital, Inc.
0.020% due 07/01/2009		9,000		9,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $9,315. Repurchase proceeds are $9,000.)
0.100% due 07/01/2009		1,400		1,400
(Dated 06/30/2009. Collateralized by Freddie Mac 0.926% due 05/04/2011 valued at $1,440. Repurchase proceeds are $1,400.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		440		440
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $450. Repurchase proceeds are $440.)
				10,840
U.S. TREASURY BILLS 4.3%
0.108% due 07/02/2009 - 07/30/2009 (b)(f)(g)		15,932		15,931
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (e) 9.0%
		3,351,612		33,546
Total Short-Term Instruments (Cost $61,317)				61,317
PURCHASED OPTIONS (i) 0.0%
(Cost $35)				3
Total Investments 115.0% (Cost $422,946)			$	426,447
Written Options (j) (0.0%) (Premiums $149)				(92	)
Other Assets and Liabilities (Net) (15.0%)				(55,578	)
Net Assets 100.0%			$	370,777

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) Security becomes interest bearing at a future date.

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

(e) Affiliated to the Fund.

(f) Securities with an aggregate market value of $20 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(g) Securities with an aggregate market value of $37,643 and cash of $2,738 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2010	32	$	20
90-Day Euribor September Futures	Long	09/2010	30		28
90-Day Eurodollar December Futures	Long	12/2009	90		101
90-Day Eurodollar December Futures	Long	12/2010	487		(199	)
90-Day Eurodollar March Futures	Long	03/2010	50		19
E-mini S&P 500 Index September Futures	Long	09/2009	407		(94	)
S&P 500 Index September Futures	Long	09/2009	1,526		(2,452	)
U.S. Treasury 30-Year Bond September Futures	Long	09/2009	12		65
				$	(2,512	)

(h) Swap agreements outstanding on June 30, 2009:

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month CAD Bank Bill	5.000	%	12/19/2028	RBS	CAD	2,000	$	(82	)	$	(16	)	$	(66	)
Pay	3-Month USD-LIBOR	3.000	%	12/16/2010	BOA	$	11,700		186			157			29
Pay	3-Month USD-LIBOR	3.000	%	12/16/2010	CSFB		51,900		823			747			76
Pay	3-Month USD-LIBOR	4.000	%	12/16/2010	BCLY		8,000		205			179			26
Pay	3-Month USD-LIBOR	4.000	%	12/16/2010	MSC		8,000		206			170			36
Pay	3-Month USD-LIBOR	4.000	%	12/16/2010	RBS		25,000		644			534			110
Pay	3-Month USD-LIBOR	3.000	%	06/16/2011	RBS		12,500		108			150			(42	)
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	BOA		300		0			(7	)		7
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		17,600		34			(327	)		361
Pay	6-Month GBP-LIBOR	5.000	%	09/16/2010	BCLY	GBP	4,200		222			(19	)		241
Pay	6-Month GBP-LIBOR	5.000	%	09/16/2010	GSC		4,100		217			(17	)		234
								$	2,563		$	1,551		$	1,012

(i) Purchased options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Market Value
Put - CBOT U.S. Treasury 10-Year Note September Futures	$	72.000	08/21/2009	19	$	0	$	0
Put - CBOT U.S. Treasury 10-Year Note September Futures		80.000	08/21/2009	186		3		3
Put - CME S&P 500 Index September Futures		250.000	09/17/2009	334		10		0
Put - CME S&P 500 Index September Futures		300.000	09/17/2009	740		21		0
					$	34	$	3

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC Fannie Mae 5.000% due 08/01/2039	$	87.000	08/06/2009	$	7,000	$	1	$	0

(j) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CBOT U.S. Treasury 10-Year Note September Futures	$	112.000	08/21/2009	39	$	33	$	18
Put - CME 90-Day Eurodollar September Futures		98.500	09/14/2009	11		3		1
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	16		1		1
					$	37	$	20

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Market Value

Put - OTC 7-Year Interest Rate Swap

RBS

3-Month USD-LIBOR

Pay

4.250

%

08/21/2009

$

13,000

$

112

$

72

(k) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	BRL	HSBC	2,433	08/2009	$	0	$	(125	)	$	(125	)
Sell	CNY	BCLY	1,726	07/2009		0		0			0
Buy		DUB	2,424	07/2009		0		(15	)		(15	)
Sell		DUB	2,266	07/2009		0		0			0
Buy		HSBC	1,567	07/2009		0		(11	)		(11	)
Buy		BCLY	924	09/2009		0		0			0
Buy		DUB	788	09/2009		0		0			0
Buy		BCLY	802	03/2010		0		0			0
Buy		DUB	1,465	03/2010		0		(1	)		(1	)
Sell	EUR	BCLY	146	07/2009		0		(1	)		(1	)
Sell		GSC	23	07/2009		0		0			0
Sell	GBP	CITI	423	07/2009		0		(42	)		(42	)
Sell		MSC	423	08/2009		3		0			3
Buy	MXN	CITI	3,536	11/2009		26		0			26
Buy	SGD	CITI	389	07/2009		13		0			13
Buy		DUB	708	07/2009		23		0			23
Buy		HSBC	159	07/2009		0		0			0
					$	65	$	(195	)	$	(130	)

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0		$	170,717	$	257	$	170,974
U.S. Government Agencies		0			103,027		0		103,027
U.S. Treasury Obligations		0			76,601		0		76,601
Short-Term Instruments		33,546			27,771		0		61,317
Other Investments++		89			14,439		0		14,528
Investments, at value	$	33,635		$	392,555	$	257	$	426,447
Financial Derivative Instruments+++	$	(2,512	)	$	790	$	0	$	(1,722	)
Total	$	31,123		$	393,345	$	257	$	424,725

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	3,464	$	241	$	0	$	0	$	16	$	(3,464	)	$	257
Investments, at value	$	3,464	$	241	$	0	$	0	$	16	$	(3,464	)	$	257
Financial Derivative Instruments+++	$	0	$	0	$	0	$	0	$	0	$	0		$	0
Total	$	3,464	$	241	$	0	$	0	$	16	$	(3,464	)	$	257

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

StocksPLUS^® Total Return Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 1.4%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	1,965	$	1,830
Fresenius Medical Care Capital Trust
1.972% due 03/31/2013		294		282
1.985% due 03/22/2013		58		56
2.514% due 03/22/2013		12		11
Total Bank Loan Obligations (Cost $2,257)				2,179
CORPORATE BONDS & NOTES 26.7%
BANKING & FINANCE 22.0%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		300		311
American Express Bank FSB
5.500% due 04/16/2013		500		491
American Express Centurion Bank
6.000% due 09/13/2017		1,000		914
American Express Credit Corp.
5.875% due 05/02/2013		300		298
American General Finance Corp.
6.900% due 12/15/2017		900		488
American International Group, Inc.
5.050% due 10/01/2015		100		54
5.850% due 01/16/2018		2,300		1,219
Bank of America Corp.
1.213% due 08/15/2016		100		79
Barclays Bank PLC
5.450% due 09/12/2012		3,000		3,131
6.050% due 12/04/2017		600		521
Bear Stearns Cos. LLC
6.400% due 10/02/2017		1,600		1,605
BNP Paribas
5.186% due 06/29/2049		1,200		782
Calabash Re Ltd.
9.024% due 01/08/2010		700		668
11.524% due 01/08/2010		800		780
Citibank N.A.
1.625% due 03/30/2011		200		202
Citigroup Capital XXI
8.300% due 12/21/2077		1,000		781
Citigroup, Inc.
2.125% due 04/30/2012		100		101
5.500% due 04/11/2013		1,500		1,407
6.000% due 08/15/2017		1,900		1,659
6.125% due 08/25/2036		1,200		895
Deutsche Bank AG
1.154% due 02/17/2015		800		700
DnB NOR Bank ASA
1.209% due 10/13/2009		600		596
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		400		346
7.375% due 02/01/2011		1,200		1,087
General Electric Capital Corp.
1.800% due 03/11/2011		100		101
3.000% due 12/09/2011		400		413
5.875% due 01/14/2038		500		396
GMAC LLC
6.000% due 12/15/2011		100		84
6.875% due 08/28/2012		900		734
Goldman Sachs Group, Inc.
6.150% due 04/01/2018		400		390
6.250% due 09/01/2017		1,200		1,189
HSBC Finance Corp.
0.719% due 03/12/2010		1,000		984
JPMorgan Chase & Co.
6.000% due 01/15/2018		400		398
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		1,300		1,267
JPMorgan Chase Capital XX
6.550% due 09/15/2066		100		80
Lehman Brothers Holdings, Inc.
6.200% due 09/26/2014 (a)		1,800		274
Merrill Lynch & Co., Inc.
0.867% due 06/05/2012		700		624
6.050% due 08/15/2012		1,200		1,204
6.875% due 04/25/2018		1,000		927
MetLife, Inc.
6.400% due 12/15/2066		300		215
Morgan Stanley
3.006% due 05/14/2010		700		698
National Australia Bank Ltd.
2.550% due 01/13/2012		400		403
5.350% due 06/12/2013		400		412
Petroleum Export Ltd.
5.265% due 06/15/2011		53		51
Principal Life Income Funding Trusts
5.550% due 04/27/2015		500		495
Resona Bank Ltd.
5.850% due 09/29/2049		200		151
Royal Bank of Scotland Group PLC
2.625% due 05/11/2012		1,800		1,815
State Street Capital Trust IV
1.629% due 06/01/2077		100		58
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		1,100		1,014
TNK-BP Finance S.A.
6.125% due 03/20/2012		100		93
TransCapitalInvest Ltd. for OJSC AK Transneft
8.700% due 08/07/2018		100		96
UBS AG
5.750% due 04/25/2018		200		182
5.875% due 12/20/2017		400		373
USB Capital IX
6.189% due 04/15/2049		100		68
Wells Fargo & Co.
7.980% due 03/29/2049		1,400		1,164
				35,468
INDUSTRIALS 3.2%
AstraZeneca PLC
5.900% due 09/15/2017		300		322
6.450% due 09/15/2037		200		222
CODELCO, Inc.
6.150% due 10/24/2036		100		98
Kinder Morgan Energy Partners LP
5.950% due 02/15/2018		1,300		1,275
Kraft Foods, Inc.
6.125% due 02/01/2018		500		518
Peabody Energy Corp.
7.875% due 11/01/2026		100		87
Philip Morris International, Inc.
6.375% due 05/16/2038		200		213
President and Fellows of Harvard College
6.000% due 01/15/2019		400		437
Rohm & Haas Co.
6.000% due 09/15/2017		400		358
Time Warner, Inc.
1.150% due 11/13/2009		600		599
Union Pacific Corp.
5.700% due 08/15/2018		800		803
UnitedHealth Group, Inc.
4.875% due 02/15/2013		300		303
				5,235
UTILITIES 1.5%
Enel Finance International S.A.
6.800% due 09/15/2037		1,600		1,664
Qwest Corp.
7.625% due 06/15/2015		500		473
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		300		252
				2,389
Total Corporate Bonds & Notes (Cost $46,509)				43,092
MUNICIPAL BONDS & NOTES 5.1%
CALIFORNIA 2.7%
California State General Obligation Bonds, Series 2009
5.650% due 04/01/2039		100		98
7.500% due 04/01/2034		100		92
7.550% due 04/01/2039		100		91
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047		3,100		1,862
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		700		683
Los Angeles, California Community College District General Obligation Bonds, Series 2008
5.000% due 08/01/2033		1,425		1,363
San Diego, California Tobacco Settlement Revenue Funding Corp. Revenue Bonds, Series 2006
7.125% due 06/01/2032		280		178
				4,367
ILLINOIS 1.1%
Chicago, Illinois Transit Authority Revenue Bonds, Series 2008
6.899% due 12/01/2040		700		749
Illinois State Toll Highway Authority Revenue Bonds, Series 2008
5.500% due 01/01/2033		900		932
				1,681
MASSACHUSETTS 0.4%
Massachusetts State General Obligation Bonds, Series 2003
5.500% due 10/01/2017		600		697
NEW YORK 0.5%
New York State Dormitory Authority Revenue Bonds, Series 2006
5.000% due 07/01/2035		700		711
TEXAS 0.2%
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		400		383
WEST VIRGINIA 0.2%
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		575		386
Total Municipal Bonds & Notes (Cost $8,979)				8,225
U.S. GOVERNMENT AGENCIES 91.6%
Fannie Mae
0.374% due 12/25/2036		265		240
0.664% due 03/25/2044		607		572
2.638% due 07/01/2044 (g)		98		96
3.693% due 05/01/2036		11		11
3.950% due 08/01/2033 (g)		72		73
4.337% due 09/01/2033		505		511
4.631% due 05/25/2035		73		73
4.647% due 12/01/2036 (g)		50		50
4.845% due 09/01/2034 (g)		55		55
4.889% due 06/01/2033		230		238
5.000% due 10/01/2020 - 01/01/2037		12,695		13,110
5.000% due 10/01/2019 - 07/01/2035 (g)		1,188		1,237
5.000% due 10/01/2033 - 02/01/2036 (f)		6,842		6,998
5.277% due 01/01/2036		269		280
5.500% due 01/01/2021 - 06/01/2023 (g)		3,190		3,345
5.500% due 11/01/2022 - 11/01/2038		15,361		15,919
5.500% due 04/01/2034 - 08/01/2038 (f)		27,965		28,981
6.000% due 02/01/2036 - 07/01/2039		37,483		39,178
6.000% due 08/01/2036 - 10/01/2038 (f)		7,808		8,177
6.000% due 09/01/2037 (g)		939		983
6.500% due 10/01/2035 - 07/01/2039		8,446		8,998
7.000% due 09/01/2013		5		6
Freddie Mac
0.641% due 08/24/2010		750		752
0.702% due 03/09/2011		6,700		6,725
0.926% due 05/04/2011 (e)		7,900		7,920
0.937% due 08/05/2011		2,000		2,001
2.639% due 02/25/2045		54		51
2.788% due 03/01/2034		314		314
4.669% due 02/01/2024		19		19
5.500% due 08/15/2030		2		2
8.000% due 01/01/2017		18		20
Ginnie Mae
4.375% due 03/20/2027		3		3
6.000% due 05/15/2033 - 04/15/2034		34		36
8.000% due 02/15/2030		2		2
Small Business Administration
5.520% due 06/01/2024		1,048		1,103
Total U.S. Government Agencies (Cost $145,350)				148,079
U.S. TREASURY OBLIGATIONS 5.1%
Treasury Inflation Protected Securities (c)
2.000% due 04/15/2012		4,416		4,545
2.000% due 07/15/2014		906		927
3.000% due 07/15/2012		2,375		2,517
U.S. Treasury Notes
0.875% due 04/30/2011 (g)		265		264
Total U.S. Treasury Obligations (Cost $8,118)				8,253
MORTGAGE-BACKED SECURITIES 8.1%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		223		176
Banc of America Commercial Mortgage, Inc.
5.929% due 05/10/2045		400		335
Banc of America Funding Corp.
3.781% due 05/25/2035		396		337
6.102% due 01/20/2047		455		243
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		31		29
Bear Stearns Adjustable Rate Mortgage Trust
5.021% due 04/25/2033		4		4
5.106% due 01/25/2034		101		77
5.583% due 01/25/2034		5		5
Bear Stearns Alt-A Trust
5.362% due 05/25/2035		873		565
5.490% due 09/25/2035		188		102
Citigroup Mortgage Loan Trust, Inc.
4.700% due 12/25/2035		135		109
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		200		146
Countrywide Alternative Loan Trust
0.494% due 05/25/2047		462		174
6.000% due 10/25/2033		74		71
Countrywide Home Loan Mortgage Pass-Through Trust
4.711% due 02/20/2035		978		779
5.250% due 02/20/2036		124		84
CS First Boston Mortgage Securities Corp.
3.044% due 05/25/2032		1		1
First Horizon Asset Securities, Inc.
5.365% due 08/25/2035		298		227
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		373		307
0.394% due 01/25/2047		467		355
Greenwich Capital Commercial Funding Corp.
4.799% due 08/10/2042		100		85
5.444% due 03/10/2039		100		80
GS Mortgage Securities Corp. II
5.993% due 08/10/2045		200		152
GSR Mortgage Loan Trust
3.726% due 06/25/2034		290		247
5.241% due 11/25/2035		609		474
Impac CMB Trust
1.314% due 07/25/2033		59		43
JPMorgan Chase Commercial Mortgage Securities Corp.
5.420% due 01/15/2049		1,300		961
5.882% due 02/15/2051		100		75
LB-UBS Commercial Mortgage Trust
5.858% due 07/15/2040		700		510
Merrill Lynch Countrywide Commercial Mortgage Trust
5.485% due 03/12/2051		200		135
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		206		112
4.910% due 12/25/2032		12		10
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		164		109
3.145% due 01/25/2029		85		67
Prime Mortgage Trust
0.714% due 02/25/2019		10		9
0.714% due 02/25/2034		73		59
Salomon Brothers Mortgage Securities VII, Inc.
4.000% due 12/25/2018		296		282
Structured Adjustable Rate Mortgage Loan Trust
5.516% due 08/25/2035		201		131
Structured Asset Mortgage Investments, Inc.
0.563% due 07/19/2035		463		292
Structured Asset Securities Corp.
4.504% due 10/25/2035		329		227
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046		378		340
Wachovia Bank Commercial Mortgage Trust
5.509% due 04/15/2047		100		67
WaMu Mortgage Pass-Through Certificates
0.604% due 10/25/2045		98		51
0.954% due 12/25/2027		971		750
2.340% due 02/25/2046		336		150
2.540% due 11/25/2042		62		36
2.740% due 08/25/2042		39		25
2.877% due 02/27/2034		56		46
Wells Fargo Mortgage-Backed Securities Trust
4.947% due 01/25/2035		656		549
4.950% due 03/25/2036		533		377
4.992% due 10/25/2035		3,012		2,470
Total Mortgage-Backed Securities (Cost $17,106)				13,047
ASSET-BACKED SECURITIES 5.0%
Access Group, Inc.
2.392% due 10/27/2025		1,452		1,463
ACE Securities Corp.
0.364% due 12/25/2036		94		69
Amortizing Residential Collateral Trust
0.604% due 07/25/2032		18		9
Bear Stearns Asset-Backed Securities Trust
0.394% due 10/25/2036		124		110
Chase Issuance Trust
2.129% due 09/15/2015		2,200		2,201
Countrywide Asset-Backed Certificates
0.364% due 05/25/2047		151		138
0.394% due 06/25/2037		232		215
0.794% due 12/25/2031		71		31
CS First Boston Mortgage Securities Corp.
0.934% due 01/25/2032		14		9
First Franklin Mortgage Loan Asset-Backed Certificates
0.364% due 11/25/2036		331		312
0.364% due 12/25/2036		3		3
0.384% due 12/25/2037		624		591
Fremont Home Loan Trust
0.364% due 10/25/2036		591		370
0.374% due 01/25/2037		215		140
HFC Home Equity Loan Asset-Backed Certificates
0.385% due 03/20/2036		76		74
JPMorgan Mortgage Acquisition Corp.
0.364% due 07/25/2036		232		220
Lehman XS Trust
0.384% due 05/25/2046		1		1
Long Beach Mortgage Loan Trust
0.354% due 11/25/2036		357		331
0.594% due 10/25/2034		12		8
MASTR Asset-Backed Securities Trust
0.374% due 11/25/2036		166		154
Merrill Lynch Mortgage Investors, Inc.
0.384% due 08/25/2036		137		136
Morgan Stanley ABS Capital I
0.364% due 10/25/2036		63		58
Nationstar Home Equity Loan Trust
0.434% due 04/25/2037		991		881
Residential Asset Mortgage Products, Inc.
0.414% due 08/25/2046		583		556
Truman Capital Mortgage Loan Trust
0.654% due 01/25/2034		43		43
Total Asset-Backed Securities (Cost $8,766)				8,123
SOVEREIGN ISSUES 0.2%
China Development Bank Corp.
5.000% due 10/15/2015		100		104
Export-Import Bank of China
4.875% due 07/21/2015		100		104
Mexico Government International Bond
5.950% due 03/19/2019		100		101
Total Sovereign Issues (Cost $298)				309
FOREIGN CURRENCY-DENOMINATED ISSUES 2.1%
Brazil Government International Bond
10.250% due 01/10/2028	BRL	300		151
Fortis Bank Nederland Holding NV
3.000% due 04/17/2012	EUR	200		284
General Electric Capital Corp.
5.500% due 09/15/2067		2,000		1,627
Wachovia Corp.
1.465% due 08/01/2011		1,000		1,328
Total Foreign Currency-Denominated Issues (Cost $4,309)				3,390
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.6%
American International Group, Inc.
8.500% due 08/01/2011		21,600		206
General Motors Corp.
5.250% due 03/06/2032		40,000		115
Wells Fargo & Co.
7.500% due 12/31/2049		900		706
Total Convertible Preferred Stocks (Cost $2,447)				1,027
PREFERRED STOCKS 1.2%
DG Funding Trust
1.343% due 12/31/2049		217		1,877
Total Preferred Stocks (Cost $2,294)				1,877
SHORT-TERM INSTRUMENTS 12.7%
REPURCHASE AGREEMENTS 1.4%
Barclays Capital, Inc.
0.020% due 07/01/2009		2,300		2,300
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $2,382. Repurchase proceeds are $2,300.)
U.S. TREASURY BILLS 0.3%
0.279% due 07/16/2009 - 12/24/2009 (b)(g)		422		422
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 11.0%
		1,781,222		17,828
Total Short-Term Instruments (Cost $20,550)				20,550
PURCHASED OPTIONS (i) 1.6% (Cost $735)				2,651
Total Investments 161.4% (Cost $267,718)			$	260,802
Written Options (j) (0.0%) (Premiums $21)				(7	)
Other Assets and Liabilities (Net) (61.4%)				(99,172	)
Net Assets 100.0%			$	161,623

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $26 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $64,687 at a weighted average interest rate of 0.419%. On June 30, 2009, securities valued at $43,119 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $8,517 and cash of $170 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	4	$	4
90-Day Euribor March Futures	Long	03/2010	6		8
90-Day Eurodollar December Futures	Long	12/2009	32		12
90-Day Eurodollar December Futures	Long	12/2010	41		(30	)
90-Day Eurodollar June Futures	Long	06/2010	34		21
90-Day Eurodollar March Futures	Long	03/2010	37		246
90-Day Eurodollar September Futures	Long	09/2009	6		2
90-Day Eurodollar September Futures	Long	09/2010	5		12
E-mini S&P 500 Index September Futures	Long	09/2009	96		(57	)
S&P 500 Index September Futures	Long	09/2009	322		(1,100	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	5		34
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	4		(3	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	4		0
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	2		1
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	2		(3	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	4		(2	)
				$	(855	)

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Brazil Government International Bond	DUB	3.050	%	12/20/2009	0.793	%	$	1,000	$	12		$	0	$	12
CIT Group, Inc.	RBS	5.170	%	03/20/2013	17.180	%		400		(109	)		0		(109	)
General Electric Capital Corp.	BCLY	0.620	%	03/20/2011	4.121	%		700		(40	)		0		(40	)
General Electric Capital Corp.	BCLY	0.640	%	12/20/2012	4.354	%		700		(79	)		0		(79	)
General Electric Capital Corp.	BCLY	1.670	%	03/20/2013	4.347	%		1,400		(119	)		0		(119	)
GMAC LLC	JPM	4.850	%	09/20/2012	10.203	%		500		(65	)		0		(65	)
JSC Gazprom	BCLY	1.600	%	12/20/2012	4.955	%		1,200		(122	)		0		(122	)
									$	(522	)	$	0	$	(522	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012	$	1,361	$	16	$	0	$	16
CDX.IG-9 10-Year Index 30-100%	GSC	0.548	%	12/20/2017		389		1		0		1
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017		681		3		0		3
							$	20	$	0	$	20

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP	EUR	1,100	$	53		$	0		$	53
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS		300		5			0			5
Pay	1-Month EUR-FRCPXTOB Index	1.950	%	03/30/2012	RBS		400		7			0			7
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	03/30/2012	GSC		300		6			0			6
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	04/05/2012	BCLY		100		2			0			2
Pay	1-Month EUR-FRCPXTOB Index	1.958	%	04/10/2012	JPM		100		2			0			2
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	1,700		1			0			1
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		1,100		2			0			2
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		400		1			0			1
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS		600		8			(1	)		9
Pay	1-Year BRL-CDI	12.670	%	01/04/2010	MSC		600		8			(1	)		9
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		1,700		30			2			28
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		700		13			0			13
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		2,500		(34	)		(45	)		11
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	BCLY		900		(4	)		0			(4	)
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	JPM		600		(3	)		0			(3	)
Pay	1-Year BRL-CDI	10.610	%	01/02/2012	HSBC		1,400		(6	)		0			(6	)
Pay	1-Year BRL-CDI	11.980	%	01/02/2012	MLP		2,000		17			0			17
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MLP		1,500		23			(10	)		33
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		100		4			1			3
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		300		11			1			10
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	DUB	AUD	300		(1	)		1			(2	)
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	UBS		15,200		(45	)		8			(53	)
Pay	6-Month AUD Bank Bill	4.250	%	09/15/2011	UBS		2,600		(9	)		22			(31	)
Pay	6-Month AUD Bank Bill	5.000	%	06/15/2013	DUB		1,000		(21	)		4			(25	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	BNP	EUR	400		46			(6	)		52
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC	GBP	800		30			(8	)		38
Pay	6-Month GBP-LIBOR	5.100	%	09/15/2013	RBS		900		106			(2	)		108
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		100		11			1			10
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		500		56			5			51
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	DUB		100		11			0			11
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	GSC		100		13			0			13
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	RBS		300		40			0			40
								$	383		$	(28	)	$	411

Total Return Swaps on Indices

Pay/Receive Total Return on Reference Index	Index	# of Shares or Units	Floating Rate(5)	Notional Amount		Maturity Date	Counterparty	Unrealized Appreciation
Receive	S&P 500 Index	54,111	3-Month USD-LIBOR less 0.070%	$	76,661	01/29/2010	MLP	$	4,334

⁽⁵⁾ 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, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	11,800	$	126	$	423
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		8,200		87		294
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		3,200		36		115
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		19,500		184		699
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		4,600		44		187
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		12,000		136		430
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		11,500		122		503
									$	735	$	2,651

(j) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	500	$	2	$	0
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		1,500		7		3
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		500		2		1
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		500		2		0
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		1,000		4		1
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		1,000		4		2
									$	21	$	7

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.000	%	07/01/2024	$	11,700	$	11,961	$	12,108
Fannie Mae	5.000	%	07/01/2039		2,000		2,016		2,035
Fannie Mae	5.500	%	07/01/2039		11,000		11,321		11,352
						$	25,298	$	25,495

(l) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	DUB	101	07/2009	$	1	$	0		$	1
Buy		GSC	796	07/2009		15		0			15
Buy	BRL	HSBC	1,126	08/2009		35		0			35
Buy		MLP	524	08/2009		22		0			22
Buy	CAD	JPM	226	08/2009		0		(12	)		(12	)
Buy	CNY	BCLY	1,958	07/2009		0		(16	)		(16	)
Sell		CITI	377	07/2009		0		(1	)		(1	)
Buy		DUB	6,216	07/2009		0		(50	)		(50	)
Sell		DUB	12,285	07/2009		0		(39	)		(39	)
Buy		HSBC	3,088	07/2009		3		(14	)		(11	)
Sell		HSBC	377	07/2009		0		(1	)		(1	)
Buy		JPM	1,776	07/2009		0		(16	)		(16	)
Buy		BCLY	652	09/2009		1		0			1
Sell		BCLY	1,934	09/2009		0		(7	)		(7	)
Buy		CITI	486	09/2009		1		0			1
Sell		CITI	1,772	09/2009		0		(6	)		(6	)
Buy		DUB	2,079	09/2009		5		0			5
Buy		HSBC	832	09/2009		2		0			2
Sell		HSBC	273	09/2009		0		(1	)		(1	)
Buy		JPM	345	09/2009		1		0			1
Sell		JPM	414	09/2009		0		(2	)		(2	)
Buy		BCLY	206	03/2010		0		0			0
Buy		HSBC	207	03/2010		0		0			0
Buy		JPM	1,265	03/2010		0		(2	)		(2	)
Sell	EUR	BCLY	1,835	07/2009		0		(14	)		(14	)
Sell		GSC	21	07/2009		0		0			0
Sell	GBP	CITI	773	07/2009		0		(76	)		(76	)
Buy		RBS	84	07/2009		6		0			6
Sell		MSC	689	08/2009		5		0			5
Buy	JPY	BNP	5,544	07/2009		0		0			0
Buy		MSC	5,544	08/2009		0		0			0
					$	97	$	(257	)	$	(160	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0		$	43,092		$	0	$	43,092
Municipal Bonds & Notes		0			8,225			0		8,225
U.S. Government Agencies		0			148,079			0		148,079
U.S. Treasury Obligations		0			8,253			0		8,253
Mortgage-Backed Securities		0			12,820			227		13,047
Asset-Backed Securities		0			8,123			0		8,123
Short-Term Instruments		17,828			2,722			0		20,550
Other Investments++		912			10,521			0		11,433
Investments, at value	$	18,740		$	241,835		$	227	$	260,802
Short Sales, at value	$	0		$	(25,495	)	$	0	$	(25,495	)
Financial Derivative Instruments+++	$	(855	)	$	4,002		$	74	$	3,221
Total	$	17,885		$	220,342		$	301	$	238,528

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Mortgage-Backed Securities	$	45	$	(14	)	$	0	$	0	$	37		$	159		$	227
Investments, at value	$	45	$	(14	)	$	0	$	0	$	37		$	159		$	227
Financial Derivative Instruments+++	$	91	$	0		$	0	$	0	$	(2	)	$	(15	)	$	74
Total	$	136	$	(14	)	$	0	$	0	$	35		$	144		$	301

+	See note 3 in the Supplementary Notes to Schedule of Investments for additional information.
++	Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
+++	Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

StocksPLUS^® TR Short Strategy Fund

June 30, 2009 (Unaudited)

		PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 24.9%
BANKING & FINANCE 20.9%
American Express Bank FSB
5.500% due 04/16/2013		$	1,100	$	1,081
6.000% due 09/13/2017			700		639
American Express Credit Corp.
0.459% due 10/04/2010			600		578
American General Finance Corp.
4.875% due 05/15/2010			700		589
American International Group, Inc.
4.700% due 10/01/2010			1,700		1,381
ANZ National International Ltd.
1.014% due 08/07/2009			1,100		1,100
BA Covered Bond Issuer
5.500% due 06/14/2012			1,000		984
Bank of America Corp.
1.213% due 08/15/2016			100		79
Bank of Scotland PLC
0.689% due 12/08/2010			3,000		2,859
1.152% due 07/17/2009			600		600
Barclays Bank PLC
6.050% due 12/04/2017			900		782
Bear Stearns Cos. LLC
0.842% due 08/21/2009			200		200
1.093% due 08/15/2011			1,300		1,267
1.507% due 07/19/2010			300		300
6.400% due 10/02/2017			700		702
C10 Capital SPV Ltd.
6.722% due 12/31/2049			200		103
Calabash Re Ltd.
9.024% due 01/08/2010			400		382
Citibank N.A.
1.625% due 03/30/2011			400		403
Citigroup Capital XXI
8.300% due 12/21/2077			500		390
Citigroup Funding, Inc.
2.036% due 05/07/2010			1,200		1,175
Citigroup, Inc.
0.631% due 12/28/2009			300		297
2.125% due 04/30/2012			300		302
5.500% due 04/11/2013			4,200		3,941
5.625% due 08/27/2012			200		187
Deutsche Bank AG
1.154% due 02/17/2015			600		525
6.000% due 09/01/2017			600		613
Dexia Credit Local
1.262% due 09/23/2011			1,300		1,297
Ford Motor Credit Co. LLC
7.250% due 10/25/2011			600		519
7.375% due 02/01/2011			2,100		1,902
8.000% due 06/01/2014			400		324
Foundation Re II Ltd.
7.576% due 11/26/2010			400		375
General Electric Capital Corp.
1.177% due 01/20/2010			700		696
1.800% due 03/11/2011			200		202
3.000% due 12/09/2011			1,500		1,548
6.875% due 01/10/2039			1,000		902
GMAC LLC
6.875% due 08/28/2012			600		489
Goldman Sachs Group, Inc.
1.430% due 07/23/2009			20		20
6.150% due 04/01/2018			1,400		1,365
HBOS PLC
5.375% due 11/29/2049			1,800		871
HSBC Finance Corp.
1.162% due 10/21/2009			200		199
International Lease Finance Corp.
0.881% due 05/24/2010			900		821
JPMorgan Chase & Co.
0.734% due 12/21/2011			2,800		2,713
1.382% due 10/02/2009			500		500
Lehman Brothers Holdings, Inc.
2.950% due 05/25/2010 (a)			3,300		503
3.005% due 07/18/2011 (a)			300		46
3.011% due 12/23/2010 (a)			200		30
3.053% due 11/10/2009 (a)			200		30
5.625% due 01/24/2013 (a)			300		47
Merrill Lynch & Co., Inc.
0.867% due 06/05/2012			1,400		1,247
1.083% due 02/15/2011			1,700		1,558
Morgan Stanley
1.357% due 01/18/2011			1,700		1,648
1.399% due 01/09/2012			400		361
3.006% due 05/14/2010			1,200		1,197
5.950% due 12/28/2017			500		481
National Australia Bank Ltd.
0.688% due 09/11/2009			400		400
2.550% due 01/13/2012			2,200		2,217
Nationwide Life Global Funding I
1.026% due 05/19/2010			2,400		2,225
Northern Rock PLC
5.625% due 06/22/2017			2,600		2,279
Pricoa Global Funding I
1.446% due 06/04/2010			2,000		1,983
Protective Life Secured Trusts
0.481% due 11/09/2010			2,500		2,210
Prudential Financial, Inc.
1.620% due 06/10/2013			1,000		830
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011			2,500		2,498
SLM Corp.
0.829% due 03/15/2011			1,200		1,030
1.252% due 07/26/2010			100		91
1.322% due 10/25/2011			1,200		973
Societe Financement de l’Economie Francaise
2.375% due 03/26/2012			400		404
Societe Generale
5.922% due 04/29/2049			500		310
Sun Life Financial Global Funding LP
0.845% due 07/06/2010			2,500		2,427
TNK-BP Finance S.A.
6.125% due 03/20/2012			100		93
TransCapitalInvest Ltd. for OJSC AK Transneft
8.700% due 08/07/2018			200		193
UBS AG
1.927% due 05/05/2010			1,400		1,404
USB Capital IX
6.189% due 04/15/2049			300		203
Wachovia Corp.
1.218% due 08/01/2013			700		629
1.261% due 10/15/2011			200		190
Wells Fargo & Co.
0.672% due 03/23/2010			800		798
7.980% due 03/29/2049			1,100		914
					67,651
INDUSTRIALS 3.1%
AIG SunAmerica Global Financing VI
6.300% due 05/10/2011			1,375		1,292
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009			300		308
CODELCO, Inc.
7.500% due 01/15/2019			300		348
Comcast Corp.
1.439% due 07/14/2009			400		400
Daimler Finance North America LLC
1.466% due 08/03/2009			300		299
Eaton Vance Corp.
6.500% due 10/02/2017			600		569
Gaz Capital S.A.
6.212% due 11/22/2016			100		84
GlaxoSmithKline Capital, Inc.
1.545% due 05/13/2010			2,200		2,216
Reynolds American, Inc.
1.329% due 06/15/2011			2,360		2,208
Roche Holdings, Inc.
2.661% due 02/25/2011			1,100		1,113
Siemens Financieringsmaatschappij NV
0.956% due 08/14/2009			500		500
Union Pacific Corp.
5.700% due 08/15/2018			500		502
Williams Cos., Inc.
6.375% due 10/01/2010			100		100
					9,939
UTILITIES 0.9%
EDF S.A.
5.500% due 01/26/2014			200		216
6.500% due 01/26/2019			200		220
6.950% due 01/26/2039			200		225
Verizon Wireless Capital LLC
3.316% due 05/20/2011			2,400		2,471
					3,132
Total Corporate Bonds & Notes (Cost $83,534)					80,722
MUNICIPAL BONDS & NOTES 1.7%
California State General Obligation Bonds, Series 2009
5.650% due 04/01/2039			100		98
7.500% due 04/01/2034			100		91
7.550% due 04/01/2039			100		91
Chicago, Illinois Transit Authority Revenue Bonds, Series 2008
6.899% due 12/01/2040			800		856
District of Columbia Revenue Bonds, Series 2009
5.250% due 12/01/2034			600		627
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.750% due 06/01/2047			1,100		661
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023			80		60
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031			500		488
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039			25		20
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2009
7.336% due 11/15/2039			1,300		1,534
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.875% due 06/01/2047			1,000		566
San Diego, California Tobacco Settlement Revenue Funding Corp. Revenue Bonds, Series 2006
7.125% due 06/01/2032			90		57
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047			290		195
Total Municipal Bonds & Notes (Cost $5,893)					5,344
U.S. GOVERNMENT AGENCIES 43.2%
Fannie Mae
0.664% due 09/25/2042			169		157
3.392% due 11/01/2035			33		33
3.515% due 06/01/2034			500		503
3.622% due 03/01/2035			13		13
3.678% due 09/01/2035 (f)			113		114
3.992% due 12/01/2033			63		64
4.558% due 07/01/2035			126		128
4.676% due 10/01/2034			14		15
4.827% due 06/01/2035			240		249
4.968% due 06/01/2035			223		231
5.000% due 06/01/2035 - 03/01/2038			4,929		5,030
5.000% due 03/01/2036 (f)			6,768		6,912
5.082% due 12/01/2033			36		37
5.500% due 11/01/2021 - 05/01/2037 (f)			1,294		1,347
5.500% due 04/01/2034 - 06/01/2038			7,542		7,801
6.000% due 10/01/2026 - 07/01/2039			50,802		53,164
6.000% due 05/01/2027 (f)			630		662
6.500% due 07/01/2039 - 08/01/2039			1,900		2,019
Freddie Mac
0.702% due 03/09/2011			8,000		8,029
0.926% due 05/04/2011 (d)			18,500		18,548
0.937% due 08/05/2011			1,400		1,400
1.211% due 04/07/2011			21,500		21,570
4.700% due 06/01/2035			307		317
4.732% due 11/01/2034			111		114
5.500% due 08/15/2030 - 09/01/2038			1,709		1,767
5.500% due 02/01/2038 (f)			3,925		4,056
6.000% due 08/01/2027 - 07/01/2039			3,080		3,220
Ginnie Mae
6.000% due 02/15/2036 - 08/15/2037 (f)			885		924
Small Business Administration
4.430% due 05/01/2029			1,300		1,320
5.520% due 06/01/2024			16		17
Total U.S. Government Agencies (Cost $138,089)					139,761
U.S. TREASURY OBLIGATIONS 5.5%
Treasury Inflation Protected Securities (b)
2.000% due 01/15/2016			752		763
2.375% due 01/15/2017			1,903		1,984
2.375% due 01/15/2025			1,358		1,394
2.625% due 07/15/2017			720		767
U.S. Treasury Bonds
4.250% due 05/15/2039 (f)			7,400		7,319
U.S. Treasury Notes
0.875% due 04/30/2011 (f)			5,478		5,464
Total U.S. Treasury Obligations (Cost $17,234)					17,691
MORTGAGE-BACKED SECURITIES 4.2%
American Home Mortgage Investment Trust
4.390% due 02/25/2045			32		25
Banc of America Commercial Mortgage, Inc.
5.837% due 06/10/2049			2,900		2,061
5.929% due 05/10/2045			300		251
Banc of America Funding Corp.
3.781% due 05/25/2035			57		48
3.966% due 06/25/2034			139		123
Banc of America Mortgage Securities, Inc.
3.919% due 05/25/2033			180		149
Bear Stearns Adjustable Rate Mortgage Trust
4.740% due 10/25/2035			106		102
4.767% due 12/25/2035			220		170
4.808% due 11/25/2034			108		89
5.063% due 11/25/2034			328		275
Bear Stearns Alt-A Trust
5.490% due 09/25/2035			47		25
Citigroup Mortgage Loan Trust, Inc.
2.850% due 12/25/2035			90		74
4.700% due 12/25/2035			68		55
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046			300		220
Countrywide Alternative Loan Trust
0.594% due 02/25/2037			679		309
4.500% due 06/25/2035			63		62
Countrywide Home Loan Mortgage Pass-Through Trust
4.711% due 02/20/2035			408		324
4.786% due 11/25/2034			222		169
5.250% due 02/20/2036			62		42
CS First Boston Mortgage Securities Corp.
4.938% due 12/15/2040			28		28
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039			100		80
GS Mortgage Securities Corp. II
5.993% due 08/10/2045			100		76
GSR Mortgage Loan Trust
4.469% due 09/25/2035			175		148
5.241% due 11/25/2035			304		237
Harborview Mortgage Loan Trust
0.403% due 01/19/2038			454		420
0.483% due 12/19/2036			1,518		629
0.533% due 05/19/2035			48		22
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047			1,700		1,308
5.882% due 02/15/2051			100		75
JPMorgan Mortgage Trust
5.012% due 02/25/2035			106		93
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030			55		55
5.858% due 07/15/2040			700		510
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021			43		39
Mellon Residential Funding Corp.
0.759% due 12/15/2030			444		358
0.799% due 06/15/2030			6		5
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048			1,590		1,062
5.485% due 03/12/2051			100		67
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036			147		80
4.296% due 05/25/2033			156		126
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035			164		109
Morgan Stanley Capital I
5.809% due 12/12/2049			1,700		1,300
Structured Adjustable Rate Mortgage Loan Trust
2.610% due 01/25/2035			111		47
4.802% due 02/25/2034			141		106
5.073% due 08/25/2034			207		147
Structured Asset Mortgage Investments, Inc.
0.594% due 02/25/2036			62		29
Structured Asset Securities Corp.
0.364% due 05/25/2036			228		212
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046			270		243
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021			863		622
5.509% due 04/15/2047			100		67
WaMu Mortgage Pass-Through Certificates
2.540% due 11/25/2042			27		15
3.127% due 10/25/2046			622		279
Wells Fargo Mortgage-Backed Securities Trust
4.947% due 01/25/2035			303		254
4.950% due 03/25/2036			266		188
Total Mortgage-Backed Securities (Cost $17,447)					13,609
ASSET-BACKED SECURITIES 1.9%
ACE Securities Corp.
0.374% due 10/25/2036			108		70
American Express Credit Account Master Trust
0.819% due 02/15/2012			48		48
Asset-Backed Securities Corp. Home Equity
0.589% due 09/25/2034			71		46
Citigroup Mortgage Loan Trust, Inc.
0.374% due 05/25/2037			446		359
Countrywide Asset-Backed Certificates
0.364% due 03/25/2047			33		32
0.394% due 06/25/2037			266		246
0.794% due 12/25/2031			1		0
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036			54		33
JPMorgan Mortgage Acquisition Corp.
0.364% due 08/25/2036			17		16
Long Beach Mortgage Loan Trust
0.374% due 10/25/2036			156		145
0.594% due 10/25/2034			9		6
Massachusetts Educational Financing Authority
2.042% due 04/25/2038			3,315		3,278
Park Place Securities, Inc.
0.626% due 10/25/2034			296		222
Residential Asset Mortgage Products, Inc.
0.394% due 10/25/2036			41		40
Residential Asset Securities Corp.
0.384% due 11/25/2036			28		28
SLM Student Loan Trust
1.082% due 10/27/2014			325		323
1.092% due 01/25/2018			4		5
1.342% due 07/25/2013			134		133
1.392% due 01/25/2015			73		73
1.592% due 10/25/2017			1,100		1,068
Structured Asset Securities Corp.
0.364% due 10/25/2036			102		93
Total Asset-Backed Securities (Cost $6,502)					6,264
FOREIGN CURRENCY-DENOMINATED ISSUES 1.4%
American International Group, Inc.
8.625% due 05/22/2038	GBP		100		40
Bear Stearns Cos. LLC
1.445% due 09/26/2013	EUR		600		772
CIT Group, Inc.
5.000% due 05/13/2014			200		153
Fortis Bank Nederland Holding NV
3.000% due 04/17/2012			400		567
General Electric Capital Corp.
5.500% due 09/15/2067			1,900		1,546
KeyCorp
1.444% due 11/22/2010			100		126
LeasePlan Corp. NV
3.125% due 02/10/2012			300		427
Principal Financial Global Funding LLC
2.750% due 07/12/2010	CHF		400		358
SLM Corp.
1.477% due 12/15/2010	EUR		300		367
Total Foreign Currency-Denominated Issues (Cost $5,396)					4,356
		SHARES
CONVERTIBLE PREFERRED STOCKS 1.0%
American International Group, Inc.
8.500% due 08/01/2011			5,700		54
General Motors Corp.
5.250% due 03/06/2032			24,000		69
Wells Fargo & Co.
7.500% due 12/31/2049			4,000		3,140
Total Convertible Preferred Stocks (Cost $2,962)					3,263
PREFERRED STOCKS 0.2%
DG Funding Trust
1.343% due 12/31/2049			85		735
Total Preferred Stocks (Cost $904)					735
		PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 18.0%
REPURCHASE AGREEMENTS 2.8%
Barclays Capital, Inc.
0.020% due 07/01/2009		$	9,000		9,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $9,315. Repurchase proceeds are $9,000.)
U.S. TREASURY BILLS 0.1%
0.106% due 07/16/2009 (f)			393		393
		SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 15.1%
			4,880,779		48,852
Total Short-Term Instruments (Cost $58,244)					58,245
PURCHASED OPTIONS (h) 0.3% (Cost $313)					1,054
Total Investments 102.3% (Cost $336,518)				$	331,044
Written Options (i) (0.0%) (Premiums $30)					(11	)
Other Assets and Liabilities (Net) (2.3%)					(7,332	)
Net Assets 100.0%				$	323,701

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) Principal amount of security is adjusted for inflation.

(c) Affiliated to the Fund.

(d) Securities with an aggregate market value of $314 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $28,438 at a weighted average interest rate of 0.584%. On June 30, 2009, there were no open reverse repurchase agreements.

(f) Securities with an aggregate market value of $20,204 and cash of $12,765 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	7	$	6
90-Day Euribor March Futures	Long	03/2010	10		13
90-Day Eurodollar December Futures	Long	12/2009	430		472
90-Day Eurodollar December Futures	Long	12/2010	61		(46	)
90-Day Eurodollar June Futures	Long	06/2010	52		31
90-Day Eurodollar March Futures	Long	03/2010	55		350
90-Day Eurodollar September Futures	Long	09/2009	170		1,104
90-Day Eurodollar September Futures	Long	09/2010	4		18
E-mini S&P 500 Index September Futures	Short	09/2009	2,571		2,823
S&P 500 Index September Futures	Short	09/2009	855		3,593
U.S. Treasury 5-Year Note September Futures	Long	09/2009	2		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	2		14
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	5		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	5		(1	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	2		1
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	3		(4	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	5		(3	)
				$	8,363

(g) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid /(Received)			Unrealized Appreciation/ (Depreciation)
American International Group, Inc.	DUB	5.000	%	12/20/2013	15.312	%	$	500	$	(141	)	$	(45	)	$	(96	)
Brazil Government International Bond	MSC	1.950	%	08/20/2016	1.885	%		500		5			0			5
General Electric Capital Corp.	BCLY	1.670	%	03/20/2013	4.347	%		800		(68	)		0			(68	)
General Electric Capital Corp.	CITI	1.050	%	03/20/2010	3.900	%		100		(2	)		0			(2	)
JSC Gazprom	MSC	2.180	%	02/20/2013	4.938	%		100		(8	)		0			(8	)
JSC Gazprom	MSC	2.480	%	02/20/2013	4.938	%		1,000		(69	)		0			(69	)
									$	(283	)	$	(45	)	$	(238	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)	Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012	1,264	$	15	$	0	$	15
CDX.IG-9 10-Year Index 30-100%	GSC	0.548	%	12/20/2017	292		1		0		1
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017	583		2		0		2
						$	18	$	0	$	18

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP	EUR	200	$	10		$	0		$	10
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	JPM		200		4			0			4
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS		200		3			0			3
Pay	1-Month EUR-FRCPXTOB Index	1.950	%	03/30/2012	RBS		200		3			0			3
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	03/30/2012	GSC		100		2			0			2
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	04/05/2012	BCLY		100		2			0			2
Pay	1-Month EUR-FRCPXTOB Index	1.958	%	04/10/2012	JPM		100		2			0			2
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	700		0			0			0
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		500		1			0			1
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		200		0			0			0
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS		600		8			(1	)		9
Pay	1-Year BRL-CDI	12.670	%	01/04/2010	MSC		600		8			(1	)		9
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		600		11			1			10
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		300		6			0			6
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		1,000		(13	)		(18	)		5
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	BCLY		900		(4	)		0			(4	)
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	JPM		600		(3	)		0			(3	)
Pay	1-Year BRL-CDI	10.610	%	01/02/2012	HSBC		1,400		(6	)		0			(6	)
Pay	1-Year BRL-CDI	11.980	%	01/02/2012	MLP		800		7			0			7
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MLP		1,000		15			(7	)		22
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		100		4			0			4
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	DUB	AUD	200		0			1			(1	)
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	UBS		4,600		(14	)		2			(16	)
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	BCLY	$	9,100		320			(90	)		410
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	RBS		8,600		304			(25	)		329
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	BOA		1,100		55			40			15
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	DUB		500		25			16			9
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	MLP		600		29			13			16
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	BOA		3,000		5			(66	)		71
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		9,300		18			(143	)		161
Pay	6-Month AUD Bank Bill	4.250	%	09/15/2011	UBS	AUD	2,800		(10	)		23			(33	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	BNP	EUR	600		69			(9	)		78
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC	GBP	100		11			1			10
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		500		56			5			51
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	DUB		3,400		383			3			380
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	GSC		200		26			0			26
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	RBS		400		53			0			53
								$	1,390		$	(255	)	$	1,645

(h) Purchased options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Cost		Market Value
Call - CME S&P 500 Index September Futures	$	1,450.000	09/17/2009	360	$	6	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	4,900	$	52	$	176
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		3,500		37		125
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		8,900		100		319
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		8,400		79		301
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		2,300		22		94
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		1,100		13		39
									$	303	$	1,054

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC Fannie Mae 6.000% due 07/01/2039	$	97.250	07/06/2009	$	21,000	$	2	$	0
Put - OTC Fannie Mae 6.000% due 07/01/2039		97.500	07/06/2009		13,000		2		0
Put - OTC Fannie Mae 6.500% due 09/01/2039		95.000	09/08/2009		1,000		0		0
						$	4	$	0

(i) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	1	$	0	$	0

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	500	$	2	$	1
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		1,400		7		3
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		1,500		7		2
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		500		2		0
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		1,000		5		1
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		2,000		7		4
									$	30	$	11

(j) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	GSC	433	07/2009	$	8	$	0		$	8
Buy	BRL	HSBC	2,150	08/2009		68		0			68
Buy		MLP	802	08/2009		33		0			33
Buy	CAD	JPM	305	08/2009		0		(16	)		(16	)
Buy	CNY	BCLY	1,912	07/2009		0		(16	)		(16	)
Sell		BCLY	1,801	07/2009		0		(11	)		(11	)
Sell		CITI	2,703	07/2009		0		(13	)		(13	)
Buy		DUB	7,041	07/2009		0		(57	)		(57	)
Sell		DUB	7,010	07/2009		0		(29	)		(29	)
Buy		HSBC	3,141	07/2009		3		(15	)		(12	)
Sell		HSBC	1,124	07/2009		0		(5	)		(5	)
Buy		JPM	2,531	07/2009		0		(22	)		(22	)
Sell		JPM	1,989	07/2009		0		(12	)		(12	)
Buy		BCLY	634	09/2009		1		0			1
Sell		BCLY	1,798	09/2009		0		(6	)		(6	)
Buy		CITI	416	09/2009		1		0			1
Sell		CITI	1,655	09/2009		0		(6	)		(6	)
Buy		DUB	1,871	09/2009		4		0			4
Buy		HSBC	832	09/2009		2		0			2
Sell		HSBC	259	09/2009		0		(1	)		(1	)
Buy		JPM	345	09/2009		1		0			1
Sell		JPM	386	09/2009		0		(1	)		(1	)
Buy		BCLY	179	03/2010		0		0			0
Buy		HSBC	179	03/2010		0		0			0
Buy		JPM	1,096	03/2010		0		(1	)		(1	)
Sell	EUR	BCLY	1,824	07/2009		0		(14	)		(14	)
Sell		GSC	35	07/2009		0		0			0
Buy		MSC	880	07/2009		0		(6	)		(6	)
Sell		RBS	834	07/2009		0		(14	)		(14	)
Sell	GBP	CITI	816	07/2009		0		(80	)		(80	)
Buy		MSC	763	07/2009		0		(5	)		(5	)
Buy		RBS	53	07/2009		4		0			4
Sell		MSC	763	08/2009		5		0			5
Buy	SGD	HSBC	116	07/2009		0		0			0
Sell		HSBC	116	07/2009		0		(4	)		(4	)
					$	130	$	(334	)	$	(204	)

(k) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	80,722	$	0	$	80,722
U.S. Government Agencies		0		139,761		0		139,761
U.S. Treasury Obligations		0		17,691		0		17,691
Short-Term Instruments		48,852		9,393		0		58,245
Other Investments++		3,194		31,431		0		34,625
Investments, at value	$	52,046	$	278,998	$	0	$	331,044
Financial Derivative Instruments+++	$	8,363	$	1,184	$	26	$	9,573
Total	$	60,409	$	280,182	$	26	$	340,617

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Investments, at value	$	0	$	0	$	0	$	0	$	0		$	0		$	0
Financial Derivative Instruments+++	$	34	$	0	$	0	$	0	$	(3	)	$	(5	)	$	26
Total	$	34	$	0	$	0	$	0	$	(3	)	$	(5	)	$	26

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Total Return Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.3%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	519,263	$	483,564
Ford Motor Co.
3.320% due 12/16/2013		18,720		13,614
4.140% due 12/16/2013		7,150		5,200
NRG Energy, Inc.
0.498% due 02/01/2013		5,674		5,352
RH Donnelley Corp.
6.750% due 06/30/2011		1,814		1,432
6.750% due 06/30/2024		1,773		1,399
Sensata Technologies BV
2.602% due 04/27/2013		12		10
2.804% due 04/27/2013		4,887		3,763
Texas Competitive Electric Holdings Co. LLC
3.810% due 10/10/2014		127		91
3.821% due 10/10/2014		12,390		8,883
Yell Group PLC
3.310% due 02/10/2013		33,000		20,102
Total Bank Loan Obligations (Cost $582,396)				543,410
CORPORATE BONDS & NOTES 26.7%
BANKING & FINANCE 19.1%
ABX Financing Co.
5.750% due 10/15/2016		12,300		12,586
Ace INA Holdings, Inc.
5.700% due 02/15/2017		50		50
5.875% due 06/15/2014		3,400		3,516
AES Ironwood LLC
8.857% due 11/30/2025		15,970		13,894
AIG Life Holdings U.S., Inc.
7.500% due 08/11/2010		7,950		7,574
AIG SunAmerica Global Financing X
6.900% due 03/15/2032		10,000		4,778
Alliance & Leicester PLC
1.182% due 01/19/2011		23,000		22,142
Allstate Corp.
6.125% due 12/15/2032		150		136
6.125% due 05/15/2037		2,800		2,086
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		166,800		172,676
American Express Bank FSB
0.371% due 04/26/2010		12,310		12,160
0.375% due 10/20/2009		30,350		30,349
0.438% due 05/29/2012		17,325		15,399
0.621% due 06/12/2017		10,000		7,351
3.150% due 12/09/2011		1,000		1,036
5.500% due 04/16/2013		266,250		261,597
6.000% due 09/13/2017		330,700		302,128
American Express Centurion Bank
0.375% due 09/22/2009		10,400		10,367
0.377% due 03/23/2010		3,800		3,726
0.399% due 07/13/2010		4,400		4,283
0.478% due 11/16/2009		14,760		14,659
0.479% due 12/17/2009		5,000		4,970
5.200% due 11/26/2010		3,476		3,495
5.550% due 10/17/2012		11,700		11,701
6.000% due 09/13/2017		309,600		282,851
American Express Co.
5.250% due 09/12/2011		600		606
5.500% due 09/12/2016		150		137
6.150% due 08/28/2017		53,500		49,419
6.800% due 09/01/2066		7,489		5,399
7.000% due 03/19/2018		208,570		202,853
8.150% due 03/19/2038		90		95
American Express Credit Corp.
0.381% due 11/09/2009		4,400		4,371
0.431% due 02/24/2012		3,000		2,715
0.459% due 10/04/2010		21,300		20,511
0.478% due 06/16/2011		76,100		70,945
0.496% due 12/02/2010		11,270		10,785
1.708% due 05/27/2010		146,043		144,269
5.875% due 05/02/2013		156,600		155,683
7.300% due 08/20/2013		115		120
American Express Travel Related Services Co., Inc.
0.520% due 06/01/2011		51,700		45,879
5.250% due 11/21/2011		44,109		43,872
American General Finance Corp.
0.706% due 03/02/2010		10,000		8,575
0.879% due 12/15/2011		3,100		1,980
1.134% due 08/17/2011		21,640		14,395
3.875% due 10/01/2009		39,253		37,489
4.000% due 03/15/2011		14,475		9,596
4.625% due 09/01/2010		13,200		9,994
4.875% due 05/15/2010		35,300		29,706
5.375% due 10/01/2012		200		118
5.400% due 12/01/2015		100		54
5.850% due 06/01/2013		19,117		10,978
5.900% due 09/15/2012		180		108
6.900% due 12/15/2017		216,900		117,602
American Honda Finance Corp.
1.359% due 06/20/2011		25,000		24,138
American International Group, Inc.
0.680% due 10/01/2009		4,571		4,154
0.709% due 03/20/2012		5,800		3,022
1.094% due 01/29/2010		217,600		185,504
1.217% due 10/18/2011		51,100		32,997
4.250% due 05/15/2013		26,645		15,452
4.700% due 10/01/2010		20,952		17,017
4.950% due 03/20/2012		83,195		56,612
5.050% due 10/01/2015		67,800		36,629
5.375% due 10/18/2011		53,625		38,656
5.450% due 05/18/2017		149,350		78,718
5.600% due 10/18/2016		12,323		6,671
5.850% due 01/16/2018		251,062		133,010
6.250% due 05/01/2036		114,814		49,350
8.175% due 05/15/2058		599,920		171,270
8.250% due 08/15/2018		327,837		193,188
Ameriprise Financial, Inc.
5.350% due 11/15/2010		145		145
Anadarko Finance Co.
6.750% due 05/01/2011		10,000		10,414
ANZ National International Ltd.
1.014% due 08/07/2009		47,200		47,211
6.200% due 07/19/2013		225,650		232,730
ASIF I
1.242% due 07/26/2010		30,000		26,089
Associates Corp. of North America
7.950% due 02/15/2010		25,500		25,674
8.550% due 07/15/2009		250		250
AXA Financial, Inc.
7.750% due 08/01/2010		100		100
BAC Capital Trust XIV
5.630% due 12/31/2049		345		173
Banco Santander Chile
0.982% due 12/09/2009		56,282		56,008
Bank of America Corp.
0.721% due 09/25/2009		136,740		136,568
0.813% due 09/18/2009		400		399
0.959% due 09/15/2014		15,400		12,784
1.127% due 11/06/2009		118,800		118,596
1.148% due 09/11/2012		100		92
1.213% due 08/15/2016		82,800		65,030
1.399% due 10/14/2016		40,000		30,317
2.100% due 04/30/2012		915		917
4.250% due 10/01/2010		48		48
4.750% due 08/15/2013		500		465
5.125% due 11/15/2014		125		118
5.200% due 03/15/2018		100		90
5.250% due 12/01/2015		275		243
5.625% due 10/14/2016		185		167
5.650% due 05/01/2018		36,105		31,957
5.750% due 12/01/2017		68,350		60,959
6.000% due 09/01/2017		219,020		199,445
7.250% due 10/15/2025		200		177
7.375% due 05/15/2014		71,875		74,353
7.400% due 01/15/2011		29,276		30,065
7.625% due 06/01/2019		365		367
7.750% due 08/15/2015		2,000		1,992
7.800% due 02/15/2010		500		514
Bank of America Institutional Capital A
8.070% due 12/31/2026		4,400		3,657
Bank of America N.A.
0.909% due 06/15/2016		107,160		79,802
1.538% due 05/12/2010		89,600		88,800
5.300% due 03/15/2017		250		212
6.000% due 10/15/2036		70,100		56,284
6.100% due 06/15/2017		5,000		4,412
Bank of New York Mellon Corp.
1.416% due 02/05/2010		8,700		8,715
6.375% due 04/01/2012		200		209
Bank of Scotland PLC
0.669% due 09/14/2009		2,000		1,988
0.689% due 12/08/2010		19,400		18,486
1.152% due 07/17/2009		105,500		105,441
5.250% due 02/21/2017		100		83
Bank One Corp.
4.900% due 04/30/2015		20,000		17,595
5.900% due 11/15/2011		12,500		13,099
7.750% due 07/15/2025		200		201
Barclays Bank PLC
5.450% due 09/12/2012		198,500		207,169
6.050% due 12/04/2017		247,231		214,729
6.750% due 05/22/2019		200		199
7.434% due 09/29/2049		81,600		54,747
10.179% due 06/12/2021		395,440		422,630
BB&T Corp.
4.750% due 10/01/2012		145		142
BBVA USA Bancshares, Inc.
1.749% due 10/09/2009		35,000		35,009
Bear Stearns Cos. LLC
0.751% due 02/23/2010		238,025		237,789
0.842% due 08/21/2009		26,105		26,125
0.854% due 11/28/2011		33,250		32,463
0.902% due 09/09/2009		28,955		28,943
0.961% due 02/23/2012		1,000		936
0.974% due 05/18/2010		61,825		61,749
1.093% due 08/15/2011		68,085		66,351
1.142% due 11/21/2016		13,706		10,262
1.218% due 02/01/2012		41,842		39,495
1.241% due 10/22/2010		12,800		12,708
1.269% due 01/31/2011		184,450		182,461
1.392% due 07/16/2009		3,080		3,081
1.507% due 07/19/2010		71,021		71,097
4.500% due 10/28/2010		8,215		8,405
4.550% due 06/23/2010		9,175		9,366
5.300% due 10/30/2015		20,500		20,173
5.350% due 02/01/2012		150		157
5.500% due 08/15/2011		10,325		10,823
5.550% due 01/22/2017		1,355		1,258
6.400% due 10/02/2017		58,690		58,887
6.950% due 08/10/2012		560,380		609,647
7.250% due 02/01/2018		114,640		121,022
7.625% due 12/07/2009		632		648
BFC Finance Corp.
7.375% due 12/01/2017		1,000		1,194
Block Financial LLC
7.875% due 01/15/2013		53,100		57,589
BNP Paribas
5.186% due 06/29/2049		1,800		1,173
BNY Mellon N.A.
4.750% due 12/15/2014		50		51
Boeing Capital Corp.
6.100% due 03/01/2011		300		320
7.375% due 09/27/2010		135		143
C5 Capital SPV Ltd.
6.196% due 12/31/2049		15,000		7,976
C10 Capital SPV Ltd.
6.722% due 12/31/2049		39,500		20,250
Caelus Re Ltd.
6.918% due 06/07/2011		25,000		22,745
Calabash Re Ltd.
11.524% due 01/08/2010		2,650		2,582
Canadian Oil Sands Ltd.
4.800% due 08/10/2009		11,700		11,714
Capital One Bank USA N.A.
8.800% due 07/15/2019		78,100		79,921
Capital One Financial Corp.
0.930% due 09/10/2009		34,500		34,376
5.700% due 09/15/2011		7,000		7,035
6.150% due 09/01/2016		8,462		7,500
6.250% due 11/15/2013		193		191
6.750% due 09/15/2017		260,000		249,147
7.375% due 05/23/2014		13,000		13,424
Caterpillar Financial Services Corp.
1.354% due 06/24/2011		4,500		4,447
4.850% due 12/07/2012		300		314
5.450% due 04/15/2018		25		24
6.125% due 02/17/2014		7,900		8,439
Charter One Bank N.A.
6.375% due 05/15/2012		6,350		5,933
Chubb Corp.
6.500% due 05/15/2038		10,000		10,863
CIT Group Funding Co. of Canada
4.650% due 07/01/2010		29,000		24,652
5.200% due 06/01/2015		5,650		3,278
CIT Group, Inc.
0.759% due 03/12/2010		41,934		35,723
0.769% due 03/22/2010		32,300		26,654
0.974% due 08/17/2009		26,758		26,006
1.170% due 02/13/2012		6,340		3,743
1.306% due 11/03/2010		4,800		3,581
1.322% due 04/27/2011		15,300		10,838
1.352% due 07/28/2011		77,313		52,617
4.250% due 02/01/2010		50,400		45,254
4.750% due 12/15/2010		13,100		10,287
5.000% due 02/01/2015		150		88
5.200% due 11/03/2010		10,000		7,902
5.600% due 04/27/2011		32,000		24,007
5.800% due 07/28/2011		23,500		17,630
6.000% due 02/15/2013		500		268
6.875% due 11/01/2009		14,000		13,395
7.625% due 11/30/2012		11,575		7,933
7.750% due 04/02/2012		4,000		2,397
12.000% due 12/18/2018		58,401		27,461
Citicorp
7.250% due 10/15/2011		12,413		12,080
CitiFinancial, Inc.
6.625% due 06/01/2015		10,000		8,994
Citigroup Capital XXI
8.300% due 12/21/2077		376,631		294,159
Citigroup Funding, Inc.
0.639% due 09/22/2009		2,100		2,081
1.351% due 10/22/2009		14,550		14,498
2.036% due 05/07/2010		160,600		157,323
Citigroup Global Markets Holdings, Inc.
1.148% due 08/03/2009		39,980		39,865
1.148% due 11/02/2009		800		790
Citigroup, Inc.
0.631% due 12/28/2009		184,930		183,171
0.749% due 03/16/2012		35,955		32,671
0.754% due 03/07/2014		21,000		16,910
0.902% due 06/09/2016		39,900		28,409
0.944% due 05/18/2011		106,700		100,915
1.004% due 05/18/2010		237,540		233,314
1.070% due 08/13/2010		1,300		1,270
2.125% due 04/30/2012		1,371		1,378
2.583% due 05/15/2018		300		235
4.125% due 02/22/2010		20,335		20,343
4.250% due 07/29/2009		300		300
5.000% due 09/15/2014		5,740		4,819
5.100% due 09/29/2011		26,850		26,309
5.125% due 02/14/2011		58,114		57,973
5.250% due 02/27/2012		10,000		9,772
5.300% due 10/17/2012		201,360		194,424
5.500% due 08/27/2012		177,850		172,512
5.500% due 04/11/2013		710,645		666,822
5.625% due 08/27/2012		31,182		29,222
5.850% due 07/02/2013		24,500		23,203
5.875% due 02/22/2033		75		56
6.000% due 02/21/2012		1,100		1,088
6.000% due 08/15/2017		78,042		68,139
6.125% due 11/21/2017		160,100		140,590
6.125% due 05/15/2018		108,270		94,855
6.125% due 08/25/2036		10,200		7,608
6.500% due 08/19/2013		183,793		178,754
7.250% due 10/01/2010		57,934		57,713
8.500% due 05/22/2019		40,080		40,839
CNA Financial Corp.
5.850% due 12/15/2014		38,500		30,962
6.000% due 08/15/2011		28,500		27,137
6.500% due 08/15/2016		6,250		5,071
Comerica Bank
0.400% due 06/30/2010		6,200		5,996
0.771% due 05/24/2011		10,100		9,326
1.056% due 05/10/2010		2,500		2,412
Commonwealth Bank of Australia
2.400% due 01/12/2012		700		700
Countrywide Financial Corp.
1.426% due 05/07/2012		39,000		35,498
4.500% due 06/15/2010		21,816		21,603
5.800% due 06/07/2012		200,469		201,899
6.250% due 05/15/2016		25,000		22,211
Countrywide Home Loans, Inc.
4.000% due 03/22/2011		99,991		98,728
4.125% due 09/15/2009		57,696		57,887
5.625% due 07/15/2009		76,550		76,591
Credit Agricole S.A.
0.714% due 05/28/2010		3,800		3,781
6.637% due 05/29/2049		25,147		14,793
Credit Suisse New York
5.000% due 05/15/2013		230,000		235,421
6.000% due 02/15/2018		103		103
Credit Suisse USA, Inc.
1.054% due 08/16/2011		11,595		11,295
1.083% due 08/15/2010		41,790		41,567
5.125% due 08/15/2015		55		56
5.375% due 03/02/2016		250		258
5.500% due 08/16/2011		400		423
5.500% due 08/15/2013		100		104
6.125% due 11/15/2011		9,300		9,963
7.125% due 07/15/2032		40		43
DBS Bank Ltd.
1.074% due 05/16/2017		22,000		19,322
5.000% due 11/15/2019		8,000		7,627
Deutsche Bank AG
1.154% due 02/17/2015		11,700		10,238
4.875% due 05/20/2013		253,675		260,710
6.000% due 09/01/2017		362,850		370,741
DnB NOR Bank ASA
1.209% due 10/13/2009		10,600		10,534
East Lane Re Ltd.
7.028% due 05/06/2011		45,000		42,876
El Paso Performance-Linked Trust
7.750% due 07/15/2011		7,250		7,152
FIA Card Services N.A.
6.625% due 06/15/2012		10,000		10,398
7.125% due 11/15/2012		23,285		24,559
Fifth Third Bancorp
1.029% due 12/20/2016		29,030		19,951
6.250% due 05/01/2013		100,180		98,566
First Union Capital I
7.935% due 01/15/2027		4,405		3,996
First Union Institutional Capital II
7.850% due 01/01/2027		9,500		7,698
Fleet Capital Trust V
1.613% due 12/18/2028		800		426
FleetBoston Financial Corp.
7.375% due 12/01/2009		20,000		20,195
FNBC 1993-A Pass-Through Trust
8.080% due 01/05/2018		208		230
Ford Motor Credit Co. LLC
2.701% due 01/15/2010		20,300		19,361
3.889% due 01/13/2012		14,200		11,005
5.700% due 01/15/2010		30,100		29,055
5.879% due 06/15/2011		7,000		6,081
7.000% due 10/01/2013		3,200		2,576
7.250% due 10/25/2011		10,700		9,260
7.375% due 10/28/2009		151,373		150,087
7.375% due 02/01/2011		15,100		13,675
7.800% due 06/01/2012		1,500		1,292
7.875% due 06/15/2010		102,728		97,599
8.000% due 12/15/2016		129,719		99,301
8.625% due 11/01/2010		23,300		21,907
9.750% due 09/15/2010		18,100		17,343
12.000% due 05/15/2015		50,000		46,824
Foundation Re II Ltd.
7.576% due 11/26/2010		43,850		41,058
GATX Financial Corp.
5.500% due 02/15/2012		7,080		7,033
6.273% due 06/15/2011		10,355		10,433
General Electric Capital Corp.
0.609% due 12/21/2012		600		603
0.655% due 10/06/2010		1,000		982
0.669% due 03/12/2010		400		396
0.749% due 12/15/2009		205,090		205,143
0.749% due 12/20/2013		5,000		4,347
0.785% due 10/06/2015		13,500		10,733
0.953% due 08/15/2011		4,400		4,169
1.122% due 10/26/2009		1,075		1,075
1.162% due 04/28/2011		39,970		38,233
1.177% due 01/20/2010		179,900		178,872
1.262% due 07/27/2012		9,325		8,477
1.357% due 01/08/2016		82,800		67,366
1.396% due 05/05/2026		29,950		19,827
1.418% due 06/20/2014		38,000		29,211
1.478% due 02/01/2011		6,000		5,811
1.800% due 03/11/2011		1,200		1,211
2.200% due 06/08/2012		400		402
2.250% due 03/12/2012		403		407
4.000% due 05/15/2010		100		99
4.125% due 09/01/2009		140		141
4.250% due 06/15/2012		1,596		1,582
5.625% due 09/15/2017		65		62
5.625% due 05/01/2018		1,485		1,407
5.875% due 01/14/2038		546,387		433,186
6.000% due 06/15/2012		1,005		1,057
6.375% due 11/15/2067		254,800		170,234
6.750% due 03/15/2032		250		225
6.875% due 01/10/2039		207,735		187,316
8.125% due 05/15/2012		250		280
Genworth Financial, Inc.
6.500% due 06/15/2034		160		97
6.515% due 05/22/2018		15,000		10,041
Genworth Global Funding Trusts
0.789% due 12/15/2010		6,160		5,510
1.023% due 05/15/2012		12,000		9,709
1.321% due 04/15/2014		500		247
Glitnir Banki HF
4.763% due 04/20/2010 (a)		1,800		302
GMAC LLC
6.000% due 04/01/2011		15,000		12,907
6.000% due 12/15/2011		100		84
6.500% due 12/15/2018		200		119
6.700% due 06/15/2018		100		60
6.850% due 04/15/2016		200		123
6.875% due 09/15/2011		3,900		3,355
7.000% due 02/15/2018		100		62
7.200% due 10/15/2017		125		75
7.250% due 09/15/2017		200		122
7.375% due 04/15/2018		100		63
Golden West Financial Corp.
4.750% due 10/01/2012		100		101
Goldman Sachs Capital I
6.345% due 02/15/2034		750		606
Goldman Sachs Capital II
5.793% due 12/29/2049		25,200		15,367
Goldman Sachs Group, Inc.
0.692% due 12/23/2009		34,000		33,938
0.701% due 06/28/2010		64,000		63,562
0.856% due 03/02/2010		69,384		67,455
0.901% due 06/28/2010		28,220		28,075
0.934% due 11/16/2009		59,830		59,781
1.059% due 03/22/2016		37,600		31,890
1.187% due 02/06/2012		77,965		74,496
1.201% due 09/29/2014		12,500		11,087
1.236% due 08/05/2011		1,450		1,392
1.430% due 07/23/2009		19,970		19,974
1.501% due 07/22/2015		6,000		5,173
1.561% due 10/07/2011		2,700		2,594
1.625% due 07/15/2011		262		264
1.639% due 01/12/2015		20,000		17,550
4.750% due 07/15/2013		500		501
5.000% due 01/15/2011		11,500		11,821
5.250% due 04/01/2013		82		84
5.250% due 10/15/2013		4,915		5,023
5.300% due 02/14/2012		11,630		12,044
5.350% due 01/15/2016		14,555		13,899
5.450% due 11/01/2012		446		462
5.500% due 11/15/2014		148		149
5.625% due 01/15/2017		450		428
5.700% due 09/01/2012		2,325		2,436
5.950% due 01/18/2018		303,765		295,124
6.125% due 02/15/2033		20,010		18,709
6.150% due 04/01/2018		314,785		306,977
6.250% due 09/01/2017		418,300		414,530
6.600% due 01/15/2012		12,975		13,823
6.750% due 10/01/2037		324,124		288,650
6.875% due 01/15/2011		100		106
7.350% due 10/01/2009		150		152
7.500% due 02/15/2019		37,150		39,848
Hartford Life Global Funding Trusts
0.809% due 06/16/2014		400		251
0.933% due 11/15/2009		15,500		15,123
HBOS Capital Funding LP
6.071% due 06/29/2049		10,000		3,648
HBOS PLC
6.750% due 05/21/2018		250,600		189,442
HCP, Inc.
5.950% due 09/15/2011		12,350		12,095
6.000% due 01/30/2017		1,700		1,443
6.300% due 09/15/2016		13,000		11,291
6.700% due 01/30/2018		23,400		20,359
Health Care REIT, Inc.
5.875% due 05/15/2015		5,000		4,369
Heller Financial, Inc.
7.375% due 11/01/2009		300		305
HSBC Bank USA N.A.
0.759% due 12/14/2009		9,700		9,684
4.625% due 04/01/2014		75		74
5.875% due 11/01/2034		3,000		2,786
6.000% due 08/09/2017		13,900		14,054
HSBC Capital Funding LP
4.610% due 12/29/2049		400		282
9.547% due 12/29/2049		43,400		40,484
10.176% due 12/29/2049		66,160		70,176
HSBC Finance Capital Trust IX
5.911% due 11/30/2035		2,300		1,217
HSBC Finance Corp.
0.719% due 03/12/2010		4,300		4,230
0.979% due 09/14/2012		8,500		7,483
1.098% due 06/01/2016		28,100		21,512
1.134% due 11/16/2009		86,979		86,307
1.162% due 10/21/2009		73,700		73,490
1.166% due 08/09/2011		11,900		10,775
1.206% due 05/10/2010		39,205		38,183
1.381% due 01/15/2014		16,900		13,723
4.625% due 09/15/2010		278		280
5.700% due 06/01/2011		230		232
6.375% due 10/15/2011		355		363
7.000% due 05/15/2012		315		325
HSBC Holdings PLC
6.500% due 05/02/2036		191,900		187,748
6.500% due 09/15/2037		109,800		106,412
7.500% due 07/15/2009		33,000		33,049
HSBC USA, Inc.
3.125% due 12/16/2011		1,000		1,036
IBM International Group Capital LLC
1.394% due 07/29/2009		88,000		88,087
ICICI Bank Ltd.
1.679% due 01/12/2010		1,800		1,764
ILFC E-Capital Trust I
5.900% due 12/21/2065		8,521		3,281
ILFC E-Capital Trust II
6.250% due 12/21/2065		18,380		7,076
ING Bank NV
2.625% due 02/09/2012		6,200		6,278
3.900% due 03/19/2014		2,200		2,243
International Lease Finance Corp.
0.881% due 05/24/2010		83,235		75,931
1.489% due 07/13/2012		10,630		7,669
1.531% due 01/15/2010		42,230		39,241
1.538% due 07/01/2011		50,000		40,640
4.150% due 01/20/2015		92,000		88,964
4.375% due 11/01/2009		2,000		1,937
4.750% due 07/01/2009		8,768		8,768
4.750% due 01/13/2012		10,677		8,415
4.875% due 09/01/2010		46,360		41,567
4.950% due 02/01/2011		10,900		9,275
5.000% due 04/15/2010		7,000		6,412
5.000% due 09/15/2012		5,000		3,871
5.125% due 11/01/2010		11,405		10,191
5.250% due 01/10/2013		15,000		11,352
5.300% due 05/01/2012		15,100		11,714
5.350% due 03/01/2012		20,000		15,621
5.400% due 02/15/2012		20,000		15,613
5.450% due 03/24/2011		17,000		14,259
5.625% due 09/15/2010		39,440		35,442
5.625% due 09/20/2013		100		76
5.750% due 06/15/2011		33,457		27,761
6.625% due 11/15/2013		15,000		11,560
iStar Financial, Inc.
5.150% due 03/01/2012		10,000		5,053
5.800% due 03/15/2011		400		242
5.950% due 10/15/2013		10,000		4,403
Jackson National Life Funding LLC
1.282% due 08/06/2011		31,600		28,870
John Deere Capital Corp.
0.708% due 09/01/2009		25,000		24,996
1.400% due 06/10/2011		2,200		2,185
4.950% due 12/17/2012		15		15
5.650% due 07/25/2011		9,000		9,416
7.000% due 03/15/2012		175		192
JPMorgan Chase & Co.
0.688% due 06/25/2010		1,300		1,298
0.732% due 06/25/2012		28,300		27,061
0.734% due 12/21/2011		2,500		2,422
0.964% due 05/16/2011		11,600		11,285
1.026% due 05/07/2010		6,600		6,591
1.178% due 11/01/2012		3,500		3,255
1.282% due 01/17/2011		19,075		18,875
1.382% due 10/02/2009		68,100		68,061
2.200% due 06/15/2012		100		101
3.125% due 12/01/2011		400		414
4.500% due 01/15/2012		4,000		4,115
4.750% due 05/01/2013		288		292
4.750% due 03/01/2015		300		303
4.875% due 03/15/2014		645		639
5.125% due 09/15/2014		14,015		13,969
5.250% due 05/01/2015		700		674
5.600% due 06/01/2011		132		138
5.750% due 01/02/2013		40,135		41,436
6.000% due 01/15/2018		157,485		156,705
6.125% due 06/27/2017		15		15
6.300% due 04/23/2019		21,000		21,161
6.400% due 05/15/2038		36,411		36,575
6.625% due 03/15/2012		1,300		1,370
7.000% due 11/15/2009		6,645		6,750
7.875% due 06/15/2010		80		83
JPMorgan Chase & Co. CPI Linked Bond
3.574% due 02/15/2012		600		521
JPMorgan Chase Bank N.A.
0.959% due 06/13/2016		30,565		24,959
6.000% due 10/01/2017		319,450		311,430
JPMorgan Chase Capital XV
5.875% due 03/15/2035		12,135		9,732
JPMorgan Chase Capital XX
6.550% due 09/15/2066		37,900		30,180
JPMorgan Chase Capital XXI
1.966% due 02/02/2037		24,000		12,813
JPMorgan Chase Capital XXIII
1.883% due 05/15/2077		4,278		2,198
KeyBank N.A.
2.906% due 06/02/2010		292,100		283,655
7.413% due 05/06/2015		91,450		82,063
KeyCorp
6.500% due 05/14/2013		100,000		99,750
Kimco Realty Corp.
5.700% due 05/01/2017		2,000		1,661
Kreditanstalt fuer Wiederaufbau
4.875% due 06/17/2019		60,000		62,284
Landsbanki Islands HF
2.858% due 08/25/2009 (a)		1,500		52
Landwirtschaftliche Rentenbank
4.875% due 11/16/2015		175		190
LeasePlan Corp. NV
3.000% due 05/07/2012		205,000		205,944
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		25,870		3,945
2.911% due 08/21/2009 (a)		89,000		13,572
2.950% due 05/25/2010 (a)		108,850		16,600
3.011% due 12/23/2010 (a)		100		15
3.950% due 11/10/2009 (a)		100		15
5.625% due 01/24/2013 (a)		152,570		23,839
5.750% due 01/03/2017 (a)		200		0
6.200% due 09/26/2014 (a)		49,670		7,575
6.625% due 01/18/2012 (a)		350		53
6.750% due 12/28/2017 (a)		20,000		2
6.875% due 05/02/2018 (a)		122,732		20,251
7.000% due 04/16/2019 (a)		90		14
7.500% due 05/11/2038 (a)		85,000		8
7.875% due 11/01/2009 (a)		65		10
Liberty Mutual Group, Inc.
5.750% due 03/15/2014		10,200		8,086
Lincoln National Corp.
0.719% due 03/12/2010		31,900		31,135
Lloyds Banking Group PLC
5.920% due 09/29/2049		37,900		13,454
6.657% due 05/19/2049		200		72
Longpoint Re Ltd.
5.874% due 05/08/2010		87,500		85,050
M&I Marshall & Ilsley Bank
3.950% due 08/14/2009		2,190		2,188
5.250% due 09/04/2012		125		105
Macquarie Bank Ltd.
2.600% due 01/20/2012		200,000		201,328
Marsh & McLennan Cos., Inc.
5.375% due 07/15/2014		21,000		20,475
5.750% due 09/15/2015		80,000		76,346
9.250% due 04/15/2019		12,250		13,808
Marshall & Ilsley Corp.
4.375% due 08/01/2009		13,800		13,803
5.350% due 04/01/2011		7,745		7,368
MBNA Capital B
1.828% due 02/01/2027		10,900		5,749
MBNA Corp.
6.125% due 03/01/2013		20,100		20,410
Mellon Funding Corp.
5.000% due 12/01/2014		100		102
Mercantile Bankshares Corp.
4.625% due 04/15/2013		3,390		3,061
Merrill Lynch & Co., Inc.
0.409% due 08/14/2009		45,000		44,878
0.427% due 03/23/2010		6,410		6,279
0.712% due 03/23/2010		21,500		21,168
0.726% due 12/04/2009		22,175		22,135
0.867% due 06/05/2012		128,460		114,446
0.892% due 09/09/2009		10,700		10,697
0.996% due 08/14/2009		35,175		35,176
1.083% due 02/15/2011		37,250		34,131
1.228% due 11/01/2011		123,800		113,576
1.236% due 02/05/2010		68,274		67,482
1.292% due 07/25/2011		147,030		136,215
1.591% due 01/15/2015		30,900		24,690
3.188% due 05/12/2010		183,145		182,160
4.125% due 09/10/2009		21,621		21,653
4.250% due 02/08/2010		12,960		13,013
5.000% due 01/15/2015		200		183
5.450% due 02/05/2013		114		111
5.450% due 07/15/2014		30		29
6.050% due 08/15/2012		538,998		540,952
6.150% due 04/25/2013		30,000		30,078
6.220% due 09/15/2026		115		95
6.400% due 08/28/2017		199,800		177,145
6.750% due 06/01/2028		115		81
6.875% due 04/25/2018		579,520		537,237
7.750% due 05/14/2038		100		93
MetLife, Inc.
5.375% due 12/15/2012		200		205
6.400% due 12/15/2066		70,400		50,468
Metropolitan Life Global Funding I
0.879% due 03/15/2012		400		379
0.894% due 05/17/2010		23,900		23,709
5.125% due 11/09/2011		4,325		4,474
5.125% due 04/10/2013		101,100		102,949
Mizuho Financial Group Cayman Ltd.
8.375% due 01/29/2049		200		195
Monumental Global Funding II
0.659% due 09/22/2009		9,100		9,087
Monumental Global Funding Ltd.
1.009% due 06/15/2011		60,000		54,680
5.500% due 04/22/2013		52,400		50,615
Morgan Stanley
0.428% due 05/07/2010		41,745		41,131
0.550% due 04/19/2012		50,500		45,234
1.086% due 05/07/2010		58,650		57,809
1.221% due 01/15/2010		91,290		90,566
1.357% due 01/18/2011		144,000		139,567
1.399% due 01/09/2012		70,950		63,994
1.411% due 01/15/2010		21,830		21,638
1.449% due 01/09/2014		26,580		23,889
1.557% due 10/18/2016		115,000		93,175
1.611% due 10/15/2015		45,420		38,981
2.250% due 03/13/2012		365		368
3.006% due 05/14/2010		360,200		359,241
3.250% due 12/01/2011		100		104
4.250% due 05/15/2010		2,500		2,529
4.750% due 04/01/2014		6,159		5,826
5.050% due 01/21/2011		16,000		16,322
5.300% due 03/01/2013		6,529		6,621
5.375% due 10/15/2015		500		491
5.550% due 04/27/2017		2,900		2,704
5.625% due 01/09/2012		1,354		1,387
5.750% due 08/31/2012		312,375		323,076
5.750% due 10/18/2016		1,000		960
5.950% due 12/28/2017		111,800		107,454
6.000% due 05/13/2014		100		101
6.000% due 04/28/2015		116,800		116,693
6.250% due 08/28/2017		33,400		32,368
6.250% due 08/09/2026		225		210
6.600% due 04/01/2012		1,490		1,579
6.625% due 04/01/2018		13,700		13,680
6.750% due 04/15/2011		519		544
7.300% due 05/13/2019		300		312
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		22,300		19,546
Mystic Re Ltd.
10.668% due 06/07/2011		12,200		11,360
National Australia Bank Ltd.
0.688% due 09/11/2009		1,800		1,799
0.800% due 06/19/2017		75,000		62,953
0.831% due 06/29/2016		10,000		8,783
1.424% due 02/08/2010		68,700		68,699
5.350% due 06/12/2013		186,200		192,010
National City Bank
0.430% due 08/10/2009		15,000		14,966
0.704% due 06/18/2010		1,900		1,858
0.979% due 12/15/2016		8,090		5,660
0.999% due 06/07/2017		10,000		6,835

4.250% due 01/29/2010	2,200	2,212
4.500% due 03/15/2010	15,278	15,504
4.625% due 05/01/2013	8,400	8,027
6.200% due 12/15/2011	30,600	31,466
National City Bank of Kentucky
6.300% due 02/15/2011	2,225	2,253
National Rural Utilities Cooperative Finance Corp.
7.250% due 03/01/2012	140	153
10.375% due 11/01/2018	252	316
Nationwide Health Properties, Inc.
6.500% due 07/15/2011	13,000	12,815
Nationwide Life Global Funding I
1.026% due 05/19/2010	46,400	43,027
5.450% due 10/02/2012	6,900	6,765
New York Community Bank
3.000% due 12/16/2011	200	206
New York Life Global Funding
4.650% due 05/09/2013	14,600	14,827
Nordea Bank Sweden AB
8.950% due 11/29/2049	28,000	18,201
Northern Rock PLC
1.187% due 10/20/2009	5,000	4,973
5.625% due 06/22/2017	12,500	10,958
ORIX Corp.
5.480% due 11/22/2011	20,000	18,451
Osiris Capital PLC
3.981% due 01/15/2010	19,300	18,925
Pacific Life Global Funding
0.839% due 06/22/2011	17,406	15,306
5.150% due 04/15/2013	11,700	11,675
Pearson Dollar Finance PLC
5.700% due 06/01/2014	5,000	4,952
Pearson Dollar Finance Two PLC
5.500% due 05/06/2013	25,000	24,680
6.250% due 05/06/2018	28,000	26,901
Petroleum Export Ltd.
5.265% due 06/15/2011	17,552	16,917
Philip Morris Capital Corp.
7.500% due 07/16/2009	16,872	16,924
PMI Group, Inc.
6.000% due 09/15/2016	24,200	19,065
PNC Bank N.A.
1.416% due 08/05/2009	85,000	84,969
1.478% due 02/01/2010	10,000	9,868
PNC Funding Corp.
1.179% due 01/31/2012	9,000	8,294
5.125% due 12/14/2010	150	150
PNC Preferred Funding Trust I
8.700% due 03/29/2049	100	82
Premium Asset Trust
1.407% due 10/08/2009	44,950	41,806
Pricoa Global Funding I
1.139% due 01/30/2012	3,100	2,911
1.142% due 07/27/2009	3,700	3,695
1.446% due 06/04/2010	2,800	2,777
5.300% due 09/27/2013	21,000	19,517
Princeton University
4.950% due 03/01/2019	6,800	6,896
5.700% due 03/01/2039	10,000	10,049
Principal Life Income Funding Trusts
1.043% due 11/15/2010	1,000	950
5.100% due 04/15/2014	100	100
5.300% due 04/24/2013	148,700	148,535
5.550% due 04/27/2015	237,300	235,014
Progressive Corp.
6.700% due 06/15/2037	200	141
Protective Life Secured Trusts
0.481% due 11/09/2010	1,000	884
Prudential Financial, Inc.
1.570% due 06/10/2013	20,000	16,541
6.000% due 12/01/2017	40,000	37,691
6.100% due 06/15/2017	307	293
6.625% due 12/01/2037	8,200	7,117
Rabobank Nederland NV
11.000% due 12/29/2049	229,686	256,173
RBS Capital Trust I
4.709% due 12/29/2049	500	205
Regions Bank
7.500% due 05/15/2018	127,661	112,679
Regions Financial Corp.
0.774% due 06/26/2012	5,400	4,251
6.375% due 05/15/2012	125	115
Residential Reinsurance 2007 Ltd.
6.668% due 06/07/2010	12,500	11,851
7.918% due 06/07/2010	12,500	12,001
8.418% due 06/07/2010	12,500	11,925
10.918% due 06/07/2010	1,500	1,425
Residential Reinsurance 2008 Ltd.
7.418% due 06/06/2011	16,000	14,817
Resona Bank Ltd.
5.850% due 09/29/2049	37,950	28,690
Royal Bank of Canada
5.650% due 07/20/2011	125	133
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011	1,600	1,598
2.625% due 05/11/2012	41,400	41,735
5.000% due 10/01/2014	200	160
6.375% due 02/01/2011	9,110	9,155
6.990% due 10/29/2049	91,500	44,891
7.640% due 03/29/2049	130,175	52,779
7.648% due 08/29/2049	10,195	5,055
9.118% due 03/31/2049	89,000	72,546
Santander Issuances S.A. Unipersonal
5.911% due 06/20/2016	7,900	7,130
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049	214,900	159,258
Santander U.S. Debt S.A. Unipersonal
0.697% due 11/20/2009	161,000	160,001
Simon Property Group LP
4.600% due 06/15/2010	8,000	8,022
5.100% due 06/15/2015	200	183
5.250% due 12/01/2016	20,000	17,792
5.600% due 09/01/2011	5,000	5,060
5.750% due 12/01/2015	1,200	1,107
5.875% due 03/01/2017	8,000	7,356
6.100% due 05/01/2016	10,000	9,346
6.125% due 05/30/2018	2,000	1,863
SLM Corp.
0.729% due 09/15/2009	20,000	19,732
0.829% due 03/15/2011	72,620	62,322
1.232% due 07/27/2009	200,190	199,341
1.252% due 07/26/2010	31,155	28,285
1.322% due 10/25/2011	140,700	114,064
1.392% due 01/27/2014	3,390	2,359
1.766% due 01/01/2014	7,701	4,729
4.000% due 01/15/2010	6,500	6,297
4.500% due 07/26/2010	2,500	2,363
5.000% due 10/01/2013	7,600	6,155
5.125% due 08/27/2012	3,150	2,697
5.140% due 06/15/2016	100,000	69,602
5.375% due 01/15/2013	12,920	10,804
5.400% due 10/25/2011	4,270	3,843
8.450% due 06/15/2018	64,000	54,825
SLM Corp. CPI Linked Bond
1.096% due 03/15/2012	2,000	1,468
1.741% due 11/21/2013	270	179
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049	114,000	91,687
Societe Financement de l’Economie Francaise
3.375% due 05/05/2014	77,300	77,606
Sovereign Bank
8.750% due 05/30/2018	10,000	9,849
State Street Capital Trust III
8.250% due 03/15/2042	11,700	9,890
State Street Capital Trust IV
1.629% due 06/01/2077	65,500	37,989
State Street Corp.
7.650% due 06/15/2010	175	180
Suffield CLO Ltd.
2.194% due 09/26/2014	2,782	2,668
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049	100	92
Sun Life Financial Global Funding LP
0.755% due 07/06/2011	47,100	42,361
0.845% due 07/06/2010	46,191	44,840
SunTrust Bank
0.862% due 05/21/2012	9,050	8,043
6.375% due 04/01/2011	200	204
SunTrust Banks, Inc.
5.250% due 11/05/2012	1,045	1,066
Svensk ExportKredit AB
4.875% due 09/29/2011	125	132
5.125% due 03/01/2017	75	76
Swedbank AB
2.800% due 02/10/2012	1,500	1,519
TD North America LP
1.279% due 10/15/2009	16,000	15,936
TNK-BP Finance S.A.
6.125% due 03/20/2012	39,300	36,451
7.500% due 03/13/2013	50,000	46,375
Toll Road Investors Partnership II LP
0.000% due 02/15/2045	1,010	92
Toyota Motor Credit Corp.
4.250% due 03/15/2010	500	509
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012	26,000	25,228
7.700% due 08/07/2013	400	385
8.700% due 08/07/2018	74,700	72,009
Travelers Cos., Inc.
6.250% due 06/15/2037	125	130
Travelers Property Casualty Corp.
5.000% due 03/15/2013	70	71
6.375% due 03/15/2033	33	35
U.S. Bancorp
1.416% due 02/04/2010	5,740	5,743
4.500% due 07/29/2010	150	153
U.S. Bank N.A.
6.375% due 08/01/2011	3,000	3,217
UBS AG
5.750% due 04/25/2018	143,350	130,773
5.875% due 12/20/2017	183,000	170,697
UBS Paine Webber Group, Inc.
7.625% due 12/01/2009	100	102
UBS Preferred Funding Trust I
8.622% due 10/29/2049	58,900	41,957
UBS Preferred Funding Trust II
7.247% due 06/29/2049	8,000	4,758
UBS Preferred Funding Trust V
6.243% due 05/29/2049	20,000	11,814
UFJ Finance Aruba AEC
6.750% due 07/15/2013	3,700	3,836
Union Planters Corp.
7.750% due 03/01/2011	500	486
US Bancorp
0.708% due 04/27/2012	14,750	14,861
USB Capital IX
6.189% due 04/15/2049	30,800	20,798
USB Realty Corp.
6.091% due 12/29/2049	38,000	22,053
Vita Capital III Ltd.
2.308% due 01/01/2011	8,000	7,311
VTB Capital S.A.
2.716% due 11/02/2009	5,000	4,969
6.875% due 05/29/2018	15,000	13,575
Wachovia Bank N.A.
0.721% due 05/25/2010	41,900	41,688
0.726% due 12/02/2010	125,950	124,288
0.959% due 03/15/2016	200	158
1.396% due 11/03/2014	5,200	4,321
4.875% due 02/01/2015	300	287
5.600% due 03/15/2016	19,800	18,620
6.600% due 01/15/2038	10,127	9,891
7.800% due 08/18/2010	6,600	6,871
Wachovia Capital Trust I
7.640% due 01/15/2027	1,370	1,087
Wachovia Capital Trust III
5.800% due 03/29/2049	158,615	95,201
Wachovia Capital Trust V
7.965% due 06/01/2027	5,361	4,385
Wachovia Corp.
0.718% due 12/01/2009	191,320	190,988
0.749% due 03/15/2011	48,900	47,208
0.818% due 06/01/2010	36,725	36,473
0.818% due 03/01/2012	43,975	41,649
1.162% due 07/26/2010	6,525	6,466
1.218% due 08/01/2013	13,550	12,177
1.230% due 04/23/2012	47,175	44,353
1.261% due 10/15/2011	112,325	106,749
1.379% due 10/28/2015	4,400	3,464
1.501% due 10/15/2016	58,870	45,574
2.798% due 05/01/2013	25,000	24,158
4.875% due 02/15/2014	21,280	20,813
5.300% due 10/15/2011	49,245	51,350
5.500% due 05/01/2013	165,569	171,239
5.500% due 08/01/2035	85	66
5.625% due 10/15/2016	92,200	88,208
5.700% due 08/01/2013	19,650	20,502
5.750% due 06/15/2017	22,480	22,213
5.750% due 02/01/2018	412,080	405,381
Wachovia Mortgage FSB
0.669% due 09/14/2009	45,985	45,843
4.125% due 12/15/2009	100	101
Wells Fargo & Co.
0.672% due 03/23/2010	100,180	99,884
0.729% due 09/15/2009	34,930	34,955
1.239% due 01/12/2011	10,000	9,759
1.272% due 10/28/2015	24,000	20,679
1.484% due 01/29/2010	76,600	76,528
3.000% due 12/09/2011	500	517
4.375% due 01/31/2013	22,050	22,265
4.625% due 08/09/2010	25,000	25,646
5.000% due 11/15/2014	100	100
5.125% due 09/01/2012	300	308
5.250% due 10/23/2012	1,000	1,036
5.625% due 12/11/2017	2,575	2,539
Wells Fargo Bank N.A.
4.750% due 02/09/2015	36,700	34,859
6.450% due 02/01/2011	5,672	5,933
Wells Fargo Capital X
5.950% due 12/15/2036	16,700	12,393
Wells Fargo Capital XIII
7.700% due 12/29/2049	221,604	184,072
Westpac Banking Corp.
3.250% due 12/16/2011	7,600	7,777
XL Capital Finance Europe PLC
6.500% due 01/15/2012	10,000	9,319
XL Capital Ltd.
5.250% due 09/15/2014	1,600	1,345
Xstrata Finance Canada Ltd.
5.500% due 11/16/2011	11,250	11,094
5.800% due 11/15/2016	1,000	897
ZFS Finance USA Trust I
5.875% due 05/09/2062	500	363
		30,957,540
INDUSTRIALS 5.3%
Abbott Laboratories
5.875% due 05/15/2016	140	153
Aetna, Inc.
6.000% due 06/15/2016	15,000	14,842
6.500% due 09/15/2018	12,000	12,042
AIG SunAmerica Global Financing VI
6.300% due 05/10/2011	35,800	33,530
Alcoa, Inc.
5.550% due 02/01/2017	5,300	4,483
5.870% due 02/23/2022	2,000	1,574
6.000% due 07/15/2013	25,000	24,455
6.750% due 07/15/2018	38,700	34,390
Altria Group, Inc.
9.250% due 08/06/2019	8,800	9,898
9.700% due 11/10/2018	64,200	73,718
9.950% due 11/10/2038	185	214
America Movil SAB de C.V.
5.625% due 11/15/2017	25	24
America West Airlines LLC
6.870% due 01/02/2017	1,258	964
American Airlines Pass-Through Trust 2001-02
6.978% due 10/01/2012	8,898	8,498
AmerisourceBergen Corp.
5.625% due 09/15/2012	10,000	9,869
Amgen, Inc.
5.700% due 02/01/2019	28,026	29,622
5.850% due 06/01/2017	15,000	15,942
6.150% due 06/01/2018	4,500	4,900
6.375% due 06/01/2037	142	151
6.400% due 02/01/2039	30,015	31,991
6.900% due 06/01/2038	7,686	8,728
Anadarko Petroleum Corp.
6.125% due 03/15/2012	1,800	1,836
Anheuser-Busch Cos., Inc.
5.500% due 01/15/2018	9,100	8,802
Apache Corp.
7.950% due 04/15/2026	150	180
AstraZeneca PLC
5.400% due 09/15/2012	25	27
5.900% due 09/15/2017	69,200	74,223
6.450% due 09/15/2037	88,900	98,780
AutoZone, Inc.
4.750% due 11/15/2010	200	202
5.500% due 11/15/2015	10,050	9,963
5.875% due 10/15/2012	4,800	4,991
6.500% due 01/15/2014	40,000	41,542
6.950% due 06/15/2016	1,000	1,027
7.125% due 08/01/2018	27,000	28,625
Avnet, Inc.
6.625% due 09/15/2016	2,000	1,878
Avon Products, Inc.
5.125% due 01/15/2011	10,000	10,441
6.500% due 03/01/2019	28,300	31,073
Baker Hughes, Inc.
6.875% due 01/15/2029	100	105
Baxter International, Inc.
5.375% due 06/01/2018	10,000	10,490
BHP Billiton Finance USA Ltd.
4.800% due 04/15/2013	145	151
5.125% due 03/29/2012	10,000	10,512
5.250% due 12/15/2015	82	86
Black & Decker Corp.
5.750% due 11/15/2016	20,000	18,848
8.950% due 04/15/2014	40,000	43,916
Boeing Co.
8.750% due 08/15/2021	50	64
Boston Scientific Corp.
5.125% due 01/12/2017	1,000	855
5.450% due 06/15/2014	2,000	1,850
6.000% due 06/15/2011	10,000	10,025
6.400% due 06/15/2016	2,000	1,870
Brown-Forman Corp.
1.308% due 04/01/2010	14,000	13,984
Brunswick Corp.
11.750% due 08/15/2013	18,000	13,410
Burlington Northern Santa Fe Corp.
7.290% due 06/01/2036	55	60
Campbell Soup Co.
4.500% due 02/15/2019	1,200	1,182
Canadian National Railway Co.
6.250% due 08/01/2034	100	106
Canadian Natural Resources Ltd.
4.900% due 12/01/2014	90	92
5.700% due 05/15/2017	590	597
6.250% due 03/15/2038	20,000	20,008
6.500% due 02/15/2037	25,000	25,011
6.700% due 07/15/2011	12,860	13,713
Cardinal Health, Inc.
5.800% due 10/15/2016	23,000	22,295
6.000% due 06/15/2017	10,600	9,972
Cascades, Inc.
7.250% due 02/15/2013	6,750	5,923
Caterpillar, Inc.
5.700% due 08/15/2016	100	102
6.050% due 08/15/2036	100	96
7.250% due 09/15/2009	200	202
CBS Corp.
5.625% due 08/15/2012	15,000	14,805
Centex Corp.
5.700% due 05/15/2014	1,500	1,369
6.500% due 05/01/2016	6,000	5,460
CIGNA Corp.
6.350% due 03/15/2018	20,000	17,732
Cisco Systems, Inc.
5.250% due 02/22/2011	500	527
5.500% due 02/22/2016	100	106
CITIC Resources Finance 2007 Ltd.
6.750% due 05/15/2014	17,900	16,647
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009	158,770	162,938
CoBank ACB
7.875% due 04/16/2018	4,900	4,701
CODELCO, Inc.
6.150% due 10/24/2036	23,200	22,835
Colgate-Palmolive Co.
5.980% due 04/25/2012	150	163
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013	345	394
Comcast Cable Communications LLC
7.125% due 06/15/2013	400	440
Comcast Corp.
1.439% due 07/14/2009	30,410	30,419
5.300% due 01/15/2014	11,810	12,229
5.700% due 05/15/2018	60	60
5.850% due 01/15/2010	420	427
5.850% due 11/15/2015	325	337
5.900% due 03/15/2016	5,000	5,179
6.300% due 11/15/2017	250	265
6.450% due 03/15/2037	22,000	21,729
6.500% due 01/15/2017	238	253
7.050% due 03/15/2033	725	773
Commercial Metals Co.
6.500% due 07/15/2017	15,660	13,581
7.350% due 08/15/2018	13,000	11,853
Computer Sciences Corp.
5.000% due 02/15/2013	5,000	4,995
5.500% due 03/15/2013	2,000	1,992
6.500% due 03/15/2018	25,045	25,634
ConocoPhillips
5.900% due 10/15/2032	300	298
Continental Airlines, Inc.
6.503% due 12/15/2012	9,220	8,575
6.820% due 05/01/2018	4,904	3,852
7.056% due 09/15/2009	40,459	40,054
7.487% due 10/02/2010	1,215	1,154
7.707% due 10/02/2022	2,640	2,152
Con-way, Inc.
7.250% due 01/15/2018	19,000	16,130
Costco Wholesale Corp.
5.500% due 03/15/2017	100	106
Coventry Health Care, Inc.
6.125% due 01/15/2015	7,500	6,300
Cox Communications, Inc.
6.450% due 12/01/2036	5,000	4,529
CRH America, Inc.
8.125% due 07/15/2018	10,000	9,642
CSX Corp.
5.600% due 05/01/2017	21,200	20,678
6.250% due 03/15/2018	5,852	5,912
6.750% due 03/15/2011	10,000	10,502
CVS Caremark Corp.
0.968% due 06/01/2010	138,040	137,098
5.750% due 08/15/2011	16,000	16,931
6.125% due 08/15/2016	6,745	6,997
Cytec Industries, Inc.
4.600% due 07/01/2013	2,000	1,805
8.950% due 07/01/2017 (c)	7,000	6,981
Daimler Finance North America LLC
1.466% due 08/03/2009	30,140	30,049
4.875% due 06/15/2010	19,300	19,320
5.750% due 09/08/2011	56,200	57,382
5.875% due 03/15/2011	50,500	51,363
6.500% due 11/15/2013	36,000	36,643
7.200% due 09/01/2009	400	402
7.300% due 01/15/2012	8,200	8,496
7.750% due 01/18/2011	28,500	29,713
8.000% due 06/15/2010	300	310
Darden Restaurants, Inc.
6.200% due 10/15/2017	14,000	13,308
Dell, Inc.
4.700% due 04/15/2013	149,700	154,249
5.650% due 04/15/2018	77,370	78,728
6.500% due 04/15/2038	95,000	90,889
Diageo Capital PLC
5.500% due 09/30/2016	50	52
DISH DBS Corp.
6.375% due 10/01/2011	75	73
7.000% due 10/01/2013	125	119
7.125% due 02/01/2016	1,250	1,172
Dow Chemical Co.
5.700% due 05/15/2018	500	443
8.550% due 05/15/2019	110	110
DR Horton, Inc.
5.625% due 09/15/2014	3,000	2,580
5.625% due 01/15/2016	10,000	8,250
6.125% due 01/15/2014	5,000	4,500
6.500% due 04/15/2016	31,000	26,660
E.I. Du Pont De Nemours & Co.
4.125% due 04/30/2010	200	204
4.750% due 11/15/2012	175	185
5.000% due 01/15/2013	300	316
5.250% due 12/15/2016	10,000	10,426
Eastman Kodak Co.
7.250% due 11/15/2013	890	547
Eaton Corp.
1.036% due 08/10/2009	25,000	25,012
Eaton Vance Corp.
6.500% due 10/02/2017	21,100	19,996
El Paso Corp.
7.000% due 05/15/2011	7,250	7,149
7.750% due 06/15/2010	6,500	6,540
7.750% due 01/15/2032	89,490	73,240
7.800% due 08/01/2031	10,475	8,591
7.875% due 06/15/2012	9,900	9,762
8.050% due 10/15/2030	9,100	7,611
9.625% due 05/15/2012	13,050	13,209
10.750% due 10/01/2010	24,700	25,282
El Paso Natural Gas Co.
8.375% due 06/15/2032	7,220	7,883
Electronic Data Systems Corp.
7.125% due 10/15/2009	2,640	2,689
Emerson Electric Co.
4.500% due 05/01/2013	95	98
Enbridge Energy Partners LP
5.875% due 12/15/2016	50	48
Enbridge, Inc.
4.900% due 03/01/2015	50	48
EnCana Corp.
4.600% due 08/15/2009	2,700	2,709
6.300% due 11/01/2011	10,000	10,746
6.500% due 08/15/2034	100	102
Energy Transfer Partners LP
5.650% due 08/01/2012	145	148
6.700% due 07/01/2018	1,000	1,024
Enterprise Products Operating LLC
4.950% due 06/01/2010	50	51
6.500% due 01/31/2019	25,000	25,453
7.500% due 02/01/2011	13,400	14,051
Erac USA Finance Co.
5.800% due 10/15/2012	10,000	9,368
6.375% due 10/15/2017	1,900	1,718
Expedia, Inc.
8.500% due 07/01/2016	16,500	15,922
Fortune Brands, Inc.
5.375% due 01/15/2016	33,600	30,871
Foster’s Finance Corp.
4.875% due 10/01/2014	6,000	5,504
Freeport-McMoRan Copper & Gold, Inc.
4.995% due 04/01/2015	35,530	33,302
Fresenius Medical Care Capital Trust IV
7.875% due 06/15/2011	100	102
Gannett Co., Inc.
5.750% due 06/01/2011	6,200	4,783
Gaz Capital S.A.
6.212% due 11/22/2016	41,800	35,112
6.510% due 03/07/2022	100	76
7.288% due 08/16/2037	43,160	32,587
7.343% due 04/11/2013	52,900	51,313
7.510% due 07/31/2013	35,000	33,923
8.146% due 04/11/2018	186,100	170,282
8.625% due 04/28/2034	164,600	161,925
Genentech, Inc.
4.750% due 07/15/2015	100	104
General Dynamics Corp.
4.500% due 08/15/2010	100	103
General Electric Co.
5.250% due 12/06/2017	31,648	31,132
General Mills, Inc.
5.250% due 08/15/2013	15,000	15,863
6.000% due 02/15/2012	10,000	10,773
11.973% due 10/15/2010	31,750	33,985
Georgia-Pacific LLC
7.000% due 01/15/2015	3,400	3,196
7.125% due 01/15/2017	300	280
GlaxoSmithKline Capital, Inc.
1.545% due 05/13/2010	28,900	29,108
4.375% due 04/15/2014	100	103
4.850% due 05/15/2013	28,530	29,880
5.650% due 05/15/2018	100,045	106,153
Hanson Ltd.
6.125% due 08/15/2016	20,000	14,970
Hasbro, Inc.
6.300% due 09/15/2017	8,995	8,773
HCA, Inc.
8.500% due 04/15/2019	1,700	1,674
9.250% due 11/15/2016	16,355	16,151
Hess Corp.
6.650% due 08/15/2011	200	213
Hewlett-Packard Co.
0.778% due 03/01/2012	4,500	4,435
6.500% due 07/01/2012	175	193
Historic TW, Inc.
9.125% due 01/15/2013	12,125	13,363
HJ Heinz Co.
5.350% due 07/15/2013	27,500	28,789
HJ Heinz Finance Co.
6.000% due 03/15/2012	23,000	24,182
Home Depot, Inc.
0.749% due 12/16/2009	44,400	44,270
3.750% due 09/15/2009	9,300	9,324
4.625% due 08/15/2010	215	219
5.400% due 03/01/2016	3,000	2,999
Honeywell International, Inc.
5.300% due 03/01/2018	20	21
6.125% due 11/01/2011	575	628
Hospira, Inc.
1.078% due 03/30/2010	1,800	1,784
International Business Machines Corp.
1.652% due 07/28/2011	39,300	39,562
5.700% due 09/14/2017	27,958	29,731
7.625% due 10/15/2018	170	204
International Paper Co.
5.250% due 04/01/2016	1,400	1,194
7.400% due 06/15/2014	7,000	6,978
7.950% due 06/15/2018	20,000	19,325
JC Penney Corp., Inc.
8.000% due 03/01/2010	26,100	26,392
Johnson & Johnson
6.950% due 09/01/2029	100	118
Johnson Controls, Inc.
5.500% due 01/15/2016	20,000	18,574
KB Home
5.750% due 02/01/2014	10,000	8,800
5.875% due 01/15/2015	5,000	4,250
6.250% due 06/15/2015	5,000	4,300
Kellogg Co.
5.125% due 12/03/2012	300	321
6.600% due 04/01/2011	10,000	10,720
Kerr-McGee Corp.
6.875% due 09/15/2011	10,000	10,553
KeySpan Corp.
4.650% due 04/01/2013	6,900	6,812
Kimberly-Clark Corp.
1.139% due 07/30/2010	3,100	3,105
Kinder Morgan Energy Partners LP
5.000% due 12/15/2013	210	207
5.950% due 02/15/2018	29,370	28,797
6.950% due 01/15/2038	25,300	24,552
7.400% due 03/15/2031	220	215
9.000% due 02/01/2019	7,000	7,975
Kohl’s Corp.
6.250% due 12/15/2017	49,800	51,294
Kraft Foods, Inc.
1.456% due 08/11/2010	2,400	2,378
4.125% due 11/12/2009	100	101
5.625% due 11/01/2011	56,335	59,891
6.125% due 02/01/2018	150,100	155,450
6.125% due 08/23/2018	15,000	15,561
6.250% due 06/01/2012	10,000	10,787
6.500% due 08/11/2017	10	11
6.875% due 02/01/2038	67,400	71,433
Kroger Co.
5.500% due 02/01/2013	5,000	5,171
Lennar Corp.
5.500% due 09/01/2014	4,500	3,622
5.600% due 05/31/2015	4,000	3,170
5.950% due 10/17/2011	9,000	8,415
6.500% due 04/15/2016	4,000	3,220
Lexmark International, Inc.
5.900% due 06/01/2013	21,470	20,625
6.650% due 06/01/2018	13,000	11,374
Lockheed Martin Corp.
7.650% due 05/01/2016	4,600	5,402
Loews Corp.
5.250% due 03/15/2016	37,500	37,740
Lowe’s Cos., Inc.
5.000% due 10/15/2015	100	106
5.500% due 10/15/2035	50	46
Ltd. Brands, Inc.
5.250% due 11/01/2014	2,500	2,138
6.900% due 07/15/2017	74,395	64,469
Macy’s Retail Holdings, Inc.
5.350% due 03/15/2012	11,500	10,475
5.875% due 01/15/2013	5,000	4,385
5.900% due 12/01/2016	15,000	12,238
7.450% due 07/15/2017	22,500	19,613
8.875% due 07/15/2015	43,610	42,268
Marathon Oil Corp.
6.000% due 10/01/2017	40,000	40,795
Marks & Spencer PLC
6.250% due 12/01/2017	2,200	1,933
Marriott International, Inc.
4.625% due 06/15/2012	15,000	14,946
5.810% due 11/10/2015	5,000	4,386
6.375% due 06/15/2017	11,400	10,849
Martin Marietta Materials, Inc.
1.189% due 04/30/2010	1,900	1,872
Masco Corp.
5.850% due 03/15/2017	9,020	7,216
5.875% due 07/15/2012	5,000	4,706
6.125% due 10/03/2016	12,200	10,257
7.125% due 08/15/2013	10,000	8,889
Mattel, Inc.
6.125% due 06/15/2011	10,000	10,180
Maytag Corp.
5.000% due 05/15/2015	10,000	8,683
McDonald’s Corp.
5.000% due 02/01/2019	200	205
5.300% due 03/15/2017	125	131
McKesson Corp.
5.700% due 03/01/2017	11,600	11,607
7.500% due 02/15/2019	8,000	9,025
MDC Holdings, Inc.
5.375% due 12/15/2014	12,000	11,294
7.000% due 12/01/2012	10,000	10,076
Medtronic, Inc.
4.375% due 09/15/2010	100	102
Miller Brewing Co.
5.500% due 08/15/2013	38,300	37,917
Motorola, Inc.
5.375% due 11/15/2012	7,500	7,034
8.000% due 11/01/2011	5,000	5,037
Nabors Industries, Inc.
6.150% due 02/15/2018	60,200	57,884
Newell Rubbermaid, Inc.
4.000% due 05/01/2010	6,786	6,809
6.250% due 04/15/2018	19,000	15,933
10.600% due 04/15/2019	12,000	13,822
Nordstrom, Inc.
6.250% due 01/15/2018	54,725	53,856
Norfolk Southern Corp.
6.750% due 02/15/2011	150	158
Northrop Grumman Space & Mission Systems Corp.
6.250% due 01/15/2010	5,000	5,112
Northwest Airlines, Inc.
7.150% due 04/01/2021	633	516
Northwest Pipeline GP
7.000% due 06/15/2016	113	119
Novartis Capital Corp.
4.125% due 02/10/2014	69	71
Novartis Securities Investment Ltd.
5.125% due 02/10/2019	71	73
NSTAR
8.000% due 02/15/2010	100	104
Nucor Corp.
5.850% due 06/01/2018	13,000	13,506
6.400% due 12/01/2037	600	618
Office Depot, Inc.
6.250% due 08/15/2013	8,000	6,480
Olin Corp.
6.750% due 06/15/2016	15,000	14,670
Omnicom Group, Inc.
5.900% due 04/15/2016	9,600	9,630
ONEOK Partners LP
6.150% due 10/01/2016	10,000	9,914
6.850% due 10/15/2037	31,800	30,290
Oracle Corp.
4.950% due 04/15/2013	15,030	15,758
5.000% due 01/15/2011	200	210
5.750% due 04/15/2018	15,935	16,838
6.500% due 04/15/2038	10,300	10,993
Packaging Corp. of America
5.750% due 08/01/2013	10,000	9,623
Pactiv Corp.
6.400% due 01/15/2018	6,745	6,093
PC Financial Partnership
5.000% due 11/15/2014	10,000	9,965
Peabody Energy Corp.
7.875% due 11/01/2026	21,095	18,300
Pemex Project Funding Master Trust
1.929% due 06/15/2010	5,900	5,819
9.125% due 10/13/2010	25	27
Pepsi Bottling Group, Inc.
7.000% due 03/01/2029	100	117
PepsiCo, Inc.
7.900% due 11/01/2018	700	853
Petronas Capital Ltd.
7.875% due 05/22/2022	160	194
Pfizer, Inc.
4.650% due 03/01/2018	150	143
Pharmacia Corp.
6.750% due 12/15/2027	5,000	5,274
Philip Morris International, Inc.
4.875% due 05/16/2013	62,800	65,983
5.650% due 05/16/2018	26,700	28,036
6.375% due 05/16/2038	34,800	37,101
Pitney Bowes, Inc.
4.750% due 01/15/2016	15,000	14,652
Plains All American Pipeline LP
5.625% due 12/15/2013	10,000	9,922
6.125% due 01/15/2017	25	24
PPG Industries, Inc.
6.650% due 03/15/2018	23,500	25,025
Praxair, Inc.
6.375% due 04/01/2012	200	221
President and Fellows of Harvard College
6.000% due 01/15/2019	54,800	59,889
6.500% due 01/15/2039	39,900	45,277
Procter & Gamble Co.
6.875% due 09/15/2009	100	101
Pulte Homes, Inc.
7.625% due 10/15/2017	2,500	2,250
Quest Diagnostics, Inc.
5.450% due 11/01/2015	1,900	1,845
RadioShack Corp.
7.375% due 05/15/2011	45,151	45,941
Reed Elsevier Capital, Inc.
4.625% due 06/15/2012	5,000	4,838
Rexam PLC
6.750% due 06/01/2013	16,500	16,003
Reynolds American, Inc.
1.329% due 06/15/2011	64,400	60,266
6.750% due 06/15/2017	10,400	9,725
7.250% due 06/01/2012	34,540	34,678
7.250% due 06/01/2013	94,600	97,397
7.250% due 06/15/2037	600	496
7.625% due 06/01/2016	3,000	3,013
7.750% due 06/01/2018	7,100	6,846
Rio Tinto Alcan, Inc.
5.000% due 06/01/2015	7,836	7,039
Roche Holdings, Inc.
2.661% due 02/25/2011	313,000	316,621
6.000% due 03/01/2019	4,868	5,200
7.000% due 03/01/2039	306,873	356,491
Rockies Express Pipeline LLC
4.500% due 08/20/2009	3,800	3,801
Rogers Communications, Inc.
6.800% due 08/15/2018	100	107
Rohm & Haas Co.
6.000% due 09/15/2017	138,590	124,102
Royal Caribbean Cruises Ltd.
8.000% due 05/15/2010	1,000	1,005
RPM International, Inc.
6.500% due 02/15/2018	26,800	24,369
RR Donnelley & Sons Co.
5.625% due 01/15/2012	26,986	26,086
6.125% due 01/15/2017	10,000	8,809
11.250% due 02/01/2019 (l)	25,600	27,141
Ryder System, Inc.
5.850% due 11/01/2016	25,000	22,752
5.950% due 05/02/2011	5,000	4,991
6.000% due 03/01/2013	18,690	18,629
7.200% due 09/01/2015	28,000	28,109
Ryland Group, Inc.
5.375% due 01/15/2015	9,000	7,830
8.400% due 05/15/2017	3,000	2,895
SABMiller PLC
1.508% due 07/01/2009	30,000	30,000
6.500% due 07/01/2016	1,900	1,898
SCA Finans AB
4.500% due 07/15/2015	5,250	4,676
Seagate Technology HDD Holdings
6.375% due 10/01/2011	11,100	10,670
Sealed Air Corp.
5.625% due 07/15/2013	9,250	8,375
Siemens Financieringsmaatschappij NV
0.956% due 08/14/2009	96,900	96,816
5.500% due 02/16/2012	700	746
5.750% due 10/17/2016	21,100	21,926
6.125% due 08/17/2026	10,800	11,005
Sonat, Inc.
7.625% due 07/15/2011	25,100	24,723
Southern Co.
1.485% due 08/20/2010	120,000	120,037
Southwest Airlines Co.
5.125% due 03/01/2017	3,200	2,754
Spectra Energy Capital LLC
5.500% due 03/01/2014	23,850	24,008
6.200% due 04/15/2018	8,400	8,263
Staples, Inc.
9.750% due 01/15/2014	18,000	20,131
Suncor Energy, Inc.
6.100% due 06/01/2018	1,900	1,913
6.850% due 06/01/2039	400	394
Systems 2001 Asset Trust LLC
7.156% due 12/15/2011	12,241	12,260
Target Corp.
5.125% due 01/15/2013	700	742
5.375% due 05/01/2017	40	41
5.875% due 03/01/2012	175	189
6.000% due 01/15/2018	200	212
6.500% due 10/15/2037	3,700	3,750
7.000% due 01/15/2038	152,500	162,853
Tate & Lyle International Finance PLC
5.000% due 11/15/2014	12,000	10,781
Temple-Inland, Inc.
6.875% due 01/15/2018	7,430	6,668
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028	14,800	14,166
Time Warner Cable, Inc.
5.400% due 07/02/2012	2,600	2,690
6.750% due 07/01/2018	155	162
Time Warner, Inc.
1.150% due 11/13/2009	192,978	192,535
5.500% due 11/15/2011	1,400	1,447
5.875% due 11/15/2016	2,000	1,974
6.500% due 11/15/2036	20,000	17,549
6.875% due 05/01/2012	350	375
7.625% due 04/15/2031	120	117
Toll Brothers Finance Corp.
5.950% due 09/15/2013	10,000	9,400
TransCanada Pipelines Ltd.
6.500% due 08/15/2018	75	82
7.125% due 01/15/2019	35,124	39,706
7.250% due 08/15/2038	110	125
7.625% due 01/15/2039	39,682	46,414
Transocean, Inc.
6.000% due 03/15/2018	3,000	3,124
6.625% due 04/15/2011	5,330	5,683
Tyco Electronics Group S.A.
6.000% due 10/01/2012	6,700	6,586
6.550% due 10/01/2017	7,500	6,819
Tyson Foods, Inc.
7.850% due 04/01/2016	18,908	18,328
8.250% due 10/01/2011	25,000	25,751
10.500% due 03/01/2014	3,500	3,815
UAL 1991 Equipment Trust AB
10.850% due 02/19/2015 (a)	2,380	738
Unilever Capital Corp.
7.125% due 11/01/2010	100	107
Union Pacific Corp.
5.450% due 01/31/2013	13,475	13,985
5.700% due 08/15/2018	1,700	1,706
6.125% due 02/15/2020	40,000	41,557
Union Pacific Railroad Co. 2003 Pass-Through Trust
4.698% due 01/02/2024	139	130
United Airlines, Inc.
6.071% due 03/01/2013	142	140
6.201% due 03/29/2049	307	304
6.602% due 03/01/2015	197	194
7.730% due 07/01/2010	9,936	9,738
8.030% due 01/01/2013 (a)	465	461
9.060% due 06/17/2015 (a)	3,558	22
9.200% due 03/29/2049 (a)	2,552	830
9.210% due 01/21/2017 (a)	8,959	69
10.020% due 03/22/2014 (a)	8,806	2,994
10.125% due 03/22/2015 (a)	10,851	4,937
10.360% due 11/13/2012 (a)	3,752	22
10.850% due 07/05/2014 (a)	34,086	46
11.080% due 05/27/2024 (a)(q)	5,249	7
United Rentals North America, Inc.
6.500% due 02/15/2012	10,000	9,750
United Technologies Corp.
5.375% due 12/15/2017	20	21
6.100% due 05/15/2012	150	162
UnitedHealth Group, Inc.
2.286% due 02/07/2011	20,700	20,524
4.875% due 02/15/2013	44,500	45,032
4.875% due 04/01/2013	175	176
6.000% due 02/15/2018	100,000	96,131
6.875% due 02/15/2038	5,350	4,961
Universal Health Services, Inc.
7.125% due 06/30/2016	17,575	17,661
UST, Inc.
5.750% due 03/01/2018	48,665	44,481
USX Corp.
9.375% due 02/15/2012	2,000	2,174
Vale Overseas Ltd.
6.250% due 01/23/2017	39,830	40,354
6.875% due 11/21/2036	39,878	38,028
Valero Energy Corp.
6.625% due 06/15/2037	25	21
9.375% due 03/15/2019	15,000	17,113
Viacom, Inc.
5.750% due 04/30/2011	15,200	15,570
6.250% due 04/30/2016	9,300	9,174
Vivendi
5.750% due 04/04/2013	145,000	146,076
6.625% due 04/04/2018	167,700	169,082
Walgreen Co.
5.250% due 01/15/2019	20	21
Wal-Mart Stores, Inc.
4.250% due 04/15/2013	3,300	3,433
4.550% due 05/01/2013	100	105
5.250% due 09/01/2035	60	57
5.800% due 02/15/2018	48,900	53,360
6.200% due 04/15/2038	21,800	23,476
6.500% due 08/15/2037	38,450	43,053
Walt Disney Co.
0.750% due 09/10/2009	44,490	44,511
1.192% due 07/16/2010	5,200	5,208
Waste Management, Inc.
5.000% due 03/15/2014	7,650	7,485
6.100% due 03/15/2018	1,800	1,777
7.125% due 12/15/2017	1,800	1,798
7.375% due 08/01/2010	100	104
7.375% due 03/11/2019	12,000	12,882
WEA Finance LLC
5.700% due 10/01/2016	2,300	1,994
Weatherford International, Inc.
5.950% due 06/15/2012	15,600	16,303
WellPoint Health Networks, Inc.
6.375% due 01/15/2012	10,360	10,798
WellPoint, Inc.
5.000% due 01/15/2011	11,000	11,282
Wesfarmers Ltd.
6.998% due 04/10/2013	48,200	50,743
Weyerhaeuser Co.
1.610% due 09/24/2009	1,700	1,678
6.750% due 03/15/2012	7,500	7,508
Whirlpool Corp.
5.500% due 03/01/2013	10,300	9,792
6.125% due 06/15/2011	12,000	11,756
6.500% due 06/15/2016	5,000	4,727
7.750% due 07/15/2016	11,000	10,787
8.600% due 05/01/2014	14,000	14,644
Williams Cos., Inc.
6.375% due 10/01/2010	14,750	14,753
8.125% due 03/15/2012	10,000	10,372
8.750% due 01/15/2020	10,000	10,443
Wyeth
5.500% due 03/15/2013	10,000	10,704
5.500% due 02/01/2014	25	27
5.500% due 02/15/2016	850	891
5.950% due 04/01/2037	250	259
Wynn Las Vegas LLC
6.625% due 12/01/2014	10,000	8,850
Xerox Corp.
1.363% due 12/18/2009	1,200	1,188
XTO Energy, Inc.
5.500% due 06/15/2018	115	115
Yum! Brands, Inc.
6.250% due 03/15/2018	2,000	2,061
		8,576,617
UTILITIES 2.3%
Alabama Power Co.
0.851% due 08/25/2009	17,000	17,007
5.500% due 10/15/2017	250	264
Alltel Corp.
7.000% due 07/01/2012	10,759	11,631
American Electric Power Co., Inc.
5.250% due 06/01/2015	8,300	8,156
Appalachian Power Co.
4.950% due 02/01/2015	25	24
5.650% due 08/15/2012	150	158
AT&T Corp.
7.300% due 11/15/2011	2,715	2,979
AT&T, Inc.
1.116% due 02/05/2010	113,570	113,666
4.125% due 09/15/2009	3,950	3,970
4.950% due 01/15/2013	176,990	184,267
5.100% due 09/15/2014	1,510	1,571
5.500% due 02/01/2018	203,300	203,318
5.625% due 06/15/2016	25	26
5.800% due 02/15/2019	146	148
6.300% due 01/15/2038	122,140	118,278
6.400% due 05/15/2038	75	74
6.450% due 06/15/2034	100	99
6.500% due 09/01/2037	309,500	307,645
6.550% due 02/15/2039	50	50
6.700% due 11/15/2013	100	110
AT&T Mobility LLC
6.500% due 12/15/2011	80	86
Baltimore Gas & Electric Co.
6.125% due 07/01/2013	30	31
BellSouth Corp.
4.200% due 09/15/2009	5,000	5,027
4.950% due 04/26/2021	428,850	438,233
5.200% due 09/15/2014	27,800	28,984
6.550% due 06/15/2034	20,000	19,647
British Telecommunications PLC
5.150% due 01/15/2013	450	449
9.125% due 12/15/2010	510	542
9.625% due 12/15/2030	250	278
Cable & Wireless Optus Finance Pty Ltd.
8.000% due 06/22/2010	14,265	14,726
CenturyTel, Inc.
6.000% due 04/01/2017	6,000	5,423
Cleveland Electric Illuminating Co.
5.700% due 04/01/2017	9,000	8,781
CMS Energy Corp.
7.750% due 08/01/2010	110	115
Consolidated Edison Co. of New York, Inc.
5.375% due 12/15/2015	100	104
5.850% due 04/01/2018	105,540	111,070
6.750% due 04/01/2038	90,000	101,249
7.500% due 09/01/2010	20,000	21,202
Consolidated Natural Gas Co.
6.250% due 11/01/2011	10,000	10,679
Constellation Energy Group, Inc.
4.550% due 06/15/2015	9,000	7,814
6.125% due 09/01/2009	7,000	7,031
Deutsche Telekom International Finance BV
6.750% due 08/20/2018	32,190	34,217
8.500% due 06/15/2010	770	810
Dominion Resources, Inc.
1.664% due 06/17/2010	7,600	7,565
5.200% due 01/15/2016	15,300	15,301
5.250% due 08/01/2033	70	69
5.600% due 11/15/2016	3,000	3,073
5.700% due 09/17/2012	100	106
6.400% due 06/15/2018	22,000	23,259
7.000% due 06/15/2038	25	27
Duke Energy Carolinas LLC
5.100% due 04/15/2018	12,000	12,430
5.625% due 11/30/2012	100	107
5.750% due 11/15/2013	290	312
6.050% due 04/15/2038	20,000	21,229
Duke Energy Corp.
6.300% due 02/01/2014	267	289
Duke Energy Ohio, Inc.
5.700% due 09/15/2012	135	137
EDF S.A.
5.500% due 01/26/2014	168,600	181,761
6.500% due 01/26/2019	167,790	184,073
6.950% due 01/26/2039	164,850	185,697
Embarq Corp.
6.738% due 06/01/2013	300	303
7.082% due 06/01/2016	33,169	32,433
Enel Finance International S.A.
5.700% due 01/15/2013	300	314
6.800% due 09/15/2037	1,700	1,768
Energy Future Holdings Corp.
10.875% due 11/01/2017	200	147
Entergy Gulf States, Inc.
1.068% due 12/01/2009	15,000	14,921
5.250% due 08/01/2015	400	382
5.700% due 06/01/2015	50	49
Exelon Corp.
4.900% due 06/15/2015	22,800	21,264
6.750% due 05/01/2011	200	209
Exelon Generation Co. LLC
6.200% due 10/01/2017	8,000	7,975
FirstEnergy Corp.
6.450% due 11/15/2011	12,300	12,847
Florida Power & Light Co.
5.850% due 02/01/2033	2,000	2,106
Florida Power Corp.
5.650% due 06/15/2018	70	75
FPL Group Capital, Inc.
1.494% due 06/17/2011	15,000	15,163
7.875% due 12/15/2015	8,000	9,496
France Telecom S.A.
7.750% due 03/01/2011	1,105	1,196
8.500% due 03/01/2031	90	116
GTE Corp.
6.940% due 04/15/2028	50	50
Indiana Michigan Power Co.
5.650% due 12/01/2015	425	421
Jersey Central Power & Light Co.
7.350% due 02/01/2019	52	57
KT Corp.
4.875% due 07/15/2015	100	91
MidAmerican Energy Co.
4.650% due 10/01/2014	100	104
MidAmerican Energy Holdings Co.
5.750% due 04/01/2018	65	68
6.125% due 04/01/2036	44,325	43,911
Midwest Generation LLC
8.300% due 07/02/2009	183	182
National Grid PLC
6.300% due 08/01/2016	4,500	4,629
Nevada Power Co.
6.750% due 07/01/2037	500	516
7.125% due 03/15/2019	165	177

New Cingular Wireless Services, Inc.
7.875% due 03/01/2011	59,100	63,770
8.125% due 05/01/2012	476	533
8.750% due 03/01/2031	600	733
NGPL PipeCo. LLC
6.514% due 12/15/2012	175,030	183,651
7.119% due 12/15/2017	34,715	36,442
7.768% due 12/15/2037	5,800	6,349
NiSource Finance Corp.
1.231% due 11/23/2009	39,635	39,324
6.150% due 03/01/2013	12,000	11,941
Northern States Power Co.
4.750% due 08/01/2010	150	153
NV Energy, Inc.
6.750% due 08/15/2017	10	9
Ohio Edison Co.
5.450% due 05/01/2015	350	345
Oncor Electric Delivery Co.
6.800% due 09/01/2018	109	117
Pacific Gas & Electric Co.
1.598% due 06/10/2010	53,000	53,277
5.800% due 03/01/2037	525	529
8.250% due 10/15/2018	470	574
Pacificorp
5.500% due 01/15/2019	75	79
Peco Energy Co.
5.950% due 10/01/2036	50	51
Pepco Holdings, Inc.
1.292% due 06/01/2010	7,000	6,866
PPL Energy Supply LLC
5.700% due 10/15/2015	5,000	5,053
6.300% due 07/15/2013	10,000	10,496
6.400% due 11/01/2011	11,000	11,594
Progress Energy, Inc.
1.581% due 01/15/2010	3,500	3,490
7.050% due 03/15/2019	17,500	19,448
7.100% due 03/01/2011	23	24
7.750% due 03/01/2031	520	612
PSEG Energy Holdings LLC
8.500% due 06/15/2011	550	558
PSEG Power LLC
5.000% due 04/01/2014	10,425	10,523
5.500% due 12/01/2015	8,000	7,958
6.950% due 06/01/2012	172	185
Public Service Electric & Gas Co.
1.514% due 03/12/2010	10,400	10,388
5.700% due 12/01/2036	50	51
Qwest Capital Funding, Inc.
7.250% due 02/15/2011	17,800	17,355
Qwest Corp.
3.879% due 06/15/2013	11,420	10,264
7.200% due 11/10/2026	2,150	1,634
7.500% due 06/15/2023	7,100	5,680
7.625% due 06/15/2015	2,450	2,315
7.875% due 09/01/2011	4,235	4,256
8.875% due 03/15/2012	27,175	27,515
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009	6	6
Ras Laffan Liquefied Natural Gas Co. Ltd. II
5.298% due 09/30/2020	57,850	53,017
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027	40,650	34,149
Sempra Energy
7.950% due 03/01/2010	7,135	7,393
9.800% due 02/15/2019	15,000	18,197
Southern California Edison Co.
5.500% due 08/15/2018	25	27
Southern California Gas Co.
5.750% due 11/15/2035	75	76
Sprint Capital Corp.
6.900% due 05/01/2019	2,700	2,248
8.375% due 03/15/2012	16,750	16,582
Sprint Nextel Corp.
6.000% due 12/01/2016	4,500	3,701
Telecom Italia Capital S.A.
1.508% due 02/01/2011	3,270	3,143
1.717% due 07/18/2011	4,250	4,064
4.875% due 10/01/2010	112	113
6.000% due 09/30/2034	122	103
6.999% due 06/04/2018	15,030	15,228
Telefonica Emisiones SAU
5.855% due 02/04/2013	114	120
6.221% due 07/03/2017	200	212
6.421% due 06/20/2016	196	210
Telefonica Europe BV
7.750% due 09/15/2010	2,000	2,111
Tenaska Alabama Partners LP
7.000% due 06/30/2021	88	76
Verizon Communications, Inc.
5.250% due 04/15/2013	58,415	61,375
5.500% due 04/01/2017	1,485	1,490
5.850% due 09/15/2035	115	107
6.100% due 04/15/2018	55,115	56,623
6.900% due 04/15/2038	14,955	15,635
7.350% due 04/01/2039	155	169
8.950% due 03/01/2039	688	871
Verizon Global Funding Corp.
6.875% due 06/15/2012	150	165
7.250% due 12/01/2010	1,010	1,076
7.375% due 09/01/2012	235	263
7.750% due 12/01/2030	415	464
Verizon New England, Inc.
6.500% due 09/15/2011	300	320
Verizon New Jersey, Inc.
5.875% due 01/17/2012	370	388
Verizon North Pass-Through Trust
5.604% due 01/01/2022	3,000	2,626
5.634% due 01/01/2021	3,000	2,576
Verizon Virginia, Inc.
4.625% due 03/15/2013	500	502
Verizon Wireless Capital LLC
3.316% due 05/20/2011	62,800	64,668
5.250% due 02/01/2012	26,900	28,393
5.550% due 02/01/2014	1,262	1,342
8.500% due 11/15/2018	340	407
Virginia Electric and Power Co.
5.400% due 04/30/2018	7,230	7,513
6.350% due 11/30/2037	25,500	27,454
8.875% due 11/15/2038	65	87
Vodafone Group PLC
0.940% due 02/27/2012	40,000	38,253
5.450% due 06/10/2019	130	128
5.625% due 02/27/2017	153	156
5.750% due 03/15/2016	545	560
6.150% due 02/27/2037	105	104
7.750% due 02/15/2010	140	145
		3,625,122
Total Corporate Bonds & Notes (Cost $44,815,285)		43,159,279
MUNICIPAL BONDS & NOTES 2.7%
Alameda County, California Unified School District General Obligation Bonds, (FSA Insured), Series 2004
0.000% due 08/01/2024	3,500	1,589
0.000% due 08/01/2025	3,000	1,262
Alameda, California Corridor Transportation Authority Revenue Bonds, (AMBAC Insured), Series 2004
0.000% due 10/01/2016	9,610	6,441
Alameda, California Corridor Transportation Authority Revenue Bonds, (MBIA Insured), Series 1999
6.600% due 10/01/2029	120	114
Albany, New York Industrial Development Agency Revenue Bonds, Series 1999
5.300% due 04/01/2029	3,265	2,314
Allegheny County, Pennsylvania Hospital Development Authority Revenue Bonds, Series 2000
9.250% due 11/15/2022	1,000	1,133
9.250% due 11/15/2030	15,830	17,928
Allegheny County, Pennsylvania Hospital Development Authority Revenue Bonds, Series 2007
5.000% due 11/15/2028	1,000	634
5.375% due 11/15/2040	50,800	30,394
Alpine, California Union School District General Obligation Bonds, (FSA Insured), Series 1999
0.000% due 08/01/2024	1,000	403
Anderson, Indiana Economic Development Revenue Bonds, Series 2007
5.000% due 10/01/2032	500	341
Apple Valley, California Certificates of Participation Bonds, (CM Insured), Series 2001
5.375% due 06/01/2021	1,650	1,712
Arizona State Health Facilities Authority Revenue Bonds, Series 2007
5.200% due 10/01/2037	6,500	3,992
Arizona State JPMorgan Chase Putters/Drivers Trust Revenue Bonds, Series 2008
14.248% due 01/01/2032	4,815	5,280
19.373% due 01/01/2031	3,700	4,758
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2005
5.000% due 01/01/2035	5,000	5,030
8.530% due 01/01/2032	500	464
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2006
5.000% due 01/01/2037	2,700	2,688
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2009
5.000% due 01/01/2039	16,300	16,200
Arkansas State Development Finance Authority Revenue Bonds, (AMBAC Insured), Series 2006
0.000% due 07/01/2046	7,000	879
Aurora, Colorado Single Tree Metropolitan District General Obligation Bonds, Series 2006
5.500% due 11/15/2031	1,000	675
Austin Trust Various States Certificates of Participation Bonds, (FSA Insured), Series 2007
8.739% due 02/01/2037	25,000	23,614
Austin Trust Various States Certificates of Participation Bonds, (FSA Insured), Series 2008
12.838% due 05/01/2026	4,880	5,627
Austin Trust Various States General Obligation Bonds, (FSA Insured), Series 2008
7.985% due 07/01/2024	24,350	21,703
8.445% due 08/15/2033	6,425	5,635
12.936% due 08/01/2031	7,735	6,864
Austin Trust Various States General Obligation Bonds, (MBIA Insured), Series 2008
8.235% due 01/01/2028	20,600	16,307
Austin Trust Various States General Obligation Bonds, Series 2008
8.573% due 06/01/2034	19,835	18,429
8.846% due 06/01/2032	14,375	13,051
Austin Trust Various States Revenue Bonds, (AMBAC Insured), Series 2007
8.139% due 06/01/2037	5,000	5,000
Austin Trust Various States Revenue Bonds, Series 2007
8.732% due 10/01/2037	5,000	4,218
9.137% due 06/15/2038	69,000	67,332
Austin Trust Various States Revenue Bonds, Series 2008
8.845% due 08/15/2030	6,595	6,637
9.399% due 06/15/2037	14,850	14,323
12.978% due 11/01/2027	5,000	5,075
13.738% due 11/01/2027	5,000	5,586
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 05/15/2035	5,860	5,809
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (FSA Insured), Series 2006
5.000% due 11/15/2034	7,140	7,099
Badger, Wisconsin Tobacco Asset Securitization Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2017	2,500	2,769
6.375% due 06/01/2032	7,300	8,161
Bastrop, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
8.976% due 02/15/2037	6,115	6,210
Birdville, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2007
0.000% due 02/15/2024	1,250	620
Blount County, Tennessee Health & Educational Facilities Board Revenue Bonds, Series 2007
5.125% due 04/01/2023	1,325	979
Branson, Missouri Regional Airport Transportation Development District Revenue Bonds, Series 2007
6.000% due 07/01/2037	3,350	2,252
Burbank, California Public Financing Authority Revenue Tax Allocation Bonds, Series 2003
5.500% due 12/01/2028	1,135	922
5.500% due 12/01/2033	1,000	784
California State ABC Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2000
0.000% due 08/01/2023	2,000	932
California State Association of Bay Area Governments Finance Authority for Non-Profit Corp. Revenue Bonds, (CM Insured), Series 2003
5.350% due 11/15/2032	26,000	23,969
California State Bay Area Toll Authority Revenue Bonds, Series 2008
5.000% due 04/01/2034	11,300	10,701
California State Ceres Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 08/01/2027	2,300	802
0.000% due 08/01/2028	2,825	915
0.000% due 08/01/2029	2,940	885
California State Chino Valley Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2006
0.000% due 08/01/2023	300	124
California State Covina-Valley Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2003
0.000% due 06/01/2025	3,130	1,269
California State Eastern Municipal Water District Certificates of Participation Bonds, Series 2008
5.000% due 07/01/2033	3,450	3,279
California State Educational Facilities Authority Revenue Bonds, (MBIA Insured), Series 2001
0.000% due 10/01/2034	5,930	1,192
California State Educational Facilities Authority Revenue Bonds, Series 2006
5.000% due 01/01/2036	2,000	1,317
California State Educational Facilities Authority Revenue Bonds, Series 2007
4.750% due 10/01/2037	2,000	1,844
California State Educational Facilities Authority Revenue Bonds, Series 2009
5.000% due 10/01/2039	1,800	1,783
California State Educational Facilities Authority Revenue Notes, Series 2008
8.707% due 10/01/2015	12,750	10,755
California State General Obligation Bonds, (AMBAC Insured), Series 2007
4.500% due 08/01/2028	105,990	84,761
California State General Obligation Bonds, Series 2006
5.000% due 09/01/2031	2,500	2,170
California State General Obligation Bonds, Series 2007
5.000% due 06/01/2032	6,800	5,859
5.000% due 11/01/2032	58,130	50,035
5.000% due 06/01/2037	17,450	14,668
5.000% due 11/01/2037	115,560	97,062
5.000% due 12/01/2037	4,600	3,863
California State General Obligation Bonds, Series 2008
5.000% due 04/01/2038	10,000	8,381
California State General Obligation Bonds, Series 2009
5.650% due 04/01/2039	69,600	68,515
7.500% due 04/01/2034	74,800	68,467
7.550% due 04/01/2039	76,500	69,722
California State Health Facilities Financing Authority Revenue Bonds, (CM Insured), Series 2002
5.125% due 01/01/2022	5,500	5,296
5.250% due 01/01/2026	3,875	3,647
California State Health Facilities Financing Authority Revenue Bonds, Series 2003
5.000% due 03/01/2033	4,000	3,282
California State JPMorgan Chase Putters/Drivers Trust Revenue Notes, Series 2008
13.759% due 07/01/2012	3,335	3,207
California State Las Virgenes Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 09/01/2026	6,140	2,449
California State Lee Lake Water District Community Facilities District No. 2 Special Tax Bonds, Series 2002
6.125% due 09/01/2032	825	679
California State Municipal Finance Authority Revenue Bonds, Series 2008
7.000% due 10/01/2039	500	406
California State Public Works Board Revenue Bonds, Series 2003
5.375% due 04/01/2028	1,105	982
California State Saugus-Hart School Facilities Financing Authority Special Tax Bonds, Series 2002
6.100% due 09/01/2032	1,140	934
6.125% due 09/01/2033	2,155	1,767
California State Southern Mono Health Care District General Obligation Bonds, (MBIA Insured), Series 2002
0.000% due 08/01/2026	1,800	551
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023	2,915	2,671
5.750% due 06/01/2029	3,000	2,296
6.000% due 06/01/2035	10,000	7,277
6.125% due 06/01/2038	2,000	1,411
6.125% due 06/01/2043	2,000	1,313
California State Tobacco Securitization Agency Revenue Bonds, Series 2006
0.000% due 06/01/2028 (f)	15,000	8,900
0.000% due 06/01/2033	10,625	1,090
California State Tobacco Securitization Authority Revenue Bonds, Series 2005
5.400% due 06/01/2027	10,000	7,866
California State University Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2030	5,100	4,776
California State University Revenue Bonds, Series 2009
5.250% due 11/01/2038	5,000	4,681
California State William S. Hart Joint School Financing Authority Revenue Bonds, Series 2004
5.625% due 09/01/2034	2,000	1,738
California Statewide Communities Development Authority Certificates of Participation Bonds, Series 1999
6.100% due 11/01/2015 (q)	1,170	1,146
California Statewide Communities Development Authority Revenue Bonds, (FHA Insured), Series 2009
6.250% due 08/01/2024	10,000	10,669
California Statewide Communities Development Authority Revenue Bonds, Series 2000
6.750% due 10/01/2030	3,000	2,565
California Statewide Communities Development Authority Revenue Bonds, Series 2001
6.625% due 11/01/2031	4,085	3,203
California Statewide Communities Development Authority Revenue Bonds, Series 2003
7.250% due 10/01/2033	2,500	2,163
California Statewide Communities Development Authority Revenue Bonds, Series 2007
5.125% due 07/15/2031	2,500	1,653
5.250% due 07/01/2042	1,250	759
5.500% due 07/01/2037	975	675
5.500% due 11/01/2038	2,750	1,728
California Statewide Financing Authority Revenue Bonds, Series 2002
6.000% due 05/01/2037	20,000	14,213
Capistrano, California Unified School District Special Tax Bonds, Series 1999
5.700% due 09/01/2020	1,085	1,115
Capistrano, California Unified School District Special Tax Bonds, Series 2002
6.000% due 09/01/2032	2,000	2,347
Carlsbad, California Special Assessment Bonds, Series 2004
6.000% due 09/02/2034	1,000	765
Chicago, Illinois Board of Education General Obligation Bonds, (MBIA-FGIC Insured), Series 1998
0.000% due 12/01/2031	4,500	1,061
Chicago, Illinois Board of Education General Obligation Bonds, (MBIA-FGIC Insured), Series 1999
0.000% due 12/01/2016	15,535	11,207
0.000% due 12/01/2028	26,000	7,877
Chicago, Illinois General Obligation Bonds, (MBIA-FGIC Insured), Series 1999
0.000% due 01/01/2037	32,670	6,823
0.000% due 01/01/2038	29,145	5,718
0.000% due 01/01/2039	32,670	6,019
Chicago, Illinois General Obligation Bonds, Series 2008
5.250% due 01/01/2033	21,500	20,934
9.560% due 01/01/2033	5,500	5,210
Chicago, Illinois General Obligation Bonds, Series 2009
5.000% due 01/01/2034	24,535	23,728
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
8.514% due 01/01/2014	24,175	20,809
Chicago, Illinois O’Hare International Airport Revenue Bonds, (MBIA-FGIC Insured), Series 2005
5.000% due 01/01/2033	42,500	40,798
Chicago, Illinois Special Assessment Bonds, Series 2003
6.625% due 12/01/2022	1,600	1,303
6.750% due 12/01/2032	3,456	2,637
Chicago, Illinois Tax Allocation Notes, Series 2004
6.570% due 02/15/2013	2,550	2,453
Chicago, Illinois Transit Authority Revenue Bonds, Series 2008
6.300% due 12/01/2021	43,020	44,535
6.899% due 12/01/2040	393,040	420,580
Chula Vista, California Community Facilities District Special Tax Bonds, Series 2002
6.150% due 09/01/2026	2,500	2,334
6.200% due 09/01/2033	6,000	5,399
Chula Vista, California Community Facilities District Special Tax Bonds, Series 2003
5.750% due 09/01/2033	1,600	1,224
Chula Vista, California Community Facilities District Special Tax Bonds, Series 2005
5.250% due 09/01/2030	1,980	1,235
Chula Vista, California Community Facilities District Special Tax Bonds, Series 2006
5.125% due 09/01/2036	4,770	3,156
Chula Vista, California Special Tax Bonds, Series 2002
6.050% due 09/01/2025	1,160	1,254
Clark County, Nevada General Obligation Bonds, (FSA Insured), Series 2006
4.750% due 06/01/2030	5,400	4,837
Clark County, Nevada General Obligation Notes, (FGIC Insured), Series 2006
8.569% due 11/01/2013	4,245	3,185
Clark County, Nevada Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 07/01/2040	4,500	4,180
Clovis, California Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 08/01/2020	400	218
0.000% due 08/01/2023	2,000	882
0.000% due 08/01/2025	3,535	1,315
0.000% due 08/01/2027	2,500	794
Colorado State Board of Governors Revenue Bonds, Series 2009
5.000% due 03/01/2039	2,000	2,012
Colorado State E-470 Public Highway Authority Revenue Bonds, (MBIA Insured), Series 2006
0.000% due 09/01/2035	20,000	2,187
0.000% due 09/01/2037	15,000	1,393
Colorado State Health Facilities Authority Revenue Bonds, Series 2007
5.900% due 08/01/2037	1,000	676
Comal, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2008
8.040% due 02/01/2034	6,825	5,933
Cook County, Illinois General Obligation Notes, (AMBAC Insured), Series 2006
8.502% due 11/15/2013	10,025	9,042
8.504% due 11/15/2013	5,645	4,862
Cumberland County, Pennsylvania Municipal Authority Revenue Bonds, Series 2008
5.625% due 07/01/2028	500	384
Cypress-Fairbanks, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2006
8.764% due 02/15/2014	6,500	6,514
Dallas, Texas Area Rapid Transit Revenue Bonds, Series 2008
5.250% due 12/01/2038	10,000	10,193
Delaware County, Pennsylvania Authority Revenue Bonds, Series 2001
5.800% due 10/01/2017	2,575	2,587
Denton, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
0.000% due 08/15/2026	6,000	2,537
0.000% due 08/15/2027	6,000	2,392
0.000% due 08/15/2028	5,000	1,878
0.000% due 08/15/2029	6,000	2,124
0.000% due 08/15/2030	2,000	667
0.000% due 08/15/2031	8,000	2,513
Denton, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2006
0.000% due 08/15/2025	4,000	1,794
Denver, Colorado City & County School District No. 1 General Obligation Bonds, Series 2009
5.000% due 12/01/2029	2,500	2,573
Detroit, Michigan Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 07/01/2034	1,300	1,147
Detroit, Michigan School District General Obligation Bonds, (FGIC/Q-SBLF Insured), Series 1998
4.750% due 05/01/2028	4,500	3,801
District of Columbia Revenue Bonds, Series 2009
5.250% due 12/01/2034	2,300	2,403
5.750% due 10/01/2039	4,000	4,086
District of Columbia Water & Sewer Authority Revenue Bonds, Series 2009
5.500% due 10/01/2039	11,000	11,353
Eagle County, Colorado School District No. 50J General Obligation Bonds, (FSA Insured), Series 2007
5.000% due 12/01/2026	2,500	2,595
East Bay, California Municipal Utility District Revenue Bonds, (FSA-CR/FGIC Insured), Series 2007
5.000% due 06/01/2032	5,500	5,448
East Lansing, Michigan Economic Corp. Revenue Bonds, Series 2007
5.250% due 07/01/2037	775	482
East Rochester, New York Housing Authority Revenue Bonds, Series 2006
5.500% due 08/01/2033	1,400	947
Empire Union, California School District Special Tax Bonds, (AMBAC Insured), Series 2002
0.000% due 10/01/2030	1,560	415
0.000% due 10/01/2032	1,265	290
Escondido, California Union School District General Obligation Bonds, (FSA Insured), Series 2002
0.000% due 08/01/2027	1,000	366
Eureka, California Union School District General Obligation Bonds, (FSA Insured), Series 2002
0.000% due 08/01/2027	2,440	885
Florida State Board of Education General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 06/01/2037	16,720	15,758
Florida State Board of Education General Obligation Bonds, (ST-GTD Insured), Series 2005
4.750% due 06/01/2035	1,500	1,431
Florida State Board of Education General Obligation Bonds, Series 2008
4.750% due 06/01/2034	1,000	965
5.000% due 06/01/2035	115	115
Florida State Board of Education General Obligation Bonds, Series 2009
5.000% due 06/01/2034	13,465	13,464
Florida State Development Finance Corp. Revenue Bonds, Series 2007
6.000% due 02/15/2037	3,250	2,361
Florida State General Obligation Bonds, Series 2008
5.250% due 07/01/2037	100	102
Florida State JPMorgan Chase Putters/Drivers Trust Revenue Bonds, Series 2008
19.851% due 12/01/2026	2,755	3,944
Florida State Turnpike Authority Revenue Bonds, Series 2008
9.300% due 07/01/2035	5,000	4,606
Foothill, California Eastern Transportation Corridor Agency Revenue Bonds, Series 1995
0.000% due 01/01/2025	7,100	3,427
0.000% due 01/01/2026	3,270	1,489
Foothill, California Eastern Transportation Corridor Agency Revenue Bonds, Series 1999
0.000% due 01/15/2033	5,000	802
0.000% due 01/15/2034	5,000	742
Fort Bend County, Texas General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 03/01/2031	500	489
Fremont, California Community DACS District No. 1 Special Tax Bonds, Series 2001
6.300% due 09/01/2031	5,000	4,086
Fremont, California Community DACS District No. 1 Special Tax Bonds, Series 2005
5.300% due 09/01/2030	1,250	912
Gainesville, Florida Revenue Bonds, (FSA Insured), Series 2005
4.750% due 10/01/2036	6,820	7,711
Golden State, California Tobacco Securitization Corp. Revenue Bonds, (FGIC Insured), Series 2005
5.000% due 06/01/2035	20,200	17,120
5.000% due 06/01/2038	45,000	37,649
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2003
6.750% due 06/01/2039	700	814
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
0.000% due 06/01/2037 (f)	7,000	2,956
5.000% due 06/01/2033	25,300	16,968
5.125% due 06/01/2047	37,000	20,027
5.750% due 06/01/2047	67,100	40,310
Harris County, Texas Flood Control District General Obligation Notes, Series 2008
8.710% due 10/01/2014	7,900	7,677
Highlands County, Florida Health Facilities Authority Revenue Bonds, Series 2003
5.375% due 11/15/2035	1,355	1,539
Hillside, Illinois Tax Allocation Bonds, Series 2008
6.550% due 01/01/2020	4,170	3,493
7.000% due 01/01/2028	2,740	2,125
Houston, Texas Housing Finance Corp. Revenue Notes, (GNMA Insured), Series 2001
6.600% due 03/20/2010	57	58
Houston, Texas Port Authority General Obligation Bonds, Series 2008
5.625% due 10/01/2038	1,000	900
Houston, Texas Revenue Bonds, (AGC Insured), Series 2009
5.375% due 11/15/2038	13,000	13,073
Houston, Texas Revenue Notes, (FSA Insured), Series 2008
8.892% due 11/15/2015	5,000	4,738
Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 1998
0.000% due 12/01/2028	8,720	3,264
Huntington Beach, California Community Facilities District Special Tax Bonds, Series 2002
6.300% due 09/01/2032	1,750	1,375
Huntsville-Redstone Village, Alabama Special Care Facilities Financing Authority Revenue Bonds, Series 2007
5.500% due 01/01/2043	1,600	1,044
Illinois State Educational Facilities Authority Revenue Bonds, Series 2005
9.040% due 07/01/2033	1,195	1,206
Illinois State Finance Authority Revenue Bonds, Series 2006
5.875% due 02/15/2038	1,050	775
Illinois State Finance Authority Revenue Bonds, Series 2007
5.500% due 05/15/2037	1,500	888
5.750% due 05/15/2031	2,000	1,380
6.000% due 11/15/2037	1,500	825
7.000% due 12/01/2037	3,800	2,441
Illinois State Finance Authority Revenue Bonds, Series 2008
6.250% due 08/15/2035	1,000	734
Illinois State Finance Authority Revenue Bonds, Series 2009
5.500% due 07/01/2037	45,400	47,060
5.750% due 07/01/2033	10,500	11,285
Illinois State Finance Authority Revenue Notes, Series 2009
5.000% due 07/01/2017	8,800	9,700
Illinois State JPMorgan Chase Putters/Drivers Trust Revenue Bonds, Series 2008
19.433% due 06/01/2026	2,315	3,142
Illinois State Metropolitan Pier & Exposition Authority Revenue Bonds, (MBIA Insured), Series 2002
0.000% due 12/15/2030	60,000	16,169
0.000% due 12/15/2032	55,000	12,561
0.000% due 12/15/2033	50,000	10,596
0.000% due 06/15/2038	2,460	385
Illinois State Regional Transportation Authority Revenue Bonds, (MBIA Insured), Series 2006
5.000% due 07/01/2025	1,000	1,028
Illinois State Revenue Bonds, (MBIA-FGIC Insured), Series 2002
5.750% due 06/15/2019	6,250	7,302
Illinois State Toll Highway Authority Revenue Bonds, Series 2008
5.500% due 01/01/2033	5,800	6,007
Illinois State Toll Highway Authority Revenue Bonds, Series 2009
6.184% due 01/01/2034	10,000	10,143
Indiana State Anderson School Building Corp. Revenue Bonds, (FSA Insured), Series 2006
4.750% due 01/15/2027	2,715	2,729
4.750% due 01/15/2028	2,000	1,993
Indiana State Bond Bank Revenue Bonds, (FSA Insured), Series 2007
9.040% due 02/01/2033	3,770	2,895
Indiana State Health & Educational Facilities Financing Authority Revenue Bonds, Series 2007
5.500% due 03/01/2037	4,000	3,373
Indiana University Revenue Notes, Series 2008
9.216% due 12/15/2015	8,955	8,954
Iowa State Finance Authority Revenue Bonds, Series 2007
5.625% due 12/01/2045	3,115	1,410
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
5.600% due 06/01/2034	16,100	10,811
6.500% due 06/01/2023	49,760	37,285
Jurupa, California Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 05/01/2027	1,900	654
Kane & Du Page Counties, Illinois Community United School District No. 303 General Obligation Bonds, (FSA Insured), Series 2002
5.500% due 01/01/2015	100	111
Keller, Texas Independent School District General Obligation Notes, (PSF-GTD Insured), Series 2008
8.690% due 08/15/2015	8,000	7,562
King County, Washington General Obligation Bonds, Series 2008
4.750% due 01/01/2034	3,000	2,932
King County, Washington General Obligation Bonds, Series 2009
5.250% due 01/01/2039	9,315	9,496
King County, Washington General Obligation Notes, Series 2008
8.710% due 01/01/2016	22,800	21,767
King County, Washington Public Hospital District No. 1 General Obligation Bonds, Series 2008
5.250% due 12/01/2037	18,400	18,105
Kings Canyon, California Joint Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 08/01/2027	2,450	889
Lake County, Illinois Community High School District No. 127-Grayslake General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 02/01/2019	5,000	3,303
0.000% due 02/01/2020	5,000	3,098
0.000% due 02/01/2022	5,690	3,119
Las Vegas, Nevada Valley Water District General Obligation Bonds, Series 2008
5.000% due 02/01/2031	2,125	2,020
5.000% due 02/01/2032	2,305	2,149
5.000% due 02/01/2033	8,300	7,674
5.000% due 02/01/2034	415	382
5.000% due 02/01/2035	9,150	8,389
5.000% due 02/01/2036	9,605	8,770
Lenexa, Kansas Revenue Bonds, Series 2007
5.500% due 05/15/2039	500	322
Long Beach, California Community College District General Obligation Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 05/01/2032	17,300	16,354
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031	4,900	4,778
Los Angeles, California Community College District General Obligation Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 08/01/2027	200	201
5.000% due 08/01/2032	30,300	28,826
Los Angeles, California Community College District General Obligation Bonds, Series 2008
5.000% due 08/01/2033	3,100	2,966
Los Angeles, California Community Redevelopment Agency Tax Allocation Bonds, Series 2001
5.875% due 09/01/2026	520	404
6.000% due 09/01/2031	325	248
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 07/01/2037	14,100	13,408
5.000% due 07/01/2038	6,150	5,922
Los Angeles, California Department of Water & Power Revenue Bonds, (FSA Insured), Series 2005
4.750% due 07/01/2036	800	734
16.128% due 07/01/2035	12,500	10,328
Los Angeles, California Department of Water & Power Revenue Bonds, Series 2008
5.250% due 07/01/2038	13,000	12,809
Los Angeles, California Department of Water & Power Revenue Notes, (FSA Insured), Series 2006
8.554% due 07/01/2013	8,850	7,390
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2022	6,295	6,043
4.500% due 07/01/2023	7,380	7,028
4.500% due 07/01/2024	6,590	6,232
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2008
8.260% due 07/01/2023	10,200	9,227
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
4.500% due 07/01/2025	5,400	5,010
4.500% due 01/01/2028	8,740	7,829
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2008
8.250% due 07/01/2025	17,100	14,628
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039	19,305	15,192
Maine State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2009
5.000% due 07/01/2039	5,000	5,000
Manhattan Beach, California Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2001
0.000% due 09/01/2025	1,000	376
Manteca, California Unified School District Special Tax Bonds, (MBIA Insured), Series 2001
0.000% due 09/01/2025	2,365	923
Massachusetts State General Obligation Bonds, Series 2001
5.500% due 11/01/2014	2,235	2,571
Massachusetts State General Obligation Bonds, Series 2003
5.500% due 10/01/2017	3,700	4,297
Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2009
5.500% due 11/15/2036	224,100	240,518
Massachusetts State School Building Authority Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 08/15/2037	1,000	1,001
Massachusetts State Water Pollution Abatement Revenue Bonds, Series 2007
5.000% due 08/01/2037	11,000	11,175
Massachusetts State Water Resources Authority Revenue Bonds, (FSA Insured), Series 2005
9.600% due 08/01/2032	250	256
Massachusetts State Water Resources Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2034	10,000	10,039
Mesquite, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
0.000% due 08/15/2016	1,365	1,045
0.000% due 08/15/2018	1,000	674
0.000% due 08/15/2019	1,000	633
0.000% due 08/15/2020	1,000	594
Michigan City, Indiana Area-Wide School Building Corp. Revenue Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 01/15/2021	2,500	1,405
0.000% due 07/15/2021	1,000	546
0.000% due 01/15/2022	1,000	528
Michigan State Public Educational Facilities Authority Revenue Bonds, (Q-SBLF Insured), Series 2008
7.000% due 10/01/2036 (q)	110	90
Michigan State Public Educational Facilities Authority Revenue Bonds, Series 2007
5.000% due 09/01/2022	775	581
5.000% due 09/01/2036	1,500	920
Michigan State Star International Academy Certificates of Participation Bonds, Series 2007
6.125% due 03/01/2037	1,460	1,051
Michigan State Tobacco Settlement Finance Authority Revenue Bonds, Series 2006
7.309% due 06/01/2034	325	217
Michigan Technical University Revenue Bonds, (XLCA Insured), Series 2003
5.000% due 10/01/2033	750	749
Milwaukee, Wisconsin Redevelopment Authority Revenue Bonds, Series 2007
5.650% due 08/01/2037	1,250	797
Minnehaha County, South Dakota Revenue Bonds, Series 2007
5.375% due 12/01/2027	1,705	1,121
Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 2007
5.000% due 01/15/2037	12,360	12,569
Missouri State Heath & Educational Facilities Authority Revenue Bonds, Series 2008
5.375% due 03/15/2039	8,000	8,352
Missouri State Joint Municipal Electric Utility Commission Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 01/01/2042	39,525	35,154
Monrovia, California Financing Authority Revenue Bonds, (AMBAC Insured), Series 2002
5.125% due 12/01/2031	2,385	2,394
Montclair, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 2001
5.300% due 10/01/2030	5,820	4,960
Montebello, California Unified School District General Obligation Bonds, (FSA Insured), Series 2001
0.000% due 08/01/2024	1,485	655
Montebello, California Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 08/01/2024	1,500	652
0.000% due 08/01/2025	2,830	1,140
0.000% due 08/01/2027	2,775	962
Moreno Valley, California Unified School District Community Facilities District Special Tax Bonds, Series 2005
5.200% due 09/01/2036	4,585	3,140
Morgan Hill, California Unified School District General Obligation Bonds, (FGIC Insured), Series 2002
0.000% due 08/01/2023	2,400	1,321
Nashville & Davidson Counties, Tennessee Health & Educational Facilities Revenue Bonds, Series 2009
5.000% due 10/01/2039	10,300	10,340
Nassau County, New York Industrial Development Agency Revenue Bonds, Series 2007
6.700% due 01/01/2043	1,300	986
Naugatuck, Connecticut Borough General Obligation Bonds, (FSA-CR/FGIC Insured), Series 2003
5.910% due 06/01/2033	165	166
Nevada State JPMorgan Chase Putters/Drivers Trust General Obligation Bonds, Series 2008
14.640% due 06/01/2028	7,830	7,249
Nevada State System of Higher Education Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 07/01/2030	10,000	9,771
Nevada State Truckee Meadows Water Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 07/01/2036	5,560	5,145
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
5.875% due 05/15/2016	2,510	2,248
New Jersey State Health Care Facilities Financing Authority Revenue Bonds, Series 2003
5.500% due 07/01/2033	2,000	1,177
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2029	14,600	9,580
5.000% due 06/01/2041	32,555	17,641
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series 2009
6.875% due 12/15/2039	25,000	25,458
New Jersey State Turnpike Authority Revenue Bonds, Series 2009
7.414% due 01/01/2040	155	181
New Mexico State Finance Authority Revenue Bonds, Series 2006
5.000% due 12/15/2026	5,000	5,224
New York City, New York General Obligation Bonds, Series 2009
6.491% due 03/01/2021	190	201
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2006
4.750% due 06/15/2037	800	751
8.060% due 06/15/2033	3,750	3,024
12.687% due 06/15/2039	8,160	7,829
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
4.750% due 06/15/2035	20,185	19,063
5.000% due 06/15/2037	9,920	9,744
5.000% due 06/15/2038	1,240	1,225
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2008
5.750% due 06/15/2040	9,685	10,282
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2009
5.000% due 06/15/2040	2,700	2,642
5.250% due 06/15/2040	5,500	5,568
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2008
8.728% due 06/15/2015	10,200	8,990
9.182% due 12/15/2013	5,000	4,862
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2009
5.250% due 01/15/2039	11,000	10,934
New York State Counties Tobacco Trust II Revenue Bonds, Series 2001
5.625% due 06/01/2035	8,000	6,005
New York State Counties Tobacco Trust III Revenue Bonds, Series 2005
6.000% due 06/01/2027	15,770	12,068
New York State Dormitory Authority Revenue Bonds, (MBIA-FHA Insured), Series 2001
5.400% due 02/01/2031	95	94
5.500% due 02/01/2041	1,435	1,391
New York State Dormitory Authority Revenue Bonds, (Radian Insured), Series 2003
5.000% due 07/01/2027	2,000	1,688
New York State Dormitory Authority Revenue Bonds, Series 2006
5.000% due 07/01/2035	2,000	2,031
New York State Dormitory Authority Revenue Bonds, Series 2008
5.000% due 07/01/2029	7,500	7,619
5.000% due 07/01/2038	3,550	3,481
New York State Dormitory Authority Revenue Bonds, Series 2009
5.000% due 07/01/2039	10,000	10,165
New York State Environmental Facilities Corp. Revenue Bonds, Series 2007
5.000% due 09/15/2032	9,500	9,614
New York State Environmental Facilities Corp. Revenue Bonds, Series 2009
5.000% due 06/15/2034	10,000	9,971
5.125% due 06/15/2038	35,000	35,257
New York State Housing Finance Agency Revenue Bonds, Series 2007
5.000% due 03/15/2032	4,700	4,693
New York State JPMorgan Chase Putters/Drivers Trust Revenue Bonds, Series 2008
10.191% due 09/15/2029	13,810	15,779
New York State JPMorgan Chase Putters/Drivers Trust Revenue Notes, Series 2008
9.425% due 07/15/2012	6,820	7,697
14.041% due 06/15/2011	6,645	6,779
New York State Liberty Development Corp. Revenue Bonds, Series 2006
8.800% due 10/01/2035	446	371
8.820% due 10/01/2035	12,815	10,669
New York State Metropolitan Transportation Authority Revenue Bonds, (MBIA-FGIC Insured), Series 2002
5.000% due 07/01/2025	6,040	6,098
New York State Metropolitan Transportation Authority Revenue Bonds, (MBIA-FGIC Insured), Series 2003
5.000% due 11/15/2032	200	191
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2009
7.336% due 11/15/2039	120	142
New York State Port Authority of New York & New Jersey Revenue Bonds, Series 2008
5.250% due 09/15/2023	1,800	1,807
5.750% due 11/01/2030	3,500	3,533
New York State Triborough Bridge & Tunnel Authority Revenue Bonds, (MBIA Insured), Series 2002
5.000% due 11/15/2032	4,000	4,010
New York State Triborough Bridge & Tunnel Authority Revenue Bonds, Series 2007
5.000% due 11/15/2032	4,755	4,768
New York State Triborough Bridge & Tunnel Authority Revenue Bonds, Series 2008
5.000% due 11/15/2038	15,000	14,840
New York State Triborough Bridge & Tunnel Authority Revenue Bonds, Series 2009
5.000% due 11/15/2029	14,620	14,915
5.250% due 11/15/2034	13,000	13,318
New York State TSASC, Inc. Revenue Bonds, Series 2006
5.000% due 06/01/2034	23,000	15,781
New York State Urban Development Corp. Revenue Bonds, Series 2005
5.000% due 03/15/2035	3,250	3,166
New York State Urban Development Corp. Revenue Bonds, Series 2009
5.250% due 03/15/2038	3,000	3,038
Newark, California Unified School District General Obligation Bonds, (FSA Insured), Series 2002
0.000% due 08/01/2026	3,245	1,290
North Carolina State Medical Care Commission Revenue Bonds, Series 2007
5.250% due 01/01/2032	1,000	633
North Carolina State Medical Care Commission Revenue Bonds, Series 2008
6.000% due 04/01/2038	1,500	1,108
North Oaks, Minnesota Revenue Bonds, Series 2007 6.000% due 10/01/2033	1,070	878
6.125% due 10/01/2039	620	507
North Texas State Municipal Water District Revenue Bonds, (MBIA Insured), Series 2006
5.000% due 09/01/2035	200	200
North Texas State Municipal Water District Revenue Notes, (MBIA Insured), Series 2008
8.892% due 09/01/2014	8,750	8,770
Northwest Harris County, Texas Municipal Utility District No. 16 General Obligation Bonds, (Radian Insured), Series 2002
5.300% due 10/01/2029	2,105	2,111
Oakland, California General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
5.000% due 01/15/2027	8,670	8,090
5.000% due 01/15/2032	11,135	9,892
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.750% due 06/01/2034	11,000	7,087
5.875% due 06/01/2030	13,800	9,669
5.875% due 06/01/2047	381,300	215,720
Orange County, Florida Housing Finance Authority Revenue Bonds, Series 2002
5.250% due 01/01/2028	1,000	1,004
Oregon State Department of Administrative Services Revenue Bonds, Series 2009
5.000% due 04/01/2029	1,550	1,598
Palm Beach County, Florida Revenue Bonds, Series 2008
5.000% due 05/01/2038	105	101
Palmdale, California Community Redevelopment Agency Tax Allocation Bonds, (AMBAC Insured), Series 2002
0.000% due 12/01/2030	1,230	334
0.000% due 12/01/2031	1,230	313
0.000% due 12/01/2032	1,225	288
Palomar, California Community College District General Obligation Bonds, (FSA Insured), Series 2007
4.750% due 05/01/2032	20,175	18,431
Paramount, California Unified School District General Obligation Bonds, (FSA Insured), Series 2001
0.000% due 09/01/2023	1,750	831
Pennsylvania State Higher Educational Facilities Authority Revenue Bonds, Series 2007
5.000% due 05/01/2037	1,000	818
Pennsylvania State Higher Educational Facilities Authority Revenue Notes, Series 2006
8.794% due 07/15/2013	9,560	9,004
Perris, California Public Financing Authority Tax Allocation Bonds, Series 2002
5.375% due 10/01/2020	780	762
5.625% due 10/01/2031	1,800	1,604
Phoenix, Arizona Civic Improvement Corp. Revenue Bonds, Series 2007
5.000% due 07/01/2018	5,000	5,482
Pima County, Arizona Industrial Development Authority Revenue Bonds, Series 2007
5.000% due 06/01/2037	1,260	833
5.500% due 07/01/2037	5,000	3,365
Placer County, California Union High School District General Obligation Bonds, (FSA Insured), Series 2004
0.000% due 08/01/2033	10,150	2,395
Poway, California Unified School District Special Tax Bonds, Series 2002
5.600% due 09/01/2033	2,000	1,751
6.050% due 09/01/2025	2,285	2,034
6.125% due 09/01/2033	7,600	6,577
Poway, California Unified School District Special Tax Bonds, Series 2005
5.125% due 09/01/2028	4,400	3,599
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2047	51,800	4,246
0.000% due 08/01/2054	77,000	3,984
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, Series 2007
0.000% due 08/01/2056	21,600	980
Rancho Cucamonga, California Community Facilities District Special Tax Bonds, Series 2001
6.375% due 09/01/2031	2,000	1,678
Rancho Mirage, California Redevelopment Agency Tax Allocation Bonds, Series 2001
5.500% due 04/01/2024	1,190	1,116
5.625% due 04/01/2033	1,580	1,341
Rhode Island State Convention Center Authority Revenue Bonds, (FSA Insured), Series 2006
6.060% due 05/15/2035	165	166
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.125% due 06/01/2032	7,000	5,757
Richmond, California Revenue Bonds, (FGIC Insured), Series 1999
0.000% due 08/01/2030	1,500	491
Rochester, Minnesota Revenue Bonds, Series 2007
5.300% due 04/01/2037	100	69
Rocklin, California Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 08/01/2023	2,610	1,203
0.000% due 08/01/2024	5,000	2,147
0.000% due 08/01/2025	4,000	1,596
0.000% due 08/01/2026	4,000	1,475
0.000% due 08/01/2027	4,500	1,538
Roseville, California Special Tax Bonds, Series 2000
6.375% due 09/01/2027	575	625
Round Lake, Illinois Lakewood Grove Special Service Area No. 1 Special Tax Bonds, Series 2003
6.700% due 03/01/2033	4,245	4,909
Sacramento, California Financing Authority Revenue Bonds, Series 1999
6.250% due 09/01/2023	5,650	4,760
Sacramento, California Revenue Bonds, (CM Insured), Series 1998
5.300% due 01/01/2024	1,920	1,863
Sacramento, California Special Tax Bonds, Series 1999
5.700% due 09/01/2023	2,945	2,407
Sacramento, California Special Tax Bonds, Series 2001
6.100% due 09/01/2021	655	545
6.150% due 09/01/2026	1,240	993
Salinas, California Union High School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2003
0.000% due 10/01/2023	485	213
San Antonio, Texas Water Revenue Bonds, (MBIA Insured), Series 2005
4.750% due 05/15/2037	3,000	2,932
San Bernardino, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031	200	192
San Diego, California Community Facilities District No. 3 Special Tax Bonds, Series 2006
5.600% due 09/01/2021 (q)	2,090	1,759
San Diego, California Tobacco Settlement Revenue Funding Corp. Revenue Bonds, Series 2006
7.125% due 06/01/2032	53,585	34,028
San Juan, California Unified School District General Obligation Bonds, (FSA Insured), Series 1999
0.000% due 08/01/2023	1,770	856
San Juan, California Unified School District General Obligation Bonds, (FSA Insured), Series 2001
0.000% due 08/01/2022	9,445	4,853
0.000% due 08/01/2025	10,895	4,549
0.000% due 08/01/2026	12,215	4,774
San Mateo County, California Community College District General Obligation Bonds, Series 2006
5.000% due 09/01/2038	11,000	10,512
San Mateo, California Union High School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 09/01/2020	2,300	1,360
Santa Ana, California Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 08/01/2026	2,515	954
0.000% due 08/01/2028	3,520	1,149
0.000% due 08/01/2030	2,500	696
0.000% due 08/01/2031	3,780	972
0.000% due 08/01/2032	3,770	893
Santa Clara, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2002
5.000% due 07/01/2025	2,155	2,184
5.000% due 07/01/2027	3,040	3,063
Santa Clara County, California East Side Union High School District General Obligation Bonds, (XLCA Insured), Series 2005
0.000% due 08/01/2021	1,985	950
0.000% due 08/01/2022	1,490	665
Santa Clarita, California Community College District General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 08/01/2037	6,665	5,858
Santa Margarita, California Water District Special Tax Bonds, Series 1999
6.250% due 09/01/2029	8,230	8,082
Santa Margarita, California Water District Special Tax Bonds, Series 2003
6.000% due 09/01/2030	2,000	2,338
Santa Monica, California Community College District General Obligation Bonds, (MBIA Insured), Series 2005
0.000% due 08/01/2026	2,000	698
0.000% due 08/01/2027	3,550	1,148
Sarasota County, Florida Health Facility Authority Revenue Bonds, Series 2007
5.625% due 07/01/2027	4,720	3,519
Seattle, Washington Port Authority Revenue Bonds, (MBIA Insured), Series 2005
9.040% due 07/01/2033	1,250	1,222
Seattle, Washington Revenue Bonds, Series 2008
5.250% due 02/01/2033	8,360	8,586
Shasta, California Union High School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 08/01/2024	1,000	451
Signal Hill, California Redevelopment Agency Tax Allocation Bonds, (MBIA-FGIC Insured), Series 2006
5.581% due 10/01/2016	195	198
South Carolina State Jobs-Economic Development Authority Revenue Bonds, (Radian Insured), Series 2001
5.375% due 02/01/2030	3,000	2,577
South Carolina State Jobs-Economic Development Authority Revenue Bonds, Series 2007
6.000% due 11/15/2037	750	466
South Carolina State Public Service Authority Revenue Bonds, Series 2008
5.500% due 01/01/2038	20,000	20,840
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2030	15,600	18,269
South Tahoe, California Joint Powers Parking Financing Authority Revenue Bonds, Series 2002
7.000% due 12/01/2027	2,745	2,000
Southbridge, Massachusetts Associates LLC Revenue Bonds, (MBIA Insured), Series 2000
7.590% due 02/01/2022	31,105	34,551
Southern California State Metropolitan Water District Revenue Bonds, Series 2009
5.000% due 01/01/2039	14,905	14,657
Southern California State Tobacco Securitization Authority Revenue Bonds, Series 2006
5.000% due 06/01/2037	36,040	21,882
Southwestern Illinois State Development Authority Revenue Bonds, Series 2007
6.625% due 06/01/2037	600	445
Spanish Fork City, Utah Revenue Bonds, Series 2006
5.700% due 11/15/2036	750	512
St. Louis, Missouri Industrial Development Authority Revenue Bonds, (GNMA Insured), Series 2002
5.125% due 12/20/2029	1,500	1,480
5.125% due 12/20/2030	1,500	1,486
Stanislaus County, California Modesto Elementary School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 08/01/2023	2,615	1,212
0.000% due 08/01/2024	2,705	1,158
0.000% due 05/01/2027	2,000	694
Stanislaus County, California Modesto High School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 08/01/2026	2,150	793
Stark County, North Dakota Revenue Bonds, Series 2007
6.750% due 01/01/2033	5,400	4,664
Sumner County, Tennessee Health Educational & Housing Facilities Board Revenue Bonds, Series 2007
5.500% due 11/01/2037	5,000	1,960
Temecula, California Public Financing Authority Community Facilities District No. 3-1 Special Tax Bonds, Series 2003
6.000% due 09/01/2033	2,000	1,633
Texas State General Obligation Bonds, Series 2006
5.000% due 04/01/2033	2,640	2,657
Texas State General Obligation Bonds, Series 2007
4.750% due 04/01/2029	1,500	1,509
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037	15,800	15,050
Texas State General Obligation Notes, Series 2008
8.657% due 10/01/2013	7,400	6,763
8.710% due 10/01/2015	77,705	70,331
13.280% due 04/01/2015	19,970	19,876
13.285% due 04/01/2015	8,330	8,488
Texas State JPMorgan Chase Putters/Drivers Trust General Obligation Bonds, (PSF-GTD Insured), Series 2008
15.958% due 02/15/2032	4,690	5,628
18.918% due 02/15/2028	5,565	7,104
Texas State JPMorgan Chase Putters/Drivers Trust General Obligation Notes, (PSF-GTD Insured), Series 2008
13.620% due 02/15/2012	3,985	4,219
Texas State Leander Independent School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2005
0.000% due 08/15/2023	1,000	463
Texas State Northside Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2005
9.040% due 02/15/2035	4,022	4,095
Texas State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2002
0.000% due 08/15/2019	10,000	5,357
0.000% due 08/15/2025	19,990	6,708
Tracy, California Community Facilities District Special Tax Bonds, Series 2002
6.000% due 09/01/2027	995	753
Tuscaloosa, Alabama Educational Building Authority Revenue Bonds, Series 2007
5.000% due 06/01/2026	1,400	1,016
Tyler, Texas Independent School District General Obligation Bonds, Series 2009
5.000% due 02/15/2034	3,000	2,958
Ulster County, New York Industrial Development Agency Revenue Bonds, Series 2007
6.000% due 09/15/2037	1,225	853
University of Arkansas Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 11/01/2037	400	396
University of California Regents Medical Center Revenue Bonds, (MBIA Insured), Series 2007
4.750% due 05/15/2031	4,000	3,811
University of California Revenue Bonds, (FSA Insured), Series 2005
8.580% due 05/15/2035	3,450	2,807
University of California Revenue Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 05/15/2037	100	94
5.000% due 05/15/2041	1,000	928
University of California Revenue Bonds, Series 2009
5.250% due 05/15/2039	5,400	5,479
University of Texas Revenue Bonds, Series 2004
4.750% due 07/01/2030	7,745	7,752
University of Vermont & State Agricultural College Revenue Bonds, Series 2009
5.125% due 10/01/2039	5,000	4,905
University Place, Missouri Transportation Development District Special Assessment Bonds, Series 2006
5.000% due 03/01/2032	500	311
Utah County, Utah General Obligation Bonds, Series 2007
5.875% due 06/15/2037	1,320	956
Utah State Charter School Finance Authority Revenue Bonds, Series 2008
6.750% due 08/15/2028	250	208
Utah State Transit Authority Revenue Bonds, (MBIA Insured), Series 2007
0.000% due 06/15/2023	10,000	4,277
0.000% due 06/15/2029	10,000	2,722
Utah State Transit Authority Revenue Bonds, Series 2009
5.937% due 06/15/2039	140	142
Ventura County, California Community College District General Obligation Bonds, Series 2008
5.500% due 08/01/2033	15,000	15,138
Victor, California Elementary School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 08/01/2024	1,125	450
0.000% due 08/01/2026	2,410	799
Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2007
5.700% due 09/01/2037	3,000	2,126
5.750% due 09/01/2042	2,000	1,399
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
5.500% due 06/01/2026	1,050	1,164
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
0.000% due 06/01/2046 (f)	11,000	4,639
Vista, California Unified School District General Obligation Bonds, (FSA Insured), Series 2002
0.000% due 08/01/2026	1,000	349
Washington County, Pennsylvania Redevelopment Authority Tax Allocation Bonds, Series 2006
5.450% due 07/01/2035	350	209
Washington State Energy Northwest Revenue Bonds, (MBIA Insured), Series 2002
5.750% due 07/01/2015	6,600	7,223
Washington State Energy Northwest Revenue Notes, Series 2008
5.000% due 07/01/2015	5,000	5,544
Washington State General Obligation Bonds, (MBIA-FGIC Insured), Series 2003
0.000% due 06/01/2016	700	540
Washington State General Obligation Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 01/01/2032	4,500	4,505
Washington State General Obligation Bonds, Series 2009
5.000% due 02/01/2034	26,350	26,469
Washington State Housing Finance Commission Revenue Bonds, Series 2007
5.625% due 01/01/2038	10,200	6,563
Washington State Housing Finance Commission Revenue Notes, Series 2007
5.250% due 01/01/2017	1,500	1,264
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.625% due 06/01/2032	6,850	5,622
Weber County, Utah Revenue Bonds, Series 1999
5.000% due 08/15/2030	1,750	1,667
West Contra Costa, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2002
5.000% due 08/01/2026	2,740	2,549
5.000% due 08/01/2028	2,690	2,460
5.000% due 08/01/2031	1,890	1,655
West Orange Cove, Texas Consolidated Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2008
4.750% due 02/15/2038	900	863
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047	162,555	109,221
Willacy County, Texas Revenue Bonds, Series 2007
6.875% due 09/01/2028	6,650	5,362
Wisconsin State Clean Water Revenue Bonds, Series 2009
5.750% due 05/01/2033	38,000	39,117
6.000% due 05/01/2036	62,000	64,704
Wisconsin State Health & Educational Facilities Authority Revenue Bonds, Series 2006
5.000% due 05/01/2032	2,250	1,470
Yuba City, California Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2002
0.000% due 09/01/2025	2,110	850
Total Municipal Bonds & Notes (Cost $4,446,648)		4,371,925
U.S. GOVERNMENT AGENCIES 76.4%
Fannie Mae
0.000% due 04/25/2018 - 08/25/2023 (d)	35	33
0.000% due 10/09/2019	57,400	29,290
0.429% due 03/25/2034	164	149
0.444% due 03/25/2036	16,658	14,410
0.464% due 08/25/2034	152	144
0.514% due 10/27/2037	101,100	92,064
0.554% due 06/25/2032	46	38
0.564% due 06/25/2044	9	9
0.634% due 06/25/2037	76	75
0.664% due 07/25/2021 - 03/25/2044	7,111	6,506
0.714% due 06/25/2029 - 11/25/2036	24,892	24,509
0.718% due 04/18/2028	163	160
0.764% due 10/25/2030 - 02/25/2033	751	745
0.768% due 10/18/2030	1,259	1,248
0.794% due 08/25/2021 - 03/25/2022	35	35
0.814% due 03/25/2017 - 07/25/2034	2,106	2,090
0.868% due 12/18/2031	484	482
0.914% due 05/25/2030	586	577
0.944% due 11/25/2013 - 08/25/2022	121	120
0.964% due 05/25/2030	586	575
0.994% due 10/25/2023 - 03/25/2024	3,016	2,995
1.000% due 09/25/2023	2	1
1.144% due 01/25/2022	46	46
1.174% due 01/25/2022	105	105
1.194% due 12/25/2021	51	51
1.214% due 04/25/2032	63	64
1.244% due 04/25/2021	8	8
1.344% due 04/25/2023	308	309
1.375% due 04/28/2011	174,900	175,463
1.632% due 04/01/2027	34	35
2.250% due 02/01/2020	4	4
2.638% due 07/01/2042 - 10/01/2044	66,415	65,629
2.639% due 12/01/2044	7,909	7,907
2.693% due 09/01/2041	57	56
2.838% due 10/01/2030 - 10/01/2040	4,527	4,516
2.877% due 10/01/2020	17	17
2.913% due 07/01/2017	790	792
3.023% due 04/01/2027	40	41
3.055% due 05/01/2024	80	80
3.221% due 10/01/2034	2,649	2,686
3.231% due 10/01/2024	26	26
3.237% due 04/01/2027	3	3
3.253% due 06/01/2024	30	30
3.283% due 03/01/2034	8,682	8,826
3.296% due 09/01/2017	663	666
3.311% due 11/01/2025	73	74
3.392% due 11/01/2035	7,947	8,073
3.512% due 05/01/2035	450	457
3.585% due 02/01/2034	88	88
3.622% due 03/01/2035	75	78
3.678% due 09/01/2035	180	182
3.705% due 03/01/2033	149	148
3.708% due 05/01/2023	149	150
3.722% due 05/01/2027	19	19
3.723% due 04/01/2026	16	16
3.732% due 09/01/2024	103	104
3.750% due 11/01/2025	549	556
3.758% due 01/01/2021	18	17
3.816% due 05/01/2025	227	231
3.817% due 11/01/2024	1,953	1,965
3.873% due 05/01/2035	5,403	5,559
3.890% due 08/01/2027	1,193	1,212
3.920% due 11/01/2023	32	32
3.928% due 06/01/2035	3,089	3,176
3.935% due 06/01/2021	480	474
3.950% due 08/01/2033	33	33
3.990% due 02/01/2026	73	73
4.000% due 11/01/2010 - 03/01/2029	5,766	5,863
4.012% due 08/01/2026	115	115
4.020% due 02/01/2024	64	65
4.034% due 08/01/2027	1,492	1,507
4.052% due 01/01/2026	144	145
4.058% due 12/01/2020	513	515
4.103% due 01/01/2020	534	534
4.149% due 05/01/2022	12	12
4.151% due 03/01/2019	788	794
4.165% due 03/01/2035	2,248	2,321
4.169% due 03/01/2025	746	757
4.183% due 07/01/2024	365	366
4.187% due 10/01/2027	102	103
4.201% due 04/01/2027	55	56
4.211% due 11/01/2025	193	196
4.217% due 02/01/2022	188	188
4.269% due 09/01/2022	123	126
4.283% due 09/01/2033	275	281
4.287% due 11/01/2034	346	350
4.307% due 09/01/2034	1,533	1,558
4.315% due 11/01/2023 - 12/01/2023	342	349
4.325% due 10/01/2020 - 01/01/2024	58	58
4.341% due 06/01/2025	74	75
4.345% due 04/01/2034	418	429
4.358% due 11/01/2034	3,816	3,919
4.366% due 08/01/2025	1,008	1,041
4.372% due 01/01/2024	106	108
4.375% due 04/01/2017 - 04/01/2034	62	62
4.400% due 12/01/2023	19	19
4.419% due 11/01/2035	5,582	5,687
4.433% due 01/01/2018	106	106
4.450% due 12/01/2023	78	79
4.458% due 02/01/2028	35	35
4.471% due 07/01/2034	5,324	5,413
4.478% due 05/01/2035	39,722	41,140
4.500% due 10/01/2010 - 12/01/2035	160,970	164,470
4.502% due 11/01/2025	139	139
4.551% due 06/01/2035	12,508	12,848
4.565% due 09/01/2021	13	13
4.572% due 07/01/2033	30	31
4.585% due 11/01/2023	15	16
4.589% due 09/01/2019	642	645
4.597% due 12/01/2018	64	64
4.600% due 04/01/2024	267	276
4.610% due 10/01/2034	3,477	3,577
4.620% due 08/01/2035	2,237	2,317
4.631% due 05/25/2035	39,382	39,349
4.644% due 06/01/2015 - 01/01/2035	613	630
4.647% due 12/01/2036	480	483
4.658% due 02/01/2035 - 05/01/2035	33,056	34,232
4.663% due 11/01/2035	26,402	26,948
4.666% due 12/01/2034	423	436
4.670% due 10/01/2024	103	104
4.680% due 12/01/2012	360	390
4.688% due 02/01/2035	4,849	5,029
4.691% due 09/01/2035	2,645	2,688
4.693% due 06/01/2035	19,679	19,980
4.701% due 06/01/2025	356	363
4.717% due 02/01/2028	597	600
4.720% due 07/01/2035	4,662	4,770
4.722% due 06/01/2035	4,014	4,068
4.733% due 04/01/2018	162	165
4.750% due 12/15/2010 - 08/01/2024	367	383
4.751% due 03/01/2035	130	134
4.760% due 08/01/2035	801	830
4.773% due 12/01/2027	254	259
4.777% due 02/01/2027 - 11/01/2034	4,291	4,421
4.781% due 11/01/2012	51	54
4.784% due 12/01/2017	728	742
4.790% due 08/01/2035	4,847	5,036
4.794% due 11/01/2035	16,481	17,035
4.806% due 09/01/2035	18,033	18,612
4.827% due 06/01/2035	282	292
4.834% due 09/01/2034	24,625	25,232
4.836% due 10/01/2034 - 01/01/2035	22,929	23,673
4.845% due 09/01/2034	1,253	1,261
4.850% due 12/01/2026	13	13
4.855% due 12/01/2033 - 02/01/2035	8,655	8,990
4.870% due 05/01/2013	127	134
4.872% due 12/01/2025	302	304
4.873% due 04/01/2013	55	58
4.889% due 08/01/2035	8,751	8,986
4.898% due 04/01/2038	43	45
4.899% due 04/01/2035	3,665	3,789
4.900% due 12/01/2034	2,220	2,301
4.902% due 05/01/2030	13	13
4.907% due 01/01/2035	18,287	18,923
4.909% due 07/01/2035	3,531	3,599
4.912% due 03/01/2035	416	429
4.919% due 02/01/2035	5,514	5,709
4.922% due 05/01/2026	40	40
4.923% due 09/01/2035	11,580	11,873
4.932% due 09/01/2014	17	18
4.934% due 12/01/2034	405	418
4.955% due 07/01/2021 - 07/01/2035	4,009	4,103
4.960% due 11/01/2031	184	187
4.968% due 06/01/2035	1,340	1,388
4.973% due 01/01/2035	21,014	21,772
4.979% due 08/01/2035	87	90
4.980% due 02/01/2028	62	63
4.991% due 12/01/2025	192	194
5.000% due 12/01/2012 - 07/01/2039	16,293,831	16,665,421
5.000% due 03/01/2036 (l)	1,230,253	1,256,347
5.015% due 09/01/2029	12	12
5.025% due 11/01/2035	878	902
5.027% due 02/01/2021	128	130
5.031% due 03/01/2024	31	32
5.033% due 11/01/2034	2,063	2,124
5.041% due 03/01/2034	10,222	10,571
5.052% due 06/01/2035	3,942	4,097
5.062% due 12/01/2022	35	35
5.076% due 09/01/2035	2,676	2,748
5.085% due 03/01/2026	53	54
5.095% due 07/01/2026	11	11
5.105% due 09/01/2023	141	145
5.111% due 12/01/2030	14	14
5.112% due 07/01/2035	3,900	4,014
5.115% due 09/01/2024	138	137
5.125% due 04/15/2011 - 10/01/2024	604	647
5.128% due 07/01/2019	82	84
5.144% due 09/01/2035 - 10/01/2035	7,378	7,685
5.145% due 11/01/2025	27	27
5.154% due 08/01/2035	3,238	3,374
5.157% due 02/01/2016	196	209
5.159% due 11/01/2010	30	30
5.171% due 10/01/2035	3,353	3,445
5.173% due 08/01/2035	3,108	3,266
5.176% due 07/01/2035	3,351	3,492
5.178% due 10/01/2023	22	22
5.184% due 09/01/2035	4,050	4,221
5.187% due 11/01/2035	2,592	2,702
5.193% due 10/01/2035	4,156	4,331
5.207% due 07/01/2035	3,109	3,234
5.221% due 09/01/2035	2,709	2,815
5.224% due 11/01/2035	3,762	3,922
5.226% due 11/01/2019	157	160
5.227% due 06/01/2029 - 08/01/2035	2,595	2,702
5.231% due 09/01/2035	3,514	3,692
5.243% due 07/01/2035	2,924	3,048
5.250% due 11/01/2026	37	37
5.257% due 12/01/2035	3,310	3,455
5.273% due 10/01/2035	4,377	4,626
5.277% due 12/01/2023	58	58
5.289% due 10/01/2035	4,176	4,361
5.290% due 11/25/2033	1,389	1,448
5.293% due 09/01/2035	70	73
5.300% due 08/01/2031	128	130
5.310% due 08/25/2033	4,323	4,463
5.342% due 11/01/2035	4,233	4,430
5.346% due 11/01/2035	5,105	5,337
5.370% due 08/25/2043	2,794	2,714
5.375% due 11/15/2011 - 03/01/2023	1,672	1,829
5.377% due 01/01/2036	3,227	3,414
5.406% due 07/01/2024	150	152
5.430% due 01/01/2037	772	807
5.435% due 05/01/2036	1,639	1,705
5.439% due 01/01/2036	108	112
5.445% due 12/01/2017	5	5
5.473% due 08/01/2027	34	34
5.493% due 12/01/2035	39	40
5.498% due 09/01/2021	8	8
5.500% due 12/01/2009 - 07/01/2039	34,258,856	35,433,134
5.500% due 05/01/2033 - 09/01/2038 (m)	1,434,342	1,483,606
5.500% due 08/01/2037 (i)	4,034,018	4,182,733
5.500% due 08/01/2037 - 06/01/2038 (l)	6,163,303	6,378,636
5.500% due 06/01/2038 (k)(m)	7,267,727	7,516,349
5.508% due 02/01/2021	80	82
5.531% due 03/01/2036	2,678	2,805
5.533% due 10/01/2026	11	11
5.542% due 02/01/2033	3	3
5.548% due 10/01/2019	229	234
5.570% due 01/01/2036	2,146	2,219
5.575% due 01/01/2037	705	739
5.576% due 02/01/2036	4,971	5,209
5.596% due 10/01/2027	220	224
5.607% due 12/01/2035	3,078	3,229
5.630% due 03/01/2036	2,401	2,519
5.637% due 02/01/2036	436	458
5.664% due 09/01/2036	16	17
5.700% due 02/28/2025	150	147
5.715% due 03/01/2036	3,893	4,072
5.739% due 08/01/2023	82	83
5.750% due 01/01/2020 - 12/20/2027	1,144	1,185
5.754% due 03/01/2036	4,296	4,503
5.763% due 09/01/2037	39	40
5.780% due 09/01/2012	474	509
5.790% due 10/01/2017	393	428
5.800% due 02/09/2026	50,000	51,831
5.820% due 06/01/2023	20	20
5.821% due 06/01/2023	91	92
5.833% due 04/01/2036	17	17
5.883% due 12/01/2036	324	341
5.898% due 05/01/2023	313	316
5.915% due 02/01/2012	424	453
5.924% due 06/01/2036	1,651	1,718
5.930% due 06/01/2022	34	35
5.945% due 08/01/2022	1,098	1,120
5.970% due 07/01/2019	12	12
5.981% due 11/01/2011	124	131
6.000% due 05/15/2011 - 10/25/2044	30,408,761	31,831,156
6.000% due 03/01/2026 (k)	88,901	93,635
6.000% due 10/01/2038 (k)(l)	2,058,930	2,155,161
6.001% due 07/01/2032	132	139
6.032% due 09/01/2036	74	78
6.113% due 02/01/2012	502	540
6.140% due 03/01/2023	245	246
6.200% due 05/01/2011	77	82
6.250% due 02/01/2011 - 02/25/2029	39,558	41,646
6.280% due 06/15/2027	166,000	174,950
6.290% due 02/25/2029	500	548
6.296% due 08/01/2027	132	133
6.300% due 10/17/2038	9,132	9,127
6.320% due 10/01/2013	1,809	1,962
6.390% due 05/25/2036	12,644	13,169
6.480% due 01/01/2011	291	305
6.500% due 07/01/2011 - 06/25/2044	364,753	388,947
6.500% due 10/25/2022 (b)	1	0
6.589% due 03/01/2023	667	681
6.625% due 11/15/2030	1,100	1,350
6.643% due 05/01/2014	61	62
6.730% due 06/01/2022	14	14
6.745% due 02/01/2018	42	43
6.750% due 10/25/2023	282	310
6.825% due 02/01/2020	49	50
6.836% due 11/01/2021	61	63
6.900% due 05/25/2023	50	54
6.960% due 07/01/2019	175	175
7.000% due 12/01/2009 - 01/25/2048	20,217	21,884
7.000% due 06/01/2035 - 07/01/2035 (i)	5,536	6,013
7.025% due 11/01/2022	19	19
7.039% due 12/01/2010	606	625
7.110% due 10/01/2009	450	450
7.200% due 05/01/2021	18	18
7.250% due 01/01/2023	742	826
7.360% due 04/01/2011	307	327
7.375% due 05/25/2022	1,022	1,111
7.475% due 06/01/2030	123	128
7.500% due 11/01/2010 - 07/25/2041	5,173	5,762
7.750% due 01/25/2022	1,524	1,677
7.780% due 01/01/2018	2,012	2,322
7.800% due 10/25/2022 - 06/25/2026	237	258
7.920% due 03/01/2018	2,494	2,903
7.980% due 05/01/2030	6,059	6,682
8.000% due 12/01/2010 - 06/01/2032	4,025	4,401
8.000% due 08/18/2027 (b)	10	2
8.060% due 04/01/2030	1,687	1,840
8.080% due 04/01/2030	928	1,013
8.200% due 04/25/2025	17	18
8.250% due 02/01/2017	4	4
8.490% due 06/01/2025	850	944
8.500% due 06/01/2012 - 10/01/2032	3,207	3,513
8.750% due 01/25/2021	200	223
9.000% due 07/01/2016 - 12/01/2027	1,431	1,580
9.250% due 04/25/2018	20	22
9.300% due 05/25/2018 - 08/25/2019	63	70
9.356% due 09/25/2028	359	405
9.500% due 11/01/2009 - 03/01/2026	965	1,069
10.000% due 11/01/2013 - 05/01/2022	118	131
10.500% due 11/01/2013 - 04/01/2022	27	30
11.000% due 11/01/2013 - 11/01/2020	119	138
11.500% due 08/20/2016 - 11/01/2019	4	5
12.000% due 05/01/2016	1	1
12.500% due 10/01/2015	1	1
13.250% due 09/01/2011	1	1
14.750% due 08/01/2012	7	8
15.000% due 10/15/2012	22	25
15.500% due 10/01/2012 - 12/01/2012	2	2
15.750% due 12/01/2011 - 08/01/2012	7	8
16.000% due 09/01/2012	11	12
903.212% due 08/25/2021 (b)	0	5
1000.000% due 04/25/2022 (b)	0	4
Farmer Mac
7.997% due 01/25/2012	252	245
Federal Home Loan Bank
1.375% due 05/16/2011	225,000	225,839
2.250% due 10/02/2009	650	653
5.500% due 08/13/2014	645	721
5.625% due 06/13/2016	175	169
5.750% due 05/15/2012	100	111
7.400% due 02/01/2021	733	735
Federal Housing Administration
4.918% due 11/01/2019	21	21
6.780% due 07/25/2040	7,185	7,030
6.880% due 02/01/2041	10,926	10,691
6.896% due 07/01/2020	8,825	8,691
6.960% due 05/01/2016	253	250
6.997% due 09/01/2019	63	62
7.110% due 05/01/2019	1,290	1,281
7.315% due 08/01/2019	4,417	4,383
7.350% due 04/01/2019 - 11/01/2020	572	568
7.375% due 02/01/2018	143	143
7.380% due 04/01/2041	2,372	2,393

7.400% due 01/25/2020 - 11/01/2020		1,502	1,506
7.430% due 10/01/2018 - 06/01/2024		12,678	12,711
7.450% due 05/01/2021		2,235	2,235
7.460% due 01/01/2023		154	155
7.465% due 11/01/2019		1,753	1,758
7.500% due 03/01/2032		3,082	3,093
7.580% due 12/01/2040		7,099	7,145
7.630% due 08/01/2041		17,053	17,300
7.780% due 11/01/2040		7,104	7,193
8.250% due 01/01/2041		4,551	4,608
8.375% due 02/01/2012		51	52
Freddie Mac
0.354% due 12/25/2036		14,986	14,260
0.469% due 07/15/2019 - 10/15/2020		262,978	257,647
0.559% due 05/15/2036		77	75
0.569% due 07/15/2034		665	651
0.574% due 08/25/2031		417	335
0.669% due 12/15/2029 - 06/15/2031		7,333	7,222
0.702% due 03/09/2011		5,890	5,912
0.719% due 06/15/2018 - 01/15/2033		755	754
0.769% due 11/15/2030 - 12/15/2031		33	33
0.819% due 06/15/2030 - 12/15/2032		559	554
0.926% due 05/04/2011 (i)		260,470	261,141
1.102% due 01/14/2011		14,079	14,113
1.125% due 06/01/2011		600	599
1.211% due 04/07/2011		119,780	120,170
1.268% due 04/01/2011 (i)		242,610	243,430
1.314% due 05/25/2043		12,212	11,976
1.375% due 02/15/2021		16	16
1.625% due 04/26/2011		300	302
2.625% due 04/01/2017		5	5
2.638% due 10/25/2044		12,121	11,935
2.639% due 02/25/2045		38,900	37,088
2.838% due 07/25/2044		2,757	2,731
3.050% due 10/25/2023		862	872
3.255% due 06/01/2022		391	394
3.284% due 05/01/2023		66	67
3.326% due 05/01/2023		27	27
3.359% due 05/01/2023		9	9
3.384% due 06/01/2022		135	137
3.500% due 09/01/2018 - 07/15/2032		1,384	1,357
3.566% due 06/01/2022		21	21
3.832% due 04/01/2025 - 08/15/2032		4,463	4,503
3.875% due 01/01/2019		1	1
3.937% due 09/01/2023		508	518
3.986% due 02/01/2023		78	79
4.000% due 04/01/2011 - 12/15/2024		4,731	4,761
4.033% due 01/01/2034		6,314	6,392
4.050% due 02/01/2026		399	404
4.089% due 08/01/2023		531	534
4.142% due 02/01/2025		21	21
4.204% due 07/01/2027		10	10
4.216% due 03/01/2024		225	231
4.250% due 09/15/2024		7	7
4.256% due 12/01/2022		17	17
4.261% due 06/01/2024		450	458
4.274% due 06/01/2020		82	82
4.277% due 09/01/2023		175	179
4.366% due 10/01/2026		319	321
4.400% due 06/01/2024		248	252
4.425% due 10/01/2024		146	149
4.426% due 04/01/2024		675	684
4.433% due 11/01/2026		331	335
4.447% due 12/01/2026		733	738
4.459% due 08/01/2023		1,039	1,051
4.475% due 11/01/2028		474	480
4.476% due 09/01/2028		3	3
4.480% due 02/01/2021		6	6
4.500% due 12/01/2010 - 07/01/2038		12,949	13,281
4.504% due 08/01/2023		1	1
4.520% due 05/01/2021 - 04/01/2023		1,241	1,242
4.547% due 05/01/2023		166	170
4.549% due 01/01/2035		1,146	1,178
4.558% due 04/01/2029		137	139
4.586% due 07/01/2025		624	632
4.602% due 07/01/2024		64	65
4.606% due 10/01/2023		53	55
4.671% due 11/01/2020		83	84
4.694% due 08/01/2035		1,032	1,053
4.700% due 06/01/2035		5,358	5,517
4.717% due 03/01/2035		885	916
4.720% due 01/01/2024		46	47
4.732% due 11/01/2034		153	156
4.736% due 01/01/2022		85	86
4.751% due 07/01/2030		973	996
4.780% due 02/01/2019		34	34
4.792% due 07/01/2019		206	211
4.799% due 06/01/2030		380	390
4.806% due 07/01/2023		220	227
4.809% due 07/01/2023		63	64
4.816% due 10/01/2035		29,515	30,480
4.818% due 03/01/2035		3,986	4,124
4.837% due 07/01/2035		13,493	13,820
4.838% due 11/01/2035		31,012	31,832
4.847% due 02/01/2019		207	208
4.861% due 10/01/2035		55,043	56,912
4.875% due 06/13/2018		30,200	32,558
4.881% due 10/01/2035		3,760	3,792
4.887% due 10/01/2035		22,695	23,475
4.895% due 01/01/2028		22	23
4.901% due 12/01/2018		257	258
4.902% due 03/01/2022		1,117	1,142
4.913% due 10/01/2035		28,598	29,569
4.924% due 07/01/2035		52	54
4.925% due 06/01/2021		437	443
4.926% due 11/01/2023		222	225
4.930% due 08/01/2023		94	96
4.942% due 11/01/2035		22,665	23,473
4.951% due 07/01/2020		134	136
4.972% due 07/01/2032		3	3
4.980% due 05/01/2022		33	34
4.990% due 11/01/2023		2	2
5.000% due 08/15/2012 - 08/01/2039		376,926	379,123
5.000% due 09/01/2038 (i)		1,497	1,524
5.012% due 01/01/2021		42	42
5.045% due 05/01/2018		238	240
5.096% due 10/01/2035		4,208	4,379
5.099% due 09/01/2035		12,785	13,125
5.105% due 05/01/2018		52	53
5.110% due 07/01/2022		101	102
5.112% due 10/01/2023		183	183
5.115% due 04/01/2029		41	41
5.125% due 04/18/2011		300	321
5.129% due 10/01/2023		189	189
5.130% due 08/01/2035		69	71
5.138% due 09/01/2023		28	28
5.142% due 08/01/2023 - 05/01/2035		32,156	33,265
5.156% due 10/01/2023		274	277
5.180% due 05/01/2018		226	229
5.200% due 10/25/2023		172	161
5.210% due 07/01/2032		98	100
5.240% due 09/01/2023		71	73
5.244% due 03/01/2021		756	761
5.250% due 07/18/2011		100	108
5.265% due 05/01/2020		63	64
5.282% due 09/01/2023 - 05/01/2037		795	820
5.288% due 10/01/2023		117	119
5.293% due 09/01/2035		807	836
5.338% due 09/01/2035		80	83
5.413% due 11/01/2035		2,977	3,120
5.429% due 12/01/2035		3,000	3,142
5.439% due 08/01/2023		44	44
5.478% due 02/01/2038		168	176
5.495% due 01/01/2037		800	838
5.500% due 09/15/2011 - 04/01/2039		8,432,882	8,716,445
5.527% due 07/01/2019		8	8
5.577% due 07/01/2036		37	38
5.696% due 04/01/2036		15	16
5.700% due 03/01/2036		2,475	2,591
5.750% due 01/15/2012		3	3
5.830% due 04/01/2036		2,955	3,054
5.848% due 12/01/2037		1,535	1,611
5.871% due 04/01/2036		3,240	3,366
5.875% due 03/21/2011 - 09/01/2018		15,054	15,791
5.940% due 10/01/2022		45	46
5.950% due 06/15/2028		44,087	46,197
6.000% due 01/01/2011 - 07/01/2039		1,687,535	1,767,374
6.250% due 12/15/2028 - 01/15/2036		1,340	1,419
6.500% due 09/01/2010 - 10/25/2043		327,667	349,817
6.500% due 09/15/2023 (b)		3	0
6.513% due 05/01/2020		15	15
6.625% due 09/15/2009		1,725	1,748
6.815% due 10/01/2020		8	8
6.921% due 10/01/2020		231	237
6.950% due 07/15/2021 - 08/15/2021		107	110
7.000% due 03/15/2010 - 10/25/2043		36,930	39,501
7.000% due 09/15/2023 (b)		26	3
7.030% due 01/01/2019		53	54
7.075% due 01/01/2019		2	2
7.500% due 09/01/2010 - 11/01/2037		16,284	17,477
7.645% due 05/01/2025		5,585	6,074
7.800% due 09/15/2020		10	11
8.000% due 04/01/2010 - 09/15/2024		3,796	4,071
8.250% due 06/01/2016 - 06/15/2022		522	591
8.500% due 09/01/2009 - 06/01/2030		2,210	2,303
8.750% due 12/01/2010 - 12/15/2020		105	114
8.900% due 11/15/2020		746	810
9.000% due 09/01/2010 - 07/01/2030		569	589
9.000% due 05/01/2022 (b)		5	1
9.250% due 07/01/2017		2	3
9.500% due 09/01/2016 - 12/01/2022		590	648
10.000% due 11/01/2011 - 03/01/2021		44	48
10.100% due 09/01/2016		85	95
10.500% due 10/01/2017 - 01/01/2021		18	20
11.000% due 06/01/2011 - 05/01/2020		30	34
11.250% due 10/01/2009 - 09/01/2015		1	1
11.500% due 01/01/2018		1	1
13.250% due 10/01/2013		43	50
14.000% due 04/01/2016		2	2
15.500% due 08/01/2011		1	1
884.500% due 01/15/2021 (b)		0	2
1007.500% due 02/15/2022 (b)		0	4
Ginnie Mae
0.718% due 06/16/2031 - 03/16/2032		479	473
0.768% due 11/16/2029 - 10/16/2030		591	585
0.815% due 09/20/2030		184	182
0.818% due 02/16/2030 - 04/16/2032		3,265	3,260
0.868% due 12/16/2025		98	97
0.918% due 02/16/2030		2,249	2,250
0.968% due 02/16/2030		949	943
1.265% due 03/20/2031		167	167
3.750% due 02/20/2032		1,238	1,252
4.000% due 02/20/2016 - 11/20/2032		378	383
4.125% due 12/20/2015 - 10/20/2033		26,440	26,859
4.250% due 01/20/2028 - 03/20/2030		6,605	6,711
4.375% due 02/20/2017 - 03/20/2028		21,587	22,046
4.500% due 02/20/2018 - 02/20/2034		7,659	7,917
4.625% due 07/20/2017 - 09/20/2033		33,254	34,069
5.000% due 06/20/2028 - 07/20/2037		3,570	3,654
5.375% due 05/20/2017 - 05/20/2030		32,470	33,508
5.500% due 05/15/2021 - 07/01/2039		7,775	8,045
6.000% due 03/15/2013 - 07/01/2039		876,820	915,205
6.000% due 04/15/2038 - 10/15/2038 (k)		175,727	183,353
6.250% due 03/16/2029		625	670
6.500% due 02/15/2011 - 07/15/2040		76,926	82,042
6.500% due 04/15/2036 (k)		20,917	22,251
6.670% due 08/15/2040		907	925
6.750% due 06/20/2028 - 10/16/2040		44,252	46,946
7.000% due 09/15/2009 - 11/15/2032		6,223	6,679
7.250% due 07/16/2028		1	1
7.500% due 12/15/2009 - 03/15/2032		6,868	7,434
7.700% due 03/15/2041		6,479	6,791
7.750% due 08/20/2025 - 12/15/2040		1,558	1,675
8.000% due 10/15/2009 - 10/20/2031		1,049	1,174
8.250% due 04/15/2020		85	92
8.300% due 06/15/2019		18	20
8.500% due 09/15/2009 - 04/15/2031		1,067	1,184
9.000% due 10/15/2009 - 01/15/2031		1,032	1,133
9.250% due 12/20/2016		1	1
9.500% due 10/15/2009 - 07/15/2025		383	420
10.000% due 02/15/2013 - 02/15/2025		359	395
10.250% due 02/20/2019		9	10
10.500% due 12/15/2015 - 09/15/2021		89	100
11.000% due 04/15/2010 - 04/20/2019		9	10
11.500% due 04/15/2013 - 10/15/2015		9	10
12.000% due 11/15/2012 - 05/15/2016		62	68
13.000% due 12/15/2012		1	1
13.500% due 10/15/2012 - 09/15/2014		13	15
15.000% due 08/15/2011 - 09/15/2012		21	25
16.000% due 11/15/2011 - 05/15/2012		13	15
17.000% due 11/15/2011 - 12/15/2011		9	10
Small Business Administration
0.875% due 05/25/2021 - 01/25/2022		160	158
1.000% due 03/25/2025 - 07/25/2025		134	133
1.100% due 01/25/2019 - 11/25/2024		183	181
3.870% due 01/01/2014		1,079	1,104
4.330% due 07/01/2014		182	188
4.340% due 03/01/2024		219	224
4.504% due 02/01/2014		61	63
4.524% due 02/10/2013		7,959	8,154
4.684% due 09/10/2014		5,034	5,148
4.750% due 07/01/2025		1,002	1,043
4.754% due 08/10/2014		39	41
4.770% due 04/01/2024		961	996
4.870% due 12/01/2024		1,855	1,930
4.890% due 12/01/2023		1,194	1,241
4.930% due 01/01/2024		2,545	2,653
4.950% due 03/01/2025		2,161	2,256
4.980% due 11/01/2023		8,662	8,952
5.090% due 10/01/2025		829	863
5.110% due 05/01/2017 - 08/01/2025		2,110	2,202
5.120% due 11/01/2017		194	205
5.130% due 09/01/2023		5,448	5,707
5.136% due 08/10/2013		503	524
5.160% due 02/01/2028		2,546	2,657
5.190% due 01/01/2017 - 07/01/2024		560	590
5.200% due 11/01/2015		343	359
5.230% due 11/01/2016		367	387
5.290% due 12/01/2027		80,530	84,272
5.310% due 05/01/2027		431	457
5.340% due 11/01/2021		5,960	6,259
5.370% due 09/01/2016		353	374
5.490% due 05/01/2028		28,228	29,986
5.680% due 06/01/2028		28,213	30,469
5.725% due 09/01/2018		50,000	51,485
5.780% due 08/01/2027		91	96
5.902% due 02/10/2018		560	608
6.030% due 02/01/2012		4,459	4,665
6.340% due 03/01/2021		10,743	11,512
6.344% due 08/01/2011		337	353
6.640% due 02/01/2011		941	988
6.700% due 12/01/2016		2,498	2,706
6.900% due 12/01/2020		3,085	3,339
6.950% due 11/01/2016		610	648
7.060% due 11/01/2019		502	542
7.150% due 03/01/2017		1,183	1,287
7.190% due 12/01/2019		100	109
7.220% due 11/01/2020		729	793
7.449% due 08/01/2010		5,630	5,825
7.500% due 04/01/2017		676	740
7.540% due 08/10/2009		2,755	2,775
7.630% due 06/01/2020		4,875	5,331
7.700% due 07/01/2016		82	90
8.017% due 02/10/2010		4,894	5,060
Tennessee Valley Authority
4.250% due 03/15/2013		180	178
6.790% due 05/23/2012		3,000	3,389
U.S. Department of Housing and Urban Development
3.820% due 08/01/2009		2,400	2,407
Vendee Mortgage Trust
0.446% due 06/15/2023 (b)		20,704	190
6.500% due 09/15/2024		14,930	15,483
6.809% due 01/15/2030		2,040	2,173
Total U.S. Government Agencies (Cost $120,730,298)			123,752,883
U.S. TREASURY OBLIGATIONS 2.3%
Treasury Inflation Protected Securities (g)
1.625% due 01/15/2015		124,661	124,038
1.625% due 01/15/2018		295	292
1.750% due 01/15/2028		170,885	161,273
1.875% due 07/15/2013		320,152	328,256
1.875% due 07/15/2015		202,056	204,203
2.000% due 04/15/2012		7,277	7,488
2.000% due 01/15/2014		38,865	39,740
2.000% due 07/15/2014		403,494	412,825
2.000% due 01/15/2016		241,815	245,367
2.000% due 01/15/2026		7,311	7,153
2.125% due 01/15/2019 (l)		993,120	1,024,776
2.375% due 01/15/2017		2,328	2,427
2.375% due 01/15/2025		9,979	10,247
2.375% due 01/15/2027		3,174	3,283
2.500% due 07/15/2016		8,299	8,707
2.500% due 01/15/2029		591,780	627,842
2.625% due 07/15/2017 (i)		301,148	320,629
3.000% due 07/15/2012		200,907	212,898
3.375% due 01/15/2012		1,202	1,278
3.500% due 01/15/2011		1,103	1,152
3.875% due 04/15/2029		10,124	12,813
U.S. Treasury Bonds
3.500% due 02/15/2039		879	759
5.375% due 02/15/2031		8,800	10,093
U.S. Treasury Notes
0.875% due 04/30/2011 (m)		4,906	4,893
0.875% due 05/31/2011		464	463
1.750% due 01/31/2014		250	243
2.250% due 05/31/2014		536	529
2.750% due 02/15/2019		1,300	1,218
3.125% due 05/15/2019		1,619	1,566
3.250% due 05/31/2016		949	953
Total U.S. Treasury Obligations (Cost $3,644,403)			3,777,404
MORTGAGE-BACKED SECURITIES 3.3%
ABN AMRO Mortgage Corp.
5.500% due 01/25/2034		100	98
Adjustable Rate Mortgage Trust
5.383% due 11/25/2035		1,648	1,131
5.409% due 01/25/2036		2,941	2,275
American Home Mortgage Assets
0.504% due 05/25/2046		51,970	19,184
0.504% due 09/25/2046		20,882	8,793
0.524% due 10/25/2046		32,499	10,597
2.040% due 02/25/2047		22,836	7,513
2.260% due 11/25/2046		109,895	50,406
American Home Mortgage Investment Trust
4.290% due 10/25/2034		1,395	991
4.390% due 02/25/2045		77,474	61,064
4.440% due 02/25/2045		35	26
4.985% due 09/25/2035		600	350
5.660% due 09/25/2045		8,807	5,399
Banc of America Commercial Mortgage, Inc.
3.878% due 09/11/2036		3,023	3,011
4.342% due 03/11/2041		932	924
4.772% due 07/11/2043		43,728	44,550
4.811% due 12/10/2042		10	9
4.877% due 07/10/2042		460	402
5.381% due 01/15/2049		517	470
5.414% due 09/10/2047		15,000	12,002
5.421% due 04/10/2049		150	152
5.492% due 02/10/2051		35,000	24,666
5.611% due 05/10/2045		143	145
5.634% due 07/10/2046		2,080	1,647
5.837% due 06/10/2049		14,050	9,983
5.867% due 04/10/2049		5,349	4,066
5.929% due 05/10/2045		29,000	24,267
5.935% due 02/10/2051		600	486
6.354% due 02/10/2051		70	55
9.073% due 10/11/2037		94	116
Banc of America Funding Corp.
0.605% due 05/20/2035		2,478	1,147
3.781% due 05/25/2035		139,197	118,386
4.425% due 03/20/2035		4,556	2,882
4.429% due 11/20/2034		2,520	1,741
4.585% due 02/20/2036		1,649	1,254
5.001% due 09/20/2034		2,649	2,370
5.250% due 09/20/2034		200	188
5.357% due 11/20/2035		1,977	1,208
5.745% due 03/20/2036		3,656	2,138
5.753% due 10/25/2036		2,400	1,505
5.837% due 01/25/2037		1,900	946
5.888% due 04/25/2037		4,600	2,881
5.890% due 03/20/2036		1,023	624
5.967% due 10/20/2046		9,861	5,075
6.102% due 01/20/2047		455	243
Banc of America Mortgage Securities, Inc.
0.764% due 12/25/2033		899	883
3.919% due 05/25/2033		664	551
3.994% due 07/25/2033		534	464
4.185% due 07/25/2034		602	483
4.765% due 07/20/2032		1,437	1,202
5.433% due 02/25/2036		5,891	3,950
5.500% due 11/25/2033		112	112
6.500% due 10/25/2031		241	237
6.500% due 09/25/2033		11,685	11,056
BCAP LLC Trust
0.484% due 01/25/2037		112,714	43,065
Bear Stearns Adjustable Rate Mortgage Trust
2.900% due 03/25/2035		10,360	8,965
3.788% due 08/25/2033		106	96
3.859% due 11/25/2030		6,869	6,255
4.179% due 07/25/2034		483	385
4.248% due 05/25/2034		139	109
4.374% due 11/25/2034		249	214
4.447% due 05/25/2034		41	31
4.471% due 05/25/2033		1,893	1,737
4.532% due 08/25/2033		295	259
4.550% due 08/25/2035		579	512
4.654% due 10/25/2033		62	55
4.740% due 10/25/2035		86,814	83,391
4.808% due 11/25/2034		1,691	1,402
4.828% due 01/25/2035		576	485
5.021% due 04/25/2033		446	399
5.049% due 09/25/2034		244	179
5.063% due 11/25/2034		5,137	4,315
5.088% due 02/25/2033		71	64
5.106% due 01/25/2034		2,586	1,988
5.287% due 04/25/2033		4,583	4,568
5.409% due 01/25/2034		14	11
5.423% due 04/25/2033		489	444
5.426% due 04/25/2033		13,329	12,354
5.457% due 05/25/2047		53,860	31,429
5.583% due 01/25/2034		23	21
5.609% due 02/25/2033		10,031	9,334
5.733% due 02/25/2036		6,459	3,805
Bear Stearns Alt-A Trust
0.474% due 02/25/2034		6,781	3,849
0.514% due 02/25/2034		97	27
0.534% due 04/25/2035		4,300	2,073
0.534% due 12/25/2046		433	43
4.128% due 12/25/2033		1,650	1,299
4.981% due 01/25/2035		6,293	3,532
5.078% due 02/25/2034		8,824	7,219
5.208% due 03/25/2035		36	19
5.297% due 09/25/2034		374	243
5.303% due 08/25/2036		9,100	3,457
5.362% due 05/25/2035		160,158	103,821
5.490% due 09/25/2035		76,539	41,590
5.731% due 02/25/2036		3,056	1,354
5.738% due 01/25/2036		33,063	16,549
5.746% due 03/25/2036		3,748	1,664
5.841% due 11/25/2036		947	461
6.250% due 08/25/2036		190	90
Bear Stearns Commercial Mortgage Securities
0.429% due 03/15/2019		503	433
3.970% due 11/11/2035		270	269
4.980% due 02/11/2041		400	389
5.060% due 11/15/2016		2,528	2,553
5.116% due 02/11/2041		900	775
5.201% due 12/11/2038		2,100	1,750
5.299% due 10/12/2042		25,000	21,570
5.331% due 02/11/2044		21,525	17,478
5.405% due 12/11/2040		19,685	17,561
5.471% due 01/12/2045		30,000	24,998
5.593% due 06/11/2040		4,300	4,348
5.610% due 11/15/2033		1,770	1,789
5.623% due 03/11/2039		13,650	11,755
5.694% due 06/11/2050		22,410	18,413
5.700% due 06/11/2050		36,100	28,776
5.703% due 06/11/2050		1,300	1,163
5.878% due 09/11/2038		518	491
5.909% due 06/11/2040		43,766	36,036
6.440% due 06/16/2030		388	388
6.480% due 02/15/2035		250	254
7.000% due 05/20/2030		28,238	28,051
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		216	167
Bear Stearns Mortgage Securities, Inc.
4.276% due 06/25/2030		141	134
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		6,632	3,665
5.714% due 12/26/2046		6,947	4,232
CC Mortgage Funding Corp.
0.494% due 05/25/2036		4,846	3,842
Chase Manhattan Bank-First Union National Bank
7.439% due 08/15/2031		1,520	1,517
Chase Mortgage Finance Corp.
5.426% due 03/25/2037		21,434	13,153
6.000% due 09/25/2036		275	134
Chaseflex Trust
5.500% due 06/25/2035		50	43
Citicorp Mortgage Securities, Inc.
5.250% due 12/25/2033		250	226
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		5	4
5.622% due 12/10/2049		73	74
5.888% due 12/10/2049		600	434
6.299% due 12/10/2049		21,000	17,226
Citigroup Mortgage Loan Trust, Inc.
0.379% due 01/25/2037		1,922	1,603
1.114% due 08/25/2035		4,182	2,675
4.098% due 08/25/2035		15,867	11,526
4.248% due 08/25/2035		85,654	68,211
4.669% due 08/25/2035		103,532	76,582
4.700% due 12/25/2035		55,549	44,879
4.735% due 12/25/2035		5,420	3,020
4.748% due 08/25/2035		3,005	2,392
4.900% due 10/25/2035		23	17
5.672% due 07/25/2046		15,717	8,394
5.994% due 09/25/2037		102,872	55,780
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		50,225	37,202
5.617% due 10/15/2048		1,000	817
5.886% due 11/15/2044		200	160
CitiMortgage Alternative Loan Trust
6.000% due 06/25/2037		4,582	2,952
Collateralized Mortgage Obligation Trust
8.000% due 09/20/2021		462	461
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		145	154
Commercial Mortgage Pass-Through Certificates
0.539% due 02/05/2019		500	359
0.818% due 02/16/2034		16,807	14,964
0.818% due 07/16/2034		1,090	907
5.306% due 12/10/2046		137,853	100,900
Countrywide Alternative Loan Trust
0.395% due 09/20/2046		16	16
0.465% due 05/20/2046		1,668	1,406
0.484% due 01/25/2037		4,100	1,598
0.494% due 05/25/2047		6,010	2,259
0.504% due 09/25/2046		45,396	17,360
0.510% due 12/20/2046		120,749	48,488
0.514% due 05/25/2036		3,602	1,428
0.524% due 05/25/2035		405	183
0.524% due 07/25/2046		8,515	3,652
0.525% due 07/20/2046		53,544	20,695
0.564% due 09/25/2046		1,000	82
0.564% due 10/25/2046		608	145
0.574% due 07/25/2046		800	68
0.584% due 05/25/2036		622	90
0.594% due 02/25/2037		5,906	2,691
0.664% due 09/25/2035		3,684	1,680
0.664% due 05/25/2037		442	176
2.340% due 12/25/2035		1,127	511
2.340% due 02/25/2036		1,220	562
2.440% due 08/25/2035		649	252
2.840% due 11/25/2035		3,130	1,382
3.380% due 11/25/2035		40	18
4.500% due 06/25/2035		152	148
5.000% due 08/25/2019		1,188	1,065
5.250% due 06/25/2035		2,965	2,368
5.306% due 10/25/2035		1,545	1,057
5.750% due 03/25/2037		3,000	1,377
5.886% due 02/25/2037		46,997	27,715
5.889% due 11/25/2035		3,583	2,011
6.000% due 10/25/2032		3,227	2,796
6.000% due 12/25/2033		30	25
6.000% due 02/25/2034		29	27
6.000% due 01/25/2037		18,456	10,086
6.000% due 02/25/2037		2,649	1,607
6.133% due 08/25/2036		657	567
6.250% due 12/25/2033		25	22
6.250% due 11/25/2036		3,078	2,117
6.250% due 08/25/2037		8,444	4,542
6.500% due 05/25/2036		10,345	5,335
Countrywide Home Loan Mortgage Pass-Through Trust
0.544% due 05/25/2035		19,248	8,585
0.604% due 04/25/2035		23,321	10,496
0.634% due 03/25/2035		492	213
0.644% due 02/25/2035		1,728	905
0.654% due 02/25/2035		23	12
0.654% due 06/25/2035		8,128	5,907
0.654% due 03/25/2036		1,050	194
0.664% due 02/25/2036		569	103
0.694% due 09/25/2034		45	23
0.714% due 08/25/2018		3,571	3,448
3.750% due 07/19/2031		27	28
3.951% due 07/25/2034		7,210	6,490
4.122% due 11/19/2033		1,396	1,245
4.711% due 02/20/2035		2,580	2,054
4.786% due 11/25/2034		3,011	2,288
4.789% due 04/20/2035		29	25
5.250% due 01/20/2035		1,800	1,433
5.250% due 02/20/2036		50,212	34,126
5.309% due 10/19/2032		8	2
5.364% due 10/20/2035		3,902	1,882
5.373% due 02/25/2047		3,295	1,690
5.500% due 11/25/2035		15,897	6,320
5.550% due 04/20/2036		3,113	2,066
5.575% due 02/20/2036		927	487
5.575% due 03/25/2037		3,145	1,472
5.752% due 05/20/2036		5,852	2,969
6.069% due 09/25/2047		10,425	6,138
6.500% due 01/25/2034		562	408
7.500% due 06/25/2035		554	607
Credit Suisse Mortgage Capital Certificates
5.383% due 02/15/2040		4,200	2,838
5.467% due 09/15/2039		37,300	26,214
5.579% due 04/25/2037		2,100	955
5.695% due 09/15/2040		19,765	13,629
5.846% due 03/15/2039		14,987	10,757
5.863% due 02/25/2037		4,600	2,045
CS First Boston Mortgage Securities Corp.
1.135% due 03/25/2032		878	665
3.044% due 05/25/2032		44	41
3.844% due 07/25/2033		46	41
4.059% due 04/25/2034		41,658	36,767
4.106% due 12/15/2035		8,418	8,380
4.151% due 06/25/2032		43	36
4.214% due 08/25/2033		186	163
4.485% due 11/15/2036		3,347	3,346
4.495% due 05/25/2032		163	143
5.329% due 06/25/2032		15	12
5.435% due 09/15/2034		8,898	9,052
6.500% due 04/25/2033		2,146	2,008
7.170% due 05/17/2040		1,523	1,512
7.290% due 09/15/2041		235	236
7.500% due 12/25/2032		5	5
CSAB Mortgage-Backed Trust
5.684% due 12/25/2036		3,500	1,963
5.720% due 09/25/2036		4,000	2,548
6.172% due 06/25/2036		4,985	2,658
CW Capital Cobalt Ltd.
5.484% due 04/15/2047		4,100	2,709
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 12/25/2036		9,246	9,064
0.384% due 01/25/2047		58	53
0.394% due 03/25/2037		592	581
0.404% due 08/25/2037		12,063	10,463
0.414% due 10/25/2036		70	60
0.464% due 02/25/2047		19,064	7,182
5.050% due 09/25/2035		20	19
5.500% due 12/25/2035		4,100	2,321
5.590% due 10/25/2035		2,778	1,437
5.869% due 10/25/2036		3,800	2,056
5.886% due 10/25/2036		3,800	2,058
6.005% due 10/25/2036		5,023	3,455
6.300% due 07/25/2036		4,200	2,104
DLJ Mortgage Acceptance Corp.
6.502% due 08/01/2021 (q)		217	193
8.000% due 03/25/2022		17	17
Downey Savings & Loan Association Mortgage Loan Trust
0.493% due 04/19/2048		2,220	380
3.472% due 07/19/2044		102	56
Drexel Burnham Lambert CMO Trust
9.500% due 11/20/2017		19	20
First Horizon Alternative Mortgage Securities
0.814% due 06/25/2035		22,508	13,413
6.250% due 08/25/2037		2,832	2,137
First Horizon Asset Securities, Inc.
3.170% due 07/25/2033		22	19
5.365% due 08/25/2035		149	114
5.485% due 01/25/2037		270	182
5.500% due 01/25/2035		900	832
First Nationwide Trust
6.750% due 08/21/2031		936	835
First Republic Mortgage Loan Trust
0.569% due 11/15/2030		75	61
0.619% due 08/15/2032		375	319
0.669% due 11/15/2031		198	158
0.794% due 06/25/2030		1,974	1,702
First Union National Bank-Bank of America Commercial Mortgage Trust
6.136% due 03/15/2033		5,507	5,560
First Union National Bank Commercial Mortgage
6.141% due 02/12/2034		190	191
Fund America Investors Corp. II
4.325% due 06/25/2023		233	209
5.881% due 06/25/2023		5	5
GE Capital Commercial Mortgage Corp.
0.654% due 06/10/2048 (b)		4,380	42
4.093% due 01/10/2038		800	796
4.229% due 12/10/2037		17,817	17,869
4.596% due 11/10/2038		102	92
5.513% due 11/10/2045		2,700	2,280
6.496% due 01/15/2033		1,950	1,971
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		600	601
6.957% due 09/15/2035		1,951	2,016
7.455% due 08/16/2033		1,760	1,802
GMAC Mortgage Securities, Inc.
7.430% due 12/01/2021		434	435
8.950% due 08/20/2017		39	43
Government Lease Trust
4.000% due 05/18/2011		39,915	41,265
6.480% due 05/18/2011		5,411	5,620
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		1,444	1,190
0.394% due 01/25/2047		1,577	1,198
0.514% due 10/25/2046		1,000	106
0.514% due 12/25/2046		900	84
0.534% due 06/25/2045		702	299
0.584% due 04/25/2036		775	237
0.584% due 11/25/2045		704	336
0.654% due 10/25/2046		900	42
Greenwich Capital Commercial Funding Corp.
4.799% due 08/10/2042		2,600	2,219
5.444% due 03/10/2039		85,431	68,330
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		3,359	2,882
0.680% due 05/03/2018		100	100
5.560% due 11/10/2039		28,220	23,095
5.993% due 08/10/2045		310,700	235,677
6.044% due 08/15/2018		7,103	7,107
6.615% due 02/14/2016		1,800	1,941
6.624% due 05/03/2018		56,100	60,424
GSMPS Mortgage Loan Trust
7.500% due 06/25/2043		7,120	6,031
GSR Mortgage Loan Trust
0.664% due 01/25/2034		91	69
3.726% due 06/25/2034		67	57
3.949% due 09/25/2035		53,303	40,740
4.344% due 12/25/2034		2,147	1,445
4.469% due 09/25/2035		93,267	78,560
4.535% due 03/25/2033		82	74
5.241% due 11/25/2035		190,706	148,575
5.347% due 11/25/2035		3,266	2,337
5.500% due 03/25/2035		150	124
6.000% due 03/25/2032		110	109
GSRPM Mortgage Loan Trust
1.014% due 01/25/2032		1,568	1,013
Harborview Mortgage Loan Trust
0.458% due 04/19/2038		32,022	12,791
0.463% due 01/25/2047		8,523	3,292
0.493% due 07/19/2046		51,660	21,445
0.503% due 01/19/2038		9,368	4,005
0.505% due 08/21/2036		9,362	3,973
0.513% due 09/19/2046		12,548	5,387
0.533% due 05/19/2035		432	194
0.553% due 03/19/2036		19,081	8,056
0.655% due 06/20/2035		1,928	960
0.663% due 01/19/2035		4,039	1,777
0.683% due 02/19/2034		12	9
1.314% due 11/25/2047		5,227	1,991
3.683% due 06/19/2034		17,165	13,459
4.353% due 05/19/2033		176	150
5.143% due 07/19/2035		1,175	684
5.234% due 07/19/2035		296	181
5.849% due 08/19/2036		8,677	5,247
Homebanc Mortgage Trust
0.494% due 12/25/2036		4,332	1,891
5.797% due 04/25/2037		3,785	2,635
5.866% due 04/25/2037		4,100	1,951
Housing Development (AID Jamaica)
3.104% due 10/01/2018		6,130	6,022
Impac CMB Trust
1.314% due 07/25/2033		1,726	1,274
5.749% due 09/25/2034		653	486
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		813	763
0.404% due 11/25/2036		6,661	4,017
Indymac ARM Trust
3.708% due 01/25/2032		695	468
4.129% due 01/25/2032		218	142
4.798% due 08/25/2031		491	432
Indymac IMSC Mortgage Loan Trust
0.494% due 07/25/2047		18,937	7,269
Indymac INDA Mortgage Loan Trust
5.862% due 08/25/2036		4,100	2,278
Indymac INDB Mortgage Loan Trust
0.614% due 11/25/2035		1,591	605
Indymac Index Mortgage Loan Trust
0.414% due 01/25/2037		7	6
0.504% due 09/25/2046		35,167	13,737
0.514% due 11/25/2046		1,106	168
0.514% due 06/25/2047		19,051	7,914
0.554% due 07/25/2035		5,477	2,413
0.614% due 06/25/2037		3,060	957
1.094% due 05/25/2034		38	20
4.317% due 01/25/2036		15,324	7,362
4.776% due 01/25/2035		374	179
4.976% due 12/25/2034		2,759	2,093
5.000% due 08/25/2035		3,903	2,149
5.099% due 09/25/2035		3,384	2,097
5.268% due 06/25/2035		3,370	2,063
5.275% due 01/25/2036		2,013	1,360
5.302% due 09/25/2035		3,686	1,359
5.369% due 10/25/2035		1,845	1,143
5.479% due 04/25/2037		21,187	9,642
5.752% due 04/25/2037		46,184	23,373
5.800% due 06/25/2036		2,900	1,207
JPMorgan Alternative Loan Trust
5.550% due 10/25/2036		1,045	909
JPMorgan Chase Commercial Mortgage Securities Corp.
0.055% due 01/12/2043 (b)		14,046	10
4.393% due 07/12/2037		38	37
4.575% due 07/15/2042		7,108	6,838
4.824% due 09/12/2037		16,300	15,280
4.851% due 08/15/2042		45	43
5.050% due 12/12/2034		10,000	9,507
5.273% due 02/12/2051		29	29
5.336% due 05/15/2047		198,231	152,513
5.420% due 01/15/2049		67,859	50,142
5.429% due 12/12/2043		500	406
5.440% due 06/12/2047		29,740	22,478
5.794% due 02/12/2051		200	150
5.857% due 10/12/2035		2,020	1,995
5.882% due 02/15/2051		53,040	39,870
5.918% due 02/12/2049		4,250	3,645
5.935% due 02/12/2049		51,543	39,121
6.007% due 06/15/2049		58,410	45,190
JPMorgan Commercial Mortgage Finance Corp.
7.371% due 08/15/2032		790	798
JPMorgan Mortgage Trust
4.381% due 11/25/2033		53	46
4.773% due 07/25/2035		3,640	2,852
4.810% due 02/25/2034		4,761	4,293
4.873% due 04/25/2035		1,963	1,748
4.948% due 02/25/2036		11,628	7,407
5.009% due 07/25/2035		42,649	32,629
5.012% due 02/25/2035		2,856	2,500
5.120% due 10/25/2035		3,723	2,120
5.377% due 08/25/2035		3,700	2,870
5.397% due 11/25/2035		3,128	2,582
5.500% due 10/25/2035		2,482	1,690
5.786% due 04/25/2037		129	98
LB Mortgage Trust
8.444% due 01/20/2017		12,030	11,686
LB-UBS Commercial Mortgage Trust
4.553% due 07/15/2030		58	57
4.563% due 09/15/2026		14,000	13,828
5.424% due 02/15/2040		21,400	15,616
5.430% due 02/15/2040		51,669	37,493
5.866% due 09/15/2045		23,730	18,218
6.133% due 12/15/2030		1,150	1,172
6.365% due 12/15/2028		694	710
6.510% due 12/15/2026		1,449	1,496
6.653% due 11/15/2027		35	36
7.370% due 08/15/2026		266	273
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		768	680
Luminent Mortgage Trust
0.484% due 12/25/2036		25,694	10,104
0.494% due 12/25/2036		12,516	4,507
0.514% due 10/25/2046		9,017	3,718
MASTR Adjustable Rate Mortgages Trust
0.524% due 04/25/2046		16,337	6,702
0.554% due 05/25/2037		3,608	1,538
0.614% due 05/25/2047		1,000	108
3.265% due 10/25/2032		2,798	2,523
3.469% due 11/21/2034		11,700	7,395
3.912% due 05/25/2034		255	200
MASTR Alternative Loans Trust
0.714% due 03/25/2036		15,393	5,537
MASTR Asset Securitization Trust
5.500% due 09/25/2033		3,970	3,782
MASTR Seasoned Securities Trust
6.198% due 09/25/2017		18,401	18,025
6.500% due 08/25/2032		35,495	34,270
Mellon Residential Funding Corp.
0.669% due 11/15/2031		16,362	11,898
0.759% due 12/15/2030		3,764	3,035
0.799% due 06/15/2030		5,705	4,749
1.199% due 11/15/2031		275	195
2.615% due 10/20/2029		10,847	10,194
Merrill Lynch Alternative Note Asset
0.614% due 03/25/2037		6,100	2,128
5.557% due 06/25/2037		4,309	1,987
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		8,700	7,838
5.172% due 12/12/2049		10,415	7,607
5.378% due 08/12/2048		4,000	2,672
5.485% due 03/12/2051		31,860	21,463
5.700% due 09/12/2049		18,165	12,581
5.810% due 06/12/2050		29,150	20,930
6.156% due 08/12/2049		9,600	6,658
Merrill Lynch Floating Trust
0.389% due 06/15/2022		166	117
Merrill Lynch Mortgage-Backed Securities Trust
5.845% due 04/25/2037		21,870	11,754
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		74	40
0.564% due 08/25/2036		2,050	942
3.715% due 08/25/2034		4,742	4,189
4.296% due 05/25/2033		1,565	1,263
4.565% due 02/25/2034		43	36
4.668% due 02/25/2033		49	41
4.865% due 06/25/2035		17,586	12,010
4.910% due 12/25/2032		535	466
4.997% due 05/25/2033		29	28
Merrill Lynch Mortgage Trust
0.328% due 11/12/2035 (b)		3,259	9
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		2,615	1,807
0.644% due 06/25/2028		3,852	2,242
1.314% due 10/25/2035		2,055	1,638
3.145% due 01/25/2029		835	659
4.250% due 10/25/2035		142,070	114,711
4.948% due 04/25/2035		1,843	1,449
Morgan Stanley Capital I
0.380% due 10/15/2020		52,417	38,892
5.332% due 12/15/2043		41,870	31,430
5.364% due 03/15/2044		2,500	1,901
5.447% due 02/12/2044		50	38
5.558% due 03/12/2044		700	569
5.569% due 12/15/2044		26,700	19,559
5.692% due 04/15/2049		3,600	2,635
5.809% due 12/12/2049		81,830	62,579
6.076% due 06/11/2049		24,800	18,748
Morgan Stanley Dean Witter Capital I
4.740% due 11/13/2036		26,500	25,053
5.500% due 04/25/2017		28	28
5.720% due 12/18/2032		11,177	11,195
6.660% due 02/15/2033		6,101	6,194
Morgan Stanley Mortgage Loan Trust
0.624% due 01/25/2035		31	16
5.380% due 06/25/2036		6,192	5,060
5.701% due 02/25/2047		3,400	1,598
6.359% due 06/25/2036		39,437	17,052
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		348	209
5.524% due 02/25/2036		2,097	897
5.820% due 03/25/2047		3,300	1,924
6.138% due 03/25/2047		3,000	1,768
7.000% due 02/19/2030		2,535	2,438
Nomura Asset Securities Corp.
6.590% due 03/15/2030		18	18
Ocwen Residential MBS Corp.
7.000% due 10/25/2040		306	36
Opteum Mortgage Acceptance Corp.
0.404% due 04/25/2036		24	23
0.574% due 07/25/2035		3,261	2,244
Pacific Collateralized Mortgage Obligation Trust
8.000% due 03/20/2018		29	31
Paine Webber CMO Trust
8.625% due 09/01/2018		3	3
1359.500% due 08/01/2019 (b)		0	3
Prime Mortgage Trust
0.714% due 02/25/2019		1,923	1,823
0.714% due 02/25/2034		11,991	9,707
5.000% due 02/25/2019		79	77
Provident Funding Mortgage Loan Trust
3.419% due 10/25/2035		10,839	8,185
4.340% due 04/25/2034		12,505	10,794
Prudential-Bache CMO Trust
8.400% due 03/20/2021		225	225
Prudential Securities Secured Financing Corp.
7.604% due 06/16/2031		1,200	1,192
Regal Trust IV
3.503% due 09/29/2031		1,145	1,034
Resecuritization Mortgage Trust
0.558% due 04/26/2021		1	1
Residential Accredit Loans, Inc.
0.414% due 09/25/2046		10,283	8,078
0.494% due 06/25/2046		166,676	64,254
0.564% due 08/25/2037		13,854	5,511
0.619% due 09/25/2046		500	58
0.644% due 03/25/2037		3,705	1,298
2.049% due 08/25/2035		2,588	1,161
5.667% due 09/25/2035		2,920	1,818
5.880% due 02/25/2036		3,152	1,615
6.000% due 06/25/2036		225	119
Residential Asset Mortgage Products, Inc.
5.000% due 09/25/2034		3,907	3,896
8.500% due 10/25/2031		669	594
Residential Asset Securitization Trust
0.714% due 01/25/2046		34,028	15,599
0.764% due 12/25/2036		1,137	510
5.750% due 02/25/2036		2,710	1,731
6.250% due 10/25/2036		1,700	862
Residential Funding Mortgage Securities I
0.714% due 07/25/2018		470	335
5.202% due 09/25/2035		329	236
5.250% due 03/25/2034		409	408
5.500% due 12/25/2034		900	663
6.500% due 03/25/2032		609	612
Salomon Brothers Mortgage Securities VII, Inc.
0.814% due 05/25/2032		185	168
4.416% due 12/25/2030		129	112
4.865% due 03/18/2036		80	78
5.045% due 03/18/2036		40	36
Santa Barbara Savings & Loan Association
9.500% due 11/20/2018		201	218
Sears Mortgage Securities
12.000% due 02/25/2014		51	51
Securitized Asset Sales, Inc.
4.848% due 11/26/2023		121	110
Sequoia Mortgage Trust
0.515% due 07/20/2036		143	102
0.663% due 10/19/2026		323	245
0.665% due 07/20/2033		684	549
0.975% due 06/20/2033		59	43
4.263% due 04/20/2035		35,454	27,295
5.102% due 01/20/2047		8,175	4,658
Sovereign Commercial Mortgage Securities Trust
5.835% due 07/22/2030		1,200	1,058
Structured Adjustable Rate Mortgage Loan Trust
0.534% due 05/25/2037		442	174
0.554% due 06/25/2035		1,788	1,115
2.610% due 01/25/2035		253	107
4.328% due 03/25/2034		1,989	1,576
4.802% due 02/25/2034		2,362	1,805
5.073% due 08/25/2034		738	524
5.190% due 12/25/2034		345	262
5.199% due 09/25/2034		2,671	2,301
5.246% due 05/25/2036		4,100	1,697
5.376% due 11/25/2035		1,992	1,189
5.411% due 09/25/2036		4,100	2,247
5.450% due 01/25/2036		10,421	6,719
5.611% due 06/25/2035		5,653	3,346
5.950% due 02/25/2036		3,304	1,753
6.000% due 03/25/2036		3,348	1,704
6.000% due 10/25/2037		2,847	1,329
Structured Asset Mortgage Investments, Inc.
0.384% due 08/25/2036		1,481	1,419
0.414% due 09/25/2047		1,301	1,212
0.434% due 08/25/2036		25,208	10,117
0.444% due 03/25/2037		1,162	423
0.484% due 03/25/2037		49	8
0.504% due 06/25/2036		2,007	761
0.504% due 07/25/2046		55,867	23,382
0.524% due 04/25/2036		183	77
0.524% due 08/25/2036		5,341	2,206
0.524% due 05/25/2046		238	96
0.534% due 05/25/2036		72	28
0.534% due 05/25/2046		19,283	7,663
0.534% due 09/25/2047		300	57
0.544% due 05/25/2045		207	93
0.563% due 07/19/2035		428	272
0.574% due 05/25/2046		624	140
0.614% due 08/25/2036		1,100	134
0.624% due 12/25/2035		9,512	4,310
0.643% due 10/19/2034		540	412
0.663% due 03/19/2034		17	11
0.733% due 10/19/2033		983	752
0.893% due 07/19/2034		44	24
0.973% due 09/19/2032		10,775	8,058
4.680% due 05/25/2022		1,681	1,072
5.457% due 04/30/2030		2	1
Structured Asset Securities Corp.
0.364% due 05/25/2036		595	554
3.716% due 01/25/2032		2,212	2,021
4.093% due 07/25/2032		996	760
4.124% due 05/25/2032		284	255
4.395% due 01/25/2034		1,546	1,161
4.504% due 10/25/2035		146	101
4.687% due 02/25/2032		2,139	1,897
5.250% due 12/25/2034		8,195	7,438
5.414% due 03/25/2033		8,674	8,074
8.560% due 04/15/2027		62	54
Structured Mortgage Asset Residential Trust
7.250% due 07/25/2024		38	38
TBW Mortgage-Backed Pass-Through Certificates
0.424% due 01/25/2037		2,250	2,044
5.630% due 01/25/2037		1,600	752
5.970% due 09/25/2036		5,000	2,509
6.014% due 07/25/2037		3,300	1,692
6.080% due 09/25/2036		600	596
6.500% due 07/25/2036		13,405	8,260
Thornburg Mortgage Securities Trust
0.434% due 09/25/2046		21,073	19,343
0.439% due 06/25/2037		1,960	1,746
4.531% due 10/25/2043		1,707	1,433
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028		4,000	3,880
6.800% due 01/25/2028		692	691
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		150	110
0.409% due 09/15/2021		4,848	3,494
0.494% due 06/15/2049		184,300	96,875
5.215% due 01/15/2041		450	396
5.308% due 11/15/2048		41,775	32,023
5.342% due 12/15/2043		194,250	128,319
5.416% due 01/15/2045		4,100	3,236
5.509% due 04/15/2047		58,608	39,046
5.678% due 05/15/2046		60	49
5.891% due 05/15/2043		50	46
5.926% due 05/15/2043		655	537
Wachovia Mortgage Loan Trust LLC
5.453% due 10/20/2035		2,112	1,566
WaMu Mortgage Pass-Through Certificates
0.534% due 07/25/2046		778	204
0.544% due 04/25/2045		629	323
0.574% due 11/25/2045		5,612	2,723
0.584% due 12/25/2045		64	30
0.604% due 10/25/2045		40,367	21,174
0.624% due 01/25/2045		26	12
0.634% due 01/25/2045		689	347
0.682% due 11/25/2034		1,565	808
0.694% due 11/25/2045		4,591	3,641
0.724% due 11/25/2045		800	196
0.724% due 12/25/2045		800	188
0.802% due 11/25/2034		1,614	544
0.854% due 12/25/2027		2,397	1,793
0.954% due 12/25/2027		24,270	18,752
2.080% due 01/25/2047		24,537	8,590
2.100% due 04/25/2047		36,483	15,247
2.139% due 02/25/2047		60,637	24,451
2.139% due 03/25/2047		53,891	22,007
2.150% due 07/25/2047		1,338	501
2.160% due 12/25/2046		22,600	7,741
2.320% due 06/25/2046		45,975	20,967
2.340% due 02/25/2046		143	64
2.540% due 11/25/2042		252	145
2.674% due 05/25/2041		34	28
2.740% due 06/25/2042		1,843	1,340
2.740% due 08/25/2042		227	144
2.840% due 11/25/2046		2,338	1,531
2.877% due 02/27/2034		1,235	1,012
2.880% due 05/25/2046		3,236	1,165
2.909% due 06/25/2033		11,941	9,336
3.127% due 09/25/2046		67	29
3.127% due 10/25/2046		32,911	14,768
3.127% due 12/25/2046		5,784	2,460
3.711% due 03/25/2034		659	553
3.766% due 03/25/2033		69	56
3.997% due 08/25/2034		173	151
4.677% due 05/25/2035		536	384
4.830% due 09/25/2035		575	376
5.293% due 01/25/2037		16,810	9,831
5.394% due 02/25/2037		61,827	36,705
5.468% due 04/25/2037		11,843	7,102
5.575% due 12/25/2036		10,686	6,889
5.581% due 12/25/2036		36,182	22,322
5.632% due 05/25/2037		26,268	16,996
5.687% due 02/25/2037		32,158	17,991
5.833% due 02/25/2037		42,263	26,497
5.928% due 09/25/2036		17,957	11,574
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.310% due 05/25/2046		11,871	5,044
6.268% due 07/25/2036		2,400	1,114
Washington Mutual MSC Mortgage Pass-Through Certificates
4.087% due 06/25/2033		10,507	9,019
4.104% due 01/25/2035		1,277	893
4.541% due 05/25/2033		339	226
4.773% due 02/25/2031		64	53
5.380% due 02/25/2033		78	65
6.500% due 06/25/2032		18	18
Wells Fargo Mortgage-Backed Securities Trust
0.814% due 07/25/2037		8,937	5,420
3.581% due 09/25/2034		28,281	24,615
3.585% due 12/25/2034		4,220	3,892
4.076% due 10/25/2035		909	785
4.121% due 07/25/2035		49,749	33,070
4.301% due 05/25/2035		11,955	9,925
4.406% due 03/25/2036		6,376	4,180
4.500% due 11/25/2018		104	101
4.603% due 01/25/2034		7,323	6,742
4.612% due 06/25/2035		8,670	7,616
4.694% due 04/25/2036		135	109
4.697% due 12/25/2033		937	839
4.722% due 07/25/2034		241	216
4.947% due 01/25/2035		66	55
4.950% due 03/25/2036		211,914	149,945
5.775% due 04/25/2036		1,882	494
Total Mortgage-Backed Securities (Cost $6,851,961)			5,386,785
ASSET-BACKED SECURITIES 1.6%
Access Group, Inc.
2.392% due 10/27/2025		10,645	10,733
Accredited Mortgage Loan Trust
0.364% due 02/25/2037		4,428	4,074
ACE Securities Corp.
0.364% due 12/25/2036		156	115
0.374% due 10/25/2036		92	60
0.394% due 10/25/2036		12	12
AFC Home Equity Loan Trust
1.024% due 12/22/2027		15	8
American Express Credit Account Master Trust
0.819% due 02/15/2012		4	4
1.269% due 08/15/2012		130,700	131,022
AmeriCredit Automobile Receivables Trust
3.430% due 07/06/2011		28	28
Ameriquest Mortgage Securities, Inc.
0.544% due 11/25/2035		577	452
0.744% due 10/25/2033		61	46
Amortizing Residential Collateral Trust
0.584% due 06/25/2032		268	125
0.604% due 07/25/2032		66	35
Argent Securities, Inc.
0.364% due 10/25/2036		319	314
0.514% due 10/25/2035		4,396	3,642
Asset-Backed Funding Certificates
0.374% due 10/25/2036		368	362
0.374% due 11/25/2036		180	172
0.374% due 01/25/2037		206	170
0.664% due 06/25/2034		1,681	826
Asset-Backed Securities Corp. Home Equity
0.394% due 05/25/2037		6,698	5,339
0.474% due 06/25/2035		1,254	1,227
0.589% due 09/25/2034		130	84
BA Credit Card Trust
0.329% due 02/15/2013		100	99
0.349% due 11/15/2013		19,860	19,381
0.539% due 04/16/2012		955	953
0.899% due 04/15/2013		49,610	49,238
1.519% due 12/16/2013		1,500	1,497
Bank One Issuance Trust
0.569% due 05/16/2016		500	474
Bay View Auto Trust
5.010% due 06/25/2014		22	22
Bear Stearns Asset-Backed Securities Trust
0.354% due 02/25/2037		4,742	4,041
0.364% due 11/25/2036		1,511	1,332
0.374% due 01/25/2037		777	630
0.384% due 12/25/2036		7,251	6,158
0.394% due 10/25/2036		155	137
0.404% due 06/25/2047		44	33
0.464% due 01/25/2037		20,846	15,733
0.504% due 01/25/2047		394	286
0.714% due 10/27/2032		2,474	1,693
0.764% due 03/25/2043		96	87
0.814% due 11/25/2042		812	609
0.954% due 12/25/2034		9	5
0.974% due 10/25/2032		6,370	3,928
4.786% due 06/25/2043		2,293	1,861
4.939% due 10/25/2036		401	225
5.062% due 07/25/2036		406	211
BNC Mortgage Loan Trust
0.414% due 05/25/2037		1,345	1,014
Bravo Mortgage Asset Trust
0.444% due 07/25/2036		103	101
Brazos Student Finance Corp.
1.110% due 06/01/2023		1,053	1,046
Capital Auto Receivables Asset Trust
1.769% due 10/15/2012		42,200	41,923
Carrington Mortgage Loan Trust
0.364% due 08/25/2036		232	229
0.364% due 10/25/2036		821	769
0.364% due 01/25/2037		301	250
0.414% due 06/25/2037		1,944	1,548
0.634% due 10/25/2035		2,240	1,739
Cendant Mortgage Corp.
5.986% due 07/25/2043		940	940
Centex Home Equity
0.414% due 06/25/2036		1,939	1,870
Chase Funding Mortgage Loan Asset-Backed Certificates
0.814% due 03/25/2032		1	1
0.954% due 08/25/2032		1,521	1,101
1.054% due 10/25/2032		87	66
4.499% due 11/25/2034		51	45
Chase Issuance Trust
0.319% due 04/16/2012		800	795
0.359% due 10/15/2012		600	594
0.359% due 04/15/2013		1,800	1,768
4.230% due 01/15/2013		190	194
4.550% due 03/15/2013		10	10
5.120% due 10/15/2014		100	104
CIT Group Home Equity Loan Trust
0.584% due 06/25/2033		7	5
Citibank Credit Card Issuance Trust
0.599% due 03/22/2012		589	586
4.850% due 04/22/2015		125	128
Citigroup Mortgage Loan Trust, Inc.
0.354% due 09/25/2036		44	44
0.354% due 12/25/2036		83	65
0.374% due 01/25/2037		32	32
0.374% due 05/25/2037		13,742	11,062
0.374% due 07/25/2045		10,589	7,447
0.384% due 12/25/2036		536	503
0.384% due 05/25/2037 (q)		19,477	12,513
0.414% due 10/25/2036		4,337	4,070
5.764% due 01/25/2037		2,600	1,275
Community Program Loan Trust
4.500% due 10/01/2018		4,947	4,948
4.500% due 04/01/2029		26,000	23,145
Conseco Finance
0.769% due 05/15/2032		145	86
Conseco Finance Securitizations Corp.
6.681% due 12/01/2033		244	209
Conseco Financial Corp.
6.240% due 12/01/2028		119	104
6.870% due 04/01/2030		731	609
7.140% due 01/15/2029		75	68
Countrywide Asset-Backed Certificates
0.364% due 03/25/2037		5,811	5,722
0.364% due 05/25/2037		10,133	9,592
0.364% due 07/25/2037		1,835	1,696
0.364% due 08/25/2037		36,267	32,445
0.364% due 12/25/2046		383	375
0.364% due 03/25/2047		858	834
0.364% due 05/25/2047		345	315
0.364% due 06/25/2047		3,886	3,607
0.374% due 03/25/2037		2	2
0.384% due 06/25/2047		451	418
0.394% due 06/25/2037		12,151	11,239
0.394% due 10/25/2047		1,136	998
0.404% due 06/25/2037		1,088	886
0.424% due 10/25/2046		2,288	2,154
0.474% due 02/25/2036		2,601	2,463
0.494% due 09/25/2036		7,936	5,621
0.654% due 12/25/2036		112	66
0.794% due 12/25/2031		3	1
1.054% due 05/25/2032		15	6
Credit-Based Asset Servicing & Securitization LLC
0.374% due 11/25/2036		1,610	1,316
0.384% due 01/25/2037		79	38
0.434% due 07/25/2037		2,129	1,574
1.414% due 04/25/2032		498	286
4.831% due 08/25/2035		197	164
6.280% due 05/25/2035		2,200	1,338
CS First Boston Mortgage Securities Corp.
0.564% due 01/25/2043		6	6
0.934% due 01/25/2032		707	464
1.014% due 07/25/2032		52	20
1.054% due 08/25/2032		1,556	569
Daimler Chrysler Auto Trust
1.798% due 09/10/2012		6,140	6,116
5.000% due 02/08/2012		50	51
Delta Funding Home Equity Loan Trust
1.139% due 09/15/2029		210	75
Denver Arena Trust
6.940% due 11/15/2019		2,995	2,644
Discover Card Master Trust I
0.694% due 10/16/2013		400	392
Equity One Asset-Backed Securities, Inc.
0.874% due 11/25/2032		153	87
Equivantage Home Equity Loan Trust
7.300% due 10/25/2025		1	1
First Alliance Mortgage Loan Trust
1.075% due 03/20/2031		965	763
First Franklin Mortgage Loan Asset-Backed Certificates
0.354% due 01/25/2038		697	642
0.364% due 10/25/2036		6,386	6,013
0.364% due 11/25/2036		3,268	3,079
0.364% due 12/25/2036		3	3
0.364% due 03/25/2037		3,576	3,317
0.384% due 12/25/2036		4,647	4,108
0.384% due 12/25/2037		833	788
0.404% due 07/25/2036		22,916	20,876
0.684% due 12/25/2034		592	473
First NLC Trust
0.384% due 08/25/2037		3,096	1,936
FMAC Loan Receivables Trust
6.500% due 09/15/2020		15	8
7.900% due 04/15/2019		20	15
Ford Credit Auto Owner Trust
4.950% due 03/15/2013		25	26
5.150% due 11/15/2011		100	103
Franklin Auto Trust
1.895% due 06/20/2012		28,900	28,962
Fremont Home Loan Trust
0.364% due 10/25/2036		5,411	3,383
0.374% due 01/25/2037		790	512
0.424% due 02/25/2036		463	429
GE-WMC Mortgage Securities LLC
0.354% due 08/25/2036		66	49
Greenpoint Manufactured Housing
7.270% due 06/15/2029		110	48
GSAA Trust
0.614% due 03/25/2037		6,200	2,044
0.614% due 05/25/2047		1,000	349
GSAMP Trust
0.354% due 10/25/2046		422	400
0.384% due 09/25/2036		588	563
0.384% due 12/25/2036		1,335	708
0.404% due 11/25/2035		787	168
0.604% due 03/25/2034		297	294
1.164% due 02/25/2047		144,440	90,587
HFC Home Equity Loan Asset-Backed Certificates
0.385% due 03/20/2036		2,258	2,200
0.465% due 03/20/2036		9,915	6,944
0.585% due 01/20/2035		966	601
0.605% due 01/20/2034		14,489	10,039
0.665% due 09/20/2033		699	523
Home Equity Asset Trust
0.374% due 05/25/2037		12,875	11,380
0.914% due 11/25/2032		154	64
HSBC Asset Loan Obligation
0.374% due 12/25/2036		1,246	1,100
HSI Asset Securitization Corp. Trust
0.364% due 10/25/2036		3,306	1,950
0.364% due 12/25/2036		28,205	17,135
0.374% due 05/25/2037		163	116
IMC Home Equity Loan Trust
5.650% due 07/25/2026		68	68
7.310% due 11/20/2028		33	29
7.500% due 04/25/2026		32	32
7.520% due 08/20/2028		29	25
Indymac Residential Asset-Backed Trust
0.364% due 11/25/2036		76	76
0.374% due 04/25/2037		575	546
0.394% due 07/25/2037		690	626
JPMorgan Mortgage Acquisition Corp.
0.364% due 07/25/2036		3,466	3,285
0.364% due 08/25/2036		51	47
0.364% due 10/25/2036		4,824	3,749
0.364% due 05/25/2037		2,141	1,858
0.374% due 05/25/2037		11,981	9,783
0.374% due 03/25/2047		4,854	3,494
0.394% due 08/25/2036		3,335	3,075
0.394% due 03/25/2037		127	101
0.404% due 10/25/2036		349	302
LA Arena Funding LLC
7.656% due 12/15/2026		241	226
Lehman ABS Mortgage Loan Trust
0.404% due 06/25/2037		10,973	6,994
Lehman XS Trust
0.384% due 05/25/2046		6	6
0.394% due 11/25/2046		171	143
Long Beach Mortgage Loan Trust
0.354% due 11/25/2036		859	797
0.374% due 10/25/2036		58	55
0.494% due 08/25/2035		138	134
0.594% due 10/25/2034		4,939	3,161
Massachusetts Educational Financing Authority
2.042% due 04/25/2038		4,236	4,188
MASTR Asset-Backed Securities Trust
0.364% due 01/25/2037		191	52
0.374% due 11/25/2036		979	908
0.394% due 05/25/2037		146	118
0.424% due 02/25/2036		61	59
MBNA Credit Card Master Note Trust
0.359% due 11/15/2012		200	198
0.359% due 05/15/2013		22,447	22,080
0.419% due 12/15/2011		635	635
4.100% due 10/15/2012		70	71
Merrill Lynch First Franklin Mortgage Loan Trust
0.374% due 07/25/2037		5,132	4,061
Merrill Lynch Mortgage Investors, Inc.
0.364% due 05/25/2037		55	54
0.384% due 08/25/2036		2,340	2,326
0.384% due 07/25/2037		7,316	6,839
0.434% due 02/25/2037		4,261	2,239
Mesa Trust Asset-Backed Certificates
0.714% due 12/25/2031		1,812	1,487
Mid-State Trust
6.340% due 10/15/2036		20,247	13,076
7.340% due 07/01/2035		1,216	946
7.791% due 03/15/2038		3,322	2,344
8.330% due 04/01/2030		16,047	12,905
Morgan Stanley ABS Capital I
0.354% due 10/25/2036		63	59
0.364% due 07/25/2036		829	501
0.364% due 09/25/2036		3,389	3,245
0.364% due 10/25/2036		78	73
0.364% due 11/25/2036		1,776	1,677
0.374% due 05/25/2037		1,151	739
0.414% due 09/25/2036		200	149
0.414% due 11/25/2036		5,000	3,090
1.114% due 07/25/2037		22,977	16,470
Morgan Stanley Home Equity Loan Trust
0.364% due 12/25/2036		11,714	10,479
Morgan Stanley IXIS Real Estate Capital Trust
0.364% due 11/25/2036		166	158
0.424% due 11/25/2036		200	67
Morgan Stanley Mortgage Loan Trust
0.384% due 01/25/2047		117	101
0.544% due 02/25/2037		1,700	416
0.674% due 04/25/2037		7,800	2,844
5.726% due 10/25/2036		2,800	1,941
5.750% due 11/25/2036		3,147	1,418
5.750% due 04/25/2037		2,706	1,793
6.000% due 07/25/2047		2,890	1,922
MPC Natural Gas Funding Trust
6.200% due 03/15/2013		3,044	3,163
Nationstar Home Equity Loan Trust
0.374% due 03/25/2037		7,018	6,514
0.434% due 04/25/2037		1,558	1,385
Nelnet Student Loan Trust
0.609% due 12/24/2018		33	33
1.622% due 04/27/2015		219	219
1.792% due 07/25/2018		10,000	9,881
2.022% due 10/25/2019		5,000	4,867
New Century Home Equity Loan Trust
0.574% due 06/25/2035		810	407
0.584% due 09/25/2035		23,822	19,857
Nissan Auto Receivables Owner Trust
4.280% due 06/16/2014		50	51
Nomura Asset Acceptance Corp.
0.454% due 01/25/2036		909	798
Option One Mortgage Loan Trust
0.354% due 02/25/2037		168	166
0.364% due 01/25/2037		152	144
0.374% due 07/25/2037		91	76
0.404% due 04/25/2037		3,502	3,017
Park Place Securities, Inc.
0.574% due 09/25/2035		247	157
0.626% due 10/25/2034		215	161
Popular ABS Mortgage Pass-Through Trust
0.404% due 01/25/2037		463	404
0.404% due 06/25/2047		26,036	20,430
Renaissance Home Equity Loan Trust
0.674% due 11/25/2034		130	86
0.814% due 12/25/2033		429	205
1.014% due 08/25/2032		104	49
5.565% due 02/25/2036		21	19
Residential Asset Mortgage Products, Inc.
0.394% due 10/25/2036		2	2
0.404% due 10/25/2036		61	61
0.414% due 08/25/2046		688	656
0.714% due 06/25/2047		1,700	623
Residential Asset Securities Corp.
0.384% due 11/25/2036		190	187
0.384% due 02/25/2037		32	29
0.394% due 10/25/2036		1,060	1,050
0.814% due 07/25/2032		7	3
Residential Funding Mortgage Securities II, Inc.
0.414% due 12/25/2035		1,771	1,649
Residential Mortgage Loan Trust
1.875% due 09/25/2029		15	11
SACO I, Inc.
0.374% due 05/25/2036		4,932	2,849
0.524% due 03/25/2036		296	47
0.564% due 12/25/2035		227	47
Salomon Brothers Mortgage Securities VII, Inc.
0.614% due 03/25/2032		677	604
0.874% due 09/25/2028		1,404	867
Saxon Asset Securities Trust
0.374% due 10/25/2046		319	307
0.834% due 08/25/2032		383	337
SBI HELOC Trust
0.484% due 08/25/2036		4	4
Securitized Asset-Backed Receivables LLC Trust
0.354% due 01/25/2037		122	103
0.374% due 12/25/2036		536	301
0.444% due 05/25/2037		2,327	1,452
Security National Mortgage Loan Trust
0.604% due 10/25/2036		6,333	6,044
SLC Student Loan Trust
1.529% due 06/15/2021		3,100	2,891
SLM Student Loan Trust
1.092% due 10/25/2013		27	27
1.092% due 04/25/2017		99	99
1.092% due 07/25/2017		4,800	4,668
1.092% due 01/25/2018		1	1
1.102% due 10/26/2015		6	6
1.182% due 10/25/2022		2,700	2,628
1.202% due 04/25/2017		1,339	1,313
1.422% due 01/25/2022		12,000	10,865
1.492% due 10/27/2014		713	710
1.592% due 10/25/2017		32,200	31,345
1.829% due 12/15/2033		30,800	23,816
1.842% due 01/25/2019		40,000	38,481
2.192% due 10/25/2016		2,000	2,008
2.192% due 07/25/2023		5,000	4,769
2.392% due 01/25/2018		1,490	1,497
2.592% due 04/25/2023		1,293,856	1,321,256
2.792% due 07/25/2023		2,100	2,110
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		3,119	1,681
0.394% due 01/25/2037		816	796
0.394% due 06/25/2037		48	38
South Carolina Student Loan Corp.
1.168% due 09/02/2014		743	734
1.218% due 03/01/2018		2,900	2,803
1.418% due 03/02/2020		700	665
1.668% due 09/03/2024		600	565
Specialty Underwriting & Residential Finance
0.359% due 11/25/2037		93	90
0.374% due 01/25/2038		2,648	2,174
0.414% due 11/25/2037		3,100	1,338
0.994% due 01/25/2034		23	7
Structured Asset Investment Loan Trust
0.364% due 07/25/2036		459	416
1.014% due 04/25/2033		2,194	1,246
Structured Asset Securities Corp.
0.364% due 10/25/2036		312	285
0.394% due 01/25/2037		12,592	11,127
0.414% due 01/25/2037		219	157
0.464% due 05/25/2037		3,189	1,765
0.604% due 01/25/2033		6,726	4,791
0.614% due 06/25/2035		7,422	2,574
0.714% due 05/25/2034		22	17
4.900% due 04/25/2035		27,928	16,554
4.910% due 06/25/2033		93	79
TIAA Retail Commercial Trust
6.680% due 06/19/2031		233	234
Truman Capital Mortgage Loan Trust
0.654% due 01/25/2034		44	43
UPFC Auto Receivables Trust
5.490% due 05/15/2012		15	15
WaMu Asset-Backed Certificates
0.364% due 01/25/2037		11,078	7,927
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		348	343
0.414% due 07/25/2036		5,035	4,921
0.414% due 03/25/2037		218	207
0.554% due 10/25/2035		32	30
0.554% due 11/25/2035		3,085	3,044
0.564% due 12/25/2035		41,925	38,508
WMC Mortgage Loan Pass-Through Certificates
0.999% due 05/15/2030		2,574	2,281
1.219% due 10/15/2029		498	473
Total Asset-Backed Securities (Cost $2,649,785)			2,512,848
SOVEREIGN ISSUES 0.2%
Asian Development Bank
5.820% due 06/16/2028		1,100	1,203
Banque Centrale de Tunisie
7.375% due 04/25/2012		4,220	4,536
Belgium Government International Bond
9.200% due 06/28/2010		900	965
Bolivia Government AID Bond
2.929% due 02/01/2019		4,710	4,506
Brazil Government International Bond
6.000% due 01/17/2017		200	206
Chile Government International Bond
5.500% due 01/15/2013		50	54
China Development Bank Corp.
5.000% due 10/15/2015		29,300	30,334
China Government International Bond
4.750% due 10/29/2013		50	53
Croatia Government International Bond
2.500% due 07/30/2010		129	127
European Investment Bank
4.625% due 05/15/2014		77	82
5.000% due 02/08/2010		171	176
5.125% due 09/13/2016		39	42
Export-Import Bank of China
4.875% due 07/21/2015		28,200	29,389
Export-Import Bank of Korea
1.386% due 10/04/2011		88,600	88,832
8.125% due 01/21/2014		14,000	15,344
Hydro Quebec
1.875% due 09/29/2049		5,600	3,893
Inter-American Development Bank
7.375% due 01/15/2010		350	362
International Bank for Reconstruction & Development
5.000% due 04/01/2016		69	74
Israel Government International Bond
5.500% due 11/09/2016		57	59
Korea Development Bank
4.625% due 09/16/2010		3,570	3,601
4.750% due 07/20/2009		76,300	76,353
Korea Expressway Corp.
5.125% due 05/20/2015		100	93
Malaysia Government International Bond
7.500% due 07/15/2011		100	109
Mexico Government International Bond
5.950% due 03/19/2019 (l)		96,500	97,948
6.750% due 09/27/2034		317	321
7.500% due 04/08/2033		650	717
9.875% due 02/01/2010		90	95
Poland Government International Bond
5.000% due 10/19/2015		100	100
6.250% due 07/03/2012		47	50
Province of Ontario Canada
5.450% due 04/27/2016		800	855
Province of Quebec Canada
4.625% due 05/14/2018		1,000	991
Republic of Korea
4.875% due 09/22/2014		103	102
South Africa Government International Bond
5.875% due 05/30/2022		100	92
6.500% due 06/02/2014		27,000	28,418
Total Sovereign Issues (Cost $383,773)			390,082
FOREIGN CURRENCY-DENOMINATED ISSUES 3.7%
American International Group, Inc.
1.075% due 03/23/2012	SEK	20,000	1,647
1.585% due 07/19/2013	EUR	200	145
4.000% due 09/20/2011		500	470
4.875% due 03/15/2067		31,500	9,059
5.750% due 03/15/2067	GBP	31,650	10,675
8.000% due 05/22/2038	EUR	18,250	5,761
8.625% due 05/22/2038	GBP	204,850	80,885
ASB Finance Ltd.
1.349% due 02/13/2012	EUR	700	901
ASIF III Jersey Ltd.
0.950% due 07/15/2009	JPY	2,057,000	21,029
5.500% due 03/07/2011	EUR	17,329	20,816
Atlas Reinsurance PLC
5.520% due 01/10/2010		3,000	4,189
BAC Capital Trust VII
5.250% due 08/10/2035	GBP	14,550	13,046
Bank of America Corp.
4.000% due 03/28/2018	EUR	3,550	3,537
4.750% due 05/23/2017		11,000	11,004
4.750% due 05/06/2019		3,000	2,925
Bank of Scotland PLC
5.625% due 05/23/2013		6,400	8,996
Banque Centrale de Tunisie
7.500% due 08/06/2009		2,300	3,239
Barclays Bank PLC
6.000% due 01/23/2018		500	679
14.000% due 11/29/2049	GBP	297,900	562,395
Bauhaus Securities Ltd.
1.704% due 10/30/2052	EUR	27	36
BBVA International Preferred S.A. Unipersonal
4.952% due 09/29/2049		8,000	7,126
Bear Stearns Cos. LLC
1.445% due 09/26/2013		36,675	47,213
1.540% due 11/30/2011	JPY	2,000,000	20,328
1.660% due 10/20/2009	EUR	6,050	8,439
1.706% due 07/27/2012		24,000	31,771
Brazil Government International Bond
10.250% due 01/10/2028	BRL	111,700	56,434
12.500% due 01/05/2022		1,000	569
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012		5,171,536	2,583,314
10.000% due 01/01/2013		190,000	92,271
10.000% due 01/01/2017		1,518,624	677,355
BTM Curacao Holdings NV
1.320% due 11/29/2049	JPY	1,000,000	10,034
3.500% due 04/19/2015	EUR	800	1,077
CIT Group, Inc.
5.000% due 05/13/2014		25,000	19,114
Citigroup Capital XVIII
6.829% due 06/28/2067	GBP	15,250	13,172
Citigroup, Inc.
1.305% due 06/28/2013	EUR	18,300	21,469
1.400% due 03/05/2014		20,000	22,759
3.625% due 11/30/2017		2,300	2,173
4.250% due 02/25/2030		60,000	47,193
4.750% due 05/31/2017		11,500	11,246
4.750% due 02/10/2019		5,975	5,705
6.400% due 03/27/2013		300	416
Countrywide Financial Corp.
1.659% due 11/23/2010		50,640	68,504
Danske Bank A/S
4.878% due 02/28/2049		8,000	6,992
5.684% due 12/29/2049	GBP	16,400	14,975
Ford Auto Securitization Trust
3.396% due 11/15/2011	CAD	121,800	104,653
France Government Bond
4.000% due 10/25/2038	EUR	700	926
Gaz Capital S.A.
5.875% due 06/01/2015		20,000	23,955
GE Capital UK Funding
1.292% due 02/09/2010	GBP	16,000	25,833
General Electric Capital Corp.
4.625% due 09/15/2066	EUR	10,000	8,167
5.500% due 09/15/2067		170,250	138,524
6.500% due 09/15/2067	GBP	1,500	1,542
General Motors Corp.
8.375% due 07/05/2033 (a)	EUR	25,000	4,191
GMAC LLC
5.375% due 06/06/2011		5,000	6,102
Goldman Sachs Group, Inc.
1.609% due 05/23/2016		5,000	5,867
1.616% due 05/18/2015		17,000	20,456
1.665% due 02/04/2013		12,100	15,456
1.734% due 01/30/2017		23,200	26,773
4.750% due 01/28/2014		1,800	2,471
5.375% due 02/15/2013		300	425
6.375% due 05/02/2018		25,700	36,920
International Lease Finance Corp.
1.656% due 08/15/2011		31,150	32,598
John Hancock Global Funding II
2.050% due 06/08/2010	JPY	1,250,000	12,940
KBC Bank Funding Trust IV
8.220% due 11/29/2049	EUR	5,000	3,156
KeyBank N.A.
1.362% due 11/21/2011		17,000	18,759
1.515% due 11/05/2009		2,500	3,452
KeyCorp
1.444% due 11/22/2010		23,795	29,999
Lehman Brothers Holdings, Inc.
1.121% due 06/05/2012 (a)	JPY	900,000	747
1.150% due 10/26/2010 (a)		300,000	257
1.690% due 06/05/2012 (a)		600,000	682
2.500% due 10/13/2010 (a)	CHF	6,380	675
4.850% due 09/03/2013 (a)(q)	CAD	15,770	1,478
5.000% due 01/26/2010 (a)	GBP	250	62
5.080% due 03/05/2010 (a)	EUR	800	166
5.163% due 10/25/2011 (a)		500	103
5.218% due 11/09/2009 (a)		3,000	621
5.316% due 04/05/2011 (a)		615	127
6.000% due 01/25/2013 (a)	GBP	10,650	2,628
6.375% due 05/10/2011 (a)	EUR	1,000	210
7.875% due 05/08/2018 (a)	GBP	8,650	2,135
Lloyds TSB Bank PLC
6.350% due 10/29/2049	EUR	18,500	13,623
Lloyds TSB Capital
7.375% due 12/29/2049		7,500	7,207
Merrill Lynch & Co., Inc.
1.534% due 02/08/2010		12,700	17,249
1.570% due 05/30/2014		4,600	5,226
1.585% due 03/22/2011		7,800	10,003
1.855% due 07/22/2014		5,000	5,452
Metropolitan Life Global Funding I
2.000% due 09/14/2011	CHF	20,000	17,346
Mizuho Financial Group Cayman Ltd.
1.879% due 01/01/2049		JPY 1,000,000	10,380
Morgan Stanley
1.570% due 11/29/2013	EUR	6,600	8,035
1.600% due 03/01/2013		5,000	6,238
1.710% due 07/20/2012		27,900	35,448
1.765% due 05/02/2014		10,000	12,075
1.845% due 04/13/2016		7,000	8,007
2.000% due 11/17/2011	CHF	20,000	17,250
6.500% due 04/15/2011	EUR	400	579
MUFG Capital Finance 5 Ltd.
6.299% due 01/25/2049	GBP	11,246	13,229
New York Life Global Funding
3.750% due 10/19/2009	EUR	10,000	13,898
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	6,800	6,348
Nordic Telephone Co Holdings ApS
6.872% due 05/01/2016	EUR	150	197
Norinchukin Finance Ltd.
5.625% due 09/28/2016	GBP	25,000	38,868
Pacific Life Global Funding
2.750% due 05/15/2012	CHF	27,790	24,732
Principal Financial Global Funding LLC
1.229% due 03/20/2010	GBP	9,300	14,781
2.375% due 02/28/2012	CHF	20,745	17,055
2.375% due 01/24/2013		5,000	3,868
Province of Ontario Canada
5.850% due 03/08/2033	CAD	140,000	134,909
6.200% due 06/02/2031		5,000	4,984
6.500% due 03/08/2029		25,000	25,526
7.600% due 06/02/2027		20,000	22,506
Royal Bank of Scotland Group PLC
5.250% due 05/15/2013	EUR	600	846
6.200% due 03/29/2049	GBP	15,000	14,437
Silver Arrow S.A.
0.915% due 08/15/2014	EUR	14,952	20,888
SLM Corp.
1.063% due 06/15/2010	SEK	175,000	20,679
1.090% due 12/15/2010	JPY	3,500,000	27,477
1.477% due 12/15/2010	EUR	48,684	59,541
1.531% due 11/15/2011		4,800	5,286
1.756% due 04/26/2011		13,028	15,116
3.125% due 09/17/2012		5,000	5,155
4.750% due 03/17/2014		11,200	11,391
SMFG Preferred Capital USD 1 Ltd.
6.164% due 01/29/2049	GBP	11,000	12,296
Societe Generale
7.756% due 05/22/2049	EUR	2,700	2,651
Sumitomo Mitsui Banking Corp.
0.950% due 06/02/2049	JPY	1,000,000	9,761
1.286% due 12/31/2049		1,100,000	11,286
SunTrust Bank
1.345% due 12/20/2011	EUR	10,000	11,726
1.349% due 06/22/2012	GBP	5,000	6,845
Wachovia Bank N.A.
6.000% due 05/23/2013	EUR	11,200	16,239

Wachovia Corp.
1.449% due 02/13/2014	EUR	41,900		50,881
1.465% due 08/01/2011		22,800		30,274
Wells Fargo & Co.
1.424% due 03/23/2016		3,600		4,171
Total Foreign Currency-Denominated Issues (Cost $6,239,021)				5,896,104
		SHARES
CONVERTIBLE PREFERRED STOCKS 0.0%
American International Group, Inc.
8.500% due 08/01/2011		78,200		745
General Motors Corp.
5.250% due 03/06/2032		8,212,560		23,652
6.250% due 07/15/2033		475,440		1,307
Total Convertible Preferred Stocks (Cost $27,822)				25,704
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 3.2%
CERTIFICATES OF DEPOSIT 0.0%
Calyon Financial, Inc.
0.636% due 06/29/2010	$	43,140		42,640
COMMERCIAL PAPER 0.1%
Federal Home Loan Bank
0.097% due 07/01/2009		69,900		69,900
REPURCHASE AGREEMENTS 2.7%
Barclays Capital, Inc.
0.020% due 07/01/2009		44,500		44,500
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $46,069. Repurchase proceeds are $44,500.)
0.120% due 07/01/2009		20,900		20,900
(Dated 06/30/2009. Collateralized by General Electric Capital Corp. 0.924% due 05/08/2012 valued at $1,855 and Ginnie Mae 4.500% due 05/15/2039 valued at $19,572. Repurchase proceeds are $20,900.)
Credit Suisse Securities (USA) LLC
0.070% due 07/01/2009		276,900		276,900
(Dated 06/30/2009. Collateralized by Fannie Mae 6.000% due 05/15/2011 valued at $283,712. Repurchase proceeds are $276,901.)
0.250% due 07/13/2009		326,956		326,956
(Dated 06/29/2009. Collateralized by Fannie Mae 5.500% due 06/01/2038 valued at $332,741. Repurchase proceeds are $326,958.)
Deutsche Bank AG
0.010% due 07/01/2009		85,700		85,700
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 1.875% due 07/15/2013 valued at $87,412. Repurchase proceeds are $85,700.)
0.250% due 07/13/2009		2,000,000		2,000,000
(Dated 06/25/2009. Collateralized by Fannie Mae 5.500% due 08/01/2037 valued at $1,877,585. Repurchase proceeds are $2,000,014.)
Goldman Sachs & Co.
0.010% due 07/01/2009		11,300		11,300
(Dated 06/30/2009. Collateralized by U.S. Treasury Bonds 5.375% due 02/15/2031 valued at $11,473. Repurchase proceeds are $11,300.)
0.030% due 07/01/2009		252,500		252,500
(Dated 06/30/2009. Collateralized by Fannie Mae 5.500% - 6.000% due 06/01/2035 - 08/01/2038 valued at $251,071. Repurchase proceeds are $252,500.)
0.050% due 07/01/2009		11,400		11,400
(Dated 06/30/2009. Collateralized by Freddie Mac 5.500% due 07/01/2036 valued at $11,216. Repurchase proceeds are $11,400.)
0.250% due 07/13/2009		575,200		575,200
(Dated 06/29/2009. Collateralized by Fannie Mae 6.000% due 10/01/2038 valued at $577,893. Repurchase proceeds are $575,204.)
JPMorgan Chase Bank N.A.
0.010% due 07/01/2009		421,400		421,400
(Dated 06/30/2009. Collateralized by U.S. Treasury Notes 1.250% - 2.000% due 11/30/2010 - 11/30/2013 valued at $431,003. Repurchase proceeds are $421,400.)
0.090% due 07/01/2009		202,000		202,000
(Dated 06/30/2009. Collateralized by Fannie Mae 5.000% due 07/01/2035 valued at $16,307 and Freddie Mac 2.170% due 05/07/2012 valued at $190,543. Repurchase proceeds are $202,000.)
Morgan Stanley
0.250% due 07/13/2009
(Dated 06/29/2009. Collateralized by Fannie Mae 5.000% due 03/01/2036 valued at $107,282. Repurchase proceeds are $103,201.)		103,200		103,200
State Street Bank and Trust Co.
0.010% due 07/01/2009
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/20/2009 valued at $21,511. Repurchase proceeds are $21,086.)		21,086		21,086
				4,353,042
U.S. TREASURY BILLS 0.2%
0.142% due 07/02/2009 - 10/22/2009 (e)(i)(j)(m)		311,261		311,218
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (h) 0.2%
		39,222,317		392,576
Total Short-Term Instruments (Cost $5,169,886)				5,169,376
PURCHASED OPTIONS (o) 0.6% (Cost $278,062)				992,647
Total Investments 121.0% (Cost $195,819,340)				$195,978,447
Written Options (p) (0.0%) (Premiums $31,119)				(14,617	)
Other Assets and Liabilities (Net) (21.0%)				(34,000,642	)
Net Assets 100.0%			$	161,963,188

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

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

(a) Security is in default.

(b) Interest only security.

(c) When-Issued security.

(d) Principal only security.

(e) Coupon represents a weighted average rate.

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

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

(h) Affiliated to the Fund.

(i) Securities with an aggregate market value of $313,776 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(j) Securities with an aggregate market value of $407 have been pledged as collateral for delayed-delivery securities on June 30, 2009.

(k) Securities with an aggregate market value of $403,023 and cash of $181,500 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(l) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $9,790,050 at a weighted average interest rate of 0.391%. On June 30, 2009, securities valued at $4,273,283 were pledged as collateral for reverse repurchase agreements.

(m) Securities with an aggregate market value of $265,034 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	9,224	$	9,369
90-Day Euribor March Futures	Long	03/2010	12,107		15,004
90-Day Eurodollar December Futures	Long	12/2009	84,863		290,005
90-Day Eurodollar December Futures	Long	12/2010	27,656		(19,355	)
90-Day Eurodollar June Futures	Long	06/2010	25,397		16,300
90-Day Eurodollar June Futures	Long	06/2011	116		(93	)
90-Day Eurodollar March Futures	Long	03/2010	33,400		210,711
90-Day Eurodollar March Futures	Long	03/2011	620		(439	)
90-Day Eurodollar September Futures	Long	09/2009	65,796		395,448
90-Day Eurodollar September Futures	Long	09/2010	6,134		8,965
U.S. Treasury 5-Year Note September Futures	Long	09/2009	4,200		(6,548	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	2,016		13,739
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	4,093		(3,495	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 92.000	Short	12/2009	5,750		2,229
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	4,091		(477	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	1,977		1,232
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	2,114		(2,750	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	4,091		(2,087	)
				$	927,758

(n) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
ABX Financing Co.	JPM	(0.530	%)	12/20/2016	1.200	%	$	10,000	$	380		$	0		$	380
ABX Financing Co.	MSC	(0.640	%)	12/20/2016	0.600	%		2,300		74			169			(95	)
Alcoa, Inc.	BOA	(0.560	%)	03/20/2017	4.168	%		3,000		590			457			133
Alcoa, Inc.	BOA	(1.290	%)	09/20/2018	4.093	%		5,000		850			0			850
Alcoa, Inc.	GSC	(1.320	%)	09/20/2018	4.093	%		2,200		369			423			(54	)
American Electric Power Co., Inc.	CITI	(0.830	%)	06/20/2015	0.623	%		8,300		(95	)		0			(95	)
AmerisourceBergen Corp.	MSC	(0.600	%)	09/20/2012	0.408	%		10,000		(62	)		0			(62	)
Anadarko Finance Co.	BOA	(0.900	%)	06/20/2011	0.687	%		10,600		(46	)		0			(46	)
Anadarko Petroleum Corp.	CITI	(0.330	%)	03/20/2012	0.737	%		1,800		19			61			(42	)
AutoZone, Inc.	BOA	(0.620	%)	12/20/2012	0.502	%		3,000		(12	)		78			(90	)
AutoZone, Inc.	BOA	(1.070	%)	03/20/2014	0.564	%		20,000		(456	)		0			(456	)
AutoZone, Inc.	BOA	(1.890	%)	03/20/2014	0.564	%		10,000		(596	)		0			(596	)
AutoZone, Inc.	BOA	(0.870	%)	06/20/2016	0.518	%		1,000		(21	)		28			(49	)
AutoZone, Inc.	BOA	(1.100	%)	09/20/2018	0.521	%		15,000		(683	)		0			(683	)
AutoZone, Inc.	CITI	(0.680	%)	12/20/2012	0.502	%		1,850		(11	)		37			(48	)
AutoZone, Inc.	CITI	(1.030	%)	03/20/2014	0.564	%		10,000		(210	)		0			(210	)
AutoZone, Inc.	DUB	(1.320	%)	09/20/2018	0.521	%		5,000		(314	)		0			(314	)
AutoZone, Inc.	RBS	(0.810	%)	12/20/2015	0.533	%		10,000		(164	)		0			(164	)
AutoZone, Inc.	UBS	(1.320	%)	09/20/2018	0.521	%		7,000		(439	)		0			(439	)
Avnet, Inc.	DUB	(1.000	%)	09/20/2016	1.250	%		2,000		25			37			(12	)
Avon Products, Inc.	BOA	(0.770	%)	03/20/2019	0.393	%		28,000		(871	)		0			(871	)
Avon Products, Inc.	CSFB	(0.160	%)	03/20/2011	0.330	%		10,000		29			0			29
Black & Decker Corp.	BCLY	(2.100	%)	12/20/2016	1.565	%		20,000		(674	)		0			(674	)
Black & Decker Corp.	BOA	(2.225	%)	06/20/2014	1.650	%		25,000		(656	)		0			(656	)
Black & Decker Corp.	GSC	(2.225	%)	06/20/2014	1.650	%		15,000		(394	)		0			(394	)
Block Financial LLC	BOA	(1.550	%)	03/20/2013	0.709	%		32,100		(973	)		(113	)		(860	)
Block Financial LLC	CSFB	(1.110	%)	03/20/2013	0.709	%		6,000		(87	)		0			(87	)
Block Financial LLC	DUB	(1.050	%)	03/20/2013	0.709	%		5,000		(62	)		0			(62	)
Block Financial LLC	JPM	(1.270	%)	03/20/2013	0.709	%		10,000		(203	)		0			(203	)
Boston Scientific Corp.	BCLY	(1.000	%)	03/20/2017	1.053	%		1,000		3			5			(2	)
Boston Scientific Corp.	MSC	(1.000	%)	06/20/2014	1.102	%		2,000		9			9			0
Boston Scientific Corp.	MSC	(1.000	%)	06/20/2016	1.070	%		2,000		8			12			(4	)
Boston Scientific Corp.	UBS	(0.500	%)	06/20/2011	1.056	%		10,000		107			0			107
Brunswick Corp.	BOA	(4.100	%)	09/20/2013	11.803	%		18,000		3,948			0			3,948
Capital One Financial Corp.	JPM	(1.000	%)	06/20/2014	2.078	%		13,000		607			586			21
Cardinal Health, Inc.	BCLY	(0.420	%)	12/20/2016	0.480	%		13,000		50			0			50
Cardinal Health, Inc.	DUB	(0.500	%)	12/20/2016	0.480	%		10,000		(15	)		109			(124	)
Cardinal Health, Inc.	GSC	(0.710	%)	06/20/2017	0.486	%		9,600		(152	)		0			(152	)
CBS Corp.	JPM	(0.590	%)	09/20/2012	2.814	%		15,000		988			0			988
Centex Corp.	BCLY	(1.000	%)	06/20/2016	1.479	%		4,000		112			37			75
Centex Corp.	BNP	(1.000	%)	06/20/2016	1.479	%		2,000		56			15			41
Centex Corp.	GSC	(1.000	%)	06/20/2014	1.590	%		1,500		39			20			19
CenturyTel, Inc.	JPM	(1.000	%)	06/20/2017	0.881	%		6,000		(50	)		(4	)		(46	)
Citigroup, Inc.	JPM	(1.000	%)	06/20/2019	3.579	%		40,000		6,638			6,510			128
CNA Financial Corp.	BCLY	(0.295	%)	09/20/2011	3.246	%		15,000		923			0			923
CNA Financial Corp.	BCLY	(1.390	%)	12/20/2014	2.864	%		10,000		666			1,209			(543	)
CNA Financial Corp.	BOA	(0.690	%)	12/20/2014	2.864	%		10,300		1,015			0			1,015
CNA Financial Corp.	BOA	(4.170	%)	12/20/2014	2.864	%		8,000		(483	)		0			(483	)
CNA Financial Corp.	BOA	(3.360	%)	09/20/2016	2.723	%		6,250		(229	)		0			(229	)
CNA Financial Corp.	CITI	(0.470	%)	12/20/2014	2.864	%		10,200		1,108			0			1,108
CNA Financial Corp.	JPM	(0.440	%)	09/20/2011	3.246	%		13,500		789			255			534
Comcast Corp.	JPM	(0.535	%)	03/20/2016	1.586	%		15,000		905			0			905
Comcast Corp.	MSC	(0.360	%)	03/20/2014	1.540	%		11,500		583			0			583
Commercial Metals Co.	BOA	(1.430	%)	09/20/2018	2.820	%		3,000		276			0			276
Commercial Metals Co.	DUB	(1.005	%)	09/20/2017	2.843	%		15,660		1,766			1,369			397
Commercial Metals Co.	JPM	(1.430	%)	09/20/2018	2.820	%		10,000		918			0			918
Computer Sciences Corp.	BCLY	(1.230	%)	03/20/2013	0.490	%		5,000		(134	)		0			(134	)
Computer Sciences Corp.	BCLY	(1.550	%)	03/20/2018	0.573	%		10,000		(734	)		0			(734	)
Computer Sciences Corp.	MSC	(0.620	%)	03/20/2013	0.490	%		2,000		(10	)		17			(27	)
Computer Sciences Corp.	UBS	(1.130	%)	03/20/2018	0.573	%		8,745		(366	)		0			(366	)
Constellation Energy Group, Inc.	JPM	(0.960	%)	06/20/2015	1.799	%		6,000		257			730			(473	)
Con-way, Inc.	BOA	(1.834	%)	03/20/2018	2.227	%		19,000		487			1,663			(1,176	)
Coventry Health Care	DUB	(1.000	%)	03/20/2015	1.000	%		7,500		684			684			0
CRH America, Inc.	CITI	(2.590	%)	09/20/2018	2.539	%		10,000		(40	)		0			(40	)
CSX Corp.	BCLY	(1.350	%)	03/20/2018	0.775	%		5,052		(215	)		0			(215	)
CSX Corp.	DUB	(1.550	%)	06/20/2017	0.785	%		21,200		(1,119	)		72			(1,191	)
CSX Corp.	JPM	(0.165	%)	03/20/2011	0.699	%		10,600		96			0			96
CVS Caremark Corp.	BOA	(0.550	%)	09/20/2016	0.570	%		6,745		8			0			8
CVS Caremark Corp.	CSFB	(0.250	%)	09/20/2011	0.550	%		10,200		67			0			67
CVS Caremark Corp.	RBS	(0.240	%)	09/20/2011	0.550	%		6,200		42			0			42
Cytec Industries, Inc.	CITI	(1.000	%)	09/20/2017	1.000	%		4,700		431			431			0
Cytec Industries, Inc.	DUB	(1.000	%)	09/20/2017	1.000	%		2,300		198			198			0
Cytec Industries, Inc.	JPM	(1.000	%)	09/20/2013	2.442	%		2,000		109			46			63
Daimler Finance N.A. LLC	BCLY	(0.535	%)	09/20/2011	1.524	%		3,000		64			0			64
Daimler Finance N.A. LLC	BOA	(1.290	%)	12/20/2013	1.697	%		12,000		196			0			196
Daimler Finance N.A. LLC	GSC	(6.750	%)	06/20/2010	1.289	%		8,000		(438	)		0			(438	)
Daimler Finance N.A. LLC	GSC	(6.750	%)	03/20/2011	1.453	%		30,000		(2,744	)		0			(2,744	)
Daimler Finance N.A. LLC	JPM	(0.520	%)	06/20/2010	1.289	%		10,000		73			0			73
Daimler Finance N.A. LLC	JPM	(0.520	%)	03/20/2011	1.453	%		10,000		157			0			157
Daimler Finance N.A. LLC	JPM	(0.655	%)	03/20/2011	1.453	%		10,000		134			0			134
Daimler Finance N.A. LLC	RBS	(0.480	%)	09/20/2011	1.524	%		10,000		225			0			225
Darden Restaurants, Inc.	CITI	(1.450	%)	12/20/2017	1.218	%		2,000		(33	)		96			(129	)
Darden Restaurants, Inc.	CITI	(1.920	%)	12/20/2017	1.218	%		7,000		(345	)		0			(345	)
Darden Restaurants, Inc.	DUB	(2.250	%)	12/20/2017	1.218	%		5,000		(362	)		0			(362	)
Deutsche Telekom International Finance BV	CITI	(1.130	%)	09/20/2018	1.060	%		10,000		(56	)		0			(56	)
Deutsche Telekom International Finance BV	CSFB	(1.080	%)	09/20/2018	1.060	%		22,000		(40	)		0			(40	)
Dominion Resources, Inc.	JPM	(0.385	%)	12/20/2016	0.573	%		3,000		37			160			(123	)
DR Horton, Inc.	BCLY	(1.000	%)	06/20/2016	2.553	%		26,000		2,228			1,623			605
DR Horton, Inc.	BNP	(1.000	%)	03/20/2016	2.570	%		5,000		422			325			97
DR Horton, Inc.	BNP	(1.000	%)	06/20/2016	2.553	%		10,000		843			783			60
DR Horton, Inc.	GSC	(1.000	%)	03/20/2014	2.741	%		5,000		353			335			18
DR Horton, Inc.	GSC	(1.000	%)	09/20/2014	2.710	%		3,000		227			163			64
Embarq Corp.	BCLY	(1.650	%)	06/20/2016	1.094	%		6,669		(228	)		0			(228	)
Embarq Corp.	BOA	(2.200	%)	06/20/2016	1.094	%		4,000		(271	)		0			(271	)
Embarq Corp.	DUB	(1.000	%)	06/20/2016	1.054	%		20,000		60			(316	)		376
Enterprise Products Operating LLC	MLP	(0.200	%)	03/20/2011	1.205	%		14,300		243			202			41
Erac USA Finance Co.	JPM	(2.700	%)	12/20/2012	2.718	%		10,000		(1	)		789			(790	)
Exelon Corp.	CITI	(3.730	%)	06/20/2015	2.226	%		12,800		(985	)		0			(985	)
Exelon Corp.	MLP	(0.520	%)	06/20/2015	2.226	%		10,000		861			0			861
Exelon Generation Co. LLC	JPM	(1.180	%)	12/20/2017	2.210	%		8,000		537			1,293			(756	)
Expedia, Inc.	RBS	(4.250	%)	09/20/2016	2.255	%		16,500		(1,928	)		0			(1,928	)
Fosters Finance Corp.	BCLY	(2.140	%)	12/20/2014	0.764	%		6,000		(419	)		0			(419	)
Gannett Co., Inc.	JPM	(0.330	%)	06/20/2011	13.875	%		6,500		1,465			0			1,465
Genworth Financial, Inc.	BCLY	(0.879	%)	06/20/2018	7.880	%		8,000		2,908			2,790			118
Genworth Financial, Inc.	DUB	(0.980	%)	06/20/2018	7.880	%		4,000		1,433			1,260			173
Hanson Ltd.	BCLY	(1.000	%)	09/20/2016	6.275	%		20,000		5,118			3,056			2,062
HCP, Inc.	CSFB	(0.530	%)	09/20/2011	3.797	%		7,350		499			0			499
HCP, Inc.	DUB	(3.860	%)	03/20/2018	3.339	%		20,000		(658	)		1,296			(1,954	)
HCP, Inc.	JPM	(0.610	%)	09/20/2011	3.797	%		5,000		331			0			331
HCP, Inc.	MLP	(0.650	%)	09/20/2016	3.428	%		13,500		2,026			0			2,026
Health Care REIT, Inc.	BCLY	(3.310	%)	06/20/2015	3.164	%		5,000		(39	)		0			(39	)
HSBC Finance Corp.	BNP	(0.165	%)	12/20/2013	4.498	%		16,900		2,680			329			2,351
HSBC Finance Corp.	DUB	(1.450	%)	06/20/2016	4.233	%		10,000		1,402			3			1,399
HSBC Finance Corp.	JPM	(0.220	%)	06/20/2016	4.233	%		10,000		2,026			0			2,026
International Lease Finance Corp.	MLP	(0.130	%)	03/20/2012	9.924	%		20,000		4,249			0			4,249
International Paper Co.	BCLY	(5.030	%)	06/20/2018	2.455	%		20,000		(3,457	)		0			(3,457	)
International Paper Co.	BOA	(0.870	%)	06/20/2016	2.495	%		1,400		127			177			(50	)
International Paper Co.	MSC	(5.980	%)	06/20/2014	2.669	%		7,000		(1,004	)		0			(1,004	)
iStar Financial, Inc.	BCLY	(0.400	%)	03/20/2012	24.816	%		10,000		4,451			0			4,451
iStar Financial, Inc.	MSC	(0.600	%)	12/20/2013	21.155	%		10,000		5,002			0			5,002
JCPenney Corp., Inc.	DUB	(0.270	%)	03/20/2010	2.015	%		10,800		135			454			(319	)
JCPenney Corp., Inc.	DUB	(0.270	%)	03/20/2010	2.092	%		17,500		228			0			228
Johnson Controls, Inc.	JPM	(0.500	%)	03/20/2016	2.756	%		20,000		2,454			0			2,454
KB Home	BNP	(1.000	%)	06/20/2015	3.010	%		5,000		490			465			25
KB Home	DUB	(1.000	%)	03/20/2014	3.100	%		3,000		254			249			5
KB Home	DUB	(1.000	%)	03/20/2015	3.036	%		5,000		480			491			(11	)
KB Home	GSC	(1.000	%)	03/20/2014	3.117	%		7,000		600			329			271
Kerr-McGee Corp.	RBS	(0.160	%)	09/20/2011	0.350	%		10,500		44			0			44
KeySpan Corp.	JPM	(0.450	%)	06/20/2013	0.618	%		6,900		43			65			(22	)
Kohl’s Corp.	BOA	(1.910	%)	12/20/2017	0.793	%		46,000		(3,705	)		288			(3,993	)
Kraft Foods, Inc.	BOA	(1.040	%)	06/20/2018	0.582	%		5,000		(175	)		8			(183	)
Kraft Foods, Inc.	CITI	(0.990	%)	06/20/2018	0.582	%		4,000		(125	)		0			(125	)
Kraft Foods, Inc.	GSC	(0.950	%)	09/20/2018	0.583	%		6,000		(173	)		20			(193	)
Kraft Foods, Inc.	JPM	(0.150	%)	12/20/2011	0.528	%		10,000		92			0			92
Kraft Foods, Inc.	JPM	(0.160	%)	12/20/2011	0.528	%		10,000		89			0			89
Kraft Foods, Inc.	JPM	(0.170	%)	06/20/2012	0.550	%		10,400		114			0			114
Kroger Co.	MSC	(0.530	%)	03/20/2013	0.806	%		5,000		48			0			48
Lennar Corp.	DUB	(0.785	%)	12/20/2011	4.154	%		9,000		684			0			684
Lennar Corp.	GSC	(1.000	%)	09/20/2014	3.720	%		4,500		523			483			40
Lennar Corp.	GSC	(5.000	%)	06/20/2015	3.576	%		4,000		(269	)		(235	)		(34	)
Lennar Corp.	GSC	(1.000	%)	06/20/2016	3.503	%		4,000		531			478			53
Lexmark International, Inc.	BOA	(1.400	%)	06/20/2018	1.896	%		13,000		449			0			449
Lexmark International, Inc.	CITI	(3.320	%)	06/20/2013	1.653	%		5,590		(349	)		0			(349	)
Lexmark International, Inc.	JPM	(1.190	%)	06/20/2013	1.653	%		15,880		267			0			267
Liberty Mutual Group, Inc.	BOA	(1.390	%)	03/20/2014	3.887	%		7,600		736			836			(100	)
Lockheed Martin Corp.	BOA	(0.370	%)	06/20/2016	0.440	%		4,600		20			52			(32	)
Loews Corp.	BOA	(0.660	%)	03/20/2016	0.610	%		7,500		(24	)		207			(231	)
Loews Corp.	JPM	(0.280	%)	03/20/2016	0.610	%		20,000		398			0			398
Loews Corp.	JPM	(0.300	%)	03/20/2016	0.610	%		9,800		183			0			183
Ltd. Brands, Inc.	BNP	(1.000	%)	12/20/2014	1.000	%		2,500		192			193			(1	)
Ltd. Brands, Inc.	BOA	(1.000	%)	09/20/2017	2.479	%		10,000		936			907			29
Ltd. Brands, Inc.	DUB	(4.800	%)	09/20/2017	2.573	%		43,000		(6,066	)		0			(6,066	)
Ltd. Brands, Inc.	JPM	(2.850	%)	09/20/2017	2.573	%		2,700		(49	)		150			(199	)
Ltd. Brands, Inc.	RBS	(4.500	%)	09/20/2017	2.573	%		18,700		(2,284	)		0			(2,284	)

Macy’s Retail Holdings, Inc.	BCLY	(6.780	%)	09/20/2015	3.846	%	11,810	(1,694	)	0		(1,694	)
Macy’s Retail Holdings, Inc.	BCLY	(7.150	%)	09/20/2015	3.846	%	10,000	(1,614	)	0		(1,614	)
Macy’s Retail Holdings, Inc.	BOA	(0.190	%)	09/20/2009	4.109	%	4,800	42		0		42
Macy’s Retail Holdings, Inc.	BOA	(6.870	%)	03/20/2012	4.204	%	7,000	(471	)	0		(471	)
Macy’s Retail Holdings, Inc.	BOA	(2.430	%)	03/20/2013	3.976	%	5,000	245		433		(188	)
Macy’s Retail Holdings, Inc.	BOA	(1.000	%)	09/20/2015	3.705	%	3,800	494		423		71
Macy’s Retail Holdings, Inc.	BOA	(7.060	%)	09/20/2015	3.846	%	8,000	(1,256	)	0		(1,256	)
Macy’s Retail Holdings, Inc.	MSC	(2.470	%)	09/20/2015	3.846	%	10,000	659		1,103		(444	)
Macy’s Retail Holdings, Inc.	RBS	(1.000	%)	12/20/2016	3.556	%	15,000	2,101		709		1,392
Macy’s Retail Holdings, Inc.	UBS	(2.640	%)	09/20/2017	3.696	%	22,500	1,382		1,376		6
Marks & Spencer PLC	RBS	(0.950	%)	12/20/2017	1.893	%	2,200	138		400		(262	)
Marriott International, Inc.	BOA	(1.650	%)	06/20/2017	1.919	%	10,000	166		2,739		(2,573	)
Marriott International, Inc.	BOA	(1.730	%)	06/20/2017	1.919	%	1,400	16		137		(121	)
Marriott International, Inc.	CITI	(0.260	%)	06/20/2012	2.121	%	15,000	779		0		779
Marriott International, Inc.	DUB	(1.880	%)	12/20/2015	1.999	%	5,000	30		577		(547	)
Marsh & McLennan Cos., Inc.	BCLY	(0.760	%)	09/20/2015	0.552	%	18,000	(216	)	0		(216	)
Marsh & McLennan Cos., Inc.	BOA	(0.830	%)	09/20/2015	0.552	%	20,000	(320	)	0		(320	)
Marsh & McLennan Cos., Inc.	BOA	(0.990	%)	09/20/2015	0.552	%	30,000	(754	)	(237	)	(517	)
Marsh & McLennan Cos., Inc.	BOA	(0.900	%)	06/20/2019	0.603	%	8,000	(199	)	0		(199	)
Marsh & McLennan Cos., Inc.	CITI	(1.000	%)	09/20/2015	0.531	%	7,000	(188	)	(198	)	10
Marsh & McLennan Cos., Inc.	CITI	(1.000	%)	06/20/2019	0.580	%	3,800	(133	)	(155	)	22
Marsh & McLennan Cos., Inc.	DUB	(0.590	%)	09/20/2014	0.533	%	10,000	(29	)	85		(114	)
Marsh & McLennan Cos., Inc.	DUB	(0.670	%)	09/20/2014	0.533	%	11,000	(75	)	59		(134	)
Marsh & McLennan Cos., Inc.	DUB	(1.000	%)	09/20/2015	0.531	%	5,000	(134	)	(116	)	(18	)
Marsh & McLennan Cos., Inc.	DUB	(1.000	%)	06/20/2019	0.580	%	800	(28	)	(34	)	6
Masco Corp.	CITI	(4.240	%)	03/20/2017	3.365	%	9,020	(457	)	0		(457	)
Masco Corp.	MSC	(0.580	%)	09/20/2012	3.728	%	5,000	453		0		453
Masco Corp.	MSC	(0.680	%)	09/20/2013	3.651	%	10,000	1,071		0		1,071
Masco Corp.	UBS	(4.650	%)	12/20/2016	3.379	%	10,000	(717	)	0		(717	)
Mattel, Inc.	JPM	(0.400	%)	06/20/2011	0.435	%	10,300	6		0		6
Maytag Corp.	JPM	(0.460	%)	06/20/2015	0.820	%	10,000	194		0		194
McKesson Corp.	BOA	(0.380	%)	03/20/2017	0.331	%	1,600	(5	)	15		(20	)
McKesson Corp.	BOA	(1.020	%)	03/20/2017	0.331	%	10,000	(476	)	(320	)	(156	)
McKesson Corp.	BOA	(0.640	%)	03/20/2019	0.338	%	8,000	(201	)	0		(201	)
MDC Holdings, Inc.	BNP	(1.250	%)	12/20/2014	1.135	%	9,000	(54	)	0		(54	)
MDC Holdings, Inc.	BOA	(1.000	%)	12/20/2014	1.093	%	3,000	13		0		13
MDC Holdings, Inc.	MLP	(1.350	%)	12/20/2012	1.134	%	10,500	(79	)	0		(79	)
Miller Brewing Co.	BCLY	(1.250	%)	09/20/2013	1.284	%	15,000	15		0		15
Motorola, Inc.	DUB	(1.000	%)	12/20/2011	2.320	%	5,000	154		133		21
Motorola, Inc.	DUB	(1.000	%)	12/20/2012	2.363	%	7,500	326		294		32
Nabors Industries, Inc.	BCLY	(2.710	%)	03/20/2018	1.382	%	8,000	(754	)	0		(754	)
Nabors Industries, Inc.	CITI	(1.000	%)	03/20/2018	1.331	%	9,000	209		80		129
Nabors Industries, Inc.	CITI	(1.050	%)	03/20/2018	1.382	%	20,000	463		0		463
Nabors Industries, Inc.	CITI	(2.510	%)	03/20/2018	1.382	%	2,200	(176	)	0		(176	)
Nabors Industries, Inc.	DUB	(0.630	%)	03/20/2018	1.382	%	6,000	317		832		(515	)
Nabors Industries, Inc.	DUB	(0.900	%)	03/20/2018	1.382	%	15,000	506		0		506
Nationwide Health Properties, Inc.	DUB	(0.620	%)	09/20/2011	3.181	%	13,600	728		0		728
Newell Rubbermaid, Inc.	BOA	(2.710	%)	06/20/2019	1.531	%	12,000	(1,095	)	0		(1,095	)
Newell Rubbermaid, Inc.	UBS	(1.790	%)	06/20/2018	1.533	%	19,000	(357	)	0		(357	)
NiSource Finance Corp.	RBS	(0.540	%)	03/20/2013	2.390	%	12,400	774		0		774
Nordstrom, Inc.	BOA	(0.850	%)	03/20/2018	2.066	%	4,300	352		693		(341	)
Nordstrom, Inc.	BOA	(0.990	%)	03/20/2018	2.066	%	200	14		30		(16	)
Nordstrom, Inc.	BOA	(5.190	%)	03/20/2018	2.066	%	15,000	(3,181	)	0		(3,181	)
Nordstrom, Inc.	BOA	(5.200	%)	03/20/2018	2.066	%	10,000	(2,128	)	0		(2,128	)
Nordstrom, Inc.	DUB	(1.530	%)	03/20/2018	2.066	%	12,925	463		0		463
Nordstrom, Inc.	GSC	(0.820	%)	03/20/2018	2.066	%	4,300	361		609		(248	)
Nordstrom, Inc.	UBS	(1.400	%)	03/20/2018	2.066	%	8,000	357		0		357
Northrop Grumman Space & Mission Systems Corp.	JPM	(0.110	%)	03/20/2010	0.243	%	5,000	5		0		5
Nucor Corp.	BCLY	(0.510	%)	06/20/2018	0.566	%	6,000	25		594		(569	)
Nucor Corp.	GSC	(0.530	%)	06/20/2018	0.566	%	4,000	11		426		(415	)
Office Depot, Inc.	DUB	(5.000	%)	09/20/2013	5.000	%	8,000	230		240		(10	)
Olin Corp.	BNP	(1.240	%)	06/20/2016	1.589	%	15,000	303		487		(184	)
Omnicom Group, Inc.	MSC	(0.380	%)	06/20/2016	0.821	%	9,600	260		0		260
ONEOK Partners LP	JPM	(0.660	%)	12/20/2016	0.987	%	10,200	214		0		214
ORIX Corp.	MLP	(0.280	%)	12/20/2011	4.550	%	20,000	1,988		0		1,988
Packaging Corp. of America	CSFB	(0.940	%)	09/20/2013	0.882	%	10,000	(25	)	0		(25	)
Pactiv Corp.	BOA	(1.230	%)	03/20/2018	0.837	%	6,745	(196	)	182		(378	)
PC Financial Partnership	DUB	(1.600	%)	12/20/2014	1.915	%	10,000	147		0		147
Pearson Dollar Finance PLC	JPM	(0.830	%)	06/20/2014	0.497	%	5,000	(79	)	5		(84	)
Pearson Dollar Finance Two PLC	BCLY	(0.610	%)	06/20/2013	0.467	%	25,000	(140	)	0		(140	)
Pearson Dollar Finance Two PLC	BCLY	(0.730	%)	06/20/2018	0.560	%	7,000	(93	)	0		(93	)
Pearson Dollar Finance Two PLC	BCLY	(0.770	%)	06/20/2018	0.560	%	10,000	(163	)	0		(163	)
Pearson Dollar Finance Two PLC	DUB	(0.720	%)	06/20/2018	0.560	%	11,000	(137	)	0		(137	)
Plains All American Pipeline LP	MSC	(0.550	%)	12/20/2013	1.636	%	10,000	442		0		442
PMI Group, Inc.	JPM	(0.460	%)	09/20/2016	9.841	%	9,500	3,548		0		3,548
Progress Energy, Inc.	BOA	(0.660	%)	03/20/2019	0.658	%	4,800	(1	)	0		(1	)
Progress Energy, Inc.	GSC	(0.730	%)	03/20/2019	0.658	%	12,700	(76	)	0		(76	)
Pulte Homes, Inc.	GSC	(1.000	%)	12/20/2017	2.111	%	2,500	179		131		48
Qwest Corp.	BOA	(2.500	%)	06/20/2013	3.436	%	5,000	161		363		(202	)
Qwest Corp.	MSC	(4.320	%)	06/20/2013	3.436	%	2,000	(64	)	0		(64	)
RadioShack Corp.	BOA	(1.250	%)	06/20/2011	1.582	%	10,000	61		0		61
RadioShack Corp.	MLP	(2.250	%)	06/20/2011	1.582	%	35,200	(473	)	0		(473	)
Reed Elsevier Capital, Inc.	MLP	(0.290	%)	06/20/2012	0.436	%	5,000	21		0		21
Rexam PLC	BCLY	(1.450	%)	06/20/2013	2.041	%	12,500	264		981		(717	)
Rexam PLC	RBS	(1.450	%)	06/20/2013	2.041	%	4,000	84		273		(189	)
Rohm & Haas Co.	BNP	(1.600	%)	09/20/2017	0.902	%	4,665	(229	)	0		(229	)
Rohm & Haas Co.	BOA	(0.700	%)	09/20/2017	0.902	%	13,425	187		0		187
Rohm & Haas Co.	CITI	(0.540	%)	09/20/2017	0.902	%	7,000	176		0		176
RPM International, Inc.	BCLY	(1.460	%)	03/20/2018	1.943	%	2,800	91		0		91
RPM International, Inc.	BOA	(1.030	%)	03/20/2018	1.943	%	9,000	554		399		155
RPM International, Inc.	GSC	(1.000	%)	03/20/2018	1.871	%	15,000	886		219		667
RR Donnelley & Sons Co.	BOA	(3.500	%)	03/20/2019	3.314	%	25,000	(331	)	0		(331	)
RR Donnelley & Sons Co.	CITI	(4.030	%)	03/20/2012	3.365	%	11,986	(213	)	0		(213	)
RR Donnelley & Sons Co.	DUB	(3.250	%)	03/20/2017	3.383	%	10,000	68		0		68
RR Donnelley & Sons Co.	UBS	(2.640	%)	03/20/2012	3.365	%	10,000	176		0		176
RR Donnelley & Sons Co.	UBS	(2.770	%)	03/20/2012	3.365	%	5,000	72		0		72
Ryder System, Inc.	BCLY	(3.540	%)	03/20/2013	2.291	%	10,000	(434	)	0		(434	)
Ryder System, Inc.	BOA	(1.490	%)	09/20/2015	2.231	%	10,000	381		0		381
Ryder System, Inc.	BOA	(1.730	%)	09/20/2015	2.231	%	11,000	282		0		282
Ryder System, Inc.	CITI	(3.060	%)	03/20/2013	2.291	%	8,690	(234	)	0		(234	)
Ryder System, Inc.	DUB	(1.320	%)	12/20/2016	2.158	%	10,000	497		883		(386	)
Ryder System, Inc.	GSC	(1.700	%)	09/20/2015	2.231	%	7,000	190		0		190
Ryder System, Inc.	GSC	(1.050	%)	12/20/2016	2.158	%	7,700	508		806		(298	)
Ryder System, Inc.	GSC	(1.960	%)	12/20/2016	2.158	%	7,300	83		0		83
Ryder System, Inc.	JPM	(0.270	%)	06/20/2011	2.232	%	5,300	198		0		198
Ryland Group, Inc.	BCLY	(1.000	%)	06/20/2017	2.088	%	2,200	149		159		(10	)
Ryland Group, Inc.	DUB	(1.000	%)	03/20/2015	2.228	%	9,000	532		668		(136	)
Ryland Group, Inc.	RBS	(1.000	%)	06/20/2017	2.088	%	900	61		67		(6	)
SCA Finans AB	DUB	(0.810	%)	09/20/2015	1.096	%	5,250	82		664		(582	)
Seagate Technology HDD Holdings	JPM	(2.250	%)	12/20/2011	6.226	%	11,100	958		735		223
Sealed Air Corp.	BOA	(1.060	%)	09/20/2013	1.255	%	9,250	68		517		(449	)
Sempra Energy	DUB	(1.250	%)	03/20/2019	0.940	%	15,000	(371	)	0		(371	)
Simon Property Group LP	GSC	(1.470	%)	12/20/2016	2.247	%	8,400	385		1,023		(638	)
Simon Property Group LP	GSC	(3.010	%)	12/20/2016	2.247	%	11,600	(536	)	0		(536	)
Simon Property Group LP	JPM	(0.180	%)	06/20/2010	2.245	%	8,000	159		0		159
Simon Property Group LP	MSC	(1.120	%)	06/20/2016	2.272	%	10,000	648		1,361		(713	)
Simon Property Group LP	MSC	(0.885	%)	06/20/2018	2.178	%	2,000	175		268		(93	)
Simon Property Group LP	RBS	(0.220	%)	09/20/2011	2.250	%	5,100	220		0		220
Simon Property Group LP	RBS	(1.060	%)	03/20/2017	2.234	%	8,000	570		1,135		(565	)
Spectra Energy Capital LLC	DUB	(1.200	%)	06/20/2018	0.627	%	1,200	(53	)	52		(105	)
Spectra Energy Capital LLC	MSC	(1.150	%)	06/20/2018	0.627	%	2,500	(100	)	120		(220	)
Spectra Energy Capital LLC	RBS	(2.000	%)	03/20/2014	0.552	%	24,000	(1,560	)	0		(1,560	)
Sprint Capital Corp.	BCLY	(3.630	%)	03/20/2012	3.778	%	11,000	31		0		31
Staples, Inc.	BOA	(3.750	%)	03/20/2014	1.294	%	18,000	(1,940	)	0		(1,940	)
Tate & Lyle International Finance PLC	BCLY	(1.250	%)	12/20/2014	1.529	%	12,000	160		0		160
Temple-Inland, Inc.	BNP	(6.670	%)	03/20/2018	2.393	%	7,430	(2,100	)	0		(2,100	)
Toll Brothers Finance Corp.	MSC	(1.390	%)	09/20/2013	1.497	%	9,800	37		0		37
Transocean, Inc.	GSC	(1.820	%)	03/20/2018	0.948	%	2,100	(135	)	0		(135	)
Tyco Electronics Group S.A.	DUB	(0.950	%)	12/20/2017	2.072	%	7,500	554		494		60
Tyco Electronics Group S.A.	GSC	(1.530	%)	12/20/2012	2.077	%	6,500	112		0		112
Tyson Foods, Inc.	BNP	(1.000	%)	03/20/2014	2.029	%	4,000	172		136		36

Tyson Foods, Inc.	RBS	(3.200	%)	12/20/2011	1.978	%	25,000		(743	)		0			(743	)
Tyson Foods, Inc.	RBS	(3.250	%)	06/20/2016	1.987	%	19,000		(1,392	)		0			(1,392	)
UBS Warburg LLC	GSC	(2.010	%)	06/20/2018	1.273	%	10,000		(541	)		0			(541	)
UBS Warburg LLC	MSC	(0.505	%)	12/20/2017	1.271	%	29,600		1,574			1,498			76
Union Pacific Corp.	BOA	(1.050	%)	03/20/2019	0.608	%	30,000		(1,084	)		0			(1,084	)
Union Pacific Corp.	CITI	(1.050	%)	03/20/2019	0.608	%	10,000		(361	)		0			(361	)
Universal Health Services, Inc.	BOA	(0.787	%)	06/20/2016	0.664	%	2,575		(20	)		129			(149	)
Universal Health Services, Inc.	BOA	(1.250	%)	06/20/2016	0.664	%	8,000		(293	)		303			(596	)
Universal Health Services, Inc.	BOA	(1.610	%)	06/20/2016	0.664	%	7,000		(413	)		50			(463	)
UST, Inc.	BCLY	(0.700	%)	03/20/2018	0.381	%	24,000		(584	)		0			(584	)
Valero Energy Corp.	CSFB	(2.650	%)	03/20/2019	2.450	%	15,000		(222	)		0			(222	)
Viacom, Inc.	DUB	(1.150	%)	06/20/2016	1.593	%	5,000		129			394			(265	)
Viacom, Inc.	MSC	(0.640	%)	06/20/2011	1.490	%	5,200		84			0			84
Viacom, Inc.	UBS	(0.470	%)	06/20/2011	1.490	%	10,000		196			323			(127	)
Vivendi	BCLY	(1.510	%)	06/20/2018	1.284	%	20,000		(337	)		0			(337	)
Vivendi	BOA	(1.200	%)	06/20/2013	1.186	%	10,000		(8	)		102			(110	)
Vivendi	BOA	(1.280	%)	06/20/2013	1.186	%	30,000		(115	)		204			(319	)
Vivendi	CSFB	(1.465	%)	06/20/2018	1.284	%	8,000		(109	)		12			(121	)
Vivendi	CSFB	(1.540	%)	06/20/2018	1.284	%	4,700		(90	)		7			(97	)
Vivendi	DUB	(1.000	%)	06/20/2018	1.284	%	15,000		307			0			307
Vivendi	RBS	(1.500	%)	06/20/2018	1.284	%	20,000		(323	)		29			(352	)
VTB Capital S.A.	BCLY	(2.150	%)	05/20/2013	6.520	%	15,000		2,082			6,476			(4,394	)
Waste Management, Inc.	BOA	(1.460	%)	03/20/2014	0.806	%	7,650		(224	)		(127	)		(97	)
Waste Management, Inc.	CITI	(1.300	%)	03/20/2019	0.778	%	12,000		(504	)		0			(504	)
Weatherford International Ltd.	BCLY	(0.790	%)	06/20/2012	1.186	%	16,500		184			587			(403	)
Wesfarmers Ltd.	BCLY	(2.235	%)	06/20/2013	1.288	%	25,000		(896	)		373			(1,269	)
Wesfarmers Ltd.	GSC	(2.510	%)	06/20/2013	1.288	%	23,200		(1,072	)		0			(1,072	)
Weyerhaeuser	DUB	(1.000	%)	03/20/2012	1.473	%	7,500		90			51			39
XL Capital Finance Europe PLC	BCLY	(0.310	%)	03/20/2012	4.249	%	10,600		1,030			0			1,030
XL Capital Ltd.	CSFB	(1.410	%)	09/20/2014	4.253	%	1,600		191			436			(245	)
Xstrata Finance Canada Ltd.	JPM	(0.290	%)	12/20/2011	3.544	%	11,250		848			0			848
								$	40,896		$	68,856		$	(27,960	)

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American Express Co.	CITI	4.300	%	12/20/2013	2.341	%	$	18,000	$	1,411		$	0		$	1,411
American International Group, Inc.	BCLY	1.800	%	03/20/2013	16.024	%		3,700		(1,287	)		0			(1,287	)
American International Group, Inc.	BCLY	1.815	%	03/20/2013	16.024	%		9,150		(3,178	)		0			(3,178	)
American International Group, Inc.	BCLY	1.130	%	06/20/2013	15.775	%		9,100		(3,398	)		0			(3,398	)
American International Group, Inc.	BCLY	6.500	%	12/20/2013	15.312	%		20,000		(4,806	)		0			(4,806	)
American International Group, Inc.	BOA	0.195	%	03/20/2010	16.768	%		5,000		(556	)		0			(556	)
American International Group, Inc.	CITI	6.550	%	12/20/2013	15.312	%		25,000		(5,973	)		0			(5,973	)
American International Group, Inc.	CSFB	1.810	%	03/20/2013	16.024	%		6,000		(2,085	)		0			(2,085	)
American International Group, Inc.	CSFB	2.270	%	03/20/2013	16.024	%		5,000		(1,680	)		0			(1,680	)
American International Group, Inc.	DUB	1.120	%	06/20/2013	15.775	%		10,700		(3,998	)		0			(3,998	)
American International Group, Inc.	DUB	1.130	%	06/20/2013	15.775	%		200		(75	)		0			(75	)
American International Group, Inc.	GSC	5.000	%	06/20/2010	16.747	%		4,000		(410	)		(640	)		230
American International Group, Inc.	GSC	1.150	%	06/20/2013	15.775	%		10,000		(3,729	)		0			(3,729	)
American International Group, Inc.	GSC	1.650	%	06/20/2013	15.775	%		17,000		(6,120	)		0			(6,120	)
American International Group, Inc.	UBS	2.250	%	03/20/2013	16.024	%		1,000		(337	)		0			(337	)
Berkshire Hathaway Finance Corp.	BCLY	1.012	%	09/20/2013	2.396	%		20,000		(1,036	)		0			(1,036	)
Brazil Government International Bond	BCLY	1.400	%	05/20/2010	0.915	%		25,000		176			0			176
Brazil Government International Bond	BCLY	0.980	%	01/20/2012	1.265	%		15,000		(40	)		0			(40	)
Brazil Government International Bond	BCLY	1.620	%	03/20/2013	1.486	%		20,900		196			0			196
Brazil Government International Bond	CSFB	2.090	%	05/20/2016	1.872	%		10,000		153			0			153
Brazil Government International Bond	DUB	0.980	%	01/20/2012	1.265	%		7,500		(20	)		0			(20	)
Brazil Government International Bond	MLP	1.710	%	05/20/2013	1.516	%		15,000		136			0			136
Brazil Government International Bond	MLP	1.950	%	04/20/2016	1.867	%		300		3			0			3
Brazil Government International Bond	MSC	1.140	%	11/20/2011	1.227	%		50,000		(35	)		0			(35	)
Brazil Government International Bond	MSC	1.660	%	03/20/2013	1.486	%		47,000		512			0			512
Brazil Government International Bond	MSC	1.520	%	01/20/2017	1.909	%		6,000		(107	)		0			(107	)
California State General Obligation Notes, Series 2005	GSC	0.610	%	03/20/2018	2.950	%		25,000		(2,640	)		0			(2,640	)
Chrysler Financial	DUB	5.050	%	09/20/2012	8.590	%		6,000		(526	)		0			(526	)
CIT Group, Inc.	BNP	7.600	%	03/20/2010	19.381	%		10,000		(754	)		0			(754	)
CIT Group, Inc.	CITI	5.000	%	12/20/2013	16.484	%		5,200		(1,509	)		(1,326	)		(183	)
CIT Group, Inc.	DUB	7.550	%	03/20/2010	19.381	%		15,000		(1,137	)		0			(1,137	)
CIT Group, Inc.	DUB	5.000	%	12/20/2013	16.484	%		15,000		(4,352	)		(3,750	)		(602	)
CIT Group, Inc.	GSC	5.000	%	03/20/2014	16.237	%		10,000		(2,925	)		(800	)		(2,125	)
CIT Group, Inc.	JPM	7.300	%	03/20/2010	19.381	%		25,000		(1,937	)		0			(1,937	)
CIT Group, Inc.	JPM	7.350	%	03/20/2010	19.381	%		10,000		(771	)		0			(771	)
CIT Group, Inc.	MLP	5.000	%	12/20/2013	16.484	%		10,000		(2,901	)		(2,200	)		(701	)
CIT Group, Inc.	MLP	5.000	%	03/20/2014	16.237	%		5,000		(1,462	)		(425	)		(1,037	)
CIT Group, Inc.	RBS	7.300	%	03/20/2010	19.381	%		25,000		(1,937	)		0			(1,937	)
CIT Group, Inc.	RBS	7.350	%	03/20/2010	19.381	%		15,000		(1,157	)		0			(1,157	)
Colombia Government International Bond	BCLY	2.200	%	05/20/2010	1.033	%		25,000		366			0			366
El Paso Corp.	CITI	5.000	%	06/20/2012	6.705	%		3,900		(163	)		(193	)		30
Florida State Board of Education General Obligation Notes, Series 2005	CITI	0.470	%	03/20/2018	2.000	%		10,000		(807	)		0			(807	)
Ford Motor Credit Co. LLC	BCLY	4.150	%	09/20/2012	10.284	%		10,000		(1,506	)		0			(1,506	)
Ford Motor Credit Co. LLC	BCLY	5.800	%	09/20/2012	10.284	%		4,100		(449	)		0			(449	)
Ford Motor Credit Co. LLC	BNP	4.450	%	06/20/2011	10.627	%		10,000		(1,024	)		0			(1,024	)
Ford Motor Credit Co. LLC	CITI	5.800	%	09/20/2012	10.284	%		10,000		(1,094	)		0			(1,094	)
Ford Motor Credit Co. LLC	DUB	4.760	%	06/20/2011	10.627	%		10,000		(971	)		0			(971	)
Ford Motor Credit Co. LLC	DUB	4.770	%	06/20/2011	10.627	%		10,000		(970	)		0			(970	)
Ford Motor Credit Co. LLC	DUB	4.830	%	06/20/2011	10.627	%		10,000		(959	)		0			(959	)
Ford Motor Credit Co. LLC	DUB	4.920	%	06/20/2011	10.627	%		10,000		(944	)		0			(944	)
Ford Motor Credit Co. LLC	DUB	5.020	%	06/20/2011	10.627	%		3,000		(278	)		0			(278	)
Ford Motor Credit Co. LLC	DUB	4.620	%	09/20/2011	10.482	%		25,000		(2,684	)		0			(2,684	)
Ford Motor Credit Co. LLC	DUB	3.850	%	09/20/2012	10.284	%		10,000		(1,581	)		0			(1,581	)
Ford Motor Credit Co. LLC	DUB	5.650	%	09/20/2012	10.284	%		3,500		(396	)		0			(396	)
Ford Motor Credit Co. LLC	DUB	5.750	%	09/20/2012	10.284	%		10,000		(1,106	)		0			(1,106	)
Ford Motor Credit Co. LLC	DUB	5.850	%	09/20/2012	10.284	%		10,000		(1,081	)		0			(1,081	)
Ford Motor Credit Co. LLC	GSC	5.050	%	06/20/2011	10.627	%		10,000		(922	)		0			(922	)
Ford Motor Credit Co. LLC	GSC	3.850	%	09/20/2012	10.284	%		5,800		(917	)		0			(917	)
Ford Motor Credit Co. LLC	GSC	5.700	%	09/20/2012	10.284	%		10,000		(1,119	)		0			(1,119	)
Ford Motor Credit Co. LLC	GSC	5.850	%	09/20/2012	10.284	%		12,800		(1,384	)		0			(1,384	)
Ford Motor Credit Co. LLC	JPM	4.150	%	06/20/2010	11.315	%		10,000		(636	)		0			(636	)
Ford Motor Credit Co. LLC	JPM	4.600	%	06/20/2011	10.627	%		15,000		(1,498	)		0			(1,498	)
Ford Motor Credit Co. LLC	JPM	5.320	%	06/20/2011	10.627	%		10,000		(876	)		0			(876	)
Ford Motor Credit Co. LLC	JPM	5.620	%	09/20/2012	10.284	%		10,000		(1,139	)		0			(1,139	)
Ford Motor Credit Co. LLC	JPM	5.750	%	09/20/2012	10.284	%		8,000		(885	)		0			(885	)
Ford Motor Credit Co. LLC	MLP	5.620	%	09/20/2012	10.284	%		5,100		(581	)		0			(581	)
Ford Motor Credit Co. LLC	MSC	4.750	%	03/20/2011	10.815	%		10,000		(894	)		0			(894	)
Ford Motor Credit Co. LLC	MSC	4.500	%	06/20/2011	10.627	%		20,000		(2,031	)		0			(2,031	)
Ford Motor Credit Co. LLC	UBS	5.350	%	12/20/2010	11.061	%		10,000		(733	)		0			(733	)
Ford Motor Credit Co. LLC	UBS	4.750	%	03/20/2011	10.815	%		5,000		(447	)		0			(447	)
Ford Motor Credit Co. LLC	UBS	4.470	%	06/20/2011	10.627	%		25,000		(2,552	)		0			(2,552	)
Ford Motor Credit Co. LLC	UBS	4.800	%	06/20/2011	10.627	%		25,000		(2,411	)		0			(2,411	)
General Electric Capital Corp.	BCLY	0.770	%	06/20/2010	3.927	%		6,500		(194	)		0			(194	)
General Electric Capital Corp.	BCLY	0.850	%	06/20/2010	3.927	%		17,500		(508	)		0			(508	)
General Electric Capital Corp.	BCLY	1.020	%	09/20/2010	3.944	%		52,100		(1,793	)		0			(1,793	)
General Electric Capital Corp.	BCLY	0.935	%	12/20/2010	4.048	%		7,200		(315	)		0			(315	)
General Electric Capital Corp.	BCLY	0.620	%	03/20/2011	4.121	%		32,500		(1,851	)		0			(1,851	)
General Electric Capital Corp.	BCLY	5.000	%	06/20/2012	4.175	%		22,300		518			459			59
General Electric Capital Corp.	BCLY	0.640	%	12/20/2012	4.354	%		33,800		(3,796	)		0			(3,796	)
General Electric Capital Corp.	BCLY	0.910	%	03/20/2013	4.347	%		50,000		(5,494	)		0			(5,494	)
General Electric Capital Corp.	BCLY	1.580	%	03/20/2013	4.347	%		25,000		(2,206	)		0			(2,206	)
General Electric Capital Corp.	BCLY	1.280	%	06/20/2013	4.342	%		40,000		(4,122	)		0			(4,122	)
General Electric Capital Corp.	BCLY	4.050	%	12/20/2013	4.336	%		25,000		(240	)		0			(240	)
General Electric Capital Corp.	BCLY	4.800	%	12/20/2013	4.336	%		30,000		552			0			552
General Electric Capital Corp.	BCLY	5.000	%	06/20/2014	4.176	%		20,000		946			560			386
General Electric Capital Corp.	BNP	1.100	%	12/20/2009	3.899	%		1,300		(17	)		0			(17	)
General Electric Capital Corp.	BNP	0.940	%	12/20/2010	4.048	%		22,800		(995	)		0			(995	)
General Electric Capital Corp.	BNP	0.800	%	06/20/2011	4.176	%		10,000		(622	)		0			(622	)
General Electric Capital Corp.	BNP	4.700	%	12/20/2013	4.336	%		7,300		107			0			107
General Electric Capital Corp.	BOA	0.192	%	03/20/2010	3.900	%		50,000		(1,316	)		0			(1,316	)
General Electric Capital Corp.	BOA	0.800	%	06/20/2010	3.927	%		25,000		(738	)		0			(738	)
General Electric Capital Corp.	BOA	5.000	%	06/20/2010	3.783	%		15,300		196			(421	)		617
General Electric Capital Corp.	BOA	5.000	%	06/20/2012	4.175	%		25,000		581			332			249
General Electric Capital Corp.	BOA	5.000	%	06/20/2014	4.176	%		120,500		4,162			4,012			150
General Electric Capital Corp.	CITI	1.050	%	03/20/2010	3.900	%		5,400		(108	)		0			(108	)
General Electric Capital Corp.	CITI	1.100	%	03/20/2010	3.900	%		14,800		(291	)		0			(291	)
General Electric Capital Corp.	CITI	1.150	%	03/20/2010	3.900	%		9,000		(173	)		0			(173	)
General Electric Capital Corp.	CITI	1.100	%	06/20/2010	3.927	%		26,400		(702	)		0			(702	)
General Electric Capital Corp.	CITI	5.000	%	06/20/2010	3.783	%		12,400		159			(292	)		451
General Electric Capital Corp.	CITI	1.120	%	12/20/2010	4.048	%		8,600		(353	)		0			(353	)
General Electric Capital Corp.	CITI	5.000	%	06/20/2011	4.022	%		7,000		136			(340	)		476
General Electric Capital Corp.	CITI	4.000	%	12/20/2013	4.336	%		17,300		(198	)		0			(198	)
General Electric Capital Corp.	CITI	4.325	%	12/20/2013	4.336	%		57,300		38			0			38
General Electric Capital Corp.	CITI	4.800	%	12/20/2013	4.336	%		50,000		919			0			919
General Electric Capital Corp.	CITI	4.875	%	12/20/2013	4.336	%		46,900		994			0			994
General Electric Capital Corp.	CITI	3.800	%	03/20/2014	4.336	%		30,000		(593	)		0			(593	)
General Electric Capital Corp.	CITI	3.820	%	03/20/2014	4.336	%		50,000		(949	)		0			(949	)
General Electric Capital Corp.	CITI	3.850	%	03/20/2014	4.336	%		25,900		(461	)		0			(461	)
General Electric Capital Corp.	CITI	3.950	%	03/20/2014	4.336	%		15,000		(209	)		0			(209	)
General Electric Capital Corp.	CITI	4.000	%	03/20/2014	4.336	%		50,000		(599	)		0			(599	)
General Electric Capital Corp.	CITI	5.000	%	09/20/2014	4.176	%		50,000		1,790			1,187			603
General Electric Capital Corp.	DUB	0.800	%	06/20/2010	3.927	%		20,200		(597	)		0			(597	)
General Electric Capital Corp.	DUB	1.020	%	06/20/2010	3.927	%		26,400		(723	)		0			(723	)
General Electric Capital Corp.	DUB	1.070	%	09/20/2010	3.944	%		21,900		(740	)		0			(740	)
General Electric Capital Corp.	DUB	0.950	%	12/20/2010	4.048	%		10,400		(453	)		0			(453	)
General Electric Capital Corp.	DUB	5.000	%	03/20/2011	4.121	%		1,100		17			(72	)		89
General Electric Capital Corp.	DUB	1.500	%	09/20/2011	4.219	%		900		(50	)		0			(50	)
General Electric Capital Corp.	DUB	5.000	%	06/20/2013	4.182	%		55,000		1,596			1,269			327
General Electric Capital Corp.	DUB	5.000	%	09/20/2013	4.177	%		30,000		918			634			284
General Electric Capital Corp.	DUB	4.300	%	12/20/2013	4.336	%		24,700		(7	)		0			(7	)
General Electric Capital Corp.	DUB	4.800	%	12/20/2013	4.336	%		20,000		368			0			368
General Electric Capital Corp.	DUB	4.900	%	12/20/2013	4.336	%		34,100		754			0			754
General Electric Capital Corp.	DUB	4.000	%	03/20/2014	4.336	%		10,000		(120	)		0			(120	)
General Electric Capital Corp.	DUB	4.050	%	03/20/2014	4.336	%		25,000		(251	)		0			(251	)
General Electric Capital Corp.	DUB	5.000	%	06/20/2014	4.176	%		49,800		2,094			1,615			479
General Electric Capital Corp.	GSC	0.900	%	12/20/2010	4.048	%		6,400		(283	)		0			(283	)
General Electric Capital Corp.	GSC	8.000	%	03/20/2011	4.121	%		2,900		189			0			189
General Electric Capital Corp.	GSC	0.960	%	06/20/2011	4.176	%		14,000		(829	)		0			(829	)
General Electric Capital Corp.	GSC	5.000	%	06/20/2011	4.022	%		16,400		318			245			73
General Electric Capital Corp.	GSC	1.280	%	06/20/2013	4.342	%		10,000		(1,031	)		0			(1,031	)
General Electric Capital Corp.	JPM	5.000	%	06/20/2010	3.783	%		100		1			(4	)		5
General Electric Capital Corp.	JPM	0.280	%	03/20/2016	4.151	%		10,000		(1,925	)		0			(1,925	)
General Electric Capital Corp.	MLP	1.100	%	12/20/2009	3.899	%		23,000		(298	)		0			(298	)
General Electric Capital Corp.	MLP	0.800	%	06/20/2010	3.927	%		15,000		(443	)		0			(443	)
General Electric Capital Corp.	RBS	1.100	%	09/20/2009	3.899	%		200		(1	)		0			(1	)
GMAC LLC	DUB	4.000	%	09/20/2012	10.203	%		10,000		(1,511	)		0			(1,511	)
GMAC LLC	GSC	3.600	%	09/20/2009	13.784	%		50,000		(1,086	)		0			(1,086	)
GMAC LLC	GSC	3.950	%	09/20/2009	13.784	%		25,000		(521	)		0			(521	)
GMAC LLC	JPM	3.750	%	09/20/2012	10.203	%		12,000		(1,888	)		0			(1,888	)
GMAC LLC	UBS	3.600	%	09/20/2009	13.784	%		25,000		(543	)		0			(543	)
HSBC Finance Corp.	RBS	1.800	%	03/20/2010	4.882	%		16,700		(356	)		0			(356	)
Indonesia Government International Bond	RBS	1.310	%	12/20/2011	2.930	%		44,300		(1,672	)		0			(1,672	)
Indonesia Government International Bond	RBS	1.330	%	12/20/2011	2.930	%		50,000		(1,863	)		0			(1,863	)
Indonesia Government International Bond	RBS	1.085	%	03/20/2012	2.953	%		24,270		(1,157	)		0			(1,157	)
JPMorgan Chase & Co.	BNP	0.930	%	03/20/2013	1.119	%		10,000		(64	)		0			(64	)
JPMorgan Chase & Co.	MSC	0.860	%	03/20/2013	1.119	%		9,000		(80	)		0			(80	)
JSC Gazprom	JPM	1.150	%	07/20/2009	3.400	%		25,000		98			0			98
JSC Gazprom	JPM	1.550	%	09/20/2009	3.402	%		50,000		12			0			12
JSC Gazprom	JPM	0.970	%	10/20/2012	4.963	%		45,400		(5,220	)		0			(5,220	)
JSC Gazprom	JPM	1.020	%	10/20/2012	4.963	%		45,400		(5,149	)		0			(5,149	)
JSC Gazprom	JPM	2.170	%	02/20/2013	4.938	%		58,600		(4,683	)		0			(4,683	)
JSC Gazprom	JPM	2.180	%	02/20/2013	4.938	%		49,900		(3,970	)		0			(3,970	)
JSC Gazprom	MSC	0.870	%	11/20/2011	5.055	%		50,000		(4,573	)		0			(4,573	)
JSC Gazprom	MSC	2.180	%	02/20/2013	4.938	%		29,600		(2,355	)		0			(2,355	)
Mexico Government International Bond	BCLY	2.100	%	05/20/2010	1.280	%		40,000		455			0			455
Mexico Government International Bond	JPM	0.920	%	03/20/2016	2.125	%		6,950		(460	)		0			(460	)
Mexico Government International Bond	MLP	2.100	%	05/20/2010	1.280	%		10,000		114			0			114
Morgan Stanley	DUB	1.862	%	06/20/2010	2.622	%		20,000		(137	)		0			(137	)
Morgan Stanley	RBS	1.850	%	06/20/2010	2.622	%		6,100		(42	)		0			(42	)
Panama Government International Bond	CSFB	1.200	%	02/20/2017	2.199	%		14,400		(842	)		0			(842	)
Panama Government International Bond	DUB	1.170	%	04/20/2017	2.206	%		20,000		(1,277	)		0			(1,277	)
Panama Government International Bond	HSBC	0.760	%	01/20/2012	1.532	%		4,600		(73	)		0			(73	)
Panama Government International Bond	JPM	0.730	%	01/20/2012	1.532	%		12,600		(210	)		0			(210	)
Panama Government International Bond	JPM	1.250	%	01/20/2017	2.195	%		2,800		(149	)		0			(149	)
Panama Government International Bond	JPM	1.230	%	02/20/2017	2.198	%		10,000		(565	)		0			(565	)
Panama Government International Bond	MSC	0.750	%	01/20/2012	1.532	%		44,400		(713	)		0			(713	)
Prudential Financial, Inc.	GSC	2.250	%	03/20/2013	5.559	%		10,000		(1,014	)		0			(1,014	)
Qwest Capital Funding, Inc.	BOA	4.750	%	09/20/2010	6.155	%		5,000		(76	)		0			(76	)
Qwest Capital Funding, Inc.	CSFB	4.160	%	09/20/2010	5.928	%		3,000		(59	)		0			(59	)
Qwest Capital Funding, Inc.	CSFB	4.170	%	09/20/2010	6.155	%		5,000		(111	)		0			(111	)
Qwest Capital Funding, Inc.	CSFB	4.650	%	09/20/2010	6.155	%		2,000		(33	)		0			(33	)
Qwest Capital Funding, Inc.	GSC	4.170	%	09/20/2010	6.155	%		5,000		(111	)		0			(111	)
Republic of Korea Government Bond	JPM	3.800	%	12/20/2009	1.595	%		3,000		34			0			34
SLM Corp.	BCLY	5.000	%	09/20/2011	8.457	%		2,800		(181	)		(196	)		15
SLM Corp.	BNP	4.600	%	03/20/2010	8.950	%		5,000		(145	)		0			(145	)
SLM Corp.	BOA	4.350	%	06/20/2010	9.053	%		50,000		(2,096	)		0			(2,096	)
SLM Corp.	BOA	5.000	%	12/20/2010	8.657	%		7,500		(357	)		(525	)		168
SLM Corp.	BOA	5.000	%	12/20/2011	8.365	%		44,200		(3,066	)		(3,536	)		470
SLM Corp.	CITI	5.000	%	06/20/2011	8.506	%		25,000		(1,160	)		(1,812	)		652
SLM Corp.	CITI	5.000	%	12/20/2013	8.248	%		35,900		(3,720	)		(4,909	)		1,189
SLM Corp.	DUB	4.530	%	03/20/2010	8.950	%		20,000		(588	)		0			(588	)
SLM Corp.	DUB	5.000	%	12/20/2013	8.248	%		15,000		(1,555	)		(1,988	)		433
SLM Corp.	DUB	5.000	%	09/20/2014	7.854	%		1,500		(153	)		(169	)		16
SLM Corp.	GSC	10.500	%	09/20/2009	8.948	%		25,000		152			0			152
SLM Corp.	GSC	5.000	%	03/20/2010	8.950	%		4,500		(117	)		(180	)		63
SLM Corp.	GSC	4.660	%	06/20/2010	9.053	%		25,000		(975	)		0			(975	)
SLM Corp.	RBS	4.100	%	03/20/2011	8.899	%		10,000		(722	)		0			(722	)
UBS Warburg LLC	BNP	0.760	%	03/20/2013	1.252	%		30		(1	)		0			(1	)
Wells Fargo & Co.	BCLY	1.000	%	03/20/2013	1.510	%		5,600		(108	)		(115	)		7
Wells Fargo & Co	BCLY	2.500	%	12/20/2013	1.533	%		5,000		200			0			200
Wells Fargo & Co.	CITI	1.000	%	03/20/2013	1.510	%		7,100		(123	)		(159	)		36
Wells Fargo & Co	DUB	1.240	%	03/20/2013	1.568	%		4,500		(50	)		0			(50	)
Wells Fargo & Co.	DUB	1.000	%	09/20/2013	1.476	%		14,000		(254	)		(352	)		98
Wells Fargo & Co	DUB	2.500	%	12/20/2013	1.533	%		5,000		200			0			200
Wells Fargo & Co.	MSC	1.000	%	03/20/2013	1.510	%		3,600		(61	)		(83	)		22
									$	(170,934	)	$	(14,174	)	$	(156,760	)

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.HY-8 5-Year Index 25-35%	CITI	1.846	%	06/20/2012	$	35,500	$	(8,395	)	$	0	$	(8,395	)
CDX.HY-8 5-Year Index 25-35%	CITI	2.144	%	06/20/2012		32,300		(7,385	)		0		(7,385	)
CDX.HY-8 5-Year Index 25-35%	CITI	2.179	%	06/20/2012		22,600		(5,146	)		0		(5,146	)
CDX.HY-8 5-Year Index 25-35%	MLP	1.833	%	06/20/2012		51,800		(12,267	)		0		(12,267	)
CDX.HY-8 5-Year Index 25-35%	MLP	1.847	%	06/20/2012		40,400		(9,553	)		0		(9,553	)
CDX.HY-8 5-Year Index 25-35%	MLP	2.070	%	06/20/2012		48,800		(11,252	)		0		(11,252	)
CDX.HY-8 5-Year Index 25-35%	MLP	2.080	%	06/20/2012		31,000		(7,140	)		0		(7,140	)
CDX.HY-8 5-Year Index 25-35%	MLP	2.127	%	06/20/2012		25,200		(5,773	)		0		(5,773	)
CDX.HY-8 5-Year Index 25-35%	MSC	2.080	%	06/20/2012		7,600		(1,750	)		0		(1,750	)
CDX.HY-8 5-Year Index 25-35%	MSC	2.140	%	06/20/2012		65,700		(15,028	)		0		(15,028	)
CDX.HY-8 5-Year Index 25-35%	MSC	2.170	%	06/20/2012		23,800		(5,425	)		0		(5,425	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.360	%	06/20/2012		100,986		(4,857	)		0		(4,857	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.401	%	06/20/2012		127,107		(5,968	)		0		(5,968	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.415	%	06/20/2012		97,102		(4,521	)		0		(4,521	)
CDX.IG-9 5-Year Index 15-30%	DUB	0.990	%	12/20/2012		50,000		263			0		263
CDX.IG-9 5-Year Index 15-30%	DUB	1.180	%	12/20/2012		30,000		352			0		352
CDX.IG-9 5-Year Index 15-30%	GSC	0.830	%	12/20/2012		30,000		(5	)		0		(5	)
CDX.IG-9 5-Year Index 15-30%	GSC	0.940	%	12/20/2012		33,800		121			0		121
CDX.IG-9 5-Year Index 15-30%	MSC	0.963	%	12/20/2012		102,700		448			0		448
CDX.IG-9 5-Year Index 30-100%	DUB	0.530	%	12/20/2012		213,028		1,312			0		1,312
CDX.IG-9 5-Year Index 30-100%	DUB	0.695	%	12/20/2012		97,228		1,131			0		1,131
CDX.IG-9 5-Year Index 30-100%	DUB	0.701	%	12/20/2012		80,894		958			0		958
CDX.IG-9 5-Year Index 30-100%	DUB	0.705	%	12/20/2012		9,917		119			0		119
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012		14,001		169			0		169
CDX.IG-9 5-Year Index 30-100%	DUB	0.710	%	12/20/2012		27,807		337			0		337
CDX.IG-9 5-Year Index 30-100%	DUB	0.770	%	12/20/2012		165,288		2,334			0		2,334
CDX.IG-9 5-Year Index 30-100%	DUB	0.780	%	12/20/2012		243,071		3,512			0		3,512
CDX.IG-9 5-Year Index 30-100%	GSC	0.695	%	12/20/2012		14,196		165			0		165
CDX.IG-9 5-Year Index 30-100%	GSC	0.705	%	12/20/2012		22,071		264			0		264
CDX.IG-9 5-Year Index 30-100%	MSC	0.711	%	12/20/2012		388,914		4,733			0		4,733
CDX.IG-9 5-Year Index 30-100%	MSC	0.771	%	12/20/2012		184,734		2,616			0		2,616
CDX.IG-9 10-Year Index 30-100%	GSC	0.507	%	12/20/2017		243,071		164			0		164
CDX.IG-9 10-Year Index 30-100%	GSC	0.548	%	12/20/2017		62,518		216			0		216
CDX.IG-9 10-Year Index 30-100%	JPM	0.510	%	12/20/2017		145,843		124			0		124
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017		132,036		503			0		503
CDX.IG-10 5-Year Index 30-100%	DUB	0.530	%	06/20/2013		133,203		1,103			0		1,103
CDX.IG-10 5-Year Index 30-100%	GSC	0.463	%	06/20/2013		164,899		949			0		949
CDX.IG-10 5-Year Index 30-100%	MLP	0.461	%	06/20/2013		243,071		1,387			0		1,387
							$	(81,185	)	$	0	$	(81,185	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP	EUR	65,400	$	3,159		$	(1	)	$	3,160
Pay	1-Month EUR-FRCPXTOB Index	2.103	%	10/15/2010	BCLY		50,700		2,840			(69	)		2,909
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		58,500		3,361			0			3,361
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	BCLY		105,800		2,037			79			1,958
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	JPM		190,800		3,750			46			3,704
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS		74,030		1,290			0			1,290
Pay	1-Month EUR-FRCPXTOB Index	1.950	%	03/30/2012	RBS		75,400		1,265			0			1,265
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	03/30/2012	GSC		74,100		1,384			0			1,384
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	04/05/2012	BCLY		34,200		590			0			590
Pay	1-Month EUR-FRCPXTOB Index	1.958	%	04/10/2012	JPM		21,200		361			10			351
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	485,600		338			0			338
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		148,200		230			0			230
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MSC		170,000		264			0			264
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		126,400		248			0			248
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS		282,200		3,611			(505	)		4,116
Pay	1-Year BRL-CDI	12.670	%	01/04/2010	MSC		282,400		3,649			(410	)		4,059
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		427,800		7,384			441			6,943
Pay	1-Year BRL-CDI	12.860	%	01/04/2010	GSC		7,100		130			15			115
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		203,900		3,953			177			3,776
Pay	1-Year BRL-CDI	14.370	%	01/04/2010	MLP		193,200		7,236			0			7,236
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		159,000		(2,134	)		(2,885	)		751
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	BCLY		62,100		(287	)		0			(287	)
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	JPM		47,800		(221	)		0			(221	)
Pay	1-Year BRL-CDI	10.610	%	01/02/2012	HSBC		99,700		(450	)		0			(450	)
Pay	1-Year BRL-CDI	11.650	%	01/02/2012	BCLY		247,000		1,323			120			1,203
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		8,300		312			55			257
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		47,500		1,791			175			1,616
Pay	3-Month AUD Bank Bill	4.250	%	06/15/2011	RBC	AUD	350,900		(1,703	)		(51	)		(1,652	)
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	DUB		400,800		(1,186	)		490			(1,676	)
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	UBS		389,700		(1,153	)		1,167			(2,320	)
Pay	3-Month AUD Bank Bill	5.000	%	12/15/2011	UBS		907,900		(3,978	)		2,330			(6,308	)
Pay	3-Month USD-LIBOR	3.150	%	12/17/2010	RBS	$	5,369,500		160,209			0			160,209
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	BOA		4,393,900		186,706			30,010			156,696
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	MSC		384,830		16,352			(897	)		17,249
Pay	3-Month USD-LIBOR	4.000	%	12/17/2010	RBS		176,600		7,504			4,565			2,939
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	BCLY		7,419,300		257,823			(72,969	)		330,792
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	RBS		6,250,800		217,218			(7,886	)		225,104
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	BCLY		166,400		8,292			6,395			1,897
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	BOA		2,066,300		102,978			66,439			36,539
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	DUB		1,161,900		57,906			41,674			16,232
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	MLP		1,336,600		66,612			41,189			25,423
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	RBS		1,487,600		74,138			51,678			22,460
Pay	3-Month USD-LIBOR	4.000	%	06/17/2019	MLP		700		15			66			(51	)
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	BOA		99,600		188			(2,177	)		2,365
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		597,500		1,125			(9,139	)		10,264
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	RBS		77,200		145			(1,797	)		1,942
Pay	6-Month AUD Bank Bill	4.250	%	09/15/2011	UBS		AUD 1,094,600		(3,806	)		5,211			(9,017	)
Pay	6-Month AUD Bank Bill	5.000	%	06/15/2013	DUB		251,400		(5,174	)		948			(6,122	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	BNP	EUR	257,200		29,440			(3,876	)		33,316
Pay	6-Month GBP-LIBOR	5.000	%	09/18/2009	GSC	GBP	1,675,000		41,630			(20,323	)		61,953
Pay	6-Month GBP-LIBOR	6.000	%	09/18/2009	MSC		500,000		16,584			3,038			13,546
Pay	6-Month GBP-LIBOR	4.500	%	09/20/2009	HSBC		325,000		6,881			(309	)		7,190
Pay	6-Month GBP-LIBOR	4.500	%	09/20/2009	MLP		154,700		3,276			(130	)		3,406
Pay	6-Month GBP-LIBOR	4.500	%	09/20/2009	UBS		250,000		5,293			(192	)		5,485
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC		188,200		7,113			(1,961	)		9,074
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	GSC		300,000		21,196			4,594			16,602
Pay	6-Month GBP-LIBOR	5.000	%	06/16/2011	BCLY		1,930		170			17			153
Pay	6-Month GBP-LIBOR	5.100	%	09/15/2013	RBS		19,200		2,276			(36	)		2,312
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		23,300		2,599			209			2,390
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		162,900		18,171			1,649			16,522
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	DUB		107,500		12,110			54			12,056
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	CSFB		80,000		10,543			(91	)		10,634
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	GSC		100,300		13,218			(57	)		13,275
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	MSC		70,000		9,225			0			9,225
Pay	28-Day MXN TIIE	8.000	%	02/17/2014	BCLY	MXN	300,000		739			0			739
Pay	28-Day MXN TIIE	8.000	%	02/17/2014	JPM		440,000		1,082			28			1,054
								$	1,389,171		$	137,108		$	1,252,063

(o) Purchased options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	4,654,700	$	49,803	$	166,867
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		3,549,800		37,821		127,257
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		998,800		11,187		35,806
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		6,317,700		60,252		226,484
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		2,453,600		26,867		107,237
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		1,570,400		15,095		63,863
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		4,833,100		54,808		173,263
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		2,102,000		22,229		91,870
									$	278,062	$	992,647

(p) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	352,500	$	1,463	$	286
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		806,500		3,970		1,671
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		1,538,000		7,009		2,113
Put - OTC 2-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		297,000		1,203		241
Put - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	3.750	%	11/23/2009		67,000		657		867
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		73,500		298		60
Put - OTC 5-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	3.750	%	11/23/2009		41,000		403		530
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		613,500		2,909		497
Put - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		200,500		862		163
Put - OTC 5-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.750	%	11/23/2009		229,000		2,290		2,962
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		2,523,000		10,055		5,227
									$	31,119	$	14,617

(q) Restricted securities as of June 30, 2009:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
California Statewide Communities Development Authority Certificates of Participation Bonds, Series 1999	6.100	%	11/01/2015	12/10/2008	$	1,106	$	1,146	0.00	%
Citigroup Mortgage Loan Trust, Inc.	0.384	%	05/25/2037	05/16/2007		19,477		12,513	0.01	%
DLJ Mortgage Acceptance Corp.	6.502	%	08/01/2021	07/21/1992		219		193	0.00	%
Lehman Brothers Holdings, Inc.	4.850	%	09/03/2013	10/10/2008		1,147		1,478	0.00	%
Michigan State Public Educational Facilities Authority Revenue Bonds, (Q-SBLF Insured), Series 2008	7.000	%	10/01/2036	12/11/2008		82		90	0.00	%
San Diego, California Community Facilities District No. 3 Special Tax Bonds, Series 2006	5.600	%	09/01/2021	12/10/2008 - 12/11/2008		1,677		1,759	0.00	%
United Airlines, Inc.	11.080	%	05/27/2024	12/28/2001		0		7	0.00	%
					$	23,708	$	17,186	0.01	%

(r) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Freddie Mac	5.500	%	07/01/2039	$	673,000	$	691,350	$	694,557

(s) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	CITI	25,000	07/2009	$	0	$	0		$	0
Buy		DUB	121,079	07/2009		1,111		0			1,111
Buy		GSC	50,737	07/2009		951		0			951
Sell	BRL	GSC	200,000	08/2009		0		(13,089	)		(13,089	)
Buy		HSBC	6,605	08/2009		263		0			263
Sell		HSBC	2,452,212	08/2009		0		(96,653	)		(96,653	)
Buy		JPM	188,335	08/2009		7,152		0			7,152
Sell		JPM	200,000	08/2009		0		(11,256	)		(11,256	)
Buy		MLP	218,115	08/2009		4,368		0			4,368
Sell		MLP	2,290,205	08/2009		0		(83,606	)		(83,606	)
Sell	CAD	HSBC	121,800	08/2009		426		0			426
Buy		JPM	172,382	08/2009		0		(9,185	)		(9,185	)
Buy	CHF	JPM	1,132	07/2009		0		(17	)		(17	)
Buy		RBC	1,132	10/2009		0		(5	)		(5	)
Buy	CNY	BCLY	1,250,095	07/2009		0		(10,491	)		(10,491	)
Sell		BCLY	827,200	07/2009		0		(4,579	)		(4,579	)
Sell		CITI	1,556,789	07/2009		0		(5,879	)		(5,879	)
Buy		DUB	2,359,485	07/2009		0		(18,541	)		(18,541	)
Sell		DUB	2,432,233	07/2009		0		(9,168	)		(9,168	)
Buy		HSBC	1,925,083	07/2009		0		(14,794	)		(14,794	)
Sell		HSBC	1,121,711	07/2009		0		(4,179	)		(4,179	)
Buy		JPM	1,029,913	07/2009		0		(9,010	)		(9,010	)
Sell		JPM	626,644	07/2009		0		(3,942	)		(3,942	)
Buy		BCLY	342,314	09/2009		671		0			671
Sell		BCLY	694,902	09/2009		0		(2,530	)		(2,530	)
Buy		CITI	220,932	09/2009		538		0			538
Sell		CITI	644,448	09/2009		0		(2,187	)		(2,187	)
Buy		DUB	1,000,996	09/2009		2,192		0			2,192
Buy		HSBC	445,491	09/2009		1,017		0			1,017
Sell		HSBC	224,299	09/2009		0		(864	)		(864	)
Buy		JPM	182,170	09/2009		299		0			299
Sell		JPM	628,255	09/2009		0		(2,381	)		(2,381	)
Buy		BCLY	233,076	03/2010		0		(160	)		(160	)
Buy		HSBC	233,622	03/2010		0		(80	)		(80	)
Buy		JPM	372,463	03/2010		0		(160	)		(160	)
Sell	EUR	BCLY	783,671	07/2009		0		(5,935	)		(5,935	)
Sell		GSC	25,684	07/2009		0		(25	)		(25	)
Buy		RBC	25,001	07/2009		648		0			648
Buy	GBP	BCLY	130,536	07/2009		7,049		0			7,049
Sell		BCLY	299,748	07/2009		0		(8,566	)		(8,566	)
Sell		CITI	636,677	07/2009		0		(62,378	)		(62,378	)
Sell		CSFB	2,686	07/2009		0		(127	)		(127	)
Sell		GSC	19,536	07/2009		0		(788	)		(788	)
Buy		MSC	8,600	07/2009		584		0			584
Sell		MSC	1,903	07/2009		0		(106	)		(106	)
Buy		RBS	7,077	07/2009		523		0			523
Sell		RBS	2,553	07/2009		0		(139	)		(139	)
Sell		MSC	816,890	08/2009		5,593		0			5,593
Buy	JPY	BCLY	400,000	07/2009		82		0			82
Buy		BNP	1,435,164	07/2009		16		0			16
Buy		MSC	1,835,164	08/2009		0		0			0
Sell	MXN	CITI	418	11/2009		0		(3	)		(3	)
Buy		JPM	852	11/2009		0		0			0
Buy	NZD	CITI	65,836	07/2009		451		0			451
Buy		GSC	42,527	07/2009		1,167		0			1,167
Sell	SEK	BCLY	12,648	07/2009		0		(33	)		(33	)
Buy		RBS	3,117	07/2009		0		(19	)		(19	)
Sell		RBS	9,531	10/2009		0		(1	)		(1	)
Buy	SGD	HSBC	65,450	07/2009		0		(76	)		(76	)
Sell		HSBC	65,450	07/2009		0		(2,153	)		(2,153	)
					$	35,101	$	(383,105	)	$	(348,004	)

(t) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	42,612,249		$	547,030	$	43,159,279
U.S. Government Agencies		0		123,652,562			100,321		123,752,883
Other Investments++		394,628		28,532,463			139,194		29,066,285
Investments, at value	$	394,628	$	194,797,274		$	786,545	$	195,978,447
Short Sales, at value	$	0	$	(694,557	)	$	0	$	(694,557	)
Financial Derivative Instruments+++	$	927,747	$	609,421		$	14,127	$	1,551,295
Total	$	1,322,375	$	194,712,138		$	800,672	$	196,835,185

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)			Total Realized Gain/ (Loss)			Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	3,374	$	396,380		$	12		$	24		$	25,479		$	121,761	$	547,030
U.S. Government Agencies		101,769		(763	)		(54	)		(31	)		(600	)		0		100,321
Other Investments++		37,161		102,769			26			141			(950	)		47		139,194
Investments, at value	$	142,304	$	498,386		$	(16	)	$	134		$	23,929		$	121,808	$	786,545
Financial Derivative Instruments+++	$	11,987	$	0		$	0		$	0		$	(1,843	)	$	3,983	$	14,127
Total	$	154,291	$	498,386		$	(16	)	$	134		$	22,086		$	125,791	$	800,672

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Total Return Fund II

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 24.5%
BANKING & FINANCE 18.8%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013	$	3,100	$	3,209
American Express Bank FSB
0.375% due 10/20/2009		8,650		8,650
5.500% due 04/16/2013		500		491
American Express Centurion Bank
0.478% due 11/16/2009		3,900		3,873
6.000% due 09/13/2017		4,000		3,654
American Express Co.
7.000% due 03/19/2018		200		195
American Express Credit Corp.
0.381% due 11/09/2009		6,600		6,556
5.875% due 05/02/2013		2,800		2,784
American Express Travel Related Services Co., Inc.
0.520% due 06/01/2011		6,400		5,679
American General Finance Corp.
4.875% due 05/15/2010		15,700		13,212
5.625% due 08/17/2011		400		256
American International Group, Inc.
1.217% due 10/18/2011		100		65
4.950% due 03/20/2012		1,200		817
5.050% due 10/01/2015		1,000		540
Bank of America Corp.
1.127% due 11/06/2009		2,600		2,596
2.375% due 06/22/2012		7,300		7,380
Bank of America N.A.
5.300% due 03/15/2017		325		276
6.000% due 10/15/2036		1,300		1,044
6.100% due 06/15/2017		16,100		14,208
Bank of New York Mellon Corp.
7.300% due 12/01/2009		400		410
Bear Stearns Cos. LLC
0.751% due 02/23/2010		4,000		3,996
0.842% due 08/21/2009		14,100		14,111
1.093% due 08/15/2011		700		682
1.269% due 01/31/2011		7,700		7,617
1.507% due 07/19/2010		5,900		5,906
CIT Group, Inc.
4.250% due 02/01/2010		3,570		3,205
5.200% due 11/03/2010		7,100		5,610
Citibank N.A.
1.625% due 03/30/2011		2,700		2,723
Citigroup Capital XXI
8.300% due 12/21/2077		26,800		20,932
Citigroup Funding, Inc.
0.639% due 09/22/2009		4,200		4,161
Citigroup, Inc.
0.631% due 12/28/2009		4,800		4,754
2.125% due 04/30/2012		1,600		1,608
5.300% due 10/17/2012		1,000		966
5.500% due 08/27/2012		3,025		2,934
5.500% due 04/11/2013		11,200		10,509
5.625% due 08/27/2012		2,500		2,343
5.850% due 07/02/2013		700		663
6.000% due 08/15/2017		7,900		6,898
8.400% due 04/29/2049 (a)		10,300		7,739
Countrywide Home Loans, Inc.
4.125% due 09/15/2009		500		502
5.625% due 07/15/2009		100		100
Credit Suisse USA, Inc.
1.083% due 08/15/2010		13,987		13,912
Fifth Third Bancorp
6.250% due 05/01/2013		350		344
8.250% due 03/01/2038		16,000		12,265
General Electric Capital Corp.
1.177% due 01/20/2010		8,000		7,954
1.800% due 03/11/2011		10,400		10,499
3.000% due 12/09/2011		6,800		7,020
5.875% due 01/14/2038		10,200		8,087
6.875% due 01/10/2039		3,900		3,517
Goldman Sachs Group, Inc.
0.934% due 11/16/2009		11,400		11,391
1.236% due 08/05/2011		1,000		960
5.300% due 02/14/2012		325		337
5.625% due 01/15/2017		5,800		5,521
5.950% due 01/18/2018		7,375		7,165
6.150% due 04/01/2018		4,700		4,583
6.250% due 09/01/2017		6,300		6,243
HSBC Bank USA N.A.
6.000% due 08/09/2017		55,500		56,113
HSBC Finance Corp.
0.719% due 03/12/2010		9,100		8,952
1.134% due 11/16/2009		8,400		8,335
1.162% due 10/21/2009		3,000		2,991
International Lease Finance Corp.
6.625% due 11/15/2013		5,180		3,992
JPMorgan Chase & Co.
1.026% due 05/07/2010		5,800		5,792
6.000% due 01/15/2018		1,700		1,692
7.900% due 04/29/2049		300		263
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		7,825		7,629
JPMorgan Chase Capital XX
6.550% due 09/15/2066		800		637
KBC Bank Funding Trust III
9.860% due 11/29/2049		12,000		5,280
KeyBank N.A.
2.906% due 06/02/2010		5,600		5,438
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		14,700		2,242
2.950% due 05/25/2010 (a)		1,700		259
5.625% due 01/24/2013 (a)		3,100		484
6.875% due 05/02/2018 (a)		1,200		198
Merrill Lynch & Co., Inc.
0.726% due 12/04/2009		4,800		4,791
0.867% due 06/05/2012		500		445
0.996% due 08/14/2009		8,100		8,100
3.188% due 05/12/2010		11,500		11,438
4.125% due 09/10/2009		325		325
6.050% due 08/15/2012		325		326
6.400% due 08/28/2017		4,400		3,901
MetLife, Inc.
6.400% due 12/15/2066		1,500		1,075
Metropolitan Life Global Funding I
0.894% due 05/17/2010		7,500		7,440
Morgan Stanley
1.221% due 01/15/2010		10,900		10,814
1.399% due 01/09/2012		1,000		902
3.006% due 05/14/2010		15,900		15,858
5.300% due 03/01/2013		1,150		1,166
5.625% due 01/09/2012		450		461
5.750% due 08/31/2012		850		879
5.950% due 12/28/2017		225		216
National City Bank
6.200% due 12/15/2011		375		386
PNC Funding Corp.
7.500% due 11/01/2009		335		340
Principal Life Income Funding Trusts
5.300% due 04/24/2013		2,800		2,797
5.550% due 04/27/2015		4,000		3,961
SLM Corp.
1.232% due 07/27/2009		2,900		2,888
4.000% due 07/25/2014		2,000		1,504
State Street Capital Trust III
8.250% due 03/15/2042		3,500		2,959
State Street Capital Trust IV
1.629% due 06/01/2077		600		348
U.S. Bank N.A.
6.375% due 08/01/2011		250		268
UBS Preferred Funding Trust I
8.622% due 10/29/2049		19,700		14,033
USB Capital IX
6.189% due 04/15/2049		700		473
Wachovia Corp.
5.625% due 10/15/2016		1,300		1,244
Wells Fargo & Co.
7.980% due 03/29/2049		29,300		24,355
ZFS Finance USA Trust I
5.875% due 05/09/2062		1,600		1,160
				518,802
INDUSTRIALS 5.3%
Abbott Laboratories
5.875% due 05/15/2016		325		355
Amgen, Inc.
6.900% due 06/01/2038		15,600		17,715
Comcast Corp.
5.875% due 02/15/2018		1,100		1,117
6.450% due 03/15/2037		1,100		1,086
Continental Airlines, Inc.
7.056% due 09/15/2009		1,600		1,584
Dell, Inc.
5.650% due 04/15/2018		6,000		6,105
Delta Air Lines, Inc.
6.619% due 09/18/2012		466		443
General Mills, Inc.
1.231% due 01/22/2010		3,500		3,495
6.000% due 02/15/2012		300		323
GlaxoSmithKline Capital, Inc.
4.850% due 05/15/2013		325		340
International Business Machines Corp.
5.700% due 09/14/2017		30,100		32,009
7.625% due 10/15/2018		350		419
Kraft Foods, Inc.
6.125% due 08/23/2018		375		389
Marathon Oil Corp.
6.000% due 10/01/2017		325		331
McDonald’s Corp.
5.800% due 10/15/2017		200		219
Oracle Corp.
4.950% due 04/15/2013		7,000		7,339
5.750% due 04/15/2018		6,900		7,291
PepsiCo, Inc.
5.000% due 06/01/2018		275		283
President and Fellows of Harvard College
6.500% due 01/15/2039		24,100		27,348
Roche Holdings, Inc.
6.000% due 03/01/2019		5,200		5,555
Rohm & Haas Co.
6.000% due 09/15/2017		2,100		1,881
Target Corp.
5.125% due 01/15/2013		6,200		6,575
Time Warner, Inc.
6.875% due 05/01/2012		380		407
United Airlines, Inc.
6.071% due 03/01/2013		13		13
9.190% due 12/24/2013 (a)		5,645		1,856
Wyeth
6.950% due 03/15/2011		400		433
Yum! Brands, Inc.
6.250% due 03/15/2018		20,000		20,612
				145,523
UTILITIES 0.4%
Alltel Corp.
7.000% due 07/01/2012		2,000		2,162
AT&T, Inc.
1.116% due 02/05/2010		2,300		2,302
4.950% due 01/15/2013		1,700		1,770
5.500% due 02/01/2018		1,700		1,700
6.250% due 03/15/2011		400		424
6.300% due 01/15/2038		1,200		1,162
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		2,900		2,828
Verizon Communications, Inc.
5.250% due 04/15/2013		500		525
				12,873
Total Corporate Bonds & Notes (Cost $700,999)				677,198
MUNICIPAL BONDS & NOTES 3.5%
California State General Obligation Bonds, Series 2007
5.000% due 11/01/2037		6,500		5,460
California State General Obligation Bonds, Series 2009
5.650% due 04/01/2039		1,900		1,870
7.500% due 04/01/2034		2,000		1,831
7.550% due 04/01/2039		2,000		1,823
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
6.125% due 06/01/2043		2,000		1,313
Chicago, Illinois Transit Authority Revenue Bonds, Series 2008
6.300% due 12/01/2021		600		621
6.899% due 12/01/2040		7,100		7,597
Clark County, Nevada General Obligation Bonds, Series 2008
5.000% due 06/01/2026		5,640		5,640
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		800		599
Los Angeles, California Department of Water & Power Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 07/01/2044		5,000		4,725
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
4.500% due 07/01/2022		6,300		6,048
Miami, Florida Rent Revenue Bonds, Series 1989
8.650% due 07/01/2019		155		182
Nashville & Davidson Counties, Tennessee Health & Educational Facilities Revenue Bonds, Series 2009
5.000% due 10/01/2039		13,700		13,753
Nevada State Truckee Meadows Water Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 07/01/2036		2,800		2,591
New York State Dormitory Authority Revenue Bonds, Series 2008
5.000% due 03/15/2026		9,460		9,742
North Carolina State Capital Facilities Finance Agency Revenue Bonds, Series 2009
5.000% due 10/01/2038		2,500		2,540
Southern California State Tobacco Securitization Agency Revenue Bonds, Series 2006
5.125% due 06/01/2046		1,800		987
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		3,200		3,062
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		3,000		2,858
University of California Revenue Bonds, Series 2009
5.250% due 05/15/2039		19,280		19,560
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
5.625% due 06/01/2037		2,200		2,523
Total Municipal Bonds & Notes (Cost $93,755)				95,325
U.S. GOVERNMENT AGENCIES 84.8%
Fannie Mae
0.374% due 12/25/2036		1,857		1,677
2.638% due 07/01/2044		666		652
2.838% due 09/01/2040		2,783		2,777
3.304% due 03/01/2024		1		1
4.021% due 07/01/2020		84		84
4.325% due 02/01/2023 - 01/01/2024		78		79
4.400% due 12/01/2023		56		57
4.500% due 06/01/2023		900		920
4.631% due 05/25/2035		734		733
4.816% due 10/01/2035		3,569		3,707
4.828% due 09/01/2035		876		908
4.834% due 09/01/2034		628		643
4.907% due 01/01/2035		1,724		1,784
5.000% due 12/01/2016 - 07/01/2039		320,823		330,773
5.143% due 04/01/2024		15		15
5.500% due 11/01/2013 - 07/01/2039		471,272		487,838
5.500% due 08/01/2037 - 09/01/2038 (e)		370,650		383,799
5.770% due 06/01/2013		603		652
5.953% due 06/21/2027		26,800		28,307
6.000% due 05/01/2017 - 07/01/2039		424,348		444,420
6.000% due 11/01/2037 (f)		15,122		15,829
6.000% due 05/01/2038 - 10/01/2038 (e)		138,399		144,867
6.047% due 05/01/2012		300		322
6.113% due 02/01/2012		566		609
6.500% due 07/01/2013 - 06/25/2044		8,419		8,971
7.000% due 04/01/2011 - 09/25/2020		26		27
7.040% due 12/01/2009		300		300
8.000% due 04/01/2015 - 10/01/2030		8		9
8.500% due 04/01/2017		1		1
9.000% due 06/01/2010 - 06/25/2018		7		8
9.250% due 07/25/2019		119		134
10.000% due 11/01/2021		4		4
11.000% due 09/01/2010		1		1
Federal Home Loan Bank
3.375% due 06/24/2011		1,600		1,660
Freddie Mac
0.469% due 07/15/2019 - 10/15/2020		32,895		32,237
0.888% due 02/01/2011 (d)		1,300		1,298
0.926% due 05/04/2011 (d)		32,420		32,503
0.937% due 08/05/2011 (d)		25,780		25,789
1.125% due 06/01/2011		9,900		9,887
1.625% due 04/26/2011		6,900		6,957
2.639% due 02/25/2045		432		412
4.751% due 07/01/2030		72		74
4.875% due 06/13/2018		1,800		1,941
5.000% due 11/01/2018 - 08/01/2039		181,710		184,844
5.129% due 12/01/2022		254		259
5.250% due 07/18/2011		900		972
5.335% due 02/01/2023		43		44
5.500% due 01/01/2018 - 10/01/2038		78,650		81,290
5.500% due 08/01/2038 (e)		41,273		42,657
6.000% due 02/01/2016 - 07/01/2039		41,142		43,030
6.500% due 12/01/2010		6		6
7.000% due 07/15/2022		1,039		1,133
7.500% due 01/15/2023		2,460		2,649
8.000% due 11/01/2025 - 06/15/2030		1,226		1,292
9.000% due 12/15/2020		59		64
9.250% due 11/15/2019		2		2
9.500% due 02/01/2018		6		7
10.000% due 06/01/2011 - 03/01/2021		6		6
Ginnie Mae
4.125% due 12/20/2029		574		583
4.375% due 01/20/2024 - 02/20/2027		1,134		1,157
4.625% due 09/20/2024 - 07/20/2030		1,217		1,248
5.375% due 06/20/2023 - 06/20/2027		509		525
6.000% due 01/15/2024 - 11/15/2038		4,233		4,418
7.500% due 09/15/2014 - 09/15/2025		20		22
8.000% due 07/15/2010 - 08/15/2024		52		57
9.000% due 11/15/2017		21		22
9.500% due 01/20/2019 - 12/15/2021		9		10
Small Business Administration
7.449% due 08/01/2010		267		277
7.970% due 01/25/2025		110		113
Total U.S. Government Agencies (Cost $2,277,339)				2,340,353
U.S. TREASURY OBLIGATIONS 5.9%
Treasury Inflation Protected Securities (b)
0.875% due 04/15/2010		3,604		3,608
1.625% due 01/15/2015 (e)		12,954		12,889
1.750% due 01/15/2028		5,398		5,094
1.875% due 07/15/2013		22,655		23,228
1.875% due 07/15/2015 (e)		37,929		38,332
2.000% due 07/15/2014		19,244		19,689
2.625% due 07/15/2017		7,310		7,783
3.000% due 07/15/2012		5,941		6,296
3.500% due 01/15/2011		40,334		42,124
U.S. Treasury Notes
0.875% due 04/30/2011 (f)		2,737		2,730
Total U.S. Treasury Obligations (Cost $155,900)				161,773
MORTGAGE-BACKED SECURITIES 2.7%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		1,941		1,530
Banc of America Funding Corp.
3.781% due 05/25/2035		3,339		2,839
Bear Stearns Adjustable Rate Mortgage Trust
5.021% due 04/25/2033		1,144		1,025
Bear Stearns Alt-A Trust
5.362% due 05/25/2035		4,879		3,161
5.490% due 09/25/2035		704		383
Bear Stearns Commercial Mortgage Securities
5.331% due 02/11/2044		500		406
5.471% due 01/12/2045		1,500		1,250
5.700% due 06/11/2050		5,000		3,986
Bear Stearns Mortgage Funding Trust
0.504% due 01/25/2037		13,866		5,492
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		32		27
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		3,793		3,021
4.700% due 12/25/2035		1,081		873
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		2,600		1,903
Countrywide Alternative Loan Trust
0.494% due 05/25/2047		3,082		1,158
Countrywide Home Loan Mortgage Pass-Through Trust
4.711% due 02/20/2035		20		16
5.250% due 02/20/2036		1,299		883
5.750% due 05/25/2033		73		72
Credit Suisse Mortgage Capital Certificates
5.846% due 03/15/2039		500		359
CS First Boston Mortgage Securities Corp.
5.329% due 06/25/2032		64		53
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		1,523		1,382
DLJ Acceptance Trust
11.000% due 08/01/2019		10		10
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		2,469		2,035
0.394% due 01/25/2047		2,687		2,041
Greenwich Capital Commercial Funding Corp.
4.799% due 08/10/2042		200		171
5.444% due 03/10/2039		2,200		1,760
GS Mortgage Securities Corp. II
5.993% due 08/10/2045		8,400		6,372
GSR Mortgage Loan Trust
5.176% due 01/25/2036		40		31
5.241% due 11/25/2035		3,805		2,964
Guaranteed Mortgage Corp. III GNMA-CMB
9.300% due 07/20/2019		33		36
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		918		861
Indymac ARM Trust
3.708% due 01/25/2032		27		18
Indymac Index Mortgage Loan Trust
5.537% due 11/25/2035		5,285		3,180
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		3,700		2,847
5.420% due 01/15/2049		500		369
5.440% due 06/12/2047		1,300		983
5.794% due 02/12/2051		3,000		2,249
5.882% due 02/15/2051		1,200		902
6.007% due 06/15/2049		100		85
JPMorgan Mortgage Trust
5.012% due 02/25/2035		21		19
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		631		559
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		700		468
5.485% due 03/12/2051		2,900		1,954
Morgan Stanley Capital I
0.380% due 10/15/2020		1,090		809
5.809% due 12/12/2049		300		229
Prime Mortgage Trust
0.714% due 02/25/2019		138		131
0.714% due 02/25/2034		873		706
Residential Funding Mortgage Securities I
5.585% due 02/25/2036		686		423
Structured Asset Mortgage Investments, Inc.
0.973% due 09/19/2032		550		411
Structured Asset Securities Corp.
3.716% due 01/25/2032		75		68
4.687% due 02/25/2032		82		73
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046		2,429		2,183
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		2,922		2,106
5.342% due 12/15/2043		3,800		2,510
5.509% due 04/15/2047		1,700		1,133
WaMu Mortgage Pass-Through Certificates
0.604% due 10/25/2045		944		495
2.540% due 11/25/2042		407		235
4.677% due 05/25/2035		395		283
Wells Fargo Mortgage-Backed Securities Trust
0.814% due 07/25/2037		1,241		753
4.947% due 01/25/2035		25		21
4.950% due 03/25/2036		4,799		3,396
Total Mortgage-Backed Securities (Cost $95,937)				75,698
ASSET-BACKED SECURITIES 2.7%
ACE Securities Corp.
0.364% due 12/25/2036		1,094		803
0.464% due 12/25/2035		442		430
American Express Credit Account Master Trust
0.819% due 02/15/2012		662		661
Amortizing Residential Collateral Trust
0.584% due 06/25/2032		705		328
Asset-Backed Funding Certificates
0.374% due 11/25/2036		693		663
Bear Stearns Asset-Backed Securities Trust
0.374% due 01/25/2037		3,541		2,872
0.404% due 06/25/2047		1,269		965
0.764% due 03/25/2043		460		418
0.814% due 06/25/2035		1,824		1,708
Countrywide Asset-Backed Certificates
0.364% due 05/25/2037		1,434		1,372
EMC Mortgage Loan Trust
0.684% due 05/25/2040		1,967		1,378
First Franklin Mortgage Loan Asset-Backed Certificates
0.354% due 01/25/2038		2,106		1,941
0.364% due 11/25/2036		1,809		1,704
Ford Credit Auto Owner Trust
1.219% due 01/15/2011		12,507		12,517
1.739% due 06/15/2012		12,700		12,745
Fremont Home Loan Trust
0.374% due 01/25/2037		1,328		862
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		728		441
JPMorgan Mortgage Acquisition Corp.
0.364% due 07/25/2036		1,524		1,445
Lehman XS Trust
0.384% due 05/25/2046		4		4
Long Beach Mortgage Loan Trust
0.594% due 10/25/2034		107		68
MBNA Credit Card Master Note Trust
0.419% due 12/15/2011		12,280		12,279
Morgan Stanley ABS Capital I
0.354% due 10/25/2036		514		482
0.374% due 05/25/2037		228		183
Morgan Stanley IXIS Real Estate Capital Trust
0.364% due 11/25/2036		685		650
Option One Mortgage Loan Trust
0.354% due 02/25/2037		219		216
0.364% due 01/25/2037		682		647
Quest Trust
0.434% due 08/25/2036		5,774		3,977
Securitized Asset-Backed Receivables LLC Trust
0.374% due 12/25/2036		1,501		842
SLM Student Loan Trust
2.592% due 04/25/2023		12,081		12,337
Structured Asset Securities Corp.
0.604% due 01/25/2033		237		169
Total Asset-Backed Securities (Cost $79,050)				75,107
	SHARES
CONVERTIBLE PREFERRED STOCKS 1.7%
American International Group, Inc.
8.500% due 08/01/2011		202,700		1,930
Wells Fargo & Co.
7.500% due 12/31/2049		55,500		43,566
Total Convertible Preferred Stocks (Cost $35,687)				45,496
PREFERRED STOCKS 0.5%
DG Funding Trust
1.343% due 12/31/2049		1,568		13,563
Total Preferred Stocks (Cost $16,522)				13,563
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 2.8%
REPURCHASE AGREEMENTS 2.6%
Barclays Capital, Inc.
0.020% due 07/01/2009	$	2,000		2,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $2,069. Repurchase proceeds are $2,000.)
Deutsche Bank AG
0.250% due 07/13/2009		63,000		63,000
(Dated 06/25/2009. Collateralized by Fannie Mae 6.000% due 10/01/2038 valued at $71,815. Repurchase proceeds are $63,000.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		5,866		5,866
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $5,984. Repurchase proceeds are $5,866.)
				70,866
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 0.2%
		723,767		7,244
Total Short-Term Instruments (Cost $78,110)				78,110
PURCHASED OPTIONS (h) 0.6% (Cost $4,963)				17,909
Total Investments 129.7% (Cost $3,538,262)			$	3,580,532
Written Options (i) (0.0%) (Premiums $428)				(149	)
Other Assets and Liabilities (Net) (29.7%)				(820,244	)
Net Assets 100.0%			$	2,760,139

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) Principal amount of security is adjusted for inflation.

(c) Affiliated to the Fund.

(d) Securities with an aggregate market value of $3,941 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $711,239 at a weighted average interest rate of 0.402%. On June 30, 2009, securities valued at $491,510 were pledged as collateral for reverse repurchase agreements.

(f) Securities with an aggregate market value of $4,199 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2009	1,340	$	5,065
90-Day Eurodollar December Futures	Long	12/2010	401		(324	)
90-Day Eurodollar June Futures	Long	06/2010	345		240
90-Day Eurodollar March Futures	Long	03/2010	554		3,439
90-Day Eurodollar September Futures	Long	09/2009	1,620		11,270
90-Day Eurodollar September Futures	Long	09/2010	25		143
U.S. Treasury 5-Year Note September Futures	Long	09/2009	169		(249	)
				$	19,584

(g) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American International Group, Inc.	BCLY	1.670	%	03/20/2013	16.024	%	$	600	$	(210	)	$	0		$	(210	)
American International Group, Inc.	DUB	5.000	%	12/20/2013	15.312	%		5,300		(1,494	)		(477	)		(1,017	)
Berkshire Hathaway Finance Corp.	DUB	0.850	%	03/20/2013	2.416	%		2,000		(105	)		0			(105	)
CIT Group, Inc.	BCLY	5.200	%	03/20/2013	17.180	%		3,600		(978	)		0			(978	)
General Electric Capital Corp.	BCLY	0.770	%	06/20/2010	3.927	%		300		(9	)		0			(9	)
General Electric Capital Corp.	BCLY	1.020	%	09/20/2010	3.944	%		400		(14	)		0			(14	)
General Electric Capital Corp.	BCLY	0.935	%	12/20/2010	4.048	%		100		(4	)		0			(4	)
General Electric Capital Corp.	BCLY	0.620	%	03/20/2011	4.121	%		13,800		(786	)		0			(786	)
General Electric Capital Corp.	BCLY	0.640	%	12/20/2012	4.354	%		13,700		(1,539	)		0			(1,539	)
General Electric Capital Corp.	BNP	1.100	%	12/20/2009	3.899	%		1,000		(13	)		0			(13	)
General Electric Capital Corp.	BNP	0.940	%	12/20/2010	4.048	%		300		(13	)		0			(13	)
General Electric Capital Corp.	CITI	1.100	%	03/20/2010	3.900	%		600		(12	)		0			(12	)
General Electric Capital Corp.	CITI	1.150	%	03/20/2010	3.900	%		400		(8	)		0			(8	)
General Electric Capital Corp.	DUB	1.070	%	09/20/2010	3.944	%		400		(13	)		0			(13	)
General Electric Capital Corp.	DUB	5.000	%	03/20/2011	4.121	%		400		6			(26	)		32
General Electric Capital Corp.	GSC	0.830	%	12/20/2009	3.899	%		1,500		(21	)		0			(21	)
General Electric Capital Corp.	MLP	1.080	%	12/20/2009	3.899	%		12,700		(166	)		0			(166	)
General Electric Capital Corp.	RBS	1.100	%	09/20/2009	3.899	%		1,800		(11	)		0			(11	)
International Lease Finance Corp.	MLP	5.000	%	12/20/2013	9.030	%		4,000		(500	)		(670	)		170
Wells Fargo & Co.	RBS	3.020	%	03/20/2013	1.568	%		8,200		417			0			417
									$	(5,473	)	$	(1,173	)	$	(4,300	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.HY-8 5-Year Index 25-35%	CITI	2.144	%	06/20/2012	$	600	$	(137	)	$	0	$	(137	)
CDX.HY-8 5-Year Index 25-35%	CITI	2.179	%	06/20/2012		800		(182	)		0		(182	)
CDX.HY-8 5-Year Index 25-35%	MLP	1.833	%	06/20/2012		2,000		(474	)		0		(474	)
CDX.HY-8 5-Year Index 25-35%	MLP	2.127	%	06/20/2012		500		(115	)		0		(115	)
CDX.HY-8 5-Year Index 25-35%	MSC	2.080	%	06/20/2012		1,900		(438	)		0		(438	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.355	%	06/20/2012		8,060		(389	)		0		(389	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.360	%	06/20/2012		4,855		(233	)		0		(233	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.401	%	06/20/2012		1,942		(91	)		0		(91	)
CDX.IG-9 5-Year Index 15-30%	MSC	0.963	%	12/20/2012		4,800		21			0		21
CDX.IG-9 5-Year Index 30-100%	BCLY	0.757	%	12/20/2012		18,668		256			0		256
CDX.IG-9 5-Year Index 30-100%	GSC	0.705	%	12/20/2012		12,348		148			0		148
CDX.IG-9 10-Year Index 30-100%	GSC	0.548	%	12/20/2017		1,847		6			0		6
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017		3,986		15			0		15
CDX.IG-10 5-Year Index 30-100%	DUB	0.530	%	06/20/2013		2,528		21			0		21
CDX.IG-10 5-Year Index 30-100%	GSC	0.463	%	06/20/2013		3,111		18			0		18
							$	(1,574	)	$	0	$	(1,574	)

⁽¹⁾ If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Pay	3-Month USD-LIBOR	3.150	%	12/17/2010	RBS	$	348,400	$	10,395	$	0		$	10,395
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	BCLY		181,700		6,313		(1,787	)		8,100
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	RBS		149,800		5,205		(443	)		5,648
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	BOA		4,200		209		153			56
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	CSFB		15,300		762		579			183
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	DUB		6,200		309		195			114
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	MLP		10,600		529		239			290
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	RBS		11,100		553		254			299
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	BOA		4,500		9		(98	)		107
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		6,600		12		(142	)		154
								$	24,296	$	(1,050	)	$	25,346

(h) Purchased options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	80,200	$	858	$	2,875
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		55,200		588		1,979
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		21,400		240		767
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		132,900		1,255		4,764
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		32,200		309		1,310
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		78,600		891		2,818
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		77,700		822		3,396
									$	4,963	$	17,909

(i) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	7,000	$	29	$	5
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		17,700		88		37
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		24,000		109		33
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		7,000		28		6
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		12,500		59		10
Put - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		3,500		15		3
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		26,500		100		55
									$	428	$	149

(j) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	6.000	%	07/01/2039	$	53,000	$	55,195	$	55,393
Freddie Mac	5.500	%	07/01/2039		58,000		59,880		59,858
						$	115,075	$	115,251

(k) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	677,185		$	13	$	677,198
U.S. Government Agencies		0		2,340,353			0		2,340,353
U.S. Treasury Obligations		0		161,773			0		161,773
Other Investments++		52,740		348,468			0		401,208
Investments, at value	$	52,740	$	3,527,779		$	13	$	3,580,532
Short Sales, at value	$	0	$	(115,251	)	$	0	$	(115,251	)
Financial Derivative Instruments+++	$	19,584	$	19,323		$	0	$	38,907
Total	$	72,324	$	3,431,851		$	13	$	3,504,188

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	2,024	$	(139	)	$	3	$	27	$	(59	)	$	(1,843	)	$	13
Investments, at value	$	2,024	$	(139	)	$	3	$	27	$	(59	)	$	(1,843	)	$	13
Financial Derivative Instruments+++	$	0	$	0		$	0	$	0	$	0		$	0		$	0
Total	$	2,024	$	(139	)	$	3	$	27	$	(59	)	$	(1,843	)	$	13

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Total Return Fund III

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.5%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	9,825	$	9,149
Sensata Technologies BV
2.602% due 04/27/2013		7		6
2.804% due 04/27/2013		2,932		2,258
Total Bank Loan Obligations (Cost $12,459)				11,413
CORPORATE BONDS & NOTES 26.5%
BANKING & FINANCE 20.2%
Allied World Assurance Co. Holdings Ltd.
7.500% due 08/01/2016		100		85
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		3,000		3,106
American Express Bank FSB
0.375% due 10/20/2009		4,000		4,000
0.438% due 05/29/2012		1,025		911
5.500% due 04/16/2013		300		295
6.000% due 09/13/2017		4,000		3,654
American Express Centurion Bank
6.000% due 09/13/2017		4,000		3,654
American Express Co.
7.000% due 03/19/2018		2,600		2,529
American Express Credit Corp.
0.381% due 11/09/2009		5,700		5,662
5.875% due 05/02/2013		3,255		3,236
American General Finance Corp.
5.375% due 10/01/2012		265		156
6.900% due 12/15/2017		5,300		2,874
American International Group, Inc.
1.217% due 10/18/2011		7,800		5,037
5.050% due 10/01/2015		400		216
5.850% due 01/16/2018		10,400		5,510
ANZ National International Ltd.
1.014% due 08/07/2009		4,400		4,401
6.200% due 07/19/2013		3,700		3,816
ASIF I
1.242% due 07/26/2010		10,000		8,696
Australia & New Zealand Banking Group Ltd.
3.200% due 12/15/2011		31,000		31,188
Bank of America Corp.
1.213% due 08/15/2016		1,400		1,100
2.375% due 06/22/2012		5,700		5,763
5.650% due 05/01/2018		165		146
Bank of America N.A.
0.909% due 06/15/2016		1,300		968
Bank of Scotland PLC
1.152% due 07/17/2009		6,500		6,496
Barclays Bank PLC
5.450% due 09/12/2012		20,400		21,291
6.050% due 12/04/2017		3,400		2,953
Bear Stearns Cos. LLC
0.842% due 08/21/2009		6,600		6,605
1.093% due 08/15/2011		300		292
1.269% due 01/31/2011		7,900		7,815
1.392% due 07/16/2009		12,600		12,605
6.400% due 10/02/2017		8,900		8,930
7.250% due 02/01/2018		60		63
Berkshire Hathaway Finance Corp.
5.000% due 08/15/2013		85		89
C10 Capital SPV Ltd.
6.722% due 12/31/2049		2,500		1,282
Calabash Re Ltd.
9.024% due 01/08/2010		3,400		3,245
Catlin Insurance Co. Ltd.
7.249% due 12/31/2049		150		84
CIT Group, Inc.
1.322% due 04/27/2011		2,200		1,558
Citigroup, Inc.
0.631% due 12/28/2009		400		396
2.125% due 04/30/2012		3,500		3,518
5.100% due 09/29/2011		925		906
5.300% due 10/17/2012		1,100		1,062
5.500% due 08/27/2012		12,200		11,834
5.500% due 04/11/2013		10,700		10,040
5.625% due 08/27/2012		2,200		2,062
5.850% due 07/02/2013		700		663
6.125% due 08/25/2036		9,800		7,310
8.400% due 04/29/2049 (a)		8,759		6,581
Countrywide Financial Corp.
5.800% due 06/07/2012		3,300		3,324
Countrywide Home Loans, Inc.
4.000% due 03/22/2011		110		109
4.125% due 09/15/2009		4,600		4,615
Credit Suisse USA, Inc.
0.865% due 11/20/2009		490		490
Deutsche Bank AG
4.875% due 05/20/2013		590		606
6.000% due 09/01/2017		7,200		7,357
DnB NOR Bank ASA
1.209% due 10/13/2009		3,300		3,280
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		500		433
7.375% due 10/28/2009		2,700		2,677
General Electric Capital Corp.
0.655% due 10/06/2010		800		786
0.924% due 05/08/2012		6,300		6,316
0.953% due 08/15/2011		2,700		2,558
1.177% due 01/20/2010		11,700		11,633
1.262% due 07/27/2012		2,100		1,909
3.000% due 12/09/2011		500		516
3.750% due 12/15/2009		145		146
5.625% due 05/01/2018		700		663
6.375% due 11/15/2067		300		200
6.875% due 01/10/2039		3,500		3,156
GMAC LLC
6.000% due 12/15/2011		600		504
Goldman Sachs Group, Inc.
0.934% due 11/16/2009		5,000		4,996
1.059% due 03/22/2016		100		85
1.430% due 07/23/2009		7,900		7,902
4.750% due 07/15/2013		790		792
5.700% due 09/01/2012		41		43
5.950% due 01/18/2018		8,500		8,258
6.250% due 09/01/2017		6,800		6,739
HSBC Capital Funding LP
9.547% due 12/29/2049		1,200		1,119
HSBC Finance Corp.
1.134% due 11/16/2009		7,770		7,710
1.162% due 10/21/2009		2,600		2,593
5.250% due 01/15/2014		300		295
HSBC Holdings PLC
6.500% due 05/02/2036		3,800		3,718
6.500% due 09/15/2037		1,500		1,454
ICICI Bank Ltd.
1.679% due 01/12/2010		5,800		5,686
International Lease Finance Corp.
4.875% due 09/01/2010		270		242
John Deere Capital Corp.
4.500% due 04/03/2013		555		567
JPMorgan Chase & Co.
5.750% due 01/02/2013		290		299
7.900% due 04/29/2049		4,340		3,809
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		5,700		5,557
JPMorgan Chase Capital XX
6.550% due 09/15/2066		700		557
KBC Bank Funding Trust III
9.860% due 11/29/2049		2,100		924
KeyBank N.A.
2.906% due 06/02/2010		5,300		5,147
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		11,000		1,678
2.911% due 08/21/2009 (a)		3,550		541
2.950% due 05/25/2010 (a)		100		15
3.005% due 07/18/2011 (a)		3,000		458
3.053% due 11/10/2009 (a)		2,500		381
5.625% due 01/24/2013 (a)		3,200		500
Longpoint Re Ltd.
5.874% due 05/08/2010		1,700		1,652
Merrill Lynch & Co., Inc.
0.726% due 12/04/2009		4,300		4,292
0.867% due 06/05/2012		2,500		2,227
0.996% due 08/14/2009		3,800		3,800
1.083% due 02/15/2011		2,600		2,382
1.236% due 02/05/2010		6,400		6,326
4.250% due 02/08/2010		750		753
6.050% due 08/15/2012		3,800		3,814
6.150% due 04/25/2013		155		155
6.400% due 08/28/2017		4,000		3,546
6.875% due 04/25/2018		1,070		992
MetLife, Inc.
5.375% due 12/15/2012		10		10
Metropolitan Life Global Funding I
5.125% due 04/10/2013		690		703
Morgan Stanley
1.221% due 01/15/2010		10,100		10,020
1.399% due 01/09/2012		1,000		902
3.006% due 05/14/2010		11,300		11,270
4.750% due 04/01/2014		110		104
6.250% due 08/28/2017		1,300		1,260
Mystic Re Ltd.
10.668% due 06/07/2011		1,100		1,024
National Australia Bank Ltd.
5.350% due 06/12/2013		3,100		3,197
Nordea Bank Sweden AB
8.950% due 11/29/2049		500		325
Petroleum Export Ltd.
5.265% due 06/15/2011		317		306
PNC Funding Corp.
5.125% due 12/14/2010		135		135
Protective Life Secured Trusts
4.850% due 08/16/2010		115		113
Prudential Financial, Inc.
6.625% due 12/01/2037		800		694
Prudential Holdings LLC
8.695% due 12/18/2023		265		254
Regions Financial Corp.
6.375% due 05/15/2012		1,270		1,166
Residential Reinsurance 2007 Ltd.
10.918% due 06/07/2010		700		665
Resona Bank Ltd.
5.850% due 09/29/2049		800		605
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		12,300		12,288
3.000% due 12/09/2011		3,000		3,065
5.000% due 11/12/2013		1,990		1,641
7.648% due 08/29/2049		3,800		1,884
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		3,700		2,742
SLM Corp.
5.000% due 10/01/2013		410		332
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		1,700		1,367
SMFG Preferred Capital USD 3 Ltd.
9.500% due 07/29/2049		10,400		10,105
Societe Generale
5.922% due 04/29/2049		2,200		1,366
State Street Capital Trust IV
1.629% due 06/01/2077		600		348
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		5,800		5,347
TNK-BP Finance S.A.
6.125% due 03/20/2012		700		649
UBS AG
5.750% due 04/25/2018		1,000		912
5.875% due 12/20/2017		2,500		2,332
USB Capital IX
6.189% due 04/15/2049		600		405
Wachovia Capital Trust III
5.800% due 03/29/2049		245		147
Wachovia Mortgage FSB
0.734% due 09/16/2009		500		491
Wells Fargo & Co.
7.980% due 03/29/2049		65,875		54,757
World Financial Properties
6.950% due 09/01/2013		121		109
XL Capital Ltd.
6.500% due 12/31/2049		220		108
				501,113
INDUSTRIALS 5.0%
Alcoa, Inc.
6.000% due 07/15/2013		85		83
Cameron International Corp.
6.375% due 07/15/2018		125		116
Canadian Natural Resources Ltd.
5.700% due 05/15/2017		535		542
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009		3,200		3,284
CODELCO, Inc.
6.150% due 10/24/2036		400		394
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		135		154
Comcast Corp.
5.875% due 02/15/2018		1,000		1,015
6.450% due 03/15/2037		1,000		988
6.500% due 11/15/2035		95		96
Commercial Metals Co.
7.350% due 08/15/2018		60		55
ConocoPhillips
4.400% due 05/15/2013		60		62
Daimler Finance North America LLC
1.466% due 08/03/2009		3,900		3,888
Dell, Inc.
4.700% due 04/15/2013		5,800		5,976
5.650% due 04/15/2018		170		173
Devon Financing Corp. ULC
6.875% due 09/30/2011		210		228
Diageo Capital PLC
5.200% due 01/30/2013		60		62
El Paso Corp.
9.625% due 05/15/2012		1,000		1,012
Gaz Capital S.A.
6.212% due 11/22/2016		700		588
General Mills, Inc.
1.231% due 01/22/2010		3,200		3,196
5.250% due 08/15/2013		120		127
Georgia-Pacific LLC
8.000% due 01/15/2024		2,000		1,710
Hewlett-Packard Co.
4.500% due 03/01/2013		135		141
International Business Machines Corp.
5.700% due 09/14/2017		28,100		29,882
Kinder Morgan Energy Partners LP
6.000% due 02/01/2017		150		149
Kraft Foods, Inc.
6.125% due 02/01/2018		3,000		3,107
6.500% due 08/11/2017		360		380
6.875% due 02/01/2038		1,300		1,378
Nucor Corp.
5.750% due 12/01/2017		4,800		4,996
5.850% due 06/01/2018		555		577
Oracle Corp.
4.950% due 04/15/2013		640		671
Pemex Project Funding Master Trust
5.750% due 03/01/2018		510		472
9.125% due 10/13/2010		15		16
PepsiCo, Inc.
4.650% due 02/15/2013		165		173
Petrobras International Finance Co.
7.875% due 03/15/2019		370		405
Petro-Canada
6.050% due 05/15/2018		65		65
Petroleos Mexicanos
8.000% due 05/03/2019		10,800		11,772
Plains All American Pipeline LP
6.650% due 01/15/2037		220		204
Praxair, Inc.
5.250% due 11/15/2014		145		154
Premcor Refining Group, Inc.
6.750% due 05/01/2014		235		233
President and Fellows of Harvard College
6.000% due 01/15/2019		300		328
6.500% due 01/15/2039		21,000		23,830
Rio Tinto Finance USA Ltd.
5.875% due 07/15/2013		185		186
Rohm & Haas Co.
6.000% due 09/15/2017		2,000		1,791
Suncor Energy, Inc.
5.950% due 12/01/2034		41		37
6.100% due 06/01/2018		65		65
Tennessee Gas Pipeline Co.
7.000% due 10/15/2028		8,400		8,040
Time Warner Cable, Inc.
5.850% due 05/01/2017		130		130
Time Warner, Inc.
1.150% due 11/13/2009		3,400		3,392
7.625% due 04/15/2031		174		169
TransCanada Pipelines Ltd.
6.350% due 05/15/2067		365		254
Union Pacific Corp.
6.650% due 01/15/2011		265		278
United Airlines, Inc.
6.071% due 03/01/2013		8		8
UnitedHealth Group, Inc.
4.875% due 03/15/2015		120		115
Vale Overseas Ltd.
6.250% due 01/23/2017		700		709
6.875% due 11/21/2036		700		668
Williams Cos., Inc.
6.375% due 10/01/2010		4,600		4,601
7.625% due 07/15/2019		60		59
Xerox Corp.
5.500% due 05/15/2012		425		424
XTO Energy, Inc.
4.625% due 06/15/2013		220		221
				123,829
UTILITIES 1.3%
AES Corp.
8.000% due 10/15/2017		30		28
Alltel Corp.
7.000% due 07/01/2012		2,000		2,162
American Electric Power Co., Inc.
5.250% due 06/01/2015		535		526
AT&T, Inc.
4.950% due 01/15/2013		2,800		2,915
5.500% due 02/01/2018		3,055		3,055
5.600% due 05/15/2018		115		116
6.300% due 01/15/2038		1,900		1,840
Consolidated Natural Gas Co.
5.000% due 03/01/2014		180		184
Deutsche Telekom International Finance BV
8.500% due 06/15/2010		150		158
Dominion Resources, Inc.
5.000% due 03/15/2013		36		37
Duke Energy Carolinas LLC
5.100% due 04/15/2018		120		124
Enel Finance International S.A.
6.800% due 09/15/2037		10,200		10,608
Florida Power & Light Co.
5.550% due 11/01/2017		120		128
Florida Power Corp.
5.650% due 06/15/2018		130		139
Nevada Power Co.
6.500% due 08/01/2018		120		123
New Cingular Wireless Services, Inc.
7.875% due 03/01/2011		310		334
8.125% due 05/01/2012		45		50
Pacific Gas & Electric Co.
4.200% due 03/01/2011		39		40
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		1,196		1,166
Qwest Corp.
8.875% due 03/15/2012		50		51
Ras Laffan Liquefied Natural Gas Co. Ltd. III
5.838% due 09/30/2027		1,600		1,344
Southern California Edison Co.
5.625% due 02/01/2036		180		182
Southern California Gas Co.
5.450% due 04/15/2018		54		57
Verizon Communications, Inc.
5.500% due 04/01/2017		620		622
6.100% due 04/15/2018		140		144
Verizon Global Funding Corp.
7.750% due 12/01/2030		40		45
Verizon New England, Inc.
6.500% due 09/15/2011		90		96
Verizon New Jersey, Inc.
5.875% due 01/17/2012		100		105
Verizon Wireless Capital LLC
3.316% due 05/20/2011		4,400		4,531
Virginia Electric and Power Co.
5.400% due 04/30/2018		650		675
6.350% due 11/30/2037		500		538
				32,123
Total Corporate Bonds & Notes (Cost $685,805)				657,065
MUNICIPAL BONDS & NOTES 0.9%
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2005
4.750% due 01/01/2035		300		292
California State General Obligation Bonds, Series 2009
5.650% due 04/01/2039		1,500		1,477
7.500% due 04/01/2034		1,500		1,373
7.550% due 04/01/2039		1,500		1,367
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2007
5.000% due 11/15/2036		3,100		3,019
Texas State General Obligation Bonds, Series 2005
4.750% due 04/01/2035		2,200		2,105
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		2,900		2,762
Washington State General Obligation Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 01/01/2032		10,900		10,913
Total Municipal Bonds & Notes (Cost $22,965)				23,308
U.S. GOVERNMENT AGENCIES 85.2%
Fannie Mae
0.374% due 07/25/2037		4,947		4,388
2.375% due 05/20/2010		575		585
2.638% due 07/01/2044		568		556
3.480% due 08/01/2035		4,359		4,432
3.605% due 03/01/2033		47		47
4.203% due 07/01/2035		4,422		4,534
4.338% due 07/01/2034		30		31
4.500% due 06/01/2023 - 09/01/2034		4,119		4,199
4.631% due 05/25/2035		587		587
4.805% due 08/01/2035		2,140		2,200
4.828% due 09/01/2035		876		908
4.834% due 09/01/2034		491		503
4.836% due 01/01/2035		989		1,023
4.840% due 04/01/2038		708		731
4.894% due 04/01/2038		755		781
4.898% due 04/01/2038		896		927
5.000% due 10/01/2017 - 07/01/2039		254,246		260,667
5.500% due 05/01/2013 - 07/01/2039		558,515		578,089
5.500% due 02/01/2035 (e)		27,559		28,575
5.500% due 06/01/2037 - 12/01/2038 (f)		357,016		369,530
5.763% due 09/01/2037		628		657
5.799% due 02/01/2031		4		4
6.000% due 10/01/2016 - 07/01/2039		363,886		381,067
6.000% due 10/01/2038 (f)		68,833		72,050
6.500% due 01/01/2011 - 06/25/2044		2,503		2,670
7.000% due 03/01/2013 - 10/01/2031		38		41
7.500% due 05/01/2011 - 02/01/2027		206		225
9.000% due 06/01/2025		1		1
12.500% due 06/15/2015		1		1
Federal Home Loan Bank
3.375% due 08/13/2010 - 06/24/2011		1,355		1,405
Federal Housing Administration
7.430% due 01/25/2023		611		612
Freddie Mac
0.469% due 07/15/2019 - 10/15/2020		29,775		29,179
0.888% due 02/01/2011		1,100		1,098
0.926% due 05/04/2011 (e)		50,400		50,530
1.125% due 06/01/2011 (e)		6,600		6,592
1.625% due 04/26/2011		5,000		5,041
2.639% due 02/25/2045		351		334
3.125% due 10/25/2010		255		263
3.250% due 07/16/2010		437		449
3.832% due 08/15/2032		670		676
4.098% due 04/01/2033		7		7
4.250% due 07/15/2009		490		491
4.751% due 07/01/2030		21		22
4.920% due 04/01/2038		1,104		1,140
5.000% due 12/01/2017 - 08/01/2039		125,268		127,246
5.129% due 12/01/2022		41		42
5.250% due 07/18/2011		600		648
5.500% due 06/01/2019 - 10/01/2038		86,974		89,898
6.000% due 02/01/2016 - 07/01/2039		26,836		28,091
6.500% due 05/01/2016 - 05/15/2032		23,983		25,701
7.000% due 11/01/2011 - 07/01/2029		1,829		1,926
7.500% due 07/01/2011 - 09/01/2025		32		34
8.000% due 01/01/2012		3		4
Ginnie Mae
0.918% due 02/16/2030		113		113
3.750% due 02/20/2032		920		931
4.125% due 10/20/2024 - 12/20/2026		281		285
4.375% due 01/20/2024 - 01/20/2026		385		393
4.625% due 09/20/2023 - 08/20/2027		300		307
5.375% due 06/20/2022		162		167
6.000% due 01/15/2029 - 11/15/2038		4,306		4,494
6.500% due 05/15/2032 - 06/15/2032		42		45
7.000% due 12/15/2011 - 02/20/2032		42		45
10.250% due 02/15/2017		414		455
Small Business Administration
4.430% due 05/01/2029		14,200		14,414
5.130% due 09/01/2023		639		670
5.520% due 06/01/2024		4,450		4,682
7.449% due 08/01/2010		109		113
Total U.S. Government Agencies (Cost $2,061,070)				2,118,552
U.S. TREASURY OBLIGATIONS 4.0%
Treasury Inflation Protected Securities (c)
1.750% due 01/15/2028		6,009		5,671
1.875% due 07/15/2013		697		714
1.875% due 07/15/2015 (f)		23,678		23,929
2.000% due 07/15/2014		10,528		10,771
2.500% due 01/15/2029		9,640		10,228
2.625% due 07/15/2017		4,118		4,385
3.000% due 07/15/2012 (f)		38,304		40,591
U.S. Treasury Notes
0.875% due 04/30/2011 (g)		3,510		3,501
Total U.S. Treasury Obligations (Cost $92,375)				99,790
MORTGAGE-BACKED SECURITIES 5.3%
American Home Mortgage Investment Trust
4.390% due 02/25/2045		1,527		1,204
Banc of America Funding Corp.
3.781% due 05/25/2035		2,263		1,925
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		193		183
Bear Stearns Adjustable Rate Mortgage Trust
5.088% due 02/25/2033		95		85
5.106% due 01/25/2034		1,276		981
5.609% due 02/25/2033		143		133
Bear Stearns Alt-A Trust
5.362% due 05/25/2035		3,054		1,979
5.490% due 09/25/2035		1,455		791
Bear Stearns Commercial Mortgage Securities
5.331% due 02/11/2044		1,000		812
5.471% due 01/12/2045		2,800		2,333
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		2,596		2,002
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		3,316		1,833
5.714% due 12/26/2046		1,916		1,167
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		24		20
5.888% due 12/10/2049		15,000		11,901
Citigroup Mortgage Loan Trust, Inc.
4.685% due 03/25/2034		127		110
4.700% due 12/25/2035		879		710
CitiMortgage Alternative Loan Trust
6.000% due 06/25/2037		644		415
Commercial Mortgage Pass-Through Certificates
5.306% due 12/10/2046		1,600		1,171
Countrywide Alternative Loan Trust
0.494% due 05/25/2047		2,620		985
Countrywide Home Loan Mortgage Pass-Through Trust
4.711% due 02/20/2035		4,972		3,958
4.786% due 11/25/2034		2,789		2,120
5.250% due 02/20/2036		1,051		715
5.750% due 05/25/2033		73		72
Credit Suisse Mortgage Capital Certificates
5.846% due 03/15/2039		1,400		1,005
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		1,624		1,474
GE Capital Commercial Mortgage Corp.
6.070% due 06/10/2038		850		856
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		2,143		1,766
0.394% due 01/25/2047		2,454		1,863
Greenpoint Mortgage Pass-Through Certificates
4.826% due 10/25/2033		1,726		1,306
Greenwich Capital Commercial Funding Corp.
4.799% due 08/10/2042		500		427
5.444% due 03/10/2039		3,000		2,399
GS Mortgage Securities Corp. II
5.993% due 08/10/2045		7,800		5,917
GSR Mortgage Loan Trust
5.241% due 11/25/2035		3,577		2,787
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		2,111		1,952
5.143% due 07/19/2035		2,350		1,367
HSBC Asset Loan Obligation
5.273% due 09/25/2037		14,849		7,730
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		792		744
Indymac ARM Trust
3.708% due 01/25/2032		13		9
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		1,193		1,112
4.317% due 01/25/2036		3,286		1,579
JPMorgan Chase Commercial Mortgage Securities Corp.
5.273% due 02/12/2051		443		446
5.336% due 05/15/2047		3,600		2,770
5.440% due 06/12/2047		1,870		1,413
5.794% due 02/12/2051		2,000		1,500
6.007% due 06/15/2049		400		342
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		479		424
Mellon Residential Funding Corp.
0.799% due 06/15/2030		2,604		2,167
Merrill Lynch Countrywide Commercial Mortgage Trust
2.986% due 07/09/2009		6,200		5,585
5.378% due 08/12/2048		600		401
5.485% due 03/12/2051		3,000		2,021
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		1,504		812
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		415		287
Morgan Stanley Capital I
0.380% due 10/15/2020		1,020		756
4.970% due 12/15/2041		676		634
5.809% due 12/12/2049		20,600		15,754
6.076% due 06/11/2049		10,125		7,654
Morgan Stanley Dean Witter Capital I
4.920% due 03/12/2035		555		525
Prime Mortgage Trust
0.714% due 02/25/2019		79		75
0.714% due 02/25/2034		451		365
Structured Adjustable Rate Mortgage Loan Trust
5.497% due 07/25/2035		669		458
Structured Asset Mortgage Investments, Inc.
0.444% due 03/25/2037		4,089		1,489
0.563% due 07/19/2035		3,192		2,009
Structured Asset Securities Corp.
4.504% due 10/25/2035		1,865		1,284
4.687% due 02/25/2032		39		34
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046		2,159		1,941
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		2,723		1,962
5.308% due 11/15/2048		2,000		1,533
5.342% due 12/15/2043		4,000		2,642
5.678% due 05/15/2046		580		473
WaMu Mortgage Pass-Through Certificates
0.604% due 10/25/2045		749		393
2.540% due 11/25/2042		354		204
Wells Fargo Mortgage-Backed Securities Trust
4.950% due 03/25/2036		3,927		2,779
Total Mortgage-Backed Securities (Cost $152,460)				133,030
ASSET-BACKED SECURITIES 1.3%
Asset-Backed Funding Certificates
0.374% due 11/25/2036		462		442
0.374% due 01/25/2037		894		739
Asset-Backed Securities Corp. Home Equity
0.589% due 09/25/2034		778		502
Bear Stearns Asset-Backed Securities Trust
0.374% due 01/25/2037		3,219		2,611
0.764% due 03/25/2043		199		181
Carrington Mortgage Loan Trust
0.634% due 10/25/2035		878		682
Countrywide Asset-Backed Certificates
0.364% due 07/25/2037		5,421		5,008
0.574% due 05/25/2036		5,429		4,059
0.794% due 12/25/2031		301		131
Credit-Based Asset Servicing & Securitization LLC
0.404% due 12/25/2037		2,886		2,750
First Franklin Mortgage Loan Asset-Backed Certificates
0.364% due 11/25/2036		1,579		1,488
Fremont Home Loan Trust
0.374% due 01/25/2037		1,184		769
GSAMP Trust
0.384% due 12/25/2036		1,807		958
HFC Home Equity Loan Asset-Backed Certificates
0.605% due 01/20/2034		3,184		2,206
HSBC Asset Loan Obligation
0.374% due 12/25/2036		3,458		3,053
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		647		392
JPMorgan Mortgage Acquisition Corp.
0.364% due 07/25/2036		1,350		1,280
0.364% due 08/25/2036		237		220
Lehman XS Trust
0.384% due 05/25/2046		4		4
Long Beach Mortgage Loan Trust
0.594% due 10/25/2034		97		62
MBNA Master Credit Card Trust
7.800% due 10/15/2012		200		210
Morgan Stanley ABS Capital I
0.354% due 10/25/2036		438		410
0.364% due 11/25/2036		1,715		1,619
Morgan Stanley Mortgage Loan Trust
0.674% due 04/25/2037		900		328
Option One Mortgage Loan Trust
0.364% due 01/25/2037		833		790
Residential Asset Securities Corp.
0.384% due 11/25/2036		358		353
Securitized Asset-Backed Receivables LLC Trust
0.374% due 12/25/2036		1,394		782
Structured Asset Securities Corp.
0.364% due 10/25/2036		1,203		1,099
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		96		95
Total Asset-Backed Securities (Cost $40,561)				33,223
SOVEREIGN ISSUES 0.1%
China Development Bank Corp.
5.000% due 10/15/2015		600		621
Export-Import Bank of China
4.875% due 07/21/2015		500		521
Total Sovereign Issues (Cost $1,091)				1,142
FOREIGN CURRENCY-DENOMINATED ISSUES 2.0%
Brazil Government International Bond
10.250% due 01/10/2028	BRL	1,900		960
12.500% due 01/05/2022		2,800		1,593
Citigroup Capital XVIII
6.829% due 06/28/2067	GBP	2,700		2,332
Citigroup, Inc.
1.305% due 06/28/2013	EUR	400		469
4.750% due 02/10/2019		2,575		2,459
Countrywide Financial Corp.
1.659% due 11/23/2010		1,700		2,300
5.125% due 02/17/2011	GBP	800		1,293
Fortis Bank Nederland Holding NV
3.000% due 04/17/2012	EUR	900		1,277
General Electric Capital Corp.
5.500% due 09/15/2067		10,500		8,543
KBC Bank Funding Trust II
6.875% due 06/29/2049		3,000		1,599
KeyBank N.A.
1.515% due 11/05/2009		4,200		5,799
KeyCorp
1.444% due 11/22/2010		2,900		3,656
LeasePlan Corp. NV
3.125% due 02/10/2012		2,400		3,415
MUFG Capital Finance 5 Ltd.
6.299% due 01/25/2049	GBP	550		647
SLM Corp.
3.125% due 09/17/2012	EUR	11,558		11,917
SMFG Preferred Capital USD 1 Ltd.
6.164% due 01/29/2049	GBP	300		335
Societe Financement de l’Economie Francaise
2.125% due 05/20/2012	EUR	1,100		1,542
Swedbank AB
3.625% due 12/02/2011		300		435
Total Foreign Currency-Denominated Issues (Cost $54,428)				50,571
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.6%
General Motors Corp.
5.250% due 03/06/2032		260,000		749
Wells Fargo & Co.
7.500% due 12/31/2049		17,900		14,051
Total Convertible Preferred Stocks (Cost $12,564)				14,800
PREFERRED STOCKS 0.4%
Centaur Funding Corp.
9.080% due 04/21/2020		125		101
DG Funding Trust
1.343% due 12/31/2049		1,065		9,212
Northern Rock PLC
8.000% due 12/31/2049		260,000		845
Total Preferred Stocks (Cost $17,965)				10,158
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 4.6%
REPURCHASE AGREEMENTS 4.0%
Credit Suisse Securities (USA) LLC
0.070% due 07/01/2009	$	4,000		4,000
(Dated 06/30/2009. Collateralized by Fannie Mae 6.000% due 05/15/2011 valued at $4,101. Repurchase proceeds are $4,000.)
Goldman Sachs & Co.
0.250% due 07/13/2009		66,000		66,000
(Dated 06/25/2009. Collateralized by Fannie Mae 5.500% due 06/01/2038 valued at $66,548. Repurchase proceeds are $66,000.)
JPMorgan Chase Bank N.A.
0.120% due 07/08/2009		23,336		23,336
(Dated 06/29/2009. Collateralized by U.S. Treasury Inflation Protected Securities 1.875% due 07/15/2015 valued at $23,455. Repurchase proceeds are $23,336.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		5,844		5,844
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $5,964. Repurchase proceeds are $5,844.)
				99,180
U.S. TREASURY BILLS 0.1%
0.152% due 07/02/2009 - 09/17/2009 (b)(e)(g)		1,041		1,041
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 0.5%
		1,281,938		12,831
Total Short-Term Instruments (Cost $113,052)				113,052
PURCHASED OPTIONS (i) 0.6% (Cost $4,463)				16,112
Total Investments 132.0% (Cost $3,271,258)			$	3,282,216
Written Options (j) (0.0%) (Premiums $347)				(123	)
Other Assets and Liabilities (Net) (32.0%)				(795,526	)
Net Assets 100.0%			$	2,486,567

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) Affiliated to the Fund.

(e) Securities with an aggregate market value of $3,498 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $659,739 at a weighted average interest rate of 0.429%. On June 30, 2009, securities valued at $487,528 were pledged as collateral for reverse repurchase agreements.

(g) Securities with an aggregate market value of $4,162 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2009	63	$	57
90-Day Euribor March Futures	Long	03/2010	110		150
90-Day Eurodollar December Futures	Long	12/2009	1,058		3,733
90-Day Eurodollar December Futures	Long	12/2010	399		(276	)
90-Day Eurodollar June Futures	Long	06/2010	351		229
90-Day Eurodollar March Futures	Long	03/2010	442		2,831
90-Day Eurodollar September Futures	Long	09/2009	860		5,300
90-Day Eurodollar September Futures	Long	09/2010	60		142
U.S. Treasury 5-Year Note September Futures	Long	09/2009	76		(120	)
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	43		293
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	64		(55	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	64		(7	)
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2010	31		19
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	33		(43	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	64		(33	)
				$	12,220

(h) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Berkshire Hathaway Finance Corp.	DUB	0.850	%	03/20/2013	2.416	%	$	1,900	$	(100	)	$	0		$	(100	)
Brazil Government International Bond	CSFB	3.350	%	12/20/2009	0.793	%		1,000		13			0			13
CIT Group, Inc.	BCLY	5.650	%	03/20/2013	17.180	%		8,300		(2,169	)		0			(2,169	)
Ford Motor Credit Co. LLC	BCLY	5.650	%	09/20/2012	10.284	%		1,100		(124	)		0			(124	)
Ford Motor Credit Co. LLC	GSC	3.850	%	09/20/2012	10.284	%		300		(47	)		0			(47	)
General Electric Capital Corp.	BCLY	0.770	%	06/20/2010	3.927	%		200		(6	)		0			(6	)
General Electric Capital Corp.	BCLY	1.020	%	09/20/2010	3.944	%		200		(7	)		0			(7	)
General Electric Capital Corp.	BNP	0.940	%	12/20/2010	4.048	%		200		(9	)		0			(9	)
General Electric Capital Corp.	CITI	1.100	%	03/20/2010	3.900	%		900		(18	)		0			(18	)
General Electric Capital Corp.	CITI	1.150	%	03/20/2010	3.900	%		600		(12	)		0			(12	)
General Electric Capital Corp.	CITI	5.000	%	06/20/2011	4.022	%		4,000		78			(195	)		273
General Electric Capital Corp.	CITI	4.000	%	12/20/2013	4.336	%		2,000		(23	)		0			(23	)
General Electric Capital Corp.	CITI	4.325	%	12/20/2013	4.336	%		1,900		1			0			1
General Electric Capital Corp.	DUB	1.070	%	09/20/2010	3.944	%		300		(10	)		0			(10	)
General Electric Capital Corp.	DUB	1.500	%	09/20/2011	4.219	%		900		(50	)		0			(50	)
General Electric Capital Corp.	DUB	4.900	%	12/20/2013	4.336	%		1,500		33			0			33
General Electric Capital Corp.	GSC	0.900	%	12/20/2010	4.048	%		800		(35	)		0			(35	)
GMAC LLC	BCLY	3.650	%	09/20/2012	10.203	%		1,000		(160	)		0			(160	)
GMAC LLC	GSC	3.200	%	09/20/2012	10.203	%		600		(103	)		0			(103	)
GMAC LLC	MLP	1.850	%	09/20/2009	13.784	%		4,200		(109	)		0			(109	)
Indonesia Government International Bond	RBS	1.310	%	12/20/2011	2.930	%		800		(30	)		0			(30	)
JSC Gazprom	JPM	0.970	%	10/20/2012	4.963	%		400		(46	)		0			(46	)
JSC Gazprom	JPM	1.020	%	10/20/2012	4.963	%		400		(45	)		0			(45	)
JSC Gazprom	JPM	2.170	%	02/20/2013	4.938	%		1,000		(80	)		0			(80	)
JSC Gazprom	MSC	2.180	%	02/20/2013	4.938	%		600		(48	)		0			(48	)
Mexico Government International Bond	JPM	0.920	%	03/20/2016	2.125	%		100		(7	)		0			(7	)
Panama Government International Bond	JPM	0.730	%	01/20/2012	1.532	%		2,400		(40	)		0			(40	)
Panama Government International Bond	JPM	1.250	%	01/20/2017	2.195	%		900		(48	)		0			(48	)
Panama Government International Bond	MSC	0.750	%	01/20/2012	1.532	%		1,000		(16	)		0			(16	)
SLM Corp.	BOA	4.800	%	03/20/2013	8.375	%		2,500		(250	)		0			(250	)
SLM Corp.	CITI	4.850	%	03/20/2013	8.375	%		2,700		(267	)		0			(267	)
SLM Corp.	DUB	5.000	%	09/20/2014	7.854	%		100		(10	)		(11	)		1
									$	(3,744	)	$	(206	)	$	(3,538	)

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CDX.HY-8 5-Year Index 25-35%	CITI	2.144	%	06/20/2012	$	600	$	(137	)	$	0	$	(137	)
CDX.HY-8 5-Year Index 25-35%	MLP	1.833	%	06/20/2012		1,800		(426	)		0		(426	)
CDX.HY-8 5-Year Index 25-35%	MLP	2.127	%	06/20/2012		500		(115	)		0		(115	)
CDX.HY-8 5-Year Index 25-35%	MSC	2.080	%	06/20/2012		1,800		(415	)		0		(415	)
CDX.HY-8 5-Year Index 25-35%	MSC	2.170	%	06/20/2012		700		(160	)		0		(160	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.355	%	06/20/2012		7,574		(365	)		0		(365	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.360	%	06/20/2012		4,855		(233	)		0		(233	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.401	%	06/20/2012		1,845		(87	)		0		(87	)
CDX.IG-9 5-Year Index 30-100%	DUB	0.708	%	12/20/2012		11,765		142			0		142
CDX.IG-9 10-Year Index 30-100%	GSC	0.548	%	12/20/2017		1,070		4			0		4
CDX.IG-9 10-Year Index 30-100%	JPM	0.552	%	12/20/2017		2,236		8			0		8
CDX.IG-10 5-Year Index 30-100%	DUB	0.530	%	06/20/2013		2,333		19			0		19
CDX.IG-10 5-Year Index 30-100%	GSC	0.463	%	06/20/2013		2,917		17			0		17
							$	(1,748	)	$	0	$	(1,748	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP	EUR	10,300	$	498		$	(6	)	$	504
Pay	1-Month EUR-FRCPXTOB Index	2.103	%	10/15/2010	BCLY		1,800		101			0			101
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		1,200		69			0			69
Pay	1-Month EUR-FRCPXTOB Index	1.948	%	03/15/2012	JPM		4,300		85			2			83
Pay	1-Month EUR-FRCPXTOB Index	1.955	%	03/28/2012	RBS		400		7			0			7
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	03/30/2012	GSC		1,400		26			0			26
Pay	1-Month EUR-FRCPXTOB Index	1.960	%	04/05/2012	BCLY		700		12			0			12
Pay	1-Year BRL-CDI	11.360	%	01/04/2010	BCLY	BRL	9,400		6			0			6
Pay	1-Year BRL-CDI	11.430	%	01/04/2010	MLP		6,200		10			0			10
Pay	1-Year BRL-CDI	11.465	%	01/04/2010	GSC		2,400		5			0			5
Pay	1-Year BRL-CDI	12.410	%	01/04/2010	UBS		5,000		64			(9	)		73
Pay	1-Year BRL-CDI	12.670	%	01/04/2010	MSC		5,000		65			(7	)		72
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC		8,200		141			8			133
Pay	1-Year BRL-CDI	12.948	%	01/04/2010	MLP		3,400		66			3			63
Pay	1-Year BRL-CDI	14.370	%	01/04/2010	MLP		3,700		139			0			139
Pay	1-Year BRL-CDI	10.575	%	01/02/2012	UBS		11,700		(157	)		(211	)		54
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	BCLY		1,100		(5	)		0			(5	)
Pay	1-Year BRL-CDI	10.600	%	01/02/2012	JPM		700		(3	)		0			(3	)
Pay	1-Year BRL-CDI	10.610	%	01/02/2012	HSBC		1,600		(7	)		0			(7	)
Pay	1-Year BRL-CDI	11.980	%	01/02/2012	MLP		10,100		86			0			86
Pay	1-Year BRL-CDI	12.540	%	01/02/2012	MLP		12,600		197			(84	)		281
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	HSBC		600		23			4			19
Pay	1-Year BRL-CDI	14.765	%	01/02/2012	MLP		2,100		78			8			70
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	DUB	AUD	3,000		(9	)		8			(17	)
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	UBS		68,000		(201	)		37			(238	)
Pay	3-Month USD-LIBOR	3.150	%	12/17/2010	RBS	$	326,200		9,733			0			9,733
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	BCLY		167,500		5,906			(1,648	)		7,554
Pay	3-Month USD-LIBOR	3.000	%	02/04/2011	RBS		138,900		4,899			(411	)		5,310
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	BOA		4,000		199			146			53
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	CSFB		14,500		723			549			174
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	DUB		5,700		284			180			104
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	MLP		10,500		523			237			286
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	RBS		9,200		458			210			248
Pay	6-Month AUD Bank Bill	4.250	%	09/15/2011	UBS	AUD	25,000		(87	)		202			(289	)
Pay	6-Month AUD Bank Bill	5.000	%	06/15/2013	DUB		4,700		(97	)		18			(115	)
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	BNP	EUR	4,500		515			(68	)		583
Pay	6-Month GBP-LIBOR	6.000	%	12/19/2009	GSC	GBP	3,100		117			(32	)		149
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	GSC		800		89			7			82
Pay	6-Month GBP-LIBOR	5.000	%	09/17/2013	HSBC		4,900		547			50			497
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2014	DUB		1,800		203			1			202
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	GSC		1,300		171			0			171
Pay	6-Month GBP-LIBOR	5.250	%	03/18/2014	RBS		3,100		409			(3	)		412
								$	25,888		$	(809	)	$	26,697

(i) Purchased options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	72,200	$	772	$	2,588
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		49,600		528		1,778
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		19,200		215		688
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		119,100		1,126		4,270
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.600	%	07/02/2009		29,900		287		1,216
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		70,200		796		2,517
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		69,900		739		3,055
									$	4,463	$	16,112

(j) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	6,000	$	25	$	5
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		14,500		72		30
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.550	%	08/03/2009		20,000		91		27
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		6,000		24		5
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		8,500		37		7
Put - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009		3,000		13		2
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		22,500		85		47
									$	347	$	123

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	6.000	%	07/01/2039	$	49,000	$	51,016	$	51,213
Freddie Mac	5.500	%	07/01/2039		38,000		39,232		39,217
						$	90,248	$	90,430

(l) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	DUB	534	07/2009	$	5	$	0		$	5
Buy		GSC	4,797	07/2009		90		0			90
Buy	BRL	HSBC	18,671	08/2009		577		0			577
Sell		HSBC	2,207	08/2009		0		(113	)		(113	)
Buy		MLP	8,433	08/2009		352		0			352
Buy	CAD	JPM	3,214	08/2009		0		(171	)		(171	)
Buy	CNY	BCLY	16,221	07/2009		0		(135	)		(135	)
Sell		BCLY	9,704	07/2009		0		(65	)		(65	)
Sell		CITI	27,610	07/2009		0		(104	)		(104	)
Buy		DUB	59,088	07/2009		0		(482	)		(482	)
Sell		DUB	45,987	07/2009		0		(171	)		(171	)
Buy		HSBC	18,184	07/2009		0		(127	)		(127	)
Sell		HSBC	19,866	07/2009		0		(73	)		(73	)
Buy		JPM	19,345	07/2009		0		(169	)		(169	)
Sell		JPM	9,670	07/2009		0		(65	)		(65	)
Buy		BCLY	5,874	09/2009		11		0			11
Sell		BCLY	14,959	09/2009		0		(54	)		(54	)
Buy		CITI	3,818	09/2009		9		0			9
Sell		CITI	11,414	09/2009		0		(39	)		(39	)
Buy		DUB	17,393	09/2009		38		0			38
Buy		HSBC	7,766	09/2009		18		0			18
Sell		HSBC	4,690	09/2009		0		(18	)		(18	)
Buy		JPM	3,175	09/2009		5		0			5
Sell		JPM	6,963	09/2009		0		(27	)		(27	)
Buy		BCLY	3,491	03/2010		0		(3	)		(3	)
Buy		HSBC	3,499	03/2010		0		(1	)		(1	)
Buy		JPM	21,309	03/2010		0		(10	)		(10	)
Sell	EUR	BCLY	22,904	07/2009		0		(172	)		(172	)
Sell		GSC	361	07/2009		0		0			0
Sell	GBP	CITI	9,062	07/2009		0		(888	)		(888	)
Sell		GSC	160	07/2009		0		(7	)		(7	)
Buy		MSC	8,865	07/2009		0		(61	)		(61	)
Buy		RBS	357	07/2009		28		0			28
Sell		MSC	8,865	08/2009		61		0			61
Buy	JPY	BNP	93,360	07/2009		1		0			1
Buy		MSC	93,360	08/2009		0		0			0
Buy	SGD	HSBC	1,866	07/2009		0		(2	)		(2	)
Sell		HSBC	1,866	07/2009		0		(61	)		(61	)
					$	1,195	$	(3,018	)	$	(1,823	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	655,405		$	1,660	$	657,065
U.S. Government Agencies		0		2,117,940			612		2,118,552
Mortgage-Backed Securities		0		131,745			1,285		133,030
Other Investments++		26,882		346,687			0		373,569
Investments, at value	$	26,882	$	3,251,777		$	3,557	$	3,282,216
Short Sales, at value	$	0	$	(90,430	)	$	0	$	(90,430	)
Financial Derivative Instruments+++	$	12,220	$	18,732		$	733	$	31,685
Total	$	39,102	$	3,180,079		$	4,290	$	3,223,471

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/ (Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	0		$	0	$	0	$	1		$	1,659		$	1,660
U.S. Government Agencies		625		(10	)		0		0		(3	)		0			612
Mortgage-Backed Securities		0		(69	)		3		0		205			1,146			1,285
Investments, at value	$	625	$	(79	)	$	3	$	0	$	203		$	2,805		$	3,557
Financial Derivative Instruments+++	$	946	$	0		$	0	$	0	$	24		$	(237	)	$	733
Total	$	1,571	$	(79	)	$	3	$	0	$	227		$	2,568		$	4,290

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Unconstrained Bond Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 0.1%
Daimler Finance North America LLC
4.320% due 08/03/2012	$	2,000	$	1,862
Total Bank Loan Obligations (Cost $1,827)				1,862
CORPORATE BONDS & NOTES 26.1%
BANKING & FINANCE 16.0%
American Express Bank FSB
5.500% due 04/16/2013		8,500		8,351
6.000% due 09/13/2017		1,600		1,462
American Express Centurion Bank
0.377% due 03/23/2010		600		588
0.471% due 06/12/2012		2,200		2,035
6.000% due 09/13/2017		200		183
American Express Co.
6.150% due 08/28/2017		1,000		924
7.000% due 03/19/2018		1,800		1,751
American Express Credit Corp.
5.875% due 05/02/2013		1,900		1,889
American General Finance Corp.
5.375% due 09/01/2009		1,000		970
6.900% due 12/15/2017		300		163
American International Group, Inc.
4.950% due 03/20/2012		1,100		748
5.600% due 10/18/2016		1,500		812
5.850% due 01/16/2018		300		159
8.175% due 05/15/2058		7,500		2,141
8.250% due 08/15/2018		28,200		16,618
ANZ National International Ltd.
6.200% due 07/19/2013		1,900		1,960
Bank of America Corp.
1.399% due 10/14/2016		1,300		985
5.650% due 05/01/2018		12,200		10,798
6.000% due 09/01/2017		2,825		2,572
7.375% due 05/15/2014		9,000		9,310
Bank of America N.A.
1.162% due 06/23/2010		200		199
Barclays Bank PLC
6.050% due 12/04/2017		19,600		17,023
7.434% due 09/29/2049		200		134
10.179% due 06/12/2021		1,600		1,710
Barnett Capital III
1.652% due 02/01/2027		700		373
Bear Stearns Cos. LLC
5.300% due 10/30/2015		3,020		2,972
7.250% due 02/01/2018		900		950
Block Financial LLC
7.875% due 01/15/2013		2,500		2,711
Capital One Financial Corp.
6.750% due 09/15/2017		100		96
7.375% due 05/23/2014		3,000		3,098
Citigroup Capital XXI
8.300% due 12/21/2077		10,500		8,201
Citigroup, Inc.
4.125% due 02/22/2010		175		175
5.300% due 10/17/2012		500		483
5.500% due 04/11/2013		100		94
6.000% due 08/15/2017		7,800		6,810
6.125% due 11/21/2017		9,680		8,500
6.125% due 05/15/2018		5,900		5,169
8.400% due 04/29/2049 (a)		6,100		4,583
Credit Suisse New York
6.000% due 02/15/2018		100		100
Deutsche Bank AG
4.875% due 05/20/2013		1,800		1,850
6.000% due 09/01/2017		750		766
Ford Motor Credit Co. LLC
7.250% due 10/25/2011		100		87
7.375% due 10/28/2009		3,700		3,669
7.800% due 06/01/2012		50		43
General Electric Capital Corp.
1.357% due 01/08/2016		399		325
5.875% due 01/14/2038		400		317
6.875% due 01/10/2039		8,088		7,293
GMAC LLC
6.625% due 05/15/2012		200		163
6.875% due 09/15/2011		2,800		2,409
7.000% due 02/01/2012		200		166
7.250% due 03/02/2011		5,000		4,539
8.000% due 11/01/2031		1,500		1,029
Goldman Sachs Group, Inc.
0.901% due 06/28/2010		700		696
1.501% due 07/22/2015		600		517
5.350% due 01/15/2016		2,800		2,674
5.750% due 10/01/2016		200		196
6.150% due 04/01/2018		5,100		4,973
6.250% due 09/01/2017		5,215		5,168
HSBC Finance Corp.
1.098% due 06/01/2016		700		536
1.162% due 10/21/2009		100		100
1.166% due 08/09/2011		900		815
5.500% due 01/19/2016		1,400		1,319
International Lease Finance Corp.
1.531% due 01/15/2010		900		836
5.750% due 06/15/2011		2,200		1,825
JPMorgan Chase & Co.
7.900% due 04/29/2049		1,300		1,141
JPMorgan Chase Bank N.A.
6.000% due 10/01/2017		1,200		1,170
JPMorgan Chase Capital XXII
6.450% due 01/15/2087		506		405
KeyCorp
6.500% due 05/14/2013		1,000		997
LeasePlan Corp. NV
3.000% due 05/07/2012		3,000		3,014
Lloyds Banking Group PLC
5.920% due 09/29/2049		2,600		923
Macquarie Bank Ltd.
4.100% due 12/17/2013		7,800		8,002
Marsh & McLennan Cos., Inc.
5.750% due 09/15/2015		2,000		1,909
Merrill Lynch & Co., Inc.
0.996% due 08/14/2009		100		100
5.000% due 02/03/2014		5,000		4,803
5.000% due 01/15/2015		2,300		2,104
6.400% due 08/28/2017		10,000		8,866
6.875% due 04/25/2018		600		556
Morgan Stanley
1.611% due 10/15/2015		300		257
5.550% due 04/27/2017		2,000		1,865
5.950% due 12/28/2017		500		481
6.000% due 04/28/2015		1,900		1,898
6.600% due 04/01/2012		1,000		1,060
National Australia Bank Ltd.
1.424% due 02/08/2010		1,000		1,000
Pearson Dollar Finance Two PLC
6.250% due 05/06/2018		6,000		5,764
Rabobank Nederland NV
11.000% due 12/29/2049		14,500		16,172
RBS Capital Trust III
5.512% due 09/29/2049		300		123
Royal Bank of Scotland Group PLC
2.625% due 05/11/2012		6,300		6,351
6.990% due 10/29/2049		2,745		1,347
7.648% due 08/29/2049		900		446
9.118% due 03/31/2049		5,000		4,076
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		5,400		4,002
SLM Corp.
1.232% due 07/27/2009		1,800		1,792
1.322% due 10/25/2011		500		405
Swedbank AB
3.000% due 12/22/2011		4,000		4,092
TransCapitalInvest Ltd. for OJSC AK Transneft
5.670% due 03/05/2014		4,000		3,550
7.700% due 08/07/2013		100		96
UBS AG
1.530% due 06/19/2010		2,400		2,365
5.750% due 04/25/2018		250		228
Wachovia Bank N.A.
0.959% due 03/15/2016		900		712
Wachovia Corp.
1.218% due 08/01/2013		4,000		3,595
5.300% due 10/15/2011		1,000		1,043
Wells Fargo Bank N.A.
1.064% due 05/16/2016		500		379
4.750% due 02/09/2015		1,000		950
				268,150
INDUSTRIALS 7.8%
Aetna, Inc.
6.500% due 09/15/2018		500		502
Alcoa, Inc.
5.870% due 02/23/2022		1,700		1,338
Altria Group, Inc.
9.700% due 11/10/2018		9,100		10,449
American Airlines Pass-Through Trust 2009-1A
10.375% due 07/02/2019 (b)		3,000		3,000
Avnet, Inc.
6.625% due 09/15/2016		1,600		1,502
Black & Decker Corp.
8.950% due 04/15/2014		4,600		5,050
Boston Scientific Corp.
6.000% due 06/15/2011		100		100
Cardinal Health, Inc.
1.462% due 10/02/2009		300		299
CBS Corp.
8.875% due 05/15/2019		5,000		4,881
Centex Corp.
5.700% due 05/15/2014		1,000		913
CODELCO, Inc.
5.625% due 09/21/2035		3,000		2,744
Con-way, Inc.
7.250% due 01/15/2018		2,500		2,122
CVS Caremark Corp.
0.968% due 06/01/2010		950		944
Daimler Finance North America LLC
5.750% due 09/08/2011		400		408
7.200% due 09/01/2009		300		301
8.500% due 01/18/2031		2,000		2,107
DR Horton, Inc.
5.625% due 01/15/2016		2,500		2,063
Gaz Capital S.A.
6.212% due 11/22/2016		4,000		3,440
General Electric Co.
5.250% due 12/06/2017		9,000		8,853
General Motors Corp.
8.800% due 03/01/2021 (a)		300		38
Hewlett-Packard Co.
2.250% due 05/27/2011		2,600		2,610
International Business Machines Corp.
1.652% due 07/28/2011		300		302
KB Home
5.875% due 01/15/2015		1,200		1,020
7.250% due 06/15/2018		1,300		1,125
Kraft Foods, Inc.
5.625% due 11/01/2011		100		106
Kroger Co.
6.400% due 08/15/2017		500		531
Macy’s Retail Holdings, Inc.
5.900% due 12/01/2016		7,600		6,200
Masco Corp.
6.125% due 10/03/2016		5,000		4,204
McKesson Corp.
7.500% due 02/15/2019		5,000		5,641
Nabors Industries, Inc.
6.150% due 02/15/2018		2,500		2,404
Newell Rubbermaid, Inc.
10.600% due 04/15/2019		3,400		3,916
Nordstrom, Inc.
6.250% due 01/15/2018		5,000		4,921
Pemex Project Funding Master Trust
5.750% due 03/01/2018		9,700		8,973
PepsiCo, Inc.
7.900% due 11/01/2018		1,500		1,828
Reynolds American, Inc.
1.329% due 06/15/2011		400		374
Roche Holdings, Inc.
2.661% due 02/25/2011		4,300		4,350
RPM International, Inc.
6.500% due 02/15/2018		4,000		3,637
RR Donnelley & Sons Co.
5.625% due 01/15/2012		2,000		1,933
6.125% due 01/15/2017		5,000		4,405
Staples, Inc.
9.750% due 01/15/2014		6,000		6,710
Suncor Energy, Inc.
6.850% due 06/01/2039		200		197
Talisman Energy, Inc.
7.750% due 06/01/2019		4,000		4,438
Tate & Lyle International Finance PLC
6.625% due 06/15/2016		1,400		1,282
Tennessee Gas Pipeline Co.
8.000% due 02/01/2016		2,500		2,631
Whirlpool Corp.
8.600% due 05/01/2014		5,000		5,230
Williams Cos., Inc.
6.375% due 10/01/2010		200		200
				130,222
UTILITIES 2.3%
AT&T, Inc.
5.500% due 02/01/2018		100		100
British Telecommunications PLC
5.950% due 01/15/2018		800		722
EDF S.A.
6.500% due 01/26/2019		1,500		1,646
Embarq Corp.
6.738% due 06/01/2013		600		606
7.082% due 06/01/2016		3,000		2,934
Enel Finance International S.A.
6.250% due 09/15/2017		200		209
Sempra Energy
6.500% due 06/01/2016		7,000		7,316
Verizon Wireless Capital LLC
3.750% due 05/20/2011		25,100		25,629
				39,162
Total Corporate Bonds & Notes (Cost $410,974)				437,534
MUNICIPAL BONDS & NOTES 5.9%
ARIZONA 0.0%
Phoenix, Arizona Civic Improvement Corp. Revenue Bonds, Series 2008
5.000% due 07/01/2038		200		201
ARKANSAS 0.1%
University of Arkansas Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 11/01/2037		1,800		1,784
CALIFORNIA 1.9%
California State General Obligation Bonds, Series 2007
5.000% due 11/01/2032		2,300		1,980
California State General Obligation Bonds, Series 2009
7.500% due 04/01/2034		3,600		3,295
7.550% due 04/01/2039		15,400		14,035
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2033		900		604
San Diego County, California Water Authority Certificates of Participation Bonds, (MBIA Insured), Series 2002
5.000% due 05/01/2028		2,200		2,202
San Francisco, California City & County Airports Commission Revenue Bonds, (MBIA Insured), Series 2002
5.000% due 05/01/2032		100		87
Santa Clara County, California Financing Authority Revenue Bonds, Series 2008
5.250% due 05/15/2036		10,000		9,476
				31,679
COLORADO 0.0%
Colorado State Health Facilities Authority Revenue Bonds, (FSA Insured), Series 2006
5.000% due 09/01/2036		200		196
FLORIDA 0.3%
Austin Trust Various States Revenue Bonds, (FSA Insured), Series 2008
7.578% due 10/01/2041		150		126
Florida State Turnpike Authority Revenue Bonds, Series 2009
6.800% due 07/01/2039 (b)		5,000		5,047
				5,173
ILLINOIS 1.4%
Chicago, Illinois Board of Education General Obligation Bonds, Series 2008
5.250% due 12/01/2026		1,400		1,410
Chicago, Illinois General Obligation Bonds, (FSA Insured), Series 2005
4.750% due 01/01/2032		700		651
Chicago, Illinois Revenue Bonds, (AGC Insured), Series 2008
5.000% due 01/01/2038		11,200		11,000
Chicago, Illinois Transit Authority Revenue Bonds, Series 2008
6.899% due 12/01/2040		10,000		10,701
Illinois State Finance Authority Revenue Bonds, (MBIA Insured), Series 1997
0.000% due 01/01/2019		350		302
				24,064
INDIANA 0.2%
Indiana State Finance Authority Revenue Bonds, Series 2009
6.596% due 02/01/2039		3,500		3,556
MASSACHUSETTS 0.0%
Massachusetts State Bay Transportation Authority Revenue Bonds, Series 2004
0.000% due 07/01/2020		450		384
MICHIGAN 0.1%
University of Michigan Revenue Bonds, Series 2009
5.435% due 04/01/2020		1,500		1,547
NEVADA 0.1%
Clark County, Nevada General Obligation Bonds, Series 2008
5.000% due 06/01/2038		1,500		1,347
NEW YORK 0.7%
New York State Counties Tobacco Trust II Revenue Bonds, Series 2001
5.625% due 06/01/2035		2,995		2,248
5.750% due 06/01/2043		4,600		3,315
New York State Dormitory Authority Revenue Bonds, Series 2008
5.000% due 07/01/2038		1,900		1,863
New York State JPMorgan Chase Putters/Drivers Trust Revenue Bonds, Series 2008
9.847% due 06/15/2031		100		106
New York State Port Authority of New York & New Jersey Revenue Bonds, Series 2009
5.859% due 12/01/2024 (b)		4,100		4,200
				11,732
OHIO 0.3%
Cincinnati, Ohio City School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2006
5.250% due 12/01/2018		3,680		4,114
Ohio State Housing Finance Agency Revenue Bonds, (GNMA/FNMA Insured), Series 2007
6.036% due 09/01/2017		185		180
				4,294
TEXAS 0.4%
Texas State General Obligation Bonds, Series 2007
5.000% due 04/01/2037		2,800		2,796
Texas State General Obligation Bonds, Series 2008
4.750% due 04/01/2037		3,700		3,524
Texas State JPMorgan Chase Putters/Drivers Trust General Obligation Bonds, (PSF-GTD Insured), Series 2008
9.798% due 02/15/2031		100		113
Texas State JPMorgan Chase Putters/Drivers Trust Revenue Bonds, Series 2008
9.813% due 02/01/2027		100		109
9.902% due 10/01/2031		170		189
				6,731
VIRGINIA 0.3%
Upper Occoquan, Virginia Sewage Authority Revenue Bonds, Series 2007
4.750% due 07/01/2034		4,900		4,850
WASHINGTON 0.1%
Seattle, Washington General Obligation Bonds, Series 2007
5.000% due 10/01/2019		1,000		1,110
WISCONSIN 0.0%
Wisconsin State Public Power, Inc. Revenue Bonds, (FSA Insured), Series 2008
5.000% due 07/01/2037		200		196
Total Municipal Bonds & Notes (Cost $98,852)				98,844
U.S. GOVERNMENT AGENCIES 41.7%
Fannie Mae
0.374% due 12/25/2036		612		552
0.414% due 01/25/2021		133		131
0.444% due 03/25/2036		386		334
0.514% due 10/27/2037		400		364
0.664% due 09/25/2042		131		122
1.214% due 04/25/2032		11		11
1.625% due 11/25/2023		168		170
2.638% due 03/01/2044 - 09/01/2044		929		924
3.500% due 07/01/2039		15,000		14,020
4.000% due 05/01/2024 - 06/01/2024		10,000		10,014
4.287% due 11/01/2034		692		700
4.478% due 05/01/2035		882		913
4.532% due 09/01/2031		13		14
5.000% due 07/25/2019 - 10/01/2020		293		305
5.083% due 06/01/2035		654		683
5.493% due 12/01/2035		39		40
5.500% due 07/01/2024 - 01/01/2039		262,708		271,893
5.500% due 09/01/2037 - 09/01/2038 (i)		61,794		63,869
6.000% due 12/01/2009 - 07/01/2039		80,904		84,748
6.500% due 08/01/2029 - 07/01/2039		39,700		42,280
Federal Housing Administration
7.430% due 07/01/2018 - 02/01/2023		51		51
Freddie Mac
0.519% due 10/15/2020		55		54
0.888% due 02/01/2011 (f)		1,991		1,988
1.268% due 04/01/2011 (f)		321		322
1.325% due 10/15/2020		5		5
2.638% due 10/25/2044		46		45
2.838% due 07/25/2044		723		716
4.500% due 10/15/2019		30		30
5.000% due 04/15/2018 - 11/15/2021		155		159
5.500% due 06/01/2036 - 03/01/2039		44,619		46,117
6.500% due 10/25/2043		204		217
Ginnie Mae
5.000% due 07/01/2039		2,091		2,131
6.000% due 12/15/2028 - 07/01/2039		101,335		105,689
6.500% due 08/15/2036 - 07/01/2039		37,594		39,933
Overseas Private Investment Corp.
0.000% due 09/20/2013		852		895
Residual Funding Strip
0.000% due 10/15/2019		12,600		8,004
Total U.S. Government Agencies (Cost $693,396)				698,443
U.S. TREASURY OBLIGATIONS 4.4%
Treasury Inflation Protected Securities (d)
1.625% due 01/15/2015		18,984		18,888
1.625% due 01/15/2018 (f)		12,213		12,084
2.125% due 01/15/2019 (h)		13,796		14,236
2.500% due 07/15/2016		21,116		22,152
2.625% due 07/15/2017		1,543		1,643
U.S. Treasury Bonds
7.250% due 08/15/2022		100		131
U.S. Treasury Notes
0.875% due 05/31/2011		1,340		1,336
0.875% due 04/30/2011 (i)		2,705		2,698
Total U.S. Treasury Obligations (Cost $72,726)				73,168
MORTGAGE-BACKED SECURITIES 2.1%
American Home Mortgage Assets
0.524% due 10/25/2046		285		93
American Home Mortgage Investment Trust
4.390% due 02/25/2045		3,532		2,784
5.660% due 09/25/2045		1,986		1,217
Banc of America Commercial Mortgage, Inc.
5.421% due 04/10/2049		748		759
Banc of America Mortgage Securities, Inc.
4.373% due 01/25/2035		1,255		1,016
5.000% due 05/25/2034		39		38
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		87		75
2.500% due 08/25/2035		223		195
2.900% due 03/25/2035		366		317
4.248% due 05/25/2034		23		18
4.271% due 04/25/2034		619		532
4.550% due 08/25/2035		158		140
4.625% due 10/25/2035		262		207
4.808% due 11/25/2034		36		30
5.457% due 05/25/2047		94		55
Bear Stearns Alt-A Trust
0.514% due 02/25/2034		291		81
4.787% due 08/25/2036		50		22
5.490% due 09/25/2035		94		51
5.673% due 11/25/2036		187		95
5.738% due 01/25/2036		5,448		2,727
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		77		43
Chase Mortgage Finance Corp.
4.595% due 02/25/2037		2,205		1,997
4.747% due 02/25/2037		244		209
4.826% due 02/25/2037		1,339		1,123
Chaseflex Trust
0.774% due 07/25/2037		1,299		526
Citigroup Mortgage Loan Trust, Inc.
4.248% due 08/25/2035		122		97
4.748% due 08/25/2035		104		83
5.637% due 11/25/2036		3,116		1,504
5.994% due 09/25/2037		374		203
Countrywide Alternative Loan Trust
0.395% due 09/20/2046		130		127
0.465% due 05/20/2046		57		48
0.474% due 02/25/2047		736		278
0.494% due 05/25/2047		309		116
0.495% due 02/20/2047		964		375
0.504% due 11/25/2046		528		205
0.510% due 12/20/2046		385		154
0.594% due 02/25/2037		815		371
2.340% due 02/25/2036		41		19
5.500% due 03/25/2036		245		180
6.500% due 06/25/2036		376		187
Countrywide Home Loan Mortgage Pass-Through Trust
0.634% due 03/25/2035		317		141
0.694% due 09/25/2034		23		11
4.543% due 08/25/2034		10		6
4.620% due 08/25/2034		123		98
4.786% due 11/25/2034		32		24
5.250% due 02/20/2036		398		238
5.781% due 09/20/2036		605		278
CS First Boston Mortgage Securities Corp.
4.214% due 08/25/2033		41		36
6.500% due 04/25/2033		3		3
Downey Savings & Loan Association Mortgage Loan Trust
0.573% due 08/19/2045		80		35
3.472% due 07/19/2044		10		6
First Horizon Asset Securities, Inc.
4.742% due 12/25/2033		18		15
First Republic Mortgage Loan Trust
0.669% due 11/15/2031		33		26
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		29		29
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		233		192
0.394% due 01/25/2047		467		355
GSR Mortgage Loan Trust
4.535% due 03/25/2033		16		15
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		68		63
0.503% due 01/19/2038		4,219		1,804
0.533% due 05/19/2035		408		183
0.553% due 03/19/2036		413		175
4.353% due 05/19/2033		37		32
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		21		20
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		133		124
JPMorgan Mortgage Trust
4.773% due 07/25/2035		260		209
5.009% due 07/25/2035		286		219
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		22		19
MASTR Asset Securitization Trust
5.500% due 09/25/2033		146		139
Mellon Residential Funding Corp.
0.669% due 11/15/2031		175		127
0.759% due 12/15/2030		102		83
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		295		159
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		437		291
4.250% due 10/25/2035		117		95
Morgan Stanley Mortgage Loan Trust
4.579% due 08/25/2034		167		117
5.380% due 06/25/2036		273		224
Residential Accredit Loans, Inc.
0.414% due 09/25/2046		263		206
0.564% due 02/25/2036		1,033		408
0.614% due 08/25/2035		238		109
Structured Adjustable Rate Mortgage Loan Trust
2.610% due 01/25/2035		63		27
4.026% due 04/25/2034		23		19
4.802% due 02/25/2034		18		14
5.199% due 09/25/2034		44		38
5.516% due 08/25/2035		101		66
Structured Asset Mortgage Investments, Inc.
0.384% due 08/25/2036		148		142
0.414% due 09/25/2047		37		35
0.504% due 07/25/2046		282		118
0.534% due 05/25/2036		1,575		625
0.594% due 02/25/2036		312		143
0.663% due 03/19/2034		17		11
Structured Asset Securities Corp.
0.364% due 05/25/2036		15		14
4.504% due 10/25/2035		37		25
5.000% due 12/25/2034		20		19
TBW Mortgage-Backed Pass-Through Certificates
0.414% due 09/25/2036		12		12
0.424% due 01/25/2037		42		38
Thornburg Mortgage Securities Trust
0.414% due 03/25/2037		292		255
0.434% due 09/25/2046		485		446
0.444% due 06/25/2037		71		62
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		199		144
5.308% due 11/15/2048		900		690
WaMu Mortgage Pass-Through Certificates
0.584% due 12/25/2045		63		30
0.634% due 07/25/2045		46		22
0.854% due 12/25/2027		27		20
2.070% due 01/25/2047		145		64
2.139% due 02/25/2047		286		115
2.150% due 12/25/2046		754		325
2.320% due 06/25/2046		923		421
2.540% due 11/25/2042		13		8
2.840% due 11/25/2046		302		198
2.909% due 06/25/2033		11		9
3.127% due 09/25/2046		67		29
3.127% due 10/25/2046		484		217
3.766% due 03/25/2033		55		44
4.435% due 10/25/2034		1,570		1,324
5.239% due 01/25/2036		3,560		2,127
5.394% due 02/25/2037		278		165
Wells Fargo Mortgage-Backed Securities Trust
3.581% due 09/25/2034		3,822		1,204
4.121% due 07/25/2035		71		64
4.567% due 12/25/2034		1,326		1,167
4.612% due 06/25/2035		396		348
4.697% due 12/25/2033		41		36
Total Mortgage-Backed Securities (Cost $30,266)				35,491
ASSET-BACKED SECURITIES 0.9%
Accredited Mortgage Loan Trust
0.364% due 02/25/2037		30		27
ACE Securities Corp.
0.364% due 07/25/2036		7		7
0.464% due 12/25/2035		30		30
Amortizing Residential Collateral Trust
1.014% due 10/25/2031		1,082		666
Argent Securities, Inc.
0.364% due 10/25/2036		13		13
0.514% due 10/25/2035		108		90
Asset-Backed Funding Certificates
0.374% due 10/25/2036		26		26
0.374% due 11/25/2036		13		12
0.664% due 06/25/2034		388		191
Asset-Backed Securities Corp. Home Equity
0.364% due 12/25/2036		20		18
Bear Stearns Asset-Backed Securities Trust
0.364% due 11/25/2036		51		45
0.644% due 01/25/2036		118		108
0.664% due 09/25/2034		75		69
0.764% due 03/25/2043		3		3
0.814% due 11/25/2042		33		24
5.500% due 08/25/2036		3,119		1,745
Bear Stearns Second Lien Trust
0.534% due 12/25/2036		508		214
Carrington Mortgage Loan Trust
0.364% due 12/25/2036		44		32
0.364% due 01/25/2037		316		263
0.414% due 06/25/2037		172		137
0.474% due 01/25/2036		180		170
Chase Issuance Trust
2.129% due 09/15/2015		500		500
Citigroup Mortgage Loan Trust, Inc.
0.374% due 05/25/2037		56		45
0.414% due 10/25/2036		451		423
Countrywide Asset-Backed Certificates
0.364% due 05/25/2037		105		100
0.364% due 12/25/2046		4		4
0.364% due 03/25/2047		53		51
0.424% due 10/25/2046		142		134
0.474% due 02/25/2036		6		5
0.654% due 12/25/2036		394		229
0.794% due 12/25/2031		3		1
Credit-Based Asset Servicing & Securitization LLC
5.844% due 04/25/2037		106		88
6.280% due 05/25/2035		2,600		1,581
First NLC Trust
0.384% due 08/25/2037		57		36
Fremont Home Loan Trust
0.364% due 10/25/2036		18		11
0.374% due 01/25/2037		72		47
GSAMP Trust
0.354% due 10/25/2046		60		57
0.604% due 03/25/2034		7		7
HFC Home Equity Loan Asset-Backed Certificates
0.385% due 03/20/2036		8		8
Home Equity Mortgage Trust
5.367% due 07/25/2036		488		96
HSI Asset Securitization Corp. Trust
0.364% due 10/25/2036		96		57
Indymac Residential Asset-Backed Trust
0.364% due 11/25/2036		12		12
0.374% due 04/25/2037		15		14
JPMorgan Mortgage Acquisition Corp.
0.364% due 07/25/2036		58		55
0.364% due 08/25/2036		68		63
0.374% due 03/25/2047		49		35
0.377% due 11/25/2036		44		42
0.394% due 08/25/2036		29		27
Lehman XS Trust
0.464% due 04/25/2037		238		159
Long Beach Mortgage Loan Trust
0.354% due 11/25/2036		11		10
0.494% due 08/25/2035		14		14
0.594% due 10/25/2034		441		282
MASTR Asset-Backed Securities Trust
0.364% due 11/25/2036		67		55
0.374% due 11/25/2036		240		223
0.424% due 02/25/2036		61		59
Merrill Lynch Mortgage Investors, Inc.
0.384% due 08/25/2036		3		3
Morgan Stanley ABS Capital I
0.364% due 09/25/2036		61		59
0.424% due 10/25/2036		1,600		758
Morgan Stanley IXIS Real Estate Capital Trust
0.364% due 11/25/2036		15		14
Nationstar Home Mortgage LLC
3.814% due 07/25/2034		251		44
Nomura Asset Acceptance Corp.
0.454% due 01/25/2036		10		9
Option One Mortgage Loan Trust
0.354% due 02/25/2037		2		2
0.444% due 07/25/2037		800		302
Park Place Securities, Inc.
0.574% due 09/25/2035		46		30
Residential Asset Mortgage Products, Inc.
0.394% due 10/25/2036		65		65
Residential Asset Securities Corp.
0.384% due 11/25/2036		58		57
0.394% due 10/25/2036		10		10
Saxon Asset Securities Trust
0.374% due 10/25/2046		60		58
SBI HELOC Trust
0.484% due 08/25/2036		161		145
Securitized Asset-Backed Receivables LLC Trust
0.364% due 09/25/2036		44		39
0.444% due 05/25/2037		743		463
SLC Student Loan Trust
0.863% due 02/15/2015		67		67
SLM Student Loan Trust
1.092% due 10/25/2016		82		82
2.392% due 01/25/2018		3,525		3,541
2.592% due 04/25/2023		393		401
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		122		66
0.394% due 06/25/2037		47		38
Specialty Underwriting & Residential Finance
0.359% due 11/25/2037		9		9
Structured Asset Investment Loan Trust
0.364% due 07/25/2036		15		14
Structured Asset Securities Corp.
0.364% due 10/25/2036		102		93
0.604% due 01/25/2033		13		9
USAA Auto Owner Trust
4.980% due 10/15/2012		525		544
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		3		3
0.544% due 10/25/2035		93		88
0.554% due 11/25/2035		27		27
Total Asset-Backed Securities (Cost $14,651)				15,460
SOVEREIGN ISSUES 0.2%
Mexico Government International Bond
5.950% due 03/19/2019		4,000		4,060
Total Sovereign Issues (Cost $3,992)				4,060
FOREIGN CURRENCY-DENOMINATED ISSUES 1.3%
American International Group, Inc.
8.625% due 05/22/2038	GBP	200		79
ASIF II
5.375% due 12/07/2009		300		474
ASIF III Jersey Ltd.
0.950% due 07/15/2009	JPY	205,000		2,096
Caisse Nationale des Caisses d’Epargne et de Prevoyance
6.117% due 10/29/2049	EUR	100		76
CIT Group, Inc.
4.250% due 09/22/2011		900		884
Citigroup, Inc.
1.305% due 06/28/2013		100		117
1.614% due 01/16/2012	GBP	1,300		1,885
Fortis Bank Nederland Holding NV
1.737% due 06/10/2011	EUR	3,700		5,181
Goldman Sachs Group, Inc.
4.750% due 01/28/2014		30		41
5.375% due 02/15/2013		200		284
Lloyds TSB Bank PLC
1.418% due 06/09/2011		2,900		4,051
4.385% due 05/29/2049		500		354
Merrill Lynch & Co., Inc.
1.570% due 05/30/2014		300		341
Morgan Stanley
3.537% due 03/01/2013	AUD	3,900		2,716
Province of Ontario Canada
4.700% due 06/02/2037	CAD	500		422
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049	EUR	600		290
SLM Corp.
4.750% due 03/17/2014		1,200		1,220
Societe Generale
4.196% due 01/29/2049		100		74
UBS AG
4.280% due 04/29/2049		500		309
Total Foreign Currency-Denominated Issues (Cost $20,242)				20,894
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.2%
American International Group, Inc.
8.500% due 08/01/2011		74,900		713
Wells Fargo & Co.
7.500% due 12/31/2049		3,600		2,826
Total Convertible Preferred Stocks (Cost $3,085)				3,539
PREFERRED STOCKS 0.0%
Fannie Mae
8.250% due 12/31/2049		1,000		1
Total Preferred Stocks (Cost $1)				1
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 25.1%
REPURCHASE AGREEMENTS 1.3%
Barclays Capital, Inc.
0.020% due 07/01/2009	$	13,000		13,000
(Dated 06/30/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $13,458. Repurchase proceeds are $13,000.)
JPMorgan Chase Bank N.A.
0.090% due 07/01/2009		7,700		7,700
(Dated 06/30/2009. Collateralized by Freddie Mac 6.875% due 09/15/2010 valued at $7,862. Repurchase proceeds are $7,700.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		1,142		1,142
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $1,165. Repurchase proceeds are $1,142.)
				21,842
U.S. TREASURY BILLS 0.2%
0.117% due 07/02/2009 - 07/30/2009 (c)(f)(g)(i)		2,916		2,916
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (e) 23.6%
		39,482,764		395,183
Total Short-Term Instruments (Cost $419,937)				419,941
Total Investments 108.0% (Cost $1,769,949)			$	1,809,237
Written Options (k) (0.0%) (Premiums $210)				(106	)
Other Assets and Liabilities (Net) (8.0%)				(134,632	)
Net Assets 100.0%			$	1,674,499

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) Affiliated to the Fund.

(f) Securities with an aggregate market value of $3,121 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(g) Securities with an aggregate market value of $2,010 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(h) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $6,060 at a weighted average interest rate of 0.420%. On June 30, 2009, securities valued at $6,145 were pledged as collateral for reverse repurchase agreements.

(i) Securities with an aggregate market value of $4,075 and cash of $1,443 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor June Futures	Long	06/2010	236	$	314
90-Day Euribor September Futures	Long	09/2010	840		588
90-Day Eurodollar December Futures	Long	12/2009	1,084		1,097
90-Day Eurodollar March Futures	Long	03/2010	1,578		1,544
Euro-Bobl September Futures	Long	09/2009	232		289
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2009	82		407
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	139		(121	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	177		(11	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	981		22
				$	4,129

(j) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Aetna, Inc.	JPM	(0.930	%)	09/20/2018	0.740	%	$	500	$	(7	)	$	0		$	(7	)
Alcoa, Inc.	BOA	(1.510	%)	12/20/2018	4.083	%		1,700		269			0			269
Altria Group, Inc.	BNP	(1.000	%)	12/20/2018	1.040	%		4,100		12			(66	)		78
Altria Group, Inc.	BNP	(1.300	%)	12/20/2018	1.080	%		5,000		(87	)		0			(87	)
Avnet, Inc.	DUB	(1.000	%)	09/20/2016	1.250	%		1,600		20			29			(9	)
Black & Decker Corp.	BOA	(2.250	%)	06/20/2014	1.650	%		4,600		(126	)		0			(126	)
Block Financial LLC	JPM	(1.270	%)	03/20/2013	0.709	%		2,500		(51	)		0			(51	)
BNP Paribas	JPM	(0.660	%)	03/20/2014	0.676	%		10,000		6			0			6
British Telecommunications PLC	MSC	(1.360	%)	03/20/2018	1.788	%		800		23			0			23
Capital One Financial Corp.	JPM	(1.000	%)	06/20/2014	2.078	%		3,000		140			135			5
CBS Corp.	BCLY	(1.000	%)	06/20/2019	2.691	%		5,000		595			456			139
Centex Corp.	GSC	(1.000	%)	06/20/2014	1.590	%		1,000		26			14			12
Con-way, Inc.	JPM	(3.750	%)	03/20/2018	2.227	%		2,500		(255	)		0			(255	)
Devon Energy Corp.	BCLY	(1.050	%)	03/20/2014	0.582	%		20,000		(422	)		0			(422	)
DR Horton, Inc.	BNP	(1.000	%)	03/20/2016	2.570	%		2,500		211			163			48
Embarq Corp.	DUB	(1.000	%)	06/20/2016	1.054	%		3,000		9			(47	)		56
Ingersoll-Rand Co.	BCLY	(0.400	%)	09/20/2013	0.746	%		1,200		16			0			16
Jones Apparel Group, Inc.	BCLY	(5.000	%)	06/20/2014	3.968	%		15,000		(649	)		(153	)		(496	)
KB Home	BNP	(1.000	%)	03/20/2015	3.036	%		1,200		115			50			65
KB Home	BOA	(1.000	%)	06/20/2018	2.810	%		1,300		154			63			91
Kroger Co.	DUB	(0.775	%)	09/20/2017	0.821	%		500		2			0			2
Macy’s Retail Holdings, Inc.	RBS	(1.000	%)	12/20/2016	3.556	%		7,600		1,064			359			705
Marsh & McLennan Cos., Inc.	DUB	(1.000	%)	09/20/2015	0.531	%		2,000		(53	)		(46	)		(7	)
Masco Corp.	UBS	(4.650	%)	12/20/2016	3.379	%		5,000		(358	)		0			(358	)
McKesson Corp.	BOA	(0.640	%)	03/20/2019	0.338	%		5,000		(126	)		0			(126	)
Nabors Industries, Inc.	CITI	(1.000	%)	03/20/2018	1.331	%		2,500		58			22			36
Newell Rubbermaid, Inc.	BOA	(2.710	%)	06/20/2019	1.531	%		3,400		(310	)		0			(310	)
Nordstrom, Inc.	BOA	(5.190	%)	03/20/2018	2.066	%		5,000		(1,060	)		0			(1,060	)
Pearson Dollar Finance Two PLC	BCLY	(0.770	%)	06/20/2018	0.560	%		6,000		(98	)		0			(98	)
RPM International, Inc.	GSC	(1.000	%)	03/20/2018	1.871	%		4,000		237			59			178
RR Donnelley & Sons Co.	CITI	(4.030	%)	03/20/2012	3.365	%		2,000		(36	)		0			(36	)
RR Donnelley & Sons Co.	DUB	(3.250	%)	03/20/2017	3.383	%		5,000		34			0			34
Sara Lee Corp.	BNP	(0.640	%)	09/20/2013	0.349	%		1,200		(14	)		0			(14	)
Sempra Energy	BCLY	(1.100	%)	03/20/2014	0.987	%		16,100		(84	)		0			(84	)
Sempra Energy	CITI	(1.000	%)	06/20/2016	0.937	%		7,000		(29	)		(89	)		60
Staples, Inc.	BOA	(3.750	%)	03/20/2014	1.294	%		6,000		(647	)		0			(647	)
Talisman Energy Inc.	BOA	(1.000	%)	06/20/2019	0.901	%		4,000		(33	)		48			(81	)
Tate & Lyle International Finance PLC	BCLY	(1.150	%)	06/20/2016	1.520	%		1,400		30			0			30
UBS Warburg LLC	BCLY	(2.350	%)	03/20/2014	1.256	%	EUR	800		(54	)		0			(54	)
Whirlpool Corp.	CITI	(1.000	%)	06/20/2014	2.500	%	$	5,000		321			354			(33	)
Wyeth	BCLY	(0.390	%)	09/20/2013	0.323	%		1,000		(3	)		0			(3	)
									$	(1,160	)	$	1,351		$	(2,511	)

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation
CIT Group, Inc.	JPM	5.000	%	12/20/2009	19.378	%	$	100	$	(7	)	$	(13	)	$	6
CIT Group, Inc.	JPM	5.000	%	06/20/2010	20.166	%		900		(115	)		(166	)		51
Exxon Mobil Corp.	BCLY	0.970	%	03/20/2014	0.375	%		20,000		539			0			539
General Electric Capital Corp.	DUB	4.700	%	12/20/2013	4.336	%		4,000		59			0			59
									$	476		$	(179	)	$	655

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
CDX.IG-12 5-Year Index	DUB	(1.000	%)	06/20/2014	$	72,400	$	1,028	$	1,243	$	(215	)

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
ABX.HE AAA 06-2 Index	CSFB	0.110	%	05/25/2046	$	584	$	(235	)	$	(222	)	$	(13	)
ABX.HE AAA 07-1 Index	BCLY	0.090	%	08/25/2037		2,100		(1,462	)		(1,355	)		(107	)
ABX.HE AAA 07-1 Index	CSFB	0.090	%	08/25/2037		800		(557	)		(516	)		(41	)
CDX.IG-7 10-Year Index	GSC	0.650	%	12/20/2016		583		(35	)		(46	)		11
							$	(2,289	)	$	(2,139	)	$	(150	)

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2014	BCLY	$	4,200	$	212		$	282		$	(70	)
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	RBS		48,000		1,477			517			960
Pay	3-Month USD-LIBOR	3.100	%	05/27/2016	BCLY		27,600		(451	)		0			(451	)
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2011	CITI	GBP	1,500		138			(19	)		157
Pay	6-Month GBP-LIBOR	5.000	%	03/18/2011	DUB		1,400		129			(20	)		149
								$	1,505		$	760		$	745

(k) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	120.000	08/21/2009	3	$	1	$	1
Put - CBOT U.S. Treasury 10-Year Note September Futures		112.000	08/21/2009	3		1		2
Put - CME 90-Day Eurodollar December Futures		98.625	12/14/2009	123		43		33
Put - CME 90-Day Eurodollar September Futures		98.500	09/14/2009	112		35		5
					$	80	$	41

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	2.950	%	12/15/2009	$	1,300	$	9	$	4
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		11,800		41		24
Put - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	2.950	%	12/15/2009		12,900		80		37
									$	130	$	65

(l) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.000	%	07/01/2024	$	5,000	$	5,112	$	5,174
Fannie Mae	5.000	%	07/01/2039		300		301		305
Fannie Mae	5.500	%	07/01/2039		227,000		232,668		234,271
Fannie Mae	6.000	%	07/01/2039		75,900		79,005		79,327
Ginnie Mae	5.500	%	07/01/2039		3,400		3,460		3,509
Ginnie Mae	6.000	%	07/01/2039		86,000		89,321		89,615
Ginnie Mae	6.500	%	07/01/2039		15,000		15,914		15,917
						$	425,781	$	428,118

(m) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	GSC	3,333	07/2009	$	0	$	(62	)	$	(62	)
Buy	BRL	GSC	16,822	08/2009		9		0			9
Buy		HSBC	32,166	08/2009		87		0			87
Sell		HSBC	25,630	08/2009		0		(173	)		(173	)
Buy		MLP	25,630	08/2009		790		0			790
Sell	CNY	CITI	111	07/2009		0		0			0
Buy		DUB	310	07/2009		0		(3	)		(3	)
Sell		DUB	209	07/2009		0		0			0
Buy		HSBC	97	07/2009		0		(1	)		(1	)
Sell		JPM	87	07/2009		0		0			0
Buy		CITI	111	09/2009		0		0			0
Buy		DUB	87	09/2009		0		0			0
Buy		JPM	87	09/2009		0		0			0
Buy		DUB	121	03/2010		0		0			0
Buy		BCLY	122,573	06/2010		0		(88	)		(88	)
Buy		CITI	46,898	06/2010		0		(39	)		(39	)
Buy		DUB	36,835	06/2010		0		(28	)		(28	)
Sell	EUR	BCLY	5,257	07/2009		0		(46	)		(46	)
Sell		GSC	1,531	07/2009		0		(1	)		(1	)
Sell		RBS	6,588	07/2009		0		(3	)		(3	)
Buy	GBP	BCLY	494	07/2009		22		0			22
Sell		BCLY	521	07/2009		0		(35	)		(35	)
Sell		BNP	293	07/2009		0		(2	)		(2	)
Sell		CITI	1,266	07/2009		0		(124	)		(124	)
Sell		CSFB	86	07/2009		0		(4	)		(4	)
Buy		GSC	86	07/2009		4		0			4
Sell		GSC	281	07/2009		2		(5	)		(3	)
Buy		JPM	2,224	07/2009		0		(18	)		(18	)
Sell		RBS	357	07/2009		0		(27	)		(27	)
Sell		JPM	2,224	08/2009		18		0			18
Sell	JPY	BNP	1,310,240	07/2009		0		(15	)		(15	)
Buy		DUB	1,310,240	07/2009		0		(44	)		(44	)
Sell		DUB	1,310,240	07/2009		44		0			44
Buy	KRW	HSBC	15,267,000	07/2009		0		(261	)		(261	)
					$	976	$	(979	)	$	(3	)

(n) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	435,824		$	1,710	$	437,534
Municipal Bonds & Notes		0		98,844			0		98,844
U.S. Government Agencies		0		698,392			51		698,443
Short-Term Instruments		395,183		24,758			0		419,941
Other Investments++		7,591		146,859			25		154,475
Investments, at value	$	402,774	$	1,404,677		$	1,786	$	1,809,237
Short Sales, at value	$	0	$	(428,118	)	$	0	$	(428,118	)
Financial Derivative Instruments+++	$	4,129	$	(1,585	)	$	0	$	2,544
Total	$	406,903	$	974,974		$	1,786	$	1,383,663

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	1,604		$	0	$	0	$	106	$	0	$	1,710
U.S. Government Agencies		52		(1	)		0		0		0		0		51
Other Investments++		0		22			0		0		3		0		25
Investments, at value	$	52	$	1,625		$	0	$	0	$	109	$	0	$	1,786
Financial Derivative Instruments+++	$	0	$	0		$	0	$	0	$	0	$	0	$	0
Total	$	52	$	1,625		$	0	$	0	$	109	$	0	$	1,786

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Unconstrained Tax Managed Bond Fund

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 12.3%
BANKING & FINANCE 11.8%
Bank of America Corp.
7.375% due 05/15/2014	$	100	$	103
7.625% due 06/01/2019		400		402
Commonwealth Bank of Australia
2.400% due 01/12/2012		200		200
General Electric Capital Corp.
1.800% due 03/11/2011		300		303
6.875% due 01/10/2039		150		135
HSBC USA, Inc.
3.125% due 12/16/2011		200		207
JPMorgan Chase & Co.
3.125% due 12/01/2011		100		104
New York Community Bank
3.000% due 12/16/2011		200		206
Rabobank Nederland NV
11.000% due 12/29/2049		100		112
Royal Bank of Scotland Group PLC
2.625% due 05/11/2012		100		101
6.990% due 10/29/2049		350		172
Wells Fargo & Co.
3.000% due 12/09/2011		100		103
				2,148
UTILITIES 0.5%
Verizon Wireless Capital LLC
3.750% due 05/20/2011		100		102
Total Corporate Bonds & Notes (Cost $2,153)				2,250
MUNICIPAL BONDS & NOTES 67.8%
ARKANSAS 0.5%
University of Arkansas Revenue Bonds, (AMBAC Insured), Series 2007
5.000% due 11/01/2037		100		99
CALIFORNIA 14.0%
California State Educational Facilities Authority Revenue Bonds, Series 2008
0.250% due 10/01/2026		400		400
California State General Obligation Bonds, Series 2009
7.550% due 04/01/2039		100		91
California State General Obligation Notes, Series 2008
5.000% due 04/01/2015		125		130
California State General Obligation Notes, Series 2009
5.500% due 04/01/2018		500		517
California State Pollution Control Financing Authority Revenue Bonds, Series 1996
0.150% due 11/01/2026		100		100
California Statewide Communities Development Authority Revenue Bonds, Series 2008
0.180% due 12/01/2034		200		200
0.250% due 08/15/2034		200		200
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2003
6.750% due 06/01/2039		250		291
Los Angeles, California Unified School District General Obligation Bonds, Series 2009
5.000% due 07/01/2019		125		131
Los Angeles County, California Metropolitan Transportation Authority Revenue Bonds, Series 2009
0.200% due 07/01/2023		200		200
Orange County, California Sanitation District Certificates of Participation Bonds, Series 2000
0.350% due 08/01/2029		100		100
Santa Clara, California Revenue Bonds, Series 2008
0.250% due 07/01/2034		200		200
				2,560
COLORADO 3.3%
Colorado Springs, Colorado Revenue Bonds, Series 2006
0.300% due 06/01/2029		100		100
Colorado State Educational & Cultural Facilities Authority Revenue Bonds, Series 2008
0.320% due 10/01/2038		100		100
Denver, Colorado City & County Certificates of Participation Bonds, Series 2008
0.200% due 12/01/2029		200		200
0.220% due 12/01/2029		200		200
				600
DISTRICT OF COLUMBIA 2.2%
District of Columbia General Obligation Bonds, Series 2008
0.750% due 06/01/2027		100		100
District of Columbia Revenue Bonds, Series 2007
0.270% due 04/01/2041		100		100
District of Columbia Revenue Bonds, Series 2008
0.320% due 10/01/2038		200		200
				400
FLORIDA 1.1%
Orange County, Florida School Board Certificates of Participation Bonds, Series 2008
0.300% due 08/01/2022		200		200
HAWAII 1.5%
Hawaii State General Obligation Notes, Series 2009
5.000% due 06/01/2014		250		279
IDAHO 1.2%
Power County, Idaho Revenue Bonds, Series 1985
0.400% due 12/01/2010		225		225
ILLINOIS 3.8%
Chicago, Illinois Board of Education General Obligation Bonds, Series 2008
5.250% due 12/01/2026		100		101
Chicago, Illinois General Obligation Bonds, Series 2002
0.250% due 01/01/2037		200		200
Cook, Kane, Lake & McHenry Counties, Illinois Community College District No. 512 General Obligation Bonds, Series 2009
5.000% due 12/01/2019		100		111
Illinois State General Obligation Notes, Series 2007
5.000% due 01/01/2014		250		273
				685
KANSAS 2.1%
Kansas State Department of Transportation Revenue Bonds, Series 2004
5.000% due 09/01/2022		350		381
MASSACHUSETTS 3.1%
Massachusetts State General Obligation Bonds, (MBIA-IBC Insured), Series 2002
5.500% due 08/01/2019		150		174
Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 1999
0.170% due 07/01/2039		200		200
Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2007
0.270% due 12/01/2037		200		200
				574
MISSOURI 5.5%
Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 1996
0.300% due 09/01/2030		200		200
Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 2000
0.250% due 03/01/2040		100		100
Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 2003
0.300% due 02/15/2033		300		300
Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 2004
0.300% due 02/15/2034		200		200
Missouri State Heath & Educational Facilities Authority Revenue Bonds, Series 2008
0.200% due 10/01/2035		200		200
				1,000
NEW HAMPSHIRE 1.1%
New Hampshire State Health & Education Facilities Authority Revenue Bonds, Series 2005
0.350% due 07/01/2033		100		100
New Hampshire State Health & Education Facilities Authority Revenue Bonds, Series 2007
0.250% due 06/01/2041		100		100
				200
NEW YORK 8.5%
New York City, New York General Obligation Bonds, Series 1993
0.200% due 08/01/2019		100		100
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
0.250% due 06/15/2033		200		200
New York City, New York Transitional Finance Authority Revenue Bonds, (FSA Insured), Series 2003
5.250% due 02/01/2014		125		136
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
0.270% due 11/01/2022		200		200
New York State Dormitory Authority Revenue Bonds, Series 2000
0.180% due 07/01/2029		200		200
New York State Dormitory Authority Revenue Bonds, Series 2003
0.250% due 02/15/2031		200		200
New York State Dormitory Authority Revenue Bonds, Series 2008
0.200% due 07/01/2037		200		200
New York State Port Authority of New York & New Jersey Revenue Bonds, Series 1995
0.220% due 06/01/2020		200		200
New York State Port Authority of New York & New Jersey Revenue Bonds, Series 2006
5.000% due 07/15/2021		100		106
				1,542
NORTH CAROLINA 2.9%
Charlotte-Mecklenburg, North Carolina Hospital Authority Revenue Bonds, Series 2007
0.260% due 01/15/2045		200		200
Charlotte, North Carolina Certificates of Participation Notes, Series 2009
5.000% due 06/01/2014		300		334
				534
OHIO 0.6%
Ohio State Building Authority Revenue Bonds, Series 2009
5.000% due 10/01/2020		100		109
PENNSYLVANIA 5.8%
Delaware County, Pennsylvania Authority Revenue Bonds, Series 2008
0.300% due 06/01/2020		190		190
Geisinger, Pennsylvania Authority Revenue Bonds, Series 2002
0.200% due 11/15/2032		200		200
Geisinger, Pennsylvania Authority Revenue Bonds, Series 2005
0.200% due 05/15/2035		200		200
Geisinger, Pennsylvania Authority Revenue Bonds, Series 2009
0.250% due 06/01/2039		200		200
Pennsylvania State Intergovernmental Cooperative Authority Special Tax Notes, Series 2009
5.000% due 06/15/2014		250		276
				1,066
TEXAS 5.8%
Corpus Christi, Texas General Obligation Notes, (AGC Insured), Series 2009
4.000% due 03/01/2018		150		152
Harris County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2008
0.200% due 09/01/2031		200		200
Houston, Texas Revenue Bonds, (AGC Insured), Series 2009
5.250% due 11/15/2033		250		253
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2008
0.200% due 11/15/2033		200		200
Texas State General Obligation Bonds, Series 2009
5.000% due 08/01/2023		125		133
Williamson County, Texas General Obligation Bonds, (MBIA Insured), Series 2005
5.250% due 02/15/2018		100		111
				1,049
VIRGINIA 1.1%
Upper Occoquan, Virginia Sewage Authority Revenue Bonds, Series 2007
4.750% due 07/01/2034		100		99
Virginia State College Building Authority Revenue Bonds, Series 2006
0.300% due 02/01/2026		100		100
				199
WASHINGTON 2.9%
King County, Washington General Obligation Bonds, Series 2009
5.125% due 01/01/2036		250		254
Washington State General Obligation Notes, Series 2009
5.000% due 01/01/2013 (a)		250		276
				530
WISCONSIN 0.8%
Wisconsin State General Obligation Bonds, Series 2008
5.000% due 05/01/2019		125		137
Total Municipal Bonds & Notes (Cost $12,382)				12,369
U.S. GOVERNMENT AGENCIES 17.6%
Fannie Mae
1.375% due 04/28/2011		900		903
1.750% due 03/23/2011		300		303
5.125% due 04/15/2011		200		214
6.000% due 08/01/2037		500		524
Freddie Mac
1.125% due 06/01/2011		100		100
5.125% due 04/18/2011		100		107
Ginnie Mae
6.500% due 07/01/2039		1,000		1,061
Total U.S. Government Agencies (Cost $3,203)				3,212
U.S. TREASURY OBLIGATIONS 3.8%
Treasury Inflation Protected Securities (b)
1.625% due 01/15/2015		223		222
2.000% due 01/15/2014		462		472
Total U.S. Treasury Obligations (Cost $685)				694
FOREIGN CURRENCY-DENOMINATED ISSUES 0.8%
Lloyds TSB Bank PLC
1.418% due 06/09/2011	EUR	100		140
Total Foreign Currency-Denominated Issues (Cost $140)				140
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.8%
American International Group, Inc.
8.500% due 08/01/2011		15,800		150
Total Convertible Preferred Stocks (Cost $141)				150
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 3.6%
REPURCHASE AGREEMENTS 3.0%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	552		552
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $565. Repurchase proceeds are $552.)
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 0.6%
		10,003		100
Total Short-Term Instruments (Cost $652)				652
Total Investments 106.7% (Cost $19,356)			$	19,467
Written Options (f) (0.0%) (Premiums $0)				0
Other Assets and Liabilities (Net) (6.7%)				(1,222	)
Net Assets 100.0%			$	18,245

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) Principal amount of security is adjusted for inflation.

(c) Affiliated to the Fund.

(d) Cash of $37 has been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor June Futures	Long	06/2010	4	$	5
90-Day Euribor September Futures	Long	09/2010	4		1
90-Day Eurodollar December Futures	Long	12/2009	7		7
90-Day Eurodollar March Futures	Long	03/2010	2		2
Euro-Bund 10-Year Bond September Futures	Long	09/2009	1		4
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	2		(1	)
				$	18

(e) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Sempra Energy	BCLY	(1.100	%)	03/20/2014	0.987	%	$	100	$	(1	)	$	0	$	(1	)

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
CDX.IG-12 5-Year Index	DUB	(1.000	%)	06/20/2014	$	100	$	2	$	2	$	0

⁽¹⁾ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	3.100	%	05/27/2016	BCLY	$	200	$	(3	)	$	0		$	(3	)
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	RBS		500		3			0			3
Receive	3-Month USD-LIBOR	4.000	%	06/17/2024	RBS		600		3			(25	)		28
								$	3		$	(25	)	$	28

(f) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	1	$	0	$	0

(g) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	HSBC	370	08/2009	$	8	$	0		$	8
Sell		HSBC	230	08/2009		0		(2	)		(2	)
Buy	CNY	BCLY	1,206	06/2010		0		(1	)		(1	)
Buy		CITI	437	06/2010		0		0			0
Buy		DUB	364	06/2010		0		0			0
Sell	EUR	BCLY	16	07/2009		0		0			0
Sell		RBS	100	07/2009		0		0			0
					$	8	$	(3	)	$	5

(h) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	2,250	$	0	$	2,250
Municipal Bonds & Notes		0		12,369		0		12,369
U.S. Government Agencies		0		3,212		0		3,212
Other Investments++		390		1,246		0		1,636
Investments, at value	$	390	$	19,077	$	0	$	19,467
Financial Derivative Instruments+++	$	18	$	32	$	0	$	50
Total	$	408	$	19,109	$	0	$	19,517

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Asset-Backed Securities Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 6.3%
BANKING & FINANCE 3.6%
American International Group, Inc.
5.850% due 01/16/2018 (f)	$	3,000	$	1,589
Charlotte Gateway Village LLC
6.410% due 12/01/2016		1,544		1,461
Citigroup, Inc.
8.400% due 04/29/2049 (a)		1,000		751
Credit Suisse New York
5.000% due 05/15/2013		2,000		2,047
General Electric Capital Corp.
6.875% due 01/10/2039 (f)		1,000		902
Preferred Term Securities XII Ltd.
1.164% due 03/24/2034		2,104		821
Prudential Financial, Inc.
6.000% due 12/01/2017 (f)		10,000		9,423
6.625% due 12/01/2037 (f)		1,000		868
Suffield CLO Ltd.
2.194% due 09/26/2014		1,720		1,649
				19,511
INDUSTRIALS 2.7%
CVS Pass-Through Trust
5.880% due 01/10/2028 (f)		1,834		1,545
Masco Corp.
5.875% due 07/15/2012		5,000		4,706
Northwest Airlines, Inc.
1.487% due 02/06/2015		1,519		1,059
Times Square Hotel Trust
8.528% due 08/01/2026		6,990		5,518
United Airlines, Inc.
6.636% due 01/02/2024		1,862		1,396
				14,224
Total Corporate Bonds & Notes (Cost $40,578)				33,735
MUNICIPAL BONDS & NOTES 0.5%
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		3,845		2,583
Total Municipal Bonds & Notes (Cost $3,616)				2,583
U.S. GOVERNMENT AGENCIES 62.3%
Fannie Mae
0.444% due 03/25/2036 (f)		424		367
0.514% due 10/27/2037 (f)		12,500		11,383
0.554% due 08/25/2031 - 05/25/2032		517		364
0.614% due 04/25/2029		21		21
0.664% due 12/25/2016 - 11/25/2032		42		41
0.714% due 06/25/2029 (f)		309		305
0.718% due 05/18/2032 (f)		275		273
0.719% due 11/17/2030 (f)		134		132
0.744% due 09/17/2027		8		8
0.764% due 10/25/2030 (f)		242		241
0.764% due 02/25/2033		369		360
0.794% due 06/25/2021 (f)		71		70
0.794% due 10/25/2021		28		27
0.814% due 05/25/2023 - 08/25/2031 (f)		1,768		1,760
0.824% due 10/25/2031 (f)		104		103
0.844% due 01/25/2020 - 09/25/2021 (f)		156		154
0.844% due 11/25/2021 - 03/25/2022		18		17
0.868% due 12/18/2031 (f)		747		743
0.894% due 12/25/2021		34		33
0.894% due 12/25/2021 (f)		136		136
0.918% due 11/18/2031		30		29
0.964% due 11/25/2031 (f)		537		534
0.966% due 08/05/2010 (e)		18,274		18,311
1.044% due 04/25/2022		27		27
1.094% due 05/25/2022 (f)		55		55
1.194% due 05/25/2018 (f)		109		109
1.194% due 10/25/2020		26		26
1.244% due 08/25/2023 (f)		82		82
1.314% due 04/25/2032 (f)		53		53
1.344% due 12/25/2023 (f)		105		105
1.494% due 10/25/2022 - 09/25/2023		69		70
1.494% due 04/25/2023 (f)		214		216
1.544% due 01/25/2024 (f)		541		558
1.750% due 12/25/2023 (f)		131		133
2.625% due 04/01/2032 (f)		85		86
2.631% due 05/01/2034 (f)		172		171
2.638% due 07/01/2042 (f)		298		297
2.638% due 03/01/2044 - 10/01/2044		86		85
2.764% due 06/01/2035 (f)		405		410
2.838% due 11/01/2030 - 10/01/2040 (f)		200		199
2.877% due 10/01/2026 (f)		141		141
2.877% due 11/01/2040		26		26
3.089% due 05/01/2033 (f)		48		48
3.140% due 12/25/2021		15		15
3.215% due 05/01/2031		14		14
3.218% due 06/01/2033 (f)		284		286
3.249% due 03/01/2029		19		19
3.272% due 11/01/2024 (f)		110		111
3.432% due 11/01/2035 (f)		36		37
3.441% due 10/01/2033 (f)		389		388
3.455% due 03/01/2036 (f)		266		271
3.588% due 05/01/2034 (f)		559		572
3.592% due 03/01/2036 (f)		396		406
3.603% due 05/01/2025 (f)		51		52
3.620% due 04/01/2034 (f)		395		406
3.636% due 04/01/2033 (f)		77		79
3.647% due 09/01/2033		26		26
3.731% due 03/01/2032 (f)		71		72
3.776% due 04/01/2034 (f)		263		267
3.850% due 08/01/2026 (f)		87		88
3.944% due 05/01/2036 (f)		152		152
3.965% due 05/01/2033 (f)		232		239
4.000% due 06/01/2010 - 11/25/2033 (f)		494		486
4.000% due 07/25/2033		28		28
4.023% due 08/01/2033 (f)		193		198
4.088% due 09/01/2033 (f)		111		115
4.113% due 02/01/2035 (f)		80		81
4.121% due 05/01/2036 (f)		276		277
4.189% due 04/01/2018		16		16
4.191% due 09/01/2033 (f)		159		162
4.250% due 10/01/2027 - 03/25/2033		31		31
4.250% due 05/25/2033 (f)		477		486
4.273% due 09/01/2033 (f)		35		36
4.277% due 01/01/2033 (f)		53		53
4.284% due 08/01/2033 (f)		154		154
4.287% due 11/01/2034 (f)		1,107		1,119
4.288% due 04/01/2035 (f)		299		298
4.300% due 12/01/2024		12		12
4.303% due 02/01/2035 (f)		92		95
4.331% due 06/01/2035 (f)		273		275
4.336% due 01/01/2035 (f)		51		53
4.349% due 11/01/2032 (f)		207		209
4.364% due 04/01/2034 (f)		30		31
4.365% due 05/01/2035 (f)		221		229
4.372% due 01/01/2028		26		26
4.375% due 10/01/2016 - 09/01/2033		67		68
4.375% due 10/01/2017 (f)		48		48
4.386% due 10/01/2032 (f)		35		35
4.398% due 09/01/2015 (f)		39		39
4.399% due 12/01/2033		7		8
4.409% due 03/01/2035 - 04/01/2035 (f)		416		427
4.415% due 12/01/2017 - 10/01/2033 (f)		810		818
4.422% due 01/01/2017		26		26
4.426% due 01/01/2029		20		20
4.427% due 02/01/2035 (f)		443		452
4.441% due 05/01/2017 (f)		37		38
4.455% due 01/01/2035 (f)		175		181
4.470% due 07/01/2034 (f)		72		72
4.474% due 10/01/2017		19		19
4.480% due 01/01/2035 (f)		160		165
4.492% due 07/01/2033 (f)		71		72
4.498% due 03/01/2035 (f)		68		71
4.500% due 01/01/2010 - 09/25/2018		124		125
4.500% due 02/01/2010 (e)		132		134
4.500% due 01/01/2011 (f)		270		277
4.510% due 01/01/2035 (f)		557		569
4.535% due 01/01/2035 (f)		195		201
4.542% due 12/01/2034 (f)		134		138
4.553% due 11/01/2034 (f)		311		320
4.572% due 07/01/2033 (f)		109		112
4.598% due 11/01/2034 (f)		145		151
4.605% due 03/01/2033		9		9
4.606% due 11/01/2034		15		15
4.614% due 07/01/2034 (f)		50		50
4.624% due 01/01/2033 (f)		210		216
4.631% due 05/25/2035 (f)		1,468		1,467
4.636% due 07/01/2034 (f)		425		439
4.666% due 06/01/2033 (f)		100		102
4.683% due 05/01/2035 (f)		772		800
4.688% due 04/01/2035 (f)		259		268
4.731% due 03/01/2035 (f)		171		176
4.736% due 10/01/2034 (f)		39		40
4.744% due 05/01/2035 (f)		381		396
4.750% due 10/01/2033		16		17
4.753% due 09/01/2030 (f)		42		42
4.772% due 02/01/2035 (f)		132		136
4.799% due 09/01/2035 (f)		1,702		1,720
4.819% due 09/01/2035 (f)		894		918
4.826% due 01/01/2035 (f)		299		306
4.831% due 08/01/2032 (f)		57		57
4.878% due 01/01/2035 (f)		87		90
4.889% due 06/01/2033 (f)		153		159
4.897% due 06/01/2035 (f)		769		796
4.910% due 02/01/2035 (f)		475		488
4.951% due 04/01/2036 (f)		555		568
4.958% due 03/01/2030		20		20
4.962% due 10/01/2035 (f)		293		301
5.000% due 09/01/2009 - 07/01/2039		5,137		5,226
5.000% due 09/25/2014 - 04/01/2035 (f)		1,735		1,805
5.006% due 06/01/2033 (f)		78		80
5.044% due 07/01/2035 (f)		152		158
5.048% due 10/01/2018 (f)		724		729
5.102% due 08/01/2035 (f)		245		255
5.122% due 12/01/2032 (f)		470		480
5.142% due 09/01/2033		4		4
5.145% due 01/01/2015		28		28
5.163% due 04/01/2036 (f)		463		481
5.190% due 03/01/2027 (f)		58		58
5.203% due 12/01/2036 (f)		345		353
5.220% due 10/01/2031 (f)		54		55
5.223% due 12/01/2014		10		10
5.237% due 04/01/2037 (f)		372		387
5.250% due 09/01/2032 - 09/01/2033		153		157
5.266% due 09/01/2033 (f)		169		174
5.279% due 12/01/2035 (f)		75		76
5.293% due 07/01/2033 (f)		96		99
5.370% due 08/25/2043 (f)		931		905
5.472% due 01/01/2037 (f)		141		148
5.500% due 04/25/2017 - 09/25/2035 (f)		3,180		3,284
5.500% due 02/01/2018 - 07/01/2039		90,791		93,699
5.701% due 05/01/2036 (f)		112		114
5.774% due 04/01/2036 (f)		269		282
5.775% due 12/01/2036 (f)		268		282
5.850% due 09/16/2028		32		32
5.870% due 12/01/2017		26		26
5.883% due 12/01/2036 (f)		274		288
5.970% due 02/01/2018		10		10
6.000% due 03/25/2016 (f)		114		120
6.050% due 05/25/2023		13		13
6.122% due 04/01/2036 (f)		42		44
6.165% due 03/01/2019		22		23
6.180% due 11/01/2019		26		26
6.250% due 07/01/2010		9		10
6.250% due 02/01/2011 (f)		450		471
6.285% due 08/01/2018 (f)		34		35
6.440% due 07/01/2036 (f)		749		803
6.500% due 12/25/2023 - 06/25/2028 (f)		287		299
6.510% due 08/01/2036 (f)		1,065		1,154
6.770% due 01/18/2029		182		188
7.000% due 03/01/2015 - 02/01/2019 (f)		865		919
7.000% due 07/25/2042		14		15
7.500% due 08/25/2021 - 07/25/2022 (f)		288		303
7.875% due 11/01/2018		16		18
8.000% due 07/01/2009 - 08/01/2015		35		37
8.000% due 03/25/2021 (f)		205		223
8.500% due 05/01/2017 - 04/01/2032		186		203
8.500% due 09/01/2021 - 06/01/2030 (f)		387		424
9.375% due 04/01/2016		135		157
15.256% due 08/25/2021 (f)		78		98
Farmer Mac
7.537% due 01/25/2012		310		308
Federal Housing Administration
7.430% due 03/01/2021		11		11
Freddie Mac
0.569% due 10/15/2032 - 07/15/2034 (f)		770		757
0.574% due 08/25/2031		199		160
0.669% due 12/15/2029 (f)		61		60
0.674% due 10/25/2029		2		2
0.702% due 03/09/2011 (e)		10,396		10,434
0.769% due 08/15/2029 (f)		251		248
0.769% due 12/15/2031		24		23
0.825% due 02/15/2024 - 09/15/2026 (f)		228		227
0.869% due 08/15/2029 - 08/15/2031 (f)		526		521
0.875% due 05/15/2023 (f)		221		220
0.925% due 04/15/2022		16		16
0.926% due 05/04/2011 (e)		715		717
0.937% due 08/05/2011 (e)		7,261		7,264
1.025% due 03/15/2020 (f)		56		56
1.075% due 06/15/2022 (f)		56		57
1.089% due 01/28/2011 (e)		567		569
1.268% due 04/01/2011 (e)		100,100		100,438
1.293% due 05/15/2023 (f)		105		103
1.325% due 02/15/2021		22		22
1.475% due 05/15/2023		34		34
2.638% due 10/25/2044 (f)		115		113
2.639% due 02/25/2045 (f)		61		58
2.750% due 02/01/2017		7		7
2.781% due 04/01/2035 (f)		625		626
2.797% due 03/01/2034 (f)		131		131
2.838% due 07/25/2044 (f)		2,293		2,271
3.160% due 04/01/2034 (f)		95		96
3.223% due 04/01/2033		13		13
3.259% due 04/01/2032 (f)		192		193
3.260% due 10/15/2022 (f)		38		39
3.744% due 04/01/2034 (f)		244		246
3.817% due 03/01/2033		21		22
3.884% due 02/01/2035 (f)		543		548
3.886% due 12/01/2035 (f)		267		272
3.941% due 06/01/2035 (f)		956		963
4.000% due 10/15/2033 (f)		251		223
4.021% due 11/01/2024 (f)		253		253
4.033% due 04/01/2031 (f)		34		35
4.086% due 04/01/2032 (f)		133		137
4.090% due 09/25/2023 (f)		985		930
4.101% due 08/01/2029		23		23
4.157% due 04/01/2033 (f)		39		40
4.172% due 03/01/2025 (f)		82		82
4.187% due 12/01/2033 (f)		244		244
4.202% due 02/01/2035 (f)		436		440
4.244% due 08/01/2035 (f)		962		974
4.255% due 06/01/2034 (f)		1,243		1,284
4.335% due 11/01/2034 (f)		185		189
4.338% due 02/01/2035 (f)		155		160
4.346% due 01/01/2035 (f)		127		131
4.351% due 02/01/2035 (f)		105		109
4.380% due 11/01/2034 (f)		72		74
4.382% due 11/01/2034 (f)		206		209
4.385% due 11/01/2034 (f)		58		60
4.386% due 01/01/2035 (f)		204		210
4.399% due 01/01/2035 (f)		513		526
4.402% due 03/01/2030 (f)		53		53
4.422% due 02/01/2035 (f)		137		141
4.429% due 02/01/2035 (f)		232		235
4.431% due 01/01/2035 - 02/01/2035 (f)		940		960
4.434% due 10/01/2034 (f)		114		116
4.435% due 04/01/2035 (f)		955		965
4.450% due 12/01/2024 (f)		281		282
4.465% due 03/01/2028		16		17
4.475% due 01/01/2035 (f)		207		213
4.487% due 11/01/2034 (f)		106		109
4.494% due 02/01/2035 (f)		152		157
4.500% due 08/01/2010 - 11/15/2025 (f)		877		889
4.500% due 05/15/2018		10		11
4.508% due 02/01/2035 (f)		63		65
4.544% due 01/01/2035 (f)		32		32
4.549% due 09/01/2033 (f)		243		246
4.579% due 02/01/2026		22		22
4.653% due 03/01/2032 (f)		161		164
4.673% due 09/01/2035 (f)		316		322
4.732% due 08/01/2023 (f)		30		31
4.791% due 11/01/2035 (f)		354		366
4.840% due 10/01/2033		12		12
4.853% due 09/01/2035 (f)		109		113
4.858% due 11/01/2023		9		9
4.890% due 01/01/2032		23		24
4.913% due 11/01/2029 (f)		310		314
4.944% due 03/01/2035 (f)		249		257
4.951% due 08/01/2030 (f)		105		107
4.966% due 09/01/2028 (f)		50		52
4.982% due 01/01/2034 (f)		54		56
4.996% due 05/01/2035 (f)		657		680
4.998% due 11/01/2033 (f)		70		72
5.000% due 02/15/2011 - 02/15/2036 (f)		1,469		1,462
5.000% due 04/15/2020 - 02/15/2024		34		34
5.014% due 12/01/2035 (f)		522		535
5.052% due 02/01/2022		14		14
5.133% due 09/01/2033 (f)		40		41
5.140% due 01/01/2036 (f)		519		540
5.146% due 12/01/2033 (f)		619		633
5.151% due 11/01/2027 (f)		115		116
5.154% due 09/01/2035 (f)		278		287
5.176% due 10/01/2033 (f)		104		107
5.210% due 07/01/2032 (f)		30		30
5.222% due 11/01/2034 (f)		511		519
5.231% due 08/01/2032		15		15
5.289% due 04/01/2036 (f)		303		316
5.293% due 09/01/2035 (f)		61		63
5.430% due 07/01/2037 (f)		169		176
5.462% due 02/01/2036 (f)		115		118
5.500% due 05/15/2036 (f)		119		121
5.520% due 04/01/2036 (f)		123		129
5.714% due 03/01/2036 (f)		957		999
5.718% due 05/01/2026 (f)		50		50
5.810% due 08/01/2031 (f)		266		268
5.972% due 04/01/2035 (f)		188		193
6.500% due 10/15/2013 - 03/15/2021		41		43
6.500% due 05/15/2029 - 07/25/2043 (f)		3,297		3,535
6.950% due 07/15/2021 (f)		548		590
7.000% due 09/01/2010 - 03/01/2016		52		55
7.000% due 12/01/2014 - 06/01/2016 (e)		63		67
7.000% due 06/01/2016 - 08/01/2032 (f)		1,923		2,058
7.500% due 02/15/2023 - 01/15/2031		55		58
8.000% due 07/01/2010 - 06/01/2015		8		8
8.000% due 03/15/2023 (f)		99		99
9.250% due 11/15/2019		18		20
9.500% due 04/15/2020		20		21
16.561% due 09/15/2014		23		26
Ginnie Mae
0.715% due 02/20/2029		5		5
0.715% due 09/20/2030 (f)		298		294
0.718% due 03/16/2029 (f)		173		169
0.868% due 10/16/2029 (f)		151		150
3.875% due 11/20/2031		25		25
4.000% due 01/20/2033 - 01/20/2034		886		898
4.125% due 10/20/2026 - 10/20/2033		171		174
4.250% due 02/20/2030		181		184
4.375% due 01/20/2023 - 01/20/2027		54		55
4.625% due 09/20/2018 - 09/20/2033		1,116		1,142
5.000% due 04/20/2016		19		19
5.375% due 04/20/2017 - 04/20/2033		642		663
5.500% due 05/20/2016 - 04/20/2019		22		22
7.000% due 10/20/2021		263		280
Total U.S. Government Agencies (Cost $332,146)				334,425
MORTGAGE-BACKED SECURITIES 43.3%
Adjustable Rate Mortgage Trust
5.159% due 11/25/2035		3,960		3,311
5.383% due 11/25/2035		294		202
5.409% due 01/25/2036		368		284
American Home Mortgage Assets
0.524% due 10/25/2046		4,035		1,316
2.260% due 11/25/2046		2,652		1,216
American Home Mortgage Investment Trust
3.149% due 06/25/2045		310		173
4.390% due 02/25/2045		446		351
5.660% due 09/25/2045		968		593
Banc of America Commercial Mortgage, Inc.
4.772% due 07/11/2043		311		317
Banc of America Funding Corp.
3.781% due 05/25/2035		113		96
6.102% due 01/20/2047		76		40
Banc of America Mortgage Securities, Inc.
3.718% due 05/25/2033		352		294
4.170% due 06/25/2034		470		317
4.247% due 07/25/2033		593		517
4.575% due 11/25/2033		243		214
4.691% due 08/25/2034		271		235
5.217% due 11/25/2034		394		289
5.517% due 02/25/2033		162		139
6.500% due 09/25/2033		74		70
Bear Stearns Adjustable Rate Mortgage Trust
3.859% due 11/25/2030		46		42
4.179% due 07/25/2034		4		3
4.248% due 05/25/2034		46		36
4.271% due 04/25/2034		1,486		1,276
4.532% due 08/25/2033		126		111
4.625% due 10/25/2035		589		467
4.740% due 10/25/2035		637		614
4.808% due 11/25/2034		1,799		1,491
4.822% due 10/25/2034		138		97
5.088% due 02/25/2033		32		28
5.088% due 05/25/2033		1,316		848
5.172% due 02/25/2034		1,090		703
5.409% due 01/25/2034		245		197
5.457% due 05/25/2047		3,308		1,930
5.477% due 04/25/2034		2,619		2,126
5.486% due 10/25/2034		264		180
5.616% due 04/25/2034		349		263
5.727% due 02/25/2036		693		414
5.733% due 02/25/2036		2,387		1,406
Bear Stearns Alt-A Trust
4.128% due 12/25/2033		1,636		1,267
4.787% due 08/25/2036		1,864		826
5.131% due 02/25/2036		45		20
5.208% due 03/25/2035		325		174
5.362% due 05/25/2035		119		77
5.490% due 09/25/2035		188		102
5.738% due 01/25/2036		2,137		1,070
6.250% due 08/25/2036		4,943		2,330
Bear Stearns Commercial Mortgage Securities
0.429% due 03/15/2019		72		62
0.969% due 03/15/2019		2,500		1,181
Bear Stearns Mortgage Securities, Inc.
4.276% due 06/25/2030		235		223
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		3,393		1,875
5.714% due 12/26/2046		2,236		1,362
Bella Vista Mortgage Trust
0.565% due 05/20/2045		146		57
Carey Commercial Mortgage Trust
5.970% due 09/20/2019		1,621		1,604
CBA Commercial Small Balance Commercial Mortgage
0.594% due 12/25/2036		765		345
CC Mortgage Funding Corp.
0.930% due 01/25/2035		1,435		520
Chase Commercial Mortgage Securities Corp.
6.650% due 07/15/2032		1,000		880
Chase Mortgage Finance Corp.
5.000% due 11/25/2033		280		243
5.398% due 01/25/2036		378		215
Citicorp Mortgage Securities, Inc.
4.340% due 11/25/2018		42		38
5.000% due 12/25/2033		93		91
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		6		5
Citigroup Mortgage Loan Trust, Inc.
1.114% due 08/25/2035		567		363
2.850% due 12/25/2035		181		147
4.098% due 08/25/2035		721		524
4.248% due 08/25/2035		1,836		1,462
4.669% due 08/25/2035		869		643
4.700% due 12/25/2035		541		437
5.994% due 09/25/2037		6,024		3,266
CitiMortgage Alternative Loan Trust
6.000% due 06/25/2037		573		369
Commercial Mortgage Pass-Through Certificates
0.539% due 02/05/2019		100		72
5.665% due 02/05/2019		3,000		1,914
5.756% due 02/05/2019		2,000		928
8.556% due 08/15/2033		1,500		1,328
Countrywide Alternative Loan Trust
0.395% due 09/20/2046		10		10
0.504% due 09/25/2046		2,306		882
0.504% due 11/25/2046		176		68
0.510% due 12/20/2046		7,447		2,990
0.515% due 07/20/2046		3,715		1,434
0.525% due 03/20/2046		1,186		488
0.525% due 07/20/2046		3,236		1,251
0.564% due 05/25/2035		506		219
0.584% due 02/25/2036		452		203
0.594% due 12/25/2035		752		353
0.604% due 11/25/2035		182		80
0.624% due 10/25/2035		258		117
0.635% due 11/20/2035		1,242		574
0.644% due 10/25/2035		217		94
0.714% due 03/25/2034		100		76
0.814% due 09/25/2047		108		12
1.084% due 11/25/2035		7,741		3,297
2.300% due 08/25/2046		5,025		2,021
2.340% due 02/25/2036		2,012		927
4.250% due 02/25/2035		1,301		1,231
5.500% due 03/25/2036		294		216
5.750% due 06/25/2033		399		384
5.750% due 03/25/2037		1,500		688
5.886% due 02/25/2037		3,541		2,088
6.000% due 10/25/2032		21		19
6.133% due 08/25/2036		707		611
6.250% due 08/25/2037		1,003		540
Countrywide Home Loan Mortgage Pass-Through Trust
0.584% due 02/25/2035		647		395
0.604% due 04/25/2035		180		83
0.614% due 03/25/2035		131		57
0.634% due 03/25/2035		4,110		1,778
0.654% due 02/25/2035		184		98
0.704% due 02/25/2035		461		111
0.714% due 08/25/2018		197		190
0.774% due 09/25/2034		361		99
0.904% due 08/25/2034		1,520		628
3.815% due 04/25/2035		504		252
4.382% due 06/19/2031		11		10
4.500% due 10/25/2018		380		347
4.506% due 07/19/2033		366		289
4.543% due 08/25/2034		214		135
4.711% due 02/20/2035		16		13
4.853% due 02/19/2034		60		25
5.000% due 11/25/2018		294		292
5.000% due 06/25/2033		181		181
5.000% due 08/25/2033		3,035		2,146
5.072% due 05/19/2033		60		52
5.082% due 02/19/2034		84		69
5.250% due 02/20/2036		1,358		864
5.500% due 08/25/2033		866		667
5.528% due 02/25/2034		467		383
Credit Suisse Mortgage Capital Certificates
5.383% due 02/15/2040		500		338
CS First Boston Mortgage Securities Corp.
1.135% due 03/25/2032		338		256
3.755% due 06/25/2033		185		154
3.844% due 07/25/2033		23		21
4.214% due 08/25/2033		880		770
4.832% due 04/15/2037		2,000		1,733
4.947% due 12/25/2032		192		144
5.500% due 11/25/2035		1,448		1,229
5.603% due 07/15/2035		1,180		1,186
5.750% due 04/25/2033		245		234
6.250% due 07/25/2035		1,407		1,149
6.500% due 04/25/2033		69		64
7.000% due 02/25/2033		76		74
CW Capital Cobalt Ltd.
5.484% due 04/15/2047		500		330
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.000% due 10/25/2018		276		264
Downey Savings & Loan Association Mortgage Loan Trust
2.280% due 04/19/2047		2,187		935
Drexel Burnham Lambert CMO Trust
1.070% due 05/01/2016		124		124
First Horizon Alternative Mortgage Securities
3.572% due 06/25/2034		2,619		1,697
4.539% due 03/25/2035		609		321
5.292% due 09/25/2034		944		636
5.617% due 11/25/2035		5,602		2,702
First Horizon Asset Securities, Inc.
0.814% due 03/25/2018		126		119
3.170% due 07/25/2033		120		106
4.921% due 02/25/2035		510		391
5.120% due 10/25/2034		306		230
5.133% due 12/27/2032		16		13
5.365% due 08/25/2035		1,492		1,135
5.844% due 08/25/2037		409		246
First Republic Mortgage Loan Trust
0.619% due 08/15/2032		270		230
0.669% due 11/15/2031		691		554
0.794% due 06/25/2030		101		87
GMAC Commercial Mortgage Securities, Inc.
5.713% due 10/15/2038		500		501
6.500% due 05/15/2035		20		20
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		86		86
Greenpoint Mortgage Funding Trust
0.524% due 04/25/2036		678		248
0.534% due 06/25/2045		481		205
0.544% due 06/25/2045		601		253
Greenpoint Mortgage Pass-Through Certificates
4.826% due 10/25/2033		66		50
Greenwich Capital Acceptance, Inc.
5.230% due 06/25/2024		58		53
Greenwich Capital Commercial Funding Corp.
5.224% due 04/10/2037		2,000		1,716
5.444% due 03/10/2039		2,500		2,000
GS Mortgage Securities Corp. II
0.688% due 03/06/2020		4,500		3,101
GSMPS Mortgage Loan Trust
7.000% due 06/25/2043		2,315		1,942
8.000% due 09/19/2027		1,055		779
GSR Mortgage Loan Trust
0.664% due 01/25/2034		102		78
3.949% due 09/25/2035		118		91
4.469% due 09/25/2035		701		590
4.559% due 09/25/2035		114		93
5.176% due 01/25/2036		1,428		960
5.241% due 11/25/2035		4,262		3,320
6.000% due 03/25/2032		2		2
GSRPM Mortgage Loan Trust
1.014% due 01/25/2032		515		333
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		454		420
0.493% due 07/19/2046		2,414		1,002
0.503% due 02/19/2046		1,314		563
0.513% due 09/19/2046		1,388		596
0.533% due 05/19/2035		721		323
0.553% due 03/19/2036		856		362
0.663% due 01/19/2035		122		54
3.477% due 06/19/2045		203		83
4.594% due 11/19/2034		111		78
4.828% due 08/19/2034		707		340
5.143% due 07/19/2035		6,836		3,978
5.307% due 12/19/2035		140		88
5.750% due 08/19/2036		4,689		2,108
Impac CMB Trust
1.214% due 10/25/2033		718		571
Impac Secured Assets CMN Owner Trust
0.374% due 03/25/2037		946		505
0.664% due 05/25/2036		389		265
0.744% due 08/25/2036		2,864		861
Indymac ARM Trust
3.708% due 01/25/2032		24		16
Indymac Index Mortgage Loan Trust
0.504% due 09/25/2046		1,888		737
0.524% due 06/25/2047		473		67
0.554% due 04/25/2035		554		248
0.594% due 03/25/2035		473		207
0.614% due 06/25/2037		448		140
0.634% due 02/25/2035		469		208
0.924% due 09/25/2034		454		112
4.976% due 12/25/2034		1,529		1,160
Indymac Loan Trust
0.534% due 01/25/2011		59		42
JPMorgan Alternative Loan Trust
0.394% due 12/25/2036		660		632
JPMorgan Chase Commercial Mortgage Securities Corp.
0.429% due 02/15/2019		3		3
5.376% due 07/12/2037		1,900		1,885
JPMorgan Mortgage Trust
4.325% due 10/25/2033		898		816
4.873% due 04/25/2035		239		213
5.012% due 02/25/2035		53		47
5.113% due 06/25/2035		616		450
5.120% due 10/25/2035		500		285
5.397% due 11/25/2035		372		307
5.500% due 10/25/2035		259		176
Kidder Peabody Mortgage Assets Trust
6.500% due 02/22/2017		43		43
LB Commercial Conduit Mortgage Trust
6.000% due 10/15/2035		2,711		2,699
LB Mortgage Trust
8.444% due 01/20/2017		179		174
LB-UBS Commercial Mortgage Trust
5.430% due 02/15/2040		100		73
6.058% due 06/15/2020		23		23
MASTR Adjustable Rate Mortgages Trust
3.265% due 10/25/2032		1,256		1,133
3.859% due 07/25/2034		77		72
4.330% due 12/25/2033		8		5
5.729% due 01/25/2034		5		4
Mellon Residential Funding Corp.
0.669% due 11/15/2031		66		48
0.759% due 12/15/2030		752		606
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		500		334
5.485% due 03/12/2051		500		337
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		29		16
4.581% due 08/25/2033		652		229
4.997% due 05/25/2033		1,849		1,779
MLCC Mortgage Investors, Inc.
0.624% due 08/25/2028		50		32
0.684% due 03/25/2028		13		9
3.527% due 01/25/2029		147		127
4.250% due 10/25/2035		2,538		2,033
4.275% due 08/25/2029		1,777		1,492
4.948% due 04/25/2035		249		196
Morgan Stanley Capital I
0.380% due 10/15/2020		18		13
5.378% due 11/14/2042		1,090		964
5.692% due 04/15/2049		500		366
5.731% due 07/12/2044		3,000		2,470
Morgan Stanley Mortgage Loan Trust
5.274% due 10/25/2034		302		232
Nomura Asset Acceptance Corp.
0.414% due 06/25/2036		4		4
7.500% due 03/25/2034		1,596		1,537
Ocwen Residential MBS Corp.
6.878% due 06/25/2039		440		9
Provident Funding Mortgage Loan Trust
3.843% due 04/25/2034		322		285
Prudential Securities Secured Financing Corp.
0.000% due 05/25/2022		85		87
Residential Accredit Loans, Inc.
0.414% due 09/25/2046		99		77
0.494% due 06/25/2046		4,543		1,751
0.504% due 04/25/2046		3,903		1,601
0.524% due 04/25/2046		236		89
0.614% due 08/25/2035		4,875		2,234
0.714% due 10/25/2045		5,266		2,397
5.366% due 09/25/2034		52		41
Residential Asset Mortgage Products, Inc.
7.000% due 06/25/2032		36		34
Residential Asset Securitization Trust
0.664% due 10/25/2018		229		188
0.714% due 05/25/2034		1,662		1,101
4.750% due 02/25/2019		459		452
5.189% due 12/25/2034		1,700		1,497
6.000% due 03/25/2037		6,877		4,096
Residential Funding Mortgage Securities I
0.714% due 07/25/2018		203		145
5.585% due 02/25/2036		312		192
6.500% due 03/25/2032		4		4
SACO I, Inc.
7.000% due 08/25/2036		33		31
Salomon Brothers Mortgage Securities VII, Inc.
0.814% due 05/25/2032		152		138
4.416% due 12/25/2030		1,861		1,623
5.553% due 09/25/2033		42		37
8.500% due 05/25/2032		706		634
Sequoia Mortgage Trust
0.545% due 02/20/2035		568		366
0.663% due 10/19/2026		183		139
0.695% due 10/20/2027		119		96
0.715% due 10/20/2027		170		143
0.995% due 10/20/2027		625		491
1.889% due 02/20/2034		644		356
3.230% due 06/20/2034		64		47
3.917% due 09/20/2032		28		22
4.149% due 08/20/2034		435		280
4.263% due 04/20/2035		291		224
Structured Adjustable Rate Mortgage Loan Trust
0.654% due 08/25/2035		226		120
1.109% due 06/25/2034		1,399		766
2.610% due 01/25/2035		824		349
4.371% due 03/25/2034		337		262
4.802% due 02/25/2034		582		261
5.516% due 08/25/2035		1,759		1,147
Structured Asset Mortgage Investments, Inc.
0.414% due 09/25/2047		37		35
0.484% due 03/25/2037		1,226		201
0.504% due 07/25/2046		3,273		1,370
0.534% due 05/25/2036		3,365		1,336
0.594% due 02/25/2036		872		402
0.624% due 12/25/2035		943		427
0.663% due 03/19/2034		781		351
0.733% due 10/19/2033		65		50
0.913% due 07/19/2034		2,309		869
5.457% due 05/02/2030		301		257
Structured Asset Securities Corp.
3.979% due 06/25/2033		1,694		1,455
4.049% due 06/25/2032		19		9
4.170% due 10/25/2031		60		53
4.312% due 02/25/2032		5		4
4.463% due 06/25/2033		659		365
6.930% due 11/25/2032		16		13
7.500% due 10/25/2036		3,350		3,183
TBW Mortgage-Backed Pass-Through Certificates
0.414% due 09/25/2036		9		9
Thornburg Mortgage Securities Trust
0.434% due 09/25/2046		546		501
0.439% due 06/25/2037		1,742		1,552
4.531% due 10/25/2043		1,535		1,288
Travelers Mortgage Services, Inc.
4.982% due 09/25/2018		68		66
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		75		55
0.409% due 09/15/2021		10,625		7,657
0.539% due 10/15/2041 (b)		98,642		1,353
Wachovia Mortgage Loan Trust LLC
5.453% due 10/20/2035		352		261
WaMu Mortgage Pass-Through Certificates
0.043% due 12/19/2039		635		303
0.574% due 11/25/2045		1,434		696
0.584% due 12/25/2045		1,259		591
0.604% due 07/25/2045		1,331		611
0.604% due 10/25/2045		358		188
0.624% due 01/25/2045		622		290
0.634% due 07/25/2045		2,405		1,135
0.672% due 11/25/2034		290		149
0.682% due 11/25/2034		53		27
0.702% due 10/25/2044		1,761		993
0.732% due 06/25/2044		235		126
0.732% due 07/25/2044		202		97
0.802% due 11/25/2034		4,440		1,495
0.812% due 07/25/2044		161		45
0.854% due 12/25/2027		4,982		3,727
2.100% due 04/25/2047		138		58
2.139% due 02/25/2047		3,588		1,447
2.340% due 02/25/2046		1,066		475
2.410% due 01/25/2046		2,814		1,157
2.664% due 11/25/2041		225		158
2.674% due 05/25/2041		203		165
2.740% due 06/25/2042		70		51
2.740% due 08/25/2042		64		40
2.740% due 04/25/2044		108		54
2.877% due 02/27/2034		1,891		1,550
2.877% due 11/25/2041		18		13
2.909% due 06/25/2033		22		17
3.052% due 06/25/2033		634		509
3.144% due 06/25/2034		357		314
3.572% due 04/25/2033		359		206
3.766% due 03/25/2033		1,208		979
4.211% due 08/25/2033		56		36
4.522% due 01/25/2033		44		35
4.585% due 04/25/2035		375		372
4.668% due 04/25/2035		200		197
5.394% due 02/25/2037		3,974		2,359
5.687% due 02/25/2037		1,858		1,040
5.833% due 02/25/2037		2,101		1,317
Washington Mutual MSC Mortgage Pass-Through Certificates
0.814% due 01/25/2018		178		127
4.316% due 12/25/2032		734		615
4.534% due 11/25/2030		70		58
5.380% due 02/25/2033		43		37
6.500% due 11/25/2018		1,517		1,276
Wells Fargo Mortgage-Backed Securities Trust
0.814% due 07/25/2037		2,896		1,757
3.704% due 05/25/2035		731		357
3.790% due 06/25/2035		862		746
4.477% due 11/25/2033		109		99
4.544% due 02/25/2035		1,213		1,048
4.547% due 01/25/2035		215		190
4.567% due 12/25/2034		809		712
4.577% due 12/25/2033		2,100		1,837
4.662% due 11/25/2034		1,106		1,090
4.722% due 07/25/2034		910		877
4.950% due 03/25/2036		1,132		801
4.981% due 12/25/2034		71		63
4.992% due 10/25/2035		41		34
5.002% due 10/25/2035		157		127
5.072% due 03/25/2036		303		207
5.236% due 02/25/2033		20		19
5.250% due 02/25/2018		254		253
5.593% due 07/25/2036		1,436		965
Total Mortgage-Backed Securities (Cost $326,196)				232,405
ASSET-BACKED SECURITIES 45.7%
Aames Mortgage Investment Trust
0.714% due 10/25/2035		1,276		1,040
ABFS Mortgage Loan Trust
0.814% due 04/25/2034		154		123
6.285% due 07/15/2033		2,000		1,276
Accredited Mortgage Loan Trust
0.364% due 02/25/2037		886		815
0.524% due 12/25/2035		83		70
ACE Securities Corp.
0.404% due 06/25/2037		1,231		872
1.114% due 03/25/2035		601		2
Aegis Asset-Backed Securities Trust
0.394% due 01/25/2037		259		248
AFC Home Equity Loan Trust
0.914% due 06/25/2028		1,127		564
0.979% due 04/25/2028		861		550
Aircraft Certificate Owner Trust
6.455% due 09/20/2022		1,777		1,530
American Express Credit Account Master Trust
0.819% due 02/15/2012		281		281
American Home Mortgage Investment Trust
0.494% due 08/25/2035		38		16
American Residential Eagle Certificate Trust
1.314% due 05/25/2028		672		643
Amortizing Residential Collateral Trust
0.584% due 06/25/2032		65		30
0.594% due 01/25/2032		54		41
0.604% due 07/25/2032		14		7
1.014% due 08/25/2032		17		8
Amresco Residential Securities Mortgage Loan Trust
0.809% due 06/25/2028		163		84
0.824% due 03/25/2027		2		2
0.869% due 06/25/2027		119		102
0.869% due 09/25/2027		427		252
Argent Securities, Inc.
0.364% due 10/25/2036		1		1
Asset-Backed Funding Certificates
0.374% due 10/25/2036		65		64
0.374% due 11/25/2036		13		12
0.374% due 01/25/2037		92		76
0.664% due 06/25/2034		6,115		3,004
0.734% due 03/25/2035		4,905		2,704
1.334% due 03/25/2032		1,569		1,141
4.420% due 06/25/2035		500		451
Asset-Backed Securities Corp. Home Equity
0.714% due 05/25/2036		2,500		3
0.839% due 06/15/2031		70		32
1.669% due 04/15/2033		147		79
Bank One Issuance Trust
0.489% due 02/15/2017		1,500		1,399
Bayview Financial Asset Trust
0.714% due 12/25/2039		515		296
Bear Stearns Asset-Backed Securities Trust
0.384% due 12/25/2036		834		708
0.394% due 10/25/2036		511		453
0.434% due 05/25/2037		255		189
0.464% due 08/25/2036		117		103
0.644% due 01/25/2036		379		346
0.664% due 09/25/2034		3,881		3,601
0.714% due 10/27/2032		65		44
0.764% due 12/25/2033		1,007		676
0.804% due 06/25/2036		1,100		386
0.814% due 09/25/2034 (h)		413		315
0.904% due 06/25/2043		2,211		1,496
0.974% due 10/25/2032		147		90
1.064% due 11/25/2042		423		320
1.314% due 10/25/2037		12,192		5,391
1.514% due 10/25/2032		470		281
1.564% due 08/25/2037		6,073		3,220
1.914% due 10/25/2037		1,500		505
4.939% due 10/25/2036		3,148		1,740
5.000% due 01/25/2034		189		167
5.062% due 07/25/2036		2,322		850
5.250% due 10/25/2033		2,128		1,842
5.500% due 06/25/2034		2,117		1,760
5.500% due 12/25/2035		799		598
Bear Stearns Second Lien Trust
1.114% due 12/25/2036		5,000		228
Carrington Mortgage Loan Trust
0.364% due 10/25/2036		855		801
CDC Mortgage Capital Trust
0.934% due 01/25/2033		41		29
1.364% due 01/25/2033		1,383		706
Cendant Mortgage Corp.
5.986% due 07/25/2043		103		103
Centex Home Equity
0.794% due 06/25/2034		30		21
1.004% due 09/25/2034		1,018		642
5.160% due 09/25/2034		1,716		718
Charming Shoppes Master Trust
0.649% due 05/15/2014		625		616
Chase Funding Mortgage Loan Asset-Backed Certificates
0.604% due 11/25/2034		5		4
0.854% due 04/25/2033		5		4
1.964% due 03/25/2032		62		7
4.515% due 02/25/2014		395		371
4.537% due 09/25/2032		7		3
Chase Issuance Trust
0.369% due 08/15/2019		3,000		2,584
CIT Group Home Equity Loan Trust
0.964% due 12/25/2031		969		344
Citigroup Mortgage Loan Trust, Inc.
0.394% due 01/25/2037		230		167
0.414% due 10/25/2036		68		62
0.424% due 08/25/2036		1,147		818
0.424% due 03/25/2037		741		512
5.550% due 08/25/2035		500		220
5.629% due 08/25/2035		2,777		2,135
Community Program Loan Trust
4.500% due 10/01/2018		2,723		2,723
4.500% due 04/01/2029		500		445
Conseco Finance
1.019% due 08/15/2033		161		40
Conseco Finance Securitizations Corp.
8.310% due 05/01/2032		1,865		1,166
Conseco Financial Corp.
6.110% due 09/01/2023		990		981
6.180% due 04/01/2030		1,096		886
6.220% due 03/01/2030		3,645		2,935
6.240% due 12/01/2028		3		3
6.450% due 06/01/2030		137		133
6.530% due 04/01/2030		784		643
6.760% due 03/01/2030		318		262
6.810% due 12/01/2028		4,149		3,688
6.860% due 03/15/2028		31		29
6.860% due 07/15/2029		413		388
6.870% due 04/01/2030		48		40
7.070% due 01/15/2029		77		73
7.140% due 03/15/2028		440		384
7.290% due 03/15/2028		253		241
7.360% due 02/15/2029		32		29
7.550% due 01/15/2029		1,634		1,462
7.620% due 06/15/2028		112		101
Countrywide Asset-Backed Certificates
0.364% due 03/25/2037		792		780
0.364% due 05/25/2037		94		90
0.364% due 07/25/2037		960		887
0.394% due 06/25/2037		33		31
0.394% due 10/25/2047		842		740
0.424% due 06/25/2035		360		291
0.424% due 10/25/2046		18		17
0.434% due 01/25/2037		100		94
0.474% due 02/25/2036		145		138
0.494% due 09/25/2036		179		127
0.504% due 06/25/2036		1,312		888
0.544% due 09/25/2034		155		98
0.594% due 04/25/2034		8		5
0.654% due 05/25/2036		18		9
0.684% due 12/25/2034		69		43
0.684% due 04/25/2036		579		266
0.704% due 11/25/2034		1,146		764
0.774% due 05/25/2046		3,801		2,156
0.784% due 11/25/2033		250		177
0.794% due 12/25/2031		25		11
0.814% due 09/25/2032		382		240
0.914% due 11/25/2033		35		22
0.934% due 09/25/2033		18		10
0.964% due 10/25/2034		5,946		999
0.994% due 06/25/2033		24		21
1.214% due 04/25/2032		108		68
1.214% due 05/25/2032		670		639
4.946% due 10/25/2035		320		230
5.125% due 12/25/2034		3,873		1,195
6.047% due 05/25/2036		500		165
Credit-Based Asset Servicing & Securitization LLC
0.374% due 04/25/2037		2,861		2,233
0.404% due 12/25/2037		586		558
0.744% due 01/25/2036		1,000		29
1.214% due 11/25/2033		2,374		1,559
2.414% due 01/25/2031		313		290
5.028% due 08/25/2035		346		308
5.147% due 11/25/2035		16		16
CS First Boston Mortgage Securities Corp.
0.564% due 01/25/2043		63		62
0.674% due 05/25/2044		260		173
0.934% due 01/25/2032		14		9
Denver Arena Trust
6.940% due 11/15/2019		1,594		1,407
EMC Mortgage Loan Trust
0.764% due 12/25/2042		2,277		1,566
1.064% due 08/25/2040		1,299		1,115
Equifirst Mortgage Loan Trust
3.750% due 09/25/2033		1,355		1,033
Equity One Asset-Backed Securities, Inc.
0.564% due 07/25/2034		76		46
0.614% due 04/25/2034		1,324		503
0.654% due 07/25/2034		5		2
Fieldstone Mortgage Investment Corp.
0.404% due 07/25/2036		17		16
First Alliance Mortgage Loan Trust
0.525% due 09/20/2027		37		13
2.500% due 10/25/2024		11		9
8.020% due 03/20/2031		21		17
First Franklin Mortgage Loan Asset-Backed Certificates
0.354% due 01/25/2038		828		763
0.364% due 11/25/2036		1,719		1,620
0.384% due 12/25/2037		16		15
0.424% due 04/25/2036		1,552		1,518
0.424% due 06/25/2036		2,610		1,785
0.424% due 09/25/2036		3,000		2,482
0.424% due 12/25/2037		1,150		490
0.694% due 10/25/2034		7		7
0.714% due 04/25/2035		3,000		1,876
0.934% due 11/25/2031		219		159
First NLC Trust
0.384% due 08/25/2037		631		394
Fleet Home Equity Loan Trust
0.565% due 01/20/2033		163		99
Ford Credit Auto Owner Trust
2.100% due 11/15/2011		1,500		1,501
Fremont Home Loan Trust
0.364% due 10/25/2036		663		415
0.424% due 02/25/2036		309		286
Greenpoint Manufactured Housing
7.590% due 11/15/2028		49		46
GSAA Trust
0.584% due 06/25/2035		637		372
GSAMP Trust
0.354% due 10/25/2046		302		286
0.434% due 01/25/2047		1,247		1,089
0.464% due 10/25/2036		6,750		290
0.504% due 11/25/2035		4,473		5
0.604% due 03/25/2034		96		95
0.664% due 01/25/2045		381		199
0.864% due 03/25/2034		2,357		1,326
0.964% due 08/25/2033		47		30
GSRPM Mortgage Loan Trust
0.434% due 03/25/2035		869		799
0.694% due 09/25/2042		34		33
HFC Home Equity Loan Asset-Backed Certificates
0.425% due 03/20/2036		95		85
0.465% due 03/20/2036		280		196
0.475% due 01/20/2036		193		128
0.495% due 01/20/2036		1,591		972
0.605% due 01/20/2034		382		265
0.665% due 09/20/2033		499		374
0.845% due 01/20/2034		812		488
5.930% due 07/20/2036		296		284
Home Equity Asset Trust
0.374% due 05/25/2037		1,105		976
0.404% due 08/25/2037		363		320
0.464% due 10/25/2036		100		33
0.914% due 11/25/2032		1		1
1.109% due 07/25/2034		726		333
1.234% due 02/25/2033		1		0
Home Equity Mortgage Trust
0.494% due 05/25/2036		1,992		1,035
5.283% due 05/25/2036		135		21
5.821% due 04/25/2035		316		186
HSBC Asset Loan Obligation
0.374% due 12/25/2036		164		145
HSI Asset Securitization Corp. Trust
0.364% due 12/25/2036		1,881		1,322
IMC Home Equity Loan Trust
7.310% due 11/20/2028		94		81
Indymac Home Equity Loan Asset-Backed Trust
1.664% due 07/25/2034		1,000		400
Indymac Residential Asset-Backed Trust
0.364% due 11/25/2036		11		11
0.374% due 04/25/2037		807		766
0.474% due 07/25/2037		275		123
Irwin Home Equity Corp.
1.664% due 02/25/2029		888		506
JPMorgan Mortgage Acquisition Corp.
0.364% due 08/25/2036		194		181
0.364% due 10/25/2036		760		591
0.374% due 05/25/2037		1,438		1,174
0.377% due 11/25/2036		77		73
0.394% due 08/25/2036		24		22
0.424% due 08/25/2036		2,858		1,066
5.935% due 11/25/2036		506		488
Keystone Owner Trust
7.900% due 01/25/2029		59		59
7.930% due 05/25/2025		13		11
LA Arena Funding LLC
7.656% due 12/15/2026		2,765		2,594
Lake Country Mortgage Loan Trust
0.844% due 12/25/2032		734		675
Lehman XS Trust
0.394% due 11/25/2046		1,684		1,410
0.464% due 08/25/2035		12		12
0.464% due 04/25/2037		297		198
0.484% due 04/25/2046		5,886		4,659
Long Beach Mortgage Loan Trust
0.494% due 08/25/2035		28		27
0.594% due 10/25/2034		24		15
0.644% due 01/25/2046		47		12
0.784% due 08/25/2035		2,000		921
1.014% due 03/25/2032		1		1
1.739% due 03/25/2032		276		128
Loomis Sayles CBO
1.322% due 10/26/2020		2,983		2,482
Madison Avenue Manufactured Housing Contract
1.764% due 03/25/2032		1,500		1,192
Massachusetts Educational Financing Authority
2.042% due 04/25/2038		3,315		3,278
MASTR Asset-Backed Securities Trust
0.464% due 05/25/2037		500		253
0.864% due 10/25/2034		1,234		728
MASTR Specialized Loan Trust
1.164% due 05/25/2037		630		35
Merrill Lynch Mortgage Investors, Inc.
0.374% due 10/25/2037		395		91
0.384% due 08/25/2036		689		685
0.394% due 09/25/2037		239		206
0.404% due 06/25/2037		1,199		749
Mid-State Trust
6.005% due 08/15/2037		3,696		2,761
8.330% due 04/01/2030		883		710
Money Store Home Equity Trust
0.619% due 08/15/2029		111		40
Morgan Stanley ABS Capital I
0.364% due 09/25/2036		37		35
0.374% due 05/25/2037		1,345		855
0.414% due 09/25/2036		25		17
0.414% due 10/25/2036		5,000		2,568
0.414% due 11/25/2036		5,000		2,839
0.464% due 06/25/2036		325		150
0.634% due 11/25/2035		2,850		1,618
1.914% due 08/25/2034		1,414		579
2.314% due 07/25/2037		1,250		112
Morgan Stanley Dean Witter Capital I
2.789% due 01/25/2032		1,176		530
Morgan Stanley Home Equity Loan Trust
0.364% due 12/25/2036		29		26
Morgan Stanley IXIS Real Estate Capital Trust
0.424% due 11/25/2036		3,000		1,005
Morgan Stanley Mortgage Loan Trust
0.474% due 11/25/2036		2,561		482
Nationstar Home Equity Loan Trust
0.374% due 06/25/2037		92		82
New Century Home Equity Loan Trust
0.494% due 05/25/2036		1,031		699
0.574% due 06/25/2035		9		5
1.415% due 06/20/2031		2,793		2,288
Nomura Asset Acceptance Corp.
0.454% due 01/25/2036		99		87
0.624% due 01/25/2036		3,000		463
Nomura Home Equity Loan, Inc.
0.624% due 05/25/2035		53		52
Novastar Home Equity Loan
0.414% due 03/25/2037		580		475
1.094% due 05/25/2033		13		8
Oakwood Mortgage Investors, Inc.
0.694% due 03/15/2018		406		275
Option One Mortgage Loan Trust
0.364% due 01/25/2037		593		563
0.404% due 05/25/2037		181		164
0.815% due 08/20/2030		10		9
0.844% due 05/25/2034		35		18
0.854% due 06/25/2032		7		4
0.914% due 04/25/2033		47		27
Origen Manufactured Housing
0.559% due 05/15/2032		14		13
4.750% due 08/15/2021		2,000		1,821
7.650% due 03/15/2032		2,000		1,733
Park Place Securities, Inc.
0.904% due 02/25/2035		2,000		1,463
People’s Choice Home Loan Securities Trust
0.744% due 05/25/2035		1,200		864
Popular ABS Mortgage Pass-Through Trust
0.404% due 06/25/2047		1,921		1,507
0.574% due 11/25/2035		4		4
Quest Trust
2.014% due 07/20/2034		14		10
Renaissance Home Equity Loan Trust
0.814% due 12/25/2033		224		107
0.934% due 03/25/2033		33		15
1.414% due 09/25/2037		1,526		1,309
1.514% due 08/25/2032		1,613		709
4.934% due 08/25/2035		140		79
Residential Asset Mortgage Products, Inc.
0.384% due 02/25/2037		785		673
0.434% due 10/25/2036		655		647
0.714% due 06/25/2047		1,500		549
1.034% due 04/25/2033		4		2
1.094% due 02/25/2033		10		4
1.514% due 09/25/2047		1,930		1,201
5.707% due 08/25/2034		3,000		623
5.900% due 07/25/2034		2,000		470
5.942% due 04/25/2034		1,916		999
Residential Asset Securities Corp.
0.374% due 01/25/2037		561		501
0.384% due 02/25/2037		630		581
0.424% due 04/25/2037		1,132		985
0.744% due 03/25/2035		7,000		4,036
0.894% due 06/25/2033		189		81
7.140% due 04/25/2032		764		46
Residential Funding Mortgage Securities II, Inc.
0.604% due 12/25/2032		13		7
6.230% due 05/25/2037		5,000		876
8.350% due 03/25/2025		62		61
SACO I, Inc.
0.374% due 05/25/2036		53		31
0.494% due 05/25/2036		4,626		38
0.524% due 03/25/2036		2,947		467
0.574% due 06/25/2036		1,034		284
0.814% due 07/25/2035		3,708		1,080
Salomon Brothers Mortgage Securities VII, Inc.
0.794% due 03/25/2028		258		246
Saxon Asset Securities Trust
0.814% due 03/25/2032		688		401
0.834% due 08/25/2032		171		150
0.854% due 03/25/2035		33		17
Securitized Asset-Backed Receivables LLC Trust
0.364% due 10/25/2036		2,198		1,020
0.444% due 05/25/2037		1,980		1,236
0.644% due 10/25/2035		556		473
SLC Student Loan Trust
1.529% due 06/15/2021 (f)		10,700		9,978
SLM Student Loan Trust
0.669% due 06/15/2018		14		14
1.092% due 04/25/2017		33		33
1.592% due 10/25/2017		1,600		1,563
1.829% due 12/15/2033		4,000		3,093
1.992% due 07/25/2023 (f)		10,800		10,011
2.592% due 04/25/2023		1,473		1,504
Soundview Home Equity Loan Trust
0.394% due 01/25/2037		7		7
0.504% due 02/25/2036		62		48
0.574% due 12/25/2035		5,073		3,685
0.614% due 11/25/2035		167		133
South Carolina Student Loan Corp.
1.668% due 09/03/2024		600		565
Specialty Underwriting & Residential Finance
0.359% due 11/25/2037		9		9
0.414% due 11/25/2037		3,000		1,295
0.734% due 12/25/2035		690		656
Structured Asset Investment Loan Trust
0.364% due 07/25/2036		562		510
Structured Asset Securities Corp.
0.364% due 10/25/2036		938		857
0.364% due 02/25/2037		417		375
0.394% due 01/25/2037		1,064		940
0.404% due 06/25/2037		2,426		1,791
0.434% due 10/25/2036		1,669		1,303
0.604% due 01/25/2033		2,034		1,448
0.664% due 12/25/2034		2,073		1,628
0.714% due 05/25/2034		22		18
0.964% due 05/25/2034		98		80
1.014% due 08/25/2037		138		122
1.364% due 01/25/2033		129		31
3.375% due 08/25/2031		96		73
4.900% due 04/25/2035		839		497
Superior Wholesale Inventory Financing Trust
0.619% due 01/15/2012		3,000		2,723
Trapeza CDO I LLC
2.029% due 11/16/2034		1,000		141
UCFC Manufactured Housing Contract
7.900% due 01/15/2028		1,000		550
UPS Capital Business Credit
0.869% due 03/15/2027		98		24
Vanderbilt Mortgage Finance
5.840% due 02/07/2026		295		267
6.210% due 05/07/2026		1,582		1,470
7.905% due 02/07/2026		387		390
Washington Mutual Asset-Backed Certificates
0.374% due 10/25/2036		830		681
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		3		3
0.544% due 10/25/2035		3,472		3,281
0.564% due 12/25/2035		2,111		1,965
0.584% due 11/25/2035 (h)		503		486
WMC Mortgage Loan Pass-Through Certificates
1.140% due 03/20/2029		53		42
Total Asset-Backed Securities (Cost $374,193)				245,113
SHORT-TERM INSTRUMENTS 8.5%
REPURCHASE AGREEMENTS 0.7%
Barclays Capital, Inc.
0.100% due 07/01/2009		2,100		2,100
(Dated 06/30/2009. Collateralized by Freddie Mac 0.926% due 05/04/2011 valued at $2,163. Repurchase proceeds are $2,100.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		1,414		1,414
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $1,445. Repurchase proceeds are $1,414.)
				3,514
U.S. TREASURY BILLS 3.1%
0.108% due 07/02/2009 - 07/23/2009 (c)(e)		16,770		16,769
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 4.7%
		2,549,266		25,516
Total Short-Term Instruments (Cost $45,800)				45,799
Total Investments 166.6% (Cost $1,122,529)			$	894,060
Other Assets and Liabilities (Net) (66.6%)				(357,356	)
Net Assets 100.0%			$	536,704

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

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

(a) Security is in default.

(b) Interest only security.

(c) Coupon represents a weighted average rate.

(d) Affiliated to the Portfolio.

(e) Securities with an aggregate market value of $153,931 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $112,864 at a weighted average interest rate of 0.592%. On June 30, 2009, securities valued at $124,660 were pledged as collateral for reverse repurchase agreements.

(g) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Asset Backed Securities - Buy Protection ⁽¹⁾

Reference Obligation	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Ameriquest Mortgage Securities, Inc.1-Month USD-LIBOR plus 1.860% due 01/25/2034	RBS	(0.800	%)	01/25/2034	$	1,223	$	660	$	0	$	660
Ameriquest Mortgage Securities, Inc.1-Month USD-LIBOR plus 2.100% due 05/25/2033	RBS	(0.700	%)	05/25/2033		2,500		1,577		0		1,577
Baldwin Segregated Portfolio 3-Month USD-LIBOR plus 0.750% due 06/25/2046	WAC	(0.800	%)	06/25/2046		2,000		1,990		1,312		678
Bear Stearns Asset-Backed Securities Trust 1-Month USD-LIBOR plus 2.000% due 12/25/2035	UBS	(2.250	%)	12/25/2035		165		159		0		159
Commercial Industrial Finance Corp. 3-Month USD-LIBOR plus 1.600% due 10/20/2020	CITI	(2.150	%)	10/20/2020		1,000		863		0		863
Encore Credit Receivables Trust 1-Month USD-LIBOR plus 1.350% due 10/25/2035	JPM	(1.500	%)	10/25/2035		2,000		1,887		0		1,887
Indymac Home Equity Loan Asset-Backed Trust 1-Month USD-LIBOR plus 0.630% due 06/25/2030	JPM	(0.450	%)	06/25/2030		1,430		664		0		664
KLIO Funding Ltd. 3-Month USD-LIBOR plus 1.800% due 04/23/2039	JPM	(1.700	%)	04/23/2039		1,000		891		0		891
LB-UBS Commercial Mortgage Trust 5.406% due 09/15/2040	JPM	(1.170	%)	09/15/2040		1,000		889		0		889
Lenox Street Ltd. 3-Month USD-LIBOR plus 1.750% due 03/04/2045	MLP	(3.500	%)	03/04/2050		1,000		947		0		947
Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 1.400% due 02/25/2034	BCLY	(0.490	%)	02/25/2034		214		133		0		133
Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 2.250% due 07/25/2032	CSFB	(3.375	%)	07/25/2032		805		755		81		674
Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 3.500% due 02/25/2034	GSC	(2.000	%)	02/25/2034		520		267		0		267
Merrill Lynch Mortgage Trust 5.244% due 11/12/2037	JPM	(1.150	%)	11/12/2037		1,000		831		0		831
Morgan Stanley ABS Capital I 1-Month USD-LIBOR plus 1.700% due 12/27/2033	MSC	(0.540	%)	12/27/2033		211		131		0		131
Park Place Securities, Inc. 1-Month USD-LIBOR plus 1.250% due 05/25/2035	DUB	(1.100	%)	05/25/2035		2,000		1,905		0		1,905
Park Place Securities, Inc. 1-Month USD-LIBOR plus 2.200% due 03/25/2035	DUB	(2.650	%)	03/25/2035		5,000		4,830		0		4,830
Park Place Securities, Inc. 1-Month USD-LIBOR plus 3.500% due 09/25/2034	JPM	(3.000	%)	09/25/2034		1,411		1,374		0		1,374
Race Point CLO 3-Month USD-LIBOR plus 1.650% due 04/15/2020	WAC	(1.950	%)	04/15/2020		2,000		1,707		0		1,707
Specialty Underwriting & Residential Finance 1-Month USD-LIBOR plus 1.300% due 02/25/2035	BCLY	(1.240	%)	02/25/2035		191		108		0		108
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.820% due 02/25/2035	BCLY	(0.610	%)	02/25/2035		474		470		0		470
Telos CLO Ltd. 3-Month USD-LIBOR plus 1.700% due 10/11/2021	GSC	(2.500	%)	10/11/2021		500		397		0		397
							$	23,435	$	1,393	$	22,042

Credit Default Swaps on Asset Backed Securities - Sell Protection ⁽²⁾

Reference Obligation	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
ACE Securities Corp. 1-Month USD-LIBOR plus 0.700% due 07/25/2034	GSC	0.700	%	07/25/2034	$	664	$	(261	)	$	(166	)	$	(95	)
Ameriquest Mortgage Securities, Inc. 1-Month USD-LIBOR plus 0.610% due 01/25/2035	GSC	0.610	%	01/25/2035		793		(671	)		(539	)		(132	)
Ameriquest Mortgage Securities, Inc. 1-Month USD-LIBOR plus 0.640% due 09/25/2034	GSC	0.640	%	09/25/2034		1,000		(389	)		(340	)		(49	)
Ameriquest Mortgage Securities, Inc.1-Month USD-LIBOR plus 1.860% due 01/25/2034	GSC	1.860	%	01/25/2034		1,223		(610	)		0			(610	)
Ameriquest Mortgage Securities, Inc.1-Month USD-LIBOR plus 2.100% due 05/25/2033	GSC	3.150	%	05/25/2033		2,500		(1,263	)		0			(1,263	)
Argent Securities, Inc. 1-Month USD-LIBOR plus 0.490% due 10/25/2035	GSC	0.490	%	10/25/2035		1,000		(416	)		(380	)		(36	)
Asset-Backed Securities Corp. Home Equity 1-Month USD-LIBOR plus 0.630% due 09/25/2034	GSC	0.630	%	09/25/2034		1,000		(541	)		(310	)		(231	)
Bear Stearns Asset-Backed Securities Trust 1-Month USD-LIBOR plus 0.800% due 08/25/2034	GSC	0.800	%	08/25/2034		1,000		(456	)		(330	)		(126	)
Bear Stearns Asset-Backed Securities Trust 1-Month USD-LIBOR plus 2.000% due 12/25/2035	JPM	2.550	%	12/25/2035		165		(159	)		0			(159	)
Carrington Mortgage Loan Trust 1-Month USD-LIBOR plus 0.480% due 10/25/2035	GSC	0.480	%	10/25/2035		1,000		(325	)		(300	)		(25	)
Countrywide Asset-Backed Certificates 1-Month USD-LIBOR plus 0.650% due 06/25/2035	GSC	0.650	%	06/25/2035		1,000		(588	)		(300	)		(288	)
Encore Credit Receivables Trust 1-Month USD-LIBOR plus 0.460% due 07/25/2035	GSC	0.460	%	07/25/2035		1,000		(605	)		(350	)		(255	)
GSAMP Trust 1-Month USD-LIBOR plus 0.490% due 09/25/2035	GSC	0.490	%	09/25/2035		2,000		(736	)		(700	)		(36	)
Indymac Home Equity Loan Asset-Backed Trust 1-Month USD-LIBOR plus 0.630% due 06/25/2030	MSC	1.815	%	06/25/2030		1,430		(591	)		0			(591	)
Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 0.700% due 10/25/2034	GSC	0.700	%	10/25/2034		1,000		(360	)		(320	)		(40	)
Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 2.250% due 07/25/2032	MSC	3.375	%	07/25/2032		805		(787	)		(97	)		(690	)
Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 3.500% due 07/25/2033	BOA	6.250	%	07/25/2033		492		(390	)		0			(390	)
Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 3.500% due 02/25/2034	MLP	2.250	%	02/25/2034		519		(264	)		0			(264	)
MASTR Asset-Backed Securities Trust 1-Month USD-LIBOR plus 0.500% due 12/25/2034	GSC	0.500	%	12/25/2034		1,000		(379	)		(280	)		(99	)
New Century Home Equity Loan Trust 1-Month USD-LIBOR plus 0.450% due 06/25/2035	GSC	0.450	%	06/25/2035		1,000		(371	)		(340	)		(31	)
Option One Mortgage Loan Trust 1-Month USD-LIBOR plus 0.520% due 02/25/2035	GSC	0.520	%	02/25/2035		1,000		(472	)		(450	)		(22	)
Park Place Securities, Inc. 1-Month USD-LIBOR plus 0.650% due 10/25/2034	GSC	0.650	%	10/25/2034		1,000		(427	)		(300	)		(127	)
Park Place Securities, Inc. 1-Month USD-LIBOR plus 0.700% due 10/25/2034	GSC	0.700	%	10/25/2034		1,000		(495	)		(350	)		(145	)
Park Place Securities, Inc. 1-Month USD-LIBOR plus 0.740% due 12/25/2034	GSC	0.740	%	12/25/2034		1,000		(428	)		(320	)		(108	)
Park Place Securities, Inc. 1-Month USD-LIBOR plus 2.200% due 03/25/2035	MSC	3.030	%	03/25/2035		5,000		(4,822	)		0			(4,822	)
Park Place Securities, Inc. 1-Month USD-LIBOR plus 3.500% due 09/25/2034	GSC	5.000	%	09/25/2034		1,411		(1,366	)		0			(1,366	)
Residential Asset Mortgage Products, Inc. 1-Month USD-LIBOR plus 0.620% due 11/25/2034	GSC	0.620	%	11/25/2034		1,000		(512	)		(280	)		(232	)
Specialty Underwriting & Residential Finance 1-Month USD-LIBOR plus 0.500% due 09/25/2036	GSC	0.500	%	09/25/2036		1,000		(909	)		(450	)		(459	)
Specialty Underwriting & Residential Finance 1-Month USD-LIBOR plus 0.800% due 10/25/2035	GSC	0.800	%	10/25/2035		677		(291	)		(305	)		14
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.440% due 04/25/2035	GSC	0.440	%	04/25/2035		1,000		(584	)		(550	)		(34	)
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.480% due 09/25/2035	GSC	0.480	%	09/25/2035		2,000		(1,140	)		(1,100	)		(40	)
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.510% due 08/25/2035	GSC	0.510	%	08/25/2035		1,500		(1,173	)		(1,125	)		(48	)
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.650% due 09/25/2034	GSC	0.650	%	09/25/2034		1,000		(242	)		(400	)		158
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.850% due 12/25/2034	GSC	0.850	%	12/25/2034		809		(662	)		(283	)		(379	)
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.950% due 04/25/2034	GSC	1.425	%	04/25/2034		314		(112	)		(125	)		13
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 1.300% due 11/25/2034	GSC	1.300	%	11/25/2034		354		(344	)		(333	)		(11	)
Wells Fargo Home Equity Trust 1-Month USD-LIBOR plus 0.630% due 04/25/2034	GSC	0.630	%	04/25/2034		297		(140	)		(104	)		(36	)
							$	(24,281	)	$	(11,227	)	$	(13,054	)

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection ⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Masco Corp.	BOA	(0.610	%)	09/20/2012	3.728	%	$	5,000	$	449	$	0	$	449

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection ⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
American International Group, Inc.	MLP	0.850	%	12/20/2012	16.302	%	$	10,000	$	(3,616	)	$	0	$	(3,616	)
Berkshire Hathaway Finance Corp.	JPM	0.900	%	09/20/2009	2.632	%		5,000		(18	)		0		(18	)
									$	(3,634	)	$	0	$	(3,634	)

Credit Default Swaps on Credit Indices - Buy Protection ⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
CDX.IG-5 7-Year Index 10-15%	MSC	(0.140	%)	12/20/2012	$	11,200	$	1,144	$	0	$	1,144

Credit Default Swaps on Credit Indices - Sell Protection ⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
ABX.HE A 06-1 Index	DUB	0.540	%	07/25/2045	$	293	$	(270	)	$	(122	)	$	(148	)
ABX.HE AA 06-2 Index	DUB	0.170	%	05/25/2046		294		(272	)		(118	)		(154	)
ABX.HE AA 07-1 Index	BOA	0.150	%	08/25/2037		10,000		(9,699	)		(8,875	)		(824	)
ABX.HE AA 07-1 Index	CSFB	0.150	%	08/25/2037		55,000		(53,342	)		(42,975	)		(10,367	)
ABX.HE AA 07-1 Index	DUB	0.150	%	08/25/2037		300		(291	)		(181	)		(110	)
ABX.HE AAA 06-1 Index	CSFB	0.180	%	07/25/2045		2,739		(452	)		(452	)		0
ABX.HE AAA 06-1 Index	DUB	0.180	%	07/25/2045		15,807		(4,858	)		(2,113	)		(2,745	)
ABX.HE AAA 06-1 Index	MSC	0.180	%	07/25/2045		18,596		(5,715	)		(1,379	)		(4,336	)
ABX.HE AAA 06-2 Index	BOA	0.110	%	05/25/2046		9,978		(6,684	)		(2,095	)		(4,589	)
ABX.HE AAA 06-2 Index	CSFB	0.110	%	05/25/2046		29,237		(19,585	)		(13,237	)		(6,348	)
ABX.HE AAA 06-2 Index	MLP	0.110	%	05/25/2046		4,989		(3,342	)		(898	)		(2,444	)
ABX.HE AAA 07-1 Index	CITI	0.090	%	08/25/2037		10,000		(7,418	)		(4,775	)		(2,643	)
ABX.HE AAA 07-1 Index	CSFB	0.090	%	08/25/2037		23,500		(17,432	)		(14,490	)		(2,942	)
CDX.HY-8 5-Year Index 35-100%	BCLY	0.787	%	06/20/2012		2,427		(88	)		0			(88	)
CDX.HY-8 5-Year Index 35-100%	BCLY	1.465	%	06/20/2012		4,855		(84	)		0			(84	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.415	%	06/20/2012		1,942		(90	)		0			(90	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.630	%	06/20/2012		4,855		(197	)		0			(197	)
CDX.HY-8 5-Year Index 35-100%	CITI	0.830	%	06/20/2012		9,710		(340	)		0			(340	)
CDX.HY-8 5-Year Index 35-100%	MLP	0.910	%	06/20/2012		2,428		(80	)		0			(80	)
CDX.HY-9 5-Year Index 35-100%	MLP	1.140	%	12/20/2012		9,708		(588	)		0			(588	)
CDX.HY-9 5-Year Index 35-100%	MLP	1.442	%	12/20/2012		4,854		(248	)		0			(248	)
CDX.IG-5 10-Year Index 10-15%	MSC	0.460	%	12/20/2015		8,000		(1,531	)		0			(1,531	)
							$	(132,606	)	$	(91,710	)	$	(40,896	)

⁽¹⁾ If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2011	DUB	$	38,600	$	1,924	$	1,217	$	707
Pay	3-Month USD-LIBOR	4.000	%	06/17/2016	RBS		94,000		3,627		8,154		(4,527	)
								$	5,551	$	9,371	$	(3,820	)

(h) Restricted securities as of June 30, 2009:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Bear Stearns Asset-Backed Securities Trust	0.814	%	09/25/2034	03/29/2006	$	413	$	315	0.06	%
Wells Fargo Home Equity Trust	0.584	%	11/25/2035	05/18/2009		484		486	0.09	%
					$	897	$	801	0.15	%

(i) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	6.000	%	07/01/2039	$	1,500	$	1,559	$	1,568
Freddie Mac	6.000	%	07/01/2039		2,300		2,392		2,401
						$	3,951	$	3,969

(j) Fair Value Measurements ⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	29,566		$	4,169	$	33,735
U.S. Government Agencies		0		334,046			379		334,425
Mortgage-Backed Securities		0		232,231			174		232,405
Asset-Backed Securities		0		240,486			4,627		245,113
Short-Term Instruments		25,516		20,283			0		45,799
Other Investments++		0		2,583			0		2,583
Investments, at value	$	25,516	$	859,195		$	9,349	$	894,060
Short Sales, at value	$	0	$	(3,969	)	$	0	$	(3,969	)
Financial Derivative Instruments+++	$	0	$	(44,956	)	$	7,187	$	(37,769	)
Total	$	25,516	$	810,270		$	16,536	$	852,322

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)			Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	3,795	$	(66	)	$	2	$	(2	)	$	440		$	0	$	4,169
U.S. Government Agencies		386		(6	)		0		0			(1	)		0		379
Mortgage-Backed Securities		181		(5	)		0		(1	)		(1	)		0		174
Asset-Backed Securities		729		2,243			7		1			(290	)		1,937		4,627
Investments, at value	$	5,091	$	2,166		$	9	$	(2	)	$	148		$	1,937	$	9,349
Financial Derivative Instruments+++	$	7,612	$	0		$	0	$	0		$	(428	)	$	3	$	7,187
Total	$	12,703	$	2,166		$	9	$	(2	)	$	(280	)	$	1,940	$	16,536

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Developing Local Markets Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BRAZIL 9.0%
Brazil Letras do Tesouro Nacional
0.000% due 01/01/2010	BRL	81,000	$	39,725
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012		23,200		11,589
Total Brazil (Cost $47,899)				51,314
CAYMAN ISLANDS 0.1%
Atrium CDO Corp.
1.522% due 06/27/2015	$	475		366
Total Cayman Islands (Cost $473)				366
EGYPT 0.0%
Petroleum Export Ltd.
4.623% due 06/15/2010	$	155		152
4.633% due 06/15/2010		22		22
5.265% due 06/15/2011		159		153
Total Egypt (Cost $334)				327
GERMANY 0.3%
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009	$	1,500		1,539
Total Germany (Cost $1,521)				1,539
MEXICO 0.1%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	2,700		152
Telefonos de Mexico SAB de C.V.
8.750% due 01/31/2016		10,000		731
Total Mexico (Cost $1,175)				883
NETHERLANDS 0.1%
Siemens Financieringsmaatschappij NV
0.956% due 08/14/2009	$	400		400
Total Netherlands (Cost $400)				400
NORWAY 0.0%
DnB NOR Bank ASA
1.209% due 10/13/2009	$	100		99
Total Norway (Cost $100)				99
QATAR 0.0%
Ras Laffan Liquefied Natural Gas Co. Ltd.
3.437% due 09/15/2009	$	70		70
Total Qatar (Cost $70)				70
SOUTH KOREA 0.2%
Korea Development Bank
5.300% due 01/17/2013	$	1,150		1,137
Total South Korea (Cost $1,149)				1,137
UNITED KINGDOM 0.0%
AstraZeneca PLC
0.948% due 09/11/2009	$	100		100
Total United Kingdom (Cost $100)				100
UNITED STATES 53.5%
ASSET-BACKED SECURITIES 0.7%
ACE Securities Corp.
0.364% due 08/25/2036	$	57		41
0.364% due 12/25/2036		31		23
0.404% due 06/25/2037		88		62
American Express Credit Account Master Trust
0.819% due 02/15/2012		92		92
Asset-Backed Funding Certificates
0.664% due 06/25/2034		305		150
Bear Stearns Asset-Backed Securities Trust
1.314% due 10/25/2037		960		518
Carrington Mortgage Loan Trust
0.364% due 01/25/2037		32		26
0.414% due 06/25/2037		629		501
Citigroup Mortgage Loan Trust, Inc.
0.374% due 05/25/2037		111		90
0.374% due 07/25/2045		120		84
Countrywide Asset-Backed Certificates
0.394% due 10/25/2047		84		74
0.494% due 09/25/2036		120		85
Credit-Based Asset Servicing & Securitization LLC
0.374% due 11/25/2036		32		26
0.434% due 07/25/2037		719		531
First NLC Trust
0.384% due 08/25/2037		401		251
Fremont Home Loan Trust
0.374% due 01/25/2037		36		23
GE-WMC Mortgage Securities LLC
0.354% due 08/25/2036		22		16
GSAMP Trust
0.384% due 10/25/2036		4		3
0.384% due 12/25/2036		39		21
Home Equity Asset Trust
0.374% due 05/25/2037		37		33
HSI Asset Securitization Corp. Trust
0.364% due 10/25/2036		32		19
0.364% due 12/25/2036		35		30
0.374% due 05/25/2037		204		144
Indymac Residential Asset-Backed Trust
0.394% due 07/25/2037		66		60
JPMorgan Mortgage Acquisition Corp.
0.374% due 03/25/2047		147		106
0.394% due 08/25/2036		19		18
0.394% due 03/25/2037		84		67
0.424% due 08/25/2036		400		144
Lehman ABS Mortgage Loan Trust
0.404% due 06/25/2037		103		65
Lehman XS Trust
0.394% due 11/25/2046		143		119
0.434% due 11/25/2036		31		31
Long Beach Mortgage Loan Trust
0.354% due 11/25/2036		11		10
0.374% due 10/25/2036		20		18
0.594% due 10/25/2034		62		40
MASTR Asset-Backed Securities Trust
0.394% due 05/25/2037		73		59
Merrill Lynch Mortgage Investors, Inc.
0.394% due 09/25/2037		22		19
Morgan Stanley ABS Capital I
0.364% due 11/25/2036		37		35
0.374% due 05/25/2037		183		132
New Century Home Equity Loan Trust
0.494% due 05/25/2036		79		54
Popular ABS Mortgage Pass-Through Trust
0.404% due 06/25/2047		107		84
Securitized Asset-Backed Receivables LLC Trust
0.374% due 12/25/2036		71		40
0.394% due 11/25/2036		29		12
SLM Student Loan Trust
1.082% due 10/25/2016		14		14
1.082% due 07/25/2017		39		39
1.242% due 01/25/2017		50		50
Soundview Home Equity Loan Trust
0.394% due 06/25/2037		95		76
South Carolina Student Loan Corp.
1.168% due 09/02/2014		62		61
WaMu Asset-Backed Certificates
0.364% due 01/25/2037		32		23
Washington Mutual Asset-Backed Certificates
0.374% due 10/25/2036		40		32
				4,251
CORPORATE BONDS & NOTES 9.1%
American Express Centurion Bank
0.479% due 12/17/2009		100		99
Bear Stearns Cos. LLC
1.445% due 09/26/2013	EUR	300		386
1.507% due 07/19/2010	$	926		927
5.300% due 10/30/2015		100		99
5.500% due 08/15/2011		100		105
6.950% due 08/10/2012		500		544
Citigroup, Inc.
1.004% due 05/18/2010		500		491
Dominion Resources, Inc.
1.664% due 06/17/2010		400		398
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		1,736		1,676
General Electric Capital Corp.
0.609% due 12/21/2012		30,000		30,135
0.953% due 08/15/2011		200		190
1.478% due 02/01/2011		152		147
General Mills, Inc.
1.231% due 01/22/2010		2,800		2,796
Goldman Sachs Group, Inc.
0.856% due 03/02/2010		500		486
Hewlett-Packard Co.
0.689% due 06/15/2010		2,735		2,738
International Business Machines Corp.
1.652% due 07/28/2011		3,000		3,020
International Lease Finance Corp.
0.881% due 05/24/2010		1,000		912
John Deere Capital Corp.
1.202% due 07/16/2010		3,200		3,188
JPMorgan Chase & Co.
0.859% due 06/15/2012		600		607
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		500		76
3.011% due 12/23/2010 (a)		1,100		168
5.316% due 04/05/2011 (a)	EUR	2,142		443
Metropolitan Life Global Funding I
0.894% due 05/17/2010	$	500		496
Morgan Stanley
1.236% due 02/10/2012		100		101
Public Service Electric & Gas Co.
1.514% due 03/12/2010		350		350
Roche Holdings, Inc.
2.661% due 02/25/2011		50		51
SLM Corp.
1.252% due 07/26/2010		100		91
1.477% due 12/15/2010	EUR	100		122
State Street Bank and Trust Co.
0.829% due 09/15/2011	$	500		504
UnitedHealth Group, Inc.
0.789% due 06/21/2010		200		198
Xerox Corp.
1.363% due 12/18/2009		300		297
				51,841
MORTGAGE-BACKED SECURITIES 2.7%
Adjustable Rate Mortgage Trust
5.152% due 09/25/2035		323		211
American Home Mortgage Assets
0.504% due 05/25/2046		161		59
0.504% due 09/25/2046		59		25
2.040% due 02/25/2047		82		27
2.260% due 11/25/2046		80		37
American Home Mortgage Investment Trust
5.660% due 09/25/2045		55		33
Banc of America Funding Corp.
6.102% due 01/20/2047		455		243
Banc of America Mortgage Securities, Inc.
4.185% due 07/25/2034		205		165
5.433% due 02/25/2036		105		70
Bear Stearns Adjustable Rate Mortgage Trust
4.784% due 04/25/2034		208		179
5.172% due 02/25/2034		307		198
5.457% due 05/25/2047		139		81
Bear Stearns Alt-A Trust
0.474% due 02/25/2034		48		27
5.738% due 01/25/2036		712		357
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		2		2
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		72		56
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		1,619		895
5.714% due 12/26/2046		958		584
CC Mortgage Funding Corp.
0.444% due 05/25/2048		356		130
Chase Mortgage Finance Corp.
5.426% due 03/25/2037		69		43
Citigroup Mortgage Loan Trust, Inc.
4.098% due 08/25/2035		289		210
4.669% due 08/25/2035		300		89
5.672% due 07/25/2046		62		33
Commercial Mortgage Pass-Through Certificates
0.419% due 04/15/2017		27		26
Countrywide Alternative Loan Trust
0.494% due 05/25/2047		154		58
0.495% due 02/20/2047		148		58
0.504% due 09/25/2046		106		40
0.524% due 07/25/2046		29		12
0.525% due 07/20/2046		133		51
0.644% due 11/20/2035		58		26
2.340% due 12/25/2035		82		37
2.340% due 02/25/2036		42		19
5.886% due 02/25/2037		150		88
Countrywide Home Loan Mortgage Pass-Through Trust
0.654% due 03/25/2036		821		152
6.069% due 09/25/2047		20		12
CS First Boston Mortgage Securities Corp.
3.755% due 06/25/2033		444		370
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		29		26
0.394% due 02/25/2037		24		22
0.404% due 08/25/2037		266		231
First Horizon Asset Securities, Inc.
3.170% due 07/25/2033		174		154
5.365% due 08/25/2035		298		227
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		93		77
0.394% due 01/25/2047		117		89
0.584% due 11/25/2045		154		73
Greenpoint Mortgage Pass-Through Certificates
4.826% due 10/25/2033		371		281
GSR Mortgage Loan Trust
5.176% due 01/25/2036		68		46
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		23		21
0.493% due 07/19/2046		120		50
0.503% due 01/19/2038		215		92
0.505% due 08/21/2036		29		12
0.513% due 09/19/2046		30		13
0.553% due 03/19/2036		236		100
5.234% due 07/19/2035		789		482
5.849% due 08/19/2036		19		11
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		21		20
Indymac IMSC Mortgage Loan Trust
0.494% due 07/25/2047		64		25
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		33		31
0.504% due 09/25/2046		96		38
0.514% due 06/25/2047		59		25
0.524% due 05/25/2046		13		5
0.554% due 07/25/2035		17		8
4.976% due 12/25/2034		210		159
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		76		67
Luminent Mortgage Trust
0.484% due 12/25/2036		79		31
0.494% due 12/25/2036		63		23
MASTR Adjustable Rate Mortgages Trust
0.424% due 05/25/2047		13		13
0.524% due 04/25/2046		44		18
Merrill Lynch Floating Trust
0.389% due 06/15/2022		56		39
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		1,386		749
Merrill Lynch Mortgage-Backed Securities Trust
5.845% due 04/25/2037		55		30
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		598		405
1.314% due 10/25/2035		330		263
Provident Funding Mortgage Loan Trust
3.680% due 08/25/2033		281		235
Residential Accredit Loans, Inc.
0.414% due 09/25/2046		33		26
0.614% due 08/25/2035		80		36
Residential Funding Mortgage Securities I
5.202% due 09/25/2035		329		236
Sequoia Mortgage Trust
4.263% due 04/20/2035		363		280
5.102% due 01/20/2047		27		15
Structured Adjustable Rate Mortgage Loan Trust
4.266% due 07/25/2034		849		711
5.334% due 01/25/2035		315		212
5.516% due 08/25/2035		201		131
Structured Asset Mortgage Investments, Inc.
0.384% due 08/25/2036		93		89
0.414% due 09/25/2047		409		381
0.534% due 05/25/2036		358		142
0.534% due 05/25/2046		47		19
0.563% due 07/19/2035		1,640		1,042
0.643% due 10/19/2034		512		391
Structured Asset Securities Corp.
3.986% due 06/25/2033		614		455
4.504% due 10/25/2035		36		25
TBW Mortgage-Backed Pass-Through Certificates
0.414% due 09/25/2036		3		3
0.424% due 01/25/2037		21		19
WaMu Mortgage Pass-Through Certificates
0.534% due 07/25/2046		622		163
0.802% due 11/25/2034		1,211		408
2.070% due 01/25/2047		72		32
2.100% due 04/25/2047		77		32
2.139% due 02/25/2047		153		62
2.139% due 03/25/2047		137		56
2.150% due 12/25/2046		69		30
2.160% due 12/25/2046		69		23
2.340% due 02/25/2046		84		37
2.540% due 11/25/2042		35		20
2.909% due 06/25/2033		186		145
3.127% due 09/25/2046		270		117
3.127% due 10/25/2046		138		62
3.711% due 03/25/2034		343		288
5.293% due 01/25/2037		52		30
5.468% due 04/25/2037		37		22
5.575% due 12/25/2036		33		21
5.581% due 12/25/2036		100		62
5.632% due 05/25/2037		70		45
5.928% due 09/25/2036		45		29
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.310% due 05/25/2046		31		13
Wells Fargo Mortgage-Backed Securities Trust
4.981% due 12/25/2034		305		272
5.593% due 07/25/2036		73		49
				15,125
U.S. GOVERNMENT AGENCIES 41.0%
Fannie Mae
2.638% due 06/01/2043 - 07/01/2044		80		79
5.000% due 02/25/2017		32		33
5.500% due 05/01/2037 - 04/01/2039		100,000		103,360
6.000% due 07/01/2036 - 06/01/2037		24,130		25,258
Freddie Mac
0.594% due 09/25/2031		207		189
0.641% due 08/24/2010 (d)		73		73
0.896% due 05/05/2011		5,448		5,450
0.926% due 05/04/2011		310		311
0.937% due 08/05/2011 (d)		100,000		100,036
5.000% due 11/15/2029		1		1
				234,790
Total United States (Cost $318,269)				306,007
SHORT-TERM INSTRUMENTS 34.1%
REPURCHASE AGREEMENTS 8.4%
JPMorgan Chase Bank N.A.
0.090% due 07/01/2009		47,400		47,400
(Dated 06/30/2009. Collateralized by Fannie Mae 7.125% due 06/15/2010 valued at $48,387. Repurchase proceeds are $47,400.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		625		625
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $640. Repurchase proceeds are $625.)
				48,025
U.S. TREASURY BILLS 0.6%
0.116% due 07/16/2009 - 07/30/2009 (b)(d)		3,420		3,420
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 25.1%
		14,355,924		143,688
Total Short-Term Instruments (Cost $195,134)				195,133
PURCHASED OPTIONS (g) 0.0% (Cost $12)				2
Total Investments 97.4% (Cost $566,636)			$	557,377
Written Options (h) (0.0%) (Premiums $13)				(2	)
Other Assets and Liabilities (Net) 2.6%				14,846
Net Assets 100.0%			$	572,221

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) Affiliated to the Portfolio.

(d) Securities with an aggregate market value of $4,027 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) Cash of $168 has been pledged as collateral for futures contracts on June 30, 2009.

(f) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Korea Development Bank	MSC	(0.940	%)	03/20/2013	1.876	%	$	1,150	$	37	$	0	$	37

⁽¹⁾ If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Pay	1-Year BRL-CDI	14.225	%	01/04/2010	BCLY	BRL	251,100	$	5,251	$	0	$	5,251
Pay	28-Day MXN TIIE	9.920	%	08/12/2015	MSC	MXN	4,000		35		0		35
Pay	28-Day MXN TIIE	8.770	%	08/03/2016	CITI		2,550		10		0		10
Pay	28-Day MXN TIIE	8.780	%	08/03/2016	BCLY		2,550		10		0		10
								$	5,306	$	0	$	5,306

(g) Purchased options outstanding on June 30, 2009:

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC Fannie Mae 5.500% due 07/01/2039	$	94.000	08/06/2009	$	100,000	$	12	$	2

(h) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	55	$	13	$	2

(i) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.500	%	07/01/2039	$	10,000	$	10,303	$	10,320
Fannie Mae	6.000	%	07/01/2039		10,000		10,410		10,452
						$	20,713	$	20,772

(j) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BRL	BCLY	46,086	08/2009	$	0	$	(23	)	$	(23	)
Buy		HSBC	525,936	08/2009		16,283		(35	)		16,248
Sell		JPM	8,479	08/2009		0		(22	)		(22	)
Buy		MSC	45,545	08/2009		102		0			102
Sell		UBS	99,255	08/2009		0		(3,283	)		(3,283	)
Buy	CLP	BCLY	4,064,464	11/2009		637		0			637
Sell		CITI	4,064,464	11/2009		0		(607	)		(607	)
Buy	CNY	CITI	40,912	07/2009		0		(9	)		(9	)
Sell		CITI	15,337	07/2009		0		(13	)		(13	)
Buy		DUB	77,267	07/2009		0		(30	)		(30	)
Sell		DUB	213,838	07/2009		0		(661	)		(661	)
Buy		HSBC	35,092	07/2009		138		0			138
Buy		JPM	75,904	07/2009		0		(392	)		(392	)
Buy		BCLY	78,308	09/2009		236		0			236
Sell		BCLY	294,641	09/2009		0		(1,009	)		(1,009	)
Buy		CITI	144,933	09/2009		434		0			434
Sell		CITI	171,834	09/2009		18		(396	)		(378	)
Buy		DUB	165,063	09/2009		543		0			543
Sell		DUB	32,108	09/2009		20		0			20
Buy		HSBC	358,233	09/2009		863		0			863
Sell		HSBC	34,600	09/2009		0		(69	)		(69	)
Buy		JPM	9,306	09/2009		23		0			23
Sell		JPM	88,621	09/2009		17		(286	)		(269	)
Buy		BCLY	546,523	03/2010		0		(759	)		(759	)
Buy		BOA	121,201	03/2010		0		(173	)		(173	)
Buy		CITI	5,357	03/2010		0		(3	)		(3	)
Buy		DUB	46,561	03/2010		0		(71	)		(71	)
Sell		DUB	44,714	03/2010		40		0			40
Buy		HSBC	5,155	03/2010		0		(2	)		(2	)
Buy		JPM	181,431	03/2010		7		(72	)		(65	)
Sell	HUF	BCLY	1,194	10/2009		0		(1	)		(1	)
Buy		JPM	1,194	10/2009		1		0			1
Buy	INR	BOA	45,079	07/2009		87		0			87
Buy		CITI	45,026	07/2009		83		0			83
Buy		DUB	39,632	07/2009		67		0			67
Sell		DUB	127,950	07/2009		0		(161	)		(161	)
Sell		JPM	1,787	07/2009		0		(1	)		(1	)
Buy	MXN	BCLY	449,529	11/2009		435		0			435
Buy		CITI	41,215	11/2009		47		0			47
Sell		CITI	8,086	11/2009		0		(59	)		(59	)
Buy		HSBC	41,866	11/2009		14		0			14
Buy		JPM	784,958	11/2009		855		0			855
Buy		UBS	101,622	11/2009		118		0			118
Buy	MYR	BCLY	9,351	08/2009		112		0			112
Sell		BCLY	14,572	08/2009		0		(33	)		(33	)
Buy		CITI	7,228	08/2009		73		0			73
Buy		HSBC	8,343	08/2009		98		0			98
Sell		JPM	10,351	08/2009		0		(33	)		(33	)
Sell	PEN	BCLY	3,478	07/2009		0		(79	)		(79	)
Buy		DUB	3,478	07/2009		71		0			71
Sell	PHP	BCLY	22,592	08/2009		1		0			1
Buy		CITI	441,689	08/2009		10		(40	)		(30	)
Sell		CITI	14,385	08/2009		0		(1	)		(1	)
Sell		DUB	9,583	08/2009		0		0			0
Buy		JPM	133	08/2009		0		0			0
Sell		JPM	395,262	08/2009		0		(99	)		(99	)
Buy	PLN	DUB	67	11/2009		2		0			2
Buy		JPM	162	11/2009		2		0			2
Sell		JPM	229	11/2009		0		(3	)		(3	)
Sell	SGD	BCLY	942	07/2009		0		(26	)		(26	)
Buy		CITI	2,906	07/2009		26		0			26
Buy		HSBC	3,847	07/2009		19		(4	)		15
Buy		JPM	2,740	07/2009		69		0			69
Sell		JPM	8,551	07/2009		33		0			33
Buy	ZAR	BCLY	805	11/2009		19		0			19
Buy		DUB	5,053	11/2009		38		0			38
Buy		JPM	70	11/2009		0		0			0
Sell		JPM	1,098	11/2009		0		(17	)		(17	)
					$	21,641	$	(8,472	)	$	13,169

(k) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Brazil	$	0	$	51,314		$	0	$	51,314
United States		0		305,982			25		306,007
Short-Term Instruments		143,688		51,445			0		195,133
Other Investments++		0		4,923			0		4,923
Investments, at value	$	143,688	$	413,664		$	25	$	557,377
Short Sales, at value	$	0	$	(20,772	)	$	0	$	(20,772	)
Financial Derivative Instruments+++	$	0	$	18,510		$	0	$	18,510
Total	$	143,688	$	411,402		$	25	$	555,115

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
United States	$	0	$	(2	)	$	0	$	0	$	4	$	23	$	25
Investments, at value	$	0	$	(2	)	$	0	$	0	$	4	$	23	$	25
Financial Derivative Instruments+++	$	0	$	0		$	0	$	0	$	0	$	0	$	0
Total	$	0	$	(2	)	$	0	$	0	$	4	$	23	$	25

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Emerging Markets Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
AUSTRALIA 1.1%
National Australia Bank Ltd.
1.424% due 02/08/2010	$	7,200	$	7,200
Total Australia (Cost $7,129)				7,200
BRAZIL 34.3%
Brazil Government International Bond
5.875% due 01/15/2019	$	3,000		3,042
8.250% due 01/20/2034		100		119
10.250% due 01/10/2028	BRL	21,000		10,610
Brazil Letras do Tesouro Nacional
0.000% due 01/01/2010		62,000		30,294
Brazil Notas do Tesouro Nacional Series F
10.000% due 01/01/2012		26,781		13,378
10.000% due 01/01/2017		358,754		160,016
Petrobras International Finance Co.
7.875% due 03/15/2019	$	650		712
Total Brazil (Cost $223,310)				218,171
CHILE 1.2%
Banco Santander Chile
0.982% due 12/09/2009	$	6,000		5,971
5.375% due 12/09/2014		1,500		1,429
CODELCO, Inc.
5.625% due 09/21/2035		100		91
6.150% due 10/24/2036		100		101
Total Chile (Cost $7,660)				7,592
EGYPT 0.9%
Petroleum Export Ltd.
4.623% due 06/15/2010	$	200		196
4.633% due 06/15/2010		22		22
5.265% due 06/15/2011		899		867
Petroleum Export Ltd. II
6.340% due 06/20/2011		5,041		4,609
Total Egypt (Cost $6,034)				5,694
EL SALVADOR 0.5%
AES El Salvador Trust
6.750% due 02/01/2016	$	3,750		2,698
El Salvador Government International Bond
8.500% due 07/25/2011		125		128
Total El Salvador (Cost $3,868)				2,826
GERMANY 1.9%
Citigroup Global Markets Deutschland AG for OAO Gazprom
10.500% due 10/21/2009	$	10,916		11,202
Morgan Stanley Bank AG for OAO Gazprom
9.625% due 03/01/2013		850		880
Total Germany (Cost $11,869)				12,082
INDONESIA 0.1%
Indonesia Government International Bond
10.375% due 05/04/2014	$	500		571
Total Indonesia (Cost $541)				571
IRELAND 1.1%
Governor & Co. of the Bank of Ireland
0.663% due 12/18/2009	$	7,200		7,134
Total Ireland (Cost $7,060)				7,134
KAZAKHSTAN 0.7%
Tengizchevroil Finance Co. SARL
6.124% due 11/15/2014	$	5,069		4,579
Total Kazakhstan (Cost $5,108)				4,579
MEXICO 9.5%
America Movil SAB de C.V.
8.460% due 12/18/2036	MXN	10,900		615
C5 Capital SPV Ltd.
6.196% due 12/31/2049	$	400		213
C8 Capital SPV Ltd.
6.640% due 12/29/2049		600		308
C10 Capital SPV Ltd.
6.722% due 12/31/2049		2,100		1,077
Hipotecaria Su Casita S.A. de C.V.
8.500% due 10/04/2016		500		363
Mexican Bonos
9.000% due 12/24/2009	MXN	315,500		24,436
9.500% due 12/18/2014		1,155		96
Mexico Government International Bond
5.625% due 01/15/2017	$	930		945
5.950% due 03/19/2019		4,900		4,973
8.300% due 08/15/2031		7,000		8,382
Pemex Finance Ltd.
9.030% due 02/15/2011		140		150
Pemex Project Funding Master Trust
2.931% due 10/15/2009		1,100		1,101
6.625% due 06/15/2035		25		23
Petroleos Mexicanos
8.000% due 05/03/2019		3,700		4,033
Telefonos de Mexico SAB de C.V.
4.750% due 01/27/2010		12,765		13,023
8.750% due 01/31/2016	MXN	10,000		730
Total Mexico (Cost $61,850)				60,468
NETHERLANDS 1.1%
Rabobank Nederland NV
1.226% due 05/19/2010	$	7,200		7,224
Total Netherlands (Cost $7,143)				7,224
PANAMA 0.0%
Panama Government International Bond
6.700% due 01/26/2036	$	100		98
Total Panama (Cost $104)				98
PERU 0.2%
Peru Government International Bond
6.900% due 08/12/2037	PEN	4,000		1,376
8.750% due 11/21/2033	$	100		122
Total Peru (Cost $1,630)				1,498
POLAND 0.1%
Poland Government International Bond
4.750% due 04/25/2012	PLN	2,000		620
Total Poland (Cost $872)				620
QATAR 0.1%
Qatar Petroleum
5.579% due 05/30/2011	$	356		362
Total Qatar (Cost $342)				362
RUSSIA 4.2%
Gaz Capital S.A.
6.510% due 03/07/2022	$	3,000		2,280
7.288% due 08/16/2037		3,000		2,288
Gazstream S.A. for Gazprom OAO
5.625% due 07/22/2013		2,321		2,257
RSHB Capital S.A. for OJSC Russian Agricultural Bank
6.875% due 11/29/2010		3,200		3,250
7.175% due 05/16/2013		2,050		1,958
Russia Government International Bond
7.500% due 03/31/2030		3,744		3,723
12.750% due 06/24/2028		100		146
TNK-BP Finance S.A.
6.125% due 03/20/2012		1,000		928
7.500% due 07/18/2016		3,900		3,410
TransCapitalInvest Ltd. for OJSC AK Transneft
6.103% due 06/27/2012		5,300		5,144
VTB Capital S.A.
2.716% due 11/02/2009		1,000		994
Total Russia (Cost $26,404)				26,378
SOUTH KOREA 1.1%
Korea Development Bank
1.317% due 04/03/2010	$	5,000		4,896
5.300% due 01/17/2013		2,350		2,324
Total South Korea (Cost $7,243)				7,220
SUPRANATIONAL 0.0%
Inter-American Development Bank
8.500% due 03/15/2011	$	120		133
Total Supranational (Cost $129)				133
SWITZERLAND 0.3%
UBS AG
1.090% due 07/23/2009	$	2,000		1,999
Total Switzerland (Cost $1,999)				1,999
UNITED KINGDOM 2.2%
Bank of Scotland PLC
0.689% due 12/08/2010	$	1,500		1,429
1.152% due 07/17/2009		12,600		12,593
Total United Kingdom (Cost $13,989)				14,022
UNITED STATES 21.5%
ASSET-BACKED SECURITIES 0.1%
GSAA Trust
0.614% due 03/25/2037	$	700		231
Morgan Stanley Mortgage Loan Trust
0.674% due 04/25/2037		700		255
				486
CORPORATE BONDS & NOTES 12.6%
American Express Bank FSB
3.150% due 12/09/2011		1,100		1,140
American Express Credit Corp.
1.708% due 05/27/2010		5,000		4,939
American International Group, Inc.
8.625% due 05/22/2038	GBP	800		316
Bank of America N.A.
0.909% due 06/15/2016	$	900		670
Citigroup, Inc.
2.125% due 04/30/2012		1,700		1,709
Comcast Corp.
1.439% due 07/14/2009		2,000		2,001
Cytec Industries, Inc.
6.000% due 10/01/2015		1,000		883
Daimler Finance North America LLC
1.466% due 08/03/2009		700		698
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		4,190		4,045
7.375% due 10/28/2009		800		793
General Electric Capital Corp.
0.609% due 12/21/2012		5,000		5,022
0.839% due 03/12/2012		800		806
0.924% due 05/08/2012		25,000		25,064
3.000% due 12/09/2011		1,100		1,136
General Mills, Inc.
1.231% due 01/22/2010		2,500		2,497
International Business Machines Corp.
1.652% due 07/28/2011		5,000		5,033
John Deere Capital Corp.
1.202% due 07/16/2010		5,000		4,980
JPMorgan Chase & Co.
0.688% due 06/25/2010		1,500		1,497
KeyBank N.A.
2.906% due 06/02/2010		400		389
Kraft Foods, Inc.
1.456% due 08/11/2010		700		694
Merrill Lynch & Co., Inc.
6.875% due 04/25/2018		2,400		2,225
Morgan Stanley
1.236% due 02/10/2012		800		810
1.950% due 06/20/2012		1,100		1,099
Ohio Power Co.
0.775% due 04/05/2010		1,400		1,385
Public Service Electric & Gas Co.
1.514% due 03/12/2010		1,800		1,798
Roche Holdings, Inc.
2.661% due 02/25/2011		700		708
SLM Corp.
1.232% due 07/27/2009		2,000		1,992
5.375% due 05/15/2014		200		161
Sovereign Bank
2.750% due 01/17/2012		800		811
SunTrust Bank
3.000% due 11/16/2011		1,400		1,445
Time Warner, Inc.
1.150% due 11/13/2009		700		698
Wachovia Bank N.A.
0.726% due 12/02/2010		1,000		987
1.806% due 05/14/2010		1,200		1,200
Wachovia Corp.
5.750% due 02/01/2018		900		885
				80,516
MORTGAGE-BACKED SECURITIES 1.6%
American Home Mortgage Assets
0.504% due 05/25/2046		429		158
0.504% due 09/25/2046		176		74
2.040% due 02/25/2047		164		54
2.260% due 11/25/2046		241		111
Banc of America Mortgage Securities, Inc.
5.433% due 02/25/2036		109		73
Bear Stearns Adjustable Rate Mortgage Trust
2.900% due 03/25/2035		6,099		5,278
Bear Stearns Alt-A Trust
0.534% due 12/25/2046		325		32
Chase Mortgage Finance Corp.
5.426% due 03/25/2037		208		127
Citigroup Mortgage Loan Trust, Inc.
4.685% due 03/25/2034		44		38
5.672% due 07/25/2046		124		66
Countrywide Alternative Loan Trust
0.524% due 07/25/2046		71		31
0.644% due 11/20/2035		193		88
2.340% due 12/25/2035		236		107
Countrywide Home Loan Mortgage Pass-Through Trust
5.364% due 10/20/2035		506		244
6.069% due 09/25/2047		82		48
Harborview Mortgage Loan Trust
0.505% due 08/21/2036		72		31
0.513% due 09/19/2046		106		45
5.849% due 08/19/2036		75		45
Indymac IMSC Mortgage Loan Trust
0.494% due 07/25/2047		171		66
Indymac Index Mortgage Loan Trust
0.514% due 06/25/2047		163		68
0.524% due 05/25/2046		53		22
0.554% due 07/25/2035		43		19
Luminent Mortgage Trust
0.484% due 12/25/2036		238		94
0.494% due 12/25/2036		126		45
0.514% due 10/25/2046		56		23
MASTR Adjustable Rate Mortgages Trust
0.524% due 04/25/2046		143		59
0.554% due 05/25/2037		486		207
Merrill Lynch Alternative Note Asset
0.614% due 03/25/2037		700		244
5.557% due 06/25/2037		580		267
Merrill Lynch Mortgage-Backed Securities Trust
5.845% due 04/25/2037		184		99
Morgan Stanley Capital I
5.692% due 04/15/2049		1,000		732
Morgan Stanley Mortgage Loan Trust
5.380% due 06/25/2036		59		49
Residential Accredit Loans, Inc.
0.564% due 08/25/2037		93		37
Sequoia Mortgage Trust
5.102% due 01/20/2047		67		38
Structured Asset Mortgage Investments, Inc.
0.534% due 05/25/2046		158		63
0.614% due 08/25/2036		800		97
WaMu Mortgage Pass-Through Certificates
2.080% due 01/25/2047		198		69
2.100% due 04/25/2047		307		128
2.139% due 03/25/2047		411		168
2.160% due 12/25/2046		189		65
5.293% due 01/25/2037		138		81
5.468% due 04/25/2037		93		56
5.575% due 12/25/2036		83		53
5.581% due 12/25/2036		300		185
5.632% due 05/25/2037		209		135
5.928% due 09/25/2036		151		97
Washington Mutual Alternative Mortgage Pass-Through Certificates
2.310% due 05/25/2046		107		45
				9,961
U.S. GOVERNMENT AGENCIES 7.2%
Freddie Mac
0.888% due 02/01/2011 (c)		753		752
0.937% due 08/05/2011 (c)		45,000		45,016
				45,768
Total United States (Cost $140,031)				136,731
SHORT-TERM INSTRUMENTS 13.5%
CERTIFICATES OF DEPOSIT 0.5%
Barclays Bank PLC
1.066% due 08/10/2009		3,500		3,498
REPURCHASE AGREEMENTS 0.6%
Barclays Capital, Inc.
0.100% due 07/01/2009		2,600		2,600
(Dated 06/30/2009. Collateralized by Freddie Mac 0.926% due 05/04/2011 valued at $2,679. Repurchase proceeds are $2,600.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		914		914
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 - 08/27/2009 valued at $935. Repurchase proceeds are $914.)
				3,514
U.S. TREASURY BILLS 2.4%
0.124% due 07/02/2009 - 07/30/2009 (a)(c)		15,070		15,069
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (b) 10.0%
		6,338,332		63,440
Total Short-Term Instruments (Cost $85,521)				85,521
Total Investments 95.6% (Cost $619,836)			$	608,123
Other Assets and Liabilities (Net) 4.4%				27,758
Net Assets 100.0%			$	635,881

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

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

(a) Coupon represents a weighted average rate.

(b) Affiliated to the Portfolio.

(c) Securities with an aggregate market value of $15,712 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(d) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Cytec Industries, Inc.	DUB	(1.000	%)	12/20/2015	2.522	%	$	1,000	$	80	$	0	$	80
Korea Development Bank	MSC	(0.940	%)	03/20/2013	1.876	%		2,350		76		0		76
									$	156	$	0	$	156

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Brazil Government International Bond	BCLY	2.100	%	01/20/2010	0.793	%	$	15,000	$	277		$	0	$	277
CEMEX SAB de C.V.	JPM	1.050	%	12/20/2016	8.875	%		2,100		(665	)		0		(665	)
Colombia Government International Bond	UBS	1.070	%	01/20/2012	1.527	%		6,500		(42	)		0		(42	)
Indonesia Government International Bond	BCLY	2.320	%	12/20/2016	3.211	%		6,500		(338	)		0		(338	)
Indonesia Government International Bond	CITI	2.280	%	06/20/2013	3.049	%		3,225		(87	)		0		(87	)
Indonesia Government International Bond	DUB	2.330	%	06/20/2013	3.049	%		3,225		(81	)		0		(81	)
Indonesia Government International Bond	RBS	2.360	%	09/20/2016	3.206	%		4,700		(226	)		0		(226	)
Indonesia Government International Bond	RBS	2.385	%	09/20/2016	3.206	%		600		(28	)		0		(28	)
Indonesia Government International Bond	RBS	2.480	%	09/20/2016	3.206	%		4,500		(185	)		0		(185	)
JSC Gazprom	BCLY	2.155	%	02/20/2013	4.938	%		70,000		(5,632	)		0		(5,632	)
JSC Gazprom	CSFB	1.580	%	06/20/2016	4.653	%		5,000		(797	)		0		(797	)
JSC Gazprom	DUB	0.860	%	11/20/2011	5.055	%		10,000		(917	)		0		(917	)
JSC Gazprom	MSC	1.050	%	04/20/2011	4.907	%		1,000		(64	)		0		(64	)
JSC Gazprom	MSC	1.140	%	07/20/2011	5.017	%		600		(42	)		0		(42	)
JSC Gazprom	MSC	1.390	%	05/20/2016	4.658	%		1,700		(284	)		0		(284	)
Mexico Government International Bond	BCLY	2.000	%	01/20/2010	1.180	%		15,000		227			0		227
Mexico Government International Bond	UBS	0.695	%	01/20/2017	2.152	%		600		(53	)		0		(53	)
Pemex Project Funding Master Trust	CITI	0.790	%	07/20/2011	1.685	%		300		(4	)		0		(4	)
Uruguay Government International Bond	DUB	1.050	%	01/20/2012	3.370	%		4,000		(205	)		0		(205	)
									$	(9,146	)	$	0	$	(9,146	)

⁽¹⁾ If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	12.780	%	01/04/2010	MSC	BRL	11,600	$	200		$	27		$	173
Pay	1-Year BRL-CDI	13.290	%	01/04/2010	MLP		21,900		517			0			517
Pay	1-Year BRL-CDI	13.840	%	01/04/2010	MLP		21,300		652			0			652
Pay	1-Year BRL-CDI	10.510	%	01/02/2012	UBS		127,000		(676	)		0			(676	)
Pay	1-Year BRL-CDI	10.835	%	01/02/2012	JPM		110,000		(234	)		0			(234	)
Pay	1-Year BRL-CDI	11.020	%	01/02/2012	UBS		58,900		(24	)		0			(24	)
Pay	1-Year BRL-CDI	11.140	%	01/02/2012	MLP		11,500		9			16			(7	)
Pay	1-Year BRL-CDI	11.650	%	01/02/2012	BCLY		162,600		871			(34	)		905
Pay	1-Year BRL-CDI	11.700	%	01/02/2012	UBS		120,000		712			0			712
Pay	1-Year BRL-CDI	11.900	%	01/02/2012	UBS		55,000		438			0			438
Pay	6-Month EUR-LIBOR	4.500	%	03/18/2014	GSC	EUR	1,400		160			(26	)		186
Pay	6-Month PLN-WIBOR	5.750	%	12/19/2017	BCLY	PLN	5,000		17			(2	)		19
Pay	28-Day MXN TIIE	9.920	%	08/12/2015	MSC	MXN	38,000		335			0			335
Pay	28-Day MXN TIIE	8.770	%	08/03/2016	CITI		5,700		23			0			23
Pay	28-Day MXN TIIE	8.780	%	08/03/2016	BCLY		5,700		23			0			23
Pay	28-Day MXN TIIE	8.720	%	09/05/2016	CITI		3,000		11			7			4
Pay	28-Day MXN TIIE	8.865	%	09/12/2016	GSC		45,000		194			0			194
Pay	28-Day MXN TIIE	8.850	%	09/21/2016	JPM		80,000		348			0			348
Pay	28-Day MXN TIIE	8.900	%	09/22/2016	CITI		52,250		239			0			239
								$	3,815		$	(12	)	$	3,827

(e) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	AUD	DUB	341	07/2009	$	3	$	0		$	3
Buy		GSC	2,680	07/2009		50		0			50
Buy	BRL	HSBC	103,864	08/2009		1,847		(152	)		1,695
Sell		HSBC	326,612	08/2009		0		(10,294	)		(10,294	)
Buy		JPM	8,682	08/2009		304		0			304
Sell		JPM	75,183	08/2009		0		(583	)		(583	)
Buy		UBS	112,852	08/2009		0		(262	)		(262	)
Sell	CLP	BCLY	5,810,676	11/2009		0		(911	)		(911	)
Buy		CITI	5,773,768	11/2009		862		0			862
Buy	CNY	BCLY	68,880	07/2009		84		0			84
Sell		BCLY	55,920	07/2009		0		(187	)		(187	)
Buy		CITI	274,424	07/2009		203		(7	)		196
Sell		CITI	144,014	07/2009		0		(454	)		(454	)
Buy		DUB	61,419	07/2009		0		(24	)		(24	)
Sell		DUB	170,844	07/2009		0		(541	)		(541	)
Sell		HSBC	55,940	07/2009		0		(190	)		(190	)
Buy		JPM	25,487	07/2009		0		(8	)		(8	)
Sell		JPM	3,492	07/2009		0		(11	)		(11	)
Buy		BCLY	2,509	09/2009		5		0			5
Sell		BCLY	97,054	09/2009		7		(231	)		(224	)
Buy		CITI	104,376	09/2009		62		0			62
Sell		CITI	118,260	09/2009		14		(290	)		(276	)
Buy		DUB	7,276	09/2009		16		0			16
Sell		DUB	25,523	09/2009		16		0			16
Buy		HSBC	72,140	09/2009		109		0			109
Sell		HSBC	34,600	09/2009		0		(69	)		(69	)
Buy		JPM	361,592	09/2009		831		0			831
Sell		JPM	71,809	09/2009		13		(187	)		(174	)
Buy		BCLY	1,797	03/2010		0		(1	)		(1	)
Buy		BOA	16,497	03/2010		0		(1	)		(1	)
Buy		CITI	12,769	03/2010		0		(8	)		(8	)
Buy		DUB	8,551	03/2010		0		(7	)		(7	)
Sell		DUB	35,542	03/2010		31		0			31
Buy		HSBC	39,430	03/2010		1		(6	)		(5	)
Buy		JPM	115	03/2010		0		0			0
Buy	CZK	BCLY	6,285	07/2009		14		0			14
Sell		BCLY	150,495	07/2009		0		(343	)		(343	)
Buy		HSBC	124,677	07/2009		701		0			701
Buy		UBS	19,533	07/2009		102		0			102
Sell		BCLY	6,285	11/2009		0		(14	)		(14	)
Sell	EUR	BCLY	711	07/2009		0		(5	)		(5	)
Buy	GBP	CITI	1,905	07/2009		187		0			187
Sell		MSC	2,317	07/2009		16		0			16
Buy		RBS	412	07/2009		32		0			32
Buy		MSC	2,317	08/2009		0		(16	)		(16	)
Buy	HUF	BCLY	598	10/2009		0		0			0
Buy		JPM	180	10/2009		0		0			0
Sell	MXN	BCLY	70,450	11/2009		0		(54	)		(54	)
Buy		CITI	858	11/2009		6		0			6
Buy		JPM	875	11/2009		3		0			3
Sell		JPM	264,761	11/2009		0		(160	)		(160	)
Sell	PLN	BCLY	27,567	11/2009		0		(455	)		(455	)
Buy		DUB	36	11/2009		1		0			1
Buy		JPM	92	11/2009		0		0			0
Sell	TRY	HSBC	854	07/2009		0		(52	)		(52	)
Buy		UBS	854	07/2009		48		0			48
Sell	ZAR	JPM	5,512	11/2009		0		(142	)		(142	)
					$	5,568	$	(15,665	)	$	(10,097	)

(f) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Brazil	$	0	$	218,171		$	0	$	218,171
Mexico		0		60,468			0		60,468
United States		0		136,731			0		136,731
Short-Term Instruments		63,440		22,081			0		85,521
Other Investments++		0		102,623			4,609		107,232
Investments, at value	$	63,440	$	540,074		$	4,609	$	608,123
Financial Derivative Instruments+++	$	0	$	(15,260	)	$	0	$	(15,260	)
Total	$	63,440	$	524,814		$	4,609	$	592,863

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
Other Investments++	$	0	$	(215	)	$	9	$	2	$	515	$	4,298	$	4,609
Investments, at value	$	0	$	(215	)	$	9	$	2	$	515	$	4,298	$	4,609
Financial Derivative Instruments+++	$	0	$	0		$	0	$	0	$	0	$	0	$	0
Total	$	0	$	(215	)	$	9	$	2	$	515	$	4,298	$	4,609

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

High Yield Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
BANK LOAN OBLIGATIONS 5.4%
Allison Transmission, Inc.
3.070% due 08/07/2014	$	2,657	$	2,119
3.080% due 08/07/2014		244		195
Cengage Learning, Inc.
2.820% due 07/05/2014		1,277		1,078
CSC Holdings, Inc.
9.750% due 08/01/2013		2,500		2,512
Daimler Finance North America LLC
4.320% due 08/03/2012		4,237		3,945
First Data Corp.
3.060% due 09/24/2014		85		64
3.065% due 09/24/2014		1,402		1,054
Ford Motor Co.
3.320% due 12/16/2013		1,952		1,420
4.140% due 12/16/2013		982		714
Freescale Semiconductor, Inc.
12.500% due 12/15/2014		334		295
Hawaiian Telcom Communications, Inc.
4.750% due 06/01/2024 (a)		1,136		673
Headwaters, Inc.
5.600% due 04/30/2011		321		269
Idearc, Inc.
4.250% due 11/17/2014		1,922		830
Nuveen Investments, Inc.
3.308% due 11/01/2014		680		531
3.310% due 11/01/2014		23		18
3.310% due 11/13/2014		778		607
Roundy’s Supermarket, Inc.
3.060% due 10/27/2011		383		367
3.080% due 10/27/2011		484		463
Texas Competitive Electric Holdings Co. LLC
3.810% due 10/10/2014		28		20
3.821% due 10/10/2014		4,373		3,121
7.000% due 10/10/2014		64		46
Tribune Co.
5.000% due 06/04/2024 (a)		119		41
5.250% due 06/04/2024 (a)		592		182
Weather Investments II SARL
8.357% due 12/21/2011		388		389
Wrigley WM Jr. Co.
6.500% due 10/06/2014		975		980
Total Bank Loan Obligations (Cost $26,636)				21,933
CORPORATE BONDS & NOTES 77.5%
BANKING & FINANCE 26.2%
AES Ironwood LLC
8.857% due 11/30/2025		1,825		1,588
AES Red Oak LLC
8.540% due 11/30/2019		663		597
9.200% due 11/30/2029		2,100		1,785
AIG Life Holdings U.S., Inc.
7.500% due 08/11/2010		450		429
American Express Co.
7.000% due 03/19/2018		1,475		1,435
American General Finance Corp.
4.625% due 09/01/2010		3,200		2,423
6.900% due 12/15/2017		1,800		976
American International Group, Inc.
4.950% due 03/20/2012		525		357
5.850% due 01/16/2018		2,475		1,311
8.175% due 05/15/2058		2,475		707
8.250% due 08/15/2018		4,825		2,843
Barclays Bank PLC
6.050% due 12/04/2017		1,025		890
7.434% due 09/29/2049		1,250		839
10.179% due 06/12/2021		5,680		6,071
Caelus Re Ltd.
6.918% due 06/07/2011		250		227
Capital One Bank USA N.A.
8.800% due 07/15/2019		1,900		1,944
CIT Group Funding Co. of Canada
4.650% due 07/01/2010		1,400		1,190
5.600% due 11/02/2011		1,300		955
CIT Group, Inc.
0.759% due 03/12/2010		25		21
1.306% due 11/03/2010		2,075		1,548
1.322% due 04/27/2011		75		53
1.352% due 07/28/2011		175		119
4.125% due 11/03/2009		775		735
4.250% due 02/01/2010		375		337
4.750% due 12/15/2010		350		275
5.125% due 09/30/2014		400		236
5.200% due 11/03/2010		100		79
5.600% due 04/27/2011		650		488
5.800% due 07/28/2011		175		131
Citigroup Capital XXI
8.300% due 12/21/2077		1,725		1,347
Citigroup, Inc.
5.000% due 09/15/2014		4,450		3,736
5.500% due 02/15/2017		2,400		1,958
8.400% due 04/29/2049 (a)		7,000		5,259
El Paso Performance-Linked Trust
7.750% due 07/15/2011		3,700		3,650
Ford Motor Credit Co. LLC
5.700% due 01/15/2010		1,621		1,565
7.000% due 10/01/2013		7,825		6,299
7.875% due 06/15/2010		525		499
8.000% due 06/01/2014		2,175		1,762
Fresenius U.S. Finance II, Inc.
9.000% due 07/15/2015		1,225		1,283
General Electric Capital Corp.
6.875% due 01/10/2039		2,400		2,164
GMAC LLC
8.000% due 11/01/2031		6,050		4,149
Goldman Sachs Group, Inc.
6.750% due 10/01/2037		5,750		5,121
HBOS PLC
6.750% due 05/21/2018		1,400		1,058
HCP, Inc.
5.650% due 12/15/2013		250		228
5.950% due 09/15/2011		100		98
6.000% due 01/30/2017		125		106
International Lease Finance Corp.
0.881% due 05/24/2010		275		251
5.000% due 04/15/2010		375		344
5.450% due 03/24/2011		2,700		2,265
5.625% due 09/15/2010		1,375		1,236
5.875% due 05/01/2013		300		227
6.625% due 11/15/2013		625		482
Lehman Brothers Holdings, Inc.
5.625% due 01/24/2013 (a)		830		130
6.625% due 01/18/2012 (a)		75		11
6.750% due 12/28/2017 (a)		4,725		0
6.875% due 05/02/2018 (a)		1,675		276
7.500% due 05/11/2038 (a)		775		0
NSG Holdings LLC
7.750% due 12/15/2025		4,450		3,582
Rabobank Nederland NV
11.000% due 12/29/2049		4,875		5,437
Royal Bank of Scotland Group PLC
7.640% due 03/29/2049		9,200		3,730
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		2,400		1,779
SLM Corp.
1.392% due 01/27/2014		175		122
5.125% due 08/27/2012		1,250		1,070
8.450% due 06/15/2018		935		801
SMFG Preferred Capital USD 3 Ltd.
9.500% due 07/29/2049		800		777
Tenneco, Inc.
8.125% due 11/15/2015		170		135
10.250% due 07/15/2013		250		238
UBS Preferred Funding Trust V
6.243% due 05/29/2049		2,100		1,240
Universal City Florida Holding Co. I & II
5.778% due 05/01/2010		3,460		2,846
Ventas Realty LP
6.500% due 06/01/2016		50		45
6.750% due 04/01/2017		1,430		1,291
7.125% due 06/01/2015		73		71
Wells Fargo & Co.
7.980% due 03/29/2049		8,125		6,754
Wells Fargo Capital XIII
7.700% due 12/29/2049		1,300		1,080
				107,091
INDUSTRIALS 34.6%
Altria Group, Inc.
9.250% due 08/06/2019		625		703
American Stores Co.
8.000% due 06/01/2026		5,000		4,388
AmeriGas Partners LP
7.125% due 05/20/2016		750		690
7.250% due 05/20/2015		1,000		942
Apria Healthcare Group, Inc.
11.250% due 11/01/2014		550		534
ARAMARK Corp.
4.528% due 02/01/2015		1,775		1,451
8.500% due 02/01/2015		795		775
ArvinMeritor, Inc.
8.125% due 09/15/2015		3,000		1,590
Berry Plastics Corp.
5.881% due 02/15/2015		3,000		2,662
Biomet, Inc.
10.375% due 10/15/2017 (b)		1,350		1,313
11.625% due 10/15/2017		5,500		5,418
Cascades, Inc.
7.250% due 02/15/2013		3,650		3,203
CC Holdings GS V LLC
7.750% due 05/01/2017		800		784
Chart Industries, Inc.
9.125% due 10/15/2015		2,100		1,964
Charter Communications Operating LLC
10.375% due 04/30/2014 (a)		1,000		962
Chesapeake Energy Corp.
7.000% due 08/15/2014		900		837
7.500% due 09/15/2013		200		192
7.500% due 06/15/2014		250		238
9.500% due 02/15/2015		1,525		1,544
Cie Generale de Geophysique-Veritas
9.500% due 05/15/2016		225		226
Colorado Interstate Gas Co.
5.950% due 03/15/2015		60		59
6.800% due 11/15/2015		1,000		1,032
Compagnie Générale de Géophysique-Veritas
7.750% due 05/15/2017		2,445		2,237
Cooper-Standard Automotive, Inc.
7.000% due 12/15/2012		2,325		465
CSC Holdings, Inc.
7.625% due 04/01/2011		2,000		1,990
7.625% due 07/15/2018		600		559
7.875% due 02/15/2018		100		94
8.500% due 06/15/2015		2,950		2,913
Delhaize America, Inc.
8.050% due 04/15/2027		600		617
Delta Air Lines, Inc.
7.779% due 07/02/2013		776		714
Dex Media West LLC
8.500% due 08/15/2010 (a)		25		18
9.875% due 08/15/2013 (a)		2,050		318
DISH DBS Corp.
6.375% due 10/01/2011		50		49
7.000% due 10/01/2013		100		96
7.125% due 02/01/2016		6,775		6,352
Dynegy Roseton/Danskammer Pass-Through Trust Series A
7.270% due 11/08/2010		190		191
El Paso Corp.
6.950% due 06/01/2028		200		151
7.000% due 05/15/2011		75		74
7.250% due 06/01/2018		400		371
8.050% due 10/15/2030		3,125		2,614
El Paso Natural Gas Co.
8.375% due 06/15/2032		125		136
Enterprise Products Operating LLC
7.034% due 01/15/2068		1,160		857
8.375% due 08/01/2066		4,405		3,550
First Data Corp.
9.875% due 09/24/2015		3,820		2,731
Ford Motor Co.
9.215% due 09/15/2021		800		468
Freeport-McMoRan Copper & Gold, Inc.
8.375% due 04/01/2017		2,375		2,396
Freescale Semiconductor, Inc.
8.875% due 12/15/2014		2,400		1,224
9.125% due 12/15/2014 (b)		1,967		738
Fresenius Medical Care Capital Trust IV
7.875% due 06/15/2011		275		281
Georgia-Pacific LLC
7.000% due 01/15/2015		460		432
7.125% due 01/15/2017		225		210
7.250% due 06/01/2028		750		564
8.000% due 01/15/2024		5,950		5,087
8.125% due 05/15/2011		200		201
8.250% due 05/01/2016		890		868
Goodyear Tire & Rubber Co.
5.010% due 12/01/2009		825		821
8.625% due 12/01/2011		600		594
10.500% due 05/15/2016		1,225		1,243
Harrah’s Operating Co., Inc.
10.000% due 12/15/2018		3,312		1,921
HCA, Inc.
8.500% due 04/15/2019		775		763
9.125% due 11/15/2014		1,635		1,623
9.250% due 11/15/2016		8,050		7,949
9.625% due 11/15/2016 (b)		600		596
9.875% due 02/15/2017		150		152
Host Hotels & Resorts LP
6.375% due 03/15/2015		250		218
6.875% due 11/01/2014		25		23
Host Marriott LP
6.750% due 06/01/2016		225		196
Ineos Group Holdings PLC
8.500% due 02/15/2016		1,050		331
Intelsat Corp.
9.250% due 08/15/2014		50		49
9.250% due 06/15/2016		95		91
Intelsat Jackson Holdings Ltd.
9.500% due 06/15/2016		1,500		1,515
Intergen NV
9.000% due 06/30/2017		4,030		3,839
JC Penney Corp., Inc.
6.875% due 10/15/2015		200		188
7.125% due 11/15/2023		650		575
7.950% due 04/01/2017		1,075		1,055
JET Equipment Trust
7.630% due 08/15/2012 (a)		152		61
10.000% due 06/15/2012 (a)		353		193
Kerr-McGee Corp.
6.950% due 07/01/2024		1,450		1,348
Legrand France S.A.
8.500% due 02/15/2025		670		578
Lender Processing Services, Inc.
8.125% due 07/01/2016		300		296
MGM Mirage
10.375% due 05/15/2014		25		26
11.125% due 11/15/2017		25		27
Nalco Co.
7.750% due 11/15/2011		393		395
New Albertson’s, Inc.
7.500% due 02/15/2011		25		25
Newfield Exploration Co.
7.125% due 05/15/2018		500		457
Norampac Industries, Inc.
6.750% due 06/01/2013		1,000		860
Nortel Networks Ltd.
6.963% due 07/15/2011 (a)		2,480		849
OPTI Canada, Inc.
7.875% due 12/15/2014		50		33
8.250% due 12/15/2014		2,110		1,403
Owens-Brockway Glass Container, Inc.
7.375% due 05/15/2016		650		634
Quebecor Media, Inc.
7.750% due 03/15/2016		2,000		1,823
Quicksilver Resources, Inc.
11.750% due 01/01/2016		1,225		1,274
Range Resources Corp.
7.250% due 05/01/2018		100		94
7.500% due 10/01/2017		100		96
Reynolds American, Inc.
7.750% due 06/01/2018		200		193
RH Donnelley, Inc.
11.750% due 05/15/2015 (a)		4,300		2,000
Royal Caribbean Cruises Ltd.
7.000% due 06/15/2013		700		615
8.750% due 02/02/2011		675		648
SandRidge Energy, Inc.
8.625% due 04/01/2015 (b)		4,335		3,912
SemGroup LP
8.750% due 11/15/2015 (a)		6,730		303
Sensata Technologies BV
8.000% due 05/01/2014		4,570		2,268
Smurfit Kappa Funding PLC
7.750% due 04/01/2015		200		156
Sonat, Inc.
7.625% due 07/15/2011		2,000		1,970
Southern Natural Gas Co.
5.900% due 04/01/2017		125		122
Speedway Motorsports, Inc.
8.750% due 06/01/2016		250		254
Starwood Hotels & Resorts Worldwide, Inc.
6.750% due 05/15/2018		650		558
7.875% due 05/01/2012		25		23
7.875% due 10/15/2014		100		94
Sungard Data Systems, Inc.
9.125% due 08/15/2013		4,299		4,084
Teck Resources Ltd.
9.750% due 05/15/2014		1,275		1,321
10.250% due 05/15/2016		1,350		1,416
10.750% due 05/15/2019		2,300		2,476
Tennessee Gas Pipeline Co.
7.500% due 04/01/2017		75		79
8.375% due 06/15/2032		375		409
TRW Automotive, Inc.
7.000% due 03/15/2014		2,600		1,885
United Rentals North America, Inc.
6.500% due 02/15/2012		1,425		1,389
Verso Paper Holdings LLC
9.125% due 08/01/2014		2,500		1,175
Williams Cos., Inc.
7.625% due 07/15/2019		1,900		1,879
Wind Acquisition Finance S.A.
10.750% due 12/01/2015		1,650		1,658
Windstream Corp.
8.625% due 08/01/2016		3,100		2,984
WMG Acquisition Corp.
9.500% due 06/15/2016		1,350		1,350
Wynn Las Vegas LLC
6.625% due 12/01/2014		900		778
				141,286
UTILITIES 16.7%
AES Corp.
8.000% due 10/15/2017		125		117
8.000% due 06/01/2020		200		180
9.750% due 04/15/2016		225		229
Berry Petroleum Co.
10.250% due 06/01/2014		300		304
Energy Future Holdings Corp.
10.875% due 11/01/2017		1,820		1,338
11.250% due 11/01/2017 (b)		928		570
Frontier Communications Corp.
7.450% due 07/01/2035		325		232
8.250% due 05/01/2014		300		285
9.000% due 08/15/2031		3,800		3,154
Ipalco Enterprises, Inc.
7.250% due 04/01/2016		2,700		2,592
8.625% due 11/14/2011		1,000		1,010
Kinder Morgan Finance Co. ULC
5.350% due 01/05/2011		25		25
5.700% due 01/05/2016		2,500		2,156
Knight, Inc.
5.150% due 03/01/2015		600		524
6.500% due 09/01/2012		25		25
Midwest Generation LLC
8.560% due 01/02/2016		7,513		7,363
NGPL PipeCo. LLC
7.119% due 12/15/2017		6,000		6,298
NRG Energy, Inc.
7.250% due 02/01/2014		3,905		3,798
7.375% due 02/01/2016		4,080		3,871
PSEG Energy Holdings LLC
8.500% due 06/15/2011		475		482
Qwest Capital Funding, Inc.
7.000% due 08/03/2009		1,350		1,353
Qwest Communications International, Inc.
7.250% due 02/15/2011		25		24
7.500% due 02/15/2014		1,950		1,789
Qwest Corp.
3.879% due 06/15/2013		1,000		899
8.375% due 05/01/2016		700		679
8.875% due 03/15/2012		2,560		2,592
RRI Energy, Inc.
6.750% due 12/15/2014		1,759		1,704
7.625% due 06/15/2014		350		322
7.875% due 06/15/2017		200		180
Sithe Independence Funding Corp.
9.000% due 12/30/2013		3,370		3,297
Sprint Capital Corp.
6.900% due 05/01/2019		4,800		3,996
7.625% due 01/30/2011		75		75
8.375% due 03/15/2012		2,150		2,128
8.750% due 03/15/2032		850		688
Sprint Nextel Corp.
6.000% due 12/01/2016		5,400		4,442
Telesat Canada
11.000% due 11/01/2015		2,800		2,884
Tenaska Alabama Partners LP
7.000% due 06/30/2021		2,082		1,803
Texas Competitive Electric Holdings Co. LLC
3.823% due 10/10/2014		32		23
10.250% due 11/01/2015		2,665		1,672
10.500% due 11/01/2016 (b)		528		246
Virgin Media Finance PLC
9.500% due 08/15/2016		875		866
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (i)		1,851		1,736
				67,951
Total Corporate Bonds & Notes (Cost $367,789)				316,328
CONVERTIBLE BONDS & NOTES 2.7%
Advanced Micro Devices, Inc.
6.000% due 05/01/2015		650		308
Affiliated Managers Group, Inc.
3.950% due 08/15/2038		550		473
Chesapeake Energy Corp.
2.250% due 12/15/2038		5,425		3,357
2.500% due 05/15/2037		125		89
LifePoint Hospitals, Inc.
3.500% due 05/15/2014		1,000		808
National City Corp.
4.000% due 02/01/2011		850		839
Nortel Networks Corp.
1.750% due 04/15/2012 (a)		1,875		628
2.125% due 04/15/2014 (a)		1,550		519
Peabody Energy Corp.
4.750% due 12/15/2066		1,025		742
Qwest Communications International, Inc.
3.500% due 11/15/2025		2,850		2,822
Ventas, Inc.
3.875% due 11/15/2011		300		286
Total Convertible Bonds & Notes (Cost $15,504)				10,871
U.S. GOVERNMENT AGENCIES 2.6%
Fannie Mae
6.000% due 12/01/2038		840		879
6.000% due 12/01/2038 (f)		8,552		8,949
Freddie Mac
0.702% due 03/09/2011 (e)		219		220
0.926% due 05/04/2011 (e)		361		362
0.937% due 08/05/2011 (e)		251		251
Total U.S. Government Agencies (Cost $10,620)				10,661
U.S. TREASURY OBLIGATIONS 0.1%
U.S. Treasury Notes
0.875% due 04/30/2011 (f)		363		362
1.125% due 06/30/2011 (f)		8		8
Total U.S. Treasury Obligations (Cost $371)				370
MORTGAGE-BACKED SECURITIES 1.8%
Adjustable Rate Mortgage Trust
4.281% due 10/25/2035		394		214
American Home Mortgage Assets
0.544% due 09/25/2046		1,056		230
2.260% due 11/25/2046		1,366		627
6.250% due 06/25/2037		850		423
Banc of America Alternative Loan Trust
0.714% due 05/25/2035		219		140
Bear Stearns Alt-A Trust
4.493% due 01/25/2035		16		8
Countrywide Alternative Loan Trust
0.494% due 05/25/2047		77		29
0.525% due 03/20/2046		110		45
0.574% due 07/25/2046		500		42
2.340% due 12/25/2035		288		131
5.648% due 10/25/2035		175		74
Countrywide Home Loan Mortgage Pass-Through Trust
0.634% due 03/25/2035		445		203
CSAB Mortgage-Backed Trust
6.172% due 06/25/2036		897		478
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
5.000% due 10/25/2018		506		484
Downey Savings & Loan Association Mortgage Loan Trust
0.563% due 03/19/2045		68		30
First Horizon Alternative Mortgage Securities
6.000% due 05/25/2036		424		322
GSR Mortgage Loan Trust
5.056% due 04/25/2035		9		5
Harborview Mortgage Loan Trust
0.503% due 01/19/2038		72		31
0.553% due 03/19/2036		1,181		499
Indymac Index Mortgage Loan Trust
5.222% due 08/25/2035		349		224
5.302% due 09/25/2035		242		150
JPMorgan Mortgage Trust
6.000% due 08/25/2037		514		366
Nomura Asset Acceptance Corp.
6.138% due 03/25/2047		500		295
Residential Accredit Loans, Inc.
0.474% due 01/25/2037		1,972		796
0.644% due 03/25/2037		963		337
6.321% due 02/25/2036		932		504
Residential Asset Securitization Trust
6.000% due 05/25/2037		367		231
Structured Asset Mortgage Investments, Inc.
0.534% due 05/25/2036		72		28
WaMu Mortgage Pass-Through Certificates
5.752% due 10/25/2036		682		403
Total Mortgage-Backed Securities (Cost $8,238)				7,349
ASSET-BACKED SECURITIES 0.3%
Carrington Mortgage Loan Trust
0.464% due 08/25/2036		100		33
Credit-Based Asset Servicing & Securitization LLC
0.424% due 04/25/2036		428		394
5.721% due 01/25/2037		1,300		481
GSAMP Trust
0.464% due 08/25/2036		100		22
Mid-State Trust
7.791% due 03/15/2038		30		21
Morgan Stanley ABS Capital I
0.454% due 05/25/2037		200		52
Residential Asset Securities Corp.
0.464% due 08/25/2036		100		27
Total Asset-Backed Securities (Cost $1,003)				1,030
FOREIGN CURRENCY-DENOMINATED ISSUES 3.1%
American International Group, Inc.
1.556% due 04/26/2011	EUR	200		176
Beverage Packaging Holdings Luxembourg II S.A.
8.000% due 12/15/2016		75		92
Bombardier, Inc.
7.250% due 11/15/2016		625		754
Chesapeake Energy Corp.
6.250% due 01/15/2017		2,000		2,483
CIT Group, Inc.
4.250% due 09/22/2011		1,000		982
Fresenius Finance BV
5.500% due 01/31/2016		175		227
Lighthouse International Co. S.A.
8.000% due 04/30/2014		165		110
Nordic Telephone Co. Holdings ApS
8.250% due 05/01/2016		1,900		2,625
OI European Group BV
6.875% due 03/31/2017		300		370
Societe Generale
6.999% due 12/29/2049		900		865
UBS AG
7.152% due 12/29/2049		3,100		2,729
UPC Holding BV
7.750% due 01/15/2014		605		764
8.625% due 01/15/2014		400		516
Total Foreign Currency-Denominated Issues (Cost $15,488)				12,693
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.0%
American International Group, Inc.
8.500% due 08/01/2011		20,900		199
Total Convertible Preferred Stocks (Cost $1,310)				199
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 4.2%
REPURCHASE AGREEMENTS 0.2%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	838		838
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $855. Repurchase proceeds are $838.)
U.S. TREASURY BILLS 0.1%
0.127% due 07/02/2009 - 07/16/2009 (c)(e)		370		370
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 3.9%
		1,591,556		15,930
Total Short-Term Instruments (Cost $17,138)				17,138
Total Investments 97.7% (Cost $464,097)			$	398,572
Written Options (h) (0.0%) (Premiums $159)				(55	)
Other Assets and Liabilities (Net) 2.3%				9,555
Net Assets 100.0%			$	408,072

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) Affiliated to the Portfolio.

(e) Securities with an aggregate market value of $1,203 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) Securities with an aggregate market value of $1,306 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized (Depreciation)
90-Day Eurodollar December Futures	Long	12/2009	8	$	0
90-Day Eurodollar March Futures	Long	03/2011	198		(222	)
				$	(222	)

(g) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Berkshire Hathaway Finance Corp.	GSC	1.000	%	06/20/2014	2.311	%	$	1,700	$	(96	)	$	(94	)	$	(2	)
Chesapeake Energy Corp.	GSC	5.000	%	09/20/2014	7.108	%		200		(16	)		(16	)		0
Chrysler Financial	DUB	5.250	%	09/20/2012	8.590	%		1,000		(82	)		0			(82	)
Community Health Systems, Inc.	GSC	5.000	%	03/20/2014	6.463	%		4,050		(214	)		(370	)		156
El Paso Corp.	CSFB	5.000	%	09/20/2014	6.970	%		500		(38	)		(38	)		0
El Paso Corp.	CSFB	5.000	%	09/20/2014	6.974	%		1,000		(74	)		(76	)		2
General Electric Capital Corp.	BCLY	5.000	%	06/20/2014	4.176	%		800		28			28			0
General Electric Capital Corp.	BOA	5.000	%	06/20/2014	4.176	%		4,400		152			135			17
General Electric Capital Corp.	CITI	4.100	%	12/20/2013	4.336	%		1,350		(10	)		0			(10	)
General Electric Capital Corp.	DUB	5.000	%	06/20/2014	4.176	%		1,300		44			53			(9	)
Georgia-Pacific LLC	BOA	5.000	%	06/20/2014	4.705	%		1,500		19			(154	)		173
RRI Energy, Inc.	GSC	5.000	%	09/20/2014	9.460	%		300		(41	)		(55	)		14
SLM Corp.	BCLY	5.000	%	12/20/2013	8.248	%		1,100		(114	)		(121	)		7
SLM Corp.	BOA	5.000	%	12/20/2010	8.657	%		400		(19	)		(33	)		14
SLM Corp.	BOA	5.000	%	12/20/2011	8.365	%		2,800		(194	)		(224	)		30
SLM Corp.	DUB	5.000	%	06/20/2010	8.719	%		600		(19	)		(34	)		15
SLM Corp.	DUB	5.000	%	06/20/2012	8.228	%		500		(38	)		(65	)		27
SLM Corp.	GSC	5.000	%	06/20/2010	8.719	%		400		(13	)		(24	)		11
SLM Corp.	GSC	7.600	%	03/20/2012	8.608	%		2,650		(55	)		0			(55	)
									$	(780	)	$	(1,088	)	$	308

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
CDX.HY-9 3-Year Index 25-35%	MLP	4.530	%	12/20/2010	$	4,800	$	(277	)	$	0	$	(277	)
CDX.HY-9 5-Year Index 25-35%	MLP	3.230	%	12/20/2012		800		(214	)		0		(214	)
							$	(491	)	$	0	$	(491	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(h) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Put - CME 90-Day Eurodollar September Futures	$	98.500	09/14/2009	414	$	99	$	19
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	24		4		1
					$	103	$	20

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009	$	1,200	$	4	$	2
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		1,000		9		5
Put - OTC 7-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		1,000		8		6
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		2,300		8		5
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		3,000		27		17
									$	56	$	35

(i) Restricted securities as of June 30, 2009:

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	$	1,915	$	1,736	0.43	%

(j) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	6.000	%	07/01/2039	$	9,100	$	9,448	$	9,511

(k) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	EUR	BCLY	9,168	07/2009	$	0	$	(69	)	$	(69	)
Sell	GBP	CITI	1,014	07/2009		0		(99	)		(99	)
Buy		MSC	1,014	07/2009		0		(7	)		(7	)
Sell		MSC	1,014	08/2009		7		0			7
					$	7	$	(175	)	$	(168	)

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)			Fair Value at 06/30/2009
Bank Loan Obligations	$	0		$	21,933		$	0		$	21,933
Corporate Bonds & Notes		0			308,294			8,034			316,328
Other Investments++		16,129			44,182			0			60,311
Investments, at value	$	16,129		$	374,409		$	8,034		$	398,572
Short Sales, at value	$	0		$	(9,511	)	$	0		$	(9,511	)
Financial Derivative Instruments+++	$	(222	)	$	(323	)	$	(83	)	$	(628	)
Total	$	15,907		$	364,575		$	7,951		$	388,433

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)			Total Realized Gain/(Loss)			Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	1,772		$	5,680		$	(38	)	$	1		$	655	$	(36	)	$	8,034
Other Investments++		158			(250	)		0			(576	)		668		0			0
Investments, at value	$	1,930		$	5,430		$	(38	)	$	(575	)	$	1,323	$	(36	)	$	8,034
Financial Derivative Instruments+++	$	(450	)	$	0		$	0		$	0		$	367	$	0		$	(83	)
Total	$	1,480		$	5,430		$	(38	)	$	(575	)	$	1,690	$	(36	)	$	7,951

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

International Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
AUSTRALIA 4.5%
Commonwealth Bank of Australia
1.108% due 06/25/2014	$	3,700	$	3,688
4.500% due 02/20/2014	AUD	40,000		30,475
National Australia Bank Ltd.
4.250% due 03/26/2012		20,000		15,803
4.750% due 02/12/2014		15,000		11,559
Suncorp-Metway Ltd.
0.989% due 12/17/2010	$	15,000		14,976
Total Australia (Cost $67,274)				76,501
CANADA 6.7%
Canada Housing Trust No. 1
0.810% due 09/15/2014	CAD	29,600		25,525
4.050% due 03/15/2011		52,900		47,680
4.600% due 09/15/2011		29,500		27,015
Province of Quebec Canada
6.250% due 06/01/2032		10,000		9,938
Royal Bank of Canada
0.649% due 06/08/2010	$	4,000		4,003
Total Canada (Cost $115,006)				114,161
FINLAND 0.8%
Sampo Housing Loan Bank PLC
2.500% due 09/23/2010	EUR	10,000		14,018
Total Finland (Cost $14,966)				14,018
FRANCE 8.6%
Credit Agricole S.A.
0.714% due 05/28/2010	$	10,700		10,645
Dexia Credit Local
1.262% due 09/23/2011		400		399
2.375% due 09/23/2011		9,100		9,167
France Government Bond
4.250% due 04/25/2019	EUR	2,300		3,361
5.000% due 04/25/2012		24,700		37,595
France Treasury Notes
3.750% due 09/12/2010		15,254		22,061
3.750% due 01/12/2013		28,100		41,417
Societe Financement de l’Economie Francaise
3.500% due 11/24/2011		15,000		21,807
Total France (Cost $144,086)				146,452
GERMANY 5.0%
Kreditanstalt fuer Wiederaufbau
0.620% due 11/26/2010 (h)	EUR	1,290		1,825
3.875% due 10/22/2010		35,000		50,683
Republic of Germany
4.250% due 07/04/2014		21,700		32,837
Total Germany (Cost $84,557)				85,345
ITALY 0.1%
Siena Mortgages SpA
1.498% due 12/16/2038	EUR	1,555		2,101
Total Italy (Cost $1,932)				2,101
JERSEY, CHANNEL ISLANDS 0.1%
Lloyds TSB Capital
7.375% due 12/29/2049	EUR	1,536		1,476
Total Jersey, Channel Islands (Cost $1,399)				1,476
NETHERLANDS 5.0%
Delphinus BV
1.830% due 06/25/2066	EUR	119		163
Holland Euro-Denominated Mortgage-Backed Series
1.680% due 04/18/2012		19		26
LeasePlan Corp. NV
3.375% due 12/10/2010		10,000		14,270
Netherlands Government Bond
5.500% due 07/15/2010		37,177		54,602
Siemens Financieringsmaatschappij NV
0.956% due 08/14/2009	$	16,550		16,535
Total Netherlands (Cost $83,727)				85,596
NEW ZEALAND 0.1%
New Zealand Government CPI Linked Bond
4.500% due 02/15/2016	NZD	1,694		1,581
Total New Zealand (Cost $855)				1,581
NORWAY 1.3%
DnB NOR Bank ASA
1.209% due 10/13/2009	$	7,900		7,851
DnB NOR Boligkreditt
4.375% due 11/15/2010	EUR	10,000		14,360
Total Norway (Cost $23,132)				22,211
PORTUGAL 0.6%
Banco Espirito Santo S.A.
4.375% due 01/25/2011	EUR	7,500		10,804
Total Portugal (Cost $11,416)				10,804
SPAIN 0.9%
Bankinter S.A.
5.000% due 05/14/2010	EUR	10,000		14,310
Total Spain (Cost $15,406)				14,310
SUPRANATIONAL 0.5%
European Investment Bank
5.375% due 05/20/2014	AUD	5,200		4,074
5.500% due 12/07/2009	GBP	2,300		3,862
Total Supranational (Cost $7,357)				7,936
SWITZERLAND 0.3%
UBS AG
1.927% due 05/05/2010	$	5,000		5,016
Total Switzerland (Cost $4,992)				5,016
UNITED KINGDOM 0.6%
Bank of Scotland PLC
1.152% due 07/17/2009	$	600		600
Bauhaus Securities Ltd.
1.704% due 10/30/2052	EUR	1,918		2,614
Lloyds TSB Bank PLC
6.350% due 10/29/2049		3,714		2,735
Rexam PLC
6.750% due 06/01/2013	$	4,000		3,879
Total United Kingdom (Cost $7,460)				9,828
UNITED STATES 59.8%
ASSET-BACKED SECURITIES 7.1%
ACE Securities Corp.
0.364% due 07/25/2036	$	9		9
0.404% due 06/25/2037		3,868		2,740
AFC Home Equity Loan Trust
1.024% due 12/22/2027		34		19
American Express Credit Account Master Trust
0.819% due 02/15/2012		297		297
Ameriquest Mortgage Securities, Inc.
0.544% due 11/25/2035		577		453
Amortizing Residential Collateral Trust
0.604% due 07/25/2032		58		31
1.014% due 10/25/2031		520		320
Argent Securities, Inc.
0.364% due 10/25/2036		6		6
0.404% due 07/25/2036		3,227		2,924
Asset-Backed Funding Certificates
0.374% due 01/25/2037		848		701
0.664% due 06/25/2034		998		490
Asset-Backed Securities Corp. Home Equity
0.394% due 05/25/2037		1,571		1,252
Bear Stearns Asset-Backed Securities Trust
0.364% due 11/25/2036		51		45
0.394% due 10/25/2036		619		549
0.404% due 06/25/2047		3,326		2,529
0.514% due 06/25/2036		9,320		7,592
0.644% due 01/25/2036		355		325
0.764% due 03/25/2043		591		537
0.804% due 06/25/2036		1,900		668
0.974% due 10/25/2032		484		299
BNC Mortgage Loan Trust
0.414% due 05/25/2037		1,121		845
Carrington Mortgage Loan Trust
0.364% due 01/25/2037		1,013		843
0.474% due 01/25/2036		305		289
0.634% due 10/25/2035		1,362		1,058
CIT Group Home Equity Loan Trust
0.584% due 06/25/2033		34		25
Citicorp Residential Mortgage Securities, Inc.
0.404% due 03/25/2037		381		379
Citigroup Mortgage Loan Trust, Inc.
0.359% due 05/15/2036		789		518
0.414% due 10/25/2036		282		264
0.424% due 03/25/2037		1,963		1,358
Countrywide Asset-Backed Certificates
0.364% due 05/25/2037		1,737		1,644
0.364% due 03/25/2047		40		38
0.364% due 06/25/2047		1,416		1,314
0.384% due 06/25/2047		454		421
0.394% due 06/25/2037		1,051		972
0.394% due 10/25/2047		842		740
0.414% due 07/25/2037		20,000		11,243
0.414% due 08/25/2037		1,600		879
0.414% due 09/25/2037		1,757		1,569
0.414% due 05/25/2047		141		123
0.414% due 09/25/2047		4,717		4,135
0.424% due 10/25/2046		1,382		1,302
0.504% due 06/25/2036		7,154		4,846
1.054% due 05/25/2032		153		64
Credit-Based Asset Servicing & Securitization LLC
0.374% due 11/25/2036		579		473
0.384% due 01/25/2037		785		377
0.404% due 12/25/2037		293		279
CS First Boston Mortgage Securities Corp.
0.934% due 01/25/2032		208		136
Equity One Asset-Backed Securities, Inc.
0.614% due 04/25/2034		553		210
Fieldstone Mortgage Investment Corp.
0.404% due 07/25/2036		236		233
First Franklin Mortgage Loan Asset-Backed Certificates
0.364% due 11/25/2036		408		384
0.384% due 12/25/2036		581		514
0.684% due 12/25/2034		79		63
0.694% due 10/25/2034		4		4
Fremont Home Loan Trust
0.364% due 10/25/2036		896		560
0.374% due 01/25/2037		1,220		792
GSAMP Trust
0.354% due 10/25/2046		75		71
0.384% due 09/25/2036		117		112
0.604% due 03/25/2034		14		14
HFC Home Equity Loan Asset-Backed Certificates
0.665% due 09/20/2033		1,765		1,321
Home Equity Asset Trust
0.914% due 11/25/2032		1		1
HSI Asset Securitization Corp. Trust
0.364% due 10/25/2036		514		303
0.364% due 12/25/2036		458		278
Indymac Residential Asset-Backed Trust
0.364% due 11/25/2036		9		9
0.374% due 04/25/2037		478		454
0.394% due 07/25/2037		197		179
JPMorgan Mortgage Acquisition Corp.
0.364% due 07/25/2036		276		262
0.377% due 11/25/2036		66		62
0.464% due 03/25/2037		10,000		3,614
Lehman XS Trust
0.394% due 11/25/2046		143		119
0.464% due 04/25/2037		356		238
Long Beach Mortgage Loan Trust
0.374% due 10/25/2036		49		45
0.594% due 10/25/2034		28		18
MASTR Asset-Backed Securities Trust
0.374% due 11/25/2036		646		600
0.424% due 02/25/2036		182		178
0.444% due 10/25/2036		3,193		2,730
Merrill Lynch Mortgage Investors, Inc.
0.384% due 08/25/2036		176		175
0.384% due 07/25/2037		80		74
0.394% due 09/25/2037		98		84
0.424% due 03/25/2037		1,547		1,473
Morgan Stanley ABS Capital I
0.364% due 09/25/2036		61		59
0.364% due 10/25/2036		486		452
0.374% due 05/25/2037		1,265		894
0.404% due 01/25/2037		20,000		5,748
0.414% due 10/25/2036		10,000		5,135
0.414% due 11/25/2036		20,000		11,606
0.424% due 10/25/2036		600		284
Nationstar Home Equity Loan Trust
0.374% due 06/25/2037		1,236		1,108
Park Place Securities, Inc.
0.574% due 09/25/2035		185		118
Residential Asset Mortgage Products, Inc.
0.394% due 10/25/2036		41		40
Residential Asset Securities Corp.
0.384% due 11/25/2036		328		322
0.394% due 10/25/2036		13		13
Saxon Asset Securities Trust
0.374% due 10/25/2046		38		36
Securitized Asset-Backed Receivables LLC Trust
0.354% due 01/25/2037		366		309
0.364% due 09/25/2036		244		215
SLM Student Loan Trust
2.592% due 04/25/2023		19,644		20,060
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		829		447
0.394% due 01/25/2037		29		28
Structured Asset Securities Corp.
0.364% due 10/25/2036		143		130
0.714% due 05/25/2034		20		16
4.900% due 04/25/2035		40		24
Washington Mutual Asset-Backed Certificates
0.374% due 10/25/2036		237		195
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		96		95
0.544% due 10/25/2035		118		112
				120,540
CORPORATE BONDS & NOTES 16.0%
American Express Bank FSB
0.438% due 05/29/2012		2,000		1,778
American Express Credit Corp.
0.459% due 10/04/2010		800		770
Bank of America Corp.
1.399% due 10/14/2016		10,000		7,579
Bank of America N.A.
1.162% due 06/23/2010		1,800		1,792
1.538% due 05/12/2010		6,556		6,497
Bear Stearns Cos. LLC
0.974% due 05/18/2010		1,200		1,199
BellSouth Corp.
4.950% due 04/26/2021		2,200		2,248
Black & Decker Corp.
5.750% due 11/15/2016		5,000		4,712
Cadbury Schweppes U.S. Finance LLC
5.125% due 10/01/2013		7,000		6,921
Cardinal Health, Inc.
6.000% due 06/15/2017		8,000		7,526
Caterpillar Financial Services Corp.
1.129% due 06/25/2010		8,800		8,795
1.354% due 06/24/2011		2,300		2,273
Citigroup Funding, Inc.
2.036% due 05/07/2010		8,685		8,508
Citigroup, Inc.
0.631% due 12/28/2009		12,540		12,421
1.070% due 08/13/2010		100		98
6.500% due 08/19/2013		300		292
Comcast Corp.
1.439% due 07/14/2009		2,200		2,201
Computer Sciences Corp.
6.500% due 03/15/2018		6,000		6,141
Credit Suisse USA, Inc.
1.083% due 08/15/2010		17,073		16,982
Fortune Brands, Inc.
5.375% due 01/15/2016		5,700		5,237
General Electric Capital Corp.
1.202% due 10/21/2010		3,400		3,341
General Mills, Inc.
1.231% due 01/22/2010		2,200		2,197
Goldman Sachs Group, Inc.
0.398% due 11/16/2009		6,000		5,996
0.856% due 03/02/2010		7,500		7,291
0.901% due 06/28/2010		20,320		20,216
HSBC Finance Corp.
1.098% due 06/01/2016		3,000		2,297
1.381% due 01/15/2014		5,000		4,060
Lehman Brothers Holdings, Inc.
3.053% due 11/10/2009 (a)		14,020		2,138
Macy’s Retail Holdings, Inc.
5.900% due 12/01/2016		6,000		4,895
Marriott International, Inc.
5.810% due 11/10/2015		2,750		2,412
6.375% due 06/15/2017		6,000		5,710
Maytag Corp.
5.000% due 05/15/2015		5,700		4,949
Merrill Lynch & Co., Inc.
0.712% due 03/23/2010		1,719		1,692
0.996% due 08/14/2009		4,300		4,300
3.188% due 05/12/2010		25,000		24,866
5.450% due 02/05/2013		100		97
Mohawk Industries, Inc.
6.625% due 01/15/2016		6,000		5,339
Morgan Stanley
3.006% due 05/14/2010		17,600		17,553
6.000% due 04/28/2015		200		200
National Rural Utilities Cooperative Finance Corp.
1.982% due 07/01/2010		956		957
NiSource Finance Corp.
6.150% due 03/01/2013		5,000		4,976
Nucor Corp.
5.750% due 12/01/2017		5,700		5,933
RR Donnelley & Sons Co.
4.950% due 04/01/2014		5,800		5,056
Starwood Hotels & Resorts Worldwide, Inc.
6.750% due 05/15/2018		5,000		4,294
Time Warner, Inc.
1.150% due 11/13/2009		1,100		1,097
Valero Energy Corp.
6.125% due 06/15/2017		6,000		5,793
Wells Fargo & Co.
1.239% due 01/12/2011		20,530		20,035
				271,660
MORTGAGE-BACKED SECURITIES 6.1%
American Home Mortgage Investment Trust
4.290% due 10/25/2034		55		39
Banc of America Mortgage Securities, Inc.
5.000% due 05/25/2034		155		152
Bear Stearns Adjustable Rate Mortgage Trust
2.500% due 08/25/2035		414		363
4.625% due 10/25/2035		327		259
Bear Stearns Alt-A Trust
4.787% due 08/25/2036		100		44
5.731% due 02/25/2036		311		138
5.738% due 01/25/2036		3,646		1,825
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		1,154		890
CC Mortgage Funding Corp.
0.494% due 07/25/2036		275		127
Citigroup Mortgage Loan Trust, Inc.
4.669% due 08/25/2035		300		222
Countrywide Alternative Loan Trust
0.395% due 09/20/2046		50		49
0.474% due 02/25/2047		401		152
0.494% due 05/25/2047		2,543		956
0.495% due 02/20/2047		14,576		5,675
0.504% due 08/25/2046		603		238
0.504% due 11/25/2046		1,057		409
0.525% due 03/20/2046		1,251		514
0.574% due 12/25/2035		213		97
0.594% due 12/25/2035		812		382
0.594% due 02/25/2037		407		186
0.614% due 08/25/2035		1,438		655
0.614% due 12/25/2035		2,521		1,111
0.634% due 11/25/2035		16,828		7,315
0.664% due 09/25/2035		5,217		2,379
Countrywide Home Loan Mortgage Pass-Through Trust
0.544% due 05/25/2035		520		232
0.604% due 03/25/2035		2,343		1,044
0.604% due 04/25/2035		29		13
0.614% due 03/25/2035		163		71
0.634% due 03/25/2035		12,513		5,229
0.644% due 02/25/2035		39		20
0.694% due 09/25/2034		45		23
4.620% due 08/25/2034		185		148
Credit Suisse Mortgage Capital Certificates
5.311% due 12/15/2039		500		344
CS First Boston Mortgage Securities Corp.
6.500% due 04/25/2033		75		70
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.414% due 10/25/2036		70		60
Downey Savings & Loan Association Mortgage Loan Trust
0.523% due 03/19/2045		2,193		954
0.573% due 08/19/2045		802		354
0.643% due 08/19/2045		4,690		1,936
GMAC Mortgage Corp. Loan Trust
5.500% due 09/25/2034		86		86
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		1,957		1,612
0.394% due 01/25/2047		1,168		887
0.544% due 06/25/2045		4,810		2,024
GSR Mortgage Loan Trust
6.000% due 03/25/2032		3		3
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		3,373		3,118
0.503% due 01/19/2038		1,216		520
0.533% due 05/19/2035		2,522		1,131
0.553% due 06/19/2035		697		327
0.553% due 01/19/2036		362		160
0.553% due 03/19/2036		4,665		1,970
0.563% due 01/19/2036		5,884		2,457
0.623% due 11/19/2035		824		397
0.643% due 09/19/2035		65		28
0.655% due 06/20/2035		218		109
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		3,316		3,112
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		166		154
0.414% due 01/25/2037		39		38
JPMorgan Chase Commercial Mortgage Securities Corp.
5.429% due 12/12/2043		300		243
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		54		48
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		100		60
Residential Accredit Loans, Inc.
0.414% due 09/25/2046		164		129
0.524% due 04/25/2046		354		134
0.614% due 08/25/2035		278		127
Sequoia Mortgage Trust
0.663% due 10/19/2026		54		41
0.665% due 07/20/2033		2,878		2,313
2.224% due 10/20/2034		1,215		800
Structured Asset Mortgage Investments, Inc.
0.384% due 08/25/2036		93		89
0.893% due 07/19/2034		19		10
TBW Mortgage-Backed Pass-Through Certificates
0.414% due 09/25/2036		15		15
Thornburg Mortgage Securities Trust
0.424% due 11/25/2046		324		291
0.434% due 09/25/2046		303		279
0.584% due 03/25/2044		310		178
Wachovia Bank Commercial Mortgage Trust
0.399% due 06/15/2020		31,469		23,174
0.409% due 09/15/2021		531		383
WaMu Mortgage Pass-Through Certificates
0.544% due 04/25/2045		251		129
0.604% due 10/25/2045		98		51
0.624% due 01/25/2045		62		29
0.634% due 01/25/2045		60		30
0.634% due 07/25/2045		69		32
0.854% due 12/25/2027		161		120
2.150% due 12/25/2046		411		177
2.340% due 08/25/2046		56,238		20,137
2.540% due 11/25/2042		11		6
2.740% due 08/25/2042		43		27
2.840% due 11/25/2046		1,207		790
2.877% due 02/27/2034		42		34
3.127% due 10/25/2046		138		62
Wells Fargo Mortgage-Backed Securities Trust
3.581% due 09/25/2034		905		788
4.500% due 11/25/2018		173		168
4.694% due 04/25/2036		67		54
4.950% due 03/25/2036		399		283
				104,039
U.S. GOVERNMENT AGENCIES 30.1%
Fannie Mae
0.429% due 03/25/2034		44		40
0.464% due 08/25/2034		25		24
0.664% due 09/25/2042		131		122
0.714% due 06/25/2029		25		24
0.966% due 08/05/2010 (d)		9,190		9,208
4.287% due 11/01/2034		173		175
4.500% due 05/25/2015 - 02/25/2021		1,074		1,097
4.934% due 12/01/2034		62		64
5.000% due 11/25/2032 - 02/01/2037		7,727		7,986
5.111% due 12/01/2030		5		5
5.500% due 09/25/2024 - 04/01/2039		123,427		127,547
6.000% due 06/01/2031 - 07/25/2044		251,132		262,854
6.000% due 09/01/2038 (d)		26,000		27,210
6.060% due 03/01/2023		475		516
6.500% due 05/01/2028 - 07/01/2029		301		324
7.000% due 09/25/2023		93		100
8.800% due 01/25/2019		135		146
Freddie Mac
0.464% due 09/25/2035		5,100		2,754
0.549% due 02/15/2019		39,664		38,939
0.594% due 09/25/2031		78		71
0.641% due 08/24/2010 (d)		2,011		2,016
0.702% due 03/09/2011 (d)		1,720		1,726
0.769% due 12/15/2031		7		7
0.888% due 02/01/2011 (d)		3,276		3,271
0.926% due 05/04/2011 (d)		7,512		7,531
0.937% due 08/05/2011 (d)		612		612
2.638% due 10/25/2044		265		261
2.639% due 02/25/2045		121		116
2.838% due 07/25/2044		83		82
4.491% due 10/01/2036		311		323
4.500% due 02/15/2017 - 02/15/2020		526		545
5.000% due 03/15/2016 - 12/15/2031		6,408		6,616
6.500% due 07/15/2028		2,011		2,148
Ginnie Mae
4.125% due 11/20/2022 - 11/20/2024		751		764
4.375% due 03/20/2022 - 02/20/2025		193		198
4.625% due 08/20/2022 - 09/20/2026		515		528
5.375% due 04/20/2022 - 06/20/2030		1,681		1,738
6.000% due 08/20/2034		668		715
7.500% due 09/15/2025 - 11/15/2030		2,209		2,398
8.500% due 05/15/2028 - 07/15/2030		23		26
Small Business Administration
4.625% due 02/01/2025		139		143
5.090% due 10/01/2025		75		78
				511,048
U.S. TREASURY OBLIGATIONS 0.5%
U.S. Treasury Bonds
5.500% due 08/15/2028		1,400		1,616
U.S. Treasury Notes
0.875% due 04/30/2011 (e)		7,388		7,369
				8,985
Total United States (Cost $1,193,242)				1,016,272
SHORT-TERM INSTRUMENTS 5.6%
CERTIFICATES OF DEPOSIT 0.9%
Calyon Financial, Inc.
0.636% due 06/29/2010		15,000		14,826
REPURCHASE AGREEMENTS 0.3%
State Street Bank and Trust Co.
0.010% due 07/01/2009		4,888		4,888
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $4,989. Repurchase proceeds are $4,888.)
U.S. TREASURY BILLS 0.5%
0.113% due 07/02/2009 - 07/30/2009 (b)(d)(e)		8,815		8,815
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 3.9%
		6,598,538		66,045
Total Short-Term Instruments (Cost $94,742)				94,574
PURCHASED OPTIONS (g) 0.4% (Cost $5,124)				7,235
Total Investments 100.9% (Cost $1,876,673)			$	1,715,417
Other Assets and Liabilities (Net) (0.9%)				(15,617	)
Net Assets 100.0%			$	1,699,800

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) Affiliated to the Portfolio.

(d) Securities with an aggregate market value of $25,838 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) Securities with an aggregate market value of $10,515 and cash of $190 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2010	1,257	$	(55	)
90-Day Euribor June Futures	Long	06/2010	500		(97	)
90-Day Euribor March Futures	Long	03/2010	1,158		1,265
90-Day Euribor September Futures	Long	09/2010	1,201		1,017
Euro-Bund 10-Year Bond September Futures	Long	09/2009	138		31
U.S. Treasury 5-Year Note September Futures	Long	09/2009	14		(27	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	1,653		791
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	317		(267	)
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures	Long	09/2010	3,483		1,239
				$	3,897

(f) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Black & Decker Corp.	BOA	(0.950	%)	12/20/2016	1.565	%	$	5,000	$	189		$	147		$	42
Cadbury Schweppes U.S. Finance LLC	BOA	(0.460	%)	12/20/2013	0.340	%		7,000		(37	)		0			(37	)
Cardinal Health, Inc.	DUB	(0.610	%)	06/20/2017	0.486	%		8,000		(70	)		36			(106	)
Computer Sciences Corp.	BOA	(1.160	%)	03/20/2018	0.573	%		6,000		(265	)		(91	)		(174	)
Fortune Brands, Inc.	BOA	(0.812	%)	03/20/2016	1.558	%		5,700		242			237			5
Macy’s Retail Holdings, Inc.	DUB	(2.780	%)	12/20/2016	3.692	%		6,000		298			4			294
Marriott International, Inc.	BOA	(1.650	%)	06/20/2017	1.919	%		6,000		99			610			(511	)
Marriott International, Inc.	DUB	(4.230	%)	12/20/2015	1.999	%		2,750		(334	)		0			(334	)
Maytag Corp.	DUB	(0.650	%)	06/20/2015	0.820	%		5,700		51			3			48
Mohawk Industries, Inc.	UBS	(1.550	%)	03/20/2016	3.260	%		6,000		532			326			206
NiSource Finance Corp.	JPM	(2.960	%)	03/20/2013	2.390	%		5,000		(100	)		0			(100	)
Nucor Corp.	BOA	(0.365	%)	12/20/2017	0.576	%		5,700		87			399			(312	)
Rexam PLC	CITI	(4.000	%)	06/20/2013	2.041	%		4,000		(289	)		0			(289	)
RR Donnelley & Sons Co.	BOA	(1.030	%)	06/20/2014	3.574	%		5,800		614			242			372
Starwood Hotels & Resorts Worldwide, Inc.	BOA	(1.490	%)	06/20/2018	3.234	%		5,000		545			566			(21	)
Valero Energy Corp.	CITI	(1.930	%)	06/20/2017	2.469	%		6,000		197			0			197
									$	1,759		$	2,479		$	(720	)

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
General Electric Capital Corp.	BCLY	1.020	%	09/20/2010	3.944	%	$	22,500	$	(774	)	$	0	$	(774	)
General Electric Capital Corp.	BCLY	0.935	%	12/20/2010	4.048	%		6,000		(262	)		0		(262	)
General Electric Capital Corp.	DUB	1.070	%	09/20/2010	3.944	%		12,500		(423	)		0		(423	)
									$	(1,459	)	$	0	$	(1,459	)

⁽¹⁾ If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month AUD Bank Bill	4.500	%	06/15/2011	DUB	AUD	261,500	$	(774	)	$	143		$	(917	)
Pay	3-Month USD-LIBOR	4.000	%	06/17/2014	RBS	$	2,000		101			132			(31	)
Pay	3-Month USD-LIBOR	3.000	%	12/16/2039	BNP		3,300		(715	)		128			(843	)
Pay	6-Month AUD Bank Bill	4.500	%	06/15/2012	DUB	AUD	685,000		(10,825	)		(2,623	)		(8,202	)
Pay	6-Month EUR-LIBOR	3.500	%	09/16/2014	JPM	EUR	8,000		263			(39	)		302
Pay	6-Month GBP-LIBOR	6.000	%	09/18/2009	GSC	GBP	710,000		23,547			(2,588	)		26,135
Pay	6-Month GBP-LIBOR	5.500	%	09/20/2009	JPM		725,000		21,409			(2,073	)		23,482
								$	33,006		$	(6,920	)	$	39,926

(g) Purchased options outstanding on June 30, 2009:

Foreign Currency Options

Description	Exercise Price		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC USD versus JPY	JPY	105.200	03/31/2010	$	17,000	$	716	$	182
Put - OTC USD versus JPY		105.200	03/31/2010		17,000		716		1,818
Call - OTC USD versus JPY		105.400	03/31/2010		44,000		1,846		456
Put - OTC USD versus JPY		105.400	03/31/2010		44,000		1,846		4,779
						$	5,124	$	7,235

(h) Restricted securities as of June 30, 2009:

Issuer Description	Coupon		Maturity Date	Acquisition Date	Cost		Market Value		Market Value as Percentage of Net Assets
Kreditanstalt fuer Wiederaufbau	0.620	%	11/26/2010	05/19/2009	$	1,744	$	1,825	0.11	%

(i) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	DUB	90,833	07/2009	$	0	$	(834	)	$	(834	)
Sell		GSC	5,123	07/2009		21		0			21
Buy		JPM	48,621	07/2009		662		(107	)		555
Buy	BRL	HSBC	38,790	08/2009		0		(324	)		(324	)
Sell		HSBC	5,229	08/2009		0		(267	)		(267	)
Buy		JPM	194,105	08/2009		0		(1,543	)		(1,543	)
Sell	CAD	JPM	21,173	07/2009		710		0			710
Sell		JPM	76,057	08/2009		4,035		0			4,035
Sell		RBS	31,566	08/2009		347		0			347
Buy		UBS	40,260	08/2009		0		(1,382	)		(1,382	)
Buy	CHF	RBS	8,392	07/2009		0		(76	)		(76	)
Buy		RBC	8,393	10/2009		0		(37	)		(37	)
Sell	EUR	BCLY	1,732	07/2009		0		(26	)		(26	)
Sell		BNP	70,000	07/2009		0		(248	)		(248	)
Sell		CITI	1,266	07/2009		0		(20	)		(20	)
Sell		GSC	174,783	07/2009		1,543		(123	)		1,420
Sell		HSBC	2,399	07/2009		0		(23	)		(23	)
Buy		JPM	11,410	07/2009		6		0			6
Sell		RBC	9,664	07/2009		0		(204	)		(204	)
Buy		RBS	13,087	07/2009		32		0			32
Buy	GBP	BCLY	38,923	07/2009		4,418		0			4,418
Sell		BCLY	2,131	07/2009		0		(105	)		(105	)
Buy		CITI	5,460	07/2009		0		(18	)		(18	)
Sell		CITI	95,269	07/2009		7		(8,833	)		(8,826	)
Sell		GSC	1,553	07/2009		0		(63	)		(63	)
Buy		RBS	9,183	07/2009		168		(9	)		159
Sell		RBS	19,007	07/2009		0		(1,466	)		(1,466	)
Buy		UBS	17,600	07/2009		922		0			922
Sell		JPM	17,332	08/2009		137		0			137
Sell		MSC	1,805	08/2009		12		0			12
Sell		RBC	5,422	08/2009		61		0			61
Sell		RBS	17,119	08/2009		0		(12	)		(12	)
Sell	HKD	BCLY	3	09/2009		0		0			0
Sell		BOA	7	09/2009		0		0			0
Sell		CITI	4	09/2009		0		0			0
Sell		DUB	4	09/2009		0		0			0
Sell		JPM	4	09/2009		0		0			0
Sell	JPY	BNP	3,090,907	07/2009		0		(35	)		(35	)
Buy		MSC	1,374,857	07/2009		272		0			272
Sell		MSC	1,716,050	08/2009		0		0			0
Buy	KRW	BCLY	945,248	07/2009		39		0			39
Buy		BOA	549,035	07/2009		25		0			25
Buy		CITI	555,649	07/2009		23		0			23
Buy		DUB	165,927	07/2009		6		0			6
Buy	MXN	CITI	489	11/2009		4		0			4
Buy	NZD	CSFB	12,488	07/2009		47		0			47
Buy		GSC	2,658	07/2009		73		0			73
Sell		GSC	6,088	07/2009		0		(167	)		(167	)
Sell		RBS	21	07/2009		0		0			0
Buy	SEK	BNP	11,492	07/2009		0		(10	)		(10	)
Buy		RBS	11,492	10/2009		1		0			1
Buy	SGD	CITI	3,758	07/2009		34		0			34
Buy		HSBC	37,621	07/2009		0		(44	)		(44	)
Sell		HSBC	44,665	07/2009		0		(1,053	)		(1,053	)
Buy		JPM	3,287	07/2009		87		0			87
					$	13,692	$	(17,029	)	$	(3,337	)

(j) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Canada	$	0	$	114,161	$	0	$	114,161
France		0		146,452		0		146,452
Germany		0		85,345		0		85,345
Netherlands		0		85,596		0		85,596
United States		0		1,016,272		0		1,016,272
Short-Term Instruments		66,045		28,529		0		94,574
Other Investments++		0		173,017		0		173,017
Investments, at value	$	66,045	$	1,649,372	$	0	$	1,715,417
Financial Derivative Instruments+++	$	3,897	$	34,410	$	0	$	38,307
Total	$	69,942	$	1,683,782	$	0	$	1,753,724

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
Other Investments++	$	7	$	(7	)	$	0	$	1	$	(1	)	$	0	$	0
Investments, at value	$	7	$	(7	)	$	0	$	1	$	(1	)	$	0	$	0
Financial Derivative Instruments+++	$	12	$	0		$	0	$	0	$	(12	)	$	0	$	0
Total	$	19	$	(7	)	$	0	$	1	$	(13	)	$	0	$	0

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Investment Grade Corporate Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 91.4%
BANKING & FINANCE 53.2%
AGFC Capital Trust I
6.000% due 01/15/2067	$	3,080	$	647
Allstate Corp.
5.000% due 08/15/2014		500		496
Allstate Life Global Funding Trusts
5.375% due 04/30/2013		30,500		31,574
American Express Bank FSB
0.399% due 07/13/2010		2,900		2,825
5.500% due 04/16/2013		19,400		19,061
6.000% due 09/13/2017		20,200		18,455
American Express Centurion Bank
0.399% due 07/13/2010		28,800		28,032
American Express Co.
6.150% due 08/28/2017		3,000		2,771
6.800% due 09/01/2066		1,405		1,013
7.000% due 03/19/2018		41,200		40,071
8.150% due 03/19/2038		12,400		13,130
American Express Credit Corp.
0.459% due 10/04/2010		1,000		963
5.875% due 05/02/2013		46,505		46,233
American Express Travel Related Services Co., Inc.
0.520% due 06/01/2011		6,600		5,857
American International Group, Inc.
0.709% due 03/20/2012		3,000		1,563
1.094% due 01/29/2010		2,100		1,790
1.217% due 10/18/2011		3,500		2,260
4.250% due 05/15/2013		1,000		580
4.950% due 03/20/2012		9,000		6,124
5.450% due 05/18/2017		8,090		4,264
5.850% due 01/16/2018		27,880		14,771
6.250% due 03/15/2037		16,000		4,200
8.175% due 05/15/2058		116,500		33,259
8.250% due 08/15/2018		14,700		8,662
ANZ National International Ltd.
6.200% due 07/19/2013		37,000		38,161
AXA S.A.
6.463% due 12/14/2018		10,000		6,310
BAC Capital Trust XIV
5.630% due 12/31/2049		20		10
Bank of America Corp.
1.399% due 10/14/2016		4,700		3,562
4.750% due 08/01/2015		2,400		2,174
5.375% due 08/15/2011		25		26
5.625% due 10/14/2016		300		271
5.650% due 05/01/2018		6,940		6,143
5.750% due 12/01/2017		8,790		7,839
6.000% due 09/01/2017		3,100		2,823
7.375% due 05/15/2014		385		398
7.625% due 06/01/2019		2,885		2,903
Bank of America N.A.
6.000% due 06/15/2016		100		91
Bank of Scotland PLC
0.689% due 12/08/2010		23,450		22,345
1.152% due 07/17/2009		300		300
Banque Paribas
6.950% due 07/22/2013		3,850		4,014
Barclays Bank PLC
0.787% due 03/23/2017		12,000		9,690
5.450% due 09/12/2012		21,700		22,648
6.050% due 12/04/2017		22,425		19,477
6.750% due 05/22/2019		900		894
6.860% due 09/29/2049		360		216
7.434% due 09/29/2049		21,500		14,425
10.179% due 06/12/2021		32,280		34,500
Bear Stearns Cos. LLC
0.902% due 09/09/2009		25		25
1.093% due 08/15/2011		1,645		1,603
1.392% due 07/16/2009		100		100
1.507% due 07/19/2010		500		500
4.650% due 07/02/2018		17,800		15,768
5.550% due 01/22/2017		7,630		7,082
6.400% due 10/02/2017		30,645		30,748
6.950% due 08/10/2012		3,760		4,091
7.250% due 02/01/2018		10,200		10,768
Berkshire Hathaway Finance Corp.
5.400% due 05/15/2018		90		93
BNP Paribas
0.832% due 12/09/2016		1,000		875
5.186% due 06/29/2049		17,700		11,546
7.195% due 06/29/2049		5,600		4,098
Branch Banking & Trust Co.
0.949% due 09/13/2016		23,000		18,118
Canadian Oil Sands Ltd.
7.750% due 05/15/2019		1,000		1,024
Capital One Financial Corp.
5.500% due 06/01/2015		15,000		13,891
Caterpillar Financial Services Corp.
1.129% due 06/25/2010		550		550
1.354% due 06/24/2011		5,000		4,941
CBA Capital Trust II
6.024% due 03/29/2049		8,265		5,503
CIT Group, Inc.
1.170% due 02/13/2012		7,700		4,546
1.352% due 07/28/2011		5,000		3,403
4.750% due 12/15/2010		5,000		3,926
5.400% due 03/07/2013		980		608
Citigroup Capital XXI
8.300% due 12/21/2077		51,000		39,832
Citigroup, Inc.
0.944% due 05/18/2011		16,400		15,511
1.004% due 05/18/2010		22,650		22,247
1.070% due 08/13/2010		100		98
4.125% due 02/22/2010		695		695
5.000% due 09/15/2014		15,140		12,712
5.500% due 04/11/2013		5,010		4,701
6.000% due 08/15/2017		15,800		13,795
6.125% due 11/21/2017		14,310		12,566
6.125% due 08/25/2036		8,900		6,639
6.500% due 08/19/2013		2,930		2,850
6.625% due 06/15/2032		10,000		8,212
8.400% due 04/29/2049 (a)		78,485		58,967
8.500% due 05/22/2019		410		418
CNA Financial Corp.
5.850% due 12/15/2014		2,000		1,608
6.000% due 08/15/2011		2,000		1,904
Countrywide Financial Corp.
6.250% due 05/15/2016		4,000		3,554
Countrywide Home Loans, Inc.
4.000% due 03/22/2011		1,000		987
Credit Agricole S.A.
6.637% due 05/29/2049		24,035		14,139
Credit Suisse New York
5.000% due 05/15/2013		23,000		23,542
Credit Suisse USA, Inc.
0.846% due 03/02/2011		3,000		2,947
1.371% due 01/15/2010		1,800		1,797
6.125% due 11/15/2011		170		182
Danske Bank A/S
5.914% due 12/29/2049		10,100		6,268
FIA Card Services N.A.
7.125% due 11/15/2012		1,300		1,371
First Union Capital I
7.935% due 01/15/2027		10,525		9,549
Fleet Capital Trust V
1.613% due 12/18/2028		3,000		1,596
General Electric Capital Corp.
1.357% due 01/08/2016		200		163
4.250% due 12/01/2010		30		30
5.250% due 10/19/2012		75		77
5.625% due 09/15/2017		5,060		4,850
5.875% due 01/14/2038		37,300		29,572
6.375% due 11/15/2067		2,685		1,794
6.750% due 03/15/2032		9,900		8,902
6.875% due 01/10/2039		9,055		8,165
GMAC LLC
6.750% due 12/01/2014		100		77
6.875% due 08/28/2012		100		82
8.000% due 11/01/2031		120		82
Goldman Sachs Capital II
5.793% due 12/29/2049		15,010		9,153
Goldman Sachs Group, Inc.
0.397% due 12/23/2009		3,500		3,497
0.901% due 06/28/2010		3,350		3,333
1.059% due 03/22/2016		6,100		5,174
1.187% due 02/06/2012		3,600		3,440
1.501% due 07/22/2015		10,000		8,622
1.639% due 01/12/2015		2,800		2,457
4.500% due 06/15/2010		125		128
5.300% due 02/14/2012		200		207
5.350% due 01/15/2016		100		95
5.450% due 11/01/2012		50		52
5.700% due 09/01/2012		800		838
5.750% due 10/01/2016		22,997		22,550
5.950% due 01/18/2018		13,000		12,630
6.150% due 04/01/2018		20,170		19,670
6.250% due 09/01/2017		24,100		23,883
6.450% due 05/01/2036		9,700		8,240
6.750% due 10/01/2037		45,200		40,253
7.500% due 02/15/2019		2,100		2,252
Governor & Co. of the Bank of Ireland
0.663% due 12/18/2009		2,000		1,982
HBOS Capital Funding LP
6.071% due 06/29/2049		14,500		5,290
HBOS PLC
5.375% due 11/29/2049		8,800		4,257
6.000% due 11/01/2033		1,265		757
6.750% due 05/21/2018		30,700		23,208
HSBC Bank USA N.A.
4.625% due 04/01/2014		500		492
7.000% due 01/15/2039		23,600		24,995
HSBC Capital Funding LP
4.610% due 12/29/2049		21,750		15,349
HSBC Finance Corp.
0.719% due 03/12/2010		2,500		2,459
0.979% due 09/14/2012		1,500		1,321
1.098% due 06/01/2016		500		383
1.166% due 08/09/2011		20,500		18,562
1.369% due 04/24/2012		2,350		2,077
6.750% due 05/15/2011		130		134
HSBC Holdings PLC
6.500% due 05/02/2036		7,900		7,729
6.500% due 09/15/2037		27,100		26,264
6.800% due 06/01/2038		11,200		11,277
7.625% due 05/17/2032		730		749
International Lease Finance Corp.
5.250% due 01/10/2013		5,000		3,784
JPMorgan Chase & Co.
4.750% due 05/01/2013		135		137
5.125% due 09/15/2014		135		135
5.150% due 10/01/2015		200		197
5.750% due 01/02/2013		4,125		4,259
6.000% due 01/15/2018		300		298
6.400% due 05/15/2038		17,585		17,664
7.900% due 04/29/2049		21,100		18,516
JPMorgan Chase Bank N.A.
0.959% due 06/13/2016		5,000		4,083
6.000% due 10/01/2017		30,000		29,247
JPMorgan Chase Capital XIII
1.548% due 09/30/2034		3,000		1,699
JPMorgan Chase Capital XVIII
6.950% due 08/17/2036		200		169
JPMorgan Chase Capital XX
6.550% due 09/15/2066		1,200		956
Lehman Brothers Holdings, Inc.
2.907% due 11/16/2009 (a)		9,946		1,517
2.950% due 05/25/2010 (a)		6,772		1,033
4.375% due 11/30/2010 (a)		2,850		435
4.500% due 07/26/2010 (a)		140		21
5.250% due 02/06/2012 (a)		75		11
5.875% due 11/15/2017 (a)		8,150		1,243
6.875% due 05/02/2018 (a)		16,693		2,754
6.875% due 07/17/2037 (a)		2,100		0
7.020% due 05/12/2014 (a)		5,190		791
7.500% due 05/11/2038 (a)		10,000		1
Lloyds Banking Group PLC
5.920% due 09/29/2049		13,000		4,615
6.267% due 11/29/2049		10,000		3,404
Marsh & McLennan Cos., Inc.
5.150% due 09/15/2010		2,000		2,005
MassMutual Global Funding II
3.625% due 07/16/2012 (b)		10,000		10,012
MBNA Capital B
1.828% due 02/01/2027		2,000		1,055
Merrill Lynch & Co., Inc.
1.236% due 02/05/2010		100		99
3.188% due 05/12/2010		740		736
5.000% due 01/15/2015		500		457
5.450% due 02/05/2013		600		585
5.450% due 07/15/2014		3,575		3,425
6.050% due 08/15/2012		14,000		14,051
6.400% due 08/28/2017		20,500		18,175
6.875% due 04/25/2018		17,940		16,631
MetLife, Inc.
5.000% due 11/24/2013		700		699
6.400% due 12/15/2066		20		14
6.750% due 06/01/2016		1,565		1,595
Metropolitan Life Global Funding I
0.894% due 05/17/2010		250		248
1.140% due 08/13/2012		2,250		2,107
1.358% due 06/25/2010		4,000		3,988
5.125% due 04/10/2013		9,000		9,165
Mizuho Financial Group Cayman Ltd.
5.790% due 04/15/2014		1,500		1,547
Morgan Stanley
0.409% due 01/15/2010		2,500		2,478
1.357% due 01/18/2011		3,200		3,101
1.399% due 01/09/2012		2,000		1,804
1.449% due 01/09/2014		24,240		21,786
1.557% due 10/18/2016		15,750		12,761
1.611% due 10/15/2015		5,255		4,510
3.006% due 05/14/2010		735		733
4.750% due 04/01/2014		2,070		1,958
5.450% due 01/09/2017		5,000		4,676
5.550% due 04/27/2017		930		867
5.625% due 01/09/2012		4,512		4,620
5.750% due 10/18/2016		10,000		9,601
6.000% due 05/13/2014		600		608
6.000% due 04/28/2015		17,345		17,329
6.250% due 08/28/2017		4,800		4,652
6.600% due 04/01/2012		1,060		1,123
6.625% due 04/01/2018		54,400		54,321
7.300% due 05/13/2019		1,700		1,766
MUFG Capital Finance 1 Ltd.
6.346% due 07/29/2049		26,900		23,578
National Australia Bank Ltd.
5.350% due 06/12/2013		20,000		20,624
National City Bank
0.704% due 06/18/2010		1,100		1,075
5.250% due 12/15/2016		10,000		9,369
National City Bank of Kentucky
6.300% due 02/15/2011		2,350		2,379
National City Bank of Pennsylvania
7.250% due 10/21/2011		853		860
National Rural Utilities Cooperative Finance Corp.
4.750% due 03/01/2014		150		155
7.250% due 03/01/2012		1,125		1,230
10.375% due 11/01/2018		760		954
New York Life Global Funding
5.250% due 10/16/2012		500		530
Pacific Life Global Funding
5.150% due 04/15/2013		9,000		8,981
Pricoa Global Funding I
1.139% due 01/30/2012		300		282
Princeton University
4.950% due 03/01/2019		3,000		3,042
Rabobank Nederland NV
11.000% due 12/29/2049		42,608		47,521
Resona Bank Ltd.
5.850% due 09/29/2049		6,900		5,216
Royal Bank of Scotland Group PLC
0.874% due 08/29/2017		8,200		5,859
1.339% due 04/11/2016		40,000		29,881
6.990% due 10/29/2049		26,135		12,822
7.640% due 03/29/2049		600		243
9.118% due 03/31/2049		10,045		8,188
Santander Issuances S.A. Unipersonal
5.805% due 06/20/2016		600		483
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		5,900		4,372
Simon Property Group LP
6.750% due 05/15/2014		5,000		5,031
SLM Corp.
0.829% due 03/15/2011		200		172
1.232% due 07/27/2009		13,840		13,781
1.252% due 07/26/2010		300		272
1.322% due 10/25/2011		1,000		811
1.392% due 01/27/2014		954		664
4.000% due 01/15/2010		110		107
4.500% due 07/26/2010		100		94
8.450% due 06/15/2018		4,940		4,232
SMFG Preferred Capital USD 1 Ltd.
6.078% due 01/29/2049		8,800		7,078
SMFG Preferred Capital USD 3 Ltd.
9.500% due 07/29/2049		17,550		17,052
Societe Generale
5.750% due 04/20/2016		35,735		32,900
State Street Capital Trust III
8.250% due 03/15/2042		3,000		2,536
State Street Capital Trust IV
1.629% due 06/01/2077		15,500		8,990
Sumitomo Mitsui Banking Corp.
5.625% due 07/29/2049		5,600		5,163
SunTrust Capital VIII
6.100% due 12/01/2066		118		77
Tiers Trust
8.125% due 09/15/2017		617		267
U.S. Bank N.A.
1.419% due 10/14/2014		45,815		42,201
UBS AG
1.927% due 05/05/2010		1,100		1,103
5.750% due 04/25/2018		18,400		16,786
5.875% due 12/20/2017		11,840		11,044
UBS Preferred Funding Trust V
6.243% due 05/29/2049		19,100		11,283
UFJ Finance Aruba AEC
6.750% due 07/15/2013		24,482		25,381
USB Capital IX
6.189% due 04/15/2049		16,250		10,973
Wachovia Bank N.A.
0.959% due 03/15/2016		4,000		3,163
4.875% due 02/01/2015		700		670
6.600% due 01/15/2038		250		244
Wachovia Capital Trust III
5.800% due 03/29/2049		34,340		20,611
Wachovia Capital Trust V
7.965% due 06/01/2027		5,000		4,090
Wachovia Corp.
0.818% due 03/01/2012		6,500		6,156
0.899% due 06/15/2017		16,471		12,316
1.218% due 08/01/2013		200		180
1.261% due 10/15/2011		200		190
5.500% due 05/01/2013		46,100		47,679
5.750% due 02/01/2018		4,200		4,132
Wells Fargo & Co.
4.950% due 10/16/2013		2,000		1,994
5.250% due 10/23/2012		160		166
5.625% due 12/11/2017		175		173
7.980% due 03/29/2049		22,800		18,952
Wells Fargo Bank N.A.
1.064% due 05/16/2016		10,000		7,574
4.750% due 02/09/2015		3,125		2,968
Wells Fargo Capital X
5.950% due 12/15/2036		11,567		8,584
Wells Fargo Capital XIII
7.700% due 12/29/2049		42,800		35,551
Xstrata Finance Canada Ltd.
5.800% due 11/15/2016		6,100		5,474
				2,186,634
INDUSTRIALS 18.5%
AIG SunAmerica Global Financing VI
6.300% due 05/10/2011		140		132
Altria Group, Inc.
9.950% due 11/10/2038		900		1,041
10.200% due 02/06/2039		18,800		22,249
Amgen, Inc.
5.700% due 02/01/2019		2,800		2,959
5.850% due 06/01/2017		150		159
6.375% due 06/01/2037		500		533
6.400% due 02/01/2039		10,050		10,712
Apache Corp.
5.625% due 01/15/2017		200		210
6.000% due 01/15/2037		2,600		2,758
ArcelorMittal
9.850% due 06/01/2019		840		908
AstraZeneca PLC
6.450% due 09/15/2037		3,300		3,667
AutoZone, Inc.
5.500% due 11/15/2015		2,500		2,478
Bottling Group LLC
5.125% due 01/15/2019		10,000		10,211
BP AMI Leasing, Inc.
5.523% due 05/08/2019		850		874
Burlington Northern Santa Fe Corp.
4.875% due 01/15/2015		1,527		1,548
5.650% due 05/01/2017		1,960		2,004
8.125% due 04/15/2020		7,000		7,873
Canadian National Railway Co.
6.900% due 07/15/2028		1,200		1,337
Canadian Natural Resources Ltd.
5.700% due 05/15/2017		2,500		2,532
6.750% due 02/01/2039		6,600		6,908
CODELCO, Inc.
7.500% due 01/15/2019		9,400		10,913
Colorado Interstate Gas Co.
6.800% due 11/15/2015		49		51
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/2013		500		570
Comcast Cable Holdings LLC
9.800% due 02/01/2012		1,830		2,061
Comcast Corp.
5.875% due 02/15/2018		16,525		16,777
5.900% due 03/15/2016		100		104
6.500% due 01/15/2017		1,350		1,434
6.950% due 08/15/2037		1,100		1,149
7.050% due 03/15/2033		5,000		5,332
Computer Sciences Corp.
6.500% due 03/15/2018		1,000		1,024
Continental Airlines, Inc.
7.056% due 09/15/2009		5,000		4,950
Covidien International Finance S.A.
6.000% due 10/15/2017		1,500		1,598
6.550% due 10/15/2037		4,300		4,773
CSX Corp.
5.300% due 02/15/2014		400		404
6.250% due 04/01/2015		1,066		1,104
CVS Caremark Corp.
0.968% due 06/01/2010		450		447
CVS Pass-Through Trust
6.943% due 01/10/2030		12,631		11,459
Daimler Finance North America LLC
5.750% due 09/08/2011		2,000		2,042
8.000% due 06/15/2010		270		279
Darden Restaurants, Inc.
6.200% due 10/15/2017		2,000		1,901
Delta Air Lines, Inc.
6.619% due 09/18/2012		776		738
Devon Financing Corp. ULC
7.875% due 09/30/2031		740		873
Dow Chemical Co.
8.550% due 05/15/2019		12,500		12,543
El Paso Corp.
7.750% due 06/15/2010		13,533		13,617
7.800% due 08/01/2031		41,285		33,858
8.050% due 10/15/2030		9,200		7,695
El Paso Natural Gas Co.
8.375% due 06/15/2032		150		164
Enbridge Energy Partners LP
5.875% due 12/15/2016		3,600		3,428
EnCana Corp.
5.900% due 12/01/2017		5,700		5,852
6.500% due 08/15/2034		1,200		1,221
6.500% due 02/01/2038		8,300		8,523
6.625% due 08/15/2037		15,000		15,564
Energy Transfer Partners LP
5.650% due 08/01/2012		9,060		9,248
5.950% due 02/01/2015		3,500		3,532
6.000% due 07/01/2013		4,000		4,074
6.125% due 02/15/2017		2,400		2,388
6.625% due 10/15/2036		6,900		6,754
6.700% due 07/01/2018		500		512
7.500% due 07/01/2038		4,100		4,313
9.700% due 03/15/2019		250		287
Enterprise Products Operating LLC
5.000% due 03/01/2015		900		831
6.300% due 09/15/2017		1,435		1,444
6.500% due 01/31/2019		5,000		5,091
EOG Resources, Inc.
5.875% due 09/15/2017		20,000		21,304
Express Scripts, Inc.
5.250% due 06/15/2012		19,200		19,855
7.250% due 06/15/2019		1,700		1,878
Gaz Capital S.A.
6.212% due 11/22/2016		130		109
6.510% due 03/07/2022		150		113
8.146% due 04/11/2018		14,000		12,810
General Electric Co.
5.000% due 02/01/2013		325		339
5.250% due 12/06/2017		10,145		9,980
General Mills, Inc.
5.700% due 02/15/2017		4,500		4,744
GlaxoSmithKline Capital, Inc.
6.375% due 05/15/2038		300		327
Hess Corp.
7.300% due 08/15/2031		2,133		2,205
7.875% due 10/01/2029		1,650		1,792
HJ Heinz Finance Co.
6.000% due 03/15/2012		1,400		1,472
Hospira, Inc.
5.550% due 03/30/2012		100		104
6.050% due 03/30/2017		500		489
International Business Machines Corp.
5.700% due 09/14/2017		11,800		12,548
Johnson Controls, Inc.
5.500% due 01/15/2016		2,000		1,857
Kinder Morgan Energy Partners LP
5.000% due 12/15/2013		18		18
5.625% due 02/15/2015		3,770		3,817
5.950% due 02/15/2018		6,981		6,845
6.000% due 02/01/2017		2,230		2,216
6.500% due 02/01/2037		1,150		1,052
6.850% due 02/15/2020		35,900		36,867
6.950% due 01/15/2038		3,739		3,629
7.300% due 08/15/2033		5,500		5,292
Kraft Foods, Inc.
5.625% due 11/01/2011		2,000		2,126
6.500% due 08/11/2017		6,400		6,751
6.875% due 02/01/2038		2,000		2,120
Kroger Co.
5.500% due 02/01/2013		3,000		3,103
Loews Corp.
5.250% due 03/15/2016		2,000		2,013
Merck & Co., Inc.
5.000% due 06/30/2019		900		913
New Albertson’s, Inc.
8.000% due 05/01/2031		5,000		4,313
Newmont Mining Corp.
5.875% due 04/01/2035		1,800		1,684
Nokia Corp.
6.625% due 05/15/2039		1,200		1,270
Norfolk Southern Corp.
5.750% due 04/01/2018		2,000		2,048
Northwest Pipeline GP
5.950% due 04/15/2017		990		987
Novartis Securities Investment Ltd.
5.125% due 02/10/2019		5,235		5,365
Omnicom Group, Inc.
5.900% due 04/15/2016		3,800		3,812
ONEOK Partners LP
6.650% due 10/01/2036		525		485
6.850% due 10/15/2037		9,100		8,668
Pactiv Corp.
6.400% due 01/15/2018		500		452
Petro-Canada
6.050% due 05/15/2018		55		55
Pfizer, Inc.
6.200% due 03/15/2019		530		581
7.200% due 03/15/2039		715		851
Philip Morris International, Inc.
6.375% due 05/16/2038		23,870		25,448
Plains All American Pipeline LP
6.125% due 01/15/2017		1,000		966
6.650% due 01/15/2037		100		93
Procter & Gamble Co.
3.500% due 02/15/2015		10,000		10,110
RadioShack Corp.
7.375% due 05/15/2011		1,900		1,933
Reynolds American, Inc.
1.329% due 06/15/2011		200		187
6.750% due 06/15/2017		10,700		10,006
Rio Tinto Finance USA Ltd.
9.000% due 05/01/2019		385		429
Roche Holdings, Inc.
6.000% due 03/01/2019		7,215		7,707
7.000% due 03/01/2039		315		366
Rockies Express Pipeline LLC
4.500% due 08/20/2009		49,300		49,307
6.250% due 07/15/2013		330		333
6.850% due 07/15/2018		6,455		6,835
7.500% due 07/15/2038		1,000		1,082
Rohm & Haas Co.
6.000% due 09/15/2017		10,500		9,402
RR Donnelley & Sons Co.
6.125% due 01/15/2017		3,000		2,643
11.250% due 02/01/2019 (f)		4,000		4,241
Suncor Energy, Inc.
6.850% due 06/01/2039		2,100		2,069
Systems 2001 Asset Trust LLC
6.664% due 09/15/2013		2,260		2,260
7.156% due 12/15/2011		668		669
Target Corp.
7.000% due 01/15/2038		12,100		12,921
Time Warner Cable, Inc.
5.850% due 05/01/2017		11,500		11,500
6.200% due 07/01/2013		710		749
6.550% due 05/01/2037		9,400		9,032
6.750% due 07/01/2018		1,890		1,972
8.250% due 04/01/2019		640		727
8.750% due 02/14/2019		1,160		1,353
TransCanada Pipelines Ltd.
5.850% due 03/15/2036		485		469
6.350% due 05/15/2067		500		348
6.500% due 08/15/2018		935		1,019
7.125% due 01/15/2019		3,282		3,710
7.625% due 01/15/2039		29,300		34,271
UAL 1991 Equipment Trust AB
10.850% due 02/19/2015 (a)		794		246
United Airlines, Inc.
6.071% due 03/01/2013		70		69
6.602% due 03/01/2015		92		91
8.390% due 01/21/2011 (a)		2,226		4
10.020% due 03/22/2014 (a)		739		251
10.125% due 03/22/2015 (a)		1,745		794
UnitedHealth Group, Inc.
4.875% due 02/15/2013		140		142
5.800% due 03/15/2036		5,000		4,052
Universal Health Services, Inc.
7.125% due 06/30/2016		500		502
Vivendi
6.625% due 04/04/2018		11,600		11,696
Wal-Mart Stores, Inc.
5.800% due 02/15/2018		4,500		4,910
6.200% due 04/15/2038		1,300		1,400
Wyeth
5.500% due 03/15/2013		2,500		2,676
5.950% due 04/01/2037		1,300		1,348
XTO Energy, Inc.
4.900% due 02/01/2014		885		897
5.500% due 06/15/2018		5,000		5,019
5.650% due 04/01/2016		800		811
6.100% due 04/01/2036		5,000		4,855
6.250% due 04/15/2013		640		679
6.250% due 08/01/2017		940		991
6.500% due 12/15/2018		8,890		9,555
Yum! Brands, Inc.
6.875% due 11/15/2037		5,700		5,756
				762,175
UTILITIES 19.7%
AEP Texas Central Co.
6.650% due 02/15/2033		300		291
Alabama Power Co.
5.500% due 10/15/2017		300		317
Appalachian Power Co.
5.650% due 08/15/2012		5,110		5,394
5.800% due 10/01/2035		9,279		8,257
AT&T Corp.
7.300% due 11/15/2011		1,827		2,005
8.000% due 11/15/2031		49,800		57,587
AT&T, Inc.
5.600% due 05/15/2018		4,300		4,330
5.800% due 02/15/2019		6,300		6,407
6.150% due 09/15/2034		20,000		19,027
6.300% due 01/15/2038		2,400		2,324
6.500% due 09/01/2037		14,800		14,711
6.550% due 02/15/2039		16,460		16,467
6.700% due 11/15/2013		2,937		3,229
BellSouth Corp.
6.550% due 06/15/2034		13,960		13,714
British Telecommunications PLC
9.125% due 12/15/2010		4,615		4,904
9.625% due 12/15/2030		3,300		3,664
Bruce Mansfield Unit
6.850% due 06/01/2034		1,686		1,313
BVPS II Funding Corp.
8.890% due 06/01/2017		1,411		1,400
Carolina Power & Light Co.
5.300% due 01/15/2019		10,000		10,458
6.300% due 04/01/2038		3,600		3,960
Consolidated Edison Co. of New York, Inc.
5.850% due 04/01/2018		2,400		2,526
6.650% due 04/01/2019		4,800		5,346
6.750% due 04/01/2038		9,500		10,687
Consumers Energy Co.
4.000% due 05/15/2010		55		56
5.000% due 03/15/2015		300		296
5.150% due 02/15/2017		2,500		2,462
5.375% due 04/15/2013		600		616
5.500% due 08/15/2016		2,250		2,276
Deutsche Telekom International Finance BV
6.000% due 07/08/2019		10,000		10,106
8.500% due 06/15/2010		300		316
8.750% due 06/15/2030		42,572		49,928
9.250% due 06/01/2032		20,000		24,575
Dominion Resources, Inc.
5.200% due 01/15/2016		3,000		3,000
5.600% due 11/15/2016		1,800		1,844
5.700% due 09/17/2012		830		884
6.000% due 11/30/2017		500		520
Duke Energy Carolinas LLC
5.625% due 11/30/2012		175		188
6.050% due 04/15/2038		1,500		1,592
Duke Energy Corp.
6.250% due 06/15/2018		300		316
6.300% due 02/01/2014		6,000		6,486
Duke Energy Ohio, Inc.
6.900% due 06/01/2025		2,821		2,755
EDF S.A.
6.500% due 01/26/2019		9,300		10,202
6.950% due 01/26/2039		8,948		10,080
Enel Finance International S.A.
6.250% due 09/15/2017		32,000		33,460
6.800% due 09/15/2037		13,150		13,676
Energy East Corp.
6.750% due 07/15/2036		1,300		1,285
Entergy Arkansas, Inc.
5.400% due 05/01/2018		8,884		8,478
Entergy Gulf States, Inc.
1.068% due 12/01/2009		2,055		2,044
5.120% due 08/01/2010		625		626
5.250% due 08/01/2015		600		573
6.180% due 03/01/2035		4,965		4,421
Entergy Louisiana LLC
6.500% due 09/01/2018		360		368
Entergy Texas, Inc.
7.125% due 02/01/2019		3,700		3,864
FirstEnergy Corp.
7.375% due 11/15/2031		288		272
Florida Power Corp.
6.400% due 06/15/2038		9,300		10,365
France Telecom S.A.
7.750% due 03/01/2011		300		325
8.500% due 03/01/2031		1,000		1,287
GG1C Funding Corp.
5.129% due 01/15/2014		1,791		1,649
Indiana Michigan Power Co.
7.000% due 03/15/2019		10,100		10,873
Kentucky Power Co.
6.000% due 09/15/2017		18,600		18,720
MidAmerican Energy Holdings Co.
5.875% due 10/01/2012		240		256
5.950% due 05/15/2037		1,000		967
6.125% due 04/01/2036		1,105		1,095
Nevada Power Co.
7.125% due 03/15/2019		5,000		5,352
NGPL PipeCo. LLC
6.514% due 12/15/2012		14,190		14,889
7.119% due 12/15/2017		11,155		11,710
7.768% due 12/15/2037		3,600		3,941
Ohio Edison Co.
6.875% due 07/15/2036		1,100		1,111
Ohio Power Co.
6.000% due 06/01/2016		45		46
6.375% due 07/15/2033		12,100		11,501
Oncor Electric Delivery Co.
7.000% due 05/01/2032		1,000		1,066
Pacific Bell Telephone Co.
7.125% due 03/15/2026		8,029		8,050
Pacific Gas & Electric Co.
4.800% due 03/01/2014		800		843
6.050% due 03/01/2034		10,150		10,553
Pacificorp
5.650% due 07/15/2018		971		1,035
PNPP II Funding Corp.
9.120% due 05/30/2016		1,192		1,213
Progress Energy, Inc.
7.750% due 03/01/2031		6,850		8,063
PSEG Power LLC
7.750% due 04/15/2011		641		686
8.625% due 04/15/2031		6,400		7,556
Public Service Co. of Oklahoma
6.625% due 11/15/2037		2,200		2,126
Public Service Electric & Gas Co.
5.300% due 05/01/2018		4,800		5,024
6.330% due 11/01/2013		2,500		2,737
Qwest Corp.
6.875% due 09/15/2033		9,880		7,262
Sierra Pacific Power Co.
6.750% due 07/01/2037		1,300		1,342
Southern California Edison Co.
5.000% due 01/15/2014		150		158
Sprint Capital Corp.
8.375% due 03/15/2012		630		624
Telecom Italia Capital S.A.
5.250% due 10/01/2015		5,475		5,292
6.175% due 06/18/2014		5,000		5,063
6.375% due 11/15/2033		1,410		1,256
7.175% due 06/18/2019		25,450		25,840
7.721% due 06/04/2038		34,492		35,194
Telefonica Emisiones SAU
4.949% due 01/15/2015 (b)		19,300		19,649
7.045% due 06/20/2036		2,000		2,221
Union Electric Co.
8.450% due 03/15/2039		845		992
Utility Contract Funding LLC
7.944% due 10/01/2016		466		479
Verizon Communications, Inc.
5.250% due 04/15/2013		995		1,045
6.100% due 04/15/2018		350		360
6.250% due 04/01/2037		10,000		9,684
6.350% due 04/01/2019		2,680		2,793
6.900% due 04/15/2038		21,000		21,955
8.750% due 11/01/2018		20,650		24,497
8.950% due 03/01/2039		31,192		39,471
Verizon Global Funding Corp.
7.375% due 09/01/2012		325		364
Verizon Wireless Capital LLC
5.550% due 02/01/2014		1,185		1,260
7.375% due 11/15/2013		1,201		1,345
8.500% due 11/15/2018		313		375
Virginia Electric and Power Co.
5.000% due 06/30/2019		7,500		7,577
5.100% due 11/30/2012		1,250		1,322
5.400% due 04/30/2018		35,500		36,890
5.950% due 09/15/2017		10,000		10,751
6.350% due 11/30/2037		4,400		4,737
Vodafone Group PLC
5.450% due 06/10/2019		655		645
				809,365
Total Corporate Bonds & Notes (Cost $3,993,103)				3,758,174
CONVERTIBLE BONDS & NOTES 0.1%
Amgen, Inc.
0.125% due 02/01/2011		600		573
Transocean, Inc.
1.500% due 12/15/2037		1,250		1,136
U.S. Bancorp
0.000% due 09/20/2036		80		73
Total Convertible Bonds & Notes (Cost $1,784)				1,782
MUNICIPAL BONDS & NOTES 0.2%
Dallas, Texas Area Rapid Transit Revenue Bonds, Series 2009
6.249% due 12/01/2034		3,500		3,538
New Jersey State Turnpike Authority Revenue Bonds, Series 2009
7.414% due 01/01/2040		795		927
New York State Metropolitan Transportation Authority Revenue Bonds, Series 2009
7.336% due 11/15/2039		620		732
Utah State Transit Authority Revenue Bonds, Series 2009
5.937% due 06/15/2039		725		736
Total Municipal Bonds & Notes (Cost $5,908)				5,933
U.S. GOVERNMENT AGENCIES 0.5%
Fannie Mae
0.966% due 08/05/2010 (e)		929		931
Freddie Mac
0.702% due 03/09/2011 (e)		17,618		17,683
0.888% due 02/01/2011 (e)		1,223		1,221
0.926% due 05/04/2011		14		14
1.268% due 04/01/2011 (e)		2,000		2,007
Ginnie Mae
8.500% due 07/15/2030 - 08/15/2030		69		77
Total U.S. Government Agencies (Cost $21,925)				21,933
MORTGAGE-BACKED SECURITIES 0.2%
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.545% due 01/15/2046		8,600		7,167
Total Mortgage-Backed Securities (Cost $8,734)				7,167
ASSET-BACKED SECURITIES 0.0%
Denver Arena Trust
6.940% due 11/15/2019		1,546		1,364
MASTR Asset-Backed Securities Trust
0.394% due 05/25/2037		182		148
Total Asset-Backed Securities (Cost $1,588)				1,512
SOVEREIGN ISSUES 0.4%
Brazil Government International Bond
8.750% due 02/04/2025		3,500		4,322
Mexico Government International Bond
5.950% due 03/19/2019		13,200		13,398
Total Sovereign Issues (Cost $17,486)				17,720
FOREIGN CURRENCY-DENOMINATED ISSUES 0.1%
Lehman Brothers Holdings, Inc.
7.875% due 05/08/2018 (a)	GBP	16,500		4,072
Total Foreign Currency-Denominated Issues (Cost $2,501)				4,072
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.4%
American International Group, Inc.
8.500% due 08/01/2011		86,000		819
Wells Fargo & Co.
7.500% due 12/31/2049		22,000		17,269
Total Convertible Preferred Stocks (Cost $22,372)				18,088
PREFERRED STOCKS 0.1%
Goldman Sachs Group, Inc.
3.750% due 12/31/2049		200,000		3,320
Lehman Brothers Holdings, Inc.
5.670% due 12/01/2049 (a)		5,200		2
Total Preferred Stocks (Cost $5,231)				3,322
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 5.6%
U.S. TREASURY BILLS 0.3%
0.119% due 07/02/2009 - 07/30/2009 (c)(e)	$	13,610		13,609
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 5.3%
		21,526,895		215,463
Total Short-Term Instruments (Cost $229,074)				229,072
Total Investments 99.0% (Cost $4,309,706)			$	4,068,775
Other Assets and Liabilities (Net) 1.0%				42,135
Net Assets 100.0%			$	4,110,910

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) Affiliated to the Portfolio.

(e) Securities with an aggregate market value of $31,141 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $39,870 at a weighted average interest rate of 0.906%. On June 30, 2009, securities valued at $5,301 were pledged as collateral for reverse repurchase agreements.

(g) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
AutoZone, Inc.	RBS	(0.810	%)	12/20/2015	0.533	%	$	2,500	$	(41	)	$	0		$	(41	)
Bank of America Corp.	MLP	(0.170	%)	12/20/2016	2.080	%		5,000		571			0			571
Burlington Northern Santa Fe Corp.	BOA	(0.500	%)	06/20/2017	0.512	%		1,000		1			19			(18	)
CNA Financial Corp.	BCLY	(0.285	%)	09/20/2011	3.246	%		2,000		124			0			124
CNA Financial Corp.	CITI	(0.470	%)	12/20/2014	2.864	%		2,000		217			0			217
Computer Sciences Corp.	MSC	(1.248	%)	03/20/2018	0.573	%		1,000		(51	)		(11	)		(40	)
Countrywide Financial Corp.	JPM	(0.710	%)	06/20/2016	3.263	%		4,000		569			0			569
CSX Corp.	BNP	(1.000	%)	03/20/2014	0.764	%		400		(4	)		5			(9	)
CVS Caremark Corp.	CSFB	(0.250	%)	09/20/2011	0.550	%		1,600		11			0			11
Daimler Finance N.A. LLC	BCLY	(0.535	%)	09/20/2011	1.524	%		2,000		43			0			43
Darden Restaurants, Inc.	DUB	(2.250	%)	12/20/2017	1.218	%		2,000		(145	)		0			(145	)
Dominion Resources, Inc.	BOA	(0.455	%)	03/20/2016	0.570	%		3,000		21			0			21
H.J. Heinz Finance Co.	RBS	(0.380	%)	03/20/2012	0.360	%		3,100		(2	)		0			(2	)
International Lease Finance Corp.	GSC	(0.200	%)	03/20/2013	9.304	%		5,000		1,252			0			1,252
Johnson Controls, Inc.	JPM	(0.500	%)	03/20/2016	2.756	%		2,000		245			0			245
JPMorgan Chase & Co.	DUB	(1.500	%)	12/20/2018	1.011	%		7,300		(276	)		0			(276	)
Kraft Foods, Inc.	JPM	(0.150	%)	12/20/2011	0.528	%		2,000		18			0			18
Kroger Co.	MSC	(0.560	%)	03/20/2013	0.806	%		3,000		26			0			26
Loews Corp.	JPM	(0.280	%)	03/20/2016	0.610	%		2,000		40			0			40
Marsh & McLennan Cos., Inc.	MSC	(0.590	%)	09/20/2010	0.366	%		2,000		(6	)		0			(6	)
Merrill Lynch & Co., Inc.	UBS	(2.300	%)	06/20/2018	2.238	%		1,300		(6	)		0			(6	)
Morgan Stanley	RBS	(0.275	%)	12/20/2015	1.976	%		2,000		183			0			183
Morgan Stanley	RBS	(0.320	%)	12/20/2016	1.917	%		4,000		384			0			384
Omnicom Group, Inc.	MSC	(0.390	%)	06/20/2016	0.821	%		3,800		100			0			100
Pactiv Corp.	JPM	(0.800	%)	03/20/2018	0.837	%		500		2			27			(25	)
RadioShack Corp.	BOA	(1.290	%)	06/20/2011	1.582	%		1,900		10			0			10
RR Donnelley & Sons Co.	BOA	(3.500	%)	03/20/2019	3.314	%		4,000		(53	)		0			(53	)
RR Donnelley & Sons Co.	DUB	(3.250	%)	03/20/2017	3.383	%		3,000		20			0			20
The Dow Chemical Co.	CITI	(1.000	%)	06/20/2019	2.001	%		2,500		182			225			(43	)
UBS Warburg LLC	BCLY	(2.260	%)	03/20/2014	1.256	%		11,340		(499	)		0			(499	)
UBS Warburg LLC	BCLY	(2.280	%)	03/20/2014	1.256	%		20,000		(897	)		0			(897	)
Universal Health Services, Inc.	BOA	(0.787	%)	06/20/2016	0.664	%		500		(4	)		33			(37	)
Wyeth	MSC	(0.150	%)	03/20/2013	0.301	%		2,500		14			0			14
									$	2,049		$	298		$	1,751

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
American Electric Power Co., Inc.	MSC	0.410	%	09/20/2011	0.549	%	$	2,000	$	(6	)	$	0		$	(6	)
American Express Co.	JPM	2.750	%	03/20/2014	2.335	%		400		7			0			7
American Express Co.	RBS	2.050	%	03/20/2013	2.406	%		4,800		(55	)		0			(55	)
American International Group, Inc.	BCLY	1.150	%	06/20/2013	15.775	%		7,100		(2,648	)		0			(2,648	)
American International Group, Inc.	DUB	1.920	%	03/20/2013	16.024	%		7,000		(2,413	)		0			(2,413	)
American International Group, Inc.	DUB	1.430	%	06/20/2013	15.775	%		25,000		(9,142	)		0			(9,142	)
American International Group, Inc.	JPM	0.350	%	06/20/2010	17.388	%		2,000		(299	)		0			(299	)
American International Group, Inc.	RBS	1.200	%	06/20/2013	15.775	%		1,700		(632	)		0			(632	)
Berkshire Hathaway Finance Corp.	GSC	0.800	%	09/20/2009	2.632	%		12,500		(49	)		0			(49	)
Brazil Government International Bond	BCLY	2.300	%	12/20/2009	0.793	%		12,000		93			0			93
CIT Group, Inc.	MLP	5.000	%	03/20/2014	16.237	%		4,000		(1,170	)		(340	)		(830	)
Citigroup, Inc.	BCLY	0.290	%	09/20/2012	4.590	%		20,000		(2,413	)		0			(2,413	)
Citigroup, Inc.	JPM	0.290	%	09/20/2012	4.590	%		20,000		(2,413	)		0			(2,413	)
Citigroup, Inc.	MSC	1.500	%	06/20/2013	4.512	%		1,500		(150	)		0			(150	)
Ford Motor Credit Co. LLC	UBS	3.760	%	09/20/2010	11.411	%		1,600		(135	)		0			(135	)
General Electric Capital Corp.	BCLY	0.630	%	12/20/2012	4.354	%		4,200		(473	)		0			(473	)
General Electric Capital Corp.	BCLY	1.450	%	03/20/2013	4.347	%		4,500		(416	)		0			(416	)
General Electric Capital Corp.	BCLY	1.280	%	06/20/2013	4.342	%		25,000		(2,577	)		0			(2,577	)
General Electric Capital Corp.	BCLY	4.450	%	12/20/2013	4.336	%		13,000		69			0			69
General Electric Capital Corp.	BNP	1.500	%	03/20/2013	4.347	%		25,000		(2,271	)		0			(2,271	)
General Electric Capital Corp.	BOA	5.000	%	06/20/2012	4.175	%		100		3			2			1
General Electric Capital Corp.	BOA	7.000	%	06/20/2013	4.342	%		200		18			0			18
General Electric Capital Corp.	CITI	1.310	%	03/20/2013	4.347	%		12,000		(1,164	)		0			(1,164	)
General Electric Capital Corp.	DUB	1.070	%	12/20/2012	4.354	%		5,430		(539	)		0			(539	)
General Electric Capital Corp.	DUB	4.820	%	12/20/2013	4.336	%		24,500		469			0			469
General Electric Capital Corp.	MSC	0.160	%	06/20/2011	4.176	%		10,000		(742	)		0			(742	)
General Electric Capital Corp.	WAC	0.160	%	06/20/2011	4.176	%		10,000		(742	)		0			(742	)
Goldman Sachs Group, Inc.	RBS	1.600	%	03/20/2013	1.632	%		4,600		(3	)		0			(3	)
Goldman Sachs Group, Inc.	UBS	0.900	%	09/20/2012	1.683	%		10,000		(235	)		0			(235	)
JPMorgan Chase & Co.	RBS	1.050	%	03/20/2013	1.119	%		4,500		(10	)		0			(10	)
Morgan Stanley	GSC	4.100	%	06/20/2012	2.279	%		30,000		1,545			0			1,545
Morgan Stanley	GSC	0.900	%	09/20/2012	2.256	%		4,400		(177	)		0			(177	)
Morgan Stanley	RBS	2.000	%	03/20/2013	2.191	%		4,700		(28	)		0			(28	)
Ohio Edison Co.	WAC	0.470	%	03/20/2010	1.592	%		10,000		(80	)		0			(80	)
SLM Corp.	BNP	2.870	%	12/20/2012	8.427	%		5,000		(746	)		0			(746	)
SLM Corp.	BOA	2.950	%	03/20/2013	8.375	%		4,300		(658	)		0			(658	)
SLM Corp.	DUB	2.900	%	12/20/2012	8.427	%		2,000		(297	)		0			(297	)
SLM Corp.	DUB	5.000	%	03/20/2014	8.214	%		10,000		(1,063	)		(900	)		(163	)
									$	(31,542	)	$	(1,238	)	$	(30,304	)

⁽¹⁾ If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	BCLY	$	83,300	$	517	$	0	$	517

(h) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	3,723,515		$	34,659	$	3,758,174
Short-Term Instruments		215,463		13,609			0		229,072
Other Investments++		18,090		63,439			0		81,529
Investments, at value	$	233,553	$	3,800,563		$	34,659	$	4,068,775
Financial Derivative Instruments+++	$	0	$	(28,036	)	$	0	$	(28,036	)
Total	$	233,553	$	3,772,527		$	34,659	$	4,040,739

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	32,360	$	14	$	0	$	2,129	$	156	$	34,659
Investments, at value	$	0	$	32,360	$	14	$	0	$	2,129	$	156	$	34,659
Financial Derivative Instruments+++	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Total	$	0	$	32,360	$	14	$	0	$	2,129	$	156	$	34,659

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Long Duration Corporate Bond Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 88.0%
BANKING & FINANCE 22.6%
ABX Financing Co.
6.350% due 10/15/2036	$	1,300	$	1,300
American Express Co.
8.150% due 03/19/2038		4,844		5,129
American International Group, Inc.
5.850% due 01/16/2018		524		278
6.250% due 05/01/2036		955		411
8.250% due 08/15/2018		1,100		648
Bank of America Corp.
5.650% due 05/01/2018		900		797
5.750% due 12/01/2017		7,210		6,430
Bear Stearns Cos. LLC
4.650% due 07/02/2018		2,000		1,772
6.400% due 10/02/2017		450		452
7.250% due 02/01/2018		600		633
BNP Paribas
5.186% due 06/29/2049		300		196
7.195% due 06/29/2049		800		585
CIT Group, Inc.
1.170% due 02/13/2012		500		295
1.352% due 07/28/2011		100		68
Citigroup, Inc.
5.875% due 05/29/2037		1,527		1,195
6.875% due 03/05/2038		11,240		9,944
8.500% due 05/22/2019		2,000		2,038
General Electric Capital Corp.
5.875% due 01/14/2038		16,513		13,092
6.150% due 08/07/2037		885		730
6.875% due 01/10/2039		11,300		10,189
Goldman Sachs Group, Inc.
6.125% due 02/15/2033		2,400		2,244
6.150% due 04/01/2018		4,700		4,583
6.750% due 10/01/2037		2,100		1,870
7.500% due 02/15/2019		7,800		8,366
HBOS PLC
6.000% due 11/01/2033		3,500		2,095
6.750% due 05/21/2018		9,123		6,897
HSBC Bank USA N.A.
7.000% due 01/15/2039		8,000		8,473
HSBC Holdings PLC
6.500% due 09/15/2037		1,000		969
6.800% due 06/01/2038		400		403
JPMorgan Chase & Co.
6.300% due 04/23/2019		1,000		1,008
6.400% due 05/15/2038		8,544		8,582
7.900% due 04/29/2049		1,500		1,316
JPMorgan Chase Capital XX
6.550% due 09/15/2066		500		398
JPMorgan Chase Capital XXV
6.800% due 10/01/2037		1,099		947
Merrill Lynch & Co., Inc.
6.400% due 08/28/2017		1,400		1,241
6.875% due 11/15/2018		2,500		2,311
MetLife, Inc.
6.375% due 06/15/2034		250		238
7.717% due 02/15/2019		1,072		1,149
Metropolitan Life Global Funding I
5.125% due 06/10/2014		2,200		2,186
Morgan Stanley
1.449% due 01/09/2014		1,000		899
1.557% due 10/18/2016		650		527
6.625% due 04/01/2018		6,100		6,091
Princeton University
5.700% due 03/01/2039		300		302
Rabobank Nederland NV
11.000% due 12/29/2049		7,225		8,058
Santander Perpetual S.A. Unipersonal
6.671% due 10/29/2049		7,850		5,818
SLM Corp.
1.252% due 07/26/2010		1,300		1,180
8.450% due 06/15/2018		500		428
Wachovia Bank N.A.
5.850% due 02/01/2037		5,901		5,216
6.600% due 01/15/2038		7,702		7,522
Wachovia Corp.
1.261% due 10/15/2011		3,500		3,326
Wells Fargo & Co.
5.625% due 12/11/2017		200		197
Wells Fargo Capital X
5.950% due 12/15/2036		2,100		1,558
Wells Fargo Capital XIII
7.700% due 12/29/2049		200		166
				152,746
INDUSTRIALS 36.4%
Altria Group, Inc.
9.950% due 11/10/2038		4,148		4,796
10.200% due 02/06/2039		4,200		4,970
Amgen, Inc.
6.375% due 06/01/2037		650		693
6.400% due 02/01/2039		6,200		6,608
Anadarko Petroleum Corp.
7.000% due 11/15/2027		1,000		879
7.950% due 06/15/2039		4,400		4,583
AstraZeneca PLC
6.450% due 09/15/2037		2,800		3,111
Barrick North America Finance LLC
7.500% due 09/15/2038		3,000		3,501
Baxter International, Inc.
6.250% due 12/01/2037		1,500		1,650
Burlington Northern Santa Fe Corp.
6.150% due 05/01/2037		3,800		3,802
7.290% due 06/01/2036		800		875
7.950% due 08/15/2030		600		707
Canadian National Railway Co.
6.375% due 11/15/2037		200		220
6.900% due 07/15/2028		400		446
Canadian Natural Resources Ltd.
6.250% due 03/15/2038		2,200		2,201
6.500% due 02/15/2037		250		250
6.750% due 02/01/2039		3,500		3,663
Caterpillar, Inc.
8.250% due 12/15/2038		100		124
Cisco Systems, Inc.
5.900% due 02/15/2039		6,800		6,711
CODELCO, Inc.
7.500% due 01/15/2019		100		116
Comcast Corp.
6.400% due 05/15/2038		4,300		4,219
6.450% due 03/15/2037		900		889
6.550% due 07/01/2039		4,700		4,702
6.950% due 08/15/2037		2,800		2,926
ConocoPhillips
6.500% due 02/01/2039		6,066		6,470
Daimler Finance North America LLC
6.500% due 11/15/2013		100		102
8.500% due 01/18/2031		1,000		1,054
Devon Energy Corp.
7.950% due 04/15/2032		4,000		4,778
El Paso Natural Gas Co.
8.375% due 06/15/2032		7,400		8,079
Eli Lilly & Co.
5.950% due 11/15/2037		400		420
EnCana Corp.
6.500% due 02/01/2038		4,500		4,621
6.625% due 08/15/2037		3,000		3,113
Energy Transfer Partners LP
5.950% due 02/01/2015		800		807
7.500% due 07/01/2038		2,100		2,209
EOG Resources, Inc.
5.625% due 06/01/2019		2,019		2,117
Gaz Capital S.A.
7.288% due 08/16/2037		3,500		2,655
GlaxoSmithKline Capital, Inc.
6.375% due 05/15/2038		5,000		5,448
International Business Machines Corp.
5.700% due 09/14/2017		200		213
8.000% due 10/15/2038		6,000		7,781
Kinder Morgan Energy Partners LP
5.800% due 03/15/2035		1,000		846
6.500% due 02/01/2037		2,494		2,282
6.950% due 01/15/2038		7,010		6,803
7.400% due 03/15/2031		500		489
McDonald’s Corp.
5.700% due 02/01/2039		1,400		1,389
Merck & Co., Inc.
5.850% due 06/30/2039		3,200		3,294
Monsanto Co.
5.875% due 04/15/2038		793		811
Nokia Corp.
6.625% due 05/15/2039		4,300		4,550
Norfolk Southern Corp.
7.050% due 05/01/2037		3,600		3,979
7.250% due 02/15/2031		1,800		1,968
Northwest Pipeline GP
6.050% due 06/15/2018		600		602
Nucor Corp.
6.400% due 12/01/2037		1,372		1,413
Oracle Corp.
6.500% due 04/15/2038		5,400		5,763
Petroleos Mexicanos
8.000% due 05/03/2019		500		545
Pfizer, Inc.
7.200% due 03/15/2039		8,700		10,351
Philip Morris International, Inc.
6.375% due 05/16/2038		735		784
Plains All American Pipeline LP
6.650% due 01/15/2037		3,200		2,974
President and Fellows of Harvard College
6.500% due 01/15/2039		1,700		1,929
Rio Tinto Finance USA Ltd.
7.125% due 07/15/2028		998		954
Roche Holdings, Inc.
7.000% due 03/01/2039		6,800		7,900
Siemens Financieringsmaatschappij NV
6.125% due 08/17/2026		4,150		4,229
Target Corp.
7.000% due 01/15/2038		8,050		8,597
Tennessee Gas Pipeline Co.
8.000% due 02/01/2016		400		421
Time Warner Cable, Inc.
6.750% due 06/15/2039		200		195
7.300% due 07/01/2038		6,700		6,994
TransCanada Pipelines Ltd.
6.200% due 10/15/2037		820		841
7.250% due 08/15/2038		2,000		2,280
7.625% due 01/15/2039		2,800		3,275
Transocean, Inc.
6.800% due 03/15/2038		7,250		7,772
Union Pacific Corp.
7.875% due 01/15/2019		1,400		1,605
UnitedHealth Group, Inc.
6.625% due 11/15/2037		2,600		2,335
Vale Overseas Ltd.
6.875% due 11/21/2036		8,800		8,392
8.250% due 01/17/2034		1,300		1,476
Wal-Mart Stores, Inc.
6.200% due 04/15/2038		6,400		6,892
6.500% due 08/15/2037		5,965		6,679
Williams Cos., Inc.
8.750% due 01/15/2020		1,900		1,984
8.750% due 03/15/2032		2,300		2,317
Wyeth
5.950% due 04/01/2037		800		829
XTO Energy, Inc.
6.375% due 06/15/2038		5,300		5,427
6.750% due 08/01/2037		1,200		1,255
				245,930
UTILITIES 29.0%
AEP Texas Central Co.
6.650% due 02/15/2033		500		486
Alabama Power Co.
6.000% due 03/01/2039		500		529
Appalachian Power Co.
7.000% due 04/01/2038		400		415
AT&T Corp.
8.000% due 11/15/2031		14,450		16,710
AT&T, Inc.
6.300% due 01/15/2038		2,100		2,034
6.400% due 05/15/2038		3,400		3,336
6.500% due 09/01/2037		4,272		4,246
6.550% due 02/15/2039		375		375
Consolidated Edison Co. of New York, Inc.
6.300% due 08/15/2037		1,000		1,062
6.750% due 04/01/2038		4,350		4,894
Deutsche Telekom International Finance BV
8.750% due 06/15/2030		10,700		12,549
Duke Energy Carolinas LLC
6.050% due 04/15/2038		1,200		1,274
Duke Energy Indiana, Inc.
6.450% due 04/01/2039		7,800		8,759
EDF S.A.
6.950% due 01/26/2039		4,400		4,956
Enel Finance International S.A.
6.800% due 09/15/2037		2,400		2,496
Entergy Arkansas, Inc.
5.660% due 02/01/2025		4,000		3,583
Florida Power & Light Co.
5.960% due 04/01/2039		400		430
France Telecom S.A.
8.500% due 03/01/2031		4,600		5,919
Georgia Power Co.
5.950% due 02/01/2039		7,700		8,091
Jersey Central Power & Light Co.
7.350% due 02/01/2019		200		220
MidAmerican Energy Holdings Co.
5.950% due 05/15/2037		1,500		1,451
6.125% due 04/01/2036		800		793
NGPL PipeCo. LLC
6.514% due 12/15/2012		200		210
7.768% due 12/15/2037		7,150		7,827
Northern States Power Co.
6.375% due 09/01/2038		3,700		4,140
Ohio Power Co.
6.375% due 07/15/2033		1,500		1,426
Oncor Electric Delivery Co.
7.000% due 05/01/2032		3,300		3,516
7.500% due 09/01/2038		2,200		2,487
Pacific Gas & Electric Co.
6.250% due 03/01/2039		8,900		9,534
6.350% due 02/15/2038		1,000		1,084
Pacificorp
6.000% due 01/15/2039		9,700		10,190
6.350% due 07/15/2038		100		111
PSEG Power LLC
8.625% due 04/15/2031		5,100		6,021
Public Service Co. of Oklahoma
6.625% due 11/15/2037		5,450		5,266
Southern California Edison Co.
6.050% due 03/15/2039		200		215
6.650% due 04/01/2029		600		645
Telecom Italia Capital S.A.
1.508% due 02/01/2011		2,300		2,211
7.175% due 06/18/2019		2,040		2,071
7.721% due 06/04/2038		7,350		7,500
Telefonica Emisiones SAU
7.045% due 06/20/2036		4,000		4,442
Verizon Communications, Inc.
6.400% due 02/15/2038		700		687
6.900% due 04/15/2038		4,900		5,123
7.350% due 04/01/2039		11,074		12,093
8.950% due 03/01/2039		70		89
Verizon Wireless Capital LLC
3.316% due 05/20/2011		5,000		5,149
Virginia Electric and Power Co.
8.875% due 11/15/2038		8,729		11,724
Vodafone Group PLC
6.150% due 02/27/2037		5,500		5,423
6.250% due 11/30/2032		2,400		2,386
				196,178
Total Corporate Bonds & Notes (Cost $562,683)				594,854
MUNICIPAL BONDS & NOTES 2.6%
California State General Obligation Bonds, Series 2009
7.500% due 04/01/2034		3,885		3,556
7.550% due 04/01/2039		2,395		2,183
Florida State Turnpike Authority Revenue Bonds, Series 2009
6.800% due 07/01/2039 (a)		4,800		4,845
New Jersey State Transportation Trust Fund Authority Revenue Bonds, Series 2009
6.875% due 12/15/2039		500		509
New Jersey State Turnpike Authority Revenue Bonds, Series 2009
7.414% due 01/01/2040		3,130		3,648
Pennsylvania State Turnpike Commission Revenue Bonds, Series 2009
6.105% due 12/01/2039 (a)		3,000		3,034
Total Municipal Bonds & Notes (Cost $17,726)				17,775
U.S. GOVERNMENT AGENCIES 16.4%
Fannie Mae
5.000% due 05/11/2017		21,500		23,386
5.500% due 01/01/2038 - 07/01/2039		83,263		85,954
Freddie Mac
0.702% due 03/09/2011		1,502		1,508
0.937% due 08/05/2011		40		40
Total U.S. Government Agencies (Cost $109,704)				110,888
U.S. TREASURY OBLIGATIONS 0.0%
U.S. Treasury Bonds
3.500% due 02/15/2039 (d)		8		7
Total U.S. Treasury Obligations (Cost $7)				7
SOVEREIGN ISSUES 1.1%
Brazil Government International Bond
8.250% due 01/20/2034		500		596
8.750% due 02/04/2025		1,000		1,235
Mexico Government International Bond
5.950% due 03/19/2019		5,000		5,075
6.750% due 09/27/2034		500		507
Total Sovereign Issues (Cost $7,300)				7,413
FOREIGN CURRENCY-DENOMINATED ISSUES 0.8%
Barclays Bank PLC
14.000% due 11/29/2049	GBP	800		1,510
Brazil Government International Bond
10.250% due 01/10/2028	BRL	5,000		2,526
CIT Group, Inc.
4.250% due 03/17/2015	EUR	900		657
5.500% due 12/01/2014	GBP	400		342
Total Foreign Currency-Denominated Issues (Cost $5,114)				5,035
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.0%
American International Group, Inc.
8.500% due 08/01/2011		10,500		100
Total Convertible Preferred Stocks (Cost $93)				100
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 5.8%
REPURCHASE AGREEMENTS 0.7%
State Street Bank and Trust Co.
0.010% due 07/01/2009	$	4,495		4,495
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $4,590. Repurchase proceeds are $4,495.)
U.S. TREASURY BILLS 0.1%
0.112% due 07/16/2009 (c)		780		780
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (b) 5.0%
		3,381,827		33,849
Total Short-Term Instruments (Cost $39,124)				39,124
Total Investments 114.7% (Cost $741,751)			$	775,196
Written Options (f) (0.0%) (Premiums $29)				(14	)
Other Assets and Liabilities (Net) (14.7%)				(99,163	)
Net Assets 100.0%			$	676,019

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) When-Issued security.

(b) Affiliated to the Portfolio.

(c) Securities with an aggregate market value of $520 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(d) Securities with an aggregate market value of $4 and cash of $557 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2010	251	$	(124	)
90-Day Eurodollar March Futures	Long	03/2011	485		42
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures	Long	12/2010	100		0
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures	Long	03/2011	395		(29	)
				$	(111	)

(e) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Pacific Gas & Electric Co.	BCLY	3.650	%	03/20/2014	1.529	%	$	800	$	74		$	0		$	74
SLM Corp.	BOA	5.000	%	09/20/2014	7.854	%		1,900		(169	)		(294	)		125
									$	(95	)	$	(294	)	$	199

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	1-Year BRL-CDI	10.835	%	01/02/2012	GSC	BRL	16,000	$	(34	)	$	(3	)	$	(31	)
Pay	1-Year BRL-CDI	11.140	%	01/02/2012	GSC		33,200		24			49			(25	)
Pay	1-Year BRL-CDI	11.600	%	01/02/2012	MSC		9,400		48			0			48
Pay	3-Month USD-LIBOR	4.000	%	06/17/2014	RBS	$	800		41			52			(11	)
Pay	3-Month USD-LIBOR	3.100	%	05/27/2016	BCLY		12,900		(211	)		0			(211	)
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		23,000		43			(235	)		278
Pay	28-Day MXN TIIE	8.300	%	02/07/2019	BCLY	MXN	125,000		79			18			61
								$	(10	)	$	(119	)	$	109

(f) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 2-Year Interest Rate Swap	DUB	3-Month USD-LIBOR	Pay	2.000	%	07/27/2009	$	700	$	4	$	1
Put - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	1.750	%	08/21/2009		300		1		1
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.400	%	08/03/2009		5,800		24		12
									$	29	$	14

(g) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	EUR	BCLY	381	07/2009	$	0	$	(3	)	$	(3	)
Sell	GBP	BCLY	150	07/2009		2		0			2
Buy		JPM	1,430	07/2009		0		(11	)		(11	)
Sell		JPM	239	07/2009		0		(13	)		(13	)
Sell		RBS	1,041	07/2009		1		(1	)		0
Sell		JPM	1,430	08/2009		11		0			11
Sell	MXN	BCLY	423	11/2009		0		0			0
					$	14	$	(28	)	$	(14	)

(h) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0		$	594,854	$	0	$	594,854
U.S. Government Agencies		0			110,888		0		110,888
Short-Term Instruments		33,849			5,275		0		39,124
Other Investments++		100			30,230		0		30,330
Investments, at value	$	33,949		$	741,247	$	0	$	775,196
Financial Derivative Instruments+++	$	(111	)	$	280	$	0	$	169
Total	$	33,838		$	741,527	$	0	$	775,365

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Mortgage Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 0.4%
American Express Bank FSB
0.399% due 07/13/2010	$	5,000	$	4,872
American International Group, Inc.
4.950% due 03/20/2012		900		612
5.600% due 10/18/2016		3,600		1,949
8.175% due 05/15/2058		4,700		1,342
8.250% due 08/15/2018		7,500		4,420
CVS Pass-Through Trust
6.036% due 12/10/2028		1,882		1,612
General Electric Capital Corp.
0.889% due 09/15/2014		5,000		4,248
1.158% due 11/01/2012		4,000		3,611
1.202% due 10/21/2010		3,000		2,948
Goldman Sachs Group, Inc.
1.639% due 01/12/2015		5,000		4,387
National City Bank of Kentucky
6.300% due 02/15/2011		6,000		6,075
Suffield CLO Ltd.
2.194% due 09/26/2014		2,782		2,668
Wachovia Bank N.A.
0.959% due 03/15/2016		8,000		6,326
Total Corporate Bonds & Notes (Cost $44,947)				45,070
MUNICIPAL BONDS & NOTES 0.0%
Ennis, Texas Economic Development Corp. Revenue Bonds, (MBIA-FGIC Insured), Series 1999
0.000% due 08/01/2034		7,990		564
Total Municipal Bonds & Notes (Cost $1,134)				564
U.S. GOVERNMENT AGENCIES 180.5%
Fannie Mae
0.000% due 08/25/2022 (c)		14		12
0.374% due 12/25/2036 - 07/25/2037		10,571		9,440
0.454% due 04/25/2035		3,059		2,802
0.464% due 10/25/2035		11,940		11,615
0.514% due 03/25/2035 - 10/27/2037		85,865		78,447
0.531% due 09/26/2033		32		21
0.534% due 07/25/2032		497		439
0.564% due 06/25/2044		56		55
0.574% due 06/25/2032		7		6
0.594% due 10/25/2033		2		2
0.614% due 12/25/2028		53		52
0.674% due 02/25/2033		88		70
0.714% due 02/25/2028 - 06/25/2032		2,906		2,822
0.718% due 04/18/2028		123		121
0.768% due 10/18/2030		115		114
0.814% due 06/25/2030 - 07/25/2034		5,678		5,489
0.844% due 09/18/2027		273		270
0.894% due 06/25/2018		5		5
0.964% due 09/25/2023		119		119
0.994% due 06/25/2022		1		1
1.214% due 04/25/2032		105		107
1.244% due 04/25/2021		2		2
1.444% due 05/25/2023		79		80
1.644% due 11/25/2021		40		40
2.638% due 08/01/2042 - 10/01/2044		8,819		8,704
2.838% due 10/01/2030 - 12/01/2040		907		905
2.870% due 07/01/2017 - 11/01/2017		11		11
2.877% due 10/01/2016 - 10/01/2031		229		229
3.015% due 05/01/2029		18		18
3.246% due 06/01/2035		119		119
3.250% due 03/01/2017 - 02/01/2018		21		21
3.251% due 02/01/2017		226		229
3.253% due 10/01/2023		24		24
3.254% due 04/01/2030		92		94
3.255% due 02/01/2029		2		2
3.258% due 04/01/2030		19		19
3.296% due 09/01/2017		354		355
3.297% due 07/01/2027		41		41
3.308% due 02/01/2021		75		75
3.352% due 03/01/2024		35		35
3.370% due 06/01/2032		334		339
3.375% due 04/01/2033		301		302
3.415% due 08/01/2024		4		4
3.432% due 11/01/2035		3,494		3,549
3.487% due 12/01/2017		169		171
3.500% due 08/01/2023 - 07/01/2026		83		83
3.559% due 08/01/2026		35		35
3.667% due 09/01/2027		5		5
3.693% due 05/01/2036		3,872		3,864
3.705% due 05/01/2019		18		18
3.712% due 08/01/2029		80		80
3.748% due 11/01/2017		17		17
3.750% due 11/01/2025		178		181
3.769% due 03/01/2035		932		922
3.812% due 04/01/2035		180		183
3.875% due 06/01/2017		6		6
3.910% due 05/01/2036		684		699
3.954% due 10/01/2028		90		91
3.986% due 06/01/2029		20		20
4.000% due 07/01/2017 - 08/01/2039		1,109,803		1,092,204
4.005% due 05/01/2036		37		37
4.041% due 04/01/2019		68		68
4.095% due 01/01/2026		25		25
4.112% due 04/01/2022		68		67
4.121% due 05/01/2036		79		80
4.130% due 03/01/2018		9		9
4.150% due 05/01/2036		26		27
4.165% due 03/01/2035		825		852
4.172% due 02/01/2026		12		13
4.183% due 05/01/2019		205		206
4.210% due 05/01/2027		179		179
4.211% due 11/01/2025		104		106
4.230% due 04/01/2030		8		9
4.288% due 12/01/2031		18		18
4.318% due 02/01/2035		399		413
4.346% due 11/01/2028		846		846
4.386% due 08/01/2028		274		275
4.436% due 02/01/2032		1,646		1,698
4.438% due 11/01/2028		490		491
4.453% due 01/01/2035		924		954
4.455% due 09/01/2023		72		73
4.458% due 02/01/2028		330		330
4.474% due 07/01/2034		693		712
4.500% due 05/01/2013 - 08/01/2039		1,834,195		1,804,056
4.525% due 02/01/2015		47		47
4.527% due 11/01/2017		5		5
4.532% due 09/01/2031		52		52
4.535% due 01/01/2028		18		18
4.551% due 06/01/2035		13,472		13,839
4.558% due 07/01/2035		565		578
4.570% due 02/01/2035		2,741		2,800
4.572% due 04/01/2032		12		12
4.582% due 07/01/2035		1,166		1,207
4.610% due 12/01/2029		4		4
4.620% due 08/01/2035		777		804
4.631% due 05/25/2035		1,175		1,174
4.645% due 07/01/2030		28		28
4.672% due 11/01/2035		144		149
4.692% due 02/01/2031		639		643
4.750% due 12/01/2023		76		77
4.751% due 03/01/2035		391		402
4.762% due 01/01/2029		50		51
4.773% due 12/01/2027		36		37
4.777% due 02/01/2027		95		95
4.825% due 11/01/2026		116		118
4.828% due 09/01/2035		365		378
4.842% due 02/01/2034		711		735
4.845% due 09/01/2034		183		184
4.865% due 11/01/2035		3,888		4,084
4.875% due 05/01/2019		13		13
4.902% due 05/01/2030		86		89
4.904% due 11/01/2031		61		62
4.922% due 05/01/2026		31		31
4.923% due 05/01/2035		849		878
4.933% due 09/01/2035		6,944		7,093
4.949% due 07/01/2024		4		4
4.970% due 02/01/2024		124		127
4.980% due 10/01/2035		648		665
4.983% due 07/01/2024		13		13
4.995% due 01/01/2024		8		8
5.000% due 06/01/2013 - 08/01/2039		407,761		419,061
5.000% due 09/01/2023 (f)		49,098		50,914
5.000% due 06/01/2035 (h)		2,156,445		2,203,533
5.011% due 09/01/2034		1,176		1,223
5.017% due 12/01/2030		656		662
5.027% due 07/01/2032		77		78
5.045% due 06/01/2019 - 05/01/2035		1,620		1,688
5.074% due 03/01/2025		25		26
5.125% due 06/01/2017 - 06/01/2026		58		58
5.145% due 09/01/2028		4		4
5.171% due 10/01/2035		598		615
5.178% due 04/01/2038		32,727		33,925
5.248% due 09/01/2035		1,744		1,795
5.277% due 09/01/2030		24		24
5.346% due 11/01/2035		779		814
5.395% due 09/01/2030		25		26
5.407% due 02/01/2030		592		604
5.493% due 12/01/2035		388		403
5.500% due 04/01/2011 - 07/01/2039		2,859,404		2,956,048
5.500% due 07/01/2034 - 01/01/2039 (h)		649,735		673,285
5.500% due 09/01/2034 (f)		57,917		60,052
5.500% due 08/01/2037 (f)(g)		65,214		67,618
5.510% due 02/01/2031		223		223
5.514% due 09/01/2020		22		22
5.576% due 02/01/2036		788		825
5.599% due 06/01/2030		109		112
5.700% due 08/01/2018		300		316
5.730% due 10/01/2016		42		43
5.800% due 11/01/2011		1,795		1,904
5.816% due 11/01/2024		3		3
5.821% due 06/01/2023		31		31
5.914% due 02/01/2031		275		280
5.950% due 02/25/2044		48		51
6.000% due 01/01/2011 - 07/01/2039		1,511,658		1,585,626
6.000% due 04/01/2036 - 07/01/2036 (h)		68,410		71,671
6.145% due 06/01/2029		28		29
6.152% due 02/01/2026		59		59
6.229% due 10/01/2036		5,351		5,676
6.250% due 12/25/2013		820		870
6.290% due 02/25/2029		1,500		1,643
6.300% due 06/25/2031 - 10/17/2038		5,129		5,345
6.305% due 04/01/2020		105		107
6.325% due 08/01/2029		82		83
6.350% due 06/25/2020		1,412		1,442
6.390% due 05/25/2036		937		975
6.410% due 08/01/2016		927		1,002
6.450% due 09/01/2016		3,402		3,582
6.454% due 02/01/2025		143		148
6.500% due 10/01/2011 - 08/01/2039		410,278		436,584
6.589% due 10/25/2031		42		40
6.703% due 08/01/2028		1,361		1,519
6.850% due 12/18/2027		1,519		1,635
6.875% due 02/01/2018		110		110
6.986% due 01/01/2030		337		360
7.000% due 01/01/2010 - 06/01/2037		3,660		3,971
7.142% due 01/01/2030		95		97
7.163% due 03/01/2030		351		356
7.250% due 01/01/2010		1,065		1,067
7.491% due 08/01/2014		6		6
7.500% due 12/01/2012 - 07/25/2041		4,286		4,692
7.730% due 01/01/2025		949		1,041
7.800% due 10/25/2022 - 06/25/2026		220		243
8.000% due 06/01/2015 - 08/01/2030		60		64
8.025% due 05/01/2030		31		32
8.200% due 04/25/2025		302		317
8.500% due 08/01/2011 - 11/01/2017		148		161
8.639% due 06/25/2032		237		253
8.750% due 11/25/2019 - 06/25/2021		194		212
9.000% due 03/01/2010 - 11/01/2025		150		167
9.000% due 05/25/2022 - 06/25/2022 (b)		56		12
9.250% due 10/01/2009		1		1
9.500% due 11/25/2020 - 04/01/2025		403		456
15.500% due 10/01/2012		1		1
510.000% due 09/25/2019 (b)		0		4
839.670% due 08/25/2020 (b)		0		1
Farmer Mac
6.779% due 01/25/2013		1,945		1,925
8.400% due 04/25/2030		1,137		1,117
Federal Home Loan Bank
7.400% due 02/01/2021		271		271
Federal Housing Administration
6.875% due 12/01/2016		244		240
6.896% due 07/01/2020		305		301
7.430% due 07/01/2018 - 07/01/2024		4,604		4,616
Freddie Mac
0.469% due 07/15/2019 - 10/15/2020		4,760		4,665
0.519% due 03/15/2031 - 09/15/2035		2,314		2,305
0.549% due 02/15/2019		10,738		10,542
0.554% due 07/25/2031		83		74
0.564% due 05/25/2031		332		224
0.594% due 09/25/2031		381		347
0.619% due 05/15/2036		241		233
0.669% due 12/15/2029 - 12/15/2030		4,604		4,542
0.702% due 03/09/2011 (f)		4,595		4,612
0.719% due 03/15/2017 - 06/15/2018		4,149		4,083
0.769% due 11/15/2030 - 12/15/2031		158		157
0.819% due 02/15/2028 - 03/15/2032		191		190
0.825% due 03/15/2024 - 09/15/2026		545		542
0.869% due 03/15/2032		7		7
0.875% due 05/15/2023		1		1
0.926% due 05/04/2011 (f)		4,532		4,544
0.937% due 08/05/2011 (f)		516		516
1.102% due 01/14/2011 (f)		13,688		13,721
1.269% due 04/15/2031		6,717		6,736
1.519% due 07/15/2027		2,158		2,197
2.500% due 03/01/2017		12		12
2.750% due 02/01/2017		4		4
2.838% due 03/01/2032 - 07/25/2044		24,891		24,653
2.877% due 05/01/2017 - 09/01/2018		239		239
3.125% due 04/01/2018		20		21
3.200% due 09/01/2027		47		48
3.250% due 01/01/2017		8		8
3.285% due 07/01/2029		37		37
3.384% due 06/01/2022		7		7
3.500% due 12/15/2022 - 07/15/2032		175		174
3.503% due 08/01/2018		79		79
3.576% due 07/01/2028		470		471
3.588% due 03/01/2033		307		307
3.685% due 07/01/2030		343		341
3.755% due 03/01/2027		17		17
3.802% due 10/01/2023		954		974
3.809% due 02/01/2031		25		26
3.832% due 08/15/2032		1,340		1,352
3.835% due 07/01/2019		97		97
4.000% due 07/01/2039		183,000		176,998
4.044% due 11/01/2027		204		206
4.051% due 08/01/2030		11		12
4.086% due 08/01/2027		16		16
4.090% due 02/01/2029		194		196
4.123% due 04/01/2029		64		64
4.198% due 11/01/2029		1,773		1,787
4.204% due 07/01/2027		72		73
4.225% due 05/01/2032		18		19
4.231% due 04/01/2031		7		7
4.261% due 06/01/2024		34		34
4.280% due 03/01/2033		108		112
4.292% due 12/01/2029		286		290
4.330% due 12/01/2032		129		130
4.342% due 11/01/2027		14		14
4.345% due 01/01/2028		156		158
4.370% due 06/01/2028		95		95
4.375% due 12/01/2018		3		3
4.377% due 05/01/2032		71		72
4.466% due 10/01/2024		109		110
4.473% due 07/01/2024		97		99
4.476% due 09/01/2028		41		42
4.491% due 10/01/2036		1,036		1,077
4.500% due 08/15/2016 - 04/01/2020		1,945		1,994
4.510% due 02/01/2029		325		331
4.541% due 06/01/2022		46		47
4.575% due 06/01/2030		6		6
4.625% due 04/01/2019		21		21
4.710% due 10/01/2018		4		4
4.715% due 08/01/2029		62		63
4.732% due 11/01/2034		750		768
4.751% due 07/01/2030		25		26
4.770% due 02/01/2027		448		455
4.824% due 10/01/2027		28		28
4.825% due 09/01/2027		22		23
4.853% due 12/01/2026		19		19
4.855% due 07/01/2035		691		715
4.886% due 10/01/2035		876		898
4.902% due 09/01/2026		311		315
4.908% due 05/01/2032		495		495
4.921% due 10/01/2024		143		145
4.928% due 05/01/2032		869		883
4.959% due 10/01/2027		53		54
4.960% due 04/01/2025		37		37
4.995% due 09/01/2024		31		32
5.000% due 01/15/2010 - 08/01/2039		649,150		659,640
5.000% due 12/01/2020 (f)		76,237		79,317
5.020% due 11/01/2031 - 03/01/2035		485		503
5.023% due 08/01/2035		1,623		1,672
5.077% due 11/01/2027		147		147
5.129% due 10/01/2023		81		81
5.231% due 08/01/2031		15		16
5.250% due 08/01/2031		2		2
5.266% due 10/01/2024		109		112
5.325% due 05/01/2019		14		14
5.366% due 02/01/2027		77		79
5.440% due 12/01/2035		5,323		5,543
5.500% due 05/15/2016 - 07/01/2039		909,255		939,338
5.500% due 06/01/2036 - 03/01/2039 (h)		1,159,997		1,199,256
5.577% due 05/01/2037		4,046		4,193
5.774% due 03/01/2029		138		140
6.000% due 03/01/2017 - 07/01/2039		482,028		503,461
6.000% due 03/01/2038 (h)		46,683		48,799
6.125% due 09/01/2018		13		13
6.250% due 12/15/2028		1,468		1,557
6.500% due 10/15/2013 (b)		16		0
6.500% due 08/01/2016 - 10/25/2043		130,019		138,391
7.000% due 11/15/2020 - 12/01/2032		1,493		1,594
7.000% due 10/25/2023 (b)		57		10
7.500% due 11/01/2010 - 06/01/2031		587		631
7.500% due 08/15/2029 (b)		26		4
7.645% due 05/01/2025		1,250		1,360
8.000% due 11/01/2013 - 09/01/2030		83		91
8.500% due 02/01/2010 - 08/01/2027		318		346
9.000% due 12/15/2020 - 02/15/2021		328		333
9.050% due 06/15/2019		59		64
9.500% due 12/15/2020 - 06/01/2021		319		322
9.500% due 11/01/2021 (b)		29		6
Ginnie Mae
0.518% due 05/16/2030 - 02/16/2032		773		757
0.618% due 12/16/2026 - 01/16/2031		1,436		1,417
0.665% due 06/20/2032		362		356
0.718% due 06/16/2031 - 03/16/2032		1,038		1,028
0.768% due 10/16/2030		39		38
0.818% due 02/16/2030 - 04/16/2032		818		816
0.868% due 12/16/2025		546		540
0.918% due 02/16/2030		94		94
0.968% due 02/16/2030		81		80
1.265% due 03/20/2031		3,884		3,884
1.315% due 02/20/2031		2,343		2,119
1.663% due 01/20/2059		1,181		1,096
1.686% due 10/20/2058		1,019		946
3.750% due 02/20/2032		525		531
3.875% due 11/20/2031		1,858		1,885
4.000% due 10/20/2028 - 08/01/2039		364,331		351,891
4.125% due 10/20/2018 - 01/20/2030		6,447		6,552
4.250% due 01/20/2028 - 03/20/2030		767		779
4.375% due 03/20/2021 - 03/20/2028		3,381		3,456
4.500% due 03/20/2016 - 08/01/2039		335,545		335,474
4.625% due 08/20/2017 - 07/20/2035		39,913		40,827
5.000% due 01/20/2034 - 08/01/2039		459,311		467,757
5.375% due 04/20/2017 - 04/20/2033		26,595		27,459
5.500% due 05/20/2030 - 08/01/2039		306,190		315,678
5.875% due 04/20/2019		27		28
6.000% due 04/15/2011 - 07/01/2039		964,002		1,005,578
6.000% due 07/15/2038 (g)		16,908		17,642
6.000% due 09/15/2038 (f)		83,102		86,562
6.250% due 03/16/2029		3,126		3,352
6.500% due 04/15/2011 - 07/01/2039		79,554		84,578
6.980% due 03/16/2041		5,579		6,016
7.000% due 09/15/2012 - 02/16/2029		1,312		1,404
7.270% due 12/15/2040		1,716		1,740
7.500% due 02/15/2017 - 11/15/2031		1,939		2,102
7.750% due 10/15/2025		20		22
8.000% due 08/15/2011 - 09/20/2031		5,515		5,918
8.500% due 06/15/2027 - 03/20/2031		1,297		1,446
9.000% due 04/15/2020 - 08/20/2030		90		100
9.500% due 12/15/2021		58		64
Small Business Administration
5.370% due 04/01/2028		12,641		13,357
5.490% due 05/01/2028		15,808		16,792
5.870% due 05/01/2026 - 07/01/2028		12,315		13,077
6.344% due 08/01/2011		110		116
6.640% due 02/01/2011		139		146
7.190% due 12/01/2019		241		261
7.220% due 11/01/2020		729		793
7.449% due 08/01/2010		254		263
8.017% due 02/10/2010		39		40
Vendee Mortgage Trust
6.500% due 03/15/2029		2,032		2,158
6.809% due 01/15/2030		660		703
Total U.S. Government Agencies (Cost $18,081,818)				18,385,060
MORTGAGE-BACKED SECURITIES 18.1%
Adjustable Rate Mortgage Trust
4.999% due 03/25/2035		24,582		18,378
5.152% due 09/25/2035		3,287		2,140
5.409% due 01/25/2036		2,941		2,274
American Home Mortgage Assets
0.504% due 05/25/2046		27,580		10,181
0.504% due 09/25/2046		11,120		4,682
0.504% due 10/25/2046		3,714		1,479
0.524% due 10/25/2046		23,905		7,795
0.544% due 09/25/2046		6,834		1,491
0.604% due 08/25/2037		12,942		721
2.040% due 02/25/2047		12,160		4,001
2.260% due 11/25/2046		19,503		8,946
American Home Mortgage Investment Trust
0.554% due 05/25/2047		3,994		832
4.290% due 10/25/2034		7,248		5,149
4.440% due 02/25/2045		3,590		2,737
5.660% due 09/25/2045		6,511		3,991
Banc of America Commercial Mortgage, Inc.
5.414% due 09/10/2047		10,000		8,002
Banc of America Funding Corp.
0.605% due 05/20/2035		2,168		1,003
3.781% due 05/25/2035		1,358		1,155
5.357% due 11/20/2035		3,754		2,295
5.745% due 03/20/2036		6,901		4,035
5.753% due 10/25/2036		4,600		2,884
5.837% due 01/25/2037		3,700		1,843
5.888% due 04/25/2037		8,624		5,401
Banc of America Mortgage Securities, Inc.
0.764% due 01/25/2034		462		421
3.994% due 07/25/2033		464		403
4.130% due 06/20/2031		401		303
4.170% due 06/25/2034		1,874		1,755
4.185% due 07/25/2034		27		22
4.765% due 07/20/2032		72		39
4.839% due 08/25/2033		14,639		12,873
5.000% due 05/25/2034		271		266
5.433% due 02/25/2036		2,137		1,433
6.500% due 10/25/2031		148		145
Banc of America Structural Security Trust
0.821% due 10/11/2033		90		89
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		6,020		5,174
2.500% due 08/25/2035		5,224		4,575
2.900% due 03/25/2035		16,467		14,249
3.859% due 11/25/2030		14		13
4.550% due 08/25/2035		8,596		7,594
4.740% due 10/25/2035		1,061		1,024
4.784% due 04/25/2034		35		30
4.808% due 11/25/2034		4,282		3,549
4.965% due 01/25/2035		2,541		2,146
4.991% due 01/25/2035		1,902		1,410
5.088% due 02/25/2033		24		21
5.172% due 02/25/2034		3,240		2,090
5.457% due 05/25/2047		21,026		12,269
5.583% due 01/25/2034		14		13
5.733% due 02/25/2036		12,243		7,212
Bear Stearns Alt-A Trust
5.303% due 08/25/2036		7,800		2,963
5.362% due 05/25/2035		1,269		823
5.490% due 09/25/2035		22,907		12,447
5.673% due 11/25/2036		1,555		791
5.694% due 11/25/2036		1,769		897
5.738% due 01/25/2036		3,646		1,825
5.841% due 11/25/2036		880		428
Bear Stearns Commercial Mortgage Securities
5.060% due 11/15/2016		15		15
5.331% due 02/11/2044		24,000		19,487
5.405% due 12/11/2040		3,000		2,676
5.540% due 09/11/2041		45,500		37,858
5.700% due 06/11/2050		30,000		23,913
5.909% due 06/11/2040		40,400		33,294
7.000% due 05/20/2030		1,802		1,694
Bear Stearns Mortgage Securities, Inc.
4.276% due 06/25/2030		42		40
Bear Stearns Structured Products, Inc.
5.644% due 01/26/2036		6,555		3,623
5.714% due 12/26/2046		3,913		2,384
Bella Vista Mortgage Trust
0.565% due 05/20/2045		1,049		410
CC Mortgage Funding Corp.
0.494% due 05/25/2036		753		597
0.564% due 08/25/2035		1,408		914
0.930% due 01/25/2035		820		297
Chase Mortgage Finance Corp.
5.426% due 03/25/2037		7,775		4,771
5.978% due 09/25/2036		613		452
Citicorp Mortgage Securities, Inc.
5.375% due 12/25/2019		25		25
6.500% due 02/25/2024		513		507
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		50		43
5.888% due 12/10/2049		440		349
Citigroup Mortgage Loan Trust, Inc.
2.850% due 12/25/2035		45		37
4.098% due 08/25/2035		2,957		2,148
4.248% due 08/25/2035		16,947		13,496
4.669% due 08/25/2035		3,130		929
4.685% due 03/25/2034		1,753		1,512
4.735% due 12/25/2035		10,444		5,818
4.748% due 08/25/2035		6,368		5,070
5.672% due 07/25/2046		5,700		3,044
5.994% due 09/25/2037		38,933		21,111
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.617% due 10/15/2048		2,000		1,633
CitiMortgage Alternative Loan Trust
6.000% due 06/25/2037		4,439		2,860
Collateralized Mortgage Obligation Trust
0.000% due 09/23/2017 (c)		3		3
Commercial Mortgage Pass-Through Certificates
0.419% due 04/15/2017		1,456		1,416
0.818% due 02/16/2034		4,055		3,611
4.867% due 05/10/2043		21,387		20,852
6.010% due 12/10/2049		12,000		9,570
Countrywide Alternative Loan Trust
0.465% due 05/20/2046		57		48
0.484% due 01/25/2037		1,200		468
0.494% due 05/25/2047		11,250		4,228
0.504% due 09/25/2046		21,660		8,283
0.504% due 11/25/2046		5,108		1,978
0.510% due 12/20/2046		44,646		17,928
0.514% due 05/25/2036		949		376
0.515% due 07/20/2046		2,156		832
0.524% due 05/25/2035		2,785		1,258
0.524% due 07/25/2046		4,533		1,944
0.525% due 03/20/2046		4,408		1,813
0.525% due 05/20/2046		8,794		3,520
0.525% due 07/20/2046		20,587		7,957
0.534% due 05/25/2035		517		234
0.544% due 08/25/2046		7,701		1,502
0.564% due 05/25/2035		752		326
0.564% due 09/25/2046		4,050		333
0.564% due 10/25/2046		2,601		620
0.574% due 07/25/2046		2,850		242
0.584% due 05/25/2036		2,581		372
0.594% due 12/25/2035		812		382
0.594% due 02/25/2037		14,528		6,618
0.595% due 09/20/2046		8,850		894
0.644% due 11/20/2035		12,444		5,639
0.654% due 10/25/2046		2,250		254
0.664% due 06/25/2037		4,427		985
0.664% due 06/25/2047		459		100
0.684% due 11/25/2035		1,250		237
0.734% due 12/25/2035		1,930		456
0.824% due 11/20/2035		3,350		430
1.084% due 11/25/2035		5,015		2,136
2.340% due 12/25/2035		15,591		7,070
5.306% due 10/25/2035		2,975		2,036
5.750% due 03/25/2037		5,600		2,570
5.886% due 02/25/2037		16,292		9,608
5.889% due 11/25/2035		6,763		3,796
6.000% due 10/25/2032		353		306
6.000% due 02/25/2037		4,901		2,973
6.250% due 11/25/2036		5,617		3,864
Countrywide Home Loan Mortgage Pass-Through Trust
0.544% due 05/25/2035		2,912		1,299
0.604% due 04/25/2035		1,958		883
0.614% due 04/25/2046		3,813		628
0.624% due 03/25/2035		4,778		2,237
0.634% due 03/25/2035		28,437		12,546
0.644% due 02/25/2035		1,452		760
0.654% due 02/25/2035		46		24
0.654% due 06/25/2035		992		721
0.654% due 03/25/2036		1,803		333
0.664% due 02/25/2036		2,605		473
0.714% due 03/25/2035		1,113		169
0.904% due 08/25/2034		3,041		1,256
2.640% due 09/25/2034		1,165		687
3.750% due 07/19/2031		9		9
4.244% due 11/19/2033		30		25
4.543% due 08/25/2034		2,022		1,247
4.616% due 11/19/2033		76		65
4.786% due 11/25/2034		3,011		2,288
5.250% due 01/20/2035		3,371		2,683
5.364% due 10/20/2035		7,442		3,589
5.500% due 11/25/2035		3,372		2,300
5.550% due 04/20/2036		5,997		3,981
5.575% due 02/20/2036		1,854		973
5.752% due 05/20/2036		11,106		5,635
6.069% due 09/25/2047		3,782		2,227
Credit Suisse Mortgage Capital Certificates
5.467% due 09/15/2039		16,625		11,684
5.579% due 04/25/2037		4,073		1,852
5.863% due 02/25/2037		8,700		3,869
5.912% due 06/15/2039		3,500		2,393
CS First Boston Mortgage Securities Corp.
0.206% due 08/15/2038 (b)		341,958		910
3.755% due 06/25/2033		74		62
4.666% due 03/15/2036		600		579
4.832% due 04/15/2037		3,000		2,599
5.329% due 06/25/2032		5		4
7.290% due 09/15/2041		9		9
CSAB Mortgage-Backed Trust
5.684% due 12/25/2036		6,700		3,758
5.720% due 09/25/2036		7,600		4,841
6.172% due 06/25/2036		9,372		4,996
CW Capital Cobalt Ltd.
5.484% due 04/15/2047		3,900		2,577
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.404% due 08/25/2037		200		173
5.500% due 12/25/2035		7,967		4,510
5.590% due 10/25/2035		5,440		2,814
5.869% due 10/25/2036		7,393		4,000
5.886% due 10/25/2036		7,400		4,007
6.300% due 07/25/2036		8,098		4,056
DLJ Commercial Mortgage Corp.
7.340% due 10/10/2032		598		597
DLJ Mortgage Acceptance Corp.
4.621% due 11/25/2023		16		16
Downey Savings & Loan Association Mortgage Loan Trust
0.623% due 11/19/2037		6,250		529
0.633% due 07/19/2045		2,963		733
FFCA Secured Lending Corp.
8.180% due 09/18/2027		2,000		730
8.970% due 09/18/2027		4,000		1,923
Fifth Third Mortgage Loan Trust
4.819% due 11/19/2032		109		96
First Horizon Alternative Mortgage Securities
6.250% due 08/25/2037		5,518		4,165
First Horizon Asset Securities, Inc.
4.742% due 12/25/2033		3,950		3,260
5.365% due 08/25/2035		50		38
First Nationwide Trust
6.750% due 08/21/2031		91		81
First Republic Mortgage Loan Trust
0.619% due 08/15/2032		14,245		12,106
0.669% due 11/15/2031		6,107		4,894
1.498% due 11/15/2031		1,454		1,203
GMAC Mortgage Corp. Loan Trust
4.765% due 06/25/2034		4,364		2,367
5.500% due 09/25/2034		4,599		4,613
Greenpoint Mortgage Funding Trust
0.514% due 10/25/2046		3,550		376
0.514% due 12/25/2046		3,350		315
0.524% due 10/25/2046		4,750		630
0.534% due 06/25/2045		2,146		915
0.544% due 06/25/2045		7,480		3,148
0.584% due 04/25/2036		3,518		1,076
0.634% due 09/25/2046		2,850		123
0.654% due 10/25/2046		3,852		179
Greenpoint Mortgage Pass-Through Certificates
4.826% due 10/25/2033		240		182
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		830		664
GS Mortgage Securities Corp. II
5.560% due 11/10/2039		3,310		2,709
6.044% due 08/15/2018		6,281		6,284
GSR Mortgage Loan Trust
0.574% due 08/25/2046		3,793		1,011
3.726% due 06/25/2034		156		133
4.469% due 09/25/2035		526		443
4.971% due 04/25/2036		787		445
5.176% due 01/25/2036		8,586		5,769
5.241% due 11/25/2035		44,518		34,683
5.347% due 11/25/2035		6,156		4,404
GSRPM Mortgage Loan Trust
0.714% due 11/25/2031		1,892		1,767
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		681		630
0.458% due 04/19/2038		1,323		529
0.493% due 07/19/2046		23,546		9,774
0.503% due 01/19/2038		23,455		10,027
0.503% due 02/19/2046		15,603		6,682
0.505% due 08/21/2036		4,985		2,115
0.513% due 09/19/2046		11,177		4,799
0.533% due 05/19/2035		7,109		3,188
0.533% due 05/19/2047		18,935		7,317
0.563% due 01/19/2038		2,396		435
0.563% due 09/19/2046		3,651		899
2.725% due 11/19/2034		199		66
4.828% due 08/19/2034		6,266		4,130
5.234% due 07/19/2035		148		90
5.849% due 08/19/2036		3,147		1,903
Homebanc Mortgage Trust
0.494% due 12/25/2036		1,175		513
5.797% due 04/25/2037		7,205		5,017
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		6		6
Indymac ARM Trust
3.708% due 01/25/2032		15		10
Indymac IMSC Mortgage Loan Trust
0.494% due 07/25/2047		6,870		2,637
Indymac INDB Mortgage Loan Trust
0.614% due 11/25/2035		455		173
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		2,949		2,748
0.504% due 04/25/2037		2,169		388
0.504% due 09/25/2046		18,478		7,218
0.514% due 11/25/2046		4,476		679
0.514% due 06/25/2047		10,144		4,214
0.524% due 05/25/2046		3,195		1,320
0.554% due 04/25/2035		5,821		2,601
0.554% due 07/25/2035		2,985		1,315
0.564% due 02/25/2037		2,450		303
0.584% due 06/25/2037		4,357		962
0.604% due 11/25/2036		3,534		563
0.614% due 06/25/2037		1,269		397
4.317% due 01/25/2036		4		2
4.976% due 12/25/2034		30		23
5.000% due 08/25/2035		3,574		1,919
5.099% due 09/25/2035		6,587		4,082
5.275% due 01/25/2036		3,838		2,593
JPMorgan Alternative Loan Trust
0.808% due 06/27/2037		132,387		89,629
JPMorgan Chase Commercial Mortgage Securities Corp.
0.694% due 07/15/2019		173,860		125,843
4.853% due 03/15/2046		14,776		14,314
5.305% due 01/15/2049		37,000		33,510
5.935% due 02/12/2049		26,000		19,734
6.007% due 06/15/2049		52,356		40,130
JPMorgan Mortgage Trust
4.773% due 07/25/2035		585		470
5.120% due 10/25/2035		3,600		2,050
5.377% due 08/25/2035		6,968		5,404
5.397% due 11/25/2035		2,979		2,459
Kidder Peabody Mortgage Assets Trust
9.500% due 04/22/2018 (b)		47		12
LB Mortgage Trust
8.444% due 01/20/2017		1,547		1,503
LB-UBS Commercial Mortgage Trust
5.424% due 02/15/2040		4,000		2,919
5.858% due 07/15/2040		71,119		51,832
5.866% due 09/15/2045		25,000		19,193
6.133% due 12/15/2030		470		479
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		3,972		3,517
Luminent Mortgage Trust
0.484% due 12/25/2036		9,321		3,666
0.494% due 12/25/2036		6,497		2,340
0.514% due 10/25/2046		4,801		1,980
MASTR Adjustable Rate Mortgages Trust
0.524% due 04/25/2046		8,699		3,569
0.554% due 05/25/2037		1,943		828
0.614% due 05/25/2047		3,950		425
0.654% due 05/25/2047		3,350		257
MASTR Asset Securitization Trust
5.500% due 09/25/2033		5,313		5,061
MASTR Reperforming Loan Trust
7.000% due 08/25/2034		290		319
MASTR Seasoned Securities Trust
4.901% due 10/25/2032		1,128		733
Mellon Residential Funding Corp.
0.669% due 11/15/2031		2,808		2,042
0.759% due 12/15/2030		2,922		2,355
0.799% due 06/15/2030		402		335
1.199% due 11/15/2031		276		195
Merrill Lynch Alternative Note Asset
0.614% due 03/25/2037		2,800		977
Merrill Lynch Countrywide Commercial Mortgage Trust
5.172% due 12/12/2049		6,300		4,601
5.485% due 03/12/2051		180		121
5.700% due 09/12/2049		4,100		2,840
Merrill Lynch Mortgage Investors, Inc.
0.524% due 02/25/2036		5,248		2,835
0.666% due 04/25/2028 (b)		1,087		12
Merrill Lynch Mortgage Trust
1.787% due 07/12/2034 (b)		54,535		2
Merrill Lynch Mortgage-Backed Securities Trust
5.845% due 04/25/2037		7,812		4,199
MLCC Mortgage Investors, Inc.
0.564% due 11/25/2035		2,137		1,452
1.314% due 10/25/2035		4,084		3,256
3.145% due 01/25/2029		4,000		1,227
Morgan Stanley Capital I
0.380% due 10/15/2020		5,660		4,200
5.447% due 02/12/2044		24,770		18,995
5.692% due 04/15/2049		3,600		2,635
6.076% due 06/11/2049		13,530		10,228
Morgan Stanley Dean Witter Capital I
4.740% due 11/13/2036		4,500		4,254
Morgan Stanley Mortgage Loan Trust
0.684% due 11/25/2035		3,628		1,089
0.824% due 02/25/2047		3,590		1,421
5.380% due 06/25/2036		2,247		1,836
5.401% due 07/25/2035		3,158		1,628
5.701% due 02/25/2047		6,516		3,063
6.359% due 06/25/2036		8,765		3,790
Nomura Asset Acceptance Corp.
5.820% due 03/25/2047		6,200		3,615
6.138% due 03/25/2047		5,600		3,300
7.000% due 02/19/2030		678		652
Ocwen Residential MBS Corp.
6.878% due 06/25/2039		516		11
Opteum Mortgage Acceptance Corp.
0.574% due 07/25/2035		893		615
Prime Mortgage Trust
0.714% due 02/25/2034		291		235
5.000% due 02/25/2019		17		16
RBSSP Resecuritization Trust
0.813% due 11/21/2035		4,550		3,631
0.813% due 11/26/2035		1,335		1,025
0.813% due 06/26/2037		7,607		5,767
Residential Accredit Loans, Inc.
0.414% due 09/25/2046		1,084		852
0.474% due 01/25/2037		2,054		829
0.494% due 06/25/2046		9,017		3,476
0.494% due 02/25/2047		2,123		489
0.514% due 12/25/2046		3,250		392
0.524% due 04/25/2046		19,490		7,353
0.544% due 05/25/2037		5,488		1,133
0.564% due 08/25/2037		5,027		2,000
0.584% due 05/25/2046		2,650		291
0.614% due 08/25/2035		1,192		546
0.619% due 09/25/2046		5,900		684
0.714% due 03/25/2033		523		458
0.714% due 10/25/2045		3,472		1,581
2.049% due 08/25/2035		1,051		472
5.667% due 09/25/2035		5,516		3,434
5.880% due 02/25/2036		5,940		3,044
Residential Asset Mortgage Products, Inc.
6.500% due 11/25/2031		378		362
Residential Asset Securitization Trust
0.714% due 05/25/2033		417		357
6.000% due 03/25/2037		4,835		2,879
Residential Funding Mortgage Securities I
5.202% due 09/25/2035		3,292		2,359
Sequoia Mortgage Trust
0.663% due 10/19/2026		140		106
0.665% due 07/20/2033		2,825		2,270
0.675% due 11/22/2024		40		31
0.695% due 10/20/2027		3,273		2,640
4.263% due 04/20/2035		5,619		4,326
5.102% due 01/20/2047		2,966		1,690
Sovereign Commercial Mortgage Securities Trust
5.835% due 07/22/2030		5,300		4,674
Structured Adjustable Rate Mortgage Loan Trust
0.534% due 05/25/2037		14,747		5,805
1.109% due 06/25/2034		1,399		766
2.839% due 05/25/2035		5,236		2,043
4.026% due 04/25/2034		7,016		5,868
4.266% due 07/25/2034		141		118
5.334% due 01/25/2035		3,619		2,434
5.376% due 11/25/2035		3,918		2,338
5.497% due 07/25/2035		1,946		1,333
5.516% due 08/25/2035		50		33
5.950% due 02/25/2036		6,341		3,363
6.000% due 03/25/2036		6,237		3,173
6.000% due 10/25/2037		5,536		2,584
Structured Asset Mortgage Investments, Inc.
0.444% due 03/25/2037		490		179
0.494% due 06/25/2036		21,784		8,949
0.504% due 06/25/2036		873		331
0.504% due 07/25/2046		36,875		15,433
0.524% due 04/25/2036		42,767		18,018
0.534% due 05/25/2036		5,657		2,246
0.534% due 05/25/2046		7,016		2,788
0.544% due 05/25/2045		3,110		1,400
0.563% due 07/19/2035		8,693		5,531
0.564% due 09/25/2047		6,078		1,340
0.574% due 05/25/2046		6,860		1,521
0.614% due 08/25/2036		4,250		518
0.643% due 10/19/2034		386		294
0.663% due 03/19/2034		1,715		1,070
0.864% due 09/25/2047		16,472		3,578
0.973% due 09/19/2032		5,689		4,255
5.061% due 05/25/2022		1,443		921
5.457% due 05/02/2030		232		198
Structured Asset Securities Corp.
3.716% due 01/25/2032		308		282
3.986% due 06/25/2033		104		77
4.093% due 07/25/2032		3		2
4.395% due 01/25/2034		5,522		4,147
4.504% due 10/25/2035		805		554
4.687% due 02/25/2032		4		4
4.774% due 08/25/2032		593		523
5.000% due 05/25/2035		20,760		16,992
TBW Mortgage-Backed Pass-Through Certificates
0.424% due 01/25/2037		333		303
5.630% due 01/25/2037		3,000		1,410
5.970% due 09/25/2036		9,600		4,816
6.014% due 07/25/2037		6,218		3,189
Thornburg Mortgage Securities Trust
0.414% due 03/25/2037		10,072		8,784
0.434% due 09/25/2046		3,944		3,621
0.444% due 06/25/2037		5,355		4,673
0.464% due 11/25/2046		2,914		2,505
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		5,445		3,924
5.342% due 12/15/2043		82,145		54,264
5.509% due 04/15/2047		25,000		16,655
5.572% due 10/15/2048		5,150		3,979
Wachovia Mortgage Loan Trust LLC
5.453% due 10/20/2035		2,042		1,514
WaMu Mortgage Pass-Through Certificates
0.534% due 07/25/2046		1,128		296
0.544% due 04/25/2045		228		117
0.564% due 11/25/2045		240		188
0.564% due 12/25/2045		180		149
0.574% due 11/25/2045		2,949		1,431
0.604% due 10/25/2045		10,222		5,362
0.624% due 01/25/2045		7,486		3,491
0.634% due 07/25/2045		229		108
0.654% due 01/25/2045		261		121
0.682% due 11/25/2034		4,294		2,217
0.724% due 11/25/2045		3,250		796
0.724% due 12/25/2045		3,250		766
0.802% due 11/25/2034		2,739		922
0.812% due 07/25/2044		645		182
0.854% due 12/25/2027		7,473		5,591
0.954% due 12/25/2027		422		326
1.014% due 12/25/2045		1,097		126
2.080% due 01/25/2047		8,902		3,116
2.090% due 06/25/2047		4,171		1,352
2.100% due 04/25/2047		19,169		8,011
2.139% due 02/25/2047		21,906		8,833
2.139% due 03/25/2047		26,336		10,754
2.150% due 12/25/2046		6,444		2,777
2.150% due 07/25/2047		5,397		2,021
2.160% due 12/25/2046		8,199		2,809
2.180% due 11/25/2046		1,009		353
2.320% due 06/25/2046		6,789		3,096
2.540% due 11/25/2042		204		117
2.740% due 06/25/2042		1,067		776
2.740% due 08/25/2042		2,155		1,365
2.877% due 01/25/2047		3,438		1,433
2.880% due 05/25/2046		2,025		729
2.909% due 06/25/2033		2,041		1,596
3.127% due 07/25/2046		13,222		5,570
3.127% due 08/25/2046		727		332
3.711% due 03/25/2034		53		44
4.478% due 09/25/2033		13,559		12,215
4.585% due 04/25/2035		2,592		2,567
4.913% due 08/25/2035		3,443		2,963
5.293% due 01/25/2037		6,098		3,567
5.394% due 02/25/2037		25,105		14,904
5.468% due 04/25/2037		4,297		2,577
5.575% due 12/25/2036		3,876		2,499
5.581% due 12/25/2036		13,143		8,109
5.632% due 05/25/2037		9,404		6,084
5.687% due 02/25/2037		11,512		6,440
5.833% due 02/25/2037		13,018		8,161
5.928% due 09/25/2036		6,516		4,200
6.052% due 10/25/2036		862		600
Washington Mutual Alternative Mortgage Pass-Through Certificates
0.564% due 07/25/2046		2,417		707
2.100% due 04/25/2047		5,390		1,499
2.110% due 04/25/2047		5,091		1,276
2.180% due 05/25/2047		5,098		1,005
2.310% due 05/25/2046		4,306		1,830
6.268% due 07/25/2036		4,600		2,136
Washington Mutual MSC Mortgage Pass-Through Certificates
4.534% due 11/25/2030		613		505
6.500% due 09/25/2032		2,712		2,673
Wells Fargo Mortgage-Backed Securities Trust
0.814% due 07/25/2037		4,717		2,861
3.476% due 05/25/2035		1,374		1,186
3.585% due 12/25/2034		6,663		6,145
4.577% due 12/25/2033		8,169		7,146
4.679% due 05/25/2035		655		560
4.947% due 01/25/2035		12,570		10,523
4.981% due 12/25/2034		2,999		2,675
5.508% due 08/25/2036		601		450
5.593% due 07/25/2036		8,668		5,821
Total Mortgage-Backed Securities (Cost $2,481,003)				1,844,549
ASSET-BACKED SECURITIES 10.1%
Aames Mortgage Investment Trust
0.714% due 10/25/2035		1,701		1,387
ABFS Mortgage Loan Trust
6.285% due 07/15/2033		2,000		1,276
Access Group, Inc.
2.392% due 10/27/2025		15,387		15,514
Accredited Mortgage Loan Trust
0.364% due 02/25/2037		590		543
ACE Securities Corp.
0.364% due 12/25/2036		11		8
0.374% due 10/25/2036		1,355		883
0.394% due 10/25/2036		362		351
0.404% due 06/25/2037		2,725		1,930
0.444% due 05/25/2036		3,394		2,978
1.014% due 08/25/2030		64		45
AFC Home Equity Loan Trust
0.724% due 06/25/2029		650		283
0.864% due 12/26/2029		27		21
Aircraft Certificate Owner Trust
6.455% due 09/20/2022		1,777		1,530
American Express Credit Account Master Trust
0.409% due 03/15/2012		9,330		9,326
American Express Issuance Trust
0.519% due 09/15/2011		12,000		11,889
Amortizing Residential Collateral Trust
0.584% due 06/25/2032		58		27
0.604% due 07/25/2032		736		392
1.014% due 10/25/2031		371		228
Amresco Residential Securities Mortgage Loan Trust
0.809% due 06/25/2028		178		92
0.869% due 06/25/2027		776		663
0.944% due 09/25/2028		1,785		1,076
1.254% due 06/25/2029		204		119
Argent Securities, Inc.
0.364% due 10/25/2036		44		43
0.514% due 10/25/2035		3,224		2,671
Asset-Backed Funding Certificates
0.374% due 10/25/2036		116		114
0.374% due 11/25/2036		193		184
1.334% due 03/25/2032		1,144		832
Asset-Backed Securities Corp. Home Equity
0.364% due 12/25/2036		728		668
0.394% due 05/25/2037		39		31
0.474% due 06/25/2035		59		57
0.839% due 06/15/2031		332		152
BA Credit Card Trust
1.519% due 12/16/2013		61,541		61,409
Bayview Financial Acquisition Trust
0.658% due 05/28/2037		5,100		2,442
Bear Stearns Asset-Backed Securities Trust
0.344% due 06/25/2036		982		919
0.384% due 10/25/2036		1,281		1,163
0.714% due 09/25/2046		4,404		2,111
0.964% due 02/25/2034		439		155
0.994% due 09/25/2035		6,842		5,739
1.064% due 11/25/2042		1,590		1,203
1.314% due 10/25/2037		6,082		3,279
1.514% due 10/25/2032		681		407
4.786% due 06/25/2043		89		72
Capital Auto Receivables Asset Trust
1.769% due 10/15/2012		800		795
Carrington Mortgage Loan Trust
0.364% due 10/25/2036		171		160
0.364% due 01/25/2037		1,796		1,495
0.414% due 06/25/2037		5,775		4,598
CDC Mortgage Capital Trust
1.364% due 01/25/2033		2,002		1,022
Centex Home Equity
0.614% due 01/25/2032		122		83
1.164% due 01/25/2032		1,148		280
Charming Shoppes Master Trust
0.649% due 05/15/2014		3,750		3,693
Chase Funding Mortgage Loan Asset-Backed Certificates
0.914% due 07/25/2033		89		70
0.954% due 08/25/2032		553		400
0.974% due 11/25/2032		725		521
Chase Issuance Trust
0.359% due 04/15/2013		17,049		16,743
1.069% due 08/17/2015		21,300		20,669
CIT Group Home Equity Loan Trust
0.584% due 06/25/2033		813		595
0.604% due 03/25/2033		350		310
0.964% due 12/25/2031		1,227		436
Citibank Omni Master Trust
1.415% due 12/23/2013		141,100		140,885
1.573% due 12/23/2013		2,700		2,696
Citigroup Mortgage Loan Trust, Inc.
0.374% due 05/25/2037		72		58
0.374% due 07/25/2045		1,256		884
5.764% due 01/25/2037		4,900		2,404
Community Program Loan Trust
4.500% due 10/01/2018		536		536
Conseco Finance
1.019% due 08/15/2033		2,896		711
1.819% due 05/15/2032		1,033		620
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		11,485		6,996
8.200% due 02/01/2032		40,000		23,790
8.400% due 02/01/2032 (a)		391		3
Conseco Financial Corp.
6.240% due 12/01/2028		3,450		3,016
7.060% due 02/01/2031		7,000		4,554
7.400% due 06/15/2027		2,457		2,229
7.550% due 01/15/2029		363		325
8.000% due 07/15/2018		847		874
8.050% due 10/15/2027		310		292
9.100% due 04/15/2025		2,343		2,307
Countrywide Asset-Backed Certificates
0.364% due 03/25/2037		365		360
0.364% due 05/25/2037		588		562
0.364% due 07/25/2037		854		789
0.364% due 08/25/2037		1,879		1,681
0.364% due 12/25/2046		227		223
0.364% due 04/25/2047		1,360		1,272
0.364% due 06/25/2047		527		489
0.374% due 03/25/2037		717		697
0.384% due 06/25/2047		3,221		2,985
0.394% due 03/25/2037		7,757		6,847
0.394% due 06/25/2037		1,162		1,075
0.414% due 07/25/2037		35,000		19,676
0.424% due 10/25/2046		1,476		1,390
0.564% due 04/25/2036		483		329
0.764% due 06/25/2033		815		487
0.784% due 11/25/2033		832		588
0.814% due 09/25/2032		2,750		1,726
1.214% due 10/25/2047		4,056		2,515
Credit-Based Asset Servicing & Securitization LLC
0.384% due 01/25/2037		785		377
1.414% due 04/25/2032		469		269
CS First Boston Mortgage Securities Corp.
0.564% due 01/25/2043		14		14
0.674% due 05/25/2044		1,233		824
Delta Funding Home Equity Loan Trust
1.139% due 09/15/2029		17		6
Denver Arena Trust
6.940% due 11/15/2019		7,745		6,837
EMC Mortgage Loan Trust
0.684% due 05/25/2040		983		689
Equifirst Mortgage Loan Trust
0.554% due 01/25/2034		485		358
First Franklin Mortgage Loan Asset-Backed Certificates
0.364% due 11/25/2036		6,546		6,168
0.424% due 09/25/2036		6,399		5,294
0.694% due 10/25/2034		215		208
First Plus Home Loan Trust
7.670% due 05/10/2024		486		486
Ford Credit Auto Owner Trust
0.649% due 06/15/2010		1,991		1,991
1.219% due 01/15/2011		11,545		11,554
1.519% due 12/15/2010		13,357		13,380
1.739% due 06/15/2012		129,000		129,459
2.100% due 11/15/2011		20,000		20,018
Franklin Auto Trust
1.315% due 10/20/2011		2,864		2,868
1.895% due 06/20/2012		5,200		5,211
GE-WMC Mortgage Securities LLC
0.354% due 08/25/2036		450		332
GMAC Mortgage Corp. Loan Trust
0.554% due 01/25/2029		1,162		685
GSAMP Trust
0.384% due 09/25/2036		767		735
0.464% due 10/25/2036		10,000		429
0.604% due 03/25/2034		46		46
0.714% due 02/25/2033		700		391
GSRPM Mortgage Loan Trust
0.694% due 09/25/2042		449		434
HFC Home Equity Loan Asset-Backed Certificates
0.385% due 03/20/2036		327		319
0.665% due 09/20/2033		2,037		1,525
HSI Asset Securitization Corp. Trust
0.374% due 05/25/2037		41		29
IMC Home Equity Loan Trust
6.880% due 11/20/2028		88		82
7.520% due 08/20/2028		91		78
Indymac Residential Asset-Backed Trust
0.394% due 07/25/2037		33		30
0.444% due 04/25/2047		34		29
Irwin Home Equity Corp.
1.664% due 02/25/2029		1,333		760
JPMorgan Mortgage Acquisition Corp.
0.364% due 07/25/2036		363		344
0.374% due 03/25/2047		49		35
0.384% due 01/25/2037		15,709		13,164
0.394% due 08/25/2036		602		555
Lehman ABS Mortgage Loan Trust
0.404% due 06/25/2037		51		33
Lehman XS Trust
0.394% due 11/25/2046		4,652		3,894
0.434% due 11/25/2036		228		223
0.484% due 04/25/2046		3,679		2,912
0.544% due 06/25/2046		3,787		649
0.544% due 08/25/2046		3,474		741
0.554% due 09/25/2046		4,313		915
0.554% due 11/25/2046		4,227		1,181
0.564% due 08/25/2046		3,557		340
0.634% due 11/25/2046		2,050		348
Long Beach Mortgage Loan Trust
0.374% due 10/25/2036		975		908
0.374% due 12/25/2036		7,079		5,118
1.739% due 03/25/2032		2,260		1,048
MASTR Asset-Backed Securities Trust
0.374% due 11/25/2036		1,145		1,063
0.394% due 05/25/2037		9,372		7,591
0.414% due 03/25/2036		2,488		2,387
0.444% due 01/25/2036		2,304		2,145
Merrill Lynch First Franklin Mortgage Loan Trust
0.374% due 07/25/2037		41		32
Merrill Lynch Mortgage Investors, Inc.
0.374% due 10/25/2037		1,845		426
0.384% due 07/25/2037		859		803
0.394% due 09/25/2037		550		473
0.674% due 06/25/2035		1,181		613
Mesa Trust Asset-Backed Certificates
0.714% due 12/25/2031		1,143		939
Mid-State Trust
6.340% due 10/15/2036		1,660		1,072
7.340% due 07/01/2035		926		720
7.400% due 07/01/2035		40		29
7.790% due 07/01/2035		53		35
7.791% due 03/15/2038		1,971		1,391
8.330% due 04/01/2030		9,345		7,515
Morgan Stanley ABS Capital I
0.354% due 09/25/2036		48		47
0.354% due 01/25/2037		2,191		1,898
0.374% due 05/25/2037		10,093		8,068
0.414% due 10/25/2036		5,000		2,568
0.494% due 01/25/2036		9,642		7,838
0.814% due 03/25/2033		2,511		1,510
1.114% due 07/25/2037		10,504		7,529
Morgan Stanley Home Equity Loan Trust
0.364% due 12/25/2036		2,371		2,121
Morgan Stanley Mortgage Loan Trust
0.674% due 04/25/2037		700		255
5.726% due 10/25/2036		5,324		3,690
5.750% due 11/25/2036		6,154		2,773
5.750% due 04/25/2037		5,134		3,401
6.000% due 07/25/2047		5,564		3,701
Nationstar Home Equity Loan Trust
0.374% due 06/25/2037		428		384
0.434% due 04/25/2037		15		14
Oakwood Mortgage Investors, Inc.
0.694% due 03/15/2018		1,117		757
Option One Mortgage Loan Trust
0.914% due 01/25/2032		247		173
Origen Manufactured Housing
7.650% due 03/15/2032		13,200		11,441
Popular ABS Mortgage Pass-Through Trust
0.404% due 01/25/2037		419		366
Renaissance Home Equity Loan Trust
0.674% due 11/25/2034		391		259
0.754% due 08/25/2033		2,259		1,092
0.814% due 12/25/2033		5,240		2,501
1.514% due 08/25/2032		2,419		1,064
Residential Asset Mortgage Products, Inc.
0.384% due 02/25/2037		1,246		1,068
0.394% due 10/25/2036		704		696
0.404% due 10/25/2036		728		720
0.434% due 10/25/2036		1,340		1,325
0.434% due 05/25/2037		11,167		9,377
Residential Asset Securities Corp.
0.384% due 11/25/2036		736		726
0.384% due 02/25/2037		2,522		2,323
0.394% due 10/25/2036		219		217
0.814% due 07/25/2032		1,448		554
0.894% due 06/25/2033		197		85
0.914% due 06/25/2032		130		52
Residential Funding Mortgage Securities II, Inc.
0.414% due 02/25/2036		268		264
8.350% due 12/25/2024		583		534
8.350% due 03/25/2025		125		123
Residential Mortgage Loan Trust
1.875% due 09/25/2029		196		140
SACO I, Inc.
0.574% due 06/25/2036		1,388		381
Salomon Brothers Mortgage Securities VII, Inc.
1.214% due 01/25/2032		382		208
1.289% due 10/25/2028		528		446
6.930% due 08/25/2028		623		534
Saxon Asset Securities Trust
0.374% due 10/25/2046		989		952
0.654% due 12/26/2034		1,041		519
0.814% due 03/25/2032		1,341		782
0.834% due 08/25/2032		9		8
SBI HELOC Trust
0.484% due 08/25/2036		584		525
Securitized Asset-Backed Receivables LLC Trust
0.364% due 09/25/2036		222		195
0.374% due 12/25/2036		5,361		3,006
0.444% due 05/25/2037		1,386		865
SLM Student Loan Trust
1.082% due 10/27/2014		3,113		3,098
1.092% due 01/25/2018		20		21
1.102% due 10/26/2015		77		77
1.122% due 10/25/2019		1,750		1,735
1.172% due 04/27/2020		4,972		4,808
1.182% due 07/25/2019		5,000		4,789
1.202% due 04/25/2017		325		319
1.262% due 07/25/2023		3,000		2,800
1.492% due 10/27/2014		20,545		20,486
1.542% due 01/25/2017		1,100		1,076
1.842% due 01/25/2019		2,200		2,116
2.192% due 10/25/2016		1,960		1,968
2.592% due 04/25/2023		175,109		178,817
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		219		118
Specialty Underwriting & Residential Finance
0.359% due 11/25/2037		3		3
0.364% due 09/25/2037		3,839		3,718
0.994% due 01/25/2034		289		92
Structured Asset Securities Corp.
0.364% due 10/25/2036		3,344		3,056
0.604% due 01/25/2033		24		17
0.714% due 05/25/2034		1,235		994
1.364% due 01/25/2033		906		220
Trapeza CDO I LLC
2.029% due 11/16/2034		1,000		141
Truman Capital Mortgage Loan Trust
0.654% due 01/25/2034		60		59
UCFC Manufactured Housing Contract
7.900% due 01/15/2028		2,500		1,376
UPS Capital Business Credit
0.869% due 03/15/2027		2,441		612
0.899% due 04/15/2026		168		29
Vanderbilt Mortgage Finance
7.905% due 02/07/2026		64		64
Wells Fargo Home Equity Trust
0.554% due 10/25/2035		5,161		4,938
0.554% due 11/25/2035		44		43
0.564% due 12/25/2035		3,906		3,635
WMC Mortgage Loan Pass-Through Certificates
1.219% due 10/15/2029		15		15
Total Asset-Backed Securities (Cost $1,122,633)				1,025,825
		SHARES
CONVERTIBLE PREFERRED STOCKS 0.0%
American International Group, Inc.
8.500% due 08/01/2011		261,000		2,485
Total Convertible Preferred Stocks (Cost $19,575)				2,485
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 3.9%
COMMERCIAL PAPER 0.4%
Federal Home Loan Bank
0.097% due 07/01/2009	$	39,700		39,700
REPURCHASE AGREEMENTS 0.0%
State Street Bank and Trust Co.
0.010% due 07/01/2009		846		846
(Dated 06/30/2009. Collateralized by Fannie Mae 1.722% due 05/10/2011 valued at $864. Repurchase proceeds are $846.)
U.S. TREASURY BILLS 0.9%
0.109% due 07/02/2009 - 07/23/2009 (d)(f)		91,450		91,447
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (e) 2.6%
		25,972,740		259,961
Total Short-Term Instruments (Cost $391,954)				391,954
PURCHASED OPTIONS (j) 0.0% (Cost $29)				20
Total Investments 213.0% (Cost $22,143,093)			$	21,695,527
Other Assets and Liabilities (Net) (113.0%)				(11,511,260	)
Net Assets 100.0%			$	10,184,267

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

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

(a) Security is in default.

(b) Interest only security.

(c) Principal only security.

(d) Coupon represents a weighted average rate.

(e) Affiliated to the Portfolio.

(f) Securities with an aggregate market value of $199,587 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(g) Securities with an aggregate market value of $17,169 and cash of $10,000 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(h) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $5,012,188 at a weighted average interest rate of 0.449%. On June 30, 2009, securities valued at $3,490,718 were pledged as collateral for reverse repurchase agreements.

(i) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Asset Backed Securities - Buy Protection ⁽¹⁾

Reference Obligation	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Asset-Backed Securities Corp. Home Equity 1-Month USD-LIBOR plus 1.550% due 03/25/2035	UBS	(1.250	%)	03/25/2035	$	1,751	$	1,689	$	0	$	1,689
Avenue CLO Fund Ltd. 3-Month USD-LIBOR plus 1.650% due 07/20/2018	JPM	(1.750	%)	07/20/2018		5,000		4,118		0		4,118
BFC Genesee CDO Ltd. 3-Month USD-LIBOR plus 1.650% due 01/10/2041	JPM	(1.450	%)	01/10/2041		2,460		2,400		0		2,400
Commercial Industrial Finance Corp. 3-Month USD-LIBOR plus 1.600% due 10/20/2020	CITI	(2.150	%)	10/20/2020		5,000		4,315		0		4,315
CS First Boston Mortgage Securities Corp. 5.300% due 07/15/2037	UBS	(1.080	%)	07/15/2037		10,000		8,586		0		8,586
Encore Credit Receivables Trust 1-Month USD-LIBOR plus 1.350% due 10/25/2035	JPM	(1.500	%)	10/25/2035		3,000		2,830		0		2,830
First Franklin Mortgage Loan Asset-Backed Certificates 1-Month USD-LIBOR plus 1.950% due 06/25/2034	MLP	(1.900	%)	06/25/2034		1,464		719		0		719
KLIO Funding Ltd. 3-Month USD-LIBOR plus 1.800% due 04/23/2039	JPM	(1.700	%)	04/23/2039		4,000		3,494		0		3,494
Lancer Funding Ltd. 3-Month USD-LIBOR plus 3.250% due 04/06/2046	JPM	(2.900	%)	04/06/2046		7,053		6,374		0		6,374
LB-UBS Commercial Mortgage Trust 5.406% due 09/15/2040	JPM	(1.170	%)	09/15/2040		4,000		3,551		0		3,551
Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 1.400% due 02/25/2034	BCLY	(0.490	%)	02/25/2034		857		532		0		532
Merrill Lynch Mortgage Trust 5.244% due 11/12/2037	JPM	(1.150	%)	11/12/2037		4,000		3,344		0		3,344
Merrill Lynch Mortgage Trust 5.348% due 06/12/2043	UBS	(1.080	%)	06/12/2043		10,000		8,563		0		8,563
Morgan Stanley ABS Capital I 1-Month USD-LIBOR plus 1.700% due 12/27/2033	MSC	(0.540	%)	12/27/2033		846		522		0		522
Novastar Home Equity Loan 1-Month USD-LIBOR plus 3.500% due 09/25/2034	GSC	(2.200	%)	09/25/2034		3,413		3,126		0		3,126
Octagon Investment Partners X Ltd. 3-Month USD-LIBOR plus 1.400% due 10/18/2020	JPM	(1.850	%)	10/18/2020		1,000		774		0		774
Race Point CLO 3-Month USD-LIBOR plus 1.650% due 04/15/2020	WAC	(1.950	%)	04/15/2020		2,000		1,707		0		1,707
Specialty Underwriting & Residential Finance 1-Month USD-LIBOR plus 1.300% due 02/25/2035	BCLY	(1.240	%)	02/25/2035		764		431		0		431
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.820% due 02/25/2035	BCLY	(0.610	%)	02/25/2035		1,896		1,881		0		1,881
Telos CLO Ltd. 3-Month USD-LIBOR plus 1.700% due 10/11/2021	GSC	(2.500	%)	10/11/2021		1,500		1,191		0		1,191
							$	60,147	$	0	$	60,147

Credit Default Swaps on Asset Backed Securities - Sell Protection ⁽²⁾

Reference Obligation	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
ACE Securities Corp. 1-Month USD-LIBOR plus 0.700% due 07/25/2034	GSC	0.700	%	07/25/2034	$	4,646	$	(1,828	)	$	(1,161	)	$	(667	)
Ameriquest Mortgage Securities, Inc. 1-Month USD-LIBOR plus 0.610% due 01/25/2035	GSC	0.610	%	01/25/2035		5,153		(4,363	)		(3,504	)		(859	)
Ameriquest Mortgage Securities, Inc. 1-Month USD-LIBOR plus 0.640% due 09/25/2034	GSC	0.640	%	09/25/2034		7,500		(2,918	)		(2,550	)		(368	)
Argent Securities, Inc. 1-Month USD-LIBOR plus 0.490% due 10/25/2035	GSC	0.490	%	10/25/2035		7,500		(3,123	)		(2,850	)		(273	)
Asset-Backed Securities Corp. Home Equity 1-Month USD-LIBOR plus 0.630% due 09/25/2034	GSC	0.630	%	09/25/2034		7,500		(4,059	)		(2,325	)		(1,734	)
Bear Stearns Asset-Backed Securities Trust 1-Month USD-LIBOR plus 0.800% due 08/25/2034	GSC	0.800	%	08/25/2034		6,500		(2,967	)		(2,145	)		(822	)
Carrington Mortgage Loan Trust 1-Month USD-LIBOR plus 0.480% due 10/25/2035	GSC	0.480	%	10/25/2035		6,500		(2,113	)		(1,950	)		(163	)
Countrywide Asset-Backed Certificates 1-Month USD-LIBOR plus 0.650% due 06/25/2035	GSC	0.650	%	06/25/2035		8,000		(4,707	)		(2,400	)		(2,307	)
Encore Credit Receivables Trust 1-Month USD-LIBOR plus 0.460% due 07/25/2035	GSC	0.460	%	07/25/2035		7,000		(4,232	)		(2,450	)		(1,782	)
GSAMP Trust 1-Month USD-LIBOR plus 0.490% due 09/25/2035	GSC	0.490	%	09/25/2035		9,000		(3,310	)		(3,150	)		(160	)
Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 0.700% due 10/25/2034	GSC	0.700	%	10/25/2034		7,500		(2,697	)		(2,400	)		(297	)
MASTR Asset-Backed Securities Trust 1-Month USD-LIBOR plus 0.500% due 12/25/2034	GSC	0.500	%	12/25/2034		7,500		(2,837	)		(2,100	)		(737	)
New Century Home Equity Loan Trust 1-Month USD-LIBOR plus 0.450% due 06/25/2035	GSC	0.450	%	06/25/2035		7,500		(2,779	)		(2,550	)		(229	)
Option One Mortgage Loan Trust 1-Month USD-LIBOR plus 0.520% due 02/25/2035	GSC	0.520	%	02/25/2035		5,000		(2,360	)		(2,250	)		(110	)
Park Place Securities, Inc. 1-Month USD-LIBOR plus 0.650% due 10/25/2034	GSC	0.650	%	10/25/2034		7,500		(3,206	)		(2,250	)		(956	)
Park Place Securities, Inc. 1-Month USD-LIBOR plus 0.700% due 10/25/2034	GSC	0.700	%	10/25/2034		7,500		(3,713	)		(2,625	)		(1,088	)
Park Place Securities, Inc. 1-Month USD-LIBOR plus 0.740% due 12/25/2034	GSC	0.740	%	12/25/2034		5,000		(2,141	)		(1,600	)		(541	)
Residential Asset Mortgage Products, Inc. 1-Month USD-LIBOR plus 0.620% due 11/25/2034	GSC	0.620	%	11/25/2034		7,000		(3,581	)		(1,960	)		(1,621	)
Specialty Underwriting & Residential Finance 1-Month USD-LIBOR plus 0.500% due 09/25/2036	GSC	0.500	%	09/25/2036		7,500		(6,821	)		(3,375	)		(3,446	)
Specialty Underwriting & Residential Finance 1-Month USD-LIBOR plus 0.800% due 10/25/2035	GSC	0.800	%	10/25/2035		5,080		(2,178	)		(2,286	)		108
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.440% due 04/25/2035	GSC	0.440	%	04/25/2035		5,000		(2,918	)		(2,750	)		(168	)
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.480% due 09/25/2035	GSC	0.480	%	09/25/2035		13,000		(7,412	)		(7,150	)		(262	)
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.510% due 08/25/2035	GSC	0.510	%	08/25/2035		9,000		(7,036	)		(6,750	)		(286	)
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.650% due 09/25/2034	GSC	0.650	%	09/25/2034		7,500		(1,819	)		(3,000	)		1,181
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.850% due 12/25/2034	GSC	0.850	%	12/25/2034		6,066		(4,967	)		(2,123	)		(2,844	)
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 0.950% due 04/25/2034	GSC	1.425	%	04/25/2034		2,195		(787	)		(878	)		91
Structured Asset Investment Loan Trust 1-Month USD-LIBOR plus 1.300% due 11/25/2034	GSC	1.300	%	11/25/2034		2,659		(2,579	)		(2,499	)		(80	)
Wells Fargo Home Equity Trust 1-Month USD-LIBOR plus 0.630% due 04/25/2034	GSC	0.630	%	04/25/2034		2,228		(1,049	)		(780	)		(269	)
							$	(94,500	)	$	(73,811	)	$	(20,689	)

Credit Default Swaps on Credit Indices - Buy Protection ⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(3)		Market Value(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CMBX.NA AAA 2 Index	BOA	(0.070	%)	03/15/2049	$	17,000	$	3,148	$	4,061	$	(913	)
CMBX.NA AAA 2 Index	JPM	(0.070	%)	03/15/2049		1,000		185		236		(51	)
CMBX.NA AAA 2 Index	MSC	(0.070	%)	03/15/2049		52,150		9,658		11,872		(2,214	)
CMBX.NA AAA 3 Index	BCLY	(0.080	%)	12/13/2049		11,000		2,736		2,255		481
CMBX.NA AAA 3 Index	BOA	(0.080	%)	12/13/2049		15,700		3,905		2,747		1,158
CMBX.NA AAA 3 Index	CITI	(0.080	%)	12/13/2049		25,000		6,219		5,000		1,219
CMBX.NA AAA 3 Index	CSFB	(0.080	%)	12/13/2049		45,500		11,317		11,318		(1	)
CMBX.NA AAA 3 Index	GSC	(0.080	%)	12/13/2049		30,000		7,462		5,325		2,137
CMBX.NA AAA 3 Index	JPM	(0.080	%)	12/13/2049		47,000		11,691		11,699		(8	)
CMBX.NA AAA 3 Index	MSC	(0.080	%)	12/13/2049		32,750		8,146		5,985		2,161
CMBX.NA AAA 3 Index	RBS	(0.080	%)	12/13/2049		30,000		7,462		5,400		2,062
CMBX.NA AAA 4 Index	BCLY	(0.350	%)	02/17/2051		7,600		2,034		623		1,411
CMBX.NA AAA 4 Index	BOA	(0.350	%)	02/17/2051		13,500		3,613		1,071		2,542
CMBX.NA AAA 4 Index	DUB	(0.350	%)	02/17/2051		11,250		3,012		3,948		(936	)
CMBX.NA AAA 4 Index	GSC	(0.350	%)	02/17/2051		3,000		803		793		10
CMBX.NA AAA 4 Index	MSC	(0.350	%)	02/17/2051		14,400		3,854		3,744		110
							$	85,245	$	76,077	$	9,168

Credit Default Swaps on Credit Indices - Sell Protection ⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(3)		Market Value(4)			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
ABX.HE A 06-1 Index	BCLY	0.540	%	07/25/2045	$	9,760	$	(8,989	)	$	(268	)	$	(8,721	)
ABX.HE A 06-2 Index	CSFB	0.440	%	05/25/2046		20,642		(19,910	)		(11,456	)		(8,454	)
ABX.HE A 06-2 Index	UBS	0.440	%	05/25/2046		1,651		(1,584	)		(851	)		(733	)
ABX.HE AA 07-1 Index	CITI	0.150	%	08/25/2037		5,000		(4,849	)		(2,606	)		(2,243	)
ABX.HE AAA 07-1 Index	CITI	0.090	%	08/25/2037		100,000		(74,178	)		(75,875	)		1,697
ABX.HE BBB 06-2 Index	CITI	1.330	%	05/25/2046		14,467		(14,032	)		(3,974	)		(10,058	)
ABX.HE BBB 06-2 Index	JPM	1.330	%	05/25/2046		467		(444	)		(9	)		(435	)
ABX.HE BBB 06-2 Index	MLP	1.330	%	05/25/2046		1,283		(1,225	)		(355	)		(870	)
ABX.HE BBB 06-2 Index	MSC	1.330	%	05/25/2046		2,334		(2,224	)		(630	)		(1,594	)
ABX.HE BBB 06-2 Index	UBS	1.330	%	05/25/2046		22,284		(21,614	)		(6,067	)		(15,547	)
ABX.HE BBB 07-1 Index	MLP	2.240	%	08/25/2037		2,796		(2,620	)		(622	)		(1,998	)
CMBX.NA BBB- 1 Index	DUB	1.340	%	10/12/2052		8,000		(6,772	)		80			(6,852	)
							$	(158,441	)	$	(102,633	)	$	(55,808	)

⁽¹⁾ If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁴⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Receive	30-Day USD-CMM Rate	4.000	%	09/29/2009	GSC	$	130,000	$	7,019	$	(233	)	$	7,252
Receive	30-Day USD-CMM Rate	4.000	%	09/29/2009	MLP		40,000		2,160		(243	)		2,403
								$	9,179	$	(476	)	$	9,655

(j) Purchased options outstanding on June 30, 2009:

Options on Securities

Description	Strike Price		Expiration Date	Notional Amount		Cost		Market Value
Put - OTC Fannie Mae 5.500% due 08/01/2039	$	96.000	08/06/2009	$	250,000	$	29	$	20

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	4.000	%	07/01/2039	$	219,000	$	210,719	$	212,820
Fannie Mae	4.000	%	08/01/2039		252,000		243,666		243,338
Fannie Mae	4.500	%	06/01/2039		1,125,000		1,146,499		1,091,953
Fannie Mae	4.500	%	07/01/2039		503,000		489,926		501,743
Fannie Mae	4.500	%	08/01/2039		248,000		247,396		246,450
Fannie Mae	4.500	%	08/01/2024		31,000		31,532		31,532
Fannie Mae	5.000	%	07/01/2024		193,500		197,688		200,242
Fannie Mae	5.000	%	07/01/2039		2,023,000		2,033,601		2,058,718
Fannie Mae	5.000	%	08/01/2039		176,000		177,668		178,393
Fannie Mae	5.500	%	08/01/2024		142,000		146,328		146,484
Fannie Mae	6.000	%	07/01/2039		852,000		886,433		890,473
Freddie Mac	4.000	%	07/01/2039		183,100		177,287		177,094
Ginnie Mae	4.000	%	07/01/2039		108,000		102,414		104,422
Ginnie Mae	4.500	%	07/01/2039		71,000		70,422		70,845
Ginnie Mae	4.500	%	08/01/2039		69,000		68,666		68,590
Ginnie Mae	5.500	%	07/01/2039		25,000		25,570		25,801
Ginnie Mae	6.000	%	07/01/2039		656,000		676,664		683,572
						$	6,932,479	$	6,932,470

(l) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
U.S. Government Agencies	$	0	$	18,374,134		$	10,926	$	18,385,060
Mortgage-Backed Securities		0		1,831,148			13,401		1,844,549
Asset-Backed Securities		0		1,023,538			2,287		1,025,825
Other Investments++		262,446		174,979			2,668		440,093
Investments, at value	$	262,446	$	21,403,799		$	29,282	$	21,695,527
Short Sales, at value	$	0	$	(6,932,470	)	$	0	$	(6,932,470	)
Financial Derivative Instruments+++	$	0	$	(45,945	)	$	48,418	$	2,473
Total	$	262,446	$	14,425,384		$	77,700	$	14,765,530

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)			Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
U.S. Government Agencies	$	11,988	$	(110	)	$	(2	)	$	4	$	(7	)	$	(947	)	$	10,926
Mortgage-Backed Securities		2,624		9,582			16			118		566			495			13,401
Asset-Backed Securities		3,313		(44	)		52			1		(197	)		(838	)		2,287
Other Investments++		2,482		0			2			0		184			0			2,668
Investments, at value	$	20,407	$	9,428		$	68		$	123	$	546		$	(1,290	)	$	29,282
Financial Derivative Instruments+++	$	50,902	$	0		$	0		$	0	$	(3,420	)	$	936		$	48,418
Total	$	71,309	$	9,428		$	68		$	123	$	(2,874	)	$	(354	)	$	77,700

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Municipal Sector Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 0.2%
American International Group, Inc.
8.175% due 05/15/2058	$	200	$	57
Citigroup, Inc.
8.400% due 04/29/2049 (a)		1,100		827
JPMorgan Chase & Co.
7.900% due 04/29/2049		1,100		965
Total Corporate Bonds & Notes (Cost $2,287)				1,849
MUNICIPAL BONDS & NOTES 106.4%
ALASKA 0.2%
Alaska State Boro of Matanuska-Susitna Revenue Bonds, (AGC Insured), Series 2009
6.000% due 09/01/2032		1,970		2,112
ARIZONA 1.2%
Apache County, Arizona Industrial Development Authority Revenue Bonds, Series 1998
5.875% due 03/01/2033		1,000		866
Arizona State Salt River Project Agricultural Improvement and Power District Revenue Bonds, Series 2009
5.000% due 01/01/2039 (d)		10,000		9,939
Phoenix, Arizona Civic Improvement Corp. Revenue Bonds, Series 2008
5.000% due 07/01/2038		600		602
				11,407
ARKANSAS 0.1%
North Little Rock, Arkansas Health Facilities Board Revenue Bonds, Series 1996
5.750% due 12/01/2021		1,000		1,026
CALIFORNIA 21.9%
Alhambra, California Unified School District General Obligation Bonds, (AGC Insured), Series 2009
5.500% due 08/01/2033		5,000		4,960
Anaheim, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1997
0.000% due 09/01/2022		2,000		926
0.000% due 09/01/2035		5,000		835
California State Association of Bay Area Governments Finance Authority for Non-Profit Corp. Revenue Bonds, (CM Insured), Series 2003
5.200% due 11/15/2022		2,500		2,504
California State Bay Area Toll Authority Revenue Bonds, Series 2008
5.000% due 04/01/2034		5,000		4,735
California State Desert Community College District General Obligation Bonds, (FSA Insured), Series 2007
5.000% due 08/01/2037		2,000		1,888
California State Educational Facilities Authority Revenue Bonds, Series 2007
4.750% due 10/01/2037		500		461
California State Educational Facilities Authority Revenue Bonds, Series 2009
5.000% due 01/01/2039		10,450		9,970
5.000% due 10/01/2039 (d)		10,000		9,907
California State General Obligation Bonds, (AMBAC Insured), Series 2007
4.500% due 08/01/2028		250		200
California State General Obligation Bonds, (MBIA-IBC Insured), Series 2007
5.000% due 06/01/2037		2,030		1,706
California State General Obligation Bonds, Series 2005
5.050% due 12/01/2036		4,970		4,198
California State General Obligation Bonds, Series 2007
4.875% due 12/01/2033		250		204
5.000% due 06/01/2037		5,000		4,203
5.000% due 11/01/2037		5,000		4,200
California State General Obligation Bonds, Series 2009
6.000% due 04/01/2038		7,100		7,110
California State Health Facilities Financing Authority Revenue Bonds, (MBIA-IBC Insured), Series 2007
5.000% due 11/15/2042		13,000		11,143
California State Hollister Joint Powers Financing Authority Revenue Bonds, (FSA Insured), Series 2006
4.500% due 06/01/2037		1,870		1,524
California State Pollution Control Financing Authority Revenue Bonds, Series 1996
0.240% due 11/01/2026		3,000		3,000
California State University Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 11/01/2030		2,300		2,154
California Statewide Communities Development Authority Revenue Notes, (FHA Insured), Series 2009
5.500% due 02/01/2015		2,740		2,982
Chabot-Las Positas, California General Obligation Bonds, (AMBAC Insured), Series 2006
5.000% due 08/01/2030		250		248
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2003
5.625% due 06/01/2038		350		393
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
5.125% due 06/01/2047		4,600		2,490
5.750% due 06/01/2047		3,190		1,916
Grossmont, California Union High School District General Obligation Bonds, (FSA Insured), Series 2009
5.250% due 08/01/2033		6,950		7,020
Huntington Beach, California Union High School District General Obligation Bonds, (FSA-CR/MBIA Insured), Series 2005
0.000% due 08/01/2030		5,000		1,337
Imperial, California Community College District General Obligation Bonds, (XLCA Insured), Series 2006
0.000% due 08/01/2030		1,000		223
Long Beach, California Bond Finance Authority Revenue Bonds, Series 2007
5.500% due 11/15/2027		1,000		858
Los Angeles, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		2,600		2,535
Los Angeles, California Community College District General Obligation Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 08/01/2027		1,200		1,206
5.000% due 08/01/2032		7,200		6,850
Los Angeles, California Community College District General Obligation Bonds, Series 2008
5.000% due 08/01/2033 (d)		17,000		16,266
Los Angeles, California Department of Water & Power Revenue Bonds, Series 2009
5.000% due 07/01/2026		2,350		2,414
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2003
5.000% due 07/01/2021		5,000		5,076
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
4.500% due 07/01/2025		4,700		4,360
4.500% due 01/01/2028		5,300		4,748
Los Angeles, California Wastewater System Revenue Bonds, Series 2009
5.375% due 06/01/2039		4,000		3,979
Lucia Mar, California Unified School District General Obligation Bonds, (FSA Insured), Series 2002
5.000% due 08/01/2022		1,215		1,242
Norco, California Redevelopment Agency Tax Allocation Bonds, (Radian Insured), Series 2004
5.000% due 03/01/2032		1,000		678
Palomar, California Pomerado Health General Obligation Bonds, (AGC Insured), Series 2009
0.000% due 08/01/2019		6,435		3,830
Poway, California Unified School District General Obligation Bonds, Series 2009
0.000% due 08/01/2021		2,500		1,254
0.000% due 08/01/2027		2,500		800
Salinas, California Union High School District General Obligation Bonds, (MBIA-FGIC Insured), Series 2003
0.000% due 10/01/2027		1,000		324
San Bernardino, California Community College District General Obligation Bonds, (FSA Insured), Series 2006
5.000% due 08/01/2031		3,000		2,887
San Bernardino, California Community College District General Obligation Bonds, Series 2008
5.500% due 08/01/2019		300		336
San Diego, California Unified School District General Obligation Bonds, (FSA Insured), Series 2005
4.750% due 07/01/2027		4,000		3,962
San Francisco, California City & County Public Utilities Commission Revenue Bonds, (FSA Insured), Series 2006
4.750% due 11/01/2036		6,000		5,329
Santa Cruz County, California Redevelopment Agency Tax Allocation Bonds, Series 2009
7.000% due 09/01/2036		250		261
Santa Margarita-Dana, California Point Authority Revenue Bonds, Series 2009
5.125% due 08/01/2038		5,000		5,009
Santa Monica-Malibu, California Unified School District General Obligation Bonds, (MBIA-FGIC Insured), Series 1999
0.000% due 08/01/2022		5,000		2,673
Southern California State Metropolitan Water District Revenue Bonds, (MBIA-FGIC Insured), Series 2003
5.000% due 10/01/2036		500		498
Southern California State Metropolitan Water District Revenue Bonds, Series 2009
5.000% due 01/01/2034		6,985		6,936
5.000% due 01/01/2039 (d)		15,350		15,094
Southern California State Tobacco Securitization Agency Revenue Bonds, Series 2006
5.125% due 06/01/2046		9,500		5,210
Southern California State Tobacco Securitization Authority Revenue Bonds, Series 2006
5.000% due 06/01/2037		100		61
Torrance, California Unified School District General Obligation Bonds, Series 2009
5.375% due 08/01/2021		1,500		1,620
University of California Regents Medical Center Revenue Bonds, (MBIA Insured), Series 2007
4.750% due 05/15/2031		1,000		953
University of California Revenue Bonds, Series 2008
5.000% due 05/15/2038		4,000		3,823
University of California Revenue Bonds, Series 2009
5.250% due 05/15/2039		4,000		4,058
				207,567
COLORADO 3.5%
Arapahoe County, Colorado School District No. 5 Cherry Creek General Obligation Bonds, Series 2009
5.000% due 12/15/2028		10,210		10,711
Boulder, Larimer & Weld Counties, Colorado Vrain Valley School District General Obligation Bonds, Series 2009
5.000% due 12/15/2033		3,100		3,114
Colorado State Certificates of Participation Bonds, (MBIA Insured), Series 2005
5.000% due 11/01/2030		7,750		7,804
Colorado State Regional Transportation District Revenue Bonds, (AMBAC Insured), Series 2006
4.500% due 11/01/2032		7,585		7,095
Colorado State School of Mines Revenue Bonds, (AMBAC Insured), Series 2002
5.000% due 12/01/2037		340		309
Colorado State Water Resources & Power Development Authority Revenue Bonds, (AGC Insured), Series 2009
5.250% due 12/01/2038		500		506
Denver, Colorado City & County Certificates of Participation Bonds, Series 2008
0.200% due 12/01/2029		100		100
Gunnison, Colorado Watershed School District No. Re1J General Obligation Bonds, Series 2009
5.250% due 12/01/2033		1,500		1,548
University of Colorado Revenue Bonds, Series 2009
5.375% due 06/01/2038		1,500		1,554
				32,741
DISTRICT OF COLUMBIA 1.8%
District of Columbia Metropolitan Airports Authority Revenue Bonds, Series 2009
5.000% due 10/01/2029		2,500		2,469
District of Columbia Revenue Bonds, Series 2009
5.750% due 10/01/2039		10,000		10,216
District of Columbia Water & Sewer Authority Revenue Bonds, Series 2009
5.500% due 10/01/2039 (d)		2,500		2,580
5.500% due 10/01/2039		2,000		2,064
				17,329
FLORIDA 2.0%
Florida State Board of Education General Obligation Bonds, (MBIA Insured), Series 2007
4.750% due 06/01/2037		100		94
Florida State Board of Education General Obligation Bonds, Series 2008
4.750% due 06/01/2037		1,100		1,052
5.000% due 06/01/2035		1,655		1,650
Florida State Board of Education General Obligation Bonds, Series 2009
5.000% due 06/01/2034		5,000		5,000
Florida State JEA Water & Sewer System Revenue Bonds, Series 2009
5.500% due 10/01/2039		5,000		5,033
Florida State Keys Aqueduct Authority Revenue Bonds, (MBIA-FGIC Insured), Series 2007
5.000% due 09/01/2037		2,850		2,614
Sarasota County, Florida Public Hospital Board Revenue Bonds, (MBIA Insured), Series 1997
6.870% due 10/01/2021		4,000		3,409
				18,852
HAWAII 0.2%
University of Hawaii Revenue Bonds, Series 2009
5.250% due 10/01/2034		2,000		2,024
ILLINOIS 7.5%
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		3,162
0.000% due 12/01/2020		6,550		3,726
Chicago, Illinois Board of Education General Obligation Bonds, (MBIA-FGIC Insured), Series 1998
0.000% due 12/01/2027		2,000		654
Chicago, Illinois General Obligation Bonds, (AMBAC Insured), Series 2007
5.000% due 01/01/2039		500		480
Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001
0.000% due 01/01/2023 (c)		1,555		1,545
Chicago, Illinois General Obligation Bonds, Series 2009
5.000% due 01/01/2034		19,210		18,578
Chicago, Illinois General Obligation Notes, (FSA Insured), Series 2006
8.514% due 01/01/2014		300		242
Chicago, Illinois O’Hare International Airport Revenue Bonds, (MBIA-FGIC Insured), Series 2005
5.250% due 01/01/2023		5,000		5,079
Chicago, Illinois Revenue Bonds, (FHA/GNMA Insured), Series 2007
4.625% due 09/20/2037		1,725		1,439
Cook, Kane, Lake & McHenry Counties, Illinois Community College District No. 512 General Obligation Bonds, Series 2009
4.750% due 12/01/2028		10,000		10,015
Illinois State Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		765		769
Illinois State Finance Authority Revenue Bonds, Series 2009
5.500% due 07/01/2037 (d)		10,000		10,366
5.750% due 07/01/2033		300		322
Illinois State General Obligation Bonds, (AMBAC Insured), Series 2004
5.000% due 11/01/2028		1,000		1,000
Illinois State Toll Highway Authority Revenue Bonds, Series 2008
5.500% due 01/01/2033		8,905		9,222
Peoria, Illinois Public Building Commission Revenue Bonds, (AGC Insured), Series 2009
0.000% due 12/01/2019		4,000		2,319
0.000% due 12/01/2020		3,000		1,616
				70,534
IOWA 0.1%
Coralville, Iowa Certificates of Participation Bonds, Series 2006
5.250% due 06/01/2026		1,000		974
KANSAS 0.4%
Wichita, Kansas Water & Sewer Utility Revenue Bonds, Series 2009
5.000% due 10/01/2039		3,500		3,446
KENTUCKY 0.3%
Paducah, Kentucky Revenue Bonds, (AGC Insured), Series 2009
5.250% due 10/01/2035		3,000		3,052
LOUISIANA 2.0%
Louisiana State Public Facilities Authority Revenue Bonds, Series 2002
5.500% due 05/15/2032		5,000		5,456
Louisiana State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
5.875% due 05/15/2039		17,160		13,504
				18,960
MAINE 0.5%
Maine State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2009
5.000% due 07/01/2039		5,000		5,000
MARYLAND 0.5%
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2007
5.000% due 07/01/2027		1,000		786
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2008
6.000% due 01/01/2043		1,600		1,389
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, Series 2009
6.750% due 07/01/2039		2,000		2,188
				4,363
MASSACHUSETTS 8.0%
Massachusetts State General Obligation Bonds, (FSA Insured), Series 2006
0.153% due 11/01/2019		2,000		1,694
Massachusetts State General Obligation Bonds, Series 2008
5.000% due 09/01/2032		17,770		18,003
Massachusetts State Housing Finance Agency Revenue Bonds, Series 2003
5.000% due 06/01/2034 (d)		5,000		4,767
Massachusetts State Revenue Bonds, (FSA Insured), Series 2005
0.000% due 06/01/2020		12,320		11,128
0.000% due 06/01/2022		10,775		9,548
Massachusetts State Water Pollution Abatement Revenue Bonds, Series 2006
0.000% due 08/01/2023		31,205		25,325
Massachusetts State Water Resources Authority Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 08/01/2034		250		251
Massachusetts State Water Resources Authority Revenue Bonds, Series 2009
5.000% due 08/01/2039		5,000		4,977
				75,693
MICHIGAN 1.4%
Detroit, Michigan Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 07/01/2034		5,125		4,519
Michigan State Higher Education Student Loan Authority Revenue Bonds, (AMBAC Insured), Series 2005
4.875% due 03/01/2030		8,500		6,693
Michigan State Hospital Finance Authority Revenue Bonds, Series 2008
5.750% due 05/15/2038		2,000		1,839
				13,051
MISSOURI 1.2%
Lees Summit, Missouri Industrial Development Authority Revenue Notes, Series 2007
5.000% due 08/15/2010		520		520
Missouri State Heath & Educational Facilities Authority Revenue Bonds, Series 2008
5.375% due 03/15/2039		5,180		5,408
Missouri State Housing Development Commission Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2007
4.750% due 09/01/2032		455		381
Springfield, Missouri Revenue Bonds, (MBIA-FGIC Insured), Series 2006
4.750% due 08/01/2034		4,750		4,634
St. Louis, Missouri Industrial Development Authority Revenue Bonds, Series 2007
4.875% due 03/01/2032		1,000		755
				11,698
NEBRASKA 1.1%
Nebraska State Municipal Energy Agency Revenue Bonds, (BHAC Insured), Series 2009
5.375% due 04/01/2039		10,000		10,411
NEVADA 3.4%
Clark County, Nevada General Obligation Bonds, (FSA Insured), Series 2006
4.750% due 06/01/2030		5,000		4,479
Clark County, Nevada General Obligation Bonds, (MBIA-FGIC Insured), Series 2006
4.750% due 11/01/2035		25,000		21,148
Clark County, Nevada General Obligation Bonds, Series 2008
5.000% due 06/01/2027		6,995		6,929
				32,556
NEW JERSEY 1.4%
New Jersey State Economic Development Authority Revenue Bonds, (AGC Insured), Series 2009
5.500% due 12/15/2034		5,500		5,696
New Jersey State Economic Development Authority Revenue Bonds, Series 1998
6.000% due 11/01/2028		2,480		1,612
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
5.000% due 06/01/2029		100		66
5.000% due 06/01/2041		6,700		3,630
New Jersey State Turnpike Authority Revenue Bonds, Series 2009
5.250% due 01/01/2040		2,500		2,502
				13,506
NEW MEXICO 0.6%
New Mexico State Finance Authority Revenue Bonds, Series 2006
5.000% due 12/15/2026		5,000		5,224
NEW YORK 16.0%
Liberty, New York Development Corp. Revenue Bonds, Series 2005
5.250% due 10/01/2035		5,000		4,539
Liberty, New York Development Corp. Revenue Bonds, Series 2007
5.500% due 10/01/2037		1,000		941
Long Island, New York Power Authority Revenue Bonds, Series 2009
5.750% due 04/01/2039		2,200		2,278
Long Island, New York Power Authority Revenue Notes, (MBIA Insured), Series 2006
0.856% due 09/01/2015		26,000		21,478
New York City, New York General Obligation Bonds, (FSA Insured), Series 2005
1.957% due 08/01/2016		2,200		2,006
New York City, New York General Obligation Bonds, (MBIA Insured), Series 1999
5.125% due 05/15/2029		20		20
New York City, New York General Obligation Bonds, Series 1993
0.200% due 08/01/2018		600		600
New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006
5.000% due 03/01/2031		2,000		1,740
New York City, New York Municipal Water Finance Authority Revenue Bonds, (FSA-CR Insured), Series 2005
9.310% due 06/15/2034		850		854
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2007
4.750% due 06/15/2035 (d)		4,000		3,778
New York City, New York Municipal Water Finance Authority Revenue Bonds, Series 2009
5.000% due 06/15/2039		2,500		2,447
5.000% due 06/15/2040		2,000		1,957
5.250% due 06/15/2040		10,000		10,123
New York City, New York Municipal Water Financial Authority Revenue Bonds, Series 2004
5.000% due 06/15/2039		500		493
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2009
5.250% due 01/15/2030		10,000		10,104
5.375% due 01/15/2034		1,905		1,920
New York City, New York Trust for Cultural Resources Revenue Bonds, (MBIA-FGIC Insured), Series 2004
5.000% due 02/01/2034		1,000		1,004
New York State Dormitory Authority Revenue Bonds, Series 2003
0.250% due 02/15/2031		5,000		5,000
New York State Dormitory Authority Revenue Bonds, Series 2006
5.000% due 07/01/2035		6,985		7,092
New York State Dormitory Authority Revenue Bonds, Series 2008
5.000% due 07/01/2029		15,000		15,239
5.000% due 07/01/2038		4,500		4,412
New York State Dormitory Authority Revenue Bonds, Series 2009
5.000% due 03/15/2038		2,000		1,961
New York State Environmental Facilities Corp. Revenue Bonds, Series 2006
5.000% due 06/15/2025		9,550		9,889
New York State Environmental Facilities Corp. Revenue Bonds, Series 2009
5.000% due 06/15/2034		1,660		1,655
New York State JPMorgan Chase Putters/Drivers Trust Revenue Bonds, Series 2008
19.260% due 06/15/2026		2,340		3,034
New York State Port Authority of New York & New Jersey Revenue Bonds, (MBIA Insured), Series 2004
5.125% due 05/01/2034		2,500		2,329
New York State Port Authority of New York & New Jersey Revenue Bonds, (MBIA-FGIC Insured), Series 2001
5.000% due 08/01/2036		9,810		8,790
New York State Port Authority of New York & New Jersey Revenue Bonds, Series 2008
5.000% due 07/15/2038		2,500		2,492
5.250% due 09/15/2023		1,000		1,004
5.750% due 11/01/2030		2,300		2,322
New York State Thruway Authority Revenue Bonds, (FSA Insured), Series 2005
4.750% due 01/01/2029		5,000		4,833
New York State Triborough Bridge & Tunnel Authority Revenue Bonds, Series 2008
5.000% due 11/15/2038		10,280		10,170
New York State Urban Development Corp. Revenue Bonds, Series 2009
5.250% due 03/15/2038		5,000		5,064
				151,568
OHIO 1.0%
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5.750% due 06/01/2034		200		129
5.875% due 06/01/2030		500		350
5.875% due 06/01/2047		9,800		5,544
6.000% due 06/01/2042		5,600		3,331
				9,354
OREGON 2.3%
Clackamas County, Oregon School District No. 12 General Obligation Bonds, (FSA Insured), Series 2007
0.000% due 06/15/2019 (c)		1,000		967
0.000% due 06/15/2020 (c)		4,140		3,994
0.000% due 06/15/2021 (c)		3,665		3,523
Oregon State Department of Administrative Services Revenue Bonds, Series 2009
5.000% due 04/01/2028		8,750		9,084
Oregon State Department of Transportation Revenue Bonds, Series 2009
5.000% due 11/15/2029		4,000		4,141
				21,709
PENNSYLVANIA 0.9%
Berks County, Pennsylvania Municipal Authority Revenue Bonds, Series 2009
5.500% due 11/01/2031 (b)		2,000		1,975
Bucks County, Pennsylvania Centennial School District General Obligation Bonds, (FSA Insured), Series 2009
5.125% due 12/15/2032		3,250		3,256
Pennsylvania State Turnpike Commission Revenue Bonds, (AGC Insured), Series 2009
5.000% due 06/01/2039		3,000		3,011
				8,242
PUERTO RICO 0.0%
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.000% due 08/01/2054		1,600		83
RHODE ISLAND 0.2%
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.250% due 06/01/2042		2,925		2,151
SOUTH CAROLINA 1.7%
South Carolina State Public Service Authority Revenue Bonds, Series 2008
5.500% due 01/01/2038		8,530		8,888
South Carolina State Tobacco Settlement Revenue Management Authority Revenue Bonds, Series 2001
6.375% due 05/15/2030		6,000		7,027
				15,915
TENNESSEE 2.1%
Nashville & Davidson Counties, Tennessee Health & Educational Facilities Revenue Bonds, Series 2009
5.000% due 10/01/2039		7,000		7,027
Tennessee State Energy Acquisition Corp. Revenue Bonds, Series 2006
5.000% due 02/01/2021		2,000		1,715
5.000% due 02/01/2023		5,210		4,335
5.000% due 02/01/2024		3,500		2,877
5.000% due 02/01/2025		3,000		2,436
5.000% due 02/01/2027		2,000		1,586
				19,976
TEXAS 19.2%
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (AMBAC Insured), Series 2005
5.000% due 05/15/2035		10,000		9,913
Austin, Texas Water & Wastewater Utilities Revenue Bonds, (XLCA Insured), Series 2007
5.000% due 11/15/2032		4,500		4,509
Carrollton-Farmers Branch, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2007
4.750% due 02/15/2032		5,000		4,932
Comal, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2007
5.000% due 02/01/2036		2,200		2,218
Conroe, Texas Independent School District General Obligation Bonds, Series 2009
5.750% due 02/15/2035		5,000		5,203
Dallas, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2006
4.750% due 08/15/2032		2,000		1,972
Denton, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2006
0.000% due 08/15/2025		5,800		2,601
El Paso, Texas General Obligation Bonds, Series 2009
5.000% due 08/15/2025		1,530		1,572
5.500% due 08/15/2034		2,000		2,042
Ennis, Texas Independent School District 903 General Obligation Bonds, (PSF-GTD Insured), Series 2006
0.000% due 08/15/2033		9,155		2,301
Frisco, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2002
0.000% due 08/15/2034		20,000		5,035
Harris County, Texas Revenue Bonds, Series 2009
5.000% due 08/15/2038		10,000		9,760
Houston, Texas Higher Education Finance Corp. Revenue Bonds, Series 2007
4.750% due 05/15/2037		410		402
Houston, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999
4.750% due 02/15/2026		835		835
Houston, Texas Revenue Bonds, (AGC Insured), Series 2009
5.125% due 11/15/2032		5,595		5,618
5.250% due 11/15/2033		5,000		5,050
Houston, Texas Utility System Revenue Bonds, (FSA Insured), Series 2007
5.000% due 11/15/2036		200		195
Lancaster, Texas Independent School District General Obligation Bonds, (FSA Insured), Series 2006
0.000% due 02/15/2024		2,250		1,075
McLennan County, Texas Junior College District General Obligation Bonds, (FSA Insured), Series 2007
5.000% due 08/15/2032		810		812
North Central Texas State Health Facility Development Corp. Revenue Bonds, Series 2009
5.750% due 08/15/2039		2,500		2,461
North Texas State Tollway Authority Revenue Bonds, Series 2008
5.750% due 01/01/2033		1,250		1,217
Round Rock, Texas Independent School District General Obligation Bonds, Series 2009
5.250% due 08/01/2034 (d)		10,000		10,151
San Antonio, Texas Revenue Bonds, (MBIA-FGIC Insured), Series 2007
4.500% due 05/15/2032		700		635
San Antonio, Texas Utilities Revenue Bonds, (MBIA Insured), Series 2005
5.000% due 02/01/2030		7,070		7,155
San Antonio, Texas Water Revenue Bonds, (MBIA Insured), Series 2005
4.750% due 05/15/2038 (d)		25,000		24,347
San Antonio, Texas Water System Revenue Bonds, Series 2009
5.250% due 05/15/2034 (d)		13,790		14,117
Spring, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2009
5.000% due 08/15/2034		9,500		9,631
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2007
5.000% due 02/15/2026		4,500		4,400
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2008
0.200% due 11/15/2033		1,900		1,900
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2009
6.250% due 11/15/2029		8,000		8,597
Texas State General Obligation Bonds, Series 2007
5.000% due 04/01/2037		2,200		2,197
Texas State JPMorgan Chase Putters/Drivers Trust General Obligation Bonds, (PSF-GTD Insured), Series 2008
9.798% due 02/15/2031		300		338
Texas State Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2008
6.250% due 12/15/2026		1,525		1,431
Texas State SA Energy Acquisition Public Facility Corp. Revenue Bonds, Series 2007
5.500% due 08/01/2027		2,000		1,738
Texas State Tarrant Regional Water District Revenue Bonds, (MBIA-FGIC Insured), Series 2006
4.750% due 03/01/2029		5,000		4,844
Texas State Transportation Commission Revenue Bonds, Series 2006
4.750% due 04/01/2024		10,945		11,340
Tyler, Texas Independent School District General Obligation Bonds, Series 2009
5.000% due 02/15/2034		3,000		2,958
University of Texas Revenue Bonds, Series 2006
4.750% due 08/15/2028		6,020		6,112
				181,614
VIRGINIA 0.2%
Fairfax County, Virginia Industrial Development Authority Revenue Bonds, Series 2009
5.500% due 05/15/2035		1,000		1,015
Virginia State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2005
5.500% due 06/01/2026		700		776
				1,791
WASHINGTON 2.9%
King County, Washington General Obligation Bonds, Series 2008
4.750% due 01/01/2034		320		313
King County, Washington General Obligation Bonds, Series 2009
5.125% due 01/01/2036		5,550		5,635
Washington State Central Puget Sound Regional Transportation Authority Revenue Bonds, Series 2007
5.000% due 11/01/2036		680		683
Washington State Certificates of Participation Bonds, Series 2009
5.400% due 01/01/2028		2,295		2,310
5.500% due 01/01/2029		2,280		2,305
Washington State General Obligation Bonds, (AMBAC Insured), Series 2004
0.000% due 12/01/2026		10,480		4,282
Washington State General Obligation Bonds, Series 2008
5.000% due 01/01/2027		8,945		9,245
Washington State Health Care Facilities Authority Revenue Bonds, Series 2009
7.375% due 03/01/2038		2,500		2,637
				27,410
WEST VIRGINIA 0.2%
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		2,980		2,002
WISCONSIN 0.4%
Wisconsin State Clean Water Revenue Bonds, Series 2009
5.750% due 05/01/2033		3,750		3,860
Wisconsin State General Obligation Bonds, (MBIA Insured), Series 2006
5.000% due 05/01/2037		200		187
				4,047
Total Municipal Bonds & Notes (Cost $1,000,704)				1,007,388
SHORT-TERM INSTRUMENTS 0.6%
REPURCHASE AGREEMENTS 0.6%
State Street Bank and Trust Co.
0.010% due 07/01/2009		5,333		5,333
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $5,444. Repurchase proceeds are $5,333.)
U.S. TREASURY BILLS 0.0%
0.127% due 07/02/2009 (e)		530		530
Total Short-Term Instruments (Cost $5,863)				5,863
Total Investments 107.2% (Cost $1,008,854)			$	1,015,100
Other Assets and Liabilities (Net) (7.2%)				(67,853	)
Net Assets 100.0%			$	947,247

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

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

(a) Security is in default.

(b) When-Issued security.

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

(d) Securities represent fixed-rate municipal bonds transferred to a trust in a financing transaction in which the Portfolio acquired Residual Interest Municipal Bonds.

(e) Securities with an aggregate market value of $530 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Credit Indices - Sell Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(2)		Market Value(3)			Upfront Premiums Paid/ (Received)			Unrealized (Depreciation)
MCDX 5-Year Index	GSC	0.350	%	06/20/2013	$	10,300	$	(584	)	$	(258	)	$	(326	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities compromising the referenced index.

⁽²⁾ The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽³⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(g) Fair Value Measurements ⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
California	$	0	$	207,567		$	0	$	207,567
Illinois		0		70,534			0		70,534
Massachusetts		0		75,693			0		75,693
New York		0		151,568			0		151,568
Texas		0		181,614			0		181,614
Other Investments++		0		328,124			0		328,124
Investments, at value	$	0	$	1,015,100		$	0	$	1,015,100
Financial Derivative Instruments+++	$	0	$	(326	)	$	0	$	(326	)
Total	$	0	$	1,014,774		$	0	$	1,014,774

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009			Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)		Net Transfers In/(Out) of Level 3		Ending Balance at 06/30/2009
Investments, at value	$	0		$	0	$	0	$	0	$	0	$	0	$	0
Financial Derivative Instruments+++	$	(7,571	)	$	0	$	0	$	0	$	7,245	$	326	$	0
Total	$	(7,571	)	$	0	$	0	$	0	$	7,245	$	326	$	0

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Real Return Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 16.8%
BANKING & FINANCE 12.2%
Allstate Life Global Funding Trusts
5.375% due 04/30/2013	$	2,100	$	2,174
American Express Bank FSB
5.500% due 04/16/2013		700		688
6.000% due 09/13/2017		1,700		1,553
American Express Centurion Bank
6.000% due 09/13/2017		2,200		2,010
American Express Co.
7.000% due 03/19/2018		1,200		1,167
American International Group, Inc.
5.450% due 05/18/2017		1,300		685
8.175% due 05/15/2058		1,100		314
ANZ National International Ltd.
6.200% due 07/19/2013		1,500		1,547
Bank of America Corp.
5.650% due 05/01/2018		4,900		4,337
Bank of America N.A.
1.538% due 05/12/2010		600		595
Barclays Bank PLC
5.450% due 09/12/2012		3,000		3,131
7.434% due 09/29/2049		600		403
10.179% due 06/12/2021		1,360		1,454
Bear Stearns Cos. LLC
1.093% due 08/15/2011		10,000		9,745
Citigroup Capital XXI
8.300% due 12/21/2077		1,100		859
Citigroup Funding, Inc.
2.036% due 05/07/2010		6,300		6,171
Citigroup, Inc.
0.944% due 05/18/2011		1,200		1,135
8.400% due 04/29/2049 (a)		4,400		3,306
Commonwealth Bank of Australia
1.108% due 06/25/2014		3,800		3,787
Countrywide Financial Corp.
5.800% due 06/07/2012		5,200		5,237
Dexia Credit Local
1.262% due 09/23/2011		1,300		1,297
GATX Financial Corp.
5.800% due 03/01/2016		1,000		842
General Electric Capital Corp.
0.839% due 03/12/2012		8,400		8,464
Goldman Sachs Group, Inc.
6.150% due 04/01/2018		1,000		975
LeasePlan Corp. NV
3.000% due 05/07/2012		2,100		2,110
Lehman Brothers Holdings, Inc.
2.950% due 05/25/2010 (a)		6,828		1,041
Merna Reinsurance Ltd.
1.248% due 07/07/2010		4,000		3,722
Metropolitan Life Global Funding I
1.358% due 06/25/2010		3,500		3,489
2.550% due 06/10/2011		4,200		4,195
5.125% due 04/10/2013		600		611
Morgan Stanley
3.006% due 05/14/2010		6,200		6,184
National Australia Bank Ltd.
5.350% due 06/12/2013		1,300		1,341
New York Life Global Funding
4.650% due 05/09/2013		1,500		1,523
Pacific Life Global Funding
5.150% due 04/15/2013		500		499
Prudential Financial, Inc.
1.570% due 06/10/2013		1,400		1,158
Swedbank AB
2.800% due 02/10/2012		9,000		9,115
Vita Capital Ltd.
2.108% due 01/01/2010		300		293
Vita Capital III Ltd.
2.328% due 01/01/2012		600		520
Wachovia Bank N.A.
0.726% due 12/02/2010		2,100		2,072
				99,749
INDUSTRIALS 4.5%
Avon Products, Inc.
6.500% due 03/01/2019		2,000		2,196
CIGNA Corp.
6.350% due 03/15/2018		2,000		1,773
International Business Machines Corp.
1.652% due 07/28/2011		7,200		7,248
Oracle Corp.
5.750% due 04/15/2018		1,300		1,374
Philip Morris International, Inc.
5.650% due 05/16/2018		3,500		3,675
Roche Holdings, Inc.
2.661% due 02/25/2011		3,000		3,035
Rockies Express Pipeline LLC
4.500% due 08/20/2009		5,000		5,001
RR Donnelley & Sons Co.
11.250% due 02/01/2019 (g)		5,500		5,831
Valero Energy Corp.
9.375% due 03/15/2019		6,000		6,845
				36,978
UTILITIES 0.1%
Exelon Corp.
4.900% due 06/15/2015		1,000		932
Total Corporate Bonds & Notes (Cost $136,925)				137,659
MUNICIPAL BONDS & NOTES 0.6%
California State Tobacco Securitization Agency Revenue Bonds, Series 2002
5.625% due 06/01/2023		180		165
Rhode Island State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2023		390		354
University of California Revenue Bonds, (FSA-CR/FGIC Insured), Series 2007
5.000% due 05/15/2037		2,700		2,587
Washington State Tobacco Settlement Authority Revenue Bonds, Series 2002
6.500% due 06/01/2026		990		965
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
7.467% due 06/01/2047		960		645
Total Municipal Bonds & Notes (Cost $5,168)				4,716
U.S. GOVERNMENT AGENCIES 22.1%
Fannie Mae
2.638% due 09/01/2044 - 10/01/2044		182		179
3.857% due 09/01/2018		44		43
4.227% due 04/01/2035		305		316
4.644% due 01/01/2035		303		312
5.000% due 01/01/2036 - 02/01/2038		9,224		9,420
5.500% due 09/01/2023 - 07/01/2039		39,267		40,557
6.000% due 04/01/2036 - 07/01/2039		37,953		39,710
Freddie Mac
0.354% due 12/25/2036		2,582		2,457
0.594% due 09/25/2031		64		59
0.669% due 12/15/2030		177		175
0.937% due 08/05/2011 (e)		120		120
4.500% due 05/15/2017		173		179
5.000% due 02/15/2020		3,437		3,583
5.500% due 05/15/2016 - 07/01/2039		11,785		12,127
6.000% due 10/01/2037 - 02/01/2039		4,607		4,820
Ginnie Mae
6.000% due 04/15/2031 - 07/01/2039		61,139		63,711
6.500% due 05/15/2026 - 06/15/2028		68		73
Small Business Administration
5.490% due 03/01/2028		2,723		2,862
Total U.S. Government Agencies (Cost $178,219)				180,703
U.S. TREASURY OBLIGATIONS 93.4%
Treasury Inflation Protected Securities (c)
1.375% due 07/15/2018		1,681		1,630
1.625% due 01/15/2015		25,918		25,788
1.625% due 01/15/2018		12,620		12,486
1.875% due 07/15/2013 (g)		84,748		86,893
1.875% due 07/15/2015		41,403		41,843
2.000% due 04/15/2012		13,870		14,273
2.000% due 01/15/2014		1,962		2,006
2.000% due 07/15/2014		905		926
2.000% due 01/15/2016		34,517		35,024
2.000% due 01/15/2026 (e)		83,558		81,757
2.125% due 01/15/2019		10,740		11,082
2.375% due 04/15/2011		1,719		1,770
2.375% due 01/15/2017		60,114		62,687
2.375% due 01/15/2025		72,112		74,050
2.375% due 01/15/2027		15,405		15,935
2.500% due 07/15/2016		66,769		70,045
2.500% due 01/15/2029		298		316
2.625% due 07/15/2017		16,872		17,964
3.000% due 07/15/2012 (g)		70,686		74,905
3.375% due 01/15/2012		12,248		13,029
3.500% due 01/15/2011		14,824		15,482
3.625% due 04/15/2028 (g)		49,410		60,095
3.875% due 04/15/2029		33,593		42,516
U.S. Treasury Notes
0.875% due 04/30/2011 (h)		945		943
Total U.S. Treasury Obligations (Cost $743,434)				763,445
MORTGAGE-BACKED SECURITIES 1.9%
Banc of America Commercial Mortgage, Inc.
5.492% due 02/10/2051		530		373
Bear Stearns Adjustable Rate Mortgage Trust
2.264% due 03/25/2035		495		425
2.500% due 08/25/2035		413		362
2.900% due 03/25/2035		1,342		1,161
3.859% due 11/25/2030		231		211
4.550% due 08/25/2035		739		653
Citigroup Commercial Mortgage Trust
5.888% due 12/10/2049		183		145
Citigroup Mortgage Loan Trust, Inc.
2.850% due 12/25/2035		90		74
4.098% due 08/25/2035		72		52
4.248% due 08/25/2035		612		487
4.748% due 08/25/2035		518		412
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.886% due 11/15/2044		500		400
Countrywide Home Loan Mortgage Pass-Through Trust
0.654% due 06/25/2035		756		550
Credit Suisse Mortgage Capital Certificates
5.467% due 09/15/2039		400		281
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		3,355		2,764
GSR Mortgage Loan Trust
4.469% due 09/25/2035		1,110		935
LB-UBS Commercial Mortgage Trust
5.424% due 02/15/2040		210		153
5.866% due 09/15/2045		500		384
Merrill Lynch Countrywide Commercial Mortgage Trust
5.700% due 09/12/2049		400		277
MLCC Mortgage Investors, Inc.
4.561% due 12/25/2034		3,497		3,100
Morgan Stanley Capital I
6.076% due 06/11/2049		870		658
Wachovia Bank Commercial Mortgage Trust
5.418% due 01/15/2045		720		577
WaMu Mortgage Pass-Through Certificates
0.574% due 11/25/2045		287		139
0.604% due 10/25/2045		1,693		888
Total Mortgage-Backed Securities (Cost $18,165)				15,461
ASSET-BACKED SECURITIES 0.1%
Bear Stearns Asset-Backed Securities Trust
0.764% due 03/25/2043		69		63
Structured Asset Securities Corp.
4.900% due 04/25/2035		719		426
Total Asset-Backed Securities (Cost $783)				489
SOVEREIGN ISSUES 0.2%
Export-Import Bank of Korea
1.386% due 10/04/2011		1,300		1,303
Total Sovereign Issues (Cost $1,299)				1,303
FOREIGN CURRENCY-DENOMINATED ISSUES 0.6%
General Electric Capital Corp.
5.500% due 09/15/2067	EUR	100		81
6.500% due 09/15/2067	GBP	4,500		4,627
Royal Bank of Scotland Group PLC
7.092% due 10/29/2049	EUR	400		194
Total Foreign Currency-Denominated Issues (Cost $9,683)				4,902
	SHARES
CONVERTIBLE PREFERRED STOCKS 0.0%
Wells Fargo & Co.
7.500% due 12/31/2049		400		314
Total Convertible Preferred Stocks (Cost $400)				314
	PRINCIPAL AMOUNT (000s)
SHORT-TERM INSTRUMENTS 2.3%
REPURCHASE AGREEMENTS 0.5%
Barclays Capital, Inc.
0.100% due 07/01/2009	$	3,500		3,500
(Dated 06/30/2009. Collateralized by Freddie Mac 0.926% due 05/04/2011 valued at $3,608. Repurchase proceeds are $3,500.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		852		852
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $870. Repurchase proceeds are $852.)
				4,352
U.S. TREASURY BILLS 0.2%
0.104% due 07/02/2009 - 07/16/2009 (b)(e)(f)		1,231		1,231
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (d) 1.6%
		1,315,150		13,163
Total Short-Term Instruments (Cost $18,747)				18,746
Total Investments 138.0% (Cost $1,112,823)			$	1,127,738
Written Options (j) (0.3%) (Premiums $2,054)				(2,174	)
Other Assets and Liabilities (Net) (37.7%)				(308,318	)
Net Assets 100.0%			$	817,246

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) Affiliated to the Portfolio.

(e) Securities with an aggregate market value of $1,329 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(f) Securities with an aggregate market value of $1,020 have been pledged as collateral for delayed-delivery mortgage-backed securities on June 30, 2009.

(g) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $120,723 at a weighted average interest rate of 0.404%. On June 30, 2009, securities valued at $129,250 were pledged as collateral for reverse repurchase agreements.

(h) Securities with an aggregate market value of $943 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Euribor December Futures	Long	12/2010	80	$	(34	)
90-Day Euribor June Futures	Long	06/2010	42		20
90-Day Euribor September Futures	Long	09/2010	122		(2	)
90-Day Eurodollar December Futures	Long	12/2009	16		(2	)
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures	Long	06/2010	189		(56	)
				$	(74	)

(i) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Avon Products, Inc.	BOA	(0.770	%)	03/20/2019	0.393	%	$	2,000	$	(62	)	$	0	$	(62	)
CIGNA Corp.	MSC	(1.210	%)	03/20/2018	1.672	%		2,000		63			0		63
Exelon Corp.	CITI	(0.960	%)	06/20/2015	2.226	%		1,000		64			0		64
GATX Financial Corp.	CITI	(1.070	%)	03/20/2016	2.318	%		1,000		68			0		68
RR Donnelley & Sons Co.	BOA	(3.500	%)	03/20/2019	3.314	%		5,500		(73	)		0		(73	)
Valero Energy Corp.	GSC	(2.700	%)	03/20/2019	2.450	%		6,000		(110	)		0		(110	)
									$	(50	)	$	0	$	(50	)

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Wells Fargo & Co.	BCLY	1.000	%	03/20/2013	1.510	%	$	200	$	(4	)	$	(4	)	$	0
Wells Fargo & Co.	CITI	1.000	%	03/20/2013	1.510	%		700		(12	)		(16	)		4
									$	(16	)	$	(20	)	$	4

Credit Default Swaps on Credit Indices - Buy Protection⁽¹⁾

Index/Tranches	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
CDX.IG-12 5-Year Index	GSC	(1.000	%)	06/20/2014	$	23,900	$	339	$	613	$	(274	)
CDX.IG-12 5-Year Index	MSC	(1.000	%)	06/20/2014		10,200		145		372		(227	)
							$	484	$	985	$	(501	)

⁽¹⁾ If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Receive	1-Month EUR-CPTFEMU Index	2.275	%	10/15/2016	UBS	EUR	2,200	$	23		$	0		$	23
Pay	1-Month EUR-FRCPXTOB Index	2.090	%	10/15/2010	BNP		1,800		87			0			87
Pay	1-Month EUR-FRCPXTOB Index	2.103	%	10/15/2010	BCLY		1,600		89			(5	)		94
Pay	1-Month EUR-FRCPXTOB Index	2.146	%	10/15/2010	UBS		1,600		92			0			92
Pay	1-Month EUR-FRCPXTOB Index	2.028	%	10/15/2011	JPM		3,700		144			0			144
Pay	1-Month EUR-FRCPXTOB Index	2.095	%	10/15/2011	UBS		6,900		304			0			304
Pay	1-Month EUR-FRCPXTOB Index	1.988	%	12/15/2011	BNP		4,500		110			0			110
Pay	1-Month EUR-FRCPXTOB Index	2.138	%	01/19/2016	BCLY		4,000		24			0			24
Pay	1-Month EUR-FRCPXTOB Index	2.350	%	10/15/2016	UBS		2,200		(70	)		0			(70	)
Pay	1-Month EUR-FRCPXTOB Index	2.353	%	10/15/2016	JPM		1,900		(62	)		0			(62	)
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	JPM	$	3,900		120			31			89
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	RBS		9,800		302			101			201
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	DUB		200		1			0			1
Pay	6-Month GBP-LIBOR	6.000	%	03/20/2010	DUB	GBP	4,700		332			79			253
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	CSFB		3,700		286			(115	)		401
Pay	6-Month GBP-LIBOR	5.000	%	09/15/2010	RBS		10,800		834			(343	)		1,177
Pay	GBP-UKRPI Index	3.250	%	12/14/2017	BCLY		3,200		147			13			134
Pay	GBP-UKRPI Index	3.183	%	12/19/2017	RBS		3,600		103			2			101
Pay	GBP-UKRPI Index	3.440	%	09/10/2027	RBS		1,100		(45	)		0			(45	)
								$	2,821		$	(237	)	$	3,058

(j) Written options outstanding on June 30, 2009:

Options on Exchange-Traded Futures Contracts

Description	Exercise Price		Expiration Date	# of Contracts	Premium		Market Value
Call - CBOT U.S. Treasury 10-Year Note September Futures	$	120.000	08/21/2009	58	$	23	$	24
Put - CBOT U.S. Treasury 10-Year Note September Futures		110.000	08/21/2009	58		28		13
Put - CME 90-Day Eurodollar September Futures		98.500	09/14/2009	35		11		2
Put - CME 90-Day Eurodollar September Futures		98.625	09/14/2009	102		19		5
					$	81	$	44

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Premium		Market Value
Put - OTC 7-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009	$	2,000	$	10	$	11
Call - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009		5,200		91		127
Put - OTC 5-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		5,200		120		95
Call - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009		7,200		101		175
Put - OTC 5-Year Interest Rate Swap	BNP	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		7,200		203		131
Put - OTC 5-Year Interest Rate Swap	CITI	3-Month USD-LIBOR	Pay	3.750	%	11/23/2009		49,000		481		634
Put - OTC 7-Year Interest Rate Swap	GSC	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		6,000		193		108
Put - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	1.750	%	08/21/2009		34,500		71		126
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	4.250	%	08/21/2009		7,800		70		43
Call - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Receive	3.420	%	11/23/2009		7,200		115		175
Put - OTC 5-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.420	%	11/23/2009		7,200		170		131
Put - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	2.950	%	12/15/2009		17,400		59		50
Put - OTC 7-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	5.365	%	09/20/2010		18,000		289		324
									$	1,973	$	2,130

(k) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Fannie Mae	5.000	%	07/01/2039	$	9,400	$	9,421	$	9,566
Fannie Mae	5.500	%	07/01/2039		41,000		41,884		42,313
Fannie Mae	6.000	%	07/01/2039		17,100		17,785		17,872
Ginnie Mae	6.000	%	07/01/2039		68,600		70,765		71,484
						$	139,855	$	141,235

(l) Foreign currency contracts outstanding on June 30, 2009:

Type	Currency	Counterparty	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	AUD	DUB	2,237	07/2009	$	0	$	(21	)	$	(21	)
Buy		GSC	2,594	07/2009		49		0			49
Sell	CHF	JPM	889	07/2009		15		0			15
Buy		RBC	889	07/2009		0		(4	)		(4	)
Sell		RBC	889	10/2009		4		0			4
Buy	EUR	BCLY	159	07/2009		1		0			1
Sell		BCLY	1,319	07/2009		0		(10	)		(10	)
Sell		GSC	159	07/2009		2		0			2
Sell	GBP	BCLY	63	07/2009		0		(1	)		(1	)
Sell		CITI	3,725	07/2009		0		(365	)		(365	)
Sell		GSC	82	07/2009		0		(3	)		(3	)
Buy		MSC	3,720	07/2009		0		(25	)		(25	)
Buy		RBS	150	07/2009		11		0			11
Sell		MSC	3,720	08/2009		25		0			25
Sell	JPY	BNP	114,345	07/2009		0		(1	)		(1	)
Sell		MSC	114,345	08/2009		0		0			0
					$	107	$	(430	)	$	(323	)

(m) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0		$	132,483		$	5,176	$	137,659
U.S. Government Agencies		0			180,703			0		180,703
U.S. Treasury Obligations		0			763,445			0		763,445
Other Investments++		13,477			32,454			0		45,931
Investments, at value	$	13,477		$	1,109,085		$	5,176	$	1,127,738
Short Sales, at value	$	0		$	(141,235	)	$	0	$	(141,235	)
Financial Derivative Instruments+++	$	(74	)	$	(829	)	$	843	$	(60	)
Total	$	13,403		$	967,021		$	6,019	$	986,443

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)		Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
Corporate Bonds & Notes	$	0	$	1,363	$	4	$	0	$	131		$	3,678		$	5,176
Investments, at value	$	0	$	1,363	$	4	$	0	$	131		$	3,678		$	5,176
Financial Derivative Instruments+++	$	1,104	$	0	$	0	$	0	$	(169	)	$	(92	)	$	843
Total	$	1,104	$	1,363	$	4	$	0	$	(38	)	$	3,586		$	6,019

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

Short-Term Floating NAV Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 2.0%
American Express Bank FSB
0.641% due 10/26/2009	$	1,500	$	1,501
Bank of America N.A.
0.659% due 09/13/2010		9,000		9,029
General Electric Capital Corp.
0.380% due 03/12/2010		5,000		4,917
Gulf Power Co.
0.704% due 06/28/2010		19,650		19,628
HSBC Finance Corp.
1.162% due 10/21/2009		1,600		1,595
4.125% due 11/16/2009		3,000		3,017
Wells Fargo & Co.
0.370% due 08/03/2009		55,100		55,036
Total Corporate Bonds & Notes (Cost $94,838)				94,723
U.S. GOVERNMENT AGENCIES 15.4%
Fannie Mae
0.912% due 07/28/2009		110,000		110,046
0.966% due 08/05/2010		17,500		17,535
1.029% due 07/13/2010		46,500		46,553
3.100% due 02/04/2010		75,000		76,200
3.250% due 02/10/2010		9,050		9,207
4.150% due 09/10/2009		10,700		10,778
4.750% due 03/12/2010		24,455		25,226
5.125% due 07/13/2009		98,400		98,561
5.375% due 08/15/2009		1,406		1,415
7.250% due 01/15/2010		5,000		5,188
Federal Home Loan Bank
0.601% due 12/02/2009		40,000		40,044
Freddie Mac
0.580% due 09/24/2010		163,250		163,576
0.620% due 09/10/2010		1,000		1,002
0.641% due 08/24/2010		22,888		22,948
1.039% due 07/12/2010		22,000		22,041
2.680% due 11/16/2009		57,500		58,024
2.875% due 04/30/2010		100		102
5.000% due 10/23/2009		10,000		10,146
6.625% due 09/15/2009		15,270		15,471
Total U.S. Government Agencies (Cost $733,430)				734,063
ASSET-BACKED SECURITIES 0.8%
Ford Credit Auto Owner Trust
0.988% due 06/15/2010		39,300		39,331
Total Asset-Backed Securities (Cost $39,300)				39,331
SHORT-TERM INSTRUMENTS 85.2%
COMMERCIAL PAPER 42.7%
BNP Paribas Finance, Inc.
0.125% due 07/01/2009		136,300		136,300
0.320% due 09/02/2009		47,800		47,768
Citigroup Funding, Inc.
0.250% due 07/08/2009		100,000		99,995
0.370% due 07/02/2009		49,100		49,099
0.400% due 07/17/2009		1,900		1,900
Dexia Credit Local S.A.
1.160% due 12/23/2009		30,500		30,517
DnB NOR Bank ASA
0.550% due 12/17/2009		20,000		19,961
Fannie Mae
0.160% due 07/20/2009		18,700		18,698
0.161% due 07/21/2009		62,800		62,794
0.170% due 08/05/2009		800		800
0.185% due 07/06/2009		3,400		3,400
0.230% due 09/01/2009		600		600
0.500% due 11/16/2009		6,600		6,595
0.540% due 09/09/2009		6,000		5,998
Federal Home Loan Bank
0.097% due 07/01/2009		140,600		140,600
0.120% due 08/03/2009		50,100		50,094
0.150% due 07/02/2009		21,900		21,900
0.152% due 07/06/2009		4,900		4,900
0.170% due 08/14/2009		5,884		5,883
0.770% due 01/27/2010		25,800		25,876
0.850% due 03/11/2010		50,100		50,303
1.020% due 02/12/2010		50,000		50,191
1.050% due 02/17/2010		150,000		150,612
Freddie Mac
0.140% due 07/13/2009		1,400		1,400
0.140% due 07/21/2009		1,000		1,000
0.140% due 08/25/2009		12,300		12,297
0.150% due 08/18/2009		95,300		95,281
0.210% due 09/08/2009		1,800		1,800
0.215% due 10/19/2009		7,600		7,597
0.276% due 11/30/2009		45,500		45,461
0.288% due 11/02/2009		12,300		12,291
0.310% due 10/26/2009		10,000		9,995
0.372% due 09/21/2009		36,370		36,360
0.400% due 08/17/2009		100,100		100,056
0.450% due 09/15/2009		2,000		1,999
0.516% due 09/14/2009		42,004		41,993
0.680% due 01/05/2010		100,000		99,841
0.710% due 09/22/2009		12,000		11,996
0.730% due 12/21/2009		14,550		14,533
0.800% due 01/15/2010		75,000		75,014
0.868% due 01/04/2010		117,700		117,514
1.219% due 10/30/2009		100,000		100,238
JPMorgan Chase & Co.
0.250% due 07/01/2009		8,900		8,900
Nordea North America, Inc.
0.300% due 08/17/2009		74,800		74,771
Rabobank USA Financial Corp.
0.300% due 09/03/2009		47,800		47,768
0.500% due 12/08/2009		25,000		24,953
Societe Generale N.A.
0.400% due 08/21/2009		48,000		47,973
Straight-A Funding LLC
0.274% due 07/13/2009		35,000		34,997
0.350% due 08/24/2009		3,500		3,498
0.375% due 09/01/2009		15,000		14,990
0.430% due 08/10/2009		10,000		9,995
				2,039,295
REPURCHASE AGREEMENTS 42.4%
Barclays Capital, Inc.
0.120% due 07/01/2009		152,900		152,900
(Dated 06/30/2009. Collateralized by General Electric Capital Corp. 1.563% due 12/09/2011 valued at $157,520. Repurchase proceeds are $152,901.)
0.150% due 07/02/2009		25,300		25,300
(Dated 07/01/2009. Collateralized by U.S. Treasury Inflation Protected Securities 2.000% due 01/15/2016 valued at $26,184. Repurchase proceeds are $25,300.)
0.210% due 07/02/2009		13,300		13,300
(Dated 06/04/2009. Collateralized by Fannie Mae 5.125% due 04/15/2011 valued at $13,769. Repurchase proceeds are $13,300.)
0.210% due 07/02/2009		24,000		24,000
(Dated 06/03/2009. Collateralized by Fannie Mae 2.750% due 03/13/2014 valued at $24,677. Repurchase proceeds are $24,000.)
BNP Paribas Bank
0.070% due 07/01/2009		476,700		476,700
(Dated 06/30/2009. Collateralized by Federal Home Loan Bank 0.950% due 03/30/2010 valued at $486,368. Repurchase proceeds are $476,701.)
Credit Suisse Securities (USA) LLC
0.220% due 07/10/2009		25,000		25,000
(Dated 06/12/2009. Collateralized by Fannie Mae 6.000% due 04/01/2036 valued at $25,651. Repurchase proceeds are $25,000.)
Deutsche Bank AG
0.090% due 07/01/2009		23,900		23,900
(Dated 06/30/2009. Collateralized by Fannie Mae 0.500% due 04/01/2010 valued at $24,387. Repurchase proceeds are $23,900.)
Goldman Sachs & Co.
0.010% due 07/01/2009		100,000		100,000
(Dated 06/30/2009. Collateralized by Fannie Mae 1.722% due 05/10/2011 valued at $102,465. Repurchase proceeds are $100,000.)
0.030% due 07/01/2009		197,500		197,500
(Dated 06/30/2009. Collateralized by Fannie Mae 5.000% due 04/01/2038 valued at $112,983 and Freddie Mac 5.500% due 11/01/2038 valued at $85,877. Repurchase proceeds are $197,500.)
0.050% due 07/01/2009		129,700		129,700
(Dated 06/30/2009. Collateralized by Freddie Mac 5.500% due 06/01/2036 valued at $127,504. Repurchase proceeds are $129,700.)
JPMorgan Chase Bank N.A.
0.010% due 07/01/2009		445,900		445,900
(Dated 06/30/2009. Collateralized by U.S. Treasury Notes 1.250% - 2.750% due 11/30/2010 - 02/28/2013 valued at $456,031. Repurchase proceeds are $445,900.)
0.050% due 07/01/2009		11,900		11,900
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.180% due 09/24/2009 valued at $12,138. Repurchase proceeds are $11,900.)
0.090% due 07/01/2009		35,700		35,700
(Dated 06/30/2009. Collateralized by Fannie Mae 5.375% due 06/12/2017 valued at $36,376. Repurchase proceeds are $35,700.)
0.150% due 07/02/2009		56,200		56,200
(Dated 07/01/2009. Collateralized by U.S. Treasury Bills 0.105% due 07/23/2009 valued at $57,461. Repurchase proceeds are $56,200.)
0.160% due 07/02/2009		69,000		69,000
(Dated 07/01/2009. Collateralized by Freddie Mac 0.750% due 02/08/2010 valued at $70,433. Repurchase proceeds are $69,000.)
0.190% due 07/02/2009		236,600		236,600
(Dated 06/03/2009. Collateralized by Freddie Mac 2.170% due 05/07/2012 valued at $242,199. Repurchase proceeds are $236,601.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		3,081		3,081
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $3,144. Repurchase proceeds are $3,081.)
				2,026,681
U.S. TREASURY BILLS 0.1%
0.125% due 07/02/2009		7,300		7,300
Total Short-Term Instruments (Cost $4,071,780)				4,073,276
Total Investments 103.4% (Cost $4,939,348)			$	4,941,393
Other Assets and Liabilities (Net) (3.4%)				(160,830	)
Net Assets 100.0%			$	4,780,563

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, 2009 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)		Fair Value at 06/30/2009
U.S. Government Agencies	$	0	$	734,063	$	0	$	734,063
Short-Term Instruments		0		4,073,276		0		4,073,276
Other Investments++		0		134,054		0		134,054
Investments, at value	$	0	$	4,941,393	$	0	$	4,941,393

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

See Accompanying Notes

Schedule of Investments

Short-Term Floating NAV Portfolio II

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 0.1%
General Electric Capital Corp.
0.380% due 03/12/2010	$	116	$	114
Total Corporate Bonds & Notes (Cost $115)				114
U.S. GOVERNMENT AGENCIES 3.7%
Fannie Mae
1.029% due 07/13/2010		500		501
5.375% due 08/15/2009		100		101
7.125% due 06/15/2010		900		957
7.250% due 01/15/2010		160		166
Federal Home Loan Bank
2.250% due 10/02/2009		2,295		2,306
2.750% due 06/18/2010		300		307
6.500% due 11/13/2009		100		102
Total U.S. Government Agencies (Cost $4,436)				4,440
SHORT-TERM INSTRUMENTS 96.3%
COMMERCIAL PAPER 31.6%
BNP Paribas Finance, Inc.
0.125% due 07/01/2009		5,000		5,000
Fannie Mae
0.542% due 01/25/2010		6,300		6,289
Federal Home Loan Bank
0.097% due 07/01/2009		7,500		7,500
0.850% due 03/11/2010		1,000		1,004
Freddie Mac
0.140% due 08/25/2009		4,800		4,799
0.142% due 07/13/2009		500		500
0.150% due 08/18/2009		2,300		2,299
0.185% due 07/06/2009		3,500		3,500
0.409% due 03/16/2010		1,100		1,097
0.455% due 04/16/2010		5,500		5,483
JPMorgan Chase & Co.
0.250% due 07/01/2009		200		200
Nordea North America, Inc.
0.300% due 08/20/2009		200		200
				37,871
REPURCHASE AGREEMENTS 42.9%
Barclays Capital, Inc.
0.120% due 07/01/2009		11,900		11,900
(Dated 06/30/2009. Collateralized by General Electric Capital Corp. 0.924% due 05/08/2012 valued at $11,949 and Ginnie Mae 4.500% due 05/15/2039 valued at $307. Repurchase proceeds are $11,900.)
BNP Paribas Bank
0.070% due 07/01/2009		11,600		11,600
(Dated 06/30/2009. Collateralized by Federal Home Loan Bank 0.950% due 03/30/2010 valued at $11,837. Repurchase proceeds are $11,600.)
JPMorgan Chase Bank N.A.
0.090% due 07/01/2009		27,500		27,500
(Dated 06/30/2009. Collateralized by Fannie Mae 4.750% - 5.000% due 11/19/2012 - 07/01/2035 valued at $27,939 Repurchase proceeds are $27,500.)
State Street Bank and Trust Co.
0.010% due 07/01/2009		475		475
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/06/2009 valued at $485. Repurchase proceeds are $475.)
				51,475
U.S. TREASURY BILLS 21.8%
0.125% due 07/02/2009		26,100		26,100
Total Short-Term Instruments (Cost $115,442)				115,446
Total Investments 100.1% (Cost $119,993)			$	120,000
Other Assets and Liabilities (Net) (0.1%)				(90	)
Net Assets 100.0%			$	119,910

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, 2009 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)		Fair Value at 06/30/2009
Short-Term Instruments	$	0	$	115,446	$	0	$	115,446
Other Investments++		0		4,554		0		4,554
Investments, at value	$	0	$	120,000	$	0	$	120,000

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

See Accompanying Notes

Schedule of Investments

Short-Term Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 23.3%
BANKING & FINANCE 15.6%
ABX Financing Co.
5.750% due 10/15/2016	$	3,000	$	3,070
American Express Centurion Bank
0.399% due 07/13/2010		10,000		9,733
American International Group, Inc.
8.175% due 05/15/2058		3,000		856
BAE Systems Holdings, Inc.
6.400% due 12/15/2011		2,000		2,123
Bank of Scotland PLC
0.689% due 12/08/2010		5,000		4,764
1.152% due 07/17/2009		8,500		8,495
Bear Stearns Cos. LLC
6.950% due 08/10/2012		5,863		6,378
Citigroup Funding, Inc.
2.036% due 05/07/2010		23,000		22,531
CNA Financial Corp.
5.850% due 12/15/2014		3,000		2,413
Countrywide Financial Corp.
6.250% due 05/15/2016		5,000		4,442
Credit Suisse New York
5.000% due 05/15/2013		6,500		6,653
DBS Bank Ltd.
1.074% due 05/16/2017		25,000		21,957
First Union National Bank of Florida
6.180% due 02/15/2036		600		548
Goldman Sachs Group, Inc.
0.856% due 03/02/2010		2,000		1,944
1.430% due 07/23/2009		8,969		8,971
HSBC Finance Corp.
0.719% due 03/12/2010		13,300		13,084
1.162% due 10/21/2009		2,600		2,593
6.375% due 10/15/2011		6,000		6,139
International Lease Finance Corp.
5.625% due 09/20/2013		5,000		3,782
iStar Financial, Inc.
5.950% due 10/15/2013		6,000		2,642
Lehman Brothers Holdings, Inc.
3.011% due 12/23/2010 (a)		4,000		610
6.200% due 09/26/2014 (a)		5,000		762
7.000% due 09/27/2027 (a)		2,000		305
Merrill Lynch & Co., Inc.
3.188% due 05/12/2010		25,000		24,866
Morgan Stanley
1.221% due 01/15/2010		6,000		5,952
1.557% due 10/18/2016		5,000		4,051
1.611% due 10/15/2015		3,000		2,575
3.006% due 05/14/2010		2,000		1,995
ORIX Corp.
5.480% due 11/22/2011		5,000		4,613
Residential Capital LLC
8.000% due 02/22/2011		5,000		3,100
Royal Bank of Scotland Group PLC
1.320% due 04/08/2011		4,500		4,496
Santander U.S. Debt S.A. Unipersonal
0.697% due 11/20/2009		2,500		2,484
SLM Corp.
1.322% due 10/25/2011		8,000		6,486
Textron Financial Corp.
4.600% due 05/03/2010		2,000		1,910
UBS AG
1.530% due 06/19/2010		25,000		24,638
Wells Fargo Capital XIII
7.700% due 12/29/2049		3,000		2,492
				224,453
INDUSTRIALS 6.4%
AutoZone, Inc.
5.500% due 11/15/2015		2,500		2,479
5.875% due 10/15/2012		3,000		3,119
BHP Billiton Finance USA Ltd.
5.125% due 03/29/2012		3,000		3,154
Boston Scientific Corp.
6.000% due 06/15/2011		2,500		2,506
Comcast Corp.
1.439% due 07/14/2009		900		900
CVS Caremark Corp.
0.968% due 06/01/2010		15,000		14,898
Daimler Finance North America LLC
5.750% due 09/08/2011		14,000		14,295
Johnson Controls, Inc.
5.250% due 01/15/2011		5,000		5,056
5.500% due 01/15/2016		3,000		2,786
Kellogg Co.
6.600% due 04/01/2011		2,000		2,144
Kerr-McGee Corp.
6.875% due 09/15/2011		4,000		4,221
Kroger Co.
5.500% due 02/01/2013		4,000		4,137
Lennar Corp.
5.950% due 10/17/2011		3,000		2,805
Newell Rubbermaid, Inc.
4.000% due 05/01/2010		594		596
Northwest Airlines, Inc.
7.150% due 04/01/2021		13,838		11,278
Rio Tinto Alcan, Inc.
5.000% due 06/01/2015		2,500		2,246
Sealed Air Corp.
5.625% due 07/15/2013		5,000		4,527
Time Warner, Inc.
5.875% due 11/15/2016		5,000		4,934
United Airlines, Inc.
6.636% due 01/02/2024		1,396		1,047
Viacom, Inc.
5.750% due 04/30/2011		3,000		3,073
Weatherford International Ltd.
4.950% due 10/15/2013		2,500		2,483
				92,684
UTILITIES 1.3%
Consumers Energy Co.
5.000% due 02/15/2012		3,000		3,052
Dominion Resources, Inc.
5.200% due 01/15/2016		3,000		3,000
DPL, Inc.
6.875% due 09/01/2011		2,500		2,629
FPL Group Capital, Inc.
1.494% due 06/17/2011		2,500		2,527
Ohio Power Co.
0.775% due 04/05/2010		4,000		3,957
Progress Energy, Inc.
7.100% due 03/01/2011		3,348		3,563
				18,728
Total Corporate Bonds & Notes (Cost $365,957)				335,865
U.S. GOVERNMENT AGENCIES 32.2%
Fannie Mae
0.374% due 12/25/2036		66		60
0.374% due 12/25/2036 - 07/25/2037 (e)		15,207		13,509
0.429% due 03/25/2034		438		399
0.464% due 10/25/2035 (e)		5,686		5,531
0.514% due 10/27/2037 (e)		29,400		26,772
0.614% due 01/25/2034		138		134
0.664% due 05/25/2042 - 02/25/2044		1,569		1,498
0.714% due 08/25/2017 - 12/25/2033		1,111		1,102
0.764% due 02/25/2033		689		676
0.794% due 09/17/2027		145		143
0.814% due 08/25/2031 - 01/25/2033		1,084		1,081
0.814% due 09/25/2034 (e)		6,865		6,698
0.818% due 05/18/2032		607		606
0.844% due 12/25/2013		48		47
0.864% due 12/25/2030		137		137
0.944% due 04/25/2022 - 12/25/2023		211		210
0.964% due 09/25/2023 - 11/25/2031		585		582
0.966% due 08/05/2010 (d)		18,169		18,206
0.994% due 10/25/2022		141		141
1.044% due 09/25/2022		44		44
1.094% due 05/25/2022		194		193
1.144% due 09/25/2020		108		108
1.174% due 01/25/2022		175		175
1.314% due 04/25/2032		211		210
1.344% due 12/25/2023		722		725
1.494% due 09/25/2023 - 10/25/2023		240		243
1.544% due 05/25/2022		183		182
2.445% due 04/01/2034 (e)		92		91
2.519% due 06/01/2033 (e)		462		458
2.545% due 04/01/2034 (e)		212		210
2.580% due 04/25/2023		56		55
2.614% due 03/25/2027 (e)		911		936
2.638% due 07/01/2042 (e)		40		40
2.638% due 03/01/2044 - 07/01/2044		2,707		2,658
2.661% due 03/25/2027		404		405
2.685% due 05/01/2032 (e)		264		266
2.693% due 09/01/2041		99		98
2.753% due 05/01/2033 (e)		90		90
2.772% due 04/01/2034 (e)		204		205
2.790% due 04/01/2034 (e)		168		169
2.838% due 09/01/2040		26		26
2.863% due 03/01/2034 (e)		479		485
2.877% due 07/01/2027 - 11/01/2040		65		64
2.877% due 11/01/2027 - 01/01/2038 (e)		64		64
2.910% due 04/01/2033		17		18
2.910% due 05/01/2033 (e)		200		201
3.023% due 05/01/2034 (e)		209		210
3.038% due 08/01/2033 (e)		287		287
3.154% due 07/01/2036 (e)		319		325
3.215% due 05/01/2034 (e)		431		438
3.251% due 10/01/2024 (e)		35		35
3.273% due 06/01/2034 (e)		156		157
3.284% due 05/01/2034 (e)		265		265
3.300% due 03/25/2022		24		25
3.388% due 09/01/2033 (e)		244		249
3.392% due 11/01/2035 (e)		291		296
3.400% due 10/25/2021		69		71
3.402% due 03/01/2033 (e)		124		125
3.403% due 04/01/2034 (e)		173		175
3.432% due 11/01/2035 (e)		689		700
3.500% due 08/01/2010 - 01/01/2035		431		434
3.500% due 09/01/2013 (e)		134		135
3.619% due 09/01/2034 (e)		248		251
3.644% due 01/01/2036 (e)		132		138
3.671% due 05/01/2033 (e)		47		48
3.693% due 05/01/2036 (e)		1,486		1,483
3.700% due 07/01/2036 (e)		1,337		1,364
3.705% due 07/01/2022 - 08/01/2032		31		31
3.744% due 01/01/2019 - 05/01/2034 (e)		642		647
3.747% due 04/01/2034 (e)		132		134
3.750% due 01/01/2035		639		641
3.753% due 04/01/2033 (e)		213		217
3.775% due 03/01/2034		957		963
3.781% due 10/01/2035 (e)		751		770
3.903% due 07/01/2034 (e)		293		301
3.920% due 08/01/2033 (e)		413		414
3.922% due 03/01/2034 (e)		786		812
3.929% due 03/01/2034 (e)		139		142
3.933% due 08/01/2034 (e)		234		235
3.942% due 07/01/2033 (e)		91		92
3.945% due 11/01/2033 (e)		799		818
3.950% due 08/01/2033 (e)		93		94
3.967% due 06/01/2034 (e)		635		637
3.974% due 02/01/2034 (e)		932		957
3.990% due 06/01/2034 (e)		91		93
4.000% due 08/01/2010 - 12/25/2029		3,617		3,676
4.000% due 10/25/2016 (e)		1,369		1,405
4.005% due 05/01/2036 (e)		367		367
4.023% due 07/01/2026 (e)		638		646
4.048% due 01/01/2033 (e)		64		66
4.121% due 05/01/2036 (e)		184		184
4.151% due 05/01/2035 (e)		577		598
4.152% due 07/01/2035 (e)		125		128
4.160% due 03/01/2036 (e)		290		299
4.186% due 11/01/2033 (e)		521		536
4.191% due 09/01/2033 (e)		190		194
4.195% due 09/01/2033 (e)		678		694
4.198% due 09/01/2032 (e)		121		123
4.205% due 05/01/2033 - 04/01/2034 (e)		362		371
4.206% due 01/01/2035 (e)		36		37
4.207% due 07/01/2035 (e)		681		694
4.236% due 01/01/2036 (e)		56		56
4.247% due 06/01/2034 (e)		678		681
4.251% due 03/01/2036 (e)		585		606
4.273% due 09/01/2034 (e)		717		725
4.279% due 02/01/2035 (e)		223		221
4.280% due 01/01/2033 (e)		465		472
4.287% due 11/01/2034 (e)		92		93
4.290% due 03/01/2033 (e)		51		53
4.332% due 03/01/2034 (e)		726		744
4.332% due 11/01/2034		145		149
4.335% due 07/01/2036 (e)		815		829
4.337% due 09/01/2033 (e)		566		573
4.353% due 04/01/2033 (e)		123		128
4.370% due 11/01/2034 (e)		390		403
4.391% due 07/01/2033 (e)		319		320
4.410% due 08/01/2035 (e)		1,005		1,010
4.417% due 09/01/2034 (e)		947		954
4.438% due 02/01/2034 (e)		497		509
4.457% due 11/01/2034 (e)		175		178
4.478% due 12/01/2040 (e)		221		225
4.498% due 09/01/2033 (e)		1,060		1,097
4.500% due 11/01/2009 - 08/01/2035		6,448		6,607
4.500% due 05/25/2012 - 07/25/2028 (e)		8,954		9,183
4.501% due 10/01/2034 (e)		160		164
4.516% due 11/01/2034 (e)		88		91
4.528% due 01/01/2034 (e)		93		96
4.560% due 07/01/2034 (e)		994		1,015
4.566% due 10/01/2033 (e)		1,748		1,768
4.572% due 07/01/2033 (e)		59		60
4.578% due 01/01/2034 (e)		361		364
4.579% due 08/01/2033 (e)		741		750
4.596% due 06/01/2035 (e)		170		177
4.597% due 08/01/2035 (e)		296		301
4.598% due 09/01/2017 (e)		33		34
4.605% due 06/01/2033 (e)		380		397
4.608% due 10/01/2033 (e)		367		377
4.609% due 08/01/2034 (e)		774		793
4.654% due 04/01/2033 (e)		651		666
4.668% due 07/01/2035 (e)		1,154		1,180
4.675% due 11/01/2031 (e)		91		94
4.679% due 07/01/2033 (e)		560		564
4.734% due 03/01/2035 (e)		1,515		1,537
4.736% due 07/01/2034 (e)		508		520
4.750% due 07/01/2034		298		305
4.772% due 02/01/2035 (e)		251		260
4.786% due 01/01/2033		26		27
4.787% due 07/01/2035 (e)		257		263
4.791% due 01/01/2033 (e)		74		75
4.792% due 12/01/2032 (e)		256		261
4.810% due 11/01/2034 (e)		638		661
4.814% due 01/01/2033 (e)		117		121
4.825% due 11/01/2032 (e)		347		352
4.826% due 01/01/2035 (e)		120		123
4.846% due 11/01/2032 (e)		152		156
4.850% due 02/01/2013		89		93
4.851% due 01/01/2035 (e)		192		197
4.855% due 01/01/2033 (e)		52		54
4.858% due 09/01/2035 (e)		1,406		1,460
4.862% due 04/01/2035 (e)		113		117
4.874% due 08/01/2046 (e)		1,094		1,132
4.878% due 04/01/2035 (e)		229		237
4.879% due 09/01/2033 (e)		246		251
4.885% due 11/01/2043 (e)		136		140
4.910% due 02/01/2035 (e)		178		183
4.934% due 12/01/2034 (e)		156		161
4.937% due 03/01/2035 (e)		1,075		1,113
4.941% due 05/01/2035 (e)		429		438
4.949% due 07/01/2018 (e)		36		37
4.950% due 04/01/2035 (e)		215		223
4.965% due 02/01/2034 (e)		361		374
4.979% due 08/01/2035 (e)		602		621
4.981% due 12/01/2035 (e)		225		233
4.984% due 03/01/2036 (e)		1,244		1,296
4.985% due 10/01/2035 (e)		626		645
5.000% due 10/01/2009 - 11/25/2035		5,949		6,096
5.000% due 05/01/2012 - 01/25/2016 (e)		2,660		2,730
5.007% due 07/01/2035 (e)		131		136
5.008% due 08/01/2035 (e)		928		946
5.034% due 11/01/2033 (e)		710		731
5.050% due 07/01/2035 (e)		189		196
5.068% due 03/01/2033 (e)		164		170
5.071% due 07/01/2029 (e)		39		40
5.080% due 11/01/2033 (e)		1,147		1,180
5.084% due 11/01/2036 (e)		198		205
5.087% due 05/01/2037 (e)		718		751
5.104% due 06/01/2035 (e)		1,836		1,914
5.106% due 12/01/2033		323		334
5.131% due 12/01/2033 (e)		275		284
5.143% due 04/01/2024		13		14
5.145% due 08/01/2032 (e)		169		172
5.155% due 12/01/2035 (e)		917		952
5.165% due 09/01/2035 (e)		934		969
5.181% due 12/01/2033		823		852
5.228% due 01/01/2037 (e)		52		55
5.236% due 12/01/2033		672		694
5.237% due 06/01/2023 (d)		1,300		1,305
5.255% due 05/01/2035 (e)		759		790
5.259% due 10/01/2043 (e)		44		46
5.265% due 04/01/2036 (e)		744		778
5.293% due 08/25/2042		104		108
5.313% due 05/01/2036 (e)		547		570
5.317% due 04/01/2033 (e)		1,141		1,150
5.318% due 02/01/2035 (e)		333		343
5.328% due 12/01/2018 (e)		40		40
5.368% due 09/01/2029 (e)		272		271
5.390% due 12/01/2035 (e)		959		993
5.393% due 03/01/2038 (e)		1,000		1,041
5.430% due 10/01/2032 (e)		291		305
5.459% due 01/01/2036 (e)		203		213
5.490% due 04/01/2036 (e)		59		62
5.493% due 12/01/2035 (e)		388		403
5.500% due 08/01/2009 - 02/01/2036		2,592		2,679
5.500% due 03/01/2012 - 02/01/2022 (e)		2,526		2,647
5.526% due 12/01/2032 (e)		562		587
5.557% due 07/01/2036 (e)		575		603
5.566% due 12/01/2036 (e)		1,278		1,342
5.577% due 10/01/2012 (e)		32		33
5.591% due 01/01/2036 (e)		55		58
5.645% due 04/01/2040 (e)		1,293		1,299
5.681% due 12/01/2036 (e)		147		154
5.786% due 05/01/2037 (e)		2,095		2,152
5.919% due 05/01/2036 (e)		932		965
5.923% due 03/01/2037 (e)		718		752
5.950% due 02/25/2044 (e)		2,496		2,640
6.000% due 09/25/2014 - 08/25/2044		1,730		1,827
6.000% due 11/25/2015 (e)		2,705		2,770
6.202% due 09/01/2036 (e)		61		63
6.250% due 05/25/2042		94		100
6.351% due 02/01/2037 (e)		518		550
6.357% due 08/01/2036 (e)		830		844
6.500% due 01/01/2016 - 12/25/2042		1,043		1,119
6.500% due 01/25/2044 (e)		2,827		3,012
7.000% due 12/01/2009 - 02/25/2044		869		938
7.000% due 09/01/2011 - 08/01/2014 (e)		519		543
7.010% due 11/01/2014		21		21
7.475% due 06/01/2030 (e)		42		44
7.500% due 12/01/2014 (e)		174		183
7.500% due 05/01/2028 - 05/25/2042		160		174
7.775% due 05/01/2030		28		28
8.000% due 08/25/2022 - 10/01/2026		366		403
9.000% due 03/25/2020 - 01/01/2026		367		411
9.500% due 07/01/2021		95		105
Federal Housing Administration
7.430% due 07/01/2018		203		203
Freddie Mac
0.574% due 08/25/2031		798		641
0.594% due 09/25/2031		861		786
0.619% due 04/15/2035 - 03/15/2036		56		55
0.664% due 06/25/2029		204		176
0.669% due 06/15/2018 (e)		984		978
0.669% due 10/15/2028 - 03/15/2029		909		888
0.702% due 03/09/2011 (d)		25,346		25,439
0.714% due 05/25/2043 (e)		2,590		2,613
0.719% due 11/15/2032		121		120
0.819% due 01/15/2032		71		71
0.825% due 03/15/2024		250		250
0.869% due 02/15/2032 - 03/15/2032		308		307
0.875% due 05/15/2023 - 10/15/2026		573		565
0.919% due 06/15/2029 - 12/15/2031		1,495		1,493
0.926% due 05/04/2011 (d)		1,378		1,382
0.937% due 08/05/2011 (d)		7,073		7,076
0.975% due 08/15/2022 - 03/15/2023		621		620
1.075% due 04/15/2022		122		122
1.102% due 01/14/2011 (d)		60,488		60,632
1.270% due 03/15/2029		845		854
1.930% due 10/15/2013		109		109
2.527% due 08/01/2015 (e)		53		52
2.638% due 10/25/2044		714		703
2.639% due 02/25/2045		108		103
2.730% due 04/01/2034 (e)		400		400
2.738% due 03/01/2034 (e)		530		530
2.740% due 04/01/2034 (e)		282		282
2.750% due 04/01/2032 (e)		675		675
2.752% due 04/01/2034 (e)		1,258		1,255
2.763% due 03/01/2032 (e)		391		391
2.797% due 03/01/2034 (e)		262		262
2.832% due 03/01/2034 (e)		1,992		1,993
2.838% due 07/25/2044 (e)		5,002		4,954
2.877% due 02/01/2019 (e)		110		109
2.972% due 05/01/2034 (e)		1,034		1,047
3.306% due 02/01/2034 (e)		721		730
3.391% due 03/01/2030 (e)		106		107
3.500% due 03/15/2018		34		35
3.509% due 04/01/2034 (e)		30		30
3.567% due 01/01/2034 (e)		117		118
3.705% due 01/01/2030 (e)		172		171
3.842% due 03/01/2034 (e)		1,390		1,425
3.898% due 04/01/2034 (e)		513		526
3.933% due 08/01/2033 (e)		109		110
3.949% due 07/01/2034 (e)		346		348
3.981% due 06/01/2033 (e)		50		52
4.000% due 08/15/2014 - 10/15/2026		4,224		4,318
4.000% due 09/15/2015 - 09/15/2016 (e)		2,435		2,489
4.090% due 01/01/2035 (e)		67		69
4.135% due 07/01/2036 (e)		952		962
4.161% due 01/01/2035 (e)		118		121
4.187% due 12/01/2033 (e)		365		366
4.202% due 10/01/2034 (e)		741		744
4.207% due 07/01/2033 (e)		1,468		1,494
4.222% due 04/01/2036 (e)		482		499
4.236% due 07/01/2033 (e)		217		217
4.247% due 12/01/2034 (e)		71		72
4.250% due 06/15/2024		298		300
4.268% due 12/01/2033 (e)		239		240
4.300% due 03/01/2035 (e)		181		188
4.306% due 11/01/2034 (e)		2,076		2,098
4.314% due 12/01/2033 (e)		358		367
4.335% due 11/01/2034 (e)		740		757
4.375% due 12/01/2034 (e)		82		84
4.386% due 01/01/2035 (e)		460		475
4.410% due 01/01/2035 (e)		442		456
4.415% due 09/01/2034 (e)		172		176
4.455% due 09/01/2035 (e)		498		516
4.460% due 11/01/2033 (e)		118		121
4.465% due 11/01/2033 (e)		228		232
4.469% due 10/01/2033 (e)		1,040		1,063
4.485% due 03/01/2035 (e)		719		746
4.492% due 10/01/2033 (e)		395		404
4.500% due 09/01/2010 - 08/15/2034		14,010		14,291
4.500% due 08/01/2013 - 10/15/2027 (e)		7,519		7,705
4.510% due 11/01/2034 (e)		1,037		1,053
4.534% due 12/01/2034 (e)		2,263		2,329
4.538% due 09/01/2034 (e)		255		260
4.569% due 11/01/2034 (e)		634		653
4.606% due 01/01/2035 (e)		79		82
4.618% due 03/01/2035 (e)		840		870
4.696% due 08/01/2036 (e)		527		539
4.750% due 12/15/2016 - 01/15/2031		711		725
4.752% due 10/01/2034 (e)		1,395		1,428
4.756% due 09/01/2034 (e)		1,701		1,745
4.758% due 04/01/2035 (e)		2,168		2,246
4.790% due 09/01/2036 (e)		136		139
4.823% due 02/01/2035 (e)		1,784		1,852
4.847% due 03/01/2035 (e)		536		547
4.853% due 09/01/2035 (e)		119		123
4.855% due 07/01/2035 (e)		794		822
4.881% due 01/01/2035 (e)		548		559
4.892% due 07/01/2035 (e)		1,081		1,112
4.909% due 09/01/2034 (e)		110		112
4.919% due 04/01/2035 (e)		622		644
4.924% due 07/01/2035 (e)		52		54
4.942% due 07/01/2033 (e)		56		57
4.944% due 03/01/2035 (e)		59		61
4.948% due 12/01/2032 (e)		135		138
4.973% due 01/01/2036 (e)		121		125
4.996% due 05/01/2035 (e)		1,243		1,288
5.000% due 08/01/2009 - 11/15/2029		5,638		5,748
5.000% due 02/15/2012 - 08/01/2034 (e)		6,353		6,522
5.009% due 06/01/2035 (e)		119		124
5.019% due 05/01/2033 (e)		34		35
5.020% due 11/01/2031 (e)		183		185
5.049% due 12/01/2035 (e)		91		92
5.064% due 11/01/2034 (e)		356		367
5.098% due 10/01/2029 (e)		32		33
5.100% due 08/01/2035 (e)		995		1,029
5.104% due 04/01/2036 (e)		349		362
5.125% due 09/01/2034 (e)		431		441
5.128% due 03/01/2035 (e)		973		1,005
5.130% due 08/01/2035 (e)		1,309		1,340
5.149% due 05/01/2035 (e)		601		607
5.165% due 11/01/2035 (e)		3,131		3,253
5.194% due 11/01/2033 (e)		2,226		2,312
5.205% due 10/01/2032 (e)		33		34
5.230% due 08/01/2036 (e)		1,380		1,434
5.242% due 09/01/2035 - 03/01/2036 (e)		2,669		2,767
5.249% due 02/01/2036 (e)		89		92
5.251% due 02/01/2036 (e)		127		131
5.258% due 02/01/2036 (e)		130		135
5.260% due 10/01/2035 (e)		1,425		1,467
5.262% due 02/01/2037 (e)		1,321		1,377
5.273% due 09/01/2035 (e)		295		306
5.288% due 02/01/2036 (e)		88		91
5.300% due 02/01/2037 (e)		131		136
5.338% due 09/01/2035 (e)		81		83
5.339% due 06/01/2036 (e)		427		439
5.348% due 12/01/2036 (e)		932		973
5.353% due 08/01/2036 (e)		671		692
5.391% due 01/01/2034 (e)		340		352
5.394% due 02/01/2036 (e)		217		227
5.439% due 08/01/2023		22		22
5.484% due 11/01/2036 (e)		1,760		1,822
5.487% due 12/01/2036 (e)		2,807		2,940
5.500% due 08/01/2009 - 10/15/2032		1,721		1,783
5.500% due 07/01/2012 - 06/15/2024 (e)		2,699		2,823
5.527% due 07/01/2019		16		16
5.546% due 12/01/2034 (e)		71		73
5.551% due 12/01/2035 (e)		813		831
5.658% due 04/01/2037 (e)		1,842		1,928
5.701% due 03/01/2036 (e)		114		117
5.782% due 11/01/2035 (e)		28		29
5.798% due 01/01/2037 (e)		96		101
5.804% due 11/01/2036 (e)		115		120
5.918% due 07/01/2036 (e)		33		34
5.974% due 11/01/2036 (e)		76		79
6.000% due 04/01/2016 - 05/01/2035 (e)		4,970		5,228
6.000% due 09/15/2016 - 11/15/2031		2,996		3,103
6.084% due 01/01/2037 (e)		599		633
6.250% due 12/15/2023		49		52
6.474% due 01/01/2037 (e)		175		184
6.500% due 05/15/2012		44		45
7.000% due 06/01/2017 - 07/15/2027		546		558
8.500% due 11/15/2021		393		432
Ginnie Mae
0.518% due 01/16/2031		37		37
0.665% due 06/20/2032		128		126
0.715% due 04/20/2031		650		650
0.718% due 02/16/2032		223		221
0.768% due 03/16/2031		214		211
0.818% due 04/16/2030 - 04/16/2032		302		300
4.125% due 10/20/2029 (e)		1,475		1,497
4.250% due 01/20/2030		19		19
4.375% due 02/20/2025		27		28
4.375% due 01/20/2027 (e)		718		733
4.500% due 08/20/2035		335		347
4.625% due 07/20/2026 - 07/20/2031 (e)		1,409		1,442
6.000% due 01/15/2032 - 03/15/2032		21		22
8.000% due 06/20/2025		2		2
8.500% due 12/20/2026 (e)		28		31
8.500% due 11/20/2027		13		14
Total U.S. Government Agencies (Cost $457,277)				462,181
MORTGAGE-BACKED SECURITIES 49.6%
ABN AMRO Mortgage Corp.
5.000% due 07/25/2018		1,268		1,250
Adjustable Rate Mortgage Trust
0.564% due 10/25/2035		35		19
0.684% due 01/25/2035		1,041		700
0.684% due 02/25/2035		1,399		732
4.574% due 05/25/2035		761		662
4.743% due 01/25/2036		2,768		2,054
4.973% due 01/25/2035		2,488		2,000
5.383% due 11/25/2035		883		606
5.409% due 01/25/2036		809		625
American Home Mortgage Assets
0.524% due 10/25/2046		2,443		797
American Home Mortgage Investment Trust
4.290% due 10/25/2034		1,067		758
4.390% due 02/25/2045		1,018		803
4.440% due 02/25/2045		2,244		1,711
5.660% due 09/25/2045		645		396
Banc of America Alternative Loan Trust
5.000% due 06/25/2019		1,453		1,365
Banc of America Commercial Mortgage, Inc.
4.875% due 06/10/2039		348		348
Banc of America Funding Corp.
0.810% due 06/26/2035		9,443		7,676
3.781% due 05/25/2035		2,263		1,925
4.000% due 07/26/2036		5,200		3,894
4.425% due 03/20/2035		167		105
4.429% due 11/20/2034		5,727		3,957
5.357% due 11/20/2035		712		435
Banc of America Large Loan, Inc.
0.829% due 08/15/2029		13,622		10,118
Banc of America Mortgage Securities, Inc.
0.714% due 03/25/2034		158		157
3.769% due 02/25/2034		3,049		2,644
3.907% due 04/25/2034		775		654
4.500% due 02/25/2018		677		677
5.000% due 12/25/2018		276		244
5.250% due 03/25/2034		252		253
5.266% due 10/25/2035		266		188
5.517% due 02/25/2033		464		397
6.500% due 09/25/2033		743		703
Bank of America-First Union NB Commercial Mortgage
4.890% due 04/11/2037		490		491
Bear Stearns Adjustable Rate Mortgage Trust
4.374% due 11/25/2034		1,901		1,632
4.512% due 05/25/2033		2		2
4.625% due 10/25/2035		5,689		4,511
4.631% due 07/25/2034		326		283
4.650% due 10/25/2035		300		163
4.740% due 10/25/2035		11,610		10,401
4.758% due 10/25/2033		8		7
4.766% due 10/25/2034		8,278		6,192
4.815% due 01/25/2035		317		242
4.889% due 10/25/2033		5		5
4.945% due 10/25/2033		44		39
4.965% due 01/25/2035		1,333		1,126
5.021% due 04/25/2033		72		65
5.088% due 02/25/2033		8		7
5.106% due 01/25/2034		1,125		865
5.409% due 01/25/2034		747		602
5.423% due 04/25/2033		169		154
5.457% due 05/25/2047		1,983		1,157
5.609% due 02/25/2033		50		46
Bear Stearns Alt-A Trust
0.474% due 02/25/2034		1,453		825
0.484% due 08/25/2036		31		11
0.514% due 02/25/2034		5,926		1,653
4.642% due 11/25/2035		48		16
4.942% due 11/25/2034		9,644		6,583
5.362% due 05/25/2035		198		129
5.673% due 11/25/2036		871		443
5.731% due 02/25/2036		34,580		15,315
5.738% due 01/25/2036		4,442		2,223
6.250% due 08/25/2036		8,872		4,182
Bear Stearns Commercial Mortgage Securities
5.016% due 02/11/2044		1,988		1,992
5.243% due 12/11/2038		800		433
6.440% due 06/16/2030		152		152
Cendant Mortgage Corp.
5.250% due 10/25/2033		36		36
Chase Mortgage Finance Corp.
4.747% due 02/25/2037		7,333		3,583
5.000% due 04/25/2018		243		244
5.238% due 12/25/2035		2,211		1,973
5.250% due 01/25/2034		1,506		1,510
Citicorp Mortgage Securities, Inc.
5.000% due 04/25/2018		1,894		1,890
5.000% due 02/25/2035		200		138
5.500% due 09/25/2035		973		879
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		24		20
Citigroup Mortgage Loan Trust, Inc.
1.114% due 08/25/2035		709		453
4.248% due 08/25/2035		11,625		9,257
5.994% due 09/25/2037		4,016		2,178
Citigroup/Deutsche Bank Commercial Mortgage Trust
5.322% due 12/11/2049		7,000		5,185
CitiMortgage Alternative Loan Trust
6.000% due 06/25/2037		787		507
Commercial Mortgage Pass-Through Certificates
0.818% due 02/16/2034		9,716		8,651
5.306% due 12/10/2046		20,549		15,041
Countrywide Alternative Loan Trust
0.504% due 09/25/2046		1,537		588
0.510% due 12/20/2046		4,504		1,808
0.514% due 06/25/2037		1,567		612
0.525% due 07/20/2046		1,958		757
0.714% due 03/25/2034		395		300
2.340% due 02/25/2036		830		382
2.650% due 07/20/2035		874		343
5.255% due 06/25/2037		7,671		1,495
5.306% due 10/25/2035		541		370
5.500% due 02/25/2034		134		117
5.886% due 02/25/2037		1,775		1,047
6.133% due 08/25/2036		1,010		873
Countrywide Home Loan Mortgage Pass-Through Trust
0.584% due 02/25/2035		534		326
0.654% due 06/25/2035		5,671		4,121
0.664% due 08/25/2035		842		449
4.341% due 06/20/2035		925		579
4.500% due 10/25/2018		90		82
4.578% due 08/25/2034		8,698		7,193
4.789% due 04/20/2035		4,281		3,764
4.871% due 08/25/2034		7,248		6,453
5.000% due 02/25/2033		37		37
5.000% due 05/25/2034		2,659		2,499
5.250% due 01/20/2035		1,179		939
5.250% due 02/20/2036		112		65
5.500% due 04/25/2033		2,157		2,161
5.500% due 10/25/2035		1,113		1,110
5.500% due 11/25/2035		1,069		729
5.850% due 05/25/2036		400		359
Credit Suisse Mortgage Capital Certificates
5.383% due 02/15/2040		800		541
CS First Boston Mortgage Securities Corp.
3.844% due 07/25/2033		1,364		1,205
4.512% due 01/25/2034		5,341		4,533
4.562% due 10/25/2033		6,317		5,546
4.792% due 11/25/2032		38		28
5.213% due 03/25/2034		125		106
6.500% due 04/25/2033		223		208
CW Capital Cobalt Ltd.
5.223% due 08/15/2048		20,000		14,447
5.484% due 04/15/2047		700		463
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		580		526
0.394% due 03/25/2037		1,643		1,611
0.414% due 10/25/2036		112		96
5.000% due 10/25/2018		554		529
5.500% due 12/25/2035		2,000		1,132
First Horizon Alternative Mortgage Securities
3.799% due 07/25/2035		538		323
5.403% due 09/25/2035		164		89
First Horizon Asset Securities, Inc.
0.584% due 02/25/2035		40		24
4.742% due 12/25/2033		1,263		1,043
4.921% due 02/25/2035		737		649
5.000% due 03/25/2034		2,202		2,203
5.166% due 06/25/2033		4,014		3,312
First Republic Mortgage Loan Trust
0.619% due 08/15/2032		2,251		1,913
0.669% due 11/15/2031		428		343
0.719% due 11/15/2032		529		435
0.794% due 06/25/2030		505		435
GMAC Commercial Mortgage Securities, Inc.
5.238% due 11/10/2045		20,000		16,619
GMAC Mortgage Corp. Loan Trust
4.765% due 06/25/2034		1,434		778
5.303% due 11/19/2035		918		696
5.500% due 09/25/2034		3,679		3,690
Greenwich Capital Commercial Funding Corp.
5.444% due 03/10/2039		25,000		19,996
GS Mortgage Securities Corp. II
1.368% due 03/06/2020		3,000		1,954
GSAA Trust
6.000% due 04/01/2034		1,085		912
GSR Mortgage Loan Trust
0.664% due 01/25/2034		2,343		1,852
3.726% due 06/25/2034		89		76
3.936% due 06/25/2034		1,076		954
4.344% due 12/25/2034		22,825		21,065
4.469% due 09/25/2035		20,572		12,318
4.500% due 08/25/2019		644		639
4.535% due 03/25/2033		102		93
5.000% due 08/25/2019		506		488
5.028% due 05/25/2035		268		152
5.176% due 01/25/2036		860		578
5.347% due 11/25/2035		1,193		854
6.000% due 03/25/2032		47		46
GSRPM Mortgage Loan Trust
0.714% due 11/25/2031		619		578
Harborview Mortgage Loan Trust
0.458% due 04/19/2038		2,457		981
0.493% due 07/19/2046		1,608		668
0.503% due 02/19/2046		2,628		1,125
0.513% due 02/19/2046		138		25
0.533% due 05/19/2035		144		65
3.683% due 06/19/2034		10,000		6,517
4.353% due 05/19/2033		2,603		2,218
Indymac ARM Trust
3.708% due 01/25/2032		11		8
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		662		617
0.414% due 01/25/2037		131		125
0.504% due 09/25/2046		1,258		491
0.534% due 04/25/2046		2,076		936
1.094% due 05/25/2034		635		327
4.776% due 01/25/2035		3,645		1,747
JPMorgan Alternative Loan Trust
5.500% due 11/25/2036		5,768		4,687
JPMorgan Chase Commercial Mortgage Securities Corp.
5.336% due 05/15/2047		16,100		12,387
5.429% due 12/12/2043		20,000		16,223
5.475% due 04/15/2043		20,000		16,010
5.552% due 05/12/2045		20,000		16,129
JPMorgan Mortgage Trust
4.500% due 06/25/2035		122		106
4.773% due 07/25/2035		3,250		853
4.805% due 12/25/2034		172		132
4.811% due 12/25/2034		380		329
4.945% due 11/25/2035		15,155		12,983
4.975% due 08/25/2035		3,044		2,569
5.009% due 07/25/2035		1,717		1,314
5.120% due 10/25/2035		900		512
5.295% due 07/25/2035		8,975		8,130
5.377% due 08/25/2035		1,400		1,086
5.397% due 11/25/2035		819		676
LB-UBS Commercial Mortgage Trust
4.990% due 11/15/2030		28		28
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		1,088		964
MASTR Adjustable Rate Mortgages Trust
3.469% due 11/21/2034		8,234		7,029
4.163% due 07/25/2034		6,205		4,689
4.853% due 01/25/2036		197		137
MASTR Asset Securitization Trust
5.000% due 04/25/2018		2,172		2,173
5.000% due 05/25/2018		542		543
5.500% due 09/25/2033		1,749		1,666
5.750% due 05/25/2036		5,463		5,262
Merrill Lynch Countrywide Commercial Mortgage Trust
5.378% due 08/12/2048		1,000		668
5.414% due 07/12/2046		28,500		21,539
5.485% due 03/12/2051		500		337
Merrill Lynch Floating Trust
0.389% due 06/15/2022		1,109		779
Merrill Lynch Mortgage Investors, Inc.
4.865% due 06/25/2035		2,814		2,125
5.486% due 09/25/2033		36		31
MLCC Mortgage Investors, Inc.
0.624% due 08/25/2028		235		149
0.644% due 06/25/2028		586		341
2.161% due 03/25/2028		1,864		1,426
3.527% due 01/25/2029		4,842		1,758
4.250% due 10/25/2035		4,176		3,344
4.948% due 04/25/2035		448		352
Morgan Stanley Capital I
0.380% due 10/15/2020		2,355		1,747
5.692% due 04/15/2049		600		439
Morgan Stanley Mortgage Loan Trust
3.770% due 07/25/2034		1,671		1,570
4.750% due 08/25/2034		115		114
Nomura Asset Acceptance Corp.
5.050% due 10/25/2035		149		90
Opteum Mortgage Acceptance Corp.
0.574% due 07/25/2035		1,206		830
Prime Mortgage Trust
0.714% due 02/25/2019		10		9
0.714% due 02/25/2034		29		24
RBSSP Resecuritization Trust
17.694% due 09/26/2036		14,196		12,150
Residential Accredit Loans, Inc.
0.614% due 08/25/2035		1,033		473
0.744% due 02/25/2033		872		758
5.380% due 04/25/2035		14		3
Residential Asset Mortgage Products, Inc.
5.250% due 09/25/2034		1,184		1,183
7.500% due 12/25/2031		1,779		1,702
Residential Asset Securitization Trust
0.814% due 03/25/2033		536		471
3.750% due 10/25/2018		63		60
Residential Funding Mortgage Securities I
5.000% due 04/25/2018		106		101
5.585% due 02/25/2036		561		346
6.500% due 03/25/2032		106		106
Sequoia Mortgage Trust
0.615% due 12/20/2034		478		326
1.215% due 12/20/2032		10		8
2.114% due 05/20/2034		1,001		582
Structured Adjustable Rate Mortgage Loan Trust
0.534% due 05/25/2037		18,434		7,257
0.554% due 03/25/2035		354		159
0.614% due 09/25/2034		432		137
4.266% due 07/25/2034		481		403
4.328% due 03/25/2034		155		123
4.371% due 03/25/2034		718		558
5.073% due 08/25/2034		2,950		2,170
5.497% due 07/25/2035		608		417
Structured Asset Mortgage Investments, Inc.
0.414% due 09/25/2047		2,787		2,598
0.484% due 03/25/2037		6,005		983
0.504% due 03/25/2037		5,358		828
0.534% due 05/25/2036		8,521		3,383
0.544% due 02/25/2036		2,072		820
0.653% due 05/19/2035		41		21
0.733% due 02/19/2033		931		631
4.370% due 02/19/2035		1,748		1,184
Structured Asset Securities Corp.
4.036% due 11/25/2033		256		212
4.093% due 07/25/2032		1		1
4.124% due 05/25/2032		70		63
4.504% due 10/25/2035		732		504
5.414% due 03/25/2033		2,360		2,197
TBW Mortgage-Backed Pass-Through Certificates
0.414% due 09/25/2036		134		133
Thornburg Mortgage Securities Trust
0.414% due 03/25/2037		13,886		12,240
0.424% due 11/25/2046		1,902		1,710
0.434% due 07/25/2036		2,212		1,926
0.434% due 09/25/2046		3,216		2,952
0.464% due 11/25/2046		2,860		2,459
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		7,371		5,312
Wachovia Mortgage Loan Trust LLC
5.453% due 10/20/2035		493		365
WaMu Mortgage Pass-Through Certificates
0.534% due 08/25/2046		7,093		2,909
0.544% due 04/25/2045		388		199
0.554% due 06/25/2046		3,534		1,825
0.584% due 12/25/2045		5,193		2,439
0.604% due 07/25/2045		5,688		2,612
0.604% due 10/25/2045		7,588		3,980
0.604% due 12/25/2045		63		29
0.624% due 01/25/2045		7,300		3,404
0.634% due 08/25/2045		309		168
0.672% due 11/25/2034		229		118
0.682% due 11/25/2034		5,979		3,087
0.854% due 12/25/2027		4,366		3,266
2.100% due 04/25/2047		92		38
2.139% due 02/25/2047		2,166		873
2.150% due 12/25/2046		2,399		1,034
2.340% due 08/25/2046		241		86
2.540% due 11/25/2042		628		362
2.740% due 08/25/2042		50		31
2.840% due 11/25/2046		1,282		839
2.880% due 05/25/2046		168		60
3.052% due 06/25/2033		1,369		1,099
3.127% due 07/25/2046		2,178		918
3.127% due 08/25/2046		5,355		2,443
3.127% due 09/25/2046		539		235
3.711% due 03/25/2034		5,196		4,360
4.211% due 08/25/2033		2,230		1,235
4.214% due 08/25/2033		3,661		3,192
4.668% due 04/25/2035		1,500		1,479
4.677% due 05/25/2035		1,646		1,488
4.825% due 10/25/2035		7,657		4,125
4.830% due 09/25/2035		879		717
4.913% due 08/25/2035		3,692		3,178
5.394% due 02/25/2037		2,413		1,433
5.500% due 06/25/2034		654		641
5.500% due 07/25/2034		69		68
5.687% due 02/25/2037		1,239		693
5.833% due 02/25/2037		1,401		878
Washington Mutual MSC Mortgage Pass-Through Certificates
4.773% due 02/25/2031		27		22
5.185% due 02/25/2033		111		92
5.380% due 02/25/2033		116		98
Wells Fargo Mortgage-Backed Securities Trust
0.814% due 07/25/2037		1,738		1,054
3.902% due 06/25/2035		3,351		2,691
4.057% due 11/25/2034		9,592		8,590
4.076% due 10/25/2035		1,768		1,526
4.360% due 09/25/2034		491		404
4.500% due 08/25/2018		7,622		7,340
4.500% due 11/25/2018		5,898		5,704
4.500% due 01/25/2035		102		100
4.537% due 11/25/2034		21,978		18,329
4.544% due 02/25/2035		1,680		1,451
4.550% due 03/25/2035		2,882		2,349
4.649% due 09/25/2033		14,150		12,216
4.676% due 01/25/2034		2,257		2,065
4.697% due 12/25/2033		1,630		1,472
4.722% due 07/25/2034		4,431		4,384
4.750% due 10/25/2018		6,855		6,820
4.950% due 03/25/2036		5,125		3,626
4.981% due 12/25/2034		1,017		907
5.000% due 07/25/2019		75		74
5.002% due 10/25/2035		301		244
5.072% due 03/25/2036		8,653		6,208
5.241% due 04/25/2036		193		142
5.593% due 07/25/2036		873		586
6.000% due 09/25/2036		668		571
Total Mortgage-Backed Securities (Cost $959,760)				712,741
ASSET-BACKED SECURITIES 16.8%
American Express Credit Account Master Trust
0.349% due 12/15/2013		3,000		2,938
0.819% due 02/15/2012		189		188
Aurum CLO 2002-1 Ltd.
1.561% due 04/15/2014		4,343		4,038
BankAmerica Manufactured Housing Contract Trust
6.940% due 04/10/2023		11,683		11,761
Bear Stearns Asset-Backed Securities Trust
0.364% due 11/25/2036		512		451
0.384% due 12/25/2036		63		54
4.881% due 10/25/2036		5,960		3,356
4.939% due 10/25/2036		4,048		2,276
5.508% due 10/25/2036		7,485		4,007
6.250% due 12/25/2036		7,847		6,069
6.250% due 02/25/2037		15,255		6,270
Bear Stearns Second Lien Trust
1.114% due 12/25/2036		21,100		962
Capital Auto Receivables Asset Trust
1.769% due 10/15/2012		8,600		8,544
Carrington Mortgage Loan Trust
0.414% due 06/25/2037		1,144		911
Chase Issuance Trust
0.789% due 06/15/2012		4,950		4,805
Citibank Credit Card Issuance Trust
0.385% due 04/24/2014		650		627
Citibank Omni Master Trust
1.415% due 12/23/2013		10,000		9,985
Conseco Financial Corp.
6.110% due 09/01/2023		2,153		2,132
Countrywide Asset-Backed Certificates
0.424% due 10/25/2046		399		375
0.574% due 05/25/2036		6,340		4,741
First Franklin Mortgage Loan Asset-Backed Certificates
0.424% due 04/25/2036		559		547
Ford Credit Auto Owner Trust
1.939% due 05/15/2012		5,000		4,970
2.100% due 11/15/2011		5,500		5,505
Franklin Auto Trust
1.315% due 10/20/2011		6,780		6,790
HFC Home Equity Loan Asset-Backed Certificates
0.495% due 01/20/2036		3,713		2,267
1.115% due 11/20/2036		2,707		2,537
Home Equity Asset Trust
0.914% due 11/25/2032		8		3
Home Equity Mortgage Trust
5.821% due 04/25/2035		947		557
HSI Asset Securitization Corp. Trust
0.364% due 10/25/2036		128		76
0.424% due 12/25/2036		9,000		2,182
Indymac Residential Asset-Backed Trust
0.834% due 10/25/2035		1,600		30
Irwin Home Equity Corp.
0.854% due 07/25/2032		284		147
JPMorgan Mortgage Acquisition Corp.
0.377% due 11/25/2036		219		208
0.394% due 03/25/2037		84		67
0.404% due 10/25/2036		634		550
0.405% due 07/25/2036		14,548		12,937
0.424% due 08/25/2036		30		29
Lehman XS Trust
0.384% due 05/25/2046		2		2
0.464% due 04/25/2037		15,217		10,169
5.390% due 11/25/2035		18,714		8,904
Long Beach Mortgage Loan Trust
0.494% due 08/25/2035		112		109
0.594% due 10/25/2034		677		433
1.014% due 03/25/2032		91		48
Madison Avenue Manufactured Housing Contract
1.764% due 03/25/2032		15,397		12,239
Massachusetts Educational Financing Authority
2.042% due 04/25/2038		10,130		10,016
MASTR Asset-Backed Securities Trust
0.364% due 01/25/2037		9,026		2,463
MBNA Credit Card Master Note Trust
0.379% due 11/16/2015		3,000		2,819
Merrill Lynch Mortgage Investors, Inc.
0.494% due 09/25/2036		1,006		210
Morgan Stanley IXIS Real Estate Capital Trust
0.424% due 11/25/2036		15,000		5,025
Morgan Stanley Mortgage Loan Trust
0.384% due 01/25/2047		6,372		5,533
Nationstar Home Equity Loan Trust
0.434% due 04/25/2037		4,408		3,919
Nationstar NIM Trust
8.000% due 06/25/2037		24		2
New Century Home Equity Loan Trust
0.494% due 05/25/2036		1,586		1,076
0.574% due 06/25/2035		1,312		660
Renaissance Home Equity Loan Trust
0.754% due 08/25/2033		458		221
1.014% due 08/25/2032		10		4
1.414% due 09/25/2037		8,395		7,198
Residential Asset Mortgage Products, Inc.
0.384% due 02/25/2037		2,269		1,945
0.394% due 10/25/2036		311		307
Residential Asset Securities Corp.
0.384% due 02/25/2037		1,891		1,742
0.394% due 10/25/2036		37		36
0.424% due 07/25/2036		851		783
0.424% due 04/25/2037		3,988		3,473
SACO I, Inc.
0.694% due 11/25/2035		1,292		527
Salomon Brothers Mortgage Securities VII, Inc.
0.614% due 03/25/2032		146		131
SBI HELOC Trust
0.484% due 08/25/2036		141		127
Securitized Asset-Backed Receivables LLC Trust
0.394% due 11/25/2036		6,688		2,759
SLM Student Loan Trust
1.092% due 01/25/2018		14		14
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		1,414		762
0.394% due 06/25/2037		4,135		3,310
0.424% due 01/25/2037		10,000		7,221
0.464% due 06/25/2037		35,000		12,710
Specialty Underwriting & Residential Finance
0.414% due 11/25/2037		13,000		5,610
0.994% due 01/25/2034		50		16
Stone Tower CLO Ltd.
1.419% due 08/21/2013		3,489		3,064
Structured Asset Securities Corp.
0.364% due 09/25/2036		518		479
0.394% due 01/25/2037		381		336
0.514% due 11/25/2035		1,004		954
0.604% due 01/25/2033		802		571
Trapeza CDO I LLC
2.029% due 11/16/2034		1,000		141
Vanderbilt Acquisition Loan Trust
7.120% due 05/07/2032		5,000		4,208
WaMu Asset-Backed Certificates
0.424% due 01/25/2037		14,656		3,401
Wells Fargo Home Equity Trust
0.554% due 10/25/2035		758		726
0.564% due 12/25/2035		634		589
WMC Mortgage Loan Pass-Through Certificates
0.999% due 05/15/2030		202		179
Total Asset-Backed Securities (Cost $386,571)				241,063
SHORT-TERM INSTRUMENTS 1.8%
U.S. TREASURY BILLS 0.2%
0.113% due 07/02/2009 - 07/23/2009 (b)(d)		2,990		2,990
		SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 1.6%
		2,262,650		22,647
Total Short-Term Instruments (Cost $25,637)				25,637
PURCHASED OPTIONS (g) 0.2% (Cost $814)				2,857
Total Investments 123.9% (Cost $2,196,016)			$	1,780,344
Other Assets and Liabilities (Net) (23.9%)				(342,847	)
Net Assets 100.0%			$	1,437,497

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

* 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) Affiliated to the Portfolio.

(d) Securities with an aggregate market value of $116,101 have been pledged as collateral for swap and swaption contracts on June 30, 2009.

(e) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $277,236 at a weighted average interest rate of 0.458%. On June 30, 2009, securities valued at $271,567 were pledged as collateral for reverse repurchase agreements.

(f) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Asset Backed Securities - Buy Protection⁽¹⁾

Reference Obligation	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Notional Amount(4)		Market Value(5)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation
Avenue CLO Fund Ltd. 3-Month USD-LIBOR plus 1.650% due 07/20/2018	JPM	(1.750	%)	07/20/2018	$	2,500	$	2,059	$	0	$	2,059
Commercial Industrial Finance Corp. 3-Month USD-LIBOR plus 1.600% due 10/20/2020	CITI	(2.150	%)	10/20/2020		500		431		0		431
Telos CLO Ltd. 3-Month USD-LIBOR plus 1.700% due 10/11/2021	GSC	(2.500	%)	10/11/2021		2,000		1,589		0		1,589
							$	4,079	$	0	$	4,079

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal (Pay) Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
ABX Financing Co.	JPM	(0.500	%)	12/20/2016	1.125	%	$	3,000	$	120		$	0	$	120
AutoZone, Inc.	JPM	(0.650	%)	12/20/2012	0.502	%		3,000		(16	)		0		(16	)
AutoZone, Inc.	RBS	(0.810	%)	12/20/2015	0.533	%		2,500		(41	)		0		(41	)
BAE Systems Holdings, Inc.	UBS	(0.140	%)	12/20/2011	0.705	%		2,000		27			0		27
Bank of America Corp.	DUB	(0.180	%)	12/20/2016	2.080	%		10,000		1,135			0		1,135
Bear Stearns Cos. LLC	CITI	(4.050	%)	09/20/2012	1.133	%		5,863		(533	)		0		(533	)
BHP Billiton Finance USA Ltd.	BOA	(0.135	%)	03/20/2012	0.960	%		3,000		66			0		66
Boston Scientific Corp.	UBS	(0.500	%)	06/20/2011	1.056	%		2,500		27			0		27
CNA Financial Corp.	CITI	(0.470	%)	12/20/2014	2.864	%		3,000		326			0		326
Consumers Energy Co.	BOA	(0.090	%)	03/20/2012	2.820	%		3,000		208			0		208
Countrywide Financial Corp.	JPM	(0.710	%)	06/20/2016	3.263	%		5,000		711			0		711
Daimler Finance N.A. LLC	BCLY	(0.535	%)	09/20/2011	1.524	%		5,000		106			0		106
Daimler Finance N.A. LLC	BCLY	(0.580	%)	09/20/2011	1.524	%		4,000		81			0		81
Daimler Finance N.A. LLC	RBS	(0.480	%)	09/20/2011	1.524	%		5,000		112			0		112
Dominion Resources, Inc.	BOA	(0.455	%)	03/20/2016	0.570	%		3,000		21			0		21
HSBC Finance Corp.	BNP	(0.165	%)	12/20/2013	4.498	%		5,000		793			0		793
HSBC Finance Corp.	JPM	(0.220	%)	06/20/2016	4.233	%		3,000		608			0		608
HSBC Finance Corp.	RBS	(0.200	%)	12/20/2011	4.678	%		6,300		630			0		630
iStar Financial, Inc.	RBS	(0.565	%)	12/20/2013	21.155	%		6,000		3,006			0		3,006
Johnson Controls, Inc.	JPM	(0.280	%)	03/20/2011	2.404	%		5,000		178			0		178
Johnson Controls, Inc.	JPM	(0.500	%)	03/20/2016	2.756	%		3,000		368			0		368
Kerr-McGee Corp.	RBS	(0.160	%)	09/20/2011	0.350	%		4,100		17			0		17
Kroger Co.	MSC	(0.560	%)	03/20/2013	0.806	%		4,000		34			0		34
Lennar Corp.	JPM	(0.660	%)	12/20/2011	4.154	%		3,000		236			0		236
Morgan Stanley	RBS	(0.275	%)	12/20/2015	1.976	%		3,000		275			0		275
Morgan Stanley	RBS	(0.320	%)	12/20/2016	1.917	%		5,000		481			0		481
ORIX Corp.	MLP	(0.280	%)	12/20/2011	4.550	%		5,000		497			0		497
Progress Energy, Inc.	MLP	(0.100	%)	03/20/2011	0.461	%		3,348		21			0		21
Rio Tinto Alcan, Inc.	JPM	(0.420	%)	06/20/2015	0.463	%		2,500		6			0		6
Sealed Air Corp.	MSC	(0.590	%)	09/20/2013	1.255	%		5,000		130			0		130
SLM Corp.	RBS	(0.190	%)	12/20/2011	8.685	%		8,000		1,406			0		1,406
Textron Financial Corp.	JPM	(0.110	%)	06/20/2010	8.273	%		2,000		150			0		150
Time Warner, Inc.	BCLY	(0.700	%)	12/20/2016	0.830	%		5,000		41			0		41
Viacom, Inc.	UBS	(0.470	%)	06/20/2011	1.490	%		3,000		59			97		(38	)
Weatherford International Ltd.	DUB	(0.410	%)	12/20/2013	1.259	%		2,500		88			0		88
									$	11,374		$	97	$	11,277

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽²⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(3)		Notional Amount(4)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
Berkshire Hathaway Finance Corp.	JPM	0.900	%	09/20/2009	2.632	%	$	5,000	$	(19	)	$	0	$	(19	)
General Electric Capital Corp.	BCLY	0.935	%	12/20/2010	4.048	%		3,000		(131	)		0		(131	)
									$	(150	)	$	0	$	(150	)

Credit Default Swaps on Credit Indices - Sell Protection⁽²⁾

Index/Tranches	Counterparty	Fixed Deal Receive Rate		Maturity Date	Notional Amount(4)		Market Value(5)			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
ABX.HE A 06-1 Index	DUB	0.540	%	07/25/2045	$	342	$	(315	)	$	(23	)	$	(292	)
ABX.HE A 06-1 Index	MLP	0.540	%	07/25/2045		293		(269	)		(20	)		(249	)
ABX.HE A 06-1 Index	UBS	0.540	%	07/25/2045		341		(315	)		(23	)		(292	)
ABX.HE AA 07-1 Index	BOA	0.150	%	08/25/2037		20,000		(19,397	)		(17,750	)		(1,647	)
ABX.HE AA 07-1 Index	CSFB	0.150	%	08/25/2037		60,000		(58,191	)		(46,200	)		(11,991	)
ABX.HE AAA 06-1 Index	DUB	0.180	%	07/25/2045		3,423		(564	)		(531	)		(33	)
ABX.HE AAA 06-1 Index	MLP	0.180	%	07/25/2045		11,437		(3,511	)		(1,287	)		(2,224	)
ABX.HE AAA 07-1 Index	CITI	0.090	%	08/25/2037		25,000		(18,545	)		(11,938	)		(6,607	)
ABX.HE AAA 07-1 Index	RBS	0.090	%	08/25/2037		12,500		(9,272	)		(9,562	)		290
CDX.IG-7 5-Year Index 10-15%	GSC	0.060	%	12/20/2011		25,000		(1,039	)		0			(1,039	)
CDX.IG-7 5-Year Index 10-15%	JPM	0.068	%	12/20/2011		75,000		(3,104	)		0			(3,104	)
CDX.IG-7 10-Year Index 15-30%	DUB	0.157	%	12/20/2016		25,000		(1,508	)		0			(1,508	)
CDX.IG-7 10-Year Index 15-30%	GSC	0.152	%	12/20/2016		25,000		(1,516	)		0			(1,516	)
CDX.IG-7 10-Year Index 15-30%	MLP	0.144	%	12/20/2016		25,000		(1,529	)		0			(1,529	)
							$	(119,075	)	$	(87,334	)	$	(31,741	)

⁽¹⁾ If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities compromising the referenced index.

⁽³⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽⁴⁾ The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

⁽⁵⁾ The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	3.500	%	06/24/2016	BCLY	$	5,700	$	36		$	0		$	36
Receive	3-Month USD-LIBOR	5.000	%	12/17/2038	BOA		49,800		(7,102	)		(6,708	)		(394	)
								$	(7,066	)	$	(6,708	)	$	(358	)

(g) Purchased options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	20,500	$	218	$	735
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		8,500		95		304
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		30,900		301		1,108
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		19,800		200		710
									$	814	$	2,857

(h) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount		Proceeds		Market Value
Freddie Mac	6.000	%	07/01/2039	$	3,800	$	3,952	$	3,967

(i) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	335,865		$	0	$	335,865
U.S. Government Agencies		0		461,957			224		462,181
Mortgage-Backed Securities		7,676		692,411			12,654		712,741
Asset-Backed Securities		0		233,959			7,104		241,063
Other Investments++		22,647		5,847			0		28,494
Investments, at value	$	30,323	$	1,730,039		$	19,982	$	1,780,344
Short Sales, at value	$	0	$	(3,967	)	$	0	$	(3,967	)
Financial Derivative Instruments+++	$	0	$	(20,972	)	$	4,079	$	(16,893	)
Total	$	30,323	$	1,705,100		$	24,061	$	1,759,484

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)			Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/ (Out) of Level 3		Ending Balance at 06/30/2009
U.S. Government Agencies	$	231	$	(5	)	$	0		$	0	$	(2	)	$	0	$	224
Mortgage-Backed Securities		0		12,141			1			0		63			449		12,654
Asset-Backed Securities		7,239		(381	)		(2	)		0		248			0		7,104
Investments, at value	$	7,470	$	11,755		$	(1	)	$	0	$	309		$	449	$	19,982
Financial Derivative Instruments+++	$	4,302	$	0		$	0		$	0	$	(223	)	$	0	$	4,079
Total	$	11,772	$	11,755		$	(1	)	$	0	$	86		$	449	$	24,061

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Schedule of Investments

U.S. Government Sector Portfolio

June 30, 2009 (Unaudited)

	PRINCIPAL AMOUNT (000s)		MARKET VALUE (000s)
CORPORATE BONDS & NOTES 11.9%
BANKING & FINANCE 10.6%
Bank of America Corp.
0.721% due 09/25/2009	$	2,000	$	1,998
1.127% due 11/06/2009		20,000		19,966
Bank of Scotland PLC
1.152% due 07/17/2009		2,500		2,499
Bear Stearns Cos. LLC
1.093% due 08/15/2011		100		97
Citigroup, Inc.
8.400% due 04/29/2049 (a)		43,800		32,908
General Electric Capital Corp.
1.562% due 12/09/2011		75,000		76,985
Goldman Sachs Group, Inc.
0.901% due 06/28/2010		11,600		11,540
1.561% due 10/07/2011		2,000		1,921
Governor & Co. of the Bank of Ireland
0.663% due 12/18/2009		5,500		5,450
HSBC Finance Corp.
0.719% due 03/12/2010		8,100		7,968
1.162% due 10/21/2009		18,600		18,547
JPMorgan Chase & Co.
1.282% due 01/17/2011		400		396
Kreditanstalt fuer Wiederaufbau
3.500% due 03/10/2014		200		204
Merrill Lynch & Co., Inc.
0.996% due 08/14/2009		5,900		5,900
1.236% due 02/05/2010		100		99
Morgan Stanley
1.357% due 01/18/2011		100		97
3.006% due 05/14/2010		200		200
New York Community Bank
3.000% due 12/16/2011		20,000		20,570
Regions Bank
3.250% due 12/09/2011		45,000		46,719
SMFG Preferred Capital USD 3 Ltd.
9.500% due 07/29/2049		39,600		38,475
SunTrust Bank
3.000% due 11/16/2011		45,000		46,457
U.S. Trade Funding Corp.
4.260% due 11/15/2014		7,509		8,018
				347,014
INDUSTRIALS 0.5%
CVS Caremark Corp.
0.968% due 06/01/2010		14,100		14,004
Totem Ocean Trailer Express, Inc.
4.514% due 12/18/2019		525		543
Yum! Brands, Inc.
6.875% due 11/15/2037		3,000		3,030
				17,577
UTILITIES 0.8%
AT&T, Inc.
1.116% due 02/05/2010		5,300		5,305
BellSouth Corp.
4.950% due 04/26/2021		16,600		16,963
Ohio Power Co.
0.775% due 04/05/2010		2,400		2,374
				24,642
Total Corporate Bonds & Notes (Cost $384,066)				389,233
MUNICIPAL BONDS & NOTES 0.2%
Florida State Board of Education General Obligation Bonds, Series 2008
4.750% due 06/01/2034		1,200		1,157
Iowa State Tobacco Settlement Authority Revenue Bonds, Series 2005
6.500% due 06/01/2023		2,400		1,798
Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 2007
4.500% due 07/01/2025		2,020		1,874
New York State Port Authority of New York & New Jersey Revenue Bonds, Series 2008
5.250% due 09/15/2023		1,100		1,105
Total Municipal Bonds & Notes (Cost $6,454)				5,934
U.S. GOVERNMENT AGENCIES 39.5%
Fannie Mae
0.374% due 12/25/2036		3,731		3,368
0.429% due 03/25/2034		1,707		1,556
0.444% due 03/25/2036		3,008		2,602
0.534% due 07/25/2032		932		823
0.554% due 06/25/2033		1,421		1,353
0.574% due 06/25/2032		2		2
0.634% due 03/25/2032		690		570
0.654% due 11/25/2032		11		7
0.664% due 05/25/2042		839		754
0.794% due 08/25/2021 - 03/25/2022		125		124
0.944% due 08/25/2022		34		34
1.044% due 04/25/2022		56		55
1.214% due 04/25/2032		952		966
2.638% due 02/01/2041 - 10/01/2044		17,198		17,020
2.838% due 11/01/2030		2		2
2.877% due 11/01/2020		28		28
2.969% due 03/01/2018		25		25
3.105% due 06/01/2032		5		5
3.286% due 05/01/2032		24		24
3.392% due 11/01/2035		1,362		1,384
3.432% due 11/01/2035		2,948		2,995
3.597% due 03/01/2026		21		21
3.935% due 06/01/2021		2,089		2,065
4.077% due 07/01/2018		523		522
4.127% due 05/01/2025		17		17
4.132% due 01/01/2029		29		30
4.328% due 12/01/2032		9		9
4.386% due 10/01/2032		52		53
4.433% due 09/01/2017		25		25
4.448% due 01/01/2018		18		18
4.500% due 04/25/2016 - 05/01/2023		22,980		23,556
4.525% due 12/01/2031		11		11
4.615% due 08/01/2036		932		965
4.650% due 08/01/2014		31		31
4.751% due 03/01/2035		3,455		3,555
4.754% due 12/01/2029		10		10
4.970% due 02/01/2026		13		14
5.000% due 01/25/2017 - 07/01/2039		116,261		118,402
5.000% due 02/01/2038 (e)		20,489		20,923
5.022% due 09/01/2031		92		93
5.062% due 12/01/2022		53		53
5.105% due 01/01/2018		42		42
5.125% due 09/01/2022		5		5
5.145% due 09/01/2028		38		39
5.155% due 09/01/2033		6		6
5.238% due 12/01/2029		8		8
5.250% due 05/01/2022		14		14
5.279% due 01/01/2036		5,545		5,747
5.344% due 12/01/2029		26		27
5.347% due 10/01/2025		39		40
5.415% due 09/01/2032		7		7
5.493% due 12/01/2035		853		886
5.500% due 01/01/2027 - 12/01/2038		143,794		148,599
5.603% due 09/01/2026		813		817
5.650% due 11/01/2014		22		23
5.722% due 08/01/2028		13		14
5.800% due 02/09/2026		30,000		31,098
5.950% due 02/25/2044		5,514		5,831
6.000% due 05/01/2037		3,787		3,967
6.000% due 10/01/2038 (e)		24,688		25,842
6.210% due 08/06/2038		14,200		16,207
6.319% due 06/01/2025		19		20
Farmer Mac
7.320% due 07/25/2011		1,750		1,717
Federal Home Loan Bank
4.625% due 09/11/2020		30,800		31,523
5.125% due 08/15/2019		98,000		105,418
6.640% due 12/13/2016		75		89
Freddie Mac
0.000% due 12/11/2025		9,084		3,773
0.554% due 07/25/2031		673		606
0.669% due 12/15/2030 - 06/15/2031		2,796		2,757
0.719% due 11/15/2016 - 03/15/2017		4,222		4,192
0.819% due 06/15/2030 - 12/15/2032		1,034		1,030
0.869% due 06/15/2031		301		299
0.937% due 08/05/2011		290,000		290,105
1.075% due 02/15/2027		27		26
2.638% due 10/25/2044		6,222		6,126
2.639% due 02/25/2045		1,916		1,827
2.838% due 07/25/2044		4,134		4,094
3.083% due 05/01/2032		20		20
3.159% due 04/01/2027		21		21
3.436% due 07/01/2029		23		23
3.528% due 02/01/2032		10		10
3.935% due 02/01/2032		23		23
4.000% due 10/15/2023		273		273
4.043% due 07/01/2020		172		174
4.198% due 03/01/2025		2		2
4.217% due 08/01/2019		47		47
4.236% due 02/01/2024		47		48
4.250% due 05/22/2013 - 02/15/2025		3,373		3,415
4.365% due 12/01/2031		9		9
4.499% due 02/01/2018		52		52
4.500% due 07/06/2010 - 07/01/2039		87,627		87,268
4.649% due 02/01/2035		5,885		6,077
4.700% due 06/01/2035 (e)		16,381		16,868
4.754% due 01/01/2032		44		45
4.816% due 02/01/2025		12		12
4.998% due 10/01/2031		9		9
5.000% due 01/15/2018 - 01/15/2034		28,078		29,262
5.053% due 08/01/2020		37		37
5.084% due 03/01/2035		360		374
5.231% due 08/01/2031		3		3
5.400% due 03/17/2021		500		538
5.500% due 08/15/2030 - 08/01/2038		12,481		13,017
5.625% due 11/23/2035		74,000		75,990
6.500% due 10/25/2043		1,746		1,857
Ginnie Mae
4.125% due 10/20/2023 - 10/20/2024		135		138
4.250% due 02/20/2030		1,729		1,758
4.375% due 02/20/2024 - 02/20/2026		421		430
4.625% due 07/20/2025 - 08/20/2026		1,009		1,034
5.000% due 05/20/2034		27,276		27,155
5.375% due 04/20/2023 - 04/20/2032		1,278		1,318
8.500% due 03/20/2025		72		78
Small Business Administration
0.875% due 05/25/2021 - 01/25/2022		762		753
1.000% due 03/25/2025 - 07/25/2025		637		631
1.100% due 01/25/2019 - 11/25/2024		869		862
4.500% due 03/01/2023		962		988
4.760% due 09/01/2025		26,569		27,545
4.770% due 04/01/2024		7,207		7,471
4.875% due 09/10/2013		1,328		1,369
4.930% due 01/01/2024		5,919		6,170
5.136% due 08/10/2013		7,550		7,857
5.240% due 08/01/2023		3,789		3,933
7.060% due 11/01/2019		970		1,048
7.220% due 11/01/2020		972		1,058
7.449% due 08/01/2010		109		113
8.017% due 02/10/2010		587		607
Tennessee Valley Authority
5.375% due 04/01/2056		22,600		22,155
5.500% due 06/15/2038		35,000		35,446
U.S. Department of Housing and Urban Development
4.930% due 08/01/2014		4,000		4,292
5.190% due 08/01/2016		5,000		5,332
Total U.S. Government Agencies (Cost $1,275,687)				1,291,906
U.S. TREASURY OBLIGATIONS 2.2%
U.S. Treasury Notes
0.875% due 04/30/2011 (e)		13,135		13,101
2.625% due 06/30/2014		60,000		60,230
Total U.S. Treasury Obligations (Cost $73,397)				73,331
MORTGAGE-BACKED SECURITIES 17.0%
Banc of America Funding Corp.
4.585% due 02/20/2036		35,424		26,934
Banc of America Mortgage Securities, Inc.
6.500% due 09/25/2033		885		838
Bear Stearns Adjustable Rate Mortgage Trust
4.374% due 11/25/2034		4,052		3,477
4.625% due 10/25/2035		13,143		10,422
4.740% due 10/25/2035		12,630		12,185
5.021% due 04/25/2033		664		595
5.088% due 02/25/2033		127		114
5.106% due 01/25/2034		856		658
5.287% due 04/25/2033		61		60
5.426% due 04/25/2033		824		764
Bear Stearns Alt-A Trust
0.474% due 02/25/2034		5,183		2,942
5.490% due 09/25/2035		15,631		8,494
5.673% due 11/25/2036		42,849		21,810
5.694% due 11/25/2036		31,979		16,215
Bear Stearns Commercial Mortgage Securities
6.440% due 06/16/2030		109		109
Bear Stearns Mortgage Funding Trust
0.384% due 02/25/2037		5,336		4,115
CBA Commercial Small Balance Commercial Mortgage
0.594% due 12/25/2036		3,823		1,723
CC Mortgage Funding Corp.
0.444% due 05/25/2048		8,462		3,094
0.564% due 08/25/2035		1,789		1,161
Citigroup Commercial Mortgage Trust
0.389% due 08/15/2021		37		31
Citigroup Mortgage Loan Trust, Inc.
2.850% due 12/25/2035		3,383		2,762
4.700% due 12/25/2035		26,085		21,074
4.900% due 10/25/2035		51,780		39,353
Countrywide Alternative Loan Trust
0.395% due 09/20/2046		1,513		1,476
0.474% due 02/25/2047		1,539		581
0.494% due 05/25/2047		9,632		3,620
0.495% due 02/20/2047		12,759		4,968
0.514% due 05/25/2036		949		376
0.524% due 05/25/2035		2,025		915
0.525% due 03/20/2046		9,918		4,078
0.594% due 12/25/2035		812		382
2.340% due 02/25/2036		954		439
4.500% due 06/25/2035		297		290
5.500% due 03/25/2036		7,240		5,331
Countrywide Home Loan Mortgage Pass-Through Trust
0.544% due 05/25/2035		3,302		1,473
0.604% due 04/25/2035		736		338
0.644% due 02/25/2035		2,091		1,095
0.654% due 02/25/2035		1,244		661
0.654% due 06/25/2035		331		240
3.815% due 04/25/2035		1,133		395
4.620% due 08/25/2034		5,054		4,037
5.781% due 09/20/2036		15,418		7,088
CS First Boston Mortgage Securities Corp.
3.044% due 05/25/2032		57		53
4.151% due 06/25/2032		71		59
Deutsche ALT-A Securities, Inc. Alternate Loan Trust
0.384% due 01/25/2047		1,218		1,105
0.394% due 02/25/2037		1,408		1,302
Downey Savings & Loan Association Mortgage Loan Trust
0.573% due 08/19/2045		1,764		778
First Republic Mortgage Loan Trust
0.569% due 11/15/2030		701		570
0.794% due 06/25/2030		673		580
GMAC Commercial Mortgage Securities, Inc.
6.957% due 09/15/2035		400		413
Greenpoint Mortgage Funding Trust
0.394% due 10/25/2046		8,386		6,910
0.394% due 01/25/2047		7,770		5,901
0.534% due 06/25/2045		1,664		710
GS Mortgage Securities Corp. II
0.408% due 03/06/2020		10,080		8,648
GSR Mortgage Loan Trust
4.971% due 04/25/2036		10,850		6,136
GSRPM Mortgage Loan Trust
1.014% due 01/25/2032		251		162
Harborview Mortgage Loan Trust
0.403% due 01/19/2038		2,316		2,141
0.458% due 04/19/2038		4,168		1,665
0.533% due 05/19/2035		4,179		1,874
0.683% due 02/19/2034		1,212		940
Impac CMB Trust
1.314% due 07/25/2033		208		153
Impac Secured Assets CMN Owner Trust
0.394% due 01/25/2037		2,398		2,251
Indymac Index Mortgage Loan Trust
0.404% due 11/25/2046		3,844		3,582
0.414% due 01/25/2037		170		163
0.634% due 02/25/2035		6,564		2,914
JPMorgan Mortgage Trust
4.773% due 07/25/2035		37,053		29,748
5.009% due 07/25/2035		5,009		3,832
5.345% due 02/25/2036		9,535		7,959
Lehman Brothers Floating Rate Commercial Mortgage Trust
0.399% due 09/15/2021		2,394		2,120
MASTR Adjustable Rate Mortgages Trust
0.424% due 05/25/2047		199		195
3.912% due 05/25/2034		560		439
MASTR Asset Securitization Trust
4.500% due 03/25/2018		1,533		1,514
5.500% due 09/25/2033		1,022		973
Mellon Residential Funding Corp.
0.669% due 11/15/2031		2,758		2,006
0.759% due 12/15/2030		3,109		2,507
Merrill Lynch Floating Trust
0.389% due 06/15/2022		3,548		2,492
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032		500		436
Morgan Stanley Capital I
0.380% due 10/15/2020		12,094		8,973
4.490% due 01/13/2041		350		351
New Century Alternative Mortgage Loan Trust
0.374% due 07/25/2036		202		200
Prime Mortgage Trust
5.000% due 02/25/2019		2,954		2,876
Residential Accredit Loans, Inc.
0.414% due 09/25/2046		2,526		1,985
0.614% due 08/25/2035		3,139		1,438
0.714% due 01/25/2033		1,581		1,412
0.714% due 03/25/2033		4,749		4,161
2.700% due 09/25/2045		1,282		574
Residential Asset Mortgage Products, Inc.
5.000% due 09/25/2034		508		495
8.500% due 10/25/2031		1,339		1,189
Residential Funding Mortgage Securities I
6.500% due 03/25/2032		196		197
Sequoia Mortgage Trust
0.663% due 10/19/2026		2,478		1,880
0.665% due 07/20/2033		3,328		2,674
0.785% due 07/20/2033		2,340		1,386
Structured Adjustable Rate Mortgage Loan Trust
2.610% due 01/25/2035		1,030		436
Structured Asset Mortgage Investments, Inc.
0.384% due 08/25/2036		1,316		1,260
0.414% due 09/25/2047		1,375		1,282
0.504% due 06/25/2036		873		331
0.534% due 05/25/2036		39,682		15,755
0.663% due 03/19/2034		1,105		689
0.893% due 07/19/2034		606		332
Structured Asset Securities Corp.
0.364% due 05/25/2036		1,444		1,345
4.504% due 10/25/2035		3,036		2,090
TBW Mortgage-Backed Pass-Through Certificates
0.414% due 09/25/2036		114		114
0.424% due 01/25/2037		2,792		2,536
Thornburg Mortgage Securities Trust
0.414% due 03/25/2037		15,275		13,464
0.424% due 11/25/2046		11,711		10,529
0.434% due 09/25/2046		15,232		13,982
Wachovia Bank Commercial Mortgage Trust
0.409% due 09/15/2021		30,681		22,111
WaMu Mortgage Pass-Through Certificates
0.544% due 04/25/2045		5,094		2,619
0.574% due 11/25/2045		3,523		1,709
0.584% due 12/25/2045		2,109		991
0.604% due 10/25/2045		4,200		2,203
0.854% due 12/25/2027		8,276		6,192
2.070% due 01/25/2047		2,806		1,245
2.150% due 12/25/2046		5,484		2,363
2.320% due 06/25/2046		7,767		3,542
2.340% due 02/25/2046		5,790		2,582
2.540% due 11/25/2042		1,402		809
2.674% due 05/25/2041		601		491
2.740% due 06/25/2042		1,073		780
2.840% due 11/25/2046		2,338		1,531
2.877% due 02/27/2034		1,396		1,144
2.880% due 05/25/2046		1,428		514
3.127% due 07/25/2046		13,553		5,710
3.127% due 08/25/2046		34,248		15,626
3.127% due 09/25/2046		5,727		2,496
3.127% due 10/25/2046		2,973		1,334
3.127% due 12/25/2046		3,127		1,330
3.711% due 03/25/2034		633		531
Washington Mutual MSC Mortgage Pass-Through Certificates
4.541% due 05/25/2033		123		82
5.185% due 02/25/2033		5		4
5.380% due 02/25/2033		72		61
Wells Fargo Mortgage-Backed Securities Trust
3.581% due 09/25/2034		3,563		3,102
4.121% due 07/25/2035		8,610		7,788
4.477% due 11/25/2033		525		474
4.500% due 11/25/2018		6,383		6,174
4.950% due 03/25/2036		67,359		47,662
Total Mortgage-Backed Securities (Cost $841,519)				557,080
ASSET-BACKED SECURITIES 6.2%
Accredited Mortgage Loan Trust
0.364% due 02/25/2037		2,066		1,901
ACE Securities Corp.
0.364% due 07/25/2036		86		85
0.364% due 08/25/2036		1,145		830
0.394% due 10/25/2036		346		335
0.464% due 12/25/2035		493		481
Asset-Backed Funding Certificates
0.374% due 10/25/2036		241		237
0.664% due 06/25/2034		8,073		3,966
Asset-Backed Securities Corp. Home Equity
0.364% due 12/25/2036		344		316
0.394% due 05/25/2037		785		626
0.839% due 06/15/2031		486		223
0.859% due 11/15/2031		43		23
Bear Stearns Asset-Backed Securities Trust
0.354% due 02/25/2037		3,162		2,694
0.364% due 11/25/2036		2,485		2,190
0.384% due 12/25/2036		943		801
0.394% due 10/25/2036		1,455		1,290
0.424% due 11/25/2036		7,365		4,319
0.814% due 11/25/2042		4,070		3,053
0.974% due 10/25/2032		147		90
Carrington Mortgage Loan Trust
0.364% due 08/25/2036		32		32
0.364% due 10/25/2036		2,064		1,934
0.364% due 12/25/2036		1,991		1,475
0.474% due 01/25/2036		2,154		2,043
0.634% due 10/25/2035		1,907		1,481
CIT Group Home Equity Loan Trust
0.584% due 06/25/2033		287		210
Citigroup Mortgage Loan Trust, Inc.
0.354% due 12/25/2036		2,574		2,009
0.374% due 01/25/2037		55		55
0.374% due 05/25/2037		2,229		1,794
0.374% due 07/25/2045		4,068		2,861
0.414% due 10/25/2036		3,605		3,383
0.424% due 08/25/2036		1,748		1,247
0.424% due 03/25/2037		1,111		769
Conseco Finance Securitizations Corp.
7.970% due 05/01/2032		1,463		891
Countrywide Asset-Backed Certificates
0.364% due 07/25/2037		3,970		3,667
0.364% due 12/25/2046		463		454
0.364% due 03/25/2047		679		660
0.364% due 05/25/2047		1,939		1,766
0.374% due 03/25/2037		368		358
0.394% due 10/25/2047		1,347		1,183
0.414% due 09/25/2037		1,318		1,177
0.414% due 09/25/2047		2,002		1,755
0.474% due 02/25/2036		442		419
0.494% due 09/25/2036		3,289		2,330
0.504% due 06/25/2036		2,385		1,615
0.794% due 12/25/2031		199		87
Credit-Based Asset Servicing & Securitization LLC
0.374% due 11/25/2036		1,737		1,419
0.384% due 01/25/2037		2,631		1,263
0.404% due 12/25/2037		982		936
CS First Boston Mortgage Securities Corp.
0.934% due 01/25/2032		136		89
First Franklin Mortgage Loan Asset-Backed Certificates
0.354% due 09/25/2036		1,615		1,574
0.354% due 01/25/2038		1,851		1,706
0.364% due 11/25/2036		7,896		7,441
0.364% due 12/25/2036		55		54
0.364% due 03/25/2037		9,349		8,673
0.384% due 12/25/2037		1,057		1,000
0.684% due 12/25/2034		118		95
Fremont Home Loan Trust
0.364% due 10/25/2036		1,290		807
0.374% due 01/25/2037		2,799		1,816
GE-WMC Mortgage Securities LLC
0.354% due 08/25/2036		526		389
GSAMP Trust
0.354% due 10/25/2046		754		714
0.384% due 10/25/2036		106		85
0.384% due 12/25/2036		2,867		1,520
0.404% due 11/25/2035		293		63
GSRPM Mortgage Loan Trust
0.694% due 09/25/2042		464		448
HFC Home Equity Loan Asset-Backed Certificates
0.665% due 09/20/2033		1,315		985
Home Equity Asset Trust
0.374% due 05/25/2037		1,104		975
1.234% due 02/25/2033		1		0
HSI Asset Securitization Corp. Trust
0.364% due 10/25/2036		2,215		1,306
0.364% due 12/25/2036		868		753
Indymac Residential Asset-Backed Trust
0.374% due 04/25/2037		1,628		1,546
0.394% due 07/25/2037		1,511		1,371
0.444% due 04/25/2047		2,055		1,746
IXIS Real Estate Capital Trust
0.374% due 05/25/2037		73		36
JPMorgan Mortgage Acquisition Corp.
0.364% due 07/25/2036		1,060		1,005
0.364% due 08/25/2036		1,454		1,350
0.364% due 10/25/2036		5,155		4,006
0.374% due 05/25/2037		2,396		1,957
0.374% due 03/25/2047		1,716		1,235
0.377% due 11/25/2036		351		332
0.394% due 08/25/2036		449		414
0.394% due 03/25/2037		1,267		1,006
LA Arena Funding LLC
7.656% due 12/15/2026		79		74
Lehman ABS Mortgage Loan Trust
0.404% due 06/25/2037		1,641		1,046
Lehman XS Trust
0.384% due 05/25/2046		11		11
0.394% due 11/25/2046		3,910		3,273
0.434% due 11/25/2036		802		783
Long Beach Mortgage Loan Trust
0.354% due 11/25/2036		1,818		1,688
0.364% due 08/25/2036		306		300
0.374% due 10/25/2036		478		445
0.494% due 08/25/2035		112		109
0.594% due 10/25/2034		1,548		991
MASTR Asset-Backed Securities Trust
0.364% due 11/25/2036		1,065		885
0.374% due 11/25/2036		1,551		1,440
0.394% due 05/25/2037		2,042		1,654
MBNA Credit Card Master Note Trust
0.419% due 12/15/2011		2,300		2,300
Merrill Lynch First Franklin Mortgage Loan Trust
0.374% due 07/25/2037		3,613		2,859
Merrill Lynch Mortgage Investors, Inc.
0.384% due 08/25/2036		1,465		1,456
0.384% due 07/25/2037		1,288		1,204
0.434% due 02/25/2037		1,253		658
Mid-State Trust
7.340% due 07/01/2035		264		206
Morgan Stanley ABS Capital I
0.354% due 10/25/2036		1,865		1,748
0.354% due 01/25/2037		5,791		5,016
0.364% due 09/25/2036		1,547		1,481
0.364% due 10/25/2036		1,536		1,428
0.364% due 11/25/2036		3,427		3,257
0.374% due 05/25/2037		10,379		7,890
Morgan Stanley Home Equity Loan Trust
0.364% due 12/25/2036		2,517		2,252
Morgan Stanley IXIS Real Estate Capital Trust
0.364% due 11/25/2036		1,719		1,632
Morgan Stanley Mortgage Loan Trust
0.384% due 01/25/2047		3,886		3,373
Nationstar Home Equity Loan Trust
0.374% due 03/25/2037		1,111		1,031
0.374% due 06/25/2037		3,114		2,791
0.434% due 04/25/2037		1,525		1,356
New Century Home Equity Loan Trust
0.494% due 05/25/2036		2,141		1,452
0.574% due 06/25/2035		796		448
Option One Mortgage Loan Trust
0.354% due 02/25/2037		128		126
0.364% due 01/25/2037		1,641		1,556
0.374% due 07/25/2037		1,367		1,147
Park Place Securities, Inc.
0.574% due 09/25/2035		617		393
Popular ABS Mortgage Pass-Through Trust
0.404% due 06/25/2047		3,148		2,470
Renaissance Home Equity Loan Trust
0.814% due 12/25/2033		1,697		810
1.014% due 08/25/2032		2		1
Residential Asset Mortgage Products, Inc.
0.384% due 02/25/2037		1,420		1,217
0.414% due 08/25/2046		882		842
Residential Asset Securities Corp.
0.374% due 01/25/2037		2,735		2,444
0.384% due 11/25/2036		1,831		1,803
0.384% due 02/25/2037		1,229		1,132
0.424% due 04/25/2037		1,825		1,589
Salomon Brothers Mortgage Securities VII, Inc.
0.614% due 03/25/2032		111		99
1.214% due 01/25/2032		147		80
Saxon Asset Securities Trust
0.834% due 08/25/2032		19		16
SBI HELOC Trust
0.484% due 08/25/2036		1,309		1,178
Securitized Asset-Backed Receivables LLC Trust
0.354% due 01/25/2037		2,440		2,061
0.364% due 09/25/2036		555		488
0.374% due 12/25/2036		3,824		2,144
0.394% due 11/25/2036		1,297		535
SLM Student Loan Trust
1.082% due 07/25/2017		2,156		2,155
Soundview Home Equity Loan Trust
0.374% due 11/25/2036		1,657		893
0.394% due 01/25/2037		729		711
0.394% due 06/25/2037		2,281		1,826
Specialty Underwriting & Residential Finance
0.359% due 11/25/2037		769		744
0.374% due 01/25/2038		2,300		1,889
Structured Asset Investment Loan Trust
0.354% due 09/25/2036		520		500
0.364% due 07/25/2036		2,738		2,484
Structured Asset Securities Corp.
0.394% due 01/25/2037		889		785
0.414% due 01/25/2037		1,794		1,285
0.714% due 05/25/2034		487		392
Truman Capital Mortgage Loan Trust
0.654% due 01/25/2034		68		67
WaMu Asset-Backed Certificates
0.364% due 01/25/2037		3,165		2,265
Wells Fargo Home Equity Trust
0.364% due 01/25/2037		174		171
0.414% due 03/25/2037		371		351
Total Asset-Backed Securities (Cost $253,781)				204,416
SOVEREIGN ISSUES 4.2%
Egypt Government AID Bond
4.450% due 09/15/2015		35,000		36,518
Israel Government AID Bond
0.000% due 11/01/2024		178,000		79,740
5.500% due 12/04/2023		20,000		21,448
Total Sovereign Issues (Cost $137,887)				137,706
SHORT-TERM INSTRUMENTS 17.5%
REPURCHASE AGREEMENTS 0.1%
State Street Bank and Trust Co.
0.010% due 07/01/2009		3,375		3,375
(Dated 06/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 08/27/2009 valued at $3,444. Repurchase proceeds are $3,375.)
U.S. TREASURY BILLS 0.2%
1.320% due 07/16/2009 - 07/23/2009 (b)(e)		8,092		8,091
	SHARES
SHORT-TERM FLOATING NAV PORTFOLIO (c) 17.2%
		56,229,730		562,803
Total Short-Term Instruments (Cost $574,251)				574,269
PURCHASED OPTIONS (g) 2.8% (Cost $25,502)				90,517
Total Investments 101.5% (Cost $3,572,544)			$	3,324,392
Written Options (h) (0.0%)				(6	)
(Premiums $8)
Other Assets and Liabilities (Net) (1.5%)				(48,832	)
Net Assets 100.0%			$	3,275,554

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) Affiliated to the Portfolio.

(d) The average amount of borrowings while outstanding during the period ended June 30, 2009 was $403,198 at a weighted average interest rate of 0.359%. On June 30, 2009, there were no open reverse repurchase agreements.

(e) Securities with an aggregate market value of $49,589 have been pledged as collateral for the following open futures contracts on June 30, 2009:

Description	Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
90-Day Eurodollar December Futures	Long	12/2009	9,165	$	68,398
90-Day Eurodollar December Futures	Long	12/2010	5,389		(4,690	)
90-Day Eurodollar June Futures	Long	06/2010	4,002		1,132
90-Day Eurodollar March Futures	Long	03/2010	9,616		46,757
90-Day Eurodollar September Futures	Long	09/2009	11,945		91,367
90-Day Eurodollar September Futures	Long	09/2010	1		0
U.S. Treasury 2-Year Note September Futures	Long	09/2009	558		(340	)
U.S. Treasury 5-Year Note September Futures	Long	09/2009	6,730		(8,128	)
U.S. Treasury 10-Year Note September Futures	Long	09/2009	297		71
				$	194,567

(f) Swap agreements outstanding on June 30, 2009:

Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection⁽¹⁾

Reference Entity	Counterparty	Fixed Deal Receive Rate		Maturity Date	Implied Credit Spread at June 30, 2009(2)		Notional Amount(3)		Market Value			Upfront Premiums Paid/ (Received)		Unrealized (Depreciation)
General Electric Capital Corp.	BCLY	1.020	%	09/20/2010	3.944	%	$	3,640	$	(125	)	$	0	$	(125	)
General Electric Capital Corp.	BCLY	0.935	%	12/20/2010	4.048	%		3,000		(131	)		0		(131	)
General Electric Capital Corp.	BNP	1.100	%	12/20/2009	3.899	%		1,500		(19	)		0		(19	)
General Electric Capital Corp.	CITI	1.120	%	12/20/2010	4.048	%		1,800		(74	)		0		(74	)
General Electric Capital Corp.	GSC	0.830	%	12/20/2009	3.899	%		1,500		(22	)		0		(22	)
General Electric Capital Corp.	RBS	1.100	%	09/20/2009	3.899	%		3,000		(18	)		0		(18	)
									$	(389	)	$	0	$	(389	)

⁽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 either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

⁽²⁾ Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁽³⁾ The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	3-Month USD-LIBOR	5.000	%	12/20/2009	UBS	$	470,000	$	10,196		$	(4,145	)	$	14,341
Pay	3-Month USD-LIBOR	3.150	%	12/17/2010	RBS		3,058,000		90,407			0			90,407
Pay	3-Month USD-LIBOR	3.000	%	12/16/2011	CITI		29,400		521			578			(57	)
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	MSC		197,800		6,087			2,132			3,955
Pay	3-Month USD-LIBOR	4.000	%	12/16/2014	RBS		234,700		7,223			2,530			4,693
Pay	3-Month USD-LIBOR	3.100	%	05/27/2016	RBS		215,300		(3,522	)		0			(3,522	)
Pay	3-Month USD-LIBOR	4.000	%	12/16/2019	MSC		2,000		4			(33	)		37
								$	110,916		$	1,062		$	109,854

(g) Purchased options outstanding on June 30, 2009:

Interest Rate Swaptions

Description	Counterparty	Floating Rate Index	Pay/ Receive Floating Rate	Exercise Rate		Expiration Date	Notional Amount		Cost		Market Value
Call - OTC 2-Year Interest Rate Swap	BCLY	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009	$	362,300	$	3,874	$	12,988
Call - OTC 2-Year Interest Rate Swap	JPM	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		258,200		2,749		9,256
Call - OTC 2-Year Interest Rate Swap	MLP	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		93,700		1,049		3,359
Call - OTC 2-Year Interest Rate Swap	MSC	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		558,900		5,302		20,036
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.450	%	08/03/2009		837,200		8,931		30,013
Call - OTC 2-Year Interest Rate Swap	RBS	3-Month USD-LIBOR	Pay	3.850	%	08/03/2009		340,100		3,597		14,865
									$	25,502	$	90,517

(h) Written options outstanding on June 30, 2009:

Interest Rate Swaptions

Description

Counterparty

Floating Rate Index

Pay/ Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Market Value

Put - OTC 7-Year Interest Rate Swap

RBS

3-Month USD-LIBOR

Pay

4.250

%

08/21/2009

$

1,000

$

8

$

6

(i) Short sales outstanding on June 30, 2009:

Description	Coupon		Maturity Date	Principal Amount	Proceeds		Market Value
Freddie Mac	4.500	%	07/01/2039	62,000	$	61,826	$	61,690

(j) Fair Value Measurements⁺

The following is a summary of the fair valuations according to the inputs used as of June 30, 2009 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)		Fair Value at 06/30/2009
Corporate Bonds & Notes	$	0	$	389,233		$	0	$	389,233
U.S. Government Agencies		0		1,290,189			1,717		1,291,906
Mortgage-Backed Securities		0		554,990			2,090		557,080
Asset-Backed Securities		0		204,416			0		204,416
Short-Term Instruments		562,803		11,466			0		574,269
Other Investments++		0		307,488			0		307,488
Investments, at value	$	562,803	$	2,757,782		$	3,807	$	3,324,392
Short Sales, at value	$	0	$	(61,690	)	$	0	$	(61,690	)
Financial Derivative Instruments+++	$	194,567	$	109,459		$	0	$	304,026
Total	$	757,370	$	2,805,551		$	3,807	$	3,566,728

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ending June 30, 2009:

	Beginning Balance at 03/31/2009		Net Purchases/ (Sales)			Accrued Discounts/ (Premiums)		Total Realized Gain/(Loss)		Total Unrealized Appreciation/ (Depreciation)			Net Transfers In/(Out) of Level 3			Ending Balance at 06/30/2009
U.S. Government Agencies	$	1,751	$	0		$	0	$	0	$	(34	)	$	0		$	1,717
Mortgage-Backed Securities		0		(113	)		2		0		336			1,865			2,090
Asset-Backed Securities		71		(4	)		0		0		0			(67	)		0
Investments, at value	$	1,822	$	(117	)	$	2	$	0	$	302		$	1,798		$	3,807
Financial Derivative Instruments+++	$	0	$	0		$	0	$	0	$	0		$	0		$	0
Total	$	1,822	$	(117	)	$	2	$	0	$	302		$	1,798		$	3,807

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

⁺⁺ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.

⁺⁺⁺ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.

See Accompanying Notes

Supplementary Notes to Schedule of Investments

June 30, 2009 (Unaudited)

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, 2009, net assets of the CRRS Fund were approximately $11 billion, of which approximately $1.438 billion, or approximately 13%, 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, 2009, the aggregate cost of investments was the same for federal tax and financial statement purposes. The net unrealized appreciation/(depreciation) of investment securities for federal income tax purposes were as follows (amounts in thousands):

Fund Name	Aggregate Gross Unrealized Appreciation		Aggregate Gross Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
All Asset All Authority Fund	$	113,498	$	(44,520	)	$	68,978
All Asset Fund		466,427		(396,221	)		70,206
California Intermediate Municipal Bond Fund		1,085		(6,422	)		(5,337	)
California Short Duration Municipal Income Fund		1,268		(616	)		652
CommodityRealReturn Strategy Fund®		235,572		(315,976	)		(80,404	)
Convertible Fund		46,000		(52,372	)		(6,372	)
Developing Local Markets Fund		4,896		(103,371	)		(98,475	)
Diversified Income Fund		49,452		(209,213	)		(159,761	)
EM Fundamental IndexPLUSTM TR Strategy Fund		4,552		(169	)		4,383
Emerging Local Bond Fund		24,164		(102,493	)		(78,329	)
Emerging Markets Bond Fund		84,887		(120,933	)		(36,046	)
Extended Duration Fund		6,323		(15,389	)		(9,066	)
Floating Income Fund		22,586		(74,578	)		(51,992	)
Foreign Bond Fund (Unhedged)		39,374		(273,311	)		(233,937	)
Foreign Bond Fund (U.S. Dollar-Hedged)		85,552		(244,843	)		(159,291	)
Fundamental Advantage Total Return Strategy Fund		9,294		(20,971	)		(11,677	)
Fundamental IndexPLUSTM Fund		505		(12,137	)		(11,632	)
Fundamental IndexPLUSTM TR Fund		15,599		(21,744	)		(6,145	)
Global Advantage Strategy Bond Fund		1,640		(131	)		1,509
Global Bond Fund (Unhedged)		21,618		(92,532	)		(70,914	)
Global Bond Fund (U.S. Dollar-Hedged)		3,042		(17,637	)		(14,595	)
Global Multi-Asset Fund		13,026		(6,273	)		6,753
GNMA Fund		22,732		(15,917	)		6,815
Government Money Market Fund		0		0			0
High Yield Fund		149,932		(899,256	)		(749,324	)
High Yield Municipal Bond Fund		1,935		(48,064	)		(46,129	)
Income Fund		12,965		(26,174	)		(13,209	)
International StocksPLUS® TR Strategy Fund (Unhedged)		1,818		(3,124	)		(1,306	)
International StocksPLUS® TR Strategy Fund (U.S. Dollar-Hedged)		9,047		(27,961	)		(18,914	)
Investment Grade Corporate Bond Fund		275,193		(52,057	)		223,136
Long Duration Total Return Fund		105,442		(82,237	)		23,205
Long-Term Credit Fund		12,517		(489	)		12,028
Long-Term U.S. Government Fund		44,187		(70,149	)		(25,962	)
Low Duration Fund		220,276		(558,049	)		(337,773	)
Low Duration Fund II		8,107		(11,588	)		(3,481	)
Low Duration Fund III		2,837		(5,924	)		(3,087	)
Moderate Duration Fund		51,137		(56,644	)		(5,507	)
Money Market Fund		0		0			0
Mortgage-Backed Securities Fund		29,673		(73,640	)		(43,967	)
Municipal Bond Fund		4,153		(43,214	)		(39,061	)
New York Municipal Bond Fund		2,988		(5,401	)		(2,413	)
Real Return Asset Fund		197,247		(99,259	)		97,988
Real Return Fund		529,620		(395,156	)		134,464
RealEstateRealReturn Strategy Fund		12,967		(12,101	)		866
RealRetirementTM 2010 Fund		89		(772	)		(683	)
RealRetirementTM 2020 Fund		89		(857	)		(768	)
RealRetirementTM 2030 Fund		89		(913	)		(824	)
RealRetirementTM 2040 Fund		88		(1,021	)		(933	)
RealRetirementTM 2050 Fund		89		(985	)		(896	)
Short Duration Municipal Income Fund		1,238		(8,331	)		(7,093	)
Short-Term Fund		104,633		(216,805	)		(112,172	)
Small Cap StocksPLUS® TR Fund		4,638		(3,133	)		1,505
StocksPLUS® Fund		4,128		(31,423	)		(27,295	)
StocksPLUS® Long Duration Fund		9,345		(5,844	)		3,501
StocksPLUS® Total Return Fund		7,300		(14,216	)		(6,916	)
StocksPLUS® TR Short Strategy Fund		5,699		(11,173	)		(5,474	)
Total Return Fund		5,462,103		(5,302,996	)		159,107
Total Return Fund II		128,327		(86,057	)		42,270
Total Return Fund III		113,672		(102,714	)		10,958
Unconstrained Bond Fund		45,360		(6,072	)		39,288
Unconstrained Tax Managed Bond Fund		168		(57	)		111
Asset-Backed Securities Portfolio		5,437		(233,906	)		(228,469	)
Developing Local Markets Portfolio		3,781		(13,040	)		(9,259	)
Emerging Markets Portfolio		7,817		(19,530	)		(11,713	)
High Yield Portfolio		9,889		(75,414	)		(65,525	)
International Portfolio		29,992		(191,248	)		(161,256	)
Investment Grade Corporate Portfolio		103,576		(344,507	)		(240,931	)
Long Duration Corporate Bond Portfolio		35,461		(2,016	)		33,445
Mortgage Portfolio		358,984		(806,550	)		(447,566	)
Municipal Sector Portfolio		38,511		(32,265	)		6,246
Real Return Portfolio		27,994		(13,079	)		14,915
Short-Term Floating NAV Portfolio		2,220		(175	)		2,045
Short-Term Floating NAV Portfolio II		8		(1	)		7
Short-Term Portfolio		14,374		(430,046	)		(415,672	)
U.S. Government Sector Portfolio		100,771		(348,923	)		(248,152	)

3. Significant Accounting Policies

The Funds have adopted the following new accounting standard and position issued by the Financial Accounting Standards Board (“FASB”):

• FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”)

FAS 157 defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It 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. In accordance with the requirements of FAS 157, a fair value hierarchy and Level 3 reconciliation have been included in the Notes to the Schedules of Investments for each respective Fund.

• FASB Staff Position No. 157-4, Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly (“FAS 157-4”)

FAS 157-4 provides additional guidance for estimating fair value in accordance with FAS 157 when the volume and level of activity for the asset or liability have significantly decreased. FAS 157-4 also includes guidance on identifying circumstances that indicate a transaction is not orderly. FAS 157-4 emphasizes that even if there has been a significant decrease in the volume and level of activity for the asset or liability and regardless of the valuation technique(s) used, the objective of a fair value measurement remains the same. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction (that is, not a forced liquidation or distressed sale) between market participants at the measurement date under current market conditions. In accordance with the requirements of FAS 157-4, the inputs and valuation technique(s) used to measure fair value are included in the Notes to Schedule of Investments for each respective Fund.

GLOSSARY: (abbreviations that may be used in the preceding statements)
Counterparty Abbreviations:
ABN	ABN AMRO Bank, N.V.	CBA	Commonwealth Bank of Australia	MLP	Merrill Lynch & Co., Inc.
AIG	AIG International, Inc.	CITI	Citigroup, Inc.	MSC	Morgan Stanley
BCLY	Barclays Bank PLC	CSFB	Credit Suisse First Boston	RBC	Royal Bank of Canada
BEAR	Bear Stearns & Co., Inc. (acquired by JPMorgan & Co.)	DUB	Deutsche Bank AG	RBS	Royal Bank of Scotland Group PLC
BNP	BNP Paribas Bank	GSC	Goldman Sachs & Co.	SOG	Societe Generale
BOA	Bank of America	HSBC	HSBC Bank USA	UBS	UBS Warburg LLC
BSN	Bank of Nova Scotia	JPM	JPMorgan Chase & Co.	WAC	Wachovia Bank N.A.
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	THB	Thai Baht
CNY	Chinese Renminbi	KWD	Kuwaiti Dinar	TRY	Turkish New Lira
COP	Colombian Peso	MXN	Mexican Peso	TWD	Taiwanese Dollar
CZK	Czech Koruna	MYR	Malaysian Ringgit	UAH	Ukrainian Hryvnia
DKK	Danish Krone	NOK	Norwegian Krone	USD	United States Dollar
EGP	Egyptian Pound	NZD	New Zealand Dollar	UYU	Uruguayan Peso
EUR	Euro	PEN	Peruvian New Sol	ZAR	South African Rand
GBP	British Pound	PHP	Philippine Peso
Exchange Abbreviations:
AMEX	American Stock Exchange	ICE	IntercontinentalExchange®	NYBEX	New York Board of Trade
CBOE	Chicago Board Options Exchange	ICEX	Iceland Stock Exchange	NYMEX	New York Mercantile Exchange
CBOT	Chicago Board of Trade	KCBT	Kansas City Board of Trade	NYFE	New York Futures Exchange
CME	Chicago Mercantile Exchange	LIFFE	London International Financial Futures Exchange	NYSE	New York Stock Exchange
FTSE	Financial Times Stock Exchange	LMEX	London Metal Exchange	OTC	Over-the-Counter
Index Abbreviations:
ABX.HE	Asset-Backed Securities Index - Home Equity	DJAIGCI	Dow Jones-AIG Commodity Index	eRAFI EM	eRAFI Emerging Markets Index
CDX.EM	Credit Derivatives Index - Emerging Markets	DJAIGTR	Dow Jones-AIG Total Return Commodity Index	FRCPXTOB	France Consumer Price ex-Tobacco Index
CDX.HVol	Credit Derivatives Index - High Volatility	DJAIHGTR	Dow Jones-AIG Copper Total Return Sub-Index	GSCITR	Goldman Sachs Commodity Total Return Index
CDX.HY	Credit Derivatives Index - High Yield	DJAIWHTR	Dow Jones-AIG Wheat Total Return Sub-Index	HICP	Harmonized Index of Consumer Prices
CDX.IG	Credit Derivatives Index - Investment Grade	DJUBHGTR	Dow Jones-UBS Copper Subindex Total Return	LCDX	Liquid Credit Derivative Index
CDX.NA	Credit Derivatives Index - North America	DJUBS	Dow Jones-UBS Commodity Index	MCDX	Municipal Bond Credit Derivative Index
CDX.XO	Credit Derivatives Index - Crossover	DJUBSTR	Dow Jones-UBS Commodity Index Total Return	SPGCCLP	S&P GSCI Crude Oil Index
CMBX	Commercial Mortgage-Backed Index	DWRTT	Dow Jones Wilshire REIT Total Return Index	TUCPI	Turkey Consumer Price Index
CPI	Consumer Price Index	EAFE	Europe, Australasia, and Far East Stock Index	UKRPI	United Kingdom Retail Price Index
CPTFEMU	Eurozone HICP ex-Tobacco Index	eRAFI	enhanced Research Affiliates Fundamental Index	USSP	USD Swap Spread
Municipal Bond or Agency Abbreviations:
ACA	American Capital Access Holding Ltd.	FHLMC	Federal Home Loan Mortgage Corporation	MAIA	Michigan Association of Insurance Agents
AGC	Assured Guaranty Corp.	FNMA	Federal National Mortgage Association	MBIA	Municipal Bond Investors Assurance
AMBAC	American Municipal Bond Assurance Corp.	FSA	Financial Security Assurance, Inc.	PSF	Public School Fund
BHAC	Berkshire Hathaway Assurance Corporation	GNMA	Government National Mortgage Association	Q-SBLF	Qualified School Bond Loan Fund
CM	California Mortgage Insurance	GTD	Guaranteed	Radian	Radian Guaranty, Inc.
CR	Custodial Receipts	HUD	U.S. Department of Housing and Urban Development	ST	State
FGIC	Financial Guaranty Insurance Co.	ICR	Insured Custodial Receipts	VA	Department of Veterans Affairs
FHA	Federal Housing Administration	IBC	Insured Bond Certificate	XLCA	XL Capital Assurance
Other Abbreviations:
ABS	Asset-Backed Security	HIBOR	Hong Kong Interbank Offered Rate	PRIBOR	Prague Interbank Offered Rate
BRIBOR	Brastislava Interbank Offered Rate	ISDA	International Swaps and Derivatives Association, Inc.	REIT	Real Estate Investment Trust
CDI	Brazil Interbank Deposit Rate	JIBOR	Johannesburg Interbank Offered Rate	SIFMA	Securities Industry and Financial Markets Association
CLO	Collateralized Loan Obligation	JSC	Joint Stock Company	SPDR	Standard & Poor’s Depository Receipts
CMBS	Collateralized Mortgage-Backed Security	KLIBOR	Kuala Lumpur Interbank Offered Rate	STIBOR	Stockholm Interbank Offered Rate
CMM	Constant Maturity Mortgage Rate	LIBOR	London Interbank Offered Rate	THBFIX	Thai Baht Floating-Rate Fix
CMO	Collateralized Mortgage Obligation	MBS	Mortgage-Backed Security	TIIE	Tasa de Interés Interbancaria de Equilibrio
EURIBOR	Euro Interbank Offered Rate	MSCI	Morgan Stanley Capital International	WIBOR	Warsaw Interbank Offered Rate
FFR	Federal Funds Rate	NSERO	India National Stock Exchange Interbank Offer Rate	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 Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

PIMCO Funds
By:	/s/    BRENT R. HARRIS
	Brent R. Harris
	President and Chairman of the Board, Principal Executive Officer
Date:	August 20, 2009

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

By:	/s/    BRENT R. HARRIS
	Brent R. Harris
	President and Chairman of the Board, Principal Executive Officer
Date:	August 20, 2009
By:	/s/    JOHN P. HARDAWAY
	John P. Hardaway
	Treasurer, Principal Financial Officer
Date:	August 20, 2009

EX-99.CERT

99.CERT

Certification Under Rule 30a-2(a)

CERTIFICATION

I, Brent R. Harris, 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 20, 2009
Signature:	/s/ Brent R. Harris
Name:	Brent R. Harris
Title:	President and Chairman of the Board, 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 20, 2009
Signature:	/s/ John P. Hardaway
Name:	John P. Hardaway
Title:	Treasurer, Principal Financial Officer