Metropolitan West Funds

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Thank you for your ongoing investment in the Metropolitan West Funds. For the September 2011 Semi-Annual Report, we are pleased to report that the Funds continue to receive robust sponsorship, resulting in the crossing of the $21 billion asset threshold for all the Funds, led by the share classes of the Total Return Fund with just under $17 billion of investor holdings. The steady inflows continue to provide an excellent backdrop for the implementation of strategies, as investments are carefully considered and made across the Funds. Moreover, sustained investor appetite affords an opportunity to establish new funds to meet the demand.

Such is the case with the creation of the Metropolitan West Unconstrained Bond Fund (Tickers: MWCRX, MWCIX), which commenced operations on October 1. Designed to take advantage of temporary and persistent inefficiencies across the global fixed income markets, this highly flexible strategy seeks to deliver consistently positive returns in all market conditions. In addition to a duration profile that can extend from -3 to +8 years and high yield latitude up to 50% of the Fund, Unconstrained Bond will be the first of the MetWest Funds to take advantage of the international and emerging market bond management capabilities created when Trust Company of the West acquired MetWest in 2010. In the prevailing low U.S. Treasury rate environment, the Fund offers the opportunity for incremental yield in a value-oriented and risk-controlled manner. A prospectus and additional information on the Unconstrained Bond Fund can be found at www.mwamllc.com.

The September 30, 2011 Semi-Annual Report for the Metropolitan West Funds covers the following:

Following months of volatility owing to continued economic weakness and apparent intractability to the ongoing European debt problems, all that was needed for a replay of 2010 (and momentum to close out the year) was a signal of commitment from the Federal Reserve (Fed) at its annual August Jackson Hole retreat that yet another round of quantitative easing was on the way. Either the markets have developed some resistance to Chairman Bernanke’s verbal vaccinations or another 12 months of 9% unemployment and irresolute EU central bankers have worn down investors, as the capital markets outside of government issues fell over the six months, selling off sharply during the last quarter. From June month-end, equities slumped by nearly 14%, while the “plus” bond sectors of U.S. high yield fell 6% and emerging markets dropped 4%. Although a U.S. Treasury flight-to-safety rally has historically been characteristic of such circumstances, Standard & Poor’s early August downgrade to AA+ had the potential for considerable chaos and a spike in yields. Proving not to be the case and highlighting investor disregard for the rating agencies, U.S. Treasury prices climbed as the 5- and 10-Year traded below the 1% and 2% rate milestones. In concluding its scheduled September meeting, the Fed announced the Maturity Extension Program and Reinvestment Policy designed to shift $400 billion in U.S. Treasury holdings to longer maturities and flatten the yield curve, which it did, bringing the 30-Year U.S. Treasury yield to sub-3% to end the third quarter. So, one month removed from a downgrade that would punish any other debtor with higher borrowing costs, the U.S. enjoyed apparently undiminished sponsorship and reduced interest rates. A developed world in financial turmoil and few alternatives will do that...at least for now.

The rallying U.S. Treasury translated to a robust six months for returns on government bond indexes, also lifting diversified broadly diversified investment grade benchmarks to solidly positive returns. Highlighting the asset class, the Barclays U.S. Treasury Index gained 9% over the last six months, as its Long component soared nearly 29%. Though lagging the U.S. Treasury market, the Barclays Aggregate returned 6.2% over the same time frame, as each sector experienced a widening in yield spreads that was more than covered by the decline in U.S. Treasury rates, producing positive performance among corporate (+5.2%), mortgage-backed (+4.4%) and asset-backed (+4.2%) securities. Within the corporate sector, financial issuers faced continuing challenges due to (1) perceptions of asset quality on their balance sheets – housing and Europe exposure drawing the most concern – and (2) profit pressure arising from the Fed’s “twist” Maturity Extension program, which is likely to reduce income receipts from U.S. Treasury investments by banks. As a consequence, financials slipped 1.4% during the quarter (and gained just 0.5% for the six months), as risk premiums climbed, significantly increasing the relative cost of capital. (Investors in financial stocks liked it less, sending shares tumbling by 22% in the third quarter alone.) Among agency mortgages, concerns about the potential for a mass auto-refinance program widened

spreads until announcement of the Fed’s Reinvestment Policy, which calls for maturing agency debt proceeds and principal and interest payments from agency MBS on its balance sheet to be reinvested in agency mortgages. Not surprisingly, the increase in expected demand reversed the widening caused by fears that a rapid acceleration in prepayments would repay at par ($100) bonds currently trading at a premium (>$100). In the non-agency mortgage market, pricing eased as fundamental weakness persisted and appetite from investors remained limited following the government’s challenged Maiden Lane II liquidation earlier in 2011.

Entering the last part of the year, market indications – particularly U.S. Treasury rates and high yield risk premiums at 800 basis points - suggest an economy at stall speed at best or on the verge of contraction at worst. Consumers are saddled with high unemployment and diminished net worth and businesses, while profitable and somewhat flush with cash, have experienced limited revenue growth and curbed appetite for investment. Meanwhile, the political tide has turned on government stimulus, with further accumulation of Federal debt no longer viewed as productive by a Congressional majority. While recognizing the challenges, a deep 2008-style recession appears unlikely. Significantly, the deleveraging that has occurred over the past three-plus years has limited the buildup of excesses that would presage a considerable pullback. As a result, the degree of decline in U.S. Treasury yields appears far more pronounced than supported by the fundamentals. Nevertheless, generating sufficient growth to bring down stubbornly elevated joblessness will be a central theme of the ongoing partisan rancor and upcoming Presidential campaign. Is it naïve to think any legislatively-sponsored consensus is possible? At least the “independent” Fed, though largely exhausted of conventional measures, has pursued novel approaches to build confidence, reduce volatility and sustain momentum. In contrast to the market signals, recent readings indicate that some pickup in activity has been apparent in the leading economic indicators, as well as manufacturing and services, while price indexes have been well-removed from deflation. Just a year ago, much of the market chatter referred to potential inflation and how high U.S. Treasury rates might rise after the end of the Fed’s second round of quantitative easing. Those fears proved premature in 2011, but can it be long before the market begins imagining a 4% 10-Year U.S. Treasury yield again?

Positioning across the Funds certainly imagines higher U.S. Treasury rates, thus informing durations that remain decidedly short of the designated indexes by approximately three-quarters of a year. With lofty prices and stingy yields in the U.S. government markets, the Funds continue to underweight exposure in favor better of risk-adjusted opportunities elsewhere in the fixed income market. The most pronounced overweight, in general, is in mortgage-backed securities via a combination of agency and non-agency issues. As the Fed has renewed its commitment as the marginal buyer of MBS, pricing support should remain favorable and subject to further improvement as clarity develops around a refinancing program. Non-agency issues continue to trade at deep discounts (furthered by easing prices over the past six months), representing an attractive risk-adjusted opportunity, captured in a Fund overweight. Investment grade corporate exposure remains in line with the Aggregate index, though the allocation to financials represents a significant overweight within the sector, as yields are suitably compensatory of the risks. In high yield, the industry emphasis favors utility credits, which offer good yields and solid asset backing while tending to perform relatively well in slower growth environments. And lastly, top-of-the-capital structure commercial mortgage-backed securities remain an overweight predicated on solid credit enhancement, while recent purchases have been in 2011-vintage issues, with upgraded underwriting standards.

Data sources for the discussion above include Bloomberg, Barclays, and Merrill Lynch.

With short durations and U.S. Treasury underweights relative to the various indexes, Fund returns lagged their respective benchmarks over the past six months. Relative weakness in the spread sectors was a persistent theme and weighed on performance throughout the second and third quarters. The overweight to financials in the investment grade oriented strategies was a notable drag as banks and brokers continue a halting recovery from the 2008 global financial crisis. While security selection within agency mortgages was marginally additive due to a focus on less prepayment prone issues, the continued weighting in non-agency mortgage-backed issues comprised of prime, subprime and Alt-A collateral was a detractor. Specific to the High Yield Fund, a combination of short duration and issue-specific volatility contributed to the lag, as did an overweight to floating rate issues and bank loans, which have labored to produce significant income under low LIBOR conditions.

Given expectations that the economic backdrop would be difficult and external catalysts – European crisis, U.S. debt ceiling debate – would likely arise periodically to trigger volatility, the recent performance pattern has not been especially surprising. Meanwhile, the conditions have afforded an opportunity to continue enhancing the Funds’ return-risk profiles.

For MWUSX, the total expense ratio is 0.67% and the net expense ratio is 0.52% . For MWUIX, the total expense ratio is 0.51% and the net expense ratio is 0.36%.

For MWLDX, the total expense ratio is 0.59% and the net expense ratio is 0.59%. For MWLIX, the total expense ratio is 0.40% and the net expense ratio is 0.40%. For MWLNX, the total expense ratio is 0.79% and the net expense ratio is 0.79%.

For MWIMX, the total expense ratio is 0.73% and the net expense ratio is 0.66%. For MWIIX, the total expense ratio is 0.52% and the net expense ratio is 0.45%.

M-Class (MWTRX), I-Class (MWTIX), Administrative-Class (MWTNX), Plan-Class (MWTSX)

For MWTRX, the total expense ratio is 0.64% and the net expense ratio is 0.64%. For MWTIX, the total expense ratio is 0.43% and the net expense ratio is 0.43%. For MWTNX, the total expense ratio is 0.84% and the net expense ratio is 0.84%. For MWTSX, the total expense ratio is 0.43% and the net expense ratio is 0.40%.

For MWHYX, the total expense ratio is 0.86% and the net expense ratio is 0.81%. For MWHIX, the total expense ratio is 0.61% and the net expense ratio is 0.56%.

For MWSTX, the total expense ratio is 2.24% and the net expense ratio is 2.24%. For MWSIX, the total expense ratio is 1.99% and the net expense ratio is 1.99%.

We remain committed to an investment approach that emphasizes a long-term perspective and an understanding that market pricing can and does come disconnected to fundamental value on a persistent basis. By maintaining discipline, we expect to continue adding value to client portfolios in a measured, risk-controlled manner. Diversification is a cornerstone to the portfolio construction, not only in the traditional manner of allocating across maturities, sectors and individual securities, but also in the decisions – duration, yield curve positioning, sector allocation and security selection – that drive performance through time. While market conditions change constantly, our process is steadfast and vigilant to opportunities to bring value.

Again, we thank you for your continued support of the Metropolitan West Funds and look forward to the ongoing opportunity to meet your investment objectives.

Bond Funds have similar interest rates, issues, and credit risks as those associated with the underlying bonds in their portfolio, all of which could reduce a Fund’s value. As interest rates rise, the value of a Bond Fund can decline and an investor can lose principal. Additional risks to the funds include derivatives risk, foreign securities risk, asset-backed securities risk, and prepayment risk. The High Yield Bond Fund purchases more speculative bonds, which are subject to greater risks than higher rated bonds, including “leverage risk”. The Strategic Income Fund engages in sophisticated investment strategies, and is subject to short sales and leverage risks. The AlphaTrak 500 trades futures and derivative contracts. These Funds may not be suitable for all investors.

Derivatives risk refers to the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset. Foreign securities risk refers to the value of the Fund’s investments in foreign securities on changing currency values, political and economic environments in the countries where the Fund invests. Asset-backed securities risk refers to certain asset-backed securities do not have the benefit of the same security interest in the related collateral as do mortgage-backed securities; nor are they provided government guarantees of repayment. Prepayment risk refers to the possibility that falling interest rates may cause the owners of the underlying to pay off their mortgages at a faster than expected rate. This tends to reduce returns since the funds prepaid will have to be reinvested at the then lower prevailing rates. Short sale risk refers to the limited ability of the Fund to sell a debt or equity security short (without owning it) and to borrow the same security from a broker or other institution to complete the sale. If the value of the short sale increases, a Fund would lose money because it will need to replace the borrowed security by purchasing it at a higher price. Leverage Risk refers to the limited ability of Fund to borrow from broker-dealers or other institutions to leverage a transaction, provided that the borrowing is fully-collateralized. The Fund’s assets may change in value while the borrowing is outstanding which could create interest expenses that can exceed the income from the assets retained.

The Adviser has contractually agreed to waive and/or reimburse certain fees for the Metropolitan West Ultra Short Bond Fund, Intermediate Bond Fund, High Yield Bond Fund and AlphaTrak 500 Fund until July 31, 2012.

The views and forecasts expressed here are as of November 2011, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision making, economic or market conditions or other unanticipated factors.

Funds are distributed by BNY Mellon Distributors Inc., 760 Moore Rd., King of Prussia, PA 19406.

We believe it is important for you to understand the impact of fees regarding your investment. All mutual funds have operating expenses. As a shareholder of a mutual fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

Actual Fund Return: This section helps you to estimate the actual expenses, after any applicable fee waivers, that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return for the past six-month period, the “Expense Ratio” column shows the period’s annualized expense ratio, and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund at the beginning of the period.

You may use the information here, together with your account value, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your Fund in the first line under the heading entitled “Expenses Paid During Period.”

Hypothetical 5% Return: This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. This example is useful in making comparisons to other mutual funds because the Securities and Exchange Commission (SEC) requires all mutual funds to calculate expenses based on an assumed 5% annual return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expense shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. The Metropolitan West Funds do not charge any sales loads or exchange fees, but these may be present in other funds to which you compare this data. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

These tables are provided to give you a quick reference to the composition of each Fund. The Sector Diversification table is a percentage of net assets. The Distribution by Quality Rating and Distribution by Maturity tables are a percentage of market value. We hope that this information enhances your understanding of the different kinds of investments in the Funds.

The Sector Diversification is presented as a percentage of net assets. The Distribution by Quality Rating and Distribution by Maturity are presented as a percentage of market value. Credit rating distributions for each Fund were determined by giving each fixed income security the highest rating assigned by a nationally recognized statistical rating organization. If a security is not rated, the Adviser has assigned a credit rating based upon the credit rating of comparable quality-rated securities.

In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ most recent Form N-Q was filed for the quarter ended June 30, 2011. The Funds’Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.


Issues	Maturity Date			Principal Amount		Value
BONDS – 94.44%
ASSET-BACKED SECURITIES — 2.46%**
Bayview Commercial Asset Trust, Series 2007-3, Class A1
0.48%		07/25/37	^2,3	$	1,230,799	$	900,151
Capital Auto Receivables Asset Trust, Series 2008-CPA, Class A1
1.08%		01/15/13	^2,3		173,685		173,899
GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados)
0.48%		11/17/20	^2,3,4		416,667		400,256
Harley-Davidson Motorcycle Trust, Series 2009-4, Class A4
2.40%		07/15/14			90,000		90,902
Nissan Auto Lease Trust, Series 2009-B, Class A3
2.07%		01/15/15			12,846		12,853
Santander Drive Auto Receivables Trust, Series 2010-1, Class A2
1.36%		03/15/13			381,618		382,119
Triton Container Finance LLC, Series 2006-1A NOTE
0.40%		11/26/21	^2,3		206,667		188,526
Triton Container Finance LLC, Series 2007-1A NOTE
0.37%		02/26/19	^2,3		128,125		119,249

Total Asset-Backed Securities (Cost $2,591,731)							2,267,955

CORPORATES — 14.08%*
Automotive — 0.54%
Daimler Finance North America LLC
1.54%		09/13/13	^2,3		500,000		499,798

Banking — 5.63%
Abbey National Treasury Services Plc/London
(United Kingdom)
1.83%		04/25/14	^2,4		550,000		524,721
Bank of America Corp. (MTN)
1.67%		01/30/14	²		550,000		497,633
Bank of America N.A. (BKNT)
0.65%		06/15/17	²		750,000		552,488
Commonwealth Bank of Australia (Australia)
1.08%		03/17/14	^2,3,4		600,000		600,720
HSBC Bank Plc (United Kingdom)
1.05%		01/17/14	^2,3,4		550,000		550,036
JPMorgan Chase Bank N.A.
0.67%		06/13/16	²		550,000		507,622
Lloyds TSB Bank Plc (United Kingdom)
2.60%		01/24/14	^2,4		500,000		487,037
National Australia Bank Ltd., Series REGS (Australia)
0.97%		04/11/14	^2,4		550,000		548,191


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Royal Bank of Scotland Plc, Series 1
(United Kingdom)
2.72%		08/23/13	^2,4	$	500,000	$	498,587
UBS AG/Stamford CT (BKNT) (Switzerland)
2.25%		08/12/13	⁴		425,000		417,567

							5,184,602

Consumer Discretionary — 0.60%
Anheuser-Busch InBev Worldwide, Inc., Series FRN
0.80%		01/27/14	²		550,000		554,359

Electric — 0.85%
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			730,000		785,239

Finance — 3.94%
Citigroup, Inc.
5.30%		10/17/12			1,075,000		1,101,944
General Electric Capital Corp. (MTN)
0.49%		06/20/14	²		250,000		239,711
General Electric Capital Corp., Series A (MTN)
0.61%		09/15/14	²		300,000		287,103
Goldman Sachs Group, Inc.
1.27%		02/07/14	²		430,000		409,021
5.45%		11/01/12			500,000		512,980
Goldman Sachs Group, Inc., Series B (MTN)
0.65%		07/22/15	²		200,000		178,757
International Lease Finance Corp.
6.50%		09/01/14	³		350,000		348,250
Macquarie Group Ltd. (Australia)
7.30%		08/01/14	^3,4		318,000		344,543
Morgan Stanley (MTN)
0.70%		10/18/16	²		260,000		202,413

							3,624,722

Real Estate Investment Trust (REIT) — 2.09%
HCP, Inc.
2.70%		02/01/14			600,000		591,433
Kimco Realty Corp.
6.00%		11/30/12			275,000		284,960
Liberty Property LP
6.38%		08/15/12			500,000		517,012
Post Apartment Homes LP
6.30%		06/01/13			500,000		529,121

							1,922,526


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation — 0.43%
JetBlue Airways Pass-Through Trust, Series 2004, Class G1
0.66%		08/15/16²			$421,059	$	394,062
Total Corporates (Cost $13,041,359)							12,965,308

BANK LOANS — 0.66%*
Health Care — 0.66%
HCA, Inc., Term Loan B3
3.62%		05/01/18^2,5			640,641		603,704
Total Bank Loans (Cost $615,497)
MORTGAGE-BACKED — 76.25%**
Commercial Mortgage-Backed — 10.83%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-2, Class A3
5.12%		07/11/43			280,214		282,372
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-PB2, Class A4
6.19%		06/11/35			366,149		367,128
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2003-1, Class A2
4.65%		09/11/36			550,000		567,897
Bear Stearns Commercial Mortgage Securities, Series 2002-PBW1, Class A2
4.72%		11/11/35	²		564,043		573,708
Commercial Mortgage Asset Trust, Series 1999-C1, Class A4
6.98%		01/17/32	²		571,715		591,026
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-CK6, Class A3
6.39%		08/15/36			17,549		17,529
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CP3, Class A3
5.60%		07/15/35			564,837		573,978
First Union National Bank Commercial Mortgage, Series 2001-C4, Class A2
6.22%		12/12/33			95,766		95,691
First Union National Bank Commercial Mortgage, Series 2002-C1, Class A2
6.14%		02/12/34			343,300		344,996
GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3
6.27%		12/10/35			438,434		442,810
GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3
5.35%		08/11/36			1,135,000		1,156,720


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GE Capital Commercial Mortgage Corp., Series 2002-3A, Class A2
5.00%		12/10/37		$	514,881	$	527,947
GE Capital Commercial Mortgage Corp., Series 2003-C1, Class A4
4.82%		01/10/38			566,702		584,661
GMAC Commercial Mortgage Securities, Inc., Series 2002-C1, Class A2
6.28%		11/15/39			11,795		11,776
GMAC Commercial Mortgage Securities, Inc., Series 2002-C2, Class A3
5.71%		10/15/38			341,667		345,855
Greenwich Capital Commercial Funding Corp., Series 2002-C1, Class A4
4.95%		01/11/35			543,972		555,109
Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7
5.32%		06/10/36	²		520,000		551,237
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB3, Class A3
6.46%		11/15/35			61,000		60,934
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C1, Class A3
5.38%		07/12/37			536,767		545,242
Morgan Stanley Dean Witter Capital I, Series 2001-TOP5, Class A4
6.39%		10/15/35			59,033		59,270
Nomura Asset Securities Corp., Series 1998-D6, Class A3
7.52%		03/15/30	²		360,000		385,734
Salomon Brothers Mortgage Securities VII, Inc., Series 2002-KEY2, Class A3
4.86%		03/18/36			540,000		548,130
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3
5.95%		08/15/39	²		520,000		563,458
Wachovia Bank Commercial Mortgage Trust, Series 2002-C1, Class A4
6.29%		04/15/34			219,930		222,258


							9,975,466

Non-Agency Mortgage-Backed — 23.74%
Aames Mortgage Trust, Series 2002-1, Class A3 (STEP)
6.90%		06/25/32			34,578		31,447
ABFS Mortgage Loan Trust, Series 2002-3, Class A (STEP)
4.76%		09/15/33			6,180		6,122
ABFS Mortgage Loan Trust, Series 2002-4, Class A (STEP)
4.93%		12/15/33			1,950		1,945


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Adjustable Rate Mortgage Trust, Series 2005-1, Class 1A1
3.01%		05/25/35	²	$	1,124,424	$	831,017
American Home Mortgage Investment Trust, Series 2004-3, Class 3A
2.26%		10/25/34	²		832,713		605,299
Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class A2C
0.46%		01/25/36	²		512,410		499,428
Banc of America Funding Corp., Series 2003-2, Class 1A1
6.50%		06/25/32			22,150		23,082
Banc of America Funding Corp., Series 2007-8, Class 2A1
7.00%		10/25/37			677,634		454,869
Banc of America Mortgage Securities, Inc., Series 2003-A, Class 2A2
2.98%		02/25/33	²		4,934		4,028
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.04%		02/25/34	²		180,748		158,791
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.42%		03/25/37	²		2,500,000		1,773,795
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C
1.54%		07/25/37	²		1,765,000		801,766
Conseco Financial Corp., Series 1994-1, Class A5
7.65%		04/15/19			4,251		4,506
Conseco Financial Corp., Series 1995-8, Class M1
7.30%		12/15/26			609,790		639,517
Conseco Financial Corp., Series 1996-8, Class A6
7.60%		10/15/27	²		9,635		10,044
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1
6.50%		11/25/31			301,111		310,848
Countrywide Alternative Loan Trust, Series 2005-16, Class A5
0.52%		06/25/35	²		725,127		251,234
Countrywide Alternative Loan Trust, Series 2005-27, Class 2A1
1.59%		08/25/35	²		1,541,230		824,457
Countrywide Alternative Loan Trust, Series 2005-61, Class 2A1
0.52%		12/25/35	²		1,000,767		633,970
Countrywide Asset-Backed Certificates, Series 2003-BC1, Class M1
1.62%		12/25/32	²		351,357		143,992


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class A (STEP)
5.60%		09/25/31		$	73,674	$	75,104
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR31, Class 4A2
3.03%		11/25/32	²		200,000		174,581
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class A2A (STEP)
5.84%		04/25/37			203,020		201,129
Deutsche Financial Capital Securitization LLC, Series 1997-I, Class A3
6.75%		09/15/27			90,882		92,539
Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR3, Class 2A2A
0.60%		07/19/44	²		503,185		358,630
First Alliance Mortgage Loan Trust, Series 1994-3, Class A1
7.82%		10/25/25			3,989		3,772
Fremont Home Loan Trust, Series 2005-C, Class M1
0.72%		07/25/35	²		489,886		446,108
GE Mortgage Services LLC, Series 1998-HE1, Class A7
6.46%		06/25/28			300		295
GMAC Mortgage Corp. Loan Trust, Series 2003-GH1, Class A5 (STEP)
5.60%		07/25/34			45,065		42,740
Green Tree Home Improvement Loan Trust, Series 1995-C, Class B2
7.60%		07/15/20			33,339		32,882
Green Tree Home Improvement Loan Trust, Series 1995-F, Class B2
7.10%		01/15/21			17,475		17,012
HSBC Home Equity Loan Trust, Series 2006-3, Class A2V
0.36%		03/20/36	²		209,267		208,403
HSBC Home Equity Loan Trust, Series 2007-3, Class APT
1.43%		11/20/36	²		496,357		440,623
Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1
0.62%		12/25/34	²		900,959		506,214
Indymac Index Mortgage Loan Trust, Series 2006-AR2, Class 1A1A
0.46%		04/25/46	²		1,336,307		689,630
Indymac Index Mortgage Loan Trust, Series 2007-FLX1, Class A1
0.34%		02/25/37	²		265,764		252,762


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Indymac Manufactured Housing Contract, Series 1998-2, Class A4
6.64%		12/25/27	²	$	145,073	$	144,864
Irwin Home Equity Corp., Series 2003-A, Class M2
2.88%		10/25/27	²		339,078		318,595
JPMorgan Mortgage Trust, Series 2005-A2, Class 9A1
2.64%		04/25/35	²		585,099		448,261
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
2.82%		01/25/34	²		37,000		29,662
MASTR Adjustable Rate Mortgages Trust, Series 2004-12, Class 5A1
3.38%		10/25/34	²		887,133		701,751
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
2.75%		06/25/34	²		49,631		37,747
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
2.76%		10/25/32	²		128,622		108,554
MASTR Seasoned Securities Trust, Series 2004-2, Class A2
6.50%		08/25/32			420,630		437,150
Merrill Lynch Mortgage Investors, Inc., Series 2003-A1, Class 2A
2.38%		12/25/32	²		450,004		359,307
Mid-State Trust, Series 6, Class A4
7.79%		07/01/35			41,242		40,409
Morgan Stanley ABS Capital I, Series 2004-NC2, Class M2
2.04%		12/25/33	²		699,132		459,624
Oakwood Mortgage Investors, Inc., Series 1998-A, Class A4
6.20%		05/15/28			1,891		1,904
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A3
6.20%		01/15/15			3,737		3,740
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4
6.35%		03/15/17			187,080		187,502
Residential Asset Mortgage Products, Inc., Series 2003-SL1, Class A11
7.12%		03/25/16			74,665		76,609
Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A2
8.50%		11/25/31			117,286		118,672
Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A8
6.50%		11/25/31			216,565		219,202
Residential Asset Mortgage Products, Inc., Series 2005-EFC2, Class M1
0.68%		07/25/35	²		234,825		230,811


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1
2.66%		12/25/34	²	$	463,386	$	412,811
Residential Funding Mortgage Securities II, Inc., Series 1999-HI6, Class AI7 (STEP)
8.60%		09/25/29			93,810		87,834
Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7 (STEP)
8.79%		02/25/25			8,871		8,752
Saxon Asset Securities Trust, Series 2002-1, Class M2
2.04%		11/25/31	²		135,865		63,144
Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C
0.38%		12/25/36	²		1,055,000		876,413
Structured Asset Mortgage Investments, Inc., Series 2006-AR8, Class A1A
0.44%		10/25/36	²		1,735,770		910,335
Structured Asset Mortgage Investments, Inc., Series 2007-AR3, Class 2A1
0.42%		09/25/47	²		2,183,015		1,187,959
Structured Asset Securities Corp., Series 2001-15A, Class 4A1
2.18%		10/25/31	²		41,004		38,897
Structured Asset Securities Corp., Series 2004-S4, Class M4
2.04%		12/25/34	²		149,753		145,949
Structured Asset Securities Corp., Series 2005-4XS, Class 3A3 (STEP)
4.47%		03/25/35			47,247		46,802
Structured Asset Securities Corp., Series 2007-EQ1, Class A4
0.48%		03/25/37	²		3,000,000		1,145,984
Terwin Mortgage Trust, Series 2004-13AL, Class 2PX
0.34%		08/25/34	^3,6		7,407,481		49,174
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.96%		04/15/30	²		1,243		518
WaMu Mortgage Pass Through Certificates, Series 2002-AR6, Class A
1.64%		06/25/42	²		108,966		83,538
WaMu Mortgage Pass Through Certificates, Series 2003-AR6, Class A1
2.57%		06/25/33	²		441,952		413,463
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB13
0.74%		06/25/35	²		576,012		389,583
Washington Mutual MSC Mortgage Pass-Through CTFS, Series 2003-MS9, Class 1A
7.00%		04/25/33			34,123		35,139


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Home Equity Trust, Series 2005-3, Class AII3
0.58%		11/25/35	²	$	384,755	$	367,318
Wells Fargo Home Equity Trust, Series 2006-1, Class A3
0.38%		05/25/36	²		126,628		123,662

							21,864,220

U.S. Agency Mortgage-Backed — 41.68%
Fannie Mae Pool 111643
3.10%		09/01/20	²		21,477		22,230
Fannie Mae Pool 190656
6.50%		02/01/14			72,728		80,224
Fannie Mae Pool 523829
8.00%		11/01/19			156,729		185,387
Fannie Mae Pool 555098
2.83%		11/01/32	²		95,629		101,154
Fannie Mae Pool 555177
2.39%		01/01/33	²		96,930		100,875
Fannie Mae Pool 555424
5.50%		05/01/33			782,644		853,541
Fannie Mae Pool 567002
8.00%		05/01/23			106,908		123,693
Fannie Mae Pool 646884
1.92%		05/01/32	²		6,970		7,008
Fannie Mae Pool 647903
1.81%		04/01/27	²		60,365		63,048
Fannie Mae Pool 648860
6.50%		05/01/17			417,983		457,287
Fannie Mae Pool 655127
7.00%		07/01/32			37,116		42,427
Fannie Mae Pool 655133
7.00%		08/01/32			42,272		48,345
Fannie Mae Pool 655151
7.00%		08/01/32			43,289		49,509
Fannie Mae Pool 754001
2.76%		12/01/33	²		404,681		406,899
Fannie Mae Pool 762525
6.50%		11/01/33			108,001		118,842
Fannie Mae Pool 770900
2.32%		04/01/34	²		423,902		449,401
Fannie Mae Pool 805268
1.80%		01/01/35	²		209,162		213,183
Fannie Mae Pool 893489
6.25%		09/01/36	²		344,512		371,215
Fannie Mae Pool AD0538
6.00%		05/01/24			673,598		727,986
Fannie Mae Pool AD0546
5.92%		11/01/37	²		278,564		295,958


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 1988-12, Class A
3.98%		02/25/18	²	$	77,475	$	79,998
Fannie Mae, Series 1993-80, Class S
10.57%		05/25/23	²		6,518		7,442
Fannie Mae, Series 2000-27, Class AN
6.00%		08/25/30			9,351		10,511
Fannie Mae, Series 2001-42, Class SB
8.50%		09/25/31	²		4,827		5,593
Fannie Mae, Series 2001-60, Class OF
1.18%		10/25/31	²		720,661		732,060
Fannie Mae, Series 2002-30, Class FB
1.24%		08/25/31	²		1,018,443		1,037,371
Fannie Mae, Series 2002-82, Class FP
0.74%		02/25/32	²		495,722		496,641
Fannie Mae, Series 2003-117, Class XF
0.58%		08/25/33	²		982,420		983,932
Fannie Mae, Series 2003-124, Class IO (IO)
5.25%		03/25/31			8,839		45
Fannie Mae, Series 2003-124, Class TS
9.80%		01/25/34	²		83,075		101,524
Fannie Mae, Series 2003-134, Class FC
0.84%		12/25/32	²		1,090,000		1,108,669
Fannie Mae, Series 2003-37, Class IG (IO)
5.50%		05/25/32			65,039		3,966
Fannie Mae, Series 2004-33, Class FM
1.02%		03/25/31	²		633,427		642,743
Fannie Mae, Series 2004-60, Class FW
0.68%		04/25/34	²		860,592		862,977
Fannie Mae, Series 2004-79, Class F
0.54%		08/25/32	²		960,743		961,019
Fannie Mae, Series 2004-83, Class HB
5.00%		08/25/32			1,204,441		1,264,508
Fannie Mae, Series 2004-96, Class MT
7.00%		12/25/34	²		92,511		90,662
Fannie Mae, Series 2005-39, Class BN
4.55%		06/25/28			139,021		139,360
Fannie Mae, Series 2007-65, Class PA
6.00%		03/25/31			183,909		185,601
Fannie Mae, Series 2007-68, Class SC (IO)
6.46%		07/25/37	²		1,536,333		227,630
Fannie Mae, Series 2008-47, Class PF
0.74%		06/25/38	²		746,564		752,959
Fannie Mae, Series 2009-33, Class FB
1.06%		03/25/37	²		1,050,120		1,066,599
Fannie Mae, Series 2010-109, Class PF
0.64%		10/25/40	²		823,535		824,503
Fannie Mae, Series 2010-112, Class PI (IO)
6.00%		10/25/40			2,144,823		406,738


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 2010-26, Class S (IO)
6.00%		11/25/36	²	$	3,457,369	$	473,396
Fannie Mae, Series 2011-71, Class FB
0.74%		05/25/37	²		984,610		986,315
Freddie Mac Gold Pool C90237
6.50%		11/01/18			100,257		110,924
Freddie Mac Gold Pool C90474
7.00%		08/01/21			142,452		164,493
Freddie Mac Gold Pool D93410
6.50%		04/01/19			69,238		76,605
Freddie Mac Gold Pool G13107
5.50%		07/01/20			847,135		918,770
Freddie Mac Gold Pool O30092
5.50%		10/01/15			10,037		10,610
Freddie Mac Gold Pool P20295
7.00%		10/01/29			59,568		65,492
Freddie Mac Non Gold Pool 1G2627
5.97%		03/01/37	²		365,983		381,008
Freddie Mac Non Gold Pool 1J1393
4.26%		10/01/36	²		403,312		426,371
Freddie Mac Non Gold Pool 1J1509
6.40%		11/01/36	²		385,593		404,997
Freddie Mac Non Gold Pool 1J1534
5.69%		03/01/37	²		662,890		705,313
Freddie Mac Non Gold Pool 775554
3.14%		10/01/18	²		4,999		5,013
Freddie Mac Non Gold Pool 782824
2.24%		11/01/34	²		540,762		555,376
Freddie Mac Non Gold Pool 865369
3.72%		06/01/22	²		3,259		3,305
Freddie Mac, Series 1214, Class KA
1.08%		02/15/22	²		4,131		4,132
Freddie Mac, Series 1526, Class L
6.50%		06/15/23			20,010		21,066
Freddie Mac, Series 2043, Class CJ
6.50%		04/15/28			39,384		45,699
Freddie Mac, Series 2368, Class AF
1.18%		10/15/31	²		672,703		687,590
Freddie Mac, Series 2527, Class TI (IO)
6.00%		02/15/32			51,002		683
Freddie Mac, Series 2561, Class BX (IO)
5.00%		05/15/17			64,972		960
Freddie Mac, Series 2642, Class BW (IO)
5.00%		06/15/23			30,281		3,142
Freddie Mac, Series 2657, Class LX (IO)
6.00%		05/15/18			118,175		6,986
Freddie Mac, Series 2817, Class FA
0.73%		06/15/32	²		769,626		770,587


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac, Series 2877, Class MV
4.75%		12/15/28		$	127,753	$	127,771
Freddie Mac, Series 2906, Class NX (IO)
5.27%		12/15/34	²		1,009,581		10,096
Freddie Mac, Series 2945, Class LD
4.00%		02/15/35			528,952		548,295
Freddie Mac, Series 2971, Class AB
5.00%		05/15/20			21,211		22,941
Freddie Mac, Series 3300, Class FA
0.53%		08/15/35	²		1,096,324		1,093,236
Freddie Mac, Series 3325, Class NF
0.53%		08/15/35	²		1,102,016		1,098,911
Freddie Mac, Series 3345, Class FP
0.43%		11/15/36	²		306,033		305,326
Freddie Mac, Series 3345, Class PF
0.41%		05/15/36	²		311,790		310,925
Freddie Mac, Series 3346, Class FA
0.46%		02/15/19	²		784,612		786,828
Freddie Mac, Series 3626, Class MA
5.00%		02/15/30			839,825		882,924
Freddie Mac, Series 3895, Class BF
0.73%		07/15/41	²		923,402		924,476
Ginnie Mae II Pool 80546
2.00%		10/20/31	²		34,767		35,989
Ginnie Mae II Pool 80610
2.38%		06/20/32	²		418,537		434,559
Ginnie Mae II Pool 80614
2.62%		07/20/32	²		54,727		56,831
Ginnie Mae II Pool 80687
2.50%		04/20/33	²		243,757		253,343
Ginnie Mae II Pool 8339
2.12%		12/20/23	²		63,155		65,478
Ginnie Mae II Pool 8684
2.62%		08/20/25	²		90,733		94,222
Government National Mortgage Association, Series 2002-72, Class FB
0.63%		10/20/32	²		875,262		879,837
Government National Mortgage Association, Series 2002-72, Class FC
0.63%		10/20/32	²		834,777		839,141
Government National Mortgage Association, Series 2003-28, Class LI (IO)
5.50%		02/20/32			70,973		2,515
Government National Mortgage Association, Series 2004-2, Class FW
1.62%		01/16/34	²		332,808		351,032
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.75%		03/09/21	²		1,638,986		1,643,086


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes, Series 2011-R3, Class 1A
0.62%		03/11/20	²	$	1,089,703	$	1,091,807
NCUA Guaranteed Notes, Series 2011-R4, Class 1A
0.60%		03/06/20	²		1,034,314		1,034,799
NCUA Guaranteed Notes, Series 2011-R5, Class 1A
0.60%		04/06/20	²		971,796		972,100
NCUA Guaranteed Notes, Series 2011-R6, Class 1A
0.60%		05/07/20	²		972,609		973,065

							38,379,629

Total Mortgage-Backed (Cost $76,862,431)							70,219,315

MUNICIPAL BONDS — 0.99%*
Illinois — 0.99%
State of Illinois, Taxable Bonds
2.77%		01/01/12			190,000		190,884
4.03%		03/01/14			300,000		309,198
4.07%		01/01/14			400,000		412,704

Total Municipal Bonds (Cost $889,199)							912,786

Total Bonds – 94.44% (Cost $94,000,217)							86,969,068

SHORT-TERM INVESTMENTS — 4.47%
Money Market Fund — 3.38%
BlackRock Liquidity Funds TempFund Portfolio
0.09%⁷					106,000		106,000
Dreyfus Cash Advantage Fund
0.09%⁷					621,000		621,000
DWS Money Market Series-Institutional
0.06%⁷					198,000		198,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.07%⁷					956,000		956,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.10%^7,8					1,235,000		1,235,000

							3,116,000

U.S. Agency Discount Notes — 1.09%
Fannie Mae
0.08%⁹		03/21/12			1,000,000		999,906

Total Short-Term Investments (Cost $4,115,622)							4,115,906


	Value
Total Investments – 98.91% (Cost $98,115,839)¹	$	91,084,974

Cash and Other Assets, Less Liabilities – 1.09%		1,004,137

Net Assets – 100.00%	$	92,089,111


Expiration Date	Credit Rating^a	Premiums (Received)	Notional Amount (000’s)^b	Appreciation/ (Depreciation)	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Barclays Capital, Inc.
09/20/12	A+	$(6,958)	$1,150	$85	$(6,873)
The Fund receives a fixed rate equal to 1.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63% due 09/15/17. Counterparty: UBS AG
09/20/12	A+	(2,786)	275	(975)	(3,761)
		$(9,744)	$1,425	$(890)	$(10,634)


Expiration Date	Premiums (Received)	Notional Amount (000’s)^b	(Depreciation)	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
01/25/38	$(1,353,044)	$2,332	$(157,756)	$(1,510,800)
	$(1,353,044)	$2,332	$(157,756)	$(1,510,800)

a	Using Standard & Poor’s rating of the issuer.

b	The maximum potential payment the Fund could be required to make 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 the swap agreement.

The values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been 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.

Notes:

1	Cost for federal income tax purposes is $98,140,579 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	1,258,051
Gross unrealized depreciation		(8,313,656	)

Net unrealized depreciation	$	(7,055,605	)

2	Floating rate security. The rate disclosed was in effect at September 30, 2011.

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2011, was $4,174,602, representing 4.53% of total net assets.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of

Purchase

Security

Amortized
Cost

Value

% of
Total
Net Assets

02/04/09

HCA, Inc., Term Loan B3, 3.62%, 05/01/18

615,497

603,704

0.66%

⁶	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $49,174, which is 0.05% of total net assets.

⁷	Represents the current yield as of September 30, 2011.

⁸	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,235,000.

⁹	Represents annualized yield at date of purchase.

*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. These classifications are unaudited.

(BKNT): Banker’s Note, Inc.

(IO): Interest only

(MTN): Medium-term note

(STEP): Step coupon bond


Issues	Maturity Date			Principal Amount		Value
BONDS – 101.66%
ASSET-BACKED SECURITIES — 5.72%**
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1
0.49%		06/14/37	^2,3	$	6,266,371	$	5,545,738
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
0.53%		11/14/33	^2,3,4		7,766,658		6,834,659
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
0.54%		04/25/35	^2,3		983,169		778,672
Bayview Commercial Asset Trust, Series 2005-2A, Class A1
0.54%		08/25/35	^2,3		2,460,558		1,902,045
Bayview Commercial Asset Trust, Series 2006-3A, Class A1
0.48%		10/25/36	^2,3		4,494,617		3,279,118
Bayview Commercial Asset Trust, Series 2007-1, Class A1
0.46%		03/25/37	^2,3		129,240		92,808
Bayview Commercial Asset Trust, Series 2007-3, Class A1
0.48%		07/25/37	^2,3		615,400		450,076
Brazos Higher Education Authority, Series 2010-1, Class A2
1.51%		02/25/35	²		2,370,000		2,205,113
Castle Trust, Series 2003-1AW, Class A1
0.98%		05/15/27	^2,3		2,402,773		2,198,538
Discover Card Master Trust, Series 2009-A2, Class A
1.53%		02/17/15	²		2,400,000		2,418,842
GE Corporate Aircraft Financing LLC, Series 2005-1A, Class B
0.88%		08/26/19	^2,3		1,462,500		1,345,500
GE Corporate Aircraft Financing LLC, Series 2005-1A, Class C
1.54%		08/26/19	^2,3		5,000,000		4,525,000
GE Seaco Finance SRL, Series 2004-1A, Class A (Barbados)
0.53%		04/17/19	^2,3,4		1,717,917		1,671,665
GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados)
0.48%		11/17/20	^2,3,4		5,283,333		5,075,243
Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda)
0.47%		12/19/32	^2,3,4		7,546,660		6,661,106
Goal Capital Funding Trust, Series 2006-1, Class B
0.76%		08/25/42	²		5,450,000		4,525,266
Green Tree Recreational Equipment & Consumer Trust, Series 1996-D, Class CTFS
7.24%		12/15/22			42,628		28,425
GSC Partners Gemini Fund Ltd., Series 1A, Class A (Cayman Islands)
0.90%		10/10/14	^2,3,4		280,084		273,782


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Keycorp Student Loan Trust, Series 2002-A, Class 1A2
0.51%		08/27/31	²	$	5,513,848	$	5,087,528
North Carolina State Education Authority 2011-1 A3
1.15%		10/25/41	²		6,500,000		5,964,335
Northstar Education Finance, Inc., Student Loan Asset Backed Notes, Series 2007-1
0.35%		04/28/30	²		5,605,000		5,144,986
South Carolina Student Loan Corp., Series A2
0.45%		12/01/20	²		5,030,000		4,745,215
TAL Advantage LLC 2006-1 NOTE
0.42%		04/20/21	^2,3		1,959,375		1,784,879
TAL Advantage LLC, Series 2010-2A, Class A
4.30%		10/20/25	³		3,229,125		3,069,120
TAL Advantage LLC, Series 2011-1A, Class A
4.60%		01/20/26	³		1,400,000		1,402,280
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.48%		05/15/20	^2,3,4		1,778,333		1,655,184
Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda)
4.70%		06/15/26	^3,4		4,777,500		4,812,374
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A
8.00%		07/06/14	^3,5,†		4,200,000		4,199,978
Triton Container Finance LLC, Series 2006-1A NOTE
0.40%		11/26/21	^2,3		4,365,833		3,982,606
Triton Container Finance LLC, Series 2007-1A NOTE
0.37%		02/26/19	^2,3		2,637,239		2,454,538
US Education Loan Trust IV LLC, Series 2006-1, Class A4
0.31%		03/01/41	^3,†		7,175,000		5,955,212

Total Asset-Backed Securities (Cost $101,313,003)							100,069,831

CORPORATES — 30.99%*
Automotive — 0.50%
Daimler Finance North America LLC
1.54%		09/13/13	^2,3		1,800,000		1,799,272
1.88%		09/15/14	³		7,000,000		6,924,344

							8,723,616

Banking — 10.16%
Abbey National Treasury Services Plc/London (United Kingdom)
1.83%		04/25/14	^2,4		9,405,000		8,972,726
Ally Financial, Inc.
2.53%		12/01/14	²		1,424,000		1,352,800
Bank of America Corp.
6.50%		08/01/16			2,400,000		2,385,744


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Bank of America Corp., Series L (MTN)
5.65%		05/01/18		$	300,000	$	285,243
Bank of America N.A. (BKNT)
0.65%		06/15/17	²		2,500,000		1,841,628
6.10%		06/15/17			5,000,000		4,661,515
BankAmerica Capital III
0.82%		01/15/27	²		2,881,000		1,799,395
BankAmerica Institutional Capital A
8.07%		12/31/26	³		5,250,000		4,856,250
Capital One Financial Corp.
7.38%		05/23/14			5,000,000		5,588,330
City National Corp./CA
5.12%		02/15/13			8,000,000		8,202,224
Commonwealth Bank of Australia (Australia)
2.12%		03/17/14	^3,4		10,000,000		10,051,217
Credit Suisse AG/Guernsey, Series 1 (Switzerland)
0.98%		05/29/49	^2,4		8,390,000		5,486,389
Credit Suisse/New York (MTN) (Switzerland)
3.45%		07/02/12	⁴		1,825,000		1,854,039
5.00%		05/15/13	⁴		11,000,000		11,373,208
Deutsche Bank AG/London, Series G (MTN) (Germany)
4.88%		05/20/13	⁴		7,640,000		7,898,645
HSBC Bank Plc (United Kingdom)
1.05%		01/17/14	^2,3,4		10,000,000		10,000,657
JPMorgan Chase & Co.
3.45%		03/01/16			5,300,000		5,305,459
4.75%		05/01/13			30,000		31,553
JPMorgan Chase & Co., Series C (MTN)
0.00%		07/23/13	²		1,500,000		1,485,450
JPMorgan Chase Bank N.A.
0.67%		06/13/16	²		4,250,000		3,922,537
JPMorgan Chase Bank N.A. (BKNT)
6.00%		10/01/17			12,700,000		13,368,338
Lloyds TSB Bank Plc (United Kingdom)
4.88%		01/21/16	⁴		10,380,000		10,132,501
National Australia Bank Ltd., Series REGS (Australia)
0.97%		04/11/14	^2,4		8,775,000		8,746,130
Nationsbank Cap Trust III
0.80%		01/15/27	²		7,650,000		4,742,472
NB Capital Trust II
7.83%		12/15/26			3,200,000		2,892,000
Royal Bank of Scotland Plc (United Kingdom)
4.88%		03/16/15	⁴		7,117,000		6,973,799
Royal Bank of Scotland Plc , Series 2 (United Kingdom)
3.40%		08/23/13	⁴		1,750,000		1,742,720


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
UBS AG/Stamford CT (BKNT) (Switzerland)
2.25%		08/12/13	⁴	$	5,750,000	$	5,649,438
Union Bank NA (BKNT)
3.00%		06/06/16			10,000,000		9,977,807
Wachovia Corp. (MTN)
5.50%		05/01/13			5,655,000		6,011,587
Westpac Banking Corp. (Australia)
1.10%		03/31/14	^2,3,4		5,000,000		5,006,177
2.10%		08/02/13	⁴		5,000,000		5,073,780

							177,671,758

Communications — 2.70%
Charter Communications Operating LLC/Charter Communications Operating Capital
8.00%		04/30/12	³		8,870,000		9,113,925
CSC Holdings LLC
8.50%		04/15/14			13,005,000		14,094,169
8.50%		06/15/15			205,000		216,787
iPCS, Inc.
2.38%		05/01/13	²		9,970,000		9,122,550
Nextel Communications, Inc., Series C
5.95%		03/15/14			1,000,000		940,000
Nextel Communications, Inc., Series E
6.88%		10/31/13			5,000,000		4,887,500
Qwest Communications International, Inc., Series B
7.50%		02/15/14			7,270,000		7,288,175
Windstream Corp.
8.62%		08/01/16			1,514,000		1,578,345

							47,241,451

Consumer Discretionary — 0.26%
Anheuser-Busch InBev Worldwide, Inc., Series FRN
0.80%		01/27/14	²		4,550,000		4,586,062

Electric — 1.01%
Calpine Construction Finance Co. LP and CCFC Finance Corp.
8.00%		06/01/16	³		340,000		350,200
Cedar Brakes I LLC
8.50%		02/15/14	³		1,358,780		1,438,012
Cedar Brakes II LLC
9.88%		09/01/13	³		3,445,882		3,636,168
FPL Energy National Wind Portfolio LLC
6.12%		03/25/19	³		85,172		83,190
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			7,149,000		7,689,972


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Mirant Mid Atlantic Pass Through Trust A, Series A
8.62%		06/30/12		$	993,451	$	997,176
W3A Funding Corp.
8.09%		01/02/17			3,558,343		3,564,726

							17,759,444

Energy — 2.05%
El Paso Pipeline Partners
4.10%		11/15/15			3,000,000		3,054,792
Florida Gas Transmission Co LLC
4.00%		07/15/15	³		3,500,000		3,704,390
OPTI Canada, Inc. (Canada)
7.88%		12/15/14	^4,6,7		250,000		156,250
Panhandle Eastern Pipeline Co. LP
6.05%		08/15/13			2,375,000		2,541,768
Sabine Pass LNG LP
7.25%		11/30/13			14,045,000		13,658,763
Southern Union Co.
7.20%		11/01/66	²		3,000,000		2,550,000
Tennessee Gas Pipeline Co.
8.00%		02/01/16			8,673,000		10,118,234

							35,784,197

Finance — 7.88%
Cantor Fitzgerald LP
6.38%		06/26/15	³		3,675,000		3,614,416
Chase Capital II, Series B
0.75%		02/01/27	²		6,655,000		5,258,991
CIT Group, Inc.
5.25%		04/01/14	³		4,295,000		4,066,828
7.00%		05/01/14			1,759,941		1,795,140
7.00%		05/01/15	³		4,375,000		4,347,656
Citigroup, Inc.
1.14%		02/15/13	²		1,000,000		976,044
5.30%		10/17/12			1,424,000		1,459,691
5.50%		04/11/13			11,034,000		11,360,595
5.50%		10/15/14			3,510,000		3,649,249
6.38%		08/12/14			10,500,000		11,127,787
General Electric Capital Corp.
1.88%		09/16/13			2,200,000		2,213,534
General Electric Capital Corp. (MTN)
0.49%		06/20/14	²		3,500,000		3,355,954
0.65%		05/05/26	²		6,300,000		5,062,598
General Electric Capital Corp., Series A (MTN)
0.61%		09/15/14	²		10,169,000		9,731,835
General Electric Capital Corp., Series E (MTN)
0.43%		03/20/14	²		5,500,000		5,397,244


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc.
0.75%		01/12/15	²	$	1,900,000	$	1,760,612
0.80%		03/22/16	²		800,000		686,818
1.27%		02/07/14	²		4,000,000		3,804,849
3.62%		02/07/16			1,000,000		971,743
5.12%		01/15/15			583,000		602,328
5.45%		11/01/12			1,750,000		1,795,430
6.15%		04/01/18			3,500,000		3,631,800
International Lease Finance Corp.
6.50%		09/01/14	³		9,700,000		9,651,500
JPMorgan Chase Capital XIII, Series M
1.32%		09/30/34	²		2,465,000		1,921,810
JPMorgan Chase Capital XXI, Series U
1.21%		02/02/37	²		3,250,000		2,342,303
MBNA Capital A, Series A
8.28%		12/01/26			1,074,000		1,002,847
MBNA Capital B, Series B
1.05%		02/01/27	²		2,891,000		1,878,125
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	²		30,000		32,513
8.95%		05/18/17	²		30,000		32,737
9.57%		06/06/17	²		5,184,000		5,773,680
Morgan Stanley
0.73%		10/15/15	²		2,830,000		2,392,207
2.88%		01/24/14			5,500,000		5,299,553
3.80%		04/29/16			3,800,000		3,513,903
4.20%		11/20/14			750,000		734,010
6.00%		05/13/14			1,325,000		1,347,552
Morgan Stanley, Series G (MTN)
0.55%		01/09/14	²		1,405,000		1,274,411
Power Receivable Finance LLC
6.29%		01/01/12	³		233,744		234,102
6.29%		01/01/12			245,348		245,603
Prudential Holdings LLC (AGM)
1.22%		12/18/17	^2,3		10,665,000		10,163,254
Woodbourne Capital Trust I
2.71%		04/08/49	^2,3,5		595,000		202,300
Woodbourne Capital Trust II
2.71%		04/08/49	^2,3,5		700,000		238,000
Woodbourne Capital Trust IV
2.71%		04/08/49	^2,3,5		1,000,000		340,000
ZFS Finance USA Trust IV
5.88%		05/09/32	^2,3		2,575,000		2,462,344

							137,753,896

Health Care — 0.56%
Boston Scientific Corp.
5.45%		06/15/14			1,653,000		1,779,549


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
CHS/Community Health Systems, Inc.
8.88%		07/15/15		$	250,000	$	245,000
UnitedHealth Group, Inc.
4.88%		02/15/13			7,348,000		7,713,548

							9,738,097

Insurance — 1.71%
Berkshire Hathaway, Inc.
0.71%		02/11/13	²		5,475,000		5,487,571
0.99%		08/15/14	²		785,000		786,445
2.20%		08/15/16			1,010,000		1,016,329
Farmers Exchange Capital
7.20%		07/15/48	³		444,000		519,615
Farmers Insurance Exchange
6.00%		08/01/14	³		6,835,000		7,463,927
Metropolitan Life Global Funding I
2.88%		09/17/12	³		2,810,000		2,843,090
5.12%		04/10/13	³		4,550,000		4,777,509
5.12%		06/10/14	³		3,230,000		3,490,803
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^2,3		3,550,000		3,487,655

							29,872,944

Real Estate Investment Trust (REIT) — 3.86%
AvalonBay Communities, Inc. (MTN)
6.12%		11/01/12			1,057,000		1,106,286
Duke Realty LP
5.88%		08/15/12			956,000		976,858
6.25%		05/15/13			9,000,000		9,401,463
HCP, Inc.
6.00%		01/30/17			930,000		980,300
6.45%		06/25/12			4,000,000		4,116,756
HCP, Inc. (MTN)
6.30%		09/15/16			7,600,000		8,140,033
HCP, Inc., Series E (MTN)
6.00%		06/15/14			4,985,000		5,320,347
Health Care REIT, Inc.
3.62%		03/15/16			3,000,000		2,941,737
4.70%		09/15/17			10,185,000		10,225,088
Healthcare Realty Trust, Inc.
5.12%		04/01/14			1,960,000		2,024,336
6.50%		01/17/17			2,375,000		2,568,682
Kimco Realty Corp., Series C (MTN)
5.19%		10/01/13			6,000,000		6,251,671
Liberty Property LP
5.12%		03/02/15			5,305,000		5,764,190
6.38%		08/15/12			1,645,000		1,700,969


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
WEA Finance LLC/WT Finance Aust Pty Ltd.
7.50%		06/02/14	³	$	5,490,000	$	6,069,024

							67,587,740

Services — 0.02%
Mobile Mini, Inc.
6.88%		05/01/15			375,000		369,375

Transportation — 0.28%
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			167,734		171,508
UAL Pass-Through Trust, Series 2009-1
10.40%		11/01/16			4,333,778		4,669,645

							4,841,153

Total Corporates (Cost $540,882,344)							541,929,733

BANK LOANS — 0.69%*
Communications — 0.06%
Cengage Learning Acquisitions, Inc., Term Loan
2.49%		07/03/14	^2,8		720,000		571,372
Dex Media West LLC, Term Loan
7.00%		10/24/14	^2,8		674,720		462,184

							1,033,556

Electric — 0.02%
Texas Competitive Electric Holdings Co. LLC
3.73%		10/10/14	^2,8		465,072		330,007

Gaming — 0.29%
Caesars Entertainment Operating Co., Inc., Term Loan B2
3.25%		01/28/15	^2,8		6,000,000		5,044,998

Health Care — 0.32%
HCA, Inc., Term Loan B3
3.62%		05/01/18	^2,8		6,081,382		5,730,754

Total Bank Loans (Cost $13,127,522)							12,139,315

MORTGAGE-BACKED — 60.16%**
Commercial Mortgage-Backed — 7.93%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-2, Class A3
5.12%		07/11/43			2,962,470		2,985,275
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-PB2, Class A4
6.19%		06/11/35			7,012,934		7,031,683


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-5, Class A4
5.12%		10/10/45	²	$	3,810,000	$	4,148,147
Bear Stearns Commercial Mortgage Securities, Series 2002-PBW1, Class A2
4.72%		11/11/35	²		6,121,089		6,225,980
Bear Stearns Commercial Mortgage Securities, Series 2003-T12, Class A4
4.68%		08/13/39	²		7,195,000		7,525,157
Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class A4A
5.30%		10/12/42	²		7,620,000		8,351,710
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class AAB
5.75%		09/11/42			5,247,000		5,642,695
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKS4, Class A2
5.18%		11/15/36			7,408,553		7,548,463
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CP3, Class A3
5.60%		07/15/35			9,356,655		9,508,078
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C5, Class A2
4.18%		11/15/37			1,313,799		1,312,775
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		04/12/21	³		3,480,000		3,636,600
GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3
6.27%		12/10/35			2,282,755		2,305,542
GMAC Commercial Mortgage Securities, Inc., Series 2001-C2, Class A2
6.70%		04/15/34			469,765		469,086
GMAC Commercial Mortgage Securities, Inc., Series 2004-C1, Class A4
4.91%		03/10/38			410,000		433,365
Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7
5.32%		06/10/36	²		9,050,000		9,593,643
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4
6.07%		07/10/38	²		6,080,000		6,568,890
GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4
3.71%		08/10/44	²		8,850,000		8,829,441
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB3, Class A3
6.46%		11/15/35			1,484,607		1,482,984
Merrill Lynch Mortgage Trust, Series 2002-MW1, Class A4
5.62%		07/12/34			6,814,962		6,902,003


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class A3
5.17%		12/12/49	²	$	4,840,000	$	5,180,586
Morgan Stanley Capital I, Series 2001-C3, Class A2
3.22%		08/15/49			2,020,000		2,047,129
Morgan Stanley Capital I, Series 2005-T19, Class A4A
4.89%		06/12/47			405,000		441,519
Morgan Stanley Capital I, Series 2006-T23, Class A4
5.99%		08/12/41	²		7,265,000		8,199,971
Morgan Stanley Capital I, Series 2007-IQ16, Class A4
5.81%		12/12/49			2,570,000		2,771,652
Morgan Stanley Capital I, Series 2007-T27, Class A4
5.80%		06/11/42	²		265,000		297,281
Morgan Stanley Dean Witter Capital I, Series 2001-TOP3, Class A4
6.39%		07/15/33			327,771		327,584
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3
5.95%		08/15/39	²		10,500,000		11,377,522
Wachovia Bank Commercial Mortgage Trust, Series 2002-C1, Class A4
6.29%		04/15/34			7,490,972		7,570,253

							138,715,014

Non-Agency Mortgage-Backed — 23.32%
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
0.46%		02/25/37	²		12,000,000		5,026,758
Adjustable Rate Mortgage Trust, Series 2005-1, Class 1A1
3.01%		05/25/35	²		9,543,552		7,053,261
American Home Mortgage Assets, Series 2007-2, Class A1
0.36%		03/25/47	²		18,925,910		10,011,212
American Home Mortgage Assets, Series 2007-4, Class A2
0.42%		08/25/37	²		17,282,445		11,966,383
American Home Mortgage Investment Trust, Series 2004-2, Class 2A
2.29%		02/25/44	²		12,303,078		9,957,240
Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP)
7.57%		10/25/27			34,777		36,059
Banc of America Funding Corp., Series 2007-5, Class 3A1
6.00%		07/25/37			7,988,164		5,894,038


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Corp., Series 2007-8, Class 2A1
7.00%		10/25/37		$	8,131,611	$	5,458,430
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%		06/30/20	^3,4,5		138,976		10,771
BCAP LLC Trust, Series 2011-RR5, Class 2A3
4.98%		06/26/37	^2,3		9,391,436		8,739,775
Bear Stearns Asset Backed Securities Trust, Series 2000-2, Class M2 (STEP)
8.28%		08/25/30			1,974,825		1,917,660
Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 2A1
0.44%		11/25/36	²		11,767,506		6,288,031
Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 2A1
0.44%		06/25/37	²		14,578,400		8,395,700
BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina)
8.00%		01/31/20	^3,4,5		9,000		90
Carrington Mortgage Loan Trust, Series 2004-NC2, Class M1
1.27%		08/25/34	²		218,633		138,463
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A3
0.50%		02/25/37	²		14,875,000		5,225,796
CC Mortgage Funding Corp., Series 2005-2A, Class A1
0.42%		05/25/36	^2,3		2,864,343		1,686,638
CC Mortgage Funding Corp., Series 2005-AA, Class B2
0.86%		01/25/36	^2,3		670,382		203,668
Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2002-2, Class 2M1
1.14%		02/25/32	²		736,243		375,555
Chase Mortgage Finance Corp., Series 2005-A1, Class 2A3
2.92%		12/25/35	²		840,000		683,788
Chase Mortgage Finance Corp., Series 2007-A2, Class 2A3
2.86%		07/25/37	²		9,416,039		8,260,061
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.04%		02/25/34	²		385,095		338,314
Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1, Class A2B
0.16%		09/25/36	²		6,477,809		3,013,109
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A2
0.34%		01/25/37	²		101,792		98,660


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.42%		03/25/37	²	$	150,000	$	106,428
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C
1.54%		07/25/37	²		90,000		40,883
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			8,456,363		9,227,039
Conseco Finance, Series 2001-D, Class A5
6.69%		11/15/32	²		277,336		280,125
Conseco Financial Corp., Series 1994-1, Class A5
7.65%		04/15/19			250,791		265,874
Conseco Financial Corp., Series 1996-1, Class M1
7.00%		03/15/27	²		9,109,756		9,712,226
Conseco Financial Corp., Series 1997-2, Class A7
7.62%		06/15/28	²		4,712,684		5,233,811
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	²		2,541,071		2,821,136
Conseco Financial Corp., Series 1997-7, Class A9
7.37%		07/15/29	²		7,248,844		8,045,692
Conseco Financial Corp., Series 1998-2, Class A5
6.24%		12/01/28	²		28,385		29,808
Countrywide Alternative Loan Trust, Series 2005-27, Class 2A1
1.59%		08/25/35	²		2,171,431		1,161,573
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1
0.54%		11/20/35	²		9,108,306		5,170,781
Countrywide Alternative Loan Trust, Series 2005-72, Class A1
0.50%		01/25/36	²		761,876		483,462
Countrywide Alternative Loan Trust, Series 2006-46, Class A4
6.00%		02/25/47			5,839,149		3,818,596
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A2
0.44%		09/20/46	²		4,561,263		1,888,528
Countrywide Asset-Backed Certificates, Series 2007-11, Class 2A1
0.30%		06/25/47	²		144,141		141,741
Countrywide Asset-Backed Certificates, Series 2007-4, Class A1A
0.46%		09/25/37	²		2,743,619		2,660,536
Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A1
0.32%		10/25/47	²		135,739		132,338


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-14, Class 4A1
5.02%		08/25/34	²	$	91,921	$	87,771
Credit Suisse Mortgage Capital Certificates, Series 2007-2, Class 3A4
5.50%		03/25/37			5,000,000		4,355,413
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB7, Class AF3 (STEP)
5.54%		11/25/35			1,460,427		1,388,300
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP)
5.24%		01/25/36			2,696,580		1,570,525
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A4
0.46%		11/25/36	²		6,000,000		2,231,815
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP)
5.50%		02/25/37			20,580,000		13,204,169
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
0.30%		04/25/37	²		6,470,322		4,589,684
Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR2, Class 2A1A
0.44%		03/19/45	²		3,404,583		2,243,695
Downey Savings & Loan Association Mortgage Loan Trust, Series 2006-AR1, Class 2A1A
1.18%		04/19/47	²		78,467		44,980
First Alliance Mortgage Loan Trust, Series 1994-3, Class A1
7.82%		10/25/25			1,197		1,132
First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1
2.20%		09/25/34	²		33,488		28,430
GMAC Mortgage Corp. Loan Trust, Series 2000-HE2, Class A1
0.68%		06/25/30	²		1,232,389		715,166
Green Tree Home Improvement Loan Trust, Series 1997-E, Class HEB1
7.53%		01/15/29			2,061,225		2,019,229
GSAA Trust, Series 2006-9, Class A4A
0.48%		06/25/36	²		11,493,978		5,010,276
Harborview Mortgage Loan Trust, Series 2006-3, Class 2A1A
5.50%		06/19/36	²		2,596,110		1,393,811


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HSBC Home Equity Loan Trust, Series 2005-3, Class M1
0.65%		01/20/35	²	$	3,479,540	$	3,007,631
HSBC Home Equity Loan Trust, Series 2006-3, Class A4
0.47%		03/20/36	²		8,680,000		6,928,519
HSBC Home Equity Loan Trust, Series 2007-1, Class AS
0.43%		03/20/36	²		8,635,560		7,433,749
Impac CMB Trust, Series 2005-5, Class A1
0.56%		08/25/35	²		4,834,715		3,345,427
Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1
0.62%		12/25/34	²		579,369		325,525
Indymac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
0.64%		11/25/34	²		2,094,303		1,340,637
JPMorgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2F3 (STEP)
2.94%		10/25/35			2,453,160		2,235,264
JPMorgan Mortgage Acquisition Corp., Series 2007-CH1, Class AF2 (STEP)
5.45%		10/25/36			6,134,633		6,132,474
JPMorgan Mortgage Acquisition Corp., Series 2007-CH2, Class AF2 (STEP)
5.48%		01/25/37			14,905,061		11,436,282
JPMorgan Mortgage Acquisition Corp., Series 2007-CH5, Class A2
0.28%		05/25/37	²		1,381,614		1,323,113
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AV4
0.52%		03/25/47	²		50,000		17,647
JPMorgan Mortgage Trust, Series 2005-A3, Class 5A3
2.82%		06/25/35	²		124,810		95,600
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
2.86%		07/25/35	²		1,543,561		1,403,560
Lake Country Mortgage Loan Trust, Series 2006-HE1, Class M5
2.24%		07/25/34	³		4,716,000		2,027,880
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3
4.35%		05/15/14			6,232,663		6,236,558
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		09/15/18			5,167,457		5,401,374
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class AIOC
0.55%		05/15/41	^2,5		309,241,427		4,597,214
Lehman XS Trust, Series 2006-GP1, Class A4A
0.56%		05/25/46	²		11,148,824		2,486,102


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Long Beach Mortgage Loan Trust, Series 2005-1, Class M1
0.74%		02/25/35	²	$	2,942,649	$	2,899,114
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
5.07%		01/25/34	²		98,513		93,339
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
2.82%		01/25/34	²		145,718		116,818
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
2.75%		06/25/34	²		262,333		199,519
MASTR Adjustable Rate Mortgages Trust, Series 2004-9, Class 1A4
0.84%		11/25/34	²		3,874,076		3,574,519
MASTR Asset Backed Securities Trust, Series 2007-HE1, Class A3
0.44%		05/25/37	²		55,000		21,371
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
2.76%		10/25/32	²		662,405		559,051
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
0.42%		06/25/37	²		19,057,200		8,520,764
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			869,658		871,959
Mid-State Trust, Series 2006-1, Class A
5.79%		10/15/40	³		8,838,989		9,696,906
Morgan Stanley ABS Capital I, Series 2004-NC2, Class M2
2.04%		12/25/33	²		171,287		112,608
Morgan Stanley ABS Capital I, Series 2004-NC7, Class M2
0.86%		07/25/34	²		13,000,000		11,706,526
Morgan Stanley Mortgage Loan Trust, Series 2007-10XS, Class A18
6.00%		07/25/47	²		10,841,129		7,973,865
Nationstar Home Equity Loan Trust, Series 2007-A, Class AV4
0.46%		03/25/37	²		6,466,000		3,381,776
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV3
0.42%		06/25/37	²		7,807,200		3,849,945
Park Place Securities, Inc., Series 2004-MHQ1, Class M1
0.94%		12/25/34	²		7,432,899		7,102,909
Park Place Securities, Inc., Series 2005-WCW1, Class A3D
0.58%		09/25/35	²		7,845,221		7,685,626
Park Place Securities, Inc., Series 2005-WHQ1, Class M2
0.74%		03/25/35	²		9,578,000		8,304,691


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
0.54%		06/25/47	²	$	70,000	$	35,444
Residential Asset Mortgage Products, Inc., Series 2004-SL4, Class A3
6.50%		07/25/32			1,956,358		2,040,595
Residential Asset Mortgage Products, Inc., Series 2005-SL1, Class A5
6.50%		05/25/32			3,855,718		3,673,458
Residential Asset Securities Corp., Series 2005-KS12, Class A2
0.48%		01/25/36	²		5,826,123		5,583,855
Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7 (STEP)
8.79%		02/25/25			6,571		6,483
Resmae Mortgage Loan Trust, Series 2006-1, Class A1B
0.50%		02/25/36	^2,3		151,117		1,491
SG Mortgage Securities Trust, Series 2006-FRE1, Class A1B
0.50%		02/25/36	²		1,562,023		783,785
Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C
0.38%		12/25/36	²		12,000,000		9,968,682
Specialty Underwriting & Residential Finance, Series 2005-AB1, Class A1C
0.58%		03/25/36	²		4,943,825		4,791,352
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 1A1
2.62%		12/27/35	²		14,696,988		7,595,778
Structured Asset Mortgage Investments, Inc., Series 2006-AR8, Class A1A
0.44%		10/25/36	²		13,669,193		7,168,890
Structured Asset Securities Corp., Series 2002-5A, Class 6A
6.16%		04/25/32	²		24,965		21,891
Structured Asset Securities Corp., Series 2003-26A, Class 3A5
2.44%		09/25/33	²		4,134,668		3,673,315
Structured Asset Securities Corp., Series 2005-S2, Class M2
0.91%		06/25/35	²		831,046		816,062
Terwin Mortgage Trust, Series 2004-7HE, Class A1
0.78%		07/25/34	^2,3		142,962		117,580
Terwin Mortgage Trust, Series 2005-9HGS, Class A1
4.00%		08/25/35	^2,3		135,383		131,745
Thornburg Mortgage Securities Trust, Series 2007-3, Class 4A3
0.44%		06/25/47	²		8,626,169		8,368,794


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass Through Certificates, Series 2002-AR18, Class A
2.59%		01/25/33	²	$	404,363	$	373,950
WaMu Mortgage Pass Through Certificates, Series 2005-AR2, Class 2A21
0.56%		01/25/45	²		1,232,561		924,645
WaMu Mortgage Pass Through Certificates, Series 2006-AR7, Class 3A1B
2.84%		07/25/46	²		9,573,809		4,186,747
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A1
1.01%		04/25/47	²		14,210,043		7,752,038
Wells Fargo Home Equity Trust, Series 2005-3, Class AII3
0.58%		11/25/35	²		6,288,628		6,003,627
Wells Fargo Home Equity Trust, Series 2007-2, Class A1
0.32%		04/25/37	²		444,024		425,492

							407,775,994

U.S. Agency Mortgage-Backed — 28.91%
Fannie Mae (TBA)
3.00%		10/25/26			33,925,000		34,937,451
Fannie Mae Interest Strip, Series 405, Class F10
0.94%		10/25/40	²		13,969,067		14,004,342
Fannie Mae Pool 555177
2.39%		01/01/33	²		60,743		63,215
Fannie Mae Pool 555284
7.50%		10/01/17			3,394		3,692
Fannie Mae Pool 567002
8.00%		05/01/23			111,999		129,584
Fannie Mae Pool 735861
6.50%		09/01/33			45,074		51,065
Fannie Mae Pool 745383
2.42%		12/01/35	²		2,375,133		2,500,486
Fannie Mae Pool 770900
2.32%		04/01/34	²		631,899		669,910
Fannie Mae Pool 805256
2.18%		01/01/35	²		798,066		828,929
Fannie Mae Pool 890141
5.50%		12/01/20			12,550,220		13,608,165
Fannie Mae Pool 942553
5.88%		08/01/37	²		8,892,368		9,650,243
Fannie Mae Pool 995182
5.50%		06/01/20			14,298,653		15,503,985
Fannie Mae Pool 995793
5.50%		09/01/36			10,388,772		11,353,629
Fannie Mae Pool AD0538
6.00%		05/01/24			4,939,722		5,338,566


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AE0083
6.00%		01/01/40		$	14,410,789	$	15,904,557
Fannie Mae, Series 1997-76, Class FS
0.70%		09/17/27	²		52,693		52,285
Fannie Mae, Series 2001-60, Class OF
1.18%		10/25/31	²		4,950,037		5,028,340
Fannie Mae, Series 2007-64, Class FA
0.70%		07/25/37	²		5,251,165		5,224,090
Fannie Mae, Series 2009-33, Class FB
1.06%		03/25/37	²		16,876,745		17,141,573
Fannie Mae, Series 2010-109, Class PF
0.64%		10/25/40	²		13,549,014		13,564,931
Fannie Mae, Series 2010-26, Class S (IO)
6.00%		11/25/36	²		62,457,614		8,551,940
Fannie Mae, Series 2010-43, Class DP
5.00%		05/25/40			10,896,690		12,030,405
Fannie Mae, Series 2010-95, Class S (IO)
6.36%		09/25/40	²		32,102,521		5,812,197
Fannie Mae, Series 2010-99, Class NI (IO)
6.00%		09/25/40			24,632,655		4,405,994
Fannie Mae, Series 2011-71, Class FB
0.74%		05/25/37	²		16,689,379		16,718,284
Fannie Mae, Series G92-10, Class Z
7.75%		01/25/22			12,140		13,520
Freddie Mac Gold (TBA)
3.50%		10/15/26			5,565,000		5,796,295
Freddie Mac Gold Pool A45796
7.00%		01/01/33			29,846		34,290
Freddie Mac Gold Pool C46104
6.50%		09/01/29			37,122		42,133
Freddie Mac Gold Pool G13032
6.00%		09/01/22			7,382,159		7,967,541
Freddie Mac Gold Pool G13475
6.00%		01/01/24			924,370		1,006,757
Freddie Mac Non Gold Pool 1B1928
2.50%		08/01/34	²		1,957,623		2,057,567
Freddie Mac Non Gold Pool 1G2627
5.97%		03/01/37	²		5,258,234		5,474,111
Freddie Mac Non Gold Pool 1J1393
4.26%		10/01/36	²		5,638,266		5,960,623
Freddie Mac Non Gold Pool 1J1509
6.40%		11/01/36	²		3,613,882		3,795,743
Freddie Mac Non Gold Pool 1L0113
3.20%		05/01/35	²		1,734,289		1,823,652
Freddie Mac Non Gold Pool 1N0371
6.00%		01/01/37	²		4,847,665		5,188,681
Freddie Mac Non Gold Pool 1Q0196
5.72%		02/01/37	²		3,780,203		4,008,149


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Non Gold Pool 786781
3.02%		08/01/29	²	$	143,517	$	151,410
Freddie Mac, Series 2174, Class PN
6.00%		07/15/29			2,569,861		2,789,421
Freddie Mac, Series 2454, Class FQ
1.23%		06/15/31	²		41,531		42,200
Freddie Mac, Series 2561, Class BX (IO)
5.00%		05/15/17			135,043		1,996
Freddie Mac, Series 2657, Class LX (IO)
6.00%		05/15/18			20,484		1,211
Freddie Mac, Series 3294, Class CB
5.50%		03/15/37			9,782,946		10,480,113
Freddie Mac, Series 3345, Class FP
0.43%		11/15/36	²		6,664,168		6,648,756
Freddie Mac, Series 3345, Class PF
0.41%		05/15/36	²		6,803,706		6,784,833
Freddie Mac, Series 3346, Class FA
0.46%		02/15/19	²		11,333,109		11,365,118
Freddie Mac, Series 3626, Class MA
5.00%		02/15/30			8,175,565		8,595,135
Freddie Mac, Series 3672, Class A
6.00%		05/15/40			5,111,440		5,459,453
Ginnie Mae I Pool 422972
6.50%		07/15/29			46,890		54,232
Ginnie Mae II Pool 1849
8.50%		08/20/24			1,478		1,762
Ginnie Mae II Pool 2020
8.50%		06/20/25			2,655		3,180
Ginnie Mae II Pool 2286
8.50%		09/20/26			3,157		3,793
Ginnie Mae II Pool 2487
8.50%		09/20/27			18,248		21,986
Ginnie Mae II Pool 80059
2.38%		04/20/27	²		49,446		51,338
Ginnie Mae II Pool 80589
2.50%		03/20/32	²		107,624		111,587
Ginnie Mae II Pool 80610
2.38%		06/20/32	²		35,230		36,579
Ginnie Mae II Pool 80968
2.62%		07/20/34	²		974,534		1,003,488
Ginnie Mae II Pool 81201
2.25%		01/20/35	²		26,399		27,340
Ginnie Mae II Pool 8599
3.00%		02/20/25	²		44,067		45,800
Government National Mortgage Association, Series 2003-28, Class LI (IO)
5.50%		02/20/32			294,280		10,428


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Government National Mortgage Association, Series 2009-106, Class XI (IO)
6.57%		05/20/37	²	$	34,413,196	$	6,164,092
NCUA Guaranteed Notes, Series 2010-R1, Class 1A
0.67%		10/07/20	²		20,496,012		20,527,986
NCUA Guaranteed Notes, Series 2010-R2, Class 1A
0.59%		11/06/17	²		23,644,568		23,651,898
NCUA Guaranteed Notes, Series 2010-R2, Class 2A
0.69%		11/05/20	²		14,383,736		14,424,154
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
0.78%		12/08/20	²		19,474,003		19,592,600
NCUA Guaranteed Notes, Series 2010-R3, Class 2A
0.78%		12/08/20	²		8,359,510		8,411,088
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.75%		03/09/21	²		29,510,878		29,584,655
NCUA Guaranteed Notes, Series 2011-R1, Class 1A
0.67%		01/08/20	²		13,370,789		13,387,503
NCUA Guaranteed Notes, Series 2011-R2, Class 1A
0.62%		02/06/20	²		12,760,081		12,784,070
NCUA Guaranteed Notes, Series 2011-R3, Class 1A
0.62%		03/11/20	²		8,517,848		8,534,288
NCUA Guaranteed Notes, Series 2011-R4, Class 1A
0.60%		03/06/20	²		12,268,357		12,274,108
NCUA Guaranteed Notes, Series 2011-R5, Class 1A
0.60%		04/06/20	²		9,656,954		9,659,972
NCUA Guaranteed Notes, Series 2011-R6, Class 1A
0.60%		05/07/20	²		16,734,989		16,742,835

							505,677,328

Total Mortgage-Backed (Cost $1,123,455,859)							1,052,168,336

MUNICIPAL BONDS — 1.24%*
California — 0.52%
State of California, Taxable, Various Purpose
4.85%		10/01/14			4,900,000		5,288,374
5.50%		03/01/16			1,775,000		1,980,084
State of California, Taxable, Various Purpose, Series 3
5.45%		04/01/15			1,715,000		1,896,326

							9,164,784


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Illinois — 0.72%
State of Illinois, Taxable Bonds
4.03%		03/01/14		$	525,000	$	541,097
4.07%		01/01/14			9,275,000		9,569,574
5.36%		03/01/17			2,250,000		2,409,165

							12,519,836

Total Municipal Bonds (Cost $20,511,352)							21,684,620

U.S. TREASURY SECURITIES — 2.86%
U.S. Treasury Notes — 2.86%
U.S. Treasury Notes - Treasury Inflation Indexed Notes
3.00%		07/15/12			38,745,000		50,072,722

Total U.S. Treasury Securities (Cost $50,165,102)
Total Bonds – 101.66% (Cost $1,849,455,182)							1,778,064,557

SHORT-TERM INVESTMENTS — 2.12%
Commercial Paper — 0.07%
National Australia Funding Corp.
0.23%⁹		11/01/11	³		1,275,000		1,274,842

Money Market Fund — 2.05%
BlackRock Liquidity Funds TempFund Portfolio
0.09%¹⁰					12,361,000		12,361,000
Dreyfus Cash Advantage Fund
0.09%¹⁰					7,062,000		7,062,000
DWS Money Market Series-Institutional
0.06%¹⁰					19,000		19,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.07%¹⁰					6,610,000		6,610,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.10%^10,11					9,722,000		9,722,000

							35,774,000

Total Short-Term Investments (Cost $37,048,764)							37,048,842

Total Investments – 103.78% (Cost $1,886,503,946)¹							1,815,113,399

Liabilities in Excess of Other Assets – (3.78)%							(66,140,030	)

Net Assets – 100.00%						$	1,748,973,369


	Expiration Date	Premiums Paid	Notional Amount (000’s)^b	Appreciation	Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
	09/20/16	$38,321	$895	$62,090	$100,411
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc.
	09/20/16	38,107	890	61,743	99,850


		$76,428	$1,785	$123,833	$200,261


Expiration Date	Credit Rating^a	Premiums (Received)	Notional Amount (000’s)^b	Appreciation/ (Depreciation)	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Barclays Capital, Inc.
09/20/12	A+	$(114,053)	$18,850	$1,393	$(112,660)
The Fund receives a fixed rate equal to 1.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63% due 09/15/17. Counterparty: UBS AG
09/20/12	A+	(47,871)	4,725	(16,748)	(64,619)


		$(161,924)	$23,575	$(15,355)	$(177,279)


	Expiration Date	Premiums (Received)	Notional Amount (000’s)^b	(Depreciation)	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
	01/25/38	$(3,298,043)	$5,683	$(384,532)	$(3,682,575)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
	01/25/38	(2,394,997)	3,886	(123,003)	(2,518,000)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	(3,757,885)	5,829	(19,116)	(3,777,001)


		$(9,450,925)	$15,398	$(526,651)	$(9,977,576)


	Expiration Date	Premiums (Received)	Notional Amount (000’s)^b	Appreciation	Value^c
SWAPTION: RATE FLOOR INFLATION
The Fund received a fixed payment equal to $115,920 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swaption 11/23/20. Counterparty: Citigroup, Inc.
	11/23/20	$(115,920)	$10,080	$67,536	$(48,384)


		$(115,920)	$10,080	$67,536	$(48,384)

a	Using Standard & Poor’s rating of the issuer.

b	The maximum potential payment the Fund could be required to make 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 the swap agreement.

Notes:

¹	Cost for federal income tax purposes is $1,886,617,322 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	38,659,556
Gross unrealized depreciation		(110,163,479	)

Net unrealized depreciation	$	(71,503,923	)

²	Floating rate security. The rate disclosed was in effect at September 30, 2011.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $9,588,353, which is 0.55% of total net assets.

⁶	Security is currently in default with regard to scheduled interest or principal payments.

⁷	Non-income producing security.

⁸	Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
06/09/11	Caesars Entertainment Operating Co., Inc., Term Loan B2, 3.25%, 01/28/15	$	5,443,387	$	5,044,998	0.29%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
06/27/07	Cengage Learning Acquisitions, Inc., Term Loan, 2.49%, 07/03/14	$	717,154	$	571,372	0.03%
01/05/09	Dex Media West LLC, Term Loan, 7.00%, 10/24/14		494,590		462,184	0.02%
10/22/07	HCA, Inc., Term Loan B3, 3.62%, 05/01/18		6,007,319		5,730,754	0.33%
10/31/07	Texas Competitive Electric Holdings Co. LLC, 3.73%, 10/10/14		465,072		330,007	0.02%

		$	13,127,522	$	12,139,315	0.69%

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of September 30, 2011.

¹¹	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $9,722,000.

^†

Fair valued security. The aggregate value of fair valued securities is $10,155,190, which is 0.58% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA

(Financial Security Assurance, Inc.))

(BKNT): Banker’s Note, Inc.

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(TBA): To be announced


Issues	Maturity Date			Principal Amount		Value
BONDS – 100.50%
ASSET-BACKED SECURITIES — 6.38%**
Aerco Ltd., Series 2A, Class A3 (United Kingdom)
0.69%		07/15/25	^2,3,4	$	1,353,100	$	1,014,825
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1
0.49%		06/14/37	^3,4		873,375		772,937
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
0.53%		11/14/33	^2,3,4		978,990		861,512
Bayview Commercial Asset Trust, Series 2005-2A, Class A1
0.54%		08/25/35	^3,4		312,452		241,530
Brazos Higher Education Authority, Series 2010-1, Class A2
1.51%		02/25/35	³		650,000		604,778
Brazos Higher Education Authority, Series 2011-2, Class A3
1.25%		10/27/36	³		225,000		204,815
CIT Education Loan Trust, Series 2007-1, Class A
0.45%		03/25/42	^3,4		660,964		605,095
Discover Card Master Trust, Series 2009-A2, Class A
1.53%		02/17/15	³		325,000		327,551
Educational Funding of the South, Inc., Series 2011-1, Class A2
0.90%		04/25/35	³		580,000		536,821
GE Business Loan Trust, Series 2003-2A, Class A
0.60%		11/15/31	^3,4		807,608		750,630
GE Business Loan Trust, Series 2004-1, Class A
0.52%		05/15/32	^3,4		786,606		734,460
GE Business Loan Trust, Series 2004-1, Class B
0.93%		05/15/32	^3,4		374,574		303,868
GE Business Loan Trust, Series 2004-2A, Class A
0.45%		12/15/32	^3,4		576,727		500,086
GE Business Loan Trust, Series 2005-1A, Class A3
0.48%		06/15/33	^3,4		735,953		622,148
GE Corporate Aircraft Financing LLC, Series 2005-1A, Class B
0.88%		08/26/19	^3,4		675,000		621,000
GE Seaco Finance SRL, Series 2004-1A, Class A (Barbados)
0.53%		04/17/19	^2,3,4		284,167		276,516
GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados)
0.48%		11/17/20	^2,3,4		708,333		680,435


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda)
0.47%		12/19/32	^2,3,4	$	859,746	$	758,860
Keycorp Student Loan Trust, Series 2002-A, Class 1A2
0.51%		08/27/31	³		590,506		544,849
Peach Finance Co. 2000 A
4.71%		04/15/48	⁴		677,596		706,394
SLC Student Loan Trust, Series 2008-1, Class A4A
1.95%		12/15/32	³		625,000		645,616
South Carolina Student Loan Corp., Series A2
0.45%		12/01/20	³		400,000		377,353
SVO VOI Mortgage Corp., Series 2003-AA, Class A
3.95%		02/20/19	⁴		27,141		27,420
TAL Advantage LLC 2006-1 NOTE
0.42%		04/20/21	^3,4		550,000		501,019
TAL Advantage LLC, Series 2010-2A, Class A
4.30%		10/20/25	⁴		395,125		375,546
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.48%		05/15/20	^2,3,4		385,000		358,339
Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda)
4.70%		06/15/26	^2,4		536,250		540,164
Trinity Rail Leasing LP, Series 2004-1A, Class A
5.27%		08/14/27	⁴		278,780		295,558
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A
4.37%		07/15/41	⁴		710,860		715,959
Triton Container Finance LLC, Series 2006-1A NOTE
0.40%		11/26/21	^3,4		581,250		530,229
Triton Container Finance LLC, Series 2007-1A NOTE
0.37%		02/26/19	^3,4		373,698		347,809
US Education Loan Trust IV LLC, Series 2006-1, Class A4
0.31%		03/01/41	^4,†		700,000		580,996

Total Asset-Backed Securities (Cost $16,815,162)							16,965,118

CORPORATES — 23.42%*
Banking — 5.30%
Abbey National Treasury Services Plc/London (United Kingdom)
2.88%		04/25/14	²		1,019,000		959,315
ANZ National International Ltd. (PIK) (New Zealand)
6.20%		07/19/13	^2,4		600,000		640,985


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
BAC Capital Trust XV
1.13%		06/01/56	³	$	1,432,000	$	829,914
Bank of America N.A. (BKNT)
0.65%		06/15/17	³		1,350,000		994,479
6.10%		06/15/17			340,000		316,983
Barclays Bank Plc (United Kingdom)
5.20%		07/10/14	²		850,000		869,834
Credit Suisse AG/Guernsey, Series 1 (Switzerland)
0.98%		05/29/49	^2,3		770,000		503,518
Credit Suisse/New York (MTN) (Switzerland)
5.00%		05/15/13	²		700,000		723,750
Credit Suisse/New York (Switzerland)
5.50%		05/01/14	²		500,000		528,890
6.00%		02/15/18	²		575,000		584,263
Deutsche Bank AG/London, Series G (MTN) (Germany)
4.88%		05/20/13	²		760,000		785,729
Deutsche Bank Capital Funding Trust VII
5.63%		01/19/49	^3,4		120,000		81,600
Fleet Capital Trust V
1.35%		12/18/28	³		500,000		320,844
HBOS Plc, Series G (MTN) (United Kingdom)
6.75%		05/21/18	^2,4		915,000		798,047
JPMorgan Chase Bank N.A.
0.67%		06/13/16	³		600,000		553,770
JPMorgan Chase Bank N.A. (BKNT)
6.00%		07/05/17			600,000		647,530
6.00%		10/01/17			500,000		526,313
Nationsbank Cap Trust III
0.80%		01/15/27	³		616,000		381,877
Royal Bank of Scotland Plc (United Kingdom)
3.95%		09/21/15	²		1,000,000		941,746
Svenska Handelsbanken AB (Sweden)
4.88%		06/10/14	^2,4		825,000		872,320
Union Bank NA (BKNT)
3.00%		06/06/16			1,000,000		997,781
Wachovia Corp. (MTN)
5.50%		05/01/13			239,000		254,071

							14,113,559

Communications — 0.38%
Cellco Partnership/Verizon Wireless Capital LLC
5.55%		02/01/14			350,000		383,125
Verizon Communications, Inc.
1.95%		03/28/14			600,000		614,648

							997,773


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric — 1.90%
Cedar Brakes II LLC
9.88%		09/01/13	⁴	$	640,260	$	675,616
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			1,429,000		1,537,134
PG&E Corp.
5.75%		04/01/14			910,000		998,435
Public Service Co. of New Mexico
7.95%		05/15/18			475,000		545,735
Southwestern Electric Power Co.
6.45%		01/15/19			534,000		639,288
Texas-New Mexico Power Co.
9.50%		04/01/19	⁴		500,000		657,407

							5,053,615

Energy — 1.35%
Sabine Pass LNG LP
7.25%		11/30/13			935,000		909,288
Southern Union Co.
7.20%		11/01/66	³		910,000		773,500
Tennessee Gas Pipeline Co.
8.00%		02/01/16			1,000,000		1,166,636
Valero Energy Corp.
9.38%		03/15/19			471,000		604,427
Williams Cos., Inc.
7.88%		09/01/21			112,000		133,014

							3,586,865

Finance — 9.05%
Bear Stearns Cos. LLC
7.25%		02/01/18			1,140,000		1,345,564
Citigroup Funding, Inc., Series 2
0.58%		04/30/12	³		655,000		656,505
Citigroup, Inc.
0.86%		08/25/36	³		205,000		134,808
5.50%		04/11/13			451,000		464,349
5.50%		10/15/14			371,000		385,718
6.00%		08/15/17			250,000		265,637
6.38%		08/12/14			535,000		566,987
6.50%		08/19/13			408,000		429,526
Countrywide Financial Corp. (MTN)
5.80%		06/07/12			285,000		286,734
Dolphin Subsidiary II, Inc.
7.25%		10/15/21	⁴		1,100,000		1,108,250
General Electric Capital Corp.
4.62%		01/07/21			700,000		727,864
5.62%		05/01/18			730,000		794,026
General Electric Capital Corp. (MTN)
0.65%		05/05/26	³		500,000		401,793
1.20%		05/22/13	³		340,000		340,286


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
General Electric Capital Corp., Series A (MTN)
0.61%		09/15/14	³	$	694,000	$	664,165
General Electric Capital Corp., Series E (MTN)
0.43%		03/20/14	³		300,000		294,395
Goldman Sachs Group, Inc.
0.45%		02/06/12	³		210,000		209,668
1.02%		12/05/11	³		785,000		786,213
6.15%		04/01/18			1,100,000		1,141,423
7.50%		02/15/19			550,000		604,399
Goldman Sachs Group, Inc. (MTN)
6.00%		05/01/14			250,000		264,841
Goldman Sachs Group, Inc., Series B (MTN)
0.65%		07/22/15	³		100,000		89,378
International Lease Finance Corp.
6.50%		09/01/14	⁴		1,000,000		995,000
JPMorgan Chase Capital XIII, Series M
1.32%		09/30/34	³		1,070,000		834,214
Merrill Lynch & Co., Inc. (MTN)
8.68%		05/02/17	³		510,000		552,713
8.95%		05/18/17	³		410,000		447,413
9.57%		06/06/17	³		319,000		355,286
Morgan Stanley
0.56%		02/10/12	³		2,140,000		2,143,968
0.70%		06/20/12	³		1,150,000		1,153,568
0.73%		10/15/15	³		187,000		158,072
Morgan Stanley (MTN)
0.70%		10/18/16	³		1,185,000		922,534
6.25%		08/28/17			800,000		789,686
NCUA Guaranteed Notes, Series A1
0.24%		06/12/13	³		2,225,000		2,220,066
Power Receivable Finance LLC
6.29%		01/01/12			50,562		50,614
Private Export Funding Corp.
2.80%		05/15/22			1,040,000		1,028,606
Prudential Holdings LLC (AGM)
1.22%		12/18/17	^3,4		500,000		476,477

							24,090,746

Health Care — 0.80%
HCA, Inc. (WI)
8.50%		04/15/19			430,000		453,650
UnitedHealth Group, Inc.
4.88%		02/15/13			760,000		797,808
WellPoint, Inc.
6.00%		02/15/14			800,000		884,587

							2,136,045


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance — 1.24%
Farmers Insurance Exchange
6.00%		08/01/14	⁴	$	1,000,000	$	1,092,016
Metropolitan Life Global Funding I
5.12%		06/10/14	⁴		800,000		864,595
Nationwide Mutual Insurance Co.
6.60%		04/15/34	⁴		440,000		415,248
Pricoa Global Funding I
5.45%		06/11/14	⁴		850,000		926,380

							3,298,239

Real Estate Investment Trust (REIT) — 2.27%
Duke Realty LP
6.25%		05/15/13			790,000		825,240
HCP, Inc.
7.07%		06/08/15			200,000		219,907
HCP, Inc. (MTN)
6.30%		09/15/16			500,000		535,529
6.70%		01/30/18			275,000		301,071
Health Care REIT, Inc.
4.70%		09/15/17			1,000,000		1,003,936
Shurgard Storage Centers LLC
5.88%		03/15/13			68,000		71,969
Simon Property Group LP
4.20%		02/01/15			400,000		421,319
UDR, Inc. (MTN)
5.00%		01/15/12			80,000		80,714
5.25%		01/15/15			1,000,000		1,065,832
WEA Finance LLC
7.12%		04/15/18	⁴		775,000		886,461
WEA Finance LLC/WT Finance Aust Pty Ltd.
7.50%		06/02/14	⁴		570,000		630,117

							6,042,095

Transportation — 1.13%
American Airlines 2011-2 Class A Pass Through Trust, Series A
8.62%		10/15/21			1,000,000		996,875
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			73,384		75,035
Continental Airlines Pass-Through Trust, Series 1999, Class C2
7.26%		03/15/20			385,030		392,730
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22			353,237		359,198
JetBlue Airways Pass-Through Trust, Series 2004, Class G1
0.66%		08/15/16	³		16,842		15,762


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
JetBlue Airways Pass-Through Trust, Series 2004, Class G2
0.74%		11/15/16	³	$	661,000	$	568,460
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A-1
7.04%		04/01/22			193,173		204,643
UAL Pass-Through Trust, Series 2009-2A
9.75%		01/15/17			355,737		384,196

							2,996,899

Total Corporates (Cost $59,899,283)							62,315,836

BANK LOANS — 0.16%*
Health Care — 0.16%
HCA, Inc., Term Loan B3
3.62%		05/01/18	^3,5		455,133		428,892

Total Bank Loans (Cost $452,007)
MORTGAGE-BACKED — 55.52%**
Commercial Mortgage-Backed — 10.57%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-2, Class A3
5.12%		07/11/43			212,821		214,459
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-2, Class A5
4.86%		07/10/43	³		950,000		1,023,088
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-3, Class A4
5.89%		07/10/44	³		1,010,000		1,092,374
Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class A4
5.19%		05/11/39	³		40,000		42,083
Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class A4A
5.30%		10/12/42	³		1,140,000		1,249,468
Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4
5.54%		09/11/41			470,000		517,651
Bear Stearns Commercial Mortgage Securities, Series 2006-T22, Class A4
5.70%		04/12/38	³		1,100,000		1,226,522
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4
5.69%		06/11/50	³		1,020,000		1,089,893
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4
5.89%		12/10/49	³		500,000		540,876
Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4
6.01%		12/10/49	³		235,000		254,603


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Certificates, Series 2006-C5, Class A3
5.31%		12/15/39		$	1,045,000	$	1,097,446
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		04/12/21	⁴		516,997		540,262
GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3
6.27%		12/10/35			721,061		728,259
GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3
5.35%		08/11/36			955,000		973,275
Greenwich Capital Commercial Funding Corp., Series 2002-C1, Class A4
4.95%		01/11/35			1,028,057		1,049,106
Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4
4.11%		07/05/35			993,289		1,022,449
Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7
5.32%		06/10/36	³		1,110,000		1,176,679
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4
6.07%		07/10/38	³		1,605,000		1,734,057
Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4
5.44%		03/10/39			945,000		983,768
GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4
3.71%		08/10/44	³		1,715,000		1,711,016
JPMorgan Chase Commercial Mortgage Securities Corp, Series 2006-LDP9, Class A3
5.34%		05/15/47			490,000		511,736
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB3, Class A3
6.46%		11/15/35			160,027		159,852
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4
5.44%		06/12/47			1,085,000		1,131,344
Merrill Lynch Mortgage Trust, Series 2005-LC1, Class A4
5.29%		01/12/44	³		1,190,000		1,307,948
Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class A4
4.75%		06/12/43	³		935,000		1,001,555
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class A3
5.17%		12/12/49	³		760,000		813,480
Morgan Stanley Capital I, Series 2001-C3, Class A2
3.22%		08/15/49			285,000		288,828


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Morgan Stanley Capital I, Series 2005-T19, Class A4A
4.89%		06/12/47		$	1,040,000	$	1,133,777
Morgan Stanley Capital I, Series 2007-IQ16, Class A4
5.81%		12/12/49			1,185,000		1,277,980
Morgan Stanley Capital I, Series 2011-C3, Series A4
4.12%		08/15/49			165,000		169,085
Nomura Asset Securities Corp., Series 1998-D6, Class A3
7.52%		03/15/30	³		965,000		1,033,980
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A7
5.12%		07/15/42	³		940,000		1,026,081

							28,122,980

Non-Agency Mortgage-Backed — 18.44%
Ameriquest Mortgage Securities, Inc., Series 2005-R6, Class A2
0.44%		08/25/35	³		570,957		535,535
Banc of America Funding Corp., Series 2003-2, Class 1A1
6.50%		06/25/32			10,223		10,653
Banc of America Funding Corp., Series 2006-D, Class 1A2
0.51%		05/20/36	³		2,000,000		504,925
Bear Stearns Asset Backed Securities Trust, Series 2002-1, Class 1A5 (STEP)
6.89%		12/25/34			9,238		8,899
Bear Stearns Asset Backed Securities Trust, Series 2005-HE12, Class 1A3
0.62%		12/25/35	³		800,000		708,097
CC Mortgage Funding Corp., Series 2004-1A, Class A1
0.52%		01/25/35	^3,4		339,175		238,703
CC Mortgage Funding Corp., Series 2005-2A, Class A1
0.42%		05/25/36	^3,4		306,226		180,318
Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2004-2, Class 1A4
5.32%		02/25/35			10,258		10,133
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.04%		02/25/34	³		30,125		26,465
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.42%		03/25/37	³		1,526,500		1,083,079
Conseco Finance Home Loan Trust, Series 2000-E, Class M1
8.13%		08/15/31	³		77,939		75,543


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33		$	761,363	$	830,750
Conseco Finance, Series 2001-D, Class A5
6.69%		11/15/32	³		101,690		102,713
Conseco Finance, Series 2002-A, Class A5 (STEP)
7.55%		04/15/32			197,819		202,281
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^3,4		289,298		221,452
Conseco Finance, Series 2002-C, Class MF2
6.98%		06/15/32	³		1,671		1,673
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	³		1,060,000		1,156,026
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	³		481,574		534,651
Countryplace Manufactured Housing Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^3,4		700,000		645,820
Countrywide Alternative Loan Trust, Series 2005-27, Class 2A1
1.59%		08/25/35	³		378,121		202,270
Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2
1.34%		08/25/35	³		34,451		16,910
Countrywide Alternative Loan Trust, Series 2005-72, Class A1
0.50%		01/25/36	³		743,258		471,648
Countrywide Alternative Loan Trust, Series 2006-OA16, Class A2
0.42%		10/25/46	³		2,180,826		1,210,491
Countrywide Alternative Loan Trust, Series 2006-OC3, Class 2A3
0.52%		04/25/36	³		5,487,285		1,325,772
Countrywide Asset-Backed Certificates, Series 2004-AB1, Class 2A3
1.28%		02/25/35	³		351,911		342,663
Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-14, Class 4A1
5.02%		08/25/34	³		423,127		404,026
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB3, Class AF1 (STEP)
3.38%		12/25/32			1,604,917		1,347,011
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF4 (STEP)
5.70%		12/25/36			1,324,323		842,962


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
0.30%		04/25/37	³	$	322,668	$	228,882
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2007-OA2, Class A1
1.01%		04/25/47	³		1,038,709		638,615
First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF18, Class M1
0.46%		12/25/37	³		1,475,650		50,063
Green Tree Financial Corp., Series 1998-4, Class A5
6.18%		04/01/30			638,230		644,483
Green Tree Home Improvement Loan Trust, Series 1995-C, Class B2
7.60%		07/15/20			14		13
Green Tree Home Improvement Loan Trust, Series 1997-E, Class HEB1
7.53%		01/15/29			328,221		321,533
Green Tree, Series 2008-MH1, Class A2
8.97%		04/25/38	^3,4		900,000		1,008,006
Greenpoint Manufactured Housing, Series 1999-5, Class A5
7.82%		12/15/29	³		875,000		957,983
GSAMP Trust, Series 2006-HE6, Class A4
0.48%		08/25/36	³		2,200,000		778,932
GSR Mortgage Loan Trust, Series 2004-9, Class 5A7
2.28%		08/25/34	³		1,469,000		1,253,888
HSBC Home Equity Loan Trust, Series 2006-4, Class A3V
0.38%		03/20/36	³		1,479,743		1,411,514
HSBC Home Equity Loan Trust, Series 2007-2, Class A2F (STEP)
5.69%		07/20/36			1,450,075		1,443,356
HSBC Home Equity Loan Trust, Series 2007-2, Class M1
0.54%		07/20/36	³		1,110,000		749,535
Indymac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1
3.06%		10/25/34	³		151,906		138,869
Indymac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
0.64%		11/25/34	³		52,960		33,902
Indymac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
3.24%		06/25/37	³		2,454,945		1,255,097
Indymac Index Mortgage Loan Trust, Series 2007-AR5, Class 1A1
4.94%		05/25/37	³		18,185		8,379
Indymac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			556,649		554,529


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Indymac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%		02/25/28		$	148,184	$	147,621
Lake Country Mortgage Loan Trust, Series 2006-HE1, Class M5
2.24%		07/25/34	⁴		700,000		301,000
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		09/15/18			507,948		530,942
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A5
5.87%		05/15/22			291,864		307,461
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		08/15/28	³		919,798		997,253
Lehman XS Trust, Series 2007-12N, Class 1A3A
0.44%		07/25/47	³		4,500,000		1,443,427
Lehman XS Trust, Series 2007-14H, Class A12
0.74%		07/25/47	³		6,941,794		865,402
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
2.82%		01/25/34	³		1,850		1,483
MASTR Asset Securitization Trust, Series 2002-8, Class 1A1
5.50%		12/25/17			5,114		5,281
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
2.76%		10/25/32	³		3,344		2,822
MASTR Seasoned Securities Trust, Series 2004-2, Class A2
6.50%		08/25/32			95,431		99,179
MASTR Seasoned Securities Trust, Series 2005-1, Class 4A1
2.70%		10/25/32	³		7,570		6,866
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
0.42%		06/25/37	³		811,700		362,923
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
0.48%		06/25/37	³		1,500,000		644,759
Mid-State Trust, Series 11, Class A1
4.86%		07/15/38			1,269,134		1,281,205
Mid-State Trust, Series 2004-1, Class A
6.00%		08/15/37			640,801		674,683
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			823,887		826,066
Mid-State Trust, Series 2004-1, Class M1
6.50%		08/15/37			686,572		688,585
Mid-State Trust, Series 2005-1, Class M2
7.08%		01/15/40			1,013,099		1,026,634


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley ABS Capital I, Series 2004-NC7, Class M2
0.86%		07/25/34	³	$	2,000,000	$	1,801,004
Morgan Stanley ABS Capital I, Series 2005-HE3, Class M3
0.76%		07/25/35	³		1,903,000		1,369,363
Nationstar Home Equity Loan Trust, Series 2006-B, Class AV4
0.52%		09/25/36	³		2,450,000		1,439,565
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4
6.35%		03/15/17			22,676		22,728
Option One Mortgage Loan Trust, Series 2007-6, Class 2A4
0.48%		07/25/37	³		2,159,800		733,135
Origen Manufactured Housing, Series 2004-A, Class M2
6.64%		01/15/35	³		647,496		656,033
Residential Accredit Loans, Inc., Series 2003-QS17, Class NB1
5.25%		09/25/33			5,882		5,870
Residential Asset Mortgage Products, Inc., Series 2002-RS4, Class AI5 (STEP)
6.16%		08/25/32			2,220		1,155
Residential Asset Mortgage Products, Inc., Series 2003-RS1, Class AI5 (STEP)
5.69%		03/25/33			15,836		8,416
Residential Asset Mortgage Products, Inc., Series 2003-SL1, Class A41
8.00%		04/25/31			55,607		58,981
Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1
2.66%		12/25/34	³		98,996		88,191
Residential Funding Mortgage Securities II, Inc., Series 2001-HI3, Class AI7 (STEP)
7.56%		07/25/26			511,692		480,705
Residential Funding Mortgage Securities II, Inc., Series 2003-HS2, Class AI4 (STEP)
3.87%		07/25/33			17,066		16,224
Resmae Mortgage Loan Trust, Series 2006-1, Class A1B
0.50%		02/25/36	^3,4		8,563		84
SG Mortgage Securities Trust, Series 2006-FRE1, Class A1B
0.50%		02/25/36	³		80,104		40,194
Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C
0.38%		12/25/36	³		1,680,000		1,395,615
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-5, Class 3A1
5.78%		06/25/37	³		1,648,926		1,205,317


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments, Inc., Series 2005-AR3, Class 1A1
0.50%		08/25/35	³	$	1,148,948	$	683,203
Structured Asset Mortgage Investments, Inc., Series 2005-AR8, Class A2
1.72%		02/25/36	³		1,416,667		893,978
Terwin Mortgage Trust, Series 2005-9HGS, Class A1
4.00%		08/25/35	^3,4		9,460		9,206
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.96%		04/15/30	³		3,657		1,524
UCFC Home Equity Loan, Series 1998-D, Class MF1
6.90%		04/15/30			118,429		119,988
Vanderbilt Mortgage Finance, Series 2000-C, Class ARM
0.57%		10/07/30	³		694,227		641,194
Vanderbilt Mortgage Finance, Series 2001-A, Class M1
7.74%		04/07/31	³		725,703		772,190
WaMu Mortgage Pass Through Certificates, Series 2002-AR18, Class A
2.59%		01/25/33	³		22,293		20,616
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A
0.94%		01/25/47	³		2,217,578		993,080
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A1
1.01%		04/25/47	³		766,228		418,002
Wells Fargo Home Equity Trust, Series 2006-1, Class A3
0.38%		05/25/36	³		253,007		247,082

							49,055,283

U.S. Agency Mortgage-Backed — 26.51%
Fannie Mae (TBA)
3.00%		10/25/26			7,015,000		7,224,354
4.00%		10/25/41			9,855,000		10,329,272
Fannie Mae Pool 253974
7.00%		08/01/31			19,761		22,464
Fannie Mae Pool 254232
6.50%		03/01/22			31,047		34,247
Fannie Mae Pool 527247
7.00%		09/01/26			123		140
Fannie Mae Pool 545191
7.00%		09/01/31			10,193		11,587
Fannie Mae Pool 545646
7.00%		09/01/26			86		98


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 549740
6.50%		10/01/27		$	31,137	$	34,415
Fannie Mae Pool 555177
2.39%		01/01/33	³		32,310		33,625
Fannie Mae Pool 555284
7.50%		10/01/17			1,612		1,754
Fannie Mae Pool 606108
7.00%		03/01/31			1,733		1,989
Fannie Mae Pool 630599
7.00%		05/01/32			17,033		19,624
Fannie Mae Pool 655928
7.00%		08/01/32			10,655		12,288
Fannie Mae Pool 735207
7.00%		04/01/34			8,434		9,626
Fannie Mae Pool 735646
4.50%		07/01/20			18,979		20,342
Fannie Mae Pool 735686
6.50%		12/01/22			167,846		185,146
Fannie Mae Pool 735861
6.50%		09/01/33			261,297		296,028
Fannie Mae Pool 764388
5.02%		03/01/34	³		212,945		229,071
Fannie Mae Pool 770869
2.33%		04/01/34	³		402,138		422,817
Fannie Mae Pool 776708
5.00%		05/01/34			701,215		767,706
Fannie Mae Pool 817611
5.28%		11/01/35	³		125,673		135,010
Fannie Mae Pool 844773
5.19%		12/01/35	³		9,033		9,711
Fannie Mae Pool 889117
5.00%		10/01/35			2,280,421		2,460,003
Fannie Mae Pool 889125
5.00%		12/01/21			857,158		926,233
Fannie Mae Pool 889184
5.50%		09/01/36			900,871		984,821
Fannie Mae Pool 890221
5.50%		12/01/33			1,447,601		1,578,733
Fannie Mae Pool 895606
5.71%		06/01/36	³		305,436		332,257
Fannie Mae Pool 918445
5.81%		05/01/37	³		30,273		32,931
Fannie Mae Pool 939419
5.62%		05/01/37	³		474,123		510,616
Fannie Mae Pool AD0249
5.50%		04/01/37			2,660,711		2,901,734
Fannie Mae Pool AD0791
4.76%		02/01/20			993,410		1,117,939


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AE0600
3.97%		11/01/20		$	1,047,837	$	1,131,558
Fannie Mae Pool AE0605
4.67%		07/01/20			999,841		1,121,755
Fannie Mae Pool AH3428
3.50%		01/01/26			3,164,478		3,334,198
Fannie Mae Pool AL0209
4.50%		05/01/41			1,213,835		1,307,386
Fannie Mae Whole Loan, Series 2003-W6, Class 5T (IO)
0.55%		09/25/42	³		32,593,149		468,905
Fannie Mae, Series 1989-25, Class G
6.00%		06/25/19			3,089		3,381
Fannie Mae, Series 1992-116, Class B
6.50%		06/25/22			494		539
Fannie Mae, Series 1993-225, Class SG
26.46%		12/25/13	³		56,235		66,853
Fannie Mae, Series 1993-80, Class S
10.57%		05/25/23	³		20,368		23,256
Fannie Mae, Series 2001-52, Class YZ
6.50%		10/25/31			483,720		568,497
Fannie Mae, Series 2003-27, Class SG (IO)
7.42%		04/25/17	³		3,029,087		121,336
Fannie Mae, Series 2007-64, Class FA
0.70%		07/25/37	³		847,266		842,897
Fannie Mae, Series 2008-50, Class SA (IO)
5.82%		11/25/36	³		7,807,567		1,168,398
Freddie Mac Gold Pool A25162
5.50%		05/01/34			939,456		1,021,842
Freddie Mac Gold Pool A33262
5.50%		02/01/35			137,455		152,283
Freddie Mac Gold Pool A68781
5.50%		10/01/37			34,691		37,994
Freddie Mac Gold Pool A94843
4.00%		11/01/40			2,463,745		2,595,915
Freddie Mac Gold Pool C90504
6.50%		12/01/21			3,989		4,413
Freddie Mac Gold Pool E01279
5.50%		01/01/18			5,576		6,019
Freddie Mac Gold Pool E90474
6.00%		07/01/17			11,058		12,037
Freddie Mac Gold Pool G01548
7.50%		07/01/32			792,144		939,859
Freddie Mac Gold Pool G01601
4.00%		09/01/33			22,160		23,432
Freddie Mac Gold Pool G01611
4.00%		09/01/33			8,400		8,882
Freddie Mac Gold Pool G01644
5.50%		02/01/34			744,097		810,880


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G01673
5.50%		04/01/34		$	65,063	$	72,082
Freddie Mac Gold Pool G02366
6.50%		10/01/36			546,335		606,155
Freddie Mac Gold Pool G03640
5.50%		12/01/37			822,116		906,691
Freddie Mac Gold Pool G06242
4.50%		09/01/40			2,543,970		2,733,183
Freddie Mac Gold Pool G06354
4.00%		04/01/41			1,260,758		1,321,825
Freddie Mac Gold Pool G06499
4.00%		03/01/41			1,754,060		1,846,240
Freddie Mac Gold Pool G11707
6.00%		03/01/20			9,507		10,348
Freddie Mac Gold Pool G12393
5.50%		10/01/21			751,935		815,908
Freddie Mac Gold Pool G12909
6.00%		11/01/22			745,442		805,485
Freddie Mac Gold Pool G13032
6.00%		09/01/22			590,962		637,823
Freddie Mac Gold Pool J06246
5.50%		10/01/21			435,679		472,761
Freddie Mac Gold Pool J13884
3.50%		12/01/25			2,598,194		2,711,837
Freddie Mac Non Gold Pool 1B3413
5.93%		05/01/37	³		598,761		645,571
Freddie Mac Non Gold Pool 1J0045
5.09%		01/01/36	³		14,523		15,515
Freddie Mac, Series 1602, Class SN
10.09%		10/15/23	³		14,590		17,921
Freddie Mac, Series 1688, Class W
7.25%		03/15/14			2,906		3,058
Freddie Mac, Series 2174, Class PN
6.00%		07/15/29			185,185		201,006
Freddie Mac, Series 2561, Class BX (IO)
5.00%		05/15/17			29,238		432
Freddie Mac, Series 2929, Class PE
5.00%		05/15/33			55,000		59,528
Freddie Mac, Series R001, Class AE
4.38%		04/15/15			118,024		118,566
Ginnie Mae I (TBA)
4.00%		10/15/40			1,230,000		1,315,716
Ginnie Mae I Pool 782810
4.50%		11/15/39			2,655,868		2,905,893
Ginnie Mae II Pool 80968
2.62%		07/20/34	³		69,530		71,596
Government National Mortgage Association, Series 2003-28, Class LI (IO)
5.50%		02/20/32			33,236		1,178


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Government National Mortgage Association, Series 2004-8, Class SE
13.83%		11/26/23	³	$	134,147	$	166,161
NCUA Guaranteed Notes, Series 2010-R2, Class 1A
0.59%		11/06/17	³		1,855,237		1,855,812
NCUA Guaranteed Notes, Series 2010-R2, Class 2A
0.69%		11/05/20	³		1,123,877		1,127,035
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.75%		03/09/21	³		1,378,757		1,382,204
NCUA Guaranteed Notes, Series 2011-R2, Class 1A
0.62%		02/06/20	³		1,294,501		1,296,935

							70,543,561

Total Mortgage-Backed (Cost $143,177,125)							147,721,824

MUNICIPAL BONDS — 1.07%*
California — 0.46%
State of California, Taxable, Various Purpose
6.20%		10/01/19			866,000		987,561
State of California, Taxable, Various Purpose, Series 3
5.95%		04/01/16			225,000		253,789

							1,241,350

Illinois — 0.61%
State of Illinois, Taxable Bonds
4.07%		01/01/14			800,000		825,408
5.66%		03/01/18			525,000		565,645
5.88%		03/01/19			210,000		224,349

							1,615,402

Total Municipal Bonds (Cost $2,653,312)							2,856,752

U.S. AGENCY SECURITIES — 5.37%
U.S. Agency Securities — 5.37%
Fannie Mae
0.36%		06/23/14	³		2,225,000		2,227,781
0.55%		09/06/13			2,535,000		2,535,944
0.60%		09/12/13			5,125,000		5,129,985
Freddie Mac
0.22%		10/12/12	³		4,390,000		4,389,658

							14,283,368

Total U.S. Agency Securities (Cost $14,273,144)							14,283,368


Issues	Maturity Date			Principal Amount		Value
U.S. TREASURY SECURITIES — 8.58%
U.S. Treasury Notes — 8.58%
U.S. Treasury Notes
2.12%		08/15/21		$	14,470,000	$	14,725,486
U.S. Treasury Notes - Treasury Inflation Indexed Notes
3.00%		07/15/12			6,280,000		8,116,059

Total U.S. Treasury Securities (Cost $22,537,074)							22,841,545

Total Bonds – 100.50% (Cost $259,807,107)							267,413,335

SHORT-TERM INVESTMENTS — 5.33%
Commercial Paper — 1.77%
National Australia Funding Corp.
0.23%⁶		11/01/11	⁴		2,355,000		2,354,708
UBS Finance Corp.
0.25%⁶		11/07/11			2,355,000		2,354,481

							4,709,189

Money Market Fund — 2.45%
BlackRock Liquidity Funds TempFund Portfolio
0.09%⁷					25,000		25,000
Dreyfus Cash Advantage Fund
0.09%⁷					2,456,000		2,456,000
DWS Money Market Series-Institutional
0.06%⁷					180,000		180,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.07%⁷					2,595,000		2,595,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.10%^7,8					1,268,000		1,268,000

							6,524,000

U.S. Agency Discount Notes — 1.07%
Fannie Mae
0.08%⁶		12/19/11			875,000		874,982
0.08%⁶		12/19/11			1,980,000		1,979,958

							2,854,940

U.S. Treasury Bills — 0.04%
U.S. Treasury Bills
0.01%⁶		11/10/11	⁹		45,000		45,000
0.01%⁶		11/10/11	⁹		15,000		15,000
0.01%⁶		11/10/11	⁹		32,000		32,000

							92,000

Total Short-Term Investments (Cost $14,179,511)							14,180,129


	Value
Total Investments – 105.83% (Cost $273,986,618)¹	$	281,593,464

Liabilities in Excess of Other Assets – (5.83)%		(15,517,500	)

Net Assets – 100.00%	$	266,075,964


Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
17	U.S. Treasury Ten Year Note, Expiration December 2011	$	12,980

	Net unrealized appreciation	$	12,980


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
2	Euro Dollar Ninety Day, Expiration December 2011	$	(14,180	)
2	Euro Dollar Ninety Day, Expiration March 2012		(14,930	)
2	Euro Dollar Ninety Day, Expiration June 2012		(15,955	)

	Net unrealized depreciation	$	(45,065	)


	Expiration Date	Premiums Paid		Notional Amount (000’s) ^b		Appreciation		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
	09/20/16	$	5,780	$	135	$	9,366	$	15,146
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc.
	09/20/16		5,780		135		9,366		15,146
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: Citigroup, Inc.
	09/20/16		269		125		8,656		8,925

		$	11,829	$	395	$	27,388	$	39,217


	Expiration Date	Premiums Paid		Notional Amount (000’s) ^b		Appreciation/ (Depreciation)		Value^c
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
	10/12/52	$	17,728	$	215	$	34,176	$	51,904


	Expiration Date	Premiums Paid		Notional Amount (000’s) ^b		Appreciation/ (Depreciation)			Value^c
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES (continued)
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
	10/12/52	$	23,123	$	250	$	37,230		$	60,353
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
	10/12/52		928,816		1,605		(541,348	)		387,468

		$	969,667	$	2,070	$	(469,942	)	$	499,725


Expiration Date	Credit Rating^a	Premiums (Received)			Notional Amount (000’s) ^b		(Depreciation)			Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Barclays Capital, Inc.
09/20/16	A+	$	(123,697	)	$	2,220	$	(38,376	)	$	(162,073	)

		$	(123,697	)	$	2,220	$	(38,376	)	$	(162,073	)


	Expiration Date	Premiums (Received)			Notional Amount (000’s) ^b		(Depreciation)			Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
01/25/38		$	(1,296,666	)	$	2,234	$	(151,184	)	$	(1,447,850	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
01/25/38			(89,007	)		146		(5,418	)		(94,425	)

		$	(1,385,673	)	$	2,380	$	(156,602	)	$	(1,542,275	)


	Expiration Date	Premiums (Received)			Notional Amount (000’s) ^b		Appreciation			Value^c
SWAPTION: RATE FLOOR INFLATION
The Fund received a fixed payment equal to $13,685 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swaption 11/23/20. Counterparty: Citigroup, Inc.
11/23/20		$	(13,685	)	$	1,190	$	7,973		$	(5,712	)

		$	(13,685	)	$	1,190	$	7,973		$	(5,712	)

a	Using Standard & Poor’s rating of the issuer.

b	The maximum potential payment the Fund could be required to make 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 the swap agreement.

Notes:

¹	Cost for federal income tax purposes is $274,168,783 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	11,375,554
Gross unrealized depreciation		(3,950,873	)

Net unrealized appreciation	$	7,424,681

²	U.S. dollar-denominated security issued by foreign-domiciled entity.

³	Floating rate security. The rate disclosed was in effect at September 30, 2011.

⁴

⁵	Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
10/22/07	HCA, Inc., Term Loan B3, 3.62%, 05/01/18	$	452,007	$	428,892	0.16%

⁶	Represents annualized yield at date of purchase.

⁷	Represents the current yield as of September 30, 2011.

⁸	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,268,000.

⁹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $91,999.

^†

Fair valued security. The aggregate value of fair valued securities is $580,996, which is 0.22% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

^*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

^**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.


Issues	Maturity Date			Principal Amount		Value
BONDS — 102.69%
ASSET-BACKED SECURITIES — 5.61%**
Aerco Ltd., Series 2A, Class A3 (United Kingdom)
0.69%		07/15/25	^2,3,4	$	82,548,393	$	61,911,295
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1
0.49%		06/14/37	^3,4		49,234,874		43,572,864
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
0.53%		11/14/33	^2,3,4		53,786,172		47,331,831
Bayview Commercial Asset Trust, Series 2004-3, Class A1
0.60%		01/25/35	^3,4		6,233,030		4,886,970
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
0.54%		04/25/35	^3,4		6,578,596		5,210,261
Bayview Commercial Asset Trust, Series 2005-2A, Class A1
0.54%		08/25/35	^3,4		14,943,005		11,551,152
Bayview Commercial Asset Trust, Series 2006-3A, Class A1
0.48%		10/25/36	^3,4		6,765,878		4,936,151
Bayview Commercial Asset Trust, Series 2006-4A, Class A1
0.46%		12/25/36	^3,4		311,982		225,215
Bayview Commercial Asset Trust, Series 2007-1, Class A1
0.46%		03/25/37	^3,4		3,595,298		2,581,813
Bayview Commercial Asset Trust, Series 2007-2A, Class A1
0.50%		07/25/37	^3,4		19,304,228		13,398,428
Bayview Commercial Asset Trust, Series 2007-3, Class A1
0.48%		07/25/37	^3,4		3,377,221		2,469,948
Brazos Higher Education Authority, Inc. 2005-1 1A4
0.46%		03/26/29	³		10,000,000		9,276,000
Brazos Higher Education Authority, Series 2011-2, Class A3
1.25%		10/27/36	³		24,400,000		22,211,083
CIT Education Loan Trust, Series 2007-1, Class A
0.45%		03/25/42	^3,4		24,730,774		22,640,353
CIT Education Loan Trust, Series 2007-1, Class B
0.66%		06/25/42	^3,4		25,000,000		18,511,123
College Loan Corp. Trust, Series 2005-2, Class B
0.74%		01/15/37	³		7,500,000		5,699,347
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF4 (STEP)
5.85%		01/25/37			10,293,948		3,855,830


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF5 (STEP)
5.85%		01/25/37		$	19,246,741	$	7,526,790
Discover Card Master Trust, Series 2009-A2, Class A
1.53%		02/17/15	³		7,275,000		7,332,115
GE Business Loan Trust, Series 2004-1, Class A
0.52%		05/15/32	^3,4		31,124,616		29,061,263
GE Business Loan Trust, Series 2005-1A, Class A3
0.48%		06/15/33	^3,4		17,589,281		14,869,342
GE Business Loan Trust, Series 2005-2A, Class A
0.47%		11/15/33	^3,4		41,184,963		34,665,671
GE Seaco Finance SRL, Series 2004-1A, Class A (Barbados)
0.53%		04/17/19	^2,3,4		11,599,168		11,286,883
GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados)
0.48%		11/17/20	^2,3,4		38,393,751		36,881,571
Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda)
0.47%		12/19/32	^2,3,4		45,361,157		40,038,309
Goal Capital Funding Trust, Series 2005-2, Class B
0.84%		11/25/44	³		20,000,000		16,419,394
Green Tree Recreational Equipment & Consumer Trust, Series 1996-D, Class CTFS
7.24%		12/15/22			55,363		36,918
GSC Partners Gemini Fund Ltd., Series 1A, Class A (Cayman Islands)
0.90%		10/10/14	^2,3,4		1,540,463		1,505,803
Lease Investment Flight Trust, Series 1, Class A1
0.62%		07/15/31	³		23,260,000		15,235,300
Lease Investment Flight Trust, Series 1, Class A2
0.66%		07/15/31	³		67,270,000		43,767,207
Lehman Brothers Small Balance Commercial, Series 2007-1A, Class 2A3
5.62%		03/25/37	^3,4		15,000,000		11,892,117
North Carolina State Education Authority 2011-1 A3
1.15%		10/25/41	³		27,000,000		24,774,930
Northstar Education Finance, Inc., Student Loan Asset Backed Notes, Series 2007-1
1.00%		01/29/46	³		33,775,000		31,995,530
PAMCO CLO, Series 1998-1A, Class B2 (Cayman Islands)
1.60%		12/31/11	^2,3,4,5,†		887,964		17,759


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A3
1.21%		10/01/37	³	$	16,665,000	$	15,862,045
SLC Student Loan Trust, Series 2008-1, Class A4A
1.95%		12/15/32	³		17,375,000		17,948,114
South Carolina Student Loan Corp., Series A2
0.37%		12/01/22	³		29,000,000		26,851,970
TAL Advantage LLC 2006-1 NOTE
0.42%		04/20/21	^3,4		33,240,625		30,280,318
TAL Advantage LLC, Series 2010-2A, Class A
4.30%		10/20/25	⁴		10,318,667		9,807,370
TAL Advantage LLC, Series 2011-1A, Class A
4.60%		01/20/26	⁴		14,000,000		14,022,805
TAL Advantage LLC, Series 2011-2A, Class A
4.31%		05/20/26	⁴		11,358,333		11,558,439
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.48%		05/15/20	^2,3,4		2,841,667		2,644,881
Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda)
4.70%		06/15/26	^2,4		23,824,125		23,998,034
Trinity Rail Leasing LP, Series 2006-1A, Class A1
5.90%		05/14/36	⁴		7,348,445		8,000,391
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A
8.00%		07/06/14	^4,5,†		29,875,000		29,874,842
Triton Container Finance LLC, Series 2006-1A NOTE
0.40%		11/26/21	^3,4		31,261,435		28,517,347
Triton Container Finance LLC, Series 2007-1A NOTE
0.37%		02/26/19	^3,4		18,487,155		17,206,411
US Education Loan Trust LLC, Series 2006-2A, Class A1
0.51%		03/01/31	^3,4		51,025,000		45,505,161

Total Asset-Backed Securities (Cost $887,104,274)							889,654,694

CORPORATES — 25.06%*
Banking — 5.49%
Abbey National Treasury Services Plc/London (United Kingdom)
2.88%		04/25/14	²		740,000		696,656
3.88%		11/10/14	^2,4		23,210,000		22,302,721
Abbey National Treasury Services Plc/Stamford CT (YCD) (United Kingdom)
1.55%		04/25/13	^2,3		13,950,000		14,115,593
Ally Financial, Inc.
2.53%		12/01/14	³		9,009,000		8,558,550
BAC Capital Trust XV
1.13%		06/01/56	³		17,450,000		10,113,124


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Bank of America Corp.
1.80%		07/11/14	³	$	5,485,000	$	4,891,204
5.62%		07/01/20			48,635,000		44,871,089
5.75%		12/01/17			1,145,000		1,075,210
5.88%		01/05/21			25,000,000		23,670,575
6.00%		09/01/17			300,000		288,983
6.50%		08/01/16			4,820,000		4,791,369
Bank of America N.A. (BKNT)
0.65%		06/15/17	³		30,420,000		22,408,923
6.10%		06/15/17			52,493,000		48,939,381
Bank One Corp. (STEP)
8.53%		03/01/19			1,700,000		2,050,245
BankAmerica Capital II, Series 2
8.00%		12/15/26			800,000		748,000
BankAmerica Capital III
0.82%		01/15/27	³		11,097,000		6,930,889
BankAmerica Institutional Capital A
8.07%		12/31/26	⁴		350,000		323,750
Barclays Bank Plc (United Kingdom)
5.20%		07/10/14	²		12,079,000		12,360,851
Capital One Financial Corp.
7.38%		05/23/14			3,710,000		4,146,541
Chase Capital VI
0.88%		08/01/28	³		8,640,000		6,807,478
City National Corp./CA
5.12%		02/15/13			6,200,000		6,356,724
Commonwealth Bank of Australia (Australia)
1.08%		03/17/14	^2,3,4		14,785,000		14,802,736
2.12%		03/17/14	^2,4		28,275,000		28,419,816
Credit Suisse AG/Guernsey, Series 1 (Switzerland)
0.98%		05/29/49	^2,3		61,409,000		40,156,573
Credit Suisse USA, Inc.
5.12%		08/15/15			15,000		15,838
Credit Suisse/New York (MTN) (Switzerland)
5.00%		05/15/13	²		14,868,000		15,372,442
Credit Suisse/New York (Switzerland)
5.30%		08/13/19	²		630,000		635,986
5.50%		05/01/14	²		11,790,000		12,471,226
6.00%		02/15/18	²		36,759,000		37,351,151
Deutsche Bank AG/London, Series G (MTN) (Germany)
4.88%		05/20/13	²		14,320,000		14,804,789
Discover Bank/Greenwood DE (BKNT)
8.70%		11/18/19			15,510,000		17,747,286
First Chicago NBD Institutional Capital I
0.80%		02/01/27	³		5,355,000		4,251,953
Fleet Capital Trust II
7.92%		12/11/26			770,000		698,775


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
HBOS Capital Funding LP (United Kingdom)
6.07%		06/24/49	^2,3,4	$	5,823,000	$	3,552,030
HBOS Plc, Series G (MTN) (United Kingdom)
6.75%		05/21/18	^2,4		29,473,000		25,705,838
HSBC Bank Plc (United Kingdom)
1.05%		01/17/14	^2,3,4		29,100,000		29,101,912
3.10%		05/24/16	^2,4		28,270,000		28,196,284
HSBC Holdings Plc (United Kingdom)
5.10%		04/05/21	²		23,395,000		24,321,528
JPMorgan Chase & Co.
4.25%		10/15/20			9,525,000		9,504,684
4.62%		05/10/21			36,300,000		37,241,869
6.30%		04/23/19			170,000		192,268
JPMorgan Chase & Co., Series C (MTN)
0.00%		07/23/13	³		2,500,000		2,475,750
JPMorgan Chase Bank N.A. (BKNT)
5.88%		06/13/16			5,040,000		5,335,536
6.00%		07/05/17			13,000		14,030
6.00%		10/01/17			37,477,000		39,449,227
Lloyds TSB Bank Plc (United Kingdom)
6.38%		01/21/21	²		52,464,000		51,703,901
M&T Capital Trust III
9.25%		02/01/27			10,200,000		10,296,472
National Australia Bank Ltd. (Australia)
5.35%		06/12/13	^2,4		20,425,000		21,609,244
National Capital Trust II
5.49%		12/29/49	^3,4		2,717,000		2,394,669
Nationsbank Cap Trust III
0.80%		01/15/27	³		8,684,000		5,383,481
NB Capital Trust IV
8.25%		04/15/27			3,549,000		3,318,315
Royal Bank of Scotland Plc (United Kingdom)
3.95%		09/21/15	²		10,970,000		10,330,956
Royal Bank of Scotland Plc (United Kingdom)
3.25%		01/11/14	²		32,400,000		31,431,240
Royal Bank of Scotland Plc, Series 1 (United Kingdom)
2.72%		08/23/13	^2,3		10,830,000		10,799,394
Svenska Handelsbanken AB (Sweden)
4.88%		06/10/14	^2,4		23,240,000		24,573,000
Union Bank NA (BKNT)
3.00%		06/06/16			15,875,000		15,839,768
Wachovia Corp.
0.59%		10/28/15	³		13,165,000		11,964,881
Wachovia Corp. (MTN)
5.50%		05/01/13			35,000		37,207


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Westpac Banking Corp. (Australia)
1.10%		03/31/14	^2,3,4	$	32,750,000	$	32,790,462
4.88%		11/19/19	²		225,000		234,342

							870,974,715

Communications — 1.72%
AT&T, Inc. (PIK)
5.55%		08/15/41			24,530,000		26,488,534
CCH II LLC/CCH II Capital Corp.
13.50%		11/30/16			7,520,000		8,619,800
Cincinnati Bell, Inc.
8.25%		10/15/17			1,000,000		975,000
Comcast Cable Communications Holdings, Inc.
9.46%		11/15/22			250,000		361,405
CSC Holdings LLC
8.50%		04/15/14			36,377,000		39,423,574
8.50%		06/15/15			19,986,000		21,135,195
Intelsat Jackson Holdings SA (PIK) (Luxembourg)
9.50%		06/15/16	²		36,228,000		36,816,705
iPCS, Inc.
2.38%		05/01/13	³		6,255,000		5,723,325
Nextel Communications, Inc., Series C
5.95%		03/15/14			37,620,000		35,362,800
Nextel Communications, Inc., Series E
6.88%		10/31/13			34,231,000		33,460,803
Qwest Communications International, Inc.
8.00%		10/01/15			10,953,000		11,555,415
Qwest Communications International, Inc., Series B
7.50%		02/15/14			7,000,000		7,017,500
Qwest Corp.
6.75%		12/01/21			35,120,000		34,331,946
Telecom Italia Capital SA (Luxembourg)
7.72%		06/04/38	²		125,000		119,507
Verizon Communications, Inc.
1.95%		03/28/14			9,646,000		9,881,491
Windstream Corp.
8.62%		08/01/16			1,565,000		1,631,513

							272,904,513

Consumer Discretionary — 0.00%
Altria Group, Inc.
10.20%		02/06/39			75,000		109,325

Electric — 2.40%
Calpine Construction Finance Co. LP and CCFC Finance Corp.
8.00%		06/01/16	⁴		77,817,000		80,151,510


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Cedar Brakes I LLC
8.50%		02/15/14	⁴	$	3,779,798	$	4,000,204
Cedar Brakes II LLC
9.88%		09/01/13	⁴		3,843,451		4,055,692
Cleco Power LLC
6.65%		06/15/18			17,795,000		21,109,888
Coso Geothermal Power Holdings
7.00%		07/15/26	⁴		27,883,568		20,470,359
Dynegy Roseton/Danskammer Pass Through Trust Series B, Series B
7.67%		11/08/16			54,205,000		29,812,750
Entergy Gulf States Louisiana LLC (WI)
6.00%		05/01/18			17,500,000		20,211,503
Entergy Louisiana LLC
4.80%		05/01/21			500,000		541,752
FirstEnergy Corp., Series C
7.38%		11/15/31			120,000		145,816
FPL Energy National Wind Portfolio LLC
6.12%		03/25/19	⁴		279,852		273,340
FPL Energy Wind Funding LLC
6.88%		06/27/17	⁴		1,173,000		1,032,240
GenOn REMA LLC, Series B
9.24%		07/02/17			16,392,565		16,802,379
GenOn REMA LLC, Series C
9.68%		07/02/26			1,325,000		1,351,500
Kansas City Power & Light Co.
6.38%		03/01/18			4,290,000		5,058,656
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			27,754,000		29,854,173
Mirant Mid Atlantic Pass Through Trust A, Series A
8.62%		06/30/12			3,002,513		3,013,772
Mirant Mid Atlantic Pass Through Trust B, Series B
9.12%		06/30/17			25,401,515		25,909,545
Mirant Mid Atlantic Pass Through Trust C, Series C
10.06%		12/30/28			5,202,732		5,462,869
Nevada Power Co.
5.45%		05/15/41			600,000		740,416
NextEra Energy Capital Holdings, Inc.
4.50%		06/01/21			500,000		530,369
5.35%		06/15/13			955,000		1,021,210
Nisource Finance Corp.
6.12%		03/01/22			400,000		450,798
NRG Energy, Inc.
7.38%		01/15/17			18,653,000		19,329,171
7.62%		01/15/18	⁴		15,060,000		14,081,100
7.62%		05/15/19	⁴		4,595,000		4,342,275


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
PNM Resources, Inc.
9.25%		05/15/15		$	4,280,000	$	4,750,800
Public Service Co. Of New Hampshire
4.05%		06/01/21			1,250,000		1,331,937
6.00%		05/01/18			5,000,000		5,936,780
Public Service Co. of New Mexico
7.95%		05/15/18			41,137,000		47,262,916
PVNGS II Funding Corp., Inc.
8.00%		12/30/15			1,529,000		1,682,348
Southwestern Electric Power Co.
6.45%		01/15/19			291,000		348,376
Texas-New Mexico Power Co.
9.50%		04/01/19	⁴		530,000		696,851
Virginia Electric and Power Co.
5.10%		11/30/12			9,295,000		9,740,602

							381,503,897

Energy — 2.10%
Allis-Chalmers Energy, Inc.
8.50%		03/01/17			1,000,000		985,000
Arch Coal, Inc.
7.00%		06/15/19	⁴		32,569,000		31,103,395
El Paso Pipeline Partners
4.10%		11/15/15			46,175,000		47,018,340
5.00%		10/01/21			9,825,000		9,788,156
OPTI Canada, Inc. (Canada)
7.88%		12/15/14	^2,6,7		750,000		468,750
Panhandle Eastern Pipeline Co. LP
6.20%		11/01/17			2,250,000		2,616,669
8.12%		06/01/19			2,292,000		2,909,485
Petrobras International Finance Co. - Pifco (Cayman Islands)
6.88%		01/20/40	²		150,000		159,750
Sabine Pass LNG LP
7.25%		11/30/13			60,519,000		58,854,728
7.50%		11/30/16			32,763,000		30,797,220
7.50%		11/30/16	⁴		15,768,000		14,191,200
Southern Union Co.
7.20%		11/01/66	³		75,433,000		64,118,050
Tennessee Gas Pipeline Co.
8.00%		02/01/16			24,815,000		28,950,072
Valero Energy Corp.
7.50%		04/15/32			8,720,000		10,087,906
Williams Cos., Inc.
7.88%		09/01/21			21,337,000		25,340,440
8.75%		03/15/32			4,185,000		5,608,365

							332,997,526


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance — 8.43%
Alta Wind Holdings LLC
7.00%		06/30/35	⁴	$	17,405,926	$	19,242,884
Astoria Depositor Corp.
8.14%		05/01/21	⁴		14,575,000		12,971,750
BankBoston Capital Trust III
1.10%		06/15/27	³		16,705,000		10,612,670
Barnett Capital III
0.88%		02/01/27	³		3,260,000		2,046,025
Bear Stearns Cos. LLC
4.65%		07/02/18			4,330,000		4,528,721
7.25%		02/01/18			20,595,000		24,308,670
Cantor Fitzgerald LP
6.38%		06/26/15	⁴		15,325,000		15,072,360
Chase Capital II, Series B
0.75%		02/01/27	³		6,700,000		5,294,552
CIT Group, Inc.
5.25%		04/01/14	⁴		34,392,000		32,564,925
6.62%		04/01/18	⁴		17,150,000		16,624,781
7.00%		05/01/14			4,786,160		4,881,883
7.00%		05/01/15	⁴		10,738,000		10,670,887
7.00%		05/02/16	⁴		500,000		478,750
7.00%		05/02/17	⁴		4,230,000		4,103,100
Citigroup Capital III
7.62%		12/01/36			7,438,000		7,523,820
Citigroup Funding, Inc., Series 2
0.58%		04/30/12	³		30,870,000		30,940,939
Citigroup, Inc.
0.55%		11/05/14	³		14,309,000		13,204,860
0.86%		08/25/36	³		24,399,000		16,044,758
3.95%		06/15/16			3,625,000		3,600,796
4.59%		12/15/15			4,650,000		4,778,977
5.30%		10/17/12			50,000		51,253
5.30%		01/07/16			20,019,000		20,822,768
5.50%		08/27/12			100,000		102,638
5.85%		08/02/16			5,095,000		5,423,285
6.00%		08/15/17			37,838,000		40,204,653
6.12%		11/21/17			55,000		58,847
6.12%		05/15/18			2,850,000		3,061,088
6.38%		08/12/14			3,950,000		4,186,167
6.88%		03/05/38			6,881,000		7,494,572
8.12%		07/15/39			41,115,000		49,435,401
Countrywide Capital III, Series B
8.05%		06/15/27			3,000,000		2,782,500
Countrywide Financial Corp. (MTN)
5.80%		06/07/12			1,830,000		1,841,132
Discover Financial Services
10.25%		07/15/19			4,515,000		5,528,753
Dolphin Subsidiary II, Inc.
7.25%		10/15/21	⁴		8,700,000		8,765,250


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
General Electric Capital Corp.
4.62%		01/07/21		$	20,325,000	$	21,134,037
5.62%		05/01/18			185,000		201,226
General Electric Capital Corp. (MTN)
0.49%		06/20/14	³		1,250,000		1,198,555
0.54%		08/07/18	³		22,453,000		19,758,640
0.65%		05/05/26	³		19,760,000		15,878,879
4.38%		09/16/20			30,655,000		30,959,711
5.38%		10/20/16			3,700,000		4,067,228
General Electric Capital Corp., Series A (MTN)
6.75%		03/15/32			35,540,000		40,689,746
General Electric Capital Corp., Series E (MTN)
0.43%		03/20/14	³		30,100,000		29,537,642
General Electric Capital Corp., Series G (MTN)
6.15%		08/07/37			8,738,000		9,042,147
6.88%		01/10/39			48,740,000		56,125,767
Goldman Sachs Group, Inc.
0.45%		02/06/12	³		1,305,000		1,302,938
0.80%		03/22/16	³		6,255,000		5,370,055
1.02%		12/05/11	³		30,365,000		30,412,065
1.27%		02/07/14	³		1,624,000		1,544,769
3.62%		02/07/16			41,935,000		40,750,048
5.25%		07/27/21			17,775,000		17,468,139
5.75%		10/01/16			3,550,000		3,734,488
5.95%		01/18/18			100,000		103,088
6.00%		06/15/20			9,510,000		9,739,260
6.15%		04/01/18			31,176,000		32,349,995
6.25%		02/01/41			14,730,000		14,301,760
6.75%		10/01/37			500,000		440,753
7.50%		02/15/19			39,976,000		43,929,906
Goldman Sachs Group, Inc., Series B (MTN)
0.65%		07/22/15	³		2,035,000		1,818,850
International Lease Finance Corp.
6.50%		09/01/14	⁴		32,080,000		31,919,600
6.75%		09/01/16	⁴		41,450,000		41,760,875
7.12%		09/01/18	⁴		3,955,000		3,989,606
JPMorgan Chase & Co.
4.35%		08/15/21			37,540,000		37,770,554
JPMorgan Chase Capital XIII, Series M
1.32%		09/30/34	³		5,543,000		4,321,539
JPMorgan Chase Capital XXI, Series U
1.21%		02/02/37	³		22,860,000		16,475,397
JPMorgan Chase Capital XXIII
1.29%		05/15/47	³		48,189,000		32,619,230
JPMorgan Chase Capital XXVII, Series AA
7.00%		11/01/39			5,225,000		5,259,903


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Macquarie Bank Ltd. (Australia)
6.62%		04/07/21	^2,4	$	800,000	$	752,860
MBNA Capital A, Series A
8.28%		12/01/26			7,744,000		7,230,960
MBNA Capital B, Series B
1.05%		02/01/27	³		29,710,000		19,300,970
MBNA Corp.
6.12%		03/01/13			7,355,000		7,364,848
Merrill Lynch & Co., Inc. (MTN)
6.05%		08/15/12			125,000		126,174
8.68%		05/02/17	³		5,725,000		6,204,469
8.95%		05/18/17	³		5,800,000		6,329,250
9.57%		06/06/17	³		11,819,000		13,163,411
Morgan Stanley
0.70%		06/20/12	³		47,575,000		47,722,611
0.73%		10/15/15	³		1,615,000		1,365,164
3.80%		04/29/16			14,415,000		13,329,713
4.20%		11/20/14			8,585,000		8,401,968
5.50%		07/24/20			30,425,000		27,534,625
5.75%		01/25/21			6,700,000		6,175,243
6.00%		05/13/14			24,975,000		25,400,075
6.60%		04/01/12			715,000		732,796
7.30%		05/13/19			205,000		211,755
Morgan Stanley (MTN)
0.70%		10/18/16	³		15,310,000		11,918,988
5.62%		09/23/19			600,000		563,725
5.75%		10/18/16			6,800,000		6,715,530
5.95%		12/28/17			125,000		121,366
6.25%		08/28/17			8,000,000		7,896,862
6.62%		04/01/18			7,930,000		7,877,281
Morgan Stanley, Series G (MTN)
0.55%		01/09/14	³		2,970,000		2,693,950
5.45%		01/09/17			100,000		97,489
Pipeline Funding Co. LLC
7.50%		01/15/30	⁴		35,250,000		39,522,970
Power Receivable Finance LLC
6.29%		01/01/12	⁴		24,037		24,074
6.29%		01/01/12			33,155		33,190
Prudential Financial, Inc. (MTN)
5.62%		05/12/41			450,000		428,190
Prudential Holdings LLC
8.70%		12/18/23	⁴		22,375,000		28,292,136
Raymond James Financial, Inc.
8.60%		08/15/19			9,233,000		11,036,944
Reckson Operating Partnership LP
5.00%		08/15/18			5,250,000		5,192,363
Woodbourne Capital Trust I
2.71%		04/08/49	^3,4,5		900,000		306,000


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Woodbourne Capital Trust II
2.71%		04/08/49	^3,4,5	$	925,000	$	314,500
Woodbourne Capital Trust III
2.71%		04/08/49	^3,4,5		1,525,000		518,500
ZFS Finance USA Trust II
6.45%		12/15/65	^3,4		6,475,000		5,762,750
ZFS Finance USA Trust IV
5.88%		05/09/32	^3,4		21,972,000		21,010,725

							1,336,905,236

Food — 0.01%
JBS USA LLC/JBS USA Finance, Inc.
11.62%		05/01/14			500,000		540,000
Kraft Foods, Inc.
6.50%		02/09/40			100,000		122,680
Ralcorp Holdings, Inc.
4.95%		08/15/20			150,000		150,371

							813,051

Health Care — 0.69%
CHS/Community Health Systems, Inc.
8.88%		07/15/15			21,025,000		20,604,500
HCA, Inc.
6.50%		02/15/20			9,550,000		9,335,125
7.25%		09/15/20			27,740,000		28,156,100
HCA, Inc. (WI)
7.88%		02/15/20			35,101,000		36,505,040
8.50%		04/15/19			13,035,000		13,751,925
Universal Health Services, Inc.
6.75%		11/15/11			1,280,000		1,288,700
WellPoint, Inc.
5.88%		06/15/17			125,000		143,163
6.38%		06/15/37			50,000		61,005

							109,845,558

Industrials — 0.12%
General Electric Co.
5.25%		12/06/17			17,163,000		19,094,541

Insurance — 1.01%
Farmers Exchange Capital
7.05%		07/15/28	⁴		19,151,000		21,569,937
7.20%		07/15/48	⁴		18,265,000		21,375,597
Farmers Insurance Exchange
8.62%		05/01/24	⁴		18,595,000		23,357,776
MetLife Capital Trust X
9.25%		04/08/38	⁴		11,500,000		12,995,000
MetLife, Inc.
2.38%		02/06/14			10,775,000		10,968,357
7.72%		02/15/19			5,487,000		6,735,517


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^3,4	$	12,949,000	$	12,721,590
6.60%		04/15/34	⁴		19,518,000		18,420,038
Pricoa Global Funding I
0.35%		01/30/12	^3,4		15,690,000		15,665,006
5.45%		06/11/14	⁴		15,130,000		16,489,567

							160,298,385

Materials — 0.00%
ArcelorMittal (Luxembourg)
5.25%		08/05/20	²		140,000		125,297
Southern Copper Corp.
6.38%		07/27/15			100,000		108,079

							233,376

Real Estate Investment Trust (REIT) — 2.06%
Boston Properties LP
6.25%		01/15/13			26,000		27,374
BRE Properties, Inc.
5.50%		03/15/17			100,000		107,813
Camden Property Trust
4.62%		06/15/21			600,000		597,729
Duke Realty LP
5.40%		08/15/14			1,400,000		1,460,838
6.25%		05/15/13			75,000		78,346
ERP Operating LP
5.75%		06/15/17			100,000		111,834
HCP, Inc.
5.38%		02/01/21			19,730,000		19,868,022
5.62%		05/01/17			218,000		227,322
6.00%		01/30/17			16,320,000		17,202,684
6.45%		06/25/12			11,800,000		12,144,430
6.75%		02/01/41			150,000		160,625
7.07%		06/08/15			125,000		137,442
HCP, Inc. (MTN)
6.30%		09/15/16			27,719,000		29,688,629
6.70%		01/30/18			31,925,000		34,951,608
Health Care REIT, Inc.
4.70%		09/15/17			31,473,000		31,596,878
4.95%		01/15/21			5,975,000		5,811,499
5.25%		01/15/22			26,805,000		25,516,569
6.12%		04/15/20			4,385,000		4,580,703
6.50%		03/15/41			14,165,000		13,609,243
Healthcare Realty Trust, Inc.
5.75%		01/15/21			21,375,000		20,988,964
6.50%		01/17/17			220,000		237,941
Highwoods Realty LP
7.50%		04/15/18			6,810,000		7,911,381


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Kimco Realty Corp., Series C (MTN)
5.19%		10/01/13		$	100,000	$	104,194
Post Apartment Homes LP
4.75%		10/15/17			21,885,000		23,053,287
PPF Funding, Inc.
5.50%		01/15/14	⁴		195,000		196,462
Shurgard Storage Centers LLC
5.88%		03/15/13			624,000		660,422
Simon Property Group LP
6.12%		05/30/18			1,290,000		1,452,425
UDR, Inc.
6.05%		06/01/13			3,608,000		3,791,258
UDR, Inc. (MTN)
4.25%		06/01/18			5,500,000		5,564,133
5.00%		01/15/12			2,845,000		2,870,377
5.25%		01/15/15			200,000		213,166
UDR, Inc. (MTN) E
5.13%		01/15/14			7,075,000		7,445,752
Ventas Realty LP/Ventas Capital Corp.
4.75%		06/01/21			10,925,000		10,374,156
WEA Finance LLC
7.12%		04/15/18	⁴		38,063,000		43,537,259
Weingarten Realty Investors (MTN)
4.99%		09/03/13			18,000		18,962

							326,299,727

Services — 0.01%
Mobile Mini, Inc.
6.88%		05/01/15			750,000		738,750

Transportation — 1.02%
American Airlines 2011-2 Class A Pass Through Trust, Series A
8.62%		10/15/21			30,575,000		30,479,453
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			2,910,185		2,975,664
Continental Airlines Pass-Through Trust, Series 1999, Class C2
7.26%		03/15/20			11,365,965		11,593,285
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22			4,630,913		4,709,059
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			2,432,620		2,274,500
Continental Airlines Pass-Through Trust, Series 2009, Class A2
7.25%		11/10/19			7,781,921		8,200,199


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Delta Air Lines Pass-Through Trust, Series 2002, Class G1
6.72%		01/02/23		$	23,335,046	$	22,985,020
Delta Air Lines Pass-Through Trust, Series 2002, Class G2
6.42%		07/02/12			9,370,000		9,416,850
Delta Air Lines Pass-Through Trust, Series 2010-2, Class A
4.95%		05/23/19			492,839		489,759
Delta Air Lines Pass-Through Trust, Series 2011, Class A
5.30%		04/15/19			15,625,000		15,390,625
Delta Air Lines, Inc.
9.50%		09/15/14	⁴		3,547,000		3,644,543
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A-1
7.04%		04/01/22			3,023,161		3,202,661
UAL Pass-Through Trust, Series 2009-1
10.40%		11/01/16			15,455		16,653
UAL Pass-Through Trust, Series 2009-2A
9.75%		01/15/17			19,076,386		20,602,497
US Airways Pass-Through Trust, Series 2010-1, Class A
6.25%		04/22/23			22,875,000		20,859,141
US Airways Pass-Through Trust, Series 2011-1, Class A
7.12%		10/22/23			5,850,000		5,524,594

							162,364,503

Total Corporates (Cost $3,930,531,739)							3,975,083,103

BANK LOANS — 0.49%*
Communications — 0.11%
Cengage Learning Acquisitions, Inc., Term Loan
2.49%		07/03/14	^3,8		1,920,000		1,523,656
Dex Media West LLC, Term Loan
7.00%		10/24/14	^3,8		1,619,328		1,109,240
Intelsat Jackson Holdings, Term Loan B
5.26%		04/02/18	^3,8		15,960,000		15,404,720

							18,037,616

Electric — 0.01%
Texas Competitive Electric Holdings Co. LLC
4.75%		10/10/17	^3,8		3,270,833		2,202,703

Finance — 0.00%
Kelson Holdings LLC 2nd Lien (PIK)
6.87%		03/08/14	^3,8		207,260		200,524


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Gaming — 0.22%
Caesars Entertainment Operating Co., Inc., Term Loan B1
3.25%		01/28/15	^3,8	$	2,000,000	$	1,684,376
Caesars Entertainment Operating Co., Inc., Term Loan B2
3.25%		01/28/15	^3,8		37,750,000		31,741,446
Caesars Entertainment Operating Co., Inc., Term Loan B3
3.25%		01/28/15	³		1,971,216		1,659,517

							35,085,339

Health Care — 0.13%
HCA, Inc., Term Loan B3
3.62%		05/01/18	^3,8		20,950,678		19,742,746

Transportation — 0.02%
Delta Air Lines, Inc., Term Loan B
5.50%		04/20/17	^3,8		3,491,250		3,211,950

Total Bank Loans (Cost $83,973,049)							78,480,878

MORTGAGE-BACKED — 58.30%**
Commercial Mortgage-Backed — 6.82%
Banc of America Large Loan, Inc., Series 2010-UB4, Class A4A
5.04%		12/20/41	^3,4,†		11,000,000		11,705,482
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-2, Class A3
5.12%		07/11/43			709,404		714,865
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-PB2, Class A4
6.19%		06/11/35			8,111,381		8,133,067
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-2, Class A5
4.86%		07/10/43	³		855,000		920,779
Banc of America Re-Remic Trust, Series 2011-STRP, Class A7
1.90%		02/17/42	⁴		11,475,092		11,344,751
Banc of America Re-Remic Trust, Series 2011-STRP, Class A9
1.32%		07/17/39	⁴		8,300,000		8,202,560
Bayview Commercial Asset Trust, Series 2007-4A, Class A1
0.68%		09/25/37	^3,4		17,805,561		10,899,309
Bear Stearns Commercial Mortgage Securities, Series 2002-PBW1, Class A2
4.72%		11/11/35	³		24,572,640		24,993,717
Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class A4
5.19%		05/11/39	³		39,926,000		42,005,606
Bear Stearns Commercial Mortgage Securities, Series 2003-T12, Class A4
4.68%		08/13/39	³		6,225,000		6,510,647


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class A4A
5.30%		10/12/42	³	$	75,995,000	$	83,292,412
Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4
5.54%		09/11/41			3,165,000		3,485,887
Bear Stearns Commercial Mortgage Securities, Series 2006-T22, Class A4
5.70%		04/12/38	³		775,000		864,141
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4
5.89%		12/10/49	³		28,486,000		30,814,773
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD5, Class A4
5.89%		11/15/44	³		1,943,000		2,092,782
Commercial Mortgage Asset Trust, Series 1999-C1, Class A4
6.98%		01/17/32	³		29,939,596		30,950,827
Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4
6.01%		12/10/49	³		16,515,000		17,892,640
Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB3, Class 1A
2.62%		06/20/34	³		185,033		160,294
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKS4, Class A2
5.18%		11/15/36			3,130,636		3,189,758
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CP3, Class A3
5.60%		07/15/35			16,920,564		17,194,398
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-CK2, Class A4
4.80%		03/15/36			10,000,000		10,329,770
Credit Suisse Mortgage Capital Certificates, Series 2006-C1, Class A3
5.60%		02/15/39	³		245,788		253,916
Credit Suisse Mortgage Capital Certificates, Series 2006-C5, Class A3
5.31%		12/15/39			27,537,500		28,919,538
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		04/12/21	⁴		29,260,000		30,576,700
DBUBS Mortgage Trust, Series 2011-LC3A, Class A2
3.64%		08/10/44			40,500,000		41,814,699
GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3
5.35%		08/11/36			5,653,000		5,761,179


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GMAC Commercial Mortgage Securities, Inc., Series 1998-C2, Class X
1.10%		05/15/35	^3,5	$	23,759,176	$	743,341
GMAC Commercial Mortgage Securities, Inc., Series 2002-C1, Class A2
6.28%		11/15/39			925,085		923,617
GMAC Commercial Mortgage Securities, Inc., Series 2002-C2, Class A3
5.71%		10/15/38			3,594,161		3,638,220
Greenwich Capital Commercial Funding Corp., Series 2002-C1, Class A4
4.95%		01/11/35			34,988,865		35,705,241
Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7
5.32%		06/10/36	³		70,183,999		74,400,022
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4
6.07%		07/10/38	³		55,314,554		59,762,370
Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4
5.44%		03/10/39			74,935,000		78,009,171
GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4
3.71%		08/10/44	³		105,085,000		104,840,888
JPMorgan Chase Commercial Mortgage Securities Corp, Series 2006-LDP9, Class A3
5.34%		05/15/47			7,290,000		7,613,380
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB3, Class A3
6.46%		11/15/35			792,213		791,347
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A2
5.05%		12/12/34			1,995,012		2,052,164
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-CIB5, Class A2
5.16%		10/12/37			3,530,000		3,621,973
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1A, Class A2
4.77%		03/12/39			8,705,000		8,969,824
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4
4.90%		09/12/37			2,920,000		3,161,318
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A4
5.37%		12/15/44	³		1,005,000		1,101,071
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A4
6.07%		04/15/45	³		33,110,000		36,517,466


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4
5.44%		06/12/47		$	3,065,000	$	3,195,917
Merrill Lynch Mortgage Trust, Series 2005-LC1, Class A4
5.29%		01/12/44	³		550,000		604,514
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class A3
5.17%		12/12/49	³		32,840,000		35,150,918
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class ASB
5.13%		12/12/49	³		25,000,000		26,310,513
Morgan Stanley Capital I, Series 2001-C3, Class A2
3.22%		08/15/49			16,551,000		16,773,287
Morgan Stanley Capital I, Series 2005-T19, Class A4A
4.89%		06/12/47			13,095,000		14,275,776
Morgan Stanley Capital I, Series 2006-HQ9, Class A4
5.73%		07/12/44	³		405,000		442,369
Morgan Stanley Capital I, Series 2006-T21, Class A4
5.16%		10/12/52	³		31,350,000		33,995,470
Morgan Stanley Capital I, Series 2006-T23, Class A4
5.99%		08/12/41	³		18,095,000		20,423,741
Morgan Stanley Capital I, Series 2007-IQ16, Class A4
5.81%		12/12/49			39,257,500		42,337,800
Morgan Stanley Capital I, Series 2011-C3, Series A4
4.12%		08/15/49			13,563,000		13,898,787
Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A1
3.67%		02/11/36			3,985,684		4,007,241
Salomon Brothers Mortgage Securities VII, Inc., Series 2002-KEY2, Class A3
4.86%		03/18/36			415,000		421,248
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3
5.95%		08/15/39	³		3,115,000		3,375,331
Wachovia Bank Commercial Mortgage Trust, Series 2005-C16, Class A4
4.85%		10/15/41	³		4,320,113		4,655,375
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A7
5.12%		07/15/42	³		1,610,000		1,757,436
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A4
5.38%		10/15/44	³		5,000,000		5,454,641

							1,081,956,274


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 17.54%
Aames Mortgage Trust, Series 2002-1, Class A3 (STEP)
6.90%		06/25/32		$	69,156	$	62,894
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
0.46%		02/25/37	³		46,125,000		19,321,601
Adjustable Rate Mortgage Trust, Series 2006-2, Class 1A4
5.46%		05/25/36	³		3,250,000		2,208,983
Adjustable Rate Mortgage Trust, Series 2007-1, Class 5A1
0.38%		03/25/37	³		13,374,708		5,322,128
American Home Mortgage Assets, Series 2007-1, Class A1
0.94%		02/25/47	³		92,711,328		40,178,781
American Home Mortgage Assets, Series 2007-4, Class A2
0.42%		08/25/37	³		27,730,260		19,200,460
American Home Mortgage Investment Trust, Series 2006-1, Class 2A3
2.29%		12/25/35	³		300,501		202,202
American Home Mortgage Investment Trust, Series 2007-1, Class GA1C
0.42%		05/25/47	³		7,193,524		3,792,053
Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class A2C
0.46%		01/25/36	³		7,013,333		6,835,647
Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP)
7.57%		10/25/27			154,565		160,261
Argent Securities, Inc., Series 2005-W4, Class A2C
0.54%		02/25/36	³		7,883,134		7,598,856
Argent Securities, Inc., Series 2005-W5, Class A2D
0.56%		01/25/36	³		28,478,000		10,548,607
Asset Backed Funding Certificates, Series 2006-HE1, Class A2C
0.40%		01/25/37	³		6,155,000		2,043,275
Asset Backed Funding Certificates, Series 2007-WMC1, Class A2B
1.24%		06/25/37	³		42,477,000		19,838,356
Banc of America Funding Corp., Series 2003-2, Class 1A1
6.50%		06/25/32			92,861		96,768
Banc of America Funding Corp., Series 2005-B, Class 3A1B
0.54%		04/20/35	³		13,607,255		9,717,438
Banc of America Funding Corp., Series 2007-8, Class 2A1
7.00%		10/25/37			23,928,081		16,061,975


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Corp., Series 2010-R4, Class 3A3
1.49%		09/26/46	^3,4	$	19,909,147	$	6,273,004
Banc of America Mortgage Securities, Inc., Series 2004-F, Class 1A1
2.75%		07/25/34	³		282,227		243,139
Banc of America Mortgage Securities, Inc., Series 2005-E, Class 2A6
2.87%		06/25/35	³		97,706		92,515
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%		06/30/20	^2,4,5		158,830		12,309
Bayview Financial Acquisition Trust, Series 2005-B, Class 1A3 (STEP)
4.89%		04/28/39			1,125,083		1,077,895
Bayview Financial Acquisition Trust, Series 2005-D, Class AF3
5.50%		12/28/35	³		1,180,888		1,112,023
BCAP LLC Trust, Series 2011-RR3, Class 1A5
5.43%		05/27/37	^3,4		26,377,972		25,410,600
BCAP LLC Trust, Series 2007-AA2, Class 2A5
6.00%		04/25/37			945,190		654,934
BCAP LLC Trust, Series 2010-RR11, Class 3A2
2.82%		06/27/36	^3,4		12,708,503		11,725,889
BCAP LLC Trust, Series 2011-RR2, Class 3A6
2.87%		11/21/35	^3,4		24,008,554		20,985,181
BCAP LLC Trust, Series 2011-RR3, Class 5A3
4.76%		11/27/37	^3,4		17,148,703		15,221,062
BCAP LLC Trust, Series 2011-RR4, Class 1A3
2.90%		03/26/36	^3,4		25,933,960		23,664,738
BCAP LLC Trust, Series 2011-RR5, Class 1A3
5.77%		03/26/37	^3,4		2,210,133		2,038,848
BCAP LLC Trust, Series 2011-RR5, Class 2A3
4.98%		06/26/37	^3,4		12,992,094		12,090,588
Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-4, Class 3A1
5.03%		07/25/33	³		133,863		128,424
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 14A1
5.26%		01/25/35	³		17,932,873		16,093,140
Bear Stearns Alt-A Trust, Series 2005-4, Class 21A1
2.67%		05/25/35	³		27,682,607		16,924,797


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Alt-A Trust, Series 2006-3, Class 1A1
0.42%		05/25/36	³	$	4,741,848	$	1,921,598
Bear Stearns Alt-A Trust, Series 2006-3, Class 23A1
2.91%		05/25/36	³		5,083,709		2,652,109
Bear Stearns Asset Backed Securities Trust, Series 2002-1, Class 1A5 (STEP)
6.89%		12/25/34			57,737		55,616
Bear Stearns Asset Backed Securities Trust, Series 2005-TC2, Class A3
0.60%		08/25/35	³		18,828,000		17,105,264
Bear Stearns Asset Backed Securities Trust, Series 2006-HE10, Class 1A2
0.44%		12/25/36	³		23,770,000		13,644,028
Bear Stearns Mortgage Funding Trust, Series 2007-AR3, Class 1A1
0.38%		03/25/37	³		20,161,069		10,992,117
BHN I Mortgage Fund, Series 1997-2, Class A1 (Argentina)
1.52%		05/31/17	^2,3,4,5,6,7		13,760		138
BHN I Mortgage Fund, Series 1997-2, Class A2 (Argentina)
7.54%		05/31/17	^2,4,5,6,7		2,500		25
BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina)
8.00%		01/31/20	^2,4,5		6,000		60
Bombardier Capital Mortgage Securitization Corp., Series 2001-A, Class A
6.80%		12/15/30	³		38,616,438		40,306,340
Carrington Mortgage Loan Trust, Series 2006-NC2, Class A4
0.48%		06/25/36	³		11,445,000		3,475,869
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A3
0.50%		02/25/37	³		20,000,000		7,026,280
CC Mortgage Funding Corp., Series 2004-1A, Class A1
0.52%		01/25/35	^3,4		2,299,559		1,618,373
Centex Home Equity, Series 2006-A, Class AV3
0.40%		06/25/36	³		11,747,395		9,780,963
Centex Home Equity, Series 2006-A, Class AV4
0.48%		06/25/36	³		125,000		68,530
Chase Mortgage Finance Corp., Series 2005-A1, Class 2A3
2.92%		12/25/35	³		1,710,000		1,391,997
Chase Mortgage Finance Corp., Series 2007-A2, Class 2A3
2.86%		07/25/37	³		14,290,008		12,535,668
Chaseflex Trust, Series 2005-2, Class 4A2
5.50%		05/25/20			16,803,167		16,237,170


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chaseflex Trust, Series 2007-M1, Class 1A2
0.46%		08/25/37	³	$	19,757,419	$	9,594,618
Citicorp Mortgage Securities, Inc., Series 2005-1, Class 1A12
5.00%		02/25/35			703,000		685,973
Citicorp Residential Mortgage Securities, Inc., Series 2007-1, Class A5 (STEP)
6.05%		03/25/37			650,000		434,059
Citigroup Mortgage Loan Trust, Inc., Series 2004-RR2, Class A2
4.71%		05/25/34	^3,4		19,924,440		19,637,927
Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1, Class A2B
0.16%		09/25/36	³		407,642		189,612
Citigroup Mortgage Loan Trust, Inc., Series 2006-NC1, Class A2D
0.48%		08/25/36	³		33,850,000		10,779,092
Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC4, Class A2B
0.38%		05/25/37	³		21,600,000		12,943,385
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4
0.44%		01/25/37	³		28,000		10,511
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.42%		03/25/37	³		38,757,000		27,498,789
Collateralized Mortgage Obligation Trust, Series 57, Class D
9.90%		02/01/19			4,087		4,735
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			11,422,347		12,463,331
Conseco Finance, Series 2001-C, Class A5 (STEP)
7.29%		08/15/33			3,088,960		3,089,997
Conseco Finance, Series 2001-D, Class A5
6.69%		11/15/32	³		106,830		107,904
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^3,4		495,940		379,632
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	³		19,007,000		20,728,846
Conseco Financial Corp., Series 1998-2, Class A5
6.24%		12/01/28	³		187,779		197,189
Conseco Financial Corp., Series 1998-3, Class A6
6.76%		03/01/30	³		9,739,520		10,288,120
Countryplace Manufactured Housing Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^3,4		9,150,000		8,441,784


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1
6.50%		11/25/31		$	39,125	$	40,390
Countrywide Alternative Loan Trust, Series 2005-27, Class 1A2
1.64%		08/25/35	³		16,409		10,303
Countrywide Alternative Loan Trust, Series 2005-27, Class 2A1
1.59%		08/25/35	³		8,953,285		4,789,420
Countrywide Alternative Loan Trust, Series 2005-36, Class 2A1A
0.54%		08/25/35	³		292,055		129,132
Countrywide Alternative Loan Trust, Series 2005-43, Class 4A1
5.31%		10/25/35	³		355,282		259,598
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1
0.54%		11/20/35	³		218,832		124,231
Countrywide Alternative Loan Trust, Series 2005-61, Class 2A1
0.52%		12/25/35	³		304,394		192,829
Countrywide Alternative Loan Trust, Series 2006-20CB, Class A7 (IO)
5.26%		07/25/36	^3,5		22,201,507		3,466,184
Countrywide Alternative Loan Trust, Series 2006-46, Class A4
6.00%		02/25/47			6,343,359		4,148,332
Countrywide Alternative Loan Trust, Series 2006-OA10, Class 1A1
1.20%		08/25/46	³		5,801,478		3,149,132
Countrywide Alternative Loan Trust, Series 2006-OA14, Class 3A1
1.09%		11/25/46	³		862,765		382,331
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A
0.43%		12/20/46	³		39,047,784		19,539,960
Countrywide Alternative Loan Trust, Series 2006-OA18, Class A1
0.36%		12/25/46	³		37,764,917		21,175,374
Countrywide Alternative Loan Trust, Series 2006-OA22, Class A1
0.40%		02/25/47	³		1,133,796		681,405
Countrywide Alternative Loan Trust, Series 2006-OA8, Class 1A1
0.42%		07/25/46	³		27,298,615		14,057,834
Countrywide Alternative Loan Trust, Series 2006-OC5, Class 2A2A
0.40%		06/25/36	³		3,981,395		1,983,133
Countrywide Alternative Loan Trust, Series 2007-22, Class 2A16
6.50%		09/25/37			49,443,051		36,165,273


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust, Series 2007-5CB, Class 1A14 (IO)
5.12%		04/25/37	^3,5	$	42,735,466	$	6,533,095
Countrywide Alternative Loan Trust, Series 2007-J1, Class 2A1
0.44%		03/25/37	³		1,655,070		642,870
Countrywide Asset-Backed Certificates, Series 2005-11, Class AF4
5.21%		02/25/36	³		7,000,000		4,046,448
Countrywide Asset-Backed Certificates, Series 2005-12, Class 2A5
5.24%		02/25/36	³		12,496,666		11,746,510
Countrywide Asset-Backed Certificates, Series 2005-13, Class AF4
5.56%		04/25/36	³		50,000		27,124
Countrywide Asset-Backed Certificates, Series 2005-2, Class M2
0.68%		08/25/35	³		14,000,000		13,466,334
Countrywide Asset-Backed Certificates, Series 2005-4, Class MV1
0.70%		10/25/35	³		329,305		316,229
Countrywide Asset-Backed Certificates, Series 2006-18, Class 2A2
0.40%		03/25/37	³		31,538,085		21,022,433
Countrywide Asset-Backed Certificates, Series 2007-10, Class 2A2
0.36%		06/25/47	³		28,501,000		24,439,479
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A2
1.04%		10/25/47	³		15,964,764		11,739,975
Countrywide Asset-Backed Certificates, Series 2007-3, Class 2A1
0.34%		05/25/47	³		8,574,464		8,212,287
Countrywide Asset-Backed Certificates, Series 2007-4, Class A1A
0.46%		09/25/37	³		6,671,325		6,469,304
Countrywide Asset-Backed Certificates, Series 2007-5, Class 2A2
0.40%		09/25/47	³		127,000		111,226
Countrywide Asset-Backed Certificates, Series 2007-9, Class 2A1
0.30%		06/25/47	³		28,625		27,868
Countrywide Home Loan Mortgage Pass Through Trust, Series 2001-HYB1, Class 1A1
2.19%		06/19/31	³		51,557		45,953
Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-J8, Class 1A4
5.25%		09/25/23			735,463		758,501
Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-14, Class 4A1
5.02%		08/25/34	³		7,026,526		6,709,341


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB7, Class 3A
3.21%		11/20/34	³	$	5,225,706	$	4,986,055
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-1, Class 2A1
0.52%		03/25/35	³		304,210		187,617
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-9, Class 1A1
0.54%		05/25/35	³		8,814,205		5,659,729
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB5, Class 4A1
4.93%		09/20/35	³		9,049,495		6,761,787
Countrywide Home Loan Mortgage Pass Through Trust, Series 2007-HY3, Class 2A1
5.20%		06/25/47	³		35,440,382		25,413,802
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class A (STEP)
5.60%		09/25/31			82,884		84,492
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR2, Class 2A1
2.56%		02/25/33	³		76,927		72,243
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A4
2.57%		08/25/33	³		60,372		51,046
Credit Suisse Mortgage Capital Certificates, Series 2006-6, Class 2A1
0.84%		07/25/36	³		215,632		65,100
Credit Suisse Mortgage Capital Certificates, Series 2007-2, Class 3A4
5.50%		03/25/37			9,200,000		8,013,959
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB4, Class M1
0.92%		03/25/33	³		9,693,856		8,835,976
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB6, Class A23
0.38%		07/25/36	³		28,531,785		16,799,230
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B
0.34%		10/25/36	³		11,240,000		9,178,169
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A3
0.38%		11/25/36	³		10,300,000		3,785,138
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
5.62%		02/25/37			22,100,000		12,529,957


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2D (STEP)
5.88%		02/25/37		$	28,405,000	$	16,646,466
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2E (STEP)
5.68%		02/25/37			4,649,114		2,918,249
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A2
0.40%		04/25/37	³		35,610,000		13,267,040
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4A5
5.25%		06/25/35			50,565		46,240
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2007-AR3, Class 2A4
0.58%		06/25/37	³		19,285,000		5,552,684
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2007-OA2, Class A1
1.01%		04/25/47	³		12,239,244		7,524,889
Downey Savings & Loan Association Mortgage Loan Trust, Series 2007-AR1, Class 2A1A
0.37%		04/19/48	³		23,359,095		14,285,056
Equity One ABS, Inc., Series 1998-1, Class A2 (STEP)
7.48%		11/25/29			70,745		64,905
Equity One ABS, Inc., Series 2002-4, Class M1
5.22%		02/25/33	³		17,496		14,236
First Franklin Mortgage Loan Asset Backed Certificates, Series 2005-FFH2, Class M1
0.72%		04/25/35	^3,4		4,190,686		3,879,751
First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF18, Class A2C
0.40%		12/25/37	³		64,848,000		28,302,942
First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF1, Class A2C
0.38%		01/25/38	³		118,700,000		53,960,284
First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF2, Class A2D
0.46%		03/25/37	³		60,554,486		26,760,832
First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1
2.20%		09/25/34	³		111,627		94,765
First Horizon Alternative Mortgage Securities, Series 2004-AA4, Class A1
2.25%		10/25/34	³		2,929,777		2,480,174
First Horizon Alternative Mortgage Securities, Series 2005-AA3, Class 3A1
2.28%		05/25/35	³		16,127,160		11,210,694


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities, Series 2007-FA3, Class A6 (IO)
5.16%		06/25/37	³	$	8,300,954	$	1,508,939
First Horizon Asset Securities, Inc., Series 2004-AR5, Class 2A1
2.63%		10/25/34	³		4,926,028		4,663,776
First Horizon Asset Securities, Inc., Series 2005-AR6, Class 2A1B
2.77%		01/25/36	³		26,990,000		17,457,132
FNBA Mortgage Pass-Through Certificates, Series 2004-AR1, Class A2
0.63%		08/19/34	³		1,291,777		1,126,192
Fremont Home Loan Trust, Series 2005-C, Class M1
0.72%		07/25/35	³		12,639,054		11,509,589
Fremont Home Loan Trust, Series 2006-3, Class 2A4
0.48%		02/25/37	³		12,106,000		5,294,478
Fremont Home Loan Trust, Series 2006-C, Class 2A2
0.38%		10/25/36	³		92,484,897		34,752,263
Fremont Home Loan Trust, Series 2006-E, Class 2A4
0.46%		01/25/37	³		9,500,000		3,315,775
GMAC Mortgage Corp. Loan Trust, Series 2000-HE2, Class A1
0.68%		06/25/30	³		186,271		108,095
GMAC Mortgage Corp. Loan Trust, Series 2004-AR1, Class 22A
2.96%		06/25/34	³		18,261		15,056
Green Tree, Series 2008-MH1, Class A2
8.97%		04/25/38	^3,4		47,500,000		53,200,304
GSAA Trust, Series 2006-16, Class A1
0.30%		10/25/36	³		10,505,845		4,426,223
GSAA Trust, Series 2006-19, Class A1
0.32%		12/25/36	³		8,542,497		3,176,933
GSAA Trust, Series 2007-4, Class A1
0.34%		03/25/37	³		6,011,986		2,406,442
GSAA Trust, Series 2007-6, Class A4
0.54%		05/25/47	³		27,140,000		15,362,703
GSAMP Trust, Series 2006-FM1, Class A2C
0.40%		04/25/36	³		26,694,024		15,356,218
GSAMP Trust, Series 2007-NC1, Class A2B
0.34%		12/25/46	³		68,707,000		25,536,983
GSAMP Trust, Series 2007-NC1, Class A2C
0.38%		12/25/46	³		10,000,000		3,324,520
GSR Mortgage Loan Trust, Series 2004-9, Class 3A1
2.70%		08/25/34	³		22,233		18,536
GSR Mortgage Loan Trust, Series 2007-AR2, Class 2A1
2.81%		05/25/47	³		9,095,543		6,825,404


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Harborview Mortgage Loan Trust, Series 2004-1, Class 2A
2.68%		04/19/34	³	$	35,493	$	32,285
Harborview Mortgage Loan Trust, Series 2005-4, Class 2A
2.83%		07/19/35	³		1,193,805		792,656
Harborview Mortgage Loan Trust, Series 2006-3, Class 2A1A
5.50%		06/19/36	³		259,828		139,497
Harborview Mortgage Loan Trust, Series 2007-7, Class 2A1A
1.24%		11/25/47	³		1,963,095		1,221,664
Home Equity Asset Trust, Series 2007-1, Class 2A1
0.30%		05/25/37	³		32,597		31,483
HSBC Home Equity Loan Trust, Series 2006-1, Class A1
0.39%		01/20/36	³		23,250,777		21,675,432
HSBC Home Equity Loan Trust, Series 2007-3, Class A4
1.73%		11/20/36	³		9,985,000		7,961,070
HSBC Home Equity Loan Trust, Series 2007-3, Class APT
1.43%		11/20/36	³		37,601,024		33,378,948
Indymac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A
2.61%		08/25/34	³		602,781		436,717
Indymac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1B
1.04%		08/25/34	³		52,522		33,073
Indymac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1
3.06%		10/25/34	³		460,715		421,176
Indymac Index Mortgage Loan Trust, Series 2004-AR7, Class A2
1.10%		09/25/34	³		168,454		105,405
Indymac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
0.64%		11/25/34	³		96,018		61,464
Indymac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1A
0.54%		10/25/36	³		369,170		214,693
Indymac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2
3.04%		08/25/36	³		28,460,646		12,183,163
Indymac Index Mortgage Loan Trust, Series 2006-AR41, Class A3
0.42%		02/25/37	³		21,727,429		9,874,045
Indymac Index Mortgage Loan Trust, Series 2006-AR7, Class 1A1
3.03%		05/25/36	³		9,874,389		5,307,960


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Indymac Index Mortgage Loan Trust, Series 2006-AR8, Class A3A
0.46%		07/25/46	³	$	23,037,350	$	13,102,189
Indymac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
3.24%		06/25/37	³		12,086,713		6,179,363
Indymac Index Mortgage Loan Trust, Series 2007-AR5, Class 1A1
4.94%		05/25/37	³		166,698		76,808
Indymac Index Mortgage Loan Trust, Series 2007-AR5, Class 3A1
5.02%		05/25/37	³		11,026,611		5,596,066
Indymac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			459,317		457,568
Indymac Residential Asset Backed Trust, Series 2007-A, Class 2A4A
0.56%		04/25/47	³		10,646,000		3,968,509
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 2A1
2.70%		05/25/36	³		1,988,514		982,947
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 5A1
5.67%		05/25/36	³		26,566,118		15,498,195
JPMorgan Alternative Loan Trust, Series 2006-A6, Class 2A5
6.05%		11/25/36	³		610,000		364,750
JPMorgan Alternative Loan Trust, Series 2006-S4, Class A4 (STEP)
5.96%		12/25/36			38,700,000		21,203,703
JPMorgan Alternative Loan Trust, Series 2007-A2, Class 12A2
0.32%		06/25/37	³		3,803,241		3,473,541
JPMorgan Mortgage Acquisition Corp., Series 2006-CH2, Class AV4
0.38%		10/25/36	³		16,800,000		7,393,680
JPMorgan Mortgage Acquisition Corp., Series 2006-WF1, Class A3A (STEP)
5.83%		07/25/36			9,186,686		4,471,172
JPMorgan Mortgage Acquisition Corp., Series 2006-WF1, Class A6 (STEP)
6.00%		07/25/36			7,890,930		3,822,864
JPMorgan Mortgage Acquisition Corp., Series 2007-CH1, Class AF6 (STEP)
5.50%		10/25/36			626,727		542,121
JPMorgan Mortgage Acquisition Corp., Series 2007-CH3, Class A4
0.44%		03/25/37	³		1,310,000		491,551
JPMorgan Mortgage Acquisition Corp., Series 2007-CH4, Class A2
0.30%		05/25/37	³		4,634,577		4,437,854


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Corp., Series 2007-CH5, Class A3
0.34%		05/25/37	³	$	300,000	$	208,752
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF1
0.34%		03/25/47	³		591,417		352,103
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF2 (STEP)
5.53%		03/25/47			9,480,000		4,867,648
JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF4 (STEP)
5.53%		03/25/47			5,000,000		2,785,047
JPMorgan Mortgage Trust, Series 2003-A2, Class 2A3
4.68%		11/25/33	³		995,000		962,459
JPMorgan Mortgage Trust, Series 2005-A5, Class 3A2
5.30%		08/25/35	³		101,846		100,805
JPMorgan Mortgage Trust, Series 2005-A5, Class TA1
5.43%		08/25/35	³		1,278,015		1,226,812
JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3
5.50%		09/25/20			21,872,887		21,213,440
JPMorgan Mortgage Trust, Series 2006-A2, Class 2A2
5.62%		04/25/36	³		2,325,000		1,798,369
JPMorgan Mortgage Trust, Series 2006-A2, Class 2A4
5.62%		04/25/36	³		17,325,000		14,109,307
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
2.83%		05/25/36	³		4,560,598		3,138,193
JPMorgan Mortgage Trust, Series 2006-A3, Class 3A3
5.65%		05/25/36	³		3,541,785		2,799,829
JPMorgan Mortgage Trust, Series 2006-A3, Class 3A4
5.65%		05/25/36	³		20,807,985		17,590,482
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
2.86%		07/25/35	³		11,103,428		10,096,347
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		08/15/28	³		15,906,320		17,245,772
Lehman XS Trust, Series 2006-10N, Class 1A3A
0.44%		07/25/46	³		27,245,617		14,406,548
Lehman XS Trust, Series 2006-13, Class 1A2
0.40%		09/25/36	³		70,753,061		45,942,276


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman XS Trust, Series 2006-19, Class A2
0.40%		12/25/36	³	$	53,520,010	$	31,538,149
Lehman XS Trust, Series 2006-9, Class A1B
0.40%		05/25/46	³		41,612,105		23,151,747
Lehman XS Trust, Series 2006-GP1, Class A4A
0.56%		05/25/46	³		30,800,678		6,868,314
Lehman XS Trust, Series 2007-12N, Class 1A3A
0.44%		07/25/47	³		8,500,000		2,726,473
Lehman XS Trust, Series 2007-15N, Class 2A1
0.48%		08/25/37	³		52,213,151		32,532,839
Lehman XS Trust, Series 2007-16N, Class 2A2
1.08%		09/25/47	³		420,268		272,808
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
5.07%		01/25/34	³		267,054		253,027
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7
2.72%		11/21/34	³		60,000		56,349
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7A
2.72%		11/21/34	³		440,000		416,465
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
2.75%		06/25/34	³		2,127		1,618
MASTR Adjustable Rate Mortgages Trust, Series 2007-3, Class 22A5
0.58%		05/25/47	³		735,000		83,925
MASTR Asset Backed Securities Trust, Series 2007-HE1, Class A3
0.44%		05/25/37	³		26,441,000		10,273,915
MASTR Asset Backed Securities Trust, Series 2007-HE1, Class A4
0.52%		05/25/37	³		19,985,500		7,570,967
MASTR Asset Securitization Trust, Series 2002-8, Class 1A1
5.50%		12/25/17			41,305		42,653
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
2.76%		10/25/32	³		58,086		49,023
MASTR Seasoned Securities Trust, Series 2004-2, Class A2
6.50%		08/25/32			2,860,727		2,973,080
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2C
0.48%		04/25/37	³		51,972,000		21,465,268


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C
0.48%		05/25/37	³	$	43,849,000	$	19,221,648
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
0.42%		06/25/37	³		18,116,200		8,100,028
Merrill Lynch Mortgage Investors, Inc., Series 2005-A10, Class A
0.44%		02/25/36	³		39,781		24,380
Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A3
0.62%		08/25/35	³		25,000,000		13,682,975
Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2B (STEP)
5.61%		03/25/37			41,044,027		12,408,225
Mid-State Trust, Series 11, Class A1
4.86%		07/15/38			458,362		462,722
Mid-State Trust, Series 2004-1, Class A
6.00%		08/15/37			691,149		727,694
Mid-State Trust, Series 2005-1, Class A
5.74%		01/15/40			30,372,400		32,953,945
Mid-State Trust, Series 2006-1, Class A
5.79%		10/15/40	⁴		20,581,761		22,579,437
Mid-State Trust, Series 2006-1, Class M1
6.08%		10/15/40	⁴		22,339,986		20,802,333
Mid-State Trust, Series 6, Class A1
7.34%		07/01/35			65,119		67,086
Morgan Stanley ABS Capital I, Series 2005-HE3, Class M1
0.72%		07/25/35	³		5,566,916		5,480,072
Morgan Stanley ABS Capital I, Series 2006-HE5, Class A2C
0.38%		08/25/36	³		9,015,000		4,561,414
Morgan Stanley ABS Capital I, Series 2006-HE5, Class A2D
0.48%		08/25/36	³		48,700,000		21,308,753
Morgan Stanley ABS Capital I, Series 2007-HE2, Class A2B
0.32%		01/25/37	³		110,000		42,835
Morgan Stanley Home Equity Loan Trust, Series 2006-3, Class A4
0.50%		04/25/36	³		10,000,000		3,764,314
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%		06/25/36	³		285,985		142,732
Morgan Stanley Mortgage Loan Trust, Series 2007-10XS, Class A18
6.00%		07/25/47	³		18,366,075		13,508,612
Morgan Stanley Mortgage Loan Trust, Series 2007-2AX, Class 2A1
0.32%		12/25/36	³		10,101,734		3,518,555


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Mortgage Loan Trust, Series 2007-7AX, Class 2A1
0.36%		04/25/37	³	$	9,701,381	$	3,652,041
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4
0.48%		06/25/37	³		7,760,000		2,901,177
New Century Home Equity Loan Trust, Series 2005-2, Class A2C
0.54%		06/25/35	³		6,257,656		6,044,101
Nomura Asset Acceptance Corp., Series 2006-AR4, Class A1A
0.40%		12/25/36	³		799,245		324,299
Novastar Home Equity Loan, Series 2005-1, Class M4
0.92%		06/25/35	³		20,000,000		11,937,930
Oakwood Mortgage Investors, Inc., Series 1998-A, Class A4
6.20%		05/15/28			7,428		7,479
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4
6.35%		03/15/17			34,015		34,091
Option One Mortgage Loan Trust, Series 2006-3, Class 2A3
0.38%		02/25/37	³		11,782,000		3,791,583
Option One Mortgage Loan Trust, Series 2007-1, Class 2A3
0.38%		01/25/37	³		39,728,000		13,450,264
Option One Mortgage Loan Trust, Series 2007-1, Class 2A4
0.46%		01/25/37	³		6,000,000		2,034,053
Option One Mortgage Loan Trust, Series 2007-4, Class 2A2
0.42%		04/25/37	³		30,000,000		13,033,485
Option One Mortgage Loan Trust, Series 2007-6, Class 2A4
0.48%		07/25/37	³		100,000		33,945
Ownit Mortgage Loan Asset Backed Certificates, Series 2006-4, Class A2D
0.48%		05/25/37	³		36,886,000		14,567,572
Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AF6 (STEP)
4.76%		07/25/35			3,969,382		3,989,882
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
0.54%		06/25/47	³		22,639,500		11,463,350
Residential Accredit Loans, Inc., Series 2003-QS3, Class A4
5.50%		02/25/18			121,668		124,497
Residential Accredit Loans, Inc., Series 2005-QO5, Class A1
1.24%		01/25/46	³		16,649,631		8,740,015


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans, Inc., Series 2007-QO4, Class A1
0.44%		05/25/47	³	$	22,939,725	$	12,867,064
Residential Asset Mortgage Products, Inc., Series 2003-RS10, Class AI6 (STEP)
5.86%		11/25/33			488,468		423,701
Residential Asset Mortgage Products, Inc., Series 2003-RS11, Class AI6A (STEP)
5.98%		12/25/33			340,598		312,846
Residential Asset Mortgage Products, Inc., Series 2003-RS9, Class AI6A (STEP)
6.11%		10/25/33			41,310		41,617
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2
1.04%		12/25/34	³		2,268,506		1,957,220
Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A8
6.50%		11/25/31			135,554		137,204
Residential Asset Mortgage Products, Inc., Series 2004-SL3, Class A2
6.50%		12/25/31			135,790		136,076
Residential Asset Securities Corp., Series 2005-EMX2, Class M3
0.76%		07/25/35	³		6,839,000		3,076,205
Residential Asset Securitization Trust, Series 2004-IP2, Class 1A1
2.63%		12/25/34	³		702,331		573,259
Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1
2.66%		12/25/34	³		44,232		39,405
Residential Asset Securitization Trust, Series 2004-IP2, Class 3A1
2.58%		12/25/34	³		1,718,683		1,444,225
Residential Asset Securitization Trust, Series 2006-A7CB, Class 1A3
6.25%		07/25/36			3,182,665		1,939,419
Residential Funding Mortgage Securities I, Series 2006-SA3, Class 4A1
6.01%		09/25/36	³		2,119,179		1,639,163
Residential Funding Mortgage Securities II, Inc., Series 1999-HI6, Class AI7 (STEP)
8.60%		09/25/29			296,604		277,709
Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7 (STEP)
8.79%		02/25/25			223,420		220,422
Resmae Mortgage Loan Trust, Series 2006-1, Class A1B
0.50%		02/25/36	^3,4		322,221		3,179
Saxon Asset Securities Trust, Series 2005-2, Class M1
0.66%		10/25/35	³		32,400,000		27,434,570


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Saxon Asset Securities Trust, Series 2007-1, Class A2C
0.38%		01/25/47	³	$	8,135,000	$	3,749,879
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR3, Class M1
0.70%		04/25/35	³		3,112,720		2,817,645
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR2, Class A2
0.46%		02/25/37	³		48,263,139		16,102,900
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR3, Class A2B
0.46%		04/25/37	³		27,850,000		8,831,681
Securitized Asset Backed Receivables LLC Trust, Series 2007-NC1, Class A2B
0.38%		12/25/36	³		57,091,250		19,406,292
Securitized Asset Backed Receivables LLC Trust, Series 2007-NC2, Class A2B
0.38%		01/25/37	³		160,000		56,598
SG Mortgage Securities Trust, Series 2006-FRE1, Class A1B
0.50%		02/25/36	³		2,786,489		1,398,192
SG Mortgage Securities Trust, Series 2006-FRE1, Class A2B
0.42%		02/25/36	³		30,110,974		13,897,283
SG Mortgage Securities Trust, Series 2006-OPT2, Class A3C
0.38%		10/25/36	³		12,348,460		3,583,603
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
0.48%		12/25/36	^3,4		16,183,521		8,128,517
Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C
0.38%		12/25/36	³		27,470,000		22,819,975
Soundview Home Equity Loan Trust, Series 2007-NS1, Class A4
0.54%		01/25/37	³		12,405,000		6,090,309
Soundview Home Equity Loan Trust, Series 2007-OPT1, Class 2A4
0.52%		06/25/37	³		29,546,000		9,749,973
Soundview Home Equity Loan Trust, Series 2007-OPT2, Class 2A3
0.42%		07/25/37	³		17,450,000		5,877,273
Soundview Home Equity Loan Trust, Series 2007-OPTI, Class 2A3
0.44%		06/25/37	³		37,418,535		12,182,839
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 1A
2.64%		10/25/34	³		459,116		389,356
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-5, Class 3A1
5.78%		06/25/37	³		22,691,099		16,586,529


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-7, Class 1A1
0.54%		08/25/37	³	$	28,831,690	$	16,756,898
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 1A1
2.62%		12/27/35	³		3,256,548		1,683,067
Structured Asset Mortgage Investments, Inc., Series 2006-AR8, Class A1A
0.44%		10/25/36	³		29,435,775		15,437,769
Structured Asset Mortgage Investments, Inc., Series 2007-AR1, Class 1A1
0.40%		01/25/37	³		58,386,900		28,911,441
Structured Asset Mortgage Investments, Inc., Series 2007-AR6, Class A1
1.74%		08/25/47	³		137,304,775		69,863,827
Structured Asset Securities Corp., Series 1997-2, Class 2A4
7.25%		03/28/30			5,118		5,207
Structured Asset Securities Corp., Series 2001-15A, Class 4A1
2.18%		10/25/31	³		12,757		12,101
Structured Asset Securities Corp., Series 2003-26A, Class 3A5
2.44%		09/25/33	³		959,426		852,371
Structured Asset Securities Corp., Series 2003-34A, Class 5A4
2.52%		11/25/33	³		6,029,250		5,621,311
Structured Asset Securities Corp., Series 2003-7H, Class A12
6.50%		03/25/33			13,035		13,570
Structured Asset Securities Corp., Series 2005-4XS, Class 3A3 (STEP)
4.47%		03/25/35			2,938,996		2,911,366
Structured Asset Securities Corp., Series 2006-WF3, Class A3
0.38%		09/25/36	³		216,007		173,830
Structured Asset Securities Corp., Series 2007-BC4, Class A3
0.48%		11/25/37	³		11,056,410		10,342,619
Structured Asset Securities Corp., Series 2007-EQ1, Class A4
0.48%		03/25/37	³		26,325,800		10,056,313
Structured Asset Securities Corp. 2007-BC3 2A1
0.30%		05/25/47	³		26,168,808		24,214,234
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1
5.51%		06/25/37	³		18,604,760		12,996,633
Thornburg Mortgage Securities Trust, Series 2004-4, Class 2A
2.28%		12/25/44	³		446,903		367,260


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A4
6.57%		05/07/27	³	$	4,014,310	$	4,345,715
WAMU Asset-Backed Certificates, Series 2007-HE1, Class 2A3
0.38%		01/25/37	³		62,700,000		21,847,784
WAMU Asset-Backed Certificates, Series 2007-HE1, Class 2A4
0.46%		01/25/37	³		21,687,000		7,701,466
WaMu Mortgage Pass Through Certificates, Series 2002-AR18, Class A
2.59%		01/25/33	³		25,059		23,174
WaMu Mortgage Pass Through Certificates, Series 2003-AR6, Class A1
2.57%		06/25/33	³		73,960		69,192
WaMu Mortgage Pass Through Certificates, Series 2004-AR3, Class A2
2.58%		06/25/34	³		220,931		214,829
WaMu Mortgage Pass Through Certificates, Series 2004-AR6, Class A
0.67%		05/25/44	³		208,757		162,652
WaMu Mortgage Pass Through Certificates, Series 2005-AR12, Class 1A6
2.50%		10/25/35	³		310,000		235,879
WaMu Mortgage Pass Through Certificates, Series 2005-AR16, Class 1A4A
2.58%		12/25/35	³		380,000		261,776
WaMu Mortgage Pass Through Certificates, Series 2006-AR7, Class 3A1B
2.84%		07/25/46	³		3,221,025		1,408,595
WaMu Mortgage Pass Through Certificates, Series 2007-HY5, Class 2A5
5.71%		05/25/37	³		40,169,786		24,560,189
WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A
1.01%		04/25/47	³		228,348		128,981
WaMu Mortgage Pass Through Certificates, Series 2007-OA4, Class 1A
1.01%		05/25/47	³		615,257		368,866
WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 1A
1.05%		07/25/47	³		449,849		266,725
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-3, Class 2A3
0.78%		05/25/35	³		12,022,860		8,261,027
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB13
0.74%		06/25/35	³		18,439,071		12,471,192
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR2, Class A1A
1.18%		04/25/46	³		13,960,975		6,989,844


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A
1.21%		05/25/46	³	$	35,203,202	$	17,313,639
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR7, Class A1A
1.16%		09/25/46	³		14,723,037		5,731,428
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR9, Class 2A
1.08%		11/25/46	³		67,039,879		28,539,574
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-1, Class 2A1
6.00%		01/25/22			1,633,881		1,552,046
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA1, Class 2A
0.96%		12/25/46	³		13,349,407		5,339,240
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A
0.94%		01/25/47	³		33,946,052		15,201,785
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 2A
0.99%		02/25/47	³		58,871,381		25,526,908
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A1
1.01%		04/25/47	³		23,906,308		13,041,668
Washington Mutual Asset-Backed Certificates, Series 2006-HE2, Class A4
0.48%		05/25/36	³		23,665,000		7,862,708
Washington Mutual Asset-Backed Certificates, Series 2006-HE3, Class 2A3
0.40%		08/25/36	³		16,858,000		5,434,519
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HE2, Class 2A3
0.48%		04/25/37	³		15,260,000		6,140,128
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA1, Class A1A
0.94%		02/25/47	³		438,298		242,619
Wells Fargo Home Equity Trust, Series 2004-2, Class AI6
5.00%		05/25/34	³		13,085,000		13,457,145
Wells Fargo Home Equity Trust, Series 2005-3, Class AII3
0.58%		11/25/35	³		22,340,590		21,328,114
Wells Fargo Home Equity Trust, Series 2006-1, Class A3
0.38%		05/25/36	³		9,928,949		9,696,409


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Home Equity Trust, Series 2007-2, Class A1
0.32%		04/25/37	³	$	6,685,550	$	6,406,505
Wells Fargo Mortgage Backed Securities Trust, Series 2003-17, Class 2A10
5.50%		01/25/34			20,290,386		21,449,231
Wells Fargo Mortgage Backed Securities Trust, Series 2004-L, Class A8
4.77%		07/25/34	³		1,740,000		1,709,328

							2,782,900,696

U.S. Agency Mortgage-Backed — 33.94%
Fannie Mae (TBA)
3.00%		10/25/26			580,055,000		597,366,045
4.00%		10/25/41			267,250,000		280,111,406
Fannie Mae Pool 190375
5.50%		11/01/36			12,093,568		13,180,855
Fannie Mae Pool 233672
2.70%		09/01/23	³		19,054		19,992
Fannie Mae Pool 254232
6.50%		03/01/22			87,636		96,668
Fannie Mae Pool 254868
5.00%		09/01/33			32,016,957		34,607,662
Fannie Mae Pool 308798
2.50%		04/01/25	³		5,509		5,844
Fannie Mae Pool 312155
2.30%		03/01/25	³		15,978		16,028
Fannie Mae Pool 313182
7.50%		10/01/26			9,747		11,325
Fannie Mae Pool 384569
6.20%		01/01/12			100,000		99,981
Fannie Mae Pool 384762
6.00%		02/01/12			153,212		153,182
Fannie Mae Pool 467243
4.55%		01/01/21			2,738,428		3,070,055
Fannie Mae Pool 545191
7.00%		09/01/31			14,031		15,951
Fannie Mae Pool 545269
5.98%		11/01/11			22,063		22,059
Fannie Mae Pool 545322
5.94%		11/01/11			11,867		11,733
Fannie Mae Pool 545831
6.50%		08/01/17			55,006		60,431
Fannie Mae Pool 555284
7.50%		10/01/17			7,213		7,846
Fannie Mae Pool 613142
7.00%		11/01/31			60,651		68,733
Fannie Mae Pool 625666
7.00%		01/01/32			35,621		41,081


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 633698
7.50%		02/01/31		$	49,774	$	58,636
Fannie Mae Pool 637093
8.50%		03/01/32			13,783		16,310
Fannie Mae Pool 642322
2.42%		05/01/32	³		1,217		1,275
Fannie Mae Pool 646884
1.92%		05/01/32	³		8,364		8,410
Fannie Mae Pool 655928
7.00%		08/01/32			512,791		591,376
Fannie Mae Pool 725027
5.00%		11/01/33			36,119,651		38,964,070
Fannie Mae Pool 725232
5.00%		03/01/34			83,732		90,508
Fannie Mae Pool 725257
5.50%		02/01/34			6,964,026		7,611,717
Fannie Mae Pool 730957
5.00%		08/01/33			11,177,020		12,057,210
Fannie Mae Pool 734922
4.50%		09/01/33			13,058,623		13,950,961
Fannie Mae Pool 735207
7.00%		04/01/34			67,469		77,008
Fannie Mae Pool 735224
5.50%		02/01/35			36,061,895		39,422,411
Fannie Mae Pool 735646
4.50%		07/01/20			10,309,785		11,050,189
Fannie Mae Pool 735651
4.50%		06/01/35			40,074,075		42,731,068
Fannie Mae Pool 735686
6.50%		12/01/22			282,786		311,934
Fannie Mae Pool 740297
5.50%		10/01/33			23,080		25,231
Fannie Mae Pool 741862
5.50%		09/01/33			29,769		32,543
Fannie Mae Pool 745592
5.00%		01/01/21			48,804		52,812
Fannie Mae Pool 770284
5.00%		04/01/34			4,867,238		5,249,773
Fannie Mae Pool 770332
5.00%		04/01/34			18,471,834		19,923,604
Fannie Mae Pool 817611
5.28%		11/01/35	³		3,515,400		3,776,576
Fannie Mae Pool 839109
5.25%		11/01/35	³		16,183		17,396
Fannie Mae Pool 841031
5.28%		11/01/35	³		349,130		375,706
Fannie Mae Pool 844773
5.19%		12/01/35	³		55,488		59,654


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 888412
7.00%		04/01/37		$	4,961,515	$	5,652,199
Fannie Mae Pool 888430
5.00%		11/01/33			28,832,850		31,103,434
Fannie Mae Pool 889117
5.00%		10/01/35			143,618,286		154,928,212
Fannie Mae Pool 889125
5.00%		12/01/21			30,199,877		32,633,561
Fannie Mae Pool 889184
5.50%		09/01/36			31,943,378		34,920,099
Fannie Mae Pool 895606
5.71%		06/01/36	³		139,696		151,963
Fannie Mae Pool 908408
5.52%		04/01/37	³		12,689,575		13,653,606
Fannie Mae Pool 918445
5.81%		05/01/37	³		398,327		433,305
Fannie Mae Pool 933033
6.50%		10/01/37			10,348,523		11,266,954
Fannie Mae Pool AB1613
4.00%		10/01/40			113,317,867		119,492,807
Fannie Mae Pool AB1803
4.00%		11/01/40			109,600,322		115,846,686
Fannie Mae Pool AB1960
4.00%		12/01/40			67,333,594		70,687,123
Fannie Mae Pool AB2051
3.50%		01/01/26			158,012,924		166,487,599
Fannie Mae Pool AB2127
3.50%		01/01/26			96,350,339		101,126,454
Fannie Mae Pool AD0791
4.76%		02/01/20			19,419,999		21,854,415
Fannie Mae Pool AD0849
4.25%		02/01/20			30,279,947		33,153,021
Fannie Mae Pool AE0482
5.50%		01/01/38			74,388,007		81,126,511
Fannie Mae Pool AE0600
3.97%		11/01/20			42,424,422		45,814,093
Fannie Mae Pool AE0605
4.67%		07/01/20			33,652,313		37,755,673
Fannie Mae Pool AE0918
3.66%		10/01/20			5,820,318		6,228,983
Fannie Mae Pool AH3429
3.50%		01/01/26			79,381,666		83,539,900
Fannie Mae Pool AH3780
4.00%		02/01/41			42,719,830		45,154,528
Fannie Mae Pool AH4793
4.00%		02/01/41			123,000,446		129,126,451
Fannie Mae Pool AH4815
3.50%		02/01/26			28,384		29,690


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL0209
4.50%		05/01/41		$	72,869,266	$	78,485,322
Fannie Mae Pool AL0290
4.45%		04/01/21			33,982,226		37,708,278
Fannie Mae Pool AL0600
4.30%		07/01/21			5,125,616		5,620,725
Fannie Mae Pool FN0001
3.76%		12/01/20			21,760,186		23,524,727
Fannie Mae Whole Loan, Series 2003-W2, Class 2A9
5.90%		07/25/42			72,063		82,381
Fannie Mae, Series 1988-28, Class H
9.05%		12/25/18			2,178		2,466
Fannie Mae, Series 1989-27, Class Y
6.90%		06/25/19			992		1,079
Fannie Mae, Series 1991-65, Class Z
6.50%		06/25/21			22,008		24,441
Fannie Mae, Series 1992-123, Class Z
7.50%		07/25/22			3,318		4,025
Fannie Mae, Series 1993-132, Class D (PO)
0.00%		10/25/22	⁹		167,623		155,134
Fannie Mae, Series 1993-199, Class SD (IO)
0.88%		10/25/23	³		461,045		7,309
Fannie Mae, Series 1993-29, Class PK
7.00%		03/25/23			72,282		80,868
Fannie Mae, Series 1994-55, Class H
7.00%		03/25/24			79,105		90,662
Fannie Mae, Series 1997-34, Class SA
7.48%		10/25/23	³		18,203		21,956
Fannie Mae, Series 1999-11, Class Z
5.50%		03/25/29			293,109		321,859
Fannie Mae, Series 2001-52, Class YZ
6.50%		10/25/31			235,748		277,065
Fannie Mae, Series 2003-106, Class WG
4.50%		11/25/23			32,004,000		35,541,706
Fannie Mae, Series 2005-104, Class NI (IO)
6.46%		03/25/35	³		91,394,024		14,153,242
Fannie Mae, Series 2005-117, Class LC
5.50%		11/25/35			80,423,854		88,006,256
Fannie Mae, Series 2005-92, Class US (IO)
5.86%		10/25/25	³		37,074,074		4,582,604
Fannie Mae, Series 2006-10, Class YD
6.50%		03/25/36			835		840
Fannie Mae, Series 2006-18, Class PD
5.50%		08/25/34			1,165,000		1,301,001
Fannie Mae, Series 2006-4, Class WE
4.50%		02/25/36			400,000		444,749
Fannie Mae, Series 2006-80, Class PG
6.00%		06/25/35			23,300,000		25,994,715


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 2007-34, Class SB (IO)
5.88%		04/25/37	³	$	40,217,829	$	5,509,292
Fannie Mae, Series 2008-24, Class NA
6.75%		06/25/37			15,481,805		17,331,957
Fannie Mae, Series 2010-17, Class SB (IO)
6.12%		03/25/40	³		46,874,169		7,082,903
Fannie Mae, Series 2010-43, Class KS (IO)
6.18%		05/25/40	³		89,954,057		12,772,828
Fannie Mae, Series 2010-99, Class NI (IO)
6.00%		09/25/40			82,108,851		14,686,646
Fannie Mae, Series G92-36, Class Z
7.00%		07/25/22			639		704
Fannie Mae, Series G93-21, Class Z
7.20%		05/25/23			12,225		13,788
FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2
3.97%		01/25/21	³		22,640,000		24,790,685
Freddie Mac Gold (TBA)
3.50%		10/15/26			217,555,000		226,597,130
Freddie Mac Gold Pool A14189
4.00%		10/01/33			184,316		194,895
Freddie Mac Gold Pool A24156
6.50%		10/01/31			1,397,257		1,585,873
Freddie Mac Gold Pool A25162
5.50%		05/01/34			14,338,069		15,595,450
Freddie Mac Gold Pool A39012
5.50%		06/01/35			76,019		82,615
Freddie Mac Gold Pool A54856
5.00%		01/01/34			20,286,570		21,884,349
Freddie Mac Gold Pool A61164
5.00%		04/01/36			224,499		241,503
Freddie Mac Gold Pool A93991
4.50%		09/01/40			105,349,803		113,152,273
Freddie Mac Gold Pool A97038
4.00%		02/01/41			38,770,160		40,648,089
Freddie Mac Gold Pool C01492
5.00%		02/01/33			5,732,336		6,171,890
Freddie Mac Gold Pool C46104
6.50%		09/01/29			80,353		91,200
Freddie Mac Gold Pool C55789
7.50%		10/01/27			31,844		36,929
Freddie Mac Gold Pool C90573
6.50%		08/01/22			303,430		335,714
Freddie Mac Gold Pool E02402
6.00%		10/01/22			96,136		105,245
Freddie Mac Gold Pool G00992
7.00%		11/01/28			4,672		5,384
Freddie Mac Gold Pool G01515
5.00%		02/01/33			6,118,198		6,587,340


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G01601
4.00%		09/01/33	$	858,718	$	908,005
Freddie Mac Gold Pool G01611
4.00%		09/01/33		229,747		242,933
Freddie Mac Gold Pool G01673
5.50%		04/01/34		2,166,334		2,400,028
Freddie Mac Gold Pool G02579
5.00%		12/01/34		9,881,682		10,656,880
Freddie Mac Gold Pool G02884
6.00%		04/01/37		25,531,912		28,154,918
Freddie Mac Gold Pool G02955
5.50%		03/01/37		19,250,193		21,064,674
Freddie Mac Gold Pool G03357
5.50%		08/01/37		8,537,230		9,344,599
Freddie Mac Gold Pool G03676
5.50%		12/01/37		19,761,526		21,667,432
Freddie Mac Gold Pool G03783
5.50%		01/01/38		9,892,407		10,846,483
Freddie Mac Gold Pool G03985
6.00%		03/01/38		118,762		131,037
Freddie Mac Gold Pool G04053
5.50%		03/01/38		102,470		113,011
Freddie Mac Gold Pool G04079
5.50%		03/01/38		39,774,844		43,561,222
Freddie Mac Gold Pool G04438
5.50%		05/01/38		38,539,818		42,504,600
Freddie Mac Gold Pool G04703
5.50%		08/01/38		50,202,214		54,541,960
Freddie Mac Gold Pool G04706
5.50%		09/01/38		761,336		835,715
Freddie Mac Gold Pool G05866
4.50%		02/01/40		61,515,378		66,291,147
Freddie Mac Gold Pool G06242
4.50%		09/01/40		140,568,573		151,023,360
Freddie Mac Gold Pool G06257
4.50%		02/01/41		123,092,881		132,649,242
Freddie Mac Gold Pool G06354
4.00%		04/01/41		147,589,898		154,738,783
Freddie Mac Gold Pool G06498
4.00%		04/01/41		70,889,307		74,323,007
Freddie Mac Gold Pool G06499
4.00%		03/01/41		34,293,591		36,095,790
Freddie Mac Gold Pool G06500
4.00%		04/01/41		100,370,030		105,534,904
Freddie Mac Gold Pool G06620
4.50%		07/01/41		90,258,569		95,595,107
Freddie Mac Gold Pool G11707
6.00%		03/01/20		3,204,748		3,488,375


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G12393
5.50%		10/01/21		$	24,913,214	$	27,032,783
Freddie Mac Gold Pool G12399
6.00%		09/01/21			13,605		14,818
Freddie Mac Gold Pool G12824
6.00%		08/01/22			8,403,245		9,077,474
Freddie Mac Gold Pool G12909
6.00%		11/01/22			22,648,274		24,472,523
Freddie Mac Gold Pool G13032
6.00%		09/01/22			5,764,764		6,221,892
Freddie Mac Gold Pool G13058
4.50%		10/01/20			18,549,597		19,829,280
Freddie Mac Gold Pool H00790
5.50%		05/01/37			282,774		304,955
Freddie Mac Gold Pool H05069
5.50%		05/01/37			21,433,165		23,018,046
Freddie Mac Gold Pool H09082
6.50%		09/01/37			96,920		105,926
Freddie Mac Gold Pool J13884
3.50%		12/01/25			183,175,039		191,186,973
Freddie Mac Gold Pool Q02640
4.50%		08/01/41			90,721,748		96,023,300
Freddie Mac Non Gold Pool 1B1928
2.50%		08/01/34	³		10,945		11,504
Freddie Mac Non Gold Pool 1B3413
5.93%		05/01/37	³		24,099		25,983
Freddie Mac Non Gold Pool 1J0045
5.09%		01/01/36	³		174,281		186,175
Freddie Mac Non Gold Pool 781415
2.48%		04/01/34	³		3,728,775		3,926,749
Freddie Mac Non Gold Pool 781469
2.48%		04/01/34	³		2,981,243		3,157,361
Freddie Mac Non Gold Pool 781817
2.36%		08/01/34	³		58,208		60,856
Freddie Mac Non Gold Pool 788498
2.69%		02/01/30	³		304,960		320,124
Freddie Mac Non Gold Pool 847288
2.56%		05/01/34	³		4,795,808		5,056,430
Freddie Mac, Series 1004, Class H
7.95%		10/15/20			606		681
Freddie Mac, Series 1073, Class G
7.00%		05/15/21			2,951		3,348
Freddie Mac, Series 1107, Class ZC
6.50%		07/15/21			11,467		13,137
Freddie Mac, Series 165, Class K
6.50%		09/15/21			418		457
Freddie Mac, Series 1980, Class Z
7.00%		07/15/27			339,806		411,486


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac, Series 1983, Class Z
6.50%		12/15/23		$	194,317	$	218,804
Freddie Mac, Series 2043, Class CJ
6.50%		04/15/28			47,026		54,566
Freddie Mac, Series 2098, Class TZ
6.00%		01/15/28			966,876		1,030,555
Freddie Mac, Series 2209, Class TC
8.00%		01/15/30			216,791		247,186
Freddie Mac, Series 2433, Class SA
20.34%		02/15/32	³		12,333		17,426
Freddie Mac, Series 2481, Class AW
6.50%		08/15/32			232,936		264,481
Freddie Mac, Series 2627, Class NI (IO)
5.00%		04/15/29			91,122		45
Freddie Mac, Series 2642, Class BW (IO)
5.00%		06/15/23			59,553		6,179
Freddie Mac, Series 2929, Class PE
5.00%		05/15/33			1,585,000		1,715,488
Freddie Mac, Series 2971, Class AB
5.00%		05/15/20			9,109		9,852
Freddie Mac, Series 3063, Class YG
5.50%		11/15/35			8,794,000		10,354,801
Freddie Mac, Series 3067, Class SI (IO)
6.42%		11/15/35	³		60,708,237		10,878,789
Freddie Mac, Series 3210, Class PD
6.00%		08/15/35			360,000		408,602
Freddie Mac, Series 3345, Class FP
0.43%		11/15/36	³		42,544,983		42,446,594
Freddie Mac, Series 3345, Class PF
0.41%		05/15/36	³		41,189,702		41,075,446
Freddie Mac, Series 3707, Class EI (IO)
5.00%		12/15/38			78,973,388		13,763,727
Ginnie Mae I (TBA)
4.00%		10/15/40			106,950,000		114,403,078
Ginnie Mae I Pool 782817
4.50%		11/15/39			70,663,927		77,183,776
Ginnie Mae II Pool 2631
7.00%		08/20/28			7,479		8,579
Ginnie Mae II Pool 80968
2.62%		07/20/34	³		47,280		48,685
Ginnie Mae II Pool 81267
1.75%		03/20/35	³		16,367		16,890
Ginnie Mae II Pool 8631
2.38%		05/20/25	³		14,811		15,378
Ginnie Mae II Pool 8644
2.50%		06/20/25	³		23,638		24,567
Government National Mortgage Association, Series 2000-22, Class SG (IO)
10.57%		05/16/30	³		953,034		182,904


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Government National Mortgage Association, Series 2003-28, Class LI (IO)
5.50%		02/20/32		$	811,238	$	28,745
Government National Mortgage Association, Series 2003-86, Class ZK
5.00%		10/20/33			22,562,887		24,680,414
Government National Mortgage Association, Series 2005-78, Class ZA
5.00%		10/16/35			20,957,355		24,033,880
Government National Mortgage Association, Series 2007-35, Class PY (IO)
6.52%		06/16/37	³		79,120,831		13,744,736
Government National Mortgage Association, Series 2009-106, Class SD (IO)
6.02%		03/20/36	³		76,428,845		11,730,827
Government National Mortgage Association, Series 2009-106, Class XI (IO)
6.57%		05/20/37	³		218,697,409		39,173,080
Government National Mortgage Association, Series 2010-4, Class SM (IO)
5.57%		01/16/40	³		68,295,987		8,054,112
Government National Mortgage Association, Series 2010-6, Class BS (IO)
6.27%		09/16/39	³		39,539,499		4,983,250
NCUA Guaranteed Notes, Series 2010-R1, Class 1A
0.67%		10/07/20	³		52,784,721		52,867,065
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
0.78%		12/08/20	³		57,629,545		57,980,509
NCUA Guaranteed Notes, Series 2010-R3, Class 2A
0.78%		12/08/20	³		48,216,459		48,513,955
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.75%		03/09/21	³		7,971,224		7,991,152

							5,384,862,210

Total Mortgage-Backed (Cost $9,030,503,764)							9,249,719,180

MUNICIPAL BONDS — 1.40%*
California — 0.76%
Bay Area Toll Authority, Build America Bonds
6.26%		04/01/49			400,000		520,944
Los Angeles Department of Water & Power, Build America Bonds
6.57%		07/01/45			40,650,000		52,804,350
Los Angeles Department of Water & Power, Build America Bonds, Series SY
6.01%		07/01/39			350,000		410,449
State of California, Build America Bonds
6.65%		03/01/22			5,215,000		6,044,081


Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
7.30%		10/01/39	$	20,460,000	$	24,349,855
7.55%		04/01/39		11,831,000		14,507,882
7.60%		11/01/40		6,235,000		7,720,115
State of California, Build America Bonds, Various Purpose
7.50%		04/01/34		3,885,000		4,681,114
State of California, Taxable, Various Purpose
5.50%		03/01/16		8,450,000		9,426,313

						120,465,103

Illinois — 0.51%
State of Illinois, Build America Bonds
7.35%		07/01/35		8,910,000		10,035,422
State of Illinois, Taxable Bonds
4.07%		01/01/14		1,425,000		1,470,258
5.10%		06/01/33		29,200,000		26,423,372
5.66%		03/01/18		4,140,000		4,460,519
5.88%		03/01/19		35,000,000		37,391,550

						79,781,121

New Jersey — 0.12%
New Jersey State Turnpike Authority A, Build America Bonds, Taxable
7.10%		01/01/41		10,550,000		14,133,730
New Jersey State Turnpike Authority, Build America Bonds, Series A
7.41%		01/01/40		3,855,000		5,314,464

						19,448,194

New York — 0.01%
City of New York , Build America Bonds
5.82%		10/01/31		220,000		237,660
City of New York , Build America Bonds, Series F1
6.65%		12/01/31		250,000		288,255
New York City Municipal Water Finance Authority, Build America Bonds
6.49%		06/15/42		400,000		454,592
Port Authority of New York & New Jersey, Taxable, Consolidated Bonds
5.65%		11/01/40		530,000		616,629

						1,597,136

Texas — 0.00%
County of Harris TX, Prerefunded, Flood Control Bonds, Series B
5.25%		10/01/20		7,000		7,660

Total Municipal Bonds (Cost $188,699,832)						221,299,214


Issues	Maturity Date			Principal Amount		Value
U.S. AGENCY SECURITIES — 1.44%
U.S. Agency Securities — 1.44%
Freddie Mac
0.22%		10/12/12	³	$	228,905,000	$	228,887,145

Total U.S. Agency Securities (Cost $228,905,000)
U.S. TREASURY SECURITIES — 10.39%
U.S. Treasury Bonds — 3.76%
U.S. Treasury Bonds
2.12%		02/15/41	¹⁰		119,820,000		158,120,492
3.75%		08/15/41			13,078,000		15,227,696
4.38%		05/15/41			327,042,000		422,446,284

							595,794,472

U.S. Treasury Notes — 6.63%
U.S. Treasury Notes
1.50%		07/31/16			46,560,000		47,804,025
2.12%		08/15/21			650,205,000		661,685,182
8.00%		11/15/21			24,906,000		38,920,915
U.S. Treasury Notes - Treasury Inflation Indexed Notes
3.00%		07/15/12			235,110,000		303,848,181

							1,052,258,303

Total U.S. Treasury Securities (Cost $1,550,954,667)							1,648,052,775

Total Bonds – 102.69% (Cost $15,900,672,325)							16,291,176,989

SHORT-TERM INVESTMENTS — 5.31%
Commercial Paper — 2.56%
Credit Suisse New York
0.19%¹¹		10/31/11			40,000,000		39,994,089
Deutsche Bank AG
0.25%¹¹		10/06/11			60,000,000		59,998,750
National Australia Funding Corp.
0.20%¹¹		12/16/11	⁴		75,000,000		74,983,958
Rabobank USA Finance Corp.
0.16%¹¹		10/04/11			47,550,000		47,549,789
Svenska Handelsbanken
0.31%¹¹		12/22/11	⁴		33,300,000		33,277,659
UBS Finance Corp.
0.13%¹¹		10/31/11			50,000,000		49,994,944
0.14%¹¹		10/28/11			100,000,000		99,990,278

							405,789,467

Money Market Fund — 2.08%
BlackRock Liquidity Funds TempFund Portfolio
0.09%¹²					142,475,000		142,475,000
Dreyfus Cash Advantage Fund
0.09%¹²					91,789,000		91,789,000


Issues	Maturity Date			Principal Amount		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Fund (continued)
DWS Money Market Series-Institutional
0.06%¹²				$	4,550,000	$	4,550,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.10%^12,13					90,987,000		90,987,000

							329,801,000

U.S. Agency Discount Notes — 0.64%
Fannie Mae
0.02%¹¹		10/19/11			40,500,000		40,499,640
0.06%¹¹		11/16/11			12,440,000		12,439,547
0.08%¹¹		12/19/11			17,375,000		17,374,635
Freddie Mac
0.08%¹¹		03/19/12			31,000,000		30,997,117

							101,310,939

U.S. Treasury Bills — 0.03%
U.S. Treasury Bills
0.01%¹¹		11/10/11	¹⁴		5,880,000		5,879,939

Total Short-Term Investments (Cost $842,755,675)							842,781,345

Total Investments – 108.00% (Cost $16,743,428,000)¹							17,133,958,334

Liabilities in Excess of Other Assets – (8.00)%							(1,268,679,769	)

NET ASSETS – 100.00%						$	15,865,278,565


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
96	U.S. Treasury 30 Year Long Bond, Expiration December 2011	$	(339,208	)

	Net unrealized depreciation	$	(339,208	)


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
13	Euro Dollar Ninety Day,
	Expiration December 2011	$	(98,832	)
13	Euro Dollar Ninety Day,
	Expiration March 2012		(104,520	)
13	Euro Dollar Ninety Day,
	Expiration June 2012		(111,183	)

	Net unrealized depreciation	$	(314,535	)


	Expiration Date	Notional Amount (000’s)	(Depreciation)	Value
SWAPS: INTEREST RATE
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.93% quarterly. Counterparty: Morgan Stanley
	05/15/41	$19,040	$(5,041,635)	$(5,041,635)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.93% quarterly. Counterparty: Barclays Capital, Inc.
	05/15/41	46,945	(12,449,436)	(12,449,436)

		$65,985	$(17,491,071)	$(17,491,071)


	Expiration Date	Premiums Paid	Notional Amount (000’s)^b	Appreciation	Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
	09/20/16	$235,923	$5,510	$382,252	$618,175
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc.
	09/20/16	246,199	5,750	398,902	645,101
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: Deutsche Bank AG
	09/20/16	714,859	9,800	235,538	950,397
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co.
	09/20/16	1,779,852	24,400	586,443	2,366,295
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: Citigroup, Inc.
	09/20/16	14,803	6,875	476,043	490,846
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
	09/20/16	21,489	5,000	335,490	356,979

		$3,013,125	$57,335	$2,414,668	$5,427,793


	Expiration Date	Premiums Paid	Notional Amount (000’s)^b	Appreciation/ (Depreciation)	Value^c
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES
The Fund pays a fixed rate equal to 0.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AA 1, due 10/12/52. Counterparty: Citigroup, Inc.
	10/12/52	$184,021	$1,430	$350,862	$534,883
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
	10/12/52	920,794	1,630	(527,290)	393,504


	Expiration Date	Premiums Paid		Notional Amount (000’s)^b	Appreciation/ (Depreciation)	Value^c
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES (continued)
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
	10/12/52	$	7,989,738	$13,830	$(4,650,992)	$3,338,746
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
	10/12/52		11,731,216	20,450	(6,794,314)	4,936,902
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
	10/12/52		6,773,652	28,590	128,355	6,902,007
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
	10/12/52		1,272,315	15,430	2,452,693	3,725,008
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
	10/12/52		1,981,601	21,425	3,190,680	5,172,281
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
	10/12/52		2,679,389	4,870	(1,503,706)	1,175,683
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
	10/12/52		766,780	1,325	(446,908)	319,872
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: CS First Boston
	10/12/52		462,598	805	(268,260)	194,338
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: CS First Boston
	10/12/52		3,265,973	5,745	(1,879,053)	1,386,920
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: CS First Boston
	10/12/52		22,280	95	654	22,934
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: JPMorgan Chase & Co.
	10/12/52		69,050	960	162,707	231,757

		$	38,119,407	$116,585	$(9,784,572)	$28,334,835


Expiration Date	Credit Rating^a	Premiums (Received)	Notional Amount (000’s)^b	(Depreciation)	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 1.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Japanese Government Bond, 2.00%, due 03/21/22. Counterparty: Goldman Sachs Group, Inc.
03/20/16	A	$(20,963)	$10,000	$(132,171)	$(153,134)
The Fund receives a fixed rate equal to 1.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Japanese Government Bond, 2.00%, due 03/21/22. Counterparty: Morgan Stanley
03/20/16	A	(142,454)	50,000	(623,218)	(765,672)
The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Barclays Capital, Inc.
09/20/16	A+	(1,392,537)	25,000	(432,605)	(1,825,142)
The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Morgan Stanley
09/20/16	A	(2,785,961)	50,000	(864,323)	(3,650,284)
The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Morgan Stanley
09/20/16	A	(3,339,826)	50,000	(310,458)	(3,650,284)

		$(7,681,741)	$185,000	$(2,362,775)	$(10,044,516)


	Expiration Date	Premiums (Received)	Notional Amount (000’s)^b	Appreciation/ (Depreciation)	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: CS First Boston
	06/20/16	$(1,547,033)	$25,000	$(723,081)	$(2,270,114)
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: JPMorgan Chase & Co.
	06/20/16	(1,930,631)	25,000	(339,483)	(2,270,114)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 01/25/38. Counterparty: Barclays Capital, Inc.
	08/25/37	(9,160,392)	14,272	(148,153)	(9,308,545)
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 01/25/38. Counterparty: JPMorgan Chase & Co.
	08/25/37	(15,267,321)	23,787	(246,921)	(15,514,242)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
	01/25/38	(13,105,575)	21,566	(869,327)	(13,974,902)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	(6,638,930)	10,297	(33,771)	(6,672,701)


	Expiration Date	Premiums (Received)			Notional Amount (000’s)^b	Appreciation/ (Depreciation)	Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	$	(6,441,809	)	$9,715	$146,808	$(6,295,001)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc.
	01/25/38		(14,600,000	)	24,287	(1,137,503)	(15,737,503)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc.
	01/25/38		(14,571,596	)	24,287	(1,165,907)	(15,737,503)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Morgan Stanley
	01/25/38		(6,239,701	)	9,715	(62,231)	(6,301,932)

		$	(89,502,988	)	$187,926	$(4,579,569)	$(94,082,557)


	Expiration Date	Premiums (Received)			Notional Amount (000’s)^b	Appreciation	Value^c
SWAPTION: RATE FLOOR INFLATION
The Fund received a fixed payment equal to $735,540 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swaption 11/23/20. Counterparty: Citigroup, Inc.
	11/23/20	$	(735,540	)	$63,960	$428,532	$(307,008)

		$	(735,540	)	$63,960	$428,532	$(307,008)

a	Using Standard & Poor’s rating of the issuer.

b	The maximum potential payment the Fund could be required to make 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 the swap agreement.


Notes:

¹ Cost for federal income tax purposes is $16,745,757,951 and net unrealized appreciation/(depreciation) consists of:



Gross unrealized appreciation	$	712,419,976
Gross unrealized depreciation		(324,219,593	)

Net unrealized appreciation	$	388,200,383

²	U.S. dollar-denominated security issued by foreign-domiciled entity.

³	Floating rate security. The rate disclosed was in effect at September 30, 2011.

⁴

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $41,786,753, which is 0.26% of total net assets.

⁶	Security is currently in default with regard to scheduled interest or principal payments.

⁷	Non-income producing security.

⁸	Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
10/05/10	Caesars Entertainment Operating Co., Inc., Term Loan B1, 3.25%, 01/28/15	$	1,798,221	$	1,684,376	0.01%
06/24/10	Caesars Entertainment Operating Co., Inc., Term Loan B2, 3.25%, 01/28/15		34,110,546		31,741,446	0.20%
06/27/07	Cengage Learning Acquisitions, Inc., Term Loan, 2.49%, 07/03/14		1,912,411		1,523,656	0.01%
04/15/11	Delta Air Lines, Inc., Term Loan B, 5.50%, 04/20/17		3,442,648		3,211,950	0.02%
01/05/09	Dex Media West LLC, Term Loan, 7.00%, 10/24/14		1,194,629		1,109,240	0.01%
10/10/07	HCA, Inc., Term Loan B3, 3.62%, 05/01/18		20,545,360		19,742,746	0.13%
12/17/10	Intelsat Jackson Holdings, Term Loan B, 5.26%, 04/02/18		15,888,171		15,404,720	0.09%
09/02/10	Kelson Holdings LLC 2nd Lien (PIK), 6.87%, 03/08/14		205,082		200,524	0.00%
10/31/07	Texas Competitive Electric Holdings Co. LLC, 4.75%, 10/10/17		3,114,093		2,202,703	0.01%

		$	82,211,161	$	76,821,361	0.48%

⁹	Zero coupon bond. The rate shown is the effective yield as of September 30, 2011.

¹⁰	Inflation protected security. Principal amount reflects original security face amount.

¹¹	Represents annualized yield at date of purchase.

¹²	Represents the current yield as of September 30, 2011.

¹³	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $97,927,000.

¹⁴	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $3,399,966.

^†

Fair valued security. The aggregate value of fair valued securities is $41,598,083, which is 0.26% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

^*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

^**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.


Issues	Maturity Date			Principal Amount		Value
BONDS – 90.71%
CORPORATES — 81.44%*
Automotive — 3.06%
Chrysler Group LLC/CG Co-Issuer, Inc.
8.25%		06/15/21	²	$	4,100,000	$	3,177,500
Cooper Standard Automotive, Inc.
8.50%		05/01/18			9,900,000		10,197,000
Goodyear Tire & Rubber Co.
8.25%		08/15/20			20,110,000		20,461,925
8.75%		08/15/20			2,500,000		2,587,500
Tenneco, Inc.
6.88%		12/15/20			6,700,000		6,532,500
8.12%		11/15/15			2,125,000		2,188,750
UCI International, Inc. (WI)
8.62%		02/15/19			4,777,000		4,454,553
Visteon Corp.
6.75%		04/15/19	²		2,600,000		2,437,500

							52,037,228

Banking — 2.87%
Ally Financial, Inc.
2.53%		12/01/14	³		2,553,000		2,193,716
8.00%		03/15/20			3,250,000		3,016,390
Ally Financial, Inc. (WI)
7.50%		09/15/20			3,450,000		3,135,187
BAC Capital Trust XV
1.13%		06/01/56	³		7,000,000		4,056,841
Bank of America N.A. (BKNT)
0.65%		06/15/17	³		2,000,000		1,473,302
BankAmerica Capital III
0.82%		01/15/27	³		2,700,000		1,686,348
Chase Capital III, Series C
0.88%		03/01/27	³		3,000,000		2,379,513
Chase Capital VI
0.88%		08/01/28	³		1,000,000		787,903
Credit Suisse AG/Guernsey, Series 1 (Switzerland)
0.98%		05/29/49	^3,4		6,695,000		4,377,994
First Chicago NBD Institutional Capital I
0.80%		02/01/27	³		540,000		428,768
Fleet Capital Trust V
1.35%		12/18/28	³		3,750,000		2,406,330
Nationsbank Cap Trust III
0.80%		01/15/27	³		9,042,000		5,605,416
Provident Funding Associates LP/PFG Finance Corp.
10.25%		04/15/17	²		17,795,000		17,350,125

							48,897,833


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications — 12.25%
CCO Holdings LLC/CCO Holdings Capital Corp.
7.00%		01/15/19		$	11,310,000	$	11,027,250
7.00%		01/15/19	²		5,000,000		4,912,500
7.88%		04/30/18			2,400,000		2,454,000
CCO Holdings LLC/CCO Holdings Capital Corp. (WI)
8.12%		04/30/20			4,002,000		4,202,100
Cengage Learning Acquisitions, Inc.
10.50%		01/15/15	²		12,357,000		7,970,265
Cequel Communications Holdings I LLC and Cequel Capital Corp.
8.62%		11/15/17	²		27,150,000		26,878,500
Clearwire Communications LLC/Clearwire Finance, Inc.
8.25%		12/01/40	²		4,650,000		2,306,865
12.00%		12/01/15	²		4,500,000		3,825,000
GCI, Inc. (WI)
8.62%		11/15/19			8,660,000		9,071,350
Intelsat Jackson Holdings SA (Luxembourg)
7.25%		04/01/19	^2,4		1,400,000		1,309,000
Intelsat Jackson Holdings SA (PIK) (Luxembourg)
8.50%		11/01/19	⁴		6,935,000		6,865,650
Intelsat Luxembourg SA (PIK) (Luxembourg)
11.50%		02/04/17	^2,4		8,655,000		7,335,113
Intelsat Luxembourg SA (PIK) (WI) (Luxembourg)
11.25%		02/04/17	⁴		4,000,000		3,480,000
11.50%		02/04/17	⁴		14,148,018		12,202,666
iPCS, Inc. (PIK)
3.50%		05/01/14			9,000,000		7,875,000
Level 3 Financing, Inc.
4.20%		02/15/15	³		17,800,000		15,041,000
8.75%		02/15/17			11,365,000		10,455,800
McClatchy Co.
11.50%		02/15/17			17,405,000		15,185,863
ProQuest LLC/ProQuest Notes Co.
9.00%		10/15/18	²		3,000,000		2,782,500
Sprint Nextel Corp.
6.00%		12/01/16			12,595,000		10,894,675
Univision Communications, Inc.
6.88%		05/15/19	²		4,900,000		4,385,500
7.88%		11/01/20	²		2,000,000		1,850,000
Visant Corp.
10.00%		10/01/17			15,075,000		14,019,750
Windstream Corp.
7.75%		10/15/20			1,700,000		1,666,000
7.88%		11/01/17			14,575,000		14,830,063


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Windstream Corp. (WI)
8.12%		09/01/18		$	5,545,000	$	5,794,525

							208,620,935

Consumer Discretionary — 2.77%
American Achievement Corp.
10.88%		04/15/16	²		8,000,000		6,260,000
Cott Beverages, Inc.
8.12%		09/01/18			4,055,000		4,156,375
Reynolds Group Issuer, Inc./Reynolds Group
Issuer LLC
7.12%		04/15/19	²		5,000,000		4,675,000
7.88%		08/15/19	²		6,150,000		5,965,500
9.00%		04/15/19	²		15,750,000		13,348,125
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand)
6.88%		02/15/21	^2,4		4,000,000		3,670,000
8.25%		02/15/21	^2,4		5,920,000		4,676,800
Spectrum Brands Holdings, Inc.
9.50%		06/15/18			4,200,000		4,494,000

							47,245,800

Electric — 10.31%
AES Red Oak LLC, Series A (PIK)
8.54%		11/30/19			2,342,469		2,412,743
Calpine Construction Finance Co. LP and CCFC Finance Corp.
8.00%		06/01/16	²		7,190,000		7,405,700
Coso Geothermal Power Holdings
7.00%		07/15/26	²		6,414,055		4,708,795
Dynegy Holdings, Inc.
7.50%		06/01/15			8,350,000		5,385,750
Dynegy Roseton/Danskammer Pass Through Trust Series B, Series B
7.67%		11/08/16			20,346,000		11,190,300
Edison Mission Energy
7.00%		05/15/17			32,510,000		19,506,000
7.20%		05/15/19			5,890,000		3,386,750
Energy Future Holdings Corp., Series Q
6.50%		11/15/24			9,600,000		3,696,000
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.
10.00%		12/01/20			5,781,000		5,665,380
FPL Energy National Wind Portfolio LLC
6.12%		03/25/19	²		3,837,630		3,748,320
GenOn Americas Generation LLC
8.50%		10/01/21			27,415,000		23,713,975
9.12%		05/01/31			6,400,000		5,408,000
GenOn REMA LLC, Series B
9.24%		07/02/17			2,060,114		2,111,617


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Indiantown Cogeneration LP, Series A-10
9.77%		12/15/20		$	1,583,571	$	1,662,750
Mirant Mid Atlantic Pass Through Trust B, Series B
9.12%		06/30/17			3,577,658		3,649,211
Mirant Mid Atlantic Pass Through Trust C, Series C
10.06%		12/30/28			7,097,735		7,452,622
NRG Energy, Inc.
7.38%		01/15/17			150,000		155,437
7.62%		01/15/18	²		33,570,000		31,387,950
7.62%		05/15/19	²		1,680,000		1,587,600
7.88%		05/15/21	²		14,000,000		12,810,000
PNM Resources, Inc.
9.25%		05/15/15			7,525,000		8,352,750
Puget Energy, Inc. (WI)
6.50%		12/15/20			5,000,000		5,081,250
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.
11.50%		10/01/20	²		4,575,000		3,682,875
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series A
10.25%		11/01/15			3,500,000		1,330,000

							175,491,775

Energy — 14.93%
Allis-Chalmers Energy, Inc.
8.50%		03/01/17			7,095,000		6,988,575
Alpha Appalachia Holdings, Inc.
3.25%		08/01/15			17,100,000		15,240,375
Alta Mesa Holdings/Alta Mesa Finance Services Corp. (WI)
9.62%		10/15/18			7,750,000		7,168,750
Arch Coal, Inc.
7.00%		06/15/19	²		7,150,000		6,828,250
7.25%		10/01/20			1,250,000		1,206,250
Arch Coal, Inc. (WI)
8.75%		08/01/16			3,780,000		3,950,100
Chaparral Energy, Inc.
8.88%		02/01/17			27,094,000		25,739,300
9.88%		10/01/20			3,750,000		3,656,250
Chesapeake Energy Corp.
2.25%		12/15/38			24,910,000		21,193,976
2.50%		05/15/37			6,250,000		5,984,375
Milagro Oil & Gas
10.50%		05/15/16	²		12,000,000		9,660,000
OPTI Canada, Inc. (Canada)
7.88%		12/15/14	^4,5,6		12,822,000		8,013,750
8.25%		12/15/14	^4,5,6		8,950,000		5,660,875


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Parker Drilling Co.
9.12%		04/01/18		$	9,757,000	$	9,903,355
Penn Virginia Corp.
10.38%		06/15/16			5,250,000		5,525,625
Quicksilver Resources, Inc.
8.25%		08/01/15			18,425,000		17,595,875
9.12%		08/15/19			1,260,000		1,203,300
11.75%		01/01/16			7,700,000		8,354,500
Sabine Pass LNG LP
7.25%		11/30/13			21,950,000		21,346,375
7.50%		11/30/16			28,080,000		26,395,200
Southern Union Co.
7.20%		11/01/66	³		48,797,000		41,477,450
Tesoro Corp.
9.75%		06/01/19			1,000,000		1,085,000

							254,177,506

Entertainment — 1.52%
Live Nation Entertainment, Inc.
8.12%		05/15/18	²		3,150,000		3,024,000
Pinnacle Entertainment, Inc. (WI)
8.62%		08/01/17			2,600,000		2,632,500
Regal Cinemas Corp.
8.62%		07/15/19			12,650,000		12,887,188
Regal Entertainment Group
9.12%		08/15/18			7,425,000		7,387,875

							25,931,563

Finance — 5.96%
Alta Wind Holdings LLC
7.00%		06/30/35	²		2,407,459		2,661,533
Astoria Depositor Corp.
8.14%		05/01/21	²		7,000,000		6,230,000
BankBoston Capital Trust III
1.10%		06/15/27	³		4,490,000		2,852,492
BankBoston Capital Trust IV
0.94%		06/08/28	³		4,900,000		2,949,511
Barnett Capital III
0.88%		02/01/27	³		6,265,000		3,932,008
Bumble Bee Acquisition Corp.
9.00%		12/15/17	²		5,000,000		4,825,000
Capital One Capital V
10.25%		08/15/39			3,875,000		3,957,344
Chase Capital II, Series B
0.75%		02/01/27	³		11,790,000		9,316,831
CIT Group, Inc.
6.62%		04/01/18	²		9,650,000		9,354,469
7.00%		05/01/15	²		3,500,000		3,478,125
7.00%		05/02/16	²		11,190,000		10,714,425


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Citigroup, Inc.
0.86%		08/25/36	³	$	9,460,000	$	6,220,887
Community Choice Financial, Inc.
10.75%		05/01/19	²		6,530,000		6,497,350
General Electric Capital Corp. (MTN)
0.77%		08/15/36	³		10,480,000		8,223,425
JPMorgan Chase Capital XIII, Series M
1.32%		09/30/34	³		5,917,000		4,613,124
JPMorgan Chase Capital XXI, Series U
1.21%		02/02/37	³		4,750,000		3,423,365
MBNA Capital B, Series B
1.05%		02/01/27	³		9,550,000		6,204,115
ZFS Finance USA Trust II
6.45%		12/15/65	^2,3		6,850,000		6,096,500

							101,550,504

Food — 0.57%
JBS USA LLC/JBS USA Finance, Inc.
7.25%		06/01/21	²		8,475,000		7,034,250
11.62%		05/01/14			2,500,000		2,700,000

							9,734,250

Gaming — 2.45%
Boyd Gaming Corp.
7.12%		02/01/16			9,250,000		6,845,000
CityCenter Holdings LLC/CityCenter Finance Corp.
7.62%		01/15/16	²		10,150,000		9,490,250
Marina District Finance Co., Inc.
9.50%		10/15/15			26,600,000		23,940,000
MGM Resorts International
9.00%		03/15/20			1,350,000		1,390,500

							41,665,750

Health Care — 7.13%
Accellent, Inc.
8.38%		02/01/17			20,228,000		19,368,310
Alere, Inc.
7.88%		02/01/16			1,000,000		950,000
9.00%		05/15/16			4,779,000		4,587,840
CHS/Community Health Systems, Inc.
8.88%		07/15/15			5,961,000		5,841,780
ConvaTec Healthcare E SA (Luxembourg)
10.50%		12/15/18	^2,4		7,000,000		6,230,000
HCA, Inc.
6.50%		02/15/20			20,000		19,550
7.25%		09/15/20			4,520,000		4,587,800
7.50%		12/15/23			3,965,000		3,588,325
8.00%		10/01/18			4,200,000		4,126,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
HCA, Inc. (WI)
7.88%		02/15/20		$	17,000,000	$	17,680,000
8.50%		04/15/19			1,339,000		1,412,645
Tenet Healthcare Corp.
6.88%		11/15/31			20,600,000		15,553,000
10.00%		05/01/18			7,450,000		8,101,875
Universal Health Services, Inc.
7.00%		10/01/18			8,250,000		7,961,250
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc.
7.75%		02/01/19			11,145,000		10,002,638
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc. (WI)
8.00%		02/01/18			12,280,000		11,297,600
Vanguard Health Systems, Inc.
0.00%		02/01/16	⁷		160,000		102,400

							121,411,513

Homebuilding — 0.64%
K Hovnanian Enterprises, Inc.
10.62%		10/15/16			10,000,000		7,550,000
Shea Homes LP/Shea Homes Funding Corp.
8.62%		05/15/19	²		4,000,000		3,290,000

							10,840,000

Industrials — 5.22%
American Reprographics Co.
10.50%		12/15/16			12,000,000		10,860,000
Ardagh Packaging Finance Plc (Ireland)
7.38%		10/15/17	^2,4		3,971,000		3,812,160
9.12%		10/15/20	^2,4		11,835,000		10,947,375
Berry Plastics Corp.
5.00%		02/15/15	³		5,470,000		5,087,100
8.25%		11/15/15			3,250,000		3,323,125
BWAY Holding Co.
10.00%		06/15/18			2,255,000		2,379,025
BWAY Parent Co., Inc. (PIK)
10.12%		11/01/15			10,822,825		10,498,140
Casella Waste Systems, Inc.
7.75%		02/15/19	²		3,300,000		3,118,500
Maxim Crane Works LP
12.25%		04/15/15	²		12,775,000		11,050,375
Packaging Dynamics Corp.
8.75%		02/01/16	²		9,780,000		9,755,550
Polymer Group, Inc.
7.75%		02/01/19	²		4,375,000		4,385,937
Reddy Ice Corp. (WI)
11.25%		03/15/15			14,950,000		13,716,625

							88,933,912


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Information Technology — 0.23%
First Data Corp.
7.38%		06/15/19	²	$	655,000	$	597,687
8.88%		08/15/20	²		3,500,000		3,307,500

							3,905,187

Insurance — 0.42%
Nationwide Mutual Insurance Co.
5.81%		12/15/24	^2,3		7,250,000		7,122,675

Materials — 1.38%
FMG Resources August 2006 Pty Ltd. (Australia)
7.00%		11/01/15	^2,4		525,000		490,875
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC
8.88%		02/01/18			3,000,000		2,490,000
NewPage Corp.
6.50%		05/01/12	^5,6		3,000,000		345,000
10.00%		05/01/12	^5,6		20,533,000		2,463,960
Sappi Papier Holding GmbH (Austria)
6.62%		04/15/21	^2,4		14,310,000		12,235,050
Verso Paper Holdings LLC/Verso Paper, Inc.
8.75%		02/01/19			3,750,000		2,606,250
Verso Paper Holdings LLC/Verso Paper, Inc., Series B
4.00%		08/01/14	³		3,737,000		2,868,147

							23,499,282

Retail — 1.49%
Sears Holdings Corp.
6.62%		10/15/18			30,650,000		25,286,250

Services — 1.83%
Mobile Mini, Inc.
6.88%		05/01/15			7,900,000		7,781,500
Mobile Mini, Inc. (WI)
7.88%		12/01/20			1,250,000		1,206,250
Neff Rental LLC/Neff Finance Corp.
9.62%		05/15/16	²		11,500,000		10,177,500
Service Corp. International/US
7.00%		05/15/19			570,000		578,550
Stonemor Operating LLC/Cornerstone Family Services of WV/Osiris Holding
10.25%		12/01/17			11,925,000		11,448,000

							31,191,800

Transportation — 6.41%
ACL I Corp. (PIK)
10.62%		02/15/16	²		12,619,088		9,905,984
Air Canada (Canada)
9.25%		08/01/15	^2,4		22,155,000		21,158,025


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
American Airlines, Inc.
7.50%		03/15/16	²	$	29,925,000	$	25,885,125
Commercial Barge Line Co. (WI)
12.50%		07/15/17			2,975,000		3,175,813
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			6,657,596		6,224,852
Continental Airlines Pass-Through Trust, Series 2009, Class 1
9.00%		07/08/16			1,550,508		1,709,435
Continental Airlines, Inc.
6.75%		09/15/15	²		3,250,000		3,136,250
Delta Air Lines Pass-Through Trust, Series 2002, Class G1
6.72%		01/02/23			11,291,388		11,122,017
Delta Air Lines Pass-Through Trust, Series 2009, Class B1
9.75%		12/17/16			1,739,368		1,791,549
Florida East Coast Railway Corp. (WI)
8.12%		02/01/17			3,750,000		3,665,625
JetBlue Airways Pass-Through Trust, Series 2004, Class G1
0.66%		08/15/16	³		1,964,940		1,838,954
RailAmerica, Inc.
9.25%		07/01/17			7,829,000		8,514,038
United Air Lines, Inc.
9.88%		08/01/13	²		8,529,000		8,720,903
US Airways Pass-Through Trust, Series 2010-1, Class A
6.25%		04/22/23			2,500,000		2,279,687

							109,128,257

Total Corporates (Cost $1,504,720,698)							1,386,672,020

BANK LOANS — 8.67%*
Automotive — 1.11%
Chrysler Group LLC, Term Loan 1
6.00%		05/24/17	^3,8		21,446,250		18,881,641

Communications — 0.99%
Cengage Learning Acquisitions, Inc., Term Loan
2.49%		07/03/14	^3,8		5,735,065		4,551,181
Dex Media West LLC, Term Loan
7.00%		10/24/14	^3,8		4,002,274		2,741,558
Intelsat Jackson Holdings, Term Loan B
5.26%		04/02/18	^3,8		1,995,000		1,925,590


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
RH Donnelley, Inc., Term Loan
9.00%		10/24/14	^3,8	$	461,224	$	214,469
SuperMedia, Inc., Term Loan 1 (PIK)
10.82%		12/31/15	^3,8		2,358,871		1,058,121
Univision Communications, Inc., 1st Lien Strip
4.49%		03/31/17	^3,8		7,422,494		6,324,581

							16,815,500

Electric — 2.24%
Boston Generating LLC, Term Loan 1st Lien
0.01%		12/20/13	^3,8		254,344		64,858
Entegra Holdings LLC
0.00%		10/19/15	³		20,108,815		12,517,738
Texas Competitive Electric Holdings Co. LLC
4.75%		10/10/17	^3,8		38,022,569		25,605,843

							38,188,439

Energy — 1.62%
MACH Gen LLC, Term Loan 2nd Lien (PIK)
7.83%		02/15/15	^3,8		41,147,155		27,650,888

Finance — 0.10%
Kelson Holdings LLC 2nd Lien (PIK)
6.87%		03/08/14	^3,8		1,751,738		1,694,807

Gaming — 2.05%
Caesars Entertainment Operating Co., Inc., Term Loan B1
3.25%		01/28/15	^3,8		3,000,000		2,526,564
Caesars Entertainment Operating Co., Inc., Term Loan B2
3.25%		01/28/15	^3,8		33,500,000		28,167,906
Caesars Entertainment Operating Co., Inc., Term Loan B3
3.25%		01/28/15	³		4,920,262		4,142,246

							34,836,716

Health Care — 0.02%
HCA, Inc., Term Loan B3
3.62%		05/01/18	^3,8		461,267		434,673

Information Technology — 0.24%
First Data Corp., Term Loan
4.23%		03/24/18	^3,8		4,428,192		3,657,412
First Data Corp., Term Loan B1
2.98%		09/24/14	^3,8		471,249		414,051

							4,071,463


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Transportation — 0.30%
Delta Air Lines, Inc., Term Loan B
5.50%		04/20/17	^3,8	$	5,486,250	$	5,047,350

Total Bank Loans (Cost $168,011,475)							147,621,477

MORTGAGE-BACKED — 0.53%**
Non-Agency Mortgage-Backed — 0.53%
BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina)
8.00%		01/31/20	^2,4,9		2,890		29
Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC4, Class A2B
0.38%		05/25/37	³		4,900,000		2,936,231
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A1
1.14%		10/25/47	³		574,091		409,113
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB6, Class A23
0.38%		07/25/36	³		3,871,998		2,279,793
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B
0.34%		10/25/36	³		3,800,000		3,102,940
Home Equity Asset Trust, Series 2007-1, Class 2A1
0.30%		05/25/37	³		82,873		80,042
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR2, Class A2
0.46%		02/25/37	³		386,282		128,882

							8,937,030

U.S. Agency Mortgage-Backed — 0.00%
Fannie Mae, Series 1993-225, Class SG
26.46%		12/25/13	³		24,929		29,636
Government National Mortgage Association, Series 2003-28, Class LI (IO)
5.50%		02/20/32			13,848		491

							30,127

Total Mortgage-Backed (Cost $6,269,559)							8,967,157

MUNICIPAL BONDS — 0.07%*
New York — 0.07%
New York City Industrial Development Agency
11.00%		03/01/29	²		1,067,000		1,303,511

Total Municipal Bonds (Cost $1,312,831)


						Value
Total Bonds – 90.71% (Cost $1,680,314,563)						$	1,544,564,165


Issues	Maturity Date			Principal Amount		Value
PREFERRED STOCK — 0.75%
Finance — 0.75%
Citigroup Capital XIII
0.05%				$	481,100		12,705,851

Total Preferred Stock (Cost $13,145,577)
SHORT-TERM INVESTMENTS — 4.99%
Commercial Paper — 1.69%
Credit Suisse New York
0.27%¹⁰		11/02/11			11,585,000		11,582,396
National Rural Utilities Cooperative Finance Corp.
0.10%¹⁰		10/03/11			17,210,000		17,210,000

							28,792,396

Money Market Fund — 2.40%
BlackRock Liquidity Funds TempFund Portfolio
0.09%¹¹					11,724,000		11,724,000
Dreyfus Cash Advantage Fund
0.09%¹¹					3,463,000		3,463,000
DWS Money Market Series-Institutional
0.06%¹¹					2,161,000		2,161,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.07%¹¹					16,929,000		16,929,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.10%^11,12					6,600,000		6,600,000

							40,877,000

U.S. Agency Discount Notes — 0.47%
Fannie Mae
0.04%¹⁰		02/06/12			8,000,000		7,999,720

U.S. Treasury Bills — 0.43%
U.S. Treasury Bills
0.01%¹⁰		11/10/11	¹³		7,390,000		7,389,924

Total Short-Term Investments (Cost $85,058,210)							85,059,040


	Value
Total Investments – 96.45% (Cost $1,778,518,350)¹	$	1,642,329,056


Cash and Other Assets, Less Liabilities – 3.55%		60,383,116

Net Assets – 100.00%	$	1,702,712,172


Contracts			Unrealized (Depreciation)
	FUTURES CONTRACTS: SHORT POSITIONS
	834	U.S. Treasury 30 Year Long Bond, Expiration December 2011	$	(5,305,487	)

		Net unrealized depreciation	$	(5,305,487	)


	Expiration Date	Premiums Paid			Notional Amount (000’s) ^a		Appreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
09/20/16		$	12,845		$	300	$	20,813		$	33,658
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc.
09/20/16			12,631			295		20,466			33,097

		$	25,476		$	595	$	41,279		$	66,755


	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) ^a		(Depreciation)			Value^b
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: CS First Boston
06/20/16		$	2,934		$	5,000	$	(456,957	)	$	(454,023	)
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: CS First Boston
06/20/16			(2,958	)		5,000		(451,065	)		(454,023	)
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: CS First Boston
06/20/16			(302,828	)		10,000		(605,217	)		(908,045	)
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: CS First Boston
06/20/16			(1,547,034	)		25,000		(723,080	)		(2,270,114	)


	Expiration Date		Premiums Paid/ (Received)			Notional Amount (000’s) ^a		(Depreciation)			Value^b
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued)
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: JPMorgan Chase & Co.
		06/20/16	$	(2,958	)	$	5,000	$	(451,065	)	$	(454,023	)
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: JPMorgan Chase & Co.
		06/20/16		250,291			20,000		(2,066,382	)		(1,816,091	)
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series NA HY 16, due 06/20/16. Counterparty: Morgan Stanley
		06/20/16		(619,862	)		10,000		(288,184	)		(908,046	)

			$	(2,222,415	)	$	80,000	$	(5,041,950	)	$	(7,264,365	)

^a	The maximum potential payment the Fund could be required to make 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 the swap agreement.

Notes:

¹	Cost for federal income tax purposes is $1,778,995,351 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	19,927,757
Gross unrealized depreciation		(156,594,052	)

Net unrealized depreciation	$	(136,666,295	)

³	Floating rate security. The rate disclosed was in effect at September 30, 2011.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Security is currently in default with regard to scheduled interest or principal payments.

⁶	Non-income producing security.

⁷	Zero coupon bond. The rate shown is the effective yield as of September 30, 2011.

⁸	Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
12/08/09	Boston Generating LLC, Term Loan 1st Lien, 0.01%, 12/20/13	$	215,436	$	64,858	0.00%
10/05/10	Caesars Entertainment Operating Co., Inc., Term Loan B1, 3.25%, 01/28/15		2,697,332		2,526,564	0.15%


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
10/09/09	Caesars Entertainment Operating Co., Inc., Term Loan B2, 3.25%, 01/28/15	$	30,561,665	$	28,167,906	1.66%
07/29/11	Cengage Learning Acquisitions, Inc., Term Loan, 2.49%, 07/03/14		4,977,700		4,551,181	0.27%
05/19/11	Chrysler Group LLC, Term Loan 1, 6.00%, 05/24/17		21,022,222		18,881,641	1.11%
04/15/11	Delta Air Lines, Inc., Term Loan B, 5.50%, 04/20/17		5,409,875		5,047,350	0.30%
01/13/09	Dex Media West LLC, Term Loan, 7.00%, 10/24/14		3,332,037		2,741,558	0.16%
01/28/09	First Data Corp., Term Loan, 4.23%, 03/24/18		3,727,669		3,657,412	0.22%
05/21/10	First Data Corp., Term Loan B1, 2.98%, 09/24/14		418,537		414,051	0.02%
06/22/09	HCA, Inc., Term Loan B3, 3.62%, 05/01/18		447,010		434,673	0.02%
12/17/10	Intelsat Jackson Holdings, Term Loan B, 5.26%, 04/02/18		1,986,021		1,925,590	0.12%
01/11/11	Kelson Holdings LLC 2nd Lien (PIK), 6.87%, 03/08/14		1,672,604		1,694,807	0.10%
01/08/09	MACH Gen LLC, Term Loan 2nd Lien (PIK), 7.83%, 02/15/15		33,090,069		27,650,888	1.62%
01/11/10	RH Donnelley, Inc., Term Loan, 9.00%, 10/24/14		450,504		214,469	0.01%
01/29/10	SuperMedia, Inc., Term Loan 1 (PIK), 10.82%, 12/31/15		2,073,122		1,058,121	0.06%
06/11/09	Texas Competitive Electric Holdings Co. LLC, 4.75%, 10/10/17		31,141,033		25,605,843	1.50%
09/27/10	Univision Communications, Inc., 1st Lien Strip, 4.49%, 03/31/17		6,933,532		6,324,581	0.37%

		$	150,156,368	$	130,961,493	7.69%

⁹	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $29, which is 0.00% of total net assets.

¹⁰	Represents annualized yield at date of purchase.

¹¹	Represents the current yield as of September 30, 2011.

¹²	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $6,600,000.

¹³	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $2,594,974.

*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(BKNT):

Banker’s Note, Inc.

(IO):

Interest only

(MTN):

Medium-term note

(PIK):

Payment in kind

(WI):

When issued


Issues	Maturity Date			Principal Amount		Value
BONDS — 99.18%
ASSET-BACKED SECURITIES — 16.23%**
Aerco Ltd., Series 2A, Class A3 (United Kingdom)
0.69%		07/15/25	^2,3,4	$	2,328,915	$	1,746,689
Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1
0.49%		06/14/37	^3,4		1,041,784		921,979
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
0.53%		11/14/33	^2,3,4		1,174,789		1,033,814
CIT Education Loan Trust, Series 2007-1, Class A
0.45%		03/25/42	^3,4		2,143,667		1,962,469
Crystal River, Series 2005-1A, Class A (Cayman Islands)
0.69%		03/02/46	^2,3,4		470,845		56,796
EFS Volunteer LLC, Series 2010-1, Class A2
1.10%		10/25/35	^3,4		800,000		761,723
GE Business Loan Trust, Series 2003-2A, Class A
0.60%		11/15/31	^3,4		1,062,642		987,671
GE Business Loan Trust, Series 2004-1, Class A
0.52%		05/15/32	^3,4		1,067,537		996,767
GE Business Loan Trust, Series 2004-2A, Class A
0.45%		12/15/32	^3,4		666,311		577,765
GE Business Loan Trust, Series 2005-1A, Class A3
0.48%		06/15/33	^3,4		1,471,906		1,244,296
GE Business Loan Trust, Series 2005-2A, Class A
0.47%		11/15/33	^3,4		1,333,435		1,122,362
GE Corporate Aircraft Financing LLC, Series 2005-1A, Class B
0.88%		08/26/19	^3,4		432,810		398,185
GE Corporate Aircraft Financing LLC, Series 2005-1A, Class C
1.54%		08/26/19	^3,4		953,000		862,465
GE Seaco Finance SRL, Series 2004-1A, Class A (Barbados)
0.53%		04/17/19	^2,3,4		310,000		301,654
GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados)
0.48%		11/17/20	^2,3,4		531,250		510,326
Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda)
0.47%		12/19/32	^2,3,4		1,026,919		906,416
Green Tree Recreational Equipment & Consumer Trust, Series 1996-C, Class CTFS
7.65%		10/15/17			369		338
Lease Investment Flight Trust, Series 1, Class A1
0.62%		07/15/31	³		400,000		262,000


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Lease Investment Flight Trust, Series 1, Class A2
0.66%		07/15/31	³	$	2,300,000	$	1,496,426
North Carolina State Education Authority 2011-1 A3
1.15%		10/25/41	³		2,650,000		2,431,614
Northstar Education Finance, Inc., Student Loan Asset Backed Notes, Series 2007-1
0.31%		01/29/46	³		2,250,000		2,035,730
PAMCO CLO, Series 1998-1A, Class B2 (Cayman Islands)
1.60%		12/31/11	^2,3,4,5,†		422,840		8,457
Peach Finance Co. 2000 A
4.71%		04/15/48	⁴		752,885		784,882
TAL Advantage LLC 2006-1 NOTE
0.42%		04/20/21	^3,4		275,000		250,509
TAL Advantage LLC, Series 2010-2A, Class A
4.30%		10/20/25	⁴		467,792		444,612
TAL Advantage LLC, Series 2011-1A, Class A
4.60%		01/20/26	⁴		233,333		233,713
TAL Advantage LLC, Series 2011-2A, Class A
4.31%		05/20/26	⁴		483,333		491,848
Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda)
0.48%		05/15/20	^2,3,4		412,500		383,934
Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda)
4.70%		06/15/26	^2,4		1,218,750		1,227,646
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A
8.00%		07/06/14	^4,5,†		475,000		474,997
Triton Container Finance LLC, Series 2006-1A NOTE
0.40%		11/26/21	^3,4		658,750		600,926
Triton Container Finance LLC, Series 2007-1A NOTE
0.37%		02/26/19	^3,4		459,115		427,308
US Education Loan Trust IV LLC, Series 2006-1, Class A4
0.31%		03/01/41	^4,†		900,000		746,995
US Education Loan Trust LLC, Series 2006-2A, Class A1
0.51%		03/01/31	^3,4		2,800,000		2,497,099

Total Asset-Backed Securities
(Cost $30,408,474)							29,190,411

CORPORATES — 24.57%*
Banking — 4.45%
BAC Capital Trust XV
1.13%		06/01/56³			2,000,000		1,159,097
Chase Capital VI
0.88%		08/01/28³			1,000,000		787,902


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Credit Suisse AG/Guernsey, Series 1 (Switzerland)
0.98%		05/29/49	^2,3	$	4,900,000	$	3,204,208
Deutsche Bank Capital Funding Trust VII
5.63%		01/19/49	^3,4		1,000,000		680,000
Fleet Capital Trust V
1.35%		12/18/28	³		950,000		609,604
Nationsbank Cap Trust III
0.80%		01/15/27	³		1,000,000		619,931
NB Capital Trust IV
8.25%		04/15/27			1,010,000		944,350

							8,005,092

Communications — 2.38%
CCH II LLC/CCH II Capital Corp.
13.50%		11/30/16			525,000		601,782
CSC Holdings LLC
8.50%		06/15/15			2,360,000		2,495,700
Nextel Communications, Inc., Series C
5.95%		03/15/14			1,250,000		1,175,000

							4,272,482

Electric — 3.03%
Calpine Construction Finance Co. LP and CCFC Finance Corp.
8.00%		06/01/16	⁴		1,875,000		1,931,250
Dynegy Roseton/Danskammer Pass Through Trust Series B, Series B
7.67%		11/08/16			1,175,000		646,250
GenOn REMA LLC, Series B
9.24%		07/02/17			1,980,879		2,030,401
NRG Energy, Inc.
7.88%		05/15/21	⁴		915,000		837,225

							5,445,126

Energy — 3.51%
Arch Coal, Inc.
7.00%		06/15/19	⁴		650,000		620,750
Sabine Pass LNG LP
7.25%		11/30/13			3,930,000		3,821,925
Southern Union Co.
7.20%		11/01/66	³		2,200,000		1,870,000

							6,312,675

Finance — 6.44%
Astoria Depositor Corp.
8.14%		05/01/21	⁴		1,200,000		1,068,000
Barnett Capital III
0.88%		02/01/27	³		1,000,000		627,615


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Chase Capital II, Series B
0.75%		02/01/27	³	$	3,144,000	$	2,484,488
CIT Group, Inc.
6.62%		04/01/18	⁴		1,195,000		1,158,403
Citigroup, Inc.
0.86%		08/25/36	³		3,350,000		2,202,957
General Electric Capital Corp. (MTN)
0.65%		05/05/26	³		2,319,000		1,863,518
0.77%		08/15/36	³		1,000,000		784,678
JPMorgan Chase Capital XXIII
1.29%		05/15/47	³		200,000		135,380
Prudential Holdings LLC
8.70%		12/18/23	⁴		1,000,000		1,264,453

							11,589,492

Health Care — 0.77%
CHS/Community Health Systems, Inc.
8.88%		07/15/15			485,000		475,300
HCA, Inc. (WI)
7.88%		02/15/20			870,000		904,800

							1,380,100

Insurance — 0.63%
Farmers Exchange Capital
7.05%		07/15/28	⁴		1,000,000		1,126,309

Real Estate Investment Trust (REIT) — 0.31%
HCP, Inc.
7.07%		06/08/15			500,000		549,767

Transportation — 3.05%
AWAS Aviation Capital Ltd. (Ireland)
7.00%		10/15/16	^2,4		618,800		609,518
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			2,578,578		2,410,970
Delta Air Lines Pass-Through Trust, Series 2002, Class G1
6.72%		01/02/23			759,620		748,226
JetBlue Airways Pass-Through Trust, Series 2004, Class G1
0.66%		08/15/16	³		898,258		840,665
UAL Pass-Through Trust, Series 2009-1
10.40%		11/01/16			818,209		881,620

							5,490,999

Total Corporates (Cost $42,175,470)							44,172,042


Issues	Maturity Date	Principal Amount		Value
BANK LOANS — 2.12%*
Electric — 0.02%
Boston Generating LLC, Term Loan 1st Lien
0.01%	12/20/13^3,6	$	107,166	$	27,327

Energy — 0.58%
MACH Gen LLC, Term Loan 2nd Lien (PIK)
7.83%	02/15/15^3,6		1,560,318		1,048,534

Gaming — 1.52%
Caesars Entertainment Operating Co., Inc., Term Loan B2
3.25%	01/28/15^3,6		3,250,000		2,732,707

Total Bank Loans (Cost $4,315,708)					3,808,568

MORTGAGE-BACKED — 56.12%**
Commercial Mortgage-Backed — 0.48%
Bayview Commercial Asset Trust, Series 2006-SP1, Class M1
0.68%	04/25/36^3,4		1,275,000		870,980

Non-Agency Mortgage-Backed — 42.78%
Asset Backed Securities Corp. Home Equity, Series 2007-HE1, Class A4
0.38%	12/25/36³		3,000,000		1,309,968
Banc of America Funding Corp., Series 2006-D, Class 1A2
0.51%	05/20/36³		5,900,000		1,489,528
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%	06/30/20^2,4,5		99,269		7,693
BCAP LLC Trust, Series 2011-RR3, Class 1A5
5.43%	05/27/37^3,4		2,285,634		2,201,812
BCAP LLC Trust, Series 2010-RR11, Class 3A2
2.82%	06/27/36^3,4		2,103,740		1,941,080
BCAP LLC Trust, Series 2011-RR3, Class 5A3
4.76%	11/27/37^3,4		2,724,104		2,417,894
BCAP LLC Trust, Series 2011-RR4, Class 1A3
2.90%	03/26/36^3,4		1,380,321		1,259,543
BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina)
8.00%	01/31/20^2,4,5		110		1
Centex Home Equity, Series 2006-A, Class AV4
0.48%	06/25/36³		4,300,000		2,357,448
Citicorp Residential Mortgage Securities, Inc., Series 2007-1, Class A5 (STEP)
6.05%	03/25/37		1,750,000		1,168,620
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.42%	03/25/37³		2,500,000		1,773,795


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class M1
0.64%		03/25/37	³	$	6,500,000	$	1,329,361
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			1,046,874		1,142,282
Conseco Finance Securitizations Corp., Series 2002-1, Class A
6.68%		12/01/33	³		80,078		85,198
Conseco Finance, Series 2002-C, Class BF1
8.00%		06/15/32	³		3,763,000		3,396,064
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^3,4		1,022,738		782,885
Conseco Financial Corp., Series 1996-10, Class M1
7.24%		11/15/28	³		2,700,000		2,934,493
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	³		1,162,000		1,267,266
Conseco Financial Corp., Series 1996-8, Class A6
7.60%		10/15/27	³		21,334		22,241
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	³		594,283		659,782
Conseco Financial Corp., Series 1998-3, Class A6
6.76%		03/01/30	³		1,038,411		1,096,901
Conseco Financial Corp., Series 1998-4, Class A6
6.53%		04/01/30	³		1,213,911		1,274,833
Conseco Financial Corp., Series 1998-4, Class A7
6.87%		04/01/30	³		601,091		637,354
Conseco Financial Corp., Series 1999-5, Class A5
7.86%		03/01/30	³		136,148		120,938
Countrywide Asset-Backed Certificates, Series 2007-4, Class A2
5.53%		09/25/37	³		930,000		796,305
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB4, Class AV3
0.38%		05/25/36	³		6,460,055		3,419,091
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB6, Class A24
0.48%		07/25/36	³		3,000,000		1,009,793
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A1 (STEP)
5.42%		03/25/37			2,437,333		941,009


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2007-AR3, Class 2A4
0.58%		06/25/37	³	$	4,800,000	$	1,382,052
Deutsche Financial Capital Securitization LLC, Series 1997-I, Class A3
6.75%		09/15/27			36,672		37,340
First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF1, Class A2D
0.46%		01/25/38	³		3,900,000		1,687,826
Green Tree Home Improvement Loan Trust, Series 1995-C, Class B2
7.60%		07/15/20			16,263		16,040
Green Tree Home Improvement Loan Trust, Series 1995-D, Class B2
7.45%		09/15/25			69,467		60,623
Green Tree Home Improvement Loan Trust, Series 1995-F, Class B2
7.10%		01/15/21			9,241		8,997
Green Tree, Series 2008-MH1, Class A3
8.97%		04/25/38	^3,4		2,067,576		2,209,036
HSBC Home Equity Loan Trust, Series 2007-1, Class M1
0.61%		03/20/36	³		1,210,000		863,931
HSBC Home Equity Loan Trust, Series 2007-2, Class M2
0.60%		07/20/36	³		735,000		491,802
Indymac Index Mortgage Loan Trust, Series 2007-FLX2, Class A1C
0.42%		04/25/37	³		2,641,326		913,541
Indymac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			741,688		738,864
Indymac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%		02/25/28			312,226		311,039
Indymac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			249,108		254,194
Indymac Manufactured Housing Contract, Series 1998-1, Class A5
6.96%		09/25/28	³		600,433		626,326
Indymac Manufactured Housing Contract, Series 1998-2, Class A2
6.17%		12/25/11			109,419		109,491
Indymac Manufactured Housing Contract, Series 1998-2, Class A4
6.64%		12/25/27	³		1,083,291		1,081,734
JPMorgan Mortgage Acquisition Corp., Series 2007-CH5, Class A3
0.34%		05/25/37	³		1,575,000		1,095,946
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		08/15/28	³		1,166,908		1,265,172


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1
0.32%		06/25/37	^3,4	$	123,644	$	41,683
Lehman XS Trust, Series 2006-13, Class 1A2
0.40%		09/25/36	³		2,002,960		1,300,588
Lehman XS Trust, Series 2006-13, Class 1A3
0.52%		09/25/36	³		4,971,012		1,270,015
Lehman XS Trust, Series 2006-19, Class A2
0.40%		12/25/36	³		2,081,166		1,226,384
Lehman XS Trust, Series 2006-9, Class A1B
0.40%		05/25/46	³		2,010,975		1,118,847
Lehman XS Trust, Series 2007-12N, Class 1A3A
0.44%		07/25/47	³		5,620,000		1,802,680
Merrill Lynch Mortgage Investors, Inc., Series 2004-HE2, Class A2C
0.82%		08/25/35	³		709,726		658,137
Mid-State Trust, Series 11, Class B
8.22%		07/15/38			17,046		17,089
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			1,276,109		1,279,485
Mid-State Trust, Series 2004-1, Class M1
6.50%		08/15/37			882,566		885,153
Mid-State Trust, Series 6, Class A4
7.79%		07/01/35			47,754		46,790
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%		06/25/36	³		3,336,493		1,665,205
Nationstar Home Equity Loan Trust, Series 2007-A, Class AV4
0.46%		03/25/37	³		5,000,000		2,615,045
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%		09/15/22	³		1,676,105		1,380,706
Oakwood Mortgage Investors, Inc., Series 1998-A, Class A4
6.20%		05/15/28			1,351		1,360
Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4
6.35%		03/15/17			102,044		102,274
Oakwood Mortgage Investors, Inc., Series 1998-D, Class A
6.40%		01/15/29			714,505		721,760
Oakwood Mortgage Investors, Inc., Series 1999-A, Class A2
5.89%		04/15/29			156,589		157,971
Oakwood Mortgage Investors, Inc., Series 1999-B, Class A4
6.99%		12/15/26			1,233,071		1,247,008


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Oakwood Mortgage Investors, Inc., Series 2002-A, Class A3
6.03%		05/15/24	³	$	1,122,711	$	1,129,858
Oakwood Mortgage Investors, Inc. 2002-A AIO (IO)
6.00%		03/15/32	^5,†		176,245		2
Opteum Mortgage Acceptance Corp., Series 2005-5, Class 2A1B
5.64%		12/25/35	³		529,023		515,034
Origen Manufactured Housing, Series 2005-A, Class M1
5.46%		06/15/36	³		1,117,085		1,136,413
Origen Manufactured Housing, Series 2006-A, Class A1
0.38%		11/15/18	³		1,301,434		1,280,868
Securitized Asset Backed Receivables LLC Trust, Series 2006-HE2, Class A2D
0.48%		07/25/36	³		2,200,000		763,904
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR4, Class A2C
0.52%		05/25/37	³		2,600,000		876,858
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
0.48%		12/25/36	^3,4		1,152,047		578,640
Terwin Mortgage Trust, Series 2004-7HE, Class A1
0.78%		07/25/34	^3,4		122,539		100,783
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.96%		04/15/30	³		585		244
UCFC Manufactured Housing Contract, Series 1997-4, Class A4
7.00%		04/15/29	³		605,435		621,639
Vanderbilt Mortgage Finance, Series 2002-C, Class A5
7.60%		12/07/32			1,100,000		1,135,522
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A
0.94%		01/25/47	³		2,724,453		1,220,070
Washington Mutual MSC Mortgage Pass-Through CTFS, Series 2003-MS9, Class 1A
7.00%		04/25/33			20,072		20,670

							76,915,817

U.S. Agency Mortgage-Backed — 12.86%
Fannie Mae (TBA)
3.00%		10/25/26			2,700,000		2,780,578
Fannie Mae, Series 1993-80, Class S
10.57%		05/25/23	³		11,814		13,487
Fannie Mae, Series 2000-45, Class SA (IO)
7.72%		12/18/30	³		1,978,946		355,406


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 2001-42, Class SB
8.50%		09/25/31	³	$	1,779	$	2,061
Fannie Mae, Series 2003-124, Class IO (IO)
5.25%		03/25/31			20,459		104
Fannie Mae, Series 2003-124, Class TS
9.80%		01/25/34	³		28,436		34,751
Fannie Mae, Series 2003-37, Class IG (IO)
5.50%		05/25/32			426,654		26,017
Fannie Mae, Series 2005-92, Class US (IO)
5.86%		10/25/25	³		7,787,503		962,587
Fannie Mae, Series 2006-125, Class SM (IO)
6.96%		01/25/37	³		8,982,494		1,608,297
Fannie Mae, Series 2008-50, Class SA (IO)
5.82%		11/25/36	³		8,030,640		1,201,781
Fannie Mae, Series 2010-112, Class PI (IO)
6.00%		10/25/40			5,808,030		1,101,419
Fannie Mae, Series 2010-43, Class KS (IO)
6.18%		05/25/40	³		6,382,050		906,205
Freddie Mac Gold (TBA)
3.50%		10/15/26			1,045,000		1,088,433
Freddie Mac, Series 1602, Class SN
10.09%		10/15/23	³		14,590		17,921
Freddie Mac, Series 1673, Class SD
14.72%		02/15/24	³		633,792		816,888
Freddie Mac, Series 1760, Class ZD
1.67%		02/15/24	³		1,362,180		1,378,001
Freddie Mac, Series 2527, Class TI (IO)
6.00%		02/15/32			79,039		1,059
Freddie Mac, Series 2561, Class BX (IO)
5.00%		05/15/17			203,039		3,001
Freddie Mac, Series 2642, Class BW (IO)
5.00%		06/15/23			72,675		7,540
Freddie Mac, Series 2657, Class LX (IO)
6.00%		05/15/18			344,547		20,367
Freddie Mac, Series 2764, Class SH
7.50%		03/15/34	³		105,616		107,972
Freddie Mac, Series 3242, Class SA (IO)
6.12%		11/15/36	³		27,360,658		4,306,029
Freddie Mac, Series 3247, Class SI (IO)
0.15%		08/15/36	³		74,302,191		276,828
Freddie Mac, Series 3260, Class AS (IO)
6.15%		01/15/37	³		30,123,389		4,766,132
Freddie Mac, Series 3289, Class SD (IO)
5.89%		03/15/37	³		8,227,580		883,014
Government National Mortgage Association, Series 2001-31, Class SJ
27.19%		02/20/31	³		63,218		109,765


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Government National Mortgage Association, Series 2003-28, Class LI (IO)
5.50%		02/20/32		$	38,430	$	1,362
Government National Mortgage Association, Series 2004-8, Class SE
13.83%		11/26/23	³		283,198		350,785

							23,127,790

Total Mortgage-Backed (Cost $103,533,674)							100,914,587

MUNICIPAL BONDS — 0.14%*
Illinois — 0.14%
State of Illinois, Taxable Bonds
4.07%		01/01/14			250,000		257,940

Total Municipal Bonds (Cost $248,898)							257,940

Total Bonds – 99.18% (Cost $180,682,224)							178,343,548


Issues	Shares		Value
PREFERRED STOCK — 2.04%
Communications — 0.76%
Citizens Communications Co. Preferred Plus Trust
0.10%		12,100		291,610
Corts Trust for US West Communications
0.09%		7,118		179,943
Qwest Capital Funding Preferred Plus Trust
0.10%		9,650		237,583
0.10%		19,500		487,110
Verizon Global Funding Corp. Preferred Plus Trust
0.10%		6,100		163,907

				1,360,153

Electric — 0.69%
PPL Corp.
0.12%		22,500		1,246,500

Finance — 0.59%
Citigroup Capital XIII
0.05%		40,000		1,056,400


Issues			Shares		Value
PREFERRED STOCK (continued)
Finance (continued)
Terwin Mortgage Trust 2005-P1 A
0.00%^3,5,6,†	11/25/35		$	570	$	1

						1,056,401

Total Preferred Stock (Cost $3,417,447)						3,663,054

SHORT-TERM INVESTMENTS — 0.42%
Money Market Fund — 0.41%
BlackRock Liquidity Funds TempFund Portfolio
0.09%⁷				463,000		463,000
DWS Money Market Series-Institutional
0.06%⁷				278,000		278,000

						741,000

U.S. Treasury Bills — 0.01%
U.S. Treasury Bills
0.03%⁸	12/08/11	⁹		15,000		15,000

Total Short-Term Investments (Cost $755,999)						756,000

Total Investments – 101.64% (Cost $184,855,670)¹						182,762,602


Liabilities in Excess of Other Assets – (1.64)%						(2,948,241	)

NET ASSETS – 100.00%					$	179,814,361


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
7	Euro Dollar Ninety Day, Expiration December 2011	$	(51,167	)
7	Euro Dollar Ninety Day, Expiration March 2012		(53,980	)
7	Euro Dollar Ninety Day, Expiration June 2012		(57,568	)

	Net unrealized depreciation	$	(162,715	)


	Expiration Date		Notional Amount (000’s)		(Depreciation)			Value
SWAPS: TOTAL RETURN
Based on the change in the return of the markit IOS Index referencing the interest component of the 6.50% coupon, 30-year, fixed rate Fannie Mae residential mortgage-backed securities pools. Counterparty: Deutsche Bank AG
		01/12/39	$	925	$	(14,999	)	$	(14,999	)

			$	925	$	(14,999	)	$	(14,999	)


	Expiration Date		Premiums Paid		Notional Amount (000’s) ^b		Appreciation		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
		09/20/16	$	5,566	$	130	$	9,019	$	14,585
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc.
		09/20/16		5,566		130		9,019		14,585

				$11,132		$260		$18,038		$29,170


Expiration Date	Credit Rating^a		Premiums (Received)			Notional Amount (000’s) ^b		(Depreciation)			Value^c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Barclays Capital, Inc.
09/20/16		A+	$	(95,558	)	$	1,715	$	(29,647	)	$	(125,205	)

			$	(95,558	)	$	1,715	$	(29,647	)	$	(125,205	)

^a	Using Standard & Poor’s rating of the issuer.

^b	The maximum potential payment the Fund could be required to make 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 the swap agreement.

Notes:

¹	Cost for federal income tax purposes is $185,301,979 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	10,199,989
Gross unrealized depreciation		(12,739,366	)

Net unrealized depreciation	$	(2,539,377	)

²	U.S. dollar-denominated security issued by foreign-domiciled entity.

³	Floating rate security. The rate disclosed was in effect at September 30, 2011.

⁴

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $491,151, which is 0.27% of total net assets.

⁶	Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:


Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
12/19/06	Boston Generating LLC, Term Loan 1st Lien, 0.01%, 12/20/13	$	107,167	$	27,327	0.02%
06/24/10	Caesars Entertainment Operating Co., Inc., Term Loan B2, 3.25%, 01/28/15		2,892,421		2,732,707	1.52%
04/01/11	MACH Gen LLC, Term Loan 2nd Lien (PIK), 7.83%, 02/15/15		1,316,120		1,048,534	0.58%
04/19/05	Terwin Mortgage Trust 2005-P1 A, 0.00%, 11/25/35		2,893		1	0.00%

		$	4,318,601	$	3,808,569	2.12%

⁷	Represents the current yield as of September 30, 2011.

⁸	Represents annualized yield at date of purchase.

⁹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $15,000.

^†

Fair valued security. The aggregate value of fair valued securities is $1,230,452, which is 0.68% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

^*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(IO): Interest only

(MTN): Medium-term note

(PIK): Payment in kind

(STEP): Step coupon bond

(TBA): To be announced

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 89.35%
ASSET-BACKED SECURITIES — 2.16%**
Aviation Capital Group Trust, Series 2003-2A, Class G2
1.03%		09/20/33	^2,3,†	$	53,938	$	43,690
Bayview Commercial Asset Trust, Series 2004-3, Class A1
0.60%		01/25/35	^2,3		55,502		43,516
Capital Auto Receivables Asset Trust, Series 2008-CPA, Class A1
1.08%		01/15/13	^2,3		19,737		19,761
Castle Trust, Series 2003-1AW, Class A1
0.98%		05/15/27	^2,3		71,194		65,142
Green Tree Recreational Equipment & Consumer Trust, Series 1996-D, Class CTFS
7.24%		12/15/22			10,657		7,106

Total Asset-Backed Securities (Cost $148,776)							179,215

CORPORATES — 27.86%*
Banking — 4.45%
Abbey National Treasury Services Plc/Stamford CT (YCD) (United Kingdom)
1.55%		04/25/13	^2,4		50,000		50,594
Credit Suisse AG/Guernsey, Series 1 (Switzerland)
0.98%		05/29/49	^2,4		230,000		150,402
Lloyds TSB Bank Plc (United Kingdom)
2.60%		01/24/14	^2,4		70,000		68,185
National Australia Bank Ltd., Series REGS (Australia)
0.97%		04/11/14	^2,4		100,000		99,671

							368,852

Communications — 0.29%
Nextel Communications, Inc., Series E
6.88%		10/31/13			25,000		24,437

Electric — 1.47%
KCP&L Greater Missouri Operations Co.
11.88%		07/01/12			80,000		86,054
W3A Funding Corp.
8.09%		01/02/17			35,583		35,647

							121,701

Finance — 14.44%
Chase Capital II, Series B
0.75%		02/01/27	²		325,000		256,825
Citigroup, Inc.
1.99%		05/15/18	²		305,000		281,096
General Electric Capital Corp. (MTN)
0.65%		05/05/26	²		325,000		261,166
Macquarie Group Ltd. (Australia)
7.30%		08/01/14	^3,4		35,000		37,921


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
MBNA Capital A, Series A
8.28%		12/01/26		$	100,000	$	93,375
MBNA Capital B, Series B
1.05%		02/01/27	²		175,000		113,688
Prudential Holdings LLC (AGM)
1.22%		12/18/17	^2,3		100,000		95,295
Woodbourne Capital Trust I
2.71%		04/08/49	^2,3,5		80,000		27,200
Woodbourne Capital Trust II
2.71%		04/08/49	^2,3,5		90,000		30,600

							1,197,166

Health Care — 0.91%
Universal Health Services, Inc.
6.75%		11/15/11			75,000		75,510

Real Estate Investment Trust (REIT) — 4.68%
Duke Realty LP
5.40%		08/15/14			50,000		52,173
HCP, Inc.
2.70%		02/01/14			50,000		49,286
6.45%		06/25/12			85,000		87,481
Healthcare Realty Trust, Inc.
5.12%		04/01/14			40,000		41,313
Liberty Property LP
6.38%		08/15/12			45,000		46,531
Post Apartment Homes LP
5.45%		06/01/12			55,000		56,027
WEA Finance LLC/WT Finance Aust Pty Ltd.
7.50%		06/02/14	³		50,000		55,274

							388,085

Transportation — 1.62%
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			131,042		133,991

Total Corporates (Cost $2,358,989)							2,309,742

MORTGAGE-BACKED — 55.53%**
Commercial Mortgage-Backed — 8.49%
Bear Stearns Commercial Mortgage Securities, Series 2002-PBW1, Class A2
4.72%		11/11/35	²		53,952		54,876
Commercial Mortgage Asset Trust, Series 1999-C1, Class A4
6.98%		01/17/32	²		54,686		56,533
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CP3, Class A3
5.60%		07/15/35			58,940		59,893


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GE Capital Commercial Mortgage Corp., Series 2002-3A, Class A2
5.00%		12/10/37		$	56,684	$	58,123
GMAC Commercial Mortgage Securities, Inc., Series 2002-C1, Class A2
6.28%		11/15/39			1,272		1,270
GMAC Commercial Mortgage Securities, Inc., Series 2002-C2, Class A3
5.71%		10/15/38			48,810		49,408
Greenwich Capital Commercial Funding Corp., Series 2002-C1, Class A4
4.95%		01/11/35			54,896		56,020
Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4
4.11%		07/05/35			53,040		54,597
Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7
5.32%		06/10/36	²		35,000		37,102
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C1, Class A3
5.38%		07/12/37			53,677		54,524
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A2
5.05%		12/12/34			51,154		52,620
Nomura Asset Securities Corp., Series 1998-D6, Class A3
7.52%		03/15/30	²		55,000		58,932
Salomon Brothers Mortgage Securities VII, Inc., Series 2002-KEY2, Class A3
4.86%		03/18/36			50,000		50,753
Wachovia Bank Commercial Mortgage Trust, Series 2002-C2, Class A4
4.98%		11/15/34			58,075		59,361

							704,012

Non-Agency Mortgage-Backed — 26.84%
Accredited Mortgage Loan Trust, Series 2005-4, Class A2C
0.44%		12/25/35	²		13,970		13,560
ACE Securities Corp., Series 2004-FM1, Class B1A
5.48%		09/25/33	²		17,188		3,888
American Home Mortgage Investment Trust, Series 2007-2, Class 11A1
0.46%		03/25/47	²		97,899		44,993
Banc of America Mortgage Securities, Inc., Series 2003-A, Class 2A2
2.98%		02/25/33	²		8,224		6,714
Conseco Finance Home Loan Trust, Series 2000-E, Class M1
8.13%		08/15/31	²		22,268		21,584


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Financial Corp., Series 1997-4, Class A5
6.88%		02/15/29		$	54,346	$	57,229
Countrywide Alternative Loan Trust, Series 2005-16, Class A5
0.52%		06/25/35	²		149,340		51,742
Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2
1.34%		08/25/35	²		81,569		40,037
Countrywide Asset-Backed Certificates, Series 2004-1, Class 2A
0.72%		04/25/34	²		5,852		4,536
Credit Suisse First Boston Mortgage Securities Corp., Series 1997-2, Class A
7.50%		06/25/20	³		8,411		8,736
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP)
3.95%		01/25/33			73,214		67,233
Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR1, Class A2A
0.64%		09/19/44	²		50,411		33,987
Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR3, Class 2A2A
0.60%		07/19/44	²		14,174		10,102
GE Mortgage Services LLC, Series 1998-HE1, Class A7
6.46%		06/25/28			899		884
Green Tree Home Improvement Loan Trust, Series 1995-C, Class B2
7.60%		07/15/20			10,823		10,675
Green Tree Home Improvement Loan Trust, Series 1995-F, Class B2
7.10%		01/15/21			40,495		39,421
Harborview Mortgage Loan Trust, Series 2004-8, Class 2A4A
0.63%		11/19/34	²		76,467		49,421
Harborview Mortgage Loan Trust, Series 2005-11, Class 2A1A
0.54%		08/19/45	²		146,493		101,526
HSBC Home Equity Loan Trust, Series 2006-1, Class A1
0.39%		01/20/36	²		51,238		47,766
HSBC Home Equity Loan Trust, Series 2007-1, Class M1
0.61%		03/20/36	²		100,000		71,399
Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1
0.62%		12/25/34	²		200,322		112,553


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Indymac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1A
1.10%		08/25/34	²	$	24,647	$	15,777
Indymac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1B
1.02%		10/25/36	²		102,987		61,769
Indymac Index Mortgage Loan Trust, Series 2005-AR2, Class 2A2A
0.58%		02/25/35	²		81,857		48,416
Indymac Index Mortgage Loan Trust, Series 2006-AR2, Class 1A1A
0.46%		04/25/46	²		108,050		55,761
Indymac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%		02/25/28			164,042		163,418
Lehman XS Trust, Series 2006-2N, Class 1A1
0.50%		02/25/46	²		67,828		34,014
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
0.48%		06/25/37	²		100,000		42,984
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4
0.48%		07/25/37	²		30,000		11,900
Nationstar Home Equity Loan Trust, Series 2007-B, Class 2AV4
0.56%		04/25/37	²		205,000		74,852
Option One Mortgage Loan Trust, Series 2003-2, Class A2
0.84%		04/25/33	²		91,379		74,514
Option One Mortgage Loan Trust, Series 2003-5, Class A2
0.88%		08/25/33	²		60,780		47,533
Origen Manufactured Housing, Series 2006-A, Class A1
0.38%		11/15/18	²		26,483		26,064
Park Place Securities, Inc., Series 2004-MHQ1, Class M1
0.94%		12/25/34	²		46,589		44,521
Residential Asset Mortgage Products, Inc., Series 2003-RS1, Class AII
1.02%		02/25/33	²		42,722		19,867
Residential Asset Mortgage Products, Inc., Series 2003-SL1, Class A11
7.12%		03/25/16			54,842		56,270
Residential Asset Mortgage Products, Inc., Series 2003-SL1, Class A41
8.00%		04/25/31			30,932		32,808
Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A2
8.50%		11/25/31			13,901		14,065


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securities Corp., Series 2003-KS3, Class A2
0.84%		05/25/33	²	$	29,057	$	21,874
Residential Asset Securities Corp., Series 2005-KS12, Class A2
0.48%		01/25/36	²		32,165		30,828
Resmae Mortgage Loan Trust, Series 2006-1, Class A1B
0.50%		02/25/36	^2,3		18,134		179
SACO I, Inc., Series 2005-2, Class A
0.64%		04/25/35	^2,3		3,541		1,346
Saxon Asset Securities Trust, Series 2004-1, Class M1
1.03%		03/25/35	²		202,517		146,854
Structured Asset Mortgage Investments, Inc., Series 2006-AR5, Class 1A1
0.44%		05/25/46	²		122,478		63,319
Structured Asset Securities Corp., Series 2003-15A, Class 2A1
2.50%		04/25/33	²		68,868		60,139
Structured Asset Securities Corp., Series 2003-34A, Class 5A4
2.52%		11/25/33	²		54,914		51,199
Structured Asset Securities Corp., Series 2006-BC6, Class A2
0.32%		01/25/37	²		41,982		41,184
Terwin Mortgage Trust, Series 2004-13AL, Class 2PX
0.34%		08/25/34	^3,5		10,681,110		70,905
WaMu Mortgage Pass Through Certificates, Series 2002-AR6, Class A
1.64%		06/25/42	²		13,205		10,124
Washington Mutual MSC Mortgage Pass-Through CTFS, Series 2003-MS9, Class 1A
7.00%		04/25/33			62,900		64,773
Wells Fargo Home Equity Trust, Series 2005-3, Class AII3
0.58%		11/25/35	²		41,702		39,812

							2,225,055

U.S. Agency Mortgage-Backed — 20.20%
Fannie Mae Pool 646884
1.92%		05/01/32	²		76,671		77,094
Fannie Mae Pool 802665
2.24%		12/01/34	²		18,291		19,076
Fannie Mae Whole Loan, Series 2003-W6, Class F
0.58%		09/25/42	²		120,707		120,782
Fannie Mae, Series 1997-91, Class SL (IO)
7.50%		11/25/23	²		217,466		45,714


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae, Series 2001-70, Class OF
1.18%		10/25/31	²	$	83,777	$	85,102
Fannie Mae, Series 2002-97, Class FR
0.78%		01/25/33	²		88,375		88,629
Fannie Mae, Series 2003-37, Class IG (IO)
5.50%		05/25/32			104,062		6,346
Fannie Mae, Series 2003-62, Class IG (IO)
5.00%		10/25/31			1,000,000		68,480
Fannie Mae, Series 2003-71, Class YF
0.64%		09/25/31	²		117,143		117,212
Fannie Mae, Series 2003-76, Class GF
0.64%		09/25/31	²		161,063		161,196
Fannie Mae, Series 2004-33, Class MW
4.50%		01/25/30			94,392		98,474
Fannie Mae, Series 2004-78, Class FC
0.54%		12/25/22	²		92,334		92,384
Fannie Mae, Series 2006-56, Class FD
0.48%		07/25/36	²		97,979		97,914
Fannie Mae, Series 2007-36, Class F
0.46%		04/25/37	²		55,688		55,047
Fannie Mae, Series 2008-47, Class PF
0.74%		06/25/38	²		81,940		82,642
Fannie Mae, Series 2010-109, Class PF
0.64%		10/25/40	²		70,352		70,435
Fannie Mae, Series G-36, Class ZB
7.00%		11/25/21			2,622		3,094
FHLMC-GNMA, Series 2, Class L
8.00%		11/25/22			16,474		18,285
Freddie Mac Non Gold Pool 781908
2.43%		09/01/34	²		47,790		50,242
Freddie Mac, Series 2777, Class FE
0.58%		10/15/32	²		82,723		82,753
Freddie Mac, Series 3501, Class JA
4.00%		04/15/37			109,682		115,200
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
0.75%		03/09/21	²		118,701		118,998

							1,675,099

Total Mortgage-Backed (Cost $4,899,854)							4,604,166

MUNICIPAL BONDS — 1.45%*
California — 0.65%
State of California, Taxable, Various Purpose
4.85%		10/01/14			50,000		53,963


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
Illinois — 0.80%
State of Illinois, Taxable Bonds
2.77%		01/01/12		$	40,000	$	40,186
4.07%		01/01/14			25,000		25,794

							65,980

Total Municipal Bonds (Cost $116,260)							119,943

U.S. AGENCY SECURITIES — 2.35%
Fannie Mae
0.60%		03/06/14			90,000		89,950
Federal Home Loan Bank
0.50%		11/16/12			105,000		105,040

Total U.S. Agency Securities (Cost $194,965)							194,990

Total Bonds – 89.35% (Cost $7,718,844)							7,408,056

SHORT-TERM INVESTMENTS — 12.01%
Money Market Fund — 2.00%
BlackRock Liquidity Funds TempFund Portfolio
0.09%⁶					85,000		85,000
DWS Money Market Series-Institutional
0.06%⁶					37,000		37,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.07%⁶					44,000		44,000

							166,000

U.S. Agency Discount Notes — 4.82%
Fannie Mae
0.08%⁷		10/26/11			135,000		134,999
0.08%⁷		12/19/11			265,000		264,994

							399,993

U.S. Treasury Bills — 5.19%
U.S. Treasury Bills
0.03%⁷		12/08/11	⁸		430,000		429,993

Total Short-Term Investments (Cost $995,927)							995,986


Issues	Maturity Date	Principal Amount	Value
Total Investments – 101.36% (Cost $8,714,771)¹			$	8,404,042

Liabilities in Excess of Other Assets – (1.36)%				(112,782	)

Net Assets – 100.00%			$	8,291,260


Contracts			Unrealized (Depreciation)
	FUTURES CONTRACTS: LONG POSITIONS
	4	S&P 500 E Mini Index, Expiration December 2011	$	(277	)
	18	S&P 500 Index, Expiration December 2011		(249,909	)

		Net unrealized depreciation	$	(250,186	)


	Expiration Date	Notional Amount (000’s)		(Depreciation)			Value
SWAPS: TOTAL RETURN
The Fund pays a floating rate based on 1-month USD LIBOR minus 5 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: CS First Boston
10/05/11		$	2	$	–		$	–
The Fund pays a floating rate based on 1-month USD LIBOR plus 20 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: CS First Boston
10/05/11			2		(223,382	)	$	(223,382	)

		$	4	$	(223,382	)	$	(223,382	)


	Expiration Date	Premiums Paid		Notional Amount (000’s) ^a		Appreciation		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG
09/20/16		$	1,713	$	40	$	2,775	$	4,488
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc.
09/20/16			1,712		40		2,775		4,487

		$	3,425	$	80	$	5,550	$	8,975

^a	The maximum potential payment the Fund could be required to make 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 the swap agreement.

Notes:

¹	Cost for federal income tax purposes is $8,771,297 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	258,107
Gross unrealized depreciation		(625,362	)

Net unrealized depreciation	$	(367,255	)

²	Floating rate security. The rate disclosed was in effect at September 30, 2011.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $128,705, which is 1.55% of total net assets.

⁶	Represents the current yield as of September 30, 2011.

⁷	Represents annualized yield at date of purchase.

⁸	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $429,991.

^†

Fair valued security. The aggregate value of fair valued securities is $43,690, which is 0.53% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

(AGM):

Assurance Guaranty Municipal Corp. (formerly known as FSA

(Financial Security Assurance, Inc.))

(AMBAC):

American Municipal Bond Assurance Corp.

(IO):

Interest only

(LIBOR):

London InterBank Offer Rate

(MTN):

Medium-term note

(STEP):

Step coupon bond

(YCD):

Yankee Certificate of Deposit

The Metropolitan West Funds (the “Trust”) is an open-end management investment company organized as a Delaware statutory trust on December 9, 1996 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Metropolitan West Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services. The Trust currently consists of seven separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”), Metropolitan West Low Duration Bond Fund (the “Low Duration Bond Fund”), Metropolitan West Intermediate Bond Fund (the “Intermediate Bond Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West High Yield Bond Fund (the “High Yield Bond Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), and Metropolitan West AlphaTrak 500 Fund (the “AlphaTrak 500 Fund”). The Low Duration Bond Fund commenced investment operations on March 31, 1997 with the M Class shares. I Class was added on March 31, 2000, and the Administrative Class was added on September 22, 2009. The Total Return Bond Fund also commenced operations on March 31, 1997 with the M Class shares. I Class was added on March 31, 2000; Administrative Class followed on December 18, 2009 and the new Plan Class launched on August 1, 2011. The AlphaTrak 500 Fund – Class M commenced investment operations on June 29, 1998. The Intermediate Bond Fund – Class I commenced operations on June 28, 2002. The High Yield Bond Fund – Class M commenced operations on September 30, 2002. The High Yield Bond Fund – Class I commenced operations on March 31, 2003. Class M shares of the Intermediate Bond Fund, the Ultra Short Bond Fund, and the Strategic Income Fund commenced operations on June 30, 2003. The Strategic Income Fund – Class I commenced operations on March 31, 2004 and the Ultra Short Bond Fund – Class I commenced operations on July 31, 2004.

The Ultra Short Bond Fund seeks to maximize current income, consistent with preservation of capital.This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to one year. The Fund’s dollar-weighted average portfolio maturity will normally exceed one year.

The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years.The Fund’s dollar-weighted average maturity is expected to range from one to five years.

The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of one to six years. The Fund’s dollar-weighted average maturity is expected to range from three to seven years.

The Total Return Bond Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The High Yield Bond Fund seeks to maximize long-term total return consistent with preservation of capital. This Fund invests in a diversified portfolio of high-yield, fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The Strategic Income Fund seeks to maximize long-term total return without tracking any particular markets or indices. This Fund uses techniques intended to provide absolute (positive) returns in all markets by employing a strategy intended to produce high income while exploiting disparities or inefficiencies in markets. The Fund will focus on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund will focus on longer-term cyclical anomalies in the fixed income markets to both enhance yield and realize potential price appreciation. These anomalies include: shifts in the portfolio’s duration, yield curve anomalies, and sector- and issue-specific dislocations.

The AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (the “S&P 500 Index”). The Fund combines non-leveraged investments in S&P 500 Index futures contracts and swaps with a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

A more complete description of the objectives and strategies of each of the Funds can be found in the Prospectuses and the Statement of Additional Information, which can be obtained at www.mwamllc.com or by calling (800) 241-4671.

The following is a summary of significant accounting policies consistently followed by the Funds:

The Net Asset Value of each Fund’s shares is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the Class/Fund on each business day as of 4 p.m. ET.

Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes. The Funds receive pricing information from independent pricing vendors approved by the Board of Trustees (the “Board”). Securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendor’s prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy comprised of a relevant security (i.e., U.S. Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. Debt securities which mature in less than 60 days are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61st day prior to maturity (unless the Board determines that this method does not represent fair value). S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board.

Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon the reported net asset value of such investments.

Security transactions are accounted for no later than the first net asset value calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on trade date. Cost is determined and gains and losses are based on the first-in first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts, including original issue discount, and premiums on securities are amortized using the interest method.

Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare distributions daily and pay them monthly to shareholders. TheAlphaTrak 500 Fund expects to declare and pay distributions to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.

It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.

Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

As of and during the period ended September 30, 2011, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Funds did not incur any interest or penalties.

On December 22, 2010, The U.S. government passed the Regulated Investment Company ModernizationAct of 2010 (the “Modernization Act”). The Modernization Act is the first major piece of legislation affecting Regulated Investment Companies (“RICs”) since 1986 and it modernizes several of the federal income and excise tax provisions related to RICs. One of the provisions allows a RIC to carry forward capital losses indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. Except for the simplification provisions related to RIC qualification, the Modernization Act is effective for taxable years beginning after December 22, 2010. The provisions related to RIC qualification are effective for taxable years for which the extended due date of the tax return is after December 22, 2010.

The Trust has defined cash and cash equivalents as cash which can be in interest-bearing accounts. The Funds also maintain cash in bank account deposits that, at times, may exceed federally insured limits. The Funds have not experienced any losses in any such accounts and do not believe they are exposed to any significant credit risk on such bank deposits.

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Various inputs are used in determining the fair value of investments, which are as follows:

* Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

* Level 3 - significant unobservable inputs that are not corroborated by observable market data

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Money Market Funds. Money Market Funds are open-ended mutual fund that invest in short-term debt securities To the extent that these funds are valued based upon the reported net asset value, they are categorized in Level 1 of the fair value hierarchy.

Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable.

Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized as Level 3.

Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources . Bank Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable which would then be in Level 3.

Municipal Bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

U.S. Government and agency securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 2 of the fair value hierarchy.

Restricted securities. Restricted securities that are deemed to be both Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable. Any other restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3.

Futures Contracts. Futures contracts and options on futures contracts that are traded on commodity exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to futures contracts, they are categorized as Level 1; otherwise they would be categorized as Level 2 or 3 depending on observability.

Options Contracts. Exchange listed options contracts that are traded on securities exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied or mean variation to exchange listed options contracts, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange listed options contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. Options contracts traded over the counter (“OTC”) are fair valued based on pricing models and incorporates various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC option contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Interest Rate Swaps. Interest rate swaps are fair valued using pricing models that are based on real-time intraday snap shots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps are monitored regularly to ensure that interest rates are properly depicting the current market rate. To the extent that these inputs are observable and timely, the fair values of interest rate swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Credit Default Swaps. Credit default swaps are fair valued using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Total Return Swaps. Total Return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

As of September 30, 2011, Level 3 securities consist of certain collateralized mortgage obligations, preferred stock and corporate bonds.

The summary of inputs used to value each Fund’s net assets as of September 30, 2011 is as follows:

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value on a recurring basis. The Fund’s policy is to recognize transfers in and transfers out as of the end of the period:

** The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2011 was $(188). Included in the related realized gains/(losses) and net change in appreciation/(depreciation) on the Statements of Operations.

** The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2011 was $(40). Included in the related realized gains/(losses) and net change in appreciation/(depreciation) on the Statements of Operations.

** The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2011 was $67,800. Included in the related realized gains/(losses) and net change in appreciation/(depreciation) on the Statements of Operations.

In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” in U.S. GAAP and International Financial Reporting Standards (“IFRSs”). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. Management is currently evaluating the implications of ASU No. 2011-04 and its impact on the financial statements.

For the six months ended September 30, 2011, none of the portfolios had significant transfers between Level 1 and Level 2.

The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of September 30, 2011:

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of September 30, 2011:

The following is a summary of the Funds’ realized gain/(loss) and change in unrealized appreciation/(depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the six months ended September 30, 2011:

The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.

The Funds may invest in securities issued by Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.

Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.

On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.

The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Government National Mortgage Association (“GNMA”), FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.

The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold

declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 2 under “Security Valuation”.

The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.

The Funds may invest in stripped mortgage-backed securities issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the six months ended September 30, 2011, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.

The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary. The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If the Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.

The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund, will not make total short sales exceeding 25% of the value of that Fund’s assets. The High Yield Bond Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of the Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At September 30, 2011, the Funds did not hold any short debt or equity.

A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Fund might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Fund. The Funds also may make short sales “against-the-box”, in which the Funds sell short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.

The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving

leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings. There were no reverse repurchase agreements for the six months ended September 30, 2011.

Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.

Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they must result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.

The Funds engaged in various portfolio investment strategies both to increase the return of the Fund and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below:

Over the reporting period, the Funds engaged in interest rate futures contracts, swap agreements and options as a means of managing interest rate risk and yield curve positioning consistent with the advisor’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.

Options - The Funds purchased and wrote call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. A Fund may write a call or put option only if the option is covered by the Fund’s holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it maybe required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.

The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, the Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer).

Futures - The Funds purchased or sold exchange-traded futures contracts, which are contracts that obligate the Fund to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may

not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.

Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.

Swaps - The Funds invested in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.

The Funds entered into credit default swap agreements. The buyer in a credit default contract is obligated to pay the seller a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If the Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.

The aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation and is disclosed in the Notes to Schedules of Investments. The collateral posted, net of assets received as collateral, for swap contracts is also disclosed in the Notes to Schedules of Investments. The maximum potential amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of September 30, 2011 for which a portfolio is the seller of protection are disclosed in the Notes to Schedules of Investments. These potential amounts are partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a portfolio for the same referenced entity or entities.

The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted net asset value of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).

The Funds wrote (sold) and purchased put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At September 30, 2011, the Low Duration Bond Fund, the Intermediate Bond Fund, and the Total Return Bond Fund held swaptions.

In addition to the securities listed above, the AlphaTrak 500 Fund invested in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise

the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.

The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.

As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At September 30, 2011, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the Statements of Assets and Liabilities.

Market Risk: Because the values of the Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.

Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.

Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of the Funds’ investment portfolio, the greater the change in value.

Mortgage-Backed and Other Asset-Backed Securities Risk: Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgaged-backed or other asset-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage related-securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If unanticipated rate of prepayment on underlying mortgages increase the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.

Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.

Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.

Certain of the Funds invest a material portion of their assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing

shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.

Mortgage-backed securities (“MBS”) and Asset-backed securities (“ABS”) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets, (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.) In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity take-out), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.

The mortgage industry lacks a single bright-line as to what separates a subprime loan from an Alt-A loan. Often it is a combination of loan characteristics involving both borrower criteria as well as collateral criteria that determine which category a loan is placed in. However, in order to be both conservative and objective as possible, the Adviser applied the following criteria to the Funds’ residential mortgage and asset-backed holdings in coming up with its categorizations:

Sub Prime - Any asset-backed bond whose collateral was residential mortgages were considered to be subprime, provided that the loans did not belong to the classification of manufactured housing loans.

Alt-A - Any mortgage-backed security whose average borrower FICO score was less than 730 and/or was listed as an Alt-A pool by Bloomberg were considered to be Alt-A bonds.

Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their fair value recorded in the Funds’ Statements of Assets and Liabilities.

While no single measure can account for all the risk factors, one of the most commonly referenced aggregate risk metrics is the bond’s ratings per Moody’s and S&P. As of September 30, 2011, the market value exposure of these positions was as follows:



			% OF TOTAL NET ASSETS BY CREDIT QUALITY (UNAUDITED)

PORTFOLIO	MARKETVALUE		AAA	AA	A	BBB	BIG^*
Ultra Short Bond Fund
Alt-A		$ 13,024,421	5.62%	0.00%	0.76%	1.39%	6.38%
Sub Prime		9,361,193	2.05%	0.74%	0.67%	0.04%	6.66%
Low Duration Bond Fund
Alt-A		184,035,121	2.81%	0.25%	0.67%	0.61%	6.18%
Sub Prime		182,899,147	2.87%	2.06%	0.34%	0.21%	4.98%
Intermediate Bond Fund
Alt-A		14,815,050	1.18%	0.00%	0.08%	0.00%	4.31%
Sub Prime		23,246,789	2.92%	2.31%	0.80%	0.31%	2.40%
Total Return Bond Fund
Alt-A		1,154,299,221	0.50%	0.11%	0.38%	0.04%	6.24%
Sub Prime		1,321,201,926	1.40%	0.66%	0.19%	0.33%	5.73%
High Yield Bond Fund
Alt-A		—	0.00%	0.00%	0.00%	0.00%	0.00%
Sub Prime		8,937,002	0.00%	0.02%	0.00%	0.00%	0.50%
Strategic Income Fund
Alt-A		22,913,563	0.01%	0.00%	1.35%	0.29%	11.09%
Sub Prime		28,319,541	0.42%	0.75%	3.20%	0.74%	10.64%
AlphaTrak 500 Fund
Alt-A		1,124,442	5.56%	0.76%	1.22%	1.34%	4.67%
Sub Prime		980,007	5.57%	3.43%	0.01%	0.00%	2.81%
* Below Investment Grade

Investment transactions for the six months ended September 30, 2011 excluding U.S. Government and short-term investments, were as follows:


PORTFOLIO	PURCHASES		SALES
Ultra Short Bond Fund	$	23,707,116	$	23,220,838
Low Duration Bond Fund		711,919,839		661,310,218
Intermediate Bond Fund		281,143,868		214,246,602
Total Return Bond Fund		18,013,672,339		15,145,001,078
High Yield Bond Fund		621,305,220		741,644,050
Strategic Income Fund		94,515,863		160,422,912
AlphaTrak 500 Fund		1,592,421		1,307,440
Investment transactions in U.S. Government securities for the six months ended September 30, 2011 were as follows:
PORTFOLIO	PURCHASES		SALES
Ultra Short Bond Fund	$	1,258,817	$	2,448,806
Low Duration Bond Fund		50,261,153		11,076,306
Intermediate Bond Fund		69,341,233		58,647,328
Total Return Bond Fund		5,767,215,542		6,390,994,026
High Yield Bond Fund		–		–
Strategic Income Fund		–		2,933,588
AlphaTrak 500 Fund		–		–

Transactions in options contracts written for the six months ended September 30, 2011 were as follows:


	INTERMEDIATE BOND FUND						TOTAL RETURN BOND FUND						HIGH YIELD BOND FUND

	CONTRACTS			PREMIUMS			CONTRACTS			PREMIUMS			CONTRACTS			PREMIUMS
Outstanding at March 31, 2011		40		$	39,054			2,430		$	2,393,008			1,150		$	875,629
Option written during period		–			–			–			–			–			–
Option exercised during period		–			–			–			–			–			–
Options expired during period		(25	)		(23,696	)		(1,590	)		(1,534,050	)		–			–
Options closed during period		(15	)		(15,358	)		(840	)		(858,958	)		(1,150	)		(875,629	)

Outstanding at September 30, 2011		–		$	–			–		$	–			–		$	–

As compensation for advisory services, the Adviser charges the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, and the High Yield Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.25%, 0.30%, 0.35%, 0.35%, and 0.50%, respectively, of each Fund’s average daily net assets. The Adviser charges the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets for the relevant three-month performance period), depending on whether, and to what extent, the investment performance of the AlphaTrak 500 Fund before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index, plus an annualized margin of 1.00% over the same period. Under this agreement, the basic fee was increased by 0.20% resulting in $14,363 total management fees for the period ended September 30, 2011. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant twelve month performance period), depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the Merrill Lynch 3 Month U.S. Treasury Bill Index, plus 2.00% over the same period. Under this agreement, the basic fee was increased by 0.01% resulting in $2,216,545 of total management fees for the period ended September 30, 2011.

The Adviser has agreed in an operating expenses agreement with the Trust to limit each Fund’s expenses as described in the table below. The operating expenses agreement has a one-year term, renewable at the end of each fiscal year. Each Fund has agreed to reimburse the Adviser, for a period of up to three years, for any such payments to the extent that the Fund’s operating expenses are otherwise below its expense cap (excluding the AlphaTrak 500 Fund and the Strategic Income Fund, which shall reimburse the Adviser to the extent that the Fund’s other expenses are below an agreed-upon cap). The Adviser’s obligation will not be recorded as a liability on the books of the applicable Fund to the extent that the total operating expenses (other expenses with respect to the AlphaTrak 500 Fund and the Strategic Income Fund) of the Fund are at or above the expense cap. However, if the total operating expenses (other expenses with respect to the AlphaTrak 500 Fund and the Strategic Income Fund) of a Fund fall below the expense cap, the reimbursement to the Adviser (up to the cap) will be accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the independent trustees have approved that reimbursement. The Adviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the year.

Investment advisory fees and related contractual expense limitations for the period ended September 30, 2011, were as follows:

¹ The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2011, unless approved by the Board.

^* The Total Return Bond Fund Plan Class Shares commenced operations on August 1, 2011.

At September 30, 2011, the balance of recoupable expenses with expiration dates for the Funds were as follows:

For the six months ended September 30, 2011, the Adviser recouped $182,867 from Class M, $76,501 from Class I and $191 from the Administrative Class of the Low Duration Bond Fund.

Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. Each of the independent trustees receives an annual retainer of $20,000 and $6,250 for each meeting of the Board attended. The Chairman of the Board receives an annual retainer of $35,000. TheTrust has an unfunded, non-qualified deferred compensation plan (the “Plan”) for certain eligible Trustees. The Plan allows Trustees to defer some or all of their annual trustees’ fees otherwise payable by the Trust for a minimum of three years. The fees deferred are posted to a bookkeeping account maintained by the Trust. The various series of the Trust will use the returns on those Funds selected by the Trustee to determine the income, gains and losses to allocate to the account. At the time for commencing distributions from a Trustee’s deferral account, which is no later than when the Trustee ceases to be a member of the Board, deferred fees will be paid out in a single sum in cash or a maximum of ten annual installments. The expenses related to the annual retainer, meeting fees, and/or any fluctuation in the selected Funds under the Plan are recorded in Trustees’ fees and expenses on the Statements of Operations.

The Trust has a Share Marketing Plan (or the “Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the High Yield Bond Fund, the Strategic Income, the AlphaTrak 500 Fund and the Administrative Class shares of the Low Duration Bond Fund and Total

Return Bond Fund. The Total Return Bond Fund and Low Duration Bond Fund began accruing for Rule 12b-1 expenses on April 1, 2000 for the Class M shares. The Low Duration Bond Fund and Total Return Bond Funds’ Administrative Class shares began accruing 12b-1 on September 23, 2009 and December 21, 2009, respectively. The High Yield Bond Fund began accruing for Rule 12b-1 expenses on October 2, 2002. The Ultra Short Bond Fund, the Intermediate Bond Fund, and the Strategic Income Fund began accruing for Rule 12b-1 expenses on July 2, 2003. Under the Plan, the Trust pays BNY Mellon Distributors Inc., as the Trust’s distribution coordinator, an annual fee up to 0.25% of each Fund’s aggregate average daily net assets to reimburse expenses in connection with the promotion and distribution of shares of the respective Fund. The Adviser has undertaken to limit the Rule 12b-1 expenses to 0.16% for the Ultra Short Bond Fund, 0.19% for the Low Duration Bond Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the period ended September 30, 2011. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees.

The Funds’ Board of Trustees have adopted a Shareholder Servicing Plan that allows each Fund to pay to broker-dealers and other financial intermediaries a fee for shareholder services provided to Fund shareholders who invest in the Administrative Class shares of a Fund through the intermediary. The fee is payable under the Plan at an annual rate not to exceed 0.25% of the particular Fund’s average daily net assets attributable to the Administrative Share class but the Adviser has undertaken to limit these expenses for the current fiscal year to 0.20% of the Fund’s average daily net assets invested through the intermediary.

Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:


	ULTRA SHORT BOND FUND

	CLASS M	CLASS M	CLASS I	CLASS I

	PERIOD ENDED SEPTEMBER 30, 2011 (UNAUDITED)	YEAR ENDED MARCH 31, 2011	PERIOD ENDED SEPTEMBER 30, 2011 (UNAUDITED)	YEAR ENDED MARCH 31, 2011

Change in Fund shares:
Shares outstanding at beginning of period	9,941,749	5,455,703	16,757,944	19,750,261

Shares sold	2,483,687	9,371,398	6,663,629	15,838,357
Shares issued through reinvestment of distributions	91,518	180,143	193,209	527,349
Shares redeemed	(6,552,720)	(5,065,495)	(7,391,164)	(19,358,023)

Net increase/(decrease) in fund shares	(3,977,515)	4,486,046	(534,326)	(2,992,317)

Shares outstanding at end of period	5,964,234	9,941,749	16,223,618	16,757,944


	LOW DURATION BOND FUND

	CLASS M	CLASS M	CLASS I	CLASS I	ADMINISTRATIVE CLASS	ADMINISTRATIVE CLASS

	PERIOD ENDED SEPTEMBER 30, 2011 (UNAUDITED)	YEAR ENDED MARCH 31, 2011	PERIOD ENDED SEPTEMBER 30, 2011 (UNAUDITED)	YEAR ENDED MARCH 31, 2011	PERIOD ENDED SEPTEMBER 30, 2011 (UNAUDITED)	YEAR ENDED MARCH 31, 2011

Change in Fund shares:
Shares outstanding at beginning of period	156,722,448	125,740,926	66,242,754	57,970,290	190,876	96,978

Shares sold	32,939,868	83,929,282	16,313,010	33,531,726	81,856	369,110
Shares issued through reinvestment of distributions	2,139,208	4,306,785	896,589	1,664,061	1,614	5,520
Shares redeemed	(45,735,685)	(57,254,545)	(22,569,905)	(26,923,323)	(175,040)	(280,732)

Net increase/(decrease) in fund shares	(10,656,609)	30,981,522	(5,360,306)	8,272,464	(91,570)	93,898

Shares outstanding at end of period	146,065,839	156,722,448	60,882,448	66,242,754	99,306	190,876

^*The Total Return Bond Fund Plan Class Shares commenced operations on August 1, 2011.

At March 31, 2011, the following Funds had available for federal income tax purposes unused capital losses as follows:

For the year ended March 31, 2011, the Total Return Bond and High Yield Bond utilized capital loss carryforwards of $140,337,903 and $4,931,657, respectively.

Under the recently enacted Modernization Act of 2010, capital losses incurred by the Funds after March 31, 2011 will not be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in the years preceding enactment.

As of March 31, 2011, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:

Permanent differences incurred during the fiscal year ended March 31, 2011, resulting from differences in book and tax accounting have been reclassified at year-end as follows:

The Funds have entered into a $200,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”) for temporary borrowing purpose. The interest rate on borrowing is higher of the Federal Funds rate or the Overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit during the period ended September 30, 2011. The Funds pay the Bank a commitment fee equal to 0.10% per annum on the daily unused portion of the committed line amount up to a maximum of $200,000 annually. The commitment fees incurred by the Funds are presented in the Statement of Operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.

Under the Funds’ organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.

The Metropolitan West Funds added a new fund, Metropolitan West Unconstrained Bond Fund – Class M and Class I, which commenced operations on October 1, 2011. The Metropolitan West Unconstrained Bond Fund seeks to provide investors with positive long-term returns irrespective of general securities market conditions. The Fund intends to pursue its objective by utilizing a flexible investment approach that allocates investments across a range of global investment opportunities related to credit, currencies and interest rates.

The Adviser provides investment advisory services to each Fund under an Investment Management Agreement dated March 31, 2010 (the “Agreement”) between the Trust and the Adviser. The Agreement was initially approved by the shareholders of each Fund.

Factors Considered by the Trustees in Connection with Recent Approval of Prior Agreement

On June 6, 2011, the Board approved the renewal of the Agreement for an additional one-year term from August 1, 2011 though July 31, 2012. The renewal of the Agreement was approved by the Board (including a majority of the Independent Trustees) upon the recommendation of the Independent Trustees. The Independent Trustees met separately in executive session to discuss and review the information that had been presented for their consideration prior to the Board’s vote to renew the Agreement. The information, material facts, and conclusions that formed the basis for their recommendation and the Board’s subsequent approval are described below.

Materials reviewed - During the course of each year, the Independent Trustees receive a wide variety of materials relating to the services provided by the Adviser, including reports on each Fund’s investment results, portfolio composition, portfolio trading practices, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Adviser to the Funds. In addition, the Board reviewed supplementary information that included extensive materials regarding each Fund’s investment results, independently prepared advisory fee and expense comparisons to other mutual funds, advisory fee comparisons to advisory fees charged by the Adviser to its institutional clients, financial and profitability information regarding the Adviser, descriptions of various functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund.

Review process - The Independent Trustees reviewed advice regarding legal and industry standards provided by legal counsel to the Trust, which is not independent legal counsel. The Independent Trustees discussed the renewal of the Agreement with the Adviser’s representatives and in a private session at which no representatives of the Adviser were present. In deciding to recommend the renewal of the prior Agreement with respect to each Fund, the Independent Trustees did not identify any single or particular piece of information that, in isolation, was the controlling factor. Each Independent Trustee may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board.

The Board considered the depth and quality of theAdviser’s investment management process, including its research and intellectual capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources of its organization; and the ability of its organizational structure to address the growth in assets and products under its management. The Board also considered that the Adviser made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, results, and portfolio accounting. They noted the substantial additional resources made available by the parent company of the Adviser, the TCW Group, Inc. They further noted the high level of communication between the Adviser and the Board.

The Board and the Independent Trustees concluded that the nature, extent, and quality of the services provided by the Adviser are of a high quality and have benefited and will continue to benefit the Funds and their shareholders.

The Board considered the investment results of each Fund in light of its investment objective. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Lipper, an independent data provider, with respect to various periods. In reviewing each Fund’s relative performance, the Board took into account any unique characteristics and its asset size, diversification, and range of investments.

The Board noted that each Fund’s performance was acceptable over the relevant periods and in some cases very favorable, particularly from a longer-term perspective, which the Board believes is the most relevant. The Board noted that even where past difficult years such as 2008 had tempered intermediate-term performance, more recent trends were very encouraging and favorable. The Board concluded that the Adviser was implementing each Fund’s investment objective and the Adviser’s record in managing the Funds indicates that its continued management should benefit each Fund and its shareholders.

Approval of Investment Management Agreement by Trustees (Unaudited) (Concluded)

The Board compared the advisory fees and total expenses of each Fund (each as a percentage of average net assets) with the median fee and expense levels of all other mutual funds in the relevant Lipper peer groups. These comparisons assisted the Board by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board observed that each Fund’s advisory fee was below the average of the peer group funds on a current basis with the exception of the Strategic Income Fund and the AlphaTrak 500 Fund. The Board discussed why the Lipper peer group was not a suitable comparison for the Strategic Income Fund and why that Fund should instead be compared to private absolute value funds, which the Adviser views as that Fund’s closest relevant comparison and to which it compares very favorably. The Board further noted that the AlphaTrak 500 Fund and Strategic Income Fund both employ a fulcrum fee that adjusts upward from a basic fee only if the Fund enjoys favorable performance against its specified benchmark (and adjusts downward in the case of unfavorable relative performance). Therefore, relatively higher fees and expenses would only occur for those two Funds where there also has been relatively strong performance. The Board further noted the relevant contractual expense limitations that the Adviser has agreed to with respect to each Fund and the fact that the Adviser historically has absorbed any expenses in excess of these limits. The Board concluded that the relatively low level of the fees charged by the Adviser will benefit each Fund and its shareholders.

The Board also reviewed information regarding the advisory fees paid by institutional clients of the Adviser with similar investment mandates. They concluded that although the fees paid by those clients generally were lower than those paid by the Funds, the differences appropriately reflected the Adviser’s significantly greater responsibilities and expenses with respect to the Funds, including the costs of complying with the more comprehensive regulatory regime applicable to mutual funds.

The Independent Trustees reviewed information regarding the Adviser’s costs of providing services to the Funds, as well as the resulting level of profits to the Adviser. They reviewed the Adviser’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Adviser’s largest operating cost. The Independent Trustees recognized that the Adviser should be entitled to earn a reasonable level of profits for the services it provides to each Fund. Based on their review, the Independent Trustees concluded that they were satisfied that the Adviser’s level of profitability from its relationship with each Fund was not unreasonable or excessive.

The Independent Trustees considered the extent to which economies of scale would be realized as the Funds grow and whether the advisory fees reflect those economies of scale. They realized that the advisory fees for the Funds do not have breakpoints, which would result in lower advisory fee rates as the Funds grow larger. They also accepted the Adviser’s assertion, based on a review of the Lipper information, that the advisory fees compare favorably to peer group fees and expenses. The Board also recognized the benefits to the Funds of the Adviser’s past investment in the Funds’ operations (through some past subsidies of the Funds’ operating expenses when they were newer and smaller) and its commitment to maintain reasonable overall operating expenses for each Fund. The Board also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients rather than strictly mutual funds.

The Board considered other actual and potential financial benefits to the Adviser in concluding that the contractual advisory fees are reasonable for the Funds. In particular, they noted that the Adviser does not have any affiliates that directly benefit from the Adviser’s relationship to the Funds.

Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Trustees concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that the Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Adviser by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.

BOARD OF TRUSTEES

Andrew Tarica

Laird R. Landmann

Peter McMillan

Martin Luther King, III

Daniel D. Villanueva

Ronald J. Consiglio

Robert G. Rooney

Patrick C. Haden

Charles W. Baldiswieler

OFFICERS

David Lippman

President and Principal Executive Officer

David S. DeVito

Treasurer, Chief Financial Officer and Principal

Accounting Officer

Vincent Bencivenga

Chief Compliance Officer

ADVISER

Metropolitan West Asset Management, LLC

865 South Figueroa Street, Floor 1800

Los Angeles, CA 90017

CUSTODIAN

The Bank of New York Mellon

One Wall Street

New York, NY 10286

TRANSFER AGENT

BNY Mellon Investment Servicing (U.S.) Inc.

760 Moore Road

King of Prussia, PA 19406

INDEPENDENT REGISTERED PUBLIC

ACCOUNTING FIRM

Deloitte & Touche LLP

350 S. Grand Ave., Suite 200

Los Angeles, CA 90071

DISTRIBUTOR

BNY Mellon Distributors Inc.

760 Moore Road

King of Prussia, PA 19406

LEGAL COUNSEL

Paul Hastings LLP

55 Second Street, 24th Floor

San Francisco, CA 94105-3441

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

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

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


		Metropolitan West Ultra Short Bond Fund		M-Class (MWUSX), I-Class (MWUIX)
		Metropolitan West Low Duration Bond Fund		M-Class (MWLDX), I-Class (MWLIX),
				Administrative-Class (MWLNX)
		Metropolitan West Intermediate Bond Fund		M-Class (MWIMX), I-Class (MWIIX)
		Metropolitan West Total Return Bond Fund		M-Class (MWTRX), I-Class (MWTIX),
				Administrative-Class (MWTNX),
				Plan-Class (MWTSX)
		Metropolitan West High Yield Bond Fund		M-Class (MWHYX), I-Class (MWHIX)
		Metropolitan West Strategic Income Fund		M-Class (MWSTX), I-Class (MWSIX)
		Metropolitan West AlphaTrak 500 Fund		M-Class (MWATX)


	Performance Through September 30, 2011
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWUSX (Inception: June 30, 2003)	-1.08%	1.59%	3.31%	0.53%	—	2.14%
Merrill Lynch 1-Year U.S. Treasury Index	0.32%	0.55%	1.26%	2.76%	—	2.51%
MWUIX (Inception: July 31, 2004)	-1.24%	1.51%	3.47%	0.65%	—	1.61%
Merrill Lynch 1-Year U.S. Treasury Index	0.32%	0.55%	1.26%	2.76%	—	2.76%


	Performance Through September 30, 2011
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)	2.10%	3.84%	9.84%	6.65%	—	5.52%
Barclays Capital U.S. Intermediate Government/Credit Index	4.57%	3.41%	7.02%	5.91%	—	4.50%
MWIIX (Inception: June 28, 2002)	2.30%	4.06%	10.11%	6.90%	—	6.80%
Barclays Capital U.S. Intermediate Government/Credit Index	4.57%	3.41%	7.02%	5.91%	—	5.16%


	Performance Through September 30, 2011
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)	-8.65%	-1.59%	12.41%	6.89%	—	10.10%
Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap	-5.12%	1.76%	13.81%	7.25%	—	10.02%
MWHIX (Inception: March 31, 2003)	-8.75%	-1.35%	12.68%	7.15%	—	8.77%
Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap	-5.12%	1.76%	13.81%	7.25%	—	8.90%


	Performance Through September 30, 2011
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWSTX (Inception: June 30, 2003)	-2.37%	2.74%	9.35%	1.98%	—	4.36%
Merrill Lynch 3-Month U.S. Treasury Index + 2%	1.05%	2.15%	2.24%	3.78%	—	4.13%
MWSIX (Inception: March 31, 2004)	-2.37%	2.99%	9.58%	2.21%	—	2.97%
Merrill Lynch 3-Month U.S. Treasury Index + 2%	1.05%	2.15%	2.24%	3.78%	—	4.24%



		SEMI-ANNUAL REPORT September 30, 2011 (Unaudited)
				METROPOLITAN WEST FUNDS Ultra Short Bond Fund Low Duration Bond Fund Intermediate Bond Fund Total Return Bond Fund High Yield Bond Fund Strategic Income Fund AlphaTrak 500 Fund


	Beginning Account Value 04/01/11		Ending Account Value 09/30/11		Expense Ratio¹			Expenses Paid During Period²
ULTRA SHORT BOND FUND
Actual Fund Return
Class M		$1,000.00		$989.20		0.50	%		$2.51
Class I		$1,000.00		$987.70		0.34	%		$1.71
Hypothetical 5% Return
Class M		$1,000.00		$1,022.75		0.50	%		$2.56
Class I		$1,000.00		$1,023.55		0.34	%		$1.74
LOW DURATION BOND FUND
Actual Fund Return
Class M		$1,000.00		$991.10		0.58	%		$2.92
Class I		$1,000.00		$990.90		0.39	%		$1.96
Administrative Class		$1,000.00		$989.10		0.78	%		$3.92
Hypothetical 5% Return
Class M		$1,000.00		$1,022.34		0.58	%		$2.96
Class I		$1,000.00		$1,023.30		0.39	%		$1.99
Administrative Class		$1,000.00		$1,021.33		0.78	%		$3.98


ULTRA SHORT BOND FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
U.S. Agency Mortgage-Backed	41.68%	AAA	67.98%	0 to 1 years	25.91%
Non-Agency Mortgage-Backed	23.74%	AA	5.49%	1 year to 3 years	24.62%
Corporate Bonds	14.08%	A	7.93%	3 years to 5 years	27.34%
Commercial Mortgage-Backed	10.83%	BBB	5.85%	5 years to 10 years	17.95%
Money Market RIC	3.38%	BB or below	12.75%	10 years to 20 years	4.18%
Asset-Backed Securities	2.46%			20 years +	0.00%
U.S. Agency Discount Notes	1.09%
Municipal Bonds	0.99%
Bank Loans	0.66%
Other *	1.09%
Total	100.00%	Total	100.00%	Total	100.00%

LOW DURATION BOND FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
Corporate Bonds	30.99%	AAA	44.76%	0 to 1 years	9.63%
U.S. Agency Mortgage-Backed	28.91%	AA	13.09%	1 year to 3 years	28.83%
Non-Agency Mortgage-Backed	23.32%	A	14.39%	3 years to 5 years	35.24%
Commercial Mortgage-Backed	7.93%	BBB	11.19%	5 years to 10 years	20.78%
Asset-Backed Securities	5.72%	BB or below	16.57%	10 years to 20 years	5.06%
U.S. Treasury Securities	2.86%			20 years +	0.46%
Money Market RIC	2.05%
Municipal Bonds	1.24%
Bank Loans	0.69%
Other *	(3.71)%
Total	100.00%	Total	100.00%	Total	100.00%


ASSETS:	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND
Investments, at value (Cost $98,115,839, $1,886,503,946, $273,986,618, $16,743,428,000, $1,778,518,350, $184,855,670, and $8,714,771, respectively) (Note 2)	$	91,084,974		$	1,815,113,399
Cash and cash equivalents (Note 2)		4,124,011			11,879
Cash on deposit with brokers for collateral on options (Note 3)		–			–
Premiums paid for swap contracts		–			76,428
Unrealized appreciation on swap contracts		85			192,762
Dividends and interest receivable		291,757			10,603,907
Due from Adviser (Note 6)		17,500			–
Receivable for securities sold		13,755			3,099,812
Receivables from Lehman Brothers, at value (Cost $0, $0, $0, $0, $210,500, $399,950, and $0, respectively) (Note 3)		–			–
Receivable for capital stock sold		2,699			3,776,977
Receivable for daily variation margin on futures contracts (Note 3)		–			–
Other assets		39,935			64,158

Total assets		95,574,716			1,832,939,322


Liabilities:
Unrealized depreciation on swap contracts		158,731			543,399
Premiums received for swap contracts		1,362,788			9,728,769
Payable for securities purchased		–			65,851,886
Payable for capital stock redeemed		1,866,774			6,232,371
Payable for daily variation margin on futures contracts (Note 3)		–			–
Line of credit commitment fee payable		103			1,655
Distributions payable		19,323			553,921
Advisory fees payable (Note 6)		21,641			520,358
Accrued trustees fees and expenses		6,349			63,432
Accrued distribution (12b-1) and service fees payable		3,723			215,645
Accrued other expenses		46,173			254,517

Total liabilities		3,485,605			83,965,953

Net assets	$	92,089,111		$	1,748,973,369


Class M Shares:
Net assets (Applicable to 5,964,234, 146,065,839, 8,919,297, 738,671,423, 106,570,184, 2,514,707, and 2,285,207, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	24,730,073		$	1,233,552,059

Net asset value, offering and redemption price per Class M share	$	4.15		$	8.45


Class I Shares:
Net assets (Applicable to 16,223,618, 60,882,448, 16,839,136, 776,359,955, 70,937,580, 20,556,849, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	67,359,038		$	514,338,222

Net asset value, offering and redemption price per Class I share	$	4.15		$	8.45


Administrative Class:
Net assets (Applicable to 0, 99,306, 0, 645,799, 0, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		$	1,083,088

Net asset value, offering and redemption price per Administrative Class share		N/A		$	10.91


Plan Class:
Net assets (Applicable to 0, 0, 0, 10, 0, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A			N/A

Net asset value, offering and redemption price per Plan Class share		N/A			N/A


Net Assets Consist of:
Capital paid-in (Note 8)	$	143,663,516		$	2,013,311,471
Undistributed (distributions in excess of) net investment income		(29,305	)		15,867
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, securities sold short, swap contracts and written options		(44,355,588	)		(192,612,784	)
Net unrealized appreciation/(depreciation) on investments		(7,030,718	)		(71,390,548	)
Net unrealized depreciation on futures contracts, securities sold short, swap contracts and written options		(158,794	)		(350,637	)

	$	92,089,111		$	1,748,973,369


INTERMEDIATE BOND FUND			TOTAL RETURN BOND FUND			HIGH YIELD BOND FUND			STRATEGIC INCOME FUND			ALPHATRAK 500 FUND

$	281,593,464		$	17,133,958,334		$	1,642,329,056		$	182,762,602		$	8,404,042
	1,599,033			138,473			36,119,227			22,239			171,126
	–			–			2,819			1,478,325			–
	981,496			41,132,532			278,701			11,132			3,425
	106,767			9,275,959			41,279			18,038			5,550
	1,369,691			105,515,000			37,297,862			1,435,398			39,313
	11,951			–			105,724			–			6,010
	9,829,744			415,508,491			8,928,165			1,268,354			1,686

	–			–			47,889			90,989			–
	3,763,756			46,455,476			10,123,422			8,165			85,027
	2,084			52,463			–			787			–
	44,808			296,163			100,504			26,998			13,138

	299,302,794			17,752,332,891			1,735,374,648			187,123,027			8,729,317



	736,326			40,650,746			5,041,950			44,646			223,382
	1,523,055			97,920,269			2,475,640			95,558			–
	30,379,499			1,691,024,741			12,204,135			5,117,297			3
	190,725			39,403,616			8,410,524			923,498			34,754
	–			–			443,062			–			145,469
	237			14,012			1,604			158			8
	225,257			9,972,177			2,765,880			748,441			–
	79,676			4,711,888			770,374			313,188			–
	7,716			326,839			35,686			7,334			3,380
	16,461			1,412,393			226,567			5,469			–
	67,878			1,617,645			287,054			53,077			31,061

	33,226,830			1,887,054,326			32,662,476			7,308,666			438,057

$	266,075,964		$	15,865,278,565		$	1,702,712,172		$	179,814,361		$	8,291,260





$	92,147,087		$	7,732,699,353		$	1,022,350,127		$	19,611,282		$	8,291,260

$	10.33		$	10.47		$	9.59		$	7.80		$	3.63





$	173,928,877		$	8,125,814,644		$	680,362,045		$	160,203,079			N/A

$	10.33		$	10.47		$	9.59		$	7.79			N/A





	N/A		$	6,764,468			N/A			N/A			N/A

	N/A		$	10.47			N/A			N/A			N/A




	N/A		$	100			N/A			N/A			N/A

	N/A		$	9.95			N/A			N/A			N/A



$	259,243,609		$	15,383,984,025		$	1,820,509,227		$	302,006,907		$	106,887,547
	(90,041	)		4,224,302			(909,175	)		27,098			103,794
	(22,805	)		118,568,434			29,770,184			(119,628,291	)		(97,921,334	)
	7,606,846			390,530,334			(136,351,905	)		(2,402,030	)		(310,729	)
	(661,645	)		(32,028,530	)		(10,306,159	)		(189,323	)		(468,018	)

$	266,075,964		$	15,865,278,565		$	1,702,712,172		$	179,814,361		$	8,291,260


	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND

Investment Income:
Interest	$	1,431,253		$	33,554,435
Dividends		2,029			23,366

Total investment income		1,433,282			33,577,801


Expenses:
Investment advisory fees (Note 6)		139,388			2,907,272
Administration fees		31,416			159,159
Custodian fees		10,518			41,051
Distribution (12b-1) and service fees		30,591			1,299,827
Insurance expense		962			16,275
Commitment fee		119			1,930
Miscellaneous expenses		22,234			33,923
Professional fees		22,436			38,659
Registration and filing fees		20,783			38,084
Reports to shareholders		4,308			113,780
Transfer agent fees		19,838			151,149
Trustees’ fees and expenses		1,053			18,612
Repayment of reimbursed expenses (Note 6)		—			259,559

Total operating expenses		303,646			5,079,280
Expenses waived and reimbursed (Note 6)		(83,487	)		—

Net expenses		220,159			5,079,280

Net investment income		1,213,123			28,498,521



Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Swap Contracts and Written Options:
Net realized gain/(loss) on:
Investments		190,803			665,011
Futures contracts		—			—
Swap contracts		52,917			893,820
Written options		—			—
Net change in unrealized appreciation/(depreciation) on:
Investments		(2,288,447	)		(45,064,698	)
Futures contracts		—			—
Swap contracts		(320,427	)		(2,162,023	)


Net change in realized and unrealized gain/(loss) on investments, futures contracts, securities sold short, swap contracts and written options		(2,365,154	)		(45,667,890	)

Net Increase/(Decrease) in Net Assets from Operations	$	(1,152,031	)	$	(17,169,369	)


	ULTRA SHORT BOND FUND
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2010
Operations:
Net investment income	$	1,213,123		$	2,786,421
Net realized gain/(loss) on investments		190,803			(1,093,670	)
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options		52,917			(104,894	)
Net change in unrealized appreciation/(depreciation) on investments		(2,288,447	)		5,146,374
Net change in unrealized appreciation/(depreciation) on futures contracts, securities sold short, swap contractsand written options		(320,427	)		957,448


Net increase/(decrease) in net assets resulting from operations		(1,152,031	)		7,691,679


Distributions to Shareholders from:
Net investment income:
Class M		(405,625	)		(798,430	)
Class I		(836,804	)		(2,207,260	)
Administrative Class		–			–
Plan Class		–			–
Net realized gains:
Class M		–			–
Class I		–			–
Administrative Class		–			–
Plan Class		–			–
Return of capital:
Class M		–			–
Class I		–			–
Administrative Class		–			–
Plan Class		–			–

Net decrease in net assets resulting from distributions		(1,242,429	)		(3,005,690	)


Capital Share Transactions:
Class M:
Proceeds from sale of shares		10,497,569			39,274,307
Shares issued in reinvestment of distributions		385,739			752,157
Cost of shares redeemed		(27,561,298	)		(21,101,236	)

Total Class M capital share transactions		(16,677,990	)		18,925,228

Class I:
Proceeds from sale of shares		28,026,509			66,579,022
Shares issued in reinvestment of distributions		814,565			2,195,154
Cost of shares redeemed		(31,026,494	)		(80,889,077	)

Total Class I capital share transactions		(2,185,420	)		(12,114,901	)

Administrative Class:
Proceeds from sale of shares		–			–
Shares issued in reinvestment of distributions		–			–
Cost of shares redeemed		–			–

Total Administrative Class capital share transactions		–			–

Plan Class:
Proceeds from sale of shares		–			–
Shares issued in reinvestment of distributions		–			–
Cost of shares redeemed		–			–

Total Plan Class capital share transactions		–			–

Net increase/(decrease) in net assets resulting from capital share transactions		(18,863,410	)		6,810,327

Net increase/(decrease) in net assets		(21,257,870	)		11,496,316
Net assets at beginning of period		113,346,981			101,850,665

Net assets at end of period (including undistributed (distributions in excess of) net investment income of $(29,305), $1, $15,867, $66,639, $(90,041), $(107,805), $4,224,302 and $1,676,001, respectively)	$	92,089,111		$	113,346,981


LOW DURATION BOND FUND						INTERMEDIATE BOND FUND						TOTAL RETURN BOND FUND
SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011

$	28,498,521		$	54,351,931		$	4,590,053		$	9,273,454		$	322,750,329		$	489,283,763
	665,011			(27,054,777	)		2,608,139			3,080,786			254,945,843			207,406,360
	893,820			2,890,137			(130,942	)		1,715,910			(51,637,619	)		37,344,116
	(45,064,698	)		103,171,867			(3,238,604	)		4,762,924			(154,140,038	)		116,977,802
	(2,162,023	)		11,145,832			762,026			623,726			6,955,496			9,604,005


	(17,169,369	)		144,504,990			4,590,672			19,456,800			378,874,011			860,616,046




	(19,739,266	)		(38,132,023	)		(1,407,898	)		(2,266,833	)		(165,832,431	)		(262,515,977	)
	(8,790,591	)		(16,959,709	)		(3,164,391	)		(7,008,696	)		(154,224,817	)		(224,353,653	)
	(19,436	)		(65,735	)		–			–			(144,779	)		(191,322	)
	–			–			–			–			(1	)		–

	–			–			–			(1,948,978	)		–			(100,699,828	)
	–			–			–			(5,191,527	)		–			(85,014,427	)
	–			–			–			–			–			(98,038	)
	–			–			–			–			–			–

	–			–			–			–			–			–
	–			–			–			–			–			–
	–			–			–			–			–			–
	–			–			–			–			–			–

	(28,549,293	)		(55,157,467	)		(4,572,289	)		(16,416,034	)		(320,202,028	)		(672,873,245	)



	283,919,067			711,446,929			42,528,859			36,296,188			1,540,975,860			3,736,961,922
	18,389,151			36,694,626			1,157,556			3,967,555			156,744,888			345,158,489
	(392,686,294	)		(487,460,160	)		(8,166,156	)		(28,672,171	)		(998,702,949	)		(1,836,979,727	)

	(90,378,076	)		260,681,395			35,520,259			11,591,572			699,017,799			2,245,140,684


	140,885,091			285,925,978			31,607,243			43,722,032			2,843,204,936			3,263,153,195
	7,710,241			14,185,001			2,489,430			9,335,955			126,677,491			258,838,892
	(194,230,431	)		(229,320,214	)		(4,670,657	)		(73,747,650	)		(840,298,342	)		(1,413,679,712	)

	(45,635,099	)		70,790,765			29,426,016			(20,689,663	)		2,129,584,085			2,108,312,375


	908,443			4,023,789			–			–			130,106			5,960,960
	17,954			60,867			–			–			131,448			265,092
	(1,950,343	)		(3,102,686	)		–			–			(213,523	)		(729,316	)

	(1,023,946	)		981,970			–			–			48,031			5,496,736


	–			–			–			–			100			–
	–			–			–			–			1			–
	–			–			–			–			–			–

	–			–			–			–			101			–

	(137,037,121	)		332,454,130			64,946,275			(9,098,091	)		2,828,650,016			4,358,949,795

	(182,755,783	)		421,801,653			64,964,658			(6,057,325	)		2,887,321,999			4,546,692,596
	1,931,729,152			1,509,927,499			201,111,306			207,168,631			12,977,956,566			8,431,263,970


$	1,748,973,369		$	1,931,729,152		$	266,075,964		$	201,111,306		$	15,865,278,565		$	12,977,956,566


STRATEGIC INCOME FUND						ALPHATRAK 500 FUND
SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011

$	6,538,100		$	12,916,988		$	150,644		$	356,531
	(461,896	)		(710,754	)		(244,450	)		(710,727	)
	(24,268	)		(4,953,110	)		(877,940	)		2,044,984
	(10,296,984	)		20,973,115			(111,624	)		1,445,665

	61,399			8,074,333			(544,982	)		(304,039	)

	(4,183,649	)		36,300,572			(1,628,352	)		2,832,414




	(1,518,231	)		(3,582,562	)		(369,103	)		(642,897	)
	(5,002,574	)		(9,739,914	)		–			–

	–			–			–			–
	–			–			–			–

	–			–			–			–
	–			–			–			–

	(6,520,805	)		(13,322,476	)		(369,103	)		(642,897	)




	8,833,321			115,143,426			1,476,236			4,289,974
	1,475,312			3,482,968			340,840			608,139
	(76,890,701	)		(84,523,169	)		(1,308,372	)		(8,346,309	)

	(66,582,068	)		34,103,225			508,704			(3,448,196	)


	5,375,954			11,291,013			–			–
	1,126,556			2,429,011			–			–
	(17,972,571	)		(17,705,905	)		–			–

	(11,470,061	)		(3,985,881	)		–			–

	(78,052,129	)		30,117,344			508,704			(3,448,196	)

	(88,756,583	)		53,095,440			(1,488,751	)		(1,258,679	)
	268,570,944			215,475,504			9,780,011			11,038,690

$	179,814,361		$	268,570,944		$	8,291,260		$	9,780,011


	ULTRA SHORT BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period	$	4.24		$	4.04		$	3.53		$	4.64		$	5.12		$	5.09


Income from Investment Operations:
Net investment income¹		0.04			0.11			0.20			0.25			0.26			0.24
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		(0.09	)		0.21			0.51			(1.10	)		(0.48	)		0.03


Total from Investment Operations		(0.05	)		0.32			0.71			(0.85	)		(0.22	)		0.27


Less Distributions:
From net investment income		(0.04	)		(0.12	)		(0.20	)		(0.26	)		(0.26	)		(0.24	)
From net capital gains		–			–			–			–			–			(0.00	)²


Total Distributions		(0.04	)		(0.12	)		(0.20	)		(0.26	)		(0.26	)		(0.24	)


Net Asset Value, End of Period	$	4.15		$	4.24		$	4.04		$	3.53		$	4.64		$	5.12

Total Return		(1.08	)%		8.01	%		20.74	%		(18.85	)%		(4.48	)%		5.52	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	24,730		$	42,174		$	22,020		$	35,929		$	133,051		$	119,957
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.65	%⁴		0.65	%		0.95	%		0.63	%		0.54	%		0.57	%
After expense waivers and reimbursements		0.50	%⁴		0.50	%		0.73	%		0.50	%		0.50	%		0.50	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.06	%⁴		2.57	%		5.24	%		5.84	%		5.23	%		4.74	%
Portfolio Turnover Rate		23	%⁵		42	%		43	%		20	%		30	%		81	%


	ULTRA SHORT BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period	$	4.25		$	4.04		$	3.53		$	4.64		$	5.12		$	5.09


Income from Investment Operations:
Net investment income¹		0.05			0.12			0.19			0.26			0.27			0.25
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		(0.10	)		0.22			0.53			(1.10	)		(0.48	)		0.03

Total from Investment Operations		(0.05	)		0.34			0.72			(0.84	)		(0.21	)		0.28


Less Distributions:
From net investment income		(0.05	)		(0.13	)		(0.21	)		(0.27	)		(0.27	)		(0.25	)
From net capital gains		–			–			–			–			–			(0.00	)²

Total Distributions		(0.05	)		(0.13	)		(0.21	)		(0.27	)		(0.27	)		(0.25	)

Net Asset Value, End of Period	$	4.15		$	4.25		$	4.04		$	3.53		$	4.64		$	5.12

Total Return		(1.24	)%		8.43	%		20.93	%		(18.72	)%		(4.32	)%		5.69	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	67,359		$	71,173		$	79,830		$	60,060		$	120,380		$	125,128
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.49	%⁴		0.49	%		0.79	%		0.47	%		0.38	%		0.40	%
After expense waivers and reimbursements		0.34	%⁴		0.34	%		0.57	%		0.34	%		0.34	%		0.34	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.23	%⁴		2.83	%		4.93	%		6.09	%		5.40	%		4.94	%
Portfolio Turnover Rate		23	%⁵		42	%		43	%		20	%		30	%		81	%


	LOW DURATION BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period	$	8.65		$	8.21		$	7.08		$	8.81		$	9.49		$	9.32


Income from Investment Operations:
Net investment income¹		0.13			0.26			0.33			0.49			0.48			0.45
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		(0.21	)		0.44			1.15			(1.70	)		(0.67	)		0.16

Total from Investment Operations		(0.08	)		0.70			1.48			(1.21	)		(0.19	)		0.61


Less Distributions:
From net investment income		(0.12	)		(0.26	)		(0.35	)		(0.52	)		(0.49	)		(0.44	)

Total Distributions		(0.12	)		(0.26	)		(0.35	)		(0.52	)		(0.49	)		(0.44	)

Net Asset Value, End of Period	$	8.45		$	8.65		$	8.21		$	7.08		$	8.81		$	9.49

Total Return		(0.88	)%		8.63	%		21.45	%		(14.20	)%		(2.11	)%		6.74	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	1,233,552		$	1,356,201		$	1,032,666		$	656,275		$	1,313,261		$	944,867
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.58	%³		0.58	%		0.71	%		0.62	%		0.59	%		0.60	%
After expense waivers and reimbursements		0.58	%³		0.58	%		0.69	%		0.59	%		0.58	%		0.58	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.89	%³		3.01	%		4.32	%		6.00	%		5.21	%		4.78	%
Portfolio Turnover Rate		35	%⁴		87	%		36	%		38	%		95	%		80	%


	LOW DURATION BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period	$	8.66		$	8.22		$	7.08		$	8.82		$	9.49		$	9.32


Income from Investment Operations:
Net investment income¹		0.13			0.27			0.35			0.50			0.50			0.47
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		(0.21	)		0.45			1.16			(1.71	)		(0.66	)		0.16

Total from Investment Operations		(0.08	)		0.72			1.51			(1.21	)		(0.16	)		0.63


Less Distributions:
From net investment income		(0.13	)		(0.28	)		(0.37	)		(0.53	)		(0.51	)		(0.46	)

Total Distributions		(0.13	)		(0.28	)		(0.37	)		(0.53	)		(0.51	)		(0.46	)

Net Asset Value, End of Period	$	8.45		$	8.66		$	8.22		$	7.08		$	8.82		$	9.49

Total Return		(0.91	)%		8.82	%		21.83	%		(14.13	)%		(1.82	)%		6.94	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	514,338		$	573,395		$	476,233		$	313,864		$	595,595		$	711,598
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.39	%³		0.39	%		0.52	%		0.43	%		0.40	%		0.41	%
After expense waivers and reimbursements		0.39	%³		0.39	%		0.50	%		0.40	%		0.39	%		0.39	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.07	%³		3.20	%		4.52	%		6.19	%		5.39	%		4.96	%
Portfolio Turnover Rate		35	%⁴		87	%		36	%		38	%		95	%		80	%


	LOW DURATION BOND FUND ADMINISTRATIVE CLASS*
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			PERIOD ENDED MARCH 31, 2010
Net Asset Value, Beginning of Period	$	11.18		$	10.61		$	10.00


Income from Investment Operations:
Net investment income¹		0.15			0.31			0.15
Net realized and unrealized gain on investments, futures contracts, swap contracts and written options		(0.27	)		0.57			0.64

Total from Investment Operations		(0.12	)		0.88			0.79


Less Distributions:
From net investment income		(0.15	)		(0.31	)		(0.18	)

Total Distributions		(0.15	)		(0.31	)		(0.18	)

Net Asset Value, End of Period	$	10.91		$	11.18		$	10.61

Total Return		(1.09	)%		8.41	%		7.91	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	1,083		$	2,133		$	1,029
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.78	%⁴		0.78	%		0.91	%⁴
After expense waivers and reimbursements		0.78	%⁴		0.78	%		0.89	%⁴
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		2.73	%⁴		2.78	%		2.72	%⁴
Portfolio Turnover Rate		35	%²		87	%		36	%²


	INTERMEDIATE BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period	$	10.31		$	10.17		$	9.09		$	10.17		$	10.14		$	9.99


Income from Investment Operations:
Net investment income¹		0.20			0.44			0.49			0.52			0.48			0.48
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.02			0.50			1.14			(0.93	)		0.06			0.15


Total from Investment Operations		0.22			0.94			1.63			(0.41	)		0.54			0.63


Less Distributions:
From net investment income		(0.20	)		(0.44	)		(0.49	)		(0.52	)		(0.51	)		(0.48	)
From net capital gains		–			(0.36	)		(0.01	)		(0.15	)		–			–
From return of capital		–			–			(0.05	)		(0.00	)²		–			–


Total Distributions		(0.20	)		(0.80	)		(0.55	)		(0.67	)		(0.51	)		(0.48	)


Net Asset Value, End of Period	$	10.33		$	10.31		$	10.17		$	9.09		$	10.17		$	10.14


Total Return		2.10	%		9.50	%		18.32	%		(3.95	)%		5.48	%		6.47	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	92,147		$	56,748		$	44,805		$	25,901		$	15,231		$	12,503
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.71	%⁴		0.72	%		0.81	%		0.77	%		0.76	%		0.82	%
After expense waivers and reimbursements		0.65	%⁴		0.65	%		0.70	%		0.65	%		0.65	%		0.65	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.78	%⁴		4.24	%		5.00	%		5.47	%		4.79	%		4.82	%
Portfolio Turnover Rate		93	%⁵		192	%		95	%		178	%		94	%		76	%


	INTERMEDIATE BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period		$ 10.30			$ 10.17			$ 9.09			$ 10.17			$ 10.14			$ 9.99


Income from Investment Operations:
Net investment income¹		0.21			0.46			0.51			0.54			0.50			0.51
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.03			0.50			1.14			(0.93	)		0.06			0.14


Total from Investment Operations		0.24			0.96			1.65			(0.39	)		0.56			0.65


Less Distributions:
From net investment income		(0.21	)		(0.47	)		(0.51	)		(0.54	)		(0.53	)		(0.50	)
From net capital gains		–			(0.36	)		(0.01	)		(0.15	)		–			–
From return of capital		–			–			(0.05	)		(0.00	)²		–			–


Total Distributions		(0.21	)		(0.83	)		(0.57	)		(0.69	)		(0.53	)		(0.50	)


Net Asset Value, End of Period		$ 10.33			$ 10.30			$ 10.17			$ 9.09			$ 10.17			$ 10.14


Total Return		2.30	%		9.62	%		18.57	%		(3.75	)%		5.70	%		6.70	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$173,929			$144,364			$162,363			$140,274			$138,668			$94,791
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.50	%⁴		0.51	%		0.60	%		0.56	%		0.55	%		0.61	%
After expense waivers and reimbursements		0.44	%⁴		0.44	%		0.49	%		0.44	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.00	%⁴		4.45	%		5.25	%		5.62	%		4.97	%		5.03	%
Portfolio Turnover Rate		93	%⁵		192	%		95	%		178	%		94	%		76	%


	TOTAL RETURN BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period		$ 10.41			$ 10.16			$ 8.89			$ 9.82			$ 9.79			$ 9.46


Income from Investment Operations:
Net investment income¹		0.24			0.47			0.57			0.53			0.48			0.48
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.05			0.42			1.26			(0.74	)		0.04			0.33


Total from Investment Operations		0.29			0.89			1.83			(0.21	)		0.52			0.81


Less Distributions:
From net investment income		(0.23	)		(0.47	)		(0.56	)		(0.55	)		(0.49	)		(0.48	)
From net capital gains		–			(0.17	)		–			(0.17	)		–			–


Total Distributions		(0.23	)		(0.64	)		(0.56	)		(0.72	)		(0.49	)		(0.48	)


Net Asset Value, End of Period		$ 10.47			$ 10.41			$ 10.16			$ 8.89			$ 9.82			$ 9.79


Total Return		2.82	%		8.86	%		21.16	%		(2.10	)%		5.44	%		8.80	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$7,732,699			$6,999,143			$4,645,082			$3,275,319			$3,533,010			$1,206,825
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.61	%³		0.63	%		0.72	%		0.65	%		0.66	%		0.66	%
After expense waivers and reimbursements		0.61	%³		0.63	%		0.72	%		0.65	%		0.65	%		0.65	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.45	%³		4.47	%		5.88	%		5.74	%		4.89	%		5.01	%
Portfolio Turnover Rate		103	%⁴		228	%		141	%		220	%		124	%		101	%


	TOTAL RETURN BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period	$	10.41		$	10.16		$	8.89		$	9.82		$	9.79		$	9.46


Income from Investment Operations:
Net investment income¹		0.25			0.49			0.58			0.55			0.50			0.50
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.05			0.42			1.27			(0.75	)		0.04			0.33


Total from Investment Operations		0.30			0.91			1.85			(0.20	)		0.54			0.83


Less Distributions:
From net investment income		(0.24	)		(0.49	)		(0.58	)		(0.56	)		(0.51	)		(0.50	)
From net capital gains		—			(0.17	)		—			(0.17	)		—			—


Total Distributions		(0.24	)		(0.66	)		(0.58	)		(0.73	)		(0.51	)		(0.50	)


Net Asset Value, End of Period	$	10.47		$	10.41		$	10.16		$	8.89		$	9.82		$	9.79


Total Return		2.92	%		9.08	%		21.42	%		(1.89	)%		5.65	%		9.03	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$8,125,815			$5,972,132			$3,784,988			$2,021,994			$2,227,359			$1,293,926
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		0.40	%³		0.42	%		0.51	%		0.44	%		0.44	%		0.45	%
After expense waivers and reimbursements		0.40	%³		0.42	%		0.51	%		0.44	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.65	%³		4.67	%		6.03	%		5.95	%		5.11	%		5.25	%
Portfolio Turnover Rate		103	%⁴		228	%		141	%		220	%		124	%		101	%


	TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS*
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			PERIOD ENDED MARCH 31, 2010
Net Asset Value, Beginning of Period	$	10.42		$	10.17		$	10.00


Income from Investment Operations:
Net investment income¹		0.23			0.44			0.13
Net realized and unrealized gain on investments, futures contracts, swap contracts and written options		0.04			0.42			0.17


Total from Investment Operations		0.27			0.86			0.30


Less Distributions:
From net investment income		(0.22	)		(0.44	)		(0.13	)
From net capital gains		—			(0.17	)		—


Total Distributions		(0.22	)		(0.61	)		(0.13	)

Net Asset Value, End of Period	$	10.47		$	10.42		$	10.17

Total Return		2.61	%		8.63	%		3.05	%²

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$6,764			$6,681			$1,194
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.81	%⁴		0.83	%		0.92	%
After expense waivers and reimbursements		0.81	%⁴		0.83	%		0.92	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.25	%⁴		4.16	%		4.66	%
Portfolio Turnover Rate		103	%²		228	%		141	%²


	TOTAL RETURN BOND FUND PLAN CLASS*
	PERIOD ENDED SEPTEMBER 30, 2011 (UNAUDITED)
Net Asset Value, Beginning of Period	$	10.00


Income from Investment Operations:
Net investment income¹		0.08
Net realized and unrealized gain on investments, futures contracts, swap contracts and written options		(0.03	)

Total from Investment Operations		0.05


Less Distributions:
From net investment income		(0.10	)
From net capital gains		–

Total Distributions		(0.10	)

Net Asset Value, End of Period	$	9.95

Total Return		0.46	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	–
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.39	%²
After expense waivers and reimbursements		0.39	%²
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.47	%²
Portfolio Turnover Rate		103	%³


	HIGH YIELD BOND FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period	$	10.94		$	10.40		$	7.65		$	9.71		$	10.97		$	10.89


Income from Investment Operations:
Net investment income¹		0.41			0.82			0.92			0.88			0.86			0.87
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short		(1.35	)		0.59			2.78			(2.08	)		(1.16	)		0.07

Total from Investment Operations		(0.94	)		1.41			3.70			(1.20	)		(0.30	)		0.94


Less Distributions:
From net investment income		(0.41	)		(0.82	)		(0.91	)		(0.87	)		(0.92	)		(0.86	)
From net capital gains		–			(0.05	)		(0.04	)		–			–			–
From return of capital		–			–			–			–			(0.04	)		–

Total Distributions		(0.41	)		(0.87	)		(0.95	)		(0.87	)		(0.96	)		(0.86	)

Redemption fees added to paid-in capital (Note 8)		–			0.00	²		0.00	²		0.01			0.00	²		0.00	²

Net Asset Value, End of Period	$	9.59		$	10.94		$	10.40		$	7.65		$	9.71		$	10.97

Total Return		(8.65	)%		14.19	%		49.85	%		(12.59	)%		(3.13	)%		9.00	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	1,022,350		$	1,351,022		$	523,717		$	60,702		$	41,266		$	38,022
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.83	%⁴		0.85	%		0.88	%		0.99	%		0.98	%		1.05	%
After expense waivers and reimbursements		0.80	%⁴		0.80	%		0.81	%		0.80	%		0.80	%		0.80	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		7.56	%⁴		7.73	%		9.29	%		10.24	%		8.15	%		8.01	%
Portfolio Turnover Rate		33	%⁵		34	%		40	%		107	%		120	%		97	%


	HIGH YIELD BOND FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period	$	10.94		$	10.40		$	7.65		$	9.71		$	10.97		$	10.90


Income from Investment Operations:
Net investment income¹		0.42			0.85			0.95			0.91			0.88			0.90
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short		(1.35	)		0.59			2.77			(2.09	)		(1.16	)		0.06

Total from Investment Operations		(0.93	)		1.44			3.72			(1.18	)		(0.28	)		0.96


Less Distributions:
From net investment income		(0.42	)		(0.85	)		(0.93	)		(0.89	)		(0.91	)		(0.89	)
From net capital gains		–			(0.05	)		(0.04	)		–			–			–
From return of capital		–			–			–			–			(0.07	)		–

Total Distributions		(0.42	)		(0.90	)		(0.97	)		(0.89	)		(0.98	)		(0.89	)

Redemption fees added to paid-in capital (Note 8)		0.00			0.00	²		0.00	²		0.01			0.00	²		0.00	²

Net Asset Value, End of Period	$	9.59		$	10.94		$	10.40		$	7.65		$	9.71		$	10.97

Total Return		(8.75	)%		14.48	%		50.22	%		(12.37	)%		(2.88	)%		9.18	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	680,362		$	765,086		$	252,022		$	106,895		$	63,589		$	50,776
Ratio of Expenses to Average Net Assets³
Before expense waivers and reimbursements		0.58	%⁴		0.60	%		0.63	%		0.73	%		0.73	%		0.81	%
After expense waivers and reimbursements		0.55	%⁴		0.55	%		0.56	%		0.55	%		0.55	%		0.55	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		7.84	%⁴		7.99	%		9.82	%		10.88	%		8.40	%		8.31	%
Portfolio Turnover Rate		33	%⁵		34	%		40	%		107	%		120	%		97	%


	STRATEGIC INCOME FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period	$	8.21		$	7.45		$	5.69		$	8.85		$	11.09		$	11.07


Income from Investment Operations:
Net investment income¹		0.21			0.40			0.58			0.89			0.79			0.59
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short		(0.40	)		0.78			1.91			(2.98	)		(2.21	)		0.01

Total from Investment Operations		(0.19	)		1.18			2.49			(2.09	)		(1.42	)		0.60


Less Distributions:
From net investment income		(0.22	)		(0.42	)		(0.73	)		(1.07	)		(0.82	)		(0.58	)
From net capital gains		–			–			–			–			–			–

Total Distributions		(0.22	)		(0.42	)		(0.73	)		(1.07	)		(0.82	)		(0.58	)

Net Asset Value, End of Period	$	7.80		$	8.21		$	7.45		$	5.69		$	8.85		$	11.09

Total Return		(2.37	)%		16.21	%		46.49	%		(25.33	)%		(13.44	)%		5.57	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	19,611		$	88,162		$	47,906		$	8,020		$	43,785		$	99,001
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		2.26	%³		2.22	%		2.01	%		0.79	%		1.61	%		1.70	%
After expense waivers and reimbursements		2.26	%³		2.22	%		2.01	%		0.79	%		1.61	%		1.70	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.13	%³		5.10	%		8.41	%		11.19	%		7.49	%		5.35	%
Portfolio Turnover Rate		41	%⁴		93	%		208	%		294	%		74	%		27	%


	STRATEGIC INCOME FUND CLASS I
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period	$	8.21		$	7.44		$	5.69		$	8.85		$	11.08		$	11.07


Income from Investment Operations:
Net investment income¹		0.23			0.43			0.71			0.95			0.85			0.60
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short		(0.42	)		0.78			1.79			(3.02	)		(2.23	)		0.02

Total from Investment Operations		(0.19	)		1.21			2.50			(2.07	)		(1.38	)		0.62


Less Distributions:
From net investment income		(0.23	)		(0.44	)		(0.75	)		(1.09	)		(0.85	)		(0.61	)
From net capital gains		–			–			–			–			–			–

Total Distributions		(0.23	)		(0.44	)		(0.75	)		(1.09	)		(0.85	)		(0.61	)

Net Asset Value, End of Period	$	7.79		$	8.21		$	7.44		$	5.69		$	8.85		$	11.08

Total Return		(2.37	)%		16.66	%		46.65	%		(25.14	)%		(13.22	)%		5.73	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	160,203		$	180,409		$	167,570		$	119,302		$	271,639		$	369,484
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		2.01	%³		1.97	%		1.76	%		0.51	%		1.34	%		1.63	%
After expense waivers and reimbursements		2.01	%³		1.97	%		1.76	%		0.51	%		1.34	%		1.63	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.69	%³		5.41	%		10.56	%		12.39	%		8.13	%		5.44	%
Portfolio Turnover Rate		41	%⁴		93	%		208	%		294	%		74	%		27	%


	ALPHATRAK 500 FUND CLASS M
	SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED)			YEAR ENDED MARCH 31, 2011			YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007
Net Asset Value, Beginning of Period	$	4.48		$	3.79		$	2.96		$	6.71		$	8.56		$	8.14


Income from Investment Operations:
Net investment income¹		0.07			0.12			0.15			0.29			0.48			0.42
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		(0.75	)		0.84			2.45			(4.01	)		(1.56	)		0.61


Total from Investment Operations		(0.68	)		0.96			2.60			(3.72	)		(1.08	)		1.03


Less Distributions:
From net investment income		(0.17	)		(0.27	)		(1.55	)		–			(0.45	)		(0.61	)
From net capital gains		–			–			(0.22	)		–			(0.23	)		–
From return of capital		–			–			–			(0.03	)		(0.09	)		–

Total Distributions		(0.17	)		(0.27	)		(1.77	)		(0.03	)		(0.77	)		(0.61	)

Net Asset Value, End of Period	$	3.63		$	4.48		$	3.79		$	2.96		$	6.71		$	8.56

Total Return		(15.83	)%		26.31	%		96.57	%		(55.65	)%		(14.03	)%		12.85	%

Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$8,921			$9,780			$11,039			$59,334			$157,644			$183,696
Ratio of Expenses to Average Net Assets²
Before expense waivers and reimbursements		1.79	%³		1.88	%		1.30	%		0.24	%		0.13	%		0.73	%
After expense waivers and reimbursements		0.90	%³		0.90	%		1.21	%		0.22	%		0.13	%		0.73	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.10	%³		3.14	%		3.84	%		5.57	%		5.74	%		5.01	%
Portfolio Turnover Rate		16	%⁴		71	%		24	%		145	%		89	%		106	%


ULTRA SHORT BOND FUND	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments	$	3,116,000	$	999,906		$	–	$	4,115,906
Long-Term Investments:
Asset-Backed Securities		–		2,267,955			–		2,267,955
Bank Loans		–		603,704			–		603,704
Corporates		–		12,965,308			–		12,965,308
Mortgage-Backed		–		70,219,315			–		70,219,315
Municipal Bonds		–		912,786			–		912,786
Other Financial Instruments *
Liabilities:
Credit contracts		–		(1,521,434	)		–		(1,521,434	)

Total	$	3,116,000	$	86,447,540		$	–	$	89,563,540



LOW DURATION BOND FUND	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments	$	35,774,000	$	1,274,842		$	–	$	37,048,842
Long-Term Investments:
Asset-Backed Securities		–		100,069,831			–		100,069,831
Bank Loans		–		12,139,315			–		12,139,315
Corporates		–		541,149,433			780,300		541,929,733
Mortgage-Backed		–		1,052,168,246			90		1,052,168,336
Municipal Bonds		–		21,684,620			–		21,684,620
U.S. Treasury Securities				50,072,722					50,072,722
Other Financial Instruments *
Assets:
Credit contracts		–		200,261			–		200,261
Liabilities:
Interest rate contracts		–		(48,384	)		–		(48,384	)
Credit contracts		–		(10,154,855	)		–		(10,154,855	)

Total	$	35,774,000	$	1,768,556,031		$	780,390	$	1,805,110,421


LOW DURATION BOND FUND	CORPORATES			MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2011	$	1,200,000		$	8,986
Accrued discounts/premiums		71			2
Realized (loss)		(356,025	)		(11,612	)
Change in unrealized appreciation^**		285,229			5,627
Sales		(348,975	)		(2,913	)

Balance as of September 30, 2011	$	780,300		$	90


TOTAL RETURN BOND FUND	ASSET-BACKED SECURITIES			CORPORATES			MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2011	$	–		$	2,040,000		$	3,747
Accrued discounts/premiums		–			3,715			–
Realized (loss)		–			(797,153	)		(2,903	)
Change in unrealized appreciation/(depreciation)^**		(870,205	)		758,688			107
Sales		–			(866,250	)		(728	)
Transfers into Level 3		887,964			–			–


Balance as of September 30, 2011	$	17,759		$	1,139,000		$	223


	LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
DERIVATIVE TYPE	ASSET DERIVATIVES	LIABILITY DERIVATIVES
Interest rate contracts	Unrealized appreciation on	Unrealized depreciation on swap
	swap contracts	contracts
	Premiums paid for swap	Premiums received on swap
	contracts	contracts
Credit contracts	Unrealized appreciation on	Unrealized depreciation on swap
	swap contracts	contracts
	Premiums paid for swap	Premiums received for swap
	contracts	contracts
Equity contracts	Unrealized appreciation on	Unrealized depreciation on swap
	swap contracts	contracts
	Premiums paid for swap	Premiums received for swap
	contracts	contracts


					ASSET DERIVATIVE INVESTMENTS

	ULTRA SHORT BOND FUND		LOW DURATION BOND FUND		INTERMEDIATE BOND FUND		TOTAL RETURN BOND FUND		HIGH YIELD BOND FUND		STRATEGIC INCOME FUND		ALPHATRAK 500 FUND
Credit contracts:
Swaps	$	85	$	125,226	$	98,794	$	8,847,427	$	41,279	$	18,038	$	5,550
Interest contracts:
Futures *		–		–		12,980		–		–		–		–
Swaps		–		67,536		7,973		428,532		–		–		–